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, 2017
| 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, 2017 |
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| | | | Dividend Focus Funds |
| | | | Income Builder |
| | | | Rising Dividend Growth |
Goldman Sachs Dividend Focus Funds
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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, 2017 (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 5.39%, 5.00%, 5.58%, 5.53% and 5.63%, respectively. These returns compare to the 11.69% and 4.70% 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 | | U.S. equities advanced during the Reporting Period overall, with Federal Reserve (“Fed”) monetary policy, economic data and political events dominating market sentiment. When the Reporting Period started in November 2016, U.S. equities sold off ahead of the presidential election but surged higher after the surprise result on anticipation of a potentially pro-growth effect from the incoming Administration’s fiscal stimulus plan. In December 2016, the Fed raised interest rates 0.25% as had largely been anticipated, and set a more hawkish hike path for 2017, causing equities to decline, albeit modestly, following the announcement. (Hawkish implies higher interest rates; opposite of dovish.) In January 2017, U.S. equities rallied to new highs on the prospect of deregulation following executive orders on oil pipelines and on optimism around infrastructure spending after a $1 trillion proposal from Senate Democrats made headlines. Despite political uncertainty and concerns about protectionism, U.S. equities continued to advance in February 2017 amid “risk on” sentiment due to potential U.S. tax reform and deregulation as well as stronger economic data. In March 2017, the Fed raised interest rates another 0.25%, while maintaining its projections for three rate hikes in 2017. However, a seemingly cautious stance on the future path of monetary tightening from the Fed chair and the presence of a dissenter on the Fed’s policy-making committee led to a dovish market reaction. Political risks subsequently drove U.S. equities lower as Republicans in the House of Representatives struggled to schedule a vote on health care legislation. The U.S. equity market initially fell in April 2017, as minutes from the Fed’s March meeting indicated policymakers were worried that stocks were overvalued. Economic activity and inflation data also appeared to be moderating. The U.S. gross domestic product (“GDP”) grew at just 0.7% during the first calendar quarter, while in April 2017, the Institute for Supply Management manufacturing index edged lower and the Core Personal Consumption Expenditures (“PCE”) Index (which excludes food and energy expenditures) decreased. However, the unemployment rate fell to 4.4%, while the Employment Cost Index (“ECI”) reached its highest level since 2007. (The ECI is a quarterly report from the U.S. Department of Labor that details changes in the costs of labor, such as wages and benefits.) On the political front, a setback suffered by the House Republicans in their first attempt to pass health care legislation tempered optimism about fiscal policy, but an ambitious tax reform proposal from the White House lifted market sentiment. In addition, first-round results in France’s presidential election, which were widely interpreted by investors as pro-market, buoyed global equities broadly. Strong first quarter 2017 corporate earnings results also supported equity performance. |
| | Although the broad U.S. fixed income market produced slightly negative returns during the Reporting Period overall, spread (or non-government bond) sectors generally advanced. In November 2016, when the Reporting Period began, spread sectors were volatile. Investor sentiment was dominated by the results of the U.S. Presidential election, which appeared to change expectations for future fiscal and regulatory policy. More specifically, investors appeared to anticipate fiscal |
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PORTFOLIO RESULTS
| | stimulus, a looser regulatory agenda and a faster pace of Fed monetary policy tightening. Global interest rates rose, and the U.S. dollar appreciated versus other developed markets and emerging markets currencies. Meanwhile, the U.S. economy continued to strengthen, with strong jobs growth and increased consumer spending reported. In December 2016, spread sectors recorded gains, outpacing U.S. Treasury securities. Mid-month, the Fed hiked short-term interest rates, which resulted in a further rise in U.S. Treasury yields, with a notable increase in shorter-term yields, and additional appreciation in the U.S. dollar. In Europe, the European Central Bank (“ECB”) announced it would reduce its monthly pace of asset purchases starting in April 2017 but stated it would extend its quantitative easing program to the end of 2017. On the political front, Italy voted to reject its constitutional reforms, while the outcome of Austria’s election defied the populist tide that had claimed victories in the U.K. and U.S. during 2016. In the fourth calendar quarter overall, the Japanese economy expanded by 1.2%, annualized, from the previous calendar quarter. During the first quarter of 2017, government bond sectors sold off, and spread sectors generally posted gains. Investors focused on the prospect of pro-growth policies from the new U.S. Administration, which helped boost business and consumer sentiment to near record levels. Investors also focused on the positive impact of earlier fiscal stimulus in China. Global purchasing managers’ indices pointed to solid expansion across the largest global economies, the U.S. in particular. In Europe, economic data strengthened and political risk remained contained, as markets weathered the official start of Brexit negotiations. (Brexit refers to the U.K.’s efforts to exit the European Union.) The far right lost to centrists in the Netherlands’ election. In France, polls reflected a relatively low chance of victory for the far-right candidate in the country’s then-upcoming presidential vote. Monetary policy presented few surprises during the first calendar quarter, as the ECB, Bank of Japan and Bank of England kept their respective monetary policies unchanged. In March 2017, the ECB raised its economic growth and inflation forecast. The same month, Fed policymakers hiked interest rates. Minutes from the meeting suggested the Fed might start reducing its balance sheet near the end of 2017. The U.S. dollar weakened versus many global currencies during the first calendar quarter. |
| | In April 2017, spread sectors generated positive returns, with investor sentiment buoyed by the results of the first round of voting in France’s presidential election, a strong start to the corporate earnings season and optimism about the potential of fiscal expansion in the U.S. Although U.S. economic activity and inflation data moderated during the month, the labor market remained strong amid employment gains and steady wage growth. In Europe, positive economic data partly offset the impact on the European credit markets of reduced ECB asset purchases. Meanwhile, U.K. markets showed little reaction to the commencement of the Brexit process. The U.S. dollar weakened versus other developed markets and emerging markets currencies during April 2017. |
| 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 seeks 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 38.2% in equities and 60.2% in fixed income, with the balance of 1.6% in cash and cash equivalents. During the Reporting Period, we increased the Fund’s overall exposure to fixed income and reduced its overall exposure to equities, as we had a positive view of investment grade corporate bonds and thought U.S. equities appeared fully valued. Within the Fund’s equity allocation, we increased exposure to European stocks because of what we considered attractive fundamentals and valuations. Overall, we favored stocks that we believed offered sustainable yields and companies with what we viewed as attractive balance sheets, dividend payout ratios and earnings growth potential. Within the Fund’s fixed income allocation, we continued to focus on credit quality, as risk premiums decreased and the credit cycle aged. Accordingly, we maintained the Fund’s up-in-credit-quality bias that included greater exposure to higher-rated credits. At the end of the Reporting Period, the Fund was invested 38.5% in equities and 59.1% in fixed income, with the balance of 2.4% 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 12-month |
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PORTFOLIO RESULTS
| | distribution rates of 3.65%, 2.99%, 3.97%, 3.84% and 3.97%, respectively. At April 30, 2017, the Fund’s 30-day SEC yields (subsidized) for its Class A, C, Institutional, IR and R6 Shares were 3.03%, 2.46%, 3.61%, 3.45% and 3.63%, 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 most affected the Fund’s equity allocation during the Reporting Period. The Fund’s call writing strategy, which seeks to generate additional cash flow and potentially reduce volatility by sales of call options on the S&P 500® Index or other regional stock market indices (or related ETFs), did not have a material impact on 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 benefited most from security selection in the consumer staples and energy sectors. Within those sectors, the Fund was helped by its overweight positions relative to the Russell Index in the household products industry and in the oil, gas and consumable fuels industry, respectively. In consumer discretionary, an overweight in the media industry further bolstered performance. Conversely, the Fund was hurt by its underweight in the financials sector, especially in the banking industry. An overweight in utilities, primarily electric utilities, also dampened performance. Within the real estate sector, the Fund’s overweight in real estate investment trusts further detracted from results. In addition, security selection in the financials, industrials and utilities sectors limited the Fund’s relative returns during the Reporting Period. |
| 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 bank holding company M&T Bank, fast food restaurant chain McDonald’s and bank holding and financial services company Wells Fargo & Company. |
| | M&T Bank (“MTB”) was the top contributor to the Fund’s relative performance. Shares of MTB drifted up as U.S. Treasury yields rose during the Reporting Period, improving the company’s prospects for higher net interest margins. At the end of the Reporting Period, we believed the normalization of the U.S. Treasury yield curve and the potential for a looser regulatory environment could serve as tailwinds for MTB. (A normal yield curve is a yield curve in which short-term debt instruments have a lower yield than long-term debt instruments of the same credit quality. Yield curve is a spectrum of maturities.) |
| | An investment in McDonald’s also enhanced the Fund’s relative returns. The stock performed strongly after first quarter 2017 results, including profits and sales, came in ahead of consensus expectations. At the end of the Reporting Period, we remained encouraged by the company’s cost- cutting plans, enhanced profitability and improved sales in its non-U.S. stores. |
| | Wells Fargo & Company (“WFC”) was another notable contributor to Fund results. The company’s stock price appreciated following the November 2016 U.S. elections, which increased expectations for higher interest rates and a looser regulatory environment. At the end of the Reporting Period, we remained positive on WFC’s strong deposit franchise and leading national distribution network. In our view, the company’s experienced management team and strong balance sheet should help WFC increase shareholder distributions and also navigate a more challenging credit environment. |
| 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 FirstEnergy, a diversified energy company; DDR, which owns shopping centers in the U.S. and Puerto Rico; and Verizon Communications, a telecommunications provider detracted most from performance relative to the Russell Index. |
| | FirstEnergy’s stock price was pressured after the U.S. elections, as interest rates rose on expectations the incoming Administration would enact reforms leading to increased economic growth and inflation. In response to the rise in interest rates, investors generally rotated out of sectors, such as utilities, that tend to be sensitive to interest rate movements. At the end of the Reporting Period, we remained positive about FirstEnergy’s new management team and its stated commitment to exiting the generation business to become a fully regulated utility franchise. In our view, FirstEnergy traded at a compelling discount at the end of the Reporting Period and continued to provide an attractive yield relative to its peers. |
| | Shares of DDR pulled back during the Reporting Period. Investors remained cautious about the company’s asset sales and potential earnings dilution, as the proceeds of these sales were used to pay down debt. In our opinion, this strategy has greatly improved DDR’s portfolio of assets, and at the end of the Reporting Period, we believed its shares were trading at a substantial discount relative to the company’s private market value. Additionally, we have confidence in DDR’s new |
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PORTFOLIO RESULTS
| | management team, as we believe its members are highly motivated and focused on improving the company’s balance sheet and operational performance over the long term. |
| | Verizon Communications’ stock price slumped after the company reported fourth quarter 2016 earnings per share that were below consensus estimates. Investors also seemed concerned about the company’s planned acquisition of Yahoo!, which faced obstacles based on news that Yahoo! had suffered large data breaches. At the end of the Reporting Period, we believed Verizon Communications’ strong portfolio of assets and best-in-class network might allow the company to maintain a leading market position going forward. |
| 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 BB&T, a financial services holding company. We have a favorable view of BB&T’s growth prospects, should it realize potential synergies from recent deals and its interest income potential improve with higher interest rates. In our view, the stock provides an attractive yield relative to the company’s peer group. |
| | Another notable purchase was VINCI, a France-based concessions and construction company. We believe VINCI has stable growth potential in the concessions business, with positive traffic-growth momentum in toll roads, which are expected to benefit from improved customer confidence, and airports. Its management can continue to create value, in our opinion, through capital deployment given what we view as the company’s strong balance sheet position, good track record and successful recent acquisitions. |
| | Among those sales realized during the Reporting Period was the Fund’s investment in XL Group. We liquidated the position as the global insurance company’s share price approached our risk-adjusted price target. Because of its exposure to catastrophes, XL Group’s ability to improve its loss ratios had grown more difficult, in our view. Also, we did not believe its management had successfully executed on book value growth. |
| | We also exited the Fund’s position in technology company Intel during the Reporting Period. We had originally initiated the position at what we believed to be a compelling valuation amid low market expectations related to Intel’s data center business. Although we believed the stock continued to trade at an attractive valuation, we became cautious due to its expensive acquisition of Mobileye, an Israeli technology company focused on autonomous driving. We decided to sell the Fund’s holdings in Intel 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 information technology sector to an underweight position. In addition, during the Reporting Period, we decreased the Fund’s underweight position in financials. We reduced the Fund’s overweight positions in the utilities and real estate sectors and increased its overweights in the health care and telecommunication services sectors. At the end of the Reporting Period, the Fund was overweight the real estate, health care, utilities and telecommunication services sectors, and it was underweight the financials and information technology sectors relative to the Russell Index. Compared to the Russell Index, the Fund was rather neutrally weighted in the consumer discretionary, energy, consumer staples, industrials and materials 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 high yield corporate bonds within the industrial manufacturing and energy market segments. On the positive side, the Fund benefited from its exposure to high yield corporate bonds within the financials, technology and communications market segments. |
| 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 from its performance. The Fund held a shorter duration position relative to that of the BofA Merrill Lynch Index for most of the Reporting Period, as we believed the markets were underestimating the pace of the Fed’s monetary policy tightening, particularly given the strength of the U.S. labor market. This positioning hurt performance, especially during April 2017 when yields on 10-year U.S. government bonds reached a 2017 low in the middle of the month on receding inflation expectations and then rose into month-end on positive economic data, including strong growth in existing home sales. 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. |
| 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 what we considered to be stable and non-cyclical industries, including cable and cellular |
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PORTFOLIO RESULTS
| | telecommunications. We also increased the Fund’s exposure to financial companies based on our view that their earnings are likely to benefit from a modest increase in U.S. interest rates. We limited investments in cyclical industries, such as energy and metals/mining, which we considered more sensitive to global economic growth worries. In addition, during the Reporting Period, we increased the Fund’s credit quality by adding positions in BB-rated credits and steadily reduced exposure to CCC-rated credits. |
| 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 strategies. Eurodollar futures are contracts that have underlying assets linked to time deposits denominated 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 Fund’s performance during 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 Income Builder Team’s tactical view and strategy for the months ahead? |
| A | | At the end of the Reporting Period, the Income Builder Team saw an increasingly positive backdrop for U.S. equities, as the Republican Administration seeks to implement a potentially pro-growth economic agenda. We believe most companies may well benefit from an aggressive fiscal policy, including lower taxes and increased spending, and a less restrictive regulatory environment. In the near-term, however, uncertainty around policy specifics and the execution of those policies could increase market volatility. We expect equity returns to be lower in the months ahead than they were in recent years, as U.S. stocks overall seemed, in our view, rather fully valued at the end of the Reporting Period. That said, U.S. equities looked more attractive to us than most other asset classes. At the end of the Reporting Period, we generally favored high quality, U.S.-oriented companies with strong management teams. Looking ahead, we expect increasing performance dispersion (the variability of returns from a particular trading strategy or portfolio). In this environment, an active approach to selecting stocks is likely to be rewarded, in our view, as companies differentiate themselves based on earnings growth and valuation. Regardless of market direction, however, fundamental, bottom-up stock selection will continue to drive our process, not headlines or investor sentiment. At the end of the Reporting Period, we maintained high conviction in the companies owned by the equity portion of the Fund, and we believed they have the potential to outperform relative to the broader market regardless of the growth environment. We intend to continue to focus on undervalued companies that we believe are in control of their own future, such as innovators with differentiated products, companies with low-cost structures and firms that have been investing in their own businesses and are poised to gain market share. We will maintain our discipline in identifying companies with what we consider to be strong or improving balance sheets, led by quality management teams and trading at discounted valuations, seeking to generate long-term outperformance. |
| | In terms of fixed income, the Income Builder Team was cautiously optimistic about the outlook for high yield corporate bonds and high yield loans at the end of the Reporting Period. We continue to carefully monitor outsized increases in corporate debt accumulation, but we also note that, at the end of the Reporting Period, corporate fundamentals had stabilized following two quarters of improved cash flow growth. Meanwhile, surging U.S. shale output was pressuring oil prices, while industrial metal prices had declined due to renewed concerns about demand from China. In our opinion, falling commodities prices could lead to further deterioration in the credit quality of energy-related and metals/mining issues. If market sentiment worsens as a result, we might see investment outflows from high yield corporate bond and high yield loan mutual funds. Looking ahead, we expect to see high yield defaults remain below their long-term average. We also believe the operating backdrop should be favorable for corporate credits, even though the U.S. is in a more mature stage of the credit cycle. Overall, we expect modestly positive high yield corporate bond returns during 2017. With regard to positioning within the fixed income portion of the Fund, we generally favored non-cyclical industries, such as cable and cellular telecommunications, and financial companies at the end of the Reporting Period. We also remained cautious about increasing the Fund’s exposure to cyclical industries, such as energy and metals/mining. In terms of ratings, the Fund remained underweight BB-rated issues at the end of the Reporting Period, as we consider them vulnerable to extension risk. (Extension risk, which is mainly the result of rising interest rates, is the risk an issuer could exercise its right to pay principal later than expected.) |
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FUND BASICS
Income Builder Fund
as of April 30, 2017
| | | | | | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2016–April 30, 2017 | | 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 | | | 5.39 | % | | | 11.69 | % | | | 4.70 | % |
| | Class C | �� | | 5.00 | | | | 11.69 | | | | 4.70 | |
| | Institutional | | | 5.58 | | | | 11.69 | | | | 4.70 | |
| | Class IR | | | 5.53 | | | | 11.69 | | | | 4.70 | |
| | | Class R6 | | | 5.63 | | | | 11.69 | | | | 4.70 | |
| | 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) | |
| | | Period Ended April 30, 2017 | | 12-Month
Distribution Rate4 | | | 30-Day Standardized
Subsidized Yield5 | | | 30-Day Standardized
Unsubsidized Yield5 | |
| | Class A | | | 3.65 | % | | | 3.03 | % | | | 2.93 | % |
| | Class C | | | 2.99 | | | | 2.46 | | | | 2.35 | |
| | Institutional | | | 3.97 | | | | 3.61 | | | | 3.50 | |
| | Class IR | | | 3.84 | | | | 3.45 | | | | 3.35 | |
| | | Class R6 | | | 3.97 | | | | 3.63 | | | | 3.51 | |
| | 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 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 3/31/17 | | One Year | | | Five Years | | | Ten Years | | | Since Inception | | | Inception Date |
| | Class A | | | 5.04 | % | | | 5.46 | % | | | 4.90 | % | | | 6.55 | % | | 10/12/94 |
| | Class C | | | 9.30 | | | | 5.85 | | | | 4.70 | | | | 4.03 | | | 8/15/97 |
| | Institutional | | | 11.61 | | | | 7.08 | | | | 5.91 | | | | 5.28 | | | 8/15/97 |
| | Class IR | | | 11.38 | | | | 6.91 | | | | N/A | | | | 8.83 | | | 8/31/10 |
| | | Class R6 | | | 11.56 | | | | N/A | | | | N/A | | | | 4.04 | | | 7/31/15 |
| | 6 | | 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, 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 | | | 0.99 | % | | | 1.11 | % |
| | Class C | | | 1.74 | | | | 1.86 | |
| | Institutional | | | 0.59 | | | | 0.71 | |
| | Class IR | | | 0.74 | | | | 0.86 | |
| | | Class R6 | | | 0.59 | | | | 0.71 | |
| | 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 28, 2018, 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 4/30/178 |
| | | Holding | | % of Net
Assets | | | Line of Business |
| | Wells Fargo & Co. | | | 1.8 | % | | Banks |
| | Pfizer, Inc. | | | 1.3 | | | Pharmaceuticals |
| | Duke Energy Corp. | | | 1.1 | | | Electric Utilities |
| | M&T Bank Corp. | | | 1.1 | | | Banks |
| | General Electric Co. | | | 1.1 | | | Industrial Conglomerates |
| | JPMorgan Chase & Co. | | | 0.9 | | | Banks |
| | Exxon Mobil Corp. | | | 0.9 | | | Oil, Gas & Consumable Fuels |
| | Microsoft Corp. | | | 0.9 | | | Software |
| | Cisco Systems, Inc. | | | 0.9 | | | Communications Equipment |
| | | Verizon Communications, Inc. | | | 0.9 | | | Diversified Telecommunication Services |
| | 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, 2017 |
| | 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 market value (excluding investments in the securities lending reinvestment vehicle, if any). Investments in the securities lending reinvestment vehicle represented 0.3% of the Fund’s net assets as of April 30, 2017. 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 certificates of deposits and commercial papers. 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, 2017 (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 13.02%, 12.53%, 13.20%, 13.13% and 12.89%, respectively. These returns compare to the 13.32% 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 | | Soon after the Reporting Period began at the start of November 2016, the outcome of the U.S. presidential election came as a surprise to many across global markets, but the result also seemed to invigorate the U.S. markets and economy with expectations of a more business-friendly environment. With a focus on key areas that included the potential for repeal of the Affordable Care Act, revised trade agreements/tariffs and government spending on defense and infrastructure initiatives, there were plenty of potential catalysts to support the reflation of the U.S. economy, which was stagnating. Equity markets did move higher during the Reporting Period, but there was little follow-through as of the end of April 2017 in the way of substantive policy implementation. While the Republican-led Congress struggled to find common ground on health care or tax reform, the Administration has not been able to effectively push issues forward. This has emboldened the Democrats, who look to mid-term elections to possibly shift the balance of power in Washington D.C. |
| | Even with the political uncertainty, the equity markets seemed to remain content, bidding equity assets higher with the hope of fiscal stimulus to come. This has also created an active debate around positive “soft” economic data, such as sentiment and confidence indicators, and whether it might lead to better “hard” economic results, such as Gross Domestic Product (“GDP”). The Federal Reserve (the “Fed”) is front-and-center on the debate, as markets watched for any indication the Fed may deviate from a fairly well-scripted plan to remove monetary stimulus from the U.S. economy. After raising interest rates for the first time in almost ten years in December 2015, the Fed remained on hold through most of 2016, raising rates in December 2016. The Fed raised interest rates again in March 2017 and we believe it seemed poised, at the end of the Reporting Period, to raise again in June 2017. In general, at the end of the Reporting Period, investors were expecting at least two more hikes in 2017, and the Fed has also indicated it would begin reducing the size of the nearly $4 trillion debt held on its balance sheet. |
| | On a more global front, then-upcoming elections in France and heightened tensions with North Korea dominated the daily news during much of the Reporting Period. Also, the energy sector exhibited commodity price volatility, with oil closing April 2017 on a weak note after approaching near-term highs earlier in the Reporting Period. Most of the volatility was due to ever-changing supply/demand balances, with storage high but longer-term production expected to fall short of global demand. While U.S. shale production is increasing, larger projects are being shelved, and the natural decline rate of existing wells may lead to global demand outpacing supply in the second half of 2017. |
| Q | | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | | The Fund’s performance was in-line with the performance of the S&P 500 Index, as favorable stock selection was virtually offset by sector allocation decisions as a whole, which |
12
PORTFOLIO RESULTS
| | detracted. The Fund averaged a cash position of 2.1%, which hurt relative performance during a Reporting Period when the S&P 500 Index rallied. The Fund averaged a 78.9% allocation to dividend growth stocks, which outperformed the S&P 500 Index during the Reporting Period, and a 19.0% average weighting in energy Master Limited Partnerships (“MLPs”), which underperformed the S&P 500 Index during the Reporting but which outperformed both the S&P 500 Energy sector and the Alerian MLP Index.1. (We define dividend growth stocks as equities that have averaged at least 10% growth in annual dividends over 10 consecutive years.)2 |
| Q | | Which equity market sectors most significantly affected Fund performance? |
| A | | Of the sectors within the S&P 500 Index, the strongest positively contributing sectors on a relative basis were industrials, materials and energy, wherein stock selection in each added value. Industrials and materials appeared to benefit from the potential implementation of pro-economic growth policies from the new Administration along with the prospect of a more business-friendly regulatory environment. Favorable oil and gas prices as well as improving business fundamentals for energy MLPs supported strong performance for the Fund’s energy holdings. Offsetting these positive contributors was weak stock selection in the consumer discretionary, financials and consumer staples sectors. Having an underweight to financials, which outpaced the S&P 500 Index during the Reporting Period, also hurt. Having an allocation to cash during a Reporting Period when the S&P 500 Index rallied also dampened relative results. |
| 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 paints and coatings manufacturer Sherwin-Williams, communications equipment company Harris and retail and commercial bank Bank of the Ozarks. |
| | Sherwin-Williams benefited during the Reporting Period from delivering solid quarterly results that exceeded consensus expectations along with guidance that came in ahead consensus expectations as well. Further, the company delivered positive news on its Valspar (also a Fund holding during a portion of the Reporting Period) acquisition, which increased confidence for investors that the deal will ultimately close. We believe Sherwin-Williams’ performance was also driven by the potential for pro-economic growth policies from the new Administration to benefit the company, especially as it relates to tax reform and infrastructure. |
| | Harris delivered earnings announcements in excess of consensus expectations. Further, investors positively greeted moves by the company to adjust its portfolio of businesses to focus on areas where the company can deliver technological differentiation. We believe Harris’s performance was also driven by the potential for pro-economic growth policies from the new Administration to benefit the company, especially as it relates to defense spending and infrastructure. |
| | Bank of the Ozarks delivered strong financial results along with what many considered to be an attractive valuation during the Reporting Period. The bank also appears to have benefited from anticipated pro-economic growth policies from the new Administration, especially as it relates to prospective deregulation for the banking industry. In our view, the company stands out for both loan growth and the quality of its loans. Further, we believe the company’s profitability compared to its peers sets a solid foundation to capture upside potential. |
| 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 packaged foods manufacturer Hormel Foods, integrated pharmacy health care provider CVS Health and pharmaceutical company Perrigo. |
| | 1 | | The Alerian MLP Index is the leading gauge of large- and mid-cap energy MLPs. The float-adjusted, capitalization-weighted index, whose constituents represents approximately 85% of total float-adjusted market capitalization, is disseminated real-time on a price-return basis (AMZ) and on a total-return basis (AMZX). |
| | 2 | | 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. Dividends are not guaranteed and a company’s future ability to pay dividends may be limited. |
13
PORTFOLIO RESULTS
| | Hormel Foods suffered during the Reporting Period from a challenging consumer environment. In our opinion, Hormel Foods traded at an attractive valuation, and our long-term investment thesis is still intact. However, negative sentiment toward the packaged food industry drove most of its share price decline during the Reporting Period. |
| | Shares of CVS Health declined, driven by negative sentiment and perception about the pharmacy benefit management business model, which overrode better than market expected earnings results during the Reporting Period. Further, uncertainty around the policies throughout the entire health care chain and how companies across the prescription channel may react also contributed to pressure on CVS Health shares. In our view, CVS Health traded at an attractive valuation at the end of the Reporting Period, and our long-term investment thesis is still intact. We believe the company’s ability to generate solid earnings and free cash flow remains strong and may well deliver shareholder-friendly actions, including dividend growth and buybacks. |
| | Shares of Perrigo suffered during the Reporting Period from deterioration in the fundamentals of its business, negative sentiment around drug prices and the uncertain fate of the Affordable Health Care Act. Key factors such as generic pricing pressures, mismanaged integration of mergers and acquisitions and a lack of visibility on its restructuring path were additional concerns investors had about the company. We sold the Fund’s position in Perrigo by the end of the Reporting Period. |
| 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 diversified defense company General Dynamics. In our view, General Dynamics is well positioned for both a potential ramp-up in U.S. defense spending as well as contract wins amongst U.S. allies, which could drive solid growth in its combat systems business segment. Further, we expect the company’s marine systems segment to be a key beneficiary of a potential expansion of the number of surface ships and submarines purchased by governments. We also expect the company’s aerospace segment to benefit from prospective improvements in the business jet market. |
| | We established a Fund position in wholesale membership warehouse operator Costco Wholesale. We believe Costco Wholesale’s pricing power with members can drive growth without the need for gains in shopper traffic. Also, international growth opportunities could provide expansion beyond the U.S., in our view. Lastly, we expect high-end consumers to continue to trade down, and Costco Wholesale’s stock to perform better in a challenging consumer environment. |
| | We established a Fund position in Ameriprise Financial, a financial planning and services firm. During the Reporting Period, Ameriprise Financial’s shares traded at a deep discount to its peers. Also, key catalysts such as stabilization in its core business, improving insurance assets for potential divestiture down the road, and merger and acquisition potential supported a re-rating of its valuation, thus implying strong upside potential. (A re-rating is the act of changing the value of a share on a stock exchange, either upwards or downwards. |
| | In addition, we believe Ameriprise Financial is well positioned with its extensive advisory network and focus on wealth management compared to more traditional asset management firms whose margins have been challenged by the shift from active to passively managed assets. |
| | Conversely, in addition to the sale of Perrigo already mentioned, we exited the Fund’s position in specialty chemicals manufacturer Valspar by the end of the Reporting Period. In light of the regulatory environment as it relates to large deals, along with the potential for divestitures to reduce the deal price of its acquisition by Sherwin-Williams, mentioned earlier, we felt it prudent to move out of the position toward opportunities demonstrating better upside potential, in our view. |
| | We eliminated the Fund’s position in international apparel company VF Corp during the Reporting Period. Based on quarterly earnings misses during the Reporting Period, we expect VF Corp’s near- and long-term guidance to be challenged due to weak consumer spending going forward. We believe VF Corp’s fundamental weakness is driven by consumers shifting away from its brands and the inability of the company to find value-creating acquisitions. |
14
PORTFOLIO RESULTS
| Q | | Were there any notable changes in the Fund’s weightings during the Reporting Period? |
| A | | During the Reporting Period, the Fund’s exposure to the consumer staples, industrials and information technology sectors increased relative to the S&P 500 Index, and its allocations to the consumer discretionary and materials sectors decreased relative to the S&P 500 Index. |
| Q | | How was the Fund positioned relative to its benchmark index at the end of the Reporting Period? |
| A | | At the end of April 2017, the Fund had overweighted positions relative to the S&P 500 Index in energy (mostly MLPs), industrials, materials and consumer staples. On the same date, the Fund had underweighted positions compared to the S&P 500 Index in consumer discretionary, financials, health care, information technology and real estate. 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 believed markets would likely be largely reactionary to global macro events vs. market fundamentals, as valuations across most asset classes seemed fair and catalysts were needed to drive further growth, in our view. A modest pullback could be expected given the length of time since the last market drawdown, but we would view this as a positive on a structural basis and healthy for markets in the longer term. |
| | In our view, leadership in Washington D.C. needs to achieve some level of success on policy initiatives to help turn the positive “soft” economic data into the real economic growth needed to reflate the economy. We believe sector positioning will be important in this environment, as a potentially friendlier regulatory backdrop along with prospects for tax reform may well help certain sectors, while a shift to higher interest rates could negatively affect others. We intend to continue to seek market leaders with sustainable earnings growth, as we believe investments in these market leaders should provide both upside on a relative basis and support if we encounter market weakness at this stage of the market cycle. |
| | 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. |
15
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
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.
16
FUND BASICS
Rising Dividend Growth Fund
as of April 30, 2017
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2016–April 30, 2017 | | Fund Total Return
(based on NAV)1 | | | S&P 500 Index2 | |
| | Class A | | | 13.02 | % | | | 13.32 | % |
| | Class C | | | 12.53 | | | | 13.32 | |
| | Institutional | | | 13.20 | | | | 13.32 | |
| | Class IR | | | 13.13 | | | | 13.32 | |
| | | Class R | | | 12.89 | | | | 13.32 | |
| | 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 3/31/17 | | One Year | | | Five Years | | | Ten Years | | | Since Inception | | | Inception Date |
| | Class A | | | 4.05 | % | | | 7.62 | % | | | 6.45 | % | | | 7.40 | % | | 3/23/04 |
| | Class C | | | 8.26 | | | | 8.03 | | | | 6.41 | | | | 7.37 | | | 4/14/05 |
| | Institutional | | | 10.52 | | | | 9.27 | | | | 7.59 | | | | 7.65 | | | 3/21/07 |
| | Class IR | | | 10.37 | | | | 9.11 | | | | N/A | | | | 9.14 | | | 2/27/12 |
| | | Class R | | | 9.80 | | | | 8.57 | | | | N/A | | | | 8.60 | | | 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 | | | 1.14 | % | | | 1.16 | % |
| | Class C | | | 1.89 | | | | 1.91 | |
| | Institutional | | | 0.74 | | | | 0.76 | |
| | Class IR | | | 0.89 | | | | 0.91 | |
| | | Class R | | | 1.39 | | | | 1.41 | |
| | 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 28, 2018, 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 4/30/175 |
| | | Holding | | % of Net Assets | | | Line of Business |
| | Microsoft Corp. | | | 3.6 | % | | Software |
| | Costco Wholesale Corp. | | | 3.5 | | | Food & Staples Retailing |
| | Roche Holding AG ADR | | | 2.8 | | | Pharmaceuticals |
| | Wal-Mart Stores, Inc. | | | 2.8 | | | Food & Staples Retailing |
| | NIKE, Inc. Class B | | | 2.5 | | | Textiles, Apparel & Luxury Goods |
| | Polaris Industries, Inc. | | | 2.4 | | | Leisure Products |
| | Illinois Tool Works, Inc. | | | 2.4 | | | Machinery |
| | Texas Instruments, Inc. | | | 2.4 | | | Semiconductors & Semiconductor Equipment |
| | Ross Stores, Inc. | | | 2.4 | | | Specialty Retail |
| | | The TJX Cos., Inc. | | | 2.4 | | | Specialty Retail |
| | 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, 2017 |
| | 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, 2017. 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
GOLDMAN SACHS INCOME BUILDER FUND
Schedule of Investments
April 30, 2017 (Unaudited)
| | | | | | | | |
| Shares | | | Description | |
Value | |
| | | | | | | | |
| Common Stocks – 36.8% | |
| Aerospace & Defense – 0.3% | | | |
| | 50,360 | | | United Technologies Corp. | | $ | 5,992,336 | |
| | |
| Air Freight & Logistics – 0.4% | | | |
| | 71,574 | | | United Parcel Service, Inc. Class B | | | 7,691,342 | |
| | |
| Banks – 4.5% | | | |
| | 295,432 | | | BB&T Corp. | | | 12,756,754 | |
| | 231,344 | | | JPMorgan Chase & Co. | | | 20,126,928 | |
| | 156,220 | | | M&T Bank Corp. | | | 24,278,150 | |
| | 711,318 | | | Wells Fargo & Co. | | | 38,297,361 | |
| | | | | | | | |
| | | | | | | 95,459,193 | |
| | |
| Beverages – 0.4% | | | |
| | 74,707 | | | Anheuser-Busch InBev NV ADR | | | 8,459,821 | |
| | |
| Biotechnology – 0.3% | | | |
| | 88,437 | | | Gilead Sciences, Inc. | | | 6,062,356 | |
| | |
| Capital Markets – 0.8% | | | |
| | 365,054 | | | AllianceBernstein Holding LP | | | 8,359,736 | |
| | 264,621 | | | Invesco Ltd. | | | 8,716,616 | |
| | | | | | | | |
| | | | | | | 17,076,352 | |
| | |
| Chemicals – 0.8% | | | |
| | 51,365 | | | E.I. du Pont de Nemours & Co. | | | 4,096,359 | |
| | 100,214 | | | Praxair, Inc. | | | 12,524,745 | |
| | | | | | | | |
| | | | | | | 16,621,104 | |
| | |
| Communications Equipment – 0.9% | | | |
| | 548,176 | | | Cisco Systems, Inc. | | | 18,676,356 | |
| | |
| Construction & Engineering(a) – 0.5% | | | |
| | 551,221 | | | Vinci SA ADR | | | 11,761,403 | |
| | |
| Consumer Finance – 0.6% | | | |
| | 154,166 | | | American Express Co. | | | 12,217,656 | |
| | |
| Diversified Telecommunication Services – 1.2% | | | |
| | 294,277 | | | CenturyLink, Inc.(a) | | | 7,554,091 | |
| | 400,765 | | | Verizon Communications, Inc. | | | 18,399,121 | |
| | | | | | | | |
| | | | | | | 25,953,212 | |
| | |
| Electric Utilities – 2.7% | | | |
| | 295,130 | | | Duke Energy Corp. | | | 24,348,225 | |
| | 570,083 | | | FirstEnergy Corp. | | | 17,068,285 | |
| | 335,237 | | | Fortis, Inc. | | | 10,901,907 | |
| | 94,740 | | | PG&E Corp. | | | 6,352,317 | |
| | | | | | | | |
| | | | | | | 58,670,734 | |
| | |
| Electrical Equipment – 0.9% | | | |
| | 114,033 | | | Eaton Corp. PLC | | | 8,625,456 | |
| | 178,632 | | | Emerson Electric Co. | | | 10,767,937 | |
| | | | | | | | |
| | | | | | | 19,393,393 | |
| | |
| Energy Equipment & Services – 0.5% | | | |
| | 95,199 | | | Halliburton Co. | | | 4,367,730 | |
| | 91,676 | | | Schlumberger Ltd. | | | 6,654,761 | |
| | | | | | | | |
| | | | | | | 11,022,491 | |
| | |
| | | | | | | | |
| Common Stocks – (continued) | |
| Equity Real Estate Investment Trusts (REITs) – 2.2% | | | |
| | 51,827 | | | AvalonBay Communities, Inc. | | | 9,838,838 | |
| | 100,397 | | | Crown Castle International Corp. | | | 9,497,556 | |
| | 847,420 | | | DDR Corp. | | | 9,160,610 | |
| | 32,691 | | | Federal Realty Investment Trust | | | 4,278,925 | |
| | 85,606 | | | Mid-America Apartment Communities, Inc. | | | 8,492,971 | |
| | 310,456 | | | RLJ Lodging Trust | | | 6,671,700 | |
| | | | | | | | |
| | | | | | | 47,940,600 | |
| | |
| Food & Staples Retailing – 0.3% | | | |
| | 80,686 | | | Wal-Mart Stores, Inc. | | | 6,065,974 | |
| | |
| Food Products – 0.3% | | | |
| | 93,356 | | | Campbell Soup Co. | | | 5,371,704 | |
| | |
| Health Care Equipment & Supplies – 1.3% | | | |
| | 418,177 | | | Abbott Laboratories | | | 18,249,244 | |
| | 122,189 | | | Medtronic PLC | | | 10,152,684 | |
| | | | | | | | |
| | | | | | | 28,401,928 | |
| | |
| Health Care Providers & Services – 0.5% | | | |
| | 85,270 | | | Aetna, Inc. | | | 11,517,419 | |
| | |
| Hotels, Restaurants & Leisure – 0.5% | | | |
| | 76,799 | | | McDonald’s Corp. | | | 10,746,484 | |
| | |
| Household Products – 0.7% | | | |
| | 60,385 | | | Kimberly-Clark Corp. | | | 7,834,954 | |
| | 78,334 | | | The Procter & Gamble Co. | | | 6,840,908 | |
| | | | | | | | |
| | | | | | | 14,675,862 | |
| | |
| Industrial Conglomerates – 1.1% | | | |
| | 833,863 | | | General Electric Co. | | | 24,173,688 | |
| | |
| Insurance – 1.3% | | | |
| | 81,724 | | | Arthur J. Gallagher & Co. | | | 4,561,017 | |
| | 345,851 | | | MetLife, Inc. | | | 17,918,540 | |
| | 129,342 | | | The Hartford Financial Services Group, Inc. | | | 6,254,979 | |
| | | | | | | | |
| | | | | | | 28,734,536 | |
| | |
| Media – 0.8% | | | |
| | 249,948 | | | Comcast Corp. Class A | | | 9,795,462 | |
| | 174,973 | | | Viacom, Inc. Class B | | | 7,446,851 | |
| | | | | | | | |
| | | | | | | 17,242,313 | |
| | |
| Oil, Gas & Consumable Fuels – 4.4% | | | |
| | 260,072 | | | Blue Ridge Mountain Resources, Inc.(b)(c) | | | 2,405,666 | |
| | 354,898 | | | BP PLC ADR | | | 12,180,099 | |
| | 143,498 | | | Chevron Corp. | | | 15,311,237 | |
| | 106,787 | | | ConocoPhillips | | | 5,116,165 | |
| | 306,831 | | | Energy Transfer Partners LP | | | 7,345,534 | |
| | 245,704 | | | Exxon Mobil Corp. | | | 20,061,732 | |
| | 189,533 | | | Plains All American Pipeline LP | | | 5,543,840 | |
| | 337,856 | | | Royal Dutch Shell PLC ADR Class A | | | 17,632,705 | |
| | 271,381 | | | The Williams Cos., Inc. | | | 8,312,400 | |
| | | | | | | | |
| | | | | | | 93,909,378 | |
| | |
| | |
| 20 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INCOME BUILDER FUND
| | | | | | | | |
| Shares | | | Description | |
Value | |
| | | | | | | | |
| Common Stocks – (continued) | |
| Personal Products – 0.5% | |
| | 222,903 | | | Unilever NV | | $ | 11,644,453 | |
| | |
| Pharmaceuticals – 3.0% | |
| | 19,168 | | | Allergan PLC(b) | | | 4,674,309 | |
| | 168,417 | | | Bristol-Myers Squibb Co. | | | 9,439,773 | |
| | 109,591 | | | Eli Lilly & Co. | | | 8,993,037 | |
| | 64,437 | | | Johnson & Johnson | | | 7,956,036 | |
| | 96,512 | | | Merck & Co., Inc. | | | 6,015,593 | |
| | 823,842 | | | Pfizer, Inc. | | | 27,944,721 | |
| | | | | | | | |
| | | | | | | 65,023,469 | |
| | |
| Road & Rail – 0.3% | |
| | 59,105 | | | Union Pacific Corp. | | | 6,617,396 | |
| | |
| Semiconductors & Semiconductor Equipment – 0.5% | |
| | 121,209 | | | Taiwan Semiconductor Manufacturing Co. Ltd. ADR | | | 4,008,382 | |
| | 75,336 | | | Texas Instruments, Inc. | | | 5,965,104 | |
| | | | | | | | |
| | | | | | | 9,973,486 | |
| | |
| Software – 1.5% | |
| | 290,193 | | | Microsoft Corp. | | | 19,866,613 | |
| | 286,554 | | | Oracle Corp. | | | 12,883,468 | |
| | | | | | | | |
| | | | | | | 32,750,081 | |
| | |
| Specialty Retail – 0.3% | |
| | 108,327 | | | L Brands, Inc. | | | 5,720,749 | |
| | |
| Technology Hardware, Storage & Peripherals – 0.4% | |
| | 55,208 | | | Apple, Inc. | | | 7,930,629 | |
| | |
| Tobacco – 0.9% | |
| | 59,032 | | | Altria Group, Inc. | | | 4,237,317 | |
| | 382,003 | | | Japan Tobacco, Inc. ADR(a) | | | 6,352,710 | |
| | 130,862 | | | Reynolds American, Inc. | | | 8,440,599 | |
| | | | | | | | |
| | | | | | | 19,030,626 | |
| | |
| Transportation Infrastructure – 0.6% | |
| | 936,281 | | | Atlantia SpA ADR | | | 11,872,043 | |
| | |
| Wireless Telecommunication Services – 0.6% | |
| | 526,701 | | | Vodafone Group PLC ADR | | | 13,794,299 | |
| | |
| | TOTAL COMMON STOCKS | | | | |
| | (Cost $717,556,497) | | $ | 788,194,866 | |
| | |
| | | | | | | | |
| Shares | | Rate | | | Value | |
| | | | | | | | |
| Preferred Stocks – 2.3% | |
| Banks – 0.2% | |
Wells Fargo & Co. | |
| 3,000 | | | 7.500 | % | | $ | 3,810,000 | |
| |
| Consumer Finance(a)(d)(e) – 0.2% | |
Morgan Stanley | |
| 183,597 | | | 6.375 | | | | 5,098,489 | |
| |
| | | | | | | | |
| Preferred Stocks – (continued) | |
| Diversified Telecommunication Services(d) – 0.4% | |
Qwest Corp. | |
| 43,276 | | | 6.500 | | | | 1,077,573 | |
Verizon Communications, Inc. | |
| 255,549 | | | 5.900 | | | | 6,802,714 | |
| | | | | | | | |
| | | | | | | 7,880,287 | |
| |
| Electric Utilities – 0.7% | |
Exelon Corp. | |
| 104,612 | | | 6.500 | | | | 5,166,787 | |
SCE Trust III(d)(e) | |
| 377,865 | | | 5.750 | | | | 10,693,579 | |
| | | | | | | | |
| | | | | | | 15,860,366 | |
| |
| Equity Real Estate Investment Trusts (REITs) – 0.5% | |
American Tower Corp. | |
| 50,994 | | | 5.500 | | | | 5,902,556 | |
Public Storage(d) | |
| 215,919 | | | 5.750 | | | | 5,436,840 | |
| | | | | | | | |
| | | | | | | 11,339,396 | |
| |
| Pharmaceuticals – 0.3% | |
Allergan PLC | |
| 6,239 | | | 5.500 | | | | 5,401,601 | |
| |
| TOTAL PREFERRED STOCKS – 2.3% | |
| (Cost $46,033,774) | | | $ | 49,390,139 | |
| |
| | | | | | | | | | | | | | |
Principal Amount | | | Interest
Rate | | | Maturity
Date | | | Value | |
| | | | | | | | | | | | | | |
| Corporate Obligations – 47.2% | |
| Airlines(f) – 0.1% | |
| | Air Canada Pass Through Trust Series 2013-1, Class B | |
| $ | 2,308,571 | | | | 5.375 | % | | | 11/15/22 | | | $ | 2,395,143 | |
| | |
| Automotive(d)(f)(g) – 0.7% | |
| | IHO Verwaltungs GmbH | |
| | 14,000,000 | | | | 4.500 | | | | 09/15/23 | | | | 14,000,000 | |
| | |
| Automotive(d) – 0.3% | |
| | General Motors Co. | |
| | 4,625,000 | | | | 6.750 | | | | 04/01/46 | | | | 5,426,614 | |
| | |
| Banks – 4.3% | |
| | Ally Financial, Inc. | |
| | 5,000,000 | | | | 8.000 | | | | 11/01/31 | | | | 5,931,250 | |
| | Bank of America Corp.(d)(e) | |
| | 3,000,000 | | | | 6.250 | | | | 09/29/49 | | | | 3,210,000 | |
| | 6,275,000 | | | | 6.100 | | | | 12/29/49 | | | | 6,722,094 | |
| | Barclays PLC(d)(e) | |
| | 3,000,000 | | | | 6.625 | | | | 06/29/49 | | | | 3,052,500 | |
| | Citigroup, Inc.(d)(e) | |
| | 7,000,000 | | | | 6.250 | | | | 12/29/49 | | | | 7,595,000 | |
| | CoBank ACB(d)(e) | |
| | 5,350,000 | | | | 6.250 | | | | 12/29/49 | | | | 5,831,810 | |
| | Credit Agricole SA(d)(e)(f) | |
| | 2,500,000 | | | | 6.625 | | | | 09/29/49 | | | | 2,562,500 | |
| | Credit Suisse Group AG(d)(e) | |
| | 2,500,000 | | | | 6.250 | | | | 12/29/49 | | | | 2,606,250 | |
| | 4,025,000 | | | | 7.500 | (f) | | | 12/29/49 | | | | 4,467,750 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 21 |
GOLDMAN SACHS INCOME BUILDER FUND
Schedule of Investments (continued)
April 30, 2017 (Unaudited)
| | | | | | | | | | | | | | |
Principal Amount | | | Interest
Rate | | | Maturity
Date | | | Value | |
| | | | | | | | | | | | | | |
| Corporate Obligations – (continued) | |
| Banks – (continued) | |
| | ING Groep NV(d)(e) | |
| $ | 4,275,000 | | | | 6.000 | % | | | 12/29/49 | | | $ | 4,349,813 | |
| | 6,650,000 | | | | 6.500 | | | | 12/29/49 | | | | 6,824,562 | |
| | Intesa Sanpaolo SpA(f) | |
| | 10,000,000 | | | | 5.017 | | | | 06/26/24 | | | | 9,550,000 | |
| | JPMorgan Chase & Co.(d)(e) | |
| | 9,000,000 | | | | 6.125 | | | | 12/29/49 | | | | 9,655,308 | |
| | Lloyds Banking Group PLC(d)(e) | |
| GBP | 3,491,000 | | | | 7.000 | | | | 12/29/49 | | | | 4,726,999 | |
| | Morgan Stanley(d)(e) | |
| $ | 4,000,000 | | | | 5.550 | | | | 12/29/49 | | | | 4,160,000 | |
| | UBS Group AG(d)(e) | |
| | 10,600,000 | | | | 6.875 | | | | 12/29/49 | | | | 11,148,762 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 92,394,598 | |
| | |
| Brokerage(d)(f) – 0.3% | |
| Ladder Capital Finance Holdings LLLP/Ladder Capital
Finance Corp. |
|
| | 4,000,000 | | | | 5.250 | | | | 03/15/22 | | | | 4,100,000 | |
| | Rialto Holdings LLC/Rialto Corp. | |
| | 3,000,000 | | | | 7.000 | | | | 12/01/18 | | | | 3,052,500 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 7,152,500 | |
| | |
| Building Materials(d)(f) – 0.6% | |
| | BMC East LLC | |
| | 3,000,000 | | | | 5.500 | | | | 10/01/24 | | | | 3,116,250 | |
| | Builders FirstSource, Inc. | |
| | 4,000,000 | | | | 5.625 | | | | 09/01/24 | | | | 4,145,000 | |
| | Masonite International Corp. | |
| | 5,000,000 | | | | 5.625 | | | | 03/15/23 | | | | 5,200,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 12,461,250 | |
| | |
| Chemicals(d) – 0.5% | |
| | Ashland LLC | |
| | 5,435,000 | | | | 6.875 | | | | 05/15/43 | | | | 5,815,450 | |
| | PQ Corp.(f) | |
| | 3,400,000 | | | | 6.750 | | | | 11/15/22 | | | | 3,663,500 | |
| | Valvoline, Inc.(f) | |
| | 1,950,000 | | | | 5.500 | | | | 07/15/24 | | | | 2,062,125 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 11,541,075 | |
| | |
| Construction Machinery(d) – 0.1% | |
| | Welbilt, Inc. | |
| | 2,650,000 | | | | 9.500 | | | | 02/15/24 | | | | 3,054,125 | |
| | |
| Consumer Cyclical Services – Business(d) – 1.9% | |
| | DuPont Fabros Technology LP | |
| | 6,000,000 | | | | 5.875 | | | | 09/15/21 | | | | 6,255,000 | |
| | Equinix, Inc. | |
| | 8,000,000 | | | | 5.750 | | | | 01/01/25 | | | | 8,560,000 | |
| | 5,210,000 | | | | 5.375 | | | | 05/15/27 | | | | 5,431,425 | |
| | 3,000,000 | | | | 5.375 | | | | 04/01/23 | | | | 3,127,500 | |
| | First Data Corp.(f) | |
| | 7,000,000 | | | | 5.750 | | | | 01/15/24 | | | | 7,245,000 | |
| | WEX, Inc.(f) | |
| | 10,001,000 | | | | 4.750 | | | | 02/01/23 | | | | 9,875,987 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 40,494,912 | |
| | |
| | | | | | | | | | | | | | |
| Corporate Obligations – (continued) | |
| Consumer Products(d) – 0.4% | |
| | Spectrum Brands, Inc. | |
| 8,835,000 | | | | 6.625 | | | | 11/15/22 | | | | 9,298,838 | |
| | |
| Electric(d) – 0.9% | |
| | Dynegy, Inc. | |
| | 6,020,000 | | | | 6.750 | | | | 11/01/19 | | | | 6,110,300 | |
| | 3,000,000 | | | | 7.375 | | | | 11/01/22 | | | | 2,872,500 | |
| | EDP – Energias de Portugal SA(e) | |
| EUR | 3,100,000 | | | | 5.375 | | | | 09/16/75 | | | | 3,653,324 | |
| | Electricite de France SA(e) | |
| | 3,000,000 | | | | 5.000 | | | | 01/22/49 | | | | 3,378,779 | |
| $ | 2,500,000 | | | | 5.250 | (f) | | | 01/29/49 | | | | 2,500,000 | |
| | NRG Energy, Inc. | |
| | 996,000 | | | | 7.875 | | | | 05/15/21 | | | | 1,025,880 | |
| | Puget Sound Energy, Inc.(e) | |
| | 550,000 | | | | 6.974 | | | | 06/01/67 | | | | 503,250 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 20,044,033 | |
| | |
| Energy – 2.5% | |
| | AmeriGas Partners LP/AmeriGas Finance Corp.(d) | |
| | 4,000,000 | | | | 5.875 | | | | 08/20/26 | | | | 4,070,000 | |
| | Antero Resources Corp.(d) | |
| | 6,000,000 | | | | 5.125 | | | | 12/01/22 | | | | 6,090,000 | |
| | 3,000,000 | | | | 5.625 | | | | 06/01/23 | | | | 3,093,750 | |
| | Apache Corp.(d) | |
| | 2,575,000 | | | | 4.250 | | | | 01/15/44 | | | | 2,433,362 | |
| | 2,525,000 | | | | 4.750 | | | | 04/15/43 | | | | 2,570,700 | |
| | Carrizo Oil & Gas, Inc.(d) | |
| | 5,000,000 | | | | 7.500 | | | | 09/15/20 | | | | 5,150,000 | |
| | Chesapeake Energy Corp.(d)(f) | |
| | 3,000,000 | | | | 8.000 | | | | 01/15/25 | | | | 2,962,500 | |
| | Halcon Resources Corp.(d)(f) | |
| | 6,000,000 | | | | 6.750 | | | | 02/15/25 | | | | 5,760,000 | |
| | Laredo Petroleum, Inc.(d) | |
| | 3,375,000 | | | | 5.625 | | | | 01/15/22 | | | | 3,383,438 | |
| | MEG Energy Corp.(d)(f) | |
| | 3,000,000 | | | | 6.375 | | | | 01/30/23 | | | | 2,640,000 | |
| | Nexen Energy ULC | |
| | 50,000 | | | | 7.500 | | | | 07/30/39 | | | | 70,750 | |
| | 5,000 | | | | 6.400 | | | | 05/15/37 | | | | 6,250 | |
| | Noble Holding International Ltd.(d) | |
| | 5,000,000 | | | | 7.750 | | | | 01/15/24 | | | | 4,562,500 | |
| | Range Resources Corp.(d)(f) | |
| | 5,250,000 | | | | 5.875 | | | | 07/01/22 | | | | 5,355,000 | |
| | Weatherford International Ltd. | |
| | 5,000,000 | | | | 6.500 | | | | 08/01/36 | | | | 4,700,000 | |
| | Whiting Petroleum Corp. | |
| | 1,000,000 | | | | 1.250 | | | | 04/01/20 | | | | 883,750 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 53,732,000 | |
| | |
| Financial Co. – Non Captive – 2.3% | |
| | CIT Group, Inc. | |
| | 1,800,000 | | | | 5.250 | | | | 03/15/18 | | | | 1,856,250 | |
| | 2,422,000 | | | | 5.500 | (f) | | | 02/15/19 | | | | 2,558,238 | |
| | CURO Financial Technologies Corp.(d)(f) | |
| | 5,950,000 | | | | 12.000 | | | | 03/01/22 | | | | 6,188,000 | |
| | |
| | |
| 22 | | 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) | |
| Financial Co. – Non Captive – (continued) | |
| | HRG Group, Inc.(d) | |
| $ | 8,075,000 | | | | 7.875 | % | | | 07/15/19 | | | $ | 8,398,000 | |
| | Icahn Enterprises LP/Icahn Enterprises Finance Corp.(d)(f) | |
| | 5,400,000 | | | | 6.250 | | | | 02/01/22 | | | | 5,609,250 | |
| | Nationstar Mortgage LLC/Nationstar Capital Corp.(d) | |
| | 3,000,000 | | | | 6.500 | | | | 08/01/18 | | | | 3,030,000 | |
| | 6,000,000 | | | | 6.500 | | | | 07/01/21 | | | | 6,097,500 | |
| | Navient Corp. | |
| | 4,000,000 | | | | 5.875 | | | | 03/25/21 | | | | 4,155,840 | |
| | 3,000,000 | | | | 5.500 | | | | 01/15/19 | | | | 3,119,970 | |
| | 3,000,000 | | | | 5.500 | | | | 01/25/23 | | | | 2,953,815 | |
| Neuberger Berman Group LLC/Neuberger Berman Finance
Corp.(d)(f) |
|
| | 4,550,000 | | | | 4.500 | | | | 03/15/27 | | | | 4,680,812 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 48,647,675 | |
| | |
| Food & Beverage – 1.5% | |
| | Anheuser-Busch InBev Finance, Inc.(d) | |
| | 5,000,000 | | | | 4.900 | | | | 02/01/46 | | | | 5,462,265 | |
| | Cott Beverages, Inc.(d) | |
| | 10,000,000 | | | | 5.375 | | | | 07/01/22 | | | | 10,337,500 | |
| | Pernod-Ricard SA(f) | |
| | 4,000,000 | | | | 5.500 | | | | 01/15/42 | | | | 4,642,384 | |
| | Post Holdings, Inc.(d)(f) | |
| | 5,700,000 | | | | 5.500 | | | | 03/01/25 | | | | 5,956,500 | |
| | Sysco Corp.(d) | |
| | 5,000,000 | | | | 4.850 | | | | 10/01/45 | | | | 5,341,735 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 31,740,384 | |
| | |
| Gaming – 0.5% | |
| | MGM Resorts International | |
| | 9,750,000 | | | | 6.750 | | | | 10/01/20 | | | | 10,846,875 | |
| | |
| Health Care – 3.4% | |
| | CHS/Community Health Systems, Inc.(d) | |
| | 6,000,000 | | | | 6.875 | | | | 02/01/22 | | | | 4,965,000 | |
| | DaVita, Inc.(d) | |
| | 10,000,000 | | | | 5.000 | | | | 05/01/25 | | | | 10,075,000 | |
| | HCA, Inc. | |
| | 15,000,000 | | | | 5.000 | | | | 03/15/24 | | | | 15,918,750 | |
| | 7,000,000 | | | | 5.875 | (d) | | | 02/15/26 | | | | 7,455,000 | |
| | 10,000,000 | | | | 4.750 | | | | 05/01/23 | | | | 10,500,000 | |
| | MPT Operating Partnership LP/MPT Finance Corp.(d) | |
| | 6,000,000 | | | | 6.375 | | | | 03/01/24 | | | | 6,495,000 | |
| | Tenet Healthcare Corp. | |
| | 11,600,000 | | | | 4.631 | (d)(e) | | | 06/15/20 | | | | 11,658,000 | |
| | 3,000,000 | | | | 8.125 | | | | 04/01/22 | | | | 3,045,000 | |
| | 3,095,000 | | | | 7.500 | (d)(f) | | | 01/01/22 | | | | 3,311,650 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 73,423,400 | |
| | |
| Health Care – Pharmaceuticals(d) – 1.5% | |
| | Actavis Funding SCS | |
| | 2,950,000 | | | | 4.750 | | | | 03/15/45 | | | | 3,004,548 | |
| | Endo Dac/Endo Finance LLC/Endo Finco, Inc.(f) | |
| | 3,375,000 | | | | 6.000 | | | | 07/15/23 | | | | 2,957,344 | |
| | 5,000,000 | | | | 6.000 | | | | 02/01/25 | | | | 4,237,500 | |
| | |
| | | | | | | | | | | | | | |
| Corporate Obligations – (continued) | |
| Health Care – Pharmaceuticals(d) – (continued) | |
| | Mylan NV | |
| 11,125,000 | | | | 3.950 | % | | | 06/15/26 | | | | 11,003,782 | |
| | Valeant Pharmaceuticals International, Inc.(f) | |
| | 1,950,000 | | | | 6.500 | | | | 03/15/22 | | | | 1,996,313 | |
| | 2,400,000 | | | | 7.000 | | | | 03/15/24 | | | | 2,448,000 | |
| | 8,000,000 | | | | 6.375 | | | | 10/15/20 | | | | 6,880,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 32,527,487 | |
| | |
| Health Care – Services(d) – 0.2% | |
| | Centene Corp. | |
| | 3,000,000 | | | | 6.125 | | | | 02/15/24 | | | | 3,232,500 | |
| | |
| Home Construction – 0.4% | |
| | CBRE Services, Inc.(d) | |
| | 4,000,000 | | | | 5.250 | | | | 03/15/25 | | | | 4,308,256 | |
| | TRI Pointe Group, Inc./TRI Pointe Homes, Inc. | |
| | 3,000,000 | | | | 4.375 | | | | 06/15/19 | | | | 3,071,250 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 7,379,506 | |
| | |
| Lodging(d)(f) – 0.1% | |
| | MCE Finance Ltd. | |
| | 3,000,000 | | | | 5.000 | | | | 02/15/21 | | | | 3,056,250 | |
| | |
| Media – Cable – 5.3% | |
| | Altice Financing SA(d)(f) | |
| | 4,425,000 | | | | 6.625 | | | | 02/15/23 | | | | 4,684,969 | |
| | Altice Finco SA(d)(f) | |
| | 2,000,000 | | | | 8.125 | | | | 01/15/24 | | | | 2,155,000 | |
| | Altice US Finance I Corp.(d)(f) | |
| | 5,450,000 | | | | 5.500 | | | | 05/15/26 | | | | 5,640,750 | |
| | CCO Holdings LLC/CCO Holdings Capital Corp.(d) | |
| | 7,000,000 | | | | 5.375 | | | | 05/01/25 | | | | 7,280,000 | |
| | 4,000,000 | | | | 5.875 | (f) | | | 05/01/27 | | | | 4,235,000 | |
| | 6,020,000 | | | | 5.750 | (f) | | | 02/15/26 | | | | 6,381,200 | |
| Charter Communications Operating LLC/Charter
Communications Operating Capital(d) |
|
| | 3,000,000 | | | | 6.384 | | | | 10/23/35 | | | | 3,438,210 | |
| | 13,000,000 | | | | 6.484 | | | | 10/23/45 | | | | 15,266,849 | |
| | Comcast Corp.(d) | |
| | 3,000,000 | | | | 4.600 | | | | 08/15/45 | | | | 3,129,759 | |
| | DISH DBS Corp. | |
| | 8,680,000 | | | | 5.875 | | | | 11/15/24 | | | | 9,114,000 | |
| | 1,500,000 | | | | 7.750 | | | | 07/01/26 | | | | 1,755,000 | |
| | SFR Group SA(d)(f) | |
| | 17,000,000 | | | | 6.000 | | | | 05/15/22 | | | | 17,722,500 | |
| | UPCB Finance IV Ltd.(d)(f) | |
| | 10,000,000 | | | | 5.375 | | | | 01/15/25 | | | | 10,175,000 | |
| | Videotron Ltd.(d)(f) | |
| | 13,000,000 | | | | 5.375 | | | | 06/15/24 | | | | 13,715,000 | |
| | Virgin Media Secured Finance PLC(d) | |
| GBP | 4,000,000 | | | | 4.875 | | | | 01/15/27 | | | | 5,287,987 | |
| | Ziggo Bond Finance BV(d)(f) | |
| $ | 3,000,000 | | | | 5.875 | | | | 01/15/25 | | | | 3,078,750 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 113,059,974 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 23 |
GOLDMAN SACHS INCOME BUILDER FUND
Schedule of Investments (continued)
April 30, 2017 (Unaudited)
| | | | | | | | | | | | | | |
Principal Amount | | | Interest
Rate | | | Maturity
Date | | | Value | |
| | | | | | | | | | | | | | |
| Corporate Obligations – (continued) | |
| Media – Non Cable – 3.4% | |
| | 21st Century Fox America, Inc. | |
| $ | 5,025,000 | | | | 6.150 | % | | | 02/15/41 | | | $ | 6,090,923 | |
| | Clear Channel Worldwide Holdings, Inc.(d) | |
| | 4,000,000 | | | | 6.500 | | | | 11/15/22 | | | | 4,060,000 | |
| | Gray Television, Inc.(d)(f) | |
| | 3,000,000 | | | | 5.125 | | | | 10/15/24 | | | | 3,022,500 | |
| | Nielsen Finance LLC/Nielsen Finance Co.(d)(f) | |
| | 8,000,000 | | | | 5.000 | | | | 04/15/22 | | | | 8,230,000 | |
| | SBA Communications Corp.(d) | |
| | 4,800,000 | | | | 4.875 | (f) | | | 09/01/24 | | | | 4,842,000 | |
| | 15,016,000 | | | | 4.875 | | | | 07/15/22 | | | | 15,485,250 | |
| | Sirius XM Radio, Inc.(d)(f) | |
| | 15,000,000 | | | | 6.000 | | | | 07/15/24 | | | | 16,050,000 | |
| | Univision Communications, Inc.(d)(f) | |
| | 11,150,000 | | | | 5.125 | | | | 05/15/23 | | | | 11,331,187 | |
| | WMG Acquisition Corp.(d)(f) | |
| | 4,251,000 | | | | 5.625 | | | | 04/15/22 | | | | 4,431,668 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 73,543,528 | |
| | |
| Metals & Mining – 0.6% | |
| | ArcelorMittal | |
| | 2,000,000 | | | | 7.750 | | | | 10/15/39 | | | | 2,287,500 | |
| | First Quantum Minerals Ltd.(d)(f) | |
| | 1,500,000 | | | | 7.500 | | | | 04/01/25 | | | | 1,530,000 | |
| | 4,000,000 | | | | 7.250 | | | | 04/01/23 | | | | 4,055,000 | |
| | Glencore Finance Canada Ltd.(f) | |
| | 5,000,000 | | | | 5.550 | | | | 10/25/42 | | | | 5,198,540 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 13,071,040 | |
| | |
| Packaging(d)(f) – 0.9% | |
| | Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. | |
| | 3,834,000 | | | | 7.250 | | | | 05/15/24 | | | | 4,150,305 | |
| | 6,550,000 | | | | 4.289 | (e) | | | 05/15/21 | | | | 6,681,000 | |
| | 5,400,000 | | | | 6.000 | | | | 02/15/25 | | | | 5,582,250 | |
| Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/
Reynolds Group Issuer Lu |
|
| | 2,250,000 | | | | 5.125 | | | | 07/15/23 | | | | 2,340,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 18,753,555 | |
| | |
| Pipelines – 2.1% | |
| | DCP Midstream Operating LP(f) | |
| | 5,000,000 | | | | 6.750 | | | | 09/15/37 | | | | 5,475,000 | |
| | Energy Transfer Partners LP | |
| | 235,000 | | | | 6.625 | | | | 10/15/36 | | | | 265,114 | |
| | Enterprise Products Operating LLC(d)(e) | |
| | 3,000,000 | | | | 4.877 | | | | 08/01/66 | | | | 3,000,000 | |
| | 1,000,000 | | | | 7.000 | | | | 06/01/67 | | | | 947,500 | |
| | Kinder Morgan Energy Partners LP | |
| | 8,000,000 | | | | 7.300 | | | | 08/15/33 | | | | 9,513,632 | |
| | Plains All American Pipeline LP/PAA Finance Corp.(d) | |
| | 5,250,000 | | | | 3.600 | | | | 11/01/24 | | | | 5,168,719 | |
| Targa Resources Partners LP/Targa Resources Partners Finance
Corp.(d)(f) |
|
| | 7,450,000 | | | | 5.125 | | | | 02/01/25 | | | | 7,692,125 | |
| | The Williams Cos., Inc. | |
| | 9,000,000 | | | | 7.500 | | | | 01/15/31 | | | | 10,646,271 | |
| | Williams Partners LP | |
| | 2,345,000 | | | | 6.300 | | | | 04/15/40 | | | | 2,699,604 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 45,407,965 | |
| | |
| | | | | | | | | | | | | | |
| Corporate Obligations – (continued) | |
| Property/Casualty Insurance – 0.0% | |
| | Transatlantic Holdings, Inc. | |
| 75,000 | | | | 8.000 | | | | 11/30/39 | | | | 99,517 | |
| | |
| Real Estate(d) – 0.2% | |
| | VEREIT Operating Partnership LP | |
| | 4,000,000 | | | | 4.125 | | | | 06/01/21 | | | | 4,153,536 | |
| | |
| Retailers – 0.6% | |
| | Amazon.com, Inc.(d) | |
| | 5,000,000 | | | | 4.950 | | | | 12/05/44 | | | | 5,736,380 | |
| | JC Penney Corp., Inc.(h) | |
| | 1,150,000 | | | | 7.400 | | | | 04/01/37 | | | | 935,812 | |
| | L Brands, Inc. | |
| | 2,625,000 | | | | 6.875 | | | | 11/01/35 | | | | 2,592,187 | |
| | 150,000 | | | | 6.750 | | | | 07/01/36 | | | | 144,938 | |
| | Restoration Hardware Holdings, Inc.(f)(i) | |
| | 3,000,000 | | | | 0.000 | | | | 06/15/19 | | | | 2,670,000 | |
| | The Neiman Marcus Group, Inc. | |
| | 1,500,000 | | | | 7.125 | | | | 06/01/28 | | | | 1,155,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 13,234,317 | |
| | |
| Retailers – Food & Drug(d) – 0.4% | |
| | CVS Health Corp. | |
| | 3,000,000 | | | | 5.125 | | | | 07/20/45 | | | | 3,352,692 | |
| | Rite Aid Corp. | |
| | 6,000,000 | | | | 6.750 | | | | 06/15/21 | | | | 6,060,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 9,412,692 | |
| | |
| Technology(d) – 1.2% | |
| | Broadcom Corp./Broadcom Cayman Finance Ltd.(f) | |
| | 7,050,000 | | | | 3.875 | | | | 01/15/27 | | | | 7,153,966 | |
| | Hewlett Packard Enterprise Co. | |
| | 3,000,000 | | | | 6.200 | | | | 10/15/35 | | | | 3,200,505 | |
| | Seagate HDD Cayman | |
| | 5,000,000 | | | | 5.750 | | | | 12/01/34 | | | | 4,662,840 | |
| | Symantec Corp.(f) | |
| | 6,000,000 | | | | 5.000 | | | | 04/15/25 | | | | 6,196,584 | |
| | VeriSign, Inc. | |
| | 4,000,000 | | | | 5.250 | | | | 04/01/25 | | | | 4,190,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 25,403,895 | |
| | |
| Technology – Hardware – 1.3% | |
| | Alcatel-Lucent USA, Inc. | |
| | 1,175,000 | | | | 6.450 | | | | 03/15/29 | | | | 1,316,000 | |
| | Dell International LLC/EMC Corp.(d)(f) | |
| | 4,000,000 | | | | 8.100 | | | | 07/15/36 | | | | 5,019,776 | |
| | Micron Technology, Inc.(d) | |
| | 5,400,000 | | | | 7.500 | | | | 09/15/23 | | | | 6,034,500 | |
| | NCR Corp.(d) | |
| | 5,000,000 | | | | 5.875 | | | | 12/15/21 | | | | 5,237,500 | |
| | Qorvo, Inc.(d) | |
| | 4,000,000 | | | | 6.750 | | | | 12/01/23 | | | | 4,340,000 | |
| | Western Digital Corp.(d)(f) | |
| | 6,000,000 | | | | 7.375 | | | | 04/01/23 | | | | 6,570,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 28,517,776 | |
| | |
| | |
| 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) | |
| Technology – Software(d) – 0.9% | |
| | BMC Software Finance, Inc.(f) | |
| $ | 10,000,000 | | | | 8.125 | % | | | 07/15/21 | | | $ | 10,162,500 | |
| | Infor US, Inc. | |
| | 5,000,000 | | | | 6.500 | | | | 05/15/22 | | | | 5,200,000 | |
| | Nuance Communications, Inc.(f) | |
| | 3,000,000 | | | | 5.625 | | | | 12/15/26 | | | | 3,101,250 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 18,463,750 | |
| | |
| Tobacco(d) – 0.6% | |
| | Reynolds American, Inc. | |
| | 10,000,000 | | | | 5.850 | | | | 08/15/45 | | | | 11,816,060 | |
| | |
| Wireless Telecommunications – 4.7% | |
| | Digicel Group Ltd.(d)(f) | |
| | 3,800,000 | | | | 8.250 | | | | 09/30/20 | | | | 3,467,500 | |
| | Digicel Ltd.(d)(f) | |
| | 950,000 | | | | 7.000 | | | | 02/15/20 | | | | 928,625 | |
| | Intelsat Jackson Holdings SA(d) | |
| | 4,000,000 | | | | 7.250 | | | | 10/15/20 | | | | 3,740,000 | |
| | 3,000,000 | | | | 7.250 | | | | 04/01/19 | | | | 2,891,250 | |
| | 10,000,000 | | | | 8.000 | (f) | | | 02/15/24 | | | | 10,775,000 | |
| | SoftBank Group Corp. | |
| | 7,500,000 | | | | 6.000 | (d) | | | 07/30/25 | | | | 8,118,750 | |
| | 10,000,000 | | | | 4.500 | (f) | | | 04/15/20 | | | | 10,375,000 | |
| | Sprint Communications, Inc. | |
| | 2,000,000 | | | | 6.000 | | | | 11/15/22 | | | | 2,085,000 | |
| | Sprint Corp. | |
| | 16,000,000 | | | | 7.875 | | | | 09/15/23 | | | | 17,960,000 | |
| | 7,500,000 | | | | 7.125 | | | | 06/15/24 | | | | 8,156,250 | |
| | T-Mobile USA, Inc. | |
| | 2,000,000 | | | | 6.375 | (d) | | | 03/01/25 | | | | 2,185,000 | |
| | 3,950,000 | | | | 4.000 | | | | 04/15/22 | | | | 4,038,875 | |
| | 10,550,000 | | | | 6.500 | (d) | | | 01/15/26 | | | | 11,684,125 | |
| | 7,000,000 | | | | 6.625 | (d) | | | 04/01/23 | | | | 7,472,500 | |
| | VimpelCom Holdings BV | |
| | 1,000,000 | | | | 7.504 | | | | 03/01/22 | | | | 1,130,000 | |
| | Wind Acquisition Finance SA(d)(f) | |
| | 3,000,000 | | | | 7.375 | | | | 04/23/21 | | | | 3,116,250 | |
| | 2,425,000 | | | | 4.750 | | | | 07/15/20 | | | | 2,458,344 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 100,582,469 | |
| | |
| Wirelines Telecommunications – 2.5% | |
| | AT&T, Inc.(d) | |
| | 6,300,000 | | | | 4.750 | | | | 05/15/46 | | | | 5,901,292 | |
| | Frontier Communications Corp. | |
| | 8,001,000 | | | | 8.500 | | | | 04/15/20 | | | | 8,491,061 | |
| | Telecom Italia Capital SA | |
| | 3,000,000 | | | | 7.721 | | | | 06/04/38 | | | | 3,427,500 | |
| | Telecom Italia SpA(f) | |
| | 10,000,000 | | | | 5.303 | | | | 05/30/24 | | | | 10,300,000 | |
| | Telefonica Emisiones SAU | |
| | 10,850,000 | | | | 4.103 | | | | 03/08/27 | | | | 11,128,986 | |
| | Uniti Group, Inc./CSL Capital LLC(d)(f) | |
| | 3,600,000 | | | | 6.000 | | | | 04/15/23 | | | | 3,748,500 | |
| | Verizon Communications, Inc. | |
| | 2,500,000 | | | | 4.862 | | | | 08/21/46 | | | | 2,426,040 | |
| | 2,500,000 | | | | 4.672 | | | | 03/15/55 | | | | 2,282,350 | |
| | |
| | | | | | | | | | | | | | |
| Corporate Obligations – (continued) | |
| Wirelines Telecommunications – (continued) | |
| | Windstream Services LLC(d) | |
| 5,000,000 | | | | 7.750 | | | | 10/01/21 | | | | 5,012,500 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 52,718,229 | |
| | |
| | TOTAL CORPORATE OBLIGATIONS | |
| | (Cost $970,041,562) | | | $ | 1,011,087,468 | |
| | |
| | |
| Mortgage-Backed Obligations – 0.0% | |
| Collateralized Mortgage Obligations – 0.0% | |
| Adjustable Rate Non-Agency(e) – 0.0% | |
| | Countrywide Alternative Loan Trust Series 2005-31, Class 2A1 | |
| $ | 118,223 | | | | 1.582 | % | | | 08/25/35 | | | $ | 97,861 | |
| | Countrywide Alternative Loan Trust Series 2005-38, Class A3 | |
| | 115,209 | | | | 1.682 | | | | 09/25/35 | | | | 103,785 | |
| Countrywide Home Loan Mortgage Pass-Through Trust
Series 2004-HYB6, Class A2 |
|
| | 7,684 | | | | 3.126 | | | | 11/20/34 | | | | 7,620 | |
| | JPMorgan Alternative Loan Trust Series 2005-A2, Class 1A1 | |
| | 93,627 | | | | 1.242 | | | | 01/25/36 | | | | 89,664 | |
| Merrill Lynch Alternative Note Asset Trust Series 2007-OAR3,
Class A1 |
|
| | 335,658 | | | | 1.172 | | | | 07/25/47 | | | | 275,310 | |
| Structured Adjustable Rate Mortgage Loan Trust Series 2004-06,
Class 3A2 |
|
| | 101,592 | | | | 3.186 | | | | 06/25/34 | | | | 101,268 | |
| Wells Fargo Mortgage Backed Securities Trust Series 2005-AR16,
Class 1A1 |
|
| | 46,650 | | | | 3.225 | | | | 08/25/33 | | | | 48,161 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 723,669 | |
| | |
| Interest Only(j) – 0.0% | |
| CS First Boston Mortgage Securities Corp. Series 2003-19,
Class 1A2 |
|
| | 767 | | | | 5.250 | | | | 07/25/33 | | | | 9 | |
| CS First Boston Mortgage Securities Corp. Series 2003-AR18,
Class 2X(e) |
|
| | 12,807 | | | | 0.000 | | | | 07/25/33 | | | | — | |
| CS First Boston Mortgage Securities Corp. Series 2003-AR20,
Class 2X(e) |
|
| | 12,710 | | | | 0.000 | | | | 08/25/33 | | | | — | |
| Master Adjustable Rate Mortgages Trust Series 2003-2,
Class 3AX(e) |
|
| | 29,580 | | | | 0.123 | | | | 08/25/33 | | | | 182 | |
| Master Adjustable Rate Mortgages Trust Series 2003-2,
Class 4AX(e) |
|
| | 6,002 | | | | 0.320 | | | | 07/25/33 | | | | 94 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 285 | |
| | |
| | TOTAL MORTGAGE-BACKED OBLIGATIONS | |
| | (Cost $586,959) | | | $ | 723,954 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 25 |
GOLDMAN SACHS INCOME BUILDER FUND
Schedule of Investments (continued)
April 30, 2017 (Unaudited)
| | | | | | | | | | | | | | |
Principal Amount | | | Interest
Rate | | | Maturity
Date | | | Value | |
| | | | | | | | | | | | | | |
| Asset-Backed Securities(e) – 0.0% | |
| Home Equity – 0.0% | |
| | Countrywide Home Equity Loan Trust Series 2004-N, Class 2A | |
| $ | 33,984 | | | | 1.192 | % | | | 02/15/34 | | | $ | 31,645 | |
| | |
| | TOTAL ASSET-BACKED SECURITIES | |
| | (Cost $34,008) | | | $ | 31,645 | |
| | |
| | |
| Bank Loans(k) – 7.5% | |
| Aerospace – 0.4% | |
| | Transdigm, Inc. | |
| $ | 5,543,259 | | | | 4.147 | % | | | 02/28/20 | | | $ | 5,554,345 | |
| | 1,949,875 | | | | 4.147 | | | | 06/04/21 | | | | 1,952,858 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 7,507,203 | |
| | |
| Chemicals – 0.3% | |
| | Univar, Inc. | |
| | 3,349,106 | | | | 3.743 | | | | 07/01/22 | | | | 3,357,479 | |
| | US Coatings Acquisition, Inc. | |
| | 3,531,219 | | | | 3.647 | | | | 02/01/23 | | | | 3,564,130 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 6,921,609 | |
| | |
| Energy – 0.2% | |
| | American Energy – Marcellus LLC | |
| | 1,075,000 | | | | 8.534 | | | | 08/04/21 | | | | 113,950 | |
| | Blue Ridge Mountain Resources Inc.(b) | |
| | 397,838 | | | | 8.000 | | | | 05/06/19 | | | | 397,838 | |
| | MEG Energy Corp. | |
| | 2,845,983 | | | | 4.680 | | | | 12/31/23 | | | | 2,847,406 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 3,359,194 | |
| | |
| Environmental – 0.3% | |
| | Advanced Disposal Services, Inc. | |
| | 2,269,677 | | | | 3.696 | | | | 11/10/23 | | | | 2,288,311 | |
| | EnergySolutions LLC | |
| | 4,522,387 | | | | 6.750 | | | | 05/29/20 | | | | 4,569,511 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 6,857,822 | |
| | |
| Financial Co. – Non Captive – 0.3% | |
| | Avolon TLB Borrower 1 (Luxembourg) S.a.r.l. | |
| | 2,700,000 | | | | 3.743 | | | | 03/20/22 | | | | 2,739,312 | |
| | Victory Capital Management, Inc. | |
| | 4,559,796 | | | | 8.647 | | | | 10/31/21 | | | | 4,608,267 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 7,347,579 | |
| | |
| Food & Beverage – 0.5% | |
| | AdvancePierre Foods, Inc. | |
| | 2,039,680 | | | | 4.000 | | | | 06/02/23 | | | | 2,043,678 | |
| | Shearer’s Foods, Inc. | |
| | 1,420,000 | | | | 7.897 | | | | 06/30/22 | | | | 1,391,600 | |
| | 1,752,813 | | | | 5.397 | | | | 06/30/21 | | | | 1,757,195 | |
| | 1,979,695 | | | | 5.084 | | | | 06/30/21 | | | | 1,983,001 | |
| | US Foods, Inc. | |
| | 4,179,820 | | | | 3.743 | | | | 06/27/23 | | | | 4,216,017 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 11,391,491 | |
| | |
| | | | | | | | | | | | | | |
| Bank Loans(k) – (continued) | |
| Health Care – Pharmaceuticals – 0.4% | |
| | Valeant Pharmaceuticals International, Inc. | |
| 8,228,323 | | | | 5.740 | | | | 04/01/22 | | | | 8,275,471 | |
| | |
| Health Care – Services – 0.4% | |
| | Sedgwick Claims Management Services, Inc. | |
| | 5,695,000 | | | | 6.750 | | | | 02/28/22 | | | | 5,699,727 | |
| | U.S. Renal Care, Inc. | |
| | 4,122,813 | | | | 5.397 | | | | 12/31/22 | | | | 3,906,365 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 9,606,092 | |
| | |
| Home Construction – 0.1% | |
| | Builders FirstSource, Inc. | |
| | 3,225,488 | | | | 4.069 | | | | 02/29/24 | | | | 3,211,393 | |
| | |
| Media – Broadcasting & Radio – 0.4% | |
| | Getty Images, Inc. | |
| | 7,973,664 | | | | 4.750 | | | | 10/18/19 | | | | 7,043,377 | |
| | Lions Gate Entertainment Corp. | |
| | 2,280,000 | | | | 3.982 | | | | 12/08/23 | | | | 2,291,400 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 9,334,777 | |
| | |
| Media – Cable – 0.1% | |
| | CSC Holdings LLC | |
| | 1,755,469 | | | | 3.244 | | | | 07/15/25 | | | | 1,753,907 | |
| | |
| Metals & Mining – 0.1% | |
| | Hi Crush Partners LP | |
| | 1,322,727 | | | | 4.897 | | | | 04/28/21 | | | | 1,286,352 | |
| | |
| Packaging – 0.1% | |
| | SIG Combibloc U.S. Acquisition, Inc. | |
| | 1,922,078 | | | | 4.000 | | | | 03/13/22 | | | | 1,933,553 | |
| | |
| Real Estate – 0.1% | |
| | Realogy Corp. | |
| | 2,026,372 | | | | 3.242 | | | | 07/20/22 | | | | 2,041,570 | |
| | |
| Restaurants – 0.2% | |
| | 1011778 B.C. Unlimited Liability Co. | |
| | 3,319,508 | | | | 3.397 | | | | 02/16/24 | | | | 3,320,338 | |
| | |
| Retailers – 0.7% | |
| | Neiman Marcus Group Ltd., Inc. | |
| | 9,301,487 | | | | 4.250 | | | | 10/25/20 | | | | 7,410,216 | |
| | PetSmart, Inc. | |
| | 6,196,899 | | | | 4.020 | | | | 03/11/22 | | | | 5,669,481 | |
| | True Religion Apparel, Inc. | |
| | 4,197,750 | | | | 6.022 | | | | 07/30/19 | | | | 893,533 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 13,973,230 | |
| | |
| Retailers – Food & Drug – 0.1% | |
| | Rite Aid Corp. | |
| | 1,750,000 | | | | 4.875 | | | | 06/21/21 | | | | 1,751,645 | |
| | |
| Retailers – Food & Drug – 0.2% | |
| | BJ’s Wholesale Club, Inc. | |
| | 3,950,000 | | | | 4.750 | | | | 02/03/24 | | | | 3,931,909 | |
| | |
| Services Cyclical – Business Services – 0.6% | |
| | Equinix, Inc. | |
| | 4,098,302 | | | | 3.493 | | | | 01/06/23 | | | | 4,118,793 | |
| | |
| | |
| 26 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INCOME BUILDER FUND
| | | | | | | | | | | | | | |
Principal Amount | | | Interest
Rate | | | Maturity
Date | | | Value | |
| | | | | | | | | | | | | | |
| Bank Loans(k) – (continued) | |
| Services Cyclical – Business Services – (continued) | |
| | First Data Corp. | |
| $ | 1,027,912 | | | | 3.491 | % | | | 04/26/24 | | | $ | 1,027,912 | |
| | 4,384,881 | | | | 3.988 | | | | 07/10/22 | | | | 4,407,902 | |
| | Global Payments, Inc. | |
| | 903,763 | | | | 3.493 | | | | 04/22/23 | | | | 906,700 | |
| | Sabre, Inc. | |
| | 2,720,221 | | | | 3.743 | | | | 02/22/24 | | | | 2,746,281 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 13,207,588 | |
| | |
| Technology – Software/Services – 1.9% | |
| | Ancestry.com Operations, Inc. | |
| | 5,247,000 | | | | 4.250 | | | | 10/19/23 | | | | 5,287,979 | |
| | Aspect Software, Inc. | |
| | 5,458,535 | | | | 11.278 | | | | 05/25/20 | | | | 5,456,242 | |
| | Avast Software BV | |
| | 2,221,875 | | | | 4.397 | | | | 09/30/23 | | | | 2,242,250 | |
| | BMC Software Finance, Inc. | |
| | 6,741,045 | | | | 5.000 | | | | 09/13/22 | | | | 6,776,840 | |
| | Infor (US), Inc. | |
| | 3,209,285 | | | | 3.897 | | | | 02/01/22 | | | | 3,201,775 | |
| | MA FinanceCo. LLC | |
| | 580,402 | | | | 2.750 | | | | 04/18/24 | | | | 582,033 | |
| | 5,688,598 | | | | 4.789 | | | | 11/20/19 | | | | 5,693,319 | |
| | Micron Technology, Inc. | |
| | 3,275,250 | | | | 3.500 | | | | 04/26/22 | | | | 3,295,262 | |
| | Renaissance Learning, Inc. | |
| | 147,048 | | | | 8.147 | | | | 04/11/22 | | | | 146,191 | |
| | Seattle Spinco, Inc. | |
| | 3,919,598 | | | | 2.750 | | | | 04/30/24 | | | | 3,930,612 | |
| | SS&C Technologies, Inc. | |
| | 4,620,578 | | | | 3.243 | | | | 07/08/22 | | | | 4,652,368 | |
| | 383,718 | | | | 3.243 | | | | 07/08/22 | | | | 386,358 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 41,651,229 | |
| | |
| Wireless Telecommunications – 0.1% | |
| | Intelsat Jackson Holdings SA | |
| | 3,000,000 | | | | 3.887 | | | | 06/30/19 | | | | 2,958,060 | |
| | |
| | TOTAL BANK LOANS | |
| | (Cost $167,332,773) | | | $ | 161,622,012 | |
| | |
| | |
| U.S. Treasury Obligations(m) – 3.0% | |
| | United States Treasury Note | |
| $ | 64,100,000 | | | | 1.375 | % | | | 09/30/20 | | | $ | 63,689,761 | |
| | (Cost $64,521,175) | | | | | |
| | |
| | | | | | | | | | |
| Shares | | | Distribution Rate | | | Value | |
| | | | | | | | | | |
| Investment Companies(e)(l) – 0.6% | |
| Goldman Sachs Financial Square Government
Fund – Institutional Shares |
|
| | 9,261,699 | | | | 0.660 | % | | $ | 9,261,699 | |
| | Goldman Sachs High Yield Fund – Institutional Shares | |
| | 488,907 | | | | 5.140 | | | | 3,231,678 | |
| | |
| | TOTAL INVESTMENT COMPANIES | |
| | (Cost $12,786,326) | | | $ | 12,493,377 | |
| | |
| | | | | | | | | | | | | | |
Principal
Amount | | | Interest
Rate | | | Maturity
Date | | | Value | |
| Short-term Investments – 0.3% | |
| Certificates of Deposit – 0.3% | |
| | Credit Suisse New York | |
| $ | 2,500,000 | | | | 1.690 | % | | | 09/28/17 | | | $ | 2,503,568 | |
| | ING Funding LLC | |
| | 3,150,000 | | | | 1.467 | | | | 06/09/17 | | | | 3,152,620 | |
| | |
| | TOTAL SHORT-TERM INVESTMENTS | |
| | (Cost $5,650,000) | | | $ | 5,656,188 | |
| | |
| TOTAL INVESTMENTS BEFORE SECURITIES LENDING
REINVESTMENT VEHICLE |
|
| | (Cost $1,984,543,074) | | | $ | 2,092,889,410 | |
| | |
| | | | | | | | | | |
| Shares | | | Distribution Rate | | | Value | |
| Securities Lending Reinvestment Vehicle(e)(l) – 0.3% | |
| Goldman Sachs Financial Square Government
Fund – Institutional Shares |
|
| | 6,700,965 | | | | 0.660 | % | | $ | 6,700,965 | |
| | (Cost $6,700,965) | | | | | |
| | |
| | TOTAL INVESTMENTS – 98.0% | |
| | (Cost $1,991,244,039) | | | $ | 2,099,590,375 | |
| | |
| OTHER ASSETS IN EXCESS
OF LIABILITIES – 2.0% |
| | | 43,922,343 | |
| | |
| | NET ASSETS – 100.0% | | | $ | 2,143,512,718 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 27 |
GOLDMAN SACHS INCOME BUILDER FUND
Schedule of Investments (continued)
April 30, 2017 (Unaudited)
| | |
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
(a) | | All or a portion of security is on loan. |
(b) | | Security is currently in default and/or non-income producing. |
(c) | | Restricted securities are not registered under the Securities Act of 1933 and are subject to legal restrictions on sale. These securities generally may be resold in transactions exempt from registration or to the public if the securities are subsequently registered and the registration statement is effective. Disposal of these securities may involve time consuming negotiations and prompt sale at an acceptable price may be difficult. Total market value of restricted securities amounts to $2,405,666 which represents approximately 0.1% of net assets as of April 30, 2017. See additional details below: |
| | | | | | | | | | |
| | | Restricted Security | | Acquisition Date | | | Cost | |
| | Blue Ridge Mountain | | | | | | | | |
| | Resources, Inc. (Common Stock) | | | 05/06/16 - 08/18/16 | | | $ | 2,595,080 | |
| | |
(d) | | Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. |
(e) | | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on April 30, 2017. |
(f) | | 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 $393,618,535, which represents approximately 18.4% of net assets as of April 30, 2017. |
(g) | | Pay-in-kind securities. |
(h) | | Security with “Put” features and resetting interest rates. Maturity dates disclosed are the puttable dates. Interest rate disclosed is that which is in effect at April 30, 2017. |
(i) | | Issued with a zero coupon. Income is recognized through the accretion of discount. |
(j) | | Security with a notional or nominal principal amount. The actual effective yield of this security is different than the stated interest rate. |
(k) | | 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, 2017. 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. |
(l) | | Represents an affiliated issuer/fund. |
(m) | | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. |
|
Currency Abbreviations: |
EUR | | —Euro |
GBP | | —British Pound |
| | |
Investment Abbreviations: |
ADR | | —American Depositary Receipt |
BP | | —British Pound Offered Rate |
LLC | | —Limited Liability Company |
LP | | —Limited Partnership |
PLC | | —Public Limited Company |
|
| | |
| 28 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INCOME BUILDER FUND
|
| ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At April 30, 2017, 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 | |
Royal Bank of Canada | | EUR | | 166,625 | | USD | | | 179,595 | | | $ | 181,605 | | | | 05/11/17 | | | $ | 2,010 | |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency
Purchased | | | Currency
Sold | | | Current
Value | | | Settlement
Date | | | Unrealized
Loss | |
Citibank NA | | USD | | | 6,716,230 | | | EUR | | | 6,305,076 | | | $ | 6,871,929 | | | | 05/11/17 | | | $ | (155,699 | ) |
Morgan Stanley & Co. | | USD | | | 9,323,487 | | | GBP | | | 7,268,132 | | | | 9,426,214 | | | | 06/15/17 | | | | (102,727 | ) |
| TOTAL | | | | | | | | | | | | | | | | | | | | | | $ | (258,426 | ) |
FUTURES CONTRACTS — At April 30, 2017, the Fund had the following futures contracts:
| | | | | | | | | | | | | | | | |
| Type | | Number of
Contracts
Long (Short) | | | Expiration
Date | | | Current
Value | | | Unrealized
Gain (Loss) | |
Ultra U.S. Treasury Bonds | | | (422 | ) | | | June 2017 | | | $ | (68,759,625 | ) | | $ | (1,237,268 | ) |
U.S. Long Bonds | | | (74 | ) | | | June 2017 | | | | (11,319,687 | ) | | | (124,474 | ) |
2 Year U.S. Treasury Notes | | | (672 | ) | | | June 2017 | | | | (145,561,501 | ) | | | (42,000 | ) |
5 Year U.S. Treasury Notes | | | (932 | ) | | | June 2017 | | | | (110,354,625 | ) | | | (264,324 | ) |
10 Year U.S. Treasury Notes | | | (358 | ) | | | June 2017 | | | | (45,007,313 | ) | | | (25,621 | ) |
| TOTAL | | | | | | | | | | | | | | $ | (1,693,687 | ) |
WRITTEN OPTIONS CONTRACTS — At April 30, 2017 the Fund had following written options:
| | | | | | | | | | | | | | | | | | |
| Counterparty | | Description | | Contracts | | | Expiration
Date | | | Strike
Price | | | Value | |
Morgan Stanley & Co. International PLC | | Call - S&P 500 Index | | | 44,290 | | | | 05/05/17 | | | | 2,420 | | | $ | (10,335 | ) |
| | Call - S&P 500 Index | | | 40,919 | | | | 05/12/17 | | | | 2,410 | | | | (136,045 | ) |
| | Call - S&P 500 Index | | | 45,507 | | | | 05/19/17 | | | | 2,425 | | | | (102,970 | ) |
UBS AG (London) | | Call - S&P 500 Index | | | 43,196 | | | | 05/26/17 | | | | 2,445 | | | | (101,942 | ) |
| TOTAL (Premium Received $437,724) | | | 173,912 | | | | | | | | | | | $ | (351,292 | ) |
| | |
| The accompanying notes are an integral part of these financial statements. | | 29 |
GOLDMAN SACHS INCOME BUILDER FUND
Schedule of Investments (continued)
April 30, 2017 (Unaudited)
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
OPTIONS ON EQUITIES CONTRACTS — For the period ended April 30, 2017, the Fund had the following written equity options activity:
| | | | | | | | |
| | | Contracts | | | Premiums
Received | |
Contracts Outstanding October 31, 2016 | | | 190,527 | | | $ | 438,228 | |
Contracts written | | | 1,225,808 | | | | 3,252,762 | |
Contracts expired | | | (804,210 | ) | | | (2,077,499 | ) |
Contracts assigned | | | (195,900 | ) | | | (512,194 | ) |
Contracts bought back | | | (242,313 | ) | | | (663,573 | ) |
Contracts Outstanding April 30, 2017 | | | 173,912 | | | $ | 437,724 | |
| | |
| 30 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS RISING DIVIDEND GROWTH FUND
Schedule of Investments
April 30, 2017 (Unaudited)
| | | | | | | | |
| Shares | | | Description | | Value | |
| Common Stocks – 97.8% | |
| Aerospace & Defense – 5.7% | | | |
| | 210,000 | | | General Dynamics Corp. | | $ | 40,695,900 | |
| | 255,000 | | | Raytheon Co. | | | 39,578,550 | |
| | 400,000 | | | United Technologies Corp. | | | 47,596,000 | |
| | | | | | | | |
| | | | | | | 127,870,450 | |
| | |
| Banks – 2.0% | | | |
| | 925,000 | | | Bank of the Ozarks, Inc. | | | 43,909,750 | |
| | |
| Biotechnology – 1.9% | | | |
| | 245,000 | | | Shire PLC ADR | | | 43,355,200 | |
| | |
| Capital Markets – 5.9% | | | |
| | 370,880 | | | Ameriprise Financial, Inc. | | | 47,417,008 | |
| | 105,000 | | | FactSet Research Systems, Inc. | | | 17,142,300 | |
| | 975,000 | | | SEI Investments Co. | | | 49,442,250 | |
| | 260,000 | | | T. Rowe Price Group, Inc. | | | 18,431,400 | |
| | | | | | | | |
| | | | | | | 132,432,958 | |
| | |
| Chemicals – 6.2% | | | |
| | 410,000 | | | Ecolab, Inc. | | | 52,926,900 | |
| | 365,000 | | | Monsanto Co. | | | 42,562,650 | |
| | 135,000 | | | The Sherwin-Williams Co. | | | 45,181,800 | |
| | | | | | | | |
| | | | | | | 140,671,350 | |
| | |
| Communications Equipment – 2.0% | | | |
| | 400,000 | | | Harris Corp. | | | 44,756,000 | |
| | |
| Energy Equipment & Services – 0.7% | | | |
| | 275,000 | | | Helmerich & Payne, Inc. | | | 16,676,000 | |
| | |
| Equity Real Estate Investment Trusts (REITs) – 0.7% | |
| | 135,000 | | | Digital Realty Trust, Inc. | | | 15,503,400 | |
| | |
| Food & Staples Retailing – 10.0% | | | |
| | 395,000 | | | Casey’s General Stores, Inc. | | | 44,267,650 | |
| | 440,000 | | | Costco Wholesale Corp. | | | 78,108,800 | |
| | 475,000 | | | CVS Health Corp. | | | 39,159,000 | |
| | 840,000 | | | Wal-Mart Stores, Inc. | | | 63,151,200 | |
| | | | | | | | |
| | | | | | | 224,686,650 | |
| | |
| Food Products – 1.7% | | | |
| | 50,000 | | | Flowers Foods, Inc. | | | 980,500 | |
| | 1,070,000 | | | Hormel Foods Corp. | | | 37,535,600 | |
| | | | | | | | |
| | | | | | | 38,516,100 | |
| | |
| Health Care Equipment & Supplies – 2.2% | | | |
| | 260,000 | | | Becton Dickinson & Co. | | | 48,612,200 | |
| | |
| Health Care Providers & Services – 1.4% | | | |
| | 440,000 | | | Cardinal Health, Inc. | | | 31,939,600 | |
| | |
| Industrial Conglomerates – 2.1% | | | |
| | 215,000 | | | Roper Technologies, Inc. | | | 47,020,500 | |
| | |
| Insurance – 1.6% | | | |
| | 260,000 | | | Chubb Ltd. | | | 35,685,000 | |
| | |
| Internet Software & Services – 0.9% | | | |
| | 675,000 | | | Tencent Holdings Ltd. ADR | | | 21,161,250 | |
| | |
| Common Stocks – (continued) | |
| IT Services – 3.2% | | | |
| | 435,000 | | | Automatic Data Processing, Inc. | | | 45,453,150 | |
| | 275,000 | | | Jack Henry & Associates, Inc. | | | 26,653,000 | |
| | | | | | | | |
| | | | | | | 72,106,150 | |
| | |
| Leisure Products(a) – 2.4% | | | |
| | 640,000 | | | Polaris Industries, Inc. | | | 54,566,400 | |
| | |
| Machinery – 3.6% | | | |
| | 395,000 | | | Illinois Tool Works, Inc. | | | 54,545,550 | |
| | 170,000 | | | Parker-Hannifin Corp. | | | 27,336,000 | |
| | | | | | | | |
| | | | | | | 81,881,550 | |
| | |
| Oil, Gas & Consumable Fuels – 23.1% | | | |
| | 800,000 | | | Antero Midstream Partners LP | | | 27,216,000 | |
| | 470,000 | | | Buckeye Partners LP | | | 32,514,600 | |
| | 1,025,000 | | | Canadian Natural Resources Ltd. | | | 32,666,750 | |
| | 1,025,000 | | | Enable Midstream Partners LP | | | 16,717,750 | |
| | 900,000 | | | Energy Transfer Equity LP | | | 16,794,000 | |
| | 1,785,000 | | | Energy Transfer Partners LP | | | 42,732,900 | |
| | 695,000 | | | EnLink Midstream Partners LP | | | 12,336,250 | |
| | 1,545,000 | | | Enterprise Products Partners LP | | | 42,209,400 | |
| | 350,000 | | | EQT Midstream Partners LP | | | 27,314,000 | |
| | 700,000 | | | Genesis Energy LP | | | 21,938,000 | |
| | 350,000 | | | Magellan Midstream Partners LP | | | 26,005,000 | |
| | 475,000 | | | Occidental Petroleum Corp. | | | 29,231,500 | |
| | 500,000 | | | Phillips 66 Partners LP | | | 26,340,000 | |
| | 605,000 | | | Rice Midstream Partners LP | | | 15,258,100 | |
| | 400,000 | | | Spectra Energy Partners LP | | | 18,060,000 | |
| | 850,000 | | | Suncor Energy, Inc. | | | 26,656,000 | |
| | 595,000 | | | Tallgrass Energy GP LP | | | 16,035,250 | |
| | 415,000 | | | Tallgrass Energy Partners LP | | | 21,289,500 | |
| | 485,000 | | | Tesoro Logistics LP | | | 26,607,100 | |
| | 275,000 | | | Western Gas Equity Partners LP | | | 12,592,250 | |
| | 380,000 | | | Western Gas Partners LP | | | 22,309,800 | |
| | 200,000 | | | Williams Partners LP | | | 8,186,000 | |
| | | | | | | | |
| | | | | | | 521,010,150 | |
| | |
| Pharmaceuticals – 3.6% | | | |
| | 475,000 | | | Novo Nordisk A/S ADR | | | 18,373,000 | |
| | 1,950,000 | | | Roche Holding AG ADR | | | 63,761,100 | |
| | | | | | | | |
| | | | | | | 82,134,100 | |
| | |
| Road & Rail – 3.5% | | | |
| | 470,000 | | | Canadian National Railway Co. | | | 33,976,300 | |
| | 410,000 | | | Union Pacific Corp. | | | 45,903,600 | |
| | | | | | | | |
| | | | | | | 79,879,900 | |
| | |
| Semiconductors & Semiconductor Equipment – 2.6% | |
| | 685,000 | | | Texas Instruments, Inc. | | | 54,238,300 | |
| | 75,000 | | | Xilinx, Inc. | | | 4,733,250 | |
| | | | | | | | |
| | | | | | | 58,971,550 | |
| | |
| Software – 3.6% | |
| | 1,170,000 | | | Microsoft Corp. | | | 80,098,200 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 31 |
GOLDMAN SACHS RISING DIVIDEND GROWTH FUND
Schedule of Investments (continued)
April 30, 2017 (Unaudited)
| | | | | | | | |
| Shares | | | Description | | Value | |
| Common Stocks – (continued) | |
| Specialty Retail – 4.7% | | | |
| | 825,000 | | | Ross Stores, Inc. | | $ | 53,625,000 | |
| | 675,000 | | | The TJX Cos., Inc. | | | 53,082,000 | |
| | | | | | | | |
| | | | | | | 106,707,000 | |
| | |
| Textiles, Apparel & Luxury Goods – 2.5% | |
| | 1,000,000 | | | NIKE, Inc. Class B | | | 55,410,000 | |
| | |
| | TOTAL COMMON STOCKS | |
| | (Cost $1,726,143,888) | | $ | 2,205,561,408 | |
| | |
| | | | | | | | | | | | |
Principal
Amount | | Interest
Rate | | | Maturity
Date | | | Value | |
| Short-term Investment(b) – 1.8% | |
| Repurchase Agreements – 1.8% | |
Joint Repurchase Agreement Account II | |
| $40,800,000 | | | 0.821 | % | | | 05/01/17 | | | $ | 40,800,000 | |
| (Cost $40,800,000) | | | | | |
| |
| TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | |
| (Cost $1,766,943,888) | | | $ | 2,246,361,408 | |
| |
| | | | | | | | |
| Shares | | | Distribution
Rate | | Value | |
| Securities Lending Reinvestment Vehicle(c)(d) – 2.3% | |
| Goldman Sachs Financial Square Government Fund –
Institutional Shares |
|
| | 53,364,775 | | | 0.660 | | $ | 53,364,775 | |
| | (Cost $53,364,775) | | | | |
| | |
| | TOTAL INVESTMENTS – 101.9% | |
| | (Cost $1,820,308,663) | | $ | 2,299,726,183 | |
| | |
| LIABILITIES IN EXCESS OF
OTHER ASSETS – (1.9)% | | | (43,816,478 | ) |
| | |
| | NET ASSETS – 100.0% | | $ | 2,255,909,705 | |
| | |
| | |
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
(a) | | All or a portion of security is on loan. |
(b) | | Joint repurchase agreement was entered into on April 28, 2017. Additional information appears on page 14. |
(c) | | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on April 30, 2017. |
(d) | | Represents an Affiliated fund. |
| | |
|
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 RISING DIVIDEND GROWTH FUND
|
| ADDITIONAL INVESTMENT INFORMATION |
JOINT REPURCHASE AGREEMENT ACCOUNT II — At April 30, 2017, the Rising Dividend Growth Fund had undivided interests in the Joint Repurchase Agreement Account II, with a maturity date of May 1, 2017, as follows:
| | | | | | | | | | |
| Fund | | Principal
Amount | | Maturity
Value | | | Collateral
Allocation
Value | |
Rising Dividend Growth | | $40,800,000 | | $ | 40,800,931 | | | $ | 41,616,000 | |
REPURCHASE AGREEMENTS — At April 30, 2017 the Principal Amount of the Fund’s interest in the Joint Repurchase
Agreement Account II was as follows:
| | | | | | | | |
| Counterparty | | Interest Rate | | | Rising Dividend
Growth | |
Citigroup Global Markets, Inc. | | | 0.83 | % | | $ | 5,572,503 | |
Merrill Lynch & Co., Inc. | | | 0.82 | | | | 35,227,497 | |
| TOTAL | | | | | | $ | 40,800,000 | |
At April 30, 2017, the Joint Repurchase Agreement Account II was fully collateralized by:
| | | | | | | | |
| Issuer | | Interest Rates | | | Maturity Dates | |
Federal Home Loan Mortgage Corp. | | | 1.000% to 6.000 | % | | | 06/29/17 to 04/01/47 | |
Federal National Mortgage Association | | | 1.000 to 6.000 | | | | 10/01/33 to 04/01/47 | |
Government National Mortgage Association | | | 3.500 to 4.500 | | | | 03/15/45 to 04/20/47 | |
United States Treasury Notes | | | 0.000 to 7.625 | | | | 11/09/17 to 01/31/20 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 33 |
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Statements of Assets and Liabilities
April 30, 2017 (Unaudited)
| | | | | | | | | | |
| | | | | Income Builder
Fund | | | Rising Dividend
Growth Fund | |
| | Assets: | | | | | | | | |
| | Investments of unaffiliated issuers, at value (cost $1,971,756,748 and $1,766,943,888)(a) | | $ | 2,080,396,033 | | | $ | 2,246,361,408 | |
| | Investments of affiliated issuers, at value (cost $12,786,326 and $0) | | | 12,493,377 | | | | — | |
| | Investments in securities lending reinvestment vehicle — affiliated issuer, at value which equals cost | | | 6,700,965 | | | | 53,364,775 | |
| | Cash | | | 35,891,290 | | | | 76,852 | |
| | Foreign currencies, at value (cost $2,858 and $0, respectively) | | | 2,795 | | | | — | |
| | Unrealized gain on forward foreign currency exchange contracts | | | 2,010 | | | | — | |
| | Receivables: | | | | | | | | |
| | Dividends and interest | | | 16,759,884 | | | | 5,707,254 | |
| | Investments sold | | | 7,335,532 | | | | 11,711,733 | |
| | Investments sold on an extended-settlement basis | | | 2,221,904 | | | | — | |
| | Fund shares sold | | | 4,386,267 | | | | 1,187,047 | |
| | Collateral on certain derivative contracts(b) | | | 970,000 | | | | — | |
| | Foreign tax reclaims | | | 231,677 | | | | 3,200,535 | |
| | Securities lending income | | | 9,646 | | | | 45,253 | |
| | Reimbursement from investment adviser | | | — | | | | 39,609 | |
| | Other assets | | | 12,250 | | | | 14,128 | |
| | Total assets | | | 2,167,413,630 | | | | 2,321,708,594 | |
| | | | | | | | | | |
| | Liabilities: | | | | | | | | |
| | Unrealized loss on forward foreign currency exchange contracts | | | 258,426 | | | | — | |
| | Variation margin on certain derivative contracts | | | 198,869 | | | | — | |
| | Written option contracts, at value (premium received $437,724 and $0, respectively) | | | 351,292 | | | | — | |
| | Payables: | | | | | | | | |
| | Payable upon return of securities loaned | | | 6,700,965 | | | | 53,364,775 | |
| | Investments purchased | | | 6,254,355 | | | | 1,512,957 | |
| | Investments purchased on an extended — settlement basis | | | 4,488,750 | | | | — | |
| | Fund shares redeemed | | | 3,764,631 | | | | 8,612,262 | |
| | Management fees | | | 892,388 | | | | 1,315,070 | |
| | Distribution and Service fees and Transfer Agency fees | | | 861,380 | | | | 775,209 | |
| | Accrued expenses | | | 129,856 | | | | 218,616 | |
| | Total liabilities | | | 23,900,912 | | | | 65,798,889 | |
| | | | | | | | | | |
| | NET ASSETS: | | | | | | | | |
| | Paid-in capital | | | 2,149,010,099 | | | | 1,504,672,515 | |
| | Distributions in excess of net investment income | | | (1,706,117 | ) | | | (31,540,646 | ) |
| | Accumulated net realized gain (loss) | | | (110,278,588 | ) | | | 303,360,316 | |
| | Net unrealized gain | | | 106,487,324 | | | | 479,417,520 | |
| | | NET ASSETS | | $ | 2,143,512,718 | | | $ | 2,255,909,705 | |
| | | Net Assets: | | | | | | | | |
| | | Class A | | $ | 399,188,442 | | | $ | 424,951,282 | |
| | | Class C | | | 658,386,686 | | | | 530,713,890 | |
| | | Institutional | | | 785,240,926 | | | | 852,056,957 | |
| | | Class IR | | | 300,685,922 | | | | 443,253,971 | |
| | | Class R | | | — | | | | 4,933,605 | |
| | | Class R6 | | | 10,742 | | | | — | |
| | | Total Net Assets | | $ | 2,143,512,718 | | | $ | 2,255,909,705 | |
| | | Shares Outstanding $0.001 par value (unlimited number of shares authorized): | | | | | | | | |
| | | Class A | | | 17,880,658 | | | | 19,594,676 | |
| | | Class C | | | 29,967,926 | | | | 24,317,719 | |
| | | Institutional | | | 34,456,864 | | | | 38,461,257 | |
| | | Class IR | | | 13,230,867 | | | | 20,022,718 | |
| | | Class R | | | — | | | | 227,925 | |
| | | Class R6 | | | 471 | | | | — | |
| | | Net asset value, offering and redemption price per share:(c) | | | | | | | | |
| | | Class A | | | $22.33 | | | | $21.69 | |
| | | Class C | | | 21.97 | | | | 21.82 | |
| | | Institutional | | | 22.79 | | | | 22.15 | |
| | | Class IR | | | 22.73 | | | | 22.14 | |
| | | Class R | | | — | | | | 21.65 | |
| | | Class R6 | | | 22.79 | | | | — | |
| | (a) | | Includes loaned securities having a market value of $6,518,553 and $51,556,722. |
| | (b) | | Represents initial margin on future transactions. |
| | (c) | | Maximum public offering price per share for Class A shares of the Income Builder and the Rising Dividend Growth Funds is $$23.63 and $22.95, 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 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, 2017 (Unaudited)
| | | | | | | | | | |
| | | | | Income Builder
Fund | | | Rising Dividend
Growth Fund | |
| | Investment income: | | | | | | | | |
| | Interest | | $ | 34,933,578 | | | $ | 132,888 | |
| | Dividends — unaffiliated issuers (net of foreign withholding taxes of $211,617 and $588,651) | | | 13,694,995 | | | | 18,922,541 | |
| | Dividends — affiliated issuers | | | 115,756 | | | | — | |
| | Securities lending income — affiliated issuer | | | 119,833 | | | | 123,758 | |
| | Total investment income | | | 48,864,162 | | | | 19,179,187 | |
| | | | | | | | | | |
| | Expenses: | | | | | | | | |
| | Management fees | | | 6,551,975 | | | | 8,381,132 | |
| | Distribution and Service fees(a) | | | 3,944,241 | | | | 3,503,402 | |
| | Transfer Agency fees(a) | | | 1,455,821 | | | | 1,590,085 | |
| | Custody, accounting and administrative services | | | 128,096 | | | | 109,811 | |
| | Printing and mailing costs | | | 101,254 | | | | 150,727 | |
| | Professional fees | | | 54,532 | | | | 35,145 | |
| | Registration fees | | | 47,293 | | | | 53,801 | |
| | Trustee fees | | | 10,468 | | | | 11,008 | |
| | Other | | | 25,629 | | | | 34,024 | |
| | Total expenses | | | 12,319,309 | | | | 13,869,135 | |
| | Less — expense reductions | | | (1,153,219 | ) | | | (227,981 | ) |
| | Net expenses | | | 11,166,090 | | | | 13,641,154 | |
| | NET INVESTMENT INCOME | | | 37,698,072 | | | | 5,538,033 | |
| | | | | | | | | | |
| | Realized and unrealized gain (loss): | | | | | | | | |
| | Net realized gain (loss) from: | | | | | | | | |
| | Investments — unaffiliated issuers (including commission recapture of $1,425 and $0) | | | 26,639,624 | | | | 316,463,331 | |
| | Futures contracts | | | 2,408,742 | | | | — | |
| | Written options | | | (2,725,872 | ) | | | — | |
| | Forward foreign currency exchange contracts | | | 2,324,161 | | | | — | |
| | Foreign currency transactions | | | (275,849 | ) | | | (5,100 | ) |
| | Net change in unrealized gain (loss) on: | | | | | | | | |
| | Investments | | | 53,518,859 | | | | (22,917,493 | ) |
| | Futures contracts | | | (5,336,420 | ) | | | — | |
| | Written options | | | (134,321 | ) | | | — | |
| | Forward foreign currency exchange contracts | | | (2,381,726 | ) | | | — | |
| | Foreign currency translation | | | 70,590 | | | | — | |
| | Net realized and unrealized gain | | | 74,107,788 | | | | 293,540,738 | |
| | NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 111,805,860 | | | $ | 299,078,771 | |
| | (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 | | | Class IR | | | Class R | | | Class R6 | |
Income Builder Fund | | $ | 620,032 | | | $ | 3,324,209 | | | $ | — | | | $ | 471,225 | | | $ | 631,600 | | | $ | 150,737 | | | $ | 202,257 | | | $ | — | | | $ | 2 | |
Rising Dividend Growth Fund | | | 723,917 | | | | 2,767,049 | | | | 12,436 | | | | 550,177 | | | | 525,739 | | | | 180,597 | | | | 328,846 | | | | 4,726 | | | | — | |
| | |
| 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, 2017
(Unaudited) | | | For the Fiscal
Year Ended
October 31, 2016 | |
| | From operations: | |
| | Net investment income | | $ | 37,698,072 | | | $ | 78,884,451 | |
| | Net realized gain (loss) | | | 28,370,806 | | | | (116,658,658 | ) |
| | Net change in unrealized gain | | | 45,736,982 | | | | 92,007,673 | |
| | Net increase in net assets resulting from operations | | | 111,805,860 | | | | 54,233,466 | |
| | | | | | | | | | |
| | Distributions to shareholders: | | | | | | | | |
| | From net investment income | | | | | | | | |
| | Class A Shares | | | (9,336,558 | ) | | | (23,623,727 | ) |
| �� | Class C Shares | | | (10,686,957 | ) | | | (21,479,735 | ) |
| | Institutional Shares | | | (15,901,890 | ) | | | (29,565,682 | ) |
| | Class IR Shares | | | (4,678,402 | ) | | | (4,918,271 | ) |
| | Class R6 Shares | | | (220 | ) | | | (399 | ) |
| | Total distributions to shareholders | | | (40,604,027 | ) | | | (79,587,814 | ) |
| | | | | | | | | | |
| | From share transactions: | | | | | | | | |
| | Proceeds from sales of shares | | | 412,922,668 | | | | 664,843,281 | |
| | Reinvestment of distributions | | | 35,950,579 | | | | 70,651,516 | |
| | Cost of shares redeemed | | | (516,960,323 | ) | | | (879,887,243 | ) |
| | Net decrease in net assets resulting from share transactions | | | (68,087,076 | ) | | | (144,392,446 | ) |
| | TOTAL INCREASE (DECREASE) | | | 3,114,757 | | | | (169,746,794 | ) |
| | | | | | | | | | |
| | Net assets: | | | | | | | | |
| | Beginning of period | | | 2,140,397,961 | | | | 2,310,144,755 | |
| | End of period | | $ | 2,143,512,718 | | | $ | 2,140,397,961 | |
| | Undistributed (distribution in excess of) net investment income | | $ | (1,706,117 | ) | | $ | 1,199,838 | |
| | |
| 36 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
| | | | | | | | | | |
| | | | | Rising Dividend Growth Fund | |
| | | | | For the
Six Months Ended
April 30, 2017
(Unaudited) | | | For the Fiscal
Year Ended
October 31, 2016 | |
| | From operations: | |
| | Net investment income | | $ | 5,538,033 | | | $ | 11,173,677 | |
| | Net realized gain | | | 316,458,231 | | | | 64,107,594 | |
| | Net change in unrealized loss | | | (22,917,493 | ) | | | (204,537,263 | ) |
| | Net increase (decrease) in net assets resulting from operations | | | 299,078,771 | | | | (129,255,992 | ) |
| | | | | | | | | | |
| | Distributions to shareholders: | | | | | | | | |
| | From net investment income | | | | | | | | |
| | Class A Shares | | | (3,559,756 | ) | | | (4,554,978 | ) |
| | Class C Shares | | | (1,669,538 | ) | | | (1,719,715 | ) |
| | Institutional Shares | | | (7,886,288 | ) | | | (7,969,052 | ) |
| | Class IR Shares | | | (3,126,126 | ) | | | (2,116,224 | ) |
| | Class R Shares | | | (29,976 | ) | | | (22,185 | ) |
| | From net realized gains | | | | | | | | |
| | Class A Shares | | | (12,124,423 | ) | | | (6,170,307 | ) |
| | Class C Shares | | | (9,894,092 | ) | | | (2,329,578 | ) |
| | Institutional Shares | | | (16,069,616 | ) | | | (10,795,114 | ) |
| | Class IR Shares | | | (4,597,030 | ) | | | (2,866,700 | ) |
| | Class R Shares | | | (87,013 | ) | | | (30,052 | ) |
| | Total distributions to shareholders | | | (59,043,858 | ) | | | (38,573,905 | ) |
| | | | | | | | | | |
| | From share transactions: | | | | | | | | |
| | Proceeds from sales of shares | | | 355,255,956 | | | | 391,463,726 | |
| | Reinvestment of distributions | | | 51,693,690 | | | | 33,367,494 | |
| | Cost of shares redeemed | | | (895,450,320 | ) | | | (1,457,677,449 | ) |
| | Net decrease in net assets resulting from share transactions | | | (488,500,674 | ) | | | (1,032,846,229 | ) |
| | TOTAL DECREASE | | | (248,465,761 | ) | | | (1,200,676,126 | ) |
| | | | | | | | | | |
| | Net assets: | | | | | | | | |
| | Beginning of period | | | 2,504,375,466 | | | | 3,705,051,592 | |
| | End of period | | $ | 2,255,909,705 | | | $ | 2,504,375,466 | |
| | Distributions in excess of net investment income | | $ | (31,540,646 | ) | | $ | (20,806,995 | ) |
| | |
| 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) | |
| | 2017 - A | | $ | 21.60 | | | $ | 0.40 | | | $ | 0.76 | | | $ | 1.16 | | | $ | (0.43 | ) | | $ | — | | | $ | — | | | $ | (0.43 | ) |
| | 2017 - C | | | 21.26 | | | | 0.31 | | | | 0.75 | | | | 1.06 | | | | (0.35 | ) | | | — | | | | — | | | | (0.35 | ) |
| | 2017 - Institutional | | | 22.04 | | | | 0.45 | | | | 0.77 | | | | 1.22 | | | | (0.47 | ) | | | — | | | | — | | | | (0.47 | ) |
| | 2017 - IR | | | 21.98 | | | | 0.44 | | | | 0.77 | | | | 1.21 | | | | (0.46 | ) | | | — | | | | — | | | | (0.46 | ) |
| | 2017 - R6 | | | 22.04 | | | | 0.45 | | | | 0.77 | | | | 1.22 | | | | (0.47 | ) | | | — | | | | — | | | | (0.47 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE FISCAL YEARS ENDED OCTOBER 31, | |
| | 2016 - A | | | 21.77 | | | | 0.79 | | | | (0.16 | ) | | | 0.63 | | | | (0.80 | ) | | | — | | | | — | | | | (0.80 | ) |
| | 2016 - C | | | 21.45 | | | | 0.62 | | | | (0.16 | ) | | | 0.46 | | | | (0.65 | ) | | | — | | | | — | | | | (0.65 | ) |
| | 2016 - Institutional | | | 22.20 | | | | 0.89 | | | | (0.17 | ) | | | 0.72 | | | | (0.88 | ) | | | — | | | | — | | | | (0.88 | ) |
| | 2016 - IR | | | 22.14 | | | | 0.85 | | | | (0.16 | ) | | | 0.69 | | | | (0.85 | ) | | | — | | | | — | | | | (0.85 | ) |
| | 2016 - R6 | | | 22.20 | | | | 0.89 | | | | (0.17 | ) | | | 0.72 | | | | (0.88 | ) | | | — | | | | — | | | | (0.88 | ) |
| | 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 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | THE PERIOD OCTOBER1, 2012 TO OCTOBER 31, | |
| | 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 | ) |
| | (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 impact of taxes to shareholders relating to 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. |
| | |
| 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 22.33 | | | | | | 5.39 | % | | | | $ | 399,188 | | | | | | 0.98 | %(e) | | | | | 1.09 | %(e) | | | | | 3.68 | %(e) | | | | | 28 | % |
| | | 21.97 | | | | | | 5.00 | | | | | | 658,387 | | | | | | 1.73 | (e) | | | | | 1.84 | (e) | | | | | 2.92 | (e) | | | | | 28 | |
| | | 22.79 | | | | | | 5.58 | | | | | | 785,241 | | | | | | 0.58 | (e) | | | | | 0.69 | (e) | | | | | 4.06 | (e) | | | | | 28 | |
| | | 22.73 | | | | | | 5.53 | | | | | | 300,686 | | | | | | 0.73 | (e) | | | | | 0.84 | (e) | | | | | 3.90 | (e) | | | | | 28 | |
| | | 22.79 | | | | | | 5.63 | | | | | | 11 | | | | | | 0.58 | (e) | | | | | 0.69 | (e) | | | | | 4.07 | (e) | | | | | 28 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 21.60 | | | | | | 3.04 | | | | | | 574,574 | | | | | | 0.98 | | | | | | 1.10 | | | | | | 3.75 | | | | | | 80 | |
| | | 21.26 | | | | | | 2.25 | | | | | | 682,819 | | | | | | 1.73 | | | | | | 1.85 | | | | | | 2.98 | | | | | | 80 | |
| | | 22.04 | | | | | | 3.42 | | | | | | 740,182 | | | | | | 0.58 | | | | | | 0.70 | | | | | | 4.13 | | | | | | 80 | |
| | | 21.98 | | | | | | 3.28 | | | | | | 142,813 | | | | | | 0.73 | | | | | | 0.85 | | | | | | 3.96 | | | | | | 80 | |
| | | 22.04 | | | | | | 3.38 | | | | | | 10 | | | | | | 0.58 | | | | | | 0.70 | | | | | | 4.12 | | | | | | 80 | |
| | | 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 | |
| | |
| 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) | |
| | 2017 - A | | $ | 19.66 | | | $ | 0.05 | | | $ | 2.48 | | | $ | 2.53 | | | $ | (0.14 | ) | | $ | (0.36 | ) | | $ | — | | | $ | (0.50 | ) |
| | 2017 - C | | | 19.79 | | | | (0.03 | ) | | | 2.49 | | | | 2.46 | | | | (0.07 | ) | | | (0.36 | ) | | | — | | | | (0.43 | ) |
| | 2017 - Institutional | | | 20.08 | | | | 0.09 | | | | 2.53 | | | | 2.62 | | | | (0.19 | ) | | | (0.36 | ) | | | — | | | | (0.55 | ) |
| | 2017 - IR | | | 20.07 | | | | 0.07 | | | | 2.54 | | | | 2.61 | | | | (0.18 | ) | | | (0.36 | ) | | | — | | | | (0.54 | ) |
| | 2017 - R | | | 19.63 | | | | 0.02 | | | | 2.49 | | | | 2.51 | | | | (0.13 | ) | | | (0.36 | ) | | | — | | | | (0.49 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE FISCAL YEARS ENDED OCTOBER 31 , | |
| | 2016 - A | | | 20.68 | | | | 0.07 | | | | (0.83 | ) | | | (0.76 | ) | | | (0.12 | ) | | | (0.14 | ) | | | — | | | | (0.26 | ) |
| | 2016 - C | | | 20.84 | | | | (0.08 | ) | | | (0.84 | ) | | | (0.92 | ) | | | (0.06 | ) | | | (0.07 | ) | | | — | | | | (0.13 | ) |
| | 2016 - Institutional | | | 21.12 | | | | 0.15 | | | | (0.85 | ) | | | (0.70 | ) | | | (0.15 | ) | | | (0.19 | ) | | | — | | | | (0.34 | ) |
| | 2016 - IR | | | 21.10 | | | | 0.12 | | | | (0.84 | ) | | | (0.72 | ) | | | (0.14 | ) | | | (0.17 | ) | | | — | | | | (0.31 | ) |
| | 2016 - R | | | 20.66 | | | | 0.02 | | | | (0.84 | ) | | | (0.82 | ) | | | (0.08 | ) | | | (0.13 | ) | | | — | | | | (0.21 | ) |
| | 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 | ) |
| | (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 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 impact of taxes to shareholders relating to 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. |
| | |
| 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 21.69 | | | | | | 13.02 | % | | | | $ | 424,951 | | | | | | 1.16 | %(d) | | | | | 1.17 | %(d) | | | | | 0.45 | %(d) | | | | | 33 | % |
| | | 21.82 | | | | | | 12.53 | | | | | | 530,714 | | | | | | 1.91 | (d) | | | | | 1.92 | (d) | | | | | (0.30 | )(d) | | | | | 33 | |
| | | 22.15 | | | | | | 13.20 | | | | | | 852,057 | | | | | | 0.76 | (d) | | | | | 0.77 | (d) | | | | | 0.85 | (d) | | | | | 33 | |
| | | 22.14 | | | | | | 13.13 | | | | | | 443,254 | | | | | | 0.91 | (d) | | | | | 0.93 | (d) | | | | | 0.69 | (d) | | | | | 33 | |
| | | 21.65 | | | | | | 12.89 | | | | | | 4,934 | | | | | | 1.41 | (d) | | | | | 1.42 | (d) | | | | | 0.19 | (d) | | | | | 33 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 19.66 | | | | | | (3.71 | ) | | | | | 697,430 | | | | | | 1.14 | | | | | | 1.16 | | | | | | 0.35 | | | | | | 16 | |
| | | 19.79 | | | | | | (4.43 | ) | | | | | 571,438 | | | | | | 1.89 | | | | | | 1.91 | | | | | | (0.40 | ) | | | | | 16 | |
| | | 20.08 | | | | | | (3.35 | ) | | | | | 958,317 | | | | | | 0.74 | | | | | | 0.76 | | | | | | 0.74 | | | | | | 16 | |
| | | 20.07 | | | | | | (3.45 | ) | | | | | 272,442 | | | | | | 0.89 | | | | | | 0.91 | | | | | | 0.59 | | | | | | 16 | |
| | | 19.63 | | | | | | (3.96 | ) | | | | | 4,749 | | | | | | 1.39 | | | | | | 1.41 | | | | | | 0.10 | | | | | | 16 | |
| | | 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 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 41 |
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Notes to Financial Statements
April 30, 2017 (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 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. LLC (formerly 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, dividend income, net of any foreign withholding taxes, less any amounts reclaimable, and securities lending income. 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. 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.
42
GOLDMAN SACHS DIVIDEND FOCUS 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 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, if any, 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 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.
F. Commission Recapture — GSAM, on behalf of certain Funds, may direct portfolio trades, subject to seeking best execution, to various brokers who have agreed to rebate a portion of the commissions generated. Such rebates are made directly to a Fund as cash payments and are included in net realized gain (loss) from investments on the Statements of Operations.
| | |
| 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;
43
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Funds’ policy, transfers between different levels of the fair value hierarchy resulting from such changes are deemed to have occurred as of the beginning of the reporting period.
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Funds, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Funds’ portfolio investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a United States (“U.S.”) securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities are valued at the last bid price for long positions and at the last ask price for short positions. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.
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 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 Income Builder 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.
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 using available market quotations as provided by a third party pricing vendor or broker. With the exception of treasury securities of G8 countries, which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.
44
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
|
| 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. A 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 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.
45
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 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, a Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by a Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
iii. Options — When a Fund writes call or put options, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on interest rate swap contracts.
Upon the purchase of a call option or a put option by a Fund, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.
Short Term Investments — Short-term investments having a maturity of 60 days or less are valued using available market quotations as provided by a third party pricing vendor or broker. 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.
ii. Commercial Paper — Commercial paper normally represents short-term unsecured promissory notes issued in bearer form by banks or bank holding companies, corporations, finance companies and other issuers. Commercial paper consists of direct U.S. dollar-denominated obligations of domestic or foreign issuers. Asset-backed commercial paper is issued by a special purpose entity that is organized to issue the commercial paper and to purchase trade receivables or other financial assets.
46
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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.
47
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 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, 2017:
| | | | | | | | | | | | |
|
| INCOME BUILDER | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Common Stocks(a) | | | | | | | | | | | | |
North America | | $ | 677,930,601 | | | $ | 2,405,666 | | | $ | — | |
Europe | | | 97,497,507 | | | | — | | | | — | |
Asia | | | 10,361,092 | | | | — | | | | — | |
Preferred Stocks(a) | | | — | | | | 49,390,139 | | | | — | |
Fixed Income | | | | | | | | | | | | |
Corporate Obligations | | | — | | | | 1,011,087,468 | | | | — | |
Mortgage-Backed Obligations | | | — | | | | 723,954 | | | | — | |
Asset-Backed Securities | | | — | | | | 31,645 | | | | — | |
Bank Loans | | | — | | | | 158,825,090 | | | | 2,796,922 | |
U.S. Treasury Obligations | | | 63,689,761 | | | | — | | | | — | |
Investment Companies | | | 12,493,377 | | | | ��� | | | | — | |
Short-term Investments | | | — | | | | 5,656,188 | | | | — | |
Securities Lending Reinvestment Vehicle | | | 6,700,965 | | | | — | | | | — | |
| Total | | $ | 868,673,303 | | | $ | 1,228,120,150 | | | $ | 2,796,922 | |
| | | |
| Derivative Type | | | | | | | | | |
| Assets(b) | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | $ | — | | | $ | 2,010 | | | $ | — | |
| Liabilities | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts(b) | | $ | — | | | $ | (258,426 | ) | | $ | — | |
Futures Contracts(b) | | | (1,693,687 | ) | | | — | | | | — | |
Written Options Contracts | | | — | | | | (351,292 | ) | | | — | |
| Total | | $ | (1,693,687 | ) | | $ | (609,718 | ) | | $ | — | |
|
| RISING DIVIDEND GROWTH | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Common Stocks(a) | | | | | | | | | | | | |
North America | | $ | 2,066,581,058 | | | $ | — | | | $ | — | |
Europe | | | 117,819,100 | | | | — | | | | — | |
Asia | | | 21,161,250 | | | | — | | | | — | |
Short-term Investments | | | — | | | | 40,800,000 | | | | — | |
Securities Lending Reinvestment Vehicle | | | 53,364,775 | | | | — | | | | — | |
| Total | | $ | 2,258,926,183 | | | $ | 40,800,000 | | | $ | — | |
| (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 principal exchange or system on which they are traded, which may differ from country of domicile noted in the table. The Funds utilize fair value model prices provided by an independent fair value service for international equities, resulting in a Level 2 classification. |
| (b) | | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Schedules of Investments.
48
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
|
| 4. INVESTMENTS IN DERIVATIVES |
The following tables set forth, by certain risk types, the gross value of derivative contracts as of April 30, 2017. 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(a) | | $ | (1,693,687) | (a) |
Currency | | Receivable for unrealized gain on forward foreign currency exchange contracts | | | 2,010 | | | Payable for unrealized loss on forward foreign currency exchange contracts | | | (258,426) | |
Equity | | — | | | — | | | Options Written, at value | | | (351,292) | |
| Total | | | | $ | 2,010 | | | | | $ | (2,303,405) | |
| (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, 2017. 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 | | 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 | | $ | 2,408,742 | | | $ | (5,336,420 | ) | | | 2,239 | |
| Currency | | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | | | 2,324,161 | | | | (2,381,726 | ) | | | 3 | |
| Equity | | Net realized gain (loss) from written options contracts/Net change in unrealized gain (loss) on written options contracts | | | (2,725,872 | ) | | | (134,321 | ) | | | 4 | |
| Total | | | | $ | 2,007,031 | | | $ | (7,852,467 | ) | | | 2,246 | |
| (a) | | Average number of contracts is based on the average of month end balances for the six months ended April 30, 2017. |
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
49
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 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.
|
| 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, 2017, 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 | | | | 0.70 | | | | 0.70 | |
| * | | 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 28, 2018, 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. |
The Income Builder Fund invests in Institutional Shares of the Goldman Sachs Financial Square Government Fund and 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 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, 2017, GSAM waived $9,823 of the Fund’s management fee.
B. Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A and Class R Shares of each applicable Fund, has adopted Distribution and Service Plans subject to Rule 12b-1 under the Act. Under the Distribution and Service 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. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class A or Class R Shares of the Funds, as applicable.
50
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
The Trust, on behalf of Class C Shares of each applicable Fund, has adopted a Distribution Plan subject to Rule 12b-1 under the Act. Under the Distribution Plan, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class C Shares of the Funds.
| | | | | | | | | | | | |
| | | 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, 2017, Goldman Sachs advised that it retained the following amounts:
| | | | | | | | | | |
| | | | | Front End
Sales Charge | | | Contingent Deferred
Sales Charge | |
| Fund | | | | Class A | | | Class C | |
Income Builder | | | | $ | 74,862 | | | $ | 70 | |
Rising Dividend Growth | | | | | 34,685 | | | | — | |
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 Income Builder and Rising Dividend Growth Funds are 0.034% and 0.014% respectively. These Other Expense limitations will remain in place through at least February 28, 2018 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, 2017, 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 | | | | $ | 1,147,617 | | | $ | 5,602 | | | $ | 1,153,219 | |
Rising Dividend Growth | | | | | — | | | | 227,981 | | | | 227,981 | |
51
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
F. Line of Credit Facility — As of April 30, 2017, the Funds participated in a $1,100,000,000 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. 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, 2017, the Funds did not have any borrowings under the facility. The facility was renewed in the amount of $1,100,000,000 effective May 2, 2017.
G. Other Transactions with Affiliates — For the six months ended April 30, 2017 , Goldman Sachs earned $56,926, 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.
As of April 30, 2017 The Goldman Sachs Group, Inc. was the beneficial owner of 100% of Class R6 Shares of the Income Builder Fund.
The table below shows the transactions in and earnings from investments in the Underlying Funds for the six months ended April 30, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| Income Builder Fund | | | | | | | | | | | | | | | | | | | | | | | | |
| Underlying Funds | | Market
Value
10/31/2016 | | | Purchases
at Cost* | | | Proceeds
from Sales | | | Change in
Unrealized
Gain (Loss) | | | Market
Value
4/30/2017 | | | Dividend
Income | |
Goldman Sachs Financial Square Government Fund —Institutional Shares | | $ | 637 | | | $ | 220,035,187 | | | $ | (210,774,126 | ) | | $ | — | | | $ | 9,261,699 | | | $ | 28,364 | |
Goldman Sachs High Yield Fund — Institutional Shares | | | 3,072,194 | | | | 87,392 | | | | — | | | | 72,092 | | | | 3,231,678 | | | | 87,392 | |
Total | | $ | 3,072,831 | | | $ | 220,122,579 | | | $ | (210,774,126 | ) | | $ | 72,092 | | | $ | 12,493,377 | | | $ | 115,756 | |
| * | | Includes reinvestment of distributions. |
|
| 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, 2017, were:
| | | | | | | | | | | | | | | | | | |
| 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 | | | | $ | 64,578,461 | | | $ | 512,830,008 | | | $ | 64,703,855 | | | $ | 603,765,534 | |
Rising Dividend Growth | | | | | __ | | | | 782,757,006 | | | | __ | | | | 1,308,403,936 | |
The Income Builder Fund may lend its securities through a securities lending agent, the Bank of New York Mellon (“BNYM”), to certain qualified borrowers. Pursuant to exemptive relief granted by the SEC and the terms and conditions contained therein, the Rising Dividend Growth Fund may lend its securities through a securities lending agent, Goldman Sachs Agency Lending
52
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
|
| 7. SECURITIES LENDING (continued) |
(“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 Government Fund (“Government Money Market Fund”), an affiliated series of the Trust. The Government 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 a management fee of up to 0.205% on an annualized basis of the average daily net assets of the Government Money Market Fund.
In the event of a default by a borrower with respect to any loan, GSAL will and BNYM may 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 GSAL or BNYM are unable to purchase replacement securities, GSAL and/or BNYM will indemnify the Fund by paying an amount equal to the market value of the securities loaned minus the value of the cash collateral received from the borrower for the loan, subject to the exclusion for any shortfalls resulting from a loss of value in such cash collateral due to reinvestment risk.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 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, 2017 are disclosed as “Payable upon return of securities loaned” on the Statements of Assets and Liabilities.
The Funds, GSAL and BNYM received compensation relating to the lending of the Funds’ securities. The amounts earned, if any, by the Funds for the six months ended April 30, 2017, 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 2017 | | | Amounts Payable to
Goldman Sachs
Upon Return of
Securities Loaned as of
April 30, 2017 | |
| Fund | | | | Earnings of GSAL
Relating to
Securities
Loaned | | | Amounts Received
by the Funds
from Lending to
Goldman Sachs | | |
Rising Dividend Growth | | | | $ | 13,750 | | | $ | — | | | $ | — | |
The following table provides information about the Funds’ investments in the Goldman Sachs Financial Square Government Fund for the six months ended April 30, 2017:
| | | | | | | | | | | | | | | | | | | | | | |
| Fund | | | | Number of
Shares Held
Beginning
of Period | | | Shares
Bought | | | Shares
Sold | | | Number of
Shares Held
End of Period | | | Value at
End of Period | |
Income Builder | | | | $ | — | | | $ | 134,917,091 | | | $ | (128,216,126 | ) | | $ | 6,700,965 | | | $ | 6,700,965 | |
Rising Dividend Growth | | | | | — | | | | 112,755,700 | | | | (59,390,925 | ) | | | 53,364,775 | | | | 53,364,775 | |
53
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
As of the Funds’ most recent fiscal year end, October 31, 2016, 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 | | $ | (33,413,371) | | | $ | — | |
Perpetual Long-term | | | (97,772,677) | | | | — | |
Total capital loss carryforwards | | $ | (131,186,048) | | | $ | — | |
Timing differences (Straddle Loss Deferral) | | $ | (129,005) | | | $ | — | |
As of April 30, 2017, 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 | | $ | 1,994,005,069 | | | $ | 1,841,538,130 | |
Gross unrealized gain | | | 552,087,103 | | | | 535,948,335 | |
Gross unrealized loss | | | (446,501,797 | ) | | | (77,760,282 | ) |
Net unrealized security gain | | $ | 105,585,306 | | | $ | 458,188,053 | |
The difference between GAAP-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales,market gains (losses) on regulated futures contracts, and option contracts, net mark to market gains/(losses) on foreign currency contracts and differences in the tax treatment of underlying fund investments, partnership investments, and material modification of debt securities.
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 — The Funds’ use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the 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. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
54
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
|
| 9. OTHER RISKS (continued) |
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. The imposition of exchange controls, confiscations, trade restrictions (including tariffs) and other government restrictions by the United States or other governments, or from problems in share registration, settlement or custody, may also result in losses. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which the 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 — If a Fund invests in foreign securities, such Fund may hold such securities and cash with foreign banks, agents, and securities depositories appointed by the Fund’s custodian (each a “Foreign Custodian”). Some foreign custodians may be recently organized or new to the foreign custody business. In some countries, Foreign Custodians may be subject to little or no regulatory oversight over, or independent evaluation of, their operations. Further, the laws of certain countries may place limitations on a Fund’s ability to recover its assets if a Foreign Custodian enters bankruptcy. Investments in emerging markets may be subject to even greater custody risks than investments in more developed markets. Custody services in emerging market countries are very often undeveloped and may be considerably less well regulated than in more developed countries, and thus may not afford the same level of investor protection as would apply in developed countries.
Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by the Funds 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 Funds’ investments. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Funds.
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 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.
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.
55
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 9. OTHER RISKS (continued) |
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. Investors in loans, such as the Fund, may not be entitled to rely on the anti-fraud protections of the federal securities laws, although they may be entitled to certain contractual remedies. 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 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.
56
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 and 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, 2017 (Unaudited)
|
| 12. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | Income Builder Fund | |
| | | | |
| | | For the Six Months Ended
April 30, 2017
(Unaudited) | | | For the Fiscal Year Ended
October 31, 2016
| |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 1,816,919 | | | $ | 39,991,504 | | | | 6,417,009 | | | $ | 135,325,881 | |
Reinvestment of distributions | | | 402,851 | | | | 8,873,105 | | | | 1,074,715 | | | | 22,631,211 | |
Shares redeemed | | | (10,942,673 | ) | | | (242,227,728 | ) | | | (13,425,507 | ) | | | (282,878,547 | ) |
| | | | (8,722,903 | ) | | | (193,363,119 | ) | | | (5,933,783 | ) | | | (124,921,455 | ) |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 2,119,818 | | | | 46,023,759 | | | | 7,306,512 | | | | 151,771,191 | |
Reinvestment of distributions | | | 431,120 | | | | 9,366,898 | | | | 892,247 | | | | 18,511,915 | |
Shares redeemed | | | (4,699,319 | ) | | | (101,868,373 | ) | | | (8,925,794 | ) | | | (185,458,715 | ) |
| | | | (2,148,381 | ) | | | (46,477,716 | ) | | | (727,035 | ) | | | (15,175,609 | ) |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 6,008,174 | | | | 135,272,022 | | | | 13,872,849 | | | | 298,461,739 | |
Reinvestment of distributions | | | 578,552 | | | | 13,033,192 | | | | 1,143,274 | | | | 24,592,125 | |
Shares redeemed | | | (5,718,142 | ) | | | (128,538,857 | ) | | | (15,961,525 | ) | | | (341,074,922 | ) |
| | | | 868,584 | | | | 19,766,357 | | | | (945,402 | ) | | | (18,021,058 | ) |
| Class IR Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 8,494,571 | | | | 191,635,383 | | | | 3,669,557 | | | | 79,284,470 | |
Reinvestment of distributions | | | 207,322 | | | | 4,677,164 | | | | 228,964 | | | | 4,915,866 | |
Shares redeemed | | | (1,968,279 | ) | | | (44,325,365 | ) | | | (3,298,048 | ) | | | (70,475,059 | ) |
| | | | 6,733,614 | | | | 151,987,182 | | | | 600,473 | | | | 13,725,277 | |
| Class R6 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | — | | | | — | | | | — | | | | — | |
Reinvestment of distributions | | | 9 | | | | 220 | | | | 19 | | | | 399 | |
Shares redeemed | | | — | | | | — | | | | — | | | | — | |
| | | | 9 | | | | 220 | | | | 19 | | | | 399 | |
NET DECREASE | | | (3,269,077 | ) | | $ | (68,087,076 | ) | | | (7,005,728 | ) | | $ | (144,392,446 | ) |
58
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
| | | | | | | | | | | | | | | | |
| | | Rising Dividend Growth Fund | |
| | | | |
| | | For the Six Months Ended
April 30, 2017
(Unaudited) | | | For the Fiscal Year Ended
October 31, 2016
| |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 1,011,488 | | | $ | 21,082,099 | | | | 3,916,114 | | | $ | 78,170,830 | |
Reinvestment of distributions | | | 719,106 | | | | 14,869,841 | | | | 505,011 | | | | 10,184,845 | |
Shares redeemed | | | (17,610,989 | ) | | | (372,929,492 | ) | | | (19,916,300 | ) | | | (397,545,857 | ) |
| | | | (15,880,395 | ) | | | (336,977,552 | ) | | | (15,495,175 | ) | | | (309,190,182 | ) |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 602,913 | | | | 12,686,177 | | | | 2,907,964 | | | | 58,472,731 | |
Reinvestment of distributions | | | 472,424 | | | | 9,826,049 | | | | 168,273 | | | | 3,421,719 | |
Shares redeemed | | | (5,638,667 | ) | | | (118,576,541 | ) | | | (9,375,119 | ) | | | (189,077,628 | ) |
| | | | (4,563,330 | ) | | | (96,064,315 | ) | | | (6,298,882 | ) | | | (127,183,178 | ) |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 3,178,843 | | | | 68,107,058 | | | | 8,384,281 | | | | 170,099,746 | |
Reinvestment of distributions | | | 906,800 | | | | 19,212,208 | | | | 717,189 | | | | 14,752,547 | |
Shares redeemed | | | (13,348,989 | ) | | | (284,933,380 | ) | | | (31,315,476 | ) | | | (637,420,174 | ) |
| | | | (9,263,346 | ) | | | (197,614,114 | ) | | | (22,214,006 | ) | | | (452,567,881 | ) |
| Class IR Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 11,595,839 | | | | 252,908,407 | | | | 3,951,924 | | | | 81,451,310 | |
Reinvestment of distributions | | | 363,101 | | | | 7,718,614 | | | | 242,327 | | | | 4,981,603 | |
Shares redeemed | | | (5,513,265 | ) | | | (118,173,425 | ) | | | (11,346,731 | ) | | | (231,563,736 | ) |
| | | | 6,445,675 | | | | 142,453,596 | | | | (7,152,480 | ) | | | (145,130,823 | ) |
| Class R Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 22,494 | | | | 472,215 | | | | 161,958 | | | | 3,269,109 | |
Reinvestment of distributions | | | 3,238 | | | | 66,978 | | | | 1,326 | | | | 26,780 | |
Shares redeemed | | | (39,702 | ) | | | (837,482 | ) | | | (102,380 | ) | | | (2,070,054 | ) |
| | | | (13,970 | ) | | | (298,289 | ) | | | 60,904 | | | | 1,225,835 | |
NET DECREASE | | | (23,275,366 | ) | | $ | (488,500,674 | ) | | | (51,099,639 | ) | | $ | (1,032,846,229 | ) |
59
GOLDMAN SACHS DIVIDEND FOCUS FUNDS
Fund Expenses — Six Month Period Ended April 30, 2017 (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, 2016 through April 30, 2017, which represents a period of 181 days in a 365 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.
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| | | Income Builder Fund | | | Rising Dividend Growth Fund | |
| Share Class | | Beginning
Account
Value
11/1/16 | | | Ending
Account
Value
4/30/17 | | | Expenses
Paid for the
6 months ended
4/30/17* | | | Beginning
Account
Value
11/1/16 | | | Ending
Account
Value
4/30/17 | | | Expenses
Paid for the
6 months ended
4/30/17* | |
| Class A | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,053.90 | | | $ | 4.99 | | | $ | 1,000.00 | | | $ | 1,130.20 | | | $ | 6.13 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,019.93 | + | | | 4.91 | | | | 1,000.00 | | | | 1,019.04 | + | | | 5.81 | |
| Class C | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,050.00 | | | | 8.79 | | | | 1,000.00 | | | | 1,125.30 | | | | 10.06 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,016.22 | + | | | 8.65 | | | | 1,000.00 | | | | 1,015.32 | + | | | 9.54 | |
| Institutional | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,055.80 | | | | 2.96 | | | | 1,000.00 | | | | 1,132.00 | | | | 4.02 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,021.92 | + | | | 2.91 | | | | 1,000.00 | | | | 1,021.03 | + | | | 3.81 | |
| Class IR | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,055.30 | | | | 3.72 | | | | 1,000.00 | | | | 1,131.30 | | | | 4.81 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,021.17 | + | | | 3.66 | | | | 1,000.00 | | | | 1,020.28 | + | | | 4.56 | |
| Class R | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | N/A | | | | N/A | | | | — | | | | 1,000.00 | | | | 1,128.90 | | | | 7.44 | |
Hypothetical 5% return | | | N/A | | | | N/A | | | | N/A | | | | 1,000.00 | | | | 1,017.80 | + | | | 7.05 | |
| Class R6 | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,056.30 | | | | 2.96 | | | | N/A | | | | N/A | | | | — | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,021.92 | + | | | 2.91 | | | | 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, 2017. 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 | |
Income Builder+ | | | 0.98 | % | | | 1.73 | % | | | 0.58 | % | | | 0.73 | % | | | N/A | | | | 0.58 | % |
Rising Dividend Growth+ | | | 1.16 | | | | 1.91 | | | | 0.76 | | | | 0.91 | | | | 1.41 | | | | 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 $1.17 trillion in assets under supervision as of March 31, 2017, 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. LLC subject to legal, internal and regulatory restrictions.
Money Market
Financial Square FundsSM
| ∎ | | Financial Square Treasury Solution. Fund1 |
| ∎ | | Financial Square Government Fund1 |
| ∎ | | Financial Square Money Market Fund2 |
| ∎ | | Financial Square Prime Obligations Fund2 |
| ∎ | | Financial Square Treasury Instruments Fund1 |
| ∎ | | Financial Square Treasury Obligations Fund1 |
| ∎ | | Financial Square Federal Instruments Fund1 |
| ∎ | | Financial Square Tax-Exempt Money Market Fund2 |
Investor FundsSM
| ∎ | | Investor Money Market Fund3 |
| ∎ | | Investor Tax-Exempt Money Market Fund3 |
Fixed Income
Short Duration and Government
| ∎ | | High Quality Floating Rate Fund |
| ∎ | | Short-Term Conservative Income Fund4 |
| ∎ | | Short Duration Government Fund |
| ∎ | | Short Duration Income Fund |
| ∎ | | Inflation Protected Securities Fund |
Multi-Sector
Municipal and Tax-Free
| ∎ | | High Yield Municipal Fund |
| ∎ | | Dynamic Municipal Income Fund |
| ∎ | | Short Duration Tax-Free Fund |
Single Sector
| ∎ | | Investment Grade Credit Fund |
| ∎ | | High Yield Floating Rate Fund |
| ∎ | | Emerging Markets Debt Fund |
| ∎ | | Local Emerging Markets Debt Fund |
| ∎ | | Dynamic Emerging Markets Debt Fund |
Fixed Income Alternatives
| ∎ | | Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ | | Small/Mid Cap Value Fund |
| ∎ | | Small/Mid Cap Growth Fund |
| ∎ | | Flexible Cap Growth Fund |
| ∎ | | Concentrated Growth Fund |
| ∎ | | Technology Opportunities Fund |
| ∎ | | Growth Opportunities Fund |
| ∎ | | Rising Dividend Growth Fund |
| ∎ | | Dynamic U.S. Equity Fund |
Tax-Advantaged Equity
| ∎ | | U.S. Tax-Managed Equity Fund |
| ∎ | | International Tax-Managed Equity Fund |
| ∎ | | U.S. Equity Dividend and Premium Fund |
| ∎ | | International Equity Dividend and Premium Fund |
Equity Insights
| ∎ | | Small Cap Equity Insights Fund |
| ∎ | | U.S. Equity Insights Fund |
| ∎ | | Small Cap Growth Insights Fund |
| ∎ | | Large Cap Growth Insights Fund |
| ∎ | | Large Cap Value Insights Fund |
| ∎ | | Small Cap Value Insights Fund |
| ∎ | | International Small Cap Insights Fund |
| ∎ | | International Equity Insights Fund |
| ∎ | | Emerging Markets Equity Insights Fund |
Fundamental Equity International
| ∎ | | Strategic International Equity Fund |
| ∎ | | Focused International Equity Fund |
| ∎ | | Emerging Markets Equity Fund |
Select Satellite
| ∎ | | Real Estate Securities Fund |
| ∎ | | International Real Estate Securities Fund |
| ∎ | | Commodity Strategy Fund |
| ∎ | | Global Real Estate Securities Fund |
| ∎ | | Dynamic Allocation Fund |
| ∎ | | Absolute Return Tracker Fund |
| ∎ | | Managed Futures Strategy Fund |
| ∎ | | MLP Energy Infrastructure Fund |
| ∎ | | Multi-Manager Alternatives Fund |
| ∎ | | Absolute Return Multi-Asset Fund |
| ∎ | | Global Infrastructure Fund |
Total Portfolio Solutions
| ∎ | | Global Managed Beta Fund |
| ∎ | | Multi-Manager Non-Core Fixed Income Fund |
| ∎ | | Multi-Manager U.S. Dynamic Equity Fund |
| ∎ | | Multi-Manager Global Equity Fund |
| ∎ | | Multi-Manager International Equity Fund |
| ∎ | | Tactical Tilt Overlay Fund |
| ∎ | | Balanced Strategy Portfolio |
| ∎ | | Multi-Manager U.S. Small Cap Equity Fund |
| ∎ | | Multi-Manager Real Assets Strategy Fund |
| ∎ | | Growth and Income Strategy Portfolio |
| ∎ | | Growth Strategy Portfolio |
| ∎ | | Equity Growth Strategy Portfolio |
| ∎ | | Satellite Strategies Portfolio |
| ∎ | | Enhanced Dividend Global Equity Portfolio |
| ∎ | | Tax-Advantaged Global Equity Portfolio |
| ∎ | | Strategic Factor Allocation Fund |
| ∎ | | Target Date 2020 Portfolio |
| ∎ | | Target Date 2025 Portfolio |
| ∎ | | Target Date 2030 Portfolio |
| ∎ | | Target Date 2035 Portfolio |
| ∎ | | Target Date 2040 Portfolio |
| ∎ | | Target Date 2045 Portfolio |
| ∎ | | Target Date 2050 Portfolio |
| ∎ | | Target Date 2055 Portfolio |
| ∎ | | GQG Partners International Opportunities Fund |
| 1 | | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 2 | | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 3 | | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 4 | | Effective on July 29, 2016, the Goldman Sachs Limited Maturity Obligations Fund was renamed the Goldman Sachs Short-Term Conservative Income Fund. Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC. |
| 5 | | Effective on June 20, 2017, the Goldman Sachs Fixed Income Macro Strategies Fund was renamed the Goldman Sachs Strategic Macro Fund. |
| 6 | | Effective on June 20, 2017, the Goldman Sachs Growth and Income Fund was renamed the Goldman Sachs Equity Income Fund. |
| * | | 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 Roy W. Templin Gregory G. Weaver | | OFFICERS James A. McNamara, President Scott M. McHugh, Treasurer, Senior Vice President and Principal Financial Officer Joseph F. DiMaria, Assistant Treasurer and Principal Accounting Officer Caroline L. Kraus, Secretary |
| |
GOLDMAN SACHS & CO. LLC 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 also 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, 2017 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. LLC by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550).
© 2017 Goldman Sachs. All rights reserved. 94679-TMPL-06/2017-550394 DIVFOSAR-17 / 82.5k
Goldman Sachs Funds
| | | | |
| | |
| Semi-Annual Report | | | | April 30, 2017 |
| | |
| | | | 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
| ∎ | | LARGE CAP GROWTH INSIGHTS |
| ∎ | | LARGE CAP VALUE INSIGHTS |
| ∎ | | SMALL CAP EQUITY INSIGHTS |
| ∎ | | SMALL CAP GROWTH INSIGHTS |
| ∎ | | SMALL CAP VALUE INSIGHTS |
| | | | |
| | | |
| NOT FDIC-INSURED | | May Lose Value | | No Bank Guarantee |
MARKET REVIEW
Goldman Sachs Domestic Equity Insights Funds
Market Review
U.S. equities posted double-digit gains during the six months ended April 30, 2017 (the “Reporting Period”), with Federal Reserve (“Fed”) monetary policy, economic data and political events dominating market sentiment.
When the Reporting Period began in November 2016, U.S. equities sold off ahead of the presidential election but surged higher after the surprise result on anticipation of a potentially pro-growth effect from the incoming Administration’s fiscal stimulus plan. In December 2016, the Fed raised rates 0.25% as had largely been anticipated and set a more hawkish hike path for 2017, causing equities to decline, albeit modestly, following the announcement. (Hawkish implies higher interest rates; opposite of dovish.)
