UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-05349
Goldman Sachs Trust
(Exact name of registrant as specified in charter)
71 South Wacker Drive, Chicago, Illinois 60606
(Address of principal executive offices) (Zip code)
Caroline Kraus, Esq. | Copies to: | |
Goldman Sachs & Co. LLC | 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: December 31
Date of reporting period: June 30, 2018
ITEM 1. | REPORTS TO STOCKHOLDERS. |
The Semi-Annual Report to Shareholders is filed herewith. |
Goldman Sachs Funds
Semi-Annual Report | June 30, 2018 | |||
Fund of Funds Portfolios | ||||
Balanced Strategy | ||||
Equity Growth Strategy | ||||
Growth and Income Strategy | ||||
Growth Strategy | ||||
Satellite Strategies |
Goldman Sachs Fund of Funds Portfolios
∎ | BALANCED STRATEGY |
∎ | EQUITY GROWTH STRATEGY |
∎ | GROWTH AND INCOME STRATEGY |
∎ | GROWTH STRATEGY |
∎ | SATELLITE STRATEGIES |
1 | ||||
3 | ||||
5 | ||||
32 | ||||
33 | ||||
48 | ||||
55 | ||||
95 | ||||
119 |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee |
MARKET REVIEW
Fund of Funds Portfolios
The capital markets were influenced most during the six months ended June 30, 2018 (the “Reporting Period”) by economic data, central bank monetary policy, higher commodity prices and geopolitical events.
In the first quarter of 2018, when the Reporting Period began, global equity markets experienced their first pullback after rallying for eight consecutive calendar quarters. Global equity prices peaked during the last week of January 2018 before retreating on news of stronger than consensus expected U.S. wage growth data in early February. In addition to the wage growth data, which led investors to anticipate a faster pace of Federal Reserve (“Fed”) interest rate hikes, rising concerns about potential trade protectionism and worsening market sentiment about U.S. information technology stocks weighed on global equity prices. In the second half of March 2018, U.S. information technology stocks sold off due to investor concerns about data privacy. During the first calendar quarter overall, macroeconomic data moderated in the developed markets, particularly in Europe and Japan. Emerging markets equities generally outperformed their developed markets peers because of what many considered to be attractive valuations and because of the comparatively stronger economic data within emerging markets countries as well as higher commodity prices. In the fixed income markets, the 10-year U.S. Treasury yield rose during the first quarter of 2018, driven by the Fed’s decision to raise interest rates at its March policy meeting as well as by a modest pickup in inflation and a higher than expected U.S. fiscal deficit. The outcome of the Fed’s policy meeting was generally considered dovish by investors but was also in line with market expectations. (Dovish tends to imply lower interest rates.) The U.S. dollar weakened relative to other major developed markets currencies during the first calendar quarter.
During the second quarter of 2018, developed markets equities generated positive returns, while emerging markets equities experienced broad-based weakness. Two major themes were at play: 1) divergence between U.S. economic growth compared to that of the rest of the world, and 2) continued escalation of trade tensions. Within developed markets, U.S., U.K., European and Japanese equities rallied. U.K. export-driven stocks, in particular, benefited strongly from the depreciation of the British pound versus other major currencies. Meanwhile, emerging markets equities substantially underperformed developed markets stocks, as emerging markets’ economic growth slowed and disputes between the U.S. and China about trade tariffs soured investors’ appetite for emerging markets assets in general. Broad-based selling within the global equity markets also contributed to the weakness of emerging markets stocks. Within fixed income, the 10-year U.S. Treasury yield rose, as U.S. macroeconomic data remained relatively strong, inflation increased and oil prices rose. The U.S. dollar strengthened against major currencies, driven by comparatively better U.S. economic growth and tighter Fed monetary policy. The Mexican peso and euro were among those currencies experiencing some of the largest drops versus the U.S. dollar. Weakening appetite for emerging markets assets and the looming Mexican presidential election weighed on the Mexican peso, while slower Eurozone economic growth and a dovish European Central Bank pressured the euro. Meanwhile, moderating global economic growth and escalating trade tensions weighed on the prices of metals, such as copper, and the stronger U.S. dollar pushed down gold prices.
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MARKET REVIEW
Looking Ahead
At the end of the Reporting Period, we emphasized three macro themes. First, we expect to see divergence in the global economic expansion, with the U.S. and Japanese economies likely to surprise to the upside and European and Chinese economies more at risk. Second, we believe that shorter-term yields, which experienced a sharp rise in early 2018, may well be comparatively stable in the near term. Third, we think that, in the short term, the capital markets may experience temporary bouts of volatility. Accordingly, at the end of the Reporting Period, we believed the investing environment may favor a dynamic approach to asset allocation.
On the asset class level, we expect global equities to generate positive but moderate returns over the medium term. In our opinion, global equity performance may well be supported by continued economic expansion overall, corporate earnings growth and inexpensive valuations relative to macroeconomic conditions, though we believe valuations are likely to remain high in absolute terms. Regarding fixed income, we were bearish on government bonds at the end of the Reporting Period, as the Fed is likely, in our view, to raise interest rates faster than the markets seem to expect. At the end of the Reporting Period, we thought credit spreads were at reasonable levels relative to macroeconomic conditions. However, we plan to monitor them because we believe the corporate bond market may be approaching the point in the economic cycle when credit spreads historically start to widen. (Credit spreads are yield differentials between corporate bonds and U.S. Treasury securities of comparable maturity.) At the end of the Reporting Period, we were bullish on emerging markets assets overall for the medium term. Emerging economies outside of China are generally earlier in their economic cycle than developed market economies, which enables us to remain confident about a widening gap between the economic growth trajectories of emerging and developed markets. However, given the rise in market volatility during the Reporting Period and the increased frequency of political shocks, we have become more cautious about the performance of emerging markets assets for the near term.
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GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
What Differentiates Goldman Sachs’
Approach to Asset Allocation?
We believe that strong investment results through asset allocation are best achieved through teams of experts working together on a global scale:
∎ | Goldman Sachs’ Global Portfolio Solutions Group determines the strategic and tactical asset allocations. The team is comprised of over 135* professionals with significant academic and practitioner experience. |
∎ | Goldman Sachs’ Portfolio Management Teams offer expert management of the mutual funds that are contained within each Portfolio. These same teams manage portfolios for institutional and high net worth investors. |
Goldman Sachs Asset Allocation Investment Process
Global Portfolio Solutions Group
Each Portfolio represents a diversified global portfolio on the efficient frontier.† The Portfolios differ in their long-term objective, and therefore, their asset allocation mix. The long-term strategic asset allocation is the primary source of risk and the corresponding primary determinant of total return. It therefore represents an anchor, or neutral starting point, from which tactical asset allocation decisions are made.
Global Portfolio Solutions Group
For each Portfolio, the long-term strategic asset allocation is adjusted through a tactical investment process that seeks to react to and capitalize on changes in the market, the economic cycle, and macroeconomic environment. Within each strategy, we shift assets away from the strategic allocation by over and underweighting certain asset classes and by taking long or short positions in specific sectors, regions and countries. Using a proprietary fundamental analysis and portfolio construction process, the team develops views based on its current market and economic outlook across asset classes like global developed equity, emerging market equity, investment grade and non-investment grade fixed income, and currency markets.
*As | of June 2018. |
†Portfolios | on the efficient frontier are optimal in both the sense that they offer maximal expected return for some given level of risk and minimal risk for some given level of expected return. The efficient frontier is the line created from the risk-reward graph, comprised of optimal portfolios. The optimal portfolios plotted along the curve have the highest expected return possible for the given amount of risk. |
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GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Portfolio Management Teams
Each Portfolio is predominantly comprised of underlying Goldman Sachs funds managed by broad, deep portfolio management teams. In addition to global tactical asset allocation, we seek to generate excess returns through security selection within each underlying fund. Whether in the equity or fixed income arenas, these portfolio management teams share a commitment to firsthand fundamental research and seek performance driven by successful security selection.
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PORTFOLIO RESULTS
Fund of Funds Portfolios
Investment Objectives
The Goldman Sachs Balanced Strategy Portfolio seeks current income and long-term capital appreciation. The Goldman Sachs Equity Growth Strategy Portfolio seeks long-term capital appreciation. The Goldman Sachs Growth and Income Strategy Portfolio seeks long-term capital appreciation and current income. The Goldman Sachs Growth Strategy Portfolio seeks long-term capital appreciation and, secondarily, current income.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Global Portfolio Solutions Team discusses the performance and positioning of the Goldman Sachs Fund of Funds Portfolios — Asset Allocation (the “Portfolios”) for the six-month period ended June 30, 2018 (the “Reporting Period”).
Q | How did the Portfolios perform during the Reporting Period? |
A | Goldman Sachs Balanced Strategy Portfolio — During the Reporting Period, the Balanced Strategy Portfolio’s Class A, C, Institutional, Service, Investor, R and R6 Shares generated cumulative total returns of -2.26%, -2.70%, -2.08%, -2.38%, -2.15%, -2.30% and -2.07%, respectively. This compares to the -0.13% cumulative total return of the Portfolio’s blended benchmark, which is composed 60% of the Bloomberg Barclays Global Aggregate Bond Index (Gross, USD, Hedged) (“Bloomberg Barclays Global Index”) and 40% of the MSCI All Country World Index (Net, USD, Unhedged) (“MSCI ACWI Index”), during the same period. |
The components of the Portfolio’s blended benchmark, the Bloomberg Barclays Global Index and the MSCI ACWI Index, generated cumulative total returns of 0.07% and -0.43%, respectively, during the Reporting Period. |
For the period since their inception on April 17, 2018 through June 30, 2018, the Portfolio’s Class P Shares generated a cumulative total return of -2.23% compared to the 0.17% cumulative total return of the blended benchmark. The components of the Portfolio’s blended benchmark, the Bloomberg Barclays Global Index and the MSCI ACWI Index, generated cumulative total returns of 0.56% and -0.42%, respectively, during the same period. |
Goldman Sachs Equity Growth Strategy Portfolio — During the Reporting Period, the Equity Growth Strategy Portfolio’s Class A, C, Institutional, Service, Investor, R and R6 Shares generated cumulative total returns of -0.58%, -0.94%, -0.37%, -0.64%, -0.48%, -0.70% and -0.37%, respectively. This compares to the -0.43% cumulative total return of the Portfolio’s benchmark, the MSCI ACWI Index, during the same period. |
For the period since their inception on April 17, 2018 through June 30, 2018, the Portfolio’s Class P Shares generated a cumulative total return of -2.32% compared to the -0.42% cumulative total return of the Portfolio’s benchmark. |
Goldman Sachs Growth and Income Strategy Portfolio — During the Reporting Period, the Growth and Income Strategy Portfolio’s Class A, C, Institutional, Service, Investor, R and R6 Shares generated cumulative total returns of -1.81%, -2.16%, -1.62%, -1.80%, -1.62%, -1.88% and -1.61%, respectively. This compares to the -0.23% cumulative total return of the Portfolio’s blended benchmark, which is composed 40% of the Bloomberg Barclays Global Index and 60% of the MSCI ACWI Index, during the same period. |
The components of the Portfolio’s blended benchmark, the Bloomberg Barclays Global Index and the MSCI ACWI Index, generated cumulative total returns of 0.07% and -0.43%, respectively, during the Reporting Period. |
For the period since their inception on April 17, 2018 through June 30, 2018, the Portfolio’s Class P Shares generated a cumulative total return of -2.41% compared to the -0.03% cumulative total return of the blended benchmark. The components of the Portfolio’s blended benchmark, the Bloomberg Barclays Global Index and the MSCI ACWI Index, generated cumulative total returns of 0.23% and -1.57%, respectively, during the same period. |
Goldman Sachs Growth Strategy Portfolio — During the Reporting Period, the Growth Strategy Portfolio’s Class A, |
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PORTFOLIO RESULTS
C, Institutional, Service, Investor, R and R6 Shares generated cumulative total returns of -1.90%, -2.21%, -1.71%, -1.90%, -1.73%, -1.95% and -1.64%, respectively. This compares to the -0.33% cumulative total return of the Portfolio’s blended benchmark, which is composed 80% of the MSCI ACWI Index and 20% of the Bloomberg Barclays Global Index, during the same period. |
The components of the Portfolio’s blended benchmark, the Bloomberg Barclays Global Index and the MSCI ACWI Index, generated cumulative total returns of 0.07% and -0.43%, respectively, during the Reporting Period. |
For the period since their inception on April 17, 2018 through June 30, 2018, the Portfolio’s Class P Shares generated a cumulative total return of -2.51% compared to the -0.22% cumulative total return of the blended benchmark. The components of the Portfolio’s blended benchmark, the Bloomberg Barclays Global Index and the MSCI ACWI Index, generated cumulative total returns of 0.23% and -1.57%, respectively, during the same period. |
Q | What key factors were responsible for the Portfolios’ performance during the Reporting Period? |
A | The Portfolios seek to achieve their respective investment objectives by investing mainly in a combination of underlying funds and exchange-traded funds (“ETFs”) (collectively, the “Underlying Funds”). Some of the Portfolios’ Underlying Funds invest primarily in fixed income or money market instruments (the “Underlying Fixed Income Funds”); some of the underlying funds invest primarily in equity securities (the “Underlying Equity Funds”); and other underlying funds invest dynamically across equity, fixed income, commodity and other markets through a managed-volatility or trend-following approach (the “Underlying Dynamic Funds”). |
Performance is driven by four sources of return: long-term strategic asset allocation, medium-term cycle-aware allocation, short-term tactical allocation and excess returns from investments in Underlying Funds. Strategic asset allocation is the process by which we seek to budget or allocate portfolio risk, as opposed to capital, across a set of asset allocation risk factors, including but not limited to, equity, interest rate, emerging markets, credit, momentum and active risk. The resulting strategic asset allocations are implemented using a range of bottom-up security selection strategies across equity, fixed income and dynamic asset classes, which may utilize fundamental or quantitative investment techniques. We then incorporate our medium-term cycle-aware views and short-term tactical views into the Portfolios in order to react to changes in the economic cycle and the markets, respectively. Each Portfolio’s positioning may therefore change over time based on medium- and short-term market views on dislocations and attractive investment opportunities. These views may impact the relative weighting across asset classes, the allocation to geographies, sectors and industries as well as the Portfolios’ duration and sensitivity to inflation. (Duration is a measure of a portfolio’s sensitivity to changes in interest rates.) |
During the Reporting Period, the Portfolios generated negative returns on an absolute basis, with those having greater equity exposure producing less negative results. In addition, all four Portfolios generally underperformed their respective benchmark indices.* Overall, our medium-term cycle-aware views and short-term tactical decisions detracted from performance. The contribution from strategic asset allocation was mixed as was security selection within the Underlying Funds. |
Our medium-term cycle-aware views detracted from the returns of all four Portfolios during the Reporting Period. Within equities, our view that the Portfolios should hold long positions in emerging markets equities versus developed markets equities hurt performance, as emerging market equities struggled on the back of a stronger U.S. dollar, higher U.S. interest rates and concerns around global trade policies. Within fixed income, we held the view that the Goldman Sachs Balanced Strategy Portfolio, the Goldman Sachs Growth and Income Strategy Portfolio and the Goldman Sachs Growth Strategy Portfolio should each have a short duration bias, which was expressed through a short position in long-maturity German government bonds and short positions in specific segments of the U.S. Treasury yield curve. (Yield curve is a spectrum of maturities. The Goldman Sachs Equity Growth Strategy Portfolio did not adopt any of our fixed income views as it is an all-equity portfolio.) The short position in long-maturity German government bonds added to the Portfolios’ performance early in the Reporting Period due to hawkish commentary from Germany’s central bank, but it detracted during the second |
* | As measured by Institutional Shares. |
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PORTFOLIO RESULTS
half of the Reporting Period as Germany’s long-term interest rates fell in response to slower European economic growth, dovish European Central Bank monetary policy and political risk in Italy. (Hawkish tends to suggest higher interest rates; opposite of dovish.). A short position in the two-year segment of the U.S. Treasury yield curve contributed positively, partially offsetting these negative results. Elsewhere within fixed income, the Portfolios were hampered by their exposure to local emerging markets debt versus U.S. high yield corporate bonds. We established this positioning based on our view that credit spreads, which typically start to widen before an equity market peak, would be a headwind for U.S. high yield corporate bonds in the near term. (Credit spreads are yield differentials between corporate bonds and U.S. Treasury securities of comparable maturity.) However, U.S. high yield corporate bonds outperformed local emerging markets debt during the Reporting Period, which hurt the Portfolios’ returns. |
Our short-term tactical views, which seek to take advantage of what we consider short-term market mispricing, detracted overall from the performance of all four Portfolios. In terms of our country-specific views, however, the Goldman Sachs Equity Growth Strategy Portfolio experienced some positive results. Our view to hold long positions in certain developed markets stocks, including U.S. and Singaporean equities, and short positions in certain emerging markets stocks, such as South African and Mexican equities, added to the Portfolio’s performance. This was offset somewhat by the Portfolio’s long positions in emerging markets equities, which detracted, as emerging markets assets were broadly challenged during the second half of the Reporting Period. |
The impact of security selection within the Underlying Funds was mixed during the Reporting Period. Security selection detracted from the returns of the Goldman Sachs Balanced Strategy Portfolio and the Goldman Sachs Growth and Income Strategy Portfolio but was the primary positive contributor to the performance of the Goldman Sachs Growth Strategy Portfolio and the Goldman Sachs Equity Growth Strategy Portfolio because of their relatively higher proportion of equity assets. |
Our long-term, strategic asset allocation also had mixed results. While strategic asset allocation bolstered returns in the Goldman Sachs Equity Growth Strategy Portfolio, it detracted from the performance of the other three Portfolios during the Reporting Period. |
Q | How did the Portfolios’ Underlying Funds perform relative to their respective benchmark indices during the Reporting Period? |
A | Among Underlying Fixed Income Funds, the Goldman Sachs Emerging Markets Debt Fund underperformed its benchmark index most during the Reporting Period. The Goldman Sachs Local Emerging Markets Debt Fund, the Goldman Sachs High Yield Fund and the Goldman Sachs High Yield Floating Rate Fund also lagged their respective benchmark indices. Among Underlying Equity Funds, the Goldman Sachs Emerging Markets Equity Fund, the Goldman Sachs ActiveBeta Emerging Markets Equity ETF and the Goldman Sachs International Small Cap Insights Fund underperformed their respective benchmark indices. The Goldman Sachs Emerging Markets Equity Insights Fund outperformed its benchmark index. Among Underlying Funds that invest in real assets, the Goldman Sachs Real Estate Securities Fund outperformed its benchmark index and the Goldman Sachs Global Infrastructure Fund underperformed its benchmark index during the Reporting Period. |
Q | How did the Portfolios use derivatives and similar instruments during the Reporting Period? |
A | During the Reporting Period, the Portfolios used derivatives primarily to express medium-term cycle-aware views across equities and fixed income. The Goldman Sachs Equity Growth Strategy Portfolio was the only Portfolio to use derivatives to express our short-term tactical views across developed and emerging markets equities. The Goldman Sachs Balanced Strategy Portfolio, the Goldman Sachs Growth and Income Strategy Portfolio and the Goldman Sachs Growth Strategy Portfolio used a single implementation vehicle to express our short-term tactical views — the Goldman Sachs Tactical Exposure Fund (the “Underlying Tactical Fund”). |
Within equities, the Goldman Sachs Equity Growth Strategy Portfolio employed equity index futures to establish tactical short positions in Australian equities and U.K. large cap equities (both had a negative impact) and in Mexican equities and South African equities (both had a positive impact). In addition, the Portfolios used equity index futures to establish a tactical long position in Singaporean equities (positive impact) and tactical long positions in emerging markets equities broadly, European high-dividend equities, Chinese onshore-listed equities, South Korean equities and Japanese equities (all four had a negative impact). The Goldman Sachs Equity Growth Strategy Portfolio also employed equity index |
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PORTFOLIO RESULTS
options on U.S. equities (positive impact), European equities (negative impact) and Japanese equities (positive impact). |
Within fixed income, the Goldman Sachs Balanced Strategy Portfolio, the Goldman Sachs Growth and Income Strategy Portfolio and the Goldman Sachs Growth Strategy Portfolio used interest rate futures to express our medium-term cycle-aware views on the U.S. Treasury yield curve (positive impact) and on long-term German interest rates (negative impact). (The Goldman Sachs Equity Growth Strategy Portfolio did not adopt any of our fixed income views as it is an all-equity portfolio.) |
During the Reporting Period overall, some of the Portfolios’ Underlying Funds, including the Underlying Tactical Fund, used derivatives to apply their active investment views with greater versatility and potentially to afford greater risk management precision. As market conditions warranted during the Reporting Period, some of these Underlying Funds engaged in forward foreign currency exchange contracts, financial futures contracts, options, swap contracts and structured securities to attempt to enhance portfolio return and for hedging purposes. |
Q | What changes did you make during the Reporting Period within the Portfolios? |
A | In May 2018, we made changes to the strategic allocations of three of the four Portfolios — the Goldman Sachs Balanced Strategy Portfolio, the Goldman Sachs Growth and Income Strategy Portfolio and the Goldman Sachs Growth Strategy Portfolio. Specifically, we added strategic allocations to the Goldman Sachs Access Investment Grade Corporate Bond ETF and the Goldman Sachs Access High Yield Corporate Bond ETF. Additionally, we added strategic allocations to a volatility selling strategy. (Our volatility selling strategy seeks to benefit from the difference between implied volatility (i.e., expectations of future volatility) and realized volatility (i.e., historical volatility) in equity markets.) In addition, we implemented a foreign currency hedging strategy, which seeks to manage the risk associated with investing in non-U.S. currencies. |
Q | Were there any changes to the Portfolios’ portfolio management team during the Reporting Period? |
A | Effective June 21, 2018, Edward J. Tostanoski III no longer served as a portfolio manager of the Portfolios. By design, all investment decisions for the Portfolios 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 Portfolios. At the end of the Reporting Period, the portfolio managers for the Portfolios were Raymond Chan and Christopher Lvoff. |
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FUND BASICS
Balanced Strategy
as of June 30, 2018
PERFORMANCE REVIEW | ||||||||||||||||||
January 1, 2018– June 30, 2018 | Portfolio Total Return (based on NAV)1 | Balanced Strategy Composite Index2 | Bloomberg Barclays Global Index | MSCI ACWI Index | ||||||||||||||
Class A | -2.26 | % | -0.13 | % | 0.07 | % | -0.43 | % | ||||||||||
Class C | -2.70 | -0.13 | 0.07 | -0.43 | ||||||||||||||
Institutional | -2.08 | -0.13 | 0.07 | -0.43 | ||||||||||||||
Service | -2.38 | -0.13 | 0.07 | -0.43 | ||||||||||||||
Investor | -2.15 | -0.13 | 0.07 | -0.43 | ||||||||||||||
Class R | -2.30 | -0.13 | 0.07 | -0.43 | ||||||||||||||
Class R6 | -2.07 | -0.13 | 0.07 | -0.43 | ||||||||||||||
April 17, 2018– June 30, 2018 | ||||||||||||||||||
Class P | -2.23 | % | 0.17 | % | 0.56 | % | -0.42 | % |
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 Balanced Strategy Composite Index (“Balanced Composite”) is a composite representation prepared by the Investment Adviser of the performance of the Portfolio’s asset classes weighted according to their respective weightings in the Portfolio’s target range. The Balanced Composite is comprised of a blend of the Bloomberg Barclays Global Aggregate Bond Index (Gross, USD, Hedged) (“Bloomberg Barclays Global Index”) (60%) and the MSCI All Country World Index (Net, USD, Unhedged) (“MSCI® ACWI Index”) (40%). The Bloomberg Barclays Global Index is an unmanaged index, provides a broad-based measure of the global investment grade fixed-rate debt markets and covers the most liquid portion of the global investment grade fixed-rate bond market, including government, credit and collateralized securities. The index figures do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. The MSCI® ACWI Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The MSCI® ACWI Index consists of 47 country indices comprising 23 developed and 24 emerging market country indices. The developed market country indices included are: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom and the United States. The emerging market country indices are: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Russia, Qatar, South Africa, Taiwan, Thailand, Turkey and the United Arab Emirates. The index figures do not include any deduction for fees or expenses. 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 Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.gsamfunds.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares.
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FUND BASICS
STANDARDIZED TOTAL RETURNS3 | ||||||||||||||||||
For the period ended 6/30/18 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||
Class A | -2.45% | 3.27 | % | 3.16 | % | 4.10 | % | 1/2/98 | ||||||||||
Class C | 1.33 | 3.65 | 2.97 | 3.62 | 1/2/98 | |||||||||||||
Institutional | 3.64 | 4.85 | 4.17 | 4.81 | 1/2/98 | |||||||||||||
Service | 3.07 | 4.49 | 3.72 | 4.33 | 1/2/98 | |||||||||||||
Investor | 3.40 | 4.70 | 3.99 | 3.44 | 11/30/07 | |||||||||||||
Class P | N/A | N/A | N/A | -2.23 | 4/17/18 | |||||||||||||
Class R | 3.00 | 4.23 | 3.52 | 2.97 | 11/30/07 | |||||||||||||
Class R6 | 3.56 | N/A | N/A | 4.24 | 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, Investor, Class P, 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 table 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.
EXPENSE RATIOS4 |
| |||||||||
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
Class A | 1.28 | % | 1.34 | % | ||||||
Class C | 2.03 | 2.09 | ||||||||
Institutional | 0.89 | 0.95 | ||||||||
Service | 1.39 | 1.45 | ||||||||
Investor | 1.03 | 1.09 | ||||||||
Class P | 0.88 | 0.94 | ||||||||
Class R | 1.53 | 1.59 | ||||||||
Class R6 | 0.88 | 0.94 |
4 | The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Portfolio and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to contractual arrangements, the Portfolio’s waivers and/or expense limitations will remain in place through at least April 30, 2019, 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. |
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FUND BASICS
5 | Strategic allocation is the process of determining the areas of the global markets in which to invest, and in what long-term proportion, for each underlying fund. Our global approach attempts to generate strong long-term returns across geographies and asset classes, and is determined through a careful review of market opportunities and risk/return tradeoffs. On a monthly basis or as needed, we shift assets around the strategic allocation, over and under-weighting asset classes and countries relative to the neutral starting point, seeking to benefit from changing short-term conditions in global capital markets. This is called tactical asset allocation. |
6 | Generally, tactical fund weightings are rebalanced approximately monthly, but they may be rebalanced more or less frequently at the discretion of the Investment Adviser based on the market environment and its macro views. The weightings in the chart above reflect the allocations as of June 30, 2018. Actual Fund weighting in the Portfolio may differ from the figures shown above due to rounding, differences in returns of the Underlying Funds, or both. The above figures are not indicative of future allocations. |
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FUND BASICS
OVERALL UNDERLYING FUND WEIGHTINGS7 |
Percentage of Net Assets |
7 | The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each underlying fund reflects the value of that underlying fund as a percentage of net assets of the Portfolio. Figures in the above graph may not sum to 100% due to rounding and/or the exclusion of other assets and liabilities. The graph depicts the Portfolio’s investments but may not represent the Portfolio’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
12
FUND BASICS
Equity Growth Strategy
as of June 30, 2018
PERFORMANCE REVIEW | ||||||||||
January 1, 2018–June 30, 2018 | Portfolio Total Return (based on NAV)1 | MSCI® ACWI Index2 | ||||||||
Class A | -0.58 | % | -0.43 | % | ||||||
Class C | -0.94 | -0.43 | ||||||||
Institutional | -0.37 | -0.43 | ||||||||
Service | -0.64 | -0.43 | ||||||||
Investor | -0.48 | -0.43 | ||||||||
Class R | -0.70 | -0.43 | ||||||||
Class R6 | -0.37 | -0.43 | ||||||||
April 17, 2018–June 30, 2018 | ||||||||||
Class P | -2.32 | % | -0.42 | % |
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 Portfolio’s benchmark is the MSCI All Country World Index (Net, USD, Unhedged) (“MSCI® ACWI Index”). The MSCI® ACWI Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The MSCI® ACWI Index consists of 47 country indices comprising 23 developed and 24 emerging market country indices. The developed market country indices included are: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom and the United States. The emerging market country indices are: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Russia, Qatar, South Africa, Taiwan, Thailand, Turkey and the United Arab Emirates. The index figures do not include any deduction for fees or expenses. 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 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.
13
FUND BASICS
STANDARDIZED TOTAL RETURNS3 | ||||||||||||||||||||
For the period ended 6/30/18 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
Class A | 5.62 | % | 8.79 | % | 4.94 | % | 5.07 | % | 1/2/98 | |||||||||||
Class C | 9.88 | 9.22 | 4.74 | 4.58 | 1/2/98 | |||||||||||||||
Institutional | 12.22 | 10.49 | 5.95 | 5.76 | 1/2/98 | |||||||||||||||
Service | 11.62 | 9.92 | 5.41 | 5.25 | 1/2/98 | |||||||||||||||
Investor | 11.96 | 10.31 | 5.79 | 4.36 | 11/30/07 | |||||||||||||||
Class P | N/A | N/A | N/A | -2.32 | 4/17/18 | |||||||||||||||
Class R | 11.44 | 9.76 | 5.31 | 3.88 | 11/30/07 | |||||||||||||||
Class R6 | 12.20 | N/A | N/A | 9.33 | 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, Investor, Class P, 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 table 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.
EXPENSE RATIOS4 |
| |||||||||
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
Class A | 1.23 | % | 1.32 | % | ||||||
Class C | 1.98 | 2.07 | ||||||||
Institutional | 0.84 | 0.93 | ||||||||
Service | 1.34 | 1.43 | ||||||||
Investor | 0.98 | 1.07 | ||||||||
Class P | 0.83 | 0.92 | ||||||||
Class R | 1.48 | 1.57 | ||||||||
Class R6 | 0.83 | 0.92 |
4 | The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Portfolio and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to contractual arrangements, the Portfolio’s waivers and/or expense limitations will remain in place through at least April 30, 2019, 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. |
14
FUND BASICS
5 | Strategic allocation is the process of determining the areas of the global markets in which to invest, and in what long-term proportion, for each underlying fund. Our global approach attempts to generate strong long-term returns across geographies and asset classes, and is determined through a careful review of market opportunities and risk/return tradeoffs. On a monthly basis or as needed, we shift assets around the strategic allocation, over and under-weighting asset classes and countries relative to the neutral starting point, seeking to benefit from changing short-term conditions in global capital markets. This is called tactical asset allocation. |
6 | Generally, tactical fund weightings are rebalanced approximately monthly, but they may be rebalanced more or less frequently at the discretion of the Investment Adviser based on the market environment and its macro views. The weightings in the chart above reflect the allocations as of June 30, 2018. Actual underlying fund weighting in the Portfolio may differ from the figures shown above due to rounding, differences in returns of the underlying funds, or both. The above figures are not indicative of future allocations. |
15
FUND BASICS
OVERALL UNDERLYING FUND WEIGHTINGS7 |
Percentage of Net Assets |
7 | The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each underlying fund reflects the value of that underlying fund as a percentage of net assets of the Portfolio. Figures in the above graph may not sum to 100% due to rounding and/or the exclusion of other assets and liabilities. The graph depicts the Portfolio’s investments but may not represent the Portfolio’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
16
FUND BASICS
Growth and Income Strategy
as of June 30, 2018
PERFORMANCE REVIEW | ||||||||||||||||||
January 1, 2018– June 30 2018 | Portfolio Total Return (based on NAV)1 | Growth and Income Composite Index2 | Bloomberg Barclays Global Index | MSCI ACWI Index | ||||||||||||||
Class A | -1.81 | % | -0.23 | % | 0.07 | % | -0.43 | % | ||||||||||
Class C | -2.16 | -0.23 | 0.07 | -0.43 | ||||||||||||||
Institutional | -1.62 | -0.23 | 0.07 | -0.43 | ||||||||||||||
Service | -1.80 | -0.23 | 0.07 | -0.43 | ||||||||||||||
Investor | -1.62 | -0.23 | 0.07 | -0.43 | ||||||||||||||
Class R | -1.88 | -0.23 | 0.07 | -0.43 | ||||||||||||||
Class R6 | -1.61 | -0.23 | 0.07 | -0.43 | ||||||||||||||
April 17, 2018– | ||||||||||||||||||
Class P | -2.41 | % | -0.03 | % | 0.23 | % | -1.57 | % |
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 Growth and Income Strategy Composite Index (“Growth and Income Composite”) is a composite representation prepared by the Investment Adviser of the performance of the Portfolio’s asset classes weighted according to their respective weightings in the Portfolio’s target range. The Growth and Income Composite is comprised of a blend of the Bloomberg Barclays Global Aggregate Bond Index (Gross, USD, Hedged) (“Bloomberg Barclays Global Index”) (40%) and the MSCI All Country World Index (Net, USD, Unhedged) (“MSCI® ACWI Index”) (60%). The Growth and Income Composite figures do not reflect any deduction for fees, expenses or taxes. The Bloomberg Barclays Global Index is an unmanaged index, provides a broad-based measure of the global investment-grade fixed-rate debt markets and covers the most liquid portion of the global investment grade fixed-rate bond market, including government, credit and collateralized securities. The index figures do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. The MSCI® ACWI Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The MSCI® ACWI Index consists of 47 country indices comprising 23 developed and 24 emerging market country indices. The developed market country indices included are: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom and the United States. The emerging market country indices are: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey and the United Arab Emirates. The index figures do not include any deduction for fees or expenses. 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 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.
17
FUND BASICS
STANDARDIZED TOTAL RETURNS3 | ||||||||||||||||||||
For the period ended 6/30/18 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
Class A | 0.23 | % | 5.05 | % | 3.68 | % | 4.58 | % | 1/2/98 | |||||||||||
Class C | 4.20 | 5.45 | 3.48 | 4.08 | 1/2/98 | |||||||||||||||
Institutional | 6.46 | 6.66 | 4.67 | 5.28 | 1/2/98 | |||||||||||||||
Service | 5.96 | 6.14 | 4.16 | 4.76 | 1/2/98 | |||||||||||||||
Investor | 6.38 | 6.53 | 4.50 | 3.52 | 11/30/07 | |||||||||||||||
Class P | N/A | N/A | N/A | -2.41 | 4/17/18 | |||||||||||||||
Class R | 5.76 | 5.97 | 4.01 | 3.02 | 11/30/07 | |||||||||||||||
Class R6 | 6.48 | N/A | N/A | 5.93 | 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, Investor, Class P, 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 table 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.
EXPENSE RATIOS4 |
| |||||||||
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
Class A | 1.25 | % | 1.29 | % | ||||||
Class C | 2.00 | 2.04 | ||||||||
Institutional | 0.86 | 0.90 | ||||||||
Service | 1.36 | 1.40 | ||||||||
Investor | 1.00 | 1.04 | ||||||||
Class P | 0.85 | 0.89 | ||||||||
Class R | 1.50 | 1.54 | ||||||||
Class R6 | 0.85 | 0.89 |
4 | The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Portfolio and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to contractual arrangements, the Portfolio’s waivers and/or expense limitations will remain in place through at least April 30, 2019, 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. |
18
FUND BASICS
5 | Strategic allocation is the process of determining the areas of the global markets in which to invest, and in what long-term proportion, for each underlying fund. Our global approach attempts to generate strong long-term returns across geographies and asset classes, and is determined through a careful review of market opportunities and risk/return tradeoffs. On a monthly basis or as needed, we shift assets around the strategic allocation, over and under-weighting asset classes and countries relative to the neutral starting point, seeking to benefit from changing short-term conditions in global capital markets. This is called tactical asset allocation. |
6 | Generally, tactical fund weightings are rebalanced approximately monthly, but they may be rebalanced more or less frequently at the discretion of the Investment Adviser based on the market environment and its macro views. The weightings in the chart above reflect the allocations as of June 30, 2018. Actual underlying fund weighting in the Portfolio may differ from the figures shown above due to rounding, differences in returns of the underlying funds, or both. The above figures are not indicative of future allocations. |
19
FUND BASICS
OVERALL UNDERLYING FUND WEIGHTINGS7 |
Percentage of Net Assets |
7 | The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each underlying fund reflects the value of that underlying fund as a percentage of net assets of the Portfolio. Figures in the above graph may not sum to 100% due to rounding and/or the exclusion of other assets and liabilities. The graph depicts the Portfolio’s investments but may not represent the Portfolio’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
20
FUND BASICS
Growth Strategy
as of June 30, 2018
PERFORMANCE REVIEW | ||||||||||||||||||
January 1, 2018– June 30, 2018 | Portfolio Total Return (based on NAV)1 | Growth Strategy Composite Index2 | Bloomberg Barclays Global Index | MSCI ACWI Index | ||||||||||||||
Class A | -1.90 | % | -0.33 | % | 0.07 | % | -0.43 | % | ||||||||||
Class C | -2.21 | -0.33 | 0.07 | -0.43 | ||||||||||||||
Institutional | -1.71 | -0.33 | 0.07 | -0.43 | ||||||||||||||
Service | -1.90 | -0.33 | 0.07 | -0.43 | ||||||||||||||
Investor | -1.73 | -0.33 | 0.07 | -0.43 | ||||||||||||||
Class R | -1.95 | -0.33 | 0.07 | -0.43 | ||||||||||||||
Class R6 | -1.64 | -0.33 | 0.07 | -0.43 | ||||||||||||||
April 17, 2018– June 30, 2018 | ||||||||||||||||||
Class P | -2.51 | % | -0.22 | % | 0.23 | % | -1.57 | % |
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 Growth Strategy Composite Index (“Growth Composite”) is a composite representation prepared by the Investment Advisor of the performance of the Portfolio’s asset classes weighted according to their respective weightings in the Portfolio’s target range. The Growth Composite is comprised of a blend of the Bloomberg Barclays Global Aggregate Bond Index (Gross, USD, Hedged) (“Bloomberg Barclays Global Index”) (20%) and the MSCI All Country World Index (Net, USD, Unhedged) (“MSCI® ACWI Index”) (80%). The Growth Strategy Composite figures do not reflect any deduction for fees, expenses or taxes. The Bloomberg Barclays Global Index is an unmanaged index, provides a broad-based measure of the global investment-grade fixed-rate debt markets and covers the most liquid portion of the global investment grade fixed-rate bond market, including government, credit and collateralized securities. The index figures do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. The MSCI® ACWI Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The MSCI® ACWI Index consists of 47 country indices comprising 23 developed and 24 emerging market country indices. The developed market country indices included are: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom and the United States. The emerging market country indices are: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey and the United Arab Emirates. The index figures do not include any deduction for fees or expenses. 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 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.
21
FUND BASICS
STANDARDIZED TOTAL RETURNS3 | ||||||||||||||||||||
For the period ended 6/30/18 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
Class A | 2.37 | % | 6.72 | % | 3.95 | % | 4.56 | % | 1/2/98 | |||||||||||
Class C | 6.44 | 7.13 | 3.76 | 4.07 | 1/2/98 | |||||||||||||||
Institutional | 8.72 | 8.35 | 4.96 | 5.27 | 1/2/98 | |||||||||||||||
Service | 8.21 | 7.83 | 4.45 | 4.75 | 1/2/98 | |||||||||||||||
Investor | 8.59 | 8.20 | 4.81 | 3.57 | 11/30/07 | |||||||||||||||
Class P | N/A | N/A | N/A | -2.51 | 4/17/18 | |||||||||||||||
Class R | 8.08 | 7.67 | 4.29 | 3.06 | 11/30/07 | |||||||||||||||
Class R6 | 8.70 | N/A | N/A | 7.33 | 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, Investor, Class P, 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 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.
EXPENSE RATIOS4 |
| |||||||||
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
Class A | 1.26 | % | 1.31 | % | ||||||
Class C | 2.01 | 2.06 | ||||||||
Institutional | 0.87 | 0.92 | ||||||||
Service | 1.37 | 1.42 | ||||||||
Investor | 1.01 | 1.06 | ||||||||
Class P | 0.86 | 0.91 | ||||||||
Class R | 1.51 | 1.56 | ||||||||
Class R6 | 0.86 | 0.91 |
4 | The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Portfolio and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to contractual arrangements, the Portfolio’s waivers and/or expense limitations will remain in place through at least April 30, 2019, 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. |
22
FUND BASICS
5 | Strategic allocation is the process of determining the areas of the global markets in which to invest, and in what long-term proportion, for each underlying fund. Our global approach attempts to generate strong long-term returns across geographies and asset classes, and is determined through a careful review of market opportunities and risk/return tradeoffs. On a monthly basis or as needed, we shift assets around the strategic allocation, over and under-weighting asset classes and countries relative to the neutral starting point, seeking to benefit from changing short-term conditions in global capital markets. This is called tactical asset allocation. |
6 | Generally, tactical fund weightings are rebalanced approximately monthly, but they may be rebalanced more or less frequently at the discretion of the Investment Adviser based on the market environment and its macro views. The weightings in the chart above reflect the allocations as of June 30, 2018. Actual underlying fund weighting in the Portfolio may differ from the figures shown above due to rounding, differences in returns of the underlying funds, or both. The above figures are not indicative of future allocations. |
23
FUND BASICS
OVERALL UNDERLYING FUND WEIGHTINGS7 |
Percentage of Net Assets |
7 | The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each underlying fund reflects the value of that underlying fund as a percentage of net assets of the Portfolio. Figures in the above graph may not sum to 100% due to rounding and/or the exclusion of other assets and liabilities. The graph depicts the Portfolio’s investments but may not represent the Portfolio’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
24
PORTFOLIO RESULTS
Goldman Sachs Satellite Strategies Portfolio
Investment Objective
The Portfolio seeks long-term capital appreciation.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Global Portfolio Solutions Team discusses the performance and positioning of the Goldman Sachs Fund of Funds Portfolios — Satellite Strategies (the “Portfolio”) for the six-month period ended June 30, 2018 (the “Reporting Period”).
Q | How did the Portfolio perform during the Reporting Period? |
A | During the Reporting Period, the Portfolio’s Class A, C, Institutional, Service, Investor, R and R6 Shares generated cumulative total returns of -3.81%, -4.08%, -3.64%, -3.75%, -3.71%, -3.83% and -3.51%, respectively. This compares to the -0.60% cumulative total return of the Portfolio’s blended benchmark, which is composed 40% of the Bloomberg Barclays U.S. Aggregate Bond Index (the “Bloomberg Barclays U.S. Index”), 30% of the Standard & Poor’s 500 Index (the “S&P 500® Index”) and 30% of the MSCI EAFE Net Total Return Index (the “MSCI EAFE Index”), during the same period. |
The components of the blended benchmark, the Bloomberg Barclays U.S. Index, the S&P 500® Index and the MSCI EAFE Index, generated cumulative total returns of -1.62%, 2.65% and -3.36%, respectively, during the same period. The Portfolio’s former benchmark, the MSCI EAFE Index (Gross, USD, Unhedged), returned -2.37% during the same period. |
For the period since their inception on April 17, 2018 through June 30, 2018, the Portfolio’s Class P Shares generated a cumulative total return of -3.33% compared to the -0.84% cumulative total return of the blended benchmark. The components of the Portfolio’s blended benchmark, the Bloomberg Barclays U.S. Index, the S&P 500® Index and the MSCI EAFE Index, generated cumulative total returns of -0.06%, 0.85% and -3.36%, respectively, during the same period. The MSCI EAFE Index (Gross, USD, Unhedged), returned -2.37% during the same period. |
Q | How did the various satellite asset classes perform during the Reporting Period? |
A | During the Reporting Period, satellite asset classes generated mixed results, with some posting positive absolute returns and others recording negative absolute returns. In addition, certain satellite asset classes outpaced traditional equity and fixed income asset classes, while others underperformed them. |
Among real assets, global real estate securities, as represented by the FTSE EPRA/NAREIT Global Real Estate Index, produced a positive return of 0.53% during the Reporting Period. High demand and strong retail sales helped boost the performance of real estate investment trusts. Global real estate securities also outperformed international stocks, which returned -2.37%, as measured by the MSCI EAFE Index, but they underperformed U.S. stocks, as represented by the S&P 500® Index, which returned 2.65% during the Reporting Period. Meanwhile, global infrastructure securities underperformed U.S. stocks, returning -0.82%, as measured by the Dow Jones Brookfield Global Infrastructure Index. Global infrastructure securities, which many investors consider proxies for fixed income because of their relatively high dividend yields, struggled during the Reporting Period as U.S. interest rates increased. |
Among equity satellite asset classes, emerging markets stocks turned in the weakest results of the Reporting Period, returning -6.67%, as measured by the MSCI Emerging Markets Index. The negative performance was driven by a stronger U.S. dollar, prospects of a continued rise in U.S. interest rates and concerns around trade protectionism. These factors also had an adverse impact on international small-cap equities, which returned -1.33% during the Reporting Period, as measured by the MSCI EAFE Small Cap Index. Furthermore, while international small-cap stocks outperformed international large-cap stocks during the Reporting Period, they trailed U.S. large-cap stocks amid divergence between U.S. economic growth and that of the rest of the world. |
25
PORTFOLIO RESULTS
Among fixed income satellite asset classes, U.S. high yield corporate bonds and leveraged loans outpaced the broad U.S. fixed income market, which generated -1.62%, as measured by the Bloomberg Barclays U.S. Index, during the Reporting Period. High yield corporate bonds were up 0.16% during the Reporting Period, as measured by the Bloomberg Barclays U.S. Corporate High Yield 2% Issuer Capped Bond Index. Leveraged loans, as represented by the Credit Suisse Leveraged Loan Index, produced a gain of 2.38% during the Reporting Period. Leveraged loans tend to perform well in rising interest rate environments because they are floating rate securities and their coupon rates reset regularly to reflect current interest rates. On the negative side, U.S. dollar-denominated emerging markets debt, as represented by the J.P. Morgan Emerging Market Bond Index — Global Diversified Index, and local emerging markets debt, as measured by the J.P. Morgan Government Bond Index — Emerging Markets Global Diversified Index, were down -5.23% and -6.44%, respectively, during the Reporting Period. Concerns about trade protectionism and a stronger U.S. dollar weighed on both of these satellite asset classes. |
Q | What key factors were responsible for the Portfolio’s performance during the Reporting Period? |
A | The Portfolio seeks to achieve its investment objective by investing mainly in a combination of underlying funds and exchange-traded funds (“ETFs”) (collectively, the “Underlying Funds”). Some of the Portfolio’s Underlying Funds invest primarily in fixed income or money market instruments (the “Underlying Fixed Income Funds”), and some of the Underlying Funds invest primarily in equity securities (the “Underlying Equity Funds”). |
The Portfolio’s performance is driven by four sources of return: long-term strategic asset allocation, medium-term cycle-aware allocation, short-term tactical allocation and excess returns from investments in Underlying Funds. Strategic asset allocation is the process by which we seek to budget or allocate portfolio risk, as opposed to capital, across a set of asset allocation risk factors, including but not limited to, equity, interest rate, emerging markets, credit, momentum and active risk. We apply a factor-based risk budgeting approach to develop a strategic allocation across the satellite asset classes included in the Portfolio. Our model focuses on broad asset classes, such as emerging markets, high yield credit and real assets. We then incorporate our medium-term cycle-aware views into the Portfolio in order to react to changes in the economic cycle. The Portfolio’s positioning may therefore change over time based on our medium-term cycle-aware views of attractive investment opportunities. These views may impact relative weighting across asset classes, the allocation to geographies, sectors and industries as well as the Portfolio’s duration and sensitivity to inflation. (Duration is a measure of a portfolio’s sensitivity to changes in interest rates.) |
Overall, during the Reporting Period, our strategic asset allocation had a negative impact on the Portfolio’s results. Medium-term cycle-aware allocation also detracted from returns as did security selection within the Underlying Funds. Our short-term tactical allocation did not have a material impact on performance during the Reporting Period. |
Strategic allocation detracted from the Portfolio’s returns during the Reporting Period. Among real asset classes, the Portfolio’s strategic allocation to global infrastructure securities, which are sensitive to interest rates, lagged the equity components of the blended benchmark as U.S. interest rates rose during the Reporting Period. This was offset somewhat by the Portfolio’s strategic allocation to global real estate securities, which outperformed the equity components of the blended benchmark amid strong demand for real estate and positive U.S. economic data. Within equities, the Portfolio was hampered by its strategic allocation to emerging markets equities, which were pressured by geopolitical risks and a stronger U.S. dollar. For similar reasons, within fixed income, the Portfolio was hurt by strategic allocations to local emerging markets debt and U.S. dollar-denominated emerging markets debt. This was offset somewhat by strategic allocations to U.S. high yield corporate bonds and leveraged loans, which outperformed the fixed income component of the blended benchmark as investors flocked to higher-yielding U.S. fixed income assets. |
Our medium-term cycle-aware allocation further detracted from the Portfolio’s performance during the Reporting Period. Specifically, our view that the Portfolio be overweight global infrastructure securities versus global real estate securities hurt results, as global real estate securities outperformed global infrastructure securities during the Reporting Period. Within equities, our medium-term cycle-aware views, wherein the Portfolio was overweight emerging markets equities and international small-cap stocks, had a negative impact on performance. |
Overall, security selection within the Underlying Funds dampened Portfolio returns, with underperformance concentrated in the Underlying Fixed Income Funds. |
26
PORTFOLIO RESULTS
Q | How did the Portfolio’s Underlying Funds perform relative to their respective benchmark indices during the Reporting Period? |
A | Among Underlying Fixed Income Funds, the Goldman Sachs Emerging Markets Debt Fund underperformed its benchmark index most during the Reporting Period. The Goldman Sachs Local Emerging Markets Debt Fund, the Goldman Sachs High Yield Fund and the Goldman Sachs High Yield Floating Rate Fund also lagged their respective benchmark indices. Among Underlying Equity Funds, the Goldman Sachs Emerging Markets Equity Fund, the Goldman Sachs ActiveBeta Emerging Markets Equity ETF and the Goldman Sachs International Small Cap Insights Fund underperformed their respective benchmark indices. The Goldman Sachs Emerging Markets Equity Insights Fund outperformed its benchmark index. Among Underlying Funds that invest in real assets, the Goldman Sachs Real Estate Securities Fund outperformed its benchmark index and the Goldman Sachs Global Infrastructure Fund underperformed its benchmark index during the Reporting Period. |
Q | How did the Portfolio use derivatives and similar instruments during the Reporting Period? |
A | During the Reporting Period, the Portfolio did not directly invest in derivatives. However, some of the Underlying Funds used derivatives to apply their active investment views with greater versatility and to potentially afford greater risk management precision. As market conditions warranted, some of these Underlying Funds engaged in forward foreign currency exchange contracts, financial futures contracts, options, swap contracts and structured securities to attempt to enhance portfolio return and for hedging purposes. |
Q | What changes did you make during the Reporting Period within the Portfolio? |
A | We made three notable adjustments to the Portfolio’s allocations during the Reporting Period. First, we implemented a medium-term cycle-aware view that the Portfolio be overweight emerging markets equities by reducing exposure to global infrastructure securities. In our opinion, the growth trajectory of the emerging markets should widen relative to that of the developed markets over the medium term, and we believe that equities tend to benefit more from greater corporate growth than other asset classes. Meanwhile, we were anticipating the possibility of higher interest rates, leading to our decision to underweight global infrastructure securities. |
Second, during March 2018, we implemented a medium-term cycle-aware view that the Portfolio be overweight global infrastructure securities by reducing exposure to global real estate securities. This was to express our positive view on energy master limited partnerships (“MLPs”), which had sold off following a surprise regulatory ruling from the Federal Energy Regulatory Commission. We considered the market reaction overly negative and took advantage of the selloff to add exposure to the Portfolio, as we thought energy MLPs had attractive fundamentals and strong dividend yields. |
Third, in early May 2018, we changed our medium-term cycle-aware view that the Portfolio have a long position in U.S. high yield corporate debt versus local emerging markets debt to a view that it hold a long position in local emerging markets debt versus U.S. high yield corporate debt. This move reflected our belief that credit spreads, which typically start to widen before an equity market peak, would be a headwind for U.S. high yield corporate bonds in the near term. (Credit spreads are yield differentials between corporate bonds and U.S. Treasury securities of comparable maturity.) |
Q | Were there any changes to the Portfolio’s portfolio management team during the Reporting Period? |
A | Effective June 21, 2018, Edward J. Tostanoski III no longer served as a portfolio manager of the Portfolio. By design, all investment decisions for the Portfolio 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 Portfolio. At the end of the Reporting Period, the portfolio managers for the Portfolio were Raymond Chan and Christopher Lvoff. |
27
FUND BASICS
Satellite Strategies Portfolio
as of June 30, 2018
PERFORMANCE REVIEW |
| |||||||||||||||||||||||||
January 1, 2018– June 30, 2018 | Fund Total Return (based on NAV)1 | Satellite Strategies Composite Index2 | Bloomberg Barclays U.S. Aggregate Bond Index | MSCI® EAFE® (Gross, USD, Unhedged) Index | MSCI® EAFE® | S&P 500® Index | ||||||||||||||||||||
Class A | -3.81 | % | -0.60 | % | -1.62 | % | -3.36 | % | -2.37 | % | 2.65 | % | ||||||||||||||
Class C | -4.08 | -0.60 | -1.62 | -3.36 | -2.37 | 2.65 | ||||||||||||||||||||
Institutional | -3.64 | -0.60 | -1.62 | -3.36 | -2.37 | 2.65 | ||||||||||||||||||||
Service | -3.75 | -0.60 | -1.62 | -3.36 | -2.37 | 2.65 | ||||||||||||||||||||
Investor | -3.71 | -0.60 | -1.62 | -3.36 | -2.37 | 2.65 | ||||||||||||||||||||
Class R | -3.83 | -0.60 | -1.62 | -3.36 | -2.37 | 2.65 | ||||||||||||||||||||
Class R6 | -3.51 | -0.60 | -1.62 | -3.36 | -2.37 | 2.65 | ||||||||||||||||||||
April 17, 2018– June 30, 2018 | ||||||||||||||||||||||||||
Class P | -3.33 | % | -0.84 | % | -0.06 | % | -3.36 | % | -2.37 | % | 0.85 | % |
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 reflects the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges. |
2 | The Satellite Strategies Composite Index (“Satellite Composite”) is a composite representation prepared by the Investment Adviser of the performance of the Portfolio’s asset classes weighted according to their respective weightings in the Portfolio’s target range. The Satellite Composite is comprised of the Bloomberg Barclays U.S. Aggregate Bond Index (40%), the S&P 500® Index (30%), and the MSCI® EAFE® Index (30%). The Satellite Composite figures do not reflect any deduction for fees, expenses or taxes. The Bloomberg Barclays U.S. Aggregate Bond Index represents an unmanaged diversified portfolio of fixed income securities, including U.S. Treasuries, investment-grade corporate bonds, and mortgage-backed and asset-backed securities. The S&P 500® Index is the Standard & Poor’s 500 Composite Index of 500 stocks, an unmanaged index of common stock prices. The unmanaged MSCI® EAFE® Index is a market capitalization weighted composite of securities in 21 developed markets. The index figures do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. The S&P 500® Index is an unmanaged composite index of 500 common stock prices. The index figures do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
28
FUND BASICS
STANDARDIZED TOTAL RETURNS3 | ||||||||||||||||||||
For the period ended 6/30/18 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
Class A | -2.97 | % | 2.37 | % | 1.07 | % | 1.46 | % | 3/30/07 | |||||||||||
Class C | 0.99 | 2.78 | 0.89 | 1.21 | 3/30/07 | |||||||||||||||
Institutional | 3.09 | 3.95 | 2.05 | 2.35 | 3/30/07 | |||||||||||||||
Service | 2.55 | 3.44 | N/A | 2.43 | 8/29/08 | |||||||||||||||
Investor | 2.93 | 3.79 | 1.90 | 1.78 | 11/30/07 | |||||||||||||||
Class P | N/A | N/A | N/A | -3.33 | 4/17/18 | |||||||||||||||
Class R | 2.54 | 3.28 | 1.41 | 1.28 | 11/30/07 | |||||||||||||||
Class R6 | 3.10 | N/A | N/A | 4.13 | 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, Service, Investor, Class P, 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 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.
EXPENSE RATIOS4 |
| |||||||||
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
Class A | 1.37 | % | 1.41 | % | ||||||
Class C | 2.12 | 2.16 | ||||||||
Institutional | 0.98 | 1.02 | ||||||||
Service | 1.48 | 1.52 | ||||||||
Investor | 1.12 | 1.16 | ||||||||
Class P | 0.97 | 1.01 | ||||||||
Class R | 1.62 | 1.66 | ||||||||
Class R6 | 0.97 | 1.01 |
4 | The expense ratios of the Portfolio, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Portfolio and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to contractual arrangements, the Portfolio’s waivers and/or expense limitations will remain in place through at least April 30, 2019, 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. |
29
FUND BASICS
TARGET RISK-CONTRIBUTION INVESTMENT PORTFOLIO5 AS OF 6/30/18 | ||||||
Percentage of Investment Portfolio | ||||||
![]() |
5 | Generally, tactical fund weightings are rebalanced approximately monthly, but they may be rebalanced more or less frequently at the discretion of the Investment Adviser based on the market environment and its macro views. The weightings in the chart above reflect the allocations as of June 30, 2018. Actual underlying fund weighting in the Portfolio may differ from the figures shown above due to rounding, differences in returns of the underlying funds, or both. The above figures are not indicative of future allocations. |
30
FUND BASICS
OVERALL UNDERLYING FUND WEIGHTINGS6 |
Percentage of Net Assets |
6 | The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each underlying fund reflects the value of that underlying fund as a percentage of net assets of the Portfolio. Figures in the above graph may not sum to 100% due to rounding and/or the exclusion of other assets and liabilities. The graph depicts the Portfolio’s investments but may not represent the Portfolio’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
31
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Bloomberg Barclays U.S. Corporate High-Yield 2% Issuer Capped Bond Index, an unmanaged index, covers the universe of U.S. dollar denominated, non-convertible, fixed rate, noninvestment grade debt. Index holdings must have at least one year to final maturity, at least $150 million par amount outstanding, and be publicly issued with a rating of Ba1 or lower.
Credit Suisse Leveraged Loan Index is designed to mirror the investable universe of the U.S. dollar-denominated leveraged loan market.
FTSE EPRA/NAREIT Global Real Estate Index is a free-float adjusted, market capitalization-weighted index designed to track the performance of listed real estate companies in both developed and emerging countries worldwide. Constituents of the Index are screened on liquidity, size and revenue.
Dow Jones Brookfield Global Infrastructure Index intends to measure the stock performance of pure-play infrastructure companies domiciled globally. The index covers all sectors of the infrastructure market. Components are required to have more than 70% of cash flows derived from infrastructure lines of business.
J.P. Morgan Emerging Market Bond Index – Global Diversified Index is an unmanaged index of external debt instruments of emerging countries. The index is positioned as the investable benchmark that includes only those countries that are accessible by most of the international investor base and is popular largely due to its diversification weighting scheme and country coverage.
J.P. Morgan Government Bond Index – Emerging Markets Global Diversified Index is an unmanaged index of debt instruments issued by emerging markets governments in local currency. As emerging markets look increasingly toward their domestic market for sources of finance, investors are looking more closely at local markets in search for higher yield and greater diversification.
MSCI EAFE Small Cap Index is an equity index that captures small-cap representation across 21 developed markets countries around the world, excluding the U.S. and Canada. The index covers approximately 14% of the free float-adjusted market capitalization in each country. Developed markets countries in the index include Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and the U.K.
MSCI Emerging Markets Index captures large-cap and mid-cap representation across 24 emerging markets countries. The index covers approximately 85% of the free float-adjusted market capitalization in each country.
It is not possible to invest directly in an unmanaged index.
32
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
June 30, 2018 (Unaudited)
Shares | Description | Value | ||||||
Underlying Funds(a) – 93.5% | ||||||||
Dynamic – 15.2% | ||||||||
984,892 | Goldman Sachs Alternative Premia Fund – Class R6 | $ | 8,795,082 | |||||
1,887,218 | Goldman Sachs Managed Futures Strategy Fund – Class R6 | 19,249,620 | ||||||
5,347,757 | Goldman Sachs Tactical Exposure Fund – Class R6 | 51,284,994 | ||||||
|
| |||||||
79,329,696 | ||||||||
|
| |||||||
Equity – 25.7% | ||||||||
4,794,515 | Goldman Sachs Emerging Markets Equity Insights Fund – Class R6 | 47,897,205 | ||||||
2,007,989 | Goldman Sachs International Equity Insights Fund – Class R6 | 26,786,568 | ||||||
1,398,064 | Goldman Sachs Global Real Estate Securities Fund – Class R6 | 14,777,532 | ||||||
1,142,648 | Goldman Sachs Global Infrastructure Fund – Class R6 | 12,020,652 | ||||||
416,941 | Goldman Sachs Large Cap Value Insights Fund – Class R6 | 9,126,847 | ||||||
313,670 | Goldman Sachs Small Cap Equity Insights Fund – Class R6 | 9,043,120 | ||||||
245,861 | Goldman Sachs Large Cap Growth Insights Fund – Class R6 | 8,078,992 | ||||||
482,913 | Goldman Sachs International Small Cap Insights Fund – Class R6 | 6,065,385 | ||||||
|
| |||||||
133,796,301 | ||||||||
|
| |||||||
Exchange Traded Funds – 16.4% | ||||||||
607,802 | Goldman Sachs Access Investment Grade Corporate Bond ETF | 29,134,685 | ||||||
382,232 | Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | 20,927,202 | ||||||
547,053 | Goldman Sachs ActiveBeta International Equity ETF | 16,072,417 | ||||||
279,371 | Goldman Sachs Access High Yield Corporate Bond ETF | 13,475,935 | ||||||
179,877 | Goldman Sachs ActiveBeta Emerging Markets Equity ETF | 5,968,319 | ||||||
|
| |||||||
85,578,558 | ||||||||
|
| |||||||
Fixed Income – 36.2% | ||||||||
9,366,241 | Goldman Sachs Global Income Fund – Class R6 | 112,956,864 | ||||||
3,567,052 | Goldman Sachs Emerging Markets Debt Fund – Class R6 | 42,126,889 | ||||||
3,416,483 | Goldman Sachs Local Emerging Markets Debt Fund – Class R6 | 19,815,600 | ||||||
2,142,506 | Goldman Sachs High Yield Fund – Class R6 | 13,562,061 | ||||||
|
| |||||||
188,461,414 | ||||||||
|
| |||||||
TOTAL UNDERLYING FUNDS – 93.5% | ||||||||
(Cost $504,710,507) | $ | 487,165,969 | ||||||
|
| |||||||
Shares | Distribution Rate | Value | ||||||
Investment Company(a) – 3.7% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
19,465,467 | 1.869% | $ | 19,465,467 | |||||
(Cost $19,465,467) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 97.2% | ||||||||
(Cost $524,175,974) | $ | 506,631,436 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 2.8% | 14,361,697 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 520,993,133 | ||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
(a) | Represents affiliated funds. |
| ||||
Investment Abbreviations: | ||||
ETF | —Exchange Traded Fund | |||
PLC | —Public Limited Company | |||
|
The accompanying notes are an integral part of these financial statements. | 33 |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30, 2018, 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 | |||||||||||||||||||
MS & Co. Int. PLC | USD | 6,699,862 | GBP | 4,970,000 | $ | 6,582,761 | 09/19/18 | $ | 117,100 | |||||||||||||||
USD | 12,323,645 | EUR | 10,380,000 | 12,195,759 | 09/19/18 | 127,886 | ||||||||||||||||||
USD | 63,361 | NZD | 90,000 | 60,962 | 09/19/18 | 2,399 | ||||||||||||||||||
USD | 987,407 | SEK | 8,550,000 | 960,498 | 09/19/18 | 26,909 | ||||||||||||||||||
USD | 101,567 | ILS | 360,000 | 98,976 | 09/20/18 | 2,591 | ||||||||||||||||||
USD | 511,639 | SGD | 680,000 | 499,948 | 09/19/18 | 11,691 | ||||||||||||||||||
USD | 2,578,303 | AUD | 3,360,000 | 2,487,178 | 09/19/18 | 91,124 | ||||||||||||||||||
USD | 9,221,559 | JPY | 1,008,000,000 | 9,155,916 | 09/19/18 | 65,644 | ||||||||||||||||||
USD | 260,924 | NOK | 2,100,000 | 258,677 | 09/19/18 | 2,246 | ||||||||||||||||||
USD | 2,908,629 | CHF | 2,840,000 | 2,887,901 | 09/19/18 | 20,728 | ||||||||||||||||||
USD | 651,056 | DKK | 4,080,000 | 643,608 | 09/19/18 | 7,448 | ||||||||||||||||||
USD | 1,285,408 | HKD | 10,070,000 | 1,285,261 | 09/19/18 | 147 | ||||||||||||||||||
TOTAL | $ | 475,913 |
FUTURES CONTRACTS — At June 30, 2018, the Portfolio had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||
Long position contracts: |
| |||||||||||||
S&P 500 E-Mini Index | 198 | 09/21/18 | $ | 26,943,840 | $ | (568,955 | ) | |||||||
Short position contracts: |
| |||||||||||||
Eurodollars | (814 | ) | 03/16/20 | (197,435,700 | ) | 1,961,919 | ||||||||
Euro Buxl 30 Year Bonds | (85 | ) | 09/06/18 | (17,639,035 | ) | (258,569 | ) | |||||||
Total | $ | 1,703,350 | ||||||||||||
TOTAL | $ | 1,134,395 |
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At June 30, 2018, the Portfolio had the following purchased and written options:
EXCHANGE TRADED OPTIONS ON FUTURES
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Portfolio | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
Purchased option contracts |
| |||||||||||||||||||||||||
Calls |
| |||||||||||||||||||||||||
Eurodollar Futures | 97.00 | 09/14/2020 | 81 | $ | 202,500 | $ | 78,468 | $ | 72,075 | $ | 6,393 | |||||||||||||||
Eurodollar Futures | 97.00 | 06/15/2020 | 111 | 277,500 | 96,431 | 90,445 | 5,986 | |||||||||||||||||||
Eurodollar Futures | 96.50 | 09/17/2018 | 87 | 217,500 | 227,287 | 223,139 | 4,148 | |||||||||||||||||||
Eurodollar Futures | 96.50 | 03/18/2019 | 39 | 97,500 | 72,150 | 71,266 | 884 | |||||||||||||||||||
Eurodollar Futures | 96.50 | 12/17/2018 | 35 | 87,500 | 75,250 | 74,456 | 794 | |||||||||||||||||||
Eurodollar Futures | 97.00 | 09/17/2018 | 117 | 292,500 | 159,412 | 174,009 | (14,597 | ) | ||||||||||||||||||
Eurodollar Futures | 97.38 | 09/17/2018 | 157 | 392,500 | 67,707 | 281,988 | (214,281 | ) | ||||||||||||||||||
Eurodollar Futures | 97.25 | 12/17/2018 | 85 | 212,500 | 31,344 | 116,634 | (85,290 | ) |
34 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
ADDITIONAL INVESTMENT INFORMATION (continued) |
EXCHANGE TRADED OPTIONS ON FUTURES (continued)
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Portfolio | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
Purchased option contracts (continued) |
| |||||||||||||||||||||||||
Calls (continued) |
| |||||||||||||||||||||||||
Eurodollar Futures | 99.00 | 12/17/2018 | 2,824 | $ | 7,060,000 | $ | 17,651 | $ | 218,324 | $ | (200,673 | ) | ||||||||||||||
Eurodollar Futures | 97.13 | 03/18/2019 | 222 | 555,000 | 106,837 | 407,663 | (300,826 | ) | ||||||||||||||||||
Eurodollar Futures | 99.00 | 03/18/2019 | 2,098 | 5,245,000 | 13,112 | 214,646 | (201,534 | ) | ||||||||||||||||||
Eurodollar Futures | 96.88 | 06/17/2019 | 289 | 722,500 | 236,619 | 544,807 | (308,188 | ) | ||||||||||||||||||
Eurodollar Futures | 99.00 | 06/17/2019 | 1,149 | 2,872,500 | 7,181 | 146,279 | (139,098 | ) | ||||||||||||||||||
Eurodollar Futures | 96.75 | 09/16/2019 | 286 | 715,000 | 289,575 | 633,649 | (344,074 | ) | ||||||||||||||||||
Eurodollar Futures | 97.75 | 09/16/2019 | 119 | 297,500 | 19,338 | 58,900 | (39,562 | ) | ||||||||||||||||||
Eurodollar Futures | 96.50 | 12/16/2019 | 172 | 430,000 | 251,550 | 334,861 | (83,311 | ) | ||||||||||||||||||
Eurodollar Futures | 96.00 | 03/16/2020 | 101 | 252,500 | 258,182 | 258,184 | (2 | ) | ||||||||||||||||||
TOTAL | $ | 19,930,000 | $ | 2,008,094 | $ | 3,921,325 | $ | (1,913,231 | ) |
EXCHANGE TRADED OPTIONS ON EQUITIES
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Portfolio | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
Written option contracts |
| |||||||||||||||||||||||||
Calls |
| |||||||||||||||||||||||||
S&P 500 Index | 2,800.00 | 08/31/2018 | (2 | ) | $ | (200 | ) | $ | (4,360 | ) | $ | (3,798 | ) | $ | (562 | ) | ||||||||||
S&P 500 Index | 2,840.00 | 08/31/2018 | (1 | ) | (100 | ) | (910 | ) | (1,849 | ) | 939 | |||||||||||||||
S&P 500 Index | 2,870.00 | 08/31/2018 | (1 | ) | (100 | ) | (370 | ) | (1,739 | ) | 1,369 | |||||||||||||||
S&P 500 Index | 2,760.00 | 07/31/2018 | (6 | ) | (600 | ) | (12,965 | ) | (12,965 | ) | — | |||||||||||||||
S&P 500 Index | 2,765.00 | 07/31/2018 | (8 | ) | (800 | ) | (13,936 | ) | (18,110 | ) | 4,174 | |||||||||||||||
S&P 500 Index | 2,770.00 | 07/25/2018 | (7 | ) | (700 | ) | (9,170 | ) | (8,959 | ) | (211 | ) | ||||||||||||||
S&P 500 Index | 2,770.00 | 07/31/2018 | (6 | ) | (600 | ) | (9,717 | ) | (9,717 | ) | — | |||||||||||||||
S&P 500 Index | 2,775.00 | 07/31/2018 | (6 | ) | (600 | ) | (9,261 | ) | (9,261 | ) | — | |||||||||||||||
S&P 500 Index | 2,780.00 | 07/31/2018 | (6 | ) | (600 | ) | (7,544 | ) | (7,544 | ) | — | |||||||||||||||
S&P 500 Index | 2,790.00 | 07/03/2018 | (7 | ) | (700 | ) | (70 | ) | (10,542 | ) | 10,472 | |||||||||||||||
S&P 500 Index | 2,795.00 | 07/31/2018 | (1 | ) | (100 | ) | (720 | ) | (2,288 | ) | 1,568 | |||||||||||||||
S&P 500 Index | 2,800.00 | 07/31/2018 | (2 | ) | (200 | ) | (1,400 | ) | (3,438 | ) | 2,038 | |||||||||||||||
S&P 500 Index | 2,805.00 | 07/18/2018 | (7 | ) | (700 | ) | (1,400 | ) | (7,948 | ) | 6,548 | |||||||||||||||
S&P 500 Index | 2,815.00 | 07/31/2018 | (3 | ) | (300 | ) | (1,800 | ) | (5,192 | ) | 3,392 | |||||||||||||||
S&P 500 Index | 2,825.00 | 07/11/2018 | (7 | ) | (700 | ) | (210 | ) | (6,217 | ) | 6,007 | |||||||||||||||
S&P 500 Index | 2,845.00 | 07/31/2018 | (1 | ) | (100 | ) | (140 | ) | (1,282 | ) | 1,142 | |||||||||||||||
$ | (7,100 | ) | $ | (73,973 | ) | $ | (110,849 | ) | $ | 36,876 | ||||||||||||||||
Puts |
| |||||||||||||||||||||||||
S&P 500 Index | 2,650.00 | 08/31/2018 | (2 | ) | (200 | ) | (7,380 | ) | (8,887 | ) | 1,507 | |||||||||||||||
S&P 500 Index | 2,700.00 | 08/31/2018 | (1 | ) | (100 | ) | (4,380 | ) | (3,180 | ) | (1,200 | ) | ||||||||||||||
S&P 500 Index | 2,730.00 | 08/31/2018 | (1 | ) | (100 | ) | (5,580 | ) | (3,739 | ) | (1,841 | ) | ||||||||||||||
S&P 500 Index | 2,590.00 | 07/31/2018 | (1 | ) | (100 | ) | (920 | ) | (2,854 | ) | 1,934 | |||||||||||||||
S&P 500 Index | 2,625.00 | 07/31/2018 | (2 | ) | (200 | ) | (2,950 | ) | (5,117 | ) | 2,167 | |||||||||||||||
S&P 500 Index | 2,645.00 | 07/31/2018 | (1 | ) | (100 | ) | (1,567 | ) | (3,299 | ) | 1,732 | |||||||||||||||
S&P 500 Index | 2,650.00 | 07/31/2018 | (6 | ) | (600 | ) | (11,090 | ) | (11,090 | ) | — | |||||||||||||||
S&P 500 Index | 2,655.00 | 07/31/2018 | (6 | ) | (600 | ) | (11,607 | ) | (11,607 | ) | — | |||||||||||||||
S&P 500 Index | 2,660.00 | 07/31/2018 | (6 | ) | (600 | ) | (11,895 | ) | (11,895 | ) | — | |||||||||||||||
S&P 500 Index | 2,665.00 | 07/31/2018 | (6 | ) | (600 | ) | (12,821 | ) | (12,821 | ) | — | |||||||||||||||
S&P 500 Index | 2,670.00 | 07/31/2018 | (8 | ) | (800 | ) | (18,264 | ) | (19,345 | ) | 1,081 | |||||||||||||||
S&P 500 Index | 2,675.00 | 07/25/2018 | (7 | ) | (700 | ) | (13,090 | ) | (21,070 | ) | 7,980 |
The accompanying notes are an integral part of these financial statements. | 35 |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
EXCHANGE TRADED OPTIONS ON EQUITIES (continued)
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Portfolio | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
Written option contracts (continued) |
| |||||||||||||||||||||||||
Puts (continued) |
| |||||||||||||||||||||||||
S&P 500 Index | 2,700.00 | 07/31/2018 | (2 | ) | $ | (200 | ) | $ | (5,000 | ) | $ | (4,525 | ) | $ | (475 | ) | ||||||||||
S&P 500 Index | 2,715.00 | 07/03/2018 | (7 | ) | (700 | ) | (6,930 | ) | (8,361 | ) | 1,431 | |||||||||||||||
S&P 500 Index | 2,720.00 | 07/31/2018 | (1 | ) | (100 | ) | (3,650 | ) | (2,136 | ) | (1,514 | ) | ||||||||||||||
S&P 500 Index | 2,725.00 | 07/18/2018 | (7 | ) | (700 | ) | (16,730 | ) | (10,818 | ) | (5,912 | ) | ||||||||||||||
S&P 500 Index | 2,745.00 | 07/31/2018 | (1 | ) | (100 | ) | (3,663 | ) | (2,609 | ) | (1,054 | ) | ||||||||||||||
S&P 500 Index | 2,755.00 | 07/11/2018 | (7 | ) | (700 | ) | (22,435 | ) | (12,965 | ) | (9,470 | ) | ||||||||||||||
(72 | ) | $ | (7,200 | ) | $ | (159,952 | ) | $ | (156,318 | ) | $ | (3,634 | ) | |||||||||||||
TOTAL | $ | (14,300 | ) | $ | (233,925 | ) | $ | (267,167 | ) | $ | 33,242 |
| ||||
Abbreviations: | ||||
MS & Co. Int. PLC—Morgan Stanley & Co. International PLC | ||||
|
36 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS EQUITY GROWTH STRATEGY PORTFOLIO
Schedule of Investments
June 30, 2018 (Unaudited)
Shares | Description | Value | ||||||
Underlying Funds(a) – 95.0% | ||||||||
Equity – 72.9% | ||||||||
6,150,779 | Goldman Sachs Emerging Markets Equity Insights Fund – Class R6 | $ | 61,446,281 | |||||
3,629,094 | Goldman Sachs International Equity Insights Fund – Class R6 | 48,412,117 | ||||||
1,262,417 | Goldman Sachs Large Cap Growth Insights Fund – Class R6 | 41,483,013 | ||||||
1,861,229 | Goldman Sachs Large Cap Value Insights Fund – Class R6 | 40,742,313 | ||||||
2,095,796 | Goldman Sachs Global Real Estate Securities Fund – Class R6 | 22,152,562 | ||||||
701,439 | Goldman Sachs Small Cap Equity Insights Fund – Class R6 | 20,222,476 | ||||||
979,831 | Goldman Sachs International Small Cap Insights Fund – Class R6 | 12,306,676 | ||||||
|
| |||||||
246,765,438 | ||||||||
|
| |||||||
Exchange Traded Funds – 22.1% | ||||||||
595,100 | Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | 32,581,725 | ||||||
690,133 | Goldman Sachs ActiveBeta Emerging Markets Equity ETF | 22,898,613 | ||||||
657,245 | Goldman Sachs ActiveBeta International Equity ETF | 19,309,858 | ||||||
|
| |||||||
74,790,196 | ||||||||
|
| |||||||
TOTAL UNDERLYING FUNDS – 95.0% | ||||||||
(Cost $274,614,540) | $ | 321,555,634 | ||||||
|
| |||||||
Shares | Distribution Rate | Value | ||||||
Investment Company(a) – 2.9% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
9,748,819 | 1.869% | $ | 9,748,819 | |||||
(Cost $9,748,819) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 97.9% | ||||||||
(Cost $284,363,359) | $ | 331,304,453 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 2.1% | 7,080,756 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 338,385,209 | ||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
(a) | Represents affiliated funds. |
|
Investment Abbreviations: | ||||
ETF | —Exchange Traded Fund | |||
PLC | —Public Limited Company | |||
|
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At June 30, 2018, the Portfolio had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
DEDA Index — Euro Stoxx 50 Index | 188 | 12/18/20 | $ | 2,742,135 | $ | (75,329 | ) | |||||||||
FTSE China A50 Index | 82 | 07/30/18 | 945,460 | (40,020 | ) | |||||||||||
Kospi 200 Index | 26 | 09/13/18 | 1,749,664 | (105,331 | ) | |||||||||||
Mini MSCI EAFE Index | 13 | 09/21/18 | 1,271,010 | (36,324 | ) | |||||||||||
MSCI Emerging Markets Index | 27 | 09/21/18 | 1,435,455 | (115,818 | ) | |||||||||||
S&P 500 E-Mini Index | 113 | 09/21/18 | 15,377,040 | (321,030 | ) | |||||||||||
Topix Index | 16 | 09/13/18 | 2,500,835 | (59,723 | ) | |||||||||||
Total |
| $ | (753,575 | ) | ||||||||||||
Short position contracts: | ||||||||||||||||
Euro Stoxx 50 Index | (18 | ) | 09/21/18 | (712,802 | ) | 10,844 | ||||||||||
TOTAL | $ | (742,731 | ) |
The accompanying notes are an integral part of these financial statements. | 37 |
GOLDMAN SACHS EQUITY GROWTH STRATEGY PORTFOLIO
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
WRITTEN OPTIONS CONTRACTS — At June 30, 2018, the Portfolio had the following written and purchased options:
OVER-THE-COUNTER OPTIONS ON EQUITIES
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Portfolio | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Written option contracts | ||||||||||||||||||||||||||||||
Puts | ||||||||||||||||||||||||||||||
S&P 500 Flex Index | Barclays Bank PLC | 2,757.23 | 07/18/2018 | (6 | ) | $ | (600 | ) | $ | (29,775 | ) | $ | (13,818 | ) | $ | (15,957 | ) |
38 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Schedule of Investments
June 30, 2018 (Unaudited)
Shares | Description | Value | ||||||
Underlying Funds(a) – 92.8% | ||||||||
Dynamic – 15.2% | ||||||||
10,063,340 | Goldman Sachs Tactical Exposure Fund – Class R6 | $ | 96,507,431 | |||||
2,534,076 | Goldman Sachs Managed Futures Strategy Fund – Class R6 | 25,847,572 | ||||||
2,873,248 | Goldman Sachs Alternative Premia Fund – Class R6 | 25,658,102 | ||||||
|
| |||||||
148,013,105 | ||||||||
|
| |||||||
Equity – 43.2% | ||||||||
12,328,504 | Goldman Sachs Emerging Markets Equity Insights Fund – Class R6 | 123,161,757 | ||||||
6,963,933 | Goldman Sachs International Equity Insights Fund – Class R6 | 92,898,864 | ||||||
2,228,199 | Goldman Sachs Large Cap Value Insights Fund – Class R6 | 48,775,276 | ||||||
1,433,098 | Goldman Sachs Large Cap Growth Insights Fund – Class R6 | 47,091,587 | ||||||
3,816,322 | Goldman Sachs Global Real Estate Securities Fund – Class R6 | 40,338,524 | ||||||
3,083,986 | Goldman Sachs Global Infrastructure Fund – Class R6 | 32,443,528 | ||||||
742,359 | Goldman Sachs Small Cap Equity Insights Fund – Class R6 | 21,402,201 | ||||||
1,128,916 | Goldman Sachs International Small Cap Insights Fund – Class R6 | 14,179,181 | ||||||
|
| |||||||
420,290,918 | ||||||||
|
| |||||||
Exchange Traded Funds – 18.0% | ||||||||
1,270,813 | Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | 69,577,012 | ||||||
1,732,705 | Goldman Sachs ActiveBeta International Equity ETF | 50,906,873 | ||||||
750,697 | Goldman Sachs ActiveBeta Emerging Markets Equity ETF | 24,908,126 | ||||||
417,545 | Goldman Sachs Access Investment Grade Corporate Bond ETF | 20,014,811 | ||||||
207,275 | Goldman Sachs Access High Yield Corporate Bond ETF | 9,998,262 | ||||||
|
| |||||||
175,405,084 | ||||||||
|
| |||||||
Fixed Income – 16.4% | ||||||||
6,834,015 | Goldman Sachs Global Income Fund – Class R6 | 82,418,215 | ||||||
4,061,581 | Goldman Sachs Emerging Markets Debt Fund – Class R6 | 47,967,273 | ||||||
3,238,779 | Goldman Sachs Local Emerging Markets Debt Fund – Class R6 | 18,784,916 | ||||||
1,747,737 | Goldman Sachs High Yield Fund – Class R6 | 11,063,173 | ||||||
|
| |||||||
160,233,577 | ||||||||
|
| |||||||
TOTAL UNDERLYING FUNDS – 92.8% | ||||||||
(Cost $889,663,739) | $ | 903,942,684 | ||||||
|
| |||||||
Shares | Distribution Rate | Value | ||||||
Investment Company(a) – 4.1% | ||||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares | ||||||||
40,112,977 | 1.869% | $ | 40,112,977 | |||||
(Cost $40,112,977) | ||||||||
| ||||||||
TOTAL INVESTMENTS – 96.9% | ||||||||
(Cost $929,776,716) | $ | 944,055,661 | ||||||
| ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 3.1% | 29,798,400 | |||||||
| ||||||||
NET ASSETS – 100.0% | $ | 973,854,061 | ||||||
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
(a) | Represents affiliated funds. |
|
Investment Abbreviations: | ||||
ETF | —Exchange Traded Fund | |||
PLC | —Public Limited Company | |||
|
The accompanying notes are an integral part of these financial statements. | 39 |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30, 2018, 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 | |||||||||||||||||||
MS & Co. Int. PLC | USD | 5,125,911 | AUD | 6,680,000 | $ | 4,944,748 | 09/19/18 | $ | 181,164 | |||||||||||||||
USD | 515,635 | NOK | 4,150,000 | 511,195 | 09/19/18 | 4,439 | ||||||||||||||||||
USD | 18,333,339 | JPY | 2,004,000,000 | 18,202,832 | 09/19/18 | 130,506 | ||||||||||||||||||
USD | 5,786,533 | CHF | 5,650,000 | 5,745,295 | 09/19/18 | 41,238 | ||||||||||||||||||
USD | 13,312,099 | GBP | 9,875,000 | 13,079,430 | 09/19/18 | 232,669 | ||||||||||||||||||
USD | 24,504,819 | EUR | 20,640,000 | 24,250,526 | 09/19/18 | 254,294 | ||||||||||||||||||
USD | 126,722 | NZD | 180,000 | 121,924 | 09/19/18 | 4,798 | ||||||||||||||||||
USD | 1,957,491 | SEK | 16,950,000 | 1,904,145 | 09/19/18 | 53,346 | ||||||||||||||||||
USD | 1,292,537 | DKK | 8,100,000 | 1,277,752 | 09/19/18 | 14,785 | ||||||||||||||||||
USD | 191,849 | ILS | 680,000 | 186,954 | 09/20/18 | 4,895 | ||||||||||||||||||
USD | 1,015,754 | SGD | 1,350,000 | 992,544 | 09/19/18 | 23,210 | ||||||||||||||||||
USD | 2,554,221 | HKD | 20,010,000 | 2,553,931 | 09/19/18 | 290 | ||||||||||||||||||
TOTAL | $ | 945,634 |
FUTURES CONTRACTS — At June 30, 2018, the Portfolio had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
S&P 500 E-Mini Index | 367 | 09/21/18 | $ | 49,941,360 | $ | (1,054,561 | ) | |||||||||
Short position contracts: | ||||||||||||||||
Eurodollars | (1,911 | ) | 03/16/20 | (463,513,050 | ) | 4,584,796 | ||||||||||
Euro Buxl 30 Year Bonds | (193 | ) | 09/06/18 | (40,050,986 | ) | (586,098 | ) | |||||||||
Total | $ | 3,998,698 | ||||||||||||||
TOTAL | $ | 2,944,137 |
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At June 30, 2018, the Portfolio had the following written and purchased options:
EXCHANGE TRADED OPTIONS ON FUTURES
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Portfolio | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
Purchased option contracts | ||||||||||||||||||||||||||
Calls | ||||||||||||||||||||||||||
Eurodollar Futures | 97.00 | 09/17/2018 | 374 | $ | 935,000 | $ | 509,575 | $ | 541,630 | $ | (32,055 | ) | ||||||||||||||
Eurodollar Futures | 97.38 | 09/17/2018 | 263 | 657,500 | 113,419 | 542,608 | (429,189 | ) | ||||||||||||||||||
Eurodollar Futures | 97.25 | 12/17/2018 | 111 | 277,500 | 40,931 | 179,244 | (138,313 | ) | ||||||||||||||||||
Eurodollar Futures | 99.00 | 12/17/2018 | 5,800 | 14,500,000 | 36,250 | 448,398 | (412,148 | ) | ||||||||||||||||||
Eurodollar Futures | 97.13 | 03/18/2019 | 519 | 1,297,500 | 249,769 | 965,751 | (715,982 | ) | ||||||||||||||||||
Eurodollar Futures | 99.00 | 03/18/2019 | 4,310 | 10,800,000 | 26,937 | 440,956 | (414,019 | ) | ||||||||||||||||||
Eurodollar Futures | 96.88 | 06/17/2019 | 712 | 1,780,000 | 582,950 | 1,256,411 | (673,461 | ) | ||||||||||||||||||
Eurodollar Futures | 97.00 | 06/15/2020 | 314 | 785,000 | 272,787 | 255,853 | 16,934 |
40 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
ADDITIONAL INVESTMENT INFORMATION (continued) |
EXCHANGE TRADED OPTIONS ON FUTURES (continued)
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Portfolio | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
Purchased option contracts (continued) | ||||||||||||||||||||||||||
Calls (continued) | ||||||||||||||||||||||||||
Eurodollar Futures | 99.00 | 06/17/2019 | 2,363 | $ | 5,907,500 | $ | 14,769 | $ | 300,834 | $ | (286,065 | ) | ||||||||||||||
Eurodollar Futures | 96.75 | 09/16/2019 | 676 | 1,690,000 | 684,450 | 1,378,140 | (693,690 | ) | ||||||||||||||||||
Eurodollar Futures | 96.50 | 12/17/2018 | 98 | 245,000 | 210,700 | 208,477 | 2,223 | |||||||||||||||||||
Eurodollar Futures | 97.00 | 09/14/2020 | 230 | 575,000 | 222,813 | 204,659 | 18,154 | |||||||||||||||||||
Eurodollar Futures | 96.50 | 03/18/2019 | 111 | 277,500 | 205,351 | 202,833 | 2,518 | |||||||||||||||||||
Eurodollar Futures | 97.75 | 09/16/2019 | 155 | 387,500 | 25,187 | 97,233 | (72,046 | ) | ||||||||||||||||||
Eurodollar Futures | 96.50 | 12/16/2019 | 417 | 1,042,500 | 609,862 | 737,629 | (127,767 | ) | ||||||||||||||||||
Eurodollar Futures | 96.50 | 09/17/2018 | 247 | 617,500 | 645,288 | 633,511 | 11,777 | |||||||||||||||||||
Eurodollar Futures | 96.00 | 03/16/2020 | 312 | 780,000 | 797,550 | 782,461 | 15,089 | |||||||||||||||||||
TOTAL | 17,012 | $ | 42,555,000 | $ | 5,248,588 | $ | 9,176,628 | $ | (3,928,040 | ) |
EXCHANGE TRADED OPTIONS ON EQUITIES
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Portfolio | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
Written option contracts | ||||||||||||||||||||||||||
Calls | ||||||||||||||||||||||||||
S&P 500 Index | 2,800.00 | 08/31/2018 | (5 | ) | $ | (500 | ) | $ | (10,900 | ) | $ | (9,494 | ) | $ | (1,406 | ) | ||||||||||
S&P 500 Index | 2,790.00 | 07/03/2018 | (18 | ) | (1,800 | ) | (180 | ) | (27,107 | ) | 26,927 | |||||||||||||||
S&P 500 Index | 2,830.00 | 08/31/2018 | (1 | ) | (100 | ) | (1,220 | ) | (2,579 | ) | 1,359 | |||||||||||||||
S&P 500 Index | 2,840.00 | 08/31/2018 | (3 | ) | (300 | ) | (2,730 | ) | (5,546 | ) | 2,816 | |||||||||||||||
S&P 500 Index | 2,870.00 | 08/31/2018 | (2 | ) | (200 | ) | (740 | ) | (3,479 | ) | 2,739 | |||||||||||||||
S&P 500 Index | 2,780.00 | 07/31/2018 | (15 | ) | (1,500 | ) | (18,860 | ) | (18,860 | ) | — | |||||||||||||||
S&P 500 Index | 2,770.00 | 07/31/2018 | (15 | ) | (1,500 | ) | (24,293 | ) | (24,293 | ) | — | |||||||||||||||
S&P 500 Index | 2,765.00 | 07/31/2018 | (21 | ) | (2,100 | ) | (36,582 | ) | (46,237 | ) | 9,655 | |||||||||||||||
S&P 500 Index | 2,760.00 | 07/31/2018 | (15 | ) | (1,500 | ) | (32,413 | ) | (32,413 | ) | — | |||||||||||||||
S&P 500 Index | 2,770.00 | 07/25/2018 | (18 | ) | (1,800 | ) | (23,580 | ) | (23,038 | ) | (542 | ) | ||||||||||||||
S&P 500 Index | 2,775.00 | 07/31/2018 | (16 | ) | (1,600 | ) | (21,760 | ) | (24,679 | ) | 2,919 | |||||||||||||||
S&P 500 Index | 2,795.00 | 07/31/2018 | (3 | ) | (300 | ) | (2,160 | ) | (6,864 | ) | 4,704 | |||||||||||||||
S&P 500 Index | 2,800.00 | 07/31/2018 | (4 | ) | (400 | ) | (2,800 | ) | (6,877 | ) | 4,077 | |||||||||||||||
S&P 500 Index | 2,805.00 | 07/18/2018 | (18 | ) | (1,800 | ) | (3,601 | ) | (20,438 | ) | 16,837 | |||||||||||||||
S&P 500 Index | 2,815.00 | 07/31/2018 | (7 | ) | (700 | ) | (4,200 | ) | (12,276 | ) | 8,076 | |||||||||||||||
S&P 500 Index | 2,825.00 | 07/11/2018 | (18 | ) | (1,800 | ) | (540 | ) | (15,987 | ) | 15,447 | |||||||||||||||
S&P 500 Index | 2,845.00 | 07/31/2018 | (3 | ) | (300 | ) | (419 | ) | (3,845 | ) | 3,426 | |||||||||||||||
(182 | ) | $ | (18,200 | ) | $ | (186,978 | ) | $ | (284,012 | ) | $ | 97,034 | ||||||||||||||
Puts | ||||||||||||||||||||||||||
S&P 500 Index | 2,650.00 | 08/31/2018 | (5 | ) | (500 | ) | (18,450 | ) | (22,218 | ) | 3,768 | |||||||||||||||
S&P 500 Index | 2,660.00 | 07/31/2018 | (15 | ) | (1,500 | ) | (29,736 | ) | (29,736 | ) | — | |||||||||||||||
S&P 500 Index | 2,650.00 | 07/31/2018 | (15 | ) | (1,500 | ) | (27,726 | ) | (27,726 | ) | — | |||||||||||||||
S&P 500 Index | 2,655.00 | 07/31/2018 | (15 | ) | (1,500 | ) | (29,019 | ) | (29,019 | ) | — | |||||||||||||||
S&P 500 Index | 2,665.00 | 07/31/2018 | (15 | ) | (1,500 | ) | (32,052 | ) | (32,052 | ) | — | |||||||||||||||
S&P 500 Index | 2,715.00 | 07/03/2018 | (18 | ) | (1,800 | ) | (17,820 | ) | (21,500 | ) | 3,680 | |||||||||||||||
S&P 500 Index | 2,680.00 | 08/31/2018 | (1 | ) | (100 | ) | (3,665 | ) | (3,389 | ) | (276 | ) | ||||||||||||||
S&P 500 Index | 2,700.00 | 08/31/2018 | (3 | ) | (300 | ) | (13,140 | ) | (9,539 | ) | (3,601 | ) | ||||||||||||||
S&P 500 Index | 2,730.00 | 08/31/2018 | (2 | ) | (200 | ) | (11,160 | ) | (7,479 | ) | (3,681 | ) | ||||||||||||||
S&P 500 Index | 2,590.00 | 07/31/2018 | (1 | ) | (100 | ) | (920 | ) | (2,854 | ) | 1,934 |
The accompanying notes are an integral part of these financial statements. | 41 |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
EXCHANGE TRADED OPTIONS ON EQUITIES (continued)
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Portfolio | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
Written option contracts (continued) | ||||||||||||||||||||||||||
Puts (continued) | ||||||||||||||||||||||||||
S&P 500 Index | 2,625.00 | 07/31/2018 | (5 | ) | $ | (500 | ) | $ | (7,375 | ) | $ | (12,792 | ) | $ | 5,417 | |||||||||||
S&P 500 Index | 2,645.00 | 07/31/2018 | (3 | ) | (300 | ) | (4,701 | ) | (9,897 | ) | 5,196 | |||||||||||||||
S&P 500 Index | 2,670.00 | 07/31/2018 | (20 | ) | (2,000 | ) | (45,660 | ) | (48,137 | ) | 2,477 | |||||||||||||||
S&P 500 Index | 2,675.00 | 07/25/2018 | (18 | ) | (1,800 | ) | (33,660 | ) | (54,178 | ) | 20,518 | |||||||||||||||
S&P 500 Index | 2,700.00 | 07/31/2018 | (5 | ) | (500 | ) | (12,500 | ) | (11,312 | ) | (1,188 | ) | ||||||||||||||
S&P 500 Index | 2,720.00 | 07/31/2018 | (2 | ) | (200 | ) | (7,300 | ) | (4,273 | ) | (3,027 | ) | ||||||||||||||
S&P 500 Index | 2,725.00 | 07/18/2018 | (18 | ) | (1,800 | ) | (43,019 | ) | (27,817 | ) | (15,202 | ) | ||||||||||||||
S&P 500 Index | 2,745.00 | 07/31/2018 | (3 | ) | (300 | ) | (10,989 | ) | (7,828 | ) | (3,161 | ) | ||||||||||||||
S&P 500 Index | 2,755.00 | 07/11/2018 | (18 | ) | (1,800 | ) | (57,691 | ) | (33,339 | ) | (24,352 | ) | ||||||||||||||
(182 | ) | $ | (18,200 | ) | $ | (406,583 | ) | $ | (395,085 | ) | $ | (11,498 | ) | |||||||||||||
TOTAL | (364 | ) | $ | (36,400 | ) | $ | (593,561 | ) | $ | (679,097 | ) | $ | 85,536 |
| ||
Abbreviations: | ||
MS & Co. Int. PLC—Morgan Stanley & Co. International PLC | ||
|
42 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Schedule of Investments
June 30, 2018 (Unaudited)
Shares | Description | Value | ||||||
Underlying Funds(a) – 94.8% | ||||||||
Dynamic – 12.4% | ||||||||
9,160,174 | Goldman Sachs Tactical Exposure Fund – Class R6 | $ | 87,846,070 | |||||
1,262,986 | Goldman Sachs Alternative Premia Fund – Class R6 | 11,278,465 | ||||||
1,029,733 | Goldman Sachs Managed Futures Strategy Fund – Class R6 | 10,503,282 | ||||||
|
| |||||||
109,627,817 | ||||||||
|
| |||||||
Equity – 59.6% | ||||||||
17,152,118 | Goldman Sachs Emerging Markets Equity Insights Fund – Class R6 | 171,349,661 | ||||||
6,870,993 | Goldman Sachs International Equity Insights Fund – Class R6 | 91,659,043 | ||||||
6,107,448 | Goldman Sachs Global Real Estate Securities Fund – Class R6 | 64,555,727 | ||||||
1,555,808 | Goldman Sachs Large Cap Growth Insights Fund – Class R6 | 51,123,846 | ||||||
2,314,458 | Goldman Sachs Large Cap Value Insights Fund – Class R6 | 50,663,479 | ||||||
1,513,503 | Goldman Sachs Small Cap Equity Insights Fund – Class R6 | 43,634,282 | ||||||
2,310,260 | Goldman Sachs International Small Cap Insights Fund – Class R6 | 29,016,868 | ||||||
2,352,575 | Goldman Sachs Global Infrastructure Fund – Class R6 | 24,749,085 | ||||||
|
| |||||||
526,751,991 | ||||||||
|
| |||||||
Exchange Traded Funds – 19.0% | ||||||||
1,296,813 | Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | 71,000,512 | ||||||
1,702,719 | Goldman Sachs ActiveBeta International Equity ETF | 50,025,884 | ||||||
1,177,572 | Goldman Sachs ActiveBeta Emerging Markets Equity ETF | 39,071,839 | ||||||
165,161 | Goldman Sachs Access High Yield Corporate Bond ETF | 7,966,822 | ||||||
|
| |||||||
168,065,057 | ||||||||
|
| |||||||
Fixed Income – 3.8% | ||||||||
1,617,562 | Goldman Sachs Emerging Markets Debt Fund – Class R6 | 19,103,408 | ||||||
1,296,804 | Goldman Sachs High Yield Fund – Class R6 | 8,208,768 | ||||||
1,141,047 | Goldman Sachs Local Emerging Markets Debt Fund – Class R6 | 6,618,075 | ||||||
|
| |||||||
33,930,251 | ||||||||
|
| |||||||
TOTAL UNDERLYING FUNDS – 94.8% | ||||||||
(Cost $793,573,038) | $ | 838,375,116 | ||||||
|
| |||||||
Shares | Distribution Rate | Value | ||||||
Investment Company(a) – 2.6% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
22,390,064 | 1.869% | $ | 22,390,064 | |||||
(Cost $22,390,064) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 97.4% | ||||||||
(Cost $815,963,102) | $ | 860,765,180 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 2.6% | 23,371,860 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 884,137,040 | ||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
(a) | Represents affiliated funds. |
| ||||
Investment Abbreviations: | ||||
ETF | – Exchange Traded Fund | |||
|
The accompanying notes are an integral part of these financial statements. | 43 |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30, 2018, 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 | |||||||||||||||||||
MS & Co. Int. PLC | USD | 4,903,379 | AUD | 6,390,000 | $ | 4,730,081 | 09/19/18 | $ | 173,299 | |||||||||||||||
USD | 490,785 | NOK | 3,950,000 | 486,559 | 09/19/18 | 4,225 | ||||||||||||||||||
USD | 17,528,282 | JPY | 1,916,000,000 | 17,403,506 | 09/19/18 | 124,776 | ||||||||||||||||||
USD | 12,725,693 | GBP | 9,440,000 | 12,503,273 | 09/19/18 | 222,420 | ||||||||||||||||||
USD | 5,530,492 | CHF | 5,400,000 | 5,491,079 | 09/19/18 | 39,413 | ||||||||||||||||||
USD | 23,424,423 | EUR | 19,730,000 | 23,181,341 | 09/19/18 | 243,082 | ||||||||||||||||||
USD | 119,682 | NZD | 170,000 | 115,150 | 09/19/18 | 4,532 | ||||||||||||||||||
USD | 1,870,876 | SEK | 16,200,000 | 1,819,891 | 09/19/18 | 50,986 | ||||||||||||||||||
USD | 191,849 | ILS | 680,000 | 186,954 | 09/20/18 | 4,895 | ||||||||||||||||||
USD | 970,609 | SGD | 1,290,000 | 948,431 | 09/19/18 | 22,178 | ||||||||||||||||||
USD | 2,441,892 | HKD | 19,130,000 | 2,441,614 | 09/19/18 | 278 | ||||||||||||||||||
USD | 1,236,687 | DKK | 7,750,000 | 1,222,540 | 09/19/18 | 14,145 | ||||||||||||||||||
TOTAL | $ | 904,229 |
FUTURES CONTRACTS — At June 30, 2018, the Portfolio had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
S&P 500 E-Mini Index | 336 | 09/21/18 | $ | 45,722,880 | $ | (965,560 | ) | |||||||||
Short position contracts: | ||||||||||||||||
Euro Buxl 30 Year Bonds | (244 | ) | 09/06/18 | (50,634,407 | ) | (741,030 | ) | |||||||||
Eurodollars | (2,522 | ) | 03/16/20 | (611,711,100 | ) | 6,084,420 | ||||||||||
Total | $ | 5,343,390 | ||||||||||||||
TOTAL FUTURES CONTRACTS | $ | 4,377,830 |
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At June 30, 2018, the Portfolio had the following purchased and written options:
EXCHANGE TRADED OPTIONS ON FUTURES
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Portfolio | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
Purchased option contracts | ||||||||||||||||||||||||||||||
Calls | ||||||||||||||||||||||||||||||
Eurodollar Futures | 97.00 | 09/14/2020 | 307 | $ | 767,500 | $ | 297,407 | $ | 273,175 | $ | 24,232 | |||||||||||||||||||
Eurodollar Futures | 97.00 | 06/15/2020 | 419 | 1,047,500 | 364,007 | 341,410 | 22,597 | |||||||||||||||||||||||
Eurodollar Futures | 96.50 | 09/17/2018 | 329 | 822,500 | 859,513 | 843,826 | 15,687 | |||||||||||||||||||||||
Eurodollar Futures | 96.50 | 03/18/2019 | 149 | 372,500 | 275,650 | 272,271 | 3,379 | |||||||||||||||||||||||
Eurodollar Futures | 96.50 | 12/17/2018 | 131 | 327,500 | 281,650 | 278,679 | 2,971 | |||||||||||||||||||||||
Eurodollar Futures | 97.00 | 09/17/2018 | 383 | 957,500 | 521,837 | 566,338 | (44,501 | ) | ||||||||||||||||||||||
Eurodollar Futures | 97.38 | 09/17/2018 | 364 | 910,000 | 156,975 | 756,816 | (599,841 | ) | ||||||||||||||||||||||
Eurodollar Futures | 97.25 | 12/17/2018 | 333 | 832,500 | 122,794 | 734,294 | (611,500 | ) |
44 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
ADDITIONAL INVESTMENT INFORMATION (continued) |
EXCHANGE TRADED OPTIONS ON FUTURES (continued)
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Portfolio | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
Purchased option contracts (continued) | ||||||||||||||||||||||||||||||
Calls (continued) | ||||||||||||||||||||||||||||||
Eurodollar Futures | 99.00 | 12/17/2018 | 8,067 | $ | 20,167,500 | $ | 50,419 | $ | 623,660 | $ | (573,241 | ) | ||||||||||||||||||
Eurodollar Futures | 97.13 | 03/18/2019 | 593 | 1,482,500 | 285,381 | 1,141,584 | (856,203 | ) | ||||||||||||||||||||||
Eurodollar Futures | 99.00 | 03/18/2019 | 6,028 | 15,070,000 | 37,675 | 615,925 | (578,250 | ) | ||||||||||||||||||||||
Eurodollar Futures | 96.88 | 06/17/2019 | 781 | 1,952,500 | 639,444 | 1,360,196 | (720,752 | ) | ||||||||||||||||||||||
Eurodollar Futures | 99.00 | 06/17/2019 | 3,300 | 8,250,000 | 20,625 | 419,823 | (399,198 | ) | ||||||||||||||||||||||
Eurodollar Futures | 96.75 | 09/16/2019 | 719 | 1,797,500 | 727,987 | 1,416,640 | (688,653 | ) | ||||||||||||||||||||||
Eurodollar Futures | 97.75 | 09/16/2019 | 206 | 515,000 | 33,475 | 129,226 | (95,751 | ) | ||||||||||||||||||||||
Eurodollar Futures | 96.50 | 12/16/2019 | 477 | 1,192,500 | 697,612 | 883,968 | (186,356 | ) | ||||||||||||||||||||||
Eurodollar Futures | 96.00 | 03/16/2020 | 350 | 875,000 | 894,687 | 889,874 | 4,813 | |||||||||||||||||||||||
TOTAL | 22,936 | $ | 57,340,000 | $ | 6,267,138 | $ | 11,547,705 | $ | (5,280,567 | ) |
EXCHANGE TRADED OPTIONS ON EQUITIES
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Portfolio | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
Written option contracts | ||||||||||||||||||||||||||||||
Calls | ||||||||||||||||||||||||||||||
S&P 500 Index | 2,800.00 | 08/31/2018 | (1 | ) | $ | (100 | ) | $ | (2,180 | ) | $ | (1,899 | ) | $ | (281 | ) | ||||||||||||||
S&P 500 Index | 2,840.00 | 08/31/2018 | (1 | ) | (100 | ) | (910 | ) | (1,849 | ) | 939 | |||||||||||||||||||
S&P 500 Index | 2,760.00 | 07/31/2018 | (3 | ) | (300 | ) | (6,483 | ) | (6,483 | ) | — | |||||||||||||||||||
S&P 500 Index | 2,765.00 | 07/31/2018 | (5 | ) | (500 | ) | (8,710 | ) | (11,388 | ) | 2,678 | |||||||||||||||||||
S&P 500 Index | 2,770.00 | 07/25/2018 | (4 | ) | (400 | ) | (5,240 | ) | (5,119 | ) | (121 | ) | ||||||||||||||||||
S&P 500 Index | 2,770.00 | 07/31/2018 | (3 | ) | (300 | ) | (4,858 | ) | (4,858 | ) | — | |||||||||||||||||||
S&P 500 Index | 2,775.00 | 07/31/2018 | (4 | ) | (400 | ) | (6,174 | ) | (6,174 | ) | — | |||||||||||||||||||
S&P 500 Index | 2,780.00 | 07/31/2018 | (3 | ) | (300 | ) | (3,772 | ) | �� | (3,772 | ) | — | ||||||||||||||||||
S&P 500 Index | 2,790.00 | 07/03/2018 | (4 | ) | (400 | ) | (40 | ) | (6,024 | ) | 5,984 | |||||||||||||||||||
S&P 500 Index | 2,795.00 | 07/31/2018 | (1 | ) | (100 | ) | (720 | ) | (2,288 | ) | 1,568 | |||||||||||||||||||
S&P 500 Index | 2,800.00 | 07/31/2018 | (1 | ) | (100 | ) | (700 | ) | (1,719 | ) | 1,019 | |||||||||||||||||||
S&P 500 Index | 2,805.00 | 07/18/2018 | (4 | ) | (400 | ) | (800 | ) | (4,542 | ) | 3,742 | |||||||||||||||||||
S&P 500 Index | 2,815.00 | 07/31/2018 | (2 | ) | (200 | ) | (1,199 | ) | (3,301 | ) | 2,102 | |||||||||||||||||||
S&P 500 Index | 2,825.00 | 07/11/2018 | (4 | ) | (400 | ) | (120 | ) | (3,552 | ) | 3,432 | |||||||||||||||||||
S&P 500 Index | 2,845.00 | 07/31/2018 | (1 | ) | (100 | ) | (140 | ) | (1,282 | ) | 1,142 | |||||||||||||||||||
S&P 500 Index | 2,740.00 | 06/27/2018 | (4 | ) | (400 | ) | — | (9,335 | ) | 9,335 | ||||||||||||||||||||
(45 | ) | $ | (4,500 | ) | $ | (42,047 | ) | $ | (73,585 | ) | $ | 31,539 | ||||||||||||||||||
Puts | ||||||||||||||||||||||||||||||
S&P 500 Index | 2,650.00 | 08/31/2018 | (1 | ) | (100 | ) | (3,690 | ) | (4,444 | ) | 754 | |||||||||||||||||||
S&P 500 Index | 2,700.00 | 08/31/2018 | (1 | ) | (100 | ) | (4,380 | ) | (3,180 | ) | (1,200 | ) | ||||||||||||||||||
S&P 500 Index | 2,625.00 | 07/31/2018 | (1 | ) | (100 | ) | (1,475 | ) | (2,558 | ) | 1,083 | |||||||||||||||||||
S&P 500 Index | 2,645.00 | 07/31/2018 | (1 | ) | (100 | ) | (1,567 | ) | (3,299 | ) | 1,732 | |||||||||||||||||||
S&P 500 Index | 2,650.00 | 07/31/2018 | (3 | ) | (300 | ) | (5,545 | ) | (5,545 | ) | — | |||||||||||||||||||
S&P 500 Index | 2,655.00 | 07/31/2018 | (3 | ) | (300 | ) | (5,804 | ) | (5,804 | ) | — | |||||||||||||||||||
S&P 500 Index | 2,660.00 | 07/31/2018 | (3 | ) | (300 | ) | (5,947 | ) | (5,947 | ) | — | |||||||||||||||||||
S&P 500 Index | 2,665.00 | 07/31/2018 | (3 | ) | (300 | ) | (6,410 | ) | (6,410 | ) | — | |||||||||||||||||||
S&P 500 Index | 2,670.00 | 07/31/2018 | (5 | ) | (500 | ) | (11,415 | ) | (11,803 | ) | 388 | |||||||||||||||||||
S&P 500 Index | 2,675.00 | 07/25/2018 | (4 | ) | (400 | ) | (7,481 | ) | (12,040 | ) | 4,559 | |||||||||||||||||||
S&P 500 Index | 2,700.00 | 07/31/2018 | (1 | ) | (100 | ) | (2,500 | ) | (2,262 | ) | (238 | ) |
The accompanying notes are an integral part of these financial statements. | 45 |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
EXCHANGE TRADED OPTIONS ON EQUITIES (continued)
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Portfolio | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
Written option contracts (continued) | ||||||||||||||||||||||||||||||
Puts (continued) | ||||||||||||||||||||||||||||||
S&P 500 Index | 2,715.00 | 07/03/2018 | (4 | ) | $ | (400 | ) | $ | (3,960 | ) | $ | (4,778 | ) | $ | 818 | |||||||||||||||
S&P 500 Index | 2,725.00 | 07/18/2018 | (4 | ) | (400 | ) | (9,560 | ) | (6,182 | ) | (3,378 | ) | ||||||||||||||||||
S&P 500 Index | 2,745.00 | 07/31/2018 | (1 | ) | (100 | ) | (3,663 | ) | (2,609 | ) | (1,054 | ) | ||||||||||||||||||
S&P 500 Index | 2,755.00 | 07/11/2018 | (4 | ) | (400 | ) | (12,820 | ) | (7,409 | ) | (5,411 | ) | ||||||||||||||||||
(39 | ) | $ | (3,900 | ) | $ | (86,216 | ) | $ | (84,270 | ) | $ | (1,947 | ) | |||||||||||||||||
TOTAL | (84 | ) | $ | (8,400 | ) | $ | (128,263 | ) | $ | (157,855 | ) | $ | 29,592 |
| ||
Abbreviations: | ||
MS & Co. Int. PLC—Morgan Stanley & Co. International PLC | ||
|
46 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Schedule of Investments
June 30, 2018 (Unaudited)
Shares | Description | Value | ||||||
Underlying Funds(a) – 98.6% | ||||||||
Equity – 55.6% | ||||||||
9,084,705 | Goldman Sachs Global Real Estate Securities Fund – Class R6 | $ | 96,025,337 | |||||
7,163,275 | Goldman Sachs Global Infrastructure Fund – Class R6 | 75,357,658 | ||||||
5,467,652 | Goldman Sachs International Small Cap Insights Fund – Class R6 | 68,673,712 | ||||||
5,856,662 | Goldman Sachs Emerging Markets Equity Insights Fund – Class R6 | 58,508,049 | ||||||
1,253,652 | Goldman Sachs Emerging Markets Equity Fund – Class R6 | 26,752,935 | ||||||
|
| |||||||
325,317,691 | ||||||||
|
| |||||||
Fixed Income – 38.9% | ||||||||
8,011,623 | Goldman Sachs Emerging Markets Debt Fund – Class R6 | 94,617,265 | ||||||
8,681,029 | Goldman Sachs Local Emerging Markets Debt Fund – Class R6 | 50,349,969 | ||||||
7,426,676 | Goldman Sachs High Yield Fund – Class R6 | 47,010,862 | ||||||
3,688,215 | Goldman Sachs High Yield Floating Rate Fund – Class R6 | 35,406,865 | ||||||
|
| |||||||
227,384,961 | ||||||||
|
| |||||||
Exchange Traded Funds – 4.1% | ||||||||
713,116 | Goldman Sachs ActiveBeta Emerging Markets Equity ETF – Institutional Shares | 23,661,189 | ||||||
|
| |||||||
TOTAL UNDERLYING FUNDS – 98.6% | ||||||||
(Cost $536,471,524) | $ | 576,363,841 | ||||||
|
| |||||||
Shares | Distribution Rate | Value | ||||||
Investment Company(a) – 0.0% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
194,613 | 1.869% | $ | 194,613 | |||||
(Cost $194,613) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 98.6% | ||||||||
(Cost $536,666,137) | $ | 576,558,454 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 1.4% | 8,151,868 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 584,710,322 | ||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
(a) | Represents affiliated funds. |
| ||||
Investment Abbreviations: | ||||
ETF | —Exchange Traded Fund | |||
PLC | —Public Limited Company | |||
|
The accompanying notes are an integral part of these financial statements. | 47 |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Statements of Assets and Liabilities
June 30, 2018 (Unaudited)
Balanced Strategy Portfolio | Equity Growth Strategy Portfolio | Growth and Income Strategy Portfolio | ||||||||||||
Assets: | ||||||||||||||
Investments in Affiliated Funds, at value (cost $524,175,974, $284,363,359 and $929,776,716) | $ | 506,631,436 | $ | 331,304,453 | $ | 944,055,661 | ||||||||
Purchased options (cost $3,921,325, $0 and $9,176,628) | 2,008,094 | — | 5,248,588 | |||||||||||
Cash | 8,535,062 | 5,581,650 | 15,897,573 | |||||||||||
Foreign currencies, at value (cost $17,938, $57,891 and $41,811, respectively) | 24,851 | 56,197 | 45,107 | |||||||||||
Unrealized gain on forward foreign currency exchange contracts | 475,913 | — | 945,634 | |||||||||||
Variation margin on futures | — | 226,536 | — | |||||||||||
Receivables: | ||||||||||||||
Collateral on certain derivative contracts(a) | 4,091,771 | 1,922,796 | 9,828,000 | |||||||||||
Dividends | 532,645 | 13,310 | 534,825 | |||||||||||
Portfolio shares sold | 477,782 | 116,368 | 309,710 | |||||||||||
Investments sold | 108,606 | — | 274,191 | |||||||||||
Other assets | 69,951 | 68,375 | 73,243 | |||||||||||
Total assets | 522,956,111 | 339,289,685 | 977,212,532 | |||||||||||
Liabilities: | ||||||||||||||
Variation margin on futures | 59,231 | — | 138,431 | |||||||||||
Written option contracts, at value (premium received $267,167, $13,818 and $679,097, respectively) | 233,925 | 29,775 | 593,561 | |||||||||||
Payables: | ||||||||||||||
Collateral on certain derivative contracts(b) | 649,972 | — | 1,150,000 | |||||||||||
Investments purchased | 532,645 | 13,310 | 534,825 | |||||||||||
Portfolio shares redeemed | 140,221 | 588,441 | 239,903 | |||||||||||
Due to broker | 85,427 | — | 227,024 | |||||||||||
Distribution and Service fees and Transfer Agency fees | 85,217 | 116,647 | 209,887 | |||||||||||
Management fees | 64,969 | 42,736 | 121,848 | |||||||||||
Payable to investment adviser | — | 45,249 | 41,830 | |||||||||||
Accrued expenses | 111,371 | 68,318 | 101,162 | |||||||||||
Total liabilities | 1,962,978 | 904,476 | 3,358,471 | |||||||||||
Net Assets: | ||||||||||||||
Paid-in capital | 528,412,507 | 364,351,114 | 1,135,065,416 | |||||||||||
Undistributed net investment income | 277,721 | 481,437 | 39,932 | |||||||||||
Accumulated net realized gain (loss) | 10,110,210 | (72,638,337 | ) | (175,580,795 | ) | |||||||||
Net unrealized gain (loss) | (17,807,305 | ) | 46,190,995 | 14,329,508 | ||||||||||
NET ASSETS | $ | 520,993,133 | $ | 338,385,209 | $ | 973,854,061 | ||||||||
Net Assets: | ||||||||||||||
Class A | $ | 109,823,000 | $ | 130,336,063 | $ | 288,912,462 | ||||||||
Class C | 28,641,340 | 61,608,835 | 82,157,344 | |||||||||||
Institutional | 315,897,555 | 15,392,746 | 377,389,641 | |||||||||||
Service | 798,574 | 646,590 | 3,194,670 | |||||||||||
Investor | 3,499,831 | 6,361,438 | 10,685,893 | |||||||||||
Class P | 53,202,081 | 118,982,541 | 203,196,649 | |||||||||||
Class R | 8,579,149 | 5,044,020 | 4,797,348 | |||||||||||
Class R6 | 551,603 | 12,976 | 3,520,054 | |||||||||||
Total Net Assets | $ | 520,993,133 | $ | 338,385,209 | $ | 973,854,061 | ||||||||
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | ||||||||||||||
Class A | 9,772,979 | 6,959,598 | 21,395,472 | |||||||||||
Class C | 2,549,271 | 3,453,957 | 6,226,441 | |||||||||||
Institutional | 28,113,500 | 812,944 | 27,870,059 | |||||||||||
Service | 70,271 | 34,702 | 237,188 | |||||||||||
Investor | 312,727 | 344,034 | 795,148 | |||||||||||
Class P | 4,733,721 | 6,270,611 | 15,012,620 | |||||||||||
Class R | 766,317 | 271,797 | 357,933 | |||||||||||
Class R6 | 49,076 | 684 | 260,013 | |||||||||||
Net asset value, offering and redemption price per share:(c) | ||||||||||||||
Class A | $11.24 | $18.73 | $13.50 | |||||||||||
Class C | 11.24 | 17.84 | 13.19 | |||||||||||
Institutional | 11.24 | 18.93 | 13.54 | |||||||||||
Service | 11.36 | 18.63 | 13.47 | |||||||||||
Investor | 11.19 | 18.49 | 13.44 | |||||||||||
Class P | 11.24 | 18.97 | 13.54 | |||||||||||
Class R | 11.20 | 18.56 | 13.40 | |||||||||||
Class R6 | 11.24 | 18.97 | 13.54 |
(a) | Segregated for initial margin and/or collateral as follows: |
Fund | Futures | Options | ||||||
Balanced Strategy | $ | 564,945 | $ | 3,526,826 | ||||
Equity Growth Strategy | 1,277,834 | 644,962 | ||||||
Growth and Income Strategy | 1,287,032 | 8,540,968 |
(b) | Segregated for initial margin and/or collateral as follows: |
Fund | Forwards | |||
Balanced Strategy | $ | 649,972 | ||
Growth and Income Strategy | 1,150,000 |
(c) | Maximum public offering price per share for Class A Shares of the Balanced Strategy, Equity Growth Strategy and Growth and Income Strategy is $11.89, $19.82 and $14.29, respectively. At redemption, Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value (“NAV”) or the original purchase price of the shares. |
48 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Statements of Assets and Liabilities
June 30, 2018 (Unaudited)
Growth Strategy Portfolio | Satellite Strategies Portfolio | |||||||||
Assets: | ||||||||||
Investments in Affiliated Funds, at value (cost $815,963,102 and $536,666,137) | $ | 860,765,180 | $ | 576,558,454 | ||||||
Purchased options (cost $11,547,705 and $0) | 6,267,138 | — | ||||||||
Cash | 14,448,961 | 8,159,431 | ||||||||
Foreign currencies, at value (cost $56,688 and $0, respectively) | 57,110 | — | ||||||||
Unrealized gain on forward foreign currency exchange contracts | 904,229 | — | ||||||||
Variation margin on futures | — | — | ||||||||
Receivables: | ||||||||||
Collateral on certain derivative contracts(a) | 3,666,781 | — | ||||||||
Dividends | 192,019 | 1,049,215 | ||||||||
Portfolio shares sold | 281,535 | 467,543 | ||||||||
Investments sold | 58,869 | — | ||||||||
Other assets | 74,531 | 82,117 | ||||||||
Total assets | 886,716,353 | 586,316,760 | ||||||||
Liabilities: | ||||||||||
Variation margin on futures | 183,960 | — | ||||||||
Written option contracts, at value (premium received $157,855 and $0, respectively) | 128,263 | — | ||||||||
Payables: | ||||||||||
Collateral on certain derivative contracts(b) | 1,099,799 | — | ||||||||
Investments purchased | 192,019 | 1,049,489 | ||||||||
Portfolio shares redeemed | 447,858 | 334,561 | ||||||||
Due to Broker | 23,502 | — | ||||||||
Distribution and Service fees and Transfer Agency fees | 241,420 | 76,996 | ||||||||
Management fees | 111,272 | 61,667 | ||||||||
Payable to investment adviser | 39,112 | 18,440 | ||||||||
Accrued expenses | 112,108 | 65,285 | ||||||||
Total liabilities | 2,579,313 | 1,606,438 | ||||||||
Net Assets: | ||||||||||
Paid-in capital | 1,006,136,422 | 595,197,515 | ||||||||
Undistributed net investment income | 2,153,847 | 191,276 | ||||||||
Accumulated net realized gain (loss) | (168,989,578 | ) | (50,570,786 | ) | ||||||
Net unrealized gain (loss) | 44,836,349 | 39,892,317 | ||||||||
NET ASSETS | $ | 884,137,040 | $ | 584,710,322 | ||||||
Net Assets: | ||||||||||
Class A | $ | 298,600,770 | $ | 47,088,439 | ||||||
Class C | 112,639,569 | 37,878,271 | ||||||||
Institutional | 280,490,413 | 414,060,491 | ||||||||
Service | 2,642,497 | 314,036 | ||||||||
Investor | 12,314,204 | 37,420,969 | ||||||||
Class P | 168,486,180 | 3,436,703 | ||||||||
Class R | 6,092,967 | 2,361,306 | ||||||||
Class R6 | 2,870,440 | 42,150,107 | ||||||||
Total Net Assets | $ | 884,137,040 | $ | 584,710,322 | ||||||
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | ||||||||||
Class A | 19,221,819 | 5,855,062 | ||||||||
Class C | 7,284,207 | 4,735,869 | ||||||||
Institutional | 18,045,866 | 51,607,384 | ||||||||
Service | 170,844 | 39,118 | ||||||||
Investor | 803,977 | 4,663,363 | ||||||||
Class P | 10,830,208 | 427,808 | ||||||||
Class R | 403,067 | 294,965 | ||||||||
Class R6 | 184,577 | 5,251,680 | ||||||||
Net asset value, offering and redemption price per share:(c) | ||||||||||
Class A | $15.53 | $8.04 | ||||||||
Class C | 15.46 | 8.00 | ||||||||
Institutional | 15.54 | 8.02 | ||||||||
Service | 15.47 | 8.03 | ||||||||
Investor | 15.32 | 8.02 | ||||||||
Class P | 15.56 | 8.03 | ||||||||
Class R | 15.12 | 8.01 | ||||||||
Class R6 | 15.55 | 8.03 |
(a) | Segregated for initial margin and/or collateral as follows: |
Fund | Futures | Options | ||||||
Growth Strategy | $ | 1,629,681 | $ | 2,037,100 |
(b) | Segregated for initial margin and/or collateral as follows: |
Fund | Forwards | |||
Growth Strategy | $ | 1,099,799 |
(c) | Maximum public offering price per share for Class A Shares of the Growth Strategy and Satellite Strategies Portfolios is $16.43 and $8.51, respectively. At redemption, Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value (“NAV”) or the original purchase price of the shares. |
The accompanying notes are an integral part of these financial statements. | 49 |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Statements of Operations
For the Six Months Ended June 30, 2018 (Unaudited)
Balanced | Equity Growth Strategy Portfolio | Growth and Portfolio | ||||||||||||
Investment income: | ||||||||||||||
Dividends from Affiliated Funds | $ | 3,900,188 | $ | 1,393,258 | $ | 6,641,056 | ||||||||
Dividends — unaffiliated Funds | — | 902 | — | |||||||||||
Interest | 2,883 | 1,711 | 5,717 | |||||||||||
Total investment income | 3,903,071 | 1,395,871 | 6,646,773 | |||||||||||
Expenses: | ||||||||||||||
Management fees | 402,996 | 270,084 | 744,175 | |||||||||||
Distribution and Service fees(a) | 320,698 | 511,779 | 830,374 | |||||||||||
Transfer Agency fees(a) | 217,420 | 219,688 | 477,632 | |||||||||||
Professional fees | 22,194 | 21,801 | 38,958 | |||||||||||
Printing and mailing costs | 15,453 | 19,000 | 32,053 | |||||||||||
Custody, accounting and administrative services | 12,900 | 8,737 | 12,146 | |||||||||||
Trustee fees | 9,203 | 9,049 | 9,706 | |||||||||||
Service Share fees — Service Plan | 1,015 | 845 | 4,111 | |||||||||||
Service Share fees — Shareholder Administration Plan | 1,015 | 845 | 4,111 | |||||||||||
Prime Broker Fees | 175 | — | 348 | |||||||||||
Total expenses | 1,003,069 | 1,061,828 | 2,153,614 | |||||||||||
Less — expense reductions | (48,402 | ) | (49,933 | ) | (72,010 | ) | ||||||||
Net expenses | 954,667 | 1,011,895 | 2,081,604 | |||||||||||
NET INVESTMENT INCOME | 2,948,404 | 383,976 | 4,565,169 | |||||||||||
Realized and unrealized gain (loss): |
| |||||||||||||
Net realized gain (loss) from: | ||||||||||||||
Affiliated Funds | 5,146,607 | 9,993,995 | 17,930,673 | |||||||||||
Investments — unaffiliated funds | — | (968 | ) | — | ||||||||||
Purchased options | (1,048,145 | ) | (101,338 | ) | (2,049,800 | ) | ||||||||
Futures contracts | 1,102,885 | 833,890 | 2,024,437 | |||||||||||
Written options | 263,959 | 165,570 | 650,876 | |||||||||||
Swap contracts | 132 | — | 291 | |||||||||||
Forward foreign currency exchange contracts | 194,970 | — | 370,804 | |||||||||||
Foreign currency transactions | 15,114 | 3,968 | 47,734 | |||||||||||
Net change in unrealized gain (loss) on: | ||||||||||||||
Affiliated Funds | (19,686,402 | ) | (11,979,101 | ) | (39,065,141 | ) | ||||||||
Investments — unaffiliated Funds | — | (7,728 | ) | — | ||||||||||
Purchased options | (688,011 | ) | 105,292 | (1,260,795 | ) | |||||||||
Futures contracts | (665,668 | ) | (1,095,688 | ) | (1,043,058 | ) | ||||||||
Written options | 33,242 | (32,056 | ) | 85,536 | ||||||||||
Forward foreign currency exchange contracts | 475,913 | — | 945,634 | |||||||||||
Foreign currency translation | 8,731 | 8,992 | 10,987 | |||||||||||
Net realized and unrealized loss | (14,846,673 | ) | (2,105,171 | ) | (21,351,822 | ) | ||||||||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (11,898,269 | ) | $ | (1,721,195 | ) | $ | (16,786,653 | ) |
(a) | Class specific Distribution and/or Service and Transfer Agent fees were as follows: |
Distribution and/or Service��Fees | Transfer Agency Fees | |||||||||||||||||||||||||||||||||||||||||||
Portfolio | Class A | Class C | Class R | Class A | Class C | Institutional | Service | Investor | Class P(b) | Class R | Class R6 | |||||||||||||||||||||||||||||||||
Balanced Strategy | $ | 142,299 | $ | 156,883 | $ | 21,516 | $ | 102,455 | $ | 28,239 | $ | 74,287 | $ | 162 | $ | 3,410 | $ | 1,038 | $ | 7,746 | $ | 83 | ||||||||||||||||||||||
Equity Growth Strategy | 168,529 | 329,684 | 13,566 | 121,341 | 59,343 | 26,395 | 135 | 5,279 | 2,309 | 4,884 | 2 | |||||||||||||||||||||||||||||||||
Growth and Income Strategy | 369,458 | 448,307 | 12,609 | 266,010 | 80,695 | 115,426 | 658 | 8,487 | 1,540 | 4,539 | 277 |
(b) | Commenced operations April 17, 2018. |
50 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Statements of Operations
For the Six Months Ended June 30, 2018 (Unaudited)
Growth Strategy Portfolio | Satellite Strategies Portfolio | |||||||||
Investment income: | ||||||||||
Dividends from Affiliated Underlying Funds | $ | 4,330,592 | $ | 8,256,423 | ||||||
Interest | 5,503 | — | ||||||||
Total investment income | 4,336,095 | 8,256,423 | ||||||||
Expenses: | ||||||||||
Management fees | 685,243 | 395,730 | ||||||||
Distribution and Service fees(a) | 1,014,660 | 275,112 | ||||||||
Transfer Agency fees(a) | 497,189 | 221,116 | ||||||||
Professional fees | 25,391 | 37,681 | ||||||||
Printing and mailing costs | 63,475 | 50,811 | ||||||||
Custody, accounting and administrative services | 7,460 | 13,248 | ||||||||
Trustee fees | 9,632 | 9,583 | ||||||||
Service Share fees — Service Plan | 3,425 | 413 | ||||||||
Service Share fees — Shareholder Administration Plan | 3,425 | 413 | ||||||||
Prime Broker Fees | 333 | — | ||||||||
Total expenses | 2,310,233 | 1,004,107 | ||||||||
Less — expense reductions | (86,679 | ) | (79,549 | ) | ||||||
Net expenses | 2,223,554 | 924,558 | ||||||||
NET INVESTMENT INCOME | 2,112,541 | 7,331,865 | ||||||||
Realized and unrealized gain (loss): |
| |||||||||
Net realized gain (loss) from: | ||||||||||
Affiliated Funds | 19,262,421 | 5,263,271 | ||||||||
Purchased options | (3,096,730 | ) | — | |||||||
Futures contracts | 1,187,708 | — | ||||||||
Written options | 135,805 | — | ||||||||
Swap contracts | 268 | — | ||||||||
Forward foreign currency exchange contracts | 407,941 | — | ||||||||
Foreign currency transactions | (8,667 | ) | — | |||||||
Net change in unrealized gain (loss) on: | ||||||||||
Affiliated Funds | (35,032,456 | ) | (35,920,616 | ) | ||||||
Purchased options | (1,506,928 | ) | — | |||||||
Futures contracts | (534,167 | ) | — | |||||||
Written options | 29,592 | — | ||||||||
Forward foreign currency exchange contracts | 904,229 | — | ||||||||
Foreign currency translation | 12,988 | — | ||||||||
Net realized and unrealized loss | (18,237,996 | ) | (30,657,345 | ) | ||||||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (16,125,455 | ) | $ | (23,325,480 | ) |
(a) | Class specific Distribution and/or Service and Transfer Agent fees were as follows: |
Distribution and/or Service Fees | Transfer Agency Fees | |||||||||||||||||||||||||||||||||||||||||||
Portfolio | Class A | Class C | Class R | Class A | Class C | Institutional | Service | Investor | Class P(b) | Class R | Class R6 | |||||||||||||||||||||||||||||||||
Growth Strategy | 385,728 | 613,358 | 15,574 | 277,724 | 110,405 | 89,840 | 548 | 11,317 | 1,279 | 5,607 | 469 | |||||||||||||||||||||||||||||||||
Satellite Strategies | 62,368 | 206,420 | 6,324 | 44,905 | 37,156 | 91,448 | 66 | 38,658 | 66 | 2,277 | 6,540 |
(b) | Commenced operations April 17, 2018. |
The accompanying notes are an integral part of these financial statements. | 51 |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Statements of Changes in Net Assets
Balanced Strategy Portfolio | Equity Growth Strategy Portfolio | |||||||||||||||||||||
For the Six Months Ended June 30, 2018 (Unaudited) | For the Fiscal Year Ended December 31, 2017 | For the Six Months Ended June 30, 2018 (Unaudited) | For the Fiscal Year Ended December 31, 2017 | |||||||||||||||||||
From operations: | ||||||||||||||||||||||
Net investment income | $ | 2,948,404 | $ | 8,256,157 | $ | 383,976 | $ | 3,326,307 | ||||||||||||||
Net realized gain | 5,675,522 | 23,914,681 | 10,895,118 | 35,742,945 | ||||||||||||||||||
Net change in unrealized gain (loss) | (20,522,195 | ) | 22,130,956 | (13,000,289 | ) | 41,703,446 | ||||||||||||||||
Net increase (decrease) in net assets resulting from operations | (11,898,269 | ) | 54,301,794 | (1,721,195 | ) | 80,772,698 | ||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||
From net investment income | ||||||||||||||||||||||
Class A Shares | (477,811 | ) | (2,796,031 | ) | — | (2,649,600 | ) | |||||||||||||||
Class C Shares | (22,171 | ) | (526,244 | ) | — | (849,532 | ) | |||||||||||||||
Institutional Shares | (2,103,564 | ) | (9,247,944 | ) | — | (3,558,755 | ) | |||||||||||||||
Service Shares | (2,987 | ) | (18,323 | ) | — | (12,907 | ) | |||||||||||||||
Investor Shares | (20,325 | ) | (108,353 | ) | — | (118,913 | ) | |||||||||||||||
Class P Shares(a) | (203,449 | ) | — | — | — | |||||||||||||||||
Class R Shares | (27,009 | ) | (175,314 | ) | — | (110,002 | ) | |||||||||||||||
Class R6 Shares | (3,455 | ) | (9,245 | ) | — | (275 | ) | |||||||||||||||
From net realized gains | ||||||||||||||||||||||
Class A Shares | — | (2,081,980 | ) | — | — | |||||||||||||||||
Class C Shares | — | (604,281 | ) | — | — | |||||||||||||||||
Institutional Shares | — | (5,837,964 | ) | — | — | |||||||||||||||||
Service Shares | — | (14,614 | ) | — | — | |||||||||||||||||
Investor Shares | — | (69,407 | ) | — | — | |||||||||||||||||
Class R Shares | — | (147,554 | ) | — | — | |||||||||||||||||
Class R6 Shares | — | (9,490 | ) | — | — | |||||||||||||||||
Total distributions to shareholders | (2,860,771 | ) | (21,646,744 | ) | — | (7,299,984 | ) | |||||||||||||||
From share transactions: | ||||||||||||||||||||||
Proceeds from sales of shares | 134,774,509 | 150,772,289 | 142,305,844 | 47,255,994 | ||||||||||||||||||
Reinvestment of distributions | 2,812,954 | 21,076,195 | — | 6,908,591 | ||||||||||||||||||
Cost of shares redeemed | (123,806,438 | ) | (156,751,124 | ) | (175,705,945 | ) | (80,953,284 | ) | ||||||||||||||
Net increase (decrease) in net assets resulting from share transactions | 13,781,025 | 15,097,360 | (33,400,101 | ) | (26,788,699 | ) | ||||||||||||||||
TOTAL INCREASE (DECREASE) | (978,015 | ) | 47,752,410 | (35,121,296 | ) | 46,684,015 | ||||||||||||||||
Net assets: | ||||||||||||||||||||||
Beginning of period | 521,971,148 | 474,218,738 | 373,506,505 | 326,822,490 | ||||||||||||||||||
End of period | $ | 520,993,133 | $ | 521,971,148 | $ | 338,385,209 | $ | 373,506,505 | ||||||||||||||
Undistributed net investment income | $ | 277,721 | $ | 190,088 | $ | 481,437 | $ | 97,461 |
(a) | Commenced operations April 17, 2018. |
52 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Statements of Changes in Net Assets
Growth and Income Strategy Portfolio |
| Growth Strategy Portfolio | ||||||||||||||||||||
For the Six Months Ended June 30, 2018 (Unaudited) | For the Fiscal Year Ended December 31, 2017 | For the Six Months Ended June 30, 2018 (Unaudited) | For the Fiscal Year Ended December 31, 2017 | |||||||||||||||||||
From operations: |
| |||||||||||||||||||||
Net investment income | $ | 4,565,169 | $ | 14,023,060 | $ | 2,112,541 | $ | 9,365,836 | ||||||||||||||
Net realized gain | 18,975,015 | 63,058,176 | 17,888,746 | 82,969,769 | ||||||||||||||||||
Net change in unrealized gain (loss) | (40,326,837 | ) | 63,551,569 | (36,126,742 | ) | 71,356,011 | ||||||||||||||||
Net increase (decrease) in net assets resulting from operations | (16,786,653 | ) | 140,632,805 | (16,125,455 | ) | 163,691,616 | ||||||||||||||||
Distributions to shareholders: |
| |||||||||||||||||||||
From net investment income | ||||||||||||||||||||||
Class A Shares | (1,282,611 | ) | (7,117,184 | ) | — | (7,343,791 | ) | |||||||||||||||
Class C Shares | (57,899 | ) | (1,604,335 | ) | — | (1,941,823 | ) | |||||||||||||||
Institutional Shares | (3,003,147 | ) | (15,064,907 | ) | — | (12,067,688 | ) | |||||||||||||||
Service Shares | (12,438 | ) | (77,973 | ) | — | (66,907 | ) | |||||||||||||||
Investor Shares | (57,327 | ) | (183,527 | ) | — | (211,478 | ) | |||||||||||||||
Class P Shares(a) | (662,459 | ) | — | — | — | |||||||||||||||||
Class R Shares | (15,681 | ) | (117,611 | ) | — | (146,324 | ) | |||||||||||||||
Class R6 Shares | (15,532 | ) | (1,994 | ) | — | (25,853 | ) | |||||||||||||||
Total distributions to shareholders | (5,107,094 | ) | (24,167,531 | ) | — | (21,803,864 | ) | |||||||||||||||
From share transactions: |
| |||||||||||||||||||||
Proceeds from sales of shares | 289,624,771 | 165,939,453 | 230,347,600 | 146,419,550 | ||||||||||||||||||
Reinvestment of distributions | 4,968,980 | 23,310,034 | — | 20,734,721 | ||||||||||||||||||
Cost of shares redeemed | (285,396,837 | ) | (209,763,801 | ) | (247,151,829 | ) | (181,982,948 | ) | ||||||||||||||
Net increase (decrease) in net assets resulting from share transactions | 9,196,914 | (20,514,314 | ) | (16,804,229 | ) | (14,828,677 | ) | |||||||||||||||
TOTAL INCREASE (DECREASE) | (12,696,833 | ) | 95,950,960 | (32,929,684 | ) | 127,059,075 | ||||||||||||||||
Net assets: |
| |||||||||||||||||||||
Beginning of period | 986,550,894 | 890,599,934 | 917,066,724 | 790,007,649 | ||||||||||||||||||
End of period | $ | 973,854,061 | $ | 986,550,894 | $ | 884,137,040 | $ | 917,066,724 | ||||||||||||||
Undistributed net investment income | $ | 39,932 | $ | 581,857 | $ | 2,153,847 | $ | 41,306 |
(a) | Commenced operations April 17, 2018. |
The accompanying notes are an integral part of these financial statements. | 53 |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Statements of Changes in Net Assets
Satellite Strategies Portfolio | ||||||||||
For the Six Months Ended June 30, 2018 (Unaudited) | For the Fiscal Year Ended December 31, 2017 | |||||||||
From operations: | ||||||||||
Net investment income | $ | 7,331,865 | $ | 20,145,476 | ||||||
Net realized gain | 5,263,271 | 57,640,869 | ||||||||
Net change in unrealized gain (loss) | (35,920,616 | ) | 20,156,478 | |||||||
Net increase (decrease) in net assets resulting from operations | (23,325,480 | ) | 97,942,823 | |||||||
Distributions to shareholders: | ||||||||||
From net investment income | ||||||||||
Class A Shares | (520,023 | ) | (1,869,309 | ) | ||||||
Class C Shares | (276,554 | ) | (1,157,089 | ) | ||||||
Institutional Shares | (5,465,636 | ) | (18,281,836 | ) | ||||||
Service Shares | (3,319 | ) | (11,501 | ) | ||||||
Investor Shares | (476,132 | ) | (1,779,204 | ) | ||||||
Class P Shares(a) | (25,902 | ) | — | |||||||
Class R Shares | (23,418 | ) | (81,318 | ) | ||||||
Class R6 Shares | (626,500 | ) | (1,442,350 | ) | ||||||
Total distributions to shareholders | (7,417,484 | ) | (24,622,607 | ) | ||||||
From share transactions: | ||||||||||
Proceeds from sales of shares | 76,515,344 | 108,035,680 | ||||||||
Reinvestment of distributions | 6,279,966 | 21,535,001 | ||||||||
Cost of shares redeemed | (142,592,164 | ) | (271,166,567 | ) | ||||||
Net decrease in net assets resulting from share transactions | (59,796,854 | ) | (141,595,886 | ) | ||||||
TOTAL DECREASE | (90,539,818 | ) | (68,275,670 | ) | ||||||
Net assets: | ||||||||||
Beginning of period | 675,250,140 | 743,525,810 | ||||||||
End of period | $ | 584,710,322 | $ | 675,250,140 | ||||||
Undistributed net investment income | $ | 191,276 | $ | 276,895 |
(a) | Commenced operations April 17, 2018. |
54 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Balanced Strategy Portfolio | ||||||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||
Six Months Ended
| Year Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.55 | $ | 10.82 | $ | 10.41 | $ | 11.06 | $ | 11.13 | $ | 10.56 | ||||||||||||||
Net investment income (loss)(a)(b) | 0.05 | 0.16 | 0.11 | 0.33 | 0.21 | 0.25 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.31 | ) | 1.05 | 0.41 | (0.43 | ) | 0.06 | 0.61 | ||||||||||||||||||
Total from investment operations | (0.26 | ) | 1.21 | 0.52 | (0.10 | ) | 0.27 | 0.86 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.05 | ) | (0.27 | ) | (0.11 | ) | (0.38 | ) | (0.34 | ) | (0.29 | ) | ||||||||||||||
Distributions to shareholder from net realized gains | — | (0.21 | ) | — | — | — | — | |||||||||||||||||||
Distributions to shareholder from return of capital | — | — | — | (0.17 | ) | — | — | |||||||||||||||||||
Total distributions | (0.05 | ) | (0.48 | ) | (0.11 | ) | (0.55 | ) | (0.34 | ) | (0.29 | ) | ||||||||||||||
Net asset value, end of period | $ | 11.24 | $ | 11.55 | $ | 10.82 | $ | 10.41 | $ | 11.06 | $ | 11.13 | ||||||||||||||
Total return(c) | (2.26 | )% | 11.19 | % | 5.04 | % | (0.90 | )% | 2.40 | % | 8.23 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 109,823 | $ | 119,662 | $ | 129,445 | $ | 146,047 | $ | 173,813 | $ | 186,034 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.58 | %(e) | 0.62 | % | 0.59 | % | 0.59 | % | 0.60 | % | 0.60 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 0.60 | %(e) | 0.68 | % | 0.67 | % | 0.65 | % | 0.66 | % | 0.65 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 0.87 | %(e) | 1.40 | % | 1.01 | % | 2.95 | % | 1.85 | % | 2.29 | % | ||||||||||||||
Portfolio turnover rate(f) | 35 | % | 81 | % | 76 | % | 48 | % | 38 | % | 63 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | 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 Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 55 |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Financial Highlights
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Balanced Strategy Portfolio | ||||||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.55 | $ | 10.82 | $ | 10.41 | $ | 11.07 | $ | 11.13 | $ | 10.56 | ||||||||||||||
Net investment income(a)(b) | 0.01 | 0.07 | 0.03 | 0.24 | 0.12 | 0.17 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.31 | ) | 1.05 | 0.42 | (0.43 | ) | 0.07 | 0.61 | ||||||||||||||||||
Total from investment operations | (0.30 | ) | 1.12 | 0.45 | (0.19 | ) | 0.19 | 0.78 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.01 | ) | (0.18 | ) | (0.04 | ) | (0.32 | ) | (0.25 | ) | (0.21 | ) | ||||||||||||||
Distributions to shareholder from net realized gains | — | (0.21 | ) | — | — | — | — | |||||||||||||||||||
Distributions to shareholder from return of capital | — | — | — | (0.15 | ) | — | — | |||||||||||||||||||
Total distributions | (0.01 | ) | (0.39 | ) | (0.04 | ) | (0.47 | ) | (0.25 | ) | (0.21 | ) | ||||||||||||||
Net asset value, end of period | $ | 11.24 | $ | 11.55 | $ | 10.82 | $ | 10.41 | $ | 11.07 | $ | 11.13 | ||||||||||||||
Total return(c) | (2.70 | )% | 10.30 | % | 4.24 | % | (1.65 | )% | 1.71 | % | 7.42 | % | ||||||||||||||
Net assets, end of period (000s) | $ | 28,641 | $ | 34,542 | $ | 47,217 | $ | 53,734 | $ | 63,726 | $ | 74,053 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 1.33 | %(e) | 1.37 | % | 1.34 | % | 1.34 | % | 1.35 | % | 1.34 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 1.35 | %(e) | 1.42 | % | 1.42 | % | 1.40 | % | 1.41 | % | 1.40 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 0.10 | %(e) | 0.58 | % | 0.27 | % | 2.20 | % | 1.05 | % | 1.57 | % | ||||||||||||||
Portfolio Turnover Rate(f) | 35 | % | 81 | % | 76 | % | 48 | % | 38 | % | 63 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | 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 Fund’s portfolio turnover rate may be higher. |
56 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Goldman Sachs Balanced Strategy Portfolio | ||||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.55 | $ | 10.82 | $ | 10.42 | $ | 11.07 | $ | 11.13 | $ | 10.56 | ||||||||||||||
Net investment income(a)(b) | 0.07 | 0.21 | 0.16 | 0.39 | 0.25 | 0.33 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.31 | ) | 1.04 | 0.40 | (0.44 | ) | 0.07 | 0.58 | ||||||||||||||||||
Total from investment operations | (0.24 | ) | 1.25 | 0.56 | (0.05 | ) | 0.32 | 0.91 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.07 | ) | (0.31 | ) | (0.16 | ) | (0.40 | ) | (0.38 | ) | (0.34 | ) | ||||||||||||||
Distributions to shareholder from net realized gains | — | (0.21 | ) | — | — | — | — | |||||||||||||||||||
Distributions to shareholder from return of capital | — | — | — | (0.20 | ) | — | — | |||||||||||||||||||
Total distributions | (0.07 | ) | (0.52 | ) | (0.16 | ) | (0.60 | ) | (0.38 | ) | (0.34 | ) | ||||||||||||||
Net asset value, end of period | $ | 11.24 | $ | 11.55 | $ | 10.82 | $ | 10.42 | $ | 11.07 | $ | 11.13 | ||||||||||||||
Total return(c) | (2.08 | )% | 11.63 | % | 5.36 | % | (0.49 | )% | 2.90 | % | 8.67 | % | ||||||||||||||
Net assets, end of period (000s) | $ | 315,898 | $ | 353,778 | $ | 285,795 | $ | 234,110 | $ | 254,620 | $ | 287,623 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.19 | %(e) | 0.22 | % | 0.19 | % | 0.19 | % | 0.20 | % | 0.20 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 0.22 | %(e) | 0.28 | % | 0.27 | % | 0.25 | % | 0.26 | % | 0.25 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 1.23 | %(e) | 1.85 | % | 1.46 | % | 3.48 | % | 2.22 | % | 2.99 | % | ||||||||||||||
Portfolio Turnover Rate(f) | 35 | % | 81 | % | 76 | % | 48 | % | 38 | % | 63 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | 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 Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 57 |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Financial Highlights
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Balanced Strategy Portfolio | ||||||||||||||||||||||||||
Service Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.68 | $ | 10.94 | $ | 10.45 | $ | 11.10 | $ | 11.16 | $ | 10.59 | ||||||||||||||
Net investment income(a)(b) | 0.04 | 0.15 | 0.10 | 0.39 | 0.19 | 0.23 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.32 | ) | 1.06 | 0.49 | (0.50 | ) | 0.08 | 0.62 | ||||||||||||||||||
Total from investment operations | (0.28 | ) | 1.21 | 0.59 | (0.11 | ) | 0.27 | 0.85 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.04 | ) | (0.26 | ) | (0.10 | ) | (0.36 | ) | (0.33 | ) | (0.28 | ) | ||||||||||||||
Distributions to shareholder from net realized gains | — | (0.21 | ) | — | — | — | — | |||||||||||||||||||
Distributions to shareholder from return of capital | — | — | — | (0.18 | ) | — | — | |||||||||||||||||||
Total distributions | (0.04 | ) | (0.47 | ) | (0.10 | ) | (0.54 | ) | (0.33 | ) | (0.28 | ) | ||||||||||||||
Net asset value, end of period | $ | 11.36 | $ | 11.68 | $ | 10.94 | $ | 10.45 | $ | 11.10 | $ | 11.16 | ||||||||||||||
Total return(c) | (2.38 | )% | 11.04 | % | 5.67 | % | (0.99 | )% | 2.38 | % | 8.08 | % | ||||||||||||||
Net assets, end of period (000s) | $ | 799 | $ | 833 | $ | 831 | $ | 967 | $ | 1,391 | $ | 1,736 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.69 | %(e) | 0.72 | % | 0.69 | % | 0.69 | % | 0.70 | % | 0.69 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 0.71 | %(e) | 0.78 | % | 0.77 | % | 0.75 | % | 0.75 | % | 0.75 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 0.76 | %(e) | 1.31 | % | 0.93 | % | 3.47 | % | 1.65 | % | 2.14 | % | ||||||||||||||
Portfolio Turnover Rate(f) | 35 | % | 81 | % | 76 | % | 48 | % | 38 | % | 63 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | 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 Fund’s portfolio turnover rate may be higher. |
58 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Goldman Sachs Balanced Strategy Portfolio | ||||||||||||||||||||||||||
Investor Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.50 | $ | 10.78 | $ | 10.37 | $ | 11.03 | $ | 11.09 | $ | 10.53 | ||||||||||||||
Net investment income(a)(b) | 0.06 | 0.18 | 0.14 | 0.36 | 0.25 | 0.37 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.31 | ) | 1.05 | 0.41 | (0.44 | ) | 0.06 | 0.51 | ||||||||||||||||||
Total from investment operations | (0.25 | ) | 1.23 | 0.55 | (0.08 | ) | 0.31 | 0.88 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.06 | ) | (0.30 | ) | (0.14 | ) | (0.39 | ) | (0.37 | ) | (0.32 | ) | ||||||||||||||
Distributions to shareholder from net realized gains | — | (0.21 | ) | — | — | — | — | |||||||||||||||||||
Distributions to shareholder from return of capital | — | — | — | (0.19 | ) | — | — | |||||||||||||||||||
Total distributions | (0.06 | ) | (0.51 | ) | (0.14 | ) | (0.58 | ) | (0.37 | ) | (0.32 | ) | ||||||||||||||
Net asset value, end of period | $ | 11.19 | $ | 11.50 | $ | 10.78 | $ | 10.37 | $ | 11.03 | $ | 11.09 | ||||||||||||||
Total return(c) | (2.15 | )% | 11.41 | % | 5.33 | % | (0.73 | )% | 2.76 | % | 8.45 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 3,500 | $ | 3,976 | $ | 4,810 | $ | 4,555 | $ | 4,980 | $ | 3,938 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.33 | %(e) | 0.37 | % | 0.34 | % | 0.34 | % | 0.35 | % | 0.35 | % | ||||||||||||||
Ratio of gross expenses to average net assets(d) | 0.35 | %(e) | 0.42 | % | 0.42 | % | 0.40 | % | 0.41 | % | 0.40 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 1.11 | %(e) | 1.60 | % | 1.30 | % | 3.29 | % | 2.23 | % | 3.37 | % | ||||||||||||||
Portfolio Turnover Rate(f) | 35 | % | 81 | % | 76 | % | 48 | % | 38 | % | 63 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | 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 Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 59 |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Financial Highlights
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Balanced Strategy Portfolio | ||||||
Class P Shares (a) | ||||||
Period Ended (Unaudited) | ||||||
Per Share Data | ||||||
Net asset value, beginning of period | $ | 11.54 | ||||
Net investment income(b)(c) | 0.06 | |||||
Net realized and unrealized loss | (0.32 | ) | ||||
Total from investment operations | (0.26 | ) | ||||
Distributions to shareholders from net investment income | (0.04 | ) | ||||
Total distributions | (0.04 | ) | ||||
Net asset value, end of period | $ | 11.24 | ||||
Total return(d) | (2.23 | )% | ||||
Net assets, end of period (in 000s) | $ | 53,202 | ||||
Ratio of net expenses to average net assets(e) | 0.18 | %(f) | ||||
Ratio of total expenses to average net assets(e) | 0.18 | %(f) | ||||
Ratio of net investment income to average net assets(c) | 2.74 | %(f) | ||||
Portfolio Turnover Rate(g) | 35 | % |
(a) | Commenced operations April 17, 2018. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(d) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(e) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(f) | Annualized. |
(g) | 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 Fund’s portfolio turnover rate may be higher. |
60 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Goldman Sachs Balanced Strategy Portfolio | ||||||||||||||||||||||||||
Class R Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.50 | $ | 10.79 | $ | 10.36 | $ | 11.02 | $ | 11.08 | $ | 10.51 | ||||||||||||||
Net investment income(a)(b) | 0.04 | 0.15 | 0.09 | 0.36 | 0.18 | 0.23 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.30 | ) | 1.02 | 0.43 | (0.49 | ) | 0.07 | 0.61 | ||||||||||||||||||
Total from investment operations | (0.26 | ) | 1.17 | 0.52 | (0.13 | ) | 0.25 | 0.84 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.04 | ) | (0.25 | ) | (0.09 | ) | (0.34 | ) | (0.31 | ) | (0.27 | ) | ||||||||||||||
Distributions to shareholder from net realized gains | — | (0.21 | ) | — | — | — | — | |||||||||||||||||||
Distributions to shareholder from return of capital | — | — | — | (0.19 | ) | — | — | |||||||||||||||||||
Total distributions | (0.04 | ) | (0.46 | ) | (0.09 | ) | (0.53 | ) | (0.31 | ) | (0.27 | ) | ||||||||||||||
Net asset value, end of period | $ | 11.20 | $ | 11.50 | $ | 10.79 | $ | 10.36 | $ | 11.02 | $ | 11.08 | ||||||||||||||
Total return(c) | (2.30 | )% | 10.81 | % | 5.02 | % | (1.23 | )% | 2.25 | % | 8.00 | % | ||||||||||||||
Net assets, end of period (000s) | $ | 8,579 | $ | 8,629 | $ | 6,110 | $ | 5,196 | $ | 5,436 | $ | 5,615 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.83 | %(e) | 0.87 | % | 0.84 | % | 0.84 | % | 0.85 | % | 0.84 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 0.85 | %(e) | 0.93 | % | 0.92 | % | 0.90 | % | 0.90 | % | 0.90 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 0.63 | %(e) | 1.30 | % | 0.85 | % | 3.22 | % | 1.61 | % | 2.07 | % | ||||||||||||||
Portfolio Turnover Rate(f) | 35 | % | 81 | % | 76 | % | 48 | % | 38 | % | 63 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | 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 Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 61 |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Financial Highlights
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Balanced Strategy Portfolio | ||||||||||||||||||
Class R6 Shares | ||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | Period Ended December 31, 2015 (Unaudited)(a) | ||||||||||||||||
2017 | 2016 | |||||||||||||||||
Per Share Data | ||||||||||||||||||
Net asset value, beginning of period | $ | 11.55 | $ | 10.83 | $ | 10.42 | $ | 11.16 | ||||||||||
Net investment income(b)(c) | 0.07 | 0.54 | 0.15 | 0.30 | ||||||||||||||
Net realized and unrealized gain (loss) | (0.31 | ) | 0.71 | 0.42 | (0.52 | ) | ||||||||||||
Total from investment operations | (0.24 | ) | 1.25 | 0.57 | (0.22 | ) | ||||||||||||
Distributions to shareholders from net investment income | (0.07 | ) | (0.32 | ) | (0.16 | ) | (0.35 | ) | ||||||||||
Distributions to shareholder from net realized gains | — | (0.21 | ) | — | — | |||||||||||||
Distributions to shareholder from return of capital | — | — | — | (0.17 | ) | |||||||||||||
Total distributions | (0.07 | ) | (0.53 | ) | (0.16 | ) | (0.52 | ) | ||||||||||
Net asset value, end of period | $ | 11.24 | $ | 11.55 | $ | 10.83 | $ | 10.42 | ||||||||||
Total return(d) | (2.07 | )% | 11.54 | % | 5.46 | % | (2.01 | )% | ||||||||||
Net assets, end of period (000s) | $ | 552 | $ | 551 | $ | 10 | $ | 10 | ||||||||||
Ratio of net expenses to average net assets(e) | 0.18 | %(f) | 0.31 | % | 0.19 | % | 0.19 | %(f) | ||||||||||
Ratio of total expenses to average net assets(e) | 0.20 | %(f) | 0.39 | % | 0.27 | % | 0.23 | %(f) | ||||||||||
Ratio of net investment income to average net assets(c) | 1.28 | %(f) | 4.64 | % | 1.45 | % | 6.52 | %(f) | ||||||||||
Portfolio Turnover Rate(g) | 35 | % | 81 | % | 76 | % | 48 | % |
(a) | Commenced operations on July 31, 2015. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(d) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(e) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(f) | Annualized. |
(g) | 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 Fund’s portfolio turnover rate may be higher. |
62 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS EQUITY GROWTH STRATEGY PORTFOLIO
Goldman Sachs Equity Growth Strategy Portfolio | ||||||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 18.84 | $ | 15.25 | $ | 14.44 | $ | 14.46 | $ | 14.29 | $ | 11.75 | ||||||||||||||
Net investment income (loss)(a)(b) | 0.02 | 0.16 | 0.16 | 0.09 | 0.23 | 0.19 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.13 | ) | 3.80 | 0.83 | 0.03 | 0.20 | 2.57 | |||||||||||||||||||
Total from investment operations | (0.11 | ) | 3.96 | 0.99 | 0.12 | 0.43 | 2.76 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | (0.37 | ) | (0.18 | ) | (0.14 | ) | (0.26 | ) | (0.22 | ) | |||||||||||||||
Net asset value, end of period | $ | 18.73 | $ | 18.84 | $ | 15.25 | $ | 14.44 | $ | 14.46 | $ | 14.29 | ||||||||||||||
Total return(c) | (0.58 | )% | 25.96 | % | 6.81 | % | 0.83 | % | 3.01 | % | 23.51 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 130,336 | $ | 137,276 | $ | 124,514 | $ | 134,851 | $ | 148,611 | $ | 152,264 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.58 | %(e) | 0.59 | % | 0.59 | % | 0.59 | % | 0.60 | % | 0.60 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 0.61 | %(e) | 0.67 | % | 0.69 | % | 0.67 | % | 0.68 | % | 0.68 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 0.19 | %(e) | 0.93 | % | 1.12 | % | 0.63 | % | 1.56 | % | 1.45 | % | ||||||||||||||
Portfolio turnover rate(f) | 3 | % | 53 | % | 39 | % | 18 | % | 23 | % | 21 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | 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 Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 63 |
GOLDMAN SACHS EQUITY GROWTH STRATEGY PORTFOLIO
Financial Highlights
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Equity Growth Strategy Portfolio | ||||||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 18.01 | $ | 14.58 | $ | 13.82 | $ | 13.83 | $ | 13.68 | $ | 11.26 | ||||||||||||||
Net investment income (loss)(a)(b) | (0.05 | ) | 0.01 | 0.05 | (0.02 | ) | 0.10 | 0.08 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.12 | ) | 3.65 | 0.78 | 0.04 | 0.20 | 2.46 | |||||||||||||||||||
Total from investment operations | (0.17 | ) | 3.66 | 0.83 | 0.02 | 0.30 | 2.54 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | (0.23 | ) | (0.07 | ) | (0.03 | ) | (0.15 | ) | (0.12 | ) | |||||||||||||||
Net asset value, end of period | $ | 17.84 | $ | 18.01 | $ | 14.58 | $ | 13.82 | $ | 13.83 | $ | 13.68 | ||||||||||||||
Total return(c) | (0.94 | )% | 25.08 | % | 5.95 | % | 0.13 | % | 2.18 | % | 22.60 | % | ||||||||||||||
Net assets, end of period (000s) | $ | 61,609 | $ | 68,315 | $ | 75,027 | $ | 83,743 | $ | 96,667 | $ | 106,208 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 1.33 | %(e) | 1.34 | % | 1.34 | % | 1.34 | % | 1.35 | % | 1.35 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 1.36 | %(e) | 1.42 | % | 1.44 | % | 1.42 | % | 1.42 | % | 1.43 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets(b) | (0.57 | )%(e) | 0.08 | % | 0.33 | % | (0.15 | )% | 0.71 | % | 0.68 | % | ||||||||||||||
Portfolio Turnover Rate(f) | 3 | % | 53 | % | 39 | % | 18 | % | 23 | % | 21 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | 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 Fund’s portfolio turnover rate may be higher. |
64 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS EQUITY GROWTH STRATEGY PORTFOLIO
Goldman Sachs Equity Growth Strategy Portfolio | ||||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 19.01 | $ | 15.38 | $ | 14.57 | $ | 14.58 | $ | 14.41 | $ | 11.85 | ||||||||||||||
Net investment income(a)(b) | 0.02 | 0.24 | 0.23 | 0.16 | 0.29 | 0.27 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.10 | ) | 3.83 | 0.82 | 0.03 | 0.20 | 2.57 | |||||||||||||||||||
Total from investment operations | (0.08 | ) | 4.07 | 1.05 | 0.19 | 0.49 | 2.84 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | (0.44 | ) | (0.24 | ) | (0.20 | ) | (0.32 | ) | (0.28 | ) | |||||||||||||||
Net asset value, end of period | $ | 18.93 | $ | 19.01 | $ | 15.38 | $ | 14.57 | $ | 14.58 | $ | 14.41 | ||||||||||||||
Total return(c) | (0.37 | )% | 26.48 | % | 7.18 | % | 1.31 | % | 3.38 | % | 23.96 | % | ||||||||||||||
Net assets, end of period (000s) | $ | 15,393 | $ | 155,828 | $ | 119,108 | $ | 117,357 | $ | 130,499 | $ | 124,275 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.19 | %(e) | 0.20 | % | 0.19 | % | 0.19 | % | 0.20 | % | 0.20 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 0.25 | %(e) | 0.28 | % | 0.29 | % | 0.27 | % | 0.28 | % | 0.28 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 0.23 | %(e) | 1.40 | % | 1.55 | % | 1.05 | % | 1.96 | % | 2.07 | % | ||||||||||||||
Portfolio Turnover Rate(f) | 3 | % | 53 | % | 39 | % | 18 | % | 23 | % | 21 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | 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 Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 65 |
GOLDMAN SACHS EQUITY GROWTH STRATEGY PORTFOLIO
Financial Highlights
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Equity Growth Strategy Portfolio | ||||||||||||||||||||||||||
Service Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 18.75 | $ | 15.19 | $ | 14.39 | $ | 14.40 | $ | 14.22 | $ | 11.71 | ||||||||||||||
Net investment income(a)(b) | 0.01 | 0.16 | 0.15 | 0.08 | 0.19 | 0.19 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.13 | ) | 3.76 | 0.81 | 0.03 | 0.23 | 2.54 | |||||||||||||||||||
Total from investment operations | (0.12 | ) | 3.92 | 0.96 | 0.11 | 0.42 | 2.73 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | (0.36 | ) | (0.16 | ) | (0.12 | ) | (0.24 | ) | (0.22 | ) | |||||||||||||||
Net asset value, end of period | $ | 18.63 | $ | 18.75 | $ | 15.19 | $ | 14.39 | $ | 14.40 | $ | 14.22 | ||||||||||||||
Total return(c) | (0.64 | )% | 25.79 | % | 6.66 | % | 0.78 | % | 2.94 | % | 23.28 | % | ||||||||||||||
Net assets, end of period (000s) | $ | 647 | $ | 684 | $ | 470 | $ | 577 | $ | 626 | $ | 715 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.69 | %(e) | 0.69 | % | 0.69 | % | 0.69 | % | 0.70 | % | 0.70 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 0.72 | %(e) | 0.78 | % | 0.79 | % | 0.77 | % | 0.77 | % | 0.78 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 0.08 | %(e) | 0.91 | % | 1.01 | % | 0.52 | % | 1.27 | % | 1.48 | % | ||||||||||||||
Portfolio Turnover Rate(f) | 3 | % | 53 | % | 39 | % | 18 | % | 23 | % | 21 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | 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 Fund’s portfolio turnover rate may be higher. |
66 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS EQUITY GROWTH STRATEGY PORTFOLIO
Goldman Sachs Equity Growth Strategy Portfolio | ||||||||||||||||||||||||||
Investor Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 18.58 | $ | 15.03 | $ | 14.25 | $ | 14.27 | $ | 14.11 | $ | 11.62 | ||||||||||||||
Net investment income(a)(b) | 0.05 | 0.18 | 0.21 | 0.13 | 0.32 | 0.47 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.14 | ) | 3.78 | 0.79 | 0.03 | 0.14 | 2.29 | |||||||||||||||||||
Total from investment operations | (0.09 | ) | 3.96 | 1.00 | 0.16 | 0.46 | 2.76 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | (0.41 | ) | (0.22 | ) | (0.18 | ) | (0.30 | ) | (0.27 | ) | |||||||||||||||
Net asset value, end of period | $ | 18.49 | $ | 18.58 | $ | 15.03 | $ | 14.25 | $ | 14.27 | $ | 14.11 | ||||||||||||||
Total return(c) | (0.48 | )% | 26.35 | % | 6.99 | % | 1.11 | % | 3.27 | % | 23.77 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 6,361 | $ | 5,481 | $ | 5,663 | $ | 5,282 | $ | 5,280 | $ | 3,735 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.33 | %(e) | 0.34 | % | 0.34 | % | 0.34 | % | 0.35 | % | 0.35 | % | ||||||||||||||
Ratio of gross expenses to average net assets(d) | 0.36 | %(e) | 0.42 | % | 0.44 | % | 0.42 | % | 0.43 | % | 0.43 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 0.50 | %(e) | 1.07 | % | 1.47 | % | 0.91 | % | 2.19 | % | 3.55 | % | ||||||||||||||
Portfolio Turnover Rate(f) | 3 | % | 53 | % | 39 | % | 18 | % | 23 | % | 21 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | 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 Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 67 |
GOLDMAN SACHS EQUITY GROWTH STRATEGY PORTFOLIO
Financial Highlights
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Equity Growth Strategy Portfolio | ||||||
Class P Shares(a) | ||||||
Period Ended June 30, 2018 (Unaudited) | ||||||
Per Share Data | ||||||
Net asset value, beginning of period | $ | 19.43 | ||||
Net investment income(b)(c) | 0.14 | |||||
Net realized and unrealized gain (loss) | (0.60 | ) | ||||
Total from investment operations | (0.46 | ) | ||||
Net asset value, end of period | $ | 18.97 | ||||
Total return(d) | (2.32 | )% | ||||
Net assets, end of period (in 000s) | $ | 118,983 | ||||
Ratio of net expenses to average net assets(e) | 0.18 | %(f) | ||||
Ratio of total expenses to average net assets(e) | 0.18 | %(f) | ||||
Ratio of net investment income to average net assets(c) | 3.59 | %(f) | ||||
Portfolio Turnover Rate(g) | 3 | % |
(a) | Commenced operations April 17, 2018. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(d) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(e) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(f) | Annualized. |
(g) | 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 Fund’s portfolio turnover rate may be higher. |
68 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS EQUITY GROWTH STRATEGY PORTFOLIO
Goldman Sachs Equity Growth Strategy Portfolio | ||||||||||||||||||||||||||
Class R Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 18.69 | $ | 15.15 | $ | 14.37 | $ | 14.37 | $ | 14.17 | $ | 11.64 | ||||||||||||||
Net investment income (loss)(a)(b) | (0.01 | ) | 0.19 | 0.16 | 0.04 | 0.13 | 0.11 | |||||||||||||||||||
Net realized and unrealized gain (loss) | (0.12 | ) | 3.70 | 0.78 | 0.05 | 0.26 | 2.59 | |||||||||||||||||||
Total from investment operations | (0.13 | ) | 3.89 | 0.94 | 0.09 | 0.39 | 2.70 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | (0.35 | ) | (0.16 | ) | (0.09 | ) | (0.19 | ) | (0.17 | ) | |||||||||||||||
Net asset value, end of period | $ | 18.56 | $ | 18.69 | $ | 15.15 | $ | 14.37 | $ | 14.37 | $ | 14.17 | ||||||||||||||
Total return(c) | (0.70 | )% | 25.70 | % | 6.49 | % | 0.61 | % | 2.77 | % | 23.17 | % | ||||||||||||||
Net assets, end of period (000s) | $ | 5,044 | $ | 5,910 | $ | 2,031 | $ | 1,785 | $ | 2,339 | $ | 3,740 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.83 | %(e) | 0.84 | % | 0.84 | % | 0.84 | % | 0.85 | % | 0.84 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 0.86 | %(e) | 0.92 | % | 0.94 | % | 0.92 | % | 0.92 | % | 0.93 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets(b) | (0.06 | )%(e) | 1.06 | % | 1.10 | % | 0.28 | % | 0.86 | % | 0.85 | % | ||||||||||||||
Portfolio Turnover Rate(f) | 3 | % | 53 | % | 39 | % | 18 | % | 23 | % | 21 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | 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 Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 69 |
GOLDMAN SACHS EQUITY GROWTH STRATEGY PORTFOLIO
Financial Highlights
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Equity Growth Strategy Portfolio | ||||||||||||||||||
Class R6 Shares | ||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | Period Ended December 31, 2015 (Unaudited)(a) | ||||||||||||||||
2017 | 2016 | |||||||||||||||||
Per Share Data | ||||||||||||||||||
Net asset value, beginning of period | $ | 19.04 | $ | 15.37 | $ | 14.57 | $ | 15.38 | ||||||||||
Net investment income(b)(c) | 0.06 | 0.12 | 0.24 | 0.14 | ||||||||||||||
Net realized and unrealized gain (loss) | (0.13 | ) | 3.96 | 0.80 | (0.74 | ) | ||||||||||||
Total from investment operations | (0.07 | ) | 4.08 | 1.04 | (0.60 | ) | ||||||||||||
Distributions to shareholders from net investment income | — | (0.41 | ) | (0.24 | ) | (0.21 | ) | |||||||||||
Net asset value, end of period | $ | 18.97 | $ | 19.04 | $ | 15.37 | $ | 14.57 | ||||||||||
Total return(d) | (0.37 | )% | 26.54 | % | 7.12 | % | (3.93 | )% | ||||||||||
Net assets, end of period (000s) | $ | 13 | $ | 13 | $ | 10 | $ | 10 | ||||||||||
Ratio of net expenses to average net assets(e) | 0.18 | %(f) | 0.18 | % | 0.19 | % | 0.18 | %(f) | ||||||||||
Ratio of total expenses to average net assets(e) | 0.21 | %(f) | 0.24 | % | 0.28 | % | 0.29 | %(f) | ||||||||||
Ratio of net investment income to average net assets(c) | 0.60 | %(f) | 0.66 | % | 1.63 | % | 2.32 | %(f) | ||||||||||
Portfolio Turnover Rate(g) | 3 | % | 53 | % | 39 | % | 18 | % |
(a) | Commenced operations on July 31, 2015. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(d) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(e) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(f) | Annualized. |
(g) | 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 Fund’s portfolio turnover rate may be higher. |
70 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Goldman Sachs Growth and Income Strategy Portfolio | ||||||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.81 | $ | 12.17 | $ | 11.62 | $ | 12.10 | $ | 12.14 | $ | 10.95 | ||||||||||||||
Net investment income (loss)(a)(b) | 0.05 | 0.18 | 0.11 | 0.25 | 0.20 | 0.20 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.30 | ) | 1.79 | 0.56 | (0.31 | ) | 0.07 | 1.23 | ||||||||||||||||||
Total from investment operations | (0.25 | ) | 1.97 | 0.67 | (0.06 | ) | 0.27 | 1.43 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.06 | ) | (0.33 | ) | (0.12 | ) | (0.42 | ) | (0.31 | ) | (0.24 | ) | ||||||||||||||
Net asset value, end of period | $ | 13.50 | $ | 13.81 | $ | 12.17 | $ | 11.62 | $ | 12.10 | $ | 12.14 | ||||||||||||||
Total return(c) | (1.81 | )% | 16.19 | % | 5.75 | % | (0.54 | )% | 2.22 | % | 13.10 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 288,912 | $ | 302,116 | $ | 302,858 | $ | 341,468 | $ | 408,488 | $ | 435,812 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.58 | %(e) | 0.59 | % | 0.59 | % | 0.59 | % | 0.60 | % | 0.60 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 0.60 | %(e) | 0.63 | % | 0.64 | % | 0.63 | % | 0.63 | % | 0.63 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 0.75 | %(e) | 1.35 | % | 0.95 | % | 2.08 | % | 1.64 | % | 1.74 | % | ||||||||||||||
Portfolio turnover rate(f) | 24 | % | 81 | % | 67 | % | 40 | % | 35 | % | 50 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | 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. |
The accompanying notes are an integral part of these financial statements. | 71 |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Financial Highlights
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Growth and Income Strategy Portfolio | ||||||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.49 | $ | 11.90 | $ | 11.42 | $ | 11.91 | $ | 11.99 | $ | 10.85 | ||||||||||||||
Net investment income(a)(b) | — | (c) | 0.06 | 0.02 | 0.16 | 0.10 | 0.12 | |||||||||||||||||||
Net realized and unrealized gain (loss) | (0.29 | ) | 1.76 | 0.54 | (0.31 | ) | 0.08 | 1.22 | ||||||||||||||||||
Total from investment operations | (0.29 | ) | 1.82 | 0.56 | (0.15 | ) | 0.18 | 1.34 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.01 | ) | (0.23 | ) | (0.08 | ) | (0.34 | ) | (0.26 | ) | (0.20 | ) | ||||||||||||||
Net asset value, end of period | $ | 13.19 | $ | 13.49 | $ | 11.90 | $ | 11.42 | $ | 11.91 | $ | 11.99 | ||||||||||||||
Total return(d) | (2.16 | )% | 15.31 | % | 4.86 | % | (1.24 | ) % | 1.46 | % | 12.32 | % | ||||||||||||||
Net assets, end of period (000s) | $ | 82,157 | $ | 94,118 | $ | 121,778 | $ | 143,257 | $ | 169,745 | $ | 196,121 | ||||||||||||||
Ratio of net expenses to average net assets(e) | 1.33 | %(f) | 1.34 | % | 1.34 | % | 1.34 | % | 1.35 | % | 1.34 | % | ||||||||||||||
Ratio of total expenses to average net assets(e) | 1.35 | %(f) | 1.38 | % | 1.39 | % | 1.38 | % | 1.38 | % | 1.38 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets(b) | (0.02 | )%(f) | 0.50 | % | 0.18 | % | 1.30 | % | 0.80 | % | 1.02 | % | ||||||||||||||
Portfolio Turnover Rate(g) | 24 | % | 81 | % | 67 | % | 40 | % | 35 | % | 50 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Amount is less than $0.005 per share. |
(d) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(e) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(f) | Annualized. |
(g) | 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 Fund’s portfolio turnover rate may be higher. |
72 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Goldman Sachs Growth and Income Strategy Portfolio | ||||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.85 | $ | 12.21 | $ | 11.66 | $ | 12.14 | $ | 12.18 | $ | 10.98 | ||||||||||||||
Net investment income(a)(b) | 0.07 | 0.24 | 0.17 | 0.32 | 0.26 | 0.28 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.30 | ) | 1.78 | 0.55 | (0.33 | ) | 0.06 | 1.21 | ||||||||||||||||||
Total from investment operations | (0.23 | ) | 2.02 | 0.72 | (0.01 | ) | 0.32 | 1.49 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.08 | ) | (0.38 | ) | (0.17 | ) | (0.47 | ) | (0.36 | ) | (0.29 | ) | ||||||||||||||
Net asset value, end of period | $ | 13.54 | $ | 13.85 | $ | 12.21 | $ | 11.66 | $ | 12.14 | $ | 12.18 | ||||||||||||||
Total return(c) | (1.62 | )% | 16.60 | % | 6.15 | % | (0.13 | )% | 2.62 | % | 13.63 | % | ||||||||||||||
Net assets, end of period (000s) | $ | 377,390 | $ | 574,136 | $ | 455,273 | $ | 429,243 | $ | 421,720 | $ | 353,203 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.19 | %(e) | 0.19 | % | 0.19 | % | 0.19 | % | 0.20 | % | 0.20 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 0.21 | %(e) | 0.23 | % | 0.24 | % | 0.23 | % | 0.23 | % | 0.23 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 1.03 | %(e) | 1.80 | % | 1.42 | % | 2.59 | % | 2.11 | % | 2.36 | % | ||||||||||||||
Portfolio Turnover Rate(f) | 24 | % | 81 | % | 67 | % | 40 | % | 35 | % | 50 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | 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 Fund‘s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 73 |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Financial Highlights
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Growth and Income Strategy Portfolio | ||||||||||||||||||||||||||
Service Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.77 | $ | 12.14 | $ | 11.60 | $ | 12.07 | $ | 12.11 | $ | 10.92 | ||||||||||||||
Net investment income(a)(b) | 0.04 | 0.17 | 0.11 | 0.25 | 0.20 | 0.20 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.29 | ) | 1.77 | 0.54 | (0.32 | ) | 0.06 | 1.23 | ||||||||||||||||||
Total from investment operations | (0.25 | ) | 1.94 | 0.65 | (0.07 | ) | 0.26 | 1.43 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.05 | ) | (0.31 | ) | (0.11 | ) | (0.40 | ) | (0.30 | ) | (0.24 | ) | ||||||||||||||
Net asset value, end of period | $ | 13.47 | $ | 13.77 | $ | 12.14 | $ | 11.60 | $ | 12.07 | $ | 12.11 | ||||||||||||||
Total return(c) | (1.80 | )% | 16.03 | % | 5.58 | % | (0.56 | )% | 2.11 | % | 13.08 | % | ||||||||||||||
Net assets, end of period (000s) | $ | 3,195 | $ | 3,414 | $ | 3,253 | $ | 3,246 | $ | 3,725 | $ | 3,917 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.69 | %(e) | 0.69 | % | 0.69 | % | 0.69 | % | 0.70 | % | 0.70 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 0.71 | %(e) | 0.73 | % | 0.74 | % | 0.73 | % | 0.73 | % | 0.73 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 0.64 | %(e) | 1.27 | % | 0.90 | % | 2.03 | % | 1.58 | % | 1.71 | % | ||||||||||||||
Portfolio Turnover Rate(f) | 24 | % | 81 | % | 67 | % | 40 | % | 35 | % | 50 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | 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 Fund’s portfolio turnover rate may be higher. |
74 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Goldman Sachs Growth and Income Strategy Portfolio | ||||||||||||||||||||||||||
Investor Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.74 | $ | 12.12 | $ | 11.57 | $ | 12.05 | $ | 12.09 | $ | 10.91 | ||||||||||||||
Net investment income(a)(b) | 0.07 | 0.23 | 0.16 | 0.29 | 0.25 | 0.29 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.29 | ) | 1.75 | 0.54 | (0.32 | ) | 0.05 | 1.16 | ||||||||||||||||||
Total from investment operations | (0.22 | ) | 1.98 | 0.70 | (0.03 | ) | 0.30 | 1.45 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.08 | ) | (0.36 | ) | (0.15 | ) | (0.45 | ) | (0.34 | ) | (0.27 | ) | ||||||||||||||
Net asset value, end of period | $ | 13.44 | $ | 13.74 | $ | 12.12 | $ | 11.57 | $ | 12.05 | $ | 12.09 | ||||||||||||||
Total return(c) | (1.62 | )% | 16.39 | % | 6.04 | % | (0.29 | )% | 2.49 | % | 13.36 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 10,686 | $ | 7,241 | $ | 4,769 | $ | 3,085 | $ | 3,478 | $ | 2,796 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.33 | %(e) | 0.34 | % | 0.34 | % | 0.34 | % | 0.35 | % | 0.35 | % | ||||||||||||||
Ratio of gross expenses to average net assets(d) | 0.35 | %(e) | 0.38 | % | 0.39 | % | 0.38 | % | 0.38 | % | 0.38 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 1.06 | %(e) | 1.72 | % | 1.37 | % | 2.42 | % | 2.00 | % | 2.46 | % | ||||||||||||||
Portfolio Turnover Rate(f) | 24 | % | 81 | % | 67 | % | 40 | % | 35 | % | 50 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | 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 Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 75 |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Financial Highlights
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Growth and Income Strategy Portfolio | ||||||
Class P Shares(a) | ||||||
Period Ended June 30, 2018 (Unaudited) | ||||||
Per Share Data | ||||||
Net asset value, beginning of period | $ | 13.91 | ||||
Net investment income(b)(c) | 0.22 | |||||
Net realized and unrealized loss | (0.55 | ) | ||||
Total from investment operations | (0.33 | ) | ||||
Distributions to shareholders from net investment income | (0.04 | ) | ||||
Net asset value, end of period | $ | 13.54 | ||||
Total return(d) | (2.41 | )% | ||||
Net assets, end of period (in 000s) | $ | 203,197 | ||||
Ratio of net expenses to average net assets(e) | 0.18 | %(f) | ||||
Ratio of total expenses to average net assets(e) | 0.18 | %(f) | ||||
Ratio of net investment income to average net assets(c) | 7.82 | %(f) | ||||
Portfolio Turnover Rate(g) | 24 | % |
(a) | Commenced operations April 17, 2018. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(d) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(e) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(f) | Annualized. |
(g) | 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 Fund’s portfolio turnover rate may be higher. |
76 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Goldman Sachs Growth and Income Strategy Portfolio | ||||||||||||||||||||||||||
Class R Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.70 | $ | 12.09 | $ | 11.56 | $ | 12.03 | $ | 12.08 | $ | 10.90 | ||||||||||||||
Net investment income(a)(b) | 0.03 | 0.18 | 0.09 | 0.23 | 0.16 | 0.16 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.29 | ) | 1.73 | 0.54 | (0.31 | ) | 0.07 | 1.24 | ||||||||||||||||||
Total from investment operations | (0.26 | ) | 1.91 | 0.63 | (0.08 | ) | 0.23 | 1.40 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.04 | ) | (0.30 | ) | (0.10 | ) | (0.39 | ) | (0.28 | ) | (0.22 | ) | ||||||||||||||
Net asset value, end of period | $ | 13.40 | $ | 13.70 | $ | 12.09 | $ | 11.56 | $ | 12.03 | $ | 12.08 | ||||||||||||||
Total return(c) | (1.88 | )% | 15.83 | % | 5.40 | % | (0.69 | )% | 1.97 | % | 12.76 | % | ||||||||||||||
Net assets, end of period (000s) | $ | 4,797 | $ | 5,441 | $ | 2,659 | $ | 2,330 | $ | 2,438 | $ | 3,430 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.83 | %(e) | 0.84 | % | 0.84 | % | 0.84 | % | 0.85 | % | 0.85 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 0.85 | %(e) | 0.88 | % | 0.89 | % | 0.88 | % | 0.88 | % | 0.88 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 0.49 | %(e) | 1.35 | % | 0.75 | % | 1.89 | % | 1.27 | % | 4.42 | % | ||||||||||||||
Portfolio Turnover Rate(f) | 24 | % | 81 | % | 67 | % | 40 | % | 35 | % | 50 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | 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 Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 77 |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Financial Highlights
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Growth and Income Strategy Portfolio | ||||||||||||||||||
Class R6 Shares | ||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | Period Ended December 31, 2015 (Unaudited)(a) | ||||||||||||||||
2017 | 2016 | |||||||||||||||||
Per Share Data | ||||||||||||||||||
Net asset value, beginning of period | $ | 13.85 | $ | 12.20 | $ | 11.66 | $ | 12.42 | ||||||||||
Net investment income(b)(c) | 0.10 | 0.30 | 0.17 | 0.26 | ||||||||||||||
Net realized and unrealized gain (loss) | (0.32 | ) | 1.73 | 0.54 | (0.62 | ) | ||||||||||||
Total from investment operations | (0.22 | ) | 2.03 | 0.71 | (0.36 | ) | ||||||||||||
Distributions to shareholders from net investment income | (0.09 | ) | (0.38 | ) | (0.17 | ) | (0.40 | ) | ||||||||||
Net asset value, end of period | $ | 13.54 | $ | 13.85 | $ | 12.20 | $ | 11.66 | ||||||||||
Total return(d) | (1.61 | )% | 16.71 | % | 6.07 | % | (2.87 | )% | ||||||||||
Net assets, end of period (000s) | $ | 3,520 | $ | 84 | $ | 10 | $ | 10 | ||||||||||
Ratio of net expenses to average net assets(e) | 0.18 | %(f) | 0.18 | % | 0.19 | % | 0.19 | %(f) | ||||||||||
Ratio of total expenses to average net assets(e) | 0.19 | %(f) | 0.22 | % | 0.23 | % | 0.21 | %(f) | ||||||||||
Ratio of net investment income to average net assets(c) | 1.43 | %(f) | 2.21 | % | 1.43 | % | 5.04 | %(f) | ||||||||||
Portfolio Turnover Rate(g) | 24 | % | 81 | % | 67 | % | 40 | % |
(a) | Commenced operations on July 31, 2015. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(d) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(e) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(f) | Annualized. |
(g) | 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 Fund’s portfolio turnover rate may be higher. |
78 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Goldman Sachs Growth Strategy Portfolio | ||||||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.83 | $ | 13.39 | $ | 12.70 | $ | 12.91 | $ | 12.89 | $ | 11.05 | ||||||||||||||
Net investment income(a)(b) | 0.03 | 0.15 | 0.11 | 0.15 | 0.19 | 0.14 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.33 | ) | 2.67 | 0.70 | (0.16 | ) | 0.12 | 1.88 | ||||||||||||||||||
Total from investment operations | (0.30 | ) | 2.82 | 0.81 | (0.01 | ) | 0.31 | 2.02 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (0.38 | ) | (0.12 | ) | (0.20 | ) | (0.29 | ) | (0.18 | ) | |||||||||||||||
Net asset value, end of period | $ | 15.53 | $ | 15.83 | $ | 13.39 | $ | 12.70 | $ | 12.91 | $ | 12.89 | ||||||||||||||
Total return(c) | (1.90 | )% | 21.02 | % | 6.38 | % | (0.08 | )% | 2.36 | % | 18.31 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 298,601 | $ | 316,078 | $ | 301,331 | $ | 336,880 | $ | 385,409 | $ | 389,445 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.58 | %(e) | 0.59 | % | 0.59 | % | 0.59 | % | 0.60 | % | 0.60 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 0.60 | %(e) | 0.63 | % | 0.65 | % | 0.64 | % | 0.64 | % | 0.64 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 0.36 | %(e) | 1.00 | % | 0.83 | % | 1.15 | % | 1.46 | % | 1.19 | % | ||||||||||||||
Portfolio turnover rate(f) | 21 | % | 85 | % | 59 | % | 38 | % | 26 | % | 32 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | 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 Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 79 |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Financial Highlights
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Growth Strategy Portfolio | ||||||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.81 | $ | 13.37 | $ | 12.68 | $ | 12.88 | $ | 12.85 | $ | 11.02 | ||||||||||||||
Net investment income (loss)(a)(b) | (0.03 | ) | 0.03 | 0.01 | 0.05 | 0.07 | 0.05 | |||||||||||||||||||
Net realized and unrealized gain (loss) | (0.32 | ) | 2.66 | 0.70 | (0.15 | ) | 0.13 | 1.86 | ||||||||||||||||||
Total from investment operations | (0.35 | ) | 2.69 | 0.71 | (0.10 | ) | 0.20 | 1.91 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (0.25 | ) | (0.02 | ) | (0.10 | ) | (0.17 | ) | (0.08 | ) | |||||||||||||||
Net asset value, end of period | $ | 15.46 | $ | 15.81 | $ | 13.37 | $ | 12.68 | $ | 12.88 | $ | 12.85 | ||||||||||||||
Total return(c) | (2.21 | )% | 20.08 | % | 5.57 | % | (0.82 | )% | 1.59 | % | 17.37 | % | ||||||||||||||
Net assets, end of period (000s) | $ | 112,640 | $ | 126,894 | $ | 144,292 | $ | 161,733 | $ | 190,125 | $ | 218,776 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 1.33 | %(e) | 1.34 | % | 1.34 | % | 1.34 | % | 1.35 | % | 1.35 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 1.35 | %(e) | 1.38 | % | 1.40 | % | 1.39 | % | 1.39 | % | 1.39 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets(b) | (0.41 | )%(e) | 0.18 | % | 0.08 | % | 0.39 | % | 0.57 | % | 0.42 | % | ||||||||||||||
Portfolio Turnover Rate(f) | 21 | % | 85 | % | 59 | % | 38 | % | 26 | % | 32 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | 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 Fund’s portfolio turnover rate may be higher. |
80 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Goldman Sachs Growth Strategy Portfolio | ||||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.81 | $ | 13.37 | $ | 12.69 | $ | 12.90 | $ | 12.88 | $ | 11.04 | ||||||||||||||
Net investment income(a)(b) | 0.05 | 0.22 | 0.17 | 0.22 | 0.24 | 0.21 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.32 | ) | 2.66 | 0.69 | (0.17 | ) | 0.12 | 1.87 | ||||||||||||||||||
Total from investment operations | (0.27 | ) | 2.88 | 0.86 | 0.05 | 0.36 | 2.08 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | (0.44 | ) | (0.18 | ) | (0.26 | ) | (0.34 | ) | (0.24 | ) | |||||||||||||||
Net asset value, end of period | $ | 15.54 | $ | 15.81 | $ | 13.37 | $ | 12.69 | $ | 12.90 | $ | 12.88 | ||||||||||||||
Total return(c) | (1.71 | )% | 21.53 | % | 6.76 | % | 0.35 | % | 2.76 | % | 18.81 | % | ||||||||||||||
Net assets, end of period (000s) | $ | 280,490 | $ | 455,902 | $ | 335,237 | $ | 303,237 | $ | 267,677 | $ | 246,229 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.19 | %(e) | 0.20 | % | 0.19 | % | 0.19 | % | 0.20 | % | 0.20 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 0.22 | %(e) | 0.24 | % | 0.25 | % | 0.23 | % | 0.24 | % | 0.24 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 0.60 | %(e) | 1.46 | % | 1.33 | % | 1.68 | % | 1.84 | % | 1.77 | % | ||||||||||||||
Portfolio Turnover Rate(f) | 21 | % | 85 | % | 59 | % | 38 | % | 26 | % | 32 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | 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 Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 81 |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Financial Highlights
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Growth Strategy Portfolio | ||||||||||||||||||||||||||
Service Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.77 | $ | 13.35 | $ | 12.67 | $ | 12.88 | $ | 12.84 | $ | 11.01 | ||||||||||||||
Net investment income(a)(b) | 0.02 | 0.15 | 0.10 | 0.14 | 0.15 | 0.14 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.32 | ) | 2.64 | 0.69 | (0.16 | ) | 0.15 | 1.86 | ||||||||||||||||||
Total from investment operations | (0.30 | ) | 2.79 | 0.79 | (0.02 | ) | 0.30 | 2.00 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (0.37 | ) | (0.11 | ) | (0.19 | ) | (0.26 | ) | (0.17 | ) | |||||||||||||||
Net asset value, end of period | $ | 15.47 | $ | 15.77 | $ | 13.35 | $ | 12.67 | $ | 12.88 | $ | 12.84 | ||||||||||||||
Total return(c) | (1.90 | )% | 20.88 | % | 6.26 | % | (0.17 | )% | 2.32 | % | 18.19 | % | ||||||||||||||
Net assets, end of period (000s) | $ | 2,642 | $ | 2,888 | $ | 2,237 | $ | 2,135 | $ | 2,509 | $ | 3,419 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.69 | %(e) | 0.70 | % | 0.69 | % | 0.69 | % | 0.70 | % | 0.70 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 0.71 | %(e) | 0.74 | % | 0.75 | % | 0.74 | % | 0.74 | % | 0.74 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 0.25 | %(e) | 1.00 | % | 0.81 | % | 1.09 | % | 1.11 | % | 1.14 | % | ||||||||||||||
Portfolio Turnover Rate(f) | 21 | % | 85 | % | 59 | % | 38 | % | 26 | % | 32 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | 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 Fund’s portfolio turnover rate may be higher. |
82 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Goldman Sachs Growth Strategy Portfolio | ||||||||||||||||||||||||||
Investor Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.59 | $ | 13.20 | $ | 12.52 | $ | 12.73 | $ | 12.72 | $ | 10.91 | ||||||||||||||
Net investment income(a)(b) | 0.05 | 0.23 | 0.15 | 0.19 | 0.25 | 0.26 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.32 | ) | 2.58 | 0.69 | (0.16 | ) | 0.08 | 1.77 | ||||||||||||||||||
Total from investment operations | (0.27 | ) | 2.81 | 0.84 | 0.03 | 0.33 | 2.03 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | (0.42 | ) | (0.16 | ) | (0.24 | ) | (0.32 | ) | (0.22 | ) | |||||||||||||||
Net asset value, end of period | $ | 15.32 | $ | 15.59 | $ | 13.20 | $ | 12.52 | $ | 12.73 | $ | 12.72 | ||||||||||||||
Total return(c) | (1.73 | )% | 21.30 | % | 6.70 | % | 0.20 | % | 2.58 | % | 18.65 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 12,314 | $ | 8,008 | $ | 4,352 | $ | 4,114 | $ | 4,496 | $ | 3,598 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.33 | %(e) | 0.34 | % | 0.34 | % | 0.34 | % | 0.35 | % | 0.35 | % | ||||||||||||||
Ratio of gross expenses to average net assets(d) | 0.35 | %(e) | 0.39 | % | 0.40 | % | 0.39 | % | 0.39 | % | 0.39 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 0.62 | %(e) | 1.54 | % | 1.18 | % | 1.50 | % | 1.92 | % | 2.17 | % | ||||||||||||||
Portfolio Turnover Rate(f) | 21 | % | 85 | % | 59 | % | 38 | % | 26 | % | 32 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | 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 Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 83 |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Financial Highlights
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Growth Strategy Portfolio | ||||||
Class P Shares(a) | ||||||
Period Ended June 30, 2018 | ||||||
Per Share Data | ||||||
Net asset value, beginning of period | $ | 15.96 | ||||
Net investment income(b)(c) | 0.29 | |||||
Net realized and unrealized gain (loss) | (0.69 | ) | ||||
Total from investment operations | (0.40 | ) | ||||
Net asset value, end of period | $ | 15.56 | ||||
Total return(d) | (2.51 | )% | ||||
Net assets, end of period (000s) | $ | 168,486 | ||||
Ratio of net expenses to average net assets(e) | 0.18 | %(f) | ||||
Ratio of total expenses to average net assets(e) | 0.18 | %(f) | ||||
Ratio of net investment income to average net assets(c) | 9.06 | %(f) | ||||
Portfolio Turnover Rate(g) | 21 | % |
(a) | Commenced operations April 17, 2018. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(d) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(e) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(f) | Annualized. |
(g) | 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 Fund’s portfolio turnover rate may be higher. |
84 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Goldman Sachs Growth Strategy Portfolio | ||||||||||||||||||||||||||
Class R Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.42 | $ | 13.08 | $ | 12.41 | $ | 12.62 | $ | 12.59 | $ | 10.80 | ||||||||||||||
Net investment income(a)(b) | 0.01 | 0.16 | 0.08 | 0.12 | 0.11 | 0.10 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.31 | ) | 2.54 | 0.69 | (0.16 | ) | 0.15 | 1.84 | ||||||||||||||||||
Total from investment operations | (0.30 | ) | 2.70 | 0.77 | (0.04 | ) | 0.26 | 1.94 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (0.36 | ) | (0.10 | ) | (0.17 | ) | (0.23 | ) | (0.15 | ) | |||||||||||||||
Net asset value, end of period | $ | 15.12 | $ | 15.42 | $ | 13.08 | $ | 12.41 | $ | 12.62 | $ | 12.59 | ||||||||||||||
Total return(c) | (1.95 | )% | 20.67 | % | 6.16 | % | (0.31 | )% | 2.06 | % | 17.93 | % | ||||||||||||||
Net assets, end of period (000s) | $ | 6,093 | $ | 6,334 | $ | 2,548 | $ | 2,323 | $ | 2,461 | $ | 4,208 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.83 | %(e) | 0.84 | % | 0.84 | % | 0.84 | % | 0.85 | % | 0.85 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 0.85 | %(e) | 0.89 | % | 0.90 | % | 0.89 | % | 0.89 | % | 0.89 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 0.12 | %(e) | 1.06 | % | 0.65 | % | 0.95 | % | 0.84 | % | 0.84 | % | ||||||||||||||
Portfolio Turnover Rate(f) | 21 | % | 85 | % | 59 | % | 38 | % | 26 | % | 32 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | 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 Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 85 |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Financial Highlights
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Growth Strategy Portfolio | ||||||||||||||||||
Class R6 Shares | ||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | Period Ended December 31, 2015 (Unaudited)(a) | ||||||||||||||||
2017 | 2016 | |||||||||||||||||
Per Share Data | ||||||||||||||||||
Net asset value, beginning of period | $ | 15.81 | $ | 13.37 | $ | 12.68 | $ | 13.44 | ||||||||||
Net investment income(b)(c) | 0.07 | 0.17 | 0.17 | 0.18 | ||||||||||||||
Net realized and unrealized gain (loss) | (0.33 | ) | 2.71 | 0.70 | (0.68 | ) | ||||||||||||
Total from investment operations | (0.26 | ) | 2.88 | 0.87 | (0.50 | ) | ||||||||||||
Distributions to shareholders from net investment income | — | (0.44 | ) | (0.18 | ) | (0.26 | ) | |||||||||||
Net asset value, end of period | $ | 15.55 | $ | 15.81 | $ | 13.37 | $ | 12.68 | ||||||||||
Total return(d) | (1.64 | )% | 21.51 | % | 6.76 | % | (3.66 | )% | ||||||||||
Net assets, end of period (000s) | $ | 2,870 | $ | 964 | $ | 10 | $ | 10 | ||||||||||
Ratio of net expenses to average net assets(e) | 0.18 | %(f) | 0.18 | % | 0.19 | % | 0.21 | %(f) | ||||||||||
Ratio of total expenses to average net assets(e) | 0.20 | %(f) | 0.23 | % | 0.25 | % | 0.25 | %(f) | ||||||||||
Ratio of net investment income to average net assets(c) | 0.83 | %(f) | 1.12 | % | 1.33 | % | 3.22 | %(f) | ||||||||||
Portfolio Turnover Rate(g) | 21 | % | 85 | % | 59 | % | 38 | % |
(a) | Commenced operations on July 31, 2015. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(d) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(e) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(f) | Annualized. |
(g) | 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 Fund’s portfolio turnover rate may be higher. |
86 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Goldman Sachs Satellite Strategies Portfolio | ||||||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.45 | $ | 7.64 | $ | 7.45 | $ | 7.89 | $ | 8.16 | $ | 8.22 | ||||||||||||||
Net investment income(a)(b) | 0.08 | 0.20 | 0.20 | 0.19 | 0.21 | 0.25 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.40 | ) | 0.88 | 0.24 | (0.44 | ) | (0.23 | ) | (0.04 | ) | ||||||||||||||||
Total from investment operations | (0.32 | ) | 1.08 | 0.44 | (0.25 | ) | (0.02 | ) | 0.21 | |||||||||||||||||
Distributions to shareholders from net investment income | (0.09 | ) | (0.27 | ) | (0.25 | ) | (0.19 | ) | (0.21 | ) | (0.27 | ) | ||||||||||||||
Distributions to shareholder from net realized gains | — | — | — | — | (0.04 | ) | — | |||||||||||||||||||
Distributions to shareholder from return of capital | — | — | 0.00 | (c) | — | — | — | |||||||||||||||||||
Total distributions | (0.09 | ) | (0.27 | ) | (0.25 | ) | (0.19 | ) | (0.25 | ) | (0.27 | ) | ||||||||||||||
Net asset value, end of period | $ | 8.04 | $ | 8.45 | $ | 7.64 | $ | 7.45 | $ | 7.89 | $ | 8.16 | ||||||||||||||
Total return(d) | (3.81 | )% | 14.28 | % | 5.92 | % | (3.24 | )% | (0.28 | )% | 2.67 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 47,088 | $ | 53,090 | $ | 84,529 | $ | 118,345 | $ | 177,204 | $ | 231,868 | ||||||||||||||
Ratio of net expenses to average net assets(e) | 0.56 | %(f) | 0.57 | % | 0.57 | % | 0.57 | % | 0.58 | % | 0.58 | % | ||||||||||||||
Ratio of total expenses to average net assets(e) | 0.59 | %(f) | 0.61 | % | 0.61 | % | 0.60 | % | 0.60 | % | 0.60 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 2.04 | %(f) | 2.42 | % | 2.62 | % | 2.43 | % | 2.50 | % | 3.08 | % | ||||||||||||||
Portfolio turnover rate(g) | 10 | % | 57 | % | 22 | % | 22 | % | 20 | % | 36 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Amount is less than $0.005 per share. |
(d) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(e) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(f) | Annualized. |
(g) | 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 Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 87 |
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Financial Highlights
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Satellite Strategies Portfolio | ||||||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.40 | $ | 7.60 | $ | 7.41 | $ | 7.84 | $ | 8.12 | $ | 8.18 | ||||||||||||||
Net investment income(a)(b) | 0.05 | 0.14 | 0.15 | 0.13 | 0.15 | 0.19 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.39 | ) | 0.87 | 0.23 | (0.43 | ) | (0.24 | ) | (0.04 | ) | ||||||||||||||||
Total from investment operations | (0.34 | ) | 1.01 | 0.38 | (0.30 | ) | (0.09 | ) | 0.15 | |||||||||||||||||
Distributions to shareholders from net investment income | (0.06 | ) | (0.21 | ) | (0.19 | ) | (0.13 | ) | (0.15 | ) | (0.21 | ) | ||||||||||||||
Distributions to shareholder from net realized gains | — | — | — | — | (0.04 | ) | — | |||||||||||||||||||
Distributions to shareholder from return of capital | — | — | 0.00 | (c) | — | — | — | |||||||||||||||||||
Total distributions | (0.06 | ) | (0.21 | ) | (0.19 | ) | (0.13 | ) | (0.19 | ) | (0.21 | ) | ||||||||||||||
Net asset value, end of period | $ | 8.00 | $ | 8.40 | $ | 7.60 | $ | 7.41 | $ | 7.84 | $ | 8.12 | ||||||||||||||
Total return(d) | (4.08 | )% | 13.37 | % | 5.17 | % | (3.89 | )% | (1.16 | )% | 1.91 | % | ||||||||||||||
Net assets, end of period (000s) | $ | 37,878 | $ | 44,710 | $ | 53,575 | $ | 68,765 | $ | 102,605 | $ | 118,513 | ||||||||||||||
Ratio of net expenses to average net assets(e) | 1.31 | %(f) | 1.32 | % | 1.32 | % | 1.32 | % | 1.33 | % | 1.33 | % | ||||||||||||||
Ratio of total expenses to average net assets(e) | 1.34 | %(f) | 1.36 | % | 1.36 | % | 1.35 | % | 1.35 | % | 1.35 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 1.27 | %(f) | 1.78 | % | 1.94 | % | 1.66 | % | 1.79 | % | 2.35 | % | ||||||||||||||
Portfolio turnover rate(g) | 10 | % | 57 | % | 22 | % | 22 | % | 20 | % | 36 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Amount is less than $0.005 per share. |
(d) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(e) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(f) | Annualized. |
(g) | 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 Fund’s portfolio turnover rate may be higher. |
88 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Goldman Sachs Satellite Strategies Portfolio | ||||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.43 | $ | 7.62 | $ | 7.43 | $ | 7.87 | $ | 8.15 | $ | 8.21 | ||||||||||||||
Net investment income(a)(b) | 0.10 | 0.24 | 0.23 | 0.23 | 0.25 | 0.29 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.41 | ) | 0.88 | 0.24 | (0.45 | ) | (0.24 | ) | (0.04 | ) | ||||||||||||||||
Total from investment operations | (0.31 | ) | 1.12 | 0.47 | (0.22 | ) | 0.01 | 0.25 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.10 | ) | (0.31 | ) | (0.28 | ) | (0.22 | ) | (0.25 | ) | (0.31 | ) | ||||||||||||||
Distributions to shareholder from net realized gains | — | — | — | — | (0.04 | ) | — | |||||||||||||||||||
Distributions to shareholder from return of capital | — | — | 0.00 | (c) | — | — | — | |||||||||||||||||||
Total distributions | (0.10 | ) | (0.31 | ) | (0.28 | ) | (0.22 | ) | (0.29 | ) | (0.31 | ) | ||||||||||||||
Net asset value, end of period | $ | 8.02 | $ | 8.43 | $ | 7.62 | $ | 7.43 | $ | 7.87 | $ | 8.15 | ||||||||||||||
Total return(d) | (3.64 | )% | 14.80 | % | 6.38 | % | (2.84 | )% | — | %(c) | 3.09 | % | ||||||||||||||
Net assets, end of period (000s) | $ | 414,060 | $ | 488,118 | $ | 509,681 | $ | 655,268 | $ | 833,657 | $ | 853,543 | ||||||||||||||
Ratio of net expenses to average net assets(e) | 0.17 | %(f) | 0.17 | % | 0.17 | % | 0.17 | % | 0.18 | % | 0.18 | % | ||||||||||||||
Ratio of total expenses to average net assets(e) | 0.20 | %(f) | 0.22 | % | 0.21 | % | 0.20 | % | 0.20 | % | 0.20 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 2.40 | %(f) | 2.96 | % | 3.08 | % | 2.85 | % | 2.97 | % | 3.53 | % | ||||||||||||||
Portfolio turnover rate(g) | 10 | % | 57 | % | 22 | % | 22 | % | 20 | % | 36 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Amount is less than $0.005 per share. |
(d) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(e) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(f) | Annualized. |
(g) | 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 Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 89 |
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Financial Highlights
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Satellite Strategies Portfolio | ||||||||||||||||||||||||||
Service Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.43 | $ | 7.63 | $ | 7.43 | $ | 7.84 | $ | 8.12 | $ | 8.19 | ||||||||||||||
Net investment income(a)(b) | 0.08 | 0.20 | 0.18 | 0.14 | 0.19 | 0.24 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.40 | ) | 0.86 | 0.26 | (0.40 | ) | (0.22 | ) | (0.04 | ) | ||||||||||||||||
Total from investment operations | (0.32 | ) | 1.06 | 0.44 | (0.26 | ) | (0.03 | ) | 0.20 | |||||||||||||||||
Distributions to shareholders from net investment income | (0.08 | ) | (0.26 | ) | (0.24 | ) | (0.15 | ) | (0.21 | ) | (0.27 | ) | ||||||||||||||
Distributions to shareholder from net realized gains | — | — | — | — | (0.04 | ) | — | |||||||||||||||||||
Distributions to shareholder from return of capital | — | — | 0.00 | (c) | — | — | — | |||||||||||||||||||
Total distributions | (0.08 | ) | (0.26 | ) | (0.24 | ) | (0.15 | ) | (0.25 | ) | (0.27 | ) | ||||||||||||||
Net asset value, end of period | $ | 8.03 | $ | 8.43 | $ | 7.63 | $ | 7.43 | $ | 7.84 | $ | 8.12 | ||||||||||||||
Total return(d) | (3.75 | )% | 14.06 | % | 5.92 | % | (3.32 | )% | (0.39 | )% | 2.45 | % | ||||||||||||||
Net assets, end of period (000s) | $ | 314 | $ | 350 | $ | 408 | $ | 988 | $ | 14,085 | $ | 28,483 | ||||||||||||||
Ratio of net expenses to average net assets(e) | 0.67 | %(f) | 0.67 | % | 0.67 | % | 0.67 | % | 0.68 | % | 0.68 | % | ||||||||||||||
Ratio of total expenses to average net assets(e) | 0.70 | %(f) | 0.72 | % | 0.71 | % | 0.70 | % | 0.70 | % | 0.70 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 1.93 | %(f) | 2.41 | % | 2.40 | % | 1.81 | % | 2.30 | % | 2.96 | % | ||||||||||||||
Portfolio turnover rate(g) | 10 | % | 57 | % | 22 | % | 22 | % | 20 | % | 36 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Amount is less than $0.005 per share. |
(d) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(e) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(f) | Annualized. |
(g) | 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 Fund’s portfolio turnover rate may be higher. |
90 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Goldman Sachs Satellite Strategies Portfolio | ||||||||||||||||||||||||||
Investor Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.43 | $ | 7.62 | $ | 7.43 | $ | 7.87 | $ | 8.15 | $ | 8.21 | ||||||||||||||
Net investment income(a)(b) | 0.09 | 0.22 | 0.23 | 0.21 | 0.23 | 0.28 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.40 | ) | 0.88 | 0.23 | (0.44 | ) | (0.24 | ) | (0.04 | ) | ||||||||||||||||
Total from investment operations | (0.31 | ) | 1.10 | 0.46 | (0.23 | ) | (0.01 | ) | 0.24 | |||||||||||||||||
Distributions to shareholders from net investment income | (0.10 | ) | (0.29 | ) | (0.27 | ) | (0.21 | ) | (0.23 | ) | (0.30 | ) | ||||||||||||||
Distributions to shareholder from net realized gains | — | — | — | — | (0.04 | ) | — | |||||||||||||||||||
Distributions to shareholder from return of capital | — | — | 0.00 | (c) | — | — | — | |||||||||||||||||||
Total distributions | (0.10 | ) | (0.29 | ) | (0.27 | ) | (0.21 | ) | (0.27 | ) | (0.30 | ) | ||||||||||||||
Net asset value, end of period | $ | 8.02 | $ | 8.43 | $ | 7.62 | $ | 7.43 | $ | 7.87 | $ | 8.15 | ||||||||||||||
Total return(d) | (3.71 | )% | 14.62 | % | 6.22 | % | (2.99 | )% | (0.15 | )% | 2.94 | % | ||||||||||||||
Net assets, end of period (000s) | $ | 37,421 | $ | 46,011 | $ | 58,740 | $ | 67,547 | $ | 86,018 | $ | 91,493 | ||||||||||||||
Ratio of net expenses to average net assets(e) | 0.31 | %(f) | 0.32 | % | 0.32 | % | 0.32 | % | 0.33 | % | 0.33 | % | ||||||||||||||
Ratio of gross expenses to average net assets(e) | 0.34 | %(f) | 0.36 | % | 0.36 | % | 0.35 | % | 0.35 | % | 0.35 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 2.25 | %(f) | 2.74 | % | 3.02 | % | 2.69 | % | 2.78 | % | 3.39 | % | ||||||||||||||
Portfolio turnover rate(g) | 10 | % | 57 | % | 22 | % | 22 | % | 20 | % | 36 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Amount is less than $0.005 per share. |
(d) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(e) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(f) | Annualized. |
(g) | 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 Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 91 |
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Financial Highlights
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Satellite Strategies Portfolio | ||||||
Class P Shares(a) | ||||||
Period Ended June 30, 2018 (Unaudited) | ||||||
Per Share Data | ||||||
Net asset value, beginning of period | $ | 8.37 | ||||
Net investment income(b)(c) | 0.10 | |||||
Net realized and unrealized gain (loss) | (0.38 | ) | ||||
Total from investment operations | (0.28 | ) | ||||
Distributions to shareholders from net investment income | (0.06 | ) | ||||
Net asset value, end of period | $ | 8.03 | ||||
Total return(d) | (3.33 | )% | ||||
Net assets, end of period (000s) | $ | 3,437 | ||||
Ratio of net expenses to average net assets(e) | 0.16 | %(f) | ||||
Ratio of total expenses to average net assets(e) | 0.16 | %(f) | ||||
Ratio of net investment income to average net assets(b) | 6.25 | %(f) | ||||
Portfolio turnover rate(g) | 10 | % |
(a) | Commenced operations April 17, 2018. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(d) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(e) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(f) | Annualized. |
(g) | 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 Fund’s portfolio turnover rate may be higher. |
92 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Goldman Sachs Satellite Strategies Portfolio | ||||||||||||||||||||||||||
Class R Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.41 | $ | 7.61 | $ | 7.42 | $ | 7.86 | $ | 8.13 | $ | 8.19 | ||||||||||||||
Net investment income(a)(b) | 0.07 | 0.19 | 0.19 | 0.18 | 0.18 | 0.24 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.39 | ) | 0.86 | 0.23 | (0.45 | ) | (0.22 | ) | (0.04 | ) | ||||||||||||||||
Total from investment operations | (0.32 | ) | 1.05 | 0.42 | (0.27 | ) | (0.04 | ) | 0.20 | |||||||||||||||||
Distributions to shareholders from net investment income | (0.08 | ) | (0.25 | ) | (0.23 | ) | (0.17 | ) | (0.19 | ) | (0.26 | ) | ||||||||||||||
Distributions to shareholder from net realized gains | — | — | — | — | (0.04 | ) | — | |||||||||||||||||||
Distributions to shareholder from return of capital | — | — | 0.00 | (c) | — | — | — | |||||||||||||||||||
Total distributions | (0.08 | ) | (0.25 | ) | (0.23 | ) | (0.17 | ) | (0.23 | ) | (0.26 | ) | ||||||||||||||
Net asset value, end of period | $ | 8.01 | $ | 8.41 | $ | 7.61 | $ | 7.42 | $ | 7.86 | $ | 8.13 | ||||||||||||||
Total return(d) | (3.83 | )% | 13.94 | % | 5.71 | % | (3.49 | )% | (0.54 | )% | 2.44 | % | ||||||||||||||
Net assets, end of period (000s) | $ | 2,361 | $ | 2,645 | $ | 2,788 | $ | 3,119 | $ | 3,495 | $ | 3,765 | ||||||||||||||
Ratio of net expenses to average net assets(e) | 0.81 | %(f) | 0.82 | % | 0.82 | % | 0.82 | 0.83 | 0.83 | |||||||||||||||||
Ratio of total expenses to average net assets(e) | 0.84 | %(f) | 0.86 | % | 0.86 | % | 0.85 | % | 0.85 | % | 0.85 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 1.78 | %(f) | 2.33 | % | 2.49 | % | 2.24 | % | 2.23 | % | 2.91 | % | ||||||||||||||
Portfolio turnover rate(g) | 10 | % | 57 | % | 22 | % | 22 | % | 20 | % | 36 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Amount is less than $0.005 per share. |
(d) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(e) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(f) | Annualized. |
(g) | 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 Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 93 |
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Financial Highlights
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Satellite Strategies Portfolio | ||||||||||||||||||
Class R6 Shares | ||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | Period Ended December 31, 2015 (Unaudited)(a) | ||||||||||||||||
2017 | 2016 | |||||||||||||||||
Per Share Data | ||||||||||||||||||
Net asset value, beginning of period | $ | 8.43 | $ | 7.63 | $ | 7.44 | $ | 7.91 | ||||||||||
Net investment income(b) (c) | 0.10 | 0.25 | 0.63 | 0.11 | ||||||||||||||
Net realized and unrealized gain (loss) | (0.40 | ) | 0.86 | (0.15 | ) | (0.46 | ) | |||||||||||
Total from investment operations | (0.30 | ) | 1.11 | 0.48 | (0.35 | ) | ||||||||||||
Distributions to shareholders from net investment income | (0.10 | ) | (0.31 | ) | (0.28 | ) | (0.12 | ) | ||||||||||
Distributions to shareholder from return of capital | — | — | (0.01 | ) | — | |||||||||||||
Total distributions | (0.10 | ) | (0.31 | ) | (0.29 | ) | (0.12 | ) | ||||||||||
Net asset value, end of period | $ | 8.03 | $ | 8.43 | $ | 7.63 | $ | 7.44 | ||||||||||
Total return(d) | (3.51 | )% | 14.66 | % | 6.40 | % | (4.43 | )% | ||||||||||
Net assets, end of period (000s) | $ | 42,150 | $ | 40,326 | $ | 33,805 | $ | 10 | ||||||||||
Ratio of net expenses to average net assets(e) | 0.16 | %(f) | 0.16 | % | 0.15 | % | 0.15 | %(f) | ||||||||||
Ratio of total expenses to average net assets(e) | 0.19 | %(f) | 0.20 | % | 0.17 | % | 0.18 | %(f) | ||||||||||
Ratio of net investment income to average net assets(c) | 2.54 | %(f) | 3.09 | % | 8.15 | % | 3.58 | %(f) | ||||||||||
Portfolio turnover rate(g) | 10 | % | 57 | % | 22 | % | 22 | % |
(a) | Commenced operations on July 31, 2015. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(d) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(e) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(f) | Annualized. |
(g) | 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 Fund’s portfolio turnover rate may be higher. |
94 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
June 30, 2018 (Unaudited)
1. ORGANIZATION |
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Portfolios” or individually a “Portfolio”), along with their corresponding share classes and respective diversification status under the Act:
Portfolio | Share Classes Offered | Diversified/ Non-diversified | ||
All Portfolios | A, C, Institutional, Service, Investor, P*, R, R6 | Diversified |
* | Commenced operations on April 17, 2018. |
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, Investor, Class P, 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 (“Goldman Sachs”), serves as investment adviser to the Portfolios pursuant to a management agreement (the “Agreement”) with the Trust.
The Portfolios are expected to invest primarily in a combination of domestic and international equity and fixed income underlying funds (“Underlying Funds”) which are registered under the Act, for which GSAM or Goldman Sachs Asset Management International (“GSAMI”), also an affiliate of Goldman Sachs, act as investment advisers.
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 valuation policy of the Portfolios and Underlying Funds is to value investments at fair value.
B. Investment Income and Investments — Investment income includes interest income, dividend income and securities lending income, if any. 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. Investment income is recorded net of any foreign withholding taxes, less any amounts reclaimable. The Portfolios may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Income distributions are recognized as capital gains or income in the financial statements in accordance with the character that is distributed.
For derivative contracts, realized gains and losses are recorded upon settlement of the contract. Upfront payments, if any, are made or received upon entering into a swap agreement and are reflected in the Statements of Assets and Liabilities. Upfront payments are recognized over the contract’s term/event as realized gains or losses, with the exception of forward starting interest rate swaps whose realized gains or losses are recognized from the effective start date.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, and non-class specific expenses of each Portfolio are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by a Portfolio are charged to that Portfolio, while such expenses incurred by the Trust are allocated across the applicable Portfolios 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.
Expenses included in the accompanying financial statements reflect the expenses of each Portfolio and do not include any expenses associated with the Underlying Funds (“Underlying Funds”). Because the Underlying Funds have varied expense and fee
95
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
levels and the Portfolios may own different proportions of the Underlying Funds at different times, the amount of fees and expenses incurred indirectly by each Portfolio will vary.
D. Federal Taxes and Distributions to Shareholders — It is each 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, each 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 according to the following schedule:
Portfolio | Income Distributions Declared/Paid | Capital Gains Distributions Declared/Paid | ||||
Balanced Strategy, Growth and Income Strategy and Satellite Strategies | Quarterly | Annually | ||||
Equity Growth Strategy and Growth Strategy | 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 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 Portfolios’ 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 Portfolios 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 translation. 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 |
U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Portfolios’ policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The 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).
96
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
Changes in valuation techniques may result in transfers into or out of an assigned level within the hierarchy. In accordance with the Portfolios’ 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 Portfolios, 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 Portfolios’ 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:
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 Class R6 Shares 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 Portfolios invest in Underlying Funds that fluctuate in value, the Portfolios’ 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 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.
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 exchange contract is a forward contract in which a Portfolio agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked-to-market daily at the applicable forward rate. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.
ii. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security and are valued based on exchanged settlement prices or independent market quotes. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and at the last ask price for short positions, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, a Portfolio deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial
97
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
margin requirement. Subsequent payments are made or received by a 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. For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Portfolio and cash collateral received, 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 a Portfolio, if any, is noted in the Schedules of Investments.
iii. Options — When a 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 a Portfolio, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.
iv. Swap Contracts — Bilateral swap contracts are agreements in which a 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 a 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, a Portfolio is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a receivable or payable for variation margin.
A credit default swap is an agreement that involves one party (the buyer of protection) making a stream of payments to another party (the seller of protection) in exchange for the right to receive protection on a reference security or obligation, including a group of assets or exposure to the performance of an index. A 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 a 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, a 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. A 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, a Portfolio generally receives a payment stream throughout the term of the swap, provided that there is no credit event. In addition, if a Portfolio sells protection through a credit default swap, a 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, a 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. A 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, a 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 a 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
98
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
potential amounts would be partially offset by any recovery values of the respective referenced obligations or net amounts received from a settlement of a credit default swap for the same reference security or obligation where a Portfolio bought credit protection.
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 Portfolios’ 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 Portfolio’s NAV. Significant events which could affect a large number of securities in a particular market may include, but are not limited to: significant fluctuations in U.S. or foreign markets; market dislocations; market disruptions; or unscheduled market closings. Significant events which could also affect a single issuer may include, but are not limited to: corporate actions such as reorganizations, mergers and buy-outs; ratings downgrades; and bankruptcies.
C. Fair Value Hierarchy — The following is a summary of the Portfolios’ investments and derivatives classified in the fair value hierarchy as of June 30, 2018:
BALANCED STRATEGY |
| |||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Underlying Funds | ||||||||||||
Dynamic | $ | 79,329,695 | $ | — | $ | — | ||||||
Equity | 133,796,302 | — | — | |||||||||
Exchange Traded Funds | 85,578,558 | — | — | |||||||||
Fixed Income | 188,461,414 | — | — | |||||||||
Investment Company | 19,465,467 | — | — | |||||||||
Total | $ | 506,631,436 | $ | — | $ | — | ||||||
Derivative Type | ||||||||||||
Assets | ||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | — | $ | 475,913 | $ | — | ||||||
Futures Contracts(a) | 1,961,919 | — | — | |||||||||
Options Purchased | 2,008,094 | — | — | |||||||||
Total | $ | 3,970,013 | $ | 475,913 | $ | — | ||||||
Liabilities | ||||||||||||
Futures Contracts(a) | $ | (827,524 | ) | $ | — | $ | — | |||||
Written Options | (233,925 | ) | — | — | ||||||||
Total | $ | (1,061,449 | ) | $ | — | $ | — |
99
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
EQUITY GROWTH STRATEGY PORTFOLIO | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Underlying Funds | ||||||||||||
Equity | $ | 246,765,438 | $ | — | $ | — | ||||||
Exchange Traded Funds | 74,790,196 | |||||||||||
Investment Company | 9,748,819 | |||||||||||
Total | $ | 331,304,453 | $ | — | $ | — | ||||||
Derivative Type | ||||||||||||
Assets(a) | ||||||||||||
Futures Contracts | $ | 10,844 | $ | — | $ | — | ||||||
Liabilities | ||||||||||||
Futures Contracts(a) | $ | (753,575 | ) | $ | — | $ | — | |||||
Written Options | — | (29,775 | ) | — | ||||||||
Total | $ | (753,575 | ) | $ | (29,775 | ) | $ | — | ||||
GROWTH AND INCOME STRATEGY PORTFOLIO | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Underlying Funds | ||||||||||||
Dynamic | $ | 148,013,105 | $ | — | $ | — | ||||||
Equity | 420,290,918 | — | — | |||||||||
Fixed Income | 160,233,577 | — | — | |||||||||
Exchange Traded Funds | 175,405,084 | — | — | |||||||||
Investment Company | 40,112,977 | — | — | |||||||||
Total | $ | 944,055,661 | $ | — | $ | — | ||||||
Derivative Type | ||||||||||||
Assets | ||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | — | $ | 945,634 | $ | — | ||||||
Futures Contracts(a) | 4,584,796 | — | — | |||||||||
Options Purchased | 5,248,588 | — | — | |||||||||
Total | $ | 9,833,384 | $ | 945,634 | $ | — | ||||||
Liabilities | ||||||||||||
Futures Contracts(a) | $ | (1,640,659 | ) | $ | — | $ | — | |||||
Written Options | (593,561 | ) | — | — | ||||||||
Total | $ | (2,234,220 | ) | $ | — | $ | — |
100
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
GROWTH STRATEGY PORTFOLIO | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Underlying Funds | ||||||||||||
Dynamic | $ | 109,627,817 | $ | — | $ | — | ||||||
Equity | 526,751,991 | — | — | |||||||||
Exchange Traded Funds | 168,065,057 | |||||||||||
Fixed Income | 33,930,251 | — | — | |||||||||
Investment Company | 22,390,064 | |||||||||||
Total | $ | 860,765,180 | $ | — | $ | — | ||||||
Derivative Type | ||||||||||||
Assets | ||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | — | $ | 904,229 | $ | — | ||||||
Futures Contracts(a) | 6,084,420 | — | — | |||||||||
Options Purchased | 6,267,138 | — | — | |||||||||
Total | $ | 12,351,558 | $ | 904,229 | $ | — | ||||||
Liabilities | ||||||||||||
Futures Contracts(a) | $ | (1,706,590 | ) | $ | — | $ | — | |||||
Written Options | (128,263 | ) | — | — | ||||||||
Total | $ | (1,834,853 | ) | $ | — | $ | — | |||||
SATELLITE STRATEGIES PORTFOLIO | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Underlying Funds | ||||||||||||
Equity | $ | 325,317,691 | $ | — | $ | — | ||||||
Exchange-Traded Funds | 23,661,189 | |||||||||||
Fixed Income | 227,384,961 | — | — | |||||||||
Investment Company | 194,613 | |||||||||||
Total | $ | 576,558,454 | $ | — | $ | — |
(a) | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Schedules of Investments.
101
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
4. INVESTMENTS IN DERIVATIVES |
The following tables set forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of June 30, 2018. These instruments were used as part of the Portfolios’ 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 Portfolios’ net exposure.
Balanced Strategy Portfolio | ||||||||||||
Risk | Statements of Assets and Liabilities | Assets | Statements of Assets and Liabilities | Liabilities | ||||||||
Interest rate | Variation margin on certain derivative contracts; Purchased options, at value | $ | 3,970,013 | (a) | Variation margin on certain derivative contracts | $ | (258,269) | (a) | ||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts | 475,913 | — | — | ||||||||
Equity | — | — | Variation margin on certain derivative contracts; Written options, at value | (802,880) | (a) | |||||||
Total | $ | 4,445,926 | $ | (1,061,449) | ||||||||
Equity Growth Strategy Portfolio | ||||||||||||
Risk | Statements of Assets and Liabilities | Assets | Statements of Assets and Liabilities | Liabilities | ||||||||
Equity | Variation margin on future Contracts; Purchased Options, at value | $ | 10,844 | (a) | Variation margin on future Contracts; Written Options, at value | $ | (783,350) | (a) | ||||
Growth and Income Strategy Portfolio | ||||||||||||
Risk | Statements of Assets and Liabilities | Assets | Statements of Assets and Liabilities | Liabilities | ||||||||
Interest rate | Variation margin on future contracts; Purchased options, at value | $ | 9,833,384 | (a) | Variation margin on future contracts; Written options, at value | $ | (586,098) | (a) | ||||
Currency | Receivable for unrealized gain on forward foreign currency contracts | 945,634 | — | |||||||||
Equity | — | — | Variation margin on future contracts; Written options, at value | (1,648,122) | (a) | |||||||
Total | $ | 10,779,018 | $ | (2,234,220) | ||||||||
Growth Strategy Portfolio | ||||||||||||
Risk | Statements of Assets and Liabilities | Assets | Statements of Assets and Liabilities | Liabilities | ||||||||
Interest | Variation margin on future contracts; Purchased Options, at value | $ | 12,351,558 | (a) | Variation margin on future contracts | $ | (741,030) | (a) | ||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts | 904,229 | — | — | ||||||||
Equity | — | — | Variation margin on future contracts; Written options, at value | (1,093,823) | (a) | |||||||
Total | $ | 13,255,787 | $ | (1,834,853) |
(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 June 30, 2018 is reported within the Statements of Assets and Liabilities. |
102
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
4. INVESTMENTS IN DERIVATIVES (continued) |
The following tables set forth, by certain risk types, the Portfolios’ gains (losses) related to these derivatives and their indicative volumes for the six months ended June 30, 2018. 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:
Balanced Strategy | ||||||||||||||
Risk | Statements of Operations | Net Realized Gain (Loss) | Net Change in Gain (Loss) | Average Number of Contracts(a) | ||||||||||
Interest rate | Net realized gain (loss) from purchased options and futures contracts/Net change in unrealized gain (loss) on purchased options and futures contracts | $ | (1,765,849 | ) | $ | (177,759 | ) | 1,232 | ||||||
Credit | Net realized gain (loss) from swaps contracts | 132 | — | 1 | ||||||||||
Currency | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | 194,970 | (1,142,678 | ) | 4 | |||||||||
Equity | Net realized gain (loss) from futures contracts and written options/Net change in unrealized gain (loss) on futures contracts and written options | 2,084,548 | 475,913 | 329 | ||||||||||
Total | $ | 513,801 | $ | (844,524 | ) | 1,566 | ||||||||
Equity Growth Strategy Portfolio | ||||||||||||||
Risk | Statements of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||||
Equity | Net realized gain (loss) from futures contracts, Purchased options and written options/Net change in unrealized gain (loss) on futures contracts, Purchased options and written options | $ | 898,122 | $ | (1,022,452 | ) | 600 | |||||||
Growth and Income Strategy Portfolio | ||||||||||||||
Risk | Statements of Operations | Net Realized Gain (Loss) | Net Change in Gain (Loss) | Average Number of Contracts(a) | ||||||||||
Interest rate | Net realized gain (loss) from futures contracts and purchased options/Net change in unrealized gain (loss) on futures contracts and purchase options | $ | (3,626,886 | ) | $ | (128,990 | ) | 2,781 | ||||||
Credit | Net realized gain (loss) from swaps contracts | 291 | — | 1 | ||||||||||
Currency | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | 370,804 | 945,634 | 4 | ||||||||||
Equity | Net realized gain (loss) from futures contracts and written options/Net change in unrealized gain (loss) on futures contracts and written options | 4,252,399 | (2,089,327 | ) | 601 | |||||||||
Total | $ | 996,608 | $ | (1,272,683 | ) | 3,387 |
103
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
4. INVESTMENTS IN DERIVATIVES (continued) |
Growth Strategy Portfolio | ||||||||||||||
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 purchased options, swap contracts and futures contracts/Net change in unrealized gain (loss) on purchased options and futures contracts | $(5,106,203) | $ | 20,045 | 3,668 | |||||||||
Credit | Net realized gain (loss) from swaps contracts | 268 | — | 1 | ||||||||||
Currency | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | 407,941 | 904,229 | 4 | ||||||||||
Equity | Net realized gain (loss) from futures contracts and written options/Net change in unrealized gain (loss) on futures contracts and written options | 3,332,986 | (2,031,548 | ) | 550 | |||||||||
Total | $ | (1,365,008 | ) | $ | (1,107,274 | ) | 4,223 |
(a) | Average number of contracts is based on the average of month end balances for the period ended June 30, 2018. |
In order to better define its contractual rights and to secure rights that will help a Portfolio mitigate its counterparty risk, a 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 a 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 a Portfolio and the counterparty. Additionally, a 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 a Portfolio 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 Portfolio, 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 Portfolio from its counterparties are not fully collateralized, contractually or otherwise, the Portfolio bears the risk of loss from counterparty nonperformance. A 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.
104
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Portfolios, 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 Portfolios’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of average daily net assets of 0.124% for the Satellite Strategies Portfolio and 0.15% for each of the other Portfolios.
B. Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A and Class R Shares of each Portfolio, 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 Portfolios, as applicable, as set forth below.
The Trust, on behalf of Class C Shares of each Portfolio, 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 Portfolios, as set forth below.
The Trust, on behalf of Service Shares of each Portfolio, 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 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 Service Shares of the Portfolios, as set forth below.
Distribution and/or Service Plan Rates | ||||||||||||||||
Class A* | Class C | Class R* | Service | |||||||||||||
Distribution and/or Service Plan | 0.25 | % | 0.75 | % | 0.50 | % | 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 and/or Service Plans 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 Portfolios pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. For the six months ended June 30, 2018, Goldman Sachs advised that it retained the following amounts:
Front End Sales Charge | Contingent Deferred Sales Charge | |||||||||
Portfolio | Class A | Class C | ||||||||
Balanced Strategy | $ | 7,003 | $ | 480 | ||||||
Equity Growth Strategy | 5,723 | 438 | ||||||||
Growth and Income Strategy | 8,878 | 471 | ||||||||
Growth Strategy | 10,174 | 557 | ||||||||
Satellite Strategies | 1,562 | 6 |
D. Service and/or Shareholder Administration Plans — The Trust, on behalf of each Portfolio, 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
105
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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 an annual percentage rate of 0.25% the average daily net assets attributable to Class C or Service Shares of the Portfolios, respectively.
E. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Portfolios 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: 0.18% of the average daily net assets of Class A, Class C, Investor and Class R Shares; 0.03% of the average daily net assets of Class P and Class R6 Shares; and 0.04% of the average daily net assets of Institutional and Service Shares.
F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to limit certain “Other Expenses” of the Portfolios (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and 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 Portfolio. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Portfolios 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 0.01% for the Satellite Strategies Portfolio and 0.004% for each other Portfolio. These Other Expense limitations will remain in place through at least April 30, 2019 for Class A, Class C, Institutional, Service, Investor, Class P, Class R and Class R6 Shares, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Portfolios have entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Portfolios’ expenses and are received irrespective of the application of the “Other Expense” limitations described above
For the six months ended June 30, 2018, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
Portfolio | Transfer Agency Waivers/Credits | Other Expense Reimbursements | Total Expense Reductions | |||||||||||
Balanced Strategy | $ | 212 | $ | 48,190 | $ | 48,402 | ||||||||
Equity Growth Strategy | 274 | 49,659 | 49,933 | |||||||||||
Growth and Income Strategy | 445 | 71,565 | 72,010 | |||||||||||
Growth Strategy | 649 | 86,030 | 86,679 | |||||||||||
Satellite Strategies | 139 | 79,410 | 79,549 |
G. Line of Credit Facility — As of June 30, 2018, the Portfolios participated in a $770,000,000 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 Portfolios based on the amount of the commitment that has not been utilized. For the six months ended June 30, 2018, the Portfolios did not have any borrowings under the facility. Prior to May 1, 2018, the facility was $1,100,000,000. The facility was decreased to $770,000,000 effective May 1, 2018.
H. Other Transactions with Affiliates — As of June 30, 2018, The Goldman Sachs Group, Inc. was the beneficial owner of 100% of Class R6 Shares of the Equity Growth Strategy Portfolio.
106
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
The Portfolios invest primarily in the Class R6 Shares of the Underlying Funds. These Underlying Funds are considered to be affiliated with the Portfolios. During the six months ended June 30, 2018, the Portfolios converted Institutional Shares of the Underlying Funds (except ETFs) to Class R6 Shares. The tables below show the transactions in and earnings from investments in these Underlying Funds for the six months ended June 30, 2018 (in thousands):
Balanced Strategy Portfolio | ||||||||||||||||||||||||||||||||
Underlying Fund(a) | Market Value 12/31/17 | Purchases at Cost | Proceeds from Sales | Realized Gain Loss | Change In Unrealized Gain (loss) | Market Value 6/30/18 | Shares | Dividend Income | ||||||||||||||||||||||||
Goldman Sachs Access High Yield Corporate Bond ETF | $ | — | $ | 13,564 | $ | — | $ | — | $ | (88 | ) | $ | 13,476 | 279 | $ | 43 | ||||||||||||||||
Goldman Sachs ActiveBeta Emerging Markets Equity ETF | 11,521 | 1,002 | (6,005 | ) | 858 | (1,408 | ) | 5,968 | 180 | 45 | ||||||||||||||||||||||
Goldman Sachs ActiveBeta International Equity ETF | — | 16,736 | — | — | (664 | ) | 16,072 | 547 | 180 | |||||||||||||||||||||||
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | 8,303 | 14,099 | (1,797 | ) | 284 | 38 | 20,927 | 382 | 120 | |||||||||||||||||||||||
Goldman Sachs Alternative Premia Fund | 20,797 | 1,500 | (12,760 | ) | (2,234 | ) | 1,492 | 8,795 | 985 | — | ||||||||||||||||||||||
Goldman Sachs Core Fixed Income Fund | 6,669 | 1,071 | (7,468 | ) | (267 | ) | (5 | ) | — | — | 71 | |||||||||||||||||||||
Goldman Sachs Emerging Markets Equity Insights Fund | 40,727 | 12,850 | (2,401 | ) | 545 | (3,824 | ) | 47,897 | 4,795 | — | ||||||||||||||||||||||
Goldman Sachs Emerging Markets Debt Fund | 23,027 | 23,467 | (1,751 | ) | (3 | ) | (2,613 | ) | 42,127 | 3,567 | 617 | |||||||||||||||||||||
Goldman Sachs Global Income Fund | 159,446 | 16,495 | (60,402 | ) | (1,030 | ) | (1,553 | ) | 112,956 | 9,366 | 1,044 | |||||||||||||||||||||
Goldman Sachs Global Infrastructure Fund | 12,719 | 1,644 | (1,900 | ) | (34 | ) | (408 | ) | 12,021 | 1,143 | 144 | |||||||||||||||||||||
Goldman Sachs Global Real Estate Securities Fund | 13,179 | 2,201 | (500 | ) | 4 | (106 | ) | 14,778 | 1,398 | 201 | ||||||||||||||||||||||
Goldman Sachs High Yield Fund | 39,538 | 3,907 | (28,701 | ) | (146 | ) | (1,036 | ) | 13,562 | 2,143 | 907 | |||||||||||||||||||||
Goldman Sachs International Equity Insights Fund | 15,771 | 12,900 | (1,100 | ) | 213 | (997 | ) | 26,787 | 2,008 | — | ||||||||||||||||||||||
Goldman Sachs International Small Cap Insights Fund | 14,583 | 1,000 | (9,601 | ) | 1,386 | (1,303 | ) | 6,065 | 483 | — | ||||||||||||||||||||||
Goldman Sachs Access Investment Grade Corporate Bond ETF | — | 29,084 | — | — | 51 | 29,135 | 608 | 59 | ||||||||||||||||||||||||
Goldman Sachs Large Cap Growth Insights Fund | 20,959 | 2,500 | (16,750 | ) | 2,567 | (1,197 | ) | 8,079 | 246 | — | ||||||||||||||||||||||
Goldman Sachs Large Cap Value Insights Fund | 21,646 | 3,358 | (16,000 | ) | 2,708 | (2,585 | ) | 9,127 | 417 | 108 | ||||||||||||||||||||||
Goldman Sachs Local Emerging Markets Debt Fund | 5,380 | 16,063 | — | — | (1,627 | ) | 19,816 | 3,416 | 262 | |||||||||||||||||||||||
Goldman Sachs Managed Futures Strategy Fund | 24,675 | 2,001 | (6,700 | ) | 85 | (811 | ) | 19,250 | 1,887 | — | ||||||||||||||||||||||
Goldman Sachs Small Cap Equity Insights Fund | 4,015 | 5,401 | (1,000 | ) | 234 | 393 | 9,043 | 314 | — | |||||||||||||||||||||||
Goldman Sachs Tactical Exposure Fund | 50,691 | 5,852 | (3,800 | ) | (23 | ) | (1,435 | ) | 51,285 | 5,348 | — | |||||||||||||||||||||
Total | $ | 493,646 | $ | 186,695 | $ | (178,636 | ) | $ | 5,147 | $ | (19,686 | ) | $ | 487,166 | $ | 3,801 |
107
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
Equity Growth Strategy Portfolio |
| |||||||||||||||||||||||||||||||
Underlying Fund(a) | Market Value 12/31/17 | Purchases at Cost | Proceeds from Sales | Realized Gain Loss | Change In Unrealized Gain (Loss) | Market Value 6/30/18 | Shares | Dividend Income | ||||||||||||||||||||||||
Goldman Sachs ActiveBeta Emerging Markets Equity ETF | $ | 26,347 | $ | 1,270 | $ | (3,010 | ) | $ | 526 | $ | (2,234 | ) | $ | 22,899 | 690 | $ | — | |||||||||||||||
Goldman Sachs ActiveBeta International Equity ETF | 21,758 | — | (2,004 | ) | 184 | (628 | ) | 19,310 | 657 | 151 | ||||||||||||||||||||||
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | 35,516 | — | (3,780 | ) | 443 | 403 | 32,582 | 595 | 277 | |||||||||||||||||||||||
Goldman Sachs Emerging Markets Equity Insights Fund | 68,692 | 5,775 | (8,900 | ) | 1,986 | (6,107 | ) | 61,446 | 6,151 | 274 | ||||||||||||||||||||||
Goldman Sachs Global Real Estate Securities Fund | 24,129 | 1,526 | (3,249 | ) | 27 | (280 | ) | 22,153 | 2,096 | — | ||||||||||||||||||||||
Goldman Sachs International Equity Insights Fund | 54,163 | 500 | (5,401 | ) | 1,532 | (2,382 | ) | 48,412 | 3,629 | 326 | ||||||||||||||||||||||
Goldman Sachs International Small Cap Insights Fund | 14,171 | — | (1,700 | ) | 947 | (1,111 | ) | 12,307 | 980 | — | ||||||||||||||||||||||
Goldman Sachs Large Cap Growth Insights Fund | 45,432 | — | (6,601 | ) | 2,070 | 582 | 41,483 | 1,262 | — | |||||||||||||||||||||||
Goldman Sachs Large Cap Value Insights Fund | 44,846 | 296 | (4,298 | ) | 989 | (1,091 | ) | 40,742 | 1,861 | — | ||||||||||||||||||||||
Goldman Sachs Small Cap Equity Insights Fund | 22,716 | — | (4,651 | ) | 1,289 | 868 | 20,222 | 701 | 296 | |||||||||||||||||||||||
Total | $ | 357,770 | $ | 9,367 | $ | (43,594 | ) | $ | 9,993 | $ | (11,980 | ) | $ | 321,556 | $ | 1,324 | ||||||||||||||||
Growth and Income Strategy Portfolio |
| |||||||||||||||||||||||||||||||
Underlying Fund(a) | Market Value 12/31/17 | Purchases at Cost | Proceeds from Sales | Realized Gain Loss | Change In Unrealized Gain (loss) | Market Value 6/30/18 | Shares | Dividend Income | ||||||||||||||||||||||||
Goldman Sachs Access High Yield Corporate Bond ETF | $ | — | $ | 10,063 | $ | — | $ | — | $ | (65 | ) | $ | 9,998 | 207 | $ | 32 | ||||||||||||||||
Goldman Sachs Access Investment Grade Corporate Bond ETF | — | 19,980 | — | — | 35 | 20,015 | 418 | 40 | ||||||||||||||||||||||||
Goldman Sachs ActiveBeta Emerging Markets Equity ETF | 30,815 | — | (4,024 | ) | 669 | (2,552 | ) | 24,908 | 751 | 166 | ||||||||||||||||||||||
Goldman Sachs ActiveBeta International Equity ETF | 18,789 | 33,849 | — | — | (1,731 | ) | 50,907 | 1,733 | 623 | |||||||||||||||||||||||
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | 50,824 | 21,263 | (4,081 | ) | 652 | 919 | 69,577 | 1,271 | 484 | |||||||||||||||||||||||
Goldman Sachs Alternative Premia Fund | 40,395 | 1,100 | (14,800 | ) | (1,804 | ) | 767 | 25,658 | 2,873 | — | ||||||||||||||||||||||
Goldman Sachs Emerging Markets Debt Fund | 52,164 | 2,040 | (1,700 | ) | 1,899 | (6,436 | ) | 47,967 | 4,062 | 1,040 |
108
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
Growth and Income Strategy Portfolio (continued) |
| |||||||||||||||||||||||||||||||
Underlying Fund(a) | Market Value 12/31/17 | Purchases at Cost | Proceeds from Sales | Realized Gain Loss | Change In Unrealized Gain (loss) | Market Value 6/30/18 | Shares | Dividend Income | ||||||||||||||||||||||||
Goldman Sachs Emerging Markets Equity Insights Fund | $ | 103,917 | $ | 34,800 | $ | (7,500 | ) | $ | (80 | ) | $ | (7,975 | ) | $ | 123,162 | 12,329 | $ | — | ||||||||||||||
Goldman Sachs Global Income Fund | 90,866 | 6,620 | (13,700 | ) | (358 | ) | (1,010 | ) | 82,418 | 6,834 | 621 | |||||||||||||||||||||
Goldman Sachs Global Infrastructure Fund | 27,305 | 5,971 | — | — | (832 | ) | 32,444 | 3,084 | 370 | |||||||||||||||||||||||
Goldman Sachs Global Real Estate Securities Fund | 27,293 | 12,991 | — | — | 55 | 40,339 | 3,816 | 491 | ||||||||||||||||||||||||
Goldman Sachs High Yield Fund | 84,871 | 5,790 | (77,300 | ) | (1,402 | ) | (896 | ) | 11,063 | 1,748 | 1,790 | |||||||||||||||||||||
Goldman Sachs International Equity Insights Fund | 63,789 | 33,500 | (2,000 | ) | 471 | (2,861 | ) | 92,899 | 6,964 | — | ||||||||||||||||||||||
Goldman Sachs International Small Cap Insights Fund | 33,350 | — | (19,450 | ) | 3,652 | (3,373 | ) | 14,179 | 1,129 | — | ||||||||||||||||||||||
Goldman Sachs Large Cap Growth Insights Fund | 72,892 | 4,000 | (34,550 | ) | 6,701 | (1,951 | ) | 47,092 | 1,433 | — | ||||||||||||||||||||||
Goldman Sachs Large Cap Value Insights Fund | 73,282 | 4,425 | (29,200 | ) | 6,839 | (6,571 | ) | 48,775 | 2,228 | 425 | ||||||||||||||||||||||
Goldman Sachs Local Emerging Markets Debt Fund | 9,458 | 11,142 | — | — | (1,815 | ) | 18,785 | 3,239 | 342 | |||||||||||||||||||||||
Goldman Sachs Managed Futures Strategy Fund | 48,026 | 1,000 | (22,000 | ) | 172 | (1,350 | ) | 25,848 | 2,534 | — | ||||||||||||||||||||||
Goldman Sachs Small Cap Equity Insights Fund | 13,440 | 7,700 | (1,500 | ) | 492 | 1,270 | 21,402 | 742 | — | |||||||||||||||||||||||
Goldman Sachs Tactical Exposure Fund | 96,473 | 5,500 | (2,800 | ) | 28 | (2,694 | ) | 96,507 | 10,063 | — | ||||||||||||||||||||||
Total | $ | 937,949 | $ | 221,734 | $ | (234,605 | ) | $ | 17,931 | $ | (39,066 | ) | $ | 903,943 | $ | 6,424 | ||||||||||||||||
Growth Strategy Portfolio |
| |||||||||||||||||||||||||||||||
Underlying Fund(a) | Market Value 12/31/17 | Purchases at Cost | Proceeds from Sales | Realized Gain Loss | Change In Unrealized Gain (loss) | Market Value 6/30/18 | Shares | Dividend Income | ||||||||||||||||||||||||
Goldman Sachs Access High Yield Corporate Bond ETF | $ | — | $ | 8,019 | $ | — | $ | — | $ | (52 | ) | $ | 7,967 | 165 | $ | 25 | ||||||||||||||||
Goldman Sachs ActiveBeta Emerging Markets Equity ETF | 50,121 | 1,010 | (8,854 | ) | 1,240 | (4,445 | ) | 39,072 | 1,178 | 265 | ||||||||||||||||||||||
Goldman Sachs ActiveBeta International Equity ETF | 12,983 | 38,852 | — | — | (1,809 | ) | 50,026 | 1,703 | 597 | |||||||||||||||||||||||
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | 65,800 | 6,954 | (3,476 | ) | 453 | 1,270 | 71,001 | 1,297 | 562 | |||||||||||||||||||||||
Goldman Sachs Alternative Premia Fund | 36,630 | 2,000 | (26,000 | ) | (4,513 | ) | 3,161 | 11,278 | 1,263 | — | ||||||||||||||||||||||
Goldman Sachs Emerging Markets Debt Fund | 8,956 | 11,259 | — | — | (1,112 | ) | 19,103 | 1,618 | 260 |
109
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
Growth Strategy Portfolio (continued) |
| |||||||||||||||||||||||||||||||
Underlying Fund(a) | Market Value 12/31/17 | Purchases at Cost | Proceeds from Sales | Realized Gain Loss | Change In Unrealized Gain (loss) | Market Value 6/30/18 | Shares | Dividend Income | ||||||||||||||||||||||||
Goldman Sachs Emerging Markets Equity Insights Fund | $ | 153,719 | $ | 34,100 | $ | (5,000 | ) | $ | 1,289 | $ | (12,758 | ) | $ | 171,350 | 17,152 | $ | — | |||||||||||||||
Goldman Sachs Global Infrastructure Fund | 13,261 | 11,761 | — | — | (273 | ) | 24,749 | 2,353 | 262 | |||||||||||||||||||||||
Goldman Sachs Global Real Estate Securities Fund | 62,976 | 5,097 | (3,000 | ) | 63 | (580 | ) | 64,556 | 6,107 | 897 | ||||||||||||||||||||||
Goldman Sachs High Yield Fund | 36,442 | 3,305 | (30,500 | ) | (1,100 | ) | 62 | 8,209 | 1,297 | 805 | ||||||||||||||||||||||
Goldman Sachs International Equity Insights Fund | 70,980 | 24,500 | (1,501 | ) | 323 | (2,643 | ) | 91,659 | 6,871 | — | ||||||||||||||||||||||
Goldman Sachs International Small Cap Insights Fund | 44,592 | — | (15,500 | ) | 3,121 | (3,196 | ) | 29,017 | 2,310 | — | ||||||||||||||||||||||
Goldman Sachs Large Cap Growth Insights Fund | 80,396 | 1,000 | (35,300 | ) | 8,924 | (3,896 | ) | 51,124 | 1,556 | — | ||||||||||||||||||||||
Goldman Sachs Large Cap Value Insights Fund | 82,458 | 444 | (32,500 | ) | 7,912 | (7,651 | ) | 50,663 | 2,314 | 444 | ||||||||||||||||||||||
Goldman Sachs Local Emerging Markets Debt Fund | — | 7,048 | — | — | (430 | ) | 6,618 | 1,141 | 47 | |||||||||||||||||||||||
Goldman Sachs Managed Futures Strategy Fund | 21,634 | 1,399 | (12,000 | ) | 169 | (699 | ) | 10,503 | 1,030 | — | ||||||||||||||||||||||
Goldman Sachs Small Cap Equity Insights Fund | 31,801 | 13,000 | (4,999 | ) | 1,386 | 2,446 | 43,634 | 1,514 | — | |||||||||||||||||||||||
Goldman Sachs Tactical Exposure Fund | 87,577 | 9,200 | (6,499 | ) | (5 | ) | (2,427 | ) | 87,846 | 9,160 | — | |||||||||||||||||||||
Total | $ | 860,326 | $ | 178,948 | $ | (185,129 | ) | $ | 19,262 | $ | (35,032 | ) | $ | 838,375 | $ | 4,164 | ||||||||||||||||
Satellite Strategies Portfolio |
| |||||||||||||||||||||||||||||||
Underlying Fund(a) | Market Value 12/31/17 | Purchases at Cost | Proceeds from Sales | Realized Gain Loss | Change In Unrealized Gain (loss) | Market Value 6/30/18 | Shares | Dividend Income | ||||||||||||||||||||||||
Goldman Sachs ActiveBeta Emerging Markets Equity ETF | $ | 28,863 | $ | — | $ | (3,459 | ) | $ | 623 | $ | (2,366 | ) | $ | 23,661 | 713 | $ | 156 | |||||||||||||||
Goldman Sachs Emerging Markets Debt Fund | 107,833 | 7,083 | (11,300 | ) | (47 | ) | (8,952 | ) | 94,617 | 8,012 | 2,083 | |||||||||||||||||||||
Goldman Sachs Emerging Markets Equity Fund | 31,768 | 1,000 | (3,300 | ) | 1,241 | (3,956 | ) | 26,753 | 1,254 | — | ||||||||||||||||||||||
Goldman Sachs Emerging Markets Equity Insights Fund | 64,247 | 8,400 | (10,051 | ) | 2,596 | (6,684 | ) | 58,508 | 5,857 | — | ||||||||||||||||||||||
Goldman Sachs Global Infrastructure Fund | 92,073 | 9,364 | (23,000 | ) | (724 | ) | (2,355 | ) | 75,358 | 7,163 | 914 | |||||||||||||||||||||
Goldman Sachs Global Real Estate Securities Fund | 113,373 | 6,362 | (22,350 | ) | 247 | (1,607 | ) | 96,025 | 9,085 | 1,362 | ||||||||||||||||||||||
Goldman Sachs High Yield Floating Rate Fund | 40,173 | 2,337 | (6,750 | ) | (124 | ) | (229 | ) | 35,407 | 3,688 | 837 | |||||||||||||||||||||
Goldman Sachs High Yield Fund | 77,645 | 1,828 | (30,050 | ) | (854 | ) | (1,558 | ) | 47,011 | 7,427 | 1,829 | |||||||||||||||||||||
Goldman Sachs International Small Cap Insights Fund | 81,805 | 1,000 | (13,300 | ) | 3,256 | (4,087 | ) | 68,674 | 5,468 | — | ||||||||||||||||||||||
Goldman Sachs Local Emerging Markets Debt Fund | 35,457 | 25,570 | (5,599 | ) | (951 | ) | (4,127 | ) | 50,350 | 8,681 | 1,070 | |||||||||||||||||||||
Total | $ | 673,237 | $ | 62,944 | $ | (129,159 | ) | $ | 5,263 | $ | (35,921 | ) | $ | 576,364 | $ | 8,251 |
(a) | The columns for the Underlying Funds (except ETFs) reflect the combined amounts of the initial Institutional Shares and subsequent Class R6 Shares. |
110
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
The table below shows the transactions in and earnings from investments in the Goldman Sachs Financial Square Government Fund for the six months ended June 30, 2018 (in thousands):
Portfolio | Beginning Value as of 12/31/2017 | Purchases at Cost | Proceeds from Sales | Ending Value as of 06/30/2018 | Shares as of 06/30/2018 | Dividend Income from Affiliated Investment Companies | ||||||||||||||||||||
Balanced Strategy | $ | 15,510 | $ | 110,104 | $ | (106,149 | ) | $ | 19,465 | 19,465 | $ | 99 | ||||||||||||||
Equity Growth | 8,291 | 42,348 | (40,890 | ) | 9,749 | 9,749 | 71 | |||||||||||||||||||
Growth and Income | 22,969 | 150,127 | (132,983 | ) | 40,113 | 40,113 | 218 | |||||||||||||||||||
Growth Strategy | 24,841 | 117,580 | (120,031 | ) | 22,390 | 22,390 | 167 | |||||||||||||||||||
Satellite Strategies | 1 | 28,112 | (27,918 | ) | 195 | 195 | 6 |
6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended June 30, 2018, were:
Portfolio | Purchases | Sales | ||||||||
Balanced Strategy | $ | 187,722,536 | $ | 178,629,447 | ||||||
Equity Growth Strategy | 9,367,099 | 44,311,057 | ||||||||
Growth and Income Strategy | 224,290,039 | 234,605,143 | ||||||||
Growth Strategy | 181,958,901 | 185,130,011 | ||||||||
Satellite Strategy | 62,944,825 | 129,161,074 |
7. TAX INFORMATION |
As of the Portfolios’ most recent fiscal year end, December 31, 2017, the Portfolios’ capital loss carryforwards and certain timing differences on a tax basis were as follows:
Balanced Strategy | Equity Growth Strategy | Growth and Income Strategy | Growth Strategy | Satellite Strategies | ||||||||||||||||
Capital loss carryforwards:(1) | ||||||||||||||||||||
Expiring 2018 | $ | — | $ | (76,608,179 | ) | $ | (187,607,636 | ) | $ | (181,275,105 | ) | $ | (853,855 | ) | ||||||
Perpetual Short-term | — | — | — | — | (291,242 | ) | ||||||||||||||
Perpetual Long-term | — | — | — | — | (26,816,339 | ) | ||||||||||||||
Total capital loss carryforwards | $ | — | $ | (76,608,179 | ) | $ | (187,607,636 | ) | $ | (181,275,105 | ) | $ | (27,961,436 | ) | ||||||
Timing differences (Qualified Late Year Loss Deferral) | — | (485 | ) | (21,275 | ) | — | — |
(1) With | the exception of perpetual capital loss carryforwards, expiration occurs on December 31 of the year indicated. |
111
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
7. TAX INFORMATION (continued) |
As of June 30, 2018, the Portfolios’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Balanced Strategy | Equity Growth Strategy | Growth and Income Strategy | Growth Strategy | Satellite Strategies | ||||||||||||||||
Tax Cost | $ | 525,010,812 | $ | 291,288,637 | $ | 936,724,894 | $ | 821,566,320 | $ | 564,538,758 | ||||||||||
Gross unrealized gain | 6,883,868 | 46,941,094 | 38,760,049 | 55,106,061 | 46,994,039 | |||||||||||||||
Gross unrealized loss | (25,263,244 | ) | (6,925,278 | ) | (31,429,281 | ) | (15,907,201 | ) | (34,974,343 | ) | ||||||||||
Net unrealized security gain (loss) | $ | (18,379,376 | ) | $ | 40,015,816 | $ | 7,330,768 | $ | 39,198,860 | $ | 12,019,696 |
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 and differences in the tax treatment of underlying fund investments.
GSAM has reviewed the Portfolios’ 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 Portfolios’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
8. OTHER RISKS |
The Portfolios’ risks include, but are not limited to, the following:
Derivatives Risk — The Portfolios’ 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 Portfolios. 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 Portfolios invest. The imposition of exchange controls (including repatriation restrictions), 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 Portfolios 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 Portfolios also invest in securities of issuers located in emerging markets, these risks may be more pronounced.
Investments in the Underlying Funds — The investments of a 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. A 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. A Portfolio that has a relative concentration of its portfolio in a single Underlying Fund may be more susceptible to adverse developments affecting that Underlying Fund, and may be more susceptible to losses because of these developments.
112
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
8. OTHER RISKS (continued) |
Large Shareholder Transactions Risk — A Portfolio or an Underlying 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 Portfolio or an Underlying Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Portfolio or an Underlying Fund. Such large shareholder redemptions may cause a Portfolio or an Underlying Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact the Portfolio’s or the Underlying 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 Portfolio’s or an Underlying Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the expense ratio of the Portfolio or the Underlying Fund. Similarly, large Portfolio or Underlying Fund share purchases may adversely affect a Portfolio’s or an Underlying Fund’s performance to the extent that the Portfolio or the Underlying Fund is delayed in investing new cash and is required to maintain a larger cash position than it ordinarily would.
Liquidity Risk — A 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 a 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, a 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, a Portfolio trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, a 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.
9. INDEMNIFICATIONS |
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Portfolios. Additionally, in the course of business, the Portfolios enter 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 Portfolios that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
10. SUBSEQUENT EVENTS |
Subsequent events after the 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.
113
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
11. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
Balanced Strategy Portfolio | ||||||||||||||||
|
| |||||||||||||||
For the Six Months Ended June 30, 2018 (Unaudited) | For the Fiscal Year Ended December 31, 2017 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 528,088 | $ | 6,080,683 | 2,019,648 | $ | 22,987,868 | ||||||||||
Reinvestment of distributions | 38,814 | 437,355 | 387,346 | 4,473,364 | ||||||||||||
Shares redeemed | (1,157,508 | ) | (13,343,869 | ) | (4,004,670 | ) | (45,419,600 | ) | ||||||||
(590,606 | ) | (6,825,831 | ) | (1,597,676 | ) | (17,958,368 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 126,602 | 1,452,510 | 244,978 | 2,807,847 | ||||||||||||
Reinvestment of distributions | 1,890 | 21,172 | 91,383 | 1,057,404 | ||||||||||||
Shares redeemed | (570,924 | ) | (6,576,429 | ) | (1,710,527 | ) | (19,411,900 | ) | ||||||||
(442,432 | ) | (5,102,747 | ) | (1,374,166 | ) | (15,546,649 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 6,092,512 | 70,658,738 | 10,521,153 | 119,139,540 | ||||||||||||
Reinvestment of distributions | 186,239 | 2,099,834 | 1,301,377 | 15,022,502 | ||||||||||||
Shares redeemed | (8,806,245 | ) | (101,212,477 | ) | (7,592,077 | ) | (87,026,490 | ) | ||||||||
(2,527,494 | ) | (28,453,905 | ) | 4,230,453 | 47,135,552 | |||||||||||
Service Shares | ||||||||||||||||
Shares sold | 954 | 11,092 | 2,002 | 23,200 | ||||||||||||
Reinvestment of distributions | 58 | 657 | 630 | 7,359 | ||||||||||||
Shares redeemed | (2,061 | ) | (24,102 | ) | (7,245 | ) | (83,744 | ) | ||||||||
(1,049 | ) | (12,353 | ) | (4,613 | ) | (53,185 | ) | |||||||||
Investor Shares | ||||||||||||||||
Shares sold | 39,190 | 451,712 | 170,556 | 1,911,458 | ||||||||||||
Reinvestment of distributions | 1,811 | 20,325 | 15,463 | 177,760 | ||||||||||||
Shares redeemed | (74,054 | ) | (846,516 | ) | (286,535 | ) | (3,231,464 | ) | ||||||||
(33,053 | ) | (374,479 | ) | (100,516 | ) | (1,142,246 | ) | |||||||||
Class P Shares(a) | ||||||||||||||||
Shares sold | 4,850,769 | 55,687,451 | — | — | ||||||||||||
Reinvestment of distributions | 18,149 | 203,449 | — | — | ||||||||||||
Shares redeemed | (135,197 | ) | (1,540,630 | ) | — | — | ||||||||||
4,733,721 | 54,350,270 | — | — | |||||||||||||
Class R Shares | ||||||||||||||||
Shares sold | 36,760 | 418,836 | 295,196 | 3,368,299 | ||||||||||||
Reinvestment of distributions | 2,382 | 26,707 | 27,698 | 319,071 | ||||||||||||
Shares redeemed | (22,901 | ) | (261,025 | ) | (139,109 | ) | (1,573,546 | ) | ||||||||
16,241 | 184,518 | 183,785 | 2,113,824 | |||||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 1,170 | 13,487 | 45,522 | 534,077 | ||||||||||||
Reinvestment of distributions | 306 | 3,455 | 1,616 | 18,735 | ||||||||||||
Shares redeemed | (121 | ) | (1,390 | ) | (371 | ) | (4,380 | ) | ||||||||
1,355 | 15,552 | 46,767 | 548,432 | |||||||||||||
NET INCREASE | 1,156,683 | $ | 13,781,025 | 1,384,034 | $ | 15,097,360 |
(a) | Commenced operations April 17, 2018. |
114
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
11. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
Equity Growth Strategy Portfolio | ||||||||||||||||
|
| |||||||||||||||
For the Six Months Ended June 30, 2018 (Unaudited) | For the Fiscal Year Ended December 31, 2017 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 267,347 | $ | 5,150,371 | 1,118,905 | $ | 19,141,615 | ||||||||||
Reinvestment of distributions | — | — | 123,539 | 2,331,215 | ||||||||||||
Shares redeemed | (594,985 | ) | (11,454,490 | ) | (2,122,608 | ) | (36,290,165 | ) | ||||||||
(327,638 | ) | (6,304,119 | ) | (880,164 | ) | (14,817,335 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 84,138 | 1,533,490 | 176,918 | 2,887,998 | ||||||||||||
Reinvestment of distributions | — | — | 45,101 | 813,606 | ||||||||||||
Shares redeemed | (423,650 | ) | (7,772,881 | ) | (1,573,526 | ) | (25,446,948 | ) | ||||||||
(339,512 | ) | (6,239,391 | ) | (1,351,507 | ) | (21,745,344 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 481,828 | 9,241,199 | 1,102,162 | 19,223,832 | ||||||||||||
Reinvestment of distributions | — | — | 185,239 | 3,526,943 | ||||||||||||
Shares redeemed | (7,866,091 | ) | (153,351,595 | ) | (835,023 | ) | (14,657,843 | ) | ||||||||
(7,384,263 | ) | (144,110,396 | ) | 452,378 | 8,092,932 | |||||||||||
Service Shares | ||||||||||||||||
Shares sold | 2,778 | 53,560 | 5,968 | 97,457 | ||||||||||||
Reinvestment of distributions | — | — | 488 | 9,166 | ||||||||||||
Shares redeemed | (4,560 | ) | (85,913 | ) | (895 | ) | (14,789 | ) | ||||||||
(1,782 | ) | (32,353 | ) | 5,561 | 91,834 | |||||||||||
Investor Shares | ||||||||||||||||
Shares sold | 82,093 | 1,550,265 | 122,048 | 2,032,302 | ||||||||||||
Reinvestment of distributions | — | — | 6,390 | 118,913 | ||||||||||||
Shares redeemed | (33,110 | ) | (629,266 | ) | (210,046 | ) | (3,592,828 | ) | ||||||||
48,983 | 920,999 | (81,608 | ) | (1,441,613 | ) | |||||||||||
Class P Shares(a) | ||||||||||||||||
Shares sold | 6,317,423 | 124,109,879 | — | — | ||||||||||||
Shares redeemed | (46,812 | ) | (905,637 | ) | — | — | ||||||||||
6,270,611 | 123,204,242 | — | — | |||||||||||||
Class R Shares | ||||||||||||||||
Shares sold | 35,425 | 667,080 | 208,689 | 3,514,359 | ||||||||||||
Reinvestment of distributions | — | — | 5,791 | 108,473 | ||||||||||||
Shares redeemed | (79,836 | ) | (1,506,163 | ) | (32,309 | ) | (573,068 | ) | ||||||||
(44,411 | ) | (839,083 | ) | 182,171 | 3,049,764 | |||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | — | — | 20,863 | 358,431 | ||||||||||||
Reinvestment of distributions | — | — | 14 | 275 | ||||||||||||
Shares redeemed | — | — | (20,863 | ) | (377,643 | ) | ||||||||||
— | — | 14 | (18,937 | ) | ||||||||||||
NET DECREASE | (1,778,012 | ) | $ | (33,400,101 | ) | (1,673,155 | ) | $ | (26,788,699 | ) |
(a) | Commenced operations April 17, 2018. |
115
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
11. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
Growth and Income Strategy Portfolio | ||||||||||||||||
|
| |||||||||||||||
For the Six Months Ended June 30, 2018 (Unaudited) | For the Fiscal Year Ended December 31, 2017 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 1,432,734 | $ | 19,922,062 | 3,033,723 | $ | 40,000,936 | ||||||||||
Reinvestment of distributions | 86,400 | 1,168,142 | 474,770 | 6,484,686 | ||||||||||||
Shares redeemed | (2,004,644 | ) | (27,817,400 | ) | (6,510,225 | ) | (85,053,822 | ) | ||||||||
(485,510 | ) | (6,727,196 | ) | (3,001,732 | ) | (38,568,200 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 148,838 | 2,011,565 | 285,576 | 3,638,217 | ||||||||||||
Reinvestment of distributions | 4,209 | 55,682 | 113,017 | 1,524,419 | ||||||||||||
Shares redeemed | (902,713 | ) | (12,243,281 | ) | (3,652,480 | ) | (46,455,360 | ) | ||||||||
(749,666 | ) | (10,176,034 | ) | (3,253,887 | ) | (41,292,724 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 3,748,876 | 52,284,058 | 8,734,557 | 115,287,013 | ||||||||||||
Reinvestment of distributions | 220,582 | 2,992,160 | 1,097,182 | 14,987,996 | ||||||||||||
Shares redeemed | (17,563,929 | ) | (240,812,137 | ) | (5,668,283 | ) | (74,750,245 | ) | ||||||||
(13,594,471 | ) | (185,535,919 | ) | 4,163,456 | 55,524,764 | |||||||||||
Service Shares | ||||||||||||||||
Shares sold | 3,530 | 48,537 | 23,593 | 309,270 | ||||||||||||
Reinvestment of distributions | 229 | 3,079 | 1,437 | 19,619 | ||||||||||||
Shares redeemed | (14,478 | ) | (199,750 | ) | (45,019 | ) | (595,848 | ) | ||||||||
(10,719 | ) | (148,134 | ) | (19,989 | ) | (266,959 | ) | |||||||||
Investor Shares | ||||||||||||||||
Shares sold | 362,435 | 5,021,948 | 276,059 | 3,583,015 | ||||||||||||
Reinvestment of distributions | 4,264 | 57,327 | 13,512 | 183,527 | ||||||||||||
Shares redeemed | (98,491 | ) | (1,366,778 | ) | (156,235 | ) | (2,038,389 | ) | ||||||||
268,208 | 3,712,497 | 133,336 | 1,728,153 | |||||||||||||
Class P Shares(a) | ||||||||||||||||
Shares sold | 15,101,111 | 206,294,571 | — | — | ||||||||||||
Reinvestment of distributions | 49,144 | 662,459 | — | — | ||||||||||||
Shares redeemed | (137,635 | ) | (1,880,464 | ) | — | — | ||||||||||
15,012,620 | 205,076,566 | — | — | |||||||||||||
Class R Shares | ||||||||||||||||
Shares sold | 31,952 | 438,269 | 234,088 | 3,032,994 | ||||||||||||
Reinvestment of distributions | 1,087 | 14,599 | 7,922 | 107,793 | ||||||||||||
Shares redeemed | (72,145 | ) | (998,348 | ) | (64,914 | ) | (848,794 | ) | ||||||||
(39,106 | ) | (545,480 | ) | 177,096 | 2,291,993 | |||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 258,454 | 3,603,761 | 6,689 | 88,008 | ||||||||||||
Reinvestment of distributions | 1,149 | 15,532 | 145 | 1,994 | ||||||||||||
Shares redeemed | (5,692 | ) | (78,679 | ) | (1,577 | ) | (21,343 | ) | ||||||||
253,911 | 3,540,614 | 5,257 | 68,659 | |||||||||||||
NET INCREASE (DECREASE) | 655,267 | $ | 9,196,914 | (1,796,463 | ) | $ | (20,514,314 | ) |
(a) | Commenced operations April 17, 2018. |
116
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
11. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
Growth Strategy Portfolio | ||||||||||||||||
|
| |||||||||||||||
For the Six Months Ended June 30, 2018 (Unaudited) | For the Fiscal Year Ended December 31, 2017 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 765,419 | $ | 12,234,995 | 2,280,715 | $ | 33,629,656 | ||||||||||
Reinvestment of distributions | — | — | 417,272 | 6,613,697 | ||||||||||||
Shares redeemed | (1,513,070 | ) | (24,181,739 | ) | (5,233,193 | ) | (77,133,470 | ) | ||||||||
(747,651 | ) | (11,946,744 | ) | (2,535,206 | ) | (36,890,117 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 214,870 | 3,416,094 | 367,579 | 5,401,620 | ||||||||||||
Reinvestment of distributions | — | — | 117,361 | 1,858,992 | ||||||||||||
Shares redeemed | (954,488 | ) | (15,202,372 | ) | (3,252,549 | ) | (47,320,303 | ) | ||||||||
(739,618 | ) | (11,786,278 | ) | (2,767,609 | ) | (40,059,691 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 2,072,249 | 33,228,755 | 6,308,205 | 93,509,718 | ||||||||||||
Reinvestment of distributions | — | — | 749,696 | 11,867,682 | ||||||||||||
Shares redeemed | (12,866,384 | ) | (202,630,168 | ) | (3,286,743 | ) | (50,000,690 | ) | ||||||||
(10,794,135 | ) | (169,401,413 | ) | 3,771,158 | 55,376,710 | |||||||||||
Service Shares | ||||||||||||||||
Shares sold | 2,610 | 41,582 | 27,366 | 414,468 | ||||||||||||
Reinvestment of distributions | — | — | 1,311 | 20,705 | ||||||||||||
Shares redeemed | (14,892 | ) | (240,742 | ) | (13,150 | ) | (196,049 | ) | ||||||||
(12,282 | ) | (199,160 | ) | 15,527 | 239,124 | |||||||||||
Investor Shares | ||||||||||||||||
Shares sold | 406,837 | 6,438,220 | 319,572 | 4,693,341 | ||||||||||||
Reinvestment of distributions | — | — | 13,548 | 211,478 | ||||||||||||
Shares redeemed | (116,595 | ) | (1,845,073 | ) | (149,180 | ) | (2,151,512 | ) | ||||||||
290,242 | 4,593,147 | 183,940 | 2,753,307 | |||||||||||||
Class P Shares(a) | ||||||||||||||||
Shares sold | 10,915,002 | 171,288,019 | — | — | ||||||||||||
Shares redeemed | (84,794 | ) | (1,336,998 | ) | — | — | ||||||||||
10,830,208 | 169,951,021 | — | — | |||||||||||||
Class R Shares | ||||||||||||||||
Shares sold | 28,838 | 446,403 | 287,071 | 4,105,889 | ||||||||||||
Reinvestment of distributions | — | — | 8,829 | 136,314 | ||||||||||||
Shares redeemed | (36,485 | ) | (571,612 | ) | (80,049 | ) | (1,161,545 | ) | ||||||||
(7,647 | ) | (125,209 | ) | 215,851 | 3,080,658 | |||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 196,621 | 3,253,532 | 310,238 | 4,664,858 | ||||||||||||
Reinvestment of distributions | — | — | 1,633 | 25,853 | ||||||||||||
Shares redeemed | (72,980 | ) | (1,143,125 | ) | (251,704 | ) | (4,019,379 | ) | ||||||||
123,641 | 2,110,407 | 60,167 | 671,332 | |||||||||||||
NET DECREASE | (1,057,242 | ) | $ | (16,804,229 | ) | (1,056,172 | ) | $ | (14,828,677 | ) |
(a) | Commenced operations April 17, 2018. |
117
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
11. SUMMARY OF SHARE TRANSACTIONS (continued) |
Share activity is as follows:
Satellite Strategies Portfolio | ||||||||||||||||
|
| |||||||||||||||
For the Six Months Ended June 30, 2018 (Unaudited) | For the Fiscal Year Ended December 31, 2017 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 212,770 | $ | 1,780,452 | 766,000 | $ | 6,199,861 | ||||||||||
Reinvestment of distributions | 59,572 | 482,777 | 210,957 | 1,744,744 | ||||||||||||
Shares redeemed | (700,757 | ) | (5,855,289 | ) | (5,757,049 | ) | (46,584,779 | ) | ||||||||
(428,415 | ) | (3,592,060 | ) | (4,780,092 | ) | (38,640,174 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 48,244 | 402,566 | 121,270 | 984,291 | ||||||||||||
Reinvestment of distributions | 30,009 | 241,552 | 120,141 | 992,656 | ||||||||||||
Shares redeemed | (663,517 | ) | (5,507,438 | ) | (1,970,407 | ) | (15,816,742 | ) | ||||||||
(585,264 | ) | (4,863,320 | ) | (1,728,996 | ) | (13,839,795 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 5,361,264 | 44,605,959 | 9,419,413 | 76,486,555 | ||||||||||||
Reinvestment of distributions | 565,975 | 4,579,831 | 1,877,127 | 15,497,049 | ||||||||||||
Shares redeemed | (12,226,003 | ) | (101,583,823 | ) | (20,236,426 | ) | (165,137,184 | ) | ||||||||
(6,298,764 | ) | (52,398,033 | ) | (8,939,886 | ) | (73,153,580 | ) | |||||||||
Service Shares | ||||||||||||||||
Shares sold | 877 | 7,289 | 2,576 | 20,720 | ||||||||||||
Reinvestment of distributions | 255 | 2,065 | 831 | 6,877 | ||||||||||||
Shares redeemed | (3,560 | ) | (29,988 | ) | (15,368 | ) | (125,171 | ) | ||||||||
(2,428 | ) | (20,634 | ) | (11,961 | ) | (97,574 | ) | |||||||||
Investor Shares | ||||||||||||||||
Shares sold | 435,909 | 3,623,203 | 2,034,467 | 16,298,168 | ||||||||||||
Reinvestment of distributions | 58,832 | 476,132 | 215,716 | 1,779,150 | ||||||||||||
Shares redeemed | (1,288,955 | ) | (10,671,424 | ) | (4,496,323 | ) | (36,492,611 | ) | ||||||||
(794,214 | ) | (6,572,089 | ) | (2,246,140 | ) | (18,415,293 | ) | |||||||||
Class P Shares(a) | ||||||||||||||||
Shares sold | 425,652 | 3,516,016 | — | — | ||||||||||||
Reinvestment of distributions | 3,246 | 25,902 | — | — | ||||||||||||
Shares redeemed | (1,090 | ) | (8,972 | ) | — | — | ||||||||||
427,808 | 3,532,946 | — | — | |||||||||||||
Class R Shares | ||||||||||||||||
Shares sold | 12,939 | 107,215 | 62,617 | 508,314 | ||||||||||||
Reinvestment of distributions | 2,577 | 20,800 | 8,739 | 72,175 | ||||||||||||
Shares redeemed | (35,040 | ) | (290,352 | ) | (123,294 | ) | (993,789 | ) | ||||||||
(19,524 | ) | (162,337 | ) | (51,938 | ) | (413,300 | ) | |||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 2,669,892 | 22,472,644 | 906,204 | 7,537,771 | ||||||||||||
Reinvestment of distributions | 55,544 | 450,907 | 174,320 | 1,442,350 | ||||||||||||
Shares redeemed | (2,254,943 | ) | (18,644,878 | ) | (730,664 | ) | (6,016,291 | ) | ||||||||
470,493 | 4,278,673 | 349,860 | 2,963,830 | |||||||||||||
NET DECREASE | (7,230,308 | ) | $ | (59,796,854 | ) | (17,409,153 | ) | $ | (141,595,886 | ) |
(a) | Commenced operations April 17, 2018. |
118
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Portfolio Expenses — Six Month Period Ended June 30, 2018 (Unaudited)
As a shareholder of Class A, Class C, Institutional, Service, Investor, Class P, Class R or Class R6 Shares of a Portfolio, 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/or service (12b-1) fees (with respect to Class A, Class C and Class R Shares); and other Portfolio expenses.
The Example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Class C, Institutional, Service, Investor, Class P, Class R or Class R6 Shares of the Portfolios 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 January 1, 2018 through June 30, 2018, which represents a period of 181 days of a 365 day year (74 out of 365 days for Class P Shares, which commenced operations on April 17, 2018). The Class P example for hypothetical expenses reflects projected activity for the period from April 17,2018 through June 30, 2018 for purposes of comparability. This projection assumes that annualized expense ratios were in effect during the period.
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 Portfolios’ actual net expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Portfolios’ 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 Portfolios 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 and do not include expenses of Underlying Funds in which the Portfolios invest. 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.
Balanced Strategy Portfolio | Equity Growth Strategy Portfolio | Growth and Income Strategy Portfolio | Growth Strategy Portfolio | Satellite Strategies Portfolio | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Share Class | Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid for the 6 months ended 6/30/18** | Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid for the 6 months ended 6/30/18** | Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid for the 6 months ended 6/30/18** | Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid for the 6 months ended 6/30/18** | Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid for the 6 months ended 6/30/18** | |||||||||||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 977.40 | $ | 2.84 | $ | 1,000.00 | $ | 994.20 | $ | 2.87 | $ | 1,000.00 | $ | 981.90 | $ | 2.85 | $ | 1,000.00 | $ | 981.00 | $ | 2.85 | $ | 1,000.00 | $ | 961.90 | $ | 2.72 | ||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,021.92 | + | 2.91 | 1,000.00 | 1,021.92 | + | 2.91 | 1,000.00 | 1,021.92 | + | 2.91 | 1,000.00 | 1,021.92 | + | 2.91 | 1,000.00 | 1,022.02 | + | 2.81 | ||||||||||||||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 973.00 | 6.51 | 1,000.00 | 990.60 | 6.56 | 1,000.00 | 978.40 | 6.52 | 1,000.00 | 977.90 | 6.52 | 1,000.00 | 959.20 | 6.36 | |||||||||||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,018.20 | + | 6.66 | 1,000.00 | 1,018.20 | + | 6.66 | 1,000.00 | 1,018.20 | + | 6.66 | 1,000.00 | 1,018.20 | + | 6.66 | 1,000.00 | 1,018.30 | + | 6.56 | ||||||||||||||||||||||||||||||||||||||||
Institutional | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 979.20 | 0.93 | 1,000.00 | 996.30 | 0.94 | 1,000.00 | 983.80 | 0.93 | 1,000.00 | 982.90 | 0.93 | 1,000.00 | 963.60 | 0.83 | |||||||||||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.85 | + | 0.95 | 1,000.00 | 1,023.85 | + | 0.95 | 1,000.00 | 1,023.85 | + | 0.95 | 1,000.00 | 1,023.85 | + | 0.95 | 1,000.00 | 1,023.95 | + | 0.85 | ||||||||||||||||||||||||||||||||||||||||
Service | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 976.20 | 3.38 | 1,000.00 | 993.60 | 3.41 | 1,000.00 | 982.00 | 3.39 | 1,000.00 | 981.00 | 3.39 | 1,000.00 | 962.50 | 3.26 | |||||||||||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,021.37 | + | 3.46 | 1,000.00 | 1,021.37 | + | 3.46 | 1,000.00 | 1,021.37 | + | 3.46 | 1,000.00 | 1,021.37 | + | 3.46 | 1,000.00 | 1,021.47 | + | 3.36 | ||||||||||||||||||||||||||||||||||||||||
Investor | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 978.50 | 1.62 | 1,000.00 | 995.20 | 1.63 | 1,000.00 | 983.80 | 1.62 | 1,000.00 | 982.70 | 1.62 | 1,000.00 | 962.90 | 1.51 | |||||||||||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.16 | + | 1.66 | 1,000.00 | 1,023.16 | + | 1.66 | 1,000.00 | 1,023.16 | + | 1.66 | 1,000.00 | 1,023.16 | + | 1.66 | 1,000.00 | 1,023.26 | + | 1.56 | ||||||||||||||||||||||||||||||||||||||||
Class P(a) | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 977.70 | 0.37 | 1,000.00 | 976.80 | 0.37 | 1,000.00 | 975.90 | 0.39 | 1,000.00 | 975.00 | 0.36 | 1,000.00 | 966.70 | 0.32 | |||||||||||||||||||||||||||||||||||||||||||||
Hypothethical 5% return | 1,000.00 | 1,024.43 | + | 0.37 | 1,000.00 | 1,024.43 | + | 0.37 | 1,000.00 | 1,024.40 | + | 0.40 | 1,000.00 | 1,024.43 | + | 0.37 | 1,000.00 | 1,024.47 | + | 0.33 | ||||||||||||||||||||||||||||||||||||||||
Class R | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 977.00 | 4.07 | 1,000.00 | 993.00 | 4.10 | 1,000.00 | 981.20 | 4.08 | 1,000.00 | 980.50 | 4.08 | 1,000.00 | 961.70 | 3.94 | |||||||||||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,020.68 | + | 4.16 | 1,000.00 | 1,020.68 | + | 4.16 | 1,000.00 | 1,020.68 | + | 4.16 | 1,000.00 | 1,020.68 | + | 4.16 | 1,000.00 | 1,020.78 | + | 4.06 | ||||||||||||||||||||||||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 979.30 | 0.88 | 1,000.00 | 996.30 | 0.89 | 1,000.00 | 983.90 | 0.89 | 1,000.00 | 983.60 | 0.89 | 1,000.00 | 964.90 | 0.78 | |||||||||||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.90 | + | 0.90 | 1,000.00 | 1,023.90 | + | 0.90 | 1,000.00 | 1,023.90 | + | 0.90 | 1,000.00 | 1,023.90 | + | 0.90 | 1,000.00 | 1,024.00 | + | 0.80 |
+ | Hypothetical expenses are based on each Portfolio’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
* | Expenses for each share class are calculated using each 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 June 30, 2018. 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 | Investor | Class P(a) | Class R | Class R6 | ||||||||||||||||||||||||
Balanced Strategy | 0.58 | % | 1.33 | % | 0.19 | % | 0.69 | % | 0.33 | % | 0.18 | % | 0.83 | % | 0.18 | % | ||||||||||||||||
Equity Growth Strategy | 0.58 | 1.33 | 0.19 | 0.69 | 0.33 | 0.18 | 0.83 | 0.18 | ||||||||||||||||||||||||
Growth and Income Strategy | 0.58 | 1.33 | 0.19 | 0.69 | 0.33 | 0.18 | 0.83 | 0.18 | ||||||||||||||||||||||||
Growth Strategy | 0.58 | 1.33 | 0.19 | 0.69 | 0.33 | 0.18 | 0.83 | 0.18 | ||||||||||||||||||||||||
Satellite Strategies | 0.56 | 1.31 | 0.17 | 0.67 | 0.31 | 0.16 | 0.81 | 0.16 |
(a) | Commenced operations April 17, 2018. |
119
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
The Goldman Sachs Balanced Strategy Portfolio, Goldman Sachs Equity Growth Strategy Portfolio, Goldman Sachs Growth and Income Strategy Portfolio, Goldman Sachs Growth Strategy Portfolio, and Goldman Sachs Satellite Strategies Portfolio (the “Portfolios”) are investment portfolios of Goldman Sachs Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Portfolios at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Portfolios.
The Management Agreement was most recently approved for continuation until June 30, 2019 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 13-14, 2018 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held four meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to each Portfolio, such matters included:
(a) | the nature and quality of the advisory, administrative, and other services provided to the Portfolio and the underlying funds in which it invests (the “Underlying Funds”) by the Investment Adviser and its affiliates, including information about: |
(i) | the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams; |
(ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training); |
(iii) | trends in employee headcount; |
(iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
(v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
(b) | information on the investment performance of the Portfolio and the Underlying Funds, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), and a benchmark performance index; and information on general investment outlooks in the markets in which the Underlying Funds invest; |
(c) | information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Portfolio’s peer group and/or benchmark index had high, medium, or low relevance given the Portfolio’s particular investment strategy; |
(d) | the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Portfolio; |
(e) | fee and expense information for the Portfolio, including: |
(i) | the relative management fee and expense levels of the Portfolio as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; |
(ii) | the Portfolio’s expense trends over time; and |
(iii) | to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Portfolio, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
(f) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Portfolio; |
(g) | the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations of the Portfolio and the Underlying Funds; |
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Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
(h) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Portfolio to the Investment Adviser and its affiliates; |
(i) | whether the Portfolio’s existing management fee schedule, together with the management fee schedules of the Underlying Funds, adequately addressed any economies of scale; |
(j) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Portfolio and/or the Underlying Funds, including the fees received by the Investment Adviser’s affiliates from the Portfolio and/or the Underlying Funds for transfer agency, securities lending, portfolio trading, distribution and other services; |
(k) | a summary of potential benefits derived by the Portfolio and/or the Underlying Funds as a result of their relationship with the Investment Adviser; |
(l) | with respect to the applicable Underlying Funds, information regarding commissions paid by the Underlying Equity Funds and broker oversight, an update on the Investment Adviser’s soft dollars practices, other information regarding portfolio trading, and how the Investment Adviser carries out its duty to seek best execution; |
(m) | portfolio manager ownership of Portfolio shares; the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers; |
(n) | the nature and quality of the services provided to the Portfolio and the Underlying Funds by their unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and |
(o) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Portfolio’s compliance program; and periodic compliance reports. |
The Trustees also received an overview of the Portfolios’ distribution arrangements. They received information regarding the Portfolios’ assets, share purchase and redemption activity, and payment of distribution, service, and shareholder administration fees, as applicable. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Portfolio shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Portfolio investors, including the availability of comparable funds managed by other advisers.
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Portfolios and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Portfolios. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Portfolios and the Underlying Funds by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the regulatory and control environment in which the Portfolios and the Underlying Funds and their service providers operate, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Portfolios and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Portfolios, the Underlying Funds, and the Investment Adviser and its affiliates.
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Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Investment Performance
The Trustees also considered the investment performance of the Portfolios and the Underlying Funds. In this regard, they compared the investment performance of each Portfolio to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2017, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2018. The information on each Portfolio’s investment performance was provided for the one-, three-, five-, and ten-year periods ending on the applicable dates. The Trustees also reviewed each Portfolio’s investment performance relative to its performance benchmark. As part of this review, they considered the investment performance trends of the Portfolios over time, and reviewed the investment performance of each Portfolio in light of its investment objective and policies and market conditions.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Portfolio performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Underlying Funds’ risk profiles, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management. They noted the efforts of the portfolio management team of certain Underlying Funds to continue to enhance the investment models used in managing the Underlying Funds.
The Trustees observed that the Balanced Strategy Portfolio’s Institutional Shares had placed in the second quartile of the Portfolio’s peer group for the three-, five-, and ten-year periods and in the third quartile for the one-year period, and had outperformed the Portfolio’s benchmark index for the three-year period and underperformed for the one-, five-, and ten-year periods ended March 31, 2018. The Trustees further observed that the Equity Growth Strategy Portfolio’s Institutional Shares had placed in the top half of the Portfolio’s peer group and had outperformed the Portfolio’s benchmark index for the one-, three-, five-, and ten-year periods ended March 31, 2018. They noted that the Growth and Income Strategy Portfolio’s Institutional Shares had placed in the top half of the Portfolio’s peer group for the one-, three-, five-, and ten-year periods, and had outperformed the Portfolio’s benchmark index for the one- and three-year periods and underperformed for the five- and ten-year periods ended March 31, 2018. They observed that the Growth Strategy Portfolio’s Institutional Shares had placed in the top half of the Portfolio’s peer group for the one-, three-, five-, and ten-year periods, and had outperformed the Portfolio’s benchmark index for the one-, three-, and five-year periods and underperformed for the ten-year period ended March 31, 2018. They noted that the Satellite Strategies Portfolio’s Institutional Shares had placed in the second quartile of the Portfolio’s peer group for the one- and three-year periods and in the fourth quartile for the five- and ten-year periods, and had outperformed the Portfolio’s benchmark index for the one-year period and underperformed for the three-, five-, and ten-year periods ended March 31, 2018. The Trustees noted that the Satellite Strategies Portfolio had certain significant differences from both the Portfolio’s peer group and benchmark index that caused the peer group and benchmark index to be imperfect bases for comparison.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by each Portfolio thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Portfolios, which included both advisory and administrative services that were directed to the needs and operations of the Portfolios as registered mutual funds.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Portfolios. The analyses provided a comparison of each Portfolio’s management fee to those of a relevant peer group and category universe; an expense analysis which compared each Portfolio’s overall net and gross expenses to a peer group and a category universe; and data comparing each Portfolio’s net expenses to the peer and category medians. The analyses also compared each Portfolio’s transfer agency, custody, and distribution fees, other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Portfolios.
In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations of the Portfolios and the Underlying Funds. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Portfolios, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Portfolios differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.
In addition, the Trustees noted that shareholders are able to redeem their Portfolio shares at any time if shareholders believe that the Portfolio fees and expenses are too high or if they are dissatisfied with the performance of the Portfolio.
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Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Profitability
The Trustees reviewed each Portfolio’s contribution to the Investment Adviser’s revenues and pre-tax profit margins. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Portfolio and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization had audited the expense allocation methodology and that the internal audit group was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology and profitability analysis calculations. Profitability data for each Portfolio was provided for 2017 and 2016, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability.
Economies of Scale
The Trustees considered the information that had been provided regarding whether there have been economies of scale with respect to the management of the Portfolios.
The Trustees noted that, although the Portfolios themselves do not have breakpoints in their management fee schedules, any benefits of the breakpoints in the management fee schedules of certain Underlying Funds, when reached, would pass through to the shareholders in the Portfolios at the specified asset levels. The Trustees considered the amounts of assets in the Portfolios; the Portfolios’ recent purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and the profits realized by them; information comparing the fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer groups; and the Investment Adviser’s undertaking to limit certain expenses of the Portfolios and Underlying Funds that exceed specified levels. They also considered the services provided to the Portfolios under the Management Agreement and the fees and expenses borne by the Underlying Funds, and determined that the management fees payable by the Portfolios were not duplicative of the management fees paid at the Underlying Fund level.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Portfolios and/or the Underlying Funds as stated above, including: (a) transfer agency fees received by Goldman Sachs & Co. LLC (“Goldman Sachs”); (b) brokerage and futures commissions earned by Goldman Sachs for executing securities and futures transactions on behalf of certain Underlying Funds; (c) research received by the Investment Adviser from broker-dealers in exchange for executing certain transactions on behalf of certain Underlying Funds; (d) trading efficiencies resulting from aggregation of orders of the Underlying Funds with those for other funds or accounts managed by the Investment Adviser; (e) fees earned by Goldman Sachs Agency Lending (“GSAL”), an affiliate of the Investment Adviser, as securities lending agent for certain Underlying Funds (and fees earned by the Investment Adviser for managing the fund in which those Underlying Funds’ cash collateral is invested); (f) the Investment Adviser’s ability to leverage the infrastructure designed to service the Portfolios on behalf of its other clients; (g) the Investment Adviser’s ability to cross-market other products and services to Portfolio shareholders; (h) Goldman Sachs’ retention of certain fees as Portfolio Distributor; (i) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Portfolios and Underlying Funds; and (j) the possibility that the working relationship between the Investment Adviser and the Portfolios’ and Underlying Funds’ third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
Other Benefits to the Portfolios and Their Shareholders
The Trustees also noted that the Portfolios and/or the Underlying Funds receive certain potential benefits as a result of their relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Underlying Funds with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors because of the volume of business generated by the Investment Adviser and its affiliates; (c) with respect to the Underlying Funds, enhanced servicing from broker-dealers because of the volume of business generated by the Investment Adviser and its affiliates; (d) with respect to certain Underlying Funds, the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties as a result of the size and reputation of the Goldman Sachs organization; (e) the Investment Adviser’s knowledge and experience
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Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Portfolios and the Underlying Funds because of the reputation of the Goldman Sachs organization; (g) the Portfolios’ and Underlying Funds’ access, through the Investment Adviser, to certain firmwide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; (h) with respect to certain Underlying Funds, the ability to participate in the securities lending program administered by GSAL, as measured by the revenue received by the Underlying Funds in connection with the program; and (i) the Portfolios’ access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Portfolios’ shareholders invested in the Portfolios in part because of the Portfolios’ relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by each of the Portfolios were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and each Portfolio’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit each Portfolio and its shareholders and that the Management Agreement should be approved and continued with respect to each Portfolio until June 30, 2019.
124
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 $1.30 trillion in assets under supervision as of June 30, 2018, 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
∎ | Enhanced Income Fund |
∎ | High Quality Floating Rate Fund |
∎ | Short-Term Conservative Income Fund |
∎ | Short Duration Government Fund |
∎ | Short Duration Income Fund |
∎ | Government Income Fund |
∎ | Inflation Protected Securities Fund |
Multi-Sector
∎ | Bond Fund |
∎ | Core Fixed Income Fund |
∎ | Global Income Fund |
∎ | Strategic Income Fund |
Municipal and Tax-Free
∎ | High Yield Municipal Fund |
∎ | Dynamic Municipal Income Fund |
∎ | Short Duration Tax-Free Fund |
Single Sector
∎ | Investment Grade Credit Fund |
∎ | U.S. Mortgages Fund |
∎ | High Yield Fund |
∎ | High Yield Floating Rate Fund |
∎ | Emerging Markets Debt Fund |
∎ | Local Emerging Markets Debt Fund |
∎ | Total Emerging Markets Income Fund4 |
Fixed Income Alternatives
∎ | Long Short Credit Strategies Fund |
Fundamental Equity
∎ | Equity Income Fund |
∎ | Small Cap Value Fund |
∎ | Small/Mid Cap Value Fund |
∎ | Mid Cap Value Fund |
∎ | Large Cap Value Fund |
∎ | Focused Value Fund |
∎ | Capital Growth Fund |
∎ | Strategic Growth Fund |
∎ | Small/Mid Cap Growth Fund |
∎ | Flexible Cap Fund |
∎ | Concentrated Growth Fund |
∎ | Technology Opportunities Fund |
∎ | Growth Opportunities Fund |
∎ | Rising Dividend Growth Fund |
∎ | Blue Chip Fund5 |
∎ | Income Builder 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
∎ | International Equity Income Fund6 |
∎ | International Equity ESG Fund7 |
∎ | Asia Equity Fund |
∎ | Emerging Markets Equity Fund |
∎ | N-11 Equity Fund |
∎ | ESG Emerging Markets Equity Fund |
Select Satellite
∎ | Real Estate Securities Fund |
∎ | International Real Estate Securities Fund |
∎ | Commodity Strategy Fund |
∎ | Global Real Estate Securities Fund |
∎ | Alternative Premia Fund8 |
∎ | Absolute Return Tracker Fund |
∎ | Managed Futures Strategy Fund |
∎ | MLP Energy Infrastructure Fund |
∎ | MLP & Energy 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 |
∎ | Target Date 2060 Portfolio |
∎ | GQG Partners International Opportunities Fund |
∎ | Tactical Exposure 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 after the close of business on December 26, 2017, the Goldman Sachs Dynamic Emerging Markets Debt Fund was renamed the Goldman Sachs Total Emerging Markets Income Fund. |
5 | Effective after the close of business on October 31, 2017, the Goldman Sachs Dynamic U.S. Equity Fund was renamed the Goldman Sachs Blue Chip Fund. |
6 | Effective after the close of business on February 27, 2018, the Goldman Sachs Strategic International Equity Fund was renamed the Goldman Sachs International Equity Income Fund. |
7 | Effective after the close of business on February 27, 2018, the Goldman Sachs Focused International Equity Fund was renamed the Goldman Sachs International Equity ESG Fund. |
8 | Effective after the close of business on October 30, 2017, the Goldman Sachs Dynamic Allocation Fund was renamed the Goldman Sachs Alternative Premia 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 Jessica Palmer, Chair Kathryn A. Cassidy Diana M. Daniels Herbert J. Markley James A. McNamara 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 portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
The reports concerning the Portfolios included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Portfolios in the future. These statements are based on Portfolio management’s predictions and expectations concerning certain future events and their expected impact on the Portfolios, 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 Portfolios. 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.
Diversification does not protect an investor from market risk and does not ensure a profit.
Views and opinions expressed are for informational purposes only and do not constitute a recommendation by GSAM to buy, sell, or hold any security. Views and opinions are current as of the date of this presentation and may be subject to change. They should not be construed as investment advice.
A description of the policies and procedures that the Portfolios use to determine how to vote proxies relating to portfolio securities and information regarding how a Portfolio 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.
References to indices, benchmarks or other measures of relative market performance over a specified period of time are provided for your information only and do not imply that the portfolio will achieve similar results. The index composition may not reflect the manner in which a portfolio is constructed. While an adviser seeks to design a portfolio which reflects appropriate risk and return features, portfolio characteristics may deviate from those of the benchmark.
The Portfolios file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Portfolios’ Forms N-Q are available on the SEC’s web site at http://www.sec.gov within 60 days after the Portfolios’ first and third fiscal quarters. When available, the Portfolios’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. Forms N-Q may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).
Holdings and allocations shown are as of June 30, 2018 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.
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 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 a Portfolio 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).
© 2018 Goldman Sachs. All rights reserved. 138788-OTU-813633 FFSAR-18/45.2K
Goldman Sachs Funds
Semi-Annual Report | June 30, 2018 | |||
Global Infrastructure Fund |
Goldman Sachs Global Infrastructure Fund
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9 | ||||
11 | ||||
14 | ||||
21 | ||||
29 |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee |
PORTFOLIO RESULTS
Goldman Sachs Global Infrastructure Fund
Investment Objective
The Fund seeks total return comprised of long-term growth of capital and income.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Global Infrastructure Team discusses the Goldman Sachs Global Infrastructure Fund’s (the “Fund”) performance and positioning for the six-month period ended June 30, 2018 (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, Investor, R and R6 Shares generated cumulative total returns, without sales charges, of -2.03%, -2.42%, -1.81%, -1.94%, -2.19% and -1.89%, respectively. These returns compare to the -1.30% cumulative total return of the Dow Jones Brookfield Global Infrastructure Index (Net, USD, Unhedged) (the “Index”). The Index is intended to measure all sectors of the infrastructure market.1 The Fund’s former benchmark, the Dow Jones Brookfield Global Infrastructure Index (Gross, USD, Unhedged), returned -0.82% during the same period. |
For the period since their inception on April 17, 2018 through June 30, 2018, the Fund’s Class P Shares generated a cumulative total return of 1.33% compared to the 1.74% cumulative total return of the Index. The Dow Jones Brookfield Global Infrastructure Index (Gross, USD, Unhedged) returned 2.03% during the same period. |
Q | What economic and market factors most influenced global infrastructure companies during the Reporting Period? |
A | During January 2018, when the Reporting Period began, the global infrastructure market edged down slightly. The utilities sector declined as investors began to reassess utility companies’ growth prospects amid higher interest rates. The transportation sector performed best, supported by companies that reported strong fourth quarter and calendar year 2017 earnings. The global infrastructure market retreated further in February 2018. Every sector recorded a negative return, with energy posting the worst performance. |
In March 2018, the global infrastructure market achieved a modest gain. Among sectors, utilities produced positive returns, while energy generated the weakest results. Energy infrastructure companies struggled following a surprise ruling from the Federal Energy Regulatory Commission (“FERC”) that energy master limited partnerships (“MLPs”) could no longer include an income tax allowance in their cost-of-service rate calculations (a method used to set rates for pipeline customers). FERC also made a market-expected announcement regarding regulated pipelines owned by “C” corporations, ruling that the federal income tax allowance should be reduced from 35% to 21%, in keeping with corporate tax reform. |
In April 2018, the global infrastructure market recorded another modest gain. The best performing sector was transportation, while the communications sector declined. Communications companies weakened following the announcement of the T-Mobile and Sprint merger, as investors worried about potential revenue losses from overlapping cell towers that supported the two companies’ networks. The global infrastructure market fell back slightly in May 2018. The transportation sector declined, while the energy sector generated solidly positive returns. During June 2018, the global infrastructure market produced a gain. The energy sector performed best, while the transportation sector declined. |
For the Reporting Period overall, the global infrastructure market, as measured by the Index, generated a cumulative total return of -1.30%. Japan was the top performing market during the Reporting Period, followed at a distance by Hong Kong and the U.S. Decliners were led by Italy and Canada. Within market sectors, communications companies generated gains, while transportation companies posted losses. Energy infrastructure and utilities companies ended the Reporting Period about where they started. |
1 | Source: Dow Jones. The Index includes companies domiciled globally that qualify as “pure-play” infrastructure companies —companies whose primary business is the ownership and operation of infrastructure assets, activities that generally generate long-term stable cash flows. It includes master limited partnerships (“MLPs”) in addition to other equity securities. |
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PORTFOLIO RESULTS
Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
A | During the Reporting Period, security selection in the utilities sector, particularly among gas utilities, detracted most from the Fund’s relative performance. The Fund was also hampered by its overweight position compared the Index in the transportation sector. On the positive side, the Fund benefited from security selection in the energy sector, especially among energy MLPs. Among countries, security selection in Spain, Australia and France hurt relative returns most. The Fund was helped by security selection and an overweight position relative to the Index in the U.S. |
Q | What individual holdings detracted most from the Fund’s relative performance during the Reporting Period? |
A | The top detractors from the Fund’s relative performance during the Reporting Period were ONEOK, Aena SME and Beijing Enterprises Water Group. |
The Fund’s underweight compared to the Index in ONEOK (OKE), one of the largest energy midstream2 service providers in the U.S., detracted from relative returns. OKE’s shares performed strongly in April 2018 alongside a general recovery in the North American energy sector that was driven by increasing exports and global demand. At the end of the Reporting Period, we maintained the Fund’s underweight position in OKE, as we thought the stock was trading at a significant premium compared to others in the sector. |
An investment in Aena SME (AENA), a Spanish state-owned manager and operator of airport terminals, also hurt the Fund’s relative performance during the Reporting Period. While AENA’s fundamentals remained strong, its shares declined after Transcontinental Realty Investors and Talos Capital took a 2.6% stake in the company. At the end of the Reporting Period, we believed AENA was well positioned to benefit from increasing travel driven by a better economy, and it should, in our view, continue to grow revenues in 2018 and beyond. We also thought the regulatory framework remained favorable for the company at the end of the Reporting Period. |
Another notable detractor from the Fund’s relative returns during the Reporting Period was Beijing Enterprises Water Group (BEW), a Hong Kong-based provider of various water and environmental protection services in China, Singapore, Malaysia and Portugal. The company’s stock price declined in January 2018 following the announcement of a new issue placement, which would increase the total number of outstanding shares and therefore dilute BEW’s earnings per share. Investor sentiment remained weak ahead of China’s National People’s Congress because of concerns surrounding the off-balance sheet structure of BEW’s public-private partnership (“PPP”) investment funds and the Chinese government’s regulatory tightening on PPP projects. (An off-balance sheet structure means the financing activity is not on a company’s balance sheet.) Additionally, BEW reported lower than market expected fiscal year 2017 earnings in March 2018, driven by slower progress on water renovation PPP project development and lower construction margins. Despite these disappointing results, at the end of the Reporting Period, we believed BEW had high quality projects that are well structured, which should potentially allow the company to gain access to low-cost capital and to generate stable cash flows. In our opinion, BEW was on track at the end of the Reporting Period to meet its fiscal 2017 goals, with strong potential for both its water capacity and water renovation contracts. We thought BEW could continue to benefit from what we see as its solid management team and lower leverage levels as well as from broader efforts to clean up China’s water supply. |
Q | What individual holdings added most to the Fund’s relative performance during the Reporting Period? |
A | During the Reporting Period, Cheniere Energy, Sempra Energy and Williams Partners L.P. were leading positive contributors to the Fund’s relative returns. |
Cheniere Energy (LNG), a company primarily engaged in liquefied natural gas businesses, added to the Fund’s relative performance. LNG’s shares appreciated along with the price of natural gas, which rose amid increased global demand growth. In addition, its company management raised guidance after deciding to invest in the Corpus Christi Train 3 expansion, as it is likely to increase LNG’s capacity for |
2 | The midstream component of the energy industry is usually defined as those companies providing products or services that help link the supply side, i.e. energy producers, and the demand side, i.e. energy end-users, for any type of energy commodity. Such midstream business can include, but are not limited to, those that process, store, market and transport various energy commodities. |
3 | Take-or-pay is a provision, written into a contract, whereby one party has the obligation of either taking delivery of goods or paying a specified amount. |
2
PORTFOLIO RESULTS
liquefied natural gas. At the end of the Reporting Period, we remained positive about LNG, as the majority of the company’s capacity is concentrated in long-term take-or-pay3 agreements with investment grade rate counterparties, making its cash flow highly visible. |
Sempra Energy (SRE), the largest natural gas distribution utility in California, was another top contributor to the Fund’s relative returns during the Reporting Period. SRE has a balanced portfolio of growth businesses composed of regulated utilities and long-term contracted energy infrastructure, and it is well-diversified geographically, in our view. Its shares gained during February 2018 on the back of a positive fourth quarter 2017 earnings announcement, which highlighted better than market expected earnings and an increased 2018 annual dividend. At the end of the Reporting Period, we were encouraged by the approval of SRE’s acquisition of Oncor Electric Delivery Company, LLC, and we believed SRE was poised for growth for 2018 overall. |
Williams Partners L.P. (WPZ), a natural gas-focused midstream energy company with operations in numerous U.S. basins, also enhanced the Fund’s relative results during the Reporting Period. Its shares appreciated after the company announced in May 2018 an improved outlook and better than market expected financial metrics. During the Reporting Period, its parent company Williams Companies announced it would acquire WPZ in an all stock-for-unit transaction. In our view, WPZ had strong dividend coverage and was trading at the end of the Reporting Period at an attractive valuation relative to its peers. |
Q | Were there any notable purchases or sales during the Reporting Period? |
A | Among the purchases made during the Reporting Period were the Fund’s investments in SRE and AENA, both mentioned previously. |
Notable sales included Atlas Arteria Group (ALX), an Australia-based operator of toll roads in the U.S. and Europe. ALX’s stock price had rallied during 2017 due to strong earnings results, driven by stable traffic trends across the U.S. and Europe as well as by the company’s expansion of its French toll road network, which benefited from an improving regional economy. Encouraged by its shareholders, ALX separated from parent Macquarie Group in order to have its own management team and to reduce liabilities. The announcement drove ALX’s shares higher in November 2017. In our view, ALX could see a traffic decline for its Virginia-based toll road going forward because of growing congestion and the completion of competing roads in the area. As a result, we sold the Fund’s position in ALX during the Reporting Period as we sought to capture profits. |
We exited the Fund’s investment in Equinix. We had initially purchased shares of the data center provider because we thought it was well positioned to benefit from continued demand for data storage. During the Reporting Period, Equinix reached our price target, and we decided to reallocate the capital to investment ideas with what we considered greater potential risk/reward. |
Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
A | The Fund did not use derivatives or similar instruments within its investment process during the Reporting Period. |
Q | Were there any notable changes in the Fund’s weightings during the Reporting Period? |
A | In constructing the Fund’s portfolio, we focus on picking securities rather than on making sector, subsector or country bets. We seek to outpace the Index by overweighting securities we expect to outperform and underweighting those that we think may lag. Consequently, changes in the Fund’s sector or country weights are generally the direct result of individual security selection and/or the appreciation or depreciation of particular Fund holdings. That said, during the Reporting Period, the Fund moved from an underweight in the transportation sector to an overweight position. This shift was largely the result of our decision to add more exposure to airport companies. At the same time, we reduced the Fund’s exposure to toll road companies. In addition, the Fund shifted from an overweight in the energy sector to a slightly underweight position. Its underweight in the utilities sector also decreased. From a country perspective, compared to the Index, the Fund’s overweight in the U.S. increased, while the Fund moved from underweights in the U.K. and Spain to rather neutral positions in each. Also, the Fund’s overweight in Italy decreased during the Reporting Period. |
Q | How was the Fund positioned relative to the Index at the end of the Reporting Period? |
A | At the end of the Reporting Period, the Fund was neutral relative to the Index in the energy and communications sectors. It was overweight versus the Index in the transportation sector and underweight the utilities sector. In geographic terms, the Fund was overweight the U.S. and Italy and underweight Hong Kong at the end of the Reporting Period. |
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PORTFOLIO RESULTS
Q | What is the Fund’s tactical view and strategy for the months ahead? |
A | At the end of the Reporting Period, we believed modest economic growth provided an excellent backdrop for global infrastructure securities. We thought the financing environment was accommodative; fundamentals with respect to supply and demand were healthy; and the investment attributes of global infrastructure securities continued to be viewed favorably, especially relative to fixed income. Therefore, investor demand is likely, in our view, to increase, which could be supportive of valuations. Despite the more uncertain and volatile global macro environment, we believe infrastructure companies hold unique positions in the global economy and can benefit from their strong business models, which typically feature stable demand, high barriers to entry and regulated or contract-based businesses. We further believe the financing environment for global infrastructure companies is likely to continue to be accommodative, which is particularly important given the capital-intensive nature of these businesses. In the near term, we believe divergent global central bank monetary policies and varying fundamentals at the sub-sector level may present compelling investment opportunities. We think global infrastructure securities may provide investors with attractive yields and lower volatility relative to the broader equity market. Compared to bonds, we believe they offer long-term growth potential, inflation hedging benefits and resiliency to interest rate fluctuations. |
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FUND BASICS
Global Infrastructure Fund
as of June 30, 2018
PERFORMANCE REVIEW |
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January 1, 2018–June 30, 2018 | Fund Total Return (based on NAV)1 | Dow Jones Brookfield Global Infrastructure Index (Net, USD, Unhedged)2 | Dow Jones Brookfield Global Infrastructure Index (Gross, USD, Unhedged)3 | |||||||||||
Class A | -2.03 | % |
| -1.30 | % | -0.82 | % | |||||||
Class C | -2.42 | -1.30 | -0.82 | |||||||||||
Institutional | -1.81 | -1.30 | -0.82 | |||||||||||
Investor | -1.94 | -1.30 | -0.82 | |||||||||||
Class R | -2.19 | -1.30 | -0.82 | |||||||||||
Class R6 | -1.89 | -1.30 | -0.82 | |||||||||||
April 17, 2018–June 30, 2018 | ||||||||||||||
Class P | 1.33 | % | 1.74 | % | 2.03 | % |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The Dow Jones Brookfield Global Infrastructure Index (Net, USD, Unhedged) intends to measure the stock performance of pure-play infrastructure companies domiciled globally. The index covers all sectors of the infrastructure market. Components are required to have more than 70% of cash flows derived from infrastructure lines of business. It is not possible to invest directly in an index. Effective February 23, 2018, the Fund changed its benchmark index from gross total return to net total return to more accurately reflect the impact of international withholding taxes in the benchmark index’s return. |
3 | The Dow Jones Brookfield Global Infrastructure Index (Gross, USD, Unhedged) intends to measure the stock performance of pure-play infrastructure companies domiciled globally. The index covers all sectors of the infrastructure market. Components are required to have more than 70% of cash flows derived from infrastructure lines of business. It is not possible to invest directly in an index. |
STANDARDIZED TOTAL RETURNS4 |
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For the period ended 06/30/18 | One Year | Since Inception | Inception Date | |||||||||
Class A | -3.72 | % | 2.31 | % | 6/27/16 | |||||||
Class C | 0.03 | 4.42 | 6/27/16 | |||||||||
Institutional | 2.28 | 5.64 | 6/27/16 | |||||||||
Investor | 2.07 | 5.46 | 6/27/16 | |||||||||
Class P | N/A | 1.33 | 4/17/18 | |||||||||
Class R | 1.54 | 4.93 | 6/27/16 | |||||||||
Class R6 | 2.21 | 5.62 | 6/27/16 |
4 | The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 5.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1.00% if redeemed within 12 months of purchase). Because Institutional, Investor, Class P, 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
5
FUND BASICS
higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
EXPENSE RATIOS5 | ||||||||||||||
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||||||
Class A | 1.38 | % | 1.56 | % | ||||||||||
Class C | 2.13 | 2.31 | ||||||||||||
Institutional | 0.99 | 1.17 | ||||||||||||
Investor | 1.13 | 1.31 | ||||||||||||
Class P | 0.98 | 1.16 | ||||||||||||
Class R | 1.63 | 1.81 | ||||||||||||
Class R6 | 0.98 | 1.16 |
5 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to contractual arrangements, the Fund’s waivers and/or expense limitations will remain in place through at least April 30, 2019, 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. |
6
FUND BASICS
TOP TEN HOLDINGS AS OF 6/30/186 | ||||||||||
Holding | % of Net | Line of Business | Country | |||||||
American Tower Corp. | 7.3 | % | Equity Real Estate Investment Trusts (REITs) | United States | ||||||
Vinci SA | 6.2 | Construction & Engineering | France | |||||||
Enbridge, Inc. | 5.8 | Oil, Gas & Consumable Fuels | Canada | |||||||
TransCanada Corp. | 4.9 | Oil, Gas & Consumable Fuels | Canada | |||||||
National Grid PLC | 4.8 | Multi-Utilities | United Kingdom | |||||||
Sempra Energy | 3.8 | Multi-Utilities | United States | |||||||
Crown Castle International Corp. | 3.3 | Equity Real Estate Investment Trusts (REITs) | United States | |||||||
American Water Works Co., Inc. | 3.2 | Water Utilities | United States | |||||||
Pembina Pipeline Corp. | 2.9 | Oil, Gas & Consumable Fuels | Canada | |||||||
Transurban Group | 2.7 | Transportation Infrastructure | Australia |
6 | The top 10 holdings may not be representative of the Fund’s future investments. |
7
FUND BASICS
FUND VS. BENCHMARK SECTOR ALLOCATION7 | ||||
As of June 30, 2018 |
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. |
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GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
June 30, 2018 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 98.4% | ||||||||
Australia – 4.2% | ||||||||
339,985 | Spark Infrastructure Group (Electric Utilities) | $ | 573,558 | |||||
576,502 | Sydney Airport (Transportation Infrastructure) | 3,051,968 | ||||||
702,958 | Transurban Group (Transportation Infrastructure) | 6,224,909 | ||||||
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9,850,435 | ||||||||
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Canada – 16.1% | ||||||||
375,968 | Enbridge, Inc. (Oil, Gas & Consumable Fuels) | 13,441,217 | ||||||
183,621 | Fortis, Inc. (Electric Utilities) | 5,869,056 | ||||||
192,839 | Pembina Pipeline Corp. (Oil, Gas & Consumable Fuels) | 6,678,553 | ||||||
264,738 | TransCanada Corp. (Oil, Gas & Consumable Fuels) | 11,454,225 | ||||||
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37,443,051 | ||||||||
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China – 1.1% | ||||||||
256,000 | ENN Energy Holdings Ltd. (Gas Utilities) | 2,507,110 | ||||||
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France – 7.5% | ||||||||
13,737 | Aeroports de Paris (Transportation Infrastructure) | 3,103,054 | ||||||
149,870 | Vinci SA (Construction & Engineering) | 14,386,188 | ||||||
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17,489,242 | ||||||||
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Hong Kong – 3.3% | ||||||||
3,172,000 | Beijing Enterprises Water Group Ltd.* (Water Utilities) | 1,724,819 | ||||||
749,800 | China Gas Holdings Ltd. (Gas Utilities) | 3,006,093 | ||||||
1,506,010 | Hong Kong & China Gas Co. Ltd. (Gas Utilities) | 2,878,788 | ||||||
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7,609,700 | ||||||||
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Italy – 5.5% | ||||||||
202,883 | Atlantia SpA (Transportation Infrastructure) | 5,981,439 | ||||||
331,951 | Enav SpA(a) (Transportation Infrastructure) | 1,660,683 | ||||||
206,079 | Enel SpA (Electric Utilities) | 1,141,921 | ||||||
736,215 | Terna Rete Elettrica Nazionale SpA (Electric Utilities) | 3,976,054 | ||||||
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12,760,097 | ||||||||
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Japan – 1.3% | ||||||||
114,700 | Tokyo Gas Co. Ltd. (Gas Utilities) | 3,045,543 | ||||||
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Spain – 4.5% | ||||||||
29,363 | Aena SME SA(a) (Transportation Infrastructure) | 5,316,079 | ||||||
255,895 | Ferrovial SA (Construction & Engineering) | 5,236,275 | ||||||
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10,552,354 | ||||||||
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Common Stocks – (continued) | ||||||||
United Kingdom – 6.8% | ||||||||
1,008,756 | National Grid PLC (Multi-Utilities) | 11,147,830 | ||||||
184,530 | Severn Trent PLC (Water Utilities) | 4,811,394 | ||||||
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15,959,224 | ||||||||
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United States – 48.1% | ||||||||
118,981 | American Tower Corp. (Equity Real Estate Investment Trusts (REITs)) | 17,153,491 | ||||||
87,411 | American Water Works Co., Inc. (Water Utilities) | 7,463,151 | ||||||
12,390 | Antero Midstream GP LP (Oil, Gas & Consumable Fuels) | 233,675 | ||||||
16,615 | Antero Midstream Partners LP (Oil, Gas & Consumable Fuels) | 490,475 | ||||||
63,440 | Atmos Energy Corp. (Gas Utilities) | 5,718,482 | ||||||
92,088 | Cheniere Energy, Inc.* (Oil, Gas & Consumable Fuels) | 6,003,217 | ||||||
49,029 | CMS Energy Corp. (Multi-Utilities) | 2,318,091 | ||||||
41,443 | Consolidated Edison, Inc. (Multi-Utilities) | 3,231,725 | ||||||
70,790 | Crown Castle International Corp. (Equity Real Estate Investment Trusts (REITs)) | 7,632,578 | ||||||
29,793 | CyrusOne, Inc. (Equity Real Estate Investment Trusts (REITs)) | 1,738,719 | ||||||
61,613 | Edison International (Electric Utilities) | 3,898,254 | ||||||
77,955 | Enbridge Energy Management LLC* (Oil, Gas & Consumable Fuels) | 799,818 | ||||||
94,453 | Eversource Energy (Electric Utilities) | 5,535,890 | ||||||
302,245 | Kinder Morgan, Inc. (Oil, Gas & Consumable Fuels) | 5,340,669 | ||||||
11,789 | NextEra Energy, Inc. (Electric Utilities) | 1,969,117 | ||||||
64,714 | ONEOK, Inc. (Oil, Gas & Consumable Fuels) | 4,518,979 | ||||||
89,478 | PG&E Corp. (Electric Utilities) | 3,808,184 | ||||||
39,931 | Pinnacle West Capital Corp. (Electric Utilities) | 3,216,841 | ||||||
33,990 | SBA Communications Corp.* (Equity Real Estate Investment Trusts (REITs)) | 5,612,429 | ||||||
77,307 | Sempra Energy (Multi-Utilities) | 8,976,116 | ||||||
95,186 | Targa Resources Corp. (Oil, Gas & Consumable Fuels) | 4,710,755 | ||||||
65,116 | The Williams Cos., Inc. (Oil, Gas & Consumable Fuels) | 1,765,295 | ||||||
12,343 | Vulcan Materials Co. (Construction Materials) | 1,592,987 | ||||||
131,313 | Williams Partners LP (Oil, Gas & Consumable Fuels) | 5,329,995 | ||||||
40,009 | Xcel Energy, Inc. (Electric Utilities) | 1,827,611 | ||||||
40,781 | Zayo Group Holdings, Inc.* (Diversified Telecommunication Services) | 1,487,691 | ||||||
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112,374,235 | ||||||||
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TOTAL COMMON STOCKS | ||||||||
(Cost $223,801,735) | $ | 229,590,991 | ||||||
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The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
Shares | Distribution Rate | Value | ||||||
Investment Company(b) – 0.0% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
2,161 | 1.869% | $ | 2,161 | |||||
(Cost $2,161) | ||||||||
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TOTAL INVESTMENTS — 98.4% | ||||||||
(Cost $223,803,896) | $ | 229,593,152 | ||||||
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| OTHER ASSETS IN EXCESS OF LIABILITIES – 1.6% | 3,847,498 | ||||||
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NET ASSETS – 100.0% | $ | 233,440,650 | ||||||
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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. 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 $6,976,762, which represents approximately 3.0% of the Fund’s net assets as of June 30, 2018. The liquidity determination is unaudited. | |
(b) | Represents an affiliated fund. |
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Investment Abbreviations: | ||
GP | —General Partnership | |
LLC | —Limited Liability Company | |
LP | —Limited Partnership | |
PLC | —Public Limited Company | |
REITs | —Real Estate Investment Trusts | |
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10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Statement of Assets and Liabilities
June 30, 2018 (Unaudited)
Assets: |
| |||||
Investments of unaffiliated issuers, at value (cost $223,801,735) | $ | 229,590,991 | ||||
Investments of affiliated issuers, at value (cost $2,161) | 2,161 | |||||
Cash | 1,870,076 | |||||
Foreign currencies, at value (cost $47,807) | 48,018 | |||||
Receivables: | ||||||
Investments sold | 4,217,399 | |||||
Dividends | 990,540 | |||||
Fund shares sold | 119,238 | |||||
Foreign tax reclaims | 1,022 | |||||
Other assets | 46,132 | |||||
Total assets | 236,885,577 | |||||
Liabilities: | ||||||
Payables: | ||||||
Investments purchased | 3,122,338 | |||||
Management fees | 173,092 | |||||
Fund shares redeemed | 81,315 | |||||
Distribution and Service fees and Transfer Agency fees | 7,537 | |||||
Payable to investment adviser | 5,832 | |||||
Accrued expenses | 54,813 | |||||
Total liabilities | 3,444,927 | |||||
Net Assets: | ||||||
Paid-in capital | 236,624,047 | |||||
Distributions in excess of net investment income | (246,976 | ) | ||||
Accumulated net realized loss | (8,724,494 | ) | ||||
Net unrealized gain | 5,788,073 | |||||
NET ASSETS | $ | 233,440,650 | ||||
Net Assets: | ||||||
Class A | $ | 1,327,410 | ||||
Class C | 1,367,850 | |||||
Institutional | 1,786,287 | |||||
Investor | 303,809 | |||||
Class P | 3,449,650 | |||||
Class R | 27,551 | |||||
Class R6 | 225,178,093 | |||||
Total Net Assets | $ | 233,440,650 | ||||
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | ||||||
Class A | 126,199 | |||||
Class C | 130,353 | |||||
Institutional | 169,331 | |||||
Investor | 28,874 | |||||
Class P | 328,039 | |||||
Class R | 2,618 | |||||
Class R6 | 21,395,147 | |||||
Net asset value, offering and redemption price per share:(a) | ||||||
Class A | $10.52 | |||||
Class C | 10.49 | |||||
Institutional | 10.55 | |||||
Investor | 10.52 | |||||
Class P | 10.52 | |||||
Class R | 10.52 | |||||
Class R6 | 10.52 |
(a) | Maximum public offering price per share for Class A Shares is $11.13. 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. | 11 |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Statement of Operations
For the Six Months Ended June 30, 2018 (Unaudited)
Investment income: |
| |||||
Dividends — unaffiliated issuers (net of foreign withholding taxes of $320,286) | $ | 3,729,928 | ||||
Dividends — affiliated issuers | 12,868 | |||||
Total investment income | 3,742,796 | |||||
Expenses: |
| |||||
Management fees | 1,015,142 | |||||
Professional fees | 55,871 | |||||
Transfer Agency fees(a) | 37,683 | |||||
Custody, accounting and administrative services | 24,235 | |||||
Printing and mailing costs | 17,852 | |||||
Trustee fees | 8,860 | |||||
Distribution and Service fees(a) | 4,147 | |||||
Other | 13,487 | |||||
Total expenses | 1,177,277 | |||||
Less — expense reductions | (60,854 | ) | ||||
Net expenses | 1,116,423 | |||||
NET INVESTMENT INCOME | 2,626,373 | |||||
Realized and unrealized gain (loss): | ||||||
Net realized gain (loss) from: | ||||||
Investments — unaffiliated issuers | (5,134,588 | ) | ||||
Foreign currency transactions | 12,177 | |||||
Net change in unrealized gain (loss) on: | ||||||
Investments — unaffiliated issuers | (1,851,247 | ) | ||||
Foreign currency translation | (4,246 | ) | ||||
Net realized and unrealized loss | (6,977,904 | ) | ||||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (4,351,531 | ) |
(a) | Class specific Distribution and/or Service and Transfer Agency fees were as follows: |
Distribution and/or Service Fees | Transfer Agency Fees | |||||||||||||||||||||||||||||||||||||
Class A | Class C | Class R | Class A | Class C | Institutional | Investor | Class P(b) | Class R | Class R6 | |||||||||||||||||||||||||||||
$ | 879 | $ | 3,201 | $ | 67 | $ | 633 | $ | 576 | $ | 10,765 | $ | 152 | $ | 26 | $ | 24 | $ | 25,507 |
(b) | Class P Shares commenced operations on April 17, 2018. |
12 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2018 (Unaudited) | For the Fiscal Year Ended December 31, 2017 | |||||||||
From operations: |
| |||||||||
Net investment income | $ | 2,626,373 | $ | 3,136,455 | ||||||
Net realized loss | (5,122,411 | ) | (2,742,866 | ) | ||||||
Net change in unrealized gain (loss) | (1,855,493 | ) | 7,642,547 | |||||||
Net increase (decrease) in net assets resulting from operations | (4,351,531 | ) | 8,036,136 | |||||||
Distributions to shareholders: | ||||||||||
From net investment income | ||||||||||
Class A Shares | (12,020 | ) | (694 | ) | ||||||
Class C Shares | (10,547 | ) | (679 | ) | ||||||
Institutional Shares | (18,637 | ) | (3,330,647 | ) | ||||||
Investor Shares | (3,112 | ) | (552 | ) | ||||||
Class P Shares(a) | (31,787 | ) | — | |||||||
Class R Shares | (236 | ) | (442 | ) | ||||||
Class R6 Shares | (2,609,114 | ) | (587 | ) | ||||||
From net realized gains | ||||||||||
Class A Shares | — | (177 | ) | |||||||
Class C Shares | — | (173 | ) | |||||||
Institutional Shares | — | (847,898 | ) | |||||||
Investor Shares | — | (140 | ) | |||||||
Class R Shares | — | (113 | ) | |||||||
Class R6 Shares | — | (150 | ) | |||||||
Return of capital | ||||||||||
Class A Shares | — | (17 | ) | |||||||
Class C Shares | — | (16 | ) | |||||||
Institutional Shares | — | (79,805 | ) | |||||||
Investor Shares | — | (13 | ) | |||||||
Class R Shares | — | (11 | ) | |||||||
Class R6 Shares | — | (14 | ) | |||||||
Total distributions to shareholders | (2,685,453 | ) | (4,262,128 | ) | ||||||
From share transactions: | ||||||||||
Proceeds from sales of shares | 257,923,339 | 225,391,930 | ||||||||
Reinvestment of distributions | 2,685,324 | 4,262,128 | ||||||||
Cost of shares redeemed | (242,858,536 | ) | (13,758,037 | ) | ||||||
Net increase in net assets resulting from share transactions | 17,750,127 | 215,896,021 | ||||||||
TOTAL INCREASE | 10,713,143 | 219,670,029 | ||||||||
Net assets: | ||||||||||
Beginning of period | 222,727,507 | 3,057,478 | ||||||||
End of period | $ | 233,440,650 | $ | 222,727,507 | ||||||
Distribution in excess of net investment income | $ | (246,976 | ) | $ | (187,896 | ) |
(a) | Class P Shares commenced operations on April 17, 2018. |
The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Global Infrastructure Fund | ||||||||||||||
Class A Shares(a) | ||||||||||||||
Six Months Ended (Unaudited)
| Year Ended December 31, | |||||||||||||
2017 | 2016 | |||||||||||||
Per Share Data | ||||||||||||||
Net asset value, beginning of period | $ | 10.85 | $ | 9.89 | $ | 10.00 | ||||||||
Net investment income(b) | $ | 0.14 | $ | 0.22 | (c) | $ | 0.06 | |||||||
Net realized and unrealized gain (loss) | (0.36 | ) | 0.99 | 0.01 | ||||||||||
Total from investment operations | (0.22 | ) | 1.21 | 0.07 | ||||||||||
Distributions to shareholder from net investment income | $ | (0.11 | ) | $ | (0.20 | ) | $ | (0.05 | ) | |||||
Distributions to shareholder from net realized gains | — | (0.05 | ) | (0.12 | ) | |||||||||
Distributions to shareholder from return of capital | — | — | (d) | (0.01 | ) | |||||||||
Total distributions | (0.11 | ) | (0.25 | ) | (0.18 | ) | ||||||||
Net asset value, end of period | $ | 10.52 | $ | 10.85 | $ | 9.89 | ||||||||
Total return(e) | (2.03 | )% | 12.29 | % | 0.69 | % | ||||||||
Net assets, end of period (in 000s) | $ | 1,327 | $ | 40 | $ | 25 | ||||||||
Ratio of net expenses to average net assets | 1.38 | %(f) | 1.38 | % | 1.40 | %(f) | ||||||||
Ratio of total expenses to average net assets | 1.42 | %(f) | 6.20 | % | 15.63 | %(f) | ||||||||
Ratio of net investment income to average net assets | 2.77 | %(f) | 2.04 | %(c) | 1.19 | %(f) | ||||||||
Portfolio turnover rate(g) | 35 | % | 103 | % | 59 | % |
(a) | Commenced operations on June 27, 2016. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Reflects income recognized from special dividends which amounted to $0.08 per share and 0.71% of average net assets. |
(d) | Amount is less than $0.005 per share. |
(e) | 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. |
(f) | Annualized. |
(g) | 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. |
14 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Goldman Sachs Global Infrastructure Fund | ||||||||||||||
Class C Shares(a) | ||||||||||||||
Six Months Ended (Unaudited) | Year Ended December 31, | |||||||||||||
2017 | 2016 | |||||||||||||
Per Share Data | ||||||||||||||
Net asset value, beginning of period | $ | 10.84 | $ | 9.88 | $ | 10.00 | ||||||||
Net investment income(b) | $ | 0.09 | $ | 0.13 | (c) | $ | 0.02 | |||||||
Net realized and unrealized gain (loss) | (0.35 | ) | 1.00 | 0.01 | ||||||||||
Total from investment operations | (0.26 | ) | 1.13 | 0.03 | ||||||||||
Distributions to shareholder from net investment income | $ | (0.09 | ) | $ | (0.14 | ) | $ | (0.02 | ) | |||||
Distributions to shareholder from net realized gains | — | (0.03 | ) | (0.12 | ) | |||||||||
Distributions to shareholder from return of capital | — | — | (d) | (0.01 | ) | |||||||||
Total distributions | (0.09 | ) | (0.17 | ) | (0.15 | ) | ||||||||
Net asset value, end of period | $ | 10.49 | $ | 10.84 | $ | 9.88 | ||||||||
Total return(e) | (2.42 | )% | 11.46 | % | 0.30 | % | ||||||||
Net assets, end of period ( in 000s) | $ | 1,368 | $ | 57 | $ | |||||||||
Ratio of net expenses to average net assets | 2.13 | %(f) | 2.14 | % | 2.14 | %(f) | ||||||||
Ratio of total expenses to average net assets | 2.17 | %(f) | 7.06 | % | 16.73 | %(f) | ||||||||
Ratio of net investment income to average net assets | 1.81 | %(f) | 1.24 | %(c) | 0.46 | %(f) | ||||||||
Portfolio turnover rate(g) | 35 | % | 103 | % | 59 | % |
(a) | Commenced operations on June 27, 2016. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Reflects income recognized from special dividends which amounted to $0.08 per share and 0.71% of average net assets. |
(d) | Amount is less than $0.005 per share. |
(e) | 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. |
(f) | Annualized. |
(g) | 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. |
The accompanying notes are an integral part of these financial statements. | 15 |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Financial Highlights
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Global Infrastructure Fund | ||||||||||||||
Institutional Shares(a) | ||||||||||||||
Six Months Ended (Unaudited) | Year Ended December 31, | |||||||||||||
2017 | 2016 | |||||||||||||
Per Share Data | ||||||||||||||
Net asset value, beginning of period | $ | 10.85 | $ | 9.89 | $ | 10.00 | ||||||||
Net investment income(b) | $ | 0.04 | $ | 0.29 | (c) | $ | 0.08 | |||||||
Net realized and unrealized gain (loss) | (0.24 | ) | 0.96 | 0.01 | ||||||||||
Total from investment operations | (0.20 | ) | 1.25 | 0.09 | ||||||||||
Distributions to shareholder from net investment income | $ | (0.10 | ) | $ | (0.20 | ) | $ | (0.07 | ) | |||||
Distributions to shareholder from net realized gains | — | (0.08 | ) | (0.12 | ) | |||||||||
Distributions to shareholder from return of capital | — | (0.01 | ) | (0.01 | ) | |||||||||
Total distributions | (0.10 | ) | (0.29 | ) | (0.20 | ) | ||||||||
Net asset value, end of period | $ | 10.55 | $ | 10.85 | $ | 9.89 | ||||||||
Total return(d) | (1.81 | )% | 12.72 | % | 0.89 | % | ||||||||
Net assets, end of period (in 000s) | $ | 1,786 | $ | 222,546 | $ | 2,906 | ||||||||
Ratio of net expenses to average net assets | 0.99 | %(e) | 0.99 | % | 0.99 | %(e) | ||||||||
Ratio of total expenses to average net assets | 1.06 | %(e) | 1.29 | % | 15.23 | %(e) | ||||||||
Ratio of net investment income to average net assets | 0.79 | %(e) | 2.65 | %(c) | 1.59 | %(e) | ||||||||
Portfolio turnover rate(f) | 35 | % | 103 | % | 59 | % |
(a) | Commenced operations on June 27, 2016. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Reflects income recognized from special dividends which amounted to $0.08 per share and 0.71% of average net assets. |
(d) | 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. |
(e) | Annualized. |
(f) | 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. |
16 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Goldman Sachs Global Infrastructure Fund | ||||||||||||||
Investor Shares(a) | ||||||||||||||
Six Months Ended (Unaudited) | Year Ended December 31, | |||||||||||||
2017 | 2016 | |||||||||||||
Per Share Data | ||||||||||||||
Net asset value, beginning of period | $ | 10.85 | $ | 9.89 | $ | 10.00 | ||||||||
Net investment income(b) | $ | 0.13 | $ | 0.24 | (c) | $ | 0.08 | |||||||
Net realized and unrealized gain (loss) | (0.34 | ) | 0.99 | — | (d) | |||||||||
Total from investment operations | (0.21 | ) | 1.23 | 0.08 | ||||||||||
Distributions to shareholder from net investment income | $ | (0.12 | ) | $ | (0.21 | ) | $ | (0.06 | ) | |||||
Distributions to shareholder from net realized gains | — | (0.05 | ) | (0.12 | ) | |||||||||
Distributions to shareholder from return of capital | — | (0.01 | ) | (0.01 | ) | |||||||||
Total distributions | (0.12 | ) | (0.27 | ) | (0.19 | ) | ||||||||
Net asset value, end of period | $ | 10.52 | $ | 10.85 | $ | 9.89 | ||||||||
Total return(e) | (1.94 | )% | 12.56 | % | 0.91 | % | ||||||||
Net assets, end of period (in 000s) | $ | 304 | $ | 28 | $ | 25 | ||||||||
Ratio of net expenses to average net assets | 1.13 | %(f) | 1.14 | % | 0.95 | %(f) | ||||||||
Ratio of total expenses to average net assets | 1.17 | %(f) | 6.05 | % | 15.19 | %(f) | ||||||||
Ratio of net investment income to average net assets | 2.59 | %(f) | 2.23 | %(c) | 1.63 | %(f) | ||||||||
Portfolio turnover rate(g) | 35 | % | 103 | % | 59 | % |
(a) | Commenced operations on June 27, 2016. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Reflects income recognized from special dividends which amounted to $0.08 per share and 0.71% of average net assets. |
(d) | Amount is less than $0.005 per share. |
(e) | 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. |
(f) | Annualized. |
(g) | 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. |
The accompanying notes are an integral part of these financial statements. | 17 |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Financial Highlights
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Global Infrastructure Fund | ||||||
Class P Shares(a) | ||||||
Period Ended June 30, 2018 (Unaudited) | ||||||
Per Share Data | ||||||
Net asset value, beginning of period | $ | 10.47 | ||||
Net investment income (loss)(b) | $ | (0.02 | ) | |||
Net realized and unrealized gain | 0.17 | |||||
Total from investment operations | 0.15 | |||||
Distributions to shareholder from net investment income | $ | (0.10 | ) | |||
Total distributions | (0.10 | ) | ||||
Net asset value, end of period | $ | 10.52 | ||||
Total return(c) | 1.33 | % | ||||
Net assets, end of period (in 000s) | $ | 3,450 | ||||
Ratio of net expenses to average net assets | 0.98 | %(d) | ||||
Ratio of total expenses to average net assets | 0.98 | %(d) | ||||
Ratio of net investment income (loss) to average net assets | (0.88 | )%(d) | ||||
Portfolio turnover rate(e) | 35 | % |
(a) | Commenced operations on April 17, 2018. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | 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. |
(d) | Annualized. |
(e) | 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. |
18 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Goldman Sachs Global Infrastructure Fund | ||||||||||||||
Class R Shares(a) | ||||||||||||||
Six Months Ended (Unaudited) | Year Ended December 31, | |||||||||||||
2017 | 2016 | |||||||||||||
Per Share Data | ||||||||||||||
Net asset value, beginning of period | $ | 10.85 | $ | 9.89 | $ | 10.00 | ||||||||
Net investment income(b) | $ | 0.08 | $ | 0.18 | (c) | $ | 0.05 | |||||||
Net realized and unrealized gain (loss) | (0.32 | ) | 1.00 | 0.01 | ||||||||||
Total from investment operations | (0.24 | ) | 1.18 | 0.06 | ||||||||||
Distributions to shareholder from net investment income | $ | (0.09 | ) | $ | (0.18 | ) | $ | (0.04 | ) | |||||
Distributions to shareholder from net realized gains | — | (0.04 | ) | (0.12 | ) | |||||||||
Distributions to shareholder from return of capital | — | — | (d) | (0.01 | ) | |||||||||
Total distributions | (0.09 | ) | (0.22 | ) | (0.17 | ) | ||||||||
Net asset value, end of period | $ | 10.52 | $ | 10.85 | $ | 9.89 | ||||||||
Total return(e) | (2.19 | )% | 12.00 | % | 0.82 | % | ||||||||
Net assets, end of period ( in 000s) | $ | 28 | $ | 28 | $ | 25 | ||||||||
Ratio of net expenses to average net assets | 1.63 | %(f) | 1.64 | % | 1.15 | %(f) | ||||||||
Ratio of total expenses to average net assets | 1.69 | %(f) | 6.55 | % | 15.38 | %(f) | ||||||||
Ratio of net investment income to average net assets | 1.64 | %(f) | 1.74 | %(c) | 1.44 | %(f) | ||||||||
Portfolio turnover rate(g) | 35 | % | 103 | % | 59 | % |
(a) | Commenced operations on June 27, 2016. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Reflects income recognized from special dividends which amounted to $0.08 per share and 0.71% of average net assets. |
(d) | Amount is less than $0.005 per share. |
(e) | 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. |
(f) | Annualized. |
(g) | 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. |
The accompanying notes are an integral part of these financial statements. | 19 |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Financial Highlights
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Global Infrastructure Fund | ||||||||||||||
Class R6 Shares(a) | ||||||||||||||
Six Months Ended (Unaudited) | Year Ended December 31, | |||||||||||||
2017 | 2016 | |||||||||||||
Per Share Data | ||||||||||||||
Net asset value, beginning of period | $ | 10.85 | $ | 9.89 | $ | 10.00 | ||||||||
Net investment income(b) | $ | 0.14 | $ | 0.26 | (c) | $ | 0.09 | |||||||
Net realized and unrealized gain (loss) | (0.35 | ) | 0.99 | — | (d) | |||||||||
Total from investment operations | (0.21 | ) | 1.25 | 0.09 | ||||||||||
Distributions to shareholder from net investment income | $ | (0.12 | ) | $ | (0.22 | ) | $ | (0.07 | ) | |||||
Distributions to shareholder from net realized gains | — | (0.06 | ) | (0.12 | ) | |||||||||
Distributions to shareholder from return of capital | — | (0.01 | ) | (0.01 | ) | |||||||||
Total distributions | (0.12 | ) | (0.29 | ) | (0.20 | ) | ||||||||
Net asset value, end of period | $ | 10.52 | $ | 10.85 | $ | 9.89 | ||||||||
Total return(e) | (1.89 | )% | 12.74 | % | 0.56 | % | ||||||||
Net assets, end of period (in 000s) | $ | 225,178 | $ | 28 | $ | 25 | ||||||||
Ratio of net expenses to average net assets | 0.98 | %(f) | 0.97 | % | 1.65 | %(f) | ||||||||
Ratio of total expenses to average net assets | 1.03 | %(f) | 5.88 | % | 15.88 | %(f) | ||||||||
Ratio of net investment income to average net assets | 2.82 | %(f) | 2.40 | %(c) | 0.93 | %(f) | ||||||||
Portfolio turnover rate(g) | 35 | % | 103 | % | 59 | % |
(a) | Commenced operations on June 27, 2016. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Reflects income recognized from special dividends which amounted to $0.08 per share and 0.71% of average net assets. |
(d) | Amount is less than $0.005 per share. |
(e) | 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. |
(f) | Annualized. |
(g) | 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. |
20 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
June 30, 2018 (Unaudited)
1. ORGANIZATION |
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. Goldman Sachs Global Infrastructure Fund (the “Fund”) is a non-diversified portfolio and currently offers seven classes of shares: Class A, Class C, Institutional, Investor, Class P (commenced operations on April 17, 2018), Class R, and Class R6 Shares. The Fund commenced operations on June 27, 2016.
Class A Shares are sold with a front-end sales charge of up to 5.50%. Class C Shares are sold with a contingent deferred sales charge (“CDSC”) of 1.00%, which is imposed on redemptions made within 12 months of purchase. Institutional, Investor, Class P, 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 (“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, 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. Investment income is recorded net of any foreign withholding taxes, less any amounts reclaimable. The Fund may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. 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. 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.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, 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 fees.
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. Distributions from net investment income are declared and paid quarterly, and distributions from net capital gains, 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
21
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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.
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 translation. 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 |
U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Fund’s policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The 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 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, and are generally classified as Level 2. Securities traded on certain foreign securities exchanges
22
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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 Government 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 the 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 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.
C. Fair Value Hierarchy — The following is a summary of the Fund’s investments classified in the fair value hierarchy as of June 30, 2018:
GLOBAL INFRASTRUCTURE FUND |
| |||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Asia | $ | — | $ | 13,162,353 | $ | — | ||||||
Australia and Oceania | — | 9,850,435 | — | |||||||||
Europe | — | 56,760,917 | — | |||||||||
North America | 149,817,286 | — | — | |||||||||
Investment Company | 2,161 | — | — | |||||||||
Total | $ | 149,819,447 | $ | 79,773,705 | $ | — |
(a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of net asset value. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Fund utilizes fair value model prices provided by an independent third-party (fair value) service for certain international equity securities, resulting in a Level 2 classification. |
For further information regarding security characteristics, see the Schedule of Investments.
4. 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
23
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
and paid monthly, equal to an annual percentage rate of the Fund’s average daily net assets. For the six months ended June 30, 2018, contractual and effective net management fees with GSAM were at the following rates:
Contractual Management Rate | Effective Net Management Rate* | |||||||||||||||||||||||||
First $1 billion | Next $1 billion | Next $3 billion | Next $3 billion | Over $8 billion | Effective Rate | |||||||||||||||||||||
0.90% | 0.81% | 0.77% | 0.75% | 0.74% | 0.90% | 0.90% |
* | Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any. |
The Fund invests 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 Fund in an amount equal to the management fee it earns as an investment adviser to the affiliated Underlying Fund in which the Fund invests. For the six months ended June 30, 2018, GSAM waived $1,457 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 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, as set forth below.
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, as set forth below.
Distribution and Service Plan Rates | ||||||||||||
Class A* | Class C | Class R* | ||||||||||
Distribution and/or Service Plan | 0.25 | % | 0.75 | % | 0.50 | % |
* | 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. For the six months ended June 30, 2018, Goldman Sachs advised that it retained $3,410 for Class A Shares and did not retain any portion of the CDSC for Class C Shares 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 0.25% 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: 0.18% of the average daily net assets of Class A, Class C, Investor and Class R Shares; 0.03% of average daily net assets of Class P and Class R6 Shares and 0.04% of the average daily net assets of Institutional and Service Shares.
F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to limit certain “Other Expenses” of the Fund (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and
24
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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 0.054%. These Other Expense limitations will remain in place through at least April 30, 2019 for Class A, Class C, Institutional, Investor, Class P, Class R and Class R6 Shares, 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 June 30, 2018, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
Management Fee Waiver | Other Expense Reimbursements | Total Expense Reductions | ||||||||
$ | 1,457 | $ | 59,397 | $ | 60,854 |
G. Line of Credit Facility — As of June 30, 2018, the Fund participated in a $770,000,000 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 June 30, 2018, the Fund did not have any borrowings under the facility. Prior to May 1, 2018, the facility was $1,100,000,000. The facility was decreased to $770,000,000 effective May 1, 2018.
H. Other Transactions with Affiliates — For the six months ended June 30, 2018, Goldman Sachs earned $53 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the Fund.
The following table provides information about the Fund’s investments in the Underlying Fund as of and for the six months ended June 30, 2018:
Underlying Fund | Beginning December 31, 2017 | Purchases at Cost | Proceeds from Sales | Ending June 30, | Shares June 30, | Dividend Income | ||||||||||||||
Goldman Sachs Financial Square Government Fund — Institutional Shares | $5,465,174 | $46,875,868 | $ | (52,338,881 | ) | $ | 2,161 | 2,161 | $ | 12,868 |
As of June 30, 2018, The Goldman Sachs Group, Inc. was the beneficial owner of approximately 96% of Institutional Shares, 9% of Investor Shares and 100% of Class R Shares of the Fund.
5. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended June 30, 2018, were $102,104,981 and $78,803,216.
25
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
6. TAX INFORMATION |
As of the Fund’s most recent fiscal year end, December 31, 2017, the Fund’s certain timing differences, on a tax-basis were as follows:
Timing differences (Qualified Post-October Loss Deferral, PTP Passive Activity Loss Deferral) | $ | (2,565,839 | ) |
As of June 30, 2018, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Tax Cost | $ | 224,933,123 | ||
Gross unrealized gain | 13,930,380 | |||
Gross unrealized loss | (9,270,351 | ) | ||
Net unrealized gains | $ | 4,660,029 |
The difference between GAAP-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales and differences in the tax treatment of partnership investments.
GSAM has reviewed the Fund’s tax positions for all open tax years (the current and prior two 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.
7. OTHER RISKS |
The Fund’s risks include, but are not limited to, the following:
Foreign 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 (including repatriation restrictions), 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.
Foreign Custody Risk — If the 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 the Fund’s ability to recover its assets if a Foreign Custodian enters bankruptcy.
Geographic Risk — If the Fund focuses its investments in securities of issuers located in a particular country or geographic region, the Fund may be subjected, 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.
Industry Concentration Risk — Concentrating Fund investments in a limited number of issuers conducting business in the same industry or group of industries will subject the Fund to a greater risk of loss as a result of adverse economic, business, political, environmental or other developments than if its investments were diversified across different industries.
Investments in Other Investment Companies Risk — As a shareholder of another investment company, 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.
26
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
7. OTHER RISKS (continued) |
Large Shareholder Transactions Risk — The Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include the Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of the Fund. Such large shareholder redemptions may cause the Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact the Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in the Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect the Fund’s performance to the extent that the Fund is delayed in investing new cash and is required to maintain a larger cash position than it ordinarily would.
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.
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— The 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.
8. INDEMNIFICATIONS |
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the 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.
27
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
9. SUBSEQUENT EVENTS |
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.
10. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
For the Six Months Ended June 30, 2018 (Unaudited) | For the Fiscal Year Ended December 31, 2017 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 126,199 | $ | 1,320,465 | 1,013 | $ | 10,250 | ||||||||||
Reinvestment of distributions | 1,157 | 12,009 | 83 | 888 | ||||||||||||
Shares redeemed | (4,799 | ) | (49,894 | ) | — | — | ||||||||||
122,557 | 1,282,580 | 1,096 | 11,138 | |||||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 126,668 | 1,328,582 | — | — | ||||||||||||
Reinvestment of distributions | 1,017 | 10,547 | 82 | 868 | ||||||||||||
Shares redeemed | (2,551 | ) | (26,643 | ) | — | — | ||||||||||
125,134 | 1,312,486 | 82 | 868 | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 1,128,720 | 12,261,226 | 21,083,253 | 225,381,680 | ||||||||||||
Reinvestment of distributions | 1,780 | 18,519 | 398,887 | 4,258,350 | ||||||||||||
Shares redeemed | (21,469,558 | ) | (217,373,698 | ) | (1,267,527 | ) | (13,758,037 | ) | ||||||||
(20,339,058 | ) | (205,093,953 | ) | 20,214,613 | 215,881,993 | |||||||||||
Investor Shares | ||||||||||||||||
Shares sold | 25,959 | 274,026 | — | — | ||||||||||||
Reinvestment of distributions | 300 | 3,112 | 67 | 705 | ||||||||||||
26,259 | 277,138 | 67 | 705 | |||||||||||||
Class P Shares(a) | ||||||||||||||||
Shares sold | 325,351 | 3,373,964 | — | — | ||||||||||||
Reinvestment of distributions | 3,057 | 31,787 | — | — | ||||||||||||
Shares redeemed | (369 | ) | (3,838 | ) | — | — | ||||||||||
328,039 | 3,401,913 | — | — | |||||||||||||
Class R Shares | ||||||||||||||||
Reinvestment of distributions | 23 | 236 | 53 | 566 | ||||||||||||
23 | 236 | 53 | 566 | |||||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 23,604,331 | 239,365,076 | — | — | ||||||||||||
Reinvestment of distributions | 252,172 | 2,609,114 | 70 | 751 | ||||||||||||
Shares redeemed | (2,463,977 | ) | (25,404,463 | ) | — | — | ||||||||||
21,392,526 | 216,569,727 | 70 | 751 | |||||||||||||
NET INCREASE | 1,655,480 | $ | 17,750,127 | 20,215,981 | $ | 215,896,021 |
(a) | Class P Shares commenced operations on April 17, 2018. |
28
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
As a shareholder of Class A, Class C, Institutional, Investor, Class P, Class R or Class R6 Shares of the Fund, you incur two types of costs: (1) transaction costs, including sales charges on purchase payments (with respect to Class A Shares) and contingent deferred sales charges on redemptions (with respect to Class C Shares); and (2) ongoing costs, including management fees; distribution and service (12b-1) fees (with respect to Class A, Class C and Class R Shares); and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Class C, Institutional, Investor, Class P, Class R and Class R6 Shares of 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 January 1, 2018 through June 30, 2018, which represents a period of 181 days in a 365 day year. The Class P Shares example is based on the period from April 17, 2018, which represents a period of 75 out of 365 days. The Class P Shares example for hypothetical expenses reflects projected activity for the period from January 1, 2018 through June 30, 2018 for purposes of comparability. This projection assumes that annualized expense ratios were in effect during the period.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher:
Global Infrastructure Fund | ||||||||||||
Share Class | Beginning Account Value 1/1/18 | Ending Account Value 6/30/18 | Expenses Paid for the 6 months ended 6/30/18* | |||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 979.70 | $ | 6.77 | ||||||
Hypothetical 5% return | 1,000.00 | 1,017.95 | (+) | 6.90 | ||||||||
Class C | ||||||||||||
Actual | 1,000.00 | 975.80 | 10.43 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,014.23 | (+) | 10.64 | ||||||||
Institutional | ||||||||||||
Actual | 1,000.00 | 981.90 | 4.86 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,019.89 | (+) | 4.96 | ||||||||
Investor | ||||||||||||
Actual | 1,000.00 | 980.60 | 5.55 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,019.19 | (+) | 5.66 | ||||||||
Class P(a) | ||||||||||||
Actual | 1,000.00 | 1,013.30 | 2.03 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,019.93 | (+) | 4.87 | ||||||||
Class R | ||||||||||||
Actual | 1,000.00 | 978.10 | 7.99 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,016.71 | (+) | 8.15 | ||||||||
Class R6 | ||||||||||||
Actual | 1,000.00 | 981.10 | 4.81 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,019.94 | (+) | 4.91 |
+ | 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. |
* | 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 June 30, 2018. 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 | Investor | Class P(a) | Class R | Class R6 | |||||||
Global Infrastructure Fund+ | 1.38% | 2.13% | 0.99% | 1.13% | 0.98% | 1.63% | 0.98% |
(a) | Class P Shares commenced operations on April 17, 2018. |
29
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
The Goldman Sachs Global Infrastructure Fund (the “Fund”) is an investment portfolio of Goldman Sachs Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Fund at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Fund.
The Management Agreement was most recently approved for continuation until June 30, 2019 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 13-14, 2018 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held four meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to the Fund, such matters included:
(a) | the nature and quality of the advisory, administrative, and other services provided to the Fund by the Investment Adviser and its affiliates, including information about: |
(i) | the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams; |
(ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training); |
(iii) | trends in employee headcount; |
(iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
(v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
(b) | information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), and a benchmark performance index; and information on general investment outlooks in the markets in which the Fund invests; |
(c) | information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Fund’s peer group and/or benchmark index had high, medium, or low relevance given the Fund’s particular investment strategy; |
(d) | the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund; |
(e) | fee and expense information for the Fund, including: |
(i) | the relative management fee and expense levels of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; |
(ii) | the Fund’s expense trends over time; and |
(iii) | to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
(f) | with respect to the investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; |
(g) | the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations; |
(h) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund to the Investment Adviser and its affiliates; |
(i) | whether the Fund’s existing management fee schedule adequately addressed any economies of scale; |
30
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
(j) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, portfolio trading, distribution and other services; |
(k) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
(l) | information regarding commissions paid by the Fund and broker oversight, an update on the Investment Adviser’s soft dollars practices, other information regarding portfolio trading, and how the Investment Adviser carries out its duty to seek best execution; |
(m) | portfolio manager ownership of Fund shares; the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers; |
(n) | the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and |
(o) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports. |
The Trustees also received an overview of the Fund’s distribution arrangements. They received information regarding the Fund’s assets, share purchase and redemption activity, and payment of distribution and service fees. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Fund and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Fund. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Fund by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the regulatory and control environment in which the Fund and its service providers operate, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Fund and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Fund and the Investment Adviser and its affiliates.
Investment Performance
The Trustees also considered the investment performance of the Fund. In this regard, they compared the investment performance of the Fund to its peers using rankings compiled by the Outside Data Provider as of December 31, 2017, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2018. The information on the Fund’s investment performance was provided for the one-year period ending on the applicable date. The Trustees also reviewed the Fund’s investment performance relative to its performance benchmark. As part of
31
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
this review, they considered the investment performance trends of the Fund over time, and reviewed the investment performance of the Fund in light of its investment objective and policies and market conditions.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Fund’s risk profile, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management.
The Trustees noted that the Fund’s Institutional Shares had placed in the fourth quartile of the Fund’s peer group and had underperformed the Fund’s benchmark index for the one-year period ended March 31, 2018.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by the Fund thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Fund, which included both advisory and administrative services that were directed to the needs and operations of the Fund as a registered mutual fund.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Fund. The analyses provided a comparison of the Fund’s management fee and breakpoints to those of a relevant peer group and category universe; an expense analysis which compared the Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing the Fund’s net expenses to the peer and category medians. The analyses also compared the Fund’s transfer agency, custody, and distribution fees, other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Fund.
In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations. The Trustees also noted that certain changes were being made to existing fee waiver or expense limitation arrangements of the Fund that would have the effect of decreasing total expenses of Class A, Class C, Investor, and Class R Shares of the Fund, with such changes taking effect in connection with the Fund’s next annual registration statement update. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Fund, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Fund differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.
In addition, the Trustees noted that shareholders are able to redeem their Fund shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Profitability
The Trustees reviewed the Fund’s contribution to the Investment Adviser’s revenues and pre-tax profit margins. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization had audited the expense allocation methodology and that the internal audit group was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology and profitability analysis calculations. Profitability data for the Fund was provided for 2017 and 2016, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability.
32
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Economies of Scale
The Trustees considered the information that had been provided regarding whether there have been economies of scale with respect to the management of the Fund. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreement for the Fund at the following annual percentage rates of the average daily net assets of the Fund:
First $1 billion | 0.90 | % | ||
Next $1 billion | 0.81 | |||
Next $3 billion | 0.77 | |||
Next $3 billion | 0.75 | |||
Over $8 billion | 0.74 |
The Trustees noted that the breakpoints were designed to share potential economies of scale, if any, with the Fund and its shareholders as assets under management reach those asset levels. The Trustees considered the amounts of assets in the Fund; the Fund’s recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer group; and the Investment Adviser’s undertaking to limit certain expenses of the Fund that exceed a specified level. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund as stated above, including: (a) transfer agency fees received by Goldman Sachs & Co. LLC (“Goldman Sachs”); (b) brokerage and futures commissions earned by Goldman Sachs for executing securities and futures transactions on behalf of the Fund; (c) research received by the Investment Adviser from broker-dealers in exchange for executing certain transactions on behalf of the Fund; (d) trading efficiencies resulting from aggregation of orders of the Fund with those for other funds or accounts managed by the Investment Adviser; (e) the Investment Adviser’s ability to leverage the infrastructure designed to service the Fund on behalf of its other clients; (f) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (g) Goldman Sachs’ retention of certain fees as Fund Distributor; (h) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Fund; and (i) the possibility that the working relationship between the Investment Adviser and the Fund’s third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
Other Benefits to the Fund and Its Shareholders
The Trustees also noted that the Fund receives certain potential benefits as a result of its relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Fund with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors because of the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers because of the volume of business generated by the Investment Adviser and its affiliates; (d) the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties on behalf of the Fund as a result of the size and reputation of the Goldman Sachs organization; (e) the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Fund because of the reputation of the Goldman Sachs organization; (g) the Fund’s access, through the Investment Adviser, to certain firmwide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; and (h) the Fund’s access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Fund’s shareholders invested in the Fund in part because of the Fund’s relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
33
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by the Fund were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and the Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit the Fund and its shareholders and that the Management Agreement should be approved and continued with respect to the Fund until June 30, 2019.
34
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 $1.30 trillion in assets under supervision as of June 30, 2018, 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
∎ | Enhanced Income Fund |
∎ | High Quality Floating Rate Fund |
∎ | Short-Term Conservative Income Fund |
∎ | Short Duration Government Fund |
∎ | Short Duration Income Fund |
∎ | Government Income Fund |
∎ | Inflation Protected Securities Fund |
Multi-Sector
∎ | Bond Fund |
∎ | Core Fixed Income Fund |
∎ | Global Income Fund |
∎ | Strategic Income Fund |
Municipal and Tax-Free
∎ | High Yield Municipal Fund |
∎ | Dynamic Municipal Income Fund |
∎ | Short Duration Tax-Free Fund |
Single Sector
∎ | Investment Grade Credit Fund |
∎ | U.S. Mortgages Fund |
∎ | High Yield Fund |
∎ | High Yield Floating Rate Fund |
∎ | Emerging Markets Debt Fund |
∎ | Local Emerging Markets Debt Fund |
∎ | Total Emerging Markets Income Fund4 |
Fixed Income Alternatives
∎ | Long Short Credit Strategies Fund |
Fundamental Equity
∎ | Equity Income Fund |
∎ | Small Cap Value Fund |
∎ | Small/Mid Cap Value Fund |
∎ | Mid Cap Value Fund |
∎ | Large Cap Value Fund |
∎ | Focused Value Fund |
∎ | Capital Growth Fund |
∎ | Strategic Growth Fund |
∎ | Small/Mid Cap Growth Fund |
∎ | Flexible Cap Fund |
∎ | Concentrated Growth Fund |
∎ | Technology Opportunities Fund |
∎ | Growth Opportunities Fund |
∎ | Rising Dividend Growth Fund |
∎ | Blue Chip Fund5 |
∎ | Income Builder 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
∎ | International Equity Income Fund6 |
∎ | International Equity ESG Fund7 |
∎ | Asia Equity Fund |
∎ | Emerging Markets Equity Fund |
∎ | N-11 Equity Fund |
∎ | ESG Emerging Markets Equity Fund |
Select Satellite
∎ | Real Estate Securities Fund |
∎ | International Real Estate Securities Fund |
∎ | Commodity Strategy Fund |
∎ | Global Real Estate Securities Fund |
∎ | Alternative Premia Fund8 |
∎ | Absolute Return Tracker Fund |
∎ | Managed Futures Strategy Fund |
∎ | MLP Energy Infrastructure Fund |
∎ | MLP & Energy 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 |
∎ | Target Date 2060 Portfolio |
∎ | GQG Partners International Opportunities Fund |
∎ | Tactical Exposure 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 after the close of business on December 26, 2017, the Goldman Sachs Dynamic Emerging Markets Debt Fund was renamed the Goldman Sachs Total Emerging Markets Income Fund. |
5 | Effective after the close of business on October 31, 2017, the Goldman Sachs Dynamic U.S. Equity Fund was renamed the Goldman Sachs Blue Chip Fund. |
6 | Effective after the close of business on February 27, 2018, the Goldman Sachs Strategic International Equity Fund was renamed the Goldman Sachs International Equity Income Fund. |
7 | Effective after the close of business on February 27, 2018, the Goldman Sachs Focused International Equity Fund was renamed the Goldman Sachs International Equity ESG Fund. |
8 | Effective after the close of business on October 30, 2017, the Goldman Sachs Dynamic Allocation Fund was renamed the Goldman Sachs Alternative Premia 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 Jessica Palmer, Chair Kathryn A. Cassidy Diana M. Daniels Herbert J. Markley James A. McNamara 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 report 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 the 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 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 Fund files its complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The 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 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).
Holdings and allocations shown are as of June 30, 2018 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus or summary prospectus, if applicable. Investors should consider 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 (retail – 1-800-526-7384) (institutional – 1-800-621-2550).
© 2018 Goldman Sachs. All rights reserved. 138597-OTU-813648/GBLINFRASAR-18/241
Goldman Sachs Funds
Semi-Annual Report | June 30, 2018 | |||
Real Estate Securities Funds | ||||
Global Real Estate Securities | ||||
International Real Estate Securities | ||||
Real Estate Securities |
Goldman Sachs Real Estate Securities Funds
∎ | GLOBAL REAL ESTATE SECURITIES |
∎ | INTERNATIONAL REAL ESTATE SECURITIES |
∎ | REAL ESTATE SECURITIES |
2 | ||||
23 | ||||
24 | ||||
29 | ||||
34 | ||||
40 | ||||
54 |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee |
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
What Differentiates the Goldman Sachs
Real Estate Securities Investment Process?
The Goldman Sachs Global Real Estate Securities, International Real Estate Securities and Real Estate Securities Funds seek to generate long-term growth of capital and dividend income by investing primarily in real estate industry companies on an international or domestic basis, including real estate investment trusts (“REITs”) that offer daily liquidity and have historically strong returns, low volatility and low correlation to traditional asset classes.
Goldman Sachs’ Real Estate Securities Investment Process
Buy high quality companies.
We seek to purchase those companies that combine strong market exposures, management teams, capital structures and growth prospects.
Buy at a reasonable price.
We seek to consistently select securities that are trading at discounts to their intrinsic value.
Diversification reduces risk.
We seek to diversify the portfolio holdings based on property type and geographic markets to manage risk without compromising returns.
Team Based:
Portfolio decisions are made by the entire team.
Continuous Scrutiny:
Market, industry and company developments are reviewed daily.
Fundamental Analysis:
Portfolio holdings are determined by the risk/reward characteristics of an issuer and the team’s conviction in the overall business and management’s ability to create value.
Real estate securities portfolio that:
∎ | is a high quality portfolio that is strategically positioned for long-term growth potential |
∎ | is a result of bottom-up stock selection with a focus on long-term investing |
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PORTFOLIO RESULTS
Goldman Sachs Global Real Estate Securities Fund
Investment Objective
The Fund seeks total return comprised of long-term growth of capital and dividend income.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Real Estate Securities Investment Team discusses the Goldman Sachs Global Real Estate Securities Fund’s (the “Fund”) performance and positioning for the six-month period ended June 30, 2018 (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, Investor, R and R6 Shares generated cumulative total returns, without sales charges, of 0.34%, 0.01%, 0.58%, 0.57%, 0.24% and 0.55%, respectively. These returns compare to the 0.46% cumulative total return of the Fund’s benchmark, the FTSE EPRA/NAREIT Developed Index (Net, USD, Unhedged) (the “FTSE Index”), during the same period. The Fund’s former benchmark, the FTSE EPRA/NAREIT Developed Index (Gross, USD, Unhedged) returned 0.91% during the same period. |
For the period since their inception on April 17, 2018 through June 30, 2018, the Fund’s Class P shares generated a cumulative total return of 3.38%. This compares to the 4.01% cumulative total return of the FTSE Index during the same time period. The FTSE EPRA/NAREIT Developed Index (gross, USD, unhedged) returned 4.25% during the same period. |
Q | What economic and market factors most influenced the global real estate securities market as a whole during the Reporting Period? |
A | For the Reporting Period overall, the global real estate securities market, as measured by the FTSE Index, gained 0.46%. |
The FTSE Index declined 4.38% during the first quarter of 2018. Israel and Australia were the weakest markets, while Japan was the only market to outperform the FTSE Index. In Australia, signs of capitalization rate compression ending, in conjunction with weaker outlooks for rental growth, weighed on the market broadly. (Capitalization rate, or “cap rate,” is the ratio of net operating income of a property to its market value, i.e. the percentage return an investor would get if they purchased the property for cash. When cap rates are down, or compressing, it means real estate values are increasing.) In Japan, demand benefited from continued quantitative easing by the Bank of Japan as well as from better than consensus expected Gross Domestic Product (“GDP”) growth. |
The FTSE Index gained 5.45% during the second quarter of 2018. The U.S. and Israel were the top performing markets, while Singapore was the weakest. In the U.S., self-storage and lodging subsectors drove strong performance. In Singapore, despite improving macroeconomic conditions and a pick-up in broad-based demand domestically, locally-listed real estate investment trusts (“REITs”) struggled due to market concerns about the sustainability of the current residential cycle, driven by the broader rising interest rate environment and elevated 10-year Singapore government securities yields. |
For the Reporting Period overall, Japan was the top performing market by some distance, followed by the U.S. real estate securities market. Singapore and Hong Kong were the weakest performing markets during the Reporting Period. In Japan, demand for property markets benefited from continued quantitative easing by the Bank of Japan as well as from better than consensus expected GDP growth. The Singapore REIT market underperformed due primarily to new equity issuance that led to profit-taking amongst residential developers. Overall, within the global real estate securities market, fundamentals generally remained strong. New supply of apartment, industrial, mall, office and strip centers was limited and peaking, in our view, given 1) rising construction costs and 2) stable and improving demand against a backdrop of a healthy global economy. At the end of the Reporting Period, leverage levels were at record lows, and payout ratios were below historical averages, according to Green Street Advisors. |
Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
A | Most share classes of the Fund either closely tracked or outperformed the FTSE Index during the Reporting Period. |
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PORTFOLIO RESULTS
Stock selection in the U.K. and Japan contributed most positively. Stock selection in continental Europe detracted most. Sector allocation overall had a rather neutral, albeit slightly positive, effect on relative results during the Reporting Period. |
Q | What were some of the Fund’s best-performing individual holdings? |
A | Orix JREIT, a Japanese REIT (“JREIT”) investing in real estate properties that include offices, rental houses and hotels, was the top positive contributor to the Fund’s relative results during the Reporting Period. The JREIT sector broadly traded at inexpensive valuations after underperforming both global peers and domestic real estate developers in 2017. Orix JREIT, along with the broader sector, saw a recovery in share prices during the Reporting Period, as the Bank of Japan maintained its dovish tone and reiterated its quantitative easing agenda despite increasingly hawkish comments from the U.S. Federal Reserve in light of inflation. (Dovish language tends to suggest lower interest rates; opposite of hawkish.) With growing concerns about global inflation, the Japanese equity market saw a return to a search for yield, providing additional support for higher income generating securities, including JREITs. As Orix JREIT outperformed the FTSE Index during the Reporting Period on the back of robust leasing operations from its quality portfolio of assets, we decided to take profits in the stock during the Reporting Period and reinvest the capital into other opportunities in Japan’s real estate market. |
Chesapeake Lodging Trust, an owner of upscale hotels in key gateway markets in the U.S., was also a top positive contributor to the Fund’s returns during the Reporting Period. Following disappointing performance in 2017, a stronger economic backdrop, coupled with positive 2018 guidance, led shares of Chesapeake Lodging Trust to appreciate. At the end of the Reporting Period, we had high conviction in the company’s strategy and its assets for the remainder of the hotel cycle given its roughly 20% exposure to the San Francisco hotel market. In our view, this may well continue to be one of the top markets in the U.S. during the next several years, especially with the reopening of the Moscone Convention Center, which should help further fuel demand in the area. Lastly, we believed Chesapeake Lodging Trust’s high quality assets and relatively small size continued to make the company a compelling candidate for acquisition. |
Q | Which positions detracted significantly from the Fund’s performance during the Reporting Period? |
A | CK Asset Holdings is a large cap, blue chip, diversified real estate developer from Hong Kong managing what we see as a robust balance sheet supported by its management team’s active asset monetization strategy during the past two years. The company has diversified its income stream to include recurrent non-property income to support high, predictable dividend payments for its shareholders. However, CK Asset Holdings underperformed the FTSE Index during the Reporting Period largely due to persistent concerns about U.S.-China trade relations and the potentially resulting impact on the property market in Hong Kong. At the end of the Reporting Period, we continued to view the company positively given what we saw as its attractive valuation, strong balance sheet, experienced management team and high quality asset portfolio. |
City Developments, a Singapore-based diversified real estate developer with exposure to the condominium, hotel and office subsectors, was also a top detractor from the Fund’s results during the Reporting Period. Market fundamentals largely remained intact, with completion rates estimated to remain below the historical average for the next few years and continued residential destocking driven by “en bloc” sales. (In real estate, an en bloc sale, or collective sale, occurs when the there is a sale of two or more property units to a common developer.) However, recent cooling measures by the Singaporean government may have the potential to reduce land banking and en bloc participation by developers. Lowered loan-to-value ratios for mortgages could also reduce the pace of demand for residential property going forward, in our view, at the same time introducing new pricing pressures. We believe City Developments remains well positioned to weather market volatility due to what we consider to be its complementary and diversified asset base, strong project launch pipeline and further initiatives to unlock asset value. |
Q | How did the Fund use derivatives and similar instruments 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 | During the Reporting Period, we re-initiated a position in Mitsubishi Estate, having sold the Fund’s position in this Japanese diversified real estate landlord and developer |
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PORTFOLIO RESULTS
focused on prime Tokyo office space, during the Fund’s prior fiscal year. Shares of the company had not performed well during the last three years due to weaker than peer rental performance from its Marunouchi-focused prime office portfolio and residential development business. However, looking ahead, we believe its office portfolio of superior asset quality is likely to perform strongly, as the Tokyo vacancy rate dipped below 4% during the Reporting Period, providing, in our view, tailwinds for landlords’ pricing power. As such, we re-established a Fund position in Mitsubishi Estate, as we viewed the stock to be trading at an attractive valuation. |
We established a Fund position in Duke Realty, an owner of industrial properties across the U.S. In our view, its shares were trading at compelling valuations following price weakness relative to other industrial names. Additionally, in our view, secular drivers of e-commerce have led to strong demand, which is still ahead of supply, especially in the core markets. Furthermore, we believe Duke Realty offers an attractive dividend yield, and we are positive on the company’s management team. |
Conversely, we exited the Fund’s position in Brixmor Property Group, a U.S. REIT that owns and operates grocery-anchored community and neighborhood shopping centers in the U.S. Brixmor Property Group was among the top detractors from the Fund’s relative results during the Reporting Period. There was no company-specific catalyst for its underperformance of the FTSE Index, but rather it was mainly due to the pullback in the retail sector in January 2018. Given its high exposure to highly productive grocers, along with its mix of convenience store and value retail tenants, we believe Brixmor Property Group’s portfolio of properties may be more insulated from e-commerce pressures than some of its subsector peers. Also, the company announced during the Reporting Period an increase in its planned disposition program, which we believe could result in lower leverage and a stronger portfolio quality. Nevertheless, we opted to sell the Fund’s position in Brixmor Property Group and reallocate the proceeds to higher conviction names. |
We eliminated the Fund’s position in Mitsui Fudosan, Japan’s second largest property developer. During the Reporting Period, shares of the company rose due largely to active office redevelopment and improved residential development margins. However, we believe maintaining high earnings growth could become challenging for Mitsui Fudosan going forward. Additionally, the developer’s new office project completions may incur higher than consensus expected opening costs, as indicated by its management team’s modest guidance during full-year 2017 results announced in May 2018. After the company’s shares performed strongly following a small-scale buyback in May 2018, we decided to sell the position, taking profits and redeploying the capital to other investments within Japan. |
Q | Were there any changes made in the Fund’s investment strategy during the Reporting Period? |
A | In constructing the Fund’s portfolio, we focus on picking securities rather than on making regional, country or subsector bets. We seek to outpace the benchmark index by overweighting stocks that we expect to outperform and underweighting those that we think may lag. Consequently, changes in its regional or subsector weights are generally the direct result of individual stock selection or of real estate securities’ appreciation or depreciation. That said, the Fund’s exposure to Hong Kong increased and its exposure to the U.K. and U.S. decreased relative to the FTSE Index during the Reporting Period. |
Q | How was the Fund positioned relative to its benchmark index at the end of the Reporting Period? |
A | From a region/country perspective, the Fund was underweighted relative to the FTSE Index in the U.K., was generally overweighted relative to the FTSE Index in continental Europe and was rather neutrally weighted compared to the FTSE Index in the U.S. and other constituent countries of the FTSE Index at the end of June 2018, with the exceptions of Israel and New Zealand to which the Fund had no exposure at all. |
Q | What is the Fund’s tactical view and strategy for the months ahead? |
A | At the end of the Reporting Period, we believed global REITs could continue to generate positive returns given robust demand and improving sentiment across most subsectors and geographies. In the U.S., while new supply is growing due to high margins driven by the attractive spread, or differential, between development yields and cap rates, supply levels were still below demand. We believe this imbalance could lead to further increases in occupancy levels and rental rates, including higher rent per square foot, as new leases replace expiring ones. |
Outside of the U.S., we believed market fundamentals continued to provide support for international REITs. |
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PORTFOLIO RESULTS
Reported GDP in countries like Japan and Germany surpassed consensus estimates during the Reporting Period, while trade and consumption in continental Europe, the U.K. and China stayed strong and improved. Furthermore, business spending and sentiment appeared to, we believe, be picking up across industries, including financials, hospitality and information technology, in the absence of wage pressures. We view these trends as indications of ongoing growth potential in demand for real estate space. Anticipating an eventual interest rate hike by several developed market central banks, many international REITs have also locked in low-cost debt funding whenever available and have generally maintained what we consider to be strong balance sheets in the wake of the 2008 recession. Despite some rise of both the short-term and long-term ends of the rate curves for a few major countries, we observed the funding environment for REITs remained quite open and inexpensive relative to the consensus outlook of the long-term cash yield from REITs’ underlying assets. In our view, the favorable environment at the end of the Reporting Period may allow REITs to deploy capital toward high quality projects to potentially drive future growth. |
Overall, we believe global REITs can continue to offer attractive liquidity and risk-adjusted total returns given the yield, growth, diversification and inflation-hedging benefits the asset class has historically exhibited. On a stock level, we believe opportunities abound, as various property subsectors and geographies could offer wide dispersions in returns. As fundamental, bottom-up investors, we see opportunities beyond the headline risks associated with certain regions and intend to continue to focus our approach on those companies that have well-capitalized balance sheets and that possess quality attributes, such as a robust business model, a high quality asset exposure and a strong management team with a sound reinvestment strategy. |
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FUND BASICS
Global Real Estate Securities Fund
as of June 30, 2018
PERFORMANCE REVIEW |
| |||||||||||||
January 1, 2018–June 30, 2018 | Fund Total Return (based on NAV)1 | FTSE EPRA/NAREIT Developed Index (Net, USD, Unhedged)2 | FTSE EPRA/NAREIT Developed Index (Gross, USD, Unhedged)3 | |||||||||||
Class A | 0.34 | % | 0.46 | % | 0.91 | % | ||||||||
Class C | 0.01 | 0.46 | 0.91 | |||||||||||
Institutional | 0.58 | 0.46 | 0.91 | |||||||||||
Investor | 0.57 | 0.46 | 0.91 | |||||||||||
Class R | 0.24 | 0.46 | 0.91 | |||||||||||
Class R6 | 0.55 | 0.46 | 0.91 | |||||||||||
April 17, 2018–June 30, 2018 | ||||||||||||||
Class P | 3.38 | % | 4.01 | % | 4.25 | % |
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 FTSE EPRA/NAREIT Developed Index (Net, USD, Unhedged) is designed to track the performance of listed real estate companies and REITS worldwide. By making the index constituents free-float adjusted, liquidity, size and revenue screened, the series is suitable for use as the basis for investment products, such as derivatives and Exchange Traded Funds (ETFs). It is not possible to invest directly in an index. Effective February 23, 2018, the Fund changed its benchmark index from gross total return to net total return to more accurately reflect the impact of international withholding taxes in the benchmark index’s return. |
3 | The FTSE EPRA/NAREIT Developed Index (Gross, USD, Unhedged) is designed to track the performance of listed real estate companies and REITS worldwide. By making the index constituents free-float adjusted, liquidity, size and revenue screened, the series is suitable for use as the basis for investment products, such as derivatives and Exchange Traded Funds (ETFs). It is not possible to invest directly in an index. |
STANDARDIZED TOTAL RETURNS4 | ||||||||||||
For the period ended 6/30/18 | One Year | Since Inception | Inception Date | |||||||||
Class A | -0.19 | % | 3.31 | % | 8/31/15 | |||||||
Class C | 3.88 | 4.63 | 8/31/15 | |||||||||
Institutional | 6.13 | 5.84 | 8/31/15 | |||||||||
Investor | 5.95 | 5.68 | 8/31/15 | |||||||||
Class P | N/A | 3.38 | 4/17/18 | |||||||||
Class R | 5.43 | 5.15 | 8/31/15 | |||||||||
Class R6 | 6.11 | 5.84 | 8/31/15 |
4 | The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 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, Investor, Class P, 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
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FUND BASICS
worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
EXPENSE RATIOS5 |
| |||||||||
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
Class A | 1.36 | % | 1.51 | % | ||||||
Class C | 2.11 | 2.26 | ||||||||
Institutional | 0.97 | 1.12 | ||||||||
Investor | 1.11 | 1.26 | ||||||||
Class P | 0.96 | 1.11 | ||||||||
Class R | 1.61 | 1.76 | ||||||||
Class R6 | 0.96 | 1.11 |
5 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to contractual arrangements, the Fund’s waivers and/or expense limitations will remain in place through at least April 30, 2019, 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 6/30/186 | ||||||||||
Holding | % of Total Net Assets | Subsectors | Country | |||||||
Simon Property Group, Inc. (REIT) | 4.9 | % | Retail | United States | ||||||
CK Asset Holdings Ltd. | 3.2 | Real Estate Development | Hong Kong | |||||||
Prologis, Inc. (REIT) | 3.2 | Industrial | United States | |||||||
AvalonBay Communities, Inc. (REIT) | 3.0 | Residential | United States | |||||||
Vonovia SE | 3.0 | Real Estate Operating Companies | Germany | |||||||
Equity Residential (REIT) | 2.7 | Residential | United States | |||||||
Sun Hung Kai Properties Ltd. | 2.6 | Diversified | Hong Kong | |||||||
Boston Properties, Inc. (REIT) | 2.6 | Office | United States | |||||||
Mitsubishi Estate Co. Ltd. | 2.5 | Diversified | Japan | |||||||
Ventas, Inc. (REIT) | 2.4 | Health Care | United States |
6 | The top 10 holdings may not be representative of the Fund’s future investments. |
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FUND BASICS
FUND VS. BENCHMARK COUNTRY ALLOCATION7 |
As of June 30, 2018 |
7 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall country allocations may differ from percentages contained in the graph above. The percentage shown for each country reflects the value of investments in that country as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Investments in the securities lending reinvestment vehicle represented 0.4% of the Fund’s net assets at June 30, 2018. |
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PORTFOLIO RESULTS
Goldman Sachs International Real Estate Securities Fund
Investment Objective
The Fund seeks total return comprised of long-term growth of capital and dividend income.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Real Estate Securities Investment Team discusses the Goldman Sachs International Real Estate Securities Fund’s (the “Fund”) performance and positioning for the six-month period ended June 30, 2018 (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, Investor and R6 Shares generated cumulative total returns, without sales charges, of -0.11%, -0.45%, 0.23%, 0.01% and 0.25%, respectively. These returns compare to the -0.41% cumulative total return of the Fund’s benchmark, the FTSE EPRA/NAREIT Developed ex-US Real Estate Index (Net, USD, Unhedged) (the “Real Estate Index”) during the same period. The Fund’s former benchmark, the FTSE EPRA/NAREIT Developed ex-US Real Estate Index (Gross, USD, Unhedged) returned 0.03% for the same period. |
For the period since their inception on April 17, 2018 through June 30, 2018, the Fund’s Class P shares generated a cumulative total return of -1.63%. This compares to the -1.22% cumulative total return of the Real Estate Index during the same time period. The FTSE EPRA/NAREIT Developed ex-US Real Estate Index (Gross, USD, Unhedged) returned -0.94% during the same period. |
Q | What economic and market factors most influenced the international real estate securities market as a whole during the Reporting Period? |
A | For the Reporting Period overall, the international real estate securities market, as measured by the Real Estate Index, underperformed the U.S. real estate securities market, as measured by the Wilshire Real Estate Securities Index (with dividends reinvested), by approximately two percentage points, but outperformed the broad international equity market, as measured by the MSCI EAFE® Index (net), by more than two percentage points. |
The Real Estate Index returned -0.66% during the first quarter of 2018. Japan and the U.K. were the best performing markets, while Australia and Hong Kong were weakest, generating negative absolute returns. In Japan, demand for property markets benefited from continued quantitative easing by the Bank of Japan as well as from better than consensus expected Gross Domestic Product (“GDP”) growth. In Australia, signs of capitalization rate compression ending, in conjunction with weaker outlooks for rental growth, weighed on its real estate market broadly. (Capitalization rate, or “cap rate,” is the ratio of net operating income of a property to its market value, i.e. the percentage return an investor would get if they purchased the property for cash. When cap rates are down, or compressing, it means real estate values are increasing.) |
The Real Estate Index returned 0.25% during the second quarter of 2018. Australia and Germany were the best performing markets, while Singapore and Spain were weakest, generating negative absolute returns. Merger and acquisition activity led the Australian real estate market higher during the quarter, while the Singapore real estate investment trust (“REIT”) market underperformed due primarily to new equity issuance that led to profit-taking amongst residential developers. |
For the Reporting Period overall, primary drivers were rising interest rates. Overall, rising interest rates hurt the international real estate market, as the increased cost of capital negatively affected real estate company operators’ margins and free cash flow/funds from operations. E-commerce disruption was a negative for the retail sector, with a couple of high profile store closures weighing on market sentiment. This was particularly pronounced in the U.K., where the number of store closures during the Reporting Period already matched that of calendar year 2017. Still, data showed that such disruption has not been as universal as many had thought, with high quality retail posting improving sales and revenue figures during the second quarter of 2018. The industrial subsector has |
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PORTFOLIO RESULTS
benefited from this disruption conversely, as there is growing demand for quicker shipments of goods, requiring locations near city centers, which tend to be more expensive and higher quality real estate. This has generally led to rental growth and low vacancies within the subsector, both positive drivers for earnings. (Disruption, in this context, displaces an existing market, industry or technology and produces something new and more efficient and worthwhile, at once destructive and creative.) The hotel sub-sector was an especially strong performer during the Reporting Period, as an improving global economy fueled increases in corporate travel demand. Hotels are able to reprice rooms daily, which helps shield companies from the effects of inflation and rising interest rates. |
For the Reporting Period overall, Spain, Japan and Austria were the best performing markets during the Reporting Period. Finland, Israel and the Netherlands were the weakest performing markets during the Reporting Period. All that said, fundamentals within the international real estate market generally remained strong. New supply of apartment, industrial, mall, office and strip centers was limited and peaking, in our view, given 1) rising construction costs and 2) stable and improving demand off the back of a healthy global economy. At the end of the Reporting Period, leverage levels were at record lows, and payout ratios were below historical averages, according to Green Street Advisors. |
Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
A | Most share classes of the Fund outperformed the Real Estate Index on a relative basis during the Reporting Period. Stock selection in the U.K. and Japan contributed most positively to the Fund’s relative results. In the U.K., the Fund was prudently underweight U.K. retail and overweight U.K. self-storage. In Japan, security selection was strongest within the diversified and retail sub-sectors. Offsetting these positive contributors was stock selection in Germany, which detracted. Having an overweight to France, which underperformed the Real Estate Index during the Reporting Period, also hurt. In Germany, security selection within the residential subsector hurt most. In France, the Fund’s overweights in the diversified and retail subsectors detracted most. |
Q | What were some of the Fund’s best-performing individual holdings? |
A | Orix JREIT, a Japanese REIT (“JREIT”) investing in real estate properties that include offices, rental houses and hotels, was the top positive contributor to the Fund’s relative results during the Reporting Period. The JREIT sector broadly traded at inexpensive valuations after underperforming both international peers and domestic real estate developers in 2017. Orix JREIT, along with the broader sector, saw a recovery in share prices during the Reporting Period, as the Bank of Japan maintained its dovish tone and reiterated its quantitative easing agenda despite increasingly hawkish comments from the U.S. Federal Reserve in light of inflation. (Dovish language tends to suggest lower interest rates; opposite of hawkish.) With growing concerns about global inflation, the Japanese equity market saw a return to a search for yield, providing additional support for higher income generating securities, including JREITs. As Orix JREIT outperformed the Real Estate Index during the Reporting Period on the back of robust leasing operations from its quality portfolio of assets, we decided to take profits in the stock during the Reporting Period and reinvest the capital into other opportunities in Japan’s real estate market. |
Similarly, Nomura Real Estate Master Fund (“Nomura”), a diversified JREIT owning Tokyo prime office, residential and logistics properties, was one of the top detractors from the Fund’s results in 2017 and was one of its top positive contributors to its results during the Reporting Period. Its stock performed well on the back of strong leasing activity across its residential and logistics warehouse properties. However, we believe its growth ahead may be largely dependent on asset purchases from third parties and from parent Nomura Group, hence increasing equity issuance and, potentially, dilution risk. As such, we sold the Fund’s position, taking profits in Nomura during the Reporting Period. |
Mitsui Fudosan, Japan’s second largest property developer, was another top positive contributor to the Fund’s results during the Reporting Period. Shares of the company rose due largely to active office redevelopment and improved residential development margins. However, we believe maintaining high earnings growth could become challenging for Mitsui Fudosan going forward. Additionally, the developer’s new office project completions may incur higher than consensus expected opening costs, as indicated by its management team’s modest guidance during full-year 2017 results announced in May 2018. After the company’s shares performed strongly following a small-scale buyback in May 2018, we decided to trim the position, taking profits and redeploying the capital to other investments within Japan. |
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PORTFOLIO RESULTS
Q | Which positions detracted significantly from the Fund’s performance during the Reporting Period? |
A | A position in Klepierre, a French REIT owning shopping centers across Europe and office properties in Paris, was the largest detractor from the Fund’s relative results during the Reporting Period. The company announced an offer to purchase Hammerson during the Reporting Period for 50% cash and 50% shares. Hammerson is a U.K.-based REIT that owns, manages and develops retail destinations in the U.K., France and Ireland. Shares of Klepierre struggled following Hammerson’s swift rejection of the proposal, as it found Klepierre’s bid to be highly opportunistic. The market reacted negatively to this development, as the tone of Hammerson’s response suggested the parties were not close to a deal, creating uncertainty for Klepierre’s next move. In our view, this reaction by the market was largely overblown, as the company’s fundamentals remained unchanged from the rejected bid. At the end of the Reporting Period, we believed increasing net rental incomes combined with decreasing cost of debt may well allow Klepierre to continue net current cash flow growth as 2018 progresses. We maintained the holding in the Fund but trimmed the Fund’s position during the Reporting Period to reduce its exposure to the stock. |
CK Asset Holdings is a large cap, blue chip, diversified real estate developer from Hong Kong managing what we see as a robust balance sheet supported by its management team’s active asset monetization strategy during the past two years. The company has diversified its income stream to include recurrent non-property income to support high, predictable dividend payments for its shareholders. However, CK Asset Holdings underperformed the Real Estate Index during the Reporting Period largely due to persistent concerns about U.S.-China trade relations and the potentially resulting impact on the property market in Hong Kong. At the end of the Reporting Period, we continued to view the company positively given what we saw as its attractive valuation, strong balance sheet, experienced management team and high quality asset portfolio. |
City Developments, a Singapore-based diversified real estate developer with exposure to the condominium, hotel and office subsectors, was also a top detractor from the Fund’s results during the Reporting Period. Market fundamentals largely remained intact, with completion rates estimated to remain below the historical average for the next few years and continued residential destocking driven by “en bloc” sales. (In real estate, an en bloc sale, or collective sale, occurs when the there is a sale of two or more property units to a common developer.) However, recent cooling measures by the Singaporean government may have the potential to reduce land banking an en-bloc participation by developers. Lowered loan-to-value ratios for mortgages could also reduce the pace of demand for residential property going forward, in our view, at the same time introducing new pricing pressures. We believe City Developments remains well positioned to weather market volatility due to what we consider to be its complementary and diversified asset base, strong project launch pipeline and further initiatives to unlock asset value. |
Q | How did the Fund use derivatives and similar instruments 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 established a Fund position in GLP J-REIT, a large-scale logistics warehouse manager, during the Reporting Period. In line with other logistics peers, GLP J-REIT had underperformed the broader JREIT sector and began to trade at what we viewed as a relatively inexpensive valuation due to concerns about new supply over the past two years. In our view, demand for modern logistics facilities remains strong, as e-commerce continues to penetrate the retail landscape, albeit at a slower rate than in other developed countries. We believe supply concerns have already been priced in, and physical supply risk is likely to recede going forward should demand remain robust. We believe GLP J-REIT remains well positioned to benefit from this environment, as it has, in our view, one of the best management teams and high asset quality. |
We initiated a Fund position in Gecina, an owner and operator of offices in France. We decided to purchase the stock due to the company’s high exposure to the greater Paris region, as the French office market has benefited from low vacancies and from an improving French economy, led by the reforms its country’s President is proposing. Gecina has acquired EuroSIIC, another Parisian office company. We feel the acquisition is accretive and enables Gecina to scale efficiently in its core market, which appears to be at the beginning of a rental upcycle. |
11
PORTFOLIO RESULTS
Conversely, in addition to those sales already mentioned, we exited the Fund’s position in RioCan Real Estate Investment Trust, a Canadian company which focuses on owning, developing and operating shopping centers. The company announced a strategic plan to sell several billion Canadian dollars’ worth of lower quality assets to redeploy capital into stock buybacks and residential development projects. We viewed this announcement negatively due to concerns around its execution and pricing of its plan, as cap rates have increased for lower quality retail assets. Additionally, we believe the company’s ability to grow earnings over the next two to three years may be limited as RioCan Real Estate Investment Trust is placing proceeds into low yielding development. |
We sold the Fund’s position in Nippon Building Fund, a large cap JREIT focused on office properties. Its share price performed strongly during the Reporting Period on the back of diminishing impact from the Financial Services Agency’s warning on monthly dividend-paying investment products, which caused sector outflows in 2017. (The Financial Services Agency is a Japanese government entity responsible for overseeing banking, insurance and securities and exchange.) Furthermore, the Tokyo office market remained rather stable, in our view, throughout the first calendar quarter of 2018, notably recovering from three years ago. The 2017 underperformance of Nippon Building Fund shares, along with that of the broader sector, gave rise to what we saw as an inexpensive valuation at the start of 2018, leading to a share price recovery through the first quarter. As such, we exited the Fund’s position in the stock to take profits. |
Q | Were there any changes made in the Fund’s investment strategy during the Reporting Period? |
A | In constructing the Fund’s portfolio, we focus on picking securities rather than on making regional, country or subsector bets. We seek to outpace the benchmark index by |
overweighting stocks that we expect to outperform and underweighting those that we think may lag. Consequently, changes in its regional or subsector weights are generally the direct result of individual stock selection or of real estate securities’ appreciation or depreciation. That said, during the Reporting Period, the Fund’s exposure to Asia ex-Japan and to the Pacific increased relative to the Real Estate Index, and its exposure to Europe ex-U.K. decreased relative to the Real Estate Index. |
Q | How was the Fund positioned relative to its benchmark index at the end of the Reporting Period? |
A | From a regional perspective, the Fund was underweighted relative to the Real Estate Index in the U.K. and Pacific and was rather neutrally weighted to the remaining regions of the Real Estate Index at the end of June 2018. |
More specifically, from a country perspective, the Fund was overweighted relative to the Real Estate Index in France, Spain, Ireland and Hong Kong and was underweighted relative to the Real Estate Index in Germany, Sweden and the U.K. The Fund was rather neutrally weighted compared to the Real Estate Index in the other constituent countries of the Real Estate Index at the end of the Reporting Period. |
Q | What is the Fund’s tactical view and strategy for the months ahead? |
A | At the end of the Reporting Period, we believed international REITs could continue to generate positive returns given robust demand and improving sentiment across most subsectors and geographies. Reported GDP in countries like Japan and Germany surpassed consensus estimates during the Reporting Period, while trade and consumption in continental Europe, the U.K. and China stayed strong and improved. Furthermore, business spending and sentiment appeared to be picking up across industries, including financials, hospitality and information technology, in the absence of wage pressures. We view these trends as indications of ongoing growth potential in demand for real estate space. Anticipating an eventual interest rate hike by several developed market central banks, many international REITs have also locked in low-cost debt funding whenever available and have generally maintained what we consider to be strong balance sheets in the wake of the 2008 recession. Despite some rise in yields at both the short-term and long-term ends of the rate curves for a few major countries, we observed the funding environment for REITs remained quite open and inexpensive relative to the consensus outlook of the long-term cash yield from REITs’ underlying assets. In our view, the favorable environment at the end of the Reporting Period may allow REITs to deploy capital toward high quality projects to potentially drive future growth. |
Overall, we believe international REITs can continue to offer attractive liquidity and risk-adjusted total returns given the yield, growth, diversification and inflation-hedging benefits the asset class has historically exhibited. On a stock level, we believe opportunities abound, as various property subsectors and geographies could offer wide dispersions in returns. As |
12
PORTFOLIO RESULTS
fundamental, bottom-up investors, we see opportunities beyond the headline risks associated with certain regions and intend to continue to focus our approach on those companies that have well-capitalized balance sheets and that possess quality attributes, such as a robust business model, a high quality asset exposure and a strong management team with a sound reinvestment strategy. |
13
FUND BASICS
International Real Estate Securities Fund
as of June 30, 2018
PERFORMANCE REVIEW |
| |||||||||||||
January 1, 2018–June 30, 2018 | Fund Total Return (based on NAV)1 | FTSE EPRA/NAREIT Developed ex US Real Estate Index (Net, USD, Unhedged)2 | FTSE EPRA/NAREIT Developed ex US Real Estate Index (Gross, USD, Unhedged)3 | |||||||||||
Class A | -0.11 | % | -0.41 | % | 0.03 | % | ||||||||
Class C | -0.45 | -0.41 | 0.03 | |||||||||||
Institutional | 0.23 | -0.41 | 0.03 | |||||||||||
Investor | 0.01 | -0.41 | 0.03 | |||||||||||
Class R6 | 0.25 | -0.41 | 0.03 | |||||||||||
April 17, 2018–June 30, 2018 | ||||||||||||||
Class P | -1.63 | % | -1.22 | % | -0.94 | % |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The FTSE EPRA/NAREIT Developed ex US Real Estate Index (Net, USD, Unhedged) is a subset of the FTSE EPRA/NAREIT Developed Index and is designed to track the performance of listed real estate companies and REITS. By making the index constituents free-float adjusted, liquidity, size and revenue screened, the series is suitable for use as the basis for investment products, such as derivatives and Exchange Traded Funds (ETFs). It is not possible to invest directly in an index. Effective February 23, 2018, the Fund changed its benchmark index from gross total return to net total return to more accurately reflect the impact of international withholding taxes in the benchmark index’s return. |
3 | The FTSE EPRA/NAREIT Developed ex US Real Estate Index (Gross, USD, Unhedged) is a subset of the FTSE EPRA/NAREIT Developed Index and is designed to track the performance of listed real estate companies and REITS. By making the index constituents free-float adjusted, liquidity, size and revenue screened, the series is suitable for use as the basis for investment products, such as derivatives and Exchange Traded Funds (ETFs). It is not possible to invest directly in an index. |
STANDARDIZED TOTAL RETURNS4 | ||||||||||||||||||||
For the period ended 6/30/18 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
Class A | 2.13 | % | 2.71 | % | 1.46 | % | 0.91 | % | 7/31/06 | |||||||||||
Class C | 6.41 | 3.14 | 1.32 | 0.66 | 7/31/06 | |||||||||||||||
Institutional | 8.68 | 4.31 | 2.32 | 1.68 | 7/31/06 | |||||||||||||||
Investor | 8.40 | 4.16 | 2.34 | -0.33 | 11/30/07 | |||||||||||||||
Class P | N/A | N/A | N/A | -1.63 | 4/17/18 | |||||||||||||||
Class R6 | 8.71 | N/A | N/A | 3.63 | 7/31/15 |
4 | The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 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). Effective July 30, 2018, Class C Shares convert automatically to Class A Shares on or about the fifteenth day of the last month of the calendar quarter that is ten years after the purchase date. The Since Inception returns for Class C Shares do not reflect the conversion to Class A Shares after the first ten years of performance. Because Institutional, Investor, Class P 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
14
FUND BASICS
principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
EXPENSE RATIOS5 |
| |||||||||
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
Class A | 1.38 | % | 1.57 | % | ||||||
Class C | 2.13 | 2.32 | ||||||||
Institutional | 0.99 | 1.18 | ||||||||
Investor | 1.13 | 1.32 | ||||||||
Class P | 0.98 | 1.17 | ||||||||
Class R6 | 0.98 | 1.17 |
5 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to contractual arrangements, the Fund’s waivers and/or expense limitations will remain in place through at least April 30, 2019, 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 6/30/186 | ||||||||||
Holding | % of Total Net Assets | Line of Business | Country | |||||||
Vonovia SE | 7.4 | % | Real Estate Operating Companies | Germany | ||||||
CK Asset Holdings Ltd. | 5.9 | Real Estate Development | Hong Kong | |||||||
Sun Hung Kai Properties Ltd. | 5.2 | Diversified | Hong Kong | |||||||
Sumitomo Realty & Development Co. Ltd. | 4.3 | Diversified | Japan | |||||||
Mitsubishi Estate Co. Ltd. | 4.1 | Diversified | Japan | |||||||
Link REIT (REIT) | 3.5 | Retail | Hong Kong | |||||||
Klepierre SA (REIT) | 3.2 | Retail | France | |||||||
Unibail-Rodamco-Westfield (REIT) | 3.0 | Retail | France | |||||||
Mitsui Fudosan Co. Ltd. | 3.0 | Diversified | Japan | |||||||
GPT Group (The) (REIT) | 2.9 | Diversified | Australia |
6 | The top 10 holdings may not be representative of the Fund’s future investments. |
15
FUND BASICS
FUND VS. BENCHMARK COUNTRY ALLOCATION7 |
As of June 30, 2018 |
7 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall country allocations may differ from percentages contained in the graph above. The percentage shown for each country reflects the value of investments in that category as a percentage of market value. |
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PORTFOLIO RESULTS
Goldman Sachs Real Estate Securities Fund
Investment Objective
The Fund seeks total return comprised of long-term growth of capital and dividend income.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Real Estate Securities Investment Team discusses the Goldman Sachs Real Estate Securities Fund’s (the “Fund”) performance and positioning for the six-month period ended June 30, 2018 (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, Investor. R and R6 Shares generated cumulative total returns, without sales charges, of 1.28%, 0.93%, 1.42%, 1.22%, 1.32%, 1.11% and 1.49%, respectively. These returns compare to the 1.60% cumulative total return of the Fund’s benchmark, the Wilshire U.S. Real Estate Securities Index (the “Wilshire Index”) during the same period. |
For the period since their inception on April 17, 2018 through June 30, 2018, the Fund’s Class P shares generated a cumulative total return of 8.33%. This compares to the 9.01% cumulative total return of the Wilshire Index during the same time period. |
Q | What economic and market factors most influenced the U.S. real estate securities market as a whole during the Reporting Period? |
A | The U.S. real estate securities market, as represented by the Wilshire Index, posted positive absolute returns during the Reporting Period but lagged the broad U.S. equity market, as represented by the S&P 500® Index, which was up 2.65% for the same period. |
For the first quarter of 2018, the Wilshire Index decreased 7.42%. Primary drivers were rising interest rates and tax reform concerns. Overall, rising interest rates hurt the U.S. real estate market, as the increased cost of capital negatively affected real estate company operators’ margins and free cash flow/funds from operations. Sentiment around tax reform legislation also hurt, as real estate investment trusts (“REITS”) were largely viewed as non-beneficiaries of the new law, as REITs do not pay a corporate tax. Sub-sectors underpinned by secular growth trends and e-commerce disruption beneficiaries, such as industrials, towers and digital storage, outperformed the Wilshire Index, while those viewed as most interest rate sensitive, such as health care, or as negatively impacted by e-commerce disruption, such as retail, underperformed the Wilshire Index during the quarter. A couple of high profile store closures, such as Toys R Us, particularly weighed on market sentiment. Conversely, the industrial sub-sector benefited from such disruption, as there is growing demand for quicker shipments of goods, requiring locations near city centers, which tend to be more expensive and higher quality real estate. (Disruption, in this context, displaces an existing market, industry or technology and produces something new and more efficient and worthwhile, at once destructive and creative.) |
The Wilshire Index increased 9.74% during the second quarter of 2018. Following a tough first calendar quarter, U.S. REITs enjoyed a strong rebound, outperforming most major equity indices for the first time since the second quarter of 2016. Each subsector within the Wilshire Index posted positive absolute returns during the quarter, compared with mixed results in the quarter prior and in 2017. A primary driver for the strong performance was increased activity in the mergers and acquisitions space, which provided upward pressure on valuations. A solid U.S. economy off the back of the recently enacted U.S. tax reform legislation and some stability in the Federal Reserve’s (the “Fed”) outlook for interest rate increases further buoyed the U.S. real estate market in these months. The hotel sub-sector was an especially strong performer during the quarter, given a combination of some newsworthy mergers and acquisitions, such as that of Lasalle Hotel Properties and Pebblebrook Hotel Trust, and the improving global economy fueling increases in corporate travel demand. |
For the Reporting Period overall, the strongest subsectors in the Wilshire Index were self-storage, triple net and hotel. Conversely, the technology, retail and office subsectors were the weakest performers within the Wilshire Index during the Reporting Period. (Triple net properties are typically |
17
PORTFOLIO RESULTS
single-tenant retail properties leased to tenants with high credit ratings on “net, net, net” terms, meaning the tenant is responsible for real estate taxes, insurance, and all maintenance.) All that said, fundamentals within the U.S. real estate market generally remained strong. Price/funds from operations ratios decreased, thus presenting more attractive valuations for the market as a whole, in our view. At the same time, funds from operations growth is expected to accelerate through 2018, according to Barclays Research. |
Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
A | The Fund underperformed the return of the Wilshire Index. Weak stock selection in the residential and health care subsectors detracted most. Contributing most positively to the Fund’s relative results was effective individual stock selection in the retail and hotel subsectors. |
Q | What were some of the Fund’s weakest-performing individual holdings? |
A | Essex Property Trust, a REIT that invests in apartment communities primarily on the west coast of the U.S., was the top detractor from the Fund’s returns during the Reporting Period given the Fund’s underweight in the strongly performing name. Shares of the REIT increased following a solid fourth quarter 2017 earnings release that was in line with market expectations. The Fund was underweight Essex Property Trust because we believed other names in the apartment industry offered more attractive valuations. While demand remained robust on the U.S.’ west coast, we ultimately increased the Fund’s position in the name, bringing the position to an overweight relative to the Wilshire Index by the end of the Reporting Period. |
Similarly, Welltower, a U.S. health care REIT operating a mix of senior housing, medical office buildings and skilled nursing facilities, was also a top detractor from the Fund’s results during the Reporting Period. Its stock appreciated following a solid quarterly earnings report at the end of April 2018, as the company exceeded market expectations on projected revenues. The Fund’s relative performance was negatively affected by being underweight the name. |
Federal Realty Investment Trust, a REIT that engages in the ownership, management, acquisition and redevelopment of high quality retail focused properties, also detracted from the Fund’s returns during the Reporting Period. Shares in the company struggled at the start of 2018, as they were affected by the negative sentiment surrounding the retail subsector. Investors pointed toward muted same-store net operating income growth as a major concern and potential headwind for the company. Despite the concerns, at the end of the Reporting Period, we remained constructive on the company given what we see as its high quality portfolio of assets, which we believe should be insulated from online disruption moving forward. Also, at the end of the Reporting Period, the stock was trading at a valuation we felt was attractive relative to the high quality assets in its property portfolio. |
Q | What were some of the Fund’s best-performing individual holdings? |
A | Chesapeake Lodging Trust, an owner of upscale hotels in key gateway markets in the U.S., was a top positive contributor to the Fund’s returns during the Reporting Period. Following disappointing performance in 2017, a stronger economic backdrop coupled with positive 2018 guidance led shares of Chesapeake Lodging Trust to appreciate. At the end of the Reporting Period, we had high conviction in the company’s strategy and its assets during the remainder of the hotel cycle, given its roughly 20% exposure to the San Francisco hotel market. In our view, this may well continue to be one of the top markets in the U.S. during the next several years, especially with the reopening of the Moscone Convention Center, which should help further fuel demand in the area. Lastly, we believed Chesapeake Lodging Trust’s high quality assets and relatively small size continued to make the company a compelling candidate for acquisition. |
La Quinta Holdings, an owner and manager of hotel chains across the U.S., was also a top contributor to Fund returns during the Reporting Period. Shares of the company increased after the announcement that La Quinta Holdings would be selling its franchise and operations to Wyndham Hotels & Resorts. Following the news, we decided to exit the Fund’s position in La Quinta Holdings in favor of opportunities where we saw greater risk-adjusted return potential. |
Macerich Company, an owner and operator of regional shopping malls in the U.S., was another top contributor to the Fund’s relative results during the Reporting Period. In our view, investors grew to appreciate the announcement that hedge fund Third Point Management initiated a 5% position in the company. Macerich Company’s shares also appreciated following the announcement regarding the sale of a non-core office building in Chicago. We ultimately decided to exit the Fund’s position to invest in opportunities where we saw greater risk-adjusted return potential. |
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PORTFOLIO RESULTS
Q | How did the Fund use derivatives and similar instruments 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 | During the Reporting Period, we established a Fund position in Duke Realty, an owner of industrial properties across the U.S. In our view, its shares were trading at compelling valuations following price weakness relative to other industrial names. Additionally, in our view, secular drivers of e-commerce have led to strong demand, which is still ahead of supply, especially in its core markets. Furthermore, we believe Duke Realty offers an attractive dividend yield, and we are positive on the company’s management team. |
We initiated a Fund position in Digital Realty Trust, a digital center REIT. Rising interest rates led data centers to come under pressure given the subsector’s capital intensive businesses and development pipelines as well as floating rate debt that has been magnified by worsening fundamentals within the subsector. Despite the pullback in its performance, we believed such weakness created an attractive entry point into Digital Realty Trust. We believed the REIT offered favorable fundamentals, a strong balance sheet and potential to benefit from improving leasing following a soft fourth quarter of 2017. Overall, we also remain positive on data centers, as we believe demand is likely to continue to be driven from enterprise outsourcing and cloud growth. Conversely, the Fund’s most significant sales during the Reporting Period were those of La Quinta Holdings and Macerich Company, each already mentioned. |
Q | Were there any changes made in the Fund’s investment strategy during the Reporting Period? |
A | In constructing the Fund’s portfolio, we focus on picking securities rather than on making real estate subsector bets. We seek to outpace the benchmark index by overweighting stocks that we expect to outperform and underweighting those that we think may lag. Consequently, changes in its real estate subsector weights are generally the direct result of individual stock selection or of real estate securities’ appreciation or depreciation. That said, during the Reporting Period, the Fund’s exposure to the residential, diversified and health care subsectors increased relative to the Wilshire Index and its exposure to the retail, hotel and industrial subsectors decreased relative to the Wilshire Index. |
Q | How was the Fund positioned relative to its benchmark index at the end of the Reporting Period? |
A | From a subsector perspective, the Fund had overweighted exposures compared to the Wilshire Index in the office, residential and industrial subsectors at the end of the Reporting Period. The Fund was underweighted compared to the Wilshire Index in the self-storage subsector and was rather neutrally weighted in the diversified, health care, technology, retail and hotel subsectors within the Wilshire Index. The Fund had no exposure to the triple net subsector at the end of the Reporting Period. |
Q | What is the Fund’s tactical view and strategy for the months ahead? |
A | At the end of the Reporting Period, we believed U.S. REITs could continue to generate positive returns given reasonable demand in most subsectors. In our view, the asset class has the potential to generate solid single-digit returns for calendar year 2018, driven by a combination of yield, modest funds from operations growth, and multiple expansion in certain subsectors. While REITs may lag other cyclical sectors, we believe they may well outperform more defensive equities. We believe the demand picture remains robust in light of healthy global economic growth. While there are pockets of increasing supply, the overall real estate supply response continues to be rational, in our view, which means occupancy rates should continue to remain strong. We believe this scenario will likely remain so due to rising construction costs and long construction development delivery timelines. While interest rates are widely anticipated to increase, the overall low interest rate environment, coupled with strong economic growth, should continue to benefit REITs, in our opinion. Additionally, we believe real estate may continue to be supported by large, raised but not yet funded capital in the private market, particularly in subsectors or geographies where the discount to private equity has reached historically high levels, such as what we have witnessed in the U.S. retail REIT space. As a consequence of monetary policy normalizing, correlations have dropped to levels we have not seen since prior to the global financial crisis. Dispersion of returns in the asset class were particularly wide in 2017, in our view. |
We believe this backdrop should play into our strengths of stock picking as 2018 progresses. Overall, we believe REITs may continue to provide investors with attractive risk-adjusted returns, relative to fixed income in particular, given the asset class’ potential yield, growth, diversification and inflation hedge benefits. |
19
FUND BASICS
Real Estate Securities Fund
as of June 30, 2018
PERFORMANCE REVIEW |
| |||||||||
January 1, 2018–June 30, 2018 | Fund Total Return (based on NAV)1 | Wilshire U.S. Real Estate Securities Index2 | ||||||||
Class A | 1.28 | % | 1.60 | % | ||||||
Class C | 0.93 | 1.60 | ||||||||
Institutional | 1.42 | 1.60 | ||||||||
Service | 1.22 | 1.60 | ||||||||
Investor | 1.32 | 1.60 | ||||||||
Class R | 1.11 | 1.60 | ||||||||
Class R6 | 1.49 | 1.60 | ||||||||
April 17, 2018–June 30, 2018 | ||||||||||
Class P | 8.33 | % | 9.01 | % |
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 Wilshire U.S. Real Estate Securities Index is an unmanaged market capitalization-weighted index comprised of publicly traded REITs and real estate operating companies. The figures do not reflect any fees or expenses. It is not possible to invest directly in an index. |
STANDARDIZED TOTAL RETURNS3 | ||||||||||||||||||||
For the period ended 6/30/18 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
Class A | -2.24 | % | 5.92 | % | 5.89 | % | 8.80 | % | 7/27/98 | |||||||||||
Class C | 1.70 | 6.33 | 5.70 | 8.31 | 7/27/98 | |||||||||||||||
Institutional | 3.82 | 7.55 | 6.93 | 9.56 | 7/27/98 | |||||||||||||||
Service | 3.34 | 7.02 | 6.38 | 9.02 | 7/27/98 | |||||||||||||||
Investor | 3.66 | 7.38 | 6.75 | 5.39 | 7/27/98 | |||||||||||||||
Class P | N/A | N/A | N/A | 8.33 | 4/17/18 | |||||||||||||||
Class R | 3.17 | 6.85 | 6.24 | 4.88 | 11/30/07 | |||||||||||||||
Class R6 | 3.95 | N/A | N/A | 4.64 | 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 or cumulative total returns for periods of 1 year or less. 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). Effective July 30, 2018, Class C Shares convert automatically to Class A Shares on or about the fifteenth day of the last month of the calendar quarter that is ten years after the purchase date. The Since Inception returns for Class C Shares do not reflect the conversion to Class A Shares after the first ten years of performance. Because Institutional, Service, Investor, Class P, Class R Shares 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.
20
FUND BASICS
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) | |||||||||
Class A | 1.30 | % | 1.40 | % | ||||||
Class C | 2.05 | 2.15 | ||||||||
Institutional | 0.91 | 1.01 | ||||||||
Service | 1.41 | 1.51 | ||||||||
Investor | 1.05 | 1.15 | ||||||||
Class P | 0.90 | 1.00 | ||||||||
Class R | 1.55 | 1.65 | ||||||||
Class R6 | 0.90 | 1.00 |
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 contractual arrangements, the Fund’s waivers and/or expense limitations will remain in place through at least April 30, 2019, 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 6/30/185 | ||||||||
Holding | % of Total Net Assets | Subsectors | ||||||
Simon Property Group, Inc. (REIT) | 9.4 | % | Retail | |||||
AvalonBay Communities, Inc. (REIT) | 6.2 | Residential | ||||||
Prologis, Inc. (REIT) | 5.6 | Industrial | ||||||
Equity Residential (REIT) | 5.3 | Residential | ||||||
Boston Properties, Inc. (REIT) | 5.1 | Office | ||||||
Equinix, Inc. (REIT) | 4.7 | Specialized | ||||||
Federal Realty Investment Trust (REIT) | 4.0 | Retail | ||||||
Alexandria Real Estate Equities, Inc. (REIT) | 3.9 | Office | ||||||
Public Storage (REIT) | 3.6 | Specialized | ||||||
Ventas, Inc. (REIT) | 3.5 | Health Care |
5 | The top 10 holdings may not be representative of the Fund’s future investments. |
21
FUND BASICS
FUND VS. BENCHMARK SECTOR ALLOCATION6 |
As of June 30, 2018 |
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. |
22
FUND BASICS
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.
23
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
June 30, 2018 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 96.0% | ||||||||
Australia – 4.0% | ||||||||
1,639,639 | GPT Group (The) (REIT) (Diversified) | $ | 6,134,763 | |||||
4,560,114 | Propertylink Group (REIT) (Industrial) | 3,577,398 | ||||||
526,779 | Scentre Group (REIT) (Retail) | 1,711,533 | ||||||
1,121,298 | Shopping Centres Australasia Property Group (REIT) (Retail) | 2,033,791 | ||||||
|
| |||||||
13,457,485 | ||||||||
|
| |||||||
Canada – 2.7% | ||||||||
90,055 | Allied Properties REIT (REIT) (Office) | 2,866,772 | ||||||
87,291 | Canadian Apartment Properties REIT (REIT) (Residential) | 2,830,575 | ||||||
304,158 | Chartwell Retirement Residences (Health Care) | 3,546,755 | ||||||
|
| |||||||
9,244,102 | ||||||||
|
| |||||||
France – 3.7% | ||||||||
23,977 | Covivio (REIT) (Diversified) | 2,491,283 | ||||||
30,153 | Gecina SA (REIT) (Diversified)(a) | 5,037,309 | ||||||
129,762 | Klepierre SA (REIT) (Retail) | 4,875,568 | ||||||
|
| |||||||
12,404,160 | ||||||||
|
| |||||||
Germany – 3.4% | ||||||||
54,489 | Instone Real Estate Group BV (Real Estate Development)*(a)(b) | 1,434,271 | ||||||
213,765 | Vonovia SE (Real Estate Operating Companies) | 10,160,116 | ||||||
|
| |||||||
11,594,387 | ||||||||
|
| |||||||
Hong Kong – 8.5% | ||||||||
1,388,000 | CK Asset Holdings Ltd. (Real Estate Development) | 10,987,842 | ||||||
676,000 | Link REIT (REIT) (Retail) | 6,164,707 | ||||||
584,000 | Sun Hung Kai Properties Ltd. (Diversified) | 8,798,508 | ||||||
393,000 | Wharf Real Estate Investment Co. Ltd. (Real Estate Operating Companies) | 2,790,598 | ||||||
|
| |||||||
28,741,655 | ||||||||
|
| |||||||
Ireland – 1.4% | ||||||||
2,696,575 | Green REIT plc (REIT) (Office) | 4,660,609 | ||||||
|
| |||||||
Japan – 11.0% | ||||||||
1,068 | Activia Properties, Inc. (REIT) (Diversified) | 4,893,968 | ||||||
2,649 | Daiwa House REIT Investment Corp. (REIT) (Diversified) | 6,291,272 | ||||||
4,740 | GLP J-Reit (REIT) (Industrial) | 5,034,403 | ||||||
8,148 | Invincible Investment Corp. (REIT) (Hotel) | 3,666,417 | ||||||
1,137 | Japan Retail Fund Investment Corp. (REIT) (Retail) | 2,050,976 | ||||||
477,700 | Mitsubishi Estate Co. Ltd. (Diversified) | 8,339,165 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
192,000 | Sumitomo Realty & Development Co. Ltd. (Diversified) | 7,070,394 | ||||||
|
| |||||||
37,346,595 | ||||||||
|
| |||||||
Norway(b) – 1.0% | ||||||||
251,911 | Entra ASA (Real Estate Operating Companies) | 3,433,335 | ||||||
|
| |||||||
Singapore – 2.7% | ||||||||
3,564,400 | Ascendas India Trust (Real Estate Operating Companies) | 2,642,234 | ||||||
551,500 | City Developments Ltd. (Diversified) | 4,417,468 | ||||||
1,677,500 | Mapletree Commercial Trust (REIT) (Retail) | 1,932,992 | ||||||
|
| |||||||
8,992,694 | ||||||||
|
| |||||||
Spain – 2.0% | ||||||||
44,005 | Aedas Homes SAU (Real Estate Development)*(b) | 1,562,227 | ||||||
367,086 | Merlin Properties Socimi SA (REIT) (Diversified) | 5,329,388 | ||||||
|
| |||||||
6,891,615 | ||||||||
|
| |||||||
Sweden – 1.3% | ||||||||
269,873 | Castellum AB (Real Estate Operating Companies) | 4,364,692 | ||||||
|
| |||||||
United Kingdom – 4.0% | ||||||||
306,885 | Big Yellow Group plc (REIT) (Specialized) | 3,846,993 | ||||||
2,450,805 | Tritax Big Box REIT plc (REIT) (Industrial) | 5,034,518 | ||||||
420,187 | UNITE Group plc (The) (REIT) (Residential) | 4,768,010 | ||||||
|
| |||||||
13,649,521 | ||||||||
|
| |||||||
United States – 50.3% | ||||||||
136,269 | Acadia Realty Trust (REIT) (Retail) | 3,729,682 | ||||||
60,176 | Alexandria Real Estate Equities, Inc. (REIT) (Office) | 7,592,406 | ||||||
59,710 | AvalonBay Communities, Inc. (REIT) (Residential) | 10,263,552 | ||||||
69,792 | Boston Properties, Inc. (REIT) (Office) | 8,753,313 | ||||||
67,488 | Camden Property Trust (REIT) (Residential) | 6,150,181 | ||||||
169,703 | Chesapeake Lodging Trust (REIT) (Hotel) | 5,369,403 | ||||||
436,211 | Cousins Properties, Inc. (REIT) (Office) | 4,226,885 | ||||||
121,804 | CyrusOne, Inc. (REIT) (Specialized) | 7,108,481 | ||||||
355,926 | DDR Corp. (REIT) (Retail) | 6,371,075 | ||||||
205,457 | Duke Realty Corp. (REIT) (Industrial) | 5,964,417 | ||||||
38,797 | Equity LifeStyle Properties, Inc. (REIT) (Residential) | 3,565,444 | ||||||
143,558 | Equity Residential (REIT) (Residential) | 9,143,209 | ||||||
|
|
24 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
21,611 | Essex Property Trust, Inc. (REIT) (Residential) | $ | 5,166,542 | |||||
43,980 | Extra Space Storage, Inc. (REIT) (Specialized) | 4,389,644 | ||||||
48,623 | Federal Realty Investment Trust (REIT) (Retail) | 6,153,241 | ||||||
284,043 | HCP, Inc. (REIT) (Health Care) | 7,333,990 | ||||||
133,047 | Healthcare Realty Trust, Inc. (REIT) (Health Care) | 3,869,007 | ||||||
166,144 | Hudson Pacific Properties, Inc. (REIT) (Office) | 5,886,482 | ||||||
48,240 | JBG SMITH Properties (REIT) (Office) | 1,759,313 | ||||||
34,726 | Life Storage, Inc. (REIT) (Specialized) | 3,379,187 | ||||||
80,689 | Pebblebrook Hotel Trust (REIT) (Hotel) | 3,130,733 | ||||||
164,311 | Prologis, Inc. (REIT) (Industrial) | 10,793,590 | ||||||
16,160 | Public Storage (REIT) (Specialized) | 3,666,058 | ||||||
252,568 | RLJ Lodging Trust (REIT) (Hotel) | 5,569,124 | ||||||
28,935 | Ryman Hospitality Properties, Inc. (REIT) (Hotel) | 2,405,945 | ||||||
97,088 | Simon Property Group, Inc. (REIT) (Retail) | 16,523,407 | ||||||
140,534 | Ventas, Inc. (REIT) (Health Care) | 8,003,411 | ||||||
57,952 | Vornado Realty Trust (REIT) (Office) | 4,283,812 | ||||||
|
| |||||||
170,551,534 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $311,459,932) | $ | 325,332,384 | ||||||
|
| |||||||
Shares | Distribution Rate | Value | ||||||
Investment Company(c) – 2.1% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
7,231,214 | 1.869% | $ | 7,231,214 | |||||
(Cost $7,231,214) | ||||||||
|
| |||||||
| TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | |||||||
(Cost $318,691,146) | $ | 332,563,598 | ||||||
|
| |||||||
Securities Lending Reinvestment Vehicle(c) – 0.4% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
1,377,712 | 1.869% | $ | 1,377,712 | |||||
(Cost $1,377,712) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 98.5% | ||||||||
(Cost $320,068,858) | $ | 333,941,310 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 1.5% | 5,243,791 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 339,185,101 | ||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. | |
(b) | Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $6,429,833, which represents approximately 1.9% of net assets as of June 30, 2018. The liquidity determination is unaudited. | |
(c) | Represents an Affiliated Issuer. |
| ||||
Investment Abbreviation: | ||||
REIT | —Real Estate Investment Trust | |||
|
The accompanying notes are an integral part of these financial statements. | 25 |
GOLDMAN SACHS INTERNATIONAL REAL ESTATE SECURITIES FUND
Schedule of Investments
June 30, 2018 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 97.8% | ||||||||
Australia – 9.1% | ||||||||
849,459 | GPT Group (The) (REIT) (Diversified) | $ | 3,178,279 | |||||
915,509 | Mirvac Group (REIT) (Diversified) | 1,469,401 | ||||||
1,786,748 | Propertylink Group (REIT) (Industrial) | 1,401,699 | ||||||
574,055 | Scentre Group (REIT) (Retail) | 1,865,136 | ||||||
1,057,913 | Shopping Centres Australasia Property Group (REIT) (Retail) | 1,918,824 | ||||||
|
| |||||||
9,833,339 | ||||||||
|
| |||||||
Canada – 5.9% | ||||||||
62,436 | Allied Properties REIT (REIT) (Office) | 1,987,561 | ||||||
60,547 | Canadian Apartment Properties REIT (REIT) (Residential) | 1,963,350 | ||||||
209,372 | Chartwell Retirement Residences (Health Care) | 2,441,466 | ||||||
|
| |||||||
6,392,377 | ||||||||
|
| |||||||
France – 10.6% | ||||||||
21,321 | Covivio (REIT) (Diversified) | 2,215,316 | ||||||
15,658 | Gecina SA (REIT) (Diversified) | 2,615,799 | ||||||
90,485 | Klepierre SA (REIT) (Retail) | 3,399,807 | ||||||
14,684 | Unibail-Rodamco-Westfield (REIT) (Retail) | 3,233,251 | ||||||
|
| |||||||
11,464,173 | ||||||||
|
| |||||||
Germany – 7.9% | ||||||||
19,487 | Instone Real Estate Group BV (Real Estate Development)*(a) | 512,941 | ||||||
167,369 | Vonovia SE (Real Estate Operating Companies) | 7,954,944 | ||||||
|
| |||||||
8,467,885 | ||||||||
|
| |||||||
Hong Kong – 17.6% | ||||||||
801,000 | CK Asset Holdings Ltd. (Real Estate Development) | 6,340,966 | ||||||
152,200 | Hongkong Land Holdings Ltd. (Real Estate Operating Companies) | 1,088,067 | ||||||
417,500 | Link REIT (REIT) (Retail) | 3,807,345 | ||||||
374,475 | Sun Hung Kai Properties Ltd. (Diversified) | 5,641,817 | ||||||
288,000 | Wharf Real Estate Investment Co. Ltd. (Real Estate Operating Companies) | 2,045,019 | ||||||
|
| |||||||
18,923,214 | ||||||||
|
| |||||||
Ireland – 1.7% | ||||||||
1,080,932 | Green REIT plc (REIT) (Office) | 1,868,222 | ||||||
|
| |||||||
Japan – 22.6% | ||||||||
499 | Activia Properties, Inc. (REIT) (Diversified) | 2,286,601 | ||||||
1,338 | Daiwa House REIT Investment Corp. (REIT) (Diversified) | 3,177,698 | ||||||
2,145 | GLP J-Reit (REIT) (Industrial) | 2,278,226 | ||||||
3,804 | Invincible Investment Corp. (REIT) (Hotel) | 1,711,715 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
896 | Japan Retail Fund Investment Corp. (REIT) (Retail) | $ | 1,616,248 | |||||
494 | Kenedix Retail REIT Corp. (REIT) (Retail) | 1,091,472 | ||||||
250,900 | Mitsubishi Estate Co. Ltd. (Diversified) | 4,379,938 | ||||||
132,500 | Mitsui Fudosan Co. Ltd. (Diversified) | 3,191,697 | ||||||
127,000 | Sumitomo Realty & Development Co. Ltd. (Diversified) | 4,676,771 | ||||||
|
| |||||||
24,410,366 | ||||||||
|
| |||||||
Norway(a) – 1.1% | ||||||||
85,480 | Entra ASA (Real Estate Operating Companies) | 1,165,021 | ||||||
|
| |||||||
Singapore – 4.6% | ||||||||
1,437,600 | Ascendas India Trust (Real Estate Operating Companies) | 1,065,671 | ||||||
253,100 | City Developments Ltd. (Diversified) | 2,027,309 | ||||||
1,580,200 | Mapletree Commercial Trust (REIT) (Retail) | 1,820,873 | ||||||
|
| |||||||
4,913,853 | ||||||||
|
| |||||||
Spain – 3.4% | ||||||||
23,748 | Aedas Homes SAU (Real Estate Development)*(a) | 843,081 | ||||||
191,750 | Merlin Properties Socimi SA (REIT) (Diversified) | 2,783,844 | ||||||
|
| |||||||
3,626,925 | ||||||||
|
| |||||||
Sweden – 1.9% | ||||||||
124,551 | Castellum AB (Real Estate Operating Companies) | 2,014,380 | ||||||
|
| |||||||
Switzerland – 1.6% | ||||||||
18,827 | PSP Swiss Property AG (Registered) (Real Estate Operating Companies) | 1,745,377 | ||||||
|
| |||||||
United Kingdom – 9.8% | ||||||||
170,801 | Big Yellow Group plc (REIT) (Specialized) | 2,141,096 | ||||||
181,691 | British Land Co. plc (The) (REIT) (Retail) | 1,607,417 | ||||||
54,653 | Derwent London plc (REIT) (Office) | 2,235,980 | ||||||
1,037,517 | Tritax Big Box REIT plc (REIT) (Industrial) | 2,131,299 | ||||||
212,660 | UNITE Group plc (The) (REIT) (Residential) | 2,413,128 | ||||||
|
| |||||||
10,528,920 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $102,643,369) | $ | 105,354,052 | ||||||
|
|
26 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL REAL ESTATE SECURITIES FUND
Shares | Distribution Rate | Value | ||||||
Investment Company(b) – 0.9% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
986,909 | 1.869% | $ | 986,909 | |||||
(Cost $986,909) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 98.7% | ||||||||
(Cost $103,630,278) | $ | 106,340,961 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 1.3% | 1,401,729 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 107,742,690 | ||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $2,521,043, which represents approximately 2.3% of net assets as of June 30, 2018. The liquidity determination is unaudited. | |
(b) | Represents an Affiliated Issuer. |
| ||||
Investment Abbreviation: | ||||
REIT | —Real Estate Investment Trust | |||
|
The accompanying notes are an integral part of these financial statements. | 27 |
GOLDMAN SACHS REAL ESTATE SECURITIES FUND
Schedule of Investments
June 30, 2018 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 99.9% | ||||||||
Health Care – 10.2% | ||||||||
282,966 | HCP, Inc. (REIT) | $ | 7,306,182 | |||||
149,496 | Healthcare Realty Trust, Inc. (REIT) | 4,347,344 | ||||||
145,479 | Ventas, Inc. (REIT) | 8,285,029 | ||||||
68,705 | Welltower, Inc. (REIT) | 4,307,117 | ||||||
|
| |||||||
24,245,672 | ||||||||
|
| |||||||
Hotel – 6.8% | ||||||||
121,584 | Chesapeake Lodging Trust (REIT) | 3,846,918 | ||||||
73,050 | Pebblebrook Hotel Trust (REIT) | 2,834,340 | ||||||
241,528 | RLJ Lodging Trust (REIT) | 5,325,692 | ||||||
49,986 | Ryman Hospitality Properties, Inc. (REIT) | 4,156,336 | ||||||
|
| |||||||
16,163,286 | ||||||||
|
| |||||||
Industrial – 10.5% | ||||||||
242,202 | Duke Realty Corp. (REIT) | 7,031,124 | ||||||
48,150 | EastGroup Properties, Inc. (REIT) | 4,601,214 | ||||||
201,397 | Prologis, Inc. (REIT) | 13,229,769 | ||||||
|
| |||||||
24,862,107 | ||||||||
|
| |||||||
Office – 17.8% | ||||||||
72,760 | Alexandria Real Estate Equities, Inc. (REIT) | 9,180,129 | ||||||
95,832 | Boston Properties, Inc. (REIT) | 12,019,250 | ||||||
455,829 | Cousins Properties, Inc. (REIT) | 4,416,983 | ||||||
214,220 | Hudson Pacific Properties, Inc. (REIT) | 7,589,815 | ||||||
48,441 | JBG SMITH Properties (REIT) | 1,766,643 | ||||||
97,247 | Vornado Realty Trust (REIT) | 7,188,498 | ||||||
|
| |||||||
42,161,318 | ||||||||
|
| |||||||
Residential – 20.5% | ||||||||
85,892 | AvalonBay Communities, Inc. (REIT) | 14,763,976 | ||||||
89,179 | Camden Property Trust (REIT) | 8,126,882 | ||||||
60,669 | Equity LifeStyle Properties, Inc. (REIT) | 5,575,481 | ||||||
199,605 | Equity Residential (REIT) | 12,712,843 | ||||||
31,877 | Essex Property Trust, Inc. (REIT) | 7,620,834 | ||||||
|
| |||||||
48,800,016 | ||||||||
|
| |||||||
Retail – 17.7% | ||||||||
132,809 | Acadia Realty Trust (REIT) | 3,634,982 | ||||||
308,526 | DDR Corp. (REIT) | 5,522,615 | ||||||
75,159 | Federal Realty Investment Trust (REIT) | 9,511,372 | ||||||
55,804 | GGP, Inc. (REIT) | 1,140,076 | ||||||
130,806 | Simon Property Group, Inc. (REIT) | 22,261,873 | ||||||
|
| |||||||
42,070,918 | ||||||||
|
| |||||||
Specialized – 16.4% | ||||||||
111,126 | CyrusOne, Inc. (REIT) | 6,485,313 | ||||||
32,982 | Digital Realty Trust, Inc. (REIT) | 3,680,132 | ||||||
26,116 | Equinix, Inc. (REIT) | 11,227,007 | ||||||
54,903 | Extra Space Storage, Inc. (REIT) | 5,479,868 | ||||||
25,312 | Life Storage, Inc. (REIT) | 2,463,111 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Specialized – (continued) | ||||||||
38,102 | Public Storage (REIT) | 8,643,820 | ||||||
31,466 | Weyerhaeuser Co. (REIT) | 1,147,250 | ||||||
|
| |||||||
39,126,501 | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 99.9% | ||||||||
(Cost $166,921,505) | $ | 237,429,818 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.1% | 294,864 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 237,724,682 | ||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
| ||||
Investment Abbreviation: | ||||
REIT | —Real Estate Investment Trust | |||
|
28 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Statements of Assets and Liabilities
June 30, 2018 (Unaudited)
Global Real Estate Securities Fund | International Real Estate Securities Fund | Real Estate Securities Fund | ||||||||||||
Assets: |
| |||||||||||||
Investments in unaffiliated issuers, at value (cost $311,459,932, $102,643,369 and $166,921,505)(a) | $ | 325,332,384 | $ | 105,354,052 | $ | 237,429,818 | ||||||||
Investments in affiliated issuers, at value (cost $7,231,214, $986,909 and $0) | 7,231,214 | 986,909 | — | |||||||||||
Investments in affiliated securities lending reinvestment vehicle, at value (cost $1,377,712, $0 and $0) | 1,377,712 | — | — | |||||||||||
Cash | 5,224,550 | 1,215,996 | 85,361 | |||||||||||
Foreign currencies, at value (cost $97,427, $122,412 and $0) | 97,425 | 122,038 | — | |||||||||||
Receivables: | ||||||||||||||
Dividends | 1,686,200 | 441,974 | 1,155,997 | |||||||||||
Foreign tax reclaims | 161,576 | 285,355 | — | |||||||||||
Fund shares sold | 119,238 | 88 | 26,358 | |||||||||||
Reimbursement from investment adviser | 25,654 | 29,811 | 31,406 | |||||||||||
Securities lending income | 6,296 | — | — | |||||||||||
Other assets | 52,026 | 65,537 | 77,359 | |||||||||||
Total assets | 341,314,275 | 108,501,760 | 238,806,299 | |||||||||||
Liabilities: |
| |||||||||||||
Payables: | ||||||||||||||
Payable upon return of securities loaned | 1,377,712 | — | — | |||||||||||
Fund shares redeemed | 431,315 | 586,084 | 773,246 | |||||||||||
Management fees | 259,209 | 86,350 | 170,016 | |||||||||||
Distribution and Service fees and Transfer Agency fees | 8,877 | 5,056 | 29,149 | |||||||||||
Accrued expenses | 52,061 | 81,580 | 109,206 | |||||||||||
Total liabilities | 2,129,174 | 759,070 | 1,081,617 | |||||||||||
Net Assets: |
| |||||||||||||
Paid-in capital | 329,275,816 | 134,558,199 | 156,307,489 | |||||||||||
Undistributed (distributions in excess of) net investment income | (1,752,067 | ) | (617,026 | ) | 1,193,313 | |||||||||
Accumulated net realized gain (loss) | (2,209,815 | ) | (28,913,931 | ) | 9,715,567 | |||||||||
Net unrealized gain | 13,871,167 | 2,715,448 | 70,508,313 | |||||||||||
NET ASSETS | $ | 339,185,101 | $ | 107,742,690 | $ | 237,724,682 | ||||||||
Net Assets: | ||||||||||||||
Class A | $ | 1,191,816 | $ | 4,157,465 | $ | 31,705,897 | ||||||||
Class C | 28,420 | 623,578 | 8,503,347 | |||||||||||
Institutional | 1,881,339 | 10,318,571 | 63,279,923 | |||||||||||
Service | — | — | 2,279,047 | |||||||||||
Investor | 29,237 | 122,127 | 8,808,761 | |||||||||||
Class P | 18,536,754 | 91,861,326 | 119,373,757 | |||||||||||
Class R | 28,826 | — | 2,557,793 | |||||||||||
Class R6 | 317,488,709 | 659,623 | 1,216,157 | |||||||||||
Total Net Assets | $ | 339,185,101 | $ | 107,742,690 | $ | 237,724,682 | ||||||||
Shares outstanding $0.001 par value (unlimited shares authorized): | ||||||||||||||
Class A | 112,928 | 650,115 | 2,035,092 | |||||||||||
Class C | 2,694 | 97,162 | 569,698 | |||||||||||
Institutional | 177,705 | 1,667,146 | 3,947,060 | |||||||||||
Service | — | — | 145,196 | |||||||||||
Investor | 2,766 | 19,262 | 561,271 | |||||||||||
Class P | 1,755,079 | 14,874,852 | 7,448,841 | |||||||||||
Class R | 2,730 | — | 165,742 | |||||||||||
Class R6 | 30,044,229 | 106,717 | 75,840 | |||||||||||
Net asset value, offering and redemption price per share:(b) | ||||||||||||||
Class A | $10.55 | $6.39 | $15.58 | |||||||||||
Class C | 10.55 | 6.42 | 14.93 | |||||||||||
Institutional | 10.59 | 6.19 | 16.03 | |||||||||||
Service | — | — | 15.70 | |||||||||||
Investor | 10.57 | 6.34 | 15.69 | |||||||||||
Class P | 10.56 | 6.18 | 16.03 | |||||||||||
Class R | 10.56 | — | 15.43 | |||||||||||
Class R6 | 10.57 | 6.18 | 16.04 |
(a) | Includes loaned securities having a market value of $1,374,194 for the Global Real Estate Securities Fund. |
(b) | Maximum public offering price per share for Class A Shares of the Global Real Estate Securities, International Real Estate Securities and Real Estate Securities Funds is $11.16, $6.76 and $16.49, 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. | 29 |
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Statements of Operations
For the Six Months Ended June 30, 2018 (Unaudited)
Global Real Estate Securities Fund | International Real Estate Securities Fund | Real Estate Securities Fund | ||||||||||||
Investment income: |
| |||||||||||||
Dividends — unaffiliated issuers (net of foreign taxes withheld of $313,461, $237,821 and $0) | $ | 6,076,679 | $ | 2,482,868 | $ | 3,758,643 | ||||||||
Dividends — affiliated issuers | 34,312 | 2,990 | 1,747 | |||||||||||
Securities lending income — affiliated issuer | 18,709 | — | — | |||||||||||
Total investment income | 6,129,700 | 2,485,858 | 3,760,390 | |||||||||||
Expenses: |
| |||||||||||||
Management fees | 1,670,948 | 587,271 | 1,147,165 | |||||||||||
Transfer Agency fees(a) | 55,288 | 26,050 | 84,043 | |||||||||||
Custody, accounting and administrative services | 53,654 | 65,705 | 47,403 | |||||||||||
Professional fees | 47,864 | 48,968 | 48,688 | |||||||||||
Printing and mailing costs | 12,216 | 19,592 | 32,338 | |||||||||||
Trustee fees | 8,963 | 8,821 | 8,991 | |||||||||||
Registration fees | 4,909 | 6,147 | 7,936 | |||||||||||
Distribution and Service fees(a) | 1,992 | 9,164 | 93,559 | |||||||||||
Service share fees — Service and Shareholder Administration Plan | — | — | 5,490 | |||||||||||
Other | 8,552 | 15,476 | 12,932 | |||||||||||
Total expenses | 1,864,386 | 787,194 | 1,488,545 | |||||||||||
Less — expense reductions | (230,896 | ) | (201,773 | ) | (258,330 | ) | ||||||||
Net expenses | 1,633,490 | 585,421 | 1,230,215 | |||||||||||
NET INVESTMENT INCOME | 4,496,210 | 1,900,437 | 2,530,175 | |||||||||||
Realized and unrealized gain (loss): |
| |||||||||||||
Net realized gain (loss) from: | ||||||||||||||
Investments — unaffiliated issuers (including commissions recaptured of $0, $0 and $4,678) | (1,064,956 | ) | 376,205 | 6,939,233 | ||||||||||
Foreign currency transactions | 5,848 | 14,082 | — | |||||||||||
Net change in unrealized loss on: |
| |||||||||||||
Investments — unaffiliated issuers | (1,788,009 | ) | (2,050,842 | ) | (7,928,646 | ) | ||||||||
Foreign currency translation | (4,868 | ) | (2,735 | ) | — | |||||||||
Net realized and unrealized loss | (2,851,985 | ) | (1,663,290 | ) | (989,413 | ) | ||||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 1,644,225 | $ | 237,147 | $ | 1,540,762 |
(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 | Investor | Class P(b) | Class R | Class R6 | |||||||||||||||||||||||||||||||||
Global Real Estate Securities | $ | 1,785 | $ | 137 | $ | 70 | $ | 1,285 | $ | 25 | $ | 17,834 | $ | N/A | $ | 25 | $ | 358 | $ | 25 | $ | 35,736 | ||||||||||||||||||||||
International Real Estate Securities | 5,276 | 3,888 | N/A | 3,799 | 700 | 19,582 | N/A | 97 | 1,784 | N/A | 88 | |||||||||||||||||||||||||||||||||
Real Estate Securities | 38,376 | 48,951 | 6,232 | 27,630 | 8,811 | 35,756 | 439 | 8,137 | 885 | 2,244 | 141 |
(b) | Commenced operation on April 17, 2018. |
30 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Statements of Changes in Net Assets
Global Real Estate Securities Fund | ||||||||||
For the Six Months Ended June 30, 2018 (Unaudited) | For the Fiscal Year Ended December 31, 2017 | |||||||||
From operations: | ||||||||||
Net investment income | $ | 4,496,210 | $ | 4,688,643 | ||||||
Net realized loss | (1,059,108 | ) | (146,579 | ) | ||||||
Net change in unrealized gain (loss) | (1,792,877 | ) | 15,524,132 | |||||||
Net increase in net assets resulting from operations | 1,644,225 | 20,066,196 | ||||||||
Distributions to shareholders: | ||||||||||
From net investment income | ||||||||||
Class A Shares | (15,726 | ) | (28,974 | ) | ||||||
Class C Shares | (240 | ) | (520 | ) | ||||||
Institutional Shares | (122,861 | ) | (6,827,229 | ) | ||||||
Investor Shares(a) | (378 | ) | (734 | ) | ||||||
Class P Shares(b) | (152,711 | ) | — | |||||||
Class R Shares | (308 | ) | (590 | ) | ||||||
Class R6 Shares | (4,361,644 | ) | (781 | ) | ||||||
From net realized gains | ||||||||||
Class A Shares | — | (176 | ) | |||||||
Class C Shares | — | (3 | ) | |||||||
Institutional Shares | — | (34,564 | ) | |||||||
Investor Shares(a) | — | (3 | ) | |||||||
Class R Shares | — | (3 | ) | |||||||
Class R6 Shares | — | (3 | ) | |||||||
Total distributions to shareholders | (4,653,868 | ) | (6,893,580 | ) | ||||||
From share transactions: | ||||||||||
Proceeds from sales of shares | 354,155,689 | 325,969,686 | ||||||||
Reinvestment of distributions | 4,653,581 | 6,892,789 | ||||||||
Cost of shares redeemed | (357,025,085 | ) | (33,435,340 | ) | ||||||
Net increase in net assets resulting from share transactions | 1,784,185 | 299,427,135 | ||||||||
TOTAL INCREASE (DECREASE) | (1,225,458 | ) | 312,599,751 | |||||||
Net assets: | ||||||||||
Beginning of period | 340,410,559 | 27,810,808 | ||||||||
End of period | $ | 339,185,101 | $ | 340,410,559 | ||||||
Distributions in excess of net investment income | $ | (1,752,067 | ) | $ | (1,594,409 | ) |
(a) | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
(b) | Commenced operation on April 17, 2018. |
The accompanying notes are an integral part of these financial statements. | 31 |
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Statements of Changes in Net Assets (continued)
| International Real Estate Securities Fund | Real Estate Securities Fund | ||||||||||||||||||||||||||||
For the Six Months Ended June 30, 2018 (Unaudited) | For the Fiscal Year Ended December 31, 2017 | For the Six Months Ended June 30, 2018 (Unaudited) | For the Fiscal Year Ended December 31, 2017 | |||||||||||||||||||||||||||
From operations: | ||||||||||||||||||||||||||||||
Net investment income | $ | 1,900,437 | $ | 4,581,500 | $ | 2,530,175 | $ | 6,848,059 | ||||||||||||||||||||||
Net realized gain | 390,287 | 103,643 | 6,939,233 | 47,112,824 | ||||||||||||||||||||||||||
Net change in unrealized gain (loss) | (2,053,577 | ) | 29,191,628 | (7,928,646 | ) | (47,855,543 | ) | |||||||||||||||||||||||
Net increase in net assets resulting from operations | 237,147 | 33,876,771 | 1,540,762 | 6,105,340 | ||||||||||||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||||
From net investment income | ||||||||||||||||||||||||||||||
Class A Shares | (53,227 | ) | (191,324 | ) | (293,740 | ) | (740,445 | ) | ||||||||||||||||||||||
Class C Shares | (4,862 | ) | (28,242 | ) | (51,773 | ) | (148,930 | ) | ||||||||||||||||||||||
Institutional Shares | (138,356 | ) | (5,930,145 | ) | (1,230,513 | ) | (5,372,052 | ) | ||||||||||||||||||||||
Service Shares | — | — | (20,095 | ) | (38,675 | ) | ||||||||||||||||||||||||
Investor Shares(a) | (1,716 | ) | (7,218 | ) | (94,563 | ) | (209,034 | ) | ||||||||||||||||||||||
Class P Shares(b) | (1,418,076 | ) | — | (824,815 | ) | — | ||||||||||||||||||||||||
Class R Shares | — | — | (21,535 | ) | (47,143 | ) | ||||||||||||||||||||||||
Class R6 Shares | (9,994 | ) | (498 | ) | (12,912 | ) | (768 | ) | ||||||||||||||||||||||
From net realized gains | ||||||||||||||||||||||||||||||
Class A Shares | — | — | — | (6,396,123 | ) | |||||||||||||||||||||||||
Class C Shares | — | — | — | (2,074,863 | ) | |||||||||||||||||||||||||
Institutional Shares | — | — | — | (34,156,406 | ) | |||||||||||||||||||||||||
Service Shares | — | — | — | (382,308 | ) | |||||||||||||||||||||||||
Investor Shares(a) | — | — | — | (1,753,632 | ) | |||||||||||||||||||||||||
Class R Shares | — | — | — | (501,533 | ) | |||||||||||||||||||||||||
Class R6 Shares | — | — | — | (34,987 | ) | |||||||||||||||||||||||||
Total distributions to shareholders | (1,626,231 | ) | (6,157,427 | ) | (2,549,946 | ) | (51,856,899 | ) | ||||||||||||||||||||||
From share transactions: | ||||||||||||||||||||||||||||||
Proceeds from sales of shares | 99,438,137 | 19,554,247 | 149,097,029 | 61,694,002 | ||||||||||||||||||||||||||
Reinvestment of distributions | 1,623,626 | 6,137,751 | 2,482,048 | 50,355,569 | ||||||||||||||||||||||||||
Cost of shares redeemed | (115,004,961 | ) | (234,473,484 | ) | (186,022,348 | ) | (276,394,225 | ) | ||||||||||||||||||||||
Net decrease in net assets resulting from share transactions | (13,943,198 | ) | (208,781,486 | ) | (34,443,271 | ) | (164,344,654 | ) | ||||||||||||||||||||||
TOTAL DECREASE | (15,332,282 | ) | (181,062,142 | ) | (35,452,455 | ) | (210,096,213 | ) | ||||||||||||||||||||||
Net assets: | ||||||||||||||||||||||||||||||
Beginning of period | 123,074,972 | 304,137,114 | 273,177,137 | 483,273,350 | ||||||||||||||||||||||||||
End of period | $ | 107,742,690 | $ | 123,074,972 | $ | 237,724,682 | $ | 273,177,137 | ||||||||||||||||||||||
Undistributed (distributions in excess of) of net investment income | $ | (617,026 | ) | $ | (891,232 | ) | $ | 1,193,313 | $ | 1,213,084 |
(a) | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
(b) | Commenced operation on April 17, 2018. |
32 | The accompanying notes are an integral part of these financial statements. |
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GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
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 | From capital | Total distributions | ||||||||||||||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) |
| |||||||||||||||||||||||||||||||||
2018 - A | $ | 10.64 | $ | 0.11 | $ | (0.08 | ) | $ | 0.03 | $ | (0.12 | ) | $ | — | $ | — | $ | (0.12 | ) | |||||||||||||||
2018 - C | 10.64 | 0.08 | (0.08 | ) | — | (e) | (0.09 | ) | — | — | (0.09 | ) | ||||||||||||||||||||||
2018 - Institutional | 10.66 | — | (e) | 0.06 | 0.06 | (0.13 | ) | — | — | (0.13 | ) | |||||||||||||||||||||||
2018 - Investor(f) | 10.65 | 0.13 | (0.07 | ) | 0.06 | (0.14 | ) | — | — | (0.14 | ) | |||||||||||||||||||||||
2018 - P (Commenced April 17, 2018) | 10.30 | 0.15 | 0.20 | 0.35 | (0.09 | ) | — | — | (0.09 | ) | ||||||||||||||||||||||||
2018 - R | 10.65 | 0.11 | (0.09 | ) | 0.02 | (0.11 | ) | — | — | (0.11 | ) | |||||||||||||||||||||||
2018 - R6 | 10.66 | 0.19 | (0.13 | ) | 0.06 | (0.15 | ) | — | — | (0.15 | ) | |||||||||||||||||||||||
FOR THE FISCAL YEARS ENDED DECEMBER 31, |
| |||||||||||||||||||||||||||||||||
2017 - A | 10.05 | 0.21 | 0.63 | 0.84 | (0.25 | ) | — | (e) | — | (0.25 | ) | |||||||||||||||||||||||
2017 - C | 10.04 | 0.12 | 0.65 | 0.77 | (0.17 | ) | — | (e) | — | (0.17 | ) | |||||||||||||||||||||||
2017 - Institutional | 10.06 | 0.24 | 0.65 | 0.89 | (0.29 | ) | — | (e) | — | (0.29 | ) | |||||||||||||||||||||||
2017 - Investor(f) | 10.05 | 0.22 | 0.65 | 0.87 | (0.27 | ) | — | (e) | — | (0.27 | ||||||||||||||||||||||||
2017 - R | 10.05 | 0.17 | 0.65 | 0.82 | (0.22 | ) | — | (e) | — | (0.22 | ) | |||||||||||||||||||||||
2017 - R6 | 10.06 | 0.24 | 0.65 | 0.89 | (0.29 | ) | — | (e) | — | (0.29 | ) | |||||||||||||||||||||||
2016 - A | 10.44 | 0.17 | (0.08 | ) | 0.09 | (0.29 | ) | (0.17 | ) | (0.02 | ) | (0.48 | ) | |||||||||||||||||||||
2016 - C | 10.43 | 0.10 | (0.09 | ) | 0.01 | (0.21 | ) | (0.17 | ) | (0.02 | ) | (0.40 | ) | |||||||||||||||||||||
2016 - Institutional | 10.44 | 0.24 | (0.10 | ) | 0.14 | (0.32 | ) | (0.17 | ) | (0.03 | ) | (0.52 | ) | |||||||||||||||||||||
2016 - Investor(f) | 10.44 | 0.20 | (0.09 | ) | 0.11 | (0.31 | ) | (0.17 | ) | (0.02 | ) | (0.50 | ) | |||||||||||||||||||||
2016 - R | 10.44 | 0.14 | (0.08 | ) | 0.06 | (0.26 | ) | (0.17 | ) | (0.02 | ) | (0.45 | ) | |||||||||||||||||||||
2016 - R6 | 10.44 | 0.21 | (0.07 | ) | 0.14 | (0.33 | ) | (0.17 | ) | (0.02 | ) | (0.52 | ) | |||||||||||||||||||||
FOR THE PERIOD ENDED DECEMBER 31, |
| |||||||||||||||||||||||||||||||||
2015 - A (Commenced August 31, 2015) | 10.00 | 0.05 | 0.52 | 0.57 | (0.12 | ) | (0.01 | ) | — | (0.13 | ) | |||||||||||||||||||||||
2015 - C (Commenced August 31, 2015) | 10.00 | 0.02 | 0.52 | 0.54 | (0.10 | ) | (0.01 | ) | — | (0.11 | ) | |||||||||||||||||||||||
2015 - Institutional (Commenced August 31, 2015) | 10.00 | 0.06 | 0.52 | 0.58 | (0.13 | ) | (0.01 | ) | — | (0.14 | ) | |||||||||||||||||||||||
2015 - Investor (Commenced August 31, 2015)(f) | 10.00 | 0.06 | 0.51 | 0.57 | (0.12 | ) | (0.01 | ) | — | (0.13 | ) | |||||||||||||||||||||||
2015 - R (Commenced August 31, 2015) | 10.00 | 0.04 | 0.52 | 0.56 | (0.11 | ) | (0.01 | ) | — | (0.12 | ) | |||||||||||||||||||||||
2015 - R6 (Commenced August 31, 2015) | 10.00 | 0.06 | 0.52 | 0.58 | (0.13 | ) | (0.01 | ) | — | (0.14 | ) |
(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) | Annualized. |
(e) | Amount is less than $0.005 per share. |
(f) | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
34 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
Net asset 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 to average | Portfolio turnover rate(c) | ||||||||||||||||||||||||||||||||||
$ | 10.55 | 0.34 | % | $ | 1,192 | 1.38 | %(d) | 1.53 | %(d) | 2.13 | %(d) | 44 | % | |||||||||||||||||||||||||||
10.55 | 0.01 | 28 | 2.13 | (d) | 2.27 | (d) | 1.57 | (d) | 44 | |||||||||||||||||||||||||||||||
10.59 | 0.58 | 1,881 | 1.00 | (d) | 1.18 | (d) | (0.08 | )(d) | 44 | |||||||||||||||||||||||||||||||
10.57 | 0.57 | 29 | 1.13 | (d) | 1.27 | (d) | 2.58 | (d) | 44 | |||||||||||||||||||||||||||||||
10.56 | 3.38 | 18,537 | 0.96 | (d) | 1.06 | (d) | 7.20 | (d) | 44 | |||||||||||||||||||||||||||||||
10.56 | 0.24 | 29 | 1.63 | (d) | 1.77 | (d) | 2.07 | (d) | 44 | |||||||||||||||||||||||||||||||
10.57 | 0.55 | 317,489 | 0.98 | (d) | 1.10 | (d) | 3.72 | (d) | 44 | |||||||||||||||||||||||||||||||
10.64 | 8.50 | 1,768 | 1.39 | 1.59 | 2.03 | 58 | ||||||||||||||||||||||||||||||||||
10.64 | 7.72 | 28 | 2.15 | 2.79 | 1.15 | 58 | ||||||||||||||||||||||||||||||||||
10.66 | 8.96 | 338,527 | 1.00 | 1.24 | 2.31 | 58 | ||||||||||||||||||||||||||||||||||
10.65 | 8.80 | 29 | 1.15 | 1.75 | 2.13 | 58 | ||||||||||||||||||||||||||||||||||
10.65 | 8.26 | 29 | 1.65 | 2.25 | 1.63 | 58 | ||||||||||||||||||||||||||||||||||
10.66 | 8.97 | 29 | 0.99 | 1.59 | 2.29 | 58 | ||||||||||||||||||||||||||||||||||
10.05 | 0.82 | 32 | 1.44 | 4.34 | 1.57 | 60 | ||||||||||||||||||||||||||||||||||
10.04 | 0.11 | 36 | 2.15 | 5.31 | 0.93 | 60 | ||||||||||||||||||||||||||||||||||
10.06 | 1.30 | 27,663 | 1.00 | 2.82 | 2.23 | 60 | ||||||||||||||||||||||||||||||||||
10.05 | 1.05 | 27 | 1.15 | 4.22 | 1.85 | 60 | ||||||||||||||||||||||||||||||||||
10.05 | 0.57 | 27 | 1.65 | 4.73 | 1.35 | 60 | ||||||||||||||||||||||||||||||||||
10.06 | 1.31 | 27 | 0.98 | 4.05 | 2.02 | 60 | ||||||||||||||||||||||||||||||||||
10.44 | 5.71 | 26 | 1.40 | (d) | 15.24 | (d) | 1.43 | (d) | 14 | |||||||||||||||||||||||||||||||
10.43 | 5.41 | 26 | 2.15 | (d) | 16.01 | (d) | 0.68 | (d) | 14 | |||||||||||||||||||||||||||||||
10.44 | 5.81 | 3,043 | 1.00 | (d) | 14.86 | (d) | 1.83 | (d) | 14 | |||||||||||||||||||||||||||||||
10.44 | 5.78 | 26 | 1.15 | (d) | 15.02 | (d) | 1.68 | (d) | 14 | |||||||||||||||||||||||||||||||
10.44 | 5.65 | 26 | 1.65 | (d) | 15.51 | (d) | 1.18 | (d) | 14 | |||||||||||||||||||||||||||||||
10.44 | 5.82 | 26 | 0.97 | (d) | 14.85 | (d) | 1.85 | (d) | 14 |
The accompanying notes are an integral part of these financial statements. | 35 |
GOLDMAN SACHS INTERNATIONAL REAL ESTATE SECURITIES 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 | |||||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) |
| |||||||||||||||||||||
2018 - A | $ | 6.48 | $ | 0.10 | $ | (0.11 | ) | $ | (0.01 | ) | $ | (0.08 | ) | |||||||||
2018 - C | 6.50 | 0.07 | (0.10 | ) | (0.03 | ) | (0.05 | ) | ||||||||||||||
2018 - Institutional | 6.26 | 0.10 | (0.09 | ) | 0.01 | (0.08 | ) | |||||||||||||||
2018 - Investor(e) | 6.43 | 0.11 | (0.11 | ) | — | (f) | (0.09 | ) | ||||||||||||||
2018 - P (Commenced April 17, 2018) | 6.38 | 0.07 | (0.17 | ) | (0.10 | ) | (0.10 | ) | ||||||||||||||
2018 - R6 | 6.26 | 0.17 | (0.15 | ) | 0.02 | (0.10 | ) | |||||||||||||||
FOR THE FISCAL YEARS ENDED DECEMBER 31, |
| |||||||||||||||||||||
2017 - A | 5.73 | 0.12 | 0.89 | 1.01 | (0.26 | ) | ||||||||||||||||
2017 - C | 5.73 | 0.08 | 0.90 | 0.98 | (0.21 | ) | ||||||||||||||||
2017 - Institutional | 5.54 | 0.14 | 0.87 | 1.01 | (0.29 | ) | ||||||||||||||||
2017 - Investor(e) | 5.68 | 0.16 | 0.87 | 1.03 | (0.28 | ) | ||||||||||||||||
2017 - R6 | 5.54 | 0.14 | 0.87 | 1.01 | (0.29 | ) | ||||||||||||||||
2016 - A | 6.09 | 0.12 | (0.23 | ) | (0.11 | ) | (0.25 | ) | ||||||||||||||
2016 - C | 6.09 | 0.07 | (0.23 | ) | (0.16 | ) | (0.20 | ) | ||||||||||||||
2016 - Institutional | 5.91 | 0.14 | (0.24 | ) | (0.10 | ) | (0.27 | ) | ||||||||||||||
2016 - Investor(e) | 6.04 | 0.12 | (0.22 | ) | (0.10 | ) | (0.26 | ) | ||||||||||||||
2016 - R6 | 5.91 | 0.13 | (0.23 | ) | (0.10 | ) | (0.27 | ) | ||||||||||||||
2015 - A | 6.38 | 0.10 | (0.24 | ) | (0.14 | ) | (0.15 | ) | ||||||||||||||
2015 - C | 6.38 | 0.05 | (0.24 | ) | (0.19 | ) | (0.10 | ) | ||||||||||||||
2015 - Institutional | 6.19 | 0.12 | (0.22 | ) | (0.10 | ) | (0.18 | ) | ||||||||||||||
2015 - Investor(e) | 6.33 | 0.11 | (0.24 | ) | (0.13 | ) | (0.16 | ) | ||||||||||||||
2015 - R6 (Commenced July 31, 2015) | 6.33 | 0.05 | (0.37 | ) | (0.32 | ) | (0.10 | ) | ||||||||||||||
2014 - A | 6.54 | 0.21 | (g) | (0.14 | ) | 0.07 | (0.23 | ) | ||||||||||||||
2014 - C | 6.53 | 0.16 | (g) | (0.13 | ) | 0.03 | (0.18 | ) | ||||||||||||||
2014 - Institutional | 6.35 | 0.22 | (g) | (0.12 | ) | 0.10 | (0.26 | ) | ||||||||||||||
2014 - Investor(e) | 6.48 | 0.20 | (g) | (0.11 | ) | 0.09 | (0.24 | ) | ||||||||||||||
2013 - A | 6.46 | 0.15 | (h) | 0.22 | 0.37 | (0.29 | ) | |||||||||||||||
2013 - C | 6.46 | 0.11 | (h) | 0.20 | 0.31 | (0.24 | ) | |||||||||||||||
2013 - Institutional | 6.29 | 0.18 | (h) | 0.20 | 0.38 | (0.32 | ) | |||||||||||||||
2013 - Investor(e) | 6.40 | 0.18 | (h) | 0.20 | 0.38 | (0.30 | ) |
(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) | Annualized. |
(e) | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
(f) | Amount is less than $0.005 per share. |
(g) | Reflects income recognized from a corporate action which amounted to $0.10 per share and 1.50% of average net assets. |
(h) | Reflects income recognized from special dividends which amounted to $0.04 per share and 0.65% of average net assets. |
36 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL REAL ESTATE SECURITIES 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 assets | Portfolio turnover rate(c) | ||||||||||||||||||||||||||||||||||
$ | 6.39 | (0.11 | )% | $ | 4,157 | 1.38 | %(d) | 1.73 | %(d) | 2.96 | %(d) | 27 | % | |||||||||||||||||||||||||||
6.42 | (0.45 | ) | 624 | 2.13 | (d) | 2.48 | (d) | 2.14 | (d) | 27 | ||||||||||||||||||||||||||||||
6.19 | 0.23 | 10,319 | 0.99 | (d) | 1.34 | (d) | 3.06 | (d) | 27 | |||||||||||||||||||||||||||||||
6.34 | 0.01 | 122 | 1.13 | (d) | 1.48 | (d) | 3.27 | (d) | 27 | |||||||||||||||||||||||||||||||
6.18 | (1.63 | ) | 91,861 | 0.98 | (d) | 1.31 | (d) | 5.30 | (d) | 27 | ||||||||||||||||||||||||||||||
6.18 | 0.25 | 660 | 0.98 | (d) | 1.25 | (d) | 5.32 | (d) | 27 | |||||||||||||||||||||||||||||||
6.48 | 17.89 | 4,377 | 1.39 | 1.70 | 2.02 | 38 | ||||||||||||||||||||||||||||||||||
6.50 | 17.23 | 810 | 2.14 | 2.44 | 1.26 | 38 | ||||||||||||||||||||||||||||||||||
6.26 | 18.45 | 117,768 | 0.99 | 1.28 | 2.44 | 38 | ||||||||||||||||||||||||||||||||||
6.43 | 18.29 | 109 | 1.14 | 1.45 | 2.54 | 38 | ||||||||||||||||||||||||||||||||||
6.26 | 18.48 | 11 | 0.99 | 1.29 | 2.41 | 38 | ||||||||||||||||||||||||||||||||||
5.73 | (1.84 | ) | 5,400 | 1.39 | 1.62 | 1.90 | 41 | |||||||||||||||||||||||||||||||||
5.73 | (2.65 | ) | 1,148 | 2.14 | 2.37 | 1.12 | 41 | |||||||||||||||||||||||||||||||||
5.54 | (1.63 | ) | 297,473 | 0.99 | 1.22 | 2.28 | 41 | |||||||||||||||||||||||||||||||||
5.68 | (1.57 | ) | 107 | 1.14 | 1.37 | 2.05 | 41 | |||||||||||||||||||||||||||||||||
5.54 | (1.61 | ) | 9 | 1.02 | 1.18 | 2.26 | 41 | |||||||||||||||||||||||||||||||||
6.09 | (2.25 | ) | 7,702 | 1.41 | 1.62 | 1.50 | 45 | |||||||||||||||||||||||||||||||||
6.09 | (3.03 | ) | 1,622 | 2.16 | 2.37 | 0.76 | 45 | |||||||||||||||||||||||||||||||||
5.91 | (1.73 | ) | 333,601 | 1.01 | 1.22 | 1.92 | 45 | |||||||||||||||||||||||||||||||||
6.04 | (2.04 | ) | 88 | 1.17 | 1.37 | 1.64 | 45 | |||||||||||||||||||||||||||||||||
5.91 | (5.03 | ) | 9 | 0.99 | (d) | 1.15 | (d) | 1.91 | (d) | 45 | ||||||||||||||||||||||||||||||
6.38 | 1.05 | 10,017 | 1.46 | 1.61 | 3.13 | (g) | 50 | |||||||||||||||||||||||||||||||||
6.38 | 0.44 | 1,962 | 2.21 | 2.36 | 2.42 | (g) | 50 | |||||||||||||||||||||||||||||||||
6.19 | 1.53 | 379,651 | 1.05 | 1.21 | 3.42 | (g) | 50 | |||||||||||||||||||||||||||||||||
6.33 | 1.38 | 193 | 1.21 | 1.35 | 2.98 | (g) | 50 | |||||||||||||||||||||||||||||||||
6.54 | 5.81 | 14,542 | 1.48 | 1.60 | 2.24 | (h) | 45 | |||||||||||||||||||||||||||||||||
6.53 | 4.90 | 2,514 | 2.23 | 2.35 | 1.65 | (h) | 45 | |||||||||||||||||||||||||||||||||
6.35 | 6.15 | 387,178 | 1.08 | 1.20 | 2.79 | (h) | 45 | |||||||||||||||||||||||||||||||||
6.48 | 6.11 | 944 | 1.23 | 1.35 | 2.70 | (h) | 45 |
The accompanying notes are an integral part of these financial statements. | 37 |
GOLDMAN SACHS REAL ESTATE SECURITIES 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 | Net investment income(a) | Net realized and unrealized gain | Total from investment operations | From net investment income | From net realized gains | Total distributions | |||||||||||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) |
| |||||||||||||||||||||||||||||
2018 - A | $ | 15.53 | $ | 0.13 | $ | 0.06 | $ | 0.19 | $ | (0.14 | ) | $ | — | $ | (0.14 | ) | ||||||||||||||
2018 - C | 14.88 | 0.06 | 0.08 | 0.14 | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||||||
2018 - Institutional | 15.98 | 0.14 | 0.08 | 0.22 | (0.17 | ) | — | (0.17 | ) | |||||||||||||||||||||
2018 - Service | 15.65 | 0.13 | 0.06 | 0.19 | (0.14 | ) | — | (0.14 | ) | |||||||||||||||||||||
2018 - Investor(e) | 15.65 | 0.15 | 0.05 | 0.20 | (0.16 | ) | — | (0.16 | ) | |||||||||||||||||||||
2018 - P (Commenced April 17, 2018) | 14.90 | 0.46 | 0.78 | 1.24 | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||||||
2018 - R | 15.39 | 0.11 | 0.06 | 0.17 | (0.13 | ) | — | (0.13 | ) | |||||||||||||||||||||
2018 - R6 | 15.98 | 0.22 | 0.01 | 0.23 | (0.17 | ) | — | (0.17 | ) | |||||||||||||||||||||
FOR THE FISCAL YEARS ENDED DECEMBER 31, |
| |||||||||||||||||||||||||||||
2017 - A | 18.40 | 0.30 | 0.06 | 0.36 | (0.29 | ) | (2.94 | ) | (3.23 | ) | ||||||||||||||||||||
2017 - C | 17.79 | 0.16 | 0.06 | 0.22 | (0.19 | ) | (2.94 | ) | (3.13 | ) | ||||||||||||||||||||
2017 - Institutional | 18.81 | 0.37 | 0.08 | 0.45 | (0.34 | ) | (2.94 | ) | (3.28 | ) | ||||||||||||||||||||
2017 - Service | 18.52 | 0.29 | 0.06 | 0.35 | (0.28 | ) | (2.94 | ) | (3.22 | ) | ||||||||||||||||||||
2017 - Investor(e) | 18.50 | 0.36 | 0.06 | 0.42 | (0.33 | ) | (2.94 | ) | (3.27 | ) | ||||||||||||||||||||
2017 - R | 18.27 | 0.26 | 0.05 | 0.31 | (0.25 | ) | (2.94 | ) | (3.19 | ) | ||||||||||||||||||||
2017 - R6 | 18.81 | 0.41 | 0.05 | 0.46 | (0.35 | ) | (2.94 | ) | (3.29 | ) | ||||||||||||||||||||
2016 - A | 19.59 | 0.33 | 0.71 | 1.04 | (0.32 | ) | (1.91 | ) | (2.23 | ) | ||||||||||||||||||||
2016 - C | 19.03 | 0.18 | 0.68 | 0.86 | (0.19 | ) | (1.91 | ) | (2.10 | ) | ||||||||||||||||||||
2016 - Institutional | 19.97 | 0.41 | 0.74 | 1.15 | (0.40 | ) | (1.91 | ) | (2.31 | ) | ||||||||||||||||||||
2016 - Service | 19.71 | 0.31 | 0.72 | 1.03 | (0.31 | ) | (1.91 | ) | (2.22 | ) | ||||||||||||||||||||
2016 - Investor(e) | 19.68 | 0.39 | 0.71 | 1.10 | (0.37 | ) | (1.91 | ) | (2.28 | ) | ||||||||||||||||||||
2016 - R | 19.47 | 0.29 | 0.70 | 0.99 | (0.28 | ) | (1.91 | ) | (2.19 | ) | ||||||||||||||||||||
2016 - R6 | 19.98 | 0.46 | 0.68 | 1.14 | (0.40 | ) | (1.91 | ) | (2.31 | ) | ||||||||||||||||||||
2015 - A | 19.83 | 0.29 | 0.30 | 0.59 | (0.31 | ) | (0.52 | ) | (0.83 | ) | ||||||||||||||||||||
2015 - C | 19.32 | 0.14 | 0.30 | 0.44 | (0.21 | ) | (0.52 | ) | (0.73 | ) | ||||||||||||||||||||
2015 - Institutional | 20.18 | 0.38 | 0.30 | 0.68 | (0.37 | ) | (0.52 | ) | (0.89 | ) | ||||||||||||||||||||
2015 - Service | 19.94 | 0.27 | 0.32 | 0.59 | (0.30 | ) | (0.52 | ) | (0.82 | ) | ||||||||||||||||||||
2015 - Investor(e) | 19.90 | 0.35 | 0.30 | 0.65 | (0.35 | ) | (0.52 | ) | (0.87 | ) | ||||||||||||||||||||
2015 - R | 19.73 | 0.27 | 0.27 | 0.54 | (0.28 | ) | (0.52 | ) | (0.80 | ) | ||||||||||||||||||||
2015 - R6 (Commenced July 31, 2015) | 19.93 | 0.22 | 0.48 | 0.70 | (0.13 | ) | (0.52 | ) | (0.65 | ) | ||||||||||||||||||||
2014 - A | 15.54 | 0.21 | (f) | 4.36 | 4.57 | (0.28 | ) | — | (0.28 | ) | ||||||||||||||||||||
2014 - C | 15.18 | 0.07 | (f) | 4.25 | 4.32 | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||||||
2014 - Institutional | 15.80 | 0.27 | (f) | 4.44 | 4.71 | (0.33 | ) | — | (0.33 | ) | ||||||||||||||||||||
2014 - Service | 15.63 | 0.18 | (f) | 4.39 | 4.57 | (0.26 | ) | — | (0.26 | ) | ||||||||||||||||||||
2014 - Investor(e) | 15.59 | 0.31 | (f) | 4.31 | 4.62 | (0.31 | ) | — | (0.31 | ) | ||||||||||||||||||||
2014 - R | 15.48 | 0.19 | (f) | 4.31 | 4.50 | (0.25 | ) | — | (0.25 | ) | ||||||||||||||||||||
2013 - A | 15.44 | 0.16 | 0.18 | 0.34 | (0.24 | ) | — | (0.24 | ) | |||||||||||||||||||||
2013 - C | 15.12 | 0.05 | 0.16 | 0.21 | (0.15 | ) | — | (0.15 | ) | |||||||||||||||||||||
2013 - Institutional | 15.68 | 0.24 | 0.17 | 0.41 | (0.29 | ) | — | (0.29 | ) | |||||||||||||||||||||
2013 - Service | 15.53 | 0.14 | 0.18 | 0.32 | (0.22 | ) | — | (0.22 | ) | |||||||||||||||||||||
2013 - Investor(e) | 15.49 | 0.22 | 0.15 | 0.37 | (0.27 | ) | — | (0.27 | ) | |||||||||||||||||||||
2013 - R | 15.39 | 0.14 | 0.16 | 0.30 | (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. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
(d) | Annualized. |
(e) | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
(f) | Reflects income recognized from special dividends which amounted to $0.07 per share and 0.37% of average net assets. |
38 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS REAL ESTATE SECURITIES FUND
Net asset value, end of period | Total return(b) | Net assets, period | Ratio of net expenses to average net assets | Ratio of total expenses to average net assets | Ratio of to average | Portfolio turnover rate(c) | ||||||||||||||||||||||||||||||||||
$ | 15.58 | 1.28 | % | $ | 31,706 | 1.30 | %(d) | 1.52 | %(d) | 1.80 | %(d) | 24 | % | |||||||||||||||||||||||||||
14.93 | 0.93 | 8,503 | 2.05 | (d) | 2.27 | (d) | 0.91 | (d) | 24 | |||||||||||||||||||||||||||||||
16.03 | 1.42 | 63,280 | 0.91 | (d) | 1.13 | (d) | 1.84 | (d) | 24 | |||||||||||||||||||||||||||||||
15.70 | 1.22 | 2,279 | 1.41 | (d) | 1.63 | (d) | 1.73 | (d) | 24 | |||||||||||||||||||||||||||||||
15.69 | 1.32 | 8,809 | 1.05 | (d) | 1.27 | (d) | 2.05 | (d) | 24 | |||||||||||||||||||||||||||||||
16.03 | 8.33 | 119,374 | 0.90 | (d) | 1.06 | (d) | 14.29 | (d) | 24 | |||||||||||||||||||||||||||||||
15.43 | 1.11 | 2,558 | 1.55 | (d) | 1.77 | (d) | 1.57 | (d) | 24 | |||||||||||||||||||||||||||||||
16.04 | 1.49 | 1,216 | 0.90 | (d) | 1.08 | (d) | 2.92 | (d) | 24 | |||||||||||||||||||||||||||||||
15.53 | 2.11 | 38,120 | 1.31 | 1.54 | 1.65 | 35 | ||||||||||||||||||||||||||||||||||
14.88 | 1.38 | 12,421 | 2.06 | 2.29 | 0.92 | 35 | ||||||||||||||||||||||||||||||||||
15.98 | 2.58 | 206,095 | 0.91 | 1.14 | 1.98 | 35 | ||||||||||||||||||||||||||||||||||
15.65 | 2.07 | 2,446 | 1.41 | 1.64 | 1.60 | 35 | ||||||||||||||||||||||||||||||||||
15.65 | 2.42 | 10,776 | 1.06 | 1.29 | 1.99 | 35 | ||||||||||||||||||||||||||||||||||
15.39 | 1.92 | 3,092 | 1.56 | 1.79 | 1.45 | 35 | ||||||||||||||||||||||||||||||||||
15.98 | 2.60 | 227 | 0.90 | 1.14 | 2.23 | 35 | ||||||||||||||||||||||||||||||||||
18.40 | 5.38 | 54,869 | 1.31 | 1.52 | 1.62 | 31 | ||||||||||||||||||||||||||||||||||
17.79 | 4.56 | 15,578 | 2.06 | 2.27 | 0.91 | 31 | ||||||||||||||||||||||||||||||||||
18.81 | 5.81 | 397,211 | 0.91 | 1.12 | 2.03 | 31 | ||||||||||||||||||||||||||||||||||
18.52 | 5.20 | 2,951 | 1.41 | 1.62 | 1.55 | 31 | ||||||||||||||||||||||||||||||||||
18.50 | 5.65 | 8,467 | 1.06 | 1.27 | 1.92 | 31 | ||||||||||||||||||||||||||||||||||
18.27 | 5.08 | 4,156 | 1.56 | 1.77 | 1.44 | 31 | ||||||||||||||||||||||||||||||||||
18.81 | 5.77 | 42 | 0.90 | 1.09 | 2.25 | 31 | ||||||||||||||||||||||||||||||||||
19.59 | 3.14 | 57,936 | 1.26 | 1.51 | 1.44 | 41 | ||||||||||||||||||||||||||||||||||
19.03 | 2.39 | 15,056 | 2.01 | 2.26 | 0.73 | 41 | ||||||||||||||||||||||||||||||||||
19.97 | 3.56 | 463,105 | 0.86 | 1.11 | 1.88 | 41 | ||||||||||||||||||||||||||||||||||
19.71 | 3.09 | 2,744 | 1.36 | 1.61 | 1.35 | 41 | ||||||||||||||||||||||||||||||||||
19.68 | 3.44 | 7,283 | 1.01 | 1.26 | 1.77 | 41 | ||||||||||||||||||||||||||||||||||
19.47 | 2.89 | 3,149 | 1.50 | 1.77 | 1.38 | 41 | ||||||||||||||||||||||||||||||||||
19.98 | 3.64 | 10 | 0.91 | (d) | 1.07 | (d) | 2.65 | (d) | 41 | |||||||||||||||||||||||||||||||
19.83 | 29.63 | 73,103 | 1.39 | 1.52 | 1.15 | (f) | 52 | |||||||||||||||||||||||||||||||||
19.32 | 28.64 | 16,497 | 2.14 | 2.26 | 0.39 | (f) | 52 | |||||||||||||||||||||||||||||||||
20.18 | 30.10 | 502,407 | 0.99 | 1.11 | 1.49 | (f) | 52 | |||||||||||||||||||||||||||||||||
19.94 | 29.49 | 3,527 | 1.49 | 1.61 | 0.98 | (f) | 52 | |||||||||||||||||||||||||||||||||
19.90 | 29.94 | 6,900 | 1.14 | 1.27 | 1.70 | (f) | 52 | |||||||||||||||||||||||||||||||||
19.73 | 29.29 | 1,877 | 1.64 | 1.77 | 1.05 | (f) | 52 | |||||||||||||||||||||||||||||||||
15.54 | 2.13 | 51,599 | 1.41 | 1.51 | 0.99 | 61 | ||||||||||||||||||||||||||||||||||
15.18 | 1.35 | 12,375 | 2.16 | 2.26 | 0.29 | 61 | ||||||||||||||||||||||||||||||||||
15.80 | 2.54 | 419,564 | 1.01 | 1.11 | 1.46 | 61 | ||||||||||||||||||||||||||||||||||
15.63 | 2.03 | 3,342 | 1.51 | 1.61 | 0.88 | 61 | ||||||||||||||||||||||||||||||||||
15.59 | 2.33 | 808 | 1.16 | 1.26 | 1.33 | 61 | ||||||||||||||||||||||||||||||||||
15.48 | 1.90 | 802 | 1.66 | 1.76 | 0.90 | 61 |
The accompanying notes are an integral part of these financial statements. | 39 |
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
June 30, 2018 (Unaudited)
1. ORGANIZATION |
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”), along with their corresponding share classes and respective diversification status under the Act:
Fund | Share Classes Offered | Diversified/ Non-diversified | ||
Global Real Estate Securities | A, C, Institutional, Investor, P(a), R and R6 | Non-diversified | ||
International Real Estate Securities | A, C, Institutional, Investor, P(a) and R6 | Non-diversified | ||
Real Estate Securities | A, C, Institutional, Service, Investor, P(a), R and R6 | Non-diversified |
(a) | Commenced operations on April 17, 2018. |
Class A Shares of the Global Real Estate Securities, International Real Estate Securities, and Real Estate Securities Funds 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, Investor, Class P, 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 (“Goldman Sachs”), serves as Investment Adviser to the Funds pursuant 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, and securities lending income, if any. 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. Investment income is recorded net of any foreign withholding taxes, less any amounts reclaimable. The Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Funds’ investments in United States (“U.S.”) real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain or a return of capital. A return of capital is recorded by the Funds as a reduction to the cost basis of the REIT.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, 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
40
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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 according to the following schedule:
Fund | Income Distributions Declared/Paid | Capital Gains Distributions Declared/Paid | ||||
Global Real Estate Securities and Real Estate Securities | Quarterly | Annually | ||||
International Real Estate Securities | Semi-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.
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 translation. 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 |
U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Funds’ policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The 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).
41
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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’ investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a U.S. securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities are valued at the last bid price for long positions and at the last ask price for short positions. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price, and are generally classified as Level 2. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under 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.
Money Market Funds — Investments in the Goldman Sachs Financial Square Government 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.
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; 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.
42
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
C. Fair Value Hierarchy — The following is a summary of the Funds’ investments classified in the fair value hierarchy as of June 30, 2018:
GLOBAL REAL ESTATE SECURITIES |
| |||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Asia | $ | — | $ | 75,080,944 | $ | — | ||||||
Australia and Oceania | — | 13,457,485 | — | |||||||||
Europe | — | 56,998,319 | — | |||||||||
North America | 179,795,636 | — | — | |||||||||
Investment Company | 7,231,214 | — | — | |||||||||
Securities Lending Reinvestment Vehicle | 1,377,712 | — | — | |||||||||
Total | $ | 188,404,562 | $ | 145,536,748 | $ | — | ||||||
INTERNATIONAL REAL ESTATE SECURITIES | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Asia | $ | — | $ | 48,247,433 | $ | — | ||||||
Australia and Oceania | — | 9,833,339 | — | |||||||||
Europe | — | 40,880,903 | — | |||||||||
North America | 6,392,377 | — | — | |||||||||
Investment Company | 986,909 | — | — | |||||||||
Total | $ | 7,379,286 | $ | 98,961,675 | $ | — | ||||||
REAL ESTATE SECURITIES | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
North America | $ | 237,429,818 | $ | — | $ | — |
(a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of NAV. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Funds utilize fair value model prices provided by an independent third party (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.
43
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
4. 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.
As of June 30, 2018, contractual management fees with GSAM were at the following rates. The Effective Rate and Effective Net Management Rate represent the rates for the six month period ended June 30, 2018.
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 | ||||||||||||||||||||||||
Global Real Estate Securities | 0.93 | % | 0.84 | % | 0.80 | % | 0.78 | % | 0.76 | % | 1.01 | % | 0.93 | % | ||||||||||||||||
International Real Estate Securities | 0.95 | 0.95 | 0.86 | 0.81 | 0.80 | 1.02 | 0.95 | |||||||||||||||||||||||
Real Estate Securities | 0.87 | 0.78 | 0.74 | 0.73 | 0.71 | 0.96 | 0.87 |
^ | Effective Net Management Rate includes the impact of management fee waivers of affiliated Underlying Funds, if any. The Effective Net Management Rate may not correlate to the Contractual Management Rate as a result of management fee waivers that may be in effect from time to time. |
Prior to April 30, 2018, the contractual management fee rates for the Global Real Estate Securities Fund, International Real Estate Securities Fund and Real Estate Securities Fund were as stated below.
Fund | First $1 billion | Next $1 billion | Next $3 billion | Next $3 billion | Over $8 billion | |||||||||||||||||
Global Real Estate Securities | 1.05 | % | 0.95 | % | 0.90 | % | 0.88 | % | 0.86 | % | ||||||||||||
International Real Estate Securities | 1.05 | 1.05 | 0.95 | 0.90 | 0.88 | |||||||||||||||||
Real Estate Securities | 1.00 | 0.90 | 0.86 | 0.84 | 0.82 |
The Global Real Estate Securities, International Real Estate Securities and Real Estate Securities 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 the affiliated Underlying Fund in which the Funds invest, except those management fees it earns from the Funds’ investments of cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund. For the six months ended June 30, 2018, GSAM waived $3,603, $329 and $221 of the Global Real Estate Securities Fund, International Real Estate Securities Fund and Real Estate Securities Fund 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 rate of the average daily net assets attributable to Class A or Class R Shares of the Funds, as applicable, as set forth below.
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, as set forth below.
44
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
The Trust, on behalf of Service 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 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 Service Shares of the Funds, as set forth below.
Distribution and/or Service Plan Rates | ||||||||||||||||
Class A* | Class C | Class R* | Service | |||||||||||||
Distribution and/or Service Plans | 0.25 | % | 0.75 | % | 0.50 | % | 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 and/or Service Plans 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 June 30, 2018, Goldman Sachs advised that it retained the following amounts:
Front End Sales Charge | Contingent Deferred Sales Charge | |||||||||
Fund | Class A | Class C | ||||||||
Global Real Estate Securities | $ | 303 | $ | — | ||||||
International Real Estate Securities | 4 | 3 | ||||||||
Real Estate Securities | 561 | 3 |
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 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: 0.18% of the average daily net assets of Class A, Class C, Investor and Class R Shares; 0.03% of the average daily net assets of Class P and Class R6 Shares; and 0.04% of the average daily net assets of Institutional and Service Shares.
F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to limit certain “Other Expenses” of the Funds (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and 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 Funds are 0.004%. These Other Expense limitations will remain in place through at least April 30, 2019, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. Prior to April 30, 2018, the Other Expense limitation was 0.034% for the Global Real Estate Securities Fund. 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.
45
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the six months ended June 30, 2018, 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 | ||||||||||||||
Global Real Estate Securities | $ | 133,939 | $ | 96,957 | $ | — | $ | 230,896 | ||||||||||
International Real Estate Securities | 38,988 | 162,398 | 387 | 201,773 | ||||||||||||||
Real Estate Securities | 104,103 | 153,491 | 736 | 258,330 |
G. Line of Credit Facility — As of June 30, 2018, the Funds participated in a $770,000,000 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 June 30, 2018, the Funds did not have any borrowings under the facility. Prior to May 1, 2018 the facility was $1,100,000,000. The facility was decreased to $770,000,000 effective May 1, 2018.
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 June 30, 2018:
Fund | Beginning Value as of December 31, 2017 | Purchases at Cost | �� | Proceeds from Sales | Ending Value as of June 30, 2018 | Shares as of June 30, 2018 | Dividend Income from Affiliated Investment Company | |||||||||||||||||
Global Real Estate Securities | $ | 5,247,385 | $ | 76,927,904 | $ | (74,944,075 | ) | $ | 7,231,214 | 7,231,214 | $ | 34,312 | ||||||||||||
International Real Estate Securities | — | 14,203,734 | (13,216,825 | ) | 986,909 | 986,909 | 2,990 | |||||||||||||||||
Real Estate Securities | — | 17,631,347 | (17,631,347 | ) | — | — | 1,747 |
As of June 30, 2018, The Goldman Sachs Group, Inc. was the beneficial owner of the following Funds:
Percent of Share Class owned by Goldman Sachs Group, Inc. | ||||||||||||||||
Fund | Class C | Investor | Class R | Institutional | ||||||||||||
Global Real Estate Securities | 100 | % | 100 | % | 100 | % | 95 | % | ||||||||
International Real Estate Securities | — | 8 | — | — |
As of June 30, 2018, the following Goldman Sachs Fund of Funds Portfolios were beneficial owners of 5% or more of total outstanding shares of the following Funds.
Fund | Goldman Sachs Strategy Portfolio | Goldman Sachs Growth Strategy Portfolio | Goldman Sachs Satellite Strategies Portfolio | Goldman Sachs Tax-Advantaged Global Equity Portfolio | Goldman Sachs Equity Growth Strategy Portfolio | |||||||||||||||
Global Real Estate Securities | 12 | % | 19 | % | 28 | % | 19 | % | 7 | % |
46
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
5. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended June 30, 2018, were as follows:
Fund | Purchases | Sales | ||||||||
Global Real Estate Securities | $ | 142,311,419 | $ | 141,765,327 | ||||||
International Real Estate Securities | 30,875,787 | 45,668,207 | ||||||||
Real Estate Securities | 58,879,642 | 92,208,913 |
6. SECURITIES LENDING |
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and the terms and conditions contained therein, the Global Real Estate Securities Fund 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 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 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 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 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 Global Real Estate Securities Fund 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 Goldman Sachs 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 0.16% (prior to February 21, 2018, GSAM may have received 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 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 GSAL is unable to purchase replacement securities, GSAL will indemnify the Fund by paying the Fund 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 Fund’s loaned securities were all subject to enforceable Securities Lending Agreements and the value of the collateral was 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 June 30, 2018 are disclosed as “Payable upon return of securities loaned” on the Statements of Assets and Liabilities, where applicable.
Each of the Global Real Estate Securities Fund and GSAL received compensation relating to the lending of the Fund’s securities. The amounts earned, if any, by the Fund for the six months ended June 30, 2018, are reported under Investment Income on the Statements of Operations.
47
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
6. SECURITIES LENDING (continued) |
The table below details securities lending activity with affiliates of Goldman Sachs:
For the six months ended June 30, 2018 | ||||||||
Fund | Earnings of GSAL Relating to Securities Loaned | Amounts Received by the Fund from Lending to Goldman Sachs | ||||||
Global Real Estate Securities | $ | 2,085 | $ | 5,782 |
The following table provides information about the Funds’ investment in the Government Money Market Fund for the six months ended June 30, 2018:
Fund | Beginning Value as of December 31, 2017 | Purchases at Cost | Proceeds from Sales | Ending Value as of June 30, 2018 | ||||||||||||
Global Real Estate Securities | $ | — | $ | 24,531,424 | $ | (23,153,712 | ) | $ | 1,377,712 |
7. TAX INFORMATION |
As of the Funds’ most recent fiscal year end, December 31, 2017, the Funds’ capital loss carryforwards and certain timing differences, on a tax-basis were as follows:
Global Real Estate Securities | International Real Estate Securities | Real Estate Securities | ||||||||||
Capital loss carryforwards:(1) | ||||||||||||
Expiring 2018 | $ | — | $ | (18,621,372 | ) | $ | — | |||||
Perpetual Short-term | — | (882,488 | ) | — | ||||||||
Perpetual Long-term | (63,163 | ) | (9,383,767 | ) | — | |||||||
Total capital loss carryforwards | $ | (63,163 | ) | $ | (28,887,627 | ) | $ | — | ||||
Timing differences (Qualified Late Year Loss Deferral/Qualified Deferred Dividend/Post October Loss Deferral) | $ | 79,297 | $ | — | $ | 748,212 |
(1) | Expiration occurs on December 31 of the year indicated. |
As of June 30, 2018, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Global Real Estate Securities | International Real Estate Securities | Real Estate Securities | ||||||||||
Tax cost | $ | 323,434,662 | $ | 105,507,696 | $ | 169,506,902 | ||||||
Gross unrealized gain | 18,832,960 | 7,003,451 | 70,852,999 | |||||||||
Gross unrealized loss | (8,326,312 | ) | (6,170,186 | ) | (2,930,083 | ) | ||||||
Net unrealized gain | $ | 10,506,648 | $ | 833,265 | $ | 67,922,916 |
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, differences related to the tax treatment of passive foreign investment companies and real estate investment trust investments.
48
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
7. TAX INFORMATION (continued) |
GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
8. OTHER RISKS |
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 (including repatriation restrictions), 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, the Fund may be subjected, 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.
Industry Concentration Risk — Concentrating Fund investments in a limited number of issuers conducting business in the same industry or group of industries will subject a Fund to a greater risk of loss as a result of adverse economic, business, political, environmental or other developments than if its investments were diversified across different industries.
Investments in Other Investment Companies Risk — As a shareholder of another investment company, 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.
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.
49
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
8. OTHER RISKS (continued) |
Liquidity Risk — A Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Fund will not be able to pay redemption proceeds within the allowable time period because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. These risks may be more pronounced in connection with a Fund’s investments in securities of issuers located in emerging market countries.
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 Funds are non-diversified, meaning that they are permitted to invest a larger percentage of their assets in fewer issuers than diversified mutual funds. Thus, a Fund may be more susceptible to adverse developments affecting any single issuer held in its portfolio, and may be more susceptible to greater losses because of these developments.
9. INDEMNIFICATIONS |
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
10. SUBSEQUENT EVENTS |
Subsequent events after the 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.
50
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
11. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
Global Real Estate Securities Fund | ||||||||||||||||
|
| |||||||||||||||
For the Six Months Ended June 30, 2018 (Unaudited) | For the Fiscal Year Ended December 31, 2017 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 9,426 | $ | 94,180 | 171,268 | $ | 1,799,548 | ||||||||||
Reinvestment of distributions | 1,517 | 15,713 | 2,793 | 29,146 | ||||||||||||
Shares redeemed | (64,208 | ) | (657,465 | ) | (11,013 | ) | (115,935 | ) | ||||||||
(53,265 | ) | (547,572 | ) | 163,048 | 1,712,759 | |||||||||||
Class C Shares | ||||||||||||||||
Reinvestment of distributions | 23 | 240 | 50 | 523 | ||||||||||||
Shares redeemed | — | 5 | (992 | ) | (10,278 | ) | ||||||||||
23 | 245 | (942 | ) | (9,755 | ) | |||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 1,210,269 | 12,746,692 | 31,553,271 | 324,170,138 | ||||||||||||
Reinvestment of distributions | 11,994 | 122,587 | 657,437 | 6,861,006 | ||||||||||||
Shares redeemed | (32,813,450 | ) | (326,872,517 | ) | (3,192,300 | ) | (33,309,127 | ) | ||||||||
(31,591,187 | ) | (314,003,238 | ) | 29,018,408 | 297,722,017 | |||||||||||
Investor Shares(a) | ||||||||||||||||
Reinvestment of distributions | 36 | 378 | 71 | 737 | ||||||||||||
Shares redeemed | — | 5 | — | — | ||||||||||||
36 | 383 | 71 | 737 | |||||||||||||
Class P Shares(b) | ||||||||||||||||
Shares sold | 1,752,957 | 18,660,306 | — | — | ||||||||||||
Reinvestment of distributions | 14,503 | 152,711 | — | — | ||||||||||||
Shares redeemed | (12,381 | ) | (130,698 | ) | — | — | ||||||||||
1,755,079 | 18,682,319 | — | — | |||||||||||||
Class R Shares | ||||||||||||||||
Reinvestment of distributions | 30 | 308 | 57 | 593 | ||||||||||||
Shares redeemed | — | 5 | — | — | ||||||||||||
30 | 313 | 57 | 593 | |||||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 32,468,696 | 322,654,511 | — | — | ||||||||||||
Reinvestment of distributions | 419,895 | 4,361,644 | 76 | 784 | ||||||||||||
Shares redeemed | (2,847,102 | ) | (29,364,420 | ) | — | — | ||||||||||
30,041,489 | 297,651,735 | 76 | 784 | |||||||||||||
NET INCREASE | 152,205 | $ | 1,784,185 | 29,180,718 | $ | 299,427,135 |
(a) | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
(b) | Commenced operations on April 17, 2018. |
51
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
11. SUMMARY OF SHARE TRANSACTIONS (continued) |
International Real Estate Securities Fund | ||||||||||||||||
|
| |||||||||||||||
For the Six Months Ended June 30, 2018 (Unaudited) | For the Fiscal Year Ended December 31, 2017 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 32,094 | $ | 210,465 | 72,233 | $ | 440,986 | ||||||||||
Reinvestment of distributions | 8,287 | 52,788 | 30,269 | 190,118 | ||||||||||||
Shares redeemed | (65,506 | ) | (426,770 | ) | (370,268 | ) | (2,283,708 | ) | ||||||||
(25,125 | ) | (163,517 | ) | (267,766 | ) | (1,652,604 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 1,079 | 7,307 | 2,101 | 12,762 | ||||||||||||
Reinvestment of distributions | 761 | 4,862 | 4,442 | 27,993 | ||||||||||||
Shares redeemed | (29,368 | ) | (191,980 | ) | (82,201 | ) | (506,181 | ) | ||||||||
(27,528 | ) | (179,811 | ) | (75,658 | ) | (465,426 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 283,988 | 1,819,683 | 3,204,976 | 18,811,155 | ||||||||||||
Reinvestment of distributions | 22,073 | 136,190 | 973,468 | 5,911,924 | ||||||||||||
Shares redeemed | (17,437,087 | ) | (111,572,961 | ) | (39,049,037 | ) | (231,364,110 | ) | ||||||||
(17,131,026 | ) | (109,617,088 | ) | (34,870,593 | ) | (206,641,031 | ) | |||||||||
Investor Shares(a) | ||||||||||||||||
Shares sold | 4,418 | 28,739 | 49,028 | 289,344 | ||||||||||||
Reinvestment of distributions | 271 | 1,716 | 1,167 | 7,218 | ||||||||||||
Shares redeemed | (2,425 | ) | (15,677 | ) | (51,973 | ) | (319,485 | ) | ||||||||
2,264 | 14,778 | (1,778 | ) | (22,923 | ) | |||||||||||
Class P Shares(b) | ||||||||||||||||
Shares sold | 14,985,968 | 96,056,730 | — | — | ||||||||||||
Reinvestment of distributions | 230,581 | 1,418,076 | — | — | ||||||||||||
Shares redeemed | (341,697 | ) | (2,117,746 | ) | — | — | ||||||||||
14,874,852 | 95,357,060 | — | — | |||||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 210,581 | 1,315,213 | — | — | ||||||||||||
Reinvestment of distributions | 1,623 | 9,994 | 82 | 498 | ||||||||||||
Shares redeemed | (107,256 | ) | (679,827 | ) | — | — | ||||||||||
104,948 | 645,380 | 82 | 498 | |||||||||||||
NET DECREASE | (2,201,615 | ) | $ | (13,943,198 | ) | (35,215,713 | ) | $ | (208,781,486 | ) |
(a) | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
(b) | Commenced operations on April 17, 2018. |
52
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
11. SUMMARY OF SHARE TRANSACTIONS (continued) |
Real Estate Securities Fund | ||||||||||||||||
|
| |||||||||||||||
For the Six Months Ended June 30, 2018 (Unaudited) | For the Fiscal Year Ended December 31, 2017 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 163,098 | $ | 2,430,121 | 639,033 | $ | 11,521,192 | ||||||||||
Reinvestment of distributions | 16,958 | 256,720 | 405,796 | 6,351,489 | ||||||||||||
Shares redeemed | (598,884 | ) | (8,739,321 | ) | (1,573,157 | ) | (28,410,380 | ) | ||||||||
(418,828 | ) | (6,052,480 | ) | (528,328 | ) | (10,537,699 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 16,805 | 237,492 | 45,840 | 787,209 | ||||||||||||
Reinvestment of distributions | 3,293 | 47,883 | 141,534 | 2,112,895 | ||||||||||||
Shares redeemed | (284,889 | ) | (3,989,611 | ) | (228,395 | ) | (3,999,777 | ) | ||||||||
(264,791 | ) | (3,704,236 | ) | (41,021 | ) | (1,099,673 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 1,734,755 | 25,337,851 | 2,184,495 | 40,801,687 | ||||||||||||
Reinvestment of distributions | 80,328 | 1,222,389 | 2,431,191 | 39,332,107 | ||||||||||||
Shares redeemed | (10,766,167 | ) | (167,727,430 | ) | (12,834,900 | ) | (236,400,068 | ) | ||||||||
(8,951,084 | ) | (141,167,190 | ) | (8,219,214 | ) | (156,266,274 | ) | |||||||||
Service Shares | ||||||||||||||||
Shares sold | 18,733 | 270,886 | 34,219 | 593,259 | ||||||||||||
Reinvestment of distributions | 655 | 9,970 | 14,034 | 220,999 | ||||||||||||
Shares redeemed | (30,510 | ) | (442,666 | ) | (51,326 | ) | (946,589 | ) | ||||||||
(11,122 | ) | (161,810 | ) | (3,073 | ) | (132,331 | ) | |||||||||
Investor Shares(a) | ||||||||||||||||
Shares sold | 67,582 | 990,227 | 361,477 | 6,719,342 | ||||||||||||
Reinvestment of distributions | 6,221 | 94,563 | 124,404 | 1,962,666 | ||||||||||||
Shares redeemed | (201,258 | ) | (2,956,491 | ) | (254,851 | ) | (4,632,822 | ) | ||||||||
(127,455 | ) | (1,871,701 | ) | 231,030 | 4,049,186 | |||||||||||
Class P Shares(b) | ||||||||||||||||
Shares sold | 7,454,092 | 118,216,186 | — | — | ||||||||||||
Reinvestment of distributions | 51,616 | 824,815 | — | — | ||||||||||||
Shares redeemed | (56,867 | ) | (891,765 | ) | — | — | ||||||||||
7,448,841 | 118,149,236 | — | — | |||||||||||||
Class R Shares | ||||||||||||||||
Shares sold | 24,200 | 351,221 | 61,079 | 1,062,320 | ||||||||||||
Reinvestment of distributions | 853 | 12,796 | 21,933 | 339,658 | ||||||||||||
Shares redeemed | (60,214 | ) | (874,998 | ) | (109,624 | ) | (1,980,661 | ) | ||||||||
(35,161 | ) | (510,981 | ) | (26,612 | ) | (578,683 | ) | |||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 87,153 | 1,263,045 | 10,998 | 208,993 | ||||||||||||
Reinvestment of distributions | 830 | 12,912 | 2,249 | 35,755 | ||||||||||||
Shares redeemed | (26,332 | ) | (400,066 | ) | (1,268 | ) | (23,928 | ) | ||||||||
61,651 | 875,891 | 11,979 | 220,820 | |||||||||||||
NET DECREASE | (2,297,949 | ) | $ | (34,443,271 | ) | (8,575,239 | ) | $ | (164,344,654 | ) |
(a) | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
(b) | Commenced operations on April 17, 2018. |
53
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Fund Expenses — Six Month Period Ended June 30, 2018 (Unaudited)
As a shareholder of Class A, Class C, Institutional, Service, Investor, Class P, 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 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 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, Investor, Class P, 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 January 1, 2018 through June 30, 2018, which represents a period of 181 days of a 365 day year. The Class P example is based on the period from April 17, 2018 through June 30, 2018, which represents a period of 74 out of 365 days. The Class P example for hypothetical expenses reflects projected activity for the period from January 1, 2018 through June 30, 2018 for the purposes of comparability. This projection assumes that annualized expense ratios were in effect during the period.
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.
Global Real Estate Securities Fund | International Real Estate Securities Fund | Real Estate Securities Fund | ||||||||||||||||||||||||||||||||||
Share Class | Beginning Account Value 01/01/18 | Ending Account Value 06/30/18 | Expenses Paid for the | Beginning 01/01/18 | Ending 06/30/18 | Expenses Paid for the 6 Months Ended 06/30/18* | Beginning Account Value 01/01/18 | Ending Account Value 06/30/18 | Expenses Paid for the 6 Months Ended 06/30/18* | |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,003.40 | $ | 6.85 | $ | 1,000 | $ | 998.90 | $ | 6.84 | $ | 1,000 | $ | 1,012.80 | $ | 6.49 | ||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,017.95 | + | 6.90 | 1,000 | 1,017.95 | + | 6.90 | 1,000 | 1,018.35 | + | 6.51 | ||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,000.10 | 10.56 | 1,000 | 995.50 | 10.54 | 1,000 | 1,009.30 | 10.21 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,014.23 | + | 10.64 | 1,000 | 1,014.23 | + | 10.64 | 1,000 | 1,014.63 | + | 10.24 | ||||||||||||||||||||||||
Institutional | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,005.80 | 4.97 | 1,000 | 1,002.30 | 4.91 | 1,000 | 1,014.20 | 4.54 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,019.84 | + | 5.01 | 1,000 | 1,019.89 | + | 4.96 | 1,000 | 1,020.28 | + | 4.56 | ||||||||||||||||||||||||
Service | ||||||||||||||||||||||||||||||||||||
Actual | N/A | N/A | N/A | N/A | N/A | N/A | 1,000 | 1,012.20 | 7.03 | |||||||||||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | N/A | N/A | N/A | 1,000 | 1,017.80 | + | 7.05 | ||||||||||||||||||||||||||
Investor | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,005.70 | 5.62 | 1,000 | 1,000.10 | 5.60 | 1,000 | 1,013.20 | 5.24 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,019.19 | + | 5.66 | 1,000 | 1,019.19 | + | 5.66 | 1,000 | 1,019.59 | + | 5.26 | ||||||||||||||||||||||||
Class P(a) | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,033.80 | 1.98 | 1,000 | 983.70 | 1.97 | 1,000 | 1,083.30 | 1.90 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,020.03 | + | 4.81 | 1,000 | 1,019.93 | + | 4.91 | 1,000 | 1,020.33 | + | 4.51 | ||||||||||||||||||||||||
Class R | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,002.40 | 8.09 | N/A | N/A | N/A | 1,000 | 1,011.10 | 7.73 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,016.71 | + | 8.15 | N/A | N/A | N/A | 1,000 | 1,017.11 | + | 7.75 | |||||||||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,005.50 | 4.87 | 1,000 | 1,002.50 | 4.87 | 1,000 | 1,014.90 | 4.50 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,019.93 | + | 4.91 | 1,000 | 1,019.93 | + | 4.91 | 1,000 | 1,020.33 | + | 4.51 |
+ | 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. |
* | 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 June 30, 2018. 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 | Investor | Class P(a) | Class R | Class R6 | ||||||||||||||||||||||||
Global Real Estate Securities | 1.38 | % | 2.13 | % | 1.00 | % | N/A | 1.13 | % | 0.96 | % | 1.63 | % | 0.98 | % | |||||||||||||||||
International Real Estate Securities | 1.38 | 2.13 | 0.99 | N/A | 1.13 | 0.98 | N/A | 0.98 | ||||||||||||||||||||||||
Real Estate Securities | 1.30 | 2.05 | 0.91 | 1.41 | % | 1.05 | 0.90 | 1.55 | 0.90 |
(a) | Commenced operations on April 17, 2018. |
54
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
The Goldman Sachs Global Real Estate Securities Fund, Goldman Sachs International Real Estate Securities Fund, and Goldman Sachs Real Estate Securities Fund (the “Funds”) are investment portfolios of Goldman Sachs Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Funds at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Funds.
The Management Agreement was most recently approved for continuation until June 30, 2019 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 13-14, 2018 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held four meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to each Fund, such matters included:
(a) | the nature and quality of the advisory, administrative, and other services provided to the Fund by the Investment Adviser and its affiliates, including information about: |
(i) | the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams; |
(ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training); |
(iii) | trends in employee headcount; |
(iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
(v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
(b) | information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), a benchmark performance index, and (in the case of the International Real Estate Securities Fund) a composite of accounts with comparable investment strategies managed by the Investment Adviser; and information on general investment outlooks in the markets in which the Fund invests; |
(c) | information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Fund’s peer group and/or benchmark index had high, medium, or low relevance given the Fund’s particular investment strategy; |
(d) | the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund; |
(e) | fee and expense information for the Fund, including: |
(i) | the relative management fee and expense levels of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; |
(ii) | the Fund’s expense trends over time; and |
(iii) | to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
(f) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; |
(g) | the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations; |
(h) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund to the Investment Adviser and its affiliates; |
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GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
(i) | whether the Fund’s existing management fee schedule adequately addressed any economies of scale; |
(j) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, (in the case of the Global Real Estate Securities Fund and International Real Estate Securities Fund) securities lending, portfolio trading, distribution and other services; |
(k) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
(l) | information regarding commissions paid by the Fund and broker oversight, an update on the Investment Adviser’s soft dollars practices, other information regarding portfolio trading, and how the Investment Adviser carries out its duty to seek best execution; |
(m) | portfolio manager ownership of Fund shares; the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers; |
(n) | the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and |
(o) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports. |
The Trustees also received an overview of the Funds’ distribution arrangements. They received information regarding the Funds’ assets, share purchase and redemption activity, and payment of distribution, service, and shareholder administration fees, as applicable. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Funds and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Funds. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Funds by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the regulatory and control environment in which the Funds and their service providers operate, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Funds and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Funds and the Investment Adviser and its affiliates.
Investment Performance
The Trustees also considered the investment performance of the Funds. In this regard, they compared the investment performance of each Fund to its peers using rankings and (except the Global Real Estate Securities Fund) ratings compiled by the Outside Data Provider as of December 31, 2017, and updated performance information prepared by the Investment Adviser using
56
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
the peer group identified by the Outside Data Provider as of March 31, 2018. The information on each Fund’s investment performance was provided for the one-, three-, five-, and ten-year periods ending on the applicable dates, to the extent that each Fund had been in existence for those periods. The Trustees also reviewed each Fund’s investment performance relative to its performance benchmark. As part of this review, they considered the investment performance trends of the Funds over time, and reviewed the investment performance of each Fund in light of its investment objective and policies and market conditions. The Trustees also received information comparing the International Real Estate Securities Fund’s performance to that of a composite of accounts with comparable investment strategies managed by the Investment Adviser.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Funds’ risk profiles, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management.
The Trustees noted that the Global Real Estate Securities Fund’s Institutional Shares had placed in the fourth quartile of the Fund’s peer group and had underperformed the Fund’s benchmark index for the one-year period ended March 31, 2018. They observed that the International Real Estate Securities Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the one- and three-year periods and in the fourth quartile for the five- and ten-year periods, and had outperformed the Fund’s benchmark index for the one-year period and underperformed for the three-, five-, and ten-year periods ended March 31, 2018. The Trustees considered that the International Real Estate Securities Fund has a “global” peer group and benchmark that contemplates investments in U.S. and non-U.S. securities, whereas the Fund invests only in non-U.S. securities. They also noted that the International Real Estate Securities Fund had experienced certain portfolio management changes in the first half of 2018. The Trustees considered that the Real Estate Securities Fund’s Institutional Shares had placed in the third quartile of the Fund’s peer group for the five- and ten-year periods and in the fourth quartile for the one- and three-year periods, and had underperformed the Fund’s benchmark index for the one-, three-, five-, and ten-year periods ended March 31, 2018.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by each Fund thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Funds, which included both advisory and administrative services that were directed to the needs and operations of the Funds as registered mutual funds.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Funds. The analyses provided a comparison of each Fund’s management fee and breakpoints to those of a relevant peer group and category universe; an expense analysis which compared each Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing each Fund’s net expenses to the peer and category medians. The analyses also compared each Fund’s transfer agency, custody and distribution fees, other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Funds.
The Trustees noted that each Fund’s management fee breakpoint schedule had been reduced at all asset levels since the Management Agreement was last approved. In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Funds, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Funds differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.
In addition, the Trustees noted that shareholders are able to redeem their Fund shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Profitability
The Trustees reviewed each Fund’s contribution to the Investment Adviser’s revenues and pre-tax profit margins. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be
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GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization had audited the expense allocation methodology and that the internal audit group was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology and profitability analysis calculations. Profitability data for each Fund was provided for 2017 and 2016, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability.
Economies of Scale
The Trustees considered the information that had been provided regarding whether there have been economies of scale with respect to the management of the Funds. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreement for each of the Funds at the following annual percentage rates of the average daily net assets of the Funds:
Global Real Estate Fund | International Real Estate Securities Fund | Real Estate Fund | ||||||||||
First $1 billion | 0.93 | % | 0.95 | % | 0.87 | % | ||||||
Next $1 billion | 0.84 | 0.95 | 0.78 | |||||||||
Next $3 billion | 0.80 | 0.86 | 0.74 | |||||||||
Next $3 billion | 0.78 | 0.81 | 0.73 | |||||||||
Over $8 billion | 0.76 | 0.80 | 0.71 |
The Trustees noted that the breakpoints were designed to share potential economies of scale, if any, with the Funds and their shareholders as assets under management reach those asset levels. The Trustees considered the amounts of assets in the Funds; the Funds’ recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer groups; and the Investment Adviser’s undertaking to limit certain expenses of the Funds that exceed specified levels. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Funds as stated above, including: (a) transfer agency fees received by Goldman Sachs & Co. LLC (“Goldman Sachs”); (b) brokerage commissions earned by Goldman Sachs for executing securities transactions on behalf of the Funds; (c) research received by the Investment Adviser from broker-dealers in exchange for executing certain transactions on behalf of the Funds; (d) trading efficiencies resulting from aggregation of orders of the Funds with those for other funds or accounts managed by the Investment Adviser; (e) (in the case of the Global Real Estate Securities Fund and International Real Estate Securities Fund) fees earned by Goldman Sachs Agency Lending (“GSAL”), an affiliate of the Investment Adviser, as securities lending agent (and fees earned by the Investment Adviser for managing the fund in which the Funds’ cash collateral is invested); (f) the Investment Adviser’s ability to leverage the infrastructure designed to service the Funds on behalf of its other clients; (g) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (h) Goldman Sachs’ retention of certain fees as Fund Distributor; (i) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Funds; and (j) the possibility that the working relationship between the Investment Adviser and the Funds’ third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
Other Benefits to the Funds and Their Shareholders
The Trustees also noted that the Funds receive certain potential benefits as a result of their relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Funds with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors because of the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers because of the volume of business generated by the Investment Adviser and its affiliates; (d) the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (e) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Funds because of the reputation of the Goldman Sachs organization; (f) the Funds’ access, through the Investment Adviser, to certain
58
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
firmwide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; (g) the Funds’ ability to participate in the securities lending program administered by GSAL, as measured by the revenue received by the Funds in connection with the program; and (h) the Funds’ access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Funds’ shareholders invested in the Funds in part because of the Funds’ relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by each of the Funds were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and each Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit each Fund and its shareholders and that the Management Agreement should be approved and continued with respect to each Fund until June 30, 2019.
59
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 $1.30 trillion in assets under supervision as of June 30, 2018, 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
∎ | Enhanced Income Fund |
∎ | High Quality Floating Rate Fund |
∎ | Short-Term Conservative Income Fund |
∎ | Short Duration Government Fund |
∎ | Short Duration Income Fund |
∎ | Government Income Fund |
∎ | Inflation Protected Securities Fund |
Multi-Sector
∎ | Bond Fund |
∎ | Core Fixed Income Fund |
∎ | Global Income Fund |
∎ | Strategic Income Fund |
Municipal and Tax-Free
∎ | High Yield Municipal Fund |
∎ | Dynamic Municipal Income Fund |
∎ | Short Duration Tax-Free Fund |
Single Sector
∎ | Investment Grade Credit Fund |
∎ | U.S. Mortgages Fund |
∎ | High Yield Fund |
∎ | High Yield Floating Rate Fund |
∎ | Emerging Markets Debt Fund |
∎ | Local Emerging Markets Debt Fund |
∎ | Total Emerging Markets Income Fund4 |
Fixed Income Alternatives
∎ | Long Short Credit Strategies Fund |
Fundamental Equity
∎ | Equity Income Fund |
∎ | Small Cap Value Fund |
∎ | Small/Mid Cap Value Fund |
∎ | Mid Cap Value Fund |
∎ | Large Cap Value Fund |
∎ | Focused Value Fund |
∎ | Capital Growth Fund |
∎ | Strategic Growth Fund |
∎ | Small/Mid Cap Growth Fund |
∎ | Flexible Cap Fund |
∎ | Concentrated Growth Fund |
∎ | Technology Opportunities Fund |
∎ | Growth Opportunities Fund |
∎ | Rising Dividend Growth Fund |
∎ | Blue Chip Fund5 |
∎ | Income Builder 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
∎ | International Equity Income Fund6 |
∎ | International Equity ESG Fund7 |
∎ | Asia Equity Fund |
∎ | Emerging Markets Equity Fund |
∎ | N-11 Equity Fund |
∎ | ESG Emerging Markets Equity Fund |
Select Satellite
∎ | Real Estate Securities Fund |
∎ | International Real Estate Securities Fund |
∎ | Commodity Strategy Fund |
∎ | Global Real Estate Securities Fund |
∎ | Alternative Premia Fund8 |
∎ | Absolute Return Tracker Fund |
∎ | Managed Futures Strategy Fund |
∎ | MLP Energy Infrastructure Fund |
∎ | MLP & Energy 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 |
∎ | Target Date 2060 Portfolio |
∎ | GQG Partners International Opportunities Fund |
∎ | Tactical Exposure 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 after the close of business on December 26, 2017, the Goldman Sachs Dynamic Emerging Markets Debt Fund was renamed the Goldman Sachs Total Emerging Markets Income Fund. |
5 | Effective after the close of business on October 31, 2017, the Goldman Sachs Dynamic U.S. Equity Fund was renamed the Goldman Sachs Blue Chip Fund. |
6 | Effective after the close of business on February 27, 2018, the Goldman Sachs Strategic International Equity Fund was renamed the Goldman Sachs International Equity Income Fund. |
7 | Effective after the close of business on February 27, 2018, the Goldman Sachs Focused International Equity Fund was renamed the Goldman Sachs International Equity ESG Fund. |
8 | Effective after the close of business on October 30, 2017, the Goldman Sachs Dynamic Allocation Fund was renamed the Goldman Sachs Alternative Premia 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 Jessica Palmer, Chair Kathryn A. Cassidy Diana M. Daniels Herbert J. Markley James A. McNamara Roy W. Templin Gregory G. Weaver | OFFICERS James A. McNamara, President Scott M. McHugh, Treasurer, Senior Vice President and Joseph F. DiMaria, Assistant Treasurer 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
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.
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 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 Funds file their complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q are available on the SEC’s web site at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. Forms N-Q may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).
Holdings and allocations shown are as of June 30, 2018 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus or summary prospectus, if applicable. Investors should consider a Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the prospectus carefully before investing or sending money. The summary prospectus, if available, and the prospectus contain this and other information about a Fund and may be obtained from your authorized dealer or from Goldman Sachs & Co. LLC by calling (retail – 1-800-526-7384) (institutional – 1-800-621-2550).
© 2018 Goldman Sachs. All rights reserved. 138622-OTU-813649 RESSAR-18/3.2k
Goldman Sachs Funds
Semi-Annual Report | June 30, 2018 | |||
Select Satellite Funds | ||||
Absolute Return Tracker | ||||
Alternative Premia* | ||||
Commodity Strategy | ||||
Managed Futures Strategy |
*Effective after the close of business on October 30, 2017, the Goldman Sachs Dynamic Allocation Fund was renamed the Goldman Sachs Alternative Premia Fund.
Goldman Sachs Select Satellite Funds
∎ | ABSOLUTE RETURN TRACKER |
∎ | ALTERNATIVE PREMIA |
∎ | COMMODITY STRATEGY |
∎ | MANAGED FUTURES STRATEGY |
1 | ||||
23 | ||||
66 | ||||
70 | ||||
98 | ||||
124 |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee |
PORTFOLIO RESULTS
Goldman Sachs Absolute Return Tracker Fund
Investment Objective
The Fund’s investment objective is to seek to deliver long-term total return consistent with investment results that approximate the return and risk patterns of a diversified universe of hedge funds.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies (“QIS”) Team discusses the Goldman Sachs Absolute Return Tracker Fund’s (the “Fund”) performance and positioning for the six-month period ended June 30, 2018 (“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, Investor, R and R6 Shares generated cumulative total returns, without sales charges, of 0.54%, 0.23%, 0.73%, 0.63%, 0.33% and 0.73%, respectively. These returns compare to the -0.85% cumulative total return of the Fund’s benchmark, the HFRX Global Hedge Fund Index (net of management, administrative and performance/incentive fees) (the “HFRX Global Hedge Fund Index”)1, during the same time period. |
For the period since their inception on April 17, 2018 through June 30, 2018, the Fund’s Class P shares generated a cumulative total return of 0.10%. This compares to the -0.76% cumulative total return of the HFRX Global Hedge Fund Index during the same time period. |
Q | What economic and market factors most influenced the hedge fund asset class as a whole during the Reporting Period? |
A | Hedge funds, as measured by the HFRX Global Hedge Fund Index, overall posted losses, albeit modest, during the Reporting Period, following their strongest calendar year performance in four years in 2017. Event driven hedge funds were weakest, with the HFRX Event Driven Index returning -4.49%. Global macro hedge funds also posted negative returns, with the HFRX Macro/CTA Index returning -1.81% for the Reporting Period. Relative value hedge funds performed best during the Reporting Period, with the HFRX Relative Value Arbitrage Index returning 2.20%. Equity long/short hedge funds, as measured by the HFRX Equity Hedge Index generated a modestly positive return of 0.24%. |
As the Reporting Period began, hedge funds were up overall, with the HFRX Global Hedge Fund Index gaining 2.45% for the first month of 2018. Global equities rallied in January, particularly in the U.S., as the S&P 500 Index posted a gain of 5.73% amidst a backdrop of strong earnings growth. Global government bond yields edged higher toward late January. The U.S. dollar depreciated against many global currencies during the month, including the British pound sterling, euro and Japanese yen. Commodities gained broadly across energy, precious metals and agriculture sectors. Hedge funds gained across styles in January, led by global macro hedge funds. Hedge funds were then down overall in February 2018, with the HFRX Global Hedge Fund Index returning -2.42% for the month. Global equities declined sharply on the back of market speculation of a faster pace of interest rate hikes, which stoked a sharp rise in volatility. U.S. government bond yields rose during the month, while European government bond yields declined modestly. The U.S. dollar was mixed against global currencies, and agricultural commodities posted gains, while energy and metals declined. Global macro hedge funds, event driven hedge funds and equity long/short hedge funds overall lost ground; relative value hedge funds eked out a modest gain in February. Hedge funds overall posted losses in March 2018, with the HFRX Global Hedge Fund Index returning -0.98%. Equities were down across geographies on the back of escalating trade tensions and tariffs. Government bond yields declined overall for the month, and the U.S. dollar was mixed against global currencies. Hedge funds were down |
1The | HFRX Global Hedge Fund Index is a trademark of Hedge Fund Research, Inc. (“HFR”). HFR has not participated in the formation of the Fund. HFR does not endorse or approve the Fund or make any recommendation with respect to investing in the Fund. |
1
PORTFOLIO RESULTS
across all four major styles in March 2018, with event driven hedge funds posting the largest declines. |
Hedge funds were slightly up overall in April 2018. The HFRX Global Hedge Fund Index returned 0.09% for the month. Equities were generally up in April across geographies, albeit mixed across sectors in the U.S. Government bond yields increased overall; oil prices rose; and the U.S. dollar strengthened against global currencies. Hedge funds were mixed across styles in April 2018, with macro, relative value and event driven managers posting modest gains for the month, and equity long/short managers posting modest declines. Hedge funds were slightly up overall in May 2018, with the HFRX Global Hedge Fund Index returning 0.26% for the month. Equities were mixed across geographies, with U.S. equities posting gains on the back of strong economic data, while European and emerging market equities declined against a backdrop of geopolitical and trade uncertainty. Government bond yields declined in May 2018; commodities generally posted gains; and the U.S. dollar strengthened against global currencies. For the month, relative value, equity long/short and event driven hedge fund indices posted modest gains, while the macro index was slightly down. Hedge funds were slightly down overall in June 2018, with the HFRX Global Hedge Fund Index returning -0.19% for the month. Equities were mixed in June across geographies, with U.S. equities posting modest gains, while emerging market equities declined sharply against a backdrop of escalating trade tensions between the U.S. and China. The U.S. Federal Reserve (the “Fed”) increased its targeted federal funds rate in June, its second increase of the calendar year; the U.S. dollar gained against most global currencies; and commodities delivered mixed performance across sectors. For the month of June 2018, hedge funds were mixed across styles, with equity long/short and event driven hedge funds losing ground overall, and macro and relative value hedge funds as a whole posting modest gains. |
Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
A | We believe hedge funds derive a large portion of their returns from exposure to sources of market risk. The Fund uses a quantitative methodology in combination with a qualitative overlay to seek to identify the Market Exposures, or sources of market risk, that approximate the return and risk patterns of specific hedge fund indices. The Fund’s quantitative methodology seeks to allocate the Fund’s exposure to each Hedge Fund Sub-Strategy such that the Fund’s investment results approximate the return and risk patterns of a diversified universe of hedge funds. During the Reporting Period, the Fund’s Equity Long/Short and Event Driven Hedge Fund Sub-Strategies contributed positively to performance on an absolute basis, while its Macro Hedge Fund Sub-Strategy detracted from absolute performance. The Fund’s Relative Value Hedge Fund Sub-Strategy had a rather neutral effect on performance during the Reporting Period. |
Among the four Sub-Strategies, the Fund’s Equity Long/Short Hedge Fund Sub-Strategy contributed most positively to the Fund’s absolute return during the Reporting Period. Long exposure to single-name stocks to which hedge funds had large investments (based on 13F filings with the Securities & Exchange Commission (“SEC”)) and technology stocks contributed the most. Conversely, long exposure to emerging market equities and short exposure to U.S. growth equities detracted from results. |
The Fund’s Event Driven Hedge Fund Sub-Strategy also contributed to the Fund’s results during the Reporting Period, with the strongest performance from long exposure to U.S. small cap equities and senior bank loans. The Fund’s Event Driven S&P 500 put writing strategy and long exposure to U.S. high yield credit detracted most from results during the Reporting Period. (Put options are most commonly used in the stock market to protect against the decline of the price of a stock below a specified price. If the price of the stock declines below the specified price of the put option, the owner/buyer of the put has the right, but not the obligation, to sell the asset at the specified price, while the seller of the put has the obligation to purchase the asset at the strike price if the owner uses the right to do so (the owner/buyer is said to exercise the put or put option).) |
The Fund’s Macro Hedge Fund Sub-Strategy detracted from the Fund’s return on an absolute basis during the Reporting Period. Weak performance from the trend-following strategy outweighed gains from long exposure to a broad commodity index. |
The Fund’s Relative Value Hedge Fund Sub-Strategy had a rather neutral effect on the Fund’s performance during the Reporting Period. The Relative Value S&P 500 put writing strategy as well as long exposure to European high yield credit detracted from the Sub-Strategy’s results, while its convertible arbitrage strategy and long exposure to senior bank loans contributed positively. |
In addition to the asset classes mentioned above, the Fund was invested in a variety of developed and emerging market equities, short-term interest rates, government bonds, |
2
PORTFOLIO RESULTS
currencies, credit, real estate and commodities during the Reporting Period. |
Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
A | The Fund used exchange-traded index futures contracts to gain exposure to U.S. large-cap and small-cap equities, non-U.S. developed market equities including those in Europe, the U.K. and Japan, emerging markets equities, commodities, government bonds and short-term interest rates. The Fund used currency forward contracts to gain exposure to select developed and emerging market currencies of non-U.S. developed markets. The Fund used total return swaps to gain exposure to U.S. large cap growth and value equities, a broad commodity index, Master Limited Partnerships, and developed market and developed market growth equity indices. The Fund also used listed put options on the S&P 500 Index within the put writing sub-strategies to gain exposure to U.S. large cap equities. Lastly, the Fund used exchange-traded credit default swaps to gain exposure to high yield and investment grade credit markets across the U.S. and Europe. Overall, the use of derivatives had a negative impact on the Fund’s performance during the Reporting Period. |
Q | Were there any changes made in the Fund’s investment strategy during the Reporting Period? |
A | The Fund’s Equity Long/Short Hedge Fund Sub-Strategy was enhanced in May 2018, with the addition of four new market-neutral factors—global long/short growth, global long/short momentum, global long/short quality, and global long/short value. These factors are implemented with long positions in single-name stocks across developed regions in the case of the global long/short momentum, global long/short quality, and global long/short value factors and long exposure to a developed market growth equity index in the case of the long/short growth factor as well as short exposure to broad market indices across all four factors. We believe this enhancement may improve our ability to deliver the risk and return profile of equity long/short hedge fund managers. |
Q | How was the Fund positioned at the end of the Reporting Period? |
A | At the end of the Reporting Period, the Fund had a 47% allocation to the Equity Long/Short Hedge Fund Sub-Strategy, 27% to the Macro Hedge Fund Sub-Strategy, 19% to the Relative Value Hedge Fund Sub-Strategy and 7% to the Event Driven Hedge Fund Sub-Strategy. |
Q | What is the Fund’s tactical view and strategy going forward? |
A | In the coming months, we intend to remain focused on the Fund’s investment objective of seeking to deliver long-term total return consistent with investment results that approximate the return and risk patterns of a diversified universe of hedge funds. We understand that the hedge fund industry is dynamic, and to keep pace, we seek to understand trends in the hedge fund industry by digesting information from a number of sources, including hedge fund return databases, prime brokerage reports, hedge fund consultants, regulatory filings and other public sources. Additionally, we emphasize ongoing research and continued process and model enhancement, which we can implement through our scalable, robust technological platform. |
3
FUND BASICS
Absolute Return Tracker Fund
as of June 30, 2018
PERFORMANCE REVIEW |
| |||||||||
January 1, 2018–June 30, 2018 | Fund Total Return (based on NAV)1 | HFRX Global Hedge Fund Index2 | ||||||||
Class A | 0.54 | % | -0.85 | % | ||||||
Class C | 0.23 | -0.85 | ||||||||
Institutional | 0.73 | -0.85 | ||||||||
Investor | 0.63 | -0.85 | ||||||||
Class R | 0.33 | -0.85 | ||||||||
Class R6 | 0.73 | -0.85 | ||||||||
April 17, 2018–June 30, 2018 | ||||||||||
Class P | 0.10 | % | -0.76 | % |
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 HFRX Global Hedge Fund Index is designed to be representative of the overall composition of the hedge fund universe. It is comprised of all eligible hedge fund strategies, including but not limited to convertible arbitrage, distressed securities, equity hedge, equity market neutral, event driven, macro, merger arbitrage, and relative value arbitrage. The strategies are asset weighted based on the distribution of assets in the hedge fund industry. The index is investable through products managed by HFR Asset Management, LLC that track HFRX Indices. The HFRX Global Hedge Fund Index is a trademark of HFR. HFR has not participated in the formation of the Fund. HFR does not endorse or approve the Fund or make any recommendation with respect to investing in the Fund. It is not possible to invest directly in an index. |
STANDARDIZED TOTAL RETURNS3 | ||||||||||||||||||||
For the period ended 6/30/18 | One Year | Five Years | Ten Year | Since Inception | Inception Date | |||||||||||||||
Class A | -1.36 | % | 2.49 | % | 0.77 | % | 0.50 | % | 5/30/08 | |||||||||||
Class C | 2.61 | 2.89 | 0.59 | 0.32 | 5/30/08 | |||||||||||||||
Institutional | 4.73 | 4.05 | 1.75 | 1.47 | 5/30/08 | |||||||||||||||
Investor | 4.62 | 3.90 | 1.60 | 1.32 | 5/30/08 | |||||||||||||||
Class P | N/A | N/A | N/A | 0.10 | 4/17/18 | |||||||||||||||
Class R | 4.14 | 3.38 | 1.08 | 0.81 | 5/30/08 | |||||||||||||||
Class R6 | 4.75 | N/A | N/A | 3.33 | 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). Effective July 30, 2018, Class C Shares convert automatically to Class A Shares on or about the fifteenth day of the last month of the calendar quarter that is ten years after the purchase date. The Since Inception returns for Class C Shares do not reflect the conversion to Class A Shares after the first ten years of performance. Because Institutional, Investor, Class P, 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.
4
FUND BASICS
EXPENSE RATIOS4 |
| |||||||||
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
Class A | 1.17 | % | 1.33 | % | ||||||
Class C | 1.92 | 2.08 | ||||||||
Institutional | 0.78 | 0.94 | ||||||||
Investor | 0.92 | 1.08 | ||||||||
Class P | 0.77 | 0.93 | ||||||||
Class R | 1.42 | 1.58 | ||||||||
Class R6 | 0.77 | 0.93 |
4 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to contractual arrangements, the Fund’s waivers and/or expense limitations will remain in place through at least April 30, 2019, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
FUND COMPOSITION5 |
5 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. Certain of the Fund’s investments reflected in the table above may be held for the purpose of covering derivative positions as required under the Investment Company Act of 1940, as amended, or for satisfying certain margin requirements related to such positions. The above graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
5
PORTFOLIO RESULTS
Goldman Sachs Alternative Premia Fund
Investment Objective
The Fund seeks long-term absolute return.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies (“QIS”) Team discusses the Goldman Sachs Alternative Premia Fund’s (the “Fund”) performance and positioning for the six-month period ended June 30, 2018 (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, Investor, R and R6 Shares generated cumulative total returns, without sales charges, of -1.57%, -1.91%, -1.32%, -1.44%, -1.60% and -1.33%, respectively. These returns compare to the 0.92% cumulative total return of the Fund’s benchmark, the ICE® Bank of America Merrill Lynch® USD LIBOR 3-Month Constant Maturity Index (the “LIBOR Three-Month Index”). The Fund’s former benchmark, the ICE® BofAML® USD LIBOR One-Month Constant Maturity Index had a cumulative return of 0.86% for the Reporting Period. The Fund’s former secondary benchmark, the Dynamic Allocation Fund Composite Index, composed 60% of the MSCI All Country World Index Investable Market Index (net, unhedged) (“MSCI ACWI IMI”) and 40% of the Bloomberg Barclays Global Aggregate Bond Index (Gross, USD, hedged) (“Barclays Bond Index”), returned -0.01% during the same period. The MSCI ACWI IMI and Barclays Bond Index posted cumulative total returns of -0.18% and 0.07%, respectively, during the same period. |
For the period since their inception on April 17, 2018 through June 30, 2018, the Fund’s Class P Shares generated a cumulative total return of 1.02%. This compares to the -0.49% cumulative total return of the LIBOR Three-Month Index during the same time period. The ICE® BofAML® USD LIBOR One-Month Constant Maturity Index, the Dynamic Allocation Fund Composite Index, the MSCI ACWI IMI and the Barclays Bond Index posted cumulative total returns of 0.39%, -0.76%, -1.42% and 0.23%, respectively, during the same period. |
We note that the Fund’s benchmark being the LIBOR Three-Month Index is a means of emphasizing that the Fund has an unconstrained strategy. That said, this Fund employs a benchmark agnostic strategy and thus comparisons to a benchmark index are not particularly relevant. |
The Fund’s overall annualized volatility was 6.01% during the Reporting Period. To compare, the overall annualized volatility of the S&P® 500 Index during the same time period was 16.32%. |
Q | What were the primary contributors to and detractors from the Fund’s performance based on your team’s asset allocation decisions during the Reporting Period? |
A | Overall, the Fund realized negative absolute returns during the Reporting Period. From an asset class perspective, alternative risk premia in equities and commodities detracted the most from performance. (Alternative risk premia are multi-asset, quantitatively driven investment strategies that seek to capture diversified sources of returns.) On the upside, allocations to currency and fixed income premia contributed positively. |
Many asset classes experienced significant trend reversals during the first quarter of 2018 and the early part of the second quarter of 2018, especially commodities and equities. Therefore, from a style perspective, momentum-typed premia detracted the most from performance. Value-typed premia also detracted from performance, especially within equities. On the other hand, structural-typed premia contributed positively to performance. Carry-typed premia also contributed positively, albeit to a lesser extent. Momentum styles seek to exploit the tendency for recent relative price movements to continue in the near future. Value styles seek to take advantage of the tendency for assets with low or high market prices to revert to their fundamental valuation. Structural styles seek to profit from anomalies or mispricing present in the market. Carry styles seek to capitalize on the tendency for higher yielding assets to outperform lower yielding assets. |
6
PORTFOLIO RESULTS
Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
A | During the Reporting Period, the Fund allocated to alternative risk premia across a range of asset classes, which may include equities, fixed income, credit, currencies and commodities. The Fund used derivative instruments to gain exposure to these asset classes. Instruments traded included foreign exchange forward contracts, options, futures contracts and options and swaps on futures contracts, credit, currency, index, interest rate, and total return swaps. The use of these instruments is integral to the Fund’s current investment strategy, which realized negative absolute returns during the Reporting Period. |
Q | What is the Fund’s asset allocation view and strategy for the months ahead? |
A | The Fund is a multi-alternative solution that seeks to deliver long-term absolute return differentiated from those returns of core equities and fixed income markets. The Fund maintains a diversified set of exposures across equities, fixed income, currencies, commodities and credit. At the end of the Reporting Period, we maintained conviction in our diversified approach and intend to continue to manage the Fund consistent with stated objectives. There is no guarantee that the Fund’s diversified alternative investment strategies will cause it to achieve its investment objective. |
7
FUND BASICS
Alternative Premia Fund
as of June 30, 2018
PERFORMANCE REVIEW |
| |||||||||||||||||||||||||
January 1, 2018– | Fund Total (based on NAV)1 | ICE BofA Merrill Lynch | ICE BofA Merrill Lynch USD LIBOR One-Month Constant Maturity Index3 | Dynamic Allocation Fund Composite Index4 | MSCI All Country World Index Investable Market Index5 | Bloomberg Barclays Global Aggregate Bond Index6 | ||||||||||||||||||||
Class A | -1.57 | % | 0.92 | % | 0.86 | % | -0.01 | % | -0.18 | % | 0.07 | % | ||||||||||||||
Class C | -1.91 | 0.92 | 0.86 | -0.01 | -0.18 | 0.07 | ||||||||||||||||||||
Institutional | -1.32 | 0.92 | 0.86 | -0.01 | -0.18 | 0.07 | ||||||||||||||||||||
Investor | -1.44 | 0.92 | 0.86 | -0.01 | -0.18 | 0.07 | ||||||||||||||||||||
Class R | -1.60 | 0.92 | 0.86 | -0.01 | -0.18 | 0.07 | ||||||||||||||||||||
Class R6 | -1.33 | 0.92 | 0.86 | -0.01 | -0.18 | 0.07 | ||||||||||||||||||||
April 17, 2018–June 30, 2018 | ||||||||||||||||||||||||||
Class P | 1.02 | % | 0.49 | % | 0.39 | % | -0.76 | % | -1.42 | % | 0.23 | % |
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 reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The ICE Bank of America Merrill Lynch USD LIBOR Three-Month 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. |
3 | The ICE Bank of America Merrill Lynch USD LIBOR One-Month Constant Maturity 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 business day (priced at a yield equal to the current day fixing rate) and rolled into a new instrument. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
4 | The Dynamic Allocation Fund Composite Index is comprised 60% of the MSCI ACWI IMI Index and 40% of the Bloomberg Barclays Global Aggregate Bond Index. |
5 | The MSCI All Country World Index Investable Market Index (“MSCI ACWI IMI Index”) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. As of June 30, 2018, the MSCI ACWI IMI Index consists of 47 country indices comprising 23 developed and 24 emerging market country indices. The developed market country indexes included are: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the United Kingdom and the United States. The emerging market country indexes included are: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
6 | The Bloomberg Barclays Global Aggregate Bond Index (the “Barclays Bond Index”) provides a broad-based measure of the global investment-grade fixed income markets. The three major components of the Barclays Bond Index are the U.S. Aggregate, the Pan-European Aggregate, and the Asian-Pacific Aggregate Indices. The Barclays Bond Index also includes Eurodollar and Euro-Yen corporate bonds, Canadian government, agency and corporate securities, and USD investment grade 144A securities. The Barclays Bond Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an 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
8
FUND BASICS
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
STANDARDIZED TOTAL RETURNS7 | ||||||||||||||||
For the period ended 6/30/2018 | One Year | Five Years | Since Inception | Inception Date | ||||||||||||
Class A | 1.62 | % | 2.44 | % | 2.90 | % | 1/5/10 | |||||||||
Class C | 5.77 | 2.84 | 2.84 | 1/5/10 | ||||||||||||
Institutional | 8.07 | 4.01 | 4.01 | 1/5/10 | ||||||||||||
Investor | 7.91 | 3.85 | 3.85 | 1/5/10 | ||||||||||||
Class P | N/A | N/A | 1.02 | 4/17/18 | ||||||||||||
Class R | 7.40 | 3.35 | 3.35 | 1/5/10 | ||||||||||||
Class R6 | 7.97 | N/A | 4.46 | 7/31/15 |
7 | The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 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, Investor, Class P, 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 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 RATIOS8 | ||||||||||
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
Class A | 1.34 | % | 1.48 | % | ||||||
Class C | 2.09 | 2.23 | ||||||||
Institutional | 0.95 | 1.09 | ||||||||
Investor | 1.09 | 1.23 | ||||||||
Class P | 0.94 | 1.08 | ||||||||
Class R | 1.59 | 1.73 | ||||||||
Class R6 | 0.94 | 1.08 |
8 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to contractual arrangements, the Fund’s waivers and/or expense limitations will remain in place through at least April 30, 2019, 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
FUND COMPOSITION9 |
9 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. Certain of the Fund’s investments reflected in the table above may be held for the purpose of covering derivative positions as required under the Investment Company Act of 1940, as amended, or for satisfying certain margin requirements related to such positions. The above graph may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
10
GOLDMAN SACHS COMMODITY STRATEGY FUND
What Differentiates the Goldman Sachs Commodity Investment Process?
At Goldman Sachs Asset Management, L.P. (“GSAM”), the goal of our commodity investment process is to provide consistent, strong performance by actively managing our portfolios within a research-intensive, risk-managed framework.
Goldman Sachs’ Commodity Investment Process
Our commodity investment process emphasizes the importance of both short-term, tactical opportunities and long-term investment views. Our team-based approach to managing the Goldman Sachs Commodity Strategy Fund ensures continuity and idea sharing among some of the industry’s most experienced fixed income specialists. We pursue strong, consistent performance across commodity markets through:
The Goldman Sachs Commodity Strategy Fund primarily gains exposure to the performance of the commodity markets through investment in a wholly-owned subsidiary of the Fund organized as a company under the laws of the Cayman Islands (the “Subsidiary”). The Subsidiary invests primarily in commodity-linked swaps (which may include total return swaps), as well as other commodity-linked securities and derivative instruments that provide exposure to the performance of the commodities markets, and in fixed income and debt instruments. The Fund’s portfolio is designed to provide exposure that corresponds to the investment return of assets that trade in the commodity markets without direct investment in physical commodities.
The Fund implements enhanced cash strategies that capitalize on GSAM’s global fixed income expertise. The Fixed Income Team will employ the full spectrum of capabilities offered, including bottom-up strategies (credit, mortgages, governments /municipals, high yield, and emerging markets debt) and top-down strategies (duration, cross-sector, currency and country) in an attempt to enhance the return of the Fund.
A Commodity Fund that:
∎ | Provides exposure to the commodity markets without direct investment in physical commodities |
∎ | Utilizes commodity-linked swaps that provide economic exposure to movements in commodity prices |
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PORTFOLIO RESULTS
Goldman Sachs Commodity Strategy Fund
Investment Objective
The Fund seeks long-term total return.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Commodities Team discusses the Goldman Sachs Commodity Strategy Fund’s (the “Fund”) performance and positioning for the six-month period ended June 30, 2018 (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, Investor, R and R6 Shares generated cumulative total returns, without sales charges, of 8.85%, 8.44%, 9.01%, 8.97%, 8.69% and 9.01%, respectively. These returns compare to the 10.36% cumulative total return of the Fund’s benchmark, the S&P GSCI® Total Return Index (Gross, USD, Unhedged, formerly the Goldman Sachs Commodity Index) (the “S&P GSCI®”), during the same period. |
For the period since their inception on April 17, 2018 through June 30, 2018, the Fund’s Class P shares generated a cumulative total return of 4.61%. This compares to the 5.30% cumulative total return of the S&P GSCI® during the same time period. |
Q | What economic and market factors most influenced the commodities markets as a whole during the Reporting Period? |
A | Commodities markets overall, as measured by the S&P GSCI®, posted solid positive returns during the Reporting Period, though there was great dispersion in returns amongst various individual commodities during the Reporting Period. By comparison to the S&P GSCI® return of 10.36% for the Reporting Period, the S&P 500® Index and the ICE® U.S. Dollar Index (“DXY”) returned 2.65% and 2.74%, respectively.1 |
During the Reporting Period, commodities markets overall rose on fundamental strength but with geopolitical hindrance and uncertainty surrounding actual and potential tariffs imposed by the U.S. Administration and escalating trade tensions dominating the direction of various commodity prices. Several commodities, such as oil and gold, were also affected as increased concerns of slower European Union and Chinese economic growth, exacerbated by potentially increasing trade frictions, contributed to a stronger U.S. dollar. Against this backdrop, commodity price volatility heightened during the Reporting Period compared to calendar year 2017. |
Q | Which commodity subsectors were strongest during the Reporting Period? |
A | The energy component of the S&P GSCI® was strongest and indeed was the only commodity subsector to post a positive absolute return during the Reporting Period, with a gain of 19.7%. Still, there was great dispersion within the subsector. West Texas Intermediate (“WTI”) crude oil returned 24.9%, and Brent crude oil returned 23.1%. Natural gas returned 0.5%. |
Oil prices rallied to start the year 2018, driven by a tighter market due to ongoing compliance with production cuts by Organization of the Petroleum Exporting Countries (“OPEC”) and unexpected disruptions in key pipelines globally. Prices were supported by a firm U.S. stance on Iran sanctions and uncertainty surrounding the June 2018 OPEC summit. Although the summit ended with the appearance of a near-term ramping up of production, conflicting statements helped oil prices sustain at higher levels as did lower production expectations from Venezuela and Libya. WTI further benefited toward the end of the Reporting Period from reduced crude flows to Cushing, Oklahoma, caused by an outage in the largest producer of crude oil in Canada and from the U.S. Administration warning companies from buying Iranian oil. Brent crude performed even better than WTI crude in the last months of the Reporting Period due to high production and inventory levels for WTI crude oil compared with Brent crude oil, which had been moderated |
1 | The S&P 500® Index is the Standard & Poor’s 500 Composite Index of 500 stocks, an unmanaged index of common stock prices. The DXY is a measure of the general international value of the U.S. dollar as calculated by averaging the exchange rates between the U.S. dollar and six major world currencies. |
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PORTFOLIO RESULTS
by OPEC and Russia’s collaboration to control production, a deal announced in March 2018. |
Q | Which commodity subsectors were weakest during the Reporting Period? |
A | The industrial metals subsector was the weakest performer during the Reporting Period. The industrial metals subsector, as measured by the S&P GSCI® Industrial Metals Index, returned -5.7% for the Reporting Period overall. Industrial metals moved lower as the threat of tariffs and trade wars raised concerns about demand out of China for copper and other metals. Of the industrial metals, all posted negative returns, with aluminum, nickel and lead in particular hurt by a rising U.S. dollar. Nickel was the single exception, posting double-digit positive returns. |
Precious metals similarly posted negative returns, with the precious metals subsector of the S&P GSCI® returning -4.7% during the Reporting Period. Precious metals were particularly affected by rising U.S. Treasury yields, which reduced the relative appeal of gold and silver, each a non-yielding asset. The increase in the DYX during the Reporting Period also dulled demand for gold, a U.S.-dollar denominated metal. |
The agriculture component of the S&P GSCI® was also weak, returning -3.3% during the Reporting Period. Still, grains prices were mixed. Soybean prices fell sharply on the back of record supply expectations in the U.S., with a healthy harvest in 2017 and a healthy planting season year to date through June 30, 2018. Also, tensions in the trade relationship between China and the U.S. led to uncertainty about whether China, one of the largest buyers and consumers of U.S. soybeans, would purchase the grain in the fall. Wheat prices, however, rallied on reduced planting acreage and poor growing conditions globally. Outside of the grains, sugar, coffee and corn each posted negative returns during the Reporting Period, while cotton and cocoa generated solid positive returns. Cocoa was the best performing commodity in the entirety of the S&P GSCI®, benefiting from Cote d’Ivoire and Ghana announcing plans to work together to strengthen the cocoa market and set price floors to better manage global prices, which had been weighed down over the past two years by higher than expected levels of production. |
Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
A | The Fund generated solid positive absolute returns but underperformed the S&P GSCI® during the Reporting Period. The Fund generally matched the exposures of the S&P GSCI® with no material deviations via commodity index-linked swaps. However, we did maintain a deferred WTI crude oil position that detracted from relative performance as oil markets rallied. This was the main driver of deviations in the Fund’s performance from the S&P GSCI® during the Reporting Period. Our enhanced cash management strategy added value, albeit modest, during the Reporting Period. |
Q | How did the Fund’s enhanced roll-timing strategies impact performance during the Reporting Period? |
A | Our enhanced roll-timing strategies, implemented via exposure to commodity index-linked swaps, detracted from returns for the Reporting Period overall. We employ an approach whereby we do not take active views on individual commodities but rather gain Fund exposure to commodities through investments whose performance is linked to commodity indices. |
We often implement commodity roll-timing strategies by deviating from the S&P GSCI® roll convention, which typically calls for rolling forward exposure at the front, or near-month, end of the futures curve on a monthly basis. The roll occurs during business days 5 through 9. To the extent our team believes fundamental or technical developments will impact the futures roll-timing decision, we will incorporate those views into the portfolio by electing to roll positions earlier, later, forward or in different weights versus the S&P GSCI® roll. However, through most of the Reporting Period, we maintained the Fund’s position along with the S&P GSCI® in the front month across the stack of commodities curves, a position implemented toward the end of 2016. Since the front month contracts are more sensitive to market dynamics, the Fund’s positions reflected our bullish view on commodity markets. During the fourth quarter of 2017, we had implemented a deferred WTI crude oil position reflecting our views that the U.S. market would see greater pressure relative to global markets, a position we maintained through the Reporting Period. This position detracted from relative returns. |
Q | How did you implement the Fund’s enhanced cash management strategy? |
A | In addition to seeking value through management of the commodities portion of the Fund’s portfolio, we also attempt to add a modest amount of excess return through thoughtful management of collateral held in the Fund. The cash portion |
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PORTFOLIO RESULTS
of the Fund’s portfolio is typically allocated to high-grade collateral that includes U.S. Treasury securities, agency debentures, mortgage-backed securities and short-term fixed income instruments. During the Reporting Period, we favored high quality government and agency securities for the Fund’s collateral allocation. |
Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
A | As mentioned earlier in some detail, the Fund used commodity index-linked total return swaps in implementing our enhanced roll-timing strategies in order to gain exposure to the commodities markets. In implementing our enhanced cash management strategy, the Fund used futures, options, interest rate swaps and forward sales contracts, which are agency mortgage-backed derivatives used in purchasing a future issuance of agency mortgage-backed securities. The use of these instruments is integral to the Fund’s investment strategy, which, overall, realized positive absolute returns during the Reporting Period. |
Q | Did you make any changes in the Fund’s strategy or allocations during the Reporting Period? |
A | We did not make any significant changes in the Fund’s strategy or allocations during the Reporting Period. |
Q | How was the Fund positioned at the end of the Reporting Period? |
A | At the end of the Reporting Period, the Fund was, for the most part, positioned along with S&P GSCI® in the front month across the stack of commodities curves, except for the deferred exposure to WTI crude oil. The Fund held exposure to the commodities underlying the S&P GSCI® through customized swaps in the Subsidiary. (The Subsidiary has the same objective as the Fund but unlike the Fund may invest without limitation in commodity index-linked securities, such as swaps and futures that provide exposure to the performance of the commodity markets.) |
The cash portion of the Fund’s portfolio was allocated across various fixed income sectors, with an emphasis on the higher quality, lower volatility segments of the market, such as U.S. government and government-sponsored bonds. |
Q | What is the Fund’s view and strategy going forward? |
A | At the end of the Reporting Period, we were bullish on crude oil heading into the second half of 2018. OPEC had decided during the Reporting Period to lift crude production starting on July 1, 2018, after reducing output since the start of 2017. However, in our view, such production increases are likely to be offset by potential supply disruptions and minimal spare capacity in global oil inventories. The pace of U.S. shale oil production increases has exceeded market expectations and are likely to move higher with prices above $60 per barrel, in our opinion. Yet, this production increase has been paired with constrained pipeline capacity. |
We held a bearish view of grains at the end of the Reporting Period, as key markets remained well supplied with healthy global inventories. The strong harvest of 2017 in the U.S. left inventories elevated. However, the market was pricing in, at the end of the Reporting Period, material weather premiums, as we head into the South American harvest. |
We were slightly bearish on industrials metals broadly, and on copper in particular, heading into the second half of 2018, after a disappointing first half due to concerns around the near-term growth prospects of China and amid rising trade tensions with the U.S. As for the precious metals, we believe gold prices are likely to remain suppressed unless or until the U.S. dollar weakens versus other major currencies. |
Irrespective of directionality, we believe the market will continue to hold opportunities for the active, relative value investor. |
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FUND BASICS
Commodity Strategy Fund
as of June 30, 2018
PERFORMANCE REVIEW |
| |||||||||
January 1, 2018–June 30, 2018 | Fund Total Return (based on NAV)1 | S&P GSCI®2 | ||||||||
Class A | 8.85 | % | 10.36 | % | ||||||
Class C | 8.44 | 10.36 | ||||||||
Institutional | 9.01 | 10.36 | ||||||||
Investor | 8.97 | 10.36 | ||||||||
Class R | 8.69 | 10.36 | ||||||||
Class R6 | 9.01 | 10.36 | ||||||||
April 17, 2018–June 30, 2018 | ||||||||||
Class P | 4.61 | % | 5.30 | % |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance 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 GSCI® is an unmanaged composite index of commodity sector returns, representing an unleveraged, long-only investment in commodity futures that is broadly diversified across the spectrum of commodities. Individual components qualify for inclusion in the S&P GSCI® on the basis of liquidity and are weighted by their respective world production quantities. The figures for the S&P GSCI® 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 6/30/18 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
Class A | 21.09 | % | -9.87 | % | -12.97 | % | -7.16 | % | 3/30/07 | |||||||||||
Class C | 24.80 | -9.69 | -13.23 | -7.48 | 3/30/07 | |||||||||||||||
Institutional | 27.25 | -8.75 | -12.35 | -6.50 | 3/30/07 | |||||||||||||||
Investor | 26.99 | -8.79 | -12.34 | -8.36 | 11/30/07 | |||||||||||||||
Class P | N/A | N/A | N/A | 4.61 | 4/17/18 | |||||||||||||||
Class R | 26.37 | -9.32 | -12.81 | -8.85 | 11/30/07 | |||||||||||||||
Class R6 | 27.14 | N/A | N/A | 0.19 | 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 4.5% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Effective July 30, 2018, Class C Shares convert automatically to Class A Shares on or about the fifteenth day of the last month of the calendar quarter that is ten years after the purchase date. The Since Inception returns for Class C Shares do not reflect the conversion to Class A Shares after the first ten years of performance. Because Institutional, Investor, Class P, 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 | 0.96 | % | 1.16 | % | ||||||
Class C | 1.71 | 1.91 | ||||||||
Institutional | 0.62 | 0.82 | ||||||||
Investor | 0.71 | 0.91 | ||||||||
Class P | 0.61 | 0.81 | ||||||||
Class R | 1.21 | 1.41 | ||||||||
Class R6 | 0.61 | 0.81 |
4The | 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 contractual arrangements, the Fund’s waivers and/or expense limitations will remain in place through at least April 30, 2019, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
FUND COMPOSITION5 |
5The | 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. Certain of the Fund’s investments reflected in the table above may be held for the purpose of covering derivative positions as required under the Investment Company Act of 1940, as amended, or for satisfying certain margin requirements related to such positions. The above graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
6Mortgage-backed | securities are guaranteed by the Government National Mortgage Association (“GNMA”), Federal National Mortgage Association (“FNMA”) or Federal Home Loan Mortgage Corp. (“FHLMC”). GNMA instruments are backed by the full faith and credit of the United States Government. |
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PORTFOLIO RESULTS
Goldman Sachs Managed Futures Strategy Fund
Investment Objective
The Fund seeks to generate long-term absolute return.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs Managed Futures Strategy Fund’s (the “Fund”) performance and positioning for the six-month period ended June 30, 2018 (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, Investor and R Shares generated cumulative total returns, without sales charges, of -3.20%, -3.54%, -3.14%, -3.16% and -3.35%, respectively. These returns compare to the 0.86% cumulative total return of the Fund’s benchmark, the ICE® Bank of America Merrill Lynch® USD LIBOR One-Month Constant Maturity Index (the “LIBOR One-Month Index”), during the same time period. |
For the period since their inception on April 17, 2018 through June 30, 2018, the Fund’s Class P shares generated a cumulative total return of -3.50%. This compares to the 0.39% cumulative total return of the LIBOR One-Month Index during the same time period. |
For the period since their inception on April 30, 2018 through June 30, 2018, the Fund’s Class R6 shares generated a cumulative total return of -1.54%. This compares to the 0.32% cumulative total return of the LIBOR One-Month Index during the same time period. |
We note that the Fund’s benchmark being the LIBOR One-Month Index is a means of emphasizing that the Fund has an unconstrained strategy. That said, this Fund employs a benchmark agnostic strategy and thus comparisons to a benchmark index are not particularly relevant. |
The Fund’s overall annualized volatility was 7.50% during the Reporting Period, while the overall annualized volatility of the S&P® 500 Index during the same time period was 16.32%. |
Q | What were the primary contributors to and detractors from the Fund’s performance during the Reporting Period? |
A | The Fund implements a trend-following strategy that takes long and/or short positions in a wide range of asset classes, including equities, fixed income and currencies, among others, to seek long-term absolute return. The Fund seeks to achieve its investment objective by investing primarily in a portfolio of equities, equity index futures, bonds, bond futures, equity swaps, interest rate swaps, currency forwards and non-deliverable forwards, options, exchange-traded funds (“ETFs”) and structured securities. As a result of the Fund’s use of derivatives, the Fund may also hold significant amounts of U.S. Treasuries or short-term investments. The Fund’s investments are made without restriction as to issuer capitalization, country, currency, maturity or credit rating. |
Negative Fund performance for the Reporting Period overall was most concentrated in February and May 2018, as the Fund was down by more than 2% in each of those two months. On the upside, the Fund posted strong positive performance in January 2018, with the Fund gaining 4.18% in that month. |
During the Reporting Period, long exposures to developed market currencies and to emerging market equities were the largest asset class-level detractors from the Fund’s returns. Geopolitical uncertainty in the emerging markets and U.S. interest rate strength edged the U.S. dollar higher against global currencies, causing the Fund’s long positions in developed market currencies to detract, especially long positions in the Norwegian krone and New Zealand dollar during the first quarter of 2018. Emerging market equities experienced strong trend reversals due to geopolitical uncertainty around the U.S.-North Korea summit, escalation of trade tensions between the U.S. and China, worker strikes in Brazil, and unfavorable policy implications in the Mexican political elections. As emerging market equities had experienced strong positive trends in 2017, the Fund was long most emerging market equity markets going into 2018. While the Fund’s long positions in emerging market equities contributed positively in January 2018 amid the equity |
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PORTFOLIO RESULTS
market rally that had begun in the prior year, these positions detracted in February and March 2018, especially long positions in South African and South Korean equities. By the end of the Reporting Period, the Fund had switched to an overall net short exposure to emerging market equities. |
Conversely, allocations to short-term interest rates and opportunistic strategies were the largest asset class-level positive contributors to the Fund’s performance during the Reporting Period. While the Fund held net long exposures in global short-term interest rates, it maintained short exposure to U.S. short-term interest rates in particular. This position contributed positively to the Fund’s performance, as the Federal Reserve (the “Fed”) raised the targeted federal funds rate twice during the Reporting Period—in March and June 2018. The Fund’s opportunistic strategies also contributed positively to the Fund’s performance. Indeed, in early February 2018, global equities reversed course and declined sharply on the back of market speculation of a faster pace of interest rate hikes by the Fed and sudden shifts in the volatility markets. While this sudden trend reversal caused the Fund’s long equity positions to detract from performance, the Fund’s short-term opportunistic strategies led to a reduction in the Fund’s overall long equity position, especially during days that experienced large equity sell offs, contributing positively. |
Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
A | The Fund used derivatives, including futures, swaps and forwards, to implement long and short positions. The Fund invested in equity index futures and currency forwards to achieve exposure to equities (both in U.S. and non-U.S. companies) and currencies (U.S. and non-U.S. currencies), respectively. The Fund used interest rate swaps and currency forwards to achieve exposure to fixed income. We used sector-based commodity-linked structured notes and commodity futures as a means of expressing momentum/trend views on various commodity assets. The use of these instruments is integral to the Fund’s investment strategy and contributed negatively to the Fund’s absolute returns as a whole during the Reporting Period. |
Q | What positioning changes did you make within the Fund during the Reporting Period? |
A | In 2017, equities had rallied, with the S&P 500® Index (Total Return) achieving positive returns for every month of the calendar year. Consequently, the Fund was long developed market equities and emerging market equities throughout the first quarter of 2018. We subsequently reduced the level of long exposures in these two market segments following the global equity sell-off in February 2018. The Fund had short exposure to longer-dated fixed income and long exposure to shorter-dated fixed income. Due to weakness in the U.S. dollar during the latter half of 2017, the Fund was long global currencies throughout the first quarter of 2018. Additionally, the Fund was long commodities overall and specifically long energy (West Texas Intermediate crude oil and Brent crude oil), as oil prices experienced a strong rebound in the latter half of 2017. |
Throughout the second quarter of 2018, the Fund maintained its long positions in developed market equities, while first reducing its long positions and then switching to short positions in emerging market equities, as trends in those markets reversed. The Fund maintained its short exposure to long-term fixed income and its long exposure to short-term fixed income, with the exception of April 2018 when the Fund had net short exposure to short-term fixed income. Additionally, as the U.S. dollar appreciated against global currencies following the Fed’s interest rate hikes, the Fund switched from long to short positions in global currencies in May 2018. The Fund also reduced its long exposure to commodities throughout the second quarter of 2018 and shifted to short exposure to commodities overall toward the end of June 2018. |
Q | What is the Fund’s tactical asset allocation view and strategy for the months ahead? |
A | Going into the second half of 2018, we intend to continue to seek to identify price trends in various asset classes over short-, medium- and long-term horizons via a proprietary investment model. Upon identifying a trend in a given instrument or asset, the Fund may take a long or short position in the instrument or asset. Long positions benefit from an increase in price of the underlying instrument or asset, while short positions benefit from a decrease in price of the underlying instrument or asset. The size of the Fund’s position in an instrument or asset is primarily related to the strength of the overall trend identified by the investment model. |
Going forward, the Fund seeks to maintain economic exposure to commodities markets by investing in a wholly-owned subsidiary of the Fund organized as a company under the laws of the Cayman Islands (the “Subsidiary”) and in commodity index-linked notes. The Subsidiary primarily obtains its commodity exposure investing in futures and swaps instruments. The Subsidiary may also hold bonds or |
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PORTFOLIO RESULTS
other instruments, including fixed income securities, either as investments or to serve as margin or collateral for its swap positions. |
We continue to believe that the Fund’s trend-following strategy is important because it attempts to adapt to changing markets, seeking what we believe are opportunities with the highest potential for investment and attempting to manage risk when the markets become unstable. There is no guarantee that the Fund’s trend-following strategy will cause it to achieve its investment objective. |
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FUND BASICS
Managed Futures Strategy Fund
as of June 30, 2018
PERFORMANCE REVIEW |
| |||||||||
January 1, 2018–June 30, 2018 | Fund Total Return (based on NAV)1 | ICE BofA Merrill Lynch USD LIBOR One-Month Constant Maturity Index2 | ||||||||
Class A | -3.20 | % | 0.86 | % | ||||||
Class C | -3.54 | 0.86 | ||||||||
Institutional | -3.14 | 0.86 | ||||||||
Investor | -3.16 | 0.86 | ||||||||
Class R | -3.35 | 0.86 | ||||||||
April 17, 2018–June 30, 2018 | ||||||||||
Class P | -3.50 | % | 0.39 | % | ||||||
April 30, 2018–June 30, 2018 | ||||||||||
Class R6 | -1.54 | % | 0.32 | % |
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 ICE Bank of America Merrill Lynch US Dollar LIBOR One-Month Constant Maturity 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 business day (priced at a yield equal to the current day fixing rate) and rolled into a new instrument. 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 6/30/18 | One Year | Five Years | Since Inception | Inception Date | ||||||||||||||
Class A | -6.01 | % | 0.78 | % | -0.10 | % | 2/29/12 | |||||||||||
Class C | -2.23 | 1.16 | 0.02 | 2/29/12 | ||||||||||||||
Institutional | -0.20 | 2.33 | 1.16 | 2/29/12 | ||||||||||||||
Investor | -0.30 | 2.17 | 1.02 | 2/29/12 | ||||||||||||||
Class P | N/A | N/A | -3.50 | 4/17/18 | ||||||||||||||
Class R | -0.71 | 1.69 | 0.53 | 2/29/12 | ||||||||||||||
Class R6 | N/A | N/A | -1.54 | 4/30/18 |
3 | The Standardized Total Returns or cumulative total returns (only if the performance period is one year or less) 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, Investor, Class P, 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 | 1.64 | % | 1.86 | % | ||||||
Class C | 2.39 | 2.61 | ||||||||
Institutional | 1.25 | 1.47 | ||||||||
Investor | 1.39 | 1.61 | ||||||||
Class P | 1.24 | 1.46 | ||||||||
Class R | 1.89 | 2.11 | ||||||||
Class R6 | 1.24 | 1.46 |
4 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to contractual arrangements, the Fund’s waivers and/or expense limitations will remain in place through at least April 30, 2019, and prior to such date the Investment Adviser may not terminate the arrangements without the approval of the Fund’s Board of Trustees. If these arrangements are discontinued in the future, the expense ratios may change without shareholder approval. |
FUND COMPOSITION5 |
5 | The Fund is actively managed and, as such, its composition may differ over time. The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. Certain of the Fund’s investments reflected in the table above may be held for the purpose of covering derivative positions as required under the Investment Company Act of 1940, as amended, or for satisfying certain margin requirements related to such positions. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
21
PORTFOLIO RESULTS
Index Definitions
HFRX Event Driven Index: Event Driven Managers maintain positions in companies currently or prospectively involved in corporate transactions of a wide variety including but not limited to mergers, restructurings, financial distress, tender offers, shareholder buybacks, debt exchanges, security issuance or other capital structure adjustments. Security types can range from most senior in the capital structure to most junior or subordinated, and frequently involve additional derivative securities. Event Driven exposure includes a combination of sensitivities to equity markets, credit markets and idiosyncratic, company specific developments. Investment theses are typically predicated on fundamental characteristics (as opposed to quantitative), with the realization of the thesis predicated on a specific development exogenous to the existing capital structure.*
HFRX Relative Value Arbitrage Index: Relative Value investment managers maintain positions in which the investment thesis is predicated on realization of a valuation discrepancy in the relationship between multiple securities. Managers employ a variety of fundamental and quantitative techniques to establish investment theses, and security types range broadly across equity, fixed income, derivative or other security types. Fixed income strategies are typically quantitatively driven to measure the existing relationship between instruments and, in some cases, identify attractive positions in which the risk adjusted spread between these instruments represents an attractive opportunity for the investment manager. Relative Value position may be involved in corporate transactions also, but as opposed to Event Driven exposures, the investment thesis is predicated on realization of a pricing discrepancy between related securities, as opposed to the outcome of the corporate transaction.*
HFRX Equity Hedge Index: Equity Hedge strategies maintain positions both long and short in primarily equity and equity derivative securities. A wide variety of investment processes can be employed to arrive at an investment decision, including both quantitative and fundamental techniques; strategies can be broadly diversified or narrowly focused on specific sectors and can range broadly in terms of levels of net exposure, leverage employed, holding period, concentrations of market capitalizations and valuation ranges of typical portfolios. Equity Hedge managers would typically maintain at least 50%, and may in some cases be substantially entirely invested in equities, both long and short.*
HFRX Macro/CTA Index: Active Trading strategies utilize active trading methods, typically with high frequency position turnover or leverage; these may employ components of both Discretionary and Systematic Macro strategies. Strategies may contain distinct, identifiable sub-strategies, such as equity hedge or equity market neutral, or in some cases a number of sub-strategies are blended together without the capacity for portfolio level disaggregation. Strategies employ an investment process based on systematic, quantitative evaluation of macroeconomic variables in which the portfolio positioning is predicated on convergence of differentials between markets, not necessarily highly correlated with each other, but currently diverging from their historical levels of correlation. Strategies focus on fundamental relationships across geographic areas both inter and intra-asset classes, and typical holding periods are shorter than trend following or discretionary strategies. Active Trading strategies are distinct from other macro in that they characteristically emphasize rapid market response to new information and high volume of turnover in liquid but frequently volatile and unstable market positions.*
S&P GSCI® Industrial Metals Index: The S&P GSCI® Industrial Metals Index provides investors with a reliable and publicly available benchmark for investment performance in the industrial metals market.
* | Indicates index definition was sourced from Hedge Fund Research (HFR). The indexes are trademarks of HFR. HFR has not participated in the formation of the Funds. HFR does not endorse or approve the Funds or make any recommendation with respect to investing in the Funds. |
22
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments
June 30, 2018 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 24.5% | ||||||||
Automobiles & Components – 0.5% | ||||||||
8,100 | BorgWarner, Inc. | $ | 349,596 | |||||
1,800 | Bridgestone Corp. | 70,313 | ||||||
2,100 | Cie Generale des Etablissements Michelin SCA | 254,054 | ||||||
1,000 | Continental AG | 227,578 | ||||||
200 | Denso Corp. | 9,759 | ||||||
4,100 | Faurecia SA | 291,454 | ||||||
400 | Ferrari NV | 54,068 | ||||||
21,500 | Fiat Chrysler Automobiles NV* | 405,581 | ||||||
71,100 | Ford Motor Co. | 787,077 | ||||||
94,300 | General Motors Co. | 3,715,420 | ||||||
8,900 | Goodyear Tire & Rubber Co. (The) | 207,281 | ||||||
10,400 | Harley-Davidson, Inc. | 437,632 | ||||||
1,700 | Hella GmbH & Co. KGaA | 94,924 | ||||||
10,900 | Honda Motor Co. Ltd. | 319,599 | ||||||
6,700 | Isuzu Motors Ltd. | 88,823 | ||||||
100 | Koito Manufacturing Co. Ltd. | 6,605 | ||||||
5,530 | Lear Corp. | 1,027,529 | ||||||
16,700 | Mazda Motor Corp. | 204,852 | ||||||
100 | Mitsubishi Motors Corp. | 797 | ||||||
15,400 | Peugeot SA | 350,893 | ||||||
29,300 | Pirelli & C SpA* | 243,988 | ||||||
700 | Porsche Automobil Holding SE (Preference)(a) | 44,447 | ||||||
1,200 | Renault SA | 101,666 | ||||||
3,300 | Subaru Corp. | 95,981 | ||||||
7,500 | Sumitomo Electric Industries Ltd. | 111,545 | ||||||
3,000 | Suzuki Motor Corp. | 165,324 | ||||||
4,200 | Valeo SA | 228,999 | ||||||
1,300 | Volkswagen AG (Preference)(a) | 214,773 | ||||||
200 | Yamaha Motor Co. Ltd. | 5,021 | ||||||
|
| |||||||
10,115,579 | ||||||||
|
| |||||||
Banks – 1.3% | ||||||||
700 | Aareal Bank AG | 30,710 | ||||||
900 | ABN AMRO Group NV CVA | 23,276 | ||||||
90,400 | Banco Comercial Portugues SA Class R* | 27,032 | ||||||
186,800 | Bank of America Corp. | 5,265,892 | ||||||
200 | Bank of Kyoto Ltd. (The) | 9,234 | ||||||
100 | Bankinter SA | 970 | ||||||
2,300 | BB&T Corp. | 116,012 | ||||||
10,600 | BNP Paribas SA | 655,683 | ||||||
83,300 | BPER Banca | 454,513 | ||||||
34,398 | CIT Group, Inc. | 1,734,003 | ||||||
54,662 | Citizens Financial Group, Inc. | 2,126,352 | ||||||
1,200 | Comerica, Inc. | 109,104 | ||||||
26,500 | Credit Agricole SA | 351,722 | ||||||
9,400 | Cullen/Frost Bankers, Inc. | 1,017,456 | ||||||
600 | Erste Group Bank AG* | 25,014 | ||||||
26,300 | Fifth Third Bancorp | 754,810 | ||||||
5,700 | Hachijuni Bank Ltd. (The) | 24,286 | ||||||
98,600 | HSBC Holdings plc | 921,353 | ||||||
10,600 | Huntington Bancshares, Inc. | 156,456 | ||||||
24,500 | ING Groep NV | 351,686 | ||||||
45,700 | JPMorgan Chase & Co. | 4,761,940 | ||||||
400 | KBC Group NV | 30,720 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Banks – (continued) | ||||||||
55,600 | KeyCorp | 1,086,424 | ||||||
580,800 | Lloyds Banking Group plc | 481,900 | ||||||
3,200 | Mediobanca Banca di Credito Finanziario SpA | 29,600 | ||||||
31,900 | Mitsubishi UFJ Financial Group, Inc. | 180,710 | ||||||
92,200 | Mizuho Financial Group, Inc. | 155,310 | ||||||
23,200 | NatWest Markets plc* | 78,104 | ||||||
300 | Nishi-Nippon Financial Holdings, Inc. | 3,498 | ||||||
300 | Ogaki Kyoritsu Bank Ltd. (The) | 7,610 | ||||||
600 | PNC Financial Services Group, Inc. (The) | 81,060 | ||||||
5,900 | Regions Financial Corp. | 104,902 | ||||||
11,100 | Resona Holdings, Inc. | 59,160 | ||||||
200 | San-In Godo Bank Ltd. (The) | 1,785 | ||||||
200 | Seven Bank Ltd. | 611 | ||||||
5,300 | Shinsei Bank Ltd. | 81,320 | ||||||
6,400 | Societe Generale SA | 268,991 | ||||||
18,700 | Standard Chartered plc | 169,860 | ||||||
5,600 | Sumitomo Mitsui Financial Group, Inc. | 218,434 | ||||||
300 | Sumitomo Mitsui Trust Holdings, Inc. | 11,836 | ||||||
26,336 | SunTrust Banks, Inc. | 1,738,703 | ||||||
21,900 | UniCredit SpA | 362,980 | ||||||
98,700 | Unione di Banche Italiane SpA | 378,051 | ||||||
600 | US Bancorp | 30,012 | ||||||
57,630 | Wells Fargo & Co. | 3,195,007 | ||||||
1,500 | Zions Bancorp | 79,035 | ||||||
|
| |||||||
27,753,127 | ||||||||
|
| |||||||
Capital Goods – 1.5% | ||||||||
8,089 | 3M Co. | 1,591,268 | ||||||
5,000 | Acuity Brands, Inc. | 579,350 | ||||||
39,700 | AECOM* | 1,311,291 | ||||||
700 | Airbus SE | 81,686 | ||||||
1,100 | Allegion plc | 85,096 | ||||||
900 | Alstom SA | 41,291 | ||||||
5,100 | AMETEK, Inc. | 368,016 | ||||||
8,000 | Arconic, Inc. | 136,080 | ||||||
1,600 | Ashtead Group plc | 47,647 | ||||||
15,200 | BAE Systems plc | 129,311 | ||||||
1,500 | Bodycote plc | 19,307 | ||||||
13,200 | Boeing Co. (The) | 4,428,732 | ||||||
5,300 | Bouygues SA | 227,731 | ||||||
1,700 | Bunzl plc | 51,342 | ||||||
10,000 | Caterpillar, Inc. | 1,356,700 | ||||||
1,100 | Chiyoda Corp. | 9,538 | ||||||
5,500 | Cie de Saint-Gobain | 244,997 | ||||||
21,400 | CNH Industrial NV | 226,059 | ||||||
49,800 | Cobham plc* | 84,208 | ||||||
1,000 | COMSYS Holdings Corp. | 26,467 | ||||||
2,700 | Cummins, Inc. | 359,100 | ||||||
200 | Daifuku Co. Ltd. | 8,738 | ||||||
3,700 | Dover Corp. | 270,840 | ||||||
8,100 | Eaton Corp. plc | 605,394 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 23 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
June 30, 2018 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Capital Goods – (continued) | ||||||||
200 | Ebara Corp. | $ | 6,205 | |||||
2,900 | Eiffage SA | 315,066 | ||||||
400 | Emerson Electric Co. | 27,656 | ||||||
100 | Fastenal Co. | 4,813 | ||||||
189 | Ferguson plc | 15,292 | ||||||
11,500 | Ferrovial SA | 235,320 | ||||||
400 | Flowserve Corp. | 16,160 | ||||||
2,600 | Fluor Corp. | 126,828 | ||||||
2,900 | Fortive Corp. | 223,619 | ||||||
8,300 | Fortune Brands Home & Security, Inc. | 445,627 | ||||||
8,500 | Fuji Electric Co. Ltd. | 64,567 | ||||||
100 | Furukawa Electric Co. Ltd. | 3,489 | ||||||
8,500 | Galliford Try plc | 97,582 | ||||||
67,300 | General Electric Co. | 915,953 | ||||||
30,500 | HD Supply Holdings, Inc.* | 1,308,145 | ||||||
1,500 | Hitachi Construction Machinery Co. Ltd. | 48,630 | ||||||
11,900 | Honeywell International, Inc. | 1,714,195 | ||||||
2,400 | Huntington Ingalls Industries, Inc. | 520,296 | ||||||
2,100 | IHI Corp. | 73,046 | ||||||
6,700 | Ingersoll-Rand plc | 601,191 | ||||||
9,000 | ITOCHU Corp. | 162,773 | ||||||
600 | JGC Corp. | 12,069 | ||||||
10,500 | Johnson Controls International plc | 351,225 | ||||||
2,500 | JTEKT Corp. | 33,934 | ||||||
14,700 | Kajima Corp. | 113,582 | ||||||
400 | Kingspan Group plc | 20,030 | ||||||
400 | KION Group AG | 28,712 | ||||||
500 | Komatsu Ltd. | 14,234 | ||||||
2,900 | Kubota Corp. | 45,515 | ||||||
3,400 | L3 Technologies, Inc. | 653,888 | ||||||
400 | Legrand SA | 29,299 | ||||||
19,900 | Marubeni Corp. | 151,506 | ||||||
11,200 | Masco Corp. | 419,104 | ||||||
14,800 | Meggitt plc | 96,040 | ||||||
100 | MINEBEA MITSUMI, Inc. | 1,685 | ||||||
200 | MISUMI Group, Inc. | 5,819 | ||||||
7,900 | Mitsubishi Corp. | 219,060 | ||||||
4,300 | Mitsubishi Heavy Industries Ltd. | 156,311 | ||||||
11,300 | Mitsui & Co. Ltd. | 188,171 | ||||||
100 | MTU Aero Engines AG | 19,154 | ||||||
100 | Nidec Corp. | 14,959 | ||||||
3,600 | Obayashi Corp. | 37,380 | ||||||
2,600 | Parker-Hannifin Corp. | 405,210 | ||||||
11,000 | Pentair plc | 462,880 | ||||||
1,400 | Penta-Ocean Construction Co. Ltd. | 9,359 | ||||||
4,700 | Prysmian SpA | 116,620 | ||||||
124,600 | Quanta Services, Inc.* | 4,161,640 | ||||||
18,400 | Rexel SA | 264,134 | ||||||
1,100 | Rheinmetall AG | 121,025 | ||||||
100 | Rockwell Automation, Inc. | 16,623 | ||||||
14,400 | Rolls-Royce Holdings plc* | 187,561 | ||||||
1,100 | Roper Technologies, Inc. | 303,501 | ||||||
9,700 | Rotork plc | 42,720 | ||||||
500 | Safran SA | 60,553 | ||||||
4,400 | Schneider Electric SE | 365,934 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Capital Goods – (continued) | ||||||||
6,200 | Shimizu Corp. | 64,170 | ||||||
8,800 | Signify NV | 227,670 | ||||||
3,500 | Snap-on, Inc. | 562,520 | ||||||
38,300 | Sojitz Corp. | 138,708 | ||||||
100 | Stanley Black & Decker, Inc. | 13,281 | ||||||
9,100 | Sumitomo Corp. | 149,238 | ||||||
2,000 | Taisei Corp. | 110,139 | ||||||
900 | Thales SA | 115,789 | ||||||
100 | THK Co. Ltd. | 2,855 | ||||||
1,500 | Toda Corp. | 13,026 | ||||||
300 | TOTO Ltd. | 13,886 | ||||||
3,600 | Toyota Tsusho Corp. | 120,300 | ||||||
500 | TransDigm Group, Inc. | 172,570 | ||||||
6,960 | United Rentals, Inc.* | 1,027,435 | ||||||
5,400 | Vesuvius plc | 42,449 | ||||||
3,800 | Vinci SA | 364,766 | ||||||
200 | Weir Group plc (The) | 5,253 | ||||||
1,100 | WW Grainger, Inc. | 339,240 | ||||||
5,400 | Xylem, Inc. | 363,852 | ||||||
|
| |||||||
32,193,226 | ||||||||
|
| |||||||
Commercial & Professional Services – 0.1% | ||||||||
1,800 | Babcock International Group plc | 19,340 | ||||||
800 | Cintas Corp. | 148,056 | ||||||
800 | Edenred | 25,269 | ||||||
100 | Equifax, Inc. | 12,511 | ||||||
5,500 | IHS Markit Ltd.* | 283,745 | ||||||
3,700 | IWG plc | 15,548 | ||||||
19,500 | Nielsen Holdings plc | 603,135 | ||||||
400 | Nihon M&A Center, Inc. | 11,589 | ||||||
1,100 | Pagegroup plc | 8,156 | ||||||
400 | Persol Holdings Co. Ltd. | 8,908 | ||||||
900 | Randstad NV | 52,826 | ||||||
700 | Recruit Holdings Co. Ltd. | 19,333 | ||||||
100 | RELX NV | 2,126 | ||||||
5,900 | Rentokil Initial plc | 27,203 | ||||||
4,900 | Republic Services, Inc. | 334,964 | ||||||
8,000 | Robert Half International, Inc. | 520,800 | ||||||
9,900 | Stericycle, Inc.* | 646,371 | ||||||
200 | TechnoPro Holdings, Inc. | 12,281 | ||||||
100 | Teleperformance | 17,650 | ||||||
1,900 | Verisk Analytics, Inc.* | 204,516 | ||||||
1,500 | Waste Management, Inc. | 122,010 | ||||||
300 | Wolters Kluwer NV | 16,853 | ||||||
|
| |||||||
3,113,190 | ||||||||
|
| |||||||
Consumer Durables & Apparel – 0.4% | ||||||||
500 | Bellway plc | 19,753 | ||||||
4,000 | Berkeley Group Holdings plc | 199,252 | ||||||
600 | Burberry Group plc | 17,052 | ||||||
10,100 | Hanesbrands, Inc. | 222,402 | ||||||
200 | Hasbro, Inc. | 18,462 | ||||||
2,200 | Haseko Corp. | 30,323 | ||||||
100 | Hermes International | 61,085 | ||||||
200 | HUGO BOSS AG | 18,138 | ||||||
500 | Iida Group Holdings Co. Ltd. | 9,626 | ||||||
100 | Kering SA | 56,330 | ||||||
|
|
24 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Consumer Durables & Apparel – (continued) | ||||||||
46,100 | Lennar Corp. Class A | $ | 2,420,250 | |||||
11,500 | Lululemon Athletica, Inc.* | 1,435,775 | ||||||
300 | LVMH Moet Hennessy Louis Vuitton SE | 99,606 | ||||||
1,400 | Mattel, Inc.(b) | 22,988 | ||||||
8,300 | Michael Kors Holdings Ltd.* | 552,780 | ||||||
8,100 | Mohawk Industries, Inc.* | 1,735,587 | ||||||
1,400 | Moncler SpA | 63,525 | ||||||
5,800 | Newell Brands, Inc. | 149,582 | ||||||
3,700 | Persimmon plc | 123,246 | ||||||
18,100 | PulteGroup, Inc. | 520,375 | ||||||
3,100 | PVH Corp. | 464,132 | ||||||
4,800 | Ralph Lauren Corp. | 603,456 | ||||||
2,900 | Redrow plc | 20,373 | ||||||
500 | SEB SA | 87,233 | ||||||
600 | Sega Sammy Holdings, Inc. | 10,269 | ||||||
10,000 | Sekisui House Ltd. | 176,744 | ||||||
7,600 | Sony Corp. | 389,229 | ||||||
2,700 | Tapestry, Inc. | 126,117 | ||||||
3,100 | VF Corp. | 252,712 | ||||||
200 | Yamaha Corp. | 10,380 | ||||||
|
| |||||||
9,916,782 | ||||||||
|
| |||||||
Consumer Services – 0.3% | ||||||||
1,900 | Accor SA | 93,054 | ||||||
4,000 | Carnival Corp. | 229,240 | ||||||
800 | Carnival plc | 45,724 | ||||||
100 | Chipotle Mexican Grill, Inc.* | 43,137 | ||||||
300 | Darden Restaurants, Inc. | 32,118 | ||||||
5,000 | H&R Block, Inc. | 113,900 | ||||||
600 | Hilton Worldwide Holdings, Inc. | 47,496 | ||||||
700 | Marriott International, Inc. Class A | 88,620 | ||||||
100 | Merlin Entertainments plc | 510 | ||||||
115,900 | MGM Resorts International | 3,364,577 | ||||||
4,400 | Norwegian Cruise Line Holdings Ltd.* | 207,900 | ||||||
200 | Oriental Land Co. Ltd. | 20,969 | ||||||
600 | Paddy Power Betfair plc | 65,570 | ||||||
36,900 | Service Corp. International | 1,320,651 | ||||||
1,800 | Sodexo SA | 179,684 | ||||||
700 | Starbucks Corp. | 34,195 | ||||||
2,400 | TUI AG | 52,493 | ||||||
1,300 | Wyndham Destinations, Inc. | 57,551 | ||||||
1,300 | Wyndham Hotels & Resorts, Inc. | 76,479 | ||||||
1,100 | Wynn Resorts Ltd. | 184,074 | ||||||
800 | Yum! Brands, Inc. | 62,576 | ||||||
|
| |||||||
6,320,518 | ||||||||
|
| |||||||
Diversified Financials – 1.4% | ||||||||
14,100 | 3i Group plc | 166,932 | ||||||
100 | Acom Co. Ltd. | 384 | ||||||
100 | AEON Financial Service Co. Ltd. | 2,131 | ||||||
99,263 | Ally Financial, Inc. | 2,607,639 | ||||||
22,400 | American Express Co. | 2,195,200 | ||||||
2,000 | Ameriprise Financial, Inc. | 279,760 | ||||||
100 | Azimut Holding SpA | 1,541 | ||||||
7,900 | Bank of New York Mellon Corp. (The) | 426,047 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Diversified Financials – (continued) | ||||||||
34,539 | Berkshire Hathaway, Inc. Class B* | 6,446,704 | ||||||
200 | BlackRock, Inc. | 99,808 | ||||||
19,300 | Capital One Financial Corp. | 1,773,670 | ||||||
1,800 | Cboe Global Markets, Inc. | 187,326 | ||||||
3,200 | Charles Schwab Corp. (The) | 163,520 | ||||||
10,600 | CME Group, Inc. | 1,737,552 | ||||||
3,600 | Credit Acceptance Corp.*(b) | 1,272,240 | ||||||
6,200 | Credit Saison Co. Ltd. | 97,408 | ||||||
2,500 | Discover Financial Services | 176,025 | ||||||
3,400 | E*TRADE Financial Corp.* | 207,944 | ||||||
600 | Eurazeo SA | 45,415 | ||||||
2,500 | EXOR NV | 167,293 | ||||||
300 | Groupe Bruxelles Lambert SA | 31,560 | ||||||
1,700 | Hargreaves Lansdown plc | 44,067 | ||||||
35,972 | Interactive Brokers Group, Inc. Class A | 2,316,957 | ||||||
19,900 | Intercontinental Exchange, Inc. | 1,463,645 | ||||||
400 | Japan Exchange Group, Inc. | 7,419 | ||||||
37,300 | Jefferies Financial Services, Inc. | 848,202 | ||||||
100 | Jupiter Fund Management plc | 586 | ||||||
11,400 | Man Group plc | 26,427 | ||||||
500 | Matsui Securities Co. Ltd. | 4,773 | ||||||
10,800 | Moody’s Corp. | 1,842,048 | ||||||
38,500 | Morgan Stanley | 1,824,900 | ||||||
1,400 | MSCI, Inc. | 231,602 | ||||||
1,800 | Nasdaq, Inc. | 164,286 | ||||||
69,900 | Navient Corp. | 910,797 | ||||||
16,100 | Nomura Holdings, Inc. | 77,909 | ||||||
9,600 | ORIX Corp. | 151,316 | ||||||
21,300 | Quilter plc* | 40,738 | ||||||
1,300 | S&P Global, Inc. | 265,057 | ||||||
500 | SBI Holdings, Inc. | 12,820 | ||||||
400 | Schroders plc | 16,599 | ||||||
44,000 | Standard Life Aberdeen plc | 188,415 | ||||||
500 | State Street Corp. | 46,545 | ||||||
19,600 | Synchrony Financial | 654,248 | ||||||
2,100 | T. Rowe Price Group, Inc. | 243,789 | ||||||
200 | Tokyo Century Corp. | 11,322 | ||||||
23,000 | Voya Financial, Inc. | 1,081,000 | ||||||
|
| |||||||
30,561,566 | ||||||||
|
| |||||||
Energy – 1.6% | ||||||||
25,900 | Anadarko Petroleum Corp. | 1,897,175 | ||||||
400 | Apache Corp. | 18,700 | ||||||
13,100 | BP plc | 99,672 | ||||||
1,000 | Cabot Oil & Gas Corp. | 23,800 | ||||||
70,400 | Centennial Resource Development, Inc. Class A* | 1,271,424 | ||||||
2,400 | Chevron Corp. | 303,432 | ||||||
200 | Concho Resources, Inc.* | 27,670 | ||||||
3,000 | ConocoPhillips | 208,860 | ||||||
19,400 | Continental Resources, Inc.* | 1,256,344 | ||||||
38,300 | Devon Energy Corp. | 1,683,668 | ||||||
13,191 | Diamondback Energy, Inc. | 1,735,540 | ||||||
3,400 | Enagas SA | 99,165 | ||||||
21,200 | Eni SpA | 393,077 | ||||||
9,800 | EOG Resources, Inc. | 1,219,414 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 25 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
June 30, 2018 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Energy – (continued) | ||||||||
300 | EQT Corp. | $ | 16,554 | |||||
27,500 | Exxon Mobil Corp. | 2,275,075 | ||||||
1,400 | Galp Energia SGPS SA | 26,633 | ||||||
21,700 | Hess Corp. | 1,451,513 | ||||||
200 | Idemitsu Kosan Co. Ltd. | 7,112 | ||||||
1,000 | Inpex Corp. | 10,386 | ||||||
18,100 | JXTG Holdings, Inc. | 125,574 | ||||||
74,800 | Kinder Morgan, Inc. | 1,321,716 | ||||||
400 | Marathon Oil Corp. | 8,344 | ||||||
36,700 | Marathon Petroleum Corp. | 2,574,872 | ||||||
16,300 | National Oilwell Varco, Inc. | 707,420 | ||||||
2,000 | Neste OYJ | 156,478 | ||||||
900 | Newfield Exploration Co.* | 27,225 | ||||||
600 | Noble Energy, Inc. | 21,168 | ||||||
2,300 | Occidental Petroleum Corp. | 192,464 | ||||||
2,400 | OMV AG | 135,739 | ||||||
17,900 | ONEOK, Inc. | 1,249,957 | ||||||
71,700 | Parsley Energy, Inc. Class A* | 2,171,076 | ||||||
14,900 | Phillips 66 | 1,673,419 | ||||||
112,600 | Range Resources Corp. | 1,883,798 | ||||||
68,800 | Royal Dutch Shell plc Class A | 2,381,094 | ||||||
3,300 | Royal Dutch Shell plc Class B | 118,183 | ||||||
26,000 | Saipem SpA* | 119,240 | ||||||
5,300 | SBM Offshore NV | 82,178 | ||||||
21,100 | TOTAL SA | 1,281,314 | ||||||
20,000 | Valero Energy Corp. | 2,216,600 | ||||||
27,300 | Whiting Petroleum Corp.* | 1,439,256 | ||||||
124,400 | WPX Energy, Inc.* | 2,242,932 | ||||||
|
| |||||||
36,155,261 | ||||||||
|
| |||||||
Food & Staples Retailing – 0.4% | ||||||||
21,500 | Carrefour SA(b) | 346,815 | ||||||
4,700 | Casino Guichard Perrachon SA | 181,894 | ||||||
200 | Costco Wholesale Corp. | 41,796 | ||||||
113,200 | J Sainsbury plc | 479,036 | ||||||
100 | Jeronimo Martins SGPS SA | 1,440 | ||||||
1,600 | Kesko OYJ Class B | 97,726 | ||||||
28,100 | Koninklijke Ahold Delhaize NV | 670,960 | ||||||
13,900 | Kroger Co. (The) | 395,455 | ||||||
29,900 | METRO AG(b) | 368,483 | ||||||
7,100 | Sysco Corp. | 484,859 | ||||||
173,400 | Tesco plc | 586,716 | ||||||
71,300 | US Foods Holding Corp.* | 2,696,566 | ||||||
13,600 | Walgreens Boots Alliance, Inc. | 816,204 | ||||||
28,400 | Walmart, Inc. | 2,432,460 | ||||||
93,000 | Wm Morrison Supermarkets plc | 308,481 | ||||||
|
| |||||||
9,908,891 | ||||||||
|
| |||||||
Food, Beverage & Tobacco – 0.4% | ||||||||
6,900 | Archer-Daniels-Midland Co. | 316,227 | ||||||
1,800 | Associated British Foods plc | 64,905 | ||||||
1,900 | Brown-Forman Corp. Class B | 93,119 | ||||||
13,600 | Campbell Soup Co.(b) | 551,344 | ||||||
11,800 | Conagra Brands, Inc. | 421,614 | ||||||
500 | Constellation Brands, Inc. Class A | 109,435 | ||||||
7,700 | Danone SA | 562,196 | ||||||
100 | Diageo plc | 3,592 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Food, Beverage & Tobacco – (continued) | ||||||||
12,700 | General Mills, Inc. | 562,102 | ||||||
2,800 | Heineken NV | 280,528 | ||||||
1,500 | Hershey Co. (The) | 139,590 | ||||||
9,000 | Hormel Foods Corp. | 334,890 | ||||||
9,700 | Imperial Brands plc | 360,240 | ||||||
32,400 | Japan Tobacco, Inc. | 905,464 | ||||||
4,600 | JM Smucker Co. (The) | 494,408 | ||||||
2,000 | Kellogg Co. | 139,740 | ||||||
1,600 | McCormick & Co., Inc. (Non-Voting) | 185,744 | ||||||
10,200 | Molson Coors Brewing Co. Class B | 694,008 | ||||||
16,100 | Mondelez International, Inc. Class A | 660,100 | ||||||
2,900 | Monster Beverage Corp.* | 166,170 | ||||||
300 | PepsiCo, Inc. | 32,661 | ||||||
1,700 | Pernod Ricard SA | 277,448 | ||||||
8,900 | Tyson Foods, Inc. Class A | 612,765 | ||||||
|
| |||||||
7,968,290 | ||||||||
|
| |||||||
Health Care Equipment & Services – 1.5% | ||||||||
43,100 | Abbott Laboratories | 2,628,669 | ||||||
500 | Align Technology, Inc.* | 171,070 | ||||||
5,400 | Anthem, Inc. | 1,285,362 | ||||||
800 | Baxter International, Inc. | 59,072 | ||||||
500 | Becton Dickinson and Co. | 119,780 | ||||||
1,600 | Boston Scientific Corp.* | 52,320 | ||||||
22,100 | Cardinal Health, Inc. | 1,079,143 | ||||||
20,900 | Centene Corp.* | 2,575,089 | ||||||
4,400 | Cerner Corp.* | 263,076 | ||||||
75,900 | ConvaTec Group plc | 211,894 | ||||||
20,700 | CVS Health Corp. | 1,332,045 | ||||||
17,600 | Danaher Corp. | 1,736,768 | ||||||
36,800 | DaVita, Inc.* | 2,555,392 | ||||||
7,500 | DENTSPLY SIRONA, Inc. | 328,275 | ||||||
800 | Edwards Lifesciences Corp.* | 116,456 | ||||||
56,200 | Envision Healthcare Corp.* | 2,473,362 | ||||||
1,600 | Fresenius Medical Care AG & Co. KGaA | 161,106 | ||||||
16,100 | HCA Healthcare, Inc. | 1,651,860 | ||||||
8,200 | Henry Schein, Inc.* | 595,648 | ||||||
4,100 | Humana, Inc. | 1,220,283 | ||||||
400 | Intuitive Surgical, Inc.* | 191,392 | ||||||
21,100 | Koninklijke Philips NV | 893,964 | ||||||
14,000 | Laboratory Corp. of America Holdings* | 2,513,420 | ||||||
300 | M3, Inc. | 11,931 | ||||||
7,800 | McKesson Corp. | 1,040,520 | ||||||
35,500 | Mediclinic International plc | 245,939 | ||||||
20,900 | Medtronic plc | 1,789,249 | ||||||
1,000 | NMC Health plc | 47,068 | ||||||
800 | Olympus Corp. | 29,926 | ||||||
5,500 | Quest Diagnostics, Inc. | 604,670 | ||||||
400 | ResMed, Inc. | 41,432 | ||||||
300 | Sartorius AG (Preference)(a) | 44,661 | ||||||
10,900 | Smith & Nephew plc | 200,781 | ||||||
200 | Sysmex Corp. | 18,635 | ||||||
300 | Terumo Corp. | 17,175 | ||||||
14,700 | UnitedHealth Group, Inc. | 3,606,498 | ||||||
|
|
26 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Health Care Equipment & Services – (continued) | ||||||||
6,600 | Universal Health Services, Inc. Class B | $ | 735,504 | |||||
400 | Varian Medical Systems, Inc.* | 45,488 | ||||||
6,500 | Zimmer Biomet Holdings, Inc. | 724,360 | ||||||
|
| |||||||
33,419,283 | ||||||||
|
| |||||||
Household & Personal Products – 0.1% | ||||||||
8,100 | Church & Dwight Co., Inc. | 430,596 | ||||||
12,000 | Coty, Inc. Class A | 169,200 | ||||||
1,500 | Estee Lauder Cos., Inc. (The) Class A | 214,035 | ||||||
200 | Kao Corp. | 15,244 | ||||||
100 | Kimberly-Clark Corp. | 10,534 | ||||||
100 | Kose Corp. | 21,510 | ||||||
15,800 | Procter & Gamble Co. (The) | 1,233,348 | ||||||
4,200 | Reckitt Benckiser Group plc | 345,092 | ||||||
100 | Unilever NV CVA | 5,572 | ||||||
100 | Unilever plc | 5,524 | ||||||
|
| |||||||
2,450,655 | ||||||||
|
| |||||||
Insurance – 0.9% | ||||||||
102,392 | Aegon NV | 611,343 | ||||||
27,300 | Aflac, Inc. | 1,174,446 | ||||||
1,100 | Ageas | 55,377 | ||||||
500 | Allianz SE (Registered) | 103,027 | ||||||
13,000 | Allstate Corp. (The) | 1,186,510 | ||||||
100 | Aon plc | 13,717 | ||||||
1,000 | Arthur J Gallagher & Co. | 65,280 | ||||||
31,400 | Assicurazioni Generali SpA | 524,944 | ||||||
10,400 | Assurant, Inc. | 1,076,296 | ||||||
44,300 | Aviva plc | 293,935 | ||||||
25,700 | AXA SA | 627,948 | ||||||
4,800 | Beazley plc | 36,989 | ||||||
37,700 | Brighthouse Financial, Inc.* | 1,510,639 | ||||||
4,600 | Chubb Ltd. | 584,292 | ||||||
5,400 | Cincinnati Financial Corp. | 361,044 | ||||||
6,500 | Dai-ichi Life Holdings, Inc. | 115,685 | ||||||
100 | Hannover Rueck SE | 12,432 | ||||||
13,500 | Japan Post Holdings Co. Ltd. | 147,741 | ||||||
103,900 | Legal & General Group plc | 363,425 | ||||||
16,400 | Lincoln National Corp. | 1,020,900 | ||||||
16,200 | Loews Corp. | 782,136 | ||||||
24,600 | Mapfre SA | 73,941 | ||||||
1,000 | Markel Corp.* | 1,084,350 | ||||||
400 | Marsh & McLennan Cos., Inc. | 32,788 | ||||||
29,800 | MetLife, Inc. | 1,299,280 | ||||||
300 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | 63,073 | ||||||
14,399 | NN Group NV | 583,972 | ||||||
63,900 | Old Mutual Ltd.* | 126,328 | ||||||
30,800 | Poste Italiane SpA | 257,076 | ||||||
16,800 | Principal Financial Group, Inc. | 889,560 | ||||||
4,100 | Progressive Corp. (The) | 242,515 | ||||||
15,000 | Prudential Financial, Inc. | 1,402,650 | ||||||
1,500 | Prudential plc | 34,195 | ||||||
1,200 | RSA Insurance Group plc | 10,732 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Insurance – (continued) | ||||||||
100 | Sampo OYJ Class A | 4,870 | ||||||
100 | Sony Financial Holdings, Inc. | 1,905 | ||||||
300 | T&D Holdings, Inc. | 4,500 | ||||||
8,800 | Torchmark Corp. | 716,408 | ||||||
4,800 | Travelers Cos., Inc. (The) | 587,232 | ||||||
30,800 | Unum Group | 1,139,292 | ||||||
|
| |||||||
19,222,773 | ||||||||
|
| |||||||
Materials – 1.0% | ||||||||
100 | Air Products & Chemicals, Inc. | 15,573 | ||||||
24,200 | Alcoa Corp.* | 1,134,496 | ||||||
19,300 | Anglo American plc | 428,478 | ||||||
9,800 | Antofagasta plc | 127,324 | ||||||
9,900 | ArcelorMittal | 288,840 | ||||||
1,700 | Arkema SA | 200,600 | ||||||
5,100 | Asahi Kasei Corp. | 64,675 | ||||||
2,100 | Avery Dennison Corp. | 214,410 | ||||||
13,900 | Ball Corp. | 494,145 | ||||||
3,700 | BASF SE | 353,234 | ||||||
2,700 | BHP Billiton plc | 60,595 | ||||||
10,800 | Celanese Corp. Series A | 1,199,448 | ||||||
10,400 | CF Industries Holdings, Inc. | 461,760 | ||||||
2,900 | Covestro AG | 257,762 | ||||||
10,000 | CRH plc | 351,180 | ||||||
600 | Croda International plc | 37,906 | ||||||
2,700 | Daicel Corp. | 29,827 | ||||||
500 | Denka Co. Ltd. | 16,643 | ||||||
600 | DIC Corp. | 18,712 | ||||||
23,200 | DowDuPont, Inc. | 1,529,344 | ||||||
2,600 | DS Smith plc | 17,814 | ||||||
26,000 | Eastman Chemical Co. | 2,598,960 | ||||||
600 | Ecolab, Inc. | 84,198 | ||||||
37,300 | Evraz plc | 248,956 | ||||||
40,400 | Freeport-McMoRan, Inc. | 697,304 | ||||||
66,200 | Glencore plc* | 314,304 | ||||||
1,800 | HeidelbergCement AG | 151,140 | ||||||
71,600 | Huntsman Corp. | 2,090,720 | ||||||
300 | JFE Holdings, Inc. | 5,666 | ||||||
100 | JSR Corp. | 1,699 | ||||||
700 | Kaneka Corp. | 6,269 | ||||||
6,700 | Kobe Steel Ltd. | 61,228 | ||||||
607 | Koninklijke DSM NV | 60,724 | ||||||
1,400 | LANXESS AG | 108,844 | ||||||
5,300 | LyondellBasell Industries NV Class A | 582,205 | ||||||
5,900 | Martin Marietta Materials, Inc. | 1,317,647 | ||||||
9,700 | Mitsubishi Chemical Holdings Corp. | 81,003 | ||||||
1,100 | Mitsubishi Gas Chemical Co., Inc. | 24,858 | ||||||
100 | Mitsubishi Materials Corp. | 2,744 | ||||||
200 | Mitsui Chemicals, Inc. | 5,316 | ||||||
4,100 | Mosaic Co. (The) | 115,005 | ||||||
11,700 | Newmont Mining Corp. | 441,207 | ||||||
200 | Nissan Chemical Corp. | 9,316 | ||||||
100 | NOF Corp. | 3,227 | ||||||
8,900 | Oji Holdings Corp. | 55,153 | ||||||
33,600 | Outokumpu OYJ | 208,105 | ||||||
3,300 | PPG Industries, Inc. | 342,309 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 27 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
June 30, 2018 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Materials – (continued) | ||||||||
9,700 | Praxair, Inc. | $ | 1,534,055 | |||||
1,200 | Rio Tinto plc | 66,142 | ||||||
300 | Sealed Air Corp. | 12,735 | ||||||
3,600 | Sherwin-Williams Co. (The) | 1,467,252 | ||||||
700 | Showa Denko KK | 30,987 | ||||||
1,600 | Smurfit Kappa Group plc | 64,515 | ||||||
3,200 | Stora Enso OYJ Class R | 62,342 | ||||||
600 | Sumitomo Bakelite Co. Ltd. | 5,775 | ||||||
11,600 | Sumitomo Chemical Co. Ltd. | 65,605 | ||||||
400 | Sumitomo Metal Mining Co. Ltd. | 15,267 | ||||||
1,400 | Taiheiyo Cement Corp. | 46,055 | ||||||
2,100 | Teijin Ltd. | 38,467 | ||||||
800 | Tokuyama Corp. | 25,623 | ||||||
400 | Toray Industries, Inc. | 3,157 | ||||||
2,400 | Tosoh Corp. | 37,109 | ||||||
700 | Toyo Seikan Group Holdings Ltd. | 12,285 | ||||||
1,900 | Ube Industries Ltd. | 49,334 | ||||||
900 | Umicore SA | 51,379 | ||||||
1,700 | UPM-Kymmene OYJ | 60,529 | ||||||
23,500 | Vedanta Resources plc | 199,418 | ||||||
500 | voestalpine AG | 22,992 | ||||||
300 | Wacker Chemie AG | 39,210 | ||||||
8,700 | WestRock Co. | 496,074 | ||||||
2,600 | Wienerberger AG | 64,854 | ||||||
100 | Yamato Kogyo Co. Ltd. | 3,017 | ||||||
2,700 | Zeon Corp. | 31,851 | ||||||
|
| |||||||
21,426,902 | ||||||||
|
| |||||||
Media – 0.9% | ||||||||
2,700 | Ascential plc | 16,073 | ||||||
2,300 | Charter Communications, Inc. Class A* | 674,383 | ||||||
162,222 | Comcast Corp. Class A | 5,322,504 | ||||||
200 | CyberAgent, Inc. | 11,994 | ||||||
1,400 | Dentsu, Inc. | 66,273 | ||||||
20,400 | Discovery, Inc. Class A*(b) | 561,000 | ||||||
22,700 | Discovery, Inc. Class C* | 578,850 | ||||||
400 | Fuji Media Holdings, Inc. | 6,826 | ||||||
29,500 | GCI Liberty, Inc. Class A* | 1,329,860 | ||||||
2,400 | Informa plc | 26,381 | ||||||
24,556 | Liberty Broadband Corp. Class C* | 1,859,380 | ||||||
68,100 | Live Nation Entertainment, Inc.* | 3,307,617 | ||||||
33,800 | News Corp. Class A | 523,900 | ||||||
5,500 | Omnicom Group, Inc. | 419,485 | ||||||
16,100 | Pearson plc | 187,496 | ||||||
6,800 | ProSiebenSat.1 Media SE | 172,074 | ||||||
4,200 | Publicis Groupe SA | 288,214 | ||||||
7,400 | Twenty-First Century Fox, Inc. Class A | 367,706 | ||||||
3,500 | Twenty-First Century Fox, Inc. Class B | 172,445 | ||||||
22,100 | Viacom, Inc. Class B | 666,536 | ||||||
24,500 | Walt Disney Co. (The) | 2,567,845 | ||||||
10,600 | WPP plc | 166,543 | ||||||
|
| |||||||
19,293,385 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences – 1.5% | ||||||||
17,100 | AbbVie, Inc. | 1,584,315 | ||||||
8,600 | Alexion Pharmaceuticals, Inc.* | 1,067,690 | ||||||
11,300 | Amgen, Inc. | 2,085,867 | ||||||
16,200 | Astellas Pharma, Inc. | 246,541 | ||||||
8,400 | AstraZeneca plc | 581,004 | ||||||
100 | Bayer AG (Registered) | 10,982 | ||||||
7,100 | Biogen, Inc.* | 2,060,704 | ||||||
29,700 | Bristol-Myers Squibb Co. | 1,643,598 | ||||||
21,632 | Celgene Corp.* | 1,718,014 | ||||||
200 | Chugai Pharmaceutical Co. Ltd. | 10,472 | ||||||
500 | Daiichi Sankyo Co. Ltd. | 19,102 | ||||||
1,300 | Eisai Co. Ltd. | 91,507 | ||||||
92,332 | Gilead Sciences, Inc. | 6,540,799 | ||||||
300 | GlaxoSmithKline plc | 6,048 | ||||||
100 | Hisamitsu Pharmaceutical Co., Inc. | 8,426 | ||||||
3,200 | IQVIA Holdings, Inc.* | 319,424 | ||||||
12,849 | Johnson & Johnson | 1,559,098 | ||||||
19,800 | Merck & Co., Inc. | 1,201,860 | ||||||
5,500 | Mitsubishi Tanabe Pharma Corp. | 94,958 | ||||||
81,300 | Mylan NV* | 2,938,182 | ||||||
24,900 | Neurocrine Biosciences, Inc.* | 2,446,176 | ||||||
100 | Nippon Shinyaku Co. Ltd. | 6,206 | ||||||
300 | Ono Pharmaceutical Co. Ltd. | 7,023 | ||||||
300 | PeptiDream, Inc.* | 12,464 | ||||||
11,300 | Perrigo Co. plc | 823,883 | ||||||
60,559 | Pfizer, Inc. | 2,197,081 | ||||||
23,700 | Sanofi | 1,902,151 | ||||||
4,700 | Santen Pharmaceutical Co. Ltd. | 81,763 | ||||||
3,100 | Shionogi & Co. Ltd. | 159,073 | ||||||
8,049 | Thermo Fisher Scientific, Inc. | 1,667,270 | ||||||
2,700 | Zoetis, Inc. | 230,013 | ||||||
|
| |||||||
33,321,694 | ||||||||
|
| |||||||
Real Estate – 0.6% | ||||||||
32,571 | American Tower Corp. (REIT) | 4,695,761 | ||||||
7,100 | Aroundtown SA | 58,364 | ||||||
4,000 | CBRE Group, Inc. Class A* | 190,960 | ||||||
14,100 | Crown Castle International Corp. (REIT) | 1,520,262 | ||||||
100 | Daito Trust Construction Co. Ltd. | 16,267 | ||||||
4,300 | Equinix, Inc. (REIT) | 1,848,527 | ||||||
200 | Equity Residential (REIT) | 12,738 | ||||||
100 | Federal Realty Investment Trust (REIT) | 12,655 | ||||||
100 | Gecina SA (REIT) | 16,706 | ||||||
600 | GGP, Inc. (REIT) | 12,258 | ||||||
100 | Hammerson plc (REIT) | 687 | ||||||
12,500 | Howard Hughes Corp. (The)* | 1,656,250 | ||||||
100 | Intu Properties plc (REIT) | 238 | ||||||
200 | Iron Mountain, Inc. (REIT) | 7,002 | ||||||
200 | Kimco Realty Corp. (REIT) | 3,398 | ||||||
25,300 | Macerich Co. (The) (REIT) | 1,437,799 | ||||||
200 | Nomura Real Estate Holdings, Inc. | 4,428 | ||||||
400 | NTT Urban Development Corp. | 4,297 | ||||||
200 | Relo Group, Inc. | 5,269 | ||||||
8,800 | SBA Communications Corp. (REIT)* | 1,453,056 | ||||||
|
|
28 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Real Estate – (continued) | ||||||||
5,700 | Segro plc (REIT) | $ | 50,199 | |||||
200 | Simon Property Group, Inc. (REIT) | 34,038 | ||||||
300 | Sumitomo Realty & Development Co. Ltd. | 11,047 | ||||||
900 | Tokyu Fudosan Holdings Corp. | 6,349 | ||||||
200 | Tritax Big Box REIT plc (REIT) | 411 | ||||||
700 | Vonovia SE | 33,271 | ||||||
100 | Vornado Realty Trust (REIT) | 7,392 | ||||||
400 | Weyerhaeuser Co. (REIT) | 14,584 | ||||||
|
| |||||||
13,114,213 | ||||||||
|
| |||||||
Retailing – 1.9% | ||||||||
3,400 | Advance Auto Parts, Inc. | 461,380 | ||||||
7,376 | Amazon.com, Inc.* | 12,537,725 | ||||||
500 | AutoZone, Inc.* | 335,465 | ||||||
7,200 | Best Buy Co., Inc. | 536,976 | ||||||
900 | Booking Holdings, Inc.* | 1,824,381 | ||||||
17,500 | CarMax, Inc.* | 1,275,225 | ||||||
38,900 | Dixons Carphone plc | 95,461 | ||||||
4,600 | Dollar General Corp. | 453,560 | ||||||
26,200 | Dollar Tree, Inc.* | 2,227,000 | ||||||
200 | Don Quijote Holdings Co. Ltd. | 9,600 | ||||||
39,300 | Expedia Group, Inc. | 4,723,467 | ||||||
11,700 | Foot Locker, Inc. | 616,005 | ||||||
5,100 | Gap, Inc. (The) | 165,189 | ||||||
1,400 | Genuine Parts Co. | 128,506 | ||||||
11,100 | Home Depot, Inc. (The) | 2,165,610 | ||||||
10,400 | Kohl’s Corp. | 758,160 | ||||||
12,000 | LKQ Corp.* | 382,800 | ||||||
26,800 | Lowe’s Cos., Inc. | 2,561,276 | ||||||
19,000 | Macy’s, Inc. | 711,170 | ||||||
52,600 | Marks & Spencer Group plc | 204,323 | ||||||
400 | Marui Group Co. Ltd. | 8,414 | ||||||
9,100 | Netflix, Inc.* | 3,562,013 | ||||||
100 | Nitori Holdings Co. Ltd. | 15,558 | ||||||
5,900 | Nordstrom, Inc. | 305,502 | ||||||
100 | Ocado Group plc* | 1,351 | ||||||
5,000 | O’Reilly Automotive, Inc.* | 1,367,850 | ||||||
21,000 | Rakuten, Inc. | 141,743 | ||||||
100 | Ross Stores, Inc. | 8,475 | ||||||
11,400 | Target Corp. | 867,768 | ||||||
16,900 | Tiffany & Co. | 2,224,040 | ||||||
3,500 | Tractor Supply Co. | 267,715 | ||||||
|
| |||||||
40,943,708 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 0.8% | ||||||||
900 | Advantest Corp. | 18,669 | ||||||
48,500 | Applied Materials, Inc. | 2,240,215 | ||||||
500 | ASML Holding NV | 98,943 | ||||||
5,900 | BE Semiconductor Industries NV | 158,768 | ||||||
3,800 | Broadcom, Inc. | 922,032 | ||||||
100 | Infineon Technologies AG | 2,540 | ||||||
21,357 | Lam Research Corp. | 3,691,558 | ||||||
64,800 | Marvell Technology Group Ltd. | 1,389,312 | ||||||
6,100 | Microchip Technology, Inc. | 554,795 | ||||||
78,518 | Micron Technology, Inc.* | 4,117,484 | ||||||
10,190 | NVIDIA Corp. | 2,414,011 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Semiconductors & Semiconductor Equipment – (continued) | ||||||||
20,200 | QUALCOMM, Inc. | 1,133,624 | ||||||
500 | SCREEN Holdings Co. Ltd. | 35,017 | ||||||
1,400 | Siltronic AG | 198,941 | ||||||
8,800 | Skyworks Solutions, Inc. | 850,520 | ||||||
5,800 | STMicroelectronics NV | 128,663 | ||||||
300 | SUMCO Corp. | 6,025 | ||||||
200 | Texas Instruments, Inc. | 22,050 | ||||||
1,300 | Ulvac, Inc. | 49,591 | ||||||
|
| |||||||
18,032,758 | ||||||||
|
| |||||||
Software & Services – 4.5% | ||||||||
5,800 | Accenture plc Class A | 948,822 | ||||||
1,200 | Adobe Systems, Inc.* | 292,572 | ||||||
19,895 | Akamai Technologies, Inc.* | 1,456,911 | ||||||
14,100 | Alliance Data Systems Corp. | 3,288,120 | ||||||
6,094 | Alphabet, Inc. Class A* | 6,881,284 | ||||||
5,535 | Alphabet, Inc. Class C* | 6,175,123 | ||||||
6,200 | Altran Technologies SA | 89,608 | ||||||
700 | Amadeus IT Group SA | 55,043 | ||||||
100 | ANSYS, Inc.* | 17,418 | ||||||
3,000 | Atos SE | 407,931 | ||||||
9,400 | Autodesk, Inc.* | 1,232,246 | ||||||
25,800 | Booz Allen Hamilton Holding Corp. | 1,128,234 | ||||||
35,900 | CA, Inc. | 1,279,835 | ||||||
3,300 | Capgemini SE | 442,233 | ||||||
3,800 | Citrix Systems, Inc.* | 398,392 | ||||||
38,000 | Cognizant Technology Solutions Corp. Class A | 3,001,620 | ||||||
400 | Dassault Systemes SE | 55,977 | ||||||
17,100 | Dell Technologies, Inc. Class V* | 1,446,318 | ||||||
3,800 | DeNA Co. Ltd. | 71,158 | ||||||
30,800 | DXC Technology Co. | 2,482,788 | ||||||
75,600 | eBay, Inc.* | 2,741,256 | ||||||
9,800 | Electronic Arts, Inc.* | 1,381,996 | ||||||
17,000 | Euronet Worldwide, Inc.* | 1,424,090 | ||||||
45,981 | Facebook, Inc. Class A* | 8,935,028 | ||||||
4,600 | Fidelity National Information Services, Inc. | 487,738 | ||||||
81,500 | FireEye, Inc.* | 1,254,285 | ||||||
700 | Fiserv, Inc.* | 51,863 | ||||||
17,400 | Fujitsu Ltd. | 105,296 | ||||||
50,800 | Genpact Ltd. | 1,469,644 | ||||||
14,500 | International Business Machines Corp. | 2,025,650 | ||||||
1,400 | Intuit, Inc. | 286,027 | ||||||
4,700 | Just Eat plc* | 48,196 | ||||||
500 | Kakaku.com, Inc. | 11,259 | ||||||
27,502 | Mastercard, Inc. Class A | 5,404,693 | ||||||
3,700 | Micro Focus International plc | 64,200 | ||||||
116,157 | Microsoft Corp. | 11,454,242 | ||||||
4,200 | Nexon Co. Ltd.* | 60,939 | ||||||
100 | Nintendo Co. Ltd. | 32,643 | ||||||
100 | Nomura Research Institute Ltd. | 4,838 | ||||||
7,400 | NTT Data Corp. | 85,122 | ||||||
128,400 | Nuance Communications, Inc.* | 1,782,834 | ||||||
100 | Obic Co. Ltd. | 8,262 | ||||||
68,200 | Oracle Corp. | 3,004,892 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 29 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
June 30, 2018 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Software & Services – (continued) | ||||||||
300 | Otsuka Corp. | $ | 11,744 | |||||
51,051 | PayPal Holdings, Inc.* | 4,251,017 | ||||||
14,250 | Perspecta, Inc. | 292,838 | ||||||
1,700 | Red Hat, Inc.* | 228,429 | ||||||
27,600 | salesforce.com, Inc.* | 3,764,640 | ||||||
700 | Scout24 AG | 37,050 | ||||||
4,400 | Sophos Group plc | 36,998 | ||||||
11,400 | Splunk, Inc.* | 1,129,854 | ||||||
200 | Square Enix Holdings Co. Ltd. | 9,806 | ||||||
19,200 | Square, Inc. Class A* | 1,183,488 | ||||||
57,000 | Symantec Corp. | 1,177,050 | ||||||
2,900 | Synopsys, Inc.* | 248,153 | ||||||
20,200 | Tableau Software, Inc. Class A* | 1,974,550 | ||||||
14,098 | Take-Two Interactive Software, Inc.* | 1,668,639 | ||||||
9,400 | Total System Services, Inc. | 794,488 | ||||||
1,900 | Ubisoft Entertainment SA* | 207,686 | ||||||
1,900 | United Internet AG (Registered) | 108,474 | ||||||
1,400 | VeriSign, Inc.* | 192,388 | ||||||
35,694 | Visa, Inc. Class A | 4,727,670 | ||||||
33,400 | Western Union Co. (The) | 679,022 | ||||||
500 | Wirecard AG | 80,010 | ||||||
48,300 | Worldpay, Inc.* | 3,949,974 | ||||||
100 | Yahoo Japan Corp. | 331 | ||||||
6,100 | ZPG plc | 39,224 | ||||||
|
| |||||||
100,070,149 | ||||||||
|
| |||||||
Technology Hardware & Equipment – 1.6% | ||||||||
1,200 | Alps Electric Co. Ltd. | 30,819 | ||||||
64,219 | Apple, Inc. | 11,887,579 | ||||||
2,900 | Canon, Inc. | 95,096 | ||||||
76,300 | Cisco Systems, Inc. | 3,283,189 | ||||||
84,806 | CommScope Holding Co., Inc.* | 2,476,759 | ||||||
600 | Electrocomponents plc | 5,982 | ||||||
4,200 | F5 Networks, Inc.* | 724,290 | ||||||
2,700 | FLIR Systems, Inc. | 140,319 | ||||||
3,200 | FUJIFILM Holdings Corp. | 124,809 | ||||||
700 | Halma plc | 12,604 | ||||||
100 | Hamamatsu Photonics KK | 4,293 | ||||||
25,600 | Hitachi Ltd. | 180,352 | ||||||
400 | Horiba Ltd. | 27,960 | ||||||
72,100 | HP, Inc. | 1,635,949 | ||||||
3,400 | Ibiden Co. Ltd. | 54,327 | ||||||
3,800 | Ingenico Group SA | 340,724 | ||||||
700 | IPG Photonics Corp.* | 154,441 | ||||||
57,200 | Juniper Networks, Inc. | 1,568,424 | ||||||
1,000 | Kyocera Corp. | 56,238 | ||||||
1,700 | Motorola Solutions, Inc. | 197,829 | ||||||
15,400 | NetApp, Inc. | 1,209,362 | ||||||
3,200 | Nippon Electric Glass Co. Ltd. | 88,704 | ||||||
77,000 | Nokia OYJ | 441,663 | ||||||
200 | Omron Corp. | 9,317 | ||||||
26,509 | Palo Alto Networks, Inc.* | 5,446,804 | ||||||
22,400 | Seagate Technology plc | 1,264,928 | ||||||
400 | Shimadzu Corp. | 12,068 | ||||||
1,200 | Spectris plc | 41,230 | ||||||
100 | Taiyo Yuden Co. Ltd. | 2,787 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Technology Hardware & Equipment – (continued) | ||||||||
100 | TDK Corp. | 10,182 | ||||||
1,600 | TE Connectivity Ltd. | 144,096 | ||||||
35,800 | Western Digital Corp. | 2,771,278 | ||||||
400 | Yaskawa Electric Corp. | 14,086 | ||||||
3,200 | Yokogawa Electric Corp. | 56,823 | ||||||
12,000 | Zebra Technologies Corp. Class A* | 1,719,000 | ||||||
|
| |||||||
36,234,311 | ||||||||
|
| |||||||
Telecommunication Services – 0.2% | ||||||||
78,600 | AT&T, Inc. | 2,523,846 | ||||||
200 | BT Group plc | 574 | ||||||
1,400 | Cellnex Telecom SA | 35,198 | ||||||
2,200 | CenturyLink, Inc. | 41,008 | ||||||
3,600 | KDDI Corp. | 98,442 | ||||||
7,400 | Nippon Telegraph & Telephone Corp. | 336,167 | ||||||
100 | NTT DOCOMO, Inc. | 2,548 | ||||||
100 | Orange SA | 1,669 | ||||||
966,300 | Telecom Italia SpA* | 715,914 | ||||||
400 | Telefonica Deutschland Holding AG | 1,574 | ||||||
46,600 | Telefonica SA | 395,514 | ||||||
800 | Verizon Communications, Inc. | 40,248 | ||||||
173,300 | Vodafone Group plc | 419,783 | ||||||
|
| |||||||
4,612,485 | ||||||||
|
| |||||||
Transportation – 0.6% | ||||||||
2,100 | Abertis Infraestructuras SA | 45,011 | ||||||
33,600 | Air France-KLM* | 274,585 | ||||||
9,200 | Alaska Air Group, Inc. | 555,588 | ||||||
500 | American Airlines Group, Inc. | 18,980 | ||||||
7,500 | Atlantia SpA | 221,117 | ||||||
600 | Central Japan Railway Co. | 124,218 | ||||||
2,000 | CH Robinson Worldwide, Inc. | 167,320 | ||||||
93,539 | Delta Air Lines, Inc. | 4,633,922 | ||||||
13,500 | Deutsche Lufthansa AG (Registered) | 323,428 | ||||||
1,700 | Deutsche Post AG (Registered) | 55,234 | ||||||
4,500 | easyJet plc | 99,000 | ||||||
500 | FedEx Corp. | 113,530 | ||||||
1,500 | Fraport AG Frankfurt Airport Services Worldwide | 144,307 | ||||||
17,000 | Genesee & Wyoming, Inc. Class A* | 1,382,440 | �� | |||||
19,200 | International Consolidated Airlines Group SA | 167,509 | ||||||
400 | Japan Airlines Co. Ltd. | 14,172 | ||||||
1,200 | JB Hunt Transport Services, Inc. | 145,860 | ||||||
1,500 | Kansas City Southern | 158,940 | ||||||
100 | Keisei Electric Railway Co. Ltd. | 3,430 | ||||||
100 | Nippon Express Co. Ltd. | 7,246 | ||||||
27,700 | Royal Mail plc | 184,286 | ||||||
5,100 | Seino Holdings Co. Ltd. | 90,245 | ||||||
2,900 | SG Holdings Co. Ltd. | 63,443 | ||||||
9,300 | Southwest Airlines Co. | 473,184 | ||||||
9,400 | Union Pacific Corp. | 1,331,792 | ||||||
5,600 | United Continental Holdings, Inc.* | 390,488 | ||||||
10,600 | United Parcel Service, Inc. Class B | 1,126,038 | ||||||
12,500 | XPO Logistics, Inc.* | 1,252,250 | ||||||
300 | Yamato Holdings Co. Ltd. | 8,830 | ||||||
|
| |||||||
13,576,393 | ||||||||
|
|
30 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Utilities – 0.5% | ||||||||
268,400 | A2A SpA | $ | 464,582 | |||||
30,200 | AES Corp. | 404,982 | ||||||
300 | Alliant Energy Corp. | 12,696 | ||||||
100 | American Electric Power Co., Inc. | 6,925 | ||||||
17,052 | American Water Works Co., Inc. | 1,455,900 | ||||||
12,900 | CenterPoint Energy, Inc. | 357,459 | ||||||
71,000 | Centrica plc | 147,423 | ||||||
200 | Chubu Electric Power Co., Inc. | 2,999 | ||||||
4,000 | Consolidated Edison, Inc. | 311,920 | ||||||
25,700 | Drax Group plc | 110,857 | ||||||
3,200 | DTE Energy Co. | 331,616 | ||||||
4,100 | Duke Energy Corp. | 324,228 | ||||||
1,800 | E.ON SE | 19,178 | ||||||
3,000 | Edison International | 189,810 | ||||||
400 | Electric Power Development Co. Ltd. | 10,324 | ||||||
2,100 | Electricite de France SA | 28,816 | ||||||
100 | Endesa SA | 2,199 | ||||||
54,200 | Enel SpA | 300,332 | ||||||
29,500 | Engie SA | 451,247 | ||||||
2,300 | Entergy Corp. | 185,817 | ||||||
100 | Eversource Energy | 5,861 | ||||||
16,400 | Exelon Corp. | 698,640 | ||||||
2,700 | FirstEnergy Corp. | 96,957 | ||||||
2,400 | Fortum OYJ | 57,166 | ||||||
3,100 | Kansai Electric Power Co., Inc. (The) | 45,211 | ||||||
1,200 | NextEra Energy, Inc. | 200,436 | ||||||
300 | NiSource, Inc. | 7,884 | ||||||
21,500 | NRG Energy, Inc. | 660,050 | ||||||
12,000 | PG&E Corp. | 510,720 | ||||||
400 | PPL Corp. | 11,420 | ||||||
1,700 | Public Service Enterprise Group, Inc. | 92,038 | ||||||
300 | Rubis SCA | 18,700 | ||||||
1,100 | RWE AG | 24,997 | ||||||
100 | Sempra Energy | 11,611 | ||||||
3,100 | Shikoku Electric Power Co., Inc. | 41,463 | ||||||
8,300 | SSE plc | 148,159 | ||||||
100 | Suez | 1,294 | ||||||
35,600 | Terna Rete Elettrica Nazionale SpA | 192,264 | ||||||
14,500 | Tokyo Electric Power Co. Holdings, Inc.* | 67,505 | ||||||
160,100 | Vistra Energy Corp.* | 3,787,966 | ||||||
200 | Xcel Energy, Inc. | 9,136 | ||||||
|
| |||||||
11,808,788 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $500,787,628) | $ | 541,533,927 | ||||||
|
| |||||||
Exchange Traded Funds – 7.6% | ||||||||
75,256 | Energy Select Sector SPDR Fund | $ | 5,714,941 | |||||
269,783 | Health Care Select Sector SPDR Fund | 22,516,089 | ||||||
96,086 | Invesco Emerging Markets Sovereign Debt ETF | 2,548,201 | ||||||
|
| |||||||
Exchange Traded Funds – (continued) | ||||||||
1,843,142 | Invesco Senior Loan ETF | 42,207,952 | ||||||
32,404 | SPDR Bloomberg Barclays Convertible Securities ETF | 1,718,060 | ||||||
49,989 | SPDR Dow Jones International Real Estate ETF | 1,956,569 | ||||||
31,158 | SPDR Dow Jones REIT ETF | 2,927,606 | ||||||
2,112,721 | Vanguard FTSE Emerging Markets ETF | 89,156,826 | ||||||
|
| |||||||
TOTAL EXCHANGE TRADED FUNDS | ||||||||
(Cost $159,098,841) | $ | 168,746,244 | ||||||
|
|
Shares | Distribution Rate | Value | ||||
Investment Company(c) – 62.1% | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||
1,371,868,767 | 1.869% | $ | 1,371,868,767 | |||
(Cost $1,371,868,767) | ||||||
| ||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | ||||||
(Cost $2,031,755,236) | $ | 2,082,148,938 | ||||
| ||||||
Securities Lending Reinvestment Vehicle(c) – 0.1% | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||
2,648,850 | 1.869% | $ | 2,648,850 | |||
(Cost $2,648,850) | ||||||
| ||||||
TOTAL INVESTMENTS – 94.3% | ||||||
(Cost $2,034,404,086) | $ | 2,084,797,788 | ||||
| ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 5.7% | 125,966,007 | |||||
| ||||||
NET ASSETS – 100.0% | $ | 2,210,763,795 | ||||
|
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) | Represents an Affiliated Issuer. |
The accompanying notes are an integral part of these financial statements. | 31 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
June 30, 2018 (Unaudited)
| ||
Investment Abbreviations: | ||
CVA | —Dutch Certification | |
REIT | —Real Estate Investment Trust | |
SPDR | —Standard and Poor’s Depositary Receipts | |
Currency Abbreviations: | ||
AUD | —Australian Dollar | |
BRL | —Brazilian Real | |
CAD | —Canadian Dollar | |
CHF | —Swiss Franc | |
CLP | —Chilean Peso | |
CZK | —Czech Koruna | |
EUR | —Euro | |
GBP | —British Pound | |
HUF | —Hungarian Forint | |
IDR | —Indonesian Rupiah | |
ILS | —Israel New Shekel | |
INR | —Indian Rupee | |
JPY | —Japanese Yen | |
MXN | —Mexican Peso | |
NOK | —Norwegian Krone | |
NZD | —New Zealand Dollar | |
PHP | —Philippines peso | |
PLN | —Polish Zloty | |
SEK | —Swedish Krona | |
TWD | —Taiwan Dollar | |
USD | —United States Dollar | |
|
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30, 2018, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
Counterparty | Currency Purchased | Currency Sold | Current Value | Settlement Date | Unrealized Gain | |||||||||||||||||||
UBS AG | USD | 3,794,740 | BRL | 14,370,000 | $ | 3,695,453 | 07/30/2018 | $ | 99,287 | |||||||||||||||
USD | 4,168,350 | CHF | 4,120,000 | 4,167,845 | 07/24/2018 | 505 | ||||||||||||||||||
USD | 3,408,541 | CLP | 2,182,850,000 | 3,341,083 | 07/30/2018 | 67,458 | ||||||||||||||||||
USD | 27,211,167 | GBP | 20,500,000 | 27,081,190 | 07/24/2018 | 129,977 | ||||||||||||||||||
USD | 6,818,161 | HUF | 1,911,160,000 | 6,786,281 | 07/24/2018 | 31,880 | ||||||||||||||||||
USD | 4,197,457 | IDR | 59,987,030,000 | 4,181,875 | 07/30/2018 | 15,582 | ||||||||||||||||||
USD | 9,463,629 | ILS | 34,170,000 | 9,354,709 | 07/24/2018 | 108,920 | ||||||||||||||||||
USD | 8,108,883 | INR | 555,860,000 | 8,088,776 | 07/30/2018 | 20,107 | ||||||||||||||||||
USD | 19,325,198 | JPY | 2,126,240,000 | 19,232,106 | 07/24/2018 | 93,092 | ||||||||||||||||||
USD | 3,397,265 | NOK | 27,620,000 | 3,394,224 | 07/24/2018 | 3,041 | ||||||||||||||||||
USD | 12,595,992 | NZD | 18,340,000 | 12,421,813 | 07/24/2018 | 174,179 | ||||||||||||||||||
USD | 4,641,988 | PLN | 17,300,000 | 4,620,005 | 07/24/2018 | 21,983 | ||||||||||||||||||
USD | 5,970,038 | SEK | 53,060,000 | 5,933,466 | 07/24/2018 | 36,572 | ||||||||||||||||||
USD | 10,052,373 | TWD | 304,480,000 | 10,012,662 | 07/30/2018 | 39,711 | ||||||||||||||||||
TOTAL | $ | 842,294 |
32 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
Counterparty | Currency Purchased | Currency Sold | Current Value | Settlement Date | Unrealized Loss | |||||||||||||||||||
UBS AG | USD | 13,843,794 | AUD | 18,740,000 | $ | 13,869,375 | 07/24/2018 | $ | (25,581 | ) | ||||||||||||||
USD | 12,277,947 | CAD | 16,330,000 | 12,426,316 | 07/24/2018 | (148,369 | ) | |||||||||||||||||
USD | 16,746,462 | CHF | 16,590,000 | 16,782,656 | 07/24/2018 | (36,194 | ) | |||||||||||||||||
USD | 5,206,145 | CZK | 115,810,000 | 5,214,426 | 07/24/2018 | (8,281 | ) | |||||||||||||||||
USD | 54,520,579 | EUR | 46,860,000 | 54,808,291 | 07/24/2018 | (287,712 | ) | |||||||||||||||||
USD | 4,060,570 | MXN | 82,950,000 | 4,162,577 | 07/24/2018 | (102,007 | ) | |||||||||||||||||
USD | 12,500,718 | PHP | 669,690,000 | 12,523,275 | 07/30/2018 | (22,557 | ) | |||||||||||||||||
TOTAL | $ | (630,701 | ) |
FUTURES CONTRACTS — At June 30, 2018, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
3 Month Canadian Bankers Acceptance | 84 | 09/17/2018 | $ | 15,660,746 | $ | (4,510 | ) | |||||||||
3 Month Canadian Bankers Acceptance | 56 | 12/17/2018 | 10,423,459 | (7,850 | ) | |||||||||||
3 Month Canadian Bankers Acceptance | 20 | 03/18/2019 | 3,717,149 | (3,122 | ) | |||||||||||
3 Month Sterling | 92 | 09/19/2018 | 15,053,431 | (6,180 | ) | |||||||||||
3 Month Sterling | 76 | 12/19/2018 | 12,428,547 | (1,467 | ) | |||||||||||
3 Month Sterling | 54 | 03/20/2019 | 8,824,574 | 995 | ||||||||||||
3 Month Sterling | 58 | 06/19/2019 | 9,472,505 | 1,590 | ||||||||||||
3 Month Sterling | 45 | 09/18/2019 | 7,344,903 | (561 | ) | |||||||||||
3 Month Sterling | 29 | 12/18/2019 | 4,730,033 | (1,199 | ) | |||||||||||
3 Month Sterling | 22 | 03/18/2020 | 3,586,486 | (497 | ) | |||||||||||
3 Month Sterling | 18 | 06/17/2020 | 2,933,210 | 550 | ||||||||||||
Amsterdam Exchange Index | 40 | 07/20/2018 | 5,153,268 | (112,162 | ) | |||||||||||
ASX 90 Day Bank Accepted Bill | 15 | 12/13/2018 | 11,046,275 | (577 | ) | |||||||||||
ASX 90 Day Bank Accepted Bill | 77 | 03/07/2019 | 56,701,428 | 4,640 | ||||||||||||
Australia 10 Year Bond | 118 | 09/17/2018 | 11,296,624 | 20,401 | ||||||||||||
Brent Crude Oil | 81 | 07/31/2018 | 6,417,630 | 182,087 | ||||||||||||
CAC 40 10 Euro Index | 103 | 07/20/2018 | 6,399,678 | (153,955 | ) | |||||||||||
Canada 10 Year Bond | 70 | 09/19/2018 | 7,279,276 | (21,431 | ) | |||||||||||
DAX Index | 12 | 09/21/2018 | 4,312,160 | (194,877 | ) | |||||||||||
EURO STOXX 50 Index | 970 | 09/21/2018 | 38,412,095 | (910,886 | ) | |||||||||||
Euro-Bobl | 329 | 09/06/2018 | 50,780,534 | 200,266 | ||||||||||||
Euro-Bund | 338 | 09/06/2018 | 64,161,151 | 523,679 | ||||||||||||
Euro-Buxl | 32 | 09/06/2018 | 6,640,578 | 114,772 | ||||||||||||
Euro-OAT | 109 | 09/06/2018 | 19,671,428 | 174,407 | ||||||||||||
Euro-Schatz | 419 | 09/06/2018 | 54,844,110 | 38,617 | ||||||||||||
FTSE 100 Index | 222 | 09/21/2018 | 22,271,216 | (150,162 | ) | |||||||||||
Japan 10 Year Bond | 5 | 09/12/2018 | 6,812,085 | 9,057 | ||||||||||||
LME Aluminum Base Metal | 40 | 07/16/2018 | 2,164,000 | (216,581 | ) | |||||||||||
LME Aluminum Base Metal | 39 | 08/13/2018 | 2,073,825 | (178,468 | ) | |||||||||||
LME Nickel Base Metal | 29 | 07/16/2018 | 2,581,377 | (107,687 | ) | |||||||||||
LME Nickel Base Metal | 31 | 08/13/2018 | 2,764,983 | (114,367 | ) | |||||||||||
Long Gilt | 132 | 09/26/2018 | 21,437,913 | (24,556 | ) | |||||||||||
Low Sulphur Gasoil | 60 | 08/10/2018 | 4,060,500 | 59,879 | ||||||||||||
MSCI Taiwan Index | 57 | 07/30/2018 | 2,209,320 | 5,686 | ||||||||||||
NASDAQ 100 Emini Index | 102 | 09/21/2018 | 14,416,170 | (268,500 | ) | |||||||||||
NY Harbor ULSD | 43 | 07/31/2018 | 3,990,718 | 46,476 |
The accompanying notes are an integral part of these financial statements. | 33 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS (continued)
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: (continued) | ||||||||||||||||
OMXS30 Index | 135 | 07/20/2018 | $ | 2,352,807 | $ | (14,005 | ) | |||||||||
RBOB Gasoline | 39 | 07/31/2018 | 3,523,666 | 76,878 | ||||||||||||
Russell 2000 E-Mini Index | 524 | 09/21/2018 | 43,164,500 | (757,544 | ) | |||||||||||
S&P Midcap 400 E-Mini Index | 35 | 09/21/2018 | 6,846,350 | (177,428 | ) | |||||||||||
S&P/TSX 60 Index | 41 | 09/20/2018 | 6,008,489 | 20,561 | ||||||||||||
TOPIX Index | 96 | 09/13/2018 | 15,005,013 | (345,604 | ) | |||||||||||
U.S. Treasury Long Bond | 16 | 09/19/2018 | 2,320,000 | 239 | ||||||||||||
WTI Crude Oil | 76 | 07/20/2018 | 5,635,400 | 627,550 | ||||||||||||
Total | $ | (1,665,846 | ) | |||||||||||||
Short position contracts: | ||||||||||||||||
100 oz Gold | (148 | ) | 08/29/2018 | $ | (18,566,600 | ) | $ | 374,402 | ||||||||
3 Month Eurodollar | (162 | ) | 09/17/2018 | (39,505,725 | ) | 192,913 | ||||||||||
3 Month Eurodollar | (219 | ) | 12/17/2018 | (53,304,600 | ) | 264,690 | ||||||||||
3 Month Eurodollar | (253 | ) | 03/18/2019 | (61,504,300 | ) | 323,047 | ||||||||||
3 Month Eurodollar | (273 | ) | 06/17/2019 | (66,301,462 | ) | 370,928 | ||||||||||
3 Month Eurodollar | (260 | ) | 09/16/2019 | (63,102,000 | ) | 367,141 | ||||||||||
3 Month Eurodollar | (235 | ) | 12/16/2019 | (57,008,063 | ) | 306,475 | ||||||||||
3 Month Eurodollar | �� | (224 | ) | 03/16/2020 | (54,331,200 | ) | 114,805 | |||||||||
3 Month Eurodollar | (207 | ) | 06/15/2020 | (50,207,850 | ) | (24,559 | ) | |||||||||
ASX 90 Day Bank Accepted Bill | (145 | ) | 09/13/2018 | (106,780,656 | ) | 2,692 | ||||||||||
Coffee ’C’ | (62 | ) | 09/18/2018 | (2,676,075 | ) | 42,817 | ||||||||||
Corn | (189 | ) | 09/14/2018 | (3,397,275 | ) | 65,555 | ||||||||||
Euro-BTP | (31 | ) | 09/06/2018 | (4,606,317 | ) | (42,034 | ) | |||||||||
KOSPI 200 Index | (35 | ) | 09/13/2018 | (2,355,316 | ) | (6,102 | ) | |||||||||
LME Aluminum Base Metal | (40 | ) | 07/16/2018 | (2,164,000 | ) | 163,651 | ||||||||||
LME Nickel Base Metal | (29 | ) | 07/16/2018 | (2,581,377 | ) | 106,855 | ||||||||||
S&P 500 E-Mini Index | (1,281 | ) | 09/21/2018 | (174,318,480 | ) | 3,312,766 | ||||||||||
Silver | (38 | ) | 09/26/2018 | (3,077,620 | ) | 131,957 | ||||||||||
Soybean | (110 | ) | 11/14/2018 | (4,840,000 | ) | 199,028 | ||||||||||
U.S. Treasury 10 Year Note | (77 | ) | 09/19/2018 | (9,254,438 | ) | (49,355 | ) | |||||||||
U.S. Treasury 2 Year Note | (151 | ) | 09/28/2018 | (31,986,047 | ) | (15,526 | ) | |||||||||
U.S. Treasury 5 Year Note | (140 | ) | 09/28/2018 | (15,906,406 | ) | (50,166 | ) | |||||||||
Total | $ | 6,151,980 | ||||||||||||||
Total Futures Contracts | $ | 4,486,134 |
34 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
SWAP CONTRACTS — At June 30, 2018, the Fund had the following swap contracts:
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS
Reference Obligation/Index | Financing Rate Received (Paid) by the Fund | Credit Spread at June 30, 2018(a) | Termination Date | Notional (000’s) | Value | Upfront Paid | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
Protection Purchased (b): | ||||||||||||||||||||||||||||
Markit CDX North America High Yield Index | (5.000)% | 3.584% | 06/20/2023 | USD 42,150 | $ | (2,536,612 | ) | $ | (2,718,036 | ) | $ | 181,424 | ||||||||||||||||
Protection Sold (c): | ||||||||||||||||||||||||||||
Markit CDX North America Investment Grade Index | 1.000 | 0.672 | 06/20/2023 | 8,000 | 122,123 | 137,053 | (14,930 | ) | ||||||||||||||||||||
iTraxx Europe Crossover Index | 5.000 | 3.200 | 06/20/2023 | EUR 46,900 | 4,436,037 | 5,545,497 | (1,109,460 | ) | ||||||||||||||||||||
iTraxx Europe Index | 1.000 | 0.735 | 06/20/2023 | 2,800 | 43,283 | 70,486 | (27,203 | ) | ||||||||||||||||||||
TOTAL | $ | 2,064,831 | $ | 3,035,000 | $ | (970,169 | ) |
(a) | Credit spread on the referenced obligation, together with the period of expiration, 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 term of the swap contract increase. |
(b) | Payments made quarterly |
(c) | Payments received quarterly. |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS
Referenced Obligation/Index | Financing Rate Received (Paid) by the Fund | Counterparty | Termination Date | Notional Amount (000’s) | Unrealized Appreciation/ (Depreciation)(a) | |||||||||||||
MSCI The World Growth Net Return Index(b) | (2.047)% | Bank of America NA | 05/13/2019 | USD 119,560 | $ | 71,440 | ||||||||||||
MSCI The World Growth Net Return Index(b) | (2.046) | 05/13/2019 | 24,966 | (588,592) | ||||||||||||||
MSCI The World Net Return Index(c) | 2.047 | 05/13/2019 | 125,748 | 3,287,734 | ||||||||||||||
MSCI The World Net Return Index(c) | 2.046 | 05/13/2019 | 26,642 | 605,134 | ||||||||||||||
Alerian MLP Index Total Return(d) | (2.362) | Deutsche Bank AG | 10/26/2018 | 13,456 | 543,015 | |||||||||||||
Bloomberg Roll Select Commodity Index Total Return(e) | 0.000 | JPMorgan Chase Bank NA | 11/23/2018 | 11,000 | 19,095 | |||||||||||||
TOTAL | $ | 3,937,826 |
(a) | There are no upfront payments on the swap contracts listed above; therefore the unrealized gains (losses) on the swap contracts are equal to their value. |
(b) | Payments made monthly. |
(c) | Payments received monthly. |
(d) | Payments made quarterly. |
(e) | Payments made weekly. |
The accompanying notes are an integral part of these financial statements. | 35 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
WRITTEN OPTIONS CONTRACTS — At June 30, 2018, the Fund had the following written options contracts:
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Value | Premiums Paid (Received) by the Fund | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Written options contracts: |
| |||||||||||||||||||||||||||||
Puts | ||||||||||||||||||||||||||||||
S&P 500 Index | Morgan Stanley Co., Inc. | 2,425.00 USD | 07/20/2018 | 35 | $ | (9,514,295 | ) | $ | (7,350 | ) | $ | (72,324 | ) | $ | 64,974 | |||||||||||||||
2,450.00 USD | 07/20/2018 | 35 | (9,514,295 | ) | (8,225 | ) | (77,874 | ) | 69,649 | |||||||||||||||||||||
2,475.00 USD | 07/20/2018 | 34 | (9,242,458 | ) | (8,500 | ) | (88,346 | ) | 79,846 | |||||||||||||||||||||
2,500.00 USD | 07/20/2018 | 33 | (8,970,621 | ) | (11,550 | ) | (96,807 | ) | 85,257 | |||||||||||||||||||||
2,525.00 USD | 07/20/2018 | 34 | (9,242,458 | ) | (14,450 | ) | (107,305 | ) | 92,855 | |||||||||||||||||||||
2,550.00 USD | 07/20/2018 | 33 | (8,970,621 | ) | (18,315 | ) | (120,633 | ) | 102,318 | |||||||||||||||||||||
2,575.00 USD | 07/20/2018 | 32 | (8,698,784 | ) | (18,240 | ) | (132,848 | ) | 114,608 | |||||||||||||||||||||
2,600.00 USD | 07/20/2018 | 32 | (8,698,784 | ) | (25,920 | ) | (148,013 | ) | 122,093 | |||||||||||||||||||||
2,625.00 USD | 07/20/2018 | 31 | (8,426,947 | ) | (34,100 | ) | (166,858 | ) | 132,758 | |||||||||||||||||||||
2,650.00 USD | 07/20/2018 | 31 | (8,426,947 | ) | (44,950 | ) | (185,569 | ) | 140,619 | |||||||||||||||||||||
2,675.00 USD | 07/20/2018 | 30 | (8,155,110 | ) | (55,500 | ) | (210,214 | ) | 154,714 | |||||||||||||||||||||
2,700.00 USD | 07/20/2018 | 29 | (7,883,273 | ) | (71,514 | ) | (231,537 | ) | 160,023 | |||||||||||||||||||||
2,450.00 USD | 08/17/2018 | 47 | (12,776,339 | ) | (41,736 | ) | (73,289 | ) | 31,553 | |||||||||||||||||||||
2,475.00 USD | 08/17/2018 | 46 | (12,504,502 | ) | (39,100 | ) | (79,659 | ) | 40,559 | |||||||||||||||||||||
2,500.00 USD | 08/17/2018 | 45 | (12,232,665 | ) | (51,750 | ) | (87,266 | ) | 35,516 | |||||||||||||||||||||
2,525.00 USD | 08/17/2018 | 44 | (11,960,828 | ) | (57,200 | ) | (96,867 | ) | 39,667 | |||||||||||||||||||||
2,550.00 USD | 08/17/2018 | 43 | (11,688,991 | ) | (65,919 | ) | (107,598 | ) | 41,679 | |||||||||||||||||||||
2,575.00 USD | 08/17/2018 | 42 | (11,417,154 | ) | (73,080 | ) | (121,100 | ) | 48,020 | |||||||||||||||||||||
2,600.00 USD | 08/17/2018 | 41 | (11,145,317 | ) | (85,075 | ) | (134,202 | ) | 49,127 | |||||||||||||||||||||
2,625.00 USD | 08/17/2018 | 41 | (11,145,317 | ) | (100,450 | ) | (150,237 | ) | 49,787 | |||||||||||||||||||||
2,650.00 USD | 08/17/2018 | 40 | (10,873,480 | ) | (118,000 | ) | (168,561 | ) | 50,561 | |||||||||||||||||||||
2,675.00 USD | 08/17/2018 | 39 | (10,601,643 | ) | (130,845 | ) | (189,809 | ) | 58,964 | |||||||||||||||||||||
2,700.00 USD | 08/17/2018 | 38 | (10,329,806 | ) | (157,776 | ) | (212,823 | ) | 55,047 | |||||||||||||||||||||
2,725.00 USD | 08/17/2018 | 38 | (10,329,806 | ) | (190,000 | ) | (246,067 | ) | 56,067 | |||||||||||||||||||||
2,500.00 USD | 09/21/2018 | 50 | (13,591,850 | ) | (100,500 | ) | (75,523 | ) | (24,977 | ) | ||||||||||||||||||||
2,525.00 USD | 09/21/2018 | 47 | (12,776,339 | ) | (113,740 | ) | (79,147 | ) | (34,593 | ) | ||||||||||||||||||||
2,550.00 USD | 09/21/2018 | 48 | (13,048,176 | ) | (139,200 | ) | (90,764 | ) | (48,436 | ) | ||||||||||||||||||||
2,575.00 USD | 09/21/2018 | 49 | (13,320,013 | ) | (144,795 | ) | (103,870 | ) | (40,925 | ) | ||||||||||||||||||||
2,600.00 USD | 09/21/2018 | 46 | (12,504,502 | ) | (149,638 | ) | (108,975 | ) | (40,663 | ) | ||||||||||||||||||||
2,625.00 USD | 09/21/2018 | 45 | (12,232,665 | ) | (169,200 | ) | (120,880 | ) | (48,320 | ) | ||||||||||||||||||||
2,650.00 USD | 09/21/2018 | 44 | (11,960,828 | ) | (206,800 | ) | (133,596 | ) | (73,204 | ) | ||||||||||||||||||||
2,675.00 USD | 09/21/2018 | 43 | (11,688,991 | ) | (216,591 | ) | (148,533 | ) | (68,058 | ) | ||||||||||||||||||||
2,700.00 USD | 09/21/2018 | 43 | (11,688,991 | ) | (258,000 | ) | (170,530 | ) | (87,470 | ) | ||||||||||||||||||||
2,725.00 USD | 09/21/2018 | 42 | (11,417,154 | ) | (286,440 | ) | (189,424 | ) | (97,016 | ) | ||||||||||||||||||||
2,750.00 USD | 09/21/2018 | 41 | (11,145,317 | ) | (318,980 | ) | (212,496 | ) | (106,484 | ) | ||||||||||||||||||||
2,775.00 USD | 09/21/2018 | 40 | (10,873,480 | ) | (361,320 | ) | (240,089 | ) | (121,231 | ) | ||||||||||||||||||||
Total written options contracts | 1,431 | $ | (3,894,749 | ) | $ | (4,979,633 | ) | $ | 1,084,884 |
36 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments
June 30, 2018 (Unaudited)
Shares | Distribution Rate | Value | ||||||
Investment Company (a) – 89.2% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
93,937,936 | 1.869% | $ | 93,937,936 | |||||
|
| |||||||
TOTAL INVESTMENTS – 89.2% | ||||||||
(Cost $93,937,936) | $ | 93,937,936 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF | 11,339,587 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 105,277,523 | ||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
(a) | Represents an Affiliated Issuer. |
| ||
Currency Abbreviations: | ||
AUD | —Australian Dollar | |
BRL | —Brazilian Real | |
CAD | —Canadian Dollar | |
CHF | —Swiss Franc | |
CLP | —Chilean Peso | |
COP | —Colombian Peso | |
CZK | —Czech Koruna | |
EUR | —Euro | |
GBP | —British Pound | |
HUF | —Hungarian Forint | |
ILS | —Israel New Shekel | |
INR | —Indian Rupee | |
JPY | —Japanese Yen | |
KRW | —South Korean Won | |
MXN | —Mexican Peso | |
NOK | —Norwegian Krone | |
NZD | —New Zealand Dollar | |
PEN | —Peru Nuevo Sol | |
PHP | —Philippines Peso | |
PLN | —Polish Zloty | |
RUB | —Russian Ruble | |
SEK | —Swedish Krona | |
THB | —Thailand Baht | |
TRY | —Turkish Lira | |
TWD | —Taiwan Dollar | |
USD | —United States Dollar | |
ZAR | —South African Rand | |
|
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30, 2018, 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., Inc. | CHF | 390,000 | USD | 393,352 | $ | 394,529 | 07/24/2018 | $ | 1,177 | |||||||||||||||
COP | 7,718,180,000 | USD | 2,620,410 | 2,630,024 | 07/30/2018 | 9,614 | ||||||||||||||||||
EUR | 190,000 | USD | 221,845 | 222,228 | 07/24/2018 | 383 | ||||||||||||||||||
MXN | 57,130,000 | USD | 2,796,460 | 2,866,884 | 07/24/2018 | 70,424 | ||||||||||||||||||
PEN | 8,950,000 | USD | 2,720,117 | 2,725,335 | 07/02/2018 | 5,218 | ||||||||||||||||||
PLN | 830,000 | USD | 221,541 | 221,653 | 07/24/2018 | 112 | ||||||||||||||||||
RUB | 314,710,000 | USD | 4,913,407 | 4,996,223 | 07/30/2018 | 82,816 | ||||||||||||||||||
SEK | 3,810,000 | USD | 425,953 | 426,056 | 07/24/2018 | 103 | ||||||||||||||||||
TRY | 36,270,000 | USD | 7,552,067 | 7,824,147 | 07/24/2018 | 272,080 | ||||||||||||||||||
USD | 687,980 | CHF | 680,000 | 687,897 | 07/24/2018 | 83 | ||||||||||||||||||
USD | 2,035,673 | CLP | 1,305,170,000 | 1,997,701 | 07/30/2018 | 37,972 | ||||||||||||||||||
USD | 4,681,570 | GBP | 3,530,000 | 4,663,249 | 07/24/2018 | 18,321 | ||||||||||||||||||
USD | 1,511,097 | HUF | 423,610,000 | 1,504,184 | 07/24/2018 | 6,913 | ||||||||||||||||||
USD | 8,624,364 | ILS | 31,140,000 | 8,525,186 | 07/24/2018 | 99,178 | ||||||||||||||||||
USD | 2,691,210 | JPY | 295,440,000 | 2,672,291 | 07/24/2018 | 18,919 | ||||||||||||||||||
USD | 8,813,231 | KRW | 9,743,200,000 | 8,753,777 | 07/30/2018 | 59,454 | ||||||||||||||||||
USD | 3,298,072 | NZD | 4,800,000 | 3,251,074 | 07/24/2018 | 46,998 | ||||||||||||||||||
USD | 3,187,567 | PEN | 10,460,000 | 3,185,141 | 07/02/2018 | 2,426 | ||||||||||||||||||
USD | 2,321,191 | PLN | 8,650,000 | 2,310,002 | 07/24/2018 | 11,189 | ||||||||||||||||||
USD | 3,714,677 | SEK | 33,010,000 | 3,691,363 | 07/24/2018 | 23,314 | ||||||||||||||||||
USD | 5,208,179 | THB | 171,740,000 | 5,186,458 | 07/24/2018 | 21,721 | ||||||||||||||||||
USD | 9,114,426 | TWD | 276,050,000 | 9,077,757 | 07/30/2018 | 36,669 | ||||||||||||||||||
ZAR | 2,210,000 | USD | 159,880 | 160,668 | 07/24/2018 | 788 | ||||||||||||||||||
TOTAL | $ | 825,872 |
The accompanying notes are an integral part of these financial statements. | 37 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments (continued)
June 30, 2018 (Unaudited)
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., Inc. | BRL | 15,470,000 | USD | 4,071,757 | $ | 3,978,335 | 07/30/2018 | $ | (93,422 | ) | ||||||||||||||
INR | 162,040,000 | USD | 2,362,058 | 2,357,978 | 07/30/2018 | (4,080 | ) | |||||||||||||||||
MXN | 10,990,000 | USD | 557,448 | 551,497 | 07/24/2018 | (5,951 | ) | |||||||||||||||||
NOK | 52,060,000 | USD | 6,404,059 | 6,397,658 | 07/24/2018 | (6,401 | ) | |||||||||||||||||
PEN | 1,510,000 | USD | 460,772 | 459,805 | 07/02/2018 | (967 | ) | |||||||||||||||||
PEN | 4,730,000 | USD | 1,439,440 | 1,438,913 | 07/27/2018 | (527 | ) | |||||||||||||||||
TRY | 1,370,000 | USD | 297,033 | 295,536 | 07/24/2018 | (1,497 | ) | |||||||||||||||||
TWD | 3,710,000 | USD | 122,076 | 122,002 | 07/30/2018 | (74 | ) | |||||||||||||||||
USD | 2,024,344 | AUD | 2,740,000 | 2,027,860 | 07/24/2018 | (3,516 | ) | |||||||||||||||||
USD | 1,976,873 | CAD | 2,630,000 | 2,001,299 | 07/24/2018 | (24,426 | ) | |||||||||||||||||
USD | 12,436,580 | CHF | 12,320,000 | 12,463,069 | 07/24/2018 | (26,489 | ) | |||||||||||||||||
USD | 3,839,736 | CZK | 85,420,000 | 3,846,095 | 07/24/2018 | (6,359 | ) | |||||||||||||||||
USD | 7,583,151 | EUR | 6,530,000 | 7,637,604 | 07/24/2018 | (54,453 | ) | |||||||||||||||||
USD | 381,659 | KRW | 427,340,000 | 383,943 | 07/30/2018 | (2,284 | ) | |||||||||||||||||
USD | 257,419 | NOK | 2,100,000 | 258,070 | 07/24/2018 | (651 | ) | |||||||||||||||||
USD | 128,652 | NZD | 190,000 | 128,689 | 07/24/2018 | (37 | ) | |||||||||||||||||
USD | 1,333,148 | PHP | 71,460,000 | 1,336,310 | 07/30/2018 | (3,162 | ) | |||||||||||||||||
USD | 329,436 | TWD | 10,030,000 | 329,832 | 07/30/2018 | (396 | ) | |||||||||||||||||
ZAR | 78,410,000 | USD | 5,744,974 | 5,700,446 | 07/24/2018 | (44,528 | ) | |||||||||||||||||
TOTAL | $ | (279,220 | ) |
FUTURES CONTRACTS — At June 30, 2018, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
100 oz Gold | 33 | 08/29/2018 | $ | 4,139,850 | $ | (142,348 | ) | |||||||||
3 Month Canadian Bankers Acceptance | 4 | 09/17/2018 | 745,750 | (255 | ) | |||||||||||
3 Month Canadian Bankers Acceptance | 3 | 12/17/2018 | 558,400 | (396 | ) | |||||||||||
3 Month Canadian Bankers Acceptance | 1 | 03/18/2019 | 185,857 | (220 | ) | |||||||||||
3 Month Sterling | 5 | 09/19/2018 | 818,121 | (282 | ) | |||||||||||
3 Month Sterling | 3 | 12/19/2018 | 490,601 | (24 | ) | |||||||||||
3 Month Sterling | 3 | 03/20/2019 | 490,254 | 76 | ||||||||||||
3 Month Sterling | 2 | 06/19/2019 | 326,638 | 110 | ||||||||||||
3 Month Sterling | 2 | 09/18/2019 | 326,440 | 111 | ||||||||||||
3 Month Sterling | 1 | 12/18/2019 | 163,105 | 64 | ||||||||||||
3 Month Sterling | 1 | 03/18/2020 | 163,022 | 22 | ||||||||||||
3 Month Sterling | 1 | 06/17/2020 | 162,956 | 14 | ||||||||||||
Amsterdam Exchange Index | 2 | 07/20/2018 | 257,663 | (5,406 | ) | |||||||||||
ASX 90 Day Bank Accepted Bill | 1 | 12/13/2018 | 736,418 | (2 | ) | |||||||||||
ASX 90 Day Bank Accepted Bill | 4 | 03/07/2019 | 2,945,529 | 232 | ||||||||||||
Australia 10 Year Bond | 564 | 09/17/2018 | 53,994,033 | 538,732 | ||||||||||||
Brent Crude Oil | 48 | 07/31/2018 | 3,803,040 | 100,104 | ||||||||||||
CAC 40 10 Euro Index | 5 | 07/20/2018 | 310,664 | (7,475 | ) | |||||||||||
Coffee ’C’ | 70 | 09/18/2018 | 3,021,375 | (49,458 | ) | |||||||||||
EURO STOXX 50 Index | 7 | 09/21/2018 | 277,201 | (6,188 | ) | |||||||||||
Euro-Bobl | 20 | 09/06/2018 | 3,086,963 | 11,313 | ||||||||||||
Euro-Bund | 105 | 09/06/2018 | 19,931,719 | 154,646 | ||||||||||||
Euro-Buxl | 2 | 09/06/2018 | 415,036 | 7,398 | ||||||||||||
Euro-OAT | 7 | 09/06/2018 | 1,263,303 | 8,307 | ||||||||||||
Euro-Schatz | 25 | 09/06/2018 | 3,272,322 | 2,194 | ||||||||||||
Feeder Cattle | 11 | 08/30/2018 | 832,287 | 8,218 |
38 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS (continued)
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
FTSE 100 Index | 6 | 09/21/2018 | $ | 601,925 | $ | (4,058 | ) | |||||||||
Japan 10 Year Bond | 26 | 09/12/2018 | 35,422,842 | (269 | ) | |||||||||||
Lean Hogs | 73 | 08/14/2018 | 2,232,340 | (21,370 | ) | |||||||||||
Live Cattle | 9 | 08/31/2018 | 384,210 | 4,642 | ||||||||||||
LME Aluminum Base Metal | 42 | 07/16/2018 | 2,272,200 | (212,039 | ) | |||||||||||
LME Aluminum Base Metal | 60 | 08/13/2018 | 3,190,500 | (217,038 | ) | |||||||||||
LME Lead Base Metal | 48 | 07/16/2018 | 2,894,100 | 45,751 | ||||||||||||
LME Lead Base Metal | 44 | 08/13/2018 | 2,651,825 | (101,707 | ) | |||||||||||
LME Nickel Base Metal | 30 | 07/16/2018 | 2,670,390 | 73,826 | ||||||||||||
LME Nickel Base Metal | 24 | 08/13/2018 | 2,140,632 | (77,247 | ) | |||||||||||
LME Zinc Base Metal | 29 | 07/16/2018 | 2,096,337 | (148,686 | ) | |||||||||||
LME Zinc Base Metal | 39 | 08/13/2018 | 2,790,937 | (235,393 | ) | |||||||||||
Low Sulphur Gasoil | 5 | 08/10/2018 | 338,375 | 4,990 | ||||||||||||
MSCI Taiwan Index | 4 | 07/30/2018 | 155,040 | 385 | ||||||||||||
NASDAQ 100 E-mini Index | 3 | 09/21/2018 | 424,005 | (7,778 | ) | |||||||||||
OMXS30 Index | 9 | 07/20/2018 | 156,854 | (934 | ) | |||||||||||
Russell 2000 E-Mini Index | 6 | 09/21/2018 | 494,250 | (8,667 | ) | |||||||||||
S&P 500 E-Mini Index | 41 | 09/21/2018 | 5,579,280 | (32,158 | ) | |||||||||||
S&P Midcap 400 E-Mini Index | 2 | 09/21/2018 | 391,220 | (10,139 | ) | |||||||||||
S&P/TSX 60 Index | 4 | 09/20/2018 | 586,194 | 1,934 | ||||||||||||
Silver | 13 | 09/26/2018 | 1,052,870 | (31,052 | ) | |||||||||||
TOPIX Index | 1 | 09/13/2018 | 156,302 | (3,843 | ) | |||||||||||
U.S. Treasury 10 Year Note | 94 | 09/19/2018 | 11,297,625 | 64,801 | ||||||||||||
WTI Crude Oil | 36 | 07/20/2018 | 2,669,400 | 188,371 | ||||||||||||
Total | $ | (108,191 | ) | |||||||||||||
Short position contracts: | ||||||||||||||||
3 Month Eurodollar | (8 | ) | 09/17/2018 | (1,950,900 | ) | 7,469 | ||||||||||
3 Month Eurodollar | (11 | ) | 12/17/2018 | (2,677,400 | ) | 10,587 | ||||||||||
3 Month Eurodollar | (12 | ) | 03/18/2019 | (2,917,200 | ) | 13,485 | ||||||||||
3 Month Eurodollar | (13 | ) | 06/17/2019 | (3,157,212 | ) | 16,320 | ||||||||||
3 Month Eurodollar | (13 | ) | 09/16/2019 | (3,155,100 | ) | 16,662 | ||||||||||
3 Month Eurodollar | (11 | ) | 12/16/2019 | (2,668,462 | ) | 16,375 | ||||||||||
3 Month Eurodollar | (11 | ) | 03/16/2020 | (2,668,050 | ) | 5,775 | ||||||||||
3 Month Eurodollar | (10 | ) | 06/15/2020 | (2,425,500 | ) | (1,019 | ) | |||||||||
ASX 90 Day Bank Accepted Bill | (7 | ) | 09/13/2018 | (5,154,928 | ) | 218 | ||||||||||
Canada 10 Year Bond | (169 | ) | 09/19/2018 | (17,574,252 | ) | (25,637 | ) | |||||||||
Cocoa | (62 | ) | 09/13/2018 | (1,557,440 | ) | (59,965 | ) | |||||||||
Copper | (57 | ) | 09/26/2018 | (4,226,550 | ) | 166,593 | ||||||||||
Corn | (194 | ) | 09/14/2018 | (3,487,150 | ) | 204,864 | ||||||||||
Cotton No. 2 | (90 | ) | 12/06/2018 | (3,776,400 | ) | 311,091 | ||||||||||
Euro-BTP | (3 | ) | 09/06/2018 | (445,773 | ) | (1,481 | ) | |||||||||
FTSE/JSE Top 40 Index | (4 | ) | 09/20/2018 | (150,716 | ) | (5,117 | ) | |||||||||
FTSE/MIB Index | (1 | ) | 09/21/2018 | (125,936 | ) | 31 | ||||||||||
IBEX 35 Index | (1 | ) | 07/20/2018 | (112,130 | ) | (44 | ) | |||||||||
KC HRW Wheat | (57 | ) | 09/14/2018 | (1,392,225 | ) | 156,717 | ||||||||||
KOSPI 200 Index | (6 | ) | 09/13/2018 | (403,768 | ) | 4,160 | ||||||||||
LME Aluminum Base Metal | (42 | ) | 07/16/2018 | (2,272,200 | ) | 172,811 | ||||||||||
LME Aluminum Base Metal | (2 | ) | 08/13/2018 | (106,350 | ) | 2,219 | ||||||||||
LME Lead Base Metal | (48 | ) | 07/16/2018 | (2,894,100 | ) | 64,038 | ||||||||||
LME Lead Base Metal | (9 | ) | 08/13/2018 | (542,419 | ) | 4,141 | ||||||||||
LME Nickel Base Metal | (30 | ) | 07/16/2018 | (2,670,390 | ) | 53,893 | ||||||||||
LME Nickel Base Metal | (8 | ) | 08/13/2018 | (713,544 | ) | (3,602 | ) |
The accompanying notes are an integral part of these financial statements. | 39 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS (continued)
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Short position contracts: (continued) | ||||||||||||||||
LME Zinc Base Metal | (29 | ) | 07/16/2018 | $ | (2,096,337 | ) | $ | 190,744 | ||||||||
LME Zinc Base Metal | (2 | ) | 08/13/2018 | (143,125 | ) | 2,995 | ||||||||||
Long Gilt | (261 | ) | 09/26/2018 | (42,388,600 | ) | (97,179 | ) | |||||||||
Natural Gas | (91 | ) | 07/27/2018 | (2,660,840 | ) | 1,759 | ||||||||||
NY Harbor ULSD | (5 | ) | 07/31/2018 | (464,037 | ) | (22,169 | ) | |||||||||
RBOB Gasoline | (53 | ) | 07/31/2018 | (4,788,571 | ) | (137,991 | ) | |||||||||
Soybean | (80 | ) | 11/14/2018 | (3,520,000 | ) | 401,835 | ||||||||||
Sugar No. 11 | (76 | ) | 09/28/2018 | (1,042,720 | ) | 14,903 | ||||||||||
U.S. Treasury 2 Year Note | (17 | ) | 09/28/2018 | (3,601,078 | ) | (1,795 | ) | |||||||||
U.S. Treasury 5 Year Note | (17 | ) | 09/28/2018 | (1,931,492 | ) | (7,277 | ) | |||||||||
U.S. Treasury Long Bond | (2 | ) | 09/19/2018 | (290,000 | ) | (5,294 | ) | |||||||||
Wheat | (7 | ) | 09/14/2018 | (175,438 | ) | 4,303 | ||||||||||
Total | $ | 1,475,418 | ||||||||||||||
Total Futures Contracts | $ | 1,367,227 |
SWAP CONTRACTS — At June 30, 2018, the Fund had the following swap contracts:
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS
Reference Obligation/Index | Financing Rate Received (Paid) by the Fund | Credit Spread at June 30, 2018(a) | Termination Date | Notional | Value | Upfront Premium (Received) Paid | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
Protection Purchased (b): |
| |||||||||||||||||||||||||||||
iTraxx Europe Index | (1.000)% | 0.735% | 06/20/2023 | EUR | 350 | $ | (5,411 | ) | $ | (5,293 | ) | $ | (118 | ) | ||||||||||||||||
Protection Sold (c): |
| |||||||||||||||||||||||||||||
iTraxx Europe Crossover Index | 5.000 | 3.200 | 06/20/2023 | 500 | 47,293 | 59,341 | (12,048 | ) | ||||||||||||||||||||||
Markit CDX North America High Yield Index | 5.000 | 3.584 | 06/20/2023 | USD | 800 | 48,145 | 46,721 | 1,424 | ||||||||||||||||||||||
Markit CDX North America Investment Grade Index | 1.000 | 0.672 | 06/20/2023 | 1,100 | 16,792 | 18,795 | (2,003 | ) | ||||||||||||||||||||||
TOTAL | $ | 106,819 | $ | 119,564 | $ | (12,745 | ) |
(a) | Credit spread on the referenced obligation, together with the period of expiration, 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 term of the swap contract increase. |
(b) | Payments made quarterly |
(c) | Payments received quarterly. |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS
Referenced Obligation/Index* | Financing Rate Received (Paid) | Counterparty | Termination Date | Notional Amount (000’s) | Unrealized Appreciation/ (Depreciation)(a) | |||||||||||||
A basket (DBGSLBJP) of common stocks(b) | (0.041)% | Deutsche Bank AG | 09/19/2018 | JPY | 1,540,876 | $ | (87,432 | ) | ||||||||||
A basket (DBGSLBJP) of common stocks(b) | (0.043) | 09/19/2018 | 135,367 | — | ||||||||||||||
A basket (DBGSLBUK) of common stocks(b) | (0.659) | 08/02/2018 | GBP | 720 | — | |||||||||||||
A basket (DBGSLBUK) of common stocks(b) | (0.664) | 08/02/2018 | 9,717 | 158,472 | ||||||||||||||
A basket (DBGSLBUK) of common stocks(b) | (0.668) | 08/02/2018 | 861 | 13,450 |
40 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
Referenced Obligation/Index* | Financing Rate Received (Paid) by the Fund | Counterparty | Termination Date | Notional Amount (000’s) | Unrealized Appreciation/ (Depreciation)(a) | |||||||||||||||||||
A basket (DBGSMOJP) of common stocks(b) | (0.041)% | 09/19/2018 | JPY | 2,408,523 | $ | (39,761 | ) | |||||||||||||||||
A basket (DBGSMOJP) of common stocks(b) | (0.043) | 09/19/2018 | 202,990 | — | ||||||||||||||||||||
A basket (DBGSMOUK) of common stocks(b) | (0.659) | 08/02/2018 | GBP | 622 | — | |||||||||||||||||||
A basket (DBGSMOUK) of common stocks(b) | (0.664) | 08/02/2018 | 7,761 | 108,928 | ||||||||||||||||||||
A basket (DBGSMOUK) of common stocks(b) | (0.668) | 08/02/2018 | 603 | 7,883 | ||||||||||||||||||||
A basket (DBGSQUJP) of common stocks(b) | (0.041) | 09/19/2018 | JPY | 2,497,455 | (55,692 | ) | ||||||||||||||||||
A basket (DBGSQUJP) of common stocks(b) | (0.043) | 09/19/2018 | 216,497 | — | ||||||||||||||||||||
A basket (DBGSQUUK) of common stocks(b) | (0.659) | 08/02/2018 | GBP | 827 | — | |||||||||||||||||||
A basket (DBGSQUUK) of common stocks(b) | (0.664) | 08/02/2018 | 11,858 | 204,697 | ||||||||||||||||||||
A basket (DBGSVAJP) of common stocks(b) | (0.041) | 09/19/2018 | JPY | 3,441,470 | 203,747 | |||||||||||||||||||
A basket (DBGSVAJP) of common stocks(b) | (0.043) | 09/19/2018 | 306,804 | — | ||||||||||||||||||||
A basket (DBGSVAUK) of common stocks(b) | (0.659) | 08/02/2018 | GBP | 719 | — | |||||||||||||||||||
A basket (DBGSVAUK) of common stocks(b) | (0.664) | 08/02/2018 | 8,740 | 114,205 | ||||||||||||||||||||
A basket (DBGSVAUK) of common stocks(b) | (0.668) | 08/02/2018 | 1,435 | 17,232 | ||||||||||||||||||||
FSTE 100 Total Return Index(c) | 0.664 | 08/02/2018 | 32,366 | (556,566 | ) | |||||||||||||||||||
FSTE 100 Total Return Index(c) | 0.668 | 08/02/2018 | 9,614 | (169,846 | ) | |||||||||||||||||||
Topix Total Return Index(c) | 0.041 | 09/19/2018 | JPY | 9,884,192 | 30,550 | |||||||||||||||||||
Topix Total Return Index(c) | 0.043 | 09/19/2018 | 846,154 | — | ||||||||||||||||||||
A basket (JPBILBEU) of common stocks(b) | (0.370) | JPMorgan Chase Bank NA | 03/04/2019 | EUR | 12,593 | 18,719 | ||||||||||||||||||
A basket (JPBILBEU) of common stocks(b) | (0.370) | 03/04/2019 | 1,034 | (d) | — | |||||||||||||||||||
A basket (JPBIMOEU) of common stocks(b) | (0.370) | 03/04/2019 | 9,378 | (23,132 | ) | |||||||||||||||||||
A basket (JPBIMOEU) of common stocks(b) | (0.370) | 03/04/2019 | 746 | (d) | — | |||||||||||||||||||
A basket (JPBIQUEU) of common stocks(b) | (0.370) | 03/04/2019 | 14,196 | (102,980 | ) | |||||||||||||||||||
A basket (JPBIQUEU) of common stocks(b) | (0.370) | 03/04/2019 | 1,119 | (d) | — | |||||||||||||||||||
A basket (JPBIVAEU) of common stocks(b) | (0.370) | 03/04/2019 | 12,851 | (69,442 | ) | |||||||||||||||||||
A basket (JPBIVAEU) of common stocks(b) | (0.370) | 03/04/2019 | 1,008 | (d) | — | |||||||||||||||||||
A basket (JPGSLBUS) of common stocks(b) | (2.090) | 08/31/2018 | USD | 1,688 | (d) | — | ||||||||||||||||||
A basket (JPGSLBUS) of common stocks(b) | (2.102) | 08/31/2018 | 13,903 | 156,645 | ||||||||||||||||||||
A basket (JPGSMOUS) of common stocks(b) | (2.090) | 08/31/2018 | 3,165 | (d) | — | |||||||||||||||||||
A basket (JPGSMOUS) of common stocks(b) | (2.102) | 08/31/2018 | 27,306 | (856,450 | ) | |||||||||||||||||||
A basket (JPGSQUUS) of common stocks(b) | (2.090) | 08/31/2018 | 2,789 | (d) | — | |||||||||||||||||||
A basket (JPGSQUUS) of common stocks(b) | (2.102) | 08/31/2018 | 23,473 | (365,040 | ) | |||||||||||||||||||
A basket (JPGSVAUS) of common stocks(b) | (2.090) | 08/31/2018 | 2,156 | (d) | — | |||||||||||||||||||
A basket (JPGSVAUS) of common stocks(b) | (2.102) | 08/31/2018 | 18,441 | (431,099 | ) | |||||||||||||||||||
Euro Stoxx 50 Net Return Index(c) | 0.370 | 03/04/2019 | EUR | 48,760 | 617,714 | |||||||||||||||||||
S&P 500 Total Return Index(c) | 2.098 | 08/31/2018 | USD | 9,016 | — | |||||||||||||||||||
S&P 500 Total Return Index(c) | 2.102 | 08/31/2018 | 76,655 | 121,398 | ||||||||||||||||||||
TOTAL | $ | (983,800 | ) |
(a) | There are no upfront payments on the swap contracts listed above; therefore the unrealized gains (losses) on the swap contracts are equal to their value. |
(b) | Payments made weekly. |
(c) | Payments received weekly. |
(d) | Represents forward starting total return swaps whose effective date of commencement of accruals and cash flows occur subsequent to June 30, 2018. |
* | The top 50 components are shown below |
The accompanying notes are an integral part of these financial statements. | 41 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
A basket (DBGSLBJP) of common stocks
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Nippon Telegraph & Telephone Corp | Telecommunication Services | 8,166 | �� | $ | 371,201 | 2.45 | % | |||||||
Kao Corp | Consumer Staples | 3,671 | 280,024 | 1.85 | ||||||||||
KDDI Corp | Telecommunication Services | 10,041 | 274,735 | 1.82 | ||||||||||
NTT DOCOMO Inc | Telecommunication Services | 10,216 | 260,293 | 1.72 | ||||||||||
Keyence Corp | Information Technology | 456 | 257,673 | 1.70 | ||||||||||
Japan Tobacco Inc | Consumer Staples | 8,564 | 239,263 | 1.58 | ||||||||||
Oriental Land Co Ltd/Japan | Consumer Discretionary | 2,182 | 228,986 | 1.51 | ||||||||||
Canon Inc | Information Technology | 6,909 | 226,443 | 1.50 | ||||||||||
Astellas Pharma Inc | Health Care | 14,500 | 221,070 | 1.46 | ||||||||||
East Japan Railway Co | Industrials | 2,120 | 203,139 | 1.34 | ||||||||||
FANUC Corp | Industrials | 925 | 183,687 | 1.21 | ||||||||||
Nitori Holdings Co Ltd | Consumer Discretionary | 1,177 | 183,583 | 1.21 | ||||||||||
Ryohin Keikaku Co Ltd | Consumer Discretionary | 519 | 182,556 | 1.21 | ||||||||||
Daito Trust Construction Co Ltd | Real Estate | 1,122 | 182,452 | 1.21 | ||||||||||
Japan Airlines Co Ltd | Industrials | 5,017 | 177,880 | 1.18 | ||||||||||
Terumo Corp | Health Care | 3,099 | 177,630 | 1.17 | ||||||||||
Daiichi Sankyo Co Ltd | Health Care | 4,622 | 176,783 | 1.17 | ||||||||||
West Japan Railway Co | Industrials | 2,394 | 176,408 | 1.17 | ||||||||||
Nagoya Railroad Co Ltd | Industrials | 6,350 | 163,949 | 1.08 | ||||||||||
CyberAgent Inc | Consumer Discretionary | 2,694 | 161,950 | 1.07 | ||||||||||
Otsuka Corp | Information Technology | 4,115 | 161,402 | 1.07 | ||||||||||
Park24 Co Ltd | Industrials | 5,874 | 159,868 | 1.06 | ||||||||||
Otsuka Holdings Co Ltd | Health Care | 3,293 | 159,448 | 1.05 | ||||||||||
Square Enix Holdings Co Ltd | Information Technology | 3,206 | 157,415 | 1.04 | ||||||||||
Kintetsu Group Holdings Co Ltd | Industrials | 3,842 | 156,755 | 1.04 | ||||||||||
Nidec Corp | Industrials | 1,026 | 154,041 | 1.02 | ||||||||||
Toray Industries Inc | Materials | 19,448 | 153,433 | 1.01 | ||||||||||
Mitsubishi Tanabe Pharma Corp | Health Care | 8,792 | 151,910 | 1.00 | ||||||||||
Sumitomo Osaka Cement Co Ltd | Materials | 31,873 | 149,323 | 0.99 | ||||||||||
Tobu Railway Co Ltd | Industrials | 4,860 | 148,726 | 0.98 | ||||||||||
Sankyo Co Ltd | Consumer Discretionary | 3,749 | 146,698 | 0.97 | ||||||||||
M3 Inc | Health Care | 3,662 | 145,926 | 0.96 | ||||||||||
Benesse Holdings Inc | Consumer Discretionary | 4,090 | 145,110 | 0.96 | ||||||||||
JXTG Holdings Inc | Energy | 20,866 | 145,073 | 0.96 | ||||||||||
Hankyu Hanshin Holdings Inc | Industrials | 3,574 | 143,733 | 0.95 | ||||||||||
Relo Group Inc | Real Estate | 5,367 | 141,665 | 0.94 | ||||||||||
Yamato Holdings Co Ltd | Industrials | 4,806 | 141,603 | 0.94 | ||||||||||
Tokyo Gas Co Ltd | Utilities | 5,330 | 141,479 | 0.93 | ||||||||||
Central Japan Railway Co | Industrials | 679 | 140,660 | 0.93 | ||||||||||
Maruichi Steel Tube Ltd | Materials | 4,136 | 140,182 | 0.93 | ||||||||||
Secom Co Ltd | Industrials | 1,816 | 139,419 | 0.92 | ||||||||||
NTT Data Corp | Information Technology | 12,053 | 138,832 | 0.92 | ||||||||||
Itochu Techno-Solutions Corp | Information Technology | 8,035 | 138,827 | 0.92 | ||||||||||
Mitsui & Co Ltd | Industrials | 8,276 | 138,029 | 0.91 | ||||||||||
Obayashi Corp | Industrials | 13,181 | 137,183 | 0.91 | ||||||||||
Ono Pharmaceutical Co Ltd | Health Care | 5,844 | 137,000 | 0.91 | ||||||||||
Osaka Gas Co Ltd | Utilities | 6,599 | 136,556 | 0.90 | ||||||||||
Eisai Co Ltd | Health Care | 1,933 | 136,167 | 0.90 | ||||||||||
Chugoku Electric Power Co Inc/The | Utilities | 10,459 | 135,204 | 0.89 | ||||||||||
ABC-Mart Inc | Consumer Discretionary | 2,443 | 133,647 | 0.88 |
A basket (DBGSLBUK) of common stocks
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
HSBC Holdings PLC | Financials | 92,739 | $ | 869,611 | 5.83 | % | ||||||||
British American Tobacco PLC | Consumer Staples | 15,407 | 778,542 | 5.22 | ||||||||||
GlaxoSmithKline PLC | Health Care | 33,687 | 679,938 | 4.56 | ||||||||||
Diageo PLC | Consumer Staples | 18,161 | 652,219 | 4.37 | ||||||||||
Reckitt Benckiser Group PLC | Consumer Staples | 7,082 | 582,954 | 3.91 |
42 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Unilever PLC | Consumer Staples | 10,191 | $ | 563,643 | 3.78 | % | ||||||||
AstraZeneca PLC | Health Care | 7,771 | 538,571 | 3.61 | ||||||||||
Imperial Brands PLC | Consumer Staples | 12,184 | 453,662 | 3.04 | ||||||||||
Compass Group PLC | Consumer Discretionary | 20,693 | 441,896 | 2.96 | ||||||||||
Vodafone Group PLC | Telecommunication Services | 161,964 | 392,812 | 2.63 | ||||||||||
Next PLC | Consumer Discretionary | 4,811 | 384,008 | 2.57 | ||||||||||
Randgold Resources Ltd | Materials | 4,872 | 374,103 | 2.51 | ||||||||||
RELX PLC | Industrials | 16,909 | 361,967 | 2.43 | ||||||||||
Severn Trent PLC | Utilities | 13,215 | 345,146 | 2.31 | ||||||||||
United Utilities Group PLC | Utilities | 32,925 | 331,550 | 2.22 | ||||||||||
Pennon Group PLC | Utilities | 30,379 | 318,414 | 2.13 | ||||||||||
Carnival PLC | Consumer Discretionary | 5,479 | 314,240 | 2.11 | ||||||||||
Rentokil Initial PLC | Industrials | 66,530 | 307,933 | 2.06 | ||||||||||
NMC Health PLC | Health Care | 6,336 | 299,459 | 2.01 | ||||||||||
Fresnillo PLC | Materials | 19,431 | 293,160 | 1.97 | ||||||||||
BT Group PLC | Telecommunication Services | 101,425 | 291,465 | 1.95 | ||||||||||
BAE Systems PLC | Industrials | 33,476 | 285,682 | 1.92 | ||||||||||
Smith & Nephew PLC | Health Care | 15,036 | 277,348 | 1.86 | ||||||||||
Kingfisher PLC | Consumer Discretionary | 69,916 | 273,972 | 1.84 | ||||||||||
Paddy Power Betfair PLC | Consumer Discretionary | 2,475 | 271,088 | 1.82 | ||||||||||
Inmarsat PLC | Telecommunication Services | 37,332 | 270,907 | 1.82 | ||||||||||
Bunzl PLC | Industrials | 8,694 | 263,266 | 1.76 | ||||||||||
Informa PLC | Consumer Discretionary | 23,779 | 261,977 | 1.76 | ||||||||||
Croda International PLC | Materials | 3,970 | 251,507 | 1.69 | ||||||||||
SSE PLC | Utilities | 13,974 | 249,817 | 1.67 | ||||||||||
Cobham PLC | Industrials | 136,895 | 232,366 | 1.56 | ||||||||||
Phoenix Group Holdings | Financials | 21,712 | 193,938 | 1.30 | ||||||||||
Halma PLC | Information Technology | 10,258 | 185,420 | 1.24 | ||||||||||
DCC PLC | Industrials | 1,982 | 180,283 | 1.21 | ||||||||||
Sage Group PLC/The | Information Technology | 19,710 | 163,467 | 1.10 | ||||||||||
Centrica PLC | Utilities | 74,146 | 154,224 | 1.03 | ||||||||||
Intertek Group PLC | Industrials | 2,011 | 151,653 | 1.02 | ||||||||||
RPC Group PLC | Materials | 15,243 | 150,479 | 1.01 | ||||||||||
Electrocomponents PLC | Information Technology | 14,046 | 140,475 | 0.94 | ||||||||||
Micro Focus International PLC | Information Technology | 7,955 | 138,920 | 0.93 | ||||||||||
easyJet PLC | Industrials | 6,227 | 137,452 | 0.92 | ||||||||||
Cineworld Group PLC | Consumer Discretionary | 36,919 | 129,375 | 0.87 | ||||||||||
RSA Insurance Group PLC | Financials | 13,163 | 117,990 | 0.79 | ||||||||||
Dixons Carphone PLC | Consumer Discretionary | 45,011 | 110,817 | 0.74 | ||||||||||
Whitbread PLC | Consumer Discretionary | 2,087 | 109,035 | 0.73 | ||||||||||
Segro PLC | Real Estate | 11,191 | 98,840 | 0.66 | ||||||||||
Spirax-Sarco Engineering PLC | Industrials | 1,106 | 95,101 | 0.64 | ||||||||||
Associated British Foods PLC | Consumer Staples | 2,301 | 83,123 | 0.56 | ||||||||||
Pearson PLC | Consumer Discretionary | 6,177 | 72,127 | 0.48 | ||||||||||
Marks & Spencer Group PLC | Consumer Discretionary | 17,643 | 68,693 | 0.46 |
A basket (DBGSMOJP) of common stocks
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Sony Corp | Consumer Discretionary | 10,439 | $ | 533,734 | 2.26 | % | ||||||||
Keyence Corp | Information Technology | 821 | 463,628 | 1.97 | ||||||||||
Nidec Corp | Industrials | 3,013 | 452,172 | 1.92 | ||||||||||
Mitsubishi Corp | Industrials | 15,169 | 421,480 | 1.79 | ||||||||||
Honda Motor Co Ltd | Consumer Discretionary | 14,291 | 419,657 | 1.78 | ||||||||||
Nintendo Co Ltd | Information Technology | 1,248 | 407,774 | 1.73 | ||||||||||
Oriental Land Co Ltd/Japan | Consumer Discretionary | 3,847 | 403,646 | 1.71 | ||||||||||
Daiichi Sankyo Co Ltd | Health Care | 10,246 | 391,862 | 1.66 | ||||||||||
ITOCHU Corp | Industrials | 21,092 | 382,216 | 1.62 | ||||||||||
Recruit Holdings Co Ltd | Industrials | 13,375 | 370,165 | 1.57 | ||||||||||
Mitsui & Co Ltd | Industrials | 21,708 | 362,035 | 1.54 | ||||||||||
JXTG Holdings Inc | Energy | 51,063 | 355,017 | 1.51 |
The accompanying notes are an integral part of these financial statements. | 43 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Terumo Corp | Health Care | 5,672 | $ | 325,151 | 1.38 | % | ||||||||
Sysmex Corp | Health Care | 3,463 | 323,196 | 1.37 | ||||||||||
Sumitomo Corp | Industrials | 19,055 | 313,049 | 1.33 | ||||||||||
Komatsu Ltd | Industrials | 10,682 | 305,482 | 1.30 | ||||||||||
Kose Corp | Consumer Staples | 1,404 | 302,522 | 1.28 | ||||||||||
Sumitomo Metal Mining Co Ltd | Materials | 7,471 | 285,822 | 1.21 | ||||||||||
Showa Denko KK | Materials | 6,391 | 283,847 | 1.20 | ||||||||||
Kao Corp | Consumer Staples | 3,713 | 283,220 | 1.20 | ||||||||||
Japan Airlines Co Ltd | Industrials | 7,930 | 281,196 | 1.19 | ||||||||||
CyberAgent Inc | Consumer Discretionary | 4,624 | 277,992 | 1.18 | ||||||||||
Yaskawa Electric Corp | Information Technology | 7,827 | 276,617 | 1.17 | ||||||||||
Asahi Kasei Corp | Materials | 21,407 | 272,086 | 1.15 | ||||||||||
TechnoPro Holdings Inc | Industrials | 4,205 | 258,475 | 1.10 | ||||||||||
Otsuka Corp | Information Technology | 6,434 | 252,339 | 1.07 | ||||||||||
Shimadzu Corp | Information Technology | 8,314 | 251,429 | 1.07 | ||||||||||
SBI Holdings Inc/Japan | Financials | 9,572 | 246,592 | 1.05 | ||||||||||
JGC Corp | Industrials | 11,918 | 240,236 | 1.02 | ||||||||||
Eisai Co Ltd | Health Care | 3,389 | 238,735 | 1.01 | ||||||||||
Tokyo Century Corp | Financials | 4,185 | 237,227 | 1.01 | ||||||||||
M3 Inc | Health Care | 5,951 | 237,152 | 1.01 | ||||||||||
Ryohin Keikaku Co Ltd | Consumer Discretionary | 672 | 236,748 | 1.00 | ||||||||||
Yamaha Corp | Consumer Discretionary | 4,550 | 236,593 | 1.00 | ||||||||||
Sumitomo Mitsui Trust Holdings Inc | Financials | 5,907 | 234,230 | 0.99 | ||||||||||
Don Quijote Holdings Co Ltd | Consumer Discretionary | 4,814 | 231,178 | 0.98 | ||||||||||
Nihon M&A Center Inc | Industrials | 7,951 | 230,745 | 0.98 | ||||||||||
Sumitomo Realty & Development Co Ltd | Real Estate | 6,215 | 229,385 | 0.97 | ||||||||||
Denso Corp | Consumer Discretionary | 4,694 | 229,308 | 0.97 | ||||||||||
Daifuku Co Ltd | Industrials | 5,156 | 225,949 | 0.96 | ||||||||||
TOTO Ltd | Industrials | 4,867 | 225,835 | 0.96 | ||||||||||
Kakaku.com Inc | Information Technology | 9,904 | 223,681 | 0.95 | ||||||||||
TDK Corp | Information Technology | 2,184 | 223,123 | 0.95 | ||||||||||
Seino Holdings Co Ltd | Industrials | 12,403 | 219,896 | 0.93 | ||||||||||
PeptiDream Inc | Health Care | 5,230 | 217,624 | 0.92 | ||||||||||
Nitori Holdings Co Ltd | Consumer Discretionary | 1,395 | 217,555 | 0.92 | ||||||||||
Obic Co Ltd | Information Technology | 2,597 | 214,965 | 0.91 | ||||||||||
Astellas Pharma Inc | Health Care | 14,044 | 214,125 | 0.91 | ||||||||||
Chugai Pharmaceutical Co Ltd | Health Care | 4,079 | 213,945 | 0.91 | ||||||||||
Hitachi Construction Machinery Co Ltd | Industrials | 6,562 | 213,230 | 0.90 |
A basket (DBGSMOUK) of common stocks
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Royal Dutch Shell PLC | Energy | 25,753 | $ | 893,302 | 7.53 | % | ||||||||
Royal Dutch Shell PLC | Energy | 22,840 | 817,720 | 6.89 | ||||||||||
BP PLC | Energy | 90,714 | 692,159 | 5.83 | ||||||||||
Rio Tinto PLC | Materials | 8,338 | 462,173 | 3.90 | ||||||||||
BHP Billiton PLC | Materials | 18,578 | 418,162 | 3.53 | ||||||||||
AstraZeneca PLC | Health Care | 5,940 | 411,692 | 3.47 | ||||||||||
Evraz PLC | Materials | 57,484 | 385,595 | 3.25 | ||||||||||
Anglo American PLC | Materials | 16,986 | 379,833 | 3.20 | ||||||||||
Tesco PLC | Consumer Staples | 109,375 | 370,443 | 3.12 | ||||||||||
Segro PLC | Real Estate | 40,183 | 354,899 | 2.99 | ||||||||||
TUI AG | Consumer Discretionary | 15,920 | 349,216 | 2.94 | ||||||||||
NMC Health PLC | Health Care | 6,931 | 327,556 | 2.76 | ||||||||||
Ashtead Group PLC | Industrials | 10,886 | 326,468 | 2.75 | ||||||||||
Glencore PLC | Materials | 67,383 | 321,833 | 2.71 | ||||||||||
Hargreaves Lansdown PLC | Financials | 11,502 | 299,186 | 2.52 | ||||||||||
Rotork PLC | Industrials | 67,467 | 297,936 | 2.51 | ||||||||||
Legal & General Group PLC | Financials | 84,332 | 295,970 | 2.49 |
44 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Royal Mail PLC | Industrials | 42,543 | $ | 283,684 | 2.39 | % | ||||||||
Beazley PLC | Financials | 33,895 | 262,069 | 2.21 | ||||||||||
Croda International PLC | Materials | 3,949 | 250,220 | 2.11 | ||||||||||
Prudential PLC | Financials | 9,915 | 226,911 | 1.91 | ||||||||||
Old Mutual PLC | Financials | 97,918 | 219,973 | 1.85 | ||||||||||
Smurfit Kappa Group PLC | Materials | 5,405 | 218,658 | 1.84 | ||||||||||
Just Eat PLC | Information Technology | 20,905 | 214,862 | 1.81 | ||||||||||
easyJet PLC | Industrials | 9,262 | 204,452 | 1.72 | ||||||||||
Berkeley Group Holdings PLC | Consumer Discretionary | 4,066 | 203,031 | 1.71 | ||||||||||
Persimmon PLC | Consumer Discretionary | 5,942 | 198,598 | 1.67 | ||||||||||
Rentokil Initial PLC | Industrials | 42,233 | 195,475 | 1.65 | ||||||||||
Man Group PLC | Financials | 78,956 | 183,974 | 1.55 | ||||||||||
Informa PLC | Consumer Discretionary | 16,696 | 183,939 | 1.55 | ||||||||||
Bellway PLC | Consumer Discretionary | 3,736 | 148,082 | 1.25 | ||||||||||
Redrow PLC | Consumer Discretionary | 20,466 | 143,922 | 1.21 | ||||||||||
Bodycote PLC | Industrials | 10,648 | 137,616 | 1.16 | ||||||||||
DS Smith PLC | Materials | 18,552 | 127,574 | 1.08 | ||||||||||
Pearson PLC | Consumer Discretionary | 9,984 | 116,582 | 0.98 | ||||||||||
Ascential PLC | Consumer Discretionary | 19,470 | 116,266 | 0.98 | ||||||||||
Ferguson PLC | Industrials | 1,350 | 109,533 | 0.92 | ||||||||||
Burberry Group PLC | Consumer Discretionary | 3,695 | 105,314 | 0.89 | ||||||||||
Schroders PLC | Financials | 2,453 | 102,222 | 0.86 | ||||||||||
Halma PLC | Information Technology | 4,976 | 89,948 | 0.76 | ||||||||||
Sophos Group PLC | Information Technology | 10,413 | 87,791 | 0.74 | ||||||||||
RSA Insurance Group PLC | Financials | 8,285 | 74,264 | 0.63 | ||||||||||
Quilter PLC | Financials | 32,639 | 62,410 | 0.53 | ||||||||||
Pagegroup PLC | Industrials | 7,687 | 57,151 | 0.48 | ||||||||||
3i Group PLC | Financials | 4,319 | 51,325 | 0.43 | ||||||||||
Electrocomponents PLC | Information Technology | 4,504 | 45,040 | 0.38 | ||||||||||
Weir Group PLC/The | Industrials | 1,428 | 37,692 | 0.32 |
A basket (DBGSQUJP) of common stocks
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Kose Corp | Consumer Staples | 5,839 | $ | 1,258,203 | 5.14 | % | ||||||||
Kao Corp | Consumer Staples | 14,615 | 1,114,788 | 4.55 | ||||||||||
NTT DOCOMO Inc | Telecommunication Services | 31,598 | 805,059 | 3.29 | ||||||||||
Hoya Corp | Health Care | 10,389 | 590,750 | 2.41 | ||||||||||
Canon Inc | Information Technology | 13,863 | 454,372 | 1.85 | ||||||||||
Recruit Holdings Co Ltd | Industrials | 16,164 | 447,349 | 1.83 | ||||||||||
Shionogi & Co Ltd | Health Care | 8,221 | 422,327 | 1.72 | ||||||||||
Hitachi Ltd | Information Technology | 54,372 | 383,616 | 1.57 | ||||||||||
East Japan Railway Co | Industrials | 3,958 | 379,220 | 1.55 | ||||||||||
FUJIFILM Holdings Corp | Information Technology | 9,633 | 376,181 | 1.54 | ||||||||||
Nippon Telegraph & Telephone Corp | Telecommunication Services | 7,754 | 352,501 | 1.44 | ||||||||||
Daikin Industries Ltd | Industrials | 2,886 | 345,674 | 1.41 | ||||||||||
Tokio Marine Holdings Inc | Financials | 7,337 | 343,944 | 1.40 | ||||||||||
Eisai Co Ltd | Health Care | 4,675 | 329,369 | 1.34 | ||||||||||
Japan Airlines Co Ltd | Industrials | 8,956 | 317,548 | 1.30 | ||||||||||
Bridgestone Corp | Consumer Discretionary | 7,795 | 304,894 | 1.24 | ||||||||||
Shimadzu Corp | Information Technology | 9,996 | 302,295 | 1.23 | ||||||||||
Kubota Corp | Industrials | 19,133 | 301,031 | 1.23 | ||||||||||
Disco Corp | Information Technology | 1,748 | 298,384 | 1.22 | ||||||||||
Dai-ichi Life Holdings Inc | Financials | 16,497 | 294,268 | 1.20 | ||||||||||
Advantest Corp | Information Technology | 13,908 | 289,762 | 1.18 | ||||||||||
Resona Holdings Inc | Financials | 53,798 | 287,782 | 1.17 | ||||||||||
Suzuki Motor Corp | Consumer Discretionary | 5,132 | 283,395 | 1.16 | ||||||||||
Mitsubishi Heavy Industries Ltd | Industrials | 7,710 | 280,561 | 1.15 | ||||||||||
Mazda Motor Corp | Consumer Discretionary | 22,390 | 274,871 | 1.12 |
The accompanying notes are an integral part of these financial statements. | 45 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
CyberAgent Inc | Consumer Discretionary | 4,549 | $ | 273,461 | 1.12 | % | ||||||||
TOTO Ltd | Industrials | 5,868 | 272,261 | 1.11 | ||||||||||
Taisei Corp | Industrials | 4,936 | 272,243 | 1.11 | ||||||||||
Kyushu Railway Co | Industrials | 8,641 | 264,415 | 1.08 | ||||||||||
Mitsubishi Motors Corp | Consumer Discretionary | 32,343 | 257,803 | 1.05 | ||||||||||
Ryohin Keikaku Co Ltd | Consumer Discretionary | 725 | 255,199 | 1.04 | ||||||||||
Central Japan Railway Co | Industrials | 1,227 | 254,304 | 1.04 | ||||||||||
IHI Corp | Industrials | 7,295 | 254,202 | 1.04 | ||||||||||
Seven Bank Ltd | Financials | 82,852 | 253,537 | 1.03 | ||||||||||
Daiwa House Industry Co Ltd | Real Estate | 7,423 | 253,017 | 1.03 | ||||||||||
Casio Computer Co Ltd | Consumer Discretionary | 15,232 | 247,772 | 1.01 | ||||||||||
Aozora Bank Ltd | Financials | 6,400 | 243,494 | 0.99 | ||||||||||
Shimano Inc | Consumer Discretionary | 1,645 | 241,450 | 0.99 | ||||||||||
Nitori Holdings Co Ltd | Consumer Discretionary | 1,532 | 238,926 | 0.98 | ||||||||||
Japan Exchange Group Inc | Financials | 12,537 | 233,022 | 0.95 | ||||||||||
SG Holdings Co Ltd | Industrials | 10,620 | 232,962 | 0.95 | ||||||||||
Astellas Pharma Inc | Health Care | 15,016 | 228,942 | 0.93 | ||||||||||
LINE Corp | Information Technology | 5,420 | 225,804 | 0.92 | ||||||||||
Fuji Electric Co Ltd | Industrials | 28,995 | 220,907 | 0.90 | ||||||||||
Panasonic Corp | Consumer Discretionary | 16,036 | 216,199 | 0.88 | ||||||||||
Fujitsu Ltd | Information Technology | 35,131 | 213,046 | 0.87 | ||||||||||
Mitsubishi Estate Co Ltd | Real Estate | 12,020 | 210,169 | 0.86 | ||||||||||
Skylark Holdings Co Ltd | Consumer Discretionary | 14,112 | 208,783 | 0.85 | ||||||||||
Sompo Holdings Inc | Financials | 5,145 | 208,059 | 0.85 | ||||||||||
Tokyo Gas Co Ltd | Utilities | 7,686 | 204,022 | 0.83 |
A basket (DBGSQUUK) of common stocks
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Royal Dutch Shell PLC | Energy | 81,236 | $ | 2,817,838 | 16.83 | % | ||||||||
GlaxoSmithKline PLC | Health Care | 84,078 | 1,697,040 | 10.13 | ||||||||||
Imperial Brands PLC | Consumer Staples | 32,352 | 1,204,587 | 7.19 | ||||||||||
HSBC Holdings PLC | Financials | 127,881 | 1,199,136 | 7.16 | ||||||||||
CRH PLC | Materials | 27,382 | 966,426 | 5.77 | ||||||||||
Unilever PLC | Consumer Staples | 16,270 | 899,880 | 5.37 | ||||||||||
Diageo PLC | Consumer Staples | 15,853 | 569,358 | 3.40 | ||||||||||
SSE PLC | Utilities | 28,417 | 508,041 | 3.03 | ||||||||||
Anglo American PLC | Materials | 22,492 | 502,952 | 3.00 | ||||||||||
Prudential PLC | Financials | 21,322 | 487,961 | 2.91 | ||||||||||
Vodafone Group PLC | Telecommunication Services | 175,045 | 424,537 | 2.53 | ||||||||||
Burberry Group PLC | Consumer Discretionary | 10,623 | 302,742 | 1.81 | ||||||||||
BHP Billiton PLC | Materials | 12,980 | 292,156 | 1.74 | ||||||||||
Legal & General Group PLC | Financials | 75,975 | 266,642 | 1.59 | ||||||||||
Pearson PLC | Consumer Discretionary | 20,100 | 234,698 | 1.40 | ||||||||||
Ocado Group PLC | Consumer Discretionary | 17,229 | 233,564 | 1.39 | ||||||||||
RELX PLC | Industrials | 10,072 | 215,619 | 1.29 | ||||||||||
International Consolidated Airlines Group | Industrials | 24,106 | 211,191 | 1.26 | ||||||||||
Hargreaves Lansdown PLC | Financials | 8,004 | 208,207 | 1.24 | ||||||||||
Intertek Group PLC | Industrials | 2,730 | 205,898 | 1.23 | ||||||||||
3i Group PLC | Financials | 16,367 | 194,476 | 1.16 | ||||||||||
Whitbread PLC | Consumer Discretionary | 3,542 | 185,039 | 1.10 | ||||||||||
Jupiter Fund Management PLC | Financials | 26,958 | 158,636 | 0.95 | ||||||||||
BT Group PLC | Telecommunication Services | 52,505 | 150,885 | 0.90 | ||||||||||
St James’s Place PLC | Financials | 9,302 | 140,839 | 0.84 | ||||||||||
Royal Mail PLC | Industrials | 20,884 | 139,256 | 0.83 | ||||||||||
Merlin Entertainments PLC | Consumer Discretionary | 25,605 | 130,642 | 0.78 | ||||||||||
Man Group PLC | Financials | 55,395 | 129,076 | 0.77 | ||||||||||
Schroders PLC | Financials | 3,017 | 125,705 | 0.75 | ||||||||||
Smiths Group PLC | Industrials | 5,486 | 122,912 | 0.73 |
46 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Cobham PLC | Industrials | 70,795 | $ | 120,168 | 0.72 | % | ||||||||
Segro PLC | Real Estate | 13,127 | 115,941 | 0.69 | ||||||||||
Berkeley Group Holdings PLC | Consumer Discretionary | 2,199 | 109,835 | 0.66 | ||||||||||
Land Securities Group PLC | Real Estate | 8,438 | 106,529 | 0.64 | ||||||||||
Paddy Power Betfair PLC | Consumer Discretionary | 971 | 106,351 | 0.64 | ||||||||||
Rolls-Royce Holdings PLC | Industrials | 8,051 | 104,968 | 0.63 | ||||||||||
Hammerson PLC | Real Estate | 14,192 | 97,854 | 0.58 | ||||||||||
Tritax Big Box REIT PLC | Real Estate | 47,270 | 97,229 | 0.58 | ||||||||||
Intu Properties PLC | Real Estate | 39,087 | 92,934 | 0.55 | ||||||||||
DCC PLC | Industrials | 975 | 88,698 | 0.53 | ||||||||||
Old Mutual PLC | Financials | 39,016 | 87,649 | 0.52 | ||||||||||
TUI AG | Consumer Discretionary | 3,815 | 83,672 | 0.50 | ||||||||||
IMI PLC | Industrials | 5,594 | 83,546 | 0.50 | ||||||||||
Just Eat PLC | Information Technology | 7,265 | 74,665 | 0.45 | ||||||||||
InterContinental Hotels Group PLC | Consumer Discretionary | 1,181 | 73,517 | 0.44 | ||||||||||
easyJet PLC | Industrials | 2,935 | 64,781 | 0.39 | ||||||||||
Auto Trader Group PLC | Information Technology | 11,063 | 62,168 | 0.37 | ||||||||||
Great Portland Estates PLC | Real Estate | 6,121 | 57,696 | 0.34 | ||||||||||
Pagegroup PLC | Industrials | 5,259 | 39,102 | 0.23 | ||||||||||
Spectris PLC | Information Technology | 963 | 33,172 | 0.20 |
A basket (DBGSVAJP) of common stocks
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Japan Tobacco Inc | Consumer Staples | 203,521 | $ | 5,686,026 | 9.87 | % | ||||||||
Sony Corp | Consumer Discretionary | 43,242 | 2,210,871 | 3.84 | ||||||||||
Nippon Telegraph & Telephone Corp | Telecommunication Services | 46,900 | 2,132,059 | 3.70 | ||||||||||
Honda Motor Co Ltd | Consumer Discretionary | 66,143 | 1,942,258 | 3.37 | ||||||||||
Astellas Pharma Inc | Health Care | 93,519 | 1,425,821 | 2.48 | ||||||||||
Sumitomo Mitsui Financial Group Inc | Financials | 34,617 | 1,345,574 | 2.34 | ||||||||||
Mazda Motor Corp | Consumer Discretionary | 109,239 | 1,341,078 | 2.33 | ||||||||||
Mitsubishi Corp | Industrials | 44,175 | 1,227,383 | 2.13 | ||||||||||
Mitsubishi UFJ Financial Group Inc | Financials | 201,352 | 1,147,084 | 1.99 | ||||||||||
Hitachi Ltd | Information Technology | 157,495 | 1,111,191 | 1.93 | ||||||||||
Sekisui House Ltd | Consumer Discretionary | 62,256 | 1,101,472 | 1.91 | ||||||||||
Mitsui & Co Ltd | Industrials | 63,809 | 1,064,161 | 1.85 | ||||||||||
Suzuki Motor Corp | Consumer Discretionary | 18,608 | 1,027,648 | 1.78 | ||||||||||
Mizuho Financial Group Inc | Financials | 583,317 | 982,013 | 1.70 | ||||||||||
Mitsubishi Heavy Industries Ltd | Industrials | 26,554 | 966,223 | 1.68 | ||||||||||
Shionogi & Co Ltd | Health Care | 18,625 | 956,783 | 1.66 | ||||||||||
ORIX Corp | Financials | 60,039 | 949,529 | 1.65 | ||||||||||
Marubeni Corp | Industrials | 121,225 | 924,776 | 1.61 | ||||||||||
Japan Post Holdings Co Ltd | Financials | 83,538 | 914,710 | 1.59 | ||||||||||
ITOCHU Corp | Industrials | 50,299 | 911,499 | 1.58 | ||||||||||
Rakuten Inc | Consumer Discretionary | 131,164 | 887,298 | 1.54 | ||||||||||
Sumitomo Corp | Industrials | 51,210 | 841,327 | 1.46 | ||||||||||
Sojitz Corp | Industrials | 223,201 | 809,950 | 1.41 | ||||||||||
FUJIFILM Holdings Corp | Information Technology | 19,988 | 780,529 | 1.36 | ||||||||||
Central Japan Railway Co | Industrials | 3,695 | 765,915 | 1.33 | ||||||||||
Toyota Tsusho Corp | Industrials | 22,638 | 758,143 | 1.32 | ||||||||||
Sumitomo Electric Industries Ltd | Consumer Discretionary | 47,411 | 706,162 | 1.23 | ||||||||||
Kajima Corp | Industrials | 87,614 | 678,580 | 1.18 | ||||||||||
JXTG Holdings Inc | Energy | 97,575 | 678,388 | 1.18 | ||||||||||
Dai-ichi Life Holdings Inc | Financials | 37,596 | 670,606 | 1.16 | ||||||||||
Fujitsu Ltd | Information Technology | 108,703 | 659,205 | 1.14 | ||||||||||
Taisei Corp | Industrials | 11,310 | 623,775 | 1.08 | ||||||||||
KDDI Corp | Telecommunication Services | 22,692 | 620,867 | 1.08 | ||||||||||
Credit Saison Co Ltd | Financials | 39,389 | 620,098 | 1.08 | ||||||||||
Subaru Corp | Consumer Discretionary | 21,260 | 618,926 | 1.07 |
The accompanying notes are an integral part of these financial statements. | 47 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Mitsubishi Tanabe Pharma Corp | Health Care | 34,743 | $ | 600,272 | 1.04 | % | ||||||||
Canon Inc | Information Technology | 18,274 | 598,947 | 1.04 | ||||||||||
Nippon Electric Glass Co Ltd | Information Technology | 20,964 | 582,856 | 1.01 | ||||||||||
Isuzu Motors Ltd | Consumer Discretionary | 40,909 | 543,399 | 0.94 | ||||||||||
Shinsei Bank Ltd | Financials | 33,318 | 513,091 | 0.89 | ||||||||||
NTT Data Corp | Information Technology | 44,375 | 511,125 | 0.89 | ||||||||||
Nomura Holdings Inc | Financials | 100,827 | 489,847 | 0.85 | ||||||||||
Santen Pharmaceutical Co Ltd | Health Care | 27,115 | 472,642 | 0.82 | ||||||||||
Eisai Co Ltd | Health Care | 6,669 | 469,783 | 0.82 | ||||||||||
Mitsubishi Chemical Holdings Corp | Materials | 55,241 | 462,447 | 0.80 | ||||||||||
Seino Holdings Co Ltd | Industrials | 25,996 | 460,880 | 0.80 | ||||||||||
IHI Corp | Industrials | 13,161 | 458,589 | 0.80 | ||||||||||
DeNA Co Ltd | Information Technology | 23,685 | 444,076 | 0.77 | ||||||||||
Bridgestone Corp | Consumer Discretionary | 11,113 | 434,656 | 0.75 | ||||||||||
Sumitomo Chemical Co Ltd | Materials | 72,446 | 410,690 | 0.71 |
A basket (DBGSVAUK) of common stocks
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Royal Dutch Shell PLC | Energy | 71,035 | $ | 2,463,995 | 17.13 | % | ||||||||
HSBC Holdings PLC | Financials | 111,822 | 1,048,557 | 7.29 | ||||||||||
Tesco PLC | Consumer Staples | 176,732 | 598,572 | 4.16 | ||||||||||
AstraZeneca PLC | Health Care | 8,628 | 597,970 | 4.16 | ||||||||||
J Sainsbury PLC | Consumer Staples | 132,911 | 563,262 | 3.92 | ||||||||||
Lloyds Banking Group PLC | Financials | 663,120 | 551,650 | 3.84 | ||||||||||
Vodafone Group PLC | Telecommunication Services | 208,346 | 505,301 | 3.51 | ||||||||||
Anglo American PLC | Materials | 18,219 | 407,400 | 2.83 | ||||||||||
Imperial Brands PLC | Consumer Staples | 10,923 | 406,690 | 2.83 | ||||||||||
Reckitt Benckiser Group PLC | Consumer Staples | 4,842 | 398,542 | 2.77 | ||||||||||
Legal & General Group PLC | Financials | 103,632 | 363,707 | 2.53 | ||||||||||
Wm Morrison Supermarkets PLC | Consumer Staples | 101,653 | 337,985 | 2.35 | ||||||||||
Aviva PLC | Financials | 49,698 | 330,483 | 2.30 | ||||||||||
Glencore PLC | Materials | 63,625 | 303,887 | 2.11 | ||||||||||
Mediclinic International PLC | Health Care | 41,678 | 289,580 | 2.01 | ||||||||||
Marks & Spencer Group PLC | Consumer Discretionary | 63,713 | 248,068 | 1.72 | ||||||||||
ConvaTec Group PLC | Health Care | 85,326 | 239,119 | 1.66 | ||||||||||
Smith & Nephew PLC | Health Care | 12,392 | 228,579 | 1.59 | ||||||||||
Evraz PLC | Materials | 33,673 | 225,871 | 1.57 | ||||||||||
CRH PLC | Materials | 6,305 | 222,530 | 1.55 | ||||||||||
Standard Life Aberdeen PLC | Financials | 49,197 | 211,414 | 1.47 | ||||||||||
Rolls-Royce Holdings PLC | Industrials | 16,119 | 210,162 | 1.46 | ||||||||||
Vedanta Resources PLC | Materials | 23,878 | 203,775 | 1.42 | ||||||||||
Standard Chartered PLC | Financials | 21,704 | 198,337 | 1.38 | ||||||||||
International Consolidated Airlines Grou | Industrials | 21,964 | 192,418 | 1.34 | ||||||||||
Berkeley Group Holdings PLC | Consumer Discretionary | 3,850 | 192,262 | 1.34 | ||||||||||
Pearson PLC | Consumer Discretionary | 16,407 | 191,574 | 1.33 | ||||||||||
WPP PLC | Consumer Discretionary | 11,970 | 188,414 | 1.31 | ||||||||||
3i Group PLC | Financials | 15,476 | 183,892 | 1.28 | ||||||||||
Centrica PLC | Utilities | 81,441 | 169,398 | 1.18 | ||||||||||
SSE PLC | Utilities | 9,413 | 168,290 | 1.17 | ||||||||||
Royal Mail PLC | Industrials | 24,037 | 160,281 | 1.11 | ||||||||||
BAE Systems PLC | Industrials | 17,063 | 145,615 | 1.01 | ||||||||||
Antofagasta PLC | Materials | 10,859 | 141,847 | 0.99 | ||||||||||
Old Mutual PLC | Financials | 56,709 | 127,396 | 0.89 | ||||||||||
Drax Group PLC | Utilities | 28,210 | 122,007 | 0.85 | ||||||||||
Persimmon PLC | Consumer Discretionary | 3,380 | 112,951 | 0.79 | ||||||||||
Galliford Try PLC | Industrials | 9,658 | 111,303 | 0.77 | ||||||||||
Meggitt PLC | Industrials | 16,809 | 109,402 | 0.76 | ||||||||||
Dixons Carphone PLC | Consumer Discretionary | 43,874 | 108,018 | 0.75 |
48 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Cobham PLC | Industrials | 56,838 | $ | 96,477 | 0.67 | % | ||||||||
Royal Bank of Scotland Group PLC | Financials | 26,583 | 89,824 | 0.62 | ||||||||||
easyJet PLC | Industrials | 3,596 | 79,372 | 0.55 | ||||||||||
Paddy Power Betfair PLC | Consumer Discretionary | 704 | 77,148 | 0.54 | ||||||||||
Micro Focus International PLC | Information Technology | 4,271 | 74,577 | 0.52 | ||||||||||
Associated British Foods PLC | Consumer Staples | 1,996 | 72,108 | 0.50 | ||||||||||
Bunzl PLC | Industrials | 1,922 | 58,189 | 0.40 | ||||||||||
Carnival PLC | Consumer Discretionary | 953 | 54,683 | 0.38 | ||||||||||
Vesuvius PLC | Industrials | 6,068 | 47,876 | 0.33 | ||||||||||
Spectris PLC | Information Technology | 1,304 | 44,915 | 0.31 |
A basket (JPBILBEU) of common stocks
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Sanofi | Health Care | 4,953 | $ | 397,074 | 2.50 | % | ||||||||
Unilever NV | Consumer Staples | 6,990 | 390,006 | 2.45 | ||||||||||
L’Oreal SA | Consumer Staples | 1,274 | 314,548 | 1.98 | ||||||||||
Anheuser-Busch InBev SA/NV | Consumer Staples | 3,079 | 311,030 | 1.95 | ||||||||||
Danone SA | Consumer Staples | 3,715 | 272,750 | 1.71 | ||||||||||
Koninklijke Ahold Delhaize NV | Consumer Staples | 10,898 | 260,942 | 1.64 | ||||||||||
Pernod Ricard SA | Consumer Staples | 1,549 | 253,090 | 1.59 | ||||||||||
Iberdrola SA | Utilities | 32,712 | 253,024 | 1.59 | ||||||||||
Dassault Systemes SE | Information Technology | 1,691 | 236,917 | 1.49 | ||||||||||
SES SA | Consumer Discretionary | 12,843 | 235,304 | 1.48 | ||||||||||
Kerry Group PLC | Consumer Staples | 2,211 | 231,308 | 1.45 | ||||||||||
Deutsche Wohnen SE | Real Estate | 4,750 | 229,648 | 1.44 | ||||||||||
UCB SA | Health Care | 2,703 | 212,521 | 1.34 | ||||||||||
Glanbia PLC | Consumer Staples | 11,428 | 212,168 | 1.33 | ||||||||||
Henkel AG & Co KGaA | Consumer Staples | 1,652 | 211,213 | 1.33 | ||||||||||
Orpea | Health Care | 1,577 | 210,452 | 1.32 | ||||||||||
Air Liquide SA | Materials | 1,664 | 209,231 | 1.32 | ||||||||||
Heineken NV | Consumer Staples | 2,056 | 206,519 | 1.30 | ||||||||||
BioMerieux | Health Care | 2,281 | 205,394 | 1.29 | ||||||||||
MAN SE | Industrials | 1,813 | 205,235 | 1.29 | ||||||||||
Essilor International | Health Care | 1,449 | 204,594 | 1.29 | ||||||||||
Hermes International | Consumer Discretionary | 331 | 202,168 | 1.27 | ||||||||||
Thales SA | Industrials | 1,553 | 200,106 | 1.26 | ||||||||||
LEG Immobilien AG | Real Estate | 1,839 | 199,878 | 1.26 | ||||||||||
Enagas SA | Energy | 6,835 | 199,857 | 1.26 | ||||||||||
Colruyt SA | Consumer Staples | 3,491 | 199,207 | 1.25 | ||||||||||
Amadeus IT Group SA | Information Technology | 2,517 | 198,685 | 1.25 | ||||||||||
Abertis Infraestructuras SA | Industrials | 9,216 | 197,626 | 1.24 | ||||||||||
Elisa OYJ | Telecommunication Services | 4,193 | 194,226 | 1.22 | ||||||||||
adidas AG | Consumer Discretionary | 879 | 191,869 | 1.21 | ||||||||||
Symrise AG | Materials | 2,166 | 189,917 | 1.19 | ||||||||||
Davide Campari-Milano SpA | Consumer Staples | 23,020 | 189,374 | 1.19 | ||||||||||
Fresenius Medical Care AG & Co KGaA | Health Care | 1,873 | 188,962 | 1.19 | ||||||||||
Terna Rete Elettrica Nazionale SpA | Utilities | 34,562 | 186,937 | 1.17 | ||||||||||
Beiersdorf AG | Consumer Staples | 1,642 | 186,402 | 1.17 | ||||||||||
RELX NV | Industrials | 8,557 | 182,495 | 1.15 | ||||||||||
Kesko OYJ | Consumer Staples | 2,941 | 179,934 | 1.13 | ||||||||||
Fresenius SE & Co KGaA | Health Care | 2,230 | 179,129 | 1.13 | ||||||||||
Bureau Veritas SA | Industrials | 6,685 | 178,445 | 1.12 | ||||||||||
Munich Re | Financials | 843 | 178,132 | 1.12 | ||||||||||
Kering SA | Consumer Discretionary | 315 | 177,975 | 1.12 | ||||||||||
Industria de Diseno Textil SA | Consumer Discretionary | 5,185 | 177,171 | 1.11 | ||||||||||
Snam SpA | Energy | 42,315 | 176,695 | 1.11 | ||||||||||
Vinci SA | Industrials | 1,807 | 173,826 | 1.09 | ||||||||||
Ipsen SA | Health Care | 1,098 | 172,186 | 1.08 |
The accompanying notes are an integral part of these financial statements. | 49 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Gecina SA | Real Estate | 999 | $ | 167,185 | 1.05 | % | ||||||||
Sodexo SA | Consumer Discretionary | 1,666 | 166,607 | 1.05 | ||||||||||
Teleperformance | Industrials | 919 | 162,435 | 1.02 | ||||||||||
Endesa SA | Utilities | 7,173 | 158,266 | 0.99 | ||||||||||
Wolters Kluwer NV | Industrials | 2,768 | 156,013 | 0.98 |
A basket (JPBIMOEU) of common stocks
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
TOTAL SA | Energy | 7,259 | $ | 442,578 | 3.74 | % | ||||||||
Allianz SE | Financials | 1,656 | 342,341 | 2.90 | ||||||||||
ASML Holding NV | Information Technology | 1,721 | 340,949 | 2.88 | ||||||||||
LVMH Moet Hennessy Louis Vuitton SE | Consumer Discretionary | 976 | 324,896 | 2.75 | ||||||||||
Kering SA | Consumer Discretionary | 488 | 275,848 | 2.33 | ||||||||||
Airbus SE | Industrials | 2,309 | 270,314 | 2.29 | ||||||||||
Wirecard AG | Information Technology | 1,548 | 249,333 | 2.11 | ||||||||||
Safran SA | Industrials | 1,796 | 218,183 | 1.85 | ||||||||||
Dassault Systemes SE | Information Technology | 1,529 | 214,283 | 1.81 | ||||||||||
Fiat Chrysler Automobiles NV | Consumer Discretionary | 11,194 | 213,509 | 1.81 | ||||||||||
Stora Enso OYJ | Materials | 10,738 | 210,149 | 1.78 | ||||||||||
Moncler SpA | Consumer Discretionary | 4,499 | 204,904 | 1.73 | ||||||||||
Koninklijke DSM NV | Materials | 2,015 | 202,615 | 1.71 | ||||||||||
UPM-Kymmene OYJ | Materials | 5,591 | 199,893 | 1.69 | ||||||||||
Fortum OYJ | Utilities | 8,074 | 192,704 | 1.63 | ||||||||||
Aroundtown SA | Real Estate | 23,060 | 189,435 | 1.60 | ||||||||||
Ageas | Financials | 3,703 | 186,840 | 1.58 | ||||||||||
Deutsche Post AG | Industrials | 5,554 | 181,407 | 1.53 | ||||||||||
Eiffage SA | Industrials | 1,650 | 179,513 | 1.52 | ||||||||||
Munich Re | Financials | 836 | 176,686 | 1.49 | ||||||||||
Amadeus IT Group SA | Information Technology | 2,220 | 175,255 | 1.48 | ||||||||||
NN Group NV | Financials | 4,275 | 173,898 | 1.47 | ||||||||||
Ubisoft Entertainment SA | Information Technology | 1,572 | 172,528 | 1.46 | ||||||||||
Ferrari NV | Consumer Discretionary | 1,236 | 168,128 | 1.42 | ||||||||||
Umicore SA | Materials | 2,890 | 165,881 | 1.40 | ||||||||||
Deutsche Lufthansa AG | Industrials | 6,856 | 164,913 | 1.40 | ||||||||||
Eurazeo SA | Financials | 2,165 | 164,210 | 1.39 | ||||||||||
Neste Oyj | Energy | 2,092 | 164,159 | 1.39 | ||||||||||
Faurecia SA | Consumer Discretionary | 2,291 | 163,532 | 1.38 | ||||||||||
Pernod Ricard SA | Consumer Staples | 994 | 162,328 | 1.37 | ||||||||||
Vinci SA | Industrials | 1,678 | 161,346 | 1.36 | ||||||||||
Abertis Infraestructuras SA | Industrials | 7,253 | 155,537 | 1.32 | ||||||||||
Poste Italiane SpA | Financials | 18,031 | 150,962 | 1.28 | ||||||||||
Hermes International | Consumer Discretionary | 243 | 148,460 | 1.26 | ||||||||||
Aegon NV | Financials | 24,588 | 147,462 | 1.25 | ||||||||||
Porsche Automobil Holding SE | Consumer Discretionary | 2,280 | 145,279 | 1.23 | ||||||||||
Sartorius AG | Health Care | 960 | 143,544 | 1.21 | ||||||||||
Alstom SA | Industrials | 3,107 | 142,803 | 1.21 | ||||||||||
ArcelorMittal | Materials | 4,813 | 141,117 | 1.19 | ||||||||||
Wacker Chemie AG | Materials | 1,054 | 138,068 | 1.17 | ||||||||||
BE Semiconductor Industries NV | Information Technology | 5,092 | 137,838 | 1.17 | ||||||||||
Rheinmetall AG | Industrials | 1,225 | 135,263 | 1.14 | ||||||||||
Eni SpA | Energy | 7,206 | 133,834 | 1.13 | ||||||||||
Enel SpA | Utilities | 23,838 | 132,415 | 1.12 | ||||||||||
Siltronic AG | Information Technology | 872 | 124,848 | 1.06 | ||||||||||
Cellnex Telecom SA | Telecommunication Services | 4,843 | 122,151 | 1.03 | ||||||||||
Scout24 AG | Information Technology | 2,290 | 121,505 | 1.03 | ||||||||||
Capgemini SE | Information Technology | 871 | 117,207 | 0.99 | ||||||||||
Assicurazioni Generali SpA | Financials | 6,904 | 115,848 | 0.98 | ||||||||||
Schneider Electric SE | Industrials | 1,371 | 114,342 | 0.97 |
50 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
A basket (JPBIQUEU) of common stocks
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Bayer AG | Health Care | 15,899 | $ | 1,751,609 | 9.80 | % | ||||||||
TOTAL SA | Energy | 12,162 | 741,452 | 4.15 | ||||||||||
L’Oreal SA | Consumer Staples | 2,066 | 510,215 | 2.85 | ||||||||||
Sampo Oyj | Financials | 8,579 | 418,759 | 2.34 | ||||||||||
Atos SE | Information Technology | 2,934 | 400,641 | 2.24 | ||||||||||
Infineon Technologies AG | Information Technology | 15,283 | 389,576 | 2.18 | ||||||||||
Unilever NV | Consumer Staples | 6,955 | 388,065 | 2.17 | ||||||||||
Allianz SE | Financials | 1,875 | 387,475 | 2.17 | ||||||||||
Amadeus IT Group SA | Information Technology | 4,789 | 378,030 | 2.11 | ||||||||||
KBC Group NV | Financials | 4,538 | 350,389 | 1.96 | ||||||||||
Orange SA | Telecommunication Services | 20,017 | 335,297 | 1.88 | ||||||||||
Beiersdorf AG | Consumer Staples | 2,907 | 330,071 | 1.85 | ||||||||||
ING Groep NV | Financials | 21,062 | 303,192 | 1.70 | ||||||||||
ABN AMRO Group NV | Financials | 11,257 | 292,068 | 1.63 | ||||||||||
Azimut Holding SpA | Financials | 18,590 | 287,727 | 1.61 | ||||||||||
Telefonica SA | Telecommunication Services | 31,233 | 265,469 | 1.48 | ||||||||||
Aegon NV | Financials | 43,033 | 258,083 | 1.44 | ||||||||||
adidas AG | Consumer Discretionary | 1,161 | 253,475 | 1.42 | ||||||||||
Schneider Electric SE | Industrials | 2,944 | 245,493 | 1.37 | ||||||||||
Suez | Utilities | 18,682 | 242,255 | 1.35 | ||||||||||
Linde AG | Materials | 1,007 | 240,362 | 1.34 | ||||||||||
AXA SA | Financials | 9,721 | 238,544 | 1.33 | ||||||||||
Deutsche Post AG | Industrials | 7,277 | 237,670 | 1.33 | ||||||||||
Heineken NV | Consumer Staples | 2,366 | 237,640 | 1.33 | ||||||||||
Aroundtown SA | Real Estate | 28,622 | 235,127 | 1.31 | ||||||||||
Peugeot SA | Consumer Discretionary | 10,284 | 234,899 | 1.31 | ||||||||||
UniCredit SpA | Financials | 13,938 | 232,665 | 1.30 | ||||||||||
Saipem SpA | Energy | 49,573 | 228,304 | 1.28 | ||||||||||
Koninklijke Ahold Delhaize NV | Consumer Staples | 9,356 | 224,018 | 1.25 | ||||||||||
Hannover Rueck SE | Financials | 1,674 | 208,787 | 1.17 | ||||||||||
Telefonica Deutschland Holding AG | Telecommunication Services | 50,940 | 200,817 | 1.12 | ||||||||||
Enagas SA | Energy | 6,784 | 198,367 | 1.11 | ||||||||||
Endesa SA | Utilities | 8,985 | 198,247 | 1.11 | ||||||||||
Erste Group Bank AG | Financials | 4,489 | 187,406 | 1.05 | ||||||||||
Jeronimo Martins SGPS SA | Consumer Staples | 12,713 | 183,637 | 1.03 | ||||||||||
Bankinter SA | Financials | 18,827 | 183,396 | 1.03 | ||||||||||
MTU Aero Engines AG | Industrials | 932 | 179,174 | 1.00 | ||||||||||
Sodexo SA | Consumer Discretionary | 1,776 | 177,606 | 0.99 | ||||||||||
Enel SpA | Utilities | 31,472 | 174,818 | 0.98 | ||||||||||
CRH PLC | Materials | 4,874 | 172,746 | 0.97 | ||||||||||
Pirelli & C SpA | Consumer Discretionary | 20,577 | 171,845 | 0.96 | ||||||||||
Michelin | Consumer Discretionary | 1,406 | 171,219 | 0.96 | ||||||||||
Faurecia SA | Consumer Discretionary | 2,374 | 169,462 | 0.95 | ||||||||||
Prysmian SpA | Industrials | 6,444 | 160,496 | 0.90 | ||||||||||
Wolters Kluwer NV | Industrials | 2,837 | 159,896 | 0.89 | ||||||||||
Moncler SpA | Consumer Discretionary | 3,479 | 158,426 | 0.89 | ||||||||||
RELX NV | Industrials | 7,304 | 155,784 | 0.87 | ||||||||||
E.ON SE | Utilities | 14,404 | 153,965 | 0.86 | ||||||||||
Essilor International | Health Care | 1,086 | 153,382 | 0.86 | ||||||||||
Arkema SA | Materials | 1,286 | 152,297 | 0.85 |
A basket (JPBIVAEU) of common stocks
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Sanofi | Health Care | 23,081 | $ | 1,850,253 | 7.24 | % | ||||||||
TOTAL SA | Energy | 17,595 | 1,072,681 | 4.20 | ||||||||||
Koninklijke Philips NV | Health Care | 20,148 | 856,980 | 3.36 | ||||||||||
Telecom Italia SpA/Milano | Telecommunication Services | 940,452 | 699,978 | 2.74 |
The accompanying notes are an integral part of these financial statements. | 51 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Koninklijke Ahold Delhaize NV | Consumer Staples | 27,312 | $ | 653,939 | 2.56 | % | ||||||||
BNP Paribas SA | Financials | 10,360 | 643,478 | 2.52 | ||||||||||
AXA SA | Financials | 24,544 | 602,297 | 2.36 | ||||||||||
Danone SA | Consumer Staples | 7,460 | 547,698 | 2.14 | ||||||||||
Aegon NV | Financials | 87,693 | 525,920 | 2.06 | ||||||||||
NN Group NV | Financials | 12,420 | 505,282 | 1.98 | ||||||||||
Assicurazioni Generali SpA | Financials | 28,173 | 472,736 | 1.85 | ||||||||||
BPER Banca | Financials | 83,374 | 458,255 | 1.79 | ||||||||||
A2A SpA | Utilities | 262,482 | 455,143 | 1.78 | ||||||||||
Engie SA | Utilities | 28,786 | 441,342 | 1.73 | ||||||||||
Nokia OYJ | Information Technology | 73,355 | 422,287 | 1.65 | ||||||||||
Capgemini SE | Information Technology | 2,950 | 396,864 | 1.55 | ||||||||||
Atos SE | Information Technology | 2,880 | 393,299 | 1.54 | ||||||||||
Telefonica SA | Telecommunication Services | 45,185 | 384,063 | 1.50 | ||||||||||
METRO AG | Consumer Staples | 30,096 | 371,992 | 1.46 | ||||||||||
Unione di Banche Italiane SpA | Financials | 95,183 | 365,893 | 1.43 | ||||||||||
UniCredit SpA | Financials | 21,263 | 354,959 | 1.39 | ||||||||||
Credit Agricole SA | Financials | 26,248 | 350,485 | 1.37 | ||||||||||
ING Groep NV | Financials | 23,863 | 343,520 | 1.34 | ||||||||||
Eni SpA | Energy | 18,470 | 343,044 | 1.34 | ||||||||||
Fiat Chrysler Automobiles NV | Consumer Discretionary | 17,833 | 340,136 | 1.33 | ||||||||||
Peugeot SA | Consumer Discretionary | 14,871 | 339,646 | 1.33 | ||||||||||
Carrefour SA | Consumer Staples | 20,941 | 339,165 | 1.33 | ||||||||||
BASF SE | Materials | 3,542 | 338,759 | 1.33 | ||||||||||
Ingenico Group SA | Information Technology | 3,754 | 337,552 | 1.32 | ||||||||||
Schneider Electric SE | Industrials | 3,729 | 310,953 | 1.22 | ||||||||||
Vinci SA | Industrials | 3,134 | 301,404 | 1.18 | ||||||||||
Publicis Groupe SA | Consumer Discretionary | 3,962 | 272,659 | 1.07 | ||||||||||
Heineken NV | Consumer Staples | 2,679 | 269,052 | 1.05 | ||||||||||
Air France-KLM | Industrials | 32,837 | 267,796 | 1.05 | ||||||||||
Deutsche Lufthansa AG | Industrials | 10,933 | 262,985 | 1.03 | ||||||||||
Societe Generale SA | Financials | 6,184 | 260,777 | 1.02 | ||||||||||
Eiffage SA | Industrials | 2,360 | 256,762 | 1.01 | ||||||||||
Rexel SA | Industrials | 17,682 | 254,270 | 1.00 | ||||||||||
Enel SpA | Utilities | 45,532 | 252,915 | 0.99 | ||||||||||
Michelin | Consumer Discretionary | 2,033 | 247,607 | 0.97 | ||||||||||
Cie de Saint-Gobain | Industrials | 5,268 | 235,399 | 0.92 | ||||||||||
ArcelorMittal | Materials | 8,021 | 235,196 | 0.92 | ||||||||||
Ferrovial SA | Industrials | 11,298 | 231,865 | 0.91 | ||||||||||
Pirelli & C SpA | Consumer Discretionary | 27,431 | 229,083 | 0.90 | ||||||||||
Faurecia SA | Consumer Discretionary | 3,198 | 228,276 | 0.89 | ||||||||||
Continental AG | Consumer Discretionary | 959 | 218,937 | 0.86 | ||||||||||
Pernod Ricard SA | Consumer Staples | 1,338 | 218,609 | 0.86 | ||||||||||
Covestro AG | Materials | 2,442 | 217,955 | 0.85 | ||||||||||
CNH Industrial NV | Industrials | 20,444 | 217,147 | 0.85 | ||||||||||
Valeo SA | Consumer Discretionary | 3,961 | 216,531 | 0.85 |
A basket (JPGSLBUS) of common stocks
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Johnson & Johnson | Health Care | 2,233 | $ | 270,921 | 1.74 | % | ||||||||
Exxon Mobil Corp | Energy | 2,877 | 237,999 | 1.53 | ||||||||||
Berkshire Hathaway Inc | Financials | 1,248 | 232,908 | 1.49 | ||||||||||
Procter & Gamble Co/The | Consumer Staples | 2,835 | 221,276 | 1.42 | ||||||||||
Verizon Communications Inc | Telecommunication Services | 4,267 | 214,683 | 1.38 | ||||||||||
AT&T Inc | Telecommunication Services | 6,618 | 212,491 | 1.36 | ||||||||||
Coca-Cola Co/The | Consumer Staples | 4,501 | 197,433 | 1.27 | ||||||||||
PepsiCo Inc | Consumer Staples | 1,720 | 187,262 | 1.20 | ||||||||||
Pfizer Inc | Health Care | 4,803 | 174,259 | 1.12 |
52 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Walmart Inc | Consumer Staples | 2,021 | $ | 173,101 | 1.11 | % | ||||||||
NextEra Energy Inc | Utilities | 960 | 160,298 | 1.03 | ||||||||||
Altria Group Inc | Consumer Staples | 2,819 | 160,099 | 1.03 | ||||||||||
UnitedHealth Group Inc | Health Care | 639 | 156,832 | 1.01 | ||||||||||
Merck & Co Inc | Health Care | 2,517 | 152,779 | 0.98 | ||||||||||
Duke Energy Corp | Utilities | 1,902 | 150,388 | 0.96 | ||||||||||
McDonald’s Corp | Consumer Discretionary | 942 | 147,677 | 0.95 | ||||||||||
Southern Co/The | Utilities | 3,150 | 145,884 | 0.94 | ||||||||||
Philip Morris International Inc | Consumer Staples | 1,798 | 145,181 | 0.93 | ||||||||||
Dominion Energy Inc | Utilities | 2,041 | 139,132 | 0.89 | ||||||||||
American Electric Power Co Inc | Utilities | 1,921 | 133,054 | 0.85 | ||||||||||
Exelon Corp | Utilities | 3,107 | 132,376 | 0.85 | ||||||||||
Consolidated Edison Inc | Utilities | 1,662 | 129,596 | 0.83 | ||||||||||
Xcel Energy Inc | Utilities | 2,792 | 127,557 | 0.82 | ||||||||||
WEC Energy Group Inc | Utilities | 1,967 | 127,145 | 0.82 | ||||||||||
Public Storage | Real Estate | 551 | 125,046 | 0.80 | ||||||||||
Sempra Energy | Utilities | 1,066 | 123,792 | 0.79 | ||||||||||
Public Service Enterprise Group Inc | Utilities | 2,269 | 122,827 | 0.79 | ||||||||||
Welltower Inc | Real Estate | 1,948 | 122,106 | 0.78 | ||||||||||
CMS Energy Corp | Utilities | 2,582 | 122,086 | 0.78 | ||||||||||
Comcast Corp | Consumer Discretionary | 3,665 | 120,243 | 0.77 | ||||||||||
DTE Energy Co | Utilities | 1,154 | 119,547 | 0.77 | ||||||||||
Simon Property Group Inc | Real Estate | 700 | 119,099 | 0.76 | ||||||||||
Ameren Corp | Utilities | 1,956 | 119,019 | 0.76 | ||||||||||
Ventas Inc | Real Estate | 2,082 | 118,580 | 0.76 | ||||||||||
Edison International | Utilities | 1,867 | 118,105 | 0.76 | ||||||||||
AvalonBay Communities Inc | Real Estate | 687 | 118,030 | 0.76 | ||||||||||
Walt Disney Co/The | Consumer Discretionary | 1,106 | 115,907 | 0.74 | ||||||||||
Entergy Corp | Utilities | 1,431 | 115,587 | 0.74 | ||||||||||
Crown Castle International Corp | Real Estate | 1,070 | 115,344 | 0.74 | ||||||||||
American Water Works Co Inc | Utilities | 1,345 | 114,805 | 0.74 | ||||||||||
Clorox Co/The | Consumer Staples | 846 | 114,378 | 0.73 | ||||||||||
Alliant Energy Corp | Utilities | 2,695 | 114,065 | 0.73 | ||||||||||
Campbell Soup Co | Consumer Staples | 2,807 | 113,804 | 0.73 | ||||||||||
Eversource Energy | Utilities | 1,938 | 113,575 | 0.73 | ||||||||||
FirstEnergy Corp | Utilities | 3,163 | 113,567 | 0.73 | ||||||||||
TJX Cos Inc/The | Consumer Discretionary | 1,187 | 112,933 | 0.72 | ||||||||||
Pinnacle West Capital Corp | Utilities | 1,394 | 112,302 | 0.72 | ||||||||||
Costco Wholesale Corp | Consumer Staples | 537 | 112,224 | 0.72 | ||||||||||
PPL Corp | Utilities | 3,928 | 112,154 | 0.72 | ||||||||||
Colgate-Palmolive Co | Consumer Staples | 1,729 | 112,054 | 0.72 |
A basket (JPGSMOUS) of common stocks
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Amazon.com Inc | Consumer Discretionary | 646 | $ | 1,097,481 | 3.60 | % | ||||||||
Microsoft Corp | Information Technology | 10,975 | 1,082,200 | 3.55 | ||||||||||
JPMorgan Chase & Co | Financials | 6,245 | 650,754 | 2.14 | ||||||||||
Mastercard Inc | Information Technology | 2,774 | 545,155 | 1.79 | ||||||||||
Visa Inc | Information Technology | 4,048 | 536,195 | 1.76 | ||||||||||
Boeing Co/The | Industrials | 1,596 | 535,572 | 1.76 | ||||||||||
UnitedHealth Group Inc | Health Care | 2,107 | 516,851 | 1.70 | ||||||||||
Cisco Systems Inc | Information Technology | 11,451 | 492,741 | 1.62 | ||||||||||
Netflix Inc | Consumer Discretionary | 1,257 | 491,854 | 1.61 | ||||||||||
Bank of America Corp | Financials | 15,857 | 447,004 | 1.47 | ||||||||||
PayPal Holdings Inc | Information Technology | 4,891 | 407,270 | �� | 1.34 | |||||||||
Abbott Laboratories | Health Care | 6,308 | 384,701 | 1.26 | ||||||||||
Adobe Systems Inc | Information Technology | 1,569 | 382,535 | 1.26 | ||||||||||
AbbVie Inc | Health Care | 3,961 | 366,967 | 1.20 |
The accompanying notes are an integral part of these financial statements. | 53 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
CME Group Inc | Financials | 2,237 | $ | 366,635 | 1.20 | % | ||||||||
Chevron Corp | Energy | 2,893 | 365,707 | 1.20 | ||||||||||
VF Corp | Consumer Discretionary | 4,366 | 355,941 | 1.17 | ||||||||||
Valero Energy Corp | Energy | 3,201 | 354,797 | 1.16 | ||||||||||
S&P Global Inc | Financials | 1,673 | 341,093 | 1.12 | ||||||||||
Caterpillar Inc | Industrials | 2,497 | 338,723 | 1.11 | ||||||||||
Intuit Inc | Information Technology | 1,643 | 335,575 | 1.10 | ||||||||||
Estee Lauder Cos Inc/The | Consumer Staples | 2,348 | 335,044 | 1.10 | ||||||||||
Phillips 66 | Energy | 2,970 | 333,610 | 1.09 | ||||||||||
Progressive Corp/The | Financials | 5,605 | 331,564 | 1.09 | ||||||||||
NetApp Inc | Information Technology | 4,159 | 326,634 | 1.07 | ||||||||||
T Rowe Price Group Inc | Financials | 2,789 | 323,731 | 1.06 | ||||||||||
salesforce.com Inc | Information Technology | 2,368 | 322,941 | 1.06 | ||||||||||
Total System Services Inc | Information Technology | 3,759 | 317,747 | 1.04 | ||||||||||
Accenture PLC | Information Technology | 1,922 | 314,380 | 1.03 | ||||||||||
Moody’s Corp | Financials | 1,836 | 313,222 | 1.03 | ||||||||||
E*TRADE Financial Corp | Financials | 5,069 | 310,004 | 1.02 | ||||||||||
ConocoPhillips | Energy | 4,398 | 306,185 | 1.00 | ||||||||||
MSCI Inc | Financials | 1,846 | 305,444 | 1.00 | ||||||||||
Xylem Inc/NY | Industrials | 4,489 | 302,459 | 0.99 | ||||||||||
Michael Kors Holdings Ltd | Consumer Discretionary | 4,530 | 301,726 | 0.99 | ||||||||||
Verisk Analytics Inc | Industrials | 2,799 | 301,270 | 0.99 | ||||||||||
Marathon Petroleum Corp | Energy | 4,187 | 293,736 | 0.96 | ||||||||||
PVH Corp | Consumer Discretionary | 1,948 | 291,720 | 0.96 | ||||||||||
Red Hat Inc | Information Technology | 2,170 | 291,620 | 0.96 | ||||||||||
NextEra Energy Inc | Utilities | 1,736 | 289,897 | 0.95 | ||||||||||
Zoetis Inc | Health Care | 3,346 | 285,033 | 0.94 | ||||||||||
CBRE Group Inc | Real Estate | 5,908 | 282,047 | 0.93 | ||||||||||
Occidental Petroleum Corp | Energy | 3,324 | 278,138 | 0.91 | ||||||||||
TransDigm Group Inc | Industrials | 787 | 271,456 | 0.89 | ||||||||||
Booking Holdings Inc | Consumer Discretionary | 134 | 271,067 | 0.89 | ||||||||||
NVIDIA Corp | Information Technology | 1,123 | 266,146 | 0.87 | ||||||||||
Cboe Global Markets Inc | Financials | 2,547 | 265,091 | 0.87 | ||||||||||
Aflac Inc | Financials | 6,161 | 265,027 | 0.87 | ||||||||||
Ralph Lauren Corp | Consumer Discretionary | 2,083 | 261,886 | 0.86 | ||||||||||
Eastman Chemical Co | Materials | 2,562 | 256,111 | 0.84 |
A basket (JPGSQUUS) of common stocks
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Microsoft Corp | Information Technology | 8,687 | $ | 856,660 | 3.26 | % | ||||||||
Amazon.com Inc | Consumer Discretionary | 464 | 787,975 | 3.00 | ||||||||||
Johnson & Johnson | Health Care | 4,905 | 595,186 | 2.27 | ||||||||||
Mastercard Inc | Information Technology | 2,199 | 432,086 | 1.65 | ||||||||||
Intuit Inc | Information Technology | 1,934 | 395,068 | 1.50 | ||||||||||
Edwards Lifesciences Corp | Health Care | 2,663 | 387,697 | 1.48 | ||||||||||
Cisco Systems Inc | Information Technology | 8,912 | 383,498 | 1.46 | ||||||||||
Baxter International Inc | Health Care | 4,835 | 357,022 | 1.36 | ||||||||||
NetApp Inc | Information Technology | 4,545 | 356,900 | 1.36 | ||||||||||
Visa Inc | Information Technology | 2,669 | 353,481 | 1.35 | ||||||||||
Bristol-Myers Squibb Co | Health Care | 6,364 | 352,199 | 1.34 | ||||||||||
F5 Networks Inc | Information Technology | 1,973 | 340,184 | 1.30 | ||||||||||
Boston Scientific Corp | Health Care | 9,966 | 325,878 | 1.24 | ||||||||||
International Business Machines Corp | Information Technology | 2,297 | 320,919 | 1.22 | ||||||||||
Seagate Technology PLC | Information Technology | 5,635 | 318,221 | 1.21 | ||||||||||
Motorola Solutions Inc | Information Technology | 2,734 | 318,200 | 1.21 | ||||||||||
Walmart Inc | Consumer Staples | 3,681 | 315,265 | 1.20 | ||||||||||
Merck & Co Inc | Health Care | 5,014 | 304,338 | 1.16 | ||||||||||
Walt Disney Co/The | Consumer Discretionary | 2,873 | 301,106 | 1.15 |
54 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Wells Fargo & Co | Financials | 5,106 | $ | 283,065 | 1.08 | % | ||||||||
Varian Medical Systems Inc | Health Care | 2,465 | 280,316 | 1.07 | ||||||||||
Chevron Corp | Energy | 2,207 | 279,004 | 1.06 | ||||||||||
Citrix Systems Inc | Information Technology | 2,635 | 276,234 | 1.05 | ||||||||||
QUALCOMM Inc | Information Technology | 4,785 | 268,543 | 1.02 | ||||||||||
Skyworks Solutions Inc | Information Technology | 2,724 | 263,268 | 1.00 | ||||||||||
HP Inc | Information Technology | 11,238 | 254,979 | 0.97 | ||||||||||
CenturyLink Inc | Telecommunication Services | 12,735 | 237,387 | 0.90 | ||||||||||
Verizon Communications Inc | Telecommunication Services | 4,631 | 232,985 | 0.89 | ||||||||||
Accenture PLC | Information Technology | 1,401 | 229,130 | 0.87 | ||||||||||
Zoetis Inc | Health Care | 2,677 | 228,022 | 0.87 | ||||||||||
Honeywell International Inc | Industrials | 1,561 | 224,874 | 0.86 | ||||||||||
Red Hat Inc | Information Technology | 1,642 | 220,613 | 0.84 | ||||||||||
Costco Wholesale Corp | Consumer Staples | 1,001 | 209,099 | 0.80 | ||||||||||
Adobe Systems Inc | Information Technology | 845 | 205,977 | 0.78 | ||||||||||
Anthem Inc | Health Care | 855 | 203,457 | 0.77 | ||||||||||
Starbucks Corp | Consumer Discretionary | 4,099 | 200,247 | 0.76 | ||||||||||
S&P Global Inc | Financials | 966 | 197,026 | 0.75 | ||||||||||
Electronic Arts Inc | Information Technology | 1,386 | 195,491 | 0.74 | ||||||||||
Medtronic PLC | Health Care | 2,243 | 192,055 | 0.73 | ||||||||||
Centene Corp | Health Care | 1,555 | 191,536 | 0.73 | ||||||||||
Autodesk Inc | Information Technology | 1,454 | 190,563 | 0.73 | ||||||||||
US Bancorp | Financials | 3,808 | 190,482 | 0.73 | ||||||||||
Darden Restaurants Inc | Consumer Discretionary | 1,699 | 181,845 | 0.69 | ||||||||||
Campbell Soup Co | Consumer Staples | 4,475 | 181,416 | 0.69 | ||||||||||
3M Co | Industrials | 912 | 179,354 | 0.68 | ||||||||||
Marsh & McLennan Cos Inc | Financials | 2,178 | 178,513 | 0.68 | ||||||||||
Ralph Lauren Corp | Consumer Discretionary | 1,412 | 177,501 | 0.68 | ||||||||||
Chipotle Mexican Grill Inc | Consumer Discretionary | 410 | 176,974 | 0.67 | ||||||||||
PepsiCo Inc | Consumer Staples | 1,618 | 176,129 | 0.67 | ||||||||||
Sysco Corp | Consumer Staples | 2,567 | 175,328 | 0.67 |
A basket (JPGSVAUS) of common stocks
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Apple Inc | Information Technology | 4,905 | $ | 908,050 | 4.41 | % | ||||||||
Berkshire Hathaway Inc | Financials | 2,276 | 424,890 | 2.06 | ||||||||||
AT&T Inc | Telecommunication Services | 11,567 | 371,421 | 1.80 | ||||||||||
Marathon Petroleum Corp | Energy | 4,901 | 343,829 | 1.67 | ||||||||||
Exxon Mobil Corp | Energy | 3,928 | 324,927 | 1.58 | ||||||||||
UnitedHealth Group Inc | Health Care | 1,196 | 293,418 | 1.42 | ||||||||||
International Business Machines Corp | Information Technology | 2,040 | 285,031 | 1.38 | ||||||||||
Valero Energy Corp | Energy | 2,563 | 284,036 | 1.38 | ||||||||||
Wells Fargo & Co | Financials | 5,093 | 282,362 | 1.37 | ||||||||||
Micron Technology Inc | Information Technology | 4,816 | 252,558 | 1.23 | ||||||||||
HP Inc | Information Technology | 10,192 | 231,259 | 1.12 | ||||||||||
Western Digital Corp | Information Technology | 2,976 | 230,378 | 1.12 | ||||||||||
Alliance Data Systems Corp | Information Technology | 988 | 230,297 | 1.12 | ||||||||||
Oracle Corp | Information Technology | 5,216 | 229,835 | 1.12 | ||||||||||
Juniper Networks Inc | Information Technology | 8,376 | 229,657 | 1.11 | ||||||||||
Boeing Co/The | Industrials | 646 | 216,879 | 1.05 | ||||||||||
Phillips 66 | Energy | 1,837 | 206,352 | 1.00 | ||||||||||
Comcast Corp | Consumer Discretionary | 6,171 | 202,472 | 0.98 | ||||||||||
DXC Technology Co | Information Technology | 2,495 | 201,129 | 0.98 | ||||||||||
Prudential Financial Inc | Financials | 2,132 | 199,318 | 0.97 | ||||||||||
CVS Health Corp | Health Care | 3,005 | 193,345 | 0.94 | ||||||||||
MetLife Inc | Financials | 4,357 | 189,955 | 0.92 | ||||||||||
Cisco Systems Inc | Information Technology | 4,361 | 187,661 | 0.91 | ||||||||||
CA Inc | Information Technology | 5,232 | 186,503 | 0.91 |
The accompanying notes are an integral part of these financial statements. | 55 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Walmart Inc | Consumer Staples | 2,149 | $ | 184,037 | 0.89 | % | ||||||||
Cognizant Technology Solutions Corp | Information Technology | 2,299 | 181,601 | 0.88 | ||||||||||
Walt Disney Co/The | Consumer Discretionary | 1,731 | 181,475 | 0.88 | ||||||||||
Procter & Gamble Co/The | Consumer Staples | 2,301 | 179,643 | 0.87 | ||||||||||
Symantec Corp | Information Technology | 8,310 | 171,608 | 0.83 | ||||||||||
Unum Group | Financials | 4,584 | 169,548 | 0.82 | ||||||||||
Envision Healthcare Corp | Health Care | 3,809 | 167,629 | 0.81 | ||||||||||
eBay Inc | Information Technology | 4,566 | 165,563 | 0.80 | ||||||||||
Seagate Technology PLC | Information Technology | 2,888 | 163,074 | 0.79 | ||||||||||
Lam Research Corp | Information Technology | 943 | 162,942 | 0.79 | ||||||||||
Allstate Corp/The | Financials | 1,751 | 159,849 | 0.78 | ||||||||||
Applied Materials Inc | Information Technology | 3,461 | 159,846 | 0.78 | ||||||||||
Anthem Inc | Health Care | 665 | 158,408 | 0.77 | ||||||||||
Centene Corp | Health Care | 1,270 | 156,500 | 0.76 | ||||||||||
Assurant Inc | Financials | 1,505 | 155,754 | 0.76 | ||||||||||
Cardinal Health Inc | Health Care | 3,183 | 155,447 | 0.75 | ||||||||||
McKesson Corp | Health Care | 1,150 | 153,360 | 0.74 | ||||||||||
Lincoln National Corp | Financials | 2,441 | 151,926 | 0.74 | ||||||||||
Mylan NV | Health Care | 4,191 | 151,452 | 0.74 | ||||||||||
Gilead Sciences Inc | Health Care | 1,997 | 141,446 | 0.69 | ||||||||||
Broadcom Inc | Information Technology | 581 | 141,075 | 0.68 | ||||||||||
Aflac Inc | Financials | 3,270 | 140,659 | 0.68 | ||||||||||
Navient Corp | Financials | 10,716 | 139,630 | 0.68 | ||||||||||
NetApp Inc | Information Technology | 1,709 | 134,210 | 0.65 | ||||||||||
Laboratory Corp of America Holdings | Health Care | 725 | 130,129 | 0.63 | ||||||||||
Principal Financial Group Inc | Financials | 2,432 | 128,762 | 0.63 |
PURCHASED & WRITTEN OPTIONS CONTRACTS — At June 30, 2018, the Fund had the following purchased & written options contracts:
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Value | Premiums Paid (Received) by the Fund | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Purchased options contracts: |
| |||||||||||||||||||||||||||||
Puts | ||||||||||||||||||||||||||||||
S&P 500 Index | Morgan Stanley Co., Inc. | 1,950.00 USD | 07/20/2018 | 2 | $ | 543,674 | $ | 90 | $ | 2,009 | $ | (1,919 | ) | |||||||||||||||||
2,000.00 USD | 07/20/2018 | 3 | 815,511 | 105 | 1,307 | (1,202 | ) | |||||||||||||||||||||||
2,100.00 USD | 07/20/2018 | 5 | 1,359,185 | 300 | 3,601 | (3,301 | ) | |||||||||||||||||||||||
2,150.00 USD | 07/20/2018 | 7 | 1,902,859 | 525 | 4,157 | (3,632 | ) | |||||||||||||||||||||||
2,200.00 USD | 07/20/2018 | 10 | 2,718,370 | 750 | 4,797 | (4,047 | ) | |||||||||||||||||||||||
2,250.00 USD | 07/20/2018 | 3 | 815,511 | 315 | 1,312 | (997 | ) | |||||||||||||||||||||||
2,300.00 USD | 07/20/2018 | 1 | 271,837 | 110 | 461 | (351 | ) | |||||||||||||||||||||||
2,050.00 USD | 08/17/2018 | 1 | 271,837 | 179 | 833 | (654 | ) | |||||||||||||||||||||||
2,150.00 USD | 08/17/2018 | 8 | 2,174,696 | 1,960 | 4,396 | (2,436 | ) | |||||||||||||||||||||||
2,200.00 USD | 08/17/2018 | 5 | 1,359,185 | 1,425 | 2,660 | (1,235 | ) | |||||||||||||||||||||||
2,250.00 USD | 08/17/2018 | 7 | 1,902,859 | 2,520 | 4,665 | (2,145 | ) | |||||||||||||||||||||||
2,300.00 USD | 08/17/2018 | 6 | 1,631,022 | 2,640 | 3,904 | (1,264 | ) | |||||||||||||||||||||||
2,350.00 USD | 08/17/2018 | 3 | 815,511 | 1,650 | 1,532 | 118 | ||||||||||||||||||||||||
2,425.00 USD | 08/17/2018 | 1 | 271,837 | 676 | 592 | 84 | ||||||||||||||||||||||||
2,100.00 USD | 09/21/2018 | 3 | 815,511 | 1,410 | 2,002 | (592 | ) | |||||||||||||||||||||||
2,200.00 USD | 09/21/2018 | 6 | 1,631,022 | 3,480 | 5,140 | (1,660 | ) | |||||||||||||||||||||||
2,250.00 USD | 09/21/2018 | 5 | 1,359,185 | 3,600 | 3,294 | 306 | ||||||||||||||||||||||||
2,300.00 USD | 09/21/2018 | 13 | 3,533,881 | 13,000 | 8,837 | 4,163 | ||||||||||||||||||||||||
2,150.00 USD | 10/19/2018 | 2 | 543,674 | 1,620 | 2,138 | (518 | ) | |||||||||||||||||||||||
2,200.00 USD | 10/19/2018 | 1 | 271,837 | 960 | 721 | 239 | ||||||||||||||||||||||||
Total purchased options contracts |
| 92 | $ | 37,315 | $ | 58,358 | $ | (21,043 | ) |
56 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
PURCHASED & WRITTEN OPTIONS CONTRACTS (continued)
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Value | Premiums Paid (Received) by the Fund | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Written options contracts: | ||||||||||||||||||||||||||||||
Calls | ||||||||||||||||||||||||||||||
S&P 500 Index | Morgan Stanley Co., Inc. | 2,675.00 USD | 07/20/2018 | 12 | $ | (3,262,044 | ) | $ | (92,400 | ) | $ | (83,036 | ) | $ | (9,364 | ) | ||||||||||||||
2,700.00 USD | 07/20/2018 | 5 | (1,359,185 | ) | (23,200 | ) | (23,368 | ) | 168 | |||||||||||||||||||||
2,725.00 USD | 07/20/2018 | 7 | (1,902,859 | ) | (21,770 | ) | (36,282 | ) | 14,512 | |||||||||||||||||||||
2,750.00 USD | 07/20/2018 | 6 | (1,631,022 | ) | (10,200 | ) | (26,996 | ) | 16,796 | |||||||||||||||||||||
2,775.00 USD | 07/20/2018 | 1 | (271,837 | ) | (753 | ) | (6,453 | ) | 5,700 | |||||||||||||||||||||
2,700.00 USD | 08/17/2018 | 4 | (1,087,348 | ) | (25,200 | ) | (21,430 | ) | (3,770 | ) | ||||||||||||||||||||
2,725.00 USD | 08/17/2018 | 10 | (2,718,370 | ) | (46,500 | ) | (60,180 | ) | 13,680 | |||||||||||||||||||||
2,750.00 USD | 08/17/2018 | 7 | (1,902,859 | ) | (22,260 | ) | (34,522 | ) | 12,262 | |||||||||||||||||||||
2,775.00 USD | 08/17/2018 | 9 | (2,446,533 | ) | (18,180 | ) | (34,548 | ) | 16,368 | |||||||||||||||||||||
2,825.00 USD | 08/17/2018 | 1 | (271,837 | ) | (630 | ) | (2,695 | ) | 2,065 | |||||||||||||||||||||
2,750.00 USD | 09/21/2018 | 3 | (815,511 | ) | (17,070 | ) | (17,768 | ) | 698 | |||||||||||||||||||||
2,775.00 USD | 09/21/2018 | 6 | (1,631,022 | ) | (22,800 | ) | (22,934 | ) | 134 | |||||||||||||||||||||
2,800.00 USD | 09/21/2018 | 11 | (2,990,207 | ) | (29,238 | ) | (53,080 | ) | 23,842 | |||||||||||||||||||||
2,825.00 USD | 09/21/2018 | 7 | (1,902,859 | ) | (15,400 | ) | (31,741 | ) | 16,341 | |||||||||||||||||||||
2,775.00 USD | 10/19/2018 | 2 | (543,674 | ) | (10,560 | ) | (9,870 | ) | (690 | ) | ||||||||||||||||||||
2,825.00 USD | 10/19/2018 | 1 | (271,837 | ) | (2,970 | ) | (4,849 | ) | 1,879 | |||||||||||||||||||||
Total calls | 92 | $ | (359,131 | ) | $ | (469,752 | ) | $ | 110,621 | |||||||||||||||||||||
Puts | ||||||||||||||||||||||||||||||
S&P 500 Index | Morgan Stanley Co., Inc. | 2,550.00 USD | 07/20/2018 | 2 | (543,674 | ) | (1,110 | ) | (17,127 | ) | 16,017 | |||||||||||||||||||
2,575.00 USD | 07/20/2018 | 3 | (815,511 | ) | (1,710 | ) | (17,068 | ) | 15,358 | |||||||||||||||||||||
2,600.00 USD | 07/20/2018 | 11 | (2,990,207 | ) | (8,910 | ) | (64,801 | ) | 55,891 | |||||||||||||||||||||
2,625.00 USD | 07/20/2018 | 5 | (1,359,185 | ) | (5,500 | ) | (24,216 | ) | 18,716 | |||||||||||||||||||||
2,650.00 USD | 07/20/2018 | 3 | (815,511 | ) | (4,350 | ) | (11,528 | ) | 7,178 | |||||||||||||||||||||
2,675.00 USD | 07/20/2018 | 7 | (1,902,859 | ) | (12,950 | ) | (39,286 | ) | 26,336 | |||||||||||||||||||||
2,600.00 USD | 08/17/2018 | 1 | (271,837 | ) | (2,075 | ) | (7,640 | ) | 5,565 | |||||||||||||||||||||
2,625.00 USD | 08/17/2018 | 8 | (2,174,696 | ) | (19,600 | ) | (48,371 | ) | 28,771 | |||||||||||||||||||||
2,650.00 USD | 08/17/2018 | 5 | (1,359,185 | ) | (14,750 | ) | (19,160 | ) | 4,410 | |||||||||||||||||||||
2,675.00 USD | 08/17/2018 | 7 | (1,902,859 | ) | (23,485 | ) | (31,917 | ) | 8,432 | |||||||||||||||||||||
2,700.00 USD | 08/17/2018 | 6 | (1,631,022 | ) | (24,912 | ) | (30,246 | ) | 5,334 | |||||||||||||||||||||
2,725.00 USD | 08/17/2018 | 3 | (815,511 | ) | (15,000 | ) | (10,993 | ) | (4,007 | ) | ||||||||||||||||||||
2,750.00 USD | 08/17/2018 | 1 | (271,837 | ) | (5,669 | ) | (3,589 | ) | (2,080 | ) | ||||||||||||||||||||
2,650.00 USD | 09/21/2018 | 3 | (815,511 | ) | (14,100 | ) | (16,438 | ) | 2,338 | |||||||||||||||||||||
2,675.00 USD | 09/21/2018 | 6 | (1,631,022 | ) | (30,222 | ) | (37,594 | ) | 7,372 | |||||||||||||||||||||
2,725.00 USD | 09/21/2018 | 11 | (2,990,207 | ) | (75,020 | ) | (53,906 | ) | (21,114 | ) | ||||||||||||||||||||
2,750.00 USD | 09/21/2018 | 7 | (1,902,859 | ) | (54,460 | ) | (35,728 | ) | (18,732 | ) | ||||||||||||||||||||
2,675.00 USD | 10/19/2018 | 2 | (543,674 | ) | (12,200 | ) | (15,432 | ) | 3,232 | |||||||||||||||||||||
2,725.00 USD | 10/19/2018 | 1 | (271,837 | ) | (7,835 | ) | (5,969 | ) | (1,866 | ) | ||||||||||||||||||||
Total puts | 92 | $ | (333,858 | ) | $ | (491,009 | ) | $ | 157,151 | |||||||||||||||||||||
Total written options contracts | 184 | $ | (692,989 | ) | $ | (960,761 | ) | $ | 267,772 |
The accompanying notes are an integral part of these financial statements. | 57 |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Schedule of Investments
June 30, 2018 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Mortgage-Backed Securities – 2.9% | ||||||||||||||
FHLMC – 1.5% | ||||||||||||||
$ | 41 | 5.000 | % | 07/01/2018 | $ | 41 | ||||||||
43 | 5.000 | 08/01/2018 | 43 | |||||||||||
121 | 5.000 | 10/01/2018 | 121 | |||||||||||
199 | 5.000 | 11/01/2018 | 200 | |||||||||||
109 | 5.000 | 02/01/2019 | 110 | |||||||||||
17,753 | 5.500 | 01/01/2020 | 17,964 | |||||||||||
46,297 | 5.000 | 11/01/2025 | 48,880 | |||||||||||
76,297 | 5.000 | 08/01/2028 | 80,552 | |||||||||||
14,932 | 5.000 | 01/01/2033 | 15,826 | |||||||||||
1,240 | 5.000 | 03/01/2033 | 1,322 | |||||||||||
6,881 | 5.000 | 04/01/2033 | 7,337 | |||||||||||
1,073 | 5.000 | 05/01/2033 | 1,144 | |||||||||||
4,003 | 5.000 | 06/01/2033 | 4,268 | |||||||||||
24,965 | 5.000 | 07/01/2033 | 26,620 | |||||||||||
34,341 | 5.000 | 08/01/2033 | 36,616 | |||||||||||
3,015 | 5.000 | 09/01/2033 | 3,215 | |||||||||||
7,623 | 5.000 | 10/01/2033 | 8,129 | |||||||||||
15,323 | 5.000 | 11/01/2033 | 16,340 | |||||||||||
8,806 | 5.000 | 12/01/2033 | 9,390 | |||||||||||
8,299 | 5.000 | 01/01/2034 | 8,850 | |||||||||||
24,872 | 5.000 | 02/01/2034 | 26,521 | |||||||||||
10,245 | 5.000 | 03/01/2034 | 10,925 | |||||||||||
16,489 | 5.000 | 04/01/2034 | 17,583 | |||||||||||
27,687 | 5.000 | 05/01/2034 | 29,524 | |||||||||||
384,089 | 5.000 | 06/01/2034 | 409,567 | |||||||||||
4,732 | 5.000 | 11/01/2034 | 5,046 | |||||||||||
102,122 | 5.000 | 04/01/2035 | 108,896 | |||||||||||
1,747,487 | 5.000 | 07/01/2035 | 1,863,502 | |||||||||||
11,465 | 5.000 | 11/01/2035 | 12,226 | |||||||||||
84,477 | 5.000 | 03/01/2036 | 90,193 | |||||||||||
26,670 | 5.000 | 03/01/2037 | 28,447 | |||||||||||
83,714 | 5.000 | 12/01/2037 | 89,304 | |||||||||||
142,187 | 5.000 | 02/01/2038 | 151,630 | |||||||||||
378,923 | 5.000 | 03/01/2038 | 404,665 | |||||||||||
187,625 | 5.000 | 07/01/2038 | 200,371 | |||||||||||
165,704 | 5.000 | 11/01/2038 | 176,962 | |||||||||||
414,398 | 5.000 | 12/01/2038 | 442,042 | |||||||||||
230,130 | 5.000 | 01/01/2039 | 245,764 | |||||||||||
54,203 | 5.000 | 02/01/2039 | 57,885 | |||||||||||
1,308,425 | 7.000 | 02/01/2039 | 1,495,480 | |||||||||||
382,648 | 5.000 | 06/01/2041 | 408,367 | |||||||||||
|
| |||||||||||||
6,561,868 | ||||||||||||||
|
| |||||||||||||
FNMA – 1.4% | ||||||||||||||
18 | 5.500 | 01/01/2019 | 18 | |||||||||||
2,048 | 5.500 | 02/01/2019 | 2,055 | |||||||||||
2,395 | 5.500 | 03/01/2019 | 2,406 | |||||||||||
1,546 | 5.500 | 04/01/2019 | 1,555 | |||||||||||
1,514 | 5.500 | 05/01/2019 | 1,525 | |||||||||||
6,729 | 5.500 | 06/01/2019 | 6,770 | |||||||||||
23,769 | 5.500 | 07/01/2019 | 23,927 | |||||||||||
24,983 | 5.500 | 08/01/2019 | 25,141 | |||||||||||
22,049 | 5.500 | 09/01/2019 | 22,285 | |||||||||||
5,809 | 5.500 | 10/01/2019 | 5,870 | |||||||||||
8,511 | 5.500 | 11/01/2019 | 8,599 | |||||||||||
12,674 | 5.500 | 12/01/2019 | 12,816 | |||||||||||
|
| |||||||||||||
Mortgage-Backed Securities – (continued) | ||||||||||||||
FNMA – (continued) | ||||||||||||||
1,101 | 5.500 | 01/01/2020 | 1,112 | |||||||||||
233 | 5.500 | 06/01/2020 | 234 | |||||||||||
136,227 | 5.500 | 07/01/2020 | 137,882 | |||||||||||
5,758 | 6.000 | 03/01/2034 | 6,369 | |||||||||||
21,242 | 6.000 | 08/01/2034 | 23,544 | |||||||||||
114,905 | 6.000 | 08/01/2035 | 127,553 | |||||||||||
111,208 | 6.000 | 09/01/2035 | 123,688 | |||||||||||
26,518 | 6.000 | 10/01/2035 | 29,485 | |||||||||||
197,730 | 6.000 | 11/01/2035 | 219,863 | |||||||||||
594,721 | 6.000 | 03/01/2036 | 658,956 | |||||||||||
5,488 | 6.000 | 06/01/2036 | 6,076 | |||||||||||
1,016,662 | 6.000 | 09/01/2036 | 1,114,437 | |||||||||||
219,623 | 6.000 | 12/01/2036 | 243,796 | |||||||||||
16,673 | 6.000 | 02/01/2037 | 18,470 | |||||||||||
2,140 | 6.000 | 04/01/2037 | 2,362 | |||||||||||
4,046 | 6.000 | 05/01/2037 | 4,486 | |||||||||||
94,298 | 6.000 | 06/01/2037 | 104,741 | |||||||||||
75,533 | 6.000 | 07/01/2037 | 83,897 | |||||||||||
236,236 | 6.000 | 08/01/2037 | 260,625 | |||||||||||
68,376 | 6.000 | 09/01/2037 | 75,641 | |||||||||||
14,034 | 6.000 | 10/01/2037 | 15,520 | |||||||||||
84,142 | 5.000 | 11/01/2037 | 90,063 | |||||||||||
32,899 | 6.000 | 11/01/2037 | 36,633 | |||||||||||
2,696 | 6.000 | 12/01/2037 | 3,001 | |||||||||||
311,670 | 6.000 | 01/01/2038 | 344,622 | |||||||||||
50,221 | 6.000 | 03/01/2038 | 55,887 | |||||||||||
6,203 | 6.000 | 04/01/2038 | 6,880 | |||||||||||
17,726 | 6.000 | 05/01/2038 | 19,628 | |||||||||||
1,369 | 6.000 | 09/01/2038 | 1,518 | |||||||||||
79,805 | 6.000 | 10/01/2038 | 88,576 | |||||||||||
3,177 | 6.000 | 12/01/2038 | 3,492 | |||||||||||
2,761 | 6.000 | 01/01/2039 | 3,055 | |||||||||||
744,059 | 7.000 | 03/01/2039 | 842,780 | |||||||||||
10,982 | 4.000 | 08/01/2039 | 11,257 | |||||||||||
27,527 | 4.500 | 02/01/2040 | 28,683 | |||||||||||
3,336 | 6.000 | 04/01/2040 | 3,690 | |||||||||||
141,621 | 6.000 | 06/01/2040 | 156,675 | |||||||||||
322,221 | 6.000 | 05/01/2041 | 357,284 | |||||||||||
256,156 | 5.000 | 07/01/2041 | 274,267 | |||||||||||
133,456 | 4.500 | 08/01/2041 | 140,306 | |||||||||||
|
| |||||||||||||
5,840,001 | ||||||||||||||
|
| |||||||||||||
| TOTAL MORTGAGE-BACKED SECURITIES (Cost $12,474,569) | $ | 12,401,869 | |||||||||||
|
| |||||||||||||
Collateralized Mortgage Obligations – 6.7% | ||||||||||||||
Agency Multi-Family(a) – 5.2% | ||||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates | |||||||||||||
$ | 5,500,000 | 4.084 | % | 11/25/2020 | $ | 5,629,201 | ||||||||
| FHLMC Multifamily Structured Pass-Through Certificates | |||||||||||||
16,400,000 | 3.034 | 10/25/2020 | 16,399,185 | |||||||||||
|
| |||||||||||||
22,028,386 | ||||||||||||||
|
|
58 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Collateralized Mortgage Obligations – (continued) | ||||||||||||||
Regular Floater(a) – 0.5% | ||||||||||||||
FHLMC REMIC Series 3371, Class FA(b) | ||||||||||||||
$ | 202,023 | 2.673 | % | 09/15/2037 | $ | 204,283 | ||||||||
NCUA Guaranteed Notes Trust Series 2010-R1, Class 1A(b) | ||||||||||||||
296,093 | 2.475 | 10/07/2020 | 296,821 | |||||||||||
NCUA Guaranteed Notes Trust Series 2011-R2, Class 1A | ||||||||||||||
998,013 | 2.413 | 02/06/2020 | 998,949 | |||||||||||
NCUA Guaranteed Notes Trust Series 2011-R3, Class 1A | ||||||||||||||
572,719 | 2.413 | 03/11/2020 | 573,233 | |||||||||||
|
| |||||||||||||
2,073,286 | ||||||||||||||
|
| |||||||||||||
Sequential Fixed Rate – 1.0% | ||||||||||||||
FHLMC REMIC Series 2755, Class ZA(b) | ||||||||||||||
$ | 478,047 | 5.000 | % | 02/15/2034 | $ | 508,946 | ||||||||
FHLMC REMIC Series 4273, Class PD(b) | ||||||||||||||
1,299,913 | 6.500 | 11/15/2043 | 1,467,469 | |||||||||||
FNMA REMIC Series 2012-111, Class B | ||||||||||||||
393,736 | 7.000 | 10/25/2042 | 444,006 | |||||||||||
FNMA REMIC Series 2012-153, Class B | ||||||||||||||
1,375,157 | 7.000 | 07/25/2042 | 1,556,758 | |||||||||||
|
| |||||||||||||
3,977,179 | ||||||||||||||
|
| |||||||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | | ||||||||||||
(Cost $29,060,312) | $ | 28,078,851 | ||||||||||||
|
| |||||||||||||
Asset-Backed Securities(a)(b) – 0.1% | ||||||||||||||
Home Equity – 0.1% | ||||||||||||||
GMACM Home Equity Loan Trust Series 2007-HE3, Class 1A1 | ||||||||||||||
$ | 17,746 | 6.951 | % | 09/25/2037 | $ | 17,906 | ||||||||
GMACM Home Equity Loan Trust Series 2007-HE3, Class 2A1 | ||||||||||||||
75,180 | 6.804 | 09/25/2037 | 76,804 | |||||||||||
NCUA Guaranteed Notes Trust Series 2010-A1, Class A | ||||||||||||||
231,436 | 2.380 | 12/07/2020 | 231,726 | |||||||||||
|
| |||||||||||||
326,436 | ||||||||||||||
|
| |||||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||||
(Cost $324,536) | $ | 326,436 | ||||||||||||
|
| |||||||||||||
U.S. Treasury Obligations – 8.3% | ||||||||||||||
U.S. Treasury Bonds | ||||||||||||||
$ | 1,100,000 | 2.750 | % | 11/15/2042 | $ | 1,057,221 | ||||||||
2,000,000 | 3.625 | 02/15/2044 | 2,230,020 | |||||||||||
7,700,000 | 3.000 | (c) | 11/15/2044 | 7,727,565 | ||||||||||
4,780,000 | 3.000 | 05/15/2047 | 4,794,436 | |||||||||||
U.S. Treasury Notes | ||||||||||||||
6,620,000 | 1.125 | 07/31/2021 | 6,326,470 | |||||||||||
4,610,000 | 1.875 | 01/31/2022 | 4,485,161 | |||||||||||
7,070,000 | 2.125 | 07/31/2024 | 6,806,572 | |||||||||||
920,000 | 2.875 | 04/30/2025 | 923,735 | |||||||||||
410,000 | 2.250 | 02/15/2027 | 391,374 | |||||||||||
|
| |||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||
(Cost $35,344,770) | $ | 34,742,554 | ||||||||||||
|
| |||||||||||||
Shares | Distribution Rate | Value | ||||||||||||
Exchange Traded Fund(d) – 17.8% | ||||||||||||||
750,000 | Goldman Sachs Treasury Access 0-1 Year ETF | $ | 75,104,625 | |||||||||||
(Cost $75,030,000) | 0.141% | |||||||||||||
|
|
Investment Company(d) – 44.6% | ||||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||||
187,852,079 | 1.869 | % | $ | 187,852,079 | ||||||
(Cost $187,852,079) | ||||||||||
|
|
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Short-Term Investments – 6.9% | ||||||||||||||
Certificate of Deposit – 1.5% | ||||||||||||||
Australia & New Zealand Banking Group Ltd. | ||||||||||||||
$ | 1,300,000 | 2.200 | % | 07/09/2018 | $ | 1,300,101 | ||||||||
Mizuho Bank Ltd.(a) (1 Mo. LIBOR + 0.44%), | ||||||||||||||
3,000,000 | 2.479 | 10/05/2018 | 3,001,809 | |||||||||||
Sumitomo Mitsui Trust Bank Ltd.(a) (3 Mo. LIBOR + 0.11%), | ||||||||||||||
2,053,000 | 2.486 | 10/12/2018 | 2,053,397 | |||||||||||
|
| |||||||||||||
6,355,307 | ||||||||||||||
|
| |||||||||||||
Commercial Paper – 5.4% | ||||||||||||||
BPCE SA | ||||||||||||||
3,000,000 | 2.440 | 08/06/2018 | 2,993,565 | |||||||||||
Ciesco LLC | ||||||||||||||
1,901,000 | 2.335 | 07/12/2018 | 1,899,622 | |||||||||||
CRC Funding LLC | ||||||||||||||
1,901,000 | 2.335 | 07/11/2018 | 1,899,747 | |||||||||||
Fairway Finance Co. LLC | ||||||||||||||
3,800,000 | 2.315 | 07/18/2018 | 3,795,923 | |||||||||||
Hewlett Packard Enterprise Co. | ||||||||||||||
1,004,000 | 2.352 | 07/10/2018 | 1,003,405 | |||||||||||
HP, Inc. | ||||||||||||||
803,000 | 2.404 | 07/23/2018 | 801,943 | |||||||||||
Kellogg Co.(e) | ||||||||||||||
2,000,000 | 0.000 | 07/16/2018 | 1,997,829 | |||||||||||
Old Line Funding LLC | ||||||||||||||
3,803,000 | 2.314 | 07/16/2018 | 3,799,349 | |||||||||||
Thunder Bay Funding LLC | ||||||||||||||
2,100,000 | 2.326 | 07/27/2018 | 2,096,630 | |||||||||||
VW Credit, Inc. | ||||||||||||||
2,400,000 | 2.637 | 09/20/2018 | 2,386,017 | |||||||||||
|
| |||||||||||||
22,674,030 | ||||||||||||||
|
| |||||||||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||||||||
(Cost $29,026,265) | $ | 29,029,337 | ||||||||||||
|
| |||||||||||||
TOTAL INVESTMENTS – 87.3% | ||||||||||||||
(Cost $369,112,531) | $ | 367,535,751 | ||||||||||||
|
| |||||||||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 12.7% | | 53,590,766 | |||||||||||
|
| |||||||||||||
NET ASSETS – 100.0% | $ | 421,126,517 | ||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 59 |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Schedule of Investments (continued)
June 30, 2018 (Unaudited)
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
(a) | Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed is that which is in effect on June 30, 2018. | |
(b) | Securities with “Call” features. Maturity dates disclosed are the final maturity dates. | |
(c) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
(d) | Represents an Affiliated Issuer. | |
(e) | Issued with a zero coupon. Income is recognized through the accretion of discount. |
| ||
Investment Abbreviations: | ||
FHLMC | — Federal Home Loan Mortgage Corp. | |
FNMA | — Federal National Mortgage Association | |
LIBOR | — London Interbank Offered Rate | |
Mo. | — Month | |
REMIC | — Real Estate Mortgage Investment Conduit | |
Currency Abbreviation: | ||
USD | — United States Dollar | |
|
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At June 30, 2018, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||
Long position contracts: |
| |||||||||||||
U.S. Treasury Long Bond | 48 | 09/19/2018 | $ | 6,960,000 | $ | 133,458 | ||||||||
Short position contracts: | ||||||||||||||
3 Month Eurodollar | (3 | ) | 12/17/2018 | (730,200 | ) | 5,169 | ||||||||
3 Month Eurodollar | (13 | ) | 06/17/2019 | (3,157,212 | ) | 27,766 | ||||||||
3 Month Eurodollar | (83 | ) | 12/14/2020 | (20,131,650 | ) | 5,165 | ||||||||
U.S. Treasury 2 Year Note | (72 | ) | 09/28/2018 | (15,251,625 | ) | 2,773 | ||||||||
U.S. Treasury 5 Year Note | (285 | ) | 09/28/2018 | (32,380,898 | ) | (121,485 | ) | |||||||
U.S. Treasury 10 Year Note | (45 | ) | 09/19/2018 | (5,408,438 | ) | (34,383 | ) | |||||||
U.S. Treasury Ultra Bond | (131 | ) | 09/19/2018 | (20,902,688 | ) | (372,758 | ) | |||||||
Total | $ | (487,753 | ) | |||||||||||
Total Futures Contracts | $ | (354,295 | ) |
SWAP CONTRACTS — At June 30, 2018, the Fund had the following swap contracts:
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
Payments Made by the Fund | Payments Received by the Fund | Termination Date | Notional Amount (000’s) | Value | Upfront Paid | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
3 Month LIBOR (a) | 2.139% | 11/20/2020 | USD | 32,580 | (b) | $ | (479,591 | ) | $ | (55,245 | ) | $ | (424,346 | ) | ||||||||||||
2.275% (c) | 3 Month LIBOR | 11/20/2023 | 13,830 | (b) | 416,898 | 28,273 | 388,625 | |||||||||||||||||||
2.882(c) | 3 Month LIBOR | 02/28/2025 | 7,340 | 4,027 | 55,778 | (51,751 | ) | |||||||||||||||||||
TOTAL | $ | (58,666 | ) | $ | 28,806 | $ | (87,472 | ) |
(a) | Payments made quarterly. |
(b) | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to June 30, 2018. |
(c) | Payments made semi-annually. |
60 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS COMMODITY STRATEGY FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS
Referenced Obligation/Index*(a) | Financing Rate Received (Paid) by the Fund (%) | Counterparty | Termination Date | Notional Amount (000’s) | Unrealized (Depreciation)(b) | |||||||||||||
Macquarie Commodity Product 264E Index | 0.000% | Macquarie Bank Ltd. | 08/15/2018 | USD 135,649 | $ | — | ||||||||||||
BAML Commodity Excess Return Strategy Index | 0.000 | Merrill Lynch International | 11/26/2018 | 157,444 | — | |||||||||||||
S&P GSCI Energy 1 Month Forward Index | 0.000 | Societe Generale SA | 12/14/2018 | 95,748 | — | |||||||||||||
S&P GSCI Energy 1 Month Forward Index | 0.000 | UBS AG | 02/22/2019 | 24,939 | — | |||||||||||||
TOTAL | $ | — |
* | The components of the basket are shown below. |
(a) | Payments received monthly. |
(b) | There are no upfront payments on the swap contracts listed above; therefore the unrealized gains (losses) on the swap contracts are equal to their value. |
A basket (Macquarie Commodity Product 264E Index) of commodities
Description | Sector | Number of Contracts | Value | Weight | ||||||||||
WTI | Energy | 544,353 | $ | 37,827,099 | 27.89 | % | ||||||||
Brent | Energy | 344,370 | 27,157,050 | 20.02 | ||||||||||
Gas oil | Energy | 10,817 | 7,341,843 | 5.41 | ||||||||||
Gasoline RBOB | Energy | 31,850 | 6,790,792 | 5.01 | ||||||||||
Heating Oil | Energy | 26,719 | 5,921,507 | 4.37 | ||||||||||
Corn | Grains | 15,725 | 5,653,310 | 4.17 | ||||||||||
Copper | Metals | 807 | 5,349,304 | 3.94 | ||||||||||
Gold | Precious | 3,657 | 4,631,136 | 3.41 | ||||||||||
Aluminum | Metals | 2,141 | 4,564,114 | 3.36 | ||||||||||
Live Cattle | Meats | 40,158 | 4,418,386 | 3.26 | ||||||||||
Wheat | Grains | 8,491 | 4,256,220 | 3.14 | ||||||||||
Natural Gas | Energy | 1,351,347 | 3,920,257 | 2.89 | ||||||||||
Soybeans | Grains | 4,219 | 3,712,704 | 2.74 | ||||||||||
Cotton | Textiles | 26,043 | 2,185,532 | 1.61 | ||||||||||
Lean Hogs | Meats | 32,158 | 1,922,225 | 1.42 | ||||||||||
Sugar | Softs | 137,391 | 1,683,041 | 1.24 | ||||||||||
Feeder Cattle | Meats | 10,433 | 1,574,842 | 1.16 | ||||||||||
Kansas Wheat | Grains | 3,193 | 1,559,617 | 1.15 | ||||||||||
Zinc | Metals | 484 | 1,382,481 | 1.02 | ||||||||||
Nickel | Metals | 69 | 1,033,320 | 0.76 | ||||||||||
Lead | Metals | 386 | 931,137 | 0.69 | ||||||||||
Coffee | Softs | 7,762 | 893,431 | 0.66 | ||||||||||
Silver | Precious | 31,934 | 517,265 | 0.38 | ||||||||||
Cocoa | Softs | 168 | 422,387 | 0.31 |
A basket (BAML Commodity Excess Return Strategy Index) of commodities
Description | Sector | Number of Contracts | Value | Weight | ||||||||||
WTI | Energy | 1,000 | $ | 68,790 | 27.67 | % | ||||||||
Brent | Energy | 1,000 | 77,610 | 20.43 | ||||||||||
Gasoil | Energy | 100 | 66,625 | 5.36 | ||||||||||
Gasoline RBOB | Energy | 42,000 | 88,431 | 4.96 | ||||||||||
Heating Oil | Energy | 42,000 | 91,518 | 4.31 | ||||||||||
Copper | Metals | 25 | 165,738 | 4.08 | ||||||||||
Corn | Grains | 5,000 | 17,713 | 3.97 | ||||||||||
Gold | Precious | 100 | 125,100 | 3.38 | ||||||||||
Aluminum | Metals | 25 | 53,744 | 3.33 | ||||||||||
Live Cattle | Meats | 40,000 | 41,490 | 3.08 | ||||||||||
Natural Gas | Energy | 10,000 | 29,400 | 2.94 | ||||||||||
Wheat | Grains | 5,000 | 24,175 | 2.80 | ||||||||||
Soybeans | Grains | 5,000 | 44,175 | 2.63 | ||||||||||
Lean Hogs | Meats | 40,000 | 30,290 | 2.06 | ||||||||||
Cotton | Textiles | 50,000 | 41,775 | 1.47 | ||||||||||
Sugar | Softs | 112,000 | 13,720 | 1.37 | ||||||||||
Feeder Cattle | Meats | 50,000 | 73,413 | 1.13 | ||||||||||
Zinc | Metals | 25 | 72,625 | 1.11 | ||||||||||
Kansas Wheat | Grains | 5,000 | 23,600 | 1.00 | ||||||||||
Nickel | Metals | 6 | 88,512 | 0.80 | ||||||||||
Lead | Metals | 25 | 59,956 | 0.75 | ||||||||||
Coffee | Softs | 37,500 | 43,406 | 0.66 | ||||||||||
Silver | Precious | 5,000 | 80,205 | 0.39 | ||||||||||
Cocoa | Softs | 10 | 24,510 | 0.34 |
The accompanying notes are an integral part of these financial statements. | 61 |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Consolidated Schedule of Investments
June 30, 2018 (Unaudited)
Shares | Distribution Rate | Value | ||||||||
Investment Companies(a) – 74.7% | ||||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||||
202,210,129 | 1.869 | % | $ | 202,210,129 | ||||||
|
| |||||||||
TOTAL INVESTMENTS – 74.7% | ||||||||||
(Cost $202,210,129) | $ | 202,210,129 | ||||||||
|
| |||||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 25.3% |
| 68,648,306 | |||||||
|
| |||||||||
NET ASSETS – 100.0% | $ | 270,858,435 | ||||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
(a) | Represents an Affiliated Issuer. |
| ||
Investment Abbreviations: | ||
BA | — Banker Acceptance Rate | |
BBR | — Bank Bill Reference Rate | |
BUBOR | — Budapest Interbank Offered Rate | |
EURIBOR | — Euro Interbank Offered Rate | |
JIBAR | — Johannesburg Interbank Agreed Rate | |
LIBOR | — London Interbank Offered Rate | |
PRIBOR | — Prague Interbank Offered Rate | |
STIBOR | — Stockholm Interbank Offered Rate | |
TIIE | — Interbank Equilibrium Interest Rate | |
WIBOR | — Warsaw Interbank Offered Rate | |
Currency Abbreviations: | ||
AUD | — Australian Dollar | |
BRL | — Brazilian Real | |
CAD | — Canadian Dollar | |
CHF | — Swiss Franc | |
CLP | — Chilean Peso | |
COP | — Colombian Peso | |
CZK | — Czech Koruna | |
EUR | — Euro | |
GBP | — British Pound | |
HUF | — Hungarian Forint | |
INR | — Indian Rupee | |
JPY | — Japanese Yen | |
KRW | — South Korean Won | |
MXN | — Mexican Peso | |
MYR | — Malaysian Ringgit | |
NOK | — Norwegian Krone | |
NZD | — New Zealand Dollar | |
PLN | — Polish Zloty | |
RUB | — Russian Ruble | |
SEK | — Swedish Krona | |
TRY | — Turkish Lira | |
USD | — United States Dollar | |
ZAR | — South African Rand | |
|
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30, 2018, 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., Inc. | AUD | 3,580,000 | USD | 2,639,064 | $ | 2,650,016 | 09/19/2018 | $ | 10,952 | |||||||||||||||
CAD | 1,740,000 | USD | 1,308,032 | 1,325,339 | 09/19/2018 | 17,307 | ||||||||||||||||||
EUR | 1,257,000 | USD | 1,475,364 | 1,476,768 | 09/19/2018 | 1,404 | ||||||||||||||||||
GBP | 354,283 | USD | 465,721 | 467,564 | 07/02/2018 | 1,843 | ||||||||||||||||||
GBP | 814,000 | USD | 1,076,902 | 1,078,091 | 09/19/2018 | 1,189 | ||||||||||||||||||
MXN | 2,000,000 | USD | 98,018 | 99,452 | 09/19/2018 | 1,434 | ||||||||||||||||||
USD | 17,740,655 | AUD | 23,181,000 | 17,159,225 | 09/19/2018 | 581,430 | ||||||||||||||||||
USD | 8,429,692 | BRL | 30,820,000 | 7,952,009 | 07/03/2018 | 477,683 | ||||||||||||||||||
USD | 7,159,702 | BRL | 27,020,000 | 6,946,015 | 08/02/2018 | 213,687 | ||||||||||||||||||
USD | 13,125,224 | CAD | 16,921,000 | 12,888,538 | 09/19/2018 | 236,686 | ||||||||||||||||||
USD | 2,374,870 | CHF | 2,319,000 | 2,357,898 | 09/19/2018 | 16,972 | ||||||||||||||||||
USD | 5,229,388 | CLP | 3,310,000,000 | 5,065,630 | 09/20/2018 | 163,758 | ||||||||||||||||||
USD | 2,487,738 | COP | 7,304,000,000 | 2,482,797 | 09/19/2018 | 4,941 | ||||||||||||||||||
USD | 5,747,958 | CZK | 124,000,000 | 5,598,184 | 09/19/2018 | 149,774 | ||||||||||||||||||
USD | 23,955,239 | EUR | 20,199,000 | 23,730,492 | 09/19/2018 | 224,747 | ||||||||||||||||||
USD | 16,113,849 | GBP | 11,977,000 | 15,862,780 | 09/19/2018 | 251,069 | ||||||||||||||||||
USD | 10,435,311 | HUF | 2,804,035,000 | 9,990,335 | 09/19/2018 | 444,976 |
62 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)
Counterparty | Currency Purchased | Currency Sold | Current Value | Settlement Date | Unrealized Gain | |||||||||||||||||||
Morgan Stanley Co., Inc. (continued) | USD | 12,461,335 | INR | 846,000,000 | $ | 12,221,948 | 09/19/2018 | $ | 239,387 | |||||||||||||||
USD | 11,383,451 | JPY | 1,246,949,000 | 11,325,530 | 09/19/2018 | 57,921 | ||||||||||||||||||
USD | 12,445,201 | KRW | 13,740,000,000 | 12,368,569 | 09/19/2018 | 76,632 | ||||||||||||||||||
USD | 6,709,461 | NOK | 54,000,000 | 6,651,435 | 09/19/2018 | 58,026 | ||||||||||||||||||
USD | 15,481,474 | NZD | 22,040,000 | 14,928,814 | 09/19/2018 | 552,660 | ||||||||||||||||||
USD | 6,880,224 | PLN | 24,871,000 | 6,648,444 | 09/19/2018 | 231,780 | ||||||||||||||||||
USD | 4,479,113 | RUB | 282,000,000 | 4,453,493 | 09/19/2018 | 25,620 | ||||||||||||||||||
USD | 14,677,246 | SEK | 127,108,600 | 14,278,152 | 09/19/2018 | 399,094 | ||||||||||||||||||
USD | 5,171,961 | TRY | 24,120,000 | 5,075,620 | 09/19/2018 | 96,341 | ||||||||||||||||||
USD | 5,438,158 | ZAR | 73,457,000 | 5,299,873 | 09/19/2018 | 138,285 | ||||||||||||||||||
TOTAL | $ | 4,675,598 |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
Counterparty | Currency Purchased | Currency Sold | Current Value | Settlement Date | Unrealized Loss | |||||||||||||||||||
Morgan Stanley Co., Inc. | AUD | 99,000 | USD | 75,953 | $ | 73,282 | 09/19/2018 | $ | (2,671 | ) | ||||||||||||||
BRL | 30,820,000 | USD | 8,204,464 | 7,952,009 | 07/03/2018 | (252,455 | ) | |||||||||||||||||
CAD | 634,000 | USD | 490,630 | 482,911 | 09/19/2018 | (7,719 | ) | |||||||||||||||||
CHF | 284,000 | USD | 290,887 | 288,764 | 09/19/2018 | (2,123 | ) | |||||||||||||||||
COP | 14,938,000,000 | USD | 5,156,369 | 5,077,770 | 09/19/2018 | (78,599 | ) | |||||||||||||||||
CZK | 6,744,000 | USD | 312,615 | 304,469 | 09/19/2018 | (8,146 | ) | |||||||||||||||||
EUR | 4,705,000 | USD | 5,580,123 | 5,527,599 | 09/19/2018 | (52,524 | ) | |||||||||||||||||
GBP | 5,254,750 | USD | 7,045,866 | 6,959,584 | 09/19/2018 | (86,282 | ) | |||||||||||||||||
HUF | 350,000 | USD | 1,303 | 1,247 | 09/19/2018 | (56 | ) | |||||||||||||||||
JPY | 56,276,000 | USD | 514,834 | 511,132 | 09/19/2018 | (3,702 | ) | |||||||||||||||||
KRW | 14,400,000,000 | USD | 13,459,425 | 12,962,692 | 09/19/2018 | (496,733 | ) | |||||||||||||||||
MYR | 27,360,000 | USD | 6,858,862 | 6,762,435 | 09/19/2018 | (96,427 | ) | |||||||||||||||||
NZD | 1,900,000 | USD | 1,294,925 | 1,286,967 | 09/19/2018 | (7,958 | ) | |||||||||||||||||
PLN | 14,000 | USD | 3,871 | 3,742 | 09/19/2018 | (129 | ) | |||||||||||||||||
SEK | 5,300,000 | USD | 617,710 | 595,351 | 09/19/2018 | (22,359 | ) | |||||||||||||||||
USD | 5,305,730 | CAD | 7,055,000 | 5,373,716 | 09/19/2018 | (67,986 | ) | |||||||||||||||||
USD | 71,091 | CHF | 70,000 | 71,173 | 09/19/2018 | (82 | ) | |||||||||||||||||
USD | 2,178,366 | COP | 6,424,000,000 | 2,183,666 | 09/19/2018 | (5,300 | ) | |||||||||||||||||
USD | 1,365,976 | CZK | 30,425,000 | 1,373,587 | 09/19/2018 | (7,611 | ) | |||||||||||||||||
USD | 1,332,760 | EUR | 1,142,020 | 1,333,651 | 07/02/2018 | (891 | ) | |||||||||||||||||
USD | 1,560,161 | EUR | 1,336,000 | 1,569,579 | 09/19/2018 | (9,418 | ) | |||||||||||||||||
USD | 1,073,291 | GBP | 814,068 | 1,074,366 | 07/02/2018 | (1,075 | ) | |||||||||||||||||
USD | 5,413,142 | GBP | 4,107,000 | 5,439,462 | 09/19/2018 | (26,320 | ) | |||||||||||||||||
USD | 980,194 | INR | 68,000,000 | 982,378 | 09/19/2018 | (2,184 | ) | |||||||||||||||||
USD | 2,761,064 | KRW | 3,080,000,000 | 2,772,576 | 09/19/2018 | (11,512 | ) | |||||||||||||||||
USD | 7,029,002 | MXN | 145,886,000 | 7,254,371 | 09/19/2018 | (225,369 | ) | |||||||||||||||||
USD | 5,620,174 | MYR | 22,860,000 | 5,650,193 | 09/19/2018 | (30,019 | ) | |||||||||||||||||
USD | 3,669,524 | NOK | 29,900,000 | 3,682,925 | 09/19/2018 | (13,401 | ) | |||||||||||||||||
USD | 1,168,757 | PLN | 4,380,000 | 1,170,849 | 09/19/2018 | (2,092 | ) | |||||||||||||||||
USD | 1,001,265 | RUB | 64,500,000 | 1,018,618 | 09/19/2018 | (17,353 | ) | |||||||||||||||||
ZAR | 24,640,000 | USD | 1,883,504 | 1,777,759 | 09/19/2018 | (105,745 | ) | |||||||||||||||||
TOTAL | $ | (1,644,241 | ) |
The accompanying notes are an integral part of these financial statements. | 63 |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Consolidated Schedule of Investments (continued)
June 30, 2018 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS — At June 30, 2018, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
Amsterdam Exchange Index | 82 | 07/20/2018 | $ | 10,564,199 | $ | 38,557 | ||||||||||
Brent Crude Oil | 32 | 07/31/2018 | 2,535,360 | 114,126 | ||||||||||||
CAC 40 10 Euro Index | 159 | 07/20/2018 | 9,879,115 | 31,170 | ||||||||||||
CBOE Volatility Index | 137 | 07/18/2018 | 2,195,425 | 304,953 | ||||||||||||
Cotton No. 2 | 48 | 12/06/2018 | 2,014,080 | (148,936 | ) | |||||||||||
DAX Index | 18 | 09/21/2018 | 6,468,240 | 14,067 | ||||||||||||
DJIA CBOT E-Mini Index | 21 | 09/21/2018 | 2,547,825 | (107,137 | ) | |||||||||||
FTSE 100 Index | 105 | 09/21/2018 | 10,533,683 | 80,792 | ||||||||||||
FTSE/MIB Index | 44 | 09/21/2018 | 5,541,164 | (3,837 | ) | |||||||||||
Hang Seng Index | 28 | 07/30/2018 | 5,125,981 | 24,572 | ||||||||||||
HSCEI | 5 | 07/30/2018 | 346,341 | (1,856 | ) | |||||||||||
IBEX 35 Index | 42 | 07/20/2018 | 4,709,452 | (1,504 | ) | |||||||||||
KC HRW Wheat | 9 | 09/14/2018 | 219,825 | (38,279 | ) | |||||||||||
LME Aluminum Base Metal | 46 | 07/16/2018 | 2,488,600 | (246,459 | ) | |||||||||||
LME Aluminum Base Metal | 52 | 08/13/2018 | 2,765,100 | (215,360 | ) | |||||||||||
LME Copper Base Metal | 22 | 07/16/2018 | 3,650,900 | (174,377 | ) | |||||||||||
LME Copper Base Metal | 21 | 08/13/2018 | 3,480,750 | (326,362 | ) | |||||||||||
LME Lead Base Metal | 55 | 07/16/2018 | 3,316,156 | (77,086 | ) | |||||||||||
LME Lead Base Metal | 52 | 08/13/2018 | 3,133,975 | (122,135 | ) | |||||||||||
LME Nickel Base Metal | 26 | 07/16/2018 | 2,314,338 | 141,041 | ||||||||||||
LME Nickel Base Metal | 27 | 08/13/2018 | 2,408,211 | (129,007 | ) | |||||||||||
LME Zinc Base Metal | 17 | 07/16/2018 | 1,228,888 | (123,565 | ) | |||||||||||
Low Sulphur Gasoil | 39 | 08/10/2018 | 2,639,325 | 71,397 | ||||||||||||
MSCI Taiwan Index | 157 | 07/30/2018 | 6,085,320 | 56,935 | ||||||||||||
NASDAQ 100 Emini Index | 24 | 09/21/2018 | 3,392,040 | (56,611 | ) | |||||||||||
Nikkei 225 Index | 18 | 09/13/2018 | 3,623,899 | 11,353 | ||||||||||||
NY Harbor ULSD | 29 | 07/31/2018 | 2,691,415 | 78,041 | ||||||||||||
OMXS30 Index | 463 | 07/20/2018 | 8,069,255 | 42,962 | ||||||||||||
RBOB Gasoline | 19 | 07/31/2018 | 1,716,658 | 60,763 | ||||||||||||
Russell 2000 E-Mini Index | 45 | 09/21/2018 | 3,706,875 | (55,294 | ) | |||||||||||
S&P 500 E-Mini Index | 126 | 09/21/2018 | 17,146,080 | (153,257 | ) | |||||||||||
S&P/TSX 60 Index | 33 | 09/20/2018 | 4,836,101 | 53,370 | ||||||||||||
SPI 200 Index | 91 | 09/20/2018 | 10,350,857 | 87,026 | ||||||||||||
TOPIX Index | 51 | 09/13/2018 | 7,971,413 | (59,250 | ) | |||||||||||
Wheat | 20 | 09/14/2018 | 501,250 | (37,988 | ) | |||||||||||
WTI Crude Oil | 31 | 07/20/2018 | 2,298,650 | 190,424 | ||||||||||||
Total | $ | (676,751 | ) | |||||||||||||
Short position contracts: | ||||||||||||||||
100 oz Gold | (69 | ) | 08/29/2018 | $ | (8,656,050 | ) | $ | 197,472 | ||||||||
BIST 30 Index | (2,669 | ) | 08/31/2018 | (7,040,197 | ) | (107,374 | ) | |||||||||
Coffee ‘C’ | (45 | ) | 09/18/2018 | (1,942,312 | ) | 78,383 | ||||||||||
Corn | (139 | ) | 09/14/2018 | (2,498,525 | ) | 39,666 | ||||||||||
EURO STOXX 50 Index | (186 | ) | 09/21/2018 | (7,365,618 | ) | (12,505 | ) | |||||||||
Feeder Cattle | (18 | ) | 08/30/2018 | (1,361,925 | ) | (63,147 | ) | |||||||||
FTSE/JSE Top 40 Index | (231 | ) | 09/20/2018 | (8,703,821 | ) | (116,448 | ) | |||||||||
KOSPI 200 Index | (58 | ) | 09/13/2018 | (3,903,096 | ) | 24,031 | ||||||||||
Lean Hogs | (32 | ) | 08/14/2018 | (978,560 | ) | (19,447 | ) | |||||||||
Live Cattle | (28 | ) | 08/31/2018 | (1,195,320 | ) | (22,889 | ) | |||||||||
LME Aluminum Base Metal | (46 | ) | 07/16/2018 | (2,488,600 | ) | 191,666 | ||||||||||
LME Aluminum Base Metal | (20 | ) | 08/13/2018 | (1,063,500 | ) | 6,953 | ||||||||||
LME Copper Base Metal | (22 | ) | 07/16/2018 | (3,650,900 | ) | 296,123 | ||||||||||
LME Copper Base Metal | (14 | ) | 08/13/2018 | (2,320,500 | ) | 23,967 | ||||||||||
LME Lead Base Metal | (55 | ) | 07/16/2018 | (3,316,156 | ) | 1,739 | ||||||||||
LME Nickel Base Metal | (26 | ) | 07/16/2018 | (2,314,338 | ) | 121,961 |
64 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS (continued)
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Short position contracts: (continued) | ||||||||||||||||
LME Nickel Base Metal | (2 | ) | 08/13/2018 | $ | (178,386 | ) | $ | (3,491 | ) | |||||||
LME Zinc Base Metal | (17 | ) | 07/16/2018 | (1,228,887 | ) | 70,510 | ||||||||||
LME Zinc Base Metal | (21 | ) | 08/13/2018 | (1,502,812 | ) | 129,569 | ||||||||||
Natural Gas | (19 | ) | 07/27/2018 | (555,560 | ) | 8,688 | ||||||||||
SET50 Index | (318 | ) | 09/27/2018 | (2,007,633 | ) | 6,949 | ||||||||||
Silver | (66 | ) | 09/26/2018 | (5,345,340 | ) | 113,883 | ||||||||||
Soybean | (55 | ) | 11/14/2018 | (2,420,000 | ) | 188,269 | ||||||||||
Sugar No. 11 | (145 | ) | 09/28/2018 | (1,989,400 | ) | 2,836 | ||||||||||
VSTOXX | (1,843 | ) | 07/18/2018 | (3,518,938 | ) | (236,009 | ) | |||||||||
Total | $ | 921,355 | ||||||||||||||
Total Futures Contracts | $ | 244,604 |
SWAP CONTRACTS — At June 30, 2018, the Fund had the following swap contracts:
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
Payments Made by the Fund | Payments Received by the Fund | Termination Date | Notional Amount (000’s)(a) | Value | Upfront Paid | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
2.000%(b) | 3 Month BBR | 09/19/2019 | AUD | 517,210 | $ | 90,423 | $ | 62,839 | $ | 27,584 | ||||||||||||
3 Month BA(c) | 2.250% | 09/19/2019 | CAD | 150,230 | 79,088 | 179,416 | (100,328 | ) | ||||||||||||||
6 Month LIBOR(c) | 0.000 | 09/19/2019 | CHF | 381,450 | 2,416,135 | (136,664 | ) | 2,552,799 | ||||||||||||||
6 Month EURIBOR(c) | 0.000 | 09/19/2019 | EUR | 953,640 | 2,669,975 | 2,270,830 | 399,145 | |||||||||||||||
6 Month LIBOR(c) | 1.000 | 09/19/2019 | GBP | 843,340 | 434,056 | 752,359 | (318,303 | ) | ||||||||||||||
3 Month STIBOR(b) | 0.000 | 09/19/2019 | SEK | 6,724,330 | 2,107,836 | (9,273 | ) | 2,117,109 | ||||||||||||||
2.750(c) | 3 Month LIBOR | 09/19/2019 | USD | 1,730,590 | (505,853 | ) | (118,462 | ) | (387,391 | ) | ||||||||||||
0.000(d) | 6 Month EURIBOR | 09/19/2020 | EUR | 33,900 | (107,358 | ) | (105,528 | ) | (1,830 | ) | ||||||||||||
6 Month LIBOR(c) | 1.250 | 09/19/2020 | GBP | 167,930 | 714,085 | 706,569 | 7,516 | |||||||||||||||
3.000(c) | 3 Month LIBOR | 09/19/2020 | USD | 45,540 | (123,783 | ) | (88,643 | ) | (35,140 | ) | ||||||||||||
1.750(d) | 6 Month PRIBOR | 09/19/2023 | CZK | 667,900 | 299,389 | (159,411 | ) | 458,800 | ||||||||||||||
1.500(d) | 6 Month BUBOR | 09/19/2023 | HUF | 3,921,180 | 477,426 | 158,412 | 319,014 | |||||||||||||||
7.500(e) | 1 Month TIIE | 09/19/2023 | MXN | 327,860 | 247,894 | 187,754 | 60,140 | |||||||||||||||
6 Month WIBOR(c) | 2.500 | 09/19/2023 | PLN | 108,060 | (19,162 | ) | (25,899 | ) | 6,737 | |||||||||||||
7.250(b) | 3 Month JIBAR | 09/19/2023 | ZAR | 187,270 | 347,306 | 358,125 | (10,819 | ) | ||||||||||||||
2.750(c) | 3 Month BA | 09/19/2028 | CAD | 8,380 | (91,992 | ) | (125,742 | ) | 33,750 | |||||||||||||
6 Month LIBOR(c) | 0.500 | 09/19/2028 | CHF | 10,850 | 71,250 | 57,018 | 14,232 | |||||||||||||||
6 Month EURIBOR(c) | 1.250 | 09/19/2028 | EUR | 87,820 | 3,365,357 | 2,083,915 | 1,281,442 | |||||||||||||||
6 Month LIBOR(c) | 1.750 | 09/19/2028 | GBP | 8,370 | 212,026 | 210,088 | 1,938 | |||||||||||||||
3 Month STIBOR(b) | 1.500 | 09/19/2028 | SEK | 182,570 | 634,642 | (138,307 | ) | 772,949 | ||||||||||||||
3.000(c) | 3 Month LIBOR | 09/19/2028 | USD | 48,700 | (264,979 | ) | (255,842 | ) | (9,137 | ) | ||||||||||||
1.500(d) | 6 Month EURIBOR | 09/19/2048 | EUR | 25,830 | (267,957 | ) | 407,628 | (675,585 | ) | |||||||||||||
1.750(c) | 6 Month LIBOR | 09/19/2048 | GBP | 17,110 | (705,630 | ) | (518,236 | ) | (187,394 | ) | ||||||||||||
3 Month LIBOR(b) | 3.000 | 09/19/2048 | USD | 17,770 | 224,280 | (197,770 | ) | 422,050 | ||||||||||||||
TOTAL | $ | 12,304,454 | $ | 5,555,176 | $ | 6,749,278 |
(a) | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to June 30, 2018. |
(b) | Payments made quarterly. |
(c) | Payments made semi-annually. |
(d) | Payments made annually. |
(e) | Payments made monthly. |
The accompanying notes are an integral part of these financial statements. | 65 |
GOLDMAN SACHS SELECT SATELLITE FUNDS
Consolidated Statements of Assets and Liabilities(a)
June 30, 2018 (Unaudited)
Absolute Return Tracker Fund | Alternative Premia Fund | Commodity Strategy Fund | Managed Futures Strategy Fund | |||||||||||||||
Assets: |
| |||||||||||||||||
Investments in unaffiliated issuers, at value (cost $659,886,469, $0, $106,230,452 and $0)(b) | $ | 710,280,171 | $ | — | $ | 104,579,047 | $ | — | ||||||||||
Investments in affiliated issuers, at value (cost $1,371,868,767, $93,937,936, $262,882,079 and $202,210,129) | 1,371,868,767 | 93,937,936 | 262,956,704 | 202,210,129 | ||||||||||||||
Investments in affiliated securities lending reinvestment vehicle, at value (cost $2,648,850, $0, $0 and $0) | 2,648,850 | — | — | — | ||||||||||||||
Purchased Options, at value (premiums paid $0, $58,358, $0 and $0) | — | 37,315 | — | — | ||||||||||||||
Cash | 38,239,455 | 4,266,876 | 22,834,235 | 15,467,036 | ||||||||||||||
Foreign currencies, at value (cost $924,054, $0, $0 and $27,435,122) | 921,887 | — | — | 27,688,878 | ||||||||||||||
Receivables: | ||||||||||||||||||
Collateral on certain derivative contracts(c) | 71,728,926 | 10,442,411 | 25,617,798 | 25,368,924 | ||||||||||||||
Fund shares sold | 20,161,902 | — | 470,991 | 85,957 | ||||||||||||||
Dividends and interest | 317,704 | — | 376,446 | 195 | ||||||||||||||
Investments sold | 94,472 | — | 5,568,589 | — | ||||||||||||||
Reimbursement from investment adviser | 46,947 | 3,755 | 25,184 | 3,438 | ||||||||||||||
Foreign tax reclaims | 12,189 | 278,925 | — | — | ||||||||||||||
Securities lending income | 4,878 | — | — | — | ||||||||||||||
Due from broker | — | 12,268 | 7,762,256 | — | ||||||||||||||
Unrealized gain on swap contracts | 4,526,418 | 1,773,640 | — | — | ||||||||||||||
Variation margin on futures | 1,021,959 | — | 20,007 | — | ||||||||||||||
Unrealized gain on forward foreign currency exchange contracts | 842,294 | 825,872 | — | 4,675,598 | ||||||||||||||
Variation margin on swaps | 32,939 | 15,252 | 23,046 | — | ||||||||||||||
Other assets | 188,528 | 66,092 | 72,092 | 86,311 | ||||||||||||||
Total assets | 2,222,938,286 | 111,660,342 | 430,306,395 | 275,586,466 | ||||||||||||||
Liabilities: | ||||||||||||||||||
Written options, at value (premiums received $4,979,633, $960,761, $0 and $0) | 3,894,749 | 692,989 | — | — | ||||||||||||||
Unrealized loss on forward foreign currency exchange contracts | 630,701 | 279,220 | — | 1,644,241 | ||||||||||||||
Unrealized loss on swap contracts | 588,592 | 2,757,440 | — | — | ||||||||||||||
Due to custodian — foreign currencies, at value (cost $0, $114,781, $0 and $0) | — | 116,696 | — | — | ||||||||||||||
Variation margin on swaps | — | — | — | 425,792 | ||||||||||||||
Variation margin on futures | — | 781,983 | — | 1,497,797 | ||||||||||||||
Payables: | ||||||||||||||||||
Payable upon return of securities loaned | 2,648,850 | — | — | — | ||||||||||||||
Fund shares redeemed | 2,326,903 | 25,689 | 1,137,601 | 384,909 | ||||||||||||||
Management fees | 996,284 | 56,593 | 101,762 | 198,461 | ||||||||||||||
Collateral on certain derivative contracts(c) | 640,000 | 1,260,000 | — | — | ||||||||||||||
Distribution and Service fees and Transfer Agency fees | 126,260 | 18,522 | 31,838 | 28,851 | ||||||||||||||
Due to broker | — | 119,939 | — | — | ||||||||||||||
Investments purchased | — | — | 7,565,733 | 370,755 | ||||||||||||||
Accrued expenses and other liabilities | 322,152 | 273,748 | 342,944 | 177,225 | ||||||||||||||
Total liabilities | 12,174,491 | 6,382,819 | 9,179,878 | 4,728,031 | ||||||||||||||
Net Assets: | ||||||||||||||||||
Paid-in capital | 2,135,461,212 | 103,102,948 | 407,742,246 | 269,036,744 | ||||||||||||||
Undistributed (distributions in excess of) net investment income | 9,981,083 | 75,945 | 2,169,069 | (449,502 | ) | |||||||||||||
Accumulated net realized gain (loss) | 5,688,546 | 854,663 | 13,233,749 | (9,045,526 | ) | |||||||||||||
Net unrealized gain (loss) | 59,632,954 | 1,243,967 | (2,018,547 | ) | 11,316,719 | |||||||||||||
NET ASSETS | $ | 2,210,763,795 | $ | 105,277,523 | $ | 421,126,517 | $ | 270,858,435 | ||||||||||
Net Assets: | ||||||||||||||||||
Class A | $ | 68,612,351 | $ | 10,166,022 | $ | 49,068,463 | $ | 7,931,281 | ||||||||||
Class C | 18,315,998 | 12,262,389 | 3,466,047 | 3,523,886 | ||||||||||||||
Institutional | 1,795,018,085 | 14,673,733 | 346,333,321 | 82,024,818 | ||||||||||||||
Investor | 164,625,909 | 6,565,451 | 8,310,487 | 118,442,852 | ||||||||||||||
Class P | 158,505,844 | 191,060 | 7,961,704 | 399,862 | ||||||||||||||
Class R | 1,914,755 | 13,217 | 2,874,727 | 575,343 | ||||||||||||||
Class R6 | 3,770,853 | 61,405,651 | 3,111,768 | 57,960,393 | ||||||||||||||
Total Net Assets | $ | 2,210,763,795 | $ | 105,277,523 | $ | 421,126,517 | $ | 270,858,435 | ||||||||||
Shares outstanding $0.001 par value (unlimited shares authorized): | ||||||||||||||||||
Class A | 7,328,187 | 1,158,865 | 3,936,102 | 795,459 | ||||||||||||||
Class C | 2,122,977 | 1,494,502 | 292,790 | 369,672 | ||||||||||||||
Institutional | 185,999,633 | 1,639,046 | 27,490,858 | 8,074,204 | ||||||||||||||
Investor | 17,215,511 | 738,664 | 659,290 | 11,710,278 | ||||||||||||||
Class P | 16,431,139 | 21,366 | 631,344 | 39,228 | ||||||||||||||
Class R | 210,134 | 1,536 | 234,196 | 58,584 | ||||||||||||||
Class R6 | 391,066 | 6,874,886 | 246,798 | 5,680,704 | ||||||||||||||
Net asset value, offering and redemption price per share:(d) | ||||||||||||||||||
Class A | $9.36 | $8.77 | $12.47 | $9.96 | ||||||||||||||
Class C | 8.63 | 8.20 | 11.84 | 9.52 | ||||||||||||||
Institutional | 9.65 | 8.95 | 12.60 | 10.16 | ||||||||||||||
Investor | 9.56 | 8.89 | 12.60 | 10.10 | ||||||||||||||
Class P | 9.65 | 8.94 | 12.61 | 10.18 | ||||||||||||||
Class R | 9.11 | 8.61 | 12.27 | 9.81 | ||||||||||||||
Class R6 | 9.64 | 8.93 | 12.61 | 10.19 |
(a) | Statements of Assets and Liabilities for Absolute Return Tracker, Alternative Premia, Commodity Strategy and Managed Futures Strategy Funds are consolidated and include the balances of Cayman Commodity-ART, Ltd., Cayman Commodity-AP, Ltd., Cayman Commodity-CSF, Ltd. and Cayman Commodity-MFS, Ltd. (wholly-owned subsidiaries), respectively. Accordingly, all interfund balances and transactions have been eliminated. |
(b) | Includes loaned securities having a market value of $2,557,396 for the Absolute Return Tracker Fund. |
(c) | Segregated for initial margin and/or collateral on transactions as follows: |
Fund | Forwards | Futures | Options | Swaps | ||||||||||||
Absolute Return Tracker | $ | — | $ | 17,434,959 | $ | 48,661,569 | $ | 4,992,398 | ||||||||
Alternative Premia | (1,260,000 | ) | 5,613,330 | 4,355,532 | 473,549 | |||||||||||
Commodity Strategy | — | — | — | 25,617,798 | ||||||||||||
Managed Futures Strategy | 2,970,000 | 12,607,458 | — | 9,791,466 |
(d) | Maximum public offering price per share for Class A Shares of the Absolute Return Tracker, Alternative Premia, Commodity Strategy and Managed Futures Strategy Funds is $9.90, $9.28, $13.06 and $10.54, 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. |
66 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SELECT SATELLITE FUNDS
Consolidated Statements of Operations(a)
For the six months Ended June 30, 2018 (Unaudited)
Absolute Return Tracker Fund | Alternative Premia Fund | Commodity Strategy Fund | Managed Futures Strategy Fund | |||||||||||||||
Investment income: |
| |||||||||||||||||
Dividends — affiliated issuers (net of foreign taxes withheld of $0, $0, $0 and $5,586) | $ | 10,376,910 | $ | 863,352 | $ | 1,625,761 | $ | 1,674,196 | ||||||||||
Dividends — unaffiliated issuers (net of foreign taxes withheld of $91,608, $0, $0 and $0) | 4,766,138 | 8,623 | — | — | ||||||||||||||
Securities lending income — affiliated issuer | 23,771 | — | — | — | ||||||||||||||
Interest | — | — | 1,441,117 | — | ||||||||||||||
Total investment income | 15,166,819 | 871,975 | 3,066,878 | 1,674,196 | ||||||||||||||
Expenses: |
| |||||||||||||||||
Management fees | 9,546,525 | 589,527 | 979,982 | 1,440,205 | ||||||||||||||
Transfer Agency fees(b) | 546,505 | 46,357 | 105,473 | 147,059 | ||||||||||||||
Distribution and Service fees(b) | 153,571 | 81,032 | 81,166 | 29,836 | ||||||||||||||
Custody, accounting and administrative services | 130,336 | 47,273 | 36,817 | 43,023 | ||||||||||||||
Printing and mailing costs | 103,992 | 48,229 | 127,925 | 19,362 | ||||||||||||||
Professional fees | 89,146 | 88,856 | 72,647 | 83,984 | ||||||||||||||
Registration fees | 27,087 | — | 21,056 | 21,040 | ||||||||||||||
Trustee fees | 10,271 | 8,888 | 9,046 | 8,910 | ||||||||||||||
Other | 16,843 | — | 6,964 | 56,678 | ||||||||||||||
Total expenses | 10,624,276 | 910,162 | 1,441,076 | 1,850,097 | ||||||||||||||
Less — expense reductions | (3,933,264 | ) | (359,194 | ) | (333,057 | ) | (220,132 | ) | ||||||||||
Net expenses | 6,691,012 | 550,968 | 1,108,019 | 1,629,965 | ||||||||||||||
NET INVESTMENT INCOME | 8,475,807 | 321,007 | 1,958,859 | 44,231 | ||||||||||||||
Realized and unrealized gain (loss): |
| |||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||||
Investments — unaffiliated issuers | 19,584,061 | 5,720 | (915,976 | ) | — | |||||||||||||
Futures contracts | (14,585,119 | ) | (3,230,040 | ) | 2,935,484 | (4,004,966 | ) | |||||||||||
Purchased options | — | (146,733 | ) | (3,583 | ) | — | ||||||||||||
Swap contracts | (4,173,093 | ) | (990,308 | ) | 31,856,236 | 1,448,948 | ||||||||||||
Forward foreign currency exchange contracts | (562,820 | ) | 706,326 | — | (5,658,210 | ) | ||||||||||||
Foreign currency transactions | 13,179 | (643,426 | ) | — | (892,466 | ) | ||||||||||||
Written options | 6,050,622 | (235,226 | ) | — | — | |||||||||||||
Net change in unrealized gain (loss) on: | ||||||||||||||||||
Investments — unaffiliated issuers | (7,899,111 | ) | — | (1,409,754 | ) | — | ||||||||||||
Investments — affiliated issuers | — | — | 119,625 | — | ||||||||||||||
Futures contracts | 3,667,084 | 345,710 | (560,590 | ) | (854,317 | ) | ||||||||||||
Purchased options | — | 20,370 | (6,390 | ) | — | |||||||||||||
Swap contracts | 194,365 | (977,588 | ) | (30,095 | ) | (2,865,568 | ) | |||||||||||
Forward foreign currency exchange contracts | 113,376 | 622,758 | — | 2,463,268 | ||||||||||||||
Foreign currency translation | 111,333 | 47,258 | — | 919,793 | ||||||||||||||
Written options | (1,985,841 | ) | 418,772 | — | — | |||||||||||||
Net realized and unrealized gain (loss) | 528,036 | (4,056,407 | ) | 31,984,957 | (9,443,518 | ) | ||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 9,003,843 | $ | (3,735,400 | ) | $ | 33,943,816 | $ | (9,399,287 | ) |
(a) | Statement of Operations for Absolute Return Tracker, Alternative Premia, Commodity Strategy and Managed Futures Strategy Funds are consolidated and include the balances of Cayman Commodity-ART, Ltd., Cayman Commodity-AP, Ltd., Cayman Commodity-CSF, Ltd. and Cayman Commodity-MFS, Ltd. (wholly-owned subsidiaries), respectively. Accordingly, all interfund balances and transactions have been eliminated. |
(b) | Class specific Distribution and/or Service, and Transfer Agency fees were as follows: |
Distribution and/or Service Fees | Transfer Agency Fees | |||||||||||||||||||||||||||||||||||||||
Fund | Class A | Class C | Class R | Class A | Class C | Institutional | Investor | Class P(c) | Class R | Class R6 | ||||||||||||||||||||||||||||||
Absolute Return Tracker | $ | 74,067 | $ | 74,029 | $ | 5,475 | $ | 53,328 | $ | 13,325 | $ | 362,636 | $ | 111,607 | $ | 3,105 | $ | 1,971 | $ | 533 | ||||||||||||||||||||
Alternative Premia | 14,499 | 66,500 | 33 | 10,439 | 11,970 | 7,355 | 6,585 | 2 | 11 | 9,995 | ||||||||||||||||||||||||||||||
Commodity Strategy | 58,639 | 15,645 | 6,882 | 30,492 | 2,034 | 65,525 | 5,143 | 58 | 1,789 | 432 | ||||||||||||||||||||||||||||||
Managed Futures Strategy | 9,961 | 18,424 | 1,451 | 7,172 | 3,316 | 31,402 | 104,214 | 4 | 522 | 429 | (b) |
(c) | Commenced operations on April 17, 2018. |
(d) | Commenced operations on April 30, 2018. |
The accompanying notes are an integral part of these financial statements. | 67 |
GOLDMAN SACHS SELECT SATELLITE FUNDS
Consolidated Statements of Changes in Net Assets(a)
Absolute Return Tracker Fund | Alternative Premia Fund | |||||||||||||||||||||
For the Six Months Ended June 30, 2018 (Unaudited) | For the Fiscal Year Ended | For the Six Months Ended June 30, 2018 (Unaudited) | For the Fiscal Year Ended | |||||||||||||||||||
From operations: |
| |||||||||||||||||||||
Net investment income | $ | 8,475,807 | $ | 4,534,610 | $ | 321,007 | $ | 907,973 | ||||||||||||||
Net realized gain (loss) | 6,326,830 | 48,742,737 | (4,533,687 | ) | 46,381,732 | |||||||||||||||||
Net change in unrealized gain (loss) | (5,798,794 | ) | 43,660,271 | 477,280 | (6,227,126 | ) | ||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 9,003,843 | 96,937,618 | (3,735,400 | ) | 41,062,579 | |||||||||||||||||
Distributions to shareholders: |
| |||||||||||||||||||||
From net investment income | ||||||||||||||||||||||
Class A Shares | — | — | — | (259,480 | ) | |||||||||||||||||
Class C Shares | — | — | — | (190,491 | ) | |||||||||||||||||
Institutional Shares | — | (566,418 | ) | — | (2,618,250 | ) | ||||||||||||||||
Investor Shares(b) | — | — | — | (197,123 | ) | |||||||||||||||||
Class R Shares | — | — | — | (248 | ) | |||||||||||||||||
Class R6 Shares | — | (1,115 | ) | — | (74,851 | ) | ||||||||||||||||
From net realized gains | ||||||||||||||||||||||
Class A Shares | — | (1,737,531 | ) | — | (2,958,131 | ) | ||||||||||||||||
Class C Shares | — | (498,842 | ) | — | (3,403,691 | ) | ||||||||||||||||
Institutional Shares | — | (50,034,494 | ) | — | (23,283,412 | ) | ||||||||||||||||
Investor Shares(b) | — | (3,059,831 | ) | — | (1,927,003 | ) | ||||||||||||||||
Class R Shares | — | (81,002 | ) | — | (2,774 | ) | ||||||||||||||||
Class R6 Shares | — | (73,884 | ) | — | (2,303 | ) | ||||||||||||||||
Total distributions to shareholders | — | (56,053,117 | ) | — | (34,917,757 | ) | ||||||||||||||||
From share transactions: |
| |||||||||||||||||||||
Proceeds from sales of shares | 1,171,353,893 | 1,044,898,268 | 121,602,271 | 41,007,234 | ||||||||||||||||||
Reinvestment of distributions | — | 41,929,420 | — | 34,267,837 | ||||||||||||||||||
Cost of shares redeemed | (644,222,919 | ) | (491,766,832 | ) | (168,665,010 | ) | (447,712,464 | ) | ||||||||||||||
Net increase (decrease) in net assets resulting from share transactions | 527,130,974 | 595,060,856 | (47,062,739 | ) | (372,437,393 | ) | ||||||||||||||||
TOTAL INCREASE (DECREASE) | 536,134,817 | 635,945,357 | (50,798,139 | ) | (366,292,571 | ) | ||||||||||||||||
Net assets: |
| |||||||||||||||||||||
Beginning of period | 1,674,628,978 | 1,038,683,621 | 156,075,662 | 522,368,233 | ||||||||||||||||||
End of period | $ | 2,210,763,795 | $ | 1,674,628,978 | $ | 105,277,523 | $ | 156,075,662 | ||||||||||||||
Undistributed (distributions in excess of) net investment income | $ | 9,981,083 | $ | 1,505,276 | $ | 75,945 | $ | (245,062 | ) |
(a) | Statement of Changes in Net Assets for Absolute Return Tracker and Alternative Premia are consolidated and include the balances of Cayman Commodity-ART, Ltd. and Cayman Commodity-AP, Ltd. (wholly-owned subsidiaries), respectively. Accordingly, all interfund balances and transactions have been eliminated. |
(b) | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
68 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SELECT SATELLITE FUNDS
Consolidated Statements of Changes in Net Assets(a) (continued)
Commodity Strategy Fund | Managed Futures Strategy Fund | |||||||||||||||||||||
For the Six Months Ended June 30, 2018 (Unaudited) | For the Fiscal Year Ended December 31, 2017 | For the Six Months Ended June 30, 2018 (Unaudited) | For the Fiscal Year Ended December 31, 2017 | |||||||||||||||||||
From operations: |
| |||||||||||||||||||||
Net investment income (loss) | $ | 1,958,859 | $ | 2,308,049 | $ | 44,231 | $ | (1,093,057 | ) | |||||||||||||
Net realized gain (loss) | 33,872,161 | 29,034,251 | (9,106,694 | ) | 4,194,860 | |||||||||||||||||
Net change in unrealized gain (loss) | (1,887,204 | ) | (18,073,299 | ) | (336,824 | ) | 1,241,057 | |||||||||||||||
Net increase (decrease) in net assets resulting from operations | 33,943,816 | 13,269,001 | (9,399,287 | ) | 4,342,860 | |||||||||||||||||
Distributions to shareholders: |
| |||||||||||||||||||||
From net investment income | ||||||||||||||||||||||
Class A Shares | (143,241 | ) | (2,030,384 | ) | — | — | ||||||||||||||||
Class C Shares | (410 | ) | (119,392 | ) | — | — | ||||||||||||||||
Institutional Shares | (1,532,914 | ) | (14,785,402 | ) | — | — | ||||||||||||||||
Investor Shares(b) | (33,297 | ) | (389,143 | ) | — | — | ||||||||||||||||
Class P Shares(c) | (36,039 | ) | — | — | — | |||||||||||||||||
Class R Shares | (5,385 | ) | (115,598 | ) | — | — | ||||||||||||||||
Class R6 Shares(d) | (13,794 | ) | (1,969 | ) | — | — | ||||||||||||||||
From net realized gains | ||||||||||||||||||||||
Class A Shares | — | — | — | (38,110 | ) | |||||||||||||||||
Class C Shares | — | — | — | (17,904 | ) | |||||||||||||||||
Institutional Shares | — | — | — | (732,982 | ) | |||||||||||||||||
Investor Shares(b) | — | — | — | (499,819 | ) | |||||||||||||||||
Class R Shares | — | — | — | (2,943 | ) | |||||||||||||||||
Return of capital | ||||||||||||||||||||||
Class A Shares | — | (493,143 | ) | — | — | |||||||||||||||||
Class C Shares | — | (32,588 | ) | — | — | |||||||||||||||||
Institutional Shares | — | (3,110,881 | ) | — | — | |||||||||||||||||
Investor Shares(b) | — | (103,317 | ) | — | — | |||||||||||||||||
Class R Shares | — | (32,492 | ) | — | — | |||||||||||||||||
Class R6 Shares(d) | — | (8,058 | ) | — | — | |||||||||||||||||
Total distributions to shareholders | (1,765,080 | ) | (21,222,367 | ) | — | (1,291,758 | ) | |||||||||||||||
From share transactions: |
| |||||||||||||||||||||
Proceeds from sales of shares | 95,998,371 | 196,756,016 | 130,293,603 | 221,978,188 | ||||||||||||||||||
Reinvestment of distributions | 1,269,293 | 16,010,720 | — | 1,237,724 | ||||||||||||||||||
Cost of shares redeemed | (84,535,085 | ) | (231,261,163 | ) | (132,222,865 | ) | (102,561,020 | ) | ||||||||||||||
Net increase (decrease) in net assets resulting from share transactions | 12,732,579 | (18,494,427 | ) | (1,929,262 | ) | 120,654,892 | ||||||||||||||||
TOTAL INCREASE (DECREASE) | 44,911,315 | (26,447,793 | ) | (11,328,549 | ) | 123,705,994 | ||||||||||||||||
Net assets: |
| |||||||||||||||||||||
Beginning of period | 376,215,202 | 402,662,995 | 282,186,984 | 158,480,990 | ||||||||||||||||||
End of period | $ | 421,126,517 | $ | 376,215,202 | $ | 270,858,435 | $ | 282,186,984 | ||||||||||||||
Undistributed (distributions in excess of) net investment income (loss) | $ | 2,169,069 | $ | 1,975,290 | $ | (449,502 | ) | $ | (493,733 | ) |
(a) | Statement of Changes in Net Assets for Commodity Strategy and Managed Futures Strategy Funds are consolidated and include the balances of Cayman Commodity-CSF, Ltd. and Cayman Commodity-MFS, Ltd. (wholly-owned subsidiaries), respectively. Accordingly, all interfund balances and transactions have been eliminated. |
(b) | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
(c) | Commenced operation on April 17, 2018. |
(d) | Commenced operations on April 30, 2018 for Managed Futures Strategy Fund. |
The accompanying notes are an integral part of these financial statements. | 69 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Absolute Return Tracker Fund | ||||||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Years Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.31 | $ | 9.02 | $ | 8.67 | $ | 9.01 | $ | 9.12 | $ | 8.95 | ||||||||||||||
Net investment income (loss)(a) | 0.02 | — | (b) | (0.04 | ) | (0.07 | ) | (0.09 | ) | (0.12 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | 0.03 | 0.62 | 0.43 | (0.15 | ) | 0.33 | .0.82 | |||||||||||||||||||
Total from investment operations | 0.05 | 0.62 | 0.39 | (0.22 | ) | 0.24 | 0.70 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | — | — | (0.02 | ) | — | — | |||||||||||||||||||
Distributions to shareholders from net realized gains | — | (0.33 | ) | (0.04 | ) | (0.10 | ) | (0.35 | ) | (0.53 | ) | |||||||||||||||
Total distributions | — | (0.03 | ) | (0.04 | ) | (0.12 | ) | (0.35 | ) | (0.53 | ) | |||||||||||||||
Net asset value, end of period | $ | 9.36 | $ | 9.31 | $ | 9.02 | $ | 8.67 | $ | 9.01 | $ | 9.12 | ||||||||||||||
Total return(c) | 0.54 | % | 6.93 | % | 4.45 | % | (2.45 | )% | 2.61 | % | 7.90 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 68,612 | $ | 52,427 | $ | 38,886 | $ | 45,207 | $ | 64,120 | $ | 105,432 | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||||
Ratio of net expenses to average net assets | 1.02 | %(d) | 1.03 | % | 1.03 | % | 1.04 | % | 1.05 | % | 1.55 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.40 | %(d) | 1.61 | % | 1.66 | % | 1.60 | % | 1.59 | % | 1.59 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | 0.47 | %(d) | (0.04 | )% | (0.43 | )% | (0.74 | )% | (0.96 | )% | (1.33 | )% | ||||||||||||||
Portfolio turnover rate(e) | 84 | % | 76 | % | 130 | % | 213 | % | 134 | % | 163 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.005 per share. |
(c) | 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. |
(d) | Annualized. |
(e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
70 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Goldman Sachs Absolute Return Tracker Fund | ||||||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Years Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.61 | $ | 8.43 | $ | 8.17 | $ | 8.54 | $ | 8.72 | $ | 8.65 | ||||||||||||||
Net investment loss(a) | (0.01 | ) | (0.07 | ) | (0.10 | ) | (0.13 | ) | (0.15 | ) | (0.18 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | 0.03 | 0.58 | 0.40 | (0.14 | ) | 0.32 | 0.78 | |||||||||||||||||||
Total from investment operations | 0.02 | 0.51 | 0.30 | (0.27 | ) | 0.17 | 0.60 | |||||||||||||||||||
Distributions to shareholders from net realized gains | — | (0.33 | ) | (0.04 | ) | (0.10 | ) | (0.35 | ) | (0.53 | ) | |||||||||||||||
Net asset value, end of period | $ | 8.63 | $ | 8.61 | $ | 8.43 | $ | 8.17 | $ | 8.54 | $ | 8.72 | ||||||||||||||
Total return(b) | 0.23 | % | 6.10 | % | 3.62 | % | (3.20 | )% | 1.92 | % | 7.02 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 18,316 | $ | 13,718 | $ | 13,490 | $ | 18,329 | $ | 28,736 | $ | 29,942 | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||||
Ratio of net expenses to average net assets | 1.77 | %(c) | 1.78 | % | 1.78 | % | 1.79 | % | 1.80 | % | 2.30 | % | ||||||||||||||
Ratio of total expenses to average net assets | 2.15 | %(c) | 2.36 | % | 2.41 | % | 2.35 | % | 2.34 | % | 2.34 | % | ||||||||||||||
Ratio of net investment loss to average net assets | (0.27 | )%(c) | (0.81 | )% | (1.18 | )% | (1.51 | )% | (1.69 | )% | (2.08 | )% | ||||||||||||||
Portfolio turnover rate(d) | 84 | % | 76 | % | 130 | % | 213 | % | 134 | % | 163 | % |
(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) | Annualized. |
(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. |
The accompanying notes are an integral part of these financial statements. | 71 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Absolute Return Tracker Fund | ||||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Years Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.58 | $ | 9.23 | $ | 8.86 | $ | 9.22 | $ | 9.32 | $ | 9.10 | ||||||||||||||
Net investment income (loss)(a) | 0.04 | 0.03 | — | (b) | (0.03 | ) | (0.05 | ) | (0.09 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | 0.03 | 0.65 | 0.43 | (0.17 | ) | 0.34 | 0.84 | |||||||||||||||||||
Total from investment operations | 0.07 | 0.68 | 0.43 | (0.20 | ) | 0.29 | 0.75 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | — | (b) | (0.02 | ) | (0.06 | ) | (0.04 | ) | — | ||||||||||||||||
Distributions to shareholders from net realized gains | — | (0.33 | ) | (0.04 | ) | (0.10 | ) | (0.35 | ) | (0.53 | ) | |||||||||||||||
Total distributions | — | (0.33 | ) | (0.06 | ) | (0.16 | ) | (0.39 | ) | (0.53 | ) | |||||||||||||||
Net asset value, end of period | $ | 9.65 | $ | 9.58 | $ | 9.23 | $ | 8.86 | $ | 9.22 | $ | 9.32 | ||||||||||||||
Total return(c) | 0.73 | % | 7.46 | % | 4.82 | % | (2.18 | )% | 3.09 | % | 8.33 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 1,795,018 | $ | 1,510,457 | $ | 970,838 | $ | 1,111,353 | $ | 1,874,703 | $ | 1,589,475 | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||||
Ratio of net expenses to average net assets | 0.63 | %(d) | 0.64 | % | 0.62 | % | 0.64 | % | 0.65 | % | 1.15 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.02 | %(d) | 1.21 | % | 1.24 | % | 1.20 | % | 1.19 | % | 1.19 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | 0.85 | %(d) | 0.36 | % | (0.02 | )% | (0.36 | )% | (0.54 | )% | (0.92 | )% | ||||||||||||||
Portfolio turnover rate(e) | 84 | % | 76 | % | 130 | % | 213 | % | 134 | % | 163 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.005 per share. |
(c) | 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. |
(d) | Annualized. |
(e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
72 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Goldman Sachs Absolute Return Tracker Fund | ||||||||||||||||||||||||||
Investor Shares(a) | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Years Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.50 | $ | 9.17 | $ | 8.80 | $ | 9.15 | $ | 9.24 | $ | 9.04 | ||||||||||||||
Net investment income (loss)(b) | 0.04 | 0.03 | (0.01 | ) | (0.04 | ) | (0.07 | ) | (0.10 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | 0.02 | 0.63 | 0.43 | (0.16 | ) | 0.34 | 0.83 | |||||||||||||||||||
Total from investment operations | 0.06 | 0.66 | 0.42 | (0.20 | ) | 0.27 | 0.73 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | — | (0.01 | ) | (0.05 | ) | (0.01 | ) | — | |||||||||||||||||
Distributions to shareholders from net realized gains | — | (0.33 | ) | (0.04 | ) | (0.10 | ) | (0.35 | ) | (0.53 | ) | |||||||||||||||
Total distributions | — | (0.33 | ) | (0.05 | ) | (0.15 | ) | (0.36 | ) | (0.53 | ) | |||||||||||||||
Net asset value, end of period | $ | 9.56 | $ | 9.50 | $ | 9.17 | $ | 8.80 | $ | 9.15 | $ | 9.24 | ||||||||||||||
Total return(c) | 0.63 | % | 7.25 | % | 4.75 | % | (2.23 | )% | 2.85 | % | 8.15 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 164,626 | $ | 93,650 | $ | 13,245 | $ | 6,755 | $ | 8,046 | $ | 21,565 | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||||
Ratio of net expenses to average net assets | 0.77 | %(d) | 0.78 | % | 0.78 | % | 0.79 | % | 0.81 | % | 1.30 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.14 | %(d) | 1.35 | % | 1.42 | % | 1.35 | % | 1.34 | % | 1.34 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | 0.75 | %(d) | 0.28 | % | (0.13 | )% | (0.49 | )% | (0.73 | )% | (1.08 | )% | ||||||||||||||
Portfolio turnover rate(e) | 84 | % | 76 | % | 130 | % | 213 | % | 134 | % | 163 | % |
(a) | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | 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. |
(d) | Annualized. |
(e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 73 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Absolute Return Tracker Fund | ||||||
Class P Shares | ||||||
April 17, 2018* to June 30, 2018 (Unaudited) | ||||||
Per Share Data | ||||||
Net asset value, beginning of period | $ | 9.64 | ||||
Net investment income(a) | 0.07 | |||||
Net realized and unrealized gain | (0.06 | ) | ||||
Total from investment operations | 0.01 | |||||
Net asset value, end of period | $ | 9.65 | ||||
Total return(b) | 0.10 | % | ||||
Net assets, end of period (in 000s) | $ | 158,506 | ||||
Ratios/Supplemental Data | ||||||
Ratio of net expenses to average net assets | 0.61 | %(c) | ||||
Ratio of total expenses to average net assets | 0.73 | %(c) | ||||
Ratio of net investment income to average net assets | 1.56 | %(c) | ||||
Portfolio turnover rate(d) | 84 | % |
* | Commencement of operation. |
(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) | Annualized. |
(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. |
74 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Goldman Sachs Absolute Return Tracker Fund | ||||||||||||||||||||||||||
Class R Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Years Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.08 | $ | 8.82 | $ | 8.50 | $ | 8.85 | $ | 8.98 | $ | 8.85 | ||||||||||||||
Net investment income (loss)(a) | 0.01 | (0.03 | ) | (0.06 | ) | (0.09 | ) | (0.11 | ) | (0.14 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | 0.02 | 0.62 | 0.42 | (0.15 | ) | 0.33 | 0.80 | |||||||||||||||||||
Total from investment operations | 0.03 | 0.59 | 0.36 | (0.24 | ) | 0.22 | 0.66 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | — | — | (0.01 | ) | — | — | |||||||||||||||||||
Distributions to shareholders from net realized gains | — | (0.33 | ) | (0.04 | ) | (0.10 | ) | (0.35 | ) | (0.53 | ) | |||||||||||||||
Total distributions | — | (0.33 | ) | (0.04 | ) | (0.11 | ) | (0.35 | ) | (0.53 | ) | |||||||||||||||
Net asset value, end of period | $ | 9.11 | $ | 9.08 | $ | 8.82 | $ | 8.50 | $ | 8.85 | $ | 8.98 | ||||||||||||||
Total return(b) | 0.33 | % | 6.74 | % | 4.19 | % | (2.71 | )% | 2.42 | % | 7.54 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 1,915 | $ | 2,150 | $ | 2,197 | $ | 2,019 | $ | 2,299 | $ | 1,729 | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||||
Ratio of net expenses to average net assets | 1.27 | %(c) | 1.28 | % | 1.28 | % | 1.29 | % | 1.30 | % | 1.80 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.65 | %(c) | 1.86 | % | 1.91 | % | 1.85 | % | 1.84 | % | 1.84 | % | ||||||||||||||
Ratio of net investment Income (loss) to average net assets | 0.20 | %(c) | (0.31 | )% | (0.66 | )% | (0.97 | )% | (1.19 | )% | (1.57 | )% | ||||||||||||||
Portfolio turnover rate(d) | 84 | % | 76 | % | 130 | % | 213 | % | 134 | % | 163 | % |
(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) | Annualized. |
(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. |
The accompanying notes are an integral part of these financial statements. | 75 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Absolute Return Tracker Fund | ||||||||||||||||||
Class R6 Shares | ||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Years Ended December 31, | For the Period July 31, 2015* to December 31, 2015 | ||||||||||||||||
2017 | 2016 | |||||||||||||||||
Per Share Data | ||||||||||||||||||
Net asset value, beginning of period | $ | 9.57 | $ | 9.23 | $ | 8.86 | $ | 9.30 | ||||||||||
Net investment income (loss)(a) | 0.04 | 0.04 | — | (b) | (0.01 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 0.03 | 0.63 | 0.43 | (0.26 | ) | |||||||||||||
Total from investment operations | 0.07 | 0.67 | 0.43 | (0.27 | ) | |||||||||||||
Distributions to shareholders from net investment income | — | — | (b) | (0.02 | ) | (0.07 | ) | |||||||||||
Distributions to shareholders from net realized gains | — | (0.33 | ) | (0.04 | ) | (0.10 | ) | |||||||||||
Total distributions | — | (0.33 | ) | (0.06 | ) | (0.17 | ) | |||||||||||
Net asset value, end of period | $ | 9.64 | $ | 9.57 | $ | 9.23 | $ | 8.86 | ||||||||||
Total return(c) | 0.73 | % | 7.36 | % | 4.85 | % | (2.98 | )% | ||||||||||
Net assets, end of period (in 000s) | $ | 3,771 | $ | 2,226 | $ | 27 | $ | 10 | ||||||||||
Ratios/Supplemental Data |
| |||||||||||||||||
Ratio of net expenses to average net assets | 0.62 | %(d) | 0.62 | % | 0.64 | % | 0.64 | %(d) | ||||||||||
Ratio of total expenses to average net assets | 1.01 | %(d) | 1.19 | % | 1.24 | % | 1.21 | %(d) | ||||||||||
Ratio of net investment income (loss) to average net assets | 0.88 | %(d) | 0.39 | % | 0.01 | % | (0.22 | )%(d) | ||||||||||
Portfolio turnover rate(e) | 84 | % | 76 | % | 130 | % | 213 | % |
* | Commencement of operation. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.005 per share. |
(c) | 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. |
(d) | Annualized. |
(e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
76 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Goldman Sachs Alternative Premia Fund | ||||||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 | Years Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.91 | $ | 10.01 | $ | 9.45 | $ | 10.49 | $ | 10.89 | $ | 10.70 | ||||||||||||||
Net investment income (loss)(a) | 0.01 | (0.01 | ) | (0.01 | ) | (0.04 | ) | (0.08 | ) | (0.13 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | (0.15 | ) | 1.40 | 0.57 | (0.71 | ) | 0.32 | 0.68 | ||||||||||||||||||
Total from investment operations | (0.14 | ) | 1.39 | 0.56 | (0.75 | ) | 0.24 | 0.55 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (0.17 | ) | — | (0.01 | ) | (0.05 | ) | — | |||||||||||||||||
Distributions to shareholders from net realized gains | — | (2.32 | ) | — | (0.28 | ) | (0.59 | ) | (0.36 | ) | ||||||||||||||||
Total distributions | — | (2.49 | ) | — | (0.29 | ) | (0.64 | ) | (0.36 | ) | ||||||||||||||||
Net asset value, end of period | $ | 8.77 | $ | 8.91 | $ | 10.01 | $ | 9.45 | $ | 10.49 | $ | 10.89 | ||||||||||||||
Total return(c) | (1.57 | )% | 14.17 | % | 5.91 | % | (7.17 | )% | 2.19 | % | 5.21 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 10,166 | $ | 13,886 | $ | 27,566 | $ | 43,167 | $ | 78,100 | $ | 169,197 | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||||
Ratio of net expenses to average net assets | 1.05 | %(d) | 1.12 | % | 1.15 | % | 1.13 | % | 1.23 | % | 1.30 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.56 | %(d) | 1.51 | % | 1.45 | % | 1.43 | % | 1.42 | % | 1.37 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | 0.23 | %(d) | (0.10 | )% | (0.13 | )% | (0.39 | )% | (0.70 | )% | (1.18 | )% | ||||||||||||||
Portfolio turnover rate(e) | — | % | 349 | % | 272 | % | 241 | % | 211 | % | 311 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.005 per share. |
(c) | 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. |
(d) | Annualized. |
(e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 77 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Alternative Premia Fund | ||||||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Years Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.36 | $ | 9.55 | $ | 9.08 | $ | 10.15 | $ | 10.60 | $ | 10.50 | ||||||||||||||
Net investment loss(a) | (0.02 | ) | (0.08 | ) | (0.08 | ) | (0.11 | ) | (0.15 | ) | (0.20 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | (0.14 | ) | 1.32 | 0.55 | (0.68 | ) | 0.29 | 0.66 | ||||||||||||||||||
Total from investment operations | (0.16 | ) | 1.24 | 0.47 | (0.79 | ) | 0.14 | 0.46 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (0.11 | ) | — | — | — | — | |||||||||||||||||||
Distributions to shareholders from net realized gains | — | (2.32 | ) | — | (0.28 | ) | (0.59 | ) | (0.36 | ) | ||||||||||||||||
Total distributions | — | (2.43 | ) | — | (0.28 | ) | (0.59 | ) | (0.36 | ) | ||||||||||||||||
Net asset value, end of period | $ | 8.20 | $ | 8.36 | $ | 9.55 | $ | 9.08 | $ | 10.15 | $ | 10.60 | ||||||||||||||
Total return(b) | (1.91 | )% | 13.37 | % | 5.16 | % | (7.82 | )% | 1.29 | % | 4.45 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 12,262 | $ | 15,239 | $ | 20,123 | $ | 27,914 | $ | 41,299 | $ | 66,543 | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||||
Ratio of net expenses to average net assets | 1.80 | %(c) | 1.87 | % | 1.90 | % | 1.88 | % | 1.97 | % | 2.05 | % | ||||||||||||||
Ratio of total expenses to average net assets | 2.31 | %(c) | 2.27 | % | 2.20 | % | 2.18 | % | 2.17 | % | 2.12 | % | ||||||||||||||
Ratio of net investment loss to average net assets | (0.51 | )%(c) | (0.84 | )% | (0.88 | )% | (1.14 | )% | (1.42 | )% | (1.89 | )% | ||||||||||||||
Portfolio turnover rate(d) | — | % | 349 | % | 272 | % | 241 | % | 211 | % | 311 | % |
(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) | Annualized. |
(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. |
78 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Goldman Sachs Alternative Premia Fund | ||||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Years Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.07 | $ | 10.15 | $ | 9.54 | $ | 10.61 | $ | 11.02 | $ | 10.78 | ||||||||||||||
Net investment income (loss)(a) | 0.02 | 0.04 | 0.03 | — | (b) | (0.03 | ) | (0.08 | ) | |||||||||||||||||
Net realized and unrealized gain (loss) | (0.14 | ) | 1.41 | 0.58 | (0.72 | ) | 0.32 | 0.68 | ||||||||||||||||||
Total from investment operations | (0.12 | ) | 1.45 | 0.61 | (0.72 | ) | 0.29 | 0.60 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (0.21 | ) | — | (0.07 | ) | (0.11 | ) | — | (b) | ||||||||||||||||
Distributions to shareholders from net realized gains | — | (2.32 | ) | — | (0.28 | ) | (0.59 | ) | (0.36 | ) | ||||||||||||||||
Total distributions | — | (2.53 | ) | — | (0.35 | ) | (0.70 | ) | (0.36 | ) | ||||||||||||||||
Net asset value, end of period | $ | 8.95 | $ | 9.07 | $ | 10.15 | $ | 9.54 | $ | 10.61 | $ | 11.02 | ||||||||||||||
Total return(c) | (1.32 | )% | 14.59 | % | 6.38 | % | (6.84 | )% | 2.61 | % | 5.65 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 14,674 | $ | 114,953 | $ | 468,924 | $ | 510,789 | $ | 645,286 | $ | 756,409 | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||||
Ratio of net expenses to average net assets | 0.69 | %(d) | 0.73 | % | 0.75 | % | 0.73 | % | 0.81 | % | 0.90 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.26 | %(d) | 1.09 | % | 1.05 | % | 1.03 | % | 1.02 | % | 0.97 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | 0.38 | %(d) | 0.36 | % | 0.27 | % | — | %(f) | (0.25 | )% | (0.74 | )% | ||||||||||||||
Portfolio turnover rate(e) | — | % | 349 | % | 272 | % | 241 | % | 211 | % | 311 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.005 per share. |
(c) | 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. |
(d) | Annualized. |
(e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
(f) | Amount is less than 0.005%. |
The accompanying notes are an integral part of these financial statements. | 79 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Alternative Premia Fund | ||||||||||||||||||||||||||
Investor Shares(a) | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Years Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.02 | $ | 10.11 | $ | 9.52 | $ | 10.57 | $ | 10.99 | $ | 10.76 | ||||||||||||||
Net investment income (loss)(b) | 0.02 | 0.02 | 0.01 | (0.01 | ) | (0.05 | ) | (0.10 | ) | |||||||||||||||||
Net realized and unrealized gain (loss) | (0.15 | ) | 1.41 | 0.58 | (0.72 | ) | 0.31 | 0.69 | ||||||||||||||||||
Total from investment operations | (0.13 | ) | 1.43 | 0.59 | (0.73 | ) | 0.26 | 0.59 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (0.20 | ) | — | (0.04 | ) | (0.09 | ) | — | |||||||||||||||||
Distributions to shareholders from net realized gains | — | (2.32 | ) | — | (0.28 | ) | (0.59 | ) | (0.36 | ) | ||||||||||||||||
Total distributions | — | (2.52 | ) | — | (0.32 | ) | (0.68 | ) | (0.36 | ) | ||||||||||||||||
Net asset value, end of period | $ | 8.89 | $ | 9.02 | $ | 10.11 | $ | 9.52 | $ | 10.57 | $ | 10.99 | ||||||||||||||
Total return(c) | (1.44 | )% | 14.47 | % | 6.18 | % | (6.90 | )% | 2.33 | % | 5.55 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 6,565 | $ | 8,910 | $ | 5,733 | $ | 9,933 | $ | 26,862 | $ | 46,709 | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||||
Ratio of net expenses to average net assets | 0.80 | %(d) | 0.86 | % | 0.90 | % | 0.88 | % | 0.97 | % | 1.05 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.31 | %(d) | 1.28 | % | 1.20 | % | 1.18 | % | 1.17 | % | 1.12 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | 0.48 | %(d) | 0.20 | % | 0.10 | % | (0.14 | )% | (0.43 | )% | (0.88 | )% | ||||||||||||||
Portfolio turnover rate(e) | — | % | 349 | % | 272 | % | 241 | % | 211 | % | 311 | % |
(a) | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | 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. |
(d) | Annualized. |
(e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
80 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Class P Shares | ||||||
April 17, 2018* to | ||||||
Per Share Data | ||||||
Net asset value, beginning of period | $ | 8.85 | ||||
Net investment income(a) | 0.03 | |||||
Net realized and unrealized gain | 0.06 | |||||
Total from investment operations | 0.09 | |||||
Net asset value, end of period | $ | 8.94 | ||||
Total return(b) | 1.02 | % | ||||
Net assets, end of period (in 000s) | $ | 191 | ||||
Ratios/Supplemental Data | ||||||
Ratio of net expenses to average net assets | 0.79 | %(c) | ||||
Ratio of total expenses to average net assets | 1.14 | %(c) | ||||
Ratio of net investment income to average net assets | 0.72 | %(c) | ||||
Portfolio turnover rate(d) | — | % |
* | Commencement of operation. |
(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) | Annualized. |
(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. |
The accompanying notes are an integral part of these financial statements. | 81 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Alternative Premia Fund | ||||||||||||||||||||||||||
Class R Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Years Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.75 | $ | 9.89 | $ | 9.36 | $ | 10.40 | $ | 10.83 | $ | 10.67 | ||||||||||||||
Net investment income (loss)(a) | — | (b) | (0.03 | ) | (0.04 | ) | (0.05 | ) | (0.10 | ) | (0.15 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | (0.14 | ) | 1.37 | 0.57 | (0.71 | ) | 0.30 | 0.67 | ||||||||||||||||||
Total from investment operations | (0.14 | ) | 1.34 | 0.53 | (0.76 | ) | 0.20 | 0.52 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (0.16 | ) | — | — | (0.04 | ) | — | ||||||||||||||||||
Distributions to shareholders from net realized gains | — | (2.32 | ) | — | (0.28 | ) | (0.59 | ) | (0.36 | ) | ||||||||||||||||
Total distributions | — | (2.48 | ) | — | (0.28 | ) | (0.63 | ) | (0.36 | ) | ||||||||||||||||
Net asset value, end of period | $ | 8.61 | $ | 8.75 | $ | 9.89 | $ | 9.36 | $ | 10.40 | $ | 10.83 | ||||||||||||||
Total return(c) | (1.60 | )% | 13.89 | % | 5.65 | % | (7.35 | )% | 1.85 | % | 4.94 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 13 | $ | 13 | $ | 12 | $ | 11 | $ | 12 | $ | 12 | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||||
Ratio of net expenses to average net assets | 1.29 | %(d) | 1.36 | % | 1.40 | % | 1.33 | % | 1.49 | % | 1.55 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.78 | %(d) | 1.77 | % | 1.71 | % | 1.65 | % | 1.62 | % | 1.59 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | 0.01 | %(d) | (0.33 | )% | (0.39 | )% | (0.49 | )% | (0.92 | )% | (1.40 | )% | ||||||||||||||
Portfolio turnover rate(e) | — | % | 349 | % | 272 | % | 241 | % | 211 | % | 311 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.005 per share. |
(c) | 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. |
(d) | Annualized. |
(e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
82 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Goldman Sachs Alternative Premia Fund | ||||||||||||||||||
Class R6 Shares | ||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Years Ended December 31, | For the Period July 31, 2015* to December 31, 2015 | ||||||||||||||||
2017 | 2016 | |||||||||||||||||
Per Share Data | ||||||||||||||||||
Net asset value, beginning of period | $ | 9.05 | $ | 10.15 | $ | 9.54 | $ | 10.46 | ||||||||||
Net investment income (loss)(a) | 0.03 | 0.02 | 0.02 | (0.01 | ) | |||||||||||||
Net realized and unrealized gain (loss) | (0.15 | ) | 1.42 | 0.59 | (0.56 | ) | ||||||||||||
Total from investment operations | (0.12 | ) | 1.44 | 0.61 | (0.57 | ) | ||||||||||||
Distributions to shareholders from net investment income | — | (0.22 | ) | — | (0.07 | ) | ||||||||||||
Distributions to shareholders from net realized gains | — | (2.32 | ) | — | (0.28 | ) | ||||||||||||
Total distributions | — | (2.54 | ) | — | (0.35 | ) | ||||||||||||
Net asset value, end of period | $ | 8.93 | $ | 9.05 | $ | 10.15 | $ | 9.54 | ||||||||||
Total return(b) | (1.33 | )% | 14.48 | % | 6.38 | % | (5.48 | )% | ||||||||||
Net assets, end of period (in 000s) | $ | 61,406 | $ | 3,074 | $ | 10 | $ | 9 | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||
Ratio of net expenses to average net assets | 0.64 | %(c) | 0.72 | % | 0.77 | % | 0.77 | %(c) | ||||||||||
Ratio of total expenses to average net assets | 1.16 | %(c) | 1.27 | % | 1.02 | % | 0.97 | %(c) | ||||||||||
Ratio of net investment income (loss) to average net assets | 0.76 | %(c) | 0.22 | % | 0.24 | % | (0.21 | )%(c) | ||||||||||
Portfolio turnover rate(d) | — | % | 349 | % | 272 | % | 241 | % |
* | Commencement of operation. |
(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) | Annualized. |
(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. |
The accompanying notes are an integral part of these financial statements. | 83 |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Commodity Strategy Fund | ||||||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Years Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.49 | $ | 11.68 | $ | 10.49 | $ | 15.58 | $ | 22.54 | $ | 22.94 | ||||||||||||||
Net investment income (loss)(a) | 0.04 | .02 | 0.02 | (0.03 | ) | (0.13 | ) | (0.21 | ) | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.98 | 0.43 | 1.23 | (5.04 | ) | (6.83 | ) | (0.19 | ) | |||||||||||||||||
Total from investment operations | 1.02 | 0.45 | 1.25 | (5.07 | ) | (6.96 | ) | (0.40 | ) | |||||||||||||||||
Distributions to shareholders from net investment income | (0.04 | ) | (0.52 | ) | (0.06 | ) | (0.02 | ) | — | — | ||||||||||||||||
Distributions to shareholders from return of capital | — | (0.12 | ) | — | — | — | — | |||||||||||||||||||
Total distributions | (0.04 | ) | (0.64 | ) | (0.06 | ) | (0.02 | ) | — | — | ||||||||||||||||
Net asset value, end of period | $ | 12.47 | $ | 11.49 | $ | 11.68 | $ | 10.49 | $ | 15.58 | $ | 22.54 | ||||||||||||||
Total return(b) | 8.85 | % | 3.95 | % | 11.91 | % | (32.43 | )% | (31.03 | )% | (1.57 | )% | ||||||||||||||
Net assets, end of period (in 000s) | $ | 49,068 | $ | 46,809 | $ | 60,944 | $ | 58,901 | $ | 85,200 | $ | 401,248 | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||||
Ratio of net expenses to average net assets | 0.85 | %(c) | 0.86 | % | 0.90 | % | 0.85 | % | 0.88 | % | 0.92 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.02 | %(c) | 1.01 | % | 1.07 | % | 0.97 | % | 0.95 | % | 0.95 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | 0.71 | %(c) | 0.16 | % | 0.19 | % | (0.21 | )% | (0.59 | )% | (0.91 | )% | ||||||||||||||
Portfolio turnover rate(d) | 19 | % | 89 | % | 145 | % | 506 | % | 234 | % | 266 | % |
(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) | Annualized. |
(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. |
84 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Goldman Sachs Commodity Strategy Fund | ||||||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Years Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.92 | $ | 11.15 | $ | 10.04 | $ | 14.99 | $ | 21.85 | $ | 22.40 | ||||||||||||||
Net investment loss(a) | — | (b) | (0.07 | ) | (0.06 | ) | (0.13 | ) | (0.26 | ) | (0.36 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | 0.92 | 0.42 | 1.17 | (4.82 | ) | (6.60 | ) | (0.19 | ) | |||||||||||||||||
Total from investment operations | 0.92 | 0.35 | 1.11 | (4.95 | ) | (6.86 | ) | (0.55 | ) | |||||||||||||||||
Distributions to shareholders from net investment income | — | (b) | (0.46 | ) | — | — | — | — | ||||||||||||||||||
Distributions to shareholders from return of capital | — | (0.12 | ) | — | — | — | — | |||||||||||||||||||
Total distributions | — | (b) | (0.58 | ) | — | — | — | — | ||||||||||||||||||
Net asset value, end of period | $ | 11.84 | $ | 10.92 | $ | 11.15 | $ | 10.04 | $ | 14.99 | $ | 21.85 | ||||||||||||||
Total return(c) | 8.44 | % | 3.16 | % | 11.02 | % | (32.95 | )% | (31.32 | )% | (2.50 | )% | ||||||||||||||
Net assets, end of period (in 000s) | $ | 3,466 | $ | 2,949 | $ | 3,858 | $ | 4,578 | $ | 8,149 | $ | 11,444 | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||||
Ratio of net expenses to average net assets | 1.60 | %(d) | 1.61 | % | 1.65 | % | 1.60 | % | 1.62 | % | 1.67 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.77 | %(d) | 1.76 | % | 1.82 | % | 1.72 | % | 1.71 | % | 1.70 | % | ||||||||||||||
Ratio of net investment loss to average net assets | (0.03 | )%(d) | (0.68 | )% | (0.56 | )% | (0.97 | )% | (1.27 | )% | (1.64 | )% | ||||||||||||||
Portfolio turnover rate(e) | 19 | % | 89 | % | 145 | % | 506 | % | 234 | % | 266 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.005 per share. |
(c) | 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. |
(d) | Annualized. |
(e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 85 |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Commodity Strategy Fund | ||||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Years Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.61 | $ | 11.80 | $ | 10.59 | $ | 15.72 | $ | 22.69 | $ | 23.01 | ||||||||||||||
Net investment income (loss)(a) | 0.06 | 0.09 | .06 | 0.02 | (0.04 | ) | (0.13 | ) | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.99 | 0.40 | 1.25 | (5.10 | ) | (6.91 | ) | (0.19 | ) | |||||||||||||||||
Total from investment operations | 1.05 | 0.49 | 1.31 | (5.08 | ) | (6.95 | ) | (0.32 | ) | |||||||||||||||||
Distributions to shareholders from net investment income | (0.06 | ) | (0.56 | ) | (0.10 | ) | (0.05 | ) | (0.02 | ) | — | |||||||||||||||
Distributions to shareholders from return of capital | — | (0.12 | ) | — | — | — | — | |||||||||||||||||||
Total distributions | (0.06 | ) | (0.68 | ) | (0.10 | ) | (0.05 | ) | (0.02 | ) | — | |||||||||||||||
Net asset value, end of period | $ | 12.60 | $ | 11.61 | $ | 11.80 | $ | 10.59 | $ | 15.72 | $ | 22.69 | ||||||||||||||
Total return(b) | 9.01 | % | 4.28 | % | 12.32 | % | (32.38 | )% | (30.62 | )% | (1.39 | )% | ||||||||||||||
Net assets, end of period (in 000s) | $ | 346,333 | $ | 314,888 | $ | 326,270 | $ | 544,699 | $ | 764,809 | $ | 1,039,008 | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||||
Ratio of net expenses to average net assets | 0.51 | %(c) | 0.52 | % | 0.56 | % | 0.51 | % | 0.53 | % | 0.58 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.68 | %(c) | 0.66 | % | 0.72 | % | 0.63 | % | 0.62 | % | 0.61 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | 1.06 | %(c) | 0.78 | % | 0.53 | % | 0.12 | % | (0.17 | )% | (0.56 | )% | ||||||||||||||
Portfolio turnover rate(d) | 19 | % | 89 | % | 145 | % | 506 | % | 234 | % | 266 | % |
(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) | Annualized. |
(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. |
86 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Goldman Sachs Commodity Strategy Fund | ||||||||||||||||||||||||||
Investor Shares(a) | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Years Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.61 | $ | 11.81 | $ | 10.60 | $ | 15.74 | $ | 22.72 | $ | 23.06 | ||||||||||||||
Net investment income (loss)(b) | 0.06 | (0.02 | ) | 0.05 | — | (c) | (0.05 | ) | (0.15 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | 0.98 | 0.49 | 1.25 | (5.08 | ) | (6.93 | ) | (0.19 | ) | |||||||||||||||||
Total from investment operations | 1.04 | 0.47 | 1.30 | (5.08 | ) | (6.98 | ) | (0.34 | ) | |||||||||||||||||
Distributions to shareholders from net investment income | (0.05 | ) | (0.55 | ) | (0.09 | ) | (0.06 | ) | — | (c) | — | |||||||||||||||
Distributions to shareholders from return of capital | — | (0.12 | ) | — | — | — | — | |||||||||||||||||||
Total distributions | (0.05 | ) | (0.67 | ) | (0.09 | ) | (0.06 | ) | — | (c) | — | |||||||||||||||
Net asset value, end of period | $ | 12.60 | $ | 11.61 | $ | 11.81 | $ | 10.60 | $ | 15.74 | $ | 22.72 | ||||||||||||||
Total return(d) | 8.97 | % | 4.08 | % | 12.21 | % | (32.15 | )% | (30.80 | )% | (1.39 | )% | ||||||||||||||
Net assets, end of period (in 000s) | $ | 8,310 | $ | 8,586 | $ | 5,265 | $ | 6,699 | $ | 7,740 | $ | 7,991 | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||||
Ratio of net expenses to average net assets | 0.60 | %(e) | 0.61 | % | 0.65 | % | 0.60 | % | 0.61 | % | 0.67 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.77 | %(e) | 0.75 | % | 0.82 | % | 0.72 | % | 0.71 | % | 0.70 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | 0.96 | %(e) | (0.18 | )% | 0.44 | % | 0.03 | % | (0.24 | )% | (0.64 | )% | ||||||||||||||
Portfolio turnover rate(f) | 19 | % | 89 | % | 145 | % | 506 | % | 234 | % | 266 | % |
(a) | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Amount is less than $0.005 per share. |
(d) | 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. |
(e) | Annualized. |
(f) | 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. |
The accompanying notes are an integral part of these financial statements. | 87 |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Commodity Strategy Fund | ||||||
Class P Shares | ||||||
April 17, 2018* to June 30, 2018 (Unaudited) | ||||||
Per Share Data | ||||||
Net asset value, beginning of period | $ | 12.11 | ||||
Net investment income(a) | 0.06 | |||||
Net realized and unrealized gain | 0.50 | |||||
Total from investment operations | 0.56 | |||||
Distributions to shareholders from net investment income | (0.06 | ) | ||||
Net asset value, end of period | $ | 12.61 | ||||
Total return(b) | 4.61 | % | ||||
Net assets, end of period (in 000s) | $ | 7,962 | ||||
Ratios/Supplemental Data | ||||||
Ratio of net expenses to average net assets | 0.51 | %(c) | ||||
Ratio of total expenses to average net assets | 0.68 | %(c) | ||||
Ratio of net investment income to average net assets | 0.97 | %(c) | ||||
Portfolio turnover rate(d) | 19 | % |
* | Commencement of operation. |
(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) | Annualized. |
(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. |
88 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Goldman Sachs Commodity Strategy Fund | ||||||||||||||||||||||||||
Class R Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Years Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.31 | $ | 11.51 | $ | 10.35 | $ | 15.38 | $ | 22.31 | $ | 22.76 | ||||||||||||||
Net investment income (loss)(a) | 0.03 | (0.04 | ) | (0.01 | ) | (0.06 | ) | (0.16 | ) | (0.25 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | 0.95 | 0.45 | 1.21 | (4.97 | ) | (6.77 | ) | (0.20 | ) | |||||||||||||||||
Total from investment operations | 0.98 | 0.41 | 1.20 | (5.03 | ) | (6.93 | ) | (0.45 | ) | |||||||||||||||||
Distributions to shareholders from net investment income | (0.02 | ) | (0.49 | ) | (0.04 | ) | — | (b) | — | — | ||||||||||||||||
Distributions to shareholders from return of capital | — | (0.12 | ) | — | — | — | — | |||||||||||||||||||
Total distributions | (0.02 | ) | (0.61 | ) | (0.04 | ) | — | (b) | — | — | ||||||||||||||||
Net asset value, end of period | $ | 12.27 | $ | 11.31 | $ | 11.51 | $ | 10.35 | $ | 15.38 | $ | 22.31 | ||||||||||||||
Total return(c) | 8.69 | % | 3.60 | % | 11.60 | % | (32.88 | )% | (31.00 | )% | (1.93 | )% | ||||||||||||||
Net assets, end of period (in 000s) | $ | 2,875 | $ | 2,892 | $ | 4,419 | $ | 1,963 | $ | 1,542 | $ | 1,528 | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||||
Ratio of net expenses to average net assets | 1.10 | %(d) | 1.11 | % | 1.14 | % | 1.10 | % | 1.12 | % | 1.17 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.27 | %(d) | 1.26 | % | 1.34 | % | 1.23 | % | 1.21 | % | 1.20 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | 0.46 | %(d) | (0.40 | )% | (0.07 | )% | (0.44 | )% | (0.77 | )% | (1.13 | )% | ||||||||||||||
Portfolio turnover rate(e) | 19 | % | 89 | % | 145 | % | 506 | % | 234 | % | 266 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.005 per share. |
(c) | 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. |
(d) | Annualized. |
(e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 89 |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Commodity Strategy Fund | ||||||||||||||||||
Class R6 Shares | ||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Years Ended December 31, | For the Period July 31, 2015* to December 31, 2015 | ||||||||||||||||
2017 | 2016 | |||||||||||||||||
Per Share Data | ||||||||||||||||||
Net asset value, beginning of period | $ | 11.62 | $ | 11.80 | $ | 10.60 | $ | 13.48 | ||||||||||
Net investment income (loss)(a) | 0.06 | (0.45 | ) | .06 | 0.02 | |||||||||||||
Net realized and unrealized gain (loss) | 0.99 | 0.95 | 1.24 | (2.86 | ) | |||||||||||||
Total from investment operations | 1.05 | 0.50 | 1.30 | (2.84 | ) | |||||||||||||
Distributions to shareholders from net investment income | (0.06 | ) | (0.56 | ) | (0.10 | ) | (0.04 | ) | ||||||||||
Distributions to shareholders from return of capital | — | (0.12 | ) | — | — | |||||||||||||
Total distributions | (0.06 | ) | (0.68 | ) | (0.10 | ) | (0.04 | ) | ||||||||||
Net asset value, end of period | $ | 12.61 | $ | 11.62 | $ | 11.80 | $ | 10.60 | ||||||||||
Total return(b) | 9.01 | % | 4.29 | % | 12.25 | % | (21.23 | )% | ||||||||||
Net assets, end of period (in 000s) | $ | 3,112 | $ | 90 | $ | 1,907 | $ | 1,336 | ||||||||||
Ratios/Supplemental Data | ||||||||||||||||||
Ratio of net expenses to average net assets | 0.50 | %(c) | 0.50 | % | 0.54 | % | 0.51 | %(c) | ||||||||||
Ratio of total expenses to average net assets | 0.67 | %(c) | 0.66 | % | 0.72 | % | 0.64 | %(c) | ||||||||||
Ratio of net investment income (loss) to average net assets | 1.07 | %(c) | (4.04 | )% | 0.54 | % | 0.35 | %(c) | ||||||||||
Portfolio turnover rate(d) | 19 | % | 89 | % | 145 | % | 506 | % |
* | Commencement of operation. |
(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) | Annualized. |
(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. |
90 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Goldman Sachs Managed Futures Strategy Fund | ||||||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.30 | $ | 10.12 | $ | 10.21 | $ | 9.67 | $ | 10.04 | $ | 10.56 | ||||||||||||||
Net investment loss(a) | (0.01 | ) | (0.10 | ) | (0.14 | ) | (0.16 | ) | (0.14 | ) | (0.15 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | (0.33 | ) | 0.33 | 0.05 | 1.10 | (0.14 | ) | (0.37 | ) | |||||||||||||||||
Total from investment operations | (0.34 | ) | 0.23 | (0.09 | ) | 0.94 | (0.28 | ) | (0.52 | ) | ||||||||||||||||
Distributions to shareholders from net investment income | — | — | — | (0.40 | ) | — | — | |||||||||||||||||||
Distributions to shareholders from net realized gains | — | (0.05 | ) | — | — | (0.09 | ) | — | ||||||||||||||||||
Total distributions | — | (0.05 | ) | — | (0.40 | ) | (0.09 | ) | — | |||||||||||||||||
Net asset value, end of period | $ | 9.96 | $ | 10.30 | $ | 10.12 | $ | 10.21 | $ | 9.67 | $ | 10.04 | ||||||||||||||
Total return(b) | (3.20 | )% | 2.29 | % | (0.88 | )% | 9.69 | % | (2.75 | )% | (4.83 | )% | ||||||||||||||
Net assets, end of period (in 000s) | $ | 7,931 | $ | 7,711 | $ | 23,174 | $ | 24,000 | $ | 2,698 | $ | 1,344 | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||||
Ratio of net expenses to average net assets | 1.44 | %(c) | 1.55 | % | 1.55 | % | 1.56 | % | 1.51 | % | 1.46 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.59 | %(c) | 1.75 | % | 1.74 | % | 1.84 | % | 1.96 | % | 2.64 | % | ||||||||||||||
Ratio of net investment loss to average net assets | (0.27 | )%(c) | (1.02 | )% | (1.33 | )% | (1.53 | )% | (1.50 | )% | (1.54 | )% | ||||||||||||||
Portfolio turnover rate(d) | — | % | — | % | 529 | % | 196 | % | 343 | % | — | % |
(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) | Annualized. |
(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. |
The accompanying notes are an integral part of these financial statements. | 91 |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Consolidated Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Managed Futures Strategy Fund | ||||||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.88 | $ | 9.79 | $ | 9.95 | $ | 9.45 | $ | 9.89 | $ | 10.48 | ||||||||||||||
Net investment loss(a) | (0.05 | ) | (0.17 | ) | (0.21 | ) | (0.23 | ) | (0.21 | ) | (0.22 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | (0.31 | ) | 0.31 | 0.05 | 1.07 | (0.14 | ) | (0.37 | ) | |||||||||||||||||
Total from investment operations | (0.36 | ) | 0.14 | (0.16 | ) | 0.84 | (0.35 | ) | (0.59 | ) | ||||||||||||||||
Distributions to shareholders from net investment income | — | — | — | (0.34 | ) | — | — | |||||||||||||||||||
Distributions to shareholders from net realized gains | — | (0.05 | ) | — | — | (0.09 | ) | — | ||||||||||||||||||
Total distributions | — | (0.05 | ) | — | (0.34 | ) | (0.09 | ) | — | |||||||||||||||||
Net asset value, end of period | $ | 9.52 | $ | 9.88 | $ | 9.79 | $ | 9.95 | $ | 9.45 | $ | 9.89 | ||||||||||||||
Total return(b) | (3.54 | )% | 1.44 | % | (1.60 | )% | 8.93 | % | (3.50 | )% | (5.63 | )% | ||||||||||||||
Net assets, end of period (in 000s) | $ | 3,524 | $ | 3,480 | $ | 4,054 | $ | 3,056 | $ | 897 | $ | 1,536 | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||||
Ratio of net expenses to average net assets | 2.19 | %(c) | 2.29 | % | 2.31 | % | 2.30 | % | 2.26 | % | 2.21 | % | ||||||||||||||
Ratio of total expenses to average net assets | 2.34 | %(c) | 2.48 | % | 2.49 | % | 2.60 | % | 2.69 | % | 3.34 | % | ||||||||||||||
Ratio of net investment loss to average net assets | (1.03 | )%(c) | (1.72 | )% | (2.09 | )% | (2.28 | )% | (2.26 | )% | (2.28 | )% | ||||||||||||||
Portfolio turnover rate(d) | — | % | — | % | 529 | % | 196 | % | 343 | % | — | % |
(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) | Annualized. |
(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. |
92 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Goldman Sachs Managed Futures Strategy Fund | ||||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.52 | $ | 10.29 | $ | 10.36 | $ | 9.77 | $ | 10.11 | $ | 10.59 | ||||||||||||||
Net investment income (loss)(a) | 0.01 | (0.06 | ) | (0.10 | ) | (0.12 | ) | (0.11 | ) | (0.11 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | (0.37 | ) | 0.34 | 0.04 | 1.12 | (0.14 | ) | (0.37 | ) | |||||||||||||||||
Total from investment operations | (0.36 | ) | 0.28 | (0.06 | ) | 1.00 | (0.25 | ) | (0.48 | ) | ||||||||||||||||
Distributions to shareholders from net investment income | — | — | (0.01 | ) | (0.41 | ) | — | — | ||||||||||||||||||
Distributions to shareholders from net realized gains | — | (0.05 | ) | — | — | (0.09 | ) | — | ||||||||||||||||||
Total distributions | — | (0.05 | ) | (0.01 | ) | (0.41 | ) | (0.09 | ) | — | ||||||||||||||||
Net asset value, end of period | $ | 10.16 | $ | 10.52 | $ | 10.29 | $ | 10.36 | $ | 9.77 | $ | 10.11 | ||||||||||||||
Total return(b) | (3.14 | )% | 2.73 | % | (0.57 | )% | 10.24 | % | (2.43 | )% | (4.44 | )% | ||||||||||||||
Net assets, end of period (in 000s) | $ | 82,029 | $ | 163,971 | $ | 110,763 | $ | 87,820 | $ | 88,381 | $ | 106,635 | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||||
Ratio of net expenses to average net assets | 1.05 | %(c) | 1.14 | % | 1.16 | % | 1.14 | % | 1.11 | % | 1.07 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.20 | %(c) | 1.33 | % | 1.34 | % | 1.46 | % | 1.54 | % | 2.18 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | 0.11 | %(c) | (0.54 | )% | (0.94 | )% | (1.12 | )% | (1.10 | )% | (1.12 | )% | ||||||||||||||
Portfolio turnover rate(d) | — | % | — | % | 529 | % | 196 | % | 343 | % | — | % |
(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) | Annualized. |
(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. |
The accompanying notes are an integral part of these financial statements. | 93 |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Consolidated Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Managed Futures Strategy Fund | ||||||||||||||||||||||||||
Investor Shares(a) | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.44 | $ | 10.23 | $ | 10.30 | $ | 9.73 | $ | 10.08 | $ | 10.58 | ||||||||||||||
Net investment loss(b) | — | (c) | (0.06 | ) | (0.11 | ) | (0.13 | ) | (0.12 | ) | (0.13 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | (0.34 | ) | 0.32 | 0.04 | 1.11 | (0.14 | ) | (0.37 | ) | |||||||||||||||||
Total from investment operations | (0.34 | ) | 0.26 | (0.07 | ) | 0.98 | (0.26 | ) | (0.50 | ) | ||||||||||||||||
Distributions to shareholders from net investment income | — | — | — | (0.41 | ) | — | — | |||||||||||||||||||
Distributions to shareholders from net realized gains | — | (0.05 | ) | — | — | (0.09 | ) | — | ||||||||||||||||||
Total distributions | — | (0.05 | ) | — | (0.41 | ) | (0.09 | ) | — | |||||||||||||||||
Net asset value, end of period | $ | 10.10 | $ | 10.44 | $ | 10.23 | $ | 10.30 | $ | 9.73 | $ | 10.08 | ||||||||||||||
Total return(d) | (3.16 | )% | 2.55 | % | (0.68 | )% | 10.08 | % | (2.54 | )% | (4.64 | )% | ||||||||||||||
Net assets, end of period (in 000s) | $ | 443,302 | $ | 106,431 | $ | 20,181 | $ | 6,489 | $ | 391 | $ | 384 | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||||
Ratio of net expenses to average net assets | 1.19 | %(e) | 1.26 | % | 1.31 | % | 1.31 | % | 1.26 | % | 1.21 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.34 | %(e) | 1.45 | % | 1.49 | % | 1.60 | % | 1.69 | % | 2.32 | % | ||||||||||||||
Ratio of net investment loss to average net assets | (0.30 | )%(e) | (0.60 | )% | (1.09 | )% | (1.26 | )% | (1.25 | )% | (1.27 | )% | ||||||||||||||
Portfolio turnover rate(f) | — | % | — | % | 529 | % | 196 | % | 343 | % | — | % |
(a) | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Amount is less than $0.005 per share |
(d) | 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. |
(e) | Annualized. |
(f) | 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. |
94 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Goldman Sachs Managed Futures Strategy Fund | ||||||
Class P Shares | ||||||
For the Period April 17, 2018* to June 30, 2018 (Unaudited) | ||||||
Per Share Data | ||||||
Net asset value, beginning of period | $ | 10.56 | ||||
Net investment income(a) | 0.01 | |||||
Net realized and unrealized loss | (0.39 | ) | ||||
Total from investment operations | (0.38 | ) | ||||
Net asset value, end of period | $ | 10.18 | ||||
Total return(b) | (3.50 | )% | ||||
Net assets, end of period (in 000s) | $ | 400 | ||||
Ratios/Supplemental Data | ||||||
Ratio of net expenses to average net assets | 1.11 | %(c) | ||||
Ratio of total expenses to average net assets | 1.24 | %(c) | ||||
Ratio of net investment income to average net assets | 0.25 | %(c) | ||||
Portfolio turnover rate(d) | — | % |
* | Commencement of operation. |
(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) | Annualized. |
(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. |
The accompanying notes are an integral part of these financial statements. | 95 |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Consolidated Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Managed Futures Strategy Fund | ||||||||||||||||||||||||||
Class R Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2018 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2017 | 2016 | 2015 | 2014 | 2013 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.16 | $ | 10.00 | $ | 10.12 | $ | 9.59 | $ | 9.99 | $ | 10.53 | ||||||||||||||
Net investment loss(a) | (0.03 | ) | (0.12 | ) | (0.16 | ) | (0.18 | ) | (0.17 | ) | (0.17 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | (0.32 | ) | 0.33 | 0.04 | 1.09 | (0.14 | ) | (0.37 | ) | |||||||||||||||||
Total from investment operations | (0.35 | ) | 0.21 | (0.12 | ) | 0.91 | (0.31 | ) | (0.54 | ) | ||||||||||||||||
Distributions to shareholders from net investment income | — | — | — | (0.38 | ) | — | — | |||||||||||||||||||
Distributions to shareholders from net realized gains | — | (0.05 | ) | — | — | (0.09 | ) | — | ||||||||||||||||||
Total distributions | — | (0.05 | ) | — | (0.38 | ) | (0.09 | ) | — | |||||||||||||||||
Net asset value, end of period | $ | 9.81 | $ | 10.16 | $ | 10.00 | $ | 10.12 | $ | 9.59 | $ | 9.99 | ||||||||||||||
Total return(b) | (3.35 | )% | 2.11 | % | (1.18 | )% | 9.47 | % | (3.06 | )% | (5.13 | )% | ||||||||||||||
Net assets, end of period (in 000s) | $ | 575 | $ | 595 | $ | 309 | $ | 197 | $ | 85 | $ | 89 | ||||||||||||||
Ratios/Supplemental Data | ||||||||||||||||||||||||||
Ratio of net expenses to average net assets | 1.69 | %(c) | 1.79 | % | 1.81 | % | 1.79 | % | 1.76 | % | 1.69 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.84 | %(c) | 1.98 | % | 1.99 | % | 2.11 | % | 2.20 | % | 2.82 | % | ||||||||||||||
Ratio of net investment loss to average net assets | (0.53 | )%(c) | (1.19 | )% | (1.59 | )% | (1.77 | )% | (1.75 | )% | (1.79 | )% | ||||||||||||||
Portfolio turnover rate(d) | — | % | — | % | 529 | % | 196 | % | 343 | % | — | % |
(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) | Annualized. |
(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. |
96 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Goldman Sachs Managed Futures Strategy Fund | ||||||
Class R6 Shares | ||||||
For the Period April 30, 2018* to June 30, 2018 (Unaudited) | ||||||
Per Share Data | ||||||
Net asset value, beginning of period | $ | 10.36 | ||||
Net investment income(a) | 0.01 | |||||
Net realized and unrealized loss | (0.18 | ) | ||||
Total from investment operations | (0.17 | ) | ||||
Net asset value, end of period | $ | 10.19 | ||||
Total return(b) | (1.54 | )% | ||||
Net assets, end of period (in 000s) | $ | 57,960 | ||||
Ratios/Supplemental Data | ||||||
Ratio of net expenses to average net assets | 1.12 | %(c) | ||||
Ratio of total expenses to average net assets | 1.25 | %(c) | ||||
Ratio of net investment income to average net assets | 0.24 | %(c) | ||||
Portfolio turnover rate(d) | — | % |
* | Commencement of operation. |
(a) | Calculated based on the average shares outstanding methodology. |
(c) | 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. |
(d) | Annualized. |
(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. |
The accompanying notes are an integral part of these financial statements. | 97 |
GOLDMAN SACHS SELECT SATELLITE FUNDS
June 30, 2018 (Unaudited)
1. ORGANIZATION |
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”), along with their corresponding share classes and respective diversification status under the Act:
Fund | Share Classes Offered | Diversified/ Non-diversified | ||
Absolute Return Tracker, Alternative Premia, Commodity Strategy and Managed Futures Strategy | A, C, Institutional, Investor, P(a), R and R6(b) | Diversified |
(a) | Commenced operations on April 17, 2018. |
(b) | Commenced operations on April 30, 2018 for the Managed Futures Strategy Fund. |
Class A Shares of the Absolute Return Tracker, Alternative Premia and Managed Futures Strategy Funds are sold with a front-end sales charge of up to 5.50%. Class A Shares of the Commodity Strategy Fund are sold with a front-end sales charge of up to 4.50%. 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, Investor, Class P, 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 (“Goldman Sachs”), serves as Investment Adviser to the Funds pursuant to management agreements (the “Agreements”) 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 Tracker, Alternative Premia, Commodity Strategy and Managed Futures Strategy Funds — Cayman Commodity-ART, Ltd., Cayman Commodity-AP, Ltd., Cayman Commodity-CSF, Ltd. and Cayman Commodity-MFS, Ltd. (each a “Subsidiary” and collectively, the “Subsidiaries”), Cayman Islands exempted companies, were incorporated on September 11, 2013, September 11, 2014, April 2, 2009 and June 16, 2016, respectively and are currently wholly-owned subsidiaries of the Absolute Return Tracker, Alternative Premia, Commodity Strategy and Managed Futures Strategy Funds, respectively. The Subsidiaries act as an investment vehicles for the Funds to enable the Funds to gain exposure to certain types of commodity-linked derivative instruments. The Funds are the sole shareholders of the Subsidiaries pursuant to subscription agreements dated as of June 20, 2014, November 17, 2014, June 17, 2009 and July 18, 2016 respectively, and it is intended that each Fund will remain the sole shareholder and will continue to control its respective Subsidiary. Under the Memorandum and Articles of Association of each 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 June 30, 2018, the Fund and Subsidiary net assets were as follows:
Fund | Fund Net Assets | Subsidiary Net Assets | % Represented by Subsidiary’s Net Assets | |||
Absolute Return Tracker | $2,210,763,795 | $16,423,619 | 1% | |||
Alternative Premia | 105,277,523 | 12,418,771 | 12 | |||
Commodity Strategy | 421,081,873 | 87,037,019 | 21 | |||
Managed Futures Strategy | 270,858,435 | 54,727,057 | 20 |
98
GOLDMAN SACHS SELECT SATELLITE FUNDS
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
B. Investment Valuation — The Funds’ valuation policy is to value investments at fair value.
C. Investment Income and Investments — Investment income includes interest income, dividend income, and securities lending income, if any. 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. Investment income is recorded net of any foreign withholding taxes, less any amounts reclaimable. The Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Funds’ investments in United States (“U.S.”) real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain or a return of capital. A return of capital is recorded by the Funds as a reduction to the cost basis of the REIT.
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 Statements of Assets and Liabilities. Upfront payments are recognized over the contract’s term/event as realized gains or losses, with the exception of forward starting interest rate swaps whose realized gains or losses are recognized from the effective start date. For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities, and excess or shortfall amounts are recorded as income. For treasury inflation protected securities (“TIPS”), adjustments to principal due to inflation/deflation are reflected as increases/decreases to interest income with a corresponding adjustment to cost.
D. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, 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 fees.
E. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, 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 according to the following schedule:
Fund | Income Distributions Declared/Paid | Capital Gains Distributions Declared/Paid | ||||
Absolute Return Tracker, Alternative Premia and Managed Futures Strategy | Annually | Annually | ||||
Commodity Strategy | Semi-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 Subsidiaries are classified as controlled foreign corporations under the Code. Therefore, the Funds are required to increase their taxable income by their share of their Subsidiary’s income. Net losses of a Subsidiary cannot be deducted by the Funds in the current period nor carried forward to offset taxable income in future periods.
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
99
GOLDMAN SACHS SELECT SATELLITE FUNDS
Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
on the Consolidated Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
F. Foreign Currency Translation — The accounting records and reporting currency of 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 Consolidated Statements of Operations within net change in unrealized gain (loss) on foreign currency translation. 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 |
U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Funds’ policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The 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’ investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a U.S. securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities are valued at the last bid price for long positions and at the last ask price for short positions. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2.
100
GOLDMAN SACHS SELECT SATELLITE FUNDS
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price, and are generally classified as Level 2. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under 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.
Debt Securities — Debt securities for which market quotations are readily available are valued daily on the basis of quotations supplied by dealers or an independent pricing service approved by the Trustees. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. With the exception of treasury securities of G8 countries, which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.
i. 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.
ii. Mortgage-Backed and Asset-Backed Securities — Mortgage-backed securities represent direct or indirect participations in, or are collateralized by and payable from, mortgage loans secured by residential and/or commercial real estate property. Asset-backed securities include securities whose principal and interest payments are collateralized by pools of other assets or receivables. The value of certain mortgage-backed and asset-backed securities (including adjustable rate mortgage loans) may be particularly sensitive to changes in prevailing interest rates. The value of these securities may also fluctuate in response to the market’s perception of the creditworthiness of the issuers.
Asset-backed securities may present credit risks that are not presented by mortgage-backed securities because they generally do not have the benefit of a security interest in collateral that is comparable to mortgage assets. Some asset-backed securities may only have a subordinated claim on collateral.
Stripped mortgage-backed securities are usually structured with two different classes: one that receives substantially all interest payments (interest-only, or “IO” and/or high coupon rate with relatively low principal amount, or “IOette”), and the other that receives substantially all principal payments (principal-only, or “PO”) from a pool of mortgage loans. Little to no principal will be received at the maturity of an IO; as a result, periodic adjustments are recorded to reduce the cost of the security until maturity. These adjustments are included in interest income.
iii. Mortgage Dollar Rolls — Mortgage dollar rolls are transactions whereby a Fund sells mortgage-backed-securities and simultaneously contracts with the same counterparty to repurchase similar securities on a specified future date. During the settlement period, a Fund will not be entitled to accrue interest and receive principal payments on the securities sold. The Funds account for mortgage dollar roll transactions as purchases and sales and realize gains and losses on these transactions.
101
GOLDMAN SACHS SELECT SATELLITE FUNDS
Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
iv. Treasury Inflation Protected Securities — TIPS are treasury securities in which the principal amount is adjusted daily to keep pace with inflation, as measured by the U.S. Consumer Pricing Index for Urban Consumers. The repayment of the original bond principal upon maturity is guaranteed by the full faith and credit of the U.S. Government.
v. When-Issued Securities and Forward Commitments — When-issued securities, including TBA (“To Be Announced”) securities, are securities that are authorized but not yet issued in the market and purchased in order to secure what is considered to be an advantageous price or yield to a Fund. A forward commitment involves entering into a contract to purchase or sell securities, typically on an extended settlement basis, for a fixed price at a future date. The purchase of securities on a when-issued or forward commitment basis involves a risk of loss if the value of the security to be purchased declines before the settlement date. Conversely, the sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. Although a Fund will generally purchase securities on a when-issued or forward commitment basis with the intention of acquiring the securities for its portfolio, the Fund may dispose of when-issued securities or forward commitments prior to settlement, which may result in a realized gain or loss.
Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. 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 exchange contract is a forward contract in which a Fund agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked-to-market daily at the applicable forward rate. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.
ii. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security and are valued based on exchanged settlement prices or independent market quotes. Futures contracts are valued at the last settlement price, or in the absence of a sale, the last bid price for long positions and at the last ask price for short positions, at the end of each day on the board of trade or exchange upon which they are traded. Upon entering into a futures contract, a Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by a Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Funds and cash collateral received, if any, is reported separately on the Consolidated 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 Consolidated Schedules of Investments.
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3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
iii. Options — When a Fund writes call or put options, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on interest rate swap contracts.
Upon the purchase of a call option or a put option by a Fund, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.
iv. Swap Contracts — Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, a Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a receivable or payable for variation margin.
An interest rate swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals, based upon or calculated by reference to changes in interest rates on a specified notional principal amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.
A credit default swap is an agreement that involves one party (the buyer of protection) making a stream of payments to another party (the seller of protection) in exchange for the right to receive protection on a reference security or obligation, including a group of assets or exposure to the performance of an index. A Fund’s investment in credit default swaps may involve greater risks than if the Fund had invested in the referenced obligation directly. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. If a Fund buys protection through a credit default swap and no credit event occurs, its payments are limited to the periodic payments previously made to the counterparty. Upon the occurrence of a specified credit event, a Fund, as a buyer of credit protection, is entitled to receive an amount equal to the notional amount of the swap and deliver to the seller the defaulted reference obligation in a physically settled trade. A Fund may also receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade.
As a seller of protection, a Fund generally receives a payment stream throughout the term of the swap, provided that there is no credit event. In addition, if a Fund sells protection through a credit default swap, a Fund could suffer a loss because the value of the referenced obligation and the premium payments received may be less than the notional amount of the swap paid to the buyer of protection. Upon the occurrence of a specified credit event, a Fund, as a seller of credit protection, may be required to take possession of the defaulted reference obligation and pay the buyer an amount equal to the notional amount of the swap in a physically settled trade. A Fund may also pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade. Recovery values are at times established through the credit event auction process in which market participants are ensured that a transparent price has been set for the defaulted security or obligation. In addition, a Fund is entitled to a return of any assets, which have been pledged as collateral to the counterparty upon settlement.
The maximum potential amount of future payments (undiscounted) that a Fund as seller of protection could be required to make under a credit default swap would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations or net amounts received from a settlement of a credit default swap for the same reference security or obligation where a Fund bought credit protection.
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Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
A total return swap is an agreement that gives a Fund the right to receive the appreciation in the value of a specified security, index or other instrument in return for a fee paid to the counterparty, which will typically be an agreed upon interest rate. If the underlying asset declines in value over the term of the swap, a Fund may also be required to pay the dollar value of that decline to the counterparty.
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; 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 June 30, 2018:
ABSOLUTE RETURN TRACKER |
| |||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Africa | $ | — | $ | 674,417 | $ | — | ||||||
Asia | — | 10,836,407 | — | |||||||||
Australia and Oceania | — | 126,737 | — | |||||||||
Europe | 462,880 | 42,974,876 | — | |||||||||
North America | 486,285,562 | 45,724 | — | |||||||||
South America | — | 127,324 | — | |||||||||
Exchange Traded Funds | 168,746,244 | — | — | |||||||||
Investment Company | 1,371,868,767 | — | — | |||||||||
Securities Lending Reinvestment Vehicle | 2,648,850 | — | — | |||||||||
Total | $ | 2,030,012,303 | $ | 54,785,485 | $ | — | ||||||
Derivative Type | ||||||||||||
Assets(b) | ||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 842,294 | $ | — | ||||||
Futures Contracts | 8,448,052 | — | — | |||||||||
Credit Default Swap Contracts | — | 181,424 | — | |||||||||
Total Return Swap Contracts | — | 4,526,418 | — | |||||||||
Total | $ | 8,448,052 | $ | 5,550,136 | $ | — |
(a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of NAV. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Funds utilize fair value model prices provided by an independent third party (fair value) service for certain international equity securities, resulting in a Level 2 classification. |
(b) | Amount shown represents unrealized gain (loss) at period end. |
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3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
ABSOLUTE RETURN TRACKER (continued) |
| |||||||||||
Derivative Type | Level 1 | Level 2 | Level 3 | |||||||||
Liabilities | ||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | — | $ | (630,701 | ) | $ | — | |||||
Futures Contracts(a) | (3,961,918 | ) | — | — | ||||||||
Credit Default Swap Contracts(a) | — | (1,151,593 | ) | — | ||||||||
Total Return Swap Contracts(a) | — | (588,592 | ) | — | ||||||||
Written Options Contracts | (3,894,749 | ) | — | — | ||||||||
Total | $ | (7,856,667 | ) | $ | (2,370,886 | ) | $ | — | ||||
ALTERNATIVE PREMIA | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Investment Company | $ | 93,937,936 | $ | — | $ | — | ||||||
Derivative Type | ||||||||||||
Assets | ||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | — | $ | 825,872 | $ | — | ||||||
Futures Contracts(a) | 3,060,229 | — | — | |||||||||
Credit Default Swap Contracts(a) | — | 1,424 | — | |||||||||
Total Return Swap Contracts(a) | — | 1,773,640 | — | |||||||||
Purchased Options Contracts | 37,315 | — | — | |||||||||
Total | $ | 3,097,544 | $ | 2,600,936 | $ | — | ||||||
Liabilities | ||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | — | $ | (279,220 | ) | $ | — | |||||
Futures Contracts(a) | (1,693,002 | ) | — | — | ||||||||
Credit Default Swap Contracts(a) | — | (14,169 | ) | — | ||||||||
Total Return Swap Contracts(a) | — | (2,757,440 | ) | — | ||||||||
Written Options Contracts | (692,989 | ) | — | — | ||||||||
Total | $ | (2,385,991 | ) | $ | (3,050,829 | ) | $ | — | ||||
COMMODITY STRATEGY | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Fixed Income | ||||||||||||
Mortgage-Backed Securities | $ | — | $ | 12,401,869 | $ | — | ||||||
Collateralized Mortgage Obligations | — | 28,078,851 | — | |||||||||
Asset-Backed Securities | — | 326,436 | — | |||||||||
U.S. Treasury Obligations and/or Other U.S. Government Agencies | 34,742,554 | — | — | |||||||||
Exchange Traded Fund | 75,104,625 | — | — | |||||||||
Investment Company | 187,852,079 | — | — | |||||||||
Short-Term Investments | — | 29,029,337 | — | |||||||||
Total | $ | 297,699,258 | $ | 69,836,493 | $ | — |
(a) | Amount shown represents unrealized gain (loss) at period end. |
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Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
COMMODITY STRATEGY (continued) | ||||||||||||
Derivative Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets(a) | ||||||||||||
Futures Contracts | $ | 174,331 | $ | — | $ | — | ||||||
Interest Rate Swap Contracts | — | 388,625 | — | |||||||||
Total | $ | 174,331 | $ | 388,625 | $ | — | ||||||
Liabilities(a) | ||||||||||||
Futures Contracts | $ | (528,626 | ) | $ | — | $ | — | |||||
Interest Rate Swap Contracts | — | (476,097 | ) | — | ||||||||
Total | $ | (528,626 | ) | $ | (476,097 | ) | $ | — | ||||
MANAGED FUTURES STRATEGY | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Investment Company | $ | 202,210,129 | $ | — | $ | — | ||||||
Derivative Type | ||||||||||||
Assets(a) | ||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 4,675,598 | $ | — | ||||||
Futures Contracts | 2,904,214 | — | — | |||||||||
Interest Rate Swap Contracts | — | 8,475,205 | — | |||||||||
Total | $ | 2,904,214 | $ | 13,150,803 | $ | — | ||||||
Liabilities(a) | ||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (1,644,241 | ) | $ | — | |||||
Futures Contracts | (2,659,610 | ) | — | — | ||||||||
Interest Rate Swap Contracts | — | (1,725,927 | ) | — | ||||||||
Total | $ | (2,659,610 | ) | $ | (3,370,168 | ) | $ | — |
(a) | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Consolidated Schedules of Investments.
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GOLDMAN SACHS SELECT SATELLITE FUNDS
4. INVESTMENTS IN DERIVATIVES |
The following tables set forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of June 30, 2018. These instruments were used as part of the Funds’ investment strategies and to obtain and/or manage exposure related to the risks below. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Funds’ net exposure.
ABSOLUTE RETURN TRACKER | ||||||||||||
Risk | Consolidated Statements of Assets and Liabilities | Assets | Consolidated Statements of Assets and Liabilities | Liabilities | ||||||||
Commodity | Receivable for unrealized gain on swap contracts and variation margin on futures contracts | $ | 2,096,230 | (a) | Variation margin on futures contracts | $ | (617,103) | (a) | ||||
Credit | Variation margin on swap contracts | 181,424 | (a) | Variation margin on swap contracts | (1,151,593) | (a) | ||||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts | 842,294 | Payable for unrealized loss on forward foreign currency exchange contracts | (630,701) | ||||||||
Equity | Variation margin on futures contracts | 7,846,336 | (a) | Payable for unrealized loss on swap contracts, Written options, at value and Variation margin on futures contracts | (7,574,566) | (a)(b) | ||||||
Interest Rate | Variation margin on futures contracts | 3,031,904 | (a) | Variation margin on futures contracts | (253,590) | (a) | ||||||
Total | $ | 13,998,188 | $ | (10,227,553) | ||||||||
ALTERNATIVE PREMIA |
| |||||||||||
Risk | Consolidated Statements of Assets and Liabilities | Assets | Consolidated Statements of Assets and Liabilities | Liabilities | ||||||||
Commodity | Variation margin on futures contracts | $ | 2,178,808 | (a) | Variation margin on futures contracts | $ | (1,460,065) | (a) | ||||
Credit | Variation margin on swap contracts | 1,424 | (a) | Variation margin on swap contracts | (14,169) | (a) | ||||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts | 825,872 | Payable for unrealized loss on forward foreign currency exchange contracts | (279,220) | ||||||||
Equity | Receivable for unrealized gain on swap contracts, variation margin on futures contracts; Investments at value | 1,817,465 | (a) | Payable for unrealized loss on swap contracts, Written options, at value and Variation margin on futures contracts | (3,542,236) | (a)(b) | ||||||
Interest Rate | Variation margin on futures contracts | 874,911 | (a) | Variation margin on futures contracts | (141,130) | (a) | ||||||
Total | $ | 5,698,480 | $ | (5,436,820) | ||||||||
COMMODITY STRATEGY |
| |||||||||||
Risk | Consolidated Statements of Assets and Liabilities | Assets | Consolidated Statements of Assets and Liabilities | Liabilities | ||||||||
Interest Rate | Variation margin on futures contracts and swap contracts | 562,956 | (a) | Variation margin on futures and swap contracts | (1,004,723) | (a) |
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Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
4. INVESTMENTS IN DERIVATIVES (continued) |
(a) | Includes unrealized gain (loss) on futures contracts and centrally cleared swap contracts described in the Additional Investment Information sections of the Consolidated Schedules of Investments. Only the variation margin as of June 30, 2018 is reported within the Consolidated Statements of Assets and Liabilities. |
(b) | Aggregate of amounts include $588,592 and $2,757,439 for the Absolute Return Tracker and Alternative Premia Funds, respectively, which represent the payments to be made pursuant to bilateral agreements should counterparties exercise their “right to terminate” provisions based on, among others, the Funds’ performance, their failure to pay on their obligations or failure to pledge collateral. Such amounts do not include incremental charges directly associated with the close-out of the agreements. They also do not reflect the fair value of any assets pledged as collateral which, through the daily margining process, substantially offsets the aforementioned amounts and for which the Funds are entitled to a full return. |
MANAGED FUTURES STRATEGY |
| |||||||||||
Risk | Consolidated Statements of Assets and Liabilities | Assets | Consolidated Statements of Assets and Liabilities | Liabilities | ||||||||
Commodity | Variation margin on futures contracts | $ | 2,127,477 | (a) | Variation margin on futures contracts | $ | (1,748,528) | (a) | ||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts | 4,675,598 | Payable for unrealized loss on forward foreign currency exchange contracts | (1,644,241) | ||||||||
Equity | Variation margin on futures contracts | 776,737 | (a) | Variation margin on futures contracts | (911,082) | (a) | ||||||
Interest Rate | Variation margin on swap contracts | 8,475,205 | (a) | Variation margin on swap contracts | (1,725,927) | (a) | ||||||
Total | $ | 16,055,017 | $ | (6,029,778) |
(a) | Includes unrealized gain (loss) on futures contracts and centrally cleared swap contracts described in the Additional Investment Information sections of the Consolidated Schedules of Investments. Only the variation margin as of June 30, 2018 is reported within the Consolidated Statements of Assets and Liabilities. |
The following tables set forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the six months ended June 30, 2018. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Consolidated Statements of Operations:
ABSOLUTE RETURN TRACKER | ||||||||||||||
Risk | Consolidated Statements of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||||
Commodity | Net realized gain (loss) from futures contracts and swap contracts/Net change in unrealized gain (loss) on futures contracts and swap contracts | $ | 833,382 | $ | 417,724 | 1,100 | ||||||||
Credit | Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts | 2,289,605 | (2,639,052 | ) | 4 | |||||||||
Currency | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | (562,820 | ) | 113,376 | 39 | |||||||||
Equity | Net realized gain (loss) from futures contracts, swap contracts and written options/Net change in unrealized gain (loss) on futures contracts, swap contracts and written options | (16,458,513 | ) | 1,944,646 | 5,729 | |||||||||
Interest rate | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | 627,936 | 2,152,290 | 5,190 | ||||||||||
Total | $ | (13,270,410 | ) | $ | 1,988,984 | 12,062 |
(a) | Average number of contracts is based on the average of month end balances for the six months ended June 30, 2018. |
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4. INVESTMENTS IN DERIVATIVES (continued) |
ALTERNATIVE PREMIA | ||||||||||||||
Risk | Consolidated Statements of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||||
Commodity | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | $ | (767,909 | ) | $ | (966,268 | ) | 1,740 | ||||||
Credit | Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts | (11,007 | ) | (36,874 | ) | 4 | ||||||||
Currency | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | 706,326 | 622,758 | 60 | ||||||||||
Equity | Net realized gain (loss) from futures contracts, investments, swap contracts and written options/Net change in unrealized gain (loss) on futures contracts, investments, swap contracts and written options | (2,544,038 | ) | (634,210 | ) | 588 | ||||||||
Interest rate | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | (1,279,353 | ) | 1,444,616 | 1,902 | |||||||||
Total | $ | (3,895,981 | ) | $ | 430,022 | 4,294 | ||||||||
COMMODITY STRATEGY | ||||||||||||||
Risk | Consolidated Statements of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||||
Commodity | Net realized gain (loss) from swap contracts | $ | 31,816,316 | $ | — | 6 | ||||||||
Interest rate | Net realized gain (loss) from futures contracts, investments and swap contracts/Net change in unrealized gain (loss) on futures contracts, investments and swap contracts | 2,971,821 | (597,075 | ) | 910 | |||||||||
Total | $ | 34,788,137 | $ | (597,075 | ) | 916 | ||||||||
MANAGED FUTURES STRATEGY | ||||||||||||||
Risk | Consolidated Statements of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||||
Commodity | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | $ | (827,913 | ) | $ | (56,806 | ) | 1,753 | ||||||
Currency | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | (5,658,210 | ) | 2,463,268 | 226 | |||||||||
Equity | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | (3,950,240 | ) | (797,511 | ) | 5,493 | ||||||||
Interest rate | Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts | 2,222,135 | (2,865,568 | ) | 396 | |||||||||
Total | $ | (8,214,228 | ) | $ | (1,256,617 | ) | 7,868 |
(a) | Average number of contracts is based on the average of month end balances for the six months ended June 30, 2018. |
109
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Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
4. INVESTMENTS IN DERIVATIVES (continued) |
In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivatives counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives (including forward foreign currency exchange contracts, and certain options and swaps), and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
Collateral and margin requirements differ between exchange traded derivatives and OTC derivatives. Margin requirements are established by the broker or clearing house for exchange-traded and centrally cleared derivatives (financial futures contracts, options and centrally cleared swaps) pursuant to governing agreements for those instrument types. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract-specific for OTC derivatives. For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty. Additionally, a Fund may be required to post initial margin to the counterparty, the terms of which would be outlined in the confirmation of the OTC transaction.
For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral received from the counterparty, if any, is reported separately on the Consolidated Statements of Assets and Liabilities as receivables/payables for collateral on certain derivative contracts. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments. Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. A Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that the Investment Adviser believes to be of good standing and by monitoring the financial stability of those counterparties.
Additionally, the netting of assets and liabilities and the offsetting of collateral pledged or received are based on contractual netting/set-off provisions in the ISDA Master Agreement or similar agreements. However, in the event of a default or insolvency of a counterparty, a court could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of setoff that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws.
The following tables set forth the Funds’ net exposure for derivative instruments that are subject to enforceable master netting arrangements or similar agreements as of June 30, 2018:
ALTERNATIVE PREMIA | ||||||||||||||||||||||||||||||
Derivative Assets(1) | Derivative Liabilities(1) | Net Derivative Assets (Liabilities) | Collateral (Received) Pledged(1) | Net Amount(2) | ||||||||||||||||||||||||||
Counterparty | Forwards | Swaps | Forwards | Swaps | ||||||||||||||||||||||||||
Deutsche Bank AG | $ | — | $ | 859,164 | $ | — | $ | (909,297 | ) | $ | (50,133 | ) | $ | 50,133 | $ | — | ||||||||||||||
JPMorgan Chase Bank NA | — | 914,476 | — | (1,848,143 | ) | (933,667 | ) | 300,000 | (633,667 | ) | ||||||||||||||||||||
Morgan Stanley Co., Inc. | 825,872 | — | (279,220 | ) | — | 546,652 | — | 546,652 | ||||||||||||||||||||||
Total | $ | 825,872 | $ | 1,773,640 | $ | (279,220 | ) | $ | (2,757,440 | ) | $ | (437,148 | ) | $ | 350,133 | $ | (87,015 | ) |
(1) | Gross amounts available for offset but not netted in the Consolidated Statements 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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4. INVESTMENTS IN DERIVATIVES (continued) |
MANAGED FUTURES STRATEGY |
| |||||||||||||||||||||
Derivative Assets(1) | Derivative Liabilities(1) | Net Derivative Assets (Liabilities) | Collateral (Received) Pledged(1) | Net Amount(2) | ||||||||||||||||||
Counterparty | Forwards | Forwards | ||||||||||||||||||||
Morgan Stanley Co., Inc. | $ | 4,675,598 | $ | (1,644,241 | ) | $ | 3,031,357 | $ | 1,644,241 | $ | 4,675,598 |
(1) | Gross amounts available for offset but not netted in the Consolidated Statements 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. |
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.
As of June 30, 2018, contractual management fees with GSAM were at the following rates. The Effective Rate and Effective Net Management Rate represent the rates for the six month period ended June 30, 2018.
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 | ||||||||||||||||||||||||
Absolute Return Tracker | 0.70 | % | 0.63 | % | 0.60 | % | 0.59 | % | 0.53 | % | 0.94 | % | 0.58 | %(1) | ||||||||||||||||
Alternative Premia | 0.79 | 0.71 | 0.68 | 0.66 | 0.65 | 0.87 | 0.65 | (1) | ||||||||||||||||||||||
Commodity Strategy | 0.50 | 0.50 | 0.45 | 0.43 | 0.42 | 0.50 | 0.41 | (1) | ||||||||||||||||||||||
Managed Futures Strategy | 1.00 | 0.90 | 0.86 | 0.84 | 0.82 | 1.00 | 0.87 | (1) |
^ | Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any. The Effective Net Management Rate may not correlate to the Contractual Management Rate as a result of management fee waivers that may be in effect from time to time. |
(1) | Reflects combined management fees paid to GSAM under the Agreement and the Funds’ Subsidiary Agreements (as defined below) after the waivers. |
Prior to April 30, 2018, the contractual management fee rates for the Absolute Return Tracker Fund and Alternative Premia Fund were as stated below.
Fund | First $1 billion | Next $1 billion | Next $3 billion | Next $3 billion | Over $8 billion | |||||||||||||||||
Absolute Return Tracker | 1.15 | % | 1.04 | % | 0.99 | % | 0.97 | % | 0.95 | % | ||||||||||||
Alternative Premia | 0.90 | 0.81 | 0.77 | 0.75 | 0.74 |
GSAM also provides management services to the Subsidiaries 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 each 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 each 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 June 30, 2018, GSAM waived $30,776, $24,312, $157,316 and $19,368 of each Fund’s management fee for Absolute Return Tracker, Alternative Premia, Commodity Strategy and Managed Futures Strategy Funds, respectively. This waiver represents an inter-fund transaction and, accordingly, has been eliminated in consolidation.
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Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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 the affiliated Underlying Fund in which the Funds invest, except those management fees it earns from the Funds’ investments of cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund. For the six months ended June 30, 2018, GSAM waived $1,111,922, $93,413, $168,920 and $182,515 of the Absolute Return Tracker, Alternative Premia, Commodity Strategy and Managed Futures Strategy 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 rate of the average daily net assets attributable to Class A or Class R Shares of the Funds, as set forth below.
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, as set forth below.
Distribution and/or Service Plan Rates | ||||||||||||
Class A* | Class C | Class R* | ||||||||||
Distribution and/or Service Plan | 0.25 | % | 0.75 | % | 0.50 | % |
* | 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 June 30, 2018, Goldman Sachs advised that it retained the following amounts:
Front End Sales Charge | Contingent Deferred Sales Charge | |||||||||
Fund | Class A | Class C | ||||||||
Absolute Return Tracker | $ | 8,920 | $ | — | ||||||
Alternative Premia | 408 | 10 | ||||||||
Commodity Strategy | 4,020 | 1 | ||||||||
Managed Futures Strategy | 2,582 | — |
D. Service Plan — The Trust, on behalf of each applicable 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 0.25% of the average daily net assets attributable to Class C Shares of the Funds.
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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: 0.18% (except for the Commodity Strategy Fund, which charges an annual rate of 0.13%) of the average daily net assets of Class A, Class C, Investor and Class R Shares; 0.03% of the average daily net assets of Class P and Class R6 Shares; and 0.04% of the average daily net assets of Institutional Shares.
F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to limit certain “Other Expenses” of the Funds (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily net assets for the Absolute Return Tracker, Alternative Premia, Commodity Strategy and Managed Futures Strategy Funds are 0.014%, 0.114%, 0.074% and 0.254%, respectively. Prior to April 30, 2018, the Other Expense limitation was 0.004% for the Alternative Premia Fund. These Other Expense limitations will remain in place through at least April 30, 2019, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. The Subsidiaries also pay certain other expenses, including service and custody fees. GSAM has agreed to reduce or limit each Subsidiary’s expenses (excluding management fees) to 0.004% of the Subsidiary’s average daily net assets for the Absolute Return Tracker, Alternative Premia, Commodity Strategy and Managed Futures Strategy Funds. 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 June 30, 2018, 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 | ||||||||||||||
Absolute Return Tracker | $ | 3,673,283 | $ | 234,740 | $ | 25,241 | $ | 3,933,264 | ||||||||||
Alternative Premia | 146,973 | 188,010 | 24,211 | 359,194 | ||||||||||||||
Commodity Strategy | 168,920 | 127,988 | 36,149 | 333,057 | ||||||||||||||
Managed Futures Strategy | 182,515 | 21,451 | 16,166 | 220,132 |
G. Line of Credit Facility — As of June 30, 2018, the Funds participated in a $770,000,000 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 June 30, 2018, the Funds did not have any borrowings under the facility. Prior to May 1, 2018, the facility was $1,100,000,000. The facility was decreased to $770,000,000 effective May 1, 2018.
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Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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 June 30, 2018:
Fund | Beginning Value as of December 31, 2017 | Purchases at Cost | Proceeds from Sales | Ending Value as of June 30, 2018 | Shares as of June 30, 2018 | Dividend Income from Affiliated Investment Company | ||||||||||||||||||||
Absolute Return Tracker | $ | 1,156,058,500 | $ | 944,707,937 | $ | (728,897,670 | ) | $ | 1,371,868,767 | 1,371,868,767 | $ | 10,376,910 | ||||||||||||||
Alternative Premia | 125,655,455 | 91,742,494 | (123,460,013 | ) | 93,937,936 | 93,937,936 | 863,352 | |||||||||||||||||||
Commodity Strategy | 127,131,680 | 365,577,150 | (304,856,751 | ) | 187,852,079 | 187,852,079 | 1,190,131 | |||||||||||||||||||
Managed Futures Strategy | 223,421,111 | 149,277,612 | (170,488,594 | ) | 202,210,129 | 202,210,129 | 1,674,196 |
The Commodity Strategy Fund invests in the shares of the Goldman Sachs Treasury Access 0-1 Year ETF. The Goldman Sachs Treasury Access 0-1 Year ETF is considered to be affiliated with the Fund. The table below shows the transactions in and earnings from investments in the Goldman Sachs Treasury Access 0-1 Year ETF for the six months ended June 30, 2018:
Fund | Affiliated Investment Company | Beginning Value as of December 31, 2017 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) on sale of Affiliated Investment Company | Change in Unrealized Appreciation (Depreciation) | Ending Value as of June 30, 2018 | Shares as of June 30, 2018 | Dividend Income from Affiliated Investment Company | |||||||||||||||||||||||||||
GS Commodity Strategy | | Goldman Sachs Treasury Access 0-1 Year ETF | | $ | 74,985,000 | $ | — | $ | — | $ | — | $ | 119,625 | $ | 75,104,625 | 750,000 | $ | 435,630 |
As of June 30, 2018, the following Goldman Sachs Fund of Funds Portfolios were beneficial owners of 5% or more of total outstanding shares of the following Funds:
Fund | Goldman Sachs Balanced Strategy Portfolio | Goldman Sachs Growth and Income Strategy Portfolio | Goldman Sachs Growth Strategy Portfolio | |||||||||||
Alternative Premia | 8 | % | 24 | % | 11 | % | ||||||||
Managed Futures Strategy | 7 | 9 | — |
As of June 30, 2018, The Goldman Sachs Group, Inc. was the beneficial owner of the following Fund:
Fund | Class P | Class R | ||||||||
Alternative Premia | 5 | % | 100 | % |
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6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended June 30, 2018, were as follows:
Fund | Purchases of U.S. Government and Agency Obligations) | Purchases (Excluding U.S. Government and Agency Obligations) | Sales and Maturities of U.S. Government and Agency Obligations) | Sales and Maturities (Excluding U.S. Government and Agency Obligations) | ||||||||||||||
Absolute Return Tracker | $ | — | $ | 738,396,940 | $ | — | $ | 435,440,099 | ||||||||||
Commodity Strategy | 35,342,156 | — | 87,998,422 | 343,727 |
7. SECURITIES LENDING |
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and the terms and conditions contained therein, the Absolute Return Tracker Fund may lend its 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 Consolidated 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 Absolute Return Tracker Fund 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 Goldman Sachs 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 0.16% (prior to February 21, 2018, GSAM may have received 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 Funds’ loaned securities were all subject to enforceable Securities Lending Agreements and the value of the collateral was at least equal to the value of the cash received. The amounts of the Funds’ overnight and continuous agreements represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of June 30, 2018 are disclosed as “Payable upon return of securities loaned” on the Consolidated Statements of Assets and Liabilities, where applicable.
Both the Absolute Return Tracker Fund and GSAL received compensation relating to the lending of the Funds’ securities. The amounts earned, if any, by the Fund for the six months ended June 30, 2018, are reported under Investment Income on the Consolidated Statements of Operations.
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Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
7. SECURITIES LENDING (continued) |
The table below details securities lending activity with affiliates of Goldman Sachs:
For the Six months ended June 30, 2018 | Amount Payable to Goldman Sachs Upon Return of Securities Loaned as of June 30, 2018 | |||||||||||||
Fund | Earnings of GSAL Loaned | Amounts Received from Lending to | ||||||||||||
Absolute Return Tracker | $ | 2,623 | $ | 1,514 | $ | 864,000 |
The following table provides information about the Funds’ investment in the Government Money Market Fund for the six months ended June 30, 2018:
Fund | Beginning Value as of December 31, 2017 | Purchases at Cost | Proceeds from Sales | Ending Value as of June 30, 2018 | ||||||||||||||
Absolute Return Tracker | $ | 4,526,600 | $ | 108,576,825 | $ | (110,454,575 | ) | $ | 2,648,850 |
8. TAX INFORMATION |
As of the Funds’ most recent fiscal year end, December 31, 2017, the Funds’ capital loss carryforwards and certain timing differences, on a tax-basis were as follows:
Absolute Return Tracker | Alternative Premia | Commodity Strategy | Managed Futures Strategy | |||||||||||||
Capital loss carryforwards: | ||||||||||||||||
Perpetual Short-term | $ | — | $ | — | $ | (6,455,060 | ) | $ | — | |||||||
Perpetual Long-term | — | — | (12,848,871 | ) | — | |||||||||||
Total capital loss carryforwards | $ | — | $ | — | $ | (19,303,931 | ) | $ | — | |||||||
Timing differences (Straddle loss deferral) | $ | (251,690 | ) | $ | (47,067 | ) | $ | (1,112,056 | ) | $ | (46,184 | ) |
As of June 30, 2018, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Absolute Return | Alternative Premia | Commodity Strategy | Managed Futures Strategy | |||||||||||||
Tax cost | $ | 2,042,860,858 | $ | 94,551,253 | $ | 367,897,808 | $ | 203,097,934 | ||||||||
Gross unrealized gain | 72,829,440 | 6,747,010 | 2,138,791 | 5,141,973 | ||||||||||||
Gross unrealized loss | (30,892,510 | ) | (7,360,327 | ) | (2,500,848 | ) | (6,029,778 | ) | ||||||||
Net unrealized gain (loss) | $ | 41,936,930 | $ | (613,317 | ) | $ | (362,057 | ) | $ | (887,805 | ) |
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, options and foreign currency contracts, and differences related to the tax treatment of swap transactions and underlying fund investments.
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8. TAX INFORMATION (continued) |
GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
9. OTHER RISKS |
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 (including repatriation restrictions), 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.
Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by a Fund will generally decline in value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. The risks associated with changing interest rates may have unpredictable effects on the markets and a Fund’s 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 Risk — 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.
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Notes to Financial Statements (continued)
June 30, 2018 (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. 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, 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.
Tax Risk — 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 IRS has issued such PLRs to the Absolute Return Tracker, Alternative Premia and Commodity Strategy Funds. Based on such rulings, these Funds may seek to gain exposure to the commodity markets through investments in commodity-linked notes and/or subsidiaries. The Managed Futures Strategy 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 Managed Futures Strategy Fund has obtained an opinion of counsel that the Fund’s income from such investments should constitute “qualifying income.” However, no assurances can be provided that the IRS would not be able to successfully assert that the Fund’s income from such investments was not “qualifying income”, in which case the Fund would fail to qualify as regulated investment company (“RIC”) under Subchapter M of the Code if over 10% of its gross income were derived from these investments. If a 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.
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GOLDMAN SACHS SELECT SATELLITE FUNDS
10. INDEMNIFICATIONS |
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
11. OTHER MATTERS |
In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update (“ASU”) 2017-08 — Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities held at a premium, by requiring amortization to the earliest call date. The amendments are effective for the Funds’ fiscal year ended December 31, 2019. GSAM is currently evaluating the impact, if any, of the amendments.
12. SUBSEQUENT EVENTS |
Subsequent events after the Consolidated 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.
119
GOLDMAN SACHS SELECT SATELLITE FUNDS
Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
13. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
Absolute Return Tracker Fund | ||||||||||||||||
|
| |||||||||||||||
For the Six Months Ended June 30, 2018 (Unaudited) | For the Fiscal Year Ended December 31, 2017 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 2,911,051 | $ | 27,302,797 | 4,155,392 | $ | 39,146,926 | ||||||||||
Reinvestment of distributions | — | — | 181,440 | 1,683,766 | ||||||||||||
Shares redeemed | (1,211,841 | ) | (11,354,923 | ) | (3,020,798 | ) | (27,870,696 | ) | ||||||||
1,699,210 | 15,947,874 | 1,316,034 | 12,959,996 | |||||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 738,870 | 6,404,482 | 495,237 | 4,306,884 | ||||||||||||
Reinvestment of distributions | — | — | 44,836 | 385,144 | ||||||||||||
Shares redeemed | (208,460 | ) | (1,808,119 | ) | (548,390 | ) | (4,746,483 | ) | ||||||||
530,410 | 4,596,363 | (8,317 | ) | (54,455 | ) | |||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 91,215,153 | 884,677,891 | 95,572,065 | 913,321,573 | ||||||||||||
Reinvestment of distributions | — | — | 3,837,560 | 36,650,393 | ||||||||||||
Shares redeemed | (62,864,518 | ) | (609,453,487 | ) | (46,891,600 | ) | (449,758,187 | ) | ||||||||
28,350,635 | 275,224,404 | 52,518,025 | 500,213,779 | |||||||||||||
Investor Shares(a) | ||||||||||||||||
Shares sold | 9,198,624 | 88,251,098 | 8,957,614 | 85,109,117 | ||||||||||||
Reinvestment of distributions | — | — | 323,108 | 3,059,831 | ||||||||||||
Shares redeemed | (1,840,579 | ) | (17,644,719 | ) | (867,881 | ) | (8,272,568 | ) | ||||||||
7,358,045 | 70,606,379 | 8,412,841 | 79,896,380 | |||||||||||||
Class P Shares(b) | ||||||||||||||||
Shares sold | 16,532,551 | 160,454,518 | — | — | ||||||||||||
Shares redeemed | (101,412 | ) | (983,027 | ) | — | — | ||||||||||
16,431,139 | 159,471,491 | — | — | |||||||||||||
Class R Shares | ||||||||||||||||
Shares sold | 110,923 | 1,017,108 | 69,609 | 634,239 | ||||||||||||
Reinvestment of distributions | — | — | 8,319 | 75,287 | ||||||||||||
Shares redeemed | (137,731 | ) | (1,259,531 | ) | (90,197 | ) | (823,564 | ) | ||||||||
(26,808 | ) | (242,423 | ) | (12,269 | ) | (114,038 | ) | |||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 338,698 | 3,245,999 | 252,533 | 2,379,529 | ||||||||||||
Reinvestment of distributions | — | — | 7,861 | 74,999 | ||||||||||||
Shares redeemed | (180,184 | ) | (1,719,113 | ) | (30,766 | ) | (295,334 | ) | ||||||||
158,514 | 1,526,886 | 229,628 | 2,159,194 | |||||||||||||
NET INCREASE | 54,501,145 | $ | 527,130,974 | 62,455,942 | $ | 595,060,856 |
(a) | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
(b) | Commenced operations on April 17, 2018. |
120
GOLDMAN SACHS SELECT SATELLITE FUNDS
13. SUMMARY OF SHARE TRANSACTIONS (continued) |
Alternative Premia Fund | ||||||||||||||||
|
| |||||||||||||||
For the Six Months Ended June 30, 2018 (Unaudited) | For the Fiscal Year Ended December 31, 2017 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 28,604 | $ | 251,099 | 129,371 | $ | 1,341,861 | ||||||||||
Reinvestment of distributions | — | — | 353,015 | 3,168,356 | ||||||||||||
Shares redeemed | (428,264 | ) | (3,715,296 | ) | (1,677,162 | ) | (17,293,028 | ) | ||||||||
(399,660 | ) | (3,464,197 | ) | (1,194,776 | ) | (12,782,811 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 7,032 | 57,338 | 34,068 | 320,928 | ||||||||||||
Reinvestment of distributions | — | — | 416,821 | 3,492,742 | ||||||||||||
Shares redeemed | (334,503 | ) | (2,719,545 | ) | (736,247 | ) | (7,254,152 | ) | ||||||||
(327,471 | ) | (2,662,207 | ) | (285,358 | ) | (3,440,482 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 550,459 | 4,938,286 | 2,864,401 | 29,600,900 | ||||||||||||
Reinvestment of distributions | — | — | 2,778,371 | 25,477,015 | ||||||||||||
Shares redeemed | (11,584,661 | ) | (101,724,218 | ) | (39,166,623 | ) | (418,436,126 | ) | ||||||||
(11,034,202 | ) | (96,785,932 | ) | (33,523,851 | ) | (363,358,211 | ) | |||||||||
Investor Shares(a) | ||||||||||||||||
Shares sold | 48,452 | 427,040 | 644,641 | 6,643,975 | ||||||||||||
Reinvestment of distributions | — | — | 233,124 | 2,124,125 | ||||||||||||
Shares redeemed | (297,986 | ) | (2,625,108 | ) | (456,476 | ) | (4,729,158 | ) | ||||||||
(249,534 | ) | (2,198,068 | ) | 421,289 | 4,038,942 | |||||||||||
Class P Shares(b) | ||||||||||||||||
Shares sold | 21,367 | 190,310 | — | — | ||||||||||||
Shares redeemed | (1 | ) | (5 | ) | — | — | ||||||||||
21,366 | 190,305 | — | — | |||||||||||||
Class R Shares | ||||||||||||||||
Shares sold | — | 2 | — | — | ||||||||||||
Reinvestment of distributions | — | — | 343 | 3,022 | ||||||||||||
— | 2 | 343 | 3,022 | |||||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 13,207,317 | 115,738,196 | 338,371 | 3,099,570 | ||||||||||||
Reinvestment of distributions | — | — | 281 | 2,577 | ||||||||||||
Shares redeemed | (6,672,074 | ) | (57,880,838 | ) | — | — | ||||||||||
6,535,243 | 57,857,358 | 338,652 | 3,102,147 | |||||||||||||
NET DECREASE | (5,454,258 | ) | $ | (47,062,739 | ) | (34,243,701 | ) | $ | (372,437,393 | ) |
(a) | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
(b) | Commenced operations on April 17, 2018. |
121
GOLDMAN SACHS SELECT SATELLITE FUNDS
Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
13. SUMMARY OF SHARE TRANSACTIONS (continued) |
Commodity Strategy Fund | ||||||||||||||||
|
| |||||||||||||||
For the Six Months Ended June 30, 2018 (Unaudited) | For the Fiscal Year Ended December 31, 2017 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 599,076 | $ | 7,171,218 | 1,639,879 | $ | 18,151,681 | ||||||||||
Reinvestment of distributions | 10,050 | 123,715 | 188,072 | 2,138,293 | ||||||||||||
Shares redeemed | (747,737 | ) | (8,868,483 | ) | (2,969,031 | ) | (33,355,502 | ) | ||||||||
(138,611 | ) | (1,573,550 | ) | (1,141,080 | ) | (13,065,528 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 52,555 | 599,678 | 50,029 | 535,857 | ||||||||||||
Reinvestment of distributions | 31 | 365 | 12,116 | 131,581 | ||||||||||||
Shares redeemed | (29,917 | ) | (337,250 | ) | (137,946 | ) | (1,460,352 | ) | ||||||||
22,669 | 262,793 | (75,801 | ) | (792,914 | ) | |||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 6,190,069 | 74,436,745 | 14,844,905 | 164,465,052 | ||||||||||||
Reinvestment of distributions | 86,119 | 1,071,317 | 1,146,384 | 13,133,768 | ||||||||||||
Shares redeemed | (5,913,935 | ) | (70,708,379 | ) | (16,512,332 | ) | (182,955,374 | ) | ||||||||
362,253 | 4,799,683 | (521,043 | ) | (5,356,554 | ) | |||||||||||
Investor Shares(a) | ||||||||||||||||
Shares sold | 197,809 | 2,389,989 | 981,575 | 11,494,428 | ||||||||||||
Reinvestment of distributions | 2,675 | 33,297 | 43,024 | 492,408 | ||||||||||||
Shares redeemed | (280,462 | ) | (3,327,277 | ) | (731,256 | ) | (8,160,245 | ) | ||||||||
(79,978 | ) | (903,991 | ) | 293,343 | 3,826,591 | |||||||||||
Class P Shares(b) | ||||||||||||||||
Shares sold | 628,958 | 7,585,275 | — | — | ||||||||||||
Reinvestment of distributions | 2,892 | 36,039 | — | — | ||||||||||||
Shares redeemed | (506 | ) | (6,307 | ) | — | — | ||||||||||
631,344 | 7,615,007 | — | — | |||||||||||||
Class R Shares | ||||||||||||||||
Shares sold | 42,853 | 500,308 | 124,106 | 1,352,903 | ||||||||||||
Reinvestment of distributions | 333 | 4,034 | 9,316 | 104,643 | ||||||||||||
Shares redeemed | (64,640 | ) | (749,975 | ) | (261,776 | ) | (2,883,989 | ) | ||||||||
(21,454 | ) | (245,633 | ) | (128,354 | ) | (1,426,443 | ) | |||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 283,949 | 3,315,158 | 67,936 | 756,095 | ||||||||||||
Reinvestment of distributions | 42 | 526 | 924 | 10,027 | ||||||||||||
Shares redeemed | (44,974 | ) | (537,414 | ) | (222,614 | ) | (2,445,701 | ) | ||||||||
239,017 | 2,778,270 | (153,754 | ) | (1,679,579 | ) | |||||||||||
NET INCREASE (DECREASE) | 1,015,240 | $ | 12,732,579 | (1,726,689 | ) | $ | (18,494,427 | ) |
(a) | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
(b) | Commenced operations on April 17, 2018. |
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GOLDMAN SACHS SELECT SATELLITE FUNDS
13. SUMMARY OF SHARE TRANSACTIONS (continued) |
Managed Futures Strategy Fund | ||||||||||||||||
|
| |||||||||||||||
For the Six Months Ended June 30, 2018 (Unaudited) | For the Fiscal Year Ended December 31, 2017 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 162,732 | $ | 1,682,197 | 244,254 | $ | 2,500,639 | ||||||||||
Reinvestment of distributions | — | — | 3,689 | 37,704 | ||||||||||||
Shares redeemed | (115,875 | ) | (1,181,288 | ) | (1,789,506 | ) | (18,264,273 | ) | ||||||||
46,857 | 500,909 | (1,541,563 | ) | (15,725,930 | ) | |||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 55,497 | 556,041 | 130,458 | 1,288,108 | ||||||||||||
Reinvestment of distributions | — | — | 1,825 | 17,904 | ||||||||||||
Shares redeemed | (37,881 | ) | (372,018 | ) | (194,502 | ) | (1,918,650 | ) | ||||||||
17,616 | 184,023 | (62,219 | ) | (612,638 | ) | |||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 3,526,278 | 36,729,720 | 9,214,220 | 96,621,835 | ||||||||||||
Reinvestment of distributions | — | — | 65,135 | 679,354 | ||||||||||||
Shares redeemed | (11,040,411 | ) | (113,729,649 | ) | (4,452,320 | ) | (46,177,782 | ) | ||||||||
(7,514,133 | ) | (76,999,929 | ) | 4,827,035 | 51,123,407 | |||||||||||
Investor Shares(a) | ||||||||||||||||
Shares sold | 3,142,913 | 32,901,567 | 11,657,195 | 121,207,977 | ||||||||||||
Reinvestment of distributions | — | — | 48,292 | 499,819 | ||||||||||||
Shares redeemed | (1,630,838 | ) | (16,916,143 | ) | (3,480,972 | ) | (36,117,055 | ) | ||||||||
1,512,075 | 15,985,424 | 8,224,515 | 85,590,741 | |||||||||||||
Class P Shares(b) | ||||||||||||||||
Shares sold | 39,228 | 400,476 | — | — | ||||||||||||
Shares redeemed | — | (5 | ) | — | — | |||||||||||
39,228 | 400,471 | — | — | |||||||||||||
Class R Shares | ||||||||||||||||
Shares sold | 2,314 | 23,413 | 35,598 | 359,629 | ||||||||||||
Reinvestment of distributions | — | — | 292 | 2,943 | ||||||||||||
Shares redeemed | (2,268 | ) | (23,762 | ) | (8,267 | ) | (83,260 | ) | ||||||||
46 | (349 | ) | 27,623 | 279,312 | ||||||||||||
Class R6 Shares(c) | ||||||||||||||||
Shares sold | 5,680,704 | 58,000,189 | — | — | ||||||||||||
5,680,704 | 58,000,189 | — | — | |||||||||||||
NET INCREASE (DECREASE) | (217,607 | ) | $ | (1,929,262 | ) | 11,475,391 | $ | 120,654,892 |
(a) | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
(b) | Commenced operations on April 17, 2018. |
(c) | Commenced operations on April 30, 2018. |
123
GOLDMAN SACHS SELECT SATELLITE FUNDS
Fund Expenses — Six Month Period Ended June 30, 2018 (Unaudited)
As a shareholder of Class A, Class C, Institutional, Investor, Class P, 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 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 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, Investor, Class P, 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 January 1, 2018 through June 30, 2018, which represents a period of 181 days of a 365 day year. The Class R6 example is based on the period from April 30, 2018 through June 30, 2018, which represents a period of 61 out of 365 days for Managed Futures Strategy Fund. The Class P example is based on the period from April 17, 2018 through June 30, 2018, which represents a period of 74 out of 365 days. The Class P for all funds and Class R6 for Managed Futures Strategy Fund example for hypothetical expenses reflects projected activity for the period from January 1, 2018 through June 30, 2018 for the purposes of comparability. This projection assumes that annualized expense ratios were in effect during the period.
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.
Absolute Return Tracker Fund | Alternative Premia Fund | Commodity Strategy Fund | Managed Futures Strategy Fund | |||||||||||||||||||||||||||||||||||||||||||||
Share Class | Beginning Account 01/01/18 | Ending Account 06/30/18 | Expenses Paid for the 06/30/18* | Beginning Account 01/01/18 | Ending Account 06/30/18 | Expenses Paid for the 6 Months Ended 06/30/18* | Beginning Account 01/01/18 | Ending Account 06/30/18 | Expenses Paid for the 6 Months Ended 06/30/18* | Beginning Account 01/01/18 | Ending Account 06/30/18 | Expenses Paid for the 6 Months Ended 06/30/18* | ||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,005.40 | $ | 5.07 | $ | 1,000 | $ | 984.30 | $ | 5.17 | $ | 1,000 | $ | 1,088.50 | $ | 4.51 | $ | 1,000 | $ | 968.00 | $ | 7.03 | ||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,019.74 | + | 5.11 | 1,000 | 1,019.59 | + | 5.26 | 1,000 | 1,020.48 | + | 4.36 | 1,000 | 1,017.65 | + | 7.20 | ||||||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,002.30 | 8.79 | 1,000 | 980.90 | 8.84 | 1,000 | 1,084.40 | 8.37 | 1,000 | 964.60 | 10.67 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,016.02 | + | 8.85 | 1,000 | 1,015.87 | + | 9.00 | 1,000 | 1,016.76 | + | 8.10 | 1,000 | 1,013.93 | + | 10.94 | ||||||||||||||||||||||||||||||||
Institutional | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,007.30 | 3.14 | 1,000 | 986.80 | 3.40 | 1,000 | 1,090.10 | 2.75 | 1,000 | 968.60 | 5.13 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,021.67 | + | 3.16 | 1,000 | 1,021.37 | + | 3.46 | 1,000 | 1,022.17 | + | 2.66 | 1,000 | 1,019.59 | + | 5.26 | ||||||||||||||||||||||||||||||||
Investor | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,006.30 | 3.83 | 1,000 | 985.60 | 3.94 | 1,000 | 1,089.70 | 3.21 | 1,000 | 968.40 | 5.81 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,020.98 | + | 3.86 | 1,000 | 1,020.83 | + | 4.01 | 1,000 | 1,021.72 | + | 3.11 | 1,000 | 1,018.89 | + | 5.96 | ||||||||||||||||||||||||||||||||
Class P(a) | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,001.00 | 1.24 | 1,000 | 1,010.20 | 1.61 | 1,000 | 1,046.10 | 1.10 | 1,000 | 965.00 | 2.21 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,021.77 | + | 3.06 | 1,000 | 1,020.88 | + | 3.96 | 1,000 | 1,022.17 | + | 2.66 | 1,000 | 1,019.29 | + | 5.56 | ||||||||||||||||||||||||||||||||
Class R | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,003.30 | 6.31 | 1,000 | 984.00 | 6.35 | 1,000 | 1,086.90 | 5.80 | 1,000 | 966.50 | 8.24 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,018.50 | + | 6.36 | 1,000 | 1,018.40 | + | 6.46 | 1,000 | 1,019.24 | + | 5.61 | 1,000 | 1,016.41 | + | 8.45 | ||||||||||||||||||||||||||||||||
Class R6(b) | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,007.30 | 3.09 | 1,000 | 986.70 | 3.15 | 1,000 | 1,090.10 | 2.69 | 1,000 | 984.60 | 1.86 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,021.72 | + | 3.11 | 1,000 | 1,021.62 | + | 3.21 | 1,000 | 1,022.22 | + | 2.61 | 1,000 | 1,019.24 | + | 5.61 |
+ | 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. |
* | 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 June 30, 2018. 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 | Investor | Class P(a) | Class R | Class R6 | |||||||||||||||||||||
Absolute Return Tracker | 1.02 | % | 1.77 | % | 0.63 | % | 0.77 | % | 0.61 | % | 1.27 | % | 0.62 | % | ||||||||||||||
Alternative Premia | 1.05 | 1.80 | 0.69 | 0.80 | 0.79 | 1.29 | 0.64 | |||||||||||||||||||||
Commodity Strategy | 0.87 | 1.62 | 0.53 | 0.62 | 0.53 | 1.12 | 0.52 | |||||||||||||||||||||
Managed Futures Strategy | 1.44 | 2.19 | 1.05 | 1.19 | 1.11 | 1.69 | 1.12 | (b) |
(a) | Commenced operations on April 17, 2018. |
(b) | Commenced operations on April 30, 2018. |
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GOLDMAN SACHS SELECT SATELLITE FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
The Goldman Sachs Absolute Return Tracker Fund, Goldman Sachs Alternative Premia Fund (formerly Goldman Sachs Dynamic Allocation Fund), Goldman Sachs Commodity Strategy Fund, and Goldman Sachs Managed Futures Strategy Fund (the “Funds”) are investment portfolios of Goldman Sachs Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Funds at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Funds.
The Management Agreement was most recently approved for continuation until June 30, 2019 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 13-14, 2018 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held four meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to each Fund, such matters included:
(a) | the nature and quality of the advisory, administrative, and other services provided to the Fund by the Investment Adviser and its affiliates, including information about: |
(i) | the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams; |
(ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training); |
(iii) | trends in employee headcount; |
(iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
(v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
(b) | information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), a benchmark performance index, and (in the case of the Absolute Return Tracker Fund) a composite of accounts with comparable investment strategies managed by the Investment Adviser; and information on general investment outlooks in the markets in which the Fund invests; |
(c) | information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Fund’s peer group and/or benchmark index had high, medium, or low relevance given the Fund’s particular investment strategy; |
(d) | the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund; |
(e) | fee and expense information for the Fund, including: |
(i) | the relative management fee and expense levels of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; |
(ii) | the Fund’s expense trends over time; and |
(iii) | to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
(f) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; |
(g) | the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations; |
(h) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund to the Investment Adviser and its affiliates; |
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GOLDMAN SACHS SELECT SATELLITE FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
(i) | whether the Fund’s existing management fee schedule adequately addressed any economies of scale; |
(j) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, securities lending, portfolio trading, distribution and other services; |
(k) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
(l) | information regarding commissions paid by the Fund and broker oversight, other information regarding portfolio trading, and how the Investment Adviser carries out its duty to seek best execution; |
(m) | portfolio manager ownership of Fund shares; the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers; |
(n) | the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and |
(o) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports. |
The Trustees also received an overview of the Funds’ distribution arrangements. They received information regarding the Funds’ assets, share purchase and redemption activity, and payment of distribution and service fees. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Funds and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Funds. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Funds by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the regulatory and control environment in which the Funds and their service providers operate, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Funds and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Funds and the Investment Adviser and its affiliates.
Investment Performance
The Trustees also considered the investment performance of the Funds. In this regard, they compared the investment performance of each Fund to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2017, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2018. The information on each Fund’s investment performance was provided for the one-, three-, five-, and ten-year periods ending on the applicable dates, to the extent that each Fund had been in existence for those periods. The
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GOLDMAN SACHS SELECT SATELLITE FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Trustees also reviewed each Fund’s investment performance relative to its performance benchmark. As part of this review, they considered the investment performance trends of the Funds over time, and reviewed the investment performance of each Fund in light of its investment objective and policies and market conditions. The Trustees also received information comparing the Absolute Return Tracker Fund’s performance to that of a composite of accounts with comparable investment strategies managed by the Investment Adviser.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Funds’ risk profiles, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management. They noted the efforts of the Absolute Return Tracker, Alternative Premia, and Managed Futures Strategy Funds’ portfolio management team to continue to enhance the investment models used in managing the Funds.
The Trustees observed that the Absolute Return Tracker Fund’s Institutional Shares had placed in the first quartile of the Fund’s peer group for the one-, three-, and five-year periods; had outperformed the Fund’s benchmark index for the one-, three-, and five-year periods; and had outperformed the average performance of a group of competitor funds, as determined by the Investment Adviser (the “Competitor Fund Average”), for the one-, three-, and five-year periods ended March 31, 2018. The Trustees also noted that the Absolute Return Tracker Fund had experienced certain portfolio management changes in 2017. The Trustees observed that the Alternative Premia Fund’s Institutional Shares had outperformed the Fund’s LIBOR-based benchmark index by 7.21%, 1.99%, and 2.40%, respectively, for the one-, three-, and five-year periods and had underperformed the Fund’s Competitor Fund Average for the one-, three-, and five-year periods ended March 31, 2018. The Trustees considered that the Alternative Premia Fund had certain significant differences from the Fund’s benchmark index that caused it to be an imperfect basis for comparison. The Trustees noted that in October 2017 the Alternative Premia Fund had been repositioned from the Dynamic Allocation Fund, which involved changes to the Fund’s investment objective, investment strategy, benchmark, and portfolio management. The Trustees also noted that, following the Alternative Premia Fund’s repositioning, the Fund was placed into a new Morningstar category and, therefore, did not have meaningful peer group comparison information. The Trustees observed that the Commodity Strategy Fund’s Institutional Shares had placed in the first quartile of the Fund’s peer group for the one-year period, in the third quartile for the ten-year period, and in the fourth quartile for the three- and five-year periods, and had outperformed the Fund’s benchmark index for the five- and ten-year periods and underperformed for the one- and three-year periods ended March 31, 2018. The Trustees noted that the Managed Futures Strategy Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the one-, three-, and five-year periods; had outperformed the Fund’s LIBOR-based benchmark index by 1.28%, 0.23%, and 0.76%, respectively, for the one-, three-, and five-year periods; and had outperformed the Fund’s Competitor Fund Average for the one- and three-year periods and underperformed for the five-year period ended March 31, 2018.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by each Fund thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Funds, which included both advisory and administrative services that were directed to the needs and operations of the Funds as registered mutual funds.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Funds. The analyses provided a comparison of each Fund’s management fee and breakpoints to those of a relevant peer group and category universe; an expense analysis which compared each Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing each Fund’s net expenses to the peer and category medians. The analyses also compared each Fund’s transfer agency, custody, and distribution fees, other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Funds.
With respect to the Absolute Return Tracker and Alternative Premia Funds, the Trustees noted that the management fee breakpoint schedules had been reduced at all asset levels since the Management Agreement was last approved. In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations. The Trustees noted that the Investment Adviser had agreed to waive a portion of its management fee in an amount equal to the entire management fee paid to the Investment Adviser as the investment adviser to each Fund’s wholly-owned subsidiary. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Funds, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Funds differed in various significant respects from the services provided to
127
GOLDMAN SACHS SELECT SATELLITE FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.
In addition, the Trustees noted that shareholders are able to redeem their Fund shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Profitability
The Trustees reviewed each Fund’s contribution to the Investment Adviser’s revenues and pre-tax profit margins. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization had audited the expense allocation methodology and that the internal audit group was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology and profitability analysis calculations. Profitability data for each Fund was provided for 2017 and 2016, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability.
Economies of Scale
The Trustees considered the information that had been provided regarding whether there have been economies of scale with respect to the management of the Funds. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreement for each of the Funds at the following annual percentage rates of the average daily net assets of the Funds:
Absolute Return Tracker Fund | Alternative Premia Fund | Commodity Strategy Fund | Managed Futures Strategy Fund | |||||||||||||
First $1 billion | 0.70 | % | 0.79 | % | 0.50 | % | 1.00 | % | ||||||||
Next $1 billion | 0.63 | 0.71 | 0.50 | 0.90 | ||||||||||||
Next $3 billion | 0.60 | 0.68 | 0.45 | 0.86 | ||||||||||||
Next $3 billion | 0.59 | 0.66 | 0.43 | 0.84 | ||||||||||||
Over $8 billion | 0.53 | 0.65 | 0.42 | 0.82 |
The Trustees noted that the breakpoints were designed to share potential economies of scale, if any, with the Funds and their shareholders as assets under management reach those asset levels. The Trustees considered the amounts of assets in the Funds; the Funds’ recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer groups; and the Investment Adviser’s undertakings to limit certain expenses of the Funds that exceed specified levels. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels. They also noted that the Investment Adviser had passed along savings to shareholders of the Absolute Return Tracker Fund, which had asset levels above at least the first breakpoint during the prior fiscal year.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Funds as stated above, including: (a) transfer agency fees received by Goldman Sachs & Co. LLC (“Goldman Sachs”); (b) brokerage and futures commissions earned by Goldman Sachs for executing securities and futures transactions on behalf of the Funds; (c) trading efficiencies resulting from aggregation of orders of the Funds with those for other funds or accounts managed by the Investment Adviser; (d) with respect to the Absolute Return Tracker and Alternative Premia Funds, fees earned by Goldman Sachs Agency Lending (“GSAL”), an affiliate of the Investment Adviser, as securities lending agent (and fees earned by the Investment Adviser for managing the fund in which the Absolute Return Tracker and Alternative Premia Funds’ cash collateral is invested); (e) the Investment Adviser’s ability to leverage the infrastructure designed to service the Funds on behalf of its other clients; (f) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (g) Goldman Sachs’
128
GOLDMAN SACHS SELECT SATELLITE FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
retention of certain fees as Fund Distributor; (h) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Funds; and (i) the possibility that the working relationship between the Investment Adviser and the Funds’ third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
Other Benefits to the Funds and Their Shareholders
The Trustees also noted that the Funds receive certain potential benefits as a result of their relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Funds with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors because of the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers because of the volume of business generated by the Investment Adviser and its affiliates; (d) the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties on behalf of the Funds as a result of the size and reputation of the Goldman Sachs organization; (e) the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Funds because of the reputation of the Goldman Sachs organization; (g) the Funds’ access, through the Investment Adviser, to certain firmwide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; (h) the Absolute Return Tracker and Alternative Premia Funds’ ability to participate in the securities lending program administered by GSAL, as measured by the revenue received by the Funds in connection with the program; and (i) the Funds’ access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Funds’ shareholders invested in the Funds in part because of the Funds’ relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by each of the Funds were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and each Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit each Fund and its shareholders and that the Management Agreement should be approved and continued with respect to each Fund until June 30, 2019.
129
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 $1.30 trillion in assets under supervision as of June 30, 2018, 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
∎ | Enhanced Income Fund |
∎ | High Quality Floating Rate Fund |
∎ | Short-Term Conservative Income Fund |
∎ | Short Duration Government Fund |
∎ | Short Duration Income Fund |
∎ | Government Income Fund |
∎ | Inflation Protected Securities Fund |
Multi-Sector
∎ | Bond Fund |
∎ | Core Fixed Income Fund |
∎ | Global Income Fund |
∎ | Strategic Income Fund |
Municipal and Tax-Free
∎ | High Yield Municipal Fund |
∎ | Dynamic Municipal Income Fund |
∎ | Short Duration Tax-Free Fund |
Single Sector
∎ | Investment Grade Credit Fund |
∎ | U.S. Mortgages Fund |
∎ | High Yield Fund |
∎ | High Yield Floating Rate Fund |
∎ | Emerging Markets Debt Fund |
∎ | Local Emerging Markets Debt Fund |
∎ | Total Emerging Markets Income Fund4 |
Fixed Income Alternatives
∎ | Long Short Credit Strategies Fund |
Fundamental Equity
∎ | Equity Income Fund |
∎ | Small Cap Value Fund |
∎ | Small/Mid Cap Value Fund |
∎ | Mid Cap Value Fund |
∎ | Large Cap Value Fund |
∎ | Focused Value Fund |
∎ | Capital Growth Fund |
∎ | Strategic Growth Fund |
∎ | Small/Mid Cap Growth Fund |
∎ | Flexible Cap Fund |
∎ | Concentrated Growth Fund |
∎ | Technology Opportunities Fund |
∎ | Growth Opportunities Fund |
∎ | Rising Dividend Growth Fund |
∎ | Blue Chip Fund5 |
∎ | Income Builder 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
∎ | International Equity Income Fund6 |
∎ | International Equity ESG Fund7 |
∎ | Asia Equity Fund |
∎ | Emerging Markets Equity Fund |
∎ | N-11 Equity Fund |
∎ | ESG Emerging Markets Equity Fund |
Select Satellite
∎ | Real Estate Securities Fund |
∎ | International Real Estate Securities Fund |
∎ | Commodity Strategy Fund |
∎ | Global Real Estate Securities Fund |
∎ | Alternative Premia Fund8 |
∎ | Absolute Return Tracker Fund |
∎ | Managed Futures Strategy Fund |
∎ | MLP Energy Infrastructure Fund |
∎ | MLP & Energy 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 |
∎ | Target Date 2060 Portfolio |
∎ | GQG Partners International Opportunities Fund |
∎ | Tactical Exposure 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 after the close of business on December 26, 2017, the Goldman Sachs Dynamic Emerging Markets Debt Fund was renamed the Goldman Sachs Total Emerging Markets Income Fund. |
5 | Effective after the close of business on October 31, 2017, the Goldman Sachs Dynamic U.S. Equity Fund was renamed the Goldman Sachs Blue Chip Fund. |
6 | Effective after the close of business on February 27, 2018, the Goldman Sachs Strategic International Equity Fund was renamed the Goldman Sachs International Equity Income Fund. |
7 | Effective after the close of business on February 27, 2018, the Goldman Sachs Focused International Equity Fund was renamed the Goldman Sachs International Equity ESG Fund. |
8 | Effective after the close of business on October 30, 2017, the Goldman Sachs Dynamic Allocation Fund was renamed the Goldman Sachs Alternative Premia 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 Jessica Palmer, Chair Kathryn A. Cassidy Diana M. Daniels Herbert J. Markley James A. McNamara 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
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.
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).
Holdings and allocations shown are as of June 30, 2018 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus or summary prospectus, if applicable. Investors should consider 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 (retail – 1-800-526-7384) (institutional – 1-800-621-2550).
© 2018 Goldman Sachs. All rights reserved. 138615-OTU-813682 SELSATSAR-18/56K
Goldman Sachs Funds
Semi-Annual Report | June 30, 2018 | |||
Tax-Advantaged Equity Funds | ||||
U.S. Equity Dividend and Premium | ||||
International Equity Dividend and Premium | ||||
U.S. Tax-Managed Equity | ||||
International Tax-Managed Equity |
Goldman Sachs Tax-Advantaged Equity Funds
∎ | U.S. EQUITY DIVIDEND AND PREMIUM |
∎ | INTERNATIONAL EQUITY DIVIDEND AND PREMIUM |
∎ | U.S. TAX-MANAGED EQUITY |
∎ | INTERNATIONAL TAX-MANAGED EQUITY |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee |
Goldman Sachs Tax-Advantaged Equity Funds
Market Review
During the six months ended June 30, 2018 (the “Reporting Period”), the performance of the U.S. and international equity markets was influenced most by economic data, central bank monetary policy and geopolitical events.
U.S. and international equities saw a strong start to the Reporting Period in January 2018, driven by positive economic data, a $1.5 trillion tax reform law signed in December 2017, and a favorable corporate earnings season. In February 2018, however, U.S. and international equities sold off on market speculation of a faster pace of Federal Reserve (“Fed”) short-term interest rate hikes, which stoked a sharp rise in bond yields and an increase in equity market volatility. Concerns about Fed monetary policy tightening were further exacerbated by solid U.S. labor and inflation data. While the hawkish Fed minutes were largely expected, new Fed Chair Jerome Powell’s Congressional testimony, positing a more optimistic economic outlook since the December 2017 Fed meeting, surprised equity markets with its hawkish tilt, sparking another sell-off in U.S. and international stocks. (Jerome Powell assumed the chairmanship of the Fed in February 2018. Hawkish language tends to suggest higher interest rates; opposite of dovish.) In March 2018, escalating trade tensions and potential tariffs weighed on investor sentiment. Meanwhile, the Fed delivered on a widely expected interest rate increase, with its “dot plot” pointing to a total of three interest rate hikes this calendar year and potentially two in 2019. (The “dot plot” shows rate projections of the members of the Fed’s Open Market Committee.) In Europe, an agreement on a 21-month transition after Brexit between the U.K. and the European Union reduced political uncertainty. (Brexit is the popular term for the U.K.’s approved vote on a referendum to exit the European Union.)
The U.S. and China continued to generate trade headlines and geopolitical uncertainty about sanctions on Russia surfaced, but the impact of such on the U.S. and international equity markets remained relatively muted during April 2018, as investors stayed rather resistant to the risk of a trade war. A number of macroeconomic drivers, including U.S. labor market strength, higher inflation and fiscal stimulus, pushed up U.S. Treasury yields, with the 10-year U.S. Treasury yield breaching 3% toward month end. With more than half of S&P 500® Index companies having reported their first quarter 2018 results, the earnings season began strongly during April 2018. Outside the U.S., the European Central Bank and Bank of Japan kept their respective monetary policies unchanged, indicating ongoing monetary accommodation. In May 2018, U.S. equities rallied, driven not only by strong corporate earnings but also by upside surprises in economic activity and sentiment data as well as on a new U.S. unemployment low of 3.8%. However, the U.S. equity rally was hampered by escalating geopolitical uncertainty stemming from the unexpected political outcome in Italy, the ongoing unpredictability around the U.S.-North Korea summit, and escalating trade tensions with many U.S. allies. For the same reasons, international equity markets were volatile during May 2018. In June, the Fed raised interest rates, as widely expected, but the outcome of the Fed meeting was more hawkish than the consensus had anticipated. The Fed retained language indicating an “accommodative” monetary policy stance, but its economic growth and inflation forecasts were upgraded, and its median projection was lifted to four interest rate hikes in 2018 from the three it had indicated in March 2018. Still-escalating trade tensions between the U.S. and China hurt investor sentiment in the U.S. and international equity markets, as the U.S. threatened tariffs on $200 billion worth of Chinese goods and China vowed to retaliate.
For the Reporting Period overall, the U.S. equity market, as represented by the S&P 500® Index, generated a return of 2.65%. Six of the 11 sectors in the S&P 500® Index posted positive absolute returns and five generated negative returns. Consumer discretionary,
1
MARKET REVIEW
information technology and energy were the best performing sectors in the S&P 500® Index, as measured by total return, and the weakest performing sectors in the S&P 500® Index during the Reporting Period were telecommunication services, consumer staples and industrials.
Within the U.S. equity market, there was significant disparity in performance not only among sectors but also among the various capitalization and style segments. While all capitalization segments posted positive returns, small-cap stocks, as measured by the Russell 2000® Index, performed best, followed at some distance by large-cap stocks, as measured by the Russell 1000® Index, and mid-cap stocks, as measured by the Russell Midcap® Index, which performed similarly to each other. From a style perspective, growth-oriented stocks significantly outpaced value-oriented stocks across the capitalization spectrum, with value-oriented stocks overall in the large-cap and mid-cap capitalization segments posting modestly negative absolute returns. (All as measured by the FTSE Russell indices.)
As for international equities, they produced a negative return of -2.75%,1 as measured by the MSCI EAFE Index, during the Reporting Period as a whole. Energy was the best performing sector in the MSCI EAFE Index on the basis of total return by some distance, followed by utilities and health care. The weakest performing sectors in the MSCI EAFE Index during the Reporting Period were telecommunication services, financials and industrials.
From a country perspective, Finland, Portugal and Norway were the best performing equity markets in the MSCI EAFE Index during the Reporting Period. Austria, Denmark and Switzerland were the weakest individual country constituents in the MSCI EAFE Index during the Reporting Period.
Looking Ahead
In the months ahead, we expect less expensive stocks to outpace more expensive stocks. We also believe that stocks with good momentum are likely to outperform those with poor momentum. Our plan is to seek profitable companies with positive fundamentals, sustainable earnings and a track record of using capital to enhance shareholder value. To that end, 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 potentially 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 | All MSCI EAFE returns are net of fees and in U.S. dollar terms. |
2
What Differentiates the Goldman Sachs U.S. Equity Dividend and Premium and Goldman Sachs International Equity Dividend and Premium Funds’ Investment Process?
The Goldman Sachs U.S. Equity Dividend and Premium Fund seeks to maximize income and total return. The Goldman Sachs International Equity Dividend and Premium Fund seeks to maximize total return with an emphasis on income. Their portfolios consist primarily of large-cap, dividend-paying stocks.1 By investing in these securities, and through the use of option call writing, the Funds seek to generate an attractive after-tax cash flow.
A diversified portfolio:
∎ | Create a diversified large-cap equity portfolio that participates in all industries and sectors. |
∎ | Emphasize higher dividend-paying stocks within each industry and sector. |
Written call options:
∎ | The Funds utilize index call writing to seek to enhance their cash flow. |
∎ | We use proprietary quantitative techniques, including optimization tools, a risk model and a transactions cost model, in identifying a portfolio of stocks that we believe may enhance expected dividend yield while limiting deviations when compared to the S&P 500® Index or MSCI EAFE Index, as applicable. |
∎ | A fully invested, style-consistent portfolio. |
∎ | The Funds seek attractive after-tax cash flow from qualified dividends, long-term capital gains and option call writing. |
∎ | The Funds seek to enhance after-tax returns by generating distributions primarily from qualified dividends and long-term capital gains. |
1 | Dividends are not guaranteed and a company’s future ability to pay dividends may be limited. |
There is no guarantee that these objectives will be met. |
3
PORTFOLIO RESULTS
U.S. Equity Dividend and Premium Fund
Investment Objective
The Fund seeks to maximize income and total return.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs U.S. Equity Dividend and Premium Fund’s (the “Fund”) performance and positioning for the six-month period ended June 30, 2018 (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 Investor Shares generated cumulative total returns, without sales charges, of 1.00%, 0.64%, 1.19% and 1.13%, respectively. These returns compare to the 2.65% cumulative total return of the Fund’s primary benchmark, the Standard & Poor’s 500® Index (with dividends reinvested) (the “S&P 500® Index”), during the same period. The Bloomberg Barclays U.S. Aggregate Bond Index, the secondary benchmark, returned -1.62%. |
For the period since their inception on April 17, 2018 through June 30, 2018, the Fund’s Class P Shares generated a cumulative total return of 0.69% compared to the 0.85% cumulative total return of the S&P 500® Index. The Bloomberg Barclays U.S. Aggregate Bond Index returned 0.59% during the same period. |
For the period since their inception on April 30, 2018 through June 30, 2018, the Fund’s Class R6 Shares generated a cumulative total return of 2.89% compared to the 3.04% cumulative total return of the S&P 500® Index. The Bloomberg Barclays U.S. Aggregate Bond Index returned 0.59% during the same period. |
Although the Fund does not invest in fixed income securities, maximizing income is part of the Fund’s investment objective, and therefore we believe that a comparison of the Fund’s performance to that of the Bloomberg Barclays U.S. Aggregate Bond Index is useful to investors. |
Q | What key factors were most responsible for the Fund’s performance during the Reporting Period? |
A | During the Reporting Period, security selection detracted from relative performance. Specifically, the Fund’s bias toward stocks with higher dividend yields hurt returns. Overall, the Fund was hampered by its holdings in the financials, consumer staples and information technology sectors. It benefited from its investments in the energy and health care sectors. |
The sale of call options on the S&P 500® Index contributed positively to the Fund’s total return during the Reporting Period. A call option is an option that gives the holder the right to buy a certain quantity of an underlying security at an agreed-upon price at any time up to an agreed-upon date. |
Q | How did the Fund’s call writing affect its performance? |
A | Consistent with our investment approach, we wrote index call options on a portion of the stock portfolio’s market value. When the Fund sells an index call option, it retains the premium it receives from the sale. However, if the purchaser exercises the option, the Fund is obligated to pay the purchaser the difference between the price of the index and the exercise price of the option. Although the Fund retains the premium it receives from the sale of the option, the premium may not exceed the difference in the value of the index as call options are exercised. This is what happened during the Reporting Period for certain of the Fund’s options positions, however, our call writing overall added to performance. |
Call option writing has the potential to reduce Fund volatility. Since its inception, the realized daily volatility of the Fund has been 17.44% compared to the realized volatility of the S&P 500® Index of 18.96%. During the Reporting Period, the realized daily volatility of the Fund was 14.47% compared to the realized volatility of the S&P 500® Index of 16.38%.1 |
1 | The realized daily volatility of the Fund quoted herein is for Institutional Shares, net of fees. Based on GSAM calculations. |
4
PORTFOLIO RESULTS
Q | What was the Fund’s dividend yield during the Reporting Period? |
A | While maintaining industry and sector weights consistent with the S&P 500® Index, we favor stocks with higher dividend yields. The dividend yield of the Fund’s Institutional Share class during the Reporting Period was 2.75% compared to 1.96% for the S&P 500® Index. (Dividend yield is a ratio that shows how much a company pays out in dividends in a year divided by its share price.) The Fund’s dividend yield served to enhance its quarterly net income distributions. As of June 30, 2018, the Standardized 30-Day Subsidized Yield was 1.95% and the Standardized 30-Day Unsubsidized Yield was 1.94%.2 |
Q | Which individual stock holdings detracted significantly from relative performance during the Reporting Period? |
A | Relative to the S&P 500® Index, the Fund was hurt by its overweight positions in investment management company Invesco, fashion retailer L Brands and infrastructure businesses owner and operator Macquarie Infrastructure. The Fund was overweight all three stocks primarily due to their attractive dividend yields and/or risk metrics. |
Q | Which individual stock holdings contributed most positively to the Fund’s relative results? |
A | The Fund benefited from underweight positions relative to the S&P 500® Index in industrial conglomerate General Electric and biotechnology company Celgene. An overweight in department store chain Macy’s also contributed positively. The Fund was underweight General Electric and Celgene primarily because of their unattractive yields and/or risk metrics. The overweight in Macy’s was largely due to its attractive dividend yield and/or risk metrics. |
Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
A | During the Reporting Period, we used equity index futures, on an opportunistic basis, to equitize the Fund’s excess cash holdings. In other words, we put the Fund’s excess cash holdings to work by using them as collateral for the purchase of equity index futures. Equity index futures did not have a significant impact on Fund performance during the Reporting Period. Consistent with our investment approach, we also wrote equity index options on a portion of the portfolio’s market value in an effort to generate premiums. Equity index options had a modestly positive impact on performance during the Reporting Period. |
Q | What changes or enhancements did you make to your quantitative model during the Reporting Period? |
A | We made no changes to our quantitative model during the Reporting Period. |
Effective after the close of business on June 29, 2018, the final day of the Reporting Period, the Fund’s non-fundamental policy to invest at least 80% of its net assets in particular assets changed. After that date, the Fund will invest, under normal circumstances, at least 80% of its net assets plus any borrowings for investment purposes (measured at the time of purchase) in dividend-paying equity investments in large-cap U.S. issuers with public stock market capitalizations within the range of the market capitalization of the S&P 500® Index at the time of the investment. |
2 | The Standardized 30-Day Subsidized Yield and Standardized 30-Day Unsubsidized Yield of the Fund quoted herein is for Institutional Shares, net of fees. Based on GSAM calculations. |
5
FUND BASICS
U.S. Equity Dividend and Premium Fund
as of June 30, 2018
PERFORMANCE REVIEW | ||||||||||||||
January 1, 2018–June 30, 2018 | Fund Total Return (based on NAV)1 | S&P 500® Index2 | Bloomberg Barclays U.S. Aggregate Bond Index3 | |||||||||||
Class A | 1.00 | % | 2.65 | % | -1.62 | % | ||||||||
Class C | 0.64 | 2.65 | -1.62 | |||||||||||
Institutional | 1.19 | 2.65 | -1.62 | |||||||||||
Investor | 1.13 | 2.65 | -1.62 | |||||||||||
April 17, 2018–June 30, 2018 | ||||||||||||||
Class P | 0.69 | % | 0.85 | % | 0.59 | % | ||||||||
April 30, 2018–June 30, 2018 | ||||||||||||||
Class R6 | 2.89 | % | 3.04 | % | 0.59 | % |
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 an unmanaged composite index of 500 common stock prices. The Index figures do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
3 | The Bloomberg Barclays U.S. Aggregate Bond Index represents an unmanaged diversified portfolio of fixed income securities, including U.S. Treasuries, investment-grade corporate bonds, and mortgage-backed and asset-backed securities. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
STANDARDIZED TOTAL RETURNS4 | ||||||||||||||||||||||
For the period ended 6/30/18 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||||
Class A | 3.58 | % | 9.35 | % | 7.94 | % | 6.81 | % | 8/31/05 | |||||||||||||
Class C | 7.78 | 9.77 | 7.74 | 6.48 | 8/31/05 | |||||||||||||||||
Institutional | 10.04 | 11.02 | 8.97 | 7.70 | 8/31/05 | |||||||||||||||||
Investor | 9.90 | 10.87 | N/A | 12.66 | 8/31/10 | |||||||||||||||||
Class P | N/A | N/A | N/A | 0.69 | 4/17/18 | |||||||||||||||||
Class R6 | N/A | N/A | N/A | 2.89 | 4/30/18 |
4 | The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 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). Effective July 30, 2018, Class C Shares convert automatically to Class A Shares on or about the fifteenth day of the last month of the calendar quarter that is ten years after the purchase date. The Since Inception returns for Class C Shares do not reflect the conversion to Class A Shares after the first ten years of performance. Because Institutional, Investor, Class P 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.
6
FUND BASICS
Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
EXPENSE RATIOS5 |
| |||||||||
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
Class A | 1.12 | % | 1.15 | % | ||||||
Class C | 1.87 | 1.90 | ||||||||
Institutional | 0.74 | 0.76 | ||||||||
Investor | 0.87 | 0.90 | ||||||||
Class P | 0.73 | 0.75 | ||||||||
Class R6 | 0.73 | 0.75 |
5 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to contractual arrangements, the Fund’s waivers and/or expense limitations will remain in place through at least April 30, 2019, 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. |
STANDARDIZED AFTER-TAX PERFORMANCE AS OF 6/30/186 |
| |||||||||||||
Class A Shares | One Year | Five Years | Ten Years | |||||||||||
Returns before taxes* | 3.58 | % | 9.35 | % | 7.94 | % | ||||||||
Returns after taxes on distributions** | 2.01 | 7.86 | 6.88 | |||||||||||
Returns after taxes on distributions*** and sale of Fund shares | 2.97 | 7.13 | 6.27 |
6 | The after-tax returns are calculated using the historically highest individual federal marginal income tax rates at the time of distributions and do not reflect state and local taxes. The 2017 tax rates (23.8% for qualifying ordinary income dividends and long-term capital gain distributions and 43.4% for non-qualifying ordinary income dividends) and tax characteristics of distributions were used to estimate after-tax returns in 2018. Actual after-tax returns will be calculated at calendar year-end and depend on an investor’s tax situation and may differ from those shown. In addition, the after-tax returns shown are not relevant to investors who hold Fund shares through tax-deferred arrangements such as 401(k) plans or individual retirement accounts. Under certain circumstances, the addition of the tax benefits from capital losses resulting from redemptions may cause the Returns After Taxes on Distributions and Sale of Fund Shares to be greater than the Returns After Taxes on Distributions or even Returns Before Taxes. Standardized after-tax returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.5% for Class A Shares. |
* | Returns Before Taxes do not reflect taxes on distributions on the Fund’s Class A Shares nor do they show how performance can be impacted by taxes when shares are redeemed. |
** | Returns After Taxes on Distributions assume that taxes are paid on distributions on the Fund’s Class A Shares (i.e., dividends and capital gains) but do not reflect taxes that may be incurred upon redemption of the Class A Shares at the end of the performance period. |
*** | Returns After Taxes on Distributions and Sale of Fund Shares reflect taxes paid on distributions on the Fund’s Class A Shares and taxes applicable when the shares are redeemed. |
7
FUND BASICS
TOP TEN HOLDINGS AS OF 6/30/187 | ||||||||
Holding | % of Net Assets | Line of Business | ||||||
Apple, Inc. | 3.9 | % | Technology Hardware & Equipment | |||||
Microsoft Corp. | 3.6 | Software & Services | ||||||
Amazon.com, Inc. | 3.0 | Retailing | ||||||
Facebook, Inc. Class A | 2.0 | Software & Services | ||||||
Exxon Mobil Corp. | 1.9 | Energy | ||||||
Chevron Corp. | 1.8 | Energy | ||||||
Pfizer, Inc. | 1.7 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
AT&T, Inc. | 1.5 | Telecommunication Services | ||||||
JPMorgan Chase & Co. | 1.5 | Banks | ||||||
Johnson & Johnson | 1.4 | Pharmaceuticals, Biotechnology & Life Sciences |
7 | The top 10 holdings may not be representative of the Fund’s future investments. |
FUND VS. BENCHMARK SECTOR ALLOCATIONS8 |
As of June 30, 2018 |
8 | 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 0.1% of the Fund’s net assets at June 30, 2018. 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
International Equity Dividend and Premium Fund
Investment Objective
The Fund seeks to maximize total return with an emphasis on income.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs International Equity Dividend and Premium Fund’s (the “Fund”) performance and positioning for the six-month period ended June 30, 2018 (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 Investor Shares generated cumulative total returns, without sales charges, of -4.20%, -4.51%, -3.97% and -4.05%, respectively. These returns compare to the -2.75% cumulative total return of the Fund’s primary benchmark, the MSCI EAFE Index (net, USD, unhedged). The Bloomberg Barclays Global Aggregate Bond Index (USD, Unhedged), the secondary benchmark, returned -1.46%. |
For the period since their inception on April 17, 2018 through June 30, 2018, the Fund’s Class P Shares generated a cumulative total return of -5.52% compared to the -3.57% cumulative total return of the MSCI EAFE Index. The Bloomberg Barclays Global Aggregate Bond Index returned -2.83% during the same period. |
For the period since their inception on April 30, 2018 through June 30, 2018, the Fund’s Class R6 Shares generated a cumulative total return of -4.29% compared to the -3.44% cumulative total return of the MSCI EAFE Index. The Bloomberg Barclays Global Aggregate Bond Index returned -1.20% during the same period. |
Although the Fund does not invest in fixed income securities, maximizing income is part of the Fund’s investment objective, and therefore we believe that a comparison of the Fund’s performance to that of the Bloomberg Barclays Global Aggregate Bond Index is useful to investors. |
Q | What key factors were most responsible for the Fund’s performance during the Reporting Period? |
A | Security selection hurt relative returns during the Reporting Period, as the Fund’s bias toward stocks with higher dividend yields detracted from performance. Overall, the Fund was hindered by investments in the telecommunication services, consumer discretionary and health care sectors. It was helped by holdings in the materials, financials and utilities sectors. |
The sale of call options on the MSCI EAFE Index had a rather neutral impact on the Fund’s total return during the Reporting Period. A call option is an option that gives the holder the right to buy a certain quantity of an underlying security at an agreed-upon price at any time up to an agreed-upon date. |
Q | How did the Fund’s call writing affect its performance? |
A | Consistent with our investment approach, we wrote index call options on a portion of the stock portfolio’s market value. When the Fund sells an index call option, it retains the premium it receives from the sale. However, if the purchaser exercises the option, the Fund is obligated to pay the purchaser the difference between the price of the index and the exercise price of the option. While the Fund retains the premium it receives from the sale of the option, the premium may not exceed the difference in the value of the index as call options are exercised. During the Reporting Period, the total amount of premiums the Fund retained was offset by the difference in the value of the index when call options were exercised. Therefore, our call writing had a neutral impact on Fund performance during the Reporting Period. |
Call option writing has the potential to reduce Fund volatility. However, since its inception, the realized daily volatility of the Fund has been 20.57% compared to the realized volatility of the MSCI EAFE Index of 19.02%. During the Reporting Period, the realized daily volatility of the Fund was 9.04% compared to the realized volatility of the MSCI EAFE Index of 8.81%.1 |
1The | realized daily volatility of the Fund quoted herein is for Institutional Shares, net of fees. Based on GSAM calculations. |
9
PORTFOLIO RESULTS
Q | What was the Fund’s dividend yield during the Reporting Period? |
A | While maintaining industry and sector weights consistent with the MSCI EAFE Index, we favor stocks with higher dividend yields. The dividend yield of the Fund’s Institutional Share class during the Reporting Period was 4.20% compared to 3.17% for the MSCI EAFE Index. (Dividend yield is a ratio that shows how much a company pays out in dividends in a year divided by its share price.) The Fund’s dividend yield served to enhance its quarterly net income distributions. As of June 30, 2018, the Standardized 30-Day Subsidized Yield was 3.27% and the Standardized 30-Day Unsubsidized Yield was 3.27%.2 |
Q | Which individual stock holdings detracted significantly from relative performance during the Reporting Period? |
A | During the Reporting Period, the Fund was hurt by overweight positions relative to the MSCI EAFE Index in German automobile maker Daimler, French retailer Casino Guichard-Perrachon and British telecommunications conglomerate Vodafone. It was overweight all three stocks largely because of their attractive dividend yield and/or risk metrics. |
Q | Which individual stock holdings contributed most positively to the Fund’s relative results? |
A | Compared to the MSCI EAFE Index, the Fund benefited from overweight positions in U.K. pharmaceutical manufacturer GlaxoSmithKline and Norwegian seafood company Marine Harvest. An underweight in German financial services company Deutsche Bank also added to relative performance. The Fund was overweight GlaxoSmithKline and Marine Harvest mainly because of their attractive dividend yields and/or risk metrics. The underweight in Deutsche Bank was largely due to its unattractive yield and/or risk metrics. |
Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
A | During the Reporting Period, we used equity index futures, on an opportunistic basis, to equitize the Fund’s excess cash holdings. In other words, we put the Fund’s excess cash holdings to work by using them as collateral for the purchase of equity index futures. Equity index futures did not have a significant impact on Fund performance during the Reporting Period. Consistent with our investment approach, we also wrote equity index options on a portion of the portfolio’s market value in an effort to generate premiums. Equity index options had a rather neutral impact on performance during the Reporting Period. |
Q | What changes or enhancements did you make to your quantitative model during the Reporting Period? |
A | We made no changes to our quantitative model during the Reporting Period. |
Effective after the close of business on June 29, 2018, the final day of the Reporting Period, the Fund’s non-fundamental policy to invest at least 80% of its net assets in particular assets changed. After that date, the Fund will invest, under normal circumstances, at least 80% of its net assets plus any borrowings for investment purposes (measured at the time of purchase) in dividend-paying equity investments in non-U.S. issuers with public stock market capitalizations within the range of the market capitalization of the MSCI EAFE Index (Net, USD, Unhedged) at the time of investment. |
2 | The Standardized 30-Day Subsidized Yield and Standardized 30-Day Unsubsidized Yield of the Fund quoted herein is for Institutional Shares, net of fees. Based on GSAM calculations. |
10
FUND BASICS
International Equity Dividend and Premium Fund
as of June 30, 2018
PERFORMANCE REVIEW |
| |||||||||||||
January 1, 2018–June 30, 2018 | Fund Total Return (based on NAV)1 | MSCI EAFE Index (net, USD, unhedged)2 | Bloomberg Barclays Global Aggregate Bond Index (gross, USD, unhedged)3 | |||||||||||
Class A | -4.20 | % | -2.75 | % | -1.46 | % | ||||||||
Class C | -4.51 | -2.75 | -1.46 | |||||||||||
Institutional | -3.97 | -2.75 | -1.46 | |||||||||||
Investor | -4.05 | -2.75 | -1.46 | |||||||||||
April 17, 2018–June 30, 2018 | ||||||||||||||
Class P | -5.52 | % | -3.57 | % | -2.83 | % | ||||||||
April 30, 2018–June 30, 2018 | ||||||||||||||
Class R6 | -4.29 | % | -3.44 | % | -1.20 | % |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The MSCI EAFE Index (net, USD, unhedged) is an unmanaged market capitalization-weighted composite of securities in 21 developed markets. The Index figures do not include any deduction for fees or expenses. It is not possible to invest directly in an index. |
3 | The Bloomberg Barclays Global Aggregate Bond Index (gross, USD, unhedged) represents an unmanaged diversified portfolio of fixed income securities, including U.S. Treasuries, investment-grade corporate bonds, and mortgage-backed and asset-backed securities. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
STANDARDIZED TOTAL RETURNS4 |
| |||||||||||||||||||
For the period ended 6/30/18 | One Years | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
Class A | -2.35 | % | 3.11 | % | 1.05 | % | 0.40 | % | 1/31/08 | |||||||||||
Class C | 1.46 | 3.49 | 0.72 | 0.07 | 1/31/08 | |||||||||||||||
Institutional | 3.64 | 4.68 | 1.87 | 1.22 | 1/31/08 | |||||||||||||||
Investor | 3.51 | 4.52 | N/A | 5.04 | 8/31/10 | |||||||||||||||
Class P | N/A | N/A | N/A | -5.52 | 4/17/18 | |||||||||||||||
Class R6 | N/A | N/A | N/A | -4.29 | 4/30/18 |
4 | The Standardized Total Returns are average annual total returns or cumulative total returns (only if the performance period is one year or less) as of the most recent calendar quarter-end. They assume reinvestment of all distributions at NAV. These returns reflect a maximum initial sales charge of 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). Effective July 30, 2018, Class C Shares convert automatically to Class A Shares on or about the fifteenth day of the last month of the calendar quarter that is ten years after the purchase date. The Since Inception returns for Class C Shares do not reflect the conversion to Class A Shares after the first ten years of performance. Because Institutional, Investor, Class P 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.
11
FUND BASICS
Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
EXPENSE RATIOS5 |
| |||||||||
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
Class A | 1.33 | % | 1.34 | % | ||||||
Class C | 2.08 | 2.09 | ||||||||
Institutional | 0.94 | 0.95 | ||||||||
Investor | 1.08 | 1.09 | ||||||||
Class P | 0.93 | 0.94 | ||||||||
Class R6 | 0.93 | 0.94 |
5 | The expense ratios of the Fund, both current (net of applicable fee waivers and/or expense limitations) and before waivers (gross of applicable fee waivers and/or expense limitations) are as set forth above according to the most recent publicly available Prospectus for the Fund and may differ from the expense ratios disclosed in the Financial Highlights in this report. Pursuant to contractual arrangements, the Fund’s waivers and/or expense limitations will remain in place through at least April 30, 2019, 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. |
STANDARDIZED AFTER-TAX PERFORMANCE AS OF 6/30/186 |
| |||||||||||||
Class A Shares | One Year | Five Years | Ten Years | |||||||||||
Returns before taxes* | -2.35 | % | 3.11 | % | 1.05 | % | ||||||||
Returns after taxes on distributions** | -3.11 | 2.29 | 0.45 | |||||||||||
Returns after taxes on distributions*** | -1.00 | 2.49 | 0.99 |
6 | The after-tax returns are calculated using the historically highest individual federal marginal income tax rates at the time of distributions and do not reflect state and local taxes. The 2017 tax rates (23.8% for qualifying ordinary income dividends and long-term capital gain distributions and 43.4% for non-qualifying ordinary income dividends) and tax characteristics of distributions were used to estimate after-tax returns in 2018. Actual after-tax returns will be calculated at calendar year-end and depend on an investor’s tax situation and may differ from those shown. In addition, the after-tax returns shown are not relevant to investors who hold Fund shares through tax-deferred arrangements such as 401(k) plans or individual retirement accounts. Under certain circumstances, the addition of the tax benefits from capital losses resulting from redemptions may cause the Returns After Taxes on Distributions and Sale of Fund Shares to be greater than the Returns After Taxes on Distributions or even Returns Before Taxes. Standardized after-tax returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.5% for Class A Shares. |
* | Returns Before Taxes do not reflect taxes on distributions on the Fund’s Class A Shares nor do they show how performance can be impacted by taxes when shares are redeemed. |
** | Returns After Taxes on Distributions assume that taxes are paid on distributions on the Fund’s Class A Shares (i.e., dividends and capital gains) but do not reflect taxes that may be incurred upon redemption of the Class A Shares at the end of the performance period. |
*** | Returns After Taxes on Distributions and Sale of Fund Shares reflect taxes paid on distributions on the Fund’s Class A Shares and taxes applicable when the shares are redeemed. |
12
FUND BASICS
TOP TEN HOLDINGS AS OF 6/30/187 | ||||||||
Company | % of Net Assets | Line of Business | ||||||
HSBC Holdings plc | 2.4 | % | Banks | |||||
GlaxoSmithKline plc ADR | 1.7 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
Novartis AG (Registered) | 1.4 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
Nestle SA (Registered) | 1.4 | Food, Beverage & Tobacco | ||||||
Toyota Motor Corp. | 1.3 | Automobiles & Components | ||||||
BP plc ADR | 1.3 | Energy | ||||||
Daimler AG (Registered) | 1.2 | Automobiles & Components | ||||||
Roche Holding AG | 1.2 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
National Australia Bank Ltd. | 1.2 | Banks | ||||||
Vodafone Group plc ADR | 1.1 | Telecommunication Services |
7 | The top 10 holdings may not be representative of the Fund’s future investments. |
FUND VS. BENCHMARK SECTOR ALLOCATIONS8 |
As of June 30, 2018 |
8 | 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 0.6% of the Fund’s net assets at June 30, 2018. 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
What Differentiates the Goldman Sachs Global Tax-Management Investment Process?
In managing money for many of the world’s wealthiest taxable investors, Goldman Sachs often constructs a diversified investment portfolio around a tax-managed core. With the Goldman Sachs U.S. Tax-Managed Equity Fund and Goldman Sachs International Tax-Managed Equity Fund, investors can access Goldman Sachs’ tax-smart investment expertise while capitalizing on this same strategic approach to portfolio construction.
Goldman Sachs Global Tax-Management Investment Process
The Goldman Sachs Global Tax-Management investment process is a disciplined quantitative approach that has been consistently applied since 1989. With the Goldman Sachs U.S. Tax-Managed Equity Fund and the Goldman Sachs International Tax-Managed Equity Fund, the investment process is enhanced with an additional layer that seeks to maximize after-tax returns.
∎ | Comprehensive |
∎ | Extensive |
∎ | Rigorous |
∎ | Fundamental |
∎ | Objective |
∎ | Insightful |
Advantage: Daily analysis of approximately 3,000 U.S. and international equity securities using a proprietary model.
∎ | Benchmark driven |
∎ | Sector and size neutral |
∎ | Tax optimized |
Tax optimization is an additional layer that is built into the existing investment process — a distinct advantage. While other managers may simply seek to minimize taxable distributions through a low turnover strategy, this extension of the investment process seeks to maximize after-tax returns — the true objective of every taxable investor.
Advantage: Value added through stock selection — not market timing, industry rotation or style bias.
∎ | A fully invested, style-consistent portfolio |
∎ | Broad access to the total U.S. and international equity markets |
∎ | A consistent goal of seeking to maximize after-tax risk-adjusted returns |
14
PORTFOLIO RESULTS
U.S. Tax-Managed Equity Fund
Investment Objective
The Fund seeks to provide long-term after-tax growth of capital through tax-sensitive participation in a broadly diversified portfolio of U.S. equity securities.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs U.S. Tax-Managed Equity Fund’s (the “Fund”) performance and positioning for the six-month period ended June 30, 2018 (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 and Investor Shares generated cumulative total returns, without sales charges, of 3.44%, 3.11%, 3.65%, 3.38% and 3.61%, respectively. This compares to the 3.22% cumulative total return of the Fund’s benchmark, the Russell 3000® Index (the “Index”), over the same time period. |
For the period since their inception on April 17, 2018 through June 30, 2018, the Fund’s Class P Shares generated a cumulative total return of 0.47% compared to the 1.29% cumulative total return of the Index. |
For the period since their inception on April 30, 2018 through June 30, 2018, the Fund’s Class R6 Shares generated a cumulative total return of 2.66% compared to the 3.50% cumulative total return of the Index. |
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 adding 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 its 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 the Fund’s 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 quantitative model’s six investment themes — Quality, Momentum, Profitability and Sentiment — contributed positively to relative performance. 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 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. |
Our Valuation theme detracted from the Fund’s relative returns. The Valuation theme attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value. |
The impact of our Management theme was rather neutral during the Reporting Period. 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. |
15
PORTFOLIO RESULTS
Q | How successful was your stock selection during the Reporting Period? |
A | The Fund seeks to provide investors with a tax-efficient means for maintaining broadly diversified exposure to the entire U.S. equity market, ranging from large- to small-cap stocks. During the Reporting Period, individual stock positions in the industrials, energy and financials sectors bolstered relative returns. Selection in the consumer discretionary, consumer staples and materials sectors hurt relative performance. |
Q | Which individual stock holdings contributed most positively to the Fund’s relative results? |
A | Relative to the Index, the Fund benefited from overweight positions in independent petroleum refiner Valero Energy, software company Adobe Systems and semiconductor producer Micron Technology. We adopted the overweight in Valero Energy due to our positive views on Valuation and Quality. The overweight in Adobe Systems was based on our positive views on Sentiment and Profitability. Our positive views on Valuation and Sentiment led us to overweight Micron Technology. |
Q | Which individual stock holdings detracted significantly from relative performance during the Reporting Period? |
A | During the Reporting Period, the Fund was hurt by overweight positions compared to the Index in energy company Chevron and aerospace and defense company Lockheed Martin. Fund performance was also hampered by an underweight in financial services firm Mastercard. The overweights in Chevron and Lockheed Martin were based on our positive views on Sentiment and Quality. We chose to underweight Mastercard due to our negative views on Valuation and Profitability. |
Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
A | During the Reporting Period, we did not use derivatives as part of an active management strategy to add value to the Fund’s results. However, we used equity index futures, on an opportunistic basis, to equitize the Fund’s excess cash holdings. In other words, we put the Fund’s excess cash holdings to work by using them as collateral for the purchase of equity index futures. Equity index futures did not have a significant impact on Fund performance during the Reporting Period. |
Q | What changes or enhancements did you make to your quantitative model during the Reporting Period? |
A | During the Reporting Period, we made some enhancements to our quantitative model within the U.S. region. Within our Sentiment theme, we introduced two new signals that use options data to gauge sentiment around companies. The first signal looks at high-conviction option purchases to assess how strongly market participants feel about the prospects of a particular stock. The second signal aims to infer the positive or negative sentiment around a stock by looking at put and call options purchased for the particular company. (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, but not the obligation, to buy an underlying asset at an agreed-upon price at any time up to an agreed-upon date.) |
We also introduced a new signal within our Momentum theme that helps us create economic links between different companies, potentially giving us insight into price movements of related companies. The signal uses natural language processing techniques to read through various sections in the patent document to form linkages. |
Q | How was the Fund positioned relative to the Index at the end of the Reporting Period? |
A | In constructing the Fund’s portfolio, we focus on picking stocks rather than on making industry or sector bets. Consequently, the Fund is similar to the Index in terms of its sector allocation and style. That said, at the end of the Reporting Period, the Fund was overweight relative to the Index in the health care, consumer discretionary and real estate sectors. It was underweight compared to the Index in the information technology, telecommunication services, consumer staples, utilities and financials sectors. The Fund was relatively neutral in the energy, industrials and materials sectors at the end of the Reporting Period. |
Effective after the close of business on June 29, 2018, the final day of the Reporting Period, the Fund’s non-fundamental policy to invest at least 80% of its net assets in particular assets changed. After that date, the Fund will invest, under normal circumstances, at least 80% of its net assets plus any borrowings for investment purposes (measured at the time of purchase) in equity investments in U.S. issuers. |
16
FUND BASICS
U.S. Tax-Managed Equity Fund
as of June 30, 2018
PERFORMANCE REVIEW | ||||||||||
Jan | Fund Total Return (based on NAV)1 | Russell 3000® Index2 | ||||||||
Class A | 3.44 | % | 3.22 | % | ||||||
Class C | 3.11 | 3.22 | ||||||||
Institutional | 3.65 | 3.22 | ||||||||
Service | 3.38 | 3.22 | ||||||||
Investor | 3.61 | 3.22 | ||||||||
April 17, 2018–June 30, 2018 | ||||||||||
Class P | 0.47 | % | 1.29 | % | ||||||
April 30, 2018–June 30, 2018 | ||||||||||
Class R6 | 2.66 | % | 3.50 | % |
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 3000® Index is an unmanaged index that measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market. 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 6/30/18 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||
Class A | 8.45 | % | 11.64 | % | 8.88 | % | 5.01 | % | 4/3/00 | |||||||||||
Class C | 12.94 | 12.08 | 8.68 | 4.55 | 4/3/00 | |||||||||||||||
Institutional | 15.19 | 13.36 | 9.94 | 5.76 | 4/3/00 | |||||||||||||||
Service | 14.64 | 12.78 | 9.38 | 5.23 | 4/3/00 | |||||||||||||||
Investor | 15.11 | 13.19 | N/A | 15.71 | 8/31/10 | |||||||||||||||
Class P | N/A | N/A | N/A | 0.47 | 4/17/18 | |||||||||||||||
Class R6 | N/A | N/A | N/A | 2.66 | 4/30/18 |
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). Effective July 30, 2018, Class C Shares convert automatically to Class A Shares on or about the fifteenth day of the last month of the calendar quarter that is ten years after the purchase date. The Since Inception returns for Class C Shares do not reflect the conversion to Class A Shares after the first ten years of performance. Because Institutional, Service, Investor, Class P 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.
17
FUND BASICS
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) | |||||||||
Class A | 1.14 | % | 1.14 | % | ||||||
Class C | 1.89 | 1.89 | ||||||||
Institutional | 0.75 | 0.75 | ||||||||
Service | 1.25 | 1.25 | ||||||||
Investor | 0.89 | 0.89 | ||||||||
Class P | 0.74 | 0.74 | ||||||||
Class R6 | 0.74 | 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. |
STANDARDIZED AFTER-TAX PERFORMANCE AS OF 6/30/185 |
| |||||||||||||
Class A Shares | One Year | Five Years | Ten Years | |||||||||||
Returns before taxes* | 8.45 | % | 11.64 | % | 8.88 | % | ||||||||
Returns after taxes on distributions** | 8.32 | 11.44 | 8.70 | |||||||||||
Returns after taxes on distributions*** and sale of Fund shares | 4.88 | 9.25 | 7.25 |
5 | The after-tax returns are calculated using the historically highest individual federal marginal income tax rates at the time of distributions and do not reflect state and local taxes. The 2017 tax rates (23.8% for qualifying ordinary income dividends and long-term capital gain distributions and 43.4% for non-qualifying ordinary income dividends) and tax characteristics of distributions were used to estimate after-tax returns in 2018. Actual after-tax returns will be calculated at calendar year-end and depend on an investor’s tax situation and may differ from those shown. In addition, the after-tax returns shown are not relevant to investors who hold Fund shares through tax-deferred arrangements such as 401(k) plans or individual retirement accounts. Under certain circumstances, the addition of the tax benefits from capital losses resulting from redemptions may cause the Returns After Taxes on Distributions and Sale of Fund Shares to be greater than the Returns After Taxes on Distributions or even Returns Before Taxes. Standardized after-tax returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.5% for Class A Shares. |
* | Returns Before Taxes do not reflect taxes on distributions on the Fund’s Class A Shares nor do they show how performance can be impacted by taxes when shares are redeemed. |
** | Returns After Taxes on Distributions assume that taxes are paid on distributions on the Fund’s Class A Shares (i.e., dividends and capital gains) but do not reflect taxes that may be incurred upon redemption of the Class A Shares at the end of the performance period. |
*** | Returns After Taxes on Distributions and Sale of Fund Shares reflect taxes paid on distributions on the Fund’s Class A Shares and taxes applicable when the shares are redeemed. |
18
FUND BASICS
TOP TEN HOLDINGS AS OF 6/30/186 | ||||||||
Holding | % of Net Assets | Line of Business | ||||||
Amazon.com, Inc. | 2.4 | % | Retailing | |||||
Apple, Inc. | 2.3 | Technology Hardware & Equipment | ||||||
Johnson & Johnson | 2.1 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
Microsoft Corp. | 2.1 | Software & Services | ||||||
Bank of America Corp. | 2.0 | Banks | ||||||
Facebook, Inc. Class A | 1.6 | Software & Services | ||||||
Valero Energy Corp. | 1.5 | Energy | ||||||
Comcast Corp. Class A | 1.4 | Media | ||||||
Adobe Systems, Inc. | 1.4 | Software & Services | ||||||
Boeing Co. (The) | 1.3 | Capital Goods |
6 | The top 10 holdings may not be representative of the Fund’s future investments. |
FUND VS. BENCHMARK SECTOR ALLOCATIONS7 |
As of June 30, 2018 |
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 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. |
19
PORTFOLIO RESULTS
International Tax-Managed Equity Fund
Investment Objective
The Fund seeks to provide long-term after-tax growth of capital through tax-sensitive participation in a broadly diversified portfolio of international equity securities.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs International Tax-Managed Equity Fund’s (the “Fund”) performance and positioning for the six-month period ended June 30, 2018 (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 Investor Shares generated cumulative total returns, without sales charges, of -2.10%, -2.36%, -1.84% and -1.92%, respectively. This compares to the -2.75% cumulative total return of the Fund’s benchmark, the MSCI EAFE Index (net, USD, unhedged) (the “Index”), during the same time period. |
For the period since their inception on April 17, 2018 through June 30, 2018, the Fund’s Class P Shares generated a cumulative total return of -3.79% compared to the -3.57% cumulative total return of the Index. |
For the period since their inception on April 30, 2018 through June 30, 2018, the Fund’s Class R6 Shares generated a cumulative total return of -2.47% compared to the -3.44% cumulative total return of the Index. |
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 three of our quantitative model’s six investment themes contributing 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 its 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 the Fund’s 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, three of our quantitative model’s six investment themes added to the Fund’s relative performance. Momentum, Sentiment and Quality 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. |
Our Valuation and Profitability themes detracted from the Fund’s relative results. The Valuation theme attempts to capture potential mispricings of securities, typically by comparing a measure of the company’s intrinsic value to its market value. The Profitability theme assesses whether a company is earning more than its cost of capital. |
The impact of our Management theme was rather neutral during the Reporting Period. The Management theme assesses the characteristics, policies and strategic decisions of company management. |
Q | How did the Fund 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 |
20
PORTFOLIO RESULTS
sector or industry weights generally do not have a meaningful impact on relative performance. |
Q | How successful was your stock selection during the Reporting Period? |
A | The Fund seeks to provide investors with a tax-efficient means for maintaining broadly diversified exposure to the entire EAFE equity market. During the Reporting Period, stock selection in the consumer staples, financials and energy sectors added to relative results. Investments in the industrials, materials and real estate sectors detracted from relative performance. |
Q | Which individual stock holdings contributed most positively to the Fund’s relative results? |
A | During the Reporting Period, the Fund benefited most relative to the Index from its overweights in Shiseido, a Japan-based maker of personal care products; Aker BP, a Norwegian oil exploration and development company; and Taiyo Yuden, a Japanese materials and electronics manufacturer. The overweights in Shiseido and Aker BP were based on our positive views on Momentum and Sentiment. Our positive views on Profitability and Quality led us to overweight Taiyo Yuden. |
Q | Which individual stock holdings detracted significantly from relative performance during the Reporting Period? |
A | The Fund was hampered by its overweight positions compared to the Index in Air France-KLM, Deutsche Lufthansa and Mitsubishi UFJ Financial Group. The Fund was overweight French-Dutch airline company Air France-KLM because of our positive views on Valuation and Profitability. We chose to overweight German airline company Deutsche Lufthansa due to our positive views on Sentiment and Valuation. The overweight in Japanese financial services company Mitsubishi UFJ Financial Group was the result 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 did not use derivatives as part of an active management strategy to add value to the Fund’s results. However, we used equity index futures, on an opportunistic basis, to equitize the Fund’s excess cash holdings. In other words, we put the Fund’s excess cash holdings to work by using them as collateral for the purchase of equity index futures. Equity index futures did not have a significant impact on Fund performance during the Reporting Period. |
Q | What changes or enhancements did you make to your quantitative model during the Reporting Period? |
A | During the Reporting Period, we made some enhancements to our quantitative model within international regions. Within our Momentum theme, we introduced two signals that help us create economic links between different companies, potentially giving us insight into price movements of related companies. The first signal, introduced in the Europe, Japan and emerging markets regions, uses natural language processing techniques to read through various sections in the patent document to form linkages. The second signal, introduced in the Japan region, uses natural language processing techniques to analyze various sections within companies’ annual financial statements. |
Q | How was the Fund positioned relative to the Index at the end of the Reporting Period? |
A | In constructing the Fund’s portfolio, we focus on picking stocks rather than on country weightings. Consequently, the Fund is similar to the Index in terms of its sector and country allocations. That said, at the end of the Reporting Period, the Fund was overweight the energy, consumer discretionary, health care and information technology sectors relative to the Index. It was underweight the telecommunication services, real estate, industrials and financials sectors. The Fund was relatively neutrally weighted in the consumer staples, materials and utilities sectors at the end of the Reporting Period. |
At the end of the Reporting Period, the Fund was overweight compared to the Index in Japan, Norway, Spain, Netherlands, Denmark and Hong Kong. Relative to the Index, it was underweight the U.K., France and Switzerland. The Fund was rather neutrally weighted relative to the Index in Italy, Belgium, Australia, New Zealand, Singapore, Portugal, Austria, Israel, Ireland, Finland, Sweden and Germany at the end of the Reporting Period. |
Effective after the close of business on June 29, 2018, the final day of the Reporting Period, the Fund’s non-fundamental policy to invest at least 80% of its net assets in particular assets changed. After that date, the Fund will invest, under normal circumstances, at least 80% of its net assets plus any borrowings for investment purposes (measured at the time of purchase) in equity investments in non-U.S. issuers. |
21
FUND BASICS
International Tax-Managed Equity Fund
as of June 30, 2018
PERFORMANCE REVIEW | ||||||||||
January 1, 2018–June 30, 2018 | Fund Total Return (based on NAV)1 | MSCI EAFE Index (net, USD, unhedged)2 | ||||||||
Class A | -2.10 | % | -2.75 | % | ||||||
Class C | -2.36 | -2.75 | ||||||||
Institutional | -1.84 | -2.75 | ||||||||
Investor | -1.92 | -2.75 | ||||||||
April 17, 2018–June 30, 2018 | ||||||||||
Class P | -3.79 | % | -3.57 | % | ||||||
April 30, 2018–June 30, 2018 | ||||||||||
Class R6 | -2.47 | % | -3.44 | % |
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 unmanaged MSCI EAFE Index (net, USD, unhedged) is a market capitalization-weighted composite of securities in 21 developed markets. The Index figures 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 6/30/18 | One Year | Five Years | Ten Years | Since Inception | Inception Date | |||||||||||||||||
Class A | 2.68 | % | 6.60 | % | 2.31 | % | 2.00 | % | 1/31/08 | |||||||||||||
Class C | 6.85 | 7.01 | 2.12 | 1.80 | 1/31/08 | |||||||||||||||||
Institutional | 9.15 | 8.25 | 3.31 | 2.97 | 1/31/08 | |||||||||||||||||
Investor | 8.90 | 8.07 | N/A | 8.26 | 8/31/10 | |||||||||||||||||
Class P | N/A | N/A | N/A | -3.79 | 4/17/18 | |||||||||||||||||
Class R6 | N/A | N/A | N/A | -2.47 | 4/30/18 |
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). Effective July 30, 2018, Class C Shares convert automatically to Class A Shares on or about the fifteenth day of the last month of the calendar quarter that is ten years after the purchase date. The Since Inception returns for Class C Shares do not reflect the conversion to Class A Shares after the first ten years of performance. Because Institutional, Investor, Class P and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Standardized Total Returns. |
The returns set forth in the tables above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
22
FUND BASICS
EXPENSE RATIOS4 |
| |||||||||
Net Expense Ratio (Current) | Gross Expense Ratio (Before Waivers) | |||||||||
Class A | 1.29 | % | 1.35 | % | ||||||
Class C | 2.04 | 2.10 | ||||||||
Institutional | 0.90 | 0.96 | ||||||||
Investor | 1.04 | 1.10 | ||||||||
Class P | 0.89 | 0.95 | ||||||||
Class R6 | 0.89 | 0.95 |
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 contractual arrangements, the Fund’s waivers and/or expense limitations will remain in place through at least April 30, 2019, 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. |
STANDARDIZED AFTER–TAX PERFORMANCE AS OF 6/30/185 |
| |||||||||||||
Class A Shares | One Year | Five Years | Ten Years | |||||||||||
Returns before taxes* | 2.68 | % | 6.60 | % | 2.31 | % | ||||||||
Returns after taxes on distributions** | 2.44 | 6.29 | 2.03 | |||||||||||
Returns after taxes on distributions*** and sale of Fund shares | 2.00 | 5.21 | 1.86 |
5 | The after-tax returns are calculated using the historically highest individual federal marginal income tax rates at the time of distributions and do not reflect state and local taxes. The 2017 tax rates (23.8% for qualifying ordinary income dividends and long-term capital gain distributions and 43.4% for non-qualifying ordinary income dividends) and tax characteristics of distributions were used to estimate after-tax returns in 2018. Actual after-tax returns will be calculated at calendar year-end and depend on an investor’s tax situation and may differ from those shown. In addition, the after-tax returns shown are not relevant to investors who hold Fund shares through tax-deferred arrangements such as 401(k) plans or individual retirement accounts. Under certain circumstances, the addition of the tax benefits from capital losses resulting from redemptions may cause the Returns After Taxes on Distributions and Sale of Fund Shares to be greater than the Returns After Taxes on Distributions or even Returns Before Taxes. Standardized after-tax returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.5% for Class A Shares. |
* | Returns Before Taxes do not reflect taxes on distributions on the Fund’s Class A Shares nor do they show how performance can be impacted by taxes when shares are redeemed. |
** | Returns After Taxes on Distributions assume that taxes are paid on distributions on the Fund’s Class A Shares (i.e., dividends and capital gains) but do not reflect taxes that may be incurred upon redemption of the Class A Shares at the end of the performance period. |
*** | Returns After Taxes on Distributions and Sale of Fund Shares reflect taxes paid on distributions on the Fund’s Class A Shares and taxes applicable when the shares are redeemed. |
23
FUND BASICS
TOP TEN HOLDINGS AS OF 6/30/186 | ||||||||
Holding | % of Net Assets | Line of Business | ||||||
BP plc ADR | 1.6 | % | Energy | |||||
AIA Group Ltd. | 1.3 | Insurance | ||||||
Allianz SE (Registered) | 1.2 | Insurance | ||||||
BASF SE | 1.2 | Materials | ||||||
Diageo plc | 1.1 | Food, Beverage & Tobacco | ||||||
Shiseido Co. Ltd. | 1.1 | Household & Personal Products | ||||||
International Consolidated Airlines Group SA | 1.0 | Transportation | ||||||
Eni SpA | 0.9 | Energy | ||||||
Sumitomo Mitsui Financial Group, Inc. | 0.9 | Banks | ||||||
Kering SA | 0.9 | Consumer Durables & Apparel |
6 | The top 10 holdings may not be representative of the Fund’s future investments. |
FUND VS. BENCHMARK SECTOR ALLOCATIONS7 |
As of June 30, 2018 |
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 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 0.4% of the Fund’s net assets at June 30, 2018. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
24
FUND BASICS
Russell 1000® Index measures the performance of the large-cap segment of the U.S. equity universe. The Russell 1000® Index is a subset of the Russell 3000® Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000® Index represents approximately 92% of the U.S. market. The Russell 1000® Index is constructed to provide a comprehensive and unbiased barometer for the large-cap segment and is completely reconstituted annually to ensure new and growing equities are reflected.
Russell Midcap® Index measures the performance of the mid-cap segment of the U.S. equity universe. The Russell Midcap® Index is a subset of the Russell 1000® Index. The Russell Midcap® Index includes approximately 800 of the smallest securities based on a combination of their market cap and current index membership. The Russell Midcap® Index represents approximately 31% of the total market capitalization of the Russell 1000® Index companies. The Russell Midcap® Index is constructed to provide a comprehensive and unbiased barometer for the mid-cap segment. The Russell Midcap® Index is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true mid-cap opportunity set.
Russell 2000® Index measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000® Index is a subset of the Russell 3000® Index representing approximately 10% of the total market capitalization of that index. The Russell 2000® Index includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership. The Russell 2000® Index is constructed to provide a comprehensive and unbiased small-cap barometer and is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-cap opportunity set.
It is not possible to invest directly in an unmanaged index.
25
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
June 30, 2018 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 100.7% | ||||||||
Automobiles & Components – 1.2% | ||||||||
2,474,100 | Ford Motor Co. | $ | 27,388,287 | |||||
355,800 | General Motors Co. | 14,018,520 | ||||||
|
| |||||||
41,406,807 | ||||||||
|
| |||||||
Banks – 7.0% | ||||||||
1,279,565 | Bank of America Corp. | 36,070,937 | ||||||
153,000 | BB&T Corp. | 7,717,320 | ||||||
171,300 | Citigroup, Inc. | 11,463,396 | ||||||
398,100 | FNB Corp. | 5,342,502 | ||||||
922,900 | Huntington Bancshares, Inc. | 13,622,004 | ||||||
490,729 | JPMorgan Chase & Co. | 51,133,962 | ||||||
1,770,000 | New York Community Bancorp, Inc.(a) | 19,540,800 | ||||||
371,500 | PacWest Bancorp | 18,359,530 | ||||||
1,416,900 | People’s United Financial, Inc.(a) | 25,631,721 | ||||||
36,000 | PNC Financial Services Group, Inc. (The) | 4,863,600 | ||||||
52,600 | TFS Financial Corp. | 829,502 | ||||||
695,599 | Wells Fargo & Co. | 38,564,009 | ||||||
|
| |||||||
233,139,283 | ||||||||
|
| |||||||
Capital Goods – 6.7% | ||||||||
115,200 | 3M Co. | 22,662,144 | ||||||
104,799 | Boeing Co. (The) | 35,161,113 | ||||||
153,100 | Caterpillar, Inc. | 20,771,077 | ||||||
55,300 | Cummins, Inc. | 7,354,900 | ||||||
264,799 | Eaton Corp. plc | 19,791,077 | ||||||
330,900 | Emerson Electric Co. | 22,878,426 | ||||||
131,300 | Fastenal Co. | 6,319,469 | ||||||
467,903 | General Electric Co. | 6,368,160 | ||||||
98,900 | Honeywell International, Inc. | 14,246,545 | ||||||
270,400 | Johnson Controls International plc | 9,044,880 | ||||||
99,336 | Lockheed Martin Corp. | 29,346,834 | ||||||
8,100 | MSC Industrial Direct Co., Inc. Class A | 687,285 | ||||||
23,900 | Raytheon Co. | 4,617,002 | ||||||
115,200 | United Technologies Corp. | 14,403,456 | ||||||
51,500 | Watsco, Inc. | 9,181,420 | ||||||
|
| |||||||
222,833,788 | ||||||||
|
| |||||||
Commercial & Professional Services – 0.5% | ||||||||
95,401 | KAR Auction Services, Inc. | 5,227,936 | ||||||
223,300 | Nielsen Holdings plc | 6,906,669 | ||||||
596,303 | Pitney Bowes, Inc. | 5,110,308 | ||||||
|
| |||||||
17,244,913 | ||||||||
|
| |||||||
Consumer Durables & Apparel – 1.1% | ||||||||
108,100 | Garmin Ltd. | 6,594,100 | ||||||
177,900 | Newell Brands, Inc. | 4,588,041 | ||||||
152,600 | Tapestry, Inc. | 7,127,946 | ||||||
184,500 | Tupperware Brands Corp. | 7,608,780 | ||||||
138,200 | VF Corp. | 11,266,064 | ||||||
|
| |||||||
37,184,931 | ||||||||
|
| |||||||
Consumer Services – 2.7% | ||||||||
207,300 | Carnival Corp. | 11,880,363 | ||||||
93,700 | Darden Restaurants, Inc. | 10,031,522 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Consumer Services – (continued) | ||||||||
309,801 | Extended Stay America, Inc. | 6,694,800 | ||||||
15,147 | International Game Technology plc | 352,016 | ||||||
202,300 | Las Vegas Sands Corp. | 15,447,628 | ||||||
192,399 | McDonald’s Corp. | 30,146,999 | ||||||
202,300 | Six Flags Entertainment Corp.(b) | 14,171,115 | ||||||
10,800 | Vail Resorts, Inc. | 2,961,252 | ||||||
|
| |||||||
91,685,695 | ||||||||
|
| |||||||
Diversified Financials – 3.6% | ||||||||
41,000 | Ameriprise Financial, Inc. | 5,735,080 | ||||||
154,239 | Berkshire Hathaway, Inc. Class B* | 28,788,709 | ||||||
743,800 | BGC Partners, Inc. Class A | 8,419,816 | ||||||
14,700 | BlackRock, Inc. | 7,335,888 | ||||||
23,700 | CME Group, Inc. | 3,884,904 | ||||||
24,800 | Eaton Vance Corp. | 1,294,312 | ||||||
170,800 | Federated Investors, Inc. Class B | 3,983,056 | ||||||
775,400 | Invesco Ltd. | 20,594,624 | ||||||
161,600 | Janus Henderson Group plc | 4,965,968 | ||||||
53,400 | Legg Mason, Inc. | 1,854,582 | ||||||
3,700 | LPL Financial Holdings, Inc. | 242,498 | ||||||
203,900 | Morgan Stanley | 9,664,860 | ||||||
674,400 | Navient Corp. | 8,787,432 | ||||||
130,800 | T. Rowe Price Group, Inc. | 15,184,572 | ||||||
|
| |||||||
120,736,301 | ||||||||
|
| |||||||
Energy – 7.2% | ||||||||
467,000 | Chevron Corp.(c) | 59,042,810 | ||||||
130,000 | ConocoPhillips | 9,050,600 | ||||||
780,200 | Exxon Mobil Corp.(a)(c) | 64,545,946 | ||||||
62,700 | Helmerich & Payne, Inc. | 3,997,752 | ||||||
11,100 | HollyFrontier Corp. | 759,573 | ||||||
507,400 | Kinder Morgan, Inc. | 8,965,758 | ||||||
78,000 | Marathon Petroleum Corp. | 5,472,480 | ||||||
5,000 | Murphy Oil Corp. | 168,850 | ||||||
64,900 | Nabors Industries Ltd. | 416,009 | ||||||
385,200 | Occidental Petroleum Corp. | 32,233,536 | ||||||
260,900 | ONEOK, Inc. | 18,218,647 | ||||||
15,100 | PBF Energy, Inc. Class A | 633,143 | ||||||
41,900 | Phillips 66 | 4,705,789 | ||||||
25,900 | RPC, Inc.(b) | 377,363 | ||||||
251,700 | Schlumberger Ltd. | 16,871,451 | ||||||
72,400 | Valero Energy Corp. | 8,024,092 | ||||||
249,100 | Williams Cos., Inc. (The) | 6,753,101 | ||||||
|
| |||||||
240,236,900 | ||||||||
|
| |||||||
Food & Staples Retailing – 0.9% | ||||||||
77,500 | Sysco Corp. | 5,292,475 | ||||||
280,941 | Walmart, Inc. | 24,062,597 | ||||||
|
| |||||||
29,355,072 | ||||||||
|
| |||||||
Food, Beverage & Tobacco – 3.7% | ||||||||
237,659 | Altria Group, Inc. | 13,496,654 | ||||||
961,000 | Coca-Cola Co. (The)(c) | 42,149,460 | ||||||
90,800 | Flowers Foods, Inc. | 1,891,364 | ||||||
396,600 | General Mills, Inc. | 17,553,516 | ||||||
232,300 | Kraft Heinz Co. (The) | 14,593,086 | ||||||
117,702 | PepsiCo, Inc. | 12,814,217 | ||||||
284,000 | Philip Morris International, Inc. | 22,930,160 | ||||||
|
| |||||||
125,428,457 | ||||||||
|
|
26 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Health Care Equipment & Services – 5.6% | ||||||||
558,542 | Abbott Laboratories | $ | 34,065,477 | |||||
2,000 | ABIOMED, Inc.* | 818,100 | ||||||
43,800 | Aetna, Inc. | 8,037,300 | ||||||
14,600 | Align Technology, Inc.* | 4,995,244 | ||||||
43,887 | Anthem, Inc. | 10,446,423 | ||||||
74,700 | Becton Dickinson and Co. | 17,895,132 | ||||||
148,200 | Cardinal Health, Inc. | 7,236,606 | ||||||
217,878 | CVS Health Corp. | 14,020,449 | ||||||
15,200 | Intuitive Surgical, Inc.* | 7,272,896 | ||||||
371,954 | Medtronic plc | 31,842,982 | ||||||
210,600 | Patterson Cos., Inc. | 4,774,302 | ||||||
25,100 | Stryker Corp. | 4,238,386 | ||||||
164,971 | UnitedHealth Group, Inc.(c) | 40,473,985 | ||||||
|
| |||||||
186,117,282 | ||||||||
|
| |||||||
Household & Personal Products – 1.6% | ||||||||
109,099 | Kimberly-Clark Corp. | 11,492,489 | ||||||
542,599 | Procter & Gamble Co. (The)(c) | 42,355,278 | ||||||
|
| |||||||
53,847,767 | ||||||||
|
| |||||||
Insurance – 2.5% | ||||||||
162,705 | Arthur J Gallagher & Co. | 10,621,282 | ||||||
4,700 | Erie Indemnity Co. Class A | 551,122 | ||||||
88,000 | First American Financial Corp. | 4,551,360 | ||||||
149,900 | FNF Group | 5,639,238 | ||||||
228,900 | Mercury General Corp. | 10,428,684 | ||||||
354,700 | MetLife, Inc. | 15,464,920 | ||||||
688,301 | Old Republic International Corp. | 13,704,073 | ||||||
204,300 | Principal Financial Group, Inc. | 10,817,685 | ||||||
128,600 | Prudential Financial, Inc. | 12,025,386 | ||||||
|
| |||||||
83,803,750 | ||||||||
|
| |||||||
Materials – 2.8% | ||||||||
66,800 | Air Products & Chemicals, Inc. | 10,402,764 | ||||||
86,400 | Domtar Corp. | 4,124,736 | ||||||
424,949 | DowDuPont, Inc. | 28,012,638 | ||||||
29,000 | Huntsman Corp. | 846,800 | ||||||
275,500 | International Paper Co. | 14,348,040 | ||||||
169,400 | LyondellBasell Industries NV Class A | 18,608,590 | ||||||
77,900 | Newmont Mining Corp. | 2,937,609 | ||||||
66,000 | Olin Corp. | 1,895,520 | ||||||
42,200 | Praxair, Inc. | 6,673,930 | ||||||
26,500 | Southern Copper Corp. | 1,242,055 | ||||||
77,900 | WestRock Co. | 4,441,858 | ||||||
|
| |||||||
93,534,540 | ||||||||
|
| |||||||
Media – 1.3% | ||||||||
120,900 | Cinemark Holdings, Inc. | 4,241,172 | ||||||
677,616 | Comcast Corp. Class A | 22,232,581 | ||||||
494,800 | Interpublic Group of Cos., Inc. (The) | 11,598,112 | ||||||
72,200 | Omnicom Group, Inc. | 5,506,694 | ||||||
|
| |||||||
43,578,559 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences – 8.1% | ||||||||
406,885 | AbbVie, Inc.(a)(c) | 37,697,895 | ||||||
11,600 | ACADIA Pharmaceuticals, Inc.* | 177,132 | ||||||
1,300 | Agios Pharmaceuticals, Inc.* | 109,499 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences – (continued) | ||||||||
9,700 | Alnylam Pharmaceuticals, Inc.* | 955,353 | ||||||
196,300 | Amgen, Inc. | 36,235,017 | ||||||
305,700 | Bristol-Myers Squibb Co. | 16,917,438 | ||||||
199,800 | Eli Lilly & Co. | 17,048,934 | ||||||
16,800 | Exelixis, Inc.* | 361,536 | ||||||
264,200 | Gilead Sciences, Inc. | 18,715,928 | ||||||
23,000 | Illumina, Inc.* | 6,423,670 | ||||||
5,539 | Ionis Pharmaceuticals, Inc.* | 230,810 | ||||||
395,900 | Johnson & Johnson(c) | 48,038,506 | ||||||
517,150 | Merck & Co., Inc. | 31,391,005 | ||||||
900 | Neurocrine Biosciences, Inc.* | 88,416 | ||||||
1,561,499 | Pfizer, Inc.(c) | 56,651,184 | ||||||
4,824 | TESARO, Inc.* | 214,523 | ||||||
|
| |||||||
271,256,846 | ||||||||
|
| |||||||
Real Estate Investment Trusts – 2.6% | ||||||||
126,300 | American Tower Corp. | 18,208,671 | ||||||
13,800 | CoreSite Realty Corp. | 1,529,316 | ||||||
147,400 | Crown Castle International Corp. | 15,892,668 | ||||||
60,300 | CyrusOne, Inc. | 3,519,108 | ||||||
3,000 | DCT Industrial Trust, Inc. | 200,190 | ||||||
68,200 | Digital Realty Trust, Inc. | 7,609,756 | ||||||
32,300 | Equinix, Inc. | 13,885,447 | ||||||
32,100 | Equity LifeStyle Properties, Inc. | 2,949,990 | ||||||
140,500 | Prologis, Inc. | 9,229,445 | ||||||
66,000 | SBA Communications Corp.* | 10,897,920 | ||||||
40,900 | Sun Communities, Inc. | 4,003,292 | ||||||
|
| |||||||
87,925,803 | ||||||||
|
| |||||||
Retailing – 6.4% | ||||||||
59,221 | Amazon.com, Inc.*(c) | 100,663,856 | ||||||
2,100 | Booking Holdings, Inc.* | 4,256,889 | ||||||
246,900 | GameStop Corp. Class A(b) | 3,597,333 | ||||||
119,500 | Gap, Inc. (The) | 3,870,605 | ||||||
39,100 | Genuine Parts Co. | 3,588,989 | ||||||
164,975 | Home Depot, Inc. (The) | 32,186,622 | ||||||
409,500 | L Brands, Inc. | 15,102,360 | ||||||
414,300 | Macy’s, Inc. | 15,507,249 | ||||||
74,590 | Netflix, Inc.* | 29,196,764 | ||||||
79,800 | Target Corp. | 6,074,376 | ||||||
3,000 | Williams-Sonoma, Inc. | 184,140 | ||||||
|
| |||||||
214,229,183 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 5.0% | ||||||||
118,500 | Applied Materials, Inc. | 5,473,515 | ||||||
108,191 | Broadcom, Inc. | 26,251,464 | ||||||
379,100 | Cypress Semiconductor Corp. | 5,906,378 | ||||||
637,600 | Intel Corp. | 31,695,096 | ||||||
209,800 | Maxim Integrated Products, Inc. | 12,306,868 | ||||||
114,100 | Micron Technology, Inc.* | 5,983,404 | ||||||
90,825 | NVIDIA Corp. | 21,516,442 | ||||||
387,300 | QUALCOMM, Inc. | 21,735,276 | ||||||
341,850 | Texas Instruments, Inc.(c) | 37,688,963 | ||||||
|
| |||||||
168,557,406 | ||||||||
|
| |||||||
Software & Services – 15.2% | ||||||||
126,200 | Accenture plc Class A | 20,645,058 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 27 |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Software & Services – (continued) | ||||||||
148,585 | Activision Blizzard, Inc. | $ | 11,340,007 | |||||
56,900 | Adobe Systems, Inc.* | 13,872,789 | ||||||
40,603 | Alphabet, Inc. Class A* | 45,848,502 | ||||||
41,182 | Alphabet, Inc. Class C* | 45,944,698 | ||||||
57,600 | Autodesk, Inc.* | 7,550,784 | ||||||
130,400 | Automatic Data Processing, Inc. | 17,491,856 | ||||||
332,001 | CA, Inc. | 11,835,836 | ||||||
352,342 | Facebook, Inc. Class A*(c) | 68,467,097 | ||||||
2,200 | GoDaddy, Inc. Class A* | 155,320 | ||||||
169,900 | International Business Machines Corp. | 23,735,030 | ||||||
4,001 | Leidos Holdings, Inc. | 236,059 | ||||||
13,000 | LogMeIn, Inc. | 1,342,250 | ||||||
43,800 | Mastercard, Inc. Class A | 8,607,576 | ||||||
9,400 | Match Group, Inc.*(b) | 364,156 | ||||||
2,778 | MercadoLibre, Inc. | 830,428 | ||||||
1,230,350 | Microsoft Corp.(a)(c) | 121,324,813 | ||||||
476,377 | Oracle Corp. | 20,989,171 | ||||||
445,700 | Paychex, Inc. | 30,463,595 | ||||||
97,800 | PayPal Holdings, Inc.* | 8,143,806 | ||||||
32,100 | Sabre Corp. | 790,944 | ||||||
78,512 | salesforce.com, Inc.* | 10,709,037 | ||||||
5,762 | ServiceNow, Inc.* | 993,772 | ||||||
2,800 | Twitter, Inc.* | 122,276 | ||||||
169,767 | Visa, Inc. Class A | 22,485,639 | ||||||
645,600 | Western Union Co. (The) | 13,125,048 | ||||||
7,000 | Workday, Inc. Class A* | 847,840 | ||||||
4,300 | Yandex NV Class A* | 154,370 | ||||||
|
| |||||||
508,417,757 | ||||||||
|
| |||||||
Technology Hardware & Equipment – 6.2% | ||||||||
706,988 | Apple, Inc. (c) | 130,870,549 | ||||||
1,059,548 | Cisco Systems, Inc.(c) | 45,592,350 | ||||||
355,700 | HP, Inc. | 8,070,833 | ||||||
16,500 | National Instruments Corp. | 692,670 | ||||||
52,500 | NetApp, Inc. | 4,122,825 | ||||||
151,200 | Seagate Technology plc | 8,538,264 | ||||||
71,600 | Western Digital Corp. | 5,542,556 | ||||||
147,400 | Xerox Corp. | 3,537,600 | ||||||
|
| |||||||
206,967,647 | ||||||||
|
| |||||||
Telecommunication Services – 2.8% | ||||||||
1,608,028 | AT&T, Inc.(c) | 51,633,779 | ||||||
831,400 | Verizon Communications, Inc.(a) | 41,827,734 | ||||||
|
| |||||||
93,461,513 | ||||||||
|
| |||||||
Transportation – 2.2% | ||||||||
10,400 | Copa Holdings SA Class A | 984,048 | ||||||
115,000 | CSX Corp. | 7,334,700 | ||||||
112,400 | Delta Air Lines, Inc. | 5,568,296 | ||||||
43,300 | Norfolk Southern Corp. | 6,532,671 | ||||||
135,200 | Union Pacific Corp. | 19,155,136 | ||||||
328,300 | United Parcel Service, Inc. Class B | 34,875,309 | ||||||
|
| |||||||
74,450,160 | ||||||||
|
| |||||||
Utilities – 3.8% | ||||||||
473,700 | Dominion Energy, Inc. | 32,296,866 | ||||||
328,200 | Duke Energy Corp. | 25,954,056 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Utilities – (continued) | ||||||||
58,700 | Entergy Corp. | 4,742,373 | ||||||
997,800 | PPL Corp. | 28,487,190 | ||||||
124,100 | SCANA Corp. | 4,780,332 | ||||||
703,501 | Southern Co. (The) | 32,579,131 | ||||||
|
| |||||||
128,839,948 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $2,886,924,022) | $ | 3,374,240,308 | ||||||
|
|
Shares | Distribution Rate | Value | ||||||
Investment Company(d) – 0.1% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
2,385,176 | 1.869% | $ | 2,385,176 | |||||
(Cost $2,385,176) | ||||||||
|
| |||||||
| TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | | ||||||
(Cost $2,889,309,198) | $ | 3,376,625,484 | ||||||
|
| |||||||
Securities Lending Reinvestment Vehicle(d) – 0.1% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
4,224,875 | 1.869% | $ | 4,224,875 | |||||
(Cost $4,224,875) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 100.9% | ||||||||
(Cost $2,893,534,073) | $ | 3,380,850,359 | ||||||
|
| |||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS – (0.9)% | (30,054,306 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% | $ | 3,350,796,053 | ||||||
|
|
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) | All or a portion of security is segregated as collateral for call options written. | |
(d) | Represents an Affiliated Issuer. |
| ||
Currency Abbreviation: | ||
USD | —United States Dollar | |
|
28 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At June 30, 2018, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Short position contracts: | ||||||||||||||||
S&P 500 E-Mini Index | (133 | ) | 09/21/2018 | $ | (18,098,640 | ) | $ | 405,078 |
WRITTEN OPTIONS CONTRACTS — At June 30, 2018, the Fund had the following written options contracts:
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Value | Premiums Paid (Received) by the Fund | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Written options contracts: | ||||||||||||||||||||||||||||||
Calls | ||||||||||||||||||||||||||||||
S&P 500 Index | Morgan Stanley Co., Inc. | 2,690.00 USD | 07/31/2018 | 1,670 | $ | (453,967,790 | ) | $ | (11,823,600 | ) | $ | (8,897,760 | ) | $ | (2,925,840 | ) | ||||||||||||||
2,730.00 USD | 08/31/2018 | 1,630 | (443,094,310 | ) | (8,557,500 | ) | (8,961,740 | ) | 404,240 | |||||||||||||||||||||
2,765.00 USD | 09/28/2018 | 1,628 | (442,550,636 | ) | (7,570,200 | ) | (7,566,944 | ) | (3,256 | ) | ||||||||||||||||||||
Total written options contracts | 4,928 | $ | (27,951,300 | ) | $ | (25,426,444 | ) | $ | (2,524,856 | ) |
The accompanying notes are an integral part of these financial statements. | 29 |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Schedule of Investments
June 30, 2018 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 96.5% | ||||||||
Australia – 8.6% | ||||||||
815,843 | Alumina Ltd. (Materials) | $ | 1,688,294 | |||||
84,591 | AMP Ltd. (Diversified Financials) | 222,491 | ||||||
80,307 | APA Group (Utilities) | 585,071 | ||||||
147,649 | Aurizon Holdings Ltd. (Transportation) | 472,173 | ||||||
51,256 | Australia & New Zealand Banking Group Ltd. (Banks) | 1,072,767 | ||||||
281,159 | Bank of Queensland Ltd. (Banks) | 2,116,948 | ||||||
68,467 | Bendigo & Adelaide Bank Ltd. (Banks) | 548,500 | ||||||
89,208 | BHP Billiton Ltd. (Materials) | 2,232,164 | ||||||
55,970 | BHP Billiton plc (Materials) | 1,256,103 | ||||||
132,882 | Coca-Cola Amatil Ltd. (Food, Beverage & Tobacco) | 903,817 | ||||||
37,066 | Commonwealth Bank of Australia (Banks) | 1,999,065 | ||||||
88,682 | Fortescue Metals Group Ltd. (Materials) | 287,948 | ||||||
468,100 | Harvey Norman Holdings Ltd. (Retailing) | 1,149,993 | ||||||
295,544 | Insurance Australia Group Ltd. (Insurance) | 1,864,499 | ||||||
225,602 | National Australia Bank Ltd. (Banks) | 4,580,761 | ||||||
11,241 | Rio Tinto Ltd. (Materials) | 694,529 | ||||||
11,619 | Rio Tinto plc (Materials) | 640,422 | ||||||
35,860 | Rio Tinto plc ADR (Materials)(a) | 1,989,513 | ||||||
2,307 | Sonic Healthcare Ltd. (Health Care Equipment & Services) | 41,849 | ||||||
101,296 | South32 Ltd. (Materials) | 270,493 | ||||||
138,474 | Suncorp Group Ltd. (Insurance) | 1,493,373 | ||||||
954 | Sydney Airport (Transportation) | 5,050 | ||||||
350,980 | Tabcorp Holdings Ltd. (Consumer Services) | 1,157,041 | ||||||
922,068 | Telstra Corp. Ltd. (Telecommunication Services) | 1,783,409 | ||||||
146,536 | Transurban Group (Transportation) | 1,297,622 | ||||||
99,411 | Wesfarmers Ltd. (Food & Staples Retailing) | 3,627,140 | ||||||
14,560 | Westpac Banking Corp. (Banks) | 316,199 | ||||||
263 | Woodside Petroleum Ltd. (Energy) | 6,892 | ||||||
|
| |||||||
34,304,126 | ||||||||
|
| |||||||
Austria – 0.1% | ||||||||
2,273 | OMV AG (Energy) | 128,556 | ||||||
2,800 | voestalpine AG (Materials)(a) | 128,752 | ||||||
|
| |||||||
257,308 | ||||||||
|
| |||||||
Belgium – 1.9% | ||||||||
8,442 | Ageas (Insurance) | 424,997 | ||||||
35,048 | Anheuser-Busch InBev SA/NV (Food, Beverage & Tobacco)(a) | 3,535,116 | ||||||
32,190 | KBC Group NV (Banks) | 2,472,195 | ||||||
46,481 | Proximus SADP (Telecommunication Services) | 1,045,456 | ||||||
212 | Solvay SA (Materials)(a) | 26,699 | ||||||
|
| |||||||
7,504,463 | ||||||||
|
| |||||||
Denmark – 1.5% | ||||||||
17,829 | Coloplast A/S Class B (Health Care Equipment & Services) | 1,780,089 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Denmark – (continued) | ||||||||
52,406 | Novo Nordisk A/S Class B (Pharmaceuticals, Biotechnology & Life Sciences) | 2,420,663 | ||||||
67,814 | Tryg A/S (Insurance) | 1,588,095 | ||||||
|
| |||||||
5,788,847 | ||||||||
|
| |||||||
Finland – 2.0% | ||||||||
62,269 | Fortum OYJ (Utilities) | 1,483,193 | ||||||
23,393 | Kone OYJ Class B (Capital Goods)(a) | 1,189,429 | ||||||
12,595 | Metso OYJ (Capital Goods) | 420,108 | ||||||
165,527 | Nokia OYJ (Technology Hardware & Equipment) | 949,443 | ||||||
13,400 | Nokian Renkaat OYJ (Automobiles & Components) | 527,665 | ||||||
24,794 | Orion OYJ Class B (Pharmaceuticals, Biotechnology & Life Sciences) | 666,835 | ||||||
34,811 | Sampo OYJ Class A (Insurance)(a) | 1,695,320 | ||||||
12,922 | Stora Enso OYJ Class R (Materials) | 251,746 | ||||||
22,129 | UPM-Kymmene OYJ (Materials) | 787,905 | ||||||
|
| |||||||
7,971,644 | ||||||||
|
| |||||||
France – 8.9% | ||||||||
15,140 | Accor SA (Consumer Services)(a) | 741,496 | ||||||
156 | Aeroports de Paris (Transportation) | 35,239 | ||||||
7,025 | Air Liquide SA (Materials) | 880,550 | ||||||
12,766 | Airbus SE (Capital Goods) | 1,489,726 | ||||||
31,802 | AXA SA (Insurance) | 777,043 | ||||||
24,706 | BNP Paribas SA (Banks)(a) | 1,528,238 | ||||||
36,142 | Bouygues SA (Capital Goods)(a) | 1,552,950 | ||||||
8,909 | Capgemini SE (Software & Services)(a) | 1,193,894 | ||||||
39,682 | Casino Guichard Perrachon SA (Food & Staples Retailing)(a)(b) | 1,535,723 | ||||||
36,180 | Credit Agricole SA (Banks) | 480,200 | ||||||
10,779 | Danone SA (Food, Beverage & Tobacco) | 787,002 | ||||||
16,638 | Edenred (Commercial & Professional Services) | 525,540 | ||||||
71,283 | Electricite de France SA (Utilities) | 978,135 | ||||||
237,980 | Engie SA (Utilities)(a) | 3,640,262 | ||||||
9,925 | Eutelsat Communications SA (Media) | 205,400 | ||||||
1,685 | Kering SA (Consumer Durables & Apparel)(a) | 949,160 | ||||||
2,358 | Klepierre SA (REIT)(a) | 88,598 | ||||||
24,354 | Lagardere SCA (Media) | 641,686 | ||||||
746 | L’Oreal SA (Household & Personal Products)(a) | 183,909 | ||||||
9,353 | LVMH Moet Hennessy Louis Vuitton SE (Consumer Durables & Apparel)(a) | 3,105,373 | ||||||
167,707 | Natixis SA (Diversified Financials) | 1,186,620 | ||||||
5,546 | Orange SA (Telecommunication Services) | 92,575 | ||||||
8,050 | Renault SA (Automobiles & Components) | 682,008 | ||||||
71,573 | Rexel SA (Capital Goods) | 1,027,439 | ||||||
35,412 | Sanofi (Pharmaceuticals, Biotechnology & Life Sciences)(a) | 2,842,150 | ||||||
50,850 | Schneider Electric SE (Capital Goods)(a) | 4,229,030 | ||||||
|
|
30 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
France – (continued) | ||||||||
22,267 | Societe Generale SA (Banks)(a) | $ | 935,880 | |||||
12,100 | Suez (Utilities) | 156,526 | ||||||
43,204 | TOTAL SA (Energy)(a) | 2,623,596 | ||||||
1,055 | Unibail-Rodamco-Westfield (REIT)(a) | 232,103 | ||||||
|
| |||||||
35,328,051 | ||||||||
|
| |||||||
Germany – 7.6% | ||||||||
17,594 | Allianz SE (Registered) (Insurance)(a) | 3,625,327 | ||||||
5,186 | Axel Springer SE (Media) | 374,767 | ||||||
33,020 | BASF SE (Materials)(a) | 3,152,372 | ||||||
17,394 | Bayer AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences)(a) | 1,910,272 | ||||||
13,810 | Bayerische Motoren Werke AG (Automobiles & Components) | 1,248,320 | ||||||
15,417 | Bayerische Motoren Werke AG (Preference) (Automobiles & Components)(a)(c) | 1,226,391 | ||||||
76,468 | Daimler AG (Registered) (Automobiles & Components)(a) | 4,898,319 | ||||||
3,471 | Deutsche Boerse AG (Diversified Financials) | 461,484 | ||||||
44,018 | Deutsche Post AG (Registered) (Transportation)(a) | 1,430,161 | ||||||
15,811 | Evonik Industries AG (Materials)(a) | 540,953 | ||||||
12,634 | FUCHS PETROLUB SE (Preference) (Materials)(c) | 621,674 | ||||||
10,954 | HUGO BOSS AG (Consumer Durables & Apparel)(a) | 993,408 | ||||||
2,666 | Linde AG (Materials) | 633,385 | ||||||
1,994 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) (Insurance)(a) | 419,224 | ||||||
41,092 | ProSiebenSat.1 Media SE (Media)(a) | 1,039,895 | ||||||
139 | Puma SE (Consumer Durables & Apparel) | 81,205 | ||||||
16,581 | SAP SE (Software & Services)(a) | 1,913,742 | ||||||
18,669 | Siemens AG (Registered) (Capital Goods)(a) | 2,459,750 | ||||||
3,862 | Symrise AG (Materials)(a) | 337,826 | ||||||
408,994 | Telefonica Deutschland Holding AG (Telecommunication Services) | 1,608,966 | ||||||
5,335 | TUI AG (Consumer Services) | 116,687 | ||||||
6,303 | United Internet AG (Registered) (Software & Services)(a) | 359,850 | ||||||
1,037 | Volkswagen AG (Preference) (Automobiles & Components)(c) | 171,323 | ||||||
8,788 | Vonovia SE (Real Estate)(a) | 417,688 | ||||||
|
| |||||||
30,042,989 | ||||||||
|
| |||||||
Hong Kong – 3.1% | ||||||||
138,600 | AIA Group Ltd. (Insurance) | 1,207,402 | ||||||
24,600 | ASM Pacific Technology Ltd. (Semiconductors & Semiconductor Equipment) | 310,047 | ||||||
49,408 | CK Asset Holdings Ltd. (Real Estate) | 391,129 | ||||||
9,000 | CK Infrastructure Holdings Ltd. (Utilities) | 66,625 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Hong Kong – (continued) | ||||||||
59,000 | Galaxy Entertainment Group Ltd. (Consumer Services) | 454,799 | ||||||
111,000 | Hang Lung Properties Ltd. (Real Estate) | 228,002 | ||||||
32,500 | Hang Seng Bank Ltd. (Banks) | 811,537 | ||||||
12,100 | Henderson Land Development Co. Ltd. (Real Estate) | 63,807 | ||||||
674,792 | Hong Kong & China Gas Co. Ltd. (Utilities) | 1,289,888 | ||||||
46,300 | Hong Kong Exchanges & Clearing Ltd. (Diversified Financials) | 1,385,645 | ||||||
59,600 | Hongkong Land Holdings Ltd. (Real Estate) | 426,076 | ||||||
27,000 | Hysan Development Co. Ltd. (Real Estate) | 150,700 | ||||||
82,014 | I-CABLE Communications Ltd. (Media)* | 1,280 | ||||||
8,100 | Jardine Matheson Holdings Ltd. (Capital Goods) | 510,407 | ||||||
5,300 | Jardine Strategic Holdings Ltd. (Capital Goods) | 193,071 | ||||||
316,000 | Link REIT (REIT) | 2,881,727 | ||||||
67,500 | MTR Corp. Ltd. (Transportation) | 372,846 | ||||||
135,262 | Sino Land Co. Ltd. (Real Estate) | 219,797 | ||||||
34,000 | Sun Hung Kai Properties Ltd. (Real Estate) | 512,242 | ||||||
58,200 | Swire Properties Ltd. (Real Estate) | 214,640 | ||||||
24,000 | Techtronic Industries Co. Ltd. (Consumer Durables & Apparel) | 133,293 | ||||||
16,000 | Wharf Holdings Ltd. (The) (Real Estate) | 51,237 | ||||||
83,000 | Wharf Real Estate Investment Co. Ltd. (Real Estate) | 589,363 | ||||||
|
| |||||||
12,465,560 | ||||||||
|
| |||||||
Ireland – 0.2% | ||||||||
24,569 | CRH plc (Materials)(a) | 864,198 | ||||||
|
| |||||||
Israel – 0.3% | ||||||||
562,979 | Bezeq The Israeli Telecommunication Corp. Ltd. (Telecommunication Services) | 634,477 | ||||||
63,751 | Israel Chemicals Ltd. (Materials) | 292,082 | ||||||
14,757 | Teva Pharmaceutical Industries Ltd. ADR (Pharmaceuticals, Biotechnology & Life Sciences)(a) | 358,890 | ||||||
|
| |||||||
1,285,449 | ||||||||
|
| |||||||
Italy – 1.8% | ||||||||
41,324 | Assicurazioni Generali SpA (Insurance) | 690,854 | ||||||
54,886 | Atlantia SpA (Transportation)(a) | 1,618,161 | ||||||
121,624 | Eni SpA (Energy)(a) | 2,255,076 | ||||||
351,387 | Intesa Sanpaolo SpA RNC (Banks) | 1,061,715 | ||||||
322,192 | Intesa Sanpaolo SpA (Banks) | 932,189 | ||||||
49,946 | Snam SpA (Energy) | 208,146 | ||||||
158,777 | UnipolSai Assicurazioni SpA (Insurance)(d) | 350,157 | ||||||
|
| |||||||
7,116,298 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 31 |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Japan – 22.7% | ||||||||
2,400 | ABC-Mart, Inc. (Retailing) | $ | 131,178 | |||||
13,000 | AEON Financial Service Co. Ltd. (Diversified Financials) | 277,082 | ||||||
19,100 | Alfresa Holdings Corp. (Health Care Equipment & Services) | 448,512 | ||||||
3,500 | Alps Electric Co. Ltd. (Technology Hardware & Equipment) | 89,888 | ||||||
20,900 | Aozora Bank Ltd. (Banks) | 793,189 | ||||||
26,200 | Asahi Glass Co. Ltd. (Capital Goods) | 1,019,076 | ||||||
41,000 | Asahi Kasei Corp. (Materials) | 519,939 | ||||||
7,700 | Astellas Pharma, Inc. (Pharmaceuticals, Biotechnology & Life Sciences) | 117,183 | ||||||
1,600 | Benesse Holdings, Inc. (Consumer Services) | 56,740 | ||||||
53,100 | Bridgestone Corp. (Automobiles & Components) | 2,074,238 | ||||||
119,600 | Canon, Inc. (Technology Hardware & Equipment) | 3,921,869 | ||||||
18,200 | Casio Computer Co. Ltd. (Consumer Durables & Apparel) | 295,587 | ||||||
12,100 | Chugai Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 633,563 | ||||||
31,100 | Chugoku Electric Power Co., Inc. (The) (Utilities) | 401,753 | ||||||
39,200 | Daicel Corp. (Materials) | 433,037 | ||||||
9,700 | Dai-ichi Life Holdings, Inc. (Insurance) | 172,637 | ||||||
2,800 | Daikin Industries Ltd. (Capital Goods) | 334,637 | ||||||
6,600 | Daito Trust Construction Co. Ltd. (Real Estate) | 1,073,646 | ||||||
22,200 | Daiwa House Industry Co. Ltd. (Real Estate) | 755,285 | ||||||
236,000 | Daiwa Securities Group, Inc. (Diversified Financials) | 1,367,825 | ||||||
2,900 | Denso Corp. (Automobiles & Components) | 141,503 | ||||||
2,100 | Dentsu, Inc. (Media) | 99,410 | ||||||
1,500 | Disco Corp. (Semiconductors & Semiconductor Equipment) | 255,365 | ||||||
14,700 | Eisai Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 1,034,734 | ||||||
9,500 | FANUC Corp. (Capital Goods) | 1,883,012 | ||||||
900 | Fast Retailing Co. Ltd. (Retailing) | 412,502 | ||||||
13,000 | Fuji Electric Co. Ltd. (Capital Goods) | 98,750 | ||||||
5,200 | Hamamatsu Photonics KK (Technology Hardware & Equipment) | 223,223 | ||||||
1,300 | Hikari Tsushin, Inc. (Retailing) | 228,149 | ||||||
48,300 | Hino Motors Ltd. (Capital Goods) | 515,036 | ||||||
1,916 | Hirose Electric Co. Ltd. (Technology Hardware & Equipment) | 236,960 | ||||||
6,000 | Hitachi Chemical Co. Ltd. (Materials) | 120,790 | ||||||
93,000 | Hitachi Ltd. (Technology Hardware & Equipment) | 655,183 | ||||||
2,900 | Hitachi Metals Ltd. (Materials) | 30,069 | ||||||
34,500 | Honda Motor Co. Ltd. (Automobiles & Components) | 1,011,574 | ||||||
12,900 | Hulic Co. Ltd. (Real Estate) | 137,683 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
8,300 | Idemitsu Kosan Co. Ltd. (Energy) | 295,161 | ||||||
2,300 | IHI Corp. (Capital Goods) | 80,003 | ||||||
11,800 | Isuzu Motors Ltd. (Automobiles & Components) | 156,435 | ||||||
126,000 | ITOCHU Corp. (Capital Goods) | 2,278,815 | ||||||
5,600 | Japan Airlines Co. Ltd. (Transportation) | 198,414 | ||||||
34,300 | Japan Exchange Group, Inc. (Diversified Financials) | 636,201 | ||||||
57,000 | Japan Post Holdings Co. Ltd. (Insurance) | 623,795 | ||||||
41,500 | Japan Tobacco, Inc. (Food, Beverage & Tobacco) | 1,159,776 | ||||||
20,900 | JFE Holdings, Inc. (Materials) | 394,753 | ||||||
6,400 | JSR Corp. (Materials) | 108,763 | ||||||
128,600 | JXTG Holdings, Inc. (Energy) | 892,198 | ||||||
9,300 | Kakaku.com, Inc. (Software & Services) | 209,417 | ||||||
50,000 | Kaneka Corp. (Materials) | 447,784 | ||||||
19,300 | Kao Corp. (Household & Personal Products) | 1,471,076 | ||||||
9,100 | Kawasaki Heavy Industries Ltd. (Capital Goods) | 267,637 | ||||||
29,600 | KDDI Corp. (Telecommunication Services) | 809,409 | ||||||
200 | Keyence Corp. (Technology Hardware & Equipment) | 112,803 | ||||||
8,000 | Kikkoman Corp. (Food, Beverage & Tobacco) | 403,909 | ||||||
8,000 | Kintetsu Group Holdings Co. Ltd. (Transportation) | 326,203 | ||||||
45,500 | Kirin Holdings Co. Ltd. (Food, Beverage & Tobacco) | 1,219,623 | ||||||
43,600 | Komatsu Ltd. (Capital Goods) | 1,241,230 | ||||||
23,600 | Konica Minolta, Inc. (Technology Hardware & Equipment) | 218,874 | ||||||
5,800 | Kose Corp. (Household & Personal Products) | 1,247,548 | ||||||
8,000 | Kubota Corp. (Capital Goods) | 125,559 | ||||||
7,300 | Kyushu Railway Co. (Transportation) | 223,201 | ||||||
7,700 | Lawson, Inc. (Food & Staples Retailing) | 480,881 | ||||||
36,600 | LIXIL Group Corp. (Capital Goods) | 731,469 | ||||||
3,900 | M3, Inc. (Health Care Equipment & Services) | 155,096 | ||||||
6,000 | Makita Corp. (Capital Goods) | 268,398 | ||||||
179,100 | Marubeni Corp. (Capital Goods) | 1,363,558 | ||||||
16,100 | Marui Group Co. Ltd. (Retailing) | 338,665 | ||||||
800 | Maruichi Steel Tube Ltd. (Materials) | 27,111 | ||||||
2,800 | MEIJI Holdings Co. Ltd. (Food, Beverage & Tobacco) | 236,472 | ||||||
10,300 | Mitsubishi Chemical Holdings Corp. (Materials) | 86,013 | ||||||
20,900 | Mitsubishi Corp. (Capital Goods) | 579,538 | ||||||
23,400 | Mitsubishi Electric Corp. (Capital Goods) | 310,469 | ||||||
400 | Mitsubishi Heavy Industries Ltd. (Capital Goods) | 14,541 | ||||||
2,700 | Mitsubishi Materials Corp. (Materials) | 74,075 | ||||||
21,200 | Mitsubishi Motors Corp. (Automobiles & Components) | 168,992 | ||||||
|
|
32 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
243,200 | Mitsubishi UFJ Financial Group, Inc. (Banks) | $ | 1,377,700 | |||||
3,500 | Mixi, Inc. (Software & Services) | 88,483 | ||||||
794,100 | Mizuho Financial Group, Inc. (Banks) | 1,337,650 | ||||||
13,700 | MS&AD Insurance Group Holdings, Inc. (Insurance) | 425,503 | ||||||
9,000 | Murata Manufacturing Co. Ltd. (Technology Hardware & Equipment) | 1,510,888 | ||||||
4,500 | Nabtesco Corp. (Capital Goods) | 138,262 | ||||||
3,900 | NEC Corp. (Technology Hardware & Equipment) | 106,875 | ||||||
10,200 | NGK Spark Plug Co. Ltd. (Automobiles & Components) | 289,973 | ||||||
6,900 | Nidec Corp. (Capital Goods) | 1,032,169 | ||||||
1,900 | Nintendo Co. Ltd. (Software & Services) | 620,215 | ||||||
8,300 | Nippon Express Co. Ltd. (Transportation) | 601,439 | ||||||
2,400 | Nippon Paint Holdings Co. Ltd. (Materials) | 103,212 | ||||||
655 | Nippon Prologis REIT, Inc. (REIT) | 1,359,394 | ||||||
4,401 | Nippon Steel & Sumitomo Metal Corp. (Materials) | 86,291 | ||||||
9,800 | Nippon Yusen KK (Transportation) | 194,155 | ||||||
72,300 | Nissan Motor Co. Ltd. (Automobiles & Components) | 703,493 | ||||||
11,600 | Nisshin Seifun Group, Inc. (Food, Beverage & Tobacco) | 245,794 | ||||||
7,100 | Nitto Denko Corp. (Materials) | 536,032 | ||||||
9,600 | Nomura Holdings, Inc. (Diversified Financials) | 46,455 | ||||||
3,500 | Nomura Real Estate Holdings, Inc. (Real Estate) | 77,493 | ||||||
9,900 | Nomura Research Institute Ltd. (Software & Services) | 478,975 | ||||||
32,300 | NSK Ltd. (Capital Goods) | 332,459 | ||||||
62,300 | NTT DOCOMO, Inc. (Telecommunication Services) | 1,587,552 | ||||||
4,200 | Obic Co. Ltd. (Software & Services) | 346,990 | ||||||
19,000 | Odakyu Electric Railway Co. Ltd. (Transportation) | 407,473 | ||||||
2,300 | Omron Corp. (Technology Hardware & Equipment) | 107,143 | ||||||
3,400 | Ono Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 79,597 | ||||||
5,400 | Otsuka Corp. (Software & Services) | 211,396 | ||||||
3,400 | Otsuka Holdings Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 164,467 | ||||||
55,400 | Panasonic Corp. (Consumer Durables & Apparel) | 747,037 | ||||||
10,500 | Park24 Co. Ltd. (Commercial & Professional Services) | 285,553 | ||||||
15,900 | Recruit Holdings Co. Ltd. (Commercial & Professional Services) | 439,137 | ||||||
49,100 | Resona Holdings, Inc. (Banks) | 261,692 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
14,900 | Ricoh Co. Ltd. (Technology Hardware & Equipment) | 136,450 | ||||||
1,000 | Ryohin Keikaku Co. Ltd. (Retailing) | 351,323 | ||||||
24,500 | Sankyo Co. Ltd. (Consumer Durables & Apparel) | 958,068 | ||||||
22,600 | SBI Holdings, Inc. (Diversified Financials) | 579,471 | ||||||
13,200 | Sega Sammy Holdings, Inc. (Consumer Durables & Apparel) | 225,924 | ||||||
33,700 | Seiko Epson Corp. (Technology Hardware & Equipment) | 585,080 | ||||||
87,700 | Sekisui House Ltd. (Consumer Durables & Apparel) | 1,550,044 | ||||||
101,100 | Seven Bank Ltd. (Banks) | 308,718 | ||||||
3,300 | Sharp Corp. (Consumer Durables & Apparel)(d) | 80,265 | ||||||
7,000 | Shimadzu Corp. (Technology Hardware & Equipment) | 211,197 | ||||||
9,400 | Shin-Etsu Chemical Co. Ltd. (Materials) | 835,363 | ||||||
45,700 | Showa Shell Sekiyu KK (Energy) | 680,880 | ||||||
8,900 | SoftBank Group Corp. (Telecommunication Services) | 635,533 | ||||||
3,800 | Sompo Holdings, Inc. (Insurance) | 153,330 | ||||||
14,900 | Sony Corp. (Consumer Durables & Apparel) | 763,094 | ||||||
3,900 | Start Today Co. Ltd. (Retailing) | 141,104 | ||||||
45,100 | Subaru Corp. (Automobiles & Components) | 1,311,734 | ||||||
59,000 | Sumitomo Chemical Co. Ltd. (Materials) | 333,682 | ||||||
129,600 | Sumitomo Corp. (Capital Goods) | 2,125,418 | ||||||
5,500 | Sumitomo Metal Mining Co. Ltd. (Materials) | 209,917 | ||||||
60,700 | Sumitomo Mitsui Financial Group, Inc. (Banks) | 2,367,664 | ||||||
28,100 | Sumitomo Mitsui Trust Holdings, Inc. (Banks) | 1,108,647 | ||||||
9,700 | Sysmex Corp. (Health Care Equipment & Services) | 903,794 | ||||||
50,900 | Takeda Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 2,141,266 | ||||||
1,000 | TDK Corp. (Technology Hardware & Equipment) | 101,823 | ||||||
52,900 | Tohoku Electric Power Co., Inc. (Utilities) | 646,339 | ||||||
22,300 | Tokio Marine Holdings, Inc. (Insurance) | 1,043,266 | ||||||
10,800 | Tokyo Electron Ltd. (Semiconductors & Semiconductor Equipment) | 1,853,856 | ||||||
14,600 | Tokyo Gas Co. Ltd. (Utilities) | 387,663 | ||||||
17,700 | Tokyu Fudosan Holdings Corp. (Real Estate) | 124,855 | ||||||
4,600 | TOTO Ltd. (Capital Goods) | 212,914 | ||||||
3,800 | Toyoda Gosei Co. Ltd. (Automobiles & Components) | 96,177 | ||||||
81,220 | Toyota Motor Corp. (Automobiles & Components) | 5,252,415 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 33 |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
18,400 | Trend Micro, Inc. (Software & Services) | $ | 1,047,459 | |||||
61,200 | USS Co. Ltd. (Retailing) | 1,163,569 | ||||||
3,300 | Yamaha Corp. (Consumer Durables & Apparel) | 171,262 | ||||||
22,600 | Yamaha Motor Co. Ltd. (Automobiles & Components) | 567,344 | ||||||
8,200 | Yamato Holdings Co. Ltd. (Transportation) | 241,348 | ||||||
2,800 | Yaskawa Electric Corp. (Technology Hardware & Equipment) | 98,602 | ||||||
|
| |||||||
90,022,477 | ||||||||
|
| |||||||
Luxembourg – 0.9% | ||||||||
19,039 | RTL Group SA (Media)(a) | 1,290,217 | ||||||
97,539 | SES SA FDR (Media) | 1,782,985 | ||||||
21,970 | Tenaris SA (Energy) | 400,953 | ||||||
|
| |||||||
3,474,155 | ||||||||
|
| |||||||
Macau – 0.4% | ||||||||
88,000 | MGM China Holdings Ltd. (Consumer Services) | 203,477 | ||||||
155,600 | Sands China Ltd. (Consumer Services) | 829,564 | ||||||
141,200 | Wynn Macau Ltd. (Consumer Services) | 452,496 | ||||||
|
| |||||||
1,485,537 | ||||||||
|
| |||||||
Mexico – 0.0% | ||||||||
5,858 | Fresnillo plc (Materials) | 88,278 | ||||||
|
| |||||||
Netherlands – 3.7% | ||||||||
138,188 | Aegon NV (Insurance) | 825,067 | ||||||
1,262 | Akzo Nobel NV (Materials) | 107,639 | ||||||
3,575 | ASML Holding NV (Semiconductors & Semiconductor Equipment) | 707,438 | ||||||
13,217 | Boskalis Westminster (Capital Goods)(a) | 384,079 | ||||||
126,193 | ING Groep NV (Banks) | 1,811,440 | ||||||
7,242 | Koninklijke DSM NV (Materials) | 724,483 | ||||||
27,544 | Koninklijke Philips NV (Health Care Equipment & Services) | 1,166,983 | ||||||
15,851 | NN Group NV (Insurance) | 642,860 | ||||||
3,902 | Randstad NV (Commercial & Professional Services) | 229,029 | ||||||
140,875 | Royal Dutch Shell plc Class A (Energy)(a) | 4,885,129 | ||||||
91,973 | Royal Dutch Shell plc Class B (Energy)(a) | 3,293,829 | ||||||
|
| |||||||
14,777,976 | ||||||||
|
| |||||||
New Zealand – 0.5% | ||||||||
36,121 | Fisher & Paykel Healthcare Corp. Ltd. (Health Care Equipment & Services) | 363,993 | ||||||
249,625 | Mercury NZ Ltd. (Utilities) | 569,239 | ||||||
317,017 | Meridian Energy Ltd. (Utilities) | 669,623 | ||||||
205,437 | Spark New Zealand Ltd. (Telecommunication Services) | 518,473 | ||||||
|
| |||||||
2,121,328 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Norway – 0.9% | ||||||||
1,789 | Equinor ASA (Energy) | 47,306 | ||||||
29,116 | Gjensidige Forsikring ASA (Insurance) | 476,673 | ||||||
151,646 | Marine Harvest ASA (Food, Beverage & Tobacco) | 3,015,160 | ||||||
|
| |||||||
3,539,139 | ||||||||
|
| |||||||
Portugal – 0.5% | ||||||||
231,782 | EDP - Energias de Portugal SA (Utilities) | 918,671 | ||||||
43,737 | Galp Energia SGPS SA (Energy) | 832,037 | ||||||
27,474 | Jeronimo Martins SGPS SA (Food & Staples Retailing) | 395,749 | ||||||
|
| |||||||
2,146,457 | ||||||||
|
| |||||||
Singapore – 1.1% | ||||||||
39,300 | City Developments Ltd. (Real Estate) | 314,790 | ||||||
48,200 | ComfortDelGro Corp. Ltd. (Transportation) | 82,951 | ||||||
69,700 | DBS Group Holdings Ltd. (Banks) | 1,355,458 | ||||||
67,300 | Keppel Corp. Ltd. (Capital Goods) | 352,059 | ||||||
142,700 | SATS Ltd. (Transportation) | 522,702 | ||||||
61,800 | Singapore Exchange Ltd. (Diversified Financials) | 324,753 | ||||||
265,000 | Singapore Technologies Engineering Ltd. (Capital Goods) | 638,765 | ||||||
130,900 | Singapore Telecommunications Ltd. (Telecommunication Services) | 295,546 | ||||||
19,600 | United Overseas Bank Ltd. (Banks) | 384,135 | ||||||
|
| |||||||
4,271,159 | ||||||||
|
| |||||||
South Africa – 0.1% | ||||||||
27,116 | Anglo American plc (Materials) | 602,000 | ||||||
|
| |||||||
Spain – 2.7% | ||||||||
3,306 | ACS Actividades de Construccion y Servicios SA (Capital Goods)(a) | 133,384 | ||||||
12,460 | Amadeus IT Group SA (Software & Services) | 979,760 | ||||||
164,786 | Banco Santander SA (Banks) | 880,694 | ||||||
45,086 | Enagas SA (Energy) | 1,314,990 | ||||||
74,270 | Endesa SA (Utilities) | 1,633,316 | ||||||
171,348 | Ferrovial SA (Capital Goods)(a) | 3,506,227 | ||||||
7,157 | Iberdrola SA (Utilities) | 55,193 | ||||||
20,474 | Mapfre SA (Insurance) | 61,540 | ||||||
250,866 | Telefonica SA (Telecommunication Services)(a) | 2,129,209 | ||||||
|
| |||||||
10,694,313 | ||||||||
|
| |||||||
Sweden – 3.5% | ||||||||
7,078 | Atlas Copco AB Class B (Capital Goods) | 184,395 | ||||||
7,078 | Epiroc AB Class B (Capital Goods)* | 64,800 | ||||||
122,116 | Hennes & Mauritz AB Class B (Retailing)(d) | 1,817,703 | ||||||
14,423 | Lundin Petroleum AB (Energy) | 457,787 | ||||||
326,929 | Nordea Bank AB (Banks) | 3,136,096 | ||||||
219,763 | Skandinaviska Enskilda Banken AB Class A (Banks) | 2,079,920 | ||||||
|
|
34 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Sweden – (continued) | ||||||||
42,556 | Skanska AB Class B (Capital Goods) | $ | 770,294 | |||||
156,736 | Swedbank AB Class A (Banks) | 3,339,455 | ||||||
69,362 | Telefonaktiebolaget LM Ericsson Class B (Technology Hardware & Equipment) | 534,379 | ||||||
334,966 | Telia Co. AB (Telecommunication Services) | 1,526,738 | ||||||
|
| |||||||
13,911,567 | ||||||||
|
| |||||||
Switzerland – 8.6% | ||||||||
50,153 | ABB Ltd. (Registered) (Capital Goods) | 1,094,034 | ||||||
70,918 | Credit Suisse Group AG (Registered) (Diversified Financials)* | 1,060,442 | ||||||
2,590 | EMS-Chemie Holding AG (Registered) (Materials) | 1,657,103 | ||||||
1,736 | Geberit AG (Registered) (Capital Goods) | 743,293 | ||||||
920 | Givaudan SA (Registered) (Materials) | 2,083,632 | ||||||
259,708 | Glencore plc (Materials)* | 1,233,039 | ||||||
8,736 | Kuehne + Nagel International AG (Registered) (Transportation) | 1,311,461 | ||||||
32,192 | LafargeHolcim Ltd. (Registered) (Materials)* | 1,565,249 | ||||||
72,389 | Nestle SA (Registered) (Food, Beverage & Tobacco) | 5,610,209 | ||||||
75,574 | Novartis AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | 5,724,802 | ||||||
22,045 | Roche Holding AG (Pharmaceuticals, Biotechnology & Life Sciences) | 4,890,863 | ||||||
397 | SGS SA (Registered) (Commercial & Professional Services) | 1,054,906 | ||||||
134,312 | STMicroelectronics NV (Semiconductors & Semiconductor Equipment)(a) | 2,982,170 | ||||||
42,727 | UBS Group AG (Registered) (Diversified Financials)* | 655,020 | ||||||
8,140 | Zurich Insurance Group AG (Insurance)* | 2,407,243 | ||||||
|
| |||||||
34,073,466 | ||||||||
|
| |||||||
United Kingdom – 14.9% | ||||||||
71,202 | AstraZeneca plc ADR (Pharmaceuticals, Biotechnology & Life Sciences)(a) | 2,499,902 | ||||||
250,164 | BAE Systems plc (Capital Goods) | 2,128,217 | ||||||
23,173 | Berkeley Group Holdings plc (Consumer Durables & Apparel)(a) | 1,154,317 | ||||||
113,620 | BP plc ADR (Energy)(a) | 5,187,889 | ||||||
52,689 | British American Tobacco plc (Food, Beverage & Tobacco)(a) | 2,654,123 | ||||||
24,262 | British Land Co. plc (The) (REIT) | 214,646 | ||||||
326,670 | Centrica plc (Utilities) | 678,291 | ||||||
15,616 | Compass Group plc (Consumer Services) | 332,865 | ||||||
13,945 | Diageo plc (Food, Beverage & Tobacco) | 500,987 | ||||||
50,835 | easyJet plc (Transportation) | 1,118,364 | ||||||
130,365 | G4S plc (Commercial & Professional Services) | 459,201 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
United Kingdom – (continued) | ||||||||
166,227 | GlaxoSmithKline plc ADR (Pharmaceuticals, Biotechnology & Life Sciences)(a)(b) | 6,700,610 | ||||||
1,024,775 | HSBC Holdings plc (Banks)(a) | 9,575,857 | ||||||
53,139 | Imperial Brands plc (Food, Beverage & Tobacco)(a) | 1,973,482 | ||||||
118,879 | J Sainsbury plc (Food & Staples Retailing) | 503,069 | ||||||
23,385 | Land Securities Group plc (REIT) | 294,612 | ||||||
851,733 | Legal & General Group plc (Insurance)(a) | 2,979,224 | ||||||
170,571 | Marks & Spencer Group plc (Retailing) | 662,578 | ||||||
1,017 | Next plc (Retailing)(a) | 80,952 | ||||||
64,533 | Persimmon plc (Consumer Durables & Apparel) | 2,149,574 | ||||||
1,916 | Reckitt Benckiser Group plc (Household & Personal Products)(a) | 157,428 | ||||||
27,421 | Royal Mail plc (Transportation) | 182,430 | ||||||
97,066 | Segro plc (REIT) | 854,846 | ||||||
148,324 | SSE plc (Utilities)(a) | 2,647,665 | ||||||
255,640 | Standard Life Aberdeen plc (Diversified Financials) | 1,094,698 | ||||||
67,101 | Unilever NV CVA (Household & Personal Products)(a) | 3,738,665 | ||||||
68,644 | Unilever plc ADR (Household & Personal Products)(a) | 3,794,640 | ||||||
182,507 | Vodafone Group plc ADR (Telecommunication Services)(a)(b) | 4,436,745 | ||||||
61,537 | Wm Morrison Supermarkets plc (Food & Staples Retailing) | 204,118 | ||||||
|
| |||||||
58,959,995 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $385,030,369) | $ | 383,096,780 | ||||||
|
|
Units | Description | Expiration Month | Value | |||||||
Rights* – 0.0% | ||||||||||
Italy – 0.0% | ||||||||||
673,579 | Intesa Sanpaolo SpA (Banks) | 07/2018 | $ | — | ||||||
| ||||||||||
Spain – 0.0% | ||||||||||
3,306 | ACS Actividades de Construccion y Servicios SA (Capital Goods)(a) | 08/2018 | 3,405 | |||||||
| ||||||||||
TOTAL RIGHTS | ||||||||||
(Cost $3,446) | $ | 3,405 | ||||||||
|
The accompanying notes are an integral part of these financial statements. | 35 |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
Shares | Distribution Rate | Value | ||||||
Investment Company(e) – 0.0% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
2,271 | 1.869% | $ | 2,271 | |||||
(Cost $2,271) | ||||||||
|
| |||||||
| TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | | ||||||
(Cost $385,036,086) | $ | 383,102,456 | ||||||
|
| |||||||
Securities Lending Reinvestment Vehicle(e) – 0.6% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
2,293,350 | 1.869% | $ | 2,293,350 | |||||
(Cost $2,293,350) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 97.1% | ||||||||
(Cost $387,329,436) | $ | 385,395,806 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 2.9% | 11,524,266 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 396,920,072 | ||||||
|
|
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) | All or a portion of security is segregated as collateral for call options written. | |
(b) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
(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. | |
(d) | All or a portion of security is on loan. | |
(e) | Represents an Affiliated Issuer. |
| ||
Investment Abbreviations: | ||
ADR | —American Depositary Receipt | |
CVA | —Dutch Certification | |
FDR | —Fiduciary Depositary Receipt | |
REIT | —Real Estate Investment Trust | |
Currency Abbreviations: | ||
EUR | —Euro | |
GBP | —British Pound | |
JPY | —Japanese Yen | |
|
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At June 30, 2018, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: |
| |||||||||||||||
EURO STOXX 50 Index | 75 | 09/21/2018 | $ | 2,970,007 | $ | (73,410 | ) | |||||||||
FTSE 100 Index | 14 | 09/21/2018 | 1,404,491 | (11,903 | ) | |||||||||||
Hang Seng Index | 1 | 07/30/2018 | 183,071 | (970 | ) | |||||||||||
MSCI Singapore Index | 3 | 07/30/2018 | 80,587 | 261 | ||||||||||||
SPI 200 Index | 5 | 09/20/2018 | 568,728 | 9,522 | ||||||||||||
TOPIX Index | 8 | 09/13/2018 | 1,250,418 | (30,030 | ) | |||||||||||
Total Futures Contracts | $ | (106,530 | ) |
WRITTEN OPTIONS CONTRACTS — At June 30, 2018, the Fund had the following written options contracts:
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Value | Premiums Paid (Received) by the Fund | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Written options contracts: | ||||||||||||||||||||||||||||||
Calls | ||||||||||||||||||||||||||||||
EURO STOXX 50 Index | Morgan Stanley Co., Inc. | 3,550.00 EUR | 09/21/2018 | 2,006 | $ | (68,115,736 | ) | $ | (625,476 | ) | $ | (1,618,141 | ) | $ | 992,665 | |||||||||||||||
FTSE 100 Index | 7,750.00 GBP | 09/21/2018 | 315 | (70,259,207 | ) | (440,664 | ) | (489,362 | ) | 48,698 | ||||||||||||||||||||
Nikkei 225 Index | 23,000.00 JPY | 09/14/2018 | 214 | (1,634,303,020 | ) | (589,532 | ) | (988,244 | ) | 398,712 | ||||||||||||||||||||
Total written options contracts | 2,535 | $ | (1,655,672 | ) | $ | (3,095,747 | ) | $ | 1,440,075 |
36 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
Schedule of Investments
June 30, 2018 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 96.7% | ||||||||
Automobiles & Components – 1.9% | ||||||||
54,279 | BorgWarner, Inc. | $ | 2,342,682 | |||||
2,037 | Cooper-Standard Holdings, Inc.* | 266,175 | ||||||
49,403 | Dana, Inc. | 997,446 | ||||||
473,260 | General Motors Co. | 18,646,444 | ||||||
21,887 | Gentex Corp. | 503,839 | ||||||
43,558 | Lear Corp. | 8,093,512 | ||||||
|
| |||||||
30,850,098 | ||||||||
|
| |||||||
Banks – 6.5% | ||||||||
1,111,287 | Bank of America Corp. | 31,327,181 | ||||||
38,634 | CenterState Bank Corp. | 1,152,066 | ||||||
19,853 | Central Pacific Financial Corp. | 568,788 | ||||||
468,112 | Citizens Financial Group, Inc. | 18,209,557 | ||||||
4,032 | Comerica, Inc. | 366,589 | ||||||
11,376 | FCB Financial Holdings, Inc. Class A* | 668,909 | ||||||
160,029 | Fifth Third Bancorp | 4,592,832 | ||||||
4,234 | First Citizens BancShares, Inc. Class A | 1,707,572 | ||||||
5,560 | Hilltop Holdings, Inc. | 122,709 | ||||||
3,914 | International Bancshares Corp. | 167,519 | ||||||
133,010 | JPMorgan Chase & Co. | 13,859,642 | ||||||
208,520 | KeyCorp | 4,074,481 | ||||||
40,818 | PacWest Bancorp | 2,017,226 | ||||||
64,124 | PNC Financial Services Group, Inc. (The) | 8,663,152 | ||||||
66,097 | Radian Group, Inc. | 1,072,093 | ||||||
12,308 | SVB Financial Group* | 3,554,058 | ||||||
18,859 | Synovus Financial Corp. | 996,321 | ||||||
69,288 | TCF Financial Corp. | 1,705,871 | ||||||
34,664 | United Community Banks, Inc. | 1,063,145 | ||||||
5,562 | US Bancorp | 278,211 | ||||||
8,492 | Walker & Dunlop, Inc. | 472,580 | ||||||
93,817 | Wells Fargo & Co. | 5,201,215 | ||||||
27,054 | Western Alliance Bancorp* | 1,531,527 | ||||||
|
| |||||||
103,373,244 | ||||||||
|
| |||||||
Capital Goods – 5.4% | ||||||||
60,348 | Acuity Brands, Inc. | 6,992,523 | ||||||
11,665 | AECOM* | 385,295 | ||||||
14,958 | Allison Transmission Holdings, Inc. | 605,649 | ||||||
9,879 | Applied Industrial Technologies, Inc. | 693,012 | ||||||
62,260 | Boeing Co. (The) | 20,888,853 | ||||||
14,204 | Caterpillar, Inc. | 1,927,057 | ||||||
11,432 | Eaton Corp. plc | 854,428 | ||||||
5,310 | EMCOR Group, Inc. | 404,516 | ||||||
50,265 | Esterline Technologies Corp.* | 3,709,557 | ||||||
15,347 | Fortive Corp. | 1,183,407 | ||||||
6,702 | Granite Construction, Inc. | 373,033 | ||||||
41,574 | HD Supply Holdings, Inc.* | 1,783,109 | ||||||
9,481 | Honeywell International, Inc. | 1,365,738 | ||||||
114,094 | Illinois Tool Works, Inc. | 15,806,583 | ||||||
26,915 | Lockheed Martin Corp. | 7,951,498 | ||||||
5,480 | Owens Corning | 347,268 | ||||||
64,168 | Raytheon Co. | 12,395,974 | ||||||
8,619 | United Rentals, Inc.* | 1,272,337 | ||||||
1,774 | Valmont Industries, Inc. | 267,430 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Capital Goods – (continued) | ||||||||
21,794 | WABCO Holdings, Inc.* | 2,550,334 | ||||||
23,184 | Watsco, Inc. | 4,133,243 | ||||||
|
| |||||||
85,890,844 | ||||||||
|
| |||||||
Commercial & Professional Services – 1.2% | ||||||||
48,254 | Brady Corp. Class A | 1,860,192 | ||||||
29,156 | Cintas Corp. | 5,395,901 | ||||||
57,940 | Insperity, Inc. | 5,518,785 | ||||||
28,142 | KAR Auction Services, Inc. | 1,542,182 | ||||||
10,894 | Korn/Ferry International | 674,665 | ||||||
38,156 | ManpowerGroup, Inc. | 3,283,705 | ||||||
2,640 | McGrath RentCorp | 167,033 | ||||||
35,790 | Steelcase, Inc. Class A | 483,165 | ||||||
11,122 | TriNet Group, Inc.* | 622,165 | ||||||
|
| |||||||
19,547,793 | ||||||||
|
| |||||||
Consumer Durables & Apparel – 1.8% | ||||||||
92,487 | Callaway Golf Co. | 1,754,478 | ||||||
6,326 | Carter’s, Inc. | 685,675 | ||||||
19,685 | Columbia Sportswear Co. | 1,800,587 | ||||||
33,386 | Hasbro, Inc. | 3,081,862 | ||||||
4,408 | Malibu Boats, Inc. Class A* | 184,871 | ||||||
163,278 | NIKE, Inc. Class B | 13,009,991 | ||||||
1,156 | NVR, Inc.* | 3,433,725 | ||||||
11,045 | PulteGroup, Inc. | 317,544 | ||||||
24,693 | PVH Corp. | 3,697,036 | ||||||
11,220 | Ralph Lauren Corp. | 1,410,578 | ||||||
|
| |||||||
29,376,347 | ||||||||
|
| |||||||
Consumer Services – 3.5% | ||||||||
3,493 | Bright Horizons Family Solutions, Inc.* | 358,102 | ||||||
51,446 | Carnival Corp. | 2,948,370 | ||||||
9,791 | Cheesecake Factory, Inc. (The) | 539,093 | ||||||
5,493 | Darden Restaurants, Inc. | 588,081 | ||||||
46,924 | Domino’s Pizza, Inc. | 13,240,545 | ||||||
21,601 | Grand Canyon Education, Inc.* | 2,410,888 | ||||||
8,232 | International Game Technology plc | 191,312 | ||||||
144,362 | Las Vegas Sands Corp. | 11,023,482 | ||||||
11,999 | Marriott International, Inc. Class A | 1,519,073 | ||||||
24,592 | Papa John’s International, Inc. | 1,247,306 | ||||||
34,874 | Starbucks Corp. | 1,703,595 | ||||||
21,234 | Vail Resorts, Inc. | 5,822,151 | ||||||
29,363 | Weight Watchers International, Inc.* | 2,968,599 | ||||||
5,310 | Wyndham Destinations, Inc. | 235,074 | ||||||
5,310 | Wyndham Hotels & Resorts, Inc. | 312,387 | ||||||
87,531 | Yum China Holdings, Inc. | 3,366,442 | ||||||
87,531 | Yum! Brands, Inc. | 6,846,675 | ||||||
|
| |||||||
55,321,175 | ||||||||
|
| |||||||
Diversified Financials – 3.6% | ||||||||
98,035 | Ally Financial, Inc. | 2,575,379 | ||||||
32,395 | Ameriprise Financial, Inc. | 4,531,413 | ||||||
45,165 | Bank of New York Mellon Corp. (The) | 2,435,748 | ||||||
38,603 | Berkshire Hathaway, Inc. Class B* | 7,205,250 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 37 |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Diversified Financials – (continued) | ||||||||
4,505 | Capital One Financial Corp. | $ | 414,010 | |||||
137,041 | E*TRADE Financial Corp.* | 8,381,428 | ||||||
16,614 | Enova International, Inc.* | 607,242 | ||||||
15,283 | LPL Financial Holdings, Inc. | 1,001,648 | ||||||
13,256 | Morgan Stanley | 628,334 | ||||||
38,270 | MSCI, Inc. | 6,331,006 | ||||||
88,445 | Nasdaq, Inc. | 8,072,375 | ||||||
171,359 | Synchrony Financial | 5,719,963 | ||||||
143,290 | TD Ameritrade Holding Corp. | 7,847,993 | ||||||
41,461 | Voya Financial, Inc. | 1,948,667 | ||||||
|
| |||||||
57,700,456 | ||||||||
|
| |||||||
Energy – 6.8% | ||||||||
33,838 | Anadarko Petroleum Corp. | 2,478,634 | ||||||
152,331 | Chesapeake Energy Corp.* | 798,214 | ||||||
248,520 | CNX Resources Corp.* | 4,418,686 | ||||||
145,202 | ConocoPhillips | 10,108,963 | ||||||
5,954 | Delek US Holdings, Inc. | 298,712 | ||||||
39,820 | Devon Energy Corp. | 1,750,487 | ||||||
61,715 | Energen Corp.* | 4,494,086 | ||||||
12,027 | EOG Resources, Inc. | 1,496,520 | ||||||
42,470 | Exxon Mobil Corp. | 3,513,543 | ||||||
159,292 | Halliburton Co. | 7,177,698 | ||||||
107,007 | HollyFrontier Corp. | 7,322,489 | ||||||
158,635 | Marathon Oil Corp. | 3,309,126 | ||||||
256,353 | Marathon Petroleum Corp. | 17,985,726 | ||||||
44,314 | Peabody Energy Corp. | 2,015,401 | ||||||
86,298 | Phillips 66 | 9,692,128 | ||||||
4,825 | Pioneer Natural Resources Co. | 913,083 | ||||||
209,544 | Valero Energy Corp. | 23,223,762 | ||||||
247,662 | Williams Cos., Inc. (The) | 6,714,117 | ||||||
|
| |||||||
107,711,375 | ||||||||
|
| |||||||
Food & Staples Retailing – 0.4% | ||||||||
162,631 | US Foods Holding Corp.* | 6,150,704 | ||||||
|
| |||||||
Food, Beverage & Tobacco – 2.4% | ||||||||
67,825 | Archer-Daniels-Midland Co. | 3,108,420 | ||||||
348,908 | Conagra Brands, Inc. | 12,466,483 | ||||||
85,051 | Darling Ingredients, Inc.* | 1,690,814 | ||||||
35,366 | Lamb Weston Holdings, Inc. | 2,422,924 | ||||||
13,685 | Lancaster Colony Corp. | 1,894,278 | ||||||
28,740 | Sanderson Farms, Inc. | 3,022,011 | ||||||
204,944 | Tyson Foods, Inc. Class A | 14,110,394 | ||||||
|
| |||||||
38,715,324 | ||||||||
|
| |||||||
Health Care Equipment & Services – 7.0% | ||||||||
32,290 | Anthem, Inc. | 7,685,989 | ||||||
41,190 | Baxter International, Inc. | 3,041,470 | ||||||
1,970 | Becton Dickinson and Co. | 471,933 | ||||||
446,123 | Boston Scientific Corp.* | 14,588,222 | ||||||
51,825 | Centene Corp.* | 6,385,358 | ||||||
66,201 | Cigna Corp. | 11,250,860 | ||||||
12,968 | Cooper Cos., Inc. (The) | 3,053,316 | ||||||
43,806 | CVS Health Corp. | 2,818,916 | ||||||
30,694 | Danaher Corp. | 3,028,884 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Health Care Equipment & Services – (continued) | ||||||||
5,460 | Ensign Group, Inc. (The) | 195,577 | ||||||
3,657 | Hill-Rom Holdings, Inc. | 319,402 | ||||||
35,490 | Humana, Inc. | 10,562,889 | ||||||
45,801 | IDEXX Laboratories, Inc.* | 9,981,870 | ||||||
15,438 | LifePoint Health, Inc.* | 753,374 | ||||||
2,539 | Magellan Health, Inc.* | 243,617 | ||||||
81,279 | UnitedHealth Group, Inc. | 19,940,990 | ||||||
70,929 | WellCare Health Plans, Inc.* | 17,465,557 | ||||||
|
| |||||||
111,788,224 | ||||||||
|
| |||||||
Household & Personal Products – 0.4% | ||||||||
47,825 | Herbalife Nutrition Ltd.* | 2,569,159 | ||||||
20,503 | Kimberly-Clark Corp. | 2,159,786 | ||||||
2,359 | Medifast, Inc. | 377,818 | ||||||
8,185 | Procter & Gamble Co. (The) | 638,921 | ||||||
9,724 | USANA Health Sciences, Inc.* | 1,121,177 | ||||||
|
| |||||||
6,866,861 | ||||||||
|
| |||||||
Insurance – 4.1% | ||||||||
45,976 | American Equity Investment Life Holding Co. | 1,655,136 | ||||||
34,233 | Arch Capital Group Ltd.* | 905,805 | ||||||
53,733 | Argo Group International Holdings Ltd. | 3,124,574 | ||||||
15,735 | Assured Guaranty Ltd. | 562,212 | ||||||
98,971 | Lincoln National Corp. | 6,160,945 | ||||||
17,026 | Marsh & McLennan Cos., Inc. | 1,395,621 | ||||||
47,125 | Principal Financial Group, Inc. | 2,495,269 | ||||||
110,034 | Progressive Corp. (The) | 6,508,511 | ||||||
64,085 | Prudential Financial, Inc. | 5,992,588 | ||||||
107,660 | Reinsurance Group of America, Inc. | 14,370,457 | ||||||
82,165 | Travelers Cos., Inc. (The) | 10,052,066 | ||||||
18,889 | Unum Group | 698,704 | ||||||
12,763 | White Mountains Insurance Group Ltd. | 11,571,063 | ||||||
|
| |||||||
65,492,951 | ||||||||
|
| |||||||
Materials – 3.5% | ||||||||
5,254 | Air Products & Chemicals, Inc. | 818,206 | ||||||
1,823 | Balchem Corp. | 178,909 | ||||||
85,295 | Carpenter Technology Corp. | 4,483,958 | ||||||
12,663 | Celanese Corp. Series A | 1,406,353 | ||||||
1,220 | Chase Corp. | 143,045 | ||||||
18,697 | Chemours Co. (The) | 829,399 | ||||||
22,879 | Huntsman Corp. | 668,067 | ||||||
284,836 | Louisiana-Pacific Corp. | 7,753,236 | ||||||
75,121 | LyondellBasell Industries NV Class A | 8,252,042 | ||||||
11,172 | Minerals Technologies, Inc. | 841,810 | ||||||
97,498 | Nucor Corp. | 6,093,625 | ||||||
16,462 | PPG Industries, Inc. | 1,707,603 | ||||||
8,350 | Reliance Steel & Aluminum Co. | 730,959 | ||||||
15,506 | Sherwin-Williams Co. (The) | 6,319,780 | ||||||
315,262 | Steel Dynamics, Inc. | 14,486,289 | ||||||
16,215 | WestRock Co. | 924,579 | ||||||
|
| |||||||
55,637,860 | ||||||||
|
|
38 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Media – 2.6% | ||||||||
698,554 | Comcast Corp. Class A | $ | 22,919,557 | |||||
16,222 | John Wiley & Sons, Inc. Class A | 1,012,253 | ||||||
44,852 | New Media Investment Group, Inc. | 828,865 | ||||||
2,297 | Nexstar Media Group, Inc. Class A | 168,600 | ||||||
416,626 | Viacom, Inc. Class B | 12,565,440 | ||||||
29,402 | Walt Disney Co. (The) | 3,081,623 | ||||||
|
| |||||||
40,576,338 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences – 9.2% | ||||||||
204,892 | AbbVie, Inc. | 18,983,244 | ||||||
28,864 | Alexion Pharmaceuticals, Inc.* | 3,583,466 | ||||||
15,723 | Allergan plc | 2,621,339 | ||||||
103,093 | Amgen, Inc. | 19,029,937 | ||||||
66,510 | Biogen, Inc.* | 19,303,862 | ||||||
4,261 | Bio-Rad Laboratories, Inc. Class A* | 1,229,469 | ||||||
85,859 | Bristol-Myers Squibb Co. | 4,751,437 | ||||||
1,460 | Celgene Corp.* | 115,953 | ||||||
27,012 | Genomic Health, Inc.* | 1,361,405 | ||||||
33,538 | Ironwood Pharmaceuticals, Inc.* | 641,247 | ||||||
278,452 | Johnson & Johnson | 33,787,366 | ||||||
26,154 | Merck & Co., Inc. | 1,587,548 | ||||||
1,326 | Mettler-Toledo International, Inc.* | 767,263 | ||||||
279,257 | Pfizer, Inc. | 10,131,444 | ||||||
65,676 | PTC Therapeutics, Inc.* | 2,215,251 | ||||||
6,359 | REGENXBIO, Inc.* | 456,258 | ||||||
20,694 | Repligen Corp.* | 973,446 | ||||||
33,347 | Sangamo Therapeutics, Inc.* | 473,527 | ||||||
3,494 | Thermo Fisher Scientific, Inc. | 723,747 | ||||||
85,927 | Vertex Pharmaceuticals, Inc.* | 14,604,153 | ||||||
108,342 | Zoetis, Inc. | 9,229,655 | ||||||
|
| |||||||
146,571,017 | ||||||||
|
| |||||||
Real Estate – 5.1% | ||||||||
88,925 | American Tower Corp. (REIT) | 12,820,317 | ||||||
24,645 | Apartment Investment & Management Co. Class A (REIT) | 1,042,483 | ||||||
151,918 | Apple Hospitality REIT, Inc. (REIT) | 2,716,294 | ||||||
104,999 | CBRE Group, Inc. Class A* | 5,012,652 | ||||||
23,471 | CoreSite Realty Corp. (REIT) | 2,601,056 | ||||||
19,282 | CyrusOne, Inc. (REIT) | 1,125,298 | ||||||
42,346 | DCT Industrial Trust, Inc. (REIT) | 2,825,749 | ||||||
165,649 | DiamondRock Hospitality Co. (REIT) | 2,034,170 | ||||||
4,262 | Digital Realty Trust, Inc. (REIT) | 475,554 | ||||||
39,468 | Equity LifeStyle Properties, Inc. (REIT) | 3,627,109 | ||||||
11,456 | First Industrial Realty Trust, Inc. (REIT) | 381,943 | ||||||
149,280 | Forest City Realty Trust, Inc. Class A (REIT) | 3,405,077 | ||||||
18,786 | Gaming and Leisure Properties, Inc. (REIT) | 672,539 | ||||||
848,683 | Host Hotels & Resorts, Inc. (REIT) | 17,882,102 | ||||||
19,859 | Hudson Pacific Properties, Inc. (REIT) | 703,604 | ||||||
1,268 | Jones Lang LaSalle, Inc. | 210,475 | ||||||
175,488 | Kimco Realty Corp. (REIT) | 2,981,541 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Real Estate – (continued) | ||||||||
7,138 | Lamar Advertising Co. Class A (REIT) | 487,597 | ||||||
33,012 | Mid-America Apartment Communities, Inc. (REIT) | 3,323,318 | ||||||
98,670 | Pebblebrook Hotel Trust (REIT) | 3,828,396 | ||||||
171,732 | Piedmont Office Realty Trust, Inc. Class A (REIT) | 3,422,619 | ||||||
33,614 | Prologis, Inc. (REIT) | 2,208,104 | ||||||
10,025 | PS Business Parks, Inc. (REIT) | 1,288,212 | ||||||
4,952 | Public Storage (REIT) | 1,123,411 | ||||||
19,061 | SBA Communications Corp. (REIT)* | 3,147,352 | ||||||
12,065 | Sun Communities, Inc. (REIT) | 1,180,922 | ||||||
|
| |||||||
80,527,894 | ||||||||
|
| |||||||
Retailing – 5.8% | ||||||||
71,569 | Abercrombie & Fitch Co. Class A | 1,752,009 | ||||||
22,608 | Amazon.com, Inc.* | 38,429,078 | ||||||
324,124 | American Eagle Outfitters, Inc. | 7,535,883 | ||||||
6,539 | AutoZone, Inc.* | 4,387,211 | ||||||
23,138 | Best Buy Co., Inc. | 1,725,632 | ||||||
2,554 | Booking Holdings, Inc.* | 5,177,188 | ||||||
3,786 | Expedia Group, Inc. | 455,039 | ||||||
14,732 | Foot Locker, Inc. | 775,640 | ||||||
141,850 | Lowe’s Cos., Inc. | 13,556,605 | ||||||
28,202 | Macy’s, Inc. | 1,055,601 | ||||||
4,333 | Murphy USA, Inc.* | 321,899 | ||||||
20,176 | Netflix, Inc.* | 7,897,492 | ||||||
31,865 | O’Reilly Automotive, Inc.* | 8,717,308 | ||||||
9,237 | Tailored Brands, Inc. | 235,728 | ||||||
11,476 | Williams-Sonoma, Inc. | 704,397 | ||||||
|
| |||||||
92,726,710 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 4.1% | ||||||||
11,910 | Advanced Energy Industries, Inc.* | 691,852 | ||||||
418,887 | Applied Materials, Inc. | 19,348,390 | ||||||
31,784 | Intel Corp. | 1,579,983 | ||||||
136,437 | KLA-Tencor Corp. | 13,988,886 | ||||||
71,468 | Lam Research Corp. | 12,353,244 | ||||||
86,810 | Maxim Integrated Products, Inc. | 5,092,275 | ||||||
96,874 | ON Semiconductor Corp.* | 2,153,993 | ||||||
100,492 | Teradyne, Inc. | 3,825,730 | ||||||
63,128 | Texas Instruments, Inc. | 6,959,862 | ||||||
|
| |||||||
65,994,215 | ||||||||
|
| |||||||
Software & Services – 11.5% | ||||||||
90,930 | Adobe Systems, Inc.* | 22,169,643 | ||||||
15,855 | Alphabet, Inc. Class A* | 17,903,308 | ||||||
17,850 | Alphabet, Inc. Class C* | 19,914,353 | ||||||
31,238 | Amdocs Ltd. | 2,067,643 | ||||||
5,129 | Appfolio, Inc. Class A* | 313,638 | ||||||
45,136 | Apptio, Inc. Class A* | 1,633,923 | ||||||
38,091 | Cadence Design Systems, Inc.* | 1,649,721 | ||||||
15,958 | CDK Global, Inc. | 1,038,068 | ||||||
127,472 | Citrix Systems, Inc.* | 13,364,165 | ||||||
10,304 | CoreLogic, Inc.* | 534,778 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 39 |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Software & Services – (continued) | ||||||||
7,526 | CoStar Group, Inc.* | $ | 3,105,453 | |||||
49,384 | eBay, Inc.* | 1,790,664 | ||||||
9,320 | EVERTEC, Inc. | 203,642 | ||||||
130,289 | Facebook, Inc. Class A* | 25,317,759 | ||||||
79,080 | Fortinet, Inc.* | 4,936,964 | ||||||
6,626 | Intuit, Inc. | 1,353,725 | ||||||
16,541 | LogMeIn, Inc. | 1,707,858 | ||||||
339,794 | Microsoft Corp.(a) | 33,507,086 | ||||||
7,185 | New Relic, Inc.* | 722,739 | ||||||
212,943 | Oracle Corp. | 9,382,269 | ||||||
3,584 | Perspecta, Inc. | 73,651 | ||||||
42,551 | ServiceNow, Inc.* | 7,338,771 | ||||||
22,899 | Synopsys, Inc.* | 1,959,467 | ||||||
36,907 | Teradata Corp.* | 1,481,816 | ||||||
4,419 | Twitter, Inc.* | 192,978 | ||||||
16,186 | VeriSign, Inc.* | 2,224,280 | ||||||
91,433 | Worldpay, Inc.* | 7,477,391 | ||||||
|
| |||||||
183,365,753 | ||||||||
|
| |||||||
Technology Hardware & Equipment – 6.2% | ||||||||
196,118 | Apple, Inc. | 36,303,403 | ||||||
9,482 | EchoStar Corp. Class A* | 421,001 | ||||||
53,915 | F5 Networks, Inc.* | 9,297,642 | ||||||
247,530 | HP, Inc. | 5,616,456 | ||||||
4,505 | Insight Enterprises, Inc.* | 220,430 | ||||||
18,593 | Methode Electronics, Inc. | 749,298 | ||||||
45,067 | NCR Corp.* | 1,351,109 | ||||||
157,731 | NetApp, Inc. | 12,386,615 | ||||||
40,289 | NETGEAR, Inc.* | 2,518,062 | ||||||
83,875 | Palo Alto Networks, Inc.* | 17,233,796 | ||||||
46,379 | Pure Storage, Inc. Class A* | 1,107,530 | ||||||
150,233 | Viavi Solutions, Inc.* | 1,538,386 | ||||||
139,144 | Western Digital Corp. | 10,771,137 | ||||||
|
| |||||||
99,514,865 | ||||||||
|
| |||||||
Telecommunication Services – 0.5% | ||||||||
48,653 | AT&T, Inc. | 1,562,248 | ||||||
508,963 | Vonage Holdings Corp.* | 6,560,533 | ||||||
|
| |||||||
8,122,781 | ||||||||
|
| |||||||
Transportation – 2.1% | ||||||||
24,642 | Alaska Air Group, Inc. | 1,488,131 | ||||||
3,314 | Allegiant Travel Co. | 460,480 | ||||||
10,206 | ArcBest Corp. | 466,414 | ||||||
31,353 | CSX Corp. | 1,999,694 | ||||||
156,759 | Delta Air Lines, Inc. | 7,765,841 | ||||||
56,539 | Norfolk Southern Corp. | 8,530,039 | ||||||
63,265 | Southwest Airlines Co. | 3,218,923 | ||||||
66,537 | Union Pacific Corp. | 9,426,962 | ||||||
|
| |||||||
33,356,484 | ||||||||
|
| |||||||
Utilities – 1.1% | ||||||||
9,873 | American Water Works Co., Inc. | 842,957 | ||||||
133,249 | CenterPoint Energy, Inc. | 3,692,330 | ||||||
35,369 | Edison International | 2,237,797 | ||||||
283,475 | NRG Energy, Inc. | 8,702,682 | ||||||
57,988 | OGE Energy Corp. | 2,041,757 | ||||||
|
| |||||||
17,517,523 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $1,016,117,746) | $ | 1,542,696,836 | ||||||
|
| |||||||
Shares | Distribution Rate | Value | ||||||
Investment Company (b) – 1.1% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
18,228,085 | 1.869% | $ | 18,228,085 | |||||
(Cost $18,228,085) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 97.8% | ||||||||
(Cost $1,034,345,831) | $ | 1,560,924,921 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 2.2% | 35,616,828 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 1,596,541,749 | ||||||
|
|
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) | Represents an Affiliated Issuer. |
| ||
Investment Abbreviation: | ||
REIT | —Real Estate Investment Trust | |
|
40 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At June 30, 2018, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
Russell 2000 E-Mini Index | 15 | 09/21/2018 | $ | 1,235,625 | $ | (21,590 | ) | |||||||||
S&P 500 E-Mini Index | 89 | 09/21/2018 | 12,111,120 | (271,165 | ) | |||||||||||
Total Futures Contracts | $ | (292,755 | ) |
The accompanying notes are an integral part of these financial statements. | 41 |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
Schedule of Investments
June 30, 2018 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 94.7% | ||||||||
Australia – 8.0% | ||||||||
17,886 | Altium Ltd. (Software & Services) | $ | 297,271 | |||||
233,580 | Aristocrat Leisure Ltd. (Consumer Services) | 5,334,355 | ||||||
102,532 | ASX Ltd. (Diversified Financials) | 4,887,470 | ||||||
1,255,005 | Beach Energy Ltd. (Energy) | 1,624,448 | ||||||
214,842 | BHP Billiton Ltd. (Materials) | 5,375,781 | ||||||
106,387 | BHP Billiton plc (Materials) | 2,387,583 | ||||||
22,130 | BlueScope Steel Ltd. (Materials) | 282,436 | ||||||
15,267 | Cochlear Ltd. (Health Care Equipment & Services) | 2,260,305 | ||||||
12,131 | Computershare Ltd. (Software & Services) | 165,254 | ||||||
21,034 | CSL Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 2,994,046 | ||||||
383,116 | GDI Property Group (REIT) | 365,907 | ||||||
73,528 | Iluka Resources Ltd. (Materials) | 607,327 | ||||||
20,997 | Insurance Australia Group Ltd. (Insurance) | 132,464 | ||||||
2,189 | Macquarie Group Ltd. (Diversified Financials) | 199,497 | ||||||
239,787 | Metcash Ltd. (Food & Staples Retailing) | 462,485 | ||||||
954,522 | Qantas Airways Ltd. (Transportation) | 4,346,511 | ||||||
14,751 | REA Group Ltd. (Media) | 989,954 | ||||||
55,584 | Rio Tinto Ltd. (Materials) | 3,434,274 | ||||||
75,808 | Rio Tinto plc ADR (Materials)(a) | 4,205,828 | ||||||
159,108 | Santos Ltd. (Energy)* | 736,932 | ||||||
276,601 | SpeedCast International Ltd. (Telecommunication Services) | 1,261,696 | ||||||
64,115 | Treasury Wine Estates Ltd. (Food, Beverage & Tobacco) | 823,752 | ||||||
109,583 | Wesfarmers Ltd. (Food & Staples Retailing) | 3,998,279 | ||||||
935,295 | Whitehaven Coal Ltd. (Energy) | 3,992,521 | ||||||
255,174 | Woolworths Group Ltd. (Food & Staples Retailing) | 5,762,778 | ||||||
|
| |||||||
56,929,154 | ||||||||
|
| |||||||
Belgium – 1.6% | ||||||||
67,545 | KBC Group NV (Banks) | 5,187,462 | ||||||
6,720 | Melexis NV (Semiconductors & Semiconductor Equipment) | 622,115 | ||||||
60,091 | UCB SA (Pharmaceuticals, Biotechnology & Life Sciences) | 4,710,552 | ||||||
5,694 | Warehouses De Pauw CVA (REIT) | 719,573 | ||||||
|
| |||||||
11,239,702 | ||||||||
|
| |||||||
Canada – 0.0% | ||||||||
18,724 | International Petroleum Corp. (Energy)* | 124,988 | ||||||
|
| |||||||
China – 1.0% | ||||||||
410,000 | China Mengniu Dairy Co. Ltd. (Food, Beverage & Tobacco)* | 1,382,838 | ||||||
188,000 | ENN Energy Holdings Ltd. (Utilities) | 1,841,159 | ||||||
1,549,000 | Fosun International Ltd. (Capital Goods) | 2,901,262 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
China – (continued) | ||||||||
100,000 | Tingyi Cayman Islands Holding Corp. (Food, Beverage & Tobacco) | 231,977 | ||||||
374,000 | Towngas China Co. Ltd. (Utilities)* | 361,895 | ||||||
402,000 | Uni-President China Holdings Ltd. (Food, Beverage & Tobacco) | 515,767 | ||||||
|
| |||||||
7,234,898 | ||||||||
|
| |||||||
Denmark – 2.5% | ||||||||
10,400 | Carlsberg A/S Class B (Food, Beverage & Tobacco) | 1,223,649 | ||||||
48,670 | Danske Bank A/S (Banks) | 1,516,260 | ||||||
97,096 | GN Store Nord A/S (Health Care Equipment & Services) | 4,411,674 | ||||||
1,369 | H Lundbeck A/S (Pharmaceuticals, Biotechnology & Life Sciences) | 95,948 | ||||||
131,256 | Novo Nordisk A/S Class B (Pharmaceuticals, Biotechnology & Life Sciences) | 6,062,789 | ||||||
34,860 | Pandora A/S (Consumer Durables & Apparel) | 2,429,652 | ||||||
30,363 | Royal Unibrew A/S (Food, Beverage & Tobacco) | 2,412,885 | ||||||
|
| |||||||
18,152,857 | ||||||||
|
| |||||||
Finland – 0.3% | ||||||||
5,991 | Kesko OYJ Class B (Food & Staples Retailing) | 365,924 | ||||||
27,761 | Metsa Board OYJ (Materials) | 312,951 | ||||||
42,460 | UPM-Kymmene OYJ (Materials) | 1,511,792 | ||||||
|
| |||||||
2,190,667 | ||||||||
|
| |||||||
France – 7.5% | ||||||||
38,784 | Arkema SA (Materials) | 4,576,523 | ||||||
89,595 | BNP Paribas SA (Banks) | 5,542,072 | ||||||
12,965 | Capgemini SE (Software & Services) | 1,737,438 | ||||||
628 | Christian Dior SE (Consumer Durables & Apparel) | 262,289 | ||||||
38,392 | Cie de Saint-Gobain (Capital Goods) | 1,710,170 | ||||||
31,954 | Cie Generale des Etablissements Michelin SCA (Automobiles & Components) | 3,865,734 | ||||||
1,459 | Dassault Systemes SE (Software & Services) | 204,178 | ||||||
23,238 | Faurecia SA (Automobiles & Components) | 1,651,906 | ||||||
22,950 | Gecina SA (REIT) | 3,833,989 | ||||||
11,703 | Kering SA (Consumer Durables & Apparel) | 6,592,299 | ||||||
5,892 | Klepierre SA (REIT) | 221,381 | ||||||
13,197 | Orange SA (Telecommunication Services) | 220,286 | ||||||
3,237 | Pernod Ricard SA (Food, Beverage & Tobacco) | 528,294 | ||||||
12,502 | Publicis Groupe SA (Media) | 857,918 | ||||||
9,727 | Rubis SCA (Utilities) | 606,308 | ||||||
51,421 | Safran SA (Capital Goods) | 6,227,335 | ||||||
|
|
42 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
France – (continued) | ||||||||
76,584 | Schneider Electric SE (Capital Goods) | $ | 6,369,243 | |||||
2,418 | Societe Generale SA (Banks) | 101,628 | ||||||
3,561 | Sopra Steria Group (Software & Services) | 724,553 | ||||||
26,251 | Teleperformance (Commercial & Professional Services) | 4,633,187 | ||||||
1,107 | Thales SA (Capital Goods) | 142,420 | ||||||
29,274 | Ubisoft Entertainment SA (Software & Services)* | 3,199,889 | ||||||
|
| |||||||
53,809,040 | ||||||||
|
| |||||||
Germany – 8.2% | ||||||||
23,874 | Aareal Bank AG (Banks) | 1,047,380 | ||||||
41,577 | Allianz SE (Registered) (Insurance) | 8,567,137 | ||||||
3,103 | Aurubis AG (Materials) | 236,865 | ||||||
87,815 | BASF SE (Materials) | 8,383,571 | ||||||
29,383 | Bayer AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | 3,226,947 | ||||||
23,257 | Continental AG (Automobiles & Components) | 5,292,778 | ||||||
57,684 | Covestro AG (Materials)(b) | 5,127,162 | ||||||
152,602 | Deutsche Lufthansa AG (Registered) (Transportation) | 3,655,983 | ||||||
91,686 | Deutsche Post AG (Registered) (Transportation) | 2,978,912 | ||||||
10,537 | Freenet AG (Telecommunication Services) | 278,616 | ||||||
1,745 | Fresenius Medical Care AG & Co. KGaA (Health Care Equipment & Services) | 175,707 | ||||||
42,498 | HUGO BOSS AG (Consumer Durables & Apparel) | 3,854,102 | ||||||
3,158 | Jenoptik AG (Technology Hardware & Equipment) | 123,530 | ||||||
6,946 | Linde AG (Materials) | 1,650,223 | ||||||
40,760 | ProSiebenSat.1 Media SE (Media) | 1,031,432 | ||||||
975 | Puma SE (Consumer Durables & Apparel) | 569,603 | ||||||
26,693 | Rheinmetall AG (Capital Goods) | 2,936,826 | ||||||
88,089 | RWE AG (Utilities) | 2,001,781 | ||||||
1,964 | Siemens AG (Registered) (Capital Goods) | 258,769 | ||||||
5,993 | Siltronic AG (Semiconductors & Semiconductor Equipment) | 851,611 | ||||||
40,901 | Wirecard AG (Software & Services) | 6,544,995 | ||||||
|
| |||||||
58,793,930 | ||||||||
|
| |||||||
Hong Kong – 3.1% | ||||||||
1,062,200 | AIA Group Ltd. (Insurance) | 9,253,261 | ||||||
307,464 | CK Asset Holdings Ltd. (Real Estate) | 2,433,981 | ||||||
324,000 | CLP Holdings Ltd. (Utilities) | 3,489,930 | ||||||
237,000 | Galaxy Entertainment Group Ltd. (Consumer Services) | 1,826,903 | ||||||
446,000 | Giordano International Ltd. (Retailing) | 280,499 | ||||||
705,200 | Hong Kong & China Gas Co. Ltd. (Utilities) | 1,348,014 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Hong Kong – (continued) | ||||||||
56,700 | Hong Kong Exchanges & Clearing Ltd. (Diversified Financials) | 1,696,892 | ||||||
56,000 | Luk Fook Holdings International Ltd. (Retailing) | 231,324 | ||||||
140,000 | Melco International Development Ltd. (Consumer Services) | 429,464 | ||||||
204,000 | PCCW Ltd. (Telecommunication Services) | 114,788 | ||||||
166,000 | Wheelock & Co. Ltd. (Real Estate) | 1,153,622 | ||||||
|
| |||||||
22,258,678 | ||||||||
|
| |||||||
Italy – 1.7% | ||||||||
364,035 | Eni SpA (Energy) | 6,749,709 | ||||||
114,348 | Moncler SpA (Consumer Durables & Apparel) | 5,188,546 | ||||||
|
| |||||||
11,938,255 | ||||||||
|
| |||||||
Japan – 25.6% | ||||||||
8,000 | ABC-Mart, Inc. (Retailing) | 437,260 | ||||||
121,000 | AEON Financial Service Co. Ltd. (Diversified Financials) | 2,578,997 | ||||||
26,800 | Aeon Mall Co. Ltd. (Real Estate) | 480,766 | ||||||
9,500 | Alpen Co. Ltd. (Retailing) | 204,184 | ||||||
19,800 | Aruhi Corp. (Banks) | 413,409 | ||||||
16,600 | Asahi Glass Co. Ltd. (Capital Goods) | 645,674 | ||||||
47,100 | Asahi Group Holdings Ltd. (Food, Beverage & Tobacco) | 2,415,651 | ||||||
358,600 | Astellas Pharma, Inc. (Pharmaceuticals, Biotechnology & Life Sciences) | 5,457,384 | ||||||
10,800 | Bandai Namco Holdings, Inc. (Consumer Durables & Apparel) | 444,868 | ||||||
12,700 | Benesse Holdings, Inc. (Consumer Services) | 450,371 | ||||||
58,200 | Chugoku Electric Power Co., Inc. (The) (Utilities) | 751,833 | ||||||
9,900 | CKD Corp. (Capital Goods) | 162,349 | ||||||
381,300 | Concordia Financial Group Ltd. (Banks) | 1,937,701 | ||||||
9,000 | Cosmo Energy Holdings Co. Ltd. (Energy) | 315,170 | ||||||
263,100 | Credit Saison Co. Ltd. (Diversified Financials) | 4,133,553 | ||||||
44,600 | Dentsu, Inc. (Media) | 2,111,271 | ||||||
7,000 | Don Quijote Holdings Co. Ltd. (Retailing) | 335,991 | ||||||
70,400 | Eisai Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 4,955,460 | ||||||
221,800 | Financial Products Group Co. Ltd. (Diversified Financials) | 2,853,565 | ||||||
15,200 | Fuji Oil Holdings, Inc. (Food, Beverage & Tobacco) | 546,407 | ||||||
264,000 | Fujitsu Ltd. (Software & Services) | 1,597,600 | ||||||
135,000 | Fukuoka Financial Group, Inc. (Banks) | 677,471 | ||||||
61,100 | Hachijuni Bank Ltd. (The) (Banks) | 260,334 | ||||||
136,200 | Hitachi Construction Machinery Co. Ltd. (Capital Goods) | 4,415,605 | ||||||
788,000 | Hitachi Ltd. (Technology Hardware & Equipment) | 5,551,447 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 43 |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
7,500 | Hoya Corp. (Health Care Equipment & Services) | $ | 425,467 | |||||
144,400 | Idemitsu Kosan Co. Ltd. (Energy) | 5,135,096 | ||||||
31,200 | Isetan Mitsukoshi Holdings Ltd. (Retailing) | 389,248 | ||||||
123,400 | Japan Exchange Group, Inc. (Diversified Financials) | 2,288,841 | ||||||
922,800 | JXTG Holdings, Inc. (Energy) | 6,402,181 | ||||||
322,000 | Kajima Corp. (Capital Goods) | 2,487,984 | ||||||
16,300 | Kansai Electric Power Co., Inc. (The) (Utilities) | 237,720 | ||||||
51,900 | Kao Corp. (Household & Personal Products) | 3,955,900 | ||||||
150,500 | KDDI Corp. (Telecommunication Services) | 4,115,409 | ||||||
20,700 | Kewpie Corp. (Food, Beverage & Tobacco) | 522,737 | ||||||
193,900 | Kirin Holdings Co. Ltd. (Food, Beverage & Tobacco) | 5,197,468 | ||||||
4,400 | Ki-Star Real Estate Co. Ltd. (Consumer Durables & Apparel) | 104,274 | ||||||
15,200 | Kobayashi Pharmaceutical Co. Ltd. (Household & Personal Products) | 1,311,996 | ||||||
29,200 | Konami Holdings Corp. (Software & Services) | 1,483,701 | ||||||
7,700 | Kose Corp. (Household & Personal Products) | 1,656,227 | ||||||
104,100 | Kyowa Hakko Kirin Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 2,095,346 | ||||||
50,200 | Link And Motivation, Inc. (Commercial & Professional Services) | 603,380 | ||||||
9,700 | Macnica Fuji Electronics Holdings, Inc. (Technology Hardware & Equipment) | 162,642 | ||||||
14,000 | Mandom Corp. (Household & Personal Products) | 435,416 | ||||||
4,100 | Medipal Holdings Corp. (Health Care Equipment & Services) | 82,358 | ||||||
15,700 | Mitsubishi Corp. (Capital Goods) | 435,346 | ||||||
3,598,200 | Mizuho Financial Group, Inc. (Banks) | 6,061,116 | ||||||
2,800 | Mizuno Corp. (Consumer Durables & Apparel) | 104,539 | ||||||
23,500 | Monex Group, Inc. (Diversified Financials) | 135,482 | ||||||
800 | Monogatari Corp. (The) (Consumer Services) | 81,411 | ||||||
31,300 | NET One Systems Co. Ltd. (Software & Services) | 537,350 | ||||||
19,800 | NGK Spark Plug Co. Ltd. (Automobiles & Components) | 562,890 | ||||||
7,700 | NichiiGakkan Co. Ltd. (Health Care Equipment & Services) | 87,274 | ||||||
15,400 | Nippon Paper Industries Co. Ltd. (Materials) | 245,505 | ||||||
23,500 | Nishi-Nippon Financial Holdings, Inc. (Banks) | 273,990 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
4,200 | Noevir Holdings Co. Ltd. (Household & Personal Products) | 302,552 | ||||||
86,200 | North Pacific Bank Ltd. (Banks) | 287,713 | ||||||
20,500 | Okinawa Electric Power Co., Inc. (The) (Utilities) | 427,648 | ||||||
58,300 | Onward Holdings Co. Ltd. (Consumer Durables & Apparel) | 447,014 | ||||||
121,900 | Osaka Gas Co. Ltd. (Utilities) | 2,524,057 | ||||||
26,200 | Otsuka Holdings Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 1,267,365 | ||||||
5,000 | Outsourcing, Inc. (Commercial & Professional Services) | 92,493 | ||||||
195,300 | Persol Holdings Co. Ltd. (Commercial & Professional Services) | 4,349,408 | ||||||
2,300 | Pola Orbis Holdings, Inc. (Household & Personal Products) | 101,075 | ||||||
47,000 | Prima Meat Packers Ltd. (Food, Beverage & Tobacco) | 271,673 | ||||||
569,900 | Rakuten, Inc. (Retailing) | 3,846,635 | ||||||
874,200 | Resona Holdings, Inc. (Banks) | 4,659,293 | ||||||
12,800 | Ryohin Keikaku Co. Ltd. (Retailing) | 4,496,940 | ||||||
36,200 | SAMTY Co. Ltd. (Real Estate) | 662,263 | ||||||
6,800 | Sankyo Co. Ltd. (Consumer Durables & Apparel) | 265,913 | ||||||
209,800 | Santen Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 3,649,768 | ||||||
28,300 | Sawai Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 1,286,999 | ||||||
32,800 | SCSK Corp. (Software & Services) | 1,523,000 | ||||||
242,900 | Sega Sammy Holdings, Inc. (Consumer Durables & Apparel) | 4,157,348 | ||||||
114,900 | Seven & i Holdings Co. Ltd. (Food & Staples Retailing) | 5,011,442 | ||||||
541,700 | Seven Bank Ltd. (Banks) | 1,654,130 | ||||||
30,000 | Shiga Bank Ltd. (The) (Banks) | 153,463 | ||||||
9,200 | Shikoku Electric Power Co., Inc. (Utilities) | 123,051 | ||||||
136,700 | Shimizu Corp. (Capital Goods) | 1,414,852 | ||||||
4,100 | Shionogi & Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 210,387 | ||||||
2,400 | Ship Healthcare Holdings, Inc. (Health Care Equipment & Services) | 90,439 | ||||||
95,300 | Shiseido Co. Ltd. (Household & Personal Products) | 7,562,626 | ||||||
17,900 | Shizuoka Bank Ltd. (The) (Banks) | 160,945 | ||||||
64,500 | SoftBank Group Corp. (Telecommunication Services) | 4,605,826 | ||||||
12,300 | Sugi Holdings Co. Ltd. (Food & Staples Retailing) | 711,615 | ||||||
89,700 | SUMCO Corp. (Semiconductors & Semiconductor Equipment) | 1,801,574 | ||||||
6,300 | Sumitomo Corp. (Capital Goods) | 103,319 | ||||||
180,200 | Sumitomo Dainippon Pharma Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 3,808,698 | ||||||
|
|
44 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
169,400 | Sumitomo Mitsui Financial Group, Inc. (Banks) | $ | 6,607,616 | |||||
46,900 | Suruga Bank Ltd. (Banks) | 417,756 | ||||||
142,100 | Taiyo Yuden Co. Ltd. (Technology Hardware & Equipment) | 3,960,590 | ||||||
41,500 | Takara Holdings, Inc. (Food, Beverage & Tobacco) | 548,691 | ||||||
6,600 | TIS, Inc. (Software & Services) | 303,306 | ||||||
4,300 | Toho Holdings Co. Ltd. (Health Care Equipment & Services) | 104,824 | ||||||
32,900 | Tokyo Electron Ltd. (Semiconductors & Semiconductor Equipment) | 5,647,394 | ||||||
178,000 | Tokyo Gas Co. Ltd. (Utilities) | 4,726,305 | ||||||
3,300 | Toyota Motor Corp. (Automobiles & Components) | 213,408 | ||||||
2,700 | WDB Holdings Co. Ltd. (Commercial & Professional Services) | 81,081 | ||||||
175,800 | Yamaha Motor Co. Ltd. (Automobiles & Components) | 4,413,235 | ||||||
59,900 | Zenkoku Hosho Co. Ltd. (Diversified Financials) | 2,712,122 | ||||||
6,500 | ZERIA Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 140,469 | ||||||
|
| |||||||
183,660,936 | ||||||||
|
| |||||||
Luxembourg – 0.2% | ||||||||
2,493 | Eurofins Scientific SE (Pharmaceuticals, Biotechnology & Life Sciences) | 1,382,644 | ||||||
|
| |||||||
Netherlands – 5.2% | ||||||||
266 | Aegon NV (Insurance) | 1,588 | ||||||
64,748 | BE Semiconductor Industries NV (Semiconductors & Semiconductor Equipment) | 1,742,359 | ||||||
90,034 | Koninklijke Ahold Delhaize NV (Food & Staples Retailing) | 2,149,796 | ||||||
52,196 | Koninklijke DSM NV (Materials) | 5,221,638 | ||||||
145,676 | Koninklijke Philips NV (Health Care Equipment & Services) | 6,171,997 | ||||||
113,331 | NN Group NV (Insurance) | 4,596,300 | ||||||
15,870 | NXP Semiconductors NV (Semiconductors & Semiconductor Equipment)* | 1,734,115 | ||||||
4,159 | Randstad NV (Commercial & Professional Services) | 244,113 | ||||||
143,177 | Royal Dutch Shell plc Class A (Energy) | 4,968,877 | ||||||
153,940 | Royal Dutch Shell plc Class B (Energy) | 5,513,053 | ||||||
89,953 | Wolters Kluwer NV (Commercial & Professional Services) | 5,053,265 | ||||||
|
| |||||||
37,397,101 | ||||||||
|
| |||||||
New Zealand – 0.3% | ||||||||
262,944 | a2 Milk Co. Ltd. (Food, Beverage & Tobacco)* | 2,036,483 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Norway – 2.2% | ||||||||
156,092 | Aker BP ASA (Energy) | 5,741,559 | ||||||
262,216 | DNB ASA (Banks) | 5,106,148 | ||||||
226,703 | Marine Harvest ASA (Food, Beverage & Tobacco) | 4,507,510 | ||||||
22,957 | Telenor ASA (Telecommunication Services) | 470,171 | ||||||
4,984 | Tomra Systems ASA (Commercial & Professional Services) | 104,645 | ||||||
|
| |||||||
15,930,033 | ||||||||
|
| |||||||
Russia – 0.5% | ||||||||
505,823 | Evraz plc (Materials) | 3,376,079 | ||||||
|
| |||||||
Singapore – 1.4% | ||||||||
785,800 | ComfortDelGro Corp. Ltd. (Transportation) | 1,352,349 | ||||||
627,500 | Oversea-Chinese Banking Corp. Ltd. (Banks) | 5,344,890 | ||||||
578,100 | Singapore Exchange Ltd. (Diversified Financials) | 3,037,860 | ||||||
5,600 | United Overseas Bank Ltd. (Banks) | 109,753 | ||||||
|
| |||||||
9,844,852 | ||||||||
|
| |||||||
Spain – 3.5% | ||||||||
76,966 | ACS Actividades de Construccion y Servicios SA (Capital Goods) | 3,105,266 | ||||||
29,534 | Amadeus IT Group SA (Software & Services) | 2,322,331 | ||||||
924,168 | Banco Bilbao Vizcaya Argentaria SA (Banks) | 6,517,758 | ||||||
754,232 | Banco Santander SA (Banks) | 4,030,969 | ||||||
139,699 | Endesa SA (Utilities) | 3,072,205 | ||||||
143,741 | Grifols SA (Pharmaceuticals, Biotechnology & Life Sciences) | 4,308,326 | ||||||
97,161 | Repsol SA (Energy) | 1,896,494 | ||||||
|
| |||||||
25,253,349 | ||||||||
|
| |||||||
Sweden – 1.6% | ||||||||
34,025 | Alfa Laval AB (Capital Goods) | 803,258 | ||||||
15,164 | Atlas Copco AB Class B (Capital Goods) | 395,050 | ||||||
60,071 | Axfood AB (Food & Staples Retailing) | 1,152,942 | ||||||
27,186 | Elekta AB Class B (Health Care Equipment & Services) | 357,322 | ||||||
15,164 | Epiroc AB Class B (Capital Goods)* | 138,828 | ||||||
124,868 | Getinge AB Class B (Health Care Equipment & Services) | 1,133,556 | ||||||
6,244 | Lundin Petroleum AB (Energy) | 198,185 | ||||||
24,585 | Sandvik AB (Capital Goods) | 434,195 | ||||||
465,413 | Svenska Cellulosa AB SCA Class B (Household & Personal Products) | 5,038,436 | ||||||
36,064 | Swedish Match AB (Food, Beverage & Tobacco) | 1,782,344 | ||||||
13,195 | Vitrolife AB (Pharmaceuticals, Biotechnology & Life Sciences) | 192,738 | ||||||
|
| |||||||
11,626,854 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 45 |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
Schedule of Investments (continued)
June 30, 2018 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Switzerland – 7.0% | ||||||||
986 | Bachem Holding AG (Registered) Class B (Pharmaceuticals, Biotechnology & Life Sciences) | $ | 129,973 | |||||
1,531 | Bobst Group SA (Registered) (Capital Goods) | 156,540 | ||||||
75 | Conzzeta AG (Registered) (Capital Goods) | 86,337 | ||||||
8,090 | Flughafen Zurich AG (Registered) (Transportation) | 1,646,033 | ||||||
1,884 | Georg Fischer AG (Registered) (Capital Goods) | 2,405,839 | ||||||
88,202 | Logitech International SA (Registered) (Technology Hardware & Equipment) | 3,864,211 | ||||||
10,983 | Lonza Group AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences)* | 2,902,219 | ||||||
58,948 | Nestle SA (Registered) (Food, Beverage & Tobacco) | 4,568,520 | ||||||
24,842 | Novartis AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | 1,881,805 | ||||||
28,892 | Roche Holding AG (Pharmaceuticals, Biotechnology & Life Sciences) | 6,409,926 | ||||||
262 | Siegfried Holding AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences)* | 104,735 | ||||||
29,248 | Sonova Holding AG (Registered) (Health Care Equipment & Services) | 5,231,986 | ||||||
222,191 | STMicroelectronics NV (Semiconductors & Semiconductor Equipment) | 4,928,935 | ||||||
10,284 | Swatch Group AG (The) (Consumer Durables & Apparel) | 4,868,256 | ||||||
1,311 | Tecan Group AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | 318,159 | ||||||
30,210 | Temenos AG (Registered) (Software & Services)* | 4,543,179 | ||||||
21,292 | Zurich Insurance Group AG (Insurance)* | 6,296,685 | ||||||
|
| |||||||
50,343,338 | ||||||||
|
| |||||||
United Kingdom – 13.0% | ||||||||
348,109 | 888 Holdings plc (Consumer Services) | 1,238,325 | ||||||
34,705 | Ashtead Group plc (Capital Goods) | 1,033,492 | ||||||
195 | AstraZeneca plc (Pharmaceuticals, Biotechnology & Life Sciences) | 13,487 | ||||||
173,890 | AstraZeneca plc ADR (Pharmaceuticals, Biotechnology & Life Sciences)(a) | 6,105,278 | ||||||
153,810 | Barratt Developments plc (Consumer Durables & Apparel) | 1,042,664 | ||||||
252,598 | BP plc ADR (Energy) | 11,533,625 | ||||||
166,541 | Burberry Group plc (Consumer Durables & Apparel) | 4,733,186 | ||||||
8,562 | Derwent London plc (REIT) | 350,291 | ||||||
224,767 | Diageo plc (Food, Beverage & Tobacco) | 8,074,956 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
United Kingdom – (continued) | ||||||||
710,328 | Direct Line Insurance Group plc (Insurance) | 3,205,479 | ||||||
35,845 | Experian plc (Commercial & Professional Services) | 884,247 | ||||||
258,846 | Fiat Chrysler Automobiles NV (Automobiles & Components)* | 4,882,933 | ||||||
91,640 | Gulf Keystone Petroleum Ltd. (Energy)* | 302,355 | ||||||
355,241 | HSBC Holdings plc (Banks) | 3,319,497 | ||||||
793,752 | International Consolidated Airlines Group SA (Transportation) | 6,933,033 | ||||||
51,406 | Intertek Group plc (Commercial & Professional Services) | 3,865,246 | ||||||
79,545 | JD Sports Fashion plc (Retailing) | 460,922 | ||||||
555,285 | Legal & General Group plc (Insurance) | 1,942,297 | ||||||
107,629 | Lloyds Banking Group plc (Banks) | 89,302 | ||||||
210,823 | Man Group plc (Diversified Financials) | 488,712 | ||||||
168,760 | Mondi plc (Materials) | 4,552,822 | ||||||
99,610 | National Grid plc (Utilities) | 1,100,797 | ||||||
58,397 | Next plc (Retailing) | 4,648,329 | ||||||
97,550 | OneSavings Bank plc (Banks) | 526,412 | ||||||
43,843 | Paragon Banking Group plc (Banks) | 276,433 | ||||||
394,821 | Pearson plc (Media) | 4,597,965 | ||||||
133,725 | Persimmon plc (Consumer Durables & Apparel) | 4,454,338 | ||||||
56,863 | Prudential plc (Insurance) | 1,296,267 | ||||||
247,999 | RELX NV (Commercial & Professional Services) | 5,272,173 | ||||||
18,430 | Safestore Holdings plc (REIT) | 133,264 | ||||||
19,709 | Senior plc (Capital Goods) | 78,798 | ||||||
71,157 | Smith & Nephew plc (Health Care Equipment & Services) | 1,310,734 | ||||||
10,118 | Smiths Group plc (Capital Goods) | 226,010 | ||||||
157,233 | SSP Group plc (Consumer Services) | 1,311,900 | ||||||
116,448 | Standard Life Investment Property Income Trust Ltd. (REIT) | 143,078 | ||||||
36,085 | Unilever plc (Household & Personal Products) | 1,993,352 | ||||||
4,408 | Unilever plc ADR (Household & Personal Products) | 243,674 | ||||||
3,592 | Victrex plc (Materials) | 137,518 | ||||||
|
| |||||||
92,803,191 | ||||||||
|
| |||||||
United States – 0.3% | ||||||||
37,193 | Carnival plc ADR (Consumer Services)(c) | 2,144,176 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $593,815,946) | $ | 678,471,205 | ||||||
|
|
46 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
Units | Description | Expiration Month | Value | |||||||
Rights* – 0.0% | ||||||||||
Italy – 0.0% | ||||||||||
1,005,071 | Intesa Sanpaolo SpA (Banks) | 07/2018 | $ | — | ||||||
| ||||||||||
Spain – 0.0% | ||||||||||
76,966 | ACS Actividades de Construccion y Servicios SA (Capital Goods) | 08/2018 | 79,275 | |||||||
| ||||||||||
TOTAL RIGHTS |
| |||||||||
(Cost $80,226) |
| $ | 79,275 | |||||||
|
Shares | Distribution Rate | Value | ||||||
Investment Company(d) – 0.0% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
425 | 1.869% | $ | 425 | |||||
(Cost $425) | ||||||||
|
| |||||||
| TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | | ||||||
(Cost $593,896,597) | $ | 678,550,905 | ||||||
|
| |||||||
Securities Lending Reinvestment Vehicle(d) – 0.4% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
2,915,100 | 1.869% | $ | 2,915,100 | |||||
(Cost $2,915,100) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 95.3% | ||||||||
(Cost $596,811,697) | $ | 681,466,005 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 4.9% | 34,761,735 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 716,227,740 | ||||||
|
|
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) | Exempt from registration under Rule 144A of the Securities Act of 1933. Under procedures approved by the Board of Trustees, such securities may be deemed liquid by the Investment Adviser and may be resold, normally to qualified institutional buyers in transactions exempt from registration. Total market value of Rule 144A securities amounts to $5,127,162, which represents approximately 0.7% of net assets as of June 30, 2018. The liquidity determination is unaudited. | |
(c) | All or a portion of security is on loan. | |
(d) | Represents an Affiliated Issuer. |
| ||
Investment Abbreviations: | ||
ADR | —American Depositary Receipt | |
CVA | —Dutch Certification | |
REIT | —Real Estate Investment Trust | |
|
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At June 30, 2018, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
EURO STOXX 50 Index | 57 | 09/21/2018 | $ | 2,257,205 | $ | (40,875 | ) | |||||||||
FTSE 100 Index | 11 | 09/21/2018 | 1,103,529 | (9,352 | ) | |||||||||||
Hang Seng Index | 1 | 07/30/2018 | 183,071 | (1,179 | ) | |||||||||||
MSCI Singapore Index | 2 | 07/30/2018 | 53,725 | 131 | ||||||||||||
SPI 200 Index | 4 | 09/20/2018 | 454,983 | 7,591 | ||||||||||||
TOPIX Index | 7 | 09/13/2018 | 1,094,115 | (26,276 | ) | |||||||||||
Total Futures Contracts | $ | (69,960 | ) |
The accompanying notes are an integral part of these financial statements. | 47 |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Statements of Assets and Liabilities
June 30, 2018 (Unaudited)
U.S. Equity Dividend and Premium Fund | International Equity Dividend and Premium Fund | U.S. Tax-Managed Equity Fund | International Tax-Managed Equity Fund | |||||||||||||||
Assets: |
| |||||||||||||||||
Investments in unaffiliated issuers, at value (cost $2,886,924,022, $385,033,815, $1,016,117,746 and $593,896,172)(a) | $ | 3,374,240,308 | $ | 383,100,185 | $ | 1,542,696,836 | $ | 678,550,480 | ||||||||||
Investments in affiliated issuers, at value (cost $2,385,176, $2,271, $18,228,085 and $425) | 2,385,176 | 2,271 | 18,228,085 | 425 | ||||||||||||||
Investments in affiliated securities lending reinvestment vehicle, at value (cost $4,224,875, $2,293,350, $0 and $2,915,100) | 4,224,875 | 2,293,350 | — | 2,915,100 | ||||||||||||||
Cash | 2,958,504 | — | 24,196,966 | 422,531 | ||||||||||||||
Foreign currencies, at value (cost $0, $5,110,704, $0 and $10,841,352) | — | 5,052,866 | — | 10,780,096 | ||||||||||||||
Receivables: | ||||||||||||||||||
Investments sold | 7,566,944 | — | — | 41,747,502 | ||||||||||||||
Dividends | 3,457,713 | 1,167,466 | 1,036,495 | 1,024,944 | ||||||||||||||
Fund shares sold | 3,205,390 | 8,902,036 | 11,690,851 | 23,533,439 | ||||||||||||||
Reimbursement from investment adviser | 39,080 | 3,121 | — | 35,866 | ||||||||||||||
Securities lending income | 9,137 | 1,546 | 594 | 1,277 | ||||||||||||||
Foreign tax reclaims | — | 1,921,204 | — | 1,361,793 | ||||||||||||||
Due from custodian | — | — | — | 2,286,057 | ||||||||||||||
Variation margin on futures | — | 50,736 | 6,945 | 40,417 | ||||||||||||||
Other assets | 86,649 | 51,976 | 77,109 | 53,529 | ||||||||||||||
Total assets | 3,398,173,776 | 402,546,757 | 1,597,933,881 | 762,753,456 | ||||||||||||||
Liabilities: |
| |||||||||||||||||
Written options, at value (premiums received $25,426,444, $3,095,747, $0 and $0) | 27,951,300 | 1,655,672 | — | — | ||||||||||||||
Variation margin on futures | 13,957 | — | — | — | ||||||||||||||
Payables: | ||||||||||||||||||
Fund shares redeemed | 8,286,562 | 818,662 | 339,326 | 11,321 | ||||||||||||||
Investments purchased | 4,476,786 | — | — | 41,614,687 | ||||||||||||||
Payable upon return of securities loaned | 4,224,875 | 2,293,350 | — | 2,915,100 | ||||||||||||||
Management fees | 1,921,272 | 264,711 | 907,066 | 493,416 | ||||||||||||||
Distribution and Service fees and Transfer Agency fees | 399,202 | 17,487 | 91,496 | 31,049 | ||||||||||||||
Due to custodian | — | 548,857 | — | 1,388,739 | ||||||||||||||
Accrued expenses | 103,769 | 27,946 | 54,244 | 71,404 | ||||||||||||||
Total liabilities | 47,377,723 | 5,626,685 | 1,392,132 | 46,525,716 | ||||||||||||||
Net Assets: |
| |||||||||||||||||
Paid-in capital | 2,795,246,310 | 428,172,799 | 1,027,099,183 | 629,583,022 | ||||||||||||||
Undistributed net investment income | 1,468,110 | 140,922 | 6,730,843 | 10,285,951 | ||||||||||||||
Accumulated net realized gain (loss) | 68,885,125 | (30,693,283 | ) | 36,425,388 | (8,171,058 | ) | ||||||||||||
Net unrealized gain (loss) | 485,196,508 | (700,366 | ) | 526,286,335 | 84,529,825 | |||||||||||||
NET ASSETS | $ | 3,350,796,053 | $ | 396,920,072 | $ | 1,596,541,749 | $ | 716,227,740 | ||||||||||
Net Assets: | ||||||||||||||||||
Class A | $ | 251,400,921 | $ | 3,755,681 | $ | 52,503,390 | $ | 11,380,722 | ||||||||||
Class C | 169,962,150 | 3,128,533 | 21,651,272 | 3,974,445 | ||||||||||||||
Institutional | 1,304,695,356 | 26,365,788 | 117,111,672 | 101,391,482 | ||||||||||||||
Service | — | — | 761,024 | — | ||||||||||||||
Investor | 491,112,094 | 5,778,280 | 17,077,058 | 15,597,465 | ||||||||||||||
Class P | 842,127,141 | 213,066,088 | 2,232,286 | 1,703,931 | ||||||||||||||
Class R6 | 291,498,391 | 144,825,702 | 1,385,205,047 | 582,179,695 | ||||||||||||||
Total Net Assets | $ | 3,350,796,053 | $ | 396,920,072 | $ | 1,596,541,749 | $ | 716,227,740 | ||||||||||
Shares outstanding $0.001 par value (unlimited shares authorized): | ||||||||||||||||||
Class A | 19,072,788 | 515,195 | 2,268,477 | 1,063,363 | ||||||||||||||
Class C | 12,947,622 | 445,082 | 988,802 | 384,479 | ||||||||||||||
Institutional | 99,206,939 | 3,681,839 | 4,974,623 | 9,524,165 | ||||||||||||||
Service | — | — | 32,697 | — | ||||||||||||||
Investor | 37,321,819 | 809,443 | 726,217 | 1,456,907 | ||||||||||||||
Class P | 64,039,801 | 29,741,117 | 94,818 | 159,994 | ||||||||||||||
Class R6 | 22,171,849 | 20,244,108 | 58,854,052 | 54,674,790 | ||||||||||||||
Net asset value, offering and redemption price per share:(b) | ||||||||||||||||||
Class A | $ | 13.18 | $ | 7.29 | $ | 23.14 | $ | 10.70 | ||||||||||
Class C | 13.13 | 7.03 | 21.90 | 10.34 | ||||||||||||||
Institutional | 13.15 | 7.16 | 23.54 | 10.65 | ||||||||||||||
Service | — | — | 23.27 | — | ||||||||||||||
Investor | 13.16 | 7.14 | 23.52 | 10.71 | ||||||||||||||
Class P | 13.15 | 7.16 | 23.54 | 10.65 | ||||||||||||||
Class R6 | 13.15 | 7.15 | 23.54 | 10.65 |
(a) | Includes loaned securities having a market value of $4,052,747, $2,138,324 and $2,836,380 for the U.S. Equity Dividend and Premium, International Equity Dividend and Premium and International Tax-Managed Equity Funds, respectively. |
(b) | Maximum public offering price per share for Class A Shares of the U.S. Equity Dividend and Premium, International Equity Dividend and Premium, U.S. Tax-Managed Equity and International Tax-Managed Equity Funds is $13.95, $7.71, $24.49 and $11.32, 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. |
48 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Statements of Operations
For the Six Months Ended June 30, 2018 (Unaudited)
U.S. Equity Dividend and Premium Fund | International Equity Dividend and Premium Fund | U.S. Tax-Managed Equity Fund | International Tax-Managed Equity Fund | |||||||||||||||
Investment income: |
| |||||||||||||||||
Dividends — unaffiliated issuers (net of foreign taxes withheld of $0, $1,124,370, $0 and $1,434,428) | $ | 46,696,322 | $ | 10,471,586 | $ | 12,031,889 | $ | 12,595,760 | ||||||||||
Dividends — affiliated issuers | 87,972 | 10,057 | 79,010 | 18,249 | ||||||||||||||
Income from non-cash dividends | — | — | — | 772,017 | ||||||||||||||
Securities lending income — affiliated issuer | 22,782 | 3,534 | 3,951 | 37,027 | ||||||||||||||
Total investment income | 46,807,076 | 10,485,177 | 12,114,850 | 13,423,053 | ||||||||||||||
Expenses: |
| |||||||||||||||||
Management fees | 11,674,356 | 1,658,681 | 5,274,868 | 2,926,734 | ||||||||||||||
Transfer Agency fees(a) | 1,311,642 | 90,757 | 373,130 | 156,615 | ||||||||||||||
Distribution and Service fees(a) | 1,201,021 | 25,697 | 177,519 | 31,925 | ||||||||||||||
Custody, accounting and administrative services | 186,415 | 80,635 | 84,381 | 118,262 | ||||||||||||||
Printing and mailing costs | 106,314 | 14,028 | 20,222 | 12,849 | ||||||||||||||
Professional fees | 48,590 | 54,288 | 49,708 | 56,080 | ||||||||||||||
Trustee fees | 12,162 | 9,086 | 10,110 | 9,301 | ||||||||||||||
Registration fees | 4,210 | 4,140 | 21,310 | 4,811 | ||||||||||||||
Service share fees — Service and Shareholder Administration Plan | — | — | 1,882 | — | ||||||||||||||
Other | 35,779 | 30,131 | 20,018 | 15,371 | ||||||||||||||
Total expenses | 14,580,489 | 1,967,443 | 6,033,148 | 3,331,948 | ||||||||||||||
Less — expense reductions | (220,421 | ) | (4,728 | ) | (16,384 | ) | (173,734 | ) | ||||||||||
Net expenses | 14,360,068 | 1,962,715 | 6,016,764 | 3,158,214 | ||||||||||||||
NET INVESTMENT INCOME | 32,447,008 | 8,522,462 | 6,098,086 | 10,264,839 | ||||||||||||||
Realized and unrealized gain (loss): |
| |||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||||
Investments — unaffiliated issuers | 97,363,268 | (706,711 | ) | 1,212,650 | (7,589,272 | ) | ||||||||||||
In-kind transactions | — | — | 56,459,721 | — | ||||||||||||||
Futures contracts | 2,875,258 | 89,953 | 1,719,517 | (23,510 | ) | |||||||||||||
Foreign currency transactions | — | (159,432 | ) | — | (325,206 | ) | ||||||||||||
Written options | (6,165,946 | ) | (1,385,164 | ) | — | — | ||||||||||||
Net change in unrealized gain (loss) on: | ||||||||||||||||||
Investments — unaffiliated issuers | (97,505,376 | ) | (23,649,894 | ) | (11,486,558 | ) | (15,887,467 | ) | ||||||||||
Futures contracts | 501,369 | (104,421 | ) | (432,904 | ) | (56,560 | ) | |||||||||||
Foreign currency translation | — | (148,902 | ) | — | (182,558 | ) | ||||||||||||
Written options | 8,883,482 | 1,431,119 | — | — | ||||||||||||||
Net realized and unrealized gain (loss) | 5,952,055 | (24,633,452 | ) | 47,472,426 | (24,064,573 | ) | ||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 38,399,063 | $ | (16,110,990 | ) | $ | 53,570,512 | $ | (13,799,734 | ) |
(a) | Class specific Distribution and/or Service, and Transfer Agency fees were as follows: |
Distribution and/or Service Fees | Transfer Agency Fees | |||||||||||||||||||||||||||||||||||||||
Fund | Class A | Class C | Service | Class A | Class C | Institutional | Service | Investor | Class P(b) | Class R6(c) | ||||||||||||||||||||||||||||||
U.S. Equity Dividend and Premium | $ | 330,783 | $ | 870,238 | $ | — | $ | 238,164 | $ | 156,642 | $ | 471,515 | $ | — | $ | 426,830 | $ | 16,281 | $ | 2,210 | ||||||||||||||||||||
International Equity Dividend and Premium | 4,679 | 21,018 | — | 3,369 | 3,783 | 75,549 | — | 5,372 | 1,670 | 1,014 | ||||||||||||||||||||||||||||||
U.S. Tax-Managed Equity | 64,060 | 113,459 | 1,882 | 46,123 | 20,422 | 280,595 | 151 | 15,399 | 53 | 10,387 | ||||||||||||||||||||||||||||||
International Tax-Managed Equity | 13,923 | 18,002 | — | 10,024 | 3,240 | 126,343 | — | 12,814 | 44 | 4,150 |
(b) | Commenced operation on April 17, 2018. |
(c) | Commenced operation on April 30, 2018. |
The accompanying notes are an integral part of these financial statements. | 49 |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Statements of Changes in Net Assets
U.S. Equity Dividend and Premium Fund | International Equity Dividend and Premium Fund | |||||||||||||||||||||
For the Six Months Ended June 30, 2018 (Unaudited) | For the Fiscal Year Ended | For the Six Months Ended June 30, 2018 (Unaudited) | For the Fiscal Year Ended | |||||||||||||||||||
From operations: |
| |||||||||||||||||||||
Net investment income | $ | 32,447,008 | $ | 56,830,517 | $ | 8,522,462 | $ | 9,838,391 | ||||||||||||||
Net realized gain (loss) | 94,072,580 | 120,810,368 | (2,161,354 | ) | (1,723,195 | ) | ||||||||||||||||
Net change in unrealized gain (loss) | (88,120,525 | ) | 275,559,374 | (22,472,098 | ) | 71,868,026 | ||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 38,399,063 | 453,200,259 | (16,110,990 | ) | 79,983,222 | |||||||||||||||||
Distributions to shareholders: |
| |||||||||||||||||||||
From net investment income | ||||||||||||||||||||||
Class A Shares | (2,165,151 | ) | (3,974,753 | ) | (73,384 | ) | (97,747 | ) | ||||||||||||||
Class C Shares | (830,357 | ) | (1,305,021 | ) | (52,657 | ) | (56,946 | ) | ||||||||||||||
Institutional Shares | (18,949,930 | ) | (45,497,275 | ) | (2,276,593 | ) | (10,184,968 | ) | ||||||||||||||
Investor Shares(a) | (4,606,944 | ) | (7,319,152 | ) | (122,201 | ) | (120,278 | ) | ||||||||||||||
Class P Shares(b) | (4,541,664 | ) | — | (3,628,779 | ) | — | ||||||||||||||||
Class R6 Shares(c) | (1,591,025 | ) | — | (2,316,015 | ) | — | ||||||||||||||||
From net realized gains | ||||||||||||||||||||||
Class A Shares | — | (11,043,350 | ) | — | — | |||||||||||||||||
Class C Shares | — | (7,337,462 | ) | — | — | |||||||||||||||||
Institutional Shares | — | (106,039,247 | ) | — | — | |||||||||||||||||
Investor Shares(a) | — | (19,148,556 | ) | — | — | |||||||||||||||||
Total distributions to shareholders | (32,685,071 | ) | (201,664,816 | ) | (8,469,629 | ) | (10,459,939 | ) | ||||||||||||||
From share transactions: |
| |||||||||||||||||||||
Proceeds from sales of shares | 1,549,258,875 | 1,283,188,454 | 387,892,879 | 88,942,877 | ||||||||||||||||||
Reinvestment of distributions | 29,272,067 | 181,754,076 | 8,308,439 | 10,353,429 | ||||||||||||||||||
Cost of shares redeemed | (1,725,138,738 | ) | (899,381,110 | ) | (388,941,384 | ) | (72,517,073 | ) | ||||||||||||||
Net increase (decrease) in net assets resulting from share transactions | (146,607,796 | ) | 565,561,420 | 7,259,934 | 26,779,233 | |||||||||||||||||
TOTAL INCREASE (DECREASE) | (140,893,804 | ) | 817,096,863 | (17,320,685 | ) | 96,302,516 | ||||||||||||||||
Net assets: |
| |||||||||||||||||||||
Beginning of period | 3,491,689,857 | 2,674,592,994 | 414,240,757 | 317,938,241 | ||||||||||||||||||
End of period | $ | 3,350,796,053 | $ | 3,491,689,857 | $ | 396,920,072 | $ | 414,240,757 | ||||||||||||||
Undistributed net investment income | $ | 1,468,110 | $ | 1,706,173 | $ | 140,922 | $ | 88,089 |
(a) | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
(b) | Commenced operation on April 17, 2018. |
(c) | Commenced operation on April 30, 2018. |
50 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
U.S. Tax-Managed Equity Fund | International Tax-Managed Equity Fund | |||||||||||||||||||||
For the Six Months Ended June 30, 2018 (Unaudited) | For the Fiscal Year Ended | For the Six Months Ended June 30, 2018 (Unaudited) | For the Fiscal Year Ended | |||||||||||||||||||
From operations: |
| |||||||||||||||||||||
Net investment income | $ | 6,098,086 | $ | 12,722,967 | $ | 10,264,839 | $ | 10,088,081 | ||||||||||||||
Net realized gain (loss) | 59,391,888 | 18,031,352 | (7,937,988 | ) | 99,238,821 | |||||||||||||||||
Net change in unrealized gain (loss) | (11,919,462 | ) | 209,357,661 | (16,126,585 | ) | 38,813,188 | ||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 53,570,512 | 240,111,980 | (13,799,734 | ) | 148,140,090 | |||||||||||||||||
Distributions to shareholders: |
| |||||||||||||||||||||
From net investment income | ||||||||||||||||||||||
Class A Shares | — | (240,546 | ) | — | (150,734 | ) | ||||||||||||||||
Class C Shares | — | — | — | (33,326 | ) | |||||||||||||||||
Institutional Shares | — | (11,897,314 | ) | — | (11,345,058 | ) | ||||||||||||||||
Service Shares | — | (2,973 | ) | — | — | |||||||||||||||||
Investor Shares(a) | — | (124,607 | ) | — | (272,879 | ) | ||||||||||||||||
Total distributions to shareholders | — | (12,265,440 | ) | — | (11,801,997 | ) | ||||||||||||||||
From share transactions: |
| |||||||||||||||||||||
Proceeds from sales of shares | 1,590,796,739 | 183,988,254 | 670,101,626 | 126,605,605 | ||||||||||||||||||
Reinvestment of distributions | — | 12,080,312 | — | 11,794,946 | ||||||||||||||||||
Cost of shares redeemed | (1,455,393,334 | ) | (84,481,305 | ) | (586,999,278 | ) | (87,883,762 | ) | ||||||||||||||
Proceeds paid in connection with in-kind transactions | (78,310,000 | ) | — | — | (66,410,000 | ) | ||||||||||||||||
Net increase (decrease) in net assets resulting from share transactions | 57,093,405 | 111,587,261 | 83,102,348 | (15,893,211 | ) | |||||||||||||||||
TOTAL INCREASE | 110,663,917 | 339,433,801 | 69,302,614 | 120,444,882 | ||||||||||||||||||
Net assets: |
| |||||||||||||||||||||
Beginning of period | 1,485,877,832 | 1,146,444,031 | 646,925,126 | 526,480,244 | ||||||||||||||||||
End of period | $ | 1,596,541,749 | $ | 1,485,877,832 | $ | 716,227,740 | $ | 646,925,126 | ||||||||||||||
Undistributed net investment income | $ | 6,730,843 | $ | 632,757 | $ | 10,285,951 | $ | 21,112 |
(a) | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
The accompanying notes are an integral part of these financial statements. | 51 |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Selected Data for a Share Outstanding Throughout Each Period
Income (loss) from investment operations | Distributions to shareholders | |||||||||||||||||||||||||||||
Year - Share Class | Net asset | Net investment income(a) | Net realized and unrealized gain | Total from investment operations | From net investment income | From net realized gains | Total distributions | |||||||||||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||
2018 - A | $ | 13.16 | $ | 0.11 | $ | 0.02 | $ | 0.13 | $ | (0.11 | ) | $ | — | $ | (0.11 | ) | ||||||||||||||
2018 - C | 13.11 | 0.06 | 0.02 | 0.08 | (0.06 | ) | — | (0.06 | ) | |||||||||||||||||||||
2018 - Institutional | 13.13 | 0.13 | 0.02 | 0.15 | (0.13 | ) | — | (0.13 | ) | |||||||||||||||||||||
2018 - Investor(e) | 13.14 | 0.12 | 0.03 | 0.15 | (0.13 | ) | — | (0.13 | ) | |||||||||||||||||||||
2018 - P (Commenced April 17, 2018) | 13.12 | 0.03 | 0.07 | 0.10 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||||
2018 - R6 (Commenced April 30, 2018) | 12.84 | — | (f) | 0.38 | 0.38 | (0.07 | ) | — | (0.07 | ) | ||||||||||||||||||||
FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||
2017 - A | 12.11 | 0.19 | 1.61 | 1.80 | (0.19 | ) | (0.56 | ) | (0.75 | ) | ||||||||||||||||||||
2017 - C | 12.07 | 0.10 | 1.60 | 1.70 | (0.10 | ) | (0.56 | ) | (0.66 | ) | ||||||||||||||||||||
2017 - Institutional | 12.09 | 0.24 | 1.60 | 1.84 | (0.24 | ) | (0.56 | ) | (0.80 | ) | ||||||||||||||||||||
2017 - Investor(e) | 12.10 | 0.23 | 1.60 | 1.83 | (0.23 | ) | (0.56 | ) | (0.79 | ) | ||||||||||||||||||||
2016 - A | 11.34 | 0.20 | 1.21 | 1.41 | (0.19 | ) | (0.45 | ) | (0.64 | ) | ||||||||||||||||||||
2016 - C | 11.31 | 0.11 | 1.21 | 1.32 | (0.11 | ) | (0.45 | ) | (0.56 | ) | ||||||||||||||||||||
2016 - Institutional | 11.31 | 0.24 | 1.22 | 1.46 | (0.23 | ) | (0.45 | ) | (0.68 | ) | ||||||||||||||||||||
2016 - Investor(e) | 11.33 | 0.23 | 1.21 | 1.44 | (0.22 | ) | (0.45 | ) | (0.67 | ) | ||||||||||||||||||||
2015 - A | 11.76 | 0.21 | 0.04 | 0.25 | (0.20 | ) | (0.47 | ) | (0.67 | ) | ||||||||||||||||||||
2015 - C | 11.74 | 0.12 | 0.03 | 0.15 | (0.11 | ) | (0.47 | ) | (0.58 | ) | ||||||||||||||||||||
2015 - Institutional | 11.73 | 0.25 | 0.04 | 0.29 | (0.24 | ) | (0.47 | ) | (0.71 | ) | ||||||||||||||||||||
2015 - Investor(e) | 11.75 | 0.24 | 0.04 | 0.28 | (0.23 | ) | (0.47 | ) | (0.70 | ) | ||||||||||||||||||||
2014 - A | 11.26 | 0.23 | 0.95 | 1.18 | (0.22 | ) | (0.46 | ) | (0.68 | ) | ||||||||||||||||||||
2014 - C | 11.24 | 0.14 | 0.96 | 1.10 | (0.14 | ) | (0.46 | ) | (0.60 | ) | ||||||||||||||||||||
2014 - Institutional | 11.24 | 0.27 | 0.95 | 1.22 | (0.27 | ) | (0.46 | ) | (0.73 | ) | ||||||||||||||||||||
2014 - Investor(e) | 11.25 | 0.26 | 0.95 | 1.21 | (0.25 | ) | (0.46 | ) | (0.71 | ) | ||||||||||||||||||||
2013 - A | 9.60 | 0.20 | 2.12 | 2.32 | (0.20 | ) | (0.46 | ) | (0.66 | ) | ||||||||||||||||||||
2013 - C | 9.59 | 0.13 | 2.11 | 2.24 | (0.13 | ) | (0.46 | ) | (0.59 | ) | ||||||||||||||||||||
2013 - Institutional | 9.58 | 0.25 | 2.12 | 2.37 | (0.25 | ) | (0.46 | ) | (0.71 | ) | ||||||||||||||||||||
2013 - Investor(e) | 9.59 | 0.23 | 2.12 | 2.35 | (0.23 | ) | (0.46 | ) | (0.69 | ) |
(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) | Annualized. |
(e) | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
(f) | Amount is less than $0.005 per share. |
52 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM 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) | ||||||||||||||||||||||||||||||||||
$ | 13.18 | 1.00 | % | $ | 251,401 | 1.12 | %(d) | 1.14 | %(d) | 1.63 | %(d) | 19 | % | |||||||||||||||||||||||||||
13.13 | 0.64 | 169,962 | 1.87 | (d) | 1.89 | (d) | 0.89 | (d) | 19 | |||||||||||||||||||||||||||||||
13.15 | 1.19 | 1,304,695 | 0.74 | (d) | 0.75 | (d) | 2.07 | (d) | 19 | |||||||||||||||||||||||||||||||
13.16 | 1.13 | 491,112 | 0.87 | (d) | 0.89 | (d) | 1.89 | (d) | 19 | |||||||||||||||||||||||||||||||
13.15 | 0.69 | 842,127 | 0.73 | (d) | 0.75 | (d) | 1.29 | (d) | 19 | |||||||||||||||||||||||||||||||
13.15 | 2.89 | 291,498 | 0.73 | (d) | 0.75 | (d) | (0.20 | )(d) | 19 | |||||||||||||||||||||||||||||||
13.16 | 14.83 | 275,451 | 1.13 | 1.15 | 1.47 | 34 | ||||||||||||||||||||||||||||||||||
13.11 | 13.99 | 177,178 | 1.88 | 1.90 | 0.76 | 34 | ||||||||||||||||||||||||||||||||||
13.13 | 15.31 | 2,565,883 | 0.74 | 0.76 | 1.89 | 34 | ||||||||||||||||||||||||||||||||||
13.14 | 15.18 | 473,178 | 0.88 | 0.90 | 1.76 | 34 | ||||||||||||||||||||||||||||||||||
12.11 | 12.73 | 294,401 | 1.16 | 1.19 | 1.67 | 23 | ||||||||||||||||||||||||||||||||||
12.07 | 11.92 | 142,909 | 1.91 | 1.94 | 0.92 | 23 | ||||||||||||||||||||||||||||||||||
12.09 | 13.17 | 2,062,756 | 0.76 | 0.79 | 2.07 | 23 | ||||||||||||||||||||||||||||||||||
12.10 | 12.92 | 174,527 | 0.91 | 0.94 | 1.90 | 23 | ||||||||||||||||||||||||||||||||||
11.34 | 2.08 | 194,237 | 1.17 | 1.20 | 1.75 | 39 | ||||||||||||||||||||||||||||||||||
11.31 | 1.26 | 90,091 | 1.92 | 1.95 | 1.01 | 39 | ||||||||||||||||||||||||||||||||||
11.31 | 2.49 | 1,262,977 | 0.77 | 0.80 | 2.15 | 39 | ||||||||||||||||||||||||||||||||||
11.33 | 2.34 | 54,106 | 0.92 | 0.95 | 2.03 | 39 | ||||||||||||||||||||||||||||||||||
11.76 | 10.47 | 172,832 | 1.19 | 1.20 | 1.96 | 53 | ||||||||||||||||||||||||||||||||||
11.74 | 9.68 | 74,125 | 1.94 | 1.95 | 1.21 | 53 | ||||||||||||||||||||||||||||||||||
11.73 | 10.83 | 1,149,361 | 0.79 | 0.80 | 2.36 | 53 | ||||||||||||||||||||||||||||||||||
11.75 | 10.75 | 39,960 | 0.94 | 0.95 | 2.21 | 53 | ||||||||||||||||||||||||||||||||||
11.26 | 24.58 | 167,149 | 1.19 | 1.21 | 1.92 | 69 | ||||||||||||||||||||||||||||||||||
11.24 | 23.61 | 66,872 | 1.94 | 1.96 | 1.17 | 69 | ||||||||||||||||||||||||||||||||||
11.24 | 25.14 | 1,072,965 | 0.79 | 0.81 | 2.32 | 69 | ||||||||||||||||||||||||||||||||||
11.25 | 24.93 | 35,480 | 0.94 | 0.96 | 2.18 | 69 |
The accompanying notes are an integral part of these financial statements. | 53 |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM 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 | 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 JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||
2018 - A | $ | 7.76 | $ | 0.15 | $ | (0.48 | ) | $ | (0.33 | ) | $ | (0.14 | ) | $ | — | $ | (0.14 | ) | ||||||||||||
2018 - C | 7.48 | 0.11 | (0.45 | ) | (0.34 | ) | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||||
2018 - Institutional | 7.62 | 0.16 | (0.46 | ) | (0.30 | ) | (0.16 | ) | — | (0.16 | ) | |||||||||||||||||||
2018 - Investor(e) | 7.60 | 0.15 | (0.46 | ) | (0.31 | ) | (0.15 | ) | — | (0.15 | ) | |||||||||||||||||||
2018 - P (Commenced April 17, 2018) | 7.71 | 0.03 | (0.46 | ) | (0.43 | ) | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||
2018 - R6 (Commenced April 30, 2018) | 7.60 | 0.03 | (0.36 | ) | (0.33 | ) | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||
FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||
2017 - A | 6.43 | 0.15 | 1.34 | 1.49 | (0.16 | ) | — | (0.16 | ) | |||||||||||||||||||||
2017 - C | 6.21 | 0.09 | 1.30 | 1.39 | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||||
2017 - Institutional | 6.32 | 0.18 | 1.31 | 1.49 | (0.19 | ) | — | (0.19 | ) | |||||||||||||||||||||
2017 - Investor(e) | 6.31 | 0.17 | 1.30 | 1.47 | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||||||
2016 - A | 6.56 | 0.18 | (0.14 | ) | 0.04 | (0.17 | ) | — | (0.17 | ) | ||||||||||||||||||||
2016 - C | 6.35 | 0.12 | (0.14 | ) | (0.02 | ) | (0.12 | ) | — | (0.12 | ) | |||||||||||||||||||
2016 - Institutional | 6.46 | 0.19 | (0.14 | ) | 0.05 | (0.19 | ) | — | (0.19 | ) | ||||||||||||||||||||
2016 - Investor(e) | 6.44 | 0.17 | (0.11 | ) | 0.06 | (0.19 | ) | — | (0.19 | ) | ||||||||||||||||||||
2015 - A | 7.14 | 0.16 | (f) | (0.49 | ) | (0.33 | ) | (0.14 | ) | (0.11 | ) | (0.25 | ) | |||||||||||||||||
2015 - C | 6.94 | 0.09 | (f) | (0.47 | ) | (0.38 | ) | (0.10 | ) | (0.11 | ) | (0.21 | ) | |||||||||||||||||
2015 - Institutional | 7.03 | 0.18 | (f) | (0.48 | ) | (0.30 | ) | (0.16 | ) | (0.11 | ) | (0.27 | ) | |||||||||||||||||
2015 - Investor(e) | 7.02 | 0.16 | (f) | (0.48 | ) | (0.32 | ) | (0.15 | ) | (0.11 | ) | (0.26 | ) | |||||||||||||||||
2014 - A | 8.00 | 0.25 | (g) | (0.64 | ) | (0.39 | ) | (0.23 | ) | (0.24 | ) | (0.47 | ) | |||||||||||||||||
2014 - C | 7.80 | 0.18 | (g) | (0.62 | ) | (0.44 | ) | (0.18 | ) | (0.24 | ) | (0.42 | ) | |||||||||||||||||
2014 - Institutional | 7.89 | 0.27 | (g) | (0.63 | ) | (0.36 | ) | (0.26 | ) | (0.24 | ) | (0.50 | ) | |||||||||||||||||
2014 - Investor(e) | 7.88 | 0.28 | (g) | (0.66 | ) | (0.38 | ) | (0.24 | ) | (0.24 | ) | (0.48 | ) | |||||||||||||||||
2013 - A | 7.31 | 0.19 | 0.92 | 1.11 | (0.18 | ) | (0.24 | ) | (0.42 | ) | ||||||||||||||||||||
2013 - C | 7.15 | 0.12 | 0.90 | 1.02 | (0.13 | ) | (0.24 | ) | (0.37 | ) | ||||||||||||||||||||
2013 - Institutional | 7.21 | 0.20 | 0.93 | 1.13 | (0.21 | ) | (0.24 | ) | (0.45 | ) | ||||||||||||||||||||
2013 - Investor(e) | 7.20 | 0.21 | 0.91 | 1.12 | (0.20 | ) | (0.24 | ) | (0.44 | ) |
(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) | Annualized. |
(e) | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
(f) | Reflects income recognized from a corporate action which amounted to $0.03 per share and 0.38% of average net assets. |
(g) | Reflects income recognized from a corporate action which amounted to $0.05 per share and 0.69% of average net assets. |
54 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Net asset value, end of period | Total return(b) | Net assets, end of period (in 000s) | Ratio of net expenses to average net assets | Ratio of total expenses to average net assets | Ratio of net investment income to average net assets | Portfolio turnover rate(c) | ||||||||||||||||||||||||||||||||||
$ | 7.29 | (4.20 | )% | $ | 3,756 | 1.33 | %(d) | 1.34 | %(d) | 3.83 | %(d) | 8 | % | |||||||||||||||||||||||||||
7.03 | (4.51 | ) | 3,129 | 2.08 | (d) | 2.08 | (d) | 3.08 | (d) | 8 | ||||||||||||||||||||||||||||||
7.16 | (3.97 | ) | 26,366 | 0.94 | (d) | 0.94 | (d) | 4.27 | (d) | 8 | ||||||||||||||||||||||||||||||
7.14 | (4.05 | ) | 5,778 | 1.08 | (d) | 1.08 | (d) | 4.06 | (d) | 8 | ||||||||||||||||||||||||||||||
7.16 | (5.52 | ) | 213,066 | 0.94 | (d) | 0.97 | (d) | 2.25 | (d) | 8 | ||||||||||||||||||||||||||||||
7.15 | (4.29 | ) | 144,826 | 0.94 | (d) | 0.97 | (d) | 2.20 | (d) | 8 | ||||||||||||||||||||||||||||||
7.76 | 23.36 | 3,962 | 1.34 | 1.34 | 2.16 | 17 | ||||||||||||||||||||||||||||||||||
7.48 | 22.50 | 4,276 | 2.09 | 2.09 | 1.29 | 17 | ||||||||||||||||||||||||||||||||||
7.62 | 23.85 | 399,955 | 0.95 | 0.95 | 2.58 | 17 | ||||||||||||||||||||||||||||||||||
7.60 | 23.58 | 6,048 | 1.09 | 1.09 | 2.36 | 17 | ||||||||||||||||||||||||||||||||||
6.43 | 0.66 | 5,968 | 1.37 | 1.38 | 2.87 | 18 | ||||||||||||||||||||||||||||||||||
6.21 | (0.21 | ) | 2,549 | 2.12 | 2.13 | 2.00 | 18 | |||||||||||||||||||||||||||||||||
6.32 | 0.92 | 307,311 | 0.97 | 0.98 | 3.08 | 18 | ||||||||||||||||||||||||||||||||||
6.31 | 0.96 | 2,111 | 1.12 | 1.13 | 2.64 | 18 | ||||||||||||||||||||||||||||||||||
6.56 | (4.80 | ) | 9,532 | 1.37 | 1.37 | 2.26 | (f) | 100 | ||||||||||||||||||||||||||||||||
6.35 | (5.59 | ) | 3,329 | 2.12 | 2.12 | 1.38 | (f) | 100 | ||||||||||||||||||||||||||||||||
6.46 | (4.42 | ) | 281,204 | 0.97 | 0.97 | 2.65 | (f) | 100 | ||||||||||||||||||||||||||||||||
6.44 | (4.69 | ) | 749 | 1.12 | 1.12 | 2.33 | (f) | 100 | ||||||||||||||||||||||||||||||||
7.14 | (5.30 | ) | 10,565 | 1.35 | 1.35 | 3.13 | (g) | 44 | ||||||||||||||||||||||||||||||||
6.94 | (6.04 | ) | 2,634 | 2.10 | 2.10 | 2.32 | (g) | 44 | ||||||||||||||||||||||||||||||||
7.03 | (4.99 | ) | 415,503 | 0.95 | 0.95 | 3.45 | (g) | 44 | ||||||||||||||||||||||||||||||||
7.02 | (5.16 | ) | 862 | 1.09 | 1.09 | 3.52 | (g) | 44 | ||||||||||||||||||||||||||||||||
8.00 | 15.57 | 10,323 | 1.34 | 1.36 | 2.56 | 97 | ||||||||||||||||||||||||||||||||||
7.80 | 14.68 | 2,582 | 2.10 | 2.11 | 1.54 | 97 | ||||||||||||||||||||||||||||||||||
7.89 | 16.14 | 403,776 | 0.94 | 0.96 | 2.71 | 97 | ||||||||||||||||||||||||||||||||||
7.88 | 15.98 | 1,547 | 1.09 | 1.11 | 2.74 | 97 |
The accompanying notes are an integral part of these financial statements. | 55 |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY 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 | 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 JUNE 30, (UNAUDITED) | ||||||||||||||||||||||||||||||
2018 - A | $ | 22.37 | $ | 0.05 | $ | 0.72 | $ | 0.77 | $ | — | $ | — | $ | — | ||||||||||||||||
2018 - C | 21.24 | (0.04 | ) | 0.70 | 0.66 | — | — | — | ||||||||||||||||||||||
2018 - Institutional | 22.71 | 0.09 | 0.74 | 0.83 | — | — | — | |||||||||||||||||||||||
2018 - Service | 22.51 | 0.04 | 0.72 | 0.76 | — | — | — | |||||||||||||||||||||||
2018 - Investor(e) | 22.70 | 0.08 | 0.74 | 0.82 | — | — | — | |||||||||||||||||||||||
2018 - P (Commenced April 17, 2018) | 23.43 | 0.05 | 0.06 | 0.11 | — | — | — | |||||||||||||||||||||||
2018 - R6 (Commenced April 30, 2018) | 22.93 | 0.04 | 0.57 | 0.61 | — | — | — | |||||||||||||||||||||||
FOR THE FISCAL YEARS ENDED DECEMBER 31, | ||||||||||||||||||||||||||||||
2017 - A | 18.75 | 0.13 | 3.60 | 3.73 | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||||||
2017 - C | 17.86 | (0.03 | ) | 3.41 | 3.38 | — | — | — | ||||||||||||||||||||||
2017 - Institutional | 19.04 | 0.21 | 3.65 | 3.86 | (0.19 | ) | — | (0.19 | ) | |||||||||||||||||||||
2017 - Service | 18.88 | 0.11 | 3.61 | 3.72 | (0.09 | ) | — | (0.09 | ) | |||||||||||||||||||||
2017 - Investor(e) | 19.03 | 0.18 | 3.65 | 3.83 | (0.16 | ) | — | (0.16 | ) | |||||||||||||||||||||
2016 - A | 17.28 | 0.11 | 1.47 | 1.58 | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||||||
2016 - C | 16.48 | (0.02 | ) | 1.40 | 1.38 | — | — | — | ||||||||||||||||||||||
2016 - Institutional | 17.53 | 0.18 | 1.51 | 1.69 | (0.18 | ) | — | (0.18 | ) | |||||||||||||||||||||
2016 - Service | 17.33 | 0.09 | 1.49 | 1.58 | (0.03 | ) | — | (0.03 | ) | |||||||||||||||||||||
2016 - Investor(e) | 17.54 | 0.15 | 1.50 | 1.65 | (0.16 | ) | — | (0.16 | ) | |||||||||||||||||||||
2015 - A | 17.44 | 0.13 | (0.18 | ) | (0.05 | ) | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||||
2015 - C | 16.67 | — | (f) | (0.18 | ) | (0.18 | ) | (0.01 | ) | — | (0.01 | ) | ||||||||||||||||||
2015 - Institutional | 17.69 | 0.20 | (0.18 | ) | 0.02 | (0.18 | ) | — | (0.18 | ) | ||||||||||||||||||||
2015 - Service | 17.53 | 0.12 | (0.19 | ) | (0.07 | ) | (0.13 | ) | — | (0.13 | ) | |||||||||||||||||||
2015 - Investor(e) | 17.70 | 0.18 | (0.18 | ) | — | (f) | (0.16 | ) | — | (0.16 | ) | |||||||||||||||||||
2014 - A | 15.45 | 0.09 | 1.97 | 2.06 | (0.07 | ) | — | (0.07 | ) | |||||||||||||||||||||
2014 - C | 14.82 | (0.04 | ) | 1.89 | 1.85 | — | — | — | ||||||||||||||||||||||
2014 - Institutional | 15.66 | 0.15 | 2.01 | 2.16 | (0.13 | ) | — | (0.13 | ) | |||||||||||||||||||||
2014 - Service | 15.49 | 0.04 | 2.00 | 2.04 | — | — | — | |||||||||||||||||||||||
2014 - Investor(e) | 15.68 | 0.13 | 2.00 | 2.13 | (0.11 | ) | — | (0.11 | ) | |||||||||||||||||||||
2013 - A | 11.38 | 0.11 | 4.22 | 4.33 | (0.08 | ) | (0.18 | ) | (0.26 | ) | ||||||||||||||||||||
2013 - C | 10.95 | — | (f) | 4.05 | 4.05 | — | (0.18 | ) | (0.18 | ) | ||||||||||||||||||||
2013 - Institutional | 11.54 | 0.16 | 4.28 | 4.44 | (0.14 | ) | (0.18 | ) | (0.32 | ) | ||||||||||||||||||||
2013 - Service | 11.46 | 0.12 | 4.22 | 4.34 | (0.13 | ) | (0.18 | ) | (0.31 | ) | ||||||||||||||||||||
2013 - Investor(e) | 11.55 | 0.14 | 4.29 | 4.43 | (0.12 | ) | (0.18 | ) | (0.30 | ) |
(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) | Annualized. |
(e) | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
(f) | Amount is less than $0.005 per share. |
56 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. TAX-MANAGED 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) | ||||||||||||||||||||||||||||||||||
$ | 23.14 | 3.44 | % | $ | 52,503 | 1.13 | %(d) | 1.13 | %(d) | 0.42 | %(d) | 82 | % | |||||||||||||||||||||||||||
21.90 | 3.11 | 21,651 | 1.88 | (d) | 1.88 | (d) | (0.33 | )(d) | 82 | |||||||||||||||||||||||||||||||
23.54 | 3.65 | 117,112 | 0.74 | (d) | 0.74 | (d) | 0.80 | (d) | 82 | |||||||||||||||||||||||||||||||
23.27 | 3.38 | 761 | 1.24 | (d) | 1.24 | (d) | 0.31 | (d) | 82 | |||||||||||||||||||||||||||||||
23.52 | 3.61 | 17,077 | 0.88 | (d) | 0.88 | (d) | 0.66 | (d) | 82 | |||||||||||||||||||||||||||||||
23.54 | 0.47 | 2,232 | 0.73 | (d) | 0.73 | (d) | 1.04 | (d) | 82 | |||||||||||||||||||||||||||||||
23.54 | 2.66 | 1,385,205 | 0.74 | (d) | 0.74 | (d) | 1.04 | (d) | 82 | |||||||||||||||||||||||||||||||
22.37 | 19.88 | 50,218 | 1.15 | 1.15 | 0.61 | 108 | ||||||||||||||||||||||||||||||||||
21.24 | 18.93 | 22,337 | 1.90 | 1.90 | (0.14 | ) | 108 | |||||||||||||||||||||||||||||||||
22.71 | 20.29 | 1,395,335 | 0.75 | 0.75 | 1.02 | 108 | ||||||||||||||||||||||||||||||||||
22.51 | 19.71 | 736 | 1.25 | 1.25 | 0.52 | 108 | ||||||||||||||||||||||||||||||||||
22.70 | 20.14 | 17,251 | 0.90 | 0.90 | 0.88 | 108 | ||||||||||||||||||||||||||||||||||
18.75 | 9.09 | 51,206 | 1.17 | 1.17 | 0.61 | 118 | ||||||||||||||||||||||||||||||||||
17.86 | 8.35 | 22,512 | 1.92 | 1.92 | (0.15 | ) | 118 | |||||||||||||||||||||||||||||||||
19.04 | 9.61 | 1,057,850 | 0.77 | 0.77 | 1.01 | 118 | ||||||||||||||||||||||||||||||||||
18.88 | 9.07 | 614 | 1.27 | 1.27 | 0.53 | 118 | ||||||||||||||||||||||||||||||||||
19.03 | 9.40 | 14,262 | 0.92 | 0.93 | 0.84 | 118 | ||||||||||||||||||||||||||||||||||
17.28 | (0.28 | ) | 57,913 | 1.17 | 1.17 | 0.73 | 96 | |||||||||||||||||||||||||||||||||
16.48 | (1.05 | ) | 22,194 | 1.92 | 1.92 | (0.02 | ) | 96 | ||||||||||||||||||||||||||||||||
17.53 | 0.10 | 957,273 | 0.77 | 0.77 | 1.12 | 96 | ||||||||||||||||||||||||||||||||||
17.33 | (0.41 | ) | 1,236 | 1.27 | 1.27 | 0.67 | 96 | |||||||||||||||||||||||||||||||||
17.54 | (0.03 | ) | 6,799 | 0.92 | 0.92 | 0.99 | 96 | |||||||||||||||||||||||||||||||||
17.44 | 13.32 | 51,253 | 1.18 | 1.19 | 0.52 | 57 | ||||||||||||||||||||||||||||||||||
16.67 | 12.48 | 15,750 | 1.93 | 1.94 | (0.22 | ) | 57 | |||||||||||||||||||||||||||||||||
17.69 | 13.78 | 735,421 | 0.78 | 0.79 | 0.93 | 57 | ||||||||||||||||||||||||||||||||||
17.53 | 13.17 | 58 | 1.28 | 1.29 | 0.25 | 57 | ||||||||||||||||||||||||||||||||||
17.70 | 13.57 | 4,175 | 0.93 | 0.94 | 0.78 | 57 | ||||||||||||||||||||||||||||||||||
15.45 | 38.17 | 34,792 | 1.15 | 1.21 | 0.80 | 95 | ||||||||||||||||||||||||||||||||||
14.82 | 37.07 | 10,648 | 1.90 | 1.96 | 0.04 | 95 | ||||||||||||||||||||||||||||||||||
15.66 | 38.73 | 493,729 | 0.75 | 0.81 | 1.17 | 95 | ||||||||||||||||||||||||||||||||||
15.49 | 38.08 | 411 | 1.27 | 1.29 | 0.81 | 95 | ||||||||||||||||||||||||||||||||||
15.68 | 38.48 | 843 | 0.91 | 0.96 | 1.02 | 95 |
The accompanying notes are an integral part of these financial statements. | 57 |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Income (loss) from investment operations | ||||||||||||||||||||||
Year - Share Class | Net asset value, beginning of period | Net investment income(a) | Net realized and unrealized gain (loss) | Total from investment operations | Distributions to shareholders from net investment income | |||||||||||||||||
FOR THE SIX MONTHS ENDED JUNE 30, (UNAUDITED) |
| |||||||||||||||||||||
2018 - A | $ | 10.93 | $ | 0.14 | $ | (0.37 | ) | $ | (0.23 | ) | $ | — | ||||||||||
2018 - C | 10.59 | 0.11 | (0.36 | ) | (0.25 | ) | — | |||||||||||||||
2018 - Institutional | 10.85 | 0.17 | (0.37 | ) | (0.20 | ) | — | |||||||||||||||
2018 - Investor(e) | 10.91 | 0.15 | (0.35 | ) | (0.20 | ) | — | |||||||||||||||
2018 - P (Commenced April 17, 2018) | 11.07 | 0.07 | (0.49 | ) | (0.42 | ) | — | |||||||||||||||
2018 - R6 (Commenced April 30, 2018) | 10.92 | 0.04 | (0.31 | ) | (0.27 | ) | — | |||||||||||||||
FOR THE FISCAL YEARS ENDED DECEMBER 31, |
| |||||||||||||||||||||
2017 - A | 8.62 | 0.11 | 2.38 | 2.49 | (0.18 | ) | ||||||||||||||||
2017 - C | 8.39 | 0.04 | 2.30 | 2.34 | (0.14 | ) | ||||||||||||||||
2017 - Institutional | 8.54 | 0.17 | 2.34 | 2.51 | (0.20 | ) | ||||||||||||||||
2017 - Investor(e) | 8.61 | 0.13 | 2.36 | 2.49 | (0.19 | ) | ||||||||||||||||
2016 - A | 8.67 | 0.12 | (0.04 | ) | 0.08 | (0.13 | ) | |||||||||||||||
2016 - C | 8.45 | 0.06 | (0.05 | ) | 0.01 | (0.07 | ) | |||||||||||||||
2016 - Institutional | 8.59 | 0.16 | (0.05 | ) | 0.11 | (0.16 | ) | |||||||||||||||
2016 - Investor(e) | 8.65 | 0.15 | (0.05 | ) | 0.10 | (0.14 | ) | |||||||||||||||
2015 - A | 8.45 | 0.11 | 0.21 | 0.32 | (0.10 | ) | ||||||||||||||||
2015 - C | 8.27 | 0.02 | 0.23 | 0.25 | (0.07 | ) | ||||||||||||||||
2015 - Institutional | 8.36 | 0.15 | 0.21 | 0.36 | (0.13 | ) | ||||||||||||||||
2015 - Investor(e) | 8.43 | 0.07 | 0.27 | 0.34 | (0.12 | ) | ||||||||||||||||
2014 - A | 9.18 | 0.27 | (f) | (0.80 | ) | (0.53 | ) | (0.20 | ) | |||||||||||||
2014 - C | 9.03 | 0.15 | (f) | (0.74 | ) | (0.59 | ) | (0.17 | ) | |||||||||||||
2014 - Institutional | 9.10 | 0.28 | (f) | (0.77 | ) | (0.49 | ) | (0.25 | ) | |||||||||||||
2014 - Investor(e) | 9.17 | 0.29 | (f) | (0.80 | ) | (0.51 | ) | (0.23 | ) | |||||||||||||
2013 - A | 7.62 | 0.15 | 1.54 | 1.69 | (0.13 | )(g) | ||||||||||||||||
2013 - C | 7.55 | 0.10 | 1.51 | 1.61 | (0.13 | )(g) | ||||||||||||||||
2013 - Institutional | 7.59 | 0.19 | 1.53 | 1.72 | (0.21 | )(g) | ||||||||||||||||
2013 - Investor(e) | 7.66 | 0.20 | 1.51 | 1.71 | (0.20 | )(g) |
(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) | Annualized. |
(e) | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
(f) | Reflects income recognized from special dividends which amounted to $0.06 per share and 0.71% of average net assets. |
(g) | Includes a distribution from capital of less than $0.01 per share. |
58 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED 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) | ||||||||||||||||||||||||||||||||||
$ | 10.70 | (2.10 | )% | $ | 11,381 | 1.29 | %(d) | 1.34 | %(d) | 2.62 | %(d) | 75 | % | |||||||||||||||||||||||||||
10.34 | (2.36 | ) | 3,974 | 2.04 | (d) | 2.09 | (d) | 2.04 | (d) | 75 | ||||||||||||||||||||||||||||||
10.65 | (1.84 | ) | 101,391 | 0.90 | (d) | 0.95 | (d) | 3.03 | (d) | 75 | ||||||||||||||||||||||||||||||
10.71 | (1.92 | ) | 15,597 | 1.04 | (d) | 1.09 | (d) | 2.77 | (d) | 75 | ||||||||||||||||||||||||||||||
10.65 | (3.79 | ) | 1,704 | 0.89 | (d) | 0.94 | (d) | 3.10 | (d) | 75 | ||||||||||||||||||||||||||||||
10.65 | (2.47 | ) | 582,180 | 0.89 | (d) | 0.96 | (d) | 2.22 | (d) | 75 | ||||||||||||||||||||||||||||||
10.93 | 28.85 | 9,429 | 1.31 | 1.36 | 1.04 | 134 | ||||||||||||||||||||||||||||||||||
10.59 | 27.85 | 2,661 | 2.06 | 2.11 | 0.40 | 134 | ||||||||||||||||||||||||||||||||||
10.85 | 29.42 | 619,288 | 0.92 | 0.97 | 1.74 | 134 | ||||||||||||||||||||||||||||||||||
10.91 | 29.09 | 15,547 | 1.05 | 1.11 | 1.30 | 134 | ||||||||||||||||||||||||||||||||||
8.62 | 0.93 | 5,082 | 1.38 | 1.39 | 1.37 | 125 | ||||||||||||||||||||||||||||||||||
8.39 | 0.11 | 1,012 | 2.13 | 2.14 | 0.67 | 125 | ||||||||||||||||||||||||||||||||||
8.54 | 1.26 | 519,135 | 0.98 | 0.99 | 1.90 | 125 | ||||||||||||||||||||||||||||||||||
8.61 | 1.21 | 1,251 | 1.13 | 1.14 | 1.76 | 125 | ||||||||||||||||||||||||||||||||||
8.67 | 3.77 | 3,408 | 1.38 | 1.39 | 1.22 | 113 | ||||||||||||||||||||||||||||||||||
8.45 | 3.07 | 812 | 2.13 | 2.13 | 0.20 | 113 | ||||||||||||||||||||||||||||||||||
8.59 | 4.26 | 426,168 | 0.98 | 0.99 | 1.71 | 113 | ||||||||||||||||||||||||||||||||||
8.65 | 4.04 | 1,444 | 1.13 | 1.13 | 0.84 | 113 | ||||||||||||||||||||||||||||||||||
8.45 | (5.79 | ) | 2,151 | 1.38 | 1.42 | 2.98 | (f) | 106 | ||||||||||||||||||||||||||||||||
8.27 | (6.55 | ) | 181 | 2.13 | 2.17 | 1.71 | (f) | 106 | ||||||||||||||||||||||||||||||||
8.36 | (5.48 | ) | 316,062 | 0.98 | 1.02 | 3.12 | (f) | 106 | ||||||||||||||||||||||||||||||||
8.43 | (5.59 | ) | 205 | 1.13 | 1.17 | 3.12 | (f) | 106 | ||||||||||||||||||||||||||||||||
9.18 | 22.23 | 3,388 | 1.31 | 1.51 | 1.79 | 95 | ||||||||||||||||||||||||||||||||||
9.03 | 21.38 | 70 | 2.10 | 2.23 | 1.15 | 95 | ||||||||||||||||||||||||||||||||||
9.10 | 22.70 | 228,410 | 0.95 | 1.08 | 2.27 | 95 | ||||||||||||||||||||||||||||||||||
9.17 | 22.36 | 217 | 1.12 | 1.21 | 2.34 | 95 |
The accompanying notes are an integral part of these financial statements. | 59 |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
June 30, 2018 (Unaudited)
1. ORGANIZATION |
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”), along with their corresponding share classes and respective diversification status under the Act:
Fund | Share Classes Offered | Diversified/ Non-diversified | ||
U.S. Equity Dividend and Premium, International Equity Dividend and Premium, International Tax-Managed Equity | A, C, Institutional, Investor, P(a) and R6(b) | Diversified | ||
U. S. Tax-Managed Equity | A, C, Institutional, Service, Investor, P(a) and R6(b) | Diversified |
(a) | Commenced operations on April 17, 2018. |
(b) | Commenced operations on April 30, 2018. |
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, Investor, Class P 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 (“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, and securities lending income, if any. 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. Investment income is recorded net of any foreign withholding taxes, less any amounts reclaimable. The Funds may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Funds’ investments in United States (“U.S.”) real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain or a return of capital. A return of capital is recorded by the Funds as a reduction to the cost basis of the REIT.
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), if any, 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.
60
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
D. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, 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 according to the following schedule:
Fund | Income Distributions Declared/Paid | Capital Gains Distributions Declared/Paid | ||||
U.S. Equity Dividend and Premium International Equity Dividend and Premium | Quarterly | Annually | ||||
U.S. Tax-Managed Equity International Tax-Managed Equity | 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.
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 translation. 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. In-Kind Transactions — The Funds may allow investors, under certain circumstances, to purchase shares with securities instead of cash. In addition, the Trust reserves the right to redeem an investor’s shares by distributing securities instead of cash. These are known as in-kind transactions. Securities included as part of in-kind purchases and redemptions of Fund shares are valued in the same manner as they are valued for purposes of computing a Fund’s NAV, in accordance with the Fund’s Valuation Procedures, and such valuations are as of the date the trade is submitted pursuant to the procedures specified in the Funds’ prospectus.
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS |
U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Funds’ policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The 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;
61
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
June 30, 2018 (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’ investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a U.S. securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities are valued at the last bid price for long positions and at the last ask price for short positions. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price, and are generally classified as Level 2. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under 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 Government 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,
62
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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. For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral received, if any, is reported separately on the 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.
ii. 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.
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; 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 June 30, 2018:
U.S. EQUITY DIVIDEND AND PREMIUM | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Asia | $ | 154,370 | $ | — | $ | — | ||||||
Europe | 4,965,968 | — | — | |||||||||
North America | 3,367,047,487 | — | — | |||||||||
South America | 2,072,483 | — | — | |||||||||
Investment Company | 2,385,176 | — | — | |||||||||
Securities Lending Reinvestment Vehicle | 4,224,875 | — | — | |||||||||
Total | $ | 3,380,850,359 | $ | — | $ | — |
(a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of NAV. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Funds utilize fair value model prices provided by an independent fair value service for certain international equity securities, resulting in a Level 2 classification. |
63
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
U.S. EQUITY DIVIDEND AND PREMIUM (continued) | ||||||||||||
Derivative Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets(a) | ||||||||||||
Futures Contracts | $ | 405,078 | $ | — | $ | — | ||||||
Liabilities | ||||||||||||
Written Options Contracts | $ | (27,951,300 | ) | $ | — | $ | — | |||||
INTERNATIONAL EQUITY DIVIDEND AND PREMIUM | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(b) | ||||||||||||
Africa | $ | — | $ | 602,000 | $ | — | ||||||
Asia | 358,890 | 109,171,292 | — | |||||||||
Australia and Oceania | 1,989,513 | 34,435,941 | — | |||||||||
Europe | 22,619,787 | 213,834,484 | — | |||||||||
North America | — | 88,278 | — | |||||||||
Investment Company | 2,271 | — | — | |||||||||
Securities Lending Reinvestment Vehicle | 2,293,350 | — | — | |||||||||
Total | $ | 27,263,811 | $ | 358,131,995 | $ | — | ||||||
Derivative Type | ||||||||||||
Assets(a) | ||||||||||||
Futures Contracts | $ | 9,783 | $ | — | $ | — | ||||||
Liabilities | ||||||||||||
Futures Contracts(a) | $ | (116,313 | ) | $ | — | $ | — | |||||
Written Options Contracts | (1,655,672 | ) | — | — | ||||||||
Total | $ | (1,771,985 | ) | $ | — | $ | — | |||||
U.S. TAX-MANAGED EQUITY | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(b) | ||||||||||||
Asia | $ | 3,366,442 | $ | — | $ | — | ||||||
North America | 1,539,330,394 | — | — | |||||||||
Investment Company | 18,228,085 | — | — | |||||||||
Total | $ | 1,560,924,921 | $ | — | $ | — |
(a) | Amount shown represents unrealized gain (loss) at period end. |
(b) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of NAV. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Funds utilize fair value model prices provided by an independent fair value service for certain international equity securities, resulting in a Level 2 classification. |
64
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
U.S. TAX-MANAGED EQUITY (continued) | ||||||||||||
Derivative Type | Level 1 | Level 2 | Level 3 | |||||||||
Liabilities(a) | ||||||||||||
Futures Contracts | $ | (292,755 | ) | $ | — | $ | — | |||||
INTERNATIONAL TAX-MANAGED EQUITY | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(b) | ||||||||||||
Asia | $ | — | $ | 226,375,443 | $ | — | ||||||
Australia and Oceania | 4,205,828 | 54,759,809 | — | |||||||||
Europe | 19,616,692 | 371,323,544 | — | |||||||||
North America | 2,144,176 | 124,988 | — | |||||||||
Investment Company | 425 | — | — | |||||||||
Securities Lending Reinvestment Vehicle | 2,915,100 | — | — | |||||||||
Total | $ | 28,882,221 | $ | 652,583,784 | $ | — | ||||||
Derivative Type | ||||||||||||
Assets(a) | ||||||||||||
Futures Contracts | $ | 7,722 | $ | — | $ | — | ||||||
Liability(a) | ||||||||||||
Futures Contracts | $ | (77,682 | ) | $ | — | $ | — |
(a) | Amount shown represents unrealized gain (loss) at period end. |
(b) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of NAV. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Funds utilize fair value model prices provided by an independent fair value service for certain international equity securities, resulting in a Level 2 classification. |
For further information regarding security characteristics, see the Schedules of Investments.
65
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
4. INVESTMENTS IN DERIVATIVES |
The following tables set forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of June 30, 2018. 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 | |||||||||
U.S. Equity Dividend and Premium | Equity | Variation margin on futures | $ | 405,078 | Payable for written options at value | $ | (27,951,300) | |||||||
International Equity Dividend and Premium | Equity | Variation margin on futures | 9,783 | Variation margin on futures, Payable for written options at value | (1,771,985) | (a) | ||||||||
U.S. Tax-Managed Equity | Equity | — | — | Variation margin on futures | (292,755) | (a) | ||||||||
International Tax-Managed Equity | Equity | Variation margin on futures | 7,722 | Variation margin on futures | (77,682) | (a) | ||||||||
Total | $ | 422,583 | $ | (30,093,722) |
(a) | Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information sections of the Schedules of Investments. Only variation margin as of June 30, 2018 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 June 30, 2018. 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) | |||||||||||
U.S. Equity Dividend and Premium | Equity | Net realized gain (loss) from futures contracts and written options/Net change in unrealized gain (loss) on futures contracts and written options | $ | (3,290,688 | ) | $ | 9,384,851 | 5,124 | ||||||||
International Equity Dividend and Premium | Equity | Net realized gain (loss) from futures contracts and written options/Net change in unrealized gain (loss) on futures contracts and written options | (1,295,211 | ) | 1,326,698 | 2,571 | ||||||||||
U.S. Tax-Managed Equity | Equity | Net realized gain (loss) from investments, futures contracts/Net change in unrealized gain (loss) on futures contracts | 1,719,517 | (432,904 | ) | 83 | ||||||||||
International Tax-Managed Equity | Equity | Net realized gain (loss) from investments, futures contracts/Net change in unrealized gain (loss) on futures contracts | (23,510 | ) | (56,560 | ) | 137 | |||||||||
Total | $ | (2,889,892 | ) | $ | 10,222,085 | 7,915 |
(a) | Average number of contracts is based on the average of month end balances for the six months ended June 30, 2018. |
66
GOLDMAN SACHS TAX-ADVANTAGED EQUITY 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 June 30, 2018, 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 | ||||||||||||||||||||||
U.S. Equity Dividend and Premium | 0.75 | % | 0.68 | % | 0.65 | % | 0.64 | % | 0.63 | % | 0.69 | % | 0.69 | % | ||||||||||||||
International Equity Dividend and Premium | 0.81 | 0.73 | 0.69 | 0.68 | 0.67 | 0.81 | 0.81 | |||||||||||||||||||||
U.S. Tax-Managed Equity | 0.70 | 0.63 | 0.60 | 0.59 | 0.58 | 0.67 | 0.67 | |||||||||||||||||||||
International Tax-Managed 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. |
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 the affiliated Underlying Fund in which the Funds invest, except those management fees it earns from the Funds’ investments of cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund. For the six months ended June 30, 2018, GSAM waived $9,799, $1,124, $8,966 and $2,286 of the U.S. Equity Dividend and Premium, International Equity Dividend and Premium Fund, U.S. Tax-Managed Equity Fund and International Tax-Managed Equity Funds’ management fees, respectively.
B. Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A Shares of each 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 rate of the average daily net assets attributable to Class A Shares of the Funds, as set forth below.
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, as set forth below.
The Trust, on behalf of Service 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 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 Service Shares of the Funds, as set forth below.
Distribution and/or Service Plan Rates | ||||||||
Class A* | Class C | Service | ||||||
Distribution and/or Service Plan | 0.25% | 0.75% | 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. |
67
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the six months ended June 30, 2018, Goldman Sachs advised that it retained the following amounts:
Front End Sales Charge | Contingent Deferred Sales Charge | |||||||||
Fund | Class A | Class C | ||||||||
U.S. Equity Dividend and Premium | $ | 40,465 | $ | 3 | ||||||
International Equity Dividend and Premium | 223 | — | ||||||||
U.S. Tax-Managed Equity | 1,185 | — | ||||||||
International Tax-Managed Equity | 1,663 | — |
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 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: 0.18% of the average daily net assets of Class A, Class C and Investor Shares; 0.03% of the average daily net assets of Class P and Class R6 Shares; and 0.04% of the average daily net assets of Institutional and Service Shares. Goldman Sachs has agreed to waive a portion of its transfer agency fee equal to 0.01% as an annual percentage rate of the average daily net assets attributable to Class A, Class C and Investor Shares of the U.S. Equity Dividend and Premium Fund. This arrangement will remain in effect through at least April 30, 2019, and prior to such date, Goldman Sachs may not terminate the arrangement without the approval of the Board of Trustees.
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, expenses of shareholder meetings, litigation and 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 U.S. Equity Dividend and Premium, International Equity Dividend and Premium, U.S. Tax-Managed Equity and International Tax-Managed Equity Funds are 0.014%, 0.094%, 0.044% and 0.014%, respectively. Prior to April 30, 2018, the Other Expense limitation was 0.124% for the International Equity Dividend and Premium Fund. These Other Expense limitations will remain in place through at least April 30, 2019, 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.
68
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the six months ended June 30, 2018, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
Fund | Management Fee Waiver | Other Expense Reimbursement | Custody Fee Credits | Transfer Agency Waivers/ Credits | Total Expense Reductions | |||||||||||||||||
U.S. Equity Dividend and Premium | $ | 9,799 | $ | 155,904 | $ | 9,067 | $ | 45,651 | $ | 220,421 | ||||||||||||
International Equity Dividend and Premium | 1,124 | 3,122 | 482 | — | 4,728 | |||||||||||||||||
U.S. Tax-Managed Equity | 8,966 | — | 7,418 | — | 16,384 | |||||||||||||||||
International Tax-Managed Equity | 2,286 | 168,474 | 2,974 | — | 173,734 |
G. Line of Credit Facility — As of June 30, 2018, the Funds participated in a $770,000,000 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 June 30, 2018, the Funds did not have any borrowings under the facility. Prior to May 1, 2018, the facility was $1,100,000,000. The facility was decreased to $770,000,000 effective May 1, 2018.
H. Other Transactions with Affiliates — For the six months ended June 30, 2018, Goldman Sachs earned $427 and $159 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the International Equity Dividend and Premium and International Tax-Managed Equity Funds, 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 June 30, 2018:
Fund | Beginning Value as of | Purchases at Cost | Proceeds from Sales | Ending Value as of June 30, 2018 | Shares as of June 30, 2018 | Dividend Income from Affiliated Investment Company | ||||||||||||||||||
U.S. Equity Dividend and Premium | $ | — | $ | 217,023,493 | $ | (214,638,317 | ) | $ | 2,385,176 | 2,385,176 | $ | 87,972 | ||||||||||||
International Equity Dividend and Premium | — | 15,958,329 | (15,956,058 | ) | 2,271 | 2,271 | 10,057 | |||||||||||||||||
U.S. Tax-Managed Equity | 17,924,899 | 181,742,776 | (181,439,590 | ) | 18,228,085 | 18,228,085 | 79,010 | |||||||||||||||||
International Tax-Managed Equity | 4,441,437 | 68,167,665 | (72,608,677 | ) | 425 | 425 | 18,249 |
69
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
As of June 30, 2018, the following 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 Enhanced Dividend Global Equity Portfolio | Goldman Sachs Tax-Advantaged Global Equity Portfolio | ||||||||
U.S. Equity Dividend and Premium | 9 | % | — | % | ||||||
International Equity Dividend and Premium | 35 | — | ||||||||
U.S. Tax-Managed Equity | — | 87 | ||||||||
International Tax-Managed Equity | — | 81 |
6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended June 30, 2018, were as follows:
Fund | Purchases | Sales | ||||||||
U.S. Equity Dividend and Premium | $ | 657,552,050 | $ | 797,007,144 | ||||||
International Equity Dividend and Premium | 32,846,505 | 36,572,879 | ||||||||
U.S. Tax-Managed Equity | 1,366,533,920 | 1,243,729,373 | ||||||||
International Tax-Managed Equity | 574,365,285 | 505,229,818 |
7. SECURITIES LENDING |
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“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 Goldman Sachs 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 0.16% (prior to February 21, 2018, GSAM may have received a management fee of up to 0.205%) on an annualized basis of the average daily net assets of the Government Money Market Fund.
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GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
7. SECURITIES LENDING (continued) |
In the event of a default by a borrower with respect to any loan, GSAL will exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If 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 Funds’ loaned securities were all subject to enforceable Securities Lending Agreements and the value of the collateral was at least equal to the value of the cash received. The amounts of the Funds’ overnight and continuous agreements represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of June 30, 2018 are disclosed as “Payable upon return of securities loaned” on the Statements of Assets and Liabilities, where applicable.
Each of the 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 June 30, 2018, 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 June 30, 2018 | Amounts Payable to Goldman Sachs upon Return of Securities Loaned as of June 30, 2018 | |||||||||||||
Fund | Earnings of GSAL Relating to Securities Loaned | Amounts Received by the Funds from Lending to Goldman Sachs | ||||||||||||
U.S. Equity Dividend and Premium | $ | 2,591 | $ | 8,082 | $ | 2,074,350 | ||||||||
International Equity Dividend and Premium | 400 | — | — | |||||||||||
U.S. Tax-Managed Equity | 435 | 677 | — | |||||||||||
International Tax-Managed Equity | 3,738 | 98 | — |
The following table provides information about the Funds’ investment in the Government Money Market Fund for the six months ended June 30, 2018:
Fund | Beginning Value as of | Purchases at Cost | Proceeds from Sales | Ending Value as of | ||||||||||||||
U.S. Equity Dividend and Premium | $ | 1,422,950 | $ | 68,076,047 | $ | (65,274,122 | ) | $ | 4,224,875 | |||||||||
International Equity Dividend and Premium | 89,044 | 8,278,687 | (6,074,381 | ) | 2,293,350 | |||||||||||||
U.S. Tax-Managed Equity | 502,350 | 29,596,055 | (30,098,405 | ) | — | |||||||||||||
International Tax-Managed Equity | 3,671,191 | 34,777,077 | (35,533,168 | ) | 2,915,100 |
71
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
8. TAX INFORMATION |
As of the Funds’ most recent fiscal year end, December 31, 2017, the Funds’ capital loss carryforwards and certain timing
differences, on a tax-basis were as follows:
U.S. Equity Dividend and Premium | International Equity Dividend and Premium | U.S. Tax-Managed Equity | International Tax-Managed Equity | |||||||||||||
Capital loss carryforwards:(1) | ||||||||||||||||
Perpetual Long-term | $ | — | $ | (26,812,510 | ) | $ | — | $ | — | |||||||
Perpetual Short-term | — | — | (20,082,730 | ) | — | |||||||||||
Total capital loss carryforwards | $ | — | $ | (26,812,510 | ) | $ | (20,082,730 | ) | $ | — | ||||||
Timing differences (Post October Loss Deferral and Deferred Dividends from REIT Distributions) | $ | (35,535,500 | ) | $ | (1,653,080 | ) | $ | (2,023,403 | ) | $ | — | |||||
(1) Expirationoccurs on December 31 of the year indicated. |
As of June 30, 2018, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
U.S. Equity Dividend and Premium | International Equity Dividend and Premium | U.S. Tax-Managed Equity | International Tax-Managed Equity | |||||||||||||||
Tax cost | $ | 2,881,479,855 | $ | 387,494,065 | $ | 1,035,026,353 | $ | 597,218,033 | ||||||||||
Gross unrealized gain | 626,840,232 | 43,064,226 | 530,185,400 | 91,365,492 | ||||||||||||||
Gross unrealized loss | (127,469,728 | ) | (45,162,485 | ) | (4,286,832 | ) | (7,117,520 | ) | ||||||||||
Net unrealized gain (loss) | $ | 499,370,504 | $ | (2,098,259 | ) | $ | 525,898,568 | $ | 84,247,972 |
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, options and foreign currency contracts and differences related to the tax treatment of underlying fund investments, real estate investment trust 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.
9. OTHER RISKS |
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.
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GOLDMAN SACHS TAX-ADVANTAGED EQUITY 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 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 (including repatriation restrictions), 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.
Investments in Other Investment Companies Risk — 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.
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.
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GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
10. INDEMNIFICATIONS |
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
11. SUBSEQUENT EVENTS |
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.
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GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
12. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
U.S. Equity Dividend and Premium Fund | ||||||||||||||||
|
| |||||||||||||||
For the Six Months Ended June 30, 2018 (Unaudited) | For the Fiscal Year Ended December 31, 2017 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 3,387,653 | $ | 45,164,731 | 12,918,207 | $ | 163,815,279 | ||||||||||
Reinvestment of distributions | 160,859 | 2,081,608 | 1,105,825 | 14,472,750 | ||||||||||||
Shares redeemed | (5,403,740 | ) | (70,906,793 | ) | (17,401,288 | ) | (219,289,485 | ) | ||||||||
(1,855,228 | ) | (23,660,454 | ) | (3,377,256 | ) | (41,001,456 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 1,055,900 | 13,927,938 | 4,052,530 | 51,294,321 | ||||||||||||
Reinvestment of distributions | 56,217 | 724,382 | 574,479 | 7,492,584 | ||||||||||||
Shares redeemed | (1,679,511 | ) | (22,140,201 | ) | (2,948,335 | ) | (37,617,998 | ) | ||||||||
(567,394 | ) | (7,487,881 | ) | 1,678,674 | 21,168,907 | |||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 17,169,252 | 226,321,733 | 57,919,587 | 735,316,716 | ||||||||||||
Reinvestment of distributions | 1,225,890 | 15,726,444 | 10,206,795 | 133,321,074 | ||||||||||||
Shares redeemed | (114,593,098 | ) | (1,528,955,497 | ) | (43,387,937 | ) | (555,285,051 | ) | ||||||||
(96,197,956 | ) | (1,286,907,320 | ) | 24,738,445 | 313,352,739 | |||||||||||
Investor Shares(a) | ||||||||||||||||
Shares sold | 7,296,909 | 95,871,360 | 26,327,723 | 332,762,138 | ||||||||||||
Reinvestment of distributions | 356,280 | 4,606,944 | 2,024,729 | 26,467,668 | ||||||||||||
Shares redeemed | (6,342,323 | ) | (83,907,386 | ) | (6,766,206 | ) | (87,188,576 | ) | ||||||||
1,310,866 | 16,570,918 | 21,586,246 | 272,041,230 | |||||||||||||
Class P Shares(b) | ||||||||||||||||
Shares sold | 64,676,958 | 867,829,318 | — | — | ||||||||||||
Reinvestment of distributions | 345,374 | 4,541,664 | — | — | ||||||||||||
Shares redeemed | (982,531 | ) | (13,109,235 | ) | — | — | ||||||||||
64,039,801 | 859,261,747 | — | — | |||||||||||||
Class R6 Shares(c) | ||||||||||||||||
Shares sold | 22,516,529 | 300,143,795 | — | — | ||||||||||||
Reinvestment of distributions | 120,991 | 1,591,025 | — | — | ||||||||||||
Shares redeemed | (465,671 | ) | (6,119,626 | ) | — | — | ||||||||||
22,171,849 | 295,615,194 | — | — | |||||||||||||
NET INCREASE (DECREASE) | (11,098,062 | ) | $ | (146,607,796 | ) | 44,626,109 | $ | 565,561,420 |
(a) | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
(b) | Commenced operations on April 17, 2018. |
(c) | Commenced operations on April 30, 2018. |
75
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
12. SUMMARY OF SHARE TRANSACTIONS (continued) |
International Equity Dividend and Premium Fund | ||||||||||||||||
|
| |||||||||||||||
For the Six Months Ended June 30, 2018 (Unaudited) | For the Fiscal Year Ended December 31, 2017 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 136,611 | $ | 1,038,886 | 102,945 | $ | 732,847 | ||||||||||
Reinvestment of distributions | 10,015 | 73,384 | 13,426 | 97,747 | ||||||||||||
Shares redeemed | (142,094 | ) | (1,102,279 | ) | (534,475 | ) | (3,749,238 | ) | ||||||||
4,532 | 9,991 | (418,104 | ) | (2,918,644 | ) | |||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 26,291 | 199,481 | 247,825 | 1,759,661 | ||||||||||||
Reinvestment of distributions | 7,431 | 52,438 | 8,111 | 56,946 | ||||||||||||
Shares redeemed | (160,080 | ) | (1,168,977 | ) | (94,640 | ) | (655,969 | ) | ||||||||
(126,358 | ) | (917,058 | ) | 161,296 | 1,160,638 | |||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 3,080,509 | 23,662,701 | 11,561,703 | 81,010,689 | ||||||||||||
Reinvestment of distributions | 283,693 | 2,115,623 | 1,403,222 | 10,078,458 | ||||||||||||
Shares redeemed | (52,137,475 | ) | (381,638,948 | ) | (9,122,052 | ) | (65,755,238 | ) | ||||||||
(48,773,273 | ) | (355,860,624 | ) | 3,842,873 | 25,333,909 | |||||||||||
Investor Shares(a) | ||||||||||||||||
Shares sold | 180,746 | 1,372,565 | 777,673 | 5,439,680 | ||||||||||||
Reinvestment of distributions | 17,020 | 122,201 | 16,732 | 120,278 | ||||||||||||
Shares redeemed | (183,949 | ) | (1,389,813 | ) | (333,516 | ) | (2,356,628 | ) | ||||||||
13,817 | 104,953 | 460,889 | 3,203,330 | |||||||||||||
Class P Shares(b) | ||||||||||||||||
Shares sold | 29,595,062 | 215,891,762 | — | — | ||||||||||||
Reinvestment of distributions | 509,660 | 3,628,778 | — | — | ||||||||||||
Shares redeemed | (363,605 | ) | (2,713,799 | ) | — | — | ||||||||||
29,741,117 | 216,806,741 | — | — | |||||||||||||
Class R6 Shares(c) | ||||||||||||||||
Shares sold | 20,039,681 | 145,727,484 | — | — | ||||||||||||
Reinvestment of distributions | 325,741 | 2,316,015 | — | — | ||||||||||||
Shares redeemed | (121,314 | ) | (927,568 | ) | — | — | ||||||||||
20,244,108 | 147,115,931 | — | — | |||||||||||||
NET INCREASE | 1,103,943 | $ | 7,259,934 | 4,046,954 | $ | 26,779,233 |
(a) | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
(b) | Commenced operations on April 17, 2018. |
(c) | Commenced operations on April 30, 2018. |
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GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
12. SUMMARY OF SHARE TRANSACTIONS (continued) |
U.S. Tax-Managed Equity Fund | ||||||||||||||||
|
| |||||||||||||||
For the Six Months Ended June 30, 2018 (Unaudited) | For the Fiscal Year Ended December 31, 2017 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 110,057 | $ | 2,562,858 | 235,553 | $ | 4,819,759 | ||||||||||
Reinvestment of distributions | — | — | 9,922 | 222,759 | ||||||||||||
Shares redeemed | (86,620 | ) | (2,006,510 | ) | (730,782 | ) | (14,705,297 | ) | ||||||||
23,437 | 556,348 | (485,307 | ) | (9,662,779 | ) | |||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 77,298 | 1,681,287 | 103,720 | 2,018,823 | ||||||||||||
Shares redeemed | (140,107 | ) | (3,093,071 | ) | (312,769 | ) | (6,033,717 | ) | ||||||||
(62,809 | ) | (1,411,784 | ) | (209,049 | ) | (4,014,894 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 6,004,027 | 140,401,735 | 7,938,889 | 166,788,196 | ||||||||||||
Reinvestment of distributions | — | — | 514,698 | 11,729,973 | ||||||||||||
Shares redeemed | (60,357,683 | ) | (1,447,425,515 | ) | (2,581,620 | ) | (53,472,574 | ) | ||||||||
Shares redeemed in connection with in-kind transactions | (2,117,152 | ) | (48,160,000 | ) | — | — | ||||||||||
(56,470,808 | ) | (1,355,183,780 | ) | 5,871,967 | 125,045,595 | |||||||||||
Service Shares | ||||||||||||||||
Shares sold | — | — | 22 | 450 | ||||||||||||
Reinvestment of distributions | — | — | 132 | 2,973 | ||||||||||||
Shares redeemed | — | (120 | ) | (1 | ) | (32 | ) | |||||||||
— | (120 | ) | 153 | 3,391 | ||||||||||||
Investor Shares(a) | ||||||||||||||||
Shares sold | 57,551 | 1,342,920 | 513,078 | 10,361,026 | ||||||||||||
Reinvestment of distributions | — | — | 5,470 | 124,607 | ||||||||||||
Shares redeemed | (91,354 | ) | (2,165,194 | ) | (508,010 | ) | (10,269,685 | ) | ||||||||
(33,803 | ) | (822,274 | ) | 10,538 | 215,948 | |||||||||||
Class P Shares(b) | ||||||||||||||||
Shares sold | 94,818 | 2,255,923 | — | — | ||||||||||||
Shares redeemed | — | (274 | ) | — | — | |||||||||||
94,818 | 2,255,649 | — | — | |||||||||||||
Class R6 Shares(c) | ||||||||||||||||
Shares sold | 60,166,090 | 1,442,552,016 | — | �� | — | |||||||||||
Shares redeemed | (20,264 | ) | (702,650 | ) | — | — | ||||||||||
Shares redeemed in connection with in-kind transactions | (1,291,774 | ) | (30,150,000 | ) | — | — | ||||||||||
58,854,052 | 1,411,699,366 | — | — | |||||||||||||
NET INCREASE | 2,404,887 | $ | 57,093,405 | 5,188,302 | $ | 111,587,261 |
(a) | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
(b) | Commenced operations on April 17, 2018. |
(c) | Commenced operations on April 30, 2018. |
77
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
June 30, 2018 (Unaudited)
12. SUMMARY OF SHARE TRANSACTIONS (continued) |
International Tax-Managed Equity Fund | ||||||||||||||||
|
| |||||||||||||||
For the Six Months Ended June 30, 2018 (Unaudited) | For the Fiscal Year Ended December 31, 2017 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 313,850 | $ | 3,516,895 | 586,809 | $ | 6,085,147 | ||||||||||
Reinvestment of distributions | — | — | 13,828 | 150,589 | ||||||||||||
Shares redeemed | (113,558 | ) | (1,256,273 | ) | (327,027 | ) | (3,123,517 | ) | ||||||||
200,292 | 2,260,622 | 273,610 | 3,112,219 | |||||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 163,784 | 1,768,460 | 149,372 | 1,539,863 | ||||||||||||
Reinvestment of distributions | — | — | 3,119 | 32,937 | ||||||||||||
Shares redeemed | (30,532 | ) | (329,973 | ) | (21,877 | ) | (223,790 | ) | ||||||||
133,252 | 1,438,487 | 130,614 | 1,349,010 | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 6,548,792 | 72,193,467 | 10,302,979 | 103,200,782 | ||||||||||||
Reinvestment of distributions | — | — | 1,048,894 | 11,338,541 | ||||||||||||
Shares redeemed | (54,121,382 | ) | (578,444,555 | ) | (8,711,180 | ) | (80,971,761 | ) | ||||||||
Shares redeemed in connection with in-kind transactions | — | — | (6,300,759 | ) | (66,410,000 | ) | ||||||||||
(47,572,590 | ) | (506,251,088 | ) | (3,660,066 | ) | (32,842,438 | ) | |||||||||
Investor Shares(a) | ||||||||||||||||
Shares sold | 614,295 | 6,799,866 | 1,592,806 | 15,779,813 | ||||||||||||
Reinvestment of distributions | — | — | 25,081 | 272,879 | ||||||||||||
Shares redeemed | (581,754 | ) | (6,671,444 | ) | (338,822 | ) | (3,564,694 | ) | ||||||||
32,541 | 128,422 | 1,279,065 | 12,487,998 | |||||||||||||
Class P Shares(b) | ||||||||||||||||
Shares sold | 159,994 | 1,760,363 | — | — | ||||||||||||
Shares redeemed | — | (294 | ) | — | — | |||||||||||
159,994 | 1,760,069 | — | — | |||||||||||||
Class R6 Shares(c) | ||||||||||||||||
Shares sold | 54,693,615 | 584,062,575 | — | — | ||||||||||||
Shares redeemed | (18,825 | ) | (296,739 | ) | — | — | ||||||||||
54,674,790 | 583,765,836 | — | — | |||||||||||||
NET INCREASE (DECREASE) | 7,628,279 | $ | 83,102,348 | (1,976,777 | ) | $ | (15,893,211 | ) |
(a) | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
(b) | Commenced operations on April 17, 2018. |
(c) | Commenced operations on April 30, 2018. |
78
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Fund Expenses — Six Month Period Ended June 30, 2018 (Unaudited)
As a shareholder of Class A, Class C, Institutional, Service, Investor, Class P 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 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, Investor, Class P 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 January 1, 2018 through June 30, 2018, which represents a period of 181 days of a 365 day year. The Class R6 example is based on the period from April 30, 2018 through June 30, 2018, which represents a period of 61 out of 365 days. The Class P example is based on the period from April 17, 2018 through June 30, 2018, which represents a period of 74 out of 365 days. The Class P and Class R6 example for hypothetical expenses reflects projected activity for the period from January 1, 2018 through June 30, 2018 for the purposes of comparability. This projection assumes that annualized expense ratios were in effect during the period.
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.
U.S. Equity Dividend and Premium Fund | International Equity Dividend and Premium Fund | U.S. Tax-Managed Equity Fund | International Tax-Managed Equity Fund | |||||||||||||||||||||||||||||||||||||||||||||
Share Class | Beginning Account Value 01/01/18 | Ending Account Value 06/30/18 | Expenses Paid for the 6 Months Ended 06/30/18* | Beginning Account Value 01/01/18 | Ending Account Value 06/30/18 | Expenses Paid for the 6 Months Ended 06/30/18* | Beginning Account Value 01/01/18 | Ending Account Value 06/30/18 | Expenses Paid for the 6 Months Ended 06/30/18* | Beginning Account Value 01/01/18 | Ending Account Value 06/30/18 | Expenses Paid for the 6 Months Ended 06/30/18* | ||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,010.00 | $ | 5.58 | $ | 1,000 | $ | 958.00 | $ | 6.46 | $ | 1,000 | $ | 1,034.40 | $ | 5.70 | $ | 1,000 | $ | 979.00 | $ | 6.33 | ||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,019.24 | + | 5.61 | 1,000 | 1,018.20 | + | 6.66 | 1,000 | 1,019.19 | + | 5.66 | 1,000 | 1,018.40 | + | 6.46 | ||||||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,006.40 | 9.30 | 1,000 | 954.90 | 10.08 | 1,000 | 1,031.10 | 9.47 | 1,000 | 976.40 | 10.00 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,015.52 | + | 9.35 | 1,000 | 1,014.48 | + | 10.39 | 1,000 | 1,015.47 | + | 9.39 | 1,000 | 1,014.68 | + | 10.19 | ||||||||||||||||||||||||||||||||
Institutional | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,011.90 | 3.69 | 1,000 | 960.30 | 4.57 | 1,000 | 1,036.50 | 3.74 | 1,000 | 981.60 | 4.42 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,021.12 | + | 3.71 | 1,000 | 1,020.13 | + | 4.71 | 1,000 | 1,021.12 | + | 3.71 | 1,000 | 1,020.33 | + | 4.51 | ||||||||||||||||||||||||||||||||
Service | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | N/A | N/A | N/A | N/A | N/A | N/A | 1,000 | 1,033.80 | 6.25 | N/A | N/A | N/A | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | N/A | N/A | N/A | 1,000 | 1,018.65 | + | 6.21 | N/A | N/A | N/A | |||||||||||||||||||||||||||||||||||
Investor | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,011.30 | 4.34 | 1,000 | 959.50 | 5.25 | 1,000 | 1,036.10 | 4.44 | 1,000 | 980.80 | 5.11 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,020.48 | + | 4.36 | 1,000 | 1,019.44 | + | 5.41 | 1,000 | 1,020.43 | + | 4.41 | 1,000 | 1,019.64 | + | 5.21 | ||||||||||||||||||||||||||||||||
Class P(a) | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,006.90 | 1.49 | 1,000 | 944.80 | 1.85 | 1,000 | 1,004.70 | 1.48 | 1,000 | 962.10 | 1.77 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,021.17 | + | 3.66 | 1,000 | 1,020.13 | + | 4.71 | 1,000 | 1,021.17 | + | 3.66 | 1,000 | 1,020.38 | + | 4.46 | ||||||||||||||||||||||||||||||||
Class R6(b) | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,028.90 | 1.24 | 1,000 | 957.10 | 1.54 | 1,000 | 1,026.60 | 1.25 | 1,000 | 975.30 | 1.47 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,021.17 | + | 3.66 | 1,000 | 1,020.13 | + | 4.71 | 1,000 | 1,021.12 | + | 3.71 | 1,000 | 1,020.38 | + | 4.46 |
+ | 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. |
* | 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 June 30, 2018. 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 | Investor | Class P(a) | Class R6(b) | |||||||||||||||||||||
U.S. Equity Dividend and Premium | 1.12 | % | 1.87 | % | 0.74 | % | N/A | 0.87 | % | 0.73 | % | 0.73 | % | |||||||||||||||
International Equity Dividend and Premium | 1.33 | 2.08 | 0.94 | N/A | 1.08 | 0.94 | 0.94 | |||||||||||||||||||||
U.S. Tax-Managed Equity | 1.13 | 1.88 | 0.74 | 1.24 | % | 0.88 | 0.73 | 0.74 | ||||||||||||||||||||
International Tax-Managed Equity | 1.29 | 2.04 | 0.90 | N/A | 1.04 | 0.89 | 0.89 |
(a) | Commenced operations on April 17, 2018. |
(b) | Commenced operations on April 30, 2018. |
79
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
The Goldman Sachs International Equity Dividend and Premium Fund, Goldman Sachs International Tax-Managed Equity Fund, Goldman Sachs U.S. Equity Dividend and Premium Fund, and Goldman Sachs U.S. Tax-Managed Equity Fund (the “Funds”) are investment portfolios of Goldman Sachs Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Funds at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Funds.
The Management Agreement was most recently approved for continuation until June 30, 2019 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 13-14, 2018 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held four meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to each Fund, such matters included:
(a) | the nature and quality of the advisory, administrative, and other services provided to the Fund by the Investment Adviser and its affiliates, including information about: |
(i) | the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams; |
(ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training); |
(iii) | trends in employee headcount; |
(iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
(v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
(b) | information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), and a benchmark performance index; and information on general investment outlooks in the markets in which the Fund invests; |
(c) | information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Fund’s peer group and/or benchmark index had high, medium, or low relevance given the Fund’s particular investment strategy; |
(d) | the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund; |
(e) | fee and expense information for the Fund, including: |
(i) | the relative management fee and expense levels of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; |
(ii) | the Fund’s expense trends over time; and |
(iii) | to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
(f) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; |
(g) | the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations; |
(h) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund to the Investment Adviser and its affiliates; |
(i) | whether the Fund’s existing management fee schedule adequately addressed any economies of scale; |
80
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
(j) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, securities lending, portfolio trading, distribution and other services; |
(k) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
(l) | information regarding commissions paid by the Fund and broker oversight, other information regarding portfolio trading, and how the Investment Adviser carries out its duty to seek best execution; |
(m) | portfolio manager ownership of Fund shares; the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers; |
(n) | the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and |
(o) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports. |
The Trustees also received an overview of the Funds’ distribution arrangements. They received information regarding the Funds’ assets, share purchase and redemption activity, and payment of distribution, service, and shareholder administration fees, as applicable. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Funds and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Funds. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Funds by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the regulatory and control environment in which the Funds and their service providers operate, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Funds and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Funds and the Investment Adviser and its affiliates.
Investment Performance
The Trustees also considered the investment performance of the Funds. In this regard, they compared the investment performance of each Fund to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2017, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2018. The information on each Fund’s investment performance was provided for the one-, three-, five-, and ten-year periods ending on the applicable dates, to the extent that each Fund had been in existence for those periods. The Trustees also reviewed each Fund’s investment performance relative to its performance benchmark. As part of this review, they
81
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
considered the investment performance trends of the Funds over time, and reviewed the investment performance of each Fund in light of its investment objective and policies and market conditions.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Funds’ risk profiles, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management. They noted the efforts of the Funds’ portfolio management team to continue to enhance the investment models used in managing the Funds.
The Trustees considered that the International Equity Dividend and Premium Fund’s Institutional Shares had placed in the second quartile of the Fund’s peer group for the one- and three-year periods and in the third quartile for the five- and ten-year periods, and had outperformed the Fund’s benchmark index for the three-year period and underperformed for the one-, five-, and ten-year periods ended March 31, 2018. They noted that the International Tax-Managed Equity Fund’s Institutional Shares had placed in the top half of the Fund’s peer group and had outperformed the Fund’s benchmark index for the one-, three-, five-, and ten-year periods ended March 31, 2018. The Trustees observed that the U.S. Equity Dividend and Premium Fund’s Institutional Shares had placed in the third quartile of the Fund’s peer group for the three-, five-, and ten-year periods and in the fourth quartile for the one-year period, and had underperformed the Fund’s benchmark index for the one-, three-, five-, and ten-year periods ended March 31, 2018. They also noted that the U.S. Tax-Managed Equity Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the one-, five-, and ten-year periods and in the third quartile for the three-year period, and had outperformed the Fund’s benchmark index for the one- and five-year periods and underperformed for the three- and ten-year periods ended March 31, 2018.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by each Fund thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Funds, which included both advisory and administrative services that were directed to the needs and operations of the Funds as registered mutual funds.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Funds. The analyses provided a comparison of each Fund’s management fee and breakpoints to those of a relevant peer group and category universe; an expense analysis which compared each Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing each Fund’s net expenses to the peer and category medians. The analyses also compared each Fund’s transfer agency, custody and distribution fees, other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Funds.
In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations. The Trustees also noted that certain changes were being made to existing fee waiver or expense limitation arrangements of the International Tax-Managed Equity Fund and U.S. Tax-Managed Equity Fund that would have the effect of decreasing expenses of Class A, Class C, and Investor Shares of the Fund, with such changes taking effect in connection with the Funds’ next annual registration statement update. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Funds, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Funds differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.
In addition, the Trustees noted that shareholders are able to redeem their Fund shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Profitability
The Trustees reviewed each Fund’s contribution to the Investment Adviser’s revenues and pre-tax profit margins. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization had audited the expense
82
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
allocation methodology and that the internal audit group was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology and profitability analysis calculations. Profitability data for each Fund was provided for 2017 and 2016, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability.
Economies of Scale
The Trustees considered the information that had been provided regarding whether there have been economies of scale with respect to the management of the Funds. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreement for each of the Funds at the following annual percentage rates of the average daily net assets of the Funds:
International Equity Dividend and Premium Fund | International Tax-Managed Equity Fund | U.S. Equity Dividend and Premium Fund | U.S. Tax-Managed Equity Fund | |||||||||||||
First $1 billion | 0.81 | % | 0.85 | % | 0.75 | % | 0.70 | % | ||||||||
Next $1 billion | 0.73 | 0.77 | 0.68 | 0.63 | ||||||||||||
Next $3 billion | 0.69 | 0.73 | 0.65 | 0.60 | ||||||||||||
Next $3 billion | 0.68 | 0.72 | 0.64 | 0.59 | ||||||||||||
Over $8 billion | 0.67 | 0.71 | 0.63 | 0.58 |
The Trustees noted that the breakpoints were designed to share potential economies of scale, if any, with the Funds and their shareholders as assets under management reach those asset levels. The Trustees considered the amounts of assets in the Funds; the Funds’ recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer groups; and the Investment Adviser’s undertaking to limit certain expenses of the Funds that exceed specified levels. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels. They also noted that the Investment Adviser had passed along savings to shareholders of the U.S. Equity Dividend and Premium Fund and U.S. Tax-Managed Equity Fund, which had asset levels above at least the first breakpoint during the prior fiscal year.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Funds as stated above, including: (a) transfer agency fees received by Goldman Sachs & Co. LLC (“Goldman Sachs”); (b) brokerage and futures commissions earned by Goldman Sachs for executing securities and futures transactions on behalf of the Funds; (c) trading efficiencies resulting from aggregation of orders of the Funds with those for other funds or accounts managed by the Investment Adviser; (d) fees earned by Goldman Sachs Agency Lending (“GSAL”), an affiliate of the Investment Adviser, as securities lending agent (and fees earned by the Investment Adviser for managing the fund in which the Funds’ cash collateral is invested); (e) the Investment Adviser’s ability to leverage the infrastructure designed to service the Funds on behalf of its other clients; (f) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (g) Goldman Sachs’ retention of certain fees as Fund Distributor; (h) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Funds; and (i) the possibility that the working relationship between the Investment Adviser and the Funds’ third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
Other Benefits to the Funds and Their Shareholders
The Trustees also noted that the Funds receive certain potential benefits as a result of their relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Funds with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors because of the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers because of the volume of business generated by the Investment Adviser and its affiliates; (d) the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties on behalf of the Funds as a result of the size and reputation of the Goldman Sachs organization; (e) the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to
83
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
hire and retain qualified personnel to provide services to the Funds because of the reputation of the Goldman Sachs organization; (g) the Funds’ access, through the Investment Adviser, to certain firmwide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; (h) the Funds’ ability to participate in the securities lending program administered by GSAL, as measured by the revenue received by the Funds in connection with the program; and (i) the Funds’ access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Funds’ shareholders invested in the Funds in part because of the Funds’ relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by each of the Funds were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and each Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit each Fund and its shareholders and that the Management Agreement should be approved and continued with respect to each Fund until June 30, 2019.
84
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 $1.30 trillion in assets under supervision as of June 30, 2018, 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
∎ | Enhanced Income Fund |
∎ | High Quality Floating Rate Fund |
∎ | Short-Term Conservative Income Fund |
∎ | Short Duration Government Fund |
∎ | Short Duration Income Fund |
∎ | Government Income Fund |
∎ | Inflation Protected Securities Fund |
Multi-Sector
∎ | Bond Fund |
∎ | Core Fixed Income Fund |
∎ | Global Income Fund |
∎ | Strategic Income Fund |
Municipal and Tax-Free
∎ | High Yield Municipal Fund |
∎ | Dynamic Municipal Income Fund |
∎ | Short Duration Tax-Free Fund |
Single Sector
∎ | Investment Grade Credit Fund |
∎ | U.S. Mortgages Fund |
∎ | High Yield Fund |
∎ | High Yield Floating Rate Fund |
∎ | Emerging Markets Debt Fund |
∎ | Local Emerging Markets Debt Fund |
∎ | Total Emerging Markets Income Fund4 |
Fixed Income Alternatives
∎ | Long Short Credit Strategies Fund |
Fundamental Equity
∎ | Equity Income Fund |
∎ | Small Cap Value Fund |
∎ | Small/Mid Cap Value Fund |
∎ | Mid Cap Value Fund |
∎ | Large Cap Value Fund |
∎ | Focused Value Fund |
∎ | Capital Growth Fund |
∎ | Strategic Growth Fund |
∎ | Small/Mid Cap Growth Fund |
∎ | Flexible Cap Fund |
∎ | Concentrated Growth Fund |
∎ | Technology Opportunities Fund |
∎ | Growth Opportunities Fund |
∎ | Rising Dividend Growth Fund |
∎ | Blue Chip Fund5 |
∎ | Income Builder 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
∎ | International Equity Income Fund6 |
∎ | International Equity ESG Fund7 |
∎ | Asia Equity Fund |
∎ | Emerging Markets Equity Fund |
∎ | N-11 Equity Fund |
∎ | ESG Emerging Markets Equity Fund |
Select Satellite
∎ | Real Estate Securities Fund |
∎ | International Real Estate Securities Fund |
∎ | Commodity Strategy Fund |
∎ | Global Real Estate Securities Fund |
∎ | Alternative Premia Fund8 |
∎ | Absolute Return Tracker Fund |
∎ | Managed Futures Strategy Fund |
∎ | MLP Energy Infrastructure Fund |
∎ | MLP & Energy 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 |
∎ | Target Date 2060 Portfolio |
∎ | GQG Partners International Opportunities Fund |
∎ | Tactical Exposure 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 after the close of business on December 26, 2017, the Goldman Sachs Dynamic Emerging Markets Debt Fund was renamed the Goldman Sachs Total Emerging Markets Income Fund. |
5 | Effective after the close of business on October 31, 2017, the Goldman Sachs Dynamic U.S. Equity Fund was renamed the Goldman Sachs Blue Chip Fund. |
6 | Effective after the close of business on February 27, 2018, the Goldman Sachs Strategic International Equity Fund was renamed the Goldman Sachs International Equity Income Fund. |
7 | Effective after the close of business on February 27, 2018, the Goldman Sachs Focused International Equity Fund was renamed the Goldman Sachs International Equity ESG Fund. |
8 | Effective after the close of business on October 30, 2017, the Goldman Sachs Dynamic Allocation Fund was renamed the Goldman Sachs Alternative Premia 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 Jessica Palmer, Chair Kathryn A. Cassidy Diana M. Daniels Herbert J. Markley James A. McNamara 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-Q. The Funds’ Forms N-Q are available on the SEC’s web site at http://www.sec.gov within 60 days after the Funds’ first and third fiscal quarters. The Funds’ Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may also be obtained by calling 1-800-SEC-0330. Forms N-Q may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).
Goldman Sachs & Co. LLC (‘‘Goldman Sachs’’) does not provide legal, tax or accounting advice. Any statement contained in this communication (including any attachments) concerning U.S. tax matters was not intended or written to be used, and cannot be used, for the purpose of avoiding penalties under the Internal Revenue Code, and was written to support the promotion or marketing of the transaction(s) or matter(s) addressed. Clients of Goldman Sachs should obtain their own independent tax advice based on their particular circumstances.
Holdings and allocations shown are as of June 30, 2018 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).
© 2018 Goldman Sachs. All rights reserved. 138785-OTU-813680 TAXADVSAR-18/34K
ITEM 2. | CODE OF ETHICS. |
(a) As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the “Code of Ethics”).
(b) During the period covered by this report, no amendments were made to the provisions of the Code of Ethics.
(c) During the period covered by this report, the registrant did not grant any waivers, including an implicit waiver, from any provision of the Code of Ethics.
(d) A copy of the Code of Ethics is available as provided in Item 12(a)(1) of this report.
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
The registrant’s board of trustees has determined that the registrant has at least one “audit committee financial expert” (as defined in Item 3 of Form N-CSR) serving on its audit committee. Gregory G. Weaver is the “audit committee financial expert” and is “independent” (as each term is defined in Item 3 of Form N-CSR).
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
The information required by this Item is only required in an annual report on this Form N-CSR.
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable. |
ITEM 6. | SCHEDULE OF INVESTMENTS. |
Schedule of Investments is included as part of the Report to Shareholders filed under Item 1. |
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ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable. |
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable. |
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
Not applicable. |
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees. |
ITEM 11. | CONTROLS AND PROCEDURES. |
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934, as amended. |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the registrant’s second fiscal quarter of the period covered by this report that have materially affected, or are reasonably likely to materially affect, the registrant’s internal control over financial reporting. |
ITEM 12. | EXHIBITS. |
(a)(1) | Goldman Sachs Trust’s Code of Ethics for Principal Executive and Senior Financial Officers is incorporated by reference to Exhibit 12(a)(1) of the registrant’s Form N-CSR filed on July 8, 2015 for its International Equity Insights Funds. | |||
(a)(2) | Exhibit 99.CERT | Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 filed herewith. | ||
(b) | Exhibit 99.906CERT | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 filed herewith. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Goldman Sachs Trust | ||
By: | /s/ James A. McNamara | |
| ||
James A. McNamara | ||
President/Chief Executive Officer | ||
Goldman Sachs Trust | ||
Date: | August 27, 2018 |
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: | August 27, 2018 | |
By: | /s/ Scott McHugh | |
| ||
Scott McHugh | ||
Principal Financial Officer | ||
Goldman Sachs Trust | ||
Date: | August 27, 2018 |