UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number811-05349
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: December 31, 2019
| ITEM 1. | REPORTS TO STOCKHOLDERS. |
The Annual Report to Shareholders is filed herewith. |
Goldman Sachs Funds
| Annual Report | December 31, 2019 | |||
Fund of Funds Portfolios | ||||
Balanced Strategy | ||||
Growth and Income Strategy | ||||
Growth Strategy | ||||
Satellite Strategies | ||||
It is our intention that beginning on January 1, 2021, paper copies of the Portfolios’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from a Portfolio or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. At any time, you may elect to receive reports and certain communications from a Portfolio electronically by calling the applicable toll-free number below or by contacting your financial intermediary.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a Portfolio directly with the Portfolio’s transfer agent, you can inform the transfer agent that you wish to receive paper copies of reports by callingtoll-free 800-621-2550 for Institutional, Service, Class R6 and Class P shareholders or800-526-7384 for all other shareholders. If you hold shares of a Portfolio through a financial intermediary, please contact your financial intermediary to make this election. Your election to receive reports in paper will apply to all Goldman Sachs Funds held in your account if you invest through your financial intermediary or all Goldman Sachs Funds held with a Portfolio’s transfer agent if you invest directly with the transfer agent.
Goldman Sachs Fund of Funds Portfolios
| ∎ | BALANCED STRATEGY |
| ∎ | GROWTH AND INCOME STRATEGY |
| ∎ | GROWTH STRATEGY |
| ∎ | SATELLITE STRATEGIES |
| 1 | ||||
| 3 | ||||
| 4 | ||||
| 23 | ||||
| 25 | ||||
| 35 | ||||
| 41 | ||||
| 49 | ||||
| 57 | ||||
| 65 | ||||
| 73 | ||||
| 94 | ||||
| 96 | ||||
| NOT FDIC-INSURED | May Lose Value | No Bank Guarantee | ||
MARKET REVIEW
Goldman Sachs Fund of Funds Portfolios
The capital markets and the Portfolios were influenced most during the 12 months ended December 31, 2019 (the “Reporting Period”) by global economic data, central bank monetary policy and geopolitical events.
During the first quarter of 2019, when the Reporting Period started, risk assets broadly rebounded from a sell-off in the fourth quarter of 2018, as investor sentiment turned positive on a combination of dovish global central bank policy, tentative stabilization in Chinese economic growth and seemingly promising developments in U.S.-China trade talks. (Dovish tends to suggest lower interest rates; opposite of hawkish.) Although global economic growth continued to decelerate during the first calendar quarter, a few “green shoots” began to emerge. (Green shoots is a term used to describe signs of economic recovery or positive data during an economic downturn.) Indications of a bottoming in Chinese credit growth, a modest pick-up in fixed asset investment, and an uptick in March 2019 manufacturing data made investors hopeful for a recovery in Chinese and global economic growth. As inflationary pressures remained rather muted, the U.S. Federal Reserve (“Fed”) and the European Central Bank (“ECB”) each made a dovish shift and then maintained monetary policy stances that were broadly supportive of economic growth. More specifically, the Fed signaled it would make no additional short-term interest rate hikes during 2019, and the ECB indicated it was reluctant to raise interest rates during the calendar year. Global equities, as measured by the MSCI ACWI Investable Market Index, were up 12.86% during the first calendar quarter, led by a rally in U.S. stocks. Emerging markets equities overall underperformed developed markets equities, but Chinese stocks, as represented by the MSCI China Index, rose more than 17%. In fixed income, the 10-year U.S. Treasury yield fell during the first quarter of 2019.
In the second quarter of 2019, continued weakness in global economic growth and low levels of inflation led the Fed and ECB to indicate they might ease monetary policy. In June, the Fed signaled its next policy move was more likely to be an interest rate cut than an interest rate hike. The Fed’s dot plot, which shows interest rate projections of the members of the Federal Open Market Committee, revealed that policymakers expected to keep interest rates stable during 2019, followed by a 25 basis point cut in 2020. (A basis point is 1/100th of a percentage point.) Meanwhile, the ECB hinted that interest rate cuts and quantitative easing were on the table should economic data disappoint in the near term. Global equities were volatile during the second calendar quarter overall, though they rose 3.88%, as measured by the MSCI ACWI Investable Market Index. In May 2019, global equities had suffered a significant decline amid headwinds from U.S.-China trade negotiations. They then recovered in June, driven by dovish central bank actions and market expectations of a pause in U.S.-China trade tensions ahead of the G20 meeting at month end. (Also known as Group of 20 nations, the G20 is a forum attended by finance ministers and central bank governors from the world’s highly developed economies consisting of 19 countries and the European Union.) In fixed income, the 10-year U.S. Treasury yield and the 10-year German government bond yield fell during the second quarter of 2019 in response to global economic growth weakness and dovish central bank policies.
During the third quarter of 2019, weak growth in cyclical sectors, such as manufacturing, and increased global trade uncertainty weighed on investors’ expectations for global economic growth, sparking concerns about a possible recession. U.S.-China trade negotiations remained volatile throughout the third calendar quarter, with both sides sending mixed signals. Major central banks became more accommodative in their monetary policies, encouraged by muted inflation across developed economies. Both the Fed and the ECB, for example, cut interest rates. Global equities, as measured by the MSCI ACWI Investable Market Index, appreciated 1.03% during the third calendar quarter, with Japanese and European stocks outperforming U.S. stocks. Emerging markets equities produced negative returns, broadly underperforming developed markets stocks. Continued weakness in Chinese macro data, along with persistent uncertainty regarding U.S.-China trade talks, pressured emerging markets equities. In fixed income, the 10-year U.S. Treasury yield and the 10-year German government bond yield declined by 30 basis points and 25 basis points, respectively, during the third calendar quarter.
In the fourth quarter of 2019, global economic growth showed signs of stabilization, thanks in part to continuous central bank policy support that sought to manage economic and financial sector pressures. In October, the Fed cut interest rates again, signaling that easing had probably ended unless macroeconomic data deteriorated further. Meanwhile, there were positive developments in the U.S.-China trade dispute. Though a full-fledged trade deal remained uncertain, the U.S. and China settled on the framework of a “Phase One” deal during October, with the two sides reaching an agreement in principle on the details in mid-December. The timing of the agreement avoided a proposed tariff hike, scheduled for December 15th, and included a 50% rollback of a September
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MARKET REVIEW
2019 tariff increase. The U.S. President announced that the “Phase One” deal was scheduled to be signed on January 15, 2020. China also promised to address U.S. concerns about intellectual property practices. Collectively, the stabilization of global economic growth, mitigation of U.S.-China trade war risk and accommodative central bank monetary policy supported risk assets during the fourth calendar quarter. Global equities, as measured by the MSCI ACWI Investable Market Index, were up 8.37%. Developed markets equities, as measured by the MSCI World Index, rose 7.80%, while emerging markets equities, as measured by the MSCI Emerging Markets Index, climbed 11.93%. In fixed income, the 10-year U.S. Treasury yield and the 10-year German government bond yield rose by 23 basis points and 40 basis points, respectively, benefiting from improved global economic growth data and the announcement of the U.S.-China “Phase One” deal.
Looking at the Reporting Period as a whole, the vast majority of risk assets finished the year in positive territory. The S&P 500® Index, up 31.49%, recorded its best annual return since 2013, while the Bloomberg Barclays U.S. Aggregate Bond Index ended the year up 8.72%. Global equities, as measured by the MSCI ACWI Investable Market Index, rose 27.73%, driven largely by the strong performance of U.S. large-cap stocks. Developed market equities generally outperformed their emerging markets counterparts. Although emerging markets equities advanced, they were pressured by slowing economic growth in China, weakness in emerging markets exports and intermittent U.S.-China trade escalation. In fixed income, 10-year U.S. Treasury yields and 10-year German government bond yields declined during the Reporting Period overall, as the Fed and ECB each eased monetary policy in response to soft economic growth and subdued inflation. These same factors, coupled with receding recession fears, caused credit spreads to tighten during the Reporting Period, resulting in strong performance for both investment grade and high yield corporate bonds. (Credit spreads are yield differentials between corporate bonds and U.S. Treasury securities of comparable maturity.)
Looking Ahead
At the end of the Reporting Period, we expected a modest pickup in global economic activity in 2020. In our view, the global economy could continue to expand, particularly in the U.S. where we were encouraged by the continued strength of the labor market, the early signs of a turnaround in manufacturing, what we considered to be manageable weakness in the services sector, and the fading drag of trade tariffs. As for monetary policy, we believed the Fed, ECB and the Bank of Japan were likely to remain accommodative, though the Bank of England may be the only major central bank to ease interest rates during 2020, in our opinion. We expected China, the Eurozone countries and Japan to provide additional fiscal stimulus in the near term. Regarding recessionary risk, we considered it low, though we expected it to be modestly higher in 2020 than it was in 2019. At the end of the Reporting Period, we saw no shortage of geopolitical concerns, including the potential of disruptions caused by a more adventurous or aggressive Iran and North Korea. We also thought that ongoing U.S.-China trade negotiations, U.S. elections and the U.K.’s exit from the European Union could increase market volatility.
At the asset class level, we expected equities to offer modest returns in the near term, supported by moderate corporate earnings growth. Accordingly, they remained our preferred asset class at the end of the Reporting Period. Although we considered U.S. valuations high, we thought they were justified by the existing macro environment. That said, we expected high valuations and moderate earnings growth to limit equity returns relative to what we might expect during a period of increasing economic growth momentum. As for fixed income, we thought modest global economic growth and the willingness of developed central banks to ease monetary policy more aggressively, rather than tighten it, were likely to keep interest rates and credit spreads range bound in 2020. In this environment, we believe it is critical to remain vigilant. The current U.S. economic expansion has exceeded all others in length, while the current U.S. equity bull market has exceeded all others in length and all but one other in strength. In our view, neither will continue indefinitely. Therefore, we believe a dynamic investment approach is even more important than usual.
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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 150* 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 December 2019. |
| †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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PORTFOLIO RESULTS
Goldman Sachs Fund of Funds Portfolios – Asset Allocation
Investment Objectives
The Goldman Sachs Balanced Strategy Portfolio seeks current income and 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 (“GPS”) Team discusses the performance and positioning of the Goldman Sachs Fund of Funds Portfolios — Asset Allocation (the “Portfolios”) for the12-month period ended December 31, 2019 (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, Class C, Institutional, Service, Investor, Class P, Class R and Class R6 Shares generated average annual total returns of 15.24%, 14.30%, 15.68%, 14.99%, 15.49%, 15.69%, 14.94% and 15.70%, respectively. This compares to the 15.45% average annual 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 average annual total returns of 8.22% and 26.60%, respectively, during the Reporting Period. |
| Goldman Sachs Growth and Income Strategy Portfolio — During the Reporting Period, the Growth and Income Strategy Portfolio’s Class A, Class C, Institutional, Service, Investor, Class P, Class R and Class R6 Shares generated average annual total returns of 18.60%, 17.78%, 19.17%, 18.51%, 18.91%, 19.10%, 18.30% and 19.10%, respectively. This compares to the 19.13% average annual 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 average annual total returns of 8.22% and 26.60%, respectively, during the Reporting Period. |
| Goldman Sachs Growth Strategy Portfolio — During the Reporting Period, the Growth Strategy Portfolio’s Class A, Class C, Institutional, Service, Investor, Class P, Class R and Class R6 Shares generated average annual total returns of 22.24%, 21.31%, 22.77%, 22.10%, 22.50%, 22.72%, 21.98% and 22.72%, respectively. This compares to the 22.84% average annual 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 average annual total returns of 8.22% and 26.60%, respectively, during the Reporting 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 including 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 using various strategies including a managed-volatility or trend-following approach (the “Underlying Dynamic Funds”). |
Performance is driven by three sources of return: long-term strategic asset allocation, medium-term and short-term |
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PORTFOLIO RESULTS
dynamic allocation, and excess returns from investments in Underlying Funds. Long-term 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 ofbottom-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 and short-term dynamic 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 our medium-term 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 strong positive double-digit returns on an absolute basis. In relative terms, the Goldman Sachs Balanced Strategy Portfolio and the Goldman Sachs Growth and Income Strategy Portfolio outperformed their respective benchmark indices.1 The Goldman Sachs Growth Strategy Portfolio underperformed its benchmark index. |
| Long-term strategic asset allocation added most to the performance of all three Portfolios during the Reporting Period. In addition, the contribution from our short-term dynamic decisions was generally positive. Conversely, the Portfolios were hurt overall by our medium-term dynamic views. Security selection within the Underlying Funds detracted from the performance of all three Portfolios. |
| During the Reporting Period, we shifted the Portfolios to new long-term strategic allocations, as we sought to enhance their diversification and sources of potential excess returns. The new strategic allocations enhanced the Portfolios’ absolute returns. |
| Our medium-term dynamic views detracted from the performance of all three Portfolios. 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 the front, or short-term, end of the U.S. Treasury yield curve. (Yield curve is a spectrum of interest rates based on maturities of varying lengths.) The short position in long-maturity German government bonds hurt the Portfolios’ performance, as German bund yields fell during the Reporting Period due to slower European economic growth and subdued inflation. The Portfolios’ short position in thetwo-year segment of the U.S. Treasury yield curve also hurt performance, as U.S. interest rates dropped during the Reporting Period. Elsewhere within fixed income, the Portfolios were hampered by their exposure to local emerging markets debt versus U.S. high yield corporate bonds during the first four months of the Reporting Period. This positioning was 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, high yield corporate bonds outperformed local emerging markets debt, and this medium-term dynamic view marginally detracted from the Portfolios’ performance. |
| Our short-term dynamic views, which seek to take advantage of what we consider short-term market mispricing, contributed positively to the performance of all three Portfolios during the Reporting Period overall. During the first half of the Reporting Period, the GPS Team used the Goldman Sachs Tactical Exposure Fund (the “Underlying Tactical Fund”) to express its short-term dynamic views. In the second half of the Reporting Period, the GPS team used the Goldman Sachs Tactical Tilt Overlay Fund as the Underlying Tactical Fund for all three Portfolios. |
| As mentioned earlier, security selection within the Underlying Funds detracted from the returns of the Goldman Sachs Balanced Strategy Portfolio, the Goldman Sachs Growth and Income Strategy Portfolio and the Goldman Sachs Growth Strategy Portfolio. |
| 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 Global Income Fund, the Goldman Sachs High Yield Fund |
| 1 | As measured by Institutional Shares. |
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PORTFOLIO RESULTS
and the Goldman Sachs High Yield Floating Rate Fund outperformed their respective benchmark indices. The Goldman Sachs Access Investment Grade Corporate Bond ETF ended the Reporting Period relatively flat compared to its benchmark index. The Goldman Sachs Emerging Markets Debt Fund, the Goldman Sachs Local Emerging Markets Debt Fund the Goldman Sachs Access High Yield Corporate Bond ETF underperformed their respective benchmark indices. Among Underlying Equity Funds, the Goldman Sachs ActiveBeta® International Equity ETF, the Goldman Sachs Real Estate Securities Fund and the Goldman Sachs Global Infrastructure Fund outperformed their respective benchmark indices during the Reporting Period. The Goldman Sachs Dynamic Global Equity Fund outperformed its benchmark index between May 15, 2019, when it was added as an Underlying Equity Fund, and the end of the Reporting Period. The Underlying Equity Funds that underperformed their respective benchmark indices were the Goldman Sachs International Equity Insights Fund, the Goldman Sachs Large Cap Value Insights Fund, the Goldman Sachs Large Cap Growth Insights Fund, the Goldman Sachs Emerging Markets Equity Insights Fund, the Goldman Sachs Small Cap Equity Insights Fund, the Goldman Sachs ActiveBeta® U.S. Large Cap Equity ETF, the Goldman Sachs ActiveBeta® Emerging Markets Equity ETF and the Goldman Sachs International Small Cap Insights Fund. Among Underlying Dynamic Funds, the Goldman Sachs Managed Futures Strategy Fund and the Goldman Sachs Alternative Premia Fund underperformed their respective benchmark indices. |
| The Goldman Sachs Tactical Exposure Fund and the Goldman Sachs Tactical Tilt Overlay Fund underperformed their respective benchmark indices during the periods they served as the Portfolios’ Underlying Tactical Fund. |
| Q | How did the Portfolios use derivatives and similar instruments during the Reporting Period? |
| A | During the Reporting Period, all three Portfolios used derivatives for passive replication of asset classes. Specifically, each of the Portfolios held a strategic position in S&P 500® Index futures (positive impact on performance). They also employed put options on U.S. large cap equities (negative impact). (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.) |
| Within fixed income, all three Portfolios used interest rate futures to express our medium-term dynamic views on the U.S. Treasury yield curve and on long-term German interest rates (each had a negative impact). In addition, the Portfolios invested in a strategy that utilized interest rates options to profit if interest rates fall, remain constant, or rise less than anticipated (positive impact). |
| The three Portfolios used forward foreign currency exchange contracts within a foreign currency hedging strategy (positive impact), which seeks to manage the risk associated with investing innon-U.S. currencies. |
| Equity options were employed within a volatility selling strategy (negative impact). 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. |
| 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 January 2019, we started to implement new long-term strategic allocations that we believed would provide regional exposure, particularly to the U.S., that was more in line with our long-term views as well as the Portfolios’ respective benchmark indices. As we shifted to the new strategic allocations, we increased the Portfolios’ exposure to U.S.large-cap stocks and other developed marketslarge-cap stocks, while reducing their exposure to emerging markets stocks. We also decreased the Portfolios’ exposure tosmall-cap stocks overall. Within fixed income, we increased the Portfolios’ exposure to global investment grade corporate bonds. By the end of May 2019, we had completed the implementation of the new long-term strategic allocations. |
In May 2019, we added a strategic allocation to the Goldman Sachs Dynamic Global Equity Fund (“Dynamic Underlying Equity Fund”), a diversified equity portfolio that gives us access to equities as well as some options-based strategies in equities and fixed income. We funded the allocation to the Dynamic Underlying Equity Fund by reducing allocations to the Underlying Equity Funds overall, as the Portfolios would |
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PORTFOLIO RESULTS
gain similar exposure through the Dynamic Underlying Equity Fund. |
| During the Reporting Period, we also made changes to our medium-term dynamic views. In February 2019, we reduced the Portfolios’ short positions in long-maturity German government bonds and their short positions in the front, or short-term, end of the U.S. Treasury yield curve, as we sought to increase their exposure to global fixed income amid uncertainty about the global economic growth outlook. Between March and June 2019, we eliminated the Portfolios’ short positions in long-maturity German government bonds. Although we still believed the markets were underpricing the risk of future inflation, we did not see signs that inflation would break out of its range-bound levels in the near term. This, combined with dovish central bank policy, caused us to remove this view from all the Portfolios. (Dovish tends to suggest lower interest rates; opposite of hawkish.) In May 2019, we removed our view that the Portfolios have exposure to local emerging markets debt versus U.S. high yield corporate bonds, as this positioning was incorporated into the Portfolios’ new long-term strategic allocations. In July 2019, we reduced the Portfolios’ short positions in thetwo-year segment of the U.S. Treasury yield curve, eliminating it completely in December as it became less attractive, in our view, because of the Fed’s dovish stance, which greatly reduced the market’s expectations of a rate hike. |
| Beginning in June 2019, we sought to reduce equity risk in the Portfolios through the purchase of put options on U.S.large-cap equities. We maintained this positioning through the end of the Reporting Period. |
| On June 28, 2019, the Goldman Sachs Tactical Exposure Fund, which had served as the Portfolios’ Underlying Tactical Fund during the first half of the Reporting Period, was liquidated. The Goldman Sachs Tactical Tilt Overlay Fund became the Portfolios’ Underlying Tactical Fund. |
| Q | Were there any changes to the Portfolios’ portfolio management team during the Reporting Period? |
| A | Effective February 19, 2019, Raymond Chan no longer served as a portfolio manager of the Portfolios. Additionally, Neill Nuttall began serving as a portfolio manager of the Portfolios on February 19, 2019. By design, all investment decisions for the Portfolios are performed within aco-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 Neill Nuttall and Christopher Lvoff. |
| At the end of 2019, Kane Brenan, Global Head andCo-Chief Investment Officer of GPS, retired. Gregory Calnon became Global Head of GPS, and Neill Nuttall became sole Chief Investment Officer for GPS. |
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FUND BASIC
Balanced Strategy
as of December 31, 2019
| 1 | 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. 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. |
| 2 | 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 December 31, 2019. 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 WEIGHTINGS3 |
| Percentage of Net Assets |
| 3 | 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. |
| 4 | The underlying fund weighting for Tactical Exposure Fund was re-allocated to Tactical Tilt Overlay Fund in June 2019. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
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GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Performance Summary
December 31, 2019
The following graph shows the value, as of December 31, 2019, of a $1,000,000 investment made on January 1, 2010 in Institutional Shares at NAV. For comparative purposes, the performance of the Portfolio’s benchmarks, the Balanced Strategy Composite Index (the “Balanced Composite”), which is comprised of 60% of the Bloomberg Barclays Global Aggregate Bond Index (Gross, USD, Hedged) (the “Bloomberg Barclays Global Index”) and 40% of the MSCI® All Country World Index (Net, USD, Unhedged) (the “MSCI ACWI Index”), the Bloomberg Barclays Global Index and the MSCI ACWI Index (each with distributions reinvested), are shown. Performance reflects applicable fee waivers and/or expense limitations currently in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. The returns set forth below 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 below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
| Balanced Strategy Portfolio’s 10 Year Performance |
Performance of a $1,000,000 investment, with distributions reinvested, from January 1, 2010 through December 31, 2019.
| Average Annual Total Return through December 31, 2019* | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A (Commenced January 2, 1998) | ||||||||||||||
Excluding sales charges | 15.24% | 4.43% | 4.88% | —% | ||||||||||
Including sales charges | 8.91% | 3.26% | 4.29% | —% | ||||||||||
| ||||||||||||||
Class C (Commenced January 2, 1998) | ||||||||||||||
Excluding contingent deferred sales charges | 14.30% | 3.62% | 4.09% | —% | ||||||||||
Including contingent deferred sales charges | 13.29% | 3.62% | 4.09% | —% | ||||||||||
| ||||||||||||||
Institutional (Commenced January 2, 1998) | 15.68% | 4.82% | 5.29% | —% | ||||||||||
| ||||||||||||||
Service (Commenced January 2, 1998) | 14.99% | 4.45% | 4.85% | —% | ||||||||||
| ||||||||||||||
Investor (Commenced November 30, 2007) | 15.49% | 4.67% | 5.13% | —% | ||||||||||
| ||||||||||||||
Class P (Commenced April 17, 2018) | 15.69% | N/A | N/A | 4.59% | ||||||||||
| ||||||||||||||
Class R (Commenced November 30, 2007) | 14.94% | 4.19% | 4.65% | —% | ||||||||||
| ||||||||||||||
Class R6 (Commenced July 31, 2015) | 15.70% | N/A | N/A | 5.11% | ||||||||||
| ||||||||||||||
| * | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Service, Investor, Class P, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
For more information about your Portfolio, please refer to www.GSAMFUNDS.com. There, you can learn more about your Portfolio’s investment strategies, holdings, and performance.
10
FUND BASICS
Growth and Income Strategy
as of December 31, 2019
| 1 | 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. 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. |
| 2 | 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 December 31, 2019. 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. |
11
FUND BASICS
| OVERALL UNDERLYING FUND WEIGHTINGS3 |
| Percentage of Net Assets |
| 3 | 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. |
| 4 | The underlying fund weighting for Tactical Exposure Fund was re-allocated to Tactical Tilt Overlay Fund in June 2019. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
12
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Performance Summary
December 31, 2019
The following graph shows the value, as of December 31, 2019, of a $1,000,000 investment made on January 1, 2010 in Institutional Shares at NAV. For comparative purposes, the performance of the Portfolio’s benchmarks, the Growth and Income Strategy Composite Index (the “Growth and Income Composite”), which is comprised of 60% of the MSCI® All Country World Index (Net, USD, Unhedged) (the “MSCI ACWI Index”) and 40% of the Bloomberg Barclays Global Aggregate Bond Index (Gross, USD, Hedged) (the “Bloomberg Barclays Global Index”), the Bloomberg Barclays Global Index and the MSCI ACWI Index (each with distributions reinvested), are shown. Performance reflects applicable fee waivers and/or expense limitations currently in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. The returns set forth below 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 below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
| Growth and Income Strategy Portfolio’s 10 Year Performance |
Performance of a $1,000,000 investment, with distributions reinvested, from January 1, 2010 through December 31, 2019.
| Average Annual Total Return through December 31, 2019* | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A (Commenced January 2, 1998) | ||||||||||||||
Excluding sales charges | 18.60% | 5.71% | 6.19% | —% | ||||||||||
Including sales charges | 12.11% | 4.52% | 5.59% | —% | ||||||||||
| ||||||||||||||
Class C (Commenced January 2, 1998) | ||||||||||||||
Excluding contingent deferred sales charges | 17.78% | 4.91% | 5.40% | —% | ||||||||||
Including contingent deferred sales charges | 16.76% | 4.91% | 5.40% | —% | ||||||||||
| ||||||||||||||
Institutional (Commenced January 2, 1998) | 19.17% | 6.12% | 6.61% | —% | ||||||||||
| ||||||||||||||
Service (Commenced January 2, 1998) | 18.51% | 5.61% | 6.09% | —% | ||||||||||
| ||||||||||||||
Investor (Commenced November 30, 2007) | 18.91% | 5.91% | 6.45% | —% | ||||||||||
| ||||||||||||||
Class P (Commenced April 17, 2018) | 19.10% | N/A | N/A | 4.63% | ||||||||||
| ||||||||||||||
Class R (Commenced November 30, 2007) | 18.30% | 5.45% | 5.93% | —% | ||||||||||
| ||||||||||||||
Class R6 (Commenced July 31, 2015) | 19.10% | N/A | N/A | 6.27% | ||||||||||
| ||||||||||||||
| * | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Service, Investor, Class P, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
For more information about your Portfolio, please refer to www.GSAMFUNDS.com. There, you can learn more about your Portfolio’s investment strategies, holdings, and performance.
13
FUND BASICS
Growth Strategy
as of December 31, 2019
| 1 | 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. 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. |
| 2 | 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 December 31, 2019. 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. |
14
FUND BASICS
| OVERALL UNDERLYING FUND WEIGHTINGS3 |
| Percentage of Net Assets |
| 3 | 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. |
| 4 | The underlying fund weighting for Tactical Exposure Fund was re-allocated to Tactical Tilt Overlay Fund in June 2019. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
15
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Performance Summary
December 31, 2019
The following graph shows the value, as of December 31, 2019, of a $1,000,000 investment made on January 1, 2010 in Institutional Shares at NAV. For comparative purposes, the performance of the Portfolio’s benchmarks, the Growth Strategy Composite Index (the “Growth Strategy Composite”), which is comprised of 80% of the MSCI® All Country World Index (Net, USD, Unhedged) (the “MSCI ACWI Index”) and 20% of the Bloomberg Barclays Global Aggregate Bond Index (Gross, USD, Hedged) (the “Bloomberg Barclays Global Index”), the Bloomberg Barclays Global Index and the MSCI ACWI Index (each with distributions reinvested), are shown. Performance reflects applicable fee waivers and/or expense limitations currently in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. The returns set forth below 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 below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
| Growth Strategy Portfolio’s 10 Year Performance |
Performance of a $1,000,000 investment, with distributions reinvested, from January 1, 2010 through December 31, 2019.
| Average Annual Total Return through December 31, 2019* | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A (Commenced January 2, 1998) | ||||||||||||||
Excluding sales charges | 22.24% | 6.96% | 7.35% | —% | ||||||||||
Including sales charges | 15.11% | 5.76% | 6.75% | —% | ||||||||||
| ||||||||||||||
Class C (Commenced January 2, 1998) | ||||||||||||||
Excluding contingent deferred sales charges | 21.31% | 6.16% | 6.54% | —% | ||||||||||
Including contingent deferred sales charges | 20.11% | 6.16% | 6.54% | —% | ||||||||||
| ||||||||||||||
Institutional (Commenced January 2, 1998) | 22.77% | 7.39% | 7.78% | —% | ||||||||||
| ||||||||||||||
Service (Commenced January 2, 1998) | 22.10% | 6.85% | 7.24% | —% | ||||||||||
| ||||||||||||||
Investor (Commenced November 30, 2007) | 22.50% | 7.24% | 7.62% | —% | ||||||||||
| ||||||||||||||
Class P (Commenced April 17, 2018) | 22.72% | N/A | N/A | 5.02% | ||||||||||
| ||||||||||||||
Class R (Commenced November 30, 2007) | 21.98% | 6.71% | 7.08% | —% | ||||||||||
| ||||||||||||||
Class R6 (Commenced July 31, 2015) | 22.72% | N/A | N/A | 7.41% | ||||||||||
| ||||||||||||||
| * | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Service, Investor, Class P, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
For more information about your Portfolio, please refer to www.GSAMFUNDS.com. There, you can learn more about your Portfolio’s investment strategies, holdings, and performance.
16
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 Portfolio (the “Portfolio”) for the12-month period ended December 31, 2019 (the “Reporting Period”).
| Q | How did the Portfolio perform during the Reporting Period? |
| A | During the Reporting Period, the Portfolio’s Class A, Class C, Institutional, Service, Investor, Class P, Class R and Class R6 Shares generated average annual total returns of 18.38%, 17.55%, 18.86%, 18.25%, 18.71%, 18.85%, 18.12% and 19.02%, respectively. This compares to the 19.45% average annual 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 average annual total returns of 8.72%, 31.49% and 22.01%, respectively, during the same period. |
| Q | How did various satellite asset classes perform during the Reporting Period? |
| A | During the Reporting Period, satellite asset classes generated positive absolute returns. Relative to traditional equity and fixed income asset classes, performance across satellite asset classes was mixed. |
| Global infrastructure securities, as represented by the S&P Global Infrastructure Index (Net, Unhedged), performed best, generating a return of 28.69%, during the Reporting Period. It was the only equity satellite asset class to outperform the equity component of the blended benchmark, which is an equal-weighted blend of U.S. and international stocks, as represented by the S&P 500® Index and the MSCI EAFE Index. These two indices were up 31.49% and 22.01%, respectively, during the Reporting Period. |
| As for other equity satellite asset classes, they underperformed the equity component of the blended benchmark. Internationalsmall-cap stocks returned 24.96%, as measured by the MSCI EAFE Small Cap Index (Net, Unhedged). Global real estate securities, as represented by the FTSE EPRA Nareit Developed Index (Net, Unhedged), returned 22.10% during the Reporting Period. Emerging markets equities returned 18.42%, as measured by the MSCI Emerging Markets Index (Net, Unhedged), amid volatility stemming from uncertainty around U.S.-China trade negotiations. U.S. energy master limited partnerships (“MLPs”), as measured by the Alerian MLP Index, was the weakest equity satellite asset class during the Reporting Period, but still returned 6.56%. |
| As for fixed income satellite asset classes, with the exception of leveraged loans, each outperformed the fixed income component of the blended benchmark, the Bloomberg Barclays U.S. Index. U.S. dollar-denominated emerging markets debt, as represented by the J.P. Morgan Emerging Market Bond Index Global Diversified Index, was the best-performing fixed income satellite asset class, up 15.04% during the Reporting Period. Next was U.S. high yield corporate bonds, which produced a gain of 14.32%, as measured by the Bloomberg Barclays U.S. Corporate High-Yield 2% Issuer Capped Bond Index. Local emerging markets debt, as represented by the J.P. Morgan Government Bond Index — Emerging Markets Global Diversified Index, generated a return of 13.74%. Leveraged loans, as measured by the Credit Suisse Leveraged Loan Index, returned 8.17%, underperforming the fixed income component of the blended benchmark. |
17
PORTFOLIO RESULTS
| Q | What key factors were responsible for the Portfolio’s performance during the Reporting Period? |
| A | The Portfolio seeks to achieve its investment objective 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 three sources of return: long-term strategic asset allocation, medium-term dynamic allocation, and excess returns from investments in Underlying Funds. Long-term 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 dynamic 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 dynamic 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.) |
| During the Reporting Period, our strategic asset allocation produced significantly positive absolute returns, but underperformed the Portfolio’s blended benchmark of core asset classes. Our medium-term dynamic allocation also diminished relative results. On the positive side, security selection within the Underlying Funds added to returns during the Reporting Period, with outperformance concentrated in the Underlying Equity Funds. |
| Strategic asset allocation had a negative impact on the Portfolio’s relative performance during the Reporting Period. The Portfolio was hurt by its strategic allocations to equity satellite assets classes, all but one of which underperformed the equity component of the blended benchmark. The Portfolio’s strategic allocation to global infrastructure securities contributed positively. Global infrastructure securities, which are interest-rate sensitive investments, benefited from the decline in U.S. interest rates during the Reporting Period. As for fixed income, the Portfolio’s strategic allocations to satellite asset classes added overall to its performance. With one exception, all of the Portfolio’s fixed income satellite asset classes outpaced the fixed income component of the blended benchmark. A strategic allocation to leveraged loans, which underperformed the fixed income component of the blended benchmark, detracted from the Portfolio’s relative results. 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. However, the Reporting Period was characterized by falling interest rates, as the Federal Reserve (the “Fed”) paused its short-term rate hikes and started making interest rate cuts. |
| Q | How did the Portfolio’s Underlying Funds perform relative to their respective benchmark indices during the Reporting Period? |
| A | During the Reporting Period, security selection within the Underlying Funds overall added to the Portfolio’s results. Among Underlying Equity Funds, the Goldman Sachs Emerging Markets Equity Fund, the Goldman Sachs Global Real Estate Securities Fund, the Goldman Sachs Global Infrastructure Fund and the Goldman Sachs ActiveBeta® Emerging Markets Equity ETF outperformed their respective benchmark indices. The Goldman Sachs Emerging Markets Equity Insights Fund, the Goldman Sachs International Small Cap Insights Fund and the Goldman Sachs MLP Energy Infrastructure Fund underperformed their respective benchmark indices. Among Underlying Fixed Income Funds, the Goldman Sachs High Yield Fund and the Goldman Sachs High Yield Floating Rate Fund outperformed their respective benchmark indices. The Goldman Sachs Local Emerging Markets Debt Fund and the Goldman Sachs Emerging Markets Debt Fund underperformed their respective benchmark indices. |
| 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, |
18
PORTFOLIO RESULTS
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 some adjustments to the Portfolio’s allocations during the Reporting Period. In March 2019, we added a small allocation to energy MLP infrastructure securities through an investment in the Goldman Sachs MLP Energy Infrastructure Fund. We believed energy MLP infrastructure securities offered attractive dividend yields, given our expectations for generally steady interest rates, benign inflation and fairly stable economic growth in the near term. To fund this allocation, we reduced the Portfolio’s exposure to internationalsmall-cap equities, preferring U.S. exposure over international exposure at that particular time. |
| In June 2019, we sought to reduce the Portfolio’s equity risk by reducing its allocation to emerging markets equities, which we accomplished by slightly reducing its allocation to the Goldman Sachs Emerging Markets Equity Insights Fund and increasing its cash position. During December, we once again increased the Portfolio’s allocation to emerging markets equities by increasing its allocation to the Goldman Sachs Emerging Markets Equity Insights Fund. |
| Q | Were there any changes to the Portfolio’s portfolio management team during the Reporting Period? |
| A | Effective February 19, 2019, Raymond Chan no longer served as a portfolio manager of the Portfolio. Additionally, Neill Nuttall began serving as a portfolio manager of the Portfolio on February 19, 2019. By design, all investment decisions for the Portfolio are performed within aco-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 Neill Nuttall and Christopher Lvoff. |
| At the end of 2019, Kane Brenan, Global Head andCo-Chief Investment Officer of GPS, retired. Gregory Calnon became Global Head of GPS, and Neill Nuttall became sole Chief Investment Officer for GPS. |
19
FUND BASICS
Satellite Strategies Portfolio
as of December 31, 2019
| TARGET RISK-CONTRIBUTION INVESTMENT PORTFOLIO1 AS OF 12/31/19 | ||||||
| Percentage of Investment Portfolio | ||||||
 | ||||||
| 1 | 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 December 31, 2019. 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. 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. |
20
FUND BASICS
| OVERALL UNDERLYING FUND WEIGHTINGS2 |
| Percentage of Net Assets |
| 2 | 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. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
21
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Performance Summary
December 31, 2019
The following graph shows the value, as of December 31, 2019, of a $1,000,000 investment made on January 1, 2010 in Institutional Shares at NAV. For comparative purposes, the performance of the Portfolio’s benchmarks, the Satellite Strategies Composite Index (the “Satellite Composite”), which is comprised of 40% of the Bloomberg Barclays U.S. Aggregate Bond Index (the “BBCAB Index”), 30% of the Standard & Poor’s 500 Index (the “S&P 500® Index”), and 30% of the MSCI® Europe, Australasia and Far East Index (the “MSCI EAFE Index”), the S&P 500® Index, the BBCAB Index and the MSCI EAFE Index (Gross, USD, Unhedged) (all with distributions reinvested), are shown. Performance reflects applicable fee waivers and/or expense limitations currently in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. The returns set forth below 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 below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
| Satellite Strategies Portfolio’s 10 Year Performance |
Performance of a $1,000,000 investment, with distributions reinvested, from January 1, 2010 through December 31, 2019.
| Average Annual Total Return through December 31, 2019* | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A (Commenced March 30, 2007) | ||||||||||||||
Excluding sales charges | 18.38% | 4.44% | 5.05% | —% | ||||||||||
Including sales charges | 11.86% | 3.26% | 4.46% | —% | ||||||||||
| ||||||||||||||
Class C (Commenced March 30, 2007) | ||||||||||||||
Excluding contingent deferred sales charges | 17.55% | 3.68% | 4.27% | —% | ||||||||||
Including contingent deferred sales charges | 16.52% | 3.68% | 4.27% | —% | ||||||||||
| ||||||||||||||
Institutional (Commenced March 30, 2007) | 18.86% | 4.87% | 5.47% | —% | ||||||||||
| ||||||||||||||
Service (Commenced August 29, 2008) | 18.25% | 4.35% | 4.96% | —% | ||||||||||
| ||||||||||||||
Investor (Commenced November 30, 2007) | 18.71% | 4.72% | 5.30% | —% | ||||||||||
| ||||||||||||||
Class P (Commenced April 17, 2018) | 18.85% | N/A | N/A | 4.18% | ||||||||||
| ||||||||||||||
Class R (Commenced November 30, 2007) | 18.12% | 4.20% | 4.80% | —% | ||||||||||
| ||||||||||||||
Class R6 (Commenced July 31, 2015) | 19.02% | N/A | N/A | 5.15% | ||||||||||
| ||||||||||||||
| * | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Service, Investor, Class P, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
For more information about your Portfolio, please refer to www.GSAMFUNDS.com. There, you can learn more about your Portfolio’s investment strategies, holdings, and performance.
22
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
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 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 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 broadbased 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.
23
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
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® Net Total Return 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 index figures do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.
Alerian MLP Indexis the leading gauge of energy infrastructure master limited partnerships. The capped, float-adjusted, capitalization-weighted index, whose constituents earn the majority of their cash flow from midstream activities involving energy commodities, is disseminated real-time on a price-return basis (AMZ) and on a total-return basis (AMZX).
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, non-investment grade debt. Index holdings must have at least one year to final maturity, at least $150 million par amount outstanding, and be publicly issued with a rating of Ba1 or lower.
Credit Suisse Leveraged Loan Index is designed to mirror the investable universe of the U.S. dollar-denominated leveraged loan market.
FTSE EPRA Nareit Developed Index is a free-float adjusted, market capitalization-weighted index designed to track the performance of listed real estate companies in developed countries worldwide. Constituents of the Index are screened on liquidity, size and revenue.
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 Indexis 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 ACWI Investable Market Indexcaptures large, mid and small cap representation across 23 developed markets and 26 emerging markets countries.
MSCI China Index captures large and mid cap representation across China H shares, B shares, Red chips, P chips and foreign listings.
MSCI World Index is a broad global equity index that represents large andmid-cap equity performance across 23 developed markets countries. It covers approximately 85% of the free float-adjusted market capitalization in each country.
MSCI EAFE Small Cap Index is an equity index that capturessmall-cap representation across 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.
MSCI Emerging Markets Index captureslarge-cap andmid-cap representation across 24 emerging markets countries. The index covers approximately 85% of the free float-adjusted market capitalization in each country.
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.
S&P Global Infrastructure Index is designed to track 75 companies from around the world chosen to represent the listed infrastructure industry while maintaining liquidity and tradability. To create diversified exposure, the index includes three distinct infrastructure clusters: energy, transportation, and utilities.
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.
It is not possible to invest directly in an unmanaged index.
24
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
December 31, 2019
| Shares | Description | Value | ||||||
| Underlying Funds(a) – 91.6% | ||||||||
| Dynamic – 8.6% | ||||||||
| 2,476,700 | Goldman Sachs Tactical Tilt Overlay Fund – Class R6 | $ | 23,900,156 | |||||
| 1,514,895 | Goldman Sachs Managed Futures Strategy Fund – Class R6 | 14,952,011 | ||||||
| 789,315 | Goldman Sachs Alternative Premia Fund – Class R6 | 6,448,704 | ||||||
|
| |||||||
| 45,300,871 | ||||||||
|
| |||||||
| Equity – 27.9% | ||||||||
| 4,085,733 | Goldman Sachs Dynamic Global Equity Fund – Class R6 | 79,876,079 | ||||||
| 1,721,417 | Goldman Sachs International Equity Insights Fund – Class R6 | 22,343,992 | ||||||
| 1,856,678 | Goldman Sachs Emerging Markets Equity Insights Fund – Class R6 | 18,214,010 | ||||||
| 884,252 | Goldman Sachs Global Real Estate Securities Fund – Class R6 | 9,824,039 | ||||||
| 775,646 | Goldman Sachs Global Infrastructure Fund – Class R6 | 9,672,305 | ||||||
| 601,297 | Goldman Sachs International Small Cap Insights Fund – Class R6 | 7,209,556 | ||||||
|
| |||||||
| 147,139,981 | ||||||||
|
| |||||||
| Exchange Traded Funds – 19.3% | ||||||||
| 791,076 | Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | 51,158,885 | ||||||
| 958,523 | Goldman Sachs Access Investment Grade Corporate Bond ETF | 50,418,310 | ||||||
|
| |||||||
| 101,577,195 | ||||||||
|
| |||||||
| Fixed Income – 35.8% | ||||||||
| 12,640,339 | Goldman Sachs Global Income Fund – Class R6 | 161,164,320 | ||||||
| 826,583 | Goldman Sachs Emerging Markets Debt Fund – Class R6 | 10,266,162 | ||||||
| 709,340 | Goldman Sachs High Yield Floating Rate Fund – Class R6 | 6,710,359 | ||||||
| 891,316 | Goldman Sachs Local Emerging Markets Debt Fund – Class R6 | 5,401,374 | ||||||
| 800,924 | Goldman Sachs High Yield Fund – Class R6 | 5,214,013 | ||||||
|
| |||||||
| 188,756,228 | ||||||||
|
| |||||||
| TOTAL UNDERLYING FUNDS – 91.6% | ||||||||
| (Cost $465,403,944) | $ | 482,774,275 | ||||||
|
| |||||||
| Shares | Dividend Rate | Value | ||||||
| Investment Company(a) – 4.2% | ||||||||
| | Goldman Sachs Financial Square Government Fund – | | ||||||
| 22,109,474 | 1.638% | $ | 22,109,474 | |||||
| (Cost $22,109,474) | ||||||||
|
| |||||||
| TOTAL INVESTMENTS – 95.8% | ||||||||
| (Cost $487,513,418) | $ | 504,883,749 | ||||||
|
| |||||||
| | OTHER ASSETS IN EXCESS OF LIABILITIES – 4.2% | 21,887,397 | ||||||
|
| |||||||
| NET ASSETS – 100.0% | $ | 526,771,146 | ||||||
|
| |||||||
| 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 | |
CHF | —Swiss Franc | |
DKK | —Danish Krone | |
EUR | —Euro | |
GBP | —British Pound | |
HKD | —Hong Kong Dollar | |
ILS | —Israeli Shekel | |
JPY | —Japanese Yen | |
NOK | —Norwegian Krone | |
NZD | —New Zealand Dollar | |
SEK | —Swedish Krona | |
SGD | —Singapore Dollar | |
USD | —U.S. Dollar | |
Investment Abbreviation: | ||
ETF | —Exchange Traded Fund | |
| ||
| The accompanying notes are an integral part of these financial statements. | 25 |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Schedule of Investments(continued)
December 31, 2019
| ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At December 31, 2019, the Portfolio had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Gain | ||||||||||||||||
MS & Co. Int. PLC | USD | 4,579,237 | JPY | 495,000,000 | 03/18/20 | $ | 3,173 | |||||||||||||
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||||||
MS & Co. Int. PLC | USD | 1,713,345 | CHF | 1,680,000 | 03/18/20 | $ | (32,259 | ) | ||||||||||||
| USD | 5,921,298 | EUR | 5,300,000 | 03/18/20 | (52,994 | ) | ||||||||||||||
| USD | 3,248,085 | GBP | 2,470,000 | 03/18/20 | (30,740 | ) | ||||||||||||||
| USD | 1,310,298 | AUD | 1,910,000 | 03/18/20 | (32,649 | ) | ||||||||||||||
| USD | 327,712 | DKK | 2,190,000 | 03/18/20 | (2,817 | ) | ||||||||||||||
| USD | 500,194 | SEK | 4,725,000 | 03/18/20 | (6,178 | ) | ||||||||||||||
| USD | 125,617 | NOK | 1,150,000 | 03/18/20 | (5,403 | ) | ||||||||||||||
| USD | 57,954 | ILS | 200,000 | 03/18/20 | (209 | ) | ||||||||||||||
| USD | 257,161 | SGD | 350,000 | 03/18/20 | (3,273 | ) | ||||||||||||||
| USD | 713,627 | HKD | 5,590,000 | 03/18/20 | (3,308 | ) | ||||||||||||||
| USD | 45,819 | NZD | 70,000 | 03/18/20 | (1,358 | ) | ||||||||||||||
| TOTAL | $ | (171,188 | ) | |||||||||||||||||
FUTURES CONTRACTS — At December 31, 2019, the Portfolio had the following futures contracts:
| Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
S&P 500E-Mini Index | 155 | 03/20/20 | $ | 25,041,025 | $ | 326,333 | ||||||||||
PURCHASED OPTIONS CONTRACTS — At December 31, 2019, the Portfolio had the following 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 | 03/15/2021 | 55 | $ | 137,500 | $ | 198,000 | $ | 98,440 | $ | 99,560 | ||||||||||||||||||
Eurodollar Futures | 97.00 | 06/14/2021 | 53 | 132,500 | 190,800 | 98,173 | 92,627 | |||||||||||||||||||||||
Eurodollar Futures | 97.00 | 09/13/2021 | 29 | 72,500 | 104,218 | 71,117 | 33,101 | |||||||||||||||||||||||
Eurodollar Futures | 97.50 | 09/14/2020 | 58 | 145,000 | 125,425 | 45,023 | 80,402 | |||||||||||||||||||||||
Eurodollar Futures | 97.50 | 12/14/2020 | 54 | 135,000 | 118,801 | 51,501 | 67,300 | |||||||||||||||||||||||
Eurodollar Futures | 98.00 | 06/14/2021 | 205 | 512,500 | 262,656 | 166,996 | 95,660 | |||||||||||||||||||||||
Eurodollar Futures | 98.25 | 03/15/2021 | 471 | 1,177,500 | 356,193 | 548,580 | (192,387 | ) | ||||||||||||||||||||||
Eurodollar Futures | 98.25 | 06/14/2021 | 415 | 1,037,500 | 357,938 | 513,313 | (155,375 | ) | ||||||||||||||||||||||
Eurodollar Futures | 98.25 | 09/13/2021 | 406 | 1,015,000 | 385,700 | 486,267 | (100,567 | ) | ||||||||||||||||||||||
Eurodollar Futures | 98.50 | 03/16/2020 | 77 | 192,500 | 1,444 | 26,166 | (24,722 | ) | ||||||||||||||||||||||
| 26 | 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) |
| |||||||||||||||||||||||||||||
Eurodollar Futures | $ | 98.50 | 06/15/2020 | 51 | $ | 127,500 | $ | 4,143 | $ | 25,618 | $ | (21,475 | ) | |||||||||||||||||
Eurodollar Futures | 98.50 | 12/13/2021 | 275 | 687,500 | 190,782 | 270,001 | (79,219 | ) | ||||||||||||||||||||||
| TOTAL | 2,149 | $ | 5,372,500 | $ | 2,296,100 | $ | 2,401,195 | $ | (105,095 | ) | ||||||||||||||||||||
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) | ||||||||||||||||||||||
Purchased option contracts | ||||||||||||||||||||||||||||||
Puts | ||||||||||||||||||||||||||||||
SPX Index | Barclays Bank PLC | $2,801.58 | 01/17/2020 | 3,649 | $ | 3,649 | $ | 2,934 | $ | 323,739 | $ | (320,805 | ) | |||||||||||||||||
|
| |
Abbreviations: | ||
MS & Co. Int. PLC—Morgan Stanley & Co. International PLC | ||
|
|
| The accompanying notes are an integral part of these financial statements. | 27 |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Schedule of Investments
December 31, 2019
| Shares | Description | Value | ||||||
| Underlying Funds(a) – 94.0% | ||||||||
| Dynamic – 7.2% | ||||||||
| 3,613,879 | Goldman Sachs Tactical Tilt Overlay Fund – Class R6 | $ | 34,873,929 | |||||
| 2,191,207 | Goldman Sachs Managed Futures Strategy Fund – Class R6 | 21,627,209 | ||||||
| 1,145,021 | Goldman Sachs Alternative Premia Fund – Class R6 | 9,354,823 | ||||||
|
| |||||||
| 65,855,961 | ||||||||
|
| |||||||
| Equity – 40.7% | ||||||||
| 10,141,115 | Goldman Sachs Dynamic Global Equity Fund – Class R6 | 198,258,792 | ||||||
| 5,903,161 | Goldman Sachs International Equity Insights Fund – Class R6 | 76,623,035 | ||||||
| 4,661,171 | Goldman Sachs Emerging Markets Equity Insights Fund – Class R6 | 45,726,090 | ||||||
| 1,583,417 | Goldman Sachs Global Infrastructure Fund – Class R6 | 19,745,205 | ||||||
| 1,602,955 | Goldman Sachs Global Real Estate Securities Fund – Class R6 | 17,808,828 | ||||||
| 1,054,916 | Goldman Sachs International Small Cap Insights Fund – Class R6 | 12,648,442 | ||||||
|
| |||||||
| 370,810,392 | ||||||||
|
| |||||||
| Exchange Traded Funds – 27.2% | ||||||||
| 2,912,779 | Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | 188,369,418 | ||||||
| 1,132,354 | Goldman Sachs Access Investment Grade Corporate Bond ETF | 59,561,820 | ||||||
|
| |||||||
| 247,931,238 | ||||||||
|
| |||||||
| Fixed Income – 18.9% | ||||||||
| 9,359,304 | Goldman Sachs Global Income Fund – Class R6 | 119,331,127 | ||||||
| 2,060,509 | Goldman Sachs Emerging Markets Debt Fund – Class R6 | 25,591,522 | ||||||
| 1,622,053 | Goldman Sachs Local Emerging Markets Debt Fund – Class R6 | 9,829,639 | ||||||
| 1,395,707 | Goldman Sachs High Yield Fund – Class R6 | 9,086,053 | ||||||
| 927,599 | Goldman Sachs High Yield Floating Rate Fund – Class R6 | 8,775,085 | ||||||
|
| |||||||
| 172,613,426 | ||||||||
|
| |||||||
| TOTAL UNDERLYING FUNDS – 94.0% | ||||||||
| (Cost $800,876,755) | $ | 857,211,017 | ||||||
|
| |||||||
| Shares | Dividend Rate | Value | ||||||
| Investment Company(a) – 3.3% | ||||||||
| | Goldman Sachs Financial Square Government Fund – | | ||||||
| 30,552,695 | 1.638% | $ | 30,552,695 | |||||
| (Cost $30,552,695) | ||||||||
|
| |||||||
| TOTAL INVESTMENTS – 97.3% | ||||||||
| (Cost $831,429,450) | $ | 887,763,712 | ||||||
|
| |||||||
| | OTHER ASSETS IN EXCESS OF LIABILITIES – 2.7% | 24,217,925 | ||||||
|
| |||||||
| NET ASSETS – 100.0% | $ | 911,981,637 | ||||||
|
| |||||||
| 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 Abbrevations: | ||
AUD | —Australian Dollar | |
CHF | —Swiss Franc | |
DKK | —Danish Krone | |
EUR | —Euro | |
GBP | —British Pound | |
HKD | —Hong Kong Dollar | |
ILS | —Israeli Shekel | |
JPY | —Japanese Yen | |
NOK | —Norwegian Krone | |
NZD | —New Zealand Dollar | |
SEK | —Swedish Krona | |
SGD | —Singapore Dollar | |
USD | —U.S. Dollar | |
Investment Abbreviations: | ||
ETF | —Exchange Traded Fund | |
| ||
| 28 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
| ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At December 31, 2019, the Portfolio had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Gain | ||||||||||||||||
MS & Co. Int. PLC | USD | 5,300,814 | JPY | 573,000,000 | 03/18/20 | $ | 3,673 | |||||||||||||
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||||||
MS & Co. Int. PLC | USD | 147,463 | NOK | 1,350,000 | 03/18/20 | $ | (6,344 | ) | ||||||||||||
| USD | 6,848,595 | EUR | 6,130,000 | 03/18/20 | (61,294 | ) | ||||||||||||||
| USD | 1,516,104 | AUD | 2,210,000 | 03/18/20 | (37,777 | ) | ||||||||||||||
| USD | 3,754,366 | GBP | 2,855,000 | 03/18/20 | (35,531 | ) | ||||||||||||||
| USD | 378,590 | DKK | 2,530,000 | 03/18/20 | (3,255 | ) | ||||||||||||||
| USD | 1,988,704 | CHF | 1,950,000 | 03/18/20 | (37,442 | ) | ||||||||||||||
| USD | 579,590 | SEK | 5,475,000 | 03/18/20 | (7,159 | ) | ||||||||||||||
| USD | 293,899 | SGD | 400,000 | 03/18/20 | (3,740 | ) | ||||||||||||||
| USD | 825,969 | HKD | 6,470,000 | 03/18/20 | (3,828 | ) | ||||||||||||||
| USD | 69,545 | ILS | 240,000 | 03/18/20 | (251 | ) | ||||||||||||||
| USD | 52,365 | NZD | 80,000 | 03/18/20 | (1,552 | ) | ||||||||||||||
| TOTAL | $ | (198,173 | ) | |||||||||||||||||
FUTURES CONTRACTS — At December 31, 2019, the Portfolio had the following futures contracts:
| Type | Number of Contracts Long (Short) | Expiration Date | Value | Unrealized Gain (Loss) | ||||||||||||
Long position contracts: |
| |||||||||||||||
S&P 500E-Mini Index | 286 | 03/20/20 | $ | 46,204,730 | $ | 641,301 | ||||||||||
PURCHASED OPTIONS CONTRACTS — At December 31, 2019, the Portfolio had the following 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 | 06/14/2021 | 91 | $ | 227,500 | $ | 327,600 | $ | 168,561 | $ | 159,039 | |||||||||||||||
Eurodollar Futures | 97.00 | 03/15/2021 | 95 | 237,500 | 342,000 | 170,033 | 171,967 | |||||||||||||||||||
Eurodollar Futures | 97.00 | 09/13/2021 | 72 | 180,000 | 258,750 | 176,567 | 82,183 | |||||||||||||||||||
Eurodollar Futures | 97.50 | 12/14/2020 | 130 | 325,000 | 286,000 | 123,983 | 162,017 | |||||||||||||||||||
Eurodollar Futures | 97.50 | 09/14/2020 | 138 | 345,000 | 298,425 | 107,123 | 191,302 | |||||||||||||||||||
Eurodollar Futures | 98.00 | 06/14/2021 | 398 | 995,000 | 509,937 | 324,216 | 185,721 | |||||||||||||||||||
Eurodollar Futures | 98.25 | 06/14/2021 | 882 | 2,205,000 | 760,725 | 1,091,871 | (331,146 | ) | ||||||||||||||||||
Eurodollar Futures | 98.25 | 09/13/2021 | 861 | 2,152,500 | 817,950 | 1,031,910 | (213,960 | ) | ||||||||||||||||||
Eurodollar Futures | 98.25 | 03/15/2021 | 1,012 | 2,530,000 | 765,325 | 1,179,698 | (414,373 | ) | ||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 29 |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Schedule of Investments(continued)
December 31, 2019
| 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) | ||||||||||||||||||||||||||
Eurodollar Futures | $98.50 | 03/16/2020 | 130 | $ | 325,000 | $ | 2,438 | $ | 44,177 | $ | (41,739 | ) | ||||||||||||||
Eurodollar Futures | 98.50 | 06/15/2020 | 85 | 212,500 | 6,906 | 42,697 | (35,791 | ) | ||||||||||||||||||
Eurodollar Futures | 98.50 | 12/13/2021 | 575 | 1,437,500 | 398,907 | 564,797 | (165,890 | ) | ||||||||||||||||||
| TOTAL | 4,469 | $ | 11,172,500 | $ | 4,774,963 | $ | 5,025,633 | $ | (250,670 | ) | ||||||||||||||||
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) | ||||||||||||||||||||||
Purchased option contracts | ||||||||||||||||||||||||||||||
Puts | ||||||||||||||||||||||||||||||
SPX Index | Barclays Bank PLC | $ | 2,801.58 | 01/17/2020 | 7,350 | $ | 7,350 | $ | 5,909 | $ | 652,092 | $ | (646,183 | ) | ||||||||||||||||
| ||
Abbreviations: | ||
MS & Co. Int. PLC—Morgan Stanley & Co. International PLC | ||
| ||
| 30 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Schedule of Investments
December 31, 2019
| Shares | Description | Value | ||||||
| Underlying Funds(a) – 95.9% | ||||||||
| Dynamic – 5.4% | ||||||||
| 2,168,116 | Goldman Sachs Tactical Tilt Overlay Fund – Class R6 | $ | 20,922,322 | |||||
| 1,244,634 | Goldman Sachs Managed Futures Strategy Fund – Class R6 | 12,284,541 | ||||||
| 724,767 | Goldman Sachs Alternative Premia Fund – Class R6 | 5,921,346 | ||||||
|
| |||||||
| 39,128,209 | ||||||||
|
| |||||||
| Equity – 51.8% | ||||||||
| 9,931,926 | Goldman Sachs Dynamic Global Equity Fund – Class R6 | 194,169,147 | ||||||
| 6,475,868 | Goldman Sachs International Equity Insights Fund – Class R6 | 84,056,773 | ||||||
| 5,181,929 | Goldman Sachs Emerging Markets Equity Insights Fund – Class R6 | 50,834,724 | ||||||
| 1,272,455 | Goldman Sachs Global Infrastructure Fund – Class R6 | 15,867,514 | ||||||
| 1,383,416 | Goldman Sachs Global Real Estate Securities Fund – Class R6 | 15,369,748 | ||||||
| 1,134,028 | Goldman Sachs International Small Cap Insights Fund – Class R6 | 13,596,996 | ||||||
|
| |||||||
| 373,894,902 | ||||||||
|
| |||||||
| Exchange Traded Funds – 33.5% | ||||||||
| 3,316,043 | Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | 214,448,501 | ||||||
| 521,555 | Goldman Sachs Access Investment Grade Corporate Bond ETF | 27,433,793 | ||||||
|
| |||||||
| 241,882,294 | ||||||||
|
| |||||||
| Fixed Income – 5.2% | ||||||||
| 1,762,524 | Goldman Sachs Emerging Markets Debt Fund – Class R6 | 21,890,554 | ||||||
| 1,405,126 | Goldman Sachs Local Emerging Markets Debt Fund – Class R6 | 8,515,064 | ||||||
| 1,122,853 | Goldman Sachs High Yield Fund – Class R6 | 7,309,772 | ||||||
|
| |||||||
| 37,715,390 | ||||||||
|
| |||||||
| | TOTAL UNDERLYING FUNDS – 95.9% (Cost $628,346,194) | $ | 692,620,795 | |||||
|
| |||||||
| Shares | Dividend Rate | Value | ||||||
| Investment Company(a) – 1.8% | ||||||||
| | Goldman Sachs Financial Square Government Fund – | | ||||||
| 13,201,422 | 1.638% | $ | 13,201,422 | |||||
| (Cost $13,201,422) | ||||||||
|
| |||||||
| TOTAL INVESTMENTS – 97.7% | ||||||||
| (Cost $641,547,616) | $ | 705,822,217 | ||||||
|
| |||||||
| | OTHER ASSETS IN EXCESS OF LIABILITIES – 2.3% | 16,560,589 | ||||||
|
| |||||||
| NET ASSETS – 100.0% | $ | 722,382,806 | ||||||
|
| |||||||
| 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 | |
CHF | —Swiss Franc | |
DKK | —Danish Krone | |
EUR | —Euro | |
GBP | —British Pound | |
HKD | —Hong Kong Dollar | |
ILS | —Israeli Shekel | |
JPY | —Japanese Yen | |
NOK | —Norwegian Krone | |
NZD | —New Zealand Dollar | |
SEK | —Swedish Krona | |
SGD | —Singapore Dollar | |
USD | —U.S. Dollar | |
Investment Abbreviations: | ||
ETF | —Exchange Traded Fund | |
| ||
| The accompanying notes are an integral part of these financial statements. | 31 |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Schedule of Investments(continued)
December 31, 2019
| ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At December 31, 2019, the Portfolio had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Gain | ||||||||||||||
MS & Co. Int. PLC | USD | 3,755,900 | JPY | 406,000,000 | 03/18/20 | $ | 2,603 | |||||||||||
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||||||
MS & Co. Int. PLC | USD | 1,077,051 | AUD | 1,570,000 | 03/18/20 | $ | (26,836 | ) | ||||||||||||
| USD | 269,352 | DKK | 1,800,000 | 03/18/20 | (2,316 | ) | ||||||||||||||
| USD | 4,859,933 | EUR | 4,350,000 | 03/18/20 | (43,495 | ) | ||||||||||||||
| USD | 412,858 | SEK | 3,900,000 | 03/18/20 | (5,100 | ) | ||||||||||||||
| USD | 1,407,391 | �� | CHF | 1,380,000 | 03/18/20 | (26,498 | ) | |||||||||||||
| USD | 2,662,904 | GBP | 2,025,000 | 03/18/20 | (25,202 | ) | ||||||||||||||
| USD | 103,770 | NOK | 950,000 | 03/18/20 | (4,464 | ) | ||||||||||||||
| USD | 585,966 | HKD | 4,590,000 | 03/18/20 | (2,716 | ) | ||||||||||||||
| USD | 46,364 | ILS | 160,000 | 03/18/20 | (167 | ) | ||||||||||||||
| USD | 213,076 | SGD | 290,000 | 03/18/20 | (2,712 | ) | ||||||||||||||
| USD | 39,274 | NZD | 60,000 | 03/18/20 | (1,164 | ) | ||||||||||||||
| TOTAL | $ | (140,670 | ) | |||||||||||||||||
FUTURES CONTRACTS — At December 31, 2019, the Portfolio had the following futures contracts:
| Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
S&P 500E-Mini Index | 217 | 03/20/20 | $ | 35,057,435 | $ | 486,125 | ||||||||||
PURCHASED OPTIONS CONTRACTS — At December 31, 2019, the Portfolio had the following 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 | 03/15/2021 | 70 | $ | 175,000 | $ | 252,000 | $ | 125,287 | $ | 126,713 | ||||||||||||||||||
Eurodollar Futures | 97.00 | 06/14/2021 | 68 | 170,000 | 244,800 | 125,958 | 118,842 | |||||||||||||||||||||||
Eurodollar Futures | 97.00 | 09/13/2021 | 123 | 307,500 | 442,031 | 301,635 | 140,396 | |||||||||||||||||||||||
Eurodollar Futures | 97.50 | 09/14/2020 | 143 | 357,500 | 309,238 | 111,005 | 198,233 | |||||||||||||||||||||||
Eurodollar Futures | 97.50 | 12/14/2020 | 134 | 335,000 | 294,800 | 127,797 | 167,003 | |||||||||||||||||||||||
Eurodollar Futures | 98.00 | 06/14/2021 | 343 | 857,500 | 439,469 | 279,413 | 160,056 | |||||||||||||||||||||||
Eurodollar Futures | 98.25 | 03/15/2021 | 973 | 2,432,500 | 735,831 | 1,136,495 | (400,664 | ) | ||||||||||||||||||||||
Eurodollar Futures | 98.25 | 06/14/2021 | 840 | 2,100,000 | 724,500 | 1,045,099 | (320,599 | ) | ||||||||||||||||||||||
Eurodollar Futures | 98.25 | 09/13/2021 | 820 | 2,050,000 | 779,000 | 983,690 | (204,690 | ) | ||||||||||||||||||||||
Eurodollar Futures | 98.50 | 03/16/2020 | 98 | 245,000 | 1,837 | 33,302 | (31,465 | ) | ||||||||||||||||||||||
| 32 | 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) | ||||||||||||||||||||||||||||||
Eurodollar Futures | $ | 98.50 | 06/15/2020 | 64 | $ | 160,000 | $ | 5,201 | $ | 32,149 | $ | (26,948 | ) | |||||||||||||||||
Eurodollar Futures | 98.50 | 12/13/2021 | 539 | 1,347,500 | 373,931 | 531,163 | (157,232 | ) | ||||||||||||||||||||||
| TOTAL | 4,215 | $ | 10,537,500 | $ | 4,602,638 | $ | 4,832,993 | $ | (230,355 | ) | ||||||||||||||||||||
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) | ||||||||||||||||||||||
Purchased option contracts | ||||||||||||||||||||||||||||||
Puts | ||||||||||||||||||||||||||||||
SPX Index | Barclays Bank PLC | $ | 2,801.58 | 01/17/2020 | 7,350 | $ | 7,350 | $ | 5,909 | $ | 652,092 | $ | (646,183 | ) | ||||||||||||||||
| ||
Abbreviations: | ||
MS & Co. Int. PLC—Morgan Stanley & Co. International PLC | ||
| ||
| The accompanying notes are an integral part of these financial statements. | 33 |
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Schedule of Investments
December 31, 2019
| Shares | Description | Value | ||||||
| Underlying Funds(a) – 99.3% | ||||||||
| Equity – 54.8% | ||||||||
| 5,184,640 | Goldman Sachs Global Real Estate Securities Fund – Class R6 | $ | 57,601,353 | |||||
| 3,680,238 | Goldman Sachs Global Infrastructure Fund – Class R6 | 45,892,570 | ||||||
| 3,014,043 | Goldman Sachs International Small Cap Insights Fund – Class R6 | 36,138,376 | ||||||
| 2,398,152 | Goldman Sachs Emerging Markets Equity Insights Fund – Class R6 | 23,525,875 | ||||||
| 651,964 | Goldman Sachs Emerging Markets Equity Fund – Class R6 | 15,145,113 | ||||||
| 622,872 | Goldman Sachs MLP Energy Infrastructure Fund – Class R6 | 3,650,032 | ||||||
|
| |||||||
| 181,953,319 | ||||||||
|
| |||||||
| Exchange Traded Funds – 4.4% | ||||||||
| 428,074 | Goldman Sachs ActiveBeta Emerging Markets Equity ETF | 14,700,061 | ||||||
|
| |||||||
| Fixed Income – 40.1% | ||||||||
| 4,598,627 | Goldman Sachs Emerging Markets Debt Fund – Class R6 | 57,114,941 | ||||||
| 5,835,800 | Goldman Sachs High Yield Fund – Class R6 | 37,991,058 | ||||||
| 2,142,830 | Goldman Sachs High Yield Floating Rate Fund – Class R6 | 20,271,176 | ||||||
| 2,889,499 | Goldman Sachs Local Emerging Markets Debt Fund – Class R6 | 17,510,364 | ||||||
|
| |||||||
| 132,887,539 | ||||||||
|
| |||||||
| TOTAL UNDERLYING FUNDS – 99.3% | ||||||||
| (Cost $280,482,264) | $ | 329,540,919 | ||||||
|
| |||||||
| | OTHER ASSETS IN EXCESS OF LIABILITIES – 0.7% | 2,180,426 | ||||||
|
| |||||||
| NET ASSETS – 100.0% | $ | 331,721,345 | ||||||
|
| |||||||
| 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: | ||
ETF | —Exchange Traded Fund | |
| ||
| 34 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Statements of Assets and Liabilities
December 31, 2019
| Balanced Strategy Portfolio | Growth and Income Strategy Portfolio | |||||||||
| Assets: |
| |||||||||
Investments in Affiliated Funds, at value (cost $487,513,418 and $831,429,450, respectively) | $ | 504,883,749 | $ | 887,763,712 | ||||||
Purchased options (premium paid $2,724,934, and $5,677,725, respectively) | 2,299,034 | 4,780,872 | ||||||||
Cash | 7,922,987 | 14,363,006 | ||||||||
Foreign currencies, at value (cost $14,877 and $42,198, respectively) | 24,071 | 43,304 | ||||||||
Unrealized gain on forward foreign currency exchange contracts | 3,173 | 3,673 | ||||||||
Variation margin on futures contracts | 59,800 | 110,177 | ||||||||
Receivables: | ||||||||||
Portfolio shares sold | 12,277,689 | 5,840,849 | ||||||||
Dividends | 499,683 | 568,256 | ||||||||
Reimbursement from investment adviser | 45,044 | 59,808 | ||||||||
Collateral on certain derivative contracts(a) | 88,421 | 61,352 | ||||||||
Other assets | 65,167 | 67,156 | ||||||||
| Total assets | 528,168,818 | 913,662,165 | ||||||||
| Liabilities: |
| |||||||||
Unrealized loss on forward foreign currency exchange contracts | 171,188 | 198,173 | ||||||||
Payables: | ||||||||||
Portfolio shares redeemed | 417,396 | 460,667 | ||||||||
Investments purchased | 368,269 | 413,010 | ||||||||
Distribution and Service fees and Transfer Agency fees | 67,381 | 142,341 | ||||||||
Management fees | 63,202 | 113,146 | ||||||||
Cash due to broker | 89,026 | 62,037 | ||||||||
Collateral on certain derivative contracts(b) | 70,000 | 110,000 | ||||||||
Accrued expenses | 151,210 | 181,154 | ||||||||
| Total liabilities | 1,397,672 | 1,680,528 | ||||||||
| Net Assets: |
| |||||||||
Paid-in capital | 514,564,826 | 852,726,952 | ||||||||
Total distributable earnings | 12,206,320 | 59,254,685 | ||||||||
| NET ASSETS | $ | 526,771,146 | $ | 911,981,637 | ||||||
Net Assets: | ||||||||||
Class A | $ | 106,285,380 | $ | 286,720,779 | ||||||
Class C | 10,978,104 | 19,068,551 | ||||||||
Institutional | 351,189,222 | 371,609,969 | ||||||||
Service | 531,690 | 2,919,850 | ||||||||
Investor | 3,662,651 | 7,669,897 | ||||||||
Class P | 42,117,530 | 212,701,852 | ||||||||
Class R | 10,240,780 | 4,990,996 | ||||||||
Class R6 | 1,765,789 | 6,299,743 | ||||||||
Total Net Assets | $ | 526,771,146 | $ | 911,981,637 | ||||||
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | ||||||||||
Class A | 9,131,214 | 20,101,536 | ||||||||
Class C | 941,352 | 1,369,667 | ||||||||
Institutional | 30,177,339 | 25,975,799 | ||||||||
Service | 45,127 | 205,205 | ||||||||
Investor | 316,056 | 540,351 | ||||||||
Class P | 3,617,956 | 14,875,730 | ||||||||
Class R | 883,479 | 352,640 | ||||||||
Class R6 | 151,731 | 440,563 | ||||||||
Net asset value, offering and redemption price per share:(c) | ||||||||||
Class A | $11.64 | $14.26 | ||||||||
Class C | 11.66 | 13.92 | ||||||||
Institutional | 11.64 | 14.31 | ||||||||
Service | 11.78 | 14.23 | ||||||||
Investor | 11.59 | 14.19 | ||||||||
Class P | 11.64 | 14.30 | ||||||||
Class R | 11.59 | 14.15 | ||||||||
Class R6 | 11.64 | 14.30 | ||||||||
| (a) | Segregated for initial margin and/or collateral on futures. |
| (b) | Segregated for initial margin and/or collateral as follows: |
| Fund | Forwards | Options | ||||||
Balanced Strategy | $ | 40,000 | $ | 30,000 | ||||
Growth and Income Strategy | — | 110,000 | ||||||
| (c) | Maximum public offering price per share for Class A Shares of the Balanced Strategy and Growth and Income Strategy Portfolios is $12.32 and $15.09, 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. | 35 |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Statements of Assets and Liabilities(continued)
December 31, 2019
| Growth Strategy Portfolio | Satellite Strategies Portfolio | |||||||||
| Assets: |
| |||||||||
Investments in Affiliated Funds, at value (cost $641,547,616 and $280,482,264, respectively) | $ | 705,822,217 | $ | 329,540,919 | ||||||
Purchased options (premium paid $5,485,085 and $0, respectively) | 4,608,547 | — | ||||||||
Cash | 11,702,255 | 2,542,873 | ||||||||
Foreign currencies, at value (cost $53,593 and $0, respectively) | 54,376 | — | ||||||||
Unrealized gain on forward foreign currency exchange contracts | 2,603 | — | ||||||||
Variation margin on futures contracts | 83,755 | — | ||||||||
Receivables: | ||||||||||
Portfolio shares sold | 1,408,281 | 103,979 | ||||||||
Dividends | 227,985 | 529,299 | ||||||||
Reimbursement from investment adviser | 79,914 | 30,895 | ||||||||
Collateral on certain derivative contracts(a) | 52,134 | — | ||||||||
Other assets | 66,132 | 47,777 | ||||||||
| Total assets | 724,108,199 | 332,795,742 | ||||||||
| Liabilities: |
| |||||||||
Unrealized loss on forward foreign currency exchange contracts | 140,670 | — | ||||||||
Payables: | ||||||||||
Portfolio shares redeemed | 767,725 | 333,787 | ||||||||
Investments purchased | 156,480 | 529,299 | ||||||||
Distribution and Service fees and Transfer Agency fees | 163,592 | 44,785 | ||||||||
Management fees | 92,115 | 34,734 | ||||||||
Collateral on certain derivative contracts(b) | 150,000 | — | ||||||||
Cash due to broker | 52,877 | — | ||||||||
Accrued expenses | 201,934 | 131,792 | ||||||||
| Total liabilities | 1,725,393 | 1,074,397 | ||||||||
| Net Assets: |
| |||||||||
Paid-in capital | 653,180,539 | 327,680,642 | ||||||||
Total distributable earnings | 69,202,267 | 4,040,703 | ||||||||
| NET ASSETS | $ | 722,382,806 | $ | 331,721,345 | ||||||
Net Assets: | ||||||||||
Class A | $ | 338,383,557 | $ | 46,920,540 | ||||||
Class C | 29,423,560 | 16,235,422 | ||||||||
Institutional | 147,389,411 | 194,783,118 | ||||||||
Service | 2,265,763 | 257,859 | ||||||||
Investor | 7,203,541 | 22,706,148 | ||||||||
Class P | 183,763,081 | 3,722,157 | ||||||||
Class R | 6,399,810 | 1,139,637 | ||||||||
Class R6 | 7,554,083 | 45,956,464 | ||||||||
Total Net Assets | $ | 722,382,806 | $ | 331,721,345 | ||||||
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | ||||||||||
Class A | 20,911,280 | 5,552,419 | ||||||||
Class C | 1,782,189 | 1,928,210 | ||||||||
Institutional | 9,117,529 | 23,108,020 | ||||||||
Service | 140,470 | 30,561 | ||||||||
Investor | 452,093 | 2,694,369 | ||||||||
Class P | 11,363,950 | 440,993 | ||||||||
Class R | 406,682 | 135,398 | ||||||||
Class R6 | 467,245 | 5,447,779 | ||||||||
Net asset value, offering and redemption price per share:(c) | ||||||||||
Class A | $16.18 | $8.45 | ||||||||
Class C | 16.51 | 8.42 | ||||||||
Institutional | 16.17 | 8.43 | ||||||||
Service | 16.13 | 8.44 | ||||||||
Investor | 15.93 | 8.43 | ||||||||
Class P | 16.17 | 8.44 | ||||||||
Class R | 15.74 | 8.42 | ||||||||
Class R6 | 16.17 | 8.44 | ||||||||
| (a) | Segregated for initial margin and/or collateral on futures. |
| (b) | Segregated for initial margin and/or collateral as follows: |
| Fund | Forwards | Options | ||||||
Growth Strategy | $ | 40,000 | $ | 110,000 | ||||
| (c) | Maximum public offering price per share for Class A Shares of the Growth Strategy and Satellite Strategies Portfolios is $17.12 and $8.94, 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. |
| 36 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Statements of Operations
For the Fiscal Year Ended December 31, 2019
| Balanced Strategy Portfolio | Growth and Income Strategy Portfolio | |||||||||
| Investment income: |
| |||||||||
Dividends from Affiliated Funds | $ | 11,771,177 | $ | 19,783,154 | ||||||
Interest | 1,696 | 3,668 | ||||||||
| Total investment income | 11,772,873 | 19,786,822 | ||||||||
| Expenses: |
| |||||||||
Management fees | 744,103 | 1,329,128 | ||||||||
Distribution and Service fees(a) | 438,370 | 968,036 | ||||||||
Transfer Agency fees(a) | 372,759 | 764,462 | ||||||||
Custody, accounting and administrative services | 128,809 | 136,982 | ||||||||
Registration fees | 128,229 | 143,552 | ||||||||
Professional fees | 78,533 | 78,533 | ||||||||
Printing and mailing costs | 71,485 | 126,563 | ||||||||
Trustee fees | 16,713 | 17,322 | ||||||||
Shareholder meeting expense | 10,951 | 22,979 | ||||||||
Service Share fees — Service Plan | 1,699 | 7,376 | ||||||||
Service Share fees — Shareholder Administration Plan | 1,699 | 7,376 | ||||||||
Prime Broker Fees | 639 | 1,196 | ||||||||
Other | 17,334 | 23,015 | ||||||||
| Total expenses | 2,011,323 | 3,626,520 | ||||||||
Less — expense reductions | (420,787 | ) | (489,665 | ) | ||||||
| Net expenses | 1,590,536 | 3,136,855 | ||||||||
| NET INVESTMENT INCOME | 10,182,337 | 16,649,967 | ||||||||
| Realized and unrealized gain (loss): |
| |||||||||
Capital gain distributions from Affiliated Funds | 5,293,191 | 10,087,947 | ||||||||
Net realized gain (loss) from: | ||||||||||
Affiliated Funds | (11,645,584 | ) | (6,626,040 | ) | ||||||
Purchased options | 2,347,775 | 5,764,002 | ||||||||
Futures contracts | 2,946,450 | 4,488,248 | ||||||||
Written options | (650,238 | ) | (1,381,981 | ) | ||||||
Forward foreign currency exchange contracts | 730,479 | 1,263,182 | ||||||||
Foreign currency transactions | (6,254 | ) | (8,341 | ) | ||||||
Net change in unrealized gain (loss) on: | ||||||||||
Affiliated Funds | 61,334,005 | 122,919,746 | ||||||||
Purchased options | (52,432 | ) | (687,651 | ) | ||||||
Futures contracts | 474,826 | 849,448 | ||||||||
Written options | 45,318 | 103,151 | ||||||||
Forward foreign currency exchange contracts | 21,134 | 173,013 | ||||||||
Foreign currency translation | (4,903 | ) | (10,903 | ) | ||||||
| Net realized and unrealized gain | 60,833,767 | 136,933,821 | ||||||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 71,016,104 | $ | 153,583,788 | ||||||
| (a) | Class specific Distribution and/or Service and Transfer Agent fees were as follows: |
| Distribution and/or Service Fees | Transfer Agent Fees | |||||||||||||||||||||||||||||||||||||||||||
Portfolio | Class A | Class C | Class R | Class A | Class C | Institutional | Service | Investor | Class P | Class R | Class R6 | |||||||||||||||||||||||||||||||||
Balanced Strategy | $ | 268,438 | $ | 123,876 | $ | 46,056 | $ | 187,909 | $ | 21,696 | $ | 127,514 | $ | 272 | $ | 6,015 | $ | 12,614 | $ | 16,097 | $ | 642 | ||||||||||||||||||||||
Growth and Income | 707,348 | 237,116 | 23,572 | 495,077 | 41,630 | 144,047 | 1,180 | 13,019 | 59,155 | 8,246 | 2,108 | |||||||||||||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 37 |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Statements of Operations(continued)
For the Fiscal Year Ended December 31, 2019
| Growth Strategy Portfolio | Satellite Strategies Portfolio | |||||||||
| Investment income: |
| |||||||||
Dividends from Affiliated Funds | $ | 15,978,165 | $ | 13,453,642 | ||||||
Interest | 4,788 | — | ||||||||
| Total investment income | 15,982,953 | $ | 13,453,642 | |||||||
| Expenses: |
| |||||||||
Distribution and Service fees(a) | 1,185,411 | 348,216 | ||||||||
Management fees | 1,150,930 | 461,082 | ||||||||
Transfer Agency fees(a) | 795,080 | 267,781 | ||||||||
Printing and mailing costs | 149,677 | 71,693 | ||||||||
Registration fees | 141,938 | 115,603 | ||||||||
Custody, accounting and administrative services | 121,845 | 87,033 | ||||||||
Professional fees | 78,533 | 73,403 | ||||||||
Shareholder meeting expense | 31,939 | 19,650 | ||||||||
Trustee fees | 17,142 | 16,562 | ||||||||
Service Share fees — Service Plan | 5,698 | 618 | ||||||||
Service Share fees — Shareholder Administration Plan | 5,698 | 618 | ||||||||
Prime Broker Fees | 1,093 | — | ||||||||
Other | 52,321 | 15,388 | ||||||||
| Total expenses | 3,737,305 | 1,477,647 | ||||||||
Less — expense reductions | (530,484 | ) | (342,815 | ) | ||||||
| Net expenses | 3,206,821 | 1,134,832 | ||||||||
| NET INVESTMENT INCOME | 12,776,132 | 12,318,810 | ||||||||
| Realized and unrealized gain (loss): |
| |||||||||
Capital gain distributions from Affiliated Funds | 8,383,490 | 1,467,564 | ||||||||
Net realized gain (loss) from: | ||||||||||
Affiliated Funds | 4,587,585 | 7,075,717 | ||||||||
Purchased options | 7,299,830 | — | ||||||||
Futures contracts | 4,472,988 | — | ||||||||
Written options | (350,351 | ) | — | |||||||
Forward foreign currency exchange contracts | 1,142,861 | — | ||||||||
Foreign currency transactions | (14,040 | ) | — | |||||||
Net change in unrealized gain (loss) on: | ||||||||||
Affiliated Funds | 116,264,238 | 45,700,326 | ||||||||
Purchased options | (1,127,772 | ) | — | |||||||
Futures contracts | (118,531 | ) | — | |||||||
Written options | 27,329 | — | ||||||||
Forward foreign currency exchange contracts | 147,067 | — | ||||||||
Foreign currency translation | (11,737 | ) | — | |||||||
| Net realized and unrealized gain | 140,702,957 | 54,243,607 | ||||||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 153,479,089 | $ | 66,562,417 | ||||||
| (a) | Class specific Distribution and/or Service and Transfer Agent fees were as follows: |
| Distribution and/or Service Fees | Transfer Agent Fees | |||||||||||||||||||||||||||||||||||||||||||
Portfolio | Class A | Class C | Class R | Class A | Class C | Institutional | Service | Investor | Class P | Class R | Class R6 | |||||||||||||||||||||||||||||||||
Growth Strategy | $ | 820,012 | $ | 334,629 | $ | 30,770 | $ | 573,800 | $ | 58,705 | $ | 86,337 | $ | 911 | $ | 12,195 | $ | 50,138 | $ | 10,761 | $ | 2,233 | ||||||||||||||||||||||
Satellite Strategies | 111,030 | 231,214 | 5,972 | 77,614 | 40,671 | 91,440 | 99 | 40,511 | 1,019 | 2,093 | 14,334 | |||||||||||||||||||||||||||||||||
| 38 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Statements of Changes in Net Assets
| Balanced Strategy Portfolio | Growth and Income Strategy Portfolio | |||||||||||||||||||||
| For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||||||||
| From operations: |
| |||||||||||||||||||||
Net investment income | $ | 10,182,337 | $ | 8,572,589 | $ | 16,649,967 | $ | 13,762,946 | ||||||||||||||
Net realized gain (loss) | (984,181 | ) | 5,109,389 | 13,587,017 | 25,802,714 | |||||||||||||||||
Net change in unrealized gain (loss) | 61,817,948 | (47,420,895 | ) | 123,346,804 | (122,117,833 | ) | ||||||||||||||||
| Net increase (decrease) in net assets resulting from operations | 71,016,104 | (33,738,917 | ) | 153,583,788 | (82,552,173 | ) | ||||||||||||||||
| Distributions to shareholders: |
| |||||||||||||||||||||
From total distributable earnings: | ||||||||||||||||||||||
Class A Shares | (2,297,176 | ) | (4,408,193 | ) | (5,552,581 | ) | (7,092,517 | ) | ||||||||||||||
Class C Shares | (153,128 | ) | (429,922 | ) | (263,627 | ) | (514,723 | ) | ||||||||||||||
Institutional Shares | (8,339,356 | ) | (12,877,904 | ) | (8,367,921 | ) | (11,080,977 | ) | ||||||||||||||
Service Shares | (11,807 | ) | (27,283 | ) | (54,372 | ) | (70,425 | ) | ||||||||||||||
Investor Shares | (85,266 | ) | (135,812 | ) | (167,174 | ) | (225,243 | ) | ||||||||||||||
Class P Shares(a) | (1,064,548 | ) | (1,925,367 | ) | (4,818,065 | ) | (4,938,925 | ) | ||||||||||||||
Class R Shares | (189,892 | ) | (329,743 | ) | (85,022 | ) | (102,253 | ) | ||||||||||||||
Class R6 Shares | (49,793 | ) | (85,343 | ) | (152,106 | ) | (150,677 | ) | ||||||||||||||
| Total distributions to shareholders | (12,190,966 | ) | (20,219,567 | ) | (19,460,868 | ) | (24,175,740 | ) | ||||||||||||||
| From share transactions: |
| |||||||||||||||||||||
Proceeds from sales of shares | 152,169,018 | 206,856,339 | 122,801,933 | 414,705,406 | ||||||||||||||||||
Reinvestment of distributions | 11,997,507 | 19,823,264 | 18,883,895 | 23,447,788 | ||||||||||||||||||
Cost of shares redeemed | (164,899,297 | ) | (226,013,487 | ) | (229,345,519 | ) | (452,457,767 | ) | ||||||||||||||
| Net increase (decrease) in net assets resulting from share transactions | (732,772 | ) | 666,116 | (87,659,691 | ) | (14,304,573 | ) | |||||||||||||||
| TOTAL INCREASE (DECREASE) | 58,092,366 | (53,292,368 | ) | 46,463,229 | (121,032,486 | ) | ||||||||||||||||
| Net assets: |
| |||||||||||||||||||||
Beginning of year | 468,678,780 | 521,971,148 | 865,518,408 | 986,550,894 | ||||||||||||||||||
End of year | $ | 526,771,146 | $ | 468,678,780 | $ | 911,981,637 | $ | 865,518,408 | ||||||||||||||
| (a) | Class P Shares commenced operations on April 17, 2018. |
| The accompanying notes are an integral part of these financial statements. | 39 |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Statements of Changes in Net Assets(continued)
| Growth Strategy Portfolio | Satellite Strategies Portfolio | |||||||||||||||||||||
| For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||||||||
| From operations: |
| |||||||||||||||||||||
Net investment income | $ | 12,776,132 | $ | 10,473,867 | $ | 12,318,810 | $ | 14,598,728 | ||||||||||||||
Net realized gain | 25,522,363 | 27,356,321 | 8,543,281 | 1,640,329 | ||||||||||||||||||
Net change in unrealized gain (loss) | 115,180,594 | (132,396,781 | ) | 45,700,326 | (72,454,604 | ) | ||||||||||||||||
| Net increase (decrease) in net assets resulting from operations | 153,479,089 | (94,566,593 | ) | 66,562,417 | (56,215,547 | ) | ||||||||||||||||
| Distributions to shareholders: |
| |||||||||||||||||||||
From total distributable earnings: | ||||||||||||||||||||||
Class A Shares | (12,181,808 | ) | (7,924,550 | ) | (1,542,363 | ) | (1,151,877 | ) | ||||||||||||||
Class C Shares | (788,770 | ) | — | (457,716 | ) | (592,136 | ) | |||||||||||||||
Institutional Shares | (5,930,025 | ) | (7,387,673 | ) | (7,855,640 | ) | (10,541,700 | ) | ||||||||||||||
Service Shares | (81,682 | ) | (54,633 | ) | (8,052 | ) | (7,103 | ) | ||||||||||||||
Investor Shares | (279,751 | ) | (177,616 | ) | (824,444 | ) | (982,010 | ) | ||||||||||||||
Class P Shares(a) | (7,266,420 | ) | (4,422,574 | ) | (130,251 | ) | (77,948 | ) | ||||||||||||||
Class R Shares | (220,464 | ) | (140,340 | ) | (35,306 | ) | (51,584 | ) | ||||||||||||||
Class R6 Shares | (303,175 | ) | (196,873 | ) | (1,733,365 | ) | (1,424,298 | ) | ||||||||||||||
| Total distributions to shareholders | (27,052,095 | ) | (20,304,259 | ) | (12,587,137 | ) | (14,828,656 | ) | ||||||||||||||
| From share transactions: |
| |||||||||||||||||||||
Proceeds from sales of shares | 109,217,518 | 348,678,362 | 51,818,973 | 123,860,465 | ||||||||||||||||||
Reinvestment of distributions | 25,887,850 | 19,578,750 | 10,634,954 | 12,191,392 | ||||||||||||||||||
Cost of shares redeemed | (301,361,794 | ) | (408,240,746 | ) | (190,046,424 | ) | (334,919,232 | ) | ||||||||||||||
| Net increase (decrease) in net assets resulting from share transactions | (166,256,426 | ) | (39,983,634 | ) | (127,592,497 | ) | (198,867,375 | ) | ||||||||||||||
| TOTAL INCREASE (DECREASE) | (39,829,432 | ) | (154,854,486 | ) | (73,617,217 | ) | (269,911,578 | ) | ||||||||||||||
| Net assets: |
| |||||||||||||||||||||
Beginning of year | 762,212,238 | 917,066,724 | 405,338,562 | 675,250,140 | ||||||||||||||||||
End of year | $ | 722,382,806 | $ | 762,212,238 | $ | 331,721,345 | $ | 405,338,562 | ||||||||||||||
| (a) | Class P Shares commenced operations on April 17, 2018. |
| 40 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Financial Highlights
Selected Share Data for a Share Outstanding Throughout Each Year
| (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 year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (e) | 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. | 41 |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Balanced Strategy Portfolio | ||||||||||||||||||||||
| Class C Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 10.34 | $ | 11.55 | $ | 10.82 | $ | 10.41 | $ | 11.07 | ||||||||||||
Net investment income(a)(b) | 0.10 | 0.05 | 0.07 | 0.03 | 0.24 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.38 | (0.92 | ) | 1.05 | 0.42 | (0.43 | ) | |||||||||||||||
Total from investment operations | 1.48 | (0.87 | ) | 1.12 | 0.45 | (0.19 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.16 | ) | (0.14 | ) | (0.18 | ) | (0.04 | ) | (0.32 | ) | ||||||||||||
Distributions to shareholders from net realized gains | — | (0.20 | ) | (0.21 | ) | — | — | |||||||||||||||
Distributions to shareholders from return of capital | — | — | — | — | (0.15 | ) | ||||||||||||||||
Total distributions | (0.16 | ) | (0.34 | ) | (0.39 | ) | (0.04 | ) | (0.47 | ) | ||||||||||||
Net asset value, end of year | $ | 11.66 | $ | 10.34 | $ | 11.55 | $ | 10.82 | $ | 10.41 | ||||||||||||
| Total return(c) | 14.30 | % | (7.58 | )% | 10.30 | % | 4.24 | % | (1.65 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 10,978 | $ | 12,807 | $ | 34,542 | $ | 47,217 | $ | 53,734 | ||||||||||||
Ratio of net expenses to average net assets(d) | 1.33 | % | 1.33 | % | 1.37 | % | 1.34 | % | 1.34 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 1.42 | % | 1.38 | % | 1.42 | % | 1.42 | % | 1.40 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 0.93 | % | 0.43 | % | 0.58 | % | 0.27 | % | 2.20 | % | ||||||||||||
Portfolio turnover rate(e) | 55 | % | 45 | % | 81 | % | 76 | % | 48 | % | ||||||||||||
| (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 year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (e) | 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. |
| 42 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Balanced Strategy Portfolio | ||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 10.32 | $ | 11.55 | $ | 10.82 | $ | 10.42 | $ | 11.07 | ||||||||||||
Net investment income(a)(b) | 0.25 | 0.20 | 0.21 | 0.16 | 0.39 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.36 | (0.95 | ) | 1.04 | 0.40 | (0.44 | ) | |||||||||||||||
Total from investment operations | 1.61 | (0.75 | ) | 1.25 | 0.56 | (0.05 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.29 | ) | (0.28 | ) | (0.31 | ) | (0.16 | ) | (0.40 | ) | ||||||||||||
Distributions to shareholders from net realized gains | — | (0.20 | ) | (0.21 | ) | — | — | |||||||||||||||
Distributions to shareholders from return of capital | — | — | — | — | (0.20 | ) | ||||||||||||||||
Total distributions | (0.29 | ) | (0.48 | ) | (0.52 | ) | (0.16 | ) | (0.60 | ) | ||||||||||||
Net asset value, end of year | $ | 11.64 | $ | 10.32 | $ | 11.55 | $ | 10.82 | $ | 10.42 | ||||||||||||
| Total return(c) | 15.68 | % | (6.53 | )% | 11.63 | % | 5.36 | % | (0.49 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 351,189 | $ | 292,183 | $ | 353,778 | $ | 285,795 | $ | 234,110 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.20 | % | 0.20 | % | 0.22 | % | 0.19 | % | 0.19 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.28 | % | 0.24 | % | 0.28 | % | 0.27 | % | 0.25 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 2.19 | % | 1.76 | % | 1.85 | % | 1.46 | % | 3.48 | % | ||||||||||||
Portfolio turnover rate(e) | 55 | % | 45 | % | 81 | % | 76 | % | 48 | % | ||||||||||||
| (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 year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (e) | 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. | 43 |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Balanced Strategy Portfolio | ||||||||||||||||||||||
| Service Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 10.45 | $ | 11.68 | $ | 10.94 | $ | 10.45 | $ | 11.10 | ||||||||||||
Net investment income(a)(b) | 0.17 | 0.15 | 0.15 | 0.10 | 0.39 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.39 | (0.95 | ) | 1.06 | 0.49 | (0.50 | ) | |||||||||||||||
Total from investment operations | 1.56 | (0.80 | ) | 1.21 | 0.59 | (0.11 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.23 | ) | (0.23 | ) | (0.26 | ) | (0.10 | ) | (0.36 | ) | ||||||||||||
Distributions to shareholders from net realized gains | — | (0.20 | ) | (0.21 | ) | — | — | |||||||||||||||
Distributions to shareholders from return of capital | — | — | — | — | (0.18 | ) | ||||||||||||||||
Total distributions | (0.23 | ) | (0.43 | ) | (0.47 | ) | (0.10 | ) | (0.54 | ) | ||||||||||||
Net asset value, end of year | $ | 11.78 | $ | 10.45 | $ | 11.68 | $ | 10.94 | $ | 10.45 | ||||||||||||
| Total return(c) | 14.99 | % | (6.93 | )% | 11.04 | % | 5.67 | % | (0.99 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 532 | $ | 667 | $ | 833 | $ | 831 | $ | 967 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.70 | % | 0.70 | % | 0.72 | % | 0.69 | % | 0.69 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.78 | % | 0.74 | % | 0.78 | % | 0.77 | % | 0.75 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.47 | % | 1.31 | % | 1.31 | % | 0.93 | % | 3.47 | % | ||||||||||||
Portfolio turnover rate(e) | 55 | % | 45 | % | 81 | % | 76 | % | 48 | % | ||||||||||||
| (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 year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (e) | 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. |
| 44 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Balanced Strategy Portfolio | ||||||||||||||||||||||
| Investor Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 10.28 | $ | 11.50 | $ | 10.78 | $ | 10.37 | $ | 11.03 | ||||||||||||
Net investment income(a)(b) | 0.23 | 0.18 | 0.18 | 0.14 | 0.36 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.36 | (0.93 | ) | 1.05 | 0.41 | (0.44 | ) | |||||||||||||||
Total from investment operations | 1.59 | (0.75 | ) | 1.23 | 0.55 | (0.08 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.28 | ) | (0.27 | ) | (0.30 | ) | (0.14 | ) | (0.39 | ) | ||||||||||||
Distributions to shareholders from net realized gains | — | (0.20 | ) | (0.21 | ) | — | — | |||||||||||||||
Distributions to shareholders from return of capital | — | — | — | — | (0.19 | ) | ||||||||||||||||
Total distributions | (0.28 | ) | (0.47 | ) | (0.51 | ) | (0.14 | ) | (0.58 | ) | ||||||||||||
Net asset value, end of year | $ | 11.59 | $ | 10.28 | $ | 11.50 | $ | 10.78 | $ | 10.37 | ||||||||||||
| Total return(c) | 15.49 | % | (6.61 | )% | 11.41 | % | 5.33 | % | (0.73 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 3,663 | $ | 2,937 | $ | 3,976 | $ | 4,810 | $ | 4,555 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.33 | % | 0.34 | % | 0.37 | % | 0.34 | % | 0.34 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.42 | % | 0.38 | % | 0.42 | % | 0.42 | % | 0.40 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 2.07 | % | 1.64 | % | 1.60 | % | 1.30 | % | 3.29 | % | ||||||||||||
Portfolio turnover rate(e) | 55 | % | 45 | % | 81 | % | 76 | % | 48 | % | ||||||||||||
| (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 year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (e) | 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. | 45 |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Balanced Strategy Portfolio | ||||||||||
| Class P Shares | ||||||||||
Year Ended December 31, 2019 | Period Ended December 31, 2018(a) | |||||||||
| Per Share Data |
| |||||||||
Net asset value, beginning of period | $ | 10.32 | $ | 11.54 | ||||||
Net investment income(b)(c) | 0.24 | 0.20 | ||||||||
Net realized and unrealized gain (loss) | 1.37 | (0.96 | ) | |||||||
Total from investment operations | 1.61 | (0.76 | ) | |||||||
Distributions to shareholders from net investment income | (0.29 | ) | (0.26 | ) | ||||||
Distributions to shareholders from net realized gains | — | (0.20 | ) | |||||||
Total distributions | (0.29 | ) | (0.46 | ) | ||||||
Net asset value, end of period | $ | 11.64 | $ | 10.32 | ||||||
| Total return(d) | 15.69 | % | (6.67 | )% | ||||||
Net assets, end of period (in 000s) | $ | 42,118 | $ | 43,098 | ||||||
Ratio of net expenses to average net assets(e) | 0.19 | % | 0.19 | %(f) | ||||||
Ratio of total expenses to average net assets(e) | 0.27 | % | 0.24 | %(f) | ||||||
Ratio of net investment income to average net assets(c) | 2.17 | % | 2.48 | %(f) | ||||||
Portfolio turnover rate(g) | 55 | % | 45 | % | ||||||
| (a) | Class P Shares commenced operations on 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 (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| (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 Portfolio’s portfolio turnover rate may be higher. |
| 46 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Balanced Strategy Portfolio | ||||||||||||||||||||||
| Class R Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 10.28 | $ | 11.50 | $ | 10.79 | $ | 10.36 | $ | 11.02 | ||||||||||||
Net investment income(a)(b) | 0.18 | 0.14 | 0.15 | 0.09 | 0.36 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.35 | (0.95 | ) | 1.02 | 0.43 | (0.49 | ) | |||||||||||||||
Total from investment operations | 1.53 | (0.81 | ) | 1.17 | 0.52 | (0.13 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.22 | ) | (0.21 | ) | (0.25 | ) | (0.09 | ) | (0.34 | ) | ||||||||||||
Distributions to shareholders from net realized gains | — | (0.20 | ) | (0.21 | ) | — | — | |||||||||||||||
Distributions to shareholders from return of capital | — | — | — | — | (0.19 | ) | ||||||||||||||||
Total distributions | (0.22 | ) | (0.41 | ) | (0.46 | ) | (0.09 | ) | (0.53 | ) | ||||||||||||
Net asset value, end of year | $ | 11.59 | $ | 10.28 | $ | 11.50 | $ | 10.79 | $ | 10.36 | ||||||||||||
| Total return(c) | 14.94 | % | (7.07 | )% | 10.81 | % | 5.02 | % | (1.23 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 10,241 | $ | 8,443 | $ | 8,629 | $ | 6,110 | $ | 5,196 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.83 | % | 0.84 | % | 0.87 | % | 0.84 | % | 0.84 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.92 | % | 0.88 | % | 0.93 | % | 0.92 | % | 0.90 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.61 | % | 1.23 | % | 1.30 | % | 0.85 | % | 3.22 | % | ||||||||||||
Portfolio turnover rate(e) | 55 | % | 45 | % | 81 | % | 76 | % | 48 | % | ||||||||||||
| (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 year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (e) | 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. | 47 |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Balanced Strategy Portfolio | ||||||||||||||||||||||
| Class R6 Shares | ||||||||||||||||||||||
| Year Ended December 31, | Period Ended December 31, 2015(a) | |||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 10.32 | $ | 11.55 | $ | 10.83 | $ | 10.42 | $ | 11.16 | ||||||||||||
Net investment income(b)(c) | 0.23 | 0.35 | 0.54 | 0.15 | 0.30 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.38 | (1.09 | ) | 0.71 | 0.42 | (0.52 | ) | |||||||||||||||
Total from investment operations | 1.61 | (0.74 | ) | 1.25 | 0.57 | (0.22 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.29 | ) | (0.29 | ) | (0.32 | ) | (0.16 | ) | (0.35 | ) | ||||||||||||
Distributions to shareholders from net realized gains | — | (0.20 | ) | (0.21 | ) | — | — | |||||||||||||||
Distributions to shareholders from return of capital | — | — | — | — | (0.17 | ) | ||||||||||||||||
Total distributions | (0.29 | ) | (0.49 | ) | (0.53 | ) | (0.16 | ) | (0.52 | ) | ||||||||||||
Net asset value, end of year | $ | 11.64 | $ | 10.32 | $ | 11.55 | $ | 10.83 | $ | 10.42 | ||||||||||||
| Total return(d) | 15.70 | % | (6.52 | )% | 11.54 | % | 5.46 | % | (2.01 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 1,766 | $ | 2,308 | $ | 551 | $ | 10 | $ | 10 | ||||||||||||
Ratio of net expenses to average net assets(e) | 0.19 | % | 0.19 | % | 0.31 | % | 0.19 | % | 0.19 | %(f) | ||||||||||||
Ratio of total expenses to average net assets(e) | 0.27 | % | 0.24 | % | 0.39 | % | 0.27 | % | 0.23 | %(f) | ||||||||||||
Ratio of net investment income to average net assets(c) | 2.04 | % | 3.10 | % | 4.64 | % | 1.45 | % | 6.52 | %(f) | ||||||||||||
Portfolio turnover rate(g) | 55 | % | 45 | % | 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 (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| (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 Portfolio’s portfolio turnover rate may be higher. |
| 48 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| (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 year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (e) | 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. | 49 |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Growth and Income Strategy Portfolio | ||||||||||||||||||||||
| Class C Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 11.98 | $ | 13.49 | $ | 11.90 | $ | 11.42 | $ | 11.91 | ||||||||||||
Net investment income(a)(b) | 0.09 | 0.01 | 0.06 | 0.02 | 0.16 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.04 | (1.31 | ) | 1.76 | 0.54 | (0.31 | ) | |||||||||||||||
Total from investment operations | 2.13 | (1.30 | ) | 1.82 | 0.56 | (0.15 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.19 | ) | (0.21 | ) | (0.23 | ) | (0.08 | ) | (0.34 | ) | ||||||||||||
Net asset value, end of year | $ | 13.92 | $ | 11.98 | $ | 13.49 | $ | 11.90 | $ | 11.42 | ||||||||||||
| Total return(c) | 17.78 | % | (9.62 | )% | 15.31 | % | 4.86 | % | (1.24 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 19,069 | $ | 27,099 | $ | 94,118 | $ | 121,778 | $ | 143,257 | ||||||||||||
Ratio of net expenses to average net assets(d) | 1.33 | % | 1.34 | % | 1.34 | % | 1.34 | % | 1.34 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 1.39 | % | 1.36 | % | 1.38 | % | 1.39 | % | 1.38 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 0.66 | % | 0.11 | % | 0.50 | % | 0.18 | % | 1.30 | % | ||||||||||||
Portfolio turnover rate(e) | 61 | % | 32 | % | 81 | % | 67 | % | 40 | % | ||||||||||||
| (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 year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (e) | 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. |
| 50 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Growth and Income Strategy Portfolio | ||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 12.29 | $ | 13.85 | $ | 12.21 | $ | 11.66 | $ | 12.14 | ||||||||||||
Net investment income(a)(b) | 0.27 | 0.20 | 0.24 | 0.17 | 0.32 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.08 | (1.39 | ) | 1.78 | 0.55 | (0.33 | ) | |||||||||||||||
Total from investment operations | 2.35 | (1.19 | ) | 2.02 | 0.72 | (0.01 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.33 | ) | (0.37 | ) | (0.38 | ) | (0.17 | ) | (0.47 | ) | ||||||||||||
Net asset value, end of year | $ | 14.31 | $ | 12.29 | $ | 13.85 | $ | 12.21 | $ | 11.66 | ||||||||||||
| Total return(c) | 19.17 | % | (8.63 | )% | 16.60 | % | 6.15 | % | (0.13 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 371,610 | $ | 360,006 | $ | 574,136 | $ | 455,273 | $ | 429,243 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.20 | % | 0.20 | % | 0.19 | % | 0.19 | % | 0.19 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.25 | % | 0.22 | % | 0.23 | % | 0.24 | % | 0.23 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 2.01 | % | 1.48 | % | 1.80 | % | 1.42 | % | 2.59 | % | ||||||||||||
Portfolio turnover rate(e) | 61 | % | 32 | % | 81 | % | 67 | % | 40 | % | ||||||||||||
| (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 year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (e) | 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. | 51 |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Growth and Income Strategy Portfolio | ||||||||||||||||||||||
| Service Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 12.23 | $ | 13.77 | $ | 12.14 | $ | 11.60 | $ | 12.07 | ||||||||||||
Net investment income(a)(b) | 0.21 | 0.15 | 0.17 | 0.11 | 0.25 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.05 | (1.38 | ) | 1.77 | 0.54 | (0.32 | ) | |||||||||||||||
Total from investment operations | 2.26 | (1.23 | ) | 1.94 | 0.65 | (0.07 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.26 | ) | (0.31 | ) | (0.31 | ) | (0.11 | ) | (0.40 | ) | ||||||||||||
Net asset value, end of year | $ | 14.23 | $ | 12.23 | $ | 13.77 | $ | 12.14 | $ | 11.60 | ||||||||||||
| Total return(c) | 18.51 | % | (9.00 | )% | 16.03 | % | 5.58 | % | (0.56 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 2,920 | $ | 2,780 | $ | 3,414 | $ | 3,253 | $ | 3,246 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.70 | % | 0.70 | % | 0.69 | % | 0.69 | % | 0.69 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.75 | % | 0.72 | % | 0.73 | % | 0.74 | % | 0.73 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.53 | % | 1.13 | % | 1.27 | % | 0.90 | % | 2.03 | % | ||||||||||||
Portfolio turnover rate(e) | 61 | % | 32 | % | 81 | % | 67 | % | 40 | % | ||||||||||||
| (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 year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (e) | 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. |
| 52 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Growth and Income Strategy Portfolio | ||||||||||||||||||||||
| Investor Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 12.20 | $ | 13.74 | $ | 12.12 | $ | 11.57 | $ | 12.05 | ||||||||||||
Net investment income(a)(b) | 0.26 | 0.20 | 0.23 | 0.16 | 0.29 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.04 | (1.38 | ) | 1.75 | 0.54 | (0.32 | ) | |||||||||||||||
Total from investment operations | 2.30 | (1.18 | ) | 1.98 | 0.70 | (0.03 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.31 | ) | (0.36 | ) | (0.36 | ) | (0.15 | ) | (0.45 | ) | ||||||||||||
Net asset value, end of year | $ | 14.19 | $ | 12.20 | $ | 13.74 | $ | 12.12 | $ | 11.57 | ||||||||||||
| Total return(c) | 18.91 | % | (8.68 | )% | 16.39 | % | 6.04 | % | (0.29 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 7,670 | $ | 7,366 | $ | 7,241 | $ | 4,769 | $ | 3,085 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.33 | % | 0.34 | % | 0.34 | % | 0.34 | % | 0.34 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.39 | % | 0.36 | % | 0.38 | % | 0.39 | % | 0.38 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.92 | % | 1.48 | % | 1.72 | % | 1.37 | % | 2.42 | % | ||||||||||||
Portfolio turnover rate(e) | 61 | % | 32 | % | 81 | % | 67 | % | 40 | % | ||||||||||||
| (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 year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (e) | 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. | 53 |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Growth and Income Strategy Portfolio | ||||||||||
| Class P Shares | ||||||||||
| Year Ended December 31, 2019 | Period Ended December 31, 2018(a) | |||||||||
| Per Share Data |
| |||||||||
Net asset value, beginning of period | $ | 12.29 | $ | 13.91 | ||||||
Net investment income(b)(c) | 0.29 | 0.23 | ||||||||
Net realized and unrealized gain (loss) | 2.05 | (1.52 | ) | |||||||
Total from investment operations | 2.34 | (1.29 | ) | |||||||
Distributions to shareholders from net investment income | (0.33 | ) | (0.33 | ) | ||||||
Net asset value, end of period | $ | 14.30 | $ | 12.29 | ||||||
| Total return(d) | 19.10 | % | (9.29 | )% | ||||||
Net assets, end of period (in 000s) | $ | 212,702 | $ | 185,028 | ||||||
Ratio of net expenses to average net assets(e) | 0.19 | % | 0.19 | %(f) | ||||||
Ratio of total expenses to average net assets(e) | 0.24 | % | 0.22 | %(f) | ||||||
Ratio of net investment income to average net assets(c) | 2.12 | % | 2.48 | %(f) | ||||||
Portfolio turnover rate(g) | 61 | % | 32 | % | ||||||
| (a) | Class P Shares commenced operations on 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 (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| (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 Portfolio’s portfolio turnover rate may be higher. |
| 54 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Growth and Income Strategy Portfolio | ||||||||||||||||||||||
| Class R Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 12.17 | $ | 13.70 | $ | 12.09 | $ | 11.56 | $ | 12.03 | ||||||||||||
Net investment income(a)(b) | 0.20 | 0.13 | 0.18 | 0.09 | 0.23 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.02 | (1.37 | ) | 1.73 | 0.54 | (0.31 | ) | |||||||||||||||
Total from investment operations | 2.22 | (1.24 | ) | 1.91 | 0.63 | (0.08 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.24 | ) | (0.29 | ) | (0.30 | ) | (0.10 | ) | (0.39 | ) | ||||||||||||
Net asset value, end of year | $ | 14.15 | $ | 12.17 | $ | 13.70 | $ | 12.09 | $ | 11.56 | ||||||||||||
| Total return(c) | 18.30 | % | (9.10 | )% | 15.83 | % | 5.40 | % | (0.69 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 4,991 | $ | 4,251 | $ | 5,441 | $ | 2,659 | $ | 2,330 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.83 | % | 0.84 | % | 0.84 | % | 0.84 | % | 0.84 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.89 | % | 0.86 | % | 0.88 | % | 0.89 | % | 0.88 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.46 | % | 1.00 | % | 1.35 | % | 0.75 | % | 1.89 | % | ||||||||||||
Portfolio turnover rate(e) | 61 | % | 32 | % | 81 | % | 67 | % | 40 | % | ||||||||||||
| (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 year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (e) | 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. | 55 |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Growth and Income Strategy Portfolio | ||||||||||||||||||||||
| Class R6 Shares | ||||||||||||||||||||||
| Year Ended December 31, | Period Ended December 31, 2015(a) | |||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 12.29 | $ | 13.85 | $ | 12.20 | $ | 11.66 | $ | 12.42 | ||||||||||||
Net investment income(b)(c) | 0.26 | 0.36 | 0.30 | 0.17 | 0.26 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.08 | (1.54 | ) | 1.73 | 0.54 | (0.62 | ) | |||||||||||||||
Total from investment operations | 2.34 | (1.18 | ) | 2.03 | 0.71 | (0.36 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.33 | ) | (0.38 | ) | (0.38 | ) | (0.17 | ) | (0.40 | ) | ||||||||||||
Net asset value, end of year | $ | 14.30 | $ | 12.29 | $ | 13.85 | $ | 12.20 | $ | 11.66 | ||||||||||||
| Total return(d) | 19.10 | % | (8.61 | )% | 16.71 | % | 6.07 | % | (2.87 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 6,300 | $ | 6,331 | $ | 84 | $ | 10 | $ | 10 | ||||||||||||
Ratio of net expenses to average net assets(e) | 0.19 | % | 0.19 | % | 0.18 | % | 0.19 | % | 0.19 | %(f) | ||||||||||||
Ratio of total expenses to average net assets(e) | 0.24 | % | 0.22 | % | 0.22 | % | 0.23 | % | 0.21 | %(f) | ||||||||||||
Ratio of net investment income to average net assets(c) | 1.92 | % | 2.67 | % | 2.21 | % | 1.43 | % | 5.04 | %(f) | ||||||||||||
Portfolio turnover rate(g) | 61 | % | 32 | % | 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 (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| (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 Portfolio’s portfolio turnover rate may be higher. |
| 56 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| (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 year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (e) | 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. | 57 |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Growth Strategy Portfolio | ||||||||||||||||||||||
| Class C Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 13.98 | $ | 15.81 | $ | 13.37 | $ | 12.68 | $ | 12.88 | ||||||||||||
Net investment income (loss)(a)(b) | 0.10 | (0.03 | ) | 0.03 | 0.01 | 0.05 | ||||||||||||||||
Net realized and unrealized gain (loss) | 2.87 | (1.80 | ) | 2.66 | 0.70 | (0.15 | ) | |||||||||||||||
Total from investment operations | 2.97 | (1.83 | ) | 2.69 | 0.71 | (0.10 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.16 | ) | — | (0.25 | ) | (0.02 | ) | (0.10 | ) | |||||||||||||
Distributions to shareholders from net realized gains | (0.28 | ) | — | — | — | — | ||||||||||||||||
Total distributions | (0.44 | ) | — | (0.25 | ) | (0.02 | ) | (0.10 | ) | |||||||||||||
Net asset value, end of year | $ | 16.51 | $ | 13.98 | $ | 15.81 | $ | 13.37 | $ | 12.68 | ||||||||||||
| Total return(c) | 21.31 | % | (11.58 | )% | 20.08 | % | 5.57 | % | (0.82 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 29,424 | $ | 36,201 | $ | 126,894 | $ | 144,292 | $ | 161,733 | ||||||||||||
Ratio of net expenses to average net assets(d) | 1.33 | % | 1.34 | % | 1.34 | % | 1.34 | % | 1.34 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 1.40 | % | 1.37 | % | 1.38 | % | 1.40 | % | 1.39 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets(b) | 0.64 | % | (0.20 | )% | 0.18 | % | 0.08 | % | 0.39 | % | ||||||||||||
Portfolio turnover rate(e) | 69 | % | 29 | % | 85 | % | 59 | % | 38 | % | ||||||||||||
| (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 year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (e) | 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. |
| 58 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Growth Strategy Portfolio | ||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 13.72 | $ | 15.81 | $ | 13.37 | $ | 12.69 | $ | 12.90 | ||||||||||||
Net investment income(a)(b) | 0.24 | 0.19 | 0.22 | 0.17 | 0.22 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.87 | (1.87 | ) | 2.66 | 0.69 | (0.17 | ) | |||||||||||||||
Total from investment operations | 3.11 | (1.68 | ) | 2.88 | 0.86 | 0.05 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.38 | ) | (0.41 | ) | (0.44 | ) | (0.18 | ) | (0.26 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.28 | ) | — | — | — | — | ||||||||||||||||
Total distributions | (0.66 | ) | (0.41 | ) | (0.44 | ) | (0.18 | ) | (0.26 | ) | ||||||||||||
Net asset value, end of year | $ | 16.17 | $ | 13.72 | $ | 15.81 | $ | 13.37 | $ | 12.69 | ||||||||||||
| Total return(c) | 22.77 | % | (10.65 | )% | 21.53 | % | 6.76 | % | 0.35 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 147,389 | $ | 247,863 | $ | 455,902 | $ | 335,237 | $ | 303,237 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.20 | % | 0.20 | % | 0.20 | % | 0.19 | % | 0.19 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.26 | % | 0.23 | % | 0.24 | % | 0.25 | % | 0.23 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.59 | % | 1.22 | % | 1.46 | % | 1.33 | % | 1.68 | % | ||||||||||||
Portfolio turnover rate(e) | 69 | % | 29 | % | 85 | % | 59 | % | 38 | % | ||||||||||||
| (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 year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (e) | 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. | 59 |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Growth Strategy Portfolio | ||||||||||||||||||||||
| Service Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 13.69 | $ | 15.77 | $ | 13.35 | $ | 12.67 | $ | 12.88 | ||||||||||||
Net investment income(a)(b) | 0.22 | 0.15 | 0.15 | 0.10 | 0.14 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.80 | (1.90 | ) | 2.64 | 0.69 | (0.16 | ) | |||||||||||||||
Total from investment operations | 3.02 | (1.75 | ) | 2.79 | 0.79 | (0.02 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.30 | ) | (0.33 | ) | (0.37 | ) | (0.11 | ) | (0.19 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.28 | ) | — | — | — | — | ||||||||||||||||
Total distributions | (0.58 | ) | (0.33 | ) | (0.37 | ) | (0.11 | ) | (0.19 | ) | ||||||||||||
Net asset value, end of year | $ | 16.13 | $ | 13.69 | $ | 15.77 | $ | 13.35 | $ | 12.67 | ||||||||||||
| Total return(c) | 22.10 | % | (11.06 | )% | 20.88 | % | 6.26 | % | (0.17 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 2,266 | $ | 2,252 | $ | 2,888 | $ | 2,237 | $ | 2,135 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.70 | % | 0.70 | % | 0.70 | % | 0.69 | % | 0.69 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.77 | % | 0.73 | % | 0.74 | % | 0.75 | % | 0.74 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.47 | % | 0.96 | % | 1.00 | % | 0.81 | % | 1.09 | % | ||||||||||||
Portfolio turnover rate(e) | 69 | % | 29 | % | 85 | % | 59 | % | 38 | % | ||||||||||||
| (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 year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (e) | 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. |
| 60 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Growth Strategy Portfolio | ||||||||||||||||||||||
| Investor Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 13.53 | $ | 15.59 | $ | 13.20 | $ | 12.52 | $ | 12.73 | ||||||||||||
Net investment income(a)(b) | 0.28 | 0.18 | 0.23 | 0.15 | 0.19 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.76 | (1.86 | ) | 2.58 | 0.69 | (0.16 | ) | |||||||||||||||
Total from investment operations | 3.04 | (1.68 | ) | 2.81 | 0.84 | 0.03 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.36 | ) | (0.38 | ) | (0.42 | ) | (0.16 | ) | (0.24 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.28 | ) | — | — | — | — | ||||||||||||||||
Total distributions | (0.64 | ) | (0.38 | ) | (0.42 | ) | (0.16 | ) | (0.24 | ) | ||||||||||||
Net asset value, end of year | $ | 15.93 | $ | 13.53 | $ | 15.59 | $ | 13.20 | $ | 12.52 | ||||||||||||
| Total return(c) | 22.50 | % | (10.74 | )% | 21.30 | % | 6.70 | % | 0.20 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 7,204 | $ | 6,477 | $ | 8,008 | $ | 4,352 | $ | 4,114 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.33 | % | 0.33 | % | 0.34 | % | 0.34 | % | 0.34 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.40 | % | 0.37 | % | 0.39 | % | 0.40 | % | 0.39 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.85 | % | 1.14 | % | 1.54 | % | 1.18 | % | 1.50 | % | ||||||||||||
Portfolio turnover rate(e) | 69 | % | 29 | % | 85 | % | 59 | % | 38 | % | ||||||||||||
| (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 year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (e) | 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. | 61 |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Growth Strategy Portfolio | ||||||||||
| Class P Shares | ||||||||||
Year Ended December 31, 2019 | Period Ended December 31, 2018(a) | |||||||||
| Per Share Data |
| |||||||||
Net asset value, beginning of period | $ | 13.72 | $ | 15.96 | ||||||
Net investment income(b)(c) | 0.32 | 0.28 | ||||||||
Net realized and unrealized gain (loss) | 2.79 | (2.10 | ) | |||||||
Total from investment operations | 3.11 | (1.82 | ) | |||||||
Distributions to shareholders from net investment income | (0.38 | ) | (0.42 | ) | ||||||
Distributions to shareholders from net realized gains | (0.28 | ) | — | |||||||
Total distributions | (0.66 | ) | (0.42 | ) | ||||||
Net asset value, end of period | $ | 16.17 | $ | 13.72 | ||||||
| Total return(d) | 22.72 | % | (11.39 | )% | ||||||
Net assets, end of period (in 000s) | $ | 183,763 | $ | 148,866 | ||||||
Ratio of net expenses to average net assets(e) | 0.19 | % | 0.19 | %(f) | ||||||
Ratio of total expenses to average net assets(e) | 0.26 | % | 0.22 | %(f) | ||||||
Ratio of net investment income to average net assets(c) | 2.08 | % | 2.56 | %(f) | ||||||
Portfolio turnover rate(g) | 69 | % | 29 | % | ||||||
| (a) | Commenced operations on 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 (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| (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 Portfolio’s portfolio turnover rate may be higher. |
| 62 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Growth Strategy Portfolio | ||||||||||||||||||||||
| Class R Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 13.37 | $ | 15.42 | $ | 13.08 | $ | 12.41 | $ | 12.62 | ||||||||||||
Net investment income(a)(b) | 0.20 | 0.14 | 0.16 | 0.08 | 0.12 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.73 | (1.87 | ) | 2.54 | 0.69 | (0.16 | ) | |||||||||||||||
Total from investment operations | 2.93 | (1.73 | ) | 2.70 | 0.77 | (0.04 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.28 | ) | (0.32 | ) | (0.36 | ) | (0.10 | ) | (0.17 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.28 | ) | — | — | — | — | ||||||||||||||||
Total distributions | (0.56 | ) | (0.32 | ) | (0.36 | ) | (0.10 | ) | (0.17 | ) | ||||||||||||
Net asset value, end of year | $ | 15.74 | $ | 13.37 | $ | 15.42 | $ | 13.08 | $ | 12.41 | ||||||||||||
| Total return(c) | 21.98 | % | (11.18 | )% | 20.67 | % | 6.16 | % | (0.31 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 6,400 | $ | 5,475 | $ | 6,334 | $ | 2,548 | $ | 2,323 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.83 | % | 0.84 | % | 0.84 | % | 0.84 | % | 0.84 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.90 | % | 0.87 | % | 0.89 | % | 0.90 | % | 0.89 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.36 | % | 0.90 | % | 1.06 | % | 0.65 | % | 0.95 | % | ||||||||||||
Portfolio turnover rate(e) | 69 | % | 29 | % | 85 | % | 59 | % | 38 | % | ||||||||||||
| (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 year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (e) | 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. | 63 |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Growth Strategy Portfolio | ||||||||||||||||||||||
| Class R6 Shares | ||||||||||||||||||||||
| Year Ended December 31, | Period Ended December 31, 2015(a) | |||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 13.72 | $ | 15.81 | $ | 13.37 | $ | 12.68 | $ | 13.44 | ||||||||||||
Net investment income(b)(c) | 0.31 | 0.39 | 0.17 | 0.17 | 0.18 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.80 | (2.06 | ) | 2.71 | 0.70 | (0.68 | ) | |||||||||||||||
Total from investment operations | 3.11 | (1.67 | ) | 2.88 | 0.87 | (0.50 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.38 | ) | (0.42 | ) | (0.44 | ) | (0.18 | ) | (0.26 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.28 | ) | — | — | — | — | ||||||||||||||||
Total distributions | (0.66 | ) | (0.42 | ) | (0.44 | ) | (0.18 | ) | (0.26 | ) | ||||||||||||
Net asset value, end of year | $ | 16.17 | $ | 13.72 | $ | 15.81 | $ | 13.37 | $ | 12.68 | ||||||||||||
| Total return(d) | 22.72 | % | (10.55 | )% | 21.51 | % | 6.76 | % | (3.66 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 7,554 | $ | 6,603 | $ | 964 | $ | 10 | $ | 10 | ||||||||||||
Ratio of net expenses to average net assets(e) | 0.19 | % | 0.19 | % | 0.18 | % | 0.19 | % | 0.21 | %(f) | ||||||||||||
Ratio of total expenses to average net assets(e) | 0.26 | % | 0.22 | % | 0.23 | % | 0.25 | % | 0.25 | %(f) | ||||||||||||
Ratio of net investment income to average net assets(c) | 2.00 | % | 2.54 | % | 1.12 | % | 1.33 | % | 3.22 | %(f) | ||||||||||||
Portfolio turnover rate(g) | 69 | % | 29 | % | 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 (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| (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 Portfolio’s portfolio turnover rate may be higher. |
| 64 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| (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 year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| (e) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (f) | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 65 |
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Satellite Strategies Portfolio | ||||||||||||||||||||||
| Class C Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 7.34 | $ | 8.40 | $ | 7.60 | $ | 7.41 | $ | 7.84 | ||||||||||||
Net investment income(a)(b) | 0.16 | 0.12 | 0.14 | 0.15 | 0.13 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.12 | (1.04 | ) | 0.87 | 0.23 | (0.43 | ) | |||||||||||||||
Total from investment operations | 1.28 | (0.92 | ) | 1.01 | 0.38 | (0.30 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.20 | ) | (0.14 | ) | (0.21 | ) | (0.19 | ) | (0.13 | ) | ||||||||||||
Distributions to shareholders from return of capital | — | — | — | 0.00 | (c) | — | ||||||||||||||||
Total distributions | (0.20 | ) | (0.14 | ) | (0.21 | ) | (0.19 | ) | (0.13 | ) | ||||||||||||
Net asset value, end of year | $ | 8.42 | $ | 7.34 | $ | 8.40 | $ | 7.60 | $ | 7.41 | ||||||||||||
| Total return(d) | 17.55 | % | (11.07 | )% | 13.37 | % | 5.17 | % | (3.89 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 16,235 | $ | 28,041 | $ | 44,710 | $ | 53,575 | $ | 68,765 | ||||||||||||
Ratio of net expenses to average net assets(e) | 1.31 | % | 1.31 | % | 1.32 | % | 1.32 | % | 1.32 | % | ||||||||||||
Ratio of total expenses to average net assets(e) | 1.40 | % | 1.36 | % | 1.36 | % | 1.36 | % | 1.35 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 2.01 | % | 1.53 | % | 1.78 | % | 1.94 | % | 1.66 | % | ||||||||||||
Portfolio turnover rate(f) | 6 | % | 17 | % | 57 | % | 22 | % | 22 | % | ||||||||||||
| (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 year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| (e) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (f) | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| 66 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Satellite Strategies Portfolio | ||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 7.36 | $ | 8.43 | $ | 7.62 | $ | 7.43 | $ | 7.87 | ||||||||||||
Net investment income(a)(b) | 0.27 | 0.21 | 0.24 | 0.23 | 0.23 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.11 | (1.05 | ) | 0.88 | 0.24 | (0.45 | ) | |||||||||||||||
Total from investment operations | 1.38 | (0.84 | ) | 1.12 | 0.47 | (0.22 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.31 | ) | (0.23 | ) | (0.31 | ) | (0.28 | ) | (0.22 | ) | ||||||||||||
Distributions to shareholders from return of capital | — | — | — | 0.00 | (c) | — | ||||||||||||||||
Total distributions | (0.31 | ) | (0.23 | ) | (0.31 | ) | (0.28 | ) | (0.22 | ) | ||||||||||||
Net asset value, end of year | $ | 8.43 | $ | 7.36 | $ | 8.43 | $ | 7.62 | $ | 7.43 | ||||||||||||
| Total return(d) | 18.86 | % | (10.06 | )% | 14.80 | % | 6.38 | % | (2.84 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 194,783 | $ | 260,987 | $ | 488,118 | $ | 509,681 | $ | 655,268 | ||||||||||||
Ratio of net expenses to average net assets(e) | 0.18 | % | 0.17 | % | 0.17 | % | 0.17 | % | 0.17 | % | ||||||||||||
Ratio of total expenses to average net assets(e) | 0.27 | % | 0.22 | % | 0.22 | % | 0.21 | % | 0.20 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 3.38 | % | 2.62 | % | 2.96 | % | 3.08 | % | 2.85 | % | ||||||||||||
Portfolio turnover rate(f) | 6 | % | 17 | % | 57 | % | 22 | % | 22 | % | ||||||||||||
| (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 year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| (e) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (f) | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 67 |
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Satellite Strategies Portfolio | ||||||||||||||||||||||
| Service Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 7.37 | $ | 8.43 | $ | 7.63 | $ | 7.43 | $ | 7.84 | ||||||||||||
Net investment income(a)(b) | 0.25 | 0.18 | 0.20 | 0.18 | 0.14 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.09 | (1.05 | ) | 0.86 | 0.26 | (0.40 | ) | |||||||||||||||
Total from investment operations | 1.34 | (0.87 | ) | 1.06 | 0.44 | (0.26 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.27 | ) | (0.19 | ) | (0.26 | ) | (0.24 | ) | (0.15 | ) | ||||||||||||
Distributions to shareholders from return of capital | — | — | — | 0.00 | (c) | — | ||||||||||||||||
Total distributions | (0.27 | ) | (0.19 | ) | (0.26 | ) | (0.24 | ) | (0.15 | ) | ||||||||||||
Net asset value, end of year | $ | 8.44 | $ | 7.37 | $ | 8.43 | $ | 7.63 | $ | 7.43 | ||||||||||||
| Total return(d) | 18.25 | % | (10.41 | )% | 14.06 | % | 5.92 | % | (3.32 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 258 | $ | 243 | $ | 350 | $ | 408 | $ | 988 | ||||||||||||
Ratio of net expenses to average net assets(e) | 0.68 | % | 0.67 | % | 0.67 | % | 0.67 | % | 0.67 | % | ||||||||||||
Ratio of total expenses to average net assets(e) | 0.78 | % | 0.72 | % | 0.72 | % | 0.71 | % | 0.70 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 3.13 | % | 2.20 | % | 2.41 | % | 2.40 | % | 1.81 | % | ||||||||||||
Portfolio turnover rate(f) | 6 | % | 17 | % | 57 | % | 22 | % | 22 | % | ||||||||||||
| (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 year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| (e) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (f) | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| 68 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Satellite Strategies Portfolio | ||||||||||||||||||||||
| Investor Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 7.36 | $ | 8.43 | $ | 7.62 | $ | 7.43 | $ | 7.87 | ||||||||||||
Net investment income(a)(b) | 0.27 | 0.20 | 0.22 | 0.23 | 0.21 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.10 | (1.05 | ) | 0.88 | 0.23 | (0.44 | ) | |||||||||||||||
Total from investment operations | 1.37 | (0.85 | ) | 1.10 | 0.46 | (0.23 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.30 | ) | (0.22 | ) | (0.29 | ) | (0.27 | ) | (0.21 | ) | ||||||||||||
Distributions to shareholders from return of capital | — | — | — | 0.00 | (c) | — | ||||||||||||||||
Total distributions | (0.30 | ) | (0.22 | ) | (0.29 | ) | (0.27 | ) | (0.21 | ) | ||||||||||||
Net asset value, end of year | $ | 8.43 | $ | 7.36 | $ | 8.43 | $ | 7.62 | $ | 7.43 | ||||||||||||
| Total return(d) | 18.71 | % | (10.19 | )% | 14.62 | % | 6.22 | % | (2.99 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 22,706 | $ | 27,782 | $ | 46,011 | $ | 58,740 | $ | 67,547 | ||||||||||||
Ratio of net expenses to average net assets(e) | 0.32 | % | 0.31 | % | 0.32 | % | 0.32 | % | 0.32 | % | ||||||||||||
Ratio of total expenses to average net assets(e) | 0.41 | % | 0.36 | % | 0.36 | % | 0.36 | % | 0.35 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 3.39 | % | 2.53 | % | 2.74 | % | 3.02 | % | 2.69 | % | ||||||||||||
Portfolio turnover rate(f) | 6 | % | 17 | % | 57 | % | 22 | % | 22 | % | ||||||||||||
| (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 year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| (e) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (f) | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 69 |
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Satellite Strategies Portfolio | ||||||||||
| Class P Shares | ||||||||||
Year Ended December 31, 2019 | Period Ended December 31, 2018(a) | |||||||||
| Per Share Data | ||||||||||
Net asset value, beginning of period | $ | 7.37 | $ | 8.37 | ||||||
Net investment income(b)(c) | 0.30 | 0.20 | ||||||||
Net realized and unrealized gain (loss) | 1.08 | (1.01 | ) | |||||||
Total from investment operations | 1.38 | (0.81 | ) | |||||||
Distributions to shareholders from net investment income | (0.31 | ) | (0.19 | ) | ||||||
Net asset value, end of period | $ | 8.44 | $ | 7.37 | ||||||
| Total return(d) | 18.85 | % | (9.76 | )% | ||||||
Net assets, end of period (in 000s) | $ | 3,722 | $ | 2,902 | ||||||
Ratio of net expenses to average net assets(e) | 0.17 | % | 0.16 | %(f) | ||||||
Ratio of total expenses to average net assets(e) | 0.27 | % | 0.22 | %(f) | ||||||
Ratio of net investment income to average net assets(c) | 3.70 | % | 3.51 | %(f) | ||||||
Portfolio turnover rate(g) | 6 | % | 17 | % | ||||||
| (a) | Class P Shares commenced operations on 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 (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| (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. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
| 70 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Satellite Strategies Portfolio | ||||||||||||||||||||||
| Class R Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 7.35 | $ | 8.41 | $ | 7.61 | $ | 7.42 | $ | 7.86 | ||||||||||||
Net investment income(a)(b) | 0.23 | 0.17 | 0.19 | 0.19 | 0.18 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.09 | (1.05 | ) | 0.86 | 0.23 | (0.45 | ) | |||||||||||||||
Total from investment operations | 1.32 | (0.88 | ) | 1.05 | 0.42 | (0.27 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.25 | ) | (0.18 | ) | (0.25 | ) | (0.23 | ) | (0.17 | ) | ||||||||||||
Distributions to shareholders from return of capital | — | — | — | 0.00 | (c) | — | ||||||||||||||||
Total distributions | (0.25 | ) | (0.18 | ) | (0.25 | ) | (0.23 | ) | (0.17 | ) | ||||||||||||
Net asset value, end of year | $ | 8.42 | $ | 7.35 | $ | 8.41 | $ | 7.61 | $ | 7.42 | ||||||||||||
| Total return(d) | 18.12 | % | (10.56 | )% | 13.94 | % | 5.71 | % | (3.49 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 1,140 | $ | 1,955 | $ | 2,645 | $ | 2,788 | $ | 3,119 | ||||||||||||
Ratio of net expenses to average net assets(e) | 0.81 | % | 0.81 | % | 0.82 | % | 0.82 | % | 0.82 | % | ||||||||||||
Ratio of total expenses to average net assets(e) | 0.91 | % | 0.86 | % | 0.86 | % | 0.86 | % | 0.85 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 2.88 | % | 2.09 | % | 2.33 | % | 2.49 | % | 2.24 | % | ||||||||||||
Portfolio turnover rate(f) | 6 | % | 17 | % | 57 | % | 22 | % | 22 | % | ||||||||||||
| (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 year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
| (e) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
| (f) | The Portfolio’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 Portfolio’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 71 |
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Satellite Strategies Portfolio | ||||||||||||||||||||||
| Class R6 Shares | ||||||||||||||||||||||
| Year Ended December 31, | Period Ended December 31, 2015(a) | |||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 7.36 | $ | 8.43 | $ | 7.63 | $ | 7.44 | $ | 7.91 | ||||||||||||
Net investment income(b)(c) | 0.29 | 0.23 | 0.25 | 0.63 | 0.11 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.10 | (1.07 | ) | 0.86 | (0.15 | ) | (0.46 | ) | ||||||||||||||
Total from investment operations | 1.39 | (0.84 | ) | 1.11 | 0.48 | (0.35 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.31 | ) | (0.23 | ) | (0.31 | ) | (0.28 | ) | (0.12 | ) | ||||||||||||
Distributions to shareholders from return of capital | — | — | — | (0.01 | ) | — | ||||||||||||||||
Total distributions | (0.31 | ) | (0.23 | ) | (0.31 | ) | (0.29 | ) | (0.12 | ) | ||||||||||||
Net asset value, end of year | $ | 8.44 | $ | 7.36 | $ | 8.43 | $ | 7.63 | $ | 7.44 | ||||||||||||
| Total return(d) | 19.02 | % | (10.04 | )% | 14.66 | % | 6.40 | % | (4.43 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 45,956 | $ | 44,046 | $ | 40,326 | $ | 33,805 | $ | 10 | ||||||||||||
Ratio of net expenses to average net assets(e) | 0.17 | % | 0.16 | % | 0.16 | % | 0.15 | % | 0.15 | %(f) | ||||||||||||
Ratio of total expenses to average net assets(e) | 0.26 | % | 0.22 | % | 0.20 | % | 0.17 | % | 0.18 | %(f) | ||||||||||||
Ratio of net investment income to average net assets(c) | 3.59 | % | 2.88 | % | 3.09 | % | 8.15 | % | 3.58 | %(f) | ||||||||||||
Portfolio turnover rate(g) | 6 | % | 17 | % | 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 (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
| (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. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
| 72 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
December 31, 2019
| 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 anopen-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 |
Class A Shares are sold with afront-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 that currently exist or that may become available for investment in the future for which GSAM or an affiliate now or in the future acts as investment adviser or principal underwriter without considering or canvassing the universe of unaffiliated funds available, and may also invest in unaffiliated exchange-traded funds (“ETFs”) (collectively, the “Underlying Funds”).
| 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. Each Portfolio is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.
A. Investment Valuation — The valuation policy of the Portfolios and underlying funds (“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 onex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to theex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. 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.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, andnon-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/orpro-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.
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GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements(continued)
December 31, 2019
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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 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 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 theex-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 | ||||
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 distributable earnings 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).
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GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Portfolios, including investments for which market quotations are not readily available. The Trustees have delegated to GSAMday-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 include ETFs and other investment companies. Investments in the Underlying Funds (except ETFs) are valued at the NAV per share 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. 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 Statements of Assets and Liabilities as receivables/payables for collateral on certain derivatives contracts.Non-cash collateral pledged by a Portfolio, if any, is noted in the Schedules of Investments.
Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence oftwo-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives 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.
Aforward foreign currency exchange contractis 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. Upon entering into a futures contract, a Portfolio deposits cash or securities in an account on behalf of the broker in
75
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements(continued)
December 31, 2019
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
an amount sufficient to meet the initial 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.
iii. Options — When a Portfolio writes call or put options, an amount equal to the premium received is recorded as a liability and is subsequentlymarked-to-market to reflect the current value of the option written. Swaptions are options on interest rate swap contracts or credit defaults 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 subsequentlymarked-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.
C. 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. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments. GSAM did not develop the unobservable inputs for valuation of Level 3 Assets and Liabilities.
D. Fair Value Hierarchy— The following is a summary of the Portfolios’ investments and derivatives classified in the fair value hierarchy as of December 31, 2019:
| BALANCED STRATEGY |
| |||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Underlying Funds | ||||||||||||
Dynamic | $ | 45,300,871 | $ | — | $ | — | ||||||
Equity | 147,139,981 | — | — | |||||||||
Exchange Traded Funds | 101,577,195 | — | — | |||||||||
Fixed Income | 188,756,228 | — | — | |||||||||
Investment Companies | 22,109,474 | — | — | |||||||||
| Total | $ | 504,883,749 | $ | — | $ | — | ||||||
| Derivative Type | ||||||||||||
| Assets | ||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | — | $ | 3,173 | $ | — | ||||||
Futures Contracts(a) | 326,333 | — | — | |||||||||
Options Purchased | 2,296,100 | 2,934 | — | |||||||||
| Total | $ | 2,622,433 | $ | 6,107 | $ | — | ||||||
| Liabilities(a) | ||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (171,188 | ) | $ | — | |||||
| (a) | Amount shown represents unrealized gain (loss) at period end. |
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GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| GROWTH AND INCOME STRATEGY PORTFOLIO |
| |||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Underlying Funds | ||||||||||||
Dynamic | $ | 65,855,961 | $ | — | $ | — | ||||||
Equity | 370,810,392 | — | — | |||||||||
Exchange Traded Funds | 247,931,238 | — | — | |||||||||
Fixed Income | 172,613,426 | — | — | |||||||||
Investment Companies | 30,552,695 | — | — | |||||||||
| Total | $ | 887,763,712 | $ | — | $ | — | ||||||
| Derivative Type | ||||||||||||
| Assets | ||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | — | $ | 3,673 | $ | — | ||||||
Futures Contracts(a) | 641,301 | — | — | |||||||||
Options Purchased | 4,774,963 | 5,909 | — | |||||||||
| Total | $ | 5,416,264 | $ | 9,582 | $ | — | ||||||
| Liabilities(a) | ||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (198,173 | ) | $ | — | |||||
| GROWTH STRATEGY PORTFOLIO |
| |||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Underlying Funds | ||||||||||||
Dynamic | $ | 39,128,209 | $ | — | $ | — | ||||||
Equity | 373,894,902 | — | — | |||||||||
Exchange Traded Funds | 241,882,294 | — | — | |||||||||
Fixed Income | 37,715,390 | — | — | |||||||||
Investment Companies | 13,201,422 | — | — | |||||||||
| Total | $ | 705,822,217 | $ | — | $ | — | ||||||
| Derivative Type | ||||||||||||
| Assets | ||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | — | $ | 2,603 | $ | — | ||||||
Futures Contracts(a) | 486,125 | — | — | |||||||||
Options Purchased | 4,602,638 | 5,909 | — | |||||||||
| Total | $ | 5,088,763 | $ | 8,512 | $ | — | ||||||
| Liabilities | ||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | — | $ | (140,670 | ) | $ | — | |||||
| (a) | Amount shown represents unrealized gain (loss) at period end. |
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GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements(continued)
December 31, 2019
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| SATELLITE STRATEGIES PORTFOLIO |
| |||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Underlying Funds | ||||||||||||
Equity | $ | 181,953,319 | $ | — | $ | — | ||||||
Exchange Traded Funds | 14,700,061 | — | — | |||||||||
Fixed Income | 132,887,539 | — | — | |||||||||
| Total | $ | 329,540,919 | $ | — | $ | — | ||||||
For further information regarding security characteristics, see the Schedules of Investments.
| 4. INVESTMENTS IN DERIVATIVES |
The following tables set forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of December 31, 2019. 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 | Statement of Assets and Liabilities | Assets | Statement of Assets and Liabilities | Liabilities | ||||||||||
Interest | Purchased Options, at value | $ | 2,296,100 | — | $ | — | ||||||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts | 3,173 | | Payable for unrealized loss on forward foreign currency contracts | | (171,188) | ||||||||
Equity | Variation margin on future contracts; Purchased Options, at value | 329,267 | (a) | — | — | |||||||||
| Total | $ | 2,628,540 | $ | (171,188) | ||||||||||
| Growth and Income Strategy Portfolio | ||||||||||||||
| Risk | Statement of Assets and Liabilities | Assets | Statement of Assets and Liabilities | Liabilities | ||||||||||
Interest | Purchased Options, at value | $ | 4,774,963 | — | $ | — | ||||||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts | 3,673 | | Payable for unrealized loss on forward foreign currency contracts | | (198,173) | ||||||||
Equity | Variation margin on future contracts; Purchased Options, at value | 647,210 | (a) | — | — | |||||||||
| Total | $ | 5,425,846 | $ | (198,173) | ||||||||||
| (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 December 31, 2019 is reported within the Statements of Assets and Liabilities. |
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GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
| 4. INVESTMENTS IN DERIVATIVES (continued) |
| Growth Strategy Portfolio | ||||||||||||||
| Risk | Statement of Assets and Liabilities | Assets | Statement of Assets and Liabilities | Liabilities | ||||||||||
Interest | Purchased Options, at value | $ | 4,602,638 | — | $ | — | ||||||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts | 2,603 | | Payable for unrealized loss on forward foreign currency contracts | | (140,670) | ||||||||
Equity | Variation margin on future contracts; Purchased Options, at value | 492,034 | (a) | — | — | |||||||||
| Total | $ | 5,097,275 | $ | (140,670) | ||||||||||
| (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 December 31, 2019 is reported within the Statements of Assets and Liabilities. |
The following tables set forth, by certain risk types, the Portfolios’ gains (losses) related to these derivatives and their indicative volumes for the fiscal year ended December 31, 2019. 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 Portfolio | ||||||||||||
| Risk | Statement of Operations | Net Realized Gain (Loss) | Net Change in Gain (Loss) | Average Number of Contracts(a) | ||||||||
Interest | Net realized gain (loss) from futures contracts and purchased options/Net change in unrealized gain (loss) on purchased options and futures contracts | $ | (23,187) | $(319,327) | 632 | |||||||
Equity | Net realized gain (loss) from futures contracts and written options/Net change in unrealized gain (loss) on futures contracts and written options | 4,667,174 | 787,039 | 189 | ||||||||
Currency | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | 730,479 | 21,134 | 13 | ||||||||
| Total | $ | 5,374,466 | $488,846 | 834 | ||||||||
| (a) | Average number of contracts is based on the average of month end balances for the fiscal year ended December 31, 2019 |
| Growth and Income Strategy Portfolio | ||||||||||||
| Risk | Statement of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||
Interest | Net realized gain (loss) from purchased options and futures contracts /Net change in unrealized gain (loss) on purchased options and futures contracts | $ | 642,834 | $(1,423,211) | 1,399 | |||||||
Equity | Net realized gain (loss) from futures contracts and written options/Net change in unrealized gain (loss) on futures contracts and written options | 8,227,435 | 1,688,159 | 326 | ||||||||
Currency | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | 1,263,182 | 173,013 | 13 | ||||||||
| Total | $ | 10,133,451 | $437,961 | 1,738 | ||||||||
| (a) | Average number of contracts is based on the average of month end balances for the fiscal year ended December 31, 2019 |
79
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements(continued)
December 31, 2019
| 4. INVESTMENTS IN DERIVATIVES (continued) |
| Growth Strategy Portfolio | ||||||||||||
| Risk | Statement of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||
Interest | Net realized gain (loss) from futures contracts and purchased options /Net change in unrealized gain (loss) on futures contracts and purchased options | $ | 2,507,539 | $(2,184,402) | 1,346 | |||||||
Equity | Net realized gain (loss) from futures contracts and written options/Net change in unrealized gain (loss) on futures contracts and written options | 8,914,928 | 965,428 | 280 | ||||||||
Currency | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | 1,142,861 | 147,067 | 17 | ||||||||
| Total | $ | 12,565,328 | $(1,071,907) | 1,643 | ||||||||
| (a) | Average number of contracts is based on the average of month end balances for the fiscal year ended December 31, 2019 |
| 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 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 Rule12b-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 Rule12b-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 Rule12b-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 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. |
80
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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 fiscal year ended December 31, 2019, Goldman Sachs advised that it retained the following amounts:
| Front End Sales Charge | Contingent Deferred Sales Charge | |||||||||
| Portfolio | Class A | Class C | ||||||||
Balanced Strategy | $ | 4,108 | $ | 307 | ||||||
Growth and Income Strategy | 14,815 | 762 | ||||||||
Growth Strategy | 15,346 | 883 | ||||||||
Satellite Strategies | 692 | 8 | ||||||||
D. Service and/or Shareholder Administration Plans — The Trust, on behalf of each Portfolio, has adopted Service Plans to allow Class C Shares and Shareholder Administration Plans to allow Service Shares, respectively, to compensate service organizations (including Goldman Sachs) for providing varying levels of personal and account maintenance or shareholder administration services to their customers who are beneficial owners of such shares. The Service and 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 and/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: 0.17% 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 R6 Shares; and 0.04% of the average daily net assets of Institutional and Service Shares. Prior to July 1, 2019, the fees charged for transfer agency services were accrued daily and paid monthly at an annual rate of 0.18% of the average daily net assets of Class A, Class C, Investor and Class R Shares.
F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or 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, 2020, 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 fiscal year ended December 31, 2019, 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 | $ 510 | $420,277 | $420,787 | |||||||||||
Growth and Income Strategy | 1,119 | 488,546 | 489,665 | |||||||||||
Growth Strategy | 1,540 | 528,944 | 530,484 | |||||||||||
Satellite Strategies | 317 | 342,498 | 342,815 | |||||||||||
81
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements(continued)
December 31, 2019
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
G. Line of Credit Facility — As of December 31, 2019, the Portfolios participated in a $580,000,000 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 fiscal year ended December 31, 2019, the Portfolios did not have any borrowings under the facility. Prior to April 30, 2019 the facility was $770,000,000.
H. Other Transactions with Affiliates— The Portfolios invest primarily in the Class R6 Shares of the Underlying Funds (except certain Underlying Funds that are ETFs). These Underlying Funds are considered to be affiliated with the Portfolios. The tables below show the transactions in and earnings from investments in these Underlying Funds for the fiscal year ended December 31, 2019 (in thousands):
| Balanced Strategy Portfolio |
| |||||||||||||||||||||||||||||||||||
| Underlying Funds | Market Value as of 12/31/2018 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Market Value as of 12/31/2019 | Shares as of 12/31/2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
Goldman Sachs Access High Yield Corporate Bond ETF | $ | 11,596 | $ | — | $ | (12,236 | ) | $ | (10 | ) | $ | 650 | $ | — | — | $ | 266 | $ | — | |||||||||||||||||
Goldman Sachs Access Investment Grade Corporate Bond ETF | 24,292 | 27,303 | (5,502 | ) | 324 | 4,001 | 50,418 | 959 | 1,381 | — | ||||||||||||||||||||||||||
Goldman Sachs ActiveBeta Emerging Markets Equity ETF | 5,418 | — | (5,645 | ) | (38 | ) | 265 | — | — | 34 | — | |||||||||||||||||||||||||
Goldman Sachs ActiveBeta International Equity ETF | 13,872 | — | (15,297 | ) | (1,438 | ) | 2,863 | — | — | 65 | — | |||||||||||||||||||||||||
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | 19,751 | 30,408 | (8,632 | ) | 199 | 9,433 | 51,159 | 791 | 769 | — | ||||||||||||||||||||||||||
Goldman Sachs Alternative Premia Fund | 7,420 | 2,500 | (3,500 | ) | (1,385 | ) | 1,414 | 6,449 | 789 | — | — | |||||||||||||||||||||||||
Goldman Sachs Dynamic Global Equity Fund | — | 91,021 | (16,550 | ) | 679 | 4,726 | 79,876 | 4,086 | 1,367 | 3,154 | ||||||||||||||||||||||||||
Goldman Sachs Emerging Markets Debt Fund | 36,430 | 2,324 | (31,228 | ) | (1,527 | ) | 4,268 | 10,267 | 827 | 695 | — | |||||||||||||||||||||||||
Goldman Sachs Emerging Markets Equity Insights Fund | 29,750 | 353 | (14,499 | ) | (1,692 | ) | 4,302 | 18,214 | 1,857 | 353 | — | |||||||||||||||||||||||||
Goldman Sachs Global Income Fund | 99,691 | 70,019 | (16,000 | ) | (551 | ) | 8,005 | 161,164 | 12,640 | 2,822 | 1,797 | |||||||||||||||||||||||||
Goldman Sachs Global Infrastructure Fund | 9,764 | 218 | (2,900 | ) | 147 | 2,443 | 9,672 | 776 | 218 | — | ||||||||||||||||||||||||||
Goldman Sachs Global Real Estate Securities Fund | 12,472 | 779 | (5,007 | ) | 271 | 1,309 | 9,824 | 884 | 522 | 250 | ||||||||||||||||||||||||||
Goldman Sachs High Yield Floating Rate Fund | — | 6,716 | — | — | (6 | ) | 6,710 | 709 | 216 | — | ||||||||||||||||||||||||||
Goldman Sachs High Yield Fund | 11,425 | 447 | (7,500 | ) | (329 | ) | 1,171 | 5,214 | 801 | 445 | — | |||||||||||||||||||||||||
Goldman Sachs International Equity Insights Fund | 27,456 | 3,289 | (12,250 | ) | (1,492 | ) | 5,341 | 22,344 | 1,721 | 539 | — | |||||||||||||||||||||||||
Goldman Sachs International Small Cap Insights Fund | 5,012 | 1,242 | — | — | 956 | 7,210 | 601 | 242 | — | |||||||||||||||||||||||||||
82
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
| Balanced Strategy Portfolio (continued) |
| |||||||||||||||||||||||||||||||||||
| Underlying Funds | Market Value as of 12/31/2018 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Market Value as of 12/31/2019 | Shares as of 12/31/2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
Goldman Sachs Large Cap Growth Insights Fund | $ | 11,564 | $ | — | $ | (13,333 | ) | $ | 712 | $ | 1,057 | $ | — | — | $ | — | $ | — | ||||||||||||||||||
Goldman Sachs Large Cap Value Insights Fund | 10,521 | 1,058 | (12,724 | ) | 271 | 874 | — | — | 58 | — | ||||||||||||||||||||||||||
Goldman Sachs Local Emerging Markets Debt Fund | 17,850 | 1,439 | (14,686 | ) | (3,447 | ) | 4,245 | 5,401 | 891 | 253 | — | |||||||||||||||||||||||||
Goldman Sachs Managed Futures Strategy Fund | 16,123 | 4,489 | (5,401 | ) | 76 | (334 | ) | 14,953 | 1,515 | 897 | 92 | |||||||||||||||||||||||||
Goldman Sachs Small Cap Equity Insights Fund | 8,030 | — | (9,229 | ) | (109 | ) | 1,308 | — | — | — | — | |||||||||||||||||||||||||
Goldman Sachs Tactical Tilt Overlay Fund | — | 25,281 | (1,001 | ) | (13 | ) | (367 | ) | 23,900 | 2,477 | 281 | — | ||||||||||||||||||||||||
Goldman Sachs Tactical Exposure Fund | 35,782 | 1,500 | (38,398 | ) | (2,294 | ) | 3,410 | — | — | — | — | |||||||||||||||||||||||||
Total | $ | 414,219 | $ | 270,386 | $ | (251,518 | ) | $ | (11,646 | ) | $ | 61,334 | $ | 482,775 | $ | 11,423 | $ | 5,293 | ||||||||||||||||||
| Growth and Income Strategy Portfolio |
| |||||||||||||||||||||||||||||||||||
| Underlying Funds | Market 12/31/2018 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Market 12/31/2019 | Shares 12/31/2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
Goldman Sachs Access High Yield Corporate Bond ETF | $ | 9,530 | $ | — | $ | (10,055 | ) | $ | (9 | ) | $ | 534 | $ | — | — | $ | 219 | $ | — | |||||||||||||||||
Goldman Sachs Access Investment Grade Corporate Bond ETF | 17,107 | 42,528 | (4,504 | ) | 192 | 4,239 | 59,562 | 1,132 | 1,489 | — | ||||||||||||||||||||||||||
Goldman Sachs ActiveBeta Emerging Markets Equity ETF | 22,611 | — | (23,557 | ) | 626 | 320 | — | — | 142 | — | ||||||||||||||||||||||||||
Goldman Sachs ActiveBeta International Equity ETF | 43,942 | — | (48,507 | ) | (2,378 | ) | 6,943 | — | — | 206 | — | |||||||||||||||||||||||||
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | 63,566 | 118,132 | (26,895 | ) | 1,861 | 31,705 | 188,369 | 2,913 | 2,738 | — | ||||||||||||||||||||||||||
Goldman Sachs Alternative Premia Fund | 21,471 | — | (12,300 | ) | (4,544 | ) | 4,728 | 9,355 | 1,145 | — | — | |||||||||||||||||||||||||
Goldman Sachs Dynamic Global Equity Fund | — | 206,460 | (21,049 | ) | 983 | 11,865 | 198,259 | 10,141 | 3,392 | 8,068 | ||||||||||||||||||||||||||
Goldman Sachs Emerging Markets Debt Fund | 41,867 | 3,428 | (23,215 | ) | (1,449 | ) | 4,961 | 25,592 | 2,061 | 1,211 | — | |||||||||||||||||||||||||
Goldman Sachs Emerging Markets Equity Insights Fund | 77,521 | 887 | (39,800 | ) | (3,513 | ) | 10,631 | 45,726 | 4,661 | 887 | — | |||||||||||||||||||||||||
Goldman Sachs Global Income Fund | 68,630 | 55,104 | (9,501 | ) | (219 | ) | 5,317 | 119,331 | 9,359 | 2,074 | 1,430 | |||||||||||||||||||||||||
Goldman Sachs Global Infrastructure Fund | 27,798 | 470 | (15,018 | ) | 860 | 5,635 | 19,745 | 1,583 | 452 | — | ||||||||||||||||||||||||||
Goldman Sachs Global Real Estate Securities Fund | 32,903 | 1,409 | (20,500 | ) | 1,139 | 2,858 | 17,809 | 1,603 | 955 | 454 | ||||||||||||||||||||||||||
Goldman Sachs High Yield Floating Rate Fund | — | 8,782 | — | — | (7 | ) | 8,775 | 928 | 282 | — | ||||||||||||||||||||||||||
83
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements(continued)
December 31, 2019
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
| Growth and Income Strategy Portfolio (continued) |
| |||||||||||||||||||||||||||||||||||
| Underlying Funds | Market 12/31/2018 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Market 12/31/2019 | Shares 12/31/2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
Goldman Sachs High Yield Fund | $ | 8,787 | $ | 520 | $ | (1,000 | ) | $ | (49 | ) | $ | 828 | $ | 9,086 | 1,396 | $ | 520 | $ | — | |||||||||||||||||
Goldman Sachs International Equity Insights Fund | 90,373 | 16,348 | (42,500 | ) | (4,321 | ) | 16,723 | 76,623 | 5,903 | 1,848 | — | |||||||||||||||||||||||||
Goldman Sachs International Small Cap Insights Fund | 11,716 | 4,924 | (6,100 | ) | (214 | ) | 2,322 | 12,648 | 1,055 | 424 | — | |||||||||||||||||||||||||
Goldman Sachs Large Cap Growth Insights Fund | 52,189 | — | (60,170 | ) | 4,557 | 3,424 | — | — | — | — | ||||||||||||||||||||||||||
Goldman Sachs Large Cap Value Insights Fund | 51,721 | 259 | (57,045 | ) | 4,013 | 1,052 | — | — | 259 | — | ||||||||||||||||||||||||||
Goldman Sachs Local Emerging Markets Debt Fund | 17,429 | 584 | (9,227 | ) | (1,003 | ) | 2,047 | 9,830 | 1,622 | 356 | — | |||||||||||||||||||||||||
Goldman Sachs Managed Futures Strategy Fund | 22,411 | 5,831 | (6,000 | ) | (63 | ) | (552 | ) | 21,627 | 2,191 | 1,299 | 136 | ||||||||||||||||||||||||
Goldman Sachs Small Cap Equity Insights Fund | 19,153 | — | (21,876 | ) | 1,242 | 1,481 | — | — | — | — | ||||||||||||||||||||||||||
Goldman Sachs Tactical Exposure Fund | 67,205 | — | (69,270 | ) | (4,337 | ) | 6,402 | — | — | — | — | |||||||||||||||||||||||||
Goldman Sachs Tactical Tilt Overlay Fund | — | 35,410 | — | — | (536 | ) | 34,874 | 3,614 | 411 | — | ||||||||||||||||||||||||||
Total | $ | 767,930 | $ | 501,076 | $ | (528,089 | ) | $ | (6,626 | ) | $ | 122,920 | $ | 857,211 | $ | 19,164 | $ | 10,088 | ||||||||||||||||||
| Growth Strategy Portfolio |
| |||||||||||||||||||||||||||||||||||
| Underlying Funds | Market Value | Purchases at Cost* | Proceeds from Sales | Net Realized | Change in Unrealized Gain (Loss) | Market Value | Shares as of 12/31/2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
Goldman Sachs Access High Yield Corporate Bond ETF | $ | 7,593 | $ | — | $ | (8,012 | ) | $ | (7 | ) | $ | 426 | $ | — | — | $ | 175 | $ | — | |||||||||||||||||
Goldman Sachs Access Investment Grade Corporate Bond ETF | — | 28,579 | (3,002 | ) | 128 | 1,729 | 27,434 | 521 | 656 | — | ||||||||||||||||||||||||||
Goldman Sachs ActiveBeta Emerging Markets Equity ETF | 35,887 | — | (37,520 | ) | 911 | 722 | — | — | 212 | — | ||||||||||||||||||||||||||
Goldman Sachs ActiveBeta International Equity ETF | 43,181 | — | (47,671 | ) | (3,626 | ) | 8,116 | — | — | 203 | — | |||||||||||||||||||||||||
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | 61,147 | 169,291 | (55,730 | ) | 2,495 | 37,246 | 214,449 | 3,316 | 3,338 | — | ||||||||||||||||||||||||||
Goldman Sachs Alternative Premia Fund | 9,368 | — | (3,501 | ) | (1,389 | ) | 1,443 | 5,921 | 725 | — | — | |||||||||||||||||||||||||
Goldman Sachs Dynamic Global Equity Fund | — | 220,228 | (39,250 | ) | 1,566 | 11,625 | 194,169 | 9,932 | 3,323 | 7,905 | ||||||||||||||||||||||||||
Goldman Sachs Emerging Markets Debt Fund | 15,408 | 7,401 | (2,579 | ) | (74 | ) | 1,735 | 21,891 | 1,763 | 821 | — | |||||||||||||||||||||||||
84
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
| Growth Strategy Portfolio (continued) |
| |||||||||||||||||||||||||||||||||||
| Underlying Funds | Market Value | Purchases at Cost* | Proceeds from Sales | Net Realized | Change in Unrealized Gain (Loss) | Market Value | Shares as of 12/31/2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
Goldman Sachs Emerging Markets Equity Insights Fund | $ | 101,548 | $ | 986 | $ | (61,001 | ) | $ | (3,416 | ) | $ | 12,718 | $ | 50,835 | 5,182 | $ | 986 | $ | — | |||||||||||||||||
Goldman Sachs Global Infrastructure Fund | 20,427 | 399 | (10,015 | ) | 699 | 4,357 | 15,867 | 1,272 | 385 | — | ||||||||||||||||||||||||||
Goldman Sachs Global Real Estate Securities Fund | 54,001 | 1,329 | (46,563 | ) | 2,860 | 3,743 | 15,370 | 1,383 | 873 | 392 | ||||||||||||||||||||||||||
Goldman Sachs High Yield Fund | 5,997 | 1,728 | (1,000 | ) | (22 | ) | 607 | 7,310 | 1,123 | 427 | — | |||||||||||||||||||||||||
Goldman Sachs International Equity Insights Fund | 93,371 | 27,406 | (49,650 | ) | (3,347 | ) | 16,277 | 84,057 | 6,476 | 2,106 | — | |||||||||||||||||||||||||
Goldman Sachs International Small Cap Insights Fund | 23,977 | 3,456 | (17,000 | ) | (1,214 | ) | 4,378 | 13,597 | 1,134 | 456 | — | |||||||||||||||||||||||||
Goldman Sachs Large Cap Growth Insights Fund | 53,918 | — | (62,041 | ) | 5,204 | 2,919 | — | — | — | — | ||||||||||||||||||||||||||
Goldman Sachs Large Cap Value Insights Fund | 53,247 | 2,574 | (60,925 | ) | 5,650 | (546 | ) | — | — | 274 | — | |||||||||||||||||||||||||
Goldman Sachs Local Emerging Markets Debt Fund | 6,569 | 1,255 | — | — | 691 | 8,515 | 1,405 | 255 | — | |||||||||||||||||||||||||||
Goldman Sachs Managed Futures Strategy Fund | 9,411 | 4,824 | (1,500 | ) | 45 | (496 | ) | 12,284 | 1,245 | 738 | 86 | |||||||||||||||||||||||||
Goldman Sachs Small Cap Equity Insights Fund | 39,242 | — | (44,424 | ) | 1,951 | 3,231 | — | — | — | — | ||||||||||||||||||||||||||
Goldman Sachs Tactical Exposure Fund | 59,463 | — | (61,303 | ) | (3,824 | ) | 5,664 | — | — | — | — | |||||||||||||||||||||||||
Goldman Sachs Tactical Tilt Overlay Fund | — | 23,245 | (2,000 | ) | (2 | ) | (321 | ) | 20,922 | 2,168 | 245 | — | ||||||||||||||||||||||||
Total | $ | 693,755 | $ | 492,701 | $ | (614,687 | ) | $ | 4,588 | $ | 116,264 | $ | 692,621 | $ | 15,473 | $ | 8,383 | |||||||||||||||||||
| Satellite Strategies Portfolio |
| |||||||||||||||||||||||||||||||||||
| Underlying Funds | Market Value as of 12/31/2018 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Market Value as of 12/31/2019 | Shares as of 12/31/2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
Goldman Sachs ActiveBeta Emerging Markets Equity ETF | $ | 17,132 | $ | — | $ | (4,624 | ) | $ | 252 | $ | 1,940 | $ | 14,700 | 428 | $ | 506 | $ | — | ||||||||||||||||||
Goldman Sachs Emerging Markets Debt Fund | 69,814 | 2,598 | (21,595 | ) | (1,073 | ) | 7,371 | 57,115 | 4,599 | 2,503 | — | |||||||||||||||||||||||||
Goldman Sachs Emerging Markets Equity Fund | 18,894 | 173 | (7,901 | ) | 2,120 | 1,859 | 15,145 | 652 | 173 | — | ||||||||||||||||||||||||||
85
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements(continued)
December 31, 2019
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
| Satellite Strategies Portfolio (continued) |
| |||||||||||||||||||||||||||||||||||
| Underlying Funds | Market Value as of 12/31/2018 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Market Value as of 12/31/2019 | Shares as of 12/31/2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
Goldman Sachs Emerging Markets Equity Insights Fund | $ | 29,821 | $ | 3,987 | $ | (13,452 | ) | $ | (1,029 | ) | $ | 4,199 | $ | 23,526 | 2,398 | $ | 486 | $ | — | |||||||||||||||||
Goldman Sachs Global Infrastructure Fund | 54,718 | 1,102 | (23,614 | ) | 1,599 | 12,088 | 45,893 | 3,680 | 1,088 | — | ||||||||||||||||||||||||||
Goldman Sachs Global Real Estate Securities Fund | 70,734 | 4,680 | (27,585 | ) | 2,292 | 7,480 | 57,601 | 5,185 | 3,178 | 1,468 | ||||||||||||||||||||||||||
Goldman Sachs High Yield Floating Rate Fund | 24,447 | 1,207 | (6,257 | ) | (199 | ) | 1,073 | 20,271 | 2,143 | 1,199 | — | |||||||||||||||||||||||||
Goldman Sachs High Yield Fund | 46,861 | 2,516 | (15,371 | ) | 222 | 3,763 | 37,991 | 5,836 | 2,495 | — | ||||||||||||||||||||||||||
Goldman Sachs International Small Cap Insights Fund | 48,916 | 1,211 | (21,400 | ) | 3,158 | 4,253 | 36,138 | 3,014 | 1,211 | — | ||||||||||||||||||||||||||
Goldman Sachs Local Emerging Markets Debt Fund | 20,840 | 669 | (5,771 | ) | (266 | ) | 2,038 | 17,510 | 2,889 | 598 | — | |||||||||||||||||||||||||
Goldman Sachs MLP Energy Infrastructure Fund | — | 4,014 | — | — | (364 | ) | 3,650 | 623 | 14 | — | ||||||||||||||||||||||||||
Total | $ | 402,177 | $ | 22,157 | $ | (147,570 | ) | $ | 7,076 | $ | 45,700 | $ | 329,540 | $ | 13,451 | $ | 1,468 | |||||||||||||||||||
The table below shows the transactions in and earnings from investments in the Goldman Sachs Financial Square Government Fund for the fiscal year ended December 31, 2019 (in thousands):
| Fund | Beginning Value as of 12/31/18 | Purchases at cost | Proceeds from sales | Ending Value as of | Shares as of 12/31/19 | Dividend Income from Affiliated Investment Companies | ||||||||||||||||
Balanced Strategy Portfolio | $35,521 | $ | 130,304 | $ | (143,716 | ) | $ | 22,109 | 22,109 | $ | 348 | |||||||||||
Growth and Income Strategy Portfolio | 62,091 | 194,171 | (225,709 | ) | 30,553 | 30,553 | 619 | |||||||||||||||
Growth Strategy Portfolio | 42,035 | 237,283 | (266,117 | ) | 13,201 | 13,201 | 505 | |||||||||||||||
Satellite Strategies Portfolio | — | 12,257 | (12,257 | ) | — | — | 3 | |||||||||||||||
86
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
| 6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended December 31, 2019, were:
| Portfolio | Purchases | Sales | ||||||||
Balanced Strategy | $ | 276,183,037 | $ | 259,815,051 | ||||||
Growth and Income Strategy | 513,476,251 | 548,003,911 | ||||||||
Growth Strategy | 506,963,171 | 640,653,013 | ||||||||
Satellite Strategy | 22,793,556 | 147,324,482 | ||||||||
| 7. TAX INFORMATION |
The tax character of distributions paid during the fiscal year ended December 31, 2019 was as follows:
| Balanced Strategy | Growth and Income Strategy | Growth Strategy | Satellite Strategies | |||||||||||||
Distribution paid from: | ||||||||||||||||
Ordinary income | $ | 12,190,966 | $ | 19,460,868 | $ | 14,800,341 | $ | 12,587,137 | ||||||||
Net long-term capital gains | — | — | 12,251,754 | — | ||||||||||||
Total taxable distributions | $ | 12,190,966 | $ | 19,460,868 | $ | 27,052,095 | $ | 12,587,137 | ||||||||
The tax character of distributions paid during the fiscal year ended December 31, 2018 was as follows:
| Balanced Strategy | Growth and Income Strategy | Growth Strategy | Satellite Strategies | |||||||||||||
Distribution paid from: | ||||||||||||||||
Ordinary income | $ | 13,022,236 | $ | 24,175,740 | $ | 20,304,259 | $ | 14,828,656 | ||||||||
Net long-term capital gains | 7,197,331 | — | — | — | ||||||||||||
Total taxable distributions | $ | 20,219,567 | $ | 24,175,740 | $ | 20,304,259 | $ | 14,828,656 | ||||||||
As of December 31, 2019, the components of accumulated earnings (losses) on a tax basis were as follows:
| Balanced Strategy | Growth and Income Strategy | Growth Strategy | Satellite Strategies | |||||||||||||
Undistributed ordinary income — net | $ | 373,934 | $ | 1,104,130 | $ | 2,168,519 | $ | 148,443 | ||||||||
Undistributed long-term capital gains | — | 8,155,705 | 7,751,086 | — | ||||||||||||
Total undistributed earnings | $ | 373,934 | $ | 9,259,835 | $ | 9,919,605 | $ | 148,443 | ||||||||
Capital loss carryforwards: | ||||||||||||||||
Perpetual Short-Term | $ | (1,152,241 | ) | $ | — | $ | — | $ | (332,591 | ) | ||||||
Perpetual Long-Term | (2,915,126 | ) | — | — | (35,652,262 | ) | ||||||||||
Total capital loss carryforwards | $ | (4,067,367 | ) | $ | — | $ | — | $ | (35,984,853 | ) | ||||||
Timing differences (Qualified Late Year Ordinary Loss Deferral) | $ | — | $ | (95,915 | ) | $ | — | $ | — | |||||||
Unrealized gains (losses) — net | 15,899,753 | 50,090,765 | 59,282,662 | 39,877,113 | ||||||||||||
Total accumulated earnings (losses) net | $ | 12,206,320 | $ | 59,254,685 | $ | 69,202,267 | $ | 4,040,703 | ||||||||
87
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements(continued)
December 31, 2019
| 7. TAX INFORMATION (continued) |
As of December 31, 2019, the Portfolios’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| Balanced Strategy | Growth and Income Strategy | Growth Strategy | Satellite Strategies | |||||||||||||
Tax Cost | $ | 491,450,542 | $ | 842,901,726 | $ | 651,496,943 | $ | 289,663,806 | ||||||||
Gross unrealized gain | 22,619,203 | 57,868,976 | 64,412,242 | 40,934,389 | ||||||||||||
Gross unrealized loss | (6,719,450 | ) | (7,778,212 | ) | (5,129,580 | ) | (1,057,276 | ) | ||||||||
Net unrealized gains (losses) on securities | $ | 15,899,753 | $ | 50,090,764 | $ | 59,282,662 | $ | 39,877,113 | ||||||||
The difference between GAAP-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains (losses) on regulated futures contracts, options contracts, and foreign currency 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), confiscation of assets and property, 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 Risk— 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.
88
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
| 8. OTHER RISKS (continued) |
Large Shareholder Transactions Risk— A Portfolio may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use ofnon-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include a Portfolio in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Portfolio. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may cause a Portfolio to sell portfolio securities at times when it would not otherwise do so, which may negatively impact the Portfolio’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains and may also increase transaction costs. In addition, a large redemption could result in a Portfolio’s current expenses being allocated over a smaller asset base, leading to an increase in the Portfolio’s expense ratio. Similarly, large Portfolio share purchases may adversely affect a Portfolio’s performance to the extent that the Portfolio is delayed in investing new cash or otherwise maintains 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 or without significant dilution to remaining investors’ interests 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. If a Portfolio is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Portfolio’s NAV and dilute remaining investors’ interests. 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. These risks may be more pronounced in connection with a Portfolio’s investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on a Portfolio’s liquidity.
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 Portfolios’ 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. OTHER MATTERS |
On November 5, 2019, a definitive proxy statement (“proxy”) was filed with the SEC to elect certain Trustees to the Trust. The Portfolios’ will bear their respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse the Portfolios’ to the extent such expenses exceed a specified percentage of the Portfolios’ net assets.
| 11. SUBSEQUENT EVENTS |
Subsequent events after the Statements of Assets and Liabilities date other than above have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
89
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements(continued)
December 31, 2019
| 11. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| Balanced Strategy Portfolio | ||||||||||||||||
|
| |||||||||||||||
| For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||||
|
| |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
| Class A Shares | ||||||||||||||||
Shares sold | 720,412 | $ | 8,084,539 | 2,197,646 | $ | 24,589,063 | ||||||||||
Reinvestment of distributions | 188,113 | 2,156,891 | 386,939 | 4,120,526 | ||||||||||||
Shares redeemed | (2,067,475 | ) | (23,126,509 | ) | (2,658,006 | ) | (29,846,449 | ) | ||||||||
| (1,158,950 | ) | (12,885,079 | ) | (73,421 | ) | (1,136,860 | ) | |||||||||
| Class C Shares | ||||||||||||||||
Shares sold | 291,999 | 3,239,647 | 240,462 | 2,684,993 | ||||||||||||
Reinvestment of distributions | 12,553 | 145,118 | 38,251 | 403,536 | ||||||||||||
Shares redeemed | (601,976 | ) | (6,736,873 | ) | (2,031,640 | ) | (22,933,030 | ) | ||||||||
| (297,424 | ) | (3,352,108 | ) | (1,752,927 | ) | (19,844,501 | ) | |||||||||
| Institutional Shares | ||||||||||||||||
Shares sold | 11,770,112 | 132,793,162 | 10,388,305 | 116,418,374 | ||||||||||||
Reinvestment of distributions | 728,452 | 8,337,980 | 1,203,725 | 12,872,471 | ||||||||||||
Shares redeemed | (10,627,432 | ) | (119,595,453 | ) | (13,926,817 | ) | (157,589,348 | ) | ||||||||
| 1,871,132 | 21,535,689 | (2,334,787 | ) | (28,298,503 | ) | |||||||||||
| Service Shares | ||||||||||||||||
Shares sold | 2,484 | 28,072 | 2,645 | 29,937 | ||||||||||||
Reinvestment of distributions | 78 | 877 | 457 | 4,927 | ||||||||||||
Shares redeemed | (21,311 | ) | (247,236 | ) | (10,546 | ) | (121,653 | ) | ||||||||
| (18,749 | ) | (218,287 | ) | (7,444 | ) | (86,789 | ) | |||||||||
| Investor Shares | ||||||||||||||||
Shares sold | 124,771 | 1,376,411 | 65,196 | 741,730 | ||||||||||||
Reinvestment of distributions | 7,468 | 85,266 | 12,756 | 135,812 | ||||||||||||
Shares redeemed | (101,853 | ) | (1,128,425 | ) | (138,062 | ) | (1,547,523 | ) | ||||||||
| 30,386 | 333,252 | (60,110 | ) | (669,981 | ) | |||||||||||
| Class P Shares(a) | ||||||||||||||||
Shares sold | 428,129 | 4,796,352 | 5,193,575 | 59,522,441 | ||||||||||||
Reinvestment of distributions | 92,975 | 1,064,548 | 180,681 | 1,925,367 | ||||||||||||
Shares redeemed | (1,077,395 | ) | (11,920,962 | ) | (1,200,009 | ) | (13,432,058 | ) | ||||||||
| (556,291 | ) | (6,060,062 | ) | 4,174,247 | 48,015,750 | |||||||||||
| Class R Shares | ||||||||||||||||
Shares sold | 143,196 | 1,618,112 | 87,308 | 984,981 | ||||||||||||
Reinvestment of distributions | 16,532 | 189,329 | 30,836 | 326,107 | ||||||||||||
Shares redeemed | (97,257 | ) | (1,079,005 | ) | (47,212 | ) | (528,555 | ) | ||||||||
| 62,471 | 728,436 | 70,932 | 782,533 | |||||||||||||
| Class R6 Shares | ||||||||||||||||
Shares sold | 20,708 | 232,723 | 174,015 | 1,884,820 | ||||||||||||
Reinvestment of distributions | 1,533 | 17,498 | 3,250 | 34,518 | ||||||||||||
Shares redeemed | (94,095 | ) | (1,064,834 | ) | (1,401 | ) | (14,871 | ) | ||||||||
| (71,854 | ) | (814,613 | ) | 175,864 | 1,904,467 | |||||||||||
NET INCREASE (DECREASE) | (139,279 | ) | $ | (732,772 | ) | 192,354 | $ | 666,116 | ||||||||
| (a) Class | P Shares commenced operations on April 17, 2018. |
90
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
| 11. SUMMARY OF SHARE TRANSACTIONS (continued) |
| Growth and Income Strategy Portfolio | ||||||||||||||||
|
| |||||||||||||||
| For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||||
|
| |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
| Class A Shares | ||||||||||||||||
Shares sold | 1,367,510 | $ | 18,597,841 | 5,497,598 | $ | 74,809,186 | ||||||||||
Reinvestment of distributions | 369,519 | 5,184,092 | 522,904 | 6,573,710 | ||||||||||||
Shares redeemed | (3,875,566 | ) | (52,374,920 | ) | (5,661,411 | ) | (76,161,885 | ) | ||||||||
| (2,138,537 | ) | (28,592,987 | ) | 359,091 | 5,221,011 | |||||||||||
| Class C Shares | ||||||||||||||||
Shares sold | 107,114 | 1,401,165 | 250,795 | 3,323,057 | ||||||||||||
Reinvestment of distributions | 17,463 | 241,288 | 39,846 | 480,829 | ||||||||||||
Shares redeemed | (1,016,333 | ) | (13,419,730 | ) | (5,005,325 | ) | (66,486,344 | ) | ||||||||
| (891,756 | ) | (11,777,277 | ) | (4,714,684 | ) | (62,682,458 | ) | |||||||||
| Institutional Shares | ||||||||||||||||
Shares sold | 5,845,803 | 80,012,769 | 7,467,092 | 100,009,197 | ||||||||||||
Reinvestment of distributions | 596,185 | 8,355,297 | 868,511 | 11,056,181 | ||||||||||||
Shares redeemed | (9,747,842 | ) | (131,722,848 | ) | (20,518,480 | ) | (279,936,927 | ) | ||||||||
| (3,305,854 | ) | (43,354,782 | ) | (12,182,877 | ) | (168,871,549 | ) | |||||||||
| Service Shares | ||||||||||||||||
Shares sold | 24,032 | 321,649 | 5,243 | 70,792 | ||||||||||||
Reinvestment of distributions | 632 | 8,811 | 1,372 | 17,189 | ||||||||||||
Shares redeemed | (46,787 | ) | (628,661 | ) | (27,194 | ) | (363,601 | ) | ||||||||
| (22,123 | ) | (298,201 | ) | (20,579 | ) | (275,620 | ) | |||||||||
| Investor Shares | ||||||||||||||||
Shares sold | 84,749 | 1,148,945 | 446,230 | 6,143,506 | ||||||||||||
Reinvestment of distributions | 12,001 | 167,174 | 17,862 | 225,243 | ||||||||||||
Shares redeemed | (160,130 | ) | (2,145,873 | ) | (387,301 | ) | (5,243,481 | ) | ||||||||
| (63,380 | ) | (829,754 | ) | 76,791 | 1,125,268 | |||||||||||
| Class P Shares(a) | ||||||||||||||||
Shares sold | 1,425,194 | 19,527,520 | 16,192,301 | 220,431,246 | ||||||||||||
Reinvestment of distributions | 343,656 | 4,818,065 | 392,635 | 4,938,925 | ||||||||||||
Shares redeemed | (1,949,585 | ) | (26,121,468 | ) | (1,528,471 | ) | (20,322,519 | ) | ||||||||
| (180,735 | ) | (1,775,883 | ) | 15,056,465 | 205,047,652 | |||||||||||
| Class R Shares | ||||||||||||||||
Shares sold | 46,601 | 626,164 | 53,422 | 720,704 | ||||||||||||
Reinvestment of distributions | 5,831 | 81,506 | 7,663 | 95,113 | ||||||||||||
Shares redeemed | (49,112 | ) | (663,201 | ) | (108,804 | ) | (1,466,415 | ) | ||||||||
| 3,320 | 44,469 | (47,719 | ) | (650,598 | ) | |||||||||||
| Class R6 Shares | ||||||||||||||||
Shares sold | 85,321 | 1,165,880 | 693,914 | 9,197,718 | ||||||||||||
Reinvestment of distributions | 2,000 | 27,662 | 4,727 | 60,598 | ||||||||||||
Shares redeemed | (161,921 | ) | (2,268,818 | ) | (189,580 | ) | (2,476,595 | ) | ||||||||
| (74,600 | ) | (1,075,276 | ) | 509,061 | 6,781,721 | |||||||||||
NET DECREASE | (6,673,665 | ) | $ | (87,659,691 | ) | (964,451 | ) | $ | (14,304,573 | ) | ||||||
(a) Class P Shares commenced operations on April 17, 2018.
91
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements(continued)
December 31, 2019
| 11. SUMMARY OF SHARE TRANSACTIONS (continued) |
| Growth Strategy Portfolio | ||||||||||||||||
|
| |||||||||||||||
| For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||||
|
| |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
| Class A Shares | ||||||||||||||||
Shares sold | 1,339,118 | $ | 20,739,326 | 5,457,108 | $ | 85,119,791 | ||||||||||
Reinvestment of distributions | 699,217 | 11,263,551 | 536,108 | 7,328,587 | ||||||||||||
Shares redeemed | (3,587,777 | ) | (55,281,237 | ) | (3,501,964 | ) | (54,176,334 | ) | ||||||||
| (1,549,442 | ) | (23,278,360 | ) | 2,491,252 | 38,272,044 | |||||||||||
| Class C Shares | ||||||||||||||||
Shares sold | 150,548 | 2,369,068 | 315,405 | 4,927,115 | ||||||||||||
Reinvestment of distributions | 44,950 | 733,288 | — | — | ||||||||||||
Shares redeemed | (1,002,930 | ) | (15,686,944 | ) | (5,749,609 | ) | (89,435,265 | ) | ||||||||
| (807,432 | ) | (12,584,588 | ) | (5,434,204 | ) | (84,508,150 | ) | |||||||||
| Institutional Shares | ||||||||||||||||
Shares sold | 4,018,348 | 61,424,101 | 4,218,160 | 65,347,505 | ||||||||||||
Reinvestment of distributions | 366,171 | 5,901,749 | 539,651 | 7,366,237 | ||||||||||||
Shares redeemed | (13,339,123 | ) | (205,096,568 | ) | (15,525,679 | ) | (241,977,726 | ) | ||||||||
| (8,954,604 | ) | (137,770,718 | ) | (10,767,868 | ) | (169,263,984 | ) | |||||||||
| Service Shares | ||||||||||||||||
Shares sold | 10,952 | 172,500 | 4,603 | 71,617 | ||||||||||||
Reinvestment of distributions | 1,026 | 16,465 | 1,152 | 15,692 | ||||||||||||
Shares redeemed | (36,002 | ) | (543,627 | ) | (24,387 | ) | (388,577 | ) | ||||||||
| (24,024 | ) | (354,662 | ) | (18,632 | ) | (301,268 | ) | |||||||||
| Investor Shares | ||||||||||||||||
Shares sold | 137,054 | 2,090,719 | 468,179 | 7,354,070 | ||||||||||||
Reinvestment of distributions | 17,612 | 279,751 | 13,196 | 177,616 | ||||||||||||
Shares redeemed | (181,285 | ) | (2,758,238 | ) | (516,398 | ) | (7,976,243 | ) | ||||||||
| (26,619 | ) | (387,768 | ) | (35,023 | ) | (444,557 | ) | |||||||||
| Class P Shares(a) | ||||||||||||||||
Shares sold | 1,251,604 | 19,410,449 | 11,196,336 | 175,619,095 | ||||||||||||
Reinvestment of distributions | 450,679 | 7,266,420 | 323,998 | 4,422,574 | ||||||||||||
Shares redeemed | (1,186,413 | ) | (18,248,306 | ) | (672,254 | ) | (10,229,875 | ) | ||||||||
| 515,870 | 8,428,563 | 10,848,080 | 169,811,794 | |||||||||||||
| Class R Shares | ||||||||||||||||
Shares sold | 51,432 | 771,207 | 79,803 | 1,202,162 | ||||||||||||
Reinvestment of distributions | 13,862 | 216,889 | 10,012 | 133,255 | ||||||||||||
Shares redeemed | (68,026 | ) | (1,028,290 | ) | (91,115 | ) | (1,334,264 | ) | ||||||||
| (2,732 | ) | (40,194 | ) | (1,300 | ) | 1,153 | ||||||||||
| Class R6 Shares | ||||||||||||||||
Shares sold | 145,096 | 2,240,148 | 585,222 | 9,037,007 | ||||||||||||
Reinvestment of distributions | 13,012 | 209,737 | 9,875 | 134,789 | ||||||||||||
Shares redeemed | (172,108 | ) | (2,718,584 | ) | (174,788 | ) | (2,722,462 | ) | ||||||||
| (14,000 | ) | (268,699 | ) | 420,309 | 6,449,334 | |||||||||||
NET DECREASE | (10,862,983 | ) | $ | (166,256,426 | ) | (2,497,386 | ) | $ | (39,983,634 | ) | ||||||
| (a) Class | P Shares commenced operations on April 17, 2018. |
92
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
| 11. SUMMARY OF SHARE TRANSACTIONS (continued) |
| Satellite Strategies Portfolio | ||||||||||||||||
|
| |||||||||||||||
| For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||||
|
| |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
| Class A Shares | ||||||||||||||||
Shares sold | 1,507,125 | $ | 12,328,395 | 775,316 | $ | 6,211,520 | ||||||||||
Reinvestment of distributions | 173,175 | 1,436,743 | 136,536 | 1,070,446 | ||||||||||||
Shares redeemed | (1,464,894 | ) | (11,965,708 | ) | (1,858,316 | ) | (14,871,825 | ) | ||||||||
| 215,406 | 1,799,430 | (946,464 | ) | (7,589,859 | ) | |||||||||||
| Class C Shares | ||||||||||||||||
Shares sold | 74,124 | 578,919 | 108,732 | 860,438 | ||||||||||||
Reinvestment of distributions | 45,797 | 377,904 | 66,306 | 516,448 | ||||||||||||
Shares redeemed | (2,010,704 | ) | (16,335,390 | ) | (1,677,178 | ) | (13,397,814 | ) | ||||||||
| (1,890,783 | ) | (15,378,567 | ) | (1,502,140 | ) | (12,020,928 | ) | |||||||||
| Institutional Shares | ||||||||||||||||
Shares sold | 3,194,532 | 25,909,208 | 9,038,271 | 73,191,893 | ||||||||||||
Reinvestment of distributions | 789,925 | 6,524,160 | 1,072,443 | 8,450,493 | ||||||||||||
Shares redeemed | (16,333,971 | ) | (132,664,304 | ) | (32,559,328 | ) | (260,529,664 | ) | ||||||||
| (12,349,514 | ) | (100,230,936 | ) | (22,448,614 | ) | (178,887,278 | ) | |||||||||
| Service Shares | ||||||||||||||||
Shares sold | 1,322 | 10,699 | 2,000 | 16,157 | ||||||||||||
Reinvestment of distributions | 671 | 5,560 | 589 | 4,601 | ||||||||||||
Shares redeemed | (4,426 | ) | (35,455 | ) | (11,141 | ) | (88,919 | ) | ||||||||
| (2,433 | ) | (19,196 | ) | (8,552 | ) | (68,161 | ) | |||||||||
| Investor Shares | ||||||||||||||||
Shares sold | 755,285 | 6,188,404 | 693,460 | 5,638,032 | ||||||||||||
Reinvestment of distributions | 99,874 | 824,444 | 125,164 | 982,010 | ||||||||||||
Shares redeemed | (1,934,326 | ) | (15,679,254 | ) | (2,502,665 | ) | (20,029,009 | ) | ||||||||
| (1,079,167 | ) | (8,666,406 | ) | (1,684,041 | ) | (13,408,967 | ) | |||||||||
| Class P Shares(a) | ||||||||||||||||
Shares sold | 48,431 | 400,235 | 425,652 | 3,516,016 | ||||||||||||
Reinvestment of distributions | 15,719 | 130,251 | 10,075 | 77,948 | ||||||||||||
Shares redeemed | (16,903 | ) | (140,037 | ) | (41,981 | ) | (324,521 | ) | ||||||||
| 47,247 | 390,449 | 393,746 | 3,269,443 | |||||||||||||
| Class R Shares | ||||||||||||||||
Shares sold | 16,321 | 131,889 | 34,396 | 275,361 | ||||||||||||
Reinvestment of distributions | 3,467 | 28,645 | 5,838 | 45,567 | ||||||||||||
Shares redeemed | (150,500 | ) | (1,166,319 | ) | (88,613 | ) | (709,187 | ) | ||||||||
| (130,712 | ) | (1,005,785 | ) | (48,379 | ) | (388,259 | ) | |||||||||
| Class R6 Shares | ||||||||||||||||
Shares sold | 785,761 | 6,271,224 | 4,140,483 | 34,151,048 | ||||||||||||
Reinvestment of distributions | 158,070 | 1,307,247 | 133,463 | 1,043,879 | ||||||||||||
Shares redeemed | (1,477,935 | ) | (12,059,957 | ) | (3,073,250 | ) | (24,968,293 | ) | ||||||||
| (534,104 | ) | (4,481,486 | ) | 1,200,696 | 10,226,634 | |||||||||||
NET DECREASE | (15,724,060 | ) | $ | (127,592,497 | ) | (25,043,748 | ) | $ | (198,867,375 | ) | ||||||
| (a) Class | P Shares commenced operations on April 17, 2018. |
93
Report of Independent Registered Public
Accounting Firm
Tothe Board of Trustees of Goldman Sachs Trust and Shareholders of Goldman Sachs Balanced Strategy Portfolio, Goldman Sachs Growth and Income Strategy Portfolio, Goldman Sachs Growth Strategy Portfolio and Goldman Sachs Satellite Strategies Portfolio
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Goldman Sachs Balanced Strategy Portfolio, Goldman Sachs Growth and Income Strategy Portfolio, Goldman Sachs Growth Strategy Portfolio and Goldman Sachs Satellite Strategies Portfolio (four of the portfolios constituting Goldman Sachs Trust, hereafter collectively referred to as the “Portfolios”) as of December 31, 2019, the related statements of operations for the year ended December 31, 2019, the statements of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes,and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Portfolios as of December 31, 2019, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2019 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Portfolios’ management. Our responsibility is to express an opinion on the Portfolios’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolios in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 26, 2020
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
94
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Voting Results of Special Meeting of Shareholders (Unaudited)
A Special Meeting (the “Meeting”) of the Goldman Sachs Trust (“GST”) was held on January 23, 2020 to consider and act upon the proposals below. The Fund will amortize its respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse the Fund to the extent such expenses exceed a specified percentage of the Fund’s net assets.
At the Meeting, Dwight L. Bush, Kathryn A. Cassidy, Joaquin Delgado and Gregory G. Weaver were elected to the Trust’s Board of Trustees. In electing trustees, the Trust’s shareholders voted as follows:
Proposal 1. Election of Trustees | For | Against | Withheld | Broker Non-Votes | ||||||||||||
Dwight L. Bush | 94,278,961,728.065 | 0 | 349,026,343.365 | 0 | ||||||||||||
Kathryn A. Cassidy | 94,310,850,789.164 | 0 | 317,137,282.266 | 0 | ||||||||||||
Joaquin Delgado | 94,282,646,444.727 | 0 | 345,341,626.703 | 0 | ||||||||||||
Gregory G. Weaver | 94,306,589,873.348 | 0 | 321,398,198.082 | 0 | ||||||||||||
At the Meeting, the shareholders of the Goldman Sachs Large Cap Growth Insights Fund approved a change to the Fund’s sub-classification under the Act from “diversified” to “non-diversified”. The Trust’s shareholders voted as follows:
Proposal 2. To approve a change to the Fund’s sub-classification under | For | Against | Abstained | Broker Non-Votes | ||||||||||||
Large Cap Growth Insights Fund | 23,785,792.632 | 250,521.921 | 196,802.993 | 9,592,467.322 | ||||||||||||
95
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Portfolio Expenses — Six Month Period Ended December 31, 2019 (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, Service 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 July 1, 2019 through December 31, 2019, which represents a period of 184 days of a 365 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the 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 | Growth and Income Strategy Portfolio | Growth Strategy Portfolio | Satellite Strategies Portfolio | |||||||||||||||||||||||||||||||||||||||||||||
| Share Class | Beginning Account Value 7/1/19 | Ending Account Value 12/31/19 | Expenses Paid for the 6 months ended 12/31/19* | Beginning Account Value 7/1/19 | Ending Account Value 12/31/19 | Expenses Paid for the 6 months ended 12/31/19* | Beginning Account Value 7/1/19 | Ending Account Value 12/31/19 | Expenses Paid for the 6 months ended 12/31/19* | Beginning Account Value 7/1/19 | Ending Account Value 12/31/19 | Expenses Paid for the 6 months ended 12/31/19* | ||||||||||||||||||||||||||||||||||||
| Class A | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,045.60 | $ | 2.97 | $ | 1,000.00 | $ | 1,061.40 | $ | 3.00 | $ | 1,000.00 | $ | 1,073.80 | $ | 3.02 | $ | 1,000.00 | $ | 1,049.00 | $ | 2.89 | ||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,022.28 | + | 2.94 | 1,000.00 | 1,022.30 | + | 2.94 | 1,000.00 | 1,022.29 | + | 2.95 | 1,000.00 | 1,022.38 | + | 2.85 | ||||||||||||||||||||||||||||||||
| Class C | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,041.10 | 6.82 | 1,000.00 | 1,057.50 | 6.88 | 1,000.00 | 1,070.00 | 6.93 | 1,000.00 | 1,044.50 | 6.75 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,018.50 | + | 6.75 | 1,000.00 | 1,018.52 | + | 6.75 | 1,000.00 | 1,018.51 | + | 6.76 | 1,000.00 | 1,018.60 | + | 6.66 | ||||||||||||||||||||||||||||||||
| Institutional | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,047.60 | 1.01 | 1,000.00 | 1,063.20 | 1.02 | 1,000.00 | 1,076.90 | 1.04 | 1,000.00 | 1,051.20 | 0.93 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,024.20 | + | 1.00 | 1,000.00 | 1,024.21 | + | 1.00 | 1,000.00 | 1,024.21 | + | 1.01 | 1,000.00 | 1,024.30 | + | 0.92 | ||||||||||||||||||||||||||||||||
| Service | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,045.00 | 3.59 | 1,000.00 | 1,060.80 | 3.62 | 1,000.00 | 1,073.60 | 3.65 | 1,000.00 | 1,048.40 | 3.51 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,021.68 | + | 3.55 | 1,000.00 | 1,021.69 | + | 3.55 | 1,000.00 | 1,021.69 | + | 3.56 | 1,000.00 | 1,021.78 | + | 3.47 | ||||||||||||||||||||||||||||||||
| Investor | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,047.10 | 1.68 | 1,000.00 | 1,062.30 | 1.70 | 1,000.00 | 1,075.60 | 1.94 | 1,000.00 | 1,049.20 | 1.60 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.54 | + | 1.66 | 1,000.00 | 1,023.56 | + | 1.67 | 1,000.00 | 1,023.34 | + | 1.89 | 1,000.00 | 1,023.64 | + | 1.58 | ||||||||||||||||||||||||||||||||
| Class P | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,047.70 | 0.96 | 1,000.00 | 1,063.40 | 0.97 | 1,000.00 | 1,076.60 | 0.99 | 1,000.00 | 1,051.10 | 0.88 | ||||||||||||||||||||||||||||||||||||
Hypothethical 5% return | 1,000.00 | 1,024.25 | + | 0.95 | 1,000.00 | 1,024.26 | + | 0.95 | 1,000.00 | 1,024.26 | + | 0.96 | 1,000.00 | 1,024.35 | + | 0.87 | ||||||||||||||||||||||||||||||||
| Class R | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,043.70 | 4.26 | 1,000.00 | 1,059.80 | 4.29 | 1,000.00 | 1,072.90 | 3.84 | 1,000.00 | 1,047.80 | 4.18 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,021.02 | + | 4.21 | 1,000.00 | 1,021.04 | + | 4.21 | 1,000.00 | 1,021.50 | + | 3.74 | 1,000.00 | 1,021.12 | + | 4.13 | ||||||||||||||||||||||||||||||||
| Class R6 | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,047.70 | 0.96 | 1,000.00 | 1,063.30 | 0.97 | 1,000.00 | 1,076.60 | 0.99 | 1,000.00 | 1,051.20 | 0.88 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,024.25 | + | 0.95 | 1,000.00 | 1,024.26 | + | 0.95 | 1,000.00 | 1,024.25 | + | 0.96 | 1,000.00 | 1,024.35 | + | 0.87 | ||||||||||||||||||||||||||||||||
| * | 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 December 31, 2019. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: |
| + | Hypothetical expenses are based on each Portfolio’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
| Fund | Class A | Class C | Institutional | Service | Investor | Class P | Class R | Class R6 | ||||||||||||||||||||||||
Balanced Strategy | 0.58 | % | 1.33 | % | 0.20 | % | 0.70 | % | 0.33 | % | 0.19 | % | 0.83 | % | 0.19 | % | ||||||||||||||||
Growth and Income Strategy | 0.58 | 1.33 | 0.20 | 0.70 | 0.33 | 0.19 | 0.83 | 0.19 | ||||||||||||||||||||||||
Growth Strategy | 0.58 | 1.33 | 0.20 | 0.70 | 0.33 | 0.19 | 0.83 | 0.19 | ||||||||||||||||||||||||
Satellite Strategies | 0.56 | 1.31 | 0.18 | 0.68 | 0.31 | 0.17 | 0.81 | 0.17 | ||||||||||||||||||||||||
96
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Trustees and Officers (Unaudited)
Independent Trustees
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and Length of Time Served2 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
Jessica Palmer Age: 70 | Chair of the Board of Trustees | Since 2018 (Trustee since 2007) | Ms. Palmer is retired. She was formerly Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/ Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009).
Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||
Kathryn A. Cassidy Age: 65 | Trustee | Since 2015 | Ms. Cassidy is retired. Formerly, she was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||
Diana M. Daniels Age: 70 | Trustee | Since 2007 | Ms. Daniels is retired. Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is a Trustee Emeritus and serves as a Presidential Councillor of Cornell University (2013-Present); former Member of the Legal Advisory Board, New York Stock Exchange(2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006- 2007).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||
Roy W. Templin Age: 59 | Trustee | Since 2013 | Mr. Templin is retired. He is Director, Armstrong World Industries, Inc. (a designer and manufacturer of ceiling, wall and suspension system solutions) (2016-Present); and was formerly Chairman of the Board of Directors, Con-Way Incorporated (a transportation, logistics and supply chain management service company) (2014-2015); Executive Vice President and Chief Financial Officer, Whirlpool Corporation (an appliance manufacturer and marketer) (2004- 2012). Previously, Mr. Templin served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (June 2013-October 2013).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Armstrong World Industries, Inc. (a ceiling, wall and suspension systems solutions manufacturer) | |||||
Gregory G. Weaver Age: 68 | Trustee | Since 2015 | Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Verizon Communications Inc. | |||||
97
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Trustees and Officers (Unaudited) (continued)
Interested Trustee*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and Length of Time Served2 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
James A. McNamara Age: 57 | President and Trustee | Since 2007 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993- April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund.
| 165 | None | |||||
Advisory Board Members
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and Length of Time Served2 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Advisory | Other Directorships Held by Advisory | |||||
Dwight L. Bush Age: 62 | Advisory Board Member | Since 2019 | Ambassador Bush is President and CEO of D.L. Bush & Associates (a financial advisory and private investment firm) (2002–2014 and 2017-present); and was formerly U.S. Ambassador to the Kingdom of Morocco (2014-2017) and a Member of the Board of Directors of Santander Bank, N.A. (2018-2019).
Advisory Board Member — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||
Joaquin Delgado Age: 59 | Advisory Board Member | Since 2019 | Dr. Delgado is retired. He is Director, Hexion Inc. (a specialty chemical manufacturer) (2019-present); and Director, Stepan Company (a specialty chemical manufacturer) (2011-present); and was formerly Executive Vice President, Consumer Business Group of 3M Company (July 2016-July 2019); and Executive Vice President, Health Care Business Group of 3M Company (October 2012-July 2016).
Advisory Board Member — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Stepan Company (a specialty chemical manufacturer) | |||||
| * | Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. Mr. McNamara holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
| 1 | Each Trustee and Advisory Board Member may be contacted by writing to the Trustee or Advisory Board Member, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of December 31, 2019. |
| 2 | Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that (a) no Trustee shall hold office for more than 15 years and (b) a Trustee shall retire as of December 31st of the calendar year in which he or she reaches his or her 74th birthday, unless a waiver of such requirement shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. |
| 3 | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of December 31, 2019, Goldman Sachs Trust consisted of 89 portfolios; Goldman Sachs Variable Insurance Trust consisted of 13 portfolios; Goldman Sachs Trust II consisted of 19 portfolios (17 of which offered shares to the public); Goldman Sachs MLP Income Opportunities Fund, Goldman Sachs MLP and Energy Renaissance Fund, Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio; and Goldman Sachs ETF Trust consisted of 40 portfolios (21 of which offered shares to the public). |
| 4 | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Portfolios’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384. Additional information about the Advisory Board Members will be available in the Portfolios’ Statement of Additional Information dated April 30, 2020, which will be available from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
98
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | |||
James A. McNamara 200 West Street New York, NY 10282 Age: 57 | Trustee and President | Since 2007 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 42 | Secretary | Since 2012 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Associate General Counsel, Goldman Sachs (2012-Present); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006).
Secretary — Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Private Middle Market Credit II LLC; Goldman Sachs Middle Market Lending Corp.; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 51 | Treasurer, Principal Financial Officer and Principal Accounting Officer | Since 2017 (Treasurer and Principal Financial Officer since 2019) | Managing Director, Goldman Sachs (November 2015-Present) and Vice President — Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010-October 2015).
Treasurer, Principal Financial Officer and Principal Accounting Officer—Goldman Sachs Trust (previously Assistant Treasurer (2016)); Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs MLP Income Opportunities Fund (previously Assistant Treasurer (2017)); Goldman Sachs MLP and Energy Renaissance Fund (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
| * | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Portfolios’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
| 1 | Information is provided as of December 31, 2019. |
| 2 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
Goldman Sachs Fund of Funds Portfolios — Tax Information (Unaudited)
For the year ended December 31, 2019, 9.26%, 18.38%, 25.05% and 4.54% of the dividends paid from net investment company taxable income by the Balanced Strategy, Growth and Income Strategy, Growth Strategy and Satellite Strategies Portfolios, respectively, qualify for the dividends received deduction available to corporations.
For the 2019 tax year, each Portfolio has elected to pass through a credit for taxes paid to foreign jurisdictions. The total amount of income received by the Balanced Strategy, Growth and Income Strategy, Growth Strategy, and Satellite Strategies Portfolios from sources within foreign countries and possessions of the United States was $0.0421, $0.0801, $0.1236, and $0.0505 per share, respectively, all of which is attributable to qualified passive income. The percentage of net investment income dividends paid by the Balanced Strategy, Growth and Income Strategy, Growth Strategy, and Satellite Strategies Portfolios during the year from foreign sources was 11.83%, 20.01%, 28.71%, and 13.14%, respectively. The total amount of taxes paid by the Balanced Strategy, Growth and Income Strategy, Growth Strategy, and Satellite Strategies Portfolios to such countries was $0.0050, $0.0091, $0.0141, and $0.0064 per share, respectively.
For the year ended December 31, 2019, 25.77%, 45.80%, 64.85%, and 26.52% of the dividends paid from net investment company taxable income by the Balanced Strategy, Growth and Income Strategy, Growth Strategy, and Satellite Strategies Portfolios, respectively, qualify for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
Pursuant to Section 852 of the Internal Revenue Code, the Growth Strategy Portfolio designates $12,251,754, or, if different, the maximum amount allowable, as capital gain dividends paid during the fiscal year ended December 31, 2019.
99
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, theConsumer and Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.69 trillion in assets under supervision as of December 31, 2019, 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 |
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 |
| ∎ | Income Fund |
Municipal and Tax-Free
| ∎ | High Yield Municipal Fund |
| ∎ | Dynamic Municipal Income Fund |
| ∎ | Short Duration Tax-Free Fund |
| ∎ | Municipal Income Completion 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 |
Fixed Income Alternatives
| ∎ | Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ | Equity Income Fund |
| ∎ | Small Cap Growth 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 Fund |
| ∎ | 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 Fund |
| ∎ | International Equity ESG Fund |
| ∎ | China Equity Fund4 |
| ∎ | Emerging Markets Equity Fund |
| ∎ | Imprint Emerging Markets Opportunities Fund5 |
| ∎ | ESG Emerging Markets Equity Fund |
Alternative
| ∎ | Real Estate Securities Fund |
| ∎ | International Real Estate Securities Fund |
| ∎ | Commodity Strategy Fund |
| ∎ | Global Real Estate Securities Fund |
| ∎ | Alternative Premia Fund |
| ∎ | 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 |
| ∎ | Dynamic Global Equity Fund6 |
| ∎ | Satellite Strategies Portfolio |
| ∎ | Enhanced Dividend Global Equity Portfolio |
| ∎ | Tax-Advantaged Global Equity Portfolio |
| ∎ | Strategic Factor Allocation Fund |
| ∎ | Target Date Retirement Portfolio7 |
| ∎ | 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 |
| 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 of November 20, 2019, the Goldman Sachs Asia Equity Fund was renamed the Goldman Sachs China Equity Fund. |
| 5 | Effective after the close of business on August 30, 2019, the Goldman Sachs N-11 Equity Fund was renamed the Goldman Sachs Imprint Emerging Markets Opportunities Fund. |
| 6 | Effective after the close of business on February 28, 2019, the Goldman Sachs Equity Growth Strategy Portfolio was renamed the Goldman Sachs Dynamic Global Equity Fund. |
| 7 | Effective December 27, 2019, the Goldman Sachs Target Date 2020 Portfolio was renamed to the Goldman Sachs Target Date Retirement Portfolio. |
| 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 Dwight L. Bush* Kathryn A. Cassidy Diana M. Daniels Joaquin Delgado* James A. McNamara Roy W. Templin Gregory G. Weaver
*Effective as of January 23, 2020. | OFFICERS James A. McNamara,President Joseph F. DiMaria,Principal Financial Officer, Principal Accounting Officer and 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 atwww.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 will file portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be made available on the SEC’s web site at http://www.sec.gov. Portfolio holdings information 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 December 31, 2019 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).
© 2020 Goldman Sachs. All rights reserved. 192792-OTU-1141273 FFAR-20
Goldman Sachs Funds
| Annual Report | December 31, 2019 | |||
Global Infrastructure Fund | ||||
It is our intention that beginning on January 1, 2021, paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. At any time, you may elect to receive reports and certain communications from the Fund electronically by calling the applicable toll-free number below or by contacting your financial intermediary.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of the Fund directly with the Fund’s transfer agent, you can inform the transfer agent that you wish to receive paper copies of reports by calling toll-free 800-621-2550 for Institutional, Class R6 and Class P shareholders or 800-526-7384 for all other shareholders. If you hold shares of the Fund through a financial intermediary, please contact your financial intermediary to make this election. Your election to receive reports in paper will apply to all Goldman Sachs Funds held in your account if you invest through your financial intermediary or all Goldman Sachs Funds held with the Fund’s transfer agent if you invest directly with the transfer agent.
Goldman Sachs Global Infrastructure Fund
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| 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 12-month period ended December 31, 2019 (the “Reporting Period”).
| Q | How did the Fund perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, Class C, Institutional, Investor, Class P, Class R and Class R6 Shares generated average annual total returns, without sales charges, of 31.22%, 30.31%, 31.66%, 31.49%, 31.77%, 30.94% and 31.63%, respectively. These returns compare to the 28.69% average annual 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. |
| Q | What economic and market factors most influenced global infrastructure companies during the Reporting Period? |
| A | Global equities, including global infrastructure securities, posted double-digit gains during the Reporting Period, broadly rebounding from weakness in 2018. Market sentiment was influenced most during the Reporting Period by the accommodative stances of various central banks and by investor anticipation that trade war and Brexit negotiations would be resolved. (Brexit is the popular term for the U.K.’s path out of the European Union.) The global equity rally was driven by significant valuation gains even amid weak corporate earnings growth. |
| In the U.S., stocks experienced robust performance during the Reporting Period, with the S&P 500® Index reaching an all-time high near the end of December 2019. The Fed’s dovish pivot in January 2019 provided relief to U.S. equity investors. However, by May, the U.S.-China trade dispute put the market on recession watch. In July, Fed policymakers announced their first interest rate cuts since 2008 and continued what Fed Chair Jerome Powell called a “mid-cycle adjustment” in September and October, lowering the targeted federal funds rate by 25 basis points on each occasion. (A basis point is 1/100th of a percentage point.) |
| As for European equities, they generated their best annual performance since 2009, with the STOXX® Europe 600 Index hitting a four-year high early in November 2019 and then reaching a new high in late December. In September 2019, the European Central Bank (“ECB”) restarted its quantitative easing measures. The ECB’s multi-dimensional monetary stimulus package is aimed at addressing slowing Eurozone economic growth through deposit rate cuts and the reinstitution of asset purchases. In October, the European Union and the U.K. agreed to a “flextension” of the Article 50 process until January 2020 under which the U.K. would be able to leave the European Union earlier than the deadline if a withdrawal agreement was ratified by the European and British Parliaments in time. In mid-December, the Conservative party won a comfortable majority in the U.K. Parliamentary elections, clearing the way for the U.K. Prime Minister’s Brexit deal to be ratified before the Article 50 deadline expires on January 31, 2020. |
| Japanese equities suffered collateral damage from the stand-off between the U.S. and China, two of Japan’s largest trading partners. Japanese stocks were also sensitive to weaker global industrial demand during the Reporting Period. However, the Japanese equity market was supported by a recovering domestic economy, stronger capital spending and an improvement in domestic demand resilience. In October 2019, the U.S. and Japan signed a limited trade deal on agriculture and digital trade in an effort to achieve more fair and reciprocal trade, a deal that covers about $55 billion worth of commerce between the two economies. |
For the Reporting Period overall, the global infrastructure market, as measured by the Index, generated an average total return of 28.69%. Canada and Australia were the best performing markets, while Japan and Hong Kong posted the weakest, though still positive, returns. Among market sectors, all four recorded absolute gains. Communications |
1
PORTFOLIO RESULTS
| infrastructure, energy infrastructure and transportation infrastructure each outpaced the Index, while utilities lagged the Index during the Reporting Period.1 |
| Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | During the Reporting Period, the Fund benefited most from its underweight position versus the Index in the utilities sector. In addition, a modest overweight in the communications infrastructure sector, along with slight underweights in the transportation infrastructure and energy infrastructure sectors, added to relative returns. Given the Index rally, the Fund was hampered by its small cash position during the Reporting Period. |
| As for security selection, the Fund’s investments in the utilities sector contributed most positively. On the other hand, security selection in the energy infrastructure sector had a modestly negative impact on relative returns. Among countries, selection in the U.S. added significantly to the Fund’s relative performance. An underweight versus the Index in Spain also bolstered results. Conversely, the Fund was hurt by its overweight in Italy, though this was offset somewhat by effective security selection in the country. Exposure to Canada detracted from the Fund’s relative performance during the Reporting Period. |
| Q | What individual holdings added most to the Fund’s relative performance during the Reporting Period? |
| A | CenterPoint Energy, InterXion Holding and CyrusOne were leading positive contributors to the Fund’s relative returns during the Reporting Period. |
| CenterPoint Energy, a U.S. power generator and distributor, was the top contributor to the Fund’s relative performance during the Reporting Period. The company was involved in a rate case in Texas, which created uncertainty about its earnings outlook and the potential need for an equity offering to improve its balance sheet. CenterPoint Energy posted negative absolute returns during the Reporting Period overall, but the position added to relative performance because the Fund first bought the stock in December 2019 when the rate case was decided in the company’s favor. The company also appeared attractive in December 2019 because of the company’s exposure to Texas’ strong job and population growth. |
| InterXion Holding, a European data center company, performed well compared to U.S. data center companies due to faster demand growth and relatively less supply in Europe, which is a less mature data center market. We believe other investors viewed InterXion Holding as a likely merger or acquisition candidate because of the company’s relatively small size and favorable market exposure. Toward the end of 2019, Digital Realty Trust announced it was acquiring InterXion Holding in an all-stock deal. We exited the Fund’s position after the announcement, as the stock outperformed and because future performance would be linked to that of Digital Realty Trust given the all-stock nature of the transaction. |
| CyrusOne is an owner and operator of enterprise-class and carrier-neutral data center properties in the U.S. During the third quarter of 2019, investors reacted positively to news of its possible acquisition by one of several suitors, including global investment firm KKR & Co. In our view, CyrusOne is an attractive acquisition candidate due to its strong Fortune 1000 customer base and high quality assets. At the end of the Reporting Period, we believed the strength of CyrusOne’s sales force and customer penetration remained meaningful competitive advantages. Furthermore, in our view, the company may continue to benefit from favorable long-term trends in the data storage space. At the end of the Reporting Period, we sold the Fund’s position in the stock, capturing profits, and reallocated the capital to what we considered to be other attractive opportunities. |
| 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 Cheniere Energy, Cellnex Telecom and Kinder Morgan. |
| Cheniere Energy, a U.S. exporter of liquefied natural gas, detracted most from the Fund’s relative performance. Despite the company’s contracted fee-based business, investors remained concerned about depressed spot liquid natural gas prices due to softer demand. At the end of the Reporting Period, we had a favorable view of its management’s commitment to project execution, growth and highly visible cash flows, given that the majority of the company’s capacity is concentrated in long-term take-or-pay agreements with investment grade-rated counterparts. (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.) |
| 1 | Sector and subsector allocations are defined by GSAM and may differ from sector allocations used by the Index. |
2
PORTFOLIO RESULTS
| Cellnex Telecom is a telecommunications infrastructure company based in Spain. Its shares rose during October 2019, the month in which the Fund initiated a position in the stock. As a result, the Fund did not share in all of its gains. Its stock rallied after the company announced it would acquire Arqiva’s telecommunications business. Once the deal is complete, Cellnex Telecom will be the largest tower company in the U.K. and will own 53,000 managed sites across its European towers portfolio. At the end of the Reporting Period, we held a positive view of Cellnex Telecom’s expanding footprint but remained cautious due to the company’s high level of debt. |
| In addition, the Fund was hurt by its underweight in Kinder Morgan, the largest energy infrastructure company in North America. Its shares appreciated during the Reporting Period in line with the broader crude oil market. Its stock also benefited when the company’s management reported what it saw as attractive growth opportunities and shared detailed plans about capital allocation. At the end of the Reporting Period, we maintained the Fund’s underweight position, favoring companies with what we viewed as stronger operating leverage to U.S. production growth. |
| Q | Were there any notable purchases or sales during the Reporting Period? |
| A | In addition to the purchases of CenterPoint Energy and Cellnex Telecom, mentioned earlier, the Fund established a position in Orsted, a renewable energy solutions company, during the Reporting Period. Demark-based Orsted is a global leader in offshore wind power, a market we expect may experience a double-digit compound annual growth rate. In our opinion, Orsted will benefit as the demand for renewable energy rises and the need to decarbonize the global energy supply mix increases. |
| Conversely, in addition to the sales of InterXion Holding and CyrusOne, already mentioned, we exited the Fund’s position in Pinnacle West Capital. The electric utility company’s exposure to Arizona, where the regulatory environment has become difficult, combined with a rate case in 2020, suggested to us there was risk to the company’s earnings. Accordingly, we decided to sell the Fund’s position and allocate the proceeds to companies with what we considered higher risk/reward potential. |
| We eliminated the Fund’s position in Enel, an Italy-based multinational energy company that engages in the distribution of electricity and gas, during the Reporting Period. The stock had performed well, and we found the fundamental investment case in other stocks more compelling. |
| 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’s exposure to the communications infrastructure sector increased from a relatively neutral position compared to the Index to a slight overweight, mainly because we added investments in telecommunications towers. In utilities, the Fund moved from a rather neutral position to an underweight position. Increased exposure to diversified utility companies was more than offset by decreased exposure to electric, gas and water utility companies. The Fund’s exposure to the transportation infrastructure sector decreased from a slight overweight relative to the Index to a rather neutral position, largely because we reduced exposure to airports. From a country perspective, compared to the Index, the Fund moved from overweight positions in the U.S. and Australia to rather neutral positions. We increased the Fund’s Italian investments and, as a result, the Fund became overweight Italy. As we increased investments in Hong Kong, the Fund shifted from an underweight in that country to a rather neutral position. We eliminated the Fund’s holdings in Japan 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 underweight relative to the Index in the utilities sector. It was rather neutral compared to the Index in the communications infrastructure, transportation infrastructure and energy infrastructure sectors. In geographic terms, the Fund was overweight Italy and France and had no exposure to Japan at the end of the Reporting Period. |
3
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 investor demand would shift toward defensive sectors as the economic cycle continues to age. Because of their concerns around slowing global economic growth, combined with rising interest rates, investors may seek more value-oriented sectors with predictable cash flows and attractive yields, in our view. We think the Fund is well positioned to capitalize on this rotation given the strong fundamentals of its holdings. We believe the financing environment for global infrastructure companies will likely continue to be accommodative, which is particularly important given the capital-intensive nature of these businesses. As we look ahead, we believe global central bank monetary policies and varying fundamentals at the subsector level may present compelling return opportunities for active managers. Overall, we believe global infrastructure securities may provide investors with possible diversification benefits given their attractive yields and lower volatility relative to the broader equity market and given their potential long-term growth potential, inflation hedging opportunities and interest rate resiliency when compared to bonds. Furthermore, we believe global infrastructure securities may offer attractive returns comprised of dividend yield and growth (without factoring in multiple expansion), with the potential for upside from mergers and acquisition activity, in the near term. |
(After the end of the Reporting Period, a novel coronavirus emerged in China, leading to increased volatility in the global equity market and also impacting tourism and discretionary consumption in China. Within the global infrastructure market, the transportation infrastructure sector has been most affected by reduced tourism and travel. While we believe the novel coronavirus outbreak could be a drag on Chinese economic growth in the near term, we expect the negative impact on growth, as well as on asset prices, to normalize later in 2020. Additionally, we believe increased global equity market volatility could create buying opportunities for selective investors, especially in sectors that seem to have sold off on fears about the outbreak.)
4
FUND BASICS
Global Infrastructure Fund
as of December 31, 2019
| TOP TEN HOLDINGS AS OF 12/31/191 | ||||||||||
| Holding | % of Net Assets | Line of Business | Country | |||||||
| American Tower Corp. | 9.5 | % | Equity Real Estate Investment Trusts (REITs) | United States | ||||||
| Enbridge, Inc. | 6.6 | Oil, Gas & Consumable Fuels | Canada | |||||||
| Vinci SA | 6.0 | Construction & Engineering | France | |||||||
| National Grid PLC | 5.8 | Multi-Utilities | United Kingdom | |||||||
| Crown Castle International Corp. | 5.7 | Equity Real Estate Investment Trusts (REITs) | United States | |||||||
| TC Energy Corp. | 5.5 | Oil, Gas & Consumable Fuels | Canada | |||||||
| Sempra Energy | 4.6 | Multi-Utilities | United States | |||||||
| Transurban Group | 3.6 | Transportation Infrastructure | Australia | |||||||
| American Water Works Co., Inc. | 3.2 | Water Utilities | United States | |||||||
| Williams Cos., Inc. (The) | 3.1 | Oil, Gas & Consumable Fuels | United States | |||||||
| 1 | The top 10 holdings may not be representative of the Fund’s future investments. |
| FUND VS. BENCHMARK SECTOR ALLOCATION2 | ||||
| As of December 31, 2019 | ||||
| 2 | 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. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
5
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Performance Summary
December 31, 2019
The following graph shows the value, as of December 31, 2019, of a $1,000,000 investment made on June 27, 2016 (commencement of operations) in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the Dow Jones Brookfield Global Infrastructure Index (Net, USD, Unhedged) (“the Index”) is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below 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 below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
| Global Infrastructure Fund’s Lifetime Performance |
Performance of a $1,000,000 investment, with distributions reinvested, from June 27, 2016 through December 31, 2019.
| Average Annual Total Return through December 31, 2019* | One Year | Since Inception | ||||
Class A (Commenced June 27, 2016) | ||||||
Excluding sales charges | 31.22% | 8.81% | ||||
Including sales charges | 24.05% | 7.08% | ||||
| ||||||
Class C (Commenced June 27, 2016) | ||||||
Excluding contingent deferred sales charges | 30.31% | 8.02% | ||||
Including contingent deferred sales charges | 29.29% | 8.02% | ||||
| ||||||
Institutional (Commenced June 27, 2016) | 31.66% | 9.24% | ||||
| ||||||
Investor Class (Commenced June 27, 2016) | 31.49% | 9.09% | ||||
| ||||||
Class P (Commenced April 17, 2018) | 31.77% | 13.40% | ||||
| ||||||
Class R (Commenced June 27, 2016) | 30.94% | 8.56% | ||||
| ||||||
Class R6 (Commenced June 27, 2016) | 31.63% | 9.24% | ||||
| ||||||
| * | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Investor, Class P, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
6
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Index Definitions
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.
STOXX® Europe 600 Index derived from the STOXX® Europe Total Market Index and is a subset of the STOXX® Global 1800 Index. With a fixed number of 600 components, the STOXX® Europe 600 Index represents large, mid and small capitalization companies across 17 countries of the European region.
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 unmanaged index.
7
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
December 31, 2019
| Shares | Description | Value | ||||||
| Common Stocks – 98.6% | ||||||||
| Australia – 4.2% | ||||||||
| 746,974 | Spark Infrastructure Group (Electric Utilities) | $ | 1,095,056 | |||||
| 685,263 | Transurban Group (Transportation Infrastructure) | 7,172,679 | ||||||
|
| |||||||
| 8,267,735 | ||||||||
|
| |||||||
| Canada – 16.2% | ||||||||
| 324,803 | Enbridge, Inc. (Oil, Gas & Consumable Fuels) | 12,914,080 | ||||||
| 103,294 | Fortis, Inc. (Electric Utilities) | 4,285,920 | ||||||
| 102,267 | Pembina Pipeline Corp. (Oil, Gas & Consumable Fuels) | 3,790,467 | ||||||
| 203,315 | TC Energy Corp. (Oil, Gas & Consumable Fuels) | 10,828,436 | ||||||
|
| |||||||
| 31,818,903 | ||||||||
|
| |||||||
| China – 3.5% | ||||||||
| 3,408,000 | Beijing Enterprises Water Group Ltd. (Water Utilities)* | 1,723,723 | ||||||
| 202,600 | China Gas Holdings Ltd. (Gas Utilities) | 758,578 | ||||||
| 9,404,000 | China Tower Corp. Ltd., Class H (Diversified Telecommunication Services)(a) | 2,077,627 | ||||||
| 212,900 | ENN Energy Holdings Ltd. (Gas Utilities) | 2,325,975 | ||||||
|
| |||||||
| 6,885,903 | ||||||||
|
| |||||||
| Denmark – 0.7% | ||||||||
| 13,469 | Orsted A/S (Electric Utilities)(a) | 1,393,028 | ||||||
|
| |||||||
| France – 7.4% | ||||||||
| 13,600 | Aeroports de Paris (Transportation Infrastructure) | 2,692,725 | ||||||
| 106,428 | Vinci SA (Construction & Engineering) | 11,853,325 | ||||||
|
| |||||||
| 14,546,050 | ||||||||
|
| |||||||
| Hong Kong – 2.1% | ||||||||
| 2,163,011 | Hong Kong & China Gas Co. Ltd. (Gas Utilities) | 4,226,241 | ||||||
|
| |||||||
| Italy – 4.9% | ||||||||
| 59,702 | Atlantia SpA (Transportation Infrastructure) | 1,393,386 | ||||||
| 431,391 | Enav SpA (Transportation Infrastructure)(a) | 2,574,313 | ||||||
| 240,554 | Infrastrutture Wireless Italiane SpA (Diversified Telecommunication Services)(a) | 2,355,621 | ||||||
| 497,383 | Terna Rete Elettrica Nazionale SpA (Electric Utilities) | 3,326,471 | ||||||
|
| |||||||
| 9,649,791 | ||||||||
|
| |||||||
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Spain – 4.2% | ||||||||
| 17,848 | Aena SME SA (Transportation Infrastructure)(a) | $ | 3,421,797 | |||||
| 21,862 | Cellnex Telecom SA (Diversified Telecommunication Services)*(a) | 943,036 | ||||||
| 127,241 | Ferrovial SA (Construction & Engineering) | 3,855,057 | ||||||
|
| |||||||
| 8,219,890 | ||||||||
|
| |||||||
| United Kingdom – 7.1% | ||||||||
| 919,063 | National Grid PLC (Multi-Utilities) | 11,485,761 | ||||||
| 72,546 | Severn Trent PLC (Water Utilities) | 2,416,791 | ||||||
|
| |||||||
| 13,902,552 | ||||||||
|
| |||||||
| United States – 48.3% | ||||||||
| 30,385 | Ameren Corp. (Multi-Utilities) | 2,333,568 | ||||||
| 81,348 | American Tower Corp. (Equity Real Estate Investment Trusts (REITs)) | 18,695,397 | ||||||
| 50,528 | American Water Works Co., Inc. (Water Utilities) | 6,207,365 | ||||||
| 43,225 | Atmos Energy Corp. (Gas Utilities) | 4,835,149 | ||||||
| 44,583 | CenterPoint Energy, Inc. (Multi-Utilities) | 1,215,778 | ||||||
| 85,831 | Cheniere Energy, Inc. (Oil, Gas & Consumable Fuels)* | 5,241,699 | ||||||
| 48,241 | CMS Energy Corp. (Multi-Utilities) | 3,031,464 | ||||||
| 39,779 | Consolidated Edison, Inc. (Multi-Utilities) | 3,598,806 | ||||||
| 79,524 | Crown Castle International Corp. (Equity Real Estate Investment Trusts (REITs)) | 11,304,337 | ||||||
| 48,375 | Edison International (Electric Utilities) | 3,647,959 | ||||||
| 42,983 | Eversource Energy (Electric Utilities) | 3,656,564 | ||||||
| 204,965 | Kinder Morgan, Inc. (Oil, Gas & Consumable Fuels) | 4,339,109 | ||||||
| 8,259 | NextEra Energy, Inc. (Electric Utilities) | 1,999,999 | ||||||
| 53,832 | ONEOK, Inc. (Oil, Gas & Consumable Fuels) | 4,073,467 | ||||||
| 15,601 | SBA Communications Corp. (Equity Real Estate Investment Trusts (REITs)) | 3,759,685 | ||||||
| 59,401 | Sempra Energy (Multi-Utilities) | 8,998,064 | ||||||
| 52,867 | Targa Resources Corp. (Oil, Gas & Consumable Fuels) | 2,158,560 | ||||||
| 254,717 | Williams Cos., Inc. (The) (Oil, Gas & Consumable Fuels) | 6,041,887 | ||||||
|
| |||||||
| 95,138,857 | ||||||||
|
| |||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $155,331,154) | $ | 194,048,950 | ||||||
|
| |||||||
| 8 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
| Shares | Description | Dividend Rate | Value | |||||||
| Investment Company – 1.0%(b) | ||||||||||
| 1,897,089 | Goldman Sachs Financial Square Government Fund – Institutional Shares | 1.638 | % | $ | 1,897,089 | |||||
| (Cost $1,897,089) |
| |||||||||
| ||||||||||
| TOTAL INVESTMENTS – 99.6% |
| |||||||||
| (Cost $157,228,243) |
| $ | 195,946,039 | |||||||
| ||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.4% |
| 939,892 | ||||||||
| ||||||||||
| NET ASSETS – 100.0% |
| $ | 196,885,931 | |||||||
| ||||||||||
| 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. | |
(b) | Represents an affiliated issuer. | |
| ||
Investment Abbreviations: | ||
PLC | —Public Limited Company | |
REIT | —Real Estate Investment Trust | |
| ||
| The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Statement of Assets and Liabilities
December 31, 2019
| ||||||
| Assets: |
| |||||
Investments in unaffiliated issuers, at value (cost $155,331,154) | $ | 194,048,950 | ||||
Investments in affiliated issuers, at value (cost $1,897,089) | 1,897,089 | |||||
Cash | 640,927 | |||||
Foreign currencies, at value (cost $16,124) | 16,207 | |||||
Receivables: | ||||||
Dividends | 672,937 | |||||
Foreign tax reclaims | 42,807 | |||||
Reimbursement from investment adviser | 25,005 | |||||
Other assets | 51,950 | |||||
| Total assets | 197,395,872 | |||||
| Liabilities: |
| |||||
Payables: | ||||||
Fund shares redeemed | 202,933 | |||||
Management fees | 147,858 | |||||
Distribution and Service fees and Transfer Agency fees | 7,764 | |||||
Accrued expenses | 151,386 | |||||
| Total liabilities | 509,941 | |||||
| Net Assets: |
| |||||
Paid-in capital | 165,189,566 | |||||
Total distributable earnings | 31,696,365 | |||||
| NET ASSETS | $ | 196,885,931 | ||||
Net Assets: | ||||||
Class A | $ | 781,929 | ||||
Class C | 2,607,418 | |||||
Institutional | 1,263,618 | |||||
Investor | 928,575 | |||||
Class P | 3,936,348 | |||||
Class R | 33,360 | |||||
Class R6 | 187,334,683 | |||||
Total Net Assets | $ | 196,885,931 | ||||
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | ||||||
Class A | 62,680 | |||||
Class C | 210,144 | |||||
Institutional | 101,079 | |||||
Investor | 74,479 | |||||
Class P | 315,752 | |||||
Class R | 2,674 | |||||
Class R6 | 15,017,174 | |||||
Net asset value, offering and redemption price per share(a) | ||||||
Class A | $12.47 | |||||
Class C | 12.41 | |||||
Institutional | 12.50 | |||||
Investor | 12.47 | |||||
Class P | 12.47 | |||||
Class R | 12.48 | |||||
Class R6 | 12.47 | |||||
| (a) | Maximum public offering price per share for Class A Shares is $13.20. 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. |
| 10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Statement of Operations
For the Fiscal Year Ended December 31, 2019
| ||||||
| Investment income: |
| |||||
Dividends — unaffiliated issuers (net of foreign withholding taxes of $310,761) | $ | 5,815,412 | ||||
Dividends — affiliated issuers | 37,930 | |||||
| Total investment income | 5,853,342 | |||||
| Expenses: |
| |||||
Management fees | 1,798,119 | |||||
Professional fees | 113,933 | |||||
Registration fees | 94,378 | |||||
Custody, accounting and administrative services | 79,463 | |||||
Transfer Agency fees(a) | 65,986 | |||||
Printing and mailing cost | 36,536 | |||||
Distribution and Service fees(a) | 25,730 | |||||
Trustee fees | 16,916 | |||||
Shareholder meeting expense | 5,184 | |||||
Other | 22,595 | |||||
| Total expenses | 2,258,840 | |||||
Less — expense reductions | (259,888 | ) | ||||
| Net expenses | 1,998,952 | |||||
| NET INVESTMENT INCOME | 3,854,390 | |||||
| Realized and unrealized gain (loss): |
| |||||
Net realized gain (loss) from: | ||||||
Investments — unaffiliated issuers | 4,790,965 | |||||
Foreign currency transactions | (9,571 | ) | ||||
Net change in unrealized gain on: | ||||||
Investments — unaffiliated issuers | 46,858,233 | |||||
Foreign currency translations | 8,476 | |||||
| Net realized and unrealized gain | 51,648,103 | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 55,502,493 | ||||
| (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 | Class R | Class R6 | |||||||||||||||||||||||||||||
| $ | 3,164 | $ | 22,414 | $ | 152 | $ | 2,224 | $ | 3,906 | $ | 380 | $ | 1,005 | $ | 890 | $ | 54 | $ | 57,527 | |||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Statements of Changes in Net Assets
| For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||
| From operations: |
| |||||||||
Net investment income | $ | 3,854,390 | $ | 4,381,926 | ||||||
Net realized gain (loss) | 4,781,394 | (8,741,573 | ) | |||||||
Net change in unrealized gain (loss) | 46,866,709 | (15,784,815 | ) | |||||||
| Net increase (decrease) in net assets resulting from operations | 55,502,493 | (20,144,462 | ) | |||||||
| Distributions to shareholders: |
| |||||||||
From distributable earnings: | ||||||||||
Class A Shares | (20,091 | ) | (20,304 | ) | ||||||
Class C Shares | (27,010 | ) | (14,805 | ) | ||||||
Institutional Shares | (20,186 | ) | (33,168 | ) | ||||||
Investor Shares | (12,761 | ) | (5,228 | ) | ||||||
Class P Shares(a) | (63,205 | ) | (69,243 | ) | ||||||
Class R Shares | (454 | ) | (357 | ) | ||||||
Class R6 Shares | (3,816,226 | ) | (4,232,791 | ) | ||||||
From return of capital: | ||||||||||
Class A Shares | (2,714 | ) | — | |||||||
Class C Shares | (3,648 | ) | — | |||||||
Institutional Shares | (2,727 | ) | — | |||||||
Investor Shares | (1,724 | ) | — | |||||||
Class P Shares(a) | (8,537 | ) | — | |||||||
Class R Shares | (61 | ) | — | |||||||
Class R6 Shares | (515,445 | ) | — | |||||||
| Total distributions to shareholders | (4,494,789 | ) | (4,375,896 | ) | ||||||
| From share transactions: |
| |||||||||
Proceeds from sales of shares | 20,968,802 | 270,954,734 | ||||||||
Reinvestment of distributions | 4,494,560 | 4,375,658 | ||||||||
Cost of shares redeemed | (69,969,887 | ) | (283,152,789 | ) | ||||||
| Net decrease in net assets resulting from share transactions | (44,506,525 | ) | (7,822,397 | ) | ||||||
| TOTAL INCREASE (DECREASE) | 6,501,179 | (32,342,755 | ) | |||||||
| Net assets: | ||||||||||
Beginning of year | 190,384,752 | 222,727,507 | ||||||||
End of year | $ | 196,885,931 | $ | 190,384,752 | ||||||
| (a) | Commenced operations on April 17, 2018. |
| 12 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Global Infrastructure Fund | ||||||||||||||||||
| Class A Shares | ||||||||||||||||||
| Year Ended December 31, | Period Ended December 31, 2016(a) | |||||||||||||||||
| 2019 | 2018 | 2017 | ||||||||||||||||
| Per Share Data |
| |||||||||||||||||
Net asset value, beginning of period | $ | 9.68 | $ | 10.85 | $ | 9.89 | $ | 10.00 | ||||||||||
Net investment income(b) | 0.18 | 0.19 | 0.22 | (c) | 0.06 | |||||||||||||
Net realized and unrealized gain (loss) | 2.83 | (1.19 | ) | 0.99 | 0.01 | |||||||||||||
Total from investment operations | 3.01 | (1.00 | ) | 1.21 | 0.07 | |||||||||||||
Distributions to shareholders from net investment income | (0.19 | ) | (0.17 | ) | (0.20 | ) | (0.05 | ) | ||||||||||
Distributions to shareholders from net realized gains | — | — | (0.05 | ) | (0.12 | ) | ||||||||||||
Distributions to shareholders from return of capital | (0.03 | ) | — | — | (d) | (0.01 | ) | |||||||||||
Total distributions | (0.22 | ) | (0.17 | ) | (0.25 | ) | (0.18 | ) | ||||||||||
Net asset value, end of period | $ | 12.47 | $ | 9.68 | $ | 10.85 | $ | 9.89 | ||||||||||
| Total Return(e) | 31.22 | % | (9.31 | )% | 12.29 | % | 0.69 | % | ||||||||||
Net assets, end of period (in 000’s) | $ | 782 | $ | 1,376 | $ | 40 | $ | 25 | ||||||||||
Ratio of net expenses to average net assets | 1.36 | % | 1.38 | % | 1.38 | % | 1.40 | %(f) | ||||||||||
Ratio of total expenses to average net assets | 1.51 | % | 1.51 | % | 6.20 | % | 15.63 | %(f) | ||||||||||
Ratio of net investment income to average net assets | 1.53 | % | 1.83 | % | 2.04 | %(c) | 1.19 | %(f) | ||||||||||
Portfolio turnover rate(g) | 39 | % | 67 | % | 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 (if any). 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. |
| (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. | 13 |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Global Infrastructure Fund | ||||||||||||||||||
| Class C Shares | ||||||||||||||||||
| Year Ended December 31, | Period Ended December 31, 2016(a) | |||||||||||||||||
| 2019 | 2018 | 2017 | ||||||||||||||||
| Per Share Data |
| |||||||||||||||||
Net asset value, beginning of period | $ | 9.65 | $ | 10.84 | $ | 9.88 | $ | 10.00 | ||||||||||
Net investment income(b) | 0.11 | 0.10 | 0.13 | (c) | 0.02 | |||||||||||||
Net realized and unrealized gain (loss) | 2.80 | (1.17 | ) | 1.00 | 0.01 | |||||||||||||
Total from investment operations | 2.91 | (1.07 | ) | 1.13 | 0.03 | |||||||||||||
Distributions to shareholders from net investment income | (0.13 | ) | (0.12 | ) | (0.14 | ) | (0.02 | ) | ||||||||||
Distributions to shareholders from net realized gains | — | — | (0.03 | ) | (0.12 | ) | ||||||||||||
Distributions to shareholders from return of capital | (0.02 | ) | — | — | (d) | (0.01 | ) | |||||||||||
Total distributions | (0.15 | ) | (0.12 | ) | (0.17 | ) | (0.15 | ) | ||||||||||
Net asset value, end of period | $ | 12.41 | $ | 9.65 | $ | 10.84 | $ | 9.88 | ||||||||||
| Total Return(e) | 30.31 | % | (9.96 | )% | 11.46 | % | 0.30 | % | ||||||||||
Net assets, end of period (in 000’s) | $ | 2,607 | $ | 1,383 | $ | 57 | $ | 51 | ||||||||||
Ratio of net expenses to average net assets | 2.11 | % | 2.13 | % | 2.14 | % | 2.14 | %(f) | ||||||||||
Ratio of total expenses to average net assets | 2.26 | % | 2.26 | % | 7.06 | % | 16.73 | %(f) | ||||||||||
Ratio of net investment income to average net assets | 1.01 | % | 1.00 | % | 1.24 | %(c) | 0.46 | %(f) | ||||||||||
Portfolio turnover rate(g) | 39 | % | 67 | % | 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 (if any). 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. |
| (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
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Global Infrastructure Fund | ||||||||||||||||||
| Institutional Shares | ||||||||||||||||||
| Year Ended December 31, | Period Ended December 31, 2016(a) | |||||||||||||||||
| 2019 | 2018 | 2017 | ||||||||||||||||
| Per Share Data |
| |||||||||||||||||
Net asset value, beginning of period | $ | 9.71 | $ | 10.85 | $ | 9.89 | $ | 10.00 | ||||||||||
Net investment income(b) | 0.19 | 0.06 | 0.29 | (c) | 0.08 | |||||||||||||
Net realized and unrealized gain (loss) | 2.87 | (1.02 | ) | 0.96 | 0.01 | |||||||||||||
Total from investment operations | 3.06 | (0.96 | ) | 1.25 | 0.09 | |||||||||||||
Distributions to shareholders from net investment income | (0.24 | ) | (0.18 | ) | (0.20 | ) | (0.07 | ) | ||||||||||
Distributions to shareholders from net realized gains | — | — | (0.08 | ) | (0.12 | ) | ||||||||||||
Distributions to shareholders from return of capital | (0.03 | ) | — | (0.01 | ) | (0.01 | ) | |||||||||||
Total distributions | (0.27 | ) | (0.18 | ) | (0.29 | ) | (0.20 | ) | ||||||||||
Net asset value, end of period | $ | 12.50 | $ | 9.71 | $ | 10.85 | $ | 9.89 | ||||||||||
| Total Return(d) | 31.66 | % | (8.89 | )% | 12.72 | % | 0.89 | % | ||||||||||
Net assets, end of period (in 000’s) | $ | 1,264 | $ | 1,737 | $ | 222,546 | $ | 2,906 | ||||||||||
Ratio of net expenses to average net assets | 1.00 | % | 0.99 | % | 0.99 | % | 0.99 | %(e) | ||||||||||
Ratio of total expenses to average net assets | 1.13 | % | 1.06 | % | 1.29 | % | 15.23 | %(e) | ||||||||||
Ratio of net investment income to average net assets | 1.70 | % | 0.54 | % | 2.65 | %(c) | 1.59 | %(e) | ||||||||||
Portfolio turnover rate(f) | 39 | % | 67 | % | 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 (if any). 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. 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(continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Global Infrastructure Fund | ||||||||||||||||||
| Investor Shares | ||||||||||||||||||
| Year Ended December 31, | Period Ended December 31, 2016(a) | |||||||||||||||||
| 2019 | 2018 | 2017 | ||||||||||||||||
| Per Share Data |
| |||||||||||||||||
Net asset value, beginning of period | $ | 9.68 | $ | 10.85 | $ | 9.89 | $ | 10.00 | ||||||||||
Net investment income(b) | 0.22 | 0.20 | 0.24 | (c) | 0.08 | |||||||||||||
Net realized and unrealized gain (loss) | 2.82 | (1.18 | ) | 0.99 | — | (d) | ||||||||||||
Total from investment operations | 3.04 | (0.98 | ) | 1.23 | 0.08 | |||||||||||||
Distributions to shareholders from net investment income | (0.22 | ) | (0.19 | ) | (0.21 | ) | (0.06 | ) | ||||||||||
Distributions to shareholders from net realized gains | — | — | (0.05 | ) | (0.12 | ) | ||||||||||||
Distributions to shareholders from return of capital | (0.03 | ) | — | (0.01 | ) | (0.01 | ) | |||||||||||
Total distributions | (0.25 | ) | (0.19 | ) | (0.27 | ) | (0.19 | ) | ||||||||||
Net asset value, end of period | $ | 12.47 | $ | 9.68 | $ | 10.85 | $ | 9.89 | ||||||||||
| Total Return(e) | 31.49 | % | (9.00 | )% | 12.56 | % | 0.91 | % | ||||||||||
Net assets, end of period (in 000’s) | $ | 929 | $ | 279 | $ | 28 | $ | 25 | ||||||||||
Ratio of net expenses to average net assets | 1.10 | % | 1.13 | % | 1.14 | % | 0.95 | %(f) | ||||||||||
Ratio of total expenses to average net assets | 1.26 | % | 1.25 | % | 6.05 | % | 15.19 | %(f) | ||||||||||
Ratio of net investment income to average net assets | 1.96 | % | 1.95 | % | 2.23 | %(c) | 1.63 | %(f) | ||||||||||
Portfolio turnover rate(g) | 39 | % | 67 | % | 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 (if any). 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. |
| (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. |
| 16 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Global Infrastructure Fund | ||||||||||
| Class P Shares | ||||||||||
| Year Ended December 31, 2019 | Period Ended December 31, 2018(a) | |||||||||
| Per Share Data |
| |||||||||
Net asset value, beginning of period | $ | 9.68 | $ | 10.47 | ||||||
Net investment income(b) | 0.23 | 0.12 | ||||||||
Net realized and unrealized gain (loss) | 2.83 | (0.73 | ) | |||||||
Total from investment operations | 3.06 | (0.61 | ) | |||||||
Distributions to shareholders from net investment income | (0.24 | ) | (0.18 | ) | ||||||
Distributions to shareholders from return of capital | (0.03 | ) | — | |||||||
Total distributions | (0.27 | ) | — | |||||||
Net asset value, end of period | $ | 12.47 | $ | 9.68 | ||||||
| Total Return(c) | 31.77 | % | (5.91 | )% | ||||||
Net assets, end of period (in 000’s) | $ | 3,936 | $ | 2,278 | ||||||
Ratio of net expenses to average net assets | 0.99 | % | 0.98 | %(d) | ||||||
Ratio of total expenses to average net assets | 1.12 | % | 1.14 | %(d) | ||||||
Ratio of net investment income to average net assets | 1.99 | % | 1.68 | %(d) | ||||||
Portfolio turnover rate(e) | 39 | % | 67 | % | ||||||
| (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 (if any). 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. 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(continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Global Infrastructure Fund | ||||||||||||||||||
| Class R Shares | ||||||||||||||||||
| Year Ended December 31, | Period Ended December 31, 2016(a) | |||||||||||||||||
| 2019 | 2018 | 2017 | ||||||||||||||||
| Per Share Data |
| |||||||||||||||||
Net asset value, beginning of period | $ | 9.69 | $ | 10.85 | $ | 9.89 | $ | 10.00 | ||||||||||
Net investment income(b) | 0.16 | 0.14 | 0.18 | (c) | 0.05 | |||||||||||||
Net realized and unrealized gain (loss) | 2.82 | (1.16 | ) | 1.00 | 0.01 | |||||||||||||
Total from investment operations | 2.98 | (1.02 | ) | 1.18 | 0.06 | |||||||||||||
Distributions to shareholders from net investment income | (0.17 | ) | (0.14 | ) | (0.18 | ) | (0.04 | ) | ||||||||||
Distributions to shareholders from net realized gains | — | — | (0.04 | ) | (0.12 | ) | ||||||||||||
Distributions to shareholders from return of capital | (0.02 | ) | — | — | (d) | (0.01 | ) | |||||||||||
Total distributions | (0.19 | ) | (0.14 | ) | (0.22 | ) | (0.17 | ) | ||||||||||
Net asset value, end of period | $ | 12.48 | $ | 9.69 | $ | 10.85 | $ | 9.89 | ||||||||||
| Total Return(e) | 30.94 | % | (9.49 | )% | 12.00 | % | 0.82 | % | ||||||||||
Net assets, end of period (in 000’s) | $ | 33 | $ | 25 | $ | 28 | $ | 25 | ||||||||||
Ratio of net expenses to average net assets | 1.61 | % | 1.63 | % | 1.64 | % | 1.15 | %(f) | ||||||||||
Ratio of total expenses to average net assets | 1.77 | % | 1.75 | % | 6.55 | % | 15.38 | %(f) | ||||||||||
Ratio of net investment income to average net assets | 1.42 | % | 1.30 | % | 1.74 | %(c) | 1.44 | %(f) | ||||||||||
Portfolio turnover rate(g) | 39 | % | 67 | % | 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 (if any). 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. |
| (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. |
| 18 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Global Infrastructure Fund | ||||||||||||||||||
| Class R6 Shares | ||||||||||||||||||
| Year Ended December 31, | Period Ended December 31, 2016(a) | |||||||||||||||||
| 2019 | 2018 | 2017 | ||||||||||||||||
| Per Share Data |
| |||||||||||||||||
Net asset value, beginning of period | $ | 9.69 | $ | 10.85 | $ | 9.89 | $ | 10.00 | ||||||||||
Net investment income(b) | 0.23 | 0.22 | 0.26 | (c) | 0.09 | |||||||||||||
Net realized and unrealized gain (loss) | 2.82 | (1.18 | ) | 0.99 | — | (d) | ||||||||||||
Total from investment operations | 3.05 | (0.96 | ) | 1.25 | 0.09 | |||||||||||||
Distributions to shareholders from net investment income | (0.24 | ) | (0.20 | ) | (0.22 | ) | (0.07 | ) | ||||||||||
Distributions to shareholders from net realized gains | — | — | (0.06 | ) | (0.12 | ) | ||||||||||||
Distributions to shareholders from return of capital | (0.03 | ) | — | (0.01 | ) | (0.01 | ) | |||||||||||
Total distributions | (0.27 | ) | (0.20 | ) | (0.29 | ) | (0.20 | ) | ||||||||||
Net asset value, end of period | $ | 12.47 | $ | 9.69 | $ | 10.85 | $ | 9.89 | ||||||||||
| Total Return(e) | 31.63 | % | (8.88 | )% | 12.74 | % | 0.56 | % | ||||||||||
Net assets, end of period (in 000’s) | $ | 187,335 | $ | 183,306 | $ | 28 | $ | 25 | ||||||||||
Ratio of net expenses to average net assets | 0.99 | % | 0.98 | % | 0.97 | % | 1.65 | %(f) | ||||||||||
Ratio of total expenses to average net assets | 1.11 | % | 1.10 | % | 5.88 | % | 15.88 | %(f) | ||||||||||
Ratio of net investment income to average net assets | 1.94 | % | 2.17 | % | 2.40 | %(c) | 0.93 | %(f) | ||||||||||
Portfolio turnover rate(g) | 39 | % | 67 | % | 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 (if any). 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. |
| (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
December 31, 2019
| 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 anopen-end management investment company. Goldman Sachs Global Infrastructure Fund (the “Fund”) is anon-diversified portfolio and currently offers seven classes of shares: Class A, Class C, Institutional, Investor, Class P, Class R, and Class R6 Shares.
Class A Shares are sold with afront-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. The Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.
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, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized onex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to theex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. 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 itspro-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, andnon-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/orpro-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 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 theex- dividend date. Distributions from net investment income are declared and paid quarterly, and distributions from net capital gains, if any, are declared and paid at least 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.
20
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the Fund’s distributions may be shown in the accompanying financial statements as either from distributable earnings 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).
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 GSAMday-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 may be valued at the closing bid price for long positions and at the closing 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 for long positions or the last ask price for short positions, and are generally classified as Level 2.
21
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Notes to Financial Statements(continued)
December 31, 2019
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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 per share 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. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.
C. Fair Value Hierarchy — The following is a summary of the Fund’s investments classified in the fair value hierarchy as of December 31, 2019:
| GLOBAL INFRASTRUCTURE FUND |
| |||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Asia | $ | — | $ | 11,112,144 | $ | — | ||||||
Australia and Oceania | — | 8,267,735 | — | |||||||||
Europe | 8,739,753 | 38,971,558 | — | |||||||||
North America | 126,957,760 | — | — | |||||||||
Investment Company | 1,897,089 | — | — | |||||||||
| Total | $ | 137,594,602 | $ | 58,351,437 | $ | — | ||||||
| (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
22
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
| 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 fiscal year ended December 31, 2019, contractual and effective net management fees with GSAM were at the following rates:
| Contractual Management Rate | Effective Net Management | |||||||||||||||||||||||||
| 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 fiscal year ended December 31, 2019, GSAM waived $3,067 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 Rule12b-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 Rule12b-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/or Service Plans Rates | ||||||||||||
| Class A* | Class C | Class R* | ||||||||||
Distribution and/or Service Plans | 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 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 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 fiscal year ended December 31, 2019, Goldman Sachs retained $1,063 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: 0.17% 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. Prior to July 1, 2019, the annual rates for Class A, Class C, Investor and Class R Shares were 0.18%.
Effective April 30, 2019, Goldman Sachs has agreed to waive a portion of the transfer agency fees equal to 0.03% of the average daily net assets attributable to Class A, Class C, Investor and Class R Shares of the Fund through at least April 30, 2020. Prior to such date, Goldman Sachs may not terminate the arrangement without approval of the Board of Trustees.
23
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Notes to Financial Statements(continued)
December 31, 2019
| 4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or 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 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 limitation as an annual percentage rate of average daily net assets for the Fund is 0.054%. These Other Expense limitations will remain in place through at least April 30, 2020 and prior to such date GSAM may not terminate the arrangement 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 fiscal year ended December 31, 2019, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
| Management Fee Waiver | Transfer Agency Waivers/Credits | Other Expense Reimbursements | Total Expense Reductions | |||||||||||
| $ | 3,067 | $ | 886 | $ | 255,935 | $ | 259,888 | |||||||
G. Line of Credit Facility — As of December 31, 2019, the Fund participated in a $580,000,000 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 fiscal year ended December 31, 2019, the Fund did not have any borrowings under the facility. Prior to April 30, 2019 the facility was $770,000,000.
H. Other Transactions with Affiliates — For the fiscal year ended December 31, 2019, Goldman Sachs earned $747 in brokerage commissions from portfolio transactions, on behalf of the Fund.
The following table provides information about the Fund’s investments in the Underlying Fund as of and for the fiscal year ended December 31, 2019:
| Underlying Fund | Beginning Value as of December 31, 2018 | Purchases at Cost | Proceeds from Sales | Ending Value as of December 31, 2019 | Shares as of December 31, 2019 | Dividend Income | ||||||||||||||
Goldman Sachs Financial Square Government Fund — Institutional Shares | $ — | $39,634,363 | $ | (37,737,274 | ) | $ | 1,897,089 | 1,897,089 | $ | 37,930 | ||||||||||
As of December 31, 2019, the following Goldman Sachs Fund of Funds and Goldman Sachs GlobalTax-Aware Equity Portfolios were beneficial owners of 5% or more of total outstanding shares of the Fund. The beneficial owners were 7%, 35%, 23%, 7%, 8%, 10% and 5%, for the Goldman Sachs Enhanced Dividend Global Equity, Goldman SachsTax-Advantaged Global Equity, Goldman Sachs Satellite Strategies, Goldman Sachs Dynamic Global Equity Fund, Goldman Sachs Growth Strategy, Goldman Sachs Growth and Income Strategy and Goldman Sachs Balanced Strategy Portfolios, respectively.
As of December 31, 2019, The Goldman Sachs Group, Inc. was the beneficial owner of approximately 33% of Institutional 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 fiscal year ended December 31, 2019, were $77,258,658 and $125,079,508.
24
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
| 6. TAX INFORMATION |
The tax character of distributions paid during the fiscal years ended December 31, was as follows:
| 2019 | 2018 | |||||||
Distribution paid from: Ordinary income | $ | 3,959,934 | $ | 4,375,896 | ||||
Net long-term capital gains | — | — | ||||||
Total taxable distributions | $ | 3,959,934 | $ | 4,375,896 | ||||
Tax return of capital | $ | 534,855 | $ | — | ||||
As of December 31, 2019, the components of accumulated earnings (losses) on a tax basis were as follows:
Undistributed ordinary income — net | $ | — | ||
Undistributed long-term capital gains | $ | — | ||
Total undistributed earnings | $ | — | ||
Capital loss carryforwards:(1) | ||||
Perpetual Short-Term | $ | (2,023,722 | ) | |
Perpetual Long-Term | — | |||
Total Capital loss carryforwards | $ | (2,023,722 | ) | |
Timing differences (Post October Loss Deferral) | $ | — | ||
Unrealized gains (losses) — net | 33,720,087 | |||
Total accumulated earnings (losses) — net | $ | 31,696,365 |
| (1) | During the fiscal year ended December 31, 2019, the Fund utilized $3,828,784 in capital loss carryforwards from prior years. |
As of December 31, 2019, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Tax Cost | $ | 162,233,617 | ||
Gross unrealized gain | 36,059,050 | |||
Gross unrealized loss | (2,338,963 | ) | ||
Net unrealized gains (losses) on securities | $ | 33,720,087 |
The difference between GAAP-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales.
The Fund reclassed $16,555 from paid in capital to distributable earnings for the year ending December 31, 2019. In order to present certain components of the Fund’s capital accounts on atax-basis, certain reclassifications have been recorded to the Fund’s accounts. These reclassifications have no impact on the net asset value of the Fund’s and result primarily from differences in the tax treatment of partnership investments and underlying fund investments.
GSAM has reviewed the Fund’s tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
| 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
25
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Notes to Financial Statements(continued)
December 31, 2019
| 7. OTHER RISKS (continued) |
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.
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 ofnon-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, which may occur rapidly or unexpectedly, 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 or otherwise maintains 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 or without significant dilution to remaining investors’ interests 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. If the Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Fund’s NAV and dilute remaining investors’ interests. These risks may be more pronounced in connection with the Fund’s investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on the Fund’s liquidity.
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
26
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
| 7. OTHER RISKS (continued) |
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 Fund isnon-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.
| 9. OTHER MATTERS |
On November 5, 2019, a definitive proxy statement (“proxy”) was filed with the SEC to elect certain Trustees to the Trust. The Fund will bear its respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse the Fund to the extent such expenses exceed a specified percentage of the Fund’s net assets.
| 10. 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.
27
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Notes to Financial Statements(continued)
December 31, 2019
| 11. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| Global Infrastructure Fund | ||||||||||||||||
|
| |||||||||||||||
| For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
| Class A Shares | ||||||||||||||||
Shares sold | 22,343 | $ | 256,447 | 152,177 | $ | 1,589,200 | ||||||||||
Reinvestment of distributions | 1,962 | 22,805 | 1,992 | 20,288 | ||||||||||||
Shares redeemed | (103,775 | ) | (1,214,946 | ) | (15,661 | ) | (162,317 | ) | ||||||||
| (79,470 | ) | (935,694 | ) | 138,508 | 1,447,171 | |||||||||||
| Class C Shares | ||||||||||||||||
Shares sold | 87,858 | 984,673 | 149,215 | 1,561,262 | ||||||||||||
Reinvestment of distributions | 2,621 | 30,658 | 1,452 | 14,805 | ||||||||||||
Shares redeemed | (23,685 | ) | (281,848 | ) | (12,536 | ) | (129,231 | ) | ||||||||
| 66,794 | 733,483 | 138,131 | 1,446,836 | |||||||||||||
| Institutional Shares | ||||||||||||||||
Shares sold | 64,277 | 731,681 | 1,137,450 | 12,353,955 | ||||||||||||
Reinvestment of distributions | 1,912 | 22,684 | 3,227 | 32,946 | ||||||||||||
Shares redeemed | (144,031 | ) | (1,440,884 | ) | (21,470,145 | ) | (217,379,579 | ) | ||||||||
| (77,842 | ) | (686,519 | ) | (20,329,468 | ) | (204,992,678 | ) | |||||||||
| Investor Shares | ||||||||||||||||
Shares sold | 44,811 | 520,476 | 25,959 | 274,026 | ||||||||||||
Reinvestment of distributions | 1,223 | 14,485 | 513 | 5,228 | ||||||||||||
Shares redeemed | (329 | ) | (3,972 | ) | (313 | ) | (3,100 | ) | ||||||||
| 45,705 | 530,989 | 26,159 | 276,154 | |||||||||||||
| Class P Shares(a) | ||||||||||||||||
Shares sold | 85,018 | 996,030 | 767,142 | 7,855,477 | ||||||||||||
Reinvestment of distributions | 6,083 | 71,742 | 6,831 | 69,243 | ||||||||||||
Shares redeemed | (10,754 | ) | (121,004 | ) | (538,568 | ) | (5,289,881 | ) | ||||||||
| 80,347 | 946,768 | 235,405 | 2,634,839 | |||||||||||||
| Class R Shares | ||||||||||||||||
Shares sold | — | — | 35 | 357 | ||||||||||||
Reinvestment of distributions | 44 | 515 | — | — | ||||||||||||
| 44 | 515 | 35 | 357 | |||||||||||||
| Class R6 Shares | ||||||||||||||||
Shares sold | 1,561,568 | 17,479,495 | 24,375,895 | 247,320,814 | ||||||||||||
Reinvestment of distributions | 369,241 | 4,331,671 | 415,361 | 4,232,791 | ||||||||||||
Shares redeemed | (5,840,148 | ) | (66,907,233 | ) | (5,867,364 | ) | (60,188,681 | ) | ||||||||
| (3,909,339 | ) | (45,096,067 | ) | 18,923,892 | 191,364,924 | |||||||||||
NET DECREASE | (3,873,761 | ) | $ | (44,506,525 | ) | (867,338 | ) | $ | (7,822,397 | ) | ||||||
| (a) | Class P Shares commenced operations on April 17, 2018. |
28
Report of Independent Registered Public Accounting Firm
Tothe Board of Trustees of Goldman Sachs Trust and Shareholders of
Goldman Sachs Global Infrastructure Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Goldman Sachs Global Infrastructure Fund (one of the funds constituting Goldman Sachs Trust, referred to hereafter as the “Fund”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statements of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes,and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 26, 2020
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
29
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Voting Results of Special Meeting of Shareholders (Unaudited)
A Special Meeting (the “Meeting”) of the Goldman Sachs Trust (“GST”) was held on January 23, 2020 to consider and act upon the proposals below. The Fund will amortize its respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse the Fund to the extent such expenses exceed a specified percentage of the Fund’s net assets.
At the Meeting, Dwight L. Bush, Kathryn A. Cassidy, Joaquin Delgado and Gregory G. Weaver were elected to the Trust’s Board of Trustees. In electing the trustees, the Trust’s shareholders voted as follows:
Proposal 1. Election of Trustees | For | Against | Withheld | Broker Non-Votes | ||||||||||||
Dwight L. Bush | 94,278,961,728.065 | 0 | 349,026,343.365 | 0 | ||||||||||||
Kathryn A. Cassidy | 94,310,850,789.164 | 0 | 317,137,282.266 | 0 | ||||||||||||
Joaquin Delgado | 94,282,646,444.727 | 0 | 345,341,626.703 | 0 | ||||||||||||
Gregory G. Weaver | 94,306,589,873.348 | 0 | 321,398,198.082 | 0 | ||||||||||||
At the Meeting, the shareholders of the Goldman Sachs Large Cap Growth Insights Fund approved a change to the Fund’s sub-classification under the Act from “diversified” to “non-diversified”. The Trust’s shareholders voted as follows:
Proposal 2. To approve a change to the Fund’s sub-classification under | For | Against | Abstained | Broker Non-Votes | ||||||||||||
Large Cap Growth Insights Fund | 23,785,792.632 | 250,521.921 | 196,802.993 | 9,592,467.322 | ||||||||||||
30
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 July 1, 2019 through December 31, 2019, which represents a period of 184 days in a 365 day year.
Actual Expenses —The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes— The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the 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 7/1/19 | Ending Account Value 12/31/19 | Expenses Paid for the 6 months ended 12/31/19* | |||||||||
| Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,074.22 | $ | 7.04 | ||||||
Hypothetical 5% return | 1,000.00 | 1,018.41 | + | 6.85 | ||||||||
| Class C | ||||||||||||
Actual | 1,000.00 | 1,071.14 | 10.96 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,014.62 | + | 10.66 | ||||||||
| Institutional | ||||||||||||
Actual | 1,000.00 | 1,076.52 | 5.23 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,020.17 | + | 5.09 | ||||||||
| Investor | ||||||||||||
Actual | 1,000.00 | 1,076.20 | 5.75 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,019.66 | + | 5.60 | ||||||||
| Class P | ||||||||||||
Actual | 1,000.00 | 1,076.78 | 5.18 | |||||||||
Hypothethical 5% return | 1,000.00 | 1,020.22 | + | 5.04 | ||||||||
| Class R | ||||||||||||
Actual | 1,000.00 | 1,074.18 | 8.36 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,017.14 | + | 8.13 | ||||||||
| Class R6 | ||||||||||||
Actual | 1,000.00 | 1,076.76 | 5.18 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,020.22 | + | 5.04 | ||||||||
| + | 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 December 31, 2019. 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 | Class R | Class R6 | |||||||||||||||||||||
Global Infrastructure Fund | 1.35 | % | 2.10 | % | 1.00 | % | 1.10 | % | 0.99 | % | 1.60 | % | 0.99 | % | ||||||||||||||
31
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Trustees and Officers (Unaudited) Independent Trustees
| Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and Length of Time Served2 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
Jessica Palmer Age: 70 | Chair of the Board of Trustees | Since 2018 (Trustee since 2007) | Ms. Palmer is retired. She was formerly Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/ Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009).
Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||
Kathryn A. Cassidy Age: 65 | Trustee | Since 2015 | Ms. Cassidy is retired. Formerly, she was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||
Diana M. Daniels Age: 70 | Trustee | Since 2007 | Ms. Daniels is retired. Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is a Trustee Emeritus and serves as a Presidential Councillor of Cornell University (2013-Present); former Member of the Legal Advisory Board, New York Stock Exchange (2003- 2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006- 2007).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||
Roy W. Templin Age: 59 | Trustee | Since 2013 | Mr. Templin is retired. He is Director, Armstrong World Industries, Inc. (a designer and manufacturer of ceiling, wall and suspension system solutions) (2016-Present); and was formerly Chairman of the Board of Directors, Con- Way Incorporated (a transportation, logistics and supply chain management service company) (2014-2015); Executive Vice President and Chief Financial Officer, Whirlpool Corporation (an appliance manufacturer and marketer) (2004- 2012). Previously, Mr. Templin served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (June 2013-October 2013).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Armstrong World Industries, Inc. (a ceiling, wall and suspension systems solutions manufacturer) | |||||
Gregory G. Weaver Age: 68 | Trustee | Since 2015 | Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Verizon Communications Inc. | |||||
32
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Trustees and Officers (Unaudited) (continued)
Interested Trustee*
| Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and Length of Time Served2 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
James A. McNamara Age: 57 | President and Trustee | Since 2007 | Advisory Director, Goldman Sachs (January 2018- Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998- December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993- April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | 165 | None | |||||
Advisory Board Members
| Name, Address, Age1 | Position(s) Held with the Trust | Term of Office and Length of Time Served2 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Advisory Board Member3 | Other Directorships Held by Advisory Board Member4 | |||||
Dwight L. Bush Age: 62 | Advisory Board Member | Since 2019 | Ambassador Bush is President and CEO of D.L. Bush & Associates (a financial advisory and private investment firm) (2002-2014 and 2017-present); and was formerly U.S. Ambassador to the Kingdom of Morocco (2014-2017) and a Member of the Board of Directors of Santander Bank, N.A. (2018-2019).
Advisory Board Member — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||
Joaquin Delgado Age: 59 | Advisory Board Member | Since 2019 | Dr. Delgado is retired. He is Director, Hexion Inc. (a specialty chemical manufacturer) (2019-present); and Director, Stepan Company (a specialty chemical manufacturer) (2011-present); and was formerly Executive Vice President, Consumer Business Group of 3M Company (July 2016-July 2019); and Executive Vice President, Health Care Business Group of 3M Company (October 2012-July 2016).
Advisory Board Member — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Stepan Company (a specialty chemical manufacturer) | |||||
| * | Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. Mr. McNamara holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
| 1 | Each Trustee and Advisory Board Member may be contacted by writing to the Trustee or Advisory Board Member, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of December 31, 2019. |
| 2 | Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that (a) no Trustee shall hold office for more than 15 years and (b) a Trustee shall retire as of December 31st of the calendar year in which he or she reaches his or her 74th birthday, unless a waiver of such requirement shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. |
| 3 | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of December 31, 2019, Goldman Sachs Trust consisted of 89 portfolios; Goldman Sachs Variable Insurance Trust consisted of 13 portfolios; Goldman Sachs Trust II consisted of 19 portfolios (17 of which offered shares to the public); Goldman Sachs MLP Income Opportunities Fund, Goldman Sachs MLP and Energy Renaissance Fund, Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio; and Goldman Sachs ETF Trust consisted of 40 portfolios (21 of which offered shares to the public). |
| 4 | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Fund’s Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384. Additional information about the Advisory Board Members will be available in the Fund’s Statement of Additional Information dated April 30, 2020, which will be available from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
33
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
| Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and Length of Time Served2 | Principal Occupation(s) During Past 5 Years | |||
James A. McNamara 200 West Street New York, NY 10282 Age: 57 | Trustee and President | Since 2007 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 42 | Secretary | Since 2012 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Associate General Counsel, Goldman Sachs (2012-Present); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006).
Secretary — Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Private Middle Market Credit II LLC; Goldman Sachs Middle Market Lending Corp.; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 51 | Treasurer, Principal Financial Officer and Principal Accounting Officer | Since 2017 (Treasurer and Principal Financial Officer since 2019) | Managing Director, Goldman Sachs (November 2015-Present) and Vice President — Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010- October 2015).
Treasurer, Principal Financial Officer and Principal Accounting Officer — Goldman Sachs Trust (previously Assistant Treasurer (2016)); Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs MLP Income Opportunities Fund (previously Assistant Treasurer (2017)); Goldman Sachs MLP and Energy Renaissance Fund (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
| * | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Fund’s Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
| 1 | Information is provided as of December 31, 2019. |
| 2 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
Goldman Sachs Global Infrastructure Fund — Tax Information (Unaudited)
For the year ended December 31, 2019, 47.28% of the dividends paid from net investment company taxable income by the Global Infrastructure Fund qualify for the dividends received deduction available to corporations.
For the fiscal year ended December 31, 2019, 100% of the dividends paid from net investment company taxable income by the Global Infrastructure Fund qualify for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
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, theConsumer and Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.69 trillion in assets under supervision as of December 31, 2019, 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 |
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 |
| ∎ | Income Fund |
Municipal and Tax-Free
| ∎ | High Yield Municipal Fund |
| ∎ | Dynamic Municipal Income Fund |
| ∎ | Short Duration Tax-Free Fund |
| ∎ | Municipal Income Completion 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 |
Fixed Income Alternatives
| ∎ | Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ | Equity Income Fund |
| ∎ | Small Cap Growth 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 Fund |
| ∎ | 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 Fund |
| ∎ | International Equity ESG Fund |
| ∎ | China Equity Fund4 |
| ∎ | Emerging Markets Equity Fund |
| ∎ | Imprint Emerging Markets Opportunities Fund5 |
| ∎ | ESG Emerging Markets Equity Fund |
Alternative
| ∎ | Real Estate Securities Fund |
| ∎ | International Real Estate Securities Fund |
| ∎ | Commodity Strategy Fund |
| ∎ | Global Real Estate Securities Fund |
| ∎ | Alternative Premia Fund |
| ∎ | 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 |
| ∎ | Dynamic Global Equity Fund6 |
| ∎ | Satellite Strategies Portfolio |
| ∎ | Enhanced Dividend Global Equity Portfolio |
| ∎ | Tax-Advantaged Global Equity Portfolio |
| ∎ | Strategic Factor Allocation Fund |
| ∎ | Target Date Retirement Portfolio7 |
| ∎ | 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 |
| 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 of November 20, 2019, the Goldman Sachs Asia Equity Fund was renamed the Goldman Sachs China Equity Fund. |
| 5 | Effective after the close of business on August 30, 2019, the Goldman Sachs N-11 Equity Fund was renamed the Goldman Sachs Imprint Emerging Markets Opportunities Fund. |
| 6 | Effective after the close of business on February 28, 2019, the Goldman Sachs Equity Growth Strategy Portfolio was renamed the Goldman Sachs Dynamic Global Equity Fund. |
| 7 | Effective December 27, 2019, the Goldman Sachs Target Date 2020 Portfolio was renamed to the Goldman Sachs Target Date Retirement Portfolio. |
| 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 Dwight L. Bush* Kathryn A. Cassidy Diana M. Daniels Joaquin Delgado* James A. McNamara Roy W. Templin Gregory G. Weaver
*Effective as of January 23, 2020 | OFFICERS James A. McNamara,President Joseph F. DiMaria,Principal Financial Officer, Principal Accounting Officer and 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 atwww.GSAMFUNDS.com to obtain the most recentmonth-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 recent12-month period ended June 30 is available (i) without charge, upon request by calling1-800-526-7384 (for Retail Shareholders) or1-800-621-2550 (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 will file portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be made available on the SEC’s web site at http://www.sec.gov. Portfolio holdings information may be obtained upon request and without charge by calling1-800-526-7384 (for Retail Shareholders) or1-800-621-2550 (for Institutional Shareholders).
Holdings and allocations shown are as of June 30, 2019 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).
© 2020 Goldman Sachs. All rights reserved. 192301-OTU-1141386 GBLINFRAAR-20
Goldman Sachs Funds
| Annual Report | December 31, 2019 | |||
Real Estate Securities Funds | ||||
Global Real Estate Securities | ||||
International Real Estate Securities | ||||
Real Estate Securities | ||||
It is our intention that beginning on January 1, 2021, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from a Fund or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. At any time, you may elect to receive reports and certain communications from a Fund electronically by calling the applicable toll-free number below or by contacting your financial intermediary.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a Fund directly with the Fund’s transfer agent, you can inform the transfer agent that you wish to receive paper copies of reports by callingtoll-free 800-621-2550 for Institutional, Service, Class R6 and Class P shareholders or800-526-7384 for all other shareholders. If you hold shares of a Fund through a financial intermediary, please contact your financial intermediary to make this election. Your election to receive reports in paper will apply to all Goldman Sachs Funds held in your account if you invest through your financial intermediary or all Goldman Sachs Funds held with the Funds’ transfer agent if you invest directly with the transfer agent.