In January 2017, U.S. equities rallied to new highs on the prospect of deregulation following executive orders on oil pipelines and on optimism around infrastructure spending after a $1 trillion proposal from Senate Democrats made headlines. Despite political uncertainty and concerns about protectionism, U.S. equities continued to advance in February 2017 amid “risk on” sentiment due to potential U.S. tax reform and deregulation as well as stronger economic data. In March 2017, the Fed raised interest rates another 0.25%, while maintaining its projections for three rate hikes in 2017. However, a seemingly cautious stance on the future path of monetary tightening from the Fed chair and the presence of a dissenter on the Fed’s policy-making committee led to a dovish market reaction. Political risks subsequently drove U.S. equities lower as Republicans in the House of Representatives struggled to schedule a vote on health care legislation.
The U.S. equity market initially fell in April 2017 as minutes from the Fed’s March meeting indicated policymakers were worried that stocks were overvalued. Economic activity and inflation data also appeared to be moderating. The U.S. gross domestic product (“GDP”) grew at just 0.7% during the first calendar quarter, while in April 2017, the Institute for Supply Management manufacturing index edged lower and the core Personal Consumption Expenditures (“PCE”) Index (which excludes food and energy expenditures) decreased. However, the unemployment rate fell to 4.4%, while the Employment Cost Index (“ECI”) reached its highest level since 2007. (The ECI is a quarterly report from the U.S. Department of Labor that details changes in the costs of labor, such as wages and benefits.) On the political front, a setback suffered by the House Republicans in their first attempt to pass health care legislation tempered optimism about fiscal policy, but an ambitious tax reform proposal from the White House lifted market sentiment. In addition, first-round results in France’s presidential election, which were widely interpreted by investors as pro-market, buoyed global equities broadly. Strong first quarter 2017 corporate earnings results also supported equity performance.
For the Reporting Period overall, the S&P 500® Index returned 13.32%, with all of its 11 sectors generating positive returns. Financials, industrials and materials were the best performing sectors in the S&P 500® Index during the Reporting Period. The weakest performing sectors in the S&P 500® Index during the Reporting Period were energy, consumer staples and telecommunication services.
In terms of market capitalization, small-cap stocks outperformed large-cap stocks. The Russell 2000® Index, which measures the small-cap universe, returned 18.37% during the Reporting Period. In the style arena, growth stocks outperformed value stocks overall. The Russell 1000® Growth Index, representing large-cap growth stocks, rose 15.23% during the Reporting Period, while the Russell 1000® Value Index, representing large-cap value stocks, returned 11.69%.
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.
1
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
What Differentiates Goldman Sachs’
Domestic Equity Insights Funds Investment Process?
At Goldman Sachs Asset Management, L.P. (“GSAM”), Domestic 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.
| ∎ | | Comprehensive — We calculate expected excess returns for more than 10,000 stocks on a daily basis. |
| ∎ | | Rigorous — We evaluate stocks based on fundamental investment criteria that have outperformed historically. |
| ∎ | | Objective — Our stock selection process is free from the emotion that may lead to biased investment decisions. |
| ∎ | | 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. |
| ∎ | | 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:
| ∎ | | Maintain style, sector, risk and capitalization characteristics similar to the benchmark. |
| ∎ | | Offer broad access to a clearly defined equity universe. |
| ∎ | | Generate excess returns that are positive, consistent and repeatable. |
2
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Enhancements Made to Proprietary Quantitative Model during the Six-Month Period Ended April 30, 2017
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, 2017 (the “Reporting Period”).
We made two enhancements to our Momentum theme. For U.S. investments, we now analyze corporate press releases pulled directly from news wires to quickly identify new themes to which a company may be exposed. Leveraging natural language processing technology, we search for key words or phrases within the text of each press release that may alert us to new trends affecting certain groups of companies. We then track performance of those companies to gauge, and capitalize on, momentum in these various thematic trends. Another way we seek to quantify the relationship between seemingly disparate companies is by exploring how frequently any two companies are mentioned together in the same news article.
In addition, we made an enhancement to our Sentiment theme by introducing a signal that focuses on measuring the amount of praise offered by analysts during company earnings calls. We analyze thousands of earnings call transcripts using natural language processing. By focusing on a key set of congratulatory words, we can measure the number of analysts issuing praise and gain a comprehensive view of investor sentiment about a company’s most recent quarterly earnings.
Within our Profitability theme, we introduced a signal that looks at credit card spending patterns as a real-time indicator of corporate profitability. Rather than waiting for quarterly earnings announcements, we evaluate more than 74 billion credit card transactions, which we use to link real-time consumer spending patterns to underlying companies.
3
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, 2017 (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 15.32%, 14.93%, 15.57%, 15.31%, 15.49%, 15.20% and 15.57%, respectively. These returns compare to the 15.23% 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 generally outperformed the Index, with four of our quantitative model’s six investment themes contributing positively to relative returns. Certain individual stock positions dampened performance. |
| 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 tends to have 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 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 bolstered the Fund’s relative performance. Valuation contributed most positively to performance. 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. Sentiment, Momentum and Quality also added to relative returns. 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 Quality theme seeks to assess both firm and management quality. |
| | | Our Profitability theme detracted from relative results, followed by Management. The Profitability theme assesses whether a company is earning more than its cost of capital. The Management theme assesses 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. |
| 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 |
4
PORTFOLIO RESULTS
| | 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, certain individual stock positions limited relative overall performance. Investments in the consumer discretionary, information technology and utilities sectors detracted from results. Security selection in the industrials, materials and utilities sectors enhanced relative returns. |
| 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 International Game Technology, Sysco and O’Reilly Auto Parts. The overweight in gaming company International Game Technology was due to our positive views on Momentum and Valuation. We chose to overweight food products company Sysco based on our positive views on Sentiment and Momentum, while the Fund was overweight retailer O’Reilly Auto Parts because of our positive views on Sentiment. |
| 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 Steel Dynamics, a steel producer; Citizens Financial Group, a bank; and Applied Materials, a provider of equipment, services and software to semiconductor, flat panel display and solar products companies. We adopted the overweights in Steel Dynamics and Citizens Financial Group based on our positive views on Sentiment and Valuation. The overweight in Applied Materials was the result of our positive views on Sentiment and Quality. |
| 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 health care, real estate, financials and energy sectors relative to the Index. Compared to the Index, the Fund was underweight the consumer staples, consumer discretionary and industrials sectors. The Fund was relatively neutral compared to the Index in the materials, utilities and information technology sectors at the end of the Reporting Period. |
5
FUND BASICS
Large Cap Growth Insights Fund
as of April 30, 2017
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2016–April 30, 2017 | | Fund Total Return
(based on NAV)1 | | | Russell 1000®
Growth Index2 | |
| | Class A | | | 15.32 | % | | | 15.23 | % |
| | Class C | | | 14.93 | | | | 15.23 | |
| | Institutional | | | 15.57 | | | | 15.23 | |
| | Service | | | 15.31 | | | | 15.23 | |
| | Class IR | | | 15.49 | | | | 15.23 | |
| | Class R | | | 15.20 | | | | 15.23 | |
| | | Class R6 | | | 15.57 | | | | 15.23 | |
| | 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 3/31/17 | | One Year | | | Five Years | | | Ten Years | | | Since Inception | | | Inception Date |
| | Class A | | | 10.71 | % | | | 12.67 | % | | | 6.86 | % | | | 5.72 | % | | 5/1/97 |
| | Class C | | | 15.29 | | | | 13.11 | | | | 6.65 | | | | 4.42 | | | 8/15/97 |
| | Institutional | | | 17.61 | | | | 14.40 | | | | 7.90 | | | | 6.44 | | | 5/1/97 |
| | Service | | | 17.00 | | | | 13.84 | | | | 7.37 | | | | 5.92 | | | 5/1/97 |
| | Class IR | | | 17.44 | | | | 14.24 | | | | N/A | | | | 7.88 | | | 11/30/07 |
| | Class R | | | 16.85 | | | | 13.66 | | | | N/A | | | | 7.36 | | | 11/30/07 |
| | | Class R6 | | | 17.66 | | | | N/A | | | | N/A | | | | 9.31 | | | 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 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.
6
FUND BASICS
| | | | | | | | | | |
| | EXPENSE RATIOS4 | |
| | | | | Net Expense Ratio (Current) | | | Gross Expense Ratio (Before Waivers) | |
| | Class A | | | 0.96 | % | | | 1.15 | % |
| | Class C | | | 1.71 | | | | 1.90 | |
| | Institutional | | | 0.56 | | | | 0.75 | |
| | Service | | | 1.06 | | | | 1.26 | |
| | Class IR | | | 0.71 | | | | 0.90 | |
| | Class R | | | 1.21 | | | | 1.40 | |
| | | 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 28, 2018, 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 4/30/175,6 |
| | | Holding | | % of Net Assets | | | Line of Business |
| | Apple, Inc. | | | 5.2 | % | | Technology Hardware, Storage &
Peripherals |
| | Microsoft Corp. | | | 3.4 | | | Software |
| | Amazon.com, Inc. | | | 3.0 | | | Internet & Direct Marketing Retail |
| | Facebook, Inc. Class A | | | 2.8 | | | Internet Software & Services |
| | Alphabet, Inc. Class A | | | 2.4 | | | Internet Software & Services |
| | Alphabet, Inc. Class C | | | 2.3 | | | Internet Software & Services |
| | Amgen, Inc. | | | 2.1 | | | Biotechnology |
| | Celgene Corp. | | | 1.8 | | | Biotechnology |
| | UnitedHealth Group, Inc. | | | 1.7 | | | Health Care Providers & Services |
| | | Biogen, Inc. | | | 1.5 | | | Biotechnology |
| | 5 | | The top 10 holdings may not be representative of the Fund’s future investments. |
| | 6 | | The Fund’s overall top ten holdings differ from the table above due to the exclusion of the Goldman Sachs Financial Square Government Fund (a short-term investment fund), which represents 1.9% of the Fund’s net assets as of 4/30/17. |
7
FUND BASICS
|
| FUND VS. BENCHMARK SECTOR ALLOCATIONS7 |
| As of April 30, 2017 |
| | 7 | | 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. |
8
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, 2017 (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 13.99%, 13.58%, 14.29%, 13.94%, 14.13%, 13.90% and 14.24%, respectively. These returns compare to the 11.69% 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 outperformed the Index, with four of our quantitative model’s six investment themes adding to relative returns. Stock selection overall enhanced performance. |
| 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 tends to have 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 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 performance. Momentum was our best performing theme. 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 bolstered relative 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. |
| | | Management was the only theme that detracted from relative returns during the Reporting Period. The Management theme assesses the characteristics, policies and strategic decisions of company management. |
| | | The impact of our Profitability theme 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 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. |
9
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 added to relative performance overall. The Fund benefited from investments in the industrials, energy and materials sectors. Consumer staples was the only sector in which the Fund was hampered by stock selection. |
| Q | | Which individual stock positions contributed most to the Fund’s relative returns during the Reporting Period? |
| A | | The Fund was helped during the Reporting Period by its overweight positions in Citizens Financial Group and Applied Materials. We adopted the overweight in Citizens Financial Group, a bank, based on our positive views on Sentiment and Valuation. Our positive views on Sentiment, Quality and Valuation led us to overweight Applied Materials, a provider of equipment, services and software to semiconductor, flat panel display and solar products companies. An underweight in Qualcomm, a semiconductor and telecommunications equipment company, also added to the Fund’s relative returns. We assumed the underweight in Qualcomm due to our negative views on Quality and Sentiment. |
| Q | | Which individual stock positions detracted most from the Fund’s results during the Reporting Period? |
| A | | In terms of its individual stock positions, the Fund was hurt most during the Reporting Period by its overweight position in International Game Technology and its underweight positions in Bank of America and Oracle. The overweight in gaming company International Game Technology was due to our positive views on Momentum, Valuation and Sentiment. We chose to underweight diversified financials institution Bank of America because of our negative views on Momentum and Management, while the Fund was underweight computer technology company Oracle as a result of our negative views on Quality and Momentum. |
| 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 health care and consumer discretionary sectors relative to the Index. Compared to the Index, the Fund was underweight the financials, telecommunication services, energy and utilities sectors. The Fund was relatively neutral compared to the Index in the industrials, consumer staples, real estate, information technology and materials sectors at the end of the Reporting Period. |
10
FUND BASICS
Large Cap Value Insights Fund
as of April 30, 2017
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2016–April 30, 2017 | | Fund Total Return
(based on NAV)1 | | | Russell 1000®
Value Index2 | |
| | Class A | | | 13.99 | % | | | 11.69 | % |
| | Class C | | | 13.58 | | | | 11.69 | |
| | Institutional | | | 14.29 | | | | 11.69 | |
| | Service | | | 13.94 | | | | 11.69 | |
| | Class IR | | | 14.13 | | | | 11.69 | |
| | Class R | | | 13.90 | | | | 11.69 | |
| | | Class R6 | | | 14.24 | | | | 11.69 | |
| | 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 3/31/17 | | One Year | | | Five Years | | | Ten Years | | | Since Inception | | | Inception Date |
| | Class A | | | 13.65 | % | | | 11.53 | % | | | 4.22 | % | | | 5.43 | % | | 12/31/98 |
| | Class C | | | 18.33 | | | | 11.96 | | | | 4.02 | | | | 4.97 | | | 12/31/98 |
| | Institutional | | | 20.75 | | | | 13.25 | | | | 5.23 | | | | 6.17 | | | 12/31/98 |
| | Service | | | 20.16 | | | | 12.68 | | | | 4.71 | | | | 5.65 | | | 12/31/98 |
| | Class IR | | | 20.52 | | | | 13.06 | | | | N/A | | | | 5.94 | | | 11/30/07 |
| | Class R | | | 19.90 | | | | 12.50 | | | | N/A | | | | 5.42 | | | 11/30/07 |
| | | Class R6 | | | 20.69 | | | | N/A | | | | N/A | | | | 9.41 | | | 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 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.
11
FUND BASICS
| | | | | | | | |
| | EXPENSE RATIOS4 | |
| | | | | Net Expense Ratio (Current) | | Gross Expense Ratio (Before Waivers) | |
| | Class A | | 0.96% | | | 1.15 | % |
| | Class C | | 1.71 | | | 1.90 | |
| | Institutional | | 0.56 | | | 0.75 | |
| | Service | | 1.06 | | | 1.24 | |
| | Class IR | | 0.71 | | | 0.90 | |
| | Class R | | 1.21 | | | 1.40 | |
| | | 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 28, 2018, 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 4/30/175 |
| | | Holding | | % of Net Assets | | | Line of Business |
| | JPMorgan Chase & Co. | | | 3.8 | % | | Banks |
| | Exxon Mobil Corp. | | | 2.4 | | | Oil, Gas & Consumable Fuels |
| | Merck & Co., Inc. | | | 2.3 | | | Pharmaceuticals |
| | Johnson & Johnson | | | 1.8 | | | Pharmaceuticals |
| | Berkshire Hathaway, Inc. Class B | | | 1.8 | | | Diversified Financial Services |
| | The Bank of New York Mellon Corp. | | | 1.4 | | | Capital Markets |
| | Wal-Mart Stores, Inc. | | | 1.4 | | | Food & Staples Retailing |
| | Union Pacific Corp. | | | 1.4 | | | Road & Rail |
| | AT&T, Inc. | | | 1.4 | | | Diversified Telecommunication Services |
| | | Danaher Corp. | | | 1.3 | | | Health Care Equipment & Supplies |
| | 5 | | The top 10 holdings may not be representative of the Fund’s future investments. |
12
FUND BASICS
|
| FUND VS. BENCHMARK SECTOR ALLOCATIONS6 |
| As of April 30, 2017 |
| | 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. 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. |
13
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, 2017 (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 16.98%, 16.52%, 17.25%, 16.96%, 17.14%, 16.86% and 17.26%, respectively. These returns compare to the 18.37% 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, four of our quantitative model’s six investment themes added to relative performance. However, the Fund underperformed the Index largely because of certain individual stock positions. |
| 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 tends to have 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 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 enhanced relative returns. Valuation, Sentiment and Quality contributed most positively, followed by Momentum. 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 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. |
| | | None of our investment themes detracted from relative results during the Reporting Period. The impact of our Profitability and Management themes was rather neutral. The Profitability theme assesses whether a company is earning more than its cost of capital. The Management theme assesses 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. That said, the Fund benefited from its underweight position in the consumer staples sector and its overweight in the industrials sector during the Reporting Period. |
14
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, certain individual stock positions detracted from relative overall performance. The Fund was hurt most by security selection in the consumer discretionary, materials and financials sectors. Investments in the information technology, consumer staples and energy sectors bolstered relative returns. |
| Q | | Which individual stock positions detracted most from the Fund’s results during the Reporting Period? |
| A | | During the Reporting Period, the Fund was hampered by its overweight positions in Liberty TripAdvisor Holdings, Huron Consulting Group and Finish Line. The overweight in Liberty TripAdvisor Holdings, which engages in online travel research and online commerce businesses, was due to our positive views on Sentiment and Quality. We chose to overweight management consulting company Huron Consulting Group because of our positive views on Quality and Valuation. The Fund was overweight Finish Line, a retailer of athletic shoes and related apparel, based on our positive views on Valuation and Quality. |
| Q | | Which individual stock positions contributed most to the Fund’s relative returns during the Reporting Period? |
| A | | The Fund was aided during the Reporting Period by overweight positions in Exelixis, a genomics-based drug company; Masimo, a manufacturer of noninvasive patient monitoring technologies; and Rogers, a specialty materials company. Our positive views on Sentiment and Quality caused us to overweight Exelixis. The overweight in Masimo was the result of our positive views on Quality and Profitability. We assumed the overweight in Rogers because of our positive views on Sentiment 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 consumer discretionary and information technology sectors relative to the Index. Compared to the Index, the Fund was underweight the financials, utilities and consumer staples sectors. The Fund was relatively neutral compared to the Index in the materials, industrials, energy, real estate, telecommunication services and health care sectors at the end of the Reporting Period. |
15
FUND BASICS
Small Cap Equity Insights Fund
as of April 30, 2017
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2016–April 30,
2017 | | Fund Total Return
(based on NAV)1 | | | Russell 2000® Index2 | |
| | Class A | | | 16.98 | % | | | 18.37 | % |
| | Class C | | | 16.52 | | | | 18.37 | |
| | Institutional | | | 17.25 | | | | 18.37 | |
| | Service | | | 16.96 | | | | 18.37 | |
| | Class IR | | | 17.14 | | | | 18.37 | |
| | Class R | | | 16.86 | | | | 18.37 | |
| | | Class R6 | | | 17.26 | | | | 18.37 | |
| | 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 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 3/31/17 | | One Year | | | Five Years | | | Ten Years | | | Since Inception | | | Inception Date |
| | Class A | | | 15.93 | % | | | 10.17 | % | | | 5.07 | % | | | 6.61 | % | | 8/15/97 |
| | Class C | | | 20.78 | | | | 10.59 | | | | 4.87 | | | | 6.13 | | | 8/15/97 |
| | Institutional | | | 23.16 | | | | 11.88 | | | | 6.09 | | | | 7.34 | | | 8/15/97 |
| | Service | | | 22.50 | | | | 11.31 | | | | 5.56 | | | | 6.81 | | | 8/15/97 |
| | Class IR | | | 22.96 | | | | 11.70 | | | | N/A | | | | 8.29 | | | 11/30/07 |
| | Class R | | | 22.35 | | | | 11.15 | | | | N/A | | | | 7.77 | | | 11/30/07 |
| | | Class R6 | | | 23.18 | | | | N/A | | | | N/A | | | | 10.10 | | | 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 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.
16
FUND BASICS
| | | | | | | | | | |
| | EXPENSE RATIOS4 | |
| | | | | Net Expense Ratio (Current) | | | Gross Expense Ratio (Before Waivers) | |
| | Class A | | | 1.24 | % | | | 1.49 | % |
| | Class C | | | 1.99 | | | | 2.24 | |
| | Institutional | | | 0.84 | | | | 1.08 | |
| | Service | | | 1.34 | | | | 1.59 | |
| | Class IR | | | 0.99 | | | | 1.22 | |
| | Class R | | | 1.49 | | | | 1.74 | |
| | | Class R6 | | | 0.82 | | | | 1.06 | |
| | 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 28, 2018, 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 4/30/175 |
| | | Holding | | % of Net Assets | | | Line of Business |
| | LogMeIn, Inc. | | | 0.9 | % | | Internet Software & Services |
| | Masimo Corp. | | | 0.8 | | | Health Care Equipment & Supplies |
| | Aaron’s, Inc. | | | 0.8 | | | Specialty Retail |
| | Entegris, Inc. | | | 0.8 | | | Semiconductors & Semiconductor Equipment |
| | Take-Two Interactive Software, Inc. | | | 0.8 | | | Software |
| | Exelixis, Inc. | | | 0.8 | | | Biotechnology |
| | Rogers Corp. | | | 0.8 | | | Electronic Equipment, Instruments & Components |
| | Aspen Technology, Inc. | | | 0.8 | | | Software |
| | Southwest Gas Holdings, Inc. | | | 0.7 | | | Gas Utilities |
| | | Curtiss-Wright Corp. | | | 0.7 | | | Aerospace & Defense |
| | 5 | | The top 10 holdings may not be representative of the Fund’s future investments. |
17
FUND BASICS
|
| FUND VS. BENCHMARK SECTOR ALLOCATIONS6 |
| As of April 30, 2017 |
| | 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 1.0% of the Fund’s net assets as of April 30, 2017. 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. |
18
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, 2017 (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 17.57%, 17.18%, 17.84%, 17.75%, 17.46% and 17.82%, respectively. These returns compare to the 18.48% 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, five of our quantitative model’s six investment themes contributed positively to relative performance. However, the Fund underperformed the Index largely because of certain individual stock positions. |
| 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 tends to have 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 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. 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. Sentiment, Quality, Momentum and Management also enhanced performance. 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. The Management theme assesses the characteristics, policies and strategic decisions of company management. |
| | | Profitability was the only theme that detracted from the Fund’s relative performance 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 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 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 |
19
PORTFOLIO RESULTS
| | Fund aims to hold a basket of stocks with better Momentum characteristics than the benchmark. |
| | | Certain stock positions caused the Fund to underperform the Index. During the Reporting Period, stock selection in the consumer discretionary, financials and real estate sectors detracted from relative returns. The Fund was helped by holdings in the information technology sector and to somewhat lesser extent, by investments in the consumer staples and industrials sectors. |
| Q | | Which individual stock positions detracted most from the Fund’s results during the Reporting Period? |
| A | | During the Reporting Period, the Fund was hurt by its underweight position in Coherent, a laser solutions provider. We chose to underweight Coherent because of our negative views on Quality and Valuation. Overweight positions in Liberty TripAdvisor Holdings and Finish Line also detracted from relative results. The overweight in Liberty TripAdvisor Holdings, which engages in online travel research and online commerce businesses, was due to our positive views on Sentiment and Quality. The Fund was overweight Finish Line, a retailer of athletic shoes and related apparel, based on our positive views on Valuation and Quality. |
| Q | | Which individual stock positions contributed most to the Fund’s relative returns during the Reporting Period? |
| A | | The Fund benefited during the Reporting Period from overweight positions in Exelixis, a genomics-based drug company; Masimo, a manufacturer of noninvasive patient monitoring technologies; and Rogers, a specialty materials company. Our positive views on Sentiment and Quality led to the overweight in Exelixis. The Fund was overweight Masimo because of our positive views on Quality and Profitability. We adopted the overweight in Rogers due to our positive views on Sentiment 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 consumer discretionary sector relative to the Index. Compared to the Index, the Fund was underweight the health care, information technology and consumer staples sectors. The Fund was relatively neutral compared to the Index in the utilities, energy, real estate, materials, industrials, financials and telecommunication services sectors at the end of the Reporting Period. |
20
FUND BASICS
Small Cap Growth Insights Fund
as of April 30, 2017
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2016–April 30, 2017 | | Fund Total Return (based on NAV)1 | | | Russell 2000
Growth® Index2 | |
| | Class A | | | 17.57 | % | | | 18.48 | % |
| | Class C | | | 17.18 | | | | 18.48 | |
| | Institutional | | | 17.84 | | | | 18.48 | |
| | Class IR | | | 17.75 | | | | 18.48 | |
| | Class R | | | 17.46 | | | | 18.48 | |
| | | Class R6 | | | 17.82 | | | | 18.48 | |
| | 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 higher price-to-book ratios and higher 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 3/31/17 | | One Year | | | Five Years | | | Since Inception | | | Inception Date |
| | Class A | | | 13.93 | % | | | 10.28 | % | | | 6.47 | % | | 6/25/07 |
| | Class C | | | 18.67 | | | | 10.70 | | | | 6.29 | | | 6/25/07 |
| | Institutional | | | 21.07 | | | | 11.98 | | | | 7.52 | | | 6/25/07 |
| | Class IR | | | 20.89 | | | | 11.80 | | | | 8.80 | | | 11/30/07 |
| | Class R | | | 20.30 | | | | 11.26 | | | | 8.25 | | | 11/30/07 |
| | | Class R6 | | | 21.08 | | | | N/A | | | | 5.99 | | | 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 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.
21
FUND BASICS
| | | | | | | | | | |
| | EXPENSE RATIOS4 | |
| | | | | Net Expense Ratio (Current) | | | Gross Expense Ratio (Before Waivers) | |
| | Class A | | | 1.21 | % | | | 1.51 | % |
| | Class C | | | 1.96 | | | | 2.26 | |
| | Institutional | | | 0.85 | | | | 1.11 | |
| | Class IR | | | 0.96 | | | | 1.23 | |
| | Class R | | | 1.46 | | | | 1.76 | |
| | | Class R6 | | | 0.83 | | | | 1.06 | |
| | 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 28, 2018, 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 4/30/175,6 |
| | | Holding | | % of Net Assets | | | Line of Business |
| | Take-Two Interactive Software, Inc. | | | 1.2 | % | | Software |
| | LogMeIn, Inc. | | | 1.1 | | | Internet Software & Services |
| | Aspen Technology, Inc. | | | 1.0 | | | Software |
| | Masimo Corp. | | | 0.9 | | | Health Care Equipment &
Supplies |
| | The Chemours Co. | | | 0.9 | | | Chemicals |
| | Cirrus Logic, Inc. | | | 0.9 | | | Semiconductors & Semiconductor
Equipment |
| | Louisiana-Pacific Corp. | | | 0.9 | | | Paper & Forest Products |
| | Tenneco, Inc. | | | 0.9 | | | Auto Components |
| | Exelixis, Inc. | | | 0.8 | | | Biotechnology |
| | | InterDigital, Inc. | | | 0.8 | | | Communications Equipment |
| | 5 | | The top 10 holdings may not be representative of the Fund’s future investments. |
| | 6 | | The Fund’s overall top ten holdings differ from the table above due to the exclusion of the Goldman Sachs Financial Square Government Fund (a short-term investment fund), which represents 2.6% of the Fund’s net assets as of 4/30/17. |
22
FUND BASICS
|
| FUND VS. BENCHMARK SECTOR ALLOCATIONS7 |
| As of April 30, 2017 |
| | 7 | | 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 1.0% of the Fund’s net assets as of April 30, 2017. 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. |
23
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, 2017 (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 17.90%, 17.47%, 18.14%, 18.05%, 17.75% and 18.13%, respectively. These returns compare to the 18.26% 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, four of our quantitative model’s six investment themes contributed positively to relative performance. However, the Fund underperformed the Index largely because of certain individual stock positions. |
| 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 tends to have 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 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, our Sentiment, Valuation, Quality and Momentum themes added to relative returns. 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. The Momentum theme seeks to predict drifts in stock prices caused by delayed investor reaction to company-specific information and information about related companies. |
| | | None of our investment themes detracted from relative performance during the Reporting Period. The impact of our Profitability and Management themes was rather neutral. The Profitability theme assesses whether a company is earning more than its cost of capital. The Management theme assesses 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. |
| 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 |
24
PORTFOLIO RESULTS
| | Fund aims to hold a basket of stocks with better Momentum characteristics than the benchmark. |
| | | Certain stock positions led the Fund to underperform the Index during the Reporting Period. Investments in the consumer discretionary, materials and real estate sectors detracted most from relative returns. The Fund benefited from stock selection in the financials, consumer staples and information technology sectors. |
| Q | | Which individual stock positions detracted most from the Fund’s results during the Reporting Period? |
| A | | During the Reporting Period, the Fund was hampered by its underweight position in Cliffs Natural Resources, an iron ore mining company. Our negative views on Quality led us to underweight the stock. Overweight positions in Liberty TripAdvisor Holdings and Finish Line also detracted from relative performance. The overweight in Liberty TripAdvisor Holdings, which engages in online travel research and online commerce businesses, was due to our positive views on Valuation and Momentum. The Fund was overweight Finish Line, a retailer of athletic shoes and related apparel, based on our positive views on Valuation and Quality. |
| Q | | Which individual stock positions contributed most to the Fund’s relative returns during the Reporting Period? |
| A | | The Fund benefited during the Reporting Period from overweight positions in Exelixis, a genomics-based drug company; Rogers, a specialty materials company; and Masimo, a manufacturer of noninvasive patient monitoring technologies. We adopted the overweight in Exelixis because of our positive views on Sentiment and Quality, while the overweight in Rogers was the result of our positive views on Sentiment and Profitability. The Fund was overweight Masimo due to our positive views on Quality 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 consumer discretionary, information technology 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, industrials, real estate, energy and telecommunication services sectors at the end of the Reporting Period. |
25
FUND BASICS
Small Cap Value Insights Fund
as of April 30, 2017
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2016–April 30, 2017 | | Fund Total Return
(based on NAV)1 | | | Russell 2000®
Value Index2 | |
| | Class A | | | 17.90 | % | | | 18.26 | % |
| | Class C | | | 17.47 | | | | 18.26 | |
| | Institutional | | | 18.14 | | | | 18.26 | |
| | Class IR | | | 18.05 | | | | 18.26 | |
| | Class R | | | 17.75 | | | | 18.26 | |
| | | Class R6 | | | 18.13 | | | | 18.26 | |
| | 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 3/31/17 | | One Year | | Five Years | | | Since Inception | | | Inception Date |
| | Class A | | 19.39% | | | 10.18 | % | | | 5.12 | % | | 6/25/07 |
| | Class C | | 24.40 | | | 10.60 | | | | 4.93 | | | 6/25/07 |
| | Institutional | | 26.86 | | | 11.88 | | | | 6.17 | | | 6/25/07 |
| | Class IR | | 26.69 | | | 11.71 | | | | 8.12 | | | 11/30/07 |
| | Class R | | 26.05 | | | 11.15 | | | | 7.62 | | | 11/30/07 |
| | | Class R6 | | 26.86 | | | N/A | | | | 14.15 | | | 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 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.
26
FUND BASICS
| | | | | | | | | | |
| | EXPENSE RATIOS4 | |
| | | | | Net Expense Ratio (Current) | | | Gross Expense Ratio (Before Waivers) | |
| | Class A | | | 1.24 | % | | | 1.54 | % |
| | Class C | | | 1.99 | | | | 2.29 | |
| | Institutional | | | 0.84 | | | | 1.14 | |
| | Class IR | | | 0.99 | | | | 1.29 | |
| | Class R | | | 1.49 | | | | 1.79 | |
| | | Class R6 | | | 0.82 | | | | 1.13 | |
| | 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 28, 2018, 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 4/30/175 |
| | | Holding | | % of Net Assets | | | Line of Business |
| | FNB Corp. | | | 1.0 | % | | Banks |
| | CNO Financial Group, Inc. | | | 0.9 | | | Insurance |
| | Wintrust Financial Corp. | | | 0.9 | | | Banks |
| | Hancock Holding Co. | | | 0.9 | | | Banks |
| | Southwest Gas Holdings, Inc. | | | 0.9 | | | Gas Utilities |
| | EMCOR Group, Inc. | | | 0.9 | | | Construction & Engineering |
| | Aaron’s, Inc. | | | 0.8 | | | Specialty Retail |
| | UMB Financial Corp. | | | 0.8 | | | Banks |
| | Esterline Technologies Corp. | | | 0.8 | | | Aerospace & Defense |
| | | Dana, Inc. | | | 0.8 | | | Auto Components |
| | 5 | | The top 10 holdings may not be representative of the Fund’s future investments. |
27
FUND BASICS
|
| FUND VS. BENCHMARK SECTOR ALLOCATIONS6 |
| As of April 30, 2017 |
| | 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 1.3% of the Fund’s net assets as of April 30, 2017. 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. |
28
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, 2017 (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 14.80%, 14.36%, 15.03%, 14.75%, 14.94%, 14.64% and 15.04%, respectively. These returns compare to the 13.32% 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 outperformed the Index, with five of our quantitative model’s six investment themes adding to relative returns. Stock selection overall enhanced results. |
| 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 tends to have 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 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 bolstered relative results. 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, Quality and Profitability also contributed positively. 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. The Profitability theme assesses whether a company is earning more than its cost of capital. |
| | None of our investment themes detracted from relative performance during the Reporting Period. The impact of our Management theme was rather neutral. The Management theme assesses 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. |
| 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 |
29
PORTFOLIO RESULTS
| | 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, stock selection overall added to relative performance. The Fund benefited from investments in the financials, industrials and materials sectors. Stock picks in the consumer discretionary and consumer staples sectors limited relative returns. |
| 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 Citizens Financial Group, a bank; Applied Materials, a provider of equipment, services and software to semiconductor, flat panel display and solar products companies; and Steel Dynamics, a steel producer. Our positive views on Sentiment and Valuation led us to overweight Citizen Financial Group and Steel Dynamics. The overweight in Applied Materials was the result of our positive views on Sentiment and Quality. |
| 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 underweight in diversified financials institution Bank of America. The underweight was assumed due to our negative views on Management and Momentum. Overweight positions in International Game Technology and Express Scripts Holdings also detracted from relative performance. We chose to overweight gaming company International Game Technology based on our positive views on Momentum and Valuation. The Fund was overweight pharmacy benefit manager Express Scripts Holdings because of our positive views on Valuation 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 health care, information technology and real estate sectors relative to the Index. Compared to the Index, the Fund was underweight the financials and consumer discretionary sectors. The Fund was relatively neutral compared to the Index in the telecommunication services, industrials, utilities, energy, consumer staples and materials sectors at the end of the Reporting Period. |
30
FUND BASICS
U.S. Equity Insights Fund
as of April 30, 2017
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2016–April 30, 2017 | | Fund Total Return
(based on NAV)1 | | | S&P 500® Index2 | |
| | Class A | | | 14.80 | % | | | 13.32 | % |
| | Class C | | | 14.36 | | | | 13.32 | |
| | Institutional | | | 15.03 | | | | 13.32 | |
| | Service | | | 14.75 | | | | 13.32 | |
| | Class IR | | | 14.94 | | | | 13.32 | |
| | Class R | | | 14.64 | | | | 13.32 | |
| | | Class R6 | | | 15.04 | | | | 13.32 | |
| | 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 3/31/17 | | One Year | | | Five Years | | | Ten Years | | | Since Inception | | | Inception Date |
| | Class A | | | 12.12 | % | | | 11.77 | % | | | 5.63 | % | | | 8.27 | % | | 5/24/91 |
| | Class C | | | 16.77 | | | | 12.21 | | | | 5.44 | | | | 5.31 | | | 8/15/97 |
| | Institutional | | | 19.15 | | | | 13.50 | | | | 6.65 | | | | 8.71 | | | 6/15/95 |
| | Service | | | 18.55 | | | | 12.93 | | | | 6.13 | | | | 7.29 | | | 6/07/96 |
| | Class IR | | | 18.96 | | | | 13.32 | | | | N/A | | | | 6.89 | | | 11/30/07 |
| | Class R | | | 18.37 | | | | 12.76 | | | | N/A | | | | 6.37 | | | 11/30/07 |
| | | Class R6 | | | 19.17 | | | | N/A | | | | N/A | | | | 8.77 | | | 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 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.
31
FUND BASICS
| | | | | | | | | | |
| | EXPENSE RATIOS4 | |
| | | | | Net Expense Ratio (Current) | | | Gross Expense Ratio (Before Waivers) | |
| | Class A | | | 0.96 | % | | | 1.18 | % |
| | Class C | | | 1.71 | | | | 1.93 | |
| | Institutional | | | 0.56 | | | | 0.78 | |
| | Service | | | 1.06 | | | | 1.28 | |
| | Class IR | | | 0.71 | | | | 0.93 | |
| | Class R | | | 1.21 | | | | 1.43 | |
| | | Class R6 | | | 0.54 | | | | 0.76 | |
| | 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 28, 2018, 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 4/30/175 |
| | | Holding | | % of Net Assets | | | Line of Business |
| | Apple, Inc. | | | 2.7 | % | | Technology Hardware, Storage & Peripherals |
| | JPMorgan Chase & Co. | | | 2.4 | | | Banks |
| | UnitedHealth Group, Inc. | | | 1.8 | | | Health Care Providers & Services |
| | Amazon.com, Inc. | | | 1.7 | | | Internet & Direct Marketing Retail |
| | Facebook, Inc. Class A | | | 1.6 | | | Internet Software & Services |
| | Microsoft Corp. | | | 1.6 | | | Software |
| | MasterCard, Inc. Class A | | | 1.5 | | | IT Services |
| | Wal-Mart Stores, Inc. | | | 1.5 | | | Food & Staples Retailing |
| | Union Pacific Corp. | | | 1.4 | | | Road & Rail |
| | | Amgen, Inc. | | | 1.4 | | | Biotechnology |
| | 5 | | The top 10 holdings may not be representative of the Fund’s future investments. |
32
FUND BASICS
|
| FUND VS. BENCHMARK SECTOR ALLOCATIONS6 |
| As of April 30, 2017 |
| | 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. 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. |
33
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® 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 lower 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 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.
34
GOLDMAN SACHS LARGE CAP GROWTH INSIGHTS FUND
Schedule of Investments
April 30, 2017 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – 97.3% | |
| Aerospace & Defense – 2.2% | | | |
| | 7,081 | | | Lockheed Martin Corp. | | $ | 1,907,975 | |
| | 27,039 | | | Northrop Grumman Corp. | | | 6,650,512 | |
| | 205,224 | | | Spirit AeroSystems Holdings, Inc. Class A | | | 11,730,604 | |
| | 48,937 | | | The Boeing Co. | | | 9,045,026 | |
| | 19,036 | | | United Technologies Corp. | | | 2,265,094 | |
| | | | | | | | |
| | | | | | | 31,599,211 | |
| | |
| Airlines – 2.1% | | | |
| | 184,781 | | | Delta Air Lines, Inc. | | | 8,396,448 | |
| | 605,543 | | | JetBlue Airways Corp.* | | | 13,219,004 | |
| | 13,053 | | | Southwest Airlines Co. | | | 733,840 | |
| | 108,602 | | | United Continental Holdings, Inc.* | | | 7,624,946 | |
| | | | | | | | |
| | | | | | | 29,974,238 | |
| | |
| Auto Components – 2.0% | | | |
| | 128,212 | | | BorgWarner, Inc. | | | 5,420,803 | |
| | 105,112 | | | Delphi Automotive PLC | | | 8,451,005 | |
| | 103,414 | | | Lear Corp. | | | 14,753,041 | |
| | | | | | | | |
| | | | | | | 28,624,849 | |
| | |
| Beverages – 0.5% | | | |
| | 71,185 | | | Monster Beverage Corp.* | | | 3,230,375 | |
| | 27,561 | | | PepsiCo, Inc. | | | 3,122,110 | |
| | 28,740 | | | The Coca-Cola Co. | | | 1,240,131 | |
| | | | | | | | |
| | | | | | | 7,592,616 | |
| | |
| Biotechnology – 7.4% | | | |
| | 138,306 | | | Alexion Pharmaceuticals, Inc.* | | | 17,672,741 | |
| | 179,390 | | | Amgen, Inc. | | | 29,297,975 | |
| | 78,764 | | | Biogen, Inc.* | | | 21,361,584 | |
| | 208,568 | | | Celgene Corp.* | | | 25,872,860 | |
| | 48,022 | | | Gilead Sciences, Inc. | | | 3,291,908 | |
| | 10,314 | | | United Therapeutics Corp.* | | | 1,296,470 | |
| | 58,795 | | | Vertex Pharmaceuticals, Inc.* | | | 6,955,449 | |
| | | | | | | | |
| | | | | | | 105,748,987 | |
| | |
| Building Products – 1.9% | | | |
| | 106,287 | | | Allegion PLC | | | 8,358,410 | |
| | 56,426 | | | Fortune Brands Home & Security, Inc. | | | 3,596,593 | |
| | 409,024 | | | Masco Corp. | | | 15,142,068 | |
| | | | | | | | |
| | | | | | | 27,097,071 | |
| | |
| Capital Markets – 2.5% | | | |
| | 179,800 | | | Intercontinental Exchange, Inc. | | | 10,823,960 | |
| | 85,894 | | | S&P Global, Inc. | | | 11,526,116 | |
| | 264,742 | | | The Bank of New York Mellon Corp. | | | 12,458,758 | |
| | | | | | | | |
| | | | | | | 34,808,834 | |
| | |
| Chemicals – 0.3% | | | |
| | 16,050 | | | Celanese Corp. Series A | | | 1,396,992 | |
| | 26,110 | | | PPG Industries, Inc. | | | 2,867,922 | |
| | 1,925 | | | The Sherwin-Williams Co. | | | 644,259 | |
| | | | | | | �� | |
| | | | | | | 4,909,173 | |
| | |
| Common Stocks – (continued) | |
| Communications Equipment – 1.3% | | | |
| | 101,604 | | | F5 Networks, Inc.* | | | 13,120,125 | |
| | 160,958 | | | Juniper Networks, Inc. | | | 4,840,007 | |
| | | | | | | | |
| | | | | | | 17,960,132 | |
| | |
| Containers & Packaging – 2.1% | | | |
| | 59,334 | | | Crown Holdings, Inc.* | | | 3,328,044 | |
| | 444,338 | | | Graphic Packaging Holding Co. | | | 6,034,110 | |
| | 296,429 | | | Owens-Illinois, Inc.* | | | 6,468,081 | |
| | 307,134 | | | Sealed Air Corp. | | | 13,520,039 | |
| | | | | | | | |
| | | | | | | 29,350,274 | |
| | |
| Distributors – 0.3% | | | |
| | 39,425 | | | Pool Corp. | | | 4,716,018 | |
| | |
| Electrical Equipment – 0.8% | | | |
| | 171,761 | | | AMETEK, Inc. | | | 9,824,729 | |
| | 9,382 | | | Rockwell Automation, Inc. | | | 1,476,258 | |
| | | | | | | | |
| | | | | | | 11,300,987 | |
| | |
| Electronic Equipment, Instruments & Components – 1.5% | |
| | 726,687 | | | Flex Ltd.* | | | 11,234,581 | |
| | 335,144 | | | Jabil Circuit, Inc. | | | 9,725,879 | |
| | | | | | | | |
| | | | | | | 20,960,460 | |
| | |
| Energy Equipment & Services – 0.6% | | | |
| | 144,963 | | | Baker Hughes, Inc. | | | 8,606,453 | |
| | |
| Equity Real Estate Investment Trusts (REITs) – 4.1% | | | |
| | 24,947 | | | American Homes 4 Rent Class A | | | 575,028 | |
| | 164,633 | | | American Tower Corp. | | | 20,733,880 | |
| | 53,867 | | | Colony NorthStar, Inc. Class A | | | 704,042 | |
| | 43,575 | | | Equinix, Inc. | | | 18,201,278 | |
| | 31,860 | | | Forest City Realty Trust, Inc. Class A | | | 720,036 | |
| | 67,851 | | | Host Hotels & Resorts, Inc. | | | 1,217,925 | |
| | 122,693 | | | SBA Communications Corp.* | | | 15,519,438 | |
| | | | | | | | |
| | | | | | | 57,671,627 | |
| | |
| Food & Staples Retailing – 1.3% | | | |
| | 258,914 | | | The Kroger Co. | | | 7,676,800 | |
| | 26,288 | | | US Foods Holding Corp.* | | | 741,322 | |
| | 108,226 | | | Walgreens Boots Alliance, Inc. | | | 9,365,878 | |
| | | | | | | | |
| | | | | | | 17,784,000 | |
| | |
| Food Products – 2.7% | | | |
| | 94,792 | | | Bunge Ltd. | | | 7,491,412 | |
| | 340,056 | | | Conagra Brands, Inc. | | | 13,187,371 | |
| | 81,606 | | | Pilgrim’s Pride Corp. | | | 2,118,492 | |
| | 236,896 | | | Tyson Foods, Inc. Class A | | | 15,222,937 | |
| | | | | | | | |
| | | | | | | 38,020,212 | |
| | |
| Health Care Equipment & Supplies – 3.3% | | | |
| | 261,820 | | | Baxter International, Inc. | | | 14,578,138 | |
| | 147,121 | | | Danaher Corp. | | | 12,259,593 | |
| | 338,540 | | | Hologic, Inc.* | | | 15,285,081 | |
| | 9,577 | | | IDEXX Laboratories, Inc.* | | | 1,606,350 | |
| | 4,008 | | | Intuitive Surgical, Inc.* | | | 3,350,167 | |
| | | | | | | | |
| | | | | | | 47,079,329 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 35 |
GOLDMAN SACHS LARGE CAP GROWTH INSIGHTS FUND
Schedule of Investments (continued)
April 30, 2017 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – (continued) | |
| Health Care Providers & Services – 5.0% | | | |
| | 12,548 | | | Anthem, Inc. | | $ | 2,232,164 | |
| | 108,120 | | | Centene Corp.* | | | 8,044,128 | |
| | 73,824 | | | Cigna Corp. | | | 11,543,859 | |
| | 34,971 | | | Express Scripts Holding Co.* | | | 2,145,121 | |
| | 15,654 | | | Laboratory Corp. of America Holdings* | | | 2,193,908 | |
| | 118,136 | | | McKesson Corp. | | | 16,337,027 | |
| | 138,801 | | | UnitedHealth Group, Inc. | | | 24,273,519 | |
| | 24,456 | | | WellCare Health Plans, Inc.* | | | 3,751,795 | |
| | | | | | | | |
| | | | | | | 70,521,521 | |
| | |
| Hotels, Restaurants & Leisure – 3.7% | | | |
| | 14,165 | | | Aramark | | | 517,306 | |
| | 9,572 | | | Chipotle Mexican Grill, Inc.* | | | 4,541,627 | |
| | 6,907 | | | Domino’s Pizza, Inc. | | | 1,252,861 | |
| | 129,858 | | | Hilton Worldwide Holdings, Inc. | | | 7,657,726 | |
| | 181,445 | | | International Game Technology PLC | | | 4,028,079 | |
| | 280,999 | | | Las Vegas Sands Corp. | | | 16,576,131 | |
| | 132,181 | | | Wyndham Worldwide Corp. | | | 12,598,171 | |
| | 83,540 | | | Yum! Brands, Inc. | | | 5,492,755 | |
| | | | | | | | |
| | | | | | | 52,664,656 | |
| | |
| Household Durables* – 1.1% | | | |
| | 66,052 | | | Mohawk Industries, Inc. | | | 15,508,349 | |
| | |
| Household Products – 1.2% | | | |
| | 168,921 | | | Colgate-Palmolive Co. | | | 12,169,069 | |
| | 38,107 | | | Spectrum Brands Holdings, Inc. | | | 5,477,119 | |
| | | | | | | | |
| | | | | | | 17,646,188 | |
| | |
| Independent Power and Renewable Electricity Producers – 0.3% | |
| | 230,516 | | | AES Corp. | | | 2,607,136 | |
| | 99,192 | | | NRG Energy, Inc. | | | 1,676,345 | |
| | | | | | | | |
| | | | | | | 4,283,481 | |
| | |
| Industrial Conglomerates – 0.3% | | | |
| | 32,691 | | | Carlisle Cos., Inc. | | | 3,314,540 | |
| | 11,083 | | | Honeywell International, Inc. | | | 1,453,425 | |
| | | | | | | | |
| | | | | | | 4,767,965 | |
| | |
| Insurance – 2.0% | | | |
| | 43,723 | | | Aon PLC | | | 5,239,764 | |
| | 254,366 | | | Marsh & McLennan Cos., Inc. | | | 18,856,152 | |
| | 114,582 | | | XL Group Ltd. | | | 4,795,257 | |
| | | | | | | | |
| | | | | | | 28,891,173 | |
| | |
| Internet & Direct Marketing Retail – 4.4% | | | |
| | 46,039 | | | Amazon.com, Inc.*(a) | | | 42,585,615 | |
| | 14,871 | | | Expedia, Inc. | | | 1,988,550 | |
| | 40,466 | | | Netflix, Inc.* | | | 6,158,925 | |
| | 6,201 | | | The Priceline Group, Inc.* | | | 11,452,131 | |
| | 20,379 | | | TripAdvisor, Inc.* | | | 917,259 | |
| | | | | | | | |
| | | | | | | 63,102,480 | |
| | |
| Internet Software & Services* – 8.7% | | | |
| | 36,679 | | | Akamai Technologies, Inc. | | | 2,235,218 | |
| | |
| Common Stocks – (continued) | |
| Internet Software & Services* – (continued) | | | |
| | 36,201 | | | Alphabet, Inc. Class A(a) | | | 33,468,549 | |
| | 36,592 | | | Alphabet, Inc. Class C | | | 33,150,888 | |
| | 264,903 | | | Facebook, Inc. Class A | | | 39,801,676 | |
| | 35,727 | | | Twitter, Inc. | | | 588,781 | |
| | 154,432 | | | VeriSign, Inc. | | | 13,732,093 | |
| | | | | | | | |
| | | | | | | 122,977,205 | |
| | |
| IT Services – 3.9% | | | |
| | 149,078 | | | CSRA, Inc. | | | 4,335,188 | |
| | 76,034 | | | Euronet Worldwide, Inc.* | | | 6,281,929 | |
| | 62,963 | | | Fidelity National Information Services, Inc. | | | 5,300,855 | |
| | 26,016 | | | Gartner, Inc.* | | | 2,968,166 | |
| | 20,089 | | | International Business Machines Corp. | | | 3,220,066 | |
| | 104,248 | | | MasterCard, Inc. Class A | | | 12,126,127 | |
| | 698,042 | | | The Western Union Co. | | | 13,863,114 | |
| | 77,468 | | | Visa, Inc. Class A | | | 7,066,631 | |
| | | | | | | | |
| | | | | | | 55,162,076 | |
| | |
| Life Sciences Tools & Services – 1.1% | | | |
| | 138,910 | | | Agilent Technologies, Inc. | | | 7,646,996 | |
| | 48,834 | | | Thermo Fisher Scientific, Inc. | | | 8,073,725 | |
| | | | | | | | |
| | | | | | | 15,720,721 | |
| | |
| Machinery – 0.5% | | | |
| | 22,011 | | | Donaldson Co., Inc. | | | 1,018,669 | |
| | 5,676 | | | Ingersoll-Rand PLC | | | 503,745 | |
| | 41,797 | | | Nordson Corp. | | | 5,232,984 | |
| | | | | | | | |
| | | | | | | 6,755,398 | |
| | |
| Media – 3.2% | | | |
| | 182,955 | | | Comcast Corp. Class A | | | 7,170,006 | |
| | 27,809 | | | Omnicom Group, Inc. | | | 2,283,675 | |
| | 91,093 | | | Scripps Networks Interactive, Inc. Class A | | | 6,806,469 | |
| | 254,377 | | | The Interpublic Group of Cos., Inc. | | | 5,995,666 | |
| | 75,406 | | | The Walt Disney Co. | | | 8,716,934 | |
| | 494,945 | | | Twenty-First Century Fox, Inc. Class A | | | 15,115,620 | |
| | | | | | | | |
| | | | | | | 46,088,370 | |
| | |
| Metals & Mining* – 0.3% | | | |
| | 345,002 | | | Freeport-McMoRan, Inc. | | | 4,398,776 | |
| | |
| Oil, Gas & Consumable Fuels – 1.0% | | | |
| | 12,417 | | | Newfield Exploration Co.* | | | 429,877 | |
| | 28,218 | | | The Williams Cos., Inc. | | | 864,317 | |
| | 201,843 | | | Valero Energy Corp. | | | 13,041,076 | |
| | | | | | | | |
| | | | | | | 14,335,270 | |
| | |
| Pharmaceuticals – 2.2% | | | |
| | 29,831 | | | Allergan PLC | | | 7,274,588 | |
| | 60,776 | | | Bristol-Myers Squibb Co. | | | 3,406,495 | |
| | 122,977 | | | Eli Lilly & Co. | | | 10,091,492 | |
| | 80,611 | | | Johnson & Johnson | | | 9,953,040 | |
| | | | | | | | |
| | | | | | | 30,725,615 | |
| | |
| | |
| 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) | |
| Real Estate Management & Development* – 0.7% | |
| | 279,565 | | | CBRE Group, Inc. Class A | | $ | 10,011,223 | |
| | |
| Road & Rail* – 0.1% | | | |
| | 58,700 | | | Avis Budget Group, Inc. | | | 1,790,350 | |
| | |
| Semiconductors & Semiconductor Equipment – 3.5% | |
| | 430,963 | | | Applied Materials, Inc. | | | 17,501,407 | |
| | 340,738 | | | Maxim Integrated Products, Inc. | | | 15,043,583 | |
| | 218,816 | | | Texas Instruments, Inc. | | | 17,325,851 | |
| | | | | | | | |
| | | | | | | 49,870,841 | |
| | |
| Software – 8.4% | | | |
| | 51,168 | | | Activision Blizzard, Inc. | | | 2,673,528 | |
| | 149,715 | | | Adobe Systems, Inc.* | | | 20,022,884 | |
| | 224,988 | | | Cadence Design Systems, Inc.* | | | 7,327,859 | |
| | 162,624 | | | CDK Global, Inc. | | | 10,572,186 | |
| | 185,554 | | | Citrix Systems, Inc.* | | | 15,018,741 | |
| | 717,303 | | | Microsoft Corp. | | | 49,106,563 | |
| | 214,137 | | | Nuance Communications, Inc.* | | | 3,830,911 | |
| | 63,785 | | | Red Hat, Inc.* | | | 5,618,183 | |
| | 39,680 | | | ServiceNow, Inc.* | | | 3,748,967 | |
| | 14,096 | | | Splunk, Inc.* | | | 906,514 | |
| | | | | | | | |
| | | | | | | 118,826,336 | |
| | |
| Specialty Retail – 2.4% | | | |
| | 186,079 | | | Best Buy Co., Inc. | | | 9,640,753 | |
| | 66,119 | | | Burlington Stores, Inc.* | | | 6,540,492 | |
| | 26,476 | | | O’Reilly Automotive, Inc.* | | | 6,570,019 | |
| | 60,168 | | | The Home Depot, Inc. | | | 9,392,225 | |
| | 59,844 | | | The Michaels Cos., Inc.* | | | 1,397,956 | |
| | | | | | | | |
| | | | | | | 33,541,445 | |
| | |
| Technology Hardware, Storage & Peripherals – 5.3% | |
| | 515,129 | | | Apple, Inc.(a) | | | 73,998,281 | |
| | 44,389 | | | NCR Corp.* | | | 1,831,046 | |
| | | | | | | | |
| | | | | | | 75,829,327 | |
| | |
| Common Stocks – (continued) | |
| Textiles, Apparel & Luxury Goods – 0.9% | | | |
| | 106,391 | | | PVH Corp. | | | 10,748,682 | |
| | 17,433 | | | Ralph Lauren Corp. | | | 1,407,192 | |
| | | | | | | | |
| | | | | | | 12,155,874 | |
| | |
| Tobacco – 0.2% | | | |
| | 40,888 | | | Altria Group, Inc. | | | 2,934,940 | |
| | 4,089 | | | Philip Morris International, Inc. | | | 453,225 | |
| | | | | | | | |
| | | | | | | 3,388,165 | |
| | |
| | TOTAL COMMON STOCKS | |
| | (Cost $1,271,073,089) | | $ | 1,382,767,276 | |
| | |
| | | | | | |
| Shares | | Distribution
Rate | | Value | |
| Investment Company(b)(c) – 1.9% | |
Goldman Sachs Financial Square Government Fund –
Institutional Shares | |
| 26,700,716 | | 0.656% | | $ | 26,700,716 | |
| (Cost $26,700,716) | | | | |
| |
| TOTAL INVESTMENTS – 99.2% | |
| (Cost $1,297,773,805) | | $ | 1,409,467,992 | |
| |
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.8% | | | 10,958,164 | |
| |
| NET ASSETS – 100.0% | | $ | 1,420,426,156 | |
| |
| | |
| 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) | | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on April 30, 2017. |
(c) | | Represents an Affiliated fund. |
| | |
|
Investment Abbreviation: |
PLC | | —Public Limited Company |
|
|
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At April 30, 2017, 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 | | 183 | | June 2017 | | $ | 21,781,575 | | | $ | 77,691 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 37 |
GOLDMAN SACHS LARGE CAP VALUE INSIGHTS FUND
Schedule of Investments
April 30, 2017 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – 97.4% | |
| Aerospace & Defense – 1.7% | | | |
| | 4,469 | | | Raytheon Co. | | $ | 693,634 | |
| | 68,195 | | | Spirit AeroSystems Holdings, Inc. Class A | | | 3,898,026 | |
| | 24,369 | | | United Technologies Corp. | | | 2,899,667 | |
| | | | | | | | |
| | | | | | | 7,491,327 | |
| | |
| Airlines – 2.6% | | | |
| | 2,151 | | | Copa Holdings SA Class A | | | 250,419 | |
| | 32,223 | | | Delta Air Lines, Inc. | | | 1,464,213 | |
| | 208,969 | | | JetBlue Airways Corp.* | | | 4,561,793 | |
| | 73,836 | | | United Continental Holdings, Inc.* | | | 5,184,026 | |
| | | | | | | | |
| | | | | | | 11,460,451 | |
| | |
| Auto Components – 1.7% | | | |
| | 23,074 | | | BorgWarner, Inc. | | | 975,569 | |
| | 31,005 | | | Lear Corp. | | | 4,423,173 | |
| | 54,679 | | | The Goodyear Tire & Rubber Co. | | | 1,981,020 | |
| | | | | | | | |
| | | | | | | 7,379,762 | |
| | |
| Banks – 9.8% | | | |
| | 225,484 | | | Bank of America Corp. | | | 5,262,796 | |
| | 101,873 | | | CIT Group, Inc. | | | 4,717,739 | |
| | 45,741 | | | Citigroup, Inc. | | | 2,704,208 | |
| | 129,770 | | | Citizens Financial Group, Inc. | | | 4,763,857 | |
| | 18,344 | | | East West Bancorp, Inc. | | | 995,529 | |
| | 23,942 | | | First Republic Bank | | | 2,213,677 | |
| | 190,415 | | | JPMorgan Chase & Co. | | | 16,566,105 | |
| | 96,720 | | | Wells Fargo & Co. | | | 5,207,405 | |
| | | | | | | | |
| | | | | | | 42,431,316 | |
| | |
| Biotechnology – 2.1% | | | |
| | 25,793 | | | Alexion Pharmaceuticals, Inc.* | | | 3,295,830 | |
| | 13,949 | | | Amgen, Inc. | | | 2,278,151 | |
| | 11,392 | | | Biogen, Inc.* | | | 3,089,624 | |
| | 1,770 | | | Celgene Corp.* | | | 219,568 | |
| | | | | | | | |
| | | | | | | 8,883,173 | |
| | |
| Building Products – 1.0% | | | |
| | 121,479 | | | Masco Corp. | | | 4,497,153 | |
| | |
| Capital Markets – 4.2% | | | |
| | 51,997 | | | E*TRADE Financial Corp.* | | | 1,796,496 | |
| | 9,818 | | | Franklin Resources, Inc. | | | 423,254 | |
| | 83,883 | | | Intercontinental Exchange, Inc. | | | 5,049,757 | |
| | 132,573 | | | The Bank of New York Mellon Corp. | | | 6,238,885 | |
| | 107,613 | | | Thomson Reuters Corp. | | | 4,888,859 | |
| | | | | | | | |
| | | | | | | 18,397,251 | |
| | |
| Chemicals – 1.1% | | | |
| | 25,968 | | | Celanese Corp. Series A | | | 2,260,255 | |
| | 93,121 | | | Huntsman Corp. | | | 2,306,607 | |
| | | | | | | | |
| | | | | | | 4,566,862 | |
| | |
| Communications Equipment – 2.2% | | | |
| | 70,217 | | | Cisco Systems, Inc. | | | 2,392,293 | |
| | 21,880 | | | F5 Networks, Inc.* | | | 2,825,365 | |
| | 146,385 | | | Juniper Networks, Inc. | | | 4,401,797 | |
| | | | | | | | |
| | | | | | | 9,619,455 | |
| | |
| Common Stocks – (continued) | |
| Construction & Engineering – 0.2% | | | |
| | 14,724 | | | Jacobs Engineering Group, Inc. | | | 808,642 | |
| | |
| Consumer Finance – 2.6% | | | |
| | 151,068 | | | Ally Financial, Inc. | | | 2,991,147 | |
| | 71,051 | | | Capital One Financial Corp. | | | 5,711,079 | |
| | 6,226 | | | Discover Financial Services | | | 389,685 | |
| | 11,662 | | | Navient Corp. | | | 177,262 | |
| | 63,862 | | | Synchrony Financial | | | 1,775,364 | |
| | | | | | | | |
| | | | | | | 11,044,537 | |
| | |
| Containers & Packaging – 0.9% | | | |
| | 31,672 | | | Owens-Illinois, Inc.* | | | 691,083 | |
| | 57,466 | | | WestRock Co. | | | 3,077,879 | |
| | | | | | | | |
| | | | | | | 3,768,962 | |
| | |
| Diversified Financial Services – 2.3% | | | |
| | 46,931 | | | Berkshire Hathaway, Inc. Class B* | | | 7,753,471 | |
| | 61,066 | | | Voya Financial, Inc. | | | 2,282,647 | |
| | | | | | | | |
| | | | | | | 10,036,118 | |
| | |
| Diversified Telecommunication Services – 1.5% | | | |
| | 148,043 | | | AT&T, Inc. | | | 5,866,944 | |
| | 9,228 | | | Level 3 Communications, Inc.* | | | 560,693 | |
| | | | | | | | |
| | | | | | | 6,427,637 | |
| | |
| Electrical Equipment – 1.1% | | | |
| | 83,227 | | | AMETEK, Inc. | | | 4,760,584 | |
| | 1,320 | | | Rockwell Automation, Inc. | | | 207,702 | |
| | | | | | | | |
| | | | | | | 4,968,286 | |
| | |
| Electronic Equipment, Instruments & Components – 2.0% | |
| | 279,421 | | | Flex Ltd.* | | | 4,319,848 | |
| | 156,542 | | | Jabil Circuit, Inc. | | | 4,542,849 | |
| | | | | | | | |
| | | | | | | 8,862,697 | |
| | |
| Energy Equipment & Services – 1.4% | | | |
| | 90,005 | | | Baker Hughes, Inc. | | | 5,343,597 | |
| | 73,335 | | | Ensco PLC Class A | | | 578,613 | |
| | | | | | | | |
| | | | | | | 5,922,210 | |
| | |
| Equity Real Estate Investment Trusts (REITs) – 4.4% | | | |
| | 194,966 | | | American Homes 4 Rent Class A | | | 4,493,966 | |
| | 34,579 | | | American Tower Corp. | | | 4,354,879 | |
| | 3,498 | | | Equinix, Inc. | | | 1,461,115 | |
| | 94,206 | | | Forest City Realty Trust, Inc. Class A | | | 2,129,055 | |
| | 71,299 | | | Host Hotels & Resorts, Inc. | | | 1,279,817 | |
| | 10,174 | | | Paramount Group, Inc. | | | 166,854 | |
| | 39,257 | | | Quality Care Properties, Inc.* | | | 681,109 | |
| | 36,287 | | | SBA Communications Corp.* | | | 4,589,943 | |
| | | | | | | | |
| | | | | | | 19,156,738 | |
| | |
| Food & Staples Retailing – 2.2% | | | |
| | 80,828 | | | Wal-Mart Stores, Inc. | | | 6,076,649 | |
| | 40,299 | | | Walgreens Boots Alliance, Inc. | | | 3,487,475 | |
| | | | | | | | |
| | | | | | | 9,564,124 | |
| | |
| | |
| 38 | | 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 Products – 3.1% | | | |
| | 7,687 | | | Archer-Daniels-Midland Co. | | $ | 351,680 | |
| | 46,124 | | | Bunge Ltd. | | | 3,645,180 | |
| | 113,238 | | | Conagra Brands, Inc. | | | 4,391,370 | |
| | 8,935 | | | Pilgrim’s Pride Corp. | | | 231,952 | |
| | 73,303 | | | Tyson Foods, Inc. Class A | | | 4,710,451 | |
| | | | | | | | |
| | | | | | | 13,330,633 | |
| | |
| Gas Utilities – 0.6% | | | |
| | 52,972 | | | UGI Corp. | | | 2,657,076 | |
| | |
| Health Care Equipment & Supplies – 2.6% | |
| | 95,086 | | | Baxter International, Inc. | | | 5,294,389 | |
| | 69,416 | | | Danaher Corp. | | | 5,784,435 | |
| | 1,856 | | | Medtronic PLC | | | 154,215 | |
| | | | | | | | |
| | | | | | | 11,233,039 | |
| | |
| Health Care Providers & Services – 2.2% | | | |
| | 1,604 | | | Anthem, Inc. | | | 285,336 | |
| | 6,150 | | | Centene Corp.* | | | 457,560 | |
| | 26,378 | | | Cigna Corp. | | | 4,124,728 | |
| | 4,528 | | | Express Scripts Holding Co.* | | | 277,747 | |
| | 23,705 | | | McKesson Corp. | | | 3,278,164 | |
| | 4,968 | | | UnitedHealth Group, Inc. | | | 868,804 | |
| | 900 | | | WellCare Health Plans, Inc.* | | | 138,069 | |
| | | | | | | | |
| | | | | | | 9,430,408 | |
| | |
| Hotels, Restaurants & Leisure – 1.0% | | | |
| | 137,981 | | | International Game Technology PLC | | | 3,063,178 | |
| | 24,321 | | | Las Vegas Sands Corp. | | | 1,434,696 | |
| | | | | | | | |
| | | | | | | 4,497,874 | |
| | |
| Household Durables* – 1.0% | | | |
| | 19,169 | | | Mohawk Industries, Inc. | | | 4,500,690 | |
| | |
| Household Products – 2.4% | |
| | 70,921 | | | Colgate-Palmolive Co. | | | 5,109,149 | |
| | 58,506 | | | The Procter & Gamble Co. | | | 5,109,329 | |
| | | | | | | | |
| | | | | | | 10,218,478 | |
| | |
| Independent Power and Renewable Electricity Producers – 1.6% | |
| | 408,384 | | | AES Corp. | | | 4,618,823 | |
| | 137,266 | | | NRG Energy, Inc. | | | 2,319,795 | |
| | | | | | | | |
| | | | | | | 6,938,618 | |
| | |
| Industrial Conglomerates – 1.3% | | | |
| | 10,235 | | | Carlisle Cos., Inc. | | | 1,037,727 | |
| | 163,189 | | | General Electric Co. | | | 4,730,849 | |
| | | | | | | | |
| | | | | | | 5,768,576 | |
| | |
| Insurance – 2.9% | | | |
| | 31,960 | | | Arch Capital Group Ltd.* | | | 3,099,161 | |
| | 52,782 | | | Marsh & McLennan Cos., Inc. | | | 3,912,730 | |
| | 25,612 | | | Unum Group | | | 1,186,604 | |
| | 109,206 | | | XL Group Ltd. | | | 4,570,271 | |
| | | | | | | | |
| | | | | | | 12,768,766 | |
| | |
| Common Stocks – (continued) | |
| Internet Software & Services* – 0.5% | | | |
| | 6,869 | | | VeriSign, Inc. | | | 610,791 | |
| | 31,012 | | | Yahoo!, Inc. | | | 1,495,089 | |
| | | | | | | | |
| | | | | | | 2,105,880 | |
| | |
| IT Services – 0.5% | | | |
| | 5,945 | | | Fidelity National Information Services, Inc. | | | 500,510 | |
| | 86,290 | | | The Western Union Co. | | | 1,713,719 | |
| | | | | | | | |
| | | | | | | 2,214,229 | |
| | |
| Life Sciences Tools & Services – 1.8% | | | |
| | 55,796 | | | Agilent Technologies, Inc. | | | 3,071,570 | |
| | 29,464 | | | Thermo Fisher Scientific, Inc. | | | 4,871,283 | |
| | | | | | | | |
| | | | | | | 7,942,853 | |
| | |
| Machinery – 0.6% | | | |
| | 5,439 | | | Donaldson Co., Inc. | | | 251,717 | |
| | 37,324 | | | Fortive Corp. | | | 2,361,116 | |
| | | | | | | | |
| | | | | | | 2,612,833 | |
| | |
| Media – 1.2% | | | |
| | 3,813 | | | John Wiley & Sons, Inc. Class A | | | 200,945 | |
| | 156,416 | | | Twenty-First Century Fox, Inc. Class A | | | 4,776,945 | |
| | | | | | | | |
| | | | | | | 4,977,890 | |
| | |
| Metals & Mining – 0.8% | | | |
| | 198,333 | | | Freeport-McMoRan, Inc.* | | | 2,528,746 | |
| | 15,306 | | | Newmont Mining Corp. | | | 517,496 | |
| | 2,749 | | | Reliance Steel & Aluminum Co. | | | 216,676 | |
| | | | | | | | |
| | | | | | | 3,262,918 | |
| | |
| Mortgage Real Estate Investment Trusts (REITs) – 1.5% | |
| | 217,547 | | | AGNC Investment Corp. | | | 4,583,715 | |
| | 174,362 | | | Annaly Capital Management, Inc. | | | 2,059,215 | |
| | | | | | | | |
| | | | | | | 6,642,930 | |
| | |
| Multi-Utilities – 2.4% | | | |
| | 168,447 | | | CenterPoint Energy, Inc. | | | 4,805,793 | |
| | 33,728 | | | CMS Energy Corp. | | | 1,531,251 | |
| | 164,355 | | | NiSource, Inc. | | | 3,985,609 | |
| | | | | | | | |
| | | | | | | 10,322,653 | |
| | |
| Oil, Gas & Consumable Fuels – 9.2% | | | |
| | 32,162 | | | Chevron Corp. | | | 3,431,685 | |
| | 66,705 | | | Energen Corp.* | | | 3,467,993 | |
| | 125,097 | | | Exxon Mobil Corp. | | | 10,214,170 | |
| | 82,038 | | | HollyFrontier Corp. | | | 2,308,549 | |
| | 82,787 | | | Kinder Morgan, Inc. | | | 1,707,896 | |
| | 62,867 | | | Marathon Petroleum Corp. | | | 3,202,445 | |
| | 51,143 | | | Newfield Exploration Co.* | | | 1,770,571 | |
| | 69,412 | | | Phillips 66 | | | 5,522,419 | |
| | 88,673 | | | The Williams Cos., Inc. | | | 2,716,054 | |
| | 85,305 | | | Valero Energy Corp. | | | 5,511,556 | |
| | | | | | | | |
| | | | | | | 39,853,338 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 39 |
GOLDMAN SACHS LARGE CAP VALUE INSIGHTS FUND
Schedule of Investments (continued)
April 30, 2017 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – (continued) | |
| Pharmaceuticals – 5.3% | | | |
| | 7,461 | | | Allergan PLC | | $ | 1,819,440 | |
| | 63,288 | | | Johnson & Johnson | | | 7,814,169 | |
| | 8,586 | | | Mallinckrodt PLC* | | | 402,855 | |
| | 159,149 | | | Merck & Co., Inc. | | | 9,919,757 | |
| | 88,092 | | | Pfizer, Inc. | | | 2,988,081 | |
| | | | | | | | |
| | | | | | | 22,944,302 | |
| | |
| Real Estate Management & Development – 0.3% | | | |
| | 29,858 | | | CBRE Group, Inc. Class A* | | | 1,069,215 | |
| | 8,422 | | | Realogy Holdings Corp. | | | 257,292 | |
| | | | | | | | |
| | | | | | | 1,326,507 | |
| | |
| Road & Rail – 1.9% | | | |
| | 18,940 | | | Norfolk Southern Corp. | | | 2,225,260 | |
| | 54,134 | | | Union Pacific Corp. | | | 6,060,843 | |
| | | | | | | | |
| | | | | | | 8,286,103 | |
| | |
| Semiconductors & Semiconductor Equipment – 2.5% | |
| | 118,452 | | | Applied Materials, Inc. | | | 4,810,335 | |
| | 49,685 | | | Intel Corp. | | | 1,796,113 | |
| | 91,692 | | | Maxim Integrated Products, Inc. | | | 4,048,202 | |
| | | | | | | | |
| | | | | | | 10,654,650 | |
| | |
| Software – 1.7% | | | |
| | 23,649 | | | Adobe Systems, Inc.* | | | 3,162,817 | |
| | 49,355 | | | Citrix Systems, Inc.* | | | 3,994,794 | |
| | 5,084 | | | Oracle Corp. | | | 228,577 | |
| | | | | | | | |
| | | | | | | 7,386,188 | |
| | |
| Specialty Retail – 1.2% | | | |
| | 88,288 | | | Best Buy Co., Inc. | | | 4,574,201 | |
| | 7,273 | | | Burlington Stores, Inc.* | | | 719,445 | |
| | | | | | | | |
| | | | | | | 5,293,646 | |
| | |
| Technology Hardware, Storage & Peripherals – 0.4% | |
| | 98,942 | | | HP, Inc. | | | 1,862,088 | |
| | |
| Textiles, Apparel & Luxury Goods – 1.1% | |
| | 46,229 | | | PVH Corp. | | | 4,670,516 | |
| | |
| Common Stocks – (continued) | |
| Tobacco – 0.8% | |
| | 31,888 | | | Philip Morris International, Inc. | | | 3,534,466 | |
| | |
| | TOTAL COMMON STOCKS | |
| | (Cost $407,390,682) | | $ | 422,524,849 | |
| | |
| | | | | | | | |
| Shares | | | Distribution
Rate | | Value | |
| Investment Company(a)(b) – 1.0% | |
| Goldman Sachs Financial Square Government Fund –
Institutional Shares |
|
| | 4,279,336 | | | 0.656% | | $ | 4,279,336 | |
| | (Cost $4,279,336) | | | | |
| | |
| | TOTAL INVESTMENTS – 98.4% | |
| | (Cost $411,670,018) | | $ | 426,804,185 | |
| | |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 1.6% | | | 7,016,350 | |
| | |
| | NET ASSETS – 100.0% | | $ | 433,820,535 | |
| | |
| | |
| 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) | | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on April 30, 2017. |
| | |
|
Investment Abbreviations: |
PLC | | —Public Limited Company |
|
|
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At April 30, 2017, 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 | | 61 | | June 2017 | | $ | 7,260,525 | | | $ | 654 | |
| | |
| 40 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL CAP EQUITY INSIGHTS FUND
Schedule of Investments
April 30, 2017 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – 97.2% | |
| Aerospace & Defense – 1.4% | | | |
| | 21,237 | | | Curtiss-Wright Corp.(a) | | $ | 1,984,810 | |
| | 19,162 | | | Esterline Technologies Corp.* | | | 1,752,365 | |
| | 1,932 | | | KLX, Inc.* | | | 91,383 | |
| | | | | | | | |
| | | | | | | 3,828,558 | |
| | |
| Air Freight & Logistics* – 0.3% | | | |
| | 4,500 | | | Atlas Air Worldwide Holdings, Inc. | | | 261,000 | |
| | 9,702 | | | XPO Logistics, Inc. | | | 479,182 | |
| | | | | | | | |
| | | | | | | 740,182 | |
| | |
| Airlines – 0.9% | | | |
| | 35,025 | | | Hawaiian Holdings, Inc.* | | | 1,901,857 | |
| | 13,180 | | | SkyWest, Inc. | | | 490,296 | |
| | | | | | | | |
| | | | | | | 2,392,153 | |
| | |
| Auto Components – 2.9% | | | |
| | 25,260 | | | Cooper Tire & Rubber Co. | | | 967,458 | |
| | 15,375 | | | Cooper-Standard Holdings, Inc.* | | | 1,738,451 | |
| | 68,922 | | | Dana, Inc. | | | 1,338,465 | |
| | 8,283 | | | LCI Industries | | | 837,825 | |
| | 43,501 | | | Superior Industries International, Inc. | | | 946,147 | |
| | 29,554 | | | Tenneco, Inc. | | | 1,862,789 | |
| | 5,156 | | | Tower International, Inc. | | | 139,728 | |
| | | | | | | | |
| | | | | | | 7,830,863 | |
| | |
| Banks – 7.6% | | | |
| | 6,051 | | | Banner Corp. | | | 334,015 | |
| | 45,608 | | | Central Pacific Financial Corp. | | | 1,426,618 | |
| | 43,320 | | | CVB Financial Corp. | | | 933,113 | |
| | 12,916 | | | Enterprise Financial Services Corp. | | | 545,701 | |
| | 117,363 | | | F.N.B. Corp. | | | 1,671,249 | |
| | 31,064 | | | FCB Financial Holdings, Inc. Class A* | | | 1,467,774 | |
| | 4,966 | | | First Citizens BancShares, Inc. Class A | | | 1,728,466 | |
| | 62,136 | | | First Commonwealth Financial Corp. | | | 802,176 | |
| | 25,698 | | | Hancock Holding Co. | | | 1,200,097 | |
| | 29,885 | | | Hanmi Financial Corp. | | | 868,159 | |
| | 5,023 | | | Heartland Financial USA, Inc. | | | 241,104 | |
| | 8,844 | | | Hilltop Holdings, Inc. | | | 245,952 | |
| | 1,988 | | | IBERIABANK Corp. | | | 157,748 | |
| | 25,843 | | | International Bancshares Corp. | | | 966,528 | |
| | 69,283 | | | OFG Bancorp | | | 810,611 | |
| | 22,752 | | | Sandy Spring Bancorp, Inc. | | | 984,024 | |
| | 4,713 | | | Sterling Bancorp | | | 109,577 | |
| | 24,676 | | | UMB Financial Corp. | | | 1,788,763 | |
| | 54,680 | | | Umpqua Holdings Corp. | | | 966,196 | |
| | 64,284 | | | United Community Banks, Inc. | | | 1,758,167 | |
| | 25,569 | | | Wintrust Financial Corp. | | | 1,811,819 | |
| | | | | | | | |
| | | | | | | 20,817,857 | |
| | |
| Beverages* – 0.0% | | | |
| | 821 | | | The Boston Beer Co., Inc. Class A | | | 118,511 | |
| | |
| Biotechnology – 6.2% | | | |
| | 5,829 | | | Acorda Therapeutics, Inc.* | | | 94,138 | |
| | 14,111 | | | Akebia Therapeutics, Inc.* | | | 185,983 | |
| | 56,943 | | | AMAG Pharmaceuticals, Inc.* | | | 1,389,409 | |
| | 93,173 | | | Array BioPharma, Inc.* | | | 807,810 | |
| | |
| Common Stocks – (continued) | |
| Biotechnology – (continued) | | | |
| | 8,522 | | | BioSpecifics Technologies Corp.* | | | 483,453 | |
| | 18,051 | | | Blueprint Medicines Corp.* | | | 840,816 | |
| | 5,165 | | | Clovis Oncology, Inc.* | | | 299,002 | |
| | 4,186 | | | Cytokinetics, Inc.* | | | 68,650 | |
| | 8,580 | | | Enanta Pharmaceuticals, Inc.* | | | 272,415 | |
| | 19,589 | | | Exact Sciences Corp.*(b) | | | 587,866 | |
| | 95,288 | | | Exelixis, Inc.* | | | 2,134,451 | |
| | 58,437 | | | FibroGen, Inc.* | | | 1,636,236 | |
| | 1,854 | | | Five Prime Therapeutics, Inc.* | | | 64,630 | |
| | 55,097 | | | Genomic Health, Inc.* | | | 1,810,487 | |
| | 10,960 | | | Halozyme Therapeutics, Inc.* | | | 152,782 | |
| | 35,074 | | | Ironwood Pharmaceuticals, Inc.* | | | 572,408 | |
| | 3,747 | | | Kite Pharma, Inc.* | | | 307,554 | |
| | 19,054 | | | MiMedx Group, Inc.* | | | 241,795 | |
| | 60,027 | | | Momenta Pharmaceuticals, Inc.* | | | 861,388 | |
| | 12,778 | | | Myriad Genetics, Inc.* | | | 234,987 | |
| | 187,239 | | | PDL BioPharma, Inc. | | | 421,288 | |
| | 13,914 | | | Portola Pharmaceuticals, Inc.* | | | 556,421 | |
| | 20,615 | | | Progenics Pharmaceuticals, Inc.* | | | 163,271 | |
| | 14,575 | | | Repligen Corp.* | | | 536,214 | |
| | 15,646 | | | Retrophin, Inc.* | | | 306,505 | |
| | 1,685 | | | TESARO, Inc.* | | | 248,689 | |
| | 11,413 | | | Ultragenyx Pharmaceutical, Inc.* | | | 734,883 | |
| | 24,310 | | | Vanda Pharmaceuticals, Inc.* | | | 370,728 | |
| | 3,082 | | | Versartis, Inc.* | | | 56,709 | |
| | 24,362 | | | Xencor, Inc.* | | | 625,373 | |
| | | | | | | | |
| | | | | | | 17,066,341 | |
| | |
| Building Products – 1.4% | | | |
| | 4,545 | | | Armstrong Flooring, Inc.* | | | 87,219 | |
| | 30,432 | | | Builders FirstSource, Inc.* | | | 487,216 | |
| | 50,718 | | | Continental Building Products, Inc.* | | | 1,234,983 | |
| | 3,179 | | | Gibraltar Industries, Inc.* | | | 124,776 | |
| | 2,657 | | | Masonite International Corp.* | | | 221,062 | |
| | 1,364 | | | Patrick Industries, Inc.* | | | 96,912 | |
| | 2,244 | | | Quanex Building Products Corp. | | | 45,778 | |
| | 11,173 | | | Simpson Manufacturing Co., Inc. | | | 466,026 | |
| | 10,609 | | | Universal Forest Products, Inc. | | | 1,010,932 | |
| | | | | | | | |
| | | | | | | 3,774,904 | |
| | |
| Capital Markets – 2.2% | | | |
| | 26,791 | | | Evercore Partners, Inc. Class A(a) | | | 1,975,836 | |
| | 8,554 | | | GAMCO Investors, Inc. Class A | | | 245,500 | |
| | 49,445 | | | Greenhill & Co., Inc. | | | 1,250,959 | |
| | 48,294 | | | KCG Holdings, Inc. Class A* | | | 961,051 | |
| | 25,582 | | | Moelis & Co. Class A | | | 938,859 | |
| | 12,107 | | | Piper Jaffray Cos. | | | 757,898 | |
| | | | | | | | |
| | | | | | | 6,130,103 | |
| | |
| Chemicals – 2.9% | | | |
| | 1,602 | | | A. Schulman, Inc. | | | 50,703 | |
| | 2,231 | | | Chase Corp. | | | 228,677 | |
| | 30,268 | | | Ferro Corp.* | | | 542,403 | |
| | 31,471 | | | Innophos Holdings, Inc. | | | 1,508,720 | |
| | 11,097 | | | Koppers Holdings, Inc.* | | | 471,068 | |
| | 22,370 | | | Minerals Technologies, Inc. | | | 1,760,519 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 41 |
GOLDMAN SACHS SMALL CAP EQUITY INSIGHTS FUND
Schedule of Investments (continued)
April 30, 2017 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – (continued) | |
| Chemicals – (continued) | | | |
| | 2,088 | | | Olin Corp. | | $ | 67,087 | |
| | 7,360 | | | Stepan Co. | | | 624,128 | |
| | 41,266 | | | The Chemours Co. | | | 1,662,607 | |
| | 13,955 | | | Trinseo SA | | | 926,612 | |
| | | | | | | | |
| | | | | | | 7,842,524 | |
| | |
| Commercial Services & Supplies – 3.1% | | | |
| | 15,801 | | | ACCO Brands Corp.* | | | 225,164 | |
| | 44,694 | | | Brady Corp. Class A | | | 1,740,831 | |
| | 4,401 | | | CECO Environmental Corp. | | | 49,687 | |
| | 3,555 | | | Ennis, Inc. | | | 62,568 | |
| | 8,426 | | | Essendant, Inc. | | | 140,714 | |
| | 6,860 | | | Herman Miller, Inc. | | | 227,066 | |
| | 6,857 | | | HNI Corp. | | | 320,633 | |
| | 9,411 | | | Interface, Inc. | | | 187,279 | |
| | 66,203 | | | Kimball International, Inc. Class B | | | 1,176,427 | |
| | 15,130 | | | Matthews International Corp. Class A | | | 1,037,162 | |
| | 43,678 | | | McGrath RentCorp | | | 1,520,431 | |
| | 8,147 | | | MSA Safety, Inc. | | | 634,244 | |
| | 34,992 | | | Quad Graphics, Inc. | | | 918,890 | |
| | 6,792 | | | Steelcase, Inc. Class A | | | 115,804 | |
| | 9,518 | | | West Corp. | | | 254,036 | |
| | | | | | | | |
| | | | | | | 8,610,936 | |
| | |
| Communications Equipment – 1.4% | | | |
| | 13,256 | | | Ciena Corp.* | | | 303,695 | |
| | 24,324 | | | Extreme Networks, Inc.* | | | 190,092 | |
| | 40,453 | | | Finisar Corp.* | | | 923,946 | |
| | 20,212 | | | InterDigital, Inc. | | | 1,817,059 | |
| | 17,760 | | | NetScout Systems, Inc.* | | | 668,664 | |
| | | | | | | | |
| | | | | | | 3,903,456 | |
| | |
| Construction & Engineering – 1.5% | | | |
| | 5,852 | | | Aegion Corp.* | | | 133,543 | |
| | 22,481 | | | Argan, Inc. | | | 1,502,855 | |
| | 29,375 | | | EMCOR Group, Inc. | | | 1,931,112 | |
| | 3,101 | | | MasTec, Inc.* | | | 136,909 | |
| | 6,225 | | | MYR Group, Inc.* | | | 263,069 | |
| | 2,846 | | | Tutor Perini Corp.* | | | 87,799 | |
| | | | | | | | |
| | | | | | | 4,055,287 | |
| | |
| Consumer Finance* – 0.5% | | | |
| | 31,233 | | | Enova International, Inc. | | | 443,509 | |
| | 33,227 | | | EZCORP, Inc. Class A | | | 300,705 | |
| | 2,916 | | | Regional Management Corp. | | | 57,824 | |
| | 8,557 | | | World Acceptance Corp. | | | 452,665 | |
| | | | | | | | |
| | | | | | | 1,254,703 | |
| | |
| Containers & Packaging – 0.3% | | | |
| | 14,098 | | | Greif, Inc. Class A | | | 826,425 | |
| | |
| Diversified Consumer Services – 1.4% | |
| | 23,209 | | | Bridgepoint Education, Inc.* | | | 283,150 | |
| | 16,958 | | | Capella Education Co. | | | 1,616,097 | |
| | 54,411 | | | K12, Inc.* | | | 1,025,647 | |
| | 82,320 | | | Regis Corp.* | | | 898,111 | |
| | 2,991 | | | Sotheby’s* | | | 141,654 | |
| | | | | | | | |
| | | | | | | 3,964,659 | |
| | |
| Common Stocks – (continued) | |
| Diversified Telecommunication Services – 0.4% | | | |
| | 20,626 | | | Cogent Communications Holdings, Inc. | | | 928,170 | |
| | 6,774 | | | IDT Corp. Class B | | | 102,897 | |
| | | | | | | | |
| | | | | | | 1,031,067 | |
| | |
| Electric Utilities – 0.3% | | | |
| | 18,100 | | | Portland General Electric Co. | | | 820,654 | |
| | |
| Electrical Equipment – 0.6% | |
| | 10,554 | | | EnerSys | | | 877,143 | |
| | 22,222 | | | General Cable Corp. | | | 399,996 | |
| | 34,160 | | | LSI Industries, Inc. | | | 309,831 | |
| | 1,655 | | | Powell Industries, Inc. | | | 57,081 | |
| | | | | | | | |
| | | | | | | 1,644,051 | |
| | |
| Electronic Equipment, Instruments & Components – 5.1% | |
| | 56,525 | | | AVX Corp. | | | 955,838 | |
| | 3,899 | | | Belden, Inc. | | | 271,760 | |
| | 53,821 | | | Benchmark Electronics, Inc.* | | | 1,706,126 | |
| | 6,496 | | | Daktronics, Inc. | | | 61,452 | |
| | 8,691 | | | Itron, Inc.* | | | 563,611 | |
| | 32,001 | | | Kimball Electronics, Inc.* | | | 552,017 | |
| | 8,876 | | | Methode Electronics, Inc. | | | 395,426 | |
| | 1,880 | | | Novanta, Inc.* | | | 52,734 | |
| | 28,757 | | | Plexus Corp.* | | | 1,495,077 | |
| | 20,230 | | | Rogers Corp.* | | | 2,082,476 | |
| | 40,561 | | | Sanmina Corp.* | | | 1,510,897 | |
| | 10,481 | | | Tech Data Corp.* | | | 1,002,508 | |
| | 111,107 | | | TTM Technologies, Inc.* | | | 1,858,820 | |
| | 99,071 | | | Vishay Intertechnology, Inc. | | | 1,619,811 | |
| | | | | | | | |
| | | | | | | 14,128,553 | |
| | |
| Energy Equipment & Services – 1.5% | | | |
| | 34,846 | | | Archrock, Inc. | | | 411,183 | |
| | 5,625 | | | Exterran Corp.* | | | 153,956 | |
| | 77,133 | | | Fairmount Santrol Holdings, Inc.*(b) | | | 398,007 | |
| | 241,576 | | | McDermott International, Inc.* | | | 1,579,907 | |
| | 7,099 | | | Oil States International, Inc.* | | | 211,195 | |
| | 73,524 | | | Pioneer Energy Services Corp.* | | | 224,248 | |
| | 22,635 | | | Unit Corp.* | | | 486,426 | |
| | 13,570 | | | US Silica Holdings, Inc. | | | 563,155 | |
| | | | | | | | |
| | | | | | | 4,028,077 | |
| | |
| Equity Real Estate Investment Trusts (REITs) – 7.3% | | | |
| | 4,398 | | | Ashford Hospitality Prime, Inc. | | | 46,575 | |
| | 55,709 | | | Ashford Hospitality Trust, Inc. | | | 348,181 | |
| | 17,369 | | | Cedar Realty Trust, Inc. | | | 93,445 | |
| | 19,867 | | | Chatham Lodging Trust | | | 384,625 | |
| | 12,540 | | | CoreSite Realty Corp. | | | 1,227,039 | |
| | 150,020 | | | DiamondRock Hospitality Co. | | | 1,651,720 | |
| | 30,030 | | | DuPont Fabros Technology, Inc. | | | 1,548,047 | |
| | 35,625 | | | FelCor Lodging Trust, Inc. | | | 276,094 | |
| | 67,303 | | | First Industrial Realty Trust, Inc. | | | 1,893,907 | |
| | 30,884 | | | First Potomac Realty Trust | | | 339,724 | |
| | 29,089 | | | Hersha Hospitality Trust | | | 536,401 | |
| | 6,492 | | | Hudson Pacific Properties, Inc. | | | 223,065 | |
| | 8,163 | | | Investors Real Estate Trust | | | 48,243 | |
| | 61,631 | | | iStar, Inc.* | | | 753,747 | |
| | |
| | |
| 42 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL CAP EQUITY INSIGHTS FUND
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – (continued) | |
| Equity Real Estate Investment Trusts (REITs) – (continued) | |
| | 8,304 | | | LaSalle Hotel Properties | | $ | 237,162 | |
| | 36,739 | | | New Senior Investment Group, Inc. | | | 382,820 | |
| | 14,648 | | | PS Business Parks, Inc. | | | 1,780,318 | |
| | 33,860 | | | QTS Realty Trust, Inc. Class A | | | 1,809,479 | |
| | 60,721 | | | RAIT Financial Trust | | | 186,414 | |
| | 36,682 | | | Rexford Industrial Realty, Inc. | | | 914,849 | |
| | 79,596 | | | RLJ Lodging Trust | | | 1,710,518 | |
| | 54,232 | | | Summit Hotel Properties, Inc. | | | 896,455 | |
| | 101,036 | | | Sunstone Hotel Investors, Inc. | | | 1,504,426 | |
| | 4,343 | | | Tier REIT, Inc. | | | 75,177 | |
| | 71,558 | | | Xenia Hotels & Resorts, Inc. | | | 1,249,403 | |
| | | | | | | | |
| | | | | | | 20,117,834 | |
| | |
| Food Products – 0.8% | | | |
| | 20,552 | | | Dean Foods Co. | | | 405,696 | |
| | 14,848 | | | Fresh Del Monte Produce, Inc. | | | 910,182 | |
| | 4,251 | | | John B. Sanfilippo & Son, Inc. | | | 312,449 | |
| | 2,799 | | | Lancaster Colony Corp. | | | 352,394 | |
| | 4,404 | | | Omega Protein Corp. | | | 88,741 | |
| | | | | | | | |
| | | | | | | 2,069,462 | |
| | |
| Gas Utilities – 0.7% | | | |
| | 23,802 | | | Southwest Gas Holdings, Inc. | | | 1,993,655 | |
| | |
| Health Care Equipment & Supplies – 2.7% | | | |
| | 74,445 | | | AngioDynamics, Inc.* | | | 1,155,386 | |
| | 1,093 | | | Atrion Corp. | | | 565,190 | |
| | 8,033 | | | Cantel Medical Corp. | | | 597,736 | |
| | 13,564 | | | Halyard Health, Inc.* | | | 535,778 | |
| | 5,043 | | | Integra LifeSciences Holdings Corp.* | | | 231,827 | |
| | 22,721 | | | Masimo Corp.* | | | 2,334,356 | |
| | 7,338 | | | NuVasive, Inc.* | | | 532,078 | |
| | 15,563 | | | Orthofix International NV* | | | 615,517 | |
| | 32,372 | | | Wright Medical Group NV* | | | 983,785 | |
| | | | | | | | |
| | | | | | | 7,551,653 | |
| | |
| Health Care Providers & Services – 1.6% | | | |
| | 24,269 | | | HealthSouth Corp. | | | 1,138,216 | |
| | 16,978 | | | Molina Healthcare, Inc.* | | | 845,335 | |
| | 48,907 | | | Owens & Minor, Inc. | | | 1,694,627 | |
| | 34,136 | | | Triple-S Management Corp. Class B* | | | 617,862 | |
| | | | | | | | |
| | | | | | | 4,296,040 | |
| | |
| Health Care Technology* – 0.6% | | | |
| | 33,459 | | | HMS Holdings Corp. | | | 684,906 | |
| | 9,809 | | | Medidata Solutions, Inc. | | | 641,803 | |
| | 23,952 | | | Quality Systems, Inc. | | | 341,555 | |
| | | | | | | | |
| | | | | | | 1,668,264 | |
| | |
| Hotels, Restaurants & Leisure – 3.1% | | | |
| | 34,239 | | | Belmond Ltd. Class A* | | | 424,564 | |
| | 8,829 | | | Bloomin’ Brands, Inc. | | | 191,501 | |
| | 11,472 | | | Buffalo Wild Wings, Inc.* | | | 1,807,414 | |
| | 41,204 | | | International Speedway Corp. Class A | | | 1,528,668 | |
| | 19,182 | | | La Quinta Holdings, Inc.* | | | 270,658 | |
| | 10,328 | | | Marriott Vacations Worldwide Corp. | | | 1,137,939 | |
| | 88,860 | | | Penn National Gaming, Inc.* | | | 1,642,133 | |
| | |
| Common Stocks – (continued) | |
| Hotels, Restaurants & Leisure – (continued) | | | |
| | 25,224 | | | Red Rock Resorts, Inc. Class A | | | 589,737 | |
| | 25,386 | | | SeaWorld Entertainment, Inc. | | | 445,016 | |
| | 7,205 | | | The Cheesecake Factory, Inc. | | | 462,273 | |
| | | | | | | | |
| | | | | | | 8,499,903 | |
| | |
| Household Durables – 1.3% | | | |
| | 59,192 | | | Beazer Homes USA, Inc.* | | | 734,573 | |
| | 17,071 | | | Installed Building Products, Inc.* | | | 910,738 | |
| | 13,365 | | | Libbey, Inc. | | | 140,333 | |
| | 9,311 | | | MDC Holdings, Inc. | | | 288,734 | |
| | 66,114 | | | Taylor Morrison Home Corp. Class A* | | | 1,527,233 | |
| | 1,653 | | | TopBuild Corp.* | | | 84,617 | |
| | | | | | | | |
| | | | | | | 3,686,228 | |
| | |
| Household Products* – 0.4% | | | |
| | 35,034 | | | Central Garden & Pet Co. Class A | | | 1,234,248 | |
| | |
| Independent Power and Renewable Electricity Producers – 1.0% | |
| | 74,964 | | | Atlantica Yield PLC | | | 1,562,250 | |
| | 22,225 | | | Ormat Technologies, Inc. | | | 1,312,608 | |
| | | | | | | | |
| | | | | | | 2,874,858 | |
| | |
| Insurance – 2.9% | | | |
| | 75,878 | | | American Equity Investment Life Holding Co. | | | 1,799,826 | |
| | 25,952 | | | Argo Group International Holdings Ltd. | | | 1,711,534 | |
| | 80,341 | | | CNO Financial Group, Inc. | | | 1,692,785 | |
| | 9,349 | | | FBL Financial Group, Inc. Class A | | | 621,708 | |
| | 102,851 | | | Genworth Financial, Inc. Class A* | | | 415,518 | |
| | 1,953 | | | James River Group Holdings Ltd. | | | 85,073 | |
| | 89,833 | | | Maiden Holdings Ltd. | | | 1,109,438 | |
| | 10,883 | | | Stewart Information Services Corp. | | | 516,290 | |
| | | | | | | | |
| | | | | | | 7,952,172 | |
| | |
| Internet & Direct Marketing Retail* – 0.9% | | | |
| | 23,519 | | | Etsy, Inc. | | | 253,064 | |
| | 38,023 | | | FTD Cos., Inc. | | | 760,460 | |
| | 55,121 | | | Liberty TripAdvisor Holdings, Inc. Class A | | | 810,279 | |
| | 10,020 | | | Shutterfly, Inc. | | | 520,038 | |
| | | | | | | | |
| | | | | | | 2,343,841 | |
| | |
| Internet Software & Services – 2.7% | | | |
| | 51,564 | | | Blucora, Inc.* | | | 951,356 | |
| | 5,524 | | | Box, Inc. Class A* | | | 95,234 | |
| | 39,484 | | | Cornerstone OnDemand, Inc.* | | | 1,550,931 | |
| | 22,320 | | | Five9, Inc.* | | | 407,228 | |
| | 2,794 | | | GrubHub, Inc.* | | | 120,086 | |
| | 3,582 | | | j2 Global, Inc. | | | 323,240 | |
| | 5,795 | | | LivePerson, Inc.* | | | 40,855 | |
| | 21,698 | | | LogMeIn, Inc.(a) | | | 2,451,874 | |
| | 3,920 | | | New Relic, Inc.* | | | 156,722 | |
| | 60,166 | | | NIC, Inc. | | | 1,284,544 | |
| | 2,695 | | | XO Group, Inc.* | | | 47,297 | |
| | | | | | | | |
| | | | | | | 7,429,367 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 43 |
GOLDMAN SACHS SMALL CAP EQUITY INSIGHTS FUND
Schedule of Investments (continued)
April 30, 2017 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – (continued) | |
| IT Services – 1.7% | | | |
| | 9,310 | | | Acxiom Corp.* | | $ | 269,059 | |
| | 18,963 | | | Cardtronics PLC Class A* | | | 788,482 | |
| | 66,598 | | | Convergys Corp. | | | 1,499,121 | |
| | 55,607 | | | EVERTEC, Inc. | | | 881,371 | |
| | 91,307 | | | Travelport Worldwide Ltd. | | | 1,202,513 | |
| | | | | | | | |
| | | | | | | 4,640,546 | |
| | |
| Leisure Products – 0.2% | | | |
| | 34,796 | | | Callaway Golf Co. | | | 412,333 | |
| | 15,264 | | | MCBC Holdings, Inc. | | | 255,672 | |
| | | | | | | | |
| | | | | | | 668,005 | |
| | |
| Life Sciences Tools & Services* – 0.1% | | | |
| | 2,165 | | | Cambrex Corp. | | | 128,493 | |
| | 5,752 | | | Enzo Biochem, Inc. | | | 50,617 | |
| | | | | | | | |
| | | | | | | 179,110 | |
| | |
| Machinery – 1.6% | | | |
| | 15,621 | | | Astec Industries, Inc. | | | 989,590 | |
| | 2,498 | | | Chart Industries, Inc.* | | | 91,202 | |
| | 2,670 | | | Columbus McKinnon Corp. | | | 69,767 | |
| | 11,183 | | | Harsco Corp.* | | | 145,938 | |
| | 5,121 | | | Kennametal, Inc. | | | 212,931 | |
| | 8,127 | | | Miller Industries, Inc. | | | 206,426 | |
| | 47,361 | | | Wabash National Corp. | | | 1,078,884 | |
| | 22,141 | | | Woodward, Inc. | | | 1,498,282 | |
| | | | | | | | |
| | | | | | | 4,293,020 | |
| | |
| Marine – 0.0% | | | |
| | 13,067 | | | Costamare, Inc. | | | 88,072 | |
| | |
| Media* – 0.0% | | | |
| | 3,408 | | | tronc, Inc. | | | 48,871 | |
| | |
| Metals & Mining – 1.6% | | | |
| | 1,886 | | | Carpenter Technology Corp. | | | 76,571 | |
| | 77,007 | | | Cliffs Natural Resources, Inc.* | | | 517,487 | |
| | 29,170 | | | Commercial Metals Co. | | | 543,729 | |
| | 13,222 | | | Materion Corp. | | | 503,097 | |
| | 49,369 | | | Schnitzer Steel Industries, Inc. Class A | | | 933,074 | |
| | 81,152 | | | SunCoke Energy, Inc.* | | | 744,164 | |
| | 23,458 | | | Worthington Industries, Inc. | | | 1,020,423 | |
| | | | | | | | |
| | | | | | | 4,338,545 | |
| | |
| Mortgage Real Estate Investment Trusts (REITs) – 1.8% | | | |
| | 14,328 | | | AG Mortgage Investment Trust, Inc. | | | 271,516 | |
| | 179,116 | | | Anworth Mortgage Asset Corp. | | | 1,049,620 | |
| | 110,022 | | | Invesco Mortgage Capital, Inc. | | | 1,794,459 | |
| | 15,669 | | | Ladder Capital Corp. | | | 229,237 | |
| | 93,754 | | | MTGE Investment Corp. | | | 1,687,572 | |
| | | | | | | | |
| | | | | | | 5,032,404 | |
| | |
| Oil, Gas & Consumable Fuels – 1.7% | | | |
| | 11,256 | | | CVR Energy, Inc. | | | 246,394 | |
| | 66,427 | | | Delek US Holdings, Inc. | | | 1,598,898 | |
| | 230,199 | | | Denbury Resources, Inc.* | | | 511,042 | |
| | 4,692 | | | Dorian LPG Ltd.* | | | 42,650 | |
| | |
| Common Stocks – (continued) | |
| Oil, Gas & Consumable Fuels – (continued) | | | |
| | 49,722 | | | EP Energy Corp. Class A*(b) | | | 224,744 | |
| | 6,496 | | | GasLog Ltd.(b) | | | 90,944 | |
| | 39,756 | | | Golar LNG Ltd.(b) | | | 1,014,176 | |
| | 12,461 | | | Green Plains, Inc. | | | 286,603 | |
| | 17,497 | | | Oasis Petroleum, Inc.* | | | 208,914 | |
| | 93,288 | | | Scorpio Tankers, Inc. | | | 410,467 | |
| | 21,468 | | | Teekay Tankers Ltd. Class A | | | 44,009 | |
| | | | | | | | |
| | | | | | | 4,678,841 | |
| | |
| Paper & Forest Products – 1.2% | | | |
| | 22,855 | | | KapStone Paper & Packaging Corp. | | | 482,012 | |
| | 74,460 | | | Louisiana-Pacific Corp.* | | | 1,916,600 | |
| | 5,570 | | | Neenah Paper, Inc. | | | 436,410 | |
| | 7,924 | | | Schweitzer-Mauduit International, Inc. | | | 341,128 | |
| | | | | | | | |
| | | | | | | 3,176,150 | |
| | |
| Personal Products – 0.2% | | | |
| | 3,500 | | | Medifast, Inc. | | | 162,120 | |
| | 4,860 | | | USANA Health Sciences, Inc.* | | | 276,291 | |
| | | | | | | | |
| | | | | | | 438,411 | |
| | |
| Pharmaceuticals* – 1.0% | | | |
| | 44,499 | | | Catalent, Inc. | | | 1,302,931 | |
| | 30,953 | | | Innoviva, Inc. | | | 364,781 | |
| | 6,527 | | | Pacira Pharmaceuticals, Inc. | | | 316,886 | |
| | 10,072 | | | Prestige Brands Holdings, Inc. | | | 578,233 | |
| | 17,737 | | | SciClone Pharmaceuticals, Inc. | | | 171,162 | |
| | | | | | | | |
| | | | | | | 2,733,993 | |
| | |
| Professional Services – 1.7% | | | |
| | 7,311 | | | Acacia Research Corp.* | | | 39,845 | |
| | 8,685 | | | Barrett Business Services, Inc. | | | 500,777 | |
| | 12,107 | | | CBIZ, Inc.* | | | 190,685 | |
| | 2,382 | | | CRA International, Inc. | | | 90,373 | |
| | 16,877 | | | FTI Consulting, Inc.* | | | 583,776 | |
| | 30,294 | | | Navigant Consulting, Inc.* | | | 726,147 | |
| | 4,299 | | | On Assignment, Inc.* | | | 222,559 | |
| | 37,888 | | | RPX Corp.* | | | 486,482 | |
| | 14,308 | | | TriNet Group, Inc.* | | | 420,655 | |
| | 5,046 | | | TrueBlue, Inc.* | | | 138,008 | |
| | 18,280 | | | WageWorks, Inc.* | | | 1,349,064 | |
| | | | | | | | |
| | | | | | | 4,748,371 | |
| | |
| Real Estate Management & Development – 0.3% | | | |
| | 1,466 | | | Alexander & Baldwin, Inc. | | | 67,451 | |
| | 32,444 | | | Kennedy-Wilson Holdings, Inc. | | | 661,857 | |
| | | | | | | | |
| | | | | | | 729,308 | |
| | |
| Road & Rail – 0.2% | | | |
| | 12,585 | | | Heartland Express, Inc. | | | 253,210 | |
| | 16,729 | | | Marten Transport Ltd. | | | 414,879 | |
| | | | | | | | |
| | | | | | | 668,089 | |
| | |
| Semiconductors & Semiconductor Equipment – 4.2% | | | |
| | 23,826 | | | Advanced Micro Devices, Inc.* | | | 316,886 | |
| | 68,732 | | | Amkor Technology, Inc.* | | | 809,663 | |
| | |
| | |
| 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) | |
| Semiconductors & Semiconductor Equipment – (continued) | |
| | 20,881 | | | Brooks Automation, Inc. | | $ | 527,454 | |
| | 21,037 | | | Cabot Microelectronics Corp. | | | 1,648,249 | |
| | 22,983 | | | Cirrus Logic, Inc.* | | | 1,478,956 | |
| | 39,753 | | | Diodes, Inc.* | | | 929,823 | |
| | 88,683 | | | Entegris, Inc.* | | | 2,199,338 | |
| | 3,034 | | | MKS Instruments, Inc. | | | 237,411 | |
| | 2,910 | | | Nanometrics, Inc.* | | | 91,825 | |
| | 129,981 | | | Photronics, Inc.* | | | 1,494,781 | |
| | 22,030 | | | Semtech Corp.* | | | 752,324 | |
| | 12,338 | | | Silicon Laboratories, Inc.* | | | 877,849 | |
| | 6,546 | | | Ultra Clean Holdings, Inc.* | | | 125,945 | |
| | | | | | | | |
| | | | | | | 11,490,504 | |
| | |
| Software – 2.8% | | | |
| | 4,727 | | | American Software, Inc. Class A | | | 51,855 | |
| | 33,749 | | | Aspen Technology, Inc.* | | | 2,075,226 | |
| | 1,257 | | | Blackbaud, Inc. | | | 101,075 | |
| | 13,515 | | | CommVault Systems, Inc.* | | | 681,832 | |
| | 7,711 | | | HubSpot, Inc.* | | | 517,022 | |
| | 2,445 | | | MicroStrategy, Inc. Class A* | | | 464,966 | |
| | 53,540 | | | Progress Software Corp. | | | 1,591,209 | |
| | 7,654 | | | Synchronoss Technologies, Inc.* | | | 122,464 | |
| | 34,480 | | | Take-Two Interactive Software, Inc.* | | | 2,167,068 | |
| | 10,160 | | | The Rubicon Project, Inc.* | | | 58,014 | |
| | | | | | | | |
| | | | | | | 7,830,731 | |
| | |
| Specialty Retail – 4.2% | | | |
| | 61,944 | | | Aaron’s, Inc. | | | 2,226,267 | |
| | 19,826 | | | Asbury Automotive Group, Inc.* | | | 1,213,351 | |
| | 122,504 | | | Chico’s FAS, Inc. | | | 1,693,005 | |
| | 10,568 | | | Francesca’s Holdings Corp.* | | | 166,763 | |
| | 21,167 | | | Group 1 Automotive, Inc. | | | 1,459,465 | |
| | 1,401 | | | Lithia Motors, Inc. Class A | | | 133,866 | |
| | 30,701 | | | Pier 1 Imports, Inc. | | | 206,925 | |
| | 51,842 | | | Rent-A-Center, Inc.(a)(b) | | | 554,191 | |
| | 51,122 | | | Select Comfort Corp.* | | | 1,579,670 | |
| | 3,354 | | | Shoe Carnival, Inc. | | | 85,091 | |
| | 37,477 | | | The Cato Corp. Class A | | | 845,481 | |
| | 91,778 | | | The Finish Line, Inc. Class A | | | 1,451,010 | |
| | | | | | | | |
| | | | | | | 11,615,085 | |
| | |
| Textiles, Apparel & Luxury Goods – 1.0% | | | |
| | 4,929 | | | Deckers Outdoor Corp.* | | | 293,719 | |
| | 47,610 | | | Fossil Group, Inc.* | | | 821,273 | |
| | 22,400 | | | Steven Madden Ltd.* | | | 852,320 | |
| | 30,166 | | | Wolverine World Wide, Inc. | | | 727,302 | |
| | | | | | | | |
| | | | | | | 2,694,614 | |
| | |
| Thrifts & Mortgage Finance – 1.5% | | | |
| | 61,749 | | | Beneficial Bancorp, Inc. | | | 987,984 | |
| | 48,625 | | | Dime Community Bancshares, Inc. | | | 945,756 | |
| | 742 | | | Federal Agricultural Mortgage Corp. Class C | | | 42,331 | |
| | 34,793 | | | Meridian Bancorp, Inc. | | | 610,617 | |
| | 6,791 | | | Radian Group, Inc.(a) | | | 114,632 | |
| | |
| Common Stocks – (continued) | |
| Thrifts & Mortgage Finance – (continued) | | | |
| | 34,447 | | | Walker & Dunlop, Inc.* | | | 1,544,948 | |
| | | | | | | | |
| | | | | | | 4,246,268 | |
| | |
| Trading Companies & Distributors – 2.0% | | | |
| | 42,014 | | | Aircastle Ltd. | | | 992,371 | |
| | 7,282 | | | Applied Industrial Technologies, Inc. | | | 466,048 | |
| | 50,037 | | | BMC Stock Holdings, Inc.* | | | 1,165,862 | |
| | 43,906 | | | H&E Equipment Services, Inc. | | | 927,295 | |
| | 2,337 | | | Neff Corp.* | | | 41,131 | |
| | 47,033 | | | Rush Enterprises, Inc. Class A* | | | 1,775,496 | |
| | 2,381 | | | Titan Machinery, Inc.* | | | 37,739 | |
| | 2,544 | | | Veritiv Corp.* | | | 131,397 | |
| | | | | | | | |
| | | | | | | 5,537,339 | |
| | |
| Water Utilities – 0.1% | | | |
| | 2,991 | | | SJW Group | | | 146,080 | |
| | |
| Wireless Telecommunication Services – 0.2% | | | |
| | 5,056 | | | Boingo Wireless, Inc.* | | | 72,250 | |
| | 22,931 | | | Spok Holdings, Inc. | | | 411,612 | |
| | | | | | | | |
| | | | | | | 483,862 | |
| | |
| | TOTAL COMMON STOCKS | |
| | (Cost $247,349,391) | | $ | 267,033,608 | |
| | |
| | | | | | | | |
| Shares | | | Distribution
Rate | | Value | |
| Investment Company(c)(d) – 0.6% | |
| Goldman Sachs Financial Square Government Fund –
Institutional Shares |
|
| | 1,761,506 | | | 0.656% | | $ | 1,761,506 | |
| | (Cost $1,761,506) | | | | |
| | |
| TOTAL INVESTMENTS BEFORE SECURITIES
LENDING REINVESTMENT VEHICLE |
|
| | (Cost $249,110,897) | | $ | 268,795,114 | |
| | |
| | | | | | | | |
| Securities Lending Reinvestment Vehicle(c)(d) – 1.0% | |
| Goldman Sachs Financial Square Government Fund –
Institutional Shares |
|
| | 2,685,876 | | | 0.656% | | | 2,685,876 | |
| | (Cost $2,685,876) | | | | |
| | |
| | TOTAL INVESTMENTS – 98.8% | |
| | (Cost $251,796,773) | | $ | 271,480,990 | |
| | |
| OTHER ASSETS IN EXCESS OF
LIABILITIES –1.2% | | | 3,372,352 | |
| | |
| | NET ASSETS – 100.0% | | $ | 274,853,342 | |
| | |
| | |
| 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, 2017 (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) | | 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) | | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on April 30, 2017. |
(d) | | Represents an Affiliated fund. |
| | |
|
Investment Abbreviations: |
PLC | | —Public Limited Company |
REIT | | —Real Estate Investment Trust |
|
|
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At April 30, 2017, the Fund had the following futures contracts:
| | | | | | | | | | | | |
| Type | | Number of
Contracts
Long (Short) | | Expiration
Date | | Current
Value | | | Unrealized
Gain (Loss) | |
Russell 2000 Mini Index | | 72 | | June 2017 | | $ | 5,034,240 | | | $ | 149 | |
| | |
| 46 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL CAP GROWTH INSIGHTS FUND
Schedule of Investments
April 30, 2017 (Unaudited)
| | | | | | | | |
| Shares | | | Description | |
Value | |
| Common Stocks – 97.1% | | | |
| Aerospace & Defense – 1.0% | | | |
| | 33,328 | | | Curtiss-Wright Corp. | | $ | 3,114,835 | |
| | 5,782 | | | Esterline Technologies Corp.* | | | 528,764 | |
| | 12,993 | | | Wesco Aircraft Holdings, Inc.* | | | 157,865 | |
| | | | | | | | |
| | | | | | | 3,801,464 | |
| | |
| Air Freight & Logistics – 0.1% | | | |
| | 4,768 | | | Forward Air Corp. | | | 253,515 | |
| | |
| Airlines* – 0.8% | | | |
| | 55,609 | | | Hawaiian Holdings, Inc. | | | 3,019,569 | |
| | |
| Auto Components – 2.4% | | | |
| | 30,631 | | | American Axle & Manufacturing Holdings, Inc.* | | | 538,799 | |
| | 4,511 | | | Cooper Tire & Rubber Co. | | | 172,771 | |
| | 22,323 | | | Cooper-Standard Holdings, Inc.* | | | 2,524,062 | |
| | 29,243 | | | Dana, Inc. | | | 567,899 | |
| | 20,212 | | | LCI Industries | | | 2,044,444 | |
| | 7,127 | | | Superior Industries International, Inc. | | | 155,012 | |
| | 51,695 | | | Tenneco, Inc. | | | 3,258,336 | |
| | | | | | | | |
| | | | | | | 9,261,323 | |
| | |
| Banks – 0.9% | | | |
| | 21,884 | | | F.N.B. Corp. | | | 311,628 | |
| | 10,770 | | | First Commonwealth Financial Corp. | | | 139,041 | |
| | 9,269 | | | Home BancShares, Inc. | | | 235,896 | |
| | 21,419 | | | OFG Bancorp | | | 250,602 | |
| | 19,845 | | | UMB Financial Corp. | | | 1,438,564 | |
| | 41,318 | | | United Community Banks, Inc. | | | 1,130,048 | |
| | | | | | | | |
| | | | | | | 3,505,779 | |
| | |
| Beverages* – 0.3% | | | |
| | 6,934 | | | The Boston Beer Co., Inc. Class A | | | 1,000,923 | |
| | |
| Biotechnology – 9.6% | | | |
| | 16,295 | | | Acorda Therapeutics, Inc.* | | | 263,164 | |
| | 15,199 | | | Akebia Therapeutics, Inc.* | | | 200,323 | |
| | 81,877 | | | AMAG Pharmaceuticals, Inc.* | | | 1,997,799 | |
| | 100,310 | | | Array BioPharma, Inc.* | | | 869,688 | |
| | 10,805 | | | BioSpecifics Technologies Corp.* | | | 612,968 | |
| | 27,983 | | | Blueprint Medicines Corp.* | | | 1,303,448 | |
| | 18,756 | | | Clovis Oncology, Inc.* | | | 1,085,785 | |
| | 28,574 | | | Cytokinetics, Inc.* | | | 468,613 | |
| | 29,876 | | | Dyax Corp. | | | 45,262 | |
| | 56,894 | | | Exact Sciences Corp.*(a) | | | 1,707,389 | |
| | 142,465 | | | Exelixis, Inc.* | | | 3,191,216 | |
| | 88,147 | | | FibroGen, Inc.* | | | 2,468,116 | |
| | 8,788 | | | Five Prime Therapeutics, Inc.* | | | 306,350 | |
| | 63,016 | | | Genomic Health, Inc.* | | | 2,070,706 | |
| | 7,856 | | | Global Blood Therapeutics, Inc.* | | | 227,431 | |
| | 68,520 | | | Halozyme Therapeutics, Inc.*(a)(b) | | | 955,169 | |
| | 109,227 | | | Ironwood Pharmaceuticals, Inc.* | | | 1,782,584 | |
| | 18,987 | | | Kite Pharma, Inc.*(a) | | | 1,558,453 | |
| | 2,976 | | | Loxo Oncology, Inc.* | | | 137,074 | |
| | 17,424 | | | MacroGenics, Inc.* | | | 376,532 | |
| | 73,414 | | | MiMedx Group, Inc.*(a) | | | 931,624 | |
| | 109,948 | | | Momenta Pharmaceuticals, Inc.* | | | 1,577,754 | |
| | |
| Common Stocks – (continued) | | | |
| Biotechnology – (continued) | | | |
| | 57,174 | | | Myriad Genetics, Inc.* | | | 1,051,430 | |
| | 49,400 | | | Portola Pharmaceuticals, Inc.* | | | 1,975,506 | |
| | 60,828 | | | Progenics Pharmaceuticals, Inc.* | | | 481,758 | |
| | 10,505 | | | Prothena Corp. PLC*(a) | | | 568,636 | |
| | 2,543 | | | Radius Health, Inc.* | | | 99,355 | |
| | 34,408 | | | Repligen Corp.* | | | 1,265,870 | |
| | 12,519 | | | Retrophin, Inc.* | | | 245,247 | |
| | 3,380 | | | Sage Therapeutics, Inc.* | | | 239,980 | |
| | 9,121 | | | Sarepta Therapeutics, Inc.* | | | 330,727 | |
| | 2,471 | | | Spark Therapeutics, Inc.* | | | 143,244 | |
| | 10,230 | | | TESARO, Inc.* | | | 1,509,846 | |
| | 26,964 | | | Ultragenyx Pharmaceutical, Inc.* | | | 1,736,212 | |
| | 48,660 | | | Vanda Pharmaceuticals, Inc.* | | | 742,065 | |
| | 12,528 | | | Versartis, Inc.* | | | 230,515 | |
| | 59,982 | | | Xencor, Inc.* | | | 1,539,738 | |
| | | | | | | | |
| | | | | | | 36,297,577 | |
| | |
| Building Products – 2.4% | | | |
| | 65,199 | | | Builders FirstSource, Inc.* | | | 1,043,836 | |
| | 87,765 | | | Continental Building Products, Inc.* | | | 2,137,078 | |
| | 16,174 | | | Gibraltar Industries, Inc.* | | | 634,829 | |
| | 23,654 | | | Masonite International Corp.* | | | 1,968,013 | |
| | 1,331 | | | Patrick Industries, Inc.* | | | 94,568 | |
| | 3,904 | | | Quanex Building Products Corp. | | | 79,642 | |
| | 32,069 | | | Simpson Manufacturing Co., Inc. | | | 1,337,598 | |
| | 8,254 | | | Trex Co., Inc.* | | | 604,110 | |
| | 14,398 | | | Universal Forest Products, Inc. | | | 1,371,985 | |
| | | | | | | | |
| | | | | | | 9,271,659 | |
| | |
| Capital Markets – 1.8% | | | |
| | 8,249 | | | BGC Partners, Inc. Class A | | | 93,874 | |
| | 37,452 | | | Evercore Partners, Inc. Class A | | | 2,762,085 | |
| | 71,874 | | | Greenhill & Co., Inc. | | | 1,818,412 | |
| | 1,785 | | | Houlihan Lokey, Inc. | | | 59,869 | |
| | 16,470 | | | KCG Holdings, Inc. Class A* | | | 327,753 | |
| | 52,877 | | | Moelis & Co. Class A | | | 1,940,586 | |
| | | | | | | | |
| | | | | | | 7,002,579 | |
| | |
| Chemicals – 4.0% | | | |
| | 1,631 | | | Balchem Corp. | | | 132,372 | |
| | 5,948 | | | Chase Corp. | | | 609,670 | |
| | 82,476 | | | Ferro Corp.* | | | 1,477,970 | |
| | 36,826 | | | GCP Applied Technologies, Inc.* | | | 1,211,575 | |
| | 46,164 | | | Innophos Holdings, Inc. | | | 2,213,102 | |
| | 25,873 | | | Koppers Holdings, Inc.* | | | 1,098,309 | |
| | 25,264 | | | Minerals Technologies, Inc. | | | 1,988,277 | |
| | 9,246 | | | Rayonier Advanced Materials, Inc. | | | 122,510 | |
| | 7,352 | | | Sensient Technologies Corp. | | | 601,394 | |
| | 5,649 | | | Stepan Co. | | | 479,035 | |
| | 86,683 | | | The Chemours Co. | | | 3,492,458 | |
| | 25,268 | | | Trinseo SA | | | 1,677,795 | |
| | | | | | | | |
| | | | | | | 15,104,467 | |
| | |
| Commercial Services & Supplies – 3.8% | | | |
| | 62,436 | | | Brady Corp. Class A | | | 2,431,882 | |
| | 41,896 | | | Herman Miller, Inc. | | | 1,386,758 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 47 |
GOLDMAN SACHS SMALL CAP GROWTH INSIGHTS FUND
Schedule of Investments (continued)
April 30, 2017 (Unaudited)
| | | | | | | | |
| Shares | | | Description | |
Value | |
| Common Stocks – (continued) | | | |
| Commercial Services & Supplies – (continued) | | | |
| | 25,166 | | | HNI Corp. | | $ | 1,176,762 | |
| | 34,126 | | | Interface, Inc. | | | 679,107 | |
| | 94,052 | | | Kimball International, Inc. Class B | | | 1,671,304 | |
| | 8,609 | | | Knoll, Inc. | | | 206,272 | |
| | 36,339 | | | Matthews International Corp. Class A | | | 2,491,039 | |
| | 25,058 | | | McGrath RentCorp | | | 872,269 | |
| | 11,214 | | | MSA Safety, Inc. | | | 873,010 | |
| | 44,201 | | | Quad Graphics, Inc. | | | 1,160,718 | |
| | 14,022 | | | Steelcase, Inc. Class A | | | 239,075 | |
| | 8,915 | | | The Brink’s Co. | | | 547,381 | |
| | 26,291 | | | West Corp. | | | 701,707 | |
| | | | | | | | |
| | | | | | | 14,437,284 | |
| | |
| Communications Equipment – 1.4% | | | |
| | 51,627 | | | Ciena Corp.* | | | 1,182,775 | |
| | 98,417 | | | Extreme Networks, Inc.* | | | 769,129 | |
| | 8,911 | | | Finisar Corp.* | | | 203,527 | |
| | 34,999 | | | InterDigital, Inc. | | | 3,146,410 | |
| | 2,326 | | | NetScout Systems, Inc.* | | | 87,574 | |
| | 11,197 | | | Oclaro, Inc.* | | | 89,688 | |
| | | | | | | | |
| | | | | | | 5,479,103 | |
| | |
| Construction & Engineering – 1.5% | | | |
| | 33,864 | | | Argan, Inc. | | | 2,263,809 | |
| | 32,737 | | | EMCOR Group, Inc. | | | 2,152,130 | |
| | 25,053 | | | MasTec, Inc.* | | | 1,106,090 | |
| | 7,674 | | | Tutor Perini Corp.* | | | 236,743 | |
| | | | | | | | |
| | | | | | | 5,758,772 | |
| | |
| Consumer Finance* – 0.1% | | | |
| | 13,984 | | | Enova International, Inc. | | | 198,573 | |
| | 7,323 | | | Regional Management Corp. | | | 145,215 | |
| | 1,164 | | | World Acceptance Corp. | | | 61,575 | |
| | | | | | | | |
| | | | | | | 405,363 | |
| | |
| Diversified Consumer Services – 1.3% | | | |
| | 9,928 | | | Bright Horizons Family Solutions, Inc.* | | | 755,719 | |
| | 23,891 | | | Capella Education Co. | | | 2,276,812 | |
| | 20,098 | | | K12, Inc.* | | | 378,847 | |
| | 39,217 | | | Regis Corp.* | | | 427,858 | |
| | 19,416 | | | Sotheby’s* | | | 919,542 | |
| | 12,678 | | | Weight Watchers International, Inc.*(a) | | | 264,717 | |
| | | | | | | | |
| | | | | | | 5,023,495 | |
| | |
| Diversified Telecommunication Services – 0.5% | | | |
| | 43,036 | | | Cogent Communications Holdings, Inc. | | | 1,936,620 | |
| | 9,619 | | | IDT Corp. Class B | | | 146,113 | |
| | | | | | | | |
| | | | | | | 2,082,733 | |
| | |
| Electrical Equipment – 0.5% | | | |
| | 9,321 | | | EnerSys | | | 774,668 | |
| | 8,376 | | | Generac Holdings, Inc.* | | | 294,584 | |
| | 55,542 | | | General Cable Corp. | | | 999,756 | |
| | | | | | | | |
| | | | | | | 2,069,008 | |
| | |
| Common Stocks – (continued) | | | |
| Electronic Equipment, Instruments & Components – 3.8% | |
| | 27,944 | | | Belden, Inc. | | | 1,947,697 | |
| | 59,095 | | | Benchmark Electronics, Inc.* | | | 1,873,312 | |
| | 1,781 | | | Coherent, Inc.* | | | 383,984 | |
| | 1,279 | | | ePlus, Inc.* | | | 91,129 | |
| | 20,944 | | | Itron, Inc.* | | | 1,358,218 | |
| | 22,066 | | | Methode Electronics, Inc. | | | 983,040 | |
| | 5,408 | | | Novanta, Inc.* | | | 151,694 | |
| | 16,088 | | | Plexus Corp.* | | | 836,415 | |
| | 21,223 | | | Rogers Corp.* | | | 2,184,696 | |
| | 21,683 | | | Sanmina Corp.* | | | 807,692 | |
| | 11,519 | | | Tech Data Corp.* | | | 1,101,792 | |
| | 112,511 | | | TTM Technologies, Inc.* | | | 1,882,309 | |
| | 46,147 | | | Vishay Intertechnology, Inc. | | | 754,503 | |
| | | | | | | | |
| | | | | | | 14,356,481 | |
| | |
| Energy Equipment & Services – 0.9% | | | |
| | 57,908 | | | Fairmount Santrol Holdings, Inc.* | | | 298,806 | |
| | 225,967 | | | McDermott International, Inc.* | | | 1,477,824 | |
| | 6,882 | | | Unit Corp.* | | | 147,894 | |
| | 37,288 | | | US Silica Holdings, Inc. | | | 1,547,452 | |
| | | | | | | | |
| | | | | | | 3,471,976 | |
| | |
| Equity Real Estate Investment Trusts (REITs) – 5.3% | | | |
| | 5,754 | | | Chesapeake Lodging Trust | | | 134,126 | |
| | 16,406 | | | CoreSite Realty Corp. | | | 1,605,327 | |
| | 170,532 | | | DiamondRock Hospitality Co. | | | 1,877,557 | |
| | 57,781 | | | DuPont Fabros Technology, Inc. | | | 2,978,611 | |
| | 82,130 | | | FelCor Lodging Trust, Inc. | | | 636,507 | |
| | 70,857 | | | First Industrial Realty Trust, Inc. | | | 1,993,916 | |
| | 7,291 | | | First Potomac Realty Trust | | | 80,201 | |
| | 40,480 | | | Hersha Hospitality Trust | | | 746,451 | |
| | 93,730 | | | iStar, Inc.* | | | 1,146,318 | |
| | 4,661 | | | National Storage Affiliates Trust | | | 114,194 | |
| | 22,142 | | | PS Business Parks, Inc. | | | 2,691,139 | |
| | 54,523 | | | QTS Realty Trust, Inc. Class A | | | 2,913,709 | |
| | 61,947 | | | Rexford Industrial Realty, Inc. | | | 1,544,958 | |
| | 68,310 | | | RLJ Lodging Trust | | | 1,467,982 | |
| | 983 | | | Ryman Hospitality Properties, Inc. | | | 62,696 | |
| | | | | | | | |
| | | | | | | 19,993,692 | |
| | |
| Food Products – 0.8% | | | |
| | 27,763 | | | Dean Foods Co. | | | 548,041 | |
| | 20,629 | | | Fresh Del Monte Produce, Inc. | | | 1,264,558 | |
| | 4,580 | | | John B. Sanfilippo & Son, Inc. | | | 336,630 | |
| | 6,483 | | | Lancaster Colony Corp. | | | 816,210 | |
| | | | | | | | |
| | | | | | | 2,965,439 | |
| | |
| Gas Utilities – 0.5% | | | |
| | 23,355 | | | Southwest Gas Holdings, Inc. | | | 1,956,215 | |
| | |
| Health Care Equipment & Supplies – 3.3% | | | |
| | 61,337 | | | AngioDynamics, Inc.* | | | 951,950 | |
| | 293 | | | Atrion Corp. | | | 151,510 | |
| | 18,731 | | | Cantel Medical Corp. | | | 1,393,774 | |
| | 18,725 | | | Cardiovascular Systems, Inc.* | | | 559,316 | |
| | 3,595 | | | Halyard Health, Inc.* | | | 142,002 | |
| | 7,282 | | | Inogen, Inc.* | | | 603,605 | |
| | |
| | |
| 48 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL CAP GROWTH INSIGHTS FUND
| | | | | | | | |
| Shares | | | Description | |
Value | |
| Common Stocks – (continued) | | | |
| Health Care Equipment & Supplies – (continued) | | | |
| | 42,866 | | | Integra LifeSciences Holdings Corp.* | | $ | 1,970,550 | |
| | 35,109 | | | Masimo Corp.* | | | 3,607,099 | |
| | 26,743 | | | NuVasive, Inc.* | | | 1,939,135 | |
| | 25,976 | | | Orthofix International NV* | | | 1,027,351 | |
| | 10,408 | | | Wright Medical Group NV* | | | 316,299 | |
| | | | | | | | |
| | | | | | | 12,662,591 | |
| | |
| Health Care Providers & Services – 2.1% | | | |
| | 2,458 | | | Amedisys, Inc.* | | | 133,224 | |
| | 4,060 | | | BioTelemetry, Inc.* | | | 133,574 | |
| | 2,539 | | | CorVel Corp.* | | | 112,985 | |
| | 6,560 | | | HealthEquity, Inc.* | | | 298,611 | |
| | 66,358 | | | HealthSouth Corp. | | | 3,112,190 | |
| | 1,327 | | | Magellan Health, Inc.* | | | 91,298 | |
| | 35,128 | | | Molina Healthcare, Inc.* | | | 1,749,023 | |
| | 54,543 | | | Owens & Minor, Inc. | | | 1,889,915 | |
| | 3,626 | | | The Providence Service Corp.* | | | 159,544 | |
| | 19,047 | | | Triple-S Management Corp. Class B* | | | 344,751 | |
| | | | | | | | |
| | | | | | | 8,025,115 | |
| | |
| Health Care Technology* – 0.9% | | | |
| | 52,115 | | | HMS Holdings Corp. | | | 1,066,794 | |
| | 19,443 | | | Medidata Solutions, Inc. | | | 1,272,156 | |
| | 70,635 | | | Quality Systems, Inc. | | | 1,007,255 | |
| | | | | | | | |
| | | | | | | 3,346,205 | |
| | |
| Hotels, Restaurants & Leisure – 4.4% | | | |
| | 33,313 | | | Bloomin’ Brands, Inc. | | | 722,559 | |
| | 17,826 | | | Buffalo Wild Wings, Inc.* | | | 2,808,486 | |
| | 26,363 | | | ClubCorp Holdings, Inc. | | | 354,582 | |
| | 4,578 | | | Eldorado Resorts, Inc.* | | | 87,554 | |
| | 44,485 | | | International Speedway Corp. Class A | | | 1,650,394 | |
| | 78,452 | | | La Quinta Holdings, Inc.* | | | 1,106,958 | |
| | 14,968 | | | Marriott Vacations Worldwide Corp. | | | 1,649,174 | |
| | 3,570 | | | Papa John’s International, Inc. | | | 282,244 | |
| | 98,381 | | | Penn National Gaming, Inc.* | | | 1,818,081 | |
| | 50,475 | | | Red Rock Resorts, Inc. Class A | | | 1,180,106 | |
| | 5,899 | | | Ruth’s Hospitality Group, Inc. | | | 117,390 | |
| | 23,224 | | | Scientific Games Corp. Class A* | | | 551,570 | |
| | 64,456 | | | SeaWorld Entertainment, Inc. | | | 1,129,914 | |
| | 16,104 | | | Texas Roadhouse, Inc. | | | 754,956 | |
| | 36,278 | | | The Cheesecake Factory, Inc. | | | 2,327,596 | |
| | | | | | | | |
| | | | | | | 16,541,564 | |
| | |
| Household Durables – 1.8% | | | |
| | 76,302 | | | Beazer Homes USA, Inc.* | | | 946,908 | |
| | 39,478 | | | Installed Building Products, Inc.* | | | 2,106,151 | |
| | 10,033 | | | M/I Homes, Inc.* | | | 272,496 | |
| | 32,088 | | | MDC Holdings, Inc. | | | 995,049 | |
| | 99,038 | | | Taylor Morrison Home Corp. Class A* | | | 2,287,778 | |
| | 5,796 | | | TopBuild Corp.* | | | 296,697 | |
| | | | | | | | |
| | | | | | | 6,905,079 | |
| | |
| Household Products* – 0.5% | | | |
| | 50,234 | | | Central Garden & Pet Co. Class A | | | 1,769,744 | |
| | |
| Common Stocks – (continued) | | | |
| Independent Power and Renewable Electricity Producers – 0.7% | |
| | 77,201 | | | Atlantica Yield PLC | | | 1,608,869 | |
| | 18,181 | | | Ormat Technologies, Inc. | | | 1,073,770 | |
| | | | | | | | |
| | | | | | | 2,682,639 | |
| | |
| Insurance – 0.9% | | | |
| | 45,258 | | | American Equity Investment Life Holding Co. | | | 1,073,520 | |
| | 17,647 | | | Argo Group International Holdings Ltd.(b) | | | 1,163,819 | |
| | 5,590 | | | CNO Financial Group, Inc. | | | 117,781 | |
| | 93,819 | | | Maiden Holdings Ltd. | | | 1,158,665 | |
| | | | | | | | |
| | | | | | | 3,513,785 | |
| | |
| Internet & Direct Marketing Retail – 1.0% | | | |
| | 72,656 | | | Etsy, Inc.* | | | 781,778 | |
| | 8,203 | | | FTD Cos., Inc.* | | | 164,060 | |
| | 13,992 | | | HSN, Inc. | | | 516,305 | |
| | 70,890 | | | Liberty TripAdvisor Holdings, Inc. Class A* | | | 1,042,083 | |
| | 7,977 | | | Nutrisystem, Inc. | | | 426,371 | |
| | 20,292 | | | Shutterfly, Inc.* | | | 1,053,155 | |
| | | | | | | | |
| | | | | | | 3,983,752 | |
| | |
| Internet Software & Services – 4.5% | | | |
| | 84,431 | | | Blucora, Inc.* | | | 1,557,752 | |
| | 32,402 | | | Box, Inc. Class A* | | | 558,611 | |
| | 69,843 | | | Cornerstone OnDemand, Inc.* | | | 2,743,433 | |
| | 4,835 | | | Envestnet, Inc.* | | | 168,258 | |
| | 74,594 | | | Five9, Inc.* | | | 1,360,968 | |
| | 20,476 | | | GrubHub, Inc.* | | | 880,059 | |
| | 25,442 | | | j2 Global, Inc. | | | 2,295,886 | |
| | 11,409 | | | Liquidity Services, Inc.* | | | 88,990 | |
| | 36,493 | | | LogMeIn, Inc. | | | 4,123,709 | |
| | 10,857 | | | MINDBODY, Inc. Class A* | | | 307,796 | |
| | 12,927 | | | New Relic, Inc.* | | | 516,821 | |
| | 96,886 | | | NIC, Inc. | | | 2,068,516 | |
| | 1,866 | | | Stamps.com, Inc.* | | | 198,076 | |
| | 6,239 | | | XO Group, Inc.* | | | 109,494 | |
| | | | | | | | |
| | | | | | | 16,978,369 | |
| | |
| IT Services – 2.5% | | | |
| | 19,720 | | | Acxiom Corp.* | | | 569,908 | |
| | 38,674 | | | Cardtronics PLC Class A* | | | 1,608,065 | |
| | 85,107 | | | Convergys Corp. | | | 1,915,759 | |
| | 28,652 | | | CSG Systems International, Inc. | | | 1,074,736 | |
| | 104,087 | | | EVERTEC, Inc. | | | 1,649,779 | |
| | 4,374 | | | Forrester Research, Inc. | | | 177,366 | |
| | 14,056 | | | Perficient, Inc.* | | | 244,855 | |
| | 4,328 | | | The Hackett Group, Inc. | | | 85,824 | |
| | 156,292 | | | Travelport Worldwide Ltd. | | | 2,058,366 | |
| | | | | | | | |
| | | | | | | 9,384,658 | |
| | |
| Leisure Products – 0.5% | | | |
| | 104,654 | | | Callaway Golf Co. | | | 1,240,150 | |
| | 44,001 | | | MCBC Holdings, Inc. | | | 737,017 | |
| | | | | | | | |
| | | | | | | 1,977,167 | |
| | |
| | |
| 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, 2017 (Unaudited)
| | | | | | | | |
| Shares | | | Description | |
Value | |
| Common Stocks – (continued) | | | |
| Life Sciences Tools & Services – 1.0% | | | |
| | 14,063 | | | Cambrex Corp.* | | $ | 834,639 | |
| | 25,457 | | | Enzo Biochem, Inc.* | | | 224,022 | |
| | 5,522 | | | Luminex Corp. | | | 103,979 | |
| | 26,774 | | | PAREXEL International Corp.* | | | 1,708,984 | |
| | 13,378 | | | PRA Health Sciences, Inc.* | | | 855,657 | |
| | | | | | | | |
| | | | | | | 3,727,281 | |
| | |
| Machinery – 1.7% | | | |
| | 3,386 | | | Alamo Group, Inc. | | | 267,697 | |
| | 24,153 | | | Astec Industries, Inc. | | | 1,530,093 | |
| | 2,965 | | | Lydall, Inc.* | | | 155,366 | |
| | 38,104 | | | Mueller Water Products, Inc. Class A | | | 428,670 | |
| | 58,787 | | | Wabash National Corp.(a) | | | 1,339,168 | |
| | 7,090 | | | Watts Water Technologies, Inc. Class A | | | 440,998 | |
| | 31,662 | | | Woodward, Inc. | | | 2,142,567 | |
| | | | | | | | |
| | | | | | | 6,304,559 | |
| | |
| Media – 0.1% | | | |
| | 8,192 | | | Sinclair Broadcast Group, Inc. Class A | | | 323,174 | |
| | |
| Metals & Mining – 0.9% | | | |
| | 20,699 | | | Cliffs Natural Resources, Inc.* | | | 139,097 | |
| | 41,223 | | | Coeur Mining, Inc.* | | | 373,480 | |
| | 3,189 | | | Commercial Metals Co. | | | 59,443 | |
| | 9,297 | | | Schnitzer Steel Industries, Inc. Class A | | | 175,713 | |
| | 66,567 | | | SunCoke Energy, Inc.* | | | 610,420 | |
| | 47,487 | | | Worthington Industries, Inc. | | | 2,065,685 | |
| | | | | | | | |
| | | | | | | 3,423,838 | |
| | |
| Mortgage Real Estate Investment Trusts (REITs) – 0.8% | | | |
| | 62,513 | | | Anworth Mortgage Asset Corp. | | | 366,326 | |
| | 100,996 | | | Invesco Mortgage Capital, Inc. | | | 1,647,245 | |
| | 54,875 | | | MTGE Investment Corp. | | | 987,750 | |
| | | | | | | | |
| | | | | | | 3,001,321 | |
| | |
| Multiline Retail – 0.3% | | | |
| | 20,199 | | | Big Lots, Inc. | | | 1,019,847 | |
| | |
| Oil, Gas & Consumable Fuels – 0.6% | | | |
| | 5,972 | | | CVR Energy, Inc. | | | 130,727 | |
| | 47,154 | | | Delek US Holdings, Inc. | | | 1,134,997 | |
| | 90,025 | | | Denbury Resources, Inc.* | | | 199,856 | |
| | 25,483 | | | Golar LNG Ltd.(a) | | | 650,071 | |
| | | | | | | | |
| | | | | | | 2,115,651 | |
| | |
| Paper & Forest Products – 1.5% | | | |
| | 29,876 | | | KapStone Paper & Packaging Corp. | | | 630,085 | |
| | 127,449 | | | Louisiana-Pacific Corp.* | | | 3,280,537 | |
| | 19,903 | | | Neenah Paper, Inc. | | | 1,559,400 | |
| | 6,882 | | | Schweitzer-Mauduit International, Inc. | | | 296,270 | |
| | | | | | | | |
| | | | | | | 5,766,292 | |
| | |
| Personal Products – 0.3% | | | |
| | 8,612 | | | Medifast, Inc. | | | 398,908 | |
| | 11,109 | | | USANA Health Sciences, Inc.* | | | 631,546 | |
| | | | | | | | |
| | | | | | | 1,030,454 | |
| | |
| Common Stocks – (continued) | | | |
| Pharmaceuticals* – 2.5% | | | |
| | 83,341 | | | Catalent, Inc. | | | 2,440,224 | |
| | 18,181 | | | Corcept Therapeutics, Inc. | | | 173,447 | |
| | 30,188 | | | Depomed, Inc. | | | 361,954 | |
| | 68,537 | | | Horizon Pharma PLC | | | 1,054,099 | |
| | 87,516 | | | Innoviva, Inc. | | | 1,031,376 | |
| | 22,340 | | | Nektar Therapeutics | | | 423,790 | |
| | 26,624 | | | Pacira Pharmaceuticals, Inc. | | | 1,292,595 | |
| | 33,944 | | | Prestige Brands Holdings, Inc. | | | 1,948,725 | |
| | 27,383 | | | SciClone Pharmaceuticals, Inc. | | | 264,246 | |
| | 18,005 | | | Supernus Pharmaceuticals, Inc. | | | 586,963 | |
| | | | | | | | |
| | | | | | | 9,577,419 | |
| | |
| Professional Services – 2.0% | | | |
| | 11,730 | | | Barrett Business Services, Inc. | | | 676,352 | |
| | 23,984 | | | FTI Consulting, Inc.* | | | 829,606 | |
| | 16,743 | | | Huron Consulting Group, Inc.* | | | 745,063 | |
| | 22,390 | | | On Assignment, Inc.* | | | 1,159,130 | |
| | 15,427 | | | RPX Corp.* | | | 198,083 | |
| | 37,709 | | | TriNet Group, Inc.* | | | 1,108,645 | |
| | 17,641 | | | TrueBlue, Inc.* | | | 482,481 | |
| | 30,292 | | | WageWorks, Inc.* | | | 2,235,550 | |
| | | | | | | | |
| | | | | | | 7,434,910 | |
| | |
| Real Estate Management & Development – 0.2% | | | |
| | 46,383 | | | Kennedy-Wilson Holdings, Inc. | | | 946,213 | |
| | |
| Road & Rail – 0.2% | | | |
| | 32,675 | | | Heartland Express, Inc. | | | 657,421 | |
| | 3,459 | | | Marten Transport Ltd. | | | 85,783 | |
| | | | | | | | |
| | | | | | | 743,204 | |
| | |
| Semiconductors & Semiconductor Equipment – 5.3% | | | |
| | 16,240 | | | Advanced Energy Industries, Inc.* | | | 1,198,512 | |
| | 50,422 | | | Advanced Micro Devices, Inc.* | | | 670,613 | |
| | 130,629 | | | Amkor Technology, Inc.* | | | 1,538,810 | |
| | 25,529 | | | Cabot Microelectronics Corp. | | | 2,000,197 | |
| | 52,772 | | | Cirrus Logic, Inc.* | | | 3,395,878 | |
| | 30,136 | | | Diodes, Inc.* | | | 704,881 | |
| | 113,022 | | | Entegris, Inc.* | | | 2,802,945 | |
| | 36,074 | | | Lattice Semiconductor Corp.* | | | 247,468 | |
| | 5,404 | | | Microsemi Corp.* | | | 253,664 | |
| | 6,666 | | | MKS Instruments, Inc. | | | 521,614 | |
| | 2,609 | | | Nanometrics, Inc.* | | | 82,327 | |
| | 101,443 | | | Photronics, Inc.* | | | 1,166,594 | |
| | 13,120 | | | Power Integrations, Inc. | | | 865,264 | |
| | 57,093 | | | Semtech Corp.* | | | 1,949,726 | |
| | 37,232 | | | Silicon Laboratories, Inc.* | | | 2,649,057 | |
| | | | | | | | |
| | | | | | | 20,047,550 | |
| | |
| Software – 5.2% | | | |
| | 28,754 | | | American Software, Inc. Class A | | | 315,431 | |
| | 62,535 | | | Aspen Technology, Inc.*(b) | | | 3,845,277 | |
| | 19,725 | | | Barracuda Networks, Inc.* | | | 401,009 | |
| | 21,588 | | | Blackbaud, Inc. | | | 1,735,891 | |
| | 11,668 | | | Bottomline Technologies de, Inc.* | | | 271,864 | |
| | 25,970 | | | CommVault Systems, Inc.* | | | 1,310,187 | |
| | 6,450 | | | Fair Isaac Corp. | | | 873,846 | |
| | |
| | |
| 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) | | | |
| Software – (continued) | | | |
| | 28,234 | | | HubSpot, Inc.* | | $ | 1,893,090 | |
| | 4,672 | | | MicroStrategy, Inc. Class A* | | | 888,474 | |
| | 67,037 | | | Progress Software Corp. | | | 1,992,340 | |
| | 11,232 | | | Proofpoint, Inc.*(a) | | | 846,556 | |
| | 10,291 | | | RingCentral, Inc. Class A* | | | 328,798 | |
| | 20,257 | | | Synchronoss Technologies, Inc.* | | | 324,112 | |
| | 69,691 | | | Take-Two Interactive Software, Inc.*(b) | | | 4,380,079 | |
| | 51,941 | | | The Rubicon Project, Inc.* | | | 296,583 | |
| | 25,887 | | | Zix Corp.* | | | 140,566 | |
| | | | | | | | |
| | | | | | | 19,844,103 | |
| | |
| Specialty Retail – 4.0% | | | |
| | 57,230 | | | Aaron’s, Inc. | | | 2,056,846 | |
| | 18,037 | | | American Eagle Outfitters, Inc. | | | 254,141 | |
| | 34,873 | | | Asbury Automotive Group, Inc.* | | | 2,134,228 | |
| | 130,686 | | | Chico’s FAS, Inc. | | | 1,806,081 | |
| | 29,541 | | | Francesca’s Holdings Corp.* | | | 466,157 | |
| | 26,431 | | | Group 1 Automotive, Inc. | | | 1,822,417 | |
| | 11,514 | | | Lithia Motors, Inc. Class A | | | 1,100,163 | |
| | 69,117 | | | Pier 1 Imports, Inc. | | | 465,849 | |
| | 66,519 | | | Select Comfort Corp.* | | | 2,055,437 | |
| | 45,690 | | | The Cato Corp. Class A | | | 1,030,766 | |
| | 120,436 | | | The Finish Line, Inc. Class A | | | 1,904,093 | |
| | | | | | | | |
| | | | | | | 15,096,178 | |
| | |
| Textiles, Apparel & Luxury Goods – 1.2% | | | |
| | 31,423 | | | Crocs, Inc.* | | | 195,765 | |
| | 7,545 | | | Deckers Outdoor Corp.* | | | 449,606 | |
| | 46,489 | | | Fossil Group, Inc.* | | | 801,935 | |
| | 49,435 | | | Steven Madden Ltd.* | | | 1,881,002 | |
| | 46,160 | | | Wolverine World Wide, Inc. | | | 1,112,918 | |
| | | | | | | | |
| | | | | | | 4,441,226 | |
| | |
| Thrifts & Mortgage Finance – 0.8% | | | |
| | 68,233 | | | Meridian Bancorp, Inc. | | | 1,197,489 | |
| | 41,698 | | | Walker & Dunlop, Inc.* | | | 1,870,155 | |
| | | | | | | | |
| | | | | | | 3,067,644 | |
| | |
| Trading Companies & Distributors – 1.7% | | | |
| | 15,942 | | | Applied Industrial Technologies, Inc. | | | 1,020,288 | |
| | 93,150 | | | BMC Stock Holdings, Inc.* | | | 2,170,395 | |
| | 56,060 | | | H&E Equipment Services, Inc. | | | 1,183,987 | |
| | 47,459 | | | Rush Enterprises, Inc. Class A* | | | 1,791,577 | |
| | 4,459 | | | Veritiv Corp.* | | | 230,308 | |
| | | | | | | | |
| | | | | | | 6,396,555 | |
| | |
| Common Stocks – (continued) | | | |
| Wireless Telecommunication Services* – 0.0% | | | |
| | 11,549 | | | Boingo Wireless, Inc. | | | 165,035 | |
| | |
| | TOTAL COMMON STOCKS | | | | |
| | (Cost $331,286,764) | | $ | 368,761,538 | |
| | |
| | | | | | | | |
| Shares | | | Distribution
Rate | | Value | |
| Investment Company(c)(d) – 2.6% | |
| Goldman Sachs Financial Square Government Fund –
Institutional Shares |
|
| | 10,081,286 | | | 0.656% | | $ | 10,081,286 | |
| | (Cost $10,081,286) | | | | |
| | |
| TOTAL INVESTMENTS BEFORE SECURITIES
LENDING REINVESTMENT VEHICLE |
|
| | (Cost $341,368,050) | | $ | 378,842,824 | |
| | |
| | | | | | | | |
| Securities Lending Reinvestment Vehicle(c)(d) – 1.0% | |
| Goldman Sachs Financial Square Government Fund –
Institutional Shares |
|
| | 3,688,055 | | | 0.656% | | | 3,688,055 | |
| | (Cost $3,688,055) | | | | |
| | |
| | TOTAL INVESTMENTS – 100.7% | | | | |
| | (Cost $345,056,105) | | $ | 382,530,879 | |
| | |
| LIABILITIES IN EXCESS OF
OTHER ASSETS – (0.7)% | | | (2,697,992 | ) |
| | |
| | NET ASSETS – 100.0% | | $ | 379,832,887 | |
| | |
| | |
| 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) | | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on April 30, 2017. |
(d) | | Represents an Affiliated fund. |
| | | | |
|
Investment Abbreviations: |
PLC | | —Public Limited Company |
REIT | | —Real Estate Investment Trust | | |
|
|
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At April 30, 2017, the Fund had the following futures contracts:
| | | | | | | | | | | | |
| Type | | Number of
Contracts
Long (Short) | | Expiration
Date | | Current
Value | | | Unrealized
Gain (Loss) | |
Russell 2000 Mini Index | | 97 | | June 2017 | | $ | 6,782,240 | | | $ | (14,957 | ) |
| | |
| The accompanying notes are an integral part of these financial statements. | | 51 |
GOLDMAN SACHS SMALL CAP VALUE INSIGHTS FUND
Schedule of Investments
April 30, 2017 (Unaudited)
| | | | | | | | |
| Shares | | | Description | |
Value | |
| Common Stocks – 97.6% | | | |
| Aerospace & Defense – 1.7% | | | |
| | 13,109 | | | Curtiss-Wright Corp. | | $ | 1,225,167 | |
| | 3,947 | | | Ducommun, Inc.* | | | 116,003 | |
| | 17,249 | | | Esterline Technologies Corp.* | | | 1,577,421 | |
| | 2,383 | | | KLX, Inc.* | | | 112,716 | |
| | 15,195 | | | Wesco Aircraft Holdings, Inc.* | | | 184,619 | |
| | | | | | | | |
| | | | | | | 3,215,926 | |
| | |
| Air Freight & Logistics* – 0.5% | | | |
| | 7,288 | | | Atlas Air Worldwide Holdings, Inc. | | | 422,704 | |
| | 10,505 | | | XPO Logistics, Inc. | | | 518,842 | |
| | | | | | | | |
| | | | | | | 941,546 | |
| | |
| Airlines – 0.7% | | | |
| | 17,823 | | | Hawaiian Holdings, Inc.* | | | 967,789 | |
| | 10,779 | | | SkyWest, Inc. | | | 400,979 | |
| | | | | | | | |
| | | | | | | 1,368,768 | |
| | |
| Auto Components – 2.2% | | | |
| | 18,893 | | | Cooper Tire & Rubber Co. | | | 723,602 | |
| | 9,459 | | | Cooper-Standard Holdings, Inc.* | | | 1,069,529 | |
| | 77,684 | | | Dana, Inc. | | | 1,508,623 | |
| | 29,202 | | | Superior Industries International, Inc. | | | 635,144 | |
| | 3,825 | | | Tenneco, Inc. | | | 241,090 | |
| | 6,991 | | | Tower International, Inc. | | | 189,456 | |
| | | | | | | | |
| | | | | | | 4,367,444 | |
| | |
| Banks – 16.3% | | | |
| | 2,602 | | | Banco Latinoamericano de Comercio Exterior SA Class E | | | 74,625 | |
| | 15,300 | | | Banner Corp. | | | 844,560 | |
| | 4,337 | | | Berkshire Hills Bancorp, Inc. | | | 162,638 | |
| | 37,516 | | | Central Pacific Financial Corp. | | | 1,173,500 | |
| | 50,426 | | | CVB Financial Corp. | | | 1,086,176 | |
| | 27,352 | | | Enterprise Financial Services Corp. | | | 1,155,622 | |
| | 130,265 | | | F.N.B. Corp. | | | 1,854,974 | |
| | 5,917 | | | Farmers Capital Bank Corp. | | | 245,555 | |
| | 25,579 | | | FCB Financial Holdings, Inc. Class A* | | | 1,208,608 | |
| | 11,348 | | | First BanCorp* | | | 66,726 | |
| | 15,182 | | | First Busey Corp. | | | 454,701 | |
| | 4,077 | | | First Citizens BancShares, Inc. Class A | | | 1,419,041 | |
| | 92,416 | | | First Commonwealth Financial Corp. | | | 1,193,091 | |
| | 44,037 | | | First Financial Bancorp | | | 1,217,623 | |
| | 28,518 | | | First Merchants Corp. | | | 1,180,075 | |
| | 5,711 | | | Great Southern Bancorp, Inc. | | | 286,407 | |
| | 36,682 | | | Hancock Holding Co. | | | 1,713,049 | |
| | 40,059 | | | Hanmi Financial Corp. | | | 1,163,714 | |
| | 13,315 | | | Heartland Financial USA, Inc. | | | 639,120 | |
| | 24,476 | | | Hilltop Holdings, Inc. | | | 680,678 | |
| | 14,043 | | | IBERIABANK Corp. | | | 1,114,312 | |
| | 37,101 | | | International Bancshares Corp. | | | 1,387,577 | |
| | 15,965 | | | Lakeland Bancorp, Inc. | | | 310,519 | |
| | 2,582 | | | Lakeland Financial Corp. | | | 117,894 | |
| | 57,321 | | | OFG Bancorp | | | 670,656 | |
| | 8,673 | | | Pacific Premier Bancorp, Inc.* | | | 316,998 | |
| | 3,318 | | | Preferred Bank | | | 175,821 | |
| | 6,257 | | | Prosperity Bancshares, Inc.(a) | | | 420,470 | |
| | |
| Common Stocks – (continued) | | | |
| Banks – (continued) | | | |
| | 28,082 | | | Sandy Spring Bancorp, Inc. | | | 1,214,546 | |
| | 6,520 | | | Sterling Bancorp | | | 151,590 | |
| | 17,110 | | | TriCo Bancshares | | | 606,721 | |
| | 11,141 | | | TriState Capital Holdings, Inc.* | | | 277,411 | |
| | 21,979 | | | UMB Financial Corp. | | | 1,593,258 | |
| | 70,411 | | | Umpqua Holdings Corp. | | | 1,244,162 | |
| | 1,843 | | | Union Bankshares Corp. | | | 63,104 | |
| | 49,757 | | | United Community Banks, Inc. | | | 1,360,854 | |
| | 81,129 | | | Valley National Bancorp | | | 954,077 | |
| | 4,711 | | | WesBanco, Inc. | | | 187,545 | |
| | 24,286 | | | Wintrust Financial Corp. | | | 1,720,906 | |
| | | | | | | | |
| | | | | | | 31,708,904 | |
| | |
| Biotechnology – 2.7% | | | |
| | 35,382 | | | AMAG Pharmaceuticals, Inc.* | | | 863,321 | |
| | 66,929 | | | Array BioPharma, Inc.* | | | 580,274 | |
| | 1,193 | | | BioSpecifics Technologies Corp.* | | | 67,679 | |
| | 3,545 | | | Enanta Pharmaceuticals, Inc.* | | | 112,554 | |
| | 52,298 | | | Exelixis, Inc.* | | | 1,171,475 | |
| | 19,424 | | | FibroGen, Inc.* | | | 543,872 | |
| | 27,168 | | | Genomic Health, Inc.* | | | 892,740 | |
| | 16,780 | | | Momenta Pharmaceuticals, Inc.* | | | 240,793 | |
| | 199,739 | | | PDL BioPharma, Inc. | | | 449,413 | |
| | 4,379 | | | Portola Pharmaceuticals, Inc.* | | | 175,116 | |
| | 11,011 | | | Retrophin, Inc.* | | | 215,706 | |
| | | | | | | | |
| | | | | | | 5,312,943 | |
| | |
| Building Products – 0.2% | | | |
| | 4,529 | | | Continental Building Products, Inc.* | | | 110,281 | |
| | 3,873 | | | Universal Forest Products, Inc. | | | 369,058 | |
| | | | | | | | |
| | | | | | | 479,339 | |
| | |
| Capital Markets – 2.2% | | | |
| | 13,879 | | | Evercore Partners, Inc. Class A | | | 1,023,576 | |
| | 35,839 | | | Greenhill & Co., Inc. | | | 906,727 | |
| | 59,937 | | | KCG Holdings, Inc. Class A* | | | 1,192,746 | |
| | 4,212 | | | Moelis & Co. Class A | | | 154,580 | |
| | 15,451 | | | Piper Jaffray Cos. | | | 967,233 | |
| | | | | | | | |
| | | | | | | 4,244,862 | |
| | |
| Chemicals – 2.4% | | | |
| | 6,860 | | | GCP Applied Technologies, Inc.* | | | 225,694 | |
| | 21,320 | | | Innophos Holdings, Inc. | | | 1,022,081 | |
| | 1,935 | | | Innospec, Inc. | | | 127,710 | |
| | 7,845 | | | Koppers Holdings, Inc.* | | | 333,020 | |
| | 15,229 | | | Minerals Technologies, Inc. | | | 1,198,522 | |
| | 8,392 | | | Olin Corp. | | | 269,635 | |
| | 7,381 | | | Stepan Co. | | | 625,909 | |
| | 19,133 | | | The Chemours Co. | | | 770,869 | |
| | | | | | | | |
| | | | | | | 4,573,440 | |
| | |
| Commercial Services & Supplies – 2.5% | | | |
| | 21,242 | | | ACCO Brands Corp.* | | | 302,698 | |
| | 29,358 | | | Brady Corp. Class A | | | 1,143,494 | |
| | 13,170 | | | CECO Environmental Corp. | | | 148,689 | |
| | 9,539 | | | Ennis, Inc. | | | 167,886 | |
| | |
| | |
| 52 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SMALL CAP VALUE INSIGHTS FUND
| | | | | | | | |
| Shares | | | Description | |
Value | |
| Common Stocks – (continued) | | | |
| Commercial Services & Supplies – (continued) | | | |
| | 4,297 | | | Essendant, Inc. | | $ | 71,760 | |
| | 3,828 | | | Interface, Inc. | | | 76,177 | |
| | 47,710 | | | Kimball International, Inc. Class B | | | 847,807 | |
| | 33,716 | | | McGrath RentCorp | | | 1,173,654 | |
| | 903 | | | MSA Safety, Inc. | | | 70,299 | |
| | 23,018 | | | Quad Graphics, Inc. | | | 604,453 | |
| | 9,372 | | | West Corp. | | | 250,139 | |
| | | | | | | | |
| | | | | | | 4,857,056 | |
| | |
| Communications Equipment – 1.1% | | | |
| | 28,688 | | | Finisar Corp.* | | | 655,234 | |
| | 5,210 | | | InterDigital, Inc. | | | 468,379 | |
| | 26,741 | | | NetScout Systems, Inc.* | | | 1,006,799 | |
| | | | | | | | |
| | | | | | | 2,130,412 | |
| | |
| Construction & Engineering – 1.3% | | | |
| | 6,259 | | | Argan, Inc. | | | 418,414 | |
| | 25,348 | | | EMCOR Group, Inc. | | | 1,666,377 | |
| | 9,706 | | | MYR Group, Inc.* | | | 410,176 | |
| | | | | | | | |
| | | | | | | 2,494,967 | |
| | |
| Consumer Finance – 0.7% | | | |
| | 26,419 | | | Enova International, Inc.* | | | 375,150 | |
| | 11,521 | | | EZCORP, Inc. Class A* | | | 104,265 | |
| | 5,742 | | | Nelnet, Inc. Class A | | | 258,448 | |
| | 4,564 | | | Regional Management Corp.* | | | 90,504 | |
| | 8,206 | | | World Acceptance Corp.* | | | 434,097 | |
| | | | | | | | |
| | | | | | | 1,262,464 | |
| | |
| Containers & Packaging – 0.4% | | | |
| | 13,343 | | | Greif, Inc. Class A | | | 782,167 | |
| | |
| Diversified Consumer Services – 1.6% | | | |
| | 17,747 | | | Bridgepoint Education, Inc.* | | | 216,513 | |
| | 11,245 | | | Capella Education Co. | | | 1,071,648 | |
| | 6,367 | | | DeVry Education Group, Inc. | | | 240,991 | |
| | 37,415 | | | K12, Inc.* | | | 705,273 | |
| | 57,427 | | | Regis Corp.* | | | 626,529 | |
| | 5,031 | | | Sotheby’s* | | | 238,268 | |
| | | | | | | | |
| | | | | | | 3,099,222 | |
| | |
| Electric Utilities – 0.8% | | | |
| | 33,050 | | | Portland General Electric Co. | | | 1,498,487 | |
| | |
| Electrical Equipment – 0.5% | | | |
| | 3,498 | | | EnerSys | | | 290,719 | |
| | 16,072 | | | General Cable Corp. | | | 289,296 | |
| | 20,834 | | | LSI Industries, Inc. | | | 188,964 | |
| | 6,773 | | | Powell Industries, Inc. | | | 233,601 | |
| | | | | | | | |
| | | | | | | 1,002,580 | |
| | |
| Electronic Equipment, Instruments & Components – 5.8% | |
| | 59,912 | | | AVX Corp. | | | 1,013,112 | |
| | 40,294 | | | Benchmark Electronics, Inc.* | | | 1,277,320 | |
| | 10,668 | | | Daktronics, Inc. | | | 100,919 | |
| | 3,821 | | | Insight Enterprises, Inc.* | | | 160,864 | |
| | 28,883 | | | Kimball Electronics, Inc.* | | | 498,232 | |
| | |
| Common Stocks – (continued) | | | |
| Electronic Equipment, Instruments & Components – (continued) | |
| | 3,609 | | | Knowles Corp.* | | | 63,988 | |
| | 2,895 | | | Methode Electronics, Inc. | | | 128,972 | |
| | 22,953 | | | Plexus Corp.* | | | 1,193,327 | |
| | 14,415 | | | Rogers Corp.* | | | 1,483,880 | |
| | 37,605 | | | Sanmina Corp.* | | | 1,400,786 | |
| | 12,253 | | | Tech Data Corp.* | | | 1,171,999 | |
| | 81,645 | | | TTM Technologies, Inc.* | | | 1,365,921 | |
| | 83,698 | | | Vishay Intertechnology, Inc. | | | 1,368,462 | |
| | | | | | | | |
| | | | | | | 11,227,782 | |
| | |
| Energy Equipment & Services – 1.9% | | | |
| | 38,151 | | | Archrock, Inc. | | | 450,182 | |
| | 10,763 | | | Exterran Corp.* | | | 294,583 | |
| | 55,044 | | | Fairmount Santrol Holdings, Inc.*(b) | | | 284,027 | |
| | 8,059 | | | Forum Energy Technologies, Inc.* | | | 136,197 | |
| | 196,932 | | | McDermott International, Inc.* | | | 1,287,935 | |
| | 21,137 | | | Oil States International, Inc.* | | | 628,826 | |
| | 54,459 | | | Pioneer Energy Services Corp.* | | | 166,100 | |
| | 21,938 | | | Unit Corp.* | | | 471,448 | |
| | | | | | | | |
| | | | | | | 3,719,298 | |
| | |
| Equity Real Estate Investment Trusts (REITs) – 9.6% | | | |
| | 88,379 | | | Ashford Hospitality Trust, Inc. | | | 552,369 | |
| | 66,161 | | | Cedar Realty Trust, Inc. | | | 355,946 | |
| | 40,557 | | | Chatham Lodging Trust | | | 785,184 | |
| | 4,671 | | | Chesapeake Lodging Trust | | | 108,881 | |
| | 16,969 | | | Colony Starwood Homes | | | 586,618 | |
| | 127,811 | | | DiamondRock Hospitality Co. | | | 1,407,199 | |
| | 4,040 | | | Education Realty Trust, Inc. | | | 156,631 | |
| | 44,962 | | | FelCor Lodging Trust, Inc. | | | 348,455 | |
| | 53,392 | | | First Industrial Realty Trust, Inc. | | | 1,502,451 | |
| | 91,373 | | | First Potomac Realty Trust | | | 1,005,103 | |
| | 39,824 | | | Hersha Hospitality Trust | | | 734,355 | |
| | 26,171 | | | Hudson Pacific Properties, Inc. | | | 899,236 | |
| | 18,840 | | | InfraREIT, Inc. | | | 359,844 | |
| | 22,181 | | | LaSalle Hotel Properties | | | 633,489 | |
| | 6,249 | | | Lexington Realty Trust | | | 63,552 | |
| | 8,411 | | | National Storage Affiliates Trust | | | 206,069 | |
| | 34,227 | | | New Senior Investment Group, Inc. | | | 356,645 | |
| | 10,840 | | | Pebblebrook Hotel Trust | | | 322,598 | |
| | 4,787 | | | PS Business Parks, Inc. | | | 581,812 | |
| | 19,891 | | | QTS Realty Trust, Inc. Class A | | | 1,062,975 | |
| | 50,682 | | | RAIT Financial Trust | | | 155,594 | |
| | 50,107 | | | Rexford Industrial Realty, Inc. | | | 1,249,669 | |
| | 66,941 | | | RLJ Lodging Trust | | | 1,438,562 | |
| | 6,333 | | | Silver Bay Realty Trust Corp. | | | 135,716 | |
| | 42,339 | | | Summit Hotel Properties, Inc. | | | 699,864 | |
| | 87,246 | | | Sunstone Hotel Investors, Inc. | | | 1,299,093 | |
| | 14,134 | | | Tier REIT, Inc. | | | 244,660 | |
| | 74,892 | | | Xenia Hotels & Resorts, Inc. | | | 1,307,614 | |
| | | | | | | | |
| | | | | | | 18,560,184 | |
| | |
| Food Products – 0.5% | | | |
| | 11,077 | | | Fresh Del Monte Produce, Inc. | | | 679,020 | |
| | 3,738 | | | John B. Sanfilippo & Son, Inc. | | | 274,743 | |
| | | | | | | | |
| | | | | | | 953,763 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 53 |
GOLDMAN SACHS SMALL CAP VALUE INSIGHTS FUND
Schedule of Investments (continued)
April 30, 2017 (Unaudited)
| | | | | | | | |
| Shares | | | Description | |
Value | |
| Common Stocks – (continued) | | | |
| Gas Utilities – 1.1% | | | |
| | 1,570 | | | Northwest Natural Gas Co. | | $ | 93,572 | |
| | 5,463 | | | ONE Gas, Inc. | | | 376,018 | |
| | 20,159 | | | Southwest Gas Holdings, Inc.(a) | | | 1,688,518 | |
| | | | | | | | |
| | | | | | | 2,158,108 | |
| | |
| Health Care Equipment & Supplies* – 1.8% | | | |
| | 50,684 | | | AngioDynamics, Inc. | | | 786,616 | |
| | 14,379 | | | Halyard Health, Inc. | | | 567,970 | |
| | 11,887 | | | Masimo Corp. | | | 1,221,270 | |
| | 27,602 | | | Wright Medical Group NV | | | 838,825 | |
| | | | | | | | |
| | | | | | | 3,414,681 | |
| | |
| Health Care Providers & Services – 0.9% | | | |
| | 3,076 | | | Molina Healthcare, Inc.* | | | 153,154 | |
| | 38,748 | | | Owens & Minor, Inc. | | | 1,342,618 | |
| | 18,579 | | | Triple-S Management Corp. Class B* | | | 336,280 | |
| | | | | | | | |
| | | | | | | 1,832,052 | |
| | |
| Hotels, Restaurants & Leisure – 2.7% | | | |
| | 40,113 | | | Belmond Ltd. Class A* | | | 497,401 | |
| | 6,274 | | | Buffalo Wild Wings, Inc.* | | | 988,469 | |
| | 30,836 | | | International Speedway Corp. Class A | | | 1,144,016 | |
| | 37,358 | | | La Quinta Holdings, Inc.* | | | 527,121 | |
| | 10,326 | | | Marriott Vacations Worldwide Corp. | | | 1,137,719 | |
| | 50,923 | | | Penn National Gaming, Inc.* | | | 941,057 | |
| | | | | | | | |
| | | | | | | 5,235,783 | |
| | |
| Household Durables – 1.3% | | | |
| | 46,153 | | | Beazer Homes USA, Inc.* | | | 572,759 | |
| | 1,837 | | | Installed Building Products, Inc.* | | | 98,004 | |
| | 4,673 | | | M/I Homes, Inc.* | | | 126,919 | |
| | 11,315 | | | MDC Holdings, Inc. | | | 350,878 | |
| | 44,327 | | | Taylor Morrison Home Corp. Class A* | | | 1,023,954 | |
| | 7,502 | | | TopBuild Corp.* | | | 384,027 | |
| | | | | | | | |
| | | | | | | 2,556,541 | |
| | |
| Household Products* – 0.5% | | | |
| | 29,731 | | | Central Garden & Pet Co. Class A | | | 1,047,423 | |
| | |
| Independent Power and Renewable Electricity Producers – 1.4% | |
| | 59,764 | | | Atlantica Yield PLC | | | 1,245,482 | |
| | 20,709 | | | NRG Yield, Inc. Class C | | | 366,549 | |
| | 17,839 | | | Ormat Technologies, Inc. | | | 1,053,571 | |
| | | | | | | | |
| | | | | | | 2,665,602 | |
| | |
| Insurance – 4.8% | | | |
| | 60,646 | | | American Equity Investment Life Holding Co. | | | 1,438,523 | |
| | 20,472 | | | Argo Group International Holdings Ltd. | | | 1,350,128 | |
| | 82,545 | | | CNO Financial Group, Inc. | | | 1,739,223 | |
| | 16,609 | | | FBL Financial Group, Inc. Class A | | | 1,104,499 | |
| | 13,508 | | | Fidelity & Guaranty Life(b) | | | 384,303 | |
| | 126,047 | | | Genworth Financial, Inc. Class A* | | | 509,230 | |
| | 16,660 | | | Heritage Insurance Holdings, Inc. | | | 201,586 | |
| | 9,231 | | | James River Group Holdings Ltd. | | | 402,102 | |
| | |
| Common Stocks – (continued) | | | |
| Insurance – (continued) | | | |
| | 71,549 | | | Maiden Holdings Ltd. | | | 883,630 | |
| | 25,511 | | | Stewart Information Services Corp. | | | 1,210,242 | |
| | | | | | | | |
| | | | | | | 9,223,466 | |
| | |
| Internet & Direct Marketing Retail* – 0.3% | | | |
| | 31,940 | | | FTD Cos., Inc. | | | 638,800 | |
| | |
| Internet Software & Services – 0.8% | | | |
| | 27,314 | | | Blucora, Inc.* | | | 503,943 | |
| | 9,017 | | | Cornerstone OnDemand, Inc.* | | | 354,188 | |
| | 10,541 | | | Liquidity Services, Inc.* | | | 82,220 | |
| | 5,455 | | | LogMeIn, Inc. | | | 616,415 | |
| | | | | | | | |
| | | | | | | 1,556,766 | |
| | |
| IT Services – 1.3% | | | |
| | 40,720 | | | Convergys Corp. | | | 916,607 | |
| | 43,806 | | | EVERTEC, Inc. | | | 694,325 | |
| | 63,668 | | | Travelport Worldwide Ltd. | | | 838,508 | |
| | | | | | | | |
| | | | | | | 2,449,440 | |
| | |
| Leisure Products – 0.3% | | | |
| | 50,155 | | | Callaway Golf Co. | | | 594,337 | |
| | |
| Machinery – 1.2% | | | |
| | 3,751 | | | Alamo Group, Inc. | | | 296,554 | |
| | 9,419 | | | Astec Industries, Inc. | | | 596,694 | |
| | 3,136 | | | Chart Industries, Inc.* | | | 114,495 | |
| | 4,569 | | | Columbus McKinnon Corp. | | | 119,388 | |
| | 26,732 | | | Harsco Corp.* | | | 348,853 | |
| | 10,511 | | | Kennametal, Inc. | | | 437,047 | |
| | 21,068 | | | Wabash National Corp. | | | 479,929 | |
| | | | | | | | |
| | | | | | | 2,392,960 | |
| | |
| Marine – 0.1% | | | |
| | 15,937 | | | Costamare, Inc. | | | 107,415 | |
| | |
| Metals & Mining – 2.0% | | | |
| | 45,831 | | | AK Steel Holding Corp.* | | | 290,569 | |
| | 11,422 | | | Carpenter Technology Corp. | | | 463,733 | |
| | 98,974 | | | Cliffs Natural Resources, Inc.* | | | 665,105 | |
| | 19,123 | | | Commercial Metals Co. | | | 356,453 | |
| | 16,707 | | | Materion Corp. | | | 635,701 | |
| | 34,209 | | | Schnitzer Steel Industries, Inc. Class A | | | 646,550 | |
| | 73,299 | | | SunCoke Energy, Inc.* | | | 672,152 | |
| | 4,145 | | | Worthington Industries, Inc. | | | 180,307 | |
| | | | | | | | |
| | | | | | | 3,910,570 | |
| | |
| Mortgage Real Estate Investment Trusts (REITs) – 2.8% | | | |
| | 31,509 | | | AG Mortgage Investment Trust, Inc. | | | 597,096 | |
| | 158,457 | | | Anworth Mortgage Asset Corp. | | | 928,558 | |
| | 87,185 | | | Invesco Mortgage Capital, Inc.(a) | | | 1,421,987 | |
| | 44,222 | | | Ladder Capital Corp. | | | 646,968 | |
| | 69,425 | | | MTGE Investment Corp. | | | 1,249,650 | |
| | 33,240 | | | Resource Capital Corp. | | | 310,794 | |
| | 33,404 | | | Western Asset Mortgage Capital Corp. | | | 351,744 | |
| | | | | | | | |
| | | | | | | 5,506,797 | |
| | |
| | |
| 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) | | | |
| Oil, Gas & Consumable Fuels – 2.5% | | | |
| | 6,664 | | | California Resources Corp.*(b) | | $ | 77,969 | |
| | 17,296 | | | Contango Oil & Gas Co.* | | | 123,839 | |
| | 56,680 | | | Delek US Holdings, Inc. | | | 1,364,288 | |
| | 182,904 | | | Denbury Resources, Inc.* | | | 406,047 | |
| | 34,703 | | | EP Energy Corp. Class A*(b) | | | 156,857 | |
| | 20,173 | | | GasLog Ltd.(b) | | | 282,422 | |
| | 44,045 | | | Golar LNG Ltd.(b) | | | 1,123,588 | |
| | 14,439 | | | Green Plains, Inc. | | | 332,097 | |
| | 34,580 | | | Oasis Petroleum, Inc.* | | | 412,885 | |
| | 13,503 | | | Sanchez Energy Corp.*(b) | | | 104,513 | |
| | 115,320 | | | Scorpio Tankers, Inc. | | | 507,408 | |
| | | | | | | | |
| | | | | | | 4,891,913 | |
| | |
| Paper & Forest Products – 0.9% | | | |
| | 24,205 | | | KapStone Paper & Packaging Corp. | | | 510,483 | |
| | 41,232 | | | Louisiana-Pacific Corp.* | | | 1,061,312 | |
| | 4,578 | | | Schweitzer-Mauduit International, Inc. | | | 197,083 | |
| | | | | | | | |
| | | | | | | 1,768,878 | |
| | |
| Pharmaceuticals* – 0.0% | | | |
| | 5,817 | | | Innoviva, Inc. | | | 68,553 | |
| | |
| Professional Services – 1.6% | | | |
| | 1,255 | | | Barrett Business Services, Inc. | | | 72,363 | |
| | 9,027 | | | CBIZ, Inc.* | | | 142,175 | |
| | 4,217 | | | CRA International, Inc. | | | 159,993 | |
| | 18,864 | | | FTI Consulting, Inc.* | | | 652,506 | |
| | 10,091 | | | Huron Consulting Group, Inc.* | | | 449,049 | |
| | 5,924 | | | ICF International, Inc.* | | | 261,545 | |
| | 32,835 | | | Navigant Consulting, Inc.* | | | 787,055 | |
| | 36,645 | | | RPX Corp.* | | | 470,522 | |
| | 5,135 | | | TrueBlue, Inc.* | | | 140,442 | |
| | | | | | | | |
| | | | | | | 3,135,650 | |
| | |
| Real Estate Management & Development – 0.3% | | | |
| | 26,652 | | | Kennedy-Wilson Holdings, Inc. | | | 543,701 | |
| | |
| Road & Rail – 0.2% | | | |
| | 16,069 | | | Marten Transport Ltd. | | | 398,511 | |
| | |
| Semiconductors & Semiconductor Equipment – 3.0% | | | |
| | 5,131 | | | Advanced Micro Devices, Inc.* | | | 68,242 | |
| | 68,865 | | | Amkor Technology, Inc.* | | | 811,230 | |
| | 13,930 | | | Brooks Automation, Inc. | | | 351,872 | |
| | 16,712 | | | Cabot Microelectronics Corp. | | | 1,309,385 | |
| | 3,943 | | | Cirrus Logic, Inc.* | | | 253,732 | |
| | 23,708 | | | Diodes, Inc.* | | | 554,530 | |
| | 60,292 | | | Entegris, Inc.* | | | 1,495,242 | |
| | 80,032 | | | Photronics, Inc.* | | | 920,368 | |
| | | | | | | | |
| | | | | | | 5,764,601 | |
| | |
| Software – 1.0% | | | |
| | 1,849 | | | Aspen Technology, Inc.* | | | 113,695 | |
| | 594 | | | MicroStrategy, Inc. Class A* | | | 112,961 | |
| | 42,364 | | | Progress Software Corp. | | | 1,259,058 | |
| | 2,515 | | | QAD, Inc. Class A | | | 75,953 | |
| | 6,370 | | | Take-Two Interactive Software, Inc.* | | | 400,355 | |
| | | | | | | | |
| | | | | | | 1,962,022 | |
| | |
| Common Stocks – (continued) | | | |
| Specialty Retail – 3.4% | | | |
| | 45,142 | | | Aaron’s, Inc. | | | 1,622,404 | |
| | 3,671 | | | Asbury Automotive Group, Inc.* | | | 224,665 | |
| | 59,803 | | | Chico’s FAS, Inc. | | | 826,478 | |
| | 16,315 | | | Group 1 Automotive, Inc. | | | 1,124,919 | |
| | 40,692 | | | Pier 1 Imports, Inc. | | | 274,264 | |
| | 43,728 | | | Rent-A-Center, Inc.(b) | | | 467,452 | |
| | 12,531 | | | Select Comfort Corp.* | | | 387,208 | |
| | 4,732 | | | Shoe Carnival, Inc. | | | 120,051 | |
| | 23,190 | | | The Cato Corp. Class A | | | 523,166 | |
| | 66,906 | | | The Finish Line, Inc. Class A | | | 1,057,784 | |
| | | | | | | | |
| | | | | | | 6,628,391 | |
| | |
| Textiles, Apparel & Luxury Goods – 0.8% | | | |
| | 4,436 | | | Deckers Outdoor Corp.* | | | 264,341 | |
| | 44,944 | | | Fossil Group, Inc.* | | | 775,284 | |
| | 23,290 | | | Wolverine World Wide, Inc. | | | 561,522 | |
| | | | | | | | |
| | | | | | | 1,601,147 | |
| | |
| Thrifts & Mortgage Finance – 2.6% | | | |
| | 70,126 | | | Beneficial Bancorp, Inc. | | | 1,122,016 | |
| | 15,069 | | | Capitol Federal Financial, Inc. | | | 220,459 | |
| | 20,242 | | | Dime Community Bancshares, Inc. | | | 393,707 | |
| | 5,165 | | | Federal Agricultural Mortgage Corp. Class C | | | 294,663 | |
| | 59,361 | | | Meridian Bancorp, Inc. | | | 1,041,786 | |
| | 32,267 | | | Radian Group, Inc. | | | 544,667 | |
| | 8,498 | | | TrustCo Bank Corp. NY | | | 67,559 | |
| | 28,334 | | | Walker & Dunlop, Inc.* | | | 1,270,780 | |
| | | | | | | | |
| | | | | | | 4,955,637 | |
| | |
| Trading Companies & Distributors – 2.1% | | | |
| | 33,004 | | | Aircastle Ltd. | | | 779,554 | |
| | 15,645 | | | Applied Industrial Technologies, Inc. | | | 1,001,280 | |
| | 27,032 | | | BMC Stock Holdings, Inc.* | | | 629,846 | |
| | 10,438 | | | H&E Equipment Services, Inc. | | | 220,451 | |
| | 36,988 | | | Rush Enterprises, Inc. Class A* | | | 1,396,297 | |
| | | | | | | | |
| | | | | | | 4,027,428 | |
| | |
| Water Utilities – 0.2% | | | |
| | 7,877 | | | SJW Group | | | 384,713 | |
| | |
| Wireless Telecommunication Services – 0.1% | | | |
| | 13,936 | | | Spok Holdings, Inc. | | | 250,151 | |
| | |
| | TOTAL COMMON STOCKS | | | | |
| | (Cost $170,425,888) | | $ | 189,473,591 | |
| | |
| | |
| 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, 2017 (Unaudited)
| | | | | | | | |
| Shares | | | Distribution
Rate | | Value | |
| Investment Company(c)(d) – 0.8% | |
| Goldman Sachs Financial Square Government Fund –
Institutional Shares |
|
| | 1,483,191 | | | 0.656% | | $ | 1,483,191 | |
| | (Cost $1,483,191) | | | | |
| | |
| TOTAL INVESTMENTS BEFORE SECURITIES
LENDING REINVESTMENT VEHICLE |
|
| | (Cost $171,909,079) | | $ | 190,956,782 | |
| | |
| | | | | | | | |
| Securities Lending Reinvestment Vehicle(c)(d) – 1.3% | |
| Goldman Sachs Financial Square Government Fund –
Institutional Shares |
|
| | 2,613,525 | | | 0.656% | | | 2,613,525 | |
| | (Cost $2,613,525) | | | | |
| | |
| | TOTAL INVESTMENTS — 99.7% | | | | |
| | (Cost $174,522,604) | | $ | 193,570,307 | |
| | |
| OTHER ASSETS IN EXCESS OF
LIABILITIES — 0.3% | | | 538,859 | |
| | |
| | NET ASSETS — 100.0% | | $ | 194,109,166 | |
| | |
| | |
| 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) | | Represents an Affiliated fund. |
(d) | | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on April 30, 2017. |
| | | | |
|
Investment Abbreviations: |
PLC | | —Public Limited Company |
REIT | | —Real Estate Investment Trust |
|
|
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At April 30, 2017, the Fund had the following futures contracts:
| | | | | | | | | | | | |
| Type | | Number of
Contracts
Long (Short) | | Expiration
Date | | Current
Value | | | Unrealized
Gain (Loss) | |
Russell 2000 Mini Index | | 54 | | June 2017 | | $ | 3,775,680 | | | $ | 156,641 | |
| | |
| 56 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. EQUITY INSIGHTS FUND
Schedule of Investments
April 30, 2017 (Unaudited)
| | | | | | | | |
| Shares | | | Description | |
Value | |
| Common Stocks – 97.7% | | | |
| Aerospace & Defense – 2.5% | | | |
| | 7,824 | | | Northrop Grumman Corp. | | $ | 1,924,391 | |
| | 29,522 | | | Raytheon Co. | | | 4,582,110 | |
| | 49,318 | | | Spirit AeroSystems Holdings, Inc. Class A | | | 2,819,017 | |
| | 1,426 | | | The Boeing Co. | | | 263,567 | |
| | 42,723 | | | United Technologies Corp. | | | 5,083,610 | |
| | | | | | | | |
| | | | | | | 14,672,695 | |
| | |
| Airlines – 2.9% | | | |
| | 99,586 | | | Delta Air Lines, Inc. | | | 4,525,188 | |
| | 271,599 | | | JetBlue Airways Corp.* | | | 5,929,006 | |
| | 91,407 | | | United Continental Holdings, Inc.* | | | 6,417,685 | |
| | | | | | | | |
| | | | | | | 16,871,879 | |
| | |
| Auto Components – 1.8% | | | |
| | 11,581 | | | BorgWarner, Inc. | | | 489,645 | |
| | 36,442 | | | Delphi Automotive PLC | | | 2,929,937 | |
| | 41,943 | | | Lear Corp. | | | 5,983,588 | |
| | 30,396 | | | The Goodyear Tire & Rubber Co. | | | 1,101,247 | |
| | | | | | | | |
| | | | | | | 10,504,417 | |
| | |
| Banks – 3.8% | | | |
| | 50,007 | | | Bank of America Corp. | | | 1,167,164 | |
| | 23,714 | | | CIT Group, Inc. | | | 1,098,195 | |
| | 137,362 | | | Citizens Financial Group, Inc. | | | 5,042,559 | |
| | 160,812 | | | JPMorgan Chase & Co. | | | 13,990,644 | |
| | 19,306 | | | Wells Fargo & Co. | | | 1,039,435 | |
| | | | | | | | |
| | | | | | | 22,337,997 | |
| | |
| Beverages – 0.2% | | | |
| | 9,851 | | | PepsiCo, Inc. | | | 1,115,921 | |
| | |
| Biotechnology – 4.8% | | | |
| | 37,961 | | | Alexion Pharmaceuticals, Inc.* | | | 4,850,657 | |
| | 51,093 | | | Amgen, Inc. | | | 8,344,509 | |
| | 27,420 | | | Biogen, Inc.* | | | 7,436,578 | |
| | 63,507 | | | Celgene Corp.* | | | 7,878,043 | |
| | | | | | | | |
| | | | | | | 28,509,787 | |
| | |
| Building Products – 1.3% | | | |
| | 17,045 | | | Allegion PLC | | | 1,340,419 | |
| | 168,648 | | | Masco Corp. | | | 6,243,349 | |
| | | | | | | | |
| | | | | | | 7,583,768 | |
| | |
| Capital Markets – 4.5% | | | |
| | 114,265 | | | Intercontinental Exchange, Inc. | | | 6,878,753 | |
| | 47,451 | | | S&P Global, Inc. | | | 6,367,450 | |
| | 155,793 | | | The Bank of New York Mellon Corp. | | | 7,331,619 | |
| | 135,817 | | | Thomson Reuters Corp. | | | 6,170,166 | |
| | | | | | | | |
| | | | | | | 26,747,988 | |
| | |
| Chemicals – 1.1% | | | |
| | 5,796 | | | Air Products & Chemicals, Inc. | | | 814,338 | |
| | 19,301 | | | Celanese Corp. Series A | | | 1,679,959 | |
| | 49,868 | | | Huntsman Corp. | | | 1,235,230 | |
| | 12,235 | | | PPG Industries, Inc. | | | 1,343,892 | |
| | |
| Common Stocks – (continued) | | | |
| Chemicals – (continued) | | | |
| | 4,889 | | | The Sherwin-Williams Co. | | | 1,636,251 | |
| | | | | | | | |
| | | | | | | 6,709,670 | |
| | |
| Communications Equipment – 1.7% | | | |
| | 44,034 | | | F5 Networks, Inc.* | | | 5,686,110 | |
| | 149,850 | | | Juniper Networks, Inc. | | | 4,505,990 | |
| | | | | | | | |
| | | | | | | 10,192,100 | |
| | |
| Consumer Finance – 0.5% | | | |
| | 34,442 | | | Capital One Financial Corp. | | | 2,768,448 | |
| | 13,655 | | | Synchrony Financial | | | 379,609 | |
| | | | | | | | |
| | | | | | | 3,148,057 | |
| | |
| Containers & Packaging – 1.0% | | | |
| | 66,617 | | | Owens-Illinois, Inc.* | | | 1,453,583 | |
| | 52,936 | | | Sealed Air Corp. | | | 2,330,243 | |
| | 33,973 | | | WestRock Co. | | | 1,819,594 | |
| | | | | | | | |
| | | | | | | 5,603,420 | |
| | |
| Diversified Financial Services* – 0.6% | | | |
| | 20,346 | | | Berkshire Hathaway, Inc. Class B | | | 3,361,363 | |
| | |
| Diversified Telecommunication Services – 1.4% | | | |
| | 202,046 | | | AT&T, Inc. | | | 8,007,083 | |
| | |
| Electrical Equipment – 0.8% | | | |
| | 82,583 | | | AMETEK, Inc. | | | 4,723,748 | |
| | |
| Electronic Equipment, Instruments & Components – 2.0% | |
| | 370,588 | | | Flex Ltd.* | | | 5,729,290 | |
| | 203,686 | | | Jabil Circuit, Inc. | | | 5,910,968 | |
| | | | | | | | |
| | | | | | | 11,640,258 | |
| | |
| Energy Equipment & Services – 1.1% | | | |
| | 113,044 | | | Baker Hughes, Inc. | | | 6,711,422 | |
| | |
| Equity Real Estate Investment Trusts (REITs) – 3.7% | | | |
| | 58,840 | | | American Tower Corp. | | | 7,410,310 | |
| | 16,696 | | | Equinix, Inc. | | | 6,973,919 | |
| | 83,478 | | | Host Hotels & Resorts, Inc. | | | 1,498,430 | |
| | 12,328 | | | Quality Care Properties, Inc.* | | | 213,891 | |
| | 46,398 | | | SBA Communications Corp.* | | | 5,868,883 | |
| | | | | | | | |
| | | | | | | 21,965,433 | |
| | |
| Food & Staples Retailing – 2.6% | | | |
| | 117,732 | | | Wal-Mart Stores, Inc. | | | 8,851,092 | |
| | 77,308 | | | Walgreens Boots Alliance, Inc. | | | 6,690,234 | |
| | | | | | | | |
| | | | | | | 15,541,326 | |
| | |
| Food Products – 2.9% | | | |
| | 59,325 | | | Bunge Ltd. | | | 4,688,455 | |
| | 155,039 | | | Conagra Brands, Inc. | | | 6,012,412 | |
| | 97,291 | | | Tyson Foods, Inc. Class A | | | 6,251,920 | |
| | | | | | | | |
| | | | | | | 16,952,787 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 57 |
GOLDMAN SACHS U.S. EQUITY INSIGHTS FUND
Schedule of Investments (continued)
April 30, 2017 (Unaudited)
| | | | | | | | |
| Shares | | | Description | |
Value | |
| Common Stocks – (continued) | | | |
| Health Care Equipment & Supplies – 2.8% | | | |
| | 110,652 | | | Baxter International, Inc. | | $ | 6,161,104 | |
| | 85,325 | | | Danaher Corp. | | | 7,110,132 | |
| | 73,235 | | | Hologic, Inc.* | | | 3,306,560 | |
| | | | | | | | |
| | | | | | | 16,577,796 | |
| | |
| Health Care Providers & Services – 4.2% | | | |
| | 40,265 | | | Cigna Corp. | | | 6,296,238 | |
| | 26,093 | | | Express Scripts Holding Co.* | | | 1,600,544 | |
| | 47,992 | | | McKesson Corp. | | | 6,636,814 | |
| | 59,641 | | | UnitedHealth Group, Inc. | | | 10,430,018 | |
| | | | | | | | |
| | | | | | | 24,963,614 | |
| | |
| Hotels, Restaurants & Leisure – 2.2% | | | |
| | 38,517 | | | Carnival Corp. | | | 2,379,195 | |
| | 23,544 | | | Hilton Worldwide Holdings, Inc. | | | 1,388,390 | |
| | 83,656 | | | International Game Technology PLC | | | 1,857,163 | |
| | 102,880 | | | Las Vegas Sands Corp. | | | 6,068,891 | |
| | 8,263 | | | Wyndham Worldwide Corp. | | | 787,547 | |
| | 8,206 | | | Yum! Brands, Inc. | | | 539,544 | |
| | | | | | | | |
| | | | | | | 13,020,730 | |
| | |
| Household Durables* – 0.8% | | | |
| | 20,813 | | | Mohawk Industries, Inc. | | | 4,886,684 | |
| | |
| Household Products – 1.5% | | | |
| | 104,782 | | | Colgate-Palmolive Co. | | | 7,548,495 | |
| | 2,430 | | | Spectrum Brands Holdings, Inc. | | | 349,264 | |
| | 11,901 | | | The Procter & Gamble Co. | | | 1,039,315 | |
| | | | | | | | |
| | | | | | | 8,937,074 | |
| | |
| Independent Power and Renewable Electricity Producers – 0.7% | |
| | 245,079 | | | AES Corp. | | | 2,771,844 | |
| | 96,589 | | | NRG Energy, Inc. | | | 1,632,354 | |
| | | | | | | | |
| | | | | | | 4,404,198 | |
| | |
| Industrial Conglomerates – 0.9% | | | |
| | 165,223 | | | General Electric Co. | | | 4,789,815 | |
| | 3,752 | | | Honeywell International, Inc. | | | 492,037 | |
| | | | | | | | |
| | | | | | | 5,281,852 | |
| | |
| Insurance – 2.0% | | | |
| | 28,611 | | | Aon PLC | | | 3,428,742 | |
| | 93,577 | | | Marsh & McLennan Cos., Inc. | | | 6,936,863 | |
| | 28,746 | | | XL Group Ltd. | | | 1,203,020 | |
| | | | | | | | |
| | | | | | | 11,568,625 | |
| | |
| Internet & Direct Marketing Retail – 2.5% | | | |
| | 11,057 | | | Amazon.com, Inc.* | | | 10,227,614 | |
| | 4,362 | | | Expedia, Inc. | | | 583,287 | |
| | 9,836 | | | Netflix, Inc.* | | | 1,497,039 | |
| | 1,464 | | | The Priceline Group, Inc.* | | | 2,703,745 | |
| | | | | | | | |
| | | | | | | 15,011,685 | |
| | |
| Internet Software & Services* – 5.3% | | | |
| | 8,757 | | | Alphabet, Inc. Class A | | | 8,096,022 | |
| | 8,713 | | | Alphabet, Inc. Class C | | | 7,893,629 | |
| | |
| Common Stocks – (continued) | | | |
| Internet Software & Services* – (continued) | | | |
| | 63,979 | | | Facebook, Inc. Class A | | | 9,612,845 | |
| | 54,224 | | | VeriSign, Inc. | | | 4,821,598 | |
| | 21,561 | | | Yahoo!, Inc. | | | 1,039,456 | |
| | | | | | | | |
| | | | | | | 31,463,550 | |
| | |
| IT Services – 3.2% | | | |
| | 6,710 | | | CSRA, Inc. | | | 195,127 | |
| | 8,475 | | | Euronet Worldwide, Inc.* | | | 700,205 | |
| | 23,672 | | | Fidelity National Information Services, Inc. | | | 1,992,946 | |
| | 5,928 | | | International Business Machines Corp. | | | 950,199 | |
| | 78,354 | | | MasterCard, Inc. Class A | | | 9,114,137 | |
| | 314,799 | | | The Western Union Co. | | | 6,251,908 | |
| | | | | | | | |
| | | | | | | 19,204,522 | |
| | |
| Life Sciences Tools & Services – 0.4% | | | |
| | 15,090 | | | Thermo Fisher Scientific, Inc. | | | 2,494,830 | |
| | |
| Machinery – 0.2% | | | |
| | 9,894 | | | Donaldson Co., Inc. | | | 457,894 | |
| | 6,489 | | | Fortive Corp. | | | 410,494 | |
| | 4,684 | | | Nordson Corp. | | | 586,437 | |
| | | | | | | | |
| | | | | | | 1,454,825 | |
| | |
| Media – 1.4% | | | |
| | 20,491 | | | Scripps Networks Interactive, Inc. Class A | | | 1,531,087 | |
| | 225,846 | | | Twenty-First Century Fox, Inc. Class A | | | 6,897,337 | |
| | | | | | | | |
| | | | | | | 8,428,424 | |
| | |
| Metals & Mining* – 0.4% | | | |
| | 179,950 | | | Freeport-McMoRan, Inc. | | | 2,294,362 | |
| | |
| Mortgage Real Estate Investment Trusts (REITs) – 0.3% | | | |
| | 92,546 | | | AGNC Investment Corp. | | | 1,949,944 | |
| | |
| Multi-Utilities – 1.6% | | | |
| | 223,191 | | | CenterPoint Energy, Inc. | | | 6,367,639 | |
| | 116,987 | | | NiSource, Inc. | | | 2,836,935 | |
| | | | | | | | |
| | | | | | | 9,204,574 | |
| | |
| Oil, Gas & Consumable Fuels – 4.3% | | | |
| | 12,380 | | | Chevron Corp. | | | 1,320,946 | |
| | 28,655 | | | Energen Corp.* | | | 1,489,773 | |
| | 50,981 | | | Exxon Mobil Corp. | | | 4,162,598 | |
| | 26,712 | | | HollyFrontier Corp. | | | 751,676 | |
| | 62,079 | | | Kinder Morgan, Inc. | | | 1,280,690 | |
| | 33,654 | | | Marathon Petroleum Corp. | | | 1,714,335 | |
| | 63,414 | | | Phillips 66 | | | 5,045,218 | |
| | 110,086 | | | The Williams Cos., Inc. | | | 3,371,934 | |
| | 101,631 | | | Valero Energy Corp. | | | 6,566,379 | |
| | | | | | | | |
| | | | | | | 25,703,549 | |
| | |
| Pharmaceuticals – 4.7% | | | |
| | 20,445 | | | Allergan PLC | | | 4,985,718 | |
| | 55,792 | | | Bristol-Myers Squibb Co. | | | 3,127,142 | |
| | 45,675 | | | Eli Lilly & Co. | | | 3,748,090 | |
| | |
| | |
| 58 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. EQUITY INSIGHTS FUND
| | | | | | | | |
| Shares | | | Description | |
Value | |
| Common Stocks – (continued) | | | |
| Pharmaceuticals – (continued) | | | |
| | 65,174 | | | Johnson & Johnson | | $ | 8,047,034 | |
| | 128,294 | | | Merck & Co., Inc. | | | 7,996,565 | |
| | | | | | | | |
| | | | | | | 27,904,549 | |
| | |
| Real Estate Management & Development* – 0.4% | | | |
| | 65,567 | | | CBRE Group, Inc. Class A | | | 2,347,954 | |
| | |
| Road & Rail – 2.4% | | | |
| | 49,937 | | | Norfolk Southern Corp. | | | 5,867,098 | |
| | 75,371 | | | Union Pacific Corp. | | | 8,438,537 | |
| | | | | | | | |
| | | | | | | 14,305,635 | |
| | |
| Semiconductors & Semiconductor Equipment – 3.6% | | | |
| | 177,361 | | | Applied Materials, Inc. | | | 7,202,630 | |
| | 132,006 | | | Maxim Integrated Products, Inc. | | | 5,828,065 | |
| | 101,827 | | | Texas Instruments, Inc. | | | 8,062,662 | |
| | | | | | | | |
| | | | | | | 21,093,357 | |
| | |
| Software – 4.5% | | | |
| | 41,073 | | | Activision Blizzard, Inc. | | | 2,146,064 | |
| | 59,472 | | | Adobe Systems, Inc.* | | | 7,953,785 | |
| | 19,890 | | | CDK Global, Inc. | | | 1,293,049 | |
| | 74,374 | | | Citrix Systems, Inc.* | | | 6,019,832 | |
| | 136,413 | | | Microsoft Corp. | | | 9,338,834 | |
| | | | | | | | |
| | | | | | | 26,751,564 | |
| | |
| Specialty Retail – 0.9% | | | |
| | 95,680 | | | Best Buy Co., Inc. | | | 4,957,181 | |
| | 4,829 | | | Burlington Stores, Inc.* | | | 477,684 | |
| | | | | | | | |
| | | | | | | 5,434,865 | |
| | |
| Technology Hardware, Storage & Peripherals – 3.2% | | | |
| | 110,485 | | | Apple, Inc.(a) | | | 15,871,170 | |
| | 144,696 | | | HP, Inc. | | | 2,723,179 | |
| | 4,493 | | | NCR Corp.* | | | 185,336 | |
| | | | | | | | |
| | | | | | | 18,779,685 | |
| | |
| Common Stocks – (continued) | | | |
| Textiles, Apparel & Luxury Goods – 0.7% | | | |
| | 40,163 | | | PVH Corp. | | | 4,057,668 | |
| | |
| Tobacco – 1.4% | | | |
| | 73,436 | | | Philip Morris International, Inc. | | | 8,139,646 | |
| | |
| | TOTAL COMMON STOCKS | | | | |
| | (Cost $517,995,475) | | $ | 578,566,880 | |
| | |
| | | | | | | | |
| Shares | | | Distribution
Rate | | Value | |
| Investment Company(b)(c) – 0.9% | |
| Goldman Sachs Financial Square Government Fund –
Institutional Shares |
|
| | 5,436,576 | | | 0.656% | | $ | 5,436,576 | |
| | (Cost $5,436,576) | | | | |
| | |
| | TOTAL INVESTMENTS – 98.6% | | | | |
| | (Cost $523,432,051) | | $ | 584,003,456 | |
| | |
| OTHER ASSETS IN EXCESS
OF LIABILITIES – 1.4% | | | 8,403,145 | |
| | |
| | NET ASSETS – 100.0% | | $ | 592,406,601 | |
| | |
| | |
| 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) | | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on April 30, 2017. |
(c) | | Represents an Affiliated fund. |
| | | | |
|
Investment Abbreviations: |
PLC | | —Public Limited Company |
REIT | | —Real Estate Investment Trust | | |
|
|
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At April 30, 2017, 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 | | 44 | | June 2017 | | $ | 5,237,100 | | | $ | 12,114 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 59 |
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Statements of Assets and Liabilities
April 30, 2017 (Unaudited)
| | | | | | |
| | | | | Large Cap Growth
Insights Fund | |
| | Assets: | | | | |
| | Investments of unaffiliated issuers, at value (cost $1,271,073,089, $407,390,682, $247,349,391, $331,286,764, $170,425,888 and $517,995,475)(a) | | $ | 1,382,767,276 | |
| | Investments of affiliated issuers, at value (cost $26,700,716, $4,279,336, $1,761,506, $10,081,286, $1,483,191 and $5,436,576) | | | 26,700,716 | |
| | Investments in securities lending reinvestment vehicle — affiliated issuer, at value which equals cost | | | — | |
| | Cash | | | 22,671,158 | |
| | Variation margin on certain derivative contracts | | | — | |
| | Receivables: | | | | |
| | Fund shares sold | | | 103,710,404 | |
| | Investments sold | | | 65,171,073 | |
| | Dividends | | | 599,735 | |
| | Reimbursement from investment adviser | | | 34,145 | |
| | Securities lending income | | | 77 | |
| | Collateral on certain derivative contracts(b) | | | — | |
| | Other assets | | | 5,553 | |
| | Total assets | | | 1,601,660,137 | |
| | | | | | |
| | Liabilities: | | | | |
| | Variation margin on certain derivative contracts | | | 51,216 | |
| | Payables: | | | | |
| | Investments purchased | | | 171,717,462 | |
| | Fund shares redeemed | | | 8,618,034 | |
| | Management fees | | | 543,503 | |
| | Distribution and Service fees and Transfer Agency fees | | | 223,288 | |
| | Payable upon return of securities loaned | | | — | |
| | Accrued expenses | | | 80,478 | |
| | Total liabilities | | | 181,233,981 | |
| | | | | | |
| | Net Assets: | | | | |
| | Paid-in capital | | | 1,299,809,048 | |
| | Undistributed net investment income | | | 2,674,589 | |
| | Accumulated net realized gain (loss) | | | 6,170,641 | |
| | Net unrealized gain | | | 111,771,878 | |
| | | NET ASSETS | | $ | 1,420,426,156 | |
| | | Net Assets: | | | | |
| | | Class A | | $ | 278,193,347 | |
| | | Class C | | | 57,945,008 | |
| | | Institutional | | | 766,735,638 | |
| | | Service | | | 31,623,309 | |
| | | Class IR | | | 209,881,469 | |
| | | Class R | | | 27,551,370 | |
| | | Class R6 | | | 48,496,015 | |
| | | Total Net Assets | | $ | 1,420,426,156 | |
| | | Shares Outstanding $0.001 par value (unlimited number of shares authorized): | | | | |
| | | Class A | | | 10,336,938 | |
| | | Class C | | | 2,374,855 | |
| | | Institutional | | | 27,610,994 | |
| | | Service | | | 1,191,145 | |
| | | Class IR | | | 7,893,797 | |
| | | Class R | | | 1,046,323 | |
| | | Class R6 | | | 1,747,084 | |
| | | Net asset value, offering and redemption price per share:(c) | | | | |
| | | Class A | | | $26.91 | |
| | | Class C | | | 24.40 | |
| | | Institutional | | | 27.77 | |
| | | Service | | | 26.55 | |
| | | Class IR | | | 26.59 | |
| | | Class R | | | 26.33 | |
| | | Class R6 | | | 27.76 | |
| | (a) | | Includes loaned securities having a market value of $2,575,479, $3,621,827 and $2,513,672 for the Small Cap Equity Insights, Small Cap Growth Insights and Small Cap Value Insights Funds, respectively. |
| | (b) | | Segregated for initial margin and/or collateral on futures transactions for the Large Cap Value Insights Fund. |
| | (c) | | 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 $28.48, $20.72, $24.36, $35.26, $46.58 and $47.62, 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. |
| | |
| 60 | | 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 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
| | $ | 422,524,849 | | | | | $ | 267,033,608 | | | | | $ | 368,761,538 | | | | | $ | 189,473,591 | | | | | $ | 578,566,880 | |
| | | 4,279,336 | | | | | | 1,761,506 | | | | | | 10,081,286 | | | | | | 1,483,191 | | | | | | 5,436,576 | |
| | | — | | | | | | 2,685,876 | | | | | | 3,688,055 | | | | | | 2,613,525 | | | | | | — | |
| | | 7,286,647 | | | | | | 4,086,878 | | | | | | 5,948,127 | | | | | | 3,195,423 | | | | | | 8,974,641 | |
| | | — | | | | | | 60,868 | | | | | | — | | | | | | — | | | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 718,576 | | | | | | 25,158,130 | | | | | | 17,439,653 | | | | | | 71,675 | | | | | | 901,806 | |
| | | 48,475,475 | | | | | | 4,207,867 | | | | | | 5,575,721 | | | | | | 3,002,346 | | | | | | 13,811,010 | |
| | | 560,347 | | | | | | 10,866 | | | | | | 18,073 | | | | | | 20,420 | | | | | | 643,514 | |
| | | 25,906 | | | | | | 31,752 | | | | | | 28,741 | | | | | | 26,144 | | | | | | 31,204 | |
| | | — | | | | | | 15,488 | | | | | | 14,104 | | | | | | 5,988 | | | | | | — | |
| | | 305,000 | | | | | | — | | | | | | — | | | | | | — | | | | | | — | |
| | | 40,615 | | | | | | 1,650 | | | | | | 2,243 | | | | | | 1,129 | | | | | | 25,206 | |
| | | 484,216,751 | | | | | | 305,054,489 | | | | | | 411,557,541 | | | | | | 199,893,432 | | | | | | 608,390,837 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 304,342 | | | | | | — | | | | | | 100,396 | | | | | | 55,890 | | | | | | 12,275 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 10,400,651 | | | | | | 23,203,672 | | | | | | 26,223,383 | | | | | | 2,705,590 | | | | | | 14,341,895 | |
| | | 39,293,000 | | | | | | 3,987,792 | | | | | | 1,385,121 | | | | | | 140,473 | | | | | | 1,104,712 | |
| | | 202,927 | | | | | | 165,133 | | | | | | 229,564 | | | | | | 126,285 | | | | | | 249,483 | |
| | | 52,409 | | | | | | 39,051 | | | | | | 50,525 | | | | | | 61,516 | | | | | | 157,787 | |
| | | — | | | | | | 2,685,876 | | | | | | 3,688,055 | | | | | | 2,613,525 | | | | | | — | |
| | | 142,887 | | | | | | 119,623 | | | | | | 47,610 | | | | | | 80,987 | | | | | | 118,084 | |
| | | 50,396,216 | | | | | | 30,201,147 | | | | | | 31,724,654 | | | | | | 5,784,266 | | | | | | 15,984,236 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 675,722,521 | | | | | | 305,205,168 | | | | | | 334,804,716 | | | | | | 164,064,519 | | | | | | 499,449,797 | |
| | | 369,140 | | | | | | 350,304 | | | | | | 22,607 | | | | | | 39,227 | | | | | | 2,093,090 | |
| | | (257,405,947 | ) | | | | | (50,386,496 | ) | | | | | 7,545,747 | | | | | | 10,801,076 | | | | | | 30,280,195 | |
| | | 15,134,821 | | | | | | 19,684,366 | | | | | | 37,459,817 | | | | | | 19,204,344 | | | | | | 60,583,519 | |
| | | $ | 433,820,535 | | | | | $ | 274,853,342 | | | | | $ | 379,832,887 | | | | | $ | 194,109,166 | | | | | $ | 592,406,601 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $ 60,144,131 | | | | | $ | 33,830,066 | | | | | $ | 59,953,912 | | | | | $ | 103,761,067 | | | | | $ | 264,399,061 | |
| | | | 13,570,214 | | | | | | 13,024,954 | | | | | | 8,999,766 | | | | | | 17,976,687 | | | | | | 33,348,411 | |
| | | | 326,179,276 | | | | | | 212,742,272 | | | | | | 148,784,234 | | | | | | 59,325,846 | | | | | | 221,194,840 | |
| | | | 7,218,445 | | | | | | 484,275 | | | | | | — | | | | | | — | | | | | | 5,313,081 | |
| | | | 24,374,486 | | | | | | 2,512,730 | | | | | | 130,055,934 | | | | | | 5,393,425 | | | | | | 32,597,980 | |
| | | | 2,322,293 | | | | | | 12,115,788 | | | | | | 5,895,929 | | | | | | 7,589,663 | | | | | | 33,151,175 | |
| | | | 11,690 | | | | | | 143,257 | | | | | | 26,143,112 | | | | | | 62,478 | | | | | | 2,402,053 | |
| | | | $433,820,535 | | | | | $ | 274,853,342 | | | | | $ | 379,832,887 | | | | | $ | 194,109,166 | | | | | $ | 592,406,601 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | 3,071,268 | | | | | | 1,469,671 | | | | | | 1,799,144 | | | | | | 2,357,182 | | | | | | 5,876,100 | |
| | | | 699,120 | | | | | | 647,766 | | | | | | 339,268 | | | | | | 543,525 | | | | | | 814,481 | |
| | | | 16,668,776 | | | | | | 8,915,657 | | | | | | 3,861,544 | | | | | | 1,052,813 | | | | | | 4,783,224 | |
| | | | 367,150 | | | | | | 21,336 | | | | | | — | | | | | | — | | | | | | 118,639 | |
| | | | 1,248,472 | | | | | | 109,998 | | | | | | 3,825,259 | | | | | | 122,992 | | | | | | 732,889 | |
| | | | 119,239 | | | | | | 536,063 | | | | | | 182,602 | | | | | | 174,912 | | | | | | 748,526 | |
| | | | 598 | | | | | | 6,004 | | | | | | 678,337 | | | | | | 1,109 | | | | | | 51,970 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | $19.58 | | | | | | $23.02 | | | | | | $33.32 | | | | | | $44.02 | | | | | | $45.00 | |
| | | | 19.41 | | | | | | 20.11 | | | | | | 26.53 | | | | | | 33.07 | | | | | | 40.94 | |
| | | | 19.57 | | | | | | 23.86 | | | | | | 38.53 | | | | | | 56.35 | | | | | | 46.24 | |
| | | | 19.66 | | | | | | 22.70 | | | | | | — | | | | | | — | | | | | | 44.78 | |
| | | | 19.52 | | | | | | 22.84 | | | | | | 34.00 | | | | | | 43.85 | | | | | | 44.48 | |
| | | | 19.48 | | | | | | 22.60 | | | | | | 32.29 | | | | | | 43.39 | | | | | | 44.29 | |
| | | | 19.56 | | | | | | 23.86 | | | | | | 38.54 | | | | | | 56.35 | | | | | | 46.22 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 61 |
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Statements of Operations
For the Six Months Ended April 30, 2017 (Unaudited)
| | | | | | |
| | | | | Large Cap Growth
Insights Fund | |
| | Investment income: | |
| | Dividends — unaffiliated issuers (net of foreign withholding taxes of $0, $0, $831, $257, $688 and $0) | | $ | 6,633,162 | |
| | Dividends — affiliated issuers | | | 67,855 | |
| | Securities lending income — affiliated issuer | | | 6,116 | |
| | Total investment income | | | 6,707,133 | |
| | | | | | |
| | Expenses: | |
| | Management fees | | | 3,436,341 | |
| | Distribution and Service fees(a) | | | 659,042 | |
| | Transfer Agency fees(a) | | | 554,909 | |
| | Custody, accounting and administrative services | | | 65,181 | |
| | Registration fees | | | 55,939 | |
| | Printing and mailing costs | | | 44,877 | |
| | Professional fees | | | 41,501 | |
| | Service Share fees — Service Plan | | | 22,400 | |
| | Service Share fees — Shareholder Administration Plan | | | 22,400 | |
| | Trustee fees | | | 9,210 | |
| | Other | | | 13,963 | |
| | Total expenses | | | 4,925,763 | |
| | Less — expense reductions | | | (893,385 | ) |
| | Net expenses | | | 4,032,378 | |
| | NET INVESTMENT INCOME | | | 2,674,755 | |
| | | | | | |
| | Realized and unrealized gain (loss): | |
| | Net realized gain from: | | | | |
| | Investments — unaffiliated issuers | | | 47,620,147 | |
| | Futures contracts | | | 2,410,722 | |
| | Net change in unrealized gain on: | | | | |
| | Investments — unaffiliated issuers | | | 99,311,336 | |
| | Futures contracts | | | 85,557 | |
| | Net realized and unrealized gain | | | 149,427,762 | |
| | NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 152,102,517 | |
| | (a) | | Class specific Distribution and Service and Transfer Agency fees were as follows: |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Distribution and Service Fees | | | Transfer Agency Fees | |
| | | Class A | | | Class C | | | Class R | | | Class A | | | Class C | | | Institutional | | | Service | | | Class IR | | | Class R | | | Class R6 | |
| Large Cap Growth Insights | | $ | 334,788 | | | $ | 264,870 | | | $ | 59,384 | | | $ | 254,439 | | | $ | 50,325 | | | $ | 113,501 | | | $ | 3,584 | | | $ | 108,199 | | | $ | 22,566 | | | $ | 2,295 | |
| Large Cap Value Insights | | | 77,905 | | | | 70,129 | | | | 5,687 | | | | 59,208 | | | | 13,324 | | | | 72,713 | | | | 1,354 | | | | 14,836 | | | | 2,161 | | | | 2 | |
| Small Cap Equity Insights | | | 43,222 | | | | 68,368 | | | | 29,303 | | | | 32,848 | | | | 12,990 | | | | 38,891 | | | | 125 | | | | 8,011 | | | | 11,135 | | | | 11 | |
| Small Cap Growth Insights | | | 79,754 | | | | 43,153 | | | | 11,655 | | | | 60,613 | | | | 8,199 | | | | 23,164 | | | | — | | | | 91,087 | | | | 4,429 | | | | 848 | |
| Small Cap Value Insights | | | 128,962 | | | | 87,685 | | | | 17,879 | | | | 98,011 | | | | 16,660 | | | | 9,492 | | | | — | | | | 5,102 | | | | 6,794 | | | | 3 | |
| U.S. Equity Insights | | | 325,309 | | | | 162,247 | | | | 80,134 | | | | 247,235 | | | | 30,827 | | | | 39,079 | | | | 1,128 | | | | 23,673 | | | | 30,450 | | | | 26 | |
| | |
| 62 | | 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 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 4,541,484 | | | | | $ | 1,935,952 | | | | | $ | 1,539,259 | | | | | $ | 1,657,813 | | | | | $ | 4,796,411 | |
| | | 12,591 | | | | | | 7,857 | | | | | | 19,091 | | | | | | 7,393 | | | | | | 13,608 | |
| | | 4,823 | | | | | | 85,131 | | | | | | 107,892 | | | | | | 29,426 | | | | | | — | |
| | | 4,558,898 | | | | | | 2,028,940 | | | | | | 1,666,242 | | | | | | 1,694,632 | | | | | | 4,810,019 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 1,393,760 | | | | | | 1,120,269 | | | | | | 1,263,419 | | | | | | 768,029 | | | | | | 1,790,621 | |
| | | 153,721 | | | | | | 140,893 | | | | | | 134,562 | | | | | | 234,526 | | | | | | 567,690 | |
| | | 163,598 | | | | | | 104,011 | | | | | | 188,340 | | | | | | 136,062 | | | | | | 372,418 | |
| | | 51,066 | | | | | | 54,298 | | | | | | 52,162 | | | | | | 42,772 | | | | | | 51,736 | |
| | | 50,575 | | | | | | 51,712 | | | | | | 39,284 | | | | | | 35,825 | | | | | | 47,001 | |
| | | 21,907 | | | | | | 16,078 | | | | | | 19,727 | | | | | | 25,165 | | | | | | 42,416 | |
| | | 41,864 | | | | | | 41,501 | | | | | | 41,066 | | | | | | 41,066 | | | | | | 41,403 | |
| | | 8,462 | | | | | | 780 | | | | | | — | | | | | | — | | | | | | 7,048 | |
| | | 8,462 | | | | | | 780 | | | | | | — | | | | | | — | | | | | | 7,048 | |
| | | 8,698 | | | | | | 8,501 | | | | | | 8,487 | | | | | | 8,413 | | | | | | 8,794 | |
| | | 8,233 | | | | | | 8,058 | | | | | | 7,556 | | | | | | 6,339 | | | | | | 8,584 | |
| | | 1,910,346 | | | | | | 1,546,881 | | | | | | 1,754,603 | | | | | | 1,298,197 | | | | | | 2,944,759 | |
| | | (363,269 | ) | | | | | (243,541 | ) | | | | | (241,158 | ) | | | | | (203,811 | ) | | | | | (551,566 | ) |
| | | 1,547,077 | | | | | | 1,303,340 | | | | | | 1,513,445 | | | | | | 1,094,386 | | | | | | 2,393,193 | |
| | | 3,011,821 | | | | | | 725,600 | | | | | | 152,797 | | | | | | 600,246 | | | | | | 2,416,826 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 37,863,014 | | | | | | 18,938,024 | | | | | | 9,841,670 | | | | | | 11,092,199 | | | | | | 32,171,190 | |
| | | 891,146 | | | | | | 473,484 | | | | | | 487,894 | | | | | | 207,036 | | | | | | 373,247 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 18,277,115 | | | | | | 19,676,881 | | | | | | 33,629,531 | | | | | | 12,200,847 | | | | | | 40,383,658 | |
| | | 138,432 | | | | | | 222,655 | | | | | | 44,976 | | | | | | 197,241 | | | | | | 156,971 | |
| | | 57,169,707 | | | | | | 39,311,044 | | | | | | 44,004,071 | | | | | | 23,293,046 | | | | | | 73,085,066 | |
| | $ | 60,181,528 | | | | | $ | 40,036,644 | | | | | $ | 44,156,868 | | | | | $ | 24,297,569 | | | | | $ | 75,501,892 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 63 |
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | | | Large Cap Growth Insights Fund | |
| | | | | For the
Six Months Ended
April 30, 2017
(Unaudited) | | | For the Fiscal
Year Ended
October 31, 2016 | |
| | From operations: | |
| | Net investment income | | $ | 2,674,755 | | | $ | 6,059,810 | |
| | Net realized gain (loss) | | | 50,030,869 | | | | 39,552,200 | |
| | Net change in unrealized gain (loss) | | | 99,396,893 | | | | (23,553,465 | ) |
| | Net increase in net assets resulting from operations | | | 152,102,517 | | | | 22,058,545 | |
| | | | | | | | | | |
| | Distributions to shareholders: | | | | | | | | |
| | From net investment income | | | | | | | | |
| | Class A Shares | | | (1,237,586 | ) | | | (1,188,498 | ) |
| | Class C Shares | | | — | | | | (92,936 | ) |
| | Institutional Shares | | | (3,993,399 | ) | | | (4,313,410 | ) |
| | Service Shares | | | (83,880 | ) | | | (25,083 | ) |
| | Class IR Shares | | | (508,915 | ) | | | (299,441 | ) |
| | Class R Shares | | | (70,878 | ) | | | (79,335 | ) |
| | Class R6 Shares | | | (117,502 | ) | | | (88 | ) |
| | Total distributions to shareholders | | | (6,012,160 | ) | | | (5,998,791 | ) |
| | | | | | | | | | |
| | From share transactions: | | | | | | | | |
| | Proceeds from sales of shares | | | 694,524,273 | | | | 532,438,805 | |
| | Reinvestment of distributions | | | 5,487,280 | | | | 5,424,452 | |
| | Cost of shares redeemed | | | (266,775,340 | ) | | | (506,204,019 | ) |
| | Net increase (decrease) in net assets resulting from share transactions | | | 433,236,213 | | | | 31,659,238 | |
| | TOTAL INCREASE (DECREASE) | | | 579,326,570 | | | | 47,718,992 | |
| | | | | | | | | | |
| | Net assets: | | | | | | | | |
| | Beginning of period | | | 841,099,586 | | | | 793,380,594 | |
| | End of period | | $ | 1,420,426,156 | | | $ | 841,099,586 | |
| | Undistributed net investment income | | $ | 2,674,589 | | | $ | 6,011,994 | |
| | |
| 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 | |
| | | For the
Six Months Ended
April 30, 2017
(Unaudited) | | | | | For the Fiscal
Year Ended
October 31, 2016 | | | | | For the
Six Months Ended
April 30, 2017
(Unaudited) | | | | | For the Fiscal
Year Ended
October 31, 2016 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | $ | 3,011,821 | | | | | $ | 6,212,921 | | | | | $ | 725,600 | | | | | $ | 1,162,173 | |
| | | 38,754,160 | | | | | | 6,354,129 | | | | | | 19,411,508 | | | | | | 5,211,316 | |
| | | 18,415,547 | | | | | | (2,154,333 | ) | | | | | 19,899,536 | | | | | | 1,647,672 | |
| | | 60,181,528 | | | | | | 10,412,717 | | | | | | 40,036,644 | | | | | | 8,021,161 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | (341,335 | ) | | | | | (758,159 | ) | | | | | (97,192 | ) | | | | | (49,335 | ) |
| | | (26,363 | ) | | | | | (75,081 | ) | | | | | — | | | | | | — | |
| | | (2,752,983 | ) | | | | | (4,760,563 | ) | | | | | (1,223,631 | ) | | | | | (488,722 | ) |
| | | (34,397 | ) | | | | | (75,588 | ) | | | | | (1,402 | ) | | | | | — | |
| | | (115,083 | ) | | | | | (116,096 | ) | | | | | (52,520 | ) | | | | | (5,495 | ) |
| | | (10,629 | ) | | | | | (15,774 | ) | | | | | (13,506 | ) | | | | | (2,484 | ) |
| | | (85 | ) | | | | | (162 | ) | | | | | (277 | ) | | | | | (59 | ) |
| | | (3,280,875 | ) | | | | | (5,801,423 | ) | | | | | (1,388,528 | ) | | | | | (546,095 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | 89,802,891 | | | | | | 165,726,833 | | | | | | 79,117,225 | | | | | | 156,562,364 | |
| | | 3,202,649 | | | | | | 5,673,950 | | | | | | 1,367,531 | | | | | | 538,978 | |
| | | (150,143,729 | ) | | | | | (130,141,538 | ) | | | | | (82,891,641 | ) | | | | | (66,939,713 | ) |
| | | (57,138,189 | ) | | | | | 41,259,245 | | | | | | (2,406,885 | ) | | | | | 90,161,629 | |
| | | (237,536 | ) | | | | | 45,870,539 | | | | | | 36,241,231 | | | | | | 97,636,695 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | 434,058,071 | | | | | | 388,187,532 | | | | | | 238,612,111 | | | | | | 140,975,416 | |
| | $ | 433,820,535 | | | | | $ | 434,058,071 | | | | | $ | 274,853,342 | | | | | $ | 238,612,111 | |
| | $ | 369,140 | | | | | $ | 638,194 | | | | | $ | 350,304 | | | | | $ | 1,013,232 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 65 |
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, 2017
(Unaudited) | | | For the Fiscal
Year Ended
October 31, 2016 | |
| | From operations: | |
| | Net investment income | | $ | 152,797 | | | $ | 269,418 | |
| | Net realized gain (loss) | | | 10,329,564 | | | | (2,301,718 | ) |
| | Net change in unrealized gain (loss) | | | 33,674,507 | | | | 2,999,294 | |
| | Net increase in net assets resulting from operations | | | 44,156,868 | | | | 966,994 | |
| | | | | | | | | | |
| | Distributions to shareholders: | | | | | | | | |
| | From net investment income | | | | | | | | |
| | Class A Shares | | | — | | | | — | |
| | Class C Shares | | | — | | | | — | |
| | Institutional Shares | | | (215,269 | ) | | | — | |
| | Service Shares | | | — | | | | — | |
| | Class IR Shares | | | (165,943 | ) | | | — | |
| | Class R Shares | | | — | | | | — | |
| | Class R6 Shares | | | (17,101 | ) | | | — | |
| | From net realized gains | | | | | | | | |
| | Class A Shares | | | — | | | | (3,786,174 | ) |
| | Class C Shares | | | — | | | | (870,411 | ) |
| | Institutional Shares | | | — | | | | (5,329,256 | ) |
| | Service Shares | | | — | | | | — | |
| | Class IR Shares | | | — | | | | (408,028 | ) |
| | Class R Shares | | | — | | | | (208,004 | ) |
| | Class R6 Shares | | | — | | | | (728 | ) |
| | Total distributions to shareholders | | | (398,313 | ) | | | (10,602,601 | ) |
| | | | | | | | | | |
| | From share transactions: | | | | | | | | |
| | Proceeds from sales of shares | | | 184,960,621 | | | | 143,678,447 | |
| | Reinvestment of distributions | | | 357,428 | | | | 9,066,848 | |
| | Cost of shares redeemed | | | (71,289,543 | ) | | | (43,690,211 | ) |
| | Net increase (decrease) in net assets resulting from share transactions | | | 114,028,506 | | | | 109,055,084 | |
| | TOTAL INCREASE (DECREASE) | | | 157,787,061 | | | | 99,419,477 | |
| | | | | | | | | | |
| | Net assets: | | | | | | | | |
| | Beginning of period | | | 222,045,826 | | | | 122,626,349 | |
| | End of period | | $ | 379,832,887 | | | $ | 222,045,826 | |
| | Undistributed net investment income | | $ | 22,607 | | | $ | 268,123 | |
| | |
| 66 | | 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, 2017
(Unaudited) | | | | | For the Fiscal
Year Ended
October 31, 2016 | | | | | For the
Six Months Ended
April 30, 2017
(Unaudited) | | | | | For the Fiscal
Year Ended
October 31, 2016 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | $ | 600,246 | | | | | $ | 983,316 | | | | | $ | 2,416,826 | | | | | $ | 4,811,854 | |
| | | 11,299,235 | | | | | | 5,567,484 | | | | | | 32,544,437 | | | | | | 17,517,788 | |
| | | 12,398,088 | | | | | | 3,277,051 | | | | | | 40,540,629 | | | | | | (10,692,543 | ) |
| | | 24,297,569 | | | | | | 9,827,851 | | | | | | 75,501,892 | | | | | | 11,637,099 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | (617,358 | ) | | | | | (737,825 | ) | | | | | (1,901,340 | ) | | | | | (2,582,312 | ) |
| | | (42,467 | ) | | | | | (57,118 | ) | | | | | (13,485 | ) | | | | | (113,480 | ) |
| | | (358,224 | ) | | | | | (197,818 | ) | | | | | (2,041,814 | ) | | | | | (1,769,015 | ) |
| | | — | | | | | | — | | | | | | (42,934 | ) | | | | | (37,629 | ) |
| | | (49,629 | ) | | | | | (18,949 | ) | | | | | (216,480 | ) | | | | | (66,496 | ) |
| | | (31,204 | ) | | | | | (44,265 | ) | | | | | (175,187 | ) | | | | | (262,202 | ) |
| | | (91 | ) | | | | | (97 | ) | | | | | (1,127 | ) | | | | | (134 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | (3,697,883 | ) | | | | | (4,933,036 | ) | | | | | (8,414,369 | ) | | | | | (7,754,822 | ) |
| | | (812,978 | ) | | | | | (1,118,515 | ) | | | | | (1,145,513 | ) | | | | | (1,167,573 | ) |
| | | (1,012,988 | ) | | | | | (884,302 | ) | | | | | (6,017,503 | ) | | | | | (3,424,724 | ) |
| | | — | | | | | | — | | | | | | (185,727 | ) | | | | | (96,766 | ) |
| | | (192,503 | ) | | | | | (95,047 | ) | | | | | (647,912 | ) | | | | | (144,544 | ) |
| | | (241,746 | ) | | | | | (268,922 | ) | | | | | (1,048,717 | ) | | | | | (832,819 | ) |
| | | (346 | ) | | | | | (419 | ) | | | | | (3,121 | ) | | | | | (275 | ) |
| | | (7,057,417 | ) | | | | | (8,356,313 | ) | | | | | (21,855,229 | ) | | | | | (18,252,791 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | 59,111,198 | | | | | | 14,415,599 | | | | | | 87,945,737 | | | | | | 133,423,119 | |
| | | 6,806,909 | | | | | | 8,059,965 | | | | | | 20,897,271 | | | | | | 17,393,559 | |
| | | (24,898,461 | ) | | | | | (25,476,290 | ) | | | | | (84,533,570 | ) | | | | | (97,816,860 | ) |
| | | 41,019,646 | | | | | | (3,000,726 | ) | | | | | 24,309,438 | | | | | | 52,999,818 | |
| | | 58,259,798 | | | | | | (1,529,188 | ) | | | | | 77,956,101 | | | | | | 46,384,126 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | 135,849,368 | | | | | | 137,378,556 | | | | | | 514,450,500 | | | | | | 468,066,374 | |
| | $ | 194,109,166 | | | | | $ | 135,849,368 | | | | | $ | 592,406,601 | | | | | $ | 514,450,500 | |
| | $ | 39,227 | | | | | $ | 537,954 | | | | | $ | 2,093,090 | | | | | $ | 4,068,631 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 67 |
GOLDMAN SACHS LARGE CAP GROWTH 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 (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) | |
| | 2017 - A | | $ | 23.44 | | | $ | 0.04 | | | $ | 3.54 | | | $ | 3.58 | | | $ | (0.11 | ) |
| | 2017 - C | | | 21.23 | | | | (0.05 | ) | | | 3.22 | | | | 3.17 | | | | — | |
| | 2017 - Institutional | | | 24.21 | | | | 0.09 | | | | 3.66 | | | | 3.75 | | | | (0.19 | ) |
| | 2017 - Service | | | 23.15 | | | | 0.01 | | | | 3.52 | | | | 3.53 | | | | (0.13 | ) |
| | 2017 - IR | | | 23.19 | | | | 0.06 | | | | 3.52 | | | | 3.58 | | | | (0.18 | ) |
| | 2017 - R | | | 22.93 | | | | 0.01 | | | | 3.47 | | | | 3.48 | | | | (0.08 | ) |
| | 2017 - R6 | | | 24.21 | | | | 0.08 | | | | 3.67 | | | | 3.75 | | | | (0.20 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE YEARS ENDED OCTOBER 31, | |
| | 2016 - A | | | 23.13 | | | | 0.11 | | | | 0.33 | | | | 0.44 | | | | (0.13 | ) |
| | 2016 - C | | | 21.02 | | | | (0.05 | ) | | | 0.30 | | | | 0.25 | | | | (0.04 | ) |
| | 2016 - Institutional | | | 23.86 | | | | 0.21 | | | | 0.34 | | | | 0.55 | | | | (0.20 | ) |
| | 2016 - Service | | | 22.89 | | | | 0.08 | | | | 0.33 | | | | 0.41 | | | | (0.15 | ) |
| | 2016 - IR | | | 22.88 | | | | 0.17 | | | | 0.32 | | | | 0.49 | | | | (0.18 | ) |
| | 2016 - R | | | 22.71 | | | | 0.05 | | | | 0.32 | | | | 0.37 | | | | (0.15 | ) |
| | 2016 - R6 | | | 23.86 | | | | 0.18 | | | | 0.38 | | | | 0.56 | | | | (0.21 | ) |
| | 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 | ) |
| | (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 impact of taxes to shareholder relating to 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. |
| | |
| 68 | | 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 26.91 | | | | | | 15.32 | % | | | | $ | 278,193 | | | | | | 0.96 | %(d) | | | | | 1.13 | %(d) | | | | | 0.32 | %(d) | | | | | 97 | % |
| | | 24.40 | | | | | | 14.93 | | | | | | 57,945 | | | | | | 1.71 | (d) | | | | | 1.88 | (d) | | | | | (0.43 | )(d) | | | | | 97 | |
| | | 27.77 | | | | | | 15.57 | | | | | | 766,736 | | | | | | 0.56 | (d) | | | | | 0.73 | (d) | | | | | 0.70 | (d) | | | | | 97 | |
| | | 26.55 | | | | | | 15.31 | | | | | | 31,623 | | | | | | 1.06 | (d) | | | | | 1.22 | (d) | | | | | 0.10 | (d) | | | | | 97 | |
| | | 26.59 | | | | | | 15.49 | | | | | | 209,881 | | | | | | 0.71 | (d) | | | | | 0.87 | (d) | | | | | 0.49 | (d) | | | | | 97 | |
| | | 26.33 | | | | | | 15.20 | | | | | | 27,551 | | | | | | 1.21 | (d) | | | | | 1.38 | (d) | | | | | 0.07 | (d) | | | | | 97 | |
| | | 27.76 | | | | | | 15.57 | | | | | | 48,496 | | | | | | 0.54 | (d) | | | | | 0.70 | (d) | | | | | 0.59 | (d) | | | | | 97 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 23.44 | | | | | | 1.93 | | | | | | 254,036 | | | | | | 0.96 | | | | | | 1.15 | | | | | | 0.49 | | | | | | 254 | |
| | | 21.23 | | | | | | 1.18 | | | | | | 48,610 | | | | | | 1.71 | | | | | | 1.90 | | | | | | (0.25 | ) | | | | | 254 | |
| | | 24.21 | | | | | | 2.35 | | | | | | 448,961 | | | | | | 0.56 | | | | | | 0.75 | | | | | | 0.89 | | | | | | 254 | |
| | | 23.15 | | | | | | 1.82 | | | | | | 12,517 | | | | | | 1.06 | | | | | | 1.26 | | | | | | 0.34 | | | | | | 254 | |
| | | 23.19 | | | | | | 2.18 | | | | | | 48,133 | | | | | | 0.71 | | | | | | 0.90 | | | | | | 0.74 | | | | | | 254 | |
| | | 22.93 | | | | | | 1.66 | | | | | | 20,635 | | | | | | 1.21 | | | | | | 1.40 | | | | | | 0.22 | | | | | | 254 | |
| | | 24.21 | | | | | | 2.38 | | | | | | 8,208 | | | | | | 0.54 | | | | | | 0.74 | | | | | | 0.72 | | | | | | 254 | |
| | | 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 | | | | | | 13.18 | | | | | | 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 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 69 |
GOLDMAN SACHS LARGE CAP VALUE 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) | |
| | 2017 - A | | $ | 17.27 | | | $ | 0.09 | | | $ | 2.32 | | | $ | 2.41 | | | $ | (0.10 | ) |
| | 2017 - C | | | 17.12 | | | | 0.02 | | | | 2.31 | | | | 2.33 | | | | (0.04 | ) |
| | 2017 - Institutional | | | 17.25 | | | | 0.13 | | | | 2.33 | | | | 2.46 | | | | (0.14 | ) |
| | 2017 - Service | | | 17.34 | | | | 0.08 | | | | 2.34 | | | | 2.42 | | | | (0.10 | ) |
| | 2017 - IR | | | 17.22 | | | | 0.12 | | | | 2.31 | | | | 2.43 | | | | (0.13 | ) |
| | 2017 - R | | | 17.18 | | | | 0.07 | | | | 2.32 | | | | 2.39 | | | | (0.09 | ) |
| | 2017 - R6 | | | 17.25 | | | | 0.13 | | | | 2.32 | | | | 2.45 | | | | (0.14 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE FISCAL YEARS ENDED OCTOBER 31, | |
| | 2016 - A | | | 16.92 | | | | 0.23 | | | | 0.33 | | | | 0.56 | | | | (0.21 | ) |
| | 2016 - C | | | 16.78 | | | | 0.10 | | | | 0.33 | | | | 0.43 | | | | (0.09 | ) |
| | 2016 - Institutional | | | 16.91 | | | | 0.29 | | | | 0.32 | | | | 0.61 | | | | (0.27 | ) |
| | 2016 - Service | | | 16.99 | | | | 0.21 | | | | 0.33 | | | | 0.54 | | | | (0.19 | ) |
| | 2016 - IR | | | 16.88 | | | | 0.26 | | | | 0.33 | | | | 0.59 | | | | (0.25 | ) |
| | 2016 - R | | | 16.84 | | | | 0.18 | | | | 0.33 | | | | 0.51 | | | | (0.17 | ) |
| | 2016 - R6 | | | 16.90 | | | | 0.29 | | | | 0.34 | | | | 0.63 | | | | (0.28 | ) |
| | 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 | ) |
| | (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 impact of taxes to shareholder relating to 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. |
| | |
| 70 | | 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 19.58 | | | | | | 13.99 | % | | | | $ | 60,144 | | | | | | 0.96 | %(d) | | | | | 1.12 | %(d) | | | | | 1.00 | %(d) | | | | | 110 | % |
| | | 19.41 | | | | | | 13.58 | | | | | | 13,570 | | | | | | 1.71 | (d) | | | | | 1.87 | (d) | | | | | 0.25 | | | | | | 110 | |
| | | 19.57 | | | | | | 14.29 | | | | | | 326,179 | | | | | | 0.56 | (d) | | | | | 0.72 | (d) | | | | | 1.40 | | | | | | 110 | |
| | | 19.66 | | | | | | 13.94 | | | | | | 7,218 | | | | | | 1.06 | (d) | | | | | 1.22 | (d) | | | | | 0.89 | | | | | | 110 | |
| | | 19.52 | | | | | | 14.13 | | | | | | 24,374 | | | | | | 0.71 | (d) | | | | | 0.87 | (d) | | | | | 1.21 | | | | | | 110 | |
| | | 19.48 | | | | | | 13.90 | | | | | | 2,322 | | | | | | 1.21 | (d) | | | | | 1.37 | (d) | | | | | 0.74 | | | | | | 110 | |
| | | 19.56 | | | | | | 14.24 | | | | | | 12 | | | | | | 0.55 | (d) | | | | | 0.72 | (d) | | | | | 1.4 | | | | | | 110 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 17.27 | | | | | | 3.35 | | | | | | 60,942 | | | | | | 0.96 | | | | | | 1.15 | | | | | | 1.36 | | | | | | 229 | |
| | | 17.12 | | | | | | 2.56 | | | | | | 13,437 | | | | | | 1.71 | | | | | | 1.90 | | | | | | 0.61 | | | | | | 229 | |
| | | 17.25 | | | | | | 3.70 | | | | | | 341,830 | | | | | | 0.56 | | | | | | 0.75 | | | | | | 1.73 | | | | | | 229 | |
| | | 17.34 | | | | | | 3.22 | | | | | | 6,014 | | | | | | 1.06 | | | | | | 1.24 | | | | | | 1.27 | | | | | | 229 | |
| | | 17.22 | | | | | | 3.57 | | | | | | 9,947 | | | | | | 0.71 | | | | | | 0.90 | | | | | | 1.56 | | | | | | 229 | |
| | | 17.18 | | | | | | 3.08 | | | | | | 1,877 | | | | | | 1.21 | | | | | | 1.40 | | | | | | 1.07 | | | | | | 229 | |
| | | 17.25 | | | | | | 3.76 | | | | | | 10 | | | | | | 0.54 | | | | | | 0.74 | | | | | | 1.77 | | | | | | 229 | |
| | | 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 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 71 |
GOLDMAN SACHS SMALL CAP 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 (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) | |
| | 2017 - A | | $ | 19.73 | | | $ | 0.03 | | | $ | 3.32 | | | $ | 3.35 | | | $ | (0.06 | ) |
| | 2017 - C | | | 17.25 | | | | (0.05 | ) | | | 2.91 | | | | 2.86 | | | | — | |
| | 2017 - Institutional | | | 20.47 | | | | 0.08 | | | | 3.45 | | | | 3.53 | | | | (0.14 | ) |
| | 2017 - Service | | | 19.44 | | | | 0.02 | | | | 3.28 | | | | 3.30 | | | | (0.04 | ) |
| | 2017 - IR | | | 19.61 | | | | 0.08 | | | | 3.28 | | | | 3.36 | | | | (0.13 | ) |
| | 2017 - R | | | 19.36 | | | | — | | | | 3.27 | | | | 3.27 | | | | (0.03 | ) |
| | 2017 - R6 | | | 20.47 | | | | 0.06 | | | | 3.47 | | | | 3.53 | | | | (0.14 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE FISCAL YEARS ENDED OCTOBER 31, | |
| | 2016 - A | | | 19.10 | | | | 0.08 | | | | 0.58 | | | | 0.66 | | | | (0.03 | ) |
| | 2016 - C | | | 16.81 | | | | (0.05 | ) | | | 0.49 | | | | 0.44 | | | | — | |
| | 2016 - Institutional | | | 19.84 | | | | 0.17 | | | | 0.57 | | | | 0.74 | | | | (0.11 | ) |
| | 2016 - Service | | | 18.82 | | | | 0.06 | | | | 0.56 | | | | 0.62 | | | | — | |
| | 2016 - IR | | | 19.02 | | | | 0.09 | | | | 0.59 | | | | 0.68 | | | | (0.09 | ) |
| | 2016 - R | | | 18.78 | | | | 0.03 | | | | 0.55 | | | | 0.58 | | | | — | (e) |
| | 2016 - R6 | | | 19.84 | | | | 0.17 | | | | 0.58 | | | | 0.75 | | | | (0.12 | ) |
| | 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 | ) |
| | (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 impact of taxes to shareholder relating to 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. |
| | |
| 72 | | 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 23.02 | | | | | | 16.98 | % | | | | $ | 33,830 | | | | | | 1.24 | %(d) | | | | | 1.42 | %(d) | | | | | 0.29 | %(d) | | | | | 68 | % |
| | | 20.11 | | | | | | 16.52 | | | | | | 13,025 | | | | | | 1.99 | (d) | | | | | 2.17 | (d) | | | | | (0.46 | )(d) | | | | | 68 | |
| | | 23.86 | | | | | | 17.25 | | | | | | 212,742 | | | | | | 0.84 | (d) | | | | | 1.02 | (d) | | | | | 0.69 | (d) | | | | | 68 | |
| | | 22.70 | | | | | | 16.96 | | | | | | 484 | | | | | | 1.34 | (d) | | | | | 1.52 | (d) | | | | | 0.20 | (d) | | | | | 68 | |
| | | 22.84 | | | | | | 17.14 | | | | | | 2,513 | | | | | | 0.99 | (d) | | | | | 1.17 | (d) | | | | | 0.70 | (d) | | | | | 68 | |
| | | 22.60 | | | | | | 16.86 | | | | | | 12,116 | | | | | | 1.49 | (d) | | | | | 1.68 | (d) | | | | | 0.03 | (d) | | | | | 68 | |
| | | 23.86 | | | | | | 17.26 | | | | | | 143 | | | | | | 0.83 | (d) | | | | | 1.02 | (d) | | | | | 0.52 | (d) | | | | | 68 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 19.73 | | | | | | 3.44 | | | | | | 31,733 | | | | | | 1.25 | | | | | | 1.49 | | | | | | 0.43 | | | | | | 144 | |
| | | 17.25 | | | | | | 2.61 | | | | | | 12,133 | | | | | | 2.00 | | | | | | 2.24 | | | | | | (0.32 | ) | | | | | 144 | |
| | | 20.47 | | | | | | 3.77 | | | | | | 176,644 | | | | | | 0.85 | | | | | | 1.08 | | | | | | 0.84 | | | | | | 144 | |
| | | 19.44 | | | | | | 3.29 | | | | | | 651 | | | | | | 1.35 | | | | | | 1.59 | | | | | | 0.31 | | | | | | 144 | |
| | | 19.61 | | | | | | 3.63 | | | | | | 7,462 | | | | | | 0.99 | | | | | | 1.22 | | | | | | 0.45 | | | | | | 144 | |
| | | 19.36 | | | | | | 3.11 | | | | | | 9,954 | | | | | | 1.50 | | | | | | 1.74 | | | | | | 0.18 | | | | | | 144 | |
| | | 20.47 | | | | | | 3.81 | | | | | | 35 | | | | | | 0.83 | | | | | | 1.06 | | | | | | 0.85 | | | | | | 144 | |
| | | 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 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 73 |
GOLDMAN SACHS SMALL CAP GROWTH 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) | |
| | 2017 - A | | $ | 28.34 | | | $ | (0.01 | ) | | $ | 4.99 | | | $ | 4.98 | | | $ | — | | | $ | — | | | $ | — | |
| | 2017 - C | | | 22.64 | | | | (0.11 | ) | | | 4.00 | | | | 3.89 | | | | — | | | | — | | | | — | |
| | 2017 - Institutional | | | 32.76 | | | | 0.05 | | | | 5.79 | | | | 5.84 | | | | (0.07 | ) | | | — | | | | (0.07 | ) |
| | 2017 - IR | | | 28.93 | | | | 0.02 | | | | 5.11 | | | | 5.13 | | | | (0.06 | ) | | | — | | | | (0.06 | ) |
| | 2017 - R | | | 27.49 | | | | (0.06 | ) | | | 4.86 | | | | 4.80 | | | | — | | | | — | | | | — | |
| | 2017 - R6 | | | 32.78 | | | | 0.05 | | | | 5.79 | | | | 5.84 | | | | (0.08 | ) | | | — | | | | (0.08 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE FISCAL YEARS ENDED OCTOBER 31, | |
| | 2016 - A | | | 31.15 | | | | — | (e) | | | (0.12 | )(f) | | | (0.12 | ) | | | — | | | | (2.69 | ) | | | (2.69 | ) |
| | 2016 - C | | | 25.61 | | | | (0.16 | ) | | | (0.12 | )(f) | | | (0.28 | ) | | | — | | | | (2.69 | ) | | | (2.69 | ) |
| | 2016 - Institutional | | | 35.46 | | | | 0.13 | | | | (0.14 | )(f) | | | (0.01 | ) | | | — | | | | (2.69 | ) | | | (2.69 | ) |
| | 2016 - IR | | | 31.68 | | | | 0.01 | | | | (0.07 | )(f) | | | (0.06 | ) | | | — | | | | (2.69 | ) | | | (2.69 | ) |
| | 2016 - R | | | 30.37 | | | | (0.06 | ) | | | (0.13 | )(f) | | | (0.19 | ) | | | — | | | | (2.69 | ) | | | (2.69 | ) |
| | 2016 - R6 | | | 35.46 | | | | 0.13 | | | | (0.12 | )(f) | | | 0.01 | | | | — | | | | (2.69 | ) | | | (2.69 | ) |
| | 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 | (g) | | | 7.70 | | | | 7.88 | | | | (0.18 | ) | | | — | | | | (0.18 | ) |
| | 2013 - C | | | 20.09 | | | | (0.03 | )(g) | | | 6.63 | | | | 6.60 | | | | (0.05 | ) | | | — | | | | (0.05 | ) |
| | 2013 - Institutional | | | 26.01 | | | | 0.29 | (g) | | | 8.57 | | | | 8.86 | | | | (0.28 | ) | | | — | | | | (0.28 | ) |
| | 2013 - IR | | | 23.64 | | | | 0.18 | (g) | | | 7.83 | | | | 8.01 | | | | (0.24 | ) | | | — | | | | (0.24 | ) |
| | 2013 - R | | | 23.08 | | | | — | (g)(e) | | | 7.68 | | | | 7.68 | | | | (0.20 | ) | | | — | | | | (0.20 | ) |
| | 2012 - A | | | 21.22 | | | | 0.04 | (h) | | | 2.14 | (i) | | | 2.18 | | | | — | | | | — | | | | — | |
| | 2012 - C | | | 18.35 | | | | (0.11 | )(h) | | | 1.85 | (i) | | | 1.74 | | | | — | | | | — | | | | — | |
| | 2012 - Institutional | | | 23.49 | | | | 0.15 | (h) | | | 2.37 | (i) | | | 2.52 | | | | — | | | | — | | | | — | |
| | 2012 - IR | | | 21.39 | | | | 0.03 | (h) | | | 2.22 | (i) | | | 2.25 | | | | — | | | | — | | | | — | |
| | 2012 - R | | | 20.98 | | | | (0.01 | )(h) | | | 2.11 | (i) | | | 2.10 | | | | — | | | | — | | | | — | |
| | (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 impact of taxes to shareholder relating to 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) | | The amount shown for a share outstanding does not correspond with the aggregate net gain on investments for during the period due to the timing of sales and redemptions of Fund shares in relation to the fluctuating market values of the investments of the Fund. |
| | (g) | | Reflects income recognized from special dividends which amounted to $0.17 per share and 0.65% of average net assets. |
| | (h) | | Reflects income recognized from special dividends which amounted to $0.11 per share and 0.51% of average net assets. |
| | (i) | | 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. |
| | |
| 74 | | 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 33.32 | | | | | | 17.57 | % | | | | $ | 59,954 | | | | | | 1.23 | %(d) | | | | | 1.40 | %(d) | | | | | (0.09 | )%(d) | | | | | 58 | % |
| | | 26.53 | | | | | | 17.18 | | | | | | 9,000 | | | | | | 1.98 | (d) | | | | | 2.15 | (d) | | | | | (0.85 | )(d) | | | | | 58 | |
| | | 38.53 | | | | | | 17.84 | | | | | | 148,784 | | | | | | 0.85 | (d) | | | | | 1.00 | (d) | | | | | 0.26 | (d) | | | | | 58 | |
| | | 34.00 | | | | | | 17.75 | | | | | | 130,056 | | | | | | 0.98 | (d) | | | | | 1.15 | (d) | | | | | 0.13 | (d) | | | | | 58 | |
| | | 32.29 | | | | | | 17.46 | | | | | | 5,896 | | | | | | 1.48 | (d) | | | | | 1.65 | (d) | | | | | (0.36 | )(d) | | | | | 58 | |
| | | 38.54 | | | | | | 17.82 | | | | | | 26,143 | | | | | | 0.83 | (d) | | | | | 0.98 | (d) | | | | | 0.30 | (d) | | | | | 58 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 28.34 | | | | | | (0.37 | ) | | | | | 65,195 | | | | | | 1.25 | | | | | | 1.51 | | | | | | — | | | | | | 139 | |
| | | 22.64 | | | | | | (1.14 | ) | | | | | 7,420 | | | | | | 2.00 | | | | | | 2.26 | | | | | | (0.74 | ) | | | | | 139 | |
| | | 32.76 | | | | | | 0.01 | | | | | | 91,248 | | | | | | 0.85 | | | | | | 1.11 | | | | | | 0.40 | | | | | | 139 | |
| | | 28.93 | | | | | | (0.15 | ) | | | | | 47,826 | | | | | | 1.00 | | | | | | 1.23 | | | | | | 0.04 | | | | | | 139 | |
| | | 27.49 | | | | | | (0.63 | ) | | | | | 3,689 | | | | | | 1.50 | | | | | | 1.76 | | | | | | (0.21 | ) | | | | | 139 | |
| | | 32.78 | | | | | | 0.07 | | | | | | 6,667 | | | | | | 0.83 | | | | | | 1.06 | | | | | | 0.40 | | | | | | 139 | |
| | | 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 | (g) | | | | | 163 | |
| | | 26.64 | | | | | | 32.92 | | | | | | 7,402 | | | | | | 2.05 | | | | | | 2.68 | | | | | | (0.12 | )(g) | | | | | 163 | |
| | | 34.59 | | | | | | 34.48 | | | | | | 14,171 | | | | | | 0.90 | | | | | | 1.53 | | | | | | 0.96 | (g) | | | | | 163 | |
| | | 31.41 | | | | | | 34.25 | | | | | | 639 | | | | | | 1.05 | | | | | | 1.71 | | | | | | 0.62 | (g) | | | | | 163 | |
| | | 30.56 | | | | | | 33.60 | | | | | | 209 | | | | | | 1.55 | | | | | | 2.18 | | | | | | (0.01 | )(g) | | | | | 163 | |
| | | 23.40 | | | | | | 10.24 | (i) | | | | | 25,662 | | | | | | 1.25 | | | | | | 1.96 | | | | | | 0.16 | (h) | | | | | 116 | |
| | | 20.09 | | | | | | 9.46 | (i) | | | | | 5,247 | | | | | | 2.00 | | | | | | 2.71 | | | | | | (0.59 | )(h) | | | | | 116 | |
| | | 26.01 | | | | | | 10.70 | (i) | | | | | 7,733 | | | | | | 0.85 | | | | | | 1.55 | | | | | | 0.57 | (h) | | | | | 116 | |
| | | 23.64 | | | | | | 10.49 | (i) | | | | | 176 | | | | | | 1.00 | | | | | | 1.70 | | | | | | 0.12 | (h) | | | | | 116 | |
| | | 23.08 | | | | | | 9.98 | (i) | | | | | 30 | | | | | | 1.50 | | | | | | 2.20 | | | | | | (0.08 | )(h) | | | | | 116 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 75 |
GOLDMAN SACHS SMALL CAP VALUE 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) | |
| | 2017 - A | | $ | 38.86 | | | $ | 0.14 | | | $ | 6.86 | | | $ | 7.00 | | | $ | (0.25 | ) | | $ | (1.59 | ) | | $ | (1.84 | ) |
| | 2017 - C | | | 29.53 | | | | (0.02 | ) | | | 5.22 | | | | 5.20 | | | | (0.07 | ) | | | (1.59 | ) | | | (1.66 | ) |
| | 2017 - Institutional | | | 49.35 | | | | 0.28 | | | | 8.72 | | | | 9.00 | | | | (0.41 | ) | | | (1.59 | ) | | | (2.00 | ) |
| | 2017 - IR | | | 38.78 | | | | 0.17 | | | | 6.87 | | | | 7.04 | | | | (0.38 | ) | | | (1.59 | ) | | | (1.97 | ) |
| | 2017 - R | | | 38.32 | | | | 0.08 | | | | 6.77 | | | | 6.85 | | | | (0.19 | ) | | | (1.59 | ) | | | (1.78 | ) |
| | 2017 - R6 | | | 49.35 | | | | 0.25 | | | | 8.74 | | | | 8.99 | | | | (0.40 | ) | | | (1.59 | ) | | | (1.99 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE FISCAL YEARS ENDED OCTOBER 31, | |
| | 2016 - A | | | 38.37 | | | | 0.28 | | | | 2.55 | | | | 2.83 | | | | (0.29 | ) | | | (2.05 | ) | | | (2.34 | ) |
| | 2016 - C | | | 29.75 | | | | 0.01 | | | | 1.92 | | | | 1.93 | | | | (0.10 | ) | | | (2.05 | ) | | | (2.15 | ) |
| | 2016 - Institutional | | | 48.06 | | | | 0.55 | | | | 3.23 | | | | 3.78 | | | | (0.44 | ) | | | (2.05 | ) | | | (2.49 | ) |
| | 2016 - IR | | | 38.31 | | | | 0.37 | | | | 2.54 | | | | 2.91 | | | | (0.39 | ) | | | (2.05 | ) | | | (2.44 | ) |
| | 2016 - R | | | 37.99 | | | | 0.20 | | | | 2.50 | | | | 2.70 | | | | (0.32 | ) | | | (2.05 | ) | | | (2.37 | ) |
| | 2016 - R6 | | | 48.07 | | | | 0.55 | | | | 3.23 | | | | 3.78 | | | | (0.45 | ) | | | (2.05 | ) | | | (2.50 | ) |
| | 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 | (f) | | | 7.12 | | | | 7.54 | | | | (0.32 | ) | | | — | | | | (0.32 | ) |
| | 2013 - C | | | 22.62 | | | | 0.15 | (f) | | | 5.60 | | | | 5.75 | | | | (0.17 | ) | | | — | | | | (0.17 | ) |
| | 2013 - Institutional | | | 35.67 | | | | 0.69 | (f) | | | 8.84 | | | | 9.53 | | | | (0.44 | ) | | | — | | | | (0.44 | ) |
| | 2013 - IR | | | 28.75 | | | | 0.49 | (f) | | | 7.11 | | | | 7.60 | | | | (0.43 | ) | | | — | | | | (0.43 | ) |
| | 2013 - R | | | 28.54 | | | | 0.31 | (f) | | | 7.09 | | | | 7.40 | | | | (0.32 | ) | | | — | | | | (0.32 | ) |
| | 2012 - A | | | 26.36 | | | | 0.22 | (g) | | | 2.31 | (h) | | | 2.53 | | | | (0.14 | ) | | | — | | | | (0.14 | ) |
| | 2012 - C | | | 20.79 | | | | — | (g)(e) | | | 1.83 | (h) | | | 1.83 | | | | — | | | | — | | | | — | |
| | 2012 - Institutional | | | 32.66 | | | | 0.47 | (g) | | | 2.79 | (h) | | | 3.26 | | | | (0.25 | ) | | | — | | | | (0.25 | ) |
| | 2012 - IR | | | 26.40 | | | | 0.31 | (g) | | | 2.28 | (h) | | | 2.59 | | | | (0.24 | ) | | | — | | | | (0.24 | ) |
| | 2012 - R | | | 26.21 | | | | 0.15 | (g) | | | 2.30 | (h) | | | 2.45 | | | | (0.12 | ) | | | — | | | | (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 impact of taxes to shareholder relating to 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 $0.20 per share and 0.65% of average net assets. |
| | (g) | | Reflects income recognized from special dividends which amounted to $0.09 per share and 0.33% of average net assets. |
| | (h) | | 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. |
| | |
| 76 | | 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 44.02 | | | | | | 17.90 | % | | | | $ | 103,761 | | | | | | 1.24 | %(d) | | | | | 1.47 | %(d) | | | | | 0.65 | %(d) | | | | | 61 | % |
| | | 33.07 | | | | | | 17.47 | | | | | | 17,977 | | | | | | 1.99 | (d) | | | | | 2.22 | (d) | | | | | (0.11 | )(d) | | | | | 61 | |
| | | 56.35 | | | | | | 18.14 | | | | | | 59,326 | | | | | | 0.84 | (d) | | | | | 1.06 | (d) | | | | | 1.01 | (d) | | | | | 61 | |
| | | 43.85 | | | | | | 18.05 | | | | | | 5,393 | | | | | | 0.99 | (d) | | | | | 1.21 | (d) | | | | | 0.79 | (d) | | | | | 61 | |
| | | 43.39 | | | | | | 17.75 | | | | | | 7,590 | | | | | | 1.49 | (d) | | | | | 1.72 | (d) | | | | | 0.38 | (d) | | | | | 61 | |
| | | 56.35 | | | | | | 18.13 | | | | | | 62 | | | | | | 0.83 | (d) | | | | | 1.05 | (d) | | | | | 0.91 | (d) | | | | | 61 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 38.86 | | | | | | 7.99 | | | | | | 91,210 | | | | | | 1.25 | | | | | | 1.54 | | | | | | 0.78 | | | | | | 129 | |
| | | 29.53 | | | | | | 7.15 | | | | | | 15,224 | | | | | | 2.00 | | | | | | 2.29 | | | | | | 0.03 | | | | | | 129 | |
| | | 49.35 | | | | | | 8.41 | | | | | | 21,717 | | | | | | 0.85 | | | | | | 1.14 | | | | | | 1.19 | | | | | | 129 | |
| | | 38.78 | | | | | | 8.26 | | | | | | 1,925 | | | | | | 1.00 | | | | | | 1.29 | | | | | | 1.02 | | | | | | 129 | |
| | | 38.32 | | | | | | 7.72 | | | | | | 5,762 | | | | | | 1.50 | | | | | | 1.79 | | | | | | 0.55 | | | | | | 129 | |
| | | 49.35 | | | | | | 8.41 | | | | | | 11 | | | | | | 0.84 | | | | | | 1.14 | | | | | | 1.18 | | | | | | 129 | |
| | | 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 | (f) | | | | | 141 | |
| | | 28.20 | | | | | | 25.63 | | | | | | 19,416 | | | | | | 2.00 | | | | | | 2.29 | | | | | | 0.58 | (f) | | | | | 141 | |
| | | 44.76 | | | | | | 27.05 | | | | | | 12,204 | | | | | | 0.86 | | | | | | 1.13 | | | | | | 1.74 | (f) | | | | | 141 | |
| | | 35.92 | | | | | | 26.91 | | | | | | 1,310 | | | | | | 1.01 | | | | | | 1.29 | | | | | | 1.53 | (f) | | | | | 141 | |
| | | 35.62 | | | | | | 26.21 | | | | | | 1,154 | | | | | | 1.51 | | | | | | 1.79 | | | | | | 0.96 | (f) | | | | | 141 | |
| | | 28.75 | | | | | | 9.60 | (h) | | | | | 87,084 | | | | | | 1.25 | | | | | | 1.52 | | | | | | 0.79 | (g) | | | | | 85 | |
| | | 22.62 | | | | | | 8.78 | (h) | | | | | 17,808 | | | | | | 2.00 | | | | | | 2.27 | | | | | | 0.04 | (g) | | | | | 85 | |
| | | 35.67 | | | | | | 10.02 | (h) | | | | | 12,310 | | | | | | 0.85 | | | | | | 1.11 | | | | | | 1.30 | (g) | | | | | 85 | |
| | | 28.75 | | | | | | 9.82 | (h) | | | | | 455 | | | | | | 1.00 | | | | | | 1.26 | | | | | | 1.11 | (g) | | | | | 85 | |
| | | 28.54 | | | | | | 9.35 | (h) | | | | | 699 | | | | | | 1.50 | | | | | | 1.75 | | | | | | 0.52 | (g) | | | | | 85 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 77 |
GOLDMAN SACHS U.S. 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(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) | |
| | 2017 - A | | $ | 40.76 | | | $ | 0.17 | | | $ | 5.76 | | | $ | 5.93 | | | $ | (0.31 | ) | | $ | (1.38 | ) | | $ | (1.69 | ) |
| | 2017 - C | | | 37.10 | | | | 0.01 | | | | 5.23 | | | | 5.24 | | | | (0.02 | ) | | | (1.38 | ) | | | (1.40 | ) |
| | 2017 - Institutional | | | 41.92 | | | | 0.26 | | | | 5.92 | | | | 6.18 | | | | (0.48 | ) | | | (1.38 | ) | | | (1.86 | ) |
| | 2017 - Service | | | 40.60 | | | | 0.15 | | | | 5.73 | | | | 5.88 | | | | (0.32 | ) | | | (1.38 | ) | | | (1.70 | ) |
| | 2017 - IR | | | 40.39 | | | | 0.22 | | | | 5.70 | | | | 5.92 | | | | (0.45 | ) | | | (1.38 | ) | | | (1.83 | ) |
| | 2017 - R | | | 40.12 | | | | 0.11 | | | | 5.67 | | | | 5.78 | | | | (0.23 | ) | | | (1.38 | ) | | | (1.61 | ) |
| | 2017 - R6 | | | 41.91 | | | | 0.20 | | | | 5.98 | | | | 6.18 | | | | (0.49 | ) | | | (1.38 | ) | | | (1.87 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE FISCAL YEARS ENDED OCTOBER 31, | |
| | 2016 - A | | | 41.46 | | | | 0.38 | | | | 0.49 | | | | 0.87 | | | | (0.38 | ) | | | (1.19 | ) | | | (1.57 | ) |
| | 2016 - C | | | 37.88 | | | | 0.08 | | | | 0.44 | | | | 0.52 | | | | (0.11 | ) | | | (1.19 | ) | | | (1.30 | ) |
| | 2016 - Institutional | | | 42.60 | | | | 0.54 | | | | 0.52 | | | | 1.06 | | | | (0.55 | ) | | | (1.19 | ) | | | (1.74 | ) |
| | 2016 - Service | | | 41.37 | | | | 0.33 | | | | 0.50 | | | | 0.83 | | | | (0.41 | ) | | | (1.19 | ) | | | (1.60 | ) |
| | 2016 - IR | | | 41.13 | | | | 0.45 | | | | 0.50 | | | | 0.95 | | | | (0.50 | ) | | | (1.19 | ) | | | (1.69 | ) |
| | 2016 - R | | | 40.91 | | | | 0.27 | | | | 0.49 | | | | 0.76 | | | | (0.36 | ) | | | (1.19 | ) | | | (1.55 | ) |
| | 2016 - R6 | | | 42.60 | | | | 0.56 | | | | 0.50 | | | | 1.06 | | | | (0.56 | ) | | | (1.19 | ) | | | (1.75 | ) |
| | 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 | ) |
| | (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 impact of taxes to shareholder relating to 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 $0.06 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. |
| | |
| 78 | | 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 45.00 | | | | | | 14.80 | % | | | | $ | 264,399 | | | | | | 0.96 | %(d) | | | | | 1.16 | %(d) | | | | | 0.79 | %(d) | | | | | 102 | % |
| | | 40.94 | | | | | | 14.36 | | | | | | 33,348 | | | | | | 1.71 | (d) | | | | | 1.91 | (d) | | | | | 0.04 | (d) | | | | | 102 | |
| | | 46.24 | | | | | | 15.03 | | | | | | 221,195 | | | | | | 0.56 | (d) | | | | | 0.76 | (d) | | | | | 1.17 | (d) | | | | | 102 | |
| | | 44.78 | | | | | | 14.75 | | | | | | 5,313 | | | | | | 1.06 | (d) | | | | | 1.26 | (d) | | | | | 0.69 | (d) | | | | | 102 | |
| | | 44.48 | | | | | | 14.94 | | | | | | 32,598 | | | | | | 0.71 | (d) | | | | | 0.91 | (d) | | | | | 1.03 | (d) | | | | | 102 | |
| | | 44.29 | | | | | | 14.64 | | | | | | 33,151 | | | | | | 1.21 | (d) | | | | | 1.41 | (d) | | | | | 0.54 | (d) | | | | | 102 | |
| | | 46.22 | | | | | | 15.04 | | | | | | 2,402 | | | | | | 0.54 | (d) | | | | | 0.74 | (d) | | | | | 0.87 | (d) | | | | | 102 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 40.76 | | | | | | 2.25 | | | | | | 251,466 | | | | | | 0.96 | | | | | | 1.18 | | | | | | 0.96 | | | | | | 213 | |
| | | 37.10 | | | | | | 1.48 | | | | | | 31,377 | | | | | | 1.71 | | | | | | 1.93 | | | | | | 0.21 | | | | | | 213 | |
| | | 41.92 | | | | | | 2.66 | | | | | | 177,412 | | | | | | 0.56 | | | | | | 0.78 | | | | | | 1.33 | | | | | | 213 | |
| | | 40.60 | | | | | | 2.15 | | | | | | 5,473 | | | | | | 1.06 | | | | | | 1.28 | | | | | | 0.83 | | | | | | 213 | |
| | | 40.39 | | | | | | 2.48 | | | | | | 18,322 | | | | | | 0.71 | | | | | | 0.93 | | | | | | 1.13 | | | | | | 213 | |
| | | 40.12 | | | | | | 1.99 | | | | | | 30,341 | | | | | | 1.21 | | | | | | 1.43 | | | | | | 0.70 | | | | | | 213 | |
| | | 41.91 | | | | | | 2.66 | | | | | | 60 | | | | | | 0.55 | | | | | | 0.77 | | | | | | 1.36 | | | | | | 213 | |
| | | 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 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 79 |
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Notes to Financial Statements
April 30, 2017 (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. LLC (formerly 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, dividend income, net of any foreign withholding taxes, less any amounts reclaimable, and securities lending income. 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’ investment 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.
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,
80
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
|
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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, if any, 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 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.
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.
81
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
April 30, 2017 (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.
Money Market Funds — Investments in the Goldman Sachs Financial Square Money Market Fund (“Underlying Fund”) are valued at the NAV of the 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. A 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. 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 — As of the date of the financial statements, short-term investments having a maturity of 60 days or less are valued using available market quotations as provided by a third party pricing vendor or broker. These investments are classified as Level 2 of the fair value hierarchy.
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GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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.
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, 2017:
| | | | | | | | | | | | |
|
| LARGE CAP GROWTH INSIGHTS | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
Europe | | $ | 22,049,179 | | | $ | — | | | $ | — | |
North America | | | 1,360,718,097 | | | | — | | | | — | |
Investment Company | | | 26,700,716 | | | | — | | | | — | |
| Total | | $ | 1,409,467,992 | | | $ | — | | | $ | — | |
| | | |
| Derivative Type | | | | | | | | | |
| Assets(b) | | | | | | | | | | | | |
Futures Contracts | | $ | 77,691 | | | $ | — | | | $ | — | |
| | | |
| LARGE CAP VALUE INSIGHTS | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
Europe | | $ | 732,828 | | | $ | — | | | $ | — | |
North America | | | 421,792,021 | | | | — | | | | — | |
Investment Company | | | 4,279,336 | | | | — | | | | — | |
| Total | | $ | 426,804,185 | | | $ | — | | | $ | — | |
| | | |
| Derivative Type | | | | | | | | | |
| Assets(b) | | | | | | | | | | | | |
Futures Contracts | | $ | 654 | | | $ | — | | | $ | — | |
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GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| | | | | | | | | | | | |
| | | |
| SMALL CAP EQUITY INSIGHTS | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
Europe | | $ | 5,551,077 | | | $ | — | | | $ | — | |
North America | | | 261,482,531 | | | | — | | | | — | |
Investment Company | | | 1,761,506 | | | | — | | | | — | |
Securities Lending Reinvestment Vehicle | | | 2,685,876 | | | | — | | | | — | |
| Total | | $ | 271,480,990 | | | $ | — | | | $ | — | |
| | | |
| Derivative Type | | | | | | | | | |
| Assets(b) | | | | | | | | | | | | |
Futures Contracts | | $ | 149 | | | $ | — | | | $ | — | |
| | | |
| SMALL CAP GROWTH INSIGHTS | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
Europe | | $ | 6,160,235 | | | $ | — | | | $ | 45,262 | |
North America | | | 362,556,041 | | | | — | | | | — | |
Investment Company | | | 10,081,286 | | | | — | | | | — | |
Securities Lending Reinvestment Vehicle | | | 3,688,055 | | | | — | | | | — | |
| Total | | $ | 382,485,617 | | | $ | — | | | $ | 45,262 | |
| | | |
| Derivative Type | | | | | | | | | |
| Liabilities(b) | | | | | | | | | | | | |
Futures Contracts | | $ | (14,957 | ) | | $ | — | | | $ | — | |
| | | |
| SMALL CAP VALUE INSIGHTS | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
Europe | | $ | 4,317,461 | | | $ | — | | | $ | — | |
North America | | | 185,156,130 | | | | — | | | | — | |
Investment Company | | | 1,483,191 | | | | — | | | | — | |
Securities Lending Reinvestment Vehicle | | | 2,613,525 | | | | — | | | | — | |
| Total | | $ | 193,570,307 | | | $ | — | | | $ | — | |
| | | |
| Derivative Type | | | | | | | | | |
| Assets(b) | | | | | | | | | | | | |
Futures Contracts | | $ | 156,641 | | | $ | — | | | $ | — | |
84
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| | | | | | | | | | | | |
| | | |
| U.S. EQUITY INSIGHTS | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
Europe | | $ | 7,699,098 | | | $ | — | | | $ | — | |
North America | | | 570,867,782 | | | | — | | | | — | |
Investment Company | | | 5,436,576 | | | | — | | | | — | |
| Total | | $ | 584,003,456 | | | $ | — | | | $ | — | |
| | | |
| Derivative Type | | | | | | | | | |
| Assets(b) | | | | | | | | | | | | |
Futures Contracts | | $ | 12,114 | | | $ | — | | | $ | — | |
| (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. 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. |
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, 2017. 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) | | | Liabilities(a) | |
Equity | | Large Cap Growth Insights | | Variation Margin on Certain Derivatives Contracts | | $ | 77,691 | | | $ | — | |
Equity | | Large Cap Value Insights | | Variation Margin on Certain Derivatives Contracts | | | 654 | | | | — | |
Equity | | Small Cap Equity Insights | | Variation Margin on Certain Derivatives Contracts | | | 149 | | | | | |
Equity | | Small Cap Growth Insights | | Variation Margin on Certain Derivatives Contracts | | | — | | | | (14,957 | ) |
Equity | | Small Cap Value Insights | | Variation Margin on Certain Derivatives Contracts | | | 156,641 | | | | — | |
Equity | | U.S. Equity Insights | | Variation Margin on Certain Derivatives Contracts | | | 12,114 | | | | — | |
| (a) | | Includes unrealized gain (loss) on futures described in the Additional Investment Information sections of the Schedules of Investments. Only the variation margin as of April 30, 2017 is reported within the Statements of Assets and Liabilities. |
85
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 4. INVESTMENTS IN DERIVATIVES (continued) |
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, 2017. 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) from Futures Contracts” or “Net change in unrealized gain (loss) on Futures Contracts” on the Statements of Operations:
| | | | | | | | | | | | | | | | |
| Risk | | | | Fund | | Net Realized
Gain (Loss) from
Futures Contracts | | | Net Change in
Unrealized
Gain (Loss) on
Futures Contracts | | | Average
Number of
Contracts(a) | |
| Equity | | | | Large Cap Growth Insights | | $ | 2,410,722 | | | $ | 85,557 | | | | 202 | |
| Equity | | | | Large Cap Value Insights | | | 891,146 | | | | 138,432 | | | | 65 | |
| Equity | | | | Small Cap Equity Insights | | | 473,484 | | | | 222,655 | | | | 50 | |
| Equity | | | | Small Cap Growth Insights | | | 487,894 | | | | 44,976 | | | | 119 | |
| Equity | | | | Small Cap Value Insights | | | 207,036 | | | | 197,241 | | | | 47 | |
| Equity | | | | U.S. Equity Insights | | | 373,247 | | | | 156,971 | | | | 61 | |
| (a) | | Average number of contracts is based on the average of month end balances for the six months ended April 30, 2017. |
In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivatives counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives (including forward foreign currency exchange contracts, and certain options and swaps), and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
Collateral and margin requirements differ between exchange traded derivatives and OTC derivatives. Margin requirements are established by the broker or clearing house for exchange-traded and centrally cleared derivatives (financial futures contracts, options and centrally cleared swaps) pursuant to governing agreements for those instrument types. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract-specific for OTC derivatives. For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty. Additionally, a Fund may be required to post initial margin to the counterparty, the terms of which would be outlined in the confirmation of the OTC transaction.
For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as receivables/payables for collateral on certain derivative contracts. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. A Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that the Investment Adviser believes to be of good standing and by monitoring the financial stability of those counterparties.
Additionally, the netting of assets and liabilities and the offsetting of collateral pledged or received are based on contractual netting/set-off provisions in the ISDA Master Agreement or similar agreements. However, in the event of a default or insolvency of a counterparty, a court could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of setoff that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws.
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GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
|
| 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, 2017, 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 | % | | | 0.64 | % | | | 0.51 | % |
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 | % | | | 0.80 | % |
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 | % | | | 0.80 | % |
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 fees in order to achieve effective net management fee rates, as defined in the Funds’ prospectus. These arrangements will remain in effect through at least February 28, 2018, and prior to such date GSAM may not terminate the arrangements without the approval of the Board of Trustees. These management fee waivers may be modified or terminated by GSAM at its discretion and without shareholder approval after such date, although GSAM does not presently intend to do so. The Effective Net Management Rates above are calculated based on management rates before and after waivers had been adjusted, if applicable. |
The Funds invest in Institutional Shares of the 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 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, 2017, the management fee waived by GSAM for each Fund was as follows:
| | | | | | |
| Fund | | | | Management
Fee Waived | |
Large Cap Growth Insights Fund | | | | $ | 662,719 | |
Large Cap Value Insights Fund | | | | | 185,863 | |
Small Cap Equity Insights Fund | | | | | 68,665 | |
Small Cap Growth Insights Fund | | | | | 65,674 | |
Small Cap Value Insights Fund | | | | | 47,845 | |
U.S. Equity Insights Fund | | | | | 362,653 | |
B. Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A and Class R Shares of the each applicable Fund, has adopted Distribution and Service Plans subject to Rule 12b-1 under the Act. Under the Distribution and Service 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. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class A or Class R Shares of the Funds, as applicable.
87
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
The Trust, on behalf of Class C Shares of each applicable Fund, has adopted a Distribution Plan subject to Rule 12b-1 under the Act. Under the Distribution Plan, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class C Shares of the Funds.
The Trust, on behalf of Services Shares of each applicable Fund, has adopted a Service Plan subject to Rule 12b-1 under the Act to allow Service Shares to compensate service organizations (including Goldman Sachs) for providing personal account maintenance to their customers who are beneficial owners of such shares. The Service Plan provides for compensation to the service organizations equal to an annual percentage rate of the average daily net assets attributable to Services Shares of the Funds.
| | | | | | | | | | | | | | | | |
| | | Distribution and Service Plan Rates | |
| | | Class A* | | | Class C | | | Class R* | | | Service | |
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, 2017, 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 | | | | $ | 26,270 | | | $ | — | |
Large Cap Value Insights | | | | | 1,790 | | | | 379 | |
Small Cap Equity Insights | | | | | 1,589 | | | | 288 | |
Small Cap Growth Insights | | | | | 5,870 | | | | — | |
Small Cap Value Insights | | | | | 5,719 | | | | 2 | |
U.S. Equity Insights | | | | | 5,323 | | | | 406 | |
D. Service and/or Shareholder Administration Plans — The Trust, on behalf of each applicable Fund, has adopted Service and/or Shareholder Administration Plans to allow Class C and Service Shares, respectively, to compensate service organizations (including Goldman Sachs) for providing varying levels of personal and account maintenance and/or shareholder administration services to their customers who are beneficial owners of such shares. The Service and/or Shareholder Administration Plans each provide for compensation to the service organization equal to an annual percentage rate of 0.25% of the average daily net assets attributable to Class C or Service Shares of the Funds, respectively.
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.
Effective February 28, 2017, Goldman Sachs has agreed to waive a portion of its transfer agency fee equal to 0.04% as an annual percentage rate of the average daily net assets attributable to Class A, Class C, Class IR and Class R Shares of the Goldman Sachs Small Cap Growth Insights Fund. This arrangement will remain in effect through at least February 28, 2018, and prior to such date, Goldman Sachs may not terminate the arrangement without the approval of the Board of Trustees.
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GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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/or 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 are 0.004%. These Other Expense limitations will remain in place through at least February 28, 2018, 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, 2017, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
| | | | | | | | | | | | | | | | | | |
| Fund | | | | Management
Fee Waiver | | | TA Waivers | | | Other
Expense
Reimbursements | | | Total
Expense
Reductions | |
Large Cap Growth Insights | | | | $ | 684,051 | | | $ | — | | | $ | 209,334 | | | $ | 893,385 | |
Large Cap Value Insights | | | | | 190,219 | | | | — | | | | 173,050 | | | | 363,269 | |
Small Cap Equity Insights | | | | | 68,665 | | | | — | | | | 174,876 | | | | 243,541 | |
Small Cap Growth Insights | | | | | 65,674 | | | | 13,147 | | | | 162,337 | | | | 241,158 | |
Small Cap Value Insights | | | | | 47,845 | | | | — | | | | 155,966 | | | | 203,811 | |
U.S. Equity Insights | | | | | 362,653 | | | | — | | | | 188,913 | | | | 551,566 | |
G. Line of Credit Facility — As of April 30, 2017, the Funds participated in a $1,100,000,000 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. 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, 2017, the Funds did not have any borrowings under the facility. The facility was renewed in the amount of $1,100,000,000 effective May 2, 2017.
H. Other Transactions with Affiliates — For the six months ended April 30, 2017, Goldman Sachs earned $2,656, $390, $972, $942, $470 and $486 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, 2017, the following Fund of Funds Portfolios were the beneficial owners of 5% or more of total outstanding shares of the following Fund:
| | | | | | | | | | | | | | | | | | | | | | |
| Fund | | | | GS Balanced
Strategy Portfolio | | | GS Equity Growth
Strategy Portfolio | | | GS Growth
Strategy Portfolio | | | Goldman Sachs
Growth and Income
Strategy Portfolio | | | Goldman Sachs
Enhanced Dividend | |
Large Cap Growth Insights | | | | | — | % | | | — | % | | | 6 | % | | | — | % | | | — | % |
Large Cap Value Insights | | | | | 8 | | | | 10 | | | | 25 | | | | 23 | | | | — | |
Small Cap Equity Insights | | | | | — | | | | — | | | | 6 | | | | — | | | | 20 | |
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GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
As of April 30, 2017, The Goldman Sachs Group, Inc. was the beneficial owner of 5% or more of outstanding Class R6 Shares of the following funds:
| | | | | | |
| Fund | | | | Class R6 | |
Large Cap Value Insights | | | | | 100 | % |
Small Cap Equity Insights | | | | | 8 | % |
Small Cap Value Insights | | | | | 20 | % |
The table below shows the transactions in and earnings from investments in the Goldman Sachs Financial Square Government Fund for the six months ended April 30, 2017:
| | | | | | | | | | | | | | | | | | |
| Fund | | Market
Value
10/31/2016 | | Purchases
at Cost | | | Proceeds
from Sales | | | Market
Value
04/30/17 | | | Dividend
Income | |
Large Cap Growth Insights Fund | | $7,929,150 | | $ | 375,192,702 | | | $ | (356,424,136 | ) | | $ | 26,700,716 | | | $ | 67,855 | |
Large Cap Value Insights Fund | | 3,571,370 | | | 83,141,176 | | | | (82,433,210 | ) | | | 4,279,336 | | | | 12,591 | |
Small Cap Equity Insights | | 2,983,493 | | | 51,310,685 | | | | (52,532,672 | ) | | | 1,761,506 | | | | 7,857 | |
Small Cap Growth Insights | | 4,676,926 | | | 90,453,552 | | | | (85,049,192 | ) | | | 10,081,286 | | | | 19,091 | |
Small Cap Value Insights | | 1,659,749 | | | 50,923,617 | | | | 51,100,175 | | | | 1,483,191 | | | | 7,393 | |
U.S. Equity Insights Fund | | 4,745,871 | | | 74,274,655 | | | | (73,583,950 | ) | | | 5,436,576 | | | | 13,608 | |
|
| 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, 2017, were:
| | | | | | | | | | |
| Fund | | | | Purchases | | | Sales and Maturities | |
Large Cap Growth Insights | | | | $ | 1,439,010,505 | | | $ | 1,022,180,235 | |
Large Cap Value Insights | | | | | 486,729,232 | | | | 545,510,231 | |
Small Cap Equity Insights | | | | | 174,646,024 | | | | 178,581,560 | |
Small Cap Growth Insights | | | | | 278,943,624 | | | | 168,156,397 | |
Small Cap Value Insights | | | | | 140,097,373 | | | | 106,091,196 | |
U.S. Equity Insights | | | | | 556,857,531 | | | | 553,525,461 | |
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GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
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 Government Fund (“Government Money Market Fund”), an affiliated series of the Trust. The Government 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 a management fee of up to 0.205% on an annualized basis of the average daily net assets of the Government 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 GSAL is unable to purchase replacement securities, GSAL will indemnify the Fund by paying an amount equal to the market value of the securities loaned minus the value of cash collateral received from the borrower for the loan, subject to an exclusion for any shortfalls resulting from a loss of value in such cash collateral due to reinvestment risk. 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 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, 2017 are disclosed as “Payable upon return of securities loaned” on the Statements of Assets and Liabilities.
Each of 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, 2017, 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, 2017 | | | Amounts Payable to
Goldman Sachs
Upon Return of
Securities Loaned as of
April 30, 2017 | |
| Fund | | | | Earnings of GSAL
Relating to
Securities
Loaned | | | Amounts Received by the Funds
from Lending to
Goldman Sachs | | |
Large Cap Growth | | | | $ | 118 | | | $ | 560 | | | $ | — | |
Large Cap Value Insights | | | | | 82 | | | | — | | | | — | |
Small Cap Equity Insights | | | | | 9,403 | | | | 3,664 | | | | 128,400 | |
Small Cap Growth Insights | | | | | 11,914 | | | | 4,915 | | | | 101,075 | |
Small Cap Value Insights | | | | | 3,217 | | | | 905 | | | | 404,025 | |
U.S. Equity Insights | | | | | — | | | | 7 | | | | — | |
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GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 7. SECURITIES LENDING (continued) |
The following table provides information about the Funds’ investments in the Goldman Sachs Financial Square Government Fund for the six months ended April 30, 2017:
| | | | | | | | | | | | | | | | | | | | | | |
| Fund | | | | Number of
Shares Held
Beginning
of Period | | | Shares
Bought | | | Shares
Sold | | | Number of
Shares Held
End of Period | | | Value at
End of Period | |
Large Cap Growth Insights | | | | | 1,885,575 | | | | 13,124,141 | | | | (15,009,716 | ) | | | — | | | $ | — | |
Small Cap Equity Insights | | | | | 5,850,847 | | | | 22,791,771 | | | | (25,956,742 | ) | | | 2,685,876 | | | | 2,685,876 | |
Small Cap Growth Insights | | | | | 6,824,350 | | | | 37,401,983 | | | | (40,538,278 | ) | | | 3,688,055 | | | | 3,688,055 | |
Small Cap Value Insights | | | | | 2,354,525 | | | | 18,494,525 | | | | (18,235,525 | ) | | | 2,613,525 | | | | 2,613,525 | |
U.S. Equity Insights | | | | | — | | | | 75,975 | | | | (75,795 | ) | | | — | | | | — | |
As of the Funds’ most recent fiscal year end, October 31, 2016, 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(1) | | $ | (42,164,626 | ) | | $ | (295,670,461 | ) | | $ | (69,518,735 | ) | | $ | — | | | $ | — | | | $ | — | |
Perpetual Short-term | | | — | | | | — | | | | — | | | | (1,498,071 | ) | | | — | | | | — | |
Total capital loss carryforwards | | $ | (42,164,626 | ) | | $ | (295,670,461 | ) | | $ | (69,518,735 | ) | | $ | (1,498,071 | ) | | $ | — | | | $ | — | |
| (1) Expiration | | occurs on October 31 of the year indicated. |
As of April 30, 2017, 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 | | $ | 1,299,477,274 | | | $ | 412,257,621 | | | $ | 252,281,244 | | | $ | 346,383,106 | | | $ | 175,048,845 | | | $ | 525,839,701 | |
Gross unrealized gain | | | 121,953,727 | | | | 22,939,968 | | | | 34,003,905 | | | | 45,092,693 | | | | 26,745,780 | | | | 65,526,421 | |
Gross unrealized loss | | | (11,963,009 | ) | | | (8,393,404 | ) | | | (14,804,159 | ) | | | (8,944,920 | ) | | | (8,224,318 | ) | | | (7,362,666 | ) |
Net unrealized security gain | | $ | 109,990,718 | | | $ | 14,546,564 | | | $ | 19,199,746 | | | $ | 36,147,773 | | | $ | 18,521,462 | | | $ | 58,163,755 | |
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales and net mark to-market gains (losses) on regulated futures contracts, differences in the tax treatment of underlying fund investments, and 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 — The Funds’ use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments, may be illiquid or less liquid,
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GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
|
| 9. OTHER RISKS (continued) |
volatile, 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. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
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.
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 and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
93
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 12. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | Large Cap Growth Insights Fund | |
| | | | |
| | | For the Six Months Ended
April 30, 2017
(Unaudited) | | | For the Fiscal Year Ended
October 31, 2016 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 3,415,734 | | | $ | 86,772,022 | | | | 4,871,878 | | | $ | 111,616,202 | |
Reinvestment of distributions | | | 42,896 | | | | 1,054,815 | | | | 44,935 | | | | 1,011,487 | |
Shares redeemed | | | (3,959,406 | ) | | | (101,066,937 | ) | | | (2,754,157 | ) | | | (62,665,876 | ) |
| | | | (500,776 | ) | | | (13,240,100 | ) | | | 2,162,656 | | | | 49,961,813 | |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 411,512 | | | | 9,426,512 | | | | 592,108 | | | | 12,247,011 | |
Reinvestment of distributions | | | — | | | | — | | | | 3,411 | | | | 70,030 | |
Shares redeemed | | | (325,932 | ) | | | (7,439,861 | ) | | | (668,123 | ) | | | (13,729,680 | ) |
| | | | 85,580 | | | | 1,986,651 | | | | (72,604 | ) | | | (1,412,639 | ) |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 13,688,447 | | | | 362,333,759 | | | | 14,545,738 | | | | 340,385,079 | |
Reinvestment of distributions | | | 146,880 | | | | 3,721,934 | | | | 172,457 | | | | 3,995,824 | |
Shares redeemed | | | (4,769,586 | ) | | | (126,412,918 | ) | | | (16,847,504 | ) | | | (399,944,447 | ) |
| | | | 9,065,741 | | | | 239,642,775 | | | | (2,129,309 | ) | | | (55,563,544 | ) |
| Service Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 829,754 | | | | 21,203,044 | | | | 571,723 | | | | 13,002,820 | |
Reinvestment of distributions | | | 2,689 | | | | 65,256 | | | | 1,126 | | | | 25,064 | |
Shares redeemed | | | (181,891 | ) | | | (4,572,877 | ) | | | (167,522 | ) | | | (3,819,711 | ) |
| | | | 650,552 | | | | 16,695,423 | | | | 405,327 | | | | 9,208,173 | |
| Class IR Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 6,643,248 | | | | 167,382,554 | | | | 1,406,369 | | | | 32,214,043 | |
Reinvestment of distributions | | | 20,951 | | | | 508,700 | | | | 13,466 | | | | 299,351 | |
Shares redeemed | | | (845,876 | ) | | | (20,901,609 | ) | | | (918,003 | ) | | | (20,653,052 | ) |
| | | | 5,818,323 | | | | 146,989,645 | | | | 501,832 | | | | 11,860,342 | |
| Class R Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 339,868 | | | | 8,441,614 | | | | 654,611 | | | | 14,454,507 | |
Reinvestment of distributions | | | 792 | | | | 19,073 | | | | 1,024 | | | | 22,608 | |
Shares redeemed | | | (194,164 | ) | | | (4,827,499 | ) | | | (225,286 | ) | | | (5,040,108 | ) |
| | | | 146,496 | | | | 3,633,188 | | | | 430,349 | | | | 9,437,007 | |
| Class R6 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 1,462,836 | | | | 38,964,768 | | | | 352,900 | | | | 8,519,143 | |
Reinvestment of distributions | | | 4,639 | | | | 117,502 | | | | 4 | | | | 88 | |
Shares redeemed | | | (59,450 | ) | | | (1,553,639 | ) | | | (14,263 | ) | | | (351,145 | ) |
| | | | 1,408,025 | | | | 37,528,631 | | | | 338,641 | | | | 8,168,086 | |
NET INCREASE | | | 16,673,941 | | | $ | 433,236,213 | | | | 1,636,892 | | | $ | 31,659,238 | |
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GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Large Cap Value Insights Fund | | | Small Cap Equity Insights Fund | |
For the Six Months Ended
April 30, 2017
(Unaudited) | | | For the Fiscal Year Ended
October 31, 2016 | | | For the Six Months Ended
April 30, 2017
(Unaudited) | | | For the Fiscal Year Ended
October 31, 2016 | |
| Shares | | | Dollars | | | Shares | | | Dollars | | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 447,439 | | | $ | 8,506,599 | | | | 1,084,347 | | | $ | 18,061,628 | | | | 169,793 | | | $ | 3,835,382 | | | | 323,863 | | | $ | 6,101,412 | |
| | 15,779 | | | | 303,075 | | | | 40,809 | | | | 678,235 | | | | 3,894 | | | | 89,903 | | | | 2,490 | | | | 45,983 | |
| | (921,541 | ) | | | (17,584,200 | ) | | | (1,268,220 | ) | | | (20,762,429 | ) | | | (312,733 | ) | | | (7,068,727 | ) | | | (533,055 | ) | | | (9,848,556 | ) |
| | (458,323 | ) | | | (8,774,526 | ) | | | (143,064 | ) | | | (2,022,566 | ) | | | (139,046 | ) | | | (3,143,442 | ) | | | (206,702 | ) | | | (3,701,161 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 93,799 | | | | 1,777,967 | | | | 186,109 | | | | 3,051,426 | | | | 106,046 | | | | 2,080,229 | | | | 145,057 | | | | 2,399,687 | |
| | 1,295 | | | | 24,743 | | | | 4,326 | | | | 70,982 | | | | | | | | | | | | | | | | | |
| | (180,966 | ) | | | (3,429,754 | ) | | | (338,548 | ) | | | (5,542,854 | ) | | | (161,663 | ) | | | (3,203,242 | ) | | | (283,778 | ) | | | (4,679,929 | ) |
| | (85,872 | ) | | | (1,627,044 | ) | | | (148,113 | ) | | | (2,420,446 | ) | | | (55,617 | ) | | | (1,123,013 | ) | | | (138,721 | ) | | | (2,280,242 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 3,195,673 | | | | 61,300,789 | | | | 7,966,936 | | | | 134,725,679 | | | | 2,822,962 | | | | 66,615,496 | | | | 6,934,096 | | | | 136,400,630 | |
| | 141,406 | | | | 2,718,323 | | | | 283,557 | | | | 4,723,662 | | | | 50,681 | | | | 1,211,288 | | | | 25,392 | | | | 484,997 | |
| | (6,479,459 | ) | | | (124,252,477 | ) | | | (5,968,082 | ) | | | (97,125,090 | ) | | | (2,585,449 | ) | | | (60,336,010 | ) | | | (2,418,764 | ) | | | (47,250,604 | ) |
| | (3,142,380 | ) | | | (60,233,365 | ) | | | 2,282,411 | | | | 42,324,251 | | | | 288,194 | | | | 7,490,774 | | | | 4,540,724 | | | | 89,635,023 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 68,725 | | | | 1,309,603 | | | | 81,528 | | | | 1,340,192 | | | | 6,849 | | | | 153,617 | | | | 8,039 | | | | 142,654 | |
| | 1,778 | | | | 34,347 | | | | 4,529 | | | | 75,483 | | | | 24 | | | | 557 | | | | — | | | | — | |
| | (50,242 | ) | | | (961,191 | ) | | | (167,144 | ) | | | (2,823,184 | ) | | | (18,998 | ) | | | (424,225 | ) | | | (25,558 | ) | | | (448,418 | ) |
| | 20,261 | | | | 382,759 | | | | (81,087 | ) | | | (1,407,509 | ) | | | (12,125 | ) | | | (270,051 | ) | | | (17,519 | ) | | | (305,764 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 859,031 | | | | 16,472,805 | | | | 469,915 | | | | 7,825,428 | | | | 157,911 | | | | 3,554,798 | | | | 365,604 | | | | 6,939,445 | |
| | 5,963 | | | | 114,941 | | | | 6,972 | | | | 116,096 | | | | 2,293 | | | | 52,520 | | | | 300 | | | | 5,495 | |
| | (194,209 | ) | | | (3,655,855 | ) | | | (220,579 | ) | | | (3,737,471 | ) | | | (430,675 | ) | | | (9,539,287 | ) | | | (44,280 | ) | | | (857,475 | ) |
| | 670,785 | | | | 12,931,891 | | | | 256,308 | | | | 4,204,053 | | | | (270,471 | ) | | | (5,931,969 | ) | | | 321,624 | | | | 6,087,465 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 23,020 | | | | 435,128 | | | | 42,700 | | | | 722,480 | | | | 126,137 | | | | 2,774,740 | | | | 247,030 | | | | 4,553,458 | |
| | 373 | | | | 7,135 | | | | 562 | | | | 9,330 | | | | 572 | | | | 12,986 | | | | 135 | | | | 2,444 | |
| | (13,447 | ) | | | (260,252 | ) | | | (9,398 | ) | | | (150,510 | ) | | | (104,693 | ) | | | (2,316,120 | ) | | | (211,710 | ) | | | (3,853,467 | ) |
| | 9,946 | | | | 182,011 | | | | 33,864 | | | | 581,300 | | | | 22,016 | | | | 471,606 | | | | 35,455 | | | | 702,435 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | — | | | | — | | | | — | | | | — | | | | 4,437 | | | | 102,963 | | | | 1,287 | | | | 25,078 | |
| | 5 | | | | 85 | | | | 10 | | | | 162 | | | | 12 | | | | 277 | | | | 3 | | | | 59 | |
| | — | | | | — | | | | — | | | | — | | | | (169 | ) | | | (4,030 | ) | | | (61 | ) | | | (1,264 | ) |
| | 5 | | | | 85 | | | | 10 | | | | 162 | | | | 4,280 | | | | 99,210 | | | | 1,229 | | | | 23,873 | |
| | (2,985,578 | ) | | $ | (57,138,189 | ) | | | 2,200,329 | | | $ | 41,259,245 | | | | (162,769 | ) | | $ | (2,406,885 | ) | | | 4,536,090 | | | $ | 90,161,629 | |
95
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 12. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | Small Cap Growth Insights Fund | |
| | | | |
| | | For the Six Months Ended
April 30, 2017
(Unaudited) | | | For the Fiscal Year Ended
October 31, 2016 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 424,499 | | | $ | 13,466,401 | | | | 1,256,023 | | | $ | 34,420,142 | |
Reinvestment of distributions | | | — | | | | — | | | | 132,878 | | | | 3,757,782 | |
Shares redeemed | | | (926,056 | ) | | | (28,850,851 | ) | | | (489,404 | ) | | | (13,725,489 | ) |
| | | | (501,557 | ) | | | (15,384,450 | ) | | | 899,497 | | | | 24,452,435 | |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 64,335 | | | | 1,632,475 | | | | 105,278 | | | | 2,387,599 | |
Reinvestment of distributions | | | — | | | | — | | | | 35,861 | | | | 815,833 | |
Shares redeemed | | | (52,796 | ) | | | (1,344,012 | ) | | | (124,443 | ) | | | (2,724,829 | ) |
| | | | 11,539 | | | | 288,463 | | | | 16,696 | | | | 478,603 | |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 1,572,725 | | | | 58,318,569 | | | | 1,524,472 | | | | 49,642,434 | |
Reinvestment of distributions | | | 4,666 | | | | 174,384 | | | | 120,842 | | | | 3,937,033 | |
Shares redeemed | | | (500,789 | ) | | | (18,547,611 | ) | | | (665,765 | ) | | | (21,096,434 | ) |
| | | | 1,076,602 | | | | 39,945,342 | | | | 979,549 | | | | 32,483,033 | |
| Service Shares | | | | | | | | | | | | | | | | |
Shares sold | | | — | | | | — | | | | — | | | | — | |
Reinvestment of distributions | | | — | | | | — | | | | — | | | | — | |
Shares redeemed | | | — | | | | — | | | | — | | | | — | |
| | | | — | | | | — | | | | — | | | | — | |
| Class IR Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 2,783,232 | | | | 89,519,743 | | | | 1,634,389 | | | | 47,410,064 | |
Reinvestment of distributions | | | 5,030 | | | | 165,943 | | | | 14,163 | | | | 408,028 | |
Shares redeemed | | | (616,160 | ) | | | (20,242,775 | ) | | | (143,235 | ) | | | (4,105,874 | ) |
| | | | 2,172,102 | | | | 69,442,911 | | | | 1,505,317 | | | | 43,712,218 | |
| Class R Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 84,266 | | | | 2,625,988 | | | | 97,388 | | | | 2,535,925 | |
Reinvestment of distributions | | | — | | | | — | | | | 5,362 | | | | 147,444 | |
Shares redeemed | | | (35,867 | ) | | | (1,111,200 | ) | | | (44,244 | ) | | | (1,191,291 | ) |
| | | | 48,399 | | | | 1,514,788 | | | | 58,506 | | | | 1,492,078 | |
| Class R6 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 508,338 | | | | 19,397,445 | | | | 228,959 | | | | 7,282,283 | |
Reinvestment of distributions | | | 457 | | | | 17,101 | | | | 22 | | | | 728 | |
Shares redeemed | | | (33,881 | ) | | | (1,193,094 | ) | | | (25,829 | ) | | | (846,294 | ) |
| | | | 474,914 | | | | 18,221,452 | | | | 203,152 | | | | 6,436,717 | |
NET INCREASE | | | 3,281,999 | | | $ | 114,028,506 | | | | 3,662,717 | | | $ | 109,055,084 | |
96
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Small Cap Value Insights Fund | | | U.S. Equity Insights Fund | |
For the Six Months Ended
April 30, 2017
(Unaudited) | | | For the Fiscal Year Ended
October 31, 2016 | | | For the Six Months Ended
April 30, 2017
(Unaudited) | | | For the Fiscal Year Ended
October 31, 2016 | |
| Shares | | | Dollars | | | Shares | | | Dollars | | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 143,783 | | | $ | 6,320,949 | | | | 128,272 | | | $ | 4,710,758 | | | | 138,472 | | | $ | 6,001,784 | | | | 334,884 | | | $ | 13,048,404 | |
| | 93,198 | | | | 4,222,632 | | | | 157,232 | | | | 5,565,515 | | | | 228,207 | | | | 9,688,682 | | | | 247,520 | | | | 9,779,889 | |
| | (226,965 | ) | | | (9,877,629 | ) | | | (366,024 | ) | | | (13,352,248 | ) | | | (660,111 | ) | | | (28,478,361 | ) | | | (990,904 | ) | | | (39,397,634 | ) |
| | 10,016 | | | | 665,952 | | | | (80,520 | ) | | | (3,075,975 | ) | | | (293,432 | ) | | | (12,787,895 | ) | | | (408,500 | ) | | | (16,569,341 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 54,363 | | | | 1,810,352 | | | | 32,823 | | | | 927,337 | | | | 41,979 | | | | 1,657,855 | | | | 85,315 | | | | 3,069,965 | |
| | 23,440 | | | | 798,161 | | | | 40,482 | | | | 1,093,112 | | | | 26,804 | | | | 1,032,502 | | | | 31,570 | | | | 1,140,209 | |
| | (49,727 | ) | | | (1,638,420 | ) | | | (109,692 | ) | | | (3,073,143 | ) | | | (100,117 | ) | | | (3,924,138 | ) | | | (269,356 | ) | | | (9,743,746 | ) |
| | 28,076 | | | | 970,093 | | | | (36,387 | ) | | | (1,052,694 | ) | | | (31,334 | ) | | | (1,233,781 | ) | | | (152,471 | ) | | | (5,533,572 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 704,291 | | | | 40,026,076 | | | | 118,044 | | | | 5,404,699 | | | | 1,231,993 | | | | 55,488,342 | | | | 2,086,459 | | | | 84,883,909 | |
| | 22,451 | | | | 1,300,286 | | | | 22,329 | | | | 1,000,594 | | | | 183,080 | | | | 7,994,734 | | | | 126,138 | | | | 5,110,348 | |
| | (113,985 | ) | | | (6,390,351 | ) | | | (138,007 | ) | | | (6,072,680 | ) | | | (863,951 | ) | | | (38,295,670 | ) | | | (840,904 | ) | | | (34,146,671 | ) |
| | 612,757 | | | | 34,936,011 | | | | 2,366 | | | | 332,613 | | | | 551,122 | | | | 25,187,406 | | | | 1,371,693 | | | | 55,847,586 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | — | | | | — | | | | — | | | | — | | | | 6,789 | | | | 292,336 | | | | 64,537 | | | | 2,563,517 | |
| | — | | | | — | | | | — | | | | — | | | | 5,039 | | | | 213,019 | | | | 2,888 | | | | 113,703 | |
| | — | | | | — | | | | — | | | | — | | | | (27,987 | ) | | | (1,215,990 | ) | | | (13,458 | ) | | | (535,124 | ) |
| | — | | | | — | | | | — | | | | — | | | | (16,159 | ) | | | (710,635 | ) | | | 53,967 | | | | 2,142,096 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 194,904 | | | | 8,565,977 | | | | 22,772 | | | | 832,806 | | | | 349,204 | | | | 14,970,981 | | | | 447,815 | | | | 18,126,255 | |
| | 5,359 | | | | 242,132 | | | | 3,185 | | | | 112,448 | | | | 20,573 | | | | 864,392 | | | | 5,398 | | | | 211,040 | |
| | (126,921 | ) | | | (5,475,015 | ) | | | (22,604 | ) | | | (837,149 | ) | | | (90,498 | ) | | | (3,905,104 | ) | | | (111,828 | ) | | | (4,472,094 | ) |
| | 73,342 | | | | 3,333,094 | | | | 3,353 | | | | 108,105 | | | | 279,279 | | | | 11,930,269 | | | | 341,385 | | | | 13,865,201 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 52,892 | | | | 2,277,268 | | | | 69,972 | | | | 2,539,899 | | | | 168,873 | | | | 7,219,160 | | | | 300,867 | | | | 11,680,907 | |
| | 5,447 | | | | 243,261 | | | | 8,221 | | | | 287,780 | | | | 26,329 | | | | 1,099,694 | | | | 26,635 | | | | 1,037,960 | |
| | (33,804 | ) | | | (1,456,475 | ) | | | (59,207 | ) | | | (2,141,070 | ) | | | (202,953 | ) | | | (8,686,984 | ) | | | (247,960 | ) | | | (9,521,591 | ) |
| | 24,535 | | | | 1,064,054 | | | | 18,986 | | | | 686,609 | | | | (7,751 | ) | | | (368,130 | ) | | | 79,542 | | | | 3,197,276 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | 1,972 | | | | 110,576 | | | | 1 | | | | 100 | | | | 51,025 | | | | 2,315,279 | | | | 1,197 | | | | 50,163 | |
| | 8 | | | | 437 | | | | 12 | | | | 516 | | | | 97 | | | | 4,248 | | | | 10 | | | | 409 | |
| | (1,089 | ) | | | (60,571 | ) | | | — | | | | — | | | | (591 | ) | | | (27,323 | ) | | | — | | | | — | |
| | 891 | | | | 50,442 | | | | 13 | | | | 616 | | | | 50,531 | | | | 2,292,204 | | | | 1,207 | | | | 50,572 | |
| | 749,617 | | | $ | 41,019,646 | | | | (92,189 | ) | | $ | (3,000,726 | ) | | | 532,256 | | | $ | 24,309,438 | | | | 1,286,823 | | | $ | 52,999,818 | |
97
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Fund Expenses — Period Ended April 30, 2017 (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) or contingent deferred sales charges on redemptions (with respect to Class C Shares), and (2) ongoing costs, including management fees; distribution and/or service (12b-1) fees (with respect to Class A, Class C, Service 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, 2016 through April 30, 2017, which represents a period of 181 days in a 365 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 | |
| Share Class | | Beginning
Account
Value
11/1/16 | | | Ending
Account
Value
4/30/17 | | | Expenses
Paid for the
6 months ended
4/30/17* | | | Beginning
Account
Value
11/1/16 | | | Ending
Account
Value
4/30/17 | | | Expenses
Paid for the
6 months ended
4/30/17* | | | Beginning
Account
Value
11/1/16 | | | Ending
Account
Value
4/30/17 | | | Expenses
Paid for the
6 months ended
4/30/17* | |
| Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,153.20 | | | $ | 5.13 | | | $ | 1,000.00 | | | $ | 1,139.90 | | | $ | 5.09 | | | $ | 1,000.00 | | | $ | 1,169.80 | | | $ | 6.67 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,020.03 | + | | | 4.81 | | | | 1,000.00 | | | | 1,020.03 | + | | | 4.81 | | | | 1,000.00 | | | | 1,018.65 | + | | | 6.21 | |
| Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,149.30 | | | | 9.11 | | | | 1,000.00 | | | | 1,135.80 | | | | 9.06 | | | | 1,000.00 | | | | 1,165.20 | | | | 10.68 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,016.32 | + | | | 8.55 | | | | 1,000.00 | | | | 1,016.32 | + | | | 8.55 | | | | 1,000.00 | | | | 1,014.93 | + | | | 9.94 | |
| Institutional | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,155.70 | | | | 2.99 | | | | 1,000.00 | | | | 1,142.90 | | | | 2.98 | | | | 1,000.00 | | | | 1,172.50 | | | | 4.52 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,022.02 | + | | | 2.81 | | | | 1,000.00 | | | | 1,022.02 | + | | | 2.81 | | | | 1,000.00 | | | | 1,020.63 | + | | | 4.21 | |
| Service | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,153.10 | | | | 5.66 | | | | 1,000.00 | | | | 1,139.40 | | | | 5.62 | | | | 1,000.00 | | | | 1,169.60 | | | | 7.21 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,019.54 | + | | | 5.31 | | | | 1,000.00 | | | | 1,019.54 | + | | | 5.31 | | | | 1,000.00 | | | | 1,018.15 | + | | | 6.71 | |
98
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Fund Expenses — Period Ended April 30, 2017 (Unaudited) (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Large Cap Growth Insights Fund | | | Large Cap Value Insights Fund | | | Small Cap Equity Insights Fund | |
| Share Class | | Beginning
Account
Value
11/1/16 | | | Ending
Account
Value
4/30/17 | | | Expenses
Paid for the
6 months ended
4/30/17* | | | Beginning
Account
Value
11/1/16 | | | Ending
Account
Value
4/30/17 | | | Expenses
Paid for the
6 months ended
4/30/17* | | | Beginning
Account
Value
11/1/16 | | | Ending
Account
Value
4/30/17 | | | Expenses
Paid for the
6 months ended
4/30/17* | |
| Class IR | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,154.90 | | | | 3.79 | | | | 1,000.00 | | | | 1,141.30 | | | | 3.77 | | | | 1,000.00 | | | | 1,171.40 | | | | 5.33 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,021.27 | + | | | 3.56 | | | | 1,000.00 | | | | 1,021.27 | + | | | 3.56 | | | | 1,000.00 | | | | 1,019.89 | + | | | 4.96 | |
| Class R | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,152.00 | | | | 6.46 | | | | 1,000.00 | | | | 1,139.00 | | | | 6.42 | | | | 1,000.00 | | | | 1,168.60 | | | | 8.01 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,018.79 | + | | | 6.06 | | | | 1,000.00 | | | | 1,018.79 | + | | | 6.06 | | | | 1,000.00 | | | | 1,017.41 | + | | | 7.45 | |
| Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,155.70 | | | | 2.89 | | | | 1,000.00 | | | | 1,142.40 | | | | 2.92 | | | | 1,000.00 | | | | 1,172.60 | | | | 4.47 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,022.12 | + | | | 2.71 | | | | 1,000.00 | | | | 1,022.07 | + | | | 2.76 | | | | 1,000.00 | | | | 1,020.68 | + | | | 4.16 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Small Cap Growth Insights Fund | | | Small Cap Value Insights Fund | | | U.S. Equity Insights Fund | |
| Share Class | | Beginning
Account
Value
11/1/16 | | | Ending
Account
Value
4/30/17 | | | Expenses
Paid for the
6 months ended
4/30/17* | | | Beginning
Account
Value
11/1/16 | | | Ending
Account
Value
4/30/17 | | | Expenses
Paid for the
6 months ended
4/30/17* | | | Beginning
Account
Value
11/1/16 | | | Ending
Account
Value
4/30/17 | | | Expenses
Paid for the
6 months ended
4/30/17* | |
| Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,175.70 | | | $ | 6.64 | | | $ | 1,000.00 | | | $ | 1,179.00 | | | $ | 6.70 | | | $ | 1,000.00 | | | $ | 1,148.00 | | | $ | 5.11 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,018.70 | + | | | 6.16 | | | | 1,000.00 | | | | 1,018.65 | + | | | 6.21 | | | | 1,000.00 | | | | 1,020.03 | + | | | 4.81 | |
| Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,171.80 | | | | 10.66 | | | | 1,000.00 | | | | 1,174.70 | | | | 10.73 | | | | 1,000.00 | | | | 1,143.60 | | | | 9.09 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,014.98 | + | | | 9.89 | | | | 1,000.00 | | | | 1,014.93 | + | | | 9.94 | | | | 1,000.00 | | | | 1,016.32 | + | | | 8.55 | |
| Institutional | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,178.40 | | | | 4.59 | | | | 1,000.00 | | | | 1,181.40 | | | | 4.54 | | | | 1,000.00 | | | | 1,150.30 | | | | 2.99 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,020.58 | + | | | 4.26 | | | | 1,000.00 | | | | 1,020.63 | + | | | 4.21 | | | | 1,000.00 | | | | 1,022.02 | + | | | 2.81 | |
| Service | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | 1,000.00 | | | | 1,147.50 | | | | 5.64 | |
Hypothetical 5% return | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | N/A | | | | 1,000.00 | | | | 1,019.54 | + | | | 5.31 | |
99
GOLDMAN SACHS DOMESTIC EQUITY INSIGHTS FUNDS
Fund Expenses — Period Ended April 30, 2017 (Unaudited) (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Small Cap Growth Insights Fund | | | Small Cap Value Insights Fund | | | U.S. Equity Insights Fund | |
| Share Class | | Beginning
Account
Value
11/1/16 | | | Ending
Account
Value
4/30/17 | | | Expenses
Paid for the
6 months ended
4/30/17* | | | Beginning
Account
Value
11/1/16 | | | Ending
Account
Value
4/30/17 | | | Expenses
Paid for the
6 months ended
4/30/17* | | | Beginning
Account
Value
11/1/16 | | | Ending
Account
Value
4/30/17 | | | Expenses
Paid for the
6 months ended
4/30/17* | |
| Class IR | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,177.50 | | | | 5.29 | | | | 1,000.00 | | | | 1,180.50 | | | | 5.35 | | | | 1,000.00 | | | | 1,149.40 | | | | 3.78 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,019.94 | + | | | 4.91 | | | | 1,000.00 | | | | 1,019.89 | + | | | 4.96 | | | | 1,000.00 | | | | 1,021.27 | + | | | 3.56 | |
| Class R | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,174.60 | | | | 7.98 | | | | 1,000.00 | | | | 1,177.50 | | | | 8.04 | | | | 1,000.00 | | | | 1,146.40 | | | | 6.44 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,017.46 | + | | | 7.40 | | | | 1,000.00 | | | | 1,017.41 | + | | | 7.45 | | | | 1,000.00 | | | | 1,018.79 | + | | | 6.06 | |
| Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,178.20 | | | | 4.48 | | | | 1,000.00 | | | | 1,181.30 | | | | 4.49 | | | | 1,000.00 | | | | 1,150.40 | | | | 2.88 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,020.68 | + | | | 4.16 | | | | 1,000.00 | | | | 1,020.68 | + | | | 4.16 | | | | 1,000.00 | | | | 1,022.12 | + | | | 2.71 | |
| * | | 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, 2017. 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 | | | 1.24 | | | | 1.99 | | | | 0.84 | | | | 1.34 | | | | 0.99 | | | | 1.49 | | | | 0.83 | |
Small Cap Growth Insights | | | 1.23 | | | | 1.98 | | | | 0.85 | | | | N/A | | | | 0.98 | | | | 1.48 | | | | 0.83 | |
Small Cap Value Insights | | | 1.24 | | | | 1.99 | | | | 0.84 | | | | N/A | | | | 0.99 | | | | 1.49 | | | | 0.83 | |
U.S. Equity Insights | | | 0.96 | | | | 1.71 | | | | 0.56 | | | | 1.06 | | | | 0.71 | | | | 1.21 | | | | 0.54 | |
| + | | 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. |
100
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 $1.17 trillion in assets under supervision as of March 31, 2017, 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. LLC subject to legal, internal and regulatory restrictions.
Money Market
Financial Square FundsSM
| ∎ | | Financial Square Treasury Solution. Fund1 |
| ∎ | | Financial Square Government Fund1 |
| ∎ | | Financial Square Money Market Fund2 |
| ∎ | | Financial Square Prime Obligations Fund2 |
| ∎ | | Financial Square Treasury Instruments Fund1 |
| ∎ | | Financial Square Treasury Obligations Fund1 |
| ∎ | | Financial Square Federal Instruments Fund1 |
| ∎ | | Financial Square Tax-Exempt Money Market Fund2 |
Investor FundsSM
| ∎ | | Investor Money Market Fund3 |
| ∎ | | Investor Tax-Exempt Money Market Fund3 |
Fixed Income
Short Duration and Government
| ∎ | | High Quality Floating Rate Fund |
| ∎ | | Short-Term Conservative Income Fund4 |
| ∎ | | Short Duration Government Fund |
| ∎ | | Short Duration Income Fund |
| ∎ | | Inflation Protected Securities Fund |
Multi-Sector
Municipal and Tax-Free
| ∎ | | High Yield Municipal Fund |
| ∎ | | Dynamic Municipal Income Fund |
| ∎ | | Short Duration Tax-Free Fund |
Single Sector
| ∎ | | Investment Grade Credit Fund |
| ∎ | | High Yield Floating Rate Fund |
| ∎ | | Emerging Markets Debt Fund |
| ∎ | | Local Emerging Markets Debt Fund |
| ∎ | | Dynamic Emerging Markets Debt Fund |
Fixed Income Alternatives
| ∎ | | Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ | | Small/Mid Cap Value Fund |
| ∎ | | Small/Mid Cap Growth Fund |
| ∎ | | Flexible Cap Growth Fund |
| ∎ | | Concentrated Growth Fund |
| ∎ | | Technology Opportunities Fund |
| ∎ | | Growth Opportunities Fund |
| ∎ | | Rising Dividend Growth Fund |
| ∎ | | Dynamic U.S. Equity Fund |
Tax-Advantaged Equity
| ∎ | | U.S. Tax-Managed Equity Fund |
| ∎ | | International Tax-Managed Equity Fund |
| ∎ | | U.S. Equity Dividend and Premium Fund |
| ∎ | | International Equity Dividend and Premium Fund |
Equity Insights
| ∎ | | Small Cap Equity Insights Fund |
| ∎ | | U.S. Equity Insights Fund |
| ∎ | | Small Cap Growth Insights Fund |
| ∎ | | Large Cap Growth Insights Fund |
| ∎ | | Large Cap Value Insights Fund |
| ∎ | | Small Cap Value Insights Fund |
| ∎ | | International Small Cap Insights Fund |
| ∎ | | International Equity Insights Fund |
| ∎ | | Emerging Markets Equity Insights Fund |
Fundamental Equity International
| ∎ | | Strategic International Equity Fund |
| ∎ | | Focused International Equity Fund |
| ∎ | | Emerging Markets Equity Fund |
Select Satellite
| ∎ | | Real Estate Securities Fund |
| ∎ | | International Real Estate Securities Fund |
| ∎ | | Commodity Strategy Fund |
| ∎ | | Global Real Estate Securities Fund |
| ∎ | | Dynamic Allocation Fund |
| ∎ | | Absolute Return Tracker Fund |
| ∎ | | Managed Futures Strategy Fund |
| ∎ | | MLP Energy Infrastructure Fund |
| ∎ | | Multi-Manager Alternatives Fund |
| ∎ | | Absolute Return Multi-Asset Fund |
| ∎ | | Global Infrastructure Fund |
Total Portfolio Solutions
| ∎ | | Global Managed Beta Fund |
| ∎ | | Multi-Manager Non-Core Fixed Income Fund |
| ∎ | | Multi-Manager U.S. Dynamic Equity Fund |
| ∎ | | Multi-Manager Global Equity Fund |
| ∎ | | Multi-Manager International Equity Fund |
| ∎ | | Tactical Tilt Overlay Fund |
| ∎ | | Balanced Strategy Portfolio |
| ∎ | | Multi-Manager U.S. Small Cap Equity Fund |
| ∎ | | Multi-Manager Real Assets Strategy Fund |
| ∎ | | Growth and Income Strategy Portfolio |
| ∎ | | Growth Strategy Portfolio |
| ∎ | | Equity Growth Strategy Portfolio |
| ∎ | | Satellite Strategies Portfolio |
| ∎ | | Enhanced Dividend Global Equity Portfolio |
| ∎ | | Tax-Advantaged Global Equity Portfolio |
| ∎ | | Strategic Factor Allocation Fund |
| ∎ | | Target Date 2020 Portfolio |
| ∎ | | Target Date 2025 Portfolio |
| ∎ | | Target Date 2030 Portfolio |
| ∎ | | Target Date 2035 Portfolio |
| ∎ | | Target Date 2040 Portfolio |
| ∎ | | Target Date 2045 Portfolio |
| ∎ | | Target Date 2050 Portfolio |
| ∎ | | Target Date 2055 Portfolio |
| ∎ | | GQG Partners International Opportunities Fund |
| 1 | | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 2 | | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 3 | | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 4 | | Effective on July 29, 2016, the Goldman Sachs Limited Maturity Obligations Fund was renamed the Goldman Sachs Short-Term Conservative Income Fund. |
| 5 | | Effective on June 20, 2017, the Goldman Sachs Fixed Income Macro Strategies Fund was renamed the Goldman Sachs Strategic Macro Fund. |
| 6 | | Effective on June 20, 2017, the Goldman Sachs Growth and Income Fund was renamed the Goldman Sachs Equity Income Fund. |
Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC.
| *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 Roy W. Templin Gregory G. Weaver | | OFFICERS James A. McNamara, President Scott M. McHugh, Treasurer, Senior Vice President and Principal Financial Officer Joseph F. DiMaria, Assistant Treasurer and Principal Accounting Officer Caroline L. Kraus, Secretary |
| |
GOLDMAN SACHS & CO. LLC 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-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 also 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, 2017 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. LLC by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550).
© 2017 Goldman Sachs. All rights reserved. 94506-TMPL-06/2017-554982 DOMINSSAR-17/73k
Goldman Sachs Funds
| | | | |
| | |
| Semi-Annual Report | | | | April 30, 2017 |
| | |
| | | | Fundamental Emerging Markets Equity Funds |
| | | | Asia Equity |
| | | | Emerging Markets Equity |
| | | | N-11 Equity |
Goldman Sachs Fundamental
Emerging Markets Equity Funds
| ∎ | | EMERGING MARKETS EQUITY |
| | | | |
| | | |
| 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 seek to identify its best investment ideas.
| ∎ | | 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 |
| ∎ | | Proprietary, bottom-up research is the key driver of our investment process |
| ∎ | | Analysts collaborate regularly to leverage regional and industry-specific research and insights |
| ∎ | | 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 |
| ∎ | | The decision-making process includes active participation in frequent and regular research meetings |
| ∎ | | The Emerging Market Equity team benefits from the country and currency expertise of our Global Emerging Markets Debt and Currency teams |
| ∎ | | Security selections are aligned with levels of investment conviction and risk-adjusted upside |
| ∎ | | Continual risk monitoring identifies various risks at the stock and portfolio level and assesses whether they are intended and justified |
| ∎ | | Dedicated portfolio construction team assists in ongoing monitoring and adjustment of the Funds |
Emerging markets equity portfolios that strive to offer:
| | ∎ | | Access to markets across emerging markets | |
| | ∎ | | Disciplined approach to stock selection | |
| | ∎ | | Optimal risk/return profiles | |
1
MARKET REVIEW
Goldman Sachs Fundamental Emerging Markets Equity Funds
Market Review
Emerging markets equities rallied during the six-month period ended April 30, 2017 (the “Reporting Period”). The MSCI® Emerging Markets Index (Net, USD, Unhedged) (the “MSCI® EM Index”) posted a return of 8.88%.* While emerging markets equities posted strong absolute returns, they underperformed developed markets equities on a relative basis, as measured by the MSCI® Europe, Australasia, Far East (EAFE) Index, which returned 11.47% for the same time period.
Soon after the Reporting Period began in November 2016, emerging market equities fell sharply, following the unexpected outcome of the U.S. presidential election, due to headwinds from the resulting rise in U.S. Treasury rates and the U.S. dollar. Concerns of protectionist U.S. trade and immigration policies also weighed on emerging market equities. In December 2016, emerging market equities remained weak, as the Federal Reserve (the “Fed”) hiked interest rates 0.25% and set a more hawkish tone for its 2017 hike path. (Hawkish language tends to suggest higher interest rates; opposite of dovish.)
Despite the political uncertainty and protectionism concerns arising from the new U.S. Administration in January 2017, emerging market equities were buoyed by optimism about economic growth, owing to strong economic data and rising metal and soft commodity prices. February 2017 was another month of positive performance for emerging market equities, as investors continued to assess the outlook for potential tax reform, deregulation and other fiscal policies out of the new U.S. Administration. Indian equities were a standout performer, as a pragmatic government budget and a strong third quarter 2016 Gross Domestic Product (“GDP”) number were supportive of risk sentiment, particularly following India’s November 2016 demonetization move. (On November 8, 2016, India’s Prime Minister Narendra Modi announced that 86% of the country’s currency would be rendered null and void in 50 days. It was posited as a move to crackdown on corruption and the country’s booming under-regulated and virtually untaxed grassroots economy, but was also being used as a driver to get millions of Indians onto the country’s official economic grid — many for the first time. Modi’s crackdown saw all 500 and 1,000 rupee notes — the country’s most popular currency denominations — removed from circulation, while a new 2,000 rupee note was added in. Five hundred rupees is roughly the equivalent of $7.50.)
In March 2017, the Fed raised interest rates for the third time since the 2008 global financial crisis. However, a seemingly cautious stance on its future path of monetary tightening from Fed Chair Janet Yellen and the presence of a dissenter on the Fed committee led to a dovish market reaction. Mexico was the best performing emerging market equity market in March 2017, buoyed by peso appreciation following a fourth consecutive rate hike by its central bank, Banxico.
In April 2017, centrist Emmanuel Macron and nationalist Marine Le Pen progressed through the first round of voting in the French presidential election, and polls taken at the end of the Reporting Period were indicating a Macron victory in the second round to take place in early May 2017. (Macron won.) Markets reacted positively, and emerging market equities rallied, as the diminishing risk of populism in Europe buoyed global risk sentiment. Emerging market equities were also driven by a weak U.S. dollar during the month. Despite tighter regulation in its banking sector, Chinese equities were buoyed by a strong first quarter 2017 GDP growth rate, which came in at 6.90% year over year and beat consensus expectations. Turkish equities
| * | | All index returns are expressed in U.S. dollar terms. |
2
MARKET REVIEW
saw a strong rally, as the Turkish lira strengthened on the back of a successful constitutional reform referendum. Russian equities fell with a depreciating Russian ruble, as its central bank cut its policy rate 0.50%. Latin American equity markets were the underperformers among emerging markets despite continued easing from their central banks, as they faced headwinds from declining commodity prices.
For the Reporting Period as a whole, information technology, materials and financials were the best performing sectors in the MSCI® EM Index during the Reporting Period. Health care, utilities and consumer staples were the weakest sectors in the MSCI® EM Index during the Reporting Period, with health care the only sector in the MSCI® EM Index to post a negative return during the Reporting Period.
From a country perspective, Poland, Greece and South Korea were the best performing individual constituents of the MSCI® EM Index for the Reporting Period. Conversely, Egypt was by far the weakest individual country constituent of the MSCI® EM Index during the Reporting Period, followed at some distance by the Philippines, Indonesia and the Czech Republic, which also significantly lagged the MSCI® EM Index during the Reporting Period.
Looking Ahead
At the end of the Reporting Period, we maintained a positive outlook for global equities based on economic and earnings growth indicators. Global economic growth and earnings forecasts were trending upward at the end of April 2017 in all major regions for the first time since 2010. In our view, deregulation and tax reform in the U.S are the critical components necessary to convert this optimism to confidence and turn sentiment into action, generating real business activity and maintaining investor enthusiasm. We believe regulatory reform is likely easier to enact because it can largely be accomplished with executive orders. Tax reform may be more challenging, but we think it is the key to reviving confidence. Signs we expect to be watching to gauge whether the conversion to confidence is successful including rising corporate investment and earnings growth meeting or exceeding consensus forecasts.
We believe positive economic momentum should continue to support earnings growth and equities in the emerging markets. During the Reporting Period, emerging market equities rallied on the commodity price recovery and on increasing sentiment that the protectionist rhetoric from the current U.S. Administration on trade may not be converted into actual policy. Equity valuations rose but were still attractive versus developed markets at the end of the Reporting Period, in our view. Despite the fundamental earnings recovery, we feel emerging market equities remain subject to several external risks, including rising interest rates and increasing geopolitical tensions.
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.
3
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, 2017 (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 8.25%, 7.83%, 8.52% and 8.41%, respectively. These returns compare to the 10.21% 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 posted solid positive absolute returns but underperformed the Index on a relative basis during the Reporting Period, primarily attributable to individual stock selection. From a country perspective, stock selection in Taiwan, India and Thailand detracted from the Fund’s relative results most during the Reporting Period. Stock selection in China/Hong Kong, Malaysia and Singapore and having an underweighted allocation to Malaysia, which lagged 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 Idea Cellular, PChome Online and Hong Kong Exchanges & Clearing. |
| | Idea Cellular is an India-based telecommunication services company. The entry of Reliance Jio Infocomm, a private company competitor, into the India market, had resulted in industry revenues shrinking and having a negative impact on the profit margins of incumbent players,like Idea Cellular. In response, we have been seeing acceleration in merger and acquisition activity with an eight or nine player industry consolidating to three or four companies. Consequently, we initiated a Fund position in Idea Cellular, which is currently in the process of a merger with Vodafone India, anticipated to create the largest Indian telecommunication services company. While this position detracted from the Fund’s performance during the Reporting Period, we believe the competitive dynamics may well lead to better pricing power and improving profitability for Idea Cellular and the sector in general going forward. |
| | PChome Online is a Taiwan-based Chinese language Internet media company. PChome Online reported weaker than market expected sales performance in August and September 2016 compared to its peers, which triggered investors’ concern about increasing competition slowing down PChome Online’s profitability and negatively affecting its market position. However, we believed the company’s weak earnings performance in the fourth quarter of 2016 mainly resulted from 1) lower warehouse utilization during its ramp-up period and 2) a one-time expense related to its subsidiary’s Initial Public Offering. We believed its stock price decline was an overreaction. We further believed the overhang should be removed in the near term and its earnings growth potential should resume. During the first quarter of 2017, its share price continued to underperform the Index. The faster growth of Taiwan e-commerce continued to attract new players. We see the e-commerce market maintaining strong growth and taking share from offline retailers. With what we consider to be a strong platform, we believe PChome Online’s revenue is likely to outgrow the whole retailer market and maintain its leading position. Therefore, we maintained the Fund’s position in the company. |
| | Hong Kong Exchanges & Clearing, which owns and operates the stock exchange, futures exchange and their related clearing houses in Hong Kong, underperformed the Index |
4
PORTFOLIO RESULTS
| | during the Reporting Period due to weak equity and derivatives trading activity as well as the muted Hong Kong turnover. (In July 2016, there was a controversial relaunch of a new and improved system to calculate closing share prices in Hong Kong, which met with muted market response.) After a year-long reflection of the benefits associated with connecting with mainland exchanges, Hong Kong Exchanges & Clearing’s risk/return profile has deteriorated, in our view, against its financial peers, and thus we trimmed the Fund’s position. |
| Q | | What were some of the Fund’s best-performing individual stocks? |
| A | | The Fund benefited most relative to the Index from holdings in Galaxy Entertainment Group, Brilliance China Automotive Holdings and New Oriental Education & Technology Group. |
| | Galaxy Entertainment Group operates casino, hotels and other entertainment facilities in Macau. The overall gross gaming industry revenues in Macau maintained its growth trend during the Reporting Period and, in fact, registered its strongest performance in approximately three years despite November 2016 being a seasonally softer month. The strong growth came mainly from an upturn in demand, profits and cash flows. More specifically, the surge in revenues was driven by an uptick in the premium segment following two years of downturn on the back of improved player confidence due to a less intense anti-graft campaign and better junket liquidity. (Junkets are gaming promoters, largely bankrolled by corporate investors and Macau’s super rich, that operate like mini-banks, lending and collecting money, as well as organizing luxury travel, accommodation and other high-end services for well-heeled clients.) The premium segment also benefited from a favorable macro backdrop in China, including a property market rally. At the end of the Reporting Period, we remained constructive on the sector fundamentals, as we believe the industry is in the midst of a multi-year upturn in terms of demand and profitability. |
| | Brilliance China Automotive Holdings manufactures motor vehicles and distributes a variety of automotive components. The company also holds a joint venture with BMW for production and sales of BMW passenger cars in China. The joint venture showed signs of recovery, as its profitability improved in its fourth quarter 2016 results on the back of better than expected BMW sales volume. |
| | New Oriental Education & Technology Group is an education service provider for overseas test preparation and K-10 after-school courses. Its stock performed particularly well during the first quarter of 2017, as the company reported strong quarterly results ahead of market expectations and beating its own guidance. The company continued to provide strong forward guidance in terms of revenue growth, reflecting ongoing success of its O2O integrated education system, its well-regarded brand name, and market consolidation. |
| 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 financials, consumer staples and energy, each driven primarily by weak stock selection. At an individual stock level, the Fund’s position in Hong Kong Exchanges & Clearing, already mentioned, disappointed most in the financials sector. In consumer staples, a position in Indonesia-based Indofood CBP Sukses Makmur Tbk, which provides a wide range of food products, detracted most. In energy, an out-of-benchmark position in Hilong, a Chinese oil field equipment and services provider, hurt most. |
| | The sectors that contributed most positively to the Fund’s performance relative to the Index were information technology and consumer discretionary, where stock selection in each boosted relative results. Having no exposure to the utilities sector, which significantly underperformed the Index during the Reporting Period, also added value. At an individual stock level, the Fund’s position in Samsung Electronics helped most in information technology, and its position in Galaxy Entertainment Group, mentioned earlier, boosted results most in consumer discretionary. |
| Q | | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | | The Fund did not use derivatives or similar instruments during the Reporting Period. |
| Q | | Did the Fund make any significant purchases or sales during the Reporting Period? |
| A | | In addition to the purchase of Idea Cellular already mentioned, we initiated a Fund position in DGB Financial Group. The South Korea-based company provides a full range of consumer and commercial banking-related financial services. During the past several years, its share price was weighed down as the company failed to maintain its margins, credit costs and revenue growth against big nationwide banks due to intensifying competition. We initiated the position, as we believe most of the negative factors that pressured its share price have been well-addressed by its management. In |
5
PORTFOLIO RESULTS
| | addition, its non-banking business lines currently contribute significantly to its overall business. |
| | We established a Fund position in Prada, a luxury brand established in 1913, focusing on luxury handbags, leather goods, footwear, apparel and accessories. The parent company operates Prada, Miu Miu, Church’s and Car Shoe brands. We believe Prada is likely to be one of the beneficiaries of recovery seen in luxury consumption. We further believe Prada has strong brand recognition amongst consumers and like that the company is refining its product offering to a wider price spectrum to target millennials and seek renewed freshness in its product portfolio. Other initiatives that could bring positive surprise to Prada’s top-line growth include rolling out of products online and harmonization of prices globally. In our view, its disciplined cost controls in terms of labor and rental renegotiation should help improve its margin in the medium term. |
| | Conversely, within the real estate sector, we exited the Fund’s position in China Resources Land. The company experienced strong housing resales through the first quarter of 2017, similar to other real estate developers because pent-up homebuyers reacted favorably to a tight housing inventory scenario in most cities in China, despite cooling measures implemented in early 2016. The company also reported a strong result for the month of December 2016 and was one of the best in terms of gross margins, balance sheet strength and forward sales guidance. We exited the position to lock in performance, as we believe the stock could be range-bound going forward due to the Chinese government’s policy to tighten its top-tier city housing market. |
| | We eliminated the Fund’s position in Bursa Malaysia, a securities exchange operator in Malaysia. An uncertain global macroeconomic and political environment had an effect on the country’s stock market and trading activity. We sold the stock for what we considered to be better investment prospects. |
| 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 materials and information technology increased, and its allocations to real estate 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 South Korea and Malaysia increased, and its exposure to India and Taiwan 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. |
| 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 South Korea and India and held an out-of-Index allocation in Vietnam. On the same date, the Fund had underweighted exposure relative to the Index to Taiwan, Singapore and China/Hong Kong and had rather neutral exposure relative to the Index in Thailand, Indonesia, Malaysia and the Philippines. |
| | From a sector allocation perspective, the Fund had overweighted positions relative to the Index in the consumer discretionary, materials, consumer staples and health care sectors at the end of the Reporting Period. On the same date, the Fund had underweighted positions compared to the Index in the real estate, telecommunication services, energy and information technology sectors and was relatively neutrally weighted compared to the Index in financials and industrials. 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. |
6
FUND BASICS
Asia Equity Fund
as of April 30, 2017
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2016–April 30, 2017 | | Fund Total Return
(based on NAV)1 | | | MSCI® (All Country) Asia
ex-Japan Index2 | |
| | Class A | | | 8.25 | % | | | 10.21 | % |
| | Class C | | | 7.83 | | | | 10.21 | |
| | Institutional | | | 8.52 | | | | 10.21 | |
| | | Class IR | | | 8.41 | | | | 10.21 | |
| | 1 | | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| | 2 | | The MSCI® All Country Asia ex-Japan Index (Net, USD, Unhedged) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of Asia, excluding Japan. As of April 30, 2017, the MSCI All Country Asia ex-Japan Index consisted of the following 10 developed and emerging market country indices: China, Hong Kong, India, Indonesia, Korea, Malaysia, Philippines, Singapore, Taiwan and Thailand. The series of returns reflected by the MSCI All Country Asia ex-Japan Index approximates the minimum possible dividend reinvestment. The dividend is reinvested after deduction of withholding tax, applying the rate to non-resident 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 3/31/17 | | One Year | | | Five Years | | | Ten Years | | | Since Inception | | | Inception Date |
| | Class A | | | 6.79 | % | | | 3.43 | % | | | 2.67 | % | | | 2.50 | % | | 7/8/94 |
| | Class C | | | 11.14 | | | | 3.83 | | | | 2.47 | | | | 1.77 | | | 8/15/97 |
| | Institutional | | | 13.43 | | | | 5.03 | | | | 3.66 | | | | 2.60 | | | 2/2/96 |
| | | Class IR | | | 13.27 | | | | N/A | | | | N/A | | | | 4.22 | | | 2/28/14 |
| | 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 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.
7
FUND BASICS
| | | | | | | | | | |
| | EXPENSE RATIOS4 | |
| | | | | Net Expense Ratio (Current) | | | Gross Expense Ratio (Before Waivers) | |
| | Class A | | | 1.55 | % | | | 2.18 | % |
| | Class C | | | 2.30 | | | | 2.93 | |
| | Institutional | | | 1.15 | | | | 1.78 | |
| | | Class IR | | | 1.30 | | | | 1.93 | |
| | 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 28, 2018, 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 4/30/175 |
| | | Holding | | % of Net Assets | | | Line of Business | | Country |
| | Samsung Electronics Co. Ltd. | | | 6.3 | % | | Technology Hardware &
Equipment | | South Korea |
| | Tencent Holdings Ltd. | | | 5.9 | | | Software & Services | | China |
| | Taiwan Semiconductor Manufacturing Co. Ltd. | | | 4.1 | | | Semiconductors &
Semiconductor Equipment | | Taiwan |
| | AIA Group Ltd. | | | 3.8 | | | Insurance | | Hong Kong |
| | China Merchants Bank Co.
Ltd. Class H | | | 2.8 | | | Banks | | China |
| | Ping An Insurance Group Co. of
China Ltd. Class H | | | 2.7 | | | Insurance | | China |
| | Alibaba Group Holding Ltd. ADR | | | 2.4 | | | Software & Services | | China |
| | Galaxy Entertainment Group Ltd. | | | 2.3 | | | Consumer Services | | Hong Kong |
| | DGB Financial Group, Inc. | | | 2.2 | | | Banks | | South Korea |
| | | DBS Group Holdings Ltd. | | | 2.0 | | | Banks | | Singapore |
| | 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, 2017 |
| | 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. |
9
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, 2017 (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 8.93%, 8.53%, 9.13%, 8.87%, 9.09% and 9.23%, respectively. These returns compare to the 8.88% 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 | | The Fund outperformed the Index on a relative basis during the Reporting Period. Effective stock selection in Brazil, China and United Arab Emirates benefited the Fund’s performance most. Such positive contributors were only partially offset by the detracting effect of weak stock selection in Taiwan, Mexico and India. |
| 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 Bradespar, Galaxy Entertainment Group and NMC Health. |
| | Bradespar is the parent company of Vale, one of the world’s largest iron ore producers. Its stock performed well on the back of improvement in iron ore prices and expectations about the potential renegotiation of Vale’s capital structure. Given its strong performance, we trimmed the Fund’s position in Bradespar to book profits. |
| | Galaxy Entertainment Group operates casino, hotels and other entertainment facilities in Macau. The overall gross gaming industry revenues in Macau maintained its growth trend during the Reporting Period and, in fact, registered its strongest performance in approximately three years despite November 2016 being a seasonally softer month. The strong growth came mainly from an upturn in demand, profits and cash flows. More specifically, the surge in revenues was driven by an uptick in the premium segment following two years of downturn on the back of improved player confidence due to a less intense anti-graft campaign and better junket liquidity. (Junkets are gaming promoters, largely bankrolled by corporate investors and Macau’s super rich, that operate like mini-banks, lending and collecting money, as well as organizing luxury travel, accommodation and other high-end services for well-heeled clients.) The premium segment also benefited from a favorable macro backdrop in China, including a property market rally. At the end of the Reporting Period, we remained constructive on the sector fundamentals, as we believe the industry is in the midst of a multi-year upturn in terms of demand and profitability. |
| | NMC Health, a diversified health care company based in United Arab Emirates, outperformed the Index during the Reporting Period, after delivering strong fiscal year 2016 results that demonstrated the benefits of its strategy to expand into new territories and add higher value, higher margin services. At the end of the Reporting Period, we believed NMC Health may well continue to deliver strong performance given its acquisition of Al Zahra hospital in Sharjah and its ongoing roll-out of services. |
| 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 PChome Online, Samsung Electronics and Idea Cellular. |
| | PChome Online is a Taiwan-based Chinese language Internet media company. PChome Online reported weaker than market |
10
PORTFOLIO RESULTS
| | expected sales performance in August and September 2016 compared to its peers, which triggered investors’ concern about increasing competition slowing down PChome Online’s profitability and negatively affecting its market position. However, we believed the company’s weak earnings performance in the fourth quarter of 2016 mainly resulted from 1) lower warehouse utilization during its ramp-up period and 2) a one-time expense related to its subsidiary’s Initial Public Offering (“IPO”). We believed its stock price decline was an overreaction. We further believed the overhang should be removed in the near term and its earnings growth potential should resume. During the first quarter of 2017, its share price continued to underperform the Index. The faster growth of Taiwan e-commerce continued to attract new players. We see the e-commerce market maintaining strong growth and taking share from offline retailers. With what we consider to be a strong platform, we believe PChome Online’s revenue is likely to outgrow the whole retailer market and maintain its leading position. Therefore, we maintained the Fund’s position in the company. |
| | The Fund was underweight Samsung Electronics relative to the Index, and its stock performed well; thus it detracted from relative results. Samsung Electronics enjoyed strong earnings growth during the Reporting Period, driven by a robust pricing hike for its semiconductors. Its oligopolistic position in the OLED panel market also help it enjoy strong sales and margin improvement in its display business. (An oligopolistic position is a market condition in which sellers are so few that the actions of any one of them will materially affect price and have a measurable impact on competitors. OLED stands for organic light-emitting diode.) Despite the battery accidents of its Note 7, Samsung Electronics controlled its costs well, thus mitigating the negative news flow’s effect on its devices business. We maintained an underweighted Fund position in Samsung Electronics because it holds a high weighting in the Index and we were seeking to avoid what we considered to be a high risk in holding such a large position. |
| | Idea Cellular is an India-based telecommunication services company. The entry of Reliance Jio Infocomm, a private company competitor, into the India market, had resulted in industry revenues shrinking and having a negative impact on the profit margins of incumbent players, like Idea Cellular. In response, we have been seeing acceleration in merger and acquisition activity with an eight or nine player industry consolidating to three or four companies. Consequently, we initiated a Fund position in Idea Cellular, which is currently in the process of a merger with Vodafone India, anticipated to create the largest Indian telecommunication services company. While this position detracted from the Fund’s performance during the Reporting Period, we believe the competitive dynamics may well lead to better pricing power and improving profitability for Idea Cellular and the sector in general going forward. |
| Q | | Which equity market sectors most significantly affected Fund performance during the Reporting Period? |
| A | | Relative to the Index, strong stock selection within the materials, health care and industrials sectors contributed most positively to the Fund’s performance. In materials, the Fund’s holding in Bradespar, mentioned earlier, was the strongest contributor. In health care, NMC Health, also already mentioned, was an outstanding performer. In industrials, the Fund’s holding in Weir Group, an engineering solutions provider focused on the minerals, oil and gas and power markets in the U.K., boosted Fund results most. |
| | Conversely, weak stock selection in financials, information technology and energy detracted most from the Fund’s relative results. In financials, the Fund’s position in Mahindra & Mahindra Financial Services, a utility vehicles and tractors financing company in India, was the largest detractor from relative returns. In information technology, the Fund’s position in PChome Online, already mentioned, was the biggest disappointment. In energy, the Fund’s position in Pioneer Natural Resources, a U.S. oil and gas exploration and production company, detracted most from returns. |
| Q | | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | | The Fund used futures contracts during the Reporting Period to gain exposure to select stocks, which had a modestly positive effect on results. |
| Q | | Did the Fund make any significant purchases or sales during the Reporting Period? |
| A | | In addition to the purchase of Idea Cellular, mentioned earlier, we established a Fund position in ING Life Insurance Korea, a South Korean life insurance company, via its IPO. In our view, ING Life Insurance Korea is the best capitalized life insurer in South Korea at a time when most insurers in the country are considering deleveraging their books in preparation for adoption of more stringent capital rules. ING Life Insurance Korea’s growth has been driven by gradually increasing its number of agents to which the company offers above-industry pay. At its IPO price, we also expected the company to offer a particularly attractive dividend yield. |
11
PORTFOLIO RESULTS
| | Conversely, we sold the Fund’s position in Techtronic within the consumer discretionary sector in China. Techtronic is a manufacturer of electrical and electronic products. While 100% of its products are manufactured in China, approximately 80% of its sales are from the U.S. We eliminated the position as its valuation appeared elevated in our view, especially in the context of uncertainties related to potential changes in U.S. trade policies. |
| | We exited the Fund’s position in Mahindra & Mahindra Financial Services, India’s leading rural non-banking financial company based on asset quality pressures, higher credit costs and reduced collection efficiency following the effect of demonetization. (On November 8, 2016, India’s Prime Minister Narendra Modi announced that 86% of the country’s currency would be rendered null and void in 50 days. It was posited as a move to crackdown on corruption and the country’s booming under-regulated and virtually untaxed grassroots economy, but was also being used as a driver to get millions of Indians onto the country’s official economic grid — many for the first time. Modi’s crackdown saw all 500 and 1,000 rupee notes — the country’s most popular currency denominations — removed from circulation, while a new 2,000 rupee note was added in. Five hundred rupees is roughly the equivalent of $7.50.) |
| Q | | Were there any notable changes in the Fund’s weightings during the Reporting Period? |
| A | | Fund weightings at a sector level are driven by bottom-up stock selection. That said, during the Reporting Period, the Fund’s exposure relative to the Index to industrials, consumer staples and telecommunication services increased, and its allocations relative to the Index to financials, information technology and consumer discretionary 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 South Korea increased, and its allocations relative to the Index to India, Taiwan and China decreased. |
| Q | | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
| A | | Prashant Khemka, Chief Investment Officer and portfolio manager for the Fund left the firm to pursue other opportunities. Basak Yavuz has taken over as the lead portfolio manager of the Fund. |
| 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 and Peru and underweighted exposures to South Korea, South Africa, China, Taiwan, Malaysia, the Philippines 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 Argentina, Georgia, Germany, Singapore, the U.K., the U.S. and Vietnam. The Fund had no exposure to Hungary and Qatar 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, consumer staples and health care at the end of the Reporting Period. The Fund had underweighted positions compared to the Index in the energy, telecommunication services, information technology, real estate and materials sectors at the end of the Reporting Period. The Fund had rather neutral exposure to the industrials sector and 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. |
12
FUND BASICS
Emerging Markets Equity Fund
as of April 30, 2017
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2016–April 30, 2017 | | Fund Total Return
(based on NAV)1 | | | MSCI® Emerging
Markets Index2 | |
| | Class A | | | 8.93 | % | | | 8.88 | % |
| | Class C | | | 8.53 | | | | 8.88 | |
| | Institutional | | | 9.13 | | | | 8.88 | |
| | Service | | | 8.87 | | | | 8.88 | |
| | Class IR | | | 9.09 | | | | 8.88 | |
| | | Class R6 | | | 9.23 | | | | 8.88 | |
| | 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 April 30, 2017 the MSCI® Emerging Markets Index consists of the following 23 emerging market country indexes: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates. For this Index, 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. The MSCI Emerging Markets Index does not reflect any deductions of expenses associated with mutual funds such as management fees and other expenses. It is not possible to invest directly in an index. |
| | | | | | | | | | | | | | | | | | |
| | STANDARDIZED TOTAL RETURNS3 |
| | | For the period ended 3/31/17 | | One Year | | | Five Years | | | Ten Years | | | Since Inception | | Inception Date |
| | Class A | | | 9.20 | % | | | 1.49 | % | | | 1.17 | % | | 5.75% | | 12/15/97 |
| | Class C | | | 13.61 | | | | 1.86 | | | | 0.98 | | | 5.37 | | 12/15/97 |
| | Institutional | | | 16.03 | | | | 3.04 | | | | 2.15 | | | 6.59 | | 12/15/97 |
| | Service | | | 15.44 | | | | 2.53 | | | | 1.64 | | | 5.95 | | 12/15/97 |
| | Class IR | | | 15.82 | | | | 2.88 | | | | N/A | | | 3.21 | | 8/31/10 |
| | | Class R6 | | | 16.07 | | | | N/A | | | | N/A | | | 5.96 | | 7/31/15 |
| | 3 | | The Standardized Total Returns are average annual 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.
13
FUND BASICS
| | | | | | | | | | |
| | EXPENSE RATIOS4 | |
| | | | | Net Expense Ratio (Current) | | | Gross Expense Ratio (Before Waivers) | |
| | Class A | | | 1.66 | % | | | 1.91 | % |
| | Class C | | | 2.41 | | | | 2.66 | |
| | Institutional | | | 1.26 | | | | 1.51 | |
| | Service | | | 1.76 | | | | 2.01 | |
| | Class IR | | | 1.41 | | | | 1.65 | |
| | | Class R6 | | | 1.24 | | | | 1.48 | |
| | 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 28, 2018, 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 4/30/175 |
| | | Holding | | % of Net Assets | | | Line of Business | | Country |
| | Tencent Holdings Ltd. | | | 4.8 | % | | Software & Services | | China |
| | Taiwan Semiconductor Manufacturing Co. Ltd. | | | 2.7 | | | Semiconductors &
Semiconductor Equipment | | Taiwan |
| | Samsung Electronics Co. Ltd. | | | 2.6 | | | Technology Hardware &
Equipment | | South Korea |
| | Ping An Insurance Group Co. of China Ltd. Class H | | | 2.4 | | | Insurance | | China |
| | Kweichow Moutai Co. Ltd. Class A | | | 2.2 | | | Food, Beverage & Tobacco | | China |
| | AIA Group Ltd. | | | 2.2 | | | Insurance | | Hong Kong |
| | Hong Kong Exchanges & Clearing Ltd. | | | 1.9 | | | Diversified Financials | | Hong Kong |
| | iShares MSCI South Korea Capped Fund | | | 1.8 | | | Diversified Financials | | United States |
| | PChome Online, Inc. | | | 1.6 | | | Software & Services | | Taiwan |
| | | Alibaba Group Holding Ltd.
ADR | | | 1.5 | | | Software & Services | | China |
| | 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, 2017 |
| | 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 (excluding investments in the securities lending reinvestment vehicle, if any). Underlying sector allocations of exchange traded funds and investment companies held by the Fund are not reflected in the graph above. Investments in the securities lending reinvestment vehicle represented 1.0% of the Fund’s net assets at April 30, 2017. 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, 2017 (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 2.67%, 2.42%, 3.03% and 2.89%, respectively. These returns compare to the 4.99% cumulative total return of the Fund’s benchmark, the MSCI® Next 11 ex-Iran GDP Weighted 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 posted solid positive absolute returns but underperformed the Index on a relative basis during the Reporting Period. The Fund’s stock selection in Mexico, Turkey and Indonesia detracted most. Such detractors were only partially offset by the positive contributions of effective stock selection in Pakistan, South Korea and Bangladesh. Having an overweighted allocation to Pakistan, which significantly outpaced the Index during the Reporting Period, also helped. |
| 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 Alsea, Unifin Financiera and Commercial International Bank. |
| | Alsea, a Mexico-based leading multi-brand restaurant operator, is not a component of the Index and underperformed the Index during the Reporting Period. Unifin Financiera is a Mexico-based leasing company focusing on small and medium enterprises. Each stock performed poorly due primarily to weakness of the peso, which fell with the outcome of the U.S. elections. |
| | Commercial International Bank is one of the largest private sector banks in Egypt. Its stock detracted from relative performance, as the company reported lower than market expected quarterly results. Also, a weakening of its balance sheet due to rising non-performing loans was a concern. (A non-performing loan is the sum of borrowed money upon which the debtor has not made his or her scheduled 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 strongest contributors to the Fund’s performance during the Reporting Period were BRAC Bank, Habib Bank and Hanssem. |
| | BRAC Bank is one of the private commercial banks in Bangladesh focused on small and medium enterprises. Its stock performed well during the Reporting Period, as the company reported strong year-over-year bottom-line growth that beat market expectations. |
| | Similarly, Habib Bank, one of the leading banks of Pakistan, outpaced the Index during the Reporting Period, as the company reported results better than market expectations as well as improving asset quality. |
| | Hanssem, the leading manufacturer and retailer of kitchen and bathroom cabinets in South Korea, contributed positively to the Fund’s results during the Reporting Period. Its stock performed well, as the company met consensus estimates of operating profits, in part based on its interior decoration division expanding on strong online sales. |
| Q | | Which equity market sectors most significantly affected Fund performance during the Reporting Period? |
| A | | Relative to the Index, weak stock selection within the financials and consumer discretionary sectors and having an underweighted allocation to energy, which outpaced the |
16
PORTFOLIO RESULTS
| | Index during the Reporting Period, detracted most from the Fund’s performance. At an individual stock level, the Fund’s position in Commercial International Bank, mentioned earlier, was the largest detractor from relative results within the financials sector. In consumer discretionary, the Fund’s overweight position in Alsea, also mentioned already, hurt most. In energy, the Fund’s position in Tupras, Turkey’s only oil refiner, operating four refineries, dampened results most. |
| | Conversely, strong stock selection within utilities, consumer staples and real estate contributed most positively to the Fund’s performance. In utilities, the Fund’s holding in Aygaz, one of the largest industrial organizations in Turkey, was the strongest contributor to performance. In consumer staples, the Fund’s holding in Nigerian Breweries, pioneer and largest brewing company in Nigeria, was the greatest positive contributor to results. In real estate, the Fund’s position in TMG Holding, a leading community real estate developer in Egypt, 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 did not use derivatives or similar instruments. |
| Q | | Did the Fund make any significant purchases or sales during the Reporting Period? |
| A | | We initiated a Fund position in POSCO, a multi-national steel-making company headquartered in South Korea. We like the company, as we believe it could be a beneficiary of supply reform in the steel sector in China. |
| | We established a Fund position in Eregli Demir ve Celik Fabrikalari TAS (“Erdemir”). The Turkey-based company manufactures cold and hot rolled steel sheet and tinplate, and its products are used in the automotive, pipe, home appliance, pressurized container and machinery manufacturing industries. We believe the company has a strong balance sheet, healthy margins, product and raw materials procurement optimization. These factors, along with rising exports to the European Union, could, in our view, play well over the long term. |
| | Conversely, within South Korea’s materials sector, we exited the Fund’s position in Korea Zinc, the world’s second-largest producer of zinc metal, with by-products including lead, silver, gold and copper. Its stock had underperformed based on low sales volume guidance, which reflected unfavorable smelting market supply/demand conditions. |
| | Within Mexico’s industrial sector, we eliminated the Fund’s position in Alfa, a conglomerate with a diversified group of businesses, primarily industrials. Its stock had declined during the Reporting Period over concerns related to the weakening peso. |
| Q | | Were there any notable changes in the Fund’s weightings during the Reporting Period? |
| A | | Fund weightings at a sector level are driven by bottom-up stock selection. That said, during the Reporting Period, the Fund’s exposure relative to the Index to consumer staples and materials increased, and its allocations relative to the Index to consumer discretionary, telecommunication services and industrials 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 Pakistan, Vietnam and Mexico increased, and its exposure relative to the Index in Nigeria, Bangladesh and Egypt decreased. |
| Q | | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
| A | | Prashant Khemka, Chief Investment Officer and portfolio manager for the Fund left the firm to pursue other opportunities. |
| 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 overweight relative to the Index in Pakistan, Vietnam and the Philippines and was relatively neutrally weighted to the Index in all of the remaining country components of the Index, with the exception of Nigeria, where the Fund held no exposure at all. |
| | From a sector allocation perspective, the Fund had overweighted positions relative to the Index in financials, and to a lesser extent, in consumer staples. The Fund had underweighted positions compared to the Index in industrials, telecommunication services, energy and consumer discretionary at the end of the Reporting Period. The Fund was relatively neutrally weighted to the Index in all of the remaining sectors of the Index 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. |
17
FUND BASICS
N-11 Equity Fund
as of April 30, 2017
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2016–April 30, 2017 | | Fund Total Return
(based on NAV)1 | | | MSCI® Next 11 ex-Iran GDP
Weighted Index (Net,
USD, Unhedged)2 | |
| | Class A | | | 2.67 | % | | | 4.99 | % |
| | Class C | | | 2.42 | | | | 4.99 | |
| | Institutional | | | 3.03 | | | | 4.99 | |
| | | Class IR | | | 2.89 | | | | 4.99 | |
| | 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 3/31/17 | | One Year | | | Five Years | | | Since Inception | | | Inception Date | |
| | Class A | | | -5.47 | % | | | -2.87 | % | | | -2.53 | % | | | 2/28/11 | |
| | Class C | | | -1.68 | | | | -2.47 | | | | -2.36 | | | | 2/28/11 | |
| | Institutional | | | 0.48 | | | | -1.36 | | | | -1.23 | | | | 2/28/11 | |
| | | Class IR | | | 0.22 | | | | -1.53 | | | | -1.38 | | | | 2/28/11 | |
| | 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 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.
18
FUND BASICS
| | | | | | | | | | |
| | EXPENSE RATIOS4 | |
| | | | | Net Expense Ratio (Current) | | | Gross Expense Ratio (Before Waivers) | |
| | Class A | | | 1.75 | % | | | 2.40 | % |
| | Class C | | | 2.50 | | | | 3.15 | |
| | Institutional | | | 1.34 | | | | 2.00 | |
| | | Class IR | | | 1.49 | | | | 2.15 | |
| | 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 28, 2018, 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 4/30/175 |
| | | Holding | | % of Net Assets | | | Line of Business | | Country |
| | Samsung Electronics Co. Ltd. | | | 7.7 | % | | Technology Hardware &
Equipment | | South Korea |
| | Commercial International Bank Egypt SAE | | | 4.7 | | | Banks | | Egypt |
| | Bank Central Asia Tbk. PT | | | 4.5 | | | Banks | | Indonesia |
| | Telekomunikasi Indonesia Persero Tbk. PT | | | 3.2 | | | Telecommunication Services | | Indonesia |
| | Vietnam Dairy Products JSC | | | 2.3 | | | Food, Beverage & Tobacco | | Vietnam |
| | Akbank TAS | | | 2.3 | | | Banks | | Turkey |
| | Wal-Mart de Mexico SAB de CV | | | 2.3 | | | Food & Staples Retailing | | Mexico |
| | Grupo Financiero Banorte SAB de CV Class O | | | 2.3 | | | Banks | | Mexico |
| | United Bank Ltd. | | | 2.2 | | | Banks | | Pakistan |
| | | Unifin Financiera SAB de CV SOFOM ENR | | | 2.1 | | | Diversified Financials | | Mexico |
| | 5 | | The top 10 holdings may not be representative of the Fund’s future investments. |
19
FUND BASICS
|
| FUND VS. BENCHMARK SECTOR ALLOCATIONS6 |
| As of April 30, 2017 |
| | 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. |
20
GOLDMAN SACHS ASIA EQUITY FUND
Schedule of Investments
April 30, 2017 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – 99.6% | |
| China – 31.4% | | | |
| | 13,473 | | | Alibaba Group Holding Ltd. ADR (Software & Services)* | | $ | 1,556,131 | |
| | 1,088,000 | | | Angang Steel Co. Ltd. Class H (Materials) | | | 730,199 | |
| | 236,300 | | | Anhui Conch Cement Co. Ltd. Class H (Materials) | | | 826,354 | |
| | 198,000 | | | Brilliance China Automotive Holdings Ltd. (Automobiles & Components) | | | 331,690 | |
| | 248,000 | | | China Communications Construction Co. Ltd. Class H (Capital Goods) | | | 340,520 | |
| | 689,500 | | | China Merchants Bank Co. Ltd. Class H (Banks) | | | 1,786,504 | |
| | 142,000 | | | China Overseas Land & Investment Ltd. (Real Estate) | | | 411,884 | |
| | 708,000 | | | China Petroleum & Chemical Corp. Class H (Energy) | | | 574,934 | |
| | 20,996 | | | Ctrip.com International Ltd. ADR (Retailing)* | | | 1,060,508 | |
| | 1,467,000 | | | Hilong Holding Ltd. (Energy) | | | 319,955 | |
| | 1,849,635 | | | Industrial & Commercial Bank of China Ltd. Class H (Banks) | | | 1,205,714 | |
| | 95,989 | | | Jiangsu Hengrui Medicine Co. Ltd. Class A (Pharmaceuticals, Biotechnology & Life Sciences) | | | 746,352 | |
| | 20,540 | | | Kweichow Moutai Co. Ltd. Class A (Food, Beverage & Tobacco) | | | 1,230,647 | |
| | 210,000 | | | Minth Group Ltd. (Automobiles & Components) | | | 779,325 | |
| | 16,848 | | | New Oriental Education & Technology Group, Inc. ADR (Consumer Services)* | | | 1,087,370 | |
| | 312,000 | | | Ping An Insurance Group Co. of China Ltd. Class H (Insurance) | | | 1,754,143 | |
| | 89,000 | | | Shenzhou International Group Holdings Ltd. (Consumer Durables & Apparel) | | | 585,613 | |
| | 34,752 | | | Silergy Corp. (Semiconductors & Semiconductor Equipment) | | | 628,422 | |
| | 121,100 | | | Tencent Holdings Ltd. (Software & Services) | | | 3,794,467 | |
| | 23,617 | | | Vipshop Holdings Ltd. ADR (Retailing)* | | | 327,568 | |
| | | | | | | | |
| | | | | | | 20,078,300 | |
| | |
| Hong Kong – 9.8% | | | |
| | 347,836 | | | AIA Group Ltd. (Insurance) | | | 2,407,524 | |
| | 44,500 | | | ASM Pacific Technology Ltd. (Semiconductors & Semiconductor Equipment) | | | 662,493 | |
| | 203,000 | | | Chow Tai Fook Jewellery Group Ltd. (Retailing) | | | 223,088 | |
| | 259,000 | | | Galaxy Entertainment Group Ltd. (Consumer Services) | | | 1,438,864 | |
| | 44,166 | | | Hong Kong Exchanges & Clearing Ltd. (Diversified Financials) | | | 1,086,221 | |
| | 92,600 | | | IMAX China Holding, Inc. (Media)*(a) | | | 435,453 | |
| | 1,960,000 | | | Peace Mark Holdings Ltd. (Consumer Durables & Apparel)* | | | — | |
| | | | | | | | |
| | | | | | | 6,253,643 | |
| | |
| Common Stocks – (continued) | |
| India – 14.0% | | | |
| | 2,555 | | | Abbott India Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 175,454 | |
| | 20,768 | | | AIA Engineering Ltd. (Capital Goods) | | | 486,513 | |
| | 8,839 | | | Bajaj Finance Ltd. (Diversified Financials) | | | 175,206 | |
| | 3,687 | | | Bayer CropScience Ltd. (Materials) | | | 260,284 | |
| | 21,381 | | | Bharat Financial Inclusion Ltd. (Diversified Financials)* | | | 267,094 | |
| | 24,926 | | | Castrol India Ltd. (Materials) | | | 169,739 | |
| | 12,304 | | | Credit Analysis & Research Ltd. (Diversified Financials) | | | 302,170 | |
| | 140,444 | | | Crompton Greaves Consumer Electricals Ltd. (Consumer Durables & Apparel)* | | | 480,485 | |
| | 29,444 | | | Dewan Housing Finance Corp. Ltd. (Banks) | | | 195,299 | |
| | 183,862 | | | Edelweiss Financial Services Ltd. (Diversified Financials) | | | 478,466 | |
| | 847 | | | Eicher Motors Ltd. (Capital Goods)* | | | 342,813 | |
| | 239,123 | | | Hindalco Industries Ltd. (Materials) | | | 739,942 | |
| | 157,201 | | | Hindustan Zinc Ltd. (Materials) | | | 654,280 | |
| | 545,332 | | | Idea Cellular Ltd. (Telecommunication Services) | | | 728,600 | |
| | 7,871 | | | Info Edge India Ltd. (Software & Services) | | | 102,156 | |
| | 22,248 | | | Laurus Labs Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)*(a) | | | 179,803 | |
| | 5,952 | | | Maruti Suzuki India Ltd. (Automobiles & Components) | | | 603,267 | |
| | 431 | | | MRF Ltd. (Automobiles & Components) | | | 455,028 | |
| | 17,894 | | | Multi Commodity Exchange of India Ltd. (Diversified Financials) | | | 338,164 | |
| | 90,449 | | | Muthoot Finance Ltd. (Diversified Financials) | | | 553,869 | |
| | 6,499 | | | Navin Fluorine International Ltd. (Materials) | | | 316,922 | |
| | 68,259 | | | Prestige Estates Projects Ltd. (Real Estate)* | | | 250,456 | |
| | 1,399 | | | Procter & Gamble Hygiene & Health Care Ltd. (Household & Personal Products) | | | 160,380 | |
| | 16,674 | | | TeamLease Services Ltd. (Commercial & Professional Services)* | | | 274,345 | |
| | 9,104 | | | Thermax Ltd. (Capital Goods) | | | 145,863 | |
| | 22,732 | | | VRL Logistics Ltd. (Transportation) | | | 117,467 | |
| | | | | | | | |
| | | | | | | 8,954,065 | |
| | |
| Indonesia – 2.5% | | | |
| | 810,700 | | | Indofood CBP Sukses Makmur Tbk. PT (Food, Beverage & Tobacco) | | | 532,975 | |
| | 1,727,400 | | | Surya Citra Media Tbk. PT (Media) | | | 369,629 | |
| | 2,009,400 | | | Telekomunikasi Indonesia Persero Tbk. PT (Telecommunication Services) | | | 662,874 | |
| | | | | | | | |
| | | | | | | 1,565,478 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 21 |
GOLDMAN SACHS ASIA EQUITY FUND
Schedule of Investments (continued)
April 30, 2017 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – (continued) | |
| Italy – 1.6% | | | |
| | 216,000 | | | PRADA SpA (Consumer Durables & Apparel) | | $ | 1,010,912 | |
| | |
| Malaysia – 2.1% | | | |
| | 533,200 | | | Gamuda Bhd. (Capital Goods) | | | 647,157 | |
| | 509,000 | | | Genting Malaysia Bhd. (Consumer Services) | | | 687,912 | |
| | | | | | | | |
| | | | | | | 1,335,069 | |
| | |
| Philippines – 1.2% | | | |
| | 88,820 | | | Jollibee Foods Corp. (Consumer Services) | | | 373,190 | |
| | 693,200 | | | Megawide Construction Corp. (Consumer Durables & Apparel)* | | | 256,386 | |
| | 108,510 | | | Pilipinas Shell Petroleum Corp. (Energy)* | | | 159,621 | |
| | | | | | | | |
| | | | | | | 789,197 | |
| | |
| Singapore – 1.9% | | | |
| | 90,210 | | | DBS Group Holdings Ltd. (Banks) | | | 1,245,836 | |
| | |
| South Korea – 22.8% | | | |
| | 421 | | | Amorepacific Corp. (Household & Personal Products) | | | 107,967 | |
| | 2,008 | | | CJ CGV Co. Ltd. (Media) | | | 150,795 | |
| | 140,041 | | | DGB Financial Group, Inc. (Banks) | | | 1,431,573 | |
| | 57,792 | | | Doosan Infracore Co. Ltd. (Capital Goods)* | | | 477,984 | |
| | 3,790 | | | Hanssem Co. Ltd. (Consumer Durables & Apparel) | | | 732,694 | |
| | 622 | | | Hugel, Inc. (Pharmaceuticals, Biotechnology & Life Sciences)* | | | 254,665 | |
| | 861 | | | Hyundai Mobis Co. Ltd. (Automobiles & Components) | | | 167,913 | |
| | 33,840 | | | ING Life Insurance Korea Ltd. (Insurance)* | | | 981,387 | |
| | 5,267 | | | Korea Kolmar Co. Ltd. (Household & Personal Products) | | | 371,304 | |
| | 345 | | | Korea Zinc Co. Ltd. (Materials) | | | 128,957 | |
| | 10,495 | | | Korean Air Lines Co. Ltd. (Transportation)* | | | 282,279 | |
| | 3,650 | | | LG Chem Ltd. (Materials) | | | 877,928 | |
| | 1,589 | | | LG Innotek Co. Ltd. (Technology Hardware & Equipment) | | | 183,498 | |
| | 4,104 | | | Modetour Network, Inc. (Consumer Services) | | | 142,462 | |
| | 651 | | | NAVER Corp. (Software & Services) | | | 457,538 | |
| | 2,422 | | | NCSoft Corp. (Software & Services) | | | 765,947 | |
| | 722 | | | Netmarble Games Corp. (Software & Services)*(a) | | | 99,617 | |
| | 1,136 | | | NongShim Co. Ltd. (Food, Beverage & Tobacco) | | | 316,563 | |
| | 5,200 | | | Osstem Implant Co. Ltd. (Health Care Equipment & Services)* | | | 241,004 | |
| | 169,696 | | | Pan Ocean Co. Ltd. (Transportation)* | | | 775,896 | |
| | 2,466 | | | POSCO (Materials) | | | 582,181 | |
| | |
| Common Stocks – (continued) | |
| South Korea – (continued) | | | |
| | 2,068 | | | Samsung Electronics Co. Ltd. (Technology Hardware & Equipment) | | | 4,054,167 | |
| | 1,362 | | | Samsung Fire & Marine Insurance Co. Ltd. (Insurance) | | | 320,658 | |
| | 14,412 | | | SK Hynix, Inc. (Semiconductors & Semiconductor Equipment) | | | 682,745 | |
| | | | | | | | |
| | | | | | | 14,587,722 | |
| | |
| Taiwan – 7.9% | | | |
| | 118,000 | | | Chipbond Technology Corp. (Semiconductors & Semiconductor Equipment) | | | 175,980 | |
| | 6,000 | | | Chunghwa Precision Test Tech Co. Ltd. (Technology Hardware & Equipment) | | | 233,436 | |
| | 143,000 | | | Fubon Financial Holding Co. Ltd. (Diversified Financials) | | | 223,856 | |
| | 20,000 | | | Gourmet Master Co. Ltd. (Consumer Services) | | | 200,834 | |
| | 2,000 | | | Largan Precision Co. Ltd. (Technology Hardware & Equipment) | | | 332,139 | |
| | 31,000 | | | Nien Made Enterprise Co. Ltd. (Consumer Durables & Apparel) | | | 313,569 | |
| | 39,787 | | | PChome Online, Inc. (Software & Services) | | | 339,810 | |
| | 28,775 | | | Poya International Co. Ltd. (Retailing) | | | 392,937 | |
| | 408,338 | | | Taiwan Semiconductor Manufacturing Co. Ltd. (Semiconductors & Semiconductor Equipment) | | | 2,630,470 | |
| | 46,000 | | | Win Semiconductors Corp. (Semiconductors & Semiconductor Equipment) | | | 204,863 | |
| | | | | | | | |
| | | | | | | 5,047,894 | |
| | |
| Thailand – 2.9% | | | |
| | 535,900 | | | Airports of Thailand PCL (Transportation) | | | 623,437 | |
| | 115,100 | | | Bumrungrad Hospital PCL (Health Care Equipment & Services) | | | 583,447 | |
| | 968,100 | | | Thai Beverage PCL (Food, Beverage & Tobacco) | | | 640,887 | |
| | | | | | | | |
| | | | | | | 1,847,771 | |
| | |
| United States – 0.3% | | | |
| | 3,052 | | | Cognizant Technology Solutions Corp. Class A (Software & Services)* | | | 183,822 | |
| | |
| Vietnam – 1.2% | | | |
| | 112,950 | | | Vietnam Dairy Products JSC (Food, Beverage & Tobacco) | | | 735,006 | |
| | |
| | TOTAL COMMON STOCKS | |
| | (Cost $59,522,199) | | $ | 63,634,715 | |
| | |
| | |
| 22 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ASIA EQUITY FUND
| | | | | | | | | | |
| Units | | Description | | Expiration
Month | | | Value | |
| Participation Notes* – 0.4% | |
| China – 0.4% | |
| 26,398 | | Hangzhou Robam Appliances
Co. Ltd. (Consumer Durables
& Apparel) | | | 10/17 | | | $ | 208,624 | |
| 6,100 | | Hangzhou Robam Appliances
Co. Ltd. (Consumer Durables
& Apparel)(a) | | | 03/18 | | | | 48,209 | |
| |
| TOTAL PARTICIPATION NOTES | |
| (Cost $191,934) | | | $ | 256,833 | |
| |
| | | | | | |
| Shares | | Distribution
Rate | | Value | |
| Investment Company(b)(c) – 0.5% | |
Goldman Sachs Financial Square Government Fund – Institutional Shares | |
| 294,152 | | 0.656% | | $ | 294,152 | |
| (Cost $294,152) | | | | |
| |
| TOTAL INVESTMENTS – 100.5% | |
| (Cost $60,008,285) | | $ | 64,185,700 | |
| |
LIABILITIES IN EXCESS OF OTHER ASSETS – (0.5)% | | | (306,276 | ) |
| |
| NET ASSETS – 100.0% | | $ | 63,879,424 | |
| |
| | |
| 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 $763,082, which represents approximately 1.2% of net assets as of April 30, 2017. |
(b) | | Represents an affiliated issuer. |
(c) | | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on April 30, 2017. |
| | |
|
Investment Abbreviation: |
ADR | | —American Depositary Receipt |
|
| | |
| The accompanying notes are an integral part of these financial statements. | | 23 |
GOLDMAN SACHS EMERGING MARKETS EQUITY FUND
Schedule of Investments
April 30, 2017 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – 95.3% | |
| Argentina – 1.7% | | | |
| | 331,346 | | | Grupo Supervielle SA ADR (Banks)*(a) | | $ | 5,629,569 | |
| | 30,485 | | | MercadoLibre, Inc. (Software & Services) | | | 6,978,321 | |
| | | | | | | | |
| | | | | | | 12,607,890 | |
| | |
| Australia – 0.5% | | | |
| | 290,241 | | | SEEK Ltd. (Commercial & Professional Services) | | | 3,697,139 | |
| | |
| Austria – 0.3% | | | |
| | 30,319 | | | DO & CO AG (Consumer Services)(a) | | | 2,046,982 | |
| | |
| Brazil – 6.1% | | | |
| | 813,970 | | | Banco Bradesco SA (Preference) (Banks)(b) | | | 8,567,835 | |
| | 648,341 | | | BB Seguridade Participacoes SA (Insurance) | | | 6,105,421 | |
| | 1,194,655 | | | BM&FBovespa SA – Bolsa de Valores Mercadorias e Futuros (Diversified Financials)* | | | 7,155,020 | |
| | 448,700 | | | Bradespar SA (Preference) (Materials)(b) | | | 2,806,098 | |
| | 450,000 | | | CVC Brasil Operadora e Agencia de Viagens SA (Consumer Services) | | | 4,389,345 | |
| | 267,000 | | | Fleury SA (Health Care Equipment & Services) | | | 4,417,965 | |
| | 1,306,700 | | | FPC Par Corretora de Seguros SA (Insurance) | | | 7,780,794 | |
| | 856,509 | | | Odontoprev SA (Health Care Equipment & Services) | | | 3,089,752 | |
| | | | | | | | |
| | | | | | | 44,312,230 | |
| | |
| Chile – 0.4% | | | |
| | 35,432 | | | Banco de Chile ADR (Banks) | | | 2,596,103 | |
| | |
| China – 16.1% | | | |
| | 48,671 | | | 58.com, Inc. ADR (Software & Services)*(a) | | | 1,926,398 | |
| | 96,940 | | | Alibaba Group Holding Ltd. ADR (Software & Services)* | | | 11,196,570 | |
| | 25,120 | | | Baidu, Inc. ADR (Software & Services)* | | | 4,527,378 | |
| | 148,958 | | | Ctrip.com International Ltd. ADR (Retailing)* | | | 7,523,869 | |
| | 82,761 | | | JD.com, Inc. ADR (Retailing)* | | | 2,902,428 | |
| | 460,950 | | | Jiangsu Hengrui Medicine Co. Ltd. Class A (Pharmaceuticals, Biotechnology & Life Sciences) | | | 3,584,068 | |
| | 267,800 | | | Kweichow Moutai Co. Ltd. Class A (Food, Beverage & Tobacco) | | | 16,045,147 | |
| | 972,000 | | | Minth Group Ltd. (Automobiles & Components) | | | 3,607,160 | |
| | 163,681 | | | New Oriental Education & Technology Group, Inc. ADR (Consumer Services)* | | | 10,563,972 | |
| | 3,137,500 | | | Ping An Insurance Group Co. of China Ltd. Class H (Insurance) | | | 17,639,819 | |
| | 136,497 | | | Silergy Corp. (Semiconductors & Semiconductor Equipment) | | | 2,468,280 | |
| | |
| Common Stocks – (continued) | |
| China – (continued) | | | |
| | 1,114,100 | | | Tencent Holdings Ltd. (Software & Services) | | | 34,908,472 | |
| | | | | | | | |
| | | | | | | 116,893,561 | |
| | |
| Colombia – 0.5% | | | |
| | 91,174 | | | Banco de Bogota SA (Banks) | | | 1,868,726 | |
| | 106,850 | | | Grupo Aval Acciones y Valores SA ADR (Banks) | | | 852,663 | |
| | 3,026,080 | | | Grupo Aval Acciones y Valores SA (Preference) (Banks)(b) | | | 1,198,295 | |
| | | | | | | | |
| | | | | | | 3,919,684 | |
| | |
| Czech Republic – 0.8% | | | |
| | 1,836,574 | | | Moneta Money Bank A/S (Banks)(a)(c) | | | 5,938,589 | |
| | |
| Egypt – 0.2% | | | |
| | 319,281 | | | Commercial International Bank Egypt SAE GDR (Banks) | | | 1,364,926 | |
| | |
| Georgia – 0.9% | | | |
| | 44,784 | | | BGEO Group plc (Banks) | | | 2,084,223 | |
| | 205,317 | | | TBC Bank Group plc (Banks)* | | | 4,321,307 | |
| | | | | | | | |
| | | | | | | 6,405,530 | |
| | |
| Germany – 1.3% | | | |
| | 337,736 | | | Infineon Technologies AG (Semiconductors & Semiconductor Equipment) | | | 6,980,856 | |
| | 32,460 | | | Stabilus SA (Capital Goods) | | | 2,350,998 | |
| | | | | | | | |
| | | | | | | 9,331,854 | |
| | |
| Greece – 1.2% | | | |
| | 497,959 | | | Hellenic Exchanges – Athens Stock Exchange SA (Diversified Financials) | | | 2,634,371 | |
| | 198,886 | | | JUMBO SA (Retailing) | | | 3,139,208 | |
| | 229,393 | | | Sarantis SA (Household & Personal Products)* | | | 2,888,587 | |
| | | | | | | | |
| | | | | | | 8,662,166 | |
| | |
| Hong Kong – 5.7% | | | |
| | 2,306,200 | | | AIA Group Ltd. (Insurance) | | | 15,962,214 | |
| | 1,725,000 | | | Galaxy Entertainment Group Ltd. (Consumer Services) | | | 9,583,166 | |
| | 547,295 | | | Hong Kong Exchanges & Clearing Ltd. (Diversified Financials) | | | 13,460,201 | |
| | 426,500 | | | IMAX China Holding, Inc. (Media)*(c) | | | 2,005,622 | |
| | | | | | | | |
| | | | | | | 41,011,203 | |
| | |
| India – 14.6% | | | |
| | 25,285 | | | Abbott India Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 1,736,345 | |
| | 208,486 | | | AIA Engineering Ltd. (Capital Goods) | | | 4,884,011 | |
| | 982,857 | | | Ashiana Housing Ltd. (Real Estate)* | | | 3,404,626 | |
| | 127,910 | | | Bajaj Finance Ltd. (Diversified Financials) | | | 2,535,427 | |
| | 44,573 | | | Bayer CropScience Ltd. (Materials) | | | 3,146,627 | |
| | 215,065 | | | Bharat Financial Inclusion Ltd. (Diversified Financials)* | | | 2,686,621 | |
| | 262,477 | | | Castrol India Ltd. (Materials) | | | 1,787,396 | |
| | |
| | |
| 24 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS EMERGING MARKETS EQUITY FUND
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – (continued) | |
| India – (continued) | | | |
| | 100,826 | | | Credit Analysis & Research Ltd. (Diversified Financials) | | $ | 2,476,152 | |
| | 1,712,981 | | | Crompton Greaves Consumer Electricals Ltd. (Consumer Durables & Apparel)* | | | 5,860,422 | |
| | 462,602 | | | Dewan Housing Finance Corp. Ltd. (Banks) | | | 3,068,385 | |
| | 1,923,791 | | | Edelweiss Financial Services Ltd. (Diversified Financials) | | | 5,006,303 | |
| | 10,760 | | | Eicher Motors Ltd. (Capital Goods)* | | | 4,354,985 | |
| | 2,512,967 | | | Hindalco Industries Ltd. (Materials) | | | 7,776,120 | |
| | 1,772,708 | | | Hindustan Zinc Ltd. (Materials) | | | 7,378,122 | |
| | 5,999,177 | | | Idea Cellular Ltd. (Telecommunication Services) | | | 8,015,306 | |
| | 249,132 | | | Info Edge India Ltd. (Software & Services) | | | 3,233,439 | |
| | 216,442 | | | Laurus Labs Ltd. (Pharmaceuticals, Biotechnology & Life Sciences)*(c) | | | 1,749,234 | |
| | 71,778 | | | Maruti Suzuki India Ltd. (Automobiles & Components) | | | 7,275,077 | |
| | 106,621 | | | MPS Ltd. (Media)* | | | 1,116,947 | |
| | 4,520 | | | MRF Ltd. (Automobiles & Components) | | | 4,771,991 | |
| | 173,274 | | | Multi Commodity Exchange of India Ltd. (Diversified Financials) | | | 3,274,567 | |
| | 975,410 | | | Muthoot Finance Ltd. (Diversified Financials) | | | 5,972,971 | |
| | 50,754 | | | Navin Fluorine International Ltd. (Materials) | | | 2,475,002 | |
| | 684,355 | | | Prestige Estates Projects Ltd. (Real Estate)* | | | 2,511,034 | |
| | 18,315 | | | Procter & Gamble Hygiene & Health Care Ltd. (Household & Personal Products) | | | 2,099,613 | |
| | 199,436 | | | TeamLease Services Ltd. (Commercial & Professional Services)* | | | 3,281,409 | |
| | 165,445 | | | Thermax Ltd. (Capital Goods) | | | 2,650,730 | |
| | 323,501 | | | VRL Logistics Ltd. (Transportation) | | | 1,671,676 | |
| | | | | | | | |
| | | | | | | 106,200,538 | |
| | |
| Indonesia – 2.0% | | | |
| | 7,844,100 | | | Bank Central Asia Tbk. PT (Banks) | | | 10,432,194 | |
| | 3,293,300 | | | Indofood CBP Sukses Makmur Tbk. PT (Food, Beverage & Tobacco) | | | 2,165,100 | |
| | 20,742,800 | | | Summarecon Agung Tbk. PT (Real Estate) | | | 2,111,283 | |
| | | | | | | | |
| | | | | | | 14,708,577 | |
| | |
| Malaysia – 1.3% | | | |
| | 3,909,041 | | | 7-Eleven Malaysia Holdings Bhd. (Food & Staples Retailing) | | | 1,439,846 | |
| | 3,319,800 | | | Bursa Malaysia Bhd. (Diversified Financials) | | | 7,846,383 | |
| | | | | | | | |
| | | | | | | 9,286,229 | |
| | |
| Common Stocks – (continued) | |
| Mexico – 4.2% | | | |
| | 1,327,685 | | | Alsea SAB de CV (Consumer Services) | | | 4,717,539 | |
| | 3,580,682 | | | Becle SAB de CV (Food, Beverage & Tobacco)* | | | 5,991,500 | |
| | 4,042,410 | | | Bolsa Mexicana de Valores SAB de CV (Diversified Financials)* | | | 7,032,519 | |
| | 1,427,720 | | | Gentera SAB de CV (Diversified Financials) | | | 2,393,532 | |
| | 788,900 | | | Grupo Cementos de Chihuahua SAB de CV (Materials) | | | 3,741,830 | |
| | 2,509,368 | | | Unifin Financiera SAB de CV SOFOM ENR (Diversified Financials) | | | 6,567,592 | |
| | | | | | | | |
| | | | | | | 30,444,512 | |
| | |
| Peru – 1.9% | | | |
| | 2,582,358 | | | BBVA Banco Continental SA (Banks) | | | 3,264,021 | |
| | 46,819 | | | Credicorp Ltd. (Banks) | | | 7,194,207 | |
| | 91,353 | | | Intercorp Financial Services, Inc. (Banks) | | | 2,935,172 | |
| | | | | | | | |
| | | | | | | 13,393,400 | |
| | |
| Philippines – 0.2% | | | |
| | 1,050,550 | | | Pilipinas Shell Petroleum Corp. (Energy)* | | | 1,545,390 | |
| | |
| Poland – 1.8% | | | |
| | 196,116 | | | Dino Polska SA (Food & Staples Retailing)*(c) | | | 1,959,542 | |
| | 85,685 | | | KRUK SA (Diversified Financials) | | | 6,317,259 | |
| | 408,293 | | | Warsaw Stock Exchange (Diversified Financials) | | | 4,776,594 | |
| | | | | | | | |
| | | | | | | 13,053,395 | |
| | |
| Russia – 2.7% | | | |
| | 264,440 | | | Lenta Ltd. GDR (Food & Staples Retailing)* | | | 1,684,483 | |
| | 19,486 | | | Magnit PJSC (Food & Staples Retailing) | | | 3,004,865 | |
| | 4,039,557 | | | Moscow Exchange MICEX-RTS PJSC (Diversified Financials) | | | 8,167,912 | |
| | 2,377,373 | | | Sberbank of Russia PJSC (Banks) | | | 6,905,218 | |
| | | | | | | | |
| | | | | | | 19,762,478 | |
| | |
| Singapore – 0.3% | | | |
| | 444,800 | | | Singapore Exchange Ltd. (Diversified Financials) | | | 2,356,955 | |
| | |
| South Africa – 3.1% | | | |
| | 7,930,825 | | | Alexander Forbes Group Holdings Ltd. (Diversified Financials) | | | 3,821,870 | |
| | 147,905 | | | Bid Corp. Ltd. (Food & Staples Retailing) | | | 3,133,375 | |
| | 565,030 | | | Dis-Chem Pharmacies Ltd. (Food & Staples Retailing)*(c) | | | 1,042,221 | |
| | 331,029 | | | JSE Ltd. (Diversified Financials) | | | 3,527,343 | |
| | 2,243,345 | | | Petra Diamonds Ltd. (Materials)* | | | 3,768,538 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 25 |
GOLDMAN SACHS EMERGING MARKETS EQUITY FUND
Schedule of Investments (continued)
April 30, 2017 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – (continued) | |
| South Africa – (continued) | | | |
| | 225,996 | | | Santam Ltd. (Insurance) | | $ | 4,182,966 | |
| | 3,026,770 | | | Transaction Capital Ltd. (Diversified Financials) | | | 3,320,359 | |
| | | | | | | | |
| | | | | | | 22,796,672 | |
| | |
| South Korea – 10.7% | | | |
| | 3,207 | | | Amorepacific Corp. (Household & Personal Products) | | | 822,446 | |
| | 28,485 | | | CJ CGV Co. Ltd. (Media) | | | 2,139,143 | |
| | 35,267 | | | Hanssem Co. Ltd. (Consumer Durables & Apparel) | | | 6,817,920 | |
| | 7,859 | | | Hugel, Inc. (Pharmaceuticals, Biotechnology & Life Sciences)* | | | 3,217,701 | |
| | 382,291 | | | ING Life Insurance Korea Ltd. (Insurance)* | | | 11,086,741 | |
| | 20,643 | | | Korea Kolmar Co. Ltd. (Household & Personal Products) | | | 1,455,255 | |
| | 151,166 | | | Korean Air Lines Co. Ltd. (Transportation)* | | | 4,065,847 | |
| | 11,095 | | | LG Chem Ltd. (Materials) | | | 2,668,660 | |
| | 8,204 | | | NAVER Corp. (Software & Services) | | | 5,765,967 | |
| | 21,199 | | | NCSoft Corp. (Software & Services) | | | 6,704,093 | |
| | 8,187 | | | Netmarble Games Corp. (Software & Services)*(c) | | | 1,129,589 | |
| | 8,382 | | | NongShim Co. Ltd. (Food, Beverage & Tobacco) | | | 2,335,768 | |
| | 46,468 | | | Osstem Implant Co. Ltd. (Health Care Equipment & Services)* | | | 2,153,652 | |
| | 95,814 | | | Samchuly Bicycle Co. Ltd. (Consumer Durables & Apparel) | | | 1,107,055 | |
| | 9,473 | | | Samsung Electronics Co. Ltd. (Technology Hardware & Equipment) | | | 18,571,144 | |
| | 12,161 | | | Samsung Fire & Marine Insurance Co. Ltd. (Insurance) | | | 2,863,087 | |
| | 105,873 | | | SK Hynix, Inc. (Semiconductors & Semiconductor Equipment) | | | 5,015,564 | |
| | | | | | | | |
| | | | | | | 77,919,632 | |
| | |
| Spain – 0.8% | | | |
| | 2,244,115 | | | Prosegur Cash SA (Commercial & Professional Services)*(c) | | | 5,720,164 | |
| | |
| Taiwan – 7.6% | | | |
| | 1,076,000 | | | Chipbond Technology Corp. (Semiconductors & Semiconductor Equipment) | | | 1,604,698 | |
| | 134,000 | | | Chunghwa Precision Test Tech Co. Ltd. (Technology Hardware & Equipment) | | | 5,213,410 | |
| | 26,000 | | | Largan Precision Co. Ltd. (Technology Hardware & Equipment) | | | 4,317,810 | |
| | 336,000 | | | Nien Made Enterprise Co. Ltd. (Consumer Durables & Apparel) | | | 3,398,679 | |
| | 1,353,234 | | | PChome Online, Inc. (Software & Services) | | | 11,557,610 | |
| | 322,783 | | | Poya International Co. Ltd. (Retailing) | | | 4,407,762 | |
| | |
| Common Stocks – (continued) | |
| Taiwan – (continued) | | | |
| | 217,000 | | | President Chain Store Corp. (Food & Staples Retailing) | | | 1,888,416 | |
| | 508,891 | | | Superalloy Industrial Co. Ltd. (Automobiles & Components) | | | 2,985,440 | |
| | 3,076,883 | | | Taiwan Semiconductor Manufacturing Co. Ltd. (Semiconductors & Semiconductor Equipment) | | | 19,820,956 | |
| | | | | | | | |
| | | | | | | 55,194,781 | |
| | |
| Thailand – 1.5% | | | |
| | 2,737,500 | | | Airports of Thailand PCL (Transportation) | | | 3,184,659 | |
| | 8,400,600 | | | Beauty Community PCL (Retailing) | | | 2,388,932 | |
| | 536,000 | | | Kasikornbank PCL (Banks) | | | 2,863,924 | |
| | 3,638,400 | | | Thai Beverage PCL (Food, Beverage & Tobacco) | | | 2,408,641 | |
| | | | | | | | |
| | | | | | | 10,846,156 | |
| | |
| Turkey – 0.9% | | | |
| | 129,467 | | | BIM Birlesik Magazalar A/S (Food & Staples Retailing) | | | 2,114,814 | |
| | 326,830 | | | Cimsa Cimento Sanayi ve Ticaret A/S (Materials) | | | 1,378,991 | |
| | 1,446,947 | | | Eregli Demir ve Celik Fabrikalari TAS (Materials) | | | 2,650,524 | |
| | | | | | | | |
| | | | | | | 6,144,329 | |
| | |
| United Arab Emirates – 0.8% | | | |
| | 237,172 | | | NMC Health plc (Health Care Equipment & Services) | | | 6,114,196 | |
| | |
| United Kingdom – 1.1% | | | |
| | 1,891,755 | | | Ferrexpo plc (Materials) | | | 3,873,768 | |
| | 164,832 | | | Weir Group plc (The) (Capital Goods) | | | 4,246,946 | |
| | | | | | | | |
| | | | | | | 8,120,714 | |
| | |
| United States – 3.2% | | | |
| | 75,401 | | | Cognizant Technology Solutions Corp. Class A (Software & Services)* | | | 4,541,402 | |
| | 35,188 | | | Concho Resources, Inc. (Energy)* | | | 4,456,912 | |
| | 48,278 | | | EOG Resources, Inc. (Energy) | | | 4,465,715 | |
| | 27,845 | | | Pioneer Natural Resources Co. (Energy) | | | 4,816,907 | |
| | 1,263,000 | | | Samsonite International SA (Consumer Durables & Apparel) | | | 4,873,613 | |
| | | | | | | | |
| | | | | | | 23,154,549 | |
| | |
| Vietnam – 0.9% | | | |
| | 955,788 | | | Vietnam Dairy Products JSC (Food, Beverage & Tobacco) | | | 6,219,651 | |
| | |
| | TOTAL COMMON STOCKS | |
| | (Cost $593,377,061) | | $ | 691,770,175 | |
| | |
| | |
| 26 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS EMERGING MARKETS EQUITY FUND
| | | | | | | | |
| Shares | | | Description | | Value | |
| Exchange Traded Funds – 3.3% | |
| | United States – 3.3% | |
| | 130,081 | | | iShares MSCI China Fund | | $ | 6,654,944 | |
| | 210,168 | | | iShares MSCI South Korea Capped Fund | | | 13,051,433 | |
| | 120,932 | | | iShares MSCI Taiwan Capped Fund | | | 4,082,664 | |
| | |
| | TOTAL EXCHANGE TRADED FUNDS | | | | |
| | (Cost $22,275,842) | | $ | 23,789,041 | |
| | |
| | | | | | | | | | | | |
| Units | | | Description | | Expiration
Month | | | Value | |
| Participation Notes* – 0.3% | |
| | China – 0.3% | |
| | 208,389 | | | Hangzhou Robam Appliances Co. Ltd. (Consumer Durables & Apparel) | | | 10/17 | | | $ | 1,646,907 | |
| | 102,600 | | | Hangzhou Robam Appliances Co. Ltd. (Consumer Durables & Apparel)(c) | | | 03/18 | | | | 810,852 | |
| | |
| | TOTAL PARTICIPATION NOTES | |
| | (Cost $1,854,664) | | | $ | 2,457,759 | |
| | |
| | | | | | |
| Shares | | Distribution
Rate | | Value | |
| Investment Company(d)(e) – 0.7% | |
Goldman Sachs Financial Square Government Fund – Institutional Shares | |
| 4,899,523 | | 0.656% | | $ | 4,899,523 | |
| (Cost $4,899,523) | | | | |
| |
| TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | |
| (Cost $622,407,090) | | $ | 722,916,498 | |
| |
| | | | | | |
| Securities Lending Reinvestment Vehicle(d)(e) – 1.0% | |
Goldman Sachs Financial Square Government Fund – Institutional Shares | |
| 6,945,939 | | 0.656% | | $ | 6,945,939 | |
| (Cost $6,945,939) | | | | |
| |
| TOTAL INVESTMENTS – 100.6% | |
| (Cost $629,353,029) | | $ | 729,862,437 | |
| |
LIABILITIES IN EXCESS OF OTHER ASSETS – (0.6)% | | | (4,354,394 | ) |
| |
| NET ASSETS – 100.0% | | $ | 725,508,043 | |
| |
| | |
| 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) | | Preference Shares are a special type of equity investment that shares in the earnings of the company, has limited voting rights, and receives a greater dividend than applicable Common Shares. |
(c) | | 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 $20,355,813, which represents approximately 2.8% of net assets as of April 30, 2017. |
(d) | | Represents an affiliated issuer. |
(e) | | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on April 30, 2017. |
| | |
|
Investment Abbreviations: |
ADR | | —American Depositary Receipt |
GDR | | —Global Depositary Receipt |
|
| | |
| The accompanying notes are an integral part of these financial statements. | | 27 |
GOLDMAN SACHS N-11 EQUITY FUND
Schedule of Investments
April 30, 2017 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – 100.0% | |
| | Bangladesh – 3.8% | |
| | 1,363,800 | | | BRAC Bank Ltd. (Banks) | | $ | 1,193,784 | |
| | 135,000 | | | GrameenPhone Ltd. (Telecommunication Services) | | | 544,520 | |
| | 214,685 | | | Olympic Industries Ltd. (Food, Beverage & Tobacco) | | | 695,720 | |
| | 176,673 | | | Square Pharmaceuticals Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 601,692 | |
| | | | | | | | |
| | | | | | | 3,035,716 | |
| | |
| Egypt – 4.7% | |
| | 905,509 | | | Commercial International Bank Egypt SAE (Banks) | | | 3,707,319 | |
| | |
| Indonesia – 16.3% | |
| | 1,824,200 | | | Astra International Tbk. PT (Automobiles & Components) | | | 1,222,564 | |
| | 2,692,600 | | | Bank Central Asia Tbk. PT (Banks) | | | 3,581,000 | |
| | 823,200 | | | Bank Rakyat Indonesia Persero Tbk. PT (Banks) | | | 795,130 | |
| | 677,200 | | | Indocement Tunggal Prakarsa Tbk. PT (Materials) | | | 859,597 | |
| | 1,005,500 | | | Indofood CBP Sukses Makmur Tbk. PT (Food, Beverage & Tobacco) | | | 661,041 | |
| | 7,981,100 | | | Kalbe Farma Tbk. PT (Pharmaceuticals, Biotechnology & Life Sciences) | | | 947,724 | |
| | 989,000 | | | Matahari Department Store Tbk. PT (Retailing) | | | 1,080,691 | |
| | 785,500 | | | Semen Indonesia Persero Tbk. PT (Materials) | | | 519,108 | |
| | 7,129,600 | | | Summarecon Agung Tbk. PT (Real Estate) | | | 725,679 | |
| | 7,706,100 | | | Telekomunikasi Indonesia Persero Tbk. PT (Telecommunication Services) | | | 2,542,139 | |
| | | | | | | | |
| | | | | | | 12,934,673 | |
| | |
| Mexico – 19.2% | |
| | 275,227 | | | Alsea SAB de CV (Consumer Services) | | | 977,938 | |
| | 61,468 | | | America Movil SAB de CV Class L ADR (Telecommunication Services) | | | 945,993 | |
| | 214,700 | | | Banregio Grupo Financiero SAB de CV (Banks) | | | 1,238,001 | |
| | 457,117 | | | Becle SAB de CV (Food, Beverage & Tobacco)* | | | 764,887 | |
| | 813,700 | | | Bolsa Mexicana de Valores SAB de CV (Diversified Financials)* | | | 1,415,581 | |
| | 48,000 | | | El Puerto de Liverpool SAB de CV Class C1 (Retailing) | | | 370,303 | |
| | 18,348 | | | Fomento Economico Mexicano SAB de CV ADR (Food, Beverage & Tobacco) | | | 1,652,054 | |
| | 467,482 | | | Gentera SAB de CV (Diversified Financials) | | | 783,720 | |
| | 27,731 | | | Grupo Aeroportuario del Sureste SAB de CV Class B (Transportation) | | | 526,212 | |
| | 93,300 | | | Grupo Cementos de Chihuahua SAB de CV (Materials) | | | 442,531 | |
| | |
| Common Stocks – (continued) | |
| Mexico – (continued) | |
| | 314,433 | | | Grupo Financiero Banorte SAB de CV Class O (Banks) | | | 1,819,762 | |
| | 259,708 | | | Grupo Mexico SAB de CVSeries B (Materials) | | | 763,869 | |
| | 633,385 | | | Unifin Financiera SAB de CV SOFOM ENR (Diversified Financials) | | | 1,657,714 | |
| | 809,824 | | | Wal-Mart de Mexico SAB de CV (Food & Staples Retailing) | | | 1,828,264 | |
| | | | | | | | |
| | | | | | | 15,186,829 | |
| | |
| Pakistan – 6.6% | |
| | 365,733 | | | Engro Corp. Ltd. (Materials) | | | 1,230,934 | |
| | 311,800 | | | Habib Bank Ltd. (Banks) | | | 820,285 | |
| | 342,500 | | | MCB Bank Ltd. (Banks) | | | 710,731 | |
| | 527,900 | | | Oil & Gas Development Co. Ltd. (Energy) | | | 777,633 | |
| | 719,500 | | | United Bank Ltd. (Banks) | | | 1,704,327 | |
| | | | | | | | |
| | | | | | | 5,243,910 | |
| | |
| Philippines – 5.6% | |
| | 62,600 | | | Ayala Corp. (Diversified Financials) | | | 1,085,421 | |
| | 2,226,500 | | | Ayala Land, Inc. (Real Estate) | | | 1,573,409 | |
| | 116,750 | | | Jollibee Foods Corp. (Consumer Services) | | | 490,541 | |
| | 292,928 | | | Metropolitan Bank & Trust Co. (Banks) | | | 494,881 | |
| | 171,630 | | | Pilipinas Shell Petroleum Corp. (Energy)* | | | 252,473 | |
| | 352,110 | | | Robinsons Retail Holdings, Inc. (Food & Staples Retailing) | | | 559,663 | |
| | | | | | | | |
| | | | | | | 4,456,388 | |
| | |
| South Korea – 27.8% | |
| | 1,223 | | | Amorepacific Corp. (Household & Personal Products) | | | 313,642 | |
| | 3,053 | | | CJ CGV Co. Ltd. (Media) | | | 229,272 | |
| | 9,315 | | | Hana Financial Group, Inc. (Banks) | | | 319,924 | |
| | 6,461 | | | Hanssem Co. Ltd. (Consumer Durables & Apparel) | | | 1,249,060 | |
| | 1,280 | | | Hugel, Inc. (Pharmaceuticals, Biotechnology & Life Sciences)* | | | 524,069 | |
| | 42,140 | | | ING Life Insurance Korea Ltd. (Insurance)* | | | 1,222,093 | |
| | 9,738 | | | KB Financial Group, Inc. (Banks) | | | 428,057 | |
| | 23,958 | | | Korean Air Lines Co. Ltd. (Transportation)* | | | 644,388 | |
| | 25,378 | | | KT Corp. (Telecommunication Services) | | | 718,039 | |
| | 4,985 | | | LG Chem Ltd. (Materials) | | | 1,199,033 | |
| | 1,448 | | | LG Household & Health Care Ltd. (Household & Personal Products) | | | 1,101,138 | |
| | 2,224 | | | NAVER Corp. (Software & Services) | | | 1,563,080 | |
| | 2,320 | | | NCSoft Corp. (Software & Services) | | | 733,690 | |
| | 915 | | | Netmarble Games Corp. (Software & Services)*(a) | | | 126,246 | |
| | 3,223 | | | NongShim Co. Ltd. (Food, Beverage & Tobacco) | | | 898,136 | |
| | |
| | |
| 28 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS N-11 EQUITY FUND
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – (continued) | |
| South Korea – (continued) | |
| | 8,467 | | | Osstem Implant Co. Ltd. (Health Care Equipment & Services)* | | $ | 392,420 | |
| | 4,812 | | | POSCO (Materials) | | | 1,136,032 | |
| | 3,127 | | | Samsung Electronics Co. Ltd. (Technology Hardware & Equipment) | | | 6,130,262 | |
| | 6,033 | | | Samsung Fire & Marine Insurance Co. Ltd. (Insurance) | | | 1,420,361 | |
| | 34,652 | | | SK Hynix, Inc. (Semiconductors & Semiconductor Equipment) | | | 1,641,583 | |
| | | | | | | | |
| | | | | | | 21,990,525 | |
| | |
| Turkey – 11.5% | |
| | 691,622 | | | Akbank TAS (Banks) | | | 1,851,169 | |
| | 169,163 | | | Aygaz A/S (Utilities) | | | 674,852 | |
| | 98,362 | | | BIM Birlesik Magazalar A/S (Food & Staples Retailing) | | | 1,606,721 | |
| | 70,140 | | | Cimsa Cimento Sanayi VE Ticaret A/S (Materials) | | | 295,941 | |
| | 295,108 | | | Enka Insaat ve Sanayi A/S (Capital Goods) | | | 453,502 | |
| | 459,473 | | | Eregli Demir ve Celik Fabrikalari TAS (Materials) | | | 841,665 | |
| | 491,493 | | | Soda Sanayii A/S (Materials)* | | | 886,969 | |
| | 384,844 | | | Turkiye Garanti Bankasi A/S (Banks) | | | 1,038,868 | |
| | 1,725,639 | | | Turkiye Sinai Kalkinma Bankasi A/S (Banks) | | | 732,995 | |
| | 122,503 | | | Ulker Biskuvi Sanayi A/S (Food, Beverage & Tobacco) | | | 695,850 | |
| | | | | | | | |
| | | | | | | 9,078,532 | |
| | |
| Vietnam – 4.5% | |
| | 743,508 | | | Bank for Foreign Trade of Vietnam JSC (Banks) | | | 1,146,538 | |
| | 252,120 | | | Masan Group Corp. (Food, Beverage & Tobacco) | | | 492,745 | |
| | 63,556 | | | Saigon Thuong Tin Commercial JSB (Banks)* | | | 32,276 | |
| | 285,670 | | | Vietnam Dairy Products JSC (Food, Beverage & Tobacco) | | | 1,858,956 | |
| | | | | | | | |
| | | | | | 3,530,515 | |
| | |
| | TOTAL COMMON STOCKS – 100.4% | |
| | (Cost $65,545,230) | | $ | 79,164,407 | |
| | |
| | | | | | | | |
| Exchange Traded Fund – 0.2% | |
| | United States – 0.2% | |
| | 3,053 | | | iShares MSCI Mexico Capped Fund | | $ | 158,023 | |
| | (Cost $136,042) | | | | |
| | |
| Shares | | | Distribution Rate | | Value | |
| Investment Company(b)(c) – 0.2% | |
| Goldman Sachs Financial Square Government Fund –
Institutional Shares |
|
| | 177,129 | | | 0.656% | | $ | 177,129 | |
| | (Cost $177,129) | | | | |
| | |
| | TOTAL INVESTMENTS – 100.4% | |
| | (Cost $65,858,401) | | $ | 79,499,559 | |
| | |
| LIABILITIES IN EXCESS OF
OTHER ASSETS – (0.4)% | | | (344,430 | ) |
| | |
| | NET ASSETS – 100.0% | | $ | 79,155,129 | |
| | |
| | |
| 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 $126,246, which represents approximately 0.2% of net assets as of April 30, 2017. |
(b) | | Represents an affiliated issuer. |
(c) | | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on April 30, 2017. |
| | |
|
Investment Abbreviation: |
ADR | | —American Depositary Receipt |
|
| | |
| The accompanying notes are an integral part of these financial statements. | | 29 |
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Statements of Assets and Liabilities
April 30, 2017 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
Asia Equity Fund | | | Emerging Markets
Equity Fund | | | N-11 Equity Fund | |
| | Assets: | | | | | | | | | | | | |
| | Investments in unaffiliated issuers, at value (cost $59,714,133, $617,507,567 and $65,681,272)(a) | | $ | 63,891,548 | | | $ | 718,016,975 | | | $ | 79,322,430 | |
| | Investments in affiliated issuers, at value (cost $294,152, $4,899,523 and $177,129) | | | 294,152 | | | | 4,899,523 | | | | 177,129 | |
| | Investments in affiliated securities lending reinvestment vehicle, at value which equals cost | | | — | | | | 6,945,939 | | | | — | |
| | Cash | | | 962,783 | | | | 11,411,274 | | | | 1,297,418 | |
| | Foreign currencies, at value (cost $199,843, $1,578,380 and $390,581) | | | 199,457 | | | | 1,580,560 | | | | 393,154 | |
| | Receivables: | | | | | | | | | | | | |
| | Dividends | | | 79,450 | | | | 1,606,963 | | | | 95,205 | |
| | Fund shares sold | | | 49,835 | | | | 1,129,458 | | | | 24,842 | |
| | Reimbursement from investment adviser | | | 23,351 | | | | — | | | | 16,899 | |
| | Securities lending income | | | 736 | | | | 9,789 | | | | 44 | |
| | Investments sold | | | — | | | | 2,408,535 | | | | — | |
| | Foreign tax reclaims | | | — | | | | 54,360 | | | | — | |
| | Other assets | | | 7,738 | | | | 1,902 | | | | 342 | |
| | Total assets | | | 65,509,050 | | | | 748,065,278 | | | | 81,327,463 | |
| | | | | | | | | | | | | | |
| | Liabilities: | | | | | | | | | | | | |
| | Payables: | | | | | | | | | | | | |
| | Investments purchased | | | 1,241,267 | | | | 12,427,397 | | | | 1,372,334 | |
| | Foreign capital gains taxes | | | 204,572 | | | | 1,653,074 | | | | 203,399 | |
| | Management fees | | | 51,578 | | | | 589,890 | | | | 73,064 | |
| | Distribution and Service fees and Transfer Agency fees | | | 7,460 | | | | 90,996 | | | | 12,821 | |
| | Fund shares redeemed | | | 1,867 | | | | 534,840 | | | | 205,846 | |
| | Payable upon return of securities loaned | | | — | | | | 6,945,939 | | | | — | |
| | Accrued expenses | | | 122,882 | | | | 315,099 | | | | 304,870 | |
| | Total liabilities | | | 1,629,626 | | | | 22,557,235 | | | | 2,172,334 | |
| | | | | | | | | | | | | | |
| | Net Assets: | | | | | | | | | | | | |
| | Paid-in capital | | | 65,876,424 | | | | 1,107,254,656 | | | | 134,424,267 | |
| | Undistributed (distributions in excess of) net investment income (loss) | | | (118,988 | ) | | | (2,546,509 | ) | | | 416,914 | |
| | Accumulated net realized loss | | | (5,919,410 | ) | | | (477,879,274 | ) | | | (69,304,977 | ) |
| | Net unrealized gain | | | 4,041,398 | | | | 98,679,170 | | | | 13,618,925 | |
| | | NET ASSETS | | $ | 63,879,424 | | | $ | 725,508,043 | | | $ | 79,155,129 | |
| | | Net Assets: | | | | | | | | | | | | |
| | | Class A | | $ | 11,502,433 | | | $ | 85,342,711 | | | $ | 13,757,190 | |
| | | Class C | | | 1,767,283 | | | | 30,359,372 | | | | 4,477,868 | |
| | | Institutional | | | 50,494,409 | | | | 532,560,885 | | | | 48,881,910 | |
| | | Service | | | — | | | | 21,380,995 | | | | — | |
| | | Class IR | | | 115,299 | | | | 41,424,224 | | | | 12,038,161 | |
| | | Class R6 | | | — | | | | 14,439,856 | | | | — | |
| | | Total Net Assets | | $ | 63,879,424 | | | $ | 725,508,043 | | | $ | 79,155,129 | |
| | | Shares outstanding $0.001 par value (unlimited shares authorized): | | | | | | | | | | | | |
| | | Class A | | | 503,983 | | | | 4,861,795 | | | | 1,491,173 | |
| | | Class C | | | 84,416 | | | | 1,924,540 | | | | 504,959 | |
| | | Institutional | | | 2,096,876 | | | | 28,379,263 | | | | 5,263,472 | |
| | | Service | | | — | | | | 1,259,622 | | | | — | |
| | | Class IR | | | 4,807 | | | | 2,222,017 | | | | 1,300,043 | |
| | | Class R6 | | | — | | | | 769,306 | | | | — | |
| | | Net asset value, offering and redemption price per share:(b) | | | | | | | | | | | | |
| | | Class A | | | $22.82 | | | | $17.55 | | | | $9.23 | |
| | | Class C | | | 20.94 | | | | 15.77 | | | | 8.87 | |
| | | Institutional | | | 24.08 | | | | 18.77 | | | | 9.29 | |
| | | Service | | | — | | | | 16.97 | | | | — | |
| | | Class IR | | | 23.98 | | | | 18.64 | | | | 9.26 | |
| | | Class R6 | | | — | | | | 18.77 | | | | — | |
| | (a) | | Includes loaned securities having a market value of $6,736,593 for the Emerging Markets Equity Fund. |
| | (b) | | Maximum public offering price per share for Class A Shares of the Asia Equity, Emerging Markets Equity and N-11 Equity Funds is $24.15, $18.57 and $9.76, 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. |
| | |
| 30 | | 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, 2017 (Unaudited)
| | | | | | | | | | | | | | |
| | | | |
Asia
Equity Fund | | | Emerging Markets
Equity Fund | | | N-11
Equity Fund | |
| | Investment income: | | | | | | | | | | | | |
| | Dividends — unaffiliated issuers (net of foreign taxes withheld of $25,688, $352,562 and $173,004) | | $ | 265,991 | | | $ | 5,092,966 | | | $ | 1,051,567 | |
| | Dividends — affiliated issuers | | | 294 | | | | 3,089 | | | | 22 | |
| | Securities lending income — affiliated issuer | | | 4,846 | | | | 69,300 | | | | 937 | |
| | Total investment income | | | 271,131 | | | | 5,165,355 | | | | 1,052,526 | |
| | | | | | | | | | | | | | |
| | Expenses: | | | | | | | | | | | | |
| | Management fees | | | 308,887 | | | | 3,592,861 | | | | 532,502 | |
| | Custody, accounting and administrative services | | | 62,637 | | | | 220,238 | | | | 77,370 | |
| | Professional fees | | | 51,704 | | | | 54,907 | | | | 72,914 | |
| | Registration fees | | | 40,067 | | | | 75,216 | | | | 50,393 | |
| | Distribution and Service fees(a) | | | 23,538 | | | | 227,574 | | | | 46,515 | |
| | Transfer Agency fees(a) | | | 22,741 | | | | 206,530 | | | | 41,275 | |
| | Printing and mailing costs | | | 15,642 | | | | 61,274 | | | | 31,464 | |
| | Trustee fees | | | 8,467 | | | | 8,770 | | | | 8,500 | |
| | Service share fees — Service Plan | | | — | | | | 24,332 | | | | — | |
| | Service share fees — Shareholder Administration Plan | | | — | | | | 24,332 | | | | — | |
| | Other | | | 10,897 | | | | 26,658 | | | | 4,931 | |
| | Total expenses | | | 544,580 | | | | 4,522,692 | | | | 865,864 | |
| | Less — expense reductions | | | (154,461 | ) | | | (541,431 | ) | | | (248,056 | ) |
| | Net expenses | | | 390,119 | | | | 3,981,261 | | | | 617,808 | |
| | NET INVESTMENT INCOME (LOSS) | | | (118,988 | ) | | | 1,184,094 | | | | 434,718 | |
| | | | | | | | | | | | | | |
| | Realized and unrealized gain (loss): | | | | | | | | | | | | |
| | Net realized gain (loss) from: | | | | | | | | | | | | |
| | Investments | | | 3,144,578 | | | | 15,660,802 | | | | 775,466 | |
| | Futures contracts | | | — | | | | 194,194 | | | | — | |
| | Foreign currency transactions | | | (20,616 | ) | | | (255,844 | ) | | | (321,312 | ) |
| | Net change in unrealized gain (loss) on: | | | | | | | | | | | | |
| | Investments (including the effects of the net change in the foreign capital gains tax liability of $279,602, $1,490,639 and $35,609) | | | 1,585,026 | | | | 44,314,457 | | | | 10,925 | |
| | Foreign currency translation | | | (132,539 | ) | | | 140,511 | | | | 6,792 | |
| | Net realized and unrealized gain | | | 4,576,449 | | | | 60,054,120 | | | | 471,871 | |
| | NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 4,457,461 | | | $ | 61,238,214 | | | $ | 906,589 | |
| | (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 | | $ | 15,070 | | | $ | 8,468 | | | $ | 11,454 | | | $ | 1,609 | | | $ | 9,586 | | | $ | — | | | $ | 92 | | | $ | — | |
Emerging Markets Equity | | | 87,948 | | | | 139,626 | | | | 66,841 | | | | 26,529 | | | | 90,654 | | | | 3,893 | | | | 17,696 | | | | 917 | |
N-11 Equity | | | 23,676 | | | | 22,839 | | | | 17,994 | | | | 4,339 | | | | 9,747 | | | | — | | | | 9,195 | | | | — | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 31 |
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | | | Asia Equity Fund | |
| | | | | For the
Six Months Ended
April 30, 2017
(Unaudited) | | | For the Fiscal
Year Ended
October 31, 2016 | |
| | From operations: | | | | | | | | |
| | Net investment income (loss) | | $ | (118,988 | ) | | $ | 151,351 | |
| | Net realized gain (loss) | | | 3,123,962 | | | | (1,159,539 | ) |
| | Net change in unrealized gain | | | 1,452,487 | | | | 3,927,561 | |
| | Net increase (decrease) in net assets resulting from operations | | | 4,457,461 | | | | 2,919,373 | |
| | | | | | | | | | |
| | Distributions to shareholders: | | | | | | | | |
| | From net investment income | | | | | | | | |
| | Class A Shares | | | — | | | | — | |
| | Institutional Shares | | | — | | | | — | |
| | Service Shares | | | — | | | | — | |
| | Class IR Shares | | | — | | | | — | |
| | Class R6 Shares | | | — | | | | — | |
| | Total distributions to shareholders | | | — | | | | — | |
| | | | | | | | | | |
| | From share transactions: | | | | | | | | |
| | Proceeds from sales of shares | | | 3,385,331 | | | | 2,291,976 | |
| | Reinvestment of distributions | | | — | | | | — | |
| | Cost of shares redeemed | | | (16,881,550 | ) | | | (9,572,257 | ) |
| | Net increase (decrease) in net assets resulting from share transactions | | | (13,496,219 | ) | | | (7,280,281 | ) |
| | TOTAL INCREASE (DECREASE) | | | (9,038,758 | ) | | | (4,360,908 | ) |
| | | | | | | | | | |
| | Net assets: | | | | | | | | |
| | Beginning of period | | | 72,918,182 | | | | 77,279,090 | |
| | End of period | | $ | 63,879,424 | | | $ | 72,918,182 | |
| | Undistributed (distributions in excess of) net investment income (loss) | | $ | (118,988 | ) | | $ | — | |
| | |
| 32 | | 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, 2017
(Unaudited) | | | | | For the Fiscal
Year Ended
October 31, 2016 | | | | | For the
Six Months Ended
April 30, 2017
(Unaudited) | | | | | For the Fiscal
Year Ended
October 31, 2016 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | $ | 1,184,094 | | | | | $ | 2,605,212 | | | | | $ | 434,718 | | | | | $ | 1,146,001 | |
| | | 15,599,152 | | | | | | (5,713,992 | ) | | | | | 454,154 | | | | | | (18,996,056 | ) |
| | | 44,454,968 | | | | | | 52,006,788 | | | | | | 17,717 | | | | | | 10,362,222 | |
| | | 61,238,214 | | | | | | 48,898,008 | | | | | | 906,589 | | | | | | (7,487,833 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | (385,998 | ) | | | | | — | | | | | | — | | | | | | (67,836 | ) |
| | | (4,455,372 | ) | | | | | (356,614 | ) | | | | | (17,504 | ) | | | | | (833,232 | ) |
| | | (141,339 | ) | | | | | — | | | | | | — | | | | | | — | |
| | | (67,461 | ) | | | | | (1,110 | ) | | | | | — | | | | | | (71,347 | ) |
| | | (79,414 | ) | | | | | (11 | ) | | | | | — | | | | | | — | |
| | | (5,129,584 | ) | | | | | (357,735 | ) | | | | | (17,504 | ) | | | | | (972,415 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | 180,281,966 | | | | | | 299,541,097 | | | | | | 10,128,138 | | | | | | 12,450,719 | |
| | | 4,901,687 | | | | | | 350,863 | | | | | | 17,132 | | | | | | 913,483 | |
| | | (79,844,053 | ) | | | | | (227,728,697 | ) | | | | | (31,869,819 | ) | | | | | (95,713,670 | ) |
| | | 105,339,600 | | | | | | 72,163,263 | | | | | | (21,724,549 | ) | | | | | (82,349,468 | ) |
| | | 161,448,230 | | | | | | 120,703,536 | | | | | | (20,835,464 | ) | | | | | (90,809,716 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | 564,059,813 | | | | | | 443,356,277 | | | | | | 99,990,593 | | | | | | 190,800,309 | |
| | $ | 725,508,043 | | | | | $ | 564,059,813 | | | | | $ | 79,155,129 | | | | | $ | 99,990,593 | |
| | $ | (2,546,509 | ) | | | | $ | 1,398,981 | | | | | $ | 416,914 | | | | | $ | (300 | ) |
| | |
| The accompanying notes are an integral part of these financial statements. | | 33 |
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) | |
| | 2017 - A | | $ | 21.08 | | | $ | (0.07 | )(d) | | $ | 1.81 | | | $ | 1.74 | | | $ | — | |
| | 2017 - C | | | 19.41 | | | | (0.13 | )(d) | | | 1.66 | | | | 1.53 | | | | — | |
| | 2017 - Institutional | | | 22.20 | | | | (0.03 | )(d) | | | 1.91 | | | | 1.88 | | | | — | |
| | 2017 - IR | | | 22.12 | | | | (0.04 | )(d) | | | 1.90 | | | | 1.86 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE FISCAL YEARS ENDED OCTOBER 31, | | | | | |
| | 2016 - A | | | 20.28 | | | | (0.02 | ) | | | 0.82 | | | | 0.80 | | | | — | |
| | 2016 - C | | | 18.81 | | | | (0.15 | ) | | | 0.75 | | | | 0.60 | | | | — | |
| | 2016 - Institutional | | | 21.27 | | | | 0.07 | | | | 0.86 | | | | 0.93 | | | | — | |
| | 2016 - IR | | | 21.23 | | | | 0.06 | | | | 0.83 | | | | 0.89 | | | | — | |
| | 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 | | | | — | (f)(g) | | | 0.91 | | | | 0.91 | | | | (0.08 | ) |
| | 2014 - C | | | 18.02 | | | | (0.13 | )(g) | | | 0.84 | | | | 0.71 | | | | — | |
| | 2014 - Institutional | | | 20.13 | | | | 0.12 | (g) | | | 0.90 | | | | 1.02 | | | | (0.16 | ) |
| | 2014 - IR (Commenced February 28, 2014) | | | 20.71 | | | | 0.06 | (g) | | | 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 | ) |
| | (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 impact of taxes to shareholders relating to 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 special dividends which amounted to $0.02 per share and 0.14% of average net assets. |
| | (f) | | Amount is less than $0.005 per share. |
| | (g) | | Reflects income recognized from special dividends which amounted to $0.05 per share and 0.25% of average net assets. |
| | |
| 34 | | 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 22.82 | | | | | | 8.25 | % | | | | $ | 11,502 | | | | | | 1.55 | %(e) | | | | | 2.05 | %(e) | | | | | (0.68 | )%(d)(e) | | | | | 44 | % |
| | | 20.94 | | | | | | 7.83 | | | | | | 1,767 | | | | | | 2.30 | (e) | | | | | 2.80 | (e) | | | | | (1.41 | )(d)(e) | | | | | 44 | |
| | | 24.08 | | | | | | 8.52 | | | | | | 50,494 | | | | | | 1.15 | (e) | | | | | 1.65 | (e) | | | | | (0.28 | )(d)(e) | | | | | 44 | |
| | | 23.98 | | | | | | 8.41 | | | | | | 115 | | | | | | 1.30 | (e) | | | | | 1.80 | (e) | | | | | (0.41 | )(d)(e) | | | | | 44 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 21.08 | | | | | | 3.93 | | | | | | 14,975 | | | | | | 1.60 | | | | | | 2.18 | | | | | | (0.08 | ) | | | | | 111 | |
| | | 19.41 | | | | | | 3.18 | | | | | | 1,810 | | | | | | 2.35 | | | | | | 2.93 | | | | | | (0.83 | ) | | | | | 111 | |
| | | 22.20 | | | | | | 4.31 | | | | | | 56,077 | | | | | | 1.20 | | | | | | 1.78 | | | | | | 0.32 | | | | | | 111 | |
| | | 22.12 | | | | | | 4.18 | | | | | | 57 | | | | | | 1.34 | | | | | | 1.93 | | | | | | 0.27 | | | | | | 111 | |
| | | 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 | (g) | | | | | 169 | |
| | | 18.73 | | | | | | 4.00 | | | | | | 2,114 | | | | | | 2.48 | | | | | | 3.00 | | | | | | (0.71 | )(g) | | | | | 169 | |
| | | 20.99 | | | | | | 5.15 | | | | | | 62,951 | | | | | | 1.32 | | | | | | 1.87 | | | | | | 0.59 | (g) | | | | | 169 | |
| | | 20.98 | | | | | | 1.30 | | | | | | 51 | | | | | | 1.43 | (e) | | | | | 2.06 | (e) | | | | | 0.41 | (e)(g) | | | | | 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 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 35 |
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 | | | Distribution
to shareholders
from net
investment
income | |
| | FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED) | |
| | 2017 - A | | $ | 16.23 | | | $ | 0.01 | (d) | | $ | 1.42 | | | $ | 1.43 | | | $ | (0.11 | ) |
| | 2017 - C | | | 14.53 | | | | (0.05 | )(d) | | | 1.29 | | | | 1.24 | | | | — | |
| | 2017 - Institutional | | | 17.38 | | | | 0.04 | (d) | | | 1.52 | | | | 1.56 | | | | (0.17 | ) |
| | 2017 - Service | | | 15.71 | | | | — | (d)(f) | | | 1.37 | | | | 1.37 | | | | (0.11 | ) |
| | 2017 - IR | | | 17.27 | | | | 0.08 | (d) | | | 1.46 | | | | 1.54 | | | | (0.17 | ) |
| | 2017 - R6 | | | 17.38 | | | | 0.07 | (d) | | | 1.50 | | | | 1.57 | | | | (0.18 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE FISCAL YEARS ENDED OCTOBER 31, | | | | | |
| | 2016 - A | | | 14.75 | | | | 0.04 | | | | 1.44 | | | | 1.48 | | | | — | |
| | 2016 - C | | | 13.31 | | | | (0.06 | ) | | | 1.28 | | | | 1.22 | | | | — | |
| | 2016 - Institutional | | | 15.75 | | | | 0.11 | | | | 1.54 | | | | 1.65 | | | | (0.02 | ) |
| | 2016 - Service | | | 14.29 | | | | 0.02 | | | | 1.40 | | | | 1.42 | | | | — | |
| | 2016 - IR | | | 15.67 | | | | 0.08 | | | | 1.53 | | | | 1.61 | | | | (0.01 | ) |
| | 2016 - R6 | | | 15.74 | | | | 0.10 | | | | 1.56 | | | | 1.66 | | | | (0.02 | ) |
| | 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 | | | | — | (f) | | | (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 | ) | | | — | (f) | | | — | |
| | 2012 - IR | | | 15.59 | | | | 0.12 | | | | (0.07 | ) | | | 0.05 | | | | (0.06 | ) |
| | (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 impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (c) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | (d) | | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.15% of average net assets. |
| | (f) | | Amount is less than $0.005 per share. |
| | |
| 36 | | 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 17.55 | | | | | | 8.93 | % | | | | $ | 85,343 | | | | | | 1.61 | %(e) | | | | | 1.79 | %(e) | | | | | 0.12 | %(d)(e) | | | | | 26 | % |
| | | 15.77 | | | | | | 8.53 | | | | | | 30,359 | | | | | | 2.36 | (e) | | | | | 2.54 | (e) | | | | | (0.73 | )(d)(e) | | | �� | | 26 | |
| | | 18.77 | | | | | | 9.13 | | | | | | 532,561 | | | | | | 1.21 | (e) | | | | | 1.39 | (e) | | | | | 0.50 | (d)(e) | | | | | 26 | |
| | | 16.97 | | | | | | 8.87 | | | | | | 21,381 | | | | | | 1.71 | (e) | | | | | 1.89 | (e) | | | | | (0.05 | )(d)(e) | | | | | 26 | |
| | | 18.64 | | | | | | 9.09 | | | | | | 41,424 | | | | | | 1.35 | (e) | | | | | 1.53 | (e) | | | | | 0.95 | (d)(e) | | | | | 26 | |
| | | 18.77 | | | | | | 9.23 | | | | | | 14,440 | | | | | | 1.18 | (e) | | | | | 1.36 | (e) | | | | | 0.76 | (d)(e) | | | | | 26 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 16.23 | | | | | | 10.01 | | | | | | 59,593 | | | | | | 1.65 | | | | | | 1.90 | | | | | | 0.27 | | | | | | 92 | |
| | | 14.53 | | | | | | 9.14 | | | | | | 30,104 | | | | | | 2.40 | | | | | | 2.65 | | | | | | (0.48 | ) | | | | | 92 | |
| | | 17.38 | | | | | | 10.43 | | | | | | 445,019 | | | | | | 1.25 | | | | | | 1.50 | | | | | | 0.69 | | | | | | 92 | |
| | | 15.71 | | | | | | 9.91 | | | | | | 19,069 | | | | | | 1.75 | | | | | | 2.00 | | | | | | 0.17 | | | | | | 92 | |
| | | 17.27 | | | | | | 10.26 | | | | | | 5,263 | | | | | | 1.40 | | | | | | 1.64 | | | | | | 0.52 | | | | | | 92 | |
| | | 17.38 | | | | | | 10.52 | | | | | | 5,012 | | | | | | 1.23 | | | | | | 1.44 | | | | | | 0.57 | | | | | | 92 | |
| | | 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 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 37 |
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) | |
| | 2017 - A | | $ | 8.98 | | | $ | 0.03 | | | $ | 0.22 | | | $ | 0.25 | | | $ | — | |
| | 2017 - C | | | 8.66 | | | | — | (e) | | | 0.21 | | | | 0.21 | | | | — | |
| | 2017 - Institutional | | | 9.02 | | | | 0.05 | | | | 0.22 | | | | 0.27 | | | | — | (e) |
| | 2017 - IR | | | 9.00 | | | | 0.05 | | | | 0.21 | | | | 0.26 | | | | — | |
| | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE FISCAL YEARS ENDED OCTOBER 31, | |
| | 2016 - A | | | 9.26 | | | | 0.06 | | | | (0.32 | ) | | | (0.26 | ) | | | (0.02 | ) |
| | 2016 - C | | | 8.98 | | | | (0.01 | ) | | | (0.31 | ) | | | (0.32 | ) | | | — | |
| | 2016 - Institutional | | | 9.33 | | | | 0.10 | | | | (0.33 | ) | | | (0.23 | ) | | | (0.08 | ) |
| | 2016 - IR | | | 9.30 | | | | 0.08 | | | | (0.32 | ) | | | (0.24 | ) | | | (0.06 | ) |
| | 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 | | | | — | |
| | (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 impact of taxes to shareholders relating to 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. |
| | |
| 38 | | 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 9.23 | | | | | | 2.67 | % | | | | $ | 13,757 | | | | | | 1.73 | %(d) | | | | | 2.36 | %(d) | | | | | 0.75 | %(d) | | | | | 10 | % |
| | | 8.87 | | | | | | 2.42 | | | | | | 4,478 | | | | | | 2.48 | (d) | | | | | 3.09 | (d) | | | | | 0.10 | (d) | | | | | 10 | |
| | | 9.29 | | | | | | 3.03 | | | | | | 48,882 | | | | | | 1.33 | (d) | | | | | 1.93 | (d) | | | | | 1.25 | (d) | | | | | 10 | |
| | | 9.26 | | | | | | 2.89 | | | | | | 12,038 | | | | | | 1.48 | (d) | | | | | 2.05 | (d) | | | | | 1.19 | (d) | | | | | 10 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 8.98 | | | | | | (2.84 | ) | | | | | 25,955 | | | | | | 1.74 | | | | | | 2.39 | | | | | | 0.66 | | | | | | 27 | |
| | | 8.66 | | | | | | (3.55 | ) | | | | | 5,642 | | | | | | 2.49 | | | | | | 3.14 | | | | | | (0.07 | ) | | | | | 27 | |
| | | 9.02 | | | | | | (2.46 | ) | | | | | 58,958 | | | | | | 1.33 | | | | | | 1.99 | | | | | | 1.08 | | | | | | 27 | |
| | | 9.00 | | | | | | (2.59 | ) | | | | | 9,436 | | | | | | 1.48 | | | | | | 2.14 | | | | | | 0.90 | | | | | | 27 | |
| | | 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 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 39 |
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Notes to Financial Statements
April 30, 2017 (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. LLC (formerly 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.
40
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
|
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
A. Investment Valuation — The Funds’ valuation policy is to value investments at fair value.
B. Investment Income and Investments — Investment income includes interest income, dividend income, net of any foreign withholding taxes, less any amounts reclaimable, and securities lending income. 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. 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, each 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, if any, 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 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 a Fund 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.
41
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Notes to Financial Statements (continued)
April 30, 2017 (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 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 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.
42
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
|
| 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 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. A 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. 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 GSAMI believes that such quotations do not accurately reflect fair value, the fair value of a Fund’s 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.
43
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Notes to Financial Statements (continued)
April 30, 2017 (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, 2017:
| | | | | | | | | | | | |
| | | |
| ASIA EQUITY | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
Asia | | $ | 4,031,577 | | | $ | 58,665,237 | | | $ | — | |
Europe | | | — | | | | 1,010,912 | | | | — | |
North America | | | 183,822 | | | | — | | | | — | |
Investment Company | | | 294,152 | | | | — | | | | — | |
| Total | | $ | 4,509,551 | | | $ | 59,676,149 | | | $ | — | |
| | | |
| EMERGING MARKETS EQUITY | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
Africa | | $ | — | | | $ | 24,161,598 | | | $ | — | |
Asia | | | 38,640,615 | | | | 438,020,820 | | | | — | |
Australia and Oceania | | | — | | | | 3,697,139 | | | | — | |
Europe | | | — | | | | 59,279,394 | | | | — | |
North America | | | 48,725,448 | | | | 4,873,613 | | | | — | |
South America | | | 31,318,782 | | | | 45,510,525 | | | | — | |
Exchange Traded Funds | | | 23,789,041 | | | | — | | | | — | |
Investment Company | | | 4,899,523 | | | | — | | | | — | |
Securities Lending Reinvestment Vehicle | | | 6,945,939 | | | | — | | | | — | |
| Total | | $ | 154,319,348 | | | $ | 575,543,089 | | | $ | — | |
| | | |
| N-11 EQUITY | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
Africa | | $ | — | | | $ | 3,707,319 | | | $ | — | |
Asia | | | — | | | | 60,270,259 | | | | — | |
North America | | | 15,186,829 | | | | — | | | | — | |
Exchange Traded Fund | | | 158,023 | | | | — | | | | — | |
Investment Company | | | 177,129 | | | | — | | | | — | |
| Total | | $ | 15,521,981 | | | $ | 63,977,578 | | | $ | — | |
| (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 noted in the table. 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.
44
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
|
| 4. INVESTMENTS IN DERIVATIVES |
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, 2017. 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) | | | Average
Number of
Contracts(a) | |
| Emerging Markets Equity | | Equity | | Net realized gain (loss) from futures contracts | | $ | 194,194 | | | | 16 | |
| (a) | | Average number of contracts is based on the average of month end balances for the six months ended April 30, 2017. |
|
| 5. 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, 2017, 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 28, 2018, and prior to such date, GSAMI may not terminate the arrangements without the approval of the Trustees. |
The Asia Equity, Emerging Markets Equity and N-11 Equity Funds invest in Institutional Shares of Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAMI 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, 2017, GSAMI waived $101, $887 and $5 of the Funds’ management fees, respectively.
45
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
B. Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A Shares of each applicable Fund, has adopted a Distribution and Service Plan subject to Rule 12b-1 under the Act. Under the Distribution and Service Plan, 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. These fees are equal to an annual percentage of the average daily net assets attributable to Class A Shares of the Funds.
The Trust, on behalf of Class C Shares of each applicable Fund, has adopted a Distribution Plan subject to Rule 12b-1 under the Act. Under the Distribution Plan, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage of the average daily net assets attributable to Class C Shares of the Funds.
The Trust, on behalf of Services Shares of each applicable Fund, has adopted a Service Plan subject to Rule 12b-1 under the Act to allow Service Shares to compensate service organizations (including Goldman Sachs) for providing personal account maintenance to their customers who are beneficial owners of such shares. The Service Plan provides for compensation to the service organizations equal to an annual percentage of the average daily net assets attributable to Services Shares of the Funds.
| | | | | | | | | | | | |
| | | Distribution and Service Plan Rates | |
| | | Class A* | | | Class C | | | Service | |
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. |
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, 2017, Goldman Sachs advised that it retained the following amounts:
| | | | | | |
| | | | | Front End
Sales Charge | |
| Fund | | | | Class A | |
Asia Equity | | | | $ | 175 | |
Emerging Markets Equity | | | | | 8,718 | |
N-11 Equity | | | | | 127 | |
D. Service and/or Shareholder Administration Plans — The Trust, on behalf of each applicable Fund, has adopted Service and/or Shareholder Administration Plans to allow Class C and Service Shares, respectively, to compensate service organizations (including Goldman Sachs) for providing varying levels of personal and account maintenance and/or shareholder administration services to their customers who are beneficial owners of such shares. The Service and/or Shareholder Administration Plans each provide for compensation to the service organizations equal to 0.25% of the average daily net assets attributable to Class C or Service Shares of the Funds, as applicable.
46
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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. These Other Expense limitations will remain in place through at least February 28, 2018 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, 2017, 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 | | | | $ | 101 | | | $ | 154,155 | | | $ | 205 | | | $ | 154,461 | |
Emerging Markets Equity | | | | | 539,814 | | | | — | | | | 1,617 | | | | 541,431 | |
N-11 Equity | | | | | 69,639 | | | | 178,326 | | | | 91 | | | | 248,056 | |
G. Line of Credit Facility — As of April 30, 2017, the Funds participated in a $1,100,000,000 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. 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, 2017, the Funds did not have any borrowings under the facility. The facility was renewed in the amount of $1,100,000,000 effective May 2, 2017.
47
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
H. Other Transactions with Affiliates — As of April 30, 2017, the following Fund of Fund Portfolio was the beneficial owner of 5% or more of total outstanding shares of the following Fund:
| | | | | | |
| Fund | | | | Goldman Sachs
Satellite Strategies
Portfolio | |
Emerging Markets Equity | | | | | 5 | % |
As of April 30, 2017, The Goldman Sachs Group, Inc. was the beneficial owner of approximately 24% of the Class IR Shares of the Asia Equity Fund.
The following table provides information about the Funds’ investments in the Goldman Sachs Financial Square Government Fund as of and for the six months ended April 30, 2017:
| | | | | | | | | | | | | | | | | | | | | | |
| Fund | | | | Market
Value
10/31/2016 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Market
Value
4/30/2017 | | | Dividend
Income | |
Asia Equity | | | | $ | 759,355 | | | $ | 8,219,512 | | | $ | (8,684,715 | ) | | $ | 294,152 | | | $ | 294 | |
Emerging Markets Equity | | | | | 50 | | | | 53,913,384 | �� | | | (49,013,911 | ) | | | 4,899,523 | | | | 3,089 | |
N -11 Equity | | | | | — | | | | 865,062 | | | | (687,933 | ) | | | 177,129 | | | | 22 | |
|
| 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, 2017, were as follows:
| | | | | | | | | | |
| Fund | | | | Purchases | | | Sales and Maturities | |
Asia Equity | | | | $ | 27,408,224 | | | $ | 39,704,192 | |
Emerging Markets Equity | | | | | 252,218,328 | | | | 156,741,377 | |
N-11 Equity | | | | | 8,316,798 | | | | 29,627,897 | |
48
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and the terms and conditions contained therein, the Asia Equity, Emerging Markets Equity and N-11 Equity 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 Asia Equity, Emerging Markets Equity and N-11 Equity Funds invest the cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund (“Government Money Market Fund”), an affiliated series of the Trust. The Government 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 Goldman Sachs Asset Management, L.P. (“GSAM”) for which GSAM may receive a management fee of up to 0.205% on an annualized basis of the average daily net assets of the Government 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 GSAL is unable to purchase replacement securities, GSAL will indemnify the Funds by paying the Funds an amount equal to the market value of the securities loaned minus the value of cash collateral received from the borrower for the loan, subject to an exclusion for any shortfalls resulting from a loss of value in such cash collateral due to reinvestment risk. The amounts of the Funds’ overnight and continuous agreements represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of April 30, 2017 are disclosed as “Payable upon return of securities loaned” on the Statements of Assets and Liabilities.
Each of the Asia Equity, Emerging Markets Equity and N-11 Equity Funds and GSAL received compensation relating to the lending of the Funds’ securities. The amounts earned, if any, by the Funds for the six months ended April 30, 2017, 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, 2017 | | | Amounts Payable to
Goldman Sachs upon
Return of
Securities Loaned as of
April 30, 2017 | |
| Fund | | | | Earnings of GSAL
Relating to
Securities
Loaned | | | Amounts Received
by the Funds
from Lending to
Goldman Sachs | | |
Asia Equity | | | | $ | 538 | | | $ | — | | | $ | — | |
Emerging Markets Equity | | | | | 7,759 | | | | 10,128 | | | | 868,639 | |
N-11 Equity | | | | | 104 | | | | 394 | | | | — | |
49
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 7. SECURITIES LENDING (continued) |
The following table provides information about the Funds’ investment in the Government Money Market Fund for the six months ended April 30, 2017.
| | | | | | | | | | | | | | | | | | |
| Fund | | | | Market
Value
10/31/2016 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Market
Value
4/30/2017 | |
Asia Equity | | | | $ | — | | | $ | 314,484 | | | $ | (314,484 | ) | | $ | — | |
Emerging Markets Equity | | | | | — | | | | 62,487,579 | | | | (55,541,640 | ) | | | 6,945,939 | |
N-11 Equity | | | | | — | | | | 2,826,834 | | | | (2,826,834 | ) | | | — | |
As of the Funds’ most recent fiscal year end, October 31, 2016, 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: | | | | | | | | | | | | |
Expiring 2017(1) | | $ | (7,699,879 | ) | | $ | (445,745,035 | ) | | $ | — | |
Perpetual Long-term | | | — | | | | (17,942,375 | ) | | | (36,154,002 | ) |
Perpetual Short-term | | | (1,112,900 | ) | | | (29,675,460 | ) | | | (32,413,251 | ) |
Total capital loss carryforwards | | $ | (8,812,779 | ) | | $ | (493,362,870 | ) | | $ | (68,567,253 | ) |
| (1) | | Expiration occurs on October 31 of the year indicated. |
As of April 30, 2017, 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 | | $ | 60,238,878 | | | $ | 633,198,749 | | | $ | 67,050,579 | |
Gross unrealized gain | | | 9,039,232 | | | | 118,455,253 | | | | 17,104,097 | |
Gross unrealized loss | | | (5,092,410 | ) | | | (21,791,565 | ) | | | (4,655,117 | ) |
Net unrealized security gain | | $ | 3,946,822 | | | $ | 96,663,688 | | | $ | 12,448,980 | |
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.
50
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
The Funds’ risks include, but are not limited to, the following:
Derivatives Risk — The Funds’ use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the 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. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
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 a Fund invests. The imposition of exchange controls, confiscations, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or from problems in share registration, settlement or custody, may also result in losses. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which 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 — If a Fund invests in foreign securities, the Fund may hold such securities and cash with foreign banks, agents, and securities depositories appointed by the Fund’s custodian (each a “Foreign Custodian”). Some foreign custodians may be recently organized or new to the foreign custody business. In some countries, Foreign Custodians may be subject to little or no regulatory oversight over, or independent evaluation of, their operations. Further, the laws of certain countries may place limitations on 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 — If a Fund focuses its investments in securities of issuers located in a particular country or geographic region, it will subject the Fund, to a greater extent than if its investments were less focused, to the risks of volatile economic cycles and/or conditions and developments that may be particular to that country or region, such as: adverse securities markets; adverse exchange rates; adverse social, political, regulatory, economic, business, environmental or other developments; or natural disasters.
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.
51
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 9. OTHER RISKS (continued) |
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.
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.
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.
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.
52
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Subsequent events after the Statements of Assets and Liabilities date have been evaluated and GSAMI has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
|
| 12. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | Asia Equity Fund | |
| | | | |
| | | For the Six Months Ended
April 30, 2017
(Unaudited) | | | For the Fiscal Year Ended
October 31, 2016 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 15,112 | | | $ | 317,419 | | | | 18,950 | | | $ | 377,355 | |
Shares redeemed | | | (221,589 | ) | | | (4,449,168 | ) | | | (112,888 | ) | | | (2,284,483 | ) |
| | | | (206,477 | ) | | | (4,131,749 | ) | | | (93,938 | ) | | | (1,907,128 | ) |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 1,307 | | | | 25,613 | | | | 2,343 | | | | 43,465 | |
Shares redeemed | | | (10,150 | ) | | | (198,938 | ) | | | (12,807 | ) | | | (233,866 | ) |
| | | | (8,843 | ) | | | (173,325 | ) | | | (10,464 | ) | | | (190,401 | ) |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 139,674 | | | | 2,984,909 | | | | 91,051 | | | | 1,840,720 | |
Shares redeemed | | | (569,340 | ) | | | (12,225,214 | ) | | | (337,388 | ) | | | (7,026,128 | ) |
| | | | (429,666 | ) | | | (9,240,305 | ) | | | (246,337 | ) | | | (5,185,408 | ) |
| Class IR Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 2,586 | | | | 57,390 | | | | 1,401 | | | | 30,436 | |
Shares redeemed | | | (361 | ) | | | (8,230 | ) | | | (1,263 | ) | | | (27,780 | ) |
| | | | 2,225 | | | | 49,160 | | | | 138 | | | | 2,656 | |
NET DECREASE | | | (642,761 | ) | | $ | (13,496,219 | ) | | | (350,601 | ) | | $ | (7,280,281 | ) |
53
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 12. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | Emerging Markets Equity Fund | |
| | | | |
| | | For the Six Months Ended
April 30, 2017
(Unaudited) | | | For the Fiscal Year Ended
October 31, 2016 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 2,315,091 | | | $ | 35,969,257 | | | | 525,881 | | | $ | 7,916,505 | |
Reinvestment of distributions | | | 24,604 | | | | 363,154 | | | | — | | | | — | |
Shares redeemed | | | (1,150,309 | ) | | | (18,495,250 | ) | | | (1,205,412 | ) | | | (17,810,571 | ) |
| | | | 1,189,386 | | | | 17,837,161 | | | | (679,531 | ) | | | (9,894,066 | ) |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 162,095 | | | | 2,380,109 | | | | 136,803 | | | | 1,843,385 | |
Shares redeemed | | | (309,399 | ) | | | (4,408,242 | ) | | | (765,758 | ) | | | (10,088,827 | ) |
| | | | (147,304 | ) | | | (2,028,133 | ) | | | (628,955 | ) | | | (8,245,442 | ) |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 5,579,068 | | | | 95,623,414 | | | | 17,639,592 | | | | 274,394,345 | |
Reinvestment of distributions | | | 269,690 | | | | 4,250,319 | | | | 22,405 | | | | 349,742 | |
Shares redeemed | | | (3,079,456 | ) | | | (51,999,137 | ) | | | (12,765,591 | ) | | | (194,516,952 | ) |
| | | | 2,769,302 | | | | 47,874,596 | | | | 4,896,406 | | | | 80,227,135 | |
| Service Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 141,346 | | | | 2,156,336 | | | | 317,809 | | | | 4,726,912 | |
Reinvestment of distributions | | | 9,898 | | | | 141,339 | | | | — | | | | — | |
Shares redeemed | | | (105,701 | ) | | | (1,670,152 | ) | | | (206,855 | ) | | | (2,980,848 | ) |
| | | | 45,543 | | | | 627,523 | | | | 110,954 | | | | 1,746,064 | |
| Class IR Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 2,063,078 | | | | 35,236,880 | | | | 330,016 | | | | 5,307,643 | |
Reinvestment of distributions | | | 4,308 | | | | 67,461 | | | | 71 | | | | 1,110 | |
Shares redeemed | | | (150,104 | ) | | | (2,539,823 | ) | | | (116,193 | ) | | | (1,740,216 | ) |
| | | | 1,917,282 | | | | 32,764,518 | | | | 213,894 | | | | 3,568,537 | |
| Class R6 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 519,010 | | | | 8,915,970 | | | | 323,494 | | | | 5,352,307 | |
Reinvestment of distributions | | | 5,039 | | | | 79,414 | | | | 1 | | | | 11 | |
Shares redeemed | | | (43,132 | ) | | | (731,449 | ) | | | (35,704 | ) | | | (591,283 | ) |
| | | | 480,917 | | | | 8,263,935 | | | | 287,791 | | | | 4,761,035 | |
NET INCREASE | | | 6,255,126 | | | $ | 105,339,600 | | | | 4,200,559 | | | $ | 72,163,263 | |
54
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
|
| 12. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | N-11 Equity Fund | |
| | | | |
| | | For the Six Months Ended
April 30, 2017
(Unaudited) | | | For the Fiscal Year Ended
October 31, 2016 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 127,457 | | | $ | 1,057,138 | | | | 550,789 | | | $ | 4,823,684 | |
Reinvestment of distributions | | | — | | | | — | | | | 7,693 | | | | 67,624 | |
Shares redeemed | | | (1,527,086 | ) | | | (13,073,488 | ) | | | (3,503,751 | ) | | | (30,530,632 | ) |
| | | | (1,399,629 | ) | | | (12,016,350 | ) | | | (2,945,269 | ) | | | (25,639,324 | ) |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 21,449 | | | | 183,912 | | | | 17,925 | | | | 152,129 | |
Shares redeemed | | | (167,919 | ) | | | (1,356,927 | ) | | | (319,793 | ) | | | (2,741,260 | ) |
| | | | (146,470 | ) | | | (1,173,015 | ) | | | (301,868 | ) | | | (2,589,131 | ) |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 324,628 | | | | 2,722,905 | | | | 641,001 | | | | 5,745,160 | |
Reinvestment of distributions | | | 2,084 | | | | 17,132 | | | | 87,939 | | | | 774,739 | |
Shares redeemed | | | (1,597,868 | ) | | | (13,485,117 | ) | | | (6,525,574 | ) | | | (57,441,506 | ) |
| | | | (1,271,156 | ) | | | (10,745,080 | ) | | | (5,796,634 | ) | | | (50,921,607 | ) |
| Class IR Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 711,888 | | | | 6,164,183 | | | | 199,110 | | | | 1,729,746 | |
Reinvestment of distributions | | | — | | | | — | | | | 8,082 | | | | 71,120 | |
Shares redeemed | | | (460,266 | ) | | | (3,954,287 | ) | | | (566,002 | ) | | | (5,000,272 | ) |
| | | | 251,622 | | | | 2,209,896 | | | | (358,810 | ) | | | (3,199,406 | ) |
NET DECREASE | | | (2,565,633 | ) | | $ | (21,724,549 | ) | | | (9,402,581 | ) | | $ | (82,349,468 | ) |
55
GOLDMAN SACHS FUNDAMENTAL EMERGING MARKETS EQUITY FUNDS
Fund Expenses — Six Month Period Ended April 30, 2017 (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/or service (12b-1) fees (with respect to Class A, Class C and Service 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, 2016 through April 30, 2017, which represents a period of 181 days of a 365 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
11/01/2016 | | | Ending
Account
Value
04/30/2017 | | | Expenses Paid for the
6 Months Ended
04/30/2017* | | | Beginning
Account
Value
11/01/2016 | | | Ending
Account
Value
04/30/2017 | | | Expenses Paid for the
6 Months Ended
04/30/2017* | | | Beginning
Account
Value
11/01/2016 | | | Ending
Account
Value
04/30/2017 | | | Expenses Paid for the
6 Months Ended
04/30/2017* | |
| Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,082.50 | | | $ | 8.00 | | | $ | 1,000 | | | $ | 1,089.30 | | | $ | 8.34 | | | $ | 1,000 | | | $ | 1,026.70 | | | $ | 8.69 | |
Hypothetical 5% return | | | 1,000 | | | | 1,017.11 | + | | | 7.75 | | | | 1,000 | | | | 1,016.81 | + | | | 8.05 | | | | 1,000 | | | | 1,016.22 | + | | | 8.65 | |
| Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 1,078.30 | | | | 11.85 | | | | 1,000 | | | | 1,085.30 | | | | 12.20 | | | | 1,000 | | | | 1,024.20 | | | | 12.45 | |
Hypothetical 5% return | | | 1,000 | | | | 1,013.39 | + | | | 11.48 | | | | 1,000 | | | | 1,013.09 | + | | | 11.78 | | | | 1,000 | | | | 1,012.50 | + | | | 12.37 | |
| Institutional | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 1,085.20 | | | | 5.95 | | | | 1,000 | | | | 1,091.30 | | | | 6.27 | | | | 1,000 | | | | 1,030.30 | | | | 6.70 | |
Hypothetical 5% return | | | 1,000 | | | | 1,019.09 | + | | | 5.76 | | | | 1,000 | | | | 1,018.79 | + | | | 6.06 | | | | 1,000 | | | | 1,018.20 | + | | | 6.66 | |
| Service | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | N/A | | | | N/A | | | | N/A | | | | 1,000 | | | | 1,088.70 | | | | 8.86 | | | | N/A | | | | N/A | | | | N/A | |
Hypothetical 5% return | | | N/A | | | | N/A | | | | N/A | | | | 1,000 | | | | 1,016.31 | + | | | 8.55 | | | | N/A | | | | N/A | | | | N/A | |
| Class IR | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 1,084.10 | | | | 6.72 | | | | 1,000 | | | | 1,090.90 | | | | 7.00 | | | | 1,000 | | | | 1,028.90 | | | | 7.45 | |
Hypothetical 5% return | | | 1,000 | | | | 1,018.35 | + | | | 6.51 | | | | 1,000 | | | | 1,018.10 | + | | | 6.76 | | | | 1,000 | | | | 1,017.46 | + | | | 7.40 | |
| Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | N/A | | | | N/A | | | | N/A | | | | 1,000 | | | | 1,092.30 | | | | 6.12 | | | | N/A | | | | N/A | | | | N/A | |
Hypothetical 5% return | | | N/A | | | | N/A | | | | N/A | | | | 1,000 | | | | 1,018.94 | + | | | 5.91 | | | | 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, 2017. 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 | | | 1.55 | % | | | 2.30 | % | | | 1.15 | % | | | N/A | | | | 1.30 | % | | | N/A | |
Emerging Markets Equity | | | 1.61 | | | | 2.36 | | | | 1.21 | | | | 1.71 | % | | | 1.35 | | | | 1.18 | % |
N-11 Equity | | | 1.73 | | | | 2.48 | | | | 1.33 | | | | N/A | | | | 1.48 | | | | 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 $1.17 trillion in assets under supervision as of March 31, 2017, 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. LLC subject to legal, internal and regulatory restrictions.
Money Market
Financial Square FundsSM
| ∎ | | Financial Square Treasury Solution. Fund1 |
| ∎ | | Financial Square Government Fund1 |
| ∎ | | Financial Square Money Market Fund2 |
| ∎ | | Financial Square Prime Obligations Fund2 |
| ∎ | | Financial Square Treasury Instruments Fund1 |
| ∎ | | Financial Square Treasury Obligations Fund1 |
| ∎ | | Financial Square Federal Instruments Fund1 |
| ∎ | | Financial Square Tax-Exempt Money Market Fund2 |
Investor FundsSM
| ∎ | | Investor Money Market Fund3 |
| ∎ | | Investor Tax-Exempt Money Market Fund3 |
Fixed Income
Short Duration and Government
| ∎ | | High Quality Floating Rate Fund |
| ∎ | | Short-Term Conservative Income Fund4 |
| ∎ | | Short Duration Government Fund |
| ∎ | | Short Duration Income Fund |
| ∎ | | Inflation Protected Securities Fund |
Multi-Sector
Municipal and Tax-Free
| ∎ | | High Yield Municipal Fund |
| ∎ | | Dynamic Municipal Income Fund |
| ∎ | | Short Duration Tax-Free Fund |
Single Sector
| ∎ | | Investment Grade Credit Fund |
| ∎ | | High Yield Floating Rate Fund |
| ∎ | | Emerging Markets Debt Fund |
| ∎ | | Local Emerging Markets Debt Fund |
| ∎ | | Dynamic Emerging Markets Debt Fund |
Fixed Income Alternatives
| ∎ | | Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ | | Small/Mid Cap Value Fund |
| ∎ | | Small/Mid Cap Growth Fund |
| ∎ | | Flexible Cap Growth Fund |
| ∎ | | Concentrated Growth Fund |
| ∎ | | Technology Opportunities Fund |
| ∎ | | Growth Opportunities Fund |
| ∎ | | Rising Dividend Growth Fund |
| ∎ | | Dynamic U.S. Equity Fund |
Tax-Advantaged Equity
| ∎ | | U.S. Tax-Managed Equity Fund |
| ∎ | | International Tax-Managed Equity Fund |
| ∎ | | U.S. Equity Dividend and Premium Fund |
| ∎ | | International Equity Dividend and Premium Fund |
Equity Insights
| ∎ | | Small Cap Equity Insights Fund |
| ∎ | | U.S. Equity Insights Fund |
| ∎ | | Small Cap Growth Insights Fund |
| ∎ | | Large Cap Growth Insights Fund |
| ∎ | | Large Cap Value Insights Fund |
| ∎ | | Small Cap Value Insights Fund |
| ∎ | | International Small Cap Insights Fund |
| ∎ | | International Equity Insights Fund |
| ∎ | | Emerging Markets Equity Insights Fund |
Fundamental Equity International
| ∎ | | Strategic International Equity Fund |
| ∎ | | Focused International Equity Fund |
| ∎ | | Emerging Markets Equity Fund |
Select Satellite
| ∎ | | Real Estate Securities Fund |
| ∎ | | International Real Estate Securities Fund |
| ∎ | | Commodity Strategy Fund |
| ∎ | | Global Real Estate Securities Fund |
| ∎ | | Dynamic Allocation Fund |
| ∎ | | Absolute Return Tracker Fund |
| ∎ | | Managed Futures Strategy Fund |
| ∎ | | MLP Energy Infrastructure Fund |
| ∎ | | Multi-Manager Alternatives Fund |
| ∎ | | Absolute Return Multi-Asset Fund |
| ∎ | | Global Infrastructure Fund |
Total Portfolio Solutions
| ∎ | | Global Managed Beta Fund |
| ∎ | | Multi-Manager Non-Core Fixed Income Fund |
| ∎ | | Multi-Manager U.S. Dynamic Equity Fund |
| ∎ | | Multi-Manager Global Equity Fund |
| ∎ | | Multi-Manager International Equity Fund |
| ∎ | | Tactical Tilt Overlay Fund |
| ∎ | | Balanced Strategy Portfolio |
| ∎ | | Multi-Manager U.S. Small Cap Equity Fund |
| ∎ | | Multi-Manager Real Assets Strategy Fund |
| ∎ | | Growth and Income Strategy Portfolio |
| ∎ | | Growth Strategy Portfolio |
| ∎ | | Equity Growth Strategy Portfolio |
| ∎ | | Satellite Strategies Portfolio |
| ∎ | | Enhanced Dividend Global Equity Portfolio |
| ∎ | | Tax-Advantaged Global Equity Portfolio |
| ∎ | | Strategic Factor Allocation Fund |
| ∎ | | Target Date 2020 Portfolio |
| ∎ | | Target Date 2025 Portfolio |
| ∎ | | Target Date 2030 Portfolio |
| ∎ | | Target Date 2035 Portfolio |
| ∎ | | Target Date 2040 Portfolio |
| ∎ | | Target Date 2045 Portfolio |
| ∎ | | Target Date 2050 Portfolio |
| ∎ | | Target Date 2055 Portfolio |
| ∎ | | GQG Partners International Opportunities Fund |
| 1 | | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 2 | | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 3 | | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 4 | | Effective on July 29, 2016, the Goldman Sachs Limited Maturity Obligations Fund was renamed the Goldman Sachs Short-Term Conservative Income Fund. |
| 5 | | Effective on June 20, 2017, the Goldman Sachs Fixed Income Macro Strategies Fund was renamed the Goldman Sachs Strategic Macro Fund. |
| 6 | | Effective on June 20, 2017, the Goldman Sachs Growth and Income Fund was renamed the Goldman Sachs Equity Income Fund. |
Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC.
| *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
Roy W. Templin
Gregory G. Weaver | | OFFICERS James A. McNamara, President Scott M. McHugh, Treasurer, Senior Vice President and
Principal Financial Officer
Joseph F. DiMaria, Assistant Treasurer and Principal
Accounting Officer Caroline L. Kraus, Secretary |
| |
GOLDMAN SACHS & CO. LLC 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-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 also 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).
Goldman Sachs does not provide accounting, tax, or legal advice. Notwithstanding anything in this document to the contrary, and except as required to enable compliance with applicable securities law, you may disclose to any person the US federal and state income tax treatment and tax structure of the transaction and all materials of any kind (including tax opinions and other tax analyses) that are provided to you relating to such tax treatment and tax structure, without Goldman Sachs imposing any limitation of any kind. Investors should be aware that a determination of the tax consequences to them should take into account their specific circumstances and that the tax law is subject to change in the future or retroactively and investors are strongly urged to consult with their own tax advisor regarding any potential strategy, investment or transaction.
Fund holdings and allocations shown are as of April 30, 2017 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. LLC by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550).
© 2017 Goldman Sachs. All rights reserved. 94488-TMPL-06/2017/EMESAR-17/13.3K
Goldman Sachs Funds
| | | | |
| | |
| Semi-Annual Report | | | | April 30, 2017 |
| | |
| | | | Fundamental International Equity Funds |
| | | | Focused International Equity |
| | | | Strategic International Equity |
Goldman Sachs Fundamental International Equity Funds
| ∎ | | FOCUSED INTERNATIONAL EQUITY |
| ∎ | | 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 | |
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| | | |
| 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.
| ∎ | | 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 |
| ∎ | | Analysts collaborate regularly to leverage regional and industry-specific research and insights |
| ∎ | | Global perspective is informed by local market expertise |
| ∎ | | A common valuation framework, focusing on long-term earnings power, ensures consistency when valuing and comparing a company to its peers globally |
| ∎ | | Team of experienced Research Analysts is regionally aligned and has sector expertise |
| ∎ | | Team leverages the research of the approximately 80+ regional investment professionals |
| ∎ | | Decision-making process is informed by active participation in the global research process |
| ∎ | | Security selections are aligned with level of investment conviction |
| ∎ | | Risk monitoring considers whether investment and other risks to the Funds are intended and justified |
| ∎ | | Dedicated portfolio construction team assists in ongoing monitoring and adjustment of the Funds |
International equity portfolios that strive to offer:
| | ∎ | | Access to markets across the world | |
| | ∎ | | Disciplined approach to stock selection | |
| | ∎ | | Optimal risk/return profiles | |
1
MARKET REVIEW
Goldman Sachs Fundamental International Equity Funds
Market Review
International equities rallied during the six-month period ended April 30, 2017 (the “Reporting Period”). The Morgan Stanley Capital International (“MSCI®”) Europe, Australasia, Far East (“EAFE”) Index (Net, USD, Unhedged) (the “MSCI® EAFE Index”) posted a return of 11.47%.*
Soon after the Reporting Period began in November 2016, international developed market equities rallied following the unexpected outcome of the U.S. presidential election on anticipation of the pro-growth effect of the new Administration’s fiscal stimulus plan. However, U.S. dollar appreciation against local currencies detracted from their U.S. dollar performance. International equities then saw a 3.42% rally during an eventful December 2016, with the resignation of Prime Minister Renzi after Italian voters’ rejection of their nation’s constitutional referendum, the Federal Reserve (“Fed”) interest rate hike, and the European Central Bank’s (“ECB”) decision to slow its monthly pace of quantitative easing while extending its program to the end of 2017.
International equities continued their rally in early January 2017 on the prospect of deregulation following executive orders on oil pipelines and optimism around infrastructure spending. However, international equity markets subsequently retreated on political uncertainty and protectionism concerns. In February 2017, international equities were buoyed by “risk on” sentiment owing to potential U.S. tax reform and deregulation as well as on strong economic data. In March 2017, the Fed raised U.S. interest rates for the third time since the 2008 global financial crisis. However, a seemingly cautious stance on the future path of monetary tightening from Fed Chair Janet Yellen and the presence of a dissenter on the Fed committee led to a dovish market reaction and Japanese yen appreciation, despite the Bank of Japan maintaining its policy rate. (Dovish language tends to suggest lower interest rates; opposite of hawkish.) Meanwhile, the ECB kept its monetary policy unchanged at its March 2017 meeting but revised its economic growth and inflation forecasts upwards. Equity markets interpreted the positive economic assessment as hawkish, sparking concerns around the sequencing of the ECB’s policy steps — namely, whether interest rates might rise before quantitative easing ends.
In April 2017, first-round results of the French presidential election buoyed global equities, as the seemingly diminishing risk of populism in Europe reassured markets. Strong first quarter 2017 earnings results and a firm economic backdrop were also supportive for equity markets. A health care bill setback tempered U.S. policy optimism, but an ambitious tax reform proposal from the current U.S. Administration subsequently lifted market sentiment. Japanese equities were initially hurt by a strong yen, which rose amid the political uncertainty and geopolitical tensions around the world. Various geopolitical events, such as a North Korean ballistic missile launch, a U.S. airstrike in Syria and terrorism in Russia all contributed negatively to investor sentiment. However, Japanese equities bounced back as yen strength faded with recovering global risk appetite.
For the Reporting Period as a whole, financials, information technology and industrials were the best performing sectors in the MSCI® EAFE Index. The weakest performing sectors in the MSCI® EAFE Index during the Reporting Period were telecommunication services, utilities and real estate.
From a country perspective, China, Austria and Sweden were the best performing individual constituents of the MSCI® EAFE Index during the Reporting Period. New Zealand was the
| * | | All index returns are expressed in U.S. dollar terms. |
2
MARKET REVIEW
weakest individual country constituent in the MSCI® EAFE Index during the Reporting Period and the only one to post a negative return, followed by Israel, Japan and Norway.
Looking Ahead
At the end of the Reporting Period, we maintained a positive outlook for global equities based on economic growth and earnings growth indicators. Global economic growth and earnings forecasts were trending upward at the end of April 2017 in all major regions for the first time since 2010. In our view, this optimism will need to convert to confidence to turn sentiment into action, generating real business activity and maintaining investor enthusiasm. We think deregulation and tax reform are critical components of this transition. We believe regulatory reform is likely easier to enact because it can largely be accomplished with executive orders. Tax reform may be more challenging, but we think it is the key to reviving confidence. Signs we expect to be watching to gauge whether the conversion to confidence is successful include rising corporate investment and earnings growth meeting or exceeding consensus forecasts.
As of the end of April 2017, we were more bullish than we had been earlier in the Reporting Period on Europe, as earnings forecasts were being upgraded and political risk may be receding following the recent elections in the Netherlands and France. We have long held the view that an earnings recovery had the greatest potential to drive European equities higher, since European earnings remained depressed following the financial crisis, and European companies have high operational leverage, in general. (Operational leverage is a measurement of the degree to which a firm or project incurs a combination of fixed and variable costs.) Finally, in 2017 year-to-date, earnings estimates are being revised upwards rather than downwards, as has been the case, on average, in previous years. We believe three key end-markets are driving the earnings upgrades: 1) European domestic economies, which represent about 50% of European corporate revenue exposure, are improving; 2) the U.S. economy, which represents approximately 20% of European corporate revenue exposure, is comparatively strong; and 3) many emerging market economies, which account for approximately 20% of European corporate revenue exposure, have been either stabilizing or recovering. Valuations have risen, but remain, in our view, below those of the U.S. market.
We also remained positive on Japan at the end of the Reporting Period based on what we consider to be strong corporate fundamentals. Corporate reforms appear to be bringing about structural and behavioral changes, and record high cash levels seem to be leading to rising shareholder returns. In addition, macroeconomic data shows some improvement, with robust consumption and business sentiment. Japan’s tight labor market may be a potential headwind, with rising labor costs becoming an increasing concern for companies.
Overall, at the end of the Reporting Period, our focus remained on seeking alpha opportunities through fundamental, bottom-up security selection. (Alpha, often considered the active return on an investment, gauges the performance of an investment against a market index used as a benchmark, since market indices are often considered to represent the market’s movement as a whole. The excess returns of a fund relative to the return of a benchmark index is the fund’s alpha.) We believe active managers should have the greatest ability to respond to potential changes in the post-monetary policy world, and value generated through active management may well become an increasingly important contributor to returns. A post-monetary policy world is one wherein central banks now generally agree that conventional monetary supplies are of little use as targets or even indicators for monetary policy, owing to the instability of money demand relations in economies with well-developed financial markets. 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, 2017 (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 11.41%, 11.02%, 11.70%, 11.38%, 11.59% and 11.66%, respectively. These returns compare to the 11.47% cumulative total return of the Fund’s benchmark, the Morgan Stanley Capital International (“MSCI®”) Europe, Australasia, Far East (“EAFE”) Index (Net, USD, Unhedged) (the “MSCI® Index”), during the same period. |
| Q | | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | | Most share classes of the Fund either outperformed or closely tracked the MSCI® Index during the Reporting Period, attributable primarily to individual stock selection. Country allocation also contributed positively, albeit more modestly. Sector allocation overall detracted modestly during the Reporting Period. |
| Q | | What were some of the Fund’s best-performing individual stocks? |
| A | | Among the greatest contributors to Fund performance relative to the MSCI® Index during the Reporting Period were Melrose Industries, Bank of Ireland and Commerzbank. |
| | Melrose Industries is a U.K.-domiciled industrials business conglomerate. The company enjoyed strong performance, as the market started appreciating the upside potential of its acquisition of Nortek. Nortek is mainly a U.S.-focused company with high exposure to residential and non-residential construction markets. Because both Nortek and Melrose Industries have significant revenue exposure to the U.S., if the current presidential administration delivers on tax reform and if U.S. economic growth remains healthy, the company should be positively affected, in our view. Melrose |
| | Industries has already begun looking for its next acquisition deal, which comes six to 12 months earlier than the market expected. Its management has successfully improved its business margins and continues to focus on cash, growth and cost cutting, including the disposal of non-core assets. At the end of the Reporting Period, we maintained our positive view on the company and believed Melrose Industries’ management would keep delivering margin improvement and creating shareholder value, but we trimmed the position to lock in some profits. |
| | Bank of Ireland, one of the largest commercial banks in Ireland, reported solid fiscal year 2016 results, with earnings on the high end of consensus estimates, a healthy balance sheet and improvement in its Core Tier 1 capital ratio. (The tier 1 capital ratio is the comparison between a banking firm’s core equity capital and its total risk-weighted assets. A firm’s core equity capital is known as its tier 1 capital and is the measure of a bank’s financial strength based on the sum of its equity capital and disclosed reserves, and sometimes non-redeemable, non-cumulative preferred stock. A firm’s risk-weighted assets include all assets that the firm holds that are systematically weighted for credit risk.) In our view, Bank of Ireland has an experienced management team, who have been making significant investments in technology, and we were positive, at the end of the Reporting Period, on the company’s opportunities for meaningful margin expansion and capital position going forward. |
| | Commerzbank, a global banking and financial services company in Germany, reported fourth quarter 2016 results that showed earnings ahead of market estimates on the back of higher than expected revenues. A key highlight of its results was a better Core Tier 1 capital ratio, which should add buffer as the bank undergoes its restructuring through cost cutting programs. Commerzbank additionally benefited from advising on the acquisition of Concardis by Bain Capital and Advent International, which was cleared by the European Union. While we remain positive on the bank’s investments in technology, cost cutting and efforts to increase revenue, we took the opportunity of its share price rise to exit the position for higher conviction ideas. |
4
PORTFOLIO RESULTS
| 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 Japan Tobacco, Nidec and Mitsubishi Estate. |
| | Japan Tobacco, a global tobacco manufacturer, was a top detractor from the Fund’s relative results during the Reporting Period. Just prior to the Reporting Period, the company reported third quarter 2016 earnings that were below market estimates, driven by lower sales as a result of the stronger U.S. dollar. Later in 2016, the company’s management guided for cautious estimates, as it expected headwinds in the domestic market and pricing concerns in international markets. At the end of the Reporting Period, we continued to like Japan Tobacco, as we see superior execution in its international business, which represents a compelling growth opportunity, in our view. We also were encouraged by price increases across the company’s main brands and what we consider to be the strength of its balance sheet and its attractive valuation. |
| | Nidec is a Japanese manufacturer of small precision motors and related products for the automotive, electronics and other industrial markets. Its stock underperformed the MSCI® Index in April 2017, reflecting investors’ profit-taking trades before its announcement of full-year guidance and fourth quarter 2016 results that were slightly weaker than consensus expectations. Our research suggests that Nidec’s near-term results were in-line with consensus expectations if adjusted for one-time costs for mergers and acquisitions and lateral hiring expenses and that its long-term prospects look robust considering orders for automotive motors has increased. Furthermore, the company is aggressively automating its production lines, and, as a result, it continues to post strong margin improvement in its core divisions. With its management cognizant of the changes in technology and market environments for smart devices, robots and electric vehicles, Nidec has begun instituting management structures and implementing working practice reforms to garner the best human resources in science and technology. We believe this may well be a catalyst moving forward. At the end of the Reporting Period, we continued to like the company, as it is diversifying into potentially higher growth areas, such as automotive electrification and the “Internet of things.” (“Internet of things” is the inter-networking of physical devices, connected or smart devices, buildings and other items — embedded with electronics, software, sensors, actuators and network connectivity that enable these objects to collect and exchange data.) Meetings with its management have reinforced our view that its evolution away from hard-disk drive technology should enable Nidec to maintain its strong earnings growth profile. |
| | Mitsubishi Estate is a Japanese diversified real estate landlord and developer focused on prime Tokyo office space. After strong performance in the fourth quarter of 2016, the company saw its share price weaken in early 2017 as foreign exchange movements impacted market expectations for Japan’s economic strength and inflation. However, Tokyo office market fundamentals remained strong, with vacancies at historically low levels. Although rental growth was progressing at a tepid rate and new supply was anticipated to be gradually on the rise during the next three years, we believe Mitsubishi Estate should continue to benefit as a landlord and remained, in our view, attractively valued relative to its peers at the end of the Reporting Period. |
| 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 industrials, materials and health care, each due primarily to effective stock selection. |
| | The sectors that detracted most from the Fund’s relative results during the Reporting Period were real estate, financials and consumer staples, each due primarily to weak stock selection. Having an underweighted allocation to financials, which outperformed the MSCI® Index during the Reporting Period, and having an overweighted allocation to real estate, which underperformed the MSCI® Index the Reporting Period, also hurt. |
| 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 the U.K., Ireland and Germany boosted the Fund’s relative returns most. Conversely, the countries that detracted most from the Fund’s performance during the Reporting Period were Spain, Sweden and France, where stock selection overall hurt. |
5
PORTFOLIO RESULTS
| 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 initiated a Fund position in Novozymes, a biotechnology company that produces industrial enzymes and microorganisms. Novozymes’ products help reduce temperatures needed for washing clothes, create safe and healthy foods, and promote bioenergy as a source of renewable energy. We expect these factors to benefit the company as consumers continue to shift preferences to lower energy use and health/wellness in foods. We see additional growth opportunities through the company’s expansion in emerging markets, especially as economies expand and populations increase. Overall, we are positive on what we view as Novozymes’ dominant market position, strong revenue growth opportunities through multiple divisions, solid balance sheet and meaningful buybacks. |
| | We established a new Fund position in GEA Group, a supplier of process technology for the food industry, headquartered in Germany. We believe that revenue growth in the food end-market may exceed that of the broader capital goods sector. This, plus the company’s exposure to emerging market growth, increasing populations and rising domestic incomes, bodes well for GEA Group, in our view. Additionally, if the company delivers on the margins under its GEA Fit for 2020 program, a restructuring plan to optimize organizational structure, the market could be willing to pay a premium for the company’s stock. Following the disposal of its heat exchanger business, we believe GEA Group’s balance sheet is strong, and we expect its management to return excess capital to shareholders in the form of share buybacks while retaining enough for bolt-on acquisition. (A bolt-on acquisition refers to a company that is added by a private equity firm to one of its platform companies.) |
| | Conversely, in addition to the sale of Commerzbank, already mentioned, we sold the Fund’s position in Banco Popular Espanol. Its stock’s poor performance during the Reporting Period can be partly attributed to increased regulatory pressures, which is creating a challenging environment for European banks. Moreover, in our view, the bank has developed a poor balance sheet given its inability to deal with existing non-performing loans and its weak capital position. Following its Chief Executive Officer’s resignation at the beginning of April 2017, we became less confident about the strategy of the company moving forward and thus opted to exit the position. |
| 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 industrials, health care and consumer staples increased relative to the MSCI® Index during the Reporting Period, while its relative exposure to financials, consumer discretionary and information technology decreased. From a country perspective, the Fund’s exposure to France, Denmark and Italy increased relative to the MSCI® Index, while its relative exposure to Switzerland, Ireland and Spain decreased during 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 | | 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 the U.K., France, Germany, Denmark, Italy, Ireland and Singapore and less exposure to Switzerland, Australia, Spain and the Netherlands relative to the MSCI® Index. At the end of the Reporting Period, the Fund held a neutral position relative to the MSCI® Index in Japan. |
| | From a sector allocation perspective, the Fund had overweight positions relative to the MSCI® Index in industrials, health care, consumer staples and real estate at the end of the Reporting Period. On the same date, the Fund had underweighted positions compared to the MSCI® Index in financials, consumer discretionary, materials and information technology and was rather neutrally weighted compared to the MSCI® Index in energy and telecommunication services. 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. |
6
FUND BASICS
Focused International Equity Fund
as of April 30, 2017
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2016–April 30, 2017 | | Fund Total Return
(based on NAV)1 | | | MSCI® Index2 | |
| | Class A | | | 11.41 | % | | | 11.47 | % |
| | Class C | | | 11.02 | | | | 11.47 | |
| | Institutional | | | 11.70 | | | | 11.47 | |
| | Service | | | 11.38 | | | | 11.47 | |
| | Class IR | | | 11.59 | | | | 11.47 | |
| | | Class R6 | | | 11.66 | | | | 11.47 | |
| | 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 21 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 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 3/31/17 | | One Year | | | Five Years | | | Ten Years | | | Since Inception | | | Inception Date |
| | Class A | | | 0.32 | % | | | 3.59 | % | | | -1.21 | % | | | 4.05 | % | | 12/01/92 |
| | Class C | | | 4.36 | | | | 4.00 | | | | -1.38 | | | | 1.48 | | | 8/15/97 |
| | Institutional | | | 6.55 | | | | 5.20 | | | | -0.25 | | | | 3.85 | | | 2/07/96 |
| | Service | | | 6.06 | | | | 4.67 | | | | -0.75 | | | | 3.25 | | | 3/06/96 |
| | Class IR | | | 6.42 | | | | 5.05 | | | | N/A | | | | 5.12 | | | 8/31/10 |
| | | Class R6 | | | 6.57 | | | | N/A | | | | N/A | | | | 13.39 | | | 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 | % | | | 1.62 | % |
| | Class C | | | 2.05 | | | | 2.37 | |
| | Institutional | | | 0.90 | | | | 1.21 | |
| | Service | | | 1.41 | | | | 1.72 | |
| | Class IR | | | 1.05 | | | | 1.36 | |
| | | Class R6 | | | 0.89 | | | | 1.19 | |
| | 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 28, 2018, 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 4/30/175 |
| | | Holding | | % of
Net Assets | | | Line of Business | | Country |
| | Bayer AG (Registered) | | | 4.8 | % | | Pharmaceuticals,
Biotechnology & Life Sciences | | Germany |
| | Royal Dutch Shell plc Class A | | | 4.6 | | | Energy | | Netherlands |
| | Reckitt Benckiser Group plc | | | 4.1 | | | Household & Personal
Products | | United Kingdom |
| | Klepierre | | | 4.0 | | | Real Estate | | France |
| | Beiersdorf AG | | | 3.5 | | | Household & Personal
Products | | Germany |
| | Dentsu, Inc. | | | 3.3 | | | Media | | Japan |
| | Hoya Corp. | | | 3.3 | | | Health Care Equipment &
Services | | Japan |
| | Publicis Groupe SA | | | 3.2 | | | Media | | France |
| | DBS Group Holdings Ltd. | | | 3.2 | | | Banks | | Singapore |
| | | Novo Nordisk A/S Class B | | | 3.1 | | | Pharmaceuticals,
Biotechnology & Life Sciences | | Denmark |
| | 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, 2017 |
| | 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. Underlying sector allocations of exchange traded funds and investment companies held by the Fund are not reflected in the graph above. 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 Strategic International Equity Fund
Investment Objective
The Fund seeks long-term growth of capital.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Global Equity Team discusses the Goldman Sachs Strategic International Equity Fund’s (the “Fund”) performance and positioning for the six-month period ended April 30, 2017 (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 11.38%, 10.94%, 11.58%, 11.55%, 11.19% and 11.60%, respectively. These returns compare to the 11.47% cumulative total return of the Fund’s benchmark, the Morgan Stanley Capital International (“MSCI®”) Europe, Australasia, Far East (“EAFE”) Index (Net, USD, Unhedged) (the “MSCI® Index”), during the same period. |
| Q | | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | | Most share classes of the Fund either outperformed or closely tracked the MSCI® Index during the Reporting Period, attributable primarily to individual stock selection. Country and sector allocation also contributed positively, albeit more modestly. |
| 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 AMS, Intercontinental Hotels Group and UniCredit. |
| | | AMS is a leading Austria-based manufacturer of high performance sensor and analog solutions. During the Reporting Period, AMS reported solid quarterly earnings results that were well ahead of market estimates, and its management guided above market expectations on revenue growth for its fiscal year 2017. AMS’ share price was additionally bolstered by expectations of increasing content at Apple for which the company is a supplier. AMS’ management further confirmed that it expected its newly acquired optical packaging business, Heptagon, to add substantial growth. We took advantage of AMS’ share price gain to exit the Fund’s position and move proceeds into other stocks that we believe have a relatively more compelling risk/reward profile. |
| | | Intercontinental Hotels Group (“IHG”) is a U.K.-headquartered company that owns and operates hotels. IHG is pursuing an “asset light” business model, meaning it is increasing its focus on franchising and managing hotels instead of necessarily owning them. This model is intended to allow the company to grow in an accelerated fashion with reduced capital investments. Additionally, its management has successfully widened its margins through cost cuts. Higher room rates in the Americas led to robust fee revenue and profit growth, despite revenue per room growth lagging in oil-producing regions in the U.S. China, which presents a considerable portion of IHG’s global revenue, outperformed the other regions due to strong corporate demand. The company has expanded its Holiday Inn brand, which accounts for a substantial portion of its global upper-midscale pipeline. At the end of the Reporting Period, we continued to like the name, as what we view as its high cash flow business, attributed in part to its fee revenue, drives shareholder returns and paves the way for possible brand acquisitions and/or technology investments. We believe IHG remains a well-managed and well-run business with solid structural growth potential. |
| | | UniCredit, headquartered in Italy, is a holding company focused on the provision of commercial banking services. Its stock performed well during the Reporting Period, on both an absolute basis and relative to the MSCI® Index, on the back of material clean-ups in costs and asset quality. To address the former, its management cut thousands of jobs and closed numerous stores without compromising investments, especially in technology. Regarding the latter, UniCredit sold a portion of its non-performing loans to KKR and PIMCO and has shown commitment to continue on the path of cleaning up its books. In December 2016, UniCredit announced the sale of Pioneer, its asset management division, to Amundi, a subsidiary of French bank Credit Agricole. The deal, in our view, signals progress, with the asset disposal process initiated by its Chief Executive Officer, who was newly appointed in the summer of 2016. |
10
PORTFOLIO RESULTS
| | Moreover, in its new business plan, UniCredit’s management underscored its focus on profitability improvement and increased efficiency. For all of these reasons, we continued to like the company at the end of the Reporting Period. |
| 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 Japan Tobacco, KDDI and Nidec. |
| | | Japan Tobacco, a global tobacco manufacturer, was a top detractor from the Fund’s relative results during the Reporting Period. Just prior to the Reporting Period, the company reported third quarter 2016 earnings that were below market estimates, driven by lower sales as a result of the stronger U.S. dollar. Later in 2016, the company’s management guided for cautious estimates, as it expected headwinds in the domestic market and pricing concerns in international markets. At the end of the Reporting Period, we continued to like Japan Tobacco, as we see superior execution in its international business, which represents a compelling growth opportunity, in our view. We also were encouraged by price increases across the company’s main brands and what we consider to be the strength of its balance sheet and its attractive valuation. |
| | | KDDI is a Japanese mobile virtual network operator (“MVNO”) that provides mobile cellular and Internet services. Its share price declined in the fourth quarter of 2016 in the wake of the September 2016 results announcement wherein its average revenue per user had seen a decline. The company had reduced promotional spending in response to the Ministry of International Affairs and Communications’ policies, lowering its ability to secure new customers. Furthermore, KDDI was negatively affected by increased competition, slower growth in subscribers and weak mobile telecommunications revenues. At the end of the Reporting Period, there remained some uncertainty about any potential synergies from its acquisition of Biglobe, another major Internet service provider in Japan, in January 2017. However, we remained optimistic about what we expect to be steady profit growth and increased shareholder returns in the coming year for the company on the back of its new data plans launched by its management in September 2016, increases in smartphone usage in the personal services segment, and rising penetration of mobile network subscribers across the globe, driving the MVNO market. |
| | | Nidec is a Japanese manufacturer of small precision motors and related products for the automotive, electronics and other industrial markets. Its stock underperformed the MSCI® Index in April 2017, reflecting investors’ profit-taking trades before its announcement of full-year guidance and fourth quarter 2016 results that were slightly weaker than consensus expectations. Our research suggests that Nidec’s near-term results were in-line with consensus expectations if adjusted for one-time costs for mergers and acquisitions and lateral hiring expenses and that its long-term prospects look robust considering orders for automotive motors has increased. Furthermore, the company is aggressively automating its production lines, and, as a result, it continues to post strong margin improvement in its core divisions. With its management cognizant of the changes in technology and market environments for smart devices, robots and electric vehicles, Nidec has begun instituting management structures and implementing working practice reforms to garner the best human resources in science and technology. We believe this may well be a catalyst moving forward. At the end of the Reporting Period, we continued to like the company, as it is diversifying into potentially higher growth areas, such as automotive electrification and the “Internet of things.” (“Internet of things” is the inter-networking of physical devices, connected or smart devices, buildings and other items — embedded with electronics, software, sensors, actuators and network connectivity that enable these objects to collect and exchange data.) Meetings with its management have reinforced our view that its evolution away from hard-disk drive technology should enable Nidec to maintain its strong earnings growth profile. |
| Q | | Which equity market sectors most significantly affected Fund performance during the Reporting Period? |
| A | | The sectors that contributed most to the Fund’s performance relative to the MSCI® Index were information technology, consumer discretionary and health care. Stock selection in all three sectors proved effective during the Reporting Period. |
| | | The biggest detractors from the Fund’s results during the Reporting Period were consumer staples, telecommunication services and financials, where weak stock selection in each hurt. Having overweights to consumer staples and telecommunication services, which each underperformed the MSCI® Index during the Reporting Period, and having an underweight to financials, which outperformed the MSCI® Index during the Reporting Period, also detracted. |
| 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 |
11
PORTFOLIO RESULTS
| | 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, effective individual stock selection in the U.K. and Switzerland and having an overweight to Italy, which outperformed the MSCI® Index during the Reporting Period, contributed most positively to the Fund’s results relative to the MSCI® Index. Conversely, the countries that detracted most from the Fund’s relative performance were Spain, Sweden and Belgium, where both stock selection and allocation positioning 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 | | During the Reporting Period, we purchased a Fund position in Reckitt Benckiser, a U.K.-headquartered global leader in household and personal care products, with leading brands across fabric care, surface care, dishwashing, home care, and health and personal care. We initiated the position given what we view as strong business fundamentals, and we believe the company’s recent acquisition of Mead Johnson, an infant/baby food maker, may well deliver significant synergies that could allow the company to grow its earnings during the next several years. Moreover, we expect growth driven by Reckitt Benckiser’s innovation and market execution, which could result in category growth margin expansion and market share gains. |
| | | We initiated a Fund position in Nokia, a network infrastructure and technology company. We believe Nokia is well positioned to benefit from tailwinds of increasing wireless use and telecommunications equipment spending, particularly in the U.S. and Europe. In early 2017, the company reported strong results for the fourth quarter of 2016, driven by cost cutting and an improving product mix. We are additionally positive on potential synergies for Nokia through its integration of Alcatel-Lucent, which it acquired last year. |
| | | Conversely, in addition to the sales already mentioned, we exited the Fund’s position in Banco Popular Espanol. Its stock’s poor performance during the Reporting Period can be partly attributed to increased regulatory pressures, which is creating a challenging environment for European banks. Moreover, in our view, the bank has developed a poor balance sheet given its inability to deal with existing non-performing loans and its weak capital position. Following its Chief Executive Officer’s resignation at the beginning of April 2017, we became less confident about the strategy of the company moving forward and thus opted to exit the position. |
| | | We sold the Fund’s position in Commerzbank, a global banking and financial services company in Germany. Commerzbank was among the top contributors to the Fund’s relative results during the Reporting Period. It reported fourth quarter 2016 results that showed earnings ahead of market estimates on the back of higher than expected revenues. A key highlight of its results was a better Core Tier 1 capital ratio, which should add buffer as the bank undergoes its restructuring through cost cutting programs. (The tier 1 capital ratio is the comparison between a banking firm’s core equity capital and its total risk-weighted assets. A firm’s core equity capital is known as its tier 1 capital and is the measure of a bank’s financial strength based on the sum of its equity capital and disclosed reserves, and sometimes non-redeemable, non-cumulative preferred stock. A firm’s risk-weighted assets include all assets that the firm holds that are systematically weighted for credit risk.) Commerzbank additionally benefited from advising on the acquisition of Concardis by Bain Capital and Advent International, which was cleared by the European Union. While we remain positive on the bank’s investments in technology, cost cutting and efforts to increase revenue, we took the opportunity of its share price rise to exit the position for higher conviction ideas. |
| 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 and materials increased relative to the MSCI® Index during the Reporting Period, while its relative exposure to financials decreased. From a country perspective, the Fund’s exposure to the U.K. and Italy |
12
PORTFOLIO RESULTS
| | increased relative to the MSCI® Index, while its relative exposure to Japan decreased during 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 | | 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 the U.K., Italy, Ireland, Denmark and Belgium relative to the MSCI® Index and less exposure to Japan, Germany, Australia, the Netherlands and Hong Kong 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 France, Switzerland, Singapore and China. |
| | | From a sector allocation perspective, the Fund had an overweight position 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 financials, consumer discretionary and information technology and rather neutral positions relative to the MSCI® Index in health care, materials, telecommunication services, energy, utilities, industrials and real estate. |
| | | 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, 2017
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2016–April 30, 2017 | | Fund Total Return (based on NAV)1 | | | MSCI® Index2 | |
| | Class A | | | 11.38 | % | | | 11.47 | % |
| | Class C | | | 10.94 | | | | 11.47 | |
| | Institutional | | | 11.58 | | | | 11.47 | |
| | Class IR | | | 11.55 | | | | 11.47 | |
| | Class R | | | 11.19 | | | | 11.47 | |
| | | Class R6 | | | 11.60 | | | | 11.47 | |
| | 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 21 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 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 3/31/17 | | One Year | | | FIve Years | | | Since Inception | | | Inception Date |
| | Class A | | | 0.75 | % | | | 3.63 | % | | | -1.01 | % | | 6/25/07 |
| | Class C | | | 4.76 | | | | 4.04 | | | | -1.18 | | | 6/25/07 |
| | Institutional | | | 6.98 | | | | 5.23 | | | | -0.05 | | | 6/25/07 |
| | Class IR | | | 6.91 | | | | 5.09 | | | | -0.94 | | | 11/30/07 |
| | Class R | | | 6.34 | | | | 4.56 | | | | -1.49 | | | 11/30/07 |
| | | Class R6 | | | 7.08 | | | | N/A | | | | 12.98 | | | 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 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.
14
FUND BASICS
| | | | | | | | | | |
| | EXPENSE RATIOS4 | |
| | | | | Net Expense Ratio (Current) | | | Gross Expense Ratio (Before Waivers) | |
| | Class A | | | 1.30 | % | | | 1.76 | % |
| | Class C | | | 2.05 | | | | 2.51 | |
| | Institutional | | | 0.90 | | | | 1.36 | |
| | Class IR | | | 1.05 | | | | 1.51 | |
| | Class R | | | 1.55 | | | | 2.01 | |
| | | Class R6 | | | 0.88 | | | | 1.33 | |
| | 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 28, 2018, 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 4/30/175 |
| | | Holding | | % of
Net Assets | | | Line of Business | | Country |
| | Royal Dutch Shell plc Class A | | | 4.9 | % | | Energy | | Netherlands |
| | Novartis AG (Registered) | | | 2.8 | | | Pharmaceuticals, Biotechnology &
Life Sciences | | Switzerland |
| | Bayer AG (Registered) | | | 2.7 | | | Pharmaceuticals, Biotechnology &
Life Sciences | | Germany |
| | Anheuser-Busch InBev SA/NV | | | 2.6 | | | Food, Beverage & Tobacco | | Belgium |
| | Beiersdorf AG | | | 2.5 | | | Household & Personal Products | | Germany |
| | UBS Group AG (Registered) | | | 2.5 | | | Diversified Financials | | Switzerland |
| | Japan Tobacco, Inc. | | | 2.2 | | | Food, Beverage & Tobacco | | Japan |
| | Kerry Group plc Class A | | | 2.1 | | | Food, Beverage & Tobacco | | Ireland |
| | Hoya Corp. | | | 2.0 | | | Health Care Equipment &
Services | | Japan |
| | | Kao Corp. | | | 2.0 | | | Household & Personal Products | | 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, 2017 |
| | 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. Underlying sector allocations of exchange traded funds and investment companies held by the Fund are not reflected in the graph above. 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. |
16
GOLDMAN SACHS FOCUSED INTERNATIONAL EQUITY FUND
Schedule of Investments
April 30, 2017 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – 96.7% | |
| Australia – 2.1% | |
| | 300,230 | | | Computershare Ltd. (Software & Services) | | $ | 3,309,752 | |
| | |
| Denmark – 5.4% | |
| | 126,293 | | | Novo Nordisk A/S Class B (Pharmaceuticals, Biotechnology & Life Sciences) | | | 4,917,452 | |
| | 83,737 | | | Novozymes A/S Class B (Materials) | | | 3,615,190 | |
| | | | | | | | |
| | | | | | | 8,532,642 | |
| | |
| France – 13.8% | |
| | 160,148 | | | Klepierre (REIT) | | | 6,285,796 | |
| | 70,193 | | | Publicis Groupe SA (Media) | | | 5,067,659 | |
| | 178,628 | | | Rexel SA (Capital Goods) | | | 3,190,001 | |
| | 41,227 | | | Safran SA (Capital Goods) | | | 3,413,385 | |
| | 43,885 | | | Vinci SA (Capital Goods) | | | 3,740,695 | |
| | | | | | | | |
| | | | | | | 21,697,536 | |
| | |
| Germany – 13.1% | |
| | 61,554 | | | Bayer AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | | | 7,616,270 | |
| | 55,021 | | | Beiersdorf AG (Household & Personal Products) | | | 5,471,911 | |
| | 75,049 | | | GEA Group AG (Capital Goods) | | | 3,190,514 | |
| | 46,069 | | | HeidelbergCement AG (Materials) | | | 4,264,950 | |
| | | | | | | | |
| | | | | | | 20,543,645 | |
| | |
| Ireland – 1.8% | |
| | 11,393,964 | | | Bank of Ireland (Banks)* | | | 2,884,817 | |
| | |
| Italy – 4.9% | |
| | 270,336 | | | Davide Campari-Milano SpA (Food, Beverage & Tobacco) | | | 3,196,583 | |
| | 272,967 | | | UniCredit SpA (Banks)* | | | 4,444,583 | |
| | | | | | | | |
| | | | | | | 7,641,166 | |
| | |
| Japan – 23.8% | |
| | 92,600 | | | Dentsu, Inc. (Media) | | | 5,227,006 | |
| | 108,600 | | | Hoya Corp. (Health Care Equipment & Services) | | | 5,190,297 | |
| | 270,200 | | | Isuzu Motors Ltd. (Automobiles & Components) | | | 3,672,582 | |
| | 138,400 | | | Japan Tobacco, Inc. (Food, Beverage & Tobacco) | | | 4,605,367 | |
| | 234,800 | | | Mitsubishi Estate Co. Ltd. (Real Estate) | | | 4,495,904 | |
| | 34,300 | | | Nidec Corp. (Capital Goods) | | | 3,147,158 | |
| | 199,100 | | | ORIX Corp. (Diversified Financials) | | | 3,042,793 | |
| | 145,500 | | | Pola Orbis Holdings, Inc. (Household & Personal Products) | | | 3,360,007 | |
| | 127,100 | | | Sumitomo Mitsui Financial Group, Inc. (Banks) | | | 4,719,304 | |
| | | | | | | | |
| | | | | | | 37,460,418 | |
| | |
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – (continued) | |
| Netherlands – 6.6% | |
| | 80,849 | | | Aalberts Industries NV (Capital Goods) | | $ | 3,205,788 | |
| | 277,117 | | | Royal Dutch Shell plc Class A (Energy) | | | 7,196,300 | |
| | | | | | | | |
| | | | | | | 10,402,088 | |
| | |
| Singapore – 3.2% | |
| | 365,700 | | | DBS Group Holdings Ltd. (Banks) | | | 5,050,463 | |
| | |
| Spain – 2.3% | |
| | 202,803 | | | Cellnex Telecom SA (Telecommunication Services)(a) | | | 3,579,607 | |
| | |
| Switzerland – 5.0% | |
| | 213,278 | | | Credit Suisse Group AG (Registered) (Diversified Financials)* | | | 3,252,695 | |
| | 71,820 | | | Wolseley plc (Capital Goods) | | | 4,564,674 | |
| | | | | | | | |
| | | | | | | 7,817,369 | |
| | |
| United Kingdom – 11.6% | |
| | 380,948 | | | BTG plc (Pharmaceuticals, Biotechnology & Life Sciences)* | | | 3,355,743 | |
| | 551,022 | | | Melrose Industries plc (Capital Goods) | | | 1,687,862 | |
| | 70,575 | | | Reckitt Benckiser Group plc (Household & Personal Products) | | | 6,502,607 | |
| | 1,098,954 | | | Rentokil Initial plc (Commercial & Professional Services) | | | 3,543,123 | |
| | 1,209,248 | | | Vodafone Group plc (Telecommunication Services) | | | 3,114,591 | |
| | | | | | | | |
| | | | | | | 18,203,926 | |
| | |
| United States – 3.1% | |
| | 81,733 | | | Shire plc (Pharmaceuticals, Biotechnology & Life Sciences) | | | 4,818,878 | |
| | |
| | TOTAL COMMON STOCKS | | | | |
| | (Cost $158,649,761) | | $ | 151,942,307 | |
| | |
| | | | | | | | |
| Shares | | | Distribution Rate | | Value | |
| Investment Company(b)(c) – 2.1% | |
| Goldman Sachs Financial Square Government Fund —
Institutional Shares |
|
| | 3,226,276 | | | 0.656% | | $ | 3,226,276 | |
| | (Cost $3,226,276) | | | | |
| | |
| | TOTAL INVESTMENTS – 98.8% | |
| | (Cost $161,876,037) | | $ | 155,168,583 | |
| | |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 1.2% | | | 1,918,433 | |
| | |
| | NET ASSETS – 100.0% | | $ | 157,087,016 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 17 |
GOLDMAN SACHS FOCUSED INTERNATIONAL EQUITY FUND
Schedule of Investments (continued)
April 30, 2017 (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 $3,579,607, which represents approximately 2.3% of net assets as of April 30, 2017. |
(b) | | Represents an affiliated issuer. |
(c) | | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on April 30, 2017. |
| | |
|
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, 2017 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – 96.8% | |
| Australia – 3.2% | |
| | 45,035 | | | Australia & New Zealand Banking Group Ltd. (Banks) | | $ | 1,102,412 | |
| | 25,425 | | | BHP Billiton plc (Materials) | | | 387,609 | |
| | 45,775 | | | Computershare Ltd. (Software & Services) | | | 504,626 | |
| | | | | | | | |
| | | | | | | 1,994,647 | |
| | |
| Belgium – 2.6% | |
| | 14,444 | | | Anheuser-Busch InBev SA/NV (Food, Beverage & Tobacco) | | | 1,628,855 | |
| | |
| China – 0.6% | |
| | 188,000 | | | China Mengniu Dairy Co. Ltd. (Food, Beverage & Tobacco) | | | 363,207 | |
| | |
| Denmark – 2.9% | |
| | 26,893 | | | Novo Nordisk A/S Class B (Pharmaceuticals, Biotechnology & Life Sciences) | | | 1,047,129 | |
| | 17,050 | | | Novozymes A/S Class B (Materials) | | | 736,102 | |
| | | | | | | | |
| | | | | | | 1,783,231 | |
| | |
| Finland – 1.3% | |
| | 142,720 | | | Nokia OYJ (Technology Hardware & Equipment) | | | 815,909 | |
| | |
| France – 10.0% | |
| | 8,097 | | | Air Liquide SA (Materials) | | | 975,577 | |
| | 2,963 | | | Iliad SA (Telecommunication Services) | | | 719,191 | |
| | 29,317 | | | Klepierre (REIT) | | | 1,150,690 | |
| | 15,389 | | | Publicis Groupe SA (Media) | | | 1,111,025 | |
| | 21,167 | | | Rexel SA (Capital Goods) | | | 378,008 | |
| | 10,475 | | | Safran SA (Capital Goods) | | | 867,276 | |
| | 11,931 | | | Vinci SA (Capital Goods) | | | 1,016,982 | |
| | | | | | | | |
| | | | | | | 6,218,749 | |
| | |
| Germany – 8.3% | |
| | 13,261 | | | Bayer AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | | | 1,640,826 | |
| | 15,358 | | | Beiersdorf AG (Household & Personal Products) | | | 1,527,373 | |
| | 17,826 | | | GEA Group AG (Capital Goods) | | | 757,826 | |
| | 4,707 | | | HeidelbergCement AG (Materials) | | | 435,762 | |
| | 7,675 | | | SAP SE (Software & Services) | | | 768,774 | |
| | | | | | | | |
| | | | | | | 5,130,561 | |
| | |
| Hong Kong – 0.9% | |
| | 511,000 | | | HKBN Ltd. (Telecommunication Services) | | | 552,191 | |
| | |
| Ireland – 3.4% | |
| | 3,020,343 | | | Bank of Ireland (Banks)* | | | 764,715 | |
| | 15,993 | | | Kerry Group plc Class A (Food, Beverage & Tobacco) | | | 1,307,128 | |
| | | | | | | | |
| | | | | | | 2,071,843 | |
| | |
| Italy – 8.2% | |
| | 64,365 | | | Davide Campari-Milano SpA (Food, Beverage & Tobacco) | | $ | 761,083 | |
| | 146,247 | | | Enav SpA (Transportation)*(a) | | | 598,632 | |
| | 233,525 | | | Enel SpA (Utilities) | | | 1,110,222 | |
| | 27,990 | | | Moncler SpA (Consumer Durables & Apparel) | | | 690,374 | |
| | 893,700 | | | Telecom Italia SpA (Telecommunication Services)* | | | 793,242 | |
| | 69,270 | | | UniCredit SpA (Banks)* | | | 1,127,888 | |
| | | | | | | | |
| | | | | | | 5,081,441 | |
| | |
| Japan – 18.6% | |
| | 5,800 | | | Dentsu, Inc. (Media) | | | 327,393 | |
| | 6,600 | | | East Japan Railway Co. (Transportation) | | | 592,302 | |
| | 8,000 | | | Hoshizaki Corp. (Capital Goods) | | | 667,462 | |
| | 25,900 | | | Hoya Corp. (Health Care Equipment & Services) | | | 1,237,833 | |
| | 40,300 | | | Japan Tobacco, Inc. (Food, Beverage & Tobacco) | | | 1,341,013 | |
| | 22,300 | | | Kao Corp. (Household & Personal Products) | | | 1,230,596 | |
| | 24,500 | | | KDDI Corp. (Telecommunication Services) | | | 649,595 | |
| | 51,000 | | | Mitsubishi Estate Co. Ltd. (Real Estate) | | | 976,538 | |
| | 9,500 | | | Nidec Corp. (Capital Goods) | | | 871,662 | |
| | 2,600 | | | Nintendo Co. Ltd. (Software & Services) | | | 657,971 | |
| | 49,600 | | | ORIX Corp. (Diversified Financials) | | | 758,024 | |
| | 36,400 | | | Pola Orbis Holdings, Inc. (Household & Personal Products) | | | 840,579 | |
| | 24,600 | | | Sumitomo Mitsui Financial Group, Inc. (Banks) | | | 913,414 | |
| | 11,200 | | | Suzuki Motor Corp. (Automobiles & Components) | | | 468,193 | |
| | | | | | | | |
| | | | | | | 11,532,575 | |
| | |
| Netherlands – 6.9% | |
| | 15,992 | | | Aalberts Industries NV (Capital Goods) | | | 634,108 | |
| | 37,928 | | | ING Groep NV (Banks) | | | 618,209 | |
| | 116,360 | | | Royal Dutch Shell plc Class A (Energy) | | | 3,021,689 | |
| | | | | | | | |
| | | | | | | 4,274,006 | |
| | |
| Singapore – 2.0% | |
| | 88,593 | | | DBS Group Holdings Ltd. (Banks) | | | 1,223,505 | |
| | |
| Spain – 1.1% | |
| | 91,341 | | | EDP Renovaveis SA (Utilities) | | | 696,076 | |
| | |
| Switzerland – 10.2% | |
| | 62,291 | | | Credit Suisse Group AG (Registered) (Diversified Financials)* | | | 949,998 | |
| | 22,391 | | | Novartis AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | | | 1,723,773 | |
| | 2,400 | | | Syngenta AG (Registered) (Materials)* | | | 1,115,361 | |
| | 89,351 | | | UBS Group AG (Registered) (Diversified Financials) | | | 1,525,297 | |
| | 15,349 | | | Wolseley plc (Capital Goods) | | | 975,538 | |
| | | | | | | | |
| | | | | | | 6,289,967 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 19 |
GOLDMAN SACHS STRATEGIC INTERNATIONAL EQUITY FUND
Schedule of Investments (continued)
April 30, 2017 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – (continued) | |
| United Kingdom – 15.0% | |
| | 106,879 | | | Aviva plc (Insurance) | | $ | 726,822 | |
| | 51,293 | | | BTG plc (Pharmaceuticals, Biotechnology & Life Sciences)* | | | 451,836 | |
| | 49,448 | | | Compass Group plc (Consumer Services) | | | 998,395 | |
| | 22,097 | | | InterContinental Hotels Group plc (Consumer Services) | | | 1,171,188 | |
| | 167,023 | | | Melrose Industries plc (Capital Goods) | | | 511,616 | |
| | 151,481 | | | Merlin Entertainments plc (Consumer Services)(a) | | | 991,488 | |
| | 67,059 | | | Pennon Group plc (Utilities) | | | 743,961 | |
| | 10,688 | | | Reckitt Benckiser Group plc (Household & Personal Products) | | | 984,766 | |
| | 184,189 | | | Rentokil Initial plc (Commercial & Professional Services) | | | 593,842 | |
| | 13,511 | | | Rio Tinto plc (Materials) | | | 533,012 | |
| | 93,738 | | | UBM plc (Media) | | | 862,144 | |
| | 103,914 | | | Virgin Money Holdings UK plc (Banks) | | | 427,052 | |
| | 117,034 | | | Vodafone Group plc (Telecommunication Services) | | | 301,438 | |
| | | | | | | | |
| | | | | | | 9,297,560 | |
| | |
| United States – 1.6% | |
| | 16,466 | | | Shire plc (Pharmaceuticals, Biotechnology & Life Sciences) | | | 970,815 | |
| | |
| | TOTAL COMMON STOCKS | | | | |
| | (Cost $59,340,334) | | $ | 59,925,138 | |
| | |
| | | | | | | | |
| Exchange Traded Fund – 1.0% | |
| United States – 1.0% | |
| | 11,682 | | | iShares MSCI Japan Fund | | $ | 605,829 | |
| | (Cost $598,725) | | | | |
| | |
| | TOTAL INVESTMENTS – 97.8% | | | | |
| | (Cost $59,939,059) | | $ | 60,530,967 | |
| | |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 2.2% | | | 1,376,105 | |
| | |
| | NET ASSETS – 100.0% | | $ | 61,907,072 | |
| | |
| | |
| 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 $1,590,120, which represents approximately 2.6% of net assets as of April 30, 2017. |
| | |
|
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, 2017 (Unaudited)
| | | | | | | | | | |
| | | | | Focused
International
Equity Fund | | | Strategic
International
Equity Fund | |
| | Assets: | |
| | Investments in unaffiliated issuers, at value (cost $158,649,761 and $59,939,059) | | $ | 151,942,307 | | | $ | 60,530,967 | |
| | Investments in affiliated issuers, at value (cost $3,226,276 and $0) | | | 3,226,276 | | | | — | |
| | Cash | | | 72,480,448 | | | | 482,773 | |
| | Foreign currencies, at value (cost $12,365,864 and $54,597) | | | 12,362,894 | | | | 54,258 | |
| | Receivables: | | | | | | | | |
| | Investments sold | | | 133,261,302 | | | | 1,194,892 | |
| | Dividends | | | 1,194,043 | | | | 244,502 | |
| | Foreign tax reclaims | | | 698,092 | | | | 274,930 | |
| | Fund shares sold | | | 151,850 | | | | 3,024 | |
| | Securities lending income | | | 32,026 | | | | 3,335 | |
| | Reimbursement from investment adviser | | | 29,725 | | | | 30,150 | |
| | Other assets | | | 70,906 | | | | 268 | |
| | Total assets | | | 375,449,869 | | | | 62,819,099 | |
| | | | | | | | | | |
| | Liabilities: | |
| | Payables: | | | | | | | | |
| | Fund shares redeemed | | | 114,209,071 | | | | 8,367 | |
| | Investments purchased | | | 103,878,681 | | | | 828,761 | |
| | Management fees | | | 184,822 | | | | 41,885 | |
| | Distribution and Service fees and Transfer Agency fees | | | 36,246 | | | | 11,303 | |
| | Accrued expenses | | | 54,033 | | | | 21,711 | |
| | Total liabilities | | | 218,362,853 | | | | 912,027 | |
| | | | | | | | | | |
| | Net Assets: | |
| | Paid-in capital | | | 297,122,248 | | | | 91,960,026 | |
| | Undistributed net investment income | | | 972,577 | | | | 129,267 | |
| | Accumulated net realized loss | | | (134,249,054 | ) | | | (30,764,208 | ) |
| | Net unrealized gain (loss) | | | (6,758,755 | ) | | | 581,987 | |
| | | NET ASSETS | | $ | 157,087,016 | | | $ | 61,907,072 | |
| | | Net Assets: | | | | | | | | |
| | | Class A | | $ | 35,252,382 | | | $ | 17,982,318 | |
| | | Class C | | | 17,486,145 | | | | 3,751,657 | |
| | | Institutional | | | 102,404,990 | | | | 39,480,094 | |
| | | Service | | | 8,658 | | | | — | |
| | | Class IR | | | 1,924,037 | | | | 655,586 | |
| | | Class R | | | — | | | | 25,593 | |
| | | Class R6 | | | 10,804 | | | | 11,824 | |
| | | Total Net Assets | | $ | 157,087,016 | | | $ | 61,907,072 | |
| | | Shares outstanding $0.001 par value (unlimited shares authorized): | | | | | | | | |
| | | Class A | | | 1,958,445 | | | | 1,374,248 | |
| | | Class C | | | 1,048,304 | | | | 319,001 | |
| | | Institutional | | | 5,592,326 | | | | 2,883,902 | |
| | | Service | | | 463 | | | | — | |
| | | Class IR | | | 105,381 | | | | 50,128 | |
| | | Class R | | | — | | | | 1,941 | |
| | | Class R6 | | | 590 | | | | 864 | |
| | | Net asset value, offering and redemption price per share:(a) | | | | | | | | |
| | | Class A | | | $18.00 | | | | $13.09 | |
| | | Class C | | | 16.68 | | | | 11.76 | |
| | | Institutional | | | 18.31 | | | | 13.69 | |
| | | Service | | | 18.70 | | | | — | |
| | | Class IR | | | 18.26 | | | | 13.08 | |
| | | Class R | | | — | | | | 13.19 | |
| | | Class R6 | | | 18.31 | | | | 13.68 | |
| | (a) | | Maximum public offering price per share for Class A Shares of the Focused International Equity and Strategic International Equity Funds is $19.05 and $13.85, 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, 2017 (Unaudited)
| | | | | | | | | | |
| | | | | Focused
International
Equity Fund | | | Strategic
International
Equity Fund | |
| | Investment income: | |
| | Dividends — unaffiliated issuers (net of foreign taxes withheld of $303,995 and $71,067) | | $ | 2,515,335 | | | $ | 688,127 | |
| | Securities lending income — affiliated issuer | | | 78,184 | | | | 9,157 | |
| | Dividends — affiliated issuers | | | 3,831 | | | | 162 | |
| | Total investment income | | | 2,597,350 | | | | 697,446 | |
| | | | | | | | | | |
| | Expenses: | |
| | Management fees | | | 1,227,073 | | | | 249,911 | |
| | Distribution and Service fees(a) | | | 125,554 | | | | 40,364 | |
| | Transfer Agency fees(a) | | | 88,813 | | | | 28,074 | |
| | Custody, accounting and administrative services | | | 55,891 | | | | 43,072 | |
| | Professional fees | | | 49,811 | | | | 59,703 | |
| | Registration fees | | | 46,261 | | | | 46,502 | |
| | Printing and mailing costs | | | 24,878 | | | | 18,135 | |
| | Trustee fees | | | 8,682 | | | | 8,465 | |
| | Service share fees — Service Plan | | | 13 | | | | — | |
| | Service share fees — Shareholder Administration Plan | | | 13 | | | | — | |
| | Other | | | 6,906 | | | | 6,871 | |
| | Total expenses | | | 1,633,895 | | | | 501,097 | |
| | Less — expense reductions | | | (361,998 | ) | | | (179,041 | ) |
| | Net expenses | | | 1,271,897 | | | | 322,056 | |
| | NET INVESTMENT INCOME | | | 1,325,453 | | | | 375,390 | |
| | | | | | | | | | |
| | Realized and unrealized gain (loss): | |
| | Net realized gain (loss) from: | | | | | | | | |
| | Investments | | | (311,928 | ) | | | (1,687,088 | ) |
| | Foreign currency transactions | | | 245,149 | | | | 6,886 | |
| | Net change in unrealized gain (loss) on: | | | | | | | | |
| | Investments | | | 25,830,956 | | | | 7,639,822 | |
| | Foreign currency translation | | | (7,801 | ) | | | 4,676 | |
| | Net realized and unrealized gain | | | 25,756,376 | | | | 5,964,296 | |
| | NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 27,081,829 | | | $ | 6,339,686 | |
| | (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 | |
Focused International Equity | | $ | 44,340 | | | $ | 81,214 | | | $ | — | | | $ | 33,698 | | | $ | 15,431 | | | $ | 38,484 | | | $ | 2 | | | $ | 1,196 | | | $ | — | | | $ | 2 | |
Strategic International Equity | | | 22,009 | | | | 18,297 | | | | 58 | | | | 16,727 | | | | 3,477 | | | | 7,408 | | | | — | | | | 438 | | | | 22 | | | | 2 | |
| | |
| 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, 2017
(Unaudited) | | | For the Fiscal
Year Ended
October 31, 2016 | | | For the
Six Months Ended
April 30, 2017
(Unaudited) | | | For the Fiscal
Year Ended
October 31, 2016 | |
| | From operations: | |
| | Net investment income | | $ | 1,325,453 | | | $ | 6,326,170 | | | $ | 375,390 | | | $ | 1,193,235 | |
| | Net realized loss | | | (66,779 | ) | | | (7,202,382 | ) | | | (1,680,202 | ) | | | (554,422 | ) |
| | Net change in unrealized gain (loss) | | | 25,823,155 | | | | (16,640,852 | ) | | | 7,644,498 | | | | (5,686,930 | ) |
| | Net increase (decrease) in net assets resulting from operations | | | 27,081,829 | | | | (17,517,064 | ) | | | 6,339,686 | | | | (5,048,117 | ) |
| | | | | | | | | | | | | | | | | | |
| | Distributions to shareholders: | |
| | From net investment income | | | — | | | | — | | | | — | | | | — | |
| | Class A Shares | | | (1,011,348 | ) | | | (534,931 | ) | | | (351,087 | ) | | | (178,101 | ) |
| | Class C Shares | | | (357,000 | ) | | | (98,242 | ) | | | (50,020 | ) | | | (5,202 | ) |
| | Institutional Shares | | | (5,581,602 | ) | | | (2,308,981 | ) | | | (850,993 | ) | | | (638,376 | ) |
| | Service Shares | | | — | | | | (118 | ) | | | — | | | | — | |
| | Class IR Shares | | | (23,297 | ) | | | (16,690 | ) | | | (10,518 | ) | | | (4,313 | ) |
| | Class R Shares | | | — | | | | — | | | | (360 | ) | | | (22 | ) |
| | Class R6 Shares(a) | | | (307 | ) | | | — | | | | (247 | ) | | | — | |
| | Total distributions to shareholders | | | (6,973,554 | ) | | | (2,958,962 | ) | | | (1,263,225 | ) | | | (826,014 | ) |
| | | | | | | | | | | | | | | | | | |
| | From share transactions: | |
| | Proceeds from sales of shares | | | 39,808,352 | | | | 139,452,947 | | | | 6,657,080 | | | | 28,718,573 | |
| | Reinvestment of distributions | | | 6,884,889 | | | | 2,904,017 | | | | 1,235,952 | | | | 799,747 | |
| | Cost of shares redeemed | | | (165,980,634 | ) | | | (85,861,540 | ) | | | (16,038,270 | ) | | | (32,786,987 | ) |
| | Net increase (decrease) in net assets resulting from share transactions | | | (119,287,393 | ) | | | 56,495,424 | | | | (8,145,238 | ) | | | (3,268,667 | ) |
| | TOTAL INCREASE (DECREASE) | | | (99,179,118 | ) | | | 36,019,398 | | | | (3,068,777 | ) | | | (9,142,798 | ) |
| | | | | | | | | | | | | | | | | | |
| | Net assets: | |
| | Beginning of period | | | 256,266,134 | | | | 220,246,736 | | | | 64,975,849 | | | | 74,118,647 | |
| | End of period | | $ | 157,087,016 | | | $ | 256,266,134 | | | $ | 61,907,072 | | | $ | 64,975,849 | |
| | Undistributed net investment income | | $ | 972,577 | | | $ | 6,620,678 | | | $ | 129,267 | | | $ | 1,017,102 | |
| | (a) | | Class R6 Shares commenced operations on February 26, 2016. |
| | |
| 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) | |
| | 2017 - A | | $ | 16.61 | | | $ | 0.06 | | | $ | 1.79 | | | $ | 1.85 | | | $ | (0.46 | ) | | $ | — | |
| | 2017 - C | | | 15.37 | | | | — | (e) | | | 1.66 | | | | 1.66 | | | | (0.35 | ) | | | — | |
| | 2017 - Institutional | | | 16.93 | | | | 0.11 | | | | 1.81 | | | | 1.92 | | | | (0.54 | ) | | | — | |
| | 2017 - Service | | | 16.79 | | | | 0.04 | | | | 1.87 | | | | 1.91 | | | | — | | | | — | |
| | 2017 - IR | | | 16.86 | | | | 0.14 | | | | 1.76 | | | | 1.90 | | | | (0.50 | ) | | | — | |
| | 2017 - R6 | | | 16.93 | | | | 0.10 | | | | 1.82 | | | | 1.92 | | | | (0.54 | ) | | | — | |
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE FISCAL YEARS ENDED OCTOBER 31, | |
| | 2016 - A | | | 17.98 | | | | 0.48 | (f) | | | (1.65 | ) | | | (1.17 | ) | | | (0.20 | ) | | | — | |
| | 2016 - C | | | 16.67 | | | | 0.32 | (f) | | | (1.53 | ) | | | (1.21 | ) | | | (0.09 | ) | | | — | |
| | 2016 - Institutional | | | 18.34 | | | | 0.47 | (f) | | | (1.60 | ) | | | (1.13 | ) | | | (0.28 | ) | | | — | |
| | 2016 - Service | | | 18.05 | | | | 0.47 | (f) | | | (1.67 | ) | | | (1.20 | ) | | | (0.06 | ) | | | — | |
| | 2016 - IR | | | 18.25 | | | | 0.45 | (f) | | | (1.60 | ) | | | (1.15 | ) | | | (0.24 | ) | | | — | |
| | 2016 - R6 (Commenced February 26, 2016) | | | 15.87 | | | | 0.21 | (f) | | | 0.85 | | | | 1.06 | | | | — | | | | — | |
| | 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 | (g) | | | (1.99 | ) | | | (1.44 | ) | | | (0.07 | ) | | | — | |
| | 2014 - C | | | 18.65 | | | | 0.36 | (g) | | | (1.83 | ) | | | (1.47 | ) | | | — | | | | — | |
| | 2014 - Institutional | | | 20.39 | | | | 0.64 | (g) | | | (2.02 | ) | | | (1.38 | ) | | | (0.15 | ) | | | — | |
| | 2014 - Service | | | 20.08 | | | | 0.52 | (g) | | | (1.98 | ) | | | (1.46 | ) | | | (0.05 | ) | | | — | |
| | 2014 - IR | | | 20.29 | | | | 0.75 | (g) | | | (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 | |
| | (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 impact of taxes to shareholders relating to 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 a corporate action which amounted to $0.28 per share and 1.63% of average net assets. |
| | (g) | | Reflects income recognized from a corporate action which amounted to $0.35 per share and 1.76% of average net assets. |
| | (h) | | 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 | % |
| | |
| 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 18.00 | | | | | | 11.41 | % | | | | $ | 35,252 | | | | | | 1.30 | %(d) | | | | | 1.59 | %(d) | | | | | 0.71 | %(d) | | | | | 83 | % |
| | | 16.68 | | | | | | 11.02 | | | | | | 17,486 | | | | | | 2.05 | (d) | | | | | 2.34 | (d) | | | | | 0.03 | (d) | | | | | 83 | |
| | | 18.31 | | | | | | 11.70 | | | | | | 102,405 | | | | | | 0.90 | (d) | | | | | 1.20 | (d) | | | | | 1.23 | (d) | | | | | 83 | |
| | | 18.70 | | | | | | 11.38 | | | | | | 9 | | | | | | 1.39 | (d) | | | | | 1.65 | (d) | | | | | 0.46 | (d) | | | | | 83 | |
| | | 18.26 | | | | | | 11.59 | | | | | | 1,924 | | | | | | 1.05 | (d) | | | | | 1.34 | (d) | | | | | 1.64 | (d) | | | | | 83 | |
| | | 18.31 | | | | | | 11.66 | | | | | | 11 | | | | | | 0.90 | (d) | | | | | 1.21 | (d) | | | | | 1.16 | (d) | | | | | 83 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 16.61 | | | | | | (6.54 | ) | | | | | 38,152 | | | | | | 1.30 | | | | | | 1.62 | | | | | | 2.86 | (f) | | | | | 78 | |
| | | 15.37 | | | | | | (7.27 | ) | | | | | 15,577 | | | | | | 2.05 | | | | | | 2.37 | | | | | | 2.05 | (f) | | | | | 78 | |
| | | 16.93 | | | | | | (6.21 | ) | | | | | 201,746 | | | | | | 0.90 | | | | | | 1.21 | | | | | | 2.76 | (f) | | | | | 78 | |
| | | 16.79 | | | | | | (6.66 | ) | | | | | 32 | | | | | | 1.41 | | | | | | 1.72 | | | | | | 2.77 | (f) | | | | | 78 | |
| | | 16.86 | | | | | | (6.34 | ) | | | | | 749 | | | | | | 1.05 | | | | | | 1.36 | | | | | | 2.62 | (f) | | | | | 78 | |
| | | 16.93 | | | | | | 6.68 | | | | | | 11 | | | | | | 0.89 | (d) | | | | | 1.19 | (d) | | | | | 1.83 | (d)(f) | | | | | 78 | |
| | | 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 | (g) | | | | | 121 | |
| | | 17.18 | | | | | | (7.83 | ) | | | | | 18,247 | | | | | | 2.08 | | | | | | 2.38 | | | | | | 1.97 | (g) | | | | | 121 | |
| | | 18.86 | | | | | | (6.79 | ) | | | | | 170,954 | | | | | | 0.93 | | | | | | 1.23 | | | | | | 3.17 | (g) | | | | | 121 | |
| | | 18.57 | | | | | | (7.28 | ) | | | | | 332 | | | | | | 1.43 | | | | | | 1.73 | | | | | | 2.62 | (g) | | | | | 121 | |
| | | 18.76 | | | | | | (6.90 | ) | | | | | 2,253 | | | | | | 1.07 | | | | | | 1.38 | | | | | | 3.73 | (g) | | | | | 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 | (h) | | | | | 52,564 | | | | | | 1.48 | | | | | | 1.72 | | | | | | 1.95 | | | | | | 144 | |
| | | 14.60 | | | | | | 8.55 | (h) | | | | | 14,039 | | | | | | 2.23 | | | | | | 2.47 | | | | | | 1.14 | | | | | | 144 | |
| | | 15.92 | | | | | | 9.84 | (h) | | | | | 61,874 | | | | | | 1.08 | | | | | | 1.31 | | | | | | 2.11 | | | | | | 144 | |
| | | 15.69 | | | | | | 9.26 | (h) | | | | | 299 | | | | | | 1.58 | | | | | | 1.82 | | | | | | 1.77 | | | | | | 144 | |
| | | 15.87 | | | | | | 9.61 | (h) | | | | | 30 | | | | | | 1.23 | | | | | | 1.46 | | | | | | 1.87 | | | | | | 144 | |
| | |
| 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 | | | Distribution
to shareholders
from net
investment
income | |
| | FOR THE SIX MONTHS ENDED APRIL 30, (UNAUDITED) | |
| | 2017 - A | | $ | 11.99 | | | $ | 0.06 | | | $ | 1.28 | | | $ | 1.34 | | | $ | (0.24 | ) |
| | 2017 - C | | | 10.75 | | | | 0.02 | | | | 1.14 | | | | 1.16 | | | | (0.15 | ) |
| | 2017 - Institutional | | | 12.56 | | | | 0.09 | | | | 1.33 | | | | 1.42 | | | | (0.29 | ) |
| | 2017 - IR | | | 12.00 | | | | 0.10 | | | | 1.25 | | | | 1.35 | | | | (0.27 | ) |
| | 2017 - R | | | 12.08 | | | | 0.06 | | | | 1.27 | | | | 1.33 | | | | (0.22 | ) |
| | 2017 - R6 | | | 12.56 | | | | 0.09 | | | | 1.32 | | | | 1.41 | | | | (0.29 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE FISCAL YEARS ENDED OCTOBER 31, | |
| | 2016 - A | | | 12.95 | | | | 0.18 | | | | (1.04 | ) | | | (0.86 | ) | | | (0.10 | ) |
| | 2016 - C | | | 11.62 | | | | 0.08 | | | | (0.94 | ) | | | (0.86 | ) | | | (0.01 | ) |
| | 2016 - Institutional | | | 13.56 | | | | 0.23 | | | | (1.08 | ) | | | (0.85 | ) | | | (0.15 | ) |
| | 2016 - IR | | | 12.97 | | | | 0.21 | | | | (1.04 | ) | | | (0.83 | ) | | | (0.14 | ) |
| | 2016 - R | | | 13.00 | | | | 0.12 | | | | (1.01 | ) | | | (0.89 | ) | | | (0.03 | ) |
| | 2016 - R6 (Commenced February 26, 2016) | | | 11.85 | | | | 0.20 | | | | 0.51 | | | | 0.71 | | | | — | |
| | 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 | ) |
| | (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 impact of taxes to shareholders relating to 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. |
| | |
| 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 13.09 | | | | | | 11.38 | % | | | | $ | 17,982 | | | | | | 1.30 | %(d) | | | | | 1.91 | %(d) | | | | | 1.07 | %(d) | | | | | 29 | % |
| | | 11.76 | | | | | | 10.94 | | | | | | 3,752 | | | | | | 2.05 | (d) | | | | | 2.66 | (d) | | | | | 0.31 | (d) | | | | | 29 | |
| | | 13.69 | | | | | | 11.58 | | | | | | 39,480 | | | | | | 0.90 | (d) | | | | | 1.51 | (d) | | | | | 1.46 | (d) | | | | | 29 | |
| | | 13.08 | | | | | | 11.55 | | | | | | 656 | | | | | | 1.05 | (d) | | | | | 1.66 | (d) | | | | | 1.64 | (d) | | | | | 29 | |
| | | 13.19 | | | | | | 11.19 | | | | | | 26 | | | | | | 1.55 | (d) | | | | | 2.16 | (d) | | | | | 0.90 | (d) | | | | | 29 | |
| | | 13.68 | | | | | | 11.60 | | | | | | 12 | | | | | | 0.90 | (d) | | | | | 1.51 | (d) | | | | | 1.50 | (d) | | | | | 29 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 11.99 | | | | | | (6.69 | ) | | | | | 18,301 | | | | | | 1.30 | | | | | | 1.76 | | | | | | 1.47 | | | | | | 68 | |
| | | 10.75 | | | | | | (7.37 | ) | | | | | 3,974 | | | | | | 2.05 | | | | | | 2.51 | | | | | | 0.74 | | | | | | 68 | |
| | | 12.56 | | | | | | (6.31 | ) | | | | | 42,191 | | | | | | 0.90 | | | | | | 1.36 | | | | | | 1.84 | | | | | | 68 | |
| | | 12.00 | | | | | | (6.43 | ) | | | | | 471 | | | | | | 1.05 | | | | | | 1.51 | | | | | | 1.71 | | | | | | 68 | |
| | | 12.08 | | | | | | (6.87 | ) | | | | | 28 | | | | | | 1.55 | | | | | | 2.01 | | | | | | 0.99 | | | | | | 68 | |
| | | 12.56 | | | | | | 5.99 | | | | | | 11 | | | | | | 0.89 | (d) | | | | | 1.35 | (d) | | | | | 2.33 | (d) | | | | | 68 | |
| | | 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 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 27 |
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
Notes to Financial Statements
April 30, 2017 (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 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. LLC (formerly 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, dividend income, net of any foreign withholding taxes, less any amounts reclaimable, and securities lending income. 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.
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, each 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, if any, 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.
28
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
|
| 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 a Fund 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.
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 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 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.
29
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 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.
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 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.
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 a Fund’s 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, 2017:
| | | | | | | | | | | | |
| | | |
| FOCUSED INTERNATIONAL EQUITY | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
Asia | | $ | — | | | $ | 42,510,881 | | | $ | — | |
Australia and Oceania | | | — | | | | 3,309,752 | | | | — | |
Europe | | | — | | | | 101,302,796 | | | | — | |
North America | | | — | | | | 4,818,878 | | | | — | |
Investment Company | | | 3,226,276 | | | | — | | | | — | |
| Total | | $ | 3,226,276 | | | $ | 151,942,307 | | | $ | — | |
30
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
|
| 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 | | $ | — | | | $ | 13,671,478 | | | $ | — | |
Australia and Oceania | | | — | | | | 1,994,647 | | | | — | |
Europe | | | — | | | | 43,288,198 | | | | — | |
North America | | | — | | | | 970,815 | | | | — | |
Exchange Traded Fund | | | 605,829 | | | | — | | | | — | |
| Total | | $ | 605,829 | | | $ | 59,925,138 | | | $ | — | |
| (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 noted in the table. 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, 2017, 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 28, 2018, and prior to such date GSAMI may not terminate the arrangement without the approval of the Trustees. |
The Focused International Equity and Strategic International Equity Funds invest in Institutional Shares of Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAMI 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, 2017, GSAMI waived $1,506 and $148 of the Funds’ management fees, respectively.
B. Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A and Class R Shares of each applicable Fund, has adopted Distribution and Service Plans subject to Rule 12b-1 under the Act. Under the Distribution and Service 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. These fees are equal to an annual percentage of the average daily net assets attributable to Class A or Class R Shares of the Funds, as applicable.
31
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
The Trust, on behalf of Class C Shares of each applicable Fund, has adopted a Distribution Plan subject to Rule 12b-1 under the Act. Under the Distribution Plan, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage of the average daily net assets attributable to Class C Shares of the Funds.
The Trust, on behalf of Services Shares of each applicable Fund, has adopted a Service Plan subject to Rule 12b-1 under the Act to allow Service Shares to compensate service organizations (including Goldman Sachs) for providing personal account maintenance to their customers who are beneficial owners of such shares. The Service Plan provides for compensation to the service organizations equal to an annual percentage rate of the average daily net assets attributable to Services Shares of the Funds.
| | | | | | | | | | | | | | | | |
| | | Distribution and Service Plan Rates | |
| | | Class A* | | | Class C | | | Class R* | | | Service | |
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, 2017, 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 | | | | $ | 624 | | | $ | 231 | |
Strategic International Equity | | | | | 556 | | | | — | |
D. Service and/or Shareholder Administration Plans — The Trust, on behalf of each applicable Fund, has adopted Service and/or Shareholder Administration Plans to allow Class C and Service Shares, respectively, to compensate service organizations (including Goldman Sachs) for providing varying levels of personal and account maintenance and/or shareholder administration services to their customers who are beneficial owners of such shares. The Service and/or Shareholder Administration Plans each provide for compensation to the service organizations equal to 0.25% of the average daily net assets attributable to Class C or Service Shares of the Funds, as applicable.
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 — 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 28, 2018, 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.
32
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
|
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the six months ended April 30, 2017, 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 | | | | $ | 185,568 | | | $ | 1,206 | | | $ | 175,224 | | | $ | 361,998 | |
Strategic International Equity | | | | | 148 | | | | 267 | | | | 178,626 | | | | 179,041 | |
G. Line of Credit Facility — As of April 30, 2017, the Funds participated in a $1,100,000,000 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. 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, 2017, the Funds did not have any borrowings under the facility. The facility was renewed in the amount of $1,100,000,000 effective May 2, 2017.
H. Other Transactions with Affiliates — The following table provides information about the Funds’ investment in the Goldman Sachs Financial Square Government Fund as of and for the six months ended April 30, 2017:
| | | | | | | | | | | | | | | | | | | | | | |
| Fund | | | | Market
Value
10/31/2016 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Market
Value
4/30/2017 | | | Dividend
Income | |
Focused International Equity | | | | $ | 818,819 | | | $ | 66,473,560 | | | $ | (64,066,103 | ) | | $ | 3,226,276 | | | $ | 3,831 | |
Strategic International Equity | | | | | 1,000,834 | | | | 4,112,088 | | | | (5,112,922 | ) | | | — | | | | 162 | |
As of April 30, 2017, The Goldman Sachs Group, Inc. was the beneficial owner of approximately 13% and 100% of the Service and Class R6 Shares, respectively, of the Focused International Equity Fund and approximately 35% 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, 2017, were as follows:
| | | | | | | | | | |
| Fund | | | | Purchases | | | Sales and Maturities | |
Focused International Equity | | | | $ | 190,593,428 | | | $ | 310,921,926 | |
Strategic International Equity | | | | | 16,739,968 | | | | 25,087,890 | |
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and the terms and conditions contained therein, the Focused International Equity and Strategic International Equity 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
33
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 6. SECURITIES LENDING (continued) |
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 Focused International Equity and Strategic International Equity Funds invest the cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund (“Government Money Market Fund”), an affiliated series of the Trust. The Government 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 Goldman Sachs Asset Management, L.P. (“GSAM”), for which GSAM may receive a management fee of up to 0.205% on an annualized basis of the average daily net assets of the Government 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 GSAL is unable to purchase replacement securities, GSAL will indemnify the Funds by paying the Funds an amount equal to the market value of the securities loaned minus the value of cash collateral received from the borrower for the loan, subject to an exclusion for any shortfalls resulting from a loss of value in such cash collateral due to reinvestment risk. The amounts of the Funds’ overnight and continuous agreements represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of April 30, 2017 are disclosed as “Payable upon return of securities loaned” on the Statements of Assets and Liabilities.
Each of the Focused International Equity and Strategic International Equity Funds and GSAL received compensation relating to the lending of the Funds’ securities. The amounts earned, if any, by the Funds for the six months ended April 30, 2017, 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, 2017 | |
| Fund | | | | Earnings of GSAL
Relating to
Securites
Loaned | | | Amounts Received
by the Funds
from Lending to
Goldman Sachs | |
Focused International Equity | | | | $ | 11,131 | | | $ | 33,904 | |
Strategic International Equity | | | | | 1,624 | | | | 3,257 | |
The following table provides information about the Funds’ investment in the Government Money Market Fund for the six months ended April 30, 2017:
| | | | | | | | | | | | | | | | | | |
| Fund | | | | Market
Value
10/31/2016 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Market
Value
4/30/2017 | |
Focused International Equity | | | | $ | — | | | $ | 43,060,587 | | | $ | (43,060,587 | ) | | $ | — | |
Strategic International Equity | | | | | — | | | | 6,422,186 | | | | (6,422,186 | ) | | | — | |
34
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
As of the Funds’ most recent fiscal year ended, October 31, 2016, the Funds’ capital loss carryforwards on a tax basis were as follows:
| | | | | | | | |
| | | Focused
International
Equity | | | Strategic
International
Equity | |
Capital loss carryforwards: | | | | | | | | |
Expiring 2017(1) | | $ | (106,107,378 | ) | | $ | (28,233,535 | ) |
Expiring 2019(1) | | | (9,250,431 | ) | | | — | |
Perpetual long-term | | | (17,928,106 | ) | | | (508,547 | ) |
Total capital loss carryforwards | | $ | (133,285,915 | ) | | $ | (28,742,082 | ) |
| (1) | | Expiration occurs on October 31 of the year indicated. |
As of April 30, 2017, 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 | | $ | 163,124,476 | | | $ | 60,342,422 | |
Gross unrealized gain | | | 8,481,071 | | | | 4,472,667 | |
Gross unrealized loss | | | (16,436,964 | ) | | | (4,284,122 | ) |
Net unrealized security gain (loss) | | $ | (7,955,893 | ) | | $ | 188,545 | |
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales and differences related to 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 a Fund invests. The imposition of exchange controls, confiscations, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or from problems in share registration, settlement or custody, may result in losses. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which 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 — If a Fund invests in foreign securities, the Fund may hold such securities and cash with foreign banks, agents, and securities depositories appointed by the Fund’s custodian (each a “Foreign Custodian”). Some foreign custodians may
35
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 8. OTHER RISKS (continued) |
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 — If a Fund focuses its investments in securities of issuers located in a particular country or geographic region, it will subject the Fund, to a greater extent than if its investments were less focused, to the risks of volatile economic cycles and/or conditions and developments that may be particular to that country or region, such as: adverse securities markets; adverse exchange rates; adverse social, political, regulatory, economic, business, environmental or other developments; or natural disasters.
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 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.
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.
36
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY 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, 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 and 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, 2017 (Unaudited)
|
| 11. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | Focused International Equity Fund | |
| | | | |
| | | For the Six Months Ended
April 30, 2017
(Unaudited) | | | For the Fiscal Year Ended
October 31, 2016 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 67,762 | | | $ | 1,148,722 | | | | 182,370 | | | $ | 3,077,795 | |
Reinvestment of distributions | | | 60,147 | | | | 980,995 | | | | 29,815 | | | | 520,578 | |
Shares redeemed | | | (467,060 | ) | | | (7,857,295 | ) | | | (627,334 | ) | | | (10,522,422 | ) |
| | | | (339,151 | ) | | | (5,727,578 | ) | | | (415,149 | ) | | | (6,924,049 | ) |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 142,779 | | | | 2,226,408 | | | | 210,136 | | | | 3,292,226 | |
Reinvestment of distributions | | | 22,811 | | | | 345,593 | | | | 5,841 | | | | 94,977 | |
Shares redeemed | | | (130,823 | ) | | | (2,041,200 | ) | | | (307,365 | ) | | | (4,790,267 | ) |
| | | | 34,767 | | | | 530,801 | | | | (91,388 | ) | | | (1,403,064 | ) |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 2,014,086 | | | | 34,801,533 | | | | 7,607,561 | | | | 132,493,450 | |
Reinvestment of distributions | | | 334,019 | | | | 5,534,697 | | | | 128,053 | | | | 2,271,654 | |
Shares redeemed | | | (8,670,545 | ) | | | (155,439,066 | ) | | | (4,096,369 | ) | | | (69,541,789 | ) |
| | | | (6,322,440 | ) | | | (115,102,836 | ) | | | 3,639,245 | | | | 65,223,315 | |
| Service Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 335 | | | | 6,000 | | | | — | | | | — | |
Reinvestment of distributions | | | — | | | | — | | | | 7 | | | | 118 | |
Shares redeemed | | | (1,761 | ) | | | (30,135 | ) | | | (157 | ) | | | (2,525 | ) |
| | | | (1,426 | ) | | | (24,135 | ) | | | (150 | ) | | | (2,407 | ) |
| Class IR Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 95,156 | | | | 1,625,689 | | | | 34,653 | | | | 579,476 | |
Reinvestment of distributions | | | 1,410 | | | | 23,297 | | | | 943 | | | | 16,690 | |
Shares redeemed | | | (35,599 | ) | | | (611,938 | ) | | | (60,670 | ) | | | (1,004,537 | ) |
| | | | 60,967 | | | | 1,037,048 | | | | (25,074 | ) | | | (408,371 | ) |
| Class R6 Shares(a) | | | | | | | | | | | | | | | | |
Shares sold | | | — | | | | — | | | | 630 | | | | 10,000 | |
Reinvestment of distributions | | | 19 | | | | 307 | | | | — | | | | — | |
Shares redeemed | | | (59 | ) | | | (1,000 | ) | | | — | | | | — | |
| | | | (40 | ) | | | (693 | ) | | | 630 | | | | 10,000 | |
NET INCREASE (DECREASE) | | | (6,567,323 | ) | | $ | (119,287,393 | ) | | | 3,108,114 | | | $ | 56,495,424 | |
| (a) | | Class R6 Shares commenced operations on February 26, 2016. |
38
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | Strategic International Equity Fund | |
| | | | |
| | | For the Six Months Ended
April 30, 2017
(Unaudited) | | | For the Fiscal Year Ended
October 31, 2016 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 36,621 | | | $ | 442,593 | | | | 228,778 | | | $ | 2,835,075 | |
Reinvestment of distributions | | | 28,887 | | | | 338,841 | | | | 12,966 | | | | 163,244 | |
Shares redeemed | | | (217,649 | ) | | | (2,655,726 | ) | | | (500,413 | ) | | | (6,019,661 | ) |
| | | | (152,141 | ) | | | (1,874,292 | ) | | | (258,669 | ) | | | (3,021,342 | ) |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 10,384 | | | | 115,120 | | | | 40,171 | | | | 441,191 | |
Reinvestment of distributions | | | 4,474 | | | | 47,288 | | | | 428 | | | | 4,859 | |
Shares redeemed | | | (65,509 | ) | | | (711,951 | ) | | | (87,502 | ) | | | (955,830 | ) |
| | | | (50,651 | ) | | | (549,543 | ) | | | (46,903 | ) | | | (509,780 | ) |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 438,210 | | | | 5,658,910 | | | | 1,965,192 | | | | 25,039,463 | |
Reinvestment of distributions | | | 68,416 | | | | 838,786 | | | | 47,740 | | | | 627,309 | |
Shares redeemed | | | (981,714 | ) | | | (12,353,791 | ) | | | (2,031,085 | ) | | | (25,562,659 | ) |
| | | | (475,088 | ) | | | (5,856,095 | ) | | | (18,153 | ) | | | 104,113 | |
| Class IR Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 35,124 | | | | 432,234 | | | | 31,196 | | | | 370,236 | |
Reinvestment of distributions | | | 898 | | | | 10,518 | | | | 343 | | | | 4,313 | |
Shares redeemed | | | (25,168 | ) | | | (303,806 | ) | | | (19,674 | ) | | | (238,876 | ) |
| | | | 10,854 | | | | 138,946 | | | | 11,865 | | | | 135,673 | |
| Class R Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 672 | | | | 8,223 | | | | 1,857 | | | | 22,608 | |
Reinvestment of distributions | | | 23 | | | | 272 | | | | 2 | | | | 22 | |
Shares redeemed | | | (1,094 | ) | | | (12,996 | ) | | | (790 | ) | | | (9,961 | ) |
| | | | (399 | ) | | | (4,501 | ) | | | 1,069 | | | | 12,669 | |
| Class R6 Shares(a) | | | | | | | | | | | | | | | | |
Shares sold | | | — | | | | — | | | | 844 | | | | 10,000 | |
Reinvestment of distributions | | | 20 | | | | 247 | | | | — | | | | — | |
| | | | 20 | | | | 247 | | | | 844 | | | | 10,000 | |
NET INCREASE (DECREASE) | | | (667,405 | ) | | $ | (8,145,238 | ) | | | (309,947 | ) | | $ | (3,268,667 | ) |
| (a) | | Class R6 Shares commenced operations on February 26, 2016. |
39
GOLDMAN SACHS FUNDAMENTAL INTERNATIONAL EQUITY FUNDS
| | |
Fund Expenses — Six Month Period Ended April 30, 2017 (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/or service (12b-1) fees (with respect to Class A, Class C, Service 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, 2016 through April 30, 2017, which represents a period of 181 days of a 365 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.
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Focused International Equity Fund | | | Strategic International Equity Fund | |
| Share Class | | Beginning
Account Value
11/01/16 | | | Ending
Account Value
04/30/17 | | | Expenses Paid for the 6 Months
Ended 04/30/17* | | | Beginning
Account Value
11/01/16 | | | Ending
Account Value
04/30/17 | | | Expenses
Paid for the
6 Months
Ended
04/30/17* | |
| Class A | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,114.10 | | | $ | 6.81 | | | $ | 1,000 | | | $ | 1,113.80 | | | $ | 6.81 | |
Hypothetical 5% return | | | 1,000 | | | | 1,018.35 | + | | | 6.51 | | | | 1,000 | | | | 1,018.35 | + | | | 6.51 | |
| Class C | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 1,110.20 | | | | 10.73 | | | | 1,000 | | | | 1,109.40 | | | | 10.72 | |
Hypothetical 5% return | | | 1,000 | | | | 1,014.63 | + | | | 10.24 | | | | 1,000 | | | | 1,014.63 | + | | | 10.24 | |
| Institutional | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 1,117.00 | | | | 4.72 | | | | 1,000 | | | | 1,115.80 | | | | 4.72 | |
Hypothetical 5% return | | | 1,000 | | | | 1,020.33 | + | | | 4.51 | | | | 1,000 | | | | 1,020.33 | + | | | 4.51 | |
| Service | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 1,113.80 | | | | 7.29 | | | | N/A | | | | N/A | | | | N/A | |
Hypothetical 5% return | | | 1,000 | | | | 1,017.90 | + | | | 6.95 | | | | N/A | | | | N/A | | | | N/A | |
| Class IR | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 1,115.90 | | | | 5.51 | | | | 1,000 | | | | 1,115.50 | | | | 5.51 | |
Hypothetical 5% return | | | 1,000 | | | | 1,019.59 | + | | | 5.26 | | | | 1,000 | | | | 1,019.59 | + | | | 5.26 | |
| Class R | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | N/A | | | | N/A | | | | N/A | | | | 1,000 | | | | 1,111.90 | | | | 8.12 | |
Hypothetical 5% return | | | N/A | | | | N/A | | | | N/A | | | | 1,000 | | | | 1,017.11 | + | | | 7.75 | |
| Class R6 | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 1,116.60 | | | | 4.72 | | | | 1,000 | | | | 1,116.00 | | | | 4.72 | |
Hypothetical 5% return | | | 1,000 | | | | 1,020.33 | + | | | 4.51 | | | | 1,000 | | | | 1,020.33 | + | | | 4.51 | |
| | * | | 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, 2017. 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 | |
Focused International Equity | | | 1.30 | % | | | 2.05 | % | | | 0.90 | % | | | 1.39 | % | | | 1.05 | % | | | N/A | | | | 0.90 | % |
Strategic International Equity | | | 1.30 | | | | 2.05 | | | | 0.90 | | | | N/A | | | | 1.05 | | | | 1.55 | | | | 0.90 | |
| | + | | 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. | |
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 $1.17 trillion in assets under supervision as of March 31, 2017, 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. LLC subject to legal, internal and regulatory restrictions.
Money Market
Financial Square FundsSM
| ∎ | | Financial Square Treasury Solutions Fund1 |
| ∎ | | Financial Square Government Fund1 |
| ∎ | | Financial Square Money Market Fund2 |
| ∎ | | Financial Square Prime Obligations Fund2 |
| ∎ | | Financial Square Treasury Instruments Fund1 |
| ∎ | | Financial Square Treasury Obligations Fund1 |
| ∎ | | Financial Square Federal Instruments Fund1 |
| ∎ | | Financial Square Tax-Exempt Money Market Fund2 |
Investor FundsSM
| ∎ | | Investor Money Market Fund3 |
| ∎ | | Investor Tax-Exempt Money Market Fund3 |
Fixed Income
Short Duration and Government
| ∎ | | High Quality Floating Rate Fund |
| ∎ | | Short-Term Conservative Income Fund4 |
| ∎ | | Short Duration Government Fund |
| ∎ | | Short Duration Income Fund |
| ∎ | | Inflation Protected Securities Fund |
Multi-Sector
Municipal and Tax-Free
| ∎ | | High Yield Municipal Fund |
| ∎ | | Dynamic Municipal Income Fund |
| ∎ | | Short Duration Tax-Free Fund |
Single Sector
| ∎ | | Investment Grade Credit Fund |
| ∎ | | High Yield Floating Rate Fund |
| ∎ | | Emerging Markets Debt Fund |
| ∎ | | Local Emerging Markets Debt Fund |
| ∎ | | Dynamic Emerging Markets Debt Fund |
Fixed Income Alternatives
| ∎ | | Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ | | Small/Mid Cap Value Fund |
| ∎ | | Small/Mid Cap Growth Fund |
| ∎ | | Flexible Cap Growth Fund |
| ∎ | | Concentrated Growth Fund |
| ∎ | | Technology Opportunities Fund |
| ∎ | | Growth Opportunities Fund |
| ∎ | | Rising Dividend Growth Fund |
| ∎ | | Dynamic U.S. Equity Fund |
Tax-Advantaged Equity
| ∎ | | U.S. Tax-Managed Equity Fund |
| ∎ | | International Tax-Managed Equity Fund |
| ∎ | | U.S. Equity Dividend and Premium Fund |
| ∎ | | International Equity Dividend and Premium Fund |
Equity Insights
| ∎ | | Small Cap Equity Insights Fund |
| ∎ | | U.S. Equity Insights Fund |
| ∎ | | Small Cap Growth Insights Fund |
| ∎ | | Large Cap Growth Insights Fund |
| ∎ | | Large Cap Value Insights Fund |
| ∎ | | Small Cap Value Insights Fund |
| ∎ | | International Small Cap Insights Fund |
| ∎ | | International Equity Insights Fund |
| ∎ | | Emerging Markets Equity Insights Fund |
Fundamental Equity International
| ∎ | | Strategic International Equity Fund |
| ∎ | | Focused International Equity Fund |
| ∎ | | Emerging Markets Equity Fund |
Select Satellite
| ∎ | | Real Estate Securities Fund |
| ∎ | | International Real Estate Securities Fund |
| ∎ | | Commodity Strategy Fund |
| ∎ | | Global Real Estate Securities Fund |
| ∎ | | Dynamic Allocation Fund |
| ∎ | | Absolute Return Tracker Fund |
| ∎ | | Managed Futures Strategy Fund |
| ∎ | | MLP Energy Infrastructure Fund |
| ∎ | | Multi-Manager Alternatives Fund |
| ∎ | | Absolute Return Multi-Asset Fund |
| ∎ | | Global Infrastructure Fund |
Total Portfolio Solutions
| ∎ | | Global Managed Beta Fund |
| ∎ | | Multi-Manager Non-Core Fixed Income Fund |
| ∎ | | Multi-Manager U.S. Dynamic Equity Fund |
| ∎ | | Multi-Manager Global Equity Fund |
| ∎ | | Multi-Manager International Equity Fund |
| ∎ | | Tactical Tilt Overlay Fund |
| ∎ | | Balanced Strategy Portfolio |
| ∎ | | Multi-Manager U.S. Small Cap Equity Fund |
| ∎ | | Multi-Manager Real Assets Strategy Fund |
| ∎ | | Growth and Income Strategy Portfolio |
| ∎ | | Growth Strategy Portfolio |
| ∎ | | Equity Growth Strategy Portfolio |
| ∎ | | Satellite Strategies Portfolio |
| ∎ | | Enhanced Dividend Global Equity Portfolio |
| ∎ | | Tax-Advantaged Global Equity Portfolio |
| ∎ | | Strategic Factor Allocation Fund |
| ∎ | | Target Date 2020 Portfolio |
| ∎ | | Target Date 2025 Portfolio |
| ∎ | | Target Date 2030 Portfolio |
| ∎ | | Target Date 2035 Portfolio |
| ∎ | | Target Date 2040 Portfolio |
| ∎ | | Target Date 2045 Portfolio |
| ∎ | | Target Date 2050 Portfolio |
| ∎ | | Target Date 2055 Portfolio |
| ∎ | | GQG Partners International Opportunities Fund |
| 1 | | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 2 | | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 3 | | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 4 | | Effective on July 29, 2016, the Goldman Sachs Limited Maturity Obligations Fund was renamed the Goldman Sachs Short-Term Conservative Income Fund. |
| 5 | | Effective on June 20, 2017, the Goldman Sachs Fixed Income Macro Strategies Fund was renamed the Goldman Sachs Strategic Macro Fund. |
| 6 | | Effective on June 20, 2017, the Goldman Sachs Growth and Income Fund was renamed the Goldman Sachs Equity Income Fund. |
Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC.
| *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 Roy W. Templin Gregory G. Weaver | | OFFICERS James A. McNamara, President Scott M. McHugh, Treasurer, Senior Vice President and Principal Financial Officer Joseph F. DiMaria, Assistant Treasurer and Principal Accounting Officer Caroline L. Kraus, Secretary |
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GOLDMAN SACHS & CO. LLC 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.
Goldman Sachs does not provide accounting, tax, or legal advice. Notwithstanding anything in this document to the contrary, and except as required to enable compliance with applicable securities law, you may disclose to any person the US federal and state income tax treatment and tax structure of the transaction and all materials of any kind (including tax opinions and other tax analyses) that are provided to you relating to such tax treatment and tax structure, without Goldman Sachs imposing any limitation of any kind. Investors should be aware that a determination of the tax consequences to them should take into account their specific circumstances and that the tax law is subject to change in the future or retroactively and investors are strongly urged to consult with their own tax advisor regarding any potential strategy, investment or transaction.
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 also 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, 2017 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. LLC by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550).
© 2017 Goldman Sachs. All rights reserved. 94502-TMPL-06/2017 EQINTSAR-17/6.9K
Goldman Sachs Funds
| | | | |
| | |
| Semi-Annual Report | | | | April 30, 2017 |
| | |
| | | | Global Managed Beta Fund |
Goldman Sachs Global Managed Beta Fund
| | | | |
| | | |
| 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, 2017 (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 11.73%. This return compares to the 12.34% cumulative total return of the Fund’s benchmark, the MSCI All Country 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 Portfolio during the Reporting Period? |
| A | | Investor sentiment was dominated during the Reporting Period by global central bank monetary policy, geopolitical events and uncertainty about the ability of the new U.S. Administration to enact policy. |
| | During the first part of the Reporting Period, investors were focused largely on the November 2016 U.S. presidential election and its unexpected outcome. Markets reacted positively following the results, as the potential of significant infrastructure spending, lower taxes and lighter regulation increased expectations for economic growth and inflation. Reflecting market optimism about a continued upward trend in U.S. economic growth, the CBOE Volatility Index® (“VIX®”) approached its post financial crisis low after the election. U.S. stocks hit record highs, while the yield on the 10-year U.S. Treasury note reached a high for the Reporting Period overall. U.S. banks and small-cap equities were among the chief beneficiaries of the “risk-on” sentiment that emerged following the election. In contrast, emerging markets assets (specifically, equities and currencies) struggled due to concerns about new U.S. policies that could have protectionist implications. With regards to commodities, oil-producing nations agreed to the most comprehensive supply cut in a decade during the Reporting Period. Crude oil prices rose from mid-$40 per barrel to intra-period highs of mid-$50 per barrel. The currencies of oil-exporting countries, as well as energy-related high yield corporate bonds, responded positively to the recovery in crude oil prices, recording significant gains near the end of 2016. |
| | The “risk-on” rally, which continued into the second part of the Reporting Period, was further supported by a stream of better than consensus expected U.S. economic data, reflected in non-farm payroll numbers, purchasing managers’ indices, and consumer- and producer-sentiment gauges — all of which reinforced opinions about a more positive macroeconomic picture. In addition, the U.S. inflation rate rose higher than the Federal Reserve’s (“Fed”) stated 2.0% target. These factors, along with positive survey data, led Fed policymakers, who had previously raised short-term interest rates in December 2016, to guide market expectations toward another rate hike in March 2017. As a result, the March rate increase caused minimal market disruption. Fed officials also said that several interest rate hikes could occur during 2017, and the minutes from the Fed’s March policy meeting indicated that balance sheet normalization might begin by the end of the calendar year. However, economic data at the end of the first quarter of 2017 failed to keep up with lofty survey data. Additionally, the U.S. Administration was unsuccessful in its first attempt to pass a health care bill, raising concern about its ability to enact legislation related to taxes and infrastructure. In this environment, global stocks gave up some of their gains, with cyclical stocks generally underperforming defensive stocks. Yields fell, driving a rally in the U.S. Treasury market, and the U.S. dollar weakened. Sharp rallies followed in emerging markets assets, particularly emerging markets currencies. In Europe, optimism about the European Central Bank’s (“ECB”) tapering of its asset purchases, as well as positive purchasing managers’ data, was well received by investors, who nevertheless remained cautious given political uncertainties surrounding the presidential election in France. |
1
PORTFOLIO RESULTS
| 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 underlying 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.) While posting robust double-digit absolute gains, the Fund underperformed the Index during the Reporting Period largely because of its strategic allocation to the macro hedging strategy, which detracted as the market started pricing in expectations for a March 2017 Fed rate hike. These losses were offset somewhat by our preference for emerging markets equities over global developed markets equities during the Reporting Period, which contributed positively. |
| 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 98.00% of its total net assets invested in equity-related investments, 1.44% in the macro hedging strategy and 0.56% 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 manage the Fund’s allocations during the Reporting Period? |
| A | | During the Reporting Period, we gradually adjusted the Fund’s strategic allocation to align it with our long term view of asset classes. This adjustment increased the Fund’s allocations to U.S. and emerging markets equities and decreased its allocations to non-U.S. developed markets equities and associated currency hedging positions. In addition, we increased the Fund’s allocation to the macro hedging strategy to put it in line with our long-term target, as we believed it could potentially hedge the Fund’s downside risk. We also initiated a steepening position on the U.S. interest rate yield curve, as we sought to mitigate the potential risk to the Fund and the macro hedging strategy of faster than expected Fed interest rate hikes. (In a steepening yield curve, the differential in yields between longer-term and shorter-term maturities widens. Yield curve is a spectrum of maturities.) Additionally, at the beginning of 2017, we increased the Fund’s allocation to our factor-based diversification approach through which we seek to gain exposure to underlying asset classes rather than obtaining such exposure through capitalization-weighted indices. The factor-based diversification approach, which is expected to be a long-term strategic allocation, seeks to capture common sources of active equity returns, including, but not limited to, the Momentum, Valuation, Volatility and Quality factors. The Momentum factor seeks to identify companies whose stock prices are expected to increase or decrease (by, among other things, evaluating each company’s recent performance results). The Valuation factor seeks to identify companies whose stock prices are trading at a discount to their fundamental or intrinsic value (by, among other things, comparing each company’s book value to market value). The Volatility factor seeks to identify companies whose stock prices are expected to have a relatively lower degree of fluctuation over time. The Quality factor seeks to identify companies that are expected to generate higher returns on assets (i.e., more profitable). The factor-based diversification approach is implemented through a separately managed account composed of individual stock positions that we established in January 2017 and to which we continued to add through the end of the Reporting Period. |
| Q | | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | | During the Reporting Period, equity futures were employed to express our passive investment views with greater versatility. The use of these instruments to gain exposure to the Canadian equity market and the U.S. small-cap equity market during the Reporting Period added to the Fund’s performance, as these positions generated returns similar to the asset classes they represented. In addition, the Fund employed interest rate options and currency forwards to afford greater risk management of macroeconomic and foreign exchange risks in the portfolio. The Fund’s interest rate options detracted from performance during the Reporting Period. The use of currency forwards had a positive impact on Fund results. |
| 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 97.95% of its total net assets invested in equity-related investments, 1.75% in the macro hedging strategy and 0.30% 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. |
2
PORTFOLIO RESULTS
| 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 were focused on three macro themes. First, we expect a widening economic expansion in 2017, as growth in emerging markets countries improves from previous weakness while growth in the U.S. and Europe continues at a more moderate pace. Second, we believe improvements in economic growth, together with increasing U.S. inflationary pressures, may reduce investor conviction in the secular stagnation thesis, with higher bond yields a likely consequence. (Secular stagnation is a condition of negligible or no economic growth in a market- based economy.) Third, we think investor uncertainty remains elevated because of macro risks. These risks have the potential to cause temporary pullbacks, in our opinion, which could result in range-bound returns across all asset classes and therefore require a dynamic approach to asset allocation. |
| | At the asset class level, we considered equities relatively cheap at the end of the Reporting Period given macro conditions and low bond yields. However, we expect the valuation gap between stocks and bonds, which has already narrowed, to close further as bond yields rise. That said, we believe broadening economic growth and a recovery in corporate earnings should support some upside in equities, and we expect positive but moderate returns over the medium term. At the start of 2017, we thought the market was too dovish in its expectations about Fed interest rate hikes. (Dovish implies lower interest rates; opposite of hawkish.) We also thought longer-term U.S. Treasury yields did not sufficiently reflect investor uncertainty about the Fed’s tolerance for inflation and a possible decrease in the ECB’s bond purchases. Our view was strengthened by the drop in U.S. Treasury yields late in the Reporting Period, which occurred despite strong economic growth and the hawkish drift of the Fed. We consider a rapid rise in yields to be significant risk in the near term, and therefore, we remained more constructive on equities than on bonds at the end of the Reporting Period. |
| | At the regional level, we have a positive outlook on emerging markets equities versus developed markets equities, which was reflected in the Fund’s strategic allocations at the end of the Reporting Period. We believe sufficient progress has been made in recent years on various fronts, including valuations, macro imbalances, the dissipation of growth challenges and the perception by investors of improvements in the emerging markets. We remain concerned about possible downside risks from higher interest rates, but we think any impact is likely to be temporary. Additionally, we believe there is sufficient government policy support to limit potential downside risks from China. |
| | | As for the Fund’s macro hedging strategy, we view it as a long term structural allocation and a capital-efficient means of diversifying the Fund’s exposure to global equities. In positioning the Fund in anticipation of Fed interest rate increases, we plan to continue monitoring the potential impact of events related to key political and monetary policy decisions in the near term. |
3
FUND BASICS
Index Definitions
The CBOE Volatility Index® (VIX®) is a key measure of market expectations of near-term volatility conveyed by S&P 500® stock index option prices. Since its introduction in 1993, VIX has been considered by many to be the world’s premier barometer of investor sentiment and market volatility.
4
FUND BASICS
Global Managed Beta Fund
as of April 30, 2017
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2016–April 30, 2017 | | Fund Total Return
(based on NAV)1 | | | MSCI All Country World
Index Investable Market Index2 | |
| | | Institutional Shares | | | 11.73 | % | | | 12.34 | % |
| | 1 | | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
| | 2 | | The MSCI All Country World Index Investable Market Index (Net, USD, 50% Non-US Developed Hedged to USD) (the “Index”) captures large, mid and small cap representation across 23 developed markets and 23 emerging markets countries. The Index figure does not reflect any deductions for fees, expenses or taxes. It is not possible to invest directly in an index. |
| | | | | | | | | | | | |
| | STANDARDIZED TOTAL RETURNS3 |
| | | For the period ended 3/31/17 | | One Year | | | Since Inception | | | Inception Date |
| | | Institutional Shares | | | 15.74 | % | | | 4.95 | % | | 4/30/2015 |
| | 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. 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 Shares | | | 0.30 | % | | | 0.61 | % |
| | 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 28, 2018, 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. |
5
FUND BASICS
| | 5 | | 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 net assets. Figures in the graph may not sum to 100% due to the exclusion of other assets and liabilities. The graph does not depict the investment in the securities lending reinvestment vehicle. The Investment in the securities lending reinvestment vehicle represented 0.1% and 0% of the Fund’s net assets as of April 30, 2017 and October 31, 2016, respectively. 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. |
6
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Schedule of Investments
April 30, 2017 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – 12.3% | |
| Aerospace & Defense – 0.2% | | | |
| | 151 | | | Airbus SE | | $ | 12,215 | |
| | 873 | | | Arconic, Inc. | | | 23,859 | |
| | 1,913 | | | BAE Systems PLC | | | 15,537 | |
| | 8,282 | | | Bombardier, Inc. Class B* | | | 12,802 | |
| | 1,929 | | | CAE, Inc. | | | 29,464 | |
| | 8 | | | Dassault Aviation SA | | | 10,932 | |
| | 87 | | | Elbit Systems Ltd. | | | 10,358 | |
| | 395 | | | General Dynamics Corp. | | | 76,547 | |
| | 383 | | | Huntington Ingalls Industries, Inc. | | | 76,941 | |
| | 587 | | | L3 Technologies, Inc. | | | 100,829 | |
| | 4,567 | | | Leonardo SpA* | | | 71,769 | |
| | 312 | | | Lockheed Martin Corp. | | | 84,068 | |
| | 1,769 | | | Meggitt PLC | | | 10,594 | |
| | 244 | | | Northrop Grumman Corp. | | | 60,014 | |
| | 416 | | | Raytheon Co. | | | 64,567 | |
| | 224 | | | Rockwell Collins, Inc. | | | 23,316 | |
| | 2,578 | | | Rolls-Royce Holdings PLC* | | | 27,099 | |
| | 183,038 | | | Rolls-Royce Holdings PLC Class C | | | 237 | |
| | 177 | | | Safran SA | | | 14,655 | |
| | 5,110 | | | Singapore Technologies Engineering Ltd. | | | 13,862 | |
| | 1,825 | | | Textron, Inc. | | | 85,155 | |
| | 366 | | | Thales SA | | | 38,469 | |
| | 1,016 | | | The Boeing Co. | | | 187,787 | |
| | 74 | | | TransDigm Group, Inc. | | | 18,258 | |
| | 688 | | | United Technologies Corp. | | | 81,865 | |
| | 323 | | | Zodiac SA | | | 7,841 | |
| | | | | | | | |
| | | | | | | 1,159,040 | |
| | |
| Air Freight & Logistics – 0.1% | | | |
| | 1,344 | | | C.H. Robinson Worldwide, Inc. | | | 97,709 | |
| | 4,713 | | | Deutsche Post AG | | | 169,403 | |
| | 545 | | | Expeditors International of Washington, Inc. | | | 30,569 | |
| | 235 | | | FedEx Corp. | | | 44,579 | |
| | 19,495 | | | Royal Mail PLC | | | 101,658 | |
| | 747 | | | United Parcel Service, Inc. Class B | | | 80,273 | |
| | 817 | | | Yamato Holdings Co. Ltd. | | | 17,655 | |
| | | | | | | | |
| | | | | | | 541,846 | |
| | |
| Airlines – 0.1% | | | |
| | 3,370 | | | ANA Holdings, Inc. | | | 10,151 | |
| | 19,657 | | | Cathay Pacific Airways Ltd. | | | 28,291 | |
| | 1,497 | | | Delta Air Lines, Inc. | | | 68,024 | |
| | 2,443 | | | Deutsche Lufthansa AG | | | 42,147 | |
| | 4,746 | | | International Consolidated Airlines Group SA | | | 34,394 | |
| | 329 | | | Japan Airlines Co. Ltd. | | | 10,390 | |
| | 9,269 | | | Qantas Airways Ltd. | | | 29,382 | |
| | 1,358 | | | Singapore Airlines Ltd. | | | 9,948 | |
| | 916 | | | Southwest Airlines Co. | | | 51,498 | |
| | 1,080 | | | United Continental Holdings, Inc.* | | | 75,827 | |
| | | | | | | | |
| | | | | | | 360,052 | |
| | |
| Auto Components – 0.1% | | | |
| | 808 | | | BorgWarner, Inc. | | | 34,162 | |
| | 853 | | | Bridgestone Corp. | | | 35,580 | |
| | |
| Common Stocks – (continued) | |
| Auto Components – (continued) | | | |
| | 287 | | | Cie Generale des Etablissements Michelin | | | 37,540 | |
| | 61 | | | Continental AG | | | 13,664 | |
| | 216 | | | Denso Corp. | | | 9,322 | |
| | 3,992 | | | GKN PLC | | | 18,552 | |
| | 319 | | | Koito Manufacturing Co. Ltd. | | | 16,484 | |
| | 473 | | | Lear Corp. | | | 67,478 | |
| | 782 | | | Linamar Corp. | | | 33,250 | |
| | 196 | | | Magna International, Inc. | | | 8,187 | |
| | 449 | | | Stanley Electric Co. Ltd. | | | 13,148 | |
| | 546 | | | Sumitomo Electric Industries Ltd. | | | 8,917 | |
| | 2,000 | | | Sumitomo Rubber Industries Ltd. | | | 35,997 | |
| | 1,219 | | | The Goodyear Tire & Rubber Co. | | | 44,165 | |
| | 1,643 | | | The Yokohama Rubber Co. Ltd. | | | 32,261 | |
| | 686 | | | Toyoda Gosei Co. Ltd. | | | 18,231 | |
| | 293 | | | Valeo SA | | | 21,084 | |
| | | | | | | | |
| | | | | | | 448,022 | |
| | |
| Automobiles – 0.1% | | | |
| | 89 | | | Bayerische Motoren Werke AG | | | 8,503 | |
| | 283 | | | Daimler AG | | | 21,087 | |
| | 605 | | | Ferrari NV | | | 45,512 | |
| | 5,610 | | | Fiat Chrysler Automobiles NV* | | | 63,721 | |
| | 8,521 | | | Ford Motor Co. | | | 97,736 | |
| | 170 | | | Harley-Davidson, Inc. | | | 9,658 | |
| | 2,011 | | | Honda Motor Co. Ltd. | | | 58,531 | |
| | 1,215 | | | Isuzu Motors Ltd. | | | 16,514 | |
| | 2,667 | | | Mazda Motor Corp. | | | 39,398 | |
| | 1,754 | | | Nissan Motor Co. Ltd. | | | 16,708 | |
| | 3,283 | | | Peugeot SA* | | | 68,830 | |
| | 469 | | | Subaru Corp. | | | 17,781 | |
| | 493 | | | Suzuki Motor Corp. | | | 20,609 | |
| | 138 | | | Tesla, Inc.*(a) | | | 43,342 | |
| | 1,835 | | | Toyota Motor Corp. | | | 99,312 | |
| | 1,672 | | | Yamaha Motor Co. Ltd. | | | 39,707 | |
| | | | | | | | |
| | | | | | | 666,949 | |
| | |
| Banks – 0.9% | | | |
| | 607 | | | ABN AMRO Group NV(b) | | | 15,936 | |
| | 2,841 | | | Aozora Bank Ltd. | | | 10,352 | |
| | 3,908 | | | Australia & New Zealand Banking Group Ltd. | | | 95,664 | |
| | 6,824 | | | Banco Bilbao Vizcaya Argentaria SA | | | 54,671 | |
| | 22,155 | | | Banco de Sabadell SA | | | 42,613 | |
| | 17,772 | | | Banco Santander SA | | | 115,819 | |
| | 6,651 | | | Bank Hapoalim BM | | | 41,478 | |
| | 8,744 | | | Bank Leumi Le-Israel BM* | | | 40,893 | |
| | 12,383 | | | Bank of America Corp. | | | 289,019 | |
| | 97,333 | | | Bank of Ireland* | | | 24,502 | |
| | 1,091 | | | Bank of Montreal | | | 77,254 | |
| | 2,440 | | | Bank of Queensland Ltd. | | | 21,831 | |
| | 13,912 | | | Bankia SA | | | 16,891 | |
| | 2,134 | | | Bankinter SA | | | 18,786 | |
| | 10,677 | | | Barclays PLC | | | 29,238 | |
| | 1,338 | | | BB&T Corp. | | | 57,775 | |
| | 5,582 | | | Bendigo & Adelaide Bank Ltd. | | | 51,369 | |
| | 2,026 | | | BNP Paribas SA | | | 142,989 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 7 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Schedule of Investments (continued)
April 30, 2017 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – (continued) | |
| Banks – (continued) | | | |
| | 30,147 | | | BOC Hong Kong Holdings Ltd. | | $ | 123,890 | |
| | 3,942 | | | CaixaBank SA | | | 17,898 | |
| | 840 | | | Canadian Imperial Bank of Commerce | | | 67,844 | |
| | 1,367 | | | CIT Group, Inc. | | | 63,306 | |
| | 4,540 | | | Citigroup, Inc. | | | 268,405 | |
| | 1,037 | | | Citizens Financial Group, Inc. | | | 38,068 | |
| | 1,689 | | | Commonwealth Bank of Australia | | | 110,315 | |
| | 1,296 | | | Concordia Financial Group Ltd. | | | 5,961 | |
| | 4,108 | | | Credit Agricole SA | | | 61,102 | |
| | 942 | | | Danske Bank A/S | | | 34,250 | |
| | 6,479 | | | DBS Group Holdings Ltd. | | | 89,478 | |
| | 1,536 | | | DNB ASA | | | 23,971 | |
| | 912 | | | Erste Groupe Bank AG | | | 32,653 | |
| | 2,314 | | | Fifth Third Bancorp | | | 56,531 | |
| | 404 | | | First Republic Bank | | | 37,354 | |
| | 2,022 | | | Hang Seng Bank Ltd. | | | 40,957 | |
| | 19,455 | | | HSBC Holdings PLC | | | 160,432 | |
| | 2,053 | | | Huntington Bancshares, Inc. | | | 26,402 | |
| | 6,376 | | | ING Groep NV | | | 103,926 | |
| | 7,422 | | | Intesa Sanpaolo SpA | | | 21,666 | |
| | 4,193 | | | Intesa Sanpaolo SpA RSP | | | 11,481 | |
| | 4,893 | | | JPMorgan Chase & Co. | | | 425,691 | |
| | 456 | | | KBC Group NV | | | 32,954 | |
| | 2,258 | | | KeyCorp | | | 41,186 | |
| | 12,711 | | | Lloyds Banking Group PLC | | | 11,421 | |
| | 233 | | | M&T Bank Corp. | | | 36,211 | |
| | 3,275 | | | Mebuki Financial Group, Inc. | | | 12,851 | |
| | 1,077 | | | Mediobanca SpA | | | 10,357 | |
| | 14,739 | | | Mitsubishi UFJ Financial Group, Inc. | | | 93,395 | |
| | 1,771 | | | Mizrahi Tefahot Bank Ltd. | | | 28,569 | |
| | 38,629 | | | Mizuho Financial Group, Inc. | | | 70,611 | |
| | 2,204 | | | National Australia Bank Ltd. | | | 55,942 | |
| | 905 | | | National Bank of Canada | | | 35,171 | |
| | 2,715 | | | Nordea Bank AB | | | 33,391 | |
| | 9,699 | | | Oversea-Chinese Banking Corp. Ltd. | | | 67,929 | |
| | 1,926 | | | People’s United Financial, Inc. | | | 33,647 | |
| | 1,012 | | | Raiffeisen Bank International AG* | | | 23,070 | |
| | 3,128 | | | Regions Financial Corp. | | | 43,010 | |
| | 5,755 | | | Resona Holdings, Inc. | | | 31,993 | |
| | 1,942 | | | Royal Bank of Canada | | | 132,976 | |
| | 9,145 | | | Shinsei Bank Ltd. | | | 17,074 | |
| | 59 | | | Signature Bank* | | | 8,169 | |
| | 838 | | | Skandinaviska Enskilda Banken AB | | | 9,650 | |
| | 1,853 | | | Societe Generale SA | | | 101,605 | |
| | 2,445 | | | Standard Chartered PLC* | | | 22,849 | |
| | 1,297 | | | Sumitomo Mitsui Financial Group, Inc. | | | 48,158 | |
| | 481 | | | Sumitomo Mitsui Trust Holdings, Inc. | | | 16,477 | |
| | 1,033 | | | SunTrust Banks, Inc. | | | 58,685 | |
| | 418 | | | Suruga Bank Ltd. | | | 8,739 | |
| | 693 | | | Svenska Handelsbanken AB Class A | | | 9,832 | |
| | 1,053 | | | Swedbank AB Class A | | | 24,956 | |
| | 1,654 | | | The Bank of East Asia Ltd. | | | 6,840 | |
| | 1,438 | | | The Bank of Nova Scotia | | | 79,935 | |
| | 1,018 | | | The Chiba Bank Ltd. | | | 6,820 | |
| | 441 | | | The Chugoku Bank Ltd. | | | 6,551 | |
| | 1,108 | | | The Hachijuni Bank Ltd. | | | 6,543 | |
| | |
| Common Stocks – (continued) | |
| Banks – (continued) | | | |
| | 659 | | | The PNC Financial Services Group, Inc. | | | 78,915 | |
| | 2,429 | | | The Toronto-Dominion Bank | | | 114,292 | |
| | 1,867 | | | U.S. Bancorp | | | 95,740 | |
| | 5,510 | | | United Overseas Bank Ltd. | | | 85,789 | |
| | 6,486 | | | Wells Fargo & Co. | | | 349,206 | |
| | 3,289 | | | Westpac Banking Corp. | | | 86,220 | |
| | | | | | | | |
| | | | | | | 5,006,390 | |
| | |
| Beverages – 0.2% | |
| | 247 | | | Anheuser-Busch InBev SA | | | 27,854 | |
| | 817 | | | Asahi Group Holdings Ltd. | | | 30,869 | |
| | 1,201 | | | Brown-Forman Corp. Class B | | | 56,831 | |
| | 877 | | | Carlsberg A/S Class B | | | 87,509 | |
| | 3,179 | | | Coca-Cola Amatil Ltd. | | | 22,280 | |
| | 583 | | | Coca-Cola HBC AG* | | | 16,174 | |
| | 110 | | | Constellation Brands, Inc. Class A | | | 18,979 | |
| | 2,837 | | | Diageo PLC | | | 82,577 | |
| | 498 | | | Dr. Pepper Snapple Group, Inc. | | | 45,642 | |
| | 882 | | | Heineken Holding NV | | | 73,915 | |
| | 195 | | | Heineken NV | | | 17,393 | |
| | 2,992 | | | Kirin Holdings Co. Ltd. | | | 58,248 | |
| | 176 | | | Molson Coors Brewing Co. Class B | | | 16,877 | |
| | 1,041 | | | Monster Beverage Corp.* | | | 47,241 | |
| | 2,156 | | | PepsiCo, Inc. | | | 244,232 | |
| | 151 | | | Pernod Ricard SA | | | 18,898 | |
| | 192 | | | Remy Cointreau SA | | | 19,368 | |
| | 1,323 | | | Suntory Beverage & Food Ltd. | | | 59,607 | |
| | 2,921 | | | The Coca-Cola Co. | | | 126,041 | |
| | 1,372 | | | Treasury Wine Estates Ltd. | | | 12,318 | |
| | | | | | | | |
| | | | | | | 1,082,853 | |
| | |
| Biotechnology – 0.2% | |
| | 1,117 | | | AbbVie, Inc. | | | 73,655 | |
| | 140 | | | Alkermes PLC* | | | 8,155 | |
| | 536 | | | Amgen, Inc. | | | 87,539 | |
| | 417 | | | Biogen, Inc.* | | | 113,095 | |
| | 540 | | | Celgene Corp.* | | | 66,987 | |
| | 613 | | | CSL Ltd. | | | 60,785 | |
| | 101 | | | Genmab A/S* | | | 20,096 | |
| | 3,403 | | | Gilead Sciences, Inc. | | | 233,276 | |
| | 409 | | | Grifols SA | | | 10,978 | |
| | 63 | | | Incyte Corp.* | | | 7,830 | |
| | 854 | | | Seattle Genetics, Inc.* | | | 58,328 | |
| | 1,112 | | | Shire PLC | | | 65,562 | |
| | 487 | | | United Therapeutics Corp.* | | | 61,216 | |
| | 740 | | | Vertex Pharmaceuticals, Inc.* | | | 87,542 | |
| | | | | | | | |
| | | | | | | 955,044 | |
| | |
| Building Products – 0.1% | |
| | 678 | | | A.O. Smith Corp. | | | 36,531 | |
| | 3,481 | | | Asahi Glass Co. Ltd. | | | 30,161 | |
| | 517 | | | Assa Abloy AB Class B | | | 11,190 | |
| | 753 | | | Cie de Saint-Gobain | | | 40,630 | |
| | 472 | | | Daikin Industries Ltd. | | | 45,890 | |
| | 879 | | | Fortune Brands Home & Security, Inc. | | | 56,027 | |
| | 32 | | | Geberit AG | | | 14,576 | |
| | |
| | |
| 8 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – (continued) | |
| Building Products – (continued) | |
| | 1,125 | | | Johnson Controls International PLC | | $ | 46,766 | |
| | 636 | | | LIXIL Group Corp. | | | 15,895 | |
| | 1,327 | | | Masco Corp. | | | 49,126 | |
| | 671 | | | TOTO Ltd. | | | 25,600 | |
| | | | | | | | |
| | | | | | | 372,392 | |
| | |
| Capital Markets – 0.3% | |
| | 12,653 | | | 3i Group PLC | | | 130,035 | |
| | 138 | | | Ameriprise Financial, Inc. | | | 17,643 | |
| | 705 | | | ASX Ltd. | | | 26,726 | |
| | 64 | | | BlackRock, Inc. | | | 24,613 | |
| | 697 | | | Brookfield Asset Management, Inc. Class A | | | 25,765 | |
| | 2,483 | | | CI Financial Corp. | | | 48,567 | |
| | 511 | | | CME Group, Inc. | | | 59,373 | |
| | 554 | | | Deutsche Boerse AG | | | 54,225 | |
| | 589 | | | E*TRADE Financial Corp.* | | | 20,350 | |
| | 2,113 | | | Eaton Vance Corp. | | | 90,711 | |
| | 245 | | | Franklin Resources, Inc. | | | 10,562 | |
| | 6,534 | | | Hargreaves Lansdown PLC | | | 116,651 | |
| | 1,716 | | | Hong Kong Exchanges & Clearing Ltd. | | | 42,203 | |
| | 306 | | | IGM Financial, Inc. | | | 9,193 | |
| | 393 | | | Intercontinental Exchange, Inc. | | | 23,659 | |
| | 510 | | | Invesco Ltd. | | | 16,799 | |
| | 2,315 | | | Investec PLC | | | 17,151 | |
| | 382 | | | Macquarie Group Ltd. | | | 26,536 | |
| | 128 | | | Moody’s Corp. | | | 15,145 | |
| | 2,563 | | | Morgan Stanley | | | 111,157 | |
| | 1,095 | | | MSCI, Inc. | | | 109,850 | |
| | 238 | | | NASDAQ, Inc. | | | 16,391 | |
| | 2,126 | | | Nomura Holdings, Inc. | | | 12,776 | |
| | 397 | | | Northern Trust Corp. | | | 35,730 | |
| | 136 | | | Partners Group Holding AG | | | 82,213 | |
| | 374 | | | Raymond James Financial, Inc. | | | 27,871 | |
| | 1,275 | | | S&P Global, Inc. | | | 171,092 | |
| | 2,333 | | | SBI Holdings, Inc. | | | 32,364 | |
| | 255 | | | Schroders PLC | | | 10,530 | |
| | 1,047 | | | SEI Investments Co. | | | 53,093 | |
| | 9,386 | | | Singapore Exchange Ltd. | | | 49,736 | |
| | 660 | | | State Street Corp. | | | 55,374 | |
| | 548 | | | T. Rowe Price Group, Inc. | | | 38,848 | |
| | 733 | | | TD Ameritrade Holding Corp. | | | 28,052 | |
| | 1,708 | | | The Bank of New York Mellon Corp. | | | 80,379 | |
| | 1,176 | | | The Charles Schwab Corp. | | | 45,688 | |
| | 871 | | | Thomson Reuters Corp. | | | 39,580 | |
| | 1,666 | | | UBS Group AG | | | 28,440 | |
| | | | | | | | |
| | | | | | | 1,805,071 | |
| | |
| Chemicals – 0.3% | |
| | 159 | | | Agrium, Inc. | | | 14,923 | |
| | 235 | | | Air Liquide SA | | | 28,314 | |
| | 264 | | | Air Products & Chemicals, Inc. | | | 37,092 | |
| | 504 | | | Air Water, Inc. | | | 9,708 | |
| | 553 | | | Akzo Nobel NV | | | 48,367 | |
| | 240 | | | Albemarle Corp. | | | 26,138 | |
| | 645 | | | Arkema SA | | | 68,295 | |
| | |
| Common Stocks – (continued) | |
| Chemicals – (continued) | |
| | 3,572 | | | Asahi Kasei Corp. | | | 34,061 | |
| | 341 | | | Ashland Global Holdings, Inc. | | | 42,114 | |
| | 836 | | | Axalta Coating Systems Ltd.* | | | 26,225 | |
| | 960 | | | BASF SE | | | 93,522 | |
| | 106 | | | Celanese Corp. Series A | | | 9,226 | |
| | 136 | | | Chr Hansen Holding A/S | | | 9,163 | |
| | 730 | | | Covestro AG(b) | | | 56,890 | |
| | 389 | | | Croda International PLC | | | 18,961 | |
| | 864 | | | E.I. du Pont de Nemours & Co. | | | 68,904 | |
| | 622 | | | Eastman Chemical Co. | | | 49,605 | |
| | 255 | | | Ecolab, Inc. | | | 32,918 | |
| | 202 | | | EMS-Chemie Holding AG | | | 126,576 | |
| | 277 | | | FMC Corp. | | | 20,285 | |
| | 8 | | | Givaudan SA | | | 15,414 | |
| | 796 | | | Hitachi Chemical Co. Ltd. | | | 22,797 | |
| | 3,334 | | | Incitec Pivot Ltd. | | | 9,446 | |
| | 97 | | | International Flavors & Fragrances, Inc. | | | 13,443 | |
| | 590 | | | Johnson Matthey PLC | | | 22,758 | |
| | 763 | | | JSR Corp. | | | 13,944 | |
| | 379 | | | K+S AG | | | 9,042 | |
| | 722 | | | Kansai Paint Co. Ltd. | | | 15,982 | |
| | 585 | | | Koninklijke DSM NV | | | 41,862 | |
| | 2,094 | | | Kuraray Co. Ltd. | | | 33,795 | |
| | 763 | | | LANXESS AG | | | 55,094 | |
| | 157 | | | Linde AG | | | 28,211 | |
| | 773 | | | LyondellBasell Industries NV Class A | | | 65,519 | |
| | 2,992 | | | Mitsubishi Chemical Holdings Corp. | | | 23,419 | |
| | 1,891 | | | Mitsubishi Gas Chemical Co., Inc. | | | 40,436 | |
| | 3,375 | | | Mitsui Chemicals, Inc. | | | 17,269 | |
| | 658 | | | Monsanto Co. | | | 76,729 | |
| | 286 | | | Nippon Paint Holdings Co. Ltd. | | | 10,970 | |
| | 740 | | | Nissan Chemical Industries Ltd. | | | 22,951 | |
| | 248 | | | Nitto Denko Corp. | | | 18,675 | |
| | 2,526 | | | Orica Ltd. | | | 34,997 | |
| | 357 | | | PPG Industries, Inc. | | | 39,213 | |
| | 207 | | | Praxair, Inc. | | | 25,871 | |
| | 338 | | | Shin-Etsu Chemical Co. Ltd. | | | 29,378 | |
| | 6 | | | Sika AG | | | 38,294 | |
| | 184 | | | Solvay SA | | | 23,403 | |
| | 161 | | | Symrise AG | | | 11,271 | |
| | 749 | | | Teijin Ltd. | | | 14,512 | |
| | 1,237 | | | The Dow Chemical Co. | | | 77,684 | |
| | 504 | | | The Sherwin-Williams Co. | | | 168,679 | |
| | 994 | | | Toray Industries, Inc. | | | 8,797 | |
| | 547 | | | Umicore SA | | | 32,047 | |
| | 120 | | | W.R. Grace & Co. | | | 8,366 | |
| | | | | | | | |
| | | | | | | 1,891,555 | |
| | |
| Commercial Services & Supplies – 0.1% | |
| | 708 | | | Babcock International Group PLC | | | 8,247 | |
| | 886 | | | Cintas Corp. | | | 108,508 | |
| | 699 | | | Dai Nippon Printing Co. Ltd. | | | 7,782 | |
| | 602 | | | ISS A/S | | | 24,971 | |
| | 618 | | | Park24 Co. Ltd. | | | 15,946 | |
| | 816 | | | Republic Services, Inc. | | | 51,400 | |
| | 180 | | | Secom Co. Ltd. | | | 13,072 | |
| | 2,275 | | | Securitas AB Class B | | | 37,602 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 9 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Schedule of Investments (continued)
April 30, 2017 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – (continued) | |
| Commercial Services & Supplies – (continued) | |
| | 256 | | | Societe BIC SA | | $ | 28,769 | |
| | 237 | | | Stericycle, Inc.* | | | 20,226 | |
| | 3,263 | | | Toppan Printing Co. Ltd. | | | 32,848 | |
| | 542 | | | Waste Connections, Inc. | | | 49,875 | |
| | 831 | | | Waste Management, Inc. | | | 60,480 | |
| | | | | | | | |
| | | | | | | 459,726 | |
| | |
| Communications Equipment – 0.1% | |
| | 5,205 | | | Cisco Systems, Inc. | | | 177,334 | |
| | 864 | | | F5 Networks, Inc.* | | | 111,568 | |
| | 338 | | | Harris Corp. | | | 37,819 | |
| | 825 | | | Juniper Networks, Inc. | | | 24,808 | |
| | 493 | | | Motorola Solutions, Inc. | | | 42,383 | |
| | | | | | | | |
| | | | | | | 393,912 | |
| | |
| Construction & Engineering – 0.1% | |
| | 3,857 | | | ACS Actividades de Construccion y Servicios SA | | | 142,904 | |
| | 865 | | | Boskalis Westminster | | | 31,817 | |
| | 1,380 | | | CIMIC Group Ltd. | | | 38,244 | |
| | 740 | | | Eiffage SA | | | 62,681 | |
| | 404 | | | Ferrovial SA | | | 8,594 | |
| | 1,241 | | | Fluor Corp. | | | 63,688 | |
| | 267 | | | HOCHTIEF AG | | | 48,085 | |
| | 2,254 | | | Jacobs Engineering Group, Inc. | | | 123,790 | |
| | 3,832 | | | Kajima Corp. | | | 26,020 | |
| | 2,126 | | | Obayashi Corp. | | | 20,641 | |
| | 2,345 | | | Shimizu Corp. | | | 22,488 | |
| | 858 | | | Skanska AB Class B | | | 20,508 | |
| | 603 | | | SNC-Lavalin Group, Inc. | | | 24,252 | |
| | 2,915 | | | Taisei Corp. | | | 22,228 | |
| | 519 | | | Vinci SA | | | 44,239 | |
| | | | | | | | |
| | | | | | | 700,179 | |
| | |
| Construction Materials – 0.1% | |
| | 2,674 | | | Boral Ltd. | | | 12,326 | |
| | 1,961 | | | CRH PLC | | | 71,428 | |
| | 4,023 | | | Fletcher Building Ltd. | | | 23,608 | |
| | 477 | | | HeidelbergCement AG | | | 44,159 | |
| | 475 | | | Imerys SA | | | 40,865 | |
| | 3,080 | | | James Hardie Industries PLC | | | 52,115 | |
| | 140 | | | Martin Marietta Materials, Inc. | | | 30,826 | |
| | 5,781 | | | Taiheiyo Cement Corp. | | | 19,211 | |
| | 194 | | | Vulcan Materials Co. | | | 23,451 | |
| | | | | | | | |
| | | | | | | 317,989 | |
| | |
| Consumer Finance – 0.1% | |
| | 3,227 | | | Ally Financial, Inc. | | | 63,895 | |
| | 1,860 | | | American Express Co. | | | 147,405 | |
| | 1,073 | | | Capital One Financial Corp. | | | 86,248 | |
| | 762 | | | Credit Saison Co. Ltd. | | | 13,885 | |
| | 1,145 | | | Discover Financial Services | | | 71,665 | |
| | 4,122 | | | Navient Corp. | | | 62,654 | |
| | 2,187 | | | Provident Financial PLC | | | 90,776 | |
| | 1,351 | | | Synchrony Financial | | | 37,558 | |
| | | | | | | | |
| | | | | | | 574,086 | |
| | |
| Common Stocks – (continued) | |
| Containers & Packaging – 0.1% | |
| | 1,256 | | | Amcor Ltd. | | | 14,769 | |
| | 172 | | | Avery Dennison Corp. | | | 14,312 | |
| | 130 | | | Ball Corp. | | | 9,996 | |
| | 888 | | | Crown Holdings, Inc.* | | | 49,808 | |
| | 788 | | | International Paper Co. | | | 42,528 | |
| | 373 | | | Packaging Corp. of America | | | 36,845 | |
| | 363 | | | Sealed Air Corp. | | | 15,979 | |
| | 960 | | | Toyo Seikan Group Holdings Ltd. | | | 16,100 | |
| | 1,868 | | | WestRock Co. | | | 100,050 | |
| | | | | | | | |
| | | | | | | 300,387 | |
| | |
| Distributors – 0.0% | |
| | 826 | | | Genuine Parts Co. | | | 76,009 | |
| | 1,485 | | | Jardine Cycle & Carriage Ltd. | | | 50,253 | |
| | 412 | | | LKQ Corp.* | | | 12,871 | |
| | | | | | | | |
| | | | | | | 139,133 | |
| | |
| Diversified Consumer Services – 0.0% | |
| | 311 | | | Benesse Holdings, Inc. | | | 9,385 | |
| | 4,458 | | | H&R Block, Inc. | | | 110,514 | |
| | | | | | | | |
| | | | | | | 119,899 | |
| | |
| Diversified Financial Services – 0.1% | |
| | 2,821 | | | AMP Ltd. | | | 11,303 | |
| | 1,637 | | | Berkshire Hathaway, Inc. Class B* | | | 270,449 | |
| | 2,342 | | | Challenger Ltd. | | | 23,132 | |
| | 143 | | | Eurazeo SA | | | 9,692 | |
| | 1,068 | | | EXOR NV | | | 59,948 | |
| | 120 | | | Groupe Bruxelles Lambert SA | | | 11,510 | |
| | 1,125 | | | Industrivarden AB Class C | | | 26,162 | |
| | 691 | | | Investor AB Class B | | | 31,573 | |
| | 617 | | | L E Lundbergforetagen AB | | | 44,674 | |
| | 967 | | | Leucadia National Corp. | | | 24,552 | |
| | 4,146 | | | Mitsubishi UFJ Lease & Finance Co. Ltd. | | | 21,666 | |
| | 1,600 | | | Onex Corp. | | | 115,442 | |
| | 1,974 | | | ORIX Corp. | | | 30,168 | |
| | 173 | | | Pargesa Holding SA | | | 12,935 | |
| | 231 | | | Voya Financial, Inc. | | | 8,635 | |
| | 143 | | | Wendel SA | | | 20,046 | |
| | | | | | | | |
| | | | | | | 721,887 | |
| | |
| Diversified Telecommunication Services – 0.2% | |
| | 7,912 | | | AT&T, Inc. | | | 313,553 | |
| | 301 | | | BCE, Inc. | | | 13,704 | |
| | 32,566 | | | Bezeq The Israeli Telecommunication Corp. Ltd. | | | 54,715 | |
| | 2,154 | | | BT Group PLC | | | 8,497 | |
| | 2,550 | | | CenturyLink, Inc.(a) | | | 65,458 | |
| | 3,789 | | | Deutsche Telekom AG | | | 66,462 | |
| | 299 | | | Elisa Oyj | | | 10,168 | |
| | 5,295 | | | HKT Trust and HKT Ltd. | | | 6,773 | |
| | 2,865 | | | Koninklijke KPN NV | | | 8,283 | |
| | 682 | | | Level 3 Communications, Inc.* | | | 41,438 | |
| | 1,019 | | | Nippon Telegraph & Telephone Corp. | | | 43,670 | |
| | 802 | | | Orange SA | | | 12,413 | |
| | 69,739 | | | PCCW Ltd. | | | 39,373 | |
| | |
| | |
| 10 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – (continued) | |
| Diversified Telecommunication Services – (continued) | |
| | 283 | | | Proximus SADP | | $ | 8,655 | |
| | 3,570 | | | Singapore Telecommunications Ltd. | | | 9,527 | |
| | 6,705 | | | Spark New Zealand Ltd. | | | 16,992 | |
| | 31 | | | Swisscom AG | | | 13,519 | |
| | 3,534 | | | TDC A/S | | | 18,958 | |
| | 46,173 | | | Telecom Italia SpA* | | | 40,983 | |
| | 52,947 | | | Telecom Italia SpA RSP | | | 37,786 | |
| | 4,219 | | | Telefonica SA | | | 46,662 | |
| | 596 | | | Telenor ASA | | | 9,628 | |
| | 2,026 | | | Telia Co. AB | | | 8,249 | |
| | 6,753 | | | Telstra Corp. Ltd. | | | 21,337 | |
| | 580 | | | TELUS Corp. | | | 19,299 | |
| | 4,108 | | | Verizon Communications, Inc. | | | 188,598 | |
| | 1,420 | | | Zayo Group Holdings, Inc.* | | | 49,799 | |
| | | | | | | | |
| | | | | | | 1,174,499 | |
| | |
| Electric Utilities – 0.2% | |
| | 746 | | | Alliant Energy Corp. | | | 29,333 | |
| | 468 | | | American Electric Power Co., Inc. | | | 31,744 | |
| | 19,007 | | | AusNet Services | | | 24,893 | |
| | 859 | | | Cheung Kong Infrastructure Holdings Ltd. | | | 7,520 | |
| | 2,528 | | | Chubu Electric Power Co., Inc. | | | 33,943 | |
| | 3,125 | | | CLP Holdings Ltd. | | | 32,957 | |
| | 7,473 | | | Contact Energy Ltd. | | | 26,732 | |
| | 192 | | | DONG Energy A/S(b) | | | 7,560 | |
| | 595 | | | Duke Energy Corp. | | | 49,088 | |
| | 509 | | | Edison International | | | 40,705 | |
| | 15,398 | | | EDP – Energias de Portugal SA | | | 50,817 | |
| | 208 | | | Emera, Inc. | | | 7,200 | |
| | 2,347 | | | Endesa SA | | | 55,279 | |
| | 8,013 | | | Enel SpA | | | 38,095 | |
| | 273 | | | Entergy Corp. | | | 20,819 | |
| | 386 | | | Eversource Energy | | | 22,928 | |
| | 1,364 | | | Exelon Corp. | | | 47,235 | |
| | 1,142 | | | FirstEnergy Corp. | | | 34,192 | |
| | 498 | | | Fortis, Inc. | | | 16,205 | |
| | 1,072 | | | Fortum Oyj | | | 15,587 | |
| | 32,782 | | | HK Electric Investments & HK Electric Investments Ltd.(b) | | | 28,985 | |
| | 829 | | | Hokuriku Electric Power Co. | | | 7,662 | |
| | 1,483 | | | Hydro One Ltd.(b) | | | 26,117 | |
| | 10,285 | | | Iberdrola SA | | | 73,937 | |
| | 857 | | | Kyushu Electric Power Co., Inc. | | | 9,244 | |
| | 6,793 | | | Mercury NZ Ltd. | | | 14,995 | |
| | 676 | | | NextEra Energy, Inc. | | | 90,287 | |
| | 795 | | | OGE Energy Corp. | | | 27,650 | |
| | 660 | | | PG&E Corp. | | | 44,253 | |
| | 387 | | | Pinnacle West Capital Corp. | | | 32,930 | |
| | 784 | | | Power Assets Holdings Ltd. | | | 7,051 | |
| | 460 | | | PPL Corp. | | | 17,531 | |
| | 914 | | | SSE PLC | | | 16,465 | |
| | 3,154 | | | Terna Rete Elettrica Nazionale SpA | | | 15,902 | |
| | 747 | | | The Chugoku Electric Power Co., Inc. | | | 8,143 | |
| | 2,674 | | | The Kansai Electric Power Co., Inc. | | | 36,137 | |
| | 809 | | | The Southern Co. | | | 40,288 | |
| | |
| Common Stocks – (continued) | |
| Electric Utilities – (continued) | |
| | 769 | | | Tohoku Electric Power Co., Inc. | | | 10,252 | |
| | 753 | | | Westar Energy, Inc. | | | 39,179 | |
| | 756 | | | Xcel Energy, Inc. | | | 34,058 | |
| | | | | | | | |
| | | | | | | 1,173,898 | |
| | |
| Electrical Equipment – 0.1% | |
| | 3,941 | | | ABB Ltd. | | | 96,571 | |
| | 272 | | | Acuity Brands, Inc. | | | 47,899 | |
| | 243 | | | AMETEK, Inc. | | | 13,900 | |
| | 1,548 | | | Eaton Corp. PLC | | | 117,091 | |
| | 757 | | | Emerson Electric Co. | | | 45,632 | |
| | 3,499 | | | Fuji Electric Co. Ltd. | | | 19,179 | |
| | 324 | | | Legrand SA | | | 20,973 | |
| | 2,068 | | | Mitsubishi Electric Corp. | | | 28,862 | |
| | 403 | | | Nidec Corp. | | | 36,977 | |
| | 2,580 | | | Prysmian SpA | | | 74,455 | |
| | 226 | | | Rockwell Automation, Inc. | | | 35,561 | |
| | 523 | | | Schneider Electric SE | | | 41,425 | |
| | 1,025 | | | Sensata Technologies Holding NV* | | | 42,209 | |
| | 191 | | | Vestas Wind Systems A/S | | | 16,435 | |
| | | | | | | | |
| | | | | | | 637,169 | |
| | |
| Electronic Equipment, Instruments & Components – 0.1% | |
| | 469 | | | Alps Electric Co. Ltd. | | | 13,785 | |
| | 822 | | | Amphenol Corp. Class A | | | 59,439 | |
| | 981 | | | Arrow Electronics, Inc.* | | | 69,161 | |
| | 897 | | | Avnet, Inc. | | | 34,705 | |
| | 531 | | | CDW Corp. | | | 31,377 | |
| | 2,085 | | | Corning, Inc. | | | 60,152 | |
| | 5,067 | | | Flex Ltd.* | | | 78,336 | |
| | 573 | | | FLIR Systems, Inc. | | | 21,046 | |
| | 563 | | | Hamamatsu Photonics KK | | | 16,556 | |
| | 284 | | | Hexagon AB Class B | | | 12,360 | |
| | 126 | | | Hirose Electric Co. Ltd. | | | 16,934 | |
| | 613 | | | Hitachi High-Technologies Corp. | | | 24,470 | |
| | 2,913 | | | Hitachi Ltd. | | | 16,092 | |
| | 159 | | | Ingenico SA | | | 14,397 | |
| | 140 | | | Keyence Corp. | | | 56,282 | |
| | 394 | | | Kyocera Corp. | | | 22,314 | |
| | 2,737 | | | Nippon Electric Glass Co. Ltd. | | | 16,976 | |
| | 896 | | | OMRON Corp. | | | 37,513 | |
| | 133 | | | TDK Corp. | | | 8,240 | |
| | 564 | | | TE Connectivity Ltd. | | | 43,637 | |
| | 821 | | | Trimble, Inc.* | | | 29,088 | |
| | 1,225 | | | Yaskawa Electric Corp. | | | 23,415 | |
| | 2,373 | | | Yokogawa Electric Corp. | | | 36,675 | |
| | | | | | | | |
| | | | | | | 742,950 | |
| | |
| Energy Equipment & Services – 0.1% | |
| | 2,216 | | | Baker Hughes, Inc. | | | 131,564 | |
| | 858 | | | Halliburton Co. | | | 39,365 | |
| | 3,106 | | | National Oilwell Varco, Inc. | | | 108,617 | |
| | 4,827 | | | Petrofac Ltd. | | | 50,872 | |
| | 178,381 | | | Saipem SpA* | | | 76,782 | |
| | 868 | | | Schlumberger Ltd. | | | 63,008 | |
| | 1,579 | | | TechnipFMC PLC* | | | 47,575 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 11 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Schedule of Investments (continued)
April 30, 2017 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – (continued) | |
| Energy Equipment & Services – (continued) | |
| | 989 | | | Tenaris SA | | $ | 15,450 | |
| | | | | | | | |
| | | | | | | 533,233 | |
| | |
| Equity Real Estate Investment Trusts (REITs) – 0.3% | |
| | 328 | | | Alexandria Real Estate Equities, Inc. | | | 36,903 | |
| | 488 | | | American Tower Corp. | | | 61,459 | |
| | 84 | | | AvalonBay Communities, Inc. | | | 15,947 | |
| | 98 | | | Boston Properties, Inc. | | | 12,407 | |
| | 1,106 | | | Camden Property Trust | | | 91,057 | |
| | 9,747 | | | CapitaLand Commercial Trust | | | 11,328 | |
| | 625 | | | Colony NorthStar, Inc. Class A | | | 8,169 | |
| | 188 | | | Crown Castle International Corp. | | | 17,785 | |
| | 10 | | | Daiwa House REIT Investment Corp. | | | 25,282 | |
| | 4,613 | | | Dexus Property Group | | | 35,225 | |
| | 526 | | | Digital Realty Trust, Inc. | | | 60,406 | |
| | 1,172 | | | Duke Realty Corp. | | | 32,499 | |
| | 115 | | | Equinix, Inc. | | | 48,035 | |
| | 216 | | | Equity Residential | | | 13,949 | |
| | 49 | | | Essex Property Trust, Inc. | | | 11,979 | |
| | 93 | | | Extra Space Storage, Inc. | | | 7,024 | |
| | 91 | | | Federal Realty Investment Trust | | | 11,911 | |
| | 121 | | | Fonciere Des Regions | | | 10,799 | |
| | 77 | | | Gecina SA | | | 10,952 | |
| | 401 | | | GGP, Inc. | | | 8,666 | |
| | 3,897 | | | Goodman Group | | | 23,661 | |
| | 1,262 | | | H&R Real Estate Investment Trust | | | 21,412 | |
| | 1,322 | | | Hammerson PLC | | | 10,058 | |
| | 316 | | | HCP, Inc. | | | 9,907 | |
| | 5,640 | | | Host Hotels & Resorts, Inc. | | | 101,238 | |
| | 127 | | | ICADE | | | 9,431 | |
| | 2,130 | | | Intu Properties PLC | | | 7,607 | |
| | 430 | | | Iron Mountain, Inc. | | | 14,947 | |
| | 3 | | | Japan Prime Realty Investment Corp. | | | 11,263 | |
| | 3 | | | Japan Real Estate Investment Corp. | | | 15,798 | |
| | 6 | | | Japan Retail Fund Investment Corp. | | | 11,721 | |
| | 449 | | | Kimco Realty Corp. | | | 9,110 | |
| | 260 | | | Klepierre | | | 10,205 | |
| | 777 | | | Liberty Property Trust | | | 31,523 | |
| | 5,195 | | | Link REIT | | | 37,341 | |
| | 100 | | | Mid-America Apartment Communities, Inc. | | | 9,921 | |
| | 10,430 | | | Mirvac Group | | | 17,715 | |
| | 218 | | | National Retail Properties, Inc. | | | 9,204 | |
| | 3 | | | Nippon Building Fund, Inc. | | | 15,959 | |
| | 6 | | | Nippon Prologis REIT, Inc. | | | 12,679 | |
| | 38 | | | Nomura Real Estate Master Fund, Inc. | | | 54,770 | |
| | 968 | | | Prologis, Inc. | | | 52,669 | |
| | 64 | | | Public Storage | | | 13,400 | |
| | 218 | | | Realty Income Corp. | | | 12,720 | |
| | 158 | | | Regency Centers Corp. | | | 9,982 | |
| | 582 | | | RioCan Real Estate Investment Trust | | | 11,055 | |
| | 159 | | | SBA Communications Corp.* | | | 20,112 | |
| | 4,918 | | | Scentre Group | | | 15,868 | |
| | 1,903 | | | Segro PLC | | | 11,970 | |
| | 120 | | | Simon Property Group, Inc. | | | 19,831 | |
| | 514 | | | SL Green Realty Corp. | | | 53,934 | |
| | |
| Common Stocks – (continued) | |
| Equity Real Estate Investment Trusts (REITs) – (continued) | |
| | 384 | | | Smart Real Estate Investment Trust | | | 9,103 | |
| | 5,942 | | | Stockland | | | 21,566 | |
| | 3,043 | | | The GPT Group | | | 11,953 | |
| | 163 | | | The Macerich Co. | | | 10,176 | |
| | 273 | | | UDR, Inc. | | | 10,194 | |
| | 57 | | | Unibail-Rodamco SE | | | 13,996 | |
| | 11 | | | United Urban Investment Corp. | | | 16,627 | |
| | 564 | | | Ventas, Inc. | | | 36,102 | |
| | 7,620 | | | VEREIT, Inc. | | | 63,779 | |
| | 4,521 | | | Vicinity Centres | | | 9,745 | |
| | 240 | | | Vornado Realty Trust | | | 23,098 | |
| | 308 | | | Welltower, Inc. | | | 22,003 | |
| | 1,545 | | | Westfield Corp. | | | 10,507 | |
| | 1,014 | | | Weyerhaeuser Co. | | | 34,344 | |
| | | | | | | | |
| | | | | | | 1,491,986 | |
| | |
| Food & Staples Retailing – 0.4% | |
| | 1,399 | | | AEON Co. Ltd. | | | 20,734 | |
| | 829 | | | Alimentation Couche-Tard, Inc. Class B | | | 38,127 | |
| | 837 | | | Carrefour SA | | | 19,712 | |
| | 190 | | | Colruyt SA | | | 9,763 | |
| | 767 | | | Costco Wholesale Corp. | | | 136,158 | |
| | 2,308 | | | CVS Health Corp. | | | 190,272 | |
| | 5,619 | | | Distribuidora Internacional de Alimentacion SA | | | 33,409 | |
| | 7,818 | | | Empire Co. Ltd. | | | 120,444 | |
| | 350 | | | FamilyMart UNY Holdings Co. Ltd. | | | 19,784 | |
| | 712 | | | George Weston Ltd. | | | 63,942 | |
| | 295 | | | ICA Gruppen AB | | | 10,067 | |
| | 15,398 | | | J Sainsbury PLC | | | 54,901 | |
| | 2,421 | | | Jeronimo Martins SGPS SA | | | 44,428 | |
| | 2,139 | | | Koninklijke Ahold Delhaize NV | | | 44,310 | |
| | 732 | | | Lawson, Inc. | | | 48,568 | |
| | 1,053 | | | Loblaw Cos. Ltd. | | | 59,097 | |
| | 572 | | | Metro AG | | | 18,824 | |
| | 739 | | | Metro, Inc. | | | 25,325 | |
| | 16,219 | | | Rite Aid Corp.* | | | 64,876 | |
| | 265 | | | Seven & I Holdings Co. Ltd. | | | 11,192 | |
| | 1,130 | | | Sundrug Co. Ltd. | | | 39,630 | |
| | 2,595 | | | Sysco Corp. | | | 137,198 | |
| | 30,154 | | | Tesco PLC* | | | 71,562 | |
| | 734 | | | The Jean Coutu Group PJC, Inc. Class A | | | 12,012 | |
| | 3,819 | | | The Kroger Co. | | | 113,233 | |
| | 555 | | | Tsuruha Holdings, Inc. | | | 56,181 | |
| | 4,570 | | | Wal-Mart Stores, Inc. | | | 343,573 | |
| | 2,240 | | | Walgreens Boots Alliance, Inc. | | | 193,850 | |
| | 2,335 | | | Wesfarmers Ltd. | | | 75,163 | |
| | 4,083 | | | Whole Foods Market, Inc. | | | 148,499 | |
| | 30,733 | | | William Morrison Supermarkets PLC | | | 95,469 | |
| | 6,159 | | | Woolworths Ltd. | | | 123,806 | |
| | | | | | | | |
| | | | | | | 2,444,109 | |
| | |
| Food Products – 0.4% | |
| | 474 | | | Ajinomoto Co., Inc. | | | 9,236 | |
| | 3,353 | | | Archer-Daniels-Midland Co. | | | 153,400 | |
| | 3,448 | | | Aryzta AG* | | | 111,942 | |
| | |
| | |
| 12 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – (continued) | |
| Food Products – (continued) | |
| | 46 | | | Barry Callebaut AG* | | $ | 63,174 | |
| | 2,102 | | | Bunge Ltd. | | | 166,121 | |
| | 1,333 | | | Calbee, Inc. | | | 46,604 | |
| | 1,369 | | | Campbell Soup Co. | | | 78,772 | |
| | 2 | | | Chocoladefabriken Lindt & Spruengli AG | | | 11,246 | |
| | 2,155 | | | Conagra Brands, Inc. | | | 83,571 | |
| | 1,218 | | | Danone SA | | | 85,243 | |
| | 629 | | | General Mills, Inc. | | | 36,174 | |
| | 365 | | | Hormel Foods Corp. | | | 12,804 | |
| | 1,015 | | | Ingredion, Inc. | | | 125,677 | |
| | 277 | | | Kellogg Co. | | | 19,667 | |
| | 267 | | | Kerry Group PLC Class A | | | 21,819 | |
| | 431 | | | Kikkoman Corp. | | | 13,264 | |
| | 4,109 | | | Marine Harvest ASA* | | | 68,366 | |
| | 396 | | | McCormick & Co., Inc. | | | 39,560 | |
| | 1,079 | | | Mead Johnson Nutrition Co. | | | 95,729 | |
| | 558 | | | MEIJI Holdings Co. Ltd. | | | 47,433 | |
| | 637 | | | Mondelez International, Inc. Class A | | | 28,684 | |
| | 2,532 | | | Nestle SA | | | 195,016 | |
| | 1,910 | | | NH Foods Ltd. | | | 54,441 | |
| | 1,038 | | | Nisshin Seifun Group, Inc. | | | 15,949 | |
| | 148 | | | Nissin Foods Holdings Co. Ltd. | | | 8,475 | |
| | 1,080 | | | Orkla ASA | | | 9,799 | |
| | 1,729 | | | Saputo, Inc. | | | 56,846 | |
| | 3,502 | | | Tate & Lyle PLC | | | 34,343 | |
| | 868 | | | The Hershey Co. | | | 93,918 | |
| | 759 | | | The J.M. Smucker Co. | | | 96,180 | |
| | 782 | | | The Kraft Heinz Co. | | | 70,685 | |
| | 229 | | | Toyo Suisan Kaisha Ltd. | | | 8,601 | |
| | 2,344 | | | Tyson Foods, Inc. Class A | | | 150,625 | |
| | 90,939 | | | WH Group Ltd.(b) | | | 81,131 | |
| | 7,404 | | | Wilmar International Ltd. | | | 18,807 | |
| | 128 | | | Yakult Honsha Co. Ltd. | | | 7,295 | |
| | 3,614 | | | Yamazaki Baking Co. Ltd. | | | 76,280 | |
| | | | | | | | |
| | | | | | | 2,296,877 | |
| | |
| Gas Utilities – 0.0% | |
| | 1,599 | | | APA Group | | | 10,966 | |
| | 233 | | | Atmos Energy Corp. | | | 18,878 | |
| | 426 | | | Gas Natural SDG SA | | | 9,627 | |
| | 15,884 | | | Hong Kong & China Gas Co. Ltd. | | | 31,734 | |
| | 3,605 | | | Osaka Gas Co. Ltd. | | | 13,494 | |
| | 2,262 | | | Toho Gas Co. Ltd. | | | 16,169 | |
| | 5,267 | | | Tokyo Gas Co. Ltd. | | | 24,454 | |
| | 1,775 | | | UGI Corp. | | | 89,034 | |
| | | | | | | | |
| | | | | | | 214,356 | |
| | |
| Health Care Equipment & Supplies – 0.3% | |
| | 701 | | | Abbott Laboratories | | | 30,592 | |
| | 1,025 | | | Align Technology, Inc.* | | | 137,986 | |
| | 659 | | | Baxter International, Inc. | | | 36,693 | |
| | 291 | | | Becton Dickinson & Co. | | | 54,408 | |
| | 843 | | | Boston Scientific Corp.* | | | 22,238 | |
| | 372 | | | C.R. Bard, Inc. | | | 114,383 | |
| | 1,106 | | | Cochlear Ltd. | | | 115,776 | |
| | 490 | | | Coloplast A/S Class B | | | 41,957 | |
| | 742 | | | Danaher Corp. | | | 61,831 | |
| | |
| Common Stocks – (continued) | |
| Health Care Equipment & Supplies – (continued) | |
| | 287 | | | DENTSPLY SIRONA, Inc. | | | 18,150 | |
| | 1,396 | | | DexCom, Inc.* | | | 108,832 | |
| | 547 | | | Edwards Lifesciences Corp.* | | | 59,989 | |
| | 141 | | | Essilor International SA | | | 18,273 | |
| | 2,645 | | | Getinge AB Class B | | | 51,665 | |
| | 404 | | | Hologic, Inc.* | | | 18,241 | |
| | 1,432 | | | Hoya Corp. | | | 68,439 | |
| | 955 | | | IDEXX Laboratories, Inc.* | | | 160,182 | |
| | 53 | | | Intuitive Surgical, Inc.* | | | 44,301 | |
| | 704 | | | Medtronic PLC | | | 58,495 | |
| | 848 | | | Olympus Corp. | | | 32,697 | |
| | 203 | | | ResMed, Inc. | | | 13,802 | |
| | 5,091 | | | Smith & Nephew PLC | | | 83,641 | |
| | 82 | | | Sonova Holding AG | | | 12,125 | |
| | 547 | | | Stryker Corp. | | | 74,594 | |
| | 576 | | | Sysmex Corp. | | | 35,083 | |
| | 129 | | | Teleflex, Inc. | | | 26,689 | |
| | 584 | | | Terumo Corp. | | | 21,327 | |
| | 161 | | | The Cooper Cos., Inc. | | | 32,253 | |
| | 219 | | | Varian Medical Systems, Inc.* | | | 19,872 | |
| | 396 | | | William Demant Holding A/S* | | | 9,064 | |
| | 334 | | | Zimmer Biomet Holdings, Inc. | | | 39,963 | |
| | | | | | | | |
| | | | | | | 1,623,541 | |
| | |
| Health Care Providers & Services – 0.2% | |
| | 738 | | | Aetna, Inc. | | | 99,682 | |
| | 2,573 | | | Alfresa Holdings Corp. | | | 46,462 | |
| | 415 | | | AmerisourceBergen Corp. | | | 34,051 | |
| | 470 | | | Anthem, Inc. | | | 83,608 | |
| | 682 | | | Cardinal Health, Inc. | | | 49,506 | |
| | 1,043 | | | Centene Corp.* | | | 77,599 | |
| | 372 | | | Cigna Corp. | | | 58,170 | |
| | 645 | | | DaVita, Inc.* | | | 44,511 | |
| | 172 | | | Envision Healthcare Corp.* | | | 9,637 | |
| | 1,283 | | | Express Scripts Holding Co.* | | | 78,699 | |
| | 230 | | | Fresenius Medical Care AG & Co. KGaA | | | 20,417 | |
| | 161 | | | Fresenius SE & Co. KGaA | | | 13,062 | |
| | 445 | | | HCA Holdings, Inc.* | | | 37,473 | |
| | 5,887 | | | Healthscope Ltd. | | | 9,723 | |
| | 472 | | | Henry Schein, Inc.* | | | 82,034 | |
| | 411 | | | Humana, Inc. | | | 91,234 | |
| | 386 | | | Laboratory Corp. of America Holdings* | | | 54,098 | |
| | 358 | | | McKesson Corp. | | | 49,508 | |
| | 4,804 | | | Mediclinic International PLC | | | 51,073 | |
| | 997 | | | Medipal Holdings Corp. | | | 16,518 | |
| | 339 | | | MEDNAX, Inc.* | | | 20,462 | |
| | 453 | | | Miraca Holdings, Inc. | | | 20,886 | |
| | 204 | | | Patterson Cos., Inc. | | | 9,076 | |
| | 494 | | | Quest Diagnostics, Inc. | | | 52,122 | |
| | 262 | | | Ramsay Health Care Ltd. | | | 14,049 | |
| | 688 | | | Sonic Healthcare Ltd. | | | 11,374 | |
| | 868 | | | Suzuken Co. Ltd. | | | 28,723 | |
| | 1,349 | | | UnitedHealth Group, Inc. | | | 235,913 | |
| | 249 | | | Universal Health Services, Inc. Class B | | | 30,069 | |
| | | | | | | | |
| | | | 1,429,739 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 13 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Schedule of Investments (continued)
April 30, 2017 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – (continued) | |
| Health Care Technology – 0.0% | |
| | 414 | | | Cerner Corp.* | | $ | 26,807 | |
| | 598 | | | M3, Inc. | | | 15,287 | |
| | | | | | | | |
| | | | 42,094 | |
| | |
| Hotels, Restaurants & Leisure – 0.3% | |
| | 1,887 | | | Accor SA | | | 86,046 | |
| | 2,199 | | | Aramark | | | 80,307 | |
| | 4,571 | | | Aristocrat Leisure Ltd. | | | 67,174 | |
| | 1,238 | | | Carnival Corp. | | | 76,471 | |
| | 333 | | | Carnival PLC | | | 20,524 | |
| | 5,126 | | | Compass Group PLC | | | 103,498 | |
| | 659 | | | Darden Restaurants, Inc. | | | 56,140 | |
| | 799 | | | Domino’s Pizza, Inc. | | | 144,931 | |
| | 3,738 | | | Flight Centre Travel Group Ltd. | | | 87,924 | |
| | 1,486 | | | Galaxy Entertainment Group Ltd. | | | 8,255 | |
| | 17,779 | | | Genting Singapore PLC | | | 14,165 | |
| | 1,163 | | | Hilton Worldwide Holdings, Inc. | | | 68,582 | |
| | 742 | | | InterContinental Hotels Group PLC | | | 39,327 | |
| | 513 | | | Las Vegas Sands Corp. | | | 30,262 | |
| | 464 | | | Marriott International, Inc. Class A | | | 43,811 | |
| | 607 | | | McDonald’s Corp. | | | 84,937 | |
| | 1,055 | | | McDonald’s Holdings Co. Japan Ltd. | | | 32,516 | |
| | 1,425 | | | Merlin Entertainments PLC(b) | | | 9,327 | |
| | 7,743 | | | MGM China Holdings Ltd. | | | 17,614 | |
| | 1,229 | | | MGM Resorts International | | | 37,743 | |
| | 225 | | | Oriental Land Co. Ltd. | | | 12,923 | |
| | 496 | | | Restaurant Brands International, Inc. | | | 27,840 | |
| | 1,695 | | | Sands China Ltd. | | | 7,677 | |
| | 5,931 | | | Shangri-La Asia Ltd. | | | 8,488 | |
| | 148,532 | | | SJM Holdings Ltd. | | | 143,993 | |
| | 159 | | | Sodexo SA | | | 20,208 | |
| | 1,267 | | | Starbucks Corp. | | | 76,096 | |
| | 6,265 | | | Tabcorp Holdings Ltd. | | | 22,258 | |
| | 18,345 | | | William Hill PLC | | | 69,701 | |
| | 812 | | | Wyndham Worldwide Corp. | | | 77,392 | |
| | 7,900 | | | Wynn Macau Ltd.* | | | 17,317 | |
| | 699 | | | Yum! Brands, Inc. | | | 45,959 | |
| | | | | | | | |
| | | | 1,639,406 | |
| | |
| Household Durables – 0.1% | |
| | 10,047 | | | Barratt Developments PLC | | | 75,389 | |
| | 516 | | | D.R. Horton, Inc. | | | 16,971 | |
| | 1,338 | | | Electrolux AB Series B | | | 39,708 | |
| | 191 | | | Garmin Ltd. | | | 9,710 | |
| | 1,644 | | | Husqvarna AB Class B | | | 16,343 | |
| | 1,289 | | | Iida Group Holdings Co. Ltd. | | | 20,528 | |
| | 444 | | | Leggett & Platt, Inc. | | | 23,328 | |
| | 559 | | | Lennar Corp. Class A | | | 28,230 | |
| | 48 | | | Mohawk Industries, Inc.* | | | 11,270 | |
| | 592 | | | Newell Brands, Inc. | | | 28,262 | |
| | 1,363 | | | Nikon Corp. | | | 19,457 | |
| | 2,158 | | | Panasonic Corp. | | | 25,806 | |
| | 282 | | | Persimmon PLC | | | 8,509 | |
| | 446 | | | PulteGroup, Inc. | | | 10,111 | |
| | 119 | | | Rinnai Corp. | | | 9,896 | |
| | 464 | | | SEB SA | | | 74,720 | |
| | |
| Common Stocks – (continued) | |
| Household Durables – (continued) | |
| | 1,262 | | | Sekisui Chemical Co. Ltd. | | | 21,181 | |
| | 610 | | | Sekisui House Ltd. | | | 10,133 | |
| | 5,232 | | | Sharp Corp.* | | | 18,974 | |
| | 2,113 | | | Sony Corp. | | | 72,506 | |
| | 7,948 | | | Techtronic Industries Co. Ltd. | | | 34,100 | |
| | 161 | | | Whirlpool Corp. | | | 29,894 | |
| | | | | | | | |
| | | | 605,026 | |
| | |
| Household Products – 0.2% | |
| | 661 | | | Church & Dwight Co., Inc. | | | 32,739 | |
| | 2,338 | | | Colgate-Palmolive Co. | | | 168,430 | |
| | 388 | | | Henkel AG & Co. KGaA | | | 48,463 | |
| | 687 | | | Kimberly-Clark Corp. | | | 89,138 | |
| | 5,214 | | | Lion Corp. | | | 94,217 | |
| | 400 | | | Reckitt Benckiser Group PLC | | | 36,855 | |
| | 544 | | | Spectrum Brands Holdings, Inc. | | | 78,189 | |
| | 309 | | | Svenska Cellulosa AB SCA Class B | | | 10,230 | |
| | 757 | | | The Clorox Co. | | | 101,203 | |
| | 2,647 | | | The Procter & Gamble Co. | | | 231,163 | |
| | 1,208 | | | Unicharm Corp. | | | 29,378 | |
| | | | | | | | |
| | | | 920,005 | |
| | |
| Independent Power and Renewable Electricity Producers – 0.0% | |
| | 6,433 | | | AES Corp. | | | 72,757 | |
| | 14,616 | | | Calpine Corp.* | | | 149,083 | |
| | 10,375 | | | Meridian Energy Ltd. | | | 19,721 | |
| | | | | | | | |
| | | | | | | 241,561 | |
| | |
| Industrial Conglomerates – 0.1% | | | |
| | 1,063 | | | 3M Co. | | | 208,167 | |
| | 1,601 | | | CK Hutchison Holdings Ltd. | | | 19,992 | |
| | 111 | | | DCC PLC | | | 10,249 | |
| | 5,010 | | | General Electric Co. | | | 145,240 | |
| | 919 | | | Honeywell International, Inc. | | | 120,518 | |
| | 255 | | | Jardine Matheson Holdings Ltd. | | | 16,410 | |
| | 727 | | | Jardine Strategic Holdings Ltd. | | | 30,720 | |
| | 1,314 | | | Keihan Holdings Co. Ltd. | | | 8,267 | |
| | 2,669 | | | Koninklijke Philips NV | | | 92,167 | |
| | 7,832 | | | NWS Holdings Ltd. | | | 14,708 | |
| | 79 | | | Roper Technologies, Inc. | | | 17,278 | |
| | 800 | | | Siemens AG | | | 114,754 | |
| | 1,977 | | | Smiths Group PLC | | | 42,028 | |
| | 13,686 | | | Toshiba Corp.* | | | 27,607 | |
| | | | | | | | |
| | | | | | | 868,105 | |
| | |
| Insurance – 0.5% | | | |
| | 4,756 | | | Admiral Group PLC | | | 123,849 | |
| | 908 | | | Aflac, Inc. | | | 67,991 | |
| | 10,953 | | | AIA Group Ltd. | | | 75,810 | |
| | 56 | | | Alleghany Corp.* | | | 34,199 | |
| | 482 | | | Allianz SE | | | 91,762 | |
| | 1,102 | | | American International Group, Inc. | | | 67,123 | |
| | 798 | | | Aon PLC | | | 95,632 | |
| | 424 | | | Arch Capital Group Ltd.* | | | 41,115 | |
| | 835 | | | Arthur J. Gallagher & Co. | | | 46,601 | |
| | 1,452 | | | Assicurazioni Generali SpA | | | 23,000 | |
| | |
| | |
| 14 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – (continued) | |
| Insurance – (continued) | | | |
| | 579 | | | Assurant, Inc. | | $ | 55,723 | |
| | 1,551 | | | Aviva PLC | | | 10,547 | |
| | 1,570 | | | AXA SA | | | 41,888 | |
| | 715 | | | Axis Capital Holdings Ltd. | | | 47,118 | |
| | 94 | | | Baloise Holding AG | | | 13,784 | |
| | 419 | | | Chubb Ltd. | | | 57,508 | |
| | 357 | | | Cincinnati Financial Corp. | | | 25,736 | |
| | 1,380 | | | CNP Assurances | | | 28,827 | |
| | 1,225 | | | Dai-ichi Life Holdings, Inc. | | | 20,874 | |
| | 2,108 | | | Direct Line Insurance Group PLC | | | 9,526 | |
| | 212 | | | Everest Re Group Ltd. | | | 53,363 | |
| | 15 | | | Fairfax Financial Holdings Ltd. | | | 6,857 | |
| | 408 | | | FNF Group | | | 16,708 | |
| | 661 | | | Gjensidige Forsikring ASA | | | 10,155 | |
| | 1,039 | | | Great-West Lifeco, Inc. | | | 27,949 | |
| | 74 | | | Hannover Rueck SE | | | 8,877 | |
| | 1,301 | | | Industrial Alliance Insurance & Financial Services, Inc. | | | 54,888 | |
| | 4,952 | | | Insurance Australia Group Ltd. | | | 22,987 | |
| | 280 | | | Intact Financial Corp. | | | 19,181 | |
| | 747 | | | Japan Post Holdings Co. Ltd. | | | 9,269 | |
| | 5,864 | | | Legal & General Group PLC | | | 18,689 | |
| | 723 | | | Lincoln National Corp. | | | 47,667 | |
| | 635 | | | Loews Corp. | | | 29,604 | |
| | 4,245 | | | Manulife Financial Corp. | | | 74,448 | |
| | 6,669 | | | Mapfre SA | | | 23,262 | |
| | 19 | | | Markel Corp.* | | | 18,422 | |
| | 1,604 | | | Marsh & McLennan Cos., Inc. | | | 118,905 | |
| | 14,527 | | | Medibank Pvt. Ltd. | | | 31,625 | |
| | 1,145 | | | MetLife, Inc. | | | 59,322 | |
| | 691 | | | MS & AD Insurance Group Holdings, Inc. | | | 22,529 | |
| | 238 | | | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | | | 45,629 | |
| | 647 | | | NN Group NV | | | 21,451 | |
| | 3,548 | | | Old Mutual PLC | | | 8,911 | |
| | 3,802 | | | Poste Italiane SpA(b) | | | 26,036 | |
| | 2,134 | | | Power Corp. of Canada | | | 49,448 | |
| | 1,872 | | | Power Financial Corp. | | | 47,573 | |
| | 826 | | | Principal Financial Group, Inc. | | | 53,797 | |
| | 1,042 | | | Prudential Financial, Inc. | | | 111,525 | |
| | 647 | | | Prudential PLC | | | 14,359 | |
| | 1,284 | | | QBE Insurance Group Ltd. | | | 12,336 | |
| | 574 | | | Reinsurance Group of America, Inc. | | | 71,773 | |
| | 229 | | | RenaissanceRe Holdings Ltd. | | | 32,557 | |
| | 3,319 | | | RSA Insurance Group PLC | | | 25,606 | |
| | 185 | | | Sampo Oyj Class A | | | 8,854 | |
| | 687 | | | SCOR SE | | | 27,176 | |
| | 653 | | | Sompo Holdings, Inc. | | | 24,677 | |
| | 2,083 | | | Sun Life Financial, Inc. | | | 73,566 | |
| | 4,549 | | | Suncorp Group Ltd. | | | 46,894 | |
| | 99 | | | Swiss Life Holding AG* | | | 32,218 | |
| | 439 | | | Swiss Re AG | | | 38,184 | |
| | 880 | | | T&D Holdings, Inc. | | | 13,085 | |
| | 792 | | | The Allstate Corp. | | | 64,382 | |
| | 1,003 | | | The Hartford Financial Services Group, Inc. | | | 48,505 | |
| | |
| Common Stocks – (continued) | |
| Insurance – (continued) | | | |
| | 865 | | | The Progressive Corp. | | | 34,358 | |
| | 589 | | | The Travelers Cos., Inc. | | | 71,658 | |
| | 341 | | | Tokio Marine Holdings, Inc. | | | 14,378 | |
| | 550 | | | Torchmark Corp. | | | 42,190 | |
| | 385 | | | Tryg A/S | | | 7,387 | |
| | 7,462 | | | UnipolSai Assicurazioni SpA | | | 17,141 | |
| | 1,380 | | | Unum Group | | | 63,935 | |
| | 630 | | | W.R. Berkley Corp. | | | 42,827 | |
| | 117 | | | Willis Towers Watson PLC | | | 15,517 | |
| | 356 | | | XL Group Ltd. | | | 14,899 | |
| | 189 | | | Zurich Insurance Group AG | | | 52,304 | |
| | | | | | | | |
| | | | | | | 2,928,456 | |
| | |
| Internet & Direct Marketing Retail – 0.2% | | | |
| | 647 | | | Amazon.com, Inc.* | | | 598,469 | |
| | 413 | | | Expedia, Inc. | | | 55,226 | |
| | 2,908 | | | Liberty Interactive Corp. QVC Group Class A* | | | 61,592 | |
| | 969 | | | Netflix, Inc.* | | | 147,482 | |
| | 4,940 | | | Start Today Co. Ltd. | | | 105,411 | |
| | 98 | | | The Priceline Group, Inc.* | | | 180,988 | |
| | 1,743 | | | TripAdvisor, Inc.* | | | 78,452 | |
| | 1,629 | | | Zalando SE*(b) | | | 71,859 | |
| | | | | | | | |
| | | | | | | 1,299,479 | |
| | |
| Internet Software & Services – 0.3% | | | |
| | 167 | | | Akamai Technologies, Inc.* | | | 10,177 | |
| | 474 | | | Alphabet, Inc. Class A* | | | 438,222 | |
| | 497 | | | Alphabet, Inc. Class C* | | | 450,262 | |
| | 19,972 | | | Auto Trader Group PLC(b) | | | 103,732 | |
| | 40 | | | CoStar Group, Inc.* | | | 9,636 | |
| | 506 | | | Dena Co. Ltd. | | | 10,847 | |
| | 2,558 | | | eBay, Inc.* | | | 85,463 | |
| | 3,394 | | | Facebook, Inc. Class A* | | | 509,948 | |
| | 3,803 | | | Kakaku.com, Inc. | | | 54,883 | |
| | 179 | | | MercadoLibre, Inc. | | | 40,975 | |
| | 2,269 | | | Mixi, Inc. | | | 125,871 | |
| | 1,273 | | | Twitter, Inc.* | | | 20,979 | |
| | 231 | | | United Internet AG | | | 10,632 | |
| | 333 | | | VeriSign, Inc.* | | | 29,610 | |
| | 1,729 | | | Yahoo Japan Corp. | | | 7,406 | |
| | 1,155 | | | Yahoo!, Inc.* | | | 55,683 | |
| | 498 | | | Zillow Group, Inc. Class C*(a) | | | 19,422 | |
| | | | | | | | |
| | | | | | | 1,983,748 | |
| | |
| IT Services – 0.4% | | | |
| | 1,468 | | | Accenture PLC Class A | | | 178,068 | |
| | 368 | | | Alliance Data Systems Corp. | | | 91,864 | |
| | 320 | | | Amadeus IT Group SA | | | 17,270 | |
| | 1,565 | | | Atos SE | | | 204,992 | |
| | 582 | | | Automatic Data Processing, Inc. | | | 60,813 | |
| | 498 | | | Broadridge Financial Solutions, Inc. | | | 34,830 | |
| | 711 | | | Cap Gemini SA | | | 71,187 | |
| | 978 | | | Cognizant Technology Solutions Corp. Class A* | | | 58,905 | |
| | 1,248 | | | Computershare Ltd. | | | 13,758 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 15 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Schedule of Investments (continued)
April 30, 2017 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – (continued) | |
| IT Services – (continued) | | | |
| | 1,633 | | | DXC Technology Co.* | | $ | 123,030 | |
| | 1,436 | | | Fidelity National Information Services, Inc. | | | 120,897 | |
| | 237 | | | Fiserv, Inc.* | | | 28,236 | |
| | 78 | | | FleetCor Technologies, Inc.* | | | 11,009 | |
| | 9,379 | | | Fujitsu Ltd. | | | 58,547 | |
| | 995 | | | Gartner, Inc.* | | | 113,520 | |
| | 118 | | | Global Payments, Inc. | | | 9,648 | |
| | 1,536 | | | International Business Machines Corp. | | | 246,205 | |
| | 1,262 | | | MasterCard, Inc. Class A | | | 146,796 | |
| | 242 | | | Nomura Research Institute Ltd. | | | 8,427 | |
| | 668 | | | NTT Data Corp. | | | 31,018 | |
| | 204 | | | Obic Co. Ltd. | | | 11,021 | |
| | 823 | | | Paychex, Inc. | | | 48,787 | |
| | 1,171 | | | PayPal Holdings, Inc.* | | | 55,880 | |
| | 470 | | | Sabre Corp. | | | 11,003 | |
| | 3,471 | | | The Western Union Co. | | | 68,934 | |
| | 1,217 | | | Total System Services, Inc. | | | 69,746 | |
| | 419 | | | Vantiv, Inc. Class A* | | | 25,995 | |
| | 1,113 | | | Visa, Inc. Class A | | | 101,528 | |
| | 6,224 | | | Worldpay Group PLC(b) | | | 24,171 | |
| | | | | | | | |
| | | | | | | 2,046,085 | |
| | |
| Leisure Products – 0.0% | | | |
| | 1,179 | | | Bandai Namco Holdings, Inc. | | | 37,005 | |
| | 725 | | | Hasbro, Inc. | | | 71,855 | |
| | 470 | | | Mattel, Inc. | | | 10,537 | |
| | 362 | | | Sankyo Co. Ltd. | | | 12,625 | |
| | 1,145 | | | Sega Sammy Holdings, Inc. | | | 15,373 | |
| | | | | | | | |
| | | | | | | 147,395 | |
| | |
| Life Sciences Tools & Services – 0.1% | | | |
| | 292 | | | Agilent Technologies, Inc. | | | 16,075 | |
| | 26 | | | Eurofins Scientific SE | | | 12,806 | |
| | 248 | | | Illumina, Inc.* | | | 45,845 | |
| | 104 | | | Lonza Group AG* | | | 21,280 | |
| | 239 | | | Mettler-Toledo International, Inc.* | | | 122,707 | |
| | 1,208 | | | QIAGEN NV* | | | 36,188 | |
| | 1,033 | | | Quintiles IMS Holdings, Inc.* | | | 87,061 | |
| | 540 | | | Thermo Fisher Scientific, Inc. | | | 89,278 | |
| | 245 | | | Waters Corp.* | | | 41,623 | |
| | | | | | | | |
| | | | | | | 472,863 | |
| | |
| Machinery – 0.2% | | | |
| | 952 | | | AGCO Corp. | | | 60,919 | |
| | 648 | | | Amada Holdings Co. Ltd. | | | 7,704 | |
| | 321 | | | ANDRITZ AG | | | 17,738 | |
| | 1,299 | | | Atlas Copco AB Class A | | | 48,524 | |
| | 899 | | | Atlas Copco AB Class B | | | 29,874 | |
| | 609 | | | Caterpillar, Inc. | | | 62,276 | |
| | 5,235 | | | CNH Industrial NV | | | 57,729 | |
| | 454 | | | Cummins, Inc. | | | 68,527 | |
| | 205 | | | Deere & Co. | | | 22,880 | |
| | 281 | | | Dover Corp. | | | 22,165 | |
| | 185 | | | FANUC Corp. | | | 37,665 | |
| | 497 | | | Fortive Corp. | | | 31,440 | |
| | |
| Common Stocks – (continued) | |
| Machinery – (continued) | | | |
| | 921 | | | Hitachi Construction Machinery Co. Ltd. | | | 23,743 | |
| | 8,463 | | | IHI Corp.* | | | 28,659 | |
| | 654 | | | Illinois Tool Works, Inc. | | | 90,311 | |
| | 662 | | | IMI PLC | | | 10,964 | |
| | 1,203 | | | Ingersoll-Rand PLC | | | 106,766 | |
| | 569 | | | JTEKT Corp. | | | 8,975 | |
| | 1,466 | | | Komatsu Ltd. | | | 39,174 | |
| | 228 | | | Kone Oyj Class B | | | 10,436 | |
| | 586 | | | Kubota Corp. | | | 9,231 | |
| | 428 | | | Kurita Water Industries Ltd. | | | 11,052 | |
| | 334 | | | Makita Corp. | | | 11,917 | |
| | 248 | | | MAN SE | | | 26,057 | |
| | 265 | | | Metso Oyj | | | 9,491 | |
| | 1,782 | | | Mitsubishi Heavy Industries Ltd. | | | 7,140 | |
| | 358 | | | Nabtesco Corp. | | | 10,149 | |
| | 488 | | | NSK Ltd. | | | 6,673 | |
| | 427 | | | PACCAR, Inc. | | | 28,494 | |
| | 351 | | | Parker-Hannifin Corp. | | | 56,441 | |
| | 666 | | | Pentair PLC | | | 42,964 | |
| | 2,397 | | | Sandvik AB | | | 38,429 | |
| | 128 | | | Schindler Holding AG | | | 25,803 | |
| | 591 | | | SKF AB Class B | | | 12,970 | |
| | 223 | | | Snap-on, Inc. | | | 37,359 | |
| | 471 | | | Stanley Black & Decker, Inc. | | | 64,127 | |
| | 2,053 | | | Sumitomo Heavy Industries Ltd. | | | 14,322 | |
| | 218 | | | The Middleby Corp.* | | | 29,676 | |
| | 1,006 | | | The Weir Group PLC | | | 25,920 | |
| | 360 | | | THK Co. Ltd. | | | 9,286 | |
| | 2,206 | | | Volvo AB Class B | | | 36,026 | |
| | 133 | | | Wabtec Corp. | | | 11,157 | |
| | 793 | | | Xylem, Inc. | | | 40,768 | |
| | 40,723 | | | Yangzijiang Shipbuilding Holdings Ltd. | | | 33,460 | |
| | 851 | | | Zardoya Otis SA | | | 7,875 | |
| | | | | | | | |
| | | | | | | 1,393,256 | |
| | |
| Marine – 0.0% | | | |
| | 697 | | | Kuehne & Nagel International AG | | | 105,411 | |
| | 13,785 | | | Mitsui OSK Lines Ltd. | | | 42,204 | |
| | | | | | | | |
| | | | | | | 147,615 | |
| | |
| Media – 0.2% | | | |
| | 186 | | | Axel Springer AG | | | 10,436 | |
| | 247 | | | Charter Communications, Inc. Class A* | | | 85,254 | |
| | 4,906 | | | Comcast Corp. Class A | | | 192,266 | |
| | 434 | | | Discovery Communications, Inc. Class A* | | | 12,491 | |
| | 576 | | | Discovery Communications, Inc. Class C* | | | 16,116 | |
| | 1,811 | | | Eutelsat Communications SA | | | 42,847 | |
| | 971 | | | Hakuhodo DY Holdings, Inc. | | | 11,836 | |
| | 422 | | | Liberty Broadband Corp. Class C* | | | 38,469 | |
| | 826 | | | Liberty Global PLC Class A* | | | 29,257 | |
| | 1,092 | | | Liberty Global PLC Series C* | | | 37,794 | |
| | 3,880 | | | News Corp. Class A | | | 49,354 | |
| | 442 | | | Omnicom Group, Inc. | | | 36,297 | |
| | 252 | | | ProSiebenSat.1 Media SE | | | 10,697 | |
| | |
| | |
| 16 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – (continued) | |
| Media – (continued) | | | |
| | 546 | | | Publicis Groupe SA | | $ | 39,419 | |
| | 641 | | | RTL Group* | | | 49,681 | |
| | 2,435 | | | Schibsted ASA Class A | | | 60,520 | |
| | 2,599 | | | Schibsted ASA Class B | | | 58,209 | |
| | 374 | | | Scripps Networks Interactive, Inc. Class A | | | 27,945 | |
| | 1,513 | | | Shaw Communications, Inc. Class B | | | 32,077 | |
| | 3,053 | | | Sirius XM Holdings, Inc.(a) | | | 15,112 | |
| | 1,648 | | | TEGNA, Inc. | | | 41,991 | |
| | 177 | | | Telenet Group Holding NV* | | | 10,755 | |
| | 536 | | | The Interpublic Group of Cos., Inc. | | | 12,634 | |
| | 1,209 | | | The Walt Disney Co. | | | 139,760 | |
| | 984 | | | Time Warner, Inc. | | | 97,682 | |
| | 306 | | | Toho Co. Ltd. | | | 8,783 | |
| | 696 | | | Twenty-First Century Fox, Inc. Class A | | | 21,256 | |
| | 337 | | | Twenty-First Century Fox, Inc. Class B | | | 10,063 | |
| | 321 | | | Viacom, Inc. Class B | | | 13,662 | |
| | 418 | | | Vivendi SA | | | 8,291 | |
| | 1,755 | | | WPP PLC | | | 37,581 | |
| | | | | | | | |
| | | | | | | 1,258,535 | |
| | |
| Metals & Mining – 0.2% | | | |
| | 316 | | | Agnico Eagle Mines Ltd. | | | 15,105 | |
| | 14,505 | | | Alumina Ltd. | | | 19,912 | |
| | 1,989 | | | Anglo American PLC* | | | 28,477 | |
| | 834 | | | Antofagasta PLC | | | 9,049 | |
| | 3,199 | | | ArcelorMittal* | | | 25,139 | |
| | 1,528 | | | Barrick Gold Corp. | | | 25,544 | |
| | 2,354 | | | BHP Billiton Ltd. | | | 41,910 | |
| | 1,688 | | | BHP Billiton PLC | | | 25,734 | |
| | 933 | | | Boliden AB | | | 26,654 | |
| | 2,106 | | | Eldorado Gold Corp. | | | 7,699 | |
| | 1,170 | | | First Quantum Minerals Ltd. | | | 11,151 | |
| | 10,919 | | | Fortescue Metals Group Ltd. | | | 43,279 | |
| | 233 | | | Franco-Nevada Corp. | | | 15,847 | |
| | 2,832 | | | Freeport-McMoRan, Inc.* | | | 36,108 | |
| | 892 | | | Fresnillo PLC | | | 16,772 | |
| | 34,921 | | | Glencore PLC* | | | 137,244 | |
| | 706 | | | Goldcorp, Inc. | | | 9,837 | |
| | 670 | | | Hitachi Metals Ltd. | | | 9,383 | |
| | 741 | | | JFE Holdings, Inc. | | | 12,639 | |
| | 12,685 | | | Kinross Gold Corp.* | | | 44,140 | |
| | 526 | | | Maruichi Steel Tube Ltd. | | | 14,916 | |
| | 496 | | | Mitsubishi Materials Corp. | | | 14,769 | |
| | 1,655 | | | Newcrest Mining Ltd. | | | 26,552 | |
| | 2,096 | | | Newmont Mining Corp. | | | 70,866 | |
| | 1,182 | | | Nippon Steel & Sumitomo Metal Corp. | | | 26,619 | |
| | 1,377 | | | Norsk Hydro ASA | | | 7,847 | |
| | 778 | | | Nucor Corp. | | | 47,715 | |
| | 163 | | | Randgold Resources Ltd. | | | 14,339 | |
| | 497 | | | Rio Tinto Ltd. | | | 22,500 | |
| | 1,442 | | | Rio Tinto PLC | | | 56,887 | |
| | 1,059 | | | Silver Wheaton Corp. | | | 21,133 | |
| | 37,524 | | | South32 Ltd. | | | 77,761 | |
| | 2,227 | | | Teck Resources Ltd. Class B | | | 46,202 | |
| | 432 | | | ThyssenKrupp AG | | | 10,295 | |
| | |
| Common Stocks – (continued) | |
| Metals & Mining – (continued) | | | |
| | 2,716 | | | Turquoise Hill Resources Ltd.* | | | 7,402 | |
| | 285 | | | voestalpine AG | | | 11,881 | |
| | 10,335 | | | Yamana Gold, Inc. | | | 27,786 | |
| | | | | | | | |
| | | | | | | 1,067,093 | |
| | |
| Mortgage Real Estate Investment Trusts (REITs) – 0.0% | | | |
| | 3,606 | | | AGNC Investment Corp. | | | 75,978 | |
| | 3,544 | | | Annaly Capital Management, Inc. | | | 41,855 | |
| | | | | | | | |
| | | | | | | 117,833 | |
| | |
| Multi-Utilities – 0.1% | | | |
| | 2,168 | | | AGL Energy Ltd. | | | 43,405 | |
| | 586 | | | Ameren Corp. | | | 32,048 | |
| | 413 | | | Atco Ltd. | | | 15,028 | |
| | 362 | | | Canadian Utilities Ltd. Class A | | | 10,435 | |
| | 1,546 | | | CenterPoint Energy, Inc. | | | 44,107 | |
| | 6,181 | | | Centrica PLC | | | 15,839 | |
| | 626 | | | CMS Energy Corp. | | | 28,420 | |
| | 448 | | | Consolidated Edison, Inc. | | | 35,517 | |
| | 719 | | | Dominion Resources, Inc. | | | 55,672 | |
| | 397 | | | DTE Energy Co. | | | 41,522 | |
| | 4,070 | | | DUET Group | | | 9,197 | |
| | 1,237 | | | E.ON SE | | | 9,643 | |
| | 806 | | | Engie SA | | | 11,365 | |
| | 272 | | | Innogy SE(b) | | | 10,000 | |
| | 2,420 | | | National Grid PLC | | | 31,335 | |
| | 615 | | | NiSource, Inc. | | | 14,914 | |
| | 476 | | | Public Service Enterprise Group, Inc. | | | 20,968 | |
| | 428 | | | SCANA Corp. | | | 28,381 | |
| | 265 | | | Sempra Energy | | | 29,950 | |
| | 500 | | | Suez | | | 8,213 | |
| | 510 | | | Veolia Environnement SA | | | 9,706 | |
| | 477 | | | WEC Energy Group, Inc. | | | 28,868 | |
| | | | | | | | |
| | | | | | | 534,533 | |
| | |
| Multiline Retail – 0.2% | | | |
| | 67 | | | Canadian Tire Corp. Ltd. Class A | | | 8,177 | |
| | 1,169 | | | Dollar General Corp. | | | 84,998 | |
| | 498 | | | Dollar Tree, Inc.* | | | 41,219 | |
| | 1,284 | | | Dollarama, Inc. | | | 112,405 | |
| | 3,516 | | | Harvey Norman Holdings Ltd. | | | 11,028 | |
| | 472 | | | J. Front Retailing Co. Ltd. | | | 6,804 | |
| | 2,783 | | | Kohl’s Corp. | | | 108,621 | |
| | 3,093 | | | Macy’s, Inc. | | | 90,377 | |
| | 6,122 | | | Marks & Spencer Group PLC | | | 29,056 | |
| | 1,854 | | | Next PLC | | | 103,349 | |
| | 2,324 | | | Nordstrom, Inc.(a) | | | 112,180 | |
| | 381 | | | Ryohin Keikaku Co. Ltd. | | | 85,915 | |
| | 1,380 | | | Takashimaya Co. Ltd. | | | 12,707 | |
| | 2,071 | | | Target Corp. | | | 115,665 | |
| | | | | | | | |
| | | | | | | 922,501 | |
| | |
| Oil, Gas & Consumable Fuels – 0.4% | | | |
| | 451 | | | Anadarko Petroleum Corp. | | | 25,716 | |
| | 271 | | | Apache Corp. | | | 13,181 | |
| | 19,661 | | | BP PLC | | | 112,552 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 17 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Schedule of Investments (continued)
April 30, 2017 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – (continued) | |
| Oil, Gas & Consumable Fuels – (continued) | | | |
| | 1,573 | | | Caltex Australia Ltd. | | $ | 35,111 | |
| | 3,149 | | | Cameco Corp. | | | 30,197 | |
| | 460 | | | Canadian Natural Resources Ltd. | | | 14,652 | |
| | 1,513 | | | Cenovus Energy, Inc. | | | 15,085 | |
| | 1,831 | | | Chevron Corp. | | | 195,368 | |
| | 78 | | | Cimarex Energy Co. | | | 9,101 | |
| | 83 | | | Concho Resources, Inc.* | | | 10,513 | |
| | 446 | | | ConocoPhillips | | | 21,368 | |
| | 385 | | | Continental Resources, Inc.* | | | 16,328 | |
| | 348 | | | Devon Energy Corp. | | | 13,743 | |
| | 480 | | | Enagas SA | | | 12,613 | |
| | 1,029 | | | Enbridge, Inc. | | | 42,651 | |
| | 2,167 | | | Encana Corp. | | | 23,193 | |
| | 910 | | | Eni SpA | | | 14,115 | |
| | 400 | | | EOG Resources, Inc. | | | 37,000 | |
| | 3,620 | | | Exxon Mobil Corp. | | | 295,573 | |
| | 802 | | | Galp Energia SGPS SA | | | 12,464 | |
| | 236 | | | HollyFrontier Corp. | | | 6,641 | |
| | 4,399 | | | Husky Energy, Inc.* | | | 50,788 | |
| | 1,635 | | | Idemitsu Kosan Co. Ltd. | | | 52,274 | |
| | 1,547 | | | Imperial Oil Ltd. | | | 45,003 | |
| | 706 | | | Inpex Corp. | | | 6,765 | |
| | 829 | | | Inter Pipeline Ltd. | | | 16,889 | |
| | 234 | | | International Petroleum Corp.* | | | 852 | |
| | 7,964 | | | JXTG Holdings, Inc. | | | 35,934 | |
| | 448 | | | Kinder Morgan, Inc. | | | 9,242 | |
| | 703 | | | Lundin Petroleum AB* | | | 13,405 | |
| | 1,070 | | | Marathon Oil Corp. | | | 15,911 | |
| | 1,704 | | | Marathon Petroleum Corp. | | | 86,802 | |
| | 325 | | | Murphy Oil Corp. | | | 8,509 | |
| | 1,513 | | | Neste Oyj | | | 61,654 | |
| | 169 | | | Newfield Exploration Co.* | | | 5,851 | |
| | 349 | | | Occidental Petroleum Corp. | | | 21,477 | |
| | 450 | | | OMV AG | | | 20,728 | |
| | 539 | | | ONEOK, Inc. | | | 28,357 | |
| | 7,313 | | | Origin Energy Ltd.* | | | 39,353 | |
| | 708 | | | Parsley Energy, Inc. Class A* | | | 21,091 | |
| | 709 | | | Pembina Pipeline Corp. | | | 22,594 | |
| | 367 | | | Phillips 66 | | | 29,199 | |
| | 118 | | | Pioneer Natural Resources Co. | | | 20,413 | |
| | 557 | | | PrairieSky Royalty Ltd. | | | 12,139 | |
| | 5,459 | | | Repsol SA | | | 86,161 | |
| | 4,305 | | | Royal Dutch Shell PLC Class A | | | 111,794 | |
| | 3,846 | | | Royal Dutch Shell PLC Class B | | | 102,330 | |
| | 1,109 | | | Seven Generations Energy Ltd. Class A* | | | 19,636 | |
| | 2,441 | | | Showa Shell Sekiyu K.K. | | | 23,575 | |
| | 8,662 | | | Snam SpA | | | 38,269 | |
| | 759 | | | Statoil ASA | | | 12,500 | |
| | 1,139 | | | Suncor Energy, Inc. | | | 35,696 | |
| | 470 | | | Targa Resources Corp. | | | 25,911 | |
| | 1,529 | | | Tesoro Corp. | | | 121,877 | |
| | 1,137 | | | The Williams Cos., Inc. | | | 34,826 | |
| | 1,043 | | | TOTAL SA | | | 53,541 | |
| | 1,167 | | | TransCanada Corp. | | | 54,184 | |
| | 2,659 | | | Valero Energy Corp. | | | 171,798 | |
| | 1,548 | | | Veresen, Inc. | | | 17,271 | |
| | |
| Common Stocks – (continued) | |
| Oil, Gas & Consumable Fuels – (continued) | | | |
| | 301 | | | Vermilion Energy, Inc. | | | 10,597 | |
| | 490 | | | Woodside Petroleum Ltd. | | | 11,795 | |
| | | | | | | | |
| | | | | | | 2,514,156 | |
| | |
| Paper & Forest Products – 0.0% | | | |
| | 1,303 | | | Mondi PLC | | | 33,710 | |
| | 4,753 | | | Oji Holdings Corp. | | | 23,005 | |
| | 3,715 | | | Stora Enso Oyj Class R | | | 44,089 | |
| | 3,253 | | | UPM-Kymmene Oyj | | | 85,706 | |
| | 514 | | | West Fraser Timber Co. Ltd. | | | 23,097 | |
| | | | | | | | |
| | | | | | | 209,607 | |
| | |
| Personal Products – 0.2% | | | |
| | 808 | | | Beiersdorf AG | | | 80,357 | |
| | 129 | | | Edgewell Personal Care Co.* | | | 9,222 | |
| | 1,476 | | | Kao Corp. | | | 81,451 | |
| | 998 | | | Kose Corp. | | | 94,815 | |
| | 652 | | | L’Oreal SA | | | 129,846 | |
| | 3,148 | | | Pola Orbis Holdings, Inc. | | | 72,696 | |
| | 2,986 | | | Shiseido Co. Ltd. | | | 80,892 | |
| | 1,541 | | | The Estee Lauder Cos., Inc. Class A | | | 134,283 | |
| | 2,021 | | | Unilever NV | | | 105,871 | |
| | 2,727 | | | Unilever PLC | | | 140,299 | |
| | | | | | | | |
| | | | | | | 929,732 | |
| | |
| Pharmaceuticals – 0.5% | | | |
| | 4,261 | | | Astellas Pharma, Inc. | | | 56,190 | |
| | 534 | | | AstraZeneca PLC | | | 31,981 | |
| | 1,313 | | | Bayer AG | | | 162,462 | |
| | 1,865 | | | Bristol-Myers Squibb Co. | | | 104,533 | |
| | 1,009 | | | Daiichi Sankyo Co. Ltd. | | | 22,424 | |
| | 1,448 | | | Eli Lilly & Co. | | | 118,823 | |
| | 65 | | | Galenica AG | | | 70,628 | |
| | 7,225 | | | GlaxoSmithKline PLC | | | 145,424 | |
| | 174 | | | Jazz Pharmaceuticals PLC* | | | 27,715 | |
| | 3,307 | | | Johnson & Johnson | | | 408,315 | |
| | 2,423 | | | Mallinckrodt PLC* | | | 113,687 | |
| | 2,460 | | | Merck & Co., Inc. | | | 153,332 | |
| | 459 | | | Merck KGaA | | | 53,920 | |
| | 1,084 | | | Mitsubishi Tanabe Pharma Corp. | | | 22,019 | |
| | 2,837 | | | Mylan NV* | | | 105,962 | |
| | 1,128 | | | Novartis AG | | | 86,839 | |
| | 1,869 | | | Novo Nordisk A/S Class B | | | 72,773 | |
| | 1,654 | | | Orion Oyj Class B | | | 94,790 | |
| | 456 | | | Otsuka Holdings Co. Ltd. | | | 21,003 | |
| | 5,423 | | | Pfizer, Inc. | | | 183,948 | |
| | 708 | | | Roche Holding AG | | | 185,258 | |
| | 515 | | | Sanofi | | | 48,664 | |
| | 1,686 | | | Sumitomo Dainippon Pharma Co. Ltd. | | | 27,689 | |
| | 152 | | | Taisho Pharmaceutical Holdings Co. Ltd. | | | 12,507 | |
| | 346 | | | Takeda Pharmaceutical Co. Ltd. | | | 16,599 | |
| | 706 | | | Taro Pharmaceutical Industries Ltd.*(a) | | | 82,496 | |
| | 4,621 | | | Teva Pharmaceutical Industries Ltd. ADR | | | 145,931 | |
| | 3,255 | | | Valeant Pharmaceuticals International, Inc.* | | | 30,164 | |
| | 1,294 | | | Zoetis, Inc. | | | 72,606 | |
| | | | | | | | |
| | | | | | | 2,678,682 | |
| | |
| | |
| 18 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – (continued) | |
| Professional Services – 0.2% | | | |
| | 605 | | | Adecco Group AG | | $ | 44,953 | |
| | 512 | | | Bureau Veritas SA | | | 11,863 | |
| | 5,699 | | | Capita PLC | | | 41,077 | |
| | 109 | | | Equifax, Inc. | | | 14,749 | |
| | 2,016 | | | Experian PLC | | | 43,370 | |
| | 519 | | | IHS Markit Ltd.* | | | 22,525 | |
| | 323 | | | Intertek Group PLC | | | 17,000 | |
| | 798 | | | ManpowerGroup, Inc. | | | 80,582 | |
| | 329 | | | Nielsen Holdings PLC | | | 13,532 | |
| | 862 | | | Randstad Holding NV | | | 51,391 | |
| | 2,549 | | | Recruit Holdings Co. Ltd. | | | 128,832 | |
| | 1,573 | | | RELX NV | | | 30,396 | |
| | 1,956 | | | RELX PLC | | | 39,657 | |
| | 2,578 | | | Robert Half International, Inc. | | | 118,717 | |
| | 41 | | | SGS SA | | | 92,324 | |
| | 668 | | | The Dun & Bradstreet Corp. | | | 73,219 | |
| | 190 | | | Verisk Analytics, Inc.* | | | 15,734 | |
| | 1,240 | | | Wolters Kluwer NV | | | 52,618 | |
| | | | | | | | |
| | | | | | | 892,539 | |
| | |
| Real Estate Management & Development – 0.1% | | | |
| | 155 | | | Azrieli Group Ltd. | | | 8,245 | |
| | 11,727 | | | CapitaLand Ltd. | | | 31,510 | |
| | 1,192 | | | CBRE Group, Inc. Class A* | | | 42,686 | |
| | 6,299 | | | Cheung Kong Property Holdings Ltd. | | | 45,096 | |
| | 1,459 | | | City Developments Ltd. | | | 11,259 | |
| | 258 | | | Daito Trust Construction Co. Ltd. | | | 37,965 | |
| | 351 | | | Daiwa House Industry Co. Ltd. | | | 10,435 | |
| | 1,118 | | | First Capital Realty, Inc. | | | 16,249 | |
| | 6,630 | | | Global Logistic Properties Ltd. | | | 13,659 | |
| | 5,214 | | | Hang Lung Group Ltd. | | | 21,742 | |
| | 5,502 | | | Hang Lung Properties Ltd. | | | 14,416 | |
| | 1,244 | | | Henderson Land Development Co. Ltd. | | | 7,875 | |
| | 2,422 | | | Hongkong Land Holdings Ltd. | | | 18,666 | |
| | 1,551 | | | Hysan Development Co. Ltd. | | | 7,315 | |
| | 203 | | | Jones Lang LaSalle, Inc. | | | 23,317 | |
| | 11,550 | | | Kerry Properties Ltd. | | | 43,177 | |
| | 2,061 | | | LendLease Group | | | 24,744 | |
| | 409 | | | Mitsubishi Estate Co. Ltd. | | | 7,831 | |
| | 30,087 | | | New World Development Co. Ltd. | | | 37,413 | |
| | 8,676 | | | Sino Land Co. Ltd. | | | 14,682 | |
| | 345 | | | Sumitomo Realty & Development Co. Ltd. | | | 9,320 | |
| | 2,026 | | | Sun Hung Kai Properties Ltd. | | | 30,360 | |
| | 681 | | | Swire Pacific Ltd. Class A | | | 6,567 | |
| | 4,709 | | | Swire Properties Ltd. | | | 15,787 | |
| | 155 | | | Swiss Prime Site AG* | | | 13,437 | |
| | 3,680 | | | The Wharf Holdings Ltd. | | | 31,376 | |
| | 341 | | | Vonovia SE | | | 12,346 | |
| | 8,975 | | | Wheelock & Co. Ltd. | | | 69,910 | |
| | | | | | | | |
| | | | | | | 627,385 | |
| | |
| Road & Rail – 0.1% | | | |
| | 19 | | | AMERCO | | | 7,115 | |
| | 7,423 | | | Aurizon Holdings Ltd. | | | 28,624 | |
| | 699 | | | Canadian National Railway Co. | | | 50,526 | |
| | |
| Common Stocks – (continued) | |
| Road & Rail – (continued) | | | |
| | 150 | | | Central Japan Railway Co. | | | 25,156 | |
| | 1,040 | | | CSX Corp. | | | 52,874 | |
| | 196 | | | DSV A/S | | | 10,914 | |
| | 173 | | | East Japan Railway Co. | | | 15,526 | |
| | 319 | | | Hankyu Hanshin Holdings, Inc. | | | 10,538 | |
| | 290 | | | J.B. Hunt Transport Services, Inc. | | | 26,001 | |
| | 148 | | | Kansas City Southern | | | 13,330 | |
| | 2,587 | | | Keikyu Corp. | | | 29,696 | |
| | 1,113 | | | Keio Corp. | | | 8,913 | |
| | 2,638 | | | Kintetsu Group Holdings Co. Ltd. | | | 9,633 | |
| | 5,493 | | | MTR Corp. Ltd. | | | 31,602 | |
| | 2,395 | | | Nagoya Railroad Co. Ltd. | | | 11,002 | |
| | 8,968 | | | Nippon Express Co. Ltd. | | | 49,230 | |
| | 355 | | | Norfolk Southern Corp. | | | 41,709 | |
| | 381 | | | Odakyu Electric Railway Co. Ltd. | | | 7,396 | |
| | 2,305 | | | Tobu Railway Co. Ltd. | | | 11,691 | |
| | 1,014 | | | Tokyu Corp. | | | 7,263 | |
| | 807 | | | Union Pacific Corp. | | | 90,352 | |
| | 149 | | | West Japan Railway Co. | | | 9,956 | |
| | | | | | | | |
| | | | | | | 549,047 | |
| | |
| Semiconductors & Semiconductor Equipment – 0.3% | |
| | 4,004 | | | Advanced Micro Devices, Inc.* | | | 53,253 | |
| | 966 | | | Analog Devices, Inc. | | | 73,609 | |
| | 3,501 | | | Applied Materials, Inc. | | | 142,176 | |
| | 1,620 | | | ASM Pacific Technology Ltd. | | | 24,118 | |
| | 505 | | | ASML Holding NV | | | 66,776 | |
| | 445 | | | Broadcom Ltd. | | | 98,261 | |
| | 1,082 | | | Infineon Technologies AG | | | 22,364 | |
| | 7,642 | | | Intel Corp. | | | 276,258 | |
| | 668 | | | KLA-Tencor Corp. | | | 65,611 | |
| | 719 | | | Marvell Technology Group Ltd. | | | 10,799 | |
| | 389 | | | Maxim Integrated Products, Inc. | | | 17,174 | |
| | 512 | | | Microchip Technology, Inc. | | | 38,697 | |
| | 960 | | | Micron Technology, Inc.* | | | 26,563 | |
| | 959 | | | NVIDIA Corp. | | | 100,024 | |
| | 122 | | | NXP Semiconductors NV* | | | 12,902 | |
| | 892 | | | Qorvo, Inc.* | | | 60,683 | |
| | 2,012 | | | QUALCOMM, Inc. | | | 108,125 | |
| | 162 | | | Rohm Co. Ltd. | | | 11,377 | |
| | 607 | | | Skyworks Solutions, Inc. | | | 60,542 | |
| | 1,216 | | | STMicroelectronics NV | | | 19,521 | |
| | 2,550 | | | Texas Instruments, Inc. | | | 201,909 | |
| | 374 | | | Tokyo Electron Ltd. | | | 45,401 | |
| | 488 | | | Xilinx, Inc. | | | 30,798 | |
| | | | | | | | |
| | | | | | | 1,566,941 | |
| | |
| Software – 0.5% | |
| | 1,263 | | | Activision Blizzard, Inc. | | | 65,992 | |
| | 904 | | | Adobe Systems, Inc.* | | | 120,901 | |
| | 172 | | | ANSYS, Inc.* | | | 18,948 | |
| | 507 | | | Autodesk, Inc.* | | | 45,665 | |
| | 1,785 | | | CA, Inc. | | | 58,602 | |
| | 4,523 | | | Cadence Design Systems, Inc.* | | | 147,314 | |
| | 750 | | | CDK Global, Inc. | | | 48,757 | |
| | 90 | | | Check Point Software Technologies Ltd.* | | | 9,361 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 19 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Schedule of Investments (continued)
April 30, 2017 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – (continued) | |
| Software – (continued) | |
| | 1,323 | | | Citrix Systems, Inc.* | | $ | 107,084 | |
| | 253 | | | Constellation Software, Inc. | | | 115,714 | |
| | 258 | | | Dassault Systemes | | | 23,019 | |
| | 1,365 | | | Dell Technologies, Inc. Class V* | | | 91,605 | |
| | 660 | | | Electronic Arts, Inc.* | | | 62,581 | |
| | 826 | | | Fortinet, Inc.* | | | 32,214 | |
| | 1,049 | | | Gemalto NV | | | 58,730 | |
| | 1,251 | | | Intuit, Inc. | | | 156,638 | |
| | 975 | | | LINE Corp.* | | | 33,641 | |
| | 10,772 | | | Microsoft Corp. | | | 737,451 | |
| | 137 | | | Nice Ltd. | | | 9,254 | |
| | 74 | | | Nintendo Co. Ltd. | | | 18,727 | |
| | 5,338 | | | Nuance Communications, Inc.* | | | 95,497 | |
| | 488 | | | Open Text Corp. | | | 16,920 | |
| | 3,839 | | | Oracle Corp. | | | 178,890 | |
| | 749 | | | Red Hat, Inc.* | | | 65,972 | |
| | 652 | | | salesforce.com, Inc.* | | | 56,150 | |
| | 600 | | | SAP SE | | | 60,100 | |
| | 746 | | | ServiceNow, Inc.* | | | 70,482 | |
| | 670 | | | Splunk, Inc.* | | | 43,088 | |
| | 1,726 | | | Symantec Corp. | | | 54,593 | |
| | 1,327 | | | Synopsys, Inc.* | | | 97,800 | |
| | 10,272 | | | The Sage Group PLC | | | 89,162 | |
| | 533 | | | VMware, Inc. Class A*(a) | | | 50,166 | |
| | | | | | | | |
| | | | | | | 2,841,018 | |
| | |
| Specialty Retail – 0.5% | |
| | 280 | | | ABC-Mart, Inc. | | | 15,565 | |
| | 350 | | | Advance Auto Parts, Inc. | | | 49,749 | |
| | 582 | | | AutoNation, Inc.* | | | 24,444 | |
| | 165 | | | AutoZone, Inc.* | | | 114,211 | |
| | 3,598 | | | Bed Bath & Beyond, Inc. | | | 139,422 | |
| | 3,170 | | | Best Buy Co., Inc. | | | 164,238 | |
| | 213 | | | CarMax, Inc.* | | | 12,460 | |
| | 1,778 | | | Dick’s Sporting Goods, Inc. | | | 89,878 | |
| | 2,503 | | | Dixons Carphone PLC | | | 10,873 | |
| | 85 | | | Dufry AG* | | | 13,928 | |
| | 170 | | | Fast Retailing Co. Ltd. | | | 55,525 | |
| | 1,496 | | | Foot Locker, Inc. | | | 115,701 | |
| | 5,325 | | | Hennes & Mauritz AB | | | 131,850 | |
| | 684 | | | Hikari Tsushin, Inc. | | | 65,693 | |
| | 2,795 | | | Industria de Diseno Textil SA | | | 107,108 | |
| | 16,408 | | | Kingfisher PLC | | | 72,588 | |
| | 1,931 | | | L Brands, Inc. | | | 101,976 | |
| | 1,876 | | | Lowe’s Cos., Inc. | | | 159,235 | |
| | 723 | | | Nitori Holdings Co. Ltd. | | | 94,071 | |
| | 439 | | | O’Reilly Automotive, Inc.* | | | 108,938 | |
| | 2,138 | | | Ross Stores, Inc. | | | 138,970 | |
| | 143 | | | Shimamura Co. Ltd. | | | 19,571 | |
| | 671 | | | Signet Jewelers Ltd. | | | 44,179 | |
| | 13,806 | | | Staples, Inc. | | | 134,885 | |
| | 5,394 | | | The Gap, Inc. | | | 141,323 | |
| | 2,223 | | | The Home Depot, Inc. | | | 347,010 | |
| | 2,008 | | | The TJX Cos., Inc. | | | 157,909 | |
| | 727 | | | Tiffany & Co. | | | 66,630 | |
| | 1,621 | | | Tractor Supply Co. | | | 100,356 | |
| | |
| Common Stocks – (continued) | |
| Specialty Retail – (continued) | |
| | 344 | | | Ulta Salon, Cosmetics & Fragrance, Inc.* | | | 96,815 | |
| | 951 | | | USS Co. Ltd. | | | 16,824 | |
| | 6,591 | | | Yamada Denki Co. Ltd. | | | 34,613 | |
| | | | | | | | |
| | | | | | | 2,946,538 | |
| | |
| Technology Hardware, Storage & Peripherals – 0.3% | |
| | 8,708 | | | Apple, Inc. | | | 1,250,904 | |
| | 2,837 | | | Brother Industries Ltd. | | | 58,373 | |
| | 704 | | | Canon, Inc. | | | 23,364 | |
| | 1,078 | | | FUJIFILM Holdings Corp. | | | 40,010 | |
| | 3,587 | | | Hewlett Packard Enterprise Co. | | | 66,826 | |
| | 3,269 | | | HP, Inc. | | | 61,523 | |
| | 6,164 | | | Konica Minolta, Inc. | | | 54,568 | |
| | 692 | | | NetApp, Inc. | | | 27,576 | |
| | 504 | | | Seagate Technology PLC | | | 21,233 | |
| | 547 | | | Seiko Epson Corp. | | | 11,204 | |
| | 690 | | | Western Digital Corp. | | | 61,458 | |
| | 8,495 | | | Xerox Corp. | | | 61,079 | |
| | | | | | | | |
| | | | | | | 1,738,118 | |
| | |
| Textiles, Apparel & Luxury Goods – 0.3% | |
| | 860 | | | adidas AG | | | 172,420 | |
| | 1,656 | | | Asics Corp. | | | 29,309 | |
| | 6,327 | | | Burberry Group PLC | | | 132,223 | |
| | 397 | | | Christian Dior SE | | | 108,883 | |
| | 120 | | | Cie Financiere Richemont SA | | | 10,027 | |
| | 2,656 | | | Coach, Inc. | | | 104,620 | |
| | 308 | | | Hermes International | | | 147,245 | |
| | 1,398 | | | HUGO BOSS AG | | | 106,309 | |
| | 100 | | | Kering | | | 30,996 | |
| | 1,566 | | | Lululemon Athletica, Inc.* | | | 81,432 | |
| | 1,882 | | | Luxottica Group SpA | | | 108,800 | |
| | 423 | | | LVMH Moet Hennessy Louis Vuitton SE | | | 104,425 | |
| | 3,401 | | | Michael Kors Holdings Ltd.* | | | 126,959 | |
| | 2,403 | | | NIKE, Inc. Class B | | | 133,150 | |
| | 257 | | | Pandora A/S | | | 27,764 | |
| | 623 | | | PVH Corp. | | | 62,942 | |
| | 1,563 | | | Ralph Lauren Corp. | | | 126,165 | |
| | 205 | | | The Swatch Group AG | | | 25,901 | |
| | 3,776 | | | Under Armour, Inc. Class A*(a) | | | 81,146 | |
| | 4,763 | | | Under Armour, Inc. Class C* | | | 92,450 | |
| | 1,895 | | | VF Corp. | | | 103,524 | |
| | | | | | | | |
| | | | | | | 1,916,690 | |
| | |
| Thrifts & Mortgage Finance – 0.0% | |
| | 838 | | | New York Community Bancorp, Inc. | | | 11,137 | |
| | |
| Tobacco – 0.1% | |
| | 2,185 | | | Altria Group, Inc. | | | 156,839 | |
| | 2,003 | | | British American Tobacco PLC | | | 135,329 | |
| | 580 | | | Imperial Tobacco Group PLC | | | 28,405 | |
| | 552 | | | Japan Tobacco, Inc. | | | 18,368 | |
| | 2,339 | | | Philip Morris International, Inc. | | | 259,255 | |
| | 828 | | | Reynolds American, Inc. | | | 53,406 | |
| | 796 | | | Swedish Match AB | | | 26,249 | |
| | | | | | | | |
| | | | | | | 677,851 | |
| | |
| | |
| 20 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – (continued) | |
| Trading Companies & Distributors – 0.1% | |
| | 180 | | | AerCap Holdings NV* | | $ | 8,282 | |
| | 1,304 | | | Ashtead Group PLC | | | 27,509 | |
| | 126 | | | Brenntag AG | | | 7,469 | |
| | 478 | | | Bunzl PLC | | | 14,901 | |
| | 2,442 | | | Fastenal Co. | | | 109,109 | |
| | 1,285 | | | Finning International, Inc. | | | 24,438 | |
| | 2,824 | | | Itochu Corp. | | | 39,960 | |
| | 4,690 | | | Marubeni Corp. | | | 28,908 | |
| | 1,836 | | | MISUMI Group, Inc. | | | 34,783 | |
| | 2,607 | | | Mitsubishi Corp. | | | 56,259 | |
| | 4,376 | | | Mitsui & Co. Ltd. | | | 61,792 | |
| | 2,680 | | | Rexel SA | | | 47,860 | |
| | 4,238 | | | Sumitomo Corp. | | | 56,634 | |
| | 1,167 | | | Toyota Tsusho Corp. | | | 36,846 | |
| | 381 | | | United Rentals, Inc.* | | | 41,780 | |
| | 429 | | | W.W. Grainger, Inc. | | | 82,668 | |
| | 1,602 | | | Wolseley PLC | | | 101,818 | |
| | | | | | | | |
| | | | | | | 781,016 | |
| | |
| Transportation Infrastructure – 0.0% | |
| | 805 | | | Abertis Infraestructuras SA | | | 14,152 | |
| | 189 | | | Aena SA(b) | | | 33,323 | |
| | 88 | | | Aeroports de Paris | | | 11,738 | |
| | 580 | | | Atlantia SpA | | | 14,708 | |
| | 133 | | | Fraport AG Frankfurt Airport Services Worldwide | | | 10,464 | |
| | 1,026 | | | Kamigumi Co. Ltd. | | | 9,323 | |
| | 463 | | | Macquarie Infrastructure Corp. | | | 37,674 | |
| | 5,706 | | | SATS Ltd. | | | 20,807 | |
| | 2,220 | | | Sydney Airport | | | 11,466 | |
| | 1,496 | | | Transurban Group | | | 13,667 | |
| | | | | | | | |
| | | | | | | 177,322 | |
| | |
| Water Utilities – 0.0% | |
| | 334 | | | American Water Works Co., Inc. | | | 26,640 | |
| | 588 | | | Severn Trent PLC | | | 17,700 | |
| | 1,441 | | | United Utilities Group PLC | | | 18,160 | |
| | | | | | | | |
| | | | | | | 62,500 | |
| | |
| Wireless Telecommunication Services – 0.0% | |
| | 938 | | | KDDI Corp. | | | 24,870 | |
| | 673 | | | NTT DOCOMO, Inc. | | | 16,284 | |
| | 333 | | | Rogers Communications, Inc. Class B | | | 15,269 | |
| | 810 | | | SoftBank Group Corp. | | | 61,441 | |
| | 2,860 | | | Sprint Corp.* | | | 25,826 | |
| | 16,649 | | | StarHub Ltd. | | | 33,199 | |
| | 814 | | | T-Mobile US, Inc.* | | | 54,758 | |
| | 12,692 | | | Vodafone Group PLC | | | 32,690 | |
| | | | | | | | |
| | | | | | | 264,337 | |
| | |
| | TOTAL COMMON STOCKS | |
| | (Cost $68,519,267) | | $ | 71,798,974 | |
| | |
Shares | | | Rate | | Value | |
| Preferred Stocks – 0.0% | |
| Automobiles – 0.0% | | | |
| | Volkswagen AG | |
| | 61 | | | 0.120% | | $ | 9,684 | |
| | |
| Chemicals – 0.0% | | | |
| | Fuchs Petrolub SE | |
| | 1,468 | | | 1.890 | | | 75,718 | |
| | |
| | TOTAL PREFERRED STOCKS | | | | |
| | (Cost $76,857) | | $ | 85,402 | |
| | |
| | | | | | | | | | |
| Contracts | | | Exercise
Price | | Expiration
Date | | Value | |
| Option Contracts Purchased – 4.2% | |
| Options on Futures – 4.2% | |
| | Credit Suisse International (London) Call – Eurodollar Futures | |
| | 440 | | | 97.750% | | 03/19/18 | | | 750,750 | |
| | Credit Suisse International (London) Call – Eurodollar Futures | |
| | 120 | | | 98.125 | | 12/17/18 | | | 81,750 | |
| | Credit Suisse International (London) Call – Eurodollar Futures | |
| | 99 | | | 98.375 | | 06/18/18 | | | 39,600 | |
| | Credit Suisse International (London) Call – Eurodollar Futures | |
| | 108 | | | 98.500 | | 06/19/17 | | | 58,050 | |
| | Credit Suisse International (London) Call – Eurodollar Futures | |
| | 99 | | | 97.875 | | 03/18/19 | | | 103,950 | |
| | Credit Suisse International (London) Call – Eurodollar Futures | |
| | 104 | | | 98.000 | | 12/17/18 | | | 88,400 | |
| | Credit Suisse International (London) Call – Eurodollar Futures | |
| | 80 | | | 98.125 | | 09/17/18 | | | 55,500 | |
| | Credit Suisse International (London) Call – Eurodollar Futures | |
| | 33 | | | 98.250 | | 06/18/18 | | | 18,563 | |
| | Credit Suisse International (London) Call – Eurodollar Futures | |
| | 1,709 | | | 98.000 | | 09/18/17 | | | 2,563,500 | |
| | Credit Suisse International (London) Call – Eurodollar Futures | |
| | 1,705 | | | 98.125 | | 06/19/17 | | | 2,514,875 | |
| | Credit Suisse International (London) Call – Eurodollar Futures | |
| | 1,655 | | | 97.000 | | 12/18/17 | | | 6,268,312 | |
| | Credit Suisse International (London) Put – Eurodollar Futures | |
| | 1,655 | | | 100.000 | | 03/16/20 | | | 8,916,312 | |
| | Credit Suisse International (London) Call – Eurodollar Futures | |
| | 1,517 | | | 97.875 | | 12/18/17 | | | 2,427,200 | |
| | Credit Suisse International (London) Call – Eurodollar Futures | |
| | 112 | | | 98.250 | | 09/17/18 | | | 59,500 | |
| | Credit Suisse International (London) Call – Eurodollar Futures | |
| | 71 | | | 98.375 | | 03/19/18 | | | 30,175 | |
| | Credit Suisse International (London) Call – Eurodollar Futures | |
| | 141 | | | 98.000 | | 03/18/19 | | | 122,494 | |
| | Credit Suisse International (London) Call – Eurodollar Futures | |
| | 166 | | | 97.750 | | 06/17/19 | | | 208,538 | |
| | |
| | TOTAL OPTION CONTRACTS PURCHASED – 4.2% | |
| | (Cost $26,429,619) | | $ | 24,307,469 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 21 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Schedule of Investments (continued)
April 30, 2017 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| Exchange Traded Funds – 73.0% | |
| | 2,188,676 | | | iShares Core MSCI Emerging Markets ETF | | $ | 106,588,521 | |
| | 534 | | | iShares MSCI Canada ETF | | | 14,023 | |
| | 1,672,960 | | | iShares MSCI EAFE ETF | | | 106,734,848 | |
| | 703,341 | | | iShares MSCI EAFE Small-Cap ETF | | | 39,682,499 | |
| | 790,616 | | | Vanguard S&P 500 ETF | | | 172,828,658 | |
| | |
| | TOTAL EXCHANGE TRADED FUNDS | |
| | (Cost $390,291,850) | | $ | 425,848,549 | |
| | |
| | | | | | | | |
| Shares | | | Distribution
Rate | | Value | |
| Investment Company(c)(d) – 8.1% | |
| Goldman Sachs Financial Square Government Fund –
Institutional Shares |
|
| | 47,346,522 | | | 0.660% | | $ | 47,346,522 | |
| | (Cost $47,346,522) | | | | |
| | |
| | TOTAL INVESTMENT COMPANIES | | | | |
| | (Cost $47,346,522) | | $ | 47,346,522 | |
| | |
| TOTAL INVESTMENTS BEFORE SECURITIES
LENDING REINVESTMENT VEHICLE | | | | |
| | (Cost $532,664,115) | | | 569,386,916 | |
| | |
| | | | | | | | |
| Securities Lending Reinvestment Vehicle(c)(d) – 0.1% | |
| Goldman Sachs Financial Square Government Fund –
Institutional Shares |
|
| | 417,088 | | | 0.660% | | | 417,088 | |
| | (Cost $417,088) | | | | |
| | |
| | TOTAL INVESTMENTS – 97.7% | | | | |
| | (Cost $533,081,203) | | $ | 569,804,004 | |
| | |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 2.3% | | | 13,349,108 | |
| | |
| | NET ASSETS – 100.0% | | $ | 583,153,112 | |
| | |
| | |
| 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. 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 $495,067, which represents approximately 0.1% of net assets as of April 30, 2017. |
(c) | | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on April 30, 2017. |
(d) | | Represents an Affiliated Fund. |
| | |
|
Currency Legend |
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: |
ADR | | —American Depositary Receipt |
ETF | | —Exchange Traded Fund |
PLC | | —Public Limited Company |
REIT | | —Real Estate Investment Trust |
|
| | |
| 22 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
|
| ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At April 30, 2017, 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 | | CHF | | | 1,690,000 | | | USD | | | 1,678,889 | | | $ | 1,704,079 | | | | 06/21/17 | | | $ | 25,190 | |
| | DKK | | | 2,470,000 | | | USD | | | 353,093 | | | | 362,726 | | | | 06/21/17 | | | | 9,633 | |
| | EUR | | | 5,460,000 | | | USD | | | 5,799,552 | | | | 5,963,424 | | | | 06/21/17 | | | | 163,872 | |
| | GBP | | | 2,925,000 | | | USD | | | 3,579,548 | | | | 3,794,175 | | | | 06/21/17 | | | | 214,628 | |
| | ILS | | | 200,000 | | | USD | | | 54,673 | | | | 55,314 | | | | 06/21/17 | | | | 642 | |
| | JPY | | | 566,000,000 | | | USD | | | 4,987,918 | | | | 5,087,971 | | | | 06/21/17 | | | | 100,053 | |
| | SEK | | | 5,325,000 | | | USD | | | 594,490 | | | | 602,854 | | | | 06/21/17 | | | | 8,364 | |
| | SGD | | | 350,000 | | | USD | | | 248,246 | | | | 250,646 | | | | 06/21/17 | | | | 2,400 | |
| | USD | | | 7,964,653 | | | AUD | | | 10,500,000 | | | | 7,855,124 | | | | 06/21/17 | | | | 109,529 | |
| | USD | | | 6,022,455 | | | CAD | | | 8,070,000 | | | | 5,916,539 | | | | 06/21/17 | | | | 105,915 | |
| | USD | | | 3,325,910 | | | HKD | | | 25,790,000 | | | | 3,319,288 | | | | 06/21/17 | | | | 6,623 | |
| | USD | | | 765,515 | | | JPY | | | 85,000,000 | | | | 764,095 | | | | 06/21/17 | | | | 1,421 | |
| | USD | | | 638,210 | | | NOK | | | 5,400,000 | | | | 629,320 | | | | 06/21/17 | | | | 8,890 | |
| | | USD | | | 176,403 | | | NZD | | | 250,000 | | | | 171,423 | | | | 06/21/17 | | | | 4,979 | |
| TOTAL | | | | | | | | | | | $ | 762,139 | |
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 | | | 2,140,000 | | | USD | | | 1,621,067 | | | $ | 1,600,949 | | | | 06/21/17 | | | $ | (20,118 | ) |
| | CAD | | | 6,010,000 | | | USD | | | 4,503,573 | | | | 4,406,246 | | | | 06/21/17 | | | | (97,328 | ) |
| | HKD | | | 4,870,000 | | | USD | | | 628,110 | | | | 626,791 | | | | 06/21/17 | | | | (1,319 | ) |
| | NOK | | | 1,150,000 | | | USD | | | 136,274 | | | | 134,022 | | | | 06/21/17 | | | | (2,253 | ) |
| | NZD | | | 50,000 | | | USD | | | 34,714 | | | | 34,285 | | | | 06/21/17 | | | | (430 | ) |
| | USD | | | 8,947,770 | | | CHF | | | 9,000,000 | | | | 9,074,978 | | | | 06/21/17 | | | | (127,208 | ) |
| | USD | | | 1,695,620 | | | DKK | | | 11,920,000 | | | | 1,750,484 | | | | 06/21/17 | | | | (54,864 | ) |
| | USD | | | 31,432,255 | | | EUR | | | 29,750,000 | | | | 32,493,014 | | | | 06/21/17 | | | | (1,060,759 | ) |
| | USD | | | 18,362,613 | | | GBP | | | 14,900,000 | | | | 19,327,595 | | | | 06/21/17 | | | | (964,981 | ) |
| | USD | | | 263,907 | | | ILS | | | 960,000 | | | | 265,509 | | | | 06/21/17 | | | | (1,602 | ) |
| | USD | | | 23,457,686 | | | JPY | | | 2,671,000,000 | | | | 24,010,548 | | | | 06/21/17 | | | | (552,862 | ) |
| | USD | | | 34,950 | | | NOK | | | 300,000 | | | | 34,962 | | | | 06/21/17 | | | | (12 | ) |
| | USD | | | 2,960,832 | | | SEK | | | 26,700,000 | | | | 3,022,762 | | | | 06/21/17 | | | | (61,931 | ) |
| | | USD | | | 1,328,916 | | | SGD | | | 1,870,000 | | | | 1,339,167 | | | | 06/21/17 | | | | (10,252 | ) |
| TOTAL | | | | | | | | | | | $ | (2,955,919 | ) |
FUTURES CONTRACTS — At April 30, 2017, the Fund had the following futures contracts:
| | | | | | | | | | | | | | |
| Type | | Number of
Contracts
Long (Short) | | Expiration
Date | | | Current
Value | | | Unrealized
Gain (Loss) | |
Russell 2000 Mini Index | | 840 | | | June 2017 | | | $ | 58,732,800 | | | $ | 1,398,301 | |
S&P Toronto Stock Exchange 60 Index | | 107 | | | June 2017 | | | | 14,372,748 | | | | 73,975 | |
| TOTAL | | | | | | | | | | | | $ | 1,472,276 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 23 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Statement of Assets and Liabilities
April 30, 2017 (Unaudited)
| | | | | | |
| | | | | | |
| | Assets: | |
| | Investments of unaffiliated issuers, at value (cost $485,317,593)(a) | | $ | 522,040,394 | |
| | Investments of affiliated issuers, at value (cost $47,346,522) | | | 47,346,522 | |
| | Investments in securities lending reinvestment vehicle — affiliated issuer, at value which equals cost | | | 417,088 | |
| | Cash | | | 8,629,539 | |
| | Foreign currencies, at value (cost $141,943) | | | 146,150 | |
| | Unrealized gain on forward foreign currency exchange contracts | | | 762,139 | |
| | Receivables: | | | | |
| | Collateral on certain derivative contracts(b) | | | 7,827,332 | |
| | Dividends | | | 152,422 | |
| | Reimbursement from investment adviser | | | 66,158 | |
| | Foreign tax reclaims | | | 12,752 | |
| | Securities lending income | | | 773 | |
| | Other assets | | | 1,195 | |
| | Total assets | | | 587,402,464 | |
| | | | | | |
| | Liabilities: | | | | |
| | Unrealized loss on forward foreign currency exchange contracts | | | 2,955,919 | |
| | Variation margin on certain derivative contracts | | | 802,101 | |
| | Payables: | | | | |
| | Payable upon return of securities loaned | | | 417,088 | |
| | Investments purchased | | | 23,569 | |
| | Transfer Agency fees | | | 9,438 | |
| | Accrued expenses | | | 41,237 | |
| | Total liabilities | | | 4,249,352 | |
| | | | | | |
| | Net Assets: | | | | |
| | Paid-in capital | | | 543,717,651 | |
| | Distributions in excess of net investment income | | | (144,741 | ) |
| | Accumulated net realized gain | | | 3,574,416 | |
| | Net unrealized gain | | | 36,005,786 | |
| | NET ASSETS | | $ | 583,153,112 | |
| | Shares Outstanding $0.001 par value (unlimited number of shares authorized): | | | 54,105,259 | |
| | Net asset value, offering and redemption price per share: | | | $10.78 | |
| | (a) | | Includes loaned securities having a market value of $406,746. |
| | (b) | | Includes amount segregated for initial margin and/or collateral on forward and futures transactions of $3,797,332 and $4,030,000, respectively. |
| | |
| 24 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Statement of Operations
For the Six Months Ended April 30, 2017 (Unaudited)
| | | | | | |
| | | | | | |
| | Investment income: | |
| | Dividends — unaffiliated issuers (net of foreign withholding taxes of $23,889) | | $ | 2,763,784 | |
| | Dividends — affiliated issuers | | | 69,101 | |
| | Securities lending income — affiliated issuer | | | 7,788 | |
| | Interest | | | 3,585 | |
| | Total investment income | | | 2,844,258 | |
| | | | | | |
| | Expenses: | | | | |
| | Management fees | | | 525,101 | |
| | Professional fees | | | 43,848 | |
| | Transfer Agency fees | | | 35,007 | |
| | Custody, accounting and administrative services | | | 33,886 | |
| | Printing and mailing costs | | | 17,604 | |
| | Registration fees | | | 11,028 | |
| | Trustee fees | | | 8,434 | |
| | Other | | | 6,659 | |
| | Total expenses | | | 681,567 | |
| | Less — expense reductions | | | (546,491 | ) |
| | Net expenses | | | 135,076 | |
| | NET INVESTMENT INCOME | | | 2,709,182 | |
| | | | | | |
| | Realized and unrealized gain (loss): | | | | |
| | Net realized gain (loss) from: | | | | |
| | Investments — unaffiliated issuers | | | (575,220 | ) |
| | Futures contracts | | | 1,604,491 | |
| | Forward foreign currency exchange contracts | | | 3,717,753 | |
| | Foreign currency transactions | | | (40,110 | ) |
| | Net change in unrealized gain on: | | | | |
| | Investments | | | 31,568,732 | |
| | Futures contracts | | | 2,110,940 | |
| | Forward foreign currency exchange contracts | | | (3,470,484 | ) |
| | Foreign currency translation | | | 6,177 | |
| | Net realized and unrealized gain | | | 34,922,279 | |
| | NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 37,631,461 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 25 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | | | For the
Six Months Ended
April 30, 2017
(Unaudited) | | | For the Fiscal
Year Ended
October 31, 2016 | |
| | From operations: | | | | | | | | |
| | Net investment income | | $ | 2,709,182 | | | $ | 2,689,429 | |
| | Net realized gain (loss) | | | 4,706,914 | | | | (1,188,397 | ) |
| | Net change in unrealized gain | | | 30,215,365 | | | | 2,992,072 | |
| | Net increase in net assets resulting from operations | | | 37,631,461 | | | | 4,493,104 | |
| | | | | | | | | | |
| | Distributions to shareholders: | | | | | | | | |
| | From net investment income | | | (3,930,110 | ) | | | (1,511,756 | ) |
| | From net realized gains | | | — | | | | (327,168 | ) |
| | Total distributions to shareholders | | | (3,930,110 | ) | | | (1,838,924 | ) |
| | | | | | | | | | |
| | From share transactions: | | | | | | | | |
| | Proceeds from sales of shares | | | 402,625,755 | | | | 44,950,010 | |
| | Reinvestment of distributions | | | 3,930,110 | | | | 1,838,924 | |
| | Cost of shares redeemed | | | (1,350,005 | ) | | | (42,181,348 | ) |
| | Net increase in net assets resulting from share transactions | | | 405,205,860 | | | | 4,607,586 | |
| | TOTAL INCREASE | | | 438,907,211 | | | | 7,261,766 | |
| | | | | | | | | | |
| | Net assets: | | | | | | | | |
| | Beginning of period | | | 144,245,901 | | | | 136,984,135 | |
| | End of period | | $ | 583,153,112 | | | $ | 144,245,901 | |
| | Undistributed (distributions in excess of) net investment income (loss) | | $ | (144,741 | ) | | $ | 1,076,187 | |
| | |
| 26 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA 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) | |
| | 2017 - Institutional | | $ | 9.84 | | | $ | 0.08 | | | $ | 1.06 | | | $ | 1.14 | | | $ | (0.20 | ) | | $ | — | | | $ | (0.20 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE FISCAL YEAR ENDED OCTOBER 31, | |
| | 2016 - Institutional | | | 9.68 | | | | 0.18 | | | | 0.11 | | | | 0.29 | | | | (0.11 | ) | | | (0.02 | ) | | | (0.13 | ) | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE PERIOD ENDED OCTOBER 31, | |
| | 2015 - Institutional (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 impact of taxes to shareholder relating to 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 other investment companies and exchange traded 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) | | Portfolio Turnover rounds to less than 0.5%. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 27 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 10.78 | | | | | | 11.73 | % | | | | $ | 583,153 | | | | | | 0.08 | %(e) | | | | | 0.39 | %(e) | | | | | 1.55 | %(e) | | | | | 2 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 9.84 | | | | | | 3.08 | | | | | | 144,246 | | | | | | 0.17 | | | | | | 0.48 | | | | | | 1.90 | | | | | | 37 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 9.68 | | | | | | (3.20 | ) | | | | | 136,984 | | | | | | 0.37 | (e) | | | | | 0.68 | (e) | | | | | 1.04 | (e) | | | | | — | (f) |
| | |
| 28 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Notes to Financial Statements
April 30, 2017 (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. Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (formerly 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, dividend income, net of any foreign withholding taxes, less any amounts reclaimable, and securities lending income. 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 Fund’s 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 Fund 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. 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, if any, 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.
29
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
E. Foreign Currency Translation — The accounting records and reporting currency of the Fund 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 Statement 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 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.
30
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
|
| 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.
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 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.
31
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 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. Options — When the Fund writes call or put options, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on 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.
32
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
|
| 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, 2017:
| | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
Africa | | $ | — | | | $ | 101,934 | | | $ | — | |
Asia | | | 301,265 | | | | 8,888,433 | | | | — | |
Australia and Oceania | | | 14,995 | | | | 2,152,459 | | | | — | |
Europe | | | 886,713 | | | | 15,376,679 | | | | — | |
North America | | | 43,994,677 | | | | 117,197 | | | | — | |
South America | | | 40,975 | | | | 9,049 | | | | — | |
Exchange Traded Funds | | | 425,848,549 | | | | — | | | | — | |
Investment Company | | | 47,346,522 | | | | — | | | | — | |
Securities Lending Reinvestment Vehicle | | | 417,088 | | | | — | | | | — | |
| Total | | $ | 518,850,784 | | | $ | 26,645,751 | | | $ | — | |
| | | |
| Derivative Type | | | | | | | | | |
| Assets | | | | | | | | | | | | |
Options Purchased | | $ | 24,307,469 | | | $ | — | | | $ | — | |
Forward Foreign Currency Exchange Contracts(b) | | | — | | | | 762,139 | | | | — | |
Futures Contracts(b) | | | 1,472,276 | | | | — | | | | — | |
| Total | | $ | 25,779,745 | | | $ | 762,139 | | | $ | — | |
| Liabilities(b) | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | $ | — | | | $ | (2,955,919 | ) | | $ | — | |
| (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. The Funds utilize fair value model prices provided by an independent fair value service for international equities, resulting in a Level 2 classification. |
| (b) | | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Schedule of Investments.
33
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 4. INVESTMENTS IN DERIVATIVES |
The following tables set forth, by certain risk types, the gross value of derivative contracts as of April 30, 2017. 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 tables 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 | | Statements of Assets and Liabilities | | Assets | | | Statements of Assets and Liabilities | | Liabilities | |
Interest | | Investment, at value | | $ | 24,307,469 | | | — | | $ | — | |
Currency | | Receivable for unrealized gain on forward foreign currency exchange contracts | | | 762,139 | | | Payable for unrealized loss on forward foreign currency exchange contracts | | | (2,955,919) | |
Equity | | Variation margin on certain derivative contracts(a) | | | 1,472,276 | | | — | | | — | |
| Total | | | | $ | 26,541,884 | | | | | $ | (2,955,919) | |
| (a) | | Represents unrealized gain (loss) on futures contracts described in the Additional Investment Information section of the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities. |
The following tables set 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, 2017. 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 | | Statements of Operations | | Net Realized
Gain (Loss) | | | Net Change in
Unrealized
Gain (Loss) | | | Average
Number of
Contracts(a) | |
| Interest | | Net realized gain (loss) from investments and future contracts/Net unrealized gain (loss) on investments | | $ | (294,527 | ) | | $ | (1,759,372 | ) | | | 19 | |
| Currency | | Net realized gain (loss) from forward foreign currency exchange contracts and/Net unrealized gain (loss) on forward foreign currency exchange contracts | | | 3,717,753 | | | | (3,470,484 | ) | | | 45 | |
| Equity | | Net realized gain (loss) on futures contracts/Net unrealized gain (loss) on futures contracts. | | | 1,603,933 | | | | 2,110,940 | | | | 665 | |
| Total | | | | $ | 5,027,159 | | | $ | (3,118,916 | ) | | | 729 | |
| (a) | | Average number of contracts is based on the average of month end balances for the six months ended April 30, 2017. |
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.
34
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
|
| 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 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.
|
| 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% the Fund’s 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 28, 2018 and prior to such date GSAM may not terminate this arrangement without the approval of the Trustees. For the six months ended April 30, 2017, GSAM waived $525,101 in management fees.
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. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to limit certain “Other Expenses” of the Fund (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 the Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Fund is 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 Fund are 0.204%. For the six months ended April 30, 2017, the Fund did not have any other expense reimbursements from GSAM.
The Fund invests in 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 the management fee it earns as an
35
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
investment adviser to any of the affiliated money market funds in which the Fund invests. For the six months ended April 30, 2017, GSAM waived $21,390 of the Fund’s management fee.
These Other Expense limitations will remain in place through at least February 28, 2018 and prior to such GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Fund has entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Fund’s expenses and are received irrespective of the application of the “Other Expense” limitations described above.
D. Line of Credit Facility — As of April 30, 2017, the Fund participated in a $1,100,000,000 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. 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, 2017, the Fund did not have any borrowings under the facility. The facility was renewed in the amount of $1,100,000,000 effective May 2, 2017.
E. Other Transactions with Affiliates — The table below shows the transaction in and earnings from investments in the Underlying Fund For the six months ended April 30, 2017:
| | | | | | | | | | | | | | | | | | | | |
| Underlying Funds | | Market Value
10/31/2016 | | | Purchases
at Cost | | | Proceeds
from Sales | | | Market Value
4/30/2017 | | | Dividend
Income | |
Goldman Sachs Financial Square Government Fund — Institutional Shares | | $ | 18,075,352 | | | $ | 94,359,280 | | | $ | 65,088,110 | | | $ | 47,346,522 | | | $ | 69,101 | |
|
| 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, 2017, were $361,894,885 and $ 6,976,535, respectively.
The Fund may lend its securities through a securities lending agent, the Bank of New York Mellon (“BNYM”), to certain qualified borrowers. In accordance with the Fund’s securities lending procedures, the Fund receives 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 Fund, at its 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 Fund on the next business day. As with other extensions of credit, the Fund may experience delay in the recovery of their securities or incur a loss should the borrower of the securities breach its agreement with the Fund 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 Statement 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.
Effective December 31, 2016, the Global Managed Beta began lending its securities and investing the cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund (“Government Money Market Fund”), an affiliated series of the Trust. The Government Money Market Fund is registered under the Act as an open end
36
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
|
| 7. SECURITIES LENDING (continued) |
investment company, is subject to Rule 2a-7 under the Act, and is managed by GSAM, for which GSAM may receive a management fee of up to 0.205% on an annualized basis of the average daily net assets of the Government Money Market Fund.
In the event of a default by a borrower with respect to any loan, BNYM may exercise any and all remedies provided under the applicable borrower agreement to make the Fund 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 BNYM is unable to purchase replacement securities, BNYM will indemnify the Fund by paying the Fund an amount equal to the market value of the securities loaned minus the value of the cash collateral received from the borrower for the loan, subject to an exclusion for any shortfalls resulting from a loss of value in such cash collateral due to reinvestment risk. The Portfolio’s 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 amounts of the Fund’s overnight and continuous agreements represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of April 30, 2017 are disclosed as “Payable upon return of securities loaned” on the Statement of Assets and Liabilities.
Both the Fund and BNYM received compensation relating to the lending of the Fund’s securities. The amounts earned, if any, by the Fund for the six months ended April 30, 2017, are reported under Investment Income on the Statement of Operations.
The following table provides information about the Fund’s investments in the Government Money Market Fund for the six months ended April 30, 2017:
| | | | | | | | | | | | | | | | | | |
Number of
Shares Held
Beginning
of Period | | | Shares
Bought | | | Shares
Sold | | | Number of
Shares Held
End of Period | | | Value at
End of Period | |
| | — | | | | 171,675,607 | | | | 171,258,519 | | | | 417,088 | | | $ | 417,088 | |
As of the Fund’s most recent fiscal year end October 31, 2016 the Fund’s capital loss carry forwards and certain timing differences on a tax basis were as follows:
| | | | |
Capital loss carryforwards: | | | | |
Perpetual Short-term | | $ | (113,474 | ) |
Timing differences (Straddle Deferral) | | $ | (11,825 | ) |
As of April 30, 2017, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| | | | |
Tax Cost | | $ | 535,164,973 | |
Gross unrealized gain | | | 40,674,811 | |
Gross unrealized loss | | | (3,952,010 | ) |
Net unrealized security gain | | $ | 36,722,801 | |
37
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 8. TAX INFORMATION (continued) |
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 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 — The Fund’s use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Fund. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
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. The imposition of exchange controls, confiscations, trade restrictions (including tariffs) and other government restrictions by the United States or other governments, or from problems in share registration, settlement or custody, may also result in losses. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which the Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that the Fund also invests in securities of issuers located in emerging markets, these risks may be more pronounced.
Geographic Risk — If the Fund focuses its investments in securities of issuers located in a particular country or geographic region, it will subject the Fund, to a greater extent than if its investments were less focused, to the risks of volatile economic cycles and/or conditions and developments that may be particular to that country or region, such as: adverse securities markets; adverse exchange rates; adverse social, political, regulatory, economic, business, environmental or other developments; or natural disasters.
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.
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
38
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
|
| 9. OTHER RISKS (continued) |
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.
Sector Risk — To the extent the Fund focuses its investments in securities of issuers in one or more sectors (such as the financial services or telecommunications sectors), the Fund will be subject, to a greater extent than if its investments were diversified across different sectors, to the risks of volatile economic cycles and/or conditions and developments that may be particular to that sector, such as: adverse economic, business, political, environmental or other developments.
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.
Subsequent events after the Statement of Assets and Liabilities date have been evaluated and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
|
| 12. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | For the Six Months Ended
April 30, 2017
(Unaudited) | | | For the Fiscal Year Ended
October 31, 2016 | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| | | | | | | | | | | | | | | | |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 39,183,092 | | | $ | 402,625,755 | | | | 4,638,241 | | | $ | 44,950,010 | |
Reinvestment of distributions | | | 393,011 | | | | 3,930,110 | | | | 195,312 | | | | 1,838,924 | |
Shares redeemed | | | (127,735 | ) | | | (1,350,005 | ) | | | (4,329,302 | ) | | | (42,181,348 | ) |
NET INCREASE | | | 39,448,368 | | | $ | 405,205,860 | | | | 504,251 | | | $ | 4,607,586 | |
39
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
| | |
Fund Expenses — Six Month Period Ended April 30, 2017 (Unaudited) | | |
As a shareholder of Institutional Shares of the Fund, you incur ongoing costs 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, 2016 through April 30, 2017, which represents a period of 181 days out of 365 day year.
Actual Expenses — The first line 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 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.
| | | | | | | | | | | | |
| Share Class | | Beginning
Account Value
11/1/16 | | | Ending
Account Value
4/30/17 | | | Expenses Paid for the
6 months ended
4/30/17* | |
| Institutional Shares | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,117.30 | | | | 0.42 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,024.40 | + | | | 0.40 | |
| | * | | Expenses for each share class are calculated using the 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, 2017. 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 0.08% | |
| | + | | 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. | |
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 $1.17 trillion in assets under supervision as of March 31, 2017, 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. LLC subject to legal, internal and regulatory restrictions.
Money Market
Financial Square FundsSM
| ∎ | | Financial Square Treasury Solutions Fund1 |
| ∎ | | Financial Square Government Fund1 |
| ∎ | | Financial Square Money Market Fund2 |
| ∎ | | Financial Square Prime Obligations Fund2 |
| ∎ | | Financial Square Treasury Instruments Fund1 |
| ∎ | | Financial Square Treasury Obligations Fund1 |
| ∎ | | Financial Square Federal Instruments Fund1 |
| ∎ | | Financial Square Tax-Exempt Money Market Fund2 |
Investor FundsSM
| ∎ | | Investor Money Market Fund3 |
| ∎ | | Investor Tax-Exempt Money Market Fund3 |
Fixed Income
| ∎ | | Short Duration and Government |
| ∎ | | High Quality Floating Rate Fund |
| ∎ | | Short-Term Conservative Income Fund4 |
| ∎ | | Short Duration Government Fund |
| ∎ | | Short Duration Income Fund |
| ∎ | | Inflation Protected Securities Fund |
Multi-Sector
Municipal and Tax-Free
| ∎ | | High Yield Municipal Fund |
| ∎ | | Dynamic Municipal Income Fund |
| ∎ | | Short Duration Tax-Free Fund |
Single Sector
| ∎ | | Investment Grade Credit Fund |
| ∎ | | High Yield Floating Rate Fund |
| ∎ | | Emerging Markets Debt Fund |
| ∎ | | Local Emerging Markets Debt Fund |
| ∎ | | Dynamic Emerging Markets Debt Fund |
Fixed Income Alternatives
| ∎ | | Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ | | Small/Mid Cap Value Fund |
| ∎ | | Small/Mid Cap Growth Fund |
| ∎ | | Flexible Cap Growth Fund |
| ∎ | | Concentrated Growth Fund |
| ∎ | | Technology Opportunities Fund |
| ∎ | | Growth Opportunities Fund |
| ∎ | | Rising Dividend Growth Fund |
| ∎ | | Dynamic U.S. Equity Fund |
Tax-Advantaged Equity
| ∎ | | U.S. Tax-Managed Equity Fund |
| ∎ | | International Tax-Managed Equity Fund |
| ∎ | | U.S. Equity Dividend and Premium Fund |
| ∎ | | International Equity Dividend and Premium Fund |
Equity Insights
| ∎ | | Small Cap Equity Insights Fund |
| ∎ | | U.S. Equity Insights Fund |
| ∎ | | Small Cap Growth Insights Fund |
| ∎ | | Large Cap Growth Insights Fund |
| ∎ | | Large Cap Value Insights Fund |
| ∎ | | Small Cap Value Insights Fund |
| ∎ | | International Small Cap Insights Fund |
| ∎ | | International Equity Insights Fund |
| ∎ | | Emerging Markets Equity Insights Fund |
Fundamental Equity International
| ∎ | | Strategic International Equity Fund |
| ∎ | | Focused International Equity Fund |
| ∎ | | Emerging Markets Equity Fund |
Select Satellite
| ∎ | | Real Estate Securities Fund |
| ∎ | | International Real Estate Securities Fund |
| ∎ | | Commodity Strategy Fund |
| ∎ | | Global Real Estate Securities Fund |
| ∎ | | Dynamic Allocation Fund |
| ∎ | | Absolute Return Tracker Fund |
| ∎ | | Managed Futures Strategy Fund |
| ∎ | | MLP Energy Infrastructure Fund |
| ∎ | | Multi-Manager Alternatives Fund |
| ∎ | | Absolute Return Multi-Asset Fund |
| ∎ | | Global Infrastructure Fund |
Total Portfolio Solutions
| ∎ | | Global Managed Beta Fund |
| ∎ | | Multi-Manager Non-Core Fixed Income Fund |
| ∎ | | Multi-Manager U.S. Dynamic Equity Fund |
| ∎ | | Multi-Manager Global Equity Fund |
| ∎ | | Multi-Manager International Equity Fund |
| ∎ | | Tactical Tilt Overlay Fund |
| ∎ | | Balanced Strategy Portfolio |
| ∎ | | Multi-Manager U.S. Small Cap Equity Fund |
| ∎ | | Multi-Manager Real Assets Strategy Fund |
| ∎ | | Growth and Income Strategy Portfolio |
| ∎ | | Growth Strategy Portfolio |
| ∎ | | Equity Growth Strategy Portfolio |
| ∎ | | Satellite Strategies Portfolio |
| ∎ | | Enhanced Dividend Global Equity Portfolio |
| ∎ | | Tax-Advantaged Global Equity Portfolio |
| ∎ | | Strategic Factor Allocation Fund |
| ∎ | | Target Date 2020 Portfolio |
| ∎ | | Target Date 2025 Portfolio |
| ∎ | | Target Date 2030 Portfolio |
| ∎ | | Target Date 2035 Portfolio |
| ∎ | | Target Date 2040 Portfolio |
| ∎ | | Target Date 2045 Portfolio |
| ∎ | | Target Date 2050 Portfolio |
| ∎ | | Target Date 2055 Portfolio |
| ∎ | | GQG Partners International Opportunities Fund |
| 1 | | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 2 | | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 3 | | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 4 | | Effective on July 29, 2016, the Goldman Sachs Limited Maturity Obligations Fund was renamed the Goldman Sachs Short-Term Conservative Income Fund. |
| 5 | | Effective on June 20, 2017, the Goldman Sachs Fixed Income Macro Strategies Fund was renamed the Goldman Sachs Strategic Macro Fund. |
| 6 | | Effective on June 20, 2017, the Goldman Sachs Growth and Income Fund was renamed the Goldman Sachs Equity Income Fund. Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC. |
| * | | 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 Roy W. Templin Gregory C. Weaver | | OFFICERS James A. McNamara, President Scott M. McHugh, Principal Financial Officer, Senior Vice President and Treasurer Joseph F. DiMaria, Assistant Treasurer and Principal Accounting Officer Caroline L. Kraus, Secretary |
| |
GOLDMAN SACHS & CO. LLC 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 Form N-Qs. The Fund’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 Fund’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 1-800-621-2550 (for Institutional Shareholders).
Fund holdings and allocations shown are as of April 30, 2017 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 the 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 the Fund and may be obtained from your authorized dealer or from Goldman Sachs & Co. LLC by calling 1-800-621-2550.
© 2017 Goldman Sachs. All rights reserved. 95231-TMPL-06/2017-548370 MGDBETASAR-17/115
Goldman Sachs Funds
| | | | |
| | |
| Semi-Annual Report | | | | April 30, 2017 |
| | |
| | | | International Equity Insights Funds |
| | | | Emerging Markets Equity Insights |
| | | | International Equity Insights |
| | | | International Small Cap Insights |
Goldman Sachs International Equity Insights Funds
| ∎ | | EMERGING MARKETS EQUITY INSIGHTS |
| ∎ | | INTERNATIONAL EQUITY INSIGHTS |
| ∎ | | INTERNATIONAL SMALL CAP INSIGHTS |
| | | | |
TABLE OF CONTENTS | | | | |
| |
Investment Process | | | 1 | |
| |
Market Review | | | 3 | |
| |
Portfolio Management Discussions and Performance Summaries | | | 6 | |
| |
Schedules of Investments | | | 23 | |
| |
Financial Statements | | | 42 | |
| |
Financial Highlights | | | 46 | |
| |
Notes to the Financial Statements | | | 52 | |
| |
Other Information | | | 68 | |
| | | | |
| | | |
| NOT FDIC-INSURED | | May Lose Value | | No Bank Guarantee |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Goldman Sachs’ International Equity Insights Investment Process
| ∎ | | Comprehensive — We forecast returns on over 8,000 international stocks and 43 equity markets on a daily basis. |
| ∎ | | Rigorous — We evaluate stocks, countries and currencies based on fundamental investment criteria that have outperformed historically. |
| ∎ | | Objective — Our stock and equity market selection process is free from emotion that may lead to biased investment decisions. |
| ∎ | | 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. |
| ∎ | | 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:
| ∎ | | Blend top-down market views with bottom-up stock selection. |
| ∎ | | Maintain style, sector, risk and capitalization characteristics similar to the benchmark. |
| ∎ | | 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, 2017
We continuously look for ways to improve our investment process. Accordingly, we introduced certain enhancements to our proprietary quantitative model during the six-month period ended April 30, 2017 (the “Reporting Period”).
Within our Momentum theme, we made an enhancement wherein we seek to quantify the relationship between seemingly disparate companies by exploring how frequently any two companies are mentioned together in the same news article. We extended this trend signal to include Japanese language news articles covering companies in Japan. During the last five years, we created a repository of 1.4 billion news articles, including those written in Japanese, with which we analyze approximately 2,000 stocks in Japan. Also within the Japanese investment region, we seek to identify strong management teams among Japanese companies through employee feedback data. We use natural language processing to analyze Japanese-language employee comments on more than 2,000 stocks in Japan. We link employee opinions to 50 topics, seeking to identify companies that we believe have a superior corporate culture.
2
MARKET REVIEW
Goldman Sachs International Equity Insights Funds
Market Review
During the six-month period ended April 30, 2017 (the “Reporting Period”), emerging markets equities and international equities both recorded strong gains, with international equities generally outpacing emerging markets equities.
Emerging Market Equities
Emerging markets equities, as represented by the MSCI Emerging Markets Standard Index (Net, USD, Unhedged) (the “MSCI EM Index”), generated a return of 8.88%* during the Reporting Period.
Soon after the Reporting Period began in November 2016, emerging markets equities fell sharply, following the unexpected outcome of the U.S. presidential election, due to headwinds from the resulting rise in U.S. Treasury rates and the U.S. dollar. Concerns of protectionist U.S. trade and immigration policies also weighed on emerging markets equities. In December 2016, emerging markets equities remained weak, as the Federal Reserve (the “Fed”) hiked interest rates 0.25% and set a more hawkish tone for its 2017 hike path. (Hawkish language tends to suggest higher interest rates; opposite of dovish.)
Despite the political uncertainty and protectionism concerns arising from the new U.S. Administration in January 2017, emerging markets equities were buoyed by optimism about economic growth, owing to strong economic data and rising metal and soft commodity prices. February 2017 was another month of positive performance for emerging markets equities, as investors continued to assess the outlook for potential tax reform, deregulation and other fiscal policies out of the new U.S. Administration. Indian equities were a standout performer, as a pragmatic government budget and a strong third quarter 2016 Gross Domestic Product (“GDP”) number were supportive of risk sentiment, particularly following India’s November 2016 demonetization move. (On November 8, 2016, India’s prime minister announced that 86% of the country’s currency would be rendered null and void in 50 days. It was posited as a move to crackdown on corruption and the country’s booming under-regulated and virtually untaxed grassroots economy, but was also being used as a driver to get millions of Indians onto the country’s official economic grid — many for the first time. The crackdown saw all 500 and 1,000 rupee notes — the country’s most popular currency denominations — removed from circulation, while a new 2,000 rupee note was added. Five hundred rupees is roughly the equivalent of $7.50.)
In March 2017, the Fed raised interest rates for the third time since the 2008 global financial crisis. However, a seemingly cautious stance on its future path of monetary tightening from the Fed chair and the presence of a dissenter on the Fed’s policy-making committee led to a dovish market reaction. (A dovish economy would tend to indicate lower interest rates; a dovish action or event is one that is not strong or aggressive (opposite of hawkish)). Mexico was the best performing country within emerging markets equities in March 2017, buoyed by peso appreciation following a fourth consecutive rate hike by its central bank, Banxico.
In April 2017, emerging markets equities rallied, as global risk sentiment was buoyed by the results of the first round in the French presidential election, which were widely interpreted as pro-market by investors. Emerging markets equities were also driven by a weak U.S. dollar during the month. Despite tighter regulation in its banking sector, Chinese equities were
| *All | | index returns are expressed in U.S. dollar terms. |
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MARKET REVIEW
buoyed by a strong first quarter 2017 GDP growth rate, which came in at 6.9% year over year and beat consensus expectations. Turkish equities saw a strong rally, as the Turkish lira strengthened on the back of a successful constitutional reform referendum. Russian equities fell with a depreciating Russian ruble, as the country’s central bank cut its policy rate 0.50%. Latin American equity markets were the underperformers among emerging markets stocks despite continued easing from their central banks, as they faced headwinds from declining commodity prices.
For the Reporting Period as a whole, information technology, materials and financials were the best performing sectors in the MSCI EM Index. Health care, utilities and consumer staples were the weakest sectors in the MSCI EM Index during the Reporting Period, with health care the only sector in the MSCI EM Index to post a negative return.
From a country perspective, Poland, Greece and South Korea were the best performing individual constituents of the MSCI EM Index for the Reporting Period. Conversely, Egypt was by far the weakest individual country constituent of the MSCI EM Index, followed at some distance by the Philippines, Indonesia and the Czech Republic, which also significantly lagged the MSCI EM Index during the Reporting Period.
International Equities
International equities advanced during the Reporting Period, with the MSCI Europe, Australasia, Far East (“EAFE”) Index (Net, USD, Unhedged) (the “MSCI EAFE Index”) posting a return of 11.47%.*
In early November 2016, soon after the Reporting Period started, international equities rallied on the unexpected outcome of the U.S. presidential election. Investors appeared optimistic about the potential pro-growth effect of the incoming Administration’s fiscal stimulus plan. That said, U.S. dollar appreciation against local currencies detracted from their U.S. dollar performance. International equities then saw a strong advance during an eventful December 2016, with the resignation of Italy’s prime minister after voters’ rejection of its constitutional referendum, the Fed’s interest rate hike, and the European Central Bank’s (“ECB”) decision to slow its monthly pace of quantitative easing while extending its quantitative easing program to the end of 2017.
International equities continued their rally in early January 2017 on the prospect of deregulation following executive orders from the Administration on oil pipelines and optimism around infrastructure spending. However, international equity markets subsequently retreated on political uncertainty and protectionism concerns. In February 2017, international equities were buoyed by “risk on” sentiment owing to potential U.S. tax reform and deregulation as well as on strong economic data. In March 2017, the Fed raised U.S. interest rates for the third time since the 2008 global financial crisis. However, a seemingly cautious stance on the future path of monetary tightening from the Fed chair and the presence of a dissenter on the Fed’s policy-making committee led to a dovish market reaction and the appreciation of the Japanese yen, despite the Bank of Japan maintaining its policy rate. Meanwhile, the ECB kept its monetary policy unchanged at its March 2017 meeting but revised its economic growth and inflation forecasts upwards. Equity markets interpreted the positive economic assessment as hawkish, sparking concerns around the sequencing of the ECB’s policy steps — namely, whether interest rates might rise before quantitative easing ends.
| *All | | index returns are expressed in U.S. dollar terms. |
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MARKET REVIEW
In April 2017, first-round results in France’s presidential election, which were widely interpreted by investors as pro-market, buoyed global equities broadly. Strong first quarter 2017 corporate earnings results and a firm economic backdrop were also supportive for equity markets. A health care bill setback in the U.S. Congress tempered U.S. policy optimism, but an ambitious tax reform proposal from the White House subsequently lifted market sentiment. Japanese equities were initially hurt by a strong yen, which rose amid the political uncertainty and geopolitical tensions around the world. Various geopolitical events, such as a North Korean ballistic missile launch, a U.S. airstrike in Syria and terrorism in Russia all contributed negatively to investor sentiment. However, Japanese equities bounced back as yen strength faded with recovering global risk appetite.
For the Reporting Period as a whole, financials, information technology and industrials were the best performing sectors in the MSCI EAFE Index. The weakest performing sectors in the MSCI EAFE Index during the Reporting Period were telecommunication services, utilities and real estate.
From a country perspective, China, Austria and Sweden were the best performing individual constituents of the MSCI EAFE Index during the Reporting Period. New Zealand was the weakest individual country constituent in the MSCI EAFE Index during the Reporting Period and the only one to post a negative return, followed by Israel, Japan and Norway.
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.
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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, 2017 (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 9.44%, 9.13%, 9.67%, 9.69%, 9.43% and 9.82%, respectively. These returns compare to the 8.88% 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, our stock selection strategy, which uses fundamental research and stock selection models based on six investment themes, added to relative performance. Our country/currency selection strategy detracted slightly from relative returns. |
| 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, five 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, Profitability, Sentiment and Quality also bolstered 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 Profitability theme assesses whether a company is earning more than its cost of capital. 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 Management theme, which assesses the characteristics, policies and strategic decisions of company management, detracted from relative results during the Reporting Period. |
| 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. |
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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 Index. |
| | | During the Reporting Period, the Fund benefited from stock selection in the energy, consumer discretionary and consumer staples sectors. Its performance was held back by our investments in the telecommunication services, utilities and industrials sectors. |
| Q | | Which stock positions contributed most to the Fund’s relative returns during the Reporting Period? |
| A | | Among individual stock positions, the Fund was aided during the Reporting Period by overweight positions in Polski Koncern Naftowy (“PKN”) Orlen, a Poland-based oil refiner; OAO Rosneft Oil Company (“Rosneft”), a Russian oil company; and Samsung Electronics, a South Korea-based electronic products manufacturer. The overweights in PKN Orlen and Samsung Electronics were due to our positive views on Momentum and Profitability. We adopted the overweight in Rosneft based on our positive views on Quality and Momentum. |
| Q | | Which Fund positions detracted most from results during the Reporting Period? |
| A | | During the Reporting Period, the Fund was hurt by its overweight positions in Cosan SA Industria e Comercio (“Cosan”), a Brazilian agricultural, energy and food conglomerate; Charoen Pokphand Foods PCL, a Thailand-based agro-industrial and food conglomerate; and Micro-Star International, a Taiwan-based information technology company. Our positive views on Momentum and Valuation led us to overweight Cosan, while the Fund was overweight Charoen Pokphand Foods PLC because of our positive views on Sentiment and Valuation. We chose to overweight Micro-Star International as a result of our positive views on Momentum 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 detracted slightly from the Fund’s relative returns. During the Reporting Period, the Fund was hampered by underweight positions in Mexico, India and Taiwan. Its overweight positions compared to the Index in Russia, China and Turkey enhanced relative results. |
| | | 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, 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 changes did you make to the Fund’s country weightings during the Reporting Period? |
| A | | During the Reporting Period, we shifted the Fund from neutral positions to overweight positions relative to the Index in Chile and Brazil. We also moved the Fund from an underweight to a neutral position in Poland, from an overweight to a neutral position in Thailand, and from a neutral position to an underweight in Turkey. We decreased the size of the Fund’s overweight compared to the Index in South Korea during the Reporting Period. |
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PORTFOLIO RESULTS
| Q | | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
| A | | Effective April 3, 2017, William Fallon no longer served as a portfolio manager for the 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 portfolio managers for the Fund are Len Ioffe, Osman Ali, James Park and Dennis Walsh. |
| 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 information technology, telecommunication services, real estate and industrials sectors. Compared to the Index, the Fund was underweight the consumer staples, health care, utilities and consumer discretionary sectors. The Fund was relatively neutral compared to the Index in the materials, financials and energy sectors at the end of the Reporting Period. |
| | | In terms of countries, the Fund was overweight China, South Korea, Russia, Chile and Brazil relative to the Index at the end of the Reporting Period. Compared to the Index, the Fund was underweight India and Turkey. The Fund was relatively neutral compared to the Index in Thailand, South Africa, Malaysia, Indonesia, Mexico, Czech Republic, Hungary, Egypt, Greece, Peru, Colombia, United Arab Emirates, Qatar, Poland, Philippines and Taiwan at the end of the Reporting Period. |
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FUND BASICS
Emerging Markets Equity Insights Fund
as of April 30, 2017
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2016–April 30, 2017 | | Fund Total Return
(based on NAV)1 | | | MSCI@ Emerging Markets
Standard Index2 | |
| | Class A | | | 9.44 | % | | | 8.88 | % |
| | Class C | | | 9.13 | | | | 8.88 | |
| | Institutional | | | 9.67 | | | | 8.88 | |
| | Class IR | | | 9.69 | | | | 8.88 | |
| | Class R | | | 9.43 | | | | 8.88 | |
| | | Class R6 | | | 9.82 | | | | 8.88 | |
| | 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, 2017, 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, Korea, Malaysia, Mexico, Peru, Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates. (Effective June 1, 2017, after the end of the Reporting Period, Pakistan was reclassified from the MSCI Emerging and Frontier Markets Index to the MSCI Emerging Markets Standard Index.) 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 3/31/17 | | One Year | | | Five Years | | | Since Inception | | | Inception Date | |
| | Class A | | | 12.64 | % | | | 1.38 | % | | | -0.36 | % | | | 10/5/07 | |
| | Class C | | | 17.35 | | | | 1.76 | | | | -0.47 | | | | 10/5/07 | |
| | Institutional | | | 19.74 | | | | 2.94 | | | | 0.63 | | | | 10/5/07 | |
| | Class IR | | | 19.65 | | | | 2.79 | | | | 4.37 | | | | 8/31/10 | |
| | Class R | | | 19.00 | | | | N/A | | | | 4.38 | | | | 2/28/14 | |
| | | Class R6 | | | 19.80 | | | | N/A | | | | 6.70 | | | | 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 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 | | | 1.52 | % | | | 1.63 | % |
| | Class C | | | 2.27 | | | | 2.39 | |
| | Institutional | | | 1.15 | | | | 1.22 | |
| | Class IR | | | 1.27 | | | | 1.37 | |
| | Class R | | | 1.77 | | | | 1.88 | |
| | | Class R6 | | | 1.13 | | | | 1.20 | |
| | 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 28, 2018, 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 4/30/175 |
| | | Holding | | % of Total
Net Assets | | | Line of Business | | Country |
| | Samsung Electronics Co. Ltd. | | | 4.9 | % | | Technology Hardware & Equipment | | South Korea |
| | Taiwan Semiconductor Manufacturing Co. Ltd. ADR | | | 4.2 | | | Semiconductors & Semiconductor Equipment | | Taiwan |
| | Tencent Holdings Ltd. | | | 2.7 | | | Software & Services | | China |
| | China Mobile Ltd. | | | 2.2 | | | Telecommunication Services | | China |
| | China Construction Bank Corp. Class H | | | 2.0 | | | Banks | | China |
| | Sberbank of Russia PJSC | | | 1.8 | | | Banks | | Russia |
| | NetEase, Inc. ADR | | | 1.7 | | | Software & Services | | China |
| | Industrial & Commercial Bank of China Ltd. Class H | | | 1.7 | | | Banks | | China |
| | Mobile TeleSystems PJSC ADR | | | 1.4 | | | Telecommunication Services | | Russia |
| | | Polski Koncern Naftowy ORLEN SA | | | 1.4 | | | Energy | | Poland |
| | 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, 2017 |
| | 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 (excluding investments in the securities lending reinvestment vehicle). Underlying sector allocations of exchange traded funds and investment companies held by the Fund are not reflected in the graph above. Investments in the securities lending reinvestment vehicle represented 0.5% of the Fund’s net assets at April 30, 2017. 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 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, 2017 (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 12.92%, 12.44%, 13.13%, 12.82%, 13.09%, 12.79% and 13.06%, respectively. These returns compare to the 11.47% 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 boosted 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, Quality and Sentiment also added to 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 Quality theme seeks to assess both firm and management quality. The Sentiment theme reflects selected investment views and decisions of individuals and financial intermediaries. |
| | 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. |
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PORTFOLIO RESULTS
| 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 Index. |
| | During the Reporting Period, security selection added to the Fund’s relative performance. Investments in the information technology, health care, and materials sectors contributed positively. Stock picks in the financials, industrials and consumer staples sectors detracted from returns. |
| Q | | Which stock positions contributed most to the Fund’s relative returns during the Reporting Period? |
| A | The Fund benefited from overweight positions in Actelion, STMicroelectronics and BlueScope Steel during the Reporting Period. We decided to overweight Actelion, a Switzerland-based pharmaceuticals and biotechnology company, because of our positive views on Sentiment and Valuation. The overweight in French-Italian electronics and semiconductor manufacturer STMicroelectronics was the result of our positive views on Valuation. Our positive views on Sentiment and Valuation led to the Fund’s overweight in BlueScope Steel, an Australia-based steel producer. |
| Q | | Which Fund positions detracted most from results during the Reporting Period? |
| A | In terms of individual positions, the Fund was hurt by an overweight in Vestas Wind Systems as well as by underweights in Unilever and ASML Holdings. The overweight in Vestas Wind Systems, a Denmark-based wind turbine manufacturer, was due to our positive views on Sentiment and Valuation. We adopted the underweight in Netherlands-U.K. consumer goods company Unilever as a result of our negative views on Valuation and Momentum. |
| | The Fund was underweight ASML Holdings, a Netherlands-based supplier of photolithography systems for the semiconductor industry, because of our negative 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 selection strategy added to the Fund’s relative returns during the Reporting Period. Overweight positions compared to the Index in Spain and Australia, as well as an underweight in Japan, contributed most positively. |
| | The Fund was hampered by underweight positions in France and Switzerland and by an overweight position in Norway. |
| | 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 did not have material 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 the Fund from underweight positions relative to the Index in Japan, Sweden and Australia to overweight positions. We moved the Fund from an overweight in the Netherlands to a neutral position. In addition, we increased the Fund’s already underweight position in Switzerland and decreased the size of its overweight position in Germany. |
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PORTFOLIO RESULTS
| Q | | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
| A | | Effective April 3, 2017, William Fallon no longer served as a portfolio manager for the 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 portfolio managers for the Fund are Len Ioffe, Osman Ali, James Park and Takashi Suwabe. |
| 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 information technology sector. Compared to the Index, the Fund was underweight the telecommunication services, energy, consumer staples, utilities, financials and health care sectors. The Fund was relatively neutral compared to the Index in the consumer discretionary, industrials, materials and real estate sectors at the end of the Reporting Period. Also, at the end of the Reporting Period, a notable percentage of Fund assets was invested in Investment Company assets. |
| | In terms of countries, the Fund was overweight relative to the Index in Australia, Japan, Sweden, Norway, Spain and Germany. Compared to the Index, the Fund was underweight in the U.K. and Switzerland. The Fund was relatively neutral compared to the Index in Italy, Netherlands, Hong Kong, Portugal, New Zealand, Austria, Denmark, Ireland, Israel, Finland, France, Belgium and Singapore at the end of the Reporting Period. |
14
FUND BASICS
International Equity Insights Fund
as of April 30, 2017
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2016–April 30, 2017 | | Fund Total Return
(based on NAV)1 | | | MSCI® EAFE Standard Index
(Net, USD, Unhedged)2 | |
| | Class A | | | 12.92 | % | | | 11.47 | % |
| | Class C | | | 12.44 | | | | 11.47 | |
| | Institutional | | | 13.13 | | | | 11.47 | |
| | Service | | | 12.82 | | | | 11.47 | |
| | Class IR | | | 13.09 | | | | 11.47 | |
| | Class R | | | 12.79 | | | | 11.47 | |
| | | Class R6 | | | 13.06 | | | | 11.47 | |
| | 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, 2017, the MSCI® EAFE Standard (Net) 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 3/31/17 | | One Year | | | Five Years | | | Ten Years | | | Since Inception | | | Inception Date |
| | Class A | | | 7.95 | % | | | 6.23 | % | | | 0.24 | % | | | 3.42 | % | | 8/15/97 |
| | Class C | | | 12.29 | | | | 6.63 | | | | 0.07 | | | | 3.04 | | | 8/15/97 |
| | Institutional | | | 14.63 | | | | 7.87 | | | | 1.23 | | | | 4.22 | | | 8/15/97 |
| | Service | | | 14.01 | | | | 7.31 | | | | 0.72 | | | | 3.71 | | | 8/15/97 |
| | Class IR | | | 14.53 | | | | 7.69 | | | | N/A | | | | 0.43 | | | 11/30/07 |
| | Class R | | | 13.88 | | | | 7.16 | | | | N/A | | | | -0.04 | | | 11/30/07 |
| | | Class R6 | | | 14.67 | | | | N/A | | | | N/A | | | | 4.57 | | | 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 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 | | | 1.20 | % | | | 1.39 | % |
| | Class C | | | 1.95 | | | | 2.14 | |
| | Institutional | | | 0.85 | | | | 0.99 | |
| | Service | | | 1.35 | | | | 1.49 | |
| | Class IR | | | 0.95 | | | | 1.14 | |
| | Class R | | | 1.45 | | | | 1.64 | |
| | | Class R6 | | | 0.83 | | | | 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 28, 2018, 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 4/30/175 |
| | | Holding | | % of Total
Net Assets | | | Line of Business | | Country |
| | Banco Santander SA | | | 1.9 | % | | Banks | | Spain |
| | Bayer AG (Registered) | | | 1.8 | | | Pharmaceuticals, Biotechnology & Life Sciences | | Germany |
| | ING Groep NV | | | 1.7 | | | Banks | | Netherlands |
| | British American Tobacco plc | | | 1.6 | | | Food, Beverage & Tobacco | | United Kingdom |
| | HSBC Holdings plc | | | 1.4 | | | Banks | | United Kingdom |
| | Diageo plc | | | 1.3 | | | Food, Beverage & Tobacco | | United Kingdom |
| | BASF SE | | | 1.3 | | | Materials | | Germany |
| | AIA Group Ltd. | | | 1.3 | | | Insurance | | Hong Kong |
| | Infineon Technologies AG | | | 1.1 | | | Semiconductors & Semiconductor Equipment | | Germany |
| | | Sumitomo Mitsui Financial Group, Inc. | | | 1.1 | | | Banks | | Japan |
| | 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, 2017 |
| | 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 (excluding investments in the securities lending reinvestment vehicle, if any). Underlying sector allocations of exchange traded funds and investment companies held by the Fund are not reflected in the graph above. Investments in the securities lending reinvestment vehicle represented 3.2% of the Fund’s net assets at April 30, 2017. 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
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, 2017 (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 13.19%, 12.96%, 13.55%, 13.48% and 13.56%, respectively. These returns compare to the 12.57% 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, four of our quantitative model’s six investment themes contributed positively to relative returns. |
| 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 added to the Fund’s relative returns. Our best performing theme was Valuation. 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 boosted 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. 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 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 may lag. At the same time, we strive to maintain a risk profile similar to the Index. The Fund’s investments are selected |
18
PORTFOLIO RESULTS
| | 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 Index. |
| | During the Reporting Period, stock selection overall added to the Fund’s relative performance. Investments in the materials, information technology and consumer discretionary sectors contributed positively. Stock picks in the industrials and consumer staples sectors detracted from relative 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, a Netherlands-based supplier of semiconductor assembly equipment; Subsea 7, a U.K.-headquartered subsea engineering, construction and services company; and Makino Milling Machine (“Makino”), a Japan-headquartered machine tool builder. We assumed the overweight in BE Semiconductor Industries because of our positive views on Momentum and Sentiment. Our positive views on Momentum and Valuation led to the Fund’s overweight positions in Subsea 7 and Makino. |
| Q | | Which stock positions detracted most from the Fund’s relative returns during the Reporting Period? |
| A | | Overweight positions in IG Group Holdings, SalMar and Royal Unibrew detracted from relative performance during the Reporting Period. The Fund held an overweight position in U.K.-based IG Group Holdings, which provides trading in financial derivatives, because of our positive views on Management and Momentum. We chose to overweight Norwegian fish farm company SalMar as a result of our positive views on Valuation and Quality. The Fund was overweight Royal Unibrew, a Denmark-based brewing and beverage company, due to our positive views on Sentiment and Quality. |
| 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 was aided during the Reporting Period by its overweight positions relative to the Index in Japan, the Netherlands, Australia and Belgium. |
| | | Compared to the Index, the Fund was hurt by its underweight positions in France, the U.K. and Israel. Our security selection in all these countries drove the Fund’s results. |
| 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 material 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 increased the Fund’s overweight positions relative to the Index in Germany and Denmark. We increased its underweight position in the U.K. and decreased its underweight position in Sweden. Compared to the Index, we shifted the Fund from a neutral position to an underweight position in France and from an overweight to a neutral position in Norway. |
| 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 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 industrials, information technology and consumer discretionary sectors. Compared to the Index, the Fund was underweight the consumer staples, financials, utilities and real estate sectors. The Fund was relatively neutral compared to the Index in the materials, energy, telecommunication services and health care sectors at the end of the Reporting Period. |
| | | In terms of countries, the Fund was overweight Germany, Australia, Switzerland, Denmark, Japan and Belgium relative to the Index. Compared to the Index, the Fund was underweight the U.K., Sweden, France, Hong Kong, New Zealand and Ireland. It was relatively neutral compared to the Index in Norway, the Netherlands, Italy, Portugal, Finland, Spain, Singapore, Austria and Israel at the end of the Reporting Period. |
19
FUND BASICS
International Small Cap Insights Fund
as of April 30, 2017
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2016–April 30, 2017 | | Fund Total Return
(based on NAV)1 | | | MSCI® EAFE
Small Cap Index
(Net, USD, Unhedged)2 | |
| | Class A | | | 13.19 | % | | | 12.57 | % |
| | Class C | | | 12.96 | | | | 12.57 | |
| | Institutional | | | 13.55 | | | | 12.57 | |
| | Class IR | | | 13.48 | | | | 12.57 | |
| | | Class R6 | | | 13.56 | | | | 12.57 | |
| | 1 | | The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales 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 3/31/17 | | One Year | | | Five Years | | | Since Inception | | | Inception Date |
| | Class A | | | 5.75 | % | | | 8.42 | % | | | 3.61 | % | | 9/28/07 |
| | Class C | | | 9.92 | | | | 8.83 | | | | 3.47 | | | 9/28/07 |
| | Institutional | | | 12.22 | | | | 10.08 | | | | 4.65 | | | 9/28/07 |
| | Class IR | | | 12.05 | | | | 9.92 | | | | 11.24 | | | 8/31/10 |
| | | Class R6 | | | 12.34 | | | | N/A | | | | 6.13 | | | 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 | | | | 0.98 | |
| | Class IR | | | 1.05 | | | | 1.13 | |
| | | Class R6 | | | 0.88 | | | | 0.97 | |
| | 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 28, 2018, 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 4/30/175 |
| | | Holding | | % of Total Net Assets | | | Line of Business | | Country |
| | Subsea 7 SA | | | 1.2 | % | | Energy | | United Kingdom |
| | BE Semiconductor Industries NV | | | 1.1 | | | Semiconductors
& Semiconductor
Equipment | | Netherlands |
| | Micro Focus International plc | | | 1.1 | | | Software & Services | | United Kingdom |
| | Inchcape plc | | | 1.1 | | | Retailing | | United Kingdom |
| | Spirax-Sarco Engineering plc | | | 1.1 | | | Capital Goods | | United Kingdom |
| | Georg Fischer AG (Registered) | | | 1.0 | | | Capital Goods | | Switzerland |
| | Tosoh Corp. | | | 1.0 | | | Materials | | Japan |
| | Aareal Bank AG | | | 1.0 | | | Banks | | Germany |
| | SCREEN Holdings Co. Ltd. | | | 1.0 | | | Semiconductors &
Semiconductor
Equipment | | Japan |
| | | JM AB | | | 1.0 | | | Consumer Durables &
Apparel | | Sweden |
| | 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, 2017 |
| | 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 (excluding investments in the securities lending reinvestment vehicle). Underlying sector allocations of exchange traded funds and investment companies held by the Fund are not reflected in the graph above. Investments in the securities lending reinvestment vehicle represented 1.7% of the Fund’s net assets at April 30, 2017. 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. |
22
GOLDMAN SACHS EMERGING MARKETS EQUITY INSIGHTS FUND
Schedule of Investments
April 30, 2017 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – 85.4% | |
| Brazil – 7.7% | |
| | 894,500 | | | Banco Bradesco SA (Banks)* | | $ | 9,173,131 | |
| | 1,412,700 | | | Banco Bradesco SA ADR (Banks)* | | | 14,903,985 | |
| | 736,900 | | | Banco do Brasil SA (Banks)* | | | 7,626,586 | |
| | 555,000 | | | Banco do Estado do Rio Grande do Sul SA (Preference) Class B (Banks)(a) | | | 2,484,696 | |
| | 1,566,000 | | | Banco Santander Brasil SA ADR (Banks)(b) | | | 13,420,620 | |
| | 464,100 | | | Centrais Eletricas Brasileiras SA (Utilities)* | | | 2,640,679 | |
| | 933,700 | | | Centrais Electricas Brasilieras SA (Preference) Class B (Utilities)*(a) | | | 6,736,419 | |
| | 347,600 | | | Cosan SA Industria e Comercio (Energy) | | | 4,064,031 | |
| | 911,800 | | | EcoRodovias Infraestrutura e Logistica SA (Transportation) | | | 2,711,801 | |
| | 987,300 | | | Estacio Participacoes SA (Consumer Services) | | | 5,546,087 | |
| | 59,900 | | | Fleury SA (Health Care Equipment & Services) | | | 991,146 | |
| | 562,640 | | | Itau Unibanco Holding SA (Preference) (Banks)(a) | | | 6,959,325 | |
| | 876,600 | | | Kroton Educacional SA (Consumer Services) | | | 4,128,848 | |
| | 68,100 | | | M Dias Branco SA (Food, Beverage & Tobacco)* | | | 1,045,514 | |
| | 949,200 | | | MRV Engenharia e Participacoes SA (Consumer Durables & Apparel) | | | 4,766,859 | |
| | 88,600 | | | Qualicorp SA (Health Care Equipment & Services) | | | 630,853 | |
| | 154,340 | | | TIM Participacoes SA ADR (Telecommunication Services) | | | 2,486,417 | |
| | 206,100 | | | Transmissora Alianca de Energia Eletrica SA (Utilities) | | | 1,494,104 | |
| | 466,400 | | | Vale SA SA (Preference) (Materials)(a) | | | 3,858,687 | |
| | 389,300 | | | WEG SA (Capital Goods) | | | 2,170,920 | |
| | | | | | | | |
| | | | | | | 97,840,708 | |
| | |
| Chile – 1.4% | |
| | 258,876 | | | CAP SA (Materials) | | | 2,703,632 | |
| | 414,904 | | | Sociedad Quimica y Minera de Chile SA ADR (Materials) | | | 14,749,837 | |
| | | | | | | | |
| | | | | | | 17,453,469 | |
| | |
| China – 24.5% | |
| | 4,772,000 | | | Agile Group Holdings Ltd. (Real Estate) | | | 4,265,126 | |
| | 34,580,000 | | | Agricultural Bank of China Ltd. Class H (Banks) | | | 15,941,041 | |
| | 150,200 | | | Alibaba Group Holding Ltd. ADR (Software & Services)* | | | 17,348,100 | |
| | 4,210,500 | | | BAIC Motor Corp. Ltd. Class H (Automobiles & Components)(c) | | | 4,051,611 | |
| | 13,924,000 | | | Bank of China Ltd. Class H (Banks) | | | 6,735,220 | |
| | |
| Common Stocks – (continued) | |
| China – (continued) | |
| | 14,931,000 | | | China CITIC Bank Corp. Ltd. Class H (Banks) | | | 9,451,637 | |
| | 31,759,000 | | | China Construction Bank Corp. Class H (Banks) | | | 25,777,630 | |
| | 3,372,000 | | | China Lesso Group Holdings Ltd. (Capital Goods) | | | 2,684,685 | |
| | 27,500 | | | China Lodging Group Ltd. ADR (Consumer Services)* | | | 1,951,950 | |
| | 5,046,500 | | | China Merchants Bank Co. Ltd. Class H (Banks) | | | 13,075,549 | |
| | 2,597,000 | | | China Mobile Ltd. (Telecommunication Services) | | | 27,649,279 | |
| | 550,000 | | | China Railway Group Ltd. Class H (Capital Goods) | | | 465,170 | |
| | 148,000 | | | China Resources Beer Holdings Co. Ltd. (Food, Beverage & Tobacco)* | | | 355,921 | |
| | 6,978,000 | | | China Shenhua Energy Co. Ltd. Class H (Energy) | | | 16,243,406 | |
| | 1,954,500 | | | China Vanke Co. Ltd. Class H (Real Estate) | | | 4,952,708 | |
| | 11,139,000 | | | Chongqing Rural Commercial Bank Co. Ltd. Class H (Banks) | | | 7,650,074 | |
| | 18,073,000 | | | Country Garden Holdings Co. Ltd. (Real Estate) | | | 17,188,339 | |
| | 2,976,000 | | | Guangzhou Automobile Group Co. Ltd. Class H (Automobiles & Components) | | | 4,625,008 | |
| | 1,585,600 | | | Guangzhou R&F Properties Co. Ltd. Class H (Real Estate) | | | 2,668,829 | |
| | 32,553,000 | | | Industrial & Commercial Bank of China Ltd. Class H (Banks) | | | 21,220,194 | |
| | 2,470,000 | | | Jiangsu Expressway Co. Ltd. Class H (Transportation) | | | 3,644,733 | |
| | 2,325,500 | | | KWG Property Holding Ltd. (Real Estate) | | | 1,756,707 | |
| | 2,090,500 | | | Longfor Properties Co. Ltd. (Real Estate) | | | 3,617,250 | |
| | 82,700 | | | NetEase, Inc. ADR (Software & Services) | | | 21,947,753 | |
| | 259,200 | | | New Oriental Education & Technology Group, Inc. ADR (Consumer Services)* | | | 16,728,768 | |
| | 250,000 | | | Shanghai Industrial Holdings Ltd. (Capital Goods) | | | 790,912 | |
| | 17,900 | | | SINA Corp. (Software & Services)* | | | 1,374,899 | |
| | 5,554,000 | | | Sinopec Shanghai Petrochemical Co. Ltd. Class H (Materials) | | | 3,103,496 | |
| | 709,600 | | | Sinopharm Group Co. Ltd. Class H (Health Care Equipment & Services) | | | 3,180,602 | |
| | 338,000 | | | Sinotruk Hong Kong Ltd. (Capital Goods) | | | 234,740 | |
| | 27,300 | | | TAL Education Group ADR (Consumer Services)* | | | 3,251,703 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 23 |
GOLDMAN SACHS EMERGING MARKETS EQUITY INSIGHTS FUND
Schedule of Investments (continued)
April 30, 2017 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – (continued) | |
| China – (continued) | |
| | 1,106,200 | | | Tencent Holdings Ltd. (Software & Services) | | $ | 34,660,940 | |
| | 6,801,000 | | | Yangzijiang Shipbuilding Holdings Ltd. (Capital Goods) | | | 5,588,060 | |
| | 7,556,000 | | | Yuzhou Properties Co. Ltd. (Real Estate) | | | 3,444,981 | |
| | 4,418,000 | | | Zhejiang Expressway Co. Ltd. Class H (Transportation) | | | 5,495,925 | |
| | | | | | | | |
| | | | | | | 313,122,946 | |
| | |
| Hong Kong – 2.2% | |
| | 835,000 | | | Haier Electronics Group Co. Ltd. (Consumer Durables & Apparel) | | | 1,936,213 | |
| | 1,543,500 | | | Kingboard Chemical Holdings Ltd. (Technology Hardware & Equipment) | | | 5,559,004 | |
| | 4,401,000 | | | Kingboard Laminates Holdings Ltd. (Technology Hardware & Equipment) | | | 5,304,286 | |
| | 3,558,000 | | | Nine Dragons Paper Holdings Ltd. (Materials) | | | 3,837,176 | |
| | 605,000 | | | Shimao Property Holdings Ltd. (Real Estate) | | | 971,040 | |
| | 6,043,000 | | | WH Group Ltd. (Food, Beverage & Tobacco)(c) | | | 5,391,284 | |
| | 5,776,000 | | | Xinyi Glass Holdings Ltd. (Automobiles & Components) | | | 5,118,301 | |
| | | | | | | | |
| | | | | | | 28,117,304 | |
| | |
| Hungary – 0.5% | |
| | 248,670 | | | OTP Bank plc (Banks) | | | 6,991,695 | |
| | |
| India – 4.7% | |
| | 43,983 | | | Bajaj Auto Ltd. (Automobiles & Components) | | | 1,958,032 | |
| | 58,196 | | | Bajaj Holdings & Investment Ltd. (Diversified Financials) | | | 1,914,387 | |
| | 1,833,314 | | | Bharat Electronics Ltd. (Capital Goods) | | | 5,213,139 | |
| | 917,616 | | | Bharat Petroleum Corp. Ltd. (Energy) | | | 10,260,169 | |
| | 177,133 | | | Coal India Ltd. (Energy) | | | 761,714 | |
| | 17,507 | | | Eicher Motors Ltd. (Capital Goods)* | | | 7,085,754 | |
| | 665,041 | | | Hindalco Industries Ltd. (Materials) | | | 2,057,901 | |
| | 50,024 | | | Hindustan Petroleum Corp. Ltd. (Energy) | | | 416,969 | |
| | 2,491,365 | | | ITC Ltd. (Food, Beverage & Tobacco) | | | 10,757,284 | |
| | 759,835 | | | NMDC Ltd. (Materials) | | | 1,506,234 | |
| | 1,982,733 | | | Oil & Natural Gas Corp. Ltd. (Energy) | | | 5,745,100 | |
| | 288,919 | | | Petronet LNG Ltd. (Energy) | | | 1,901,534 | |
| | 332,842 | | | Power Finance Corp. Ltd. (Diversified Financials) | | | 827,026 | |
| | |
| Common Stocks – (continued) | |
| India – (continued) | |
| | 483,030 | | | Tata Power Co. Ltd. (The) (Utilities) | | | 633,034 | |
| | 2,451,426 | | | Vedanta Ltd. (Materials) | | | 9,269,487 | |
| | | | | | | | |
| | | | | | | 60,307,764 | |
| | |
| Indonesia – 1.7% | |
| | 1,649,400 | | | Astra International Tbk. PT (Automobiles & Components) | | | 1,105,415 | |
| | 495,800 | | | Bank Mandiri Persero Tbk. PT (Banks) | | | 433,880 | |
| | 1,406,000 | | | Indo Tambangraya Megah Tbk. PT (Energy) | | | 2,015,941 | |
| | 965,500 | | | Tambang Batubara Bukit Asam Persero Tbk. PT (Energy)* | | | 915,495 | |
| | 44,655,800 | | | Telekomunikasi Indonesia Persero Tbk. PT (Telecommunication Services) | | | 14,731,347 | |
| | 1,146,300 | | | United Tractors Tbk. PT (Energy) | | | 2,311,197 | |
| | | | | | | | |
| | | | | | | 21,513,275 | |
| | |
| Luxembourg – 0.5% | |
| | 234,200 | | | Ternium SA ADR (Materials) | | | 5,929,944 | |
| | |
| Malaysia – 1.5% | |
| | 855,100 | | | AirAsia Bhd. (Transportation) | | | 659,542 | |
| | 2,569,800 | | | Genting Bhd. (Consumer Services) | | | 5,820,366 | |
| | 6,585,000 | | | Genting Malaysia Bhd. (Consumer Services) | | | 8,899,610 | |
| | 548,800 | | | Malaysia Airports Holdings Bhd. (Transportation) | | | 960,811 | |
| | 852,200 | | | MISC Bhd. (Transportation) | | | 1,434,775 | |
| | 1,856,700 | | | Westports Holdings Bhd. (Transportation) | | | 1,711,551 | |
| | | | | | | | |
| | | | | | | 19,486,655 | |
| | |
| Mexico – 2.1% | |
| | 287,375 | | | America Movil SAB de CV Class L ADR (Telecommunication Services) | | | 4,422,701 | |
| | 152,660 | | | Cemex SAB de CV ADR (Materials)* | | | 1,407,525 | |
| | 87,100 | | | Coca-Cola Femsa SAB de CVSeries L (Food, Beverage & Tobacco) | | | 633,034 | |
| | 14,320 | | | Fomento Economico Mexicano SAB de CV ADR (Food, Beverage & Tobacco) | | | 1,289,373 | |
| | 138,100 | | | Grupo Aeroportuario del Centro Norte SAB de CV (Transportation)* | | | 766,381 | |
| | 135,700 | | | Grupo Aeroportuario del Pacifico SAB de CV Class B (Transportation) | | | 1,395,547 | |
| | 3,968 | | | Grupo Aeroportuario del Sureste SAB de CV ADR (Transportation) | | | 751,539 | |
| | 271,900 | | | Grupo Financiero Banorte SAB de CV Class O (Banks) | | | 1,573,605 | |
| | |
| | |
| 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) | |
| Mexico – (continued) | |
| | 566,720 | | | Grupo Financiero Santander Mexico SAB de CV Class B ADR (Banks) | | $ | 5,162,819 | |
| | 4,307,800 | | | Wal-Mart de Mexico SAB de CV (Food & Staples Retailing) | | | 9,725,316 | |
| | | | | | | | |
| | | | | | | 27,127,840 | |
| | |
| Philippines – 0.4% | |
| | 16,115 | | | GT Capital Holdings, Inc. (Diversified Financials) | | | 406,542 | |
| | 1,523,070 | | | International Container Terminal Services, Inc. (Transportation) | | | 2,711,425 | |
| | 518,500 | | | Semirara Mining & Power Corp. (Energy) | | | 1,546,212 | |
| | | | | | | | |
| | | | | | | 4,664,179 | |
| | |
| Poland – 1.8% | |
| | 19,919 | | | Bank Zachodni WBK SA (Banks)* | | | 1,827,901 | |
| | 207,183 | | | Grupa Lotos SA (Energy)* | | | 3,227,579 | |
| | 594,831 | | | Polski Koncern Naftowy ORLEN SA (Energy) | | | 17,776,880 | |
| | | | | | | | |
| | | | | | | 22,832,360 | |
| | |
| Qatar – 0.1% | |
| | 128,075 | | | Barwa Real Estate Co. (Real Estate) | | | 1,197,160 | |
| | |
| Russia – 5.3% | |
| | 1,243,900 | | | Aeroflot PJSC (Transportation)* | | | 3,840,159 | |
| | 1,830,000 | | | Alrosa PJSC (Materials) | | | 3,154,793 | |
| | 32,652 | | | Bashneft PJSC (Energy) | | | 1,819,947 | |
| | 59,936 | | | LUKOIL PJSC ADR (Energy) | | | 2,969,829 | |
| | 4,731,000 | | | Magnitogorsk Iron & Steel OJSC (Materials) | | | 2,816,583 | |
| | 1,732,616 | | | Mobile TeleSystems PJSC ADR (Telecommunication Services) | | | 17,880,597 | |
| | 104,575 | | | Novolipetsk Steel PJSC GDR (Materials) | | | 1,982,763 | |
| | 8,118,740 | | | Sberbank of Russia PJSC (Banks) | | | 23,581,352 | |
| | 684,760 | | | Severstal PJSC GDR (Materials) | | | 9,353,473 | |
| | 22,640 | | | X5 Retail Group NV GDR (Food & Staples Retailing)* | | | 798,060 | |
| | | | | | | | |
| | | | | | | 68,197,556 | |
| | |
| South Africa – 5.0% | |
| | 210,214 | | | Barclays Africa Group Ltd. (Banks) | | | 2,308,778 | |
| | 564,971 | | | Barloworld Ltd. (Capital Goods) | | | 5,090,922 | |
| | 2,329,051 | | | FirstRand Ltd. (Diversified Financials) | | | 8,689,274 | |
| | 211,441 | | | Hyprop Investments Ltd. (REIT) | | | 1,953,065 | |
| | 77,472 | | | Naspers Ltd. Class N (Media) | | | 14,731,418 | |
| | 618,256 | | | Nedbank Group Ltd. (Banks) | | | 10,423,701 | |
| | 1,317,785 | | | Standard Bank Group Ltd. (Banks) | | | 14,633,454 | |
| | 822,382 | | | Telkom SA SOC Ltd. (Telecommunication Services) | | | 4,601,832 | |
| | 32,254 | | | Tiger Brands Ltd. (Food, Beverage & Tobacco) | | | 974,130 | |
| | | | | | | | |
| | | | | | | 63,406,574 | |
| | |
| Common Stocks – (continued) | |
| South Korea – 13.9% | |
| | 6,692 | | | Com2uSCorp. (Software & Services) | | | 705,351 | |
| | 23,819 | | | Doosan Corp. (Capital Goods) | | | 2,033,529 | |
| | 59,950 | | | Doosan Infracore Co. Ltd. (Capital Goods)* | | | 495,832 | |
| | 6,808 | | | GS Home Shopping, Inc. (Retailing) | | | 1,217,530 | |
| | 34,280 | | | GS Retail Co. Ltd. (Food & Staples Retailing) | | | 1,599,434 | |
| | 311,331 | | | Hana Financial Group, Inc. (Banks) | | | 10,692,674 | |
| | 12,650 | | | Hankook Tire Co. Ltd. (Automobiles & Components) | | | 654,643 | |
| | 27,864 | | | Hanwha Corp. (Capital Goods) | | | 977,529 | |
| | 71,908 | | | Hanwha Life Insurance Co. Ltd. (Insurance) | | | 388,418 | |
| | 177,992 | | | Hyundai Development Co.-Engineering & Construction (Capital Goods) | | | 6,986,110 | |
| | 9,275 | | | Hyundai Heavy Industries Co. Ltd. (Capital Goods)* | | | 1,344,912 | |
| | 27,137 | | | KB Financial Group, Inc. (Banks) | | | 1,192,873 | |
| | 78,086 | | | KT&G Corp. (Food, Beverage & Tobacco) | | | 6,963,613 | |
| | 679,523 | | | LG Display Co. Ltd. (Technology Hardware & Equipment) | | | 17,510,035 | |
| | 56,042 | | | LG Electronics, Inc. (Consumer Durables & Apparel) | | | 3,401,955 | |
| | 3,589 | | | LG Hausys Ltd. (Capital Goods) | | | 315,222 | |
| | 1,760 | | | Lotte Chemical Corp. (Materials) | | | 528,344 | |
| | 80,718 | | | LS Corp. (Capital Goods) | | | 4,618,755 | |
| | 16,712 | | | Modetour Network, Inc. (Consumer Services) | | | 580,125 | |
| | 2,676 | | | NAVER Corp. (Software & Services) | | | 1,880,757 | |
| | 16,565 | | | NCSoft Corp. (Software & Services) | | | 5,238,611 | |
| | 61,436 | | | Poongsan Corp. (Materials) | | | 2,105,899 | |
| | 186,834 | | | Posco Daewoo Corp. (Capital Goods) | | | 3,936,774 | |
| | 32,026 | | | Samsung Electronics Co. Ltd. (Technology Hardware & Equipment) | | | 62,784,701 | |
| | 6,688 | | | SFA Engineering Corp. (Technology Hardware & Equipment) | | | 459,348 | |
| | 31,436 | | | Shinhan Financial Group Co. Ltd. (Banks) | | | 1,312,498 | |
| | 265,406 | | | SK Hynix, Inc. (Semiconductors & Semiconductor Equipment) | | | 12,573,186 | |
| | 15,960 | | | SK Innovation Co. Ltd. (Energy) | | | 2,394,399 | |
| | 82,427 | | | SK Telecom Co. Ltd. (Telecommunication Services) | | | 17,399,155 | |
| | 398,055 | | | Woori Bank (Banks) | | | 5,219,659 | |
| | | | | | | | |
| | | | | | | 177,511,871 | |
| | |
| Taiwan – 10.5% | |
| | 3,321,000 | | | AmTRAN Technology Co. Ltd. (Consumer Durables & Apparel) | | | 2,413,832 | |
| | |
| | |
| 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, 2017 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – (continued) | |
| Taiwan – (continued) | |
| | 251,000 | | | Asustek Computer, Inc. (Technology Hardware & Equipment) | | $ | 2,465,919 | |
| | 522,000 | | | CTCI Corp. (Capital Goods) | | | 913,986 | |
| | 679,000 | | | E Ink Holdings, Inc. (Technology Hardware & Equipment) | | | 692,611 | |
| | 1,911,000 | | | Formosa Chemicals & Fibre Corp. (Materials) | | | 5,876,299 | |
| | 212,000 | | | General Interface Solution Holding Ltd. (Technology Hardware & Equipment) | | | 1,182,014 | |
| | 2,488,000 | | | Highwealth Construction Corp. (Real Estate) | | | 4,194,086 | |
| | 5,367,000 | | | Hon Hai Precision Industry Co. Ltd. (Technology Hardware & Equipment) | | | 17,567,066 | |
| | 668,000 | | | Huaku Development Co. Ltd. (Real Estate) | | | 1,531,935 | |
| | 2,786,978 | | | Lite-On Technology Corp. (Technology Hardware & Equipment) | | | 4,861,478 | |
| | 1,083,000 | | | Merry Electronics Co. Ltd. (Technology Hardware & Equipment) | | | 6,410,753 | |
| | 1,854,000 | | | Micro-Star International Co. Ltd. (Technology Hardware & Equipment) | | | 3,713,457 | |
| | 1,982,000 | | | Powertech Technology, Inc. (Semiconductors & Semiconductor Equipment) | | | 6,217,984 | |
| | 1,457,000 | | | Radiant Opto-Electronics Corp. (Semiconductors & Semiconductor Equipment) | | | 3,037,247 | |
| | 1,447,000 | | | Realtek Semiconductor Corp. (Semiconductors & Semiconductor Equipment) | | | 4,893,398 | |
| | 686,000 | | | Sitronix Technology Corp. (Semiconductors & Semiconductor Equipment) | | | 2,058,949 | |
| | 416,000 | | | Systex Corp. (Software & Services) | | | 835,414 | |
| | 1,630,600 | | | Taiwan Semiconductor Manufacturing Co. Ltd. ADR (Semiconductors & Semiconductor Equipment) | | | 53,923,942 | |
| | 51,000 | | | Taiwan Styrene Monomer (Materials) | | | 39,097 | |
| | 105,000 | | | Tong Hsing Electronic Industries Ltd. (Technology Hardware & Equipment) | | | 445,193 | |
| | 537,000 | | | Topco Scientific Co. Ltd. (Semiconductors & Semiconductor Equipment) | | | 1,756,822 | |
| | 552,000 | | | Tripod Technology Corp. (Technology Hardware & Equipment) | | | 1,560,006 | |
| | 320,000 | | | Vanguard International Semiconductor Corp. (Semiconductors & Semiconductor Equipment) | | | 610,298 | |
| | |
| Common Stocks – (continued) | |
| Taiwan – (continued) | |
| | 7,448,000 | | | Wistron Corp. (Technology Hardware & Equipment) | | | 7,031,620 | |
| | | | | | | | |
| | | | | | | 134,233,406 | |
| | |
| Thailand – 1.0% | |
| | 509,700 | | | Kiatnakin Bank PCL (Banks) | | | 1,004,612 | |
| | 1,081,297 | | | PTT Global Chemical PCL (Materials) | | | 2,340,485 | |
| | 429,500 | | | Supalai PCL (Real Estate) | | | 305,213 | |
| | 3,763,800 | | | Thai Oil PCL (Energy) | | | 8,481,017 | |
| | | | | | | | |
| | | | | | | 12,131,327 | |
| | |
| Turkey – 0.6% | |
| | 167,700 | | | Arcelik A/S (Consumer Durables & Apparel) | | | 1,118,045 | |
| | 2,553,991 | | | Eregli Demir ve Celik Fabrikalari TAS (Materials) | | | 4,678,412 | |
| | 919,853 | | | Turkiye Is Bankasi Class C (Banks) | | | 1,815,362 | |
| | | | | | | | |
| | | | | | | 7,611,819 | |
| | |
| | TOTAL COMMON STOCKS | | | | |
| | (Cost $943,541,428) | | $ | 1,089,677,852 | |
| | |
| | | | | | | | | | | | |
| Shares | | Distribution Rate | | | Value | |
| | | | | | | | | | | | |
| Investment Company(d)(e) – 0.0% | |
Goldman Sachs Financial Square Government Fund — Institutional Shares | |
| 5,405 | | | 0.656 | % | | | | | | $ | 5,405 | |
| (Cost $5,405) | | | | | |
| |
TOTAL INVESTMENTS BEFORE SECURITIES
LENDING REINVESTMENT VEHICLE | |
| (Cost $943,546,833) | | | | | | | $ | 1,089,683,257 | |
| |
| | | | | | | | | | | | |
| | | | | | | | | | | | |
| Securities Lending Reinvestment Vehicle(d)(e) – 0.5% | |
Goldman Sachs Financial Square Government Fund — Institutional Shares | |
| 6,360,375 | | | 0.656 | % | | | | | | $ | 6,360,375 | |
| (Cost $6,360,375) | | | | | |
| |
| TOTAL INVESTMENTS – 85.9% | |
| (Cost $949,907,208) | | | $ | 1,096,043,632 | |
| |
| OTHER ASSETS IN EXCESS OF LIABILITIES – 14.1% | | | | 179,875,809 | |
| |
| NET ASSETS – 100.0% | | | $ | 1,275,919,441 | |
| |
| | |
| 26 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS EMERGING MARKETS EQUITY INSIGHTS 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) | | Preference Shares are a special type of equity investment that shares in the earnings of the company, has limited voting rights, and receives a greater dividend than applicable Common Shares. |
(b) | | All or a portion of security is on loan. |
(c) | | 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 $9,442,895, which represents approximately 0.7% of net assets as of April 30, 2017. |
(d) | | Represents an affiliated issuer. |
(e) | | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on April 30, 2017. |
|
Investment Abbreviations: |
ADR | | —American Depositary Receipt |
GDR | | —Global Depositary Receipt |
REIT | | —Real Estate Investment Trust |
|
|
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At April 30, 2017, the Fund had the following futures contracts:
| | | | | | | | | | | | |
| Type | | Number of
Contracts
Long (Short) | | Expiration
Date | | Current
Value | | | Unrealized
Gain (Loss) | |
MSCI Emerging Markets Mini Index | | 3,421 | | June 2017 | | $ | 167,457,950 | | | $ | (122,642 | ) |
| | |
| The accompanying notes are an integral part of these financial statements. | | 27 |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUND
Schedule of Investments
April 30, 2017 (Unaudited)
| | | | | | | | |
| Shares | | | Description | |
Value | |
| Common Stocks – 96.4% | | | |
| Australia – 10.0% | | | |
| | 320,935 | | | AGL Energy Ltd. (Utilities) | | $ | 6,425,388 | |
| | 458,648 | | | Aristocrat Leisure Ltd. (Consumer Services) | | | 6,740,143 | |
| | 77,920 | | | ASX Ltd. (Diversified Financials) | | | 2,953,924 | |
| | 1,569,308 | | | Aurizon Holdings Ltd. (Transportation) | | | 6,051,487 | |
| | 82,141 | | | Australia & New Zealand Banking Group Ltd. (Banks) | | | 2,010,729 | |
| | 304,862 | | | BHP Billiton Ltd. (Materials) | | | 5,427,747 | |
| | 346,705 | | | BHP Billiton plc (Materials) | | | 5,285,590 | |
| | 478,941 | | | BlueScope Steel Ltd. (Materials) | | | 4,184,479 | |
| | 47,751 | | | Caltex Australia Ltd. (Energy) | | | 1,065,864 | |
| | 102,726 | | | Challenger Ltd. (Diversified Financials) | | | 1,014,614 | |
| | 818,220 | | | Coca-Cola Amatil Ltd. (Food, Beverage & Tobacco) | | | 5,734,425 | |
| | 8,349 | | | Cochlear Ltd. (Health Care Equipment & Services) | | | 873,976 | |
| | 344,832 | | | Computershare Ltd. (Software & Services) | | | 3,801,447 | |
| | 69,015 | | | CSR Ltd. (Materials) | | | 253,071 | |
| | 493,556 | | | Dexus Property Group (REIT) | | | 3,768,765 | |
| | 202,950 | | | Downer EDI Ltd. (Commercial & Professional Services) | | | 891,832 | |
| | 1,194,699 | | | Fortescue Metals Group Ltd. (Materials) | | | 4,735,373 | |
| | 88,691 | | | Investa Office Fund (REIT) | | | 315,316 | |
| | 62,529 | | | Macquarie Group Ltd. (Diversified Financials) | | | 4,343,692 | |
| | 108,590 | | | Mirvac Group (REIT) | | | 184,440 | |
| | 18,815 | | | National Australia Bank Ltd. (Banks) | | | 477,565 | |
| | 386,801 | | | OZ Minerals Ltd. (Materials) | | | 2,053,850 | |
| | 619,314 | | | South32 Ltd. (Materials) | | | 1,283,402 | |
| | 1,081,289 | | | Stockland (REIT) | | | 3,924,372 | |
| | 456,623 | | | Treasury Wine Estates Ltd. (Food, Beverage & Tobacco) | | | 4,099,725 | |
| | 49,854 | | | Wesfarmers Ltd. (Food & Staples Retailing) | | | 1,604,778 | |
| | 1,103,102 | | | Whitehaven Coal Ltd. (Energy)* | | | 2,256,429 | |
| | | | | | | | |
| | | | | | | 81,762,423 | |
| | |
| Austria – 0.0% | | | |
| | 4,060 | | | Strabag SE (Capital Goods) | | | 166,039 | |
| | |
| Belgium – 0.5% | | | |
| | 42,037 | | | Galapagos NV (Pharmaceuticals, Biotechnology & Life Sciences)* | | | 3,682,802 | |
| | |
| China – 0.2% | | | |
| | 1,062,000 | | | FIH Mobile Ltd. (Technology Hardware & Equipment) | | | 364,324 | |
| | 860,500 | | | Fosun International Ltd. (Capital Goods) | | | 1,301,474 | |
| | 210,100 | | | Yangzijiang Shipbuilding Holdings Ltd. (Capital Goods) | | | 172,629 | |
| | | | | | | | |
| | | | | | | 1,838,427 | |
| | |
| Common Stocks – (continued) | | | |
| Denmark – 1.4% | | | |
| | 176,733 | | | Danske Bank A/S (Banks) | | | 6,425,752 | |
| | 8,145 | | | ISS A/S (Commercial & Professional Services) | | | 337,856 | |
| | 108,129 | | | Novo Nordisk A/S Class B (Pharmaceuticals, Biotechnology & Life Sciences) | | | 4,210,203 | |
| | 3,558 | | | Sydbank A/S (Banks) | | | 129,421 | |
| | | | | | | | |
| | | | | | | 11,103,232 | |
| | |
| Finland – 0.4% | | | |
| | 20,609 | | | Cramo OYJ (Capital Goods) | | | 535,867 | |
| | 70,402 | | | Nokian Renkaat OYJ (Automobiles & Components) | | | 3,025,936 | |
| | | | | | | | |
| | | | | | | 3,561,803 | |
| | |
| France – 9.2% | | | |
| | 573,785 | | | Air France-KLM (Transportation)* | | | 4,820,438 | |
| | 49,463 | | | Arkema SA (Materials) | | | 5,237,294 | |
| | 47,505 | | | Atos SE (Software & Services) | | | 6,222,459 | |
| | 87,123 | | | BNP Paribas SA (Banks) | | | 6,148,898 | |
| | 6,801 | | | Chargeurs SA (Consumer Durables & Apparel) | | | 169,725 | |
| | 132,892 | | | Cie de Saint-Gobain (Capital Goods) | | | 7,170,438 | |
| | 54,875 | | | Cie Generale des Etablissements Michelin (Automobiles & Components) | | | 7,177,712 | |
| | 76,565 | | | Eutelsat Communications SA (Media) | | | 1,811,490 | |
| | 16,763 | | | Gecina SA (REIT) | | | 2,384,176 | |
| | 7,837 | | | Metropole Television SA (Media) | | | 178,404 | |
| | 29,734 | | | Orange SA (Telecommunication Services) | | | 460,204 | |
| | 71,267 | | | Peugeot SA (Automobiles & Components)* | | | 1,494,157 | |
| | 211,376 | | | Rexel SA (Capital Goods) | | | 3,774,826 | |
| | 91,786 | | | Sanofi (Pharmaceuticals, Biotechnology & Life Sciences) | | | 8,673,211 | |
| | 150,757 | | | Societe Generale SA (Banks) | | | 8,266,417 | |
| | 41,651 | | | Thales SA (Capital Goods) | | | 4,377,790 | |
| | 93,930 | | | Valeo SA (Automobiles & Components) | | | 6,759,212 | |
| | | | | | | | |
| | | | | | | 75,126,851 | |
| | |
| Germany – 10.1% | | | |
| | 102,283 | | | Aareal Bank AG (Banks) | | | 4,113,909 | |
| | 107,952 | | | BASF SE (Materials) | | | 10,516,577 | |
| | 119,939 | | | Bayer AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | | | 14,840,431 | |
| | 139,524 | | | Commerzbank AG (Banks)* | | | 1,367,830 | |
| | 12,035 | | | Covestro AG (Materials)(a) | | | 937,905 | |
| | 15,083 | | | CropEnergies AG (Energy) | | | 148,275 | |
| | 356,623 | | | Deutsche Lufthansa AG (Registered) (Transportation)* | | | 6,152,547 | |
| | 30,584 | | | Deutz AG (Capital Goods)* | | | 238,057 | |
| | 12,180 | | | Duerr AG (Capital Goods) | | | 1,213,743 | |
| | 9,520 | | | Elmos Semiconductor AG (Semiconductors & Semiconductor Equipment) | | | 253,013 | |
| | |
| | |
| 28 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUND
| | | | | | | | |
| Shares | | | Description | |
Value | |
| Common Stocks – (continued) | | | |
| Germany – (continued) | | | |
| | 39,528 | | | Gerresheimer AG (Pharmaceuticals, Biotechnology & Life Sciences) | | $ | 3,100,914 | |
| | 33,507 | | | Henkel AG & Co. KGaA (Preference) (Household and Personal Products)(b) | | | 4,559,089 | |
| | 27,793 | | | HOCHTIEF AG (Capital Goods) | | | 5,005,323 | |
| | 453,509 | | | Infineon Technologies AG (Semiconductors & Semiconductor Equipment) | | | 9,373,833 | |
| | 29,471 | | | Jenoptik AG (Technology Hardware & Equipment) | | | 792,993 | |
| | 11,712 | | | Jungheinrich AG (Preference) (Capital Goods)(b) | | | 407,814 | |
| | 1,843 | | | Koenig & Bauer AG (Capital Goods)* | | | 127,540 | |
| | 47,827 | | | LANXESS AG (Materials) | | | 3,453,418 | |
| | 41,342 | | | Merck KGaA (Pharmaceuticals, Biotechnology & Life Sciences) | | | 4,856,516 | |
| | 2,417 | | | Porsche Automobil Holding SE (Preference) (Automobiles & Components)(b) | | | 141,455 | |
| | 50,237 | | | Rheinmetall AG (Capital Goods) | | | 4,611,241 | |
| | 138,860 | | | SchaefflerAG (Preference) (Automobiles & Components)(b) | | | 2,394,996 | |
| | 28,446 | | | Software AG (Software & Services) | | | 1,251,573 | |
| | 65,146 | | | Suedzucker AG (Food, Beverage & Tobacco) | | | 1,394,210 | |
| | 9,784 | | | Volkswagen AG (Preference) (Automobiles & Components)(b) | | | 1,553,179 | |
| | | | | | | | |
| | | | | | | 82,806,381 | |
| | |
| Hong Kong – 3.1% | | | |
| | 1,489,400 | | | AIA Group Ltd. (Insurance) | | | 10,308,786 | |
| | 673,500 | | | Cheung Kong Property Holdings Ltd. (Real Estate) | | | 4,821,730 | |
| | 13,000 | | | CK Hutchison Holdings Ltd. (Capital Goods) | | | 162,335 | |
| | 103,000 | | | Galaxy Entertainment Group Ltd. (Consumer Services) | | | 572,212 | |
| | 25,600 | | | Jardine Matheson Holdings Ltd. (Capital Goods) | | | 1,647,765 | |
| | 627,000 | | | SJM Holdings Ltd. (Consumer Services) | | | 607,840 | |
| | 791,000 | | | Wheelock & Co. Ltd. (Real Estate) | | | 6,161,426 | |
| | 258,000 | | | Xinyi Glass Holdings Ltd. (Automobiles & Components) | | | 228,622 | |
| | 254,000 | | | Yue Yuen Industrial Holdings Ltd. (Consumer Durables & Apparel) | | | 1,004,133 | |
| | | | | | | | |
| | | | | | | 25,514,849 | |
| | |
| Ireland – 0.1% | | | |
| | 10,471 | | | Paddy Power Betfair plc (Consumer Services) | | | 1,165,365 | |
| | |
| Italy – 1.5% | | | |
| | 160,538 | | | Enav SpA (Transportation)*(a) | | | 657,130 | |
| | 462,112 | | | Enel SpA (Utilities) | | | 2,196,968 | |
| | |
| Common Stocks – (continued) | | | |
| Italy – (continued) | | | |
| | 379,471 | | | Eni SpA (Energy) | | | 5,885,981 | |
| | 23,665 | | | Interpump Group SpA (Capital Goods) | | | 627,585 | |
| | 197,457 | | | Leonardo SpA (Capital Goods)* | | | 3,102,970 | |
| | 13,228 | | | Societa Iniziative Autostradali e Servizi SpA (Transportation) | | | 133,286 | |
| | | | | | | | |
| | | | | | | 12,603,920 | |
| | |
| Japan – 24.4% | | | |
| | 18,200 | | | Ahresty Corp. (Automobiles & Components) | | | 181,947 | |
| | 8,600 | | | Alpine Electronics, Inc. (Consumer Durables & Apparel) | | | 125,142 | |
| | 67,000 | | | Asahi Glass Co. Ltd. (Capital Goods) | | | 580,526 | |
| | 6,700 | | | Asatsu-DK, Inc. (Media) | | | 173,870 | |
| | 59,600 | | | Astellas Pharma, Inc. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 785,952 | |
| | 42,100 | | | Benesse Holdings, Inc. (Consumer Services) | | | 1,270,464 | |
| | 12,700 | | | Canon Marketing Japan, Inc. (Retailing) | | | 267,648 | |
| | 16,500 | | | Central Japan Railway Co. (Transportation) | | | 2,767,193 | |
| | 143,200 | | | Chubu Electric Power Co., Inc. (Utilities) | | | 1,922,738 | |
| | 24,700 | | | CKD Corp. (Capital Goods) | | | 309,311 | |
| | 27,400 | | | CMK Corp. (Technology Hardware & Equipment)* | | | 180,260 | |
| | 107,400 | | | Daiichi Sankyo Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 2,386,840 | |
| | 26,700 | | | Daito Trust Construction Co. Ltd. (Real Estate) | | | 3,928,989 | |
| | 226,700 | | | Daiwa House Industry Co. Ltd. (Real Estate) | | | 6,739,557 | |
| | 15,700 | | | Disco Corp. (Semiconductors & Semiconductor Equipment) | | | 2,483,396 | |
| | 750,000 | | | Fujitsu Ltd. (Software & Services) | | | 4,681,741 | |
| | 1,311,000 | | | Fukuoka Financial Group, Inc. (Banks) | | | 5,980,628 | |
| | 29,100 | | | Hitachi Construction Machinery Co. Ltd. (Capital Goods) | | | 750,192 | |
| | 78,100 | | | Hitachi High-Technologies Corp. (Technology Hardware & Equipment) | | | 3,117,685 | |
| | 217,200 | | | Honda Motor Co. Ltd. (Automobiles & Components) | | | 6,321,751 | |
| | 102,700 | | | Japan Airlines Co. Ltd. (Transportation) | | | 3,243,408 | |
| | 410,800 | | | Japan Post Holdings Co. Ltd. (Insurance) | | | 5,097,268 | |
| | 96,300 | | | Japan Tobacco, Inc. (Food, Beverage & Tobacco) | | | 3,204,457 | |
| | 178,000 | | | JTEKT Corp. (Capital Goods) | | | 2,807,766 | |
| | 54,700 | | | JVC Kenwood Corp. (Consumer Durables & Apparel) | | | 145,808 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 29 |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUND
Schedule of Investments (continued)
April 30, 2017 (Unaudited)
| | | | | | | | |
| Shares | | | Description | |
Value | |
| Common Stocks – (continued) | | | |
| Japan – (continued) | | | |
| | 775,300 | | | JXTG Holdings, Inc. (Energy) | | $ | 3,498,179 | |
| | 399,000 | | | Kajima Corp. (Capital Goods) | | | 2,709,297 | |
| | 215,000 | | | KDDI Corp. (Telecommunication Services) | | | 5,700,526 | |
| | 16,800 | | | Konami Holdings Corp. (Software & Services) | | | 699,339 | |
| | 10,700 | | | Mabuchi Motor Co. Ltd. (Capital Goods) | | | 604,020 | |
| | 54,000 | | | Makino Milling Machine Co. Ltd. (Capital Goods) | | | 481,076 | |
| | 9,000 | | | Meiko Network Japan Co. Ltd. (Consumer Services) | | | 117,300 | |
| | 83,000 | | | Miraca Holdings, Inc. (Health Care Equipment & Services) | | | 3,826,809 | |
| | 621,600 | | | Mitsubishi Chemical Holdings Corp. (Materials) | | | 4,865,380 | |
| | 335,900 | | | Mitsubishi Corp. (Capital Goods) | | | 7,248,753 | |
| | 60,700 | | | Mitsubishi Gas Chemical Co., Inc. (Materials) | | | 1,297,958 | |
| | 38,200 | | | Mitsubishi Tanabe Pharma Corp. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 775,952 | |
| | 55,200 | | | Mitsubishi UFJ Financial Group, Inc. (Banks) | | | 349,780 | |
| | 445,200 | | | Mitsui & Co. Ltd. (Capital Goods) | | | 6,286,491 | |
| | 1,011,000 | | | Mitsui Chemicals, Inc. (Materials) | | | 5,172,980 | |
| | 979,400 | | | Mizuho Financial Group, Inc. (Banks) | | | 1,790,274 | |
| | 174,000 | | | Nexon Co. Ltd. (Software & Services) | | | 2,961,368 | |
| | 12,000 | | | NH Foods Ltd. (Food, Beverage & Tobacco) | | | 342,036 | |
| | 401,600 | | | Nikon Corp. (Consumer Durables & Apparel) | | | 5,733,008 | |
| | 724,000 | | | Nippon Electric Glass Co. Ltd. (Technology Hardware & Equipment) | | | 4,490,493 | |
| | 237,400 | | | Nippon Light Metal Holdings Co. Ltd. (Materials) | | | 530,418 | |
| | 17,100 | | | Nippon Suisan Kaisha Ltd. (Food, Beverage & Tobacco) | | | 82,551 | |
| | 95,900 | | | Nippon Telegraph & Telephone Corp. (Telecommunication Services) | | | 4,109,857 | |
| | 546,800 | | | Nissan Motor Co. Ltd. (Automobiles & Components) | | | 5,208,585 | |
| | 63,500 | | | Nissin Electric Co. Ltd. (Capital Goods) | | | 750,634 | |
| | 958,100 | | | Nomura Holdings, Inc. (Diversified Financials) | | | 5,757,826 | |
| | 48,000 | | | NTN Corp. (Capital Goods) | | | 244,668 | |
| | 184,500 | | | NTT DOCOMO, Inc. (Telecommunication Services) | | | 4,464,362 | |
| | 16,900 | | | Open House Co. Ltd. (Real Estate) | | | 414,551 | |
| | 453,300 | | | ORIX Corp. (Diversified Financials) | | | 6,927,665 | |
| | 74,700 | | | SCREEN Holdings Co. Ltd. (Semiconductors & Semiconductor Equipment) | | | 5,425,934 | |
| | 228,600 | | | Sega Sammy Holdings, Inc. (Consumer Durables & Apparel) | | | 3,069,294 | |
| | 378,500 | | | Sekisui House Ltd. (Consumer Durables & Apparel) | | | 6,287,570 | |
| | |
| Common Stocks – (continued) | | | |
| Japan – (continued) | | | |
| | 90,400 | | | Seven & i Holdings Co. Ltd. (Food & Staples Retailing) | | | 3,817,952 | |
| | 30,000 | | | Shizuoka Bank Ltd. (The) (Banks) | | | 253,219 | |
| | 91,800 | | | Showa Shell Sekiyu KK (Energy) | | | 886,583 | |
| | 127,700 | | | Skylark Co. Ltd. (Consumer Services) | | | 1,931,335 | |
| | 22,200 | | | SoftBank Group Corp. (Telecommunication Services) | | | 1,683,930 | |
| | 65,000 | | | Start Today Co. Ltd. (Retailing) | | | 1,386,989 | |
| | 243,200 | | | Sumitomo Mitsui Financial Group, Inc. (Banks) | | | 9,030,171 | |
| | 35,500 | | | Sumitomo Mitsui Trust Holdings, Inc. (Banks) | | | 1,216,079 | |
| | 21,200 | | | Temp Holdings Co. Ltd. (Commercial & Professional Services) | | | 398,944 | |
| | 11,000 | | | Terumo Corp. (Health Care Equipment & Services) | | | 401,704 | |
| | 58,200 | | | THK Co. Ltd. (Capital Goods) | | | 1,501,156 | |
| | 3,600 | | | Token Corp. (Consumer Durables & Apparel) | | | 284,975 | |
| | 62,000 | | | Tokyo Electron Ltd. (Semiconductors & Semiconductor Equipment) | | | 7,526,406 | |
| | 13,500 | | | Tokyo Seimitsu Co. Ltd. (Semiconductors & Semiconductor Equipment) | | | 418,725 | |
| | 463,000 | | | Toppan Printing Co. Ltd. (Commercial & Professional Services) | | | 4,660,928 | |
| | 185,000 | | | Tosoh Corp. (Materials) | | | 1,738,741 | |
| | 4,000 | | | Toyota Motor Corp. (Automobiles & Components) | | | 216,483 | |
| | 7,100 | | | Ulvac, Inc. (Semiconductors & Semiconductor Equipment) | | | 333,331 | |
| | 10,200 | | | Unipres Corp. (Automobiles & Components) | | | 216,081 | |
| | | | | | | | |
| | | | | | | 199,583,203 | |
| | |
| Luxembourg – 0.2% | | | |
| | 54,140 | | | ArcelorMittal (Materials)* | | | 425,451 | |
| | 269,700 | | | B&M European Value Retail SA (Retailing) | | | 1,176,957 | |
| | | | | | | | |
| | | | | | | 1,602,408 | |
| | |
| Netherlands – 4.2% | | | |
| | 114,475 | | | ABN AMRO Group NV CVA (Banks)(a) | | | 3,005,339 | |
| | 865,781 | | | ING Groep NV (Banks) | | | 14,111,834 | |
| | 77,940 | | | Koninklijke DSM NV (Materials) | | | 5,577,249 | |
| | 140,447 | | | NN Group NV (Insurance) | | | 4,656,483 | |
| | 15,383 | | | NXP Semiconductors NV (Semiconductors & Semiconductor Equipment)* | | | 1,626,752 | |
| | 125,479 | | | Royal Dutch Shell plc Class A (Energy) | | | 3,271,844 | |
| | 89,741 | | | Royal Dutch Shell plc Class B (Energy) | | | 2,387,737 | |
| | | | | | | | |
| | | | | | | 34,637,238 | |
| | |
| | |
| 30 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUND
| | | | | | | | |
| Shares | | | Description | |
Value | |
| Common Stocks – (continued) | | | |
| Norway – 1.9% | | | |
| | 517,674 | | | DNB ASA (Banks)(c) | | $ | 8,078,987 | |
| | 1,172,657 | | | Norsk Hydro ASA (Materials) | | | 6,682,556 | |
| | 47,683 | | | Tomra Systems ASA (Commercial & Professional Services) | | | 553,969 | |
| | | | | | | | |
| | | | | | | 15,315,512 | |
| | |
| Portugal – 0.1% | | | |
| | 27,610 | | | Altri SGPS SA (Materials) | | | 128,929 | |
| | 48,237 | | | NOS SGPS SA (Media) | | | 276,302 | |
| | | | | | | | |
| | | | | | | 405,231 | |
| | |
| Singapore – 0.4% | | | |
| | 147,300 | | | Venture Corp. Ltd. (Technology Hardware & Equipment) | | | 1,285,547 | |
| | 607,700 | | | Wilmar International Ltd. (Food, Beverage & Tobacco) | | | 1,543,602 | |
| | | | | | | | |
| | | | | | | 2,829,149 | |
| | |
| South Africa – 0.7% | | | |
| | 225,650 | | | Mondi plc (Materials) | | | 5,837,894 | |
| | |
| Spain – 4.1% | | | |
| | 3,021 | | | Amadeus IT Group SA (Software & Services) | | | 163,041 | |
| | 2,336,607 | | | Banco Santander SA (Banks) | | | 15,227,502 | |
| | 442,830 | | | Bankinter SA (Banks) | | | 3,898,217 | |
| | 264,252 | | | Endesa SA (Utilities) | | | 6,223,970 | |
| | 16,016 | | | Grifols SA (Pharmaceuticals, Biotechnology & Life Sciences) | | | 429,881 | |
| | 463,423 | | | Repsol SA (Energy) | | | 7,314,364 | |
| | 28,149 | | | Telefonica SA (Telecommunication Services) | | | 311,327 | |
| | | | | | | | |
| | | | | | | 33,568,302 | |
| | |
| Sweden – 4.8% | | | |
| | 197,556 | | | Alfa Laval AB (Capital Goods)(c) | | | 4,048,258 | |
| | 85,449 | | | Atlas Copco AB Class B (Capital Goods)(c) | | | 2,839,479 | |
| | 59,971 | | | Boliden AB (Materials)(c) | | | 1,713,270 | |
| | 230,213 | | | Electrolux ABSeries B (Consumer Durables & Apparel) | | | 6,832,049 | |
| | 15,858 | | | Granges AB (Materials)* | | | 164,667 | |
| | 223,180 | | | Husqvarna AB Class B (Consumer Durables & Apparel) | | | 2,218,624 | |
| | 14,011 | | | JM AB (Consumer Durables & Apparel) | | | 492,959 | |
| | 514,753 | | | Sandvik AB (Capital Goods)(c) | | | 8,252,565 | |
| | 40,162 | | | SKF AB Class B (Capital Goods) | | | 881,362 | |
| | 206,578 | | | Svenska Cellulosa AB SCA Class B (Household & Personal Products) | | | 6,839,241 | |
| | 140,042 | | | Swedish Match AB (Food, Beverage & Tobacco) | | | 4,618,099 | |
| | | | | | | | |
| | | | | | | 38,900,573 | |
| | |
| Switzerland – 5.2% | | | |
| | 322,670 | | | ABB Ltd. (Registered) (Capital Goods) | | | 7,906,791 | |
| | 4,786 | | | Adecco Group AG (Registered) (Commercial & Professional Services) | | | 355,609 | |
| | |
| Common Stocks – (continued) | | | |
| Switzerland – (continued) | | | |
| | 4,140 | | | Bachem Holding AG (Registered) Class B (Pharmaceuticals, Biotechnology & Life Sciences) | | | 493,615 | |
| | 7,445 | | | Flughafen Zuerich AG (Registered) (Transportation) | | | 1,640,711 | |
| | 5,969 | | | Georg Fischer AG (Registered) (Capital Goods) | | | 5,628,576 | |
| | 36,656 | | | Lonza Group AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences)* | | | 7,500,187 | |
| | 1,292 | | | Rieter Holding AG (Registered) (Capital Goods)* | | | 286,707 | |
| | 2,639 | | | Roche Holding AG (Pharmaceuticals, Biotechnology & Life Sciences) | | | 690,533 | |
| | 152 | | | Schweiter Technologies AG (Capital Goods) | | | 182,686 | |
| | 555,041 | | | STMicroelectronics NV (Semiconductors & Semiconductor Equipment) | | | 8,912,994 | |
| | 2,940 | | | Sulzer AG (Registered) (Capital Goods) | | | 343,049 | |
| | 504,904 | | | UBS Group AG (Registered) (Diversified Financials) | | | 8,619,136 | |
| | | | | | | | |
| | | | | | | 42,560,594 | |
| | |
| United Kingdom – 13.1% | | | |
| | 614,245 | | | 3i Group plc (Diversified Financials) | | | 6,312,620 | |
| | 65,650 | | | AstraZeneca plc ADR (Pharmaceuticals, Biotechnology & Life Sciences)(d) | | | 1,985,913 | |
| | 29,165 | | | Bellway plc (Consumer Durables & Apparel) | | | 1,074,891 | |
| | 198,424 | | | British American Tobacco plc (Food, Beverage & Tobacco) | | | 13,406,194 | |
| | 388,955 | | | Compass Group plc (Consumer Services) | | | 7,853,316 | |
| | 375,993 | | | Diageo plc (Food, Beverage & Tobacco) | | | 10,944,101 | |
| | 14,165 | | | Dialog Semiconductor plc (Semiconductors & Semiconductor Equipment)* | | | 662,795 | |
| | 360,414 | | | Direct Line Insurance Group plc (Insurance) | | | 1,628,671 | |
| | 628,779 | | | GKN plc (Automobiles & Components) | | | 2,922,101 | |
| | 1,354,380 | | | HSBC Holdings plc (Banks) | | | 11,168,657 | |
| | 19,337 | | | Intermediate Capital Group plc (Diversified Financials) | | | 195,724 | |
| | 389,374 | | | International Consolidated Airlines Group SA (Transportation) | | | 2,821,776 | |
| | 4,610,105 | | | Lloyds Banking Group plc (Banks) | | | 4,142,303 | |
| | 5,410 | | | Micro Focus International plc (Software & Services) | | | 181,262 | |
| | 239,949 | | | National Grid plc (Utilities) | | | 3,106,923 | |
| | 58,163 | | | Pagegroup plc (Commercial & Professional Services) | | | 376,833 | |
| | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 31 |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUND
Schedule of Investments (continued)
April 30, 2017 (Unaudited)
| | | | | | | | |
| Shares | | | Description | |
Value | |
| Common Stocks – (continued) | | | |
| United Kingdom – (continued) | | | |
| | 173,444 | | | Persimmon plc (Consumer Durables & Apparel) | | $ | 5,233,348 | |
| | 193,738 | | | QinetiQ Group plc (Capital Goods) | | | 737,264 | |
| | 40,936 | | | Reckitt Benckiser Group plc (Household & Personal Products) | | | 3,771,742 | |
| | 43,733 | | | RPC Group plc (Materials) | | | 459,411 | |
| | 471,786 | | | Saga plc (Insurance) | | | 1,280,637 | |
| | 297,025 | | | Smiths Group plc (Capital Goods) | | | 6,314,297 | |
| | 19,966 | | | Spirax-Sarco Engineering plc (Capital Goods) | | | 1,344,416 | |
| | 160,404 | | | SSP Group plc (Consumer Services) | | | 924,303 | |
| | 124,041 | | | Subsea 7 SA (Energy) | | | 2,044,151 | |
| | 245,232 | | | Tate & Lyle plc (Food, Beverage & Tobacco) | | | 2,404,927 | |
| | 21,252 | | | Unilever NV CVA (Household & Personal Products) | | | 1,113,296 | |
| | 48,020 | | | Unilever plc (Household & Personal Products) | | | 2,470,549 | |
| | 32,387 | | | Unilever plc ADR (Household & Personal Products) | | | 1,662,749 | |
| | 320,752 | | | Vodafone Group plc ADR (Telecommunication Services)(d) | | | 8,400,495 | |
| | | | | | | | |
| | | | | | | 106,945,665 | |
| | |
| United States – 0.8% | |
| | 109,452 | | | Carnival plc ADR (Consumer Services)(c)(d) | | | 6,734,582 | |
| | |
| | TOTAL COMMON STOCKS | | | | |
| | (Cost $710,139,051) | | $ | 788,252,443 | |
| | |
| | | | | | | | |
| Shares | | | Distribution Rate | |
Value | |
| | Investment Company(e)(f) – 14.0% | |
| Goldman Sachs Financial Square Government Fund –
Institutional Shares |
|
| | 114,651,671 | | | 0.656% | | $ | 114,651,671 | |
| | (Cost $114,651,671) | |
| | |
| TOTAL INVESTMENTS BEFORE SECURITIES
LENDING REINVESTMENT VEHICLE |
|
| | (Cost $824,790,722) | | $ | 902,904,114 | |
| | |
| | | | | | | | |
| Securities Lending Reinvestment Vehicle(e)(f) – 3.2% | |
| Goldman Sachs Financial Square Government Fund –
Institutional Shares |
|
| | 25,795,325 | | | 0.656% | | $ | 25,795,325 | |
| | (Cost $25,795,325) | |
| | |
| | TOTAL INVESTMENTS – 113.6% | |
| | (Cost $850,586,047) | | $ | 928,699,439 | |
| | |
| LIABILITIES IN EXCESS OF
OTHER ASSETS – (13.6)% | | | (110,949,451 | ) |
| | |
| | NET ASSETS – 100.0% | | $ | 817,749,988 | |
| | |
| | |
| 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 $4,600,374, which represents approximately 0.6% of net assets as of April 30, 2017. |
(b) | | Preference Shares are a special type of equity investment that shares in the earnings of the company, has limited voting rights, and receives a greater dividend than applicable Common Shares. |
(c) | | All or a portion of security is on loan. |
(d) | | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. |
(e) | | Represents an affiliated issuer. |
(f) | | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on April 30, 2017. |
| | |
|
Investment Abbreviations: |
ADR | | —American Depositary Receipt |
CVA | | —Dutch Certification |
REIT | | —Real Estate Investment Trust |
|
| | |
| 32 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUND
|
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At April 30, 2017, the Fund had the following futures contracts:
| | | | | | | | | | | | | | |
| Type | | Number of
Contracts
Long (Short) | | | Expiration
Date | | Current
Value | | | Unrealized
Gain (Loss) | |
EURO STOXX 50 Index | | | 210 | | | June 2017 | | $ | 8,024,655 | | | $ | 8,854 | |
FTSE 100 Index | | | 41 | | | June 2017 | | | 3,804,844 | | | | (49,409 | ) |
Hang Seng Index | | | 3 | | | May 2017 | | | 473,642 | | | | 946 | |
MSCI Singapore Index | | | 10 | | | May 2017 | | | 248,756 | | | | 36 | |
SPI 200 Index | | | 14 | | | June 2017 | | | 1,549,679 | | | | 2,970 | |
TSE TOPIX Index | | | 26 | | | June 2017 | | | 3,568,513 | | | | (49,509 | ) |
| TOTAL | | | | | | | | | | | | $ | (86,112 | ) |
| | |
| The accompanying notes are an integral part of these financial statements. | | 33 |
GOLDMAN SACHS INTERNATIONAL SMALL CAP INSIGHTS FUND
Schedule of Investments
April 30, 2017 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – 94.8% | |
| Australia – 8.1% | |
| | 333,186 | | | Adelaide Brighton Ltd. (Materials) | | $ | 1,477,172 | |
| | 569,759 | | | Altium Ltd. (Software & Services) | | | 3,493,626 | |
| | 35,546 | | | Ansell Ltd. (Health Care Equipment & Services) | | | 632,753 | |
| | 1,776,742 | | | BlueScope Steel Ltd. (Materials) | | | 15,523,290 | |
| | 189,355 | | | Breville Group Ltd. (Consumer Durables & Apparel) | | | 1,516,880 | |
| | 984,169 | | | BWP Trust (REIT) | | | 2,151,357 | |
| | 4,241,079 | | | Charter Hall Group (REIT) | | | 18,016,214 | |
| | 1,046,448 | | | Costa Group Holdings Ltd. (Food, Beverage & Tobacco) | | | 3,435,014 | |
| | 4,179,084 | | | CSR Ltd. (Materials) | | | 15,324,262 | |
| | 2,709,801 | | | Downer EDI Ltd. (Commercial & Professional Services) | | | 11,907,793 | |
| | 876,926 | | | Genworth Mortgage Insurance Australia Ltd. (Banks) | | | 2,156,529 | |
| | 199,471 | | | GUD Holdings Ltd. (Consumer Durables & Apparel) | | | 1,856,744 | |
| | 250,134 | | | GWA Group Ltd. (Capital Goods) | | | 584,161 | |
| | 4,810,038 | | | Investa Office Fund (REIT) | | | 17,100,746 | |
| | 5,598,654 | | | Metcash Ltd. (Food & Staples Retailing)* | | | 9,013,401 | |
| | 545,640 | | | Mineral Resources Ltd. (Materials) | | | 4,363,876 | |
| | 131,934 | | | Northern Star Resources Ltd. (Materials) | | | 428,957 | |
| | 53,177 | | | Nufarm Ltd. (Materials) | | | 404,159 | |
| | 723,592 | | | OZ Minerals Ltd. (Materials) | | | 3,842,156 | |
| | 263,689 | | | Perpetual Ltd. (Diversified Financials) | | | 10,413,746 | |
| | 663,183 | | | Regis Resources Ltd. (Materials) | | | 1,647,050 | |
| | 1,051,115 | | | Resolute Mining Ltd. (Materials) | | | 975,947 | |
| | 266,235 | | | Seven Group Holdings Ltd. (Capital Goods) | | | 2,208,580 | |
| | 1,425,414 | | | Sigma Pharmaceuticals Ltd. (Health Care Equipment & Services) | | | 1,334,502 | |
| | 38,387 | | | Sirtex Medical Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 445,768 | |
| | 8,800,525 | | | Southern Cross Media Group Ltd. Class L (Media) | | | 8,505,846 | |
| | 772,969 | | | St Barbara Ltd. (Materials)* | | | 1,584,359 | |
| | 5,565,030 | | | Whitehaven Coal Ltd. (Energy)* | | | 11,383,439 | |
| | | | | | | | |
| | | | | | | 151,728,327 | |
| | |
| Austria – 0.3% | |
| | 12,433 | | | Porr AG (Capital Goods) | | | 444,896 | |
| | 623,390 | | | UNIQA Insurance Group AG (Insurance) | | | 5,201,973 | |
| | | | | | | | |
| | | | | | | 5,646,869 | |
| | |
| Belgium – 3.0% | |
| | 31,590 | | | Barco NV (Technology Hardware & Equipment) | | | 3,111,097 | |
| | 238,828 | | | Bekaert SA (Materials) | | | 12,021,326 | |
| | 10,937 | | | Cie d’Entreprises CFE (Capital Goods) | | | 1,593,972 | |
| | |
| Common Stocks – (continued) | |
| Belgium – (continued) | |
| | 131,231 | | | D’ieteren SA/NV (Retailing) | | | 6,402,765 | |
| | 199,765 | | | Galapagos NV (Pharmaceuticals, Biotechnology & Life Sciences)* | | | 17,501,130 | |
| | 35,271 | | | Gimv NV (Diversified Financials) | | | 2,152,266 | |
| | 99,549 | | | Melexis NV (Semiconductors & Semiconductor Equipment) | | | 8,298,811 | |
| | 117,919 | | | Orange Belgium SA (Telecommunication Services) | | | 2,459,722 | |
| | 68,086 | | | Tessenderlo Chemie NV (Materials)* | | | 2,794,537 | |
| | | | | | | | |
| | | | | | | 56,335,626 | |
| | |
| Canada – 0.0% | |
| | 85,294 | | | Entertainment One Ltd. (Media) | | | 273,199 | |
| | |
| China – 0.0% | |
| | 1,549,000 | | | CITIC Telecom International Holdings Ltd. (Telecommunication Services) | | | 477,622 | |
| | |
| Denmark – 2.9% | |
| | 192,310 | | | Dfds A/S (Transportation) | | | 11,466,740 | |
| | 15,936 | | | FLSmidth & Co. A/S (Capital Goods) | | | 958,026 | |
| | 464,266 | | | GN Store Nord A/S (Health Care Equipment & Services) | | | 12,067,691 | |
| | 117,105 | | | Jyske Bank A/S (Registered) (Banks) | | | 6,262,300 | |
| | 13,665 | | | Royal Unibrew A/S (Food, Beverage & Tobacco) | | | 594,169 | |
| | 32,005 | | | Scandinavian Tobacco Group A/S Class A (Food, Beverage & Tobacco)(a) | | | 558,708 | |
| | 38,385 | | | Schouw & Co. AB (Food, Beverage & Tobacco) | | | 3,951,099 | |
| | 280,596 | | | Spar Nord Bank A/S (Banks) | | | 3,180,659 | |
| | 402,160 | | | Sydbank A/S (Banks) | | | 14,628,408 | |
| | | | | | | | |
| | | | | | | 53,667,800 | |
| | |
| Faroe Islands – 0.3% | |
| | 181,613 | | | Bakkafrost P/F (Food, Beverage & Tobacco) | | | 6,153,130 | |
| | |
| Finland – 1.4% | |
| | 120,833 | | | Cramo OYJ (Capital Goods) | | | 3,141,850 | |
| | 388,668 | | | Kemira OYJ (Materials) | | | 4,971,865 | |
| | 207,702 | | | Outokumpu OYJ (Materials) | | | 1,988,951 | |
| | 423,343 | | | Ramirent OYJ (Capital Goods) | | | 4,025,818 | |
| | 703,012 | | | Valmet OYJ (Capital Goods) | | | 12,805,325 | |
| | | | | | | | |
| | | | | | | 26,933,809 | |
| | |
| France – 2.7% | |
| | 1,279,074 | | | Air France-KLM (Transportation)* | | | 10,745,657 | |
| | 31,181 | | | Alten SA (Software & Services) | | | 2,642,513 | |
| | 28,786 | | | Altran Technologies SA (Software & Services)* | | | 482,995 | |
| | 26,444 | | | Euler Hermes Group (Insurance) | | | 2,583,469 | |
| | |
| | |
| 34 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL SMALL CAP INSIGHTS FUND
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – (continued) | |
| France – (continued) | |
| | 148,564 | | | IPSOS (Media) | | $ | 4,764,298 | |
| | 9,549 | | | Jacquet Metal Service (Capital Goods) | | | 256,311 | |
| | 232,907 | | | Metropole Television SA (Media) | | | 5,301,980 | |
| | 118,806 | | | Neopost SA (Technology Hardware & Equipment) | | | 4,817,714 | |
| | 240,737 | | | Nexity SA (Real Estate) | | | 13,089,451 | |
| | 139,877 | | | SPIE SA (Capital Goods) | | | 3,876,720 | |
| | 45,636 | | | Tarkett SA (Capital Goods) | | | 2,144,223 | |
| | | | | | | | |
| | | | | | | 50,705,331 | |
| | |
| Germany – 7.9% | |
| | 460,752 | | | Aareal Bank AG (Banks) | | | 18,531,835 | |
| | 97,240 | | | alstria office REIT-AG (REIT)* | | | 1,286,038 | |
| | 7,842 | | | Amadeus Fire AG (Commercial & Professional Services) | | | 669,886 | |
| | 46,275 | | | AURELIUS Equity Opportunities SE & Co. KGaA (Diversified Financials)(b) | | | 2,284,212 | |
| | 190,324 | | | Aurubis AG (Materials) | | | 13,300,893 | |
| | 20,174 | | | Carl Zeiss Meditec AG (Health Care Equipment & Services)* | | | 917,077 | |
| | 5,544 | | | Cewe Stiftung & Co. KGAA (Commercial & Professional Services) | | | 504,809 | |
| | 6,778 | | | Deutsche Beteiligungs AG (Diversified Financials) | | | 257,972 | |
| | 694,987 | | | Deutsche Pfandbriefbank AG (Banks)(a) | | | 9,317,820 | |
| | 561,670 | | | Deutz AG (Capital Goods)* | | | 4,371,879 | |
| | 35,298 | | | Duerr AG (Capital Goods) | | | 3,517,462 | |
| | 11,247 | | | Draegerwerk AG & Co. KGaA (Preference) (Health Care & Equipment Services)*(c) | | | 1,230,976 | |
| | 637,143 | | | Evotec AG (Pharmaceuticals, Biotechnology & Life Sciences)* | | | 7,440,347 | |
| | 181,095 | | | Freenet AG (Telecommunication Services) | | | 5,683,364 | |
| | 190,324 | | | Gerresheimer AG (Pharmaceuticals, Biotechnology & Life Sciences) | | | 14,930,642 | |
| | 32,160 | | | Grammer AG (Automobiles & Components) | | | 1,973,276 | |
| | 162,930 | | | Hamburger Hafen und Logistik AG (Transportation) | | | 3,087,912 | |
| | 23,168 | | | Homag Group AG (Capital Goods) | | | 1,264,369 | |
| | 55,397 | | | Indus Holding AG (Capital Goods) | | | 3,703,072 | |
| | 8,169 | | | Isra Vision AG (Technology Hardware & Equipment) | | | 1,196,817 | |
| | 217,374 | | | Jenoptik AG (Technology Hardware & Equipment) | | | 5,849,004 | |
| | 79,744 | | | Jungheinrich AG (Preference) (Capital Goods)(c) | | | 2,776,703 | |
| | 618,811 | | | Kloeckner & Co. SE (Capital Goods)* | | | 6,836,198 | |
| | 62,476 | | | Koenig & Bauer AG (Capital Goods)* | | | 4,323,482 | |
| | 123,059 | | | Rheinmetall AG (Capital Goods) | | | 11,295,554 | |
| | 13,148 | | | SMA Solar Technology AG (Semiconductors & Semiconductor Equipment)(b) | | | 340,209 | |
| | 133,356 | | | Software AG (Software & Services) | | | 5,867,426 | |
| | |
| Common Stocks – (continued) | |
| Germany – (continued) | |
| | 216,776 | | | Suedzucker AG (Food, Beverage & Tobacco) | | | 4,639,291 | |
| | 528,785 | | | TAG Immobilien AG (Real Estate) | | | 7,528,713 | |
| | 50,780 | | | Takkt AG (Retailing) | | | 1,206,689 | |
| | 82,192 | | | Zeal Network SE (Consumer Services) | | | 2,415,916 | |
| | | | | | | | |
| | | | | | | 148,549,843 | |
| | |
| Hong Kong – 1.0% | |
| | 4,681,000 | | | Champion REIT (REIT) | | | 3,043,613 | |
| | 1,165,000 | | | Emperor Entertainment Hotel Ltd. (Consumer Services) | | | 279,879 | |
| | 162,000 | | | Great Eagle Holdings Ltd. (Real Estate) | | | 803,465 | |
| | 18,084,000 | | | G-Resources Group Ltd. (Materials) | | | 318,513 | |
| | 195,500 | | | Hopewell Holdings Ltd. (Capital Goods) | | | 745,859 | |
| | 1,559,000 | | | Melco International Development Ltd. (Consumer Services) | | | 3,200,730 | |
| | 2,176,000 | | | Shun Tak Holdings Ltd. (Capital Goods) | | | 794,045 | |
| | 1,675,208 | | | SmarTone Telecommunications Holdings Ltd. (Telecommunication Services) | | | 2,346,073 | |
| | 607,000 | | | Sunlight REIT (REIT) | | | 376,747 | |
| | 7,266,000 | | | Truly International Holdings Ltd. (Technology Hardware & Equipment) | | | 2,463,502 | |
| | 5,724,000 | | | Xinyi Glass Holdings Ltd. (Automobiles & Components) | | | 5,072,222 | |
| | | | | | | | |
| | | | | | | 19,444,648 | |
| | |
| Ireland – 0.0% | |
| | 54,910 | | | UDG Healthcare plc (Health Care Equipment & Services) | | | 531,830 | |
| | |
| Israel – 0.3% | |
| | 4,246,235 | | | El Al Israel Airlines (Transportation) | | | 3,316,748 | |
| | 5,514 | | | Rami Levy Chain Stores Hashikma Marketing 2006 Ltd. (Food & Staples Retailing) | | | 263,384 | |
| | 426,120 | | | Shufersal Ltd. (Food & Staples Retailing) | | | 2,100,128 | |
| | 10,501 | | | Strauss Group Ltd. (Food, Beverage & Tobacco) | | | 184,563 | |
| | | | | | | | |
| | | | | | | 5,864,823 | |
| | |
| Italy – 4.2% | |
| | 200,936 | | | Ascopiave SpA (Utilities) | | | 792,782 | |
| | 88,076 | | | Banca Generali SpA (Diversified Financials) | | | 2,530,936 | |
| | 202,410 | | | Banca Mediolanum SpA (Diversified Financials)(b) | | | 1,548,196 | |
| | 450,254 | | | Banca Popolare di Sondrio SCPA (Banks) | | | 1,677,521 | |
| | |
| | |
| 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, 2017 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – (continued) | |
| Italy – (continued) | |
| | 169,845 | | | Biesse SpA (Capital Goods) | | $ | 5,230,422 | |
| | 275,788 | | | Cerved Information Solutions SpA (Diversified Financials) | | | 2,944,372 | |
| | 682,357 | | | Credito Valtellinese SpA (Banks)(b) | | | 2,466,480 | |
| | 88,940 | | | De’ Longhi SpA (Consumer Durables & Apparel) | | | 2,711,470 | |
| | 198,690 | | | DiaSorin SpA (Health Care Equipment & Services) | | | 14,890,592 | |
| | 87,585 | | | El.En. SpA (Health Care Equipment & Services) | | | 3,118,833 | |
| | 1,987,603 | | | Enav SpA (Transportation)*(a) | | | 8,135,852 | |
| | 363,522 | | | Hera SpA (Utilities) | | | 1,039,691 | |
| | 454,383 | | | Interpump Group SpA (Capital Goods) | | | 12,050,027 | |
| | 162,636 | | | Iren SpA (Utilities) | | | 342,803 | |
| | 10,186 | | | Italmobiliare SpA (Capital Goods) | | | 570,314 | |
| | 1,029,921 | | | Mediaset SpA (Media) | | | 4,208,981 | |
| | 1,655,999 | | | Saras SpA (Energy) | | | 3,459,693 | |
| | 1,085,110 | | | Societa Cattolica di Assicurazioni SCRL (Insurance) | | | 9,644,805 | |
| | 126,430 | | | Societa Iniziative Autostradali e Servizi SpA (Transportation) | | | 1,273,912 | |
| | 53,969 | | | Unione di Banche Italiane SpA (Banks)(b) | | | 227,401 | |
| | | | | | | | |
| | | | | | | 78,865,083 | |
| | |
| Japan – 30.0% | |
| | 472,000 | | | ADEKA Corp. (Materials) | | | 6,967,095 | |
| | 79,200 | | | Aichi Steel Corp. (Materials) | | | 3,096,528 | |
| | 87,200 | | | Alpine Electronics, Inc. (Consumer Durables & Apparel) | | | 1,268,878 | |
| | 369,500 | | | Asatsu-DK, Inc. (Media) | | | 9,588,824 | |
| | 160,000 | | | ASKA Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 2,350,427 | |
| | 244,200 | | | Avex Group Holdings, Inc. (Media) | | | 3,591,503 | |
| | 46,700 | | | BML, Inc. (Health Care Equipment & Services) | | | 1,019,317 | |
| | 171,300 | | | Canon Marketing Japan, Inc. (Retailing) | | | 3,610,085 | |
| | 95,600 | | | Cawachi Ltd. (Food & Staples Retailing) | | | 2,513,766 | |
| | 41,500 | | | Chiyoda Integre Co. Ltd. (Capital Goods) | | | 913,621 | |
| | 39,200 | | | CKD Corp. (Capital Goods) | | | 490,891 | |
| | 28,100 | | | Daibiru Corp. (Real Estate) | | | 259,309 | |
| | 171,000 | | | Daiichi Jitsugyo Co. Ltd. (Capital Goods) | | | 1,073,720 | |
| | 1,060,700 | | | DCM Holdings Co. Ltd. (Retailing) | | | 9,234,720 | |
| | 25,900 | | | Disco Corp. (Semiconductors & Semiconductor Equipment) | | | 4,096,813 | |
| | 209,300 | | | DMG Mori Co. Ltd. (Capital Goods) | | | 3,456,034 | |
| | 243,100 | | | Doutor Nichires Holdings Co. Ltd. (Consumer Services) | | | 5,155,089 | |
| | 69,200 | | | DTS Corp. (Software & Services) | | | 1,816,751 | |
| | 120,000 | | | Earth Chemical Co. Ltd. (Household & Personal Products) | | | 6,502,753 | |
| | |
| Common Stocks – (continued) | |
| Japan – (continued) | |
| | 167,200 | | | EDION Corp. (Retailing)(b) | | | 1,629,901 | |
| | 85,500 | | | Eizo Corp. (Technology Hardware & Equipment) | | | 2,827,207 | |
| | 115,500 | | | EPS Holdings, Inc. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 1,522,128 | |
| | 46,100 | | | Fancl Corp. (Household & Personal Products) | | | 775,472 | |
| | 168,800 | | | Foster Electric Co. Ltd. (Consumer Durables & Apparel) | | | 2,818,435 | |
| | 127,400 | | | Fuji Oil Holdings, Inc. (Food, Beverage & Tobacco) | | | 2,989,277 | |
| | 132,800 | | | Fuji Soft, Inc. (Software & Services) | | | 3,506,169 | |
| | 76,400 | | | Fujibo Holdings, Inc. (Consumer Durables & Apparel) | | | 2,083,156 | |
| | 196,800 | | | Fujitec Co. Ltd. (Capital Goods) | | | 2,332,306 | |
| | 37,100 | | | Funai Electric Co. Ltd. (Consumer Durables & Apparel)(b) | | | 277,049 | |
| | 128,700 | | | Geo Holdings Corp. (Retailing) | | | 1,421,652 | |
| | 22,300 | | | Glory Ltd. (Capital Goods) | | | 748,800 | |
| | 201,100 | | | Goldcrest Co. Ltd. (Real Estate) | | | 3,575,834 | |
| | 2,664 | | | Hankyu Reit, Inc. (REIT) | | | 3,505,798 | |
| | 572,000 | | | Hanwa Co. Ltd. (Capital Goods) | | | 4,055,705 | |
| | 210,600 | | | Haseko Corp. (Consumer Durables & Apparel) | | | 2,403,942 | |
| | 2,759 | | | Heiwa Real Estate REIT, Inc. (REIT) | | | 2,089,291 | |
| | 120,300 | | | Hitachi Transport System Ltd. (Transportation) | | | 2,556,760 | |
| | 888,300 | | | Hokuhoku Financial Group, Inc. (Banks) | | | 13,952,934 | |
| | 477,500 | | | Hosiden Corp. (Technology Hardware & Equipment) | | | 5,260,331 | |
| | 178,000 | | | Hyakujushi Bank Ltd. (The) (Banks) | | | 589,771 | |
| | 2,619 | | | Industrial & Infrastructure Fund Investment Corp. (REIT) | | | 11,557,303 | |
| | 220,100 | | | Ines Corp. (Software & Services) | | | 2,057,198 | |
| | 4,600 | | | Invincible Investment Corp. (REIT) | | | 1,761,937 | |
| | 29,100 | | | Ishihara Sangyo Kaisha Ltd. (Materials)* | | | 284,938 | |
| | 19,600 | | | Ito En Ltd. (Food, Beverage & Tobacco) | | | 710,714 | |
| | 23,000 | | | Japan Aviation Electronics Industry Ltd. (Technology Hardware & Equipment) | | | 314,603 | |
| | 1,194,500 | | | Japan Display, Inc. (Technology Hardware & Equipment)*(b) | | | 2,700,218 | |
| | 2,771 | | | Japan Rental Housing Investments, Inc. (REIT) | | | 1,991,422 | |
| | 1,863,900 | | | JVC Kenwood Corp. (Consumer Durables & Apparel) | | | 4,968,405 | |
| | 43,300 | | | Kaga Electronics Co. Ltd. (Technology Hardware & Equipment) | | | 801,233 | |
| | 25,200 | | | Kanematsu Electronics Ltd. (Software & Services) | | | 677,396 | |
| | |
| | |
| 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) | |
| Japan – (continued) | |
| | 405,400 | | | Keihin Corp. (Automobiles & Components) | | $ | 6,378,948 | |
| | 2,777 | | | Kenedix Office Investment Corp. (REIT) | | | 15,734,192 | |
| | 922 | | | Kenedix Residential Investment Corp. (REIT) | | | 2,367,763 | |
| | 1,005,600 | | | Kitz Corp. (Capital Goods) | | | 7,041,527 | |
| | 73,200 | | | Kiyo Bank Ltd. (The) (Banks) | | | 1,143,468 | |
| | 231,900 | | | Kohnan Shoji Co. Ltd. (Retailing) | | | 4,475,043 | |
| | 599,600 | | | Kokuyo Co. Ltd. (Commercial & Professional Services) | | | 7,786,589 | |
| | 16,800 | | | Konoike Transport Co. Ltd. (Transportation) | | | 228,369 | |
| | 453,000 | | | Kurabo Industries Ltd. (Consumer Durables & Apparel) | | | 1,011,376 | |
| | 75,000 | | | KYB Corp. (Automobiles & Components) | | | 370,458 | |
| | 84,200 | | | Kyokuto Kaihatsu Kogyo Co. Ltd. (Capital Goods) | | | 1,389,806 | |
| | 147,100 | | | Kyokuto Securities Co. Ltd. (Diversified Financials) | | | 2,193,035 | |
| | 49,100 | | | KYORIN Holdings, Inc. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 1,028,609 | |
| | 600,500 | | | Leopalace21 Corp. (Real Estate) | | | 3,191,873 | |
| | 1,369,000 | | | Makino Milling Machine Co. Ltd. (Capital Goods) | | | 12,196,179 | |
| | 62,800 | | | Maruha Nichiro Corp. (Food, Beverage & Tobacco) | | | 1,796,208 | |
| | 113,600 | | | Maruwa Co. Ltd. (Technology Hardware & Equipment) | | | 4,056,907 | |
| | 66,300 | | | Meiko Network Japan Co. Ltd. (Consumer Services) | | | 864,110 | |
| | 81,400 | | | Mimasu Semiconductor Industry Co. Ltd. (Semiconductors & Semiconductor Equipment) | | | 1,260,852 | |
| | 331,200 | | | Mirait Holdings Corp. (Capital Goods) | | | 3,442,305 | |
| | 22,700 | | | Mitsui Sugar Co. Ltd. (Food, Beverage & Tobacco) | | | 559,656 | |
| | 49,900 | | | Modec, Inc. (Energy) | | | 1,050,407 | |
| | 34,200 | | | Musashino Bank Ltd. (The) (Banks) | | | 995,147 | |
| | 277,600 | | | Namura Shipbuilding Co. Ltd. (Capital Goods) | | | 1,793,482 | |
| | 118,000 | | | NEC Networks & System Integration Corp. (Software & Services) | | | 2,466,740 | |
| | 953,200 | | | NET One Systems Co. Ltd. (Software & Services) | | | 8,697,300 | |
| | 432,000 | | | Nichias Corp. (Capital Goods) | | | 4,409,775 | |
| | 337,800 | | | Nichicon Corp. (Technology Hardware & Equipment) | | | 3,213,001 | |
| | 538,800 | | | Nichirei Corp. (Food, Beverage & Tobacco) | | | 13,412,121 | |
| | 75,400 | | | Nikkiso Co. Ltd. (Health Care Equipment & Services) | | | 769,986 | |
| | |
| Common Stocks – (continued) | |
| Japan – (continued) | |
| | 130,200 | | | Nikkon Holdings Co. Ltd. (Transportation) | | | 2,722,355 | |
| | 15,400 | | | Nippon Ceramic Co. Ltd. (Technology Hardware & Equipment) | | | 327,119 | |
| | 303,200 | | | Nippon Denko Co. Ltd. (Materials) | | | 924,987 | |
| | 4,685,900 | | | Nippon Light Metal Holdings Co. Ltd. (Materials) | | | 10,469,611 | |
| | 372,000 | | | Nippon Soda Co. Ltd. (Materials) | | | 2,015,737 | |
| | 2,838,800 | | | Nippon Suisan Kaisha Ltd. (Food, Beverage & Tobacco) | | | 13,704,473 | |
| | 260,000 | | | Nippon Thompson Co. Ltd. (Capital Goods) | | | 1,417,454 | |
| | 132,400 | | | Nipro Corp. (Health Care Equipment & Services) | | | 2,008,965 | |
| | 3,204,000 | | | Nishimatsu Construction Co. Ltd. (Capital Goods) | | | 16,297,393 | |
| | 1,048,000 | | | Nisshin Oillio Group Ltd. (The) (Food, Beverage & Tobacco) | | | 6,201,900 | |
| | 514,400 | | | Nissin Electric Co. Ltd. (Capital Goods) | | | 6,080,725 | |
| | 9,200 | | | Nittetsu Mining Co. Ltd. (Materials) | | | 490,346 | |
| | 162,100 | | | Noritz Corp. (Capital Goods) | | | 3,152,527 | |
| | 942,300 | | | North Pacific Bank Ltd. (Banks) | | | 3,593,374 | |
| | 216,800 | | | NSD Co. Ltd. (Software & Services) | | | 3,534,032 | |
| | 166,625 | | | Okinawa Electric Power Co., Inc. (The) (Utilities) | | | 4,065,217 | |
| | 277,400 | | | Open House Co. Ltd. (Real Estate) | | | 6,804,527 | |
| | 277,300 | | | Paltac Corp. (Retailing) | | | 8,185,199 | |
| | 200,200 | | | Paramount Bed Holdings Co. Ltd. (Health Care Equipment & Services) | | | 8,403,669 | |
| | 194,100 | | | Plenus Co. Ltd. (Consumer Services) | | | 4,063,835 | |
| | 880,200 | | | Round One Corp. (Consumer Services) | | | 7,517,374 | |
| | 339,000 | | | Ryobi Ltd. (Capital Goods) | | | 1,491,505 | |
| | 197,500 | | | Saizeriya Co. Ltd. (Consumer Services) | | | 5,546,413 | |
| | 358,500 | | | San-In Godo Bank Ltd. (The) (Banks) | | | 2,918,934 | |
| | 827,000 | | | Sankyu, Inc. (Transportation) | | | 5,252,188 | |
| | 20,900 | | | Sawai Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 1,142,083 | |
| | 254,300 | | | SCREEN Holdings Co. Ltd. (Semiconductors & Semiconductor Equipment) | | | 18,471,418 | |
| | 871,700 | | | Seino Holdings Co. Ltd. (Transportation) | | | 10,095,933 | |
| | 7,275 | | | Sekisui House SI Residential Investment Corp. (REIT) | | | 7,672,192 | |
| | 489,900 | | | Senko Group Holdings Co. Ltd. (Transportation) | | | 3,190,220 | |
| | 477,000 | | | Shindengen Electric Manufacturing Co. Ltd. (Semiconductors & Semiconductor Equipment) | | | 2,213,956 | |
| | |
| | |
| 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, 2017 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – (continued) | |
| Japan – (continued) | |
| | 644,600 | | | Shinko Electric Industries Co. Ltd. (Semiconductors & Semiconductor Equipment) | | $ | 4,611,163 | |
| | 979,000 | | | Shinmaywa Industries Ltd. (Capital Goods) | | | 8,250,482 | |
| | 316,700 | | | Showa Denko KK (Materials) | | | 6,048,951 | |
| | 329,400 | | | Skylark Co. Ltd. (Consumer Services) | | | 4,981,846 | |
| | 1,102,000 | | | Sumitomo Bakelite Co. Ltd. (Materials) | | | 7,081,662 | |
| | 30,200 | | | Sumitomo Forestry Co. Ltd. (Consumer Durables & Apparel) | | | 462,398 | |
| | 26,200 | | | Sumitomo Seika Chemicals Co. Ltd. (Materials) | | | 1,116,620 | |
| | 119,000 | | | Taihei Dengyo Kaisha Ltd. (Capital Goods) | | | 1,181,470 | |
| | 145,035 | | | Tatsuta Electric Wire and Cable Co. Ltd. (Capital Goods) | | | 714,146 | |
| | 100,600 | | | Temp Holdings Co. Ltd. (Commercial & Professional Services) | | | 1,893,104 | |
| | 522,100 | | | Toagosei Co. Ltd. (Materials) | | | 6,133,728 | |
| | 131,600 | | | Tokai Carbon Co. Ltd. (Materials) | | | 576,171 | |
| | 9,300 | | | Token Corp. (Consumer Durables & Apparel) | | | 736,186 | |
| | 111,000 | | | Tokyo Broadcasting System Holdings, Inc. (Media) | | | 1,970,327 | |
| | 15,000 | | | Tokyo Century Corp. (Diversified Financials) | | | 517,022 | |
| | 209,700 | | | Tokyo Seimitsu Co. Ltd. (Semiconductors & Semiconductor Equipment) | | | 6,504,200 | |
| | 5,696 | | | Tokyu REIT, Inc. (REIT) | | | 7,066,018 | |
| | 42,400 | | | Topy Industries Ltd. (Materials) | | | 1,155,041 | |
| | 214,500 | | | Tosei Corp. (Real Estate) | | | 1,516,650 | |
| | 1,419,000 | | | Toshiba Machine Co. Ltd. (Capital Goods) | | | 5,895,950 | |
| | 1,974,000 | | | Tosoh Corp. (Materials) | | | 18,552,834 | |
| | 590,000 | | | Tsubakimoto Chain Co. (Capital Goods) | | | 5,186,540 | |
| | 219,000 | | | Tsugami Corp. (Capital Goods) | | | 1,661,244 | |
| | 36,300 | | | Tsumura & Co. (Pharmaceuticals, Biotechnology & Life Sciences) | | | 1,176,385 | |
| | 422,900 | | | TV Asahi Holdings Corp. (Media) | | | 7,825,268 | |
| | 281,000 | | | UACJ Corp. (Materials) | | | 745,586 | |
| | 45,900 | | | Ulvac, Inc. (Semiconductors & Semiconductor Equipment) | | | 2,154,912 | |
| | 228,500 | | | Unipres Corp. (Automobiles & Components) | | | 4,840,638 | |
| | 30,400 | | | Wakita & Co. Ltd. (Capital Goods) | | | 350,530 | |
| | 43,000 | | | Warabeya Nichiyo Holdings Co. Ltd. (Food, Beverage & Tobacco) | | | 1,061,047 | |
| | 83,300 | | | Xebio Holdings Co. Ltd. (Retailing) | | | 1,385,395 | |
| | 28,400 | | | Yamato Kogyo Co. Ltd. (Materials) | | | 710,350 | |
| | 208,700 | | | Yodogawa Steel Works Ltd. (Materials) | | | 5,405,917 | |
| | |
| Common Stocks – (continued) | |
| Japan – (continued) | |
| | 37,500 | | | Yorozu Corp. (Automobiles & Components) | | | 573,957 | |
| | 6,100 | | | Zenkoku Hosho Co. Ltd. (Diversified Financials) | | | 220,667 | |
| | | | | | | | |
| | | | | | | 561,318,707 | |
| | |
| Luxembourg – 0.0% | |
| | 128,041 | | | B&M European Value Retail SA (Retailing) | | | 558,765 | |
| | |
| Netherlands – 2.2% | |
| | 252,565 | | | ASM International NV (Semiconductors & Semiconductor Equipment)(b) | | | 15,202,027 | |
| | 402,233 | | | BE Semiconductor Industries NV (Semiconductors & Semiconductor Equipment) | | | 21,028,249 | |
| | 110,320 | | | Brunel International NV (Commercial & Professional Services) | | | 1,876,539 | |
| | 42,220 | | | Corbion NV (Materials) | | | 1,310,270 | |
| | 38,149 | | | Euronext NV (Diversified Financials)(a) | | | 1,871,429 | |
| | 349,050 | | | SRH NV (Diversified Financials)*(b) | | | — | |
| | | | | | | | |
| | | | | | | 41,288,514 | |
| | |
| Norway – 0.5% | |
| | 123,189 | | | Borregaard ASA (Materials) | | | 1,383,959 | |
| | 49,804 | | | Skandiabanken ASA (Banks)*(a) | | | 445,348 | |
| | 298,472 | | | SpareBank 1 Nord Norge (Banks) | | | 1,972,780 | |
| | 313,961 | | | SpareBank 1 SMN (Banks) | | | 2,614,550 | |
| | 42,850 | | | Stolt-Nielsen Ltd. (Transportation) | | | 661,265 | |
| | 53,435 | | | TGS Nopec Geophysical Co. ASA (Energy) | | | 1,164,945 | |
| | | | | | | | |
| | | | | | | 8,242,847 | |
| | |
| Portugal – 0.5% | |
| | 254,943 | | | Altri SGPS SA (Materials) | | | 1,190,491 | |
| | 308,467 | | | CTT-Correios de Portugal SA (Transportation) | | | 1,760,646 | |
| | 159,516 | | | Navigator Co. SA (The) (Materials) | | | 674,944 | |
| | 1,068,768 | | | NOS SGPS SA (Media) | | | 6,121,908 | |
| | | | | | | | |
| | | | | | | 9,747,989 | |
| | |
| Singapore – 1.3% | |
| | 785,000 | | | Indofood Agri Resources Ltd. (Food, Beverage & Tobacco) | | | 274,306 | |
| | 133,100 | | | OUE Ltd. (Consumer Services) | | | 195,294 | |
| | 1,836,500 | | | United Engineers Ltd. (Capital Goods) | | | 3,781,715 | |
| | 1,514,800 | | | Venture Corp. Ltd. (Technology Hardware & Equipment) | | | 13,220,280 | |
| | 4,362,210 | | | Yanlord Land Group Ltd. (Real Estate) | | | 5,822,941 | |
| | | | | | | | |
| | | | | | | 23,294,536 | |
| | |
| | |
| 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) | |
| Spain – 2.2% | |
| | 96,684 | | | CIE Automotive SA (Automobiles & Components) | | $ | 2,078,373 | |
| | 98,417 | | | Construcciones y Auxiliar de Ferrocarriles SA (Capital Goods) | | | 3,954,816 | |
| | 996,292 | | | Ence Energia y Celulosa SA (Materials) | | | 3,547,428 | |
| | 427,450 | | | Gamesa Corp. Tecnologica SA (Capital Goods) | | | 9,218,706 | |
| | 105,587 | | | Hispania Activos Inmobiliarios SOCIMI SA (REIT) | | | 1,594,164 | |
| | 30,191 | | | Let’s GOWEX SA (Telecommunication Services)* | | | — | |
| | 1,676,955 | | | Liberbank SA (Banks)* | | | 2,239,618 | |
| | 1,076,681 | | | Mediaset Espana Comunicacion SA (Media)* | | | 14,832,967 | |
| | 220,381 | | | Melia Hotels International SA (Consumer Services) | | | 3,267,889 | |
| | 8,645 | | | Miquel y Costas & Miquel SA (Materials) | | | 267,160 | |
| | | | | | | | |
| | | | | | | 41,001,121 | |
| | |
| Sweden – 3.2% | |
| | 530,011 | | | Betsson AB (Consumer Services)* | | | 4,527,259 | |
| | 104,750 | | | Bilia AB Class A (Retailing) | | | 2,098,557 | |
| | 290,825 | | | Bonava AB Class B (Consumer Durables & Apparel) | | | 4,702,230 | |
| | 118,334 | | | Bure Equity AB (Diversified Financials) | | | 1,463,207 | |
| | 520,293 | | | Granges AB (Materials)* | | | 5,402,639 | |
| | 4,933 | | | Holmen AB Class B (Materials) | | | 207,867 | |
| | 521,093 | | | JM AB (Consumer Durables & Apparel)(b) | | | 18,333,982 | |
| | 154,614 | | | Loomis AB Class B (Commercial & Professional Services) | | | 5,612,139 | |
| | 100,134 | | | Mycronic AB (Technology Hardware & Equipment)(b) | | | 988,821 | |
| | 372,607 | | | Nobina AB (Transportation)(a) | | | 2,271,660 | |
| | 103,648 | | | Saab AB Class B (Capital Goods) | | | 5,135,945 | |
| | 595,679 | | | Scandic Hotels Group AB (Consumer Services)*(a) | | | 6,705,915 | |
| | 23,954 | | | Vitrolife AB (Pharmaceuticals, Biotechnology & Life Sciences) | | | 1,364,771 | |
| | | | | | | | |
| | | | | | | 58,814,992 | |
| | |
| Switzerland – 6.6% | |
| | 21,098 | | | Bobst Group SA (Registered) (Capital Goods) | | | 2,137,291 | |
| | 10,637 | | | Bossard Holding AG (Registered) Class A (Capital Goods) | | | 2,118,848 | |
| | 32,896 | | | Bucher Industries AG (Registered) (Capital Goods) | | | 10,605,684 | |
| | 155,404 | | | Cembra Money Bank AG (Diversified Financials) | | | 13,257,910 | |
| | 1,879 | | | Conzzeta AG (Registered) (Capital Goods) | | | 1,857,283 | |
| | 61,624 | | | Flughafen Zuerich AG (Registered) (Transportation) | | | 13,580,550 | |
| | |
| Common Stocks – (continued) | |
| Switzerland – (continued) | |
| | 6,824 | | | Forbo Holding AG (Registered) (Consumer Durables & Apparel) | | | 11,193,881 | |
| | 20,660 | | | Georg Fischer AG (Registered) (Capital Goods) | | | 19,481,719 | |
| | 1,209 | | | Gurit Holding AG (Materials)* | | | 1,053,470 | |
| | 43,306 | | | Implenia AG (Registered) (Capital Goods) | | | 3,324,596 | |
| | 7,632 | | | Inficon Holding AG (Registered) (Technology Hardware & Equipment)* | | | 4,007,911 | |
| | 20,836 | | | Kardex AG (Registered) (Capital Goods)* | | | 2,295,101 | |
| | 185,777 | | | Logitech International SA (Registered) (Technology Hardware & Equipment) | | | 6,208,894 | |
| | 14,427 | | | Mobimo Holding AG (Registered) (Real Estate)* | | | 3,878,616 | |
| | 16,255 | | | Rieter Holding AG (Registered) (Capital Goods)* | | | 3,607,140 | |
| | 3,558 | | | Schweiter Technologies AG (Capital Goods) | | | 4,276,302 | |
| | 9,532 | | | Siegfried Holding AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences)* | | | 2,724,953 | |
| | 55,365 | | | Sulzer AG (Registered) (Capital Goods) | | | 6,460,177 | |
| | 38,887 | | | Tecan Group AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | | | 6,636,355 | |
| | 51,950 | | | Temenos Group AG (Registered) (Software & Services)* | | | 4,496,575 | |
| | | | | | | | |
| | | | | | | 123,203,256 | |
| | |
| United Kingdom – 16.1% | |
| | 145,701 | | | Abcam plc (Pharmaceuticals, Biotechnology & Life Sciences) | | | 1,617,351 | |
| | 1,368,180 | | | Ashmore Group plc (Diversified Financials) | | | 6,166,767 | |
| | 240,172 | | | Bellway plc (Consumer Durables & Apparel) | | | 8,851,660 | |
| | 169,058 | | | Big Yellow Group plc (REIT) | | | 1,694,781 | |
| | 85,983 | | | Bodycote plc (Capital Goods) | | | 928,463 | |
| | 104,359 | | | Bovis Homes Group plc (Consumer Durables & Apparel) | | | 1,244,201 | |
| | 102,012 | | | Cineworld Group plc (Media) | | | 930,124 | |
| | 22,879 | | | Close Brothers Group plc (Diversified Financials) | | | 501,265 | |
| | 1,782,871 | | | Crest Nicholson Holdings plc (Consumer Durables & Apparel) | | | 13,945,606 | |
| | 155,976 | | | CYBG plc (Banks)*(b) | | | 569,434 | |
| | 212,134 | | | Dialog Semiconductor plc (Semiconductors & Semiconductor Equipment)* | | | 9,925,962 | |
| | 2,017,993 | | | Electrocomponents plc (Technology Hardware & Equipment) | | | 13,563,414 | |
| | 170,648 | | | Elementis plc (Materials) | | | 672,323 | |
| | |
| | |
| 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, 2017 (Unaudited)
| | | | | | | | |
Shares | | | Description | | Value | |
| Common Stocks – (continued) | |
| United Kingdom – (continued) | |
| | 565,962 | | | Fenner plc (Capital Goods) | | $ | 2,470,345 | |
| | 51,954 | | | Fevertree Drinks plc (Food, Beverage & Tobacco) | | | 1,094,768 | |
| | 586,907 | | | Galliford Try plc (Capital Goods) | | | 10,938,453 | |
| | 904,717 | | | Grainger plc (Real Estate) | | | 2,928,302 | |
| | 483,462 | | | Great Portland Estates plc (REIT) | | | 4,331,876 | |
| | 46,801 | | | Halma plc (Technology Hardware & Equipment) | | | 638,295 | |
| | 1,362,799 | | | Hansteen Holdings plc (REIT) | | | 2,185,190 | |
| | 508,029 | | | Hays plc (Commercial & Professional Services) | | | 1,127,364 | |
| | 1,853,227 | | | Inchcape plc (Retailing) | | | 20,501,347 | |
| | 1,976,248 | | | Indivior plc (Pharmaceuticals, Biotechnology & Life Sciences) | | | 8,577,907 | |
| | 300,729 | | | Intermediate Capital Group plc (Diversified Financials) | | | 3,043,894 | |
| | 92,480 | | | International Personal Finance plc (Diversified Financials) | | | 192,357 | |
| | 2,499,310 | | | JD Sports Fashion plc (Retailing) | | | 14,412,037 | |
| | 39,694 | | | John Menzies plc (Retailing) | | | 355,512 | |
| | 612,111 | | | Micro Focus International plc (Software & Services) | | | 20,508,765 | |
| | 154,147 | | | Morgan Advanced Materials plc (Capital Goods) | | | 666,835 | |
| | 417,667 | | | National Express Group plc (Transportation) | | | 1,932,858 | |
| | 59,415 | | | NEX Group plc (Diversified Financials) | | | 473,654 | |
| | 258,058 | | | Northgate plc (Transportation) | | | 1,804,878 | |
| | 2,716,010 | | | Pagegroup plc (Commercial & Professional Services) | | | 17,596,792 | |
| | 156,004 | | | Paragon Group of Cos. plc (The) (Banks) | | | 944,412 | |
| | 458,169 | | | Playtech plc (Software & Services) | | | 5,690,242 | |
| | 316,329 | | | PZ Cussons plc (Household & Personal Products) | | | 1,370,887 | |
| | 1,387,352 | | | QinetiQ Group plc (Capital Goods) | | | 5,279,523 | |
| | 1,373,141 | | | Redrow plc (Consumer Durables & Apparel) | | | 10,253,007 | |
| | 136,965 | | | Rentokil Initial plc (Commercial & Professional Services) | | | 441,587 | |
| | 284,521 | | | RPC Group plc (Materials) | | | 2,988,865 | |
| | 682,401 | | | Safestore Holdings plc (REIT) | | | 3,582,145 | |
| | 1,914,910 | | | Saga plc (Insurance) | | | 5,197,918 | |
| | 561,874 | | | Savills plc (Real Estate) | | | 6,760,697 | |
| | 138,076 | | | Shawbrook Group plc (Banks)*(a) | | | 611,619 | |
| | 59,405 | | | Spectris plc (Technology Hardware & Equipment) | | | 2,123,581 | |
| | 298,707 | | | Spirax-Sarco Engineering plc (Capital Goods) | | | 20,113,511 | |
| | 422,115 | | | SSP Group plc (Consumer Services) | | | 2,432,372 | |
| | 1,357,148 | | | Subsea 7 SA (Energy) | | | 22,365,312 | |
| | 1,164,863 | | | Synthomer plc (Materials) | | | 7,462,181 | |
| | 629,463 | | | TP ICAP plc (Diversified Financials) | | | 3,734,800 | |
| | |
| Common Stocks – (continued) | |
| United Kingdom – (continued) | |
| | 999,239 | | | Tritax Big Box REIT plc (REIT) | | | 1,811,900 | |
| | 1,767,228 | | | UBM plc (Media) | | | 16,253,869 | |
| | 802,268 | | | Vesuvius plc (Capital Goods) | | | 5,515,713 | |
| | | | | | | | |
| | | | | | | 301,326,921 | |
| | |
| United States – 0.1% | |
| | 265,935 | | | Sims Metal Management Ltd. (Materials) | | | 2,441,424 | |
| | |
| | TOTAL COMMON STOCKS | | | | |
| | (Cost $1,537,869,535) | | $ | 1,776,417,012 | |
| | |
| | | | | | | | | | | | |
| Units | | | Description | | Expiration
Month | | | Value | |
| Right* – 0.0% | |
| United Kingdom – 0.0% | | | | |
| | 90,839 | | | Tritax Big Box REIT plc (Real Estate) | | | 05/17 | | | $ | 4,706 | |
| | (Cost $0) | | | | | | | | |
| | |
| TOTAL INVESTMENTS BEFORE SECURITIES
LENDING REINVESTMENT VEHICLE |
|
| | (Cost $1,537,869,535) | | | | | | $ | 1,776,421,718 | |
| | |
| | | | | | | | |
| Shares | | | Distribution Rate | | Value | |
| Securities Lending Reinvestment Vehicle(d)(e) – 1.7% | |
| Goldman Sachs Financial Square Government Fund —
Institutional Shares |
|
| | 31,470,564 | | | 0.656% | | $ | 31,470,564 | |
| | (Cost $31,470,564) | | | | | | | |
| | |
| | TOTAL INVESTMENTS – 96.5% | | | | |
| | (Cost $1,569,340,099) | | $ | 1,807,892,282 | |
| | |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 3.5% | | | 66,320,505 | |
| | |
| | NET ASSETS – 100.0% | | $ | 1,874,212,787 | |
| | |
| | |
| 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 $29,918,351, which represents approximately 1.6% of net assets as of April 30, 2017. |
(b) | | All or a portion of security is on loan. |
(c) | | Preference Shares are a special type of equity investment that shares in the earnings of the company, has limited voting rights, and receives a greater dividend than applicable Common Shares. |
| | |
| 40 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL SMALL CAP INSIGHTS FUND
| | |
(d) | | Represents an affiliated issuer. |
(e) | | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on April 30, 2017. |
| | |
|
Investment Abbreviation: |
REIT | | —Real Estate Investment Trust |
|
|
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At April 30, 2017, the Fund had the following futures contracts:
| | | | | | | | | | | | | | |
| Type | | Number of
Contracts
Long (Short) | | | Expiration
Date | | Current
Value | | | Unrealized
Gain (Loss) | |
EURO STOXX 50 Index | | | 792 | | | June 2017 | | $ | 30,264,414 | | | $ | 373,003 | |
FTSE 100 Index | | | 170 | | | June 2017 | | | 15,776,183 | | | | 83,882 | |
Hang Seng Index | | | 10 | | | May 2017 | | | 1,578,805 | | | | 4,578 | |
MSCI Singapore Index | | | 63 | | | May 2017 | | | 1,567,165 | | | | (1,672 | ) |
SPI 200 Index | | | 57 | | | June 2017 | | | 6,309,407 | | | | 52,768 | |
TOPIX Index | | | 125 | | | June 2017 | | | 17,156,313 | | | | 84,625 | |
| TOTAL | | | | | | | | | | | | $ | 597,184 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 41 |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Statements of Assets and Liabilities
April 30, 2017 (Unaudited)
| | | | | | | | | | | | | | |
| | | | | Emerging Markets
Equity Insights
Fund | | | International
Equity Insights
Fund | | | International
Small Cap Insights Fund | |
| | Assets: | |
| | Investments in unaffiliated issuers, at value (cost $943,541,428, $710,139,051 and $1,537,869,535)(a) | | $ | 1,089,677,852 | | | $ | 788,252,443 | | | $ | 1,776,421,718 | |
| | Investments in affiliated issuers, at value (cost $5,405, $114,651,671 and $0) | | | 5,405 | | | | 114,651,671 | | | | — | |
| | Investments in affiliated securities lending reinvestment vehicle, at value which equals cost | | | 6,360,375 | | | | 25,795,325 | | | | 31,470,564 | |
| | Cash | | | 15,258,902 | | | | 14,189,483 | | | | 30,041,969 | |
| | Foreign currencies, at value (cost $44,303,050, $45,390,940 and $20,351,536) | | | 44,824,272 | | | | 45,336,363 | | | | 20,679,386 | |
| | Receivables: | | | | | | | | | | | | |
| | Fund shares sold | | | 183,734,533 | | | | 5,495,795 | | | | 59,035,037 | |
| | Collateral on certain derivative contracts(b) | | | 6,842,000 | | | | — | | | | 4,074,008 | |
| | Investments sold | | | 1,485,328 | | | | 22,799,883 | | | | 34,675,625 | |
| | Dividends | | | 491,627 | | | | 4,466,590 | | | | 10,184,254 | |
| | Securities lending income | | | 14,601 | | | | 79,893 | | | | 88,869 | |
| | Foreign tax reclaims | | | 6,793 | | | | 1,685,647 | | | | 2,480,359 | |
| | Reimbursement from investment adviser | | | — | | | | 43,679 | | | | 69,662 | |
| | Other assets | | | 3,132 | | | | 56,108 | | | | 16,614 | |
| | Total assets | | | 1,348,704,820 | | | | 1,022,852,880 | | | | 1,969,238,065 | |
| | | | | | | | | | | | | | |
| | Liabilities: | | | | | | | | | | | | |
| | Variation margin on certain derivative contracts | | | 5,677,905 | | | | 356,051 | | | | 3,144,950 | |
| | Payables: | | | | | | | | | | | | |
| | Investments purchased | | | 56,465,497 | | | | 30,097,123 | | | | 33,715,597 | |
| | Payable upon return of securities loaned | | | 6,360,375 | | | | 25,795,325 | | | | 31,470,564 | |
| | Fund shares redeemed | | | 2,198,557 | | | | 137,730,006 | | | | 24,932,165 | |
| | Foreign capital gains taxes | | | 1,004,319 | | | | — | | | | — | |
| | Management fees | | | 835,228 | | | | 607,536 | | | | 1,236,126 | |
| | Distribution and Service fees and Transfer Agency fees | | | 65,561 | | | | 75,581 | | | | 185,240 | |
| | Due to custodian | | | — | | | | 10,313,161 | | | | — | |
| | Accrued expenses | | | 177,937 | | | | 128,109 | | | | 340,636 | |
| | Total liabilities | | | 72,785,379 | | | | 205,102,892 | | | | 95,025,278 | |
| | | | | | | | | | | | | | |
| | Net Assets: | | | | | | | | | | | | |
| | Paid-in capital | | | 1,178,515,499 | | | | 1,671,701,299 | | | | 1,596,191,764 | |
| | Undistributed (distributions in excess of) net investment income | | | (522,543 | ) | | | 2,047,689 | | | | 1,849,633 | |
| | Accumulated net realized gain (loss) | | | (47,786,073 | ) | | | (933,894,104 | ) | | | 36,742,277 | |
| | Net unrealized gain | | | 145,712,558 | | | | 77,895,104 | | | | 239,429,113 | |
| | | NET ASSETS | | $ | 1,275,919,441 | | | $ | 817,749,988 | | | $ | 1,874,212,787 | |
| | | Net Assets: | | | | | | | | | | | | |
| | | Class A | | $ | 76,907,092 | | | $ | 115,482,219 | | | $ | 184,587,004 | |
| | | Class C | | | 3,150,045 | | | | 7,851,328 | | | | 48,846,685 | |
| | | Institutional | | | 1,152,653,969 | | | | 595,870,957 | | | | 1,387,008,710 | |
| | | Service | | | — | | | | 3,106,792 | | | | — | |
| | | Class IR | | | 26,860,157 | | | | 40,157,080 | | | | 213,800,793 | |
| | | Class R | | | 12,767,680 | | | | 4,395,698 | | | | — | |
| | | Class R6 | | | 3,580,498 | | | | 50,885,914 | | | | 39,969,595 | |
| | | Total Net Assets | | $ | 1,275,919,441 | | | $ | 817,749,988 | | | $ | 1,874,212,787 | |
| | | Shares outstanding $0.001 par value (unlimited shares authorized): | | | | | | | | | | | | |
| | | Class A | | | 8,310,717 | | | | 9,932,102 | | | | 15,584,843 | |
| | | Class C | | | 342,855 | | | | 687,590 | | | | 4,248,793 | |
| | | Institutional | | | 124,729,107 | | | | 49,915,816 | | | | 117,060,305 | |
| | | Service | | | — | | | | 264,544 | | | | — | |
| | | Class IR | | | 2,908,057 | | | | 3,517,371 | | | | 18,119,052 | |
| | | Class R | | | 1,394,418 | | | | 387,710 | | | | — | |
| | | Class R6 | | | 387,574 | | | | 4,266,068 | | | | 3,367,467 | |
| | | Net asset value, offering and redemption price per share:(c) | | | | | | | | | | | | |
| | | Class A | | | $9.25 | | | | $11.63 | | | | $11.84 | |
| | | Class C | | | 9.19 | | | | 11.42 | | | | 11.50 | |
| | | Institutional | | | 9.24 | | | | 11.94 | | | | 11.85 | |
| | | Service | | | — | | | | 11.74 | | | | — | |
| | | Class IR | | | 9.24 | | | | 11.42 | | | | 11.80 | |
| | | Class R | | | 9.16 | | | | 11.34 | | | | — | |
| | | Class R6 | | | 9.24 | | | | 11.93 | | | | 11.87 | |
| | (a) | | Includes loaned securities having a market value of $6,229,533, $25,012,577 and $30,207,446 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 $6,842,000 and $4,074,008, respectively for the Emerging Markets 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 $9.79, $12.31 and $12.53, 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. |
| | |
| 42 | | 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, 2017 (Unaudited)
| | | | | | | | | | | | | | |
| | | | | Emerging Markets
Equity Insights
Fund | | | International
Equity Insights
Fund | | | International Small Cap Insights
Fund | |
| | Investment income: | |
| | Dividends — unaffiliated issuers (net of foreign taxes withheld of $829,136, $949,466 and $2,389,508) | | $ | 8,392,997 | | | $ | 9,918,889 | | | $ | 20,995,545 | |
| | Dividends — affiliated issuers | | | 5,827 | | | | 31,123 | | | | 2,484 | |
| | Securities lending income — affiliated issuer | | | 34,246 | | | | 148,132 | | | | 346,027 | |
| | Total investment income | | | 8,433,070 | | | | 10,098,144 | | | | 21,344,056 | |
| | | | | | | | | | | | | | |
| | Expenses: | |
| | Management fees | | | 4,568,623 | | | | 3,273,419 | | | | 6,804,704 | |
| | Custody, accounting and administrative services | | | 384,336 | | | | 121,707 | | | | 276,482 | |
| | Transfer Agency fees(a) | | | 242,548 | | | | 252,250 | | | | 613,658 | |
| | Distribution and Service fees(a) | | | 108,618 | | | | 177,069 | | | | 481,613 | |
| | Registration fees | | | 59,235 | | | | 55,758 | | | | 76,822 | |
| | Professional fees | | | 53,063 | | | | 56,609 | | | | 57,703 | |
| | Printing and mailing costs | | | 37,078 | | | | 36,615 | | | | 105,066 | |
| | Trustee fees | | | 9,404 | | | | 9,024 | | | | 9,776 | |
| | Service share fees — Service Plan | | | — | | | | 2,889 | | | | — | |
| | Service share fees — Shareholder Administration Plan | | | — | | | | 2,889 | | | | — | |
| | Other | | | 23,180 | | | | 13,427 | | | | 34,905 | |
| | Total expenses | | | 5,486,085 | | | | 4,001,656 | | | | 8,460,729 | |
| | Less — expense reductions | | | (54,308 | ) | | | (457,342 | ) | | | (454,977 | ) |
| | Net expenses | | | 5,431,777 | | | | 3,544,314 | | | | 8,005,752 | |
| | NET INVESTMENT INCOME | | | 3,001,293 | | | | 6,553,830 | | | | 13,338,304 | |
| | | | |
| | | | | | | | | | | | | | |
| | Realized and unrealized gain (loss): | |
| | Net realized gain (loss) from: | | | | | | | | | | | | |
| | Investments | | | 34,128,429 | | | | 37,891,356 | | | | 53,004,793 | |
| | Futures contracts | | | 1,270,401 | | | | 4,274,639 | | | | 6,509,805 | |
| | Foreign currency transactions | | | (120,178 | ) | | | (275,981 | ) | | | (922,947 | ) |
| | Net change in unrealized gain (loss) on: | | | | | | | | | | | | |
| | Investments (including the effects of the net change in the foreign capital gains tax liability of $205,359, $0 and $0) | | | 49,488,609 | | | | 49,720,830 | | | | 139,918,656 | |
| | Futures contracts | | | (122,642 | ) | | | (180,896 | ) | | | (216,874 | ) |
| | Foreign currency translation | | | 148,395 | | | | (9,500 | ) | | | 401,955 | |
| | Net realized and unrealized gain | | | 84,793,014 | | | | 91,420,448 | | | | 198,695,388 | |
| | NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 87,794,307 | | | $ | 97,974,278 | | | $ | 212,033,692 | |
| | (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 | | $ | 73,977 | | | $ | 8,145 | | | $ | 26,496 | | | $ | 56,223 | | | $ | 1,547 | | | $ | 166,244 | | | $ | — | | | $ | 8,220 | | | $ | 10,069 | | | $ | 245 | |
International Equity Insights | | | 135,571 | | | | 34,045 | | | | 7,453 | | | | 103,034 | | | | 6,469 | | | | 116,595 | | | | 462 | | | | 18,094 | | | | 2,832 | | | | 4,764 | |
International Small Cap Insights | | | 260,749 | | | | 220,864 | | | | — | | | | 198,171 | | | | 41,964 | | | | 236,703 | | | | — | | | | 134,495 | | | | — | | | | 2,325 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 43 |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Statements of Changes in Net Assets
| | | | | | | | | | |
| | | | | Emerging Markets Equity Insights Fund | |
| | | | | For the
Six Months Ended
April 30, 2017
(Unaudited) | | | For the Fiscal
Year Ended
October 31, 2016 | |
| | From operations: | |
| | Net investment income | | $ | 3,001,293 | | | $ | 10,977,035 | |
| | Net realized gain (loss) | | | 35,278,652 | | | | (28,189,757 | ) |
| | Net change in unrealized gain | | | 49,514,362 | | | | 87,424,253 | |
| | Net increase in net assets resulting from operations | | | 87,794,307 | | | | 70,211,531 | |
| | | | | | | | | | |
| | Distributions to shareholders: | | | | | | | | |
| | From net investment income | | | | | | | | |
| | Class A Shares | | | (563,308 | ) | | | (333,631 | ) |
| | Class C Shares | | | (3,903 | ) | | | (1,954 | ) |
| | Institutional Shares | | | (10,525,952 | ) | | | (5,711,198 | ) |
| | Service Shares | | | — | | | | — | |
| | Class IR Shares | | | (37,444 | ) | | | (13,689 | ) |
| | Class R Shares | | | (77,116 | ) | | | (42,141 | ) |
| | Class R6 Shares | | | (25,576 | ) | | | (121 | ) |
| | Total distributions to shareholders | | | (11,233,299 | ) | | | (6,102,734 | ) |
| | | | | | | | | | |
| | From share transactions: | | | | | | | | |
| | Proceeds from sales of shares | | | 529,113,811 | | | | 653,208,809 | |
| | Proceeds received in connection with merger | | | — | | | | — | |
| | Reinvestment of distributions | | | 10,619,478 | | | | 6,068,453 | |
| | Cost of shares redeemed | | | (258,214,054 | ) | | | (357,946,313 | ) |
| | Net increase (decrease) in net assets resulting from share transactions | | | 281,519,235 | | | | 301,330,949 | |
| | TOTAL INCREASE (DECREASE) | | | 358,080,243 | | | | 365,439,746 | |
| | | | | | | | | | |
| | Net assets: | | | | | | | | |
| | Beginning of period | | | 917,839,198 | | | | 552,399,452 | |
| | End of period | | $ | 1,275,919,441 | | | $ | 917,839,198 | |
| | Undistributed (distributions in excess of) net investment income | | $ | (522,543 | ) | | $ | 7,709,463 | |
| | |
| 44 | | 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, 2017
(Unaudited) | | | | | For the Fiscal
Year Ended
October 31, 2016 | | | | | For the
Six Months Ended
April 30, 2017
(Unaudited) | | | | | For the Fiscal
Year Ended
October 31, 2016 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | $ | 6,553,830 | | | | | $ | 14,672,368 | | | | | $ | 13,338,304 | | | | | $ | 26,655,074 | |
| | | 41,890,014 | | | | | | (9,011,958 | ) | | | | | 58,591,651 | | | | | | 10,948,122 | |
| | | 49,530,434 | | | | | | 8,678,025 | | | | | | 140,103,737 | | | | | | 38,723,279 | |
| | | 97,974,278 | | | | | | 14,338,435 | | | | | | 212,033,692 | | | | | | 76,326,475 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | (2,359,365 | ) | | | | | (836,569 | ) | | | | | (5,349,774 | ) | | | | | (2,985,588 | ) |
| | | (101,029 | ) | | | | | (29,349 | ) | | | | | (696,479 | ) | | | | | (363,016 | ) |
| | | (13,578,332 | ) | | | | | (8,419,997 | ) | | | | | (30,758,805 | ) | | | | | (15,775,913 | ) |
| | | (36,582 | ) | | | | | (16,104 | ) | | | | | — | | | | | | — | |
| | | (217,635 | ) | | | | | (17,727 | ) | | | | | (2,675,862 | ) | | | | | (847,395 | ) |
| | | (56,053 | ) | | | | | (3,210 | ) | | | | | — | | | | | | — | |
| | | (1,154,213 | ) | | | | | (139 | ) | | | | | (528,821 | ) | | | | | (3,693 | ) |
| | | (17,503,209 | ) | | | | | (9,323,095 | ) | | | | | (40,009,741 | ) | | | | | (19,975,605 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | 428,079,861 | | | | | | 380,362,678 | | | | | | 531,470,333 | | | | | | 709,014,544 | |
| | | — | | | | | | — | | | | | | — | | | | | | 124,455,593 | |
| | | 17,031,041 | | | | | | 9,272,014 | | | | | | 34,757,537 | | | | | | 17,136,594 | |
| | | (377,058,854 | ) | | | | | (454,334,903 | ) | | | | | (387,473,237 | ) | | | | | (555,338,791 | ) |
| | | 68,052,048 | | | | | | (64,700,211 | ) | | | | | 178,754,633 | | | | | | 295,267,940 | |
| | | 148,523,117 | | | | | | (59,684,871 | ) | | | | | 350,778,584 | | | | | | 351,618,810 | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | 669,226,871 | | | | | | 728,911,742 | | | | | | 1,523,434,203 | | | | | | 1,171,815,393 | |
| | $ | 817,749,988 | | | | | $ | 669,226,871 | | | | | $ | 1,874,212,787 | | | | | $ | 1,523,434,203 | |
| | $ | 2,047,689 | | | | | $ | 12,997,068 | | | | | $ | 1,849,633 | | | | | $ | 28,521,070 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 45 |
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) | |
| | 2017 - A | | $ | 8.54 | | | $ | 0.01 | | | $ | 0.78 | | | $ | 0.79 | | | $ | (0.08 | ) | | $ | — | | | $ | (0.08 | ) |
| | 2017 - C | | | 8.45 | | | | (0.02 | ) | | | 0.79 | | | | 0.77 | | | | (0.03 | ) | | | — | | | | (0.03 | ) |
| | 2017 - Institutional | | | 8.54 | | | | 0.03 | | | | 0.78 | | | | 0.81 | | | | (0.11 | ) | | | — | | | | (0.11 | ) |
| | 2017 - IR | | | 8.53 | | | | 0.04 | | | | 0.77 | | | | 0.81 | | | | (0.10 | ) | | | — | | | | (0.10 | ) |
| | 2017 - R | | | 8.44 | | | | — | (e) | | | 0.79 | | | | 0.79 | | | | (0.07 | ) | | | — | | | | (0.07 | ) |
| | 2017 - R6 | | | 8.53 | | | | 0.03 | | | | 0.79 | | | | 0.82 | | | | (0.11 | ) | | | — | | | | (0.11 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE FISCAL YEARS ENDED OCTOBER 31, | |
| | 2016 - A | | | 7.92 | | | | 0.10 | | | | 0.59 | | | | 0.69 | | | | (0.07 | ) | | | — | | | | (0.07 | ) |
| | 2016 - C | | | 7.84 | | | | 0.04 | | | | 0.58 | | | | 0.62 | | | | (0.01 | ) | | | — | | | | (0.01 | ) |
| | 2016 - Institutional | | | 7.91 | | | | 0.13 | | | | 0.60 | | | | 0.73 | | | | (0.10 | ) | | | — | | | | (0.10 | ) |
| | 2016 - IR | | | 7.91 | | | | 0.12 | | | | 0.59 | | | | 0.71 | | | | (0.09 | ) | | | — | | | | (0.09 | ) |
| | 2016 - R | | | 7.84 | | | | 0.08 | | | | 0.59 | | | | 0.67 | | | | (0.07 | ) | | | — | | | | (0.07 | ) |
| | 2016 - R6 | | | 7.91 | | | | 0.10 | | | | 0.62 | | | | 0.72 | | | | (0.10 | ) | | | — | | | | (0.10 | ) |
| | 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 | ) |
| | (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 impact of taxes to shareholders relating to 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. |
| | |
| 46 | | 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 9.25 | | | | | | 9.44 | % | | | | $ | 76,907 | | | | | | 1.54 | %(d) | | | | | 1.56 | %(d) | | | | | 0.32 | %(d) | | | | | 96 | % |
| | | 9.19 | | | | | | 9.13 | | | | | | 3,150 | | | | | | 2.29 | (d) | | | | | 2.31 | (d) | | | | | (0.36 | )(d) | | | | | 96 | |
| | | 9.24 | | | | | | 9.67 | | | | | | 1,152,654 | | | | | | 1.15 | (d) | | | | | 1.16 | (d) | | | | | 0.69 | (d) | | | | | 96 | |
| | | 9.24 | | | | | | 9.69 | | | | | | 26,860 | | | | | | 1.28 | (d) | | | | | 1.30 | (d) | | | | | 0.86 | (d) | | | | | 96 | |
| | | 9.16 | | | | | | 9.43 | | | | | | 12,767 | | | | | | 1.78 | (d) | | | | | 1.81 | (d) | | | | | 0.05 | (d) | | | | | 96 | |
| | | 9.24 | | | | | | 9.82 | | | | | | 3,580 | | | | | | 1.13 | (d) | | | | | 1.14 | (d) | | | | | 0.73 | (d) | | | | | 96 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 8.54 | | | | | | 8.79 | | | | | | 50,289 | | | | | | 1.56 | | | | | | 1.63 | | | | | | 1.24 | | | | | | 216 | |
| | | 8.45 | | | | | | 7.97 | | | | | | 1,132 | | | | | | 2.31 | | | | | | 2.39 | | | | | | 0.47 | | | | | | 216 | |
| | | 8.54 | | | | | | 9.35 | | | | | | 852,853 | | | | | | 1.16 | | | | | | 1.22 | | | | | | 1.70 | | | | | | 216 | |
| | | 8.53 | | | | | | 9.13 | | | | | | 2,565 | | | | | | 1.31 | | | | | | 1.37 | | | | | | 1.53 | | | | | | 216 | |
| | | 8.44 | | | | | | 8.57 | | | | | | 9,363 | | | | | | 1.81 | | | | | | 1.88 | | | | | | 1.01 | | | | | | 216 | |
| | | 8.53 | | | | | | 9.27 | | | | | | 1,637 | | | | | | 1.13 | | | | | | 1.16 | | | | | | 1.26 | | | | | | 216 | |
| | | 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 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 47 |
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) | |
| | 2017 - A | | $ | 10.53 | | | $ | 0.07 | | | $ | 1.26 | | | $ | 1.33 | | | $ | (0.23 | ) |
| | 2017 - C | | | 10.32 | | | | 0.03 | | | | 1.23 | | | | 1.26 | | | | (0.16 | ) |
| | 2017 - Institutional | | | 10.82 | | | | 0.10 | | | | 1.29 | | | | 1.39 | | | | (0.27 | ) |
| | 2017 - Service | | | 10.63 | | | | 0.08 | | | | 1.25 | | | | 1.33 | | | | (0.22 | ) |
| | 2017 - IR | | | 10.36 | | | | 0.14 | | | | 1.18 | | | | 1.32 | | | | (0.26 | ) |
| | 2017 - R | | | 10.29 | | | | 0.07 | | | | 1.22 | | | | 1.29 | | | | (0.24 | ) |
| | 2017 - R6 | | | 10.82 | | | | 0.09 | | | | 1.29 | | | | 1.38 | | | | (0.27 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE FISCAL YEARS ENDED OCTOBER 31, | |
| | 2016 - A | | | 10.54 | | | | 0.18 | | | | (0.08 | ) | | | 0.10 | | | | (0.11 | ) |
| | 2016 - C | | | 10.36 | | | | 0.10 | | | | (0.08 | ) | | | 0.02 | | | | (0.06 | ) |
| | 2016 - Institutional | | | 10.83 | | | | 0.24 | | | | (0.10 | ) | | | 0.14 | | | | (0.15 | ) |
| | 2016 - Service | | | 10.64 | | | | 0.17 | | | | (0.08 | ) | | | 0.09 | | | | (0.10 | ) |
| | 2016 - IR | | | 10.38 | | | | 0.17 | | | | (0.05 | ) | | | 0.12 | | | | (0.14 | ) |
| | 2016 - R | | | 10.34 | | | | 0.13 | | | | (0.06 | ) | | | 0.07 | | | | (0.12 | ) |
| | 2016 - R6 | | | 10.83 | | | | 0.14 | | | | 0.01 | | | | 0.15 | | | | (0.16 | ) |
| | 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 | ) |
| | (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 impact of taxes to shareholders relating to 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. |
| | |
| 48 | | 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 11.63 | | | | | | 12.92 | % | | | | $ | 115,482 | | | | | | 1.23 | %(d) | | | | | 1.37 | %(d) | | | | | 1.21 | %(d) | | | | | 100 | % |
| | | 11.42 | | | | | | 12.44 | | | | | | 7,851 | | | | | | 1.98 | (d) | | | | | 2.11 | (d) | | | | | 0.56 | (d) | | | | | 100 | |
| | | 11.94 | | | | | | 13.13 | | | | | | 595,871 | | | | | | 0.85 | (d) | | | | | 0.96 | (d) | | | | | 1.78 | (d) | | | | | 100 | |
| | | 11.74 | | | | | | 12.82 | | | | | | 3,107 | | | | | | 1.35 | (d) | | | | | 1.46 | (d) | | | | | 1.45 | (d) | | | | | 100 | |
| | | 11.42 | | | | | | 13.09 | | | | | | 40,157 | | | | | | 0.97 | (d) | | | | | 1.11 | (d) | | | | | 2.58 | (d) | | | | | 100 | |
| | | 11.34 | | | | | | 12.79 | | | | | | 4,395 | | | | | | 1.46 | (d) | | | | | 1.61 | (d) | | | | | 1.32 | (d) | | | | | 100 | |
| | | 11.93 | | | | | | 13.06 | | | | | | 50,886 | | | | | | 0.83 | (d) | | | | | 0.95 | (d) | | | | | 1.66 | (d) | | | | | 100 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 10.53 | | | | | | 0.97 | | | | | | 104,736 | | | | | | 1.25 | | | | | | 1.39 | | | | | | 1.77 | | | | | | 176 | |
| | | 10.32 | | | | | | 0.22 | | | | | | 6,164 | | | | | | 2.00 | | | | | | 2.14 | | | | | | 1.02 | | | | | | 176 | |
| | | 10.82 | | | | | | 1.34 | | | | | | 500,930 | | | | | | 0.85 | | | | | | 0.99 | | | | | | 2.25 | | | | | | 176 | |
| | | 10.63 | | | | | | 0.87 | | | | | | 1,898 | | | | | | 1.35 | | | | | | 1.49 | | | | | | 1.60 | | | | | | 176 | |
| | | 10.36 | | | | | | 1.22 | | | | | | 6,639 | | | | | | 1.00 | | | | | | 1.14 | | | | | | 1.65 | | | | | | 176 | |
| | | 10.29 | | | | | | 0.67 | | | | | | 2,152 | | | | | | 1.50 | | | | | | 1.64 | | | | | | 1.28 | | | | | | 176 | |
| | | 10.82 | | | | | | 1.37 | | | | | | 46,707 | | | | | | 0.83 | | | | | | 0.96 | | | | | | 1.32 | | | | | | 176 | |
| | | 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 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 49 |
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) | |
| | 2017 - A | | $ | 10.71 | | | $ | 0.05 | (d) | | $ | 1.33 | | | $ | 1.38 | | | $ | (0.25 | ) | | $ | — | | | $ | (0.25 | ) |
| | 2017 - C | | | 10.35 | | | | 0.03 | (d) | | | 1.29 | | | | 1.32 | | | | (0.17 | ) | | | — | | | | (0.17 | ) |
| | 2017 - Institutional | | | 10.73 | | | | 0.10 | (d) | | | 1.31 | | | | 1.41 | | | | (0.29 | ) | | | — | | | | (0.29 | ) |
| | 2017 - IR | | | 10.68 | | | | 0.12 | (d) | | | 1.28 | | | | 1.40 | | | | (0.28 | ) | | | — | | | | (0.28 | ) |
| | 2017 - R6 | | | 10.75 | | | | 0.11 | (d) | | | 1.30 | | | | 1.41 | | | | (0.29 | ) | | | — | | | | (0.29 | ) |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE FISCAL YEARS ENDED OCTOBER 31, | |
| | 2016 - A | | | 10.42 | | | | 0.16 | | | | 0.27 | | | | 0.43 | | | | (0.14 | ) | | | — | | | | (0.14 | ) |
| | 2016 - C | | | 10.11 | | | | 0.08 | | | | 0.25 | | | | 0.33 | | | | (0.09 | ) | | | — | | | | (0.09 | ) |
| | 2016 - Institutional | | | 10.44 | | | | 0.21 | | | | 0.26 | | | | 0.47 | | | | (0.18 | ) | | | — | | | | (0.18 | ) |
| | 2016 - IR | | | 10.40 | | | | 0.19 | | | | 0.26 | | | | 0.45 | | | | (0.17 | ) | | | — | | | | (0.17 | ) |
| | 2016 - R6 | | | 10.44 | | | | 0.26 | | | | 0.23 | | | | 0.49 | | | | (0.18 | ) | | | — | | | | (0.18 | ) |
| | 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 | ) |
| | (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 impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
| | (c) | | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | (d) | | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.21% of average net assets. |
| | |
| 50 | | 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 11.84 | | | | | | 13.19 | % | | | | $ | 184,587 | | | | | | 1.30 | %(e) | | | | | 1.36 | %(e) | | | | | 0.96 | %(d)(e) | | | | | 75 | % |
| | | 11.50 | | | | | | 12.96 | | | | | | 48,847 | | | | | | 2.05 | (e) | | | | | 2.11 | (e) | | | | | 0.55 | (d)(e) | | | | | 75 | |
| | | 11.85 | | | | | | 13.55 | | | | | | 1,387,009 | | | | | | 0.90 | (e) | | | | | 0.96 | (e) | | | | | 1.77 | (d)(e) | | | | | 75 | |
| | | 11.80 | | | | | | 13.48 | | | | | | 213,801 | | | | | | 1.05 | (e) | | | | | 1.11 | (e) | | | | | 2.14 | (d)(e) | | | | | 75 | |
| | | 11.87 | | | | | | 13.56 | | | | | | 39,970 | | | | | | 0.88 | (e) | | | | | 0.94 | (e) | | | | | 2.07 | (d)(e) | | | | | 75 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 10.71 | | | | | | 4.17 | | | | | | 242,383 | | | | | | 1.30 | | | | | | 1.39 | | | | | | 1.55 | | | | | | 140 | |
| | | 10.35 | | | | | | 3.27 | | | | | | 44,643 | | | | | | 2.05 | | | | | | 2.14 | | | | | | 0.83 | | | | | | 140 | |
| | | 10.73 | | | | | | 4.50 | | | | | | 1,118,478 | | | | | | 0.90 | | | | | | 0.98 | | | | | | 1.98 | | | | | | 140 | |
| | | 10.68 | | | | | | 4.33 | | | | | | 99,365 | | | | | | 1.05 | | | | | | 1.13 | | | | | | 1.83 | | | | | | 140 | |
| | | 10.75 | | | | | | 4.72 | | | | | | 18,566 | | | | | | 0.88 | | | | | | 0.97 | | | | | | 2.39 | | | | | | 140 | |
| | | 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 | (e) | | | | | 0.96 | (e) | | | | | 1.94 | (e) | | | | | 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 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 51 |
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Notes to Financial Statements
April 30, 2017 (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. LLC (formerly 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, dividend income, net of any foreign withholding taxes, less any amounts reclaimable, and securities lending income. 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. 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, each 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.
52
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
|
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
Net capital losses, if any, 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 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 a Fund 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.
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
53
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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 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. A 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. 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 a 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 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;
54
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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 and derivatives classified in the fair value hierarchy as of April 30, 2017:
| | | | | | | | | | | | |
|
| EMERGING MARKETS EQUITY INSIGHTS | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
Africa | | $ | — | | | $ | 63,406,574 | | | $ | — | |
Asia | | | 137,377,541 | | | | 709,372,809 | | | | 1,344,912 | |
Europe | | | 5,929,944 | | | | 29,824,055 | | | | — | |
North America | | | 27,127,840 | | | | — | | | | — | |
South America | | | 48,264,491 | | | | 67,029,686 | | | | — | |
Investment Company | | | 5,405 | | | | — | | | | — | |
Securities Lending Reinvestment Vehicle | | | 6,360,375 | | | | — | | | | — | |
| Total | | $ | 225,065,596 | | | $ | 869,633,124 | | | $ | 1,344,912 | |
| | | |
| Derivative Type | | | | | | | | | |
| Liabilities(b) | | | | | | | | | | | | |
Futures Contracts | | $ | (122,642 | ) | | $ | — | | | $ | — | |
| | | |
| INTERNATIONAL EQUITY INSIGHTS | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
Africa | | $ | — | | | $ | 5,837,894 | | | $ | — | |
Asia | | | 219,130 | | | | 229,546,498 | | | | — | |
Australia and Oceania | | | — | | | | 81,762,423 | | | | — | |
Europe | | | 13,675,909 | | | | 450,476,007 | | | | — | |
North America | | | 6,734,582 | | | | — | | | | — | |
Investment Company | | | 114,651,671 | | | | — | | | | — | |
Securities Lending Reinvestment Vehicle | | | 25,795,325 | | | | — | | | | — | |
| Total | | $ | 161,076,617 | | | $ | 767,622,822 | | | $ | — | |
| | | |
| Derivative Type | | | | | | | | | |
| Assets(b) | | | | | | | | | | | | |
Futures Contracts | | $ | 12,806 | | | $ | — | | | $ | — | |
| Liabilities(b) | | | | | | | | | | | | |
Futures Contracts | | $ | (98,918 | ) | | $ | — | | | $ | — | |
55
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 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 | | $ | — | | | $ | 610,400,336 | | | $ | — | |
Australia and Oceania | | | — | | | | 151,728,327 | | | | — | |
Europe | | | — | | | | 1,011,578,432 | | | | — | |
North America | | | — | | | | 2,714,623 | | | | — | |
Securities Lending Reinvestment Vehicle | | | 31,470,564 | | | | — | | | | — | |
| Total | | $ | 31,470,564 | | | $ | 1,776,421,718 | | | $ | — | |
| | | |
| Derivative Type | | | | | | | | | |
| Assets(b) | | | | | | | | | | | | |
Futures Contracts | | $ | 598,856 | | | $ | — | | | $ | — | |
| | | |
| Derivative Type | | | | | | | | | |
| Liabilities(b) | | | | | | | | | | | | |
Futures Contracts | | $ | (1,672 | ) | | $ | — | | | $ | — | |
| (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 noted in the table. 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. |
For further information regarding security characteristics, see the Schedules of Investments.
|
| 4. INVESTMENTS IN DERIVATIVES |
The following table sets forth, by certain risk types, the gross value of derivative contracts as of April 30, 2017. 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:
| | | | | | | | | | | | | | |
| Fund | | Risk | | Statements of Assets and Liabilities | | Assets(a) | | | Statements of Assets and Liabilities | | Liabilities(a) | |
Emerging Markets Equity Insights | | Equity | | — | | $ | — | | | Payable for unrealized loss on futures variation margin | | $ | (122,642) | |
International Equity Insights | | Equity | | Receivable for unrealized gain on futures variation margin | | | 12,806 | | | Payable for unrealized loss on futures variation margin | | | (98,918) | |
International Small Cap Insights | | Equity | | Receivable for unrealized gain on futures variation margin | | | 598,856 | | | Payable for unrealized loss on futures variation margin | | | (1,672) | |
| (a) | | Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information sections of the Schedules of Investments. Only the variation margin as of April 30, 2017 is reported within the Statements of Assets and Liabilities. |
56
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
|
| 4. INVESTMENTS IN DERIVATIVES (continued) |
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, 2017. 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) | |
Emerging Markets Equity Insights | | Equity | | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | | $ | 1,270,401 | | | $ | (122,642 | ) | | | 722 | |
International Equity Insights | | Equity | | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | | | 4,274,639 | | | | (180,896 | ) | | | 319 | |
| International Small Cap Insights | | Equity | | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | | | 6,509,805 | | | | (216,874 | ) | | | 622 | |
| (a) | | Average number of contracts is based on the average of month end balances for the six months ended April 30, 2017. |
|
| 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, 2017, 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 28, 2018, and prior to such date GSAM may not terminate the arrangement without the approval of the Trustees. |
The Emerging Markets Equity Insights, International Equity Insights and International Small Cap Insights Funds invest in 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 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, 2017, GSAM waived $1,673, $8,049 and $1,105 of the Funds’ management fees, respectively.
57
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
B. Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A and Class R Shares of each applicable Fund, has adopted Distribution and Service Plans subject to Rule 12b-1 under the Act. Under the Distribution and Service 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. These fees are equal to an annual percentage of the average daily net assets attributable to Class A or Class R Shares of the Funds, as applicable.
The Trust, on behalf of Class C Shares of each applicable Fund, has adopted a Distribution Plan subject to Rule 12b-1 under the Act. Under the Distribution Plan, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage of the average daily net assets attributable to Class C Shares of the Funds.
The Trust, on behalf of Services Shares of each applicable Fund, has adopted a Service Plan subject to Rule 12b-1 under the Act to allow Service Shares to compensate service organizations (including Goldman Sachs) for providing personal account maintenance to their customers who are beneficial owners of such shares. The Service Plan provides for compensation to the service organizations equal to an annual percentage of the average daily net assets attributable to Services Shares of the Funds.
| | | | | | | | | | | | | | | | |
| | | Distribution and Service Plan Rates | |
| | | Class A* | | | Class C | | | Class R* | | | Service | |
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, 2017, Goldman Sachs advised that it retained the following amounts:
| | | | | | |
| | | | | Front End
Sales Charge | |
| Fund | | | | Class A | |
Emerging Markets Equity Insights | | | | $ | 2,487 | |
International Equity Insights | | | | | 5,275 | |
International Small Cap Insights | | | | | 9,114 | |
D. Service and/or Shareholder Administration Plans — The Trust, on behalf of each applicable Fund, has adopted Service and/or Shareholder Administrations Plans to allow Class C and Service Shares, respectively, to compensate service organizations (including Goldman Sachs) for providing varying levels of personal and account maintenance and/or shareholder administration services to their customers who are beneficial owners of such shares. The Service and/or Shareholder Administration Plans each provide for compensation to the service organizations equal to 0.25% of the average daily net assets attributable to Class C or Service Shares of the Funds, respectively.
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. Effective February 28, 2017, Goldman Sachs has agreed to waive a portion of its transfer agency fee equal to 0.03% and 0.05% as an annual percentage rate of the average daily net assets attributable to Class A, Class C, Class IR and Class R Shares of the Emerging Markets Equity Insights Fund and the International Equity Insights Fund, respectively, through at least February, 28, 2018, and prior to such date, Goldman Sachs may not terminate the arrangements without the approval of the Board of Trustees.
58
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to limit certain “Other Expenses” of the Funds (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, shareholder meeting, litigation, indemnification and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily net assets for Emerging Markets Equity Insights, International Equity Insights and International Small Cap Insights Funds are 0.114%, 0.004% and 0.014%, respectively. These Other Expense limitations will remain in place through at least February 28, 2018, 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, 2017, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
| | | | | | | | | | | | | | | | | | | | |
| Fund | | Management Fee Waiver | | | Custody Fee
Credits | | | Transfer
Agency
Waiver | | | Other Expense
Reimbursement | | | Total
Expense
Reductions | |
Emerging Markets Equity Insights | | $ | 1,673 | | | $ | 2,313 | | | $ | 5,542 | | | $ | 44,780 | | | $ | 54,308 | |
International Equity Insights | | | 162,093 | | | | 4,075 | | | | 13,457 | | | | 277,717 | | | | 457,342 | |
International Small Cap Insights | | | 1,105 | | | | 5,358 | | | | — | | | | 448,514 | | | | 454,977 | |
G. Line of Credit Facility — As of April 30, 2017, the Funds participated in a $1,100,000,000 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. 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, 2017, the Funds did not have any borrowings under the facility. The facility was renewed in the amount of $1,100,000,000 effective May 2, 2017.
H. Other Transactions with Affiliates — For the six months ended April 30, 2017, Goldman Sachs earned $7,541 and $8,357 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 and International Small Cap Insights Fund, respectively.
The following table provides information about the Funds’ investment in the Goldman Sachs Financial Square Government Fund as of and for the six months ended April 30, 2017:
| | | | | | | | | | | | | | | | | | | | |
| Fund | | Market
Value 10/31/2016 | | | Purchases
at Cost | | | Proceeds from Sales | | | Market Value
4/30/2017 | | | Dividend
Income | |
Emerging Markets Equity Insights | | $ | 326 | | | $ | 97,957,976 | | | $ | (97,952,897 | ) | | $ | 5,405 | | | $ | 5,827 | |
International Equity Insights | | | 2,004,646 | | | | 456,496,413 | | | | (343,849,388 | ) | | | 114,651,671 | | | | 31,123 | |
International Small Cap Insights | | | — | | | | 56,774,174 | | | | (56,774,174 | ) | | | — | | | | 2,484 | |
59
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
As of April 30, 2017, 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
Equity Growth Strategy Portfolio | | | Goldman Sachs
Growth
Strategy
Portfolio | | | Goldman Sachs
Growth and
Income
Strategy
Portfolio | | | Goldman Sachs
Tax-Advantaged
Global Equity
Portfolio | |
Emerging Markets Equity Insights | | | — | % | | | 6 | % | | | 5 | % | | | 11 | % |
International Equity Insights | | | 7 | | | | 9 | | | | 7 | | | | — | |
|
| 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, 2017, were as follows:
| | | | | | | | | | |
| Fund | | | | Purchases | | | Sales and Maturities | |
Emerging Markets Equity Insights | | | | $ | 982,130,994 | | | $ | 887,779,259 | |
International Equity Insights | | | | | 803,645,898 | | | | 737,851,854 | |
International Small Cap Insights | | | | | 1,287,947,777 | | | | 1,184,824,677 | |
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 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 Government Fund (“Government Money Market Fund”), an affiliated series of the Trust. The Government 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 a management fee of up to 0.205% on an annualized basis of the average daily net assets of the Government 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
60
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
|
| 7. SECURITIES LENDING (continued) |
the collateral held from the defaulting broker against the purchase cost of the replacement securities. If GSAL is unable to purchase replacement securities, GSAL will indemnify the Funds by paying the Funds an amount equal to the market value of the securities loaned minus the value of cash collateral received from the borrower for the loan, subject to an exclusion for any shortfalls resulting from a loss of value in such cash collateral due to reinvestment risk. The amounts of the Funds’ overnight and continuous agreements represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of April 30, 2017 are disclosed as “Payable upon return of securities loaned” on the Statements of Assets and Liabilities.
Each of 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, if any, by the Funds for the six months ended April 30, 2017, 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, 2017 | | | Amounts Payable to Goldman Sachs
upon Return of
Securities Loaned as of
April 30, 2017 | |
| Fund | | | | Earnings of GSAL
Relating to Securities Loaned | | | Amounts Received
by the Funds from Lending to Goldman Sachs | | |
Emerging Markets Equity Insights | | | | $ | 3,811 | | | $ | 19,929 | | | $ | — | |
International Equity Insights | | | | | 15,574 | | | | 2,547 | | | | 3,572,595 | |
International Small Cap Insights | | | | | 38,567 | | | | 58,595 | | | | 4,008,622 | |
The following table provides information about the Funds’ investment in the Government Money Market Fund for the six months ended April 30, 2017:
| | | | | | | | | | | | | | | | | | |
| Fund | | | | Market Value 10/31/2016 | | | Purchases at Cost | | | Proceeds from Sales | | | Market Value 4/30/2017 | |
Emerging Markets Equity Insights | | | | $ | 13,186,183 | | | $ | 100,636,327 | | | $ | (107,462,135 | ) | | $ | 6,360,375 | |
International Equity Insights | | | | | 440,343 | | | | 154,519,703 | | | | (129,164,721 | ) | | | 25,795,325 | |
International Small Cap Insights | | | | | 10,766,363 | | | | 147,483,471 | | | | (126,779,270 | ) | | | 31,470,564 | |
As of the Funds’ most recent fiscal year ended October 31, 2016, 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: | | | | | | | | | | | | |
Expiring 2017(1) | | $ | — | | | $ | (940,883,655 | ) | | $ | — | |
Expiring 2019(1) | | | — | | | | (2,867,280 | ) | | | — | |
Perpetual long-term | | | (9,807,425 | ) | | | — | | | | (5,003,877 | ) |
Perpetual short-term | | | (67,558,212 | ) | | | (30,854,935 | ) | | | (11,492,733 | ) |
Total capital loss carryforwards | | $ | (77,365,637 | ) | | $ | (974,605,870 | ) | | $ | (16,496,610 | ) |
| (1) | | Expiration occurs on October 31 of the year indicated. |
61
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 8. TAX INFORMATION (continued) |
As of April 30, 2017, the Funds’ aggregate securities 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 | | $ | 955,758,393 | | | $ | 853,268,034 | | | $ | 1,584,030,078 | |
Gross unrealized gain | | | 154,311,785 | | | | 84,459,020 | | | | 257,867,168 | |
Gross unrealized loss | | | (14,026,546 | ) | | | (9,027,615 | ) | | | (34,004,964 | ) |
Net unrealized security gain | | $ | 140,285,239 | | | $ | 75,431,405 | | | $ | 223,862,204 | |
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 — The Funds’ use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the 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. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
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 a Fund invests. The imposition of exchange controls, confiscations, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or from problems in share registration, settlement or custody may also result in losses. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which 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 — If a Fund invests in foreign securities, the Fund may hold such securities and cash with foreign banks, agents, and securities depositories appointed by the Fund’s custodian (each a “Foreign Custodian”). Some foreign custodians may be recently organized or new to the foreign custody business. In some countries, Foreign Custodians may be subject to little or no regulatory oversight over, or independent evaluation of, their operations. Further, the laws of certain countries may place limitations on 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.
62
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
|
| 9. OTHER RISKS (continued) |
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 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.
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.
63
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
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 and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
64
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
|
| 12. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | Emerging Markets Equity Insights Fund | |
| | | | |
| | | For the Six Months Ended April 30, 2017 (Unaudited) | | | For the Fiscal Year Ended
October 31, 2016 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 3,952,801 | | | $ | 34,580,347 | | | | 3,066,812 | | | $ | 24,019,849 | |
Reinvestment of distributions | | | 70,269 | | | | 561,447 | | | | 43,777 | | | | 331,829 | |
Shares redeemed | | | (1,603,244 | ) | | | (14,010,640 | ) | | | (1,932,709 | ) | | | (14,768,902 | ) |
| | | | 2,419,826 | | | | 21,131,154 | | | | 1,177,880 | | | | 9,582,776 | |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 222,997 | | | | 1,982,954 | | | | 72,969 | | | | 580,263 | |
Reinvestment of distributions | | | 434 | | | | 3,449 | | | | 220 | | | | 1,662 | |
Shares redeemed | | | (14,628 | ) | | | (126,197 | ) | | | (73,492 | ) | | | (562,747 | ) |
| | | | 208,803 | | | | 1,860,206 | | | | (303 | ) | | | 19,178 | |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 51,445,953 | | | | 462,243,986 | | | | 79,001,364 | | | | 619,288,138 | |
Reinvestment of distributions | | | 1,243,970 | | | | 9,914,446 | | | | 751,192 | | | | 5,679,011 | |
Shares redeemed | | | (27,882,656 | ) | | | (241,292,934 | ) | | | (44,111,219 | ) | | | (340,167,708 | ) |
| | | | 24,807,267 | | | | 230,865,498 | | | | 35,641,337 | | | | 284,799,441 | |
| Class IR Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 2,774,463 | | | | 25,003,968 | | | | 280,027 | | | | 2,150,891 | |
Reinvestment of distributions | | | 4,704 | | | | 37,444 | | | | 1,811 | | | | 13,689 | |
Shares redeemed | | | (171,927 | ) | | | (1,515,525 | ) | | | (81,939 | ) | | | (646,488 | ) |
| | | | 2,607,240 | | | | 23,525,887 | | | | 199,899 | | | | 1,518,092 | |
| Class R | | | | | | | | | | | | | | | | |
Shares sold | | | 402,879 | | | | 3,457,139 | | | | 752,744 | | | | 5,605,717 | |
Reinvestment of distributions | | | 9,749 | | | | 77,116 | | | | 5,611 | | | | 42,141 | |
Shares redeemed | | | (127,675 | ) | | | (1,100,096 | ) | | | (228,702 | ) | | | (1,772,464 | ) |
| | | | 284,953 | | | | 2,434,159 | | | | 529,653 | | | | 3,875,394 | |
| Class R6 | | | | | | | | | | | | | | | | |
Shares sold | | | 211,911 | | | | 1,845,417 | | | | 193,912 | | | | 1,563,951 | |
Reinvestment of distributions | | | 3,213 | | | | 25,576 | | | | 16 | | | | 121 | |
Shares redeemed | | | (19,376 | ) | | | (168,662 | ) | | | (3,292 | ) | | | (28,004 | ) |
| | | | 195,748 | | | | 1,702,331 | | | | 190,636 | | | | 1,536,068 | |
NET INCREASE | | | 30,523,837 | | | $ | 281,519,235 | | | | 37,739,102 | | | $ | 301,330,949 | |
65
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 12. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | International Equity Insights Fund | |
| | | | |
| | | For the Six Months Ended April 30, 2017 (Unaudited) | | | For the Fiscal Year Ended
October 31, 2016 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 2,817,380 | | | $ | 30,418,938 | | | | 4,937,339 | | | $ | 50,831,036 | |
Reinvestment of distributions | | | 223,380 | | | | 2,318,689 | | | | 80,128 | | | | 829,331 | |
Shares redeemed | | | (3,052,443 | ) | | | (33,110,502 | ) | | | (2,522,009 | ) | | | (25,928,666 | ) |
| | | | (11,683 | ) | | | (372,875 | ) | | | 2,495,458 | | | | 25,731,701 | |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 170,662 | | | | 1,814,030 | | | | 332,329 | | | | 3,366,978 | |
Reinvestment of distributions | | | 8,808 | | | | 90,019 | | | | 2,542 | | | | 25,930 | |
Shares redeemed | | | (89,250 | ) | | | (956,458 | ) | | | (163,160 | ) | | | (1,602,968 | ) |
| | | | 90,220 | | | | 947,591 | | | | 171,711 | | | | 1,789,940 | |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 31,806,372 | | | | 355,400,557 | | | | 25,712,273 | | | | 266,578,928 | |
Reinvestment of distributions | | | 1,240,673 | | | | 13,200,757 | | | | 790,870 | | | | 8,383,219 | |
Shares redeemed | | | (29,413,983 | ) | | | (334,341,585 | ) | | | (39,545,582 | ) | | | (418,256,547 | ) |
| | | | 3,633,062 | | | | 34,259,729 | | | | (13,042,439 | ) | | | (143,294,400 | ) |
| Service Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 111,753 | | | | 1,227,396 | | | | 53,262 | | | | 552,938 | |
Reinvestment of distributions | | | 3,062 | | | | 32,121 | | | | 1,373 | | | | 14,350 | |
Shares redeemed | | | (28,898 | ) | | | (308,857 | ) | | | (30,322 | ) | | | (304,882 | ) |
| | | | 85,917 | | | | 950,660 | | | | 24,313 | | | | 262,406 | |
| Class IR Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 3,021,973 | | | | 32,603,177 | | | | 716,170 | | | | 7,341,691 | |
Reinvestment of distributions | | | 21,379 | | | | 217,635 | | | | 1,745 | | | | 17,727 | |
Shares redeemed | | | (166,615 | ) | | | (1,803,766 | ) | | | (237,687 | ) | | | (2,434,867 | ) |
| | | | 2,876,737 | | | | 31,017,046 | | | | 480,228 | | | | 4,924,551 | |
| Class R Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 223,465 | | | | 2,377,398 | | | | 214,842 | | | | 2,163,173 | |
Reinvestment of distributions | | | 1,738 | | | | 17,607 | | | | 130 | | | | 1,319 | |
Shares redeemed | | | (46,527 | ) | | | (486,376 | ) | | | (23,960 | ) | | | (238,839 | ) |
| | | | 178,676 | | | | 1,908,629 | | | | 191,012 | | | | 1,925,653 | |
| Class R6 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 382,207 | | | | 4,238,365 | | | | 4,835,457 | | | | 49,527,934 | |
Reinvestment of distributions | | | 108,479 | | | | 1,154,213 | | | | 13 | | | | 138 | |
Shares redeemed | | | (542,940 | ) | | | (6,051,310 | ) | | | (518,039 | ) | | | (5,568,134 | ) |
| | | | (52,254 | ) | | | (658,732 | ) | | | 4,317,431 | | | | 43,959,938 | |
NET INCREASE (DECREASE) | | | 6,800,675 | | | $ | 68,052,048 | | | | (5,362,286 | ) | | $ | (64,700,211 | ) |
66
GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
|
| 12. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | International Small Cap Insights Fund | |
| | | | |
| | | For the Six Months Ended April 30, 2017 (Unaudited) | | | For the Fiscal Year Ended
October 31, 2016 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 4,508,446 | | | $ | 48,963,864 | | | | 11,266,663 | | | $ | 116,058,912 | |
Shares issued in connection with merger | | | — | | | | — | | | | 1,443,178 | | | | 13,866,979 | |
Reinvestment of distributions | | | 496,957 | | | | 5,123,623 | | | | 265,744 | | | | 2,771,715 | |
Shares redeemed | | | (12,062,399 | ) | | | (131,716,850 | ) | | | (9,916,940 | ) | | | (101,923,534 | ) |
| | | | (7,056,996 | ) | | | (77,629,363 | ) | | | 3,058,645 | | | | 30,774,072 | |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 550,266 | | | | 5,872,407 | | | | 1,794,917 | | | | 17,921,408 | |
Shares issued in connection with merger | | | — | | | | — | | | | 336,631 | | | | 3,144,130 | |
Reinvestment of distributions | | | 64,299 | | | | 645,559 | | | | 28,258 | | | | 286,821 | |
Shares redeemed | | | (677,285 | ) | | | (7,098,962 | ) | | | (1,685,383 | ) | | | (16,786,959 | ) |
| | | | (62,720 | ) | | | (580,996 | ) | | | 474,423 | | | | 4,565,400 | |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 29,908,642 | | | | 331,367,016 | | | | 46,345,177 | | | | 473,082,334 | |
Shares issued in connection with merger | | | — | | | | — | | | | 11,039,312 | | | | 106,067,960 | |
Reinvestment of distributions | | | 2,503,331 | | | | 25,784,310 | | | | 1,269,392 | | | | 13,227,063 | |
Shares redeemed | | | (19,576,543 | ) | | | (215,533,551 | ) | | | (39,519,106 | ) | | | (405,932,900 | ) |
| | | | 12,835,430 | | | | 141,617,775 | | | | 19,134,775 | | | | 186,444,457 | |
| Class IR Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 11,400,124 | | | | 124,996,462 | | | | 8,093,824 | | | | 83,022,225 | |
Shares issued in connection with merger | | | — | | | | — | | | | 144,014 | | | | 1,376,524 | |
Reinvestment of distributions | | | 260,743 | | | | 2,675,224 | | | | 81,550 | | | | 847,302 | |
Shares redeemed | | | (2,842,691 | ) | | | (30,912,553 | ) | | | (2,951,256 | ) | | | (30,103,130 | ) |
| | | | 8,818,176 | | | | 96,759,133 | | | | 5,368,132 | | | | 55,142,921 | |
| Class R6 Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 1,790,593 | | | | 20,270,584 | | | | 1,779,939 | | | | 18,929,665 | |
Reinvestment of distributions | | | 51,242 | | | | 528,821 | | | | 354 | | | | 3,693 | |
Shares redeemed | | | (201,198 | ) | | | (2,211,321 | ) | | | (54,393 | ) | | | (592,268 | ) |
| | | | 1,640,637 | | | | 18,588,084 | | | | 1,725,900 | | | | 18,341,090 | |
NET INCREASE | | | 16,174,527 | | | $ | 178,754,633 | | | | 29,761,875 | | | $ | 295,267,940 | |
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GOLDMAN SACHS INTERNATIONAL EQUITY INSIGHTS FUNDS
Fund Expenses — Six Month Period Ended April 30, 2017 (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/or service (12b-1) fees (with respect to Class A, Class C, Service 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, 2016 through April 30, 2017, which represents a period of 181 days of a 365 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
11/01/16 | | | Ending
Account
Value
04/30/17 | | | Expenses
Paid for the 6
Months Ended
04/30/17* | | | Beginning
Account
Value
11/01/16 | | | Ending
Account
Value
04/30/17 | | | Expenses
Paid for the
6 Months Ended
04/30/17* | | | Beginning
Account
Value
11/01/16 | | | Ending
Account
Value
04/30/17 | | | Expenses
Paid for the
6 Months Ended
04/30/17* | |
| Class A | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | $ | 1,000 | | | $ | 1,094.40 | | | $ | 8.00 | | | $ | 1,000 | | | $ | 1,129.20 | | | $ | 6.49 | | | $ | 1,000 | | | $ | 1,131.90 | | | $ | 6.87 | |
Hypothetical 5% return | | | 1,000 | | | | 1017.16 | + | | | 7.70 | | | | 1,000 | | | | 1018.70 | + | | | 6.16 | | | | 1,000 | | | | 1018.35 | + | | | 6.51 | |
| Class C | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 1,091.30 | | | | 11.87 | | | | 1,000 | | | | 1,124.40 | | | | 10.43 | | | | 1,000 | | | | 1,129.60 | | | | 10.82 | |
Hypothetical 5% return | | | 1,000 | | | | 1,013.44 | + | | | 11.43 | | | | 1,000 | | | | 1,014.98 | + | | | 9.89 | | | | 1,000 | | | | 1,014.63 | + | | | 10.24 | |
| Institutional | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 1,096.70 | | | | 5.98 | | | | 1,000 | | | | 1,131.30 | | | | 4.49 | | | | 1,000 | | | | 1,135.50 | | | | 4.77 | |
Hypothetical 5% return | | | 1,000 | | | | 1,019.09 | + | | | 5.76 | | | | 1,000 | | | | 1,020.58 | + | | | 4.26 | | | | 1,000 | | | | 1,020.33 | + | | | 4.51 | |
| Service | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | N/A | | | | N/A | | | | N/A | | | | 1,000 | | | | 1,128.20 | | | | 7.12 | | | | N/A | | | | N/A | | | | N/A | |
Hypothetical 5% return | | | N/A | | | | N/A | | | | N/A | | | | 1,000 | | | | 1,018.10 | + | | | 6.76 | | | | N/A | | | | N/A | | | | N/A | |
| Class IR | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 1,096.90 | | | | 6.65 | | | | 1,000 | | | | 1,130.90 | | | | 5.12 | | | | 1,000 | | | | 1,134.80 | | | | 5.56 | |
Hypothetical 5% return | | | 1,000 | | | | 1,018.45 | + | | | 6.41 | | | | 1,000 | | | | 1,019.98 | + | | | 4.86 | | | | 1,000 | | | | 1,019.59 | + | | | 5.26 | |
| Class R | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 1,094.30 | | | | 9.35 | | | | 1,000 | | | | 1,127.90 | | | | 7.91 | | | | N/A | | | | N/A | | | | N/A | |
Hypothetical 5% return | | | 1,000 | | | | 1,015.87 | + | | | 9.00 | | | | 1,000 | | | | 1,017.36 | + | | | 7.50 | | | | N/A | | | | N/A | | | | N/A | |
| Class R6 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Actual | | | 1,000 | | | | 1,098.20 | | | | 5.88 | | | | 1,000 | | | | 1,130.60 | | | | 4.38 | | | | 1,000 | | | | 1,135.60 | | | | 4.66 | |
Hypothetical 5% return | | | 1,000 | | | | 1,019.19 | + | | | 5.66 | | | | 1,000 | | | | 1020.68 | + | | | 4.16 | | | | 1,000 | | | | 1,020.43 | + | | | 4.41 | |
| * | | 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, 2017. 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: |
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| Fund | | Class A | | | Class C | | | Institutional | | | Service | | | Class IR | | | Class R | | | Class R6 | |
Emerging Markets Equity Insights | | | 1.54 | % | | | 2.29 | % | | | 1.15 | % | | | N/A | | | | 1.28 | % | | | 1.80 | % | | | 1.13 | % |
International Equity Insights | | | 1.23 | | | | 1.98 | | | | 0.85 | | | | 1.35 | % | | | 0.97 | | | | 1.50 | | | | 0.83 | |
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. |
68
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 $1.17 trillion in assets under supervision as of March 31, 2017, 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. LLC subject to legal, internal and regulatory restrictions.
Money Market
Financial Square FundsSM
| ∎ | | Financial Square Treasury Solutions Fund1 |
| ∎ | | Financial Square Government Fund1 |
| ∎ | | Financial Square Money Market Fund2 |
| ∎ | | Financial Square Prime Obligations Fund2 |
| ∎ | | Financial Square Treasury Instruments Fund1 |
| ∎ | | Financial Square Treasury Obligations Fund1 |
| ∎ | | Financial Square Federal Instruments Fund1 |
| ∎ | | Financial Square Tax-Exempt Money Market Fund2 |
Investor FundsSM
| ∎ | | Investor Money Market Fund3 |
| ∎ | | Investor Tax-Exempt Money Market Fund3 |
Fixed Income
Short Duration and Government
| ∎ | | High Quality Floating Rate Fund |
| ∎ | | Short-Term Conservative Income Fund4 |
| ∎ | | Short Duration Government Fund |
| ∎ | | Short Duration Income Fund |
| ∎ | | Inflation Protected Securities Fund |
Multi-Sector
Municipal and Tax-Free
| ∎ | | High Yield Municipal Fund |
| ∎ | | Dynamic Municipal Income Fund |
| ∎ | | Short Duration Tax-Free Fund |
Single Sector
| ∎ | | Investment Grade Credit Fund |
| ∎ | | High Yield Floating Rate Fund |
| ∎ | | Emerging Markets Debt Fund |
| ∎ | | Local Emerging Markets Debt Fund |
| ∎ | | Dynamic Emerging Markets Debt Fund |
Fixed Income Alternatives
| ∎ | | Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ | | Small/Mid Cap Value Fund |
| ∎ | | Small/Mid Cap Growth Fund |
| ∎ | | Flexible Cap Growth Fund |
| ∎ | | Concentrated Growth Fund |
| ∎ | | Technology Opportunities Fund |
| ∎ | | Growth Opportunities Fund |
| ∎ | | Rising Dividend Growth Fund |
| ∎ | | Dynamic U.S. Equity Fund |
Tax-Advantaged Equity
| ∎ | | U.S. Tax-Managed Equity Fund |
| ∎ | | International Tax-Managed Equity Fund |
| ∎ | | U.S. Equity Dividend and Premium Fund |
| ∎ | | International Equity Dividend and Premium Fund |
Equity Insights
| ∎ | | Small Cap Equity Insights Fund |
| ∎ | | U.S. Equity Insights Fund |
| ∎ | | Small Cap Growth Insights Fund |
| ∎ | | Large Cap Growth Insights Fund |
| ∎ | | Large Cap Value Insights Fund |
| ∎ | | Small Cap Value Insights Fund |
| ∎ | | International Small Cap Insights Fund |
| ∎ | | International Equity Insights Fund |
| ∎ | | Emerging Markets Equity Insights Fund |
Fundamental Equity International
| ∎ | | Strategic International Equity Fund |
| ∎ | | Focused International Equity Fund |
| ∎ | | Emerging Markets Equity Fund |
Select Satellite
| ∎ | | Real Estate Securities Fund |
| ∎ | | International Real Estate Securities Fund |
| ∎ | | Commodity Strategy Fund |
| ∎ | | Global Real Estate Securities Fund |
| ∎ | | Dynamic Allocation Fund |
| ∎ | | Absolute Return Tracker Fund |
| ∎ | | Managed Futures Strategy Fund |
| ∎ | | MLP Energy Infrastructure Fund |
| ∎ | | Multi-Manager Alternatives Fund |
| ∎ | | Absolute Return Multi-Asset Fund |
| ∎ | | Global Infrastructure Fund |
Total Portfolio Solutions
| ∎ | | Global Managed Beta Fund |
| ∎ | | Multi-Manager Non-Core Fixed Income Fund |
| ∎ | | Multi-Manager U.S. Dynamic Equity Fund |
| ∎ | | Multi-Manager Global Equity Fund |
| ∎ | | Multi-Manager International Equity Fund |
| ∎ | | Tactical Tilt Overlay Fund |
| ∎ | | Balanced Strategy Portfolio |
| ∎ | | Multi-Manager U.S. Small Cap Equity Fund |
| ∎ | | Multi-Manager Real Assets Strategy Fund |
| ∎ | | Growth and Income Strategy Portfolio |
| ∎ | | Growth Strategy Portfolio |
| ∎ | | Equity Growth Strategy Portfolio |
| ∎ | | Satellite Strategies Portfolio |
| ∎ | | Enhanced Dividend Global Equity Portfolio |
| ∎ | | Tax-Advantaged Global Equity Portfolio |
| ∎ | | Strategic Factor Allocation Fund |
| ∎ | | Target Date 2020 Portfolio |
| ∎ | | Target Date 2025 Portfolio |
| ∎ | | Target Date 2030 Portfolio |
| ∎ | | Target Date 2035 Portfolio |
| ∎ | | Target Date 2040 Portfolio |
| ∎ | | Target Date 2045 Portfolio |
| ∎ | | Target Date 2050 Portfolio |
| ∎ | | Target Date 2055 Portfolio |
| ∎ | | GQG Partners International Opportunities Fund |
| 1 | | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 2 | | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 3 | | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 4 | | Effective on July 29, 2016, the Goldman Sachs Limited Maturity Obligations Fund was renamed the Goldman Sachs Short-Term Conservative Income Fund. |
| 5 | | Effective on June 20, 2017, the Goldman Sachs Fixed Income Macro Strategies Fund was renamed the Goldman Sachs Strategic Macro Fund. |
| 6 | | Effective on June 20, 2017, the Goldman Sachs Growth and Income Fund was renamed the Goldman Sachs Equity Income Fund. Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC. |
| * | | 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 Roy W. Templin Gregory G. Weaver | | OFFICERS James A. McNamara, President Scott M. McHugh, Treasurer, Senior Vice President and Principal Financial Officer Joseph F. DiMaria, Assistant Treasurer and Principal Accounting Officer Caroline L. Kraus, Secretary |
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GOLDMAN SACHS & CO. LLC 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.
Goldman Sachs does not provide accounting, tax, or legal advice. Notwithstanding anything in this document to the contrary, and except as required to enable compliance with applicable securities law, you may disclose to any person the US federal and state income tax treatment and tax structure of the transaction and all materials of any kind (including tax opinions and other tax analyses) that are provided to you relating to such tax treatment and tax structure, without Goldman Sachs imposing any limitation of any kind. Investors should be aware that a determination of the tax consequences to them should take into account their specific circumstances and that the tax law is subject to change in the future or retroactively and investors are strongly urged to consult with their own tax advisor regarding any potential strategy, investment or transaction.
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-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 also 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, 2017 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. LLC by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550).
© 2017 Goldman Sachs. All rights reserved. 94497-TMPL-06/2017-557118 INTINSSAR-17/43k
Goldman Sachs Funds
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| Semi-Annual Report | | | | April 30, 2017 |
| | |
| | | | Absolute Return Multi-Asset Fund |
Goldman Sachs Absolute Return Multi-Asset Fund
| | | | |
| | | |
| 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).
| ∎ | | 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 |
| ∎ | | We use a proprietary, factor-based risk-budgeting framework that seeks to balance risk across unique return drivers and active strategies |
| ∎ | | 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 |
| ∎ | | We seek to profit from opportunities across medium- to shorter-term time horizons and multiple geographies |
| ∎ | | For over two decades, we have managed multi-asset class solutions for clients including sovereign wealth funds, pension plans, endowments, and foundations |
| ∎ | | We leverage the insights and alpha generation of GSAM’s 700+ investment professionals in 31 offices around the globe (as of March 31, 2017) |
| ∎ | | 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.
1
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, 2017 (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 1.68%, 1.30%, 1.85%, 1.90%, 1.60% and 1.87%, respectively. These returns compare to the 0.45% 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 benchmarks and to other indices mentioned herein are for informational purposes only, and unless otherwise noted, are not indications 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 | | Investor sentiment was dominated during the Reporting Period by global central bank monetary policy, geopolitical events and uncertainty about the ability of the new U.S. Administration to enact policy. |
| | During the first part of the Reporting Period, investors were focused largely on the November 2016 U.S. presidential election and its unexpected outcome. Markets reacted positively following the results, as the potential of significant infrastructure spending, lower taxes and lighter regulation increased expectations for economic growth and inflation. Reflecting market optimism about a continued upward trend in U.S. economic growth, the CBOE Volatility Index® (“VIX®”) approached its post financial crisis low after the election. U.S. stocks hit record highs, while the yield on the 10-year U.S. Treasury note reached a high for the Reporting |
| | Period overall. U.S. banks and small-cap equities were among the chief beneficiaries of the “risk-on” sentiment that emerged following the election. In contrast, emerging markets assets (specifically, equities and currencies) struggled due to concerns about new U.S. policies that could have protectionist implications. With regards to commodities, oil-producing nations agreed to the most comprehensive supply cut in a decade during the Reporting Period. Crude oil prices rose from mid-$40 per barrel to intra-period highs of mid-$50 per barrel. The currencies of oil-exporting countries, as well as energy-related high yield corporate bonds, responded positively to the recovery in crude oil prices, recording significant gains near the end of 2016. |
| | The “risk-on” rally, which continued into the second part of the Reporting Period, was further supported by a stream of better than consensus expected U.S. economic data, reflected in non-farm payroll numbers, purchasing managers’ indices, and consumer- and producer-sentiment gauges — all of which reinforced opinions about a more positive macroeconomic picture. In addition, the U.S. inflation rate rose higher than the Federal Reserve’s (“Fed”) stated 2.0% target. These factors, along with positive survey data, led Fed policymakers, who had previously raised short-term interest rates in December 2016, to guide market expectations toward another rate hike in March 2017. As a result, the March rate increase caused minimal market disruption. Fed officials also said that several interest rate hikes could occur during 2017, and the minutes from the Fed’s March policy meeting indicated that balance sheet normalization might begin by the end of the calendar year. However, economic data at the end of the first quarter of 2017 failed to keep up with lofty survey data. Additionally, the U.S. Administration was unsuccessful in its first attempt to pass a health care bill, raising concern about its ability to enact legislation related to taxes and infrastructure. In this environment, global stocks gave up some of their gains, with cyclical stocks generally underperforming defensive stocks. Yields fell, driving a rally |
2
PORTFOLIO RESULTS
| | in the U.S. Treasury market, and the U.S. dollar weakened. Sharp rallies followed in emerging markets assets, particularly emerging markets currencies. In Europe, optimism about the European Central Bank’s (“ECB”) tapering of its asset purchases, as well as positive purchasing managers’ data, was well received by investors, who nevertheless remained cautious given political uncertainties surrounding the presidential election in France. |
| 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, the Fund’s strategic asset allocation contributed positively to its performance. At the asset class level, overall exposure to equities was the primary driver of returns. The Fund benefited from its strategic allocation to emerging markets stocks, which posted gains for the Reporting Period, as the U.S. dollar weakened, global economic conditions improved and concerns diminished about the impact of potential changes in U.S. trade policies. A strategic allocation to U.S. small-cap stocks, which generated a return of more than 18% (as measured by the Russell 2000® Index), also bolstered performance during the Reporting Period. Within fixed income, the Fund’s strategic allocation to high yield corporate bonds proved advantageous, as credit spreads (yield differentials versus U.S. Treasury securities of comparable maturity) remained tight. Within real assets, the Fund was aided by its strategic allocations to U.S. and international real estate securities, which benefited from the continued low interest rate environment and positive global economic growth. Detracting was the Fund’s strategic allocations to an equity hedge (implemented through short positions in futures on the S&P 500® Index and the MSCI EAFE Index), to moderate exposure to equity beta, amid the out performance of global equities during the Reporting Period. (Beta refers to the component of returns that is attributable to market risk exposure, rather than manager skill.) |
| | During the Reporting Period, our tactical asset allocation decisions added to returns. The Fund’s tactical long position in emerging markets equities was the largest positive contributor. Within fixed income, a short tactical position in long-term German government bonds added to the Fund’s performance, as yields rose during the Reporting Period primarily because of Fed interest rate policy. Conversely, tactical country selection within emerging markets equities and developed markets equities detracted from the Fund’s returns. In addition, the Fund’s results were marginally reduced by our tactical management of a basket of emerging markets currencies, which we used to express our views on the monetary and inflationary environment in emerging markets countries and on slowing economic growth in China and in other emerging markets countries. The Fund was also hurt by a tactical curve steepening position on the U.S. interest rate yield curve. Shorter-term U.S. interest rates rose during the Reporting Period, but longer-term U.S. interest rates rose less, leading the U.S. interest rate yield curve to flatten. (A flattening yield curve is one wherein the differential in yields between longer-term and shorter-term maturities narrows; opposite of steepening. Yield curve is a spectrum of maturities.) |
| | Security selection overall detracted from the Fund’s performance during the Reporting Period. More specifically, security selection within our active global equity, macroeconomic fixed income and long/short equity strategies dampened the Fund’s returns. |
| 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 36% of its total net assets in long equity-related investments; approximately 52% of its total net assets in long fixed income-related investments; approximately 15% of its total net assets in long real assets investments; and approximately 15% of its total net assets in long currency-related investments. It had short positions of approximately -22% of its total net assets in equity-related investments; approximately -40% of its total net assets in fixed income-related assets; approximately -7% of its total net assets in real asset investments; and approximately -20% of its total net assets in currency-related investments. These positions were accomplished through the use of equity index futures, equity options, interest rates futures, commodity futures and currency forwards. |
| Q | | How did you manage the Fund’s allocations during the Reporting Period? |
| A | | At the beginning of the Reporting Period, we shifted the Fund from a long duration position to a slightly short duration position, as we expected the global economy to continue improving and global interest rates to gradually rise. (Duration is a measure of the Fund’s sensitivity to changes in interest rates.) We accomplished this by establishing a short position in 30-year German government bonds, where we felt |
3
PORTFOLIO RESULTS
| | the downward technical (supply/demand) pressure from the ECB’s asset purchases was fading, and adopting a steepening position at the front, or short-term, end of the U.S. interest rate yield curve. |
| | In advance of the November 2016 U.S. election, we decreased risk exposure, as we sought to protect the Fund from elevated uncertainty and a possible sell-off in the financial markets. After the election, we increased the Fund’s risk exposure by adding long equity positions in the U.S. banking and health care sectors. At the same time, we decreased the Fund’s exposure overall to the broad U.S. equity market by reducing its position in a combination of equity index options on the S&P 500® Index. |
| | At the end of 2016, we modified the Fund’s strategic asset allocation to account for changes in the economic and business cycle. We took advantage of what we considered transitory weakness in emerging markets stocks after the U.S. election to increase the Fund’s strategic allocation to the asset class. We expect the difference in economic growth between the emerging markets and developed markets to widen in the coming years, which we believe may benefit emerging markets stocks. |
| | In late January 2017, we increased the Fund’s steepening position at the front end of the U.S. interest rate yield curve. In our view, U.S. economic fundamentals were positive, with inflation data firming and the labor market at what is considered to be full employment. During February 2017, we increased the Fund’s strategic allocation to volatility selling strategies and added a strategic allocation to international real estate securities. We also added a strategic allocation to a cross-market carry strategy, which seeks to take advantage of carry and roll-down opportunities across developed government bond markets. (Carry involves borrowing at a low interest rate and investing in an asset that provides a higher rate of return. Roll-down opportunities arise when the value of a bond converges to par as maturity is approached.) In addition, during the first part of 2017, in response to volatility surrounding France’s then-upcoming presidential election, we hedged the Fund’s European exposure through call and put options on the euro and U.S. dollar. (A put option is an option contract giving the owner the right, but not the obligation, to sell a specified amount of an underlying asset at a specified price within a specified time. A call option is an option that gives the holder the right to buy an underlying asset at an agreed-upon price at any time up to an agreed-upon date.) |
| | Toward the end of the Reporting Period, we sought to manage the Fund’s exposure to risk by selling S&P 500® Index put options and adopting a tactical short position in equity index options on the MSCI All Country World Index. Although we continued to believe the environment was broadly supportive of risk assets, we also saw a number of factors that could lead to choppy or range-bound markets in the near term. |
| | We continued to express our macro views during the Reporting Period by tactically managing a basket of emerging markets currencies. Overall, 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 in other emerging markets countries. |
| 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 long exposure to U.S. small-cap equities (positive impact on performance); long exposure to emerging markets stocks (positive impact); short exposure to regional equity markets in Europe (negative impact); long exposure to Japanese equities (positive impact); long exposure to regional equities in India and China (both of which had a positive impact) and in Malaysia (negative impact); and short exposure to regional equities in South Korea and South Africa (both of which had a negative impact). |
| | In addition, the Fund used listed equity options to gain or reduce exposure to the equity markets of certain countries. During the Reporting Period, the Fund’s use of listed equity options to modulate the Fund’s participation in the performance of global large-cap equities detracted from performance. The Fund also employed listed equity options to gain select exposure to certain countries, such as Brazil (negative impact) and also Spain, Taiwan and Japan (all three of which had a positive impact). Furthermore, the Fund utilized equity index options on the S&P 500® Index for risk management purposes, which had a positive impact on performance. The use of options on fixed income assets to obtain exposure to government bonds broadly had a negative impact on performance, while the use of options to gain exposure to high yield corporate bonds and short-term U.S. interest rates had a positive impact on performance. |
| | Interest rate futures, which were used to manage the Fund’s interest rate exposures and to facilitate the implementation of specific duration and yield curve views, had a neutral to slightly negative impact on performance. The Fund’s use of |
4
PORTFOLIO RESULTS
| | U.S. Treasury futures, employed as part of a breakeven inflation position during the Reporting Period, added positively to results. The Fund’s use of German Bund futures to express a view on the direction of long-term German interest rates had a positive impact on performance. In addition, the Fund used options on Eurodollar futures to take tactical positions on the U.S. interest rate yield curve, which had a negative 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 curve. Changes in the shape of the yield curve will change the relative price of bonds represented by the curve.) |
| | Options and futures on individual commodities and total return swaps on commodity indices were also used to implement directional views or to implement systematic curve and carry strategies, which overall had a modestly positive impact on performance. |
| | 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 detracted from the Fund’s performance during the Reporting Period 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 40% of its total net assets in long equity-related investments; approximately 64% of its total net assets in long fixed income-related investments; approximately 10% of its total net assets in long real assets investments; and approximately 31% of its total net assets in long currency-related investments. It had short positions of approximately -26% of its total net assets in equity-related investments; approximately -36% of its total net assets in fixed income-related assets; approximately -7% of its total net assets in real asset investments; and approximately -31% of its total net assets in currency-related investments. These positions were accomplished through the use of equity index futures, equity options, interest rate 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 were focused on three macro themes. First, we expect a widening economic expansion in 2017, as growth in emerging markets countries improves from previous weakness and growth in the U.S. and Europe continues at a more moderate pace. Second, we believe improvements in economic growth, together with increasing U.S. inflationary pressures, may reduce investor conviction in the secular stagnation thesis, with higher bond yields a likely consequence. (Secular stagnation is a condition of negligible or no economic growth in a market-based economy.) Third, we think investor uncertainty remains elevated because of macro risks. These risks have the potential to cause temporary pullbacks, in our opinion, which could result in range-bound returns across all asset classes and therefore require a dynamic approach to asset allocation. |
| | At the asset class level, we plan to maintain the Fund’s pro-risk and pro-growth stance, expressed through broad overweight positions in equities and broad underweight positions in fixed income. We believe the potential risk-reward of fixed income is asymmetrical compared to that of equities, as bond yields remain low and the possibility of increases in the near term is growing. Accordingly, we generally favored corporate credit over government bonds. We had a broadly positive view of emerging markets assets, particularly relative to developed markets assets, based on attractive valuations and improving fundamentals. In addition, we believe there is sufficient government policy support to limit potential downside risks from China. |
5
FUND BASICS
Index Definitions
The Bank of America Merrill Lynch U.S. Dollar Three-Month LIBOR Constant Maturity Index is based on the assumed purchase of a synthetic instrument having three months to maturity and with a coupon equal to the closing quote for Three-Month LIBOR. That issue is sold the following day (priced at a yield equal to the current day closing Three-Month LIBOR rate) and is rolled into a new Three-Month instrument. The index, therefore, will always have a constant maturity equal to exactly three months.
The CBOE Volatility Index® (VIX®) is a key measure of market expectations of near-term volatility conveyed by S&P 500® stock index option prices. Since its introduction in 1993, VIX has been considered by many to be the world’s premier barometer of investor sentiment and market volatility.
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 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 MSCI All Country World Index (ACWI) captures large-cap and mid-cap representation across 23 developed markets and 23 emerging markets countries.
The MSCI EAFE 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.
6
FUND BASICS
Goldman Sachs Absolute Return Multi-Asset Fund
as of April 30, 2017
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2016–April 30, 2017 | | Fund Total Return
(based on NAV)1 | | | BofA ML U.S. Dollar 3-Month
LIBOR Constant Maturity Index2 | |
| | Class A | | | 1.68 | % | | | 0.45 | % |
| | Class C | | | 1.30 | | | | 0.45 | |
| | Institutional | | | 1.85 | | | | 0.45 | |
| | Class IR | | | 1.90 | | | | 0.45 | |
| | Class R | | | 1.60 | | | | 0.45 | |
| | | Class R6 | | | 1.87 | | | | 0.45 | |
| | 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 3/31/17 | | One Year | | | Since Inception | | | Inception Date | |
| | Class A | | | -4.33 | % | | | -4.06 | % | | | 9/2/2015 | |
| | Class C | | | -0.42 | | | | -1.29 | | | | 9/2/2015 | |
| | Institutional | | | 1.64 | | | | -0.20 | | | | 9/2/2015 | |
| | Class IR | | | 1.59 | | | | -0.33 | | | | 9/2/2015 | |
| | Class R | | | 1.08 | | | | -0.81 | | | | 9/2/2015 | |
| | | Class R6 | | | 1.66 | | | | -0.18 | | | | 9/2/2015 | |
| | 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 5.50% 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.
7
FUND BASICS
| | | | | | | | | | |
| | EXPENSE RATIOS4 | |
| | | | | Net Expense Ratio (Current) | | | Gross Expense Ratio (Before Waivers) | |
| | Class A | | | 1.48 | % | | | 3.73 | % |
| | Class C | | | 2.24 | | | | 4.48 | |
| | Institutional | | | 1.08 | | | | 3.33 | |
| | Class IR | | | 1.23 | | | | 3.47 | |
| | Class R | | | 1.74 | | | | 3.98 | |
| | | Class R6 | | | 1.06 | | | | 3.31 | |
| | 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 28, 2018, 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 4/30/175 |
| | | Holding | | % of Net Assets | | | Line of Business |
| | GS Financial Square Government Fund6 | | | 48.5 | % | | Investment Companies |
| | GS Emerging Markets Equity Fund6 | | | 6.9 | | | Investment Companies |
| | GS Fixed Income Macro Strategies Fund6 | | | 6.6 | | | Investment Companies |
| | GS Long Short Fund6 | | | 6.2 | | | Investment Companies |
| | GS Inflation Protected Securities Fund6 | | | 5.9 | | | Investment Companies |
| | United States Treasury Bill | | | 4.6 | | | U.S. Treasury Obligations |
| | GS International Real Estate Securities Fund6 | | | 2.6 | | | Investment Companies |
| | GS Emerging Markets Debt Fund6 | | | 2.5 | | | Investment Companies |
| | GS Local Emerging Markets Debt Fund6 | | | 1.8 | | | Investment Companies |
| | | Health Care Select Sector SPDR Fund | | | 1.3 | | | Exchange Traded Funds |
| | 5 | | The top 10 holdings may not be representative of the Fund’s future investments. |
8
FUND BASICS
| | | | | | |
| | SECTOR ALLOCATION7 | | | | |
| | | As of April 30, 2017 |
| | |  |
| | 7 | | 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 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 purchased options. 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 ABSOLUTE RETURN MULTI-ASSET FUND
Consolidated Schedule of Investments
April 30, 2017 (Unaudited)
| | | | | | | | | | | | | | |
Principal
Amount | | | Interest
Rate | | | Maturity
Date | | | Value | |
| | | | | | | | | | | | | | |
| U.S. Treasury Obligation(a)(b) – 4.6% | |
| | United States Treasury Bill | |
| $ | 1,175,000 | | | | 0.000 | % | | | 08/17/17 | | | $ | 1,172,191 | |
| (Cost1,172,726) | |
| | |
| | | | | | | | | | | | | | |
| Contracts | | | Exercise
Price | | | Expiration
Date | | | Value | |
| Option Contracts Purchased – 0.9% | |
| Options on Equities – 0.1% | |
| | Morgan Stanley & Co. Call – iShares MSCI Brazil Capped ETF | |
| | 9,864 | | | $ | 39.030 | | | | 08/31/17 | | | $ | 15,300 | |
| | Morgan Stanley & Co. Call – Stetson Oil Exchange, Inc. | |
| | 101 | | | | 3,386.47 | | | | 05/31/17 | | | | 16,344 | |
| | Morgan Stanley & Co. Call – Tortoise Select Opportunity Fund | |
| | 22,991 | | | | 1,563.16 | | | | 05/31/17 | | | | 1,773 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 33,417 | |
| | |
| Options on Futures – 0.8% | |
| | Credit Suisse International (London) Call – Eurodollar Futures | |
| | 14 | | | | 98.250 | | | | 06/19/17 | | | | 16,275 | |
| | Credit Suisse International (London) Call – Eurodollar Futures | |
| | 5 | | | | 98.500 | | | | 06/19/17 | | | | 2,687 | |
| | Credit Suisse International (London) Call – Eurodollar Futures | |
| | 12 | | | | 98.125 | | | | 06/19/17 | | | | 17,700 | |
| | Credit Suisse International (London) Call – Eurodollar Futures | |
| | 26 | | | | 98.000 | | | | 09/18/17 | | | | 39,000 | |
| | Credit Suisse International (London) Call – Eurodollar Futures | |
| | 24 | | | | 97.875 | | | | 12/18/17 | | | | 38,400 | |
| | Credit Suisse International (London) Call – Eurodollar Futures | |
| | 19 | | | | 97.750 | | | | 03/19/18 | | | | 32,419 | |
| | Credit Suisse International (London) Call – Eurodollar Futures | |
| | 8 | | | | 98.375 | | | | 03/19/18 | | | | 3,400 | |
| | Credit Suisse International (London) Call – Eurodollar Futures | |
| | 10 | | | | 98.375 | | | | 06/18/18 | | | | 4,000 | |
| | Credit Suisse International (London) Call – Eurodollar Futures | |
| | 11 | | | | 98.250 | | | | 09/17/18 | | | | 5,844 | |
| | Credit Suisse International (London) Call – Eurodollar Futures | |
| | 12 | | | | 98.125 | | | | 12/17/18 | | | | 8,175 | |
| | Credit Suisse International (London) Call – Eurodollar Futures | |
| | 15 | | | | 98.000 | | | | 03/18/19 | | | | 13,031 | |
| | Credit Suisse International (London) Call – Eurodollar Futures | |
| | 8 | | | | 97.750 | | | | 06/17/19 | | | | 10,050 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 190,981 | |
| | |
| TOTAL OPTION CONTRACTS PURCHASED
(Cost $303,518) |
| | $ | 224,398 | |
| | |
| Shares | | | Distribution
Rate | | | Value | |
| Investment Companies(d) – 82.3% | |
| United States – 82.3% | |
| Goldman Sachs Emerging Markets Debt Fund – Institutional
Shares(c) |
|
| | 49,857 | | | | 4.390 | % | | $ | 642,658 | |
| Goldman Sachs Emerging Markets Equity Fund – Institutional
Shares |
|
| | 94,456 | | | | 0.000 | | | | 1,771,994 | |
| Goldman Sachs Financial Square Government Fund –
Institutional Shares(c) |
|
| | 12,387,485 | | | | 0.660 | | | | 12,387,485 | |
| Goldman Sachs Fixed Income Macro Strategies Fund –
Institutional Shares |
|
| | 192,714 | | | | 0.000 | | | | 1,692,027 | |
| Goldman Sachs Inflation Protected Securities Fund – Institutional
Shares(c) |
|
| | 142,967 | | | | 3.480 | | | | 1,518,311 | |
| Goldman Sachs International Real Estate Securities Fund –
Institutional Shares(c) |
|
| | 111,642 | | | | 2.060 | | | | 663,151 | |
| Goldman Sachs Local Emerging Markets Debt Fund –
Institutional Shares(c) |
|
| | 72,040 | | | | 5.230 | | | | 460,333 | |
| | Goldman Sachs Long Short Fund – Institutional Shares* | |
| | 179,392 | | | | N/A | | | | 1,578,653 | |
| Goldman Sachs Real Estate Securities Fund – Institutional
Shares(c) |
|
| | 16,683 | | | | 1.860 | | | | 308,797 | |
| | |
| TOTAL INVESTMENT COMPANIES
(Cost $21,054,787) |
| | $ | 21,023,409 | |
| | |
| | | | | | | | |
| Shares | | | Description | | Value | |
| Exchange Traded Funds – 2.1% | |
| United States – 2.1% | |
| | 4,528 | | | Health Care Select Sector SPDR Fund | | $ | 341,864 | |
| | 4,486 | | | SPDR S&P Bank ETF | | | 191,193 | |
| | |
| TOTAL EXCHANGE TRADED FUNDS
(Cost $519,065) | | $ | 533,057 | |
| | |
| | TOTAL INVESTMENTS – 89.9% | | | | |
| | (Cost $23,050,096) | | $ | 22,953,055 | |
| | |
| OTHER ASSETS IN EXCESS OF
LIABILITIES – 10.1% | | | 2,578,918 | |
| | |
| | NET ASSETS – 100.0% | | $ | 25,531,973 | |
| | |
| | |
| 10 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET 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) | | Issued with a zero coupon. Income is recognized through the accretion of discount. |
(b) | | All or a portion of security is segregated as collateral for initial margin requirements on forward foreign currency exchange contracts. |
(c) | | Variable rate security. Interest rate or distribution rate disclosed is that which is in effect on April 30, 2017. |
(d) | | Represents Affiliated Funds. |
| | | | |
|
Currency Abbreviations: |
AUD | | — | | Australian Dollar |
BRL | | — | | Brazilian Real |
CAD | | — | | Canadian Dollar |
CHF | | — | | Swiss Franc |
CLP | | — | | Chilean Peso |
CNY | | — | | Chinese Yuan Renminbi |
CZK | | — | | Czech Koruna |
DKK | | — | | Danish Krone |
EUR | | — | | Euro |
GBP | | — | | British Pound |
HUF | | — | | Hungarian Forint |
IDR | | — | | Indonesian Rupiah |
ILS | | — | | Israeli Shekel |
INR | | — | | Indian Rupee |
JPY | | — | | Japanese Yen |
KRW | | — | | South Korean Won |
MXN | | — | | Mexican Peso |
NOK | | — | | Norwegian Krone |
NZD | | — | | New Zealand Dollar |
PHP | | — | | Philippine Peso |
PLN | | — | | Polish Zloty |
RUB | | — | | Russian Ruble |
SEK | | — | | Swedish Krona |
TRY | | — | | Turkish Lira |
TWD | | — | | Taiwan Dollar |
USD | | — | | U.S. Dollar |
ZAR | | — | | South African Rand |
| | | | |
Investment Abbreviations: |
ETF | | — | | Exchange Traded Fund |
LLC | | — | | Limited Liability Company |
PLC | | — | | Public Limited Company |
|
| | |
| The accompanying notes are an integral part of these financial statements. | | 11 |
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
Consolidated Schedule of Investments (continued)
April 30, 2017 (Unaudited)
|
| ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At April 30, 2017, 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 | | CZK | | | 16,200,000 | | | USD | | | 635,807 | | | $ | 659,600 | | | | 06/21/17 | | | $ | 23,792 | |
| | EUR | | | 777,774 | | | USD | | | 824,974 | | | | 849,487 | | | | 06/21/17 | | | | 24,512 | |
| | GBP | | | 150,000 | | | USD | | | 192,717 | | | | 194,573 | | | | 06/21/17 | | | | 1,856 | |
| | IDR | | | 5,040,000,000 | | | USD | | | 373,167 | | | | 376,180 | | | | 06/21/17 | | | | 3,012 | |
| | INR | | | 25,000,000 | | | USD | | | 370,200 | | | | 386,719 | | | | 06/21/17 | | | | 16,518 | |
| | KRW | | | 420,000,000 | | | USD | | | 363,715 | | | | 369,348 | | | | 06/21/17 | | | | 5,633 | |
| | NOK | | | 50,000 | | | USD | | | 5,806 | | | | 5,827 | | | | 06/21/17 | | | | 21 | |
| | RUB | | | 11,000,000 | | | USD | | | 183,508 | | | | 190,955 | | | | 06/21/17 | | | | 7,447 | |
| | SEK | | | 4,125,000 | | | USD | | | 457,473 | | | | 467,000 | | | | 06/21/17 | | | | 9,527 | |
| | TRY | | | 1,640,000 | | | USD | | | 439,576 | | | | 454,824 | | | | 06/21/17 | | | | 15,246 | |
| | TWD | | | 10,500,000 | | | USD | | | 346,090 | | | | 348,343 | | | | 06/21/17 | | | | 2,251 | |
| | USD | | | 159,234 | | | AUD | | | 210,000 | | | | 157,102 | | | | 06/21/17 | | | | 2,132 | |
| | USD | | | 183,254 | | | BRL | | | 580,000 | | | | 182,588 | | | | 05/03/17 | | | | 667 | |
| | USD | | | 209,797 | | | CAD | | | 280,000 | | | | 205,283 | | | | 06/21/17 | | | | 4,515 | |
| | USD | | | 252,791 | | | CLP | | | 165,000,000 | | | | 246,606 | | | | 06/21/17 | | | | 6,185 | |
| | USD | | | 248,125 | | | CNY | | | 1,720,000 | | | | 248,041 | | | | 06/21/17 | | | | 83 | |
| | USD | | | 67,063 | | | HKD | | | 520,000 | | | | 66,926 | | | | 06/21/17 | | | | 137 | |
| | USD | | | 255,424 | | | JPY | | | 28,000,000 | | | | 251,702 | | | | 06/21/17 | | | | 3,722 | |
| | USD | | | 698,024 | | | KRW | | | 790,000,000 | | | | 694,725 | | | | 06/21/17 | | | | 3,299 | |
| | USD | | | 17,681 | | | NOK | | | 150,000 | | | | 17,481 | | | | 06/21/17 | | | | 200 | |
| | USD | | | 210,694 | | | NZD | | | 300,000 | | | | 205,854 | | | | 05/23/17 | | | | 4,840 | |
| | USD | | | 7,056 | | | NZD | | | 10,000 | | | | 6,857 | | | | 06/21/17 | | | | 199 | |
| | USD | | | 4,401 | | | RUB | | | 250,000 | | | | 4,340 | | | | 06/21/17 | | | | 62 | |
| | USD | | | 17,094 | | | SEK | | | 150,000 | | | | 16,982 | | | | 06/21/17 | | | | 112 | |
| | USD | | | 253,644 | | | THB | | | 8,700,000 | | | | 251,429 | | | | 06/21/17 | | | | 2,215 | |
| | USD | | | 10,690 | | | ZAR | | | 140,000 | | | | 10,382 | | | | 06/21/17 | | | | 308 | |
| | ZAR | | | 210,000 | | | USD | | | 15,058 | | | | 15,573 | | | | 06/21/17 | | | | 515 | |
UBS AG (London) | | CHF | | | 10,000 | | | USD | | | 10,064 | | | | 10,066 | | | | 05/23/17 | | | | 2 | |
| | EUR | | | 20,000 | | | USD | | | 21,751 | | | | 21,812 | | | | 05/23/17 | | | | 61 | |
| | GBP | | | 30,000 | | | USD | | | 38,577 | | | | 38,883 | | | | 05/23/17 | | | | 306 | |
| | ILS | | | 70,000 | | | USD | | | 19,302 | | | | 19,342 | | | | 05/23/17 | | | | 41 | |
| | INR | | | 17,440,000 | | | USD | | | 269,555 | | | | 270,537 | | | | 05/24/17 | | | | 983 | |
| | PLN | | | 530,000 | | | USD | | | 135,682 | | | | 136,585 | | | | 05/23/17 | | | | 904 | |
| | SEK | | | 90,000 | | | USD | | | 10,161 | | | | 10,174 | | | | 05/23/17 | | | | 13 | |
| | TRY | | | 1,580,000 | | | USD | | | 436,600 | | | | 441,825 | | | | 05/23/17 | | | | 5,223 | |
| | TWD | | | 550,000 | | | USD | | | 18,210 | | | | 18,222 | | | | 05/24/17 | | | | 12 | |
| | USD | | | 83,158 | | | AUD | | | 110,000 | | | | 82,332 | | | | 05/23/17 | | | | 826 | |
| | USD | | | 266,918 | | | CAD | | | 360,000 | | | | 263,816 | | | | 05/24/17 | | | | 3,102 | |
| | USD | | | 403,137 | | | CHF | | | 400,000 | | | | 402,632 | | | | 05/23/17 | | | | 505 | |
| | USD | | | 16,990 | | | CLP | | | 11,300,000 | | | | 16,910 | | | | 05/24/17 | | | | 80 | |
| | USD | | | 124,718 | | | HUF | | | 35,670,000 | | | | 124,161 | | | | 05/23/17 | | | | 558 | |
| | USD | | | 11,503 | | | JPY | | | 1,280,000 | | | | 11,492 | | | | 05/23/17 | | | | 11 | |
| | USD | | | 176,157 | | | KRW | | | 199,150,000 | | | | 175,092 | | | | 05/24/17 | | | | 1,065 | |
| | USD | | | 135,811 | | | NOK | | | 1,160,000 | | | | 135,146 | | | | 05/23/17 | | | | 665 | |
| | USD | | | 25,229 | | | PHP | | | 1,260,000 | | | | 25,054 | | | | 05/24/17 | | | | 175 | |
| | | USD | | | 137,176 | | | SEK | | | 1,210,000 | | | | 136,782 | | | | 05/23/17 | | | | 394 | |
| TOTAL | | | | | | | | $ | 153,932 | |
| | |
| 12 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency
Purchased | | | Currency
Sold | | | Current
Value | | | Settlement
Date | | | Unrealized
Loss | |
Morgan Stanley & Co. International PLC | | BRL | | | 580,000 | | | USD | | | 183,972 | | | $ | 182,588 | | | | 05/03/17 | | | $ | (1,385 | ) |
| | BRL | | | 600,000 | | | USD | | | 188,180 | | | | 187,409 | | | | 06/02/17 | | | | (772 | ) |
| | CNY | | | 1,740,000 | | | USD | | | 251,462 | | | | 250,925 | | | | 06/21/17 | | | | (537 | ) |
| | HUF | | | 76,000,000 | | | USD | | | 265,244 | | | | 264,804 | | | | 06/21/17 | | | | (441 | ) |
| | JPY | | | 2,000,000 | | | USD | | | 18,293 | | | | 17,978 | | | | 06/21/17 | | | | (314 | ) |
| | KRW | | | 10,000,000 | | | USD | | | 8,940 | | | | 8,794 | | | | 06/21/17 | | | | (146 | ) |
| | NOK | | | 1,650,000 | | | USD | | | 194,917 | | | | 192,292 | | | | 06/21/17 | | | | (2,624 | ) |
| | PHP | | | 12,500,000 | | | USD | | | 252,016 | | | | 248,038 | | | | 06/21/17 | | | | (3,978 | ) |
| | USD | | | 558,928 | | | CHF | | | 560,000 | | | | 564,666 | | | | 06/21/17 | | | | (5,736 | ) |
| | USD | | | 2,877 | | | CNY | | | 20,000 | | | | 2,884 | | | | 06/21/17 | | | | (7 | ) |
| | USD | | | 328,796 | | | CZK | | | 8,200,000 | | | | 333,871 | | | | 06/21/17 | | | | (5,077 | ) |
| | USD | | | 34,119 | | | DKK | | | 240,000 | | | | 35,245 | | | | 06/21/17 | | | | (1,125 | ) |
| | USD | | | 2,018,001 | | | EUR | | | 1,897,774 | | | | 2,072,753 | | | | 06/21/17 | | | | (54,753 | ) |
| | USD | | | 563,276 | | | GBP | | | 455,000 | | | | 590,205 | | | | 06/21/17 | | | | (26,929 | ) |
| | USD | | | 259,420 | | | HUF | | | 76,000,000 | | | | 264,804 | | | | 06/21/17 | | | | (5,384 | ) |
| | USD | | | 10,993 | | | ILS | | | 40,000 | | | | 11,063 | | | | 06/21/17 | | | | (69 | ) |
| | USD | | | 7,554 | | | INR | | | 500,000 | | | | 7,734 | | | | 06/21/17 | | | | (180 | ) |
| | USD | | | 1,203,184 | | | JPY | | | 137,000,000 | | | | 1,231,541 | | | | 06/21/17 | | | | (28,357 | ) |
| | USD | | | 20,552 | | | NZD | | | 30,000 | | | | 20,586 | | | | 05/23/17 | | | | (34 | ) |
| | USD | | | 4,237 | | | RUB | | | 250,000 | | | | 4,340 | | | | 06/21/17 | | | | (103 | ) |
| | USD | | | 58,243 | | | SEK | | | 525,000 | | | | 59,436 | | | | 06/21/17 | | | | (1,193 | ) |
| | USD | | | 28,416 | | | SGD | | | 40,000 | | | | 28,645 | | | | 06/21/17 | | | | (229 | ) |
| | USD | | | 254,177 | | | TRY | | | 950,000 | | | | 263,465 | | | | 06/21/17 | | | | (9,287 | ) |
| | USD | | | 903,201 | | | TWD | | | 27,600,000 | | | | 915,644 | | | | 06/21/17 | | | | (12,441 | ) |
| | USD | | | 186,649 | | | ZAR | | | 2,520,000 | | | | 186,881 | | | | 06/21/17 | | | | (233 | ) |
| | ZAR | | | 2,450,000 | | | USD | | | 189,940 | | | | 181,690 | | | | 06/21/17 | | | | (8,250 | ) |
UBS AG (London) | | BRL | | | 540,000 | | | USD | | | 171,320 | | | | 169,015 | | | | 05/24/17 | | | | (2,305 | ) |
| | CHF | | | 30,000 | | | USD | | | 30,250 | | | | 30,198 | | | | 05/23/17 | | | | (54 | ) |
| | CLP | | | 57,440,000 | | | USD | | | 87,819 | | | | 85,955 | | | | 05/24/17 | | | | (1,864 | ) |
| | EUR | | | 60,000 | | | USD | | | 65,552 | | | | 65,436 | | | | 05/23/17 | | | | (116 | ) |
| | HUF | | | 13,600,000 | | | USD | | | 47,525 | | | | 47,340 | | | | 05/23/17 | | | | (186 | ) |
| | IDR | | | 1,834,040,000 | | | USD | | | 137,676 | | | | 137,266 | | | | 05/24/17 | | | | (409 | ) |
| | JPY | | | 430,000 | | | USD | | | 3,914 | | | | 3,861 | | | | 05/23/17 | | | | (53 | ) |
| | MXN | | | 6,920,000 | | | USD | | | 370,990 | | | | 366,029 | | | | 05/23/17 | | | | (4,961 | ) |
| | RUB | | | 14,210,000 | | | USD | | | 252,069 | | | | 248,203 | | | | 05/24/17 | | | | (3,866 | ) |
| | SEK | | | 310,000 | | | USD | | | 35,293 | | | | 35,043 | | | | 05/23/17 | | | | (250 | ) |
| | TWD | | | 1,490,000 | | | USD | | | 49,444 | | | | 49,366 | | | | 05/24/17 | | | | (79 | ) |
| | USD | | | 7,441 | | | AUD | | | 10,000 | | | | 7,485 | | | | 05/23/17 | | | | (44 | ) |
| | USD | | | 14,611 | | | CAD | | | 20,000 | | | | 14,656 | | | | 05/24/17 | | | | (45 | ) |
| | USD | | | 195,926 | | | EUR | | | 180,000 | | | | 196,310 | | | | 05/23/17 | | | | (383 | ) |
| | USD | | | 38,406 | | | GBP | | | 30,000 | | | | 38,882 | | | | 05/23/17 | | | | (477 | ) |
| | USD | | | 13,694 | | | ILS | | | 50,000 | | | | 13,816 | | | | 05/23/17 | | | | (122 | ) |
| | USD | | | 16,427 | | | JPY | | | 1,830,000 | | | | 16,430 | | | | 05/23/17 | | | | (3 | ) |
| | USD | | | 6,808 | | | MXN | | | 130,000 | | | | 6,876 | | | | 05/23/17 | | | | (69 | ) |
| | | ZAR | | | 3,020,000 | | | USD | | | 231,290 | | | | 225,008 | | | | 05/23/17 | | | | (6,283 | ) |
| TOTAL | | | | | | | | | | | | | | | | | | | | | | $ | (191,153 | ) |
| | |
| The accompanying notes are an integral part of these financial statements. | | 13 |
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
Consolidated Schedule of Investments (continued)
April 30, 2017 (Unaudited)
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS — At April 30, 2017, the Fund had the following futures contracts:
| | | | | | | | | | | | | | |
| Type | | Number of
Contracts
Long (Short) | | | Expiration
Date | | Current
Value | | | Unrealized Gain
(Loss) | |
2 Year German Euro-Schatz | | | 3 | | | June 2017 | | $ | 366,789 | | | $ | 257 | |
5 Year German Euro-Bobl | | | 3 | | | June 2017 | | | 430,905 | | | | (789 | ) |
10 Year German Euro-Bund | | | 3 | | | June 2017 | | | 528,681 | | | | (2,009 | ) |
10 Year U.K. Long Gilt | | | 1 | | | June 2017 | | | 166,135 | | | | (261 | ) |
2 Year U.S. Treasury Notes | | | (19 | ) | | June 2017 | | | (4,115,578 | ) | | | (5,323 | ) |
5 Year U.S. Treasury Notes | | | (5 | ) | | June 2017 | | | (592,031 | ) | | | (103 | ) |
10 Year U.S. Treasury Notes | | | 21 | | | June 2017 | | | 2,640,094 | | | | 25,570 | |
3 Month Euroswiss | | | (1 | ) | | September 2017 | | | (253,216 | ) | | | (26 | ) |
3 Month Sterling Interest Rate | | | 1 | | | September 2018 | | | 161,074 | | | | 47 | |
3 Month Sterling Interest Rate | | | 1 | | | September 2017 | | | 161,301 | | | | 177 | |
3 Month Sterling Interest Rate | | | 1 | | | December 2017 | | | 161,252 | | | | 144 | |
3 Month Sterling Interest Rate | | | 1 | | | March 2018 | | | 161,204 | | | | 128 | |
3 Month Sterling Interest Rate | | | 1 | | | June 2018 | | | 161,139 | | | | 31 | |
3 Month Sterling Interest Rate | | | 1 | | | December 2018 | | | 161,009 | | | | 15 | |
3 Month Sterling Interest Rate | | | 2 | | | March 2019 | | | 321,889 | | | | (52 | ) |
3 Month Sterling Interest Rate | | | 2 | | | June 2019 | | | 321,727 | | | | (19 | ) |
Amsterdam Exchanges Index | | | 1 | | | May 2017 | | | 112,557 | | | | 2,612 | |
ASA 90 Day Bank | | | 2 | | | December 2017 | | | 1,491,202 | | | | 189 | |
ASA 90 Day Bank | | | 2 | | | March 2018 | | | 1,490,983 | | | | 85 | |
Australia 10 Year Treasury Bond | | | 1 | | | September 2017 | | | 745,656 | | | | 16 | |
Brent Crude | | | (1 | ) | | May 2017 | | | (52,050 | ) | | | (232 | ) |
CAC40 Index | | | 1 | | | May 2017 | | | 56,807 | | | | 2,994 | |
Cocoa | | | (2 | ) | | July 2017 | | | (36,820 | ) | | | 3,314 | |
Coffee | | | (2 | ) | | July 2017 | | | (100,050 | ) | | | 3,369 | |
Copper | | | 1 | | | July 2017 | | | 65,188 | | | | (1,378 | ) |
Corn | | | (8 | ) | | July 2017 | | | (146,600 | ) | | | 601 | |
Cotton No.2 | | | 4 | | | July 2017 | | | 157,740 | | | | (1,057 | ) |
Crude Oil | | | (2 | ) | | May 2017 | | | (98,660 | ) | | | (136 | ) |
Dax Index | | | 1 | | | June 2017 | | | 339,521 | | | | 66 | |
Euro Buxl 30 Year Bond | | | (9 | ) | | June 2017 | | | (1,658,393 | ) | | | (33,433 | ) |
Euro Stoxx 50 Index | | | (7 | ) | | June 2017 | | | (267,488 | ) | | | (12,581 | ) |
Euro Stoxx 50 Index | | | 6 | | | June 2017 | | | 229,276 | | | | 9,917 | |
Euro Stoxx 50 Index | | | 20 | | | December 2019 | | | 257,075 | | | | 4,680 | |
Eurodollars | | | (3 | ) | | September 2017 | | | (739,500 | ) | | | (194 | ) |
Eurodollars | | | 95 | | | December 2017 | | | 23,397,313 | | | | 23,210 | |
Eurodollars | | | (3 | ) | | December 2017 | | | (738,863 | ) | | | (475 | ) |
Eurodollars | | | (1 | ) | | March 2018 | | | (246,075 | ) | | | (77 | ) |
Eurodollars | | | (1 | ) | | June 2018 | | | (245,838 | ) | | | 23 | |
Eurodollars | | | (1 | ) | | September 2018 | | | (245,600 | ) | | | (15 | ) |
Eurodollars | | | (1 | ) | | December 2018 | | | (245,362 | ) | | | (27 | ) |
Eurodollars | | | (95 | ) | | March 2020 | | | (23,238,188 | ) | | | (83,157 | ) |
FTSE 100 Index | | | 4 | | | June 2017 | | | 371,204 | | | | (6,327 | ) |
FTSE 250 Index | | | (5 | ) | | June 2017 | | | (253,140 | ) | | | (10,482 | ) |
FTSE China A50 Index | | | (30 | ) | | May 2017 | | | (311,550 | ) | | | (1,190 | ) |
FTSE/JSE Top 40 Index | | | (6 | ) | | June 2017 | | | (213,457 | ) | | | (10,984 | ) |
Gold 100 Oz | | | 2 | | | June 2017 | | | 253,660 | | | | 465 | |
H-Shares Index | | | 3 | | | May 2017 | | | 197,490 | | | | 4,140 | |
Hard Red Winter Wheat | | | (3 | ) | | July 2017 | | | (65,587 | ) | | | (460 | ) |
IBEX 35 Index | | | 5 | | | May 2017 | | | 584,300 | | | | 20,912 | |
Japan 10 Year Government Bonds | | | (1 | ) | | June 2017 | | | (1,354,743 | ) | | | (4 | ) |
Kospi 200 Index | | | 2 | | | June 2017 | | | 126,505 | | | | 6,650 | |
Lead | | | 2 | | | May 2017 | | | 112,525 | | | | (2,533 | ) |
Lead | | | (2 | ) | | May 2017 | | | (112,525 | ) | | | (192 | ) |
Lead | | | 2 | | | June 2017 | | | 112,500 | | | | 10 | |
Lead | | | (1 | ) | | June 2017 | | | (56,250 | ) | | | (3,027 | ) |
Lean Hogs | | | (2 | ) | | June 2017 | | | (59,200 | ) | | | 674 | |
| | |
| 14 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS — At April 30, 2017, the Fund had the following futures contracts: (continued)
| | | | | | | | | | | | | | |
| Type | | Number of
Contracts
Long (Short) | | | Expiration
Date | | Current
Value | | | Unrealized Gain
(Loss) | |
Live Cattle | | | 1 | | | June 2017 | | $ | 49,610 | | | $ | 2,197 | |
Low Sulphur Gas Oil | | | 1 | | | June 2017 | | | 45,550 | | | | (3,477 | ) |
Mini Msci EAFE Index | | | (18 | ) | | June 2017 | | | (1,641,420 | ) | | | (62,086 | ) |
Mini MSCI Emerging Market | | | 35 | | | June 2017 | | | 1,713,250 | | | | 91,718 | |
MSCI Singapore Index | | | 13 | | | May 2017 | | | 323,383 | | | | 5,078 | |
MSCI Taiwan Index | | | 1 | | | May 2017 | | | 36,700 | | | | 556 | |
Nasdaq 100 E-Mini Index | | | 1 | | | June 2017 | | | 111,610 | | | | 3,615 | |
Natural Gas | | | (1 | ) | | May 2017 | | | (32,760 | ) | | | 547 | |
Nickel | | | 3 | | | May 2017 | | | 169,308 | | | | (16,092 | ) |
Nickel | | | (3 | ) | | May 2017 | | | (169,308 | ) | | | 11,765 | |
Nickel | | | 1 | | | June 2017 | | | 56,565 | | | | (4,463 | ) |
Nickel | | | (1 | ) | | June 2017 | | | (56,565 | ) | | | 1,837 | |
OMXS 30 Index | | | 4 | | | May 2017 | | | 73,070 | | | | 2,678 | |
Primary Aluminum | | | 5 | | | May 2017 | | | 238,000 | | | | 2,496 | |
Primary Aluminum | | | (5 | ) | | May 2017 | | | (238,000 | ) | | | 4,360 | |
Primary Aluminum | | | 3 | | | June 2017 | | | 143,044 | | | | (4,035 | ) |
Russell 2000 Mini Index | | | 13 | | | June 2017 | | | 908,960 | | | | 22,661 | |
S&P 500 E-Mini Index | | | 5 | | | June 2017 | | | 595,125 | | | | 1,541 | |
S&P 500 E-Mini Index | | | (23 | ) | | June 2017 | | | (2,737,575 | ) | | | (22,932 | ) |
SET50 Index | | | 10 | | | June 2017 | | | 57,473 | | | | (24 | ) |
SGX Nifty 50 Index | | | 20 | | | May 2017 | | | 373,360 | | | | 5,387 | |
Silver | | | 1 | | | July 2017 | | | 86,310 | | | | (5,748 | ) |
Soybean | | | (3 | ) | | July 2017 | | | (143,437 | ) | | | (184 | ) |
Sugar No. 11 | | | (1 | ) | | June 2017 | | | (18,066 | ) | | | 680 | |
Topix Index | | | 1 | | | June 2017 | | | 137,251 | | | | 2,150 | |
U.S. Long Bond | | | 5 | | | June 2017 | | | 764,844 | | | | 4,522 | |
Wheat | | | (4 | ) | | July 2017 | | | (86,450 | ) | | | 788 | |
Zinc | | | 2 | | | May 2017 | | | 130,725 | | | | (3,990 | ) |
Zinc | | | (2 | ) | | May 2017 | | | (130,725 | ) | | | 7,522 | |
Zinc | | | 1 | | | June 2017 | | | 65,506 | | | | (1,657 | ) |
| TOTAL | | | | | | | | | | | | $ | (18,837 | ) |
SWAP CONTRACTS — At April 30, 2017, the Fund had the following swap contracts:
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | |
| | | | Market Value | |
| Referenced Obligation | | Notional
Amount
(000s) | | Rates Received
(Paid) | | | Termination
Date | | | Credit(a)
Spread at
April 30,
2017 | | | Upfront
Payments
Made (Received) | | | Unrealized
Gain (Loss) | |
Protection Sold: | | | | | | | | | | | | | | | | | | | | | | |
CDX North America High Yield Index 28 | | $3,300 | | | 5.000 | % | | | 06/20/22 | | | | 3.289 | % | | $ | 219,641 | | | $ | 49,583 | |
CDX North America Investment Grade Index 28 | | 300 | | | 1.000 | | | | 06/20/22 | | | | 0.643 | | | | 4,433 | | | | 1,107 | |
iTraxx Europe Series 27 | | 250 | | | 1.000 | | | | 06/20/22 | | | | 0.665 | | | | 3,504 | | | | 1,437 | |
iTraxx Europe Series 27 | | 150 | | | 5.000 | | | | 06/20/22 | | | | 2.655 | | | | 15,920 | | | | 2,883 | |
| TOTAL | | | $ | 243,498 | | | $ | 55,010 | |
| | (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 or its counterparty to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and the term of the swap contract increase. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 15 |
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
Consolidated Schedule of Investments (continued)
April 30, 2017 (Unaudited)
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS
| | | | | | | | | | | | | | | | |
| Swap Counterparty | | Notional
Amount
(000s) | | | Reference
Obligation# | | | Termination
Date | | | Unrealized
Gain* | |
Morgan Stanley & Co. International PLC | | | | | | | | | | | | | | | | |
| | $ | 320 | | | | S&P GSCI 3 Month Forward Copper Index | | | | 08/31/17 | | | | $13,979 | |
| | | 161 | | | | S&P GSCI Gold Official Close Index | | | | 08/31/17 | | | | 4,022 | |
| | | | 190 | | | | S&P GSCI Silver Official Close Index | | | | 08/31/17 | | | | 13,174 | |
| TOTAL | | | $ | 31,175 | |
| | # | | 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. |
WRITTEN OPTIONS CONTRACTS — At April 30, 2017 the Fund had following written options:
OPTIONS ON EQUITIES CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Description | | Contracts | | | Expiration
Date | | | | | | Strike
Price | | | Value | |
Deutsche Bank AG | | Call - SPX Flex Indices | | | 13 | | | | 05/09/17 | | | | | | | $ | 2,389.09 | | | $ | (13,633 | ) |
| | Put - SPX Flex Indices | | | 13 | | | | 05/09/17 | | | | | | | | 2,306.07 | | | | (3,580 | ) |
Merrill Lynch & Co., Inc. | | Call - S&P 500 Index | | | 6 | | | | 05/24/17 | | | | | | | | 2,425 | | | | (350 | ) |
| | Put - S&P 500 Index | | | 1 | | | | 05/24/17 | | | | | | | | 2,350 | | | | (1,112 | ) |
| | Call - S&P 500 Index | | | 1 | | | | 05/31/17 | | | | | | | | 2,400 | | | | (1,300 | ) |
| | Call - S&P 500 Index | | | 1 | | | | 05/31/17 | | | | | | | | 2,425 | | | | (2,880 | ) |
| | Put - S&P 500 Index | | | 1 | | | | 05/31/17 | | | | | | | | 2,300 | | | | (749 | ) |
| | Put - S&P 500 Index | | | 6 | | | | 05/31/17 | | | | | | | | 2,350 | | | | (8,580 | ) |
| | Call - S&P 500 Index | | | 1 | | | | 06/30/17 | | | | | | | | 2,400 | | | | (2,700 | ) |
| | Call - S&P 500 Index | | | 1 | | | | 06/30/17 | | | | | | | | 2,425 | | | | (1,520 | ) |
| | Put - S&P 500 Index | | | 1 | | | | 06/30/17 | | | | | | | | 2,275 | | | | (1,370 | ) |
Morgan Stanley & Co. International PLC | | Put - SPX Flex Indices | | | 1 | | | | 05/15/17 | | | | | | | | 2,339.12 | | | | (508 | ) |
| | Call - EQO.STOCK Index | | | 101 | | | | 05/31/17 | | | | EUR | | | | 3,585.68 | | | | (2,589 | ) |
| | Call - EQO.TOPX Index | | | 22,991 | | | | 05/31/17 | | | | JPY | | | | 1,656.02 | | | | (85 | ) |
| | Put - EQO.STOCK Index | | | 72 | | | | 05/31/17 | | | | EUR | | | | 3,082.69 | | | | (336 | ) |
| | Put - EQO.TOPX Index | | | 22,991 | | | | 05/31/17 | | | | JPY | | | | 1,464.11 | | | | (1,083 | ) |
| | Call - EQO.EWZ Index | | | 9,864 | | | | 08/31/17 | | | | $ | | | | 45.07 | | | | (3,134 | ) |
| | Put - EQO.XLE Index | | | 9,005 | | | | 02/16/18 | | | | | | | | 62.17 | | | | (20,620 | ) |
| | | Put - EQO.EWZ Index | | | 4,932 | | | | 02/28/19 | | | | | | | | 30.02 | | | | (16,682 | ) |
| TOTAL (Premium Received $126,459) | | | | | 70,002 | | | | | | | | | | | | | | | $ | (82,811 | ) |
OPTIONS ON EQUITIES CONTRACTS — For the period ended April 30, 2017, the Fund had the following written equity options activities:
| | | | | | | | |
| | | Contracts | | | Premiums
Received | |
Contracts Outstanding October 31, 2016 | | | 34 | | | $ | 79,868 | |
Contracts Written | | | 3,035,697 | | | | 455,864 | |
Contracts Bought to Close | | | (2,958,720 | ) | | | (235,146 | ) |
Contracts Expired | | | (7,009 | ) | | | (174,127 | ) |
Contracts Outstanding October 31, 2016 | | | 70,002 | | | $ | 126,459 | |
| | |
| 16 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
Consolidated Statement of Assets and Liabilities(a)
April 30, 2017 (Unaudited)
| | | | | | |
| | | | | | |
| | Assets: | | | | |
| | Investments, at value (cost and $10,662,611) | | $ | 10,565,570 | |
| | Foreign currencies, at value (cost $140,359) | | | 146,174 | |
| | Investments of affiliated issuers, at value (cost and $12,387,485) | | | 12,387,485 | |
| | Cash | | | 603,765 | |
| | Unrealized gain on forward foreign currency exchange contracts | | | 153,932 | |
| | Variation margin on certain derivative contracts | | | 110,232 | |
| | Unrealized gain on swap contracts | | | 31,175 | |
| | Receivables: | | | | |
| | Collateral on certain derivative contracts(b) | | | 1,883,799 | |
| | Due from broker — upfront payment | | | 144,575 | |
| | Reimbursement from investment adviser | | | 40,947 | |
| | Investments sold | | | 20,506 | |
| | Dividends and interest | | | 11,167 | |
| | Foreign tax reclaims | | | 1,690 | |
| | Other assets | | | 50,197 | |
| | Total assets | | | 26,151,214 | |
| | | | | | |
| | Liabilities: | | | | |
| | Unrealized loss on forward foreign currency exchange contracts | | | 191,153 | |
| | Written option contracts, at value (premium received $126,459) | | | 82,811 | |
| | Payables: | | | | |
| | Due to broker — upfront payment | | | 140,599 | |
| | Due to broker — variation margin, at value | | | 17,540 | |
| | Investments purchased | | | 11,107 | |
| | Management fees | | | 11,104 | |
| | Distribution and service fees and transfer agency fees | | | 898 | |
| | Fund shares redeemed | | | 820 | |
| | Accrued expenses and other liabilities | | | 163,209 | |
| | Total liabilities | | | 619,241 | |
| | | | | | |
| | Net Assets: | | | | |
| | Paid-in capital | | | 25,850,684 | |
| | Undistributed net investment income | | | 53,268 | |
| | Accumulated net realized loss | | | (354,499 | ) |
| | Net unrealized loss | | | (17,480 | ) |
| | | NET ASSETS | | $ | 25,531,973 | |
| | | Net Assets: | | | | |
| | | Class A | | $ | 78,814 | |
| | | Class C | | | 24,582 | |
| | | Institutional | | | 25,353,738 | |
| | | Class IR | | | 24,989 | |
| | | Class R | | | 24,784 | |
| | | Class R6 | | | 25,066 | |
| | | Total Net Assets | | $ | 25,531,973 | |
| | | Shares Outstanding $0.001 par value (unlimited number of shares authorized): | | | | |
| | | Class A | | | 8,027 | |
| | | Class C | | | 2,509 | |
| | | Institutional | | | 2,578,681 | |
| | | Class IR | | | 2,543 | |
| | | Class R | | | 2,526 | |
| | | Class R6 | | | 2,549 | |
| | | Net asset value, offering and redemption price per share:(c) | | | | |
| | | Class A | | | $9.82 | |
| | | Class C | | | 9.80 | |
| | | Institutional | | | 9.83 | |
| | | Class IR | | | 9.83 | |
| | | Class R | | | 9.81 | |
| | | Class R6 | | | 9.83 | |
| | (a) | | Statement of Assets and Liabilities for the 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 $548,449, $1,154,800 and $180,550, respectively. |
| | (c) | | Maximum public offering price per share for Class A Shares of the Fund is $10.39. 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. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 17 |
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
Consolidated Statement of Operations(a)
For the Six Months Ended April 30, 2017 (Unaudited)
| | | | | | |
| | | | | | |
| | Investment income: | |
| | Dividends — unaffiliated issuers (net of foreign withholding taxes of $824) | | $ | 16,204 | |
| | Dividends — affiliated issuers | | | 147,150 | |
| | Interest | | | 3,778 | |
| | Total investment income | | | 167,132 | |
| | | | | | |
| | Expenses: | |
| | Management fees | | | 105,166 | |
| | Professional fees | | | 86,721 | |
| | Custody, accounting and administrative services | | | 79,680 | |
| | Registration fees | | | 39,284 | |
| | Printing and mailing costs | | | 17,237 | |
| | Trustee fees | | | 8,252 | |
| | Transfer Agency fees(b) | | | 5,060 | |
| | Distribution and Service fees(b) | | | 281 | |
| | Other | | | 6,105 | |
| | Total expenses | | | 347,786 | |
| | Less — expense reductions | | | (268,169 | ) |
| | Net expenses | | | 79,617 | |
| | NET INVESTMENT INCOME | | | 87,515 | |
| | | | | | |
| | Realized and unrealized gain (loss): | |
| | Capital gain distributions from Affiliated Underlying Funds | | | 102,754 | |
| | Net realized gain (loss) from: | | | | |
| | Investments — unaffiliated issuers | | | (2,877 | ) |
| | Investments — affiliated issuers | | | (50,147 | ) |
| | Futures contracts | | | (23,227 | ) |
| | Written options | | | 131,777 | |
| | Swap contracts | | | 76,153 | |
| | Forward foreign currency exchange contracts | | | 127,432 | |
| | Foreign currency transactions | | | (10,031 | ) |
| | Net change in unrealized gain (loss) on: | | | | |
| | Investments — unaffiliated issuers | | | 153,777 | |
| | Investments — affiliated issuers | | | 21,404 | |
| | Futures contracts | | | (154,067 | ) |
| | Written options | | | 35,927 | |
| | Swap contracts | | | 70,833 | |
| | Forward foreign currency exchange contracts | | | (96,814 | ) |
| | Foreign currency translation | | | 3,619 | |
| | Net realized and unrealized gain | | | 386,513 | |
| | NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 474,028 | |
| | (a) | | Statement of Operations for the 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 | |
Class A | | | Class C | | | Class R | | | Class A | | | Class C | | | Institutional | | | Class R6 | | | Class IR | | | Class R | |
| $ | 100 | | | $ | 120 | | | $ | 61 | | | $ | 76 | | | $ | 23 | | | $ | 4,912 | | | $ | 2 | | | $ | 24 | | | $ | 24 | |
| | |
| 18 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
Consolidated Statement of Changes in Net Assets(a)
| | | | | | | | | | |
| | | | | For the
Six Months Ended
April 30, 2017
(Unaudited) | | | For the Fiscal
Year Ended
October 31, 2016 | |
| | From operations: | | | | | | | | |
| | Net investment income | | $ | 87,515 | | | $ | 276,967 | |
| | Net realized gain (loss) | | | 351,834 | | | | (501,766 | ) |
| | Net change in unrealized gain (loss) | | | 34,679 | | | | (30,984 | ) |
| | Net increase (decrease) in net assets resulting from operations | | | 474,028 | | | | (255,783 | ) |
| | | | | | | | | | |
| | Distributions to shareholders: | | | | | | | | |
| | From net investment income | | | | | | | | |
| | Class A Shares | | | (761 | ) | | | (112 | ) |
| | Class C Shares | | | (40 | ) | | | (50 | ) |
| | Institutional Shares | | | (322,090 | ) | | | (143,777 | ) |
| | Class IR Shares | | | (283 | ) | | | (133 | ) |
| | Class R Shares | | | (161 | ) | | | (92 | ) |
| | Class R6 | | | (327 | ) | | | (146 | ) |
| | Total distributions to shareholders | | | (323,662 | ) | | | (144,310 | ) |
| | | | | | | | | | |
| | From share transactions: | | | | | | | | |
| | Proceeds from sales of shares | | | 341,529 | | | | 162,380 | |
| | Reinvestment of distributions | | | 322,744 | | | | 144,310 | |
| | Cost of shares redeemed | | | (5,173 | ) | | | (27,291 | ) |
| | Net increase in net assets resulting from share transactions | | | 659,100 | | | | 279,399 | |
| | TOTAL INCREASE (DECREASE) | | | 809,466 | | | | (120,694 | ) |
| | | | | | | | | | |
| | Net assets: | | | | | | | | |
| | Beginning of period | | | 24,722,507 | | | | 24,843,201 | |
| | End of period | | $ | 25,531,973 | | | $ | 24,722,507 | |
| | Undistributed net investment income | | $ | 53,866 | | | $ | 289,415 | |
| | (a) | | Statement of Changes in Net Assets for the 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. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 19 |
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
Consolidated 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) | | | | | | | | | | | | | | | |
2017 - A | | | | $ | 9.75 | | | $ | 0.02 | | | $ | 0.14 | | | $ | 0.16 | | | $ | (0.09 | ) |
2017 - C | | | | | 9.68 | | | | (0.02 | ) | | | 0.16 | | | | 0.14 | | | | (0.02 | ) |
2017 - Institutional | | | | | 9.78 | | | | 0.03 | | | | 0.15 | | | | 0.18 | | | | (0.13 | ) |
2017 - IR | | | | | 9.76 | | | | 0.03 | | | | 0.15 | | | | 0.18 | | | | (0.11 | ) |
2017 - R | | | | | 9.72 | | | | — | (f) | | | 0.15 | | | | 0.15 | | | | (0.06 | ) |
2017 - R6 | | | | | 9.78 | | | | 0.04 | | | | 0.14 | | | | 0.18 | | | | (0.13 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| FOR THE FISCAL YEAR ENDED OCTOBER 31, | | | | | | | | | | | | | | | | | | | |
2016 - A | | | | | 9.93 | | | | 0.05 | | | | (0.19 | ) | | | (0.14 | ) | | | (0.04 | ) |
2016 - C | | | | | 9.92 | | | | — | (e) | | | (0.22 | ) | | | (0.22 | ) | | | (0.02 | ) |
2016 - Institutional | | | | | 9.94 | | | | 0.11 | | | | (0.21 | ) | | | (0.10 | ) | | | (0.06 | ) |
2016 - IR | | | | | 9.93 | | | | 0.10 | | | | (0.22 | ) | | | (0.12 | ) | | | (0.05 | ) |
2016 - R | | | | | 9.93 | | | | 0.05 | | | | (0.22 | ) | | | (0.17 | ) | | | (0.04 | ) |
2016 - R6 | | | | | 9.94 | | | | 0.11 | | | | (0.21 | ) | | | (0.10 | ) | | | (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 | | | | — | (e) | | | (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 impact of taxes to shareholder relating to 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) | | Amount is less than ($0.005) per share. |
| | (f) | | Amount is less than $0.005 per share. |
| | (g) | | 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. |
| | |
| 20 | | 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) | | | | | Ratio of
total expenses
to average
net assets(c) | | | | | Ratio of
net investment
income (loss)
to average
net assets | | | | | Portfolio
turnover
rate(g) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 9.82 | | | | | | 1.68 | % | | | | $ | 79 | | | | | | 1.04 | %(d) | | | | | 3.21 | %(d) | | | | | 0.32 | %(d) | | | | | 42 | % |
| | | 9.80 | | | | | | 1.30 | | | | | | 25 | | | | | | 1.79 | (d) | | | | | 3.96 | (d) | | | | | (0.44 | )(d) | | | | | 42 | |
| | | 9.83 | | | | | | 1.85 | | | | | | 25,354 | | | | | | 0.64 | (d) | | | | | 2.81 | (d) | | | | | 0.71 | (d) | | | | | 42 | |
| | | 9.83 | | | | | | 1.90 | | | | | | 25 | | | | | | 0.79 | (d) | | | | | 2.96 | (d) | | | | | 0.56 | (d) | | | | | 42 | |
| | | 9.81 | | | | | | 1.60 | | | | | | 25 | | | | | | 1.29 | (d) | | | | | 3.46 | (d) | | | | | 0.06 | (d) | | | | | 42 | |
| | | 9.83 | | | | | | 1.87 | | | | | | 25 | | | | | | 0.62 | (d) | | | | | 2.80 | (d) | | | | | 0.73 | (d) | | | | | 42 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 9.75 | | | | | | (1.36 | ) | | | | | 83 | | | | | | 0.79 | | | | | | 4.01 | | | | | | 0.53 | | | | | | 38 | |
| | | 9.68 | | | | | | (2.01 | ) | | | | | 24 | | | | | | 1.65 | | | | | | 4.46 | | | | | | (0.02 | ) | | | | | 38 | |
| | | 9.78 | | | | | | (0.93 | ) | | | | | 24,542 | | | | | | 0.49 | | | | | | 3.31 | | | | | | 1.13 | | | | | | 38 | |
| | | 9.76 | | | | | | (1.18 | ) | | | | | 25 | | | | | | 0.65 | | | | | | 3.47 | | | | | | 0.98 | | | | | | 38 | |
| | | 9.72 | | | | | | (1.64 | ) | | | | | 24 | | | | | | 1.15 | | | | | | 3.97 | | | | | | 0.48 | | | | | | 38 | |
| | | 9.78 | | | | | | (0.92 | ) | | | | | 25 | | | | | | 0.47 | | | | | | 3.28 | | | | | | 1.16 | | | | | | 38 | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 9.93 | | | | | | (0.70 | ) | | | | | 25 | | | | | | 1.23 | (d) | | | | | 3.81 | (d) | | | | | (0.36 | )(d) | | | | | 1 | |
| | | 9.92 | | | | | | (0.90 | ) | | | | | 26 | | | | | | 1.98 | (d) | | | | | 4.55 | (d) | | | | | (1.10 | )(d) | | | | | 1 | |
| | | 9.94 | | | | | | (0.70 | ) | | | | | 24,718 | | | | | | 0.82 | (d) | | | | | 3.40 | (d) | | | | | 0.04 | (d) | | | | | 1 | |
| | | 9.93 | | | | | | (0.70 | ) | | | | | 25 | | | | | | 0.98 | (d) | | | | | 3.57 | (d) | | | | | (0.11 | )(d) | | | | | 1 | |
| | | 9.93 | | | | | | (0.80 | ) | | | | | 25 | | | | | | 1.48 | (d) | | | | | 4.07 | (d) | | | | | (0.62 | )(d) | | | | | 1 | |
| | | 9.94 | | | | | | (0.70 | ) | | | | | 25 | | | | | | 0.77 | (d) | | | | | 3.35 | (d) | | | | | 0.10 | (d) | | | | | 1 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 21 |
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
Notes to Financial Statements
April 30, 2017 (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 Absolute Return Multi-Asset Fund (the “Fund”) is a diversified fund and currently offers six classes of shares — Class A, Class C, Institutional, Class IR, Class R and Class R6 Shares.
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 Shares are not subject to a sales charge.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (formerly 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. Basis of Consolidation for Absolute Return Multi-Asset Fund — 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, 2017, the Fund’s net assets were $25,531,973, of which, $5,041,707, or 19.7%, represented the Subsidiary’s net assets.
B. Investment Valuation — The Fund’s valuation policy is to value investments at fair value.
C. Investment Income and Investments — Investment income includes interest income, dividend income, net of any foreign withholding taxes, less any amounts reclaimable, and securities lending income. 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 Fund’s 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 Fund as a reduction to the cost basis of the REIT.
22
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
|
| 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 Fund records its 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. 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. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), and non-class specific expenses of the Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by the Fund are charged to the Fund, while such expenses incurred by the Trust are allocated across the Fund 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. 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, if any, 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.
F. Foreign Currency Translation — The accounting records and reporting currency of the Fund 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 Statement 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.
23
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS |
The fair value of a financial instrument is the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price). GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the 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.
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 using available market quotations as provided by a third party pricing vendor or broker. With the exception of treasury securities of G8 countries, which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.
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GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
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| 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 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.
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.
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GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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.
iv. Swap Contracts — Bilateral swap contracts are agreements in which the Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between the Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”)(“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, 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. The 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 the 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, the 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. The Fund may also receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade.
As a seller of protection, the Fund generally receives a payment stream throughout the term of the swap, provided that there is no credit event. In addition, if the Fund sells protection through a credit default swap, the 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, the 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. The Fund may also pay a net settlement amount in the form of cash
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GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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, the 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 the 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 the Fund bought credit protection.
A total return swap is an agreement that gives the 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, the 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 valued using available market quotations as provided by a third party pricing vendor or broker. These investments are classified as Level 2 of the fair value hierarchy.
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.
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GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
Notes to Financial Statements (continued)
April 30, 2017 (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, 2017:
| | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Fixed Income | | | | | | | | | | | | |
U.S. Treasury Obligations | | $ | 1,172,191 | | | $ | — | | | $ | — | |
Investment Companies | | | 21,023,409 | | | | — | | | | — | |
Exchange Traded Funds | | | 533,057 | | | | — | | | | — | |
| Total | | $ | 22,728,657 | | | $ | — | | | $ | — | |
| | | |
| Derivative Type | | | | | | | | | |
| Assets | | | | | | | | | | | | |
Options Purchased | | $ | 190,981 | | | $ | 33,417 | | | $ | — | |
Forward Foreign Currency Exchange Contracts(a) | | | — | | | | 153,932 | | | | — | |
Futures Contracts(a) | | | 282,394 | | | | — | | | | — | |
Credit Default Swap Contracts(a) | | | — | | | | 55,010 | | | | — | |
Total Return Swap Contracts(a) | | | — | | | | 31,175 | | | | — | |
| Total | | $ | 473,375 | | | $ | 273,534 | | | $ | — | |
| Liabilities(a) | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | $ | — | | | $ | (191,153 | ) | | $ | — | |
Futures Contracts | | | (301,231 | ) | | | — | | | | — | |
Wtritten Option Contracts | | | — | | | | (82,811 | ) | | | — | |
| Total | | $ | (301,231 | ) | | $ | (273,964 | ) | | $ | — | |
| (a) | | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Schedule of Investments.
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GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
|
| 4. INVESTMENTS IN DERIVATIVES |
The following tables set forth, by certain risk types, the gross value of derivative contracts as of April 30, 2017. 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 tables 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 | | Consolidated Statement of Assets and Liabilities | | Assets | | | Consolidated Statement of Assets and Liabilities | | Liabilities | |
Interest rate | | Variation margin on certain derivative contracts; Investments, at value | | $ | 248,007 | (a) | | Variation margin on certain derivative contracts | | $ | (125,964) | (a) |
Commodity | | Variation margin on certain derivative contracts | | | 42,310 | (a) | | Variation margin on certain derivative Contracts; Payable for unrealized loss on swap contracts | | | (48,661) | (a) |
Credit | | Net realized gain (loss) on swap contracts/Net change in unrealized gain (loss) on swap contracts | | | 55,010 | | | — | | | — | |
Currency | | Receivable for unrealized gain on forward foreign currency exchange contracts | | | 153,932 | | | Payable for unrealized loss on forward foreign currency exchange contracts | | | (191,153) | |
Equity | | Receivable for unrealized gain on swap contracts; Variation margin on certain derivative contracts; Investments, at value | | | 247,650 | (a) | | Variation margin on certain derivative Contracts; Investments, at value | | | (209,417) | (a) |
| Total | | | | $ | 746,909 | | | | | $ | (575,195) | |
| (a) | | Includes unrealized gain (loss) on futures contracts and centrally cleared swaps described in the Additional Investment Information sections of the Schedule of Investments. Only current day’s variation margin is reported within the Consolidated Statement of Assets and Liabilities. |
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GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 4. INVESTMENTS IN DERIVATIVES (continued) |
The following tables set 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, 2017. 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 | | Consolidated 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 investments, swap contracts and futures contracts/Net change in unrealized gain (loss) on investments, swap contracts, written options and futures contracts | | $ | (5,907 | ) | | $ | (144,427 | ) | | | 270 | |
| Commodity | | Net realized gain (loss) from future contracts/Net change in unrealized gain (loss) on futures contracts and swap contracts | | | (81,537 | ) | | | 30,799 | | | | 102 | |
| Credit | | Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts | | | 72,880 | | | | 51,512 | | | | 5 | |
| Currency | | Net realized gain (loss) from investments, forward foreign currency exchange contracts /Net change in unrealized gain (loss) on forward foreign currency exchange contracts | | | 117,630 | | | | (96,814 | ) | | | 147 | |
| Equity | | Net realized gain (loss) from investments, futures contracts, swap contracts and written options contracts/Net change in unrealized gain (loss) on, futures contracts and written options contracts | | | 70,638 | | | | 26,436 | | | | 269 | |
| Total | | | | | 173,704 | | | | (132,494 | ) | | | 793 | |
| (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 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.
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GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
|
| 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 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.
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, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Derivative Assets(1) | | | Derivative Liabilities(1) | | | Net Derivative
Asset
(Liabilities) | | | Collateral
(Received)
Pledged(1) | | | Net
Amount(2) | |
| Counterparty | | Options
Purchased | | | Swaps | | | Forward
Currency
Contracts | | | Total | | | Swaps | | | Forward
Currency
Contracts | | | Options
Written | | | Total | | | | |
Deutsche Bank AG | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | — | | | $ | (17,213 | ) | | $ | (17,213 | ) | | $ | (17,213 | ) | | $ | — | | | $ | (17,213 | ) |
Merrill Lynch & Co., Inc. | | | — | | | | — | | | | — | | | | — | | | | — | | | | — | | | | (20,561 | ) | | | (20,561 | ) | | | (20,561 | ) | | | — | | | | (20,561 | ) |
Morgan Stanley & Co. International PLC | | | 33,417 | | | | 31,175 | | | | 139,006 | | | | 203,598 | | | | — | | | | (169,584 | ) | | | (45,037 | ) | | | (214,621 | ) | | | (11,023 | ) | | | 11,023 | | | | — | |
UBS AG (London) | | | — | | | | — | | | | 14,926 | | | | 14,926 | | | | — | | | | (21,569 | ) | | | — | | | | (21,569 | ) | | | (6,643 | ) | | | — | | | | (6,643 | ) |
Total | | $ | 33,417 | | | $ | 31,175 | | | $ | 153,932 | | | $ | 218,524 | | | $ | — | | | $ | (191,153 | ) | | $ | (82,811 | ) | | $ | (273,964 | ) | | $ | (55,440 | ) | | $ | 11,023 | | | $ | (44,417 | ) |
| (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. |
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GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 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 the Fund’s average daily net assets.
For the six months ended April 30, 2017, contractual and effective net management fees with GSAM were at the following rates:
| | | | | | | | | | | | | | | | | | | | | | |
| Contractual Management Rate | | | | |
First $2 billion | | | Next $3 billion | | | Next $3 billion | | | Over $8 billion | | | Effective Fee Rate | | | Effective Net Management Fee Rate*^(a) | |
| | 0.85% | | | | 0.77% | | | | 0.73% | | | | 0.71% | | | | 0.85% | | | | 0.39% | |
| * | | GSAM has agreed to waive a portion of its management fee payable by the Fund in an amount equal to any management fee it earns as an investment adviser to any of the affiliated funds in which the Fund invests through at least February 28, 2018. 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 Fund invests in the Institutional Shares of the Goldman Sachs Emerging Markets Debt Fund, Goldman Sachs Emerging Markets Equity Fund, Goldman Sachs Financial Square Government Fund, Goldman Sachs Fixed Income Macro Strategies Fund, Goldman Sachs Inflation Protected Securities Fund, Goldman Sachs International Real Estate Securities Fund, Goldman Sachs Local Emerging Markets Debt Fund, Goldman Sachs Long Short Fund and the Goldman Sachs Real Estate Securities Fund, which are affiliated Underlying Funds. 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, 2017, GSAM waived $45,971 of the Fund’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 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, 2017, GSAM waived $10,395 of the Fund’s management fee. This waiver represents an inter-fund transaction and, accordingly, has been eliminated in consolidation.
B. Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A and Class R Shares of the Fund, has adopted Distribution and Service Plans subject to Rule 12b-1 under the Act. Under the Distribution and Service 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. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class A or Class R Shares of the Fund, as applicable.
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GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
The Trust, on behalf of Class C Shares of the Fund, has adopted a Distribution Plan subject to Rule 12b-1 under the Act. Under the Distribution Plan, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class C Shares of the Fund.
| | | | | | | | | | | | |
| | | 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 Fund 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 period ended April 30, 2017, Goldman Sachs did not retain any portion of the sales charges nor CDSC for this fund.
D. Service Plan — The Trust, on behalf of the Fund, has adopted a Service Plan to allow Class C Shares to compensate service organizations (including Goldman Sachs) for providing varying levels of personal and account maintenance services to their customers who are beneficial owners of such shares. The Service Plan provides for compensation to the service organizations equal to an annual percentage rate of the average daily net assets attributable to Class C Shares of the Fund.
E. 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: 0.19% 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.
F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to limit certain “Other Expenses” of the Fund (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 the Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Fund is 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 Fund are 0.104%. These Other Expense limitations will remain in place through at least February 28, 2018, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Fund has entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Fund’s expenses and are received irrespective of the application of the “Other Expense” limitations described above.
For the six months ended April 30, 2017, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
| | | | | | |
Management
fees | | Other Expense
Reimbursements | | Total Expense
Reimbursements | |
| $45,971 | | $222,198 | | $ | 268,169 | |
33
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
G. Line of Credit Facility — As of April 30, 2017, the Fund participated in a $1,100,000,000 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. 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, 2017, the Fund did not have any borrowings under the facility. The facility was renewed in the amount of $1,100,000,000 effective May 2, 2017.
H. Other Transactions with Affiliates — As of April 30, 2017, The Goldman Sachs Group, Inc. was the beneficial owner of approximately 30%, 100%, 100%, 100%, 100% and 100% of Class A, Class C, Institutional, Class IR, Class R and Class R6 Shares, respectively of the Fund.
The table below shows the transactions in and earnings from investments in the Underlying Funds for the six months ended April 30, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Underlying Funds | | Market Value
10/31/16 | | | Purchase
at Cost | | | Proceeds
from Sales | | | Net
Realized
Gain (Loss) | | | Net
Change in
Unrealized
Gain (Loss) | | | Market
Value
04/30/17 | | | Dividend
Income | |
Goldman Sachs Emerging Markets Debt Fund – Institutional Shares | | $ | — | | | $ | 631,258 | | | $ | — | | | $ | — | | | $ | 11,400 | | | $ | 642,658 | | | $ | 6,258 | |
Goldman Sachs Emerging Markets Equity Fund – Institutional Shares | | | — | | | | 1,700,000 | | | | (65,000 | ) | | | 2,867 | | | | 134,127 | | | | 1,771,994 | | | | — | |
Goldman Sachs Financial Square Government Fund – Institutional Shares | | | 9,105,585 | | | | 16,722,562 | | | | (13,440,662 | ) | | | — | | | | — | | | | 12,387,485 | | | | 24,250 | |
Goldman Sachs Fixed Income Macro Strategies Fund – Institutional Shares | | | 2,437,511 | | | | 36,108 | | | | (765,000 | ) | | | (42,548 | ) | | | 25,956 | | | | 1,692,027 | | | | 36,108 | |
Goldman Sachs High Yield Fund – Institutional Shares | | | 1,153,166 | | | | 16,009 | | | | (1,192,613 | ) | | | 22,488 | | | | 950 | | | | — | | | | 17,745 | |
Goldman Sachs Inflation Protected Securities Fund – Institutional Shares | | | 1,475,133 | | | | 52,452 | | | | — | | | | — | | | | (9,274 | ) | | | 1,518,311 | | | | 7,452 | |
Goldman Sachs International Real Estate Securities Fund – Institutional Shares | | | 840,840 | | | | 111,832 | | | | (290,000 | ) | | | (9,110 | ) | | | 9,589 | | | | 663,151 | | | | 31,832 | |
Goldman Sachs Local Emerging Markets Debt Fund – Institutional Shares | | | — | | | | 446,069 | | | | — | | | | — | | | | 14,264 | | | | 460,333 | | | | 6,069 | |
Goldman Sachs Long Short Credit Strategies Fund – Institutional Shares | | | 491,222 | | | | 9,299 | | | | (493,437 | ) | | | (6,076 | ) | | | (1,008 | ) | | | — | | | | 9,655 | |
Goldman Sachs Long Short Fund – Institutional Shares | | | 1,252,270 | | | | 300,000 | | | | — | | | | — | | | | 26,383 | | | | 1,578,653 | | | | — | |
Goldman Sachs Real Estate Securities Fund – Institutional Shares | | | 1,122,376 | | | | 110,535 | | | | (847,736 | ) | | | (17,768 | ) | | | (58,610 | ) | | | 308,797 | | | | 7,781 | |
| | | $ | 17,878,103 | | | $ | 20,136,124 | | | $ | (17,094,448 | ) | | $ | (50,147 | ) | | $ | 153,777 | | | $ | 21,023,409 | | | | 147,150 | |
34
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET 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, 2017, were: $4,501,169 and $7,726,385 respectivly.
As of the Fund’s most recent fiscal year end, October 31, 2016, the Fund’s capital loss carryforwards and certain timing differences on a tax basis were as follows:
| | | | |
| | | | |
Capital loss carryforwards: | | | | |
Perpetual Short-term | | $ | (550,205 | ) |
Perpetual Long-term | | | (94,651 | ) |
Total capital loss carryforwards | | $ | (644,856 | ) |
Timing differences (Straddle Loss Deferral) | | $ | (10,369 | ) |
As of April 30, 2017, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income
tax purposes were as follows:
| | | | |
| | | | |
Tax Cost | | $ | 23,047,643 | |
Gross unrealized gain | | | 287,672 | |
Gross unrealized loss | | | (382,261 | ) |
Net unrealizd security loss | | $ | (94,589 | ) |
The difference between GAAP-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales and net mark to market gains (losses) on regulated futures contracts, net mark to market gains/(losses) on foreign currency contracts and differences in the tax treatment of underlying fund investments, partnership investments and swap transactions.
GSAM has reviewed the Fund’s 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 Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
35
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
The Fund’s risks include, but are not limited to, the following:
Derivatives Risk — The Fund’s use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Fund. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
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. The imposition of exchange controls, confiscations, trade restrictions (including tariffs) and other government restrictions by the United States or other governments, or from problems in share registration, settlement or custody, may also result in losses. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which the Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that the Fund also invests in securities of issuers located in emerging markets, these risks may be more pronounced.
Foreign Custody Risk — If the Fund 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 the Fund’s ability to recover its assets if a Foreign Custodian enters bankruptcy.
Investments in emerging markets may be subject to even greater custody risks than investments in more developed markets. Custody services in emerging market countries are very often undeveloped and may be considerably less well regulated than in more developed countries, and thus may not afford the same level of investor protection as would apply in developed countries.
Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by the Fund will generally decline in value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. The risks associated with increasing rates are heightened given that interest rates are near historic lows, but may be expected to increase in the future with unpredictable effects on the markets and the Fund’s investments. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Fund.
Investments in Other Investment Companies — 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.
36
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
|
| 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 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 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.
Liquidity Risk — The Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that the 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, the 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 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.
37
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 8. OTHER RISKS (continued) |
Tax Risk — The Fund will seek to gain exposure to the commodity markets primarily through investments in the Subsidiary and/or commodity index-linked structured notes, as applicable. Historically, the Internal Revenue Service (“IRS”) issued private letter rulings (“PLRs”) in which the IRS specifically concluded that income and gains from investments in commodity index-linked structured notes 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. The IRS also recently issued proposed regulations that, if finalized, would generally treat the Fund’s income inclusion with respect to a subsidiary as qualifying income only if there is a distribution out of the earnings and profits of a subsidiary that are attributable to such income inclusion. The proposed regulations, if adopted, would apply to taxable years beginning on or after 90 days after the regulations are published as final.
The IRS also recently issued a revenue procedure, which states that the IRS will not in the future issue PLRs that would require a determination of whether an asset (such as a commodity index-linked note) is a “security” under the Investment Company Act of 1940. The Fund has obtained an opinion of counsel that the Portfolio’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 the Fund’s income from such investments was not “qualifying income,” in which case the Fund would fail to qualify as a regulated investment company (“RIC”) under Subchapter M of the Code if over 10% of its gross income were derived from these investments. If the Fund failed to qualify as a RIC, it would be subject to federal and state income tax on all of its taxable income at regular corporate tax rates. This would significantly adversely affect the returns to, and could cause substantial losses for, Fund shareholders.
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.
Subsequent events after the Statement of Assets and Liabilities date have been evaluated and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
38
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
|
| 11. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | For the Six Months Ended April 30, 2017 (Unaudited) | | | For the Fiscal Year Ended October 31, 2016 | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
| Class A Shares | | | | | | | | | | | | | | | | |
Shares sold | | | — | | | $ | — | | | | 6,643 | | | $ | 64,764 | |
Reinvestment of distributions | | | 79 | | | | 761 | | | | 11 | | | | 112 | |
Shares redeemed | | | (531 | ) | | | (5,153 | ) | | | (675 | ) | | | (6,560 | ) |
| | | | (452 | ) | | | (4,392 | ) | | | 5,979 | | | | 58,316 | |
| Class C Shares | | | | | | | | | | | | | | | | |
Shares sold | | | — | | | | — | | | | (107 | ) | | | (1,066 | ) |
Reinvestment of distributions | | | 4 | | | | 40 | | | | 5 | | | | 50 | |
| | | | 4 | | | | 40 | | | | (102 | ) | | | (1,016 | ) |
| Institutional Shares | | | | | | | | | | | | | | | | |
Shares sold | | | 35,113 | | | | 341,242 | | | | 10,076 | | | | 98,682 | |
Reinvestment of distributions | | | 33,421 | | | | 321,175 | | | | 14,716 | | | | 143,777 | |
Shares redeemed | | | (1 | ) | | | (10 | ) | | | (2,144 | ) | | | (20,731 | ) |
| | | | 68,533 | | | | 662,407 | | | | 22,648 | | | | 221,728 | |
| Class IR Shares | | | | | | | | | | | | | | | | |
Reinvestment of distributions | | | 29 | | | | 283 | | | | 14 | | | | 133 | |
| | | | 29 | | | | 283 | | | | 14 | | | | 133 | |
| Class R Shares | | | | | | | | | | | | | | | | |
Reinvestment of distributions | | | 17 | | | | 161 | | | | 9 | | | | 92 | |
| | | | 17 | | | | 161 | | | | 9 | | | | 92 | |
| Class R6 | | | | | | | | | | | | | | | | |
Shares sold | | | 1 | | | | 10 | | | | — | | | | — | |
Reinvestment of distributions | | | 34 | | | | 327 | | | | 15 | | | | 146 | |
Shares redeemed | | | (1 | ) | | | (10 | ) | | | — | | | | — | |
| | | | 34 | | | | 327 | | | | 15 | | | | 146 | |
NET INCREASE | | | 68,165 | | | $ | 658,826 | | | | 28,563 | | | $ | 279,399 | |
| | | | | | | | | | | | | | | | |
39
GOLDMAN SACHS ABSOLUTE RETURN MULTI-ASSET FUND
| | |
Fund Expenses — Six Month Period Ended April 30, 2017 (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, 2016 through April 30, 2017, which represents a period of 181 days in a 365-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 | |
| Share Class | | Beginning
Account
Value
11/1/16 | | | Ending
Account
Value
4/30/17 | | | Expenses
Paid for the
6 months ended
4/30/17* | |
| Class A | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,016.80 | | | $ | 5.20 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,019.64 | + | | | 5.21 | |
| Class C | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,013.00 | | | | 8.93 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,015.92 | + | | | 8.95 | |
| Institutional | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,018.50 | | | | 3.20 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,021.62 | + | | | 3.21 | |
| Class IR | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,016.00 | | | | 3.95 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,020.88 | + | | | 3.96 | |
| Class R | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,019.00 | | | | 6.46 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,018.40 | + | | | 6.46 | |
Class R6 | | | | | | | | | | | | |
Actual | | | 1,000.00 | | | | 1,018.70 | | | | 3.10 | |
Hypothethical 5% return | | | 1,000.00 | | | | 1,021.72 | + | | | 3.11 | |
| | * | | Expenses for each share class are calculated using the 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, 2017. 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 | | | R6 | |
Absolute Return Multi-Asset Fund | | | 1.04 | % | | | 1.79 | % | | | 0.64 | % | | | 0.79 | % | | | 1.29 | % | | | 0.62 | % |
| | + | | 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. | |
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 $1.17 trillion in assets under supervision as of March 31, 2017, 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. LLC subject to legal, internal and regulatory restrictions.
Money Market
Financial Square FundsSM
| ∎ | | Financial Square Treasury Solution. Fund1 |
| ∎ | | Financial Square Government Fund1 |
| ∎ | | Financial Square Money Market Fund2 |
| ∎ | | Financial Square Prime Obligations Fund2 |
| ∎ | | Financial Square Treasury Instruments Fund1 |
| ∎ | | Financial Square Treasury Obligations Fund1 |
| ∎ | | Financial Square Federal Instruments Fund1 |
| ∎ | | Financial Square Tax-Exempt Money Market Fund2 |
Investor FundsSM
| ∎ | | Investor Money Market Fund3 |
| ∎ | | Investor Tax-Exempt Money Market Fund3 |
Fixed Income
Short Duration and Government
| ∎ | | High Quality Floating Rate Fund |
| ∎ | | Short-Term Conservative Income Fund4 |
| ∎ | | Short Duration Government Fund |
| ∎ | | Short Duration Income Fund |
| ∎ | | Inflation Protected Securities Fund |
Multi-Sector
Municipal and Tax-Free
| ∎ | | High Yield Municipal Fund |
| ∎ | | Dynamic Municipal Income Fund |
| ∎ | | Short Duration Tax-Free Fund |
Single Sector
| ∎ | | Investment Grade Credit Fund |
| ∎ | | High Yield Floating Rate Fund |
| ∎ | | Emerging Markets Debt Fund |
| ∎ | | Local Emerging Markets Debt Fund |
| ∎ | | Dynamic Emerging Markets Debt Fund |
Fixed Income Alternatives
| ∎ | | Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ | | Small/Mid Cap Value Fund |
| ∎ | | Small/Mid Cap Growth Fund |
| ∎ | | Flexible Cap Growth Fund |
| ∎ | | Concentrated Growth Fund |
| ∎ | | Technology Opportunities Fund |
| ∎ | | Growth Opportunities Fund |
| ∎ | | Rising Dividend Growth Fund |
| ∎ | | Dynamic U.S. Equity Fund |
Tax-Advantaged Equity
| ∎ | | U.S. Tax-Managed Equity Fund |
| ∎ | | International Tax-Managed Equity Fund |
| ∎ | | U.S. Equity Dividend and Premium Fund |
| ∎ | | International Equity Dividend and Premium Fund |
Equity Insights
| ∎ | | Small Cap Equity Insights Fund |
| ∎ | | U.S. Equity Insights Fund |
| ∎ | | Small Cap Growth Insights Fund |
| ∎ | | Large Cap Growth Insights Fund |
| ∎ | | Large Cap Value Insights Fund |
| ∎ | | Small Cap Value Insights Fund |
| ∎ | | International Small Cap Insights Fund |
| ∎ | | International Equity Insights Fund |
| ∎ | | Emerging Markets Equity Insights Fund |
Fundamental Equity International
| ∎ | | Strategic International Equity Fund |
| ∎ | | Focused International Equity Fund |
| ∎ | | Emerging Markets Equity Fund |
Select Satellite
| ∎ | | Real Estate Securities Fund |
| ∎ | | International Real Estate Securities Fund |
| ∎ | | Commodity Strategy Fund |
| ∎ | | Global Real Estate Securities Fund |
| ∎ | | Dynamic Allocation Fund |
| ∎ | | Absolute Return Tracker Fund |
| ∎ | | Managed Futures Strategy Fund |
| ∎ | | MLP Energy Infrastructure Fund |
| ∎ | | Multi-Manager Alternatives Fund |
| ∎ | | Absolute Return Multi-Asset Fund |
| ∎ | | Global Infrastructure Fund |
Total Portfolio Solutions
| ∎ | | Global Managed Beta Fund |
| ∎ | | Multi-Manager Non-Core Fixed Income Fund |
| ∎ | | Multi-Manager U.S. Dynamic Equity Fund |
| ∎ | | Multi-Manager Global Equity Fund |
| ∎ | | Multi-Manager International Equity Fund |
| ∎ | | Tactical Tilt Overlay Fund |
| ∎ | | Balanced Strategy Portfolio |
| ∎ | | Multi-Manager U.S. Small Cap Equity Fund |
| ∎ | | Multi-Manager Real Assets Strategy Fund |
| ∎ | | Growth and Income Strategy Portfolio |
| ∎ | | Growth Strategy Portfolio |
| ∎ | | Equity Growth Strategy Portfolio |
| ∎ | | Satellite Strategies Portfolio |
| ∎ | | Enhanced Dividend Global Equity Portfolio |
| ∎ | | Tax-Advantaged Global Equity Portfolio |
| ∎ | | Strategic Factor Allocation Fund |
| ∎ | | Target Date 2020 Portfolio |
| ∎ | | Target Date 2025 Portfolio |
| ∎ | | Target Date 2030 Portfolio |
| ∎ | �� | Target Date 2035 Portfolio |
| ∎ | | Target Date 2040 Portfolio |
| ∎ | | Target Date 2045 Portfolio |
| ∎ | | Target Date 2050 Portfolio |
| ∎ | | Target Date 2055 Portfolio |
| ∎ | | GQG Partners International Opportunities Fund |
| 1 | | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 2 | | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 3 | | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 4 | | Effective on July 29, 2016, the Goldman Sachs Limited Maturity Obligations Fund was renamed the Goldman Sachs Short-Term Conservative Income Fund. Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC. |
| 5 | | Effective on June 20, 2017, the Goldman Sachs Fixed Income Macro Strategies Fund was renamed the Goldman Sachs Strategic Macro Fund. |
| 6 | | Effective on June 20, 2017, the Goldman Sachs Growth and Income Fund was renamed the Goldman Sachs Equity Income Fund. |
| *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 Cassidy Diana M. Daniels Herbert J. Markley James A. McNamara Jessica Palmer Roy W. Templin Gregory G. Weaver | | OFFICERS James A. McNamara, President Scott M. McHugh, Treasurer, Senior Vice President and Principal Financial Officer Joseph F. DiMaria, Assistant Treasurer and Principal Accounting Officer Caroline L. Kraus, Secretary |
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GOLDMAN SACHS & CO. LLC 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-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 also 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, 2017 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. LLC by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550).
© 2017 Goldman Sachs. All rights reserved. 94644-TMPL-06/2017-551195 MACSAR-17/119
Goldman Sachs Funds
| | | | |
| | |
| Semi-Annual Report | | | | April 30, 2017 |
| | |
| | | | Tactical Tilt Overlay Fund |
Goldman Sachs Tactical Tilt Overlay Fund
| | | | |
TABLE OF CONTENTS | | | | |
| |
Portfolio Management Discussion and Performance Summary | | | 1 | |
| |
Consolidated Schedule of Investments | | | 8 | |
| |
Financial Statements | | | 15 | |
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Consolidated Financial Highlights | | | 18 | |
| |
Notes to the Financial Statements | | | 20 | |
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Other Information | | | 36 | |
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| NOT FDIC-INSURED | | May Lose Value | | No Bank Guarantee |
PORTFOLIO RESULTS
Goldman Sachs Tactical Tilt Overlay Fund
Investment Objective and Principal Strategy
The Goldman Sachs Tactical Tilt Overlay 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, 2017 (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 2.68%. This return compares to the 0.45% 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 benchmark and to other indices mentioned herein are for informational purposes only, and unless otherwise noted, are not indications 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 | | Investor sentiment was dominated during the Reporting Period by global central bank monetary policy, geopolitical events and uncertainty about the ability of the new U.S. Administration to enact policy. |
| | During the first part of the Reporting Period, investors were focused largely on the November 2016 U.S. presidential election and its unexpected outcome. Markets reacted positively following the results, as the potential of significant infrastructure spending, lower taxes and lighter regulation increased expectations for economic growth and inflation. Reflecting market optimism about a continued upward trend in U.S. economic growth, the CBOE Volatility Index® (“VIX®”) approached its post 2008-2009 financial crisis low after the election. U.S. stocks hit record highs, while the yield on the 10-year U.S. Treasury note reached a high for the Reporting Period overall. U.S. banks and small-cap equities were among the chief beneficiaries of the “risk-on” sentiment that emerged following the election. In contrast, emerging markets assets (specifically, equities and currencies) struggled due to concerns about new U.S. policies that could have protectionist implications. With regards to commodities, oil-producing nations agreed to the most comprehensive supply cut in a decade during the Reporting Period. During the Reporting Period, crude oil prices rose from mid-$40 per barrel to intra-period highs of mid-$50 per barrel. The currencies of oil-exporting countries, as well as energy-related high yield corporate bonds, responded positively to the recovery in crude oil prices, recording significant gains near the end of 2016. |
| | The “risk-on” rally, which continued into the second part of the Reporting Period, was further supported by a stream of better than consensus expected U.S. economic data, reflected in non-farm payroll numbers, purchasing managers’ indices, and consumer- and producer-sentiment gauges — all of which reinforced opinions about a more positive macroeconomic picture. In addition, the U.S. inflation rate rose higher than the Federal Reserve’s (“Fed”) stated 2.0% target. These factors, along with positive survey data, led Fed policymakers, who had previously raised short-term interest rates in December 2016, to guide market expectations toward another rate hike in March 2017. As a result, the March rate increase caused minimal market disruption. Fed officials also said that several interest rate hikes could occur during 2017, and the minutes from the Fed’s March policy meeting indicated that balance sheet normalization might begin by the end of the calendar year. However, economic data at the end of the first quarter of 2017 failed to keep up with lofty survey data. Additionally, the U.S. Administration was unsuccessful in its first attempt to pass a health care bill, raising concern about its ability to enact legislation related to taxes and infrastructure. In this environment, global stocks gave up some of their gains, with cyclical stocks generally |
1
PORTFOLIO RESULTS
| | underperforming defensive stocks. Yields fell, driving a rally in the U.S. Treasury market, and the U.S. dollar weakened. Sharp rallies followed in emerging markets assets, particularly emerging markets currencies. In Europe, optimism about the European Central Bank’s (“ECB”) tapering of its asset purchases, as well as positive purchasing managers’ data, was well received by investors, who nevertheless remained cautious given political uncertainties surrounding the presidential election in France. |
| 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. |
| | Within equities during the Reporting Period, the Portfolio’s exposure to European equities contributed positively, highlighted by long positions in Spanish equities and EURO STOXX 50® 2018 dividend futures. Spain’s equity market advanced on the strong performance of bank stocks as well as on positive sentiment about the country’s economic recovery. In addition, the Portfolio benefited from its exposure to U.S. equities, broadly led by long positions in large-cap banks and master limited partnerships (“MLPs”). We believe that U.S. bank stocks performed well due, in part, to the new U.S. Administration’s push for less banking regulation in the future. Conversely, the Portfolio was hurt by its holdings of U.S. equity index options, which were used to hedge U.S. stock market exposure. |
| | Within fixed income, the Portfolio was helped by its long position in energy-related high yield corporate bonds. Energy companies’ fundamentals had improved dramatically since the steep drop in crude oil prices during 2014. As a result, energy-related high yield corporate bonds were less sensitive to the decline in oil prices at the end of the Reporting Period. However, a short position in five-year German government bonds detracted from performance. German yields, which had risen early in the Reporting Period, fell in the final weeks amid a broad-based flight to what investors perceived as quality investments and due to concerns about the upcoming presidential election in France. |
| | Regarding its currency exposures, the Portfolio benefited from a long position in the British pound versus a short position in the U.S. dollar. The British pound appreciated toward the end of the Reporting Period after the U.K. prime minister called for early elections as she sought more parliamentary support for Brexit. (Brexit refers to the U.K.’s decision to exit the European Union.) On the other hand, a long position in the U.S. dollar versus a short position in the Japanese yen detracted from Portfolio returns, as the U.S. President struggled to unite the Republican Party behind his agenda. The Japanese yen strengthened amid a flight to safety after the U.S. military launched a missile strike on a Syrian government airbase. |
| | Within commodities, the Portfolio saw positive performance from its position in natural gas futures, as U.S. natural gas exports to Mexico increased, and natural gas inventories fell as a result. |
| 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 12.36% of its total net assets invested in equity-related investments; 12.70% of its total net assets invested in fixed income-related investments; and 12.23% 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 start of the Reporting Period. The fixed income-related investments include 18.94% in long exposure and 6.25% in short exposure. The Portfolio’s allocation to cash and cash equivalents was 62.71% 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 11.26% of the Portfolio’s accounting balance of cash, which totaled 73.98% at the beginning of the Reporting Period. The above sector breakout is inclusive of derivative exposure across all asset classes. Although the above sector breakout is inclusive of derivative exposure across all asset classes, it does not necessarily include the cash held to support those positions. Derivatives positions are mostly supported by cash held in the Portfolio specifically to cover its exposure and any potential margin calls or future losses experienced. Given the line-up of positions held, most of them were derivatives-based, so the cash allocation at the beginning of the Reporting Period was high. |
| 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. Broadly speaking, we |
2
PORTFOLIO RESULTS
| | increased the Portfolio’s exposure to risk by expanding its allocation to currencies, reintroducing an allocation to commodities and adding interest-rate sensitive positions. |
| | In terms of equity-related exposures, we modulated and subsequently eliminated the Portfolio’s hedging positions on U.S. equities, which had been implemented using put options on the S&P 500® Index. (A put option is an option contract giving the owner the right, but not the obligation, to sell a specified amount of an underlying asset at a specified price within a specified time.) We added a short position in S&P 500® Energy Index put options, which could provide the Portfolio with premium income or allow it gain exposure to the U.S. energy sector at what we considered attractive valuations. In addition, we decreased the Portfolio’s long position in large-cap U.S. banking stocks early in the Reporting Period to capture some profits. We also reduced the Portfolio’s long position in Spanish equities during the Reporting Period. Furthermore, we initiated a long position in EURO STOXX 50® 2018 dividend futures to take advantage of what we expected to be accelerating European economic growth as well as increased corporate earnings, which could help push dividends higher in 2018. |
| | In fixed income, we increased the Portfolio’s short position in five-year German government bonds during the Reporting Period, as the ECB’s expected monetary policy stance had been turning more neutral with the potential for modest hawkishness in the future. (Hawkish implies higher interest rates.) We reduced the Portfolio’s long position in energy-related high yield corporate bonds to capture profits. Toward the end of the Reporting Period, we eliminated the Portfolio’s allocation to U.S. high yield corporate bonds to increase its allocation to U.S. high yield loans. Additionally, during the Reporting Period, we sought to generate additional yield for the Portfolio by increasing its interest-rate sensitivity through long positions in New Zealand interest rate swaps. |
| | Regarding the Portfolio’s currency-related exposures, we initiated a short position in the Japanese yen and established a long position in the British pound. We increased these positions as well as the Portfolio’s short position in the Chinese renminbi over the course of the Reporting Period. In addition, we eliminated the Portfolio’s short position in the euro versus its long position in the U.S. dollar during the Reporting Period, as the currency markets provided us with attractive risk/reward opportunities to scale back the position. |
| | Separately, we increased the Portfolio’s allocation to MLPs during the Reporting Period. We also initiated a position in natural gas futures to take advantage of potential price increases following a mild winter and a rebound a natural gas production. |
| | In addition, as part of our ongoing efforts to manage free cash with the Portfolio, we moved some cash holdings from the Goldman Sachs Financial Square Government Fund to a separate account composed of highly rated short duration fixed income 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 supported predominantly 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 and commodity futures, currency forwards and options to express active investment views with greater versatility across regional equity markets, global market sectors, commodities markets and currency markets. The Portfolio’s use of equity futures, especially those used to gain exposure to select European equity markets, such as Spain, had a positive impact on performance. Commodities futures, employed to express our views on natural gas prices, added to results. The use of currency forwards contributed positively to performance, driven primarily by the Portfolio’s long position in the British pound versus its short position in the U.S. dollar. 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. The Portfolio’s use of equity options, driven by put options on the S&P 500® Index, had a negative impact on performance. In addition, interest rate swaps and German Bund futures were employed to express our views on the direction of interest rates. The use of German Bund futures detracted from the Portfolio’s performance, while the use of interest rate swaps to gain exposure to New Zealand interest rates did not have a material impact on 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 13.16% of its total net assets invested in equity-related investments; 12.85% of its total net assets invested in fixed income-related investments; 36.92% of its |
3
PORTFOLIO RESULTS
| | total net assets invested in currency-related investments; and 3.31% of its total net assets invested in commodity-related investments. The fixed income-related investments included 25.40% in long exposure and 12.55% in short exposure. The Portfolio’s allocation to cash and cash equivalents was 33.75% 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 5.39% of the Portfolio’s accounting balance of cash, which totaled 39.14% at the end of the Reporting Period. The above sector breakout is inclusive of derivative exposure across all asset classes. Although the above sector breakout is inclusive of derivative exposure across all asset classes, it does not necessarily include the cash held to support those positions. Derivatives positions are mostly supported by cash held in the Portfolio specifically to cover its exposure and any potential margin calls or future losses experienced. Given the line-up of positions held, most of them were derivatives-based, so the cash allocation at the end of the Reporting Period was lower than at the beginning of the Reporting Period but still high. |
| Q | | What is the Portfolio’s tactical asset allocation view and strategy for the months ahead? |
| A | | At the end of the Reporting Period, the Portfolio remained positioned for potential improvement in global economic growth, with modest improvement in GDP growth rates possible in the U.S., Europe and many emerging markets economies, in our view. We expect the Fed to maintain its accommodative monetary policy, as evidenced by the slow and steady pace at which Fed policymakers are raising the federal funds target rate. In general, we believe the “longer-than-normal” U.S. economic recovery is likely to support equity returns, which could exceed those of bonds and cash equivalents in the months ahead. That said, we see a number of potential risks, including growing geopolitical concerns, the spread of terrorism and the increase in cyberattacks. We will continue to be vigilant about these risks as we seek to take advantage of tactical opportunities going forward. At the end of the Reporting Period, we favored U.S. and European equities and were monitoring the Portfolio’s allocations to high yield loans. |
4
PORTFOLIO RESULTS
Index Definitions
The CBOE Volatility Index® (VIX®) is a key measure of market expectations of near-term volatility conveyed by S&P 500® stock index option prices. Since its introduction in 1993, VIX has been considered by many to be the world’s premier barometer of investor sentiment and market volatility.
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 500® Energy Index comprises those companies included in the S&P 500 that are classified as members of the GICS® energy sector.
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.
5
PORTFOLIO BASICS
Tactical Tilt Overlay Fund
as of April 30, 2017
| | | | | | | | | | |
| | PERFORMANCE REVIEW | |
| | | November 1, 2016–April 30, 2017 | | Portfolio Total Return
(based on NAV)1 | | | The Bank of America
Merrill Lynch U.S. Dollar
Three-Month LIBOR
Constant Maturity Index2 | |
| | | Institutional Shares | | | 2.68 | % | | | 0.45 | % |
| | 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. The Index figure does not reflect any deductions for fees, expenses or taxes. It is not possible to invest directly in an index. |
| | | | | | | | | | | | | | |
| | STANDARDIZED TOTAL RETURNS3 | |
| | | For the period ended 3/31/17 | | One Year | | | Since Inception | | | Inception Date | |
| | | Institutional Shares | | | 8.34 | % | | | 2.36 | % | | | 7/31/14 | |
| | 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. 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.
6
PORTFOLIO BASICS
| | | | | | | | | | |
| | EXPENSE RATIOS4 | | | | | | | | |
| | | | | Net Expense Ratio (Current) | | | Gross Expense Ratio (Before Waivers) | |
| | | Institutional Shares | | | 0.84 | % | | | 1.02 | % |
| | 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 Consolidated 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 28, 2018, 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. |
| | 5 | | Underlying sector allocations of exchange traded funds and investment companies held by the Portfolio 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 net assets. Short-term investments represent certificates of deposits and commercial paper. Figures in the graph may not sum to 100% due to the exclusion of other assets and liabilities. The graph does not depict the investment in the securities lending reinvestment vehicle. The Investment in the securities lending reinvestment vehicle represented 1.6% and 0% of the Portfolio’s net assets as of April 30, 2017 and October 31, 2016, respectively. 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 Consolidated Schedule of Investments. |
7
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Consolidated Schedule of Investments
April 30, 2017 (Unaudited)
| | | | | | | | | | | | | | |
Principal
Amount | | | Interest
Rate | | | Maturity
Date | | | Value | |
| | | | | | | | | | | | | | |
| Corporate Obligations – 6.0% | |
| Distributor(a) – 0.1% | |
| | AmeriGas Partners LP/AmeriGas Finance Corp. | |
| $ | 5,850,000 | | | | 5.875 | % | | | 08/20/26 | | | $ | 5,952,375 | |
| | |
| Energy – Exploration & Production – 3.4% | |
| | Alta Mesa Holdings LP/Alta Mesa Finance Services Corp.(a)(b) | |
| | 1,550,000 | | | | 7.875 | | | | 12/15/24 | | | | 1,627,500 | |
| | Antero Resources Corp.(a) | |
| | 4,700,000 | | | | 5.375 | | | | 11/01/21 | | | | 4,852,750 | |
| | 3,800,000 | | | | 5.125 | | | | 12/01/22 | | | | 3,857,000 | |
| | Berry Petroleum Co. LLC(a)(c) | |
| | 1,200,000 | | | | 6.750 | | | | 11/01/20 | | | | — | |
| | 18,124,000 | | | | 6.375 | | | | 09/15/22 | | | | — | |
| | California Resources Corp.(a) | |
| | 11,579,000 | | | | 8.000 | (b) | | | 12/15/22 | | | | 8,857,935 | |
| | 413,000 | | | | 6.000 | | | | 11/15/24 | | | | 272,580 | |
| | Carrizo Oil & Gas, Inc.(a) | |
| | 7,150,000 | | | | 7.500 | | | | 09/15/20 | | | | 7,364,500 | |
| | Chesapeake Energy Corp. | |
| | 1,950,000 | | | | 5.375 | (a) | | | 06/15/21 | | | | 1,837,875 | |
| | 3,800,000 | | | | 8.000 | (a)(b) | | | 12/15/22 | | | | 4,004,250 | |
| | 6,700,000 | | | | 5.750 | | | | 03/15/23 | | | | 6,231,000 | |
| | 1,475,000 | | | | 8.000 | (a)(b) | | | 01/15/25 | | | | 1,456,563 | |
| | Concho Resources, Inc.(a) | |
| | 6,650,000 | | | | 4.375 | | | | 01/15/25 | | | | 6,733,125 | |
| | Continental Resources, Inc.(a) | |
| | 10,450,000 | | | | 3.800 | | | | 06/01/24 | | | | 9,823,000 | |
| | CrownRock LP/CrownRock Finance, Inc.(a)(b) | |
| | 4,850,000 | | | | 7.750 | | | | 02/15/23 | | | | 5,165,250 | |
| | Denbury Resources, Inc.(a) | |
| | 3,252,000 | | | | 9.000 | (b) | | | 05/15/21 | | | | 3,438,990 | |
| | 4,750,000 | | | | 5.500 | | | | 05/01/22 | | | | 3,538,750 | |
| | 2,900,000 | | | | 4.625 | | | | 07/15/23 | | | | 2,001,000 | |
| | Gulfport Energy Corp.(a)(b) | |
| | 7,900,000 | | | | 6.000 | | | | 10/15/24 | | | | 7,781,500 | |
| | Halcon Resources Corp.(a)(b) | |
| | 2,099,000 | | | | 12.000 | | | | 02/15/22 | | | | 2,445,335 | |
| | 9,150,000 | | | | 6.750 | | | | 02/15/25 | | | | 8,784,000 | |
| | Jones Energy Holdings LLC/Jones Energy Finance Corp.(a) | |
| | 10,900,000 | | | | 6.750 | | | | 04/01/22 | | | | 9,156,000 | |
| | Laredo Petroleum, Inc.(a) | |
| | 4,700,000 | | | | 7.375 | | | | 05/01/22 | | | | 4,882,125 | |
| | 1,750,000 | | | | 6.250 | | | | 03/15/23 | | | | 1,771,875 | |
| | Matador Resources Co.(a) | |
| | 3,150,000 | | | | 6.875 | | | | 04/15/23 | | | | 3,315,375 | |
| | MEG Energy Corp.(a)(b) | |
| | 12,250,000 | | | | 7.000 | | | | 03/31/24 | | | | 10,933,125 | |
| Memorial Production Partners LP/Memorial Production Finance
Corp.(a)(c) |
|
| | 10,500,000 | | | | 7.625 | | | | 05/01/21 | | | | 3,780,000 | |
| | Nabors Industries, Inc.(b) | |
| | 4,350,000 | | | | 0.750 | | | | 01/15/24 | | | | 3,743,719 | |
| | Newfield Exploration Co.(a) | |
| | 4,350,000 | | | | 5.375 | | | | 01/01/26 | | | | 4,567,500 | |
| | Oasis Petroleum, Inc.(a) | |
| | 10,700,000 | | | | 6.875 | | | | 03/15/22 | | | | 10,833,750 | |
| | |
| | | | | | | | | | | | | | |
| Corporate Obligations – (continued) | |
| Energy – Exploration & Production – (continued) | |
| | Range Resources Corp.(a) | |
| 3,050,000 | | | | 5.000 | (b) | | | 08/15/22 | | | | 3,015,687 | |
| | 2,500,000 | | | | 4.875 | | | | 05/15/25 | | | | 2,406,250 | |
| | Rice Energy, Inc.(a) | |
| | 5,200,000 | | | | 6.250 | | | | 05/01/22 | | | | 5,434,000 | |
| | Sanchez Energy Corp.(a) | |
| | 7,550,000 | | | | 6.125 | | | | 01/15/23 | | | | 6,946,000 | |
| | Seven Generations Energy Ltd.(a)(b) | |
| | 4,850,000 | | | | 6.875 | | | | 06/30/23 | | | | 5,128,875 | |
| | SM Energy Co.(a) | |
| | 1,700,000 | | | | 6.500 | | | | 11/15/21 | | | | 1,738,250 | |
| | 2,400,000 | | | | 6.125 | | | | 11/15/22 | | | | 2,442,000 | |
| | 2,950,000 | | | | 6.750 | | | | 09/15/26 | | | | 2,972,125 | |
| | Whiting Petroleum Corp. | |
| | 2,100,000 | | | | 1.250 | | | | 04/01/20 | | | | 1,855,875 | |
| | 5,400,000 | | | | 5.750 | (a) | | | 03/15/21 | | | | 5,359,500 | |
| | WPX Energy, Inc.(a) | |
| | 6,950,000 | | | | 6.000 | | | | 01/15/22 | | | | 7,036,875 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 187,391,809 | |
| | |
| Energy – Services – 1.4% | |
| | CVR Refining LLC/Coffeyville Finance, Inc.(a) | |
| | 4,286,000 | | | | 6.500 | | | | 11/01/22 | | | | 4,361,005 | |
| | Ensco PLC(a) | |
| | 3,800,000 | | | | 4.500 | | | | 10/01/24 | | | | 3,135,000 | |
| | 2,150,000 | | | | 5.200 | | | | 03/15/25 | | | | 1,822,125 | |
| | FTS International, Inc.(a)(b)(d) | |
| | 2,100,000 | | | | 8.631 | | | | 06/15/20 | | | | 2,121,000 | |
| | Noble Holding International Ltd. | |
| | 3,629,000 | | | | 4.625 | | | | 03/01/21 | | | | 3,370,434 | |
| | 6,400,000 | | | | 7.750 | (a) | | | 01/15/24 | | | | 5,840,000 | |
| | 1,400,000 | | | | 5.250 | | | | 03/15/42 | | | | 910,000 | |
| | Pride International LLC | |
| | 1,900,000 | | | | 6.875 | | | | 08/15/20 | | | | 2,014,000 | |
| | Pride International, Inc. | |
| | 3,550,000 | | | | 8.500 | | | | 06/15/19 | | | | 3,878,375 | |
| | Rowan Cos., Inc.(a) | |
| | 3,900,000 | | | | 7.375 | | | | 06/15/25 | | | | 3,851,250 | |
| | 9,650,000 | | | | 5.400 | | | | 12/01/42 | | | | 7,285,750 | |
| | Sunoco LP/Sunoco Finance Corp.(a) | |
| | 1,800,000 | | | | 5.500 | | | | 08/01/20 | | | | 1,860,750 | |
| | 6,750,000 | | | | 6.375 | | | | 04/01/23 | | | | 7,188,750 | |
| | Transocean, Inc. | |
| | 2,400,000 | | | | 4.500 | | | | 10/15/17 | | | | 2,409,000 | |
| | 6,100,000 | | | | 7.500 | | | | 04/15/31 | | | | 5,429,000 | |
| | 5,900,000 | | | | 6.800 | | | | 03/15/38 | | | | 4,720,000 | |
| | Trinidad Drilling Ltd.(a)(b) | |
| | 5,250,000 | | | | 6.625 | | | | 02/15/25 | | | | 5,289,375 | |
| | Weatherford International Ltd. | |
| | 4,700,000 | | | | 4.500 | (a) | | | 04/15/22 | | | | 4,441,500 | |
| | 3,000,000 | | | | 8.250 | (a) | | | 06/15/23 | | | | 3,247,500 | |
| | 6,150,000 | | | | 6.500 | | | | 08/01/36 | | | | 5,781,000 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 78,955,814 | |
| | |
| Pipelines – 1.1% | |
| | Blue Racer Midstream LLC/Blue Racer Finance Corp.(a)(b) | |
| | 7,650,000 | | | | 6.125 | | | | 11/15/22 | | | | 7,841,250 | |
| | |
| | |
| 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 – (continued) | |
| | DCP Midstream LLC(b) | |
| $ | 4,510,000 | | | | 5.350 | % | | | 03/15/20 | | | $ | 4,701,675 | |
| | DCP Midstream Operating LP(b) | |
| | 1,700,000 | | | | 9.750 | | | | 03/15/19 | | | | 1,923,125 | |
| | 250,000 | | | | 6.750 | | | | 09/15/37 | | | | 273,750 | |
| | Energy Transfer Equity LP(a) | |
| | 3,050,000 | | | | 5.875 | | | | 01/15/24 | | | | 3,294,000 | |
| | 400,000 | | | | 5.500 | | | | 06/01/27 | | | | 429,000 | |
| | Genesis Energy LP/Genesis Energy Finance Corp.(a) | |
| | 9,350,000 | | | | 6.000 | | | | 05/15/23 | | | | 9,350,000 | |
| Summit Midstream Holdings LLC/Summit Midstream Finance
Corp.(a) |
|
| | 8,750,000 | | | | 5.750 | | | | 04/15/25 | | | | 8,837,500 | |
| Targa Resources Partners LP/Targa Resources Partners Finance
Corp.(a) |
|
| | 9,350,000 | | | | 5.250 | | | | 05/01/23 | | | | 9,607,125 | |
| | 3,900,000 | | | | 6.750 | | | | 03/15/24 | | | | 4,236,375 | |
| | The Williams Cos., Inc. | |
| | 3,393,000 | | | | 3.700 | (a) | | | 01/15/23 | | | | 3,354,052 | |
| | 2,700,000 | | | | 7.500 | | | | 01/15/31 | | | | 3,193,881 | |
| | 2,500,000 | | | | 5.750 | (a) | | | 06/24/44 | | | | 2,587,500 | |
| | | | | | | | | | | | | | |
| | | | | | | | | | | | | 59,629,233 | |
| | |
| | TOTAL CORPORATE OBLIGATIONS | |
| | (Cost $304,685,146) | | | $ | 331,929,231 | |
| | |
| | | | | | | | | | | | | | |
| Bank Loans(e) – 0.0% | |
| Energy – 0.0% | |
| | American Energy – Marcellus LLC | |
| $ | 1,723,828 | | | | 5.284 | % | | | 08/04/20 | | | $ | 1,199,491 | |
| | 7,775,000 | | | | 8.534 | | | | 08/04/21 | | | | 824,150 | |
| | Blue Ridge Mountain Resources, Inc.(f) | |
| | 306,341 | | | | 8.000 | | | | 05/06/19 | | | | 306,341 | |
| | |
| | TOTAL BANK LOANS | | | | | |
| | (Cost $4,271,905) | | | | | | | $ | 2,329,982 | |
| | |
| | | | | | | | |
| Shares | | | Description | | Value | |
| | | | | | | | |
| Common Stocks – 0.5% | |
| | Oil, Gas & Consumable Fuels – 0.5% | |
| | 758,151 | | | Berry Petroleum Corp.(c) | | $ | 8,718,737 | |
| | 441,945 | | | Chaparral Energy, Inc. | | | 11,667,347 | |
| | 200,259 | | | Blue Ridge Mountain Resources, Inc.(c)(f) | | | 1,852,396 | |
| | 239,200 | | | Denbury Resources, Inc.(c) | | | 531,024 | |
| | 691,419 | | | Whiting Petroleum Corp.(c) | | | 5,738,778 | |
| | |
| | TOTAL COMMON STOCKS | | | | |
| | (Cost $14,316,479) | | $ | 28,508,282 | |
| | |
| | | | | | | | |
| Preferred Stocks – 0.2%(c) | |
| Energy – Exploration & Production – 0.2% | |
Berry Petroleum Corp. | |
| $ 14,849 | | | 0.000 | % | | $ | 200,462 | |
| 718,233 | | | 0.000 | | | | 9,696,145 | |
| |
| TOTAL PREFERRED STOCKS – 0.2% | |
| (Cost $7,330,820) | | | $ | 9,896,607 | |
| |
| | | | | |
| | | | | | | | |
| Exchange Traded Funds(g) – 6.3% | |
| | | | | | | | |
| | 18,910,893 | | | Alerian MLP ETF | | $ | 238,277,252 | |
| | 2,575,670 | | | SPDR S&P Bank ETF | | | 109,775,055 | |
| | |
| | TOTAL EXCHANGE TRADED FUNDS | | | | |
| | (Cost $303,237,904) | | $ | 348,052,307 | |
| | |
| | | | | | | | |
| Shares | | Distribution
Rate | | | Value | |
| Investment Companies(d)(f) – 42.8% | |
Goldman Sachs Financial Square Government Fund – Institutional Shares | |
| 1,985,369,405 | | | 0.656 | % | | $ | 1,985,369,405 | |
Goldman Sachs High Yield Floating Rate Fund | |
| 40,842,755 | | | 0.000 | | | | 398,216,865 | |
| |
| TOTAL INVESTMENT COMPANIES | |
| (Cost $2,384,848,455) | | | $ | 2,383,586,270 | |
| |
| | | | | | | | | | | | |
Principal
Amount | | Interest
Rate | | | Maturity
Date | | | Value | |
| Short-term Investments – 40.6% | |
| Certificates of Deposit – 15.4% | |
Abbey National Treasury Services PLC | |
| $10,000,000 | | | 1.224 | % | | | 09/19/17 | | | $ | 10,002,748 | |
Banco Del Estado De Chile | |
| 22,000,000 | | | 1.234 | | | | 09/18/17 | | | | 22,006,955 | |
| 20,000,000 | | | 1.380 | | | | 09/26/17 | | | | 20,007,198 | |
Bank of Montreal | |
| 25,700,000 | | | 1.160 | | | | 09/13/17 | | | | 25,701,219 | |
Bank of Nova Scotia | |
| 22,000,000 | | | 1.269 | | | | 03/09/18 | | | | 22,009,685 | |
Bank of Tokyo-Mitsubishi UFJ Ltd. | |
| 24,000,000 | | | 1.520 | | | | 10/31/17 | | | | 24,017,088 | |
Barclays Bank PLC | |
| 22,000,000 | | | 1.910 | | | | 03/09/18 | | | | 22,028,521 | |
Bayerische Landesbank(d) | |
| 21,125,000 | | | 1.627 | | | | 03/23/18 | | | | 21,133,978 | |
BNP Paribas New York | |
| 26,500,000 | | | 1.246 | | | | 09/22/17 | | | | 26,510,562 | |
| 26,500,000 | | | 1.490 | | | | 10/06/17 | | | | 26,522,046 | |
| |
| | |
| 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, 2017 (Unaudited)
| | | | | | | | | | | | |
Principal
Amount | | Interest
Rate | | | Maturity
Date | | | Value | |
| Short-term Investments – (continued) | |
| Certificates of Deposit – (continued) | |
Credit Suisse New York | |
| $ 15,000,000 | | | 1.364 | % | | | 05/02/18 | | | $ | 14,946,993 | |
| 21,000,000 | | | 1.329 | | | | 11/20/17 | | | | 21,010,679 | |
Dexia Credit Local SA | |
| 22,000,000 | | | 1.343 | | | | 12/20/17 | | | | 22,017,626 | |
DnB NOR Bank ASA | |
| 30,800,000 | | | 1.303 | | | | 03/20/18 | | | | 30,806,604 | |
| 20,000,000 | | | 1.100 | | | | 06/26/17 | | | | 20,005,234 | |
KBC Bank N.V. | |
| 26,400,000 | | | 1.170 | | | | 06/23/17 | | | | 26,406,840 | |
Landesbank Baden-Wuerttemberg | |
| 22,000,000 | | | 0.010 | | | | 04/24/18 | | | | 22,001,246 | |
| 28,000,000 | | | 0.010 | | | | 03/23/18 | | | | 28,015,122 | |
Landesbank Hessen-Thuringen | |
| 6,400,000 | | | 1.330 | | | | 09/11/17 | | | | 6,402,923 | |
Mizuho Bank Ltd. | |
| 21,925,000 | | | 2.006 | | | | 10/12/17 | | | | 22,002,312 | |
| 25,000,000 | | | 1.808 | | | | 10/16/17 | | | | 25,066,397 | |
National Bank of Kuwait SAKP | |
| 21,250,000 | | | 1.450 | | | | 07/19/17 | | | | 21,261,002 | |
Natixis NY | | | | | | | | | | | | |
| 26,500,000 | | | 1.356 | | | | 12/21/17 | | | | 26,508,216 | |
Norinchukin Bank NY | |
| 21,950,000 | | | 1.370 | | | | 09/11/17 | | | | 21,961,114 | |
| 11,000,000 | | | 1.110 | | | | 06/08/17 | | | | 11,001,647 | |
| 3,600,000 | | | 1.871 | | | | 10/10/17 | | | | 3,610,670 | |
| 25,000,000 | | | 1.720 | | | | 03/22/18 | | | | 25,039,178 | |
Royal Bank of Canada | |
| 22,000,000 | | | 1.253 | | | | 12/20/17 | | | | 22,007,289 | |
Skandinaviska Enskilda Banken AB | |
| 11,000,000 | | | 1.000 | | | | 06/22/17 | | | | 11,001,512 | |
| 30,800,000 | | | 1.293 | | | | 03/20/18 | | | | 30,808,545 | |
Standard Chartered Bank | |
| 12,000,000 | | | 1.603 | | | | 06/01/17 | | | | 12,007,253 | |
| 25,000,000 | | | 1.434 | | | | 12/19/17 | | | | 25,006,634 | |
Sumitomo Mitsui Banking Corp. | |
| 22,000,000 | | | 1.831 | | | | 09/15/17 | | | | 22,053,491 | |
Sumitomo Trust & Banking Corp. | |
| 30,000,000 | | | 1.319 | | | | 09/11/17 | | | | 30,011,126 | |
| 6,000,000 | | | 1.853 | | | | 09/27/17 | | | | 6,015,661 | |
| 7,000,000 | | | 1.291 | | | | 09/25/17 | | | | 7,001,475 | |
The Bank of Tokyo-Mitsubishi UFJ Ltd. | |
| 21,950,000 | | | 1.720 | | | | 03/07/18 | | | | 21,976,009 | |
Toronto-Dominion Bank | |
| 26,400,000 | | | 1.330 | | | | 03/13/18 | | | | 26,418,540 | |
| 17,600,000 | | | 1.222 | | | | 10/27/17 | | | | 17,606,344 | |
UBS AG Stamford | |
| 6,000,000 | | | 1.486 | | | | 11/06/17 | | | | 6,009,296 | |
| 21,950,000 | | | 1.386 | | | | 03/07/18 | | | | 21,956,011 | |
Wells Fargo Bank NA | |
| 29,500,000 | | | 1.302 | | | | 04/03/18 | | | | 29,519,125 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 857,402,114 | |
| |
| Commercial Paper – 25.2% | |
ABN Amro Funding USA LLC(h) | |
| 12,200,000 | | | 0.000 | | | | 01/05/18 | | | | 12,067,118 | |
| |
| Short-term Investments – (continued) | |
| Commercial Paper – (continued) | |
ABN AMRO Funding USA LLC(h) | |
| $ 8,000,000 | | | 0.000 | | | | 12/15/17 | | | | 7,922,795 | |
Albion Capital Corp.(h) | |
| 22,000,000 | | | 0.000 | | | | 05/22/17 | | | | 21,987,357 | |
Alpine Securitization Ltd. | |
| 9,600,000 | | | 1.000 | | | | 06/14/17 | | | | 9,585,920 | |
| 25,000,000 | | | 0.000 | (h) | | | 09/22/17 | | | | 24,865,352 | |
Atlantic Asset Securitization Corp. | |
| 11,400,000 | | | 0.000 | (h) | | | 10/17/17 | | | | 11,322,058 | |
| 24,000,000 | | | 1.000 | | | | 12/15/17 | | | | 23,996,928 | |
| 14,000,000 | | | 0.000 | (h) | | | 09/20/17 | | | | 13,923,198 | |
Australia & New Zealand Banking Group Ltd. | |
| 14,400,000 | | | 1.130 | | | | 09/12/17 | | | | 14,399,086 | |
| 10,800,000 | | | 0.000 | (h) | | | 08/21/17 | | | | 10,763,672 | |
Autozone, Inc.(h) | |
| 10,000,000 | | | 0.000 | | | | 05/31/17 | | | | 9,990,000 | |
Barton Capital Corp.(h) | |
| 11,000,000 | | | 0.000 | | | | 07/12/17 | | | | 10,973,417 | |
| 22,000,000 | | | 0.000 | | | | 06/20/17 | | | | 21,963,951 | |
Bedford Row Funding Corp. | |
| 8,750,000 | | | 1.230 | | | | 03/05/18 | | | | 8,754,712 | |
| 24,000,000 | | | 1.342 | | | | 03/16/18 | | | | 24,012,153 | |
Canadian Imperial Bank of Commerce | |
| 22,000,000 | | | 1.308 | | | | 03/16/18 | | | | 22,009,173 | |
| 21,950,000 | | | 1.194 | | | | 03/07/18 | | | | 21,950,941 | |
CBS Corp. | |
| 12,000,000 | | | 0.010 | | | | 05/16/17 | | | | 11,993,046 | |
Collateralized Commercial Paper Co. Ltd. | |
| 35,200,000 | | | 1.124 | | | | 09/08/17 | | | | 35,212,780 | |
| 5,000,000 | | | 1.352 | | | | 12/12/17 | | | | 5,002,584 | |
Commonwealth Bank of Australia | |
| 25,500,000 | | | 1.320 | | | | 03/16/18 | | | | 25,522,654 | |
Corpoerative Centrale(h) | |
| 33,310,000 | | | 0.000 | | | | 11/01/17 | | | | 33,102,541 | |
Danske Corp.(h) | |
| 20,000,000 | | | 0.000 | | | | 02/20/18 | | | | 19,720,542 | |
Dominion Resources, Inc. | |
| 11,000,000 | | | 0.010 | | | | 10/12/17 | | | | 10,920,824 | |
| 6,000,000 | | | 0.000 | (h) | | | 06/26/17 | | | | 5,987,960 | |
| 11,000,000 | | | 0.010 | | | | 05/22/17 | | | | 10,991,310 | |
Duke Energy Corp.(h) | |
| 5,000,000 | | | 0.000 | | | | 05/09/17 | | | | 4,998,266 | |
DZ Bank AG | |
| 21,950,000 | | | 1.034 | | | | 09/08/17 | | | | 21,952,066 | |
E. I. DuPont | |
| 9,670,000 | | | 1.238 | | | | 05/09/17 | | | | 9,666,617 | |
| 3,425,000 | | | 0.010 | | | | 05/09/17 | | | | 3,423,802 | |
Eastman Chemical Co.(h) | |
| 7,000,000 | | | 0.000 | | | | 05/09/17 | | | | 6,997,572 | |
Eaton Corp.(h) | |
| 3,100,000 | | | 0.000 | | | | 05/09/17 | | | | 3,098,925 | |
Ecolab, Inc.(h) | |
| 5,300,000 | | | 0.000 | | | | 05/10/17 | | | | 5,297,988 | |
Electricite De France SA(h) | |
| 22,750,000 | | | 0.000 | | | | 05/30/17 | | | | 22,726,664 | |
| |
| | |
| 10 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
| | | | | | | | | | | | |
Principal
Amount | | Interest
Rate | | | Maturity
Date | | | Value | |
| Short-term Investments – (continued) | |
| Commercial Paper – (continued) | |
Erste Abwicklungsanstalt(h) | |
| $ 8,000,000 | | | 0.000 | % | | | 08/22/17 | | | $ | 7,973,913 | |
Erste Bank der oesterreichischen Sparkassen AG | |
| 45,000,000 | | | 1.212 | | | | 10/27/17 | | | | 45,005,337 | |
Ford Motor Credit Co. LLC(h) | |
| 8,500,000 | | | 0.000 | | | | 08/14/17 | | | | 8,463,229 | |
Gotham Funding Corp.(h) | |
| 27,338,000 | | | 0.000 | | | | 06/21/17 | | | | 27,295,107 | |
HSBC Bank PLC | |
| 23,900,000 | | | 1.274 | | | | 04/18/18 | | | | 23,896,235 | |
ING Funding LLC | |
| 10,865,000 | | | 1.423 | | | | 05/30/17 | | | | 10,869,576 | |
J.P. Morgan Securities, Inc.(h) | |
| 8,900,000 | | | 0.000 | | | | 08/28/17 | | | | 8,868,210 | |
Kaiser Foundation(h) | |
| 28,000,000 | | | 0.000 | | | | 05/02/17 | | | | 27,996,932 | |
Kells Funding LLC(h) | |
| 21,200,000 | | | 0.000 | | | | 06/08/17 | | | | 21,176,194 | |
Landesbank Hessen-Thueringen Girozentrale(h) | |
| 18,400,000 | | | 0.000 | | | | 05/22/17 | | | | 18,388,494 | |
Liberty Funding LLC(h) | |
| 22,200,000 | | | 0.000 | | | | 07/05/17 | | | | 22,154,544 | |
LMA SA LMA Americas(h) | |
| 17,725,000 | | | 0.000 | | | | 09/08/17 | | | | 17,641,966 | |
| 22,000,000 | | | 0.000 | | | | 09/05/17 | | | | 21,900,138 | |
Macquarie Bank Ltd. | |
| 10,000,000 | | | 1.379 | | | | 12/15/17 | | | | 10,008,037 | |
| 26,400,000 | | | 1.340 | | | | 12/11/17 | | | | 26,421,162 | |
| 18,200,000 | | | 0.000 | (h) | | | 05/23/17 | | | | 18,188,777 | |
Marriott International, Inc.(h) | |
| 10,000,000 | | | 0.000 | | | | 06/02/17 | | | | 9,988,061 | |
Matchpoint Finance PLC(h) | |
| 22,000,000 | | | 0.000 | | | | 07/24/17 | | | | 21,935,083 | |
Metlife Short Term Funding(h) | |
| 11,000,000 | | | 0.000 | | | | 07/24/17 | | | | 10,970,466 | |
| 20,950,000 | | | 0.000 | | | | 05/18/17 | | | | 20,939,350 | |
National Australia Bank Ltd. | |
| 21,250,000 | | | 1.187 | | | | 03/08/18 | | | | 21,263,227 | |
National Bank of Canada | |
| 22,000,000 | | | 1.296 | | | | 03/20/18 | | | | 22,003,331 | |
Nederlandse Wtrschbnk(h) | |
| 23,000,000 | | | 0.000 | | | | 05/11/17 | | | | 22,993,214 | |
Nieuw Amsterdam Receivables Corp.(h) | |
| 18,200,000 | | | 0.000 | | | | 05/09/17 | | | | 18,194,828 | |
Nordea Bank AB(h) | |
| 10,000,000 | | | 0.000 | | | | 10/24/17 | | | | 9,941,578 | |
Northwestern Memorial Health(h) | |
| 18,163,000 | | | 0.000 | | | | 06/15/17 | | | | 18,135,150 | |
NRW Bank | |
| 36,000,000 | | | 1.000 | | | | 05/09/17 | | | | 35,992,000 | |
Old Line Funding LLC | |
| 11,000,000 | | | 1.135 | | | | 11/08/17 | | | | 11,000,000 | |
| 21,950,000 | | | 0.000 | (h) | | | 06/05/17 | | | | 21,927,237 | |
| 20,000,000 | | | 0.000 | (h) | | | 07/24/17 | | | | 19,944,852 | |
Omnicom Cap, Inc.(h) | |
| 5,850,000 | | | 0.000 | | | | 05/16/17 | | | | 5,846,610 | |
| 14,000,000 | | | 0.000 | | | | 05/08/17 | | | | 13,995,602 | |
| |
| Short-term Investments – (continued) | |
| Commercial Paper – (continued) | |
Oversea-Chinese Banking Corp. Ltd. | |
| $ 21,125,000 | | | 1.194 | | | | 09/25/17 | | | | 21,128,877 | |
| 22,000,000 | | | 1.190 | | | | 09/11/17 | | | | 22,003,606 | |
Private Export Funding Corp. | |
| 43,700,000 | | | 1.352 | | | | 03/28/18 | | | | 43,650,780 | |
| 2,000,000 | | | 1.335 | | | | 02/01/18 | | | | 2,003,404 | |
Schlumberger Holdings | |
| 21,350,000 | | | 0.010 | | | | 06/21/17 | | | | 21,310,680 | |
Societe Generale SA | |
| 22,375,000 | | | 1.482 | | | | 03/19/18 | | | | 22,397,207 | |
Southern Co.(h) | |
| 8,000,000 | | | 0.000 | | | | 05/26/17 | | | | 7,992,484 | |
Southern Power Co.(h) | |
| 11,000,000 | | | 0.000 | | | | 05/15/17 | | | | 10,993,995 | |
Svenska Handelsbanken AB(h) | |
| 22,000,000 | | | 0.000 | | | | 10/25/17 | | | | 21,864,700 | |
Versailles Commercial Paper LLC(h) | |
| 10,000,000 | | | 0.000 | | | | 07/10/17 | | | | 9,977,715 | |
| 22,000,000 | | | 0.000 | | | | 07/25/17 | | | | 21,938,478 | |
Victory Receivables | |
| 11,000,000 | | | 0.000 | (h) | | | 07/14/17 | | | | 10,969,155 | |
| 11,000,000 | | | 1.000 | | | | 07/07/17 | | | | 10,972,408 | |
Westpac Banking Corp. | |
| 32,500,000 | | | 1.167 | | | | 03/02/18 | | | | 32,524,833 | |
| 20,000,000 | | | 1.310 | | | | 03/12/18 | | | | 20,015,047 | |
Whirlpool Corp.(h) | |
| 11,900,000 | | | 0.000 | | | | 05/22/17 | | | | 11,890,599 | |
| | | | | | | | | | | | |
| | | | | | | | | | | 1,400,056,380 | |
| |
| TOTAL SHORT-TERM INVESTMENTS | | | | | |
| (Cost $2,256,953,153) | | | $ | 2,257,458,494 | |
| |
| TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT | | | | | |
| (Cost $5,275,643,862) | | | | | | | $ | 5,361,761,173 | |
| |
| | | | | | | | | | | | |
| | | | | | | | |
| Shares | | Rate | | | Value | |
| Securities Lending Reinvestment Vehicle(d) – 1.6% | |
Goldman Sachs Financial Square Government Fund – Institutional Shares | |
| 89,406,069 | | | 0.644 | % | | $ | 89,406,069 | |
| (Cost $89,406,069) | | | | | |
| |
| TOTAL INVESTMENTS – 98.0% | |
| (Cost $5,365,049,931) | | | $ | 5,451,167,242 | |
| |
| OTHER ASSETS IN EXCESS OF LIABILITIES – 2.0% | | | | 113,017,705 | |
| |
| NET ASSETS – 100.0% | | | $ | 5,564,184,947 | |
| |
| | |
| 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. | | 11 |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Consolidated Schedule of Investments (continued)
April 30, 2017 (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 $88,532,904, which represents approximately 1.6% of net assets as of April 30, 2017. |
(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, 2017. |
(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, 2017. 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. |
(g) | | All or a portion of security is on loan. |
(h) | | Issued with a zero coupon. Income is recognized through the accretion of discount. |
| | |
|
Currency Abbreviations: |
CNH | | —Chinese Yuan Renminbi Offshore |
EUR | | —Euro |
GBP | | —British Pound |
JPY | | —Japanese Yen |
NZD | | —New Zealand Dollar |
USD | | —U.S. Dollar |
| | |
Investment Abbreviations: |
ETF | | —Exchange Traded Fund |
LLC | | —Limited Liability Company |
LP | | —Limited Partnership |
NZDOR | | —New Zealand Dollar Offered Rate |
PLC | | —Public Limited Company |
|
|
| ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At April 30, 2017, the Portfolio 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 | | GBP | | | 411,265,000 | | | USD | | | 510,739,611 | | | $ | 533,474,040 | | | | 06/21/17 | | | $ | 22,734,429 | |
| | USD | | | 133,326,635 | | | CNH | | | 935,052,881 | | | | 132,755,918 | | | | 02/14/18 | | | | 570,718 | |
| | | USD | | | 181,145,866 | | | JPY | | | 20,097,000,000 | | | | 180,658,924 | | | | 06/21/17 | | | | 486,943 | |
| TOTAL | | | | | | $ | 23,792,090 | |
| | |
| 12 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| | | | | | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency
Purchased | | | Currency
Sold | | | Current
Value | | | Settlement
Date | | | Unrealized
Loss | |
Morgan Stanley & Co. International PLC | | JPY | | | 2,268,000,000 | | | USD | | | 20,962,830 | | | $ | 20,387,841 | | | | 06/21/17 | | | $ | (574,989 | ) |
| | USD | | | 335,570,584 | | | CNH | | | 2,361,748,000 | | | | 337,404,407 | | | | 11/14/17 | | | | (1,833,824 | ) |
| | USD | | | 188,374,078 | | | CNH | | | 1,330,237,119 | | | | 188,862,954 | | | | 02/14/18 | | | | (488,876 | ) |
| | USD | | | 162,573,436 | | | CNH | | | 1,156,710,000 | | | | 163,117,263 | | | | 05/16/18 | | | | (543,826 | ) |
| | | USD | | | 512,737,496 | | | JPY | | | 58,401,000,000 | | | | 524,986,904 | | | | 06/21/17 | | | | (12,249,408 | ) |
| TOTAL | | | | | | $ | (15,690,923 | ) |
FUTURES CONTRACTS — At April 30, 2017, the Portfolio had the following futures contracts:
| | | | | | | | | | | | | | | | |
| Type | | Number of
Contracts
Long (Short) | | | Expiration
Date | | | Current
Value | | | Unrealized
Gain (Loss) | |
Euro Stoxx 50 Index | | | 13,665 | | | | December 2018 | | | $ | 178,623,365 | | | $ | 2,813,689 | |
IBEX 35 Index | | | 1,567 | | | | May 2017 | | | | 183,119,732 | | | | 7,937,407 | |
Natural Gas | | | 5,460 | | | | September 2017 | | | | 184,493,400 | | | | 13,631,595 | |
5 Year German Euro-Bobl | | | (4,864 | ) | | | June 2017 | | | | (698,640,924 | ) | | | 648,574 | |
2 Year U.S. Treasury Notes | | | 827 | | | | June 2017 | | | | 179,135,954 | | | | 233,402 | |
5 Year U.S. Treasury Notes | | | 487 | | | | June 2017 | | | | 57,663,844 | | | | 398,323 | |
10 Year U.S. Treasury Notes | | | 946 | | | | June 2017 | | | | 118,929,937 | | | | 1,458,275 | |
| TOTAL | | | | | | | | | | | | | | $ | 27,121,265 | |
SWAP CONTRACTS — At April 30, 2017, the Portfolio had the following swap contracts:
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
| | | | | | | | | | | | | | | | | | |
| | | | | Rates Exchanged | | | Market Value | |
Notional
Amount
(000s) | | Termination
Date | | Payments
Received | | | Payments
Made | | | Upfront
Payments
Made (Received) | | | Unrealized
Gain (Loss) | |
| NZD 244,056 | | 03/15/20 | | | 2.785 | % | | | 3 month NZDOR | | | $ | 1,235 | | | $ | 203,819 | |
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACT
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | Market Value | |
| Referenced Obligation | | Notional
Amount
(000s) | | | Rates Received (Paid) | | | Termination Date | | | Credit Spread at April 30,
2017(a) | | | Upfront
Payments Made (Received) | | | Unrealized Gain (Loss) | |
Protection Sold: | | | | | | | | | | | | | | | | | | | | | | | | |
CDX North America High Yield Index 28 | | $ | 123,930 | | | | 5.000 | % | | | 06/20/22 | | | | 3.289 | % | | $ | 8,742,893 | | | $ | 1,357,061 | |
| | (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 portfolio or its counterparty to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and the term of the swap contract increase. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 13 |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Consolidated Schedule of Investments (continued)
April 30, 2017 (Unaudited)
|
| ADDITIONAL INVESTMENT INFORMATION (continued) |
WRITTEN OPTIONS CONTRACTS — For the period ended April 30, 2017 the Portfolio had following written options:
OVER THE COUNTER OPTIONS ON EQUITIES CONTRACTS
| | | | | | | | | | | | | | | | | | |
| Counterparty | | Description | | Contracts | | | Expiration
Date | | | Strike
Price | | | Value | |
JPMorgan Securities, Inc. | | Put - EQO XLE Index | | | 4,761,293 | | | | 02/23/18 | | | $ | 64.507 | | | $ | (15,648,737 | ) |
Morgan Stanley & Co. International PLC | | Put - EQQ XLE Index | | | 2,479,555 | | | | 03/16/18 | | | | 62.939 | | | | (7,526,327 | ) |
| TOTAL (Premiums Received $25,087,869) | | | 7,240,848 | | | | | | | | | | | $ | (23,175,064 | ) |
For the period ended April 30, 2017, the Portfolio had the following written equity options activities:
| | | | | | | | |
| | | Contracts | | | Premiums Received | |
Contracts Outstanding October 31, 2016 | | | 447,700 | | | $ | 22,091,116 | |
Contracts Written | | | 7,384,049 | | | | 28,365,453 | |
Contracts Bought to Close | | | (151,009 | ) | | | (11,410,240 | ) |
Contracts Expired | | | (439,892 | ) | | | (13,958,460 | ) |
Contracts Outstanding April 30, 2017 | | | 7,240,848 | | | $ | 25,087,869 | |
| | |
| 14 | | 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, 2017 (Unaudited)
| | | | | | |
| | | | | | |
| | Assets: | | | | |
| | Investments of unaffiliated issuers, at value (cost $2,888,490,816)(b) | | $ | 2,976,016,166 | |
| | Investments of affiliated issuers, at value (cost $2,387,153,046) | | | 2,385,745,007 | |
| | Investments in securities lending reinvestment vehicle — affiliated issuer, at value which equals cost | | | 89,406,069 | |
| | Cash | | | 86,261,245 | |
| | Foreign currencies, at value (cost $2,457,649) | | | 2,310,954 | |
| | Unrealized gain on forward foreign currency exchange contracts | | | 23,792,090 | |
| | Variation margin on certain derivative contracts | | | 2,798,086 | |
| | Receivables: | | | | |
| | Collateral on certain derivative contracts(c) | | | 153,396,776 | |
| | Dividends and interest | | | 9,530,708 | |
| | Fund shares sold | | | 6,838,926 | |
| | Foreign tax reclaims | | | 89,589 | |
| | Securities lending income | | | 30,481 | |
| | Reimbursement from investment adviser | | | 22,149 | |
| | Other assets | | | 2,880,056 | |
| | Total assets | | | 5,739,118,302 | |
| | | | | | |
| | Liabilities: | | | | |
| | Written option contracts, at value (premiums received $25,087,869) | | | 23,175,064 | |
| | Unrealized loss on forward foreign currency exchange contracts | | | 15,690,923 | |
| | Payables: | | | | |
| | Payable upon return of securities loaned | | | 89,406,069 | |
| | Investments purchased | | | 29,262,701 | |
| | Fund shares redeemed | | | 12,053,177 | |
| | Management fees | | | 2,746,708 | |
| | Collateral on certain derivative contracts(d) | | | 2,120,000 | |
| | Transfer Agency fees | | | 181,954 | |
| | Accrued expenses | | | 296,759 | |
| | Total liabilities | | | 174,933,355 | |
| | | | | | |
| | Net Assets: | | | | |
| | Paid-in capital | | | 5,666,568,395 | |
| | Undistributed net investment income | | | 11,849,727 | |
| | Accumulated net realized loss | | | (238,906,281 | ) |
| | Net unrealized gain | | | 124,673,106 | |
| | NET ASSETS | | $ | 5,564,184,947 | |
| | Shares Outstanding $0.001 par value (unlimited number of shares authorized) | | | 561,635,284 | |
| | Net asset value, offering and redemption price per share | | | $9.91 | |
| | (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 loaned securities having a market value of $86,662,102. |
| | (c) | | Includes amounts segregated for initial margin requirements and/or collateral on futures, forward foreign currency exchange contracts and swap transactions of $45,850,800, $40,510,000 and $67,035,976, respectively. |
| | (d) | | Includes amounts segregated for initial margin and/or collateral for swap transactions. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 15 |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Consolidated Statement of Operations(a)
For the Six Months Ended April 30, 2017 (Unaudited)
| | | | | | |
| | | | | | |
| | Investment income: | | | | |
| | Interest | | $ | 19,171,905 | |
| | Dividends — affiliated issuers | | | 18,278,347 | |
| | Dividends — unaffiliated issuers | | | 9,637,616 | |
| | Securities lending income | | | 379,639 | |
| | Total investment income | | | 47,467,507 | |
| | | | | | |
| | Expenses: | | | | |
| | Management fees | | | 18,673,823 | |
| | Transfer Agency fees | | | 1,061,737 | |
| | Custody, accounting and administrative services | | | 171,334 | |
| | Professional fees | | | 101,007 | |
| | Trustees fees | | | 13,710 | |
| | Registration fees | | | 41,705 | |
| | Printing and mailing costs | | | 33,026 | |
| | Other | | | 56,094 | |
| | Total expenses | | | 20,152,436 | |
| | Less — expense reductions | | | (4,152,240 | ) |
| | Net expenses | | | 16,000,196 | |
| | NET INVESTMENT INCOME | | | 31,467,311 | |
| | | | | | |
| | Realized and unrealized gain (loss): | | | | |
| | Net realized gain (loss) from: | | | | |
| | Investments — unaffiliated issuers | | | 11,656,661 | |
| | Investments — affiliated issuers | | | (2,097,573 | ) |
| | Futures contracts | | | 53,651,698 | |
| | Written options | | | 12,719,805 | |
| | Swap contracts | | | (379,922 | ) |
| | Forward foreign currency exchange contracts | | | 11,303,593 | |
| | Foreign currency transactions | | | 503,999 | |
| | Net change in unrealized gain (loss) on: | | | | |
| | Investments — unaffiliated issuers | | | 13,179,164 | |
| | Investments — affiliated issuers | | | 5,385,709 | |
| | Futures contracts | | | 7,891,732 | |
| | Written options | | | (2,864,721 | ) |
| | Swap contracts | | | 1,560,880 | |
| | Forward foreign currency exchange contracts | | | (2,319,576 | ) |
| | Foreign currency translation | | | (142,313 | ) |
| | Net realized and unrealized gain | | | 110,049,136 | |
| | NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 141,516,447 | |
| | (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. |
| | |
| 16 | | 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, 2017
(Unaudited) | | | For the Fiscal Year Ended October 31, 2016 | |
| | From operations: | | | | | | | | |
| | Net investment income | | $ | 31,467,311 | | | $ | 57,341,246 | |
| | Net realized gain (loss) | | | 87,358,261 | | | | (283,400,665 | ) |
| | Net change in unrealized gain | | | 22,690,875 | | | | 206,720,215 | |
| | Net increase (decrease) in net assets resulting from operations | | | 141,516,447 | | | | (19,339,204 | ) |
| | | | | | | | | | |
| | Distributions to shareholders: | | | | | | | | |
| | From net investment income | | | (94,407,307 | ) | | | (216,014,287 | ) |
| | | | | | | | | | |
| | From share transactions: | | | | | | | | |
| | Proceeds from sales of shares | | | 754,041,942 | | | | 1,527,879,564 | |
| | Reinvestment of distributions | | | 94,407,307 | | | | 216,014,287 | |
| | Cost of shares redeemed | | | (546,218,985 | ) | | | (958,354,546 | ) |
| | Net increase in net assets resulting from share transactions | | | 302,230,264 | | | | 785,539,305 | |
| | TOTAL INCREASE | | | 349,339,404 | | | | 550,185,814 | |
| | | | | | | | | | |
| | Net assets: | | | | | | | | |
| | Beginning of period | | | 5,214,845,543 | | | | 4,664,659,729 | |
| | End of period | | $ | 5,564,184,947 | | | $ | 5,214,845,543 | |
| | Undistributed net investment income | | $ | 11,849,727 | | | $ | 74,789,723 | |
| | (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. | | 17 |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Consolidated Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | Income (loss) from
Investment Operation | | | | |
| | | 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) | | | | | | | | | |
| | 2017 - Institutional Shares | | $ | 9.83 | | | $ | 0.06 | | | $ | 0.20 | | | $ | 0.26 | | | $ | (0.18 | ) |
| | | | | | | | | | | | | | | | | | | | | | |
| | FOR THE FISCAL YEARS ENDED OCTOBER 31, | | | | | | | | | |
| | 2016 - Institutional Shares | | | 10.40 | | | | 0.11 | | | | (0.22 | ) | | | (0.11 | ) | | | (0.46 | ) |
| | 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 impact of taxes to shareholders relating to 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. |
| | |
| 18 | | 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) | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | $ | 9.91 | | | | | | 2.68 | % | | | | $ | 5,564,185 | | | | | | 0.60 | %(e) | | | | | 0.76 | %(e) | | | | | 1.18 | %(e) | | | | | 22 | % |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | 9.83 | | | | | | (0.96 | ) | | | | | 5,214,846 | | | | | | 0.59 | | | | | | 0.77 | | | | | | 1.15 | | | | | | 48 | |
| | | 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. | | 19 |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Notes to Financial Statements
April 30, 2017 (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. The Portfolio commenced operations on July 31, 2014. Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (formerly 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 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 interfund balances and transactions have been eliminated in consolidation. As of April 30, 2017, the Portfolio’s net assets were $5,739,118,302, of which, $373,500,248 or 6.5%, 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, dividend income, net of any foreign withholding taxes, less any amounts reclaimable, and securities lending income. 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 Consolidated 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.
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.
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. Income and capital gains distributions, if any, are declared and paid annually.
20
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, if any, 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 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 Statement 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 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 Consolidated Statement 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.
21
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Notes to Financial Statements (continued)
April 30, 2017 (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.
Private Investments — Private investments may include, but are not limited to, investments in private equity or debt instruments. The Investment Manager estimates the fair value of private investments based upon various factors, including, but not limited to, transactions in similar instruments, completed or pending third-party transactions in underlying investments or comparable entities, subsequent rounds of financing, recapitalizations, and other transactions across the capital structure, offerings in equity or debt capital markets, and changes in current and projected financial ratios or cash flows.
Underlying Funds (including Money Market Funds) — Underlying Funds (“Underlying Funds”) include other investment companies and exchange-traded funds (“ETFs”). Investments in the Underlying Funds (except ETFs) are valued at the NAV per share of the Institutional Share class 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 using available market quotations as provided by a third party pricing vendor or broker. With the exception of treasury securities of G8 countries, 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.
22
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
|
| 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 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.
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.
ii. 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.
iii. 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.
iv. Options — When the Portfolio writes call or put options, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on interest rate swap contracts.
Upon the purchase of a call option or a put option by 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.
v. 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
23
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a receivable or payable for variation margin.
An interest rate swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals, based upon or calculated by reference to changes in interest rates on a specified notional principal amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.
A credit default swap is an agreement that involves one party (the buyer of protection) making a stream of payments to another party (the seller of protection) in exchange for the right to receive protection on a reference security or obligation, including a group of assets or exposure to the performance of an index. The Portfolio’s investment in credit default swaps may involve greater risks than if the Portfolio had invested in the referenced obligation directly. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. If the Portfolio 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, the Portfolio, 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. The Portfolio may also receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade.
As a seller of protection, the Portfolio generally receives a payment stream throughout the term of the swap, provided that there is no credit event. In addition, if the Portfolio sells protection through a credit default swap, the Portfolio 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, the Portfolio, 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. The Portfolio 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, the Portfolio 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 the Portfolio 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 the Portfolio bought credit protection.
Short Term Investments — Short-term investments having a maturity of 60 days or less are valued using available market quotations as provided by a third party pricing vendor or broker. Prior to October 11, 2016, such securities were valued at amortized cost. These investments are classified as Level 2 of the fair value hierarchy.
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.
24
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
|
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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, 2017:
| | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
| Assets | | | | | | | | | | | | |
Fixed Income | | | | | | | | | | | | |
Corporate Obligations | | $ | — | | | $ | 331,929,231 | | | $ | — | |
Bank Loans | | | — | | | | — | | | | 2,329,982 | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
North America | | | 6,269,802 | | | | 32,135,087 | | | | — | |
Exchange Traded Funds | | | 348,052,307 | | | | — | | | | — | |
Investment Companies | | | 2,383,586,270 | | | | — | | | | — | |
Short-term Investments | | | — | | | | 2,257,458,494 | | | | — | |
Securities Lending Reinvestment Vehicle | | | 89,406,069 | | | | — | | | | — | |
| Total | | $ | 2,827,314,448 | | | $ | 2,621,522,812 | | | $ | 2,329,982 | |
| | | |
| Derivative Type | | | | | | | | | |
| Assets(b) | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts | | $ | — | | | $ | 23,792,090 | | | $ | — | |
Futures Contracts | | | 27,121,265 | | | | — | | | | — | |
Interest Rate Swap Contracts | | | — | | | | 203,819 | | | | — | |
Credit Default Swap Contracts | | | — | | | | 1,357,061 | | | | — | |
| Total | | $ | 27,121,265 | | | $ | 25,352,970 | | | $ | — | |
| Liabilities | | | | | | | | | | | | |
Forward Foreign Currency Exchange Contracts(b) | | $ | — | | | $ | (15,690,923 | ) | | $ | — | |
Written Options Contracts | | $ | — | | | $ | (23,175,064 | ) | | $ | — | |
| Total | | $ | — | | | $ | (38,865,987 | ) | | $ | — | |
| (a) | | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of net asset value. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. |
| (b) | | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Consolidated Schedule of Investments.
25
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 4. INVESTMENTS IN DERIVATIVES |
The following table sets forth, by certain risk types, the gross value of derivative contracts as of April 30, 2017. 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 tables 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 Statement of
Assets and Liabilities | | Assets | | | Consolidated Statement of
Assets and Liabilities | | Liabilities | |
Interest rate | | Variation margin on certain derivative contracts | | $ | 2,942,393 | (a) | | — | | $ | — | |
Credit | | Variation margin on certain derivative contracts | | | 1,357,061 | (a) | | — | | | — | |
Currency | | Receivable for unrealized gain on forward foreign currency exchange contracts | | | 23,792,090 | | | Payable for unrealized loss on forward foreign currency exchange contracts | | | (15,690,923) | |
Commodity | | Variation margin on certain derivative contracts | | | 13,631,595 | (a) | | — | | | — | |
Equity | | Variation margin on certain derivative contracts | | | 10,751,096 | (a) | | Written options, at value | | | (23,175,064) | |
| Total | | | | $ | 52,474,235 | | | | | $ | (38,865,987) | |
| (a) | | Includes unrealized gain (loss) on futures contracts and/or centrally cleared swaps described in the Additional Investment Information section of the Consolidated Schedule of Investments. Only the variation margin as of April 30, 2017 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, 2017. 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 | | 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 futures contracts/Net change in unrealized gain (loss) on futures contracts and swap contracts | | $ | (5,200,385 | ) | | $ | 1,545,205 | | | | 6,249 | |
| Credit | | Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts | | | (379,922 | ) | | | 1,357,061 | | | | 1 | |
| Commodity | | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | | | — | | | | 13,631,595 | | | | 1,820 | |
| Currency | | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | | | 11,303,593 | | | | (2,319,576 | ) | | | 15 | |
| Equity | | Net realized gain (loss) from investments, futures contracts and written options/Net change in unrealized gain (loss) on investments, futures contracts and written options | | | 40,223,234 | | | | (11,300,922 | ) | | | 8,201 | |
| Total | | | | $ | 45,946,520 | | | $ | 2,913,363 | | | | 16,286 | |
| (a) | | Average number of contracts is based on the average of month end balances for the period April 30, 2017. |
26
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
|
| 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 Consolidated 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 Consolidated 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, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Derivative Assets(a) | | | Derivative Liabilities(a) | | | Net Derivative
Asset
(Liabilities) | | | Collateral
(Received)
Pledged(a) | | | Net
Amount(b) | |
| Counterparty | | Forward
Currency
Contracts | | | Total | | | Forward
Currency
Contracts | | | Options
Written | | | Total | | | | |
JPMorgan Securities, Inc. | | $ | — | | | $ | — | | | $ | — | | | $ | (15,648,737 | ) | | $ | (15,648,737 | ) | | $ | (15,648,737 | ) | | $ | 13,200,000 | | | $ | (2,448,737 | ) |
Morgan Stanley & Co. International PLC | | | 23,792,090 | | | | 23,792,090 | | | | (15,690,923 | ) | | | (7,526,327 | ) | | | (23,217,250 | ) | | | 574,840 | | | | — | | | | 574,840 | |
Total | | $ | 23,792,090 | | | $ | 23,792,090 | | | $ | (15,690,923 | ) | | $ | (23,175,064 | ) | | $ | (38,865,987 | ) | | $ | (15,073,897 | ) | | $ | 13,200,000 | | | $ | (1,873,897 | ) |
| (a) | | Gross amounts available for offset but not netted in the Consolidated Statement of Assets and Liabilities. |
| (b) | | 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. |
27
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 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, 2017, contractual and effective net management fees with GSAM were at the following rates:
| | | | | | | | | | | | | | | | | | | | | | |
| Contractual Management Rate | | | | |
First $2 billion | | | Next $3 billion | | | Next $3 billion | | | Over $8 billion | | | Effective Management Rate | | | Effective Net Management Rate*^(a) | |
| | 0.75% | | | | 0.68% | | | | 0.64% | | | | 0.62% | | | | 0.70% | | | | 0.54% | |
| * | | 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 28, 2018. 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 the Subsidiary and 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 Institutional Shares of the Goldman Sachs Financial Square Government Fund and the Goldman Sachs High Yield Floating Rate Fund, 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, 2017, GSAM waived $4,099,221 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 accrued and paid to GSAM by the Subsidiary under the Subsidiary Agreement. For the six months ended April 30, 2017, GSAM waived $755,190 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 an annual rate 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 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 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. The Other Expense limitations as an annual percentage rate of average daily net assets for the Portfolio are 0.164%. These Other Expense limitations will remain in place through at least February 28, 2018, and prior to such date GSAM may not terminate the arrangements 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.
28
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
|
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the six months ended April 30, 2017, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
| | | | | | | | | | |
Management
Fee Waiver | | | Other Expense
Reimbursements | | | Total Expense
Reductions | |
| $ | 4,099,221 | | | $ | 53,019 | | | $ | 4,152,240 | |
D. Line of Credit Facility — As of April 30, 2017, the Portfolio participated in a $1,100,000,000 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. 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, 2017, the Portfolio did not have any borrowings under the facility. The facility was renewed in the amount of $1,100,000,000 effective May 2, 2017.
E. Other Transactions with Affiliates — For the six months ended April 30, 2017 , Goldman Sachs earned $98,127 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the Portfolio.
The Portfolio may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is solely due to having a common investment adviser, common officers, or common trustees. For the six months ended April 30, 2017, the purchases at cost with an affiliated fund in compliance with Rule 17a-7 for the Portfolio were $1,075,875.
The table below shows the transactions in and earnings from investments in the Underlying Funds For the six months ended April 30, 2017:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Underlying Funds | | Market Value 10/31/16 | | | Purchases at Cost | | | Proceeds from Sales | | | Net Realized Gain (Loss) | | | Change in Unrealized Gain (Loss) | | | Market Value 4/30/17 | | | Dividend Income | |
Goldman Sachs Financial Square Government Fund | | $ | 3,756,204,294 | | | $ | 1,117,700,852 | | | $ | (2,888,535,741 | ) | | $ | — | | | $ | — | | | $ | 1,985,369,405 | | | $ | 7,580,936 | |
Goldman Sachs High Yield Floating Rate Fund | | | 329,739,084 | | | | 67,664,938 | | | | — | | | | — | | | | 812,843 | | | | 398,216,865 | | | | 6,664,938 | |
Goldman Sachs High Yield Fund | | | 171,842,238 | | | | 3,896,854 | | | | (178,812,843 | ) | | | (2,097,573 | ) | | | 5,171,324 | | | | — | | | | 4,032,473 | |
Total | | $ | 4,257,785,616 | | | $ | 1,189,262,644 | | | $ | (3,067,348,584 | ) | | $ | (2,097,573 | ) | | $ | 5,984,167 | | | $ | 2,383,586,270 | | | $ | 18,278,347 | |
29
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
| | |
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
An investment by the Portfolio representing greater than 5% of the voting securities of an issuer makes that issuer an “affiliated person” (as defined in the Act) of such issuer.
The following table provides information about the investment in shares of the issuer of which the Portfolio is an affiliate as of and for the six months ended April 30, 2017:
| | | | | | | | | | | | | | | | | | | | |
| Name of Affiliated Issuer | | Market Value 10/31/16 | | | Purchases at Cost | | | Proceeds
from Sales | | | Net Change in Unrealized Gain (Loss) | | | Market Value 4/30/17 | |
Blue Ridge Mountain Resources, Inc. – Bank Loans | | $ | 285,364 | | | $ | 12,152 | | | $ | — | | | $ | 8,825 | | | $ | 306,341 | |
Blue Ridge Mountain Resources, Inc. – Common Stock | | | 2,453,108 | | | | 6,571 | | | | — | | | | (607,283 | ) | | | 1,852,396 | |
Total | | $ | 2,738,472 | | | $ | 18,723 | | | $ | — | | | $ | (598,458 | ) | | $ | 2,158,737 | |
| | |
| 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, 2017, were $278,544,550 and $512,353,243, respectively.
The Portfolio may lend its securities through a securities lending agent, the Bank of New York Mellon (“BNYM”), to certain qualified borrowers. In accordance with the Portfolio’s securities lending procedures, the Portfolio receives 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 Portfolio, 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 Portfolio on the next business day. As with other extensions of credit, the Portfolio may experience delay in the recovery of its securities or incur a loss should the borrower of the securities breach its agreement with the Portfolio 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 Consolidated Statement 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 Portfolio invests the cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund (“Government Money Market Fund”), an affiliated series of the Trust. Prior to September 30, 2016, the cash collateral had been invested in the Goldman Sachs Financial Square Money Market Fund. The Government 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 a management fee of up to 0.205% on an annualized basis of the average daily net assets of the Government Money Market Fund.
In the event of a default by a borrower with respect to any loan, BNYM may exercise any and all remedies provided under the applicable borrower agreement to make the Portfolio 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 BNYM is unable to purchase replacement securities, BNYM will indemnify the Portfolio by paying the Portfolio an amount equal to the market value of the securities loaned minus the value of the cash collateral received from the borrower for the loan, subject to an exclusion for any shortfalls resulting from a loss of value in such cash collateral due to reinvestment risk. The Portfolio’s 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
30
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
|
| 7. SECURITIES LENDING (continued) |
received. The amounts of the Portfolio’s 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, 2017 are disclosed as “Payable upon return of securities loaned” on the Consolidated Statement of Assets and Liabilities.
Both the Portfolio and BNYM received compensation relating to the lending of the Portfolio’s securities. The amounts earned, if any, by the Portfolio for the six months ended April 30, 2017, are reported under Investment Income on the Consolidated Statement of Operations.
The following table provides information about the Portfolio’s investment in the Government Money Market Fund for the six months ended April 30, 2017:
| | | | | | | | | | | | | | | | | | |
Number of
Shares Held
Beginning
of Period | | | Shares
Bought | | | Shares
Sold | | | Number of
Shares Held
End of Period | | | Value at
End of Period | |
| | — | | | | 534,344,130 | | | | (444,938,061 | ) | | | 89,406,069 | | | $ | 89,406,069 | |
As of the Portfolio’s most recent fiscal year end, October 31, 2016, the Portfolio’s capital loss carryforwards and certain timing differences on a tax basis were as follows:
| | | | |
Capital loss carryforwards: | | | | |
Perpetual Short-term | | $ | (244,433,493 | ) |
Perpetual Long-term | | | (55,933,051 | ) |
Total capital loss carryforwards | | $ | (300,366,544 | ) |
As of April 30, 2017, the Portfolio’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| | | | |
Tax Cost | | $ | 5,374,028,393 | |
Gross unrealized gain | | | 101,922,891 | |
Gross unrealized loss | | | (24,784,042 | ) |
Net unrealized security gain | | $ | 77,138,849 | |
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 three years, as applicable) 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 — The Portfolio’s use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments, may be illiquid or
31
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 9. OTHER RISKS (continued) |
less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Portfolio. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
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 Portfolio invests. The imposition of exchange controls, confiscations, trade restrictions (including tariffs) and other government restrictions by the United States or other governments, or from problems in share registration, settlement or custody, may also result in losses. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which the 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.
Foreign Custody Risk — If the Portfolio invests in foreign securities, the Portfolio 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. 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 — If the Portfolio focuses its investments in securities of issuers located in a particular country or geographic region, it will subject the Portfolio, to a greater extent than if its investments were less focused, to the risks of volatile economic cycles and/or conditions and developments that may be particular to that country or region, such as: adverse securities markets; adverse exchange rates; adverse social, political, regulatory, economic, business, environmental or other developments; or natural disasters.
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. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Portfolio.
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 investments of the Portfolio are concentrated in the Underlying Funds, and the Portfolio’s investment performance is directly related to the investment performance of the Underlying Funds it holds. The Portfolio is subject to the risk factors associated with the investments of the Underlying Funds in direct proportion to the amount of assets allocated to each. If the Portfolio has a relative concentration of its portfolio in a single Underlying Fund, it may be more
32
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
|
| 9. OTHER RISKS (continued) |
susceptible to adverse developments affecting that Underlying Fund, and may be more susceptible to losses because of these developments.
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 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.
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.
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.
Sector Risk — To the extent the Portfolio focuses its investments in securities of issuers in one or more sectors (such as the financial services or telecommunications sectors), the Portfolio will be subject, to a greater extent than if its investments were diversified across different sectors, to the risks of volatile economic cycles and/or conditions and developments that may be particular to that sector, such as: adverse economic, business, political, environmental or other developments.
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, as applicable. 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 a PLR, and is not able to rely on PLRs issued to other taxpayers. Additionally, the IRS has suspended the granting of such PLR, pending review of its position on this matter. The IRS also recently issued proposed regulations that, if finalized, would generally treat the Portfolio’s income inclusion with respect to a subsidiary as qualifying income only if there is a distribution out of the earnings and profits of a subsidiary that are attributable to such income inclusion. The proposed regulations, if adopted, would apply to taxable years beginning on or after 90 days after the regulations are published as final.
The IRS also recently issued a revenue procedure, which states that the IRS will not in the future issue PLRs that would require a determination of whether an asset (such as a commodity index-linked note) is a “security” under the Act. The Portfolio
33
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Notes to Financial Statements (continued)
April 30, 2017 (Unaudited)
|
| 9. OTHER RISKS (continued) |
has obtained an opinion of counsel that the Portfolio’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 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 adversely affect the returns to, and could cause substantial losses for, Portfolio’s 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.
34
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
Subsequent events after the Consolidated Statement of Assets and Liabilities date have been evaluated and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
|
| 12. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| | | | | | | | | | | | | | | | |
| | | For the Six Months Ended
April 30, 2017
(Unaudited) | | | For the Fiscal Year Ended
October 31, 2016
| |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| | | | |
Shares sold | | | 76,655,640 | | | $ | 754,041,942 | | | | 159,963,476 | | | $ | 1,527,879,564 | |
Reinvestment of distributions | | | 9,613,779 | | | | 94,407,307 | | | | 22,361,727 | | | | 216,014,287 | |
Shares redeemed | | | (55,277,581 | ) | | | (546,218,985 | ) | | | (100,184,535 | ) | | | (958,354,546 | ) |
NET INCREASE | | | 30,991,838 | | | $ | 302,230,264 | | | | 82,140,668 | | | $ | 785,539,305 | |
35
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
| | |
Portfolio Expenses — Six Month Period Ended April 30, 2017 (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, 2016 through April 30, 2017, which represents a period of 181 days in a 365 day year.
Actual Expenses — The first line 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 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
11/1/16 | | | Ending
Account Value
4/30/17 | | | Expenses Paid for the
6 months ended
4/30/17* | |
| Institutional Shares | | | | | | | | | | | | |
Actual | | $ | 1,000.00 | | | $ | 1,026.80 | | | $ | 3.02 | |
Hypothetical 5% return | | | 1,000.00 | | | | 1,021.82 | + | | | 3.01 | |
| | * | | Expenses 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, 2017. 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 0.60%. | |
| | + | | Hypothetical expenses are based on actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. | |
36
FUND 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 $1.17 trillion in assets under supervision as of March 31, 2017, 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. LLC subject to legal, internal and regulatory restrictions.
Money Market
Financial Square FundsSM
| ∎ | | Financial Square Treasury Solution. Fund1 |
| ∎ | | Financial Square Government Fund1 |
| ∎ | | Financial Square Money Market Fund2 |
| ∎ | | Financial Square Prime Obligations Fund2 |
| ∎ | | Financial Square Treasury Instruments Fund1 |
| ∎ | | Financial Square Treasury Obligations Fund1 |
| ∎ | | Financial Square Federal Instruments Fund1 |
| ∎ | | Financial Square Tax-Exempt Money Market Fund2 |
Investor FundsSM
| ∎ | | Investor Money Market Fund3 |
| ∎ | | Investor Tax-Exempt Money Market Fund3 |
Fixed Income
Short Duration and Government
| ∎ | | High Quality Floating Rate Fund |
| ∎ | | Short-Term Conservative Income Fund4 |
| ∎ | | Short Duration Government Fund |
| ∎ | | Short Duration Income Fund |
| ∎ | | Inflation Protected Securities Fund |
Multi-Sector
Municipal and Tax-Free
| ∎ | | High Yield Municipal Fund |
| ∎ | | Dynamic Municipal Income Fund |
| ∎ | | Short Duration Tax-Free Fund |
Single Sector
| ∎ | | Investment Grade Credit Fund |
| ∎ | | High Yield Floating Rate Fund |
| ∎ | | Emerging Markets Debt Fund |
| ∎ | | Local Emerging Markets Debt Fund |
| ∎ | | Dynamic Emerging Markets Debt Fund |
Fixed Income Alternatives
| ∎ | | Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ | | Small/Mid Cap Value Fund |
| ∎ | | Small/Mid Cap Growth Fund |
| ∎ | | Flexible Cap Growth Fund |
| ∎ | | Concentrated Growth Fund |
| ∎ | | Technology Opportunities Fund |
| ∎ | | Growth Opportunities Fund |
| ∎ | | Rising Dividend Growth Fund |
| ∎ | | Dynamic U.S. Equity Fund |
Tax-Advantaged Equity
| ∎ | | U.S. Tax-Managed Equity Fund |
| ∎ | | International Tax-Managed Equity Fund |
| ∎ | | U.S. Equity Dividend and Premium Fund |
| ∎ | | International Equity Dividend and Premium Fund |
Equity Insights
| ∎ | | Small Cap Equity Insights Fund |
| ∎ | | U.S. Equity Insights Fund |
| ∎ | | Small Cap Growth Insights Fund |
| ∎ | | Large Cap Growth Insights Fund |
| ∎ | | Large Cap Value Insights Fund |
| ∎ | | Small Cap Value Insights Fund |
| ∎ | | International Small Cap Insights Fund |
| ∎ | | International Equity Insights Fund |
| ∎ | | Emerging Markets Equity Insights Fund |
Fundamental Equity International
| ∎ | | Strategic International Equity Fund |
| ∎ | | Focused International Equity Fund |
| ∎ | | Emerging Markets Equity Fund |
Select Satellite
| ∎ | | Real Estate Securities Fund |
| ∎ | | International Real Estate Securities Fund |
| ∎ | | Commodity Strategy Fund |
| ∎ | | Global Real Estate Securities Fund |
| ∎ | | Dynamic Allocation Fund |
| ∎ | | Absolute Return Tracker Fund |
| ∎ | | Managed Futures Strategy Fund |
| ∎ | | MLP Energy Infrastructure Fund |
| ∎ | | Multi-Manager Alternatives Fund |
| ∎ | | Absolute Return Multi-Asset Fund |
| ∎ | | Global Infrastructure Fund |
Total Portfolio Solutions
| ∎ | | Global Managed Beta Fund |
| ∎ | | Multi-Manager Non-Core Fixed Income Fund |
| ∎ | | Multi-Manager U.S. Dynamic Equity Fund |
| ∎ | | Multi-Manager Global Equity Fund |
| ∎ | | Multi-Manager International Equity Fund |
| ∎ | | Tactical Tilt Overlay Fund |
| ∎ | | Balanced Strategy Portfolio |
| ∎ | | Multi-Manager U.S. Small Cap Equity Fund |
| ∎ | | Multi-Manager Real Assets Strategy Fund |
| ∎ | | Growth and Income Strategy Portfolio |
| ∎ | | Growth Strategy Portfolio |
| ∎ | | Equity Growth Strategy Portfolio |
| ∎ | | Satellite Strategies Portfolio |
| ∎ | | Enhanced Dividend Global Equity Portfolio |
| ∎ | | Tax-Advantaged Global Equity Portfolio |
| ∎ | | Strategic Factor Allocation Fund |
| ∎ | | Target Date 2020 Portfolio |
| ∎ | | Target Date 2025 Portfolio |
| ∎ | | Target Date 2030 Portfolio |
| ∎ | | Target Date 2035 Portfolio |
| ∎ | | Target Date 2040 Portfolio |
| ∎ | | Target Date 2045 Portfolio |
| ∎ | | Target Date 2050 Portfolio |
| ∎ | | Target Date 2055 Portfolio |
| ∎ | | GQG Partners International Opportunities Fund |
| 1 | | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 2 | | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 3 | | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
| 4 | | Effective on July 29, 2016, the Goldman Sachs Limited Maturity Obligations Fund was renamed the Goldman Sachs Short-Term Conservative Income Fund. |
| 5 | | Effective on June 20, 2017, the Goldman Sachs Fixed Income Macro Strategies Fund was renamed the Goldman Sachs Strategic Macro Fund. |
| 6 | | Effective on June 20, 2017, the Goldman Sachs Growth and Income Fund was renamed the Goldman Sachs Equity Income Fund. Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC. |
| *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 Roy W. Templin Gregory G. Weaver | | OFFICERS James A. McNamara, President Scott M. McHugh, Principal Financial Officer, Senior Vice President and Treasurer Joseph F. DiMaria, Assistant Treasurer and Principal Accounting Officer Caroline L. Kraus, Secretary |
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GOLDMAN, SACHS & CO. LLC 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 Forms 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 Portfolio’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. Form N-Qs may be obtained upon request and without charge by calling 1-800-621-2550 (for Institutional Shareholders).
Portfolio holdings and allocations shown are as of April 30, 2017 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 the Portfolio’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 the Portfolio and may be obtained from your authorized dealer or from Goldman Sachs & Co. LLC by calling 1-800-621-2550.
© 2017 Goldman Sachs. All rights reserved. 95256-TMPL-06/2017-557230 TACTSAR-17/K/1542
(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 information required by this Item is only required in an annual report on this Form N-CSR.
| 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. |
| | | | |
| (a)(1) | | Goldman Sachs Trust’s Code of Ethics for Principal Executive and Senior Financial Officers is incorporated by reference to Exhibit 12(a)(1) of the registrant’s Form N-CSR filed on July 8, 2015 for its International Equity Insights Funds. |
| | |
| (a)(2) | | Exhibit 99.CERT | | Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 filed herewith. |
| | |
| (b) | | Exhibit 99.906CERT | | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 filed herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
| | |
| | | Goldman Sachs Trust |
| |
| By: | | /s/ James A. McNamara |
| |
| | |
| | James A. McNamara |
| | President/Chief Executive Officer |
| | Goldman Sachs Trust |
| |
| Date: | | June 30, 2017 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
| | |
| By: | | /s/ James A. McNamara |
| |
| | |
| | James A. McNamara |
| | President/Chief Executive Officer |
| | Goldman Sachs Trust |
| |
| Date: | | June 30, 2017 |
| |
| By: | | /s/ Scott McHugh |
| |
| | |
| | Scott McHugh |
| | Principal Financial Officer |
| | Goldman Sachs Trust |
| |
| Date: | | June 30, 2017 |