Goldman Sachs Real Estate Securities Funds
| ∎ | GLOBAL REAL ESTATE SECURITIES |
| ∎ | INTERNATIONAL REAL ESTATE SECURITIES |
| ∎ | REAL ESTATE SECURITIES |
| 2 | ||||
| 20 | ||||
| 21 | ||||
| 26 | ||||
| 30 | ||||
| 30 | ||||
| 37 | ||||
| 43 | ||||
| 51 | ||||
| 66 | ||||
| 68 | ||||
| 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 ahigh quality portfolio that is strategically positioned forlong-term growth potential |
| ∎ | is a result ofbottom-up stock selection with a focus onlong-term investing |
1
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 12-month period ended December 31, 2019 (the “Reporting Period”).
| Q | How did the Fund perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, Class C, Institutional, Investor, Class P, Class R and Class R6 Shares generated average annual total returns, without sales charges, of 22.47%, 21.60%, 22.91%, 22.79%, 22.98%, 22.10% and 22.97%, respectively. These returns compare to the 22.10% average annual total return of the Fund’s benchmark, the FTSE EPRA Nareit Developed Index (Net, USD, Unhedged) (the “FTSE Index”) during the same period. |
| Q | Which countries’ real estate markets most influenced the global real estate securities market as a whole during the Reporting Period? |
| A | The U.K., Singapore and Canada were the strongest performing markets, while Hong Kong, Australia and Japan were the weakest performing markets though still posting solid positive absolute returns. |
| Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | Most share classes of the Fund outperformed the FTSE Index during the Reporting Period. Stock selection contributed most positively, especially in continental Europe, Japan and the U.S. Having exposure to India, which is not a component of the FTSE Index but which outperformed the FTSE Index during the Reporting Period, added value as well. Such positive contributors were only partially offset by stock selection in Canada and Singapore, which detracted modestly. Having an allocation to cash, albeit modest, during a Reporting Period when the FTSE Index rallied dampened the Fund’s relative results most. |
Subsector* allocation decisions overall had a modestly positive effect on relative results during the Reporting Period, attributable primarily to an underweight in retail, the weakest performing subsector in the FTSE Index during the Reporting Period, and an overweight to industrial, the strongest performing subsector in the FTSE Index during the Reporting Period. Country allocation as a whole detracted slightly from the Fund’s relative results. |
| Q | What were some of the Fund’s best-performing individual holdings? |
| A | UNITE Group, an owner of student housing properties in the U.K., contributed most positively to the Fund’s relative results during the Reporting Period. The company has been growing organic rents and has a development pipeline that generates a strong double-digit percentage profit on cost. Additionally, during the Reporting Period, it acquired a large portfolio from Liberty Living, which, in our view, may be beneficial to its earnings in 2020 and beyond. At the end of the Reporting Period, we continued to view UNITE Group favorably, as it has incrementally deployed capital and has provided rather steady growth uncorrelated with the broader economy. |
Mitsui Fudosan Logistics Park, a logistics Japanese real estate investment trust (“J-REIT”) sponsored by the largest Japanese diversified real estate developer, Mitsui Fudosan, was another top contributor to the Fund’s relative results during the Reporting Period. A new purchase for the Fund during the Reporting Period, its shares appreciated as the market regained confidence on the Japanese logistics market, which has been supported by strong e-commerce and third-party logistics demand despite historically high new supplies of logistics facilities. At the end of the Reporting Period, we believed Mitsui Fudosan Logistics Park could continue to acquire high quality logistics facilities from its sponsor. Furthermore, we expected distribution per unit growth to continue, driven by further property acquisitions and some rental growth. We also believed its shares were trading at a reasonable valuation at the end of the Reporting Period. |
2
PORTFOLIO RESULTS
Ascendas India Trust, a Singapore-listed business trust with exposure to industrial real estate and an out-of-benchmark position, also contributed positively to the Fund’s relative results during the Reporting Period. Its shares performed well after the company reported strong quarterly results. Ascendas India Trust benefited from strong underlying business momentum. Furthermore, the market reacted favorably after the company reported net property income growth of approximately 18% year over year. At the end of the Reporting Period, we remained constructive on Ascendas India Trust on the back of what we see as its management team’s excellent acquisition track record and a land bank with potential built-up area of approximately five million square feet on its books. |
| Q | Which positions detracted significantly from the Fund’s performance during the Reporting Period? |
| A | Sumitomo Realty & Development, a Japan-based diversified real estate landlord and developer, detracted most from the Fund’s results during the Reporting Period. While Japan’s real estate market fundamentals remained solid, supported by historically low Tokyo office vacancy rates and resilient condominium sales, the market focused on shareholder returns following Mitsubishi Estate’s surprising share buyback. As such, investors reacted negatively to Sumitomo Realty & Development’s strategy of investing in Tokyo offices rather than announcing share buybacks. At the end of the Reporting Period, we believed Sumitomo Realty & Development offered solid office completion pipelines with rather stable progress on its pre-leases of tenants, which we felt could help to support earnings growth going forward. |
CK Asset Holdings, a diversified property developer in Hong Kong, also detracted from the Fund’s relative performance during the Reporting Period. Shares of the company were challenged due to the volatile Hong Kong market, as a result of a series of pro-democratic demonstrations that had an impact on business confidence. Despite the political and economic challenges in Hong Kong, we continued, at the end of the Reporting Period, to believe CK Asset Holdings offered an overall attractive valuation on the back of what we saw as a strong balance sheet. |
Simon Property Group, an owner and operator of U.S. retail real estate properties, detracted from the Fund’s relative performance as well. Despite leasing spreads accelerating during the first quarter of 2019, the market reacted to the company’s reported first quarter 2019 same-store net operating income, which was lower than it expected. Even with funds from operations growth during the second quarter of 2019, the market reacted to the company’s reported second quarter of 2019 earnings, which were similarly lower than it expected. At the end of the Reporting Period, we retained our favorable view of Simon Property Group and believed the company maintains a top-tier portfolio of assets as well as one of the strongest balance sheets relative to its peers. We also believed its management team was a great capital allocator and had the potential to generate high cash flow growth. |
| 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 Goodman Group, an Australian integrated property group specializing in industrial property ownership, fund management, property development and project/development management. We view Goodman Group favorably because of its end-market exposure and what we view as its strong fund management franchise and robust development pipeline, which could, in our opinion, continue to drive better than peer returns on equity. Further, in our view, structural tailwinds from e-commerce, retailers and third-party logistics, or 3PLs, along with a low interest rate environment, leave Goodman Group well placed to deliver solid growth over the medium term. (A 3PL is a link in the supply chain brands use to outsource part or all of a business’ distribution and fulfillment services.) We consider the business to be well run with good long-term growth prospects and a clearly-defined strategy. |
During the Reporting Period, we established a Fund position in Invitation Homes, an owner and operator of single-family rental homes across America. In our view, the industry is attractive given strong demand to rent in the single-family home market. Additionally, we are pleased with the company’s expense management and its realizing of synergies from a large merger in late 2017. |
Conversely, we exited the Fund’s position in GPT Group, a diversified Australian REIT owning retail, office and industrial properties, due to concerns around the regional mall space. Additionally, GPT Group delivered its worst retail sales results since 2001 during the Reporting Period, and we believe the company’s assets may be impacted by competition and ongoing remixing. Lastly, approximately |
3
PORTFOLIO RESULTS
$1 billion (Australian dollars) of development opportunities first highlighted in 2016-17 seem to be longer-dated than first thought. Ultimately, we decided to eliminate the Fund’s position and allocate to higher conviction investments. |
We sold the Fund’s position in Green REIT, a property investment company headquartered in Ireland. Its shares declined modestly amidst ongoing uncertainty after the company announced that, following a strategic review of its business, it would be selling either the company or part of its assets due to what its management believed to be a disparity between the value of its portfolio and Green REIT’s share price. Ultimately, the company was bought and taken private. |
| 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 Australia, continental Europe and Singapore increased relative to the FTSE Index and its exposure to the U.S. decreased relative to the FTSE Index during the Reporting Period. The Fund’s position in cash decreased. |
| 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 overweighted relative to the FTSE Index in continental Europe, underweighted relative to the FTSE Index in the U.S., and rather neutrally weighted compared to the FTSE Index in the other constituent regions/countries of the FTSE Index at the end of December 2019. The Fund also had exposure to India at the end of the Reporting Period, which is not a component of the FTSE Index. |
| 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 from an industry fundamental perspective, given what we saw as robust demand and improving sentiment across most subsectors and geographies. Reported Gross Domestic Product in countries, such as Japan and Germany, surpassed estimates toward the end of the Reporting Period, while trade and consumption in continental Europe, the U.K. and China stayed strong and were improving. Furthermore, business spending and sentiment were picking up across subsectors, including financials, hospitality and information technology, in the absence of wage pressures. We viewed these trends as indications of ongoing growth in demand for real estate space. Anticipating an eventual interest rate hike, most international REITs have also locked in low-cost debt funding whenever available and have generally maintained strong balance sheets in the wake of the 2008-2009 financial recession. Despite some rise of both the short- and long-term ends of the rate curves for a few major countries, we observed the funding environment for REITs as open and inexpensive relative to the outlook of the long-term cash yield from REITs’ underlying assets. In our view, the favorable environment we saw at the end of the Reporting Period may enable REITs to deploy more capital toward high quality projects to drive opportunities for potential future growth. |
As for the U.S. real estate market, we maintained a constructive outlook for U.S. REITs overall at the end of the Reporting Period for several reasons. First, despite being late in the real estate cycle, we believed fundamentals remained generally healthy, with limited new supply and stable or improving demand. Second, we felt the macro backdrop for REITs had improved with a moderating economic growth outlook and interest rate concerns reversing. This improved backdrop may be, in our view, a positive for financing costs, which, in turn, may translate to increased flows from equity investors seeking defense, yield and potentially better returns. Third, in our opinion, the dividend sustainability potential of REITs is high, and the quality of REITs’ growth has improved. Fourth, increased merger and acquisition activity should provide additional support to the sector, as record levels of private capital may translate to price discovery in listed markets. Finally, we believed valuations of most REITs remained attractive despite fourth quarter 2019 moves. In our view, REIT valuations at the end of the Reporting Period were generally cheap relative to those of bonds, equities and private real estate properties. |
Against this backdrop, we believe U.S. REIT returns may fall somewhere between those of equities and fixed income over the long term given that U.S. REITs offer some equity-like attributes, such as the ability to grow, and some fixed income-like attributes, such as attractive yield. As we begin a new year, we believe U.S. REITs may offer solid returns that |
4
PORTFOLIO RESULTS
outperform both fixed income and equities, especially cyclical equities, given moderating interest rate and economic growth market expectations. We believe such U.S. REIT returns will be comprised of dividend yield and growth (factoring in no multiple expansion), with the potential for upside from merger and acquisition activity. |
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. |
| * | Sector and subsector allocations throughout this shareholder report are defined by GSAM and may differ from sector and subsector allocations used by the FTSE Index. |
5
FUND BASICS
Global Real Estate Securities Fund
as of December 31, 2019
| TOP TEN HOLDINGS AS OF 12/31/191 | ||||||||||
| Holding | % of Net Assets | Subsectors | Country | |||||||
Prologis, Inc. (REIT) | 4.1 | % | Industrial | United States | ||||||
Simon Property Group, Inc. (REIT) | 3.4 | Retail | United States | |||||||
AvalonBay Communities, Inc. (REIT) | 3.1 | Residential | United States | |||||||
Vonovia SE | 2.8 | Diversified | Germany | |||||||
Equity Residential (REIT) | 2.8 | Real Estate Development | United States | |||||||
Mitsubishi Estate Co. Ltd. | 2.5 | Residential | Japan | |||||||
CK Asset Holdings Ltd. | 2.5 | Diversified | Hong Kong | |||||||
Healthpeak Properties, Inc. (REIT) | 2.1 | Real Estate Operating Companies | United States | |||||||
Link REIT (REIT) | 2.1 | Health Care | Hong Kong | |||||||
Alexandria Real Estate Equities, Inc. (REIT) | 2.0 | Health Care | United States | |||||||
| 1 | The top 10 holdings may not be representative of the Fund’s future investments. |
| FUND VS. BENCHMARK COUNTRY ALLOCATION2 |
| As of December 31, 2019 |
| 2 | 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. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
6
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
Performance Summary
December 31, 2019
The following graph shows the value as of December 31, 2019, of a $1,000,000 investment made on August 31, 2015 (commencement of operations) in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the FTSE EPRA Nareit Developed Index (Net, USD, Unhedged) (with dividends reinvested), is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below 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 below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
| Global Real Estate Securities Fund’s Lifetime Performance |
Performance of a $1,000,000 Investment, with distributions reinvested, from August 31, 2015 through December 31, 2019.
| Average Annual Total Return through December 31, 2019* | One Year | Three Years | Since Inception | |||||||
Class A (Commenced August 31, 2015) | ||||||||||
Excluding sales charges | 22.47% | 7.78% | 6.87% | |||||||
Including sales charges | 15.73% | 5.79% | 5.49% | |||||||
| ||||||||||
Class C (Commenced August 31, 2015) | ||||||||||
Excluding contingent deferred sales charges | 21.60% | 7.01% | 6.10% | |||||||
Including contingent deferred sales charges | 20.37% | 7.01% | 6.10% | |||||||
| ||||||||||
Institutional (Commenced August 31, 2015) | 22.91% | 8.20% | 7.30% | |||||||
| ||||||||||
Investor (Commenced August 31, 2015) | 22.79% | 8.08% | 7.15% | |||||||
| ||||||||||
Class P (Commenced April 17, 2018) | 22.98% | N/A | 11.08% | |||||||
| ||||||||||
Class R (Commenced August 31, 2015) | 22.10% | 7.52% | 6.62% | |||||||
| ||||||||||
Class R6 (Commenced August 31, 2015) | 22.97% | 8.21% | 7.32% | |||||||
| ||||||||||
| * | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A 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 Average Annual Total Return. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
7
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 12-month period ended December 31, 2019 (the “Reporting Period”).
| Q | How did the Fund perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, Class C, Institutional, Investor, Class P and Class R6 Shares generated average annual total returns, without sales charges, of 20.38%, 19.38%, 20.86%, 20.71%, 20.72% and 21.05%, respectively. These returns compare to the 20.96% average annual 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. |
| Q | Which countries’ real estate markets 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 U.S. Real Estate Securities Index (with dividends reinvested), by nearly five percentage points, and underperformed the broad international equity market, as measured by the MSCI EAFE® Index, by just more than one percentage point. |
| The Real Estate Index returned a robust 13.54% in the first quarter of 2019. Hong Kong and Canada were the top performing countries during the quarter, and no countries posted negative returns. The Hong Kong property market, inclusive of housing and non-housing sectors, saw positive purchase and rental transactions during the quarter. |
| The Real Estate Index returned -0.58% during the second quarter of 2019. Singapore and Australia were the best performing markets, while the U.K. and Hong Kong generated negative returns. The Singapore real estate market benefited from a decrease in the 10-year Singapore government securities yield. The U.K. real estate market was challenged by poor performance in the retail subsector. |
| The Real Estate Index returned 1.51% during the third quarter of 2019. Japan and Canada were the best performing markets, while Hong Kong and Australia generated negative returns. The Japanese real estate market benefited from an increase in land prices, while the Hong Kong real estate market underperformed the Real Estate Index due to ongoing political and economic challenges. |
| The Real Estate Index rallied in the fourth quarter of 2019 with a return of 5.56%. During the quarter, the U.K. and continental Europe were the best performing markets. Japan was the only real estate market in the Real Estate Index to generate a negative return. |
| For the Reporting Period overall, the U.K. and Singapore were the best performing markets. Hong Kong posted a positive return but was by far the weakest performing market during the Reporting Period, followed at some distance by Australia. |
| Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | Most share classes of the Fund either outperformed or only slightly underperformed the Real Estate Index on a relative basis during the Reporting Period. Stock selection contributed most positively to the Fund’s relative results, especially in continental Europe and the U.K. Only partially offsetting these positive contributors was stock selection in Canada and Japan, which detracted from the Fund’s relative results. |
From a subsector perspective, allocation decisions overall contributed most positively. Having an underweighted allocation to retail, which was the second-weakest subsector in the Real Estate Index during the Reporting Period, and having an overweighted allocation to self-storage, which was the strongest subsector in the Real Estate Index during the Reporting Period, added particular relative value. Stock |
8
PORTFOLIO RESULTS
selection in the residential and office subsectors also contributed positively. Only partially offsetting these positive contributors was stock selection in the industrial, diversified and health care subsectors, which detracted. Having a position in cash during a Reporting Period when the Real Estate Index rallied also dampened results. |
| Country allocation overall detracted. Having an out-of-benchmark exposure to India, which significantly outperformed the Real Estate Index during the Reporting Period, helped. However, having an underweight to Singapore, one of the top performing markets in the Real Estate Index during the Reporting Period, hurt. |
| Q | What were some of the Fund’s best-performing individual holdings? |
| A | UNITE Group, an owner of student housing properties in the U.K., contributed most positively to the Fund’s relative results during the Reporting Period. The company has been growing organic rents and has a development pipeline that generates a strong double-digit percentage profit on cost. Additionally, during the Reporting Period, it acquired a large portfolio from Liberty Living, which, in our view, may be beneficial to its earnings in 2020 and beyond. At the end of the Reporting Period, we continued to view UNITE Group favorably, as it has incrementally deployed capital and has provided rather steady growth uncorrelated with the broader economy. |
| Ascendas India Trust, a Singapore-listed business trust with exposure to industrial real estate and an out-of-benchmark position, also contributed positively to the Fund’s relative results during the Reporting Period. Its shares performed well after the company reported strong quarterly results. Ascendas India Trust benefited from strong underlying business momentum. Furthermore, the market reacted favorably after the company reported net property income growth of approximately 18% year over year. At the end of the Reporting Period, we remained constructive on Ascendas India Trust on the back of what we see as its management team’s excellent acquisition track record and a land bank with potential built-up area of approximately five million square feet on its books. |
| Big Yellow Group, a leading self-storage provider in the U.K., was another top positive contributor to the Fund’s returns during the Reporting Period. The company benefited from high brand recognition and was consistently ranked at the top of organic online searches for storage needs in the U.K. The U.K. self-storage market is supply-constrained, with restrictive planning keeping a lid on new space creation. This allows Big Yellow Group to price up every year, and with its dynamic pricing systems, we believe it can continue to generate strong rental growth. At the end of the Reporting Period, we remained favorable on the company, as it may supplement its growth, we believe, with selective and accretive developments. |
| Q | Which positions detracted significantly from the Fund’s performance during the Reporting Period? |
| A | A new purchase for the Fund during the Reporting Period, Goodman Group, an Australian integrated property group specializing in industrial property ownership, fund management, property development and project/development management, was the top detractor from the Fund’s relative results during the Reporting Period but did so given the Fund’s underweighted position in the strongly performing stock for much of the Reporting Period. Goodman Group guided during the Reporting Period for strong data center and storage demand, underpinning its assets under management growth for the medium term. Additionally, the company indicated that demand for logistics assets remained solid, while it continued to observe compression between prime and secondary industrial capitalization rates. (The capitalization rate (also known as cap rate) is used in the world of commercial real estate to indicate the rate of return that is expected to be generated on a real estate investment property.) At the end of the Reporting Period, we remained constructive on Goodman Group due to its end-market exposure and what we viewed as its strong fund management franchise and robust development pipeline, which could, in our opinion, continue to drive better than peer return on equity. During the second half of the Reporting Period, we increased the Fund’s position in Goodman Group. |
| Sumitomo Realty & Development, a Japan-based diversified real estate landlord and developer, also detracted from the Fund’s results during the Reporting Period. While Japan’s real estate market fundamentals remained solid, supported by historically low Tokyo office vacancy rates and resilient condominium sales, the market focused on shareholder returns following Mitsubishi Estate’s surprising share buyback. As such, investors reacted negatively to Sumitomo Realty & Development’s strategy of investing in Tokyo offices rather than announcing share buybacks. At the end of the Reporting Period, we believed Sumitomo Realty & Development offered solid office completion pipelines with rather stable progress on its pre-leases of tenants, which we felt could help to support earnings growth going forward. |
9
PORTFOLIO RESULTS
| CK Asset Holdings, a diversified property developer in Hong Kong, also detracted from the Fund’s relative performance during the Reporting Period. Shares of the company were challenged due to the volatile Hong Kong market, as a result of a series of pro-democratic demonstrations that had an impact on business confidence. Despite the political and economic challenges in Hong Kong, we continued, at the end of the Reporting Period, to believe CK Asset Holdings offered an overall attractive valuation on the back of what we saw as a strong balance sheet. |
| 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 | In addition to the purchase of Goodman Group, already mentioned, we established a Fund position in CapitaLand, a Singapore-listed developer with exposure to China residential properties, shopping malls in China and Singapore, the lodging subsector, and fund management. We were constructive at the time of purchase on the company’s then-recently announced proposed acquisition of Ascendas-Singbridge Group, which, in our view, positions the company well to recycle capital through listed real estate investment trusts (“REITs”) and private vehicles and to sustain a stable return on earnings going forward. Furthermore, we believe CapitaLand’s share price may re-rate with this deal, as the company has had a slow track record in deploying capital in the past. (When the market changes its view of a company sufficiently to make calculation ratios, such as its price/earnings ratio, substantially higher or lower, this is a re-rating.) |
| Conversely, we exited the Fund’s position in Green REIT, a property investment company headquartered in Ireland. Its shares declined modestly amidst ongoing uncertainty after the company announced that, following a strategic review of its business, it would be selling either the company or part of its assets due to what its management believed to be a disparity between the value of its portfolio and Green REIT’s share price. Ultimately, the company was bought and taken private. |
| We sold the Fund’s position in Daiwa House REIT, a Japanese diversified REIT managing logistics, residential and retail properties, supported by the homebuilder Daiwa House. In our view, Daiwa House REIT’s shares were trading at relatively attractive valuations, but the market reacted negatively to its announcement of much-anticipated equity offerings in February, and, as such, we decided to eliminate the Fund’s exposure to the REIT and invest in higher conviction Japanese REITs. |
| 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 Australia and Singapore increased relative to the Real Estate Index. The Fund’s position in cash decreased. |
| 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 Real Estate Index in Singapore and was rather neutrally weighted to the remaining regions/countries of the Real Estate Index at the end of December 2019. The Fund also had an out-of-benchmark exposure to India 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 from an industry fundamental perspective, given what we saw as robust demand and improving sentiment across most subsectors and geographies. Reported Gross Domestic Product in countries, such as Japan and Germany, surpassed estimates toward the end of the Reporting Period, while trade and consumption in continental Europe, the U.K. and China stayed strong and were improving. Furthermore, business spending and sentiment were picking up across subsectors, including financials, hospitality and information technology, in the absence of wage pressures. We viewed these trends as indications of ongoing growth in demand for real estate space. Anticipating an eventual interest rate hike, most international REITs have also locked in low-cost debt funding whenever available and have generally maintained |
10
PORTFOLIO RESULTS
| strong balance sheets in the wake of the 2008-2009 financial recession. Despite some rise of both the short- and long-term ends of the rate curves for a few major countries, we observed the funding environment for REITs as open and inexpensive relative to the outlook of the long-term cash yield from REITs’ underlying assets. In our view, the favorable environment we saw at the end of the Reporting Period may enable REITs to deploy more capital toward high quality projects to drive opportunities for potential 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 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. |
| * | Sector and subsector allocations are defined by GSAM and may differ from sector and subsector allocations used by the Real Estate Index. |
11
FUND BASICS
International Real Estate Securities Fund
as of December 31, 2019
| TOP TEN HOLDINGS AS OF12/31/191 | ||||||||
| Holding | % of Net Assets | Line of Business | Country | |||||
Vonovia SE | 8.3% | Real Estate Operating Companies | Germany | |||||
Mitsubishi Estate Co. Ltd. | 5.8 | Diversified | Japan | |||||
CK Asset Holdings Ltd. | 5.0 | Real Estate Development | Hong Kong | |||||
Sun Hung Kai Properties Ltd. | 4.6 | Diversified | Hong Kong | |||||
Sumitomo Realty & Development Co. Ltd. | 4.3 | Diversified | Japan | |||||
Link REIT (REIT) | 3.7 | Retail | Hong Kong | |||||
Goodman Group (REIT) | 3.2 | Industrial | Australia | |||||
UNITE Group plc (The) (REIT) | 3.1 | Residential | United Kingdom | |||||
Invincible Investment Corp. (REIT) | 2.9 | Hotel | Japan | |||||
Derwent London plc (REIT) | 2.8 | Office | United Kingdom | |||||
| 1 | The top 10 holdings may not be representative of the Fund’s future investments. |
| FUND VS. BENCHMARK COUNTRY ALLOCATION2 |
| As of December 31, 2019 |
| 2 | 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 graph categorizes investments’ country of domicile as reported by Bloomberg; however, the country/grouping classifications used by the portfolio management team may differ from Bloomberg. The percentage shown for each country reflects the value of investments in that category as a percentage of market value. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
12
GOLDMAN SACHS INTERNATIONAL REAL ESTATE SECURITIES FUND
Performance Summary
December 31, 2019
The following graph shows the value as of December 31, 2019, of a $1,000,000 investment made on January 1, 2010 in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the FTSE EPRA Nareit Developed Ex US Real Estate Index (Net, USD, Unhedged) (with dividends reinvested), is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below 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 below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
| International Real Estate Securities Fund’s 10 Year Performance |
Performance of a $1,000,000 Investment, with distributions reinvested, from January 1, 2010 through December 31, 2019.
| Average Annual Total Return through December 31, 2019* | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A | ||||||||||||||
Excluding sales charges | 20.38% | 4.79% | 5.74% | — | ||||||||||
Including sales charges | 13.83% | 3.62% | 5.14% | — | ||||||||||
| ||||||||||||||
Class C | — | |||||||||||||
Excluding contingent deferred sales charges | 19.38% | 4.00% | 4.96% | — | ||||||||||
Including contingent deferred sales charges | 18.32% | 4.00% | 4.96% | — | ||||||||||
| ||||||||||||||
Institutional | 20.86% | 5.24% | 6.16% | — | ||||||||||
| ||||||||||||||
Investor | 20.71% | 5.06% | 6.02% | — | ||||||||||
| ||||||||||||||
Class P (Commenced April 17, 2018) | 20.72% | N/A | N/A | 6.03% | ||||||||||
| ||||||||||||||
Class R6 (Commenced July 31, 2015) | 21.05% | N/A | N/A | 5.18% | ||||||||||
| ||||||||||||||
| * | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Investor, Class P and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
13
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 12-month period ended December 31, 2019 (the “Reporting Period”).
| Q | How did the Fund perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, Class C, Institutional, Service, Investor, Class P, Class R and Class R6 Shares generated average annual total returns, without sales charges, of 25.49%, 24.62%, 26.01%, 25.40%, 25.84%, 26.04%, 25.14% and 26.02%, respectively. These returns compare to the 25.73% average annual total return of the Fund’s benchmark, the Wilshire U.S. Real Estate Securities Index (with dividends reinvested) (the “Wilshire Index”) during the same 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 robust double-digit positive absolute returns during the Reporting Period that only moderately lagged the broad U.S. equity market, as represented by the S&P 500® Index, which returned 31.49% for the same period. |
For the first quarter of 2019, the Wilshire Index increased a robust 16.06%. Real estate investment trusts (“REITs”) benefited, as investors largely accepted a modest slowdown in global economic growth as well as lowered consensus expectations of a recession in the near term. While all REIT subsectors in the Wilshire Index posted positive returns in the first calendar quarter, industrial and technology REITs were the top performers, while self-storage and health care were the weakest subsectors. Industrial REITs appreciated due to strong fourth quarter 2018 earnings results and favorable 2019 guidance, while health care REITs underperformed the Wilshire Index due to the subsector’s defensive nature during a period when the broad U.S. equity market rallied as well as on concerns around a supply/demand imbalance in senior housing. |
The Wilshire Index increased a more modest 1.62% during the second quarter of 2019. The single family, industrial and data center subsectors led the way, while malls, lodging and office subsectors proved laggards. Industrial REITs benefited from a solid first quarter 2019 earnings season and from secular demand trends to improve logistic facilities as a result of ongoing e-commerce trends. On the other hand, malls struggled as a result of store closures and bankruptcy announcements as well as challenging first quarter net operating income results. |
During the third quarter of 2019, the Wilshire Index returned 7.80%. REITs benefited during the quarter as investors largely accepted a modest slowdown in global economic growth as well as speculation of a potentially more severe trade dispute. Technology, triple net and health care REITs were the top performing subsectors, while hotel and retail underperformed. Technology REITs appreciated on solid international leasing demand and increased merger and acquisition chatter, while hotel REITs were weaker due to the lowered guidance across the subsector and declining revenue per available room. (Triple net properties are typically 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.) |
| The Wilshire Index then saw a downturn, returning -1.07% for the fourth quarter of 2019. REITs had outperformed the broader U.S. equity market through the third quarter of 2019, but then lagged significantly in the fourth quarter as investors shifted out of traditionally defensive sectors in favor of more economically-sensitive, cyclical sectors. Importantly, REITs experienced significantly less earnings volatility than the broader U.S. equity market throughout 2019. For the quarter, self-storage, health care and regional mall REITs underperformed the Index most, while office, specialty and industrial REITs outperformed the Index most. |
14
PORTFOLIO RESULTS
| For the Reporting Period overall, all subsectors of the Wilshire Index experienced positive returns, with industrial REITs leading the way on strong fundamentals. Technology, residential, triple net and office REITs also posted robust double-digit gains for the Reporting Period. The retail subsector was weakest, suffering from accelerating bankruptcies, declining 2020 earnings expectations and increasing valuation uncertainty. Self-storage, hotel and health care REITs posted double-digit positive returns but also lagged the Wilshire Index during the Reporting Period. |
| Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | Most share classes of the Fund either outperformed or only slightly underperformed the Wilshire Index during the Reporting Period, as both stock selection and allocation decisions overall added value. Contributing most positively to the Fund’s relative results was effective individual stock selection and allocation positioning in the office, hotel and technology subsectors. Having an underweight to retail, the weakest subsector in the Wilshire Index during the Reporting Period, also boosted relative results. Partially offsetting these positive contributors was weak stock selection in the retail and residential subsectors. Having a position in cash during a period when the Wilshire Index rallied dampened the Fund’s relative results as well. |
| Q | What were some of the Fund’s best-performing individual holdings? |
| A | Prologis, a global leader in logistics real estate, was the strongest positive contributor to the Fund’s performance during the Reporting Period. Its stock performed well during the Reporting Period, as the company substantially outperformed consensus earnings expectations due to record rent increases and significant earnings from its strategic capital business. We, like many investors, were also pleased with Prologis’ acquisition of Industrial Property Trust and its accretive merger with Liberty Property Trust, which we feel may result in $55 to $65 million of synergies. At the end of the Reporting Period, we continued to view Prologis as a high quality company and believed it may benefit going forward from ongoing innovation. |
Alexandria Real Estate Equities, an urban office REIT with an Environmental, Social and Governance (“ESG”) focus, was also a top contributor to Fund returns during the Reporting Period. Shares of the company benefited from strong leasing activity and rental rate growth over expiring rates on renewed and re-leased space. Its returns especially benefited in the third quarter of 2019 from net operating income growth and increased guidance for full-year 2019. At the end of the Reporting Period, we considered the company to be well positioned to deliver organic and external growth. |
Digital Realty Trust, a leading global provider of data center, colocation and interconnection solutions, also contributed positively to the Fund’s results during the Reporting Period. Shares of the company benefited from its announced merger with Interxion Holding, a Europe-based cloud-neutral colocation data center. Although initially dilutive, we expect this deal to increase the company’s growth in Europe and create long-term synergies. The company also performed well during the Reporting Period, following the trend of other data center REITs and the broader U.S. equity market. We began to view Digital Realty Trust as expensive given its low growth versus its peers and significant exposure to northern Virginia, where a large amount of new competition is negatively impacting pricing. Ultimately, we opted to exit the position, taking profits, and allocate the capital to fund higher conviction ideas. |
| Q | What were some of the Fund’s weakest-performing individual holdings? |
| A | Equinix, a data center provider, was the top detractor from the Fund’s results during the Reporting Period. While the company performed well, Equinix detracted given the Fund’s underweight position in the company. Its shares appreciated in the first three quarters of the 2019 calendar year, driven by favorable quarterly earnings reports. We were also pleased with the company’s ESG initiatives, and the company was awarded the Environmental Protection Agency’s Green Power Leadership Award for a third consecutive year. At the end of the Reporting Period, we remained encouraged by Equinix’s strong bookings across the Americas, Europe, Middle East and Africa region and Asia-Pacific, and believed the company may well continue to benefit from its attractive portfolio of assets and strong demand growth at the subsector level. |
Simon Property Group, an owner and operator of U.S. retail real estate properties, detracted from the Fund’s relative performance as well. Despite leasing spreads accelerating during the first quarter of 2019, the market reacted to the company’s reported first quarter 2019 same-store net operating income, which was lower than it expected. Even with funds from operations growth during the second quarter of 2019, the market reacted to the company’s reported second quarter of 2019 earnings, which were similarly lower than it expected. At the end of the Reporting Period, we |
15
PORTFOLIO RESULTS
retained our favorable view of Simon Property Group and believed the company maintains a top-tier portfolio of assets as well as one of the strongest balance sheets relative to its peers. We also believed its management team was a great capital allocator and had the potential to generate high cash flow growth. |
SL Green Realty, an office building and shopping center REIT primarily invested in New York City, also detracted from the Fund’s returns during the Reporting Period. We bought and sold this position for the Fund in 2019, capturing a loss despite the company’s positive 2019 performance. We eliminated the Fund’s position a few days prior to the release of its third quarter 2019 earnings results, wherein the company reported higher than consensus expected earnings. We had been discouraged by growing tenant re-locations and what we viewed as uninspiring Manhattan office and retail fundamentals. Additionally, we found the local political environment and the state and local tax reform challenging for office landlords in New York City. |
| Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | During the Reporting Period, the Fund used forward contracts to reduce currency risk. This had a modestly positive effect on the Fund’s performance. |
| 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 Invitation Homes, an owner and operator of single-family rental homes across America. In our view, the industry is attractive given strong demand to rent in the single-family home market. Additionally, we are pleased with the company’s expense management and its realizing of synergies from a large merger in late 2017. |
During the Reporting Period, we initiated a Fund position in Interxion Holding, a data center company located in Europe. The company performed well relative to U.S. data center companies due to faster demand growth and relatively less supply given that Europe is a less mature data center market. We found the company to be a likely merger and acquisition candidate based on its relatively small size with favorable market exposure. Indeed, as mentioned earlier, toward the end of 2019, Digital Realty Trust announced it will acquire Interxion Holding in an all-stock deal. |
Conversely, in addition to the sales mentioned earlier, we eliminated the Fund’s position in Vornado Realty Trust, an owner of office and retail properties. We sold the Fund’s position in January 2019 due to investor worries around softness in the New York City market, as rental growth and absorption rates in the area became a point of concern amidst increasing supply pressures. The Fund’s underweight position relative to the Wilshire Index positively contributed to its relative returns during the Reporting Period. |
| We exited the Fund’s position in SITE Centers, a shopping center REIT. Shares of the company rose rather steadily during the Reporting Period, driven by favorable quarterly earnings. As a result, its shares reached our price target, and so we sold the position to transition capital to what we considered to be higher risk/reward opportunities. |
| 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 industrial, residential and technology subsectors increased relative to the Wilshire Index and its exposure to the health care, office and retail subsectors decreased relative to the Wilshire Index. We also established a position in the triple net subsector 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 subsector perspective, the Fund had underweighted exposure compared to the Wilshire Index in the retail and health care subsectors and was rather neutrally weighted in the remaining subsectors of the Wilshire 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 maintained a constructive outlook for U.S. REITs overall for several reasons. First, despite being late in the real estate cycle, we believed fundamentals remained generally healthy, with limited new supply and stable or improving demand. Second, we felt the |
16
PORTFOLIO RESULTS
macro backdrop for REITs had improved with a moderating economic growth outlook and interest rate concerns reversing. This improved backdrop may be, in our view, a positive for financing costs, which, in turn, may translate to increased flows from equity investors seeking defense, yield and potentially better returns. Third, in our opinion, the dividend sustainability potential of REITs is high, and the quality of REITs’ growth has improved. Fourth, increased merger and acquisition activity should provide additional support to the sector, as record levels of private capital may translate to price discovery in listed markets. Finally, we believed valuations of most REITs remained attractive despite fourth quarter moves. In our view, REIT valuations at the end of the Reporting Period were generally cheap relative to those of bonds, equities and private real estate properties. |
Against this backdrop, we believe U.S. REIT returns may fall somewhere between those of equities and fixed income over the long term given that U.S. REITs offer some equity-like attributes, such as the ability to grow, and some fixed income-like attributes, such as attractive yield. As we begin a new year, we believe U.S. REITs may offer solid returns that outperform both fixed income and equities, especially cyclical equities, given moderating interest rate and economic growth market expectations. We believe such U.S. REIT returns will be comprised of dividend yield and growth (factoring in no multiple expansion), with the potential for upside from merger and acquisition activity. |
| * | Sector and subsector allocations are defined by GSAM and may differ from sector and subsector allocations used by the Wilshire Index. |
17
FUND BASICS
Real Estate Securities Fund
as of December 31, 2019
| TOP TEN HOLDINGS AS OF 12/31/191 | ||||||||
| Holding | % of Net Assets | Subsectors | ||||||
Prologis, Inc. (REIT) | 9.1 | % | Industrial | |||||
Equinix, Inc. (REIT) | 6.7 | Specialized | ||||||
Simon Property Group, Inc. (REIT) | 6.3 | Retail | ||||||
AvalonBay Communities, Inc. (REIT) | 6.0 | Residential | ||||||
Equity Residential (REIT) | 5.7 | Residential | ||||||
Alexandria Real Estate Equities, Inc. (REIT) | 4.4 | Office | ||||||
Healthpeak Properties, Inc. (REIT) | 3.6 | Health Care | ||||||
Welltower, Inc. (REIT) | 3.4 | Health Care | ||||||
Duke Realty Corp. (REIT) | 3.3 | Industrial | ||||||
Boston Properties, Inc. (REIT) | 3.1 | Office | ||||||
| 1 | The top 10 holdings may not be representative of the Fund’s future investments. |
| FUND VS. BENCHMARK SECTOR ALLOCATION2 |
| As of December 31, 2019 |
| 2 | 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. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
18
GOLDMAN SACHS REAL ESTATE SECURITIES FUND
Performance Summary
December 31, 2019
The following graph shows the value as of December 31, 2019, of a $1,000,000 investment made on January 1, 2010 in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the Wilshire U.S. Real Estate Securities Index, is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below 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 below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
| Real Estate Securities Fund’s 10 Year Performance |
Performance of a $1,000,000 Investment, with distributions reinvested, from January 1, 2010 through December 31, 2019.
| Average Annual Total Return through December 31, 2019* | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A | ||||||||||||||
Excluding sales charges | 25.49% | 5.67% | 10.95% | — | ||||||||||
Including sales charges | 18.62% | 4.49% | 10.32% | — | ||||||||||
| ||||||||||||||
Class C | — | |||||||||||||
Excluding contingent deferred sales charges | 24.62% | 4.89% | 10.13% | — | ||||||||||
Including contingent deferred sales charges | 23.43% | 4.89% | 10.13% | — | ||||||||||
| ||||||||||||||
Institutional | 26.01% | 6.11% | 11.41% | — | ||||||||||
| ||||||||||||||
Service | 25.40% | 5.56% | 10.83% | — | ||||||||||
| ||||||||||||||
Investor | 25.84% | 5.96% | 11.23% | — | ||||||||||
| ||||||||||||||
Class P (Commenced April 17, 2018) | 26.04% | N/A | N/A | 15.41% | ||||||||||
| ||||||||||||||
Class R | 25.14% | 5.41% | 10.68% | — | ||||||||||
| ||||||||||||||
Class R6 (Commenced July 31, 2015) | 26.02% | N/A | N/A | 6.95% | ||||||||||
| ||||||||||||||
| * | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A 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 Average Annual Total Return. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
19
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.
TheMSCI® EAFE Index is a market capitalization-weighted composite of securities in 21 developed markets. The MSCI® EAFE Index approximates the minimum possible dividend reinvestment. The dividend is reinvested after deduction for withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties. MSCI® Inc. uses withholding tax rates applicable to Luxembourg holding companies, as Luxembourg applies the highest rates. The MSCI® EAFE Index is unmanaged and the figures for the MSCI® EAFE Index do not include any deduction for fees or expenses.
TheFTSE 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).
TheFTSE 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).
TheWilshire 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.
20
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
December 31, 2019
| Shares | Description | Value | ||||||
| Common Stocks – 96.9% | ||||||||
| Australia – 4.3% | ||||||||
| 792,652 | Centuria Industrial REIT (REIT) (Industrial) | $ | 1,858,143 | |||||
| 495,403 | Goodman Group (REIT) (Industrial) | 4,655,396 | ||||||
| 1,723,460 | Mirvac Group (REIT) (Diversified) | 3,857,617 | ||||||
|
| |||||||
| 10,371,156 | ||||||||
|
| |||||||
| Belgium – 0.8% | ||||||||
| 9,935 | Warehouses De Pauw CVA (REIT) (Industrial) | 1,807,571 | ||||||
|
| |||||||
| Canada – 3.2% | ||||||||
| 20,284 | Allied Properties REIT (REIT) (Office) | 813,360 | ||||||
| 63,160 | Canadian Apartment Properties REIT (REIT) (Residential) | 2,578,346 | ||||||
| 239,187 | Chartwell Retirement Residences (Health Care) | 2,560,317 | ||||||
| 173,102 | Summit Industrial Income REIT (REIT) (Industrial) | 1,607,647 | ||||||
|
| |||||||
| 7,559,670 | ||||||||
|
| |||||||
| France – 2.8% | ||||||||
| 24,658 | Gecina SA (REIT) (Diversified) | 4,414,357 | ||||||
| 62,077 | Klepierre SA (REIT) (Retail) | 2,361,654 | ||||||
|
| |||||||
| 6,776,011 | ||||||||
|
| |||||||
| Germany – 4.5% | ||||||||
| 149,012 | alstria office REIT-AG (REIT) (Office) | 2,799,708 | ||||||
| 47,621 | Instone Real Estate Group AG (Real Estate Development)*(a) | 1,177,833 | ||||||
| 124,820 | Vonovia SE (Real Estate Operating Companies) | 6,704,003 | ||||||
|
| |||||||
| 10,681,544 | ||||||||
|
| |||||||
| Hong Kong – 6.1% | ||||||||
| 821,500 | CK Asset Holdings Ltd. (Real Estate Development) | 5,928,129 | ||||||
| 470,500 | Link REIT (REIT) (Retail) | 4,984,467 | ||||||
| 236,000 | Sun Hung Kai Properties Ltd. (Diversified) | 3,614,312 | ||||||
|
| |||||||
| 14,526,908 | ||||||||
|
| |||||||
| Ireland – 1.2% | ||||||||
| 195,908 | Dalata Hotel Group plc (Hotel) | 1,131,712 | ||||||
| 1,141,909 | Hibernia REIT plc (REIT) (Office) | 1,806,040 | ||||||
|
| |||||||
| 2,937,752 | ||||||||
|
| |||||||
| Japan – 11.8% | ||||||||
| 458 | Activia Properties, Inc. (REIT) (Diversified) | 2,295,278 | ||||||
| 1,839 | GLP J-REIT (REIT) (Industrial) | 2,283,200 | ||||||
| 6,203 | Invincible Investment Corp. (REIT) (Hotel) | 3,533,806 | ||||||
| 1,980 | Japan Rental Housing Investments, Inc. (REIT) (Residential) | 1,937,085 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Japan – (continued) | ||||||||
| 39,500 | Kyoritsu Maintenance Co. Ltd. (Hotel) | 1,870,665 | ||||||
| 313,800 | Mitsubishi Estate Co. Ltd. (Diversified) | 6,004,525 | ||||||
| 686 | Mitsui Fudosan Logistics Park, Inc. (REIT) (Industrial) | 3,046,293 | ||||||
| 2,058 | Sankei Real Estate, Inc. (REIT) (Office) | 2,417,931 | ||||||
| 137,100 | Sumitomo Realty & Development Co. Ltd. (Diversified) | 4,783,350 | ||||||
|
| |||||||
| 28,172,133 | ||||||||
|
| |||||||
| Norway – 1.1% | ||||||||
| 162,765 | Entra ASA (Real Estate Operating Companies)(a) | 2,690,805 | ||||||
|
| |||||||
| Singapore – 3.7% | ||||||||
| 2,707,900 | Ascendas India Trust (REIT) (Real Estate Operating Companies) | 3,120,744 | ||||||
| 330,000 | Ascendas REIT (REIT) (Industrial) | 729,087 | ||||||
| 1,371,000 | CapitaLand Ltd. (Diversified) | 3,825,800 | ||||||
| 615,300 | CapitaLand Mall Trust (REIT) (Retail) | 1,126,346 | ||||||
|
| |||||||
| 8,801,977 | ||||||||
|
| |||||||
| Spain – 1.9% | ||||||||
| 51,975 | Aedas Homes SAU (Real Estate Development)*(a) | 1,250,542 | ||||||
| 230,172 | Merlin Properties Socimi SA (REIT) (Diversified) | 3,308,344 | ||||||
|
| |||||||
| 4,558,886 | ||||||||
|
| |||||||
| Sweden – 1.5% | ||||||||
| 154,898 | Castellum AB (Real Estate Operating Companies) | 3,638,297 | ||||||
|
| |||||||
| United Kingdom – 4.6% | ||||||||
| 195,668 | Big Yellow Group plc (REIT) (Specialized) | 3,107,722 | ||||||
| 1,179,004 | Tritax Big Box REIT plc (REIT) (Industrial) | 2,326,610 | ||||||
| 1,851,523 | Tritax EuroBox plc (Diversified)(a) | 2,305,307 | ||||||
| 198,336 | UNITE Group plc (The) (REIT) (Residential) | 3,310,220 | ||||||
|
| |||||||
| 11,049,859 | ||||||||
|
| |||||||
| United States – 49.4% | ||||||||
| 29,676 | Alexandria Real Estate Equities, Inc. (REIT) (Office) | 4,795,048 | ||||||
| 34,753 | AvalonBay Communities, Inc. (REIT) (Residential) | 7,287,704 | ||||||
| 29,021 | Boston Properties, Inc. (REIT) (Office) | 4,000,835 | ||||||
| 42,573 | Camden Property Trust (REIT) (Residential) | 4,516,995 | ||||||
| 15,375 | Crown Castle International Corp. (REIT) (Specialized) | 2,185,556 | ||||||
| 67,322 | Cushman & Wakefield plc (Real Estate Services)* | 1,376,062 | ||||||
|
| |||||||
| The accompanying notes are an integral part of these financial statements. | 21 |
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
Schedule of Investments(continued)
December 31, 2019
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| United States – (continued) | ||||||||
| 39,464 | CyrusOne, Inc. (REIT) (Specialized) | $ | 2,582,130 | |||||
| 53,975 | Douglas Emmett, Inc. (REIT) (Office) | 2,369,503 | ||||||
| 107,598 | Duke Realty Corp. (REIT) (Industrial) | 3,730,423 | ||||||
| 2,094 | Equinix, Inc. (REIT) (Specialized) | 1,222,268 | ||||||
| 43,843 | Equity LifeStyle Properties, Inc. (REIT) (Residential) | 3,086,109 | ||||||
| 82,355 | Equity Residential (REIT) (Residential) | 6,664,167 | ||||||
| 13,630 | Essex Property Trust, Inc. (REIT) (Residential) | 4,100,722 | ||||||
| 28,618 | Extra Space Storage, Inc. (REIT) (Specialized) | 3,022,633 | ||||||
| 19,337 | Federal Realty Investment Trust (REIT) (Retail) | 2,489,252 | ||||||
| 71,432 | Healthcare Realty Trust, Inc. (REIT) (Health Care) | 2,383,686 | ||||||
| 147,528 | Healthpeak Properties, Inc. (REIT) (Health Care) | 5,085,290 | ||||||
| 118,459 | Host Hotels & Resorts, Inc. (REIT) (Hotel) | 2,197,414 | ||||||
| 64,812 | Hudson Pacific Properties, Inc. (REIT) (Office) | 2,440,172 | ||||||
| 142,771 | Invitation Homes, Inc. (REIT) (Residential) | 4,278,847 | ||||||
| 28,916 | Kilroy Realty Corp. (REIT) (Office) | 2,426,052 | ||||||
| 21,506 | Life Storage, Inc. (REIT) (Specialized) | 2,328,670 | ||||||
| 53,074 | Mack-Cali Realty Corp. (REIT) (Office) | 1,227,602 | ||||||
| 50,902 | Pebblebrook Hotel Trust (REIT) (Hotel) | 1,364,683 | ||||||
| 109,953 | Prologis, Inc. (REIT) (Industrial) | 9,801,210 | ||||||
| 11,682 | Public Storage (REIT) (Specialized) | 2,487,799 | ||||||
| 31,742 | Realty Income Corp. (REIT) (Retail) | 2,337,163 | ||||||
| 34,754 | Regency Centers Corp. (REIT) (Retail) | 2,192,630 | ||||||
| 125,354 | RLJ Lodging Trust (REIT) (Hotel) | 2,221,273 | ||||||
| 18,249 | Ryman Hospitality Properties, Inc. (REIT) (Hotel) | 1,581,458 | ||||||
| 54,716 | Simon Property Group, Inc. (REIT) (Retail) | 8,150,495 | ||||||
| 46,172 | STAG Industrial, Inc. (REIT) (Industrial) | 1,457,650 | ||||||
| 63,331 | STORE Capital Corp. (REIT) (Diversified) | 2,358,446 | ||||||
| 77,040 | Urban Edge Properties (REIT) (Retail) | 1,477,627 | ||||||
| 27,088 | Ventas, Inc. (REIT) (Health Care) | 1,564,061 | ||||||
| 46,496 | Welltower, Inc. (REIT) (Health Care) | 3,802,443 | ||||||
| 14,778 | WP Carey, Inc. (REIT) (Diversified) | 1,182,831 | ||||||
|
| |||||||
| 117,776,909 | ||||||||
|
| |||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $197,548,925) | $ | 231,349,478 | ||||||
|
| |||||||
| Shares | Dividend Rate | Value | ||||||
| Investment Company(b) – 2.6% | ||||||||
| | Goldman Sachs Financial Square Government Fund – | | ||||||
| 6,122,427 | 1.638% | $ | 6,122,427 | |||||
| (Cost $6,122,427) | ||||||||
|
| |||||||
| TOTAL INVESTMENTS – 99.5% | ||||||||
| (Cost $203,671,352) | $ | 237,471,905 | ||||||
|
| |||||||
| | OTHER ASSETS IN EXCESS OF LIABILITIES – 0.5% | 1,083,395 | ||||||
|
| |||||||
| NET ASSETS – 100.0% | $ | 238,555,300 | ||||||
|
| |||||||
| 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. | |
(b) | Represents an Affiliated Issuer. | |
| ||||
Investment Abbreviations: | ||||
CVA | —Dutch Certification | |||
REIT | —Real Estate Investment Trust | |||
| ||||
| 22 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL REAL ESTATE SECURITIES FUND
Schedule of Investments
December 31, 2019
| Shares | Description | Value | ||||||
| Common Stocks – 98.8% | ||||||||
| Australia – 8.2% | ||||||||
| 439,334 | Centuria Industrial REIT (REIT) (Industrial) | $ | 1,029,891 | |||||
| 65,965 | Dexus (REIT) (Office) | 543,010 | ||||||
| 274,092 | Goodman Group (REIT) (Industrial) | 2,575,695 | ||||||
| 896,051 | Mirvac Group (REIT) (Diversified) | 2,005,629 | ||||||
| 148,565 | Scentre Group (REIT) (Retail) | 399,826 | ||||||
|
| |||||||
| 6,554,051 | ||||||||
|
| |||||||
| Belgium – 0.8% | ||||||||
| 3,306 | Warehouses De Pauw CVA (REIT) (Industrial) | 601,493 | ||||||
|
| |||||||
| Canada – 6.6% | ||||||||
| 20,758 | Allied Properties REIT (REIT) (Office) | 832,366 | ||||||
| 40,695 | Canadian Apartment Properties REIT (REIT) (Residential) | 1,661,270 | ||||||
| 158,928 | Chartwell Retirement Residences (Health Care) | 1,701,204 | ||||||
| 118,218 | Summit Industrial Income REIT (REIT) (Industrial) | 1,097,924 | ||||||
|
| |||||||
| 5,292,764 | ||||||||
|
| |||||||
| France – 6.2% | ||||||||
| 12,058 | Gecina SA (REIT) (Diversified) | 2,158,663 | ||||||
| 46,966 | Klepierre SA (REIT) (Retail) | 1,786,772 | ||||||
| 6,648 | Unibail-Rodamco-Westfield (REIT) (Retail) | 1,048,836 | ||||||
|
| |||||||
| 4,994,271 | ||||||||
|
| |||||||
| Germany – 10.2% | ||||||||
| 59,601 | alstria office REIT-AG (REIT) (Office) | 1,119,812 | ||||||
| 18,018 | Instone Real Estate Group AG (Real Estate Development)*(a) | 445,648 | ||||||
| 123,225 | Vonovia SE (Real Estate Operating Companies) | 6,618,336 | ||||||
|
| |||||||
| 8,183,796 | ||||||||
|
| |||||||
| Hong Kong – 13.3% | ||||||||
| 549,500 | CK Asset Holdings Ltd. (Real Estate Development) | 3,965,316 | ||||||
| 279,500 | Link REIT (REIT) (Retail) | 2,961,017 | ||||||
| 242,975 | Sun Hung Kai Properties Ltd. (Diversified) | 3,721,133 | ||||||
|
| |||||||
| 10,647,466 | ||||||||
|
| |||||||
| Ireland – 1.4% | ||||||||
| 77,562 | Dalata Hotel Group plc (Hotel) | 448,057 | ||||||
| 429,088 | Hibernia REIT plc (REIT) (Office) | 678,644 | ||||||
|
| |||||||
| 1,126,701 | ||||||||
|
| |||||||
| Japan – 25.6% | ||||||||
| 340 | Activia Properties, Inc. (REIT) (Diversified) | 1,703,918 | ||||||
| 1,430 | GLP J-REIT (REIT) (Industrial) | 1,775,408 | ||||||
| 4,110 | Invincible Investment Corp. (REIT) (Hotel) | 2,341,439 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Japan – (continued) | ||||||||
| 1,013 | Japan Rental Housing Investments, Inc. (REIT) (Residential) | $ | 991,044 | |||||
| 16,700 | Kyoritsu Maintenance Co. Ltd. (Hotel) | 790,889 | ||||||
| 240,700 | Mitsubishi Estate Co. Ltd. (Diversified) | 4,605,765 | ||||||
| 82,000 | Mitsui Fudosan Co. Ltd. (Diversified) | 2,004,074 | ||||||
| 270 | Mitsui Fudosan Logistics Park, Inc. (REIT) (Industrial) | 1,198,978 | ||||||
| 1,386 | Sankei Real Estate, Inc. (REIT) (Office) | 1,628,403 | ||||||
| 99,300 | Sumitomo Realty & Development Co. Ltd. (Diversified) | 3,464,527 | ||||||
|
| |||||||
| 20,504,445 | ||||||||
|
| |||||||
| Norway – 1.6% | ||||||||
| 78,690 | Entra ASA (Real Estate Operating Companies)(a) | 1,300,890 | ||||||
|
| |||||||
| Singapore – 5.5% | ||||||||
| 1,297,800 | Ascendas India Trust (REIT) (Real Estate Operating Companies) | 1,495,662 | ||||||
| 218,400 | Ascendas REIT (REIT) (Industrial) | 482,523 | ||||||
| 691,800 | CapitaLand Ltd. (Diversified) | 1,930,480 | ||||||
| 282,700 | CapitaLand Mall Trust (REIT) (Retail) | 517,500 | ||||||
|
| |||||||
| 4,426,165 | ||||||||
|
| |||||||
| Spain – 3.0% | ||||||||
| 18,023 | Aedas Homes SAU (Real Estate Development)*(a) | 433,642 | ||||||
| 134,997 | Merlin Properties Socimi SA (REIT) (Diversified) | 1,940,360 | ||||||
|
| |||||||
| 2,374,002 | ||||||||
|
| |||||||
| Sweden – 2.8% | ||||||||
| 93,510 | Castellum AB (Real Estate Operating Companies) | 2,196,395 | ||||||
|
| |||||||
| Switzerland – 2.4% | ||||||||
| 14,131 | PSP Swiss Property AG (Registered) (Real Estate Operating Companies) | 1,951,132 | ||||||
|
| |||||||
| United Kingdom – 11.2% | ||||||||
| 129,616 | Big Yellow Group plc (REIT) (Specialized) | 2,058,642 | ||||||
| 41,481 | Derwent London plc (REIT) (Office) | 2,203,324 | ||||||
| 700,914 | Tritax Big Box REIT plc (REIT) (Industrial) | 1,383,162 | ||||||
| 661,490 | Tritax EuroBox plc (Diversified)(a) | 823,613 | ||||||
| 149,659 | UNITE Group plc (The) (REIT) (Residential) | 2,497,803 | ||||||
|
| |||||||
| 8,966,544 | ||||||||
|
| |||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $72,050,652) | $ | 79,120,115 | ||||||
|
| |||||||
| The accompanying notes are an integral part of these financial statements. | 23 |
GOLDMAN SACHS INTERNATIONAL REAL ESTATE SECURITIES FUND
Schedule of Investments(continued)
December 31, 2019
| Shares | Dividend Rate | Value | ||||
| Investment Company(b) – 1.7% | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares | ||||||
| 1,343,186 | 1.638% | $ | 1,343,186 | |||
| (Cost $1,343,186) | ||||||
| ||||||
| TOTAL INVESTMENTS – 100.5% | ||||||
| (Cost $73,393,838) | $ | 80,463,301 | ||||
| ||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS – (0.5)% | (413,081 | ) | ||||
| ||||||
| NET ASSETS – 100.0% | $ | 80,050,220 | ||||
| ||||||
| 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. | |
(b) | Represents an Affiliated Issuer. | |
| ||||
Investment Abbreviations: | ||||
CVA | —Dutch Certification | |||
REIT | —Real Estate Investment Trust | |||
| ||||
| 24 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS REAL ESTATE SECURITIES FUND
Schedule of Investments
December 31, 2019
| Shares | Description | Value | ||||||
| Common Stocks – 99.3% | ||||||||
| Diversified – 1.8% | ||||||||
| 37,981 | STORE Capital Corp. (REIT) | $ | 1,414,412 | |||||
| 18,131 | WP Carey, Inc. (REIT) | 1,451,205 | ||||||
|
| |||||||
| 2,865,617 | ||||||||
|
| |||||||
| Health Care – 10.5% | ||||||||
| 88,134 | Healthcare Realty Trust, Inc. (REIT) | 2,941,032 | ||||||
| 165,098 | Healthpeak Properties, Inc. (REIT) | 5,690,928 | ||||||
| 44,224 | Ventas, Inc. (REIT) | 2,553,494 | ||||||
| 66,240 | Welltower, Inc. (REIT) | 5,417,107 | ||||||
|
| |||||||
| 16,602,561 | ||||||||
|
| |||||||
| Hotel – 5.5% | ||||||||
| 203,777 | Host Hotels & Resorts, Inc. (REIT) | 3,780,063 | ||||||
| 135,987 | RLJ Lodging Trust (REIT) | 2,409,690 | ||||||
| 28,669 | Ryman Hospitality Properties, Inc. (REIT) | 2,484,456 | ||||||
|
| |||||||
| 8,674,209 | ||||||||
|
| |||||||
| Industrial – 13.5% | ||||||||
| 152,001 | Duke Realty Corp. (REIT) | 5,269,875 | ||||||
| 161,741 | Prologis, Inc. (REIT) | 14,417,593 | ||||||
| 57,620 | STAG Industrial, Inc. (REIT) | 1,819,063 | ||||||
|
| |||||||
| 21,506,531 | ||||||||
|
| |||||||
| IT Consulting & Other Services – 1.3% | ||||||||
| 24,324 | InterXion Holding NV* | 2,038,594 | ||||||
|
| |||||||
| Office – 15.1% | ||||||||
| 43,233 | Alexandria Real Estate Equities, Inc. (REIT) | 6,985,588 | ||||||
| 35,586 | Boston Properties, Inc. (REIT) | 4,905,886 | ||||||
| 79,835 | Douglas Emmett, Inc. (REIT) | 3,504,757 | ||||||
| 104,477 | Hudson Pacific Properties, Inc. (REIT) | 3,933,559 | ||||||
| 40,397 | Kilroy Realty Corp. (REIT) | 3,389,308 | ||||||
| 58,134 | Mack-Cali Realty Corp. (REIT) | 1,344,639 | ||||||
|
| |||||||
| 24,063,737 | ||||||||
|
| |||||||
| Residential – 23.1% | ||||||||
| 45,403 | AvalonBay Communities, Inc. (REIT) | 9,521,009 | ||||||
| 44,702 | Camden Property Trust (REIT) | 4,742,882 | ||||||
| 61,290 | Equity LifeStyle Properties, Inc. (REIT) | 4,314,203 | ||||||
| 111,250 | Equity Residential (REIT) | 9,002,350 | ||||||
| 15,104 | Essex Property Trust, Inc. (REIT) | 4,544,190 | ||||||
| 148,376 | Invitation Homes, Inc. (REIT) | 4,446,829 | ||||||
|
| |||||||
| 36,571,463 | ||||||||
|
| |||||||
| Retail – 11.3% | ||||||||
| 20,724 | Federal Realty Investment Trust (REIT) | 2,667,801 | ||||||
| 49,684 | Regency Centers Corp. (REIT) | 3,134,564 | ||||||
| 66,605 | Simon Property Group, Inc. (REIT) | 9,921,481 | ||||||
| 105,167 | Urban Edge Properties (REIT) | 2,017,103 | ||||||
|
| |||||||
| 17,740,949 | ||||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Specialized – 17.2% | ||||||||
| 14,735 | Crown Castle International Corp. (REIT) | 2,094,580 | ||||||
| 45,654 | CyrusOne, Inc. (REIT) | 2,987,141 | ||||||
| 18,192 | Equinix, Inc. (REIT) | 10,618,670 | ||||||
| 42,789 | Extra Space Storage, Inc. (REIT) | 4,519,374 | ||||||
| 25,943 | Life Storage, Inc. (REIT) | 2,809,108 | ||||||
| 19,492 | Public Storage (REIT) | 4,151,016 | ||||||
|
| |||||||
| 27,179,889 | ||||||||
|
| |||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $100,711,278) | $ | 157,243,550 | ||||||
|
| |||||||
| Shares | Distribution Rate | Value | ||||||
| Investment Company(a)– 0.5% | ||||||||
| | Goldman Sachs Financial Square Government Fund – | | ||||||
| 836,777 | 1.638% | $ | 836,777 | |||||
| (Cost $836,777) | ||||||||
|
| |||||||
| TOTAL INVESTMENTS – 99.8% | ||||||||
| (Cost $101,548,055) | $ | 158,080,327 | ||||||
|
| |||||||
| | OTHER ASSETS IN EXCESS OF LIABILITIES – 0.2% | 259,742 | ||||||
|
| |||||||
| NET ASSETS – 100.0% | $ | 158,340,069 | ||||||
|
| |||||||
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | Represents an Affiliated Issuer. | |
| ||||||
Investment Abbreviation: | ||||||
REIT | —Real Estate Investment Trust | |||||
| ||||||
| The accompanying notes are an integral part of these financial statements. | 25 |
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Statements of Assets and Liabilities
December 31, 2019
| Global Real Estate Securities Fund | International Real Estate Securities Fund | Real Estate Securities Fund | ||||||||||||
| Assets: |
| |||||||||||||
Investments in unaffiliated issuers, at value (cost $197,548,925, $72,050,652 and $100,711,278) | $ | 231,349,478 | $ | 79,120,115 | $ | 157,243,550 | ||||||||
Investments in affiliated issuers, at value (cost $6,122,427, $1,343,186 and $836,777) | 6,122,427 | 1,343,186 | 836,777 | |||||||||||
Cash | 612,525 | 46,769 | 657,950 | |||||||||||
Foreign currencies, at value (cost $326,526, $69,760 and $0) | 326,980 | 70,118 | — | |||||||||||
Receivables: |
| |||||||||||||
Dividends | 829,028 | 219,780 | 579,996 | |||||||||||
Investments sold | 164,082 | 1,096,611 | — | |||||||||||
Foreign tax reclaims | 146,192 | 236,419 | — | |||||||||||
Reimbursement from investment adviser | 34,997 | 31,106 | 37,313 | |||||||||||
Fund shares sold | — | 48,074 | 16,750 | |||||||||||
Other assets | 41,261 | 30,538 | 47,763 | |||||||||||
| Total assets | 239,626,970 | 82,242,716 | 159,420,099 | |||||||||||
| Liabilities: |
| |||||||||||||
Payables: | ||||||||||||||
Fund shares redeemed | 702,933 | 1,855,528 | 774,304 | |||||||||||
Management fees | 186,114 | 65,014 | 117,603 | |||||||||||
Distribution and Service fees and Transfer Agency fees | 6,149 | 3,235 | 18,284 | |||||||||||
Investments purchased | 2,392 | 125 | — | |||||||||||
Due to custodian | — | 81,061 | — | |||||||||||
Accrued expenses | 174,082 | 187,533 | 169,839 | |||||||||||
| Total liabilities | 1,071,670 | 2,192,496 | 1,080,030 | |||||||||||
| Net Assets: |
| |||||||||||||
Paid-in capital | 211,250,067 | 84,947,856 | 101,840,173 | |||||||||||
Total distributable earnings (loss) | 27,305,233 | (4,897,636 | ) | 56,499,896 | ||||||||||
| NET ASSETS | $ | 238,555,300 | $ | 80,050,220 | $ | 158,340,069 | ||||||||
Net Assets: | ||||||||||||||
Class A | $ | 53,646 | $ | 2,888,075 | $ | 27,488,287 | ||||||||
Class C | 65,747 | 157,997 | 2,614,882 | |||||||||||
Institutional | 2,131,002 | 6,937,700 | 30,068,525 | |||||||||||
Service | — | — | 1,608,016 | |||||||||||
Investor | 33,751 | 116,959 | 4,531,652 | |||||||||||
Class P | 43,099,216 | 69,936,995 | 89,616,046 | |||||||||||
Class R | 33,028 | — | 1,439,957 | |||||||||||
Class R6 | 193,138,910 | 12,494 | 972,704 | |||||||||||
Total Net Assets | $ | 238,555,300 | $ | 80,050,220 | $ | 158,340,069 | ||||||||
Shares outstanding $0.001 par value (unlimited shares authorized): | ||||||||||||||
Class A | 4,814 | 433,379 | 2,071,080 | |||||||||||
Class C | 5,930 | 23,498 | 209,211 | |||||||||||
Institutional | 191,381 | 1,079,086 | 2,174,568 | |||||||||||
Service | — | — | 119,977 | |||||||||||
Investor | 3,037 | 17,715 | 337,542 | |||||||||||
Class P | 3,881,055 | 10,903,221 | 6,485,108 | |||||||||||
Class R | 2,974 | — | 109,984 | |||||||||||
Class R6 | 17,380,363 | 1,944 | 70,346 | |||||||||||
Net asset value, offering and redemption price per share:(a) | ||||||||||||||
Class A | $11.14 | $6.66 | $13.27 | |||||||||||
Class C | 11.09 | 6.72 | 12.50 | |||||||||||
Institutional | 11.13 | 6.43 | 13.83 | |||||||||||
Service | — | — | 13.40 | |||||||||||
Investor | 11.11 | 6.60 | 13.43 | |||||||||||
Class P | 11.11 | 6.41 | 13.82 | |||||||||||
Class R | 11.10 | (b) | — | 13.09 | ||||||||||
Class R6 | 11.11 | 6.43 | 13.83 | |||||||||||
| (a) | 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 $11.79, $7.05 and $14.04, 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. |
| (b) | Net asset value may not recalculate due to rounding of fractional shares. |
| 26 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Statements of Operations
For the Fiscal Year Ended December 31, 2019
| 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 $383,230, $296,266 and $0) | $ | 7,251,924 | $ | 2,601,246 | $ | 4,666,266 | ||||||||
Dividends — affiliated issuers | 88,517 | 28,226 | 40,783 | |||||||||||
Securities lending income — affiliated issuer | 19,838 | — | — | |||||||||||
| Total investment income | 7,360,279 | 2,629,472 | 4,707,049 | |||||||||||
| Expenses: |
| |||||||||||||
Management fees | 2,379,580 | 811,044 | 1,463,739 | |||||||||||
Custody, accounting and administrative services | 129,737 | 112,249 | 105,020 | |||||||||||
Professional fees | 117,129 | 109,057 | 111,049 | |||||||||||
Registration fees | 107,325 | 98,344 | 128,342 | |||||||||||
Transfer Agency fees(a) | 77,779 | 31,237 | 114,181 | |||||||||||
Printing and mailing costs | 48,091 | 34,756 | 45,154 | |||||||||||
Shareholder meeting expense | 4,936 | 6,116 | 9,030 | |||||||||||
Trustee fees | 16,237 | 15,973 | 16,098 | |||||||||||
Distribution and Service fees(a) | 1,790 | 9,539 | 113,036 | |||||||||||
Service share fees — Service and Shareholder Administration Plan | — | — | 8,570 | |||||||||||
Other | 34,919 | 67,184 | 51,715 | |||||||||||
| Total expenses | 2,917,523 | 1,295,499 | 2,165,934 | |||||||||||
Less — expense reductions | (450,108 | ) | (439,280 | ) | (457,315 | ) | ||||||||
| Net expenses | 2,467,415 | 856,219 | 1,708,619 | |||||||||||
| NET INVESTMENT INCOME | 4,892,864 | 1,773,253 | 2,998,430 | |||||||||||
| Realized and unrealized gain (loss): |
| |||||||||||||
Net realized gain (loss) from: | ||||||||||||||
Investments — unaffiliated issuers | 10,705,119 | 2,203,917 | 18,350,551 | |||||||||||
Forward foreign currency exchange contracts | — | — | 85,428 | |||||||||||
Foreign currency transactions | 9,228 | (5,074 | ) | (3,151 | ) | |||||||||
Net change in unrealized gain (loss) on: | ||||||||||||||
Investments — unaffiliated issuers | 42,535,847 | 12,855,197 | 17,001,426 | |||||||||||
Forward foreign currency exchange contracts | — | — | (4,571 | ) | ||||||||||
Foreign currency translation | 5,380 | 5,342 | — | |||||||||||
| Net realized and unrealized gain | 53,255,574 | 15,059,382 | 35,429,683 | |||||||||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 58,148,438 | $ | 16,832,635 | $ | 38,428,113 | ||||||||
| (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 | Class R | Class A | Class C | Institutional | Service | Investor | Class P | Class R | Class R6 | |||||||||||||||||||||||||||||||||
Global Real Estate Securities | $ | 1,078 | $ | 556 | $ | 156 | $ | 770 | $ | 97 | $ | 829 | N/A | $ | 56 | $ | 12,544 | $ | 54 | $ | 63,429 | |||||||||||||||||||||||
International Real Estate Securities | 7,672 | 1,867 | N/A | 5,375 | 328 | 2,958 | N/A | 193 | 22,362 | N/A | 21 | |||||||||||||||||||||||||||||||||
Real Estate Securities | 71,599 | 32,583 | 8,854 | 50,117 | 5,716 | 12,472 | $ | 686 | 13,965 | 27,887 | 3,102 | 236 | ||||||||||||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 27 |
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Statements of Changes in Net Assets
| Global Real Estate Securities Fund | International Real Estate Securities Fund | |||||||||||||||||||||
| For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||||||||
| From operations: |
| |||||||||||||||||||||
Net investment income | $ | 4,892,864 | $ | 7,694,004 | $ | 1,773,253 | $ | 2,589,738 | ||||||||||||||
Net realized gain (loss) | 10,714,347 | (513,957 | ) | 2,198,843 | 1,093,599 | |||||||||||||||||
Net change in unrealized gain (loss) | 42,541,227 | (24,402,772 | ) | 12,860,539 | (10,549,283 | ) | ||||||||||||||||
| Net increase (decrease) in net assets resulting from operations | 58,148,438 | (17,222,725 | ) | 16,832,635 | (6,865,946 | ) | ||||||||||||||||
| Distributions to shareholders: |
| |||||||||||||||||||||
From distributable earnings: | ||||||||||||||||||||||
Class A Shares | (8,437 | ) | (21,735 | ) | (183,401 | ) | (72,733 | ) | ||||||||||||||
Class C Shares | (4,483 | ) | (315 | ) | (8,170 | ) | (4,862 | ) | ||||||||||||||
Institutional Shares | (167,237 | ) | (114,092 | ) | (468,447 | ) | (227,990 | ) | ||||||||||||||
Investor Shares | (2,592 | ) | (609 | ) | (7,508 | ) | (2,509 | ) | ||||||||||||||
Class P Shares(a) | (3,426,805 | ) | (359,656 | ) | (4,954,363 | ) | (2,124,941 | ) | ||||||||||||||
Class R Shares | (2,388 | ) | (459 | ) | — | — | ||||||||||||||||
Class R6 Shares | (15,480,001 | ) | (6,882,760 | ) | (1,403 | ) | (11,771 | ) | ||||||||||||||
Return of capital | ||||||||||||||||||||||
Class A Shares | — | (6,159 | ) | — | — | |||||||||||||||||
Class C Shares | — | (145 | ) | — | — | |||||||||||||||||
Institutional Shares | — | (36,030 | ) | — | — | |||||||||||||||||
Investor Shares | — | (148 | ) | — | — | |||||||||||||||||
Class P Shares(a) | — | (79,238 | ) | — | — | |||||||||||||||||
Class R Shares | — | (147 | ) | — | — | |||||||||||||||||
Class R6 Shares | — | (1,558,561 | ) | — | — | |||||||||||||||||
| Total distributions to shareholders | (19,091,943 | ) | (9,060,054 | ) | (5,623,292 | ) | (2,444,806 | ) | ||||||||||||||
| From share transactions: |
| |||||||||||||||||||||
Proceeds from sales of shares | 16,341,265 | 388,120,447 | 3,018,061 | 117,088,263 | ||||||||||||||||||
Reinvestment of distributions | 19,091,244 | 9,059,523 | 5,620,083 | 2,441,899 | ||||||||||||||||||
Cost of shares redeemed | (137,841,618 | ) | (409,399,836 | ) | (35,565,954 | ) | (137,525,695 | ) | ||||||||||||||
| Net decrease in net assets resulting from share transactions | (102,409,109 | ) | (12,219,866 | ) | (26,927,810 | ) | (17,995,533 | ) | ||||||||||||||
| TOTAL DECREASE | (63,352,614 | ) | (38,502,645 | ) | (15,718,467 | ) | (27,306,285 | ) | ||||||||||||||
| Net Assets: |
| |||||||||||||||||||||
Beginning of year | 301,907,914 | 340,410,559 | 95,768,687 | 123,074,972 | ||||||||||||||||||
End of year | $ | 238,555,300 | $ | 301,907,914 | $ | 80,050,220 | $ | 95,768,687 | ||||||||||||||
| (a) | Commenced operations on April 17, 2018. |
| 28 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Statements of Changes in Net Assets(continued)
| Real Estate Securities Fund | ||||||||||
| For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||
| From operations: |
| |||||||||
Net investment income | $ | 2,998,430 | $ | 4,751,873 | ||||||
Net realized gain | 18,432,828 | 24,114,327 | ||||||||
Net change in unrealized gain (loss) | 16,996,855 | (38,901,542 | ) | |||||||
| Net increase (decrease) in net assets resulting from operations | 38,428,113 | (10,035,342 | ) | |||||||
| Distributions to shareholders: |
| |||||||||
From distributable earnings: | ||||||||||
Class A Shares | (4,434,753 | ) | (4,351,150 | ) | ||||||
Class C Shares | (465,177 | ) | (645,744 | ) | ||||||
Institutional Shares | (4,792,454 | ) | (6,004,021 | ) | ||||||
Service Shares | (276,914 | ) | (233,397 | ) | ||||||
Investor Shares | (820,674 | ) | (1,352,024 | ) | ||||||
Class P Shares(a) | (14,663,341 | ) | (15,469,785 | ) | ||||||
Class R Shares | (241,139 | ) | (288,384 | ) | ||||||
Class R6 Shares | (149,539 | ) | (130,756 | ) | ||||||
| Total distributions to shareholders | (25,843,991 | ) | (28,475,261 | ) | ||||||
| From share transactions: |
| |||||||||
Proceeds from sales of shares | 16,358,201 | 173,737,317 | ||||||||
Reinvestment of distributions | 25,157,239 | 27,655,532 | ||||||||
Cost of shares redeemed | (58,110,627 | ) | (273,708,249 | ) | ||||||
| Net decrease in net assets resulting from share transactions | (16,595,187 | ) | (72,315,400 | ) | ||||||
| TOTAL DECREASE | (4,011,065 | ) | (110,826,003 | ) | ||||||
| Net Assets: |
| |||||||||
Beginning of year | 162,351,134 | 273,177,137 | ||||||||
End of year | $ | 158,340,069 | $ | 162,351,134 | ||||||
| (a) | Commenced operations on April 17, 2018. |
| The accompanying notes are an integral part of these financial statements. | 29 |
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
Selected Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Global Real Estate Securities Fund | ||||||||||||||||||||||
| Class A Shares | ||||||||||||||||||||||
| Year Ended December 31, | August 31, 2015* to December 31, 2015 | |||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.79 | $ | 10.64 | $ | 10.05 | $ | 10.44 | $ | 10.00 | ||||||||||||
Net investment income(a) | 0.17 | 0.19 | 0.21 | 0.17 | 0.05 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.01 | (0.79 | ) | 0.63 | (0.08 | ) | 0.52 | |||||||||||||||
Total from investment operations | 2.18 | (0.60 | ) | 0.84 | 0.09 | 0.57 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.53 | ) | (0.20 | ) | (0.25 | ) | (0.29 | ) | (0.12 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.30 | ) | — | — | (b) | (0.17 | ) | (0.01 | ) | |||||||||||||
Distributions to shareholders from return of capital | — | (0.05 | ) | — | (0.02 | ) | — | |||||||||||||||
Total distributions | (0.83 | ) | (0.25 | ) | (0.25 | ) | (0.48 | ) | (0.13 | ) | ||||||||||||
Net asset value, end of period | $ | 11.14 | $ | 9.79 | $ | 10.64 | $ | 10.05 | $ | 10.44 | ||||||||||||
| Total return(c) | 22.47 | % | (5.77 | )% | 8.50 | % | 0.82 | % | 5.71 | % | ||||||||||||
Net assets, end of period (in 000s) | $ | 54 | $ | 905 | $ | 1,768 | $ | 32 | $ | 26 | ||||||||||||
Ratio of net expenses to average net assets | 1.36 | % | 1.37 | % | 1.39 | % | 1.44 | % | 1.40 | %(d) | ||||||||||||
Ratio of total expenses to average net assets | 1.52 | % | 1.52 | % | 1.59 | % | 4.34 | % | 15.24 | %(d) | ||||||||||||
Ratio of net investment income to average net assets | 1.55 | % | 1.85 | % | 2.03 | % | 1.57 | % | 1.43 | %(d) | ||||||||||||
Portfolio turnover rate(e) | 42 | % | 67 | % | 58 | % | 60 | % | 14 | % | ||||||||||||
| * | Commencement of operations. |
| (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 (if any). 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. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 30 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Global Real Estate Securities Fund | ||||||||||||||||||||||
| Class C Shares | ||||||||||||||||||||||
| Year Ended December 31, | August 31, 2015* to December 31, 2015 | |||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.79 | $ | 10.64 | $ | 10.04 | $ | 10.43 | $ | 10.00 | ||||||||||||
Net investment income(a) | 0.11 | 0.12 | 0.12 | 0.10 | 0.02 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.98 | (0.80 | ) | 0.65 | (0.09 | ) | 0.52 | |||||||||||||||
Total from investment operations | 2.09 | (0.68 | ) | 0.77 | 0.01 | 0.54 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.49 | ) | (0.12 | ) | (0.17 | ) | (0.21 | ) | (0.10 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.30 | ) | — | — | (b) | (0.17 | ) | (0.01 | ) | |||||||||||||
Distributions to shareholders from return of capital | — | (0.05 | ) | — | (0.02 | ) | — | |||||||||||||||
Total distributions | (0.79 | ) | (0.17 | ) | (0.17 | ) | (0.40 | ) | (0.11 | ) | ||||||||||||
Net asset value, end of period | $ | 11.09 | $ | 9.79 | $ | 10.64 | $ | 10.04 | $ | 10.43 | ||||||||||||
| Total return(c) | 21.60 | % | (6.45 | )% | 7.72 | % | 0.11 | % | 5.41 | % | ||||||||||||
Net assets, end of period (in 000s) | $ | 66 | $ | 27 | $ | 28 | $ | 36 | $ | 26 | ||||||||||||
Ratio of net expenses to average net assets | 2.11 | % | 2.12 | % | 2.15 | % | 2.15 | % | 2.15 | %(d) | ||||||||||||
Ratio of total expenses to average net assets | 2.29 | % | 2.27 | % | 2.79 | % | 5.31 | % | 16.01 | %(d) | ||||||||||||
Ratio of net investment income to average net assets | 0.96 | % | 1.20 | % | 1.15 | % | 0.93 | % | 0.68 | %(d) | ||||||||||||
Portfolio turnover rate(e) | 42 | % | 67 | % | 58 | % | 60 | % | 14 | % | ||||||||||||
| * | Commencement of operations. |
| (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 (if any). 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. 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. | 31 |
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Global Real Estate Securities Fund | ||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||
| Year Ended December 31, | August 31, 2015* to December 31, 2015 | |||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.82 | $ | 10.66 | $ | 10.06 | $ | 10.44 | $ | 10.00 | ||||||||||||
Net investment income (loss)(a) | 0.22 | (0.03 | ) | 0.24 | 0.24 | 0.06 | ||||||||||||||||
Net realized and unrealized gain (loss) | 2.00 | (0.54 | ) | 0.65 | (0.10 | ) | 0.52 | |||||||||||||||
Total from investment operations | 2.22 | (0.57 | ) | 0.89 | 0.14 | 0.58 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.61 | ) | (0.22 | ) | (0.29 | ) | (0.32 | ) | (0.13 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.30 | ) | — | — | (b) | (0.17 | ) | (0.01 | ) | |||||||||||||
Distributions to shareholders from return of capital | — | (0.05 | ) | — | (0.03 | ) | — | |||||||||||||||
Total distributions | (0.91 | ) | (0.27 | ) | (0.29 | ) | (0.52 | ) | (0.14 | ) | ||||||||||||
Net asset value, end of period | $ | 11.13 | $ | 9.82 | $ | 10.66 | $ | 10.06 | $ | 10.44 | ||||||||||||
| Total return(c) | 22.91 | % | (5.41 | )% | 8.96 | % | 1.30 | % | 5.81 | % | ||||||||||||
Net assets, end of period (in 000s) | $ | 2,131 | $ | 1,855 | $ | 338,527 | $ | 27,663 | $ | 3,043 | ||||||||||||
Ratio of net expenses to average net assets | 0.97 | % | 1.00 | % | 1.00 | % | 1.00 | % | 1.00 | %(d) | ||||||||||||
Ratio of total expenses to average net assets | 1.15 | % | 1.18 | % | 1.24 | % | 2.82 | % | 14.86 | %(d) | ||||||||||||
Ratio of net investment income (loss) to average net assets | 1.98 | % | (0.26 | )% | 2.31 | % | 2.23 | % | 1.83 | %(d) | ||||||||||||
Portfolio turnover rate(e) | 42 | % | 67 | % | 58 | % | 60 | % | 14 | % | ||||||||||||
| * | Commencement of operations. |
| (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 (if any). 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. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 32 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Global Real Estate Securities Fund | ||||||||||||||||||||||
| Investor Shares(a) | ||||||||||||||||||||||
| Year Ended December 31, | August 31, 2015* to December 31, 2015 | |||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.80 | $ | 10.65 | $ | 10.05 | $ | 10.44 | $ | 10.00 | ||||||||||||
Net investment income(b) | 0.21 | 0.23 | 0.22 | 0.20 | 0.06 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.00 | (0.81 | ) | 0.65 | (0.09 | ) | 0.51 | |||||||||||||||
Total from investment operations | 2.21 | (0.58 | ) | 0.87 | 0.11 | 0.57 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.60 | ) | (0.22 | ) | (0.27 | ) | (0.31 | ) | (0.12 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.30 | ) | — | — | (c) | (0.17 | ) | (0.01 | ) | |||||||||||||
Distributions to shareholders from return of capital | — | (0.05 | ) | — | (0.02 | ) | — | |||||||||||||||
Total distributions | (0.90 | ) | (0.27 | ) | (0.27 | ) | (0.50 | ) | (0.13 | ) | ||||||||||||
Net asset value, end of period | $ | 11.11 | $ | 9.80 | $ | 10.65 | $ | 10.05 | $ | 10.44 | ||||||||||||
| Total return(d) | 22.79 | % | (5.50 | )% | 8.80 | % | 1.05 | % | 5.78 | % | ||||||||||||
Net assets, end of period (in 000s) | $ | 34 | $ | 27 | $ | 29 | $ | 27 | $ | 26 | ||||||||||||
Ratio of net expenses to average net assets | 1.11 | % | 1.12 | % | 1.15 | % | 1.15 | % | 1.15 | %(e) | ||||||||||||
Ratio of total expenses to average net assets | 1.29 | % | 1.27 | % | 1.75 | % | 4.22 | % | 15.02 | %(e) | ||||||||||||
Ratio of net investment income to average net assets | 1.85 | % | 2.20 | % | 2.13 | % | 1.85 | % | 1.68 | %(e) | ||||||||||||
Portfolio turnover rate(f) | 42 | % | 67 | % | 58 | % | 60 | % | 14 | % | ||||||||||||
| * | Commencement of operations. |
| (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 (if any). 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. 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. | 33 |
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Global Real Estate Securities Fund | ||||||||||
| Class P Shares | ||||||||||
| Year Ended December 31, 2019 | April 17, 2018* to December 31, 2018 | |||||||||
| Per Share Data |
| |||||||||
Net asset value, beginning of period | $ | 9.80 | $ | 10.30 | ||||||
Net investment income(a) | 0.22 | 0.23 | ||||||||
Net realized and unrealized gain (loss) | 2.01 | (0.50 | ) | |||||||
Total from investment operations | 2.23 | (0.27 | ) | |||||||
Distributions to shareholders from net investment income | (0.62 | ) | (0.18 | ) | ||||||
Distributions to shareholders from net realized gains | (0.30 | ) | — | |||||||
Distributions to shareholders from return of capital | — | (0.05 | ) | |||||||
Total distributions | (0.92 | ) | (0.23 | ) | ||||||
Net asset value, end of period | $ | 11.11 | $ | 9.80 | ||||||
| Total return(b) | 22.98 | % | (2.69 | )% | ||||||
Net assets, end of period (in 000s) | $ | 43,099 | $ | 39,405 | ||||||
Ratio of net expenses to average net assets | 0.96 | % | 0.96 | %(c) | ||||||
Ratio of total expenses to average net assets | 1.14 | % | 1.11 | %(c) | ||||||
Ratio of net investment income to average net assets | 1.98 | % | 3.15 | %(c) | ||||||
Portfolio turnover rate(d) | 42 | % | 67 | % | ||||||
| * | Commencement of operations. |
| (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 (if any). 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. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 34 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Global Real Estate Securities Fund | ||||||||||||||||||||||
| Class R Shares | ||||||||||||||||||||||
| Year Ended December 31, | August 31, 2015* to December 31, 2015 | |||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.80 | $ | 10.65 | $ | 10.05 | $ | 10.44 | $ | 10.00 | ||||||||||||
Net investment income(a) | 0.15 | 0.18 | 0.17 | 0.14 | 0.04 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.99 | (0.81 | ) | 0.65 | (0.08 | ) | 0.52 | |||||||||||||||
Total from investment operations | 2.14 | (0.63 | ) | 0.82 | 0.06 | 0.56 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.54 | ) | (0.17 | ) | (0.22 | ) | (0.26 | ) | (0.11 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.30 | ) | — | — | (b) | (0.17 | ) | (0.01 | ) | |||||||||||||
Distributions to shareholders from return of capital | — | (0.05 | ) | — | (0.02 | ) | — | |||||||||||||||
Total distributions | (0.84 | ) | (0.22 | ) | (0.22 | ) | (0.45 | ) | (0.12 | ) | ||||||||||||
Net asset value, end of period | $ | 11.10 | $ | 9.80 | $ | 10.65 | $ | 10.05 | $ | 10.44 | ||||||||||||
| Total return(c) | 22.10 | % | (5.97 | )% | 8.26 | % | 0.57 | % | 5.65 | % | ||||||||||||
Net assets, end of period (in 000s) | $ | 33 | $ | 27 | $ | 29 | $ | 27 | $ | 26 | ||||||||||||
Ratio of net expenses to average net assets | 1.61 | % | 1.62 | % | 1.65 | % | 1.65 | % | 1.65 | %(d) | ||||||||||||
Ratio of total expenses to average net assets | 1.79 | % | 1.77 | % | 2.25 | % | 4.73 | % | 15.51 | %(d) | ||||||||||||
Ratio of net investment income to average net assets | 1.35 | % | 1.70 | % | 1.63 | % | 1.35 | % | 1.18 | %(d) | ||||||||||||
Portfolio turnover rate(e) | 42 | % | 67 | % | 58 | % | 60 | % | 14 | % | ||||||||||||
| * | Commencement of operations. |
| (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 (if any). 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. 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. | 35 |
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Global Real Estate Securities Fund | ||||||||||||||||||||||
| Class R6 Shares | ||||||||||||||||||||||
| Year Ended December 31, | August 31, 2015* to December 31, 2015 | |||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.80 | $ | 10.66 | $ | 10.06 | $ | 10.44 | $ | 10.00 | ||||||||||||
Net investment income(a) | 0.21 | 0.29 | 0.24 | 0.21 | 0.06 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.01 | (0.86 | ) | 0.65 | (0.07 | ) | 0.52 | |||||||||||||||
Total from investment operations | 2.22 | (0.57 | ) | 0.89 | 0.14 | 0.58 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.61 | ) | (0.24 | ) | (0.29 | ) | (0.33 | ) | (0.13 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.30 | ) | — | — | (b) | (0.17 | ) | (0.01 | ) | |||||||||||||
Distributions to shareholders from return of capital | — | (0.05 | ) | — | (0.02 | ) | — | |||||||||||||||
Total distributions | (0.91 | ) | (0.29 | ) | (0.29 | ) | (0.52 | ) | (0.14 | ) | ||||||||||||
Net asset value, end of period | $ | 11.11 | $ | 9.80 | $ | 10.66 | $ | 10.06 | $ | 10.44 | ||||||||||||
| Total return(c) | 22.97 | % | (5.44 | )% | 8.97 | % | 1.31 | % | 5.82 | % | ||||||||||||
Net assets, end of period (in 000s) | $ | 193,139 | $ | 259,662 | $ | 29 | $ | 27 | $ | 26 | ||||||||||||
Ratio of net expenses to average net assets | 0.96 | % | 0.97 | % | 0.99 | % | 0.98 | % | 0.97 | %(d) | ||||||||||||
Ratio of total expenses to average net assets | 1.14 | % | 1.11 | % | 1.59 | % | 4.05 | % | 14.85 | %(d) | ||||||||||||
Ratio of net investment income to average net assets | 1.90 | % | 2.76 | % | 2.29 | % | 2.02 | % | 1.85 | %(d) | ||||||||||||
Portfolio turnover rate(e) | 42 | % | 67 | % | 58 | % | 60 | % | 14 | % | ||||||||||||
| * | Commencement of operations. |
| (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 (if any). 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. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 36 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL REAL ESTATE SECURITIES FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs International Real Estate Securities Fund | ||||||||||||||||||||||
| Class A Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 5.90 | $ | 6.48 | $ | 5.73 | $ | 6.09 | $ | 6.38 | ||||||||||||
Net investment income(a) | 0.11 | 0.13 | 0.12 | 0.12 | 0.10 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.08 | (0.59 | ) | 0.89 | (0.23 | ) | (0.24 | ) | ||||||||||||||
Total from investment operations | 1.19 | (0.46 | ) | 1.01 | (0.11 | ) | (0.14 | ) | ||||||||||||||
Distributions to shareholders from net investment income | (0.43 | ) | (0.12 | ) | (0.26 | ) | (0.25 | ) | (0.15 | ) | ||||||||||||
Net asset value, end of year | $ | 6.66 | $ | 5.90 | $ | 6.48 | $ | 5.73 | $ | 6.09 | ||||||||||||
| Total return(b) | 20.38 | % | (7.19 | )% | 17.89 | % | (1.84 | )% | (2.25 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 2,888 | $ | 3,081 | $ | 4,377 | $ | 5,400 | $ | 7,702 | ||||||||||||
Ratio of net expenses to average net assets | 1.38 | % | 1.38 | % | 1.39 | % | 1.39 | % | 1.41 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.89 | % | 1.76 | % | 1.70 | % | 1.62 | % | 1.62 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.72 | % | 2.04 | % | 2.02 | % | 1.90 | % | 1.50 | % | ||||||||||||
Portfolio turnover rate(c) | 30 | % | 43 | % | 38 | % | 41 | % | 45 | % | ||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. |
| The accompanying notes are an integral part of these financial statements. | 37 |
GOLDMAN SACHS INTERNATIONAL REAL ESTATE SECURITIES FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs International Real Estate Securities Fund | ||||||||||||||||||||||
| Class C Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 5.94 | $ | 6.50 | $ | 5.73 | $ | 6.09 | $ | 6.38 | ||||||||||||
Net investment income(a) | 0.07 | 0.09 | 0.08 | 0.07 | 0.05 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.07 | (0.60 | ) | 0.90 | (0.23 | ) | (0.24 | ) | ||||||||||||||
Total from investment operations | 1.14 | (0.51 | ) | 0.98 | (0.16 | ) | (0.19 | ) | ||||||||||||||
Distributions to shareholders from net investment income | (0.36 | ) | (0.05 | ) | (0.21 | ) | (0.20 | ) | (0.10 | ) | ||||||||||||
Net asset value, end of year | $ | 6.72 | $ | 5.94 | $ | 6.50 | $ | 5.73 | $ | 6.09 | ||||||||||||
| Total return(b) | 19.38 | % | (7.89 | )% | 17.23 | % | (2.65 | )% | (3.03 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 158 | $ | 231 | $ | 810 | $ | 1,148 | $ | 1,622 | ||||||||||||
Ratio of net expenses to average net assets | 2.13 | % | 2.13 | % | 2.14 | % | 2.14 | % | 2.16 | % | ||||||||||||
Ratio of total expenses to average net assets | 2.64 | % | 2.49 | % | 2.44 | % | 2.37 | % | 2.37 | % | ||||||||||||
Ratio of net investment income to average net assets | 0.99 | % | 1.38 | % | 1.26 | % | 1.12 | % | 0.76 | % | ||||||||||||
Portfolio turnover rate(c) | 30 | % | 43 | % | 38 | % | 41 | % | 45 | % | ||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. |
| 38 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL REAL ESTATE SECURITIES FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs International Real Estate Securities Fund | ||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 5.71 | $ | 6.26 | $ | 5.54 | $ | 5.91 | $ | 6.19 | ||||||||||||
Net investment income(a) | 0.13 | 0.18 | 0.14 | 0.14 | 0.12 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.05 | (0.60 | ) | 0.87 | (0.24 | ) | (0.22 | ) | ||||||||||||||
Total from investment operations | 1.18 | (0.42 | ) | 1.01 | (0.10 | ) | (0.10 | ) | ||||||||||||||
Distributions to shareholders from net investment income | (0.46 | ) | (0.13 | ) | (0.29 | ) | (0.27 | ) | (0.18 | ) | ||||||||||||
Net asset value, end of year | $ | 6.43 | $ | 5.71 | $ | 6.26 | $ | 5.54 | $ | 5.91 | ||||||||||||
| Total return(b) | 20.86 | % | (6.72 | )% | 18.45 | % | (1.63 | )% | (1.73 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 6,938 | $ | 10,138 | $ | 117,768 | $ | 297,473 | $ | 333,601 | ||||||||||||
Ratio of net expenses to average net assets | 0.99 | % | 0.99 | % | 0.99 | % | 0.99 | % | 1.01 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.50 | % | 1.35 | % | 1.28 | % | 1.22 | % | 1.22 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.97 | % | 2.90 | % | 2.44 | % | 2.28 | % | 1.92 | % | ||||||||||||
Portfolio turnover rate(c) | 30 | % | 43 | % | 38 | % | 41 | % | 45 | % | ||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. |
| The accompanying notes are an integral part of these financial statements. | 39 |
GOLDMAN SACHS INTERNATIONAL REAL ESTATE SECURITIES FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs International Real Estate Securities Fund | ||||||||||||||||||||||
| Investor Shares(a) | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 5.85 | $ | 6.43 | $ | 5.68 | $ | 6.04 | $ | 6.33 | ||||||||||||
Net investment income(b) | 0.13 | 0.14 | 0.16 | 0.12 | 0.11 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.07 | (0.58 | ) | 0.87 | (0.22 | ) | (0.24 | ) | ||||||||||||||
Total from investment operations | 1.20 | (0.44 | ) | 1.03 | (0.10 | ) | (0.13 | ) | ||||||||||||||
Distributions to shareholders from net investment income | (0.45 | ) | (0.14 | ) | (0.28 | ) | (0.26 | ) | (0.16 | ) | ||||||||||||
Net asset value, end of year | $ | 6.60 | $ | 5.85 | $ | 6.43 | $ | 5.68 | $ | 6.04 | ||||||||||||
| Total return(c) | 20.71 | % | (7.00 | )% | 18.29 | % | (1.57 | )% | (2.04 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 117 | $ | 103 | $ | 109 | $ | 107 | $ | 88 | ||||||||||||
Ratio of net expenses to average net assets | 1.13 | % | 1.13 | % | 1.14 | % | 1.14 | % | 1.17 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.65 | % | 1.52 | % | 1.45 | % | 1.37 | % | 1.37 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.94 | % | 2.24 | % | 2.54 | % | 2.05 | % | 1.64 | % | ||||||||||||
Portfolio turnover rate(d) | 30 | % | 43 | % | 38 | % | 41 | % | 45 | % | ||||||||||||
| (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 year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (d) | 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. |
| 40 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL REAL ESTATE SECURITIES FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Period
| Goldman Sachs International Real Estate Securities Fund | ||||||||||
| Class P Shares | ||||||||||
| Year Ended December 31, 2019 | April 17, 2018* to December 31, 2018 | |||||||||
| Per Share Data |
| |||||||||
Net asset value, beginning of period | $ | 5.70 | $ | 6.38 | ||||||
Net investment income(a) | 0.13 | 0.08 | ||||||||
Net realized and unrealized gain (loss) | 1.04 | (0.61 | ) | |||||||
Total from investment operations | 1.17 | (0.53 | ) | |||||||
Distributions to shareholders from net investment income | (0.46 | ) | (0.15 | ) | ||||||
Net asset value, end of period | $ | 6.41 | $ | 5.70 | ||||||
| Total return(b) | 20.72 | % | (8.45 | )% | ||||||
Net assets, end of period (in 000s) | $ | 69,937 | $ | 82,014 | ||||||
Ratio of net expenses to average net assets | 0.98 | % | 0.98 | %(c) | ||||||
Ratio of total expenses to average net assets | 1.50 | % | 1.39 | %(c) | ||||||
Ratio of net investment income to average net assets | 2.10 | % | 1.85 | %(c) | ||||||
Portfolio turnover rate(d) | 30 | % | 43 | % | ||||||
| * | Commencement of operations. |
| (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 (if any). 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. 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. | 41 |
GOLDMAN SACHS INTERNATIONAL REAL ESTATE SECURITIES FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Period
| Goldman Sachs International Real Estate Securities Fund | ||||||||||||||||||||||
| Class R6 Shares | ||||||||||||||||||||||
| Year Ended December 31, | July 31, 2015* to December 31, 2015 | |||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 5.70 | $ | 6.26 | $ | 5.54 | $ | 5.91 | $ | 6.33 | ||||||||||||
Net investment income(a) | 0.11 | 0.24 | 0.14 | 0.13 | 0.05 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.08 | (0.65 | ) | 0.87 | (0.23 | ) | (0.37 | ) | ||||||||||||||
Total from investment operations | 1.19 | (0.41 | ) | 1.01 | (0.10 | ) | (0.32 | ) | ||||||||||||||
Distributions to shareholders from net investment income | (0.46 | ) | (0.15 | ) | (0.29 | ) | (0.27 | ) | (0.10 | ) | ||||||||||||
Net asset value, end of period | $ | 6.43 | $ | 5.70 | $ | 6.26 | $ | 5.54 | $ | 5.91 | ||||||||||||
| Total return(b) | 21.05 | % | (6.71 | )% | 18.48 | % | (1.61 | )% | (5.03 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 12 | $ | 202 | $ | 11 | $ | 9 | $ | 9 | ||||||||||||
Ratio of net expenses to average net assets | 0.98 | % | 0.98 | % | 0.99 | % | 1.02 | % | 0.99 | %(c) | ||||||||||||
Ratio of total expenses to average net assets | 1.47 | % | 1.29 | % | 1.29 | % | 1.18 | % | 1.15 | %(c) | ||||||||||||
Ratio of net investment income to average net assets | 1.81 | % | 3.86 | % | 2.41 | % | 2.26 | % | 1.91 | %(c) | ||||||||||||
Portfolio turnover rate(d) | 30 | % | 43 | % | 38 | % | 41 | % | 45 | % | ||||||||||||
| * | Commencement of operations. |
| (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 (if any). 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. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 42 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS REAL ESTATE SECURITIES FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Real Estate Securities Fund | ||||||||||||||||||||||
| Class A Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 12.61 | $ | 15.53 | $ | 18.40 | $ | 19.59 | $ | 19.83 | ||||||||||||
Net investment income(a) | 0.22 | 0.28 | 0.30 | 0.33 | 0.29 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.92 | (0.94 | ) | 0.06 | 0.71 | 0.30 | ||||||||||||||||
Total from investment operations | 3.14 | (0.66 | ) | 0.36 | 1.04 | 0.59 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.22 | ) | (0.37 | ) | (0.29 | ) | (0.32 | ) | (0.31 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (2.26 | ) | (1.89 | ) | (2.94 | ) | (1.91 | ) | (0.52 | ) | ||||||||||||
Total distributions | (2.48 | ) | (2.26 | ) | (3.23 | ) | (2.23 | ) | (0.83 | ) | ||||||||||||
Net asset value, end of year | $ | 13.27 | $ | 12.61 | $ | 15.53 | $ | 18.40 | $ | 19.59 | ||||||||||||
| Total return(b) | 25.49 | % | (5.39 | )% | 2.11 | % | 5.38 | % | 3.14 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 27,488 | $ | 26,002 | $ | 38,120 | $ | 54,869 | $ | 57,936 | ||||||||||||
Ratio of net expenses to average net assets | 1.30 | % | 1.30 | % | 1.31 | % | 1.31 | % | 1.26 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.57 | % | 1.50 | % | 1.54 | % | 1.52 | % | 1.51 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.51 | % | 1.88 | % | 1.65 | % | 1.62 | % | 1.44 | % | ||||||||||||
Portfolio turnover rate(c) | 37 | % | 43 | % | 35 | % | 31 | % | 41 | % | ||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. |
| The accompanying notes are an integral part of these financial statements. | 43 |
GOLDMAN SACHS REAL ESTATE SECURITIES FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Real Estate Securities Fund | ||||||||||||||||||||||
| Class C Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 11.99 | $ | 14.88 | $ | 17.79 | $ | 19.03 | $ | 19.32 | ||||||||||||
Net investment income(a) | 0.10 | 0.12 | 0.16 | 0.18 | 0.14 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.78 | (0.85 | ) | 0.06 | 0.68 | 0.30 | ||||||||||||||||
Total from investment operations | 2.88 | (0.73 | ) | 0.22 | 0.86 | 0.44 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.11 | ) | (0.27 | ) | (0.19 | ) | (0.19 | ) | (0.21 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (2.26 | ) | (1.89 | ) | (2.94 | ) | (1.91 | ) | (0.52 | ) | ||||||||||||
Total distributions | (2.37 | ) | (2.16 | ) | (3.13 | ) | (2.10 | ) | (0.73 | ) | ||||||||||||
Net asset value, end of year | $ | 12.50 | $ | 11.99 | $ | 14.88 | $ | 17.79 | $ | 19.03 | ||||||||||||
| Total return(b) | 24.62 | % | (6.12 | )% | 1.38 | % | 4.56 | % | 2.39 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 2,615 | $ | 3,568 | $ | 12,421 | $ | 15,578 | $ | 15,056 | ||||||||||||
Ratio of net expenses to average net assets | 2.05 | % | 2.05 | % | 2.06 | % | 2.06 | % | 2.01 | % | ||||||||||||
Ratio of total expenses to average net assets | 2.32 | % | 2.25 | % | 2.29 | % | 2.27 | % | 2.26 | % | ||||||||||||
Ratio of net investment income to average net assets | 0.69 | % | 0.83 | % | 0.92 | % | 0.91 | % | 0.73 | % | ||||||||||||
Portfolio turnover rate(c) | 37 | % | 43 | % | 35 | % | 31 | % | 41 | % | ||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. |
| 44 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS REAL ESTATE SECURITIES FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Real Estate Securities Fund | ||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 13.05 | $ | 15.98 | $ | 18.81 | $ | 19.97 | $ | 20.18 | ||||||||||||
Net investment income(a) | 0.28 | 0.23 | 0.37 | 0.41 | 0.38 | |||||||||||||||||
Net realized and unrealized gain (loss) | 3.03 | (0.86 | ) | 0.08 | 0.74 | 0.30 | ||||||||||||||||
Total from investment operations | 3.31 | (0.63 | ) | 0.45 | 1.15 | 0.68 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.27 | ) | (0.41 | ) | (0.34 | ) | (0.40 | ) | (0.37 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (2.26 | ) | (1.89 | ) | (2.94 | ) | (1.91 | ) | (0.52 | ) | ||||||||||||
Total distributions | (2.53 | ) | (2.30 | ) | (3.28 | ) | (2.31 | ) | (0.89 | ) | ||||||||||||
Net asset value, end of year | $ | 13.83 | $ | 13.05 | $ | 15.98 | $ | 18.81 | $ | 19.97 | ||||||||||||
| Total return(b) | 26.01 | % | (5.04 | )% | 2.58 | % | 5.81 | % | 3.56 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 30,069 | $ | 31,337 | $ | 206,095 | $ | 397,211 | $ | 463,105 | ||||||||||||
Ratio of net expenses to average net assets | 0.92 | % | 0.91 | % | 0.91 | % | 0.91 | % | 0.86 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.19 | % | 1.12 | % | 1.14 | % | 1.12 | % | 1.11 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.86 | % | 1.50 | % | 1.98 | % | 2.03 | % | 1.88 | % | ||||||||||||
Portfolio turnover rate(c) | 37 | % | 43 | % | 35 | % | 31 | % | 41 | % | ||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. |
| The accompanying notes are an integral part of these financial statements. | 45 |
GOLDMAN SACHS REAL ESTATE SECURITIES FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Real Estate Securities Fund | ||||||||||||||||||||||
| Service Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 12.71 | $ | 15.65 | $ | 18.52 | $ | 19.71 | $ | 19.94 | ||||||||||||
Net investment income(a) | 0.21 | 0.26 | 0.29 | 0.31 | 0.27 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.94 | (0.95 | ) | 0.06 | 0.72 | 0.32 | ||||||||||||||||
Total from investment operations | 3.15 | (0.69 | ) | 0.35 | 1.03 | 0.59 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.20 | ) | (0.36 | ) | (0.28 | ) | (0.31 | ) | (0.30 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (2.26 | ) | (1.89 | ) | (2.94 | ) | (1.91 | ) | (0.52 | ) | ||||||||||||
Total distributions | (2.46 | ) | (2.25 | ) | (3.22 | ) | (2.22 | ) | (0.82 | ) | ||||||||||||
Net asset value, end of year | $ | 13.40 | $ | 12.71 | $ | 15.65 | $ | 18.52 | $ | 19.71 | ||||||||||||
| Total return(b) | 25.40 | % | (5.56 | )% | 2.07 | % | 5.20 | % | 3.09 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 1,608 | $ | 1,429 | $ | 2,446 | $ | 2,951 | $ | 2,744 | ||||||||||||
Ratio of net expenses to average net assets | 1.42 | % | 1.41 | % | 1.41 | % | 1.41 | % | 1.36 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.69 | % | 1.61 | % | 1.64 | % | 1.62 | % | 1.61 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.43 | % | 1.73 | % | 1.60 | % | 1.55 | % | 1.35 | % | ||||||||||||
Portfolio turnover rate(c) | 37 | % | 43 | % | 35 | % | 31 | % | 41 | % | ||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. |
| 46 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS REAL ESTATE SECURITIES FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Real Estate Securities Fund | ||||||||||||||||||||||
| Investor Shares(a) | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 12.73 | $ | 15.65 | $ | 18.50 | $ | 19.68 | $ | 19.90 | ||||||||||||
Net investment income(b) | 0.24 | 0.31 | 0.36 | 0.39 | 0.35 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.97 | (0.94 | ) | 0.06 | 0.71 | 0.30 | ||||||||||||||||
Total from investment operations | 3.21 | (0.63 | ) | 0.42 | 1.10 | 0.65 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.25 | ) | (0.40 | ) | (0.33 | ) | (0.37 | ) | (0.35 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (2.26 | ) | (1.89 | ) | (2.94 | ) | (1.91 | ) | (0.52 | ) | ||||||||||||
Total distributions | (2.51 | ) | (2.29 | ) | (3.27 | ) | (2.28 | ) | (0.87 | ) | ||||||||||||
Net asset value, end of year | $ | 13.43 | $ | 12.73 | $ | 15.65 | $ | 18.50 | $ | 19.68 | ||||||||||||
| Total return(c) | 25.84 | % | (5.18 | )% | 2.42 | % | 5.65 | % | 3.44 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 4,532 | $ | 7,969 | $ | 10,776 | $ | 8,467 | $ | 7,283 | ||||||||||||
Ratio of net expenses to average net assets | 1.05 | % | 1.05 | % | 1.06 | % | 1.06 | % | 1.01 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.32 | % | 1.25 | % | 1.29 | % | 1.27 | % | 1.26 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.64 | % | 2.10 | % | 1.99 | % | 1.92 | % | 1.77 | % | ||||||||||||
Portfolio turnover rate(d) | 37 | % | 43 | % | 35 | % | 31 | % | 41 | % | ||||||||||||
| (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 year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. | 47 |
GOLDMAN SACHS REAL ESTATE SECURITIES FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Real Estate Securities Fund | ||||||||||
| Class P Shares | ||||||||||
| Year Ended December 31, 2019 | April 17, 2018* to December 31, 2018 | |||||||||
| Per Share Data |
| |||||||||
Net asset value, beginning of period | $ | 13.04 | $ | 14.90 | ||||||
Net investment income(a) | 0.29 | 0.39 | ||||||||
Net realized and unrealized gain (loss) | 3.02 | (0.01 | ) | |||||||
Total from investment operations | 3.31 | 0.38 | ||||||||
Distributions to shareholders from net investment income | (0.27 | ) | (0.35 | ) | ||||||
Distributions to shareholders from net realized gains | (2.26 | ) | (1.89 | ) | ||||||
Total distributions | (2.53 | ) | (2.24 | ) | ||||||
Net asset value, end of period | $ | 13.82 | $ | 13.04 | ||||||
| Total return(b) | 26.04 | % | 1.36 | % | ||||||
Net assets, end of period (in 000s) | $ | 89,616 | $ | 89,479 | ||||||
Ratio of net expenses to average net assets | 0.91 | % | 0.90 | %(c) | ||||||
Ratio of total expenses to average net assets | 1.18 | % | 1.07 | %(c) | ||||||
Ratio of net investment income to average net assets | 1.90 | % | 3.56 | %(c) | ||||||
Portfolio turnover rate(d) | 37 | % | 43 | % | ||||||
| * | Commencement of operations. |
| (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 (if any). 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. |
| 48 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS REAL ESTATE SECURITIES FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Real Estate Securities Fund | ||||||||||||||||||||||
| Class R Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 12.47 | $ | 15.39 | $ | 18.27 | $ | 19.47 | $ | 19.73 | ||||||||||||
Net investment income(a) | 0.18 | 0.24 | 0.26 | 0.29 | 0.27 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.88 | (0.93 | ) | 0.05 | 0.70 | 0.27 | ||||||||||||||||
Total from investment operations | 3.06 | (0.69 | ) | 0.31 | 0.99 | 0.54 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.18 | ) | (0.34 | ) | (0.25 | ) | (0.28 | ) | (0.28 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (2.26 | ) | (1.89 | ) | (2.94 | ) | (1.91 | ) | (0.52 | ) | ||||||||||||
Total distributions | (2.44 | ) | (2.23 | ) | (3.19 | ) | (2.19 | ) | (0.80 | ) | ||||||||||||
Net asset value, end of year | $ | 13.09 | $ | 12.47 | $ | 15.39 | $ | 18.27 | $ | 19.47 | ||||||||||||
| Total return(b) | 25.14 | % | (5.62 | )% | 1.92 | % | 5.08 | % | 2.89 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 1,440 | $ | 1,770 | $ | 3,092 | $ | 4,156 | $ | 3,149 | ||||||||||||
Ratio of net expenses to average net assets | 1.55 | % | 1.55 | % | 1.56 | % | 1.56 | % | 1.50 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.82 | % | 1.75 | % | 1.79 | % | 1.77 | % | 1.77 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.22 | % | 1.60 | % | 1.45 | % | 1.44 | % | 1.38 | % | ||||||||||||
Portfolio turnover rate(c) | 37 | % | 43 | % | 35 | % | 31 | % | 41 | % | ||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. |
| The accompanying notes are an integral part of these financial statements. | 49 |
GOLDMAN SACHS REAL ESTATE SECURITIES FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Real Estate Securities Fund | ||||||||||||||||||||||
| Class R6 Shares | ||||||||||||||||||||||
| Year Ended December 31, | July 31, 2015* to December 31, 2015 | |||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.05 | $ | 15.98 | $ | 18.81 | $ | 19.98 | $ | 19.93 | ||||||||||||
Net investment income(a) | 0.30 | 0.16 | 0.41 | 0.46 | 0.22 | |||||||||||||||||
Net realized and unrealized gain (loss) | 3.01 | (0.79 | ) | 0.05 | 0.68 | 0.48 | ||||||||||||||||
Total from investment operations | 3.31 | (0.63 | ) | 0.46 | 1.14 | 0.70 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.27 | ) | (0.41 | ) | (0.35 | ) | (0.40 | ) | (0.13 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (2.26 | ) | (1.89 | ) | (2.94 | ) | (1.91 | ) | (0.52 | ) | ||||||||||||
Total distributions | (2.53 | ) | (2.30 | ) | (3.29 | ) | (2.31 | ) | (0.65 | ) | ||||||||||||
Net asset value, end of period | $ | 13.83 | $ | 13.05 | $ | 15.98 | $ | 18.81 | $ | 19.98 | ||||||||||||
| Total return(b) | 26.02 | % | (5.03 | )% | 2.60 | % | 5.77 | % | 3.64 | % | ||||||||||||
Net assets, end of period (in 000s) | $ | 973 | $ | 797 | $ | 227 | $ | 42 | $ | 10 | ||||||||||||
Ratio of net expenses to average net assets | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | 0.91 | %(c) | ||||||||||||
Ratio of total expenses to average net assets | 1.18 | % | 1.08 | % | 1.14 | % | 1.09 | % | 1.07 | %(c) | ||||||||||||
Ratio of net investment income to average net assets | 1.98 | % | 1.02 | % | 2.23 | % | 2.25 | % | 2.65 | %(c) | ||||||||||||
Portfolio turnover rate(d) | 37 | % | 43 | % | 35 | % | 31 | % | 41 | % | ||||||||||||
| * | Commencement of operations. |
| (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 (if any). 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. |
| 50 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Notes to Financial Statements
December 31, 2019
| 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, R and R6 | Diversified | ||
International Real Estate Securities | A, C, Institutional, Investor, P and R6 | Non-diversified | ||
Real Estate Securities | A, C, Institutional, Service, Investor, P, R and R6 | Non-diversified |
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 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. Each Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.
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.Non-cash dividends, if any, are recorded at the fair market value of the securities received. 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 and/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/orpro-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.
51
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Notes to Financial Statements(continued)
December 31, 2019
| 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 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 | ||||
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 eithershort-term orlong-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 distributable earnings 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.
| 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).
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 GSAMday-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Funds’
52
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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 may be valued at the closing bid price for long positions and at the closing 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 for long positions or the last ask price for short positions, 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 per share 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.
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. 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 derivatives contracts.Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments.
Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence of two-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives 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 aremarked-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.
53
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Notes to Financial Statements(continued)
December 31, 2019
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
Aforward 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 aremarked-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.
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. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.
C. Fair Value Hierarchy — The following is a summary of the Funds’ investments classified in the fair value hierarchy as of December 31, 2019:
| GLOBAL REAL ESTATE SECURITIES | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Asia | $ | — | $ | 51,501,018 | $ | �� | ||||||
Australia and Oceania | — | 10,371,156 | — | |||||||||
Europe | — | 44,140,725 | — | |||||||||
North America | 125,336,579 | — | — | |||||||||
Investment Company | 6,122,427 | — | — | |||||||||
Total | $ | 131,459,006 | $ | 106,012,899 | $ | — | ||||||
| INTERNATIONAL REAL ESTATE SECURITIES | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Asia | $ | — | $ | 35,578,076 | $ | — | ||||||
Australia and Oceania | — | 6,554,051 | — | |||||||||
Europe | — | 31,695,224 | — | |||||||||
North America | 5,292,764 | — | — | |||||||||
Investment Company | 1,343,186 | — | — | |||||||||
Total | $ | 6,635,950 | $ | 73,827,351 | $ | — | ||||||
| (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. |
54
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| REAL ESTATE SECURITIES | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Europe | $ | 2,038,594 | $ | — | $ | — | ||||||
North America | 155,204,956 | — | — | |||||||||
Investment Company | 836,777 | — | — | |||||||||
Total | $ | 158,080,327 | $ | — | $ | — | ||||||
| (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.
| 4. INVESTMENTS IN DERIVATIVES |
The following table sets forth, by certain risk types, the Fund’s gains (losses) related to derivatives and their indicative volumes for the fiscal year ended December 31, 2019. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statement of Operations:
| Real Estate Securities | ||||||||||||||
| Risk | Statements of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||||
| Currency | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | $ | 85,428 | $ | (4,571 | ) | 1 | |||||||
| (a) | Average number of contracts is based on the average of month end balances for the fiscal year ended December 31, 2019. |
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Funds, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.
For the fiscal year ended December 31, 2019, contractual and effective net management fees with GSAM were at the following rates:
| Contractual Management Rate | Effective Rate | Effective Net Management Rate^ | ||||||||||||||||||||||||||||
| Fund | First $1 billion | Next $1 billion | Next $3 billion | Next $3 billion | Over $8 billion | |||||||||||||||||||||||||
Global Real Estate Securities | 0.93 | % | 0.84 | % | 0.80 | % | 0.78 | % | 0.76 | % | 0.93 | % | 0.93 | % | ||||||||||||||||
International Real Estate Securities | 0.95 | 0.95 | 0.86 | 0.81 | 0.80 | 0.95 | 0.95 | |||||||||||||||||||||||
Real Estate Securities | 0.87 | 0.78 | 0.74 | 0.73 | 0.71 | 0.87 | 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. |
55
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Notes to Financial Statements(continued)
December 31, 2019
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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 fiscal year ended December 31, 2019, GSAM waived $6,909, $2,154 and $3,269 of the Global Real Estate Securities , International Real Estate Securities and Real Estate Securities 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 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.
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 fiscal year ended December 31, 2019, Goldman Sachs retained the following amounts:
| Front End Sales Charge | Contingent Deferred Sales Charge | |||||||||
| Fund | Class A | Class C | ||||||||
International Real Estate Securities | $ | 10 | $ | 6 | ||||||
Real Estate Securities | 2,346 | 6 | ||||||||
D. Service and Shareholder Administration Plans — The Trust, on behalf of each applicable Fund, has adopted Service and 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 shareholder administration services to their customers who are beneficial owners of such shares. The Service and 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 and Service Shares of the Funds, respectively.
56
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
E. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.17% 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. Prior to July 1, 2019, the annual rates were as follows: 0.18% of the average daily net assets of Class A, Class C, Investor and Class R Shares.
F. Other Expense Agreements and Affiliated Transactions— GSAM has agreed to reduce or 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 limitation as an annual percentage rate of average daily net assets for each Fund is 0.004%. These Other Expense limitations will remain in place through at least April 30, 2020, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.
For the fiscal year ended December 31, 2019, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
| Fund | Management Fee Waiver | Other Expense | Custody Fee Credits | Total Expense Reductions | ||||||||||||||
Global Real Estate Securities | $ | 6,909 | $ | 443,199 | $ | — | $ | 450,108 | ||||||||||
International Real Estate Securities | 2,154 | 434,146 | 2,980 | 439,280 | ||||||||||||||
Real Estate Securities | 3,269 | 450,647 | 3,399 | 457,315 | ||||||||||||||
G. Line of Credit Facility— As of December 31, 2019, the Funds participated in a $580,000,000 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 fiscal year ended December 31, 2019, the Funds did not have any borrowings under the facility. Prior to April 30, 2019 the facility was $770,000,000.
H. Other Transactions with Affiliates— For the fiscal year ended December 31, 2019, Goldman Sachs earned $9 and $17 in brokerage commissions from portfolio transactions on behalf of the Global Real Estate Securities and Real Estate Securities Funds, respectively.
The following table provides information about the Funds’ investment in the Goldman Sachs Financial Square Government Fund as of and for the fiscal year ended December 31, 2019:
| Fund | Beginning Value as of | Purchases at Cost | Proceeds from Sales | Ending Value as of December 31, 2019 | Shares as of December 31, 2019 | Dividend Income Company | ||||||||||||||||||
Global Real Estate Securities | $ | 19,490,688 | $ | 82,924,318 | $ | (96,292,579 | ) | $ | 6,122,427 | 6,122,427 | $ | 88,517 | ||||||||||||
International Real Estate Securities | 2,155,823 | 28,017,978 | (28,830,615 | ) | 1,343,186 | 1,343,186 | 28,226 | |||||||||||||||||
Real Estate Securities | — | 34,567,900 | (33,731,123 | ) | 836,777 | 836,777 | 40,783 | |||||||||||||||||
57
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Notes to Financial Statements(continued)
December 31, 2019
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
As of December 31, 2019, 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 A | Class C | Institutional | Investor | Class R | Class R6 | ||||||||||||||||||
Global Real Estate Securities | 62 | % | 49 | % | 97 | % | 100 | % | 100 | % | — | % | ||||||||||||
International Real Estate Securities | — | 8 | — | 9 | — | 100 | ||||||||||||||||||
As of December 31, 2019, the following Goldman Sachs Fund of Funds and Global Tax-Aware Equity Portfolios were beneficial owners of 5% or more of total outstanding shares of the following Fund:
| Fund | Goldman Sachs Dynamic Global Equity Fund | Goldman Sachs Enhanced Dividend Global Equity Portfolio | Goldman Sachs Growth and Income Strategy Portfolio | Goldman Sachs Growth Strategy Portfolio | Goldman Sachs Satellite Strategies Portfolio | Goldman Sachs Portfolio | ||||||||||||||||||||
Global Real Estate Securities | 5 | % | 6 | % | 7 | % | 6 | % | 24 | % | 28 | % | ||||||||||||||
| 6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities oflong-term securities for the fiscal year ended December 31, 2019, were as follows:
| Fund | Purchases | Sales | ||||||||
Global Real Estate Securities | $ | 104,308,140 | $ | 212,787,937 | ||||||
International Real Estate Securities | 24,848,953 | 53,030,718 | ||||||||
Real Estate Securities | 60,939,578 | 99,215,824 | ||||||||
| 7. 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 its securities through a securities lending agent, Goldman Sachs Agency Lending (“GSAL”), awholly-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 its 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% on an annualized basis of the average daily net assets of the Government Money Market Fund.
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GOLDMAN SACHS REAL ESTATE SECURITIES 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 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 master netting agreements with certain borrowers provide the right, in the event of a default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. However, in the event of a default by a borrower, a resolution authority could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of set-off that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws. 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, which represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of December 31, 2019 are disclosed as “Payable upon return of securities loaned” on the Statements of Assets and Liabilities, where applicable. The Global Real Estate Fund did not have securities on loan as of December 31, 2019.
Both 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 fiscal year ended December 31, 2019, are reported under Investment Income on the Statements of Operations.
The table below details securities lending activity with affiliates of Goldman Sachs:
| For the Fiscal year ended December 31, 2019 | Amount Payable to Goldman Sachs Upon Return of Securities Loaned as of December 31, 2019 | |||||||||||||
| Fund | Earnings of GSAL Relating to Securities Loaned | Amount Received by the Fund from Lending to Goldman Sachs | ||||||||||||
Global Real Estate Securities | $ | 2,204 | $ | 529 | $ | — | ||||||||
The following table provides information about the Funds’ investment in the Government Money Market Fund for the fiscal year ended December 31, 2019:
| Fund | Beginning Value as of | Purchases at Cost | Proceeds from Sales | Ending Value as of | ||||||||||||||
Global Real Estate Securities | $ | — | $ | 19,927,104 | $ | (19,927,104 | ) | $ | — | |||||||||
| 8. TAX INFORMATION |
The tax character of distributions paid during the fiscal year ended December 31, 2019 was as follows:
| Global Real Estate Securities | International Real Estate Securities | Real Estate Securities | ||||||||||
Distributions paid from: | ||||||||||||
Ordinary income | $ | 14,498,089 | $ | 5,623,292 | $ | 3,413,936 | ||||||
Netlong-term capital gains | 4,593,854 | — | 22,430,055 | |||||||||
Total taxable distributions | $ | 19,091,943 | $ | 5,623,292 | $ | 25,843,991 | ||||||
59
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Notes to Financial Statements(continued)
December 31, 2019
| 8. TAX INFORMATION (continued) |
The tax character of distributions paid during the fiscal year ended December 31, 2018 was as follows:
| Global Real Estate Securities | International Real Estate Securities | Real Estate Securities | ||||||||||
Distributions paid from: | ||||||||||||
Ordinary income | $ | 7,379,626 | $ | 2,444,806 | $ | 4,896,608 | ||||||
Netlong-term capital gains | — | — | 23,578,653 | |||||||||
Return of capital distribution | 1,680,428 | — | — | |||||||||
Total taxable distributions | $ | 9,060,054 | $ | 2,444,806 | $ | 28,475,261 | ||||||
As of December 31, 2019, the components of accumulated earnings (losses) on a tax-basis were as follows:
| Global Real Estate Securities | International Real Estate Securities | Real Estate Securities | ||||||||||
Undistributed ordinary income | $ | 265,614 | $ | 54,677 | $ | 413,749 | ||||||
Undistributed long-term capital gains | 205,663 | — | 466,316 | |||||||||
Total undistributed earnings | $ | 471,277 | $ | 54,677 | $ | 880,065 | ||||||
Capital loss carryforwards:(1) | ||||||||||||
Perpetual Long-term | — | $ | (9,118,594 | ) | — | |||||||
Timing differences (Real Estate Investment Trusts and Qualified Late Year Loss Deferral) | (603,519 | ) | (543,286 | ) | 161,349 | |||||||
Unrealized gains — net | 27,437,475 | 4,709,567 | 55,458,482 | |||||||||
Total accumulated gains (losses) — net | $ | 27,305,233 | $ | (4,897,636 | ) | $ | 56,499,896 | |||||
| (1) | The Global Real Estate Securities and International Real Estate Securities Fund utilized $489,882 and $641,513, respectively, of capital losses in the current year. |
As of December 31, 2019, 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 | $ | 210,036,377 | $ | 75,764,552 | $ | 102,621,845 | ||||||
Gross unrealized gain | 30,172,047 | 8,339,394 | 56,055,441 | |||||||||
Gross unrealized loss | (2,734,572 | ) | (3,629,827 | ) | (596,959 | ) | ||||||
Net unrealized gain | $ | 27,437,475 | $ | 4,709,567 | $ | 55,458,482 | ||||||
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains/(losses) on foreign currency contracts and differences related to the tax treatment of underlying fund investments, partnership investments and passive foreign investment companies.
The Global Real Estate Securities Fund reclassified $67,839 from distributable earnings to paid in capital to for the year ending December 31, 2019. In order to present certain components of the Fund’s capital accounts on a tax-basis, certain reclassifications have been recorded to the Fund’s accounts. These reclassifications have no impact on the net asset value of the Fund and result primarily from differences in the tax treatment of return of capital distributions.
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.
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GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
| 9. OTHER RISKS |
The Funds’ risks include, but are not limited to, the following:
Derivatives Risk — A Fund’s use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Fund. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the 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), confiscation of assets and property, 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, which may occur rapidly or unexpectedly, 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
61
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Notes to Financial Statements(continued)
December 31, 2019
| 9. OTHER RISKS (continued) |
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 or otherwise maintains 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 or without significant dilution to remaining investors’ interests 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. If a Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Fund’s NAV and dilute remaining investors’ interests. These risks may be more pronounced in connection with a Fund’s investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on a Fund’s liquidity.
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 International Real Estate Securities and Real Estate Securities 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.
| 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 |
On November 5, 2019, a definitive proxy statement (“proxy”) was filed with the SEC to elect certain Trustees to the Trust. The Funds will bear their respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse each Fund to the extent such expenses exceed a specified percentage of the Fund’s net assets.
| 12. SUBSEQUENT EVENTS |
Subsequent events after the Statements of Assets and Liabilities date other than above 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 REAL ESTATE SECURITIES FUNDS
| 13. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| Global Real Estate Securities Fund | ||||||||||||||||
|
| |||||||||||||||
| For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||||
|
| |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
| Class A Shares | ||||||||||||||||
Shares sold | 23 | $ | 261 | 11,051 | $ | 110,508 | ||||||||||
Reinvestment of distributions | 758 | 8,437 | 2,711 | 27,874 | ||||||||||||
Shares redeemed | (88,399 | ) | (987,808 | ) | (87,523 | ) | (895,560 | ) | ||||||||
| (87,618 | ) | (979,110 | ) | (73,761 | ) | (757,178 | ) | |||||||||
| Class C Shares | ||||||||||||||||
Shares sold | 2,809 | 30,000 | — | — | ||||||||||||
Reinvestment of distributions | 405 | 4,483 | 45 | 460 | ||||||||||||
Shares redeemed | — | — | — | 5 | ||||||||||||
| 3,214 | 34,483 | 45 | 465 | |||||||||||||
| Institutional Shares | ||||||||||||||||
Shares sold | 450 | 5,301 | 1,222,030 | 12,873,264 | ||||||||||||
Reinvestment of distributions | 14,952 | 166,539 | 14,648 | 149,611 | ||||||||||||
Shares redeemed | (12,907 | ) | (145,191 | ) | (32,816,684 | ) | (326,905,045 | ) | ||||||||
| 2,495 | 26,649 | (31,580,006 | ) | (313,882,170 | ) | |||||||||||
| Investor Shares | ||||||||||||||||
Reinvestment of distributions | 233 | 2,592 | 74 | 757 | ||||||||||||
Shares redeemed | — | — | — | 5 | ||||||||||||
| 233 | 2,592 | 74 | 762 | |||||||||||||
| Class P Shares(a) | ||||||||||||||||
Shares sold | 334,832 | 3,734,101 | 4,428,967 | 45,383,426 | ||||||||||||
Reinvestment of distributions | 308,494 | 3,426,805 | 42,829 | 438,894 | ||||||||||||
Shares redeemed | (784,773 | ) | (8,538,896 | ) | (449,294 | ) | (4,591,608 | ) | ||||||||
| (141,447 | ) | (1,377,990 | ) | 4,022,502 | 41,230,712 | |||||||||||
| Class R Shares | ||||||||||||||||
Reinvestment of distributions | 215 | 2,387 | 59 | 606 | ||||||||||||
Shares redeemed | — | — | — | 5 | ||||||||||||
| 215 | 2,387 | 59 | 611 | |||||||||||||
| Class R6 Shares | ||||||||||||||||
Shares sold | 1,125,142 | 12,571,602 | 33,154,492 | 329,753,249 | ||||||||||||
Reinvestment of distributions | 1,392,686 | 15,480,001 | 821,046 | 8,441,321 | ||||||||||||
Shares redeemed | (11,628,948 | ) | (128,169,723 | ) | (7,486,795 | ) | (77,007,638 | ) | ||||||||
| (9,111,120 | ) | (100,118,120 | ) | 26,488,743 | 261,186,932 | |||||||||||
NET DECREASE | (9,334,028 | ) | $ | (102,409,109 | ) | (1,142,344 | ) | $ | (12,219,866 | ) | ||||||
| (a) | Commenced operations on April 17, 2018. |
63
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Notes to Financial Statements(continued)
December 31, 2019
| 13. SUMMARY OF SHARE TRANSACTIONS (continued) |
| International Real Estate Securities Fund | ||||||||||||||||
|
| |||||||||||||||
| For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||||
|
| |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
| Class A Shares | ||||||||||||||||
Shares sold | 17,313 | $ | 115,284 | 102,801 | $ | 658,762 | ||||||||||
Reinvestment of distributions | 27,666 | 181,458 | 11,578 | 72,106 | ||||||||||||
Shares redeemed | (133,563 | ) | (880,310 | ) | (267,656 | ) | (1,706,515 | ) | ||||||||
| (88,584 | ) | (583,568 | ) | (153,277 | ) | (975,647 | ) | |||||||||
| Class C Shares | ||||||||||||||||
Shares sold | 7,654 | 50,574 | 1,347 | 9,031 | ||||||||||||
Reinvestment of distributions | 1,236 | 8,170 | 761 | 4,862 | ||||||||||||
Shares redeemed | (24,265 | ) | (160,041 | ) | (87,925 | ) | (563,412 | ) | ||||||||
| (15,375 | ) | (101,297 | ) | (85,817 | ) | (549,519 | ) | |||||||||
| Institutional Shares | ||||||||||||||||
Shares sold | 8,716 | 56,319 | 428,434 | 2,715,056 | ||||||||||||
Reinvestment of distributions | 73,914 | 468,031 | 37,833 | 225,710 | ||||||||||||
Shares redeemed | (779,156 | ) | (4,946,254 | ) | (17,488,827 | ) | (111,884,808 | ) | ||||||||
| (696,526 | ) | (4,421,904 | ) | (17,022,560 | ) | (108,944,042 | ) | |||||||||
| Investor Shares | ||||||||||||||||
Shares sold | 5,647 | 36,236 | 13,116 | 81,200 | ||||||||||||
Reinvestment of distributions | 1,155 | 7,508 | 408 | 2,509 | ||||||||||||
Shares redeemed | (6,685 | ) | (43,263 | ) | (12,924 | ) | (78,892 | ) | ||||||||
| 117 | 481 | 600 | 4,817 | |||||||||||||
| Class P Shares(a) | ||||||||||||||||
Shares sold | 450,105 | 2,742,148 | 17,791,513 | 112,301,001 | ||||||||||||
Reinvestment of distributions | 783,596 | 4,953,513 | 355,249 | 2,124,941 | ||||||||||||
Shares redeemed | (4,727,059 | ) | (29,304,679 | ) | (3,750,183 | ) | (22,161,241 | ) | ||||||||
| (3,493,358 | ) | (21,609,018 | ) | 14,396,579 | 92,264,701 | |||||||||||
| Class R6 Shares | ||||||||||||||||
Shares sold | 2,984 | 17,500 | 211,882 | 1,323,213 | ||||||||||||
Reinvestment of distributions | 221 | 1,403 | 1,936 | 11,771 | ||||||||||||
Shares redeemed | (36,615 | ) | (231,407 | ) | (180,233 | ) | (1,130,827 | ) | ||||||||
| (33,410 | ) | (212,504 | ) | 33,585 | 204,157 | |||||||||||
NET DECREASE | (4,327,136 | ) | $ | (26,927,810 | ) | (2,830,890 | ) | $ | (17,995,533 | ) | ||||||
| (a) | Commenced operations on April 17, 2018. |
64
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
| 13. SUMMARY OF SHARE TRANSACTIONS (continued) |
| Real Estate Securities Fund | ||||||||||||||||
|
| |||||||||||||||
| For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||||
|
| |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
| Class A Shares | ||||||||||||||||
Shares sold | 227,288 | $ | 3,201,254 | 428,269 | $ | 6,523,130 | ||||||||||
Reinvestment of distributions | 312,466 | 4,079,245 | 277,579 | 3,883,857 | ||||||||||||
Shares redeemed | (530,890 | ) | (7,780,801 | ) | (1,097,552 | ) | (16,145,265 | ) | ||||||||
| 8,864 | (500,302 | ) | (391,704 | ) | (5,738,278 | ) | ||||||||||
| Class C Shares | ||||||||||||||||
Shares sold | 28,594 | 401,009 | 44,579 | 636,170 | ||||||||||||
Reinvestment of distributions | 33,147 | 405,126 | 42,238 | 564,452 | ||||||||||||
Shares redeemed | (150,042 | ) | (2,062,750 | ) | (623,794 | ) | (9,023,570 | ) | ||||||||
| (88,301 | ) | (1,256,615 | ) | (536,977 | ) | (7,822,948 | ) | |||||||||
| Institutional Shares | ||||||||||||||||
Shares sold | 135,002 | 2,050,337 | 1,817,851 | 26,624,360 | ||||||||||||
Reinvestment of distributions | 350,890 | 4,783,526 | 409,345 | 5,974,354 | ||||||||||||
Shares redeemed | (713,201 | ) | (10,667,043 | ) | (12,723,463 | ) | (198,938,100 | ) | ||||||||
| (227,309 | ) | (3,833,180 | ) | (10,496,267 | ) | (166,339,386 | ) | |||||||||
| Service Shares | ||||||||||||||||
Shares sold | 31,027 | 448,622 | 30,587 | 443,406 | ||||||||||||
Reinvestment of distributions | 11,363 | 149,446 | 8,223 | 116,078 | ||||||||||||
Shares redeemed | (34,795 | ) | (509,930 | ) | (82,746 | ) | (1,260,718 | ) | ||||||||
| 7,595 | 88,138 | (43,936 | ) | (701,234 | ) | |||||||||||
| Investor Shares | ||||||||||||||||
Shares sold | 247,679 | 3,565,982 | 323,155 | 4,905,020 | ||||||||||||
Reinvestment of distributions | 61,364 | 816,930 | 95,922 | 1,352,025 | ||||||||||||
Shares redeemed | (597,713 | ) | (8,946,471 | ) | (481,591 | ) | (7,130,821 | ) | ||||||||
| (288,670 | ) | (4,563,559 | ) | (62,514 | ) | (873,776 | ) | |||||||||
| Class P Shares(a) | ||||||||||||||||
Shares sold | 398,650 | 5,847,092 | 7,730,538 | 122,203,459 | ||||||||||||
Reinvestment of distributions | 1,076,244 | 14,663,258 | 1,069,090 | 15,469,785 | ||||||||||||
Shares redeemed | (1,851,220 | ) | (26,694,238 | ) | (1,938,194 | ) | (28,227,623 | ) | ||||||||
| (376,326 | ) | (6,183,888 | ) | 6,861,434 | 109,445,621 | |||||||||||
| Class R Shares | ||||||||||||||||
Shares sold | 29,969 | 425,456 | 61,635 | 897,688 | ||||||||||||
Reinvestment of distributions | 11,952 | 153,893 | 11,828 | 164,225 | ||||||||||||
Shares redeemed | (73,920 | ) | (1,077,467 | ) | (132,383 | ) | (1,966,764 | ) | ||||||||
| (31,999 | ) | (498,118 | ) | (58,920 | ) | (904,851 | ) | |||||||||
| Class R6 Shares | ||||||||||||||||
Shares sold | 26,237 | 418,449 | 750,418 | 11,504,084 | ||||||||||||
Reinvestment of distributions | 7,753 | 105,815 | 9,014 | 130,756 | ||||||||||||
Shares redeemed | (24,717 | ) | (371,927 | ) | (712,548 | ) | (11,015,388 | ) | ||||||||
| 9,273 | 152,337 | 46,884 | 619,452 | |||||||||||||
NET DECREASE | (986,873 | ) | $ | (16,595,187 | ) | (4,682,000 | ) | $ | (72,315,400 | ) | ||||||
| (a) | Commenced operations on April 17, 2018. |
65
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Goldman Sachs Trust and Shareholders of Goldman Sachs Global Real Estate Securities Fund, Goldman Sachs International Real Estate Securities Fund and Goldman Sachs Real Estate Securities Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Goldman Sachs Global Real Estate Securities Fund, Goldman Sachs International Real Estate Securities Fund and Goldman Sachs Real Estate Securities Fund (three of the funds constituting Goldman Sachs Trust, hereafter collectively referred to as the “Funds”) as of December 31, 2019, the related statements of operations for the year ended December 31, 2019, the statements of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2019, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2019 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 26, 2020
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
66
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Voting Results of Special Meeting of Shareholders (Unaudited)
A Special Meeting (the “Meeting”) of the Goldman Sachs Trust (“GST”) was held on January 23, 2020 to consider and act upon the proposals below. The Funds will amortize their respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse each Fund to the extent such expenses exceed a specified percentage of the Fund’s net assets.
At the Meeting, Dwight L. Bush, Kathryn A. Cassidy, Joaquin Delgado and Gregory G. Weaver were elected to the Trust’s Board of Trustees. In electing trustees, the Trust’s shareholders voted as follows:
Proposal 1. Election of Trustees | For | Against | Withheld | Broker Non-Votes | ||||||||||||
Dwight L. Bush | 94,278,961,728.065 | 0 | 349,026,343,365 | 0 | ||||||||||||
Kathryn A. Cassidy | 94,310,850,789.164 | 0 | 317,137,282.266 | 0 | ||||||||||||
Joaquin Delgado | 94,282,646,444.727 | 0 | 345,341,626.703 | 0 | ||||||||||||
Gregory G. Weaver | 94,306,589,873.348 | 0 | 321,398,198.082 | 0 | ||||||||||||
At the Meeting, the shareholders of the Goldman Sachs Large Cap Growth Insights Fund approved a change to the Fund’ssub-classification under the Act from “diversified” to“non-diversified”. The Trust’s shareholders voted as follows:
Proposal 2. To approve a change to the Fund’ssub-classification under | For | Against | Abstained | BrokerNon-Votes | ||||||||||||
Large Cap Growth Insights Fund | 23,785,792.632 | 250,521.921 | 196,802.993 | 9,592,467.322 | ||||||||||||
67
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Fund Expenses — Six Month Period Ended December 31, 2019 (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, Service and Class R Shares); and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Class C, Institutional, Service, 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 July 1, 2019 through December 31, 2019, which represents a period of 184 days of a 365 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Global Real Estate Securities Fund | International Real Estate Securities Fund | Real Estate Securities Fund | ||||||||||||||||||||||||||||||||||
| Share Class | Beginning Account Value 07/01/19 | Ending Account Value 12/31/19 | Expenses Paid for the 6 Months Ended 12/31/19* | Beginning Account Value 07/01/19 | Ending Account Value 12/31/19 | Expenses Paid for the 6 Months Ended 12/31/19* | Beginning Account Value 07/01/19 | Ending Account Value 12/31/19 | Expenses Paid for the 6 Months Ended 12/31/19* | |||||||||||||||||||||||||||
| Class A | ||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,062.10 | $ | 7.02 | $ | 1,000 | $ | 1,063.50 | $ | 7.18 | $ | 1,000 | $ | 1,065.20 | $ | 6.77 | ||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,018.40 | + | 6.87 | 1,000 | 1,018.25 | + | 7.02 | 1,000 | 1,018.65 | + | 6.61 | ||||||||||||||||||||||||
| Class C | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,058.30 | 10.89 | 1,000 | 1,058.90 | 11.05 | 1,000 | 1,061.90 | 10.65 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,014.62 | + | 10.66 | 1,000 | 1,014.47 | + | 10.82 | 1,000 | 1,014.87 | + | 10.41 | ||||||||||||||||||||||||
| Institutional | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,063.30 | 5.10 | 1,000 | 1,066.50 | 5.21 | 1,000 | 1,067.70 | 4.79 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,020.27 | + | 4.99 | 1,000 | 1,020.16 | + | 5.09 | 1,000 | 1,020.57 | + | 4.69 | ||||||||||||||||||||||||
| Service | ||||||||||||||||||||||||||||||||||||
Actual | N/A | N/A | N/A | N/A | N/A | N/A | 1,000 | 1,064.80 | 7.39 | |||||||||||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | N/A | N/A | N/A | 1,000 | 1,018.05 | + | 7.22 | ||||||||||||||||||||||||||
| Investor | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,062.70 | 5.77 | 1,000 | 1,064.00 | 5.88 | 1,000 | 1,067.20 | 5.47 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,019.61 | 5.65 | 1,000 | 1,019.51 | 5.75 | 1,000 | 1,019.91 | + | 5.35 | ||||||||||||||||||||||||||
| Class P | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,064.50 | 5.05 | 1,000 | 1,065.00 | 5.15 | 1,000 | 1,067.80 | 4.74 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,020.32 | + | 4.94 | 1,000 | 1,020.21 | + | 5.04 | 1,000 | 1,020.62 | + | 4.63 | ||||||||||||||||||||||||
| Class R | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,060.00 | 8.31 | N/A | N/A | N/A | 1,000 | 1,063.80 | 8.06 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,017.14 | + | 8.13 | N/A | N/A | N/A | 1,000 | 1,017.39 | + | 7.88 | |||||||||||||||||||||||||
| Class R6 | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,063.50 | 5.05 | 1,000 | 1,066.30 | 5.10 | 1,000 | 1,067.70 | 4.74 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,020.32 | + | 4.94 | 1,000 | 1,020.27 | 4.99 | 1,000 | 1,020.62 | + | 4.63 | |||||||||||||||||||||||||
| + | 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 December 31, 2019. 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 | Class R | Class R6 | ||||||||||||||||||||||||
Global Real Estate Securities | 1.35 | % | 2.10 | % | 0.98 | % | N/A | 1.11 | % | 0.97 | % | 1.60 | % | 0.97 | % | |||||||||||||||||
International Real Estate Securities | 1.38 | 2.13 | 1.00 | N/A | 1.13 | 0.99 | N/A | 0.98 | ||||||||||||||||||||||||
Real Estate Securities | 1.30 | 2.05 | 0.92 | 1.42 | % | 1.05 | 0.91 | 1.55 | 0.91 | |||||||||||||||||||||||
68
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Trustees and Officers (Unaudited)
Independent Trustees
| Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
Jessica Palmer Age: 70 | Chair of the Board of Trustees | Since 2018 (Trustee since 2007) | Ms. Palmer is retired. She was formerly Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009).
Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||
Kathryn A. Cassidy Age: 65 | Trustee | Since 2015 | Ms. Cassidy is retired. Formerly, she was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||
Diana M. Daniels Age: 70 | Trustee | Since 2007 | Ms. Daniels is retired. Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is a Trustee Emeritus and serves as a Presidential Councillor of Cornell University (2013-Present); former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||
Roy W. Templin Age: 59 | Trustee | Since 2013 | Mr. Templin is retired. He is Director, Armstrong World Industries, Inc. (a designer and manufacturer of ceiling, wall and suspension system solutions) (2016-Present); and was formerly Chairman of the Board of Directors, Con-Way Incorporated (a transportation, logistics and supply chain management service company) (2014-2015); Executive Vice President and Chief Financial Officer, Whirlpool Corporation (an appliance manufacturer and marketer) (2004-2012). Previously, Mr. Templin served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (June 2013-October 2013).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Armstrong World Industries, Inc. (a ceiling, wall and suspension systems solutions manufacturer) | |||||
Gregory G. Weaver Age: 68 | Trustee | Since 2015 | Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Verizon Communications Inc. | |||||
69
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Trustees and Officers (Unaudited) (continued)
Interested Trustee*
| Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
James A. McNamara Age: 57 | President and Trustee | Since 2007 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | 165 | None | |||||
Advisory Board Members
| Name, Address, Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Advisory Board Member3 | Other Directorships Held by Advisory Board Member4 | |||||
Dwight L. Bush Age: 62 | Advisory Board Member | Since 2019 | Ambassador Bush is President and CEO of D.L. Bush & Associates (a financial advisory and private investment firm) (2002-2014 and 2017-present); and was formerly U.S. Ambassador to the Kingdom of Morocco (2014-2017) and a Member of the Board of Directors of Santander Bank, N.A. (2018-2019).
Advisory Board Member — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||
Joaquin Delgado Age: 59 | Advisory Board Member | Since 2019 | Dr. Delgado is retired. He is Director, Hexion Inc. (a specialty chemical manufacturer) (2019-present); and Director, Stepan Company (a specialty chemical manufacturer) (2011-present); and was formerly Executive Vice President, Consumer Business Group of 3M Company (July 2016-July 2019); and Executive Vice President, Health Care Business Group of 3M Company (October 2012-July 2016).
Advisory Board Member — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Stepan Company (a specialty chemical manufacturer) | |||||
| * | Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. Mr. McNamara holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
| 1 | Each Trustee and Advisory Board Member may be contacted by writing to the Trustee or Advisory Board Member, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of December 31, 2019. |
| 2 | Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that (a) no Trustee shall hold office for more than 15 years and (b) a Trustee shall retire as of December 31st of the calendar year in which he or she reaches his or her 74th birthday, unless a waiver of such requirements shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. |
| 3 | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of December 31, 2019, Goldman Sachs Trust consisted of 89 portfolios; Goldman Sachs Variable Insurance Trust consisted of 13 portfolios; Goldman Sachs Trust II consisted of 19 portfolios (17 of which offered shares to the public); Goldman Sachs MLP Income Opportunities Fund, Goldman Sachs MLP and Energy Renaissance Fund, Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio; and Goldman Sachs ETF Trust consisted of 40 portfolios (21 of which offered shares to the public). |
| 4 | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384. Additional information about the Advisory Board Members will be available in the Funds’ Statement of Additional Information dated April 30, 2020, which will be available from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
70
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
| Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | |||
James A. McNamara 200 West Street New York, NY 10282 Age: 57 | Trustee and President | Since 2007 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 42 | Secretary | Since 2012 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Associate General Counsel, Goldman Sachs (2012-Present); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006).
Secretary — Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Private Middle Market Credit II LLC; Goldman Sachs Middle Market Lending Corp.; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 51 | Treasurer, Principal Financial Officer and Principal Accounting Officer | Since 2017 (Treasurer and Principal Financial Officer since 2019) | Managing Director, Goldman Sachs (November 2015-Present) and Vice President — Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010-October 2015).
Treasurer, Principal Financial Officer and Principal Accounting Officer — Goldman Sachs Trust (previously Assistant Treasurer (2016)); Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs MLP Income Opportunities Fund (previously Assistant Treasurer (2017)); Goldman Sachs MLP and Energy Renaissance Fund (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
| * | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
| 1 | Information is provided as of December 31, 2019. |
| 2 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
71
GOLDMAN SACHS REAL ESTATE SECURITIES FUND
Goldman Sachs Trust — Real Estate Securities Funds —Tax Information (Unaudited)
For the year ended December 31, 2019, 0.14% of the dividends paid from net investment company taxable income by the Real Estate Securities Fund qualify for the dividends received deduction available to corporations.
For the year ended December 31, 2019, 100% of the dividends paid from net investment company taxable income by the Real Estate Securities Fund qualify as section 199A dividends.
For the 2019 tax year, the International Real Estate Securities Fund has elected to pass through a credit for taxes paid to foreign jurisdictions. The total amount of income received by the International Real Estate Securities Fund from sources within foreign countries and possessions of the United States was $0.2049 per share, all of which is attributable to qualified passive income. The percentage of net investment income dividends paid by the Fund during the year from foreign sources was 43.40%. The total amount of foreign taxes paid by the Fund was $0.0211 per share.
For the year ended December 31, 2019, 12.55% and 29.83% of the dividends paid from net investment company taxable income by Global Real Estate Securities and International Real Estate Securities Funds, respectively, qualify for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
Pursuant to Section 852 of the Internal Revenue Code, the Global Real Estate Securities and Real Estate Securities Funds designates $4,593,854 and $22,430,055, respectively, or, if different, the maximum amount allowable, as capital gain dividends paid during the year ended December 31, 2019.
During the year ended December 31, 2019, the Global Real Estate Securities and Real Estate Securities Funds designates $1,697,365 and $565,814, respectively, as short-term capital gain dividends pursuant to Section 871(k) of the Internal Revenue Code.
72
FUNDS PROFILE
Goldman Sachs Funds
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
Today, theConsumer and Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.69 trillion in assets under supervision as of December 31, 2019, 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 |
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 |
| ∎ | Income Fund |
Municipal and Tax-Free
| ∎ | High Yield Municipal Fund |
| ∎ | Dynamic Municipal Income Fund |
| ∎ | Short Duration Tax-Free Fund |
| ∎ | Municipal Income Completion 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 |
Fixed Income Alternatives
| ∎ | Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ | Equity Income Fund |
| ∎ | Small Cap Growth 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 Fund |
| ∎ | 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 Fund |
| ∎ | International Equity ESG Fund |
| ∎ | China Equity Fund4 |
| ∎ | Emerging Markets Equity Fund |
| ∎ | Imprint Emerging Markets Opportunities Fund5 |
| ∎ | ESG Emerging Markets Equity Fund |
Alternative
| ∎ | Real Estate Securities Fund |
| ∎ | International Real Estate Securities Fund |
| ∎ | Commodity Strategy Fund |
| ∎ | Global Real Estate Securities Fund |
| ∎ | Alternative Premia Fund |
| ∎ | 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 |
| ∎ | Dynamic Global Equity Fund6 |
| ∎ | Satellite Strategies Portfolio |
| ∎ | Enhanced Dividend Global Equity Portfolio |
| ∎ | Tax-Advantaged Global Equity Portfolio |
| ∎ | Strategic Factor Allocation Fund |
| ∎ | Target Date Retirement Portfolio7 |
| ∎ | 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 |
| 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 of November 20, 2019, the Goldman Sachs Asia Equity Fund was renamed the Goldman Sachs China Equity Fund. |
| 5 | Effective after the close of business on August 30, 2019, the Goldman Sachs N-11 Equity Fund was renamed the Goldman Sachs Imprint Emerging Markets Opportunities Fund. |
| 6 | Effective after the close of business on February 28, 2019, the Goldman Sachs Equity Growth Strategy Portfolio was renamed the Goldman Sachs Dynamic Global Equity Fund. |
| 7 | Effective December 27, 2019, the Goldman Sachs Target Date 2020 Portfolio was renamed to the Goldman Sachs Target Date Retirement Portfolio. |
| 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 Dwight L. Bush* Kathryn A. Cassidy Diana M. Daniels Joaquin Delgado* James A. McNamara Roy W. Templin Gregory G. Weaver
*Effective as of January 23, 2020 | OFFICERS James A. McNamara,President Joseph F. DiMaria,Principal Financial 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 atwww.GSAMFUNDS.com to obtain the most recentmonth-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 recent12-month period ended December 31 is available (i) without charge, upon request by calling1-800-526-7384 (for Retail Shareholders) or1-800-621-2550 (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 will file portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be made available on the SEC’s web site at http://www.sec.gov. Portfolio holdings information may be obtained upon request and without charge by calling1-800-526-7384 (for Retail Shareholders) or1-800-621-2550 (for Institutional Shareholders).
Holdings and allocations shown are as of December 31, 2019 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).
© 2019 Goldman Sachs. All rights reserved. 192300-OTU-1141388 RESAR-20
Goldman Sachs Funds
| Annual Report | December 31, 2019 | |||
Alternative Funds | ||||
Absolute Return Tracker | ||||
Alternative Premia | ||||
Commodity Strategy | ||||
Managed Futures Strategy | ||||
It is our intention that beginning on January 1, 2021, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from a Fund or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. At any time, you may elect to receive reports and certain communications from the Fund electronically by calling the applicable toll-free number below or by contacting your financial intermediary.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a Fund directly with the Fund’s transfer agent, you can inform the transfer agent that you wish to receive paper copies of reports by calling toll-free 800-621-2550 for Institutional, Class R6 and Class P shareholders or800-526-7384 for all other shareholders. If you hold shares of a Fund through a financial intermediary, please contact your financial intermediary to make this election. Your election to receive reports in paper will apply to all Goldman Sachs Funds held in your account if you invest through your financial intermediary or all Goldman Sachs Funds held with the Funds’ transfer agent if you invest directly with the transfer agent.
Goldman Sachs Alternative Funds
| ∎ | ABSOLUTE RETURN TRACKER |
| ∎ | ALTERNATIVE PREMIA |
| ∎ | COMMODITY STRATEGY |
| ∎ | MANAGED FUTURES STRATEGY |
| 1 | ||||
| 23 | ||||
| 78 | ||||
| 82 | ||||
| 82 | ||||
| 89 | ||||
| 96 | ||||
| 103 | ||||
| 110 | ||||
| 137 | ||||
| 139 | ||||
| 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 the12-month period ended December 31, 2019 (“the Reporting Period”).
| Q | How did the Fund perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, Class C, Institutional, Investor, Class P, Class R and Class R6 Shares generated average annual total returns, without sales charges, of 10.36%, 9.69%, 10.91%, 10.66%, 10.93%, 10.06% and 10.82%, respectively. These returns compare to the 8.62% average annual 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. |
| 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 solid gains during the Reporting Period, following losses in calendar year 2018. Equity long/short hedge funds, as measured by the HFRX Equity Hedge Index, were strongest, returning 10.71%. Event driven hedge funds followed closely, with the HFRX Event Driven Index returning 9.96%. Relative value hedge funds, as measured by the HFRX Relative Value Arbitrage Index, generated a return of 6.55%. Global macro hedge funds were weakest but still posted solid positive returns, with the HFRX Macro/CTA Index returning 4.84% for the Reporting Period. |
| As the Reporting Period began, hedge funds were up overall, with the HFRX Global Hedge Fund Index gaining 2.13% in the first month of 2019. Global equities posted gains across geographies for the month, rebounding from a challenging end to 2018. In January 2019, global government bond yields declined modestly; the U.S. dollar weakened overall relative to global currencies; and commodities posted gains for the month, led by energy. Hedge funds were mixed across styles for the month, as the HFRX Equity Hedge, Event Driven and Relative Value Arbitrage indices posted gains, while the HFRX Macro/CTA Index declined for the month. Hedge funds were again up overall in February 2019, with the HFRX Global Hedge Fund Index gaining 0.63% for the month. Equities continued to rally into February across geographies and regions amid recovering commodity prices and continued accommodative posturing from the U.S. Federal Reserve (the “Fed”). In February 2019, global government bond yields rose modestly, and the U.S. dollar strengthened slightly overall relative to global currencies. Hedge funds were mixed across styles for the month, as the HFRX Equity Hedge, Macro/CTA and Relative Value Arbitrage indices posted gains, while the HFRX Event Driven Index declined for the month. Hedge funds were slightly down overall in March 2019, with the HFRX Global Hedge Fund Index declining 0.17% for the month. Equities posted another month of gains in March across geographies and regions, while global government bond yields declined. The U.S. dollar strengthened slightly overall relative to global currencies. Hedge funds were mixed across styles in March, as the HFRX Equity Hedge and Macro/CTA indices posted gains, while the HFRX Event Driven and Relative Value Arbitrage indices declined for the month. |
| Hedge funds were up overall in April 2019, with the HFRX Global Hedge Fund Index gaining 0.66% for the month. Global equity markets continued their 2019 rally globally in April, gaining against a backdrop of strong economic growth |
| 1 | The 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
and robust merger and acquisition and Initial Public Offering activity, particularly in the U.S. Global government bond yields generally increased in April 2019, while the U.S. dollar was largely flat versus developed market currencies. Commodities were mixed during the month, with energy posting gains, led by a rally in oil, while agricultural commodities had weak performance, led by declines in wheat. Hedge funds were up across all four major styles for the month. Hedge funds declined overall in May 2019, with the HFRX Global Hedge Fund Index returning-0.68% for the month. Global equity markets reversed sharply, declining against a backdrop of heightened trade tensions. Global government bond yields generally declined in May 2019, while the U.S. dollar strengthened versus most global currencies. Commodities were mixed during the month, with energy declining, while agricultural commodities gained. Hedge funds were mixed across styles for the month, as the HFRX Equity Hedge, Event Drive and Macro/CTA indices posted declines, while the HFRX Relative Value Arbitrage Index was slightly up. Hedge funds were then up overall in June 2019, with the HFRX Global Hedge Fund Index returning 1.61% for the month. Global equity markets and risk assets broadly rallied in June against a backdrop of accommodative central bank commentary and increased optimism regarding trade negotiations. Global government bond yields generally declined during June 2019, while the U.S. dollar weakened versus most global currencies. Commodities were generally up for the month, with energy leading gains. Hedge funds were up across all four major styles for the month, led by the HFRX Macro/CTA Index. |
| Hedge funds were up overall in July 2019, with the HFRX Global Hedge Fund Index returning 0.77% for the month. Global equity markets and risk assets were mixed across geographies in July, with U.S. markets gaining, while emerging markets equities lost ground. Developed market government bond yields generally declined during the month, while the U.S. dollar strengthened versus most global currencies. Commodities were mixed for the month, with agricultural commodities and precious metals gaining, while energy declined. Hedge funds were up across all four major styles for the month, led by global macro hedge funds. Hedge funds overall were then up more slightly in August 2019, with the HFRX Global Hedge Fund Index returning 0.38% for the month. Global equity markets and risk assets posted losses across geographies in August against a backdrop of heightened trade tension. Developed market government bond yields generally declined during the month, while the U.S. dollar strengthened versus most global currencies. Commodities were mixed for the month, with precious metals gaining but energy and agricultural commodities declining. Global macro hedge funds were up the most of the four major style categories for the third month in a row in August, and event driven hedge funds were also up overall for the month. However, relative value hedge funds were relatively flat in August, and equity long/short hedge funds were down in August. In September 2019, hedge funds were up slightly overall, with the HFRX Global Hedge Fund Index returning 0.45% for the month. Equity markets posted gains across geographies in September; developed market government bond yields increased in the first half of the month; and the U.S. dollar strengthened versus most global currencies. Commodities were mostly up for the month, with energy and agricultural commodities gaining but silver and gold declining. In a sharp reversal from the prior three months, global macro hedge funds declined in September. Event driven hedge funds were up the most, followed by equity long/short hedge funds and then relative value hedge funds. |
| Hedge funds were up slightly overall in October 2019, with the HFRX Global Hedge Fund Index returning 0.31% for the month. Equity markets posted gains across most geographies in October; longer-dated developed market government bond yields increased overall; and the U.S. dollar weakened versus most global currencies. Commodities were generally up for the month, with strong performance among precious metals and natural gas. Global macro hedge funds posted losses for the second month in a row, while event driven hedge funds, equity long/short hedge funds and relative value hedge funds were up overall. Hedge funds overall then had a stronger month in November 2019, with the HFRX Global Hedge Fund Index returning 1.03% for the month. Developed equity markets posted gains across regions in November; government bond yields increased modestly; and the U.S. dollar strengthened versus most global currencies. Commodities were generally up for the month, with gains among many agricultural commodities but losses in natural gas. Hedge funds were up across all four major styles for the month, led by event driven hedge funds. In December 2019, hedge funds enjoyed another strong month, with the HFRX Global Hedge Fund Index returning 1.22%. Equity markets posted gains across regions in December, while government bond yields increased modestly. The U.S. dollar weakened versus most global currencies, and commodities were generally up for the month. For the second consecutive month, hedge funds were up across all four major styles in December, led by event driven hedge funds. |
2
PORTFOLIO RESULTS
| 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 FundSub-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 posted positive absolute returns that outperformed the HFRX Global Hedge Fund Index on a relative basis. On an absolute basis, all four of the Fund’sSub-Strategies contributed positively to performance during the Reporting Period. |
| Among the fourSub-Strategies, the Fund’s Equity Long/Short Hedge FundSub-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 European equities contributed the most. Conversely, exposure to the Fund’s market neutral global long/short value strategy detracted from results. |
| The Fund’s Macro Hedge FundSub-Strategy contributed positively to the Fund’s return on an absolute basis during the Reporting Period, with its trend-following strategy and exposure to U.S.large-cap equities adding most. Conversely, the Fund’s currency positioning, specifically its U.S. dollar/euro trade, detracted most. |
| Within the Fund’s Relative Value Hedge FundSub-Strategy, long exposure to global high yield credit and its Relative Value S&P 500 put writing strategy contributed most positively to results. (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). Exposure to U.S.mid-cap equities detracted most during the Reporting Period. |
| Within the Fund’s Event Driven Hedge FundSub-Strategy, the Event Driven S&P 500 put writing strategy and exposure to European high yield credit contributed most positively to results. Conversely, exposure to U.S. high yield credit detracted from results. |
| 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, 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 andsmall-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 ofnon-U.S. developed markets. The Fund used total return swaps to gain exposure to 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 writingsub-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. The use of these instruments is integral to the Fund’s investment strategy, which, overall, realized positive absolute returns during the Reporting Period. |
| Q | Were there any changes made in the Fund’s investment strategy during the Reporting Period? |
| A | There were no changes made in the Fund’s investment strategy 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 had a 46% allocation to the Equity Long/Short Hedge FundSub-Strategy, 27% to the Macro Hedge FundSub-Strategy, 20% to the Relative Value Hedge FundSub-Strategy and 7% to the Event Driven Hedge FundSub-Strategy, quite similar to theSub-Strategy allocations at the start of the Reporting Period. |
3
PORTFOLIO RESULTS
| Q | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
| A | There were no changes to the Fund’s portfolio management team during the Reporting Period. |
| Q | What is the Fund’s 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. |
4
FUND BASICS
Absolute Return Tracker Fund
as of December 31, 2019
| FUND COMPOSITION1 |
| 1 | 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. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
5
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Performance Summary
December 31, 2019
The following graph shows the value as of December 31, 2019, of a $1,000,000 investment made on January 1, 2010 in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark the HFRX Global Hedge Fund Index (net of management, administrative and performance/incentive fees), is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below 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 below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
| Absolute Return Tracker Fund’s 10 Year Performance |
Performance of a $1,000,000 Investment, with distributions reinvested, from January 1, 2010 through December 31, 2019.
| Average Annual Total Return through December 31, 2019* | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A | ||||||||||||||
Excluding sales charges | 10.36% | 3.17% | 2.73% | — | ||||||||||
Including sales charges | 4.34% | 2.02% | 2.14% | — | ||||||||||
| ||||||||||||||
Class C | ||||||||||||||
Excluding contingent deferred sales charges | 9.69% | 2.39% | 1.96% | — | ||||||||||
Including contingent deferred sales charges | 8.63% | 2.39% | 1.96% | — | ||||||||||
| ||||||||||||||
Institutional | 10.91% | 3.57% | 3.13% | — | ||||||||||
| ||||||||||||||
Investor | 10.66% | 3.44% | 2.98% | — | ||||||||||
| ||||||||||||||
Class P (Commenced April 17, 2018) | 10.93% | N/A | N/A | 4.27% | ||||||||||
| ||||||||||||||
Class R | 10.06% | 2.90% | 2.46% | — | ||||||||||
| ||||||||||||||
Class R6 (Commenced July 31, 2015) | 10.82% | N/A | N/A | 3.82% | ||||||||||
| ||||||||||||||
| * | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A 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 Average Annual Total Return. |
6
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 the12-month period ended December 31, 2019 (the “Reporting Period”).
| Q | How did the Fund perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, Class C, Institutional, Investor, Class P, Class R and Class R6 Shares generated average annual total returns, without sales charges, of 0.63%,-0.14%, 1.11%, 1.00%, 1.11%, 0.39% and 0.99%, respectively. These returns compare to the 2.59% average annual total return of the Fund’s benchmark, the ICE® BofAML® USD LIBOR3-Month Constant Maturity Index (the “LIBOR Three-Month Index”). |
| 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. |
| 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, most share classes of the Fund realized positive, albeit modest, absolute returns during the Reporting Period. From an asset class perspective, alternative risk premia in currencies and volatility contributed positively to performance. On the downside, allocations to commodities and equities premia detracted most. |
| Alternative risk premia in currencies contributed the most to performance, specifically carry-typed premia that seek to capitalize on the difference between yields in different currencies. Within currencies premia, structural-typed premia, which seek to capture capital flows between countries, also contributed positively. |
| Across all asset classes during the Reporting Period, carry-typed premia were the best performing style, especially carry-typed fixed income premia, with volatility premia also adding value. Structural-based premia also contributed positively, especially structural-based commodities and currencies premia. Momentum-based premia also contributed positively, albeit more modestly, during the Reporting Period. Conversely, value-based premia detracted across asset classes during the Reporting Period. Carry styles seek to capitalize on the tendency for higher yielding assets to outperform lower yielding assets. Structural styles seek to profit from anomalies or mispricing present in the market. 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. |
| 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 included equities, fixed income, credit, currencies and commodities. The Fund used derivative instruments to gain exposure to these asset classes. Instruments traded included credit swaps, total return swaps, equity-linked derivative instruments, forward foreign currency exchange contracts, futures contracts and written and purchased options. The use of these instruments is integral to the Fund’s current investment strategy and 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 | During the Reporting Period, we modestly increased the Fund’s allocations to currency, equities and volatility premia, and we modestly reduced the Fund’s allocations to commodities, credit and fixed income premia. |
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PORTFOLIO RESULTS
| Q | How was the Fund positioned at the end of the Reporting Period? |
| A | At the end of the Reporting Period, the Fund’s risk premia budget was 32.3% to equities, 22.9% to commodities, 22.1% to currencies, 12.5% to fixed income and 10.2% to volatility. |
| Q | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
| A | During the Reporting Period, Fund portfolio manager Evgeny Gladchenko left the firm. Evgeny’s portfolio management responsibilities for the Fund were assumed by Federico Gilly and Matthew Schwab, both managing directors andco-heads of research, portfolio management and portfolio construction for the Alternative Investment Strategies team within the QIS Team. Both Federico and Matthew have been portfolio managers of the Fund since 2017. Federico and Matthew joined the firm in 2000 and 2007, respectively, and each has more than 26 years of industry experience. Armen Avanessians and Gary Chropuvka continue as globalco-heads of the QIS Team, which represents more than 180 professionals. |
| 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 intended 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. |
8
FUND BASICS
Alternative Premia Fund
as of December 31, 2019
| FUND COMPOSITION1 |
| 1 | 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. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
9
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Performance Summary
December 31, 2019
The following graph shows the value as of December 31, 2019, of a $1,000,000 investment made on January 5, 2010 (commencement of operations) in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the ICE BofAML USD LIBORThree-Month Constant Maturity Index (the “LIBORThree-Month Index”), is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below 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 below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
| Alternative Premia Fund’s Lifetime Performance |
Performance of a $1,000,000 Investment, with distributions reinvested, from January 5, 2010 through December 31, 2019.
| Average Annual Total Return through December 31, 2019* | One Year | Five Years | Since Inception | |||||||
Class A (Commenced January 5, 2010) | ||||||||||
Excluding sales charges | 0.63% | 1.17% | 2.61% | |||||||
Including sales charges | -4.89% | 0.03% | 2.04% | |||||||
| ||||||||||
Class C (Commenced January 5, 2010) | ||||||||||
Excluding contingent deferred sales charges | -0.14% | 0.42% | 1.85% | |||||||
Including contingent deferred sales charges | -1.13% | 0.42% | 1.85% | |||||||
| ||||||||||
Institutional (Commenced January 5, 2010) | 1.11% | 1.60% | 3.04% | |||||||
| ||||||||||
Investor (Commenced January 5, 2010) | 1.00% | 1.45% | 2.88% | |||||||
| ||||||||||
Class P (Commenced April 17, 2018) | 1.11% | N/A | -1.43% | |||||||
| ||||||||||
Class R (Commenced January 5, 2010) | 0.39% | 0.93% | 2.36% | |||||||
| ||||||||||
Class R6 (Commenced July 31, 2015) | 0.99% | N/A | 2.09% | |||||||
| ||||||||||
| * | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A 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 Average Annual Total Return. |
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 seeks to:
| ∎ | 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 |
11
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 the12-month period ended December 31, 2019 (the “Reporting Period”).
| Q | How did the Fund perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, Class C, Institutional, Investor, Class P, Class R and Class R6 Shares generated average annual total returns, without sales charges, of 16.31%, 15.54%, 16.77%, 16.73%, 16.73%, 16.11% and 16.87%, respectively. These returns compare to the 17.63% average annual 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. |
| 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 double-digit positive returns during the Reporting Period, despite a weak second calendar quarter. It was the strongest annual performance for the S&P GSCI® since 2007. Across the commodity markets, gains were driven by the petroleum complex and precious metals, while agriculture and livestock detracted from headline performance. Natural gas ended the year with the poorest performance of all the single commodity constituents of the S&P GSCI®. By comparison to the S&P GSCI® return of 17.63% for the Reporting Period, the S&P 500® Index and the ICE U.S. Dollar Index (“DXY”) returned 31.49% and 0.22%, respectively.1 Overall, commodities during 2019 were boosted by the U.S. Federal Reserve’s (the “Fed”) dovish turn in its monetary policy and a rallying U.S. equity market that more than offset the headwinds of trade tensions, uncertainty around global economic growth and numerous geopolitical flashpoints. (Dovish tends to suggest lower interest rates; opposite of hawkish.) |
| Q | Which commodity subsectors were strongest during the Reporting Period? |
| A | The energy subsector of the S&P GSCI® was strongest on a relative basis, posting a return of 29.69% for the 12 months ended December 31, 2019, led by crude oil. West Texas Intermediate oil posted a total return of 34.09%, and Brent crude oil posted a total return of 37.71% for the Reporting Period. Oil rallied in the first months of 2019 through April along with other risk assets, as investor risk sentiment improved from overblown recession fears and bounced back from the largesell-off experience in the fourth quarter of 2018 to a more stable economic growth outlook. Prices remained largely range-bound during the second and third calendar quarters, as softening economic data and uncertainty around U.S.-China trade negotiations weighed on oil demand. Despite decreasing demand, prices subsequently stabilized due to various supply-side outages, including sanctions on Venezuela and Iran, an extension of the Organization of Petroleum Exporting Countries+ (“OPEC+”) production cuts and an attack on Saudi Arabia’s Khurais oil field in September, which initially took 5.7 million barrels per day offline, accounting for approximately 6% of the world’s global production. (OPEC is an organization of 12 countries that aims to manage the supply of oil in an effort to set the price of oil on the world market to avoid fluctuations that might affect the economies of both producing and purchasing countries. The + is the cartel’soil-producing allies, including Russia.) The results of these supply and demand shifts left markets rather balanced throughyear-end, with a rally in risk assets in December that |
| 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. |
12
PORTFOLIO RESULTS
supported apick-up in oil prices as well, based on improving optimism around U.S.-China trade negotiations and the Fed’s dovish pivot to bolster U.S. economic growth. Natural gas, however, posted a total return of-32.28%, the weakest individual commodity constituent of the S&P GSCI® during the Reporting Period. Thesell-off in natural gas persisted from December 2018 through the first half of 2019, with pricing coming down significantly, pressured primarily by a large excess supply in natural gas production from U.S. shale producers. |
| The precious metals subsector of the S&P GSCI® was second-strongest on a relative basis with a return of 17.62% for the Reporting Period. Both gold and silver rallied during the calendar year with double-digit gains, and palladium was the second-strongest individual constituent of the S&P GSCI® during the Reporting Period. Precious metals performed well, rallying on the back of the Fed’s dovish pivot early in the year, which led to three interest rate cuts by the end of 2019. Other central banks also matched the Fed in their willingness to cut interest rates, which supported the precious metals. With interest rates lower, inflation expectations tend to rise, and investors tend to seek precious metals, including gold and silver, as a real-asset store of value to mitigate nominal wealth erosion from inflation. Additionally, central banks themselves have been purchasing gold to diversify their exposure to dollars as a strategic reserve. Precious metals also benefited from a “safe haven” bid amidst increased geopolitical and trade tensions as well as concerns surrounding weakening global economic growth. |
| The industrial metals subsector, as measured by the S&P GSCI® Industrial Metals Index, returned 2.59% for the Reporting Period overall, with individual constituent performance mixed. Nickel was the standout performer in 2019. While well off its late-summer highs, which were fueled by industrial manufacturers’ concerns of future availability and speculator-driven demand produced by trend-following strategies, nickel posted a total return of nearly 33% for the Reporting Period. Worries about future access to nickel stemmed mainly from a planned 2022 ban of ore exports from a major producer in Indonesia. Iron ore was actually the strongest individual constituent in the broad S&P GSCI® during the Reporting Period, a function of several significant supply curtailments and persistent Chinese steel demand. Copper was also up, albeit more modestly. Despite low copper inventories, its prices remained subdued given disappointing manufacturing data in China. Aluminum prices were also up modestly. Zinc, however, was a drag on the subsector’s performance, ending the Reporting Period with a-8.12% price change. Trade tensions and global economic growth uncertainty caused the mixed performance. Industrial metals are a key input to the manufactured goods supply chain, which is globally situated and whose future demand is contingent upon continued growth in consumer demand and international trade agreements. |
| Q | Which commodity subsectors were weakest during the Reporting Period? |
| A | The livestock component of the S&P GSCI® was weakest on a relative basis, posting a return of-5.55% for the 12 months ended December 31, 2019. Within the subsector, live cattle was mostly flat, but lean hogs were a detractor during the Reporting Period. Despite the African swine fever ravaging the world’s largest pig herd, the U.S.-China trade war greatly restricted the ability of U.S. pork producers, even with burgeoning U.S. hog supplies, to export their product to China. |
| The agriculture component of the S&P GSCI® also significantly underperformed the broad S&P GSCI®, returning-0.34% during the Reporting Period. While the price returns for corn, soybeans and wheat were all positive during 2019, their negative roll yields* led to the sector’s rather flat performance. Both corn and soybeans maintained |
| * | Roll yield is the amount of return generated when the futures market is in backwardation after rolling a short-term contract into a longer-term contract and profiting from the convergence toward a higher spot price. Backwardation occurs when a futures contract will trade at a higher price as it approaches expiration, compared to when the contract is further away from expiration. When the market is in backwardation, the future price of an asset is below the expected future spot price. In this case, an investor profits when he rolls his position to the contract with a later expiration date because he is effectively paying less money than expected by the spot market for the underlying asset that the futures investment represents. Negative roll yield occurs when a market is in contango, the opposite of backwardation. When a market is in contango, the future price of the asset is above the expected future spot price. When a market is in contango, an investor will lose money when rolling contracts. |
13
PORTFOLIO RESULTS
elevated stocks to use.Sub-optimal planting weather, declining U.S. exports and persistent trade tensions kept agriculture prices range-bound through much of the Reporting Period. In soybeans specifically, U.S. exports declined as a result of China tariffs, but U.S. inventories shrunk as a result of adverse weather during the planting and growing season, negatively impacting yields. Overall sector performance was sluggish with robust U.S. inventories and demand significantly impacted by the U.S.-China trade war rhetoric andtit-for-tat tariff escalations. |
| Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | The Fund generated double-digit positive absolute returns but modestly underperformed the S&P GSCI® during the Reporting Period. The Fund’s roll-timing strategies had a marginally negative effect on the Fund’s returns for the Reporting Period overall. Our enhanced cash management strategy contributed positively, albeit modestly, to the Fund’s results during the Reporting Period. |
| Q | How did the Fund’s roll-timing strategies impact performance during the Reporting Period? |
| A | As indicated above, the Fund’s roll-timing strategies, implemented via exposure to commodity index-linked swaps, had a marginally negative effect on the Fund’s returns for the Reporting Period overall. In particular, the Fund’s deferred exposure to crude oil during the second half of the Reporting Period led to marginally negative performance versus the S&P GSCI®. |
| 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. |
| 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 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. Overall, fixed income securities used for the Fund’s collateral allocation contributed positively, albeit slightly, to returns. More specifically, investments in short-term money market instruments, such as commercial paper, contributed positively, as commercial paper rallied. Investments in U.S. Treasury bonds and agency mortgage-backed securities were also additive to performance during the Reporting Period amidst the Fed’s interest rate cuts. Short positions in U.S. Treasury futures, held for the purpose of duration management, were marginal detractors. |
| 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 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, agency collateralized mortgage obligations, currency swaps and forward sales contracts, which are agency mortgage-backed derivatives used in purchasing a future issuance of agency mortgage-backed securities. The Fund used U.S. Treasury futures contracts and interest rate swaps for duration management purposes. The use of these instruments is integral to the Fund’s investment strategy, which, overall, realized strong 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 | While the Fund seeks to gain exposure to commodities as represented in the S&P GSCI®, the Fund established deferred positions in West Texas Intermediate crude oil and Brent crude oil as part of its strategic allocation during the Reporting Period. We also reduced the Fund’s position in cash and increased its investments in fixed income securities. No other significant changes in the Fund’s strategy or allocation were made during the Reporting Period. The Fund continued to hold exposure to the commodities markets primarily in the form of swaps linked to the S&P GSCI®. |
14
PORTFOLIO RESULTS
| 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 the S&P GSCI® in the front month across the stack of commodities curves. (Front month refers to the futures contract that is closest to expiration and is usually for delivery in the next calendar month (e.g., front-month contracts traded in February are typically for delivery in March).) The exceptions were deferred exposure to 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. |
| At the end of the Reporting Period, the Fund’s net assets were allocated approximately 19.03% to commodity-linked securities, 50.88% to fixed income securities and 30.09% to cash. |
| Q | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
| A | Michael Johnson, head of the commodities team within Global Fixed Income, left the firm at the end of March 2019. Mark Van Wyk, head of the government swaps strategy and a portfolio manager for our inflation-linked strategies, has assumed responsibility for the commodities strategy. Mark also assumed Michael’s portfolio management responsibilities for the Fund. Mark helped launch the commodities enhanced index strategy in 1995 and has continued to trade commodities within our inflation strategy. Mark joined GSAM in 1994 and has 25 years of investment experience. Sam Finkelstein remains a portfolio manager of the Fund, along with Mark. We remain focused on our goal of delivering strong returns for our Fund shareholders, primarily through commodity roll-timing strategies. |
| Q | What is the Fund’s view and strategy going forward? |
| A | Oil prices were supported in 2019 by ongoing and deep OPEC+ production cuts in addition to supply outages emanating from Venezuela and Iran. This was despite weaker than expected oil demand growth and a continued increase in U.S. oil production, albeit at a slower pace. We expect the resultant physical tightness in the Brent crude oil market to continue as the term structure stays backwardated and generates a positive roll yield. Geopolitical risks are likely to remain heightened, particularly between the U.S. and Saudi Arabia versus Iran. In the U.S., capital discipline among U.S. oil companies may result in slower production growth for domestic shale production, resulting in less market supply and potential support for West Texas Intermediate crude prices. Indeed, U.S. shale production appears to be slowing, as high accumulated leverage and poor returns close access to the capital markets for oil producers. This slowdown, along with continued OPEC+ production cuts should, in our view, keep the market balanced. However, potential oil disruptions could drive price volatility. In the industrial metals subsector, we believe copper prices could reverse course and rally if a near-term trade deal between the U.S. and China is struck and sentiment improves. At the end of the Reporting Period, we maintained the Fund’s positioning along with the S&P GSCI® in the front month across the stack of commodities curves, with the exception of crude oil. Irrespective of directionality, we believe the market will continue to hold opportunities for the active, relative value investor. |
15
FUND BASICS
Commodity Strategy Fund
as of December 31, 2019
| FUND COMPOSITION1 |
| 1 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the graph may not sum to 100% due to the exclusion of other assets and liabilities. 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. |
| 2 | Mortgage-backed securities issued by the Government National Mortgage Association (“GNMA”), Federal National Mortgage Association (“FNMA”) or Federal Home Loan Mortgage Corp. (“FHLMC”) are guaranteed by the issuing entity. GNMA instruments are also backed by the full faith and credit of the United States Government. Mortgage-backed securities issued by private issuers may not be guaranteed. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
16
GOLDMAN SACHS COMMODITY STRATEGY FUND
Performance Summary
December 31, 2019
The following graph shows the value as of December 31, 2019, of a $1,000,000 investment made on January 1, 2010 in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the S&P GSCI® Total Return Index (Gross, USD, Unhedged) (“S&P GSCI Index”), is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below 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 below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
| Commodity Strategy Fund’s 10 Year Performance |
Performance of a $1,000,000 Investment, with distributions reinvested, from January 1, 2010 through December 31, 2019.
| Average Annual Total Return through December 31, 2019* | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A | ||||||||||||||
Excluding sales charges | 16.31% | -4.95% | -5.68% | — | ||||||||||
Including sales charges | 11.03% | -5.80% | -6.11% | — | ||||||||||
| ||||||||||||||
Class C | ||||||||||||||
Excluding contingent deferred sales charges | 15.54% | -5.67% | -6.37% | — | ||||||||||
Including contingent deferred sales charges | 14.43% | -5.67% | -6.37% | — | ||||||||||
| ||||||||||||||
Institutional | 16.77% | -4.67% | -5.39% | — | ||||||||||
| ||||||||||||||
Investor | 16.73% | -4.68% | -5.43% | — | ||||||||||
| ||||||||||||||
Class P (Commenced April 17, 2018) | 16.73% | N/A | N/A | -2.74% | ||||||||||
| ||||||||||||||
Class R | 16.11% | -5.28% | -5.94% | — | ||||||||||
| ||||||||||||||
Class R6 (Commenced July 31, 2015) | 16.87% | N/A | N/A | -1.94% | ||||||||||
| ||||||||||||||
| * | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 4.50% for Class A 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 Average Annual Total Return. |
17
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 the12-month period ended December 31, 2019 (the “Reporting Period”).
| Q | How did the Fund perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, Class C, Institutional, Investor, Class P, Class R and Class R6 Shares generated average annual total returns, without sales charges, of 2.28%, 1.51%, 2.82%, 2.60%, 2.71%, 2.14% and 2.72%, respectively. These returns compare to the 2.33% average annual total return of the Fund’s benchmark, the ICE® BofAML® USD LIBOROne-Month Constant Maturity Index (the “LIBOROne-Month Index”), during the same time period. |
| We note that the Fund’s benchmark being the LIBOROne-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. |
| 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 andnon-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. |
| During the Reporting Period, the Fund generated solid positive performance. Exposures to short-term interest rates and developed fixed income contributed the most to the Fund’s performance. Conversely, exposures to commodities and emerging markets equities detracted the most. |
| More specifically, positioning in short-term interest rates across regions was the largest positive contributor to returns during the Reporting Period, with seven of the eight regions in which the Fund invests adding value. Short-term interest rates in the U.S., Australia and the Eurozone were the best contributors by geography. In terms of developed fixed income, European, U.S. and Swedish fixed income were the best contributors. The Fund was short both short-term interest rates and developed fixed income at the end of the Reporting Period. |
| Conversely, the Fund had mixed results across different emerging markets equity markets. Chinese H shares and South African equities detracted the most during the Reporting Period, while China A shares contributed positively. The Fund was short emerging markets equities overall at the end of the Reporting Period. Within commodities, exposures to lean hogs, gasoline and West Texas Intermediate crude oil detracted the most during the Reporting Period. The Fund ended the Reporting Period with mixed exposures across commodities that were on average long. |
| 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, forward foreign currency exchange contracts and currency forwards to achieve exposure to equities (both in U.S. andnon-U.S. companies) and currencies (U.S. andnon-U.S. currencies), respectively. The Fund used interest rate swaps, credit swaps, total return swaps and currency forwards to achieve exposure to fixed |
18
PORTFOLIO RESULTS
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, which, overall, realized positive absolute returns during the Reporting Period. |
| Q | What positioning changes did you make within the Fund during the Reporting Period? |
| A | Relative to the Fund’s positioning at the start of the Reporting Period, the Fund increased its long positioning in developed markets equities and decreased its short positioning in emerging markets equities by the end of the Reporting Period. The Fund decreased its long positions in fixed income and increased its short positions in short-term fixed income. Among currencies, the Fund’s short position in developed market currencies decreased, while positioning in emerging markets currencies shifted from long to short. The Fund’s commodity positions switched from short to slightly long overall 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 long developed markets equities and short emerging markets equities. The Fund was long long-term and medium-term interest rates and short short-term interest rates. The Fund was short developed markets currencies and long emerging markets currencies at the end of the Reporting Period. The Fund was long commodities at the end of the Reporting Period. |
| Q | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
| A | There were no changes to the Fund’s portfolio management team during the Reporting Period. |
| Q | What is the Fund’s tactical asset allocation view and strategy for the months ahead? |
| A | Going into 2020, 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 will 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 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 the best opportunities 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. |
19
FUND BASICS
Managed Futures Strategy Fund
as of December 31, 2019
| FUND COMPOSITION1 |
| 1 | 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. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
20
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Performance Summary
December 31, 2019
The following graph shows the value as of December 31, 2019, of a $1,000,000 investment made on February 29, 2012 (commencement of operations) in Investor Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the ICE BofAML USD LIBOR One-Month Constant Maturity Index (the “LIBOR One-Month Index”), is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below 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 below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
| Managed Futures Strategy Fund’s Lifetime Performance |
Performance of a $1,000,000 Investment, with distributions reinvested, from February 29, 2012 through December 31, 2019.
| Average Annual Total Return through December 31, 2019* | One Year | Five Years | Since Inception | |||||||
Class A (Commenced February 29, 2012) | ||||||||||
Excluding sales charges | 2.28% | 2.12% | 1.04% | |||||||
Including sales charges | -3.30% | 0.97% | 0.31% | |||||||
| ||||||||||
Class C (Commenced February 29, 2012) | ||||||||||
Excluding contingent deferred sales charges | 1.51% | 1.36% | 0.26% | |||||||
Including contingent deferred sales charges | 0.46% | 1.36% | 0.26% | |||||||
| ||||||||||
Institutional (Commenced February 29, 2012) | 2.82% | 2.53% | 1.43% | |||||||
| ||||||||||
Investor (Commenced February 29, 2012) | 2.60% | 2.38% | 1.28% | |||||||
| ||||||||||
Class P (Commenced April 17, 2018) | 2.71% | N/A | 0.08% | |||||||
| ||||||||||
Class R (Commenced February 29, 2012) | 2.14% | 1.88% | 0.78% | |||||||
| ||||||||||
Class R6 (Commenced April 30, 2018) | 2.72% | N/A | 1.30% | |||||||
| ||||||||||
| * | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A 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 Average Annual Total Return. |
21
FUND BASICS
Index Definitions
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.
The ICE BofAML 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.
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.
The ICE BofAML USD LIBOROne-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.
22
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments
December 31, 2019
| Shares | Description | Value | ||||||
| Common Stocks – 22.4% | ||||||||
| Automobiles & Components – 0.3% | ||||||||
| 1,800 | Aptiv plc | $ | 170,946 | |||||
| 2,300 | Bayerische Motoren Werke AG | 188,383 | ||||||
| 7,800 | BorgWarner, Inc. | 338,364 | ||||||
| 700 | Bridgestone Corp. | 26,005 | ||||||
| 3,300 | Cie Generale des Etablissements Michelin SCA | 406,095 | ||||||
| 2,500 | Continental AG | 323,076 | ||||||
| 6,100 | Daimler AG (Registered) | 337,234 | ||||||
| 500 | Denso Corp. | 22,581 | ||||||
| 6,000 | Faurecia SE | 325,726 | ||||||
| 2,200 | Ferrari NV | 365,278 | ||||||
| 19,000 | Fiat Chrysler Automobiles NV | 281,704 | ||||||
| 55,800 | Ford Motor Co. | 518,940 | ||||||
| 60,102 | General Motors Co. | 2,199,733 | ||||||
| 7,700 | Harley-Davidson, Inc. | 286,363 | ||||||
| 4,600 | Hella GmbH & Co. KGaA | 254,202 | ||||||
| 6,200 | Honda Motor Co. Ltd. | 175,470 | ||||||
| 2,900 | Isuzu Motors Ltd. | 34,280 | ||||||
| 200 | Koito Manufacturing Co. Ltd. | 9,261 | ||||||
| 12,200 | Lear Corp. | 1,673,840 | ||||||
| 500 | Mazda Motor Corp. | 4,261 | ||||||
| 1,400 | Mitsubishi Motors Corp. | 5,836 | ||||||
| 300 | NHK Spring Co. Ltd. | 2,715 | ||||||
| 200 | Nifco, Inc. | 5,462 | ||||||
| 3,500 | Nissan Motor Co. Ltd. | 20,282 | ||||||
| 21,300 | Peugeot SA | 512,844 | ||||||
| 43,700 | Pirelli & C SpA | 252,222 | ||||||
| 3,000 | Renault SA | 142,462 | ||||||
| 500 | Stanley Electric Co. Ltd. | 14,441 | ||||||
| 3,700 | Sumitomo Electric Industries Ltd. | 55,567 | ||||||
| 3,700 | Sumitomo Rubber Industries Ltd. | 45,117 | ||||||
| 9,800 | TI Fluid Systems plc | 34,626 | ||||||
| 2,300 | Tokai Rika Co. Ltd. | 44,821 | ||||||
| 2,600 | Toyoda Gosei Co. Ltd. | 64,920 | ||||||
| 900 | Toyota Industries Corp. | 51,786 | ||||||
| 2,600 | Toyota Motor Corp. | 183,200 | ||||||
| 700 | TS Tech Co. Ltd. | 21,727 | ||||||
| 9,700 | Valeo SA | 343,800 | ||||||
| 2,000 | Yokohama Rubber Co. Ltd. (The) | 38,790 | ||||||
|
| |||||||
| 9,782,360 | ||||||||
|
| |||||||
| Banks – 1.3% | ||||||||
| 1,600 | 77 Bank Ltd. (The) | 26,628 | ||||||
| 102,700 | Banco Bilbao Vizcaya Argentaria SA | 576,591 | ||||||
| 315,393 | Banco de Sabadell SA | 369,296 | ||||||
| 139,000 | Banco Santander SA | 582,792 | ||||||
| 190,089 | Bank of America Corp. | 6,694,935 | ||||||
| 1,200 | Bank of Georgia Group plc | 25,830 | ||||||
| 10,700 | Bank of Ireland Group plc | 58,889 | ||||||
| 5,300 | Bankinter SA | 38,930 | ||||||
| 7,700 | BNP Paribas SA | 457,673 | ||||||
| 40,198 | CIT Group, Inc. | 1,834,235 | ||||||
| 18,900 | Citigroup, Inc. | 1,509,921 | ||||||
| 72,462 | Citizens Financial Group, Inc. | 2,942,682 | ||||||
| 8,700 | Comerica, Inc. | 624,225 | ||||||
| 73,900 | Commerzbank AG | 456,408 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Banks – (continued) | ||||||||
| 18,000 | Credit Agricole SA | 261,924 | ||||||
| 32,600 | Cullen/Frost Bankers, Inc. | 3,187,628 | ||||||
| 200 | Daishi Hokuetsu Financial Group, Inc. | 5,543 | ||||||
| 1,400 | Erste Group Bank AG* | 52,587 | ||||||
| 19,000 | Fifth Third Bancorp | 584,060 | ||||||
| 6,100 | FinecoBank Banca Fineco SpA | 73,174 | ||||||
| 1,500 | Fukuoka Financial Group, Inc. | 28,659 | ||||||
| 3,100 | Gunma Bank Ltd. (The) | 10,873 | ||||||
| 10,900 | Hiroshima Bank Ltd. (The) | 53,024 | ||||||
| 6,800 | Hokuhoku Financial Group, Inc. | 71,275 | ||||||
| 100,500 | HSBC Holdings plc | 786,759 | ||||||
| 14,900 | Huntington Bancshares, Inc. | 224,692 | ||||||
| 77,400 | JPMorgan Chase & Co. | 10,789,560 | ||||||
| 1,700 | KBC Group NV | 128,171 | ||||||
| 20,000 | KeyCorp | 404,800 | ||||||
| 1,100 | M&T Bank Corp. | 186,725 | ||||||
| 16,100 | Mebuki Financial Group, Inc. | 41,048 | ||||||
| 17,400 | Mediobanca Banca di Credito Finanziario SpA | 191,583 | ||||||
| 32,400 | Mitsubishi UFJ Financial Group, Inc. | 175,165 | ||||||
| 7,800 | Nishi-Nippon Financial Holdings, Inc. | 60,734 | ||||||
| 3,200 | OneSavings Bank plc | 18,371 | ||||||
| 3,700 | Paragon Banking Group plc | 26,416 | ||||||
| 26,100 | Popular, Inc. | 1,533,375 | ||||||
| 3,800 | Raiffeisen Bank International AG | 95,112 | ||||||
| 31,300 | Regions Financial Corp. | 537,108 | ||||||
| 7,800 | Resona Holdings, Inc. | 33,997 | ||||||
| 16,200 | Royal Bank of Scotland Group plc | 51,969 | ||||||
| 1,700 | Seven Bank Ltd. | 5,569 | ||||||
| 1,600 | Shinsei Bank Ltd. | 24,411 | ||||||
| 14,700 | Societe Generale SA | 513,000 | ||||||
| 1,700 | Sumitomo Mitsui Trust Holdings, Inc. | 67,203 | ||||||
| 900 | SVB Financial Group* | 225,936 | ||||||
| 57,900 | Synovus Financial Corp. | 2,269,680 | ||||||
| 1,100 | TBC Bank Group plc | 18,942 | ||||||
| 39,200 | TCF Financial Corp. | 1,834,560 | ||||||
| 35,500 | UniCredit SpA | 518,902 | ||||||
| 92,200 | Unione di Banche Italiane SpA | 301,389 | ||||||
| 3,200 | US Bancorp | 189,728 | ||||||
| 57,030 | Wells Fargo & Co. | 3,068,214 | ||||||
| 4,600 | Yamaguchi Financial Group, Inc. | 31,110 | ||||||
|
| |||||||
| 44,882,011 | ||||||||
|
| |||||||
| Capital Goods – 1.5% | ||||||||
| 12,589 | 3M Co. | 2,220,951 | ||||||
| 2,000 | Aalberts NV | 90,016 | ||||||
| 5,788 | ACS Actividades de Construccion y Servicios SA | 232,181 | ||||||
| 35,800 | AECOM* | 1,544,054 | ||||||
| 1,200 | Airbus SE | 176,118 | ||||||
| 1,277 | Allegion plc | 159,038 | ||||||
| 900 | Amada Holdings Co. Ltd. | 10,236 | ||||||
| 2,400 | AMETEK, Inc. | 239,376 | ||||||
| 1,500 | ANDRITZ AG | 64,485 | ||||||
| 500 | AO Smith Corp. | 23,820 | ||||||
| 10,100 | Arconic, Inc. | 310,777 | ||||||
|
| |||||||
| The accompanying notes are an integral part of these financial statements. | 23 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments(continued)
December 31, 2019
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Capital Goods – (continued) | ||||||||
| 1,900 | Ashtead Group plc | $ | 60,752 | |||||
| 9,800 | BAE Systems plc | 73,376 | ||||||
| 11,154 | Boeing Co. (The) | 3,633,527 | ||||||
| 3,400 | Brenntag AG | 184,473 | ||||||
| 3,400 | Bunzl plc | 92,992 | ||||||
| 3,200 | Caterpillar, Inc. | 472,576 | ||||||
| 8,000 | Cie de Saint-Gobain | 327,727 | ||||||
| 6,600 | Cobham plc | 14,359 | ||||||
| 1,300 | COMSYS Holdings Corp. | 37,237 | ||||||
| 3,600 | Cummins, Inc. | 644,256 | ||||||
| 500 | Daikin Industries Ltd. | 70,545 | ||||||
| 1,600 | DCC plc | 138,783 | ||||||
| 1,400 | Diploma plc | 37,534 | ||||||
| 2,300 | DMG Mori Co. Ltd. | 35,191 | ||||||
| 2,500 | Dover Corp. | 288,150 | ||||||
| 6,200 | Eaton Corp. plc | 587,264 | ||||||
| 2,100 | Eiffage SA | 240,926 | ||||||
| 2,600 | Emerson Electric Co. | 198,276 | ||||||
| 200 | FANUC Corp. | 36,933 | ||||||
| 1,600 | Fastenal Co. | 59,120 | ||||||
| 2,900 | Ferguson plc | 263,920 | ||||||
| 9,800 | Ferrovial SA | 296,912 | ||||||
| 1,100 | Flowserve Corp. | 54,747 | ||||||
| 5,800 | Fortive Corp. | 443,062 | ||||||
| 8,900 | Fortune Brands Home & Security, Inc. | 581,526 | ||||||
| 400 | Fuji Electric Co. Ltd. | 12,151 | ||||||
| 3,500 | Fujikura Ltd. | 14,401 | ||||||
| 400 | Furukawa Electric Co. Ltd. | 10,240 | ||||||
| 2,100 | Galliford Try plc | 23,908 | ||||||
| 2,100 | GEA Group AG | 69,442 | ||||||
| 200 | Glory Ltd. | 6,044 | ||||||
| 800 | GS Yuasa Corp. | 17,243 | ||||||
| 2,700 | Hanwa Co. Ltd. | 70,657 | ||||||
| 107,035 | HD Supply Holdings, Inc.* | 4,304,948 | ||||||
| 900 | HOCHTIEF AG | 114,584 | ||||||
| 16,500 | Honeywell International, Inc. | 2,920,500 | ||||||
| 200 | Hoshizaki Corp. | 17,832 | ||||||
| 4,500 | Howden Joinery Group plc | 40,092 | ||||||
| 1,300 | Huntington Ingalls Industries, Inc. | 326,144 | ||||||
| 700 | IDEX Corp. | 120,400 | ||||||
| 1,200 | Illinois Tool Works, Inc. | 215,556 | ||||||
| 600 | IMCD NV | 52,534 | ||||||
| 1,300 | Ingersoll-Rand plc | 172,796 | ||||||
| 10,000 | ITOCHU Corp. | 231,767 | ||||||
| 4,400 | JGC Holdings Corp. | 70,031 | ||||||
| 5,900 | John Laing Group plc | 29,786 | ||||||
| 45,400 | Johnson Controls International plc | 1,848,234 | ||||||
| 2,900 | Kinden Corp. | 45,059 | ||||||
| 500 | Kingspan Group plc | 30,538 | ||||||
| 1,900 | KION Group AG | 130,658 | ||||||
| 200 | Knorr-Bremse AG | 20,359 | ||||||
| 2,800 | Kone OYJ Class B | 183,044 | ||||||
| 3,800 | Konecranes OYJ | 116,847 | ||||||
| 1,900 | Kyowa Exeo Corp. | 48,063 | ||||||
| 1,200 | Kyudenko Corp. | 35,355 | ||||||
| 2,800 | Legrand SA | 228,659 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Capital Goods – (continued) | ||||||||
| 2,900 | LIXIL Group Corp. | 50,045 | ||||||
| 13,500 | Marubeni Corp. | 99,743 | ||||||
| 13,700 | Masco Corp. | 657,463 | ||||||
| 8,800 | Meggitt plc | 76,648 | ||||||
| 3,100 | MINEBEA MITSUMI, Inc. | 64,034 | ||||||
| 500 | MISUMI Group, Inc. | 12,375 | ||||||
| 5,300 | Mitsubishi Corp. | 140,404 | ||||||
| 1,900 | Mitsubishi Heavy Industries Ltd. | 73,676 | ||||||
| 6,900 | Mitsui & Co. Ltd. | 122,651 | ||||||
| 100 | Miura Co. Ltd. | 3,455 | ||||||
| 600 | MonotaRO Co. Ltd. | 15,973 | ||||||
| 700 | MTU Aero Engines AG | 199,448 | ||||||
| 400 | Nabtesco Corp. | 11,787 | ||||||
| 200 | Nachi-Fujikoshi Corp. | 8,726 | ||||||
| 600 | Nagase & Co. Ltd. | 8,898 | ||||||
| 300 | Nidec Corp. | 40,975 | ||||||
| 3,100 | Nisshinbo Holdings, Inc. | 29,497 | ||||||
| 2,600 | NTN Corp. | 8,130 | ||||||
| 5,700 | Obayashi Corp. | 63,308 | ||||||
| 200 | OKUMA Corp. | 10,519 | ||||||
| 3,092 | Parker-Hannifin Corp. | 636,395 | ||||||
| 6,500 | Pentair plc | 298,155 | ||||||
| 4,668 | Polypipe Group plc | 33,389 | ||||||
| 7,600 | Prysmian SpA | 183,458 | ||||||
| 1,400 | QinetiQ Group plc | 6,635 | ||||||
| 132,813 | Quanta Services, Inc. | 5,406,817 | ||||||
| 6,100 | Rexel SA | 81,134 | ||||||
| 600 | Rheinmetall AG | 68,797 | ||||||
| 800 | Rockwell Automation, Inc. | 162,136 | ||||||
| 11,800 | Rolls-Royce Holdings plc* | 106,649 | ||||||
| 455,400 | Rolls-Royce Holdings plc (Preference) Class C*,(a) | 603 | ||||||
| 469,200 | Rolls-Royce International Ltd. (Preference) Class C*,(a) | 622 | ||||||
| 200 | Roper Technologies, Inc. | 70,846 | ||||||
| 7,300 | Rotork plc | 32,451 | ||||||
| 1,600 | Sanwa Holdings Corp. | 17,929 | ||||||
| 7,300 | Schneider Electric SE | 750,000 | ||||||
| 4,200 | Shimizu Corp. | 42,785 | ||||||
| 4,700 | Siemens AG (Registered) | 613,780 | ||||||
| 10,600 | SIG plc | 17,270 | ||||||
| 4,900 | Signify NV | 153,364 | ||||||
| 200 | SMC Corp. | 91,463 | ||||||
| 2,200 | Snap-on, Inc. | 372,680 | ||||||
| 22,700 | Sojitz Corp. | 73,164 | ||||||
| 300 | Spirax-Sarco Engineering plc | 35,314 | ||||||
| 31,651 | Spirit AeroSystems Holdings, Inc. Class A | 2,306,725 | ||||||
| 1,900 | Stanley Black & Decker, Inc. | 314,906 | ||||||
| 6,000 | Sumitomo Corp. | 89,120 | ||||||
| 300 | THK Co. Ltd. | 8,055 | ||||||
| 900 | Toda Corp. | 5,941 | ||||||
| 300 | TOTO Ltd. | 12,668 | ||||||
| 2,200 | Toyota Tsusho Corp. | 77,281 | ||||||
| 5,200 | TransDigm Group, Inc. | 2,912,000 | ||||||
| 6,100 | Travis Perkins plc | 129,443 | ||||||
|
| |||||||
| 24 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Capital Goods – (continued) | ||||||||
| 400 | Ultra Electronics Holdings plc | $ | 11,201 | |||||
| 18,460 | United Rentals, Inc.* | 3,078,574 | ||||||
| 18,400 | United Technologies Corp. | 2,755,584 | ||||||
| 1,800 | Ushio, Inc. | 26,691 | ||||||
| 900 | Valmet OYJ | 21,582 | ||||||
| 12,400 | Valmont Industries, Inc. | 1,857,272 | ||||||
| 9,700 | Vesuvius plc | 64,243 | ||||||
| 6,300 | Vinci SA | 701,654 | ||||||
| 6,100 | Westinghouse Air Brake Technologies Corp. | 474,580 | ||||||
| 14,600 | Woodward, Inc. | 1,729,224 | ||||||
| 700 | WW Grainger, Inc. | 236,964 | ||||||
|
| |||||||
| 53,240,387 | ||||||||
|
| |||||||
| Commercial & Professional Services – 0.3% | ||||||||
| 7,400 | Aggreko plc | 81,717 | ||||||
| 800 | Bureau Veritas SA | 20,914 | ||||||
| 30,100 | Capita plc* | 65,557 | ||||||
| 10,400 | Cintas Corp. | 2,798,432 | ||||||
| 7,635 | Copart, Inc.* | 694,327 | ||||||
| 2,000 | Dai Nippon Printing Co. Ltd. | 54,095 | ||||||
| 300 | Duskin Co. Ltd. | 8,298 | ||||||
| 2,448 | Edenred | 126,866 | ||||||
| 1,800 | Elis SA | 37,438 | ||||||
| 4,400 | Equifax, Inc. | 616,528 | ||||||
| 4,500 | Experian plc | 152,548 | ||||||
| 2,400 | HomeServe plc | 40,183 | ||||||
| 10,600 | IHS Markit Ltd.* | 798,710 | ||||||
| 300 | Intertek Group plc | 23,246 | ||||||
| 1,600 | Kokuyo Co. Ltd. | 23,870 | ||||||
| 200 | Meitec Corp. | 11,237 | ||||||
| 27,000 | Nielsen Holdings plc | 548,100 | ||||||
| 300 | Park24 Co. Ltd. | 7,346 | ||||||
| 300 | PayPoint plc | 4,022 | ||||||
| 1,400 | Persol Holdings Co. Ltd. | 26,238 | ||||||
| 3,500 | Randstad NV | 214,463 | ||||||
| 2,700 | Recruit Holdings Co. Ltd. | 101,129 | ||||||
| 7,500 | RELX plc | 189,325 | ||||||
| 17,900 | Rentokil Initial plc | 107,285 | ||||||
| 1,100 | Republic Services, Inc. | 98,593 | ||||||
| 8,125 | Robert Half International, Inc. | 513,094 | ||||||
| 300 | Secom Co. Ltd. | 26,773 | ||||||
| 23,400 | Serco Group plc* | 50,182 | ||||||
| 500 | SMS Co. Ltd. | 13,810 | ||||||
| 8,200 | SPIE SA | 167,593 | ||||||
| 52,639 | Stericycle, Inc.* | 3,358,895 | ||||||
| 100 | TechnoPro Holdings, Inc. | 6,979 | ||||||
| 300 | Teleperformance | 73,295 | ||||||
| 2,400 | Toppan Printing Co. Ltd. | 49,580 | ||||||
| 2,884 | Verisk Analytics, Inc. | 430,697 | ||||||
| 6,400 | Waste Management, Inc. | 729,344 | ||||||
| 1,700 | Wolters Kluwer NV | 124,126 | ||||||
|
| |||||||
| 12,394,835 | ||||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Consumer Durables & Apparel – 0.5% | ||||||||
| 1,400 | adidas AG | 455,096 | ||||||
| 1,000 | Asics Corp. | 16,591 | ||||||
| 1,100 | Bandai Namco Holdings, Inc. | 66,915 | ||||||
| 10,000 | Barratt Developments plc | 99,014 | ||||||
| 1,600 | Bellway plc | 80,756 | ||||||
| 2,400 | Berkeley Group Holdings plc | 154,470 | ||||||
| 5,500 | Bovis Homes Group plc | 98,934 | ||||||
| 2,500 | Burberry Group plc | 72,989 | ||||||
| 8,300 | Capri Holdings Ltd.* | 316,645 | ||||||
| 700 | Casio Computer Co. Ltd. | 13,988 | ||||||
| 4,500 | Coats Group plc | 4,447 | ||||||
| 11,800 | Countryside Properties plc | 71,149 | ||||||
| 10,500 | Crest Nicholson Holdings plc | 60,266 | ||||||
| 38,700 | DR Horton, Inc. | 2,041,425 | ||||||
| 1,000 | EssilorLuxottica SA | 152,881 | ||||||
| 700 | Fujitsu General Ltd. | 15,709 | ||||||
| 400 | Games Workshop Group plc | 32,347 | ||||||
| 2,700 | Garmin Ltd. | 263,412 | ||||||
| 400 | Goldwin, Inc. | 29,307 | ||||||
| 21,262 | Hanesbrands, Inc. | 315,741 | ||||||
| 3,500 | Hasbro, Inc. | 369,635 | ||||||
| 300 | Hermes International | 224,733 | ||||||
| 5,300 | HUGO BOSS AG | 256,542 | ||||||
| 200 | Kering SA | 131,783 | ||||||
| 3,500 | Leggett & Platt, Inc. | 177,905 | ||||||
| 44,567 | Lennar Corp. Class A | 2,486,393 | ||||||
| 9,800 | Lululemon Athletica, Inc.* | 2,270,366 | ||||||
| 1,300 | LVMH Moet Hennessy Louis Vuitton SE | 605,740 | ||||||
| 9,400 | McCarthy & Stone plc | 18,552 | ||||||
| 2,400 | Mohawk Industries, Inc.* | 327,312 | ||||||
| 800 | Moncler SpA | 36,006 | ||||||
| 15,878 | Newell Brands, Inc. | 305,175 | ||||||
| 4,700 | NIKE, Inc. Class B | 476,157 | ||||||
| 200 | NVR, Inc.* | 761,682 | ||||||
| 1,800 | Panasonic Corp. | 16,882 | ||||||
| 1,300 | Persimmon plc | 46,435 | ||||||
| 22,430 | PulteGroup, Inc. | 870,284 | ||||||
| 2,800 | Puma SE | 214,710 | ||||||
| 3,500 | PVH Corp. | 368,025 | ||||||
| 2,100 | Ralph Lauren Corp. | 246,162 | ||||||
| 10,042 | Redrow plc | 99,117 | ||||||
| 300 | Sangetsu Corp. | 5,657 | ||||||
| 1,100 | SEB SA | 163,601 | ||||||
| 400 | Sega Sammy Holdings, Inc. | 5,792 | ||||||
| 1,400 | Sekisui Chemical Co. Ltd. | 24,290 | ||||||
| 8,400 | Sekisui House Ltd. | 179,381 | ||||||
| 3,700 | Sony Corp. | 251,222 | ||||||
| 4,800 | Tapestry, Inc. | 129,456 | ||||||
| 18,200 | Taylor Wimpey plc | 46,666 | ||||||
| 31,570 | Under Armour, Inc. Class A* | 681,912 | ||||||
| 25,761 | Under Armour, Inc. Class C* | 494,096 | ||||||
| 300 | Wacoal Holdings Corp. | 8,045 | ||||||
| 1,900 | Whirlpool Corp. | 280,307 | ||||||
|
| |||||||
| 16,942,103 | ||||||||
|
| |||||||
| The accompanying notes are an integral part of these financial statements. | 25 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments(continued)
December 31, 2019
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Consumer Services – 0.3% | ||||||||
| 900 | 888 Holdings plc | $ | 1,967 | |||||
| 1,300 | Accor SA | 61,020 | ||||||
| 1,600 | Benesse Holdings, Inc. | 42,056 | ||||||
| 2,900 | Carnival Corp. | 147,407 | ||||||
| 1,400 | Chipotle Mexican Grill, Inc.* | 1,171,954 | ||||||
| 200 | Colowide Co. Ltd. | 4,135 | ||||||
| 8,000 | Compass Group plc | 200,494 | ||||||
| 3,401 | Darden Restaurants, Inc. | 370,743 | ||||||
| 8,200 | EI Group plc* | 30,826 | ||||||
| 1,000 | Flutter Entertainment plc | 121,836 | ||||||
| 59,700 | frontdoor, Inc.* | 2,830,974 | ||||||
| 2,900 | Greggs plc | 88,457 | ||||||
| 6,400 | GVC Holdings plc | 74,957 | ||||||
| 5,098 | H&R Block, Inc. | 119,701 | ||||||
| 1,900 | Hilton Worldwide Holdings, Inc. | 210,729 | ||||||
| 600 | J D Wetherspoon plc | 13,217 | ||||||
| 2,700 | Las Vegas Sands Corp. | 186,408 | ||||||
| 12,600 | Marston’s plc | 21,230 | ||||||
| 8,100 | McDonald’s Corp. | 1,600,641 | ||||||
| 8,800 | MGM Resorts International | 292,776 | ||||||
| 4,500 | Mitchells & Butlers plc* | 27,389 | ||||||
| 5,800 | Norwegian Cruise Line Holdings Ltd.* | 338,778 | ||||||
| 500 | Oriental Land Co. Ltd. | 68,221 | ||||||
| 8,500 | Playtech plc | 44,699 | ||||||
| 100 | PPHE Hotel Group Ltd. | 2,450 | ||||||
| 1,300 | Rank Group plc | 4,770 | ||||||
| 200 | Resorttrust, Inc. | 3,390 | ||||||
| 800 | Royal Caribbean Cruises Ltd. | 106,808 | ||||||
| 1,600 | Skylark Holdings Co. Ltd. | 31,368 | ||||||
| 1,400 | Sodexo SA | 165,911 | ||||||
| 25,900 | Starbucks Corp. | 2,277,128 | ||||||
| 4,800 | William Hill plc | 11,982 | ||||||
| 1,500 | Yoshinoya Holdings Co. Ltd. | 39,998 | ||||||
| 8,600 | Yum! Brands, Inc. | 866,278 | ||||||
| 100 | Zensho Holdings Co. Ltd. | 2,264 | ||||||
|
| |||||||
| 11,582,962 | ||||||||
|
| |||||||
| Diversified Financials – 0.8% | ||||||||
| 10,300 | 3i Group plc | 149,883 | ||||||
| 700 | Acom Co. Ltd. | 3,176 | ||||||
| 1,700 | AJ Bell plc | 9,660 | ||||||
| 2,700 | American Express Co. | 336,123 | ||||||
| 2,500 | Ameriprise Financial, Inc. | 416,450 | ||||||
| 1,600 | Amundi SA | 125,818 | ||||||
| 11,900 | Ashmore Group plc | 81,629 | ||||||
| 10,700 | Bank of New York Mellon Corp. (The) | 538,531 | ||||||
| 18,733 | Berkshire Hathaway, Inc. Class B* | 4,243,025 | ||||||
| 1,300 | Brewin Dolphin Holdings plc | 6,413 | ||||||
| 33,500 | Capital One Financial Corp. | 3,447,485 | ||||||
| 4,300 | Charles Schwab Corp. (The) | 204,508 | ||||||
| 900 | Close Brothers Group plc | 19,062 | ||||||
| 3,748 | Credit Acceptance Corp.* | 1,657,853 | ||||||
| 600 | Credit Saison Co. Ltd. | �� | 10,406 | |||||
| 2,300 | Deutsche Boerse AG | 360,669 | ||||||
| 6,100 | Discover Financial Services | 517,402 | ||||||
| 6,400 | E*TRADE Financial Corp. | 290,368 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Diversified Financials – (continued) | ||||||||
| 700 | Euronext NV | 57,218 | ||||||
| 3,600 | EXOR NV | 279,113 | ||||||
| 5,800 | Franklin Resources, Inc. | 150,684 | ||||||
| 200 | GRENKE AG | 20,695 | ||||||
| 1,400 | Hargreaves Lansdown plc | 35,912 | ||||||
| 1,500 | IG Group Holdings plc | 13,809 | ||||||
| 2,600 | IntegraFin Holdings plc | 15,326 | ||||||
| 38,636 | Interactive Brokers Group, Inc. Class A | 1,801,210 | ||||||
| 5,400 | Intermediate Capital Group plc | 115,176 | ||||||
| 23,065 | Invesco Ltd. | 414,709 | ||||||
| 58,800 | Investec plc | 345,554 | ||||||
| 500 | Japan Exchange Group, Inc. | 8,803 | ||||||
| 78,300 | Jefferies Financial Group, Inc. | 1,673,271 | ||||||
| 5,500 | Jupiter Fund Management plc | 29,869 | ||||||
| 144,700 | M&G plc* | 454,640 | ||||||
| 12,000 | Man Group plc | 25,132 | ||||||
| 2,300 | MarketAxess Holdings, Inc. | 871,953 | ||||||
| 11,000 | Mitsubishi UFJ Lease & Finance Co. Ltd. | 70,815 | ||||||
| 14,885 | Moody’s Corp. | 3,533,848 | ||||||
| 48,000 | Morgan Stanley | 2,453,760 | ||||||
| 2,100 | MSCI, Inc. | 542,178 | ||||||
| 27,500 | Natixis SA | 122,499 | ||||||
| 300 | Northern Trust Corp. | 31,872 | ||||||
| 7,700 | ORIX Corp. | 127,600 | ||||||
| 1,300 | Plus500 Ltd. | 15,257 | ||||||
| 3,500 | Raymond James Financial, Inc. | 313,110 | ||||||
| 3,600 | S&P Global, Inc. | 982,980 | ||||||
| 1,400 | Sanne Group plc | 12,555 | ||||||
| 500 | SBI Holdings, Inc. | 10,556 | ||||||
| 1,600 | Schroders plc | 70,650 | ||||||
| 1,700 | St James’s Place plc | 26,205 | ||||||
| 45,812 | Standard Life Aberdeen plc | 199,311 | ||||||
| 4,500 | State Street Corp. | 355,950 | ||||||
| 30,226 | Synchrony Financial | 1,088,438 | ||||||
| 1,900 | T. Rowe Price Group, Inc. | 231,496 | ||||||
| 100 | Tokyo Century Corp. | 5,324 | ||||||
| 200 | Zenkoku Hosho Co. Ltd. | 8,492 | ||||||
|
| |||||||
| 28,934,431 | ||||||||
|
| |||||||
| Energy – 0.6% | ||||||||
| 3,000 | Apache Corp. | 76,770 | ||||||
| 10,300 | Cabot Oil & Gas Corp. | 179,323 | ||||||
| 38,900 | Cairn Energy plc* | 106,420 | ||||||
| 33,330 | Cheniere Energy, Inc.* | 2,035,463 | ||||||
| 11,600 | Chevron Corp. | 1,397,916 | ||||||
| 1,800 | Cimarex Energy Co. | 94,482 | ||||||
| 14,900 | ConocoPhillips | 968,947 | ||||||
| 2,000 | Cosmo Energy Holdings Co. Ltd. | 45,788 | ||||||
| 6,500 | Devon Energy Corp. | 168,805 | ||||||
| 1,832 | Energean Oil & Gas plc* | 22,568 | ||||||
| 6,600 | Eni SpA | 102,506 | ||||||
| 3,071 | EOG Resources, Inc. | 257,227 | ||||||
| 22,600 | HollyFrontier Corp. | 1,146,046 | ||||||
| 15,000 | Hunting plc | 83,607 | ||||||
|
| |||||||
| 26 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Energy – (continued) | ||||||||
| 9,300 | JXTG Holdings, Inc. | $ | 42,209 | |||||
| 400 | Koninklijke Vopak NV | 21,736 | ||||||
| 16,400 | Marathon Petroleum Corp. | 988,100 | ||||||
| 1,700 | Neste OYJ | 59,151 | ||||||
| 27,000 | ONEOK, Inc. | 2,043,090 | ||||||
| 35,900 | Petrofac Ltd. | 183,053 | ||||||
| 4,700 | Phillips 66 | 523,627 | ||||||
| 500 | Pioneer Natural Resources Co. | 75,685 | ||||||
| 156,225 | Premier Oil plc* | 203,211 | ||||||
| 467,501 | Range Resources Corp.(b) | 2,267,380 | ||||||
| 19,614 | Repsol SA | 308,139 | ||||||
| 40,900 | Royal Dutch Shell plc Class A | 1,211,222 | ||||||
| 89,500 | Saipem SpA* | 437,719 | ||||||
| 21,100 | TOTAL SA | 1,170,850 | ||||||
| 204,600 | Tullow Oil plc | 174,028 | ||||||
| 8,400 | Valero Energy Corp. | 786,660 | ||||||
| 106,047 | Williams Cos., Inc. (The) | 2,515,435 | ||||||
|
| |||||||
| 19,697,163 | ||||||||
|
| |||||||
| Food & Staples Retailing – 0.4% | ||||||||
| 4,000 | Aeon Co. Ltd. | 82,546 | ||||||
| 200 | Ain Holdings, Inc. | 12,719 | ||||||
| 22,577 | Carrefour SA | 379,715 | ||||||
| 1,800 | Casino Guichard Perrachon SA(b) | 84,195 | ||||||
| 500 | Colruyt SA | 26,068 | ||||||
| 6,100 | Costco Wholesale Corp. | 1,792,912 | ||||||
| 211,100 | J Sainsbury plc | 643,697 | ||||||
| 21,700 | Jeronimo Martins SGPS SA | 357,601 | ||||||
| 1,500 | Kobe Bussan Co. Ltd. | 51,606 | ||||||
| 14,800 | Koninklijke Ahold Delhaize NV | 371,071 | ||||||
| 34,200 | Kroger Co. (The) | 991,458 | ||||||
| 800 | Lawson, Inc. | 45,410 | ||||||
| 18,600 | METRO AG | 299,296 | ||||||
| 3,500 | Seven & i Holdings Co. Ltd. | 128,294 | ||||||
| 500 | Sugi Holdings Co. Ltd. | 26,377 | ||||||
| 400 | Sundrug Co. Ltd. | 14,473 | ||||||
| 11,800 | Sysco Corp. | 1,009,372 | ||||||
| 91,200 | Tesco plc | 308,223 | ||||||
| 100 | Tsuruha Holdings, Inc. | 12,840 | ||||||
| 99,064 | US Foods Holding Corp.* | 4,149,791 | ||||||
| 13,800 | Walgreens Boots Alliance, Inc. | 813,648 | ||||||
| 30,200 | Walmart, Inc. | 3,588,968 | ||||||
| 300 | Welcia Holdings Co. Ltd. | 19,059 | ||||||
| 173,100 | Wm Morrison Supermarkets plc | 458,118 | ||||||
|
| |||||||
| 15,667,457 | ||||||||
|
| |||||||
| Food, Beverage & Tobacco – 0.4% | ||||||||
| 600 | AG Barr plc | 4,610 | ||||||
| 2,400 | Ajinomoto Co., Inc. | 39,954 | ||||||
| 8,400 | Anheuser-Busch InBev SA/NV | 687,963 | ||||||
| 7,400 | Archer-Daniels-Midland Co. | 342,990 | ||||||
| 1,800 | Asahi Group Holdings Ltd. | 82,117 | ||||||
| 600 | Associated British Foods plc | 20,641 | ||||||
| 600 | Bakkavor Group plc | 1,109 | ||||||
| 16,100 | British American Tobacco plc | 684,284 | ||||||
| 6,000 | Britvic plc | 71,908 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Food, Beverage & Tobacco – (continued) | ||||||||
| 6,300 | Brown-Forman Corp. Class B | 425,880 | ||||||
| 200 | Calbee, Inc. | 6,516 | ||||||
| 11,900 | Campbell Soup Co. | 588,098 | ||||||
| 100 | Coca-Cola Bottlers Japan Holdings, Inc. | 2,555 | ||||||
| 2,200 | Coca-Cola HBC AG* | 74,778 | ||||||
| 22,812 | Conagra Brands, Inc. | 781,083 | ||||||
| 1,600 | Constellation Brands, Inc. Class A | 303,600 | ||||||
| 800 | Cranswick plc | 35,923 | ||||||
| 7,400 | Danone SA | 614,540 | ||||||
| 10,500 | Diageo plc | 442,435 | ||||||
| 44,755 | General Mills, Inc. | 2,397,078 | ||||||
| 4,800 | Glanbia plc | 55,242 | ||||||
| 7,000 | Greencore Group plc | 24,797 | ||||||
| 500 | Heineken Holding NV | 48,596 | ||||||
| 1,500 | Heineken NV | 160,092 | ||||||
| 5,500 | Hershey Co. (The) | 808,390 | ||||||
| 100 | Hilton Food Group plc | 1,468 | ||||||
| 100 | House Foods Group, Inc. | 3,411 | ||||||
| 1,700 | Imperial Brands plc | 42,059 | ||||||
| 5,300 | JM Smucker Co. (The) | 551,889 | ||||||
| 1,400 | Kellogg Co. | 96,824 | ||||||
| 100 | Kikkoman Corp. | 4,895 | ||||||
| 16,600 | Kraft Heinz Co. (The) | 533,358 | ||||||
| 1,000 | Maruha Nichiro Corp. | 25,601 | ||||||
| 1,445 | McCormick & Co., Inc.(Non-Voting) | 245,260 | ||||||
| 800 | Megmilk Snow Brand Co. Ltd. | 18,217 | ||||||
| 13,432 | Molson Coors Brewing Co. Class B | 723,985 | ||||||
| 19,814 | Mondelez International, Inc. Class A | 1,091,355 | ||||||
| 2,800 | Monster Beverage Corp.* | 177,940 | ||||||
| 100 | Morinaga & Co. Ltd. | 4,802 | ||||||
| 200 | Morinaga Milk Industry Co. Ltd. | 8,155 | ||||||
| 700 | NH Foods Ltd. | 28,996 | ||||||
| 800 | Nichirei Corp. | 18,688 | ||||||
| 600 | Nippon Suisan Kaisha Ltd. | 3,583 | ||||||
| 1,900 | PepsiCo, Inc. | 259,673 | ||||||
| 1,300 | Sapporo Holdings Ltd. | 30,709 | ||||||
| 700 | Suntory Beverage & Food Ltd. | 29,224 | ||||||
| 28,100 | Tate & Lyle plc | 283,131 | ||||||
| 200 | Toyo Suisan Kaisha Ltd. | 8,493 | ||||||
| 11,900 | Tyson Foods, Inc. Class A | 1,083,376 | ||||||
| 700 | Yamazaki Baking Co. Ltd. | 12,509 | ||||||
|
| |||||||
| 13,992,780 | ||||||||
|
| |||||||
| Health Care Equipment & Services – 1.4% | ||||||||
| 56,400 | Abbott Laboratories | 4,898,904 | ||||||
| 800 | Alfresa Holdings Corp. | 16,252 | ||||||
| 8,053 | AmerisourceBergen Corp. | 684,666 | ||||||
| 7,200 | Amplifon SpA | 207,211 | ||||||
| 3,207 | Anthem, Inc. | 968,610 | ||||||
| 25,900 | Baxter International, Inc. | 2,165,758 | ||||||
| 34,800 | Boston Scientific Corp.* | 1,573,656 | ||||||
| 8,900 | Cardinal Health, Inc. | 450,162 | ||||||
| 500 | Carl Zeiss Meditec AG | 63,565 | ||||||
| 10,000 | Centene Corp.* | 628,700 | ||||||
| 8,400 | Cerner Corp. | 616,476 | ||||||
|
| |||||||
| The accompanying notes are an integral part of these financial statements. | 27 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments(continued)
December 31, 2019
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Health Care Equipment & Services – (continued) | ||||||||
| 15,000 | Cigna Corp. | $ | 3,067,350 | |||||
| 95,080 | ConvaTec Group plc | 250,225 | ||||||
| 800 | Cooper Cos., Inc. (The) | 257,032 | ||||||
| 37,700 | CVS Health Corp. | 2,800,733 | ||||||
| 32,321 | Danaher Corp. | 4,960,627 | ||||||
| 10,400 | DaVita, Inc.* | 780,312 | ||||||
| 5,900 | Dentsply Sirona, Inc. | 333,881 | ||||||
| 9,900 | DexCom, Inc.* | 2,165,526 | ||||||
| 300 | DiaSorin SpA | 38,852 | ||||||
| 1,600 | Edwards Lifesciences Corp.* | 373,264 | ||||||
| 6,600 | Fresenius Medical Care AG & Co. KGaA | 485,944 | ||||||
| 10,900 | Fresenius SE & Co. KGaA | 613,381 | ||||||
| 18,500 | HCA Healthcare, Inc. | 2,734,485 | ||||||
| 11,300 | Henry Schein, Inc.* | 753,936 | ||||||
| 4,000 | Hologic, Inc.* | 208,840 | ||||||
| 1,400 | Hoya Corp. | 133,647 | ||||||
| 2,200 | IDEXX Laboratories, Inc.* | 574,486 | ||||||
| 3,200 | Koninklijke Philips NV | 156,428 | ||||||
| 4,087 | Laboratory Corp. of America Holdings* | 691,398 | ||||||
| 1,700 | M3, Inc. | 51,264 | ||||||
| 1,400 | Mani, Inc. | 40,022 | ||||||
| 5,800 | McKesson Corp. | 802,256 | ||||||
| 21,972 | Mediclinic International plc | 119,792 | ||||||
| 2,500 | Medipal Holdings Corp. | 55,176 | ||||||
| 45,900 | Medtronic plc | 5,207,355 | ||||||
| 100 | Miraca Holdings, Inc. | 2,449 | ||||||
| 5,100 | Olympus Corp. | 78,605 | ||||||
| 4,700 | Quest Diagnostics, Inc. | 501,913 | ||||||
| 4,200 | ResMed, Inc. | 650,874 | ||||||
| 500 | Ship Healthcare Holdings, Inc. | 23,066 | ||||||
| 5,800 | Smith & Nephew plc | 139,784 | ||||||
| 700 | Terumo Corp. | 24,832 | ||||||
| 800 | Toho Holdings Co. Ltd. | 17,725 | ||||||
| 3,200 | UDG Healthcare plc | 34,213 | ||||||
| 8,000 | UnitedHealth Group, Inc. | 2,351,840 | ||||||
| 15,800 | Universal Health Services, Inc. Class B | 2,266,668 | ||||||
| 17,100 | Zimmer Biomet Holdings, Inc. | 2,559,528 | ||||||
|
| |||||||
| 48,581,669 | ||||||||
|
| |||||||
| Household & Personal Products – 0.1% | ||||||||
| 1,000 | Beiersdorf AG | 119,629 | ||||||
| 3,000 | Church & Dwight Co., Inc. | 211,020 | ||||||
| 22,301 | Coty, Inc. Class A | 250,886 | ||||||
| 500 | Kao Corp. | 41,238 | ||||||
| 4,200 | Kimberly-Clark Corp. | 577,710 | ||||||
| 700 | L’Oreal SA | 206,995 | ||||||
| 300 | Pola Orbis Holdings, Inc. | 7,146 | ||||||
| 22,200 | Procter & Gamble Co. (The) | 2,772,780 | ||||||
| 1,400 | PZ Cussons plc | 3,866 | ||||||
| 100 | Rohto Pharmaceutical Co. Ltd. | 3,026 | ||||||
| 400 | Shiseido Co. Ltd. | 28,404 | ||||||
| 5,200 | Unilever plc | 297,662 | ||||||
|
| |||||||
| 4,520,362 | ||||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Insurance – 0.4% | ||||||||
| 1,400 | Admiral Group plc | 42,782 | ||||||
| 37,100 | Aegon NV | 169,829 | ||||||
| 2,700 | Ageas | 159,658 | ||||||
| 2,600 | Allianz SE (Registered) | 637,072 | ||||||
| 7,100 | Allstate Corp. (The) | 798,395 | ||||||
| 3,900 | American International Group, Inc. | 200,187 | ||||||
| 1,712 | Aon plc | 356,592 | ||||||
| 1,200 | Arthur J Gallagher & Co. | 114,276 | ||||||
| 3,600 | ASR Nederland NV | 134,912 | ||||||
| 23,400 | Assicurazioni Generali SpA | 483,088 | ||||||
| 400 | Assurant, Inc. | 52,432 | ||||||
| 93,900 | Aviva plc | 521,197 | ||||||
| 3,400 | Beazley plc | 25,017 | ||||||
| 6,300 | Cincinnati Financial Corp. | 662,445 | ||||||
| 19,400 | CNP Assurances | 386,548 | ||||||
| 5,400 | Dai-ichi Life Holdings, Inc. | 88,994 | ||||||
| 2,800 | Direct Line Insurance Group plc | 11,585 | ||||||
| 800 | Hannover Rueck SE | 154,252 | ||||||
| 18,400 | Hartford Financial Services Group, Inc. (The) | 1,118,168 | ||||||
| 11,300 | Japan Post Holdings Co. Ltd. | 106,270 | ||||||
| 4,500 | Japan Post Insurance Co. Ltd. | 76,709 | ||||||
| 1,100 | Lancashire Holdings Ltd. | 11,206 | ||||||
| 92,200 | Legal & General Group plc | 370,373 | ||||||
| 10,700 | Lincoln National Corp. | 631,407 | ||||||
| 3,000 | Marsh & McLennan Cos., Inc. | 334,230 | ||||||
| 18,200 | MetLife, Inc. | 927,654 | ||||||
| 600 | MS&AD Insurance Group Holdings, Inc. | 19,805 | ||||||
| 1,300 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) | 383,621 | ||||||
| 7,039 | NN Group NV | 267,643 | ||||||
| 21,900 | Poste Italiane SpA | 248,847 | ||||||
| 12,400 | Principal Financial Group, Inc. | 682,000 | ||||||
| 4,600 | Progressive Corp. (The) | 332,994 | ||||||
| 9,200 | Prudential Financial, Inc. | 862,408 | ||||||
| 3,500 | Prudential plc | 67,062 | ||||||
| 1,000 | Sabre Insurance Group plc | 4,080 | ||||||
| 1,000 | Sampo OYJ Class A | 43,663 | ||||||
| 300 | Sompo Holdings, Inc. | 11,781 | ||||||
| 300 | Sony Financial Holdings, Inc. | 7,201 | ||||||
| 800 | Tokio Marine Holdings, Inc. | 44,791 | ||||||
| 3,100 | Travelers Cos., Inc. (The) | 424,545 | ||||||
| 25,200 | Unum Group | 734,832 | ||||||
| 300 | Willis Towers Watson plc | 60,582 | ||||||
|
| |||||||
| 12,771,133 | ||||||||
|
| |||||||
| Materials – 0.7% | ||||||||
| 3,520 | Air Liquide SA | 499,033 | ||||||
| 2,500 | Air Products & Chemicals, Inc. | 587,475 | ||||||
| 200 | Air Water, Inc. | 2,918 | ||||||
| 4,777 | Akzo Nobel NV | 487,846 | ||||||
| 10,000 | Anglo American plc | 287,279 | ||||||
| 7,000 | Antofagasta plc | 84,754 | ||||||
| 18,800 | ArcelorMittal SA | 331,250 | ||||||
|
| |||||||
| 28 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Materials – (continued) | ||||||||
| 2,100 | Arkema SA | $ | 224,548 | |||||
| 1,000 | Avery Dennison Corp. | 130,820 | ||||||
| 9,100 | Ball Corp. | 588,497 | ||||||
| 5,000 | BHP Group plc | 117,170 | ||||||
| 25,400 | Celanese Corp. | 3,127,248 | ||||||
| 29,100 | Centamin plc | 48,808 | ||||||
| 6,000 | CF Industries Holdings, Inc. | 286,440 | ||||||
| 3,800 | Covestro AG | 176,815 | ||||||
| 19,800 | CRH plc | 796,186 | ||||||
| 600 | Daicel Corp. | 5,736 | ||||||
| 6,500 | Dow, Inc. | 355,745 | ||||||
| 600 | Dowa Holdings Co. Ltd. | 22,273 | ||||||
| 3,466 | DuPont de Nemours, Inc. | 222,517 | ||||||
| 4,785 | Eastman Chemical Co. | 379,259 | ||||||
| 1,900 | Ecolab, Inc. | 366,681 | ||||||
| 6,100 | Essentra plc | 35,181 | ||||||
| 1,700 | Evonik Industries AG | 51,922 | ||||||
| 28,500 | Evraz plc | 152,612 | ||||||
| 99,100 | Ferrexpo plc | 208,523 | ||||||
| 125,300 | Glencore plc* | 390,149 | ||||||
| 127,900 | Graphic Packaging Holding Co. | 2,129,535 | ||||||
| 5,000 | HeidelbergCement AG | 363,325 | ||||||
| 300 | Hill & Smith Holdings plc | 5,853 | ||||||
| 1,600 | Hitachi Chemical Co. Ltd. | 67,033 | ||||||
| 500 | Hitachi Metals Ltd. | 7,360 | ||||||
| 5,100 | Hochschild Mining plc | 12,364 | ||||||
| 800 | Huhtamaki OYJ | 37,133 | ||||||
| 4,100 | Ibstock plc | 17,102 | ||||||
| 8,400 | International Paper Co. | 386,820 | ||||||
| 18,600 | K+S AG (Registered) | 231,629 | ||||||
| 2,000 | Kansai Paint Co. Ltd. | 48,858 | ||||||
| 2,700 | Koninklijke DSM NV | 353,013 | ||||||
| 600 | LANXESS AG | 40,286 | ||||||
| 10,947 | Linde plc | 2,334,125 | ||||||
| 100 | Lintec Corp. | 2,226 | ||||||
| 2,900 | LyondellBasell Industries NV Class A | 273,992 | ||||||
| 3,100 | Marshalls plc | 35,314 | ||||||
| 8,300 | Martin Marietta Materials, Inc. | 2,321,012 | ||||||
| 8,700 | Mitsubishi Chemical Holdings Corp. | 64,825 | ||||||
| 1,900 | Mitsubishi Gas Chemical Co., Inc. | 28,945 | ||||||
| 1,400 | Mitsubishi Materials Corp. | 37,996 | ||||||
| 1,800 | Mitsui Chemicals, Inc. | 43,847 | ||||||
| 1,600 | Mitsui Mining & Smelting Co. Ltd. | 42,431 | ||||||
| 6,800 | Newmont Goldcorp Corp. | 295,460 | ||||||
| 200 | Nippon Kayaku Co. Ltd. | 2,477 | ||||||
| 8,900 | Nippon Light Metal Holdings Co. Ltd. | 19,130 | ||||||
| 1,100 | Nippon Paint Holdings Co. Ltd. | 56,630 | ||||||
| 300 | Nippon Shokubai Co. Ltd. | 18,591 | ||||||
| 200 | Nissan Chemical Corp. | 8,376 | ||||||
| 7,000 | Nucor Corp. | 393,960 | ||||||
| 1,900 | Oji Holdings Corp. | 10,275 | ||||||
| 2,700 | Packaging Corp. of America | 302,373 | ||||||
| 6,500 | Polymetal International plc | 102,798 | ||||||
| 3,400 | PPG Industries, Inc. | 453,866 | ||||||
| 3,100 | Rengo Co. Ltd. | 23,618 | ||||||
| 1,300 | Rhi Magnesita NV | 66,262 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Materials – (continued) | ||||||||
| 1,400 | Rio Tinto plc | 82,873 | ||||||
| 1,600 | Sealed Air Corp. | 63,728 | ||||||
| 4,300 | Sherwin-Williams Co. (The) | 2,509,222 | ||||||
| 700 | Shin-Etsu Chemical Co. Ltd. | 76,981 | ||||||
| 1,200 | Showa Denko KK | 31,627 | ||||||
| 5,400 | Smurfit Kappa Group plc | 208,339 | ||||||
| 2,400 | Solvay SA | 279,343 | ||||||
| 11,900 | Stora Enso OYJ Class R | 173,154 | ||||||
| 5,100 | Sumitomo Chemical Co. Ltd. | 23,157 | ||||||
| 700 | Sumitomo Metal Mining Co. Ltd. | 22,540 | ||||||
| 200 | Sumitomo Osaka Cement Co. Ltd. | 8,712 | ||||||
| 900 | Taiheiyo Cement Corp. | 26,418 | ||||||
| 1,300 | Taiyo Nippon Sanso Corp. | 28,774 | ||||||
| 2,900 | Teijin Ltd. | 54,178 | ||||||
| 1,900 | Tokai Carbon Co. Ltd. | 18,955 | ||||||
| 900 | Tokuyama Corp. | 23,419 | ||||||
| 900 | Tokyo Ohka Kogyo Co. Ltd. | 35,114 | ||||||
| 6,200 | Toray Industries, Inc. | 42,008 | ||||||
| 1,800 | Tosoh Corp. | 27,730 | ||||||
| 1,500 | Ube Industries Ltd. | 32,487 | ||||||
| 6,000 | UPM-Kymmene OYJ | 208,167 | ||||||
| 4,200 | voestalpine AG | 116,490 | ||||||
| 2,500 | Vulcan Materials Co. | 359,975 | ||||||
| 10,500 | WestRock Co. | 450,555 | ||||||
| 1,200 | Wienerberger AG | 35,562 | ||||||
| 900 | Yamato Kogyo Co. Ltd. | 22,535 | ||||||
| 2,000 | Zeon Corp. | 24,889 | ||||||
|
| |||||||
| 25,593,457 | ||||||||
|
| |||||||
| Media & Entertainment – 2.9% | ||||||||
| 100 | 4imprint Group plc | 4,610 | ||||||
| 117,812 | Activision Blizzard, Inc. | 7,000,389 | ||||||
| 10,036 | Alphabet, Inc. Class A* | 13,442,118 | ||||||
| 5,035 | Alphabet, Inc. Class C* | 6,731,896 | ||||||
| 30,800 | Altice Europe NV* | 199,445 | ||||||
| 8,300 | Auto Trader Group plc | 65,546 | ||||||
| 500 | Capcom Co. Ltd. | 13,840 | ||||||
| 1,700 | Charter Communications, Inc. Class A* | 824,636 | ||||||
| 151,360 | Comcast Corp. Class A | 6,806,659 | ||||||
| 3,300 | CTS Eventim AG & Co. KGaA | 207,053 | ||||||
| 26,400 | Electronic Arts, Inc.* | 2,838,264 | ||||||
| 100 | Euromoney Institutional Investor plc | 1,725 | ||||||
| 85,981 | Facebook, Inc. Class A* | 17,647,600 | ||||||
| 28,700 | Fox Corp. Class A | 1,063,909 | ||||||
| 28,500 | Fox Corp. Class B | 1,037,400 | ||||||
| 11,600 | Fuji Media Holdings, Inc. | 164,701 | ||||||
| 2,400 | Future plc | 46,096 | ||||||
| 2,500 | Hakuhodo DY Holdings, Inc. | 40,228 | ||||||
| 57,700 | Interpublic Group of Cos., Inc. (The) | 1,332,870 | ||||||
| 400 | Kakaku.com, Inc. | 10,213 | ||||||
| 5,800 | Lagardere SCA | 126,409 | ||||||
| 15,700 | Liberty Broadband Corp. Class C* | 1,974,275 | ||||||
| 53,500 | Liberty Media Corp.-Liberty SiriusXM Class C* | 2,575,490 | ||||||
|
| |||||||
| The accompanying notes are an integral part of these financial statements. | 29 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments(continued)
December 31, 2019
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Media & Entertainment – (continued) | ||||||||
| 7,300 | Liberty Media Corp-Liberty Formula One Class A* | $ | 319,594 | |||||
| 63,738 | Live Nation Entertainment, Inc.* | 4,555,355 | ||||||
| 5,400 | Netflix, Inc.* | 1,747,278 | ||||||
| 191,900 | News Corp. Class A | 2,713,466 | ||||||
| 8,709 | News Corp. Class B | 126,368 | ||||||
| 2,100 | Nexon Co. Ltd.* | 27,857 | ||||||
| 27,000 | Nexstar Media Group, Inc. Class A | 3,165,750 | ||||||
| 200 | Nintendo Co. Ltd. | 79,992 | ||||||
| 7,500 | Nippon Television Holdings, Inc. | 100,060 | ||||||
| 8,100 | Omnicom Group, Inc. | 656,262 | ||||||
| 1,800 | Pearson plc | 15,207 | ||||||
| 4,700 | ProSiebenSat.1 Media SE | 73,333 | ||||||
| 5,948 | Publicis Groupe SA | 269,691 | ||||||
| 11,000 | Rightmove plc | 92,303 | ||||||
| 30,900 | Roku, Inc.* | 4,137,510 | ||||||
| 400 | RTL Group SA | 19,709 | ||||||
| 400 | Scout24 AG | 26,469 | ||||||
| 300 | Shochiku Co. Ltd. | 45,250 | ||||||
| 46,200 | Sinclair Broadcast Group, Inc. Class A | 1,540,308 | ||||||
| 600 | Square Enix Holdings Co. Ltd. | 29,876 | ||||||
| 31,100 | Take-Two Interactive Software, Inc.* | 3,807,573 | ||||||
| 200 | Telenet Group Holding NV | 8,991 | ||||||
| 800 | Toho Co. Ltd. | 33,338 | ||||||
| 32,095 | TripAdvisor, Inc. | 975,046 | ||||||
| 4,500 | TV Asahi Holdings Corp. | 83,091 | ||||||
| 1,000 | Ubisoft Entertainment SA* | 69,283 | ||||||
| 59,145 | Walt Disney Co. (The) | 8,554,141 | ||||||
| 28,800 | World Wrestling Entertainment, Inc. Class A | 1,868,256 | ||||||
| 1,800 | WPP plc | 25,330 | ||||||
| 51,000 | Zillow Group, Inc. Class A* | 2,332,740 | ||||||
| 332,400 | Zynga, Inc. Class A* | 2,034,288 | ||||||
|
| |||||||
| 103,689,087 | ||||||||
|
| |||||||
| Pharmaceuticals, Biotechnology & Life Sciences – 1.0% | ||||||||
| 12,000 | AbbVie, Inc. | 1,062,480 | ||||||
| 4,500 | Alexion Pharmaceuticals, Inc.* | 486,675 | ||||||
| 800 | Amgen, Inc. | 192,856 | ||||||
| 5,000 | Astellas Pharma, Inc. | 85,350 | ||||||
| 8,500 | Bayer AG (Registered) | 691,021 | ||||||
| 3,700 | Biogen, Inc.* | 1,097,901 | ||||||
| 9,500 | Bio-Rad Laboratories, Inc. Class A* | 3,515,285 | ||||||
| 18,100 | Bristol-Myers Squibb Co. | 1,161,839 | ||||||
| 600 | Chugai Pharmaceutical Co. Ltd. | 55,257 | ||||||
| 1,200 | Daiichi Sankyo Co. Ltd. | 79,253 | ||||||
| 1,600 | Dechra Pharmaceuticals plc | 61,520 | ||||||
| 400 | Eisai Co. Ltd. | 29,930 | ||||||
| 65,000 | Elanco Animal Health, Inc.* | 1,914,250 | ||||||
| 800 | Galapagos NV* | 166,598 | ||||||
| 1,000 | Genus plc | 42,121 | ||||||
| 45,732 | Gilead Sciences, Inc. | 2,971,665 | ||||||
| 57,700 | GlaxoSmithKline plc | 1,355,780 | ||||||
| 7,200 | Hikma Pharmaceuticals plc | 189,880 | ||||||
| 70,900 | Horizon Therapeutics plc* | 2,566,580 | ||||||
| 1,900 | Incyte Corp.* | 165,908 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Pharmaceuticals, Biotechnology & Life Sciences – (continued) | ||||||||
| 100 | Ipsen SA | 8,877 | ||||||
| 21,249 | Johnson & Johnson | 3,099,592 | ||||||
| 200 | Kaken Pharmaceutical Co. Ltd. | 11,035 | ||||||
| 2,000 | Kissei Pharmaceutical Co. Ltd. | 56,820 | ||||||
| 600 | Kyowa Kirin Co. Ltd. | 14,136 | ||||||
| 2,700 | Merck KGaA | 318,313 | ||||||
| 100 | Mettler-Toledo International, Inc.* | 79,328 | ||||||
| 200 | Mochida Pharmaceutical Co. Ltd. | 8,052 | ||||||
| 300 | MorphoSys AG* | 42,438 | ||||||
| 51,566 | Mylan NV* | 1,036,477 | ||||||
| 18,295 | Neurocrine Biosciences, Inc.* | 1,966,530 | ||||||
| 300 | Nippon Shinyaku Co. Ltd. | 25,978 | ||||||
| 1,100 | Orion OYJ Class B | 50,943 | ||||||
| 1,900 | Otsuka Holdings Co. Ltd. | 84,691 | ||||||
| 11,200 | Perrigo Co. plc | 578,592 | ||||||
| 961 | PureTech Health plc* | 4,073 | ||||||
| 1,500 | Recordati SpA | 63,232 | ||||||
| 1,000 | Regeneron Pharmaceuticals, Inc.* | 375,480 | ||||||
| 900 | Sawai Pharmaceutical Co. Ltd. | 57,019 | ||||||
| 1,400 | Shionogi & Co. Ltd. | 86,606 | ||||||
| 3,000 | Sumitomo Dainippon Pharma Co. Ltd. | 58,125 | ||||||
| 300 | Taisho Pharmaceutical Holdings Co. Ltd. | 22,139 | ||||||
| 3,500 | Takeda Pharmaceutical Co. Ltd. | 138,433 | ||||||
| 14,450 | Thermo Fisher Scientific, Inc. | 4,694,372 | ||||||
| 3,800 | UCB SA | 302,383 | ||||||
| 25,227 | Zoetis, Inc. | 3,338,793 | ||||||
|
| |||||||
| 34,414,606 | ||||||||
|
| |||||||
| Real Estate – 0.8% | ||||||||
| 400 | Aedifica SA (REIT) | 50,791 | ||||||
| 2,500 | Alexandria Real Estate Equities, Inc. (REIT) | 403,950 | ||||||
| 3,200 | alstria office REIT-AG (REIT) | 60,123 | ||||||
| 31,647 | American Tower Corp. (REIT) | 7,273,114 | ||||||
| 5,200 | Apartment Investment & Management Co. Class A (REIT) | 268,580 | ||||||
| 2,400 | Aroundtown SA | 21,556 | ||||||
| 27,828 | Assura plc (REIT) | 28,678 | ||||||
| 1,600 | AvalonBay Communities, Inc. (REIT) | 335,520 | ||||||
| 1,700 | Big Yellow Group plc (REIT) | 27,000 | ||||||
| 500 | CLS Holdings plc | 1,997 | ||||||
| 200 | Cofinimmo SA (REIT) | 29,389 | ||||||
| 900 | Covivio (REIT) | 102,213 | ||||||
| 22,000 | Crown Castle International Corp. (REIT) | 3,127,300 | ||||||
| 1,300 | Derwent London plc (REIT) | 69,051 | ||||||
| 1,400 | Digital Realty Trust, Inc. (REIT) | 167,636 | ||||||
| 7,000 | Duke Realty Corp. (REIT) | 242,690 | ||||||
| 7,090 | Equinix, Inc. (REIT) | 4,138,433 | ||||||
| 7,800 | Equity Residential (REIT) | 631,176 | ||||||
| 2,000 | Essex Property Trust, Inc. (REIT) | 601,720 | ||||||
| 3,500 | Extra Space Storage, Inc. (REIT) | 369,670 | ||||||
| 200 | Federal Realty Investment Trust (REIT) | 25,746 | ||||||
| 5,800 | GCP Student Living plc (REIT) | 15,228 | ||||||
| 300 | Gecina SA (REIT) | 53,707 | ||||||
|
| |||||||
| 30 | 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) | ||||||||
| 4,800 | Grainger plc | $ | 19,914 | |||||
| 3,300 | Great Portland Estates plc (REIT) | 37,592 | ||||||
| 12,400 | Healthpeak Properties, Inc. (REIT) | 427,428 | ||||||
| 9,900 | Host Hotels & Resorts, Inc. (REIT) | 183,645 | ||||||
| 17,900 | Howard Hughes Corp. (The)* | 2,269,720 | ||||||
| 800 | Hulic Co. Ltd. | 9,632 | ||||||
| 600 | ICADE (REIT) | 65,317 | ||||||
| 700 | IMMOFINANZ AG* | 18,754 | ||||||
| 7,600 | Inmobiliaria Colonial SOCIMI SA (REIT) | 97,001 | ||||||
| 19,200 | IWG plc | 111,192 | ||||||
| 22,400 | Kimco Realty Corp. (REIT) | 463,904 | ||||||
| 1,900 | Kojamo OYJ | 34,526 | ||||||
| 3,600 | Land Securities Group plc (REIT) | 47,255 | ||||||
| 12,827 | LondonMetric Property plc (REIT) | 40,200 | ||||||
| 4,300 | Merlin Properties Socimi SA (REIT) | 61,805 | ||||||
| 4,900 | Mid-America Apartment Communities, Inc. (REIT) | 646,114 | ||||||
| 3,200 | Mitsubishi Estate Co. Ltd. | 61,232 | ||||||
| 3,100 | Nomura Real Estate Holdings, Inc. | 74,354 | ||||||
| 1,300 | Open House Co. Ltd. | 37,170 | ||||||
| 14,220 | Primary Health Properties plc (REIT) | 30,137 | ||||||
| 6,300 | Prologis, Inc. (REIT) | 561,582 | ||||||
| 800 | Public Storage (REIT) | 170,368 | ||||||
| 5,600 | Realty Income Corp. (REIT) | 412,328 | ||||||
| 2,900 | Safestore Holdings plc (REIT) | 30,961 | ||||||
| 1,600 | Savills plc | 24,055 | ||||||
| 11,056 | SBA Communications Corp. (REIT) | 2,664,385 | ||||||
| 10,533 | Segro plc (REIT) | 125,421 | ||||||
| 700 | Simon Property Group, Inc. (REIT) | 104,272 | ||||||
| 3,800 | Sirius Real Estate Ltd. | 4,455 | ||||||
| 1,100 | St Modwen Properties plc | 7,242 | ||||||
| 400 | Sumitomo Realty & Development Co. Ltd. | 13,956 | ||||||
| 3,000 | Tokyo Tatemono Co. Ltd. | 46,826 | ||||||
| 5,200 | Tokyu Fudosan Holdings Corp. | 35,908 | ||||||
| 22,100 | Tritax Big Box REIT plc (REIT) | 43,611 | ||||||
| 7,400 | UDR, Inc. (REIT) | 345,580 | ||||||
| 4,537 | UNITE Group plc (The) (REIT) | 75,722 | ||||||
| 3,600 | Ventas, Inc. (REIT) | 207,864 | ||||||
| 2,000 | Vonovia SE | 107,419 | ||||||
| 400 | Warehouses De Pauw CVA (REIT) | 72,776 | ||||||
| 6,900 | Welltower, Inc. (REIT) | 564,282 | ||||||
| 4,300 | Weyerhaeuser Co. (REIT) | 129,860 | ||||||
| 300 | Workspace Group plc (REIT) | 4,721 | ||||||
|
| |||||||
| 28,535,754 | ||||||||
|
| |||||||
| Retailing – 1.7% | ||||||||
| 200 | ABC-Mart, Inc. | 13,652 | ||||||
| 1,700 | Advance Auto Parts, Inc. | 272,272 | ||||||
| 7,876 | Amazon.com, Inc.* | 14,553,588 | ||||||
| 400 | AutoZone, Inc.* | 476,524 | ||||||
| 7,300 | B&M European Value Retail SA | 39,611 | ||||||
| 2,800 | Best Buy Co., Inc. | 245,840 | ||||||
| 1,600 | Booking Holdings, Inc.* | 3,285,968 | ||||||
| 22,413 | CarMax, Inc.* | 1,964,948 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Retailing – (continued) | ||||||||
| 91,600 | Carvana Co.* | 8,431,780 | ||||||
| 8,200 | Dixons Carphone plc | 15,663 | ||||||
| 5,500 | Dollar General Corp. | 857,890 | ||||||
| 24,760 | Dollar Tree, Inc.* | 2,328,678 | ||||||
| 4,300 | Dunelm Group plc | 65,844 | ||||||
| 18,938 | eBay, Inc. | 683,851 | ||||||
| 56,300 | Etsy, Inc.* | 2,494,090 | ||||||
| 3,100 | Expedia Group, Inc. | 335,234 | ||||||
| 100 | Fast Retailing Co. Ltd. | 59,407 | ||||||
| 59,700 | Floor & Decor Holdings, Inc. Class A* | 3,033,357 | ||||||
| 8,900 | Frasers Group plc* | 54,064 | ||||||
| 6,030 | Gap, Inc. (The) | 106,610 | ||||||
| 800 | Genuine Parts Co. | 84,984 | ||||||
| 200 | H2O Retailing Corp. | 2,236 | ||||||
| 100 | Hikari Tsushin, Inc. | 25,130 | ||||||
| 25,750 | Home Depot, Inc. (The) | 5,623,285 | ||||||
| 9,400 | Inchcape plc | 87,906 | ||||||
| 5,000 | Industria de Diseno Textil SA | 176,703 | ||||||
| 400 | Isetan Mitsukoshi Holdings Ltd. | 3,592 | ||||||
| 400 | Izumi Co. Ltd. | 14,407 | ||||||
| 4,900 | J Front Retailing Co. Ltd. | 68,342 | ||||||
| 13,200 | JD Sports Fashion plc | 146,620 | ||||||
| 13,900 | Kingfisher plc | 40,014 | ||||||
| 7,300 | Kohl’s Corp. | 371,935 | ||||||
| 2,300 | K’s Holdings Corp. | 30,070 | ||||||
| 11,300 | L Brands, Inc. | 204,756 | ||||||
| 9,372 | LKQ Corp.* | 334,580 | ||||||
| 18,700 | Lowe’s Cos., Inc. | 2,239,512 | ||||||
| 23,100 | Macy’s, Inc. | 392,700 | ||||||
| 24,100 | Marks & Spencer Group plc | 68,335 | ||||||
| 11,700 | Moneysupermarket.com Group plc | 51,361 | ||||||
| 900 | Next plc | 83,864 | ||||||
| 100 | Nitori Holdings Co. Ltd. | 15,785 | ||||||
| 9,900 | Nordstrom, Inc. | 405,207 | ||||||
| 6,900 | Ocado Group plc* | 117,072 | ||||||
| 3,900 | O’Reilly Automotive, Inc.* | 1,709,214 | ||||||
| 2,800 | Pan Pacific International Holdings Corp. | 46,456 | ||||||
| 8,000 | Pets at Home Group plc | 29,629 | ||||||
| 6,000 | Rakuten, Inc. | 51,259 | ||||||
| 3,277 | Ross Stores, Inc. | 381,508 | ||||||
| 100 | Sanrio Co. Ltd. | 1,964 | ||||||
| 200 | Shimamura Co. Ltd. | 15,205 | ||||||
| 500 | Takashimaya Co. Ltd. | 5,609 | ||||||
| 22,500 | Target Corp. | 2,884,725 | ||||||
| 1,500 | Tractor Supply Co. | 140,160 | ||||||
| 900 | Ulta Beauty, Inc.* | 227,826 | ||||||
| 145,900 | Urban Outfitters, Inc.* | 4,051,643 | ||||||
| 1,100 | USS Co. Ltd. | 20,794 | ||||||
| 1,000 | WH Smith plc | 34,464 | ||||||
| 15,400 | Yamada Denki Co. Ltd. | 81,713 | ||||||
| 1,000 | Zalando SE* | 50,430 | ||||||
|
| |||||||
| 59,639,866 | ||||||||
|
| |||||||
| The accompanying notes are an integral part of these financial statements. | 31 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments(continued)
December 31, 2019
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Semiconductors & Semiconductor Equipment – 0.8% | ||||||||
| 1,000 | Advantest Corp. | $ | 56,398 | |||||
| 20,700 | Analog Devices, Inc. | 2,459,988 | ||||||
| 10,900 | Applied Materials, Inc. | 665,336 | ||||||
| 3,800 | ASM International NV | 428,915 | ||||||
| 2,200 | ASML Holding NV | 651,324 | ||||||
| 2,701 | Broadcom, Inc. | 853,570 | ||||||
| 8,200 | Dialog Semiconductor plc* | 416,455 | ||||||
| 200 | Disco Corp. | 46,965 | ||||||
| 99,400 | Entegris, Inc. | 4,978,946 | ||||||
| 7,700 | Infineon Technologies AG | 173,977 | ||||||
| 27,700 | Intel Corp. | 1,657,845 | ||||||
| 12,347 | Lam Research Corp. | 3,610,263 | ||||||
| 1,200 | Lasertec Corp. | 60,858 | ||||||
| 1,600 | Maxim Integrated Products, Inc. | 98,416 | ||||||
| 7,400 | Microchip Technology, Inc. | 774,928 | ||||||
| 95,118 | Micron Technology, Inc.* | 5,115,446 | ||||||
| 11,990 | NVIDIA Corp. | 2,821,247 | ||||||
| 7,600 | Qorvo, Inc.* | 883,348 | ||||||
| 17,259 | QUALCOMM, Inc. | 1,522,762 | ||||||
| 16,300 | Renesas Electronics Corp.* | 111,361 | ||||||
| 100 | Rohm Co. Ltd. | 7,979 | ||||||
| 400 | SCREEN Holdings Co. Ltd. | 27,279 | ||||||
| 4,600 | Skyworks Solutions, Inc. | 556,048 | ||||||
| 20,500 | STMicroelectronics NV | 553,353 | ||||||
| 300 | SUMCO Corp. | 4,971 | ||||||
| 5,400 | Texas Instruments, Inc. | 692,766 | ||||||
| 500 | Tokyo Electron Ltd. | 109,165 | ||||||
| 500 | Ulvac, Inc. | 19,732 | ||||||
|
| |||||||
| 29,359,641 | ||||||||
|
| |||||||
| Software & Services – 3.4% | ||||||||
| 6,200 | Accenture plc Class A | 1,305,534 | ||||||
| 6,800 | Adobe, Inc.* | 2,242,708 | ||||||
| 6,700 | Akamai Technologies, Inc.* | 578,746 | ||||||
| 8,900 | Alliance Data Systems Corp. | 998,580 | ||||||
| 1,100 | Alten SA | 139,088 | ||||||
| 3,700 | Amadeus IT Group SA | 303,018 | ||||||
| 3,200 | ANSYS, Inc.* | 823,712 | ||||||
| 2,004 | Atos SE | 167,460 | ||||||
| 16,100 | Avast plc | 96,754 | ||||||
| 1,300 | AVEVA Group plc | 80,200 | ||||||
| 900 | Bechtle AG | 125,667 | ||||||
| 4,200 | Broadridge Financial Solutions, Inc. | 518,868 | ||||||
| 8,700 | Cadence Design Systems, Inc.* | 603,432 | ||||||
| 2,500 | Capgemini SE | 305,762 | ||||||
| 2,200 | Citrix Systems, Inc. | 243,980 | ||||||
| 13,300 | Cognizant Technology Solutions Corp. Class A | 824,866 | ||||||
| 400 | Computacenter plc | 9,394 | ||||||
| 23,300 | Coupa Software, Inc.* | 3,407,625 | ||||||
| 1,000 | Dassault Systemes SE | 164,925 | ||||||
| 26,800 | DXC Technology Co. | 1,007,412 | ||||||
| 7,700 | Equiniti Group plc | 21,052 | ||||||
| 10,200 | Euronet Worldwide, Inc.* | 1,607,112 | ||||||
| 22,900 | Fidelity National Information Services, Inc. | 3,185,161 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Software & Services – (continued) | ||||||||
| 185,900 | FireEye, Inc.* | 3,072,927 | ||||||
| 2,300 | Fiserv, Inc.* | 265,949 | ||||||
| 1,600 | FleetCor Technologies, Inc.* | 460,352 | ||||||
| 1,340 | Fujitsu Ltd. | 126,035 | ||||||
| 52,576 | Genpact Ltd. | 2,217,130 | ||||||
| 5,600 | Global Payments, Inc. | 1,022,336 | ||||||
| 300 | GMO Payment Gateway, Inc. | 20,544 | ||||||
| 400 | Infomart Corp. | 3,610 | ||||||
| 12,900 | International Business Machines Corp. | 1,729,116 | ||||||
| 2,407 | Intuit, Inc. | 630,466 | ||||||
| 1,500 | Itochu Techno-Solutions Corp. | 42,243 | ||||||
| 1,494 | Kainos Group plc | 14,684 | ||||||
| 10,700 | Leidos Holdings, Inc. | 1,047,423 | ||||||
| 31,652 | Mastercard, Inc. Class A | 9,450,971 | ||||||
| 2,396 | Micro Focus International plc | 33,629 | ||||||
| 141,021 | Microsoft Corp. | 22,239,012 | ||||||
| 1,800 | NET One Systems Co. Ltd. | 45,958 | ||||||
| 31,800 | New Relic, Inc.* | 2,089,578 | ||||||
| 17,400 | Nexi SpA* | 241,713 | ||||||
| 1,500 | Nihon Unisys Ltd. | 47,054 | ||||||
| 2,100 | Nomura Research Institute Ltd. | 44,911 | ||||||
| 33,927 | NortonLifeLock, Inc. | 865,817 | ||||||
| 5,800 | NTT Data Corp. | 77,569 | ||||||
| 122,924 | Nuance Communications, Inc.* | 2,191,735 | ||||||
| 300 | Obic Co. Ltd. | 40,410 | ||||||
| 13,800 | Okta, Inc.* | 1,592,106 | ||||||
| 16,162 | Oracle Corp. | 867,597 | ||||||
| 500 | Otsuka Corp. | 19,967 | ||||||
| 22,644 | Palo Alto Networks, Inc.* | 5,236,425 | ||||||
| 3,200 | Paychex, Inc. | 272,192 | ||||||
| 101,263 | PayPal Holdings, Inc.* | 10,953,619 | ||||||
| 26,000 | Pegasystems, Inc. | 2,070,900 | ||||||
| 23,400 | Proofpoint, Inc.* | 2,685,852 | ||||||
| 13,400 | Sage Group plc (The) | 132,937 | ||||||
| 32,857 | salesforce.com, Inc.* | 5,343,862 | ||||||
| 2,300 | SAP SE | 309,576 | ||||||
| 200 | SCSK Corp. | 10,371 | ||||||
| 9,776 | ServiceNow, Inc.* | 2,759,960 | ||||||
| 4,200 | Softcat plc | 64,174 | ||||||
| 8,300 | Sophos Group plc | 61,291 | ||||||
| 1,500 | Sopra Steria Group | 242,269 | ||||||
| 17,500 | Splunk, Inc.* | 2,620,975 | ||||||
| 20,700 | Synopsys, Inc.* | 2,881,440 | ||||||
| 1,100 | TIS, Inc. | 65,024 | ||||||
| 12,700 | Trade Desk, Inc. (The) Class A* | 3,299,206 | ||||||
| 100 | Trend Micro, Inc. | 5,117 | ||||||
| 14,900 | Twilio, Inc. Class A* | 1,464,372 | ||||||
| 6,300 | Tyler Technologies, Inc.* | 1,890,126 | ||||||
| 2,834 | VeriSign, Inc.* | 546,055 | ||||||
| 36,394 | Visa, Inc. Class A | 6,838,433 | ||||||
| 33,700 | Western Union Co. (The) | 902,486 | ||||||
| 1,620 | Worldline SA* | 114,843 | ||||||
| 26,600 | Zendesk, Inc.* | 2,038,358 | ||||||
|
| |||||||
| 122,071,761 | ||||||||
|
| |||||||
| 32 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Technology Hardware & Equipment – 1.3% | ||||||||
| 3,500 | Alps Alpine Co. Ltd. | $ | 79,448 | |||||
| 700 | Amano Corp. | 21,330 | ||||||
| 600 | Anritsu Corp. | 11,876 | ||||||
| 71,719 | Apple, Inc. | 21,060,284 | ||||||
| 2,900 | Arista Networks, Inc.* | 589,860 | ||||||
| 400 | Azbil Corp. | 11,266 | ||||||
| 3,500 | Brother Industries Ltd. | 72,286 | ||||||
| 6,300 | CDW Corp. | 899,892 | ||||||
| 30,926 | Cisco Systems, Inc. | 1,483,211 | ||||||
| 1,200 | Citizen Watch Co. Ltd. | 6,535 | ||||||
| 40,300 | Dell Technologies, Inc. Class C* | 2,071,017 | ||||||
| 7,202 | F5 Networks, Inc.* | 1,005,759 | ||||||
| 5,492 | FLIR Systems, Inc. | 285,968 | ||||||
| 2,700 | FUJIFILM Holdings Corp. | 128,941 | ||||||
| 3,800 | Halma plc | 106,410 | ||||||
| 37,800 | Hewlett Packard Enterprise Co. | 599,508 | ||||||
| 200 | Hirose Electric Co. Ltd. | 25,566 | ||||||
| 1,200 | Hitachi High-Technologies Corp. | 84,983 | ||||||
| 5,520 | Hitachi Ltd. | 232,921 | ||||||
| 500 | Horiba Ltd. | 33,337 | ||||||
| 49,000 | HP, Inc. | 1,006,950 | ||||||
| 1,800 | Ibiden Co. Ltd. | 42,854 | ||||||
| 3,400 | Ingenico Group SA | 369,846 | ||||||
| 34,487 | Juniper Networks, Inc. | 849,415 | ||||||
| 100 | Keyence Corp. | 35,114 | ||||||
| 7,500 | Keysight Technologies, Inc.* | 769,725 | ||||||
| 5,700 | Konica Minolta, Inc. | 37,130 | ||||||
| 1,500 | Kyocera Corp. | 102,234 | ||||||
| 5,014 | Motorola Solutions, Inc. | 807,956 | ||||||
| 800 | Murata Manufacturing Co. Ltd. | 49,239 | ||||||
| 119,100 | NCR Corp.* | 4,187,556 | ||||||
| 4,021 | NetApp, Inc. | 250,307 | ||||||
| 3,300 | Nippon Electric Glass Co. Ltd. | 73,260 | ||||||
| 105,400 | Nokia OYJ | 389,861 | ||||||
| 1,200 | Omron Corp. | 69,946 | ||||||
| 600 | Oxford Instruments plc | 12,239 | ||||||
| 100 | Renishaw plc | 5,001 | ||||||
| 4,600 | Ricoh Co. Ltd. | 50,055 | ||||||
| 8,400 | Seagate Technology plc | 499,800 | ||||||
| 8,100 | Spirent Communications plc | 26,984 | ||||||
| 900 | Taiyo Yuden Co. Ltd. | 27,452 | ||||||
| 200 | TDK Corp. | 22,476 | ||||||
| 8,200 | TE Connectivity Ltd. | 785,888 | ||||||
| 1,700 | Topcon Corp. | 21,973 | ||||||
| 26,900 | ViaSat, Inc.* | 1,968,946 | ||||||
| 4,400 | Western Digital Corp. | 279,268 | ||||||
| 500 | Yaskawa Electric Corp. | 18,836 | ||||||
| 14,289 | Zebra Technologies Corp. Class A* | 3,649,982 | ||||||
|
| |||||||
| 45,220,691 | ||||||||
|
| |||||||
| Telecommunication Services – 0.4% | ||||||||
| 4,200 | Airtel Africa plc | 4,487 | ||||||
| 139,800 | AT&T, Inc. | 5,463,384 | ||||||
| 7,100 | Cellnex Telecom SA | 306,263 | ||||||
| 90,909 | CenturyLink, Inc. | 1,200,908 | ||||||
| 29,300 | Deutsche Telekom AG (Registered) | 478,826 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Telecommunication Services – (continued) | ||||||||
| 2,100 | Elisa OYJ | 116,012 | ||||||
| 5,700 | KDDI Corp. | 170,067 | ||||||
| 34,600 | Koninklijke KPN NV | 102,395 | ||||||
| 7,600 | Nippon Telegraph & Telephone Corp. | 192,080 | ||||||
| 2,300 | NTT DOCOMO, Inc. | 64,069 | ||||||
| 2,200 | Proximus SADP | 63,038 | ||||||
| 2,000 | TalkTalk Telecom Group plc | 3,078 | ||||||
| 458,200 | Telecom Italia SpA* | 286,150 | ||||||
| 6,000 | Telefonica Deutschland Holding AG | 17,391 | ||||||
| 43,700 | Telefonica SA | 305,599 | ||||||
| 48,425 | Verizon Communications, Inc. | 2,973,295 | ||||||
| 405,100 | Vodafone Group plc | 786,451 | ||||||
|
| |||||||
| 12,533,493 | ||||||||
|
| |||||||
| Transportation – 0.3% | ||||||||
| 2,100 | Abertis Infraestructuras SA*,(c) | 40,987 | ||||||
| 1,200 | Aena SME SA | 230,062 | ||||||
| 20,200 | Air France-KLM* | 224,861 | ||||||
| 7,800 | Alaska Air Group, Inc. | 528,450 | ||||||
| 12,100 | Atlantia SpA | 282,401 | ||||||
| 49,127 | Bollore SA | 214,681 | ||||||
| 500 | Central Japan Railway Co. | 100,534 | ||||||
| 7,800 | CH Robinson Worldwide, Inc. | 609,960 | ||||||
| 200 | Clarkson plc | 8,047 | ||||||
| 6,200 | CSX Corp. | 448,632 | ||||||
| 58,353 | Delta Air Lines, Inc. | 3,412,483 | ||||||
| 6,300 | Deutsche Lufthansa AG (Registered) | 115,965 | ||||||
| 2,600 | Deutsche Post AG (Registered) | 98,863 | ||||||
| 5,400 | Expeditors International of Washington, Inc. | 421,308 | ||||||
| 32,900 | Firstgroup plc* | 54,649 | ||||||
| 1,400 | Fraport AG Frankfurt Airport Services Worldwide | 118,839 | ||||||
| 10,900 | Getlink SE | 190,040 | ||||||
| 800 | Go-Ahead Group plc (The) | 23,443 | ||||||
| 1,100 | Hankyu Hanshin Holdings, Inc. | 47,053 | ||||||
| 500 | Japan Airlines Co. Ltd. | 15,568 | ||||||
| 200 | Japan Airport Terminal Co. Ltd. | 11,097 | ||||||
| 900 | JB Hunt Transport Services, Inc. | 105,102 | ||||||
| 1,300 | Kamigumi Co. Ltd. | 28,576 | ||||||
| 2,500 | Kansas City Southern | 382,900 | ||||||
| 1,500 | Keikyu Corp. | 28,918 | ||||||
| 1,000 | Keisei Electric Railway Co. Ltd. | 38,749 | ||||||
| 900 | Kintetsu Group Holdings Co. Ltd. | 48,816 | ||||||
| 800 | Mitsui OSK Lines Ltd. | 22,000 | ||||||
| 700 | Nagoya Railroad Co. Ltd. | 21,737 | ||||||
| 5,300 | National Express Group plc | 33,034 | ||||||
| 200 | Nippon Yusen KK | 3,605 | ||||||
| 15,700 | Royal Mail plc | 47,217 | ||||||
| 500 | Sankyu, Inc. | 25,126 | ||||||
| 800 | Seino Holdings Co. Ltd. | 10,808 | ||||||
| 200 | SG Holdings Co. Ltd. | 4,505 | ||||||
| 23,520 | Signature Aviation plc | 98,881 | ||||||
| 12,400 | Southwest Airlines Co. | 669,352 | ||||||
| 600 | Tobu Railway Co. Ltd. | 21,721 | ||||||
| 15,000 | Union Pacific Corp. | 2,711,850 | ||||||
|
| |||||||
| The accompanying notes are an integral part of these financial statements. | 33 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments(continued)
December 31, 2019
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Transportation – (continued) | ||||||||
| 7,500 | United Airlines Holdings, Inc.* | $ | 660,675 | |||||
| 500 | West Japan Railway Co. | 43,247 | ||||||
| 2,600 | Wizz Air Holdings plc* | 134,396 | ||||||
| 1,500 | Yamato Holdings Co. Ltd. | 25,574 | ||||||
|
| |||||||
| 12,364,712 | ||||||||
|
| |||||||
| Utilities – 0.8% | ||||||||
| 125,300 | A2A SpA | 235,294 | ||||||
| 17,513 | AES Corp. | 348,509 | ||||||
| 5,600 | Alliant Energy Corp. | 306,432 | ||||||
| 2,600 | Ameren Corp. | 199,680 | ||||||
| 7,000 | American Electric Power Co., Inc. | 661,570 | ||||||
| 27,652 | American Water Works Co., Inc. | 3,397,048 | ||||||
| 1,800 | Atmos Energy Corp. | 201,348 | ||||||
| 14,500 | CenterPoint Energy, Inc. | 395,415 | ||||||
| 167,900 | Centrica plc | 198,604 | ||||||
| 9,640 | CMS Energy Corp. | 605,778 | ||||||
| 10,500 | Consolidated Edison, Inc. | 949,935 | ||||||
| 5,105 | ContourGlobal plc | 14,200 | ||||||
| 4,200 | Dominion Energy, Inc. | 347,844 | ||||||
| 15,600 | Drax Group plc | 64,884 | ||||||
| 2,500 | DTE Energy Co. | 324,675 | ||||||
| 7,300 | Duke Energy Corp. | 665,833 | ||||||
| 6,100 | Edison International | 460,001 | ||||||
| 67,000 | EDP – Energias de Portugal SA | 290,740 | ||||||
| 400 | Electric Power Development Co. Ltd. | 9,709 | ||||||
| 6,195 | Electricite de France SA | 69,126 | ||||||
| 300 | Elia System Operator SA/NV | 26,618 | ||||||
| 4,600 | Endesa SA | 122,842 | ||||||
| 79,900 | Enel SpA | 634,712 | ||||||
| 15,000 | Engie SA | 242,975 | ||||||
| 7,045 | Entergy Corp. | 843,991 | ||||||
| 12,000 | Evergy, Inc. | 781,080 | ||||||
| 8,200 | Eversource Energy | 697,574 | ||||||
| 12,800 | Exelon Corp. | 583,552 | ||||||
| 13,312 | FirstEnergy Corp. | 646,963 | ||||||
| 1,900 | Fortum OYJ | 46,899 | ||||||
| 25,700 | Hera SpA | 112,567 | ||||||
| 83,400 | Iberdrola SA | 859,484 | ||||||
| 27,600 | Italgas SpA | 168,738 | ||||||
| 11,300 | NextEra Energy, Inc. | 2,736,408 | ||||||
| 10,300 | NiSource, Inc. | 286,752 | ||||||
| 11,898 | NRG Energy, Inc. | 472,946 | ||||||
| 1,900 | Osaka Gas Co. Ltd. | 36,334 | ||||||
| 6,300 | Pennon Group plc | 85,451 | ||||||
| 3,500 | Pinnacle West Capital Corp. | 314,755 | ||||||
| 2,600 | PPL Corp. | 93,288 | ||||||
| 8,300 | Public Service Enterprise Group, Inc. | 490,115 | ||||||
| 8,800 | RWE AG | 269,649 | ||||||
| 4,200 | Sempra Energy | 636,216 | ||||||
| 2,600 | Severn Trent plc | 86,616 | ||||||
| 4,100 | Shikoku Electric Power Co., Inc. | 40,499 | ||||||
| 48,200 | Snam SpA | 253,426 | ||||||
| 12,500 | Southern Co. (The) | 796,250 | ||||||
| 9,300 | SSE plc | 177,372 | ||||||
| 10,200 | Suez | 154,563 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Utilities – (continued) | ||||||||
| 100 | Telecom Plus plc | 1,992 | ||||||
| 19,500 | Terna Rete Elettrica Nazionale SpA | 130,414 | ||||||
| 400 | Tohoku Electric Power Co., Inc. | 3,965 | ||||||
| 2,400 | Tokyo Gas Co. Ltd. | 58,317 | ||||||
| 14,100 | United Utilities Group plc | 176,446 | ||||||
| 13,200 | Veolia Environnement SA | 351,230 | ||||||
| 400 | Verbund AG Class A | 20,074 | ||||||
| 113,648 | Vistra Energy Corp. | 2,612,768 | ||||||
| 8,300 | WEC Energy Group, Inc. | 765,509 | ||||||
| 8,807 | Xcel Energy, Inc. | 559,156 | ||||||
|
| |||||||
| 27,125,131 | ||||||||
|
| |||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $641,127,637) | $ | 793,537,852 | ||||||
|
| |||||||
| Closed End Fund – 0.0% | ||||||||
| 2,500 | UK Commercial Property REIT Ltd. (REIT) | $ | 2,941 | |||||
| (Cost $2,787) | ||||||||
|
| |||||||
| Exchange Traded Funds – 7.5% | ||||||||
| 60,856 | Energy Select Sector SPDR Fund | $ | 3,653,794 | |||||
| 198,583 | Health Care Select Sector SPDR Fund(b) | 20,227,665 | ||||||
| 68,986 | Invesco Emerging Markets Sovereign Debt ETF(b) | 2,040,606 | ||||||
| 2,352,972 | Invesco Senior Loan ETF(b) | 53,694,821 | ||||||
| 150,568 | SPDR Bloomberg Barclays Convertible Securities ETF | 8,356,524 | ||||||
| 168,414 | SPDR Dow Jones International Real Estate ETF | 6,532,779 | ||||||
| 54,112 | SPDR Dow Jones REIT ETF | 5,520,506 | ||||||
| 3,755,221 | Vanguard FTSE Emerging Markets ETF | 166,994,678 | ||||||
|
| |||||||
| TOTAL EXCHANGE TRADED FUNDS | ||||||||
| (Cost $243,897,149) | $ | 267,021,373 | ||||||
|
| |||||||
| Shares | Dividend Rate | Value | ||||||
| Investment Company(d)– 65.8% | ||||||||
| | Goldman Sachs Financial Square Government Fund – | | ||||||
| 2,337,246,531 | 1.638% | $ | 2,337,246,531 | |||||
| (Cost $2,337,246,531) | ||||||||
|
| |||||||
| | TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | | ||||||
| (Cost $3,222,274,104) | $ | 3,397,808,697 | ||||||
|
| |||||||
| 34 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
| Shares | Dividend Rate | Value | ||||||
| Securities Lending Reinvestment Vehicle(d)– 0.8% | ||||||||
| | Goldman Sachs Financial Square Government Fund – | | ||||||
| 29,148,415 | 1.638% | $ | 29,148,415 | |||||
| (Cost $29,148,415) | ||||||||
|
| |||||||
| TOTAL INVESTMENTS – 96.5% | ||||||||
| (Cost $3,251,422,519) | $ | 3,426,957,112 | ||||||
|
| |||||||
| | OTHER ASSETS IN EXCESS OF LIABILITIES – 3.5% | 124,200,177 | ||||||
|
| |||||||
| NET ASSETS – 100.0% | $ | 3,551,157,289 | ||||||
|
| |||||||
| 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) | Significant unobservable inputs were used in the valuation of this portfolio security; i.e., Level 3. | |
(d) | Represents an Affiliated Issuer. | |
| ||
Investment Abbreviations: | ||
CVA | —Dutch Certification | |
EURIBOR | —Euro Interbank Offered Rate | |
REIT | —Real Estate Investment Trust | |
SPDR | —Standard and Poor’s Depositary Receipts | |
Currency Abbreviations: | ||
AUD | —Australian Dollar | |
CHF | —Swiss Franc | |
EUR | —Euro | |
GBP | —British Pound | |
HUF | —Hungarian Forint | |
IDR | —Indonesian Rupiah | |
ILS | —Israel New Shekel | |
JPY | —Japanese Yen | |
MXN | —Mexican Peso | |
NOK | —Norwegian Krone | |
PHP | —Philippines Peso | |
RUB | —Russian Ruble | |
TWD | —Taiwan Dollar | |
USD | —United States Dollar | |
ZAR | —South African Rand | |
| ||
| ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At December 31, 2019, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Gain | ||||||||||||||||
JPMorgan Chase Bank NA | IDR | 160,957,360,000 | USD | 11,389,567 | 01/02/2020 | $ | 204,696 | |||||||||||||
| IDR | 187,209,190,000 | USD | 13,366,444 | 01/30/2020 | 136,394 | |||||||||||||||
| ILS | 14,120,000 | USD | 4,067,758 | 01/24/2020 | 25,374 | |||||||||||||||
| MXN | 182,650,000 | USD | 9,612,788 | 01/24/2020 | 16,007 | |||||||||||||||
| PHP | 681,770,000 | USD | 13,383,106 | 01/06/2020 | 71,356 | |||||||||||||||
| PHP | 687,820,000 | USD | 13,533,946 | 01/30/2020 | 25,117 | |||||||||||||||
| RUB | 353,240,000 | USD | 5,507,576 | 01/09/2020 | 179,640 | |||||||||||||||
| RUB | 529,300,000 | USD | 8,473,008 | 01/30/2020 | 25,619 | |||||||||||||||
| TWD | 171,580,000 | USD | 5,718,761 | 02/06/2020 | 31,712 | |||||||||||||||
| ZAR | 51,450,000 | USD | 3,597,374 | 01/24/2020 | 65,598 | |||||||||||||||
| TOTAL | $ | 781,513 | ||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 35 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments(continued)
December 31, 2019
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||||||
JPMorgan Chase Bank NA | INR | 617,350,000 | USD | 8,650,387 | 01/30/2020 | $ | (4,365 | ) | ||||||||||||
| USD | 8,352,693 | AUD | 12,090,000 | 01/24/2020 | (136,066 | ) | ||||||||||||||
| USD | 9,069,414 | CHF | 8,880,000 | 01/24/2020 | (120,068 | ) | ||||||||||||||
| USD | 53,577,348 | EUR | 48,220,000 | 01/24/2020 | (583,670 | ) | ||||||||||||||
| USD | 11,128,697 | GBP | 8,510,000 | 01/24/2020 | (150,660 | ) | ||||||||||||||
| USD | 4,123,779 | HUF | 1,228,000,000 | 01/24/2020 | (42,525 | ) | ||||||||||||||
| USD | 11,505,008 | IDR | 160,957,360,000 | 01/02/2020 | (89,255 | ) | ||||||||||||||
| USD | 614,947 | JPY | 66,992,924 | 01/07/2020 | (1,765 | ) | ||||||||||||||
| USD | 29,562,150 | JPY | 3,226,200,000 | 01/24/2020 | (165,502 | ) | ||||||||||||||
| USD | 4,821,236 | NOK | 43,200,000 | 01/24/2020 | (99,931 | ) | ||||||||||||||
| USD | 13,422,519 | PHP | 681,770,000 | 01/06/2020 | (31,944 | ) | ||||||||||||||
| USD | 5,670,894 | RUB | 353,240,000 | 01/09/2020 | (16,321 | ) | ||||||||||||||
| TOTAL | $ | (1,442,072 | ) | |||||||||||||||||
FUTURES CONTRACTS— At December 31, 2019, the Fund had the following futures contracts:
| Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
100 oz Gold | 111 | 02/26/2020 | $ | 16,878,660 | $ | 321,564 | ||||||||||
3 Month Eurodollar | 108 | 03/16/2020 | 26,530,200 | 270,899 | ||||||||||||
3 Month Eurodollar | 55 | 06/15/2020 | 13,516,250 | 149,809 | ||||||||||||
3 Month Eurodollar | 59 | 09/14/2020 | 14,506,625 | 166,338 | ||||||||||||
3 Month Eurodollar | 66 | 12/14/2020 | 16,230,225 | 189,572 | ||||||||||||
3 Month Eurodollar | 63 | 03/15/2021 | 15,501,150 | 147,640 | ||||||||||||
3 Month Eurodollar | 50 | 06/14/2021 | 12,301,875 | 71,309 | ||||||||||||
3 Month Eurodollar | 48 | 09/13/2021 | 11,808,600 | 6,489 | ||||||||||||
3 Month Eurodollar | 36 | 12/13/2021 | 8,852,400 | 217 | ||||||||||||
3 Month Sterling | 50 | 09/16/2020 | 8,220,385 | 19,675 | ||||||||||||
3 Month Sterling | 83 | 12/16/2020 | 13,645,151 | 41,497 | ||||||||||||
3 Month Sterling | 76 | 03/17/2021 | 12,495,614 | 38,467 | ||||||||||||
3 Month Sterling | 65 | 06/16/2021 | 10,684,348 | 23,267 | ||||||||||||
3 Month Sterling | 52 | 09/15/2021 | 8,546,187 | (2,736 | ) | |||||||||||
3 Month Sterling | 26 | 12/15/2021 | 4,271,802 | (1,929 | ) | |||||||||||
Amsterdam Exchange Index | 68 | 01/17/2020 | 9,223,703 | (37,102 | ) | |||||||||||
ASX 90 Day Bank Accepted Bill | 62 | 03/12/2020 | 43,413,214 | 25,885 | ||||||||||||
ASX 90 Day Bank Accepted Bill | 86 | 06/11/2020 | 60,224,244 | (13,888 | ) | |||||||||||
ASX 90 Day Bank Accepted Bill | 80 | 09/10/2020 | 56,028,054 | (5,921 | ) | |||||||||||
Australia 10 Year Bond | 193 | 03/16/2020 | 19,361,928 | (376,683 | ) | |||||||||||
Brent Crude Oil | 55 | 01/31/2020 | 3,631,650 | (46,311 | ) | |||||||||||
CAC 40 10 Euro Index | 141 | 01/17/2020 | 9,442,134 | 13,980 | ||||||||||||
Canada 10 Year Bond | 93 | 03/20/2020 | 9,841,077 | (184,179 | ) | |||||||||||
Copper | 55 | 03/27/2020 | 3,847,937 | 1,911 | ||||||||||||
DAX Index | 62 | 03/20/2020 | 23,030,828 | 18,434 | ||||||||||||
EURO STOXX 50 Index | 3,067 | 03/20/2020 | 128,287,067 | (63,122 | ) | |||||||||||
Euro-Bobl | 263 | 03/06/2020 | 39,442,449 | (182,292 | ) | |||||||||||
Euro-BTP | 116 | 03/06/2020 | 18,574,230 | 47,319 | ||||||||||||
Euro-Bund | 356 | 03/06/2020 | 68,220,717 | (789,525 | ) | |||||||||||
Euro-Buxl | 41 | 03/06/2020 | 9,165,747 | (312,797 | ) | |||||||||||
Euro-OAT | 150 | 03/06/2020 | 27,415,470 | (311,254 | ) | |||||||||||
| 36 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS (continued)
| Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: (continued) | ||||||||||||||||
FTSE 100 Index | 519 | 03/20/2020 | $ | 51,553,180 | $ | 244,282 | ||||||||||
FTSE/JSE Top 40 Index | 100 | 03/19/2020 | 3,667,000 | (26,418 | ) | |||||||||||
FTSE/MIB Index | 65 | 03/20/2020 | 8,534,174 | (67,322 | ) | |||||||||||
Hang Seng Index | 55 | 01/30/2020 | 9,976,836 | (300 | ) | |||||||||||
HSCEI | 103 | 01/30/2020 | 7,409,449 | (4,138 | ) | |||||||||||
IBEX 35 Index | 74 | 01/17/2020 | 7,909,042 | (50,981 | ) | |||||||||||
KOSPI 200 Index | 110 | 03/12/2020 | 7,019,759 | 453,181 | ||||||||||||
LME Aluminum Base Metal | 83 | 01/15/2020 | 3,712,694 | 78,239 | ||||||||||||
Long Gilt | 176 | 03/27/2020 | 30,605,253 | (525,673 | ) | |||||||||||
MSCI Taiwan Index | 168 | 01/30/2020 | 7,721,280 | (86,076 | ) | |||||||||||
NASDAQ 100E-Mini Index | 441 | 03/20/2020 | 77,194,845 | 1,287,332 | ||||||||||||
OMXS30 Index | 385 | 01/17/2020 | 7,268,320 | (95,386 | ) | |||||||||||
Russell 2000E-Mini Index | 217 | 03/20/2020 | 18,126,010 | 280,104 | ||||||||||||
S&P Midcap 400E-Mini Index | 52 | 03/20/2020 | 10,736,960 | 165,346 | ||||||||||||
S&P/TSX 60 Index | 66 | 03/19/2020 | 10,291,233 | (24,595 | ) | |||||||||||
TOPIX Index | 170 | 03/12/2020 | 26,926,510 | 42,241 | ||||||||||||
U.S. Treasury 2 Year Note | 273 | 03/31/2020 | 58,808,039 | (55,197 | ) | |||||||||||
U.S. Treasury 5 Year Note | 443 | 03/31/2020 | 52,498,961 | (236,275 | ) | |||||||||||
U.S. Treasury 10 Year Note | 602 | 03/20/2020 | 77,206,500 | (795,614 | ) | |||||||||||
U.S. Treasury Long Bond | 187 | 03/20/2020 | 29,084,344 | (700,105 | ) | |||||||||||
WTI Crude Oil | 59 | 01/21/2020 | 3,609,030 | 38,187 | ||||||||||||
| Total | $ | (852,635 | ) | |||||||||||||
Short position contracts: | ||||||||||||||||
3 Month Canadian Bankers Acceptance | (66 | ) | 03/16/2020 | (12,451,715 | ) | (973 | ) | |||||||||
3 Month Canadian Bankers Acceptance | (51 | ) | 06/15/2020 | (9,623,744 | ) | (1,700 | ) | |||||||||
3 Month Canadian Bankers Acceptance | (47 | ) | 09/14/2020 | (8,870,298 | ) | (1,581 | ) | |||||||||
3 Month Euro Euribor | (113 | ) | 03/16/2020 | (31,810,024 | ) | 5,480 | ||||||||||
3 Month Euro Euribor | (68 | ) | 06/15/2020 | (19,142,315 | ) | 4,294 | ||||||||||
3 Month Euro Euribor | (55 | ) | 09/14/2020 | (15,481,213 | ) | 3,828 | ||||||||||
3 Month Euro Euribor | (34 | ) | 12/14/2020 | (9,569,251 | ) | 1,913 | ||||||||||
3 Month Euro Euribor | (14 | ) | 03/15/2021 | (3,939,691 | ) | 511 | ||||||||||
3 Month Euroswiss | (76 | ) | 03/16/2020 | (19,769,580 | ) | 8,714 | ||||||||||
3 Month Euroswiss | (55 | ) | 06/15/2020 | (14,308,354 | ) | 3,145 | ||||||||||
3 Month Euroswiss | (42 | ) | 09/14/2020 | (10,925,294 | ) | 3,378 | ||||||||||
3 Month Sterling | (25 | ) | 03/18/2020 | (4,108,123 | ) | 984 | ||||||||||
Euro-Schatz | (385 | ) | 03/06/2020 | (48,328,837 | ) | 28,811 | ||||||||||
Japan 10 Year Bond | (16 | ) | 03/13/2020 | (22,407,804 | ) | (15,456 | ) | |||||||||
LME Aluminum Base Metal | (83 | ) | 01/15/2020 | (3,712,694 | ) | (131,440 | ) | |||||||||
S&P 500E-Mini Index | (983 | ) | 03/20/2020 | (158,808,565 | ) | (1,383,182 | ) | |||||||||
Soybean | (49 | ) | 03/13/2020 | (2,337,300 | ) | (123,267 | ) | |||||||||
| Total | $ | (1,596,541 | ) | |||||||||||||
| Total Futures Contracts | $ | (2,449,176 | ) | |||||||||||||
| The accompanying notes are an integral part of these financial statements. | 37 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments(continued)
December 31, 2019
| ADDITIONAL INVESTMENT INFORMATION (continued) |
SWAP CONTRACTS — At December 31, 2019, the Fund had the following swap contracts:
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS
| Reference Obligation/Index(a) | Financing Rate Received (Paid) by the Fund | Credit Spread at December 31, 2019(b) | Termination Date | Notional Amount (000’s) | Value | Upfront Premium (Received) Paid | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
Protection Sold: | ||||||||||||||||||||||||||
iTraxx Europe Crossover Index | 5.000% | 2.080% | 12/20/2024 | EUR | 100,600 | $ | 15,519,376 | $ | 13,634,374 | $ | 1,885,002 | |||||||||||||||
iTraxx Europe Index | 1.000 | 0.450 | 12/20/2024 | 15,850 | 497,131 | 415,496 | 81,635 | |||||||||||||||||||
Markit CDX North America High Yield Index | 5.000 | 2.800 | 12/20/2024 | USD | 108,700 | 10,537,106 | 6,873,910 | 3,663,196 | ||||||||||||||||||
Markit CDX North America Investment Grade Index | 1.000 | 0.450 | 12/20/2024 | 17,200 | 451,782 | 341,984 | 109,798 | |||||||||||||||||||
| TOTAL | $ | 27,005,395 | $ | 21,265,764 | $ | 5,739,631 | ||||||||||||||||||||
| (a) | Payments received quarterly. |
| (b) | 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. |
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) | |||||||||||||||||
Alerian MLP Index Total Return(b) | (1.738)% | Bank of America NA | 08/17/2020 | USD | 21,757 | $ | 549,892 | |||||||||||||||
Bloomberg Roll Select Commodity Index Total Return(c) | 0.000 | JPMorgan Chase Bank NA | 02/28/2020 | USD | 55,285 | (222,506 | ) | |||||||||||||||
Euro Stoxx Gross Total Return Index(d) | 0.464 | 06/16/2020 | EUR | 50,668 | (358,046 | ) | ||||||||||||||||
FTSE 100 Total Return Index(d) | 0.697 | 09/15/2020 | GBP | 11,952 | (592,848 | ) | ||||||||||||||||
| TOTAL | $ | (623,508 | ) | |||||||||||||||||||
| (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 made weekly. |
| (d) | Payments received monthly. |
WRITTEN OPTIONS CONTRACTS— At December 31, 2019, 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. | 2,700 USD | 01/17/2020 | 45 | $ | (14,538,510 | ) | $ | (2,925 | ) | $ | (105,686 | ) | $ | 102,761 | |||||||||||||||
| 2,725 USD | 01/17/2020 | 44 | (14,215,432 | ) | (3,190 | ) | (116,127 | ) | 112,937 | |||||||||||||||||||||
| 2,750 USD | 01/17/2020 | 44 | (14,215,432 | ) | (3,630 | ) | (126,987 | ) | 123,357 | |||||||||||||||||||||
| 2,775 USD | 01/17/2020 | 43 | (13,892,354 | ) | (3,763 | ) | (138,768 | ) | 135,005 | |||||||||||||||||||||
| 2,800 USD | 01/17/2020 | 42 | (13,569,276 | ) | (4,305 | ) | (151,074 | ) | 146,769 | |||||||||||||||||||||
| 2,825 USD | 01/17/2020 | 41 | (13,246,198 | ) | (4,817 | ) | (167,510 | ) | 162,693 | |||||||||||||||||||||
| 2,850 USD | 01/17/2020 | 41 | (13,246,198 | ) | (5,433 | ) | (182,701 | ) | 177,268 | |||||||||||||||||||||
| 2,875 USD | 01/17/2020 | 40 | (12,923,120 | ) | (5,900 | ) | (197,091 | ) | 191,191 | |||||||||||||||||||||
| 2,900 USD | 01/17/2020 | 39 | (12,600,042 | ) | (6,532 | ) | (218,618 | ) | 212,086 | |||||||||||||||||||||
| 2,925 USD | 01/17/2020 | 38 | (12,276,964 | ) | (7,315 | ) | (237,805 | ) | 230,490 | |||||||||||||||||||||
| 38 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
| ADDITIONAL INVESTMENT INFORMATION (continued) |
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: (continued) |
| |||||||||||||||||||||||||||||
Puts (continued) | ||||||||||||||||||||||||||||||
| 2,950 USD | 01/17/2020 | 38 | $ | (12,276,964 | ) | $ | (8,360 | ) | $ | (257,787 | ) | $ | 249,427 | |||||||||||||||||
| 2,975 USD | 01/17/2020 | 37 | (11,953,886 | ) | (9,435 | ) | (286,352 | ) | 276,917 | |||||||||||||||||||||
| 3,000 USD | 01/17/2020 | 37 | (11,953,886 | ) | (11,285 | ) | (312,798 | ) | 301,513 | |||||||||||||||||||||
| 2,775 USD | 02/21/2020 | 42 | (13,569,276 | ) | (19,110 | ) | (83,129 | ) | 64,019 | |||||||||||||||||||||
| 2,800 USD | 02/21/2020 | 41 | (13,246,198 | ) | (21,115 | ) | (90,169 | ) | 69,054 | |||||||||||||||||||||
| 2,825 USD | 02/21/2020 | 41 | (13,246,198 | ) | (23,575 | ) | (98,429 | ) | 74,854 | |||||||||||||||||||||
| 2,850 USD | 02/21/2020 | 40 | (12,923,120 | ) | (26,200 | ) | (106,600 | ) | 80,400 | |||||||||||||||||||||
| 2,875 USD | 02/21/2020 | 39 | (12,600,042 | ) | (29,250 | ) | (116,309 | ) | 87,059 | |||||||||||||||||||||
| 2,900 USD | 02/21/2020 | 39 | (12,600,042 | ) | (33,345 | ) | (128,121 | ) | 94,776 | |||||||||||||||||||||
| 2,925 USD | 02/21/2020 | 38 | (12,276,964 | ) | (36,860 | ) | (138,222 | ) | 101,362 | |||||||||||||||||||||
| 2,950 USD | 02/21/2020 | 37 | (11,953,886 | ) | (41,070 | ) | (153,137 | ) | 112,067 | |||||||||||||||||||||
| 2,975 USD | 02/21/2020 | 37 | (11,953,886 | ) | (46,990 | ) | (166,894 | ) | 119,904 | |||||||||||||||||||||
| 3,000 USD | 02/21/2020 | 36 | (11,630,808 | ) | (52,560 | ) | (183,213 | ) | 130,653 | |||||||||||||||||||||
| 3,025 USD | 02/21/2020 | 35 | (11,307,730 | ) | (58,625 | ) | (197,724 | ) | 139,099 | |||||||||||||||||||||
| 3,050 USD | 02/21/2020 | 35 | (11,307,730 | ) | (67,375 | ) | (216,064 | ) | 148,689 | |||||||||||||||||||||
| 3,075 USD | 02/21/2020 | 34 | (10,984,652 | ) | (75,140 | ) | (236,408 | ) | 161,268 | |||||||||||||||||||||
| 3,100 USD | 02/21/2020 | 34 | (10,984,652 | ) | (86,530 | ) | (260,573 | ) | 174,043 | |||||||||||||||||||||
| 2,875 USD | 03/20/2020 | 49 | (15,830,822 | ) | (75,950 | ) | (85,511 | ) | 9,561 | |||||||||||||||||||||
| 2,900 USD | 03/20/2020 | 48 | (15,507,744 | ) | (83,280 | ) | (92,511 | ) | 9,231 | |||||||||||||||||||||
| 2,925 USD | 03/20/2020 | 48 | (15,507,744 | ) | (93,120 | ) | (102,868 | ) | 9,748 | |||||||||||||||||||||
| 2,950 USD | 03/20/2020 | 47 | (15,184,666 | ) | (102,225 | ) | (110,279 | ) | 8,054 | |||||||||||||||||||||
| 2,975 USD | 03/20/2020 | 46 | (14,861,588 | ) | (111,550 | ) | (120,216 | ) | 8,666 | |||||||||||||||||||||
| 3,000 USD | 03/20/2020 | 45 | (14,538,510 | ) | (121,950 | ) | (129,698 | ) | 7,748 | |||||||||||||||||||||
| 3,025 USD | 03/20/2020 | 45 | (14,538,510 | ) | (136,125 | ) | (143,350 | ) | 7,225 | |||||||||||||||||||||
| 3,050 USD | 03/20/2020 | 44 | (14,215,432 | ) | (148,940 | ) | (155,335 | ) | 6,395 | |||||||||||||||||||||
| 3,075 USD | 03/20/2020 | 43 | (13,892,354 | ) | (162,325 | ) | (168,328 | ) | 6,003 | |||||||||||||||||||||
| 3,100 USD | 03/20/2020 | 42 | (13,569,276 | ) | (176,820 | ) | (182,474 | ) | 5,654 | |||||||||||||||||||||
| 3,125 USD | 03/20/2020 | 42 | (13,569,276 | ) | (197,190 | ) | (203,233 | ) | 6,043 | |||||||||||||||||||||
| 3,150 USD | 03/20/2020 | 41 | (13,246,198 | ) | (214,840 | ) | (221,905 | ) | 7,065 | |||||||||||||||||||||
| 3,175 USD | 03/20/2020 | 40 | (12,923,120 | ) | (234,000 | ) | (239,954 | ) | 5,954 | |||||||||||||||||||||
| 3,200 USD | 03/20/2020 | 40 | (12,923,120 | ) | (262,000 | ) | (269,018 | ) | 7,018 | |||||||||||||||||||||
| Total written options contracts |
| 1,677 | $ | (2,814,950 | ) | $ | (6,898,976 | ) | $ | 4,084,026 | ||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 39 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments
December 31, 2019
| Shares | Dividend Rate | Value | ||||||
| Investment Company(a)– 79.0% | ||||||||
| | Goldman Sachs Financial Square Government Fund – | | ||||||
| 41,109,961 | 1.638% | $ | 41,109,961 | |||||
|
| |||||||
| TOTAL INVESTMENTS – 79.0% | ||||||||
| (Cost $41,109,961) | $ | 41,109,961 | ||||||
|
| |||||||
| | OTHER ASSETS IN EXCESS OF LIABILITIES – 21.0% | 10,924,663 | ||||||
|
| |||||||
| NET ASSETS – 100.0% | $ | 52,034,624 | ||||||
|
| |||||||
| 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 Abbreviation: | ||
EURIBOR | —Euro Interbank Offered Rate | |
Currency Abbreviations: | ||
AUD | —Australian Dollar | |
CAD | —Canadian Dollar | |
CHF | —Swiss Franc | |
CLP | —Chilean Peso | |
COP | —Colombian 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 | |
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 | |
TWD | —Taiwan Dollar | |
USD | —United States Dollar | |
ZAR | —South African Rand | |
| ||
| ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At December 31, 2019, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Gain | ||||||||||||||||
Morgan Stanley Co., Inc. | CLP | 650,820,000 | USD | 864,877 | 01/02/2020 | $ | 633 | |||||||||||||
| COP | 1,193,360,000 | USD | 346,303 | 01/02/2020 | 16,726 | |||||||||||||||
| COP | 1,421,460,000 | USD | 427,007 | 01/30/2020 | 4,979 | |||||||||||||||
| IDR | 12,166,040,000 | USD | 862,875 | 01/02/2020 | 13,483 | |||||||||||||||
| IDR | 3,252,150,000 | USD | 232,177 | 01/30/2020 | 2,391 | |||||||||||||||
| MXN | 46,030,000 | USD | 2,422,556 | 01/24/2020 | 4,017 | |||||||||||||||
| NOK | 5,050,000 | USD | 575,133 | 01/24/2020 | 142 | |||||||||||||||
| PEN | 1,710,000 | USD | 513,815 | 01/30/2020 | 1,844 | |||||||||||||||
| PHP | 26,950,000 | USD | 530,745 | 01/06/2020 | 1,103 | |||||||||||||||
| RUB | 169,590,000 | USD | 2,640,696 | 01/09/2020 | 89,727 | |||||||||||||||
| RUB | 146,520,000 | USD | 2,346,385 | 01/30/2020 | 6,192 | |||||||||||||||
| USD | 2,718,978 | CLP | 2,033,850,000 | 01/30/2020 | 13,207 | |||||||||||||||
| ZAR | 11,330,000 | USD | 793,197 | 01/24/2020 | 13,439 | |||||||||||||||
| TOTAL | $ | 167,883 | ||||||||||||||||||
| 40 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||||||
Morgan Stanley Co., Inc. | CLP | 2,033,850,000 | USD | 2,716,436 | 01/02/2020 | $ | (11,668 | ) | ||||||||||||
| INR | 44,040,000 | USD | 617,089 | 01/30/2020 | (306 | ) | ||||||||||||||
| SEK | 4,140,000 | USD | 443,692 | 01/24/2020 | (1,215 | ) | ||||||||||||||
| USD | 3,375,697 | CLP | 2,684,670,000 | 01/02/2020 | (194,580 | ) | ||||||||||||||
| USD | 359,013 | COP | 1,193,360,000 | 01/02/2020 | (4,016 | ) | ||||||||||||||
| USD | 1,900,755 | CZK | 43,560,000 | 01/24/2020 | (20,737 | ) | ||||||||||||||
| USD | 2,854,582 | HUF | 850,050,000 | 01/24/2020 | (29,430 | ) | ||||||||||||||
| USD | 870,122 | IDR | 12,166,040,000 | 01/02/2020 | (6,236 | ) | ||||||||||||||
| USD | 1,688,536 | ILS | 5,860,000 | 01/24/2020 | (10,172 | ) | ||||||||||||||
| USD | 2,436,923 | KRW | 2,822,030,000 | 02/03/2020 | (6,523 | ) | ||||||||||||||
| USD | 7,193,376 | NOK | 64,470,000 | 01/24/2020 | (150,782 | ) | ||||||||||||||
| USD | 529,201 | PHP | 26,950,000 | 01/06/2020 | (2,647 | ) | ||||||||||||||
| USD | 849,416 | PHP | 43,140,000 | 01/30/2020 | (1,007 | ) | ||||||||||||||
| USD | 309,728 | PLN | 1,190,000 | 01/24/2020 | (3,953 | ) | ||||||||||||||
| USD | 2,722,027 | RUB | 169,590,000 | 01/09/2020 | (8,397 | ) | ||||||||||||||
| USD | 6,770,599 | SEK | 63,590,000 | 01/24/2020 | (25,810 | ) | ||||||||||||||
| USD | 1,821,397 | THB | 54,990,000 | 01/24/2020 | (15,405 | ) | ||||||||||||||
| USD | 1,979,498 | TWD | 59,430,000 | 02/06/2020 | (12,288 | ) | ||||||||||||||
| TOTAL | $ | (505,172 | ) | |||||||||||||||||
FUTURES CONTRACTS — At December 31, 2019, the Fund had the following futures contracts:
| Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
100 oz Gold | 6 | 02/26/2020 | $ | 912,360 | $ | 13,143 | ||||||||||
3 Month Eurodollar | 3 | 03/16/2020 | 736,950 | 8,468 | ||||||||||||
3 Month Eurodollar | 1 | 06/15/2020 | 245,750 | 2,923 | ||||||||||||
3 Month Eurodollar | 1 | 09/14/2020 | 245,875 | 2,979 | ||||||||||||
3 Month Eurodollar | 2 | 12/14/2020 | 491,825 | 6,120 | ||||||||||||
3 Month Eurodollar | 2 | 03/15/2021 | 492,100 | 4,687 | ||||||||||||
3 Month Eurodollar | 1 | 06/14/2021 | 246,037 | 1,485 | ||||||||||||
3 Month Eurodollar | 1 | 09/13/2021 | 246,012 | 135 | ||||||||||||
3 Month Eurodollar | 1 | 12/13/2021 | 245,900 | (202 | ) | |||||||||||
3 Month Sterling | 1 | 09/16/2020 | 164,408 | (90 | ) | |||||||||||
3 Month Sterling | 2 | 12/16/2020 | 328,799 | 952 | ||||||||||||
3 Month Sterling | 2 | 03/17/2021 | 328,832 | 795 | ||||||||||||
3 Month Sterling | 2 | 06/16/2021 | 328,749 | 654 | ||||||||||||
3 Month Sterling | 1 | 09/15/2021 | 164,350 | (25 | ) | |||||||||||
3 Month Sterling | 1 | 12/15/2021 | 164,300 | (25 | ) | |||||||||||
Amsterdam Exchange Index | 2 | 01/17/2020 | 271,285 | (1,091 | ) | |||||||||||
ASX 90 Day Bank Accepted Bill | 1 | 03/12/2020 | 700,213 | 736 | ||||||||||||
ASX 90 Day Bank Accepted Bill | 2 | 06/11/2020 | 1,400,564 | (271 | ) | |||||||||||
ASX 90 Day Bank Accepted Bill | 2 | 09/10/2020 | 1,400,701 | (69 | ) | |||||||||||
Australia 10 Year Bond | 207 | 03/16/2020 | 20,766,420 | (371,827 | ) | |||||||||||
Brent Crude Oil | 31 | 04/30/2020 | 1,987,720 | 84,628 | ||||||||||||
CAC 40 10 Euro Index | 5 | 01/17/2020 | 334,827 | (300 | ) | |||||||||||
Cocoa | 85 | 05/13/2020 | 2,159,850 | 30,872 | ||||||||||||
Coffee “C” | 40 | 05/18/2020 | 1,972,500 | 215,949 | ||||||||||||
Copper | 28 | 05/27/2020 | 1,964,550 | 76,254 | ||||||||||||
| The accompanying notes are an integral part of these financial statements. | 41 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments(continued)
December 31, 2019
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS (continued)
| Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: (continued) | ||||||||||||||||
Corn | 102 | 05/14/2020 | $ | 2,013,225 | $ | 14,415 | ||||||||||
Cotton No. 2 | 57 | �� | 05/06/2020 | 1,997,280 | 86,840 | |||||||||||
DAX Index | 2 | 03/20/2020 | 742,930 | 592 | ||||||||||||
EURO STOXX 50 Index | 22 | 03/20/2020 | 920,220 | (1,277 | ) | |||||||||||
Euro-BTP | 2 | 03/06/2020 | 320,245 | (1,088 | ) | |||||||||||
Euro-OAT | 1 | 03/06/2020 | 182,770 | (2,075 | ) | |||||||||||
Foreign Exchange AUD/USD | 168 | 03/16/2020 | 11,812,080 | 197,715 | ||||||||||||
Foreign Exchange CAD/USD | 165 | 03/17/2020 | 12,711,600 | 181,152 | ||||||||||||
Foreign Exchange NZD/USD | 104 | 03/16/2020 | 7,008,560 | 143,847 | ||||||||||||
FTSE 100 Index | 4 | 03/20/2020 | 397,327 | (178 | ) | |||||||||||
FTSE/MIB Index | 2 | 03/20/2020 | 262,590 | (2,066 | ) | |||||||||||
Hang Seng Index | 1 | 01/30/2020 | 181,397 | 2,020 | ||||||||||||
HSCEI | 2 | 01/30/2020 | 143,873 | 823 | ||||||||||||
IBEX 35 Index | 3 | 01/17/2020 | 320,637 | (2,205 | ) | |||||||||||
Japan 10 Year Bond | 10 | 03/13/2020 | 14,004,878 | 1,344 | ||||||||||||
KC HRW Wheat | 83 | 05/14/2020 | 2,050,100 | 214,469 | ||||||||||||
KOSPI 200 Index | 4 | 03/12/2020 | 255,264 | 5,814 | ||||||||||||
Lean Hogs | 56 | 06/12/2020 | 2,004,240 | 79,854 | ||||||||||||
Live Cattle | 42 | 06/30/2020 | 1,997,940 | 30,378 | ||||||||||||
LME Aluminum Base Metal | 168 | 01/15/2020 | 7,514,850 | 79,235 | ||||||||||||
LME Aluminum Base Metal | 138 | 02/19/2020 | 6,213,450 | 45,371 | ||||||||||||
LME Aluminum Base Metal | 80 | 03/18/2020 | 3,620,000 | 119,802 | ||||||||||||
LME Aluminum Base Metal | 48 | 04/15/2020 | 2,177,400 | 3,344 | ||||||||||||
LME Aluminum Base Metal | 48 | 05/20/2020 | 2,185,800 | 60,144 | ||||||||||||
LME Lead Base Metal | 21 | 01/15/2020 | 1,006,425 | (6,068 | ) | |||||||||||
LME Nickel Base Metal | 3 | 01/15/2020 | 251,424 | (23,878 | ) | |||||||||||
LME Nickel Base Metal | 7 | 02/19/2020 | 588,000 | 15,990 | ||||||||||||
LME Zinc Base Metal | 102 | 01/13/2020 | 5,816,550 | (35,386 | ) | |||||||||||
LME Zinc Base Metal | 75 | 02/19/2020 | 4,270,781 | (92,428 | ) | |||||||||||
LME Zinc Base Metal | 58 | 03/18/2020 | 3,298,388 | (15,124 | ) | |||||||||||
LME Zinc Base Metal | 38 | 04/15/2020 | 2,156,263 | (145,898 | ) | |||||||||||
LME Zinc Base Metal | 38 | 05/20/2020 | 2,152,463 | 37,260 | ||||||||||||
Low Sulphur Gasoil | 35 | 05/12/2020 | 2,111,375 | 88,408 | ||||||||||||
MSCI Taiwan Index | 4 | 01/30/2020 | 183,840 | (810 | ) | |||||||||||
NASDAQ 100E-Mini Index | 3 | 03/20/2020 | 525,135 | 8,758 | ||||||||||||
Natural Gas | 94 | 04/28/2020 | 2,056,720 | (2,267 | ) | |||||||||||
NY Harbor ULSD | 24 | 04/30/2020 | 2,003,198 | 79,130 | ||||||||||||
OMXS30 Index | 11 | 01/17/2020 | 207,666 | (2,731 | ) | |||||||||||
RBOB Gasoline | 25 | 04/30/2020 | 1,978,410 | 57,812 | ||||||||||||
Russell 2000E-Mini Index | 4 | 03/20/2020 | 334,120 | 3,778 | ||||||||||||
S&P 500E-Mini Index | 66 | 03/20/2020 | 10,662,630 | 109,019 | ||||||||||||
S&P Midcap 400E-Mini Index | 1 | 03/20/2020 | 206,480 | 3,583 | ||||||||||||
S&P/TSX 60 Index | 2 | 03/19/2020 | 311,856 | (953 | ) | |||||||||||
Silver | 1 | 03/27/2020 | 89,575 | (433 | ) | |||||||||||
Soybean | 42 | 05/14/2020 | 2,031,750 | 44,667 | ||||||||||||
Soybean Oil | 94 | 05/14/2020 | 1,979,076 | 169,146 | ||||||||||||
Sugar No. 11 | 132 | 04/30/2020 | 2,003,232 | 125,730 | ||||||||||||
TOPIX Index | 3 | 03/12/2020 | 475,174 | 1,594 | ||||||||||||
U.S. Treasury 5 Year Note | 1 | 03/31/2020 | 118,508 | (103 | ) | |||||||||||
U.S. Treasury Long Bond | 1 | 03/20/2020 | 155,531 | (3,346 | ) | |||||||||||
Wheat | 72 | 05/14/2020 | 2,025,900 | 133,346 | ||||||||||||
| 42 | 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) | ||||||||||||
Long position contracts: (continued) | ||||||||||||||||
WTI Crude Oil | 33 | 04/21/2020 | $ | 1,982,970 | $ | 78,270 | ||||||||||
| Total | $ | 1,962,216 | ||||||||||||||
Short position contracts: | ||||||||||||||||
3 Month Canadian Bankers Acceptance | (2 | ) | 03/16/2020 | (377,325 | ) | (4 | ) | |||||||||
3 Month Canadian Bankers Acceptance | (1 | ) | 06/15/2020 | (188,701 | ) | (49 | ) | |||||||||
3 Month Canadian Bankers Acceptance | (1 | ) | 09/14/2020 | (188,730 | ) | 8 | ||||||||||
3 Month Euro Euribor | (3 | ) | 03/16/2020 | (844,514 | ) | 176 | ||||||||||
3 Month Euro Euribor | (2 | ) | 06/15/2020 | (563,009 | ) | 122 | ||||||||||
3 Month Euro Euribor | (2 | ) | 09/14/2020 | (562,953 | ) | 108 | ||||||||||
3 Month Euro Euribor | (1 | ) | 12/14/2020 | (281,449 | ) | 54 | ||||||||||
3 Month Euroswiss | (2 | ) | 03/16/2020 | (520,252 | ) | 329 | ||||||||||
3 Month Euroswiss | (2 | ) | 06/15/2020 | (520,304 | ) | 177 | ||||||||||
3 Month Euroswiss | (1 | ) | 09/14/2020 | (260,126 | ) | 51 | ||||||||||
3 Month Sterling | (1 | ) | 03/18/2020 | (164,325 | ) | 39 | ||||||||||
Brent Crude Oil | (6 | ) | 01/31/2020 | (396,180 | ) | (15,432 | ) | |||||||||
Canada 10 Year Bond | (47 | ) | 03/20/2020 | (4,973,447 | ) | 81,985 | ||||||||||
CBOE Volatility Index | (28 | ) | 01/22/2020 | (409,500 | ) | 101,570 | ||||||||||
CBOE Volatility Index | (30 | ) | 02/19/2020 | (498,750 | ) | 40,323 | ||||||||||
CBOE Volatility Index | (32 | ) | 03/18/2020 | (541,600 | ) | (4,182 | ) | |||||||||
Cocoa | (120 | ) | 03/16/2020 | (3,045,600 | ) | (14,345 | ) | |||||||||
Coffee “C” | (54 | ) | 03/19/2020 | (2,615,288 | ) | (289,389 | ) | |||||||||
Copper | (23 | ) | 03/27/2020 | (1,609,138 | ) | 1,849 | ||||||||||
Corn | (99 | ) | 03/13/2020 | (1,918,125 | ) | (27,899 | ) | |||||||||
Cotton No. 2 | (85 | ) | 03/09/2020 | (2,930,375 | ) | (98,473 | ) | |||||||||
Euro-Bobl | (4 | ) | 03/06/2020 | (599,885 | ) | 1,156 | ||||||||||
Euro-Bund | (28 | ) | 03/06/2020 | (5,365,674 | ) | 63,184 | ||||||||||
Euro-Schatz | (22 | ) | 03/06/2020 | (2,761,648 | ) | 1,715 | ||||||||||
Feeder Cattle | (8 | ) | 03/26/2020 | (576,800 | ) | (7,513 | ) | |||||||||
Foreign Exchange CHF/USD | (19 | ) | 03/16/2020 | (2,467,150 | ) | (40,489 | ) | |||||||||
Foreign Exchange EUR/USD | (57 | ) | 03/16/2020 | (8,030,944 | ) | (57,044 | ) | |||||||||
Foreign Exchange GBP/USD | (50 | ) | 03/16/2020 | (4,148,125 | ) | (28,551 | ) | |||||||||
Foreign Exchange JPY/USD | (38 | ) | 03/16/2020 | (4,388,525 | ) | (7,080 | ) | |||||||||
KC HRW Wheat | (83 | ) | 03/13/2020 | (2,015,863 | ) | (160,554 | ) | |||||||||
Lean Hogs | (69 | ) | 02/14/2020 | (1,966,500 | ) | 40,083 | ||||||||||
Live Cattle | (39 | ) | 02/28/2020 | (1,965,210 | ) | (7,353 | ) | |||||||||
LME Aluminum Base Metal | (168 | ) | 01/15/2020 | (7,514,850 | ) | (35,767 | ) | |||||||||
LME Aluminum Base Metal | (200 | ) | 02/19/2020 | (9,005,000 | ) | (266,510 | ) | |||||||||
LME Aluminum Base Metal | (80 | ) | 03/18/2020 | (3,620,000 | ) | (3,280 | ) | |||||||||
LME Aluminum Base Metal | (48 | ) | 04/15/2020 | (2,177,400 | ) | (62,926 | ) | |||||||||
LME Aluminum Base Metal | (2 | ) | 05/20/2020 | (91,075 | ) | (2,262 | ) | |||||||||
LME Lead Base Metal | (21 | ) | 01/15/2020 | (1,006,425 | ) | 46,926 | ||||||||||
LME Lead Base Metal | (17 | ) | 02/19/2020 | (818,444 | ) | (15,871 | ) | |||||||||
LME Nickel Base Metal | (3 | ) | 01/15/2020 | (251,424 | ) | 2,228 | ||||||||||
LME Nickel Base Metal | (4 | ) | 02/19/2020 | (336,000 | ) | 78 | ||||||||||
LME Zinc Base Metal | (102 | ) | 01/13/2020 | (5,816,550 | ) | 215,688 | ||||||||||
LME Zinc Base Metal | (99 | ) | 02/19/2020 | (5,637,431 | ) | (9,889 | ) | |||||||||
LME Zinc Base Metal | (58 | ) | 03/18/2020 | (3,298,387 | ) | 291,024 | ||||||||||
LME Zinc Base Metal | (38 | ) | 04/15/2020 | (2,156,262 | ) | (39,208 | ) | |||||||||
LME Zinc Base Metal | (2 | ) | 05/20/2020 | (113,287 | ) | 1,204 | ||||||||||
| The accompanying notes are an integral part of these financial statements. | 43 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments(continued)
December 31, 2019
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS (continued)
| Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Short position contracts: (continued) | ||||||||||||||||
Long Gilt | (61 | ) | 03/27/2020 | $ | (10,607,503 | ) | $ | 136,286 | ||||||||
Low Sulphur Gasoil | (21 | ) | 02/12/2020 | (1,290,975 | ) | (55,667 | ) | |||||||||
Natural Gas | (89 | ) | 01/29/2020 | (1,941,090 | ) | 97,404 | ||||||||||
NY Harbor ULSD | (33 | ) | 01/31/2020 | (2,809,283 | ) | (91,167 | ) | |||||||||
RBOB Gasoline | (18 | ) | 01/31/2020 | (1,280,664 | ) | (25,775 | ) | |||||||||
SET50 Index | (24 | ) | 03/30/2020 | (170,968 | ) | (296 | ) | |||||||||
Soybean | (82 | ) | 03/13/2020 | (3,911,400 | ) | (185,871 | ) | |||||||||
Soybean Oil | (95 | ) | 03/13/2020 | (1,984,740 | ) | (192,941 | ) | |||||||||
Sugar No. 11 | (240 | ) | 02/28/2020 | (3,612,672 | ) | (100,212 | ) | |||||||||
U.S. Treasury 2 Year Note | (1 | ) | 03/31/2020 | (215,414 | ) | 30 | ||||||||||
U.S. Treasury 10 Year Note | (30 | ) | 03/20/2020 | (3,847,500 | ) | 7,872 | ||||||||||
Wheat | (19 | ) | 03/13/2020 | (530,812 | ) | (15,055 | ) | |||||||||
WTI Crude Oil | (33 | ) | 01/21/2020 | (2,018,610 | ) | (65,341 | ) | |||||||||
| Total | $ | (794,726 | ) | |||||||||||||
| Total Futures Contracts | $ | 1,167,490 | ||||||||||||||
SWAP CONTRACTS — At December 31, 2019, the Fund had the following swap contracts:
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS
| Reference Obligation/Index(a) | Financing Rate Received (Paid) by the Fund | Credit Spread at December 31, 2019(b) | Termination Date | Notional Amount (000’s) | Value | Upfront Premium (Received) Paid | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
Protection Sold: | ||||||||||||||||||||||||||
iTraxx Europe Crossover Index | 5.000 | % | 2.080% | 12/20/2024 | EUR | 400 | $ | 61,708 | $ | 57,031 | $ | 4,677 | ||||||||||||||
iTraxx Europe Index | 1.000 | 0.450 | 12/20/2024 | 1,050 | 32,934 | 26,062 | 6,872 | |||||||||||||||||||
Markit CDX North America High Yield Index | 5.000 | 2.800 | 12/20/2024 | USD | 450 | 43,621 | 27,676 | 15,945 | ||||||||||||||||||
Markit CDX North America Investment Grade Index | 1.000 | 0.450 | 12/20/2024 | 950 | 24,953 | 18,205 | 6,748 | |||||||||||||||||||
| TOTAL | $ | 163,216 | $ | 128,974 | $ | 34,242 | ||||||||||||||||||||
| (a) | Payments received quarterly. |
| (b) | 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. |
| 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
| Referenced Obligation/Index | Financing Rate Received (Paid) by the Fund | Counterparty | Termination Date | Notional Amount (000’s) | Unrealized Appreciation / (Depreciation)(a) | |||||||||||||||||
A basket (MLGSFDJP) of common stocks(b)(*) | (0.046 | )% | Bank of America NA | 07/28/2020 | JPY | 4,385,769 | $ | (41,318 | ) | |||||||||||||
TOPIX Total Return Index(c) | 0.046 | 07/28/2020 | 4,209,050 | (56,649 | ) | |||||||||||||||||
A basket (JPGSFDEU) of common stocks(b)(*) | (0.452 | ) | JPMorgan Chase Bank NA | 06/16/2020 | EUR | 35,202 | (395,189 | ) | ||||||||||||||
Euro Stoxx Gross Total Return Index(c) | 0.452 | 06/16/2020 | 33,679 | 364,441 | ||||||||||||||||||
A basket (JPGSFDUK) of common stocks(b)(*) | (0.707 | ) | 08/04/2020 | GBP | 6,318 | (97,508 | ) | |||||||||||||||
FTSE 100 Total Return Index(c) | 0.707 | 08/04/2020 | 5,095 | 90,613 | ||||||||||||||||||
A basket (JPGSFDUS) of common stocks(b)(*) | (1.792 | ) | 09/01/2020 | USD | 39,366 | (10,424 | ) | |||||||||||||||
Russell 1000 Index Total Return(c) | 1.799 | 09/01/2020 | 12,218 | (37,359 | ) | |||||||||||||||||
S&P 500 Total Return Index(c) | 1.792 | 09/01/2020 | 22,472 | 63,543 | ||||||||||||||||||
| TOTAL | $ | (119,850 | ) | |||||||||||||||||||
| (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. |
| * | The components of the basket shown below. |
A basket (MLGSFDJP) of common stocks
| Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Nippon Telegraph & Telephone Corp | Communication Services | 36,430 | $ | 922,366 | 2.29 | % | ||||||||
Hoya Corp | Health Care | 8,876 | 851,855 | 2.11 | ||||||||||
Kao Corp | Consumer Staples | 9,670 | 801,435 | 1.99 | ||||||||||
Keyence Corp | Information Technology | 1,982 | 700,731 | 1.74 | ||||||||||
Recruit Holdings Co Ltd | Industrials | 18,217 | 685,760 | 1.70 | ||||||||||
Tokio Marine Holdings Inc | Financials | 11,611 | 652,484 | 1.62 | ||||||||||
Tokyo Electron Ltd | Information Technology | 2,912 | 639,817 | 1.59 | ||||||||||
ITOCHU Corp | Industrials | 24,660 | 573,972 | 1.42 | ||||||||||
Nidec Corp | Industrials | 4,102 | 565,254 | 1.40 | ||||||||||
SMC Corp/Japan | Industrials | 1,193 | 550,886 | 1.37 | ||||||||||
Nintendo Co Ltd | Communication Services | 1,294 | 522,520 | 1.29 | ||||||||||
ORIX Corp | Financials | 30,600 | 508,930 | 1.26 | ||||||||||
FUJIFILM Holdings Corp | Information Technology | 10,449 | 501,858 | 1.24 | ||||||||||
Eisai Co Ltd | Health Care | 6,575 | 495,390 | 1.23 | ||||||||||
Seven & i Holdings Co Ltd | Consumer Staples | 12,756 | 468,920 | 1.16 | ||||||||||
Omron Corp | Information Technology | 7,927 | 467,377 | 1.16 | ||||||||||
Disco Corp | Information Technology | 1,945 | 462,675 | 1.15 | ||||||||||
FANUC Corp | Industrials | 2,466 | 460,333 | 1.14 | ||||||||||
Fast Retailing Co Ltd | Consumer Discretionary | 768 | 458,683 | 1.14 | ||||||||||
Dai-ichi Life Holdings Inc | Financials | 26,840 | 447,751 | 1.11 | ||||||||||
Olympus Corp | Health Care | 27,204 | 421,970 | 1.05 | ||||||||||
Shionogi & Co Ltd | Health Care | 6,776 | 421,122 | 1.04 | ||||||||||
Renesas Electronics Corp | Information Technology | 57,560 | 396,453 | 0.98 | ||||||||||
Sekisui House Ltd | Consumer Discretionary | 18,384 | 393,976 | 0.98 | ||||||||||
Bandai Namco Holdings Inc | Consumer Discretionary | 6,285 | 382,746 | 0.95 | ||||||||||
Denso Corp | Consumer Discretionary | 7,514 | 342,681 | 0.85 | ||||||||||
Bridgestone Corp | Consumer Discretionary | 9,161 | 342,420 | 0.85 | ||||||||||
Otsuka Holdings Co Ltd | Health Care | 7,376 | 330,747 | 0.82 | ||||||||||
MINEBEA MITSUMI Inc | Industrials | 15,504 | 324,196 | 0.80 | ||||||||||
Mitsubishi Estate Co Ltd | Real Estate | 16,694 | 320,335 | 0.79 | ||||||||||
Chugai Pharmaceutical Co Ltd | Health Care | 3,432 | 317,702 | 0.79 | ||||||||||
| The accompanying notes are an integral part of these financial statements. | 45 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments(continued)
December 31, 2019
| ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
| Common Stocks | Sector | Shares | Value | Weight | ||||||||||
MS&AD Insurance Group Holdings Inc | Financials | 9,264 | $ | 307,199 | 0.76 | % | ||||||||
Mitsubishi Heavy Industries Ltd | Industrials | 7,837 | 305,744 | 0.76 | ||||||||||
Nitori Holdings Co Ltd | Consumer Discretionary | 1,899 | 300,366 | 0.74 | ||||||||||
Japan Airlines Co Ltd | Industrials | 9,407 | 293,473 | 0.73 | ||||||||||
Nissan Motor Co Ltd | Consumer Discretionary | 49,564 | 289,539 | 0.72 | ||||||||||
Takeda Pharmaceutical Co Ltd | Health Care | 7,110 | 282,875 | 0.70 | ||||||||||
KDDI Corp | Communication Services | 9,352 | 279,384 | 0.69 | ||||||||||
Alps Alpine Co Ltd | Information Technology | 11,481 | 262,753 | 0.65 | ||||||||||
Toray Industries Inc | Materials | 37,813 | 257,352 | 0.64 | ||||||||||
NTT DOCOMO Inc | Communication Services | 9,012 | 251,432 | 0.62 | ||||||||||
Tokyo Gas Co Ltd | Utilities | 10,163 | 247,467 | 0.61 | ||||||||||
Pan Pacific International Holdings Corp | Consumer Discretionary | 14,621 | 243,172 | 0.60 | ||||||||||
Panasonic Corp | Consumer Discretionary | 25,584 | 241,888 | 0.60 | ||||||||||
MonotaRO Co Ltd | Industrials | 8,668 | 232,681 | 0.58 | ||||||||||
Asics Corp | Consumer Discretionary | 13,838 | 230,788 | 0.57 | ||||||||||
Sumitomo Realty & Development Co Ltd | Real Estate | 6,230 | 218,085 | 0.54 | ||||||||||
Mitsubishi Chemical Holdings Corp | Materials | 28,950 | 217,347 | 0.54 | ||||||||||
Oriental Land Co Ltd/Japan | Consumer Discretionary | 1,542 | 210,717 | 0.52 | ||||||||||
Casio Computer Co Ltd | Consumer Discretionary | 10,006 | 201,333 | 0.50 | ||||||||||
NET One Systems Co Ltd | Information Technology | 7,499 | 192,628 | 0.48 | ||||||||||
Sompo Holdings Inc | Financials | 4,697 | 185,490 | 0.46 | ||||||||||
Park24 Co Ltd | Industrials | 7,336 | 179,813 | 0.45 | ||||||||||
Capcom Co Ltd | Communication Services | 6,389 | 177,788 | 0.44 | ||||||||||
Hitachi Chemical Co Ltd | Materials | 4,207 | 176,749 | 0.44 | ||||||||||
MISUMI Group Inc | Industrials | 7,045 | 176,104 | 0.44 | ||||||||||
Shimizu Corp | Industrials | 17,174 | 176,018 | 0.44 | ||||||||||
Daiichi Sankyo Co Ltd | Health Care | 2,566 | 170,355 | 0.42 | ||||||||||
Mitsui Chemicals Inc | Materials | 6,778 | 166,820 | 0.41 | ||||||||||
TOTO Ltd | Industrials | 3,771 | 160,681 | 0.40 | ||||||||||
Hikari Tsushin Inc | Consumer Discretionary | 634 | 159,608 | 0.40 | ||||||||||
Asahi Group Holdings Ltd | Consumer Staples | 3,484 | 159,452 | 0.40 | ||||||||||
Nippon Shinyaku Co Ltd | Health Care | 1,822 | 158,457 | 0.39 | ||||||||||
Sumitomo Dainippon Pharma Co Ltd | Health Care | 8,077 | 157,998 | 0.39 | ||||||||||
JXTG Holdings Inc | Energy | 34,236 | 156,544 | 0.39 | ||||||||||
DMG Mori Co Ltd | Industrials | 9,404 | 145,959 | 0.36 | ||||||||||
Central Japan Railway Co | Industrials | 718 | 145,145 | 0.36 | ||||||||||
Osaka Gas Co Ltd | Utilities | 7,556 | 145,105 | 0.36 | ||||||||||
LIXIL Group Corp | Industrials | 8,359 | 145,014 | 0.36 | ||||||||||
SBI Holdings Inc/Japan | Financials | 6,720 | 142,859 | 0.35 | �� | |||||||||
Pola Orbis Holdings Inc | Consumer Staples | 5,936 | 142,489 | 0.35 | ||||||||||
East Japan Railway Co | Industrials | 1,567 | 141,881 | 0.35 | ||||||||||
Skylark Holdings Co Ltd | Consumer Discretionary | 7,220 | 141,554 | 0.35 | ||||||||||
Nomura Real Estate Holdings Inc | Real Estate | 5,774 | 138,938 | 0.34 | ||||||||||
Japan Tobacco Inc | Consumer Staples | 6,177 | 137,984 | 0.34 | ||||||||||
Amada Holdings Co Ltd | Industrials | 11,968 | 137,382 | 0.34 | ||||||||||
Astellas Pharma Inc | Health Care | 7,835 | 134,550 | 0.33 | ||||||||||
Koito Manufacturing Co Ltd | Consumer Discretionary | 2,862 | 134,046 | 0.33 | ||||||||||
Welcia Holdings Co Ltd | Consumer Staples | 2,060 | 131,507 | 0.33 | ||||||||||
Kintetsu Group Holdings Co Ltd | Industrials | 2,401 | 130,524 | 0.32 | ||||||||||
Sekisui Chemical Co Ltd | Consumer Discretionary | 7,406 | 129,505 | 0.32 | ||||||||||
West Japan Railway Co | Industrials | 1,488 | 128,978 | 0.32 | ||||||||||
Teijin Ltd | Materials | 6,751 | 126,783 | 0.31 | ||||||||||
Japan Exchange Group Inc | Financials | 7,079 | 125,474 | 0.31 | ||||||||||
Secom Co Ltd | Industrials | 1,391 | 124,913 | 0.31 | ||||||||||
Shiseido Co Ltd | Consumer Staples | 1,745 | 124,695 | 0.31 | ||||||||||
Suntory Beverage & Food Ltd | Consumer Staples | 2,985 | 124,600 | 0.31 | ||||||||||
Tosoh Corp | Materials | 7,938 | 123,571 | 0.31 | ||||||||||
Canon Inc | Information Technology | 4,482 | 122,927 | 0.30 | ||||||||||
JGC Holdings Corp | Industrials | 7,509 | 121,021 | 0.30 | ||||||||||
Nippon Paint Holdings Co Ltd | Materials | 2,325 | 120,435 | 0.30 | ||||||||||
| 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 | ||||||||||
Fukuoka Financial Group Inc | Financials | 6,111 | $ | 118,131 | 0.29 | % | ||||||||
Sony Financial Holdings Inc | Financials | 4,880 | 117,776 | 0.29 | ||||||||||
Yoshinoya Holdings Co Ltd | Consumer Discretionary | 4,390 | 117,008 | 0.29 | ||||||||||
Tobu Railway Co Ltd | Industrials | 3,216 | 116,823 | 0.29 | ||||||||||
Kirin Holdings Co Ltd | Consumer Staples | 5,308 | 116,513 | 0.29 | ||||||||||
Nissan Chemical Corp | Materials | 2,726 | 115,033 | 0.29 | ||||||||||
Furukawa Electric Co Ltd | Industrials | 4,402 | 114,012 | 0.28 | ||||||||||
Hitachi Metals Ltd | Materials | 7,695 | 113,984 | 0.28 | ||||||||||
NH Foods Ltd | Consumer Staples | 2,744 | 113,667 | 0.28 | ||||||||||
NTN Corp | Industrials | 35,816 | 113,476 | 0.28 | ||||||||||
Toho Co Ltd/Tokyo | Communication Services | 2,689 | 112,246 | 0.28 | ||||||||||
Hankyu Hanshin Holdings Inc | Industrials | 2,609 | 112,141 | 0.28 | ||||||||||
Terumo Corp | Health Care | 3,017 | 107,648 | 0.27 | ||||||||||
Lawson Inc | Consumer Staples | 1,892 | 107,576 | 0.27 | ||||||||||
Toyota Motor Corp | Consumer Discretionary | 1,516 | 107,368 | 0.27 | ||||||||||
ANA Holdings Inc | Industrials | 3,142 | 105,076 | 0.26 | ||||||||||
Taiheiyo Cement Corp | Materials | 3,537 | 104,437 | 0.26 | ||||||||||
Hoshizaki Corp | Industrials | 1,164 | 104,082 | 0.26 | ||||||||||
MEIJI Holdings Co Ltd | Consumer Staples | 1,530 | 103,723 | 0.26 | ||||||||||
Goldwin Inc | Consumer Discretionary | 1,406 | 103,555 | 0.26 | ||||||||||
Cosmos Pharmaceutical Corp | Consumer Staples | 495 | 102,514 | 0.25 | ||||||||||
Square Enix Holdings Co Ltd | Communication Services | 2,044 | 101,928 | 0.25 | ||||||||||
Yamada Denki Co Ltd | Consumer Discretionary | 19,194 | 101,884 | 0.25 | ||||||||||
Ajinomoto Co Inc | Consumer Staples | 6,105 | 101,756 | 0.25 | ||||||||||
Toyo Suisan Kaisha Ltd | Consumer Staples | 2,371 | 100,824 | 0.25 | ||||||||||
Itochu Techno-Solutions Corp | Information Technology | 3,563 | 100,612 | 0.25 | ||||||||||
Ship Healthcare Holdings Inc | Health Care | 2,148 | 99,637 | 0.25 | ||||||||||
Kansai Paint Co Ltd | Materials | 3,998 | 98,288 | 0.24 | ||||||||||
Sugi Holdings Co Ltd | Consumer Staples | 1,828 | 96,718 | 0.24 | ||||||||||
Chugoku Electric Power Co Inc/The | Utilities | 7,264 | 95,395 | 0.24 | ||||||||||
K’s Holdings Corp | Consumer Discretionary | 6,982 | 91,755 | 0.23 | ||||||||||
Tohoku Electric Power Co Inc | Utilities | 9,194 | 91,358 | 0.23 | ||||||||||
Daito Trust Construction Co Ltd | Real Estate | 730 | 90,420 | 0.22 | ||||||||||
Takashimaya Co Ltd | Consumer Discretionary | 7,991 | 90,116 | 0.22 | ||||||||||
Fuji Media Holdings Inc | Communication Services | 6,249 | 89,299 | 0.22 | ||||||||||
ABC-Mart Inc | Consumer Discretionary | 1,302 | 88,987 | 0.22 | ||||||||||
Kikkoman Corp | Consumer Staples | 1,795 | 88,532 | 0.22 | ||||||||||
Oracle Corp Japan | Information Technology | 965 | 88,160 | 0.22 | ||||||||||
Sega Sammy Holdings Inc | Consumer Discretionary | 6,021 | 87,528 | 0.22 | ||||||||||
Z Holdings Corp | Communication Services | 20,439 | 86,530 | 0.21 | ||||||||||
Electric Power Development Co Ltd | Utilities | 3,507 | 85,247 | 0.21 | ||||||||||
Unicharm Corp | Consumer Staples | 2,498 | 84,880 | 0.21 | ||||||||||
Mitsui Mining & Smelting Co Ltd | Materials | 3,158 | 84,801 | 0.21 | ||||||||||
Hulic Co Ltd | Real Estate | 6,985 | 84,416 | 0.21 | ||||||||||
Tsuruha Holdings Inc | Consumer Staples | 654 | 84,257 | 0.21 | ||||||||||
Coca-Cola Bottlers Japan Holdings Inc | Consumer Staples | 3,262 | 83,620 | 0.21 | ||||||||||
Daicel Corp | Materials | 8,666 | 83,489 | 0.21 | ||||||||||
Mitsubishi Motors Corp | Consumer Discretionary | 19,798 | 83,270 | 0.21 | ||||||||||
Lion Corp | Consumer Staples | 4,244 | 82,822 | 0.21 | ||||||||||
Trend Micro Inc/Japan | Information Technology | 1,589 | 81,709 | 0.20 | ||||||||||
Keio Corp | Industrials | 1,342 | 81,440 | 0.20 | ||||||||||
Calbee Inc | Consumer Staples | 2,487 | 81,188 | 0.20 | ||||||||||
Hitachi Ltd | Information Technology | 1,887 | 80,157 | 0.20 | ||||||||||
SG Holdings Co Ltd | Industrials | 3,547 | 80,137 | 0.20 | ||||||||||
M3 Inc | Health Care | 2,630 | 79,837 | 0.20 | ||||||||||
Aeon Co Ltd | Consumer Staples | 3,823 | 79,192 | 0.20 | ||||||||||
Stanley Electric Co Ltd | Consumer Discretionary | 2,685 | 78,406 | 0.19 | ||||||||||
TIS Inc | Information Technology | 1,327 | 78,372 | 0.19 | ||||||||||
Yokohama Rubber Co Ltd/The | Consumer Discretionary | 3,999 | 78,257 | 0.19 | ||||||||||
| The accompanying notes are an integral part of these financial statements. | 47 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments(continued)
December 31, 2019
| ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
| Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Seven Bank Ltd | Financials | 23,777 | $ | 78,170 | 0.19 | % | ||||||||
Obic Co Ltd | Information Technology | 573 | 77,697 | 0.19 | ||||||||||
Japan Airport Terminal Co Ltd | Industrials | 1,388 | 77,650 | 0.19 | ||||||||||
Benesse Holdings Inc | Consumer Discretionary | 2,922 | 77,122 | 0.19 | ||||||||||
Nagoya Railroad Co Ltd | Industrials | 2,474 | 77,034 | 0.19 | ||||||||||
Nippon Suisan Kaisha Ltd | Consumer Staples | 12,858 | 76,992 | 0.19 | ||||||||||
Kyushu Electric Power Co Inc | Utilities | 8,746 | 75,899 | 0.19 | ||||||||||
Nihon Unisys Ltd | Information Technology | 2,408 | 75,741 | 0.19 | ||||||||||
Fujikura Ltd | Industrials | 18,179 | 75,460 | 0.19 | ||||||||||
Shimamura Co Ltd | Consumer Discretionary | 987 | 75,399 | 0.19 | ||||||||||
NTT Data Corp | Information Technology | 5,570 | 75,041 | 0.19 | ||||||||||
Sumitomo Rubber Industries Ltd | Consumer Discretionary | 6,096 | 74,845 | 0.19 | ||||||||||
Nichirei Corp | Consumer Staples | 3,194 | 74,807 | 0.19 | ||||||||||
SMS Co Ltd | Industrials | 2,651 | 73,651 | 0.18 | ||||||||||
Sundrug Co Ltd | Consumer Staples | 1,996 | 72,511 | 0.18 | ||||||||||
Tokyu Corp | Industrials | 3,901 | 72,327 | 0.18 | ||||||||||
Nomura Research Institute Ltd | Information Technology | 3,313 | 71,138 | 0.18 | ||||||||||
Chubu Electric Power Co Inc | Utilities | 5,013 | 70,964 | 0.18 | ||||||||||
Nifco Inc/Japan | Consumer Discretionary | 2,570 | 70,805 | 0.18 | ||||||||||
Mitsubishi Gas Chemical Co Inc | Materials | 4,577 | 70,367 | 0.17 | ||||||||||
Otsuka Corp | Information Technology | 1,730 | 69,508 | 0.17 | ||||||||||
Nihon Kohden Corp | Health Care | 2,483 | 69,098 | 0.17 | ||||||||||
Sawai Pharmaceutical Co Ltd | Health Care | 1,074 | 68,253 | 0.17 | ||||||||||
Azbil Corp | Information Technology | 2,400 | 67,984 | 0.17 | ||||||||||
Zenkoku Hosho Co Ltd | Financials | 1,578 | 67,369 | 0.17 | ||||||||||
Nissin Foods Holdings Co Ltd | Consumer Staples | 893 | 66,577 | 0.16 | ||||||||||
Nippon Paper Industries Co Ltd | Materials | 3,914 | 66,432 | 0.16 | ||||||||||
COMSYS Holdings Corp | Industrials | 2,303 | 66,310 | 0.16 | ||||||||||
Sanwa Holdings Corp | Industrials | 5,844 | 65,964 | 0.16 | ||||||||||
Zensho Holdings Co Ltd | Consumer Discretionary | 2,909 | 65,955 | 0.16 | ||||||||||
Kewpie Corp | Consumer Staples | 2,872 | 64,690 | 0.16 | ||||||||||
Mazda Motor Corp | Consumer Discretionary | 7,323 | 63,084 | 0.16 | ||||||||||
Sumitomo Osaka Cement Co Ltd | Materials | 1,419 | 62,217 | 0.15 | ||||||||||
Rohto Pharmaceutical Co Ltd | Consumer Staples | 2,040 | 62,199 | 0.15 | ||||||||||
Kansai Electric Power Co Inc/The | Utilities | 5,244 | 60,902 | 0.15 | ||||||||||
SCSK Corp | Information Technology | 1,160 | 60,423 | 0.15 | ||||||||||
Kyowa Exeo Corp | Industrials | 2,368 | 60,173 | 0.15 | ||||||||||
Ryohin Keikaku Co Ltd | Consumer Discretionary | 2,530 | 59,397 | 0.15 | ||||||||||
Ain Holdings Inc | Consumer Staples | 926 | 58,933 | 0.15 | ||||||||||
Sony Corp | Consumer Discretionary | 867 | 58,914 | 0.15 | ||||||||||
Infomart Corp | Information Technology | 6,510 | 58,892 | 0.15 | ||||||||||
Morinaga Milk Industry Co Ltd | Consumer Staples | 1,440 | 58,832 | 0.15 | ||||||||||
Tokuyama Corp | Materials | 2,211 | 58,128 | 0.14 | ||||||||||
Keisei Electric Railway Co Ltd | Industrials | 1,493 | 58,127 | 0.14 | ||||||||||
Keihan Holdings Co Ltd | Industrials | 1,166 | 56,733 | 0.14 | ||||||||||
DeNA Co Ltd | Communication Services | 3,518 | 56,707 | 0.14 | ||||||||||
Ezaki Glico Co Ltd | Consumer Staples | 1,259 | 56,259 | 0.14 | ||||||||||
Sohgo Security Services Co Ltd | Industrials | 1,029 | 55,933 | 0.14 | ||||||||||
Rengo Co Ltd | Materials | 7,287 | 55,814 | 0.14 | ||||||||||
Yamazaki Baking Co Ltd | Consumer Staples | 3,077 | 55,078 | 0.14 | ||||||||||
Toho Gas Co Ltd | Utilities | 1,342 | 54,983 | 0.14 | ||||||||||
Kobe Bussan Co Ltd | Consumer Staples | 1,580 | 54,413 | 0.13 | ||||||||||
Nippon Yusen KK | Industrials | 2,989 | 54,382 | 0.13 | ||||||||||
Odakyu Electric Railway Co Ltd | Industrials | 2,319 | 54,323 | 0.13 | ||||||||||
Isetan Mitsukoshi Holdings Ltd | Consumer Discretionary | 5,977 | 54,010 | 0.13 | ||||||||||
Morinaga & Co Ltd/Japan | Consumer Staples | 1,122 | 53,974 | 0.13 | ||||||||||
Kakaku.com Inc | Communication Services | 2,104 | 53,957 | 0.13 | ||||||||||
Rinnai Corp | Consumer Discretionary | 687 | 53,927 | 0.13 | ||||||||||
Keikyu Corp | Industrials | 2,765 | 53,575 | 0.13 | ||||||||||
| 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 | ||||||||||
Nippon Light Metal Holdings Co Ltd | Materials | 24,467 | $ | 53,028 | 0.13 | % | ||||||||
GS Yuasa Corp | Industrials | 2,382 | 51,744 | 0.13 | ||||||||||
Air Water Inc | Materials | 3,496 | 51,375 | 0.13 | ||||||||||
Fuji Oil Holdings Inc | Consumer Staples | 1,900 | 51,230 | 0.13 | ||||||||||
Shochiku Co Ltd | Communication Services | 337 | 51,034 | 0.13 | ||||||||||
Shimachu Co Ltd | Consumer Discretionary | 1,839 | 50,384 | 0.12 | ||||||||||
Topcon Corp | Information Technology | 3,852 | 50,334 | 0.12 | ||||||||||
Sapporo Holdings Ltd | Consumer Staples | 2,114 | 50,060 | 0.12 | ||||||||||
Amano Corp | Information Technology | 1,616 | 49,481 | 0.12 | ||||||||||
Tokyo Century Corp | Financials | 912 | 48,996 | 0.12 | ||||||||||
Fujitsu Ltd | Information Technology | 516 | 48,667 | 0.12 | ||||||||||
Taisei Corp | Industrials | 1,162 | 48,518 | 0.12 | ||||||||||
Yamato Holdings Co Ltd | Industrials | 2,817 | 48,296 | 0.12 | ||||||||||
Asahi Intecc Co Ltd | Health Care | 1,643 | 48,289 | 0.12 | ||||||||||
Obayashi Corp | Industrials | 4,298 | 48,041 | 0.12 | ||||||||||
Maruichi Steel Tube Ltd | Materials | 1,684 | 47,633 | 0.12 | ||||||||||
House Foods Group Inc | Consumer Staples | 1,384 | 47,422 | 0.12 | ||||||||||
Maruha Nichiro Corp | Consumer Staples | 1,834 | 47,086 | 0.12 | ||||||||||
Kinden Corp | Industrials | 3,000 | 46,830 | 0.12 | ||||||||||
Miura Co Ltd | Industrials | 1,336 | 46,623 | 0.12 | ||||||||||
Sankyo Co Ltd | Consumer Discretionary | 1,398 | 46,540 | 0.12 | ||||||||||
Resorttrust Inc | Consumer Discretionary | 2,682 | 45,689 | 0.11 | ||||||||||
Shin-Etsu Chemical Co Ltd | Materials | 408 | 45,232 | 0.11 | ||||||||||
Nippon Television Holdings Inc | Communication Services | 3,338 | 44,823 | 0.11 | ||||||||||
Miraca Holdings Inc | Health Care | 1,814 | 44,696 | 0.11 | ||||||||||
Nankai Electric Railway Co Ltd | Industrials | 1,639 | 44,638 | 0.11 | ||||||||||
Nippon Shokubai Co Ltd | Materials | 703 | 43,824 | 0.11 | ||||||||||
Izumi Co Ltd | Consumer Discretionary | 1,206 | 43,582 | 0.11 | ||||||||||
Seibu Holdings Inc | Industrials | 2,606 | 42,952 | 0.11 | ||||||||||
Acom Co Ltd | Financials | 9,269 | 42,307 | 0.10 | ||||||||||
Daikin Industries Ltd | Industrials | 298 | 42,226 | 0.10 | ||||||||||
Mitsubishi UFJ Financial Group Inc | Financials | 7,725 | 42,085 | 0.10 | ||||||||||
Kyocera Corp | Information Technology | 611 | 41,958 | 0.10 | ||||||||||
Honda Motor Co Ltd | Consumer Discretionary | 1,472 | 41,882 | 0.10 | ||||||||||
Kagome Co Ltd | Consumer Staples | 1,667 | 40,084 | 0.10 | ||||||||||
TS Tech Co Ltd | Consumer Discretionary | 1,258 | 39,581 | 0.10 | ||||||||||
Meitec Corp | Industrials | 688 | 38,880 | 0.10 | ||||||||||
Hitachi High-Technologies Corp | Information Technology | 538 | 38,242 | 0.09 | ||||||||||
Relo Group Inc | Real Estate | 1,325 | 37,119 | 0.09 | ||||||||||
Yakult Honsha Co Ltd | Consumer Staples | 661 | 36,615 | 0.09 | ||||||||||
NHK Spring Co Ltd | Consumer Discretionary | 3,873 | 35,388 | 0.09 | ||||||||||
Shikoku Electric Power Co Inc | Utilities | 3,569 | 35,331 | 0.09 | ||||||||||
Nisshin Seifun Group Inc | Consumer Staples | 1,991 | 34,854 | 0.09 | ||||||||||
Kyudenko Corp | Industrials | 1,172 | 34,807 | 0.09 | ||||||||||
Toho Holdings Co Ltd | Health Care | 1,535 | 34,217 | 0.08 | ||||||||||
Lasertec Corp | Information Technology | 670 | 34,190 | 0.08 | ||||||||||
Mitsubishi Corp | Industrials | 1,274 | 33,930 | 0.08 | ||||||||||
Ariake Japan Co Ltd | Consumer Staples | 454 | 33,927 | 0.08 | ||||||||||
Advantest Corp | Information Technology | 592 | 33,490 | 0.08 | ||||||||||
Hokuriku Electric Power Co | Utilities | 4,444 | 32,489 | 0.08 | ||||||||||
Kaken Pharmaceutical Co Ltd | Health Care | 584 | 32,372 | 0.08 | ||||||||||
Sotetsu Holdings Inc | Industrials | 1,189 | 32,370 | 0.08 | ||||||||||
Lintec Corp | Materials | 1,427 | 32,033 | 0.08 | ||||||||||
Ito En Ltd | Consumer Staples | 634 | 31,927 | 0.08 | ||||||||||
Dowa Holdings Co Ltd | Materials | 849 | 31,765 | 0.08 | ||||||||||
Glory Ltd | Industrials | 1,021 | 31,030 | 0.08 | ||||||||||
H2O Retailing Corp | Consumer Discretionary | 2,728 | 30,744 | 0.08 | ||||||||||
Murata Manufacturing Co Ltd | Information Technology | 492 | 30,505 | 0.08 | ||||||||||
Nippon Kayaku Co Ltd | Materials | 2,432 | 30,268 | 0.08 | ||||||||||
| The accompanying notes are an integral part of these financial statements. | 49 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments(continued)
December 31, 2019
| ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
| Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Autobacs Seven Co Ltd | Consumer Discretionary | 1,907 | $ | 30,119 | 0.07 | % | ||||||||
Megmilk Snow Brand Co Ltd | Consumer Staples | 1,312 | 30,026 | 0.07 | ||||||||||
Hokkaido Electric Power Co Inc | Utilities | 6,059 | 29,492 | 0.07 | ||||||||||
Mitsui & Co Ltd | Industrials | 1,646 | 29,423 | 0.07 | ||||||||||
Daiichikosho Co Ltd | Communication Services | 552 | 29,026 | 0.07 | ||||||||||
Tokai Rika Co Ltd | Consumer Discretionary | 1,469 | 28,960 | 0.07 | ||||||||||
Tokyo Tatemono Co Ltd | Real Estate | 1,842 | 28,910 | 0.07 | ||||||||||
Fujitsu General Ltd | Consumer Discretionary | 1,256 | 28,364 | 0.07 | ||||||||||
Wacoal Holdings Corp | Consumer Discretionary | 1,046 | 28,224 | 0.07 | ||||||||||
Santen Pharmaceutical Co Ltd | Health Care | 1,453 | 27,839 | 0.07 | ||||||||||
Kamigumi Co Ltd | Industrials | 1,234 | 27,178 | 0.07 | ||||||||||
Sanrio Co Ltd | Consumer Discretionary | 1,335 | 26,351 | 0.07 | ||||||||||
Kobayashi Pharmaceutical Co Ltd | Consumer Staples | 308 | 26,186 | 0.06 | ||||||||||
Ibiden Co Ltd | Information Technology | 1,088 | 26,019 | 0.06 | ||||||||||
FP Corp | Materials | 433 | 25,819 | 0.06 | ||||||||||
Japan Post Holdings Co Ltd | Financials | 2,685 | 25,301 | 0.06 | ||||||||||
Nipro Corp | Health Care | 2,055 | 24,820 | 0.06 | ||||||||||
Mani Inc | Health Care | 854 | 24,548 | 0.06 | ||||||||||
Tsumura & Co | Health Care | 824 | 24,279 | 0.06 | ||||||||||
Marubeni Corp | Industrials | 3,216 | 23,941 | 0.06 | ||||||||||
Open House Co Ltd | Real Estate | 797 | 22,915 | 0.06 | ||||||||||
Iwatani Corp | Energy | 648 | 22,094 | 0.05 | ||||||||||
Nagase & Co Ltd | Industrials | 1,451 | 21,718 | 0.05 | ||||||||||
Aozora Bank Ltd | Financials | 814 | 21,622 | 0.05 | ||||||||||
Tokyu Fudosan Holdings Corp | Real Estate | 3,114 | 21,591 | 0.05 | ||||||||||
Toyota Industries Corp | Consumer Discretionary | 367 | 21,346 | 0.05 | ||||||||||
Colowide Co Ltd | Consumer Discretionary | 1,027 | 21,329 | 0.05 | ||||||||||
Sumitomo Corp | Industrials | 1,427 | 21,285 | 0.05 | ||||||||||
Oki Electric Industry Co Ltd | Information Technology | 1,522 | 21,232 | 0.05 | ||||||||||
Horiba Ltd | Information Technology | 306 | 20,625 | 0.05 | ||||||||||
Tokyo Ohka Kogyo Co Ltd | Materials | 522 | 20,518 | 0.05 | ||||||||||
TV Asahi Holdings Corp | Communication Services | 1,086 | 20,209 | 0.05 | ||||||||||
Nishi-Nippon Railroad Co Ltd | Industrials | 873 | 20,199 | 0.05 | ||||||||||
Toppan Printing Co Ltd | Industrials | 971 | 20,166 | 0.05 | ||||||||||
Mitsubishi UFJ Lease & Finance Co Ltd | Financials | 3,036 | 19,682 | 0.05 | ||||||||||
PeptiDream Inc | Health Care | 368 | 18,946 | 0.05 | ||||||||||
Japan Post Insurance Co Ltd | Financials | 1,099 | 18,796 | 0.05 | ||||||||||
Toyobo Co Ltd | Materials | 1,219 | 18,654 | 0.05 | ||||||||||
Toyota Tsusho Corp | Industrials | 524 | 18,589 | 0.05 | ||||||||||
Okumura Corp | Industrials | 670 | 18,521 | 0.05 | ||||||||||
Duskin Co Ltd | Industrials | 666 | 18,502 | 0.05 | ||||||||||
Sangetsu Corp | Consumer Discretionary | 968 | 18,374 | 0.05 | ||||||||||
Kokuyo Co Ltd | Industrials | 1,192 | 17,887 | 0.04 | ||||||||||
Sojitz Corp | Industrials | 5,422 | 17,527 | 0.04 | ||||||||||
Taiyo Nippon Sanso Corp | Materials | 782 | 17,446 | 0.04 | ||||||||||
Hokuhoku Financial Group Inc | Financials | 1,635 | 17,295 | 0.04 | ||||||||||
Brother Industries Ltd | Information Technology | 829 | 17,285 | 0.04 | ||||||||||
Nippon Electric Glass Co Ltd | Information Technology | 770 | 17,261 | 0.04 | ||||||||||
Mochida Pharmaceutical Co Ltd | Health Care | 426 | 17,253 | 0.04 | ||||||||||
Daishi Hokuetsu Financial Group Inc | Financials | 609 | 17,052 | 0.04 | ||||||||||
Hanwa Co Ltd | Industrials | 644 | 17,026 | 0.04 | ||||||||||
J Front Retailing Co Ltd | Consumer Discretionary | 1,209 | 16,990 | 0.04 | ||||||||||
Nexon Co Ltd | Communication Services | 1,241 | 16,528 | 0.04 | ||||||||||
Sumitomo Mitsui Trust Holdings Inc | Financials | 410 | 16,346 | 0.04 | ||||||||||
Taiyo Yuden Co Ltd | Information Technology | 515 | 15,874 | 0.04 | ||||||||||
TDK Corp | Information Technology | 138 | 15,748 | 0.04 | ||||||||||
Ushio Inc | Industrials | 1,048 | 15,630 | 0.04 | ||||||||||
CyberAgent Inc | Communication Services | 441 | 15,458 | 0.04 | ||||||||||
Taisho Pharmaceutical Holdings Co Ltd | Health Care | 206 | 15,343 | 0.04 | ||||||||||
| 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)
| Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Toyoda Gosei Co Ltd | Consumer Discretionary | 606 | $ | 15,276 | 0.04 | % | ||||||||
Suzuken Co Ltd/Aichi Japan | Health Care | 360 | 14,762 | 0.04 | ||||||||||
Zeon Corp | Materials | 1,174 | 14,732 | 0.04 | ||||||||||
SCREEN Holdings Co Ltd | Information Technology | 212 | 14,555 | 0.04 | ||||||||||
Nishi-Nippon Financial Holdings Inc | Financials | 1,837 | 14,456 | 0.04 | ||||||||||
GMO Payment Gateway Inc | Information Technology | 199 | 13,656 | 0.03 | ||||||||||
Kissei Pharmaceutical Co Ltd | Health Care | 476 | 13,650 | 0.03 | ||||||||||
Sumitomo Electric Industries Ltd | Consumer Discretionary | 887 | 13,460 | 0.03 | ||||||||||
Medipal Holdings Corp | Health Care | 600 | 13,305 | 0.03 | ||||||||||
PALTAC CORPORATION | Consumer Discretionary | 276 | 13,282 | 0.03 | ||||||||||
Mitsui OSK Lines Ltd | Industrials | 478 | 13,279 | 0.03 | ||||||||||
Dai Nippon Printing Co Ltd | Industrials | 487 | 13,244 | 0.03 | ||||||||||
Hiroshima Bank Ltd/The | Financials | 2,571 | 12,657 | 0.03 | ||||||||||
Rakuten Inc | Consumer Discretionary | 1,465 | 12,581 | 0.03 | ||||||||||
USS Co Ltd | Consumer Discretionary | 651 | 12,348 | 0.03 | ||||||||||
Ricoh Co Ltd | Information Technology | 1,112 | 12,177 | 0.03 | ||||||||||
Hirose Electric Co Ltd | Information Technology | 92 | 11,854 | 0.03 | ||||||||||
Nishimatsu Construction Co Ltd | Industrials | 516 | 11,696 | 0.03 | ||||||||||
Cosmo Energy Holdings Co Ltd | Energy | 491 | 11,336 | 0.03 | ||||||||||
Ulvac Inc | Information Technology | 281 | 11,205 | 0.03 | ||||||||||
Yaskawa Electric Corp | Information Technology | 280 | 10,738 | 0.03 | ||||||||||
Fancl Corp | Consumer Staples | 382 | 10,205 | 0.03 | ||||||||||
Mebuki Financial Group Inc | Financials | 3,788 | 9,741 | 0.02 | ||||||||||
Hakuhodo DY Holdings Inc | Communication Services | 590 | 9,586 | 0.02 | ||||||||||
Maeda Road Construction Co Ltd | Industrials | 389 | 9,548 | 0.02 | ||||||||||
Konica Minolta Inc | Information Technology | 1,354 | 8,868 | 0.02 | ||||||||||
Mitsubishi Materials Corp | Materials | 322 | 8,793 | 0.02 | ||||||||||
Resona Holdings Inc | Financials | 1,886 | 8,296 | 0.02 | ||||||||||
Isuzu Motors Ltd | Consumer Discretionary | 678 | 8,088 | 0.02 | ||||||||||
Ube Industries Ltd | Materials | 348 | 7,603 | 0.02 | ||||||||||
Showa Denko KK | Materials | 285 | 7,593 | 0.02 | ||||||||||
Yamaguchi Financial Group Inc | Financials | 1,108 | 7,573 | 0.02 | ||||||||||
Anritsu Corp | Information Technology | 362 | 7,207 | 0.02 | ||||||||||
Nisshinbo Holdings Inc | Industrials | 743 | 7,129 | 0.02 | ||||||||||
77 Bank Ltd/The | Financials | 387 | 6,508 | 0.02 | ||||||||||
Sankyu Inc | Industrials | 126 | 6,385 | 0.02 | ||||||||||
Persol Holdings Co Ltd | Industrials | 331 | 6,231 | 0.02 | ||||||||||
Nabtesco Corp | Industrials | 205 | 6,153 | 0.02 | ||||||||||
Shinsei Bank Ltd | Financials | 382 | 5,870 | 0.01 | ||||||||||
Sumitomo Chemical Co Ltd | Materials | 1,224 | 5,598 | 0.01 | ||||||||||
OKUMA Corp | Industrials | 103 | 5,497 | 0.01 | ||||||||||
TechnoPro Holdings Inc | Industrials | 78 | 5,480 | 0.01 | ||||||||||
Yamato Kogyo Co Ltd | Materials | 209 | 5,258 | 0.01 | ||||||||||
Sumitomo Metal Mining Co Ltd | Materials | 161 | 5,247 | 0.01 | ||||||||||
Tokai Carbon Co Ltd | Materials | 456 | 4,586 | 0.01 | ||||||||||
Rohm Co Ltd | Information Technology | 56 | 4,515 | 0.01 | ||||||||||
THK Co Ltd | Industrials | 162 | 4,427 | 0.01 | ||||||||||
Alfresa Holdings Corp | Health Care | 204 | 4,166 | 0.01 | ||||||||||
Matsui Securities Co Ltd | Financials | 479 | 3,811 | 0.01 | ||||||||||
Kyowa Kirin Co Ltd | Health Care | 154 | 3,639 | 0.01 | ||||||||||
SUMCO Corp | Information Technology | 186 | 3,112 | 0.01 | ||||||||||
Fuji Electric Co Ltd | Industrials | 92 | 2,839 | 0.01 | ||||||||||
Seino Holdings Co Ltd | Industrials | 195 | 2,642 | 0.01 | ||||||||||
Gunma Bank Ltd/The | Financials | 728 | 2,582 | 0.01 | ||||||||||
Oji Holdings Corp | Materials | 452 | 2,472 | 0.01 | ||||||||||
Credit Saison Co Ltd | Financials | 137 | 2,388 | 0.01 | ||||||||||
Nachi-Fujikoshi Corp | Industrials | 36 | 1,592 | 0.00 | ||||||||||
Citizen Watch Co Ltd | Information Technology | 284 | 1,557 | 0.00 | ||||||||||
Toda Corp | Industrials | 207 | 1,381 | 0.00 | ||||||||||
| The accompanying notes are an integral part of these financial statements. | 51 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments(continued)
December 31, 2019
| ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
A basket (JPGSFDEU) of common stocks
| Common Stocks | Sector | Shares | Value | Weight | ||||||||||
TOTAL SA | Energy | 21,171 | $ | 1,169,638 | 2.96 | % | ||||||||
SAP SE | Information Technology | 8,575 | 1,158,491 | 2.93 | ||||||||||
Bayer AG | Health Care | 11,200 | 915,727 | 2.32 | ||||||||||
Allianz SE | Financials | 3,723 | 913,106 | 2.31 | ||||||||||
Enel SpA | Utilities | 111,274 | 883,639 | 2.24 | ||||||||||
L’Oreal SA | Consumer Staples | 2,901 | 860,092 | 2.18 | ||||||||||
Nokia Oyj | Information Technology | 216,329 | 800,657 | 2.03 | ||||||||||
Anheuser-Busch InBev SA/NV | Consumer Staples | 9,573 | 781,609 | 1.98 | ||||||||||
adidas AG | Consumer Discretionary | 2,359 | 767,717 | 1.94 | ||||||||||
Air Liquide SA | Materials | 5,374 | 761,515 | 1.93 | ||||||||||
Industria de Diseno Textil SA | Consumer Discretionary | 21,096 | 745,018 | 1.89 | ||||||||||
Deutsche Boerse AG | Financials | 4,571 | 719,319 | 1.82 | ||||||||||
Deutsche Telekom AG | Communication Services | 42,262 | 691,441 | 1.75 | ||||||||||
Airbus SE | Industrials | 4,366 | 639,623 | 1.62 | ||||||||||
Schneider Electric SE | Industrials | 5,117 | 525,765 | 1.33 | ||||||||||
Kering SA | Consumer Discretionary | 798 | 524,120 | 1.33 | ||||||||||
KBC Group NV | Financials | 6,412 | 482,871 | 1.22 | ||||||||||
Akzo Nobel NV | Materials | 4,704 | 478,818 | 1.21 | ||||||||||
Peugeot SA | Consumer Discretionary | 19,988 | 478,076 | 1.21 | ||||||||||
Covestro AG | Materials | 8,811 | 410,123 | 1.04 | ||||||||||
CRH PLC | Materials | 10,014 | 401,117 | 1.01 | ||||||||||
Sanofi | Health Care | 3,904 | 392,852 | 0.99 | ||||||||||
Banco Bilbao Vizcaya Argentaria SA | Financials | 69,657 | 389,758 | 0.99 | ||||||||||
Iberdrola SA | Utilities | 36,789 | 379,229 | 0.96 | ||||||||||
Eni SpA | Energy | 24,116 | 374,945 | 0.95 | ||||||||||
Deutsche Post AG | Industrials | 9,681 | 369,714 | 0.94 | ||||||||||
UniCredit SpA | Financials | 25,268 | 369,419 | 0.93 | ||||||||||
Merck KGaA | Health Care | 3,120 | 369,097 | 0.93 | ||||||||||
Unilever NV | Consumer Staples | 5,961 | 342,899 | 0.87 | ||||||||||
Michelin | Consumer Discretionary | 2,768 | 339,154 | 0.86 | ||||||||||
HeidelbergCement AG | Materials | 4,636 | 338,170 | 0.86 | ||||||||||
Beiersdorf AG | Consumer Staples | 2,799 | 335,194 | 0.85 | ||||||||||
Atos SE | Information Technology | 3,900 | 325,494 | 0.82 | ||||||||||
Wolters Kluwer NV | Industrials | 4,379 | 319,721 | 0.81 | ||||||||||
Continental AG | Consumer Discretionary | 2,445 | 316,491 | 0.80 | ||||||||||
Danone SA | Consumer Staples | 3,762 | 312,174 | 0.79 | ||||||||||
Valeo SA | Consumer Discretionary | 8,281 | 292,056 | 0.74 | ||||||||||
Neste Oyj | Energy | 8,102 | 282,211 | 0.71 | ||||||||||
Cie de Saint-Gobain | Industrials | 6,806 | 278,945 | 0.71 | ||||||||||
FinecoBank Banca Fineco SpA | Financials | 22,344 | 268,208 | 0.68 | ||||||||||
Fortum Oyj | Utilities | 10,183 | 251,548 | 0.64 | ||||||||||
Ubisoft Entertainment SA | Communication Services | 3,609 | 249,523 | 0.63 | ||||||||||
Legrand SA | Industrials | 2,999 | 244,631 | 0.62 | ||||||||||
Munich Re | Financials | 820 | 242,055 | 0.61 | ||||||||||
Vonovia SE | Real Estate | 4,460 | 240,382 | 0.61 | ||||||||||
Sampo Oyj | Financials | 5,439 | 237,627 | 0.60 | ||||||||||
Faurecia SE | Consumer Discretionary | 4,318 | 232,883 | 0.59 | ||||||||||
Fiat Chrysler Automobiles NV | Consumer Discretionary | 15,474 | 229,256 | 0.58 | ||||||||||
Veolia Environnement SA | Utilities | 8,560 | 227,909 | 0.58 | ||||||||||
Accor SA | Consumer Discretionary | 4,809 | 225,459 | 0.57 | ||||||||||
Prysmian SpA | Industrials | 9,329 | 225,117 | 0.57 | ||||||||||
Deutsche Lufthansa AG | Industrials | 12,006 | 221,235 | 0.56 | ||||||||||
Poste Italiane SpA | Financials | 19,411 | 220,586 | 0.56 | ||||||||||
Koninklijke Ahold Delhaize NV | Consumer Staples | 8,331 | 208,570 | 0.53 | ||||||||||
Pernod Ricard SA | Consumer Staples | 1,159 | 207,435 | 0.52 | ||||||||||
Saipem SpA | Energy | 41,454 | 202,770 | 0.51 | ||||||||||
Endesa SA | Utilities | 7,381 | 197,172 | 0.50 | ||||||||||
| 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 | ||||||||||
EssilorLuxottica SA | Consumer Discretionary | 1,291 | $ | 196,935 | 0.50 | % | ||||||||
Randstad NV | Industrials | 3,177 | 194,205 | 0.49 | ||||||||||
Heineken NV | Consumer Staples | 1,801 | 191,938 | 0.49 | ||||||||||
Zalando SE | Consumer Discretionary | 3,754 | 190,461 | 0.48 | ||||||||||
Hannover Rueck SE | Financials | 982 | 189,980 | 0.48 | ||||||||||
Evonik Industries AG | Materials | 6,194 | 189,245 | 0.48 | ||||||||||
Erste Group Bank AG | Financials | 4,973 | 187,406 | 0.47 | ||||||||||
UCB SA | Health Care | 2,343 | 186,562 | 0.47 | ||||||||||
Kerry Group PLC | Consumer Staples | 1,490 | 185,895 | 0.47 | ||||||||||
Deutsche Wohnen SE | Real Estate | 4,542 | 185,740 | 0.47 | ||||||||||
Snam SpA | Utilities | 34,878 | 183,523 | 0.46 | ||||||||||
Hermes International | Consumer Discretionary | 242 | 180,966 | 0.46 | ||||||||||
Terna Rete Elettrica Nazionale SpA | Utilities | 26,893 | 179,796 | 0.45 | ||||||||||
Red Electrica Corp SA | Utilities | 8,926 | 179,667 | 0.45 | ||||||||||
Suez | Utilities | 11,694 | 177,067 | 0.45 | ||||||||||
AirFrance-KLM | Industrials | 15,130 | 168,604 | 0.43 | ||||||||||
Koninklijke KPN NV | Communication Services | 55,185 | 163,034 | 0.41 | ||||||||||
Amplifon SpA | Health Care | 5,535 | 159,345 | 0.40 | ||||||||||
EXOR NV | Financials | 2,048 | 158,901 | 0.40 | ||||||||||
Pirelli & C SpA | Consumer Discretionary | 27,245 | 157,249 | 0.40 | ||||||||||
Fresenius Medical Care AG & Co KGaA | Health Care | 2,011 | 148,919 | 0.38 | ||||||||||
Brenntag AG | Industrials | 2,726 | 148,372 | 0.38 | ||||||||||
Enagas SA | Utilities | 5,733 | 146,384 | 0.37 | ||||||||||
Solvay SA | Materials | 1,260 | 146,128 | 0.37 | ||||||||||
A2A SpA | Utilities | 77,787 | 146,045 | 0.37 | ||||||||||
Bankinter SA | Financials | 19,770 | 145,011 | 0.37 | ||||||||||
MorphoSys AG | Health Care | 971 | 138,215 | 0.35 | ||||||||||
LANXESS AG | Materials | 2,026 | 136,121 | 0.34 | ||||||||||
Davide Campari-Milano SpA | Consumer Staples | 14,713 | 134,484 | 0.34 | ||||||||||
Proximus SADP | Communication Services | 4,679 | 134,071 | 0.34 | ||||||||||
Moncler SpA | Consumer Discretionary | 2,949 | 132,701 | 0.34 | ||||||||||
Smurfit Kappa Group PLC | Materials | 3,397 | 130,675 | 0.33 | ||||||||||
LEG Immobilien AG | Real Estate | 1,088 | 128,930 | 0.33 | ||||||||||
Bureau Veritas SA | Industrials | 4,930 | 128,768 | 0.33 | ||||||||||
Symrise AG | Materials | 1,222 | 128,701 | 0.33 | ||||||||||
DiaSorin SpA | Health Care | 989 | 128,142 | 0.32 | ||||||||||
Elisa Oyj | Communication Services | 2,308 | 127,627 | 0.32 | ||||||||||
Puma SE | Consumer Discretionary | 1,662 | 127,593 | 0.32 | ||||||||||
Gecina SA | Real Estate | 699 | 125,282 | 0.32 | ||||||||||
Ryanair Holdings PLC | Industrials | 7,612 | 125,050 | 0.32 | ||||||||||
Orange SA | Communication Services | 8,417 | 124,008 | 0.31 | ||||||||||
Thales SA | Industrials | 1,180 | 122,569 | 0.31 | ||||||||||
EDP—Energias de Portugal SA | Utilities | 28,245 | 122,551 | 0.31 | ||||||||||
HOCHTIEF AG | Industrials | 954 | 121,814 | 0.31 | ||||||||||
Kingspan Group PLC | Industrials | 1,961 | 119,909 | 0.30 | ||||||||||
Signify NV | Industrials | 3,799 | 118,837 | 0.30 | ||||||||||
Amadeus IT Group SA | Information Technology | 1,427 | 116,693 | 0.30 | ||||||||||
Dassault Systemes SE | Information Technology | 707 | 116,373 | 0.29 | ||||||||||
Recordati SpA | Health Care | 2,744 | 115,765 | 0.29 | ||||||||||
Sodexo SA | Consumer Discretionary | 965 | 114,519 | 0.29 | ||||||||||
Orpea | Health Care | 886 | 113,678 | 0.29 | ||||||||||
Rheinmetall AG | Industrials | 978 | 112,507 | 0.28 | ||||||||||
Ferrovial SA | Industrials | 3,676 | 111,331 | 0.28 | ||||||||||
KION Group AG | Industrials | 1,521 | 105,114 | 0.27 | ||||||||||
Carl Zeiss Meditec AG | Health Care | 803 | 102,524 | 0.26 | ||||||||||
Kesko Oyj | Consumer Staples | 1,429 | 101,222 | 0.26 | ||||||||||
ASR Nederland NV | Financials | 2,652 | 99,362 | 0.25 | ||||||||||
Orion Oyj | Health Care | 2,136 | 98,979 | 0.25 | ||||||||||
Aalberts NV | Industrials | 2,197 | 98,717 | 0.25 | ||||||||||
| The accompanying notes are an integral part of these financial statements. | 53 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments(continued)
December 31, 2019
| ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
| Common Stocks | Sector | Shares | Value | Weight | ||||||||||
ASML Holding NV | Information Technology | 330 | $ | 97,606 | 0.25 | % | ||||||||
Merlin Properties Socimi SA | Real Estate | 6,791 | 97,534 | 0.25 | ||||||||||
Naturgy Energy Group SA | Utilities | 3,811 | 95,858 | 0.24 | ||||||||||
GEA Group AG | Industrials | 2,839 | 93,984 | 0.24 | ||||||||||
Knorr-Bremse AG | Industrials | 920 | 93,800 | 0.24 | ||||||||||
Telefonica Deutschland Holding AG | Communication Services | 32,007 | 92,870 | 0.23 | ||||||||||
Teleperformance | Industrials | 371 | 90,657 | 0.23 | ||||||||||
LVMH Moet Hennessy Louis Vuitton SE | Consumer Discretionary | 190 | 88,428 | �� | 0.22 | |||||||||
Covivio | Real Estate | 766 | 87,036 | 0.22 | ||||||||||
Eutelsat Communications SA | Communication Services | 5,279 | 85,901 | 0.22 | ||||||||||
E.ON SE | Utilities | 7,715 | 82,506 | 0.21 | ||||||||||
Hera SpA | Utilities | 18,833 | 82,473 | 0.21 | ||||||||||
Alstom SA | Industrials | 1,732 | 82,131 | 0.21 | ||||||||||
Italgas SpA | Utilities | 13,114 | 80,169 | 0.20 | ||||||||||
Aroundtown SA | Real Estate | 8,919 | 79,960 | 0.20 | ||||||||||
NN Group NV | Financials | 2,101 | 79,790 | 0.20 | ||||||||||
Jeronimo Martins SGPS SA | Consumer Staples | 4,835 | 79,627 | 0.20 | ||||||||||
Heineken Holding NV | Consumer Staples | 818 | 79,406 | 0.20 | ||||||||||
Valmet Oyj | Industrials | 3,310 | 79,395 | 0.20 | ||||||||||
Flutter Entertainment PLC | Consumer Discretionary | 639 | 77,717 | 0.20 | ||||||||||
Klepierre SA | Real Estate | 2,014 | 76,571 | 0.19 | ||||||||||
Ingenico Group SA | Information Technology | 702 | 76,280 | 0.19 | ||||||||||
CTS Eventim AG & Co KGaA | Communication Services | 1,194 | 75,130 | 0.19 | ||||||||||
RTL Group SA | Communication Services | 1,497 | 73,913 | 0.19 | ||||||||||
Aeroports de Paris | Industrials | 372 | 73,511 | 0.19 | ||||||||||
Publicis Groupe SA | Communication Services | 1,617 | 73,276 | 0.19 | ||||||||||
ANDRITZ AG | Industrials | 1,692 | 72,967 | 0.18 | ||||||||||
Fraport AG Frankfurt Airport Services Wo | Industrials | 855 | 72,737 | 0.18 | ||||||||||
Vinci SA | Industrials | 652 | 72,429 | 0.18 | ||||||||||
Euronext NV | Financials | 866 | 70,615 | 0.18 | ||||||||||
HUGO BOSS AG | Consumer Discretionary | 1,451 | 70,488 | 0.18 | ||||||||||
Ageas | Financials | 1,189 | 70,315 | 0.18 | ||||||||||
TAG Immobilien AG | Real Estate | 2,823 | 70,244 | 0.18 | ||||||||||
Linde PLC | Materials | 324 | 69,464 | 0.18 | ||||||||||
alstria officeREIT-AG | Real Estate | 3,634 | 68,351 | 0.17 | ||||||||||
Huhtamaki Oyj | Materials | 1,431 | 66,509 | 0.17 | ||||||||||
voestalpine AG | Materials | 2,344 | 65,447 | 0.17 | ||||||||||
Ipsen SA | Health Care | 721 | 63,933 | 0.16 | ||||||||||
Grifols SA | Health Care | 1,773 | 62,559 | 0.16 | ||||||||||
Colruyt SA | Consumer Staples | 1,163 | 60,689 | 0.15 | ||||||||||
BioMerieux | Health Care | 675 | 60,187 | 0.15 | ||||||||||
Rubis SCA | Utilities | 958 | 58,895 | 0.15 | ||||||||||
Getlink SE | Industrials | 3,355 | 58,439 | 0.15 | ||||||||||
Inmobiliaria Colonial Socimi SA | Real Estate | 4,579 | 58,414 | 0.15 | ||||||||||
Assicurazioni Generali SpA | Financials | 2,816 | 58,173 | 0.15 | ||||||||||
QIAGEN NV | Health Care | 1,681 | 57,509 | 0.15 | ||||||||||
Verbund AG | Utilities | 1,130 | 56,766 | 0.14 | ||||||||||
ICADE | Real Estate | 507 | 55,294 | 0.14 | ||||||||||
Warehouses De Pauw CVA | Real Estate | 275 | 50,113 | 0.13 | ||||||||||
ASM International NV | Information Technology | 435 | 48,933 | 0.12 | ||||||||||
GRENKE AG | Financials | 462 | 47,876 | 0.12 | ||||||||||
Gerresheimer AG | Health Care | 614 | 47,576 | 0.12 | ||||||||||
Cellnex Telecom SA | Communication Services | 1,058 | 45,587 | 0.12 | ||||||||||
IMCD NV | Industrials | 507 | 44,292 | 0.11 | ||||||||||
Dialog Semiconductor PLC | Information Technology | 849 | 42,985 | 0.11 | ||||||||||
Ferrari NV | Consumer Discretionary | 258 | 42,871 | 0.11 | ||||||||||
Dassault Aviation SA | Industrials | 32 | 42,646 | 0.11 | ||||||||||
Telenet Group Holding NV | Communication Services | 940 | 42,293 | 0.11 | ||||||||||
RWE AG | Utilities | 1,331 | 40,885 | 0.10 | ||||||||||
| 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 | ||||||||||
Koninklijke DSM NV | Materials | 313 | $ | 40,857 | 0.10 | % | ||||||||
Remy Cointreau SA | Consumer Staples | 330 | 40,578 | 0.10 | ||||||||||
Sartorius Stedim Biotech | Health Care | 237 | 39,352 | 0.10 | ||||||||||
Grand City Properties SA | Real Estate | 1,630 | 39,123 | 0.10 | ||||||||||
Fresenius SE & Co KGaA | Health Care | 689 | 38,824 | 0.10 | ||||||||||
Siemens AG | Industrials | 295 | 38,635 | 0.10 | ||||||||||
Cofinimmo SA | Real Estate | 254 | 37,347 | 0.09 | ||||||||||
Elis SA | Industrials | 1,789 | 37,168 | 0.09 | ||||||||||
Banco Santander SA | Financials | 8,781 | 36,777 | 0.09 | ||||||||||
Engie SA | Utilities | 2,258 | 36,510 | 0.09 | ||||||||||
Lagardere SCA | Communication Services | 1,639 | 35,757 | 0.09 | ||||||||||
Aena SME SA | Industrials | 185 | 35,365 | 0.09 | ||||||||||
Alten SA | Information Technology | 274 | 34,611 | 0.09 | ||||||||||
Aedifica SA | Real Estate | 257 | 32,714 | 0.08 | ||||||||||
Societe Generale SA | Financials | 929 | 32,354 | 0.08 | ||||||||||
MTU Aero Engines AG | Industrials | 111 | 31,818 | 0.08 | ||||||||||
Sofina SA | Financials | 146 | 31,675 | 0.08 | ||||||||||
Glanbia PLC | Consumer Staples | 2,676 | 30,831 | 0.08 | ||||||||||
STMicroelectronics NV | Information Technology | 1,109 | 29,862 | 0.08 | ||||||||||
Altice Europe NV | Communication Services | 4,542 | 29,314 | 0.07 | ||||||||||
Wienerberger AG | Materials | 983 | 29,165 | 0.07 | ||||||||||
Commerzbank AG | Financials | 4,689 | 29,046 | 0.07 | ||||||||||
Mediobanca Banca di Credito Finanziario | Financials | 2,630 | 28,980 | 0.07 | ||||||||||
BNP Paribas SA | Financials | 484 | 28,701 | 0.07 | ||||||||||
Kone Oyj | Industrials | 419 | 27,439 | 0.07 | ||||||||||
Koninklijke Vopak NV | Energy | 491 | 26,655 | 0.07 | ||||||||||
Ackermans & van Haaren NV | Financials | 169 | 26,551 | 0.07 | ||||||||||
Atlantia SpA | Industrials | 1,128 | 26,342 | 0.07 | ||||||||||
CNP Assurances | Financials | 1,233 | 24,558 | 0.06 | ||||||||||
Koninklijke Philips NV | Health Care | 492 | 24,040 | 0.06 | ||||||||||
Carrefour SA | Consumer Staples | 1,418 | 23,802 | 0.06 | ||||||||||
Banco de Sabadell SA | Financials | 19,942 | 23,288 | 0.06 | ||||||||||
IMMOFINANZ AG | Real Estate | 864 | 23,200 | 0.06 | ||||||||||
Elia System Operator SA/NV | Utilities | 254 | 22,551 | 0.06 | ||||||||||
Daimler AG | Consumer Discretionary | 383 | 21,230 | 0.05 | ||||||||||
ArcelorMittal SA | Materials | 1,193 | 20,960 | 0.05 | ||||||||||
Amundi SA | Financials | 249 | 19,564 | 0.05 | ||||||||||
Capgemini SE | Information Technology | 160 | 19,516 | 0.05 | ||||||||||
Telefonica SA | Communication Services | 2,766 | 19,344 | 0.05 | ||||||||||
Repsol SA | Energy | 1,233 | 19,282 | 0.05 | ||||||||||
Edenred | Industrials | 372 | 19,264 | 0.05 | ||||||||||
Unione di Banche Italiane SpA | Financials | 5,866 | 19,182 | 0.05 | ||||||||||
METRO AG | Consumer Staples | 1,171 | 18,861 | 0.05 | ||||||||||
Kojamo Oyj | Real Estate | 1,008 | 18,333 | 0.05 | ||||||||||
Telecom Italia SpA/Milano | Communication Services | 29,208 | 18,249 | 0.05 | ||||||||||
Credit Agricole SA | Financials | 1,130 | 16,399 | 0.04 | ||||||||||
Hella GmbH & Co KGaA | Consumer Discretionary | 290 | 16,057 | 0.04 | ||||||||||
Sopra Steria Group | Information Technology | 99 | 16,003 | 0.04 | ||||||||||
Nexi SpA | Information Technology | 1,096 | 15,241 | 0.04 | ||||||||||
Eiffage SA | Industrials | 131 | 15,048 | 0.04 | ||||||||||
Bechtle AG | Information Technology | 104 | 14,669 | 0.04 | ||||||||||
ACS Actividades de Construccion y Servic | Industrials | 365 | 14,603 | 0.04 | ||||||||||
K+S AG | Materials | 1,165 | 14,547 | 0.04 | ||||||||||
Iliad SA | Communication Services | 109 | 14,139 | 0.04 | ||||||||||
Arkema SA | Materials | 128 | 13,560 | 0.03 | ||||||||||
Bollore SA | Industrials | 3,088 | 13,487 | 0.03 | ||||||||||
UPM-Kymmene Oyj | Materials | 373 | 12,943 | 0.03 | ||||||||||
Bayerische Motoren Werke AG | Consumer Discretionary | 144 | 11,807 | 0.03 | ||||||||||
Infineon Technologies AG | Information Technology | 481 | 10,981 | 0.03 | ||||||||||
| The accompanying notes are an integral part of these financial statements. | 55 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments(continued)
December 31, 2019
| ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
| Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Stora Enso Oyj | Materials | 742 | $ | 10,807 | 0.03 | % | ||||||||
Aegon NV | Financials | 2,332 | 10,651 | 0.03 | ||||||||||
SPIE SA | Industrials | 514 | 10,473 | 0.03 | ||||||||||
SEB SA | Consumer Discretionary | 68 | 10,111 | 0.03 | ||||||||||
Galapagos NV | Health Care | 47 | 9,792 | 0.02 | ||||||||||
Renault SA | Consumer Discretionary | 191 | 9,042 | 0.02 | ||||||||||
JCDecaux SA | Communication Services | 251 | 7,739 | 0.02 | ||||||||||
Natixis SA | Financials | 1,730 | 7,691 | 0.02 | ||||||||||
Konecranes Oyj | Industrials | 235 | 7,229 | 0.02 | ||||||||||
Worldline SA/France | Information Technology | 100 | 7,070 | 0.02 | ||||||||||
Raiffeisen Bank International AG | Financials | 244 | 6,131 | 0.02 | ||||||||||
Casino Guichard Perrachon SA | Consumer Staples | 110 | 5,157 | 0.01 | ||||||||||
Rexel SA | Industrials | 381 | 5,068 | 0.01 | ||||||||||
ProSiebenSat.1 Media SE | Communication Services | 299 | 4,678 | 0.01 | ||||||||||
Electricite de France SA | Utilities | 378 | 4,213 | 0.01 | ||||||||||
Scout24 AG | Communication Services | 59 | 3,914 | 0.01 | ||||||||||
Bank of Ireland Group PLC | Financials | 664 | 3,638 | 0.01 | ||||||||||
A basket (JPGSFDUK) of common stocks
| Common Stocks | Sector | Shares | Value | Weight | ||||||||||
GlaxoSmithKline PLC | Health Care | 26,439 | $ | 623,825 | 7.44 | % | ||||||||
Royal Dutch Shell PLC | Energy | 15,555 | 461,089 | 5.50 | ||||||||||
Diageo PLC | Consumer Staples | 7,778 | 330,182 | 3.94 | ||||||||||
Unilever PLC | Consumer Staples | 4,041 | 233,144 | 2.78 | ||||||||||
Vodafone Group PLC | Communication Services | 82,281 | 160,161 | 1.91 | ||||||||||
RELX PLC | Industrials | 6,027 | 152,329 | 1.82 | ||||||||||
AstraZeneca PLC | Health Care | 1,459 | 147,207 | 1.76 | ||||||||||
Compass Group PLC | Consumer Discretionary | 5,744 | 143,998 | 1.72 | ||||||||||
HSBC Holdings PLC | Financials | 15,594 | 122,421 | 1.46 | ||||||||||
CRH PLC | Materials | 2,957 | 119,284 | 1.42 | ||||||||||
SSE PLC | Utilities | 6,033 | 115,106 | 1.37 | ||||||||||
British American Tobacco PLC | Consumer Staples | 2,491 | 106,744 | 1.27 | ||||||||||
J Sainsbury PLC | Consumer Staples | 32,869 | 100,223 | 1.20 | ||||||||||
Smith & Nephew PLC | Health Care | 3,959 | 96,215 | 1.15 | ||||||||||
Aviva PLC | Financials | 17,153 | 95,252 | 1.14 | ||||||||||
Legal & General Group PLC | Financials | 23,202 | 93,243 | 1.11 | ||||||||||
M&G PLC | Financials | 26,892 | 84,601 | 1.01 | ||||||||||
BHP Group PLC | Materials | 3,535 | 83,310 | 0.99 | ||||||||||
Ferguson PLC | Industrials | 916 | 83,242 | 0.99 | ||||||||||
Polymetal International PLC | Materials | 4,848 | 76,845 | 0.92 | ||||||||||
United Utilities Group PLC | Utilities | 6,052 | 75,718 | 0.90 | ||||||||||
Centrica PLC | Utilities | 63,883 | 75,663 | 0.90 | ||||||||||
Tesco PLC | Consumer Staples | 22,283 | 75,422 | 0.90 | ||||||||||
Reckitt Benckiser Group PLC | Consumer Staples | 914 | 74,269 | 0.89 | ||||||||||
Imperial Brands PLC | Consumer Staples | 2,941 | 72,909 | 0.87 | ||||||||||
Wm Morrison Supermarkets PLC | Consumer Staples | 26,704 | 70,762 | 0.84 | ||||||||||
Segro PLC | Real Estate | 5,919 | 70,436 | 0.84 | ||||||||||
Severn Trent PLC | Utilities | 2,052 | 68,432 | 0.82 | ||||||||||
Tate & Lyle PLC | Consumer Staples | 6,760 | 68,161 | 0.81 | ||||||||||
3i Group PLC | Financials | 4,559 | 66,385 | 0.79 | ||||||||||
Pennon Group PLC | Utilities | 4,619 | 62,796 | 0.75 | ||||||||||
Rentokil Initial PLC | Industrials | 10,276 | 61,739 | 0.74 | ||||||||||
Investec PLC | Financials | 10,320 | 60,649 | 0.72 | ||||||||||
Glencore PLC | Materials | 19,379 | 60,489 | 0.72 | ||||||||||
Next PLC | Consumer Discretionary | 647 | 60,178 | 0.72 | ||||||||||
Sage Group PLC/The | Information Technology | 6,012 | 59,726 | 0.71 | ||||||||||
Rio Tinto PLC | Materials | 996 | 59,467 | 0.71 | ||||||||||
Standard Life Aberdeen PLC | Financials | 13,555 | 58,984 | 0.70 | ||||||||||
| 56 | 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 | ||||||||||
Experian PLC | Industrials | 1,717 | $ | 58,109 | 0.69 | % | ||||||||
Admiral Group PLC | Financials | 1,857 | 56,863 | 0.68 | ||||||||||
Evraz PLC | Materials | 9,982 | 53,486 | 0.64 | ||||||||||
BAE Systems PLC | Industrials | 7,104 | 53,213 | 0.63 | ||||||||||
JD Sports Fashion PLC | Consumer Discretionary | 4,606 | 51,158 | 0.61 | ||||||||||
Rightmove PLC | Communication Services | 5,933 | 49,860 | 0.59 | ||||||||||
IWG PLC | Real Estate | 8,567 | 49,486 | 0.59 | ||||||||||
Intermediate Capital Group PLC | Financials | 2,296 | 49,022 | 0.58 | ||||||||||
Dechra Pharmaceuticals PLC | Health Care | 1,271 | 48,890 | 0.58 | ||||||||||
Berkeley Group Holdings PLC | Consumer Discretionary | 753 | 48,551 | 0.58 | ||||||||||
Ocado Group PLC | Consumer Discretionary | 2,818 | 47,797 | 0.57 | ||||||||||
DCC PLC | Industrials | 544 | 47,229 | 0.56 | ||||||||||
Britvic PLC | Consumer Staples | 3,923 | 47,065 | 0.56 | ||||||||||
Prudential PLC | Financials | 2,422 | 46,539 | 0.56 | ||||||||||
UNITE Group PLC/The | Real Estate | 2,741 | 45,814 | 0.55 | ||||||||||
Tritax Big Box REIT PLC | Real Estate | 22,646 | 44,691 | 0.53 | ||||||||||
Anglo American PLC | Materials | 1,549 | 44,629 | 0.53 | ||||||||||
ConvaTec Group PLC | Health Care | 16,665 | 43,863 | 0.52 | ||||||||||
Coca-Cola HBC AG | Consumer Staples | 1,285 | 43,713 | 0.52 | ||||||||||
Greggs PLC | Consumer Discretionary | 1,429 | 43,558 | 0.52 | ||||||||||
Centamin PLC | Materials | 25,637 | 43,182 | 0.52 | ||||||||||
Halma PLC | Information Technology | 1,524 | 42,767 | 0.51 | ||||||||||
Derwent London PLC | Real Estate | 784 | 41,675 | 0.50 | ||||||||||
GVC Holdings PLC | Consumer Discretionary | 3,536 | 41,473 | 0.49 | ||||||||||
Direct Line Insurance Group PLC | Financials | 9,571 | 39,669 | 0.47 | ||||||||||
Ashmore Group PLC | Financials | 5,380 | 36,959 | 0.44 | ||||||||||
Barratt Developments PLC | Consumer Discretionary | 3,674 | 36,379 | 0.43 | ||||||||||
Great Portland Estates PLC | Real Estate | 3,178 | 36,252 | 0.43 | ||||||||||
Dunelm Group PLC | Consumer Discretionary | 2,334 | 35,791 | 0.43 | ||||||||||
Avast PLC | Information Technology | 5,845 | 35,102 | 0.42 | ||||||||||
Hikma Pharmaceuticals PLC | Health Care | 1,270 | 33,532 | 0.40 | ||||||||||
Bovis Homes Group PLC | Consumer Discretionary | 1,854 | 33,386 | 0.40 | ||||||||||
Ferrexpo PLC | Materials | 15,766 | 33,238 | 0.40 | ||||||||||
Wizz Air Holdings Plc | Industrials | 638 | 32,980 | 0.39 | ||||||||||
HomeServe PLC | Industrials | 1,942 | 32,561 | 0.39 | ||||||||||
Schroders PLC | Financials | 733 | 32,416 | 0.39 | ||||||||||
Land Securities Group PLC | Real Estate | 2,453 | 32,214 | 0.38 | ||||||||||
Fresnillo PLC | Materials | 3,781 | 32,102 | 0.38 | ||||||||||
Travis Perkins PLC | Industrials | 1,505 | 31,982 | 0.38 | ||||||||||
Premier Oil PLC | Energy | 24,480 | 31,883 | 0.38 | ||||||||||
Moneysupermarket.com Group PLC | Consumer Discretionary | 7,117 | 31,207 | 0.37 | ||||||||||
AVEVA Group PLC | Information Technology | 495 | 30,576 | 0.36 | ||||||||||
Auto Trader Group PLC | Communication Services | 3,874 | 30,548 | 0.36 | ||||||||||
Associated British Foods PLC | Consumer Staples | 854 | 29,432 | 0.35 | ||||||||||
Redrow PLC | Consumer Discretionary | 2,938 | 29,027 | 0.35 | ||||||||||
BT Group PLC | Communication Services | 11,314 | 28,877 | 0.34 | ||||||||||
WH Smith PLC | Consumer Discretionary | 833 | 28,738 | 0.34 | ||||||||||
Signature Aviation PLC | Industrials | 6,661 | 28,024 | 0.33 | ||||||||||
Bunzl PLC | Industrials | 1,022 | 27,999 | 0.33 | ||||||||||
Petrofac Ltd | Energy | 5,491 | 27,883 | 0.33 | ||||||||||
Future PLC | Communication Services | 1,382 | 26,584 | 0.32 | ||||||||||
LondonMetric Property PLC | Real Estate | 8,441 | 26,487 | 0.32 | ||||||||||
Hargreaves Lansdown PLC | Financials | 1,026 | 26,331 | 0.31 | ||||||||||
Tullow Oil PLC | Energy | 30,739 | 26,091 | 0.31 | ||||||||||
SSP Group Plc | Consumer Discretionary | 2,984 | 25,723 | 0.31 | ||||||||||
IG Group Holdings PLC | Financials | 2,785 | 25,669 | 0.31 | ||||||||||
Hiscox Ltd | Financials | 1,315 | 24,837 | 0.30 | ||||||||||
Cranswick PLC | Consumer Staples | 552 | 24,813 | 0.30 | ||||||||||
Flutter Entertainment PLC | Consumer Discretionary | 201 | 24,555 | 0.29 | ||||||||||
| The accompanying notes are an integral part of these financial statements. | 57 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments(continued)
December 31, 2019
| ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
| Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Capita PLC | Industrials | 11,265 | $ | 24,519 | 0.29 | % | ||||||||
Burberry Group PLC | Consumer Discretionary | 831 | 24,313 | 0.29 | ||||||||||
Shaftesbury PLC | Real Estate | 1,901 | 23,822 | 0.28 | ||||||||||
Informa PLC | Communication Services | 2,090 | 23,752 | 0.28 | ||||||||||
Softcat PLC | Information Technology | 1,553 | 23,722 | 0.28 | ||||||||||
Plus500 Ltd | Financials | 1,996 | 23,460 | 0.28 | ||||||||||
Rotork PLC | Industrials | 5,133 | 22,808 | 0.27 | ||||||||||
Royal Mail PLC | Industrials | 7,587 | 22,770 | 0.27 | ||||||||||
Primary Health Properties PLC | Real Estate | 10,258 | 21,768 | 0.26 | ||||||||||
Meggitt PLC | Industrials | 2,476 | 21,572 | 0.26 | ||||||||||
Assura PLC | Real Estate | 20,843 | 21,507 | 0.26 | ||||||||||
UDG Healthcare PLC | Health Care | 2,001 | 21,396 | 0.26 | ||||||||||
Diploma PLC | Industrials | 797 | 21,385 | 0.26 | ||||||||||
Jupiter Fund Management PLC | Financials | 3,887 | 21,115 | 0.25 | ||||||||||
International Consolidated Airlines Grou | Industrials | 2,536 | 21,020 | 0.25 | ||||||||||
Bellway PLC | Consumer Discretionary | 406 | 20,523 | 0.24 | ||||||||||
B&M European Value Retail SA | Consumer Discretionary | 3,762 | 20,436 | 0.24 | ||||||||||
Crest Nicholson Holdings plc | Consumer Discretionary | 3,472 | 19,883 | 0.24 | ||||||||||
Domino’s Pizza Group PLC | Consumer Discretionary | 4,679 | 19,871 | 0.24 | ||||||||||
Inchcape PLC | Consumer Discretionary | 2,108 | 19,743 | 0.24 | ||||||||||
Big Yellow Group PLC | Real Estate | 1,219 | 19,406 | 0.23 | ||||||||||
Greencore Group PLC | Consumer Staples | 5,400 | 19,186 | 0.23 | ||||||||||
Countryside Properties PLC | Consumer Discretionary | 3,175 | 19,166 | 0.23 | ||||||||||
Games Workshop Group PLC | Consumer Discretionary | 236 | 19,113 | 0.23 | ||||||||||
Royal Bank of Scotland Group PLC | Financials | 5,944 | 18,944 | 0.23 | ||||||||||
Safestore Holdings PLC | Real Estate | 1,768 | 18,901 | 0.23 | ||||||||||
easyJet PLC | Industrials | 979 | 18,491 | 0.22 | ||||||||||
Mediclinic International PLC | Health Care | 3,384 | 18,476 | 0.22 | ||||||||||
St James’s Place PLC | Financials | 1,191 | 18,391 | 0.22 | ||||||||||
Man Group PLC/Jersey | Financials | 8,382 | 17,565 | 0.21 | ||||||||||
Pets at Home Group Plc | Consumer Discretionary | 4,701 | 17,432 | 0.21 | ||||||||||
Firstgroup PLC | Industrials | 10,462 | 17,401 | 0.21 | ||||||||||
WPP PLC | Communication Services | 1,228 | 17,373 | 0.21 | ||||||||||
Taylor Wimpey PLC | Consumer Discretionary | 6,710 | 17,213 | 0.21 | ||||||||||
Spirent Communications PLC | Information Technology | 5,160 | 17,211 | 0.21 | ||||||||||
Rhi Magnesita NV | Materials | 330 | 16,861 | 0.20 | ||||||||||
Galliford Try PLC | — | 1,474 | 16,807 | 0.20 | ||||||||||
Vesuvius PLC | Industrials | 2,533 | 16,797 | 0.20 | ||||||||||
Persimmon PLC | Consumer Discretionary | 463 | 16,556 | 0.20 | ||||||||||
Rolls-Royce Holdings PLC | Industrials | 1,821 | 16,501 | 0.20 | ||||||||||
Cairn Energy PLC | Energy | 6,002 | 16,318 | 0.19 | ||||||||||
Genus PLC | Health Care | 387 | 16,283 | 0.19 | ||||||||||
Croda International PLC | Materials | 238 | 16,146 | 0.19 | ||||||||||
Serco Group PLC | Industrials | 7,513 | 16,133 | 0.19 | ||||||||||
Grainger PLC | Real Estate | 3,827 | 15,898 | 0.19 | ||||||||||
National Express Group PLC | Industrials | 2,436 | 15,173 | 0.18 | ||||||||||
Howden Joinery Group PLC | Industrials | 1,673 | 14,927 | 0.18 | ||||||||||
Marshalls PLC | Materials | 1,306 | 14,902 | 0.18 | ||||||||||
Intertek Group PLC | Industrials | 186 | 14,437 | 0.17 | ||||||||||
QinetiQ Group PLC | Industrials | 3,038 | 14,415 | 0.17 | ||||||||||
Drax Group PLC | Utilities | 3,459 | 14,403 | 0.17 | ||||||||||
Lancashire Holdings Ltd | Financials | 1,385 | 14,090 | 0.17 | ||||||||||
Frasers Group PLC | Consumer Discretionary | 2,231 | 13,571 | 0.16 | ||||||||||
Whitbread PLC | Consumer Discretionary | 210 | 13,472 | 0.16 | ||||||||||
Ultra Electronics Holdings PLC | Industrials | 480 | 13,450 | 0.16 | ||||||||||
Antofagasta PLC | Materials | 1,091 | 13,264 | 0.16 | ||||||||||
Close Brothers Group PLC | Financials | 623 | 13,196 | 0.16 | ||||||||||
Essentra PLC | Materials | 2,285 | 13,195 | 0.16 | ||||||||||
OneSavings Bank PLC | Financials | 2,260 | 12,991 | 0.15 | ||||||||||
| 58 | 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 | ||||||||||
Aggreko PLC | Industrials | 1,155 | $ | 12,757 | 0.15 | % | ||||||||
Hunting PLC | Energy | 2,289 | 12,673 | 0.15 | ||||||||||
GCP Student Living PLC | Real Estate | 4,808 | 12,626 | 0.15 | ||||||||||
Smurfit Kappa Group PLC | Materials | 324 | 12,566 | 0.15 | ||||||||||
Marston’s PLC | Consumer Discretionary | 7,335 | 12,375 | 0.15 | ||||||||||
Savills PLC | Real Estate | 821 | 12,359 | 0.15 | ||||||||||
Spirax-Sarco Engineering PLC | Industrials | 104 | 12,311 | 0.15 | ||||||||||
Paragon Banking Group PLC | Financials | 1,603 | 11,462 | 0.14 | ||||||||||
Computacenter PLC | Information Technology | 484 | 11,371 | 0.14 | ||||||||||
Hochschild Mining PLC | Materials | 4,624 | 11,223 | 0.13 | ||||||||||
John Laing Group PLC | Industrials | 2,211 | 11,145 | 0.13 | ||||||||||
Go-Ahead Group PLC/The | Industrials | 377 | 11,028 | 0.13 | ||||||||||
Marks & Spencer Group PLC | Consumer Discretionary | 3,801 | 10,762 | 0.13 | ||||||||||
Mitchells & Butlers PLC | Consumer Discretionary | 1,692 | 10,313 | 0.12 | ||||||||||
Pearson PLC | Communication Services | 1,215 | 10,264 | 0.12 | ||||||||||
Playtech Plc | Consumer Discretionary | 1,893 | 9,966 | 0.12 | ||||||||||
Beazley PLC | Financials | 1,284 | 9,469 | 0.11 | ||||||||||
Ashtead Group PLC | Industrials | 296 | 9,464 | 0.11 | ||||||||||
Carnival PLC | Consumer Discretionary | 184 | 8,902 | 0.11 | ||||||||||
Polypipe Group plc | Industrials | 1,241 | 8,891 | 0.11 | ||||||||||
J D Wetherspoon PLC | Consumer Discretionary | 390 | 8,597 | 0.10 | ||||||||||
William Hill PLC | Consumer Discretionary | 3,406 | 8,513 | 0.10 | ||||||||||
Workspace Group PLC | Real Estate | 530 | 8,352 | 0.10 | ||||||||||
Energean Oil & Gas PLC | Energy | 656 | 8,094 | 0.10 | ||||||||||
IntegraFin Holdings PLC | Financials | 1,269 | 7,490 | 0.09 | ||||||||||
BMO Commercial Property Trust | Real Estate | 4,549 | 6,975 | 0.08 | ||||||||||
Hill & Smith Holdings PLC | Materials | 353 | 6,891 | 0.08 | ||||||||||
AJ Bell PLC | Financials | 1,207 | 6,867 | 0.08 | ||||||||||
Euromoney Institutional Investor PLC | Communication Services | 386 | 6,670 | 0.08 | ||||||||||
UK Commercial Property REIT Ltd | Real Estate | 5,646 | 6,650 | 0.08 | ||||||||||
Coats Group PLC | Consumer Discretionary | 6,385 | 6,317 | 0.08 | ||||||||||
Ibstock PLC | Materials | 1,486 | 6,208 | 0.07 | ||||||||||
Kingfisher PLC | Consumer Discretionary | 2,121 | 6,105 | 0.07 | ||||||||||
AG Barr PLC | Consumer Staples | 746 | 5,742 | 0.07 | ||||||||||
Kainos Group PLC | Information Technology | 561 | 5,517 | 0.07 | ||||||||||
McCarthy & Stone PLC | Consumer Discretionary | 2,759 | 5,452 | 0.07 | ||||||||||
SIG PLC | Industrials | 3,334 | 5,439 | 0.06 | ||||||||||
Stagecoach Group PLC | Industrials | 2,521 | 5,351 | 0.06 | ||||||||||
Telecom Plus PLC | Utilities | 264 | 5,265 | 0.06 | ||||||||||
TI Fluid Systems PLC | Consumer Discretionary | 1,490 | 5,256 | 0.06 | ||||||||||
Bank of Georgia Group PLC | Financials | 244 | 5,255 | 0.06 | ||||||||||
Micro Focus International PLC | Information Technology | 370 | 5,223 | 0.06 | ||||||||||
Renishaw PLC | Information Technology | 103 | 5,143 | 0.06 | ||||||||||
Sanne Group PLC | Financials | 552 | 4,954 | 0.06 | ||||||||||
Sirius Real Estate Ltd | Real Estate | 4,112 | 4,827 | 0.06 | ||||||||||
TalkTalk Telecom Group PLC | Communication Services | 3,067 | 4,723 | 0.06 | ||||||||||
Card Factory PLC | Consumer Discretionary | 2,401 | 4,711 | 0.06 | ||||||||||
888 Holdings PLC | Consumer Discretionary | 2,107 | 4,612 | 0.06 | ||||||||||
Oxford Instruments PLC | Information Technology | 225 | 4,590 | 0.05 | ||||||||||
St Modwen Properties PLC | Real Estate | 684 | 4,511 | 0.05 | ||||||||||
Brewin Dolphin Holdings PLC | Financials | 903 | 4,459 | 0.05 | ||||||||||
Trainline PLC | Consumer Discretionary | 632 | 4,250 | 0.05 | ||||||||||
Rathbone Brothers PLC | Financials | 149 | 4,212 | 0.05 | ||||||||||
PZ Cussons PLC | Consumer Staples | 1,345 | 3,720 | 0.04 | ||||||||||
IP Group PLC | Financials | 3,866 | 3,640 | 0.04 | ||||||||||
TBC Bank Group PLC | Financials | 207 | 3,572 | 0.04 | ||||||||||
FDM Group Holdings PLC | Information Technology | 259 | 3,555 | 0.04 | ||||||||||
PayPoint PLC | Industrials | 260 | 3,491 | 0.04 | ||||||||||
Rank Group PLC | Consumer Discretionary | 935 | 3,436 | 0.04 | ||||||||||
| The accompanying notes are an integral part of these financial statements. | 59 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments(continued)
December 31, 2019
| ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
| Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Airtel Africa PLC | Communication Services | 2,916 | $ | 3,092 | 0.04 | % | ||||||||
Clarkson PLC | Industrials | 71 | 2,835 | 0.03 | ||||||||||
Equiniti Group PLC | Information Technology | 1,031 | 2,822 | 0.03 | ||||||||||
ContourGlobal PLC | Utilities | 937 | 2,609 | 0.03 | ||||||||||
4imprint Group PLC | Communication Services | 54 | 2,495 | 0.03 | ||||||||||
Dixons Carphone PLC | Consumer Discretionary | 1,269 | 2,427 | 0.03 | ||||||||||
Daejan Holdings PLC | Real Estate | 32 | 2,282 | 0.03 | ||||||||||
James Fisher & Sons PLC | Industrials | 81 | 2,170 | 0.03 | ||||||||||
PureTech Health Plc | Health Care | 437 | 1,856 | 0.02 | ||||||||||
Sabre Insurance Group PLC | Financials | 444 | 1,814 | 0.02 | ||||||||||
Hilton Food Group PLC | Consumer Staples | 123 | 1,810 | 0.02 | ||||||||||
CLS Holdings PLC | Real Estate | 415 | 1,660 | 0.02 | ||||||||||
PPHE Hotel Group Ltd | Consumer Discretionary | 42 | 1,039 | 0.01 | ||||||||||
Bakkavor Group PLC | Consumer Staples | 405 | 750 | 0.01 | ||||||||||
A basket (JPGSFDUS) of common stocks
| Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Apple Inc | Information Technology | 4,372 | $ | 1,283,951 | 3.27 | % | ||||||||
Facebook Inc | Communication Services | 3,387 | 695,257 | 1.77 | ||||||||||
Microsoft Corp | Information Technology | 3,988 | 628,960 | 1.60 | ||||||||||
JPMorgan Chase & Co | Financials | 4,204 | 585,999 | 1.49 | ||||||||||
Alphabet Inc | Communication Services | 402 | 538,314 | 1.37 | ||||||||||
Johnson & Johnson | Health Care | 3,636 | 530,355 | 1.35 | ||||||||||
AT&T Inc | Communication Services | 11,610 | 453,726 | 1.16 | ||||||||||
Walmart Inc | Consumer Staples | 3,567 | 423,863 | 1.08 | ||||||||||
Amazon.com Inc | Consumer Discretionary | 219 | 404,324 | 1.03 | ||||||||||
Aon PLC | Financials | 1,932 | 402,507 | 1.03 | ||||||||||
PepsiCo Inc | Consumer Staples | 2,879 | 393,485 | 1.00 | ||||||||||
Costco Wholesale Corp | Consumer Staples | 1,298 | 381,632 | 0.97 | ||||||||||
Bristol-Myers Squibb Co | Health Care | 5,699 | 365,789 | 0.93 | ||||||||||
Synopsys Inc | Information Technology | 2,493 | 347,044 | 0.88 | ||||||||||
Alphabet Inc | Communication Services | 258 | 345,374 | 0.88 | ||||||||||
Intel Corp | Information Technology | 5,677 | 339,739 | 0.87 | ||||||||||
Coca-Cola Co/The | Consumer Staples | 6,081 | 336,609 | 0.86 | ||||||||||
Mastercard Inc | Information Technology | 1,084 | 323,609 | 0.82 | ||||||||||
Visa Inc | Information Technology | 1,699 | 319,207 | 0.81 | ||||||||||
US Bancorp | Financials | 5,274 | 312,686 | 0.80 | ||||||||||
Medtronic PLC | Health Care | 2,656 | 301,335 | 0.77 | ||||||||||
NVIDIA Corp | Information Technology | 1,165 | 274,055 | 0.70 | ||||||||||
UnitedHealth Group Inc | Health Care | 922 | 271,038 | 0.69 | ||||||||||
Motorola Solutions Inc | Information Technology | 1,670 | 269,155 | 0.69 | ||||||||||
Moody’s Corp | Financials | 1,107 | 262,714 | 0.67 | ||||||||||
Texas Instruments Inc | Information Technology | 1,947 | 249,813 | 0.64 | ||||||||||
Target Corp | Consumer Discretionary | 1,894 | 242,887 | 0.62 | ||||||||||
American Tower Corp | Real Estate | 1,037 | 238,251 | 0.61 | ||||||||||
Crown Castle International Corp | Real Estate | 1,667 | 236,950 | 0.60 | ||||||||||
Procter & Gamble Co/The | Consumer Staples | 1,871 | 233,675 | 0.60 | ||||||||||
ANSYS Inc | Information Technology | 862 | 221,872 | 0.57 | ||||||||||
Wells Fargo & Co | Financials | 4,116 | 221,439 | 0.56 | ||||||||||
Intuit Inc | Information Technology | 839 | 219,699 | 0.56 | ||||||||||
Home Depot Inc/The | Consumer Discretionary | 991 | 216,519 | 0.55 | ||||||||||
Electronic Arts Inc | Communication Services | 1,995 | 214,536 | 0.55 | ||||||||||
Yum! Brands Inc | Consumer Discretionary | 2,086 | 210,075 | 0.54 | ||||||||||
Chipotle Mexican Grill Inc | Consumer Discretionary | 250 | 208,925 | 0.53 | ||||||||||
Accenture PLC | Information Technology | 965 | 203,256 | 0.52 | ||||||||||
CME Group Inc | Financials | 1,000 | 200,687 | 0.51 | ||||||||||
Berkshire Hathaway Inc | Financials | 883 | 200,048 | 0.51 | ||||||||||
Verizon Communications Inc | Communication Services | 3,080 | 189,138 | 0.48 | ||||||||||
| 60 | 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 | ||||||||||
VeriSign Inc | Information Technology | 948 | $ | 182,621 | 0.47 | % | ||||||||
Post Holdings Inc | Consumer Staples | 1,614 | 176,098 | 0.45 | ||||||||||
Intercontinental Exchange Inc | Financials | 1,901 | 175,964 | 0.45 | ||||||||||
NIKE Inc | Consumer Discretionary | 1,735 | 175,724 | 0.45 | ||||||||||
Copart Inc | Industrials | 1,921 | 174,665 | 0.45 | ||||||||||
salesforce.com Inc | Information Technology | 1,074 | 174,599 | 0.44 | ||||||||||
Kroger Co/The | Consumer Staples | 5,986 | 173,548 | 0.44 | ||||||||||
Celanese Corp | Materials | 1,407 | 173,285 | 0.44 | ||||||||||
Booking Holdings Inc | Consumer Discretionary | 83 | 170,076 | 0.43 | ||||||||||
Abbott Laboratories | Health Care | 1,948 | 169,204 | 0.43 | ||||||||||
Activision Blizzard Inc | Communication Services | 2,840 | 168,728 | 0.43 | ||||||||||
Sysco Corp | Consumer Staples | 1,957 | 167,380 | 0.43 | ||||||||||
Marsh & McLennan Cos Inc | Financials | 1,499 | 167,003 | 0.43 | ||||||||||
American Electric Power Co Inc | Utilities | 1,757 | 166,012 | 0.42 | ||||||||||
Cerner Corp | Health Care | 2,223 | 163,149 | 0.42 | ||||||||||
NextEra Energy Inc | Utilities | 670 | 162,364 | 0.41 | ||||||||||
International Business Machines Corp | Information Technology | 1,204 | 161,361 | 0.41 | ||||||||||
Colgate-Palmolive Co | Consumer Staples | 2,315 | 159,337 | 0.41 | ||||||||||
Equinix Inc | Real Estate | 272 | 158,762 | 0.40 | ||||||||||
Estee Lauder Cos Inc/The | Consumer Staples | 766 | 158,253 | 0.40 | ||||||||||
F5 Networks Inc | Information Technology | 1,130 | 157,770 | 0.40 | ||||||||||
Progressive Corp/The | Financials | 2,151 | 155,729 | 0.40 | ||||||||||
Thermo Fisher Scientific Inc | Health Care | 479 | 155,497 | 0.40 | ||||||||||
Seagate Technology PLC | Information Technology | 2,595 | 154,399 | 0.39 | ||||||||||
Hershey Co/The | Consumer Staples | 1,029 | 151,311 | 0.39 | ||||||||||
Dominion Energy Inc | Utilities | 1,826 | 151,266 | 0.39 | ||||||||||
McCormick & Co Inc/MD | Consumer Staples | 876 | 148,618 | 0.38 | ||||||||||
Kimberly-Clark Corp | Consumer Staples | 1,067 | 146,828 | 0.37 | ||||||||||
Walt Disney Co/The | Communication Services | 1,008 | 145,760 | 0.37 | ||||||||||
WEC Energy Group Inc | Utilities | 1,580 | 145,715 | 0.37 | ||||||||||
T-Mobile US Inc | Communication Services | 1,820 | 142,754 | 0.36 | ||||||||||
MarketAxess Holdings Inc | Financials | 376 | 142,719 | 0.36 | ||||||||||
Merck & Co Inc | Health Care | 1,567 | 142,518 | 0.36 | ||||||||||
TripAdvisor Inc | Communication Services | 4,649 | 141,246 | 0.36 | ||||||||||
AbbVie Inc | Health Care | 1,579 | 139,818 | 0.36 | ||||||||||
Biogen Inc | Health Care | 469 | 139,210 | 0.35 | ||||||||||
FirstEnergy Corp | Utilities | 2,846 | 138,318 | 0.35 | ||||||||||
Southern Co/The | Utilities | 2,154 | 137,228 | 0.35 | ||||||||||
Campbell Soup Co | Consumer Staples | 2,775 | 137,141 | 0.35 | ||||||||||
S&P Global Inc | Financials | 502 | 137,021 | 0.35 | ||||||||||
American Water Works Co Inc | Utilities | 1,113 | 136,737 | 0.35 | ||||||||||
Comcast Corp | Communication Services | 3,030 | 136,272 | 0.35 | ||||||||||
Mondelez International Inc | Consumer Staples | 2,459 | 135,439 | 0.35 | ||||||||||
Broadridge Financial Solutions Inc | Information Technology | 1,085 | 133,985 | 0.34 | ||||||||||
Dollar Tree Inc | Consumer Discretionary | 1,423 | 133,800 | 0.34 | ||||||||||
Waste Management Inc | Industrials | 1,170 | 133,336 | 0.34 | ||||||||||
Under Armour Inc | Consumer Discretionary | 6,142 | 132,672 | 0.34 | ||||||||||
Hartford Financial Services Group Inc/Th | Financials | 2,171 | 131,932 | 0.34 | ||||||||||
Walgreens Boots Alliance Inc | Consumer Staples | 2,223 | 131,093 | 0.33 | ||||||||||
Ameren Corp | Utilities | 1,700 | 130,585 | 0.33 | ||||||||||
CMS Energy Corp | Utilities | 2,072 | 130,195 | 0.33 | ||||||||||
Henry Schein Inc | Health Care | 1,925 | 128,425 | 0.33 | ||||||||||
NiSource Inc | Utilities | 4,595 | 127,925 | 0.33 | ||||||||||
O’Reilly Automotive Inc | Consumer Discretionary | 291 | 127,361 | 0.32 | ||||||||||
Nasdaq Inc | Financials | 1,186 | 127,059 | 0.32 | ||||||||||
McDonald’s Corp | Consumer Discretionary | 642 | 126,789 | 0.32 | ||||||||||
Pfizer Inc | Health Care | 3,235 | 126,763 | 0.32 | ||||||||||
Darden Restaurants Inc | Consumer Discretionary | 1,158 | 126,260 | 0.32 | ||||||||||
Cboe Global Markets Inc | Financials | 1,051 | 126,180 | 0.32 | ||||||||||
| The accompanying notes are an integral part of these financial statements. | 61 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments(continued)
December 31, 2019
| ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
| Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Zebra Technologies Corp | Information Technology | 492 | $ | 125,758 | 0.32 | % | ||||||||
Duke Energy Corp | Utilities | 1,374 | 125,289 | 0.32 | ||||||||||
Cooper Cos Inc/The | Health Care | 385 | 123,759 | 0.32 | ||||||||||
Pinnacle West Capital Corp | Utilities | 1,366 | 122,848 | 0.31 | ||||||||||
United Rentals Inc | Industrials | 731 | 121,890 | 0.31 | ||||||||||
Chevron Corp | Energy | 995 | 119,941 | 0.31 | ||||||||||
Consolidated Edison Inc | Utilities | 1,323 | 119,702 | 0.30 | ||||||||||
Take-Two Interactive Software Inc | Communication Services | 952 | 116,504 | 0.30 | ||||||||||
Xcel Energy Inc | Utilities | 1,833 | 116,347 | 0.30 | ||||||||||
Hasbro Inc | Consumer Discretionary | 1,093 | 115,422 | 0.29 | ||||||||||
Eversource Energy | Utilities | 1,346 | 114,496 | 0.29 | ||||||||||
American Express Co | Financials | 919 | 114,444 | 0.29 | ||||||||||
PPL Corp | Utilities | 3,189 | 114,437 | 0.29 | ||||||||||
Lululemon Athletica Inc | Consumer Discretionary | 488 | 113,088 | 0.29 | ||||||||||
Kellogg Co | Consumer Staples | 1,622 | 112,209 | 0.29 | ||||||||||
Entergy Corp | Utilities | 933 | 111,771 | 0.28 | ||||||||||
Applied Materials Inc | Information Technology | 1,830 | 111,695 | 0.28 | ||||||||||
Adobe Inc | Information Technology | 335 | 110,629 | 0.28 | ||||||||||
Roper Technologies Inc | Industrials | 307 | 108,728 | 0.28 | ||||||||||
Becton Dickinson and Co | Health Care | 400 | 108,688 | 0.28 | ||||||||||
Coupa Software Inc | Information Technology | 743 | 108,670 | 0.28 | ||||||||||
Equifax Inc | Industrials | 766 | 107,309 | 0.27 | ||||||||||
Voya Financial Inc | Financials | 1,754 | 106,975 | 0.27 | ||||||||||
Sempra Energy | Utilities | 702 | 106,341 | 0.27 | ||||||||||
Simon Property Group Inc | Real Estate | 713 | 106,156 | 0.27 | ||||||||||
CF Industries Holdings Inc | Materials | 2,221 | 106,019 | 0.27 | ||||||||||
Ross Stores Inc | Consumer Discretionary | 903 | 105,079 | 0.27 | ||||||||||
Philip Morris International Inc | Consumer Staples | 1,224 | 104,115 | 0.27 | ||||||||||
Federal Realty Investment Trust | Real Estate | 808 | 104,014 | 0.27 | ||||||||||
Welltower Inc | Real Estate | 1,272 | 104,010 | 0.27 | ||||||||||
SBA Communications Corp | Real Estate | 428 | 103,173 | 0.26 | ||||||||||
Newmont Goldcorp Corp | Materials | 2,355 | 102,319 | 0.26 | ||||||||||
3M Co | Industrials | 580 | 102,270 | 0.26 | ||||||||||
Eli Lilly & Co | Health Care | 772 | 101,502 | 0.26 | ||||||||||
Leggett & Platt Inc | Consumer Discretionary | 1,970 | 100,137 | 0.26 | ||||||||||
Exelon Corp | Utilities | 2,196 | 100,101 | 0.26 | ||||||||||
IAA Inc | Industrials | 2,067 | 97,287 | 0.25 | ||||||||||
Public Storage | Real Estate | 455 | 96,916 | 0.25 | ||||||||||
DTE Energy Co | Utilities | 741 | 96,252 | 0.25 | ||||||||||
Public Service Enterprise Group Inc | Utilities | 1,629 | 96,210 | 0.25 | ||||||||||
Alliant Energy Corp | Utilities | 1,748 | 95,661 | 0.24 | ||||||||||
Altria Group Inc | Consumer Staples | 1,913 | 95,500 | 0.24 | ||||||||||
Microchip Technology Inc | Information Technology | 909 | 95,155 | 0.24 | ||||||||||
Under Armour Inc | Consumer Discretionary | 4,928 | 94,522 | 0.24 | ||||||||||
Mid-America Apartment Communities Inc | Real Estate | 714 | 94,120 | 0.24 | ||||||||||
DuPont de Nemours Inc | Materials | 1,457 | 93,553 | 0.24 | ||||||||||
Etsy Inc | Consumer Discretionary | 2,102 | 93,113 | 0.24 | ||||||||||
Edison International | Utilities | 1,225 | 92,414 | 0.24 | ||||||||||
EOG Resources Inc | Energy | 1,103 | 92,401 | 0.24 | ||||||||||
Essex Property Trust Inc | Real Estate | 305 | 91,889 | 0.23 | ||||||||||
Realty Income Corp | Real Estate | 1,247 | 91,799 | 0.23 | ||||||||||
Avangrid Inc | Utilities | 1,791 | 91,634 | 0.23 | ||||||||||
Ameriprise Financial Inc | Financials | 549 | 91,439 | 0.23 | ||||||||||
Healthpeak Properties Inc | Real Estate | 2,640 | 91,006 | 0.23 | ||||||||||
Ventas Inc | Real Estate | 1,576 | 90,983 | 0.23 | ||||||||||
Equity Residential | Real Estate | 1,118 | 90,497 | 0.23 | ||||||||||
Starbucks Corp | Consumer Discretionary | 1,023 | 89,910 | 0.23 | ||||||||||
Western Digital Corp | Information Technology | 1,412 | 89,620 | 0.23 | ||||||||||
HCA Healthcare Inc | Health Care | 606 | 89,503 | 0.23 | ||||||||||
| 62 | 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 | ||||||||||
Fair Isaac Corp | Information Technology | 239 | $ | 89,385 | 0.23 | % | ||||||||
Extra Space Storage Inc | Real Estate | 846 | 89,313 | 0.23 | ||||||||||
Ecolab Inc | Materials | 463 | 89,295 | 0.23 | ||||||||||
Atmos Energy Corp | Utilities | 797 | 89,108 | 0.23 | ||||||||||
Tyson Foods Inc | Consumer Staples | 974 | 88,674 | 0.23 | ||||||||||
AvalonBay Communities Inc | Real Estate | 421 | 88,343 | 0.23 | ||||||||||
Automatic Data Processing Inc | Information Technology | 517 | 88,151 | 0.22 | ||||||||||
Gilead Sciences Inc | Health Care | 1,354 | 87,975 | 0.22 | ||||||||||
Northern Trust Corp | Financials | 823 | 87,456 | 0.22 | ||||||||||
Citrix Systems Inc | Information Technology | 764 | 84,678 | 0.22 | ||||||||||
Dollar General Corp | Consumer Discretionary | 539 | 84,140 | 0.21 | ||||||||||
Garmin Ltd | Consumer Discretionary | 859 | 83,795 | 0.21 | ||||||||||
General Mills Inc | Consumer Staples | 1,539 | 82,402 | 0.21 | ||||||||||
Skyworks Solutions Inc | Information Technology | 679 | 82,058 | 0.21 | ||||||||||
CenterPoint Energy Inc | Utilities | 3,002 | 81,859 | 0.21 | ||||||||||
ConocoPhillips | Energy | 1,258 | 81,818 | 0.21 | ||||||||||
CH Robinson Worldwide Inc | Industrials | 1,038 | 81,158 | 0.21 | ||||||||||
Verisk Analytics Inc | Industrials | 534 | 79,707 | 0.20 | ||||||||||
NVR Inc | Consumer Discretionary | 21 | 79,570 | 0.20 | ||||||||||
AutoZone Inc | Consumer Discretionary | 66 | 79,196 | 0.20 | ||||||||||
Hormel Foods Corp | Consumer Staples | 1,751 | 78,998 | 0.20 | ||||||||||
UDR Inc | Real Estate | 1,687 | 78,767 | 0.20 | ||||||||||
Cabot Oil & Gas Corp | Energy | 4,515 | 78,610 | 0.20 | ||||||||||
Five Below Inc | Consumer Discretionary | 614 | 78,442 | 0.20 | ||||||||||
Arthur J Gallagher & Co | Financials | 823 | 78,356 | 0.20 | ||||||||||
T Rowe Price Group Inc | Financials | 642 | 78,220 | 0.20 | ||||||||||
Synchrony Financial | Financials | 2,152 | 77,508 | 0.20 | ||||||||||
Church & Dwight Co Inc | Consumer Staples | 1,102 | 77,489 | 0.20 | ||||||||||
Prologis Inc | Real Estate | 862 | 76,834 | 0.20 | ||||||||||
JM Smucker Co/The | Consumer Staples | 734 | 76,423 | 0.19 | ||||||||||
Charles Schwab Corp/The | Financials | 1,602 | 76,206 | 0.19 | ||||||||||
Illinois Tool Works Inc | Industrials | 417 | 74,993 | 0.19 | ||||||||||
Chubb Ltd | Financials | 481 | 74,861 | 0.19 | ||||||||||
Discover Financial Services | Financials | 881 | 74,721 | 0.19 | ||||||||||
Republic Services Inc | Industrials | 827 | 74,123 | 0.19 | ||||||||||
Tiffany & Co | Consumer Discretionary | 551 | 73,617 | 0.19 | ||||||||||
Sherwin-Williams Co/The | Materials | 125 | 72,930 | 0.19 | ||||||||||
SVB Financial Group | Financials | 290 | 72,763 | 0.19 | ||||||||||
Alexandria Real Estate Equities Inc | Real Estate | 450 | 72,675 | 0.19 | ||||||||||
Anthem Inc | Health Care | 239 | 72,168 | 0.18 | ||||||||||
Allstate Corp/The | Financials | 629 | 70,740 | 0.18 | ||||||||||
Digital Realty Trust Inc | Real Estate | 588 | 70,413 | 0.18 | ||||||||||
PPG Industries Inc | Materials | 525 | 70,030 | 0.18 | ||||||||||
Liberty Broadband Corp | Communication Services | 557 | 69,982 | 0.18 | ||||||||||
Amgen Inc | Health Care | 287 | 69,141 | 0.18 | ||||||||||
Cincinnati Financial Corp | Financials | 654 | 68,784 | 0.18 | ||||||||||
CarMax Inc | Consumer Discretionary | 783 | 68,672 | 0.17 | ||||||||||
Emerson Electric Co | Industrials | 885 | 67,528 | 0.17 | ||||||||||
Nordstrom Inc | Consumer Discretionary | 1,640 | 67,138 | 0.17 | ||||||||||
Quest Diagnostics Inc | Health Care | 626 | 66,814 | 0.17 | ||||||||||
Juniper Networks Inc | Information Technology | 2,679 | 65,972 | 0.17 | ||||||||||
Clorox Co/The | Consumer Staples | 429 | 65,909 | 0.17 | ||||||||||
Honeywell International Inc | Industrials | 368 | 65,154 | 0.17 | ||||||||||
Duke Realty Corp | Real Estate | 1,867 | 64,732 | 0.16 | ||||||||||
Interpublic Group of Cos Inc/The | Communication Services | 2,785 | 64,339 | 0.16 | ||||||||||
Apartment Investment & Management Co | Real Estate | 1,244 | 64,258 | 0.16 | ||||||||||
Constellation Brands Inc | Consumer Staples | 337 | 63,864 | 0.16 | ||||||||||
Masco Corp | Industrials | 1,329 | 63,788 | 0.16 | ||||||||||
Baxter International Inc | Health Care | 756 | 63,213 | 0.16 | ||||||||||
| The accompanying notes are an integral part of these financial statements. | 63 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments(continued)
December 31, 2019
| ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
| Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Air Products & Chemicals Inc | Materials | 267 | $ | 62,844 | 0.16 | % | ||||||||
Comerica Inc | Financials | 876 | 62,826 | 0.16 | ||||||||||
Kimco Realty Corp | Real Estate | 3,008 | 62,293 | 0.16 | ||||||||||
Danaher Corp | Health Care | 405 | 62,152 | 0.16 | ||||||||||
Travelers Cos Inc/The | Financials | 451 | 61,701 | 0.16 | ||||||||||
Charter Communications Inc | Communication Services | 127 | 61,547 | 0.16 | ||||||||||
Regency Centers Corp | Real Estate | 973 | 61,402 | 0.16 | ||||||||||
Brown-Forman Corp | Consumer Staples | 904 | 61,092 | 0.16 | ||||||||||
PulteGroup Inc | Consumer Discretionary | 1,573 | 61,021 | 0.16 | ||||||||||
Monster Beverage Corp | Consumer Staples | 954 | 60,643 | 0.15 | ||||||||||
Devon Energy Corp | Energy | 2,294 | 59,567 | 0.15 | ||||||||||
News Corp | Communication Services | 4,176 | 59,043 | 0.15 | ||||||||||
Howard Hughes Corp/The | Real Estate | 463 | 58,718 | 0.15 | ||||||||||
Everest Re Group Ltd | Financials | 210 | 58,051 | 0.15 | ||||||||||
Berry Global Group Inc | Materials | 1,217 | 57,783 | 0.15 | ||||||||||
Fidelity National Information Services I | Information Technology | 414 | 57,593 | 0.15 | ||||||||||
Incyte Corp | Health Care | 650 | 56,722 | 0.14 | ||||||||||
Credit Acceptance Corp | Financials | 128 | 56,626 | 0.14 | ||||||||||
Parker-Hannifin Corp | Industrials | 273 | 56,138 | 0.14 | ||||||||||
Ball Corp | Materials | 859 | 55,570 | 0.14 | ||||||||||
IDEXX Laboratories Inc | Health Care | 213 | 55,551 | 0.14 | ||||||||||
Zoetis Inc | Health Care | 415 | 54,902 | 0.14 | ||||||||||
TJX Cos Inc/The | Consumer Discretionary | 884 | 53,999 | 0.14 | ||||||||||
HollyFrontier Corp | Energy | 1,060 | 53,765 | 0.14 | ||||||||||
Linde PLC | Materials | 252 | 53,702 | 0.14 | ||||||||||
Allegion PLC | Industrials | 429 | 53,460 | 0.14 | ||||||||||
IHS Markit Ltd | Industrials | 708 | 53,326 | 0.14 | ||||||||||
Evergy Inc | Utilities | 815 | 53,062 | 0.14 | ||||||||||
Ulta Beauty Inc | Consumer Discretionary | 205 | 51,928 | 0.13 | ||||||||||
Rockwell Automation Inc | Industrials | 253 | 51,275 | 0.13 | ||||||||||
Conagra Brands Inc | Consumer Staples | 1,496 | 51,234 | 0.13 | ||||||||||
DENTSPLY SIRONA Inc | Health Care | 895 | 50,648 | 0.13 | ||||||||||
Fiserv Inc | Information Technology | 432 | 49,987 | 0.13 | ||||||||||
Omnicom Group Inc | Communication Services | 616 | 49,921 | 0.13 | ||||||||||
Pegasystems Inc | Information Technology | 616 | 49,077 | 0.13 | ||||||||||
OneMain Holdings Inc | Financials | 1,159 | 48,852 | 0.12 | ||||||||||
H&R Block Inc | Consumer Discretionary | 2,073 | 48,683 | 0.12 | ||||||||||
Ciena Corp | Information Technology | 1,129 | 48,181 | 0.12 | ||||||||||
Robert Half International Inc | Industrials | 762 | 48,122 | 0.12 | ||||||||||
CACI International Inc | Information Technology | 192 | 48,053 | 0.12 | ||||||||||
Ashland Global Holdings Inc | Materials | 627 | 47,998 | 0.12 | ||||||||||
DR Horton Inc | Consumer Discretionary | 892 | 47,051 | 0.12 | ||||||||||
Western Union Co/The | Information Technology | 1,726 | 46,227 | 0.12 | ||||||||||
Old Republic International Corp | Financials | 2,063 | 46,143 | 0.12 | ||||||||||
Hologic Inc | Health Care | 884 | 46,133 | 0.12 | ||||||||||
Advance Auto Parts Inc | Consumer Discretionary | 282 | 45,205 | 0.12 | ||||||||||
Iron Mountain Inc | Real Estate | 1,417 | 45,170 | 0.12 | ||||||||||
JB Hunt Transport Services Inc | Industrials | 386 | 45,072 | 0.11 | ||||||||||
Live Nation Entertainment Inc | Communication Services | 625 | 44,635 | 0.11 | ||||||||||
Huntsman Corp | Materials | 1,804 | 43,595 | 0.11 | ||||||||||
Weyerhaeuser Co | Real Estate | 1,439 | 43,468 | 0.11 | ||||||||||
E*TRADE Financial Corp | Financials | 942 | 42,725 | 0.11 | ||||||||||
Southwest Airlines Co | Industrials | 770 | 41,565 | 0.11 | ||||||||||
Vornado Realty Trust | Real Estate | 614 | 40,848 | 0.10 | ||||||||||
Sealed Air Corp | Materials | 1,025 | 40,837 | 0.10 | ||||||||||
XPO Logistics Inc | Industrials | 510 | 40,661 | 0.10 | ||||||||||
ResMed Inc | Health Care | 261 | 40,502 | 0.10 | ||||||||||
IDEX Corp | Industrials | 233 | 40,053 | 0.10 | ||||||||||
CenturyLink Inc | Communication Services | 2,946 | 38,911 | 0.10 | ||||||||||
| 64 | 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 | ||||||||||
SEI Investments Co | Financials | 590 | $ | 38,630 | 0.10 | % | ||||||||
Macerich Co/The | Real Estate | 1,432 | 38,543 | 0.10 | ||||||||||
Expeditors International of Washington I | Industrials | 485 | 37,848 | 0.10 | ||||||||||
Lennar Corp | Consumer Discretionary | 663 | 36,982 | 0.09 | ||||||||||
Boston Properties Inc | Real Estate | 262 | 36,188 | 0.09 | ||||||||||
Laboratory Corp of America Holdings | Health Care | 214 | 36,180 | 0.09 | ||||||||||
Pentair PLC | Industrials | 782 | 35,878 | 0.09 | ||||||||||
Aspen Technology Inc | Information Technology | 290 | 35,051 | 0.09 | ||||||||||
Cummins Inc | Industrials | 196 | 35,011 | 0.09 | ||||||||||
LyondellBasell Industries NV | Materials | 370 | 34,957 | 0.09 | ||||||||||
Phillips 66 | Energy | 313 | 34,874 | 0.09 | ||||||||||
Universal Health Services Inc | Health Care | 240 | 34,388 | 0.09 | ||||||||||
Jack Henry & Associates Inc | Information Technology | 236 | 34,364 | 0.09 | ||||||||||
CNA Financial Corp | Financials | 758 | 33,977 | 0.09 | ||||||||||
Fortive Corp | Industrials | 431 | 32,907 | 0.08 | ||||||||||
Cintas Corp | Industrials | 122 | 32,812 | 0.08 | ||||||||||
Newell Brands Inc | Consumer Discretionary | 1,697 | 32,622 | 0.08 | ||||||||||
Maxim Integrated Products Inc | Information Technology | 525 | 32,316 | 0.08 | ||||||||||
Cimarex Energy Co | Energy | 615 | 32,263 | 0.08 | ||||||||||
Leidos Holdings Inc | Information Technology | 327 | 31,980 | 0.08 | ||||||||||
WW Grainger Inc | Industrials | 94 | 31,892 | 0.08 | ||||||||||
Stryker Corp | Health Care | 150 | 31,581 | 0.08 | ||||||||||
SL Green Realty Corp | Real Estate | 343 | 31,482 | 0.08 | ||||||||||
Dover Corp | Industrials | 272 | 31,394 | 0.08 | ||||||||||
Host Hotels & Resorts Inc | Real Estate | 1,655 | 30,703 | 0.08 | ||||||||||
Hill-Rom Holdings Inc | Health Care | 270 | 30,664 | 0.08 | ||||||||||
Gaming and Leisure Properties Inc | Real Estate | 675 | 29,060 | 0.07 | ||||||||||
Paychex Inc | Information Technology | 335 | 28,532 | 0.07 | ||||||||||
Willis Towers Watson PLC | Financials | 140 | 28,307 | 0.07 | ||||||||||
Global Payments Inc | Information Technology | 153 | 27,879 | 0.07 | ||||||||||
Nielsen Holdings PLC | Industrials | 1,327 | 26,929 | 0.07 | ||||||||||
Pioneer Natural Resources Co | Energy | 177 | 26,739 | 0.07 | ||||||||||
Apache Corp | Energy | 1,037 | 26,529 | 0.07 | ||||||||||
Zimmer Biomet Holdings Inc | Health Care | 177 | 26,497 | 0.07 | ||||||||||
Johnson Controls International plc | Industrials | 642 | 26,151 | 0.07 | ||||||||||
Teleflex Inc | Health Care | 69 | 25,883 | 0.07 | ||||||||||
Assurant Inc | Financials | 194 | 25,495 | 0.06 | ||||||||||
AMETEK Inc | Industrials | 247 | 24,590 | 0.06 | ||||||||||
AES Corp/VA | Utilities | 1,234 | 24,554 | 0.06 | ||||||||||
Genuine Parts Co | Consumer Discretionary | 229 | 24,334 | 0.06 | ||||||||||
Sterling Bancorp/DE | Financials | 1,152 | 24,288 | 0.06 | ||||||||||
United Airlines Holdings Inc | Industrials | 275 | 24,194 | 0.06 | ||||||||||
Archer-Daniels-Midland Co | Consumer Staples | 511 | 23,664 | 0.06 | ||||||||||
Packaging Corp of America | Materials | 198 | 22,122 | 0.06 | ||||||||||
Bank of America Corp | Financials | 623 | 21,929 | 0.06 | ||||||||||
Loews Corp | Financials | 394 | 20,657 | 0.05 | ||||||||||
Mettler-Toledo International Inc | Health Care | 25 | 20,190 | 0.05 | ||||||||||
Cadence Design Systems Inc | Information Technology | 290 | 20,104 | 0.05 | ||||||||||
International Flavors & Fragrances Inc | Materials | 154 | 19,899 | 0.05 | ||||||||||
Fastenal Co | Industrials | 536 | 19,791 | 0.05 | ||||||||||
Nucor Corp | Materials | 345 | 19,413 | 0.05 | ||||||||||
Citigroup Inc | Financials | 239 | 19,119 | 0.05 | ||||||||||
Keysight Technologies Inc | Information Technology | 185 | 18,947 | 0.05 | ||||||||||
CDW Corp/DE | Information Technology | 132 | 18,883 | 0.05 | ||||||||||
Hanesbrands Inc | Consumer Discretionary | 1,265 | 18,785 | 0.05 | ||||||||||
Lam Research Corp | Information Technology | 64 | 18,772 | 0.05 | ||||||||||
Cisco Systems Inc | Information Technology | 390 | 18,711 | 0.05 | ||||||||||
MSCI Inc | Financials | 71 | 18,340 | 0.05 | ||||||||||
Tractor Supply Co | Consumer Discretionary | 192 | 17,925 | 0.05 | ||||||||||
| The accompanying notes are an integral part of these financial statements. | 65 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments(continued)
December 31, 2019
| ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
| Common Stocks | Sector | Shares | Value | Weight | ||||||||||
News Corp | Communication Services | 1,235 | $ | 17,914 | 0.05 | % | ||||||||
TransDigm Group Inc | Industrials | 30 | 16,806 | 0.04 | ||||||||||
CVS Health Corp | Health Care | 221 | 16,396 | 0.04 | ||||||||||
Westinghouse Air Brake Technologies Corp | Industrials | 210 | 16,314 | 0.04 | ||||||||||
eBay Inc | Consumer Discretionary | 452 | 16,310 | 0.04 | ||||||||||
Raymond James Financial Inc | Financials | 177 | 15,802 | 0.04 | ||||||||||
Micron Technology Inc | Information Technology | 293 | 15,751 | 0.04 | ||||||||||
FleetCor Technologies Inc | Information Technology | 54 | 15,411 | 0.04 | ||||||||||
Globe Life Inc | Financials | 144 | 15,153 | 0.04 | ||||||||||
Cigna Corp | Health Care | 74 | 15,148 | 0.04 | ||||||||||
Alaska Air Group Inc | Industrials | 209 | 14,129 | 0.04 | ||||||||||
Fox Corp | Communication Services | 371 | 13,744 | 0.04 | ||||||||||
Akamai Technologies Inc | Information Technology | 159 | 13,716 | 0.03 | ||||||||||
M&T Bank Corp | Financials | 80 | 13,606 | 0.03 | ||||||||||
NRG Energy Inc | Utilities | 337 | 13,394 | 0.03 | ||||||||||
Fox Corp | Communication Services | 367 | 13,344 | 0.03 | ||||||||||
Mylan NV | Health Care | 663 | 13,316 | 0.03 | ||||||||||
Kohl’s Corp | Consumer Discretionary | 253 | 12,909 | 0.03 | ||||||||||
Kansas City Southern | Industrials | 83 | 12,684 | 0.03 | ||||||||||
HP Inc | Information Technology | 613 | 12,592 | 0.03 | ||||||||||
Martin Marietta Materials Inc | Materials | 45 | 12,535 | 0.03 | ||||||||||
Edwards Lifesciences Corp | Health Care | 54 | 12,496 | 0.03 | ||||||||||
Marathon Petroleum Corp | Energy | 206 | 12,405 | 0.03 | ||||||||||
DXC Technology Co | Information Technology | 328 | 12,323 | 0.03 | ||||||||||
Alliance Data Systems Corp | Information Technology | 109 | 12,232 | 0.03 | ||||||||||
Fortune Brands Home & Security Inc | Industrials | 185 | 12,113 | 0.03 | ||||||||||
Vulcan Materials Co | Materials | 84 | 12,088 | 0.03 | ||||||||||
Capital One Financial Corp | Financials | 115 | 11,806 | 0.03 | ||||||||||
MetLife Inc | Financials | 231 | 11,772 | 0.03 | ||||||||||
Broadcom Inc | Information Technology | 35 | 11,165 | 0.03 | ||||||||||
Morgan Stanley | Financials | 216 | 11,050 | 0.03 | ||||||||||
NortonLifeLock Inc | Information Technology | 432 | 11,013 | 0.03 | ||||||||||
Prudential Financial Inc | Financials | 117 | 11,003 | 0.03 | ||||||||||
Qorvo Inc | Information Technology | 95 | 10,994 | 0.03 | ||||||||||
Oracle Corp | Information Technology | 202 | 10,727 | 0.03 | ||||||||||
United Technologies Corp | Industrials | 70 | 10,525 | 0.03 | ||||||||||
Cognizant Technology Solutions Corp | Information Technology | 169 | 10,508 | 0.03 | ||||||||||
McKesson Corp | Health Care | 75 | 10,404 | 0.03 | ||||||||||
Arconic Inc | Industrials | 331 | 10,181 | 0.03 | ||||||||||
DaVita Inc | Health Care | 134 | 10,061 | 0.03 | ||||||||||
TE Connectivity Ltd | Information Technology | 102 | 9,794 | 0.02 | ||||||||||
Valero Energy Corp | Energy | 104 | 9,783 | 0.02 | ||||||||||
Unum Group | Financials | 329 | 9,582 | 0.02 | ||||||||||
Molson Coors Beverage Co | Consumer Staples | 173 | 9,316 | 0.02 | ||||||||||
Delta Air Lines Inc | Industrials | 151 | 8,842 | 0.02 | ||||||||||
AmerisourceBergen Corp | Health Care | 103 | 8,785 | 0.02 | ||||||||||
Principal Financial Group Inc | Financials | 158 | 8,671 | 0.02 | ||||||||||
AO Smith Corp | Industrials | 177 | 8,415 | 0.02 | ||||||||||
Centene Corp | Health Care | 128 | 8,073 | 0.02 | ||||||||||
Citizens Financial Group Inc | Financials | 198 | 8,037 | 0.02 | ||||||||||
People’s United Financial Inc | Financials | 470 | 7,948 | 0.02 | ||||||||||
Lincoln National Corp | Financials | 134 | 7,936 | 0.02 | ||||||||||
Hewlett Packard Enterprise Co | Information Technology | 476 | 7,543 | 0.02 | ||||||||||
Arista Networks Inc | Information Technology | 37 | 7,495 | 0.02 | ||||||||||
Fifth Third Bancorp | Financials | 241 | 7,415 | 0.02 | ||||||||||
Eaton Corp PLC | Industrials | 78 | 7,376 | 0.02 | ||||||||||
Perrigo Co PLC | Health Care | 141 | 7,300 | 0.02 | ||||||||||
Bank of New York Mellon Corp/The | Financials | 135 | 6,806 | 0.02 | ||||||||||
Regions Financial Corp | Financials | 396 | 6,799 | 0.02 | ||||||||||
| 66 | 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 | ||||||||||
Kraft Heinz Co/The | Consumer Staples | 206 | $ | 6,627 | 0.02 | % | ||||||||
American International Group Inc | Financials | 126 | 6,474 | 0.02 | ||||||||||
Ford Motor Co | Consumer Discretionary | 691 | 6,430 | 0.02 | ||||||||||
Alexion Pharmaceuticals Inc | Health Care | 58 | 6,286 | 0.02 | ||||||||||
Caterpillar Inc | Industrials | 41 | 6,059 | 0.02 | ||||||||||
Cardinal Health Inc | Health Care | 112 | 5,649 | 0.01 | ||||||||||
CSX Corp | Industrials | 77 | 5,580 | 0.01 | ||||||||||
Westrock Co | Materials | 128 | 5,477 | 0.01 | ||||||||||
Invesco Ltd | Financials | 289 | 5,205 | 0.01 | ||||||||||
KeyCorp | Financials | 257 | 5,198 | 0.01 | ||||||||||
International Paper Co | Materials | 104 | 4,776 | 0.01 | ||||||||||
Eastman Chemical Co | Materials | 60 | 4,727 | 0.01 | ||||||||||
Regeneron Pharmaceuticals Inc | Health Care | 13 | 4,707 | 0.01 | ||||||||||
Snap-on Inc | Industrials | 27 | 4,633 | 0.01 | ||||||||||
PVH Corp | Consumer Discretionary | 44 | 4,594 | 0.01 | ||||||||||
State Street Corp | Financials | 57 | 4,477 | 0.01 | ||||||||||
Dow Inc | Materials | 82 | 4,470 | 0.01 | ||||||||||
Avery Dennison Corp | Materials | 34 | 4,423 | 0.01 | ||||||||||
Macy’s Inc | Consumer Discretionary | 256 | 4,353 | 0.01 | ||||||||||
Norwegian Cruise Line Holdings Ltd | Consumer Discretionary | 73 | 4,282 | 0.01 | ||||||||||
Expedia Group Inc | Consumer Discretionary | 40 | 4,272 | 0.01 | ||||||||||
BorgWarner Inc | Consumer Discretionary | 96 | 4,169 | 0.01 | ||||||||||
LKQ Corp | Consumer Discretionary | 116 | 4,136 | 0.01 | ||||||||||
Mohawk Industries Inc | Consumer Discretionary | 30 | 4,093 | 0.01 | ||||||||||
Stanley Black & Decker Inc | Industrials | 24 | 3,966 | 0.01 | ||||||||||
Huntington Ingalls Industries Inc | Industrials | 16 | 3,908 | 0.01 | ||||||||||
Capri Holdings Ltd | Consumer Discretionary | 98 | 3,754 | 0.01 | ||||||||||
MGM Resorts International | Consumer Discretionary | 112 | 3,728 | 0.01 | ||||||||||
FLIR Systems Inc | Information Technology | 68 | 3,561 | 0.01 | ||||||||||
Whirlpool Corp | Consumer Discretionary | 24 | 3,531 | 0.01 | ||||||||||
Harley-Davidson Inc | Consumer Discretionary | 93 | 3,475 | 0.01 | ||||||||||
General Motors Co | Consumer Discretionary | 86 | 3,156 | 0.01 | ||||||||||
Coty Inc | Consumer Staples | 275 | 3,098 | 0.01 | ||||||||||
NetApp Inc | Information Technology | 48 | 3,003 | 0.01 | ||||||||||
Best Buy Co Inc | Consumer Discretionary | 33 | 2,935 | 0.01 | ||||||||||
Huntington Bancshares Inc/OH | Financials | 190 | 2,858 | 0.01 | ||||||||||
Ralph Lauren Corp | Consumer Discretionary | 24 | 2,805 | 0.01 | ||||||||||
Hilton Worldwide Holdings Inc | Consumer Discretionary | 24 | 2,612 | 0.01 | ||||||||||
L Brands Inc | Consumer Discretionary | 138 | 2,499 | 0.01 | ||||||||||
Las Vegas Sands Corp | Consumer Discretionary | 34 | 2,334 | 0.01 | ||||||||||
Ingersoll-Rand PLC | Industrials | 16 | 2,121 | 0.01 | ||||||||||
Aptiv PLC | Consumer Discretionary | 22 | 2,056 | 0.01 | ||||||||||
Franklin Resources Inc | Financials | 73 | 1,895 | 0.00 | ||||||||||
Carnival Corp | Consumer Discretionary | 35 | 1,776 | 0.00 | ||||||||||
Tapestry Inc | Consumer Discretionary | 58 | 1,568 | 0.00 | ||||||||||
Royal Caribbean Cruises Ltd | Consumer Discretionary | 10 | 1,319 | 0.00 | ||||||||||
Gap Inc/The | Consumer Discretionary | 72 | 1,269 | 0.00 | ||||||||||
Flowserve Corp | Industrials | 14 | 681 | 0.00 | ||||||||||
| The accompanying notes are an integral part of these financial statements. | 67 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments(continued)
December 31, 2019
| ADDITIONAL INVESTMENT INFORMATION (continued) |
PURCHASED & WRITTEN OPTIONS CONTRACTS — At December 31, 2019, 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: | ||||||||||||||||||||||||||||||
Calls | ||||||||||||||||||||||||||||||
CBOE Volatility Index | Morgan Stanley Co., Inc. | 20 USD | 01/22/2020 | 280 | $ | 385,840 | $ | 14,000 | $ | 57,673 | $ | (43,673 | ) | |||||||||||||||||
| 19 USD | 02/19/2020 | 300 | 413,400 | 40,500 | 66,610 | (26,110 | ) | |||||||||||||||||||||||
| 19 USD | 03/18/2020 | 320 | 440,960 | 54,400 | 56,320 | (1,920 | ) | |||||||||||||||||||||||
Total calls | 900 | $ | 108,900 | $ | 180,603 | $ | (71,703 | ) | ||||||||||||||||||||||
Puts | ||||||||||||||||||||||||||||||
S&P 500 Index | Morgan Stanley Co., Inc. | 2,300 USD | 01/17/2020 | 3 | 969,234 | 30 | 2,492 | (2,462 | ) | |||||||||||||||||||||
| 2,350 USD | 01/17/2020 | 2 | 646,156 | 25 | 1,097 | (1,072 | ) | |||||||||||||||||||||||
| 2,450 USD | 01/17/2020 | 4 | 1,292,312 | 80 | 2,904 | (2,824 | ) | |||||||||||||||||||||||
| 2,500 USD | 01/17/2020 | 4 | 1,292,312 | 90 | 2,436 | (2,346 | ) | |||||||||||||||||||||||
| 2,550 USD | 01/17/2020 | 3 | 969,234 | 83 | 1,442 | (1,359 | ) | |||||||||||||||||||||||
| 2,600 USD | 01/17/2020 | 2 | 646,156 | 70 | 877 | (807 | ) | |||||||||||||||||||||||
| 2,400 USD | 02/21/2020 | 1 | 323,078 | 85 | 986 | (901 | ) | |||||||||||||||||||||||
| 2,450 USD | 02/21/2020 | 2 | 646,156 | 215 | 1,814 | (1,599 | ) | |||||||||||||||||||||||
| 2,500 USD | 02/21/2020 | 3 | 969,234 | 405 | 2,732 | (2,327 | ) | |||||||||||||||||||||||
| 2,550 USD | 02/21/2020 | 6 | 1,938,468 | 990 | 4,704 | (3,714 | ) | |||||||||||||||||||||||
| 2,600 USD | 02/21/2020 | 4 | 1,292,312 | 840 | 3,323 | (2,483 | ) | |||||||||||||||||||||||
| 2,650 USD | 02/21/2020 | 2 | 646,156 | 515 | 1,482 | (967 | ) | |||||||||||||||||||||||
| 2,500 USD | 03/20/2020 | 2 | 646,156 | 640 | 1,672 | (1,032 | ) | |||||||||||||||||||||||
| 2,550 USD | 03/20/2020 | 4 | 1,292,312 | 1,560 | 3,833 | (2,273 | ) | |||||||||||||||||||||||
| 2,650 USD | 03/20/2020 | 3 | 969,234 | 1,755 | 2,372 | (617 | ) | |||||||||||||||||||||||
| 2,700 USD | 03/20/2020 | 6 | 1,938,468 | 4,350 | 5,123 | (773 | ) | |||||||||||||||||||||||
| 2,600 USD | 04/17/2020 | 2 | 646,156 | 1,650 | 1,921 | (271 | ) | |||||||||||||||||||||||
| Total puts | 53 | $ | 13,383 | $ | 41,210 | $ | (27,827 | ) | ||||||||||||||||||||||
| Total purchased options contracts |
| 953 | $ | 122,283 | $ | 221,813 | $ | (99,530 | ) | |||||||||||||||||||||
Written options contracts: | ||||||||||||||||||||||||||||||
Calls | ||||||||||||||||||||||||||||||
S&P 500 Index | Morgan Stanley Co., Inc. | 2,975 USD | 01/17/2020 | 3 | $ | (969,234 | ) | $ | (78,495 | ) | $ | (21,508 | ) | $ | (56,987 | ) | ||||||||||||||
| 3,000 USD | 01/17/2020 | 2 | (646,156 | ) | (47,590 | ) | (10,438 | ) | (37,152 | ) | ||||||||||||||||||||
| 3,050 USD | 01/17/2020 | 8 | (2,584,624 | ) | (150,800 | ) | (46,868 | ) | (103,932 | ) | ||||||||||||||||||||
| 3,075 USD | 01/17/2020 | 3 | (969,234 | ) | (49,365 | ) | (19,399 | ) | (29,966 | ) | ||||||||||||||||||||
| 3,125 USD | 01/17/2020 | 2 | (646,156 | ) | (23,710 | ) | (8,198 | ) | (15,512 | ) | ||||||||||||||||||||
| 3,050 USD | 02/21/2020 | 1 | (323,078 | ) | (20,340 | ) | (6,774 | ) | (13,566 | ) | ||||||||||||||||||||
| 3,100 USD | 02/21/2020 | 2 | (646,156 | ) | (31,950 | ) | (11,697 | ) | (20,253 | ) | ||||||||||||||||||||
| 3,125 USD | 02/21/2020 | 3 | (969,234 | ) | (41,640 | ) | (16,858 | ) | (24,782 | ) | ||||||||||||||||||||
| 3,150 USD | 02/21/2020 | 6 | (1,938,468 | ) | (71,040 | ) | (33,095 | ) | (37,945 | ) | ||||||||||||||||||||
| 3,175 USD | 02/21/2020 | 4 | (1,292,312 | ) | (39,500 | ) | (19,397 | ) | (20,103 | ) | ||||||||||||||||||||
| 3,200 USD | 02/21/2020 | 2 | (646,156 | ) | (15,990 | ) | (8,539 | ) | (7,451 | ) | ||||||||||||||||||||
| 3,150 USD | 03/20/2020 | 2 | (646,156 | ) | (27,350 | ) | (15,339 | ) | (12,011 | ) | ||||||||||||||||||||
| 3,200 USD | 03/20/2020 | 4 | (1,292,312 | ) | (40,060 | ) | (23,677 | ) | (16,383 | ) | ||||||||||||||||||||
| 3,250 USD | 03/20/2020 | 3 | (969,234 | ) | (20,220 | ) | (14,769 | ) | (5,451 | ) | ||||||||||||||||||||
| 3,275 USD | 03/20/2020 | 6 | (1,938,468 | ) | (31,920 | ) | (29,394 | ) | (2,526 | ) | ||||||||||||||||||||
| 3,275 USD | 04/17/2020 | 1 | (323,078 | ) | (6,840 | ) | (6,322 | ) | (518 | ) | ||||||||||||||||||||
| Total calls | 52 | $ | (696,810 | ) | $ | (292,272 | ) | $ | (404,538 | ) | ||||||||||||||||||||
| 68 | 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: (continued) | ||||||||||||||||||||||||||||||
Puts | ||||||||||||||||||||||||||||||
S&P 500 Index | Morgan Stanley Co., Inc. | 2,825 USD | 01/17/2020 | 3 | $ | (969,234 | ) | $ | (353 | ) | $ | (22,258 | ) | $ | 21,905 | |||||||||||||||
| 2,875 USD | 01/17/2020 | 2 | (646,156 | ) | (295 | ) | (21,623 | ) | 21,328 | |||||||||||||||||||||
| 2,900 USD | 01/17/2020 | 1 | (323,078 | ) | (167 | ) | (8,059 | ) | 7,892 | |||||||||||||||||||||
| 2,950 USD | 01/17/2020 | 8 | (2,584,624 | ) | (1,760 | ) | (49,641 | ) | 47,881 | |||||||||||||||||||||
| 3,000 USD | 01/17/2020 | 3 | (969,234 | ) | (915 | ) | (13,645 | ) | 12,730 | |||||||||||||||||||||
| 3,025 USD | 01/17/2020 | 2 | (646,156 | ) | (720 | ) | (8,448 | ) | 7,728 | |||||||||||||||||||||
| 2,950 USD | 02/21/2020 | 1 | (323,078 | ) | (1,110 | ) | (8,139 | ) | 7,029 | |||||||||||||||||||||
| 2,975 USD | 02/21/2020 | 2 | (646,156 | ) | (2,540 | ) | (13,623 | ) | 11,083 | |||||||||||||||||||||
| 3,025 USD | 02/21/2020 | 3 | (969,234 | ) | (5,025 | ) | (21,898 | ) | 16,873 | |||||||||||||||||||||
| 3,050 USD | 02/21/2020 | 6 | (1,938,468 | ) | (11,550 | ) | (40,235 | ) | 28,685 | |||||||||||||||||||||
| 3,075 USD | 02/21/2020 | 3 | (969,234 | ) | (6,630 | ) | (19,978 | ) | 13,348 | |||||||||||||||||||||
| 3,100 USD | 02/21/2020 | 3 | (969,234 | ) | (7,635 | ) | (17,948 | ) | 10,313 | |||||||||||||||||||||
| 3,050 USD | 03/20/2020 | 2 | (646,156 | ) | (6,770 | ) | (15,319 | ) | 8,549 | |||||||||||||||||||||
| 3,075 USD | 03/20/2020 | 3 | (969,234 | ) | (11,325 | ) | (22,048 | ) | 10,723 | |||||||||||||||||||||
| 3,100 USD | 03/20/2020 | 1 | (323,078 | ) | (4,210 | ) | (7,429 | ) | 3,219 | |||||||||||||||||||||
| 3,150 USD | 03/20/2020 | 3 | (969,234 | ) | (15,720 | ) | (18,628 | ) | 2,908 | |||||||||||||||||||||
| 3,175 USD | 03/20/2020 | 6 | (1,938,468 | ) | (35,100 | ) | (37,531 | ) | 2,431 | |||||||||||||||||||||
| 3,175 USD | 04/17/2020 | 2 | (646,156 | ) | (14,600 | ) | (15,871 | ) | 1,271 | |||||||||||||||||||||
| Total puts | 54 | $ | (126,425 | ) | $ | (362,321 | ) | $ | 235,896 | |||||||||||||||||||||
| Total written options contracts |
| 106 | $ | (823,235 | ) | $ | (654,593 | ) | $ | (168,642 | ) | |||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 69 |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Schedule of Investments
December 31, 2019
| Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
| Mortgage-Backed Securities – 2.7% | ||||||||||||||
| FHLMC – 1.4% | ||||||||||||||
| $ | 31,015 | 5.000 | % | 11/01/2025 | $ | 33,161 | ||||||||
| 24,280 | 5.000 | 08/01/2028 | 26,233 | |||||||||||
| 10,831 | 5.000 | 01/01/2033 | 11,917 | |||||||||||
| 422 | 5.000 | 03/01/2033 | 464 | |||||||||||
| 5,928 | 5.000 | 04/01/2033 | 6,521 | |||||||||||
| 897 | 5.000 | 05/01/2033 | 986 | |||||||||||
| 2,965 | 5.000 | 06/01/2033 | 3,261 | |||||||||||
| 18,628 | 5.000 | 07/01/2033 | 20,491 | |||||||||||
| 26,337 | 5.000 | 08/01/2033 | 28,964 | |||||||||||
| 2,188 | 5.000 | 09/01/2033 | 2,407 | |||||||||||
| 5,341 | 5.000 | 10/01/2033 | 5,875 | |||||||||||
| 11,682 | 5.000 | 11/01/2033 | 12,850 | |||||||||||
| 6,480 | 5.000 | 12/01/2033 | 7,128 | |||||||||||
| 6,144 | 5.000 | 01/01/2034 | 6,759 | |||||||||||
| 19,561 | 5.000 | 02/01/2034 | 21,556 | |||||||||||
| 8,497 | 5.000 | 03/01/2034 | 9,406 | |||||||||||
| 14,603 | 5.000 | 04/01/2034 | 16,183 | |||||||||||
| 19,983 | 5.000 | 05/01/2034 | 21,988 | |||||||||||
| 283,023 | 5.000 | 06/01/2034 | 311,569 | |||||||||||
| 4,162 | 5.000 | 11/01/2034 | 4,612 | |||||||||||
| 76,865 | 5.000 | 04/01/2035 | 84,551 | |||||||||||
| 1,340,076 | 5.000 | 07/01/2035 | 1,485,056 | |||||||||||
| 3,245 | 5.000 | 11/01/2035 | 3,570 | |||||||||||
| 66,568 | 5.000 | 03/01/2036 | 73,440 | |||||||||||
| 21,217 | 5.000 | 03/01/2037 | 23,459 | |||||||||||
| 61,429 | 5.000 | 12/01/2037 | 67,921 | |||||||||||
| 115,575 | 5.000 | 02/01/2038 | 127,786 | |||||||||||
| 287,439 | 5.000 | 03/01/2038 | 317,757 | |||||||||||
| 143,581 | 5.000 | 07/01/2038 | 158,725 | |||||||||||
| 119,642 | 5.000 | 11/01/2038 | 132,262 | |||||||||||
| 313,781 | 5.000 | 12/01/2038 | 346,937 | |||||||||||
| 176,434 | 5.000 | 01/01/2039 | 195,044 | |||||||||||
| 42,825 | 5.000 | 02/01/2039 | 47,342 | |||||||||||
| 289,956 | 5.000 | 06/01/2041 | 320,596 | |||||||||||
|
| |||||||||||||
| 3,936,777 | ||||||||||||||
|
| |||||||||||||
| UMBS – 1.3% | ||||||||||||||
| 183 | 5.500 | 07/01/2020 | 183 | |||||||||||
| 4,450 | 6.000 | 03/01/2034 | 5,051 | |||||||||||
| 16,444 | 6.000 | 08/01/2034 | 18,728 | |||||||||||
| 66,076 | 6.000 | 08/01/2035 | 75,946 | |||||||||||
| 105,762 | 6.000 | 09/01/2035 | 121,866 | |||||||||||
| 187,774 | 6.000 | 11/01/2035 | 216,297 | |||||||||||
| 432,246 | 6.000 | 03/01/2036 | 496,613 | |||||||||||
| 3,850 | 6.000 | 06/01/2036 | 4,422 | |||||||||||
| 850,542 | 6.000 | 09/01/2036 | 948,845 | |||||||||||
| 146,338 | 6.000 | 12/01/2036 | 168,348 | |||||||||||
| 10,919 | 6.000 | 02/01/2037 | 12,560 | |||||||||||
| 1,919 | 6.000 | 04/01/2037 | 2,186 | |||||||||||
| 3,313 | 6.000 | 05/01/2037 | 3,813 | |||||||||||
| 90,199 | 6.000 | 06/01/2037 | 103,943 | |||||||||||
| 58,342 | 6.000 | 07/01/2037 | 67,229 | |||||||||||
| 196,181 | 6.000 | 08/01/2037 | 223,331 | |||||||||||
| 55,910 | 6.000 | 09/01/2037 | 64,407 | |||||||||||
| 10,829 | 6.000 | 10/01/2037 | 12,465 | |||||||||||
| 31,601 | 6.000 | 11/01/2037 | 36,499 | |||||||||||
|
| |||||||||||||
| Mortgage-Backed Securities – (continued) | ||||||||||||||
| UMBS – (continued) | ||||||||||||||
| 2,587 | 6.000 | 12/01/2037 | 2,987 | |||||||||||
| 288,995 | 6.000 | 01/01/2038 | 332,561 | |||||||||||
| 37,768 | 6.000 | 03/01/2038 | 43,424 | |||||||||||
| 2,276 | 6.000 | 04/01/2038 | 2,625 | |||||||||||
| 12,678 | 6.000 | 05/01/2038 | 14,577 | |||||||||||
| 937 | 6.000 | 09/01/2038 | 1,080 | |||||||||||
| 60,282 | 6.000 | 10/01/2038 | 69,513 | |||||||||||
| 2,444 | 6.000 | 12/01/2038 | 2,816 | |||||||||||
| 2,127 | 6.000 | 01/01/2039 | 2,449 | |||||||||||
| 8,844 | 4.000 | 08/01/2039 | 9,478 | |||||||||||
| 25,753 | 4.500 | 02/01/2040 | 27,594 | |||||||||||
| 2,505 | 6.000 | 04/01/2040 | 2,885 | |||||||||||
| 104,171 | 6.000 | 06/01/2040 | 119,995 | |||||||||||
| 239,630 | 6.000 | 05/01/2041 | 275,345 | |||||||||||
| 103,255 | 4.500 | 08/01/2041 | 111,895 | |||||||||||
|
| |||||||||||||
| 3,601,956 | ||||||||||||||
|
| |||||||||||||
| TOTAL MORTGAGE-BACKED SECURITIES | ||||||||||||||
| (Cost $7,363,941) | $ | 7,538,733 | ||||||||||||
|
| |||||||||||||
| Collateralized Mortgage Obligations – 1.7% | ||||||||||||||
| Regular Floater(a)(b) – 0.5% | ||||||||||||||
FHLMC REMIC Series 3371, Class FA | ||||||||||||||
| $ | 163,928 | 2.340 | % | 09/15/2037 | $ | 165,180 | ||||||||
NCUA GuaranteedNotes Trust Series 2010-R1, Class 1A | ||||||||||||||
| 163,289 | 2.163 | 10/07/2020 | 163,316 | |||||||||||
NCUA GuaranteedNotes Trust Series 2011-R2, Class 1A | ||||||||||||||
| 610,392 | 2.113 | 02/06/2020 | 610,807 | |||||||||||
NCUA GuaranteedNotes Trust Series 2011-R3, Class 1A | ||||||||||||||
| 314,211 | 2.118 | 03/11/2020 | 314,321 | |||||||||||
|
| |||||||||||||
| 1,253,624 | ||||||||||||||
|
| |||||||||||||
| Sequential Fixed Rate – 1.2% | ||||||||||||||
FHLMC REMIC Series 2755, Class ZA | ||||||||||||||
| 373,790 | 5.000 | 02/15/2034 | 411,931 | |||||||||||
FHLMC REMIC Series 4246, Class PT | ||||||||||||||
| 203,785 | 6.500 | 02/15/2036 | 234,890 | |||||||||||
FHLMC REMIC Series 4273, Class PD | ||||||||||||||
| 1,062,441 | 6.500 | 11/15/2043 | 1,244,289 | |||||||||||
FNMA REMICSeries 2012-111, Class B | ||||||||||||||
| 276,913 | 7.000 | 10/25/2042 | 322,708 | |||||||||||
FNMA REMICSeries 2012-153, Class B | ||||||||||||||
| 1,027,300 | 7.000 | 07/25/2042 | 1,223,811 | |||||||||||
|
| |||||||||||||
| 3,437,629 | ||||||||||||||
|
| |||||||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | ||||||||||||||
| (Cost $4,546,552) | $ | 4,691,253 | ||||||||||||
|
| |||||||||||||
| Commercial Mortgage-Backed Securities(a) – 7.7% | ||||||||||||||
| Agency Multi-Family – 7.7% | ||||||||||||||
| | FHLMC Multifamily Structured Pass-Through Certificates | | ||||||||||||
| $ | 5,211,774 | 4.084 | % | 11/25/2020 | $ | 5,280,724 | ||||||||
|
| |||||||||||||
| 70 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS COMMODITY STRATEGY FUND
| Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
| Commercial Mortgage-Backed Securities(a) – (continued) | ||||||||||||||
| Agency Multi-Family – (continued) | ||||||||||||||
| | FHLMC Multifamily Structured Pass-Through Certificates | | ||||||||||||
| $ | 15,933,943 | 3.034 | % | 10/25/2020 | $ | 15,971,031 | ||||||||
|
| |||||||||||||
| TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | ||||||||||||||
| (Cost $22,229,692) | $ | 21,251,755 | ||||||||||||
|
| |||||||||||||
| Asset-Backed Securities(a) – 0.1% | ||||||||||||||
| Home Equity – 0.1% | ||||||||||||||
| | GMACM Home Equity LoanTrust Series 2007-HE3, | | ||||||||||||
| $ | 2,971 | 7.000 | % | 09/25/2037 | $ | 2,967 | ||||||||
| | GMACM Home Equity LoanTrust Series 2007-HE3, | | ||||||||||||
| 57,331 | 7.000 | 09/25/2037 | 59,259 | |||||||||||
NCUA GuaranteedNotes Trust Series 2010-A1, Class A | ||||||||||||||
| 180,880 | 2.068 | 12/07/2020 | 180,889 | |||||||||||
|
| |||||||||||||
| TOTAL ASSET-BACKED SECURITIES | ||||||||||||||
| (Cost $241,182) | $ | 243,115 | ||||||||||||
|
| |||||||||||||
| U.S. Treasury Obligations – 14.1% | ||||||||||||||
U.S. Treasury Bonds | ||||||||||||||
| $ | 1,100,000 | 2.750 | %(c) | 11/15/2042 | $ | 1,174,250 | ||||||||
| 1,990,000 | 3.750 | 11/15/2043 | 2,489,366 | |||||||||||
| 7,400,000 | 2.875 | 11/15/2046 | 8,118,031 | |||||||||||
| 4,780,000 | 3.000 | (c) | 05/15/2047 | 5,370,778 | ||||||||||
| 480,000 | 2.250 | (c) | 08/15/2049 | 465,600 | ||||||||||
U.S. Treasury Notes | ||||||||||||||
| 6,620,000 | 1.125 | 07/31/2021 | 6,569,833 | |||||||||||
| 4,610,000 | 1.875 | 01/31/2022 | 4,635,931 | |||||||||||
| 5,960,000 | 2.875 | (c) | 05/31/2025 | 6,309,684 | ||||||||||
| 900,000 | 2.750 | 06/30/2025 | 947,531 | |||||||||||
| 2,490,000 | 2.625 | 12/31/2025 | 2,609,637 | |||||||||||
| 370,000 | 2.250 | (c) | 11/15/2027 | 380,291 | ||||||||||
|
| |||||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||
| (Cost $37,503,012) | $ | 39,070,932 | ||||||||||||
|
| |||||||||||||
| Shares | Description | Value | ||||||
| Exchange Traded Fund(d)– 24.4% | ||||||||
| 675,000 | Goldman Sachs Access Treasury 0-1 Year ETF | $ | 67,594,500 | |||||
| (Cost $67,527,000) | ||||||||
|
| |||||||
| Shares | Dividend Rate | Value | ||||
| Investment Company(d)– 37.6% | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||
| 103,882,234 | 1.638% | $ | 103,882,234 | |||
| (Cost $103,882,234) |
| |||||
| ||||||
| TOTAL INVESTMENTS – 88.3% |
| |||||
| (Cost $243,293,613) | $ | 244,272,522 | ||||
| ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 11.7% | 32,319,890 | |||||
| ||||||
| NET ASSETS – 100.0% | $ | 276,592,412 | ||||
| ||||||
| 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 December 31, 2019. | |
(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. | |
| ||
Investment Abbreviations: | ||
FHLMC | —Federal Home Loan Mortgage Corp. | |
FNMA | —Federal National Mortgage Association | |
LIBOR | —London Interbank Offered Rate | |
REMIC | —Real Estate Mortgage Investment Conduit | |
SOFR | —Secured Overnight Financing Rate | |
UMBS | —Uniform Mortgage-Backed Securities | |
Currency Abbreviation: | ||
USD | —United States Dollar | |
| ||
| The accompanying notes are an integral part of these financial statements. | 71 |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Schedule of Investments(continued)
December 31, 2019
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At December 31, 2019, the Fund had the following futures contracts:
| Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
3 Month Eurodollar | 1 | 12/14/2020 | $ | 245,912 | $ | 830 | ||||||||||
3 Month SOFR | 11 | 03/17/2020 | 2,707,100 | 12 | ||||||||||||
U.S. Treasury Long Bond | 23 | 03/20/2020 | 3,577,219 | (88,098 | ) | |||||||||||
| Total | $ | (87,256 | ) | |||||||||||||
Short position contracts: | ||||||||||||||||
30 Day Federal Funds | (2 | ) | 01/31/2020 | (820,461 | ) | (66 | ) | |||||||||
30 Day Federal Funds | (2 | ) | 02/28/2020 | (820,399 | ) | 163 | ||||||||||
30 Day Federal Funds | (1 | ) | 03/31/2020 | (410,200 | ) | 144 | ||||||||||
U.S. Treasury 2 Year Note | (51 | ) | 03/31/2020 | (10,986,117 | ) | 8,325 | ||||||||||
U.S. Treasury 5 Year Note | (106 | ) | 03/31/2020 | (12,561,828 | ) | 46,854 | ||||||||||
U.S. Treasury 10 Year Note | (45 | ) | 03/20/2020 | (5,771,250 | ) | 36,497 | ||||||||||
U.S. Treasury Ultra Bond | (116 | ) | 03/20/2020 | (21,017,751 | ) | 738,804 | ||||||||||
| Total | $ | 830,721 | ||||||||||||||
| Total Futures Contracts | $ | 743,465 | ||||||||||||||
SWAP CONTRACTS — At December 31, 2019, 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 Premium (Received) Paid | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
1 Day Federal Funds(b) | 1.259% | 12/15/2021 | USD | 630 | $ | (1,922 | ) | $ | 3 | $ | (1,925 | ) | ||||||||||||||
1 Month LIBOR(c) | 3 Month LIBOR | 07/25/2024 | 9,100 | 146 | 229 | (83 | ) | |||||||||||||||||||
1.333%(b) | 1 Day Federal Funds | 11/15/2026 | 1,850 | 26,643 | (1,864 | ) | 28,507 | |||||||||||||||||||
| TOTAL | $ | 24,867 | $ | (1,632 | ) | $ | 26,499 | |||||||||||||||||||
| (a) | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to December 31, 2019 |
| (b) | Payments made annually. |
| (c) | Payments made quarterly. |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS
| Referenced Obligation/Index(a) | Financing Rate Received (Paid) by the Fund | Counterparty | Termination Date | Notional (000’s) | Unrealized Appreciation/ (Depreciation)(b) | |||||||||||||
S&P GSCI Energy 1 Month Forward Index | (0.130)% | BNP Paribas SA | 04/08/2020 | USD | 90,655 | $ | — | |||||||||||
S&P GSCI Energy 1 Month Forward Index | (0.000) | Macquarie Bank Ltd. | 04/16/2020 | 83,776 | — | |||||||||||||
BAML Commodity Excess Return Strategy Index(*) | (0.000) | Merrill Lynch International | 02/13/2020 | 111,167 | 913 | |||||||||||||
| TOTAL | $ | 913 | ||||||||||||||||
| * | The components of the basket shown below. |
| (a) | Payments made 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. |
| 72 | 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 (continued)
A basket (BAML Commodity Excess Return Strategy Index) of commodities
| Description | Sector | Number of Contracts | Value | Weight | ||||||||||
WTI | Energy | 1,000 | $ | 59,970 | 26.22 | % | ||||||||
Brent | Energy | 1,000 | 66,000 | 18.25 | ||||||||||
Gasoil | Energy | 100 | 61,375 | 5.69 | ||||||||||
Corn | Grains | 5,000 | 19,388 | 4.73 | ||||||||||
Gold | Precious | 100 | 152,310 | 4.55 | ||||||||||
Heating Oil | Energy | 42,000 | 84,958 | 4.53 | ||||||||||
Copper | Metals | 25 | 154,213 | 4.22 | ||||||||||
Gasoline RBOB | Energy | 42,000 | 71,001 | 4.04 | ||||||||||
Live Cattle | Meats | 40,000 | 50,370 | 3.96 | ||||||||||
Aluminum | Metals | 25 | 45,025 | 3.36 | ||||||||||
Wheat | Grains | 5,000 | 27,938 | 3.32 | ||||||||||
Soybeans | Grains | 5,000 | 47,775 | 3.18 | ||||||||||
Natural Gas | Energy | 10,000 | 21,890 | 2.44 | ||||||||||
Lean Hogs | Meats | 40,000 | 28,570 | 2.07 | ||||||||||
Sugar | Softs | 112,000 | 15,030 | 1.64 | ||||||||||
Feeder Cattle | Meats | 50,000 | 72,113 | 1.27 | ||||||||||
Cotton | Textiles | 50,000 | 34,525 | 1.25 | ||||||||||
Kansas Wheat | Grains | 5,000 | 24,300 | 1.18 | ||||||||||
Zinc | Metals | 25 | 56,944 | 0.97 | ||||||||||
Nickel | Metals | 6 | 84,000 | 0.84 | ||||||||||
Coffee | Softs | 37,500 | 48,638 | 0.80 | ||||||||||
Lead | Metals | 25 | 48,144 | 0.65 | ||||||||||
Silver | Precious | 5,000 | 89,605 | 0.47 | ||||||||||
Cocoa | Softs | 10 | 25,400 | 0.37 | ||||||||||
PURCHASED & WRITTEN OPTIONS CONTRACTS — At December 31, 2019, the Fund had the following purchased & written options contracts:
OVER THE COUNTER INTEREST RATE SWAPTIONS
| Description | Counterparty | Exercise Rate | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Portfolio | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Purchased option contracts | ||||||||||||||||||||||||||||||
Puts | ||||||||||||||||||||||||||||||
3M IRS | JPMorgan Chase Bank NA | 1.734 | % | 02/18/2020 | 1,600,000 | $ | 1,600,000 | $ | 26,677 | $ | 19,649 | $ | 7,028 | |||||||||||||||||
| 1.683 | 02/19/2020 | 1,400,000 | 1,400,000 | 28,684 | 16,520 | 12,164 | ||||||||||||||||||||||||
| 2.183 | 02/19/2020 | 1,400,000 | 1,400,000 | 1,477 | 1,540 | (63 | ) | |||||||||||||||||||||||
| Total Purchased option contracts | 4,400,000 | $ | 56,838 | $ | 37,709 | $ | 19,129 | |||||||||||||||||||||||
Written option contracts | ||||||||||||||||||||||||||||||
Puts | ||||||||||||||||||||||||||||||
3M IRS | JPMorgan Chase Bank NA | 1.582 | % | 02/18/2020 | (5,700,000 | ) | $ | (5,700,000 | ) | $ | (11,382 | ) | $ | (13,395 | ) | $ | 2,013 | |||||||||||||
| 1.984 | 02/18/2020 | (1,600,000 | ) | (1,600,000 | ) | (8,173 | ) | (6,456 | ) | (1,717 | ) | |||||||||||||||||||
| 1.933 | 02/19/2020 | (2,800,000 | ) | (2,800,000 | ) | (16,773 | ) | (10,675 | ) | (6,098 | ) | |||||||||||||||||||
| Total Written option contracts | (10,100,000 | ) | $ | (36,328 | ) | $ | (30,526 | ) | $ | (5,802 | ) | |||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 73 |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Consolidated Schedule of Investments
December 31, 2019
| Shares | Dividend Rate | Value | ||||||
| Investment Companies(a) – 77.4% | ||||||||
| | Goldman Sachs Financial Square Government Fund – | | ||||||
| 201,860,247 | 1.638% | $ | 201,860,247 | |||||
|
| |||||||
| TOTAL INVESTMENTS – 77.4% | ||||||||
| (Cost $201,860,247)$201,860,247 | ||||||||
|
| |||||||
| | OTHER ASSETS IN EXCESS OF LIABILITIES – 22.6% | 58,924,845 | ||||||
|
| |||||||
| NET ASSETS – 100.0% | $ | 260,785,092 | ||||||
|
| |||||||
| 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 | |
IDR | —Indonesian Rupiah | |
INR | —Indian Rupee | |
JPY | —Japanese Yen | |
KRW | —South Korean Won | |
MXN | —Mexican Peso | |
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 December 31, 2019, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Gain | ||||||||||||||||
Morgan Stanley Co., Inc. | AUD | 280,000 | USD | 191,989 | 03/18/2020 | $ | 4,867 | |||||||||||||
| BRL | 27,780,000 | USD | 6,812,497 | 01/03/2020 | 93,313 | |||||||||||||||
| CAD | 7,021,000 | USD | 5,307,544 | 03/18/2020 | 100,692 | |||||||||||||||
| CHF | 4,021,000 | USD | 4,105,428 | 03/18/2020 | 71,643 | |||||||||||||||
| EUR | 6,069,000 | USD | 6,788,185 | 03/18/2020 | 51,579 | |||||||||||||||
| GBP | 20,596,000 | USD | 27,148,873 | 03/18/2020 | 189,175 | |||||||||||||||
| HUF | 149,047,000 | USD | 501,513 | 03/18/2020 | 5,534 | |||||||||||||||
| IDR | 217,260,000,000 | USD | 15,231,468 | 03/18/2020 | 377,359 | |||||||||||||||
| INR | 607,000,000 | USD | 8,387,453 | 03/18/2020 | 68,976 | |||||||||||||||
| KRW | 2,680,000,000 | USD | 2,266,385 | 03/18/2020 | 56,824 | |||||||||||||||
| MXN | 185,227,000 | USD | 9,410,531 | 03/18/2020 | 276,946 | |||||||||||||||
| NZD | 2,320,000 | USD | 1,529,293 | 03/18/2020 | 34,230 | |||||||||||||||
| PLN | 650,000 | USD | 168,512 | 03/18/2020 | 2,848 | |||||||||||||||
| RUB | 852,500,000 | USD | 13,183,793 | 03/18/2020 | 426,851 | |||||||||||||||
| 74 | 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 | Settlement Date | Unrealized Gain | ||||||||||||||||
Morgan Stanley Co., Inc. (continued) | SEK | 9,577,000 | USD | 1,018,854 | 03/18/2020 | $ | 7,349 | |||||||||||||
| USD | 12,886,150 | JPY | 1,392,949,000 | 03/18/2020 | 11,197 | |||||||||||||||
| ZAR | 135,164,000 | USD | 9,103,502 | 03/18/2020 | 451,650 | |||||||||||||||
| TOTAL | $ | 2,231,033 | ||||||||||||||||||
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||||||
Morgan Stanley Co., Inc. | INR | 454,000,000 | USD | 6,361,876 | 03/18/2020 | $ | (36,968 | ) | ||||||||||||
| JPY | 56,276,000 | USD | 520,608 | 03/18/2020 | (452 | ) | ||||||||||||||
| SEK | 14,100,000 | USD | 1,512,127 | 03/18/2020 | (1,272 | ) | ||||||||||||||
| TRY | 45,460,000 | USD | 7,680,860 | 03/18/2020 | (182,377 | ) | ||||||||||||||
| USD | 13,009,769 | AUD | 18,952,000 | 03/18/2020 | (314,576 | ) | ||||||||||||||
| USD | 6,646,830 | BRL | 27,780,000 | 01/03/2020 | (258,979 | ) | ||||||||||||||
| USD | 6,803,571 | BRL | 27,780,000 | 02/04/2020 | (95,602 | ) | ||||||||||||||
| USD | 21,660,907 | CAD | 28,512,000 | 03/18/2020 | (301,726 | ) | ||||||||||||||
| USD | 1,322,656 | CHF | 1,299,000 | 03/18/2020 | (26,763 | ) | ||||||||||||||
| USD | 5,338,466 | CLP | 4,250,000,000 | 03/18/2020 | (318,399 | ) | ||||||||||||||
| USD | 6,727,667 | COP | 23,562,000,000 | 03/18/2020 | (414,446 | ) | ||||||||||||||
| USD | 5,883,561 | CZK | 135,008,000 | 03/18/2020 | (72,910 | ) | ||||||||||||||
| USD | 32,116,126 | EUR | 28,733,000 | 03/18/2020 | (265,964 | ) | ||||||||||||||
| USD | 1,002,908 | GBP | 762,250 | 03/18/2020 | (8,863 | ) | ||||||||||||||
| USD | 10,414,368 | HUF | 3,089,450,000 | 03/18/2020 | (95,730 | ) | ||||||||||||||
| USD | 18,178,008 | KRW | 21,600,000,000 | 03/18/2020 | (546,362 | ) | ||||||||||||||
| USD | 9,915,046 | NOK | 90,600,000 | 03/18/2020 | (407,006 | ) | ||||||||||||||
| USD | 4,189,210 | NZD | 6,400,000 | 03/18/2020 | (123,958 | ) | ||||||||||||||
| USD | 7,701,956 | PLN | 29,643,000 | 03/18/2020 | (112,838 | ) | ||||||||||||||
| USD | 5,169,241 | SEK | 48,826,600 | 03/18/2020 | (62,669 | ) | ||||||||||||||
| USD | 14,550 | ZAR | 215,000 | 03/18/2020 | (649 | ) | ||||||||||||||
| TOTAL | $ | (3,648,509 | ) | |||||||||||||||||
FUTURES CONTRACTS — At December 31, 2019, the Fund had the following futures contracts:
| Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
100 oz Gold | 15 | 02/26/2020 | $ | 2,280,900 | $ | 41,509 | ||||||||||
Amsterdam Exchange Index | 71 | 01/17/2020 | 9,630,631 | (91,368 | ) | |||||||||||
BIST 30 Index | 553 | 02/28/2020 | 1,313,480 | 10,995 | ||||||||||||
Brent Crude Oil | 33 | 01/31/2020 | 2,178,990 | 107,654 | ||||||||||||
CAC 40 10 Euro Index | 141 | 01/17/2020 | 9,442,134 | (59,131 | ) | |||||||||||
Coffee “C” | 32 | 03/19/2020 | 1,549,800 | (30,704 | ) | |||||||||||
DAX Index | 25 | 03/20/2020 | 9,286,624 | (69,892 | ) | |||||||||||
DJIA CBOTE-Mini Index | 41 | 03/20/2020 | 5,844,140 | 77,622 | ||||||||||||
EURO STOXX 50 Index | 189 | 03/20/2020 | 7,905,528 | (49,598 | ) | |||||||||||
Feeder Cattle | 30 | 03/26/2020 | 2,163,000 | 28,955 | ||||||||||||
FTSE 100 Index | 99 | 03/20/2020 | 9,833,844 | (40,253 | ) | |||||||||||
| The accompanying notes are an integral part of these financial statements. | 75 |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Consolidated Schedule of Investments(continued)
December 31, 2019
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS (continued)
| Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: (continued) | ||||||||||||||||
FTSE/MIB Index | 71 | 03/20/2020 | $ | 9,321,944 | $ | (104,750 | ) | |||||||||
IBEX 35 Index | 98 | 01/17/2020 | 10,474,136 | (97,712 | ) | |||||||||||
KOSPI 200 Index | 100 | 03/12/2020 | 6,381,599 | 375,642 | ||||||||||||
Live Cattle | 43 | 02/28/2020 | 2,166,770 | 24,481 | ||||||||||||
LME Aluminum Base Metal | 127 | 01/15/2020 | 5,680,869 | 109,594 | ||||||||||||
LME Copper Base Metal | 25 | 01/15/2020 | 3,849,063 | 151,778 | ||||||||||||
LME Copper Base Metal | 6 | 02/19/2020 | 925,275 | 9,998 | ||||||||||||
LME Lead Base Metal | 48 | 01/15/2020 | 2,300,400 | (214,913 | ) | |||||||||||
LME Lead Base Metal | 16 | 02/19/2020 | 770,300 | 15,662 | ||||||||||||
LME Nickel Base Metal | 20 | 01/15/2020 | 1,676,160 | (279,047 | ) | |||||||||||
LME Nickel Base Metal | 13 | 02/19/2020 | 1,092,000 | 41,933 | ||||||||||||
LME Zinc Base Metal | 35 | 01/13/2020 | 1,995,875 | (147,908 | ) | |||||||||||
Low Sulphur Gasoil | 41 | 02/12/2020 | 2,520,475 | 125,343 | ||||||||||||
MSCI Taiwan Index | 131 | 01/30/2020 | 6,020,760 | (21,924 | ) | |||||||||||
NASDAQ 100E-Mini Index | 27 | 03/20/2020 | 4,726,215 | 141,161 | ||||||||||||
Nikkei 225 Index | 22 | 03/12/2020 | 4,786,526 | 63,730 | ||||||||||||
NY Harbor ULSD | 30 | 01/31/2020 | 2,553,894 | 122,952 | ||||||||||||
OMXS30 Index | 454 | 01/17/2020 | 8,570,954 | (102,823 | ) | |||||||||||
RBOB Gasoline | 29 | 01/31/2020 | 2,063,292 | 79,821 | ||||||||||||
S&P 500E-Mini Index | 385 | 03/20/2020 | 62,198,675 | 802,489 | ||||||||||||
S&P/TSX 60 Index | 109 | 03/19/2020 | 16,996,126 | 2,348 | ||||||||||||
SGX FTSE China A50 Index | 297 | 01/23/2020 | 4,279,770 | 95,839 | ||||||||||||
Silver | 15 | 03/27/2020 | 1,343,625 | 17,134 | ||||||||||||
SPI 200 Index | 141 | 03/19/2020 | 16,333,634 | (212,661 | ) | |||||||||||
TOPIX Index | 31 | 03/12/2020 | 4,910,128 | 31,566 | ||||||||||||
VSTOXX | 224 | 01/22/2020 | 360,559 | (21,203 | ) | |||||||||||
Wheat | 68 | 03/13/2020 | 1,899,750 | 126,898 | ||||||||||||
WTI Crude Oil | 34 | 01/21/2020 | 2,079,780 | 86,426 | ||||||||||||
| Total | $ | 1,147,643 | ||||||||||||||
Short position contracts: | ||||||||||||||||
Corn | (120 | ) | 03/13/2020 | (2,325,000 | ) | (40,053 | ) | |||||||||
Cotton No. 2 | (35 | ) | 03/09/2020 | (1,206,625 | ) | (50,954 | ) | |||||||||
FTSE/JSE Top 40 Index | (287 | ) | 03/19/2020 | (10,524,290 | ) | (122,909 | ) | |||||||||
Hang Seng Index | (14 | ) | 01/30/2020 | (2,539,558 | ) | (19,198 | ) | |||||||||
HSCEI | (100 | ) | 01/30/2020 | (7,193,640 | ) | (70,864 | ) | |||||||||
KC HRW Wheat | (23 | ) | 03/13/2020 | (558,612 | ) | (59,021 | ) | |||||||||
Lean Hogs | (67 | ) | 02/14/2020 | (1,909,500 | ) | 6,269 | ||||||||||
LME Aluminum Base Metal | (127 | ) | 01/15/2020 | (5,680,869 | ) | (8,468 | ) | |||||||||
LME Aluminum Base Metal | (104 | ) | 02/19/2020 | (4,682,600 | ) | (154,502 | ) | |||||||||
LME Copper Base Metal | (25 | ) | 01/15/2020 | (3,849,062 | ) | (131,622 | ) | |||||||||
LME Copper Base Metal | (8 | ) | 02/19/2020 | (1,233,700 | ) | (52,269 | ) | |||||||||
LME Lead Base Metal | (48 | ) | 01/15/2020 | (2,300,400 | ) | 16,287 | ||||||||||
LME Lead Base Metal | (89 | ) | 02/19/2020 | (4,284,794 | ) | (8,554 | ) | |||||||||
LME Nickel Base Metal | (20 | ) | 01/15/2020 | (1,676,160 | ) | 13,963 | ||||||||||
LME Nickel Base Metal | (18 | ) | 02/19/2020 | (1,512,000 | ) | (24,154 | ) | |||||||||
LME Zinc Base Metal | (35 | ) | 01/13/2020 | (1,995,875 | ) | 88,605 | ||||||||||
LME Zinc Base Metal | (60 | ) | 02/19/2020 | (3,416,625 | ) | (69,467 | ) | |||||||||
MSCI EAFEE-Mini Index | (89 | ) | 03/20/2020 | (9,062,425 | ) | 18,673 | ||||||||||
MSCI Emerging MarketsE-Mini Index | (223 | ) | 03/20/2020 | (12,490,230 | ) | (246,872 | ) | |||||||||
| 76 | 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) | ||||||||||||||||
Natural Gas | (126 | ) | 01/29/2020 | $ | (2,748,060 | ) | $ | 137,792 | ||||||||
Russell 2000E-Mini Index | (144 | ) | 03/20/2020 | (12,028,320 | ) | (157,939 | ) | |||||||||
SET50 Index | (1,448 | ) | 03/30/2020 | (10,315,044 | ) | 1,833 | ||||||||||
Soybean | (52 | ) | 03/13/2020 | (2,480,400 | ) | (135,339 | ) | |||||||||
Sugar No. 11 | (11 | ) | 02/28/2020 | (165,581 | ) | (12,724 | ) | |||||||||
| Total | $ | (1,081,487 | ) | |||||||||||||
| Total Futures Contracts | $ | 66,156 | ||||||||||||||
SWAP CONTRACTS— At December 31, 2019, 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 | Value | Upfront Premium (Received) Paid | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
3 Month BBR(b) | 0.750% | 03/18/2021 | AUD | 463,770 | $ | (272,070 | ) | $ | 19,190 | $ | (291,260 | ) | ||||||||||||||
2.000%(c) | 3 Month BA | 03/18/2021 | CAD | 127,360 | (10,390 | ) | (33,248 | ) | 22,858 | |||||||||||||||||
0.000(d) | 6 Month LIBOR | 03/18/2021 | CHF | 499,280 | (3,281,571 | ) | (3,430,052 | ) | 148,481 | |||||||||||||||||
0.000(d) | 6 Month EURIBOR | 03/18/2021 | EUR | 1,109,340 | (3,927,843 | ) | (4,224,342 | ) | 296,499 | |||||||||||||||||
1.000(c) | 6 Month LIBOR | 03/18/2021 | GBP | 265,400 | (756,802 | ) | (761,750 | ) | 4,948 | |||||||||||||||||
0.250(d) | 3 Month STIBOR | 03/18/2021 | SEK | 6,729,020 | (305,427 | ) | (786,809 | ) | 481,382 | |||||||||||||||||
3 Month LIBOR(b) | 1.500 | 03/18/2021 | USD | 880,330 | (1,786,106 | ) | (1,131,867 | ) | (654,239 | ) | ||||||||||||||||
0.000(d) | 6 Month EURIBOR | 03/18/2022 | EUR | 109,210 | (681,135 | ) | (780,853 | ) | 99,718 | |||||||||||||||||
1.000(c) | 6 Month LIBOR | 03/18/2022 | GBP | 4,500 | (25,062 | ) | (21,625 | ) | (3,437 | ) | ||||||||||||||||
1.500(c) | 3 Month LIBOR | 03/18/2022 | USD | 139,160 | 443,615 | 316,211 | 127,404 | |||||||||||||||||||
1.500(d) | 6 Month PRIBOR | 03/18/2025 | CZK | 653,090 | 746,134 | 389,196 | 356,938 | |||||||||||||||||||
6 Month BUBOR(c) | 1.000 | 03/18/2025 | HUF | 8,070,340 | 312 | (486,568 | ) | 486,880 | ||||||||||||||||||
1 Month TIIE(e) | 6.750 | 03/18/2025 | MXN | 336,080 | 132,134 | (783,411 | ) | 915,545 | ||||||||||||||||||
6 Month WIBOR(c) | 1.750 | 03/18/2025 | PLN | 137,260 | (69,684 | ) | (40,188 | ) | (29,496 | ) | ||||||||||||||||
3 Month JIBAR(b) | 7.000 | 03/18/2025 | ZAR | 159,510 | 7,418 | (361,507 | ) | 368,925 | ||||||||||||||||||
2.000(c) | 3 Month BA | 03/18/2030 | CAD | 4,160 | 50,897 | 16,436 | 34,461 | |||||||||||||||||||
6 Month LIBOR(c) | 0.000 | 03/18/2030 | CHF | 8,100 | 75,055 | 172,770 | (97,715 | ) | ||||||||||||||||||
0.250(d) | 6 Month EURIBOR | 03/18/2030 | EUR | 29,150 | (67,589 | ) | (487,341 | ) | 419,752 | |||||||||||||||||
1.000(c) | 6 Month LIBOR | 03/18/2030 | GBP | 5,300 | 11,312 | (27,517 | ) | 38,829 | ||||||||||||||||||
3 Month STIBOR(b) | 0.750 | 03/18/2030 | SEK | 18,400 | 6,967 | 33,582 | (26,615 | ) | ||||||||||||||||||
3 Month LIBOR(b) | 1.750 | 03/18/2030 | USD | 21,650 | (301,694 | ) | (137 | ) | (301,557 | ) | ||||||||||||||||
6 Month EURIBOR(c) | 0.500 | 03/18/2050 | EUR | 21,580 | (897,876 | ) | (112,542 | ) | (785,334 | ) | ||||||||||||||||
6 Month LIBOR(c) | 1.000 | 03/18/2050 | GBP | 3,910 | (140,503 | ) | (56,085 | ) | (84,418 | ) | ||||||||||||||||
3 Month LIBOR(b) | 2.000 | 03/18/2050 | USD | 7,430 | (163,741 | ) | (30,532 | ) | (133,209 | ) | ||||||||||||||||
| TOTAL | $ | (11,213,649 | ) | $ | (12,608,989 | ) | $ | 1,395,340 | ||||||||||||||||||
| (a) | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to December 31, 2019. |
| (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. | 77 |
GOLDMAN SACHS ALTERNATIVE FUNDS
Consolidated Statements of Assets and Liabilities(a)
December 31, 2019
| Absolute Return Tracker Fund | Alternative Premia Fund | Commodity Strategy Fund | Managed Futures Strategy Fund | |||||||||||||||
| Assets: |
| |||||||||||||||||
Investments in unaffiliated issuers, at value (cost $885,027,573 $0, $71,884,379 and $0)(b) | $ | 1,060,562,166 | $ | — | $ | 72,795,788 | $ | — | ||||||||||
Investments in affiliated issuers, at value (cost $2,337,246,531, $41,109,961, $171,409,234 and $201,860,247) | 2,337,246,531 | 41,109,961 | 171,476,734 | 201,860,247 | ||||||||||||||
Investments in affiliated securities lending reinvestment vehicle, at value (cost $29,148,415, $0, $0 and $0) | 29,148,415 | — | — | — | ||||||||||||||
Purchased Options, at value (premiums paid $0, $221,813, $37,709 and $0) | — | 122,283 | 56,838 | — | ||||||||||||||
Cash | 27,756,876 | 994,985 | 15,851,878 | 13,627,956 | ||||||||||||||
Foreign currencies, at value (cost $24,332,955, $2,426,821, $0 and $10,957,661) | 24,845,274 | 2,527,904 | — | 11,676,461 | ||||||||||||||
Receivables: | ||||||||||||||||||
Collateral on certain derivative contracts(c) | 104,001,354 | 8,523,415 | 8,167,271 | 38,595,711 | ||||||||||||||
Fund shares sold | 10,024,355 | — | 194,551 | 492,222 | ||||||||||||||
Dividends and interest | 3,923,767 | 54,504 | 567,425 | 275,553 | ||||||||||||||
Reimbursement from investment adviser | 194,518 | 43,026 | 47,083 | — | ||||||||||||||
Foreign tax reclaims | 77,888 | 238,822 | — | — | ||||||||||||||
Securities lending income | 11,303 | — | — | — | ||||||||||||||
Investments sold | 58 | 44,733 | — | — | ||||||||||||||
Due from broker | — | 66,697 | 18,123,006 | — | ||||||||||||||
Unrealized gain on forward foreign currency exchange contracts | 781,513 | 167,883 | — | 2,231,033 | ||||||||||||||
Variation margin on futures | — | 151,007 | 193,822 | — | ||||||||||||||
Variation margin on swaps | — | — | 6,367 | — | ||||||||||||||
Unrealized gain on swap contracts | 549,892 | 518,597 | 913 | — | ||||||||||||||
Other assets | 86,551 | 46,424 | 33,424 | 20,282 | ||||||||||||||
| Total assets | 3,599,210,461 | 54,610,241 | 287,515,100 | 268,779,465 | ||||||||||||||
| Liabilities: |
| |||||||||||||||||
Written options, at value (premiums received $6,898,976, $654,593, $30,526 and $0) | 2,814,950 | 823,235 | 36,328 | — | ||||||||||||||
Unrealized loss on forward foreign currency exchange contracts | 1,442,072 | 505,172 | — | 3,648,509 | ||||||||||||||
Variation margin on futures | 1,420,381 | — | — | 336,108 | ||||||||||||||
Unrealized loss on swap contracts | 1,173,400 | 638,447 | — | — | ||||||||||||||
Variation margin on swaps | 311,535 | 2,931 | — | 572,266 | ||||||||||||||
Payables: | ||||||||||||||||||
Payable upon return of securities loaned | 29,148,415 | — | — | — | ||||||||||||||
Fund shares redeemed | 5,417,062 | 122,728 | 617,980 | 2,691,376 | ||||||||||||||
Investments purchased | 3,047,962 | 65,748 | — | 211,696 | ||||||||||||||
Management fees | 1,599,651 | 29,373 | 98,023 | 193,480 | ||||||||||||||
Collateral on certain derivative contracts(c) | 740,000 | — | 9,780,000 | — | ||||||||||||||
Distribution and Service fees and Transfer Agency fees | 200,957 | 8,991 | 19,203 | 26,784 | ||||||||||||||
Accrued expenses and other liabilities | 736,787 | 378,992 | 371,154 | 314,154 | ||||||||||||||
| Total liabilities | 48,053,172 | 2,575,617 | 10,922,688 | 7,994,373 | ||||||||||||||
| Net Assets: |
| |||||||||||||||||
Paid-in capital | 3,450,014,849 | 51,980,156 | $ | 278,839,883 | 260,449,351 | |||||||||||||
Total distributable earnings (loss) | 101,142,440 | 54,468 | (2,247,471 | ) | 335,741 | |||||||||||||
| NET ASSETS | $ | 3,551,157,289 | $ | 52,034,624 | $ | 276,592,412 | $ | 260,785,092 | ||||||||||
Net Assets: | ||||||||||||||||||
Class A | $ | 80,596,364 | $ | 8,046,741 | $ | 22,569,228 | $ | 7,712,467 | ||||||||||
Class C | 15,760,599 | 4,334,653 | 2,271,462 | 3,278,528 | ||||||||||||||
Institutional | 2,852,690,236 | 13,006,397 | 156,672,687 | 90,622,673 | ||||||||||||||
Investor | 370,778,663 | 3,911,067 | 6,650,987 | 106,968,195 | ||||||||||||||
Class P | 219,700,682 | 13,409 | 977,355 | 165,589 | ||||||||||||||
Class R | 2,346,843 | 52,865 | 2,280,411 | 539,045 | ||||||||||||||
Class R6 | 9,283,902 | 22,669,492 | 85,170,282 | 51,498,595 | ||||||||||||||
Total Net Assets | $ | 3,551,157,289 | $ | 52,034,624 | $ | 276,592,412 | $ | 260,785,092 | ||||||||||
Shares outstanding $0.001 par value (unlimited shares authorized): | ||||||||||||||||||
Class A | 8,535,228 | 1,009,170 | 2,218,582 | 802,296 | ||||||||||||||
Class C | 1,814,141 | 590,216 | 236,396 | 359,721 | ||||||||||||||
Institutional | 293,013,418 | 1,586,593 | 15,243,587 | 9,183,166 | ||||||||||||||
Investor | 38,461,293 | 481,736 | 646,396 | 10,945,708 | ||||||||||||||
Class P | 22,579,112 | 1,637 | 94,939 | 16,787 | ||||||||||||||
Class R | 255,545 | 6,791 | 228,222 | 57,056 | ||||||||||||||
Class R6 | 954,750 | 2,773,164 | 8,269,096 | 5,215,665 | ||||||||||||||
Net asset value, offering and redemption price per share:(d) | ||||||||||||||||||
Class A | $9.44 | $7.97 | $10.17 | $9.61 | ||||||||||||||
Class C | 8.69 | 7.34 | 9.61 | 9.11 | ||||||||||||||
Institutional | 9.74 | 8.20 | 10.28 | 9.87 | ||||||||||||||
Investor | 9.64 | 8.12 | 10.29 | 9.77 | ||||||||||||||
Class P | 9.73 | 8.19 | 10.29 | 9.86 | ||||||||||||||
Class R | 9.18 | 7.78 | 9.99 | 9.45 | ||||||||||||||
Class R6 | 9.72 | 8.17 | 10.30 | 9.87 | ||||||||||||||
| (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 $28,670,860 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 | $ | — | $ | 29,246,258 | $ | 54,642,473 | $ | 19,372,623 | ||||||||||
| Alternative Premia | 300,000 | 4,575,298 | 3,526,498 | 121,619 | ||||||||||||||
| Commodity Strategy | — | — | — | (1,612,729 | ) | |||||||||||||
| Managed Futures Strategy | 10,950,000 | 16,538,554 | — | 11,107,157 | ||||||||||||||
| (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 $9.99, $8.43, $10.65 and $10.17, 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. |
| 78 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE FUNDS
Consolidated Statements of Operations(a)
For the Fiscal Year Ended December 31, 2019
| 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 $11,587, $0, $9,787 and $43,382) | $ | 39,930,046 | $ | 1,351,333 | $ | 4,389,551 | $ | 3,773,314 | ||||||||||
Dividends — unaffiliated issuers (net of foreign taxes withheld of $294,418, $0, $0 and $0) | 22,094,638 | 66,624 | — | — | ||||||||||||||
Securities lending income — affiliated issuer | 321,934 | — | — | — | ||||||||||||||
Interest | — | — | 2,027,361 | 39,802 | ||||||||||||||
| Total investment income | 62,346,618 | 1,417,957 | 6,416,912 | 3,813,116 | ||||||||||||||
| Expenses: |
| |||||||||||||||||
Management fees | 19,603,520 | 675,626 | 1,851,372 | 2,674,694 | ||||||||||||||
Transfer Agency fees(b) | 1,746,874 | 58,551 | 155,622 | 255,799 | ||||||||||||||
Custody, accounting and administrative services | 537,047 | 143,829 | 160,990 | 117,929 | ||||||||||||||
Distribution and Service fees(b) | 388,357 | 85,029 | 100,331 | 57,789 | ||||||||||||||
Printing and mailing costs | 356,118 | 42,255 | 138,197 | 81,664 | ||||||||||||||
Registration fees | 235,631 | 100,480 | 112,924 | 117,010 | ||||||||||||||
Professional fees | 148,906 | 230,888 | 151,436 | 150,276 | ||||||||||||||
Shareholder meeting expense | 114,393 | 7,270 | 61,968 | 21,473 | ||||||||||||||
Trustee fees | 20,779 | 15,965 | 16,334 | 16,225 | ||||||||||||||
Other | 72,845 | 17,383 | 22,325 | 20,747 | ||||||||||||||
| Total expenses | 23,224,470 | 1,377,276 | 2,771,499 | 3,513,606 | ||||||||||||||
Less — expense reductions | (4,437,742 | ) | (665,276 | ) | (1,036,631 | ) | (569,567 | ) | ||||||||||
| Net expenses | 18,786,728 | 712,000 | 1,734,868 | 2,944,039 | ||||||||||||||
| NET INVESTMENT INCOME | 43,559,890 | 705,957 | 4,682,044 | 869,077 | ||||||||||||||
| Realized and unrealized gain (loss): |
| |||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||||
Investments — unaffiliated issuers | 692,889 | — | 614,504 | — | ||||||||||||||
Investments — affiliated issuers | — | — | 16,969 | — | ||||||||||||||
Futures contracts | 24,842,907 | 170,873 | (4,552,340 | ) | (14,451,713 | ) | ||||||||||||
Purchased options | — | (1,592,304 | ) | (12,174 | ) | — | ||||||||||||
Swap contracts | 4,011,744 | (2,395,584 | ) | 43,139,157 | 23,662,400 | |||||||||||||
Forward foreign currency exchange contracts | (2,050,787 | ) | 2,326,422 | — | 473,420 | |||||||||||||
Foreign currency transactions | 2,406,627 | 282,233 | — | (1,655,944 | ) | |||||||||||||
Written options | 21,705,980 | 1,493,720 | — | — | ||||||||||||||
Net change in unrealized gain (loss) on: |
| |||||||||||||||||
Investments — unaffiliated issuers | 207,605,823 | — | 2,434,617 | — | ||||||||||||||
Investments — affiliated issuers | — | — | 60,000 | — | ||||||||||||||
Futures contracts | (12,674,224 | ) | 406,777 | 2,317,190 | (1,140,927 | ) | ||||||||||||
Purchased options | — | (219,591 | ) | 19,129 | — | |||||||||||||
Swap contracts | 10,147,432 | (164,014 | ) | 27,412 | (2,641,600 | ) | ||||||||||||
Forward foreign currency exchange contracts | 157,907 | 41,128 | — | (1,727,931 | ) | |||||||||||||
Foreign currency translation | (138,123 | ) | 19,263 | — | (401,378 | ) | ||||||||||||
Written options | 8,066,655 | 458,399 | (5,802 | ) | — | |||||||||||||
| Net realized and unrealized gain | 264,774,830 | 827,322 | 44,058,662 | 2,116,327 | ||||||||||||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 308,334,720 | $ | 1,533,279 | $ | 48,740,706 | $ | 2,985,404 | ||||||||||
| (a) | Statements 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 | Class R | Class R6 | ||||||||||||||||||||||||||||||
Absolute Return Tracker | $ | 198,108 | $ | 178,946 | $ | 11,303 | $ | 138,615 | $ | 31,377 | $ | 974,240 | $ | 539,426 | $ | 57,118 | $ | 3,950 | $ | 2,148 | ||||||||||||||||||||
Alternative Premia | 21,072 | 63,486 | 471 | 14,764 | 11,168 | 5,541 | 14,031 | 4 | 166 | 12,877 | ||||||||||||||||||||||||||||||
Commodity Strategy | 63,258 | 25,464 | 11,609 | 32,894 | 3,311 | 79,763 | 12,191 | 870 | 3,018 | 23,575 | ||||||||||||||||||||||||||||||
Managed Futures Strategy | 22,602 | 32,319 | 2,868 | 15,812 | 5,646 | 29,795 | 187,962 | 99 | 1,004 | 15,481 | ||||||||||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 79 |
GOLDMAN SACHS ALTERNATIVE FUNDS
Consolidated Statements of Changes in Net Assets(a)
| Absolute Return Tracker Fund | Alternative Premia Fund | |||||||||||||||||||||
| For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||||||||
| From operations: |
| |||||||||||||||||||||
Net investment income | $ | 43,559,890 | $ | 25,409,863 | $ | 705,957 | $ | 664,878 | ||||||||||||||
Net realized gain (loss) | 51,609,360 | (12,106,374 | ) | 285,360 | (8,127,438 | ) | ||||||||||||||||
Net change in unrealized gain (loss) | 213,165,470 | (96,453,469 | ) | 541,962 | (749,479 | ) | ||||||||||||||||
| Net increase (decrease) in net assets resulting from operations | 308,334,720 | (83,149,980 | ) | 1,533,279 | (8,212,039 | ) | ||||||||||||||||
| Distributions to shareholders: |
| |||||||||||||||||||||
From distributable earnings: | ||||||||||||||||||||||
Class A Shares | (2,592,132 | ) | (1,511,937 | ) | — | (478,739 | ) | |||||||||||||||
Class C Shares | (428,576 | ) | (365,221 | ) | — | (503,059 | ) | |||||||||||||||
Institutional Shares | (100,628,198 | ) | (57,165,461 | ) | — | (601,357 | ) | |||||||||||||||
Investor Shares | (12,740,193 | ) | (6,496,428 | ) | — | (488,889 | ) | |||||||||||||||
Class P Shares(b) | (7,529,973 | ) | (4,257,351 | ) | — | (685 | ) | |||||||||||||||
Class R Shares | (75,925 | ) | (44,609 | ) | — | (677 | ) | |||||||||||||||
Class R6 Shares | (316,963 | ) | (164,520 | ) | — | (2,753,859 | ) | |||||||||||||||
| Total distributions to shareholders | (124,311,960 | ) | (70,005,527 | ) | — | (4,827,265 | ) | |||||||||||||||
| From share transactions: |
| |||||||||||||||||||||
Proceeds from sales of shares | 1,849,950,371 | 2,260,230,175 | 13,706,994 | 151,588,154 | ||||||||||||||||||
Reinvestment of distributions | 97,133,671 | 54,104,738 | — | 4,797,057 | ||||||||||||||||||
Cost of shares redeemed | (1,209,080,827 | ) | (1,206,677,070 | ) | (73,158,871 | ) | (189,468,347 | ) | ||||||||||||||
| Net increase (decrease) in net assets resulting from share transactions | 738,003,215 | 1,107,657,843 | (59,451,877 | ) | (33,083,136 | ) | ||||||||||||||||
| TOTAL INCREASE (DECREASE) | 922,025,975 | 954,502,336 | (57,918,598 | ) | (46,122,440 | ) | ||||||||||||||||
| Net Assets: |
| |||||||||||||||||||||
Beginning of year | 2,629,131,314 | 1,674,628,978 | 109,953,222 | 156,075,662 | ||||||||||||||||||
End of year | $ | 3,551,157,289 | $ | 2,629,131,314 | $ | 52,034,624 | $ | 109,953,222 | ||||||||||||||
| (a) | Statements of Changes in Net Assets for the Absolute Return Tracker and Alternative Premia Funds 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) | Commenced operations on April 17, 2018. |
| 80 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE FUNDS
Consolidated Statements of Changes in Net Assets(a)(continued)
| Commodity Strategy Fund | Managed Futures Strategy Fund | |||||||||||||||||||||
| For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||||||||
| From operations: |
| |||||||||||||||||||||
Net investment income | $ | 4,682,044 | $ | 4,659,489 | $ | 869,077 | $ | 293,847 | ||||||||||||||
Net realized gain (loss) | 39,206,116 | (60,883,660 | ) | 8,028,163 | (2,406,572 | ) | ||||||||||||||||
Net change in unrealized gain (loss) | 4,852,546 | (2,958,090 | ) | (5,911,836 | ) | (4,658,647 | ) | |||||||||||||||
| Net increase (decrease) in net assets resulting from operations | 48,740,706 | (59,182,261 | ) | 2,985,404 | (6,771,372 | ) | ||||||||||||||||
| Distributions to shareholders: |
| |||||||||||||||||||||
From distributable earnings: | ||||||||||||||||||||||
Class A Shares | (372,743 | ) | (304,997 | ) | (577,586 | ) | (11,658 | ) | ||||||||||||||
Class C Shares | (36,445 | ) | (5,522 | ) | (208,212 | ) | (5,457 | ) | ||||||||||||||
Institutional Shares | (2,728,661 | ) | (3,852,136 | ) | (6,209,376 | ) | (120,745 | ) | ||||||||||||||
Investor Shares | (113,406 | ) | (103,250 | ) | (7,186,902 | ) | (159,539 | ) | ||||||||||||||
Class P Shares(b) | (20,023 | ) | (66,814 | ) | (14,535 | ) | (662 | ) | ||||||||||||||
Class R Shares | (36,299 | ) | (17,262 | ) | (34,183 | ) | (935 | ) | ||||||||||||||
Class R6 Shares(c) | (1,410,398 | ) | (15,225 | ) | (3,422,044 | ) | (83,342 | ) | ||||||||||||||
Return of capital | ||||||||||||||||||||||
Class A Shares | (1,847,277 | ) | — | — | — | |||||||||||||||||
Class C Shares | (180,615 | ) | — | — | — | |||||||||||||||||
Institutional Shares | (13,522,982 | ) | — | — | — | |||||||||||||||||
Investor Shares | (562,030 | ) | — | — | — | |||||||||||||||||
Class P Shares(b) | (99,232 | ) | — | — | — | |||||||||||||||||
Class R Shares | (179,895 | ) | — | — | — | |||||||||||||||||
Class R6 Shares(c) | (6,989,799 | ) | — | — | — | |||||||||||||||||
| Total distributions to shareholders | (28,099,805 | ) | (4,365,206 | ) | (17,652,838 | ) | (382,338 | ) | ||||||||||||||
| From share transactions: |
| |||||||||||||||||||||
Proceeds from sales of shares | 182,252,232 | 199,564,222 | 144,777,817 | 184,855,172 | ||||||||||||||||||
Reinvestment of distributions | 23,551,880 | 3,162,715 | 17,638,961 | 381,904 | ||||||||||||||||||
Cost of shares redeemed | (250,768,783 | ) | (214,478,490 | ) | (139,347,729 | ) | (207,886,873 | ) | ||||||||||||||
| Net increase (decrease) in net assets resulting from share transactions | (44,964,671 | ) | (11,751,553 | ) | 23,069,049 | (22,649,797 | ) | |||||||||||||||
| TOTAL INCREASE (DECREASE) | (24,323,770 | ) | (75,299,020 | ) | 8,401,615 | (29,803,507 | ) | |||||||||||||||
| Net Assets: |
| |||||||||||||||||||||
Beginning of year | 300,916,182 | 376,215,202 | 252,383,477 | 282,186,984 | ||||||||||||||||||
End of year | $ | 276,592,412 | $ | 300,916,182 | $ | 260,785,092 | $ | 252,383,477 | ||||||||||||||
| (a) | Statements of Changes in Net Assets for the 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) | Commenced operations on April 17, 2018. |
| (c) | Commenced operations on April 30, 2018 for Managed Futures Strategy Fund. |
| The accompanying notes are an integral part of these financial statements. | 81 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| (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 year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. |
| 82 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Absolute Return Tracker Fund | ||||||||||||||||||||||
| Class C Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 8.14 | $ | 8.61 | $ | 8.43 | $ | 8.17 | $ | 8.54 | ||||||||||||
Net investment income (loss)(a) | 0.03 | — | (b) | (0.07 | ) | (0.10 | ) | (0.13 | ) | |||||||||||||
Net realized and unrealized gain (loss) | 0.75 | (0.31 | ) | 0.58 | 0.40 | (0.14 | ) | |||||||||||||||
Total from investment operations | 0.78 | (0.31 | ) | 0.51 | 0.30 | (0.27 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.01 | ) | (0.02 | ) | — | — | — | |||||||||||||||
Distributions to shareholders from net realized gains | (0.22 | ) | (0.14 | ) | (0.33 | ) | (0.04 | ) | (0.10 | ) | ||||||||||||
Total distributions | (0.23 | ) | (0.16 | ) | (0.33 | ) | (0.04 | ) | (0.10 | ) | ||||||||||||
Net asset value, end of year | $ | 8.69 | $ | 8.14 | $ | 8.61 | $ | 8.43 | $ | 8.17 | ||||||||||||
| Total return(c) | 9.69 | % | (3.60 | )% | 6.10 | % | 3.62 | % | (3.20 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 15,761 | $ | 18,985 | $ | 13,718 | $ | 13,490 | $ | 18,329 | ||||||||||||
Ratio of net expenses to average net assets | 1.72 | % | 1.75 | % | 1.78 | % | 1.78 | % | 1.79 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.86 | % | 2.00 | % | 2.36 | % | 2.41 | % | 2.35 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | 0.34 | % | — | %(d) | (0.81 | )% | (1.18 | )% | (1.51 | )% | ||||||||||||
Portfolio turnover rate(e) | 127 | % | 137 | % | 76 | % | 130 | % | 213 | % | ||||||||||||
| (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 year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (d) | Amount is less than 0.005%. |
| (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. | 83 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Absolute Return Tracker Fund | ||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 9.10 | $ | 9.58 | $ | 9.23 | $ | 8.86 | $ | 9.22 | ||||||||||||
Net investment income (loss)(a) | 0.14 | 0.11 | 0.03 | — | (b) | (0.03 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | 0.85 | (0.35 | ) | 0.65 | 0.43 | (0.17 | ) | |||||||||||||||
Total from investment operations | 0.99 | (0.24 | ) | 0.68 | 0.43 | (0.20 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.13 | ) | (0.10 | ) | — | (b) | (0.02 | ) | (0.06 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.22 | ) | (0.14 | ) | (0.33 | ) | (0.04 | ) | (0.10 | ) | ||||||||||||
Total distributions | (0.35 | ) | (0.24 | ) | (0.33 | ) | (0.06 | ) | (0.16 | ) | ||||||||||||
Net asset value, end of year | $ | 9.74 | $ | 9.10 | $ | 9.58 | $ | 9.23 | $ | 8.86 | ||||||||||||
| Total return(c) | 10.91 | % | (2.47 | )% | 7.46 | % | 4.82 | % | (2.18 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 2,852,690 | $ | 2,129,116 | $ | 1,510,457 | $ | 970,838 | $ | 1,111,353 | ||||||||||||
Ratio of net expenses to average net assets | 0.59 | % | 0.61 | % | 0.64 | % | 0.62 | % | 0.64 | % | ||||||||||||
Ratio of total expenses to average net assets | 0.73 | % | 0.88 | % | 1.21 | % | 1.24 | % | 1.20 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | 1.46 | % | 1.13 | % | 0.36 | % | (0.02 | )% | (0.36 | )% | ||||||||||||
Portfolio turnover rate(d) | 127 | % | 137 | % | 76 | % | 130 | % | 213 | % | ||||||||||||
| (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 year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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 ABSOLUTE RETURN TRACKER FUND
Consolidated Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Absolute Return Tracker Fund | ||||||||||||||||||||||
| Investor Shares(a) | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 9.02 | $ | 9.50 | $ | 9.17 | $ | 8.80 | $ | 9.15 | ||||||||||||
Net investment income (loss)(b) | 0.13 | 0.10 | 0.03 | (0.01 | ) | (0.04 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | 0.83 | (0.35 | ) | 0.63 | 0.43 | (0.16 | ) | |||||||||||||||
Total from investment operations | 0.96 | (0.25 | ) | 0.66 | 0.42 | (0.20 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.12 | ) | (0.09 | ) | — | (0.01 | ) | (0.05 | ) | |||||||||||||
Distributions to shareholders from net realized gains | (0.22 | ) | (0.14 | ) | (0.33 | ) | (0.04 | ) | (0.10 | ) | ||||||||||||
Total distributions | (0.34 | ) | (0.23 | ) | (0.33 | ) | (0.05 | ) | (0.15 | ) | ||||||||||||
Net asset value, end of year | $ | 9.64 | $ | 9.02 | $ | 9.50 | $ | 9.17 | $ | 8.80 | ||||||||||||
| Total return(c) | 10.66 | % | (2.58 | )% | 7.25 | % | 4.75 | % | (2.23 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 370,779 | $ | 254,436 | $ | 93,650 | $ | 13,245 | $ | 6,755 | ||||||||||||
Ratio of net expenses to average net assets | 0.72 | % | 0.75 | % | 0.78 | % | 0.78 | % | 0.79 | % | ||||||||||||
Ratio of total expenses to average net assets | 0.87 | % | 0.98 | % | 1.35 | % | 1.42 | % | 1.35 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | 1.33 | % | 1.08 | % | 0.28 | % | (0.13 | )% | (0.49 | )% | ||||||||||||
Portfolio turnover rate(d) | 127 | % | 137 | % | 76 | % | 130 | % | 213 | % | ||||||||||||
| (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 year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. | 85 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Absolute Return Tracker Fund | ||||||||||
| Class P Shares | ||||||||||
| Year Ended December 31, 2019 | April 17, 2018* to December 31, 2018 | |||||||||
| Per Share Data |
| |||||||||
Net asset value, beginning of period | $ | 9.09 | $ | 9.64 | ||||||
Net investment income(a) | 0.14 | 0.10 | ||||||||
Net realized and unrealized gain (loss) | 0.85 | (0.41 | ) | |||||||
Total from investment operations | 0.99 | (0.31 | ) | |||||||
Distributions to shareholders from net investment income | (0.13 | ) | (0.10 | ) | ||||||
Distributions to shareholders from net realized gains | (0.22 | ) | (0.14 | ) | ||||||
Total distributions | (0.35 | ) | (0.24 | ) | ||||||
Net asset value, end of period | $ | 9.73 | $ | 9.09 | ||||||
| Total return(b) | 10.93 | % | (3.17 | )% | ||||||
Net assets, end of period (in 000s) | $ | 219,701 | $ | 152,975 | ||||||
Ratio of net expenses to average net assets | 0.58 | % | 0.59 | %(c) | ||||||
Ratio of total expenses to average net assets | 0.72 | % | 0.74 | %(c) | ||||||
Ratio of net investment income to average net assets | 1.48 | % | 1.41 | %(c) | ||||||
Portfolio turnover rate(d) | 127 | % | 137 | % | ||||||
| * | Commencement of operations. |
| (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 (if any). 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 ABSOLUTE RETURN TRACKER FUND
Consolidated Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Absolute Return Tracker Fund | ||||||||||||||||||||||
| Class R Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 8.61 | $ | 9.08 | $ | 8.82 | $ | 8.50 | $ | 8.85 | ||||||||||||
Net investment income (loss)(a) | 0.08 | 0.04 | (0.03 | ) | (0.06 | ) | (0.09 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | 0.78 | (0.33 | ) | 0.62 | 0.42 | (0.15 | ) | |||||||||||||||
Total from investment operations | 0.86 | (0.29 | ) | 0.59 | 0.36 | (0.24 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.07 | ) | (0.04 | ) | — | — | (0.01 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | (0.22 | ) | (0.14 | ) | (0.33 | ) | (0.04 | ) | (0.10 | ) | ||||||||||||
Total distributions | (0.29 | ) | (0.18 | ) | (0.33 | ) | (0.04 | ) | (0.11 | ) | ||||||||||||
Net asset value, end of year | $ | 9.18 | $ | 8.61 | $ | 9.08 | $ | 8.82 | $ | 8.50 | ||||||||||||
| Total return(b) | 10.06 | % | (3.13 | )% | 6.74 | % | 4.19 | % | (2.71 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 2,347 | $ | 1,954 | $ | 2,150 | $ | 2,197 | $ | 2,019 | ||||||||||||
Ratio of net expenses to average net assets | 1.22 | % | 1.25 | % | 1.28 | % | 1.28 | % | 1.29 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.37 | % | 1.53 | % | 1.86 | % | 1.91 | % | 1.85 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | 0.83 | % | 0.45 | % | (0.31 | )% | (0.66 | )% | (0.97 | )% | ||||||||||||
Portfolio turnover rate(c) | 127 | % | 137 | % | 76 | % | 130 | % | 213 | % | ||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. |
| The accompanying notes are an integral part of these financial statements. | 87 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Absolute Return Tracker Fund | ||||||||||||||||||||||
| Class R6 Shares | ||||||||||||||||||||||
| Year Ended December 31, | July 31, 2015* to December 31, 2015 | |||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of period | $ | 9.09 | $ | 9.57 | $ | 9.23 | $ | 8.86 | $ | 9.30 | ||||||||||||
Net investment income (loss)(a) | 0.14 | 0.12 | 0.04 | — | (b) | (0.01 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | 0.84 | (0.36 | ) | 0.63 | 0.43 | (0.26 | ) | |||||||||||||||
Total from investment operations | 0.98 | (0.24 | ) | 0.67 | 0.43 | (0.27 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.13 | ) | (0.10 | ) | — | (b) | (0.02 | ) | (0.07 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.22 | ) | (0.14 | ) | (0.33 | ) | (0.04 | ) | (0.10 | ) | ||||||||||||
Total distributions | (0.35 | ) | (0.24 | ) | (0.33 | ) | (0.06 | ) | (0.17 | ) | ||||||||||||
Net asset value, end of period | $ | 9.72 | $ | 9.09 | $ | 9.57 | $ | 9.23 | $ | 8.86 | ||||||||||||
| Total return(c) | 10.82 | % | (2.46 | )% | 7.36 | % | 4.85 | % | (2.98 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 9,284 | $ | 6,030 | $ | 2,226 | $ | 27 | $ | 10 | ||||||||||||
Ratio of net expenses to average net assets | 0.58 | % | 0.60 | % | 0.62 | % | 0.64 | % | 0.64 | %(d) | ||||||||||||
Ratio of total expenses to average net assets | 0.72 | % | 0.84 | % | 1.19 | % | 1.24 | % | 1.21 | %(d) | ||||||||||||
Ratio of net investment income (loss) to average net assets | 1.47 | % | 1.20 | % | 0.39 | % | 0.01 | % | (0.22 | )%(d) | ||||||||||||
Portfolio turnover rate(e) | 127 | % | 137 | % | 76 | % | 130 | % | 213 | % | ||||||||||||
| * | Commencement of operations. |
| (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 (if any). 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. |
| 88 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| (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 year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. | 89 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Alternative Premia Fund | ||||||||||||||||||||||
| Class C Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 7.35 | $ | 8.36 | $ | 9.55 | $ | 9.08 | $ | 10.15 | ||||||||||||
Net investment loss(a) | (0.01 | ) | (0.03 | ) | (0.08 | ) | (0.08 | ) | (0.11 | ) | ||||||||||||
Net realized and unrealized gain (loss) | — | (b) | (0.54 | ) | 1.32 | 0.55 | (0.68 | ) | ||||||||||||||
Total from investment operations | (0.01 | ) | (0.57 | ) | 1.24 | 0.47 | (0.79 | ) | ||||||||||||||
Distributions to shareholders from net investment income | — | — | (0.11 | ) | — | — | ||||||||||||||||
Distributions to shareholders from net realized gains | — | (0.44 | ) | (2.32 | ) | — | (0.28 | ) | ||||||||||||||
Total distributions | — | (0.44 | ) | (2.43 | ) | — | (0.28 | ) | ||||||||||||||
Net asset value, end of year | $ | 7.34 | $ | 7.35 | $ | 8.36 | $ | 9.55 | $ | 9.08 | ||||||||||||
| Total return(c) | (0.14 | )% | (6.93 | )% | 13.37 | % | 5.16 | % | (7.82 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 4,335 | $ | 8,547 | $ | 15,239 | $ | 20,123 | $ | 27,914 | ||||||||||||
Ratio of net expenses to average net assets | 1.89 | % | 1.88 | % | 1.87 | % | 1.90 | % | 1.88 | % | ||||||||||||
Ratio of total expenses to average net assets | 2.67 | % | 2.39 | % | 2.27 | % | 2.20 | % | 2.18 | % | ||||||||||||
Ratio of net investment loss to average net assets | (0.11 | )% | (0.41 | )% | (0.84 | )% | (0.88 | )% | (1.14 | )% | ||||||||||||
Portfolio turnover rate(d) | — | % | — | % | 349 | % | 272 | % | 241 | % | ||||||||||||
| (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 year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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 ALTERNATIVE PREMIA FUND
Consolidated Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Alternative Premia Fund | ||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 8.11 | $ | 9.07 | $ | 10.15 | $ | 9.54 | $ | 10.61 | ||||||||||||
Net investment income(a) | 0.08 | 0.05 | 0.04 | 0.03 | — | (b) | ||||||||||||||||
Net realized and unrealized gain (loss) | 0.01 | (0.57 | ) | 1.41 | 0.58 | (0.72 | ) | |||||||||||||||
Total from investment operations | 0.09 | (0.52 | ) | 1.45 | 0.61 | (0.72 | ) | |||||||||||||||
Distributions to shareholders from net investment income | — | — | (0.21 | ) | — | (0.07 | ) | |||||||||||||||
Distributions to shareholders from net realized gains | — | (0.44 | ) | (2.32 | ) | — | (0.28 | ) | ||||||||||||||
Total distributions | — | (0.44 | ) | (2.53 | ) | — | (0.35 | ) | ||||||||||||||
Net asset value, end of year | $ | 8.20 | $ | 8.11 | $ | 9.07 | $ | 10.15 | $ | 9.54 | ||||||||||||
| Total return(c) | 1.11 | % | (5.74 | )% | 14.59 | % | 6.38 | % | (6.84 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 13,006 | $ | 32,924 | $ | 114,953 | $ | 468,924 | $ | 510,789 | ||||||||||||
Ratio of net expenses to average net assets | 0.77 | % | 0.73 | % | 0.73 | % | 0.75 | % | 0.73 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.51 | % | 1.27 | % | 1.09 | % | 1.05 | % | 1.03 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.02 | % | 0.52 | % | 0.36 | % | 0.27 | % | — | %(d) | ||||||||||||
Portfolio turnover rate(e) | — | % | — | % | 349 | % | 272 | % | 241 | % | ||||||||||||
| (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 year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (d) | Amount is less than 0.005%. |
| (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. | 91 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Alternative Premia Fund | ||||||||||||||||||||||
| Investor Shares(a) | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 8.04 | $ | 9.02 | $ | 10.11 | $ | 9.52 | $ | 10.57 | ||||||||||||
Net investment income (loss)(b) | 0.07 | 0.05 | 0.02 | 0.01 | (0.01 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | 0.01 | (0.59 | ) | 1.41 | 0.58 | (0.72 | ) | |||||||||||||||
Total from investment operations | 0.08 | (0.54 | ) | 1.43 | 0.59 | (0.73 | ) | |||||||||||||||
Distributions to shareholders from net investment income | — | — | (0.20 | ) | — | (0.04 | ) | |||||||||||||||
Distributions to shareholders from net realized gains | — | (0.44 | ) | (2.32 | ) | — | (0.28 | ) | ||||||||||||||
Total distributions | — | (0.44 | ) | (2.52 | ) | — | (0.32 | ) | ||||||||||||||
Net asset value, end of year | $ | 8.12 | $ | 8.04 | $ | 9.02 | $ | 10.11 | $ | 9.52 | ||||||||||||
| Total return(c) | 1.00 | % | (5.99 | )% | 14.47 | % | 6.18 | % | (6.90 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 3,911 | $ | 9,092 | $ | 8,910 | $ | 5,733 | $ | 9,933 | ||||||||||||
Ratio of net expenses to average net assets | 0.88 | % | 0.88 | % | 0.86 | % | 0.90 | % | 0.88 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.66 | % | 1.39 | % | 1.28 | % | 1.20 | % | 1.18 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | 0.91 | % | 0.61 | % | 0.20 | % | 0.10 | % | (0.14 | )% | ||||||||||||
Portfolio turnover rate(d) | — | % | — | % | 349 | % | 272 | % | 241 | % | ||||||||||||
| (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 year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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 ALTERNATIVE PREMIA FUND
Consolidated Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Alternative Premia Fund | ||||||||||
| Class P Shares | ||||||||||
| Year Ended December 31, 2019 | April 17, 2018* to December 31, 2018 | |||||||||
| Per Share Data |
| |||||||||
Net asset value, beginning of period | $ | 8.10 | $ | 8.85 | ||||||
Net investment income(a) | 0.08 | 0.05 | ||||||||
Net realized and unrealized gain (loss) | 0.01 | (0.36 | ) | |||||||
Total from investment operations | 0.09 | (0.31 | ) | |||||||
Distributions to shareholders from net realized gains | — | (0.44 | ) | |||||||
Net asset value, end of period | $ | 8.19 | $ | 8.10 | ||||||
| Total return(b) | 1.11 | % | (3.51 | )% | ||||||
Net assets, end of period (in 000s) | $ | 13 | $ | 13 | ||||||
Ratio of net expenses to average net assets | 0.74 | % | 0.77 | %(c) | ||||||
Ratio of total expenses to average net assets | 1.56 | % | 1.36 | %(c) | ||||||
Ratio of net investment income to average net assets | 0.99 | % | 0.83 | %(c) | ||||||
Portfolio turnover rate(d) | — | % | — | % | ||||||
| * | Commencement of operations. |
| (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 (if any). 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 ALTERNATIVE PREMIA FUND
Consolidated Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Alternative Premia Fund | ||||||||||||||||||||||
| Class R Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 7.75 | $ | 8.75 | $ | 9.89 | $ | 9.36 | $ | 10.40 | ||||||||||||
Net investment income (loss)(a) | 0.03 | 0.01 | (0.03 | ) | (0.04 | ) | (0.05 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | — | (b) | (0.57 | ) | 1.37 | 0.57 | (0.71 | ) | ||||||||||||||
Total from investment operations | 0.03 | (0.56 | ) | 1.34 | 0.53 | (0.76 | ) | |||||||||||||||
Distributions to shareholders from net investment income | — | — | (0.16 | ) | — | — | ||||||||||||||||
Distributions to shareholders from net realized gains | — | (0.44 | ) | (2.32 | ) | — | (0.28 | ) | ||||||||||||||
Total distributions | — | (0.44 | ) | (2.48 | ) | — | (0.28 | ) | ||||||||||||||
Net asset value, end of year | $ | 7.78 | $ | 7.75 | $ | 8.75 | $ | 9.89 | $ | 9.36 | ||||||||||||
| Total return(C) | 0.39 | % | (6.40 | )% | 13.89 | % | 5.65 | % | (7.35 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 53 | $ | 13 | $ | 13 | $ | 12 | $ | 11 | ||||||||||||
Ratio of net expenses to average net assets | 1.36 | % | 1.38 | % | 1.36 | % | 1.40 | % | 1.33 | % | ||||||||||||
Ratio of total expenses to average net assets | 2.16 | % | 1.88 | % | 1.77 | % | 1.71 | % | 1.65 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | 0.42 | % | 0.11 | % | (0.33 | )% | (0.39 | )% | (0.49 | )% | ||||||||||||
Portfolio turnover rate(d) | — | % | — | % | 349 | % | 272 | % | 241 | % | ||||||||||||
| (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 year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. |
| 94 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Alternative Premia Fund | ||||||||||||||||||||||
| Class R6 Shares | ||||||||||||||||||||||
| Year Ended December 31, | July 31, 2015* to December 31, 2015 | |||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of period | $ | 8.09 | $ | 9.05 | $ | 10.15 | $ | 9.54 | $ | 10.46 | ||||||||||||
Net investment income (loss)(a) | 0.09 | 0.07 | 0.02 | 0.02 | (0.01 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | (0.01 | ) | (0.59 | ) | 1.42 | 0.59 | (0.56 | ) | ||||||||||||||
Total from investment operations | 0.08 | (0.52 | ) | 1.44 | 0.61 | (0.57 | ) | |||||||||||||||
Distributions to shareholders from net investment income | — | — | (0.22 | ) | — | (0.07 | ) | |||||||||||||||
Distributions to shareholders from net realized gains | — | (0.44 | ) | (2.32 | ) | — | (0.28 | ) | ||||||||||||||
Total distributions | — | (0.44 | ) | (2.54 | ) | — | (0.35 | ) | ||||||||||||||
Net asset value, end of period | $ | 8.17 | $ | 8.09 | $ | 9.05 | $ | 10.15 | $ | 9.54 | ||||||||||||
| Total return(b) | 0.99 | % | (5.75 | )% | 14.48 | % | 6.38 | % | (5.48 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 22,670 | $ | 50,199 | $ | 3,074 | $ | 10 | $ | 9 | ||||||||||||
Ratio of net expenses to average net assets | 0.74 | % | 0.72 | % | 0.72 | % | 0.77 | % | 0.77 | %(c) | ||||||||||||
Ratio of total expenses to average net assets | 1.52 | % | 1.24 | % | 1.27 | % | 1.02 | % | 0.97 | %(c) | ||||||||||||
Ratio of net investment income (loss) to average net assets | 1.05 | % | 0.82 | % | 0.22 | % | 0.24 | % | (0.21 | )%(c) | ||||||||||||
Portfolio turnover rate(d) | — | % | — | % | 349 | % | 272 | % | 241 | % | ||||||||||||
| * | Commencement of operations. |
| (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 (if any). 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 COMMODITY STRATEGY FUND
Consolidated Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. |
| 96 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Commodity Strategy Fund | ||||||||||||||||||||||
| Class C Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 9.17 | $ | 10.92 | $ | 11.15 | $ | 10.04 | $ | 14.99 | ||||||||||||
Net investment income (loss)(a) | 0.08 | 0.02 | (0.07 | ) | (0.06 | ) | (0.13 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | 1.35 | (1.75 | ) | 0.42 | 1.17 | (4.82 | ) | |||||||||||||||
Total from investment operations | 1.43 | (1.73 | ) | 0.35 | 1.11 | (4.95 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.17 | ) | (0.02 | ) | (0.46 | ) | — | — | ||||||||||||||
Distributions to shareholders from return of capital | (0.82 | ) | — | (0.12 | ) | — | — | |||||||||||||||
Total distributions | (0.99 | ) | (0.02 | ) | (0.58 | ) | — | — | ||||||||||||||
Net asset value, end of year | $ | 9.61 | $ | 9.17 | $ | 10.92 | $ | 11.15 | $ | 10.04 | ||||||||||||
| Total return(b) | 15.54 | % | (15.84 | )% | 3.16 | % | 11.02 | % | (32.95 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 2,271 | $ | 2,472 | $ | 2,949 | $ | 3,858 | $ | 4,578 | ||||||||||||
Ratio of net expenses to average net assets | 1.59 | % | 1.59 | % | 1.61 | % | 1.65 | % | 1.60 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.84 | % | 1.76 | % | 1.76 | % | 1.82 | % | 1.72 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | 0.81 | % | 0.14 | % | (0.68 | )% | (0.56 | )% | (0.97 | )% | ||||||||||||
Portfolio turnover rate(c) | 52 | % | 46 | % | 89 | % | 145 | % | 506 | % | ||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. |
| The accompanying notes are an integral part of these financial statements. | 97 |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Commodity Strategy Fund | ||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 9.74 | $ | 11.61 | $ | 11.80 | $ | 10.59 | $ | 15.72 | ||||||||||||
Net investment income(a) | 0.09 | 0.15 | 0.09 | 0.06 | 0.02 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.56 | (1.88 | ) | 0.40 | 1.25 | (5.10 | ) | |||||||||||||||
Total from investment operations | 1.65 | (1.73 | ) | 0.49 | 1.31 | (5.08 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.19 | ) | (0.14 | ) | (0.56 | ) | (0.10 | ) | (0.05 | ) | ||||||||||||
Distributions to shareholders from return of capital | (0.92 | ) | — | (0.12 | ) | — | — | |||||||||||||||
Total distributions | (1.11 | ) | (0.14 | ) | (0.68 | ) | (0.10 | ) | (0.05 | ) | ||||||||||||
Net asset value, end of year | $ | 10.28 | $ | 9.74 | $ | 11.61 | $ | 11.80 | $ | 10.59 | ||||||||||||
| Total return(b) | 16.77 | % | (14.89 | )% | 4.28 | % | 12.32 | % | (32.38 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 156,673 | $ | 259,239 | $ | 314,888 | $ | 326,270 | $ | 544,699 | ||||||||||||
Ratio of net expenses to average net assets | 0.50 | % | 0.50 | % | 0.52 | % | 0.56 | % | 0.51 | % | ||||||||||||
Ratio of total expenses to average net assets | 0.74 | % | 0.66 | % | 0.66 | % | 0.72 | % | 0.63 | % | ||||||||||||
Ratio of net investment income to average net assets | 0.81 | % | 1.23 | % | 0.78 | % | 0.53 | % | 0.12 | % | ||||||||||||
Portfolio turnover rate(c) | 52 | % | 46 | % | 89 | % | 145 | % | 506 | % | ||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. |
| 98 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Commodity Strategy Fund | ||||||||||||||||||||||
| Investor Shares(a) | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 9.75 | $ | 11.61 | $ | 11.81 | $ | 10.60 | $ | 15.74 | ||||||||||||
Net investment income (loss)(b) | (0.04 | ) | 0.14 | (0.02 | ) | 0.05 | — | (c) | ||||||||||||||
Net realized and unrealized gain (loss) | 1.68 | (1.87 | ) | 0.49 | 1.25 | (5.08 | ) | |||||||||||||||
Total from investment operations | 1.64 | (1.73 | ) | 0.47 | 1.30 | (5.08 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.18 | ) | (0.13 | ) | (0.55 | ) | (0.09 | ) | (0.06 | ) | ||||||||||||
Distributions to shareholders from return of capital | (0.92 | ) | — | (0.12 | ) | — | — | |||||||||||||||
Total distributions | (1.10 | ) | (0.13 | ) | (0.67 | ) | (0.09 | ) | (0.06 | ) | ||||||||||||
Net asset value, end of year | $ | 10.29 | $ | 9.75 | $ | 11.61 | $ | 11.81 | $ | 10.60 | ||||||||||||
| Total return(d) | 16.73 | % | (14.97 | )% | 4.08 | % | 12.21 | % | (32.15 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 6,651 | $ | 8,272 | $ | 8,586 | $ | 5,265 | $ | 6,699 | ||||||||||||
Ratio of net expenses to average net assets | 0.59 | % | 0.59 | % | 0.61 | % | 0.65 | % | 0.60 | % | ||||||||||||
Ratio of total expenses to average net assets | 0.83 | % | 0.75 | % | 0.75 | % | 0.82 | % | 0.72 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | (0.36 | )% | 1.15 | % | (0.18 | )% | 0.44 | % | 0.03 | % | ||||||||||||
Portfolio turnover rate(e) | 52 | % | 46 | % | 89 | % | 145 | % | 506 | % | ||||||||||||
| (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 year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. | 99 |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Commodity Strategy Fund | ||||||||||
| Class P Shares | ||||||||||
| Year Ended December 31, 2019 | April 17, 2018* to December 31, 2018 | |||||||||
| Per Share Data |
| |||||||||
Net asset value, beginning of period | $ | 9.76 | $ | 12.11 | ||||||
Net investment income (loss)(a) | (0.25 | ) | 0.12 | |||||||
Net realized and unrealized gain (loss) | 1.89 | (2.33 | ) | |||||||
Total from investment operations | 1.64 | (2.21 | ) | |||||||
Distributions to shareholders from net investment income | (0.19 | ) | (0.14 | ) | ||||||
Distributions to shareholders from return of capital | (0.92 | ) | — | |||||||
Total distributions | (1.11 | ) | (0.14 | ) | ||||||
Net asset value, end of period | $ | 10.29 | $ | 9.76 | ||||||
| Total return(b) | 16.73 | % | (18.31 | )% | ||||||
Net assets, end of period (in 000s) | $ | 977 | $ | 3,167 | ||||||
Ratio of net expenses to average net assets | 0.48 | % | 0.45 | %(c) | ||||||
Ratio of total expenses to average net assets | 0.72 | % | 0.65 | %(c) | ||||||
Ratio of net investment income (loss) to average net assets | (2.28 | )% | 1.43 | %(c) | ||||||
Portfolio turnover rate(d) | 52 | % | 46 | % | ||||||
| * | Commencement of operations. |
| (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 (if any). 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. |
| 100 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Commodity Strategy Fund | ||||||||||||||||||||||
| Class R Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 9.50 | $ | 11.31 | $ | 11.51 | $ | 10.35 | $ | 15.38 | ||||||||||||
Net investment income (loss)(a) | 0.16 | 0.07 | (0.04 | ) | (0.01 | ) | (0.06 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | 1.38 | (1.81 | ) | 0.45 | 1.21 | (4.97 | ) | |||||||||||||||
Total from investment operations | 1.54 | (1.74 | ) | 0.41 | 1.20 | (5.03 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.18 | ) | (0.07 | ) | (0.49 | ) | (0.04 | ) | — | (b) | ||||||||||||
Distributions to shareholders from return of capital | (0.87 | ) | — | (0.12 | ) | — | — | |||||||||||||||
Total distributions | (1.05 | ) | (0.07 | ) | (0.61 | ) | (0.04 | ) | — | (b) | ||||||||||||
Net asset value, end of year | $ | 9.99 | $ | 9.50 | $ | 11.31 | $ | 11.51 | $ | 10.35 | ||||||||||||
| Total return(c) | 16.11 | % | (15.40 | )% | 3.60 | % | 11.60 | % | (32.88 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 2,280 | $ | 2,233 | $ | 2,892 | $ | 4,419 | $ | 1,963 | ||||||||||||
Ratio of net expenses to average net assets | 1.09 | % | 1.09 | % | 1.11 | % | 1.14 | % | 1.10 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.34 | % | 1.25 | % | 1.26 | % | 1.34 | % | 1.23 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | 1.53 | % | 0.64 | % | (0.40 | )% | (0.07 | )% | (0.44 | )% | ||||||||||||
Portfolio turnover rate(d) | 52 | % | 46 | % | 89 | % | 145 | % | 506 | % | ||||||||||||
| (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 year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. | 101 |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Commodity Strategy Fund | ||||||||||||||||||||||
| Class R6 Shares | ||||||||||||||||||||||
| Year Ended December 31, | July 31, 2015* to December 31, 2015 | |||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | |||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of period | $ | 9.76 | $ | 11.62 | $ | 11.80 | $ | 10.60 | $ | 13.48 | ||||||||||||
Net investment income (loss)(a) | 0.38 | 0.14 | (0.45 | ) | 0.06 | 0.02 | ||||||||||||||||
Net realized and unrealized gain (loss) | 1.27 | (1.87 | ) | 0.95 | 1.24 | (2.86 | ) | |||||||||||||||
Total from investment operations | 1.65 | (1.73 | ) | 0.50 | 1.30 | (2.84 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.19 | ) | (0.13 | ) | (0.56 | ) | (0.10 | ) | (0.04 | ) | ||||||||||||
Distributions to shareholders from return of capital | (0.92 | ) | — | (0.12 | ) | — | — | |||||||||||||||
Total distributions | (1.11 | ) | (0.13 | ) | (0.68 | ) | (0.10 | ) | (0.04 | ) | ||||||||||||
Net asset value, end of period | $ | 10.30 | $ | 9.76 | $ | 11.62 | $ | 11.80 | $ | 10.60 | ||||||||||||
| Total return(b) | 16.87 | % | (14.96 | )% | 4.29 | % | 12.25 | % | (21.23 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 85,170 | $ | 182 | $ | 90 | $ | 1,907 | $ | 1,336 | ||||||||||||
Ratio of net expenses to average net assets | 0.49 | % | 0.49 | % | 0.50 | % | 0.54 | % | 0.51 | %(c) | ||||||||||||
Ratio of total expenses to average net assets | 0.75 | % | 0.68 | % | 0.66 | % | 0.72 | % | 0.64 | %(c) | ||||||||||||
Ratio of net investment income (loss) to average net assets | 3.52 | % | 1.15 | % | (4.04 | )% | 0.54 | % | 0.35 | %(c) | ||||||||||||
Portfolio turnover rate(d) | 52 | % | 46 | % | 89 | % | 145 | % | 506 | % | ||||||||||||
| * | Commencement of operations. |
| (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 (if any). 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. |
| 102 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Consolidated Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. |
| The accompanying notes are an integral part of these financial statements. | 103 |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Consolidated Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Managed Futures Strategy Fund | ||||||||||||||||||||||
| Class C Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 9.56 | $ | 9.88 | $ | 9.79 | $ | 9.95 | $ | 9.45 | ||||||||||||
Net investment loss(a) | (0.07 | ) | (0.09 | ) | (0.17 | ) | (0.21 | ) | (0.23 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 0.21 | (0.21 | ) | 0.31 | 0.05 | 1.07 | ||||||||||||||||
Total from investment operations | 0.14 | (0.30 | ) | 0.14 | (0.16 | ) | 0.84 | |||||||||||||||
Distributions to shareholders from net investment income | (0.52 | ) | — | — | — | (0.34 | ) | |||||||||||||||
Distributions to shareholders from net realized gains | (0.07 | ) | (0.02 | ) | (0.05 | ) | — | — | ||||||||||||||
Total distributions | (0.59 | ) | (0.02 | ) | (0.05 | ) | — | (0.34 | ) | |||||||||||||
Net asset value, end of year | $ | 9.11 | $ | 9.56 | $ | 9.88 | $ | 9.79 | $ | 9.95 | ||||||||||||
| Total return(b) | 1.51 | % | (3.08 | )% | 1.44 | % | (1.60 | )% | 8.93 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 3,279 | $ | 3,281 | $ | 3,480 | $ | 4,054 | $ | 3,056 | ||||||||||||
Ratio of net expenses to average net assets | 2.24 | % | 2.22 | % | 2.29 | % | 2.31 | % | 2.30 | % | ||||||||||||
Ratio of total expenses to average net assets | 2.39 | % | 2.37 | % | 2.48 | % | 2.49 | % | 2.60 | % | ||||||||||||
Ratio of net investment loss to average net assets | (0.69 | )% | (0.95 | )% | (1.72 | )% | (2.09 | )% | (2.28 | )% | ||||||||||||
Portfolio turnover rate(c) | — | % | — | % | — | % | 529 | % | 196 | % | ||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. |
| 104 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Consolidated Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Managed Futures Strategy Fund | ||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 10.28 | $ | 10.52 | $ | 10.29 | $ | 10.36 | $ | 9.77 | ||||||||||||
Net investment income (loss)(a) | 0.04 | 0.02 | (0.06 | ) | (0.10 | ) | (0.12 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | 0.25 | (0.24 | ) | 0.34 | 0.04 | 1.12 | ||||||||||||||||
Total from investment operations | 0.29 | (0.22 | ) | 0.28 | (0.06 | ) | 1.00 | |||||||||||||||
Distributions to shareholders from net investment income | (0.63 | ) | — | — | (0.01 | ) | (0.41 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | (0.07 | ) | (0.02 | ) | (0.05 | ) | — | — | ||||||||||||||
Total distributions | (0.70 | ) | (0.02 | ) | (0.05 | ) | (0.01 | ) | (0.41 | ) | ||||||||||||
Net asset value, end of year | $ | 9.87 | $ | 10.28 | $ | 10.52 | $ | 10.29 | $ | 10.36 | ||||||||||||
| Total return(b) | 2.82 | % | (2.13 | )% | 2.73 | % | (0.57 | )% | 10.24 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 90,623 | $ | 83,425 | $ | 163,971 | $ | 110,763 | $ | 87,820 | ||||||||||||
Ratio of net expenses to average net assets | 1.11 | % | 1.07 | % | 1.14 | % | 1.16 | % | 1.14 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.26 | % | 1.22 | % | 1.33 | % | 1.34 | % | 1.46 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | 0.42 | % | 0.16 | % | (0.54 | )% | (0.94 | )% | (1.12 | )% | ||||||||||||
Portfolio turnover rate(c) | — | % | — | % | — | % | 529 | % | 196 | % | ||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. |
| The accompanying notes are an integral part of these financial statements. | 105 |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Consolidated Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Managed Futures Strategy Fund | ||||||||||||||||||||||
| Investor Shares(a) | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 10.19 | $ | 10.44 | $ | 10.23 | $ | 10.30 | $ | 9.73 | ||||||||||||
Net investment income (loss)(b) | 0.03 | 0.01 | (0.06 | ) | (0.11 | ) | (0.13 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | 0.23 | (0.24 | ) | 0.32 | 0.04 | 1.11 | ||||||||||||||||
Total from investment operations | 0.26 | (0.23 | ) | 0.26 | (0.07 | ) | 0.98 | |||||||||||||||
Distributions to shareholders from net investment income | (0.61 | ) | — | — | — | (0.41 | ) | |||||||||||||||
Distributions to shareholders from net realized gains | (0.07 | ) | (0.02 | ) | (0.05 | ) | — | — | ||||||||||||||
Total distributions | (0.68 | ) | (0.02 | ) | (0.05 | ) | — | (0.41 | ) | |||||||||||||
Net asset value, end of year | $ | 9.77 | $ | 10.19 | $ | 10.44 | $ | 10.23 | $ | 10.30 | ||||||||||||
| Total return(c) | 2.60 | % | (2.24 | )% | 2.55 | % | (0.68 | )% | 10.08 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 106,968 | $ | 105,393 | $ | 106,431 | $ | 20,181 | $ | 6,489 | ||||||||||||
Ratio of net expenses to average net assets | 1.24 | % | 1.22 | % | 1.26 | % | 1.31 | % | 1.31 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.39 | % | 1.37 | % | 1.45 | % | 1.49 | % | 1.60 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | 0.31 | % | 0.06 | % | (0.60 | )% | (1.09 | )% | (1.26 | )% | ||||||||||||
Portfolio turnover rate(d) | — | % | — | % | — | % | 529 | % | 196 | % | ||||||||||||
| (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 year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. |
| 106 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Consolidated Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Managed Futures Strategy Fund | ||||||||||
| Class P Shares | ||||||||||
| Year Ended December 31, 2019 | April 17, 2018* to December 31, 2018 | |||||||||
| Per Share Data |
| |||||||||
Net asset value, beginning of period | $ | 10.28 | $ | 10.56 | ||||||
Net investment income(a) | 0.05 | 0.02 | ||||||||
Net realized and unrealized gain (loss) | 0.23 | (0.28 | ) | |||||||
Total from investment operations | 0.28 | (0.26 | ) | |||||||
Distributions to shareholders from net investment income | (0.63 | ) | — | |||||||
Distributions to shareholders from net realized gains | (0.07 | ) | (0.02 | ) | ||||||
Total distributions | (0.70 | ) | (0.02 | ) | ||||||
Net asset value, end of period | $ | 9.86 | $ | 10.28 | ||||||
| Total return(b) | 2.71 | % | (2.50 | )% | ||||||
Net assets, end of period (in 000s) | $ | 166 | $ | 429 | ||||||
Ratio of net expenses to average net assets | 1.09 | % | 1.12 | %(c) | ||||||
Ratio of total expenses to average net assets | 1.23 | % | 1.27 | %(c) | ||||||
Ratio of net investment income to average net assets | 0.49 | % | 0.32 | %(c) | ||||||
Portfolio turnover rate(d) | — | % | — | % | ||||||
| * | Commencement of operations. |
| (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 (if any). 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. | 107 |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Consolidated Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Managed Futures Strategy Fund | ||||||||||||||||||||||
| Class R Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 9.87 | $ | 10.16 | $ | 10.00 | $ | 10.12 | $ | 9.59 | ||||||||||||
Net investment loss(a) | (0.02 | ) | (0.04 | ) | (0.12 | ) | (0.16 | ) | (0.18 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 0.23 | (0.23 | ) | 0.33 | 0.04 | 1.09 | ||||||||||||||||
Total from investment operations | 0.21 | (0.27 | ) | 0.21 | (0.12 | ) | 0.91 | |||||||||||||||
Distributions to shareholders from net investment income | (0.56 | ) | — | — | — | (0.38 | ) | |||||||||||||||
Distributions to shareholders from net realized gains | (0.07 | ) | (0.02 | ) | (0.05 | ) | — | — | ||||||||||||||
Total distributions | (0.63 | ) | (0.02 | ) | (0.05 | ) | — | (0.38 | ) | |||||||||||||
Net asset value, end of year | $ | 9.45 | $ | 9.87 | $ | 10.16 | $ | 10.00 | $ | 10.12 | ||||||||||||
| Total return(b) | 2.14 | % | (2.70 | )% | 2.11 | % | (1.18 | )% | 9.47 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 539 | $ | 584 | $ | 595 | $ | 309 | $ | 197 | ||||||||||||
Ratio of net expenses to average net assets | 1.74 | % | 1.72 | % | 1.79 | % | 1.81 | % | 1.79 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.89 | % | 1.87 | % | 1.98 | % | 1.99 | % | 2.11 | % | ||||||||||||
Ratio of net investment loss to average net assets | (0.19 | )% | (0.44 | )% | (1.19 | )% | (1.59 | )% | (1.77 | )% | ||||||||||||
Portfolio turnover rate(c) | — | % | — | % | — | % | 529 | % | 196 | % | ||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. |
| 108 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Consolidated Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Managed Futures Strategy Fund | ||||||||||
| Class R6 Shares | ||||||||||
| Year Ended December 31, 2019 | April 30, 2018* to December 31, 2018 | |||||||||
| Per Share Data |
| |||||||||
Net asset value, beginning of period | $ | 10.29 | $ | 10.36 | ||||||
Net investment income(a) | 0.05 | 0.02 | ||||||||
Net realized and unrealized gain (loss) | 0.23 | (0.07 | ) | |||||||
Total from investment operations | 0.28 | (0.05 | ) | |||||||
Distributions to shareholders from net investment income | (0.63 | ) | — | |||||||
Distributions to shareholders from net realized gains | (0.07 | ) | (0.02 | ) | ||||||
Total distributions | (0.70 | ) | (0.02 | ) | ||||||
Net asset value, end of period | $ | 9.87 | $ | 10.29 | ||||||
| Total return(b) | 2.72 | % | (0.52 | )% | ||||||
Net assets, end of period (in 000s) | $ | 51,499 | $ | 50,649 | ||||||
Ratio of net expenses to average net assets | 1.09 | % | 1.12 | %(c) | ||||||
Ratio of total expenses to average net assets | 1.23 | % | 1.27 | %(c) | ||||||
Ratio of net investment income to average net assets | 0.47 | % | 0.31 | %(c) | ||||||
Portfolio turnover rate(d) | — | % | — | % | ||||||
| * | Commencement of operations. |
| (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 (if any). 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. | 109 |
GOLDMAN SACHS ALTERNATIVE FUNDS
December 31, 2019
| 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 anopen-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, R and R6 | Diversified |
Class A Shares of the Absolute Return Tracker, Alternative Premia and Managed Futures Strategy Funds are sold with afront-end sales charge of up to 5.50%. Class A Shares of the Commodity Strategy Fund are sold with afront-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. Each Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies
A. Basis of Consolidation for Absolute Return Tracker, Alternative Premia, Commodity Strategy and Managed Futures Strategy Funds — CaymanCommodity-ART, Ltd., CaymanCommodity-AP, Ltd., CaymanCommodity-CSF, Ltd. and CaymanCommodity-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 StrategyFunds, respectively. The Subsidiaries act as 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 anywinding-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 December 31, 2019, 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 | $ | 3,551,157,289 | $ | 13,245,010 | 1 | % | ||||||||
Alternative Premia | 52,034,990 | 10,207,676 | 20 | |||||||||||
Commodity Strategy | 276,592,412 | 52,691,946 | 19 | |||||||||||
Managed Futures Strategy | 260,785,092 | 53,077,834 | 20 | |||||||||||
B. Investment Valuation — The Funds’ valuation policy is to value investments at fair value.
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GOLDMAN SACHS ALTERNATIVE FUNDS
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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 onex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to theex-dividend date.Non-cash dividends, if any, are recorded at the fair market value of the securities received. 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 and/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 swap contracts whose realized gains or losses are recognized from the effective start date. For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities, and excess or shortfall amounts are recorded as income.
D. Class Allocations and Expenses— Investment income, realized and unrealized gain (loss), if any, andnon-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/orpro-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 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 theex-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 | 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. 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
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GOLDMAN SACHS ALTERNATIVE FUNDS
Notes to Financial Statements(continued)
December 31, 2019
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
financial statements as either from distributable earnings or capital. Certain components of the Funds’ net assets on the Consolidated Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
F. Foreign Currency Translation — The accounting records and reporting currency of 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).
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 GSAMday-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 may be valued at the closing bid price for long positions and at the closing 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 for long positions or the last ask price for short positions, 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
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GOLDMAN SACHS ALTERNATIVE FUNDS
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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 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 G7 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.
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. For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral
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GOLDMAN SACHS ALTERNATIVE FUNDS
Notes to Financial Statements(continued)
December 31, 2019
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
received, if any, is reported separately on the Statements of Assets and Liabilities as receivables/payables for collateral on certain derivatives contracts.Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments.
Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence oftwo-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives 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 aremarked-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.
Aforward 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 apre-determined price at a future date. All forward foreign currency exchange contracts aremarked-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. Upon entering into a futures contract, a Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by a Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
iii. Options — When a Fund writes call or put options, an amount equal to the premium received is recorded as a liability and is subsequentlymarked-to-market to reflect the current value of the option written. Swaptions are options on interest rate swap contracts or credit default 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 subsequentlymarked-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 aremarked-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 anymark-to-market gains or losses pursuant to bilateral or
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GOLDMAN SACHS ALTERNATIVE FUNDS
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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.
A total return swap is an agreement that gives a Fund the right to receive or pay the appreciation or depreciation, as applicable, in the value of a specified security, an index, a basket of securities or indices 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 To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments. GSAM did not develop the unobservable inputs for valuation of Level 3 Assets and Liabilities.
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Notes to Financial Statements(continued)
December 31, 2019
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
C. Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of December 31, 2019:
| ABSOLUTE RETURN TRACKER |
| |||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Africa | $ | — | $ | 855,669 | $ | — | ||||||
Asia | — | 13,596,254 | — | |||||||||
Australia and Oceania | — | 200,043 | — | |||||||||
Europe | 1,883,526 | 67,951,034 | 40,987 | |||||||||
North America | 708,610,602 | 302,619 | — | |||||||||
South America | — | 97,118 | — | |||||||||
Closed End Fund | — | 2,941 | — | |||||||||
Exchange Traded Funds | 267,021,373 | — | — | |||||||||
Investment Company | 2,337,246,531 | — | — | |||||||||
Securities Lending Reinvestment Vehicle | 29,148,415 | — | — | |||||||||
| Total | $ | 3,343,910,447 | $ | 83,005,678 | $ | 40,987 | ||||||
| Derivative Type | ||||||||||||
| Assets(b) | ||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 781,513 | $ | — | ||||||
Futures Contracts | 4,204,242 | — | — | |||||||||
Credit Default Swap Contracts | — | 5,739,631 | — | |||||||||
Total Return Swap Contracts | — | 549,892 | — | |||||||||
| Total | $ | 4,204,242 | $ | 7,071,036 | $ | — | ||||||
| Liabilities | ||||||||||||
Forward Foreign Currency Exchange Contracts(b) | $ | — | $ | (1,442,072 | ) | $ | — | |||||
Futures Contracts(b) | (6,653,418 | ) | — | — | ||||||||
Total Return Swap Contracts(b) | — | (1,173,400 | ) | — | ||||||||
Written Options Contracts | (2,814,950 | ) | — | — | ||||||||
| Total | $ | (9,468,368) | $ | (2,615,472 | ) | $ | — | |||||
| (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 fiscal year end. |
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GOLDMAN SACHS ALTERNATIVE FUNDS
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| ALTERNATIVE PREMIA | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Investment Company | $ | 41,109,961 | $ | — | $ | — | ||||||
| Derivative Type | ||||||||||||
| Assets | ||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | — | $ | 167,883 | $ | — | ||||||
Futures Contracts(a) | 3,806,099 | — | — | |||||||||
Credit Default Swap Contracts(a) | — | 34,242 | — | |||||||||
Total Return Swap Contracts(a) | — | 518,597 | — | |||||||||
Purchased Options Contracts | 122,283 | — | — | |||||||||
| Total | $ | 3,928,382 | $ | 720,722 | $ | — | ||||||
| Liabilities | ||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | — | $ | (505,172) | $ | — | ||||||
Futures Contracts(a) | (2,638,609 | ) | — | — | ||||||||
Total Return Swap Contracts(a) | — | (638,447 | ) | — | ||||||||
Written Options Contracts | (823,235 | ) | — | — | ||||||||
| Total | $ | (3,461,844) | $ | (1,143,619) | $ | — | ||||||
| COMMODITY STRATEGY | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Fixed Income | ||||||||||||
Mortgage-Backed Securities | $ | — | $ | 7,538,733 | $ | — | ||||||
Collateralized Mortgage Obligations | — | 4,691,253 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 21,251,755 | — | |||||||||
Asset-Backed Securities | — | 243,115 | — | |||||||||
U.S. Treasury Obligations and/or Other U.S. Government Agencies | 39,070,932 | — | — | |||||||||
Exchange Traded Fund | 67,594,500 | — | — | |||||||||
Investment Company | 103,882,234 | — | — | |||||||||
| Total | $ | 210,547,666 | $ | 33,724,856 | $ | — | ||||||
| Derivative Type | ||||||||||||
| Assets | ||||||||||||
Futures Contracts(a) | $ | 831,629 | $ | — | $ | — | ||||||
Interest Rate Swap Contracts(a) | — | 28,507 | — | |||||||||
Total Return Swap Contracts(a) | — | 913 | — | |||||||||
Purchased Options Contracts | 56,838 | — | — | |||||||||
| Total | $ | 888,467 | $ | 29,420 | $ | — | ||||||
| (a) | Amount shown represents unrealized gain (loss) at fiscal year end. |
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GOLDMAN SACHS ALTERNATIVE FUNDS
Notes to Financial Statements(continued)
December 31, 2019
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| COMMODITY STRATEGY (continued) | ||||||||||||
| Derivative Type | Level 1 | Level 2 | Level 3 | |||||||||
| Liabilities | ||||||||||||
Futures Contracts(a) | $ | (88,164) | $ | — | $ | — | ||||||
Interest Rate Swap Contracts(a) | — | (2,008 | ) | — | ||||||||
Written Options Contracts | (36,328 | ) | — | — | ||||||||
| Total | $ | (124,492) | $ | (2,008) | $ | — | ||||||
| MANAGED FUTURES STRATEGY | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Investment Company | $ | 201,860,247 | $ | — | $ | — | ||||||
| Derivative Type | ||||||||||||
| Assets(a) | ||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 2,231,033 | $ | — | ||||||
Futures Contracts | 2,974,952 | — | — | |||||||||
Interest Rate Swap Contracts | — | 3,802,620 | — | |||||||||
| Total | $ | 2,974,952 | $ | 6,033,653 | $ | — | ||||||
| Liabilities(a) | ||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (3,648,509) | $ | — | ||||||
Futures Contracts | (2,908,796 | ) | — | — | ||||||||
Interest Rate Swap Contracts | — | (2,407,280 | ) | — | ||||||||
| Total | $ | (2,908,796) | $ | (6,055,789) | $ | — | ||||||
| (a) | Amount shown represents unrealized gain (loss) at fiscal year end. |
For further information regarding security characteristics, see the Consolidated Schedules of Investments.
| 4. INVESTMENTSINDERIVATIVES |
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 December 31, 2019. 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
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GOLDMAN SACHS ALTERNATIVE FUNDS
| 4. INVESTMENTSINDERIVATIVES (continued) |
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 | Variation margin on futures contracts | $ | 439,901 | (a) | Payable for unrealized loss on swap contracts and variation margin on futures contrats | $ | (523,524) | (a) | ||||
Credit | Variation margin on swap contracts | 5,739,631 | (a) | — | — | |||||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts | 781,513 | Payable for unrealized loss on forward foreign currency exchange contracts | (1,442,072) | ||||||||
Equity | Receivable for unrealized gain on swap contracts and variation margin on futures contracts | 3,054,792 | (a) | Payable for unrealized loss on swap contracts, Written options, at value and variation margin on futures contrats | (5,604,466) | (a)(b) | ||||||
Interest Rate | Variation margin on futures contracts | 1,259,441 | (a) | Variation margin on futures contracts | (4,513,778) | (a) | ||||||
| Total | $ | 11,275,278 | $ | (12,083,840) | ||||||||
| ALTERNATIVE PREMIA | ||||||||||||
| Risk | Consolidated Statements of Assets and Liabilities | Assets(a) | Consolidated Statements of Assets and Liabilities | Liabilities | ||||||||
Commodity | Variation margin on futures contracts | $ | 2,680,941 | Variation margin on futures contracts | $ | (2,110,182) | (a) | |||||
Credit | Variation margin on swap contracts | 34,242 | — | — | ||||||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts and variation margin on futures contracts | 690,597 | Payable for unrealized loss on forward foreign currency exchange contracts and variation margin on futures contracts | (638,336) | (a) | |||||||
Equity | Receivable for unrealized gain on swap contracts, Purchased options at value and variation margin on futures contracts | 918,754 | Payable for unrealized loss on swap contracts, Written options at value and variation margin on futures contracts | (1,477,771) | (a)(b) | |||||||
Interest Rate | Variation margin on futures contracts | 324,570 | Variation margin on futures contracts | (379,174) | (a) | |||||||
| Total | $ | 4,649,104 | $ | (4,605,463) | ||||||||
| (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 December 31, 2019 is reported within the Consolidated Statements of Assets and Liabilities. |
| (b) | Aggregate of amounts include$1,173,400 and $638,447 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 Fund’s performance, their failure to pay on their obligations or failure to pledge collateral. Such amounts do not include incremental charges directly associated with theclose-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. |
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GOLDMAN SACHS ALTERNATIVE FUNDS
Notes to Financial Statements(continued)
December 31, 2019
| 4. INVESTMENTSINDERIVATIVES (continued) |
| COMMODITY STRATEGY | ||||||||||||
| Risk | Consolidated Statements of Assets and Liabilities | Assets | Consolidated Statements of Assets and Liabilities | Liabilities | ||||||||
Commodity | Receivable for unrealized gain on swap contracts | 913 | — | $ | — | |||||||
Interest Rate | Purchased options at value, variation margin on futures contracts and swap contracts | 916,974 | (a) | Written options at value, variation margin on futures contracts and swap contracts | (126,500) | (a) | ||||||
| Total | $ | 917,887 | $ | (126,500) | ||||||||
| MANAGED FUTURES STRATEGY | ||||||||||||
| Risk | Consolidated Statements of Assets and Liabilities | Assets | Consolidated Statements of Assets and Liabilities | Liabilities | ||||||||
Commodity | Variation margin on futures contracts | $ | 1,353,054 | (a) | Variation margin on futures contracts | $ | (1,419,699) | (a) | ||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts | 2,231,033 | Payable for unrealized loss on forward foreign currency exchange contracts | (3,648,509) | ||||||||
Equity | Variation margin on futures contracts | 1,621,898 | (a) | Variation margin on futures contracts | (1,489,097) | (a) | ||||||
Interest Rate | Variation margin on swap contracts | 3,802,620 | (a) | Variation margin on swap contracts | (2,407,280) | (a) | ||||||
| Total | $ | 9,008,605 | $ | (8,964,585) | ||||||||
| (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 December 31, 2019 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 fiscal year ended December 31, 2019. 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
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GOLDMAN SACHS ALTERNATIVE FUNDS
| 4. INVESTMENTSINDERIVATIVES (continued) |
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 | $ | 508,177 | $ | (829,652 | ) | 431 | |||||||
| Credit | Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts | 6,446,253 | 10,522,756 | 4 | ||||||||||
| Currency | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | (2,050,787 | ) | 157,907 | 24 | |||||||||
| 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 | 6,207,415 | 5,924,632 | 7,443 | ||||||||||
| Interest rate | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | 37,398,786 | (10,077,873 | ) | 7,109 | |||||||||
| Total | $ | 48,509,844 | $ | 5,697,770 | 15,011 | |||||||||
| 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 | $ | (2,900,969 | ) | $ | 89,562 | 5,538 | |||||||
| Credit | Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts | 29,477 | 27,020 | 4 | ||||||||||
| Currency | Net realized gain (loss) from futures contracts and forward foreign currency exchange contracts/Net change in unrealized gain (loss) on futures contracts and forward foreign currency exchange contracts | 1,940,356 | 649,978 | 540 | ||||||||||
| Equity | Net realized gain (loss) from futures contracts, purchased options, swap contracts and written options/Net change in unrealized gain (loss) on futures contracts, purchased options, swap contracts and written options | (1,492,234 | ) | 317,134 | 2,119 | |||||||||
| Interest rate | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | 2,426,497 | (560,995 | ) | 796 | |||||||||
| Total | $ | 3,127 | $ | 522,699 | 8,997 | |||||||||
| (a) | Average number of contracts is based on the average of month end balances for the fiscal year ended December 31, 2019. |
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GOLDMAN SACHS ALTERNATIVE FUNDS
Notes to Financial Statements(continued)
December 31, 2019
| 4. INVESTMENTSINDERIVATIVES (continued) |
| 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/Net change in unrealized gain (loss) on swap contracts | $ | 43,362,104 | $ | 913 | 4 | ||||||||
| Interest rate | Net realized gain (loss) from futures contracts, purchased options, swap contracts and written options /Net change in unrealized gain (loss) on futures contracts, purchased options, swap contracts and written options | (4,787,461 | ) | 2,357,016 | 396 | |||||||||
| Total | $ | 38,574,643 | $ | 2,357,929 | 400 | |||||||||
| 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 | $ | (7,341,168 | ) | $ | 87,189 | 1,652 | |||||||
| Currency | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | 473,420 | (1,727,931 | ) | 181 | |||||||||
| Equity | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | (6,920,867 | ) | (1,228,116 | ) | 5,508 | ||||||||
| Interest rate | Net realized gain (loss) from futures contracts and swap contracts/Net change in unrealized gain (loss) on swap contracts | 23,472,722 | (2,641,600 | ) | 204 | |||||||||
| Total | $ | 9,684,107 | $ | (5,510,458 | ) | 7,545 | ||||||||
| (a) | Average number of contracts is based on the average of month end balances for the fiscal year ended December 31, 2019. |
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.
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
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GOLDMAN SACHS ALTERNATIVE FUNDS
| 4. INVESTMENTSINDERIVATIVES (continued) |
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 contractualnetting/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 December 31, 2019:
| ALTERNATIVE PREMIA | ||||||||||||||||||||||||||||
| Derivative Assets(1) | Derivative Liabilities(1) | Net Derivative Assets (Liabilities) | Collateral (Received) Pledged(1) | Net Amount(2) | ||||||||||||||||||||||||
| Counterparty | Forwards | Swaps | Forwards | Swaps | ||||||||||||||||||||||||
Bank of America NA | $ | — | $ | — | $ | — | $ | (97,967 | ) | $ | (97,967 | ) | $ | — | $ | (97,967 | ) | |||||||||||
JPMorgan Chase Bank NA | — | 518,597 | — | (540,480 | ) | (21,883 | ) | 21,883 | — | |||||||||||||||||||
Morgan Stanley Co., Inc. | 167,883 | — | (505,172 | ) | — | (337,289 | ) | 300,000 | (37,289 | ) | ||||||||||||||||||
Total | $ | 167,883 | $ | 518,597 | $ | (505,172 | ) | $ | (638,447 | ) | $ | (457,139 | ) | $ | 321,883 | $ | (135,256 | ) | ||||||||||
| (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 contractualset-off rights under the agreement. |
| 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. | $ | 2,231,033 | $ | (3,648,509 | ) | $ | (1,417,476 | ) | $ | 1,417,476 | $ | — | ||||||||||
| (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 contractualset-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.
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GOLDMAN SACHS ALTERNATIVE FUNDS
Notes to Financial Statements(continued)
December 31, 2019
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the fiscal year ended December 31, 2019, contractual and effective net management fees with GSAM were at the following rates:
| Contractual Management Rate | Effective Rate | Effective Net Management Rate^(1) | ||||||||||||||||||||||||||||
| Fund | First $1 billion | Next $1 billion | Next $3 billion | Next $3 billion | Over $8 billion | |||||||||||||||||||||||||
Absolute Return Tracker | 0.70 | % | 0.63 | % | 0.60 | % | 0.59 | % | 0.53 | % | 0.64 | % | 0.54 | % | ||||||||||||||||
Alternative Premia | 0.79 | 0.71 | 0.68 | 0.66 | 0.65 | 0.79 | 0.66 | |||||||||||||||||||||||
Commodity Strategy | 0.50 | 0.50 | 0.45 | 0.43 | 0.42 | 0.50 | 0.41 | |||||||||||||||||||||||
Managed Futures Strategy | 1.00 | 0.90 | 0.86 | 0.84 | 0.82 | 1.00 | 0.88 | |||||||||||||||||||||||
| ^ | 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. |
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 fiscal year ended December 31, 2019, GSAM waived $53,316, $46,425, $249,167 and $206,085 of each Fund’s management fee for Absolute Return Tracker, Alternative Premia, Commodity Strategy and Managed Futures Strategy Funds, respectively.
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 fiscal year ended December 31, 2019, GSAM waived $3,100,468, $100,824, $296,644 and $295,232 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 Rule12b-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 Rule12b-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. |
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GOLDMAN SACHS ALTERNATIVE FUNDS
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the fiscal year ended December 31, 2019, 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 | $ | 10,987 | $ | — | ||||||
Alternative Premia | 2,015 | 12 | ||||||||
Commodity Strategy | 3,879 | — | ||||||||
Managed Futures Strategy | 615 | — | ||||||||
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.
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: 0.17% (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. Except for the Commodity Strategy Fund, prior to July 1, 2019, the annual rates were as follows: 0.18% of the average daily net assets of Class A, Class C, Investor and Class R Shares.
F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or 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. These Other Expense limitations will remain in place through at least April 30, 2020, 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.
125
GOLDMAN SACHS ALTERNATIVE FUNDS
Notes to Financial Statements(continued)
December 31, 2019
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the fiscal year ended December 31, 2019, 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 | $ | 3,153,784 | $ | 968,869 | $ | 315,089 | $ | 4,437,742 | ||||||||||
Alternative Premia | 147,249 | 483,250 | 34,777 | 665,276 | ||||||||||||||
Commodity Strategy | 545,811 | 364,556 | 126,264 | 1,036,631 | ||||||||||||||
Managed Futures Strategy | 501,317 | — | 68,250 | 569,567 | ||||||||||||||
G. Line of Credit Facility — As of December 31, 2019, the Funds participated in a $580,000,000 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 fiscal year ended December 31, 2019, the Funds did not have any borrowings under the facility. Prior to April 30, 2019 the facility was $770,000,000.
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 fiscal year ended December 31, 2019:
| Fund | Beginning Value as of December 31, 2018 | Purchases at Cost | Proceeds from Sales | Ending Value as of December 31, 2019 | Shares as of December 31, 2019 | Dividend Income from Affiliated Investment Company | ||||||||||||||||||||
Absolute Return Tracker | $ | 1,729,310,513 | $ | 1,506,275,343 | $ | (898,339,325 | ) | $ | 2,337,246,531 | 2,337,246,531 | $ | 40,143,753 | ||||||||||||||
Alternative Premia | 91,312,279 | 265,133,033 | (315,335,351 | ) | 41,109,961 | 41,109,961 | 1,351,333 | |||||||||||||||||||
Commodity Strategy | 113,968,231 | 530,209,585 | (540,295,582 | ) | 103,882,234 | 103,882,234 | 2,790,604 | |||||||||||||||||||
Managed Futures Strategy | 195,709,998 | 288,815,078 | (282,664,829 | ) | 201,860,247 | 201,860,247 | 3,773,314 | |||||||||||||||||||
The Commodity Strategy Fund invests in the shares of the Goldman Sachs Treasury Access0-1 Year ETF. The Goldman Sachs Treasury Access0-1 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 Access0-1 Year ETF for the fiscal year ended December 31, 2019:
| Fund | Affiliated Investment Company | Beginning Value as of | Purchases at Cost | Proceeds from Sales | Net Gain (Loss) on sale of | Change in Unrealized Appreciation (Depreciation) | Ending Value as of December 31, 2019 | Shares as of December 31, 2019 | Dividend Income from Affiliated Investment Company | |||||||||||||||||||||||||
Commodity Strategy | Goldman Sachs AccessTreasury 0-1 Year ETF | $ | 75,037,500 | $ | — | $ | (7,519,969 | ) | $ | 16,969 | $ | 60,000 | $ | 67,594,500 | 675,000 | $ | 1,598,947 | |||||||||||||||||
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GOLDMAN SACHS ALTERNATIVE FUNDS
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
As of December 31, 2019, 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 | 12 | % | 18 | % | 11 | % | ||||||||
Managed Futures Strategy | 6 | 8 | — | |||||||||||
As of December 31, 2019, The Goldman Sachs Group, Inc. was the beneficial owner of the following Funds:
| Fund | Class P | Class R | ||||||||
Alternative Premia | 73 | % | 24 | % | ||||||
Managed Futures Strategy | 6 | — | ||||||||
| 6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended December 31, 2019, 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 | $ | — | $ | 1,285,152,691 | $ | — | $ | 1,217,500,509 | ||||||||||
Commodity Strategy | 77,051,080 | 48,950 | 80,146,312 | 8,098,834 | ||||||||||||||
| 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 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 its 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 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
127
GOLDMAN SACHS ALTERNATIVE FUNDS
Notes to Financial Statements(continued)
December 31, 2019
| 7. SECURITIES LENDING (continued) |
Sachs Trust. The Government Money Market Fund is registered under the Act as an open end investment company, is subject to Rule2a-7 under the Act, and is managed by GSAM, for which GSAM may receive a management fee of up to 0.16% 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 master netting agreements with certain borrowers provide the right, in the event of a default (including bankruptcy or insolvency), for thenon-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. However, in the event of a default by a borrower, a resolution authority could determine that such rights are not enforceable due to the restrictions or prohibitions against the right ofset-off that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws. 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, which represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of December 31, 2019 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 Fund’s securities. The amounts earned, if any, by the Fund for the fiscal year ended December 31, 2019, are reported under Investment Income on the Consolidated Statements of Operations.
The table below details securities lending activity with affiliates of Goldman Sachs:
| For the fiscal year ended December 31, 2019 | Amount Payable to Goldman Sachs Upon Return of Securities Loaned as of December 31, 2019 | |||||||||||||
| Fund | Earnings of GSAL Loaned | Amount Received from Lending to | ||||||||||||
Absolute Return Tracker | $ | 34,432 | $ | 45,973 | $ | 5,812,500 | ||||||||
The following table provides information about the Fund’s investment in the Government Money Market Fund for the fiscal year ended December 31, 2019:
| Fund | Beginning Value as of December 31, 2018 | Purchases at Cost | Proceeds from Sales | Ending Value as of December 31, 2019 | ||||||||||||||
Absolute Return Tracker | $ | 62,495,245 | $ | 644,521,115 | $ | (677,867,945 | ) | $ | 29,148,415 | |||||||||
| 8. TAX INFORMATION |
The tax character of distributions paid during the fiscal year ended December 31, 2019 was as follows:
| Absolute Return Tracker | Alternative Premia | Commodity Strategy | Managed Futures Strategy | |||||||||||||
Distributions paid from: | ||||||||||||||||
Ordinary income | $ | 98,608,855 | $ | — | $ | 4,717,975 | $ | 16,281,678 | ||||||||
Net long-term capital gains | 25,703,105 | — | — | 1,371,160 | ||||||||||||
Return of capital distribution | — | — | 23,381,830 | — | ||||||||||||
Total taxable distributions | $ | 124,311,960 | $ | — | $ | 28,099,805 | $ | 17,652,838 | ||||||||
128
GOLDMAN SACHS ALTERNATIVE FUNDS
| 8. TAX INFORMATION (continued) |
The tax character of distributions paid during the fiscal year ended December 31, 2018 was as follows:
| Absolute Return Tracker | Alternative Premia | Commodity Strategy | Managed Futures Strategy | |||||||||||||
Distributions paid from: | ||||||||||||||||
Ordinary income | $ | 58,584,898 | $ | 3,958,839 | $ | 4,365,206 | $ | — | ||||||||
Net long-term capital gains | 11,420,629 | 868,426 | — | 382,338 | ||||||||||||
Total taxable distributions | $ | 70,005,527 | $ | 4,827,265 | $ | 4,365,206 | $ | 382,338 | ||||||||
As of December 31, 2019, the components of accumulated earnings (losses) on atax-basis were as follows:
| Absolute Return Tracker | Alternative Premia | Commodity Strategy | Managed Futures Strategy | |||||||||||||
Undistributed ordinary income — net | $ | 19,066,011 | $ | 2,426,459 | $ | — | $ | — | ||||||||
Undistributed long-term capital gains | 1,899,856 | — | — | — | ||||||||||||
Total undistributed earnings | $ | 20,965,867 | $ | 2,426,459 | $ | — | $ | — | ||||||||
carryforwards:(1) | ||||||||||||||||
Perpetual Short-term | $ | — | $ | (900,249 | ) | $ | (6,201,054 | ) | $ | — | ||||||
Perpetual Long-term | — | — | (14,072,451 | ) | — | |||||||||||
Total capital loss carryforwards | $ | — | $ | (900,249 | ) | $ | (20,273,505 | ) | $ | — | ||||||
Timing differences (Post October Loss Deferral, Qualified Late year Loss Deferral and Straddle Loss Deferral) | (83,118,100 | ) | (770,179 | ) | (1,628,897 | ) | (1,556,907 | ) | ||||||||
Unrealized gains (losses) — net | 163,294,673 | (701,563 | ) | 19,654,931 | 1,892,648 | |||||||||||
Total accumulated gains (losses) — net | $ | 101,142,440 | $ | 54,468 | $ | (2,247,471 | ) | $ | 335,741 | |||||||
| (1) | The Alternative Premia Fund utilized $1,304,047 of capital losses in the current fiscal year. |
As of December 31, 2019, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| Absolute Return Tracker | Alternative Premia | Commodity Strategy | Managed Futures Strategy | |||||||||||||
Tax cost | $ | 3,271,873,581 | $ | 41,880,198 | $ | 225,522,162 | $ | 200,978,533 | ||||||||
Gross unrealized gain | 176,017,857 | — | 32,461,956 | 1,892,648 | ||||||||||||
Gross unrealized loss | (12,723,184 | ) | (701,563 | ) | (12,807,025 | ) | — | |||||||||
Net unrealized gain (loss) | $ | 163,294,673 | $ | (701,563 | ) | $ | 19,654,931 | $ | 1,892,648 | |||||||
The difference between GAAP-basis andtax-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 and passive foreign investment company investments.
The Absolute Return Tracker Fund reclassified $ 3,976,445 from paid in capital to distributable earnings for the year ending December 31, 2019. In order to present certain components of the Fund’s capital accounts on a tax-basis, certain reclassifications have been recorded to the Fund’s accounts. These reclassifications have no impact on the net asset value of the Fund and result primarily from elimination entries related to Cayman subsidiary.
The Alternative Premia Fund reclassified $678,759 from paid in capital to distributable earnings for the year ending December 31, 2019. In order to present certain components of the Fund’s capital accounts on a tax-basis, certain reclassifications
129
GOLDMAN SACHS ALTERNATIVE FUNDS
Notes to Financial Statements(continued)
December 31, 2019
| 8. TAX INFORMATION (continued) |
have been recorded to the Fund’s accounts. These reclassifications have no impact on the net asset value of the Fund and result primarily from elimination entries related to Cayman subsidiary.
The Commodity Strategy Fund reclassified $3,022,611 from paid in capital to distributable earnings for the year ending December 31, 2019. In order to present certain components of the Fund’s capital accounts on a tax-basis, certain reclassifications have been recorded to the Fund’s accounts. These reclassifications have no impact on the net asset value of the Fund and result primarily from elimination entries related to Cayman subsidiary.
The Managed Futures Strategy Fund reclassified $7,685,313 from paid in capital to distributable earnings for the year ending December 31, 2019. In order to present certain components of the Fund’s capital accounts on a tax-basis, certain reclassifications have been recorded to the Fund’s accounts. These reclassifications have no impact on the net asset value of the Fund and result primarily from taxable over distributions and elimination entries related to Cayman subsidiary.
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), confiscation of assets and property, 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
130
GOLDMAN SACHS ALTERNATIVE FUNDS
| 9. OTHER RISKS (continued) |
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.
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 ofnon-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 which may occur or unexpectedly 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 or otherwise maintains 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 or without significant dilution to remaining investors’ interests 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. If a Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Fund’s NAV and dilute remaining investors’ interests. 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. These risks may be more pronounced in connection with a Fund’s investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on a Fund’s liquidity.
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. The IRS recently issued final regulations that would generally treat the Fund’s income inclusion with respect to a subsidiary as qualifying income either if (A) there is a distribution out of the earnings and profits of a subsidiary that
131
GOLDMAN SACHS ALTERNATIVE FUNDS
Notes to Financial Statements(continued)
December 31, 2019
| 9. OTHER RISKS (continued) |
are attributable to such income inclusion, or (B) such inclusion is derived with respect to the Funds’ business of investing in stock, securities, or currencies.
The IRS also 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. In connection with issuing such revenue procedure, the IRS has revoked the Notes Ruling on a prospective basis. In light of the revocation of the Notes Rulings, the Funds have limited their investments in commodity index-linked structured notes. 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 income from investments in the Subsidiary 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.
| 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 |
On November 5, 2019, a definitive proxy statement (“proxy”) was filed with the SEC to elect certain Trustees to the Trust. The Funds will bear their respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse each Fund to the extent such expenses exceed a specified percentage of the Fund’s net assets.
The Commodity Strategy Fund has adopted Financial Accounting Standards Board Accounting Standards Update2017-08 to amend the amortization period for certain purchased callable debt securities held at a premium. Under the new standard, the Fund have changed the amortization period for the premium on certain purchased callable debt securities withnon-contingent call features to the earliest call date. In accordance with the transition provisions of the standard, the Fund applied the amendments on a modified retrospective basis beginning with the fiscal period ended December 31, 2019. This change in accounting policy has been made to comply with the newly issued accounting standard and had no impact on total distributable earnings (loss) or the net asset value of the Fund. Upon evaluation, GSAM has concluded that the change in accounting principle does not materially impact the financial statement amounts.
| 12. SUBSEQUENT EVENTS |
Subsequent events after the Consolidated Statements of Assets and Liabilities date other than above 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 ALTERNATIVE FUNDS
| 13. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| Absolute Return Tracker Fund | ||||||||||||||||
|
| |||||||||||||||
| For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||||
|
| |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
| Class A Shares | ||||||||||||||||
Shares sold | 5,605,452 | $ | 52,162,020 | 4,798,033 | $ | 44,842,536 | ||||||||||
Reinvestment of distributions | 259,217 | 2,450,901 | 160,862 | 1,438,177 | ||||||||||||
Shares redeemed | (4,757,119 | ) | (44,669,285 | ) | (3,160,194 | ) | (29,547,552 | ) | ||||||||
| 1,107,550 | 9,943,636 | 1,798,701 | 16,733,161 | |||||||||||||
| Class C Shares | ||||||||||||||||
Shares sold | 346,095 | 2,951,402 | 1,258,940 | 10,851,182 | ||||||||||||
Reinvestment of distributions | 40,055 | 346,168 | 37,087 | 305,807 | ||||||||||||
Shares redeemed | (903,197 | ) | (7,767,979 | ) | (557,406 | ) | (4,790,628 | ) | ||||||||
| (517,047 | ) | (4,470,409 | ) | 738,621 | 6,366,361 | |||||||||||
| Institutional Shares | ||||||||||||||||
Shares sold | 156,580,571 | 1,514,775,620 | 184,753,329 | 1,781,048,133 | ||||||||||||
Reinvestment of distributions | 7,547,577 | 73,677,786 | 4,495,374 | 41,400,790 | ||||||||||||
Shares redeemed | (105,105,601 | ) | (1,013,092,640 | ) | (112,906,830 | ) | (1,081,871,140 | ) | ||||||||
| 59,022,547 | 575,360,766 | 76,341,873 | 740,577,783 | |||||||||||||
| Investor Shares | ||||||||||||||||
Shares sold | 21,268,419 | 203,802,355 | 23,848,937 | 228,166,646 | ||||||||||||
Reinvestment of distributions | 1,318,485 | 12,740,193 | 711,919 | 6,495,957 | ||||||||||||
Shares redeemed | (12,348,004 | ) | (117,863,431 | ) | (6,195,929 | ) | (58,596,382 | ) | ||||||||
| 10,238,900 | 98,679,117 | 18,364,927 | 176,066,221 | |||||||||||||
| Class P Shares(a) | ||||||||||||||||
Shares sold | 7,490,666 | 72,047,043 | 19,347,235 | 187,497,150 | ||||||||||||
Reinvestment of distributions | 771,722 | 7,529,973 | 462,246 | 4,257,351 | ||||||||||||
Shares redeemed | (2,504,883 | ) | (24,186,443 | ) | (2,987,874 | ) | (27,949,398 | ) | ||||||||
| 5,757,505 | 55,390,573 | 16,821,607 | 163,805,103 | |||||||||||||
| Class R Shares | ||||||||||||||||
Shares sold | 66,612 | 602,294 | 154,712 | 1,419,367 | ||||||||||||
Reinvestment of distributions | 7,813 | 71,722 | 4,837 | 42,136 | ||||||||||||
Shares redeemed | (45,897 | ) | (416,856 | ) | (169,474 | ) | (1,539,910 | ) | ||||||||
| 28,528 | 257,160 | (9,925 | ) | (78,407 | ) | |||||||||||
| Class R6 Shares | ||||||||||||||||
Shares sold | 371,692 | 3,609,637 | 663,674 | 6,405,161 | ||||||||||||
Reinvestment of distributions | 32,501 | 316,928 | 17,884 | 164,520 | ||||||||||||
Shares redeemed | (112,910 | ) | (1,084,193 | ) | (250,643 | ) | (2,382,060 | ) | ||||||||
| 291,283 | 2,842,372 | 430,915 | 4,187,621 | |||||||||||||
NET INCREASE | 75,929,266 | $ | 738,003,215 | 114,486,719 | $ | 1,107,657,843 | ||||||||||
| (a) | Commenced operations on April 17, 2018. |
133
GOLDMAN SACHS ALTERNATIVE FUNDS
Notes to Financial Statements(continued)
December 31, 2019
| 13. SUMMARY OF SHARE TRANSACTION (continued) |
| Alternative Premia Fund | ||||||||||||||||
|
| |||||||||||||||
| For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||||
|
| |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
| Class A Shares | ||||||||||||||||
Shares sold | 247,612 | $ | 1,968,071 | 229,026 | $ | 1,941,605 | ||||||||||
Reinvestment of distributions | — | — | 59,392 | 471,572 | ||||||||||||
Shares redeemed | (395,461 | ) | (3,173,514 | ) | (689,924 | ) | (5,926,201 | ) | ||||||||
| (147,849 | ) | (1,205,443 | ) | (401,506 | ) | (3,513,024 | ) | |||||||||
| Class C Shares | ||||||||||||||||
Shares sold | 2,818 | 20,853 | 15,951 | 126,701 | ||||||||||||
Reinvestment of distributions | — | — | 66,038 | 486,701 | ||||||||||||
Shares redeemed | (575,193 | ) | (4,250,877 | ) | (741,371 | ) | (5,923,189 | ) | ||||||||
| (572,375 | ) | (4,230,024 | ) | (659,382 | ) | (5,309,787 | ) | |||||||||
| Institutional Shares | ||||||||||||||||
Shares sold | 889,142 | 7,269,447 | 3,379,260 | 27,875,999 | ||||||||||||
Reinvestment of distributions | — | — | 73,146 | 594,674 | ||||||||||||
Shares redeemed | (3,360,450 | ) | (28,213,641 | ) | (12,067,753 | ) | (105,872,944 | ) | ||||||||
| (2,471,308 | ) | (20,944,194 | ) | (8,615,347 | ) | (77,402,271 | ) | |||||||||
| Investor Shares | ||||||||||||||||
Shares sold | 166,028 | 1,369,003 | 641,645 | 5,481,288 | ||||||||||||
Reinvestment of distributions | — | — | 60,656 | 488,889 | ||||||||||||
Shares redeemed | (814,656 | ) | (6,572,128 | ) | (560,135 | ) | (4,843,550 | ) | ||||||||
| (648,628 | ) | (5,203,125 | ) | 142,166 | 1,126,627 | |||||||||||
| Class P Shares(a) | ||||||||||||||||
Shares sold | — | — | 21,368 | 190,311 | ||||||||||||
Reinvestment of distributions | — | — | 84 | 685 | ||||||||||||
Shares redeemed | (1 | ) | — | (19,814 | ) | (172,447 | ) | |||||||||
| (1 | ) | — | 1,638 | 18,549 | ||||||||||||
| Class R Shares | ||||||||||||||||
Shares sold | 24,455 | 196,590 | — | — | ||||||||||||
Reinvestment of distributions | — | — | 87 | 677 | ||||||||||||
Shares redeemed | (19,287 | ) | (151,141 | ) | — | 2 | ||||||||||
| 5,168 | 45,449 | 87 | 679 | |||||||||||||
| Class R6 Shares | ||||||||||||||||
Shares sold | 352,076 | 2,883,030 | 13,234,324 | 115,972,250 | ||||||||||||
Reinvestment of distributions | — | — | 339,564 | 2,753,859 | ||||||||||||
Shares redeemed | (3,782,890 | ) | (30,797,570 | ) | (7,709,553 | ) | (66,730,018 | ) | ||||||||
| (3,430,814 | ) | (27,914,540 | ) | 5,864,335 | 51,996,091 | |||||||||||
NET DECREASE | (7,265,807 | ) | $ | (59,451,877 | ) | (3,668,009 | ) | $ | (33,083,136 | ) | ||||||
| (a) | Commenced operations on April 17, 2018. |
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GOLDMAN SACHS ALTERNATIVE FUNDS
| 13. SUMMARY OF SHARE TRANSACTIONS (continued) |
| Commodity Strategy Fund | ||||||||||||||||
|
| |||||||||||||||
| For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||||
|
| |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
| Class A Shares | ||||||||||||||||
Shares sold | 395,516 | $ | 4,224,635 | 1,251,112 | $ | 14,934,569 | ||||||||||
Reinvestment of distributions | 199,147 | 2,049,973 | 24,150 | 260,064 | ||||||||||||
Shares redeemed | (1,002,193 | ) | (10,739,661 | ) | �� | (2,723,863 | ) | (30,606,937 | ) | |||||||
| (407,530 | ) | (4,465,053 | ) | (1,448,601 | ) | (15,412,304 | ) | |||||||||
| Class C Shares | ||||||||||||||||
Shares sold | 22,072 | 223,411 | 89,382 | 1,009,327 | ||||||||||||
Reinvestment of distributions | 21,101 | 204,864 | 535 | 4,993 | ||||||||||||
Shares redeemed | (76,451 | ) | (769,695 | ) | (90,364 | ) | (987,027 | ) | ||||||||
| (33,278 | ) | (341,420 | ) | (447 | ) | 27,293 | ||||||||||
| Institutional Shares | ||||||||||||||||
Shares sold | 6,409,974 | 68,585,294 | 13,852,341 | 162,239,296 | ||||||||||||
Reinvestment of distributions | 1,144,969 | 11,917,813 | 254,245 | 2,712,225 | ||||||||||||
Shares redeemed | (18,916,513 | ) | (203,080,035 | ) | (14,630,034 | ) | (166,368,584 | ) | ||||||||
| (11,361,570 | ) | (122,576,928 | ) | (523,448 | ) | (1,417,063 | ) | |||||||||
| Investor Shares | ||||||||||||||||
Shares sold | 770,630 | 8,344,275 | 756,579 | 8,934,574 | ||||||||||||
Reinvestment of distributions | 64,498 | 672,140 | 9,842 | 103,250 | ||||||||||||
Shares redeemed | (1,037,222 | ) | (11,347,817 | ) | (657,199 | ) | (7,833,967 | ) | ||||||||
| (202,094 | ) | (2,331,402 | ) | 109,222 | 1,203,857 | |||||||||||
| Class P Shares(a) | ||||||||||||||||
Shares sold | 2,270 | 25,500 | 628,959 | 7,585,275 | ||||||||||||
Reinvestment of distributions | 11,330 | 119,255 | 6,042 | 66,814 | ||||||||||||
Shares redeemed | (243,313 | ) | (2,618,165 | ) | (310,349 | ) | (3,561,109 | ) | ||||||||
| (229,713 | ) | (2,473,410 | ) | 324,652 | 4,090,980 | |||||||||||
| Class R Shares | ||||||||||||||||
Shares sold | 50,254 | 530,512 | 111,272 | 1,280,888 | ||||||||||||
Reinvestment of distributions | 18,572 | 187,638 | 1,319 | 13,412 | ||||||||||||
Shares redeemed | (75,632 | ) | (794,746 | ) | (133,213 | ) | (1,517,725 | ) | ||||||||
| (6,806 | ) | (76,596 | ) | (20,622 | ) | (223,425 | ) | |||||||||
| Class R6 Shares | ||||||||||||||||
Shares sold | 9,418,112 | 100,318,605 | 306,122 | 3,580,293 | ||||||||||||
Reinvestment of distributions | 805,500 | 8,400,197 | 189 | 1,957 | ||||||||||||
Shares redeemed | (1,973,182 | ) | (21,418,664 | ) | (295,426 | ) | (3,603,141 | ) | ||||||||
| 8,250,430 | 87,300,138 | 10,885 | (20,891 | ) | ||||||||||||
NET DECREASE | (3,990,561 | ) | $ | (44,964,671) | (1,548,359 | ) | $ | (11,751,553 | ) | |||||||
| (a) | Commenced operations on April 17, 2018. |
135
GOLDMAN SACHS ALTERNATIVE FUNDS
Notes to Financial Statements(continued)
December 31, 2019
| 13. SUMMARY OF SHARE TRANSACTIONS (continued) |
| Managed Futures Strategy Fund | ||||||||||||||||
|
| |||||||||||||||
| For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||||
|
| |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
| Class A Shares | ||||||||||||||||
Shares sold | 460,164 | $ | 4,723,141 | 439,024 | $ | 4,455,486 | ||||||||||
Reinvestment of distributions | 58,957 | 573,968 | 1,147 | 11,538 | ||||||||||||
Shares redeemed | (576,017 | ) | (5,919,763 | ) | (329,581 | ) | (3,314,739 | ) | ||||||||
| (56,896 | ) | (622,654 | ) | 110,590 | 1,152,285 | |||||||||||
| Class C Shares | ||||||||||||||||
Shares sold | 78,637 | 784,815 | 86,827 | 855,715 | ||||||||||||
Reinvestment of distributions | 22,546 | 208,212 | 570 | 5,457 | ||||||||||||
Shares redeemed | (84,861 | ) | (816,337 | ) | (96,054 | ) | (926,503 | ) | ||||||||
| 16,322 | 176,690 | (8,657 | ) | (65,331 | ) | |||||||||||
| Institutional Shares | ||||||||||||||||
Shares sold | 4,785,438 | 52,301,820 | 5,266,745 | 54,615,537 | ||||||||||||
Reinvestment of distributions | 620,276 | 6,199,118 | 11,693 | 120,438 | ||||||||||||
Shares redeemed | (4,334,655 | ) | (43,972,438 | ) | (12,754,668 | ) | (131,316,188 | ) | ||||||||
| 1,071,059 | 14,528,500 | (7,476,230 | ) | (76,580,213 | ) | |||||||||||
| Investor Shares | ||||||||||||||||
Shares sold | 7,100,105 | 74,372,563 | 6,364,713 | 65,666,187 | ||||||||||||
Reinvestment of distributions | 726,302 | 7,186,901 | 15,625 | 159,532 | ||||||||||||
Shares redeemed | (7,221,827 | ) | (74,530,329 | ) | (6,237,413 | ) | (63,624,182 | ) | ||||||||
| 604,580 | 7,029,135 | 142,925 | 2,201,537 | |||||||||||||
| Class P Shares(a) | ||||||||||||||||
Shares sold | — | — | 41,647 | 425,477 | ||||||||||||
Reinvestment of distributions | 1,456 | 14,535 | 64 | 662 | ||||||||||||
Shares redeemed | (26,372 | ) | (281,615 | ) | (8 | ) | (81 | ) | ||||||||
| (24,916 | ) | (267,080 | ) | 41,703 | 426,058 | |||||||||||
| Class R Shares | ||||||||||||||||
Shares sold | 7,065 | 71,478 | 5,066 | 50,581 | ||||||||||||
Reinvestment of distributions | 3,570 | 34,183 | 94 | 935 | ||||||||||||
Shares redeemed | (12,726 | ) | (128,907 | ) | (4,551 | ) | (46,180 | ) | ||||||||
| (2,091 | ) | (23,246 | ) | 609 | 5,336 | |||||||||||
| Class R6 Shares(b) | ||||||||||||||||
Shares sold | 1,211,459 | 12,524,000 | 5,758,231 | 58,786,189 | ||||||||||||
Reinvestment of distributions | 342,526 | 3,422,044 | 8,084 | 83,342 | ||||||||||||
Shares redeemed | (1,260,830 | ) | (13,698,340 | ) | (843,805 | ) | (8,659,000 | ) | ||||||||
| 293,155 | 2,247,704 | 4,922,510 | 50,210,531 | |||||||||||||
NET INCREASE (DECREASE) | 1,901,213 | $ | 23,069,049 | (2,266,550 | ) | $ | (22,649,797 | ) | ||||||||
| (a) | Commenced operations on April 17, 2018. |
| (b) | Commenced operations on April 30, 2018. |
136
Report of Independent Registered Public
Accounting Firm
Tothe Board of Trustees of Goldman Sachs Trust and Shareholders of Goldman Sachs Absolute Return Tracker Fund, Goldman Sachs Alternative Premia Fund, Goldman Sachs Commodity Strategy Fund and Goldman Sachs Managed Futures Strategy Fund
Opinions on the Consolidated Financial Statements
We have audited the accompanying consolidated statements of assets and liabilities, including the consolidated schedules of investments, of Goldman Sachs Absolute Return Tracker Fund, Goldman Sachs Alternative Premia Fund, Goldman Sachs Commodity Strategy Fund and Goldman Sachs Managed Futures Strategy Fund and each of their subsidiaries (four of the funds constituting Goldman Sachs Trust, hereafter collectively referred to as the “Funds”) as of December 31, 2019, the related consolidated statements of operations for the year ended December 31, 2019, the consolidated statements of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes,and the consolidated financial highlights for each of the periods indicated therein (collectively referred to as the “consolidated financial statements”). In our opinion, the consolidated financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2019, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2019 and each of the consolidated financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These consolidated financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ consolidated financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these consolidated financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the consolidated financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the consolidated financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the consolidated financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the consolidated financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 26, 2020
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
137
GOLDMAN SACHS ALTERNATIVE FUNDS
Voting Results of Special Meeting of Shareholders (Unaudited)
A Special Meeting (the “Meeting”) of the Goldman Sachs Trust (“GST”) was held on January 23, 2020 to consider and act upon the proposals below. The Funds will amortize their respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse each Fund to the extent such expenses exceed a specified percentage of the Fund’s net assets.
At the Meeting, Dwight L. Bush, Kathryn A. Cassidy, Joaquin Delgado and Gregory G. Weaver were elected to the Trust’s Board of Trustees. In electing trustees, the Trust’s shareholders voted as follows:
Proposal 1. Election of Trustees | For | Against | Withheld | Broker Non-Votes | ||||||||||||
Dwight L. Bush | 94,278,961,728.065 | 0 | 349,026,343,365 | 0 | ||||||||||||
Kathryn A. Cassidy | 94,310,850,789.164 | 0 | 317,137,282.266 | 0 | ||||||||||||
Joaquin Delgado | 94,282,646,444.727 | 0 | 345,341,626.703 | 0 | ||||||||||||
Gregory G. Weaver | 94,306,589,873.348 | 0 | 321,398,198.082 | 0 | ||||||||||||
At the Meeting, the shareholders of the Goldman Sachs Large Cap Growth Insights Fund approved a change to the Fund’s sub-classification under the Act from “diversified” to “non-diversified”. The Trust’s shareholders voted as follows:
Proposal 2. To approve a change to the Fund’s sub-classification under | For | Against | Abstained | Broker Non-Votes | ||||||||||||
Large Cap Growth Insights Fund | 23,785,792.632 | 250,521.921 | 196,802.993 | 9,592,467.322 | ||||||||||||
138
GOLDMAN SACHS ALTERNATIVE FUNDS
Fund Expenses — Six Month Period Ended December 31, 2019 (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 July 1, 2019 through December 31, 2019, which represents a period of 184 days of a 365 day year.
Actual Expenses— The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes— The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Absolute Return Tracker Fund | Alternative Premia Fund | Commodity Strategy Fund | Managed Futures Strategy Fund | |||||||||||||||||||||||||||||||||||||||||||||
| Share Class | Beginning Account Value 07/01/19 | Ending Account Value 12/31/19 | Expenses Paid for the 6 Months Ended 12/31/19* | Beginning Account Value 07/01/19 | Ending Account Value 12/31/19 | Expenses Paid for the 6 Months Ended 12/31/19* | Beginning Account Value 07/01/19 | Ending Account Value 12/31/19 | Expenses Paid for the 6 Months Ended 12/31/19* | Beginning Account Value 07/01/19 | Ending Account Value 12/31/19 | Expenses Paid for the 6 Months Ended 12/31/19* | ||||||||||||||||||||||||||||||||||||
| Class A | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,030.20 | $ | 4.91 | $ | 1,000 | $ | 1,002.50 | $ | 5.55 | $ | 1,000 | $ | 1,031.50 | $ | 4.30 | $ | 1,000 | $ | 976.20 | $ | 7.32 | ||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,020.37 | + | 4.89 | 1,000 | 1,019.66 | + | 5.60 | 1,000 | 1,020.97 | + | 4.28 | 1,000 | 1,017.80 | + | 7.48 | ||||||||||||||||||||||||||||||||
| Class C | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,027.50 | 8.74 | 1,000 | 998.60 | 9.27 | 1,000 | 1,028.10 | 8.13 | 1,000 | 972.40 | 11.09 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,016.59 | + | 8.69 | 1,000 | 1,015.93 | + | 9.35 | 1,000 | 1,017.19 | + | 8.08 | 1,000 | 1,013.96 | + | 11.32 | ||||||||||||||||||||||||||||||||
| Institutional | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,033.00 | 2.97 | 1,000 | 1,004.90 | 3.64 | 1,000 | 1,034.10 | 2.51 | 1,000 | 978.70 | 5.54 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,022.28 | + | 2.96 | 1,000 | 1,021.58 | + | 3.67 | 1,000 | 1,022.74 | + | 2.50 | 1,000 | 1,017.61 | + | 5.65 | ||||||||||||||||||||||||||||||||
| Investor | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,032.20 | 3.64 | 1,000 | 1,003.70 | 4.19 | 1,000 | 1,033.50 | 2.97 | 1,000 | 977.10 | 6.13 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,021.63 | + | 3.62 | 1,000 | 1,021.02 | + | 4.23 | 1,000 | 1,022.28 | + | 2.96 | 1,000 | 1,019.00 | + | 6.26 | ||||||||||||||||||||||||||||||||
| Class P | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,033.10 | 2.92 | 1,000 | 1,004.90 | 3.64 | 1,000 | 1,033.80 | 2.36 | 1,000 | 977.60 | 5.43 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,022.33 | + | 2.91 | 1,000 | 1,021.58 | + | 3.67 | 1,000 | 1,022.89 | + | 2.35 | 1,000 | 1,019.71 | + | 5.55 | ||||||||||||||||||||||||||||||||
| Class R | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,028.90 | 6.19 | 1,000 | 1,000.00 | 6.40 | 1,000 | 1,030.90 | 5.63 | 1,000 | 975.00 | 8.61 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,019.11 | + | 6.16 | 1,000 | 1,018.80 | + | 6.46 | 1,000 | 1,019.66 | + | 5.60 | 1,000 | 1,016.48 | + | 8.79 | ||||||||||||||||||||||||||||||||
| Class R6 | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,032.10 | 2.92 | 1,000 | 1,003.70 | 3.54 | 1,000 | 1,034.10 | 2.51 | 1,000 | 977.80 | 5.38 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,022.33 | + | 2.91 | 1,000 | 1,021.68 | + | 3.57 | 1,000 | 1,022.74 | + | 2.50 | 1,000 | 1,019.76 | + | 5.50 | ||||||||||||||||||||||||||||||||
| + | Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
| * | 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 December 31, 2019. 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 | Class R | Class R6 | |||||||||||||||||||||
Absolute Return Tracker | 0.96 | % | 1.71 | % | 0.58 | % | 0.71 | % | 0.57 | % | 1.21 | % | 0.57 | % | ||||||||||||||
Alternative Premia | 1.10 | 1.84 | 0.72 | 0.83 | 0.72 | 1.27 | 0.70 | |||||||||||||||||||||
Commodity Strategy | 0.84 | 1.59 | 0.49 | 0.58 | 0.46 | 1.10 | 0.49 | |||||||||||||||||||||
Managed Futures Strategy | 1.47 | 2.23 | 1.11 | 1.23 | 1.09 | 1.73 | 1.08 | |||||||||||||||||||||
139
GOLDMAN SACHS ALTERNATIVE FUNDS
Trustees and Officers (Unaudited)
Independent Trustees
| Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
Jessica Palmer Age: 70 | Chair of the Board of Trustees | Since 2018 (Trustee since 2007) | Ms. Palmer is retired. She was formerly Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009).
Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||
Kathryn A. Cassidy Age: 65 | Trustee | Since 2015 | Ms. Cassidy is retired. Formerly, she was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||
Diana M. Daniels Age: 70 | Trustee | Since 2007 | Ms. Daniels is retired. Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is a Trustee Emeritus and serves as a Presidential Councillor of Cornell University (2013-Present); former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||
Roy W. Templin Age: 59 | Trustee | Since 2013 | Mr. Templin is retired. He is Director, Armstrong World Industries, Inc. (a designer and manufacturer of ceiling, wall and suspension system solutions) (2016-Present); and was formerly Chairman of the Board of Directors, Con-Way Incorporated (a transportation, logistics and supply chain management service company) (2014-2015); Executive Vice President and Chief Financial Officer, Whirlpool Corporation (an appliance manufacturer and marketer) (2004-2012). Previously, Mr. Templin served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (June 2013-October 2013).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Armstrong World Industries, Inc. (a ceiling, wall and suspension systems solutions manufacturer) | |||||
Gregory G. Weaver Age: 68 | Trustee | Since 2015 | Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Verizon Communications Inc. | |||||
140
GOLDMAN SACHS ALTERNATIVE FUNDS
Trustees and Officers (Unaudited) (continued)
Interested Trustee*
| Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
James A. McNamara Age: 57 | President and Trustee | Since 2007 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | 165 | None | |||||
Advisory Board Members
| Name, Address, Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Advisory Board Member3 | Other Directorships Held by Advisory Board Member4 | |||||
Dwight L. Bush Age: 62 | Advisory Board Member | Since 2019 | Ambassador Bush is President and CEO of D.L. Bush & Associates (a financial advisory and private investment firm) (2002-2014 and 2017-present); and was formerly U.S. Ambassador to the Kingdom of Morocco (2014-2017) and a Member of the Board of Directors of Santander Bank, N.A. (2018-2019).
Advisory Board Member — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||
Joaquin Delgado Age: 59 | Advisory Board Member | Since 2019 | Dr. Delgado is retired. He is Director, Hexion Inc. (a specialty chemical manufacturer) (2019-present); and Director, Stepan Company (a specialty chemical manufacturer) (2011-present); and was formerly Executive Vice President, Consumer Business Group of 3M Company (July 2016-July 2019); and Executive Vice President, Health Care Business Group of 3M Company (October 2012-July 2016).
Advisory Board Member — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Stepan Company (a specialty chemical manufacturer) | |||||
| * | Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. Mr. McNamara holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
| 1 | Each Trustee and Advisory Board Member may be contacted by writing to the Trustee or Advisory Board Member, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of December 31, 2019. |
| 2 | Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that (a) no Trustee shall hold office for more than 15 years and (b) a Trustee shall retire as of December 31st of the calendar year in which he or she reaches his or her 74th birthday, unless a waiver of such requirements shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. |
| 3 | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of December 31, 2019, Goldman Sachs Trust consisted of 89 portfolios; Goldman Sachs Variable Insurance Trust consisted of 13 portfolios; Goldman Sachs Trust II consisted of 19 portfolios (17 of which offered shares to the public); Goldman Sachs MLP Income Opportunities Fund, Goldman Sachs MLP and Energy Renaissance Fund, Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio; and Goldman Sachs ETF Trust consisted of 40 portfolios (21 of which offered shares to the public). |
| 4 | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384. Additional information about the Advisory Board Members will be available in the Funds’ Statement of Additional Information dated April 30, 2020, which will be available from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
141
GOLDMAN SACHS ALTERNATIVE FUNDS
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
| Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | |||
James A. McNamara 200 West Street New York, NY 10282 Age: 57 | Trustee and President | Since 2007 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 42 | Secretary | Since 2012 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Associate General Counsel, Goldman Sachs (2012-Present); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006).
Secretary — Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Private Middle Market Credit II LLC; Goldman Sachs Middle Market Lending Corp.; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 51 | Treasurer, Principal Financial Officer and Principal Accounting Officer | Since 2017 (Treasurer and Principal Financial Officer since 2019) | Managing Director, Goldman Sachs (November 2015-Present) and Vice President — Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010-October 2015).
Treasurer, Principal Financial Officer and Principal Accounting Officer — Goldman Sachs Trust (previously Assistant Treasurer (2016)); Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs MLP Income Opportunities Fund (previously Assistant Treasurer (2017)); Goldman Sachs MLP and Energy Renaissance Fund (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
| * | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
| 1 | Information is provided as of December 31, 2019. |
| 2 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
Goldman Sachs Trust — Alternative Funds — Tax Information (Unaudited)
For the fiscal year ended December 31, 2019, 8.11% of the dividends paid from net investment company taxable income by the Absolute Return Tracker Fund qualified for the dividends received deduction available to corporations.
For the fiscal year ended December 31, 2019, 15.82% of the dividends paid from net investment company taxable income by the Absolute Return Tracker Fund qualified for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
Pursuant to Section 852 of the Internal Revenue Code, the Absolute Return Tracker Fund and Managed Futures Strategy Fund designate $25,703,105 and $1,371,160, respectively, or, if different, the maximum amount allowable, as capital gain dividends paid during the fiscal year ended December 31, 2019.
During the fiscal year ended December 31, 2019, the Absolute Return Tracker Fund and Managed Futures Strategy Fund designate $53,778,259 and $699,888, respectively, as short-term capital gain dividends pursuant to Section 871(k) of the Internal Revenue Code.
142
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, theConsumer and Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.69 trillion in assets under supervision as of December 31, 2019, 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 |
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 |
| ∎ | Income Fund |
Municipal and Tax-Free
| ∎ | High Yield Municipal Fund |
| ∎ | Dynamic Municipal Income Fund |
| ∎ | Short Duration Tax-Free Fund |
| ∎ | Municipal Income Completion 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 |
Fixed Income Alternatives
| ∎ | Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ | Equity Income Fund |
| ∎ | Small Cap Growth 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 Fund |
| ∎ | 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 Fund |
| ∎ | International Equity ESG Fund |
| ∎ | China Equity Fund4 |
| ∎ | Emerging Markets Equity Fund |
| ∎ | Imprint Emerging Markets Opportunities Fund5 |
| ∎ | ESG Emerging Markets Equity Fund |
Alternative
| ∎ | Real Estate Securities Fund |
| ∎ | International Real Estate Securities Fund |
| ∎ | Commodity Strategy Fund |
| ∎ | Global Real Estate Securities Fund |
| ∎ | Alternative Premia Fund |
| ∎ | 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 |
| ∎ | Dynamic Global Equity Fund6 |
| ∎ | Satellite Strategies Portfolio |
| ∎ | Enhanced Dividend Global Equity Portfolio |
| ∎ | Tax-Advantaged Global Equity Portfolio |
| ∎ | Strategic Factor Allocation Fund |
| ∎ | Target Date Retirement Portfolio7 |
| ∎ | 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 |
| 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 of November 20, 2019, the Goldman Sachs Asia Equity Fund was renamed the Goldman Sachs China Equity Fund. |
| 5 | Effective after the close of business on August 30, 2019, the Goldman Sachs N-11 Equity Fund was renamed the Goldman Sachs Imprint Emerging Markets Opportunities Fund. |
| 6 | Effective after the close of business on February 28, 2019, the Goldman Sachs Equity Growth Strategy Portfolio was renamed the Goldman Sachs Dynamic Global Equity Fund. |
| 7 | Effective December 27, 2019, the Goldman Sachs Target Date 2020 Portfolio was renamed to the Goldman Sachs Target Date Retirement Portfolio. |
| 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 Dwight L. Bush* Kathryn A. Cassidy Diana M. Daniels Joaquin Delgado* James A. McNamara Roy W. Templin Gregory G. Weaver
*Effective as of January 23, 2020 | OFFICERS James A. McNamara,President Joseph F. DiMaria,Principal Financial Officer, Principal Accounting Officer and 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 atwww.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 will file their portfolio holdings for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be made available on the SEC’s web site at http://www.sec.gov. Portfolio holdings information 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 December 31, 2019 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 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).
© 2020 Goldman Sachs. All rights reserved. 192298-OTU-1141277 SELSATAR-20
Goldman Sachs Funds
| Annual Report | December 31, 2019 | |||
Tax-Advantaged Equity Funds | ||||
U.S. Equity Dividend and Premium | ||||
International Equity Dividend and Premium | ||||
U.S. Tax-Managed Equity | ||||
International Tax-Managed Equity | ||||
It is our intention that beginning on January 1, 2021, paper copies of the Funds’ annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from a Fund or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. At any time, you may elect to receive reports and certain communications from the Fund electronically by calling the applicable toll-free number below or by contacting your financial intermediary.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of a Fund directly with the Fund’s transfer agent, you can inform the transfer agent that you wish to receive paper copies of reports by calling toll-free 800-621-2550 for Institutional, Service, Class R6 and Class P shareholders or 800-526-7384 for all other shareholders. If you hold shares of a Fund through a financial intermediary, please contact your financial intermediary to make this election. Your election to receive reports in paper will apply to all Goldman Sachs Funds held in your account if you invest through your financial intermediary or all Goldman Sachs Funds held with the Funds’ transfer agent if you invest directly with the transfer agent.
Goldman SachsTax-Advantaged Equity Funds
| ∎ | U.S. EQUITY DIVIDEND AND PREMIUM |
| ∎ | INTERNATIONAL EQUITY DIVIDEND AND PREMIUM |
| ∎ | U.S.TAX-MANAGED EQUITY |
| ∎ | INTERNATIONALTAX-MANAGED EQUITY |
| 1 | ||||
| 3 | ||||
Portfolio Management Discussions and Performance Summaries — Equity Dividend and Premium Funds | 4 | |||
| 12 | ||||
Portfolio Management Discussions and Performance Summaries — GlobalTax-Managed Funds | 13 | |||
| 22 | ||||
| 23 | ||||
| 43 | ||||
| 47 | ||||
| 47 | ||||
| 53 | ||||
| 59 | ||||
| 66 | ||||
| 72 | ||||
| 91 | ||||
| 93 | ||||
| NOT FDIC-INSURED | May Lose Value | No Bank Guarantee | ||
Goldman SachsTax-Advantaged Equity Funds
Market Review
During the 12 months ended December 31, 2019 (the “Reporting Period”), the performance of the U.S. and international equity markets were influenced most by U.S. and global economic data, central bank monetary policy and geopolitical events.
U.S. Equities
The U.S. equity market rallied at the start of the Reporting Period, almost completely recovering from a sell-off at the end of 2018. After four gradual interest rate hikes in 2018, the Federal Reserve (“Fed”) cut interest rates three times in 2019 in an effort to keep the U.S. economic expansion intact amid trade uncertainties. The trade war between the U.S. and China pressured macroeconomic indicators throughout the first half of the calendar year but did little to suppress a resilient consumer, which ultimately outweighed manufacturing weakness. By the fourth quarter of 2019, U.S. stock returns accelerated with an uptick of U.S. manufacturing and service sector business surveys as well as a consistently strong labor market. The U.S. added more than 200,000 jobs in November 2019, double the break-even pace of long-term job growth. These developments helped restore market confidence, while fundamentals of low core inflation, contained financial imbalance and reduced drag of a trade war fended off imminent recession risk.
The S&P 500® Index returned 31.49% during the Reporting Period overall. All 11 of its sectors posted positive absolute returns, with all 11 generating double-digit gains. Information technology, communication services and financials were the best performing sectors in the S&P 500® Index, as measured by total return, while the weakest performing sectors in the S&P 500® Index during the Reporting Period were energy, health care and materials.
Within the U.S. equity market, all capitalization segments posted double-digit positive returns, led by large-cap stocks, as measured by the Russell 1000® Index, followed closely by mid-cap stocks, as measured by the Russell Midcap® Index, and then by small-cap stocks, as measured by the Russell 2000® Index. From a style perspective, growth-oriented stocks significantly outpaced value-oriented stocks across the capitalization spectrum. (All as measured by the FTSE Russell indices.)
International Equities
International equity markets rebounded in 2019, recovering from weakness experienced in 2018. International equities were primarily supported by the accommodative stance of the various central banks and by investor anticipation that a trade war and Brexit negotiations would be resolved. (Brexit is the popular term for the U.K.’s path out of the European Union.) The international equity rally saw significant valuation gains despite weak corporate earnings.
In Europe, equities witnessed their best annual performance since 2009, with the STOXX® Europe 600 Index hitting a four-year high in November 2019 and then reaching a new high in late December. During September 2019, the European Central Bank (“ECB”) restarted its quantitative easing measures. The ECB’s multi-dimensional monetary stimulus package is aimed at addressing slowing Eurozone economic growth through deposit rate cuts and the reinstitution of asset purchases. In October, the European Union and the U.K. agreed to a “flextension” of the Article 50 process until January 2020 under which the U.K. would be able to leave the European Union earlier than the deadline if a withdrawal agreement was ratified by the European and British Parliaments in time. In mid-December, the Conservative party won a comfortable majority in the U.K. Parliamentary elections, clearing the way for the U.K. Prime Minister’s Brexit deal to be ratified before the Article 50 deadline expires on January 31, 2020.
Japanese equities suffered collateral damage from the stand-off between the U.S. and China, two of Japan’s largest trade partners. Japanese equities were also sensitive to weaker global industrial demand during the Reporting Period. However, the Japanese equity market was supported by a recovering national economy, stronger capital spending and resilient domestic demand. In the second quarter of 2019, Japan’s nominal Gross Domestic Product hit a record 557.8 trillion yen. In an effort to achieve more fair and reciprocal trade, the U.S. and Japan signed a limited trade deal on agriculture and digital trade in October 2019, a deal that covers about $55 billion worth of commerce between the two economies.
For the Reporting Period overall, the MSCI EAFE Index returned 22.01% in U.S. dollar terms. All 11 sectors of the MSCI EAFE Index gained, with information technology leading the way, followed by health care and industrials. Energy, communication services and real estate were the weakest performers on the basis of total return during the Reporting Period.
1
MARKET REVIEW
From a country perspective, all equity markets in the MSCI EAFE Index posted a positive absolute return during the Reporting Period. New Zealand, Ireland and Switzerland were the strongest individual country constituents in the MSCI EAFE Index on a relative basis. Israel, Hong Kong and Finland posted positive absolute returns but most significantly lagged the MSCI EAFE Index on a relative basis 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.
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 oflarge-cap, dividend-paying stocks.1 By investing in these securities, and through the use of option call writing, the Funds seek to generate an attractiveafter-tax cash flow.
A diversified portfolio:
| ∎ | Create a diversifiedlarge-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 attractiveafter-tax cash flow from qualified dividends, long-term capital gains and option call writing. |
| ∎ | The Funds seek to enhanceafter-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 the12-month period ended December 31, 2019 (the “Reporting Period”).
| Q | How did the Fund perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, Class C, Institutional, Investor, Class P and Class R6 Shares generated average annual total returns, without sales charges, of 24.62%, 23.72%, 25.06%, 25.00%, 25.07% and 25.09%, respectively. These returns compare to the 31.49% average annual 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 8.72%. |
| 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 the Fund’s relative performance. Specifically, the Fund’s bias toward stocks with higher dividend yields had a negative impact on returns. Overall, the Fund was hurt by its holdings in the health care and consumer discretionary sectors and, to a lesser extent, in the energy and financials sectors. Investments in the real estate sector contributed most positively to relative results. |
| The sale of call options on the S&P 500® Index detracted from 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 when the S&P 500® Index appreciated, and thus the Fund’s call writing detracted from performance. |
| Call option writing has the potential to reduce Fund volatility. Since its inception, the realized daily volatility of the Fund has been 17.02% compared to the realized volatility of the S&P 500®Index of 18.54%. During the Reporting Period, the realized daily volatility of the Fund was 10.53% compared to the realized volatility of the S&P 500® Index of 12.47%.1 |
| 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 2.67% compared to 1.87% 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 |
4
| 1 | The realized daily volatility of the Fund quoted herein is for Institutional Shares, net of fees. Based on GSAM calculations. |
PORTFOLIO RESULTS
income distributions. As of December 31, 2019, the Standardized30-Day Subsidized Yield was 1.93% and the Standardized30-Day Unsubsidized Yield was 1.91%.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 oil and gas exploration company Occidental Petroleum, pharmaceutical company Pfizer and retailer Macy’s. 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 an underweight position versus the S&P 500® Index in Berkshire Hathaway, a conglomerate holding company. Also adding to relative returns were overweight positions in Southern Company, a gas and electric utility holding company, and Lockheed Martin, an aerospace and defense company. The Fund was underweight Berkshire Hathaway largely because of its unattractive dividend yield and/or risk metrics. The overweights in Southern Company and Lockheed Martin were driven by their attractive dividend yields 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 negative 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. |
| 2 | The Standardized 30-Day Subsidized Yield and Standardized30-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 December 31, 2019
| TOP TEN HOLDINGS AS OF 12/31/191 | ||||||||
| Holding | % of Net Assets | Line of Business | ||||||
| Microsoft Corp. | 5.0 | % | Software & Services | |||||
| Apple, Inc. | 4.7 | Technology Hardware & Equipment | ||||||
| Amazon.com, Inc. | 2.9 | Retailing | ||||||
| Exxon Mobil Corp. | 1.9 | Energy | ||||||
| JPMorgan Chase & Co. | 1.8 | Banks | ||||||
| Facebook, Inc. Class A | 1.8 | Media & Entertainment | ||||||
| AT&T, Inc. | 1.7 | Telecommunication Services | ||||||
| Johnson & Johnson | 1.6 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
| Pfizer, Inc. | 1.6 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
| Home Depot, Inc. (The) | 1.5 | Retailing | ||||||
| 1 | The top 10 holdings may not be representative of the Fund’s future investments. |
| FUND VS. BENCHMARK SECTOR ALLOCATIONS2 |
| As of December 31, 2019 |
| 2 | 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. 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. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
6
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Performance Summary
December 31, 2019
The following graph shows the value as of December 31, 2019, of a $1,000,000 investment made on January 1, 2010 in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s primary and secondary benchmarks, the S&P 500® Index and the Bloomberg Barclays U.S. Aggregate Bond Index, respectively, is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below 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 below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
| U.S. Equity Dividend and Premium Fund’s 10 Year Performance |
Performance of a $1,000,000 Investment, with distributions reinvested, from January 1, 2010 through December 31, 2019.
| Average Annual Total Return through December 31, 2019* | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A | ||||||||||||||
Excluding sales charges | 24.62% | 8.98% | 10.91% | — | ||||||||||
Including sales charges | 17.74% | 7.76% | 10.29% | — | ||||||||||
| ||||||||||||||
Class C | ||||||||||||||
Excluding contingent deferred sales charges | 23.72% | 8.16% | 10.09% | — | ||||||||||
Including contingent deferred sales charges | 22.43% | 8.16% | 10.09% | — | ||||||||||
| ||||||||||||||
Institutional | 25.06% | 9.41% | 11.35% | — | ||||||||||
| ||||||||||||||
Investor (Commenced August 31, 2010) | 25.00% | 9.25% | N/A | 12.24% | ||||||||||
| ||||||||||||||
Class P (Commenced April 17, 2018) | 25.07% | N/A | N/A | 9.43% | ||||||||||
| ||||||||||||||
Class R6 (Commenced April 30, 2018) | 25.09% | N/A | N/A | 11.01% | ||||||||||
| ||||||||||||||
| * | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Investor, Class P and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
7
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 the12-month period ended December 31, 2019 (the “Reporting Period”).
| Q | How did the Fund perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, Class C, Institutional, Investor, Class P and Class R6 Shares generated average annual total returns, without sales charges, of 14.42%, 13.54%, 14.82%, 14.71%, 14.83% and 14.85%, respectively. These returns compare to the 22.01% average annual total return of the Fund’s primary benchmark, the MSCI EAFE Index (Net, USD, Unhedged) (“MSCI EAFE Index”). The Bloomberg Barclays Global Aggregate Bond Index (Gross, USD, Unhedged), the secondary benchmark, returned 8.22%. |
| 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 | The Fund was hurt by security selection during the Reporting Period, as the Fund’s bias toward stocks with higher dividend yields detracted from performance. Investments in the financials sector diminished relative returns the most, followed at a distance by holdings in the communication services, utilities and energy sectors. The Fund benefited from selection in the materials, industrials and consumer staples sectors. |
| The sale of call options on the MSCI EAFE Index detracted from 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. This is what happened during the Reporting Period when the MSCI EAFE Index appreciated, and thus the Fund’s call writing detracted from performance. |
| Call option writing has the potential to reduce Fund volatility. Since its inception, the realized daily volatility of the Fund has been 17.80% compared to the realized volatility of the MSCI EAFE Index of 18.55%. During the Reporting Period, the realized daily volatility of the Fund was 8.74% compared to the realized volatility of the MSCI EAFE Index of 8.94%.1 |
| 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 4.62% compared to 3.28% 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 December 31, 2019, the |
| 1The | realized daily volatility of the Fund quoted herein is for Institutional Shares, net of fees. Based on GSAM calculations. |
8
PORTFOLIO RESULTS
Standardized30-Day Subsidized Yield was 3.28% and the Standardized30-Day Unsubsidized Yield was 3.15%.2 |
| Q | Which individual stock holdings detracted significantly from relative performance? |
| A | Compared to the MSCI EAFE Index, the Fund was hurt by overweight positions relative to the MSCI EAFE Index in Nordic-Baltic banking group Swedbank, British investment bank HSBC Holdings and Australian retail bank Bank of Queensland. It was overweight all three stocks primarily because of their attractive dividend yield and/or risk metrics. |
| Q | Which individual stock holdings contributed most positively to the Fund’s relative results during the Reporting Period? |
| A | During the Reporting Period, the Fund was helped by an overweight position compared to the Index in U.K. housebuilding company Persimmon. Overweight positions in French-Italian STMicroelectronics and Japan-based Tokyo Electron — both electronics and semiconductor manufacturers — also contributed positively to relative performance. We chose to overweight all three stocks largely because of their attractive dividend yields 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 negative 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. |
| 2The | 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. |
9
FUND BASICS
International Equity Dividend and Premium Fund
as of December 31, 2019
| TOP TEN HOLDINGS AS OF 12/31/191 | ||||||||||
| Company | % of Net Assets | Line of Business | Country | |||||||
| HSBC Holdings plc | 2.7 | % | Banks | United Kingdom | ||||||
| Nestle SA (Registered) | 2.5 | Food, Beverage & Tobacco | Switzerland | |||||||
| Roche Holding AG | 1.8 | Pharmaceuticals, Biotechnology & Life Sciences | Switzerland | |||||||
| Novartis AG (Registered) | 1.6 | Pharmaceuticals, Biotechnology & Life Sciences | Switzerland | |||||||
| National Australia Bank Ltd. | 1.6 | Banks | Australia | |||||||
| Daimler AG (Registered) | 1.5 | Automobiles & Components | Germany | |||||||
| LVMH Moet Hennessy Louis Vuitton SE | 1.5 | Consumer Durables & Apparel | France | |||||||
| GlaxoSmithKline plc ADR | 1.4 | Pharmaceuticals, Biotechnology & Life Sciences | United Kingdom | |||||||
| Royal Dutch Shell plc Class A | 1.4 | Energy | Netherlands | |||||||
| Unilever NV | 1.3 | Household & Personal Products | United Kingdom | |||||||
| 1 | The top 10 holdings may not be representative of the Fund’s future investments. |
| FUND VS. BENCHMARK SECTOR ALLOCATIONS2 |
| As of December 31, 2019 |
| 2 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
10
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Performance Summary
December 31, 2019
The following graph shows the value as of December 31, 2019, of a $1,000,000 investment made on January 1, 2010 in Institutional Shares. For comparative purposes, the performance of the Fund’s primary and secondary benchmarks, the MSCI EAFE Index (Net, USD, Unhedged) and the Bloomberg Barclays Global Aggregate Bond Index (Gross, USD, Unhedged), respectively, is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below 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 below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
| International Equity Dividend and Premium Fund’s 10 Year Performance |
Performance of a $1,000,000 Investment, with distributions reinvested, from January 1, 2010 through December 31, 2019.
| Average Annual Total Return through December 31, 2019* | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A | ||||||||||||||
Excluding sales charges | 14.42% | 3.23% | 3.30% | — | ||||||||||
Including sales charges | 8.15% | 2.06% | 2.72% | — | ||||||||||
| ||||||||||||||
Class C | ||||||||||||||
Excluding contingent deferred sales charges | 13.54% | 2.41% | 2.52% | — | ||||||||||
Including contingent deferred sales charges | 12.52% | 2.41% | 2.52% | — | ||||||||||
| ||||||||||||||
Institutional | 14.82% | 3.61% | 3.72% | — | ||||||||||
| ||||||||||||||
Investor (Commenced August 31, 2010) | 14.71% | 3.46% | N/A | 4.64% | ||||||||||
| ||||||||||||||
Class P (Commenced April 17, 2018) | 14.83% | N/A | N/A | -0.97% | ||||||||||
| ||||||||||||||
Class R6 (Commenced April 30, 2018) | 14.85% | N/A | N/A | -0.22% | ||||||||||
| ||||||||||||||
| * | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Investor, Class P and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
11
What Differentiates the Goldman Sachs GlobalTax-Management Investment Process?
In managing money for many of the world’s wealthiest taxable investors, Goldman Sachs often constructs a diversified investment portfolio around atax-managed core. With the Goldman Sachs U.S.Tax-Managed Equity Fund and Goldman Sachs InternationalTax-Managed Equity Fund, investors can access Goldman Sachs’tax-smart investment expertise while capitalizing on this same strategic approach to portfolio construction.
Goldman Sachs GlobalTax-Management Investment Process
The Goldman Sachs GlobalTax-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 InternationalTax-Managed Equity Fund, the investment process is enhanced with an additional layer that seeks to maximizeafter-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 maximizeafter-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 maximizeafter-tax risk-adjusted returns |
12
PORTFOLIO RESULTS
Investment Objective
The Fund seeks to provide long-termafter-tax growth of capital throughtax-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 the12-month period ended December 31, 2019 (the “Reporting Period”).
| Q | How did the Fund perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, Class C, Institutional, Service, Investor, Class P and Class R6 Shares generated average annual total returns, without sales charges, of 25.48%, 24.54%, 25.90%, 25.31%, 25.82%, 25.94% and 25.96%, respectively. This compares to the 31.02% average annual total return of the Fund’s benchmark, the Russell 3000® Index (the “Index”), over the same time period. |
| Q | What key factors were most responsible for the Fund’s performance during the Reporting Period? |
| A | The Fund uses a quantitative style of management, in combination with a qualitative overlay, that emphasizes fundamentally based stock selection, careful portfolio construction and efficient implementation. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on certain investment themes, including Fundamental Mispricings, High Quality Business Models, Sentiment Analysis and Market Themes & Trends. |
| During the Reporting Period, the Fund underperformed the Index, with all four of our quantitative model’s investment themes detracting from performance. Stock selection driven by these investment themes hurt 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 four investment themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of the model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of the Fund’s theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by our different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit. |
| During the Reporting Period, all four of our investment themes detracted from the Fund’s relative returns. High Quality Business Models and Sentiment Analysis were our worst performing themes. High Quality Business Models seeks to identify companies that are generating high quality revenues with sustainable business models and aligned management incentives. Sentiment Analysis seeks to identify stocks experiencing improvements in their overall market sentiment. In addition, Fundamental Mispricings and Market Themes & Trends detracted from performance, albeit to a lesser extent. Fundamental Mispricings seeks to identify high quality businesses trading at a fair price, which we believe may lead to strong performance over the long run. Market Themes & Trends seeks to identify companies positively positioned to benefit from themes and trends in the market and macroeconomic environment. |
| 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 tends to be similar to the Index in terms of its sector and industry allocations and style. Changes in its sector or industry weights generally do not have a meaningful impact on relative performance. |
13
PORTFOLIO RESULTS
| Q | How successful was your stock selection during the Reporting Period? |
| A | The Fund seeks to provide investors with atax-efficient means for maintaining broadly diversified exposure to the entire U.S. equity market, ranging from large- tosmall-cap stocks. During the Reporting Period, certain individual stock positions, led by holdings in the health care, industrials, financials and utilities sectors, detracted from relative performance. On the positive side, the Fund benefited from its investments in the real estate and communication services sectors. |
| Q | Which individual stock holdings detracted significantly from relative performance? |
| A | During the Reporting Period, the Fund was hurt by overweight positions compared to the Index in biotechnology firm Biogen, integrated power company NRG Energy and industrial corporation Alcoa. We adopted the overweight in Biogen as a result of our Sentiment Analysis, Fundamental Mispricings and High Quality Business Models investment themes. The overweight in NRG Energy was driven by our High Quality Business Models, Sentiment Analysis and Fundamental Mispricings investment themes. The Fund was overweight Alcoa mostly because of our Sentiment Analysis and Fundamental Mispricings investment themes. |
| Q | Which individual stock holdings contributed most positively to the Fund’s relative results during the Reporting Period? |
| A | Relative to the Index, the Fund benefited from overweight positions in semiconductor manufacturer Applied Materials, information technology giant Apple and fast casual restaurant chain Chipotle Mexican Grill. The Fund’s overweight in Applied Materials was primarily because of our Sentiment Analysis and High Quality Business Models investment themes. Our High Quality Business Models and Sentiment Analysis investment themes led to the Fund’s overweights in Apple and Chipotle Mexican Grill. |
| 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 | We continuously look for ways to improve our investment process. During the Reporting Period, we made numerous enhancements to our models. |
| Within our Sentiment Analysis investment theme, we added a suite of signals that utilizes data from the short selling market as an indicator of the market sentiment surrounding individual names. |
| Within our Market Themes & Trends investment theme, we added a signal that examines the cross-holdings of pooled vehicles to identify thematic trends in the market. We also added a signal that examines internet linkages between companies to identify thematic trends. Additionally, we introduced a signal that helps us find connections between companies based upon import and export data. |
| Within our Fundamental Mispricings investment theme, we added a signal that we believe to be predictive of industry rotations. |
| Within our High-Quality Business Models investment theme, we added a metric that identifies companies with longer executive management tenure, as we believe this is indicative of sustainable, high quality business models. We also began to leverage data from a large web search engine provider to help quantify changes in consumer attention. We introduced a signal that uses import and export data to help quantify demand growth for a company’s products, complementing our suite of consumer-demand signals. In addition, we added a signal focused on health care companies that helps us measure the value of a pharmaceutical company’s drug pipeline. |
| Q | How was the Fund positioned relative to the Index at the end of the Reporting Period? |
| A | As mentioned previously, we focus on picking stocks rather than on making industry or sector bets. 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, financials, real estate and consumer discretionary sectors. It was underweight compared to the Index in the consumer staples, communications services, information technology and energy sectors. The Fund was relatively neutral versus the Index in the utilities, industrials and materials sectors at the end of the Reporting Period. |
14
FUND BASICS
U.S.Tax-Managed Equity Fund
as of December 31, 2019
| TOP TEN HOLDINGS AS OF 12/31/191 | ||||||||
| Holding | % of Net Assets | Line of Business | ||||||
| Apple, Inc. | 4.9 | % | Technology Hardware & Equipment | |||||
| Microsoft Corp. | 2.9 | Software & Services | ||||||
| Facebook, Inc. Class A | 2.5 | Media & Entertainment | ||||||
| Amazon.com, Inc. | 2.4 | Retailing | ||||||
| AbbVie, Inc. | 1.6 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
| Alphabet, Inc. Class A | 1.5 | Media & Entertainment | ||||||
| Anthem, Inc. | 1.4 | Health Care Equipment & Services | ||||||
| Sherwin-Williams Co. (The) | 1.3 | Materials | ||||||
| Alphabet, Inc. Class C | 1.2 | Media & Entertainment | ||||||
| PayPal Holdings, Inc. | 1.2 | Software & Services | ||||||
| 1 | The top 10 holdings may not be representative of the Fund’s future investments. |
| FUND VS. BENCHMARK SECTOR ALLOCATIONS2 |
| As of December 31, 2019 |
| 2 | 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). Investments in the securities lending reinvestment vehicle represented 0.1% of the Fund’s net assets at December 31, 2019. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
15
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
Performance Summary
December 31, 2019
The following graph shows the value as of December 31, 2019, of a $1,000,000 investment made on January 1, 2010 in Class A Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the Russell 3000® Index, is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below 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 below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
| U.S. Tax-Managed Equity Fund’s 10 Year Performance |
Performance of a $1,000,000 Investment, with distributions reinvested, from January 1, 2010 through December 31, 2019.
| Average Annual Total Return through December 31, 2019* | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A | ||||||||||||||
Excluding sales charges | 25.48% | 8.49% | 12.27% | — | ||||||||||
Including sales charges | 18.57% | 7.27% | 11.64% | — | ||||||||||
| ||||||||||||||
Class C | ||||||||||||||
Excluding contingent deferred sales charges | 24.54% | 7.67% | 11.43% | — | ||||||||||
Including contingent deferred sales charges | 23.54% | 7.67% | 11.43% | — | ||||||||||
| ||||||||||||||
Institutional | 25.90% | 8.91% | 12.73% | — | ||||||||||
| ||||||||||||||
Service | 25.31% | 8.37% | 12.15% | — | ||||||||||
| ||||||||||||||
Investor (Commenced August 31, 2010) | 25.82% | 8.76% | N/A | 14.38% | ||||||||||
| ||||||||||||||
Class P (Commenced April 17, 2018) | 25.94% | N/A | N/A | 7.17% | ||||||||||
| ||||||||||||||
Class R6 (Commenced April 30, 2018) | 25.96% | N/A | N/A | 8.69% | ||||||||||
| ||||||||||||||
| * | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A 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 and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
16
PORTFOLIO RESULTS
InternationalTax-Managed Equity Fund
Investment Objective
The Fund seeks to provide long-termafter-tax growth of capital throughtax-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 InternationalTax-Managed Equity Fund’s (the “Fund”) performance and positioning for the12-month period ended December 31, 2019 (the “Reporting Period”).
| Q | How did the Fund perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, Class C, Institutional, Investor, Class P and Class R6 Shares generated average annual total returns, without sales charges, of 18.66%, 17.74%, 19.01%, 18.90%, 19.02% and 19.05%, respectively. This compares to the 22.01% average annual total return of the Fund’s benchmark, the MSCI EAFE Index (Net, USD, Unhedged) (the “Index”), during the same time period. |
| Q | What key factors were most responsible for the Fund’s performance during the Reporting Period? |
| A | The Fund uses a quantitative style of management, in combination with a qualitative overlay, that emphasizes fundamentally based stock selection, careful portfolio construction and efficient implementation. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on certain investment themes, including Fundamental Mispricings, High Quality Business Models, Sentiment Analysis and Market Themes & Trends. |
| During the Reporting Period, the Fund underperformed the Index, with three of our quantitative model’s four investment themes detracting from performance. Stock selection driven by our investment themes hurt 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 four investment themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of the model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of the Fund’s theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by our different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit. |
| During the Reporting Period, three of our investment themes — Fundamental Mispricings, Market Themes & Trends and High Quality Business Models — detracted from the Fund’s relative returns. Fundamental Mispricings seeks to identify high quality businesses trading at a fair price, which we believe may lead to strong performance over the long run. Market Themes & Trends seeks to identify companies positively positioned to benefit from themes and trends in the market and macroeconomic environment. High Quality Business Models seeks to identify companies that are generating high quality revenues with sustainable business models and aligned management incentives. |
| Our Sentiment Analysis investment theme had a positive impact on relative performance during the Reporting Period. Sentiment Analysis seeks to identify stocks experiencing improvements in their overall market sentiment. |
| 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. The Fund tends to be similar to the Index in terms of its sector and industry allocations and style. Changes in its sector or industry weights generally do not have a meaningful impact on relative performance. |
17
PORTFOLIO RESULTS
| Q | How successful was your stock selection during the Reporting Period? |
| A | The Fund seeks to provide investors with atax-efficient means for maintaining broadly diversified exposure to the entire EAFE equity market. During the Reporting Period, certain individual stock positions detracted from relative returns, including investments in the communication services, industrials and health care sectors. The Fund benefited most from its holdings in the information technology and consumer discretionary sectors. |
| Q | Which individual stock holdings detracted significantly from relative performance? |
| A | During the Reporting Period, the Fund was hurt by its underweight positions versus the Index in Netherlands-based ASML Holding, which supplies photolithographic equipment for the semiconductor industry, and U.K.-based British American Tobacco, a tobacco company. An overweight in Spanish telecommunications company Telefonica also detracted from relative returns. We decided to underweight ASML Holding largely because of our Fundamental Mispricings investment theme. Our Market Themes & Trends investment theme led to the underweight in British American Tobacco. The Fund was overweight Telefonica primarily due to our Fundamental Mispricings and High Quality Business Models investment themes. |
| Q | Which individual stock holdings contributed most positively to the Fund’s relative results during the Reporting Period? |
| A | Compared to the Index, the Fund was helped most by its overweights in BE Semiconductor Industries, a Dutch manufacturer of semiconductor equipment; Magellan Financial Group, an Australian fund management company; and adidas, a German sportswear manufacturer. The overweight in BE Semiconductor Industries was based on our Market Themes & Trends and Fundamental Mispricings investment themes. We adopted the overweights in Magellan Financial Group and adidas mainly because of our Market Themes & Trends and High Quality Business Models investment themes. |
| 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 | We continuously look for ways to improve our investment process. During the Reporting Period, we made numerous enhancements to our models. |
| Within our Sentiment Analysis investment theme, we added a suite of signals that utilizes data from the short selling market as an indicator of the market sentiment surrounding individual names. In the Japan region, we added a signal that uses natural language processing and machine learning techniques to help capture sell-side research analyst sentiment in Japanese language reports. Additionally, we added a contrarian signal in the European and U.K. investment regions that uses market microstructure data to help predict short-term stock reversals. |
| Within our Market Themes & Trends investment theme, we added a signal that examines the cross-holdings of pooled vehicles to identify thematic trends in the market. We also added a signal that examines internet linkages between companies to identify thematic trends. |
| Within our Fundamental Mispricings investment theme, we added a signal that we believe to be predictive of industry rotations. |
| Within our High-Quality Business Models investment theme, we added a metric that identifies companies with longer executive management tenure, as we believe this is indicative of sustainable, high quality, business models. |
| Q | How was the Fund positioned relative to the Index at the end of the Reporting Period? |
| A | As mentioned previously, we focus on picking stocks rather than on making industry or sector bets. 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 the health care, industrials, materials and information technology sectors relative to the Index. It was underweight the communication services, utilities, energy, consumer staples and real estate sectors. The Fund was relatively neutrally weighted to the Index in the financials and consumer discretionary sectors at the end of the Reporting Period. |
18
PORTFOLIO RESULTS
| At the end of the Reporting Period, the Fund was overweight compared to the Index in the Netherlands and Japan. Relative to the Index, it was underweight the U.K. and France. The Fund was rather neutrally weighted relative to the Index in Italy, Singapore, Sweden, Norway, Denmark, Israel, Ireland, Germany, Spain, Australia, Switzerland, New Zealand, Belgium, Austria, Finland, Hong Kong and Portugal at the end of the Reporting Period. |
19
FUND BASICS
International Tax-Managed Equity Fund
as of December 31, 2019
| TOP TEN HOLDINGS AS OF 12/31/191 | ||||||||
| Holding | % of Net Assets | Line of Business | ||||||
| Roche Holding AG | 2.2 | % | Pharmaceuticals, Biotechnology & Life Sciences | |||||
| Novartis AG (Registered) | 2.0 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
| AIA Group Ltd. | 1.5 | Insurance | ||||||
| Novo Nordisk A/S Class B | 1.3 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
| Schneider Electric SE | 1.2 | Capital Goods | ||||||
| Air Liquide SA | 1.2 | Materials | ||||||
| BHP Group Ltd. | 1.2 | Materials | ||||||
| Sony Corp. | 1.2 | Consumer Durables & Apparel | ||||||
| BNP Paribas SA | 1.2 | Banks | ||||||
| Diageo plc | 1.2 | Food, Beverage & Tobacco | ||||||
| 1 | The top 10 holdings may not be representative of the Fund’s future investments. |
| FUND VS. BENCHMARK SECTOR ALLOCATIONS2 |
| As of December 31, 2019 |
| 2 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
20
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
Performance Summary
December 31, 2019
The following graph shows the value as of December 31, 2019, of a $1,000,000 investment made on January 1, 2010 in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the MSCI EAFE Index (Net, USD, Unhedged), is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below 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 below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
| International Tax-Managed Equity Fund’s 10 Year Performance |
Performance of a $1,000,000 Investment, with distributions reinvested, from January 1, 2010 through December 31, 2019.
| Average Annual Total Return through December 31, 2019* | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A | ||||||||||||||
Excluding sales charges | 18.66% | 5.89% | 5.41% | — | ||||||||||
Including sales charges | 12.13% | 4.70% | 4.81% | — | ||||||||||
| ||||||||||||||
Class C | ||||||||||||||
Excluding contingent deferred sales charges | 17.74% | 5.11% | 4.62% | — | ||||||||||
Including contingent deferred sales charges | 16.73% | 5.11% | 4.62% | — | ||||||||||
| ||||||||||||||
Institutional | 19.01% | 6.31% | 5.83% | — | ||||||||||
| ||||||||||||||
Investor (Commenced August 31, 2010) | 18.90% | 6.13% | N/A | 7.00% | ||||||||||
| ||||||||||||||
Class P (Commenced April 17, 2018) | 19.02% | N/A | N/A | -1.48% | ||||||||||
| ||||||||||||||
Class R6 (Commenced April 30, 2018) | 19.05% | N/A | N/A | -0.76% | ||||||||||
| ||||||||||||||
| * | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Investor, Class P and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
21
FUND BASICS
Russell 1000® Index measures the performance of thelarge-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 thelarge-cap segment and is completely reconstituted annually to ensure new and growing equities are reflected.
Russell Midcap® Index measures the performance of themid-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 themid-cap segment. The Russell Midcap®Index is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the truemid-cap opportunity set.
Russell 2000® Index measures the performance of thesmall-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 unbiasedsmall-cap barometer and is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the truesmall-cap opportunity set.
STOXX® Europe 600 Index derived from the STOXX® Europe Total Market Index and is a subset of the STOXX® Global 1800 Index. With a fixed number of 600 components, the STOXX® Europe 600 Index represents large, mid and small capitalization companies across 17 countries of the European region.
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.
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.
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.
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.
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 unmanaged index.
22
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
December 31, 2019
| Shares | Description | Value | ||||||
| Common Stocks – 99.7% | ||||||||
| Automobiles & Components – 1.0% | ||||||||
| 2,354,000 | Ford Motor Co. | $ | 21,892,200 | |||||
| 193,798 | General Motors Co. | 7,093,007 | ||||||
|
| |||||||
| 28,985,207 | ||||||||
|
| |||||||
| Banks – 6.2% | ||||||||
| 355,765 | Bank of America Corp. | 12,530,043 | ||||||
| 157,900 | Citigroup, Inc. | 12,614,631 | ||||||
| 68,000 | FNB Corp. | 863,600 | ||||||
| 765,400 | Huntington Bancshares, Inc. | 11,542,232 | ||||||
| 397,129 | JPMorgan Chase & Co.(a)(b) | 55,359,783 | ||||||
| 731,999 | New York Community Bancorp, Inc.(b) | 8,798,628 | ||||||
| 588,200 | PacWest Bancorp | 22,510,414 | ||||||
| 1,173,599 | People’s United Financial, Inc.(b) | 19,833,823 | ||||||
| 131,700 | TFS Financial Corp. | 2,591,856 | ||||||
| 344,200 | Umpqua Holdings Corp. | 6,092,340 | ||||||
| 632,098 | Wells Fargo & Co. | 34,006,872 | ||||||
|
| |||||||
| 186,744,222 | ||||||||
|
| |||||||
| Capital Goods – 6.2% | ||||||||
| 108,799 | 3M Co. | 19,194,319 | ||||||
| 71,500 | Boeing Co. (The) | 23,291,840 | ||||||
| 110,000 | Caterpillar, Inc. | 16,244,800 | ||||||
| 49,900 | Cummins, Inc. | 8,930,104 | ||||||
| 187,297 | Eaton Corp. plc | 17,740,772 | ||||||
| 104,596 | Emerson Electric Co. | 7,976,491 | ||||||
| 193,898 | Fastenal Co. | 7,164,531 | ||||||
| 96,000 | Honeywell International, Inc. | 16,992,000 | ||||||
| 61,200 | Illinois Tool Works, Inc. | 10,993,356 | ||||||
| 147,300 | Johnson Controls International plc | 5,996,583 | ||||||
| 35,400 | L3Harris Technologies, Inc. | 7,004,598 | ||||||
| 54,234 | Lockheed Martin Corp. | 21,117,635 | ||||||
| 10,100 | MSC Industrial Direct Co., Inc. Class A | 792,547 | ||||||
| 15,700 | Trinity Industries, Inc. | 347,755 | ||||||
| 100,201 | United Technologies Corp. | 15,006,102 | ||||||
| 42,699 | Watsco, Inc. | 7,692,225 | ||||||
|
| |||||||
| 186,485,658 | ||||||||
|
| |||||||
| Commercial & Professional Services – 0.5% | ||||||||
| 269,499 | KAR Auction Services, Inc. | 5,872,383 | ||||||
| 502,000 | Nielsen Holdings plc | 10,190,600 | ||||||
|
| |||||||
| 16,062,983 | ||||||||
|
| |||||||
| Consumer Durables & Apparel – 0.7% | ||||||||
| 57,003 | Kontoor Brands, Inc. | 2,393,556 | ||||||
| 170,399 | Newell Brands, Inc. | 3,275,069 | ||||||
| 41,500 | NIKE, Inc. Class B | 4,204,365 | ||||||
| 310,200 | Tapestry, Inc. | 8,366,094 | ||||||
| 33,602 | VF Corp. | 3,348,775 | ||||||
|
| |||||||
| 21,587,859 | ||||||||
|
| |||||||
| Consumer Services – 2.9% | ||||||||
| 196,300 | Carnival Corp. | 9,977,929 | ||||||
| 56,700 | Darden Restaurants, Inc. | 6,180,867 | ||||||
| 286,802 | Extended Stay America, Inc. | 4,261,878 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Consumer Services – (continued) | ||||||||
| 260,347 | International Game Technology plc | 3,897,394 | ||||||
| 182,303 | Las Vegas Sands Corp. | 12,586,199 | ||||||
| 120,201 | McDonald’s Corp. | 23,752,920 | ||||||
| 209,700 | Six Flags Entertainment Corp. | 9,459,567 | ||||||
| 94,000 | Starbucks Corp. | 8,264,480 | ||||||
| 6,301 | Vail Resorts, Inc. | 1,511,169 | ||||||
| 139,700 | Wyndham Destinations, Inc. | 7,221,093 | ||||||
|
| |||||||
| 87,113,496 | ||||||||
|
| |||||||
| Diversified Financials – 4.1% | ||||||||
| 62,700 | American Express Co. | 7,805,523 | ||||||
| 120,239 | Berkshire Hathaway, Inc. Class B* | 27,234,134 | ||||||
| 28,700 | BlackRock, Inc. | 14,427,490 | ||||||
| 1,400 | Eaton Vance Corp. | 65,366 | ||||||
| 1,314,204 | Invesco Ltd. | 23,629,388 | ||||||
| 528,000 | Janus Henderson Group plc | 12,909,600 | ||||||
| 145,400 | Legg Mason, Inc. | 5,221,314 | ||||||
| 147,300 | Morgan Stanley | 7,529,976 | ||||||
| 388,902 | Navient Corp. | 5,320,179 | ||||||
| 52,400 | Santander Consumer USA Holdings, Inc. | 1,224,588 | ||||||
| 117,200 | T. Rowe Price Group, Inc. | 14,279,648 | ||||||
| 164,700 | Virtu Financial, Inc. Class A(c) | 2,633,553 | ||||||
|
| |||||||
| 122,280,759 | ||||||||
|
| |||||||
| Energy – 5.4% | ||||||||
| 344,698 | Chevron Corp. | 41,539,556 | ||||||
| 807,103 | Exxon Mobil Corp.(b) | 56,319,648 | ||||||
| 734,400 | Kinder Morgan, Inc. | 15,547,248 | ||||||
| 52,301 | Marathon Petroleum Corp. | 3,151,135 | ||||||
| 2,600 | Murphy Oil Corp. | 69,680 | ||||||
| 222,400 | ONEOK, Inc. | 16,829,008 | ||||||
| 45,600 | Phillips 66 | 5,080,296 | ||||||
| 385,000 | Schlumberger Ltd. | 15,477,000 | ||||||
| 78,200 | Valero Energy Corp. | 7,323,430 | ||||||
|
| |||||||
| 161,337,001 | ||||||||
|
| |||||||
| Food & Staples Retailing – 1.3% | ||||||||
| 106,800 | Sysco Corp. | 9,135,672 | ||||||
| 107,600 | Walgreens Boots Alliance, Inc. | 6,344,096 | ||||||
| 202,041 | Walmart, Inc. | 24,010,552 | ||||||
|
| |||||||
| 39,490,320 | ||||||||
|
| |||||||
| Food, Beverage & Tobacco – 4.1% | ||||||||
| 284,659 | Altria Group, Inc. | 14,207,331 | ||||||
| 568,300 | Coca-Cola Co. (The)(a) | 31,455,405 | ||||||
| 500 | Coca-Cola European Partners plc | 25,440 | ||||||
| 101,900 | Flowers Foods, Inc. | 2,215,306 | ||||||
| 378,602 | General Mills, Inc. | 20,277,923 | ||||||
| 291,200 | Kraft Heinz Co. (The) | 9,356,256 | ||||||
| 216,206 | PepsiCo, Inc. | 29,548,874 | ||||||
| 180,402 | Philip Morris International, Inc. | 15,350,406 | ||||||
|
| |||||||
| 122,436,941 | ||||||||
|
| |||||||
| The accompanying notes are an integral part of these financial statements. | 23 |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Schedule of Investments(continued)
December 31, 2019
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Health Care Equipment & Services – 5.4% | ||||||||
| 417,342 | Abbott Laboratories | $ | 36,250,326 | |||||
| 26,787 | Anthem, Inc. | 8,090,478 | ||||||
| 39,700 | Becton Dickinson and Co. | 10,797,209 | ||||||
| 173,500 | Cardinal Health, Inc. | 8,775,630 | ||||||
| 171,478 | CVS Health Corp. | 12,739,101 | ||||||
| 8,200 | Encompass Health Corp. | 568,014 | ||||||
| 244,053 | Medtronic plc | 27,687,813 | ||||||
| 9,900 | STERIS plc | 1,508,958 | ||||||
| 79,700 | Stryker Corp. | 16,732,218 | ||||||
| 134,271 | UnitedHealth Group, Inc.(a) | 39,472,988 | ||||||
|
| |||||||
| 162,622,735 | ||||||||
|
| |||||||
| Household & Personal Products – 1.7% | ||||||||
| 75,398 | Kimberly-Clark Corp. | 10,370,995 | ||||||
| 335,798 | Procter & Gamble Co. (The)(a) | 41,941,170 | ||||||
|
| |||||||
| 52,312,165 | ||||||||
|
| |||||||
| Insurance – 1.9% | ||||||||
| 44,798 | Arthur J Gallagher & Co. | 4,266,114 | ||||||
| 84,600 | Fidelity National Financial, Inc. | 3,836,610 | ||||||
| 31,400 | First American Financial Corp. | 1,831,248 | ||||||
| 196,999 | Mercury General Corp. | 9,599,761 | ||||||
| 176,801 | MetLife, Inc. | 9,011,547 | ||||||
| 384,106 | Old Republic International Corp. | 8,592,451 | ||||||
| 98,199 | Principal Financial Group, Inc. | 5,400,945 | ||||||
| 151,400 | Prudential Financial, Inc. | 14,192,236 | ||||||
|
| |||||||
| 56,730,912 | ||||||||
|
| |||||||
| Materials – 2.8% | ||||||||
| 39,200 | Air Products & Chemicals, Inc. | 9,211,608 | ||||||
| 526,300 | Amcor plc | 5,705,092 | ||||||
| 53,800 | Chemours Co. (The) | 973,242 | ||||||
| 61,901 | Domtar Corp. | 2,367,094 | ||||||
| 317,249 | Dow, Inc. | 17,363,038 | ||||||
| 195,899 | International Paper Co. | 9,021,149 | ||||||
| 48,700 | Linde plc | 10,368,230 | ||||||
| 152,099 | LyondellBasell Industries NV Class A | 14,370,314 | ||||||
| 89,500 | Newmont Goldcorp Corp. | 3,888,775 | ||||||
| 43,100 | Olin Corp. | 743,475 | ||||||
| 700 | Royal Gold, Inc. | 85,575 | ||||||
| 132,500 | Southern Copper Corp. | 5,628,600 | ||||||
| 111,400 | WestRock Co. | 4,780,174 | ||||||
|
| |||||||
| 84,506,366 | ||||||||
|
| |||||||
| Media & Entertainment – 6.6% | ||||||||
| 23,729 | Alphabet, Inc. Class A* | 31,782,385 | ||||||
| 27,756 | Alphabet, Inc. Class C*(a) | 37,110,327 | ||||||
| 63,797 | Cinemark Holdings, Inc. | 2,159,529 | ||||||
| 473,913 | Comcast Corp. Class A | 21,311,868 | ||||||
| 265,441 | Facebook, Inc. Class A*(a) | 54,481,765 | ||||||
| 436,701 | Interpublic Group of Cos., Inc. (The) | 10,087,793 | ||||||
| 45,290 | Netflix, Inc.* | 14,654,485 | ||||||
| 800 | Nexstar Media Group, Inc. Class A | 93,800 | ||||||
| 189,300 | Walt Disney Co. (The) | 27,378,459 | ||||||
|
| |||||||
| 199,060,411 | ||||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Pharmaceuticals, Biotechnology & Life Sciences – 7.7% | ||||||||
| 320,186 | AbbVie, Inc.(a)(b) | 28,349,268 | ||||||
| 84,502 | Amgen, Inc. | 20,370,897 | ||||||
| 203,401 | Bristol-Myers Squibb Co.(a) | 13,056,310 | ||||||
| 8,800 | Bruker Corp. | 448,536 | ||||||
| 89,915 | Eli Lilly & Co. | 11,817,529 | ||||||
| 2,000 | Exact Sciences Corp.* | 184,960 | ||||||
| 265,899 | Gilead Sciences, Inc. | 17,278,117 | ||||||
| 16,800 | Illumina, Inc.* | 5,573,232 | ||||||
| 332,803 | Johnson & Johnson | 48,545,974 | ||||||
| 347,753 | Merck & Co., Inc. | 31,628,135 | ||||||
| 1,215,099 | Pfizer, Inc. | 47,607,579 | ||||||
| 16,700 | Thermo Fisher Scientific, Inc. | 5,425,329 | ||||||
|
| |||||||
| 230,285,866 | ||||||||
|
| |||||||
| Real Estate Investment Trusts – 2.7% | ||||||||
| 87,001 | American Tower Corp. | 19,994,570 | ||||||
| 103,900 | Crown Castle International Corp. | 14,769,385 | ||||||
| 18,100 | Equinix, Inc. | 10,564,970 | ||||||
| 64,000 | Equity LifeStyle Properties, Inc. | 4,504,960 | ||||||
| 110,500 | Invitation Homes, Inc. | 3,311,685 | ||||||
| 124,662 | Prologis, Inc. | 11,112,371 | ||||||
| 45,700 | SBA Communications Corp. | 11,013,243 | ||||||
| 38,900 | Sun Communities, Inc. | 5,838,890 | ||||||
|
| |||||||
| 81,110,074 | ||||||||
|
| |||||||
| Retailing – 5.1% | ||||||||
| 47,722 | Amazon.com, Inc.*(a) | 88,182,620 | ||||||
| 14,200 | Etsy, Inc.* | 629,060 | ||||||
| 7,700 | Foot Locker, Inc. | 300,223 | ||||||
| 203,176 | Home Depot, Inc. (The) | 44,369,575 | ||||||
| 175,800 | Kohl’s Corp. | 8,957,010 | ||||||
| 76,400 | Lowe’s Cos., Inc. | 9,149,664 | ||||||
| 20,500 | Penske Automotive Group, Inc. | 1,029,510 | ||||||
|
| |||||||
| 152,617,662 | ||||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment – 4.5% | ||||||||
| 118,200 | Advanced Micro Devices, Inc.* | 5,420,652 | ||||||
| 83,790 | Broadcom, Inc. | 26,479,316 | ||||||
| 16,000 | Cypress Semiconductor Corp. | 373,280 | ||||||
| 436,401 | Intel Corp. | 26,118,600 | ||||||
| 24,200 | Lam Research Corp. | 7,076,080 | ||||||
| 204,901 | Maxim Integrated Products, Inc. | 12,603,461 | ||||||
| 55,124 | NVIDIA Corp. | 12,970,677 | ||||||
| 150,097 | QUALCOMM, Inc. | 13,243,058 | ||||||
| 235,450 | Texas Instruments, Inc.(a) | 30,205,880 | ||||||
|
| |||||||
| 134,491,004 | ||||||||
|
| |||||||
| Software & Services – 13.0% | ||||||||
| 102,500 | Accenture plc Class A | 21,583,425 | ||||||
| 45,600 | Adobe, Inc.* | 15,039,336 | ||||||
| 11,100 | Alteryx, Inc. Class A* | 1,110,777 | ||||||
| 17,400 | Atlassian Corp. plc Class A* | 2,093,916 | ||||||
| 28,700 | Autodesk, Inc.* | 5,265,302 | ||||||
| 88,300 | Automatic Data Processing, Inc. | 15,055,150 | ||||||
| 22,800 | Coupa Software, Inc.* | 3,334,500 | ||||||
|
| |||||||
| 24 | 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) | ||||||||
| Software & Services – (continued) | ||||||||
| 88,200 | Fidelity National Information Services, Inc. | $ | 12,267,738 | |||||
| 10,100 | HubSpot, Inc.* | 1,600,850 | ||||||
| 206,901 | International Business Machines Corp. | 27,733,010 | ||||||
| 29,900 | Intuit, Inc. | 7,831,707 | ||||||
| 100,500 | Mastercard, Inc. Class A | 30,008,295 | ||||||
| 942,850 | Microsoft Corp.(a)(b) | 148,687,445 | ||||||
| 14,700 | Okta, Inc.* | 1,695,939 | ||||||
| 184,176 | Oracle Corp. | 9,757,645 | ||||||
| 286,600 | Paychex, Inc. | 24,378,196 | ||||||
| 2,000 | Paycom Software, Inc.* | 529,520 | ||||||
| 6,900 | RingCentral, Inc. Class A* | 1,163,823 | ||||||
| 15,085 | salesforce.com, Inc.* | 2,453,424 | ||||||
| 24,562 | ServiceNow, Inc.* | 6,934,344 | ||||||
| 6,000 | Smartsheet, Inc. Class A* | 269,520 | ||||||
| 21,000 | Splunk, Inc.* | 3,145,170 | ||||||
| 4,300 | Trade Desk, Inc. (The) Class A* | 1,117,054 | ||||||
| 1,200 | Twilio, Inc. Class A* | 117,936 | ||||||
| 188,668 | Visa, Inc. Class A | 35,450,717 | ||||||
| 260,699 | Western Union Co. (The) | 6,981,519 | ||||||
| 15,500 | Workday, Inc. Class A* | 2,548,975 | ||||||
| 25,100 | Zendesk, Inc.* | 1,923,413 | ||||||
|
| |||||||
| 390,078,646 | ||||||||
|
| |||||||
| Technology Hardware & Equipment – 6.8% | ||||||||
| 478,988 | Apple, Inc.(a)(b) | 140,654,826 | ||||||
| 689,048 | Cisco Systems, Inc.(a) | 33,046,742 | ||||||
| 203,200 | Corning, Inc. | 5,915,152 | ||||||
| 38,800 | National Instruments Corp. | 1,642,792 | ||||||
| 108,500 | NetApp, Inc. | 6,754,125 | ||||||
| 115,299 | Seagate Technology plc | 6,860,291 | ||||||
| 125,700 | Western Digital Corp. | 7,978,179 | ||||||
|
| |||||||
| 202,852,107 | ||||||||
|
| |||||||
| Telecommunication Services – 2.7% | ||||||||
| 1,322,428 | AT&T, Inc.(a) | 51,680,486 | ||||||
| 486,902 | Verizon Communications, Inc.(b) | 29,895,783 | ||||||
|
| |||||||
| 81,576,269 | ||||||||
|
| |||||||
| Transportation – 2.0% | ||||||||
| 5,400 | Copa Holdings SA Class A | 583,632 | ||||||
| 61,800 | CSX Corp. | 4,471,848 | ||||||
| 100,900 | Delta Air Lines, Inc. | 5,900,632 | ||||||
| 44,802 | Norfolk Southern Corp. | 8,697,412 | ||||||
| 10,600 | Ryder System, Inc. | 575,686 | ||||||
| 115,800 | Union Pacific Corp. | 20,935,482 | ||||||
| 168,398 | United Parcel Service, Inc. Class B | 19,712,670 | ||||||
|
| |||||||
| 60,877,362 | ||||||||
|
| |||||||
| Utilities – 4.4% | ||||||||
| 529,600 | CenterPoint Energy, Inc. | 14,442,192 | ||||||
| 277,097 | Dominion Energy, Inc. | 22,949,173 | ||||||
| 302,500 | Duke Energy Corp. | 27,591,025 | ||||||
| 50,000 | NextEra Energy, Inc. | 12,108,000 | ||||||
| 28,600 | OGE Energy Corp. | 1,271,842 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Utilities – (continued) | ||||||||
| 683,401 | PPL Corp. | 24,520,428 | ||||||
| 473,501 | Southern Co. (The) | 30,162,014 | ||||||
|
| |||||||
| 133,044,674 | ||||||||
|
| |||||||
| TOTAL COMMON STOCKS | ||||||||
| (Cost $2,381,706,030) | $ | 2,994,690,699 | ||||||
|
| |||||||
| Shares | Dividend Rate | Value | ||||
| Investment Company(d)– 2.4% | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||
| 71,990,719 | 1.638% | $ | 71,990,719 | |||
| (Cost $71,990,719) |
| |||||
| ||||||
| TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE |
| |||||
| (Cost $2,453,696,749) | $ | 3,066,681,418 | ||||
| ||||||
| Securities Lending Reinvestment Vehicle(d)– 0.0% | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||
| 242,125 | 1.638% | $ | 242,125 | |||
| (Cost $242,125) |
| |||||
| ||||||
| TOTAL INVESTMENTS – 102.1% |
| |||||
| (Cost 2,453,938,874) | $ | 3,066,923,543 | ||||
| ||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS – (2.1)% | (63,689,310 | ) | ||||
| ||||||
| NET ASSETS – 100.0% | $ | 3,003,234,233 | ||||
| ||||||
| 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) | All or a portion of security is on loan. | |
(d) | Represents an Affiliated Issuer. | |
| ||
Currency Abbreviation: | ||
USD | —United States Dollar | |
| ||
| The accompanying notes are an integral part of these financial statements. | 25 |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Schedule of Investments(continued)
December 31, 2019
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At December 31, 2019, the Fund had the following futures contracts:
| Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
S&P 500E-Mini Index | 108 | 03/20/2020 | $ | 17,447,940 | $ | 29,975 | ||||||||||
WRITTEN OPTIONS CONTRACTS — At December 31, 2019, the Fund had the following written options contracts:
| Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Value | Premiums by the Fund | Unrealized Appreciation/ Depreciation | ||||||||||||||||||||||
Written options contracts: |
| |||||||||||||||||||||||||||||
Calls | ||||||||||||||||||||||||||||||
S&P 500 Index | Morgan Stanley Co., Inc. | 3,060 USD | 01/31/2020 | 1,285 | $ | (415,155,230 | ) | $ | (23,952,400 | ) | $ | (8,478,430 | ) | $ | (15,473,970 | ) | ||||||||||||||
| 3,175 USD | 02/28/2020 | 1,241 | (400,939,798 | ) | (12,869,170 | ) | (7,567,618 | ) | (5,301,552 | ) | ||||||||||||||||||||
| 3,250 USD | 03/31/2020 | 1,221 | (394,478,238 | ) | (8,998,770 | ) | (8,739,918 | ) | (258,852 | ) | ||||||||||||||||||||
| Total written options contracts |
| 3,747 | $ | (45,820,340 | ) | $ | (24,785,966 | ) | $ | (21,034,374 | ) | |||||||||||||||||||
| 26 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Schedule of Investments
December 31, 2019
| Shares | Description | Value | ||||||
| Common Stocks – 99.8% | ||||||||
| Australia – 8.9% | ||||||||
| 111,050 | AGL Energy Ltd. (Utilities) | $ | 1,598,408 | |||||
| 1,259,169 | Alumina Ltd. (Materials) | 2,033,819 | ||||||
| 64,974 | APA Group (Utilities) | 505,786 | ||||||
| 221,118 | Aurizon Holdings Ltd. (Transportation) | 811,487 | ||||||
| 271,697 | Bank of Queensland Ltd. (Banks) | 1,382,986 | ||||||
| 78,383 | Bendigo & Adelaide Bank Ltd. (Banks) | 537,852 | ||||||
| 88,858 | Coca-Cola Amatil Ltd. (Food, Beverage & Tobacco) | 690,041 | ||||||
| 1,978 | Commonwealth Bank of Australia (Banks) | 110,961 | ||||||
| 93,612 | Fortescue Metals Group Ltd. (Materials) | 705,681 | ||||||
| 738,734 | Harvey Norman Holdings Ltd. (Retailing) | 2,109,903 | ||||||
| 123,133 | Insurance Australia Group Ltd. (Insurance) | 661,608 | ||||||
| 270,244 | National Australia Bank Ltd. (Banks) | 4,676,330 | ||||||
| 22,826 | Rio Tinto Ltd. (Materials) | 1,614,941 | ||||||
| 11,619 | Rio Tinto plc (Materials) | 687,787 | ||||||
| 46,976 | Rio Tinto plc ADR (Materials)(a)(b) | 2,788,495 | ||||||
| 19,803 | Sonic Healthcare Ltd. (Health Care Equipment & Services) | 399,286 | ||||||
| 101,270 | South32 Ltd. (Materials) | 191,210 | ||||||
| 951 | Sydney Airport (Transportation) | 5,778 | ||||||
| 117,296 | Tabcorp Holdings Ltd. (Consumer Services) | 372,896 | ||||||
| 85,161 | Transurban Group (Transportation) | 891,385 | ||||||
| 8,233 | Wesfarmers Ltd. (Retailing) | 239,265 | ||||||
| 132,739 | Westpac Banking Corp. (Banks) | 2,266,751 | ||||||
| 57,536 | Woodside Petroleum Ltd. (Energy) | 1,391,140 | ||||||
|
| |||||||
| 26,673,796 | ||||||||
|
| |||||||
| Austria – 0.0% | ||||||||
| 2,796 | voestalpine AG (Materials)(b) | 77,549 | ||||||
|
| |||||||
| Belgium – 1.3% | ||||||||
| 17,998 | Anheuser-Busch InBev SA/NV (Food, Beverage & Tobacco) | 1,474,043 | ||||||
| 11,716 | KBC Group NV (Banks)(b) | 883,324 | ||||||
| 56,558 | Proximus SADP (Telecommunication Services) | 1,620,598 | ||||||
|
| |||||||
| 3,977,965 | ||||||||
|
| |||||||
| Colombia – 0.1% | ||||||||
| 5,999 | Millicom International Cellular SA SDR (Telecommunication Services) | 288,095 | ||||||
|
| |||||||
| Denmark – 1.6% | ||||||||
| 6,894 | Coloplast A/S Class B (Health Care Equipment & Services) | 855,277 | ||||||
| 37,457 | Danske Bank A/S (Banks) | 605,991 | ||||||
| 2,635 | H Lundbeck A/S (Pharmaceuticals, Biotechnology & Life Sciences) | 100,737 | ||||||
| 32,418 | Novo Nordisk A/S Class B (Pharmaceuticals, Biotechnology & Life Sciences) | 1,878,585 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Denmark – (continued) | ||||||||
| 3,184 | Pandora A/S (Consumer Durables & Apparel) | 138,509 | ||||||
| 37,739 | Tryg A/S (Insurance) | 1,118,826 | ||||||
|
| |||||||
| 4,697,925 | ||||||||
|
| |||||||
| Finland – 2.7% | ||||||||
| 16,492 | Kone OYJ Class B (Capital Goods) | 1,078,126 | ||||||
| 12,594 | Metso OYJ (Capital Goods) | 497,527 | ||||||
| 258,324 | Nordea Bank Abp (Banks) | 2,089,889 | ||||||
| 11,722 | Orion OYJ Class B (Pharmaceuticals, Biotechnology & Life Sciences) | 542,865 | ||||||
| 83,030 | Sampo OYJ Class A (Insurance)(b) | 3,625,350 | ||||||
| 8,118 | UPM-Kymmene OYJ (Materials) | 281,590 | ||||||
|
| |||||||
| 8,115,347 | ||||||||
|
| |||||||
| France – 10.1% | ||||||||
| 1,137 | Accor SA (Consumer Services)(b) | 53,369 | ||||||
| 156 | Aeroports de Paris (Transportation) | 30,887 | ||||||
| 7,727 | Air Liquide SA (Materials) | 1,095,464 | ||||||
| 12,766 | Airbus SE (Capital Goods)(b) | 1,873,605 | ||||||
| 31,802 | AXA SA (Insurance) | 898,605 | ||||||
| 24,706 | BNP Paribas SA (Banks) | 1,468,478 | ||||||
| 36,142 | Bouygues SA (Capital Goods)(b) | 1,540,624 | ||||||
| 8,909 | Capgemini SE (Software & Services)(b) | 1,089,614 | ||||||
| 36,180 | Credit Agricole SA (Banks) | 526,468 | ||||||
| 10,779 | Danone SA (Food, Beverage & Tobacco) | 895,152 | ||||||
| 17,029 | Edenred (Commercial & Professional Services) | 882,519 | ||||||
| 97,807 | Engie SA (Utilities) | 1,584,310 | ||||||
| 9,925 | Eutelsat Communications SA (Media & Entertainment) | 161,315 | ||||||
| 3,203 | Kering SA (Consumer Durables & Apparel)(b) | 2,110,505 | ||||||
| 746 | L’Oreal SA (Household & Personal Products)(b) | 220,598 | ||||||
| 9,709 | LVMH Moet Hennessy Louis Vuitton SE (Consumer Durables & Apparel)(b) | 4,523,947 | ||||||
| 5,545 | Orange SA (Telecommunication Services) | 81,491 | ||||||
| 8,050 | Renault SA (Automobiles & Components) | 382,274 | ||||||
| 565 | Safran SA (Capital Goods) | 87,270 | ||||||
| 35,412 | Sanofi (Pharmaceuticals, Biotechnology & Life Sciences)(b) | 3,556,337 | ||||||
| 23,970 | Schneider Electric SE (Capital Goods)(b) | 2,462,672 | ||||||
| 45,082 | Societe Generale SA (Banks)(b) | 1,573,271 | ||||||
| 12,101 | Suez (Utilities) | 183,383 | ||||||
| 53,238 | TOTAL SA (Energy)(b) | 2,954,204 | ||||||
|
| |||||||
| 30,236,362 | ||||||||
|
| |||||||
| Germany – 7.1% | ||||||||
| 1,376 | Allianz SE (Registered) (Insurance) | 337,158 | ||||||
| 36,639 | BASF SE (Materials)(b) | 2,760,259 | ||||||
| 17,394 | Bayer AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences)(b) | 1,414,074 | ||||||
|
| |||||||
| The accompanying notes are an integral part of these financial statements. | 27 |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Schedule of Investments(continued)
December 31, 2019
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Germany – (continued) | ||||||||
| 13,810 | Bayerische Motoren Werke AG (Automobiles & Components)(b) | $ | 1,131,118 | |||||
| 19,779 | Bayerische Motoren Werke AG (Preference) (Automobiles & Components)(c) | 1,217,636 | ||||||
| 4,321 | Covestro AG (Materials)(d) | 201,057 | ||||||
| 83,654 | Daimler AG (Registered) (Automobiles & Components)(b) | 4,624,753 | ||||||
| 7,553 | Deutsche Lufthansa AG (Registered) (Transportation) | 139,029 | ||||||
| 44,016 | Deutsche Post AG (Registered) (Transportation)(b) | 1,673,672 | ||||||
| 29,082 | Deutsche Telekom AG (Registered) (Telecommunication Services) | 475,263 | ||||||
| 15,809 | Evonik Industries AG (Materials)(b) | 482,844 | ||||||
| 9,804 | GEA Group AG (Capital Goods) | 324,770 | ||||||
| 27,051 | HUGO BOSS AG (Consumer Durables & Apparel)(b) | 1,309,381 | ||||||
| 19,360 | SAP SE (Software & Services)(b) | 2,605,822 | ||||||
| 12,771 | Siemens AG (Registered) (Capital Goods) | 1,667,785 | ||||||
| 5,333 | TUI AG (Consumer Services) | 67,304 | ||||||
| 14,697 | Vonovia SE (Real Estate)(b) | 789,366 | ||||||
|
| |||||||
| 21,221,291 | ||||||||
|
| |||||||
| Hong Kong – 3.0% | ||||||||
| 138,600 | AIA Group Ltd. (Insurance) | 1,457,790 | ||||||
| 17,900 | ASM Pacific Technology Ltd. (Semiconductors & Semiconductor Equipment) | 248,459 | ||||||
| 101,000 | Hang Lung Properties Ltd. (Real Estate) | 221,770 | ||||||
| 14,300 | Hang Seng Bank Ltd. (Banks) | 295,581 | ||||||
| 13,310 | Henderson Land Development Co. Ltd. (Real Estate) | 65,313 | ||||||
| 238,471 | Hong Kong & China Gas Co. Ltd. (Utilities) | 465,941 | ||||||
| 41,929 | Hong Kong Exchanges & Clearing Ltd. (Diversified Financials) | 1,362,178 | ||||||
| 27,800 | Hongkong Land Holdings Ltd. (Real Estate) | 159,907 | ||||||
| 7,600 | Jardine Matheson Holdings Ltd. (Capital Goods) | 422,923 | ||||||
| 5,000 | Jardine Strategic Holdings Ltd. (Capital Goods) | 153,340 | ||||||
| 276,500 | Link REIT (REIT) | 2,929,235 | ||||||
| 65,274 | MTR Corp. Ltd. (Transportation) | 385,738 | ||||||
| 136,564 | Sino Land Co. Ltd. (Real Estate) | 198,224 | ||||||
| 2,500 | Sun Hung Kai Properties Ltd. (Real Estate) | 38,287 | ||||||
| 400 | Swire Properties Ltd. (Real Estate) | 1,325 | ||||||
| 24,000 | Techtronic Industries Co. Ltd. (Capital Goods) | 195,881 | ||||||
| 37,000 | Wharf Real Estate Investment Co. Ltd. (Real Estate) | 225,758 | ||||||
|
| |||||||
| 8,827,650 | ||||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Ireland – 0.3% | ||||||||
| 24,568 | CRH plc (Materials)(b) | 985,396 | ||||||
|
| |||||||
| Israel – 0.1% | ||||||||
| 19,042 | Israel Chemicals Ltd. (Materials) | 89,926 | ||||||
| 1,975 | Wix.com Ltd. (Software & Services)*(b) | 241,701 | ||||||
|
| |||||||
| 331,627 | ||||||||
|
| |||||||
| Italy – 1.5% | ||||||||
| 11,499 | Assicurazioni Generali SpA (Insurance) | 237,394 | ||||||
| 121,622 | Eni SpA (Energy)(b) | 1,888,939 | ||||||
| 665,754 | Intesa Sanpaolo SpA (Banks) | 1,753,723 | ||||||
| 110,623 | Snam SpA (Utilities) | 581,634 | ||||||
|
| |||||||
| 4,461,690 | ||||||||
|
| |||||||
| Japan – 23.8% | ||||||||
| 2,400 | ABC-Mart, Inc. (Retailing) | 163,827 | ||||||
| 13,000 | AEON Financial Service Co. Ltd. (Diversified Financials) | 204,836 | ||||||
| 16,700 | AGC, Inc. (Capital Goods) | 597,158 | ||||||
| 13,900 | Alfresa Holdings Corp. (Health Care Equipment & Services) | 282,379 | ||||||
| 20,900 | Aozora Bank Ltd. (Banks) | 552,152 | ||||||
| 41,000 | Asahi Kasei Corp. (Materials) | 460,365 | ||||||
| 7,700 | Astellas Pharma, Inc. (Pharmaceuticals, Biotechnology & Life Sciences) | 131,439 | ||||||
| 49,900 | Bridgestone Corp. (Automobiles & Components) | 1,853,791 | ||||||
| 134,100 | Canon, Inc. (Technology Hardware & Equipment) | 3,670,113 | ||||||
| 5,800 | Chugai Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 534,152 | ||||||
| 31,100 | Chugoku Electric Power Co., Inc. (The) (Utilities) | 408,813 | ||||||
| 27,700 | Daicel Corp. (Materials) | 264,822 | ||||||
| 9,700 | Dai-ichi Life Holdings, Inc. (Insurance) | 159,859 | ||||||
| 2,600 | Daiichi Sankyo Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 171,715 | ||||||
| 2,800 | Daikin Industries Ltd. (Capital Goods) | 395,052 | ||||||
| 7,600 | Daito Trust Construction Co. Ltd. (Real Estate) | 939,180 | ||||||
| 13,700 | Daiwa House Industry Co. Ltd. (Real Estate) | 424,109 | ||||||
| 195,000 | Daiwa Securities Group, Inc. (Diversified Financials) | 984,440 | ||||||
| 2,900 | Denso Corp. (Automobiles & Components) | 130,971 | ||||||
| 1,500 | Disco Corp. (Semiconductors & Semiconductor Equipment) | 352,238 | ||||||
| 11,000 | Eisai Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 823,086 | ||||||
| 5,300 | FANUC Corp. (Capital Goods) | 978,724 | ||||||
| 2,600 | Fuji Electric Co. Ltd. (Capital Goods) | 78,981 | ||||||
| 600 | Hamamatsu Photonics KK (Technology Hardware & Equipment) | 24,588 | ||||||
| 1,300 | Hikari Tsushin, Inc. (Retailing) | 326,687 | ||||||
|
| |||||||
| 28 | 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) | ||||||||
| 32,500 | Hino Motors Ltd. (Capital Goods) | $ | 343,704 | |||||
| 1,916 | Hirose Electric Co. Ltd. (Technology Hardware & Equipment) | 244,925 | ||||||
| 3,700 | Hitachi Chemical Co. Ltd. (Materials) | 155,014 | ||||||
| 1,400 | Hitachi Ltd. (Technology Hardware & Equipment) | 59,074 | ||||||
| 1,800 | Hitachi Metals Ltd. (Materials) | 26,495 | ||||||
| 33,700 | Honda Motor Co. Ltd. (Automobiles & Components) | 953,762 | ||||||
| 3,700 | Hulic Co. Ltd. (Real Estate) | 44,549 | ||||||
| 24,449 | Idemitsu Kosan Co. Ltd. (Energy) | 675,568 | ||||||
| 3,100 | Isuzu Motors Ltd. (Automobiles & Components) | 36,644 | ||||||
| 93,400 | ITOCHU Corp. (Capital Goods) | 2,164,702 | ||||||
| 33,400 | Japan Exchange Group, Inc. (Diversified Financials) | 588,010 | ||||||
| 73,400 | Japan Post Holdings Co. Ltd. (Insurance) | 690,288 | ||||||
| 38,600 | Japan Tobacco, Inc. (Food, Beverage & Tobacco) | 860,647 | ||||||
| 20,900 | JFE Holdings, Inc. (Materials) | 268,177 | ||||||
| 6,400 | JSR Corp. (Materials) | 117,073 | ||||||
| 80,300 | JXTG Holdings, Inc. (Energy) | 364,448 | ||||||
| 9,300 | Kakaku.com, Inc. (Media & Entertainment) | 237,458 | ||||||
| 8,000 | Kaneka Corp. (Materials) | 256,211 | ||||||
| 12,700 | Kao Corp. (Household & Personal Products) | 1,047,434 | ||||||
| 7,700 | Kawasaki Heavy Industries Ltd. (Capital Goods) | 168,297 | ||||||
| 27,300 | KDDI Corp. (Telecommunication Services) | 814,533 | ||||||
| 400 | Keyence Corp. (Technology Hardware & Equipment) | 140,455 | ||||||
| 7,700 | Kikkoman Corp. (Food, Beverage & Tobacco) | 376,952 | ||||||
| 5,200 | Kintetsu Group Holdings Co. Ltd. (Transportation) | 282,047 | ||||||
| 43,800 | Kirin Holdings Co. Ltd. (Food, Beverage & Tobacco) | 956,005 | ||||||
| 43,600 | Komatsu Ltd. (Capital Goods) | 1,046,464 | ||||||
| 23,600 | Konica Minolta, Inc. (Technology Hardware & Equipment) | 153,733 | ||||||
| 4,500 | Kose Corp. (Household & Personal Products) | 655,938 | ||||||
| 7,300 | Kyushu Railway Co. (Transportation) | 244,387 | ||||||
| 7,700 | Lawson, Inc. (Food & Staples Retailing) | 437,072 | ||||||
| 40,800 | LIXIL Group Corp. (Capital Goods) | 704,080 | ||||||
| 7,800 | M3, Inc. (Health Care Equipment & Services) | 235,214 | ||||||
| 6,000 | Makita Corp. (Capital Goods) | 207,209 | ||||||
| 179,100 | Marubeni Corp. (Capital Goods) | 1,323,258 | ||||||
| 11,600 | Marui Group Co. Ltd. (Retailing) | 282,838 | ||||||
| 2,800 | MEIJI Holdings Co. Ltd. (Food, Beverage & Tobacco) | 189,225 | ||||||
| 68,300 | Mitsubishi Chemical Holdings Corp. (Materials) | 508,916 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Japan – (continued) | ||||||||
| 20,900 | Mitsubishi Corp. (Capital Goods) | 553,670 | ||||||
| 23,400 | Mitsubishi Electric Corp. (Capital Goods) | 318,607 | ||||||
| 400 | Mitsubishi Heavy Industries Ltd. (Capital Goods) | 15,511 | ||||||
| 100 | Mitsubishi Materials Corp. (Materials) | 2,714 | ||||||
| 5,400 | Mitsubishi Motors Corp. (Automobiles & Components) | 22,509 | ||||||
| 9,900 | Mitsubishi Tanabe Pharma Corp. (Pharmaceuticals, Biotechnology & Life Sciences) | 181,616 | ||||||
| 168,700 | Mitsubishi UFJ Financial Group, Inc. (Banks) | 912,049 | ||||||
| 13,700 | MS&AD Insurance Group Holdings, Inc. (Insurance) | 452,219 | ||||||
| 14,800 | Murata Manufacturing Co. Ltd. (Technology Hardware & Equipment) | 910,919 | ||||||
| 4,500 | Nabtesco Corp. (Capital Goods) | 132,601 | ||||||
| 3,900 | NEC Corp. (Software & Services) | 161,399 | ||||||
| 10,200 | NGK Spark Plug Co. Ltd. (Automobiles & Components) | 197,717 | ||||||
| 1,700 | Nidec Corp. (Capital Goods) | 232,192 | ||||||
| 1,900 | Nintendo Co. Ltd. (Media & Entertainment) | 759,924 | ||||||
| 8,300 | Nippon Express Co. Ltd. (Transportation) | 486,538 | ||||||
| 2,400 | Nippon Paint Holdings Co. Ltd. (Materials) | 123,556 | ||||||
| 342 | Nippon Prologis REIT, Inc. (REIT) | 868,511 | ||||||
| 72,300 | Nissan Motor Co. Ltd. (Automobiles & Components) | 418,960 | ||||||
| 11,600 | Nisshin Seifun Group, Inc. (Food, Beverage & Tobacco) | 202,391 | ||||||
| 7,100 | Nitto Denko Corp. (Materials) | 399,217 | ||||||
| 24,900 | Nomura Research Institute Ltd. (Software & Services) | 532,512 | ||||||
| 32,300 | NSK Ltd. (Capital Goods) | 305,338 | ||||||
| 82,000 | NTT DOCOMO, Inc. (Telecommunication Services) | 2,284,203 | ||||||
| 4,200 | Obic Co. Ltd. (Software & Services) | 565,743 | ||||||
| 6,200 | Odakyu Electric Railway Co. Ltd. (Transportation) | 144,640 | ||||||
| 2,300 | Omron Corp. (Technology Hardware & Equipment) | 134,063 | ||||||
| 3,400 | Ono Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 77,623 | ||||||
| 5,400 | Otsuka Corp. (Software & Services) | 215,649 | ||||||
| 3,400 | Otsuka Holdings Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 151,552 | ||||||
| 55,400 | Panasonic Corp. (Consumer Durables & Apparel) | 519,607 | ||||||
| 10,500 | Park24 Co. Ltd. (Commercial & Professional Services) | 257,103 | ||||||
| 4,000 | Pola Orbis Holdings, Inc. (Household & Personal Products) | 95,276 | ||||||
|
| |||||||
| The accompanying notes are an integral part of these financial statements. | 29 |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Schedule of Investments(continued)
December 31, 2019
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Japan – (continued) | ||||||||
| 15,900 | Recruit Holdings Co. Ltd. (Commercial & Professional Services) | $ | 595,540 | |||||
| 49,100 | Resona Holdings, Inc. (Banks) | 214,004 | ||||||
| 1,000 | Ryohin Keikaku Co. Ltd. (Retailing) | 23,306 | ||||||
| 24,500 | Sankyo Co. Ltd. (Consumer Durables & Apparel) | 813,713 | ||||||
| 26,800 | SBI Holdings, Inc. (Diversified Financials) | 565,809 | ||||||
| 30,500 | Seiko Epson Corp. (Technology Hardware & Equipment) | 460,515 | ||||||
| 60,200 | Sekisui House Ltd. (Consumer Durables & Apparel) | 1,285,562 | ||||||
| 67,800 | Seven Bank Ltd. (Banks) | 222,119 | ||||||
| 7,000 | Shimadzu Corp. (Technology Hardware & Equipment) | 218,912 | ||||||
| 6,900 | Shin-Etsu Chemical Co. Ltd. (Materials) | 758,814 | ||||||
| 5,700 | Shiseido Co. Ltd. (Household & Personal Products) | 404,757 | ||||||
| 174,200 | Softbank Corp. (Telecommunication Services) | 2,335,966 | ||||||
| 400 | SoftBank Group Corp. (Telecommunication Services) | 17,367 | ||||||
| 3,800 | Sompo Holdings, Inc. (Insurance) | 149,225 | ||||||
| 10,600 | Sony Corp. (Consumer Durables & Apparel) | 719,716 | ||||||
| 44,600 | Subaru Corp. (Automobiles & Components) | 1,104,734 | ||||||
| 59,000 | Sumitomo Chemical Co. Ltd. (Materials) | 267,893 | ||||||
| 129,600 | Sumitomo Corp. (Capital Goods) | 1,924,993 | ||||||
| 5,500 | Sumitomo Metal Mining Co. Ltd. (Materials) | 177,100 | ||||||
| 8,900 | Sumitomo Mitsui Financial Group, Inc. (Banks) | 328,725 | ||||||
| 300 | Sumitomo Mitsui Trust Holdings, Inc. (Banks) | 11,859 | ||||||
| 9,700 | Sysmex Corp. (Health Care Equipment & Services) | 660,424 | ||||||
| 72,400 | Takeda Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 2,863,581 | ||||||
| 1,000 | TDK Corp. (Technology Hardware & Equipment) | 112,379 | ||||||
| 52,900 | Tohoku Electric Power Co., Inc. (Utilities) | 524,429 | ||||||
| 20,000 | Tokio Marine Holdings, Inc. (Insurance) | 1,119,777 | ||||||
| 5,300 | Tokyo Electron Ltd. (Semiconductors & Semiconductor Equipment) | 1,157,149 | ||||||
| 300 | Tokyo Gas Co. Ltd. (Utilities) | 7,290 | ||||||
| 4,600 | TOTO Ltd. (Capital Goods) | 194,245 | ||||||
| 3,800 | Toyoda Gosei Co. Ltd. (Automobiles & Components) | 94,884 | ||||||
| 50,320 | Toyota Motor Corp. (Automobiles & Components) | 3,545,623 | ||||||
| 12,700 | Trend Micro, Inc. (Software & Services) | 649,857 | ||||||
| 61,200 | USS Co. Ltd. (Retailing) | 1,156,882 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Japan – (continued) | ||||||||
| 3,300 | Yamaha Corp. (Consumer Durables & Apparel) | 182,964 | ||||||
| 22,600 | Yamaha Motor Co. Ltd. (Automobiles & Components) | 452,745 | ||||||
| 200 | Yamato Holdings Co. Ltd. (Transportation) | 3,410 | ||||||
| 2,800 | Yaskawa Electric Corp. (Technology Hardware & Equipment) | 105,479 | ||||||
| 3,900 | ZOZO, Inc. (Retailing) | 74,587 | ||||||
|
| |||||||
| 70,916,746 | ||||||||
|
| |||||||
| Luxembourg – 0.8% | ||||||||
| 33,396 | RTL Group SA (Media & Entertainment)(b) | 1,645,482 | ||||||
| 60,498 | SES SA FDR (Media & Entertainment) | 848,258 | ||||||
|
| |||||||
| 2,493,740 | ||||||||
|
| |||||||
| Macau – 0.4% | ||||||||
| 58,000 | Galaxy Entertainment Group Ltd. (Consumer Services) | 426,973 | ||||||
| 22,400 | MGM China Holdings Ltd. (Consumer Services) | 36,580 | ||||||
| 94,000 | Sands China Ltd. (Consumer Services) | 502,249 | ||||||
| 129,602 | Wynn Macau Ltd. (Consumer Services) | 319,368 | ||||||
|
| |||||||
| 1,285,170 | ||||||||
|
| |||||||
| Netherlands – 4.8% | ||||||||
| 420,873 | Aegon NV (Insurance)(b) | 1,926,592 | ||||||
| 6,573 | ASML Holding NV (Semiconductors & Semiconductor Equipment)(b) | 1,945,980 | ||||||
| 41,897 | ING Groep NV (Banks) | 503,793 | ||||||
| 2,082 | Koninklijke DSM NV (Materials) | 272,212 | ||||||
| 79,221 | Koninklijke KPN NV (Telecommunication Services) | 234,445 | ||||||
| 23,351 | Koninklijke Philips NV (Health Care Equipment & Services) | 1,141,484 | ||||||
| 13,273 | NN Group NV (Insurance) | 504,677 | ||||||
| 13,987 | Randstad NV (Commercial & Professional Services) | 857,056 | ||||||
| 138,988 | Royal Dutch Shell plc Class A (Energy)(b) | 4,103,274 | ||||||
| 91,972 | Royal Dutch Shell plc Class B (Energy)(b) | 2,730,067 | ||||||
|
| |||||||
| 14,219,580 | ||||||||
|
| |||||||
| New Zealand – 0.5% | ||||||||
| 44,354 | Fisher & Paykel Healthcare Corp. Ltd. (Health Care Equipment & Services) | 663,801 | ||||||
| 256,996 | Spark New Zealand Ltd. (Telecommunication Services) | 749,403 | ||||||
|
| |||||||
| 1,413,204 | ||||||||
|
| |||||||
| Norway – 1.4% | ||||||||
| 18,127 | Aker BP ASA (Energy) | 594,935 | ||||||
| 29,108 | Gjensidige Forsikring ASA (Insurance) | 611,004 | ||||||
| 109,204 | Mowi ASA (Food, Beverage & Tobacco) | 2,839,405 | ||||||
|
| |||||||
| 4,045,344 | ||||||||
|
| |||||||
| 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) | ||||||||
| Portugal – 0.3% | ||||||||
| 54,313 | EDP – Energias de Portugal SA (Utilities) | $ | 235,686 | |||||
| 23,359 | Galp Energia SGPS SA (Energy) | 392,152 | ||||||
| 20,123 | Jeronimo Martins SGPS SA (Food & Staples Retailing) | 331,613 | ||||||
|
| |||||||
| 959,451 | ||||||||
|
| |||||||
| Russia – 0.3% | ||||||||
| 137,330 | Evraz plc (Materials) | 735,377 | ||||||
|
| |||||||
| Singapore – 1.1% | ||||||||
| 2,800 | City Developments Ltd. (Real Estate) | 22,789 | ||||||
| 48,200 | ComfortDelGro Corp. Ltd. (Transportation) | 85,285 | ||||||
| 58,300 | DBS Group Holdings Ltd. (Banks) | 1,124,096 | ||||||
| 63,500 | Keppel Corp. Ltd. (Capital Goods) | 319,949 | ||||||
| 113,200 | SATS Ltd. (Transportation) | 426,098 | ||||||
| 58,200 | Singapore Exchange Ltd. (Diversified Financials) | 383,313 | ||||||
| 211,200 | Singapore Technologies Engineering Ltd. (Capital Goods) | 618,529 | ||||||
| 121,600 | Singapore Telecommunications Ltd. (Telecommunication Services) | 304,866 | ||||||
| 2,902 | United Overseas Bank Ltd. (Banks) | 57,091 | ||||||
|
| |||||||
| 3,342,016 | ||||||||
|
| |||||||
| Spain – 3.1% | ||||||||
| 3,302 | ACS Actividades de Construccion y Servicios SA (Capital Goods) | 132,457 | ||||||
| 2,336 | Aena SME SA (Transportation)(d) | 447,853 | ||||||
| 12,460 | Amadeus IT Group SA (Software & Services) | 1,020,434 | ||||||
| 49,244 | Enagas SA (Utilities) | 1,256,089 | ||||||
| 74,268 | Endesa SA (Utilities) | 1,983,307 | ||||||
| 81,247 | Ferrovial SA (Capital Goods)(b) | 2,461,552 | ||||||
| 48,755 | Naturgy Energy Group SA (Utilities) | 1,227,701 | ||||||
| 99,563 | Telefonica SA (Telecommunication Services) | 696,255 | ||||||
|
| |||||||
| 9,225,648 | ||||||||
|
| |||||||
| Sweden – 1.8% | ||||||||
| 7,060 | Atlas Copco AB Class B (Capital Goods) | 245,131 | ||||||
| 186,153 | Skandinaviska Enskilda Banken AB Class A (Banks) | 1,750,573 | ||||||
| 156,733 | Swedbank AB Class A (Banks) | 2,329,984 | ||||||
| 260,465 | Telia Co. AB (Telecommunication Services) | 1,119,094 | ||||||
|
| |||||||
| 5,444,782 | ||||||||
|
| |||||||
| Switzerland – 11.3% | ||||||||
| 30,832 | ABB Ltd. (Registered) (Capital Goods) | 743,765 | ||||||
| 11,392 | Adecco Group AG (Registered) (Commercial & Professional Services) | 720,228 | ||||||
| 59,513 | Coca-Cola HBC AG (Food, Beverage & Tobacco)* | 2,022,847 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Switzerland – (continued) | ||||||||
| 1,490 | EMS-Chemie Holding AG (Registered) (Materials) | 979,578 | ||||||
| 313 | Geberit AG (Registered) (Capital Goods) | 175,681 | ||||||
| 223 | Givaudan SA (Registered) (Materials) | 698,658 | ||||||
| 467,626 | Glencore plc (Materials)* | 1,456,056 | ||||||
| 8,736 | Kuehne + Nagel International AG (Registered) (Transportation) | 1,473,472 | ||||||
| 10,702 | LafargeHolcim Ltd. (Registered) (Materials)* | 593,720 | ||||||
| 69,268 | Nestle SA (Registered) (Food, Beverage & Tobacco) | 7,499,319 | ||||||
| 49,712 | Novartis AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | 4,707,210 | ||||||
| 16,749 | Roche Holding AG (Pharmaceuticals, Biotechnology & Life Sciences) | 5,443,472 | ||||||
| 397 | SGS SA (Registered) (Commercial & Professional Services) | 1,087,253 | ||||||
| 821 | Sonova Holding AG (Registered) (Health Care Equipment & Services) | 187,688 | ||||||
| 70,661 | STMicroelectronics NV (Semiconductors & Semiconductor Equipment) | 1,906,478 | ||||||
| 737 | Temenos AG (Registered) (Software & Services)* | 116,585 | ||||||
| 42,724 | UBS Group AG (Registered) (Diversified Financials)* | 539,151 | ||||||
| 8,140 | Zurich Insurance Group AG (Insurance) | 3,339,025 | ||||||
|
| |||||||
| 33,690,186 | ||||||||
|
| |||||||
| United Kingdom – 13.5% | ||||||||
| 38,588 | AstraZeneca plc ADR (Pharmaceuticals, Biotechnology & Life Sciences)(b) | 1,923,998 | ||||||
| 250,164 | BAE Systems plc (Capital Goods) | 1,873,052 | ||||||
| 88,147 | BP plc ADR (Energy)(b) | 3,326,668 | ||||||
| 48,088 | British American Tobacco plc (Food, Beverage & Tobacco)(b) | 2,043,841 | ||||||
| 346,924 | BT Group plc (Telecommunication Services) | 884,029 | ||||||
| 15,610 | Compass Group plc (Consumer Services) | 391,214 | ||||||
| 13,945 | Diageo plc (Food, Beverage & Tobacco) | 587,596 | ||||||
| 50,835 | easyJet plc (Transportation) | 957,571 | ||||||
| 130,365 | G4S plc (Commercial & Professional Services) | 376,998 | ||||||
| 92,091 | GlaxoSmithKline plc ADR (Pharmaceuticals, Biotechnology & Life Sciences)(b) | 4,327,356 | ||||||
| 1,043,664 | HSBC Holdings plc (Banks)(b) | 8,170,265 | ||||||
| 118,878 | J Sainsbury plc (Food & Staples Retailing) | 362,489 | ||||||
| 851,722 | Legal & General Group plc (Insurance)(b) | 3,421,416 | ||||||
|
| |||||||
| The accompanying notes are an integral part of these financial statements. | 31 |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Schedule of Investments(continued)
December 31, 2019
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| United Kingdom – (continued) | ||||||||
| 91,021 | Marks & Spencer Group plc (Retailing) | $ | 258,086 | |||||
| 21,431 | Micro Focus International plc (Software & Services) | 300,798 | ||||||
| 110,948 | Persimmon plc (Consumer Durables & Apparel)(b) | 3,962,963 | ||||||
| 1,916 | Reckitt Benckiser Group plc (Household & Personal Products)(b) | 155,634 | ||||||
| 3,159 | RELX plc (Commercial & Professional Services) | 79,744 | ||||||
| 67,690 | Segro plc (REIT) | 806,017 | ||||||
| 69,634 | Unilever NV (Household & Personal Products)(b) | 3,996,346 | ||||||
| 35,815 | Unilever plc ADR (Household & Personal Products)(b) | 2,047,543 | ||||||
| 61,532 | Wm Morrison Supermarkets plc (Food & Staples Retailing) | 162,848 | ||||||
|
| |||||||
| 40,416,472 | ||||||||
|
| |||||||
| TOTAL INVESTMENTS – 99.8% | ||||||||
| (Cost $281,895,803) | $ | 298,082,409 | ||||||
|
| |||||||
| | OTHER ASSETS IN EXCESS OF LIABILITIES – 0.2% | 698,472 | ||||||
|
| |||||||
| NET ASSETS – 100.0% | $ | 298,780,881 | ||||||
|
| |||||||
| 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 segregated as collateral for call options written. | |
(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) | Exempt from registration under Rule 144A of the Securities Act of 1933. | |
| ||
Investment Abbreviations: | ||
ADR | —American Depositary Receipt | |
FDR | —Fiduciary Depositary Receipt | |
REIT | —Real Estate Investment Trust | |
SDR | —Swedish Depositary Receipt | |
Currency Abbreviations: | ||
EUR | —Euro | |
GBP | —British Pound | |
JPY | —Japanese Yen | |
| ||
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At December 31, 2019, the Fund had the following futures contracts:
| Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
FTSE 100 Index | 3 | 03/20/2020 | $ | 297,995 | $ | (2,896 | ) | |||||||||
MSCI Singapore Index | 1 | 01/30/2020 | 27,622 | (151 | ) | |||||||||||
SPI 200 Index | 1 | 03/19/2020 | 115,841 | (1,986 | ) | |||||||||||
TOPIX Index | 2 | 03/12/2020 | 316,783 | (932 | ) | |||||||||||
| Total | $ | (5,965 | ) | |||||||||||||
Short position contracts: | ||||||||||||||||
EURO STOXX 50 Index | (25 | ) | 03/20/2020 | $ | (1,045,705 | ) | $ | 351 | ||||||||
| Total Futures Contracts | $ | (5,614 | ) | |||||||||||||
| 32 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
| ADDITIONAL INVESTMENT INFORMATION (continued) |
WRITTEN OPTIONS CONTRACTS — At December 31, 2019, 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. | 3,750 EUR | 03/20/2020 | 1,516 | $ | (56,776,474 | ) | $ | (1,334,890 | ) | $ | (1,554,393 | ) | $ | 219,503 | |||||||||||||||
FTSE 100 Index | 7,575 GBP | 03/20/2020 | 228 | (17,196,763 | ) | (374,491 | ) | (413,998 | ) | 39,507 | ||||||||||||||||||||
Nikkei 225 Index | 23,750 JPY | 03/13/2020 | 161 | (3,808,715,820 | ) | (792,739 | ) | (1,075,032 | ) | 282,293 | ||||||||||||||||||||
| Total written options contracts |
| 1,905 | $ | (2,502,120 | ) | $ | (3,043,423 | ) | $ | 541,303 | ||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 33 |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
Schedule of Investments
December 31, 2019
| Shares | Description | Value | ||||||
| Common Stocks – 98.9% | ||||||||
| Automobiles & Components – 1.0% | ||||||||
| 465,493 | General Motors Co. | $ | 17,037,044 | |||||
| 21,887 | Gentex Corp. | 634,285 | ||||||
|
| |||||||
| 17,671,329 | ||||||||
|
| |||||||
| Banks – 4.9% | ||||||||
| 8,543 | CenterState Bank Corp. | 213,404 | ||||||
| 8,614 | Central Pacific Financial Corp. | 254,802 | ||||||
| 478,577 | Citizens Financial Group, Inc. | 19,435,012 | ||||||
| 21,387 | CVB Financial Corp. | 461,531 | ||||||
| 471,338 | Fifth Third Bancorp | 14,488,930 | ||||||
| 5,468 | First Citizens BancShares, Inc. Class A | 2,910,124 | ||||||
| 231,014 | Hilltop Holdings, Inc. | 5,759,179 | ||||||
| 52,438 | JPMorgan Chase & Co. | 7,309,857 | ||||||
| 33,416 | KeyCorp | 676,340 | ||||||
| 109,814 | PacWest Bancorp | 4,202,582 | ||||||
| 47,974 | PNC Financial Services Group, Inc. (The) | 7,658,090 | ||||||
| 222,112 | Popular, Inc. | 13,049,080 | ||||||
| 109,647 | Radian Group, Inc. | 2,758,718 | ||||||
| 43,548 | Regions Financial Corp. | 747,284 | ||||||
| 15,338 | SVB Financial Group* | 3,850,452 | ||||||
| 139,730 | Western Alliance Bancorp | 7,964,610 | ||||||
|
| |||||||
| 91,739,995 | ||||||||
|
| |||||||
| Capital Goods – 6.3% | ||||||||
| 23,710 | AECOM* | 1,022,612 | ||||||
| 17,182 | Aerojet Rocketdyne Holdings, Inc.* | 784,530 | ||||||
| 29,853 | Albany International Corp. Class A | 2,266,440 | ||||||
| 58,016 | Allegion plc | 7,225,313 | ||||||
| 159,740 | Allison Transmission Holdings, Inc. | 7,718,637 | ||||||
| 33,469 | Boeing Co. (The) | 10,902,861 | ||||||
| 16,764 | Builders FirstSource, Inc.* | 425,973 | ||||||
| 936 | Carlisle Cos., Inc. | 151,482 | ||||||
| 40,872 | Eaton Corp. plc | 3,871,396 | ||||||
| 13,565 | Fortive Corp. | 1,036,230 | ||||||
| 68,049 | HD Supply Holdings, Inc.* | 2,736,931 | ||||||
| 9,481 | �� | Honeywell International, Inc. | 1,678,137 | |||||
| 97,597 | Illinois Tool Works, Inc. | 17,531,349 | ||||||
| 431,224 | Johnson Controls International plc | 17,555,129 | ||||||
| 39,726 | L3Harris Technologies, Inc. | 7,860,584 | ||||||
| 26,915 | Lockheed Martin Corp. | 10,480,163 | ||||||
| 13,539 | PACCAR, Inc. | 1,070,935 | ||||||
| 3,060 | Parker-Hannifin Corp. | 629,809 | ||||||
| 64,168 | Raytheon Co. | 14,100,276 | ||||||
| 20,702 | Simpson Manufacturing Co., Inc. | 1,660,922 | ||||||
| 4,653 | United Rentals, Inc.* | 775,981 | ||||||
| 23,184 | Watsco, Inc. | 4,176,598 | ||||||
| 5,672 | WW Grainger, Inc. | 1,920,085 | ||||||
|
| |||||||
| 117,582,373 | ||||||||
|
| |||||||
| Commercial & Professional Services – 1.0% | ||||||||
| 29,156 | Cintas Corp. | 7,845,297 | ||||||
| 7,506 | CoStar Group, Inc.* | 4,490,840 | ||||||
| 2,730 | Insperity, Inc. | 234,889 | ||||||
| 36,874 | ManpowerGroup, Inc. | 3,580,465 | ||||||
| 38,786 | TransUnion | 3,320,469 | ||||||
|
| |||||||
| 19,471,960 | ||||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Consumer Durables & Apparel – 1.3% | ||||||||
| 8,617 | Columbia Sportswear Co. | 863,337 | ||||||
| 142,595 | DR Horton, Inc. | 7,521,886 | ||||||
| 114,608 | NIKE, Inc. Class B | 11,610,937 | ||||||
| 1,156 | NVR, Inc.* | 4,402,522 | ||||||
| 2,034 | TopBuild Corp.* | 209,665 | ||||||
|
| |||||||
| 24,608,347 | ||||||||
|
| |||||||
| Consumer Services – 3.6% | ||||||||
| 45,624 | Carnival Corp. | 2,319,068 | ||||||
| 20,555 | Chipotle Mexican Grill, Inc.* | 17,206,796 | ||||||
| 46,795 | Domino’s Pizza, Inc. | 13,747,435 | ||||||
| 4,259 | Las Vegas Sands Corp. | 294,041 | ||||||
| 599,826 | MGM Resorts International | 19,956,211 | ||||||
| 5,307 | Wyndham Hotels & Resorts, Inc. | 333,333 | ||||||
| 87,531 | Yum China Holdings, Inc. | 4,202,363 | ||||||
| 87,531 | Yum! Brands, Inc. | 8,816,998 | ||||||
|
| |||||||
| 66,876,245 | ||||||||
|
| |||||||
| Diversified Financials – 7.2% | ||||||||
| 606,772 | Ally Financial, Inc. | 18,542,952 | ||||||
| 32,395 | Ameriprise Financial, Inc. | 5,396,359 | ||||||
| 481,411 | AXA Equitable Holdings, Inc. | 11,929,365 | ||||||
| 217,501 | Bank of New York Mellon Corp. (The) | 10,946,825 | ||||||
| 38,603 | Berkshire Hathaway, Inc. Class B* | 8,743,579 | ||||||
| 4,505 | Capital One Financial Corp. | 463,610 | ||||||
| 151,400 | E*TRADE Financial Corp. | 6,869,018 | ||||||
| 133,583 | Morgan Stanley | 6,828,763 | ||||||
| 42,764 | MSCI, Inc. | 11,040,810 | ||||||
| 71,481 | Nasdaq, Inc. | 7,655,615 | ||||||
| 183,524 | State Street Corp. | 14,516,748 | ||||||
| 543,321 | Synchrony Financial | 19,564,989 | ||||||
| 182,301 | Voya Financial, Inc. | 11,116,715 | ||||||
|
| |||||||
| 133,615,348 | ||||||||
|
| |||||||
| Energy – 2.5% | ||||||||
| 36,539 | Apergy Corp.* | 1,234,287 | ||||||
| 64,939 | Baker Hughes Co. | 1,664,386 | ||||||
| 86,358 | Cabot Oil & Gas Corp. | 1,503,493 | ||||||
| 197,802 | ConocoPhillips | 12,863,064 | ||||||
| 69,811 | DHT Holdings, Inc. | 578,035 | ||||||
| 1,567 | Diamondback Energy, Inc. | 145,512 | ||||||
| 142,607 | HollyFrontier Corp. | 7,231,601 | ||||||
| 32,063 | Marathon Oil Corp. | 435,415 | ||||||
| 70,213 | Marathon Petroleum Corp. | 4,230,333 | ||||||
| 10,485 | Scorpio Tankers, Inc. | 412,480 | ||||||
| 98,364 | Valero Energy Corp. | 9,211,789 | ||||||
| 247,662 | Williams Cos., Inc. (The) | 5,874,543 | ||||||
| 49,961 | World Fuel Services Corp. | 2,169,307 | ||||||
|
| |||||||
| 47,554,245 | ||||||||
|
| |||||||
| Food & Staples Retailing – 0.3% | ||||||||
| 86,084 | Walgreens Boots Alliance, Inc. | 5,075,513 | ||||||
|
| |||||||
| Food, Beverage & Tobacco – 3.2% | ||||||||
| 149,824 | Darling Ingredients, Inc.* | 4,207,058 | ||||||
| 48,194 | Freshpet, Inc.* | 2,847,783 | ||||||
|
| |||||||
| 34 | 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) | ||||||||
| Food, Beverage & Tobacco – (continued) | ||||||||
| 35,366 | Lamb Weston Holdings, Inc. | $ | 3,042,537 | |||||
| 13,685 | Lancaster Colony Corp. | 2,190,968 | ||||||
| 138,713 | Monster Beverage Corp.* | 8,815,211 | ||||||
| 269,286 | Philip Morris International, Inc. | 22,913,546 | ||||||
| 7,412 | Sanderson Farms, Inc. | 1,306,143 | ||||||
| 167,342 | Tyson Foods, Inc. Class A | 15,234,816 | ||||||
|
| |||||||
| 60,558,062 | ||||||||
|
| |||||||
| Health Care Equipment & Services – 9.4% | ||||||||
| 23,348 | Align Technology, Inc.* | 6,515,026 | ||||||
| 88,580 | Anthem, Inc. | 26,753,817 | ||||||
| 27,146 | Cigna Corp. | 5,551,086 | ||||||
| 22,745 | Cooper Cos., Inc. (The) | 7,307,741 | ||||||
| 92,467 | Dentsply Sirona, Inc. | 5,232,708 | ||||||
| 6,252 | Edwards Lifesciences Corp.* | 1,458,529 | ||||||
| 143,177 | HCA Healthcare, Inc. | 21,162,992 | ||||||
| 17,555 | Hill-Rom Holdings, Inc. | 1,993,019 | ||||||
| 35,490 | Humana, Inc. | 13,007,795 | ||||||
| 37,074 | IDEXX Laboratories, Inc.* | 9,681,134 | ||||||
| 54,425 | Molina Healthcare, Inc.* | 7,384,928 | ||||||
| 73,289 | STERIS plc | 11,170,709 | ||||||
| 6,276 | Tandem Diabetes Care, Inc.* | 374,112 | ||||||
| 27,003 | Teleflex, Inc. | 10,165,009 | ||||||
| 76,038 | UnitedHealth Group, Inc. | 22,353,651 | ||||||
| 119,614 | Universal Health Services, Inc. Class B | 17,159,825 | ||||||
| 25,207 | WellCare Health Plans, Inc.* | 8,323,604 | ||||||
| 6,757 | West Pharmaceutical Services, Inc. | 1,015,780 | ||||||
|
| |||||||
| 176,611,465 | ||||||||
|
| |||||||
| Household & Personal Products – 0.1% | ||||||||
| 5,710 | Estee Lauder Cos., Inc. (The) Class A | 1,179,343 | ||||||
| 8,185 | Procter & Gamble Co. (The) | 1,022,307 | ||||||
|
| |||||||
| 2,201,650 | ||||||||
|
| |||||||
| Insurance – 3.4% | ||||||||
| 397,903 | American Equity Investment Life Holding Co. | 11,909,237 | ||||||
| 10,303 | Aon plc | 2,146,012 | ||||||
| 49,736 | Argo Group International Holdings Ltd. | 3,270,142 | ||||||
| 95,522 | Brighthouse Financial, Inc.* | 3,747,328 | ||||||
| 97,260 | Lincoln National Corp. | 5,739,312 | ||||||
| 17,026 | Marsh & McLennan Cos., Inc. | 1,896,867 | ||||||
| 113,236 | Reinsurance Group of America, Inc. | 18,464,262 | ||||||
| 52,724 | Travelers Cos., Inc. (The) | 7,220,552 | ||||||
| 120,090 | Unum Group | 3,501,824 | ||||||
| 5,184 | White Mountains Insurance Group Ltd. | 5,782,804 | ||||||
|
| |||||||
| 63,678,340 | ||||||||
|
| |||||||
| Materials – 2.6% | ||||||||
| 314,772 | Alcoa Corp.* | 6,770,746 | ||||||
| 131,952 | Axalta Coating Systems Ltd.* | 4,011,341 | ||||||
| 28,678 | Boise Cascade Co. | 1,047,607 | ||||||
| 12,663 | Celanese Corp. | 1,559,069 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Materials – (continued) | ||||||||
| 103,041 | Corteva, Inc. | 3,045,892 | ||||||
| 53,123 | Domtar Corp. | 2,031,423 | ||||||
| 8,667 | Dow, Inc. | 474,345 | ||||||
| 57,857 | DuPont de Nemours, Inc. | 3,714,419 | ||||||
| 43,141 | Sherwin-Williams Co. (The) | 25,174,499 | ||||||
|
| |||||||
| 47,829,341 | ||||||||
|
| |||||||
| Media & Entertainment – 6.5% | ||||||||
| 21,392 | Alphabet, Inc. Class A* | 28,652,231 | ||||||
| 17,482 | Alphabet, Inc. Class C* | 23,373,784 | ||||||
| 94,443 | Comcast Corp. Class A | 4,247,102 | ||||||
| 223,913 | Facebook, Inc. Class A* | 45,958,143 | ||||||
| 264,100 | Liberty Global plc Class C* | 5,756,059 | ||||||
| 20,711 | Match Group, Inc.*(a) | 1,700,580 | ||||||
| 17,336 | Netflix, Inc.* | 5,609,410 | ||||||
| 19,265 | New York Times Co. (The) Class A | 619,755 | ||||||
| 11,254 | Nexstar Media Group, Inc. Class A | 1,319,531 | ||||||
| 32,686 | Take-Two Interactive Software, Inc.* | 4,001,747 | ||||||
| 185,433 | Zynga, Inc. Class A* | 1,134,850 | ||||||
|
| |||||||
| 122,373,192 | ||||||||
|
| |||||||
| Pharmaceuticals, Biotechnology & Life Sciences – 7.6% | ||||||||
| 344,139 | AbbVie, Inc. | 30,470,067 | ||||||
| 121,751 | Alexion Pharmaceuticals, Inc.* | 13,167,371 | ||||||
| 58,994 | Amgen, Inc. | 14,221,684 | ||||||
| 29,955 | Biogen, Inc.* | 8,888,547 | ||||||
| 1,738 | BioMarin Pharmaceutical, Inc.* | 146,948 | ||||||
| 6,525 | Bruker Corp. | 332,579 | ||||||
| 60,470 | Gilead Sciences, Inc. | 3,929,341 | ||||||
| 60,239 | Incyte Corp.* | 5,260,069 | ||||||
| 4,614 | IQVIA Holdings, Inc.* | 712,909 | ||||||
| 39,643 | Jazz Pharmaceuticals plc* | 5,917,907 | ||||||
| 101,303 | Johnson & Johnson | 14,777,069 | ||||||
| 26,154 | Merck & Co., Inc. | 2,378,706 | ||||||
| 25,617 | Mettler-Toledo International, Inc.* | 20,321,454 | ||||||
| 279,257 | Pfizer, Inc. | 10,941,289 | ||||||
| 5,885 | PRA Health Sciences, Inc.* | 654,118 | ||||||
| 11,659 | Repligen Corp.* | 1,078,457 | ||||||
| 3,494 | Thermo Fisher Scientific, Inc. | 1,135,096 | ||||||
| 38,119 | Vertex Pharmaceuticals, Inc.* | 8,346,155 | ||||||
|
| |||||||
| 142,679,766 | ||||||||
|
| |||||||
| Real Estate – 6.2% | ||||||||
| 88,800 | American Tower Corp. (REIT) | 20,408,016 | ||||||
| 15,149 | Apartment Investment & Management Co. Class A (REIT) | 782,446 | ||||||
| 53,569 | Camden Property Trust (REIT) | 5,683,671 | ||||||
| 6,702 | CBRE Group, Inc. Class A* | 410,766 | ||||||
| 18,849 | CoreSite Realty Corp. (REIT) | 2,113,350 | ||||||
| 4,262 | Digital Realty Trust, Inc. (REIT) | 510,332 | ||||||
| 453,423 | Duke Realty Corp. (REIT) | 15,720,175 | ||||||
| 222,726 | Equity LifeStyle Properties, Inc. (REIT) | 15,677,683 | ||||||
| 158,196 | First Industrial Realty Trust, Inc. (REIT) | 6,566,716 | ||||||
| 368,733 | Invitation Homes, Inc. (REIT) | 11,050,928 | ||||||
|
| |||||||
| The accompanying notes are an integral part of these financial statements. | 35 |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
Schedule of Investments(continued)
December 31, 2019
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Real Estate – (continued) | ||||||||
| 81,456 | Kimco Realty Corp. (REIT) | $ | 1,686,954 | |||||
| 3,471 | Lamar Advertising Co. Class A (REIT) | 309,821 | ||||||
| 207,843 | Prologis, Inc. (REIT) | 18,527,125 | ||||||
| 1,888 | PS Business Parks, Inc. (REIT) | 311,275 | ||||||
| 160,185 | Retail Properties of America, Inc. Class A (REIT) | 2,146,479 | ||||||
| 216,716 | Rexford Industrial Realty, Inc. (REIT) | 9,897,626 | ||||||
| 65,102 | STORE Capital Corp. (REIT) | 2,424,398 | ||||||
| 14,723 | Terreno Realty Corp. (REIT) | 797,116 | ||||||
|
| |||||||
| 115,024,877 | ||||||||
|
| |||||||
| Retailing – 6.3% | ||||||||
| 24,767 | Amazon.com, Inc.* | 45,765,453 | ||||||
| 13,508 | Asbury Automotive Group, Inc.* | 1,510,059 | ||||||
| 26,728 | AutoNation, Inc.* | 1,299,783 | ||||||
| 6,539 | AutoZone, Inc.* | 7,789,976 | ||||||
| 2,240 | Booking Holdings, Inc.* | 4,600,355 | ||||||
| 64,576 | Dick’s Sporting Goods, Inc. | 3,195,866 | ||||||
| 96,908 | eBay, Inc. | 3,499,348 | ||||||
| 108,585 | Lowe’s Cos., Inc. | 13,004,140 | ||||||
| 12,985 | Macy’s, Inc. | 220,745 | ||||||
| 1,541 | MercadoLibre, Inc.* | 881,360 | ||||||
| 31,865 | O’Reilly Automotive, Inc.* | 13,965,155 | ||||||
| 13,856 | Pool Corp. | 2,942,737 | ||||||
| 149,794 | Target Corp. | 19,205,089 | ||||||
|
| |||||||
| 117,880,066 | ||||||||
|
| |||||||
| Semiconductors & Semiconductor Equipment – 4.2% | ||||||||
| 340,111 | Applied Materials, Inc. | 20,760,375 | ||||||
| 46,951 | Inphi Corp.* | 3,475,313 | ||||||
| 31,784 | Intel Corp. | 1,902,272 | ||||||
| 37,989 | KLA Corp. | 6,768,500 | ||||||
| 15,650 | Lam Research Corp. | 4,576,060 | ||||||
| 52,273 | Maxim Integrated Products, Inc. | 3,215,312 | ||||||
| 7,383 | NVIDIA Corp. | 1,737,220 | ||||||
| 137,479 | NXP Semiconductors NV | 17,495,578 | ||||||
| 96,874 | ON Semiconductor Corp.* | 2,361,788 | ||||||
| 100,492 | Teradyne, Inc. | 6,852,550 | ||||||
| 63,128 | Texas Instruments, Inc. | 8,098,691 | ||||||
| 6,442 | Universal Display Corp. | 1,327,503 | ||||||
|
| |||||||
| 78,571,162 | ||||||||
|
| |||||||
| Software & Services – 9.3% | ||||||||
| 44,829 | Adobe, Inc.* | 14,785,053 | ||||||
| 18,021 | Black Knight, Inc.* | 1,161,994 | ||||||
| 6,462 | CACI International, Inc. Class A* | 1,615,435 | ||||||
| 36,379 | Cadence Design Systems, Inc.* | 2,523,248 | ||||||
| 96,260 | Citrix Systems, Inc. | 10,675,234 | ||||||
| 65,017 | DXC Technology Co. | 2,443,989 | ||||||
| 5,074 | EPAM Systems, Inc.* | 1,076,500 | ||||||
| 1,293 | Fair Isaac Corp.* | 484,461 | ||||||
| 79,080 | Fortinet, Inc.* | 8,442,581 | ||||||
| 6,626 | Intuit, Inc. | 1,735,548 | ||||||
| 339,794 | Microsoft Corp. | 53,585,514 | ||||||
| 95,193 | Nuance Communications, Inc.* | 1,697,291 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Software & Services – (continued) | ||||||||
| 212,943 | Oracle Corp. | 11,281,720 | ||||||
| 35,788 | Palo Alto Networks, Inc.* | 8,275,975 | ||||||
| 215,818 | PayPal Holdings, Inc.* | 23,345,033 | ||||||
| 85,928 | Perspecta, Inc. | 2,271,936 | ||||||
| 4,090 | ServiceNow, Inc.* | 1,154,689 | ||||||
| 14,421 | Synopsys, Inc.* | 2,007,403 | ||||||
| 44,266 | VeriSign, Inc.* | 8,529,173 | ||||||
| 88,426 | Visa, Inc. Class A | 16,615,245 | ||||||
|
| |||||||
| 173,708,022 | ||||||||
|
| |||||||
| Technology Hardware & Equipment – 6.8% | ||||||||
| 311,602 | Apple, Inc. | 91,501,927 | ||||||
| 70,413 | HP, Inc. | 1,446,987 | ||||||
| 213,825 | Jabil, Inc. | 8,837,387 | ||||||
| 206,826 | Keysight Technologies, Inc.* | 21,226,552 | ||||||
| 5,155 | Lumentum Holdings, Inc.* | 408,792 | ||||||
| 42,942 | NetApp, Inc. | 2,673,140 | ||||||
| 50,009 | Viavi Solutions, Inc.* | 750,135 | ||||||
|
| |||||||
| 126,844,920 | ||||||||
|
| |||||||
| Telecommunication Services – 0.6% | ||||||||
| 34,825 | AT&T, Inc. | 1,360,961 | ||||||
| 148,379 | Cogent Communications Holdings, Inc. | 9,764,822 | ||||||
|
| |||||||
| 11,125,783 | ||||||||
|
| |||||||
| Transportation – 2.2% | ||||||||
| 24,642 | Alaska Air Group, Inc. | 1,669,495 | ||||||
| 31,353 | CSX Corp. | 2,268,703 | ||||||
| 354,742 | Delta Air Lines, Inc. | 20,745,312 | ||||||
| 387,733 | JetBlue Airways Corp.* | 7,258,362 | ||||||
| 12,022 | Norfolk Southern Corp. | 2,333,831 | ||||||
| 63,265 | Southwest Airlines Co. | 3,415,045 | ||||||
| 22,216 | Union Pacific Corp. | 4,016,431 | ||||||
|
| |||||||
| 41,707,179 | ||||||||
|
| |||||||
| Utilities – 2.4% | ||||||||
| 847,779 | AES Corp. | 16,870,802 | ||||||
| 137,769 | American Electric Power Co., Inc. | 13,020,548 | ||||||
| 9,873 | American Water Works Co., Inc. | 1,212,898 | ||||||
| 46,810 | CMS Energy Corp. | 2,941,541 | ||||||
| 79,484 | FirstEnergy Corp. | 3,862,922 | ||||||
| 132,478 | NRG Energy, Inc. | 5,266,001 | ||||||
| 67,704 | Vistra Energy Corp. | 1,556,515 | ||||||
|
| |||||||
| 44,731,227 | ||||||||
|
| |||||||
| | TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | | ||||||
| (Cost $1,186,612,926) | $ | 1,849,720,407 | ||||||
|
| |||||||
| 36 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
| Shares | Dividend Rate | Value | ||||
| Securities Lending Reinvestment Vehicle(b)– 0.1% | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||
| 1,661,100 | 1.638% | $ | 1,661,100 | |||
| (Cost $1,661,100) |
| |||||
| ||||||
| TOTAL INVESTMENTS – 99.0% |
| |||||
| (Cost $1,188,274,026) | $ | 1,851,381,507 | ||||
| ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 1.0% | 18,733,594 | |||||
| ||||||
| NET ASSETS – 100.0% | $ | 1,870,115,101 | ||||
| ||||||
| 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) | Represents an Affiliated Issuer. | |
| ||
Investment Abbreviation: | ||
REIT | —Real Estate Investment Trust | |
| ||
| The accompanying notes are an integral part of these financial statements. | 37 |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
Schedule of Investments
December 31, 2019
| Shares | Description | Value | ||||||
| Common Stocks – 98.8% | ||||||||
| Australia – 8.7% | ||||||||
| 5,496 | Altium Ltd. (Software & Services) | $ | 133,917 | |||||
| 67,675 | ASX Ltd. (Diversified Financials) | 3,726,196 | ||||||
| 277,024 | Beach Energy Ltd. (Energy) | 489,987 | ||||||
| 66,863 | Bendigo & Adelaide Bank Ltd. (Banks) | 458,804 | ||||||
| 332,414 | BHP Group Ltd. (Materials) | 9,102,263 | ||||||
| 48,043 | BlueScope Steel Ltd. (Materials) | 508,852 | ||||||
| 497,652 | Coles Group Ltd. (Food & Staples Retailing) | 5,180,439 | ||||||
| 13,856 | Commonwealth Bank of Australia (Banks) | 777,291 | ||||||
| 3,669 | Flight Centre Travel Group Ltd. (Consumer Services) | 113,482 | ||||||
| 365,172 | Fortescue Metals Group Ltd. (Materials) | 2,752,798 | ||||||
| 21,074 | JB Hi-Fi Ltd. (Retailing) | 557,745 | ||||||
| 141,746 | Magellan Financial Group Ltd. (Diversified Financials) | 5,679,042 | ||||||
| 963,086 | Qantas Airways Ltd. (Transportation) | 4,800,503 | ||||||
| 31,491 | REA Group Ltd. (Media & Entertainment) | 2,287,721 | ||||||
| 82,896 | Rio Tinto Ltd. (Materials) | 5,864,896 | ||||||
| 61,893 | Rio Tinto plc ADR (Materials) | 3,673,968 | ||||||
| 453,701 | Santos Ltd. (Energy) | 2,610,124 | ||||||
| 55,140 | Sonic Healthcare Ltd. (Health Care Equipment & Services) | 1,111,784 | ||||||
| 557,970 | Telstra Corp. Ltd. (Telecommunication Services) | 1,385,993 | ||||||
| 221,220 | Wesfarmers Ltd. (Retailing) | 6,429,036 | ||||||
| 146,301 | Woodside Petroleum Ltd. (Energy) | 3,537,354 | ||||||
| 244,727 | Woolworths Group Ltd. (Food & Staples Retailing) | 6,207,126 | ||||||
|
| |||||||
| 67,389,321 | ||||||||
|
| |||||||
| Austria – 0.3% | ||||||||
| 23,884 | BAWAG Group AG (Banks)(a) | 1,079,489 | ||||||
| 21,008 | Erste Group Bank AG (Banks)* | 789,106 | ||||||
| 4,523 | Wienerberger AG (Materials) | 134,040 | ||||||
|
| |||||||
| 2,002,635 | ||||||||
|
| |||||||
| Belgium – 1.1% | ||||||||
| 22,769 | Ageas (Insurance) | 1,346,390 | ||||||
| 25,111 | Galapagos NV (Pharmaceuticals, Biotechnology & Life Sciences)* | 5,229,306 | ||||||
| 25,701 | UCB SA (Pharmaceuticals, Biotechnology & Life Sciences) | 2,045,146 | ||||||
|
| |||||||
| 8,620,842 | ||||||||
|
| |||||||
| Cambodia – 0.4% | ||||||||
| 1,570,000 | NagaCorp Ltd. (Consumer Services) | 2,741,995 | ||||||
|
| |||||||
| China – 0.2% | ||||||||
| 640,000 | Tingyi Cayman Islands Holding Corp. (Food, Beverage & Tobacco) | 1,092,313 | ||||||
| 363,000 | Towngas China Co. Ltd. (Utilities)* | 251,458 | ||||||
|
| |||||||
| 1,343,771 | ||||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Denmark – 2.4% | ||||||||
| 50,054 | GN Store Nord A/S (Health Care Equipment & Services) | 2,354,576 | ||||||
| 173,397 | Novo Nordisk A/S Class B (Pharmaceuticals, Biotechnology & Life Sciences) | 10,048,154 | ||||||
| 17,347 | Orsted A/S (Utilities)(a) | 1,794,109 | ||||||
| 13,800 | Pandora A/S (Consumer Durables & Apparel) | 600,320 | ||||||
| 8,049 | Royal Unibrew A/S (Food, Beverage & Tobacco) | 737,278 | ||||||
| 30,262 | Vestas Wind Systems A/S (Capital Goods) | 3,056,659 | ||||||
|
| |||||||
| 18,591,096 | ||||||||
|
| |||||||
| Finland – 0.8% | ||||||||
| 28,840 | Neste OYJ (Energy) | 1,003,491 | ||||||
| 140,298 | UPM-Kymmene OYJ (Materials) | 4,867,569 | ||||||
|
| |||||||
| 5,871,060 | ||||||||
|
| |||||||
| France – 10.3% | ||||||||
| 8,154 | Air France-KLM (Transportation)* | 90,768 | ||||||
| 64,325 | Air Liquide SA (Materials) | 9,119,411 | ||||||
| 51,109 | Alstom SA (Capital Goods) | 2,428,652 | ||||||
| 30,686 | Arkema SA (Materials) | 3,281,178 | ||||||
| 151,983 | BNP Paribas SA (Banks) | 9,033,580 | ||||||
| 4,710 | Capgemini SE (Software & Services) | 576,056 | ||||||
| 10,351 | Danone SA (Food, Beverage & Tobacco) | 859,609 | ||||||
| 10,582 | Gaztransport Et Technigaz SA (Energy) | 1,019,221 | ||||||
| 26,412 | Gecina SA (REIT) | 4,728,364 | ||||||
| 8,730 | Kering SA (Consumer Durables & Apparel) | 5,752,329 | ||||||
| 9,965 | Klepierre SA (REIT) | 379,108 | ||||||
| 66,891 | Legrand SA (Capital Goods) | 5,462,576 | ||||||
| 72,819 | Natixis SA (Diversified Financials) | 324,373 | ||||||
| 47,018 | Safran SA (Capital Goods) | 7,262,370 | ||||||
| 58,816 | Sanofi (Pharmaceuticals, Biotechnology & Life Sciences) | 5,906,742 | ||||||
| 24,349 | Sartorius Stedim Biotech (Pharmaceuticals, Biotechnology & Life Sciences) | 4,041,634 | ||||||
| 90,347 | Schneider Electric SE (Capital Goods) | 9,282,227 | ||||||
| 72,711 | SCOR SE (Insurance) | 3,060,831 | ||||||
| 11,081 | Teleperformance (Commercial & Professional Services) | 2,707,286 | ||||||
| 68,054 | TOTAL SA (Energy) | 3,776,352 | ||||||
|
| |||||||
| 79,092,667 | ||||||||
|
| |||||||
| Germany – 6.4% | ||||||||
| 61,911 | alstria office REIT-AG (REIT) | 1,163,213 | ||||||
| 11,859 | BASF SE (Materials) | 893,417 | ||||||
| 20,835 | Bayer AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | 1,693,816 | ||||||
| 68,151 | Covestro AG (Materials)(a) | 3,171,074 | ||||||
|
| |||||||
| 38 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Germany – (continued) | ||||||||
| 264,644 | Deutsche Lufthansa AG (Registered) (Transportation) | $ | 4,871,328 | |||||
| 26,716 | Deutsche Pfandbriefbank AG (Banks)(a) | 435,114 | ||||||
| 107,419 | Deutsche Post AG (Registered) (Transportation) | 4,084,520 | ||||||
| 20,206 | DWS Group GmbH & Co. KGaA (Diversified Financials)(a) | 717,463 | ||||||
| 12,531 | Hannover Rueck SE (Insurance) | 2,416,161 | ||||||
| 45,985 | HeidelbergCement AG (Materials) | 3,341,495 | ||||||
| 40,870 | Hella GmbH & Co. KGaA (Automobiles & Components) | 2,258,529 | ||||||
| 14,493 | MTU Aero Engines AG (Capital Goods) | 4,129,428 | ||||||
| 24,529 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) (Insurance) | 7,238,336 | ||||||
| 48,540 | Nemetschek SE (Software & Services) | 3,197,741 | ||||||
| 22,209 | Porsche Automobil Holding SE (Preference) (Automobiles & Components)(b) | 1,647,870 | ||||||
| 8,109 | Rheinmetall AG (Capital Goods) | 929,794 | ||||||
| 210,313 | Schaeffler AG (Preference) (Automobiles & Components)(b) | 2,270,774 | ||||||
| 31,082 | Siltronic AG (Semiconductors & Semiconductor Equipment) | 3,122,897 | ||||||
| 6,205 | Talanx AG (Insurance) | 307,098 | ||||||
| 16,624 | TLG Immobilien AG (Real Estate) | 530,511 | ||||||
| 23,299 | Uniper SE (Utilities) | 770,070 | ||||||
|
| |||||||
| 49,190,649 | ||||||||
|
| |||||||
| Hong Kong – 2.2% | ||||||||
| 1,091,400 | AIA Group Ltd. (Insurance) | 11,479,309 | ||||||
| 5,006,000 | WH Group Ltd. (Food, Beverage & Tobacco)(a) | 5,176,074 | ||||||
| 21,000 | Wheelock & Co. Ltd. (Real Estate) | 139,992 | ||||||
| 87,000 | Yue Yuen Industrial Holdings Ltd. (Consumer Durables & Apparel) | 256,762 | ||||||
|
| |||||||
| 17,052,137 | ||||||||
|
| |||||||
| Ireland – 0.1% | ||||||||
| 195,105 | C&C Group plc (Food, Beverage & Tobacco) | 1,050,543 | ||||||
|
| |||||||
| Israel – 0.2% | ||||||||
| 135,686 | Plus500 Ltd. (Diversified Financials) | 1,592,405 | ||||||
|
| |||||||
| Italy – 3.0% | ||||||||
| 191,464 | Azimut Holding SpA (Diversified Financials) | 4,574,807 | ||||||
| 4,498 | Banca Generali SpA (Diversified Financials) | 146,225 | ||||||
| 193,118 | Banca Mediolanum SpA (Diversified Financials) | 1,919,039 | ||||||
| 2,617,144 | Intesa Sanpaolo SpA (Banks) | 6,894,055 | ||||||
| 73,648 | Iren SpA (Utilities) | 228,171 | ||||||
| 431,246 | Mediobanca Banca di Credito Finanziario SpA (Banks) | 4,748,252 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Italy – (continued) | ||||||||
| 394,636 | Poste Italiane SpA (Insurance)(a) | 4,484,200 | ||||||
|
| |||||||
| 22,994,749 | ||||||||
|
| |||||||
| Japan – 26.3% | ||||||||
| 135,100 | AGC, Inc. (Capital Goods) | 4,830,901 | ||||||
| 22,000 | Aisin Seiki Co. Ltd. (Automobiles & Components) | 814,873 | ||||||
| 102,000 | Alps Alpine Co. Ltd. (Technology Hardware & Equipment) | 2,315,332 | ||||||
| 207,000 | Astellas Pharma, Inc. (Pharmaceuticals, Biotechnology & Life Sciences) | 3,533,487 | ||||||
| 19,300 | Autobacs Seven Co. Ltd. (Retailing) | 303,947 | ||||||
| 76,100 | Benesse Holdings, Inc. (Consumer Services) | 2,000,269 | ||||||
| 148,300 | Casio Computer Co. Ltd. (Consumer Durables & Apparel) | 2,963,553 | ||||||
| 2,600 | Central Japan Railway Co. (Transportation) | 522,779 | ||||||
| 85,200 | Chubu Electric Power Co., Inc. (Utilities) | 1,204,374 | ||||||
| 179,700 | Dai Nippon Printing Co. Ltd. (Commercial & Professional Services) | 4,860,445 | ||||||
| 175,700 | Daiwa House Industry Co. Ltd. (Real Estate) | 5,439,120 | ||||||
| 19,000 | DCM Holdings Co. Ltd. (Retailing) | 185,054 | ||||||
| 36,500 | Dentsu Group, Inc. (Media & Entertainment) | 1,257,639 | ||||||
| 2,900 | Disco Corp. (Semiconductors & Semiconductor Equipment) | 680,993 | ||||||
| 25,400 | Eisai Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 1,900,580 | ||||||
| 60,300 | FamilyMart Co. Ltd. (Food & Staples Retailing) | 1,444,167 | ||||||
| 63,100 | FUJIFILM Holdings Corp. (Technology Hardware & Equipment) | 3,013,397 | ||||||
| 73,300 | Fujitsu Ltd. (Software & Services) | 6,894,292 | ||||||
| 800 | Hirose Electric Co. Ltd. (Technology Hardware & Equipment) | 102,265 | ||||||
| 72,600 | Hoya Corp. (Health Care Equipment & Services) | 6,930,545 | ||||||
| 84,900 | Ibiden Co. Ltd. (Technology Hardware & Equipment) | 2,021,278 | ||||||
| 46,800 | Idemitsu Kosan Co. Ltd. (Energy) | 1,293,165 | ||||||
| 85,600 | JXTG Holdings, Inc. (Energy) | 388,502 | ||||||
| 44,500 | Kao Corp. (Household & Personal Products) | 3,670,142 | ||||||
| 23,400 | KDDI Corp. (Telecommunication Services) | 698,171 | ||||||
| 4,700 | Kobayashi Pharmaceutical Co. Ltd. (Household & Personal Products) | 398,096 | ||||||
| 18,200 | Konami Holdings Corp. (Media & Entertainment) | 747,884 | ||||||
| 65,800 | K’s Holdings Corp. (Retailing) | 860,264 | ||||||
| 6,500 | Kyoritsu Maintenance Co. Ltd. (Consumer Services) | 307,831 | ||||||
| 279,200 | LIXIL Group Corp. (Capital Goods) | 4,818,115 | ||||||
|
| |||||||
| The accompanying notes are an integral part of these financial statements. | 39 |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
Schedule of Investments(continued)
December 31, 2019
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Japan – (continued) | ||||||||
| 72,600 | Matsumotokiyoshi Holdings Co. Ltd. (Food & Staples Retailing) | $ | 2,810,707 | |||||
| 275,200 | Mazda Motor Corp. (Automobiles & Components) | 2,345,100 | ||||||
| 85,500 | Mitsubishi Materials Corp. (Materials) | 2,320,444 | ||||||
| 1,441,400 | Mitsubishi UFJ Financial Group, Inc. (Banks) | 7,792,694 | ||||||
| 74,600 | Mitsubishi UFJ Lease & Finance Co. Ltd. (Diversified Financials) | 480,252 | ||||||
| 4,248,800 | Mizuho Financial Group, Inc. (Banks) | 6,544,935 | ||||||
| 12,600 | Murata Manufacturing Co. Ltd. (Technology Hardware & Equipment) | 775,512 | ||||||
| 15,000 | NET One Systems Co. Ltd. (Software & Services) | 382,982 | ||||||
| 58,800 | Nexon Co. Ltd. (Media & Entertainment)* | 779,999 | ||||||
| 207,600 | NGK Insulators Ltd. (Capital Goods) | 3,611,415 | ||||||
| 5,000 | Nihon Unisys Ltd. (Software & Services) | 156,845 | ||||||
| 232,600 | Nikon Corp. (Consumer Durables & Apparel) | 2,844,619 | ||||||
| 7,200 | Nippon Paper Industries Co. Ltd. (Materials) | 121,511 | ||||||
| 135,200 | Nippon Telegraph & Telephone Corp. (Telecommunication Services) | 3,417,003 | ||||||
| 222,800 | Nippon Yusen KK (Transportation) | 4,015,674 | ||||||
| 56,800 | Nitto Denko Corp. (Materials) | 3,193,739 | ||||||
| 229,500 | Nomura Research Institute Ltd. (Software & Services) | 4,908,094 | ||||||
| 362,300 | NTT Data Corp. (Software & Services) | 4,845,395 | ||||||
| 7,800 | Okinawa Electric Power Co., Inc. (The) (Utilities) | 146,368 | ||||||
| 377,600 | Olympus Corp. (Health Care Equipment & Services) | 5,819,838 | ||||||
| 4,500 | Ono Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 102,737 | ||||||
| 20,100 | Otsuka Corp. (Software & Services) | 802,692 | ||||||
| 26,700 | Otsuka Holdings Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 1,190,133 | ||||||
| 83,600 | SAMTY Co. Ltd. (Real Estate) | 1,719,467 | ||||||
| 58,900 | Santen Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 1,121,641 | ||||||
| 21,600 | SCSK Corp. (Software & Services) | 1,120,054 | ||||||
| 62,600 | Secom Co. Ltd. (Commercial & Professional Services) | 5,586,596 | ||||||
| 13,400 | Seiko Holdings Corp. (Consumer Durables & Apparel) | 357,348 | ||||||
| 7,200 | Seino Holdings Co. Ltd. (Transportation) | 97,276 | ||||||
| 249,200 | Sekisui Chemical Co. Ltd. (Consumer Durables & Apparel) | 4,323,597 | ||||||
| 184,300 | Sekisui House Ltd. (Consumer Durables & Apparel) | 3,935,700 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Japan – (continued) | ||||||||
| 74,900 | Seven & i Holdings Co. Ltd. (Food & Staples Retailing) | 2,745,492 | ||||||
| 10,400 | Shikoku Electric Power Co., Inc. (Utilities) | 102,730 | ||||||
| 63,000 | Shionogi & Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 3,897,276 | ||||||
| 143,800 | Softbank Corp. (Telecommunication Services) | 1,928,312 | ||||||
| 33,400 | SoftBank Group Corp. (Telecommunication Services) | 1,450,129 | ||||||
| 134,000 | Sony Corp. (Consumer Durables & Apparel) | 9,098,294 | ||||||
| 127,400 | Subaru Corp. (Automobiles & Components) | 3,155,677 | ||||||
| 14,800 | Sugi Holdings Co. Ltd. (Food & Staples Retailing) | 780,769 | ||||||
| 127,500 | Sumitomo Dainippon Pharma Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 2,470,330 | ||||||
| 109,600 | Sundrug Co. Ltd. (Food & Staples Retailing) | 3,965,544 | ||||||
| 1,300 | Taisho Pharmaceutical Holdings Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 95,934 | ||||||
| 6,600 | Taiyo Yuden Co. Ltd. (Technology Hardware & Equipment) | 201,315 | ||||||
| 59,500 | TDK Corp. (Technology Hardware & Equipment) | 6,686,559 | ||||||
| 79,500 | TIS, Inc. (Software & Services) | 4,699,489 | ||||||
| 17,300 | Tokyo Electron Ltd. (Semiconductors & Semiconductor Equipment) | 3,777,110 | ||||||
| 74,700 | Toshiba Corp. (Capital Goods) | 2,535,449 | ||||||
| 4,900 | Toyota Motor Corp. (Automobiles & Components) | 345,261 | ||||||
| 98,800 | Toyota Tsusho Corp. (Capital Goods) | 3,470,610 | ||||||
| 6,200 | Vision, Inc. (Telecommunication Services)* | 102,829 | ||||||
| 25,500 | Welcia Holdings Co. Ltd. (Food & Staples Retailing) | 1,619,997 | ||||||
| 949,300 | Yamada Denki Co. Ltd. (Retailing) | 5,037,015 | ||||||
| 5,300 | Yellow Hat Ltd. (Retailing) | 94,683 | ||||||
| 56,700 | Z Holdings Corp. (Media & Entertainment) | 239,394 | ||||||
|
| |||||||
| 202,572,025 | ||||||||
|
| |||||||
| Macau – 0.0% | ||||||||
| 316,000 | SJM Holdings Ltd. (Consumer Services) | 359,818 | ||||||
|
| |||||||
| Netherlands – 6.5% | ||||||||
| 60,956 | Akzo Nobel NV (Materials) | 6,225,067 | ||||||
| 40,276 | ASM International NV (Semiconductors & Semiconductor Equipment) | 4,546,051 | ||||||
| 150,649 | BE Semiconductor Industries NV (Semiconductors & Semiconductor Equipment) | 5,848,657 | ||||||
|
| |||||||
| 40 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| Netherlands – (continued) | ||||||||
| 237,046 | Koninklijke Ahold Delhaize NV (Food & Staples Retailing) | $ | 5,943,312 | |||||
| 19,428 | Koninklijke Philips NV (Health Care Equipment & Services) | 949,713 | ||||||
| 135,161 | NN Group NV (Insurance) | 5,139,199 | ||||||
| 15,870 | NXP Semiconductors NV (Semiconductors & Semiconductor Equipment)(c) | 2,019,616 | ||||||
| 47,507 | Randstad NV (Commercial & Professional Services) | 2,910,999 | ||||||
| 155,059 | Royal Dutch Shell plc Class B (Energy) | 4,602,722 | ||||||
| 8,630 | Royal Dutch Shell plc Class B ADR (Energy) | 517,541 | ||||||
| 157,260 | Signify NV (Capital Goods)(a) | 4,922,049 | ||||||
| 89,615 | Wolters Kluwer NV (Commercial & Professional Services) | 6,543,285 | ||||||
|
| |||||||
| 50,168,211 | ||||||||
|
| |||||||
| Norway – 1.2% | ||||||||
| 214,562 | DNB ASA (Banks) | 4,015,078 | ||||||
| 134,903 | Equinor ASA (Energy) | 2,690,274 | ||||||
| 129,507 | Orkla ASA (Food, Beverage & Tobacco) | 1,313,307 | ||||||
| 7,575 | Salmar ASA (Food, Beverage & Tobacco) | 388,190 | ||||||
| 26,565 | Schibsted ASA Class A (Media & Entertainment) | 803,736 | ||||||
| 12,311 | SpareBank 1 SMN (Banks) | 140,508 | ||||||
| 14,276 | SpareBank 1 SR-Bank ASA (Banks) | 162,610 | ||||||
|
| |||||||
| 9,513,703 | ||||||||
|
| |||||||
| Portugal – 0.0% | ||||||||
| 24,864 | NOS SGPS SA (Media & Entertainment) | 134,265 | ||||||
|
| |||||||
| Singapore – 0.2% | ||||||||
| 520,400 | Wilmar International Ltd. (Food, Beverage & Tobacco) | 1,594,349 | ||||||
|
| |||||||
| Spain – 1.2% | ||||||||
| 3,875 | ACS Actividades de Construccion y Servicios SA (Capital Goods) | 155,442 | ||||||
| 303,671 | Banco Bilbao Vizcaya Argentaria SA (Banks) | 1,704,909 | ||||||
| 50,707 | Grifols SA (Pharmaceuticals, Biotechnology & Life Sciences) | 1,791,554 | ||||||
| 825,688 | Telefonica SA (Telecommunication Services) | 5,774,123 | ||||||
| 2,740 | Viscofan SA (Food, Beverage & Tobacco) | 145,067 | ||||||
|
| |||||||
| 9,571,095 | ||||||||
|
| |||||||
| Sweden – 2.6% | ||||||||
| 200,662 | Boliden AB (Materials)* | 5,329,317 | ||||||
| 175,946 | Essity AB Class B (Household & Personal Products) | 5,666,558 | ||||||
| 104,641 | Sandvik AB (Capital Goods) | 2,038,131 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| Sweden – (continued) | ||||||||
| 57,994 | SKF AB Class B (Capital Goods) | 1,174,166 | ||||||
| 349,298 | Volvo AB Class B (Capital Goods) | 5,847,665 | ||||||
|
| |||||||
| 20,055,837 | ||||||||
|
| |||||||
| Switzerland – 11.5% | ||||||||
| 81,614 | Adecco Group AG (Registered) (Commercial & Professional Services) | 5,159,820 | ||||||
| 18,607 | Baloise Holding AG (Registered) (Insurance) | 3,367,596 | ||||||
| 26,010 | Flughafen Zurich AG (Registered) (Transportation) | 4,747,603 | ||||||
| 63 | Forbo Holding AG (Registered) (Consumer Durables & Apparel) | 107,205 | ||||||
| 11,408 | Helvetia Holding AG (Registered) (Insurance) | 1,611,370 | ||||||
| 117,459 | LafargeHolcim Ltd. (Registered) (Materials)* | 6,516,330 | ||||||
| 8,841 | Lonza Group AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences)* | 3,225,262 | ||||||
| 58,948 | Nestle SA (Registered) (Food, Beverage & Tobacco) | 6,382,021 | ||||||
| 162,476 | Novartis AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | 15,384,789 | ||||||
| 53,037 | Roche Holding AG (Pharmaceuticals, Biotechnology & Life Sciences) | 17,237,174 | ||||||
| 24,115 | Sonova Holding AG (Registered) (Health Care Equipment & Services) | 5,512,895 | ||||||
| 10,870 | Swiss Life Holding AG (Registered) (Insurance) | 5,453,157 | ||||||
| 48,203 | Swiss Re AG (Insurance) | 5,415,247 | ||||||
| 590,768 | UBS Group AG (Registered) (Diversified Financials)* | 7,455,131 | ||||||
| 3,175 | Zurich Insurance Group AG (Insurance) | 1,302,384 | ||||||
|
| |||||||
| 88,877,984 | ||||||||
|
| |||||||
| United Kingdom – 12.3% | ||||||||
| 26,288 | Ashmore Group plc (Diversified Financials) | 180,325 | ||||||
| 1,160,885 | Aviva plc (Insurance) | 6,443,550 | ||||||
| 571,898 | Barratt Developments plc (Consumer Durables & Apparel) | 5,662,613 | ||||||
| 19,553 | Big Yellow Group plc (REIT) | 310,553 | ||||||
| 52,320 | boohoo Group plc (Retailing)* | 206,454 | ||||||
| 9,969 | Bovis Homes Group plc (Consumer Durables & Apparel) | 179,323 | ||||||
| 797,279 | BT Group plc (Telecommunication Services) | 2,031,619 | ||||||
| 210,728 | Diageo plc (Food, Beverage & Tobacco) | 8,879,382 | ||||||
| 26,165 | Dialog Semiconductor plc (Semiconductors & Semiconductor Equipment)* | 1,328,848 | ||||||
| 31,964 | Drax Group plc (Utilities) | 132,946 | ||||||
| 38,600 | Dunelm Group plc (Retailing) | 591,067 | ||||||
|
| |||||||
| The accompanying notes are an integral part of these financial statements. | 41 |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
Schedule of Investments(continued)
December 31, 2019
| Shares | Description | Value | ||||||
| Common Stocks – (continued) | ||||||||
| United Kingdom – (continued) | ||||||||
| 226,879 | Experian plc (Commercial & Professional Services) | $ | 7,691,080 | |||||
| 292,910 | Fiat Chrysler Automobiles NV (Automobiles & Components) | 4,342,840 | ||||||
| 29,842 | GlaxoSmithKline plc ADR (Pharmaceuticals, Biotechnology & Life Sciences) | 1,402,276 | ||||||
| 12,317 | Greggs plc (Consumer Services) | 375,698 | ||||||
| 184,788 | Halma plc (Technology Hardware & Equipment) | 5,174,552 | ||||||
| 83,085 | HSBC Holdings plc (Banks) | 650,426 | ||||||
| 130,775 | International Consolidated Airlines Group SA (Transportation) | 1,082,055 | ||||||
| 259,550 | JD Sports Fashion plc (Retailing) | 2,882,974 | ||||||
| 43,842 | London Stock Exchange Group plc (Diversified Financials) | 4,505,733 | ||||||
| 597,203 | National Grid plc (Utilities) | 7,463,348 | ||||||
| 163,374 | Persimmon plc (Consumer Durables & Apparel) | 5,835,573 | ||||||
| 26,738 | Phoenix Group Holdings plc (Insurance) | 265,633 | ||||||
| 400,965 | Prudential plc (Insurance) | 7,682,745 | ||||||
| 96,690 | Redrow plc (Consumer Durables & Apparel) | 954,359 | ||||||
| 160,737 | Segro plc (REIT) | 1,913,971 | ||||||
| 242,706 | Smith & Nephew plc (Health Care Equipment & Services) | 5,849,394 | ||||||
| 60,036 | SSE plc (Utilities) | 1,145,021 | ||||||
| 1,626,528 | Taylor Wimpey plc (Consumer Durables & Apparel) | 4,170,537 | ||||||
| 23,943 | Unilever NV (Household & Personal Products) | 1,374,106 | ||||||
| �� | 17,834 | Unilever plc (Household & Personal Products) | 1,020,866 | |||||
| 33,909 | Unilever plc ADR (Household & Personal Products)(c) | 1,938,577 | ||||||
|
| |||||||
| Common Stocks – (continued) | ||||||||
| United Kingdom – (continued) | ||||||||
| 8,445 | UNITE Group plc (The) (REIT) | 140,947 | ||||||
| 16,268 | Workspace Group plc (REIT) | 255,997 | ||||||
| 54,753 | WPP plc (Media & Entertainment) | 770,499 | ||||||
|
| |||||||
| 94,835,887 | ||||||||
|
| |||||||
| United States – 0.9% | ||||||||
| 12,718 | Carnival plc ADR (Consumer Services) | 612,499 | ||||||
| 65,149 | Ferguson plc (Capital Goods) | 5,929,007 | ||||||
|
| |||||||
| 6,541,506 | ||||||||
|
| |||||||
| TOTAL INVESTMENTS – 98.8% | ||||||||
| (Cost $667,799,818) | $ | 761,758,550 | ||||||
|
| |||||||
| | OTHER ASSETS IN EXCESS OF LIABILITIES – 1.2% | 9,634,614 | ||||||
|
| |||||||
| NET ASSETS – 100.0% | $ | 771,393,164 | ||||||
|
| |||||||
| 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. | |
(b) | Preference Shares are a special type of equity investment that shares in the earnings of the company, has limited voting rights, and receives a greater dividend than applicable Common Shares. | |
(c) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
| ||
Investment Abbreviations: | ||
ADR | —American Depositary Receipt | |
REIT | —Real Estate Investment Trust | |
| ||
| ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At December 31, 2019, 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 | 95 | 03/20/2020 | $ | 3,973,678 | $ | (35,519 | ) | |||||||||
FTSE 100 Index | 18 | 03/20/2020 | 1,787,972 | 2,246 | ||||||||||||
Hang Seng Index | 1 | 01/30/2020 | 181,397 | 808 | ||||||||||||
MSCI Singapore Index | 4 | 01/30/2020 | 110,487 | (601 | ) | |||||||||||
SPI 200 Index | 6 | 03/19/2020 | 695,048 | (15,782 | ) | |||||||||||
TOPIX Index | 11 | 03/12/2020 | 1,742,304 | 3,833 | ||||||||||||
| Total Futures Contracts | $ | (45,015 | ) | |||||||||||||
| 42 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Statements of Assets and Liabilities
December 31, 2019
| 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 $2,381,706,030, $281,895,803, $1,186,612,926 and $667,799,818)(a) | $ | 2,994,690,699 | $ | 298,082,409 | $ | 1,849,720,407 | $ | 761,758,550 | ||||||||||
Investments in affiliated issuers, at value (cost $71,990,719, $0, $0 and $0) | 71,990,719 | — | �� | — | ||||||||||||||
Investments in affiliated securities lending reinvestment vehicle, at value (cost $242,125, $0, $1,661,100 and $0) | 242,125 | — | 1,661,100 | — | ||||||||||||||
Cash | 3,577,759 | 270,653 | 23,572,067 | 781,666 | ||||||||||||||
Foreign currencies, at value (cost $0, $1,465,725, $0 and $8,372,156) | — | 1,468,664 | — | 8,637,019 | ||||||||||||||
Receivables: | ||||||||||||||||||
Investments sold | 8,739,918 | — | — | — | ||||||||||||||
Dividends | 2,821,929 | 426,405 | 1,464,378 | 393,518 | ||||||||||||||
Fund shares sold | 1,212,070 | 31,018 | 862,929 | 1,065,135 | ||||||||||||||
Reimbursement from investment adviser | 51,949 | 32,433 | — | 58,674 | ||||||||||||||
Securities lending income | 6,006 | — | 2,937 | — | ||||||||||||||
Foreign tax reclaims | — | 2,041,383 | — | 1,338,126 | ||||||||||||||
Variation margin on futures | 41,587 | — | — | — | ||||||||||||||
Other assets | 56,726 | 33,712 | 25,797 | 34,067 | ||||||||||||||
| Total assets | 3,083,431,487 | 302,386,677 | 1,877,309,615 | 774,066,755 | ||||||||||||||
| Liabilities: |
| |||||||||||||||||
Written options, at value (premiums received $24,785,966, $3,043,423, $0 and $0) | 45,820,340 | 2,502,120 | — | — | ||||||||||||||
Variation margin on futures | — | 3,944 | — | 22,678 | ||||||||||||||
Payables: | ||||||||||||||||||
Investments purchased | 28,094,556 | — | — | — | ||||||||||||||
Fund shares redeemed | 3,432,706 | 561,718 | 4,150,303 | 1,749,878 | ||||||||||||||
Management fees | 1,755,552 | 207,987 | 1,050,327 | 552,042 | ||||||||||||||
Distribution and Service fees and Transfer Agency fees | 335,510 | 10,505 | 87,002 | 24,653 | ||||||||||||||
Payable upon return of securities loaned | 242,125 | — | 1,661,100 | — | ||||||||||||||
Accrued expenses | 516,465 | 319,522 | 245,782 | 324,340 | ||||||||||||||
| Total liabilities | 80,197,254 | 3,605,796 | 7,194,514 | 2,673,591 | ||||||||||||||
| Net Assets: |
| |||||||||||||||||
Paid-in capital | 2,430,164,056 | 335,041,141 | 1,216,556,371 | 706,062,398 | ||||||||||||||
Total distributable earnings (loss) | 573,070,177 | (36,260,260 | ) | 653,558,730 | 65,330,766 | |||||||||||||
| NET ASSETS | $ | 3,003,234,233 | $ | 298,780,881 | $ | 1,870,115,101 | $ | 771,393,164 | ||||||||||
Net Assets: | ||||||||||||||||||
Class A | $ | 195,689,183 | $ | 2,424,234 | $ | 68,427,333 | $ | 8,419,237 | ||||||||||
Class C | 141,029,201 | 814,888 | 18,340,773 | 1,307,961 | ||||||||||||||
Institutional | 1,242,858,081 | 12,004,813 | 45,718,319 | 15,782,893 | ||||||||||||||
Service | — | — | 1,648,690 | — | ||||||||||||||
Investor | 468,253,900 | 8,914,568 | 21,591,193 | 18,289,935 | ||||||||||||||
Class P | 679,431,164 | 138,381,032 | 138,398,662 | 67,038,370 | ||||||||||||||
Class R6 | 275,972,704 | 136,241,346 | 1,575,990,131 | 660,554,768 | ||||||||||||||
Total Net Assets | $ | 3,003,234,233 | $ | 298,780,881 | $ | 1,870,115,101 | $ | 771,393,164 | ||||||||||
Shares outstanding $0.001 par value (unlimited shares authorized): | ||||||||||||||||||
Class A | 14,620,924 | 333,076 | 2,679,592 | 807,376 | ||||||||||||||
Class C | 10,582,164 | 116,054 | 760,560 | 128,543 | ||||||||||||||
Institutional | 93,120,523 | 1,682,287 | 1,747,698 | 1,517,095 | ||||||||||||||
Service | — | — | 64,162 | — | ||||||||||||||
Investor | 35,061,268 | 1,252,766 | 832,677 | 1,758,146 | ||||||||||||||
Class P | 50,913,023 | 19,374,321 | 5,335,893 | 6,483,481 | ||||||||||||||
Class R6 | 20,684,950 | 19,103,181 | 60,777,431 | 63,918,672 | ||||||||||||||
Net asset value, offering and redemption price per share:(b) | ||||||||||||||||||
Class A | $ | 13.38 | $ | 7.28 | $ | 25.54 | $ | 10.43 | ||||||||||
Class C | 13.33 | 7.02 | 24.11 | 10.18 | ||||||||||||||
Institutional | 13.35 | 7.14 | 26.16 | 10.40 | ||||||||||||||
Service | — | — | 25.70 | — | ||||||||||||||
Investor | 13.36 | 7.12 | 25.93 | 10.40 | ||||||||||||||
Class P | 13.34 | 7.14 | 25.94 | 10.34 | ||||||||||||||
Class R6 | 13.34 | 7.13 | 25.93 | 10.33 | ||||||||||||||
| (a) | Includes loaned securities having a market value of $238,251 and $1,609,356, for the U.S. Equity Dividend and Premium and U.S. 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 $14.16, $7.70, $27.03 and $11.04, 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. | 43 |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Statements of Operations
For the Fiscal Year Ended December 31, 2019
| 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, $1,228,147, $35,389 and $1,943,854) | $ | 80,938,347 | $ | 12,852,576 | $ | 26,885,264 | $ | 21,582,767 | ||||||||||
Dividends — affiliated issuers | 478,714 | 3,043 | 46,311 | 4,162 | ||||||||||||||
Securities lending income — affiliated issuer | 30,378 | 60,160 | 13,542 | 28,226 | ||||||||||||||
| Total investment income | 81,447,439 | 12,915,779 | 26,945,117 | 21,615,155 | ||||||||||||||
| Expenses: |
| |||||||||||||||||
Management fees | 20,385,483 | 2,498,956 | 11,506,786 | 6,091,738 | ||||||||||||||
Transfer Agency fees(a) | 2,155,237 | 113,499 | 662,817 | 256,968 | ||||||||||||||
Distribution and Service fees(a) | 1,912,191 | 15,951 | 320,279 | 40,600 | ||||||||||||||
Custody, accounting and administrative services | 408,034 | 187,587 | 228,443 | 345,896 | ||||||||||||||
Printing and mailing costs | 279,978 | 43,202 | 63,959 | 50,859 | ||||||||||||||
Registration fees | 206,609 | 139,806 | 125,703 | 101,186 | ||||||||||||||
Professional fees | 110,179 | 119,187 | 110,601 | 121,109 | ||||||||||||||
Shareholder meeting expense | 76,015 | 6,468 | 8,212 | 7,652 | ||||||||||||||
Trustee fees | 20,421 | 16,307 | 18,516 | 16,964 | ||||||||||||||
Service share fees — Service and Shareholder Administration Plan | — | — | 6,602 | — | ||||||||||||||
Other | 78,172 | 130,625 | 53,122 | 52,786 | ||||||||||||||
| Total expenses | 25,632,319 | 3,271,588 | 13,105,040 | 7,085,758 | ||||||||||||||
Less — expense reductions | (822,678 | ) | (347,400 | ) | (101,984 | ) | (610,339 | ) | ||||||||||
| Net expenses | 24,809,641 | 2,924,188 | 13,003,056 | 6,475,419 | ||||||||||||||
| NET INVESTMENT INCOME | 56,637,798 | 9,991,591 | 13,942,061 | 15,139,736 | ||||||||||||||
| Realized and unrealized gain (loss): |
| |||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||||
Investments — unaffiliated issuers | 163,369,637 | (11,829,198 | ) | 5,504,971 | (18,273,528 | ) | ||||||||||||
In-kind transactions | �� | — | — | 19,283,017 | — | |||||||||||||
Futures contracts | 2,301,331 | 228,466 | 1,554,335 | 1,100,297 | ||||||||||||||
Foreign currency transactions | — | 35,469 | — | (374,819 | ) | |||||||||||||
Written options | (49,944,297 | ) | (11,741,907 | ) | — | — | ||||||||||||
Net change in unrealized gain (loss) on: |
| |||||||||||||||||
Investments — unaffiliated issuers | 508,228,661 | 56,014,360 | 345,031,639 | 125,648,349 | ||||||||||||||
Futures contracts | 256,158 | 12,641 | 485,166 | (40,968 | ) | |||||||||||||
Foreign currency translation | — | 2,281 | — | 256,201 | ||||||||||||||
Written options | (31,963,073 | ) | 331,340 | — | — | |||||||||||||
| Net realized and unrealized gain | 592,248,417 | 33,053,452 | 371,859,128 | 108,315,532 | ||||||||||||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 648,886,215 | $ | 43,045,043 | $ | 385,801,189 | $ | 123,455,268 | ||||||||||
| (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 | Class A | Class C | Institutional | Service | Investor | Class P | Class R6 | |||||||||||||||||||||||||||
U.S. Equity Dividend and Premium | $ | 491,029 | $ | 1,421,162 | $ | 343,807 | $ | 248,804 | $ | 483,132 | N/A | $ | 799,677 | $ | 198,463 | $ | 81,354 | |||||||||||||||||||
International Equity Dividend and Premium | 6,324 | 9,627 | 4,426 | 1,689 | 4,761 | N/A | 17,731 | 44,890 | 40,002 | |||||||||||||||||||||||||||
U.S. Tax-Managed Equity | 158,189 | 162,090 | 110,649 | 28,343 | 15,830 | $ | 528 | 34,984 | 36,556 | 435,927 | ||||||||||||||||||||||||||
International Tax-Managed Equity | 21,376 | 19,224 | 14,965 | 3,386 | 6,933 | N/A | 30,208 | 19,752 | 181,724 | |||||||||||||||||||||||||||
| 44 | The accompanying notes are an integral part of these financial statements. |
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 Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||||||||
| From operations: |
| |||||||||||||||||||||
Net investment income | $ | 56,637,798 | $ | 63,743,516 | $ | 9,991,591 | $ | 11,805,837 | ||||||||||||||
Net realized gain (loss) | 115,726,671 | 190,385,768 | (23,307,170 | ) | (1,079,490 | ) | ||||||||||||||||
Net change in unrealized gain (loss) | 476,521,746 | (457,858,509 | ) | 56,360,622 | (61,449,995 | ) | ||||||||||||||||
| Net increase (decrease) in net assets resulting from operations | 648,886,215 | (203,729,225 | ) | 43,045,043 | (50,723,648 | ) | ||||||||||||||||
| Distributions to shareholders: |
| |||||||||||||||||||||
From distributable earnings: | ||||||||||||||||||||||
Class A Shares | (12,317,992 | ) | (15,468,512 | ) | (76,488 | ) | (91,884 | ) | ||||||||||||||
Class C Shares | (7,963,688 | ) | (9,209,896 | ) | (19,707 | ) | (54,797 | ) | ||||||||||||||
Institutional Shares | (83,155,476 | ) | (97,415,908 | ) | (386,903 | ) | (2,464,098 | ) | ||||||||||||||
Investor Shares | (30,565,347 | ) | (33,144,596 | ) | (333,197 | ) | (187,293 | ) | ||||||||||||||
Class P Shares(a) | (45,356,789 | ) | (50,730,626 | ) | (4,959,202 | ) | (5,301,151 | ) | ||||||||||||||
Class R6 Shares(b) | (18,521,538 | ) | (18,072,196 | ) | (4,485,573 | ) | (3,555,021 | ) | ||||||||||||||
| Total distributions to shareholders | (197,880,830 | ) | (224,041,734 | ) | (10,261,070 | ) | (11,654,244 | ) | ||||||||||||||
| From share transactions: |
| |||||||||||||||||||||
Proceeds from sales of shares | 555,903,025 | 1,907,832,243 | 26,833,126 | 423,531,802 | ||||||||||||||||||
Reinvestment of distributions | 178,230,864 | 201,664,139 | 10,142,151 | 11,429,363 | ||||||||||||||||||
Cost of shares redeemed | (948,128,821 | ) | (2,407,191,500 | ) | (85,804,588 | ) | (471,997,811 | ) | ||||||||||||||
| Net decrease in net assets resulting from share transactions | (213,994,932 | ) | (297,695,118 | ) | (48,829,311 | ) | (37,036,646 | ) | ||||||||||||||
| TOTAL INCREASE (DECREASE) | 237,010,453 | (725,466,077 | ) | (16,045,338 | ) | (99,414,538 | ) | |||||||||||||||
| Net Assets: |
| |||||||||||||||||||||
Beginning of year | 2,766,223,780 | 3,491,689,857 | 314,826,219 | 414,240,757 | ||||||||||||||||||
End of year | $ | 3,003,234,233 | $ | 2,766,223,780 | $ | 298,780,881 | $ | 314,826,219 | ||||||||||||||
| (a) | Commenced operations on April 17, 2018. |
| (b) | Commenced operations on April 30, 2018. |
| The accompanying notes are an integral part of these financial statements. | 45 |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Statements of Changes in Net Assets(continued)
| U.S. Tax-Managed Equity Fund | International Tax-Managed Equity Fund | |||||||||||||||||||||
| For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||||||||
| From operations: |
| |||||||||||||||||||||
Net investment income | $ | 13,942,061 | $ | 12,721,634 | $ | 15,139,736 | $ | 14,175,859 | ||||||||||||||
Net realized gain (loss) | 26,342,323 | 81,954,561 | (17,548,050 | ) | (11,451,104 | ) | ||||||||||||||||
Net change in unrealized gain (loss) | 345,516,805 | (220,615,121 | ) | 125,863,582 | (132,332,601 | ) | ||||||||||||||||
| Net increase (decrease) in net assets resulting from operations | 385,801,189 | (125,938,926 | ) | 123,455,268 | (129,607,846 | ) | ||||||||||||||||
| Distributions to shareholders: |
| |||||||||||||||||||||
From distributable earnings: | ||||||||||||||||||||||
Class A Shares | (256,162 | ) | (319,218 | ) | (133,362 | ) | (143,812 | ) | ||||||||||||||
Class C Shares | — | — | (5,182 | ) | (20,693 | ) | ||||||||||||||||
Institutional Shares | (302,740 | ) | (36,134 | ) | (311,091 | ) | (355,413 | ) | ||||||||||||||
Service Shares | (4,899 | ) | (2,719 | ) | — | — | ||||||||||||||||
Investor Shares | (125,263 | ) | (134,928 | ) | (337,602 | ) | (297,404 | ) | ||||||||||||||
Class P Shares(a) | (956,057 | ) | (908,225 | ) | (1,284,575 | ) | (1,579,421 | ) | ||||||||||||||
Class R6 Shares(b) | (10,960,763 | ) | (11,402,299 | ) | (12,928,884 | ) | (11,604,834 | ) | ||||||||||||||
| Total distributions to shareholders | (12,605,884 | ) | (12,803,523 | ) | (15,000,696 | ) | (14,001,577 | ) | ||||||||||||||
| From share transactions: |
| |||||||||||||||||||||
Proceeds from sales of shares | 195,337,423 | 1,849,737,045 | 93,090,956 | 859,458,016 | ||||||||||||||||||
Proceeds paid in connection within-kind transactions | (25,670,000 | ) | (121,370,000 | ) | — | — | ||||||||||||||||
Reinvestment of distributions | 12,530,951 | 12,780,494 | 14,995,925 | 13,987,660 | ||||||||||||||||||
Cost of shares redeemed | (172,378,629 | ) | (1,601,182,871 | ) | (82,269,248 | ) | (739,640,420 | ) | ||||||||||||||
| Net increase in net assets resulting from share transactions | 9,819,745 | 139,964,668 | 25,817,633 | 133,805,256 | ||||||||||||||||||
| TOTAL INCREASE (DECREASE) | 383,015,050 | 1,222,219 | 134,272,205 | (9,804,167 | ) | |||||||||||||||||
| Net Assets: |
| |||||||||||||||||||||
Beginning of year | 1,487,100,051 | 1,485,877,832 | 637,120,959 | 646,925,126 | ||||||||||||||||||
End of year | $ | 1,870,115,101 | $ | 1,487,100,051 | $ | 771,393,164 | $ | 637,120,959 | ||||||||||||||
| (a) | Commenced operations on April 17, 2018. |
| (b) | Commenced operations on April 30, 2018. |
| 46 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Selected Data for a Share Outstanding Throughout Each Year
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. |
| The accompanying notes are an integral part of these financial statements. | 47 |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs U.S. Equity Dividend and Premium Fund | ||||||||||||||||||||||
| Class C Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 11.41 | $ | 13.11 | $ | 12.07 | $ | 11.31 | $ | 11.74 | ||||||||||||
Net investment income(a) | 0.12 | 0.11 | 0.10 | 0.11 | 0.12 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.57 | (1.05 | ) | 1.60 | 1.21 | 0.03 | ||||||||||||||||
Total from investment operations | 2.69 | (0.94 | ) | 1.70 | 1.32 | 0.15 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.12 | ) | (0.12 | ) | (0.10 | ) | (0.11 | ) | (0.11 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.65 | ) | (0.64 | ) | (0.56 | ) | (0.45 | ) | (0.47 | ) | ||||||||||||
Total distributions | (0.77 | ) | (0.76 | ) | (0.66 | ) | (0.56 | ) | (0.58 | ) | ||||||||||||
Net asset value, end of year | $ | 13.33 | $ | 11.41 | $ | 13.11 | $ | 12.07 | $ | 11.31 | ||||||||||||
| Total return(b) | 23.72 | % | (7.38 | )% | 13.99 | % | 11.92 | % | 1.26 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 141,029 | $ | 139,580 | $ | 177,178 | $ | 142,909 | $ | 90,091 | ||||||||||||
Ratio of net expenses to average net assets | 1.87 | % | 1.87 | % | 1.88 | % | 1.91 | % | 1.92 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.91 | % | 1.90 | % | 1.90 | % | 1.94 | % | 1.95 | % | ||||||||||||
Ratio of net investment income to average net assets | 0.90 | % | 0.86 | % | 0.76 | % | 0.92 | % | 1.01 | % | ||||||||||||
Portfolio turnover rate(c) | 26 | % | 37 | % | 34 | % | 23 | % | 39 | % | ||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. |
| 48 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs U.S. Equity Dividend and Premium Fund | ||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 11.43 | $ | 13.13 | $ | 12.09 | $ | 11.31 | $ | 11.73 | ||||||||||||
Net investment income(a) | 0.26 | 0.27 | 0.24 | 0.24 | 0.25 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.57 | (1.06 | ) | 1.60 | 1.22 | 0.04 | ||||||||||||||||
Total from investment operations | 2.83 | (0.79 | ) | 1.84 | 1.46 | 0.29 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.26 | ) | (0.27 | ) | (0.24 | ) | (0.23 | ) | (0.24 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.65 | ) | (0.64 | ) | (0.56 | ) | (0.45 | ) | (0.47 | ) | ||||||||||||
Total distributions | (0.91 | ) | (0.91 | ) | (0.80 | ) | (0.68 | ) | (0.71 | ) | ||||||||||||
Net asset value, end of year | $ | 13.35 | $ | 11.43 | $ | 13.13 | $ | 12.09 | $ | 11.31 | ||||||||||||
| Total return(b) | 25.06 | % | (6.28 | )% | 15.31 | % | 13.17 | % | 2.49 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 1,242,858 | $ | 1,106,179 | $ | 2,565,883 | $ | 2,062,756 | $ | 1,262,977 | ||||||||||||
Ratio of net expenses to average net assets | 0.75 | % | 0.74 | % | 0.74 | % | 0.76 | % | 0.77 | % | ||||||||||||
Ratio of total expenses to average net assets | 0.77 | % | 0.76 | % | 0.76 | % | 0.79 | % | 0.80 | % | ||||||||||||
Ratio of net investment income to average net assets | 2.02 | % | 2.01 | % | 1.89 | % | 2.07 | % | 2.15 | % | ||||||||||||
Portfolio turnover rate(c) | 26 | % | 37 | % | 34 | % | 23 | % | 39 | % | ||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. |
| The accompanying notes are an integral part of these financial statements. | 49 |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs U.S. Equity Dividend and Premium Fund | ||||||||||||||||||||||
| Investor Shares(a) | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 11.44 | $ | 13.14 | $ | 12.10 | $ | 11.33 | $ | 11.75 | ||||||||||||
Net investment income(b) | 0.25 | 0.25 | 0.23 | 0.23 | 0.24 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.57 | (1.06 | ) | 1.60 | 1.21 | 0.04 | ||||||||||||||||
Total from investment operations | 2.82 | (0.81 | ) | 1.83 | 1.44 | 0.28 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.25 | ) | (0.25 | ) | (0.23 | ) | (0.22 | ) | (0.23 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.65 | ) | (0.64 | ) | (0.56 | ) | (0.45 | ) | (0.47 | ) | ||||||||||||
Total distributions | (0.90 | ) | (0.89 | ) | (0.79 | ) | (0.67 | ) | (0.70 | ) | ||||||||||||
Net asset value, end of year | $ | 13.36 | $ | 11.44 | $ | 13.14 | $ | 12.10 | $ | 11.33 | ||||||||||||
| Total return(c) | 25.00 | % | (6.47 | )% | 15.18 | % | 12.92 | % | 2.34 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 468,254 | $ | 432,136 | $ | 473,178 | $ | 174,527 | $ | 54,106 | ||||||||||||
Ratio of net expenses to average net assets | 0.87 | % | 0.87 | % | 0.88 | % | 0.91 | % | 0.92 | % | ||||||||||||
Ratio of total expenses to average net assets | 0.91 | % | 0.90 | % | 0.90 | % | 0.94 | % | 0.95 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.90 | % | 1.86 | % | 1.76 | % | 1.90 | % | 2.03 | % | ||||||||||||
Portfolio turnover rate(d) | 26 | % | 37 | % | 34 | % | 23 | % | 39 | % | ||||||||||||
| (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 year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. |
| 50 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Period
| Goldman Sachs U.S. Equity Dividend and Premium Fund | ||||||||||
| Class P Shares | ||||||||||
| Year Ended December 31, 2019 | April 17, 2018* to December 31, 2018 | |||||||||
| Per Share Data |
| |||||||||
Net asset value, beginning of period | $ | 11.43 | $ | 13.12 | ||||||
Net investment income(a) | 0.26 | 0.18 | ||||||||
Net realized and unrealized gain (loss) | 2.56 | (1.03 | ) | |||||||
Total from investment operations | 2.82 | (0.85 | ) | |||||||
Distributions to shareholders from net investment income | (0.26 | ) | (0.20 | ) | ||||||
Distributions to shareholders from net realized gains | (0.65 | ) | (0.64 | ) | ||||||
Total distributions | (0.91 | ) | (0.84 | ) | ||||||
Net asset value, end of period | $ | 13.34 | $ | 11.43 | ||||||
| Total return(b) | 25.07 | % | (6.73 | )% | ||||||
Net assets, end of period (in 000s) | $ | 679,431 | $ | 648,424 | ||||||
Ratio of net expenses to average net assets | 0.74 | % | 0.73 | %(c) | ||||||
Ratio of total expenses to average net assets | 0.76 | % | 0.76 | %(c) | ||||||
Ratio of net investment income to average net assets | 2.03 | % | 1.93 | %(c) | ||||||
Portfolio turnover rate(d) | 26 | % | 37 | % | ||||||
| * | Commencement of operations. |
| (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 (if any). 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. | 51 |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Period
| Goldman Sachs U.S. Equity Dividend and Premium Fund | ||||||||||
| Class R6 Shares | ||||||||||
| Year Ended December 31, 2019 | April 30, 2018* to December 31, 2018 | |||||||||
| Per Share Data |
| |||||||||
Net asset value, beginning of period | $ | 11.42 | $ | 12.84 | ||||||
Net investment income(a) | 0.26 | 0.17 | ||||||||
Net realized and unrealized gain (loss) | 2.57 | (0.75 | ) | |||||||
Total from investment operations | 2.83 | (0.58 | ) | |||||||
Distributions to shareholders from net investment income | (0.26 | ) | (0.20 | ) | ||||||
Distributions to shareholders from net realized gains | (0.65 | ) | (0.64 | ) | ||||||
Total distributions | (0.91 | ) | (0.84 | ) | ||||||
Net asset value, end of period | $ | 13.34 | $ | 11.42 | ||||||
| Total return(b) | 25.09 | % | (4.78 | )% | ||||||
Net assets, end of period (in 000s) | $ | 275,973 | $ | 252,381 | ||||||
Ratio of net expenses to average net assets | 0.74 | % | 0.73 | %(c) | ||||||
Ratio of total expenses to average net assets | 0.76 | % | 0.76 | %(c) | ||||||
Ratio of net investment income to average net assets | 2.03 | % | 1.91 | %(c) | ||||||
Portfolio turnover rate(d) | 26 | % | 37 | % | ||||||
| * | Commencement of operations. |
| (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 (if any). 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. |
| 52 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from a corporate action which amounted to $0.03 per share and 0.38% of average net assets. |
| (c) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. | 53 |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs International Equity Dividend and Premium Fund | ||||||||||||||||||||||
| Class C Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 6.32 | $ | 7.48 | $ | 6.21 | $ | 6.35 | $ | 6.94 | ||||||||||||
Net investment income(a) | 0.14 | 0.16 | 0.09 | 0.12 | 0.09 | (b) | ||||||||||||||||
Net realized and unrealized gain (loss) | 0.71 | (1.20 | ) | 1.30 | (0.14 | ) | (0.47 | ) | ||||||||||||||
Total from investment operations | 0.85 | (1.04 | ) | 1.39 | (0.02 | ) | (0.38 | ) | ||||||||||||||
Distributions to shareholders from net investment income | (0.15 | ) | (0.12 | ) | (0.12 | ) | (0.12 | ) | (0.10 | ) | ||||||||||||
Distributions to shareholders from net realized gains | — | — | — | — | (0.11 | ) | ||||||||||||||||
Total distributions | (0.15 | ) | (0.12 | ) | (0.12 | ) | (0.12 | ) | (0.21 | ) | ||||||||||||
Net asset value, end of year | $ | 7.02 | $ | 6.32 | $ | 7.48 | $ | 6.21 | $ | 6.35 | ||||||||||||
| Total return(c) | 13.54 | % | (14.01 | )% | 22.50 | % | (0.21 | )% | (5.59 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 815 | $ | 1,252 | $ | 4,276 | $ | 2,549 | $ | 3,329 | ||||||||||||
Ratio of net expenses to average net assets | 2.08 | % | 2.09 | % | 2.09 | % | 2.12 | % | 2.12 | % | ||||||||||||
Ratio of total expenses to average net assets | 2.19 | % | 2.11 | % | 2.09 | % | 2.13 | % | 2.12 | % | ||||||||||||
Ratio of net investment income to average net assets | 2.11 | % | 2.24 | % | 1.29 | % | 2.00 | % | 1.38 | %(b) | ||||||||||||
Portfolio turnover rate(d) | 9 | % | 14 | % | 17 | % | 18 | % | 100 | % | ||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from a corporate action which amounted to $0.03 per share and 0.38% of average net assets. |
| (c) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. |
| 54 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs International Equity Dividend and Premium Fund | ||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 6.42 | $ | 7.62 | $ | 6.32 | $ | 6.46 | $ | 7.03 | ||||||||||||
Net investment income(a) | 0.22 | 0.31 | 0.18 | 0.19 | 0.18 | (b) | ||||||||||||||||
Net realized and unrealized gain (loss) | 0.73 | (1.29 | ) | 1.31 | (0.14 | ) | (0.48 | ) | ||||||||||||||
Total from investment operations | 0.95 | (0.98 | ) | 1.49 | 0.05 | (0.30 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.23 | ) | (0.22 | ) | (0.19 | ) | (0.19 | ) | (0.16 | ) | ||||||||||||
Distributions to shareholders from net realized gains | — | — | — | — | (0.11 | ) | ||||||||||||||||
Total distributions | (0.23 | ) | (0.22 | ) | (0.19 | ) | (0.19 | ) | (0.27 | ) | ||||||||||||
Net asset value, end of year | $ | 7.14 | $ | 6.42 | $ | 7.62 | $ | 6.32 | $ | 6.46 | ||||||||||||
| Total return(c) | 14.82 | % | (12.96 | )% | 23.85 | % | 0.92 | % | (4.42 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 12,005 | $ | 15,696 | $ | 399,955 | $ | 307,311 | $ | 281,204 | ||||||||||||
Ratio of net expenses to average net assets | 0.95 | % | 0.95 | % | 0.95 | % | 0.97 | % | 0.97 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.06 | % | 0.95 | % | 0.95 | % | 0.98 | % | 0.97 | % | ||||||||||||
Ratio of net investment income to average net assets | 3.28 | % | 4.12 | % | 2.58 | % | 3.08 | % | 2.65 | %(b) | ||||||||||||
Portfolio turnover rate(d) | 9 | % | 14 | % | 17 | % | 18 | % | 100 | % | ||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Reflects income recognized from a corporate action which amounted to $0.03 per share and 0.38% of average net assets. |
| (c) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. | 55 |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs International Equity Dividend and Premium Fund | ||||||||||||||||||||||
| Investor Shares(a) | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 6.41 | $ | 7.60 | $ | 6.31 | $ | 6.44 | $ | 7.02 | ||||||||||||
Net investment income(b) | 0.21 | 0.20 | 0.17 | 0.17 | 0.16 | (c) | ||||||||||||||||
Net realized and unrealized gain (loss) | 0.72 | (1.18 | ) | 1.30 | (0.11 | ) | (0.48 | ) | ||||||||||||||
Total from investment operations | 0.93 | (0.98 | ) | 1.47 | 0.06 | (0.32 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.22 | ) | (0.21 | ) | (0.18 | ) | (0.19 | ) | (0.15 | ) | ||||||||||||
Distributions to shareholders from net realized gains | — | — | — | — | (0.11 | ) | ||||||||||||||||
Total distributions | (0.22 | ) | (0.21 | ) | (0.18 | ) | (0.19 | ) | (0.26 | ) | ||||||||||||
Net asset value, end of year | $ | 7.12 | $ | 6.41 | $ | 7.60 | $ | 6.31 | $ | 6.44 | ||||||||||||
| Total return(d) | 14.71 | % | (13.10 | )% | 23.58 | % | 0.96 | % | (4.69 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 8,915 | $ | 8,207 | $ | 6,048 | $ | 2,111 | $ | 749 | ||||||||||||
Ratio of net expenses to average net assets | 1.08 | % | 1.09 | % | 1.09 | % | 1.12 | % | 1.12 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.19 | % | 1.14 | % | 1.09 | % | 1.13 | % | 1.12 | % | ||||||||||||
Ratio of net investment income to average net assets | 3.14 | % | 2.76 | % | 2.36 | % | 2.64 | % | 2.33 | %(c) | ||||||||||||
Portfolio turnover rate(e) | 9 | % | 14 | % | 17 | % | 18 | % | 100 | % | ||||||||||||
| (a) | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | Reflects income recognized from a corporate action which amounted to $0.03 per share and 0.38% of average net assets. |
| (d) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. |
| 56 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Period
| Goldman Sachs International Equity Dividend and Premium Fund | ||||||||||
| Class P Shares | ||||||||||
| Year Ended December 31, 2019 | April 17, 2018* to December 31, 2018 | |||||||||
| Per Share Data |
| |||||||||
Net asset value, beginning of period | $ | 6.43 | $ | 7.71 | ||||||
Net investment income(a) | 0.22 | 0.09 | ||||||||
Net realized and unrealized gain (loss) | 0.72 | (1.18 | ) | |||||||
Total from investment operations | 0.94 | (1.09 | ) | |||||||
Distributions to shareholders from net investment income | (0.23 | ) | (0.19 | ) | ||||||
Net asset value, end of period | $ | 7.14 | $ | 6.43 | ||||||
| Total return(b) | 14.83 | % | (14.35 | )% | ||||||
Net assets, end of period (in 000s) | $ | 138,381 | $ | 162,129 | ||||||
Ratio of net expenses to average net assets | 0.94 | % | 0.93 | %(c) | ||||||
Ratio of total expenses to average net assets | 1.05 | % | 1.03 | %(c) | ||||||
Ratio of net investment income to average net assets | 3.26 | % | 1.81 | %(c) | ||||||
Portfolio turnover rate(d) | 9 | % | 14 | % | ||||||
| * | Commencement of operations. |
| (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 (if any). 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. | 57 |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Period
| Goldman Sachs International Equity Dividend and Premium Fund | ||||||||||
| Class R6 Shares | ||||||||||
| Year Ended December 31, 2019 | April 30, 2018* to December 31, 2018 | |||||||||
| Per Share Data |
| |||||||||
Net asset value, beginning of period | $ | 6.42 | $ | 7.60 | ||||||
Net investment income(a) | 0.22 | 0.08 | ||||||||
Net realized and unrealized gain (loss) | 0.72 | (1.07 | ) | |||||||
Total from investment operations | 0.94 | (0.99 | ) | |||||||
Distributions to shareholders from net investment income | (0.23 | ) | (0.19 | ) | ||||||
Net asset value, end of period | $ | 7.13 | $ | 6.42 | ||||||
| Total return(b) | 14.85 | % | (13.25 | )% | ||||||
Net assets, end of period (in 000s) | $ | 136,241 | $ | 125,311 | ||||||
Ratio of net expenses to average net assets | 0.94 | % | 0.93 | %(c) | ||||||
Ratio of total expenses to average net assets | 1.05 | % | 1.03 | %(c) | ||||||
Ratio of net investment income to average net assets | 3.23 | % | 1.81 | %(c) | ||||||
Portfolio turnover rate(d) | 9 | % | 14 | % | ||||||
| * | Commencement of operations. |
| (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 (if any). 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. |
| 58 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. |
| The accompanying notes are an integral part of these financial statements. | 59 |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs U.S. Tax-Managed Equity Fund | ||||||||||||||||||||||
| Class C Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 19.36 | $ | 21.24 | $ | 17.86 | $ | 16.48 | $ | 16.67 | ||||||||||||
Net investment loss(a) | (0.06 | ) | (0.07 | ) | (0.03 | ) | (0.02 | ) | — | (b) | ||||||||||||
Net realized and unrealized gain (loss) | 4.81 | (1.81 | ) | 3.41 | 1.40 | (0.18 | ) | |||||||||||||||
Total from investment operations | 4.75 | (1.88 | ) | 3.38 | 1.38 | (0.18 | ) | |||||||||||||||
Distributions to shareholders from net investment income | — | — | — | — | (0.01 | ) | ||||||||||||||||
Net asset value, end of year | $ | 24.11 | $ | 19.36 | $ | 21.24 | $ | 17.86 | $ | 16.48 | ||||||||||||
| Total return(c) | 24.54 | % | (8.85 | )% | 18.93 | % | 8.35 | % | (1.05 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 18,341 | $ | 14,380 | $ | 22,337 | $ | 22,512 | $ | 22,194 | ||||||||||||
Ratio of net expenses to average net assets | 1.85 | % | 1.88 | % | 1.90 | % | 1.92 | % | 1.92 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.88 | % | 1.89 | % | 1.90 | % | 1.92 | % | 1.92 | % | ||||||||||||
Ratio of net investment loss to average net assets | (0.28 | )% | (0.33 | )% | (0.14 | )% | (0.15 | )% | (0.02 | )% | ||||||||||||
Portfolio turnover rate(d) | 205 | % | 152 | % | 108 | % | 118 | % | 96 | % | ||||||||||||
| (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 year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. |
| 60 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs U.S. Tax-Managed Equity Fund | ||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 20.91 | $ | 22.71 | $ | 19.04 | $ | 17.53 | $ | 17.69 | ||||||||||||
Net investment income(a) | 0.20 | 0.19 | 0.21 | 0.18 | 0.20 | |||||||||||||||||
Net realized and unrealized gain (loss) | 5.23 | (1.97 | ) | 3.65 | 1.51 | (0.18 | ) | |||||||||||||||
Total from investment operations | 5.43 | (1.78 | ) | 3.86 | 1.69 | 0.02 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.18 | ) | (0.02 | ) | (0.19 | ) | (0.18 | ) | (0.18 | ) | ||||||||||||
Net asset value, end of year | $ | 26.16 | $ | 20.91 | $ | 22.71 | $ | 19.04 | $ | 17.53 | ||||||||||||
| Total return(b) | 25.90 | % | (7.78 | )% | 20.29 | % | 9.61 | % | 0.10 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 45,718 | $ | 34,812 | $ | 1,395,335 | $ | 1,057,850 | $ | 957,273 | ||||||||||||
Ratio of net expenses to average net assets | 0.74 | % | 0.74 | % | 0.75 | % | 0.77 | % | 0.77 | % | ||||||||||||
Ratio of total expenses to average net assets | 0.75 | % | 0.74 | % | 0.75 | % | 0.77 | % | 0.77 | % | ||||||||||||
Ratio of net investment income to average net assets | 0.83 | % | 0.79 | % | 1.02 | % | 1.01 | % | 1.12 | % | ||||||||||||
Portfolio turnover rate(c) | 205 | % | 152 | % | 108 | % | 118 | % | 96 | % | ||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. |
| The accompanying notes are an integral part of these financial statements. | 61 |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs U.S. Tax-Managed Equity Fund | ||||||||||||||||||||||
| Service Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 20.57 | $ | 22.51 | $ | 18.88 | $ | 17.33 | $ | 17.53 | ||||||||||||
Net investment income(a) | 0.08 | 0.08 | 0.11 | 0.09 | 0.12 | |||||||||||||||||
Net realized and unrealized gain (loss) | 5.13 | (1.94 | ) | 3.61 | 1.49 | (0.19 | ) | |||||||||||||||
Total from investment operations | 5.21 | (1.86 | ) | 3.72 | 1.58 | (0.07 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.08 | ) | (0.08 | ) | (0.09 | ) | (0.03 | ) | (0.13 | ) | ||||||||||||
Net asset value, end of year | $ | 25.70 | $ | 20.57 | $ | 22.51 | $ | 18.88 | $ | 17.33 | ||||||||||||
| Total return(b) | 25.31 | % | (8.26 | )% | 19.71 | % | 9.07 | % | (0.41 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 1,649 | $ | 732 | $ | 736 | $ | 614 | $ | 1,236 | ||||||||||||
Ratio of net expenses to average net assets | 1.24 | % | 1.25 | % | 1.25 | % | 1.27 | % | 1.27 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.25 | % | 1.25 | % | 1.25 | % | 1.27 | % | 1.27 | % | ||||||||||||
Ratio of net investment income to average net assets | 0.33 | % | 0.33 | % | 0.52 | % | 0.53 | % | 0.67 | % | ||||||||||||
Portfolio turnover rate(c) | 205 | % | 152 | % | 108 | % | 118 | % | 96 | % | ||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. |
| 62 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs U.S. Tax-Managed Equity Fund | ||||||||||||||||||||||
| Investor Shares(a) | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 20.73 | $ | 22.70 | $ | 19.03 | $ | 17.54 | $ | 17.70 | ||||||||||||
Net investment income(b) | 0.17 | 0.16 | 0.18 | 0.15 | 0.18 | |||||||||||||||||
Net realized and unrealized gain (loss) | 5.18 | (1.97 | ) | 3.65 | 1.50 | (0.18 | ) | |||||||||||||||
Total from investment operations | 5.35 | (1.81 | ) | 3.83 | 1.65 | — | (c) | |||||||||||||||
Distributions to shareholders from net investment income | (0.15 | ) | (0.16 | ) | (0.16 | ) | (0.16 | ) | (0.16 | ) | ||||||||||||
Net asset value, end of year | $ | 25.93 | $ | 20.73 | $ | 22.70 | $ | 19.03 | $ | 17.54 | ||||||||||||
| Total return(d) | 25.82 | % | (7.95 | )% | 20.14 | % | 9.40 | % | (0.03 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 21,591 | $ | 17,894 | $ | 17,251 | $ | 14,262 | $ | 6,799 | ||||||||||||
Ratio of net expenses to average net assets | 0.85 | % | 0.89 | % | 0.90 | % | 0.92 | % | 0.92 | % | ||||||||||||
Ratio of total expenses to average net assets | 0.88 | % | 0.89 | % | 0.90 | % | 0.93 | % | 0.92 | % | ||||||||||||
Ratio of net investment income to average net assets | 0.72 | % | 0.68 | % | 0.88 | % | 0.84 | % | 0.99 | % | ||||||||||||
Portfolio turnover rate(e) | 205 | % | 152 | % | 108 | % | 118 | % | 96 | % | ||||||||||||
| (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 year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. | 63 |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Period
| Goldman Sachs U.S. Tax-Managed Equity Fund | ||||||||||
| Class P Shares | ||||||||||
| Year Ended December 31, 2019 | April 17, 2018* to December 31, 2018 | |||||||||
| Per Share Data |
| |||||||||
Net asset value, beginning of period | $ | 20.74 | $ | 23.43 | ||||||
Net investment income(a) | 0.20 | 0.16 | ||||||||
Net realized and unrealized gain (loss) | 5.18 | (2.66 | ) | |||||||
Total from investment operations | 5.38 | (2.50 | ) | |||||||
Distributions to shareholders from net investment income | (0.18 | ) | (0.19 | ) | ||||||
Net asset value, end of period | $ | 25.94 | $ | 20.74 | ||||||
| Total return(b) | 25.94 | % | (10.62 | )% | ||||||
Net assets, end of period (in 000s) | $ | 138,399 | $ | 97,892 | ||||||
Ratio of net expenses to average net assets | 0.73 | % | 0.74 | %(c) | ||||||
Ratio of total expenses to average net assets | 0.74 | % | 0.75 | %(c) | ||||||
Ratio of net investment income to average net assets | 0.83 | % | 0.95 | %(c) | ||||||
Portfolio turnover rate(d) | 205 | % | 152 | % | ||||||
| * | Commencement of operations. |
| (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 (if any). 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. |
| 64 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Period
| Goldman Sachs U.S. Tax-Managed Equity Fund | ||||||||||
| Class R6 Shares | ||||||||||
| Year Ended December 31, 2019 | April 30, 2018* to December 31, 2018 | |||||||||
| Per Share Data |
| |||||||||
Net asset value, beginning of period | $ | 20.73 | $ | 22.93 | ||||||
Net investment income(a) | 0.20 | 0.13 | ||||||||
Net realized and unrealized gain (loss) | 5.18 | (2.14 | ) | |||||||
Total from investment operations | 5.38 | (2.01 | ) | |||||||
Distributions to shareholders from net investment income | (0.18 | ) | (0.19 | ) | ||||||
Net asset value, end of period | $ | 25.93 | $ | 20.73 | ||||||
| Total return(b) | 25.96 | % | (8.72 | )% | ||||||
Net assets, end of period (in 000s) | $ | 1,575,990 | $ | 1,263,556 | ||||||
Ratio of net expenses to average net assets | 0.73 | % | 0.74 | %(c) | ||||||
Ratio of total expenses to average net assets | 0.74 | % | 0.74 | %(c) | ||||||
Ratio of net investment income to average net assets | 0.84 | % | 0.85 | %(c) | ||||||
Portfolio turnover rate(d) | 205 | % | 152 | % | ||||||
| * | Commencement of operations. |
| (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 (if any). 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. | 65 |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. |
| 66 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs International Tax-Managed Equity Fund | ||||||||||||||||||||||
| Class C Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 8.68 | $ | 10.59 | $ | 8.39 | $ | 8.45 | $ | 8.27 | ||||||||||||
Net investment income(a) | 0.12 | 0.10 | 0.04 | 0.06 | 0.02 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.42 | (1.94 | ) | 2.30 | (0.05 | ) | 0.23 | |||||||||||||||
Total from investment operations | 1.54 | (1.84 | ) | 2.34 | 0.01 | 0.25 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.04 | ) | (0.07 | ) | (0.14 | ) | (0.07 | ) | (0.07 | ) | ||||||||||||
Net asset value, end of year | $ | 10.18 | $ | 8.68 | $ | 10.59 | $ | 8.39 | $ | 8.45 | ||||||||||||
| Total return(b) | 17.74 | % | (17.39 | )% | 27.85 | % | 0.11 | % | 3.07 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 1,308 | $ | 2,551 | $ | 2,661 | $ | 1,012 | $ | 812 | ||||||||||||
Ratio of net expenses to average net assets | 2.01 | % | 2.04 | % | 2.06 | % | 2.13 | % | 2.13 | % | ||||||||||||
Ratio of total expenses to average net assets | 2.12 | % | 2.12 | % | 2.11 | % | 2.14 | % | 2.13 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.25 | % | 1.01 | % | 0.40 | % | 0.67 | % | 0.20 | % | ||||||||||||
Portfolio turnover rate(c) | 231 | % | 177 | % | 134 | % | 125 | % | 113 | % | ||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. |
| The accompanying notes are an integral part of these financial statements. | 67 |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs International Tax-Managed Equity Fund | ||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 8.91 | $ | 10.85 | $ | 8.54 | $ | 8.59 | $ | 8.36 | ||||||||||||
Net investment income(a) | 0.21 | 0.31 | 0.17 | 0.16 | 0.15 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.48 | (2.10 | ) | 2.34 | (0.05 | ) | 0.21 | |||||||||||||||
Total from investment operations | 1.69 | (1.79 | ) | 2.51 | 0.11 | 0.36 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.20 | ) | (0.15 | ) | (0.20 | ) | (0.16 | ) | (0.13 | ) | ||||||||||||
Net asset value, end of year | $ | 10.40 | $ | 8.91 | $ | 10.85 | $ | 8.54 | $ | 8.59 | ||||||||||||
| Total return(b) | 19.01 | % | (16.49 | )% | 29.42 | % | 1.26 | % | 4.26 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 15,783 | $ | 16,948 | $ | 619,288 | $ | 519,135 | $ | 426,168 | ||||||||||||
Ratio of net expenses to average net assets | 0.90 | % | 0.90 | % | 0.92 | % | 0.98 | % | 0.98 | % | ||||||||||||
Ratio of total expenses to average net assets | 0.99 | % | 0.96 | % | 0.97 | % | 0.99 | % | 0.99 | % | ||||||||||||
Ratio of net investment income to average net assets | 2.11 | % | 2.87 | % | 1.74 | % | 1.90 | % | 1.71 | % | ||||||||||||
Portfolio turnover rate(c) | 231 | % | 177 | % | 134 | % | 125 | % | 113 | % | ||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. |
| 68 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
| Goldman Sachs International Tax-Managed Equity Fund | ||||||||||||||||||||||
| Investor Shares(a) | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 8.91 | $ | 10.91 | $ | 8.61 | $ | 8.65 | $ | 8.43 | ||||||||||||
Net investment income(b) | 0.20 | 0.19 | 0.13 | 0.15 | 0.07 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.48 | (2.00 | ) | 2.36 | (0.05 | ) | 0.27 | |||||||||||||||
Total from investment operations | 1.68 | (1.81 | ) | 2.49 | 0.10 | 0.34 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.19 | ) | (0.19 | ) | (0.19 | ) | (0.14 | ) | (0.12 | ) | ||||||||||||
Net asset value, end of year | $ | 10.40 | $ | 8.91 | $ | 10.91 | $ | 8.61 | $ | 8.65 | ||||||||||||
| Total return(c) | 18.90 | % | (16.66 | )% | 29.09 | % | 1.21 | % | 4.04 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 18,290 | $ | 14,008 | $ | 15,547 | $ | 1,251 | $ | 1,444 | ||||||||||||
Ratio of net expenses to average net assets | 1.00 | % | 1.04 | % | 1.05 | % | 1.13 | % | 1.13 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.12 | % | 1.12 | % | 1.11 | % | 1.14 | % | 1.13 | % | ||||||||||||
Ratio of net investment income to average net assets | 2.06 | % | 1.82 | % | 1.30 | % | 1.76 | % | 0.84 | % | ||||||||||||
Portfolio turnover rate(d) | 231 | % | 177 | % | 134 | % | 125 | % | 113 | % | ||||||||||||
| (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 year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). 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. |
| (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. | 69 |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Period
| Goldman Sachs International Tax-Managed Equity Fund | ||||||||||
| Class P Shares | ||||||||||
| Year Ended December 31, 2019 | April 17, 2018* to December 31, 2018 | |||||||||
| Per Share Data |
| |||||||||
Net asset value, beginning of period | $ | 8.86 | $ | 11.07 | ||||||
Net investment income(a) | 0.21 | 0.10 | ||||||||
Net realized and unrealized gain (loss) | 1.47 | (2.11 | ) | |||||||
Total from investment operations | 1.68 | (2.01 | ) | |||||||
Distributions to shareholders from net investment income | (0.20 | ) | (0.20 | ) | ||||||
Net asset value, end of period | $ | 10.34 | $ | 8.86 | ||||||
| Total return(b) | 19.02 | % | (18.09 | )% | ||||||
Net assets, end of period (in 000s) | $ | 67,038 | $ | 64,578 | ||||||
Ratio of net expenses to average net assets | 0.89 | % | 0.89 | %(c) | ||||||
Ratio of total expenses to average net assets | 0.98 | % | 1.00 | %(c) | ||||||
Ratio of net investment income to average net assets | 2.15 | % | 1.43 | %(c) | ||||||
Portfolio turnover rate(d) | 231 | % | 177 | % | ||||||
| * | Commencement of operations. |
| (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 (if any). 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. |
| 70 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Period
| Goldman Sachs International Tax-Managed Equity Fund | ||||||||||
| Class R6 Shares | ||||||||||
| Year Ended December 31, 2019 | April 30, 2018* to December 31, 2018 | |||||||||
| Per Share Data |
| |||||||||
Net asset value, beginning of period | $ | 8.85 | $ | 10.92 | ||||||
Net investment income(a) | 0.21 | 0.08 | ||||||||
Net realized and unrealized gain (loss) | 1.47 | (1.95 | ) | |||||||
Total from investment operations | 1.68 | (1.87 | ) | |||||||
Distributions to shareholders from net investment income | (0.20 | ) | (0.20 | ) | ||||||
Net asset value, end of period | $ | 10.33 | $ | 8.85 | ||||||
| Total return(b) | 19.05 | % | (17.07 | )% | ||||||
Net assets, end of period (in 000s) | $ | 660,555 | $ | 530,891 | ||||||
Ratio of net expenses to average net assets | 0.89 | % | 0.89 | %(c) | ||||||
Ratio of total expenses to average net assets | 0.98 | % | 0.99 | %(c) | ||||||
Ratio of net investment income to average net assets | 2.12 | % | 1.14 | %(c) | ||||||
Portfolio turnover rate(d) | 231 | % | 177 | % | ||||||
| * | Commencement of operations. |
| (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 (if any). 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 TAX-ADVANTAGED EQUITY FUNDS
December 31, 2019
| 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 anopen-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, InternationalTax-Managed Equity | A, C, Institutional, Investor, P and R6 | Diversified | ||
U. S. Tax-Managed Equity | A, C, Institutional, Service, Investor, P and R6 | Diversified |
Class A Shares are sold with afront-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. Each Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.
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 onex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to theex-dividend date.Non-cash dividends, if any, are recorded at the fair market value of the securities received. 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 and/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, andnon-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 astraight-line and/orpro-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.
72
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 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 theex-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 InternationalTax-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 distributable earnings 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 — Each Fund 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 asin-kind transactions. Securities included as part ofin-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;
73
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements(continued)
December 31, 2019
| 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).
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 GSAMday-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 may be valued at the closing bid price for long positions and at the closing 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 for long positions or the last ask price for short positions, 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 per share 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.
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. 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 derivatives contracts.Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments.
Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence oftwo-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives 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
74
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security. 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.
ii. Options — When a Fund writes call or put options, an amount equal to the premium received is recorded as a liability and is subsequentlymarked-to-market to reflect the current value of the option written. Swaptions are options on interest rate swap contracts or credit default 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 subsequentlymarked-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. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.
C. Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of December 31, 2019:
| U.S. EQUITY DIVIDEND AND PREMIUM |
| |||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Europe | $ | 23,303,270 | $ | — | $ | — | ||||||
North America | 2,965,758,829 | — | — | |||||||||
South America | 5,628,600 | — | — | |||||||||
Investment Company | 71,990,719 | — | — | |||||||||
Securities Lending Reinvestment Vehicle | 242,125 | — | — | |||||||||
| Total | $ | 3,066,923,543 | $ | — | $ | — | ||||||
| (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. |
75
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements(continued)
December 31, 2019
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| U.S. EQUITY DIVIDEND AND PREMIUM (continued) |
| |||||||||||
| Derivative Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets(b) | ||||||||||||
Futures Contracts | $ | 29,975 | $ | — | $ | — | ||||||
| Liabilities | ||||||||||||
Written Options Contracts | $ | (45,820,340 | ) | $ | — | $ | — | |||||
| INTERNATIONAL EQUITY DIVIDEND AND PREMIUM | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Asia | $ | 241,701 | $ | 85,196,885 | $ | — | ||||||
Australia and Oceania | 2,788,495 | 25,298,505 | — | |||||||||
Europe | 11,625,565 | 172,643,163 | — | |||||||||
South America | — | 288,095 | — | |||||||||
| Total | $ | 14,655,761 | $ | 283,426,648 | $ | — | ||||||
| Derivative Type | ||||||||||||
| Assets(b) | ||||||||||||
Futures Contracts | $ | 351 | $ | — | $ | — | ||||||
| Liabilities | ||||||||||||
Futures Contracts(b) | $ | (5,965 | ) | $ | — | $ | — | |||||
Written Options Contracts | (2,502,120 | ) | — | — | ||||||||
| Total | $ | (2,508,085 | ) | $ | — | $ | — | |||||
| U.S.TAX-MANAGED EQUITY | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Asia | $ | 4,202,363 | $ | — | $ | — | ||||||
Europe | 23,664,117 | — | — | |||||||||
North America | 1,820,972,567 | — | — | |||||||||
South America | 881,360 | — | — | |||||||||
Securities Lending Reinvestment Vehicle | 1,661,100 | — | — | |||||||||
| Total | $ | 1,851,381,507 | $ | — | $ | — | ||||||
| (a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of NAV. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Funds utilize fair value model prices provided by an independent fair value service for certain international equity securities, resulting in a Level 2 classification. |
| (b) | Amount shown represents unrealized gain (loss) at fiscal year end. |
76
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| INTERNATIONALTAX-MANAGED EQUITY | ||||||||||||
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Asia | $ | — | $ | 227,256,500 | $ | — | ||||||
Australia and Oceania | 3,673,968 | 63,715,353 | — | |||||||||
Europe | 5,878,010 | 454,693,213 | — | |||||||||
North America | 612,499 | 5,929,007 | — | |||||||||
| Total | $ | 10,164,477 | $ | 751,594,073 | $ | — | ||||||
| Derivative Type | ||||||||||||
| Assets(b) | ||||||||||||
Futures Contracts | $ | 6,887 | $ | — | $ | — | ||||||
| Liabilities(b) | ||||||||||||
Futures Contracts | $ | (51,902 | ) | $ | — | $ | — | |||||
| (a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of NAV. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Funds utilize fair value model prices provided by an independent fair value service for certain international equity securities, resulting in a Level 2 classification. |
| (b) | Amount shown represents unrealized gain (loss) at fiscal year end. |
For further information regarding security characteristics, see the Schedules of Investments.
| 4. INVESTMENTS IN DERIVATIVES |
The following table sets forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of December 31, 2019. 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 | Statements of Assets and Liabilities | Liabilities | |||||||||
U.S. Equity Dividend and Premium | Equity | Variation margin on futures contracts | $ | 29,975 | (a) | Payable for written options, at value | $(45,820,340 | ) | ||||||
International Equity Dividend and Premium | Equity | Variation margin on futures contracts | 351 | (a) | Variation margin on futures contracts and payable for written options, at value | (2,508,085 | )(a) | |||||||
InternationalTax-Managed Equity | Equity | Variation margin on futures contracts | 6,887 | (a) | Variation margin on futures contracts | (51,902 | )(a) | |||||||
| Total | $ | 37,213 | $(48,380,327 | ) | ||||||||||
| (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 December 31, 2019 is reported within the Statements of Assets and Liabilities. |
77
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements(continued)
December 31, 2019
| 4. INVESTMENTS IN DERIVATIVES (continued) |
The following table sets forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the fiscal year ended December 31, 2019. 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 | $ | (47,642,966 | ) | $ | (31,706,915 | ) | 4,109 | |||||||
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 | (11,513,441 | ) | 343,981 | 2,134 | ||||||||||
U.S. Tax-Managed Equity | Equity | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | 1,554,335 | 485,166 | 21 | |||||||||||
International Tax-Managed Equity | Equity | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | 1,100,297 | (40,968 | ) | 126 | ||||||||||
| Total | $ | (56,501,775 | ) | $ | (30,918,736 | ) | 6,390 | |||||||||
| (a) | Average number of contracts is based on the average of month end balances for the fiscal year ended December 31, 2019. |
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Funds, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.
For the fiscal year ended December 31, 2019, contractual and effective net management fees with GSAM were at the following rates:
Fund | Contractual Management Rate | Effective Rate | Effective Net Management Rate^ | |||||||||||||||||||||||||||
| First $1 billion | Next $1 billion | Next $3 billion | Next $3 billion | Over $8 billion | ||||||||||||||||||||||||||
| 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 | |||||||||||||||||||||||
InternationalTax-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. |
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GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
| 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 fiscal year ended December 31, 2019, GSAM waived $36,587, $213, $3,321 and $142 of the U.S. Equity Dividend and Premium, International Equity Dividend and Premium, U.S.Tax-Managed Equity and InternationalTax-Managed Equity Funds’ management fees, respectively.
B. Distribution and/or Service(12b-1) Plans — The Trust, on behalf of Class A Shares of each applicable Fund, has adopted a Distribution and Service Plan subject to Rule12b-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 Rule12b-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 Rule12b-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. |
C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the fiscal year ended December 31, 2019, Goldman Sachs retained the following amounts:
| Front End Sales Charge | Contingent Deferred Sales Charge | |||||||||
| Fund | Class A | Class C | ||||||||
U.S. Equity Dividend and Premium | $ | 40,332 | $ | 10 | ||||||
International Equity Dividend and Premium | 3,229 | — | ||||||||
U.S.Tax-Managed Equity | 2,487 | — | ||||||||
InternationalTax-Managed Equity | 930 | — | ||||||||
D. Service and Shareholder Administration Plans — The Trust, on behalf of each applicable Fund, has adopted Service Plans to allow Class C Shares and Shareholder Administration Plans to allow Service Shares, respectively, to compensate service organizations (including Goldman Sachs) for providing varying levels of personal and account maintenance or shareholder administration services to their customers who are beneficial owners of such shares. The Service and Shareholder Administration
79
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements(continued)
December 31, 2019
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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 and 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: 0.17% 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. Prior to July 1, 2019, the annual rates were as follows: 0.18% of the average daily net assets of Class A, Class C, Investor and Class R 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, 2020, and prior to such date, Goldman Sachs may not terminate the arrangement without the approval of the Board of Trustees.
Effective April 30, 2019, Goldman Sachs has agreed to waive a portion of its transfer agency fee equal to 0.05% and 0.04% as an annual percentage rate of the average daily net assets attributable to Class A, Class C and Investor Shares of the InternationalTax-Managed Equity and U.S.Tax-Managed Equity Funds, respectively. These arrangements will remain in effect through at least April 30, 2020, and prior to such date Goldman Sachs may not terminate the arrangements without the approval of the Board of Trustees. Prior to April 30, 2019, there was no transfer agency waiver in place for these Funds.
F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or 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 InternationalTax-Managed Equity Funds are 0.014%, 0.094%, 0.044% and 0.014%, respectively. These Other Expense limitations will remain in place through at least April 30, 2020, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.
For the fiscal year ended December 31, 2019, 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 | Total Expense Reductions | |||||||||||||||||
U.S. Equity Dividend and Premium | $ | 36,587 | $ | 692,150 | $ | 14,367 | $ | 79,574 | $ | 822,678 | ||||||||||||
International Equity Dividend and Premium | 213 | 346,628 | 559 | — | 347,400 | |||||||||||||||||
U.S.Tax-Managed Equity | 3,321 | — | 71,600 | 27,063 | 101,984 | |||||||||||||||||
InternationalTax-Managed Equity | 142 | 588,424 | 12,506 | 9,267 | 610,339 | |||||||||||||||||
G. Line of Credit Facility — As of December 31, 2019, the Funds participated in a $580,000,000 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
80
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
utilized. For the fiscal year ended December 31, 2019, the Funds did not have any borrowings under the facility. Prior to April 30, 2019 the facility was $770,000,000.
H. Other Transactions with Affiliates — For the fiscal year ended December 31, 2019, Goldman Sachs earned $509, $300, $9,834 and $245 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the U.S. Equity Dividend and Premium, International Equity Dividend and Premium, U.S. Tax-Managed Equity and InternationalTax-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 fiscal year ended December 31, 2019:
| Fund | Beginning Value as of December 31, 2018 | Purchases at Cost | Proceeds from Sales | Ending Value as of December 31, 2019 | Shares as of December 31, 2019 | Dividend Income from Affiliated Investment Company | ||||||||||||||||||
U.S. Equity Dividend and Premium | $ | — | $ | 500,002,305 | $ | (428,011,586 | ) | $ | 71,990,719 | 71,990,719 | $ | 478,714 | ||||||||||||
International Equity Dividend and Premium | — | 14,045,119 | (14,045,119 | ) | — | — | 3,043 | |||||||||||||||||
U.S.Tax-Managed Equity | 9,875,798 | 119,490,741 | (129,366,539 | ) | — | — | 46,311 | |||||||||||||||||
InternationalTax-Managed Equity | — | 7,492,424 | (7,492,424 | ) | — | — | 4,162 | |||||||||||||||||
As of December 31, 2019, the following Goldman Sachs GlobalTax-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 | 46 | — | ||||||||
U.S.Tax-Managed Equity | — | 84 | ||||||||
InternationalTax-Managed Equity | — | 85 | ||||||||
| 6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended December 31, 2019, were as follows:
| Fund | Purchases | Sales | ||||||||
U.S. Equity Dividend and Premium | $ | 773,473,808 | $ | 1,277,089,474 | ||||||
International Equity Dividend and Premium | 28,140,159 | 89,570,865 | ||||||||
U.S.Tax-Managed Equity | 3,532,841,910 | 3,452,336,036 | ||||||||
InternationalTax-Managed Equity | 1,636,577,333 | 1,616,705,850 | ||||||||
81
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements(continued)
December 31, 2019
| 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 Rule2a-7 under the Act, and is managed by GSAM, for which GSAM may receive a management fee of up to 0.16% 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’ master netting agreements with certain borrowers provide the right, in the event of a default (including bankruptcy or insolvency), for thenon-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. However, in the event of a default by a borrower, a resolution authority could determine that such rights are not enforceable due to the restrictions or prohibitions against the right ofset-off that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws. 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, which represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of December 31, 2019, are disclosed as “Payable upon return of securities loaned” on the Statements of Assets and Liabilities, where applicable. The Goldman Sachs International Equity Dividend and Premium and InternationalTax-Managed Equity Funds did not have securities on loan as of December 31, 2019.
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 fiscal year ended December 31, 2019, are reported under Investment Income on the Statements of Operations.
82
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
| 7. SECURITIES LENDING (continued) |
The table below details securities lending activity with affiliates of Goldman Sachs:
| For the Fiscal Year ended December 31, 2019 | Amounts Payable to Goldman Sachs Upon Return of Securities Loaned as of December 31, 2019 | |||||||||||||
| Fund | Earnings of GSAL Relating to Securities Loaned | Amounts Received by the Funds from Lending to Goldman Sachs | ||||||||||||
U.S. Equity Dividend and Premium | $ | 3,370 | $ | 197 | $ | — | ||||||||
International Equity Dividend and Premium | 6,640 | — | — | |||||||||||
U.S.Tax-Managed Equity | 1,513 | 47 | — | |||||||||||
InternationalTax-Managed Equity | 3,268 | 4,885 | — | |||||||||||
The following table provides information about the Funds’ investment in the Government Money Market Fund for the fiscal year ended December 31, 2019:
| Fund | Beginning Value as of December 31, 2018 | Purchases at Cost | Proceeds from Sales | Ending Value as of December 31, 2019 | ||||||||||||||
U.S. Equity Dividend and Premium | $ | 2,016,000 | $ | 38,804,325 | $ | (40,578,200 | ) | $ | 242,125 | |||||||||
International Equity Dividend and Premium | 2,448,255 | 4,093,735 | (6,541,990 | ) | — | |||||||||||||
U.S.Tax-Managed Equity | 148,800 | 22,266,550 | (20,754,250 | ) | 1,661,100 | |||||||||||||
InternationalTax-Managed Equity | 4,166,835 | 14,025,034 | (18,191,869 | ) | — | |||||||||||||
| 8. TAX INFORMATION |
The tax character of distributions paid during the fiscal year ended December 31, 2019 was as follows:
| U.S. Equity Dividend and Premium | International Equity Dividend and Premium | U.S. Tax-Managed Equity | International Tax-Managed Equity | |||||||||||||
Distributions paid from: | ||||||||||||||||
Ordinary income | $ | 81,396,313 | $ | 10,261,070 | $ | 12,605,884 | $ | 15,000,696 | ||||||||
Net long-term capital gains | 116,484,517 | — | — | — | ||||||||||||
Total taxable distributions | $ | 197,880,830 | $ | 10,261,070 | $ | 12,605,884 | $ | 15,000,696 | ||||||||
The tax character of distributions paid during the fiscal year ended December 31, 2018 was as follows:
| U.S. Equity Dividend and Premium | International Equity Dividend and Premium | U.S. Tax- Managed Equity | International Tax-Managed Equity | |||||||||||||
Distributions paid from: | ||||||||||||||||
Ordinary income | $ | 92,546,663 | $ | 11,654,244 | $ | 12,803,523 | $ | 14,001,577 | ||||||||
Net long-term capital gains | 131,495,071 | — | — | — | ||||||||||||
Total taxable distributions | $ | 224,041,734 | $ | 11,654,244 | $ | 12,803,523 | $ | 14,001,577 | ||||||||
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GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements(continued)
December 31, 2019
| 8. TAX INFORMATION (continued) |
As of December 31, 2019, the components of accumulated earnings (losses) on atax-basis were as follows:
| U.S. Equity Dividend and Premium | International Equity Dividend and Premium | U.S. Tax-Managed Equity | International Tax-Managed Equity | |||||||||||||
Undistributed ordinary income — net | $ | 299,229 | $ | 445,782 | $ | 1,611,362 | $ | 208,955 | ||||||||
Capital loss carryforwards:(1) | ||||||||||||||||
Perpetual Long-term | $ | — | $ | (45,412,766 | ) | $ | — | $ | — | |||||||
Perpetual Short-term | — | (3,191,026 | ) | (10,066,851 | ) | (28,973,021 | ) | |||||||||
Total capital loss carryforwards | $ | — | $ | (48,603,792 | ) | $ | (10,066,851 | ) | $ | (28,973,021 | ) | |||||
Timing differences (Real Estate Trusts/Post October Capital Loss Deferral) | (40,653,154 | ) | (3,825,944 | ) | (497,332 | ) | (30,253 | ) | ||||||||
Unrealized gains — net | 613,424,102 | 15,723,694 | 662,511,551 | 94,125,085 | ||||||||||||
Total accumulated gains (losses) — net | $ | 573,070,177 | $ | (36,260,260 | ) | $ | 653,558,730 | $ | 65,330,766 | |||||||
| (1) | The U.S. Tax-Managed Equity Fund utilized $6,566,466 of capital losses in the current fiscal year. |
As of December 31, 2019, 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 | $ | 2,432,495,042 | $ | 282,854,468 | $ | 1,188,869,956 | $ | 667,862,124 | ||||||||
Gross unrealized gain | 725,378,285 | 47,893,135 | 664,889,025 | 97,105,908 | ||||||||||||
Gross unrealized loss | (111,954,183 | ) | (32,169,441 | ) | (2,377,474 | ) | (2,980,823 | ) | ||||||||
Net unrealized gain | $ | 613,424,102 | $ | 15,723,694 | $ | 662,511,551 | $ | 94,125,085 | ||||||||
The difference between GAAP-basis andtax-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, real estate investment trust investments and passive foreign investment company investments.
The U.S. Tax-Managed Equity Fund reclassified $19,283,017 from distributable earnings to paid in capital for the year ending December 31, 2019. In order to present certain components of the Fund’s capital accounts on a tax-basis, certain reclassifications have been recorded to the Fund’s accounts. These reclassifications have no impact on the net asset value of the Fund and result primarily from redemptions in-kind.
The International Tax Managed Equity Fund reclassified $41,165 from paid in capital to distributable earnings for the year ending December 31, 2019. In order to present certain components of the Fund’s capital accounts on a tax-basis, certain reclassifications have been recorded to the Fund’s accounts. These reclassifications have no impact on the net asset value of the Fund and result primarily from 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.
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GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
| 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), confiscation of assets and property, 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, 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 ofnon-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, which may occur rapidly or unexpectedly, 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 or otherwise maintains 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 or without significant dilution to remaining investors’ interests because of unusual market conditions, an unusually high volume of redemption requests, or other
85
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements(continued)
December 31, 2019
| 9. OTHER RISKS (continued) |
reasons. To meet redemption requests, a Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If a Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Fund’s NAV and dilute remaining investors’ interests. These risks may be more pronounced in connection with a Fund’s investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on a Fund’s liquidity.
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.
| 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 |
On November 5, 2019, a definitive proxy statement (“proxy”) was filed with the SEC to elect certain Trustees to the Trust. The Funds will bear their respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse each Fund to the extent such expenses exceed a specified percentage of the Fund’s net assets.
| 12. SUBSEQUENT EVENTS |
Subsequent events after the Statements of Assets and Liabilities date other than above have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
86
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
| 13. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| U.S. Equity Dividend and Premium Fund | ||||||||||||||||
|
| |||||||||||||||
For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||||
|
| |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
| Class A Shares | ||||||||||||||||
Shares sold | 3,056,373 | $ | 39,285,764 | 5,295,207 | $ | 70,158,277 | ||||||||||
Reinvestment of distributions | 889,529 | 11,728,159 | 1,217,097 | 14,874,034 | ||||||||||||
Shares redeemed | (5,691,011 | ) | (73,349,134 | ) | (11,074,287 | ) | (141,568,778 | ) | ||||||||
| (1,745,109 | ) | (22,335,211 | ) | (4,561,983 | ) | (56,536,467 | ) | |||||||||
| Class C Shares | ||||||||||||||||
Shares sold | 924,958 | 12,022,572 | 2,086,830 | 27,160,327 | ||||||||||||
Reinvestment of distributions | 515,817 | 6,770,001 | 659,608 | 7,980,024 | ||||||||||||
Shares redeemed | (3,088,704 | ) | (39,697,509 | ) | (4,031,361 | ) | (52,408,594 | ) | ||||||||
| (1,647,929 | ) | (20,904,936 | ) | (1,284,923 | ) | (17,268,243 | ) | |||||||||
| Institutional Shares | ||||||||||||||||
Shares sold | 27,399,731 | 351,102,955 | 33,504,921 | 441,167,825 | ||||||||||||
Reinvestment of distributions | 4,962,564 | 65,296,301 | 6,280,998 | 76,871,798 | ||||||||||||
Shares redeemed | (36,040,359 | ) | (462,689,279 | ) | (138,392,227 | ) | (1,825,561,094 | ) | ||||||||
| (3,678,064 | ) | (46,290,023 | ) | (98,606,308 | ) | (1,307,521,471 | ) | |||||||||
| Investor Shares | ||||||||||||||||
Shares sold | 7,827,033 | 100,019,002 | 13,150,709 | 172,599,651 | ||||||||||||
Reinvestment of distributions | 2,321,996 | 30,558,077 | 2,715,798 | 33,135,461 | ||||||||||||
Shares redeemed | (12,878,406 | ) | (164,733,986 | ) | (14,086,815 | ) | (183,423,650 | ) | ||||||||
| (2,729,377 | ) | (34,156,907 | ) | 1,779,692 | 22,311,462 | |||||||||||
| Class P Shares(a) | ||||||||||||||||
Shares sold | 3,169,633 | 41,134,098 | 66,170,177 | 886,799,790 | ||||||||||||
Reinvestment of distributions | 3,449,581 | 45,356,789 | 4,165,280 | 50,730,626 | ||||||||||||
Shares redeemed | (12,455,055 | ) | (158,741,627 | ) | (13,586,593 | ) | (169,426,665 | ) | ||||||||
| (5,835,841 | ) | (72,250,740 | ) | 56,748,864 | 768,103,751 | |||||||||||
| Class R6 Shares(b) | ||||||||||||||||
Shares sold | 974,711 | 12,338,634 | 23,298,666 | 309,946,373 | ||||||||||||
Reinvestment of distributions | 1,408,914 | 18,521,537 | 1,484,667 | 18,072,196 | ||||||||||||
Shares redeemed | (3,791,893 | ) | (48,917,286 | ) | (2,690,115 | ) | (34,802,719 | ) | ||||||||
| (1,408,268 | ) | (18,057,115 | ) | 22,093,218 | 293,215,850 | |||||||||||
NET DECREASE | (17,044,588 | ) | $ | (213,994,932 | ) | (23,831,440 | ) | $ (297,695,118) | ||||||||
| (a) | Commenced operations on April 17, 2018. |
| (b) | Commenced operations on April 30, 2018. |
87
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements(continued)
December 31, 2019
| 13. SUMMARY OF SHARE TRANSACTIONS (continued) |
| International Equity Dividend and Premium Fund | ||||||||||||||||
|
| |||||||||||||||
For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||||
|
| |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
| Class A Shares | ||||||||||||||||
Shares sold | 160,640 | $ | 1,119,609 | 185,864 | $ | 1,394,265 | ||||||||||
Reinvestment of distributions | 10,917 | 76,450 | 12,738 | 91,921 | ||||||||||||
Shares redeemed | (179,244 | ) | (1,253,699 | ) | (368,502 | ) | (2,705,700 | ) | ||||||||
| (7,687 | ) | (57,640 | ) | (169,900 | ) | (1,219,514 | ) | |||||||||
| Class C Shares | ||||||||||||||||
Shares sold | 9,109 | 61,265 | 30,138 | 226,469 | ||||||||||||
Reinvestment of distributions | 2,875 | 19,416 | 7,774 | 54,558 | ||||||||||||
Shares redeemed | (93,967 | ) | (633,239 | ) | (411,315 | ) | (2,910,023 | ) | ||||||||
| (81,983 | ) | (552,558 | ) | (373,403 | ) | (2,628,996 | ) | |||||||||
| Institutional Shares | ||||||||||||||||
Shares sold | 234,100 | 1,609,386 | 3,299,255 | 25,150,510 | ||||||||||||
Reinvestment of distributions | 38,991 | 268,313 | 302,041 | 2,239,419 | ||||||||||||
Shares redeemed | (1,033,864 | ) | (6,863,677 | ) | (53,613,348 | ) | (391,611,679 | ) | ||||||||
| (760,773 | ) | (4,985,978 | ) | (50,012,052 | ) | (364,221,750 | ) | |||||||||
| Investor Shares | ||||||||||||||||
Shares sold | 615,772 | 4,164,770 | 792,283 | 5,588,837 | ||||||||||||
Reinvestment of distributions | 48,627 | 333,197 | 26,898 | 187,293 | ||||||||||||
Shares redeemed | (692,609 | ) | (4,761,589 | ) | (333,831 | ) | (2,430,334 | ) | ||||||||
| (28,210 | ) | (263,622 | ) | 485,350 | 3,345,796 | |||||||||||
| Class P Shares(a) | ||||||||||||||||
Shares sold | 1,083,033 | 7,345,129 | 33,241,157 | 239,776,975 | ||||||||||||
Reinvestment of distributions | 721,069 | 4,959,202 | 759,524 | 5,301,151 | ||||||||||||
Shares redeemed | (7,644,217 | ) | (52,325,488 | ) | (8,786,245 | ) | (59,552,901 | ) | ||||||||
| (5,840,115 | ) | (40,021,157 | ) | 25,214,436 | 185,525,225 | |||||||||||
| Class R6 Shares(b) | ||||||||||||||||
Shares sold | 1,840,630 | 12,532,967 | 20,858,813 | 151,394,746 | ||||||||||||
Reinvestment of distributions | 652,849 | 4,485,573 | 511,578 | 3,555,021 | ||||||||||||
Shares redeemed | (2,906,720 | ) | (19,966,896 | ) | (1,853,969 | ) | (12,787,174 | ) | ||||||||
| (413,241 | ) | (2,948,356 | ) | 19,516,422 | 142,162,593 | |||||||||||
NET DECREASE | (7,132,009 | ) | $ | (48,829,311 | ) | (5,339,147 | ) | $ | (37,036,646 | ) | ||||||
| (a) | Commenced operations on April 17, 2018. |
| (b) | Commenced operations on April 30, 2018. |
88
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
| 13. SUMMARY OF SHARE TRANSACTIONS (continued) |
| U.S.Tax-Managed Equity Fund | ||||||||||||||||
|
| |||||||||||||||
For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||||
|
| |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
| Class A Shares | ||||||||||||||||
Shares sold | 367,737 | $ | 8,754,341 | 814,705 | $ | 19,000,067 | ||||||||||
Reinvestment of distributions | 9,519 | 242,819 | 15,443 | 303,925 | ||||||||||||
Shares redeemed | (528,967 | ) | (12,305,907 | ) | (243,885 | ) | (5,567,445 | ) | ||||||||
| (151,711 | ) | (3,308,747 | ) | 586,263 | 13,736,547 | |||||||||||
| Class C Shares | ||||||||||||||||
Shares sold | 171,848 | 3,814,200 | 224,904 | 4,799,971 | ||||||||||||
Shares redeemed | (153,960 | ) | (3,398,831 | ) | (533,843 | ) | (11,927,357 | ) | ||||||||
| 17,888 | 415,369 | (308,939 | ) | (7,127,386 | ) | |||||||||||
| Institutional Shares | ||||||||||||||||
Shares sold | 346,325 | 8,423,356 | 6,330,060 | 148,125,329 | ||||||||||||
Reinvestment of distributions | 9,234 | 241,277 | 1,416 | 28,533 | ||||||||||||
Shares redeemed | (272,332 | ) | (6,472,774 | ) | (63,995,284 | ) | (1,536,242,572 | ) | ||||||||
Shares redeemed in connection within-kind transactions | — | — | (2,117,152 | ) | (48,160,000 | ) | ||||||||||
| 83,227 | 2,191,859 | (59,780,960 | ) | (1,436,248,710 | ) | |||||||||||
| Service Shares | ||||||||||||||||
Shares sold | 35,178 | 818,458 | 6,595 | 155,606 | ||||||||||||
Reinvestment of distributions | 191 | 4,899 | 137 | 2,719 | ||||||||||||
Shares redeemed | (6,815 | ) | (157,801 | ) | (3,821 | ) | (83,145 | ) | ||||||||
| 28,554 | 665,556 | 2,911 | 75,180 | |||||||||||||
| Investor Shares | ||||||||||||||||
Shares sold | 139,533 | 3,303,231 | 263,401 | 6,120,169 | ||||||||||||
Reinvestment of distributions | 4,831 | 125,136 | 6,750 | 134,794 | ||||||||||||
Shares redeemed | (174,752 | ) | (4,115,511 | ) | (167,106 | ) | (3,921,618 | ) | ||||||||
| (30,388 | ) | (687,144 | ) | 103,045 | 2,333,345 | |||||||||||
| Class P Shares(a) | ||||||||||||||||
Shares sold | 1,231,197 | 29,067,937 | 4,933,205 | 117,732,028 | ||||||||||||
Reinvestment of distributions | 36,899 | 956,057 | 45,457 | 908,224 | ||||||||||||
Shares redeemed | (652,654 | ) | (15,235,653 | ) | (258,211 | ) | (5,610,626 | ) | ||||||||
| 615,442 | 14,788,341 | 4,720,451 | 113,029,626 | |||||||||||||
| Class R6 Shares(b) | ||||||||||||||||
Shares sold | 4,886,035 | 115,485,900 | 65,073,762 | 1,553,803,875 | ||||||||||||
Reinvestment of distributions | 423,195 | 10,960,763 | 570,971 | 11,402,299 | ||||||||||||
Shares redeemed | (4,368,806 | ) | (105,022,152 | ) | (1,683,318 | ) | (37,830,108 | ) | ||||||||
Shares redeemed in connection within-kind transactions | (1,108,855 | ) | (25,670,000 | ) | (3,015,553 | ) | (73,210,000 | ) | ||||||||
| (168,431 | ) | (4,245,489 | ) | 60,945,862 | 1,454,166,066 | |||||||||||
NET INCREASE | 394,581 | $ | 9,819,745 | 6,268,633 | $ | 139,964,668 | ||||||||||
| (a) | Commenced operations on April 17, 2018. |
| (b) | Commenced operations on April 30, 2018. |
89
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements(continued)
December 31, 2019
| 13. SUMMARY OF SHARE TRANSACTIONS (continued) |
| InternationalTax-Managed Equity Fund | ||||||||||||||||
|
| |||||||||||||||
For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||||
|
| |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
| Class A Shares | ||||||||||||||||
Shares sold | 161,876 | $ | 1,590,795 | 433,592 | $ | 4,744,157 | ||||||||||
Reinvestment of distributions | 12,810 | 133,226 | 16,440 | 143,686 | ||||||||||||
Shares redeemed | (279,348 | ) | (2,759,236 | ) | (401,065 | ) | (4,071,679 | ) | ||||||||
| (104,662 | ) | (1,035,215 | ) | 48,967 | 816,164 | |||||||||||
| Class C Shares | ||||||||||||||||
Shares sold | 12,295 | 118,240 | 185,896 | 1,983,469 | ||||||||||||
Reinvestment of distributions | 499 | 5,069 | 2,415 | 20,501 | ||||||||||||
Shares redeemed | (178,255 | ) | (1,676,685 | ) | (145,534 | ) | (1,419,976 | ) | ||||||||
| (165,461 | ) | (1,553,376 | ) | 42,777 | 583,994 | |||||||||||
| Institutional Shares | ||||||||||||||||
Shares sold | 968,265 | 9,288,202 | 7,605,815 | 82,771,894 | ||||||||||||
Reinvestment of distributions | 29,745 | 308,452 | 39,199 | 341,815 | ||||||||||||
Shares redeemed | (1,383,081 | ) | (13,552,150 | ) | (62,839,603 | ) | (668,058,108 | ) | ||||||||
| (385,071 | ) | (3,955,496 | ) | (55,194,589 | ) | (584,944,399 | ) | |||||||||
| Investor Shares | ||||||||||||||||
Shares sold | 737,469 | 7,144,162 | 1,372,365 | 14,541,257 | ||||||||||||
Reinvestment of distributions | 32,374 | 335,718 | 34,106 | 297,404 | ||||||||||||
Shares redeemed | (583,575 | ) | (5,718,058 | ) | (1,258,959 | ) | (13,294,693 | ) | ||||||||
| 186,268 | 1,761,822 | 147,512 | 1,543,968 | |||||||||||||
| Class P Shares(a) | ||||||||||||||||
Shares sold | 903,808 | 8,659,459 | 11,151,190 | 115,721,758 | ||||||||||||
Reinvestment of distributions | 124,595 | 1,284,575 | 182,381 | 1,579,421 | ||||||||||||
Shares redeemed | (1,835,911 | ) | (17,738,562 | ) | (4,042,582 | ) | (36,926,746 | ) | ||||||||
| (807,508 | ) | (7,794,528 | ) | 7,290,989 | 80,374,433 | |||||||||||
| Class R6 Shares(b) | ||||||||||||||||
Shares sold | 6,844,339 | 66,290,099 | 60,289,988 | 639,695,481 | ||||||||||||
Reinvestment of distributions | 1,255,232 | 12,928,884 | 1,340,050 | 11,604,833 | ||||||||||||
Shares redeemed | (4,148,192 | ) | (40,824,557 | ) | (1,662,745 | ) | (15,869,218 | ) | ||||||||
| 3,951,379 | 38,394,426 | 59,967,293 | 635,431,096 | |||||||||||||
NET INCREASE | 2,674,945 | $ | 25,817,633 | 12,302,949 | $ | 133,805,256 | ||||||||||
| (a) | Commenced operations on April 17, 2018. |
| (b) | Commenced operations on April 30, 2018. |
90
Report of Independent Registered Public
Accounting Firm
Tothe Board of Trustees of Goldman Sachs Trust and Shareholders of Goldman Sachs U.S. Equity Dividend and Premium Fund, Goldman Sachs International Equity Dividend and Premium Fund, Goldman Sachs U.S.Tax-Managed Equity Fund and Goldman Sachs InternationalTax-Managed Equity Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Goldman Sachs U.S. Equity Dividend and Premium Fund, Goldman Sachs International Equity Dividend and Premium Fund, Goldman Sachs U.S.Tax-Managed Equity Fund and Goldman Sachs InternationalTax-Managed Equity Fund (four of the funds constituting Goldman Sachs Trust, hereafter collectively referred to as the “Funds”) as of December 31, 2019, the related statements of operations for the year ended December 31, 2019, the statements of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes,and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2019, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2019 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 26, 2020
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
91
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Voting Results of Special Meeting of Shareholders (Unaudited)
A Special Meeting (the “Meeting”) of the Goldman Sachs Trust (“GST”) was held on January 23, 2020 to consider and act upon the proposals below. The Funds will amortize their respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse each Fund to the extent such expenses exceed a specified percentage of the Fund’s net assets.
At the Meeting, Dwight L. Bush, Kathryn A. Cassidy, Joaquin Delgado and Gregory G. Weaver were elected to the Trust’s Board of Trustees. In electing trustees, the Trust’s shareholders voted as follows:
Proposal 1. Election of Trustees | For | Against | Withheld | Broker Non-Votes | ||||||||||||
Dwight L. Bush | 94,278,961,728.065 | 0 | 349,026,343,365 | 0 | ||||||||||||
Kathryn A. Cassidy | 94,310,850,789.164 | 0 | 317,137,282.266 | 0 | ||||||||||||
Joaquin Delgado | 94,282,646,444.727 | 0 | 345,341,626.703 | 0 | ||||||||||||
Gregory G. Weaver | 94,306,589,873.348 | 0 | 321,398,198.082 | 0 | ||||||||||||
At the Meeting, the shareholders of the Goldman Sachs Large Cap Growth Insights Fund approved a change to the Fund’ssub-classification under the Act from “diversified” to“non-diversified”. The Trust’s shareholders voted as follows:
Proposal 2. To approve a change to the Fund’ssub-classification under | For | Against | Abstained | BrokerNon-Votes | ||||||||||||
Large Cap Growth Insights Fund | 23,785,792.632 | 250,521.921 | 196,802.993 | 9,592,467.322 | ||||||||||||
92
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Fund Expenses — Six Month Period Ended December 31, 2019 (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) contingent deferred sales charges on redemptions (with respect to Class C Shares), (if any); 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 July 1, 2019 through December 31, 2019, which represents a period of 184 days of a 365 day year.
Actual Expenses— The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes— The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| U.S. Equity Dividend and Premium Fund | International Equity Dividend and Premium Fund | U.S.Tax-Managed Equity Fund | InternationalTax-Managed Equity Fund | |||||||||||||||||||||||||||||||||||||||||||||
| Share Class | Beginning Account Value 07/01/19 | Ending Value | Expenses Paid for the 6 Months Ended 12/31/19* | Beginning Account Value 07/01/19 | Ending Account Value 12/31/19 | Expenses Paid for the 6 Months Ended 12/31/19* | Beginning Account Value 07/01/19 | Ending Account Value 12/31/19 | Expenses Paid for the 6 Months Ended 12/31/19* | Beginning Account Value 07/01/19 | Ending Account Value 12/31/19 | Expenses 12/31/19* | ||||||||||||||||||||||||||||||||||||
| Class A | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,085.80 | $ | 5.89 | $ | 1,000 | $ | 1,048.10 | $ | 6.87 | $ | 1,000 | $ | 1,089.00 | $ | 5.69 | $ | 1,000 | $ | 1,065.00 | $ | 6.40 | ||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,019.56 | + | 5.70 | 1,000 | 1,018.50 | + | 6.77 | 1,000 | 1,019.76 | + | 5.50 | 1,000 | 1,019.00 | + | 6.26 | ||||||||||||||||||||||||||||||||
| Class C | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,081.20 | 9.81 | 1,000 | 1,044.10 | 10.72 | 1,000 | 1,084.60 | 9.62 | 1,000 | 1,061.20 | 10.29 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,015.78 | + | 9.50 | 1,000 | 1,014.72 | + | 10.56 | 1,000 | 1,015.98 | + | 9.30 | 1,000 | 1,015.22 | + | 10.06 | ||||||||||||||||||||||||||||||||
| Institutional | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,087.30 | 3.95 | 1,000 | 1,049.70 | 4.91 | 1,000 | 1,090.60 | 3.90 | 1,000 | 1,066.80 | 4.74 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,021.42 | + | 3.82 | 1,000 | 1,020.42 | + | 4.84 | 1,000 | 1,021.48 | + | 3.77 | 1,000 | 1,020.62 | + | 4.63 | ||||||||||||||||||||||||||||||||
| Service | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | N/A | N/A | N/A | N/A | N/A | N/A | 1,000 | 1,088.10 | 6.53 | N/A | N/A | N/A | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | N/A | N/A | N/A | 1,000 | 1,018.95 | + | 6.31 | N/A | N/A | N/A | |||||||||||||||||||||||||||||||||||
| Investor | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,086.60 | 4.58 | 1,000 | 1,049.10 | 5.58 | 1,000 | 1,090.40 | 4.37 | 1,000 | 1,065.80 | 5.10 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,020.82 | + | 4.43 | 1,000 | 1,019.76 | + | 5.50 | 1,000 | 1,021.02 | + | 4.23 | 1,000 | 1,020.27 | + | 4.99 | ||||||||||||||||||||||||||||||||
| Class P | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,087.40 | 3.89 | 1,000 | 1,049.70 | 4.86 | 1,000 | 1,091.10 | 3.85 | 1,000 | 1,067.30 | 4.64 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,021.48 | + | 3.77 | 1,000 | 1,020.47 | + | 4.79 | 1,000 | 1,021.53 | + | 3.72 | 1,000 | 1,020.72 | + | 4.53 | ||||||||||||||||||||||||||||||||
| Class R6 | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,087.50 | 3.89 | 1,000 | 1,049.80 | 4.86 | 1,000 | 1,090.70 | 3.85 | 1,000 | 1,066.30 | 4.64 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,021.48 | + | 3.77 | 1,000 | 1,020.47 | + | 4.79 | 1,000 | 1,021.53 | + | 3.72 | 1,000 | 1,020.72 | + | 4.53 | ||||||||||||||||||||||||||||||||
| + | 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 December 31, 2019. 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 | Class R6 | |||||||||||||||||||||
U.S. Equity Dividend and Premium | 1.12 | % | 1.87 | % | 0.75 | % | N/A | 0.87 | % | 0.74 | % | 0.74 | % | |||||||||||||||
International Equity Dividend and Premium | 1.33 | 2.08 | 0.95 | N/A | 1.08 | 0.94 | 0.94 | |||||||||||||||||||||
U.S.Tax-Managed Equity | 1.08 | 1.83 | 0.74 | 1.24 | % | 0.83 | 0.73 | 0.73 | ||||||||||||||||||||
InternationalTax-Managed Equity | 1.23 | 1.98 | 0.91 | N/A | 0.98 | 0.89 | 0.89 | |||||||||||||||||||||
93
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Trustees and Officers (Unaudited)
Independent Trustees
| Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
Jessica Palmer Age: 70 | Chair of the Board of Trustees | Since 2018 (Trustee since 2007) | Ms. Palmer is retired. She was formerly Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009).
Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||
Kathryn A. Cassidy Age: 65 | Trustee | Since 2015 | Ms. Cassidy is retired. Formerly, she was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||
Diana M. Daniels Age: 70 | Trustee | Since 2007 | Ms. Daniels is retired. Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is a Trustee Emeritus and serves as a Presidential Councillor of Cornell University (2013-Present); former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||
Roy W. Templin Age: 59 | Trustee | Since 2013 | Mr. Templin is retired. He is Director, Armstrong World Industries, Inc. (a designer and manufacturer of ceiling, wall and suspension system solutions) (2016-Present); and was formerly Chairman of the Board of Directors, Con-Way Incorporated (a transportation, logistics and supply chain management service company) (2014-2015); Executive Vice President and Chief Financial Officer, Whirlpool Corporation (an appliance manufacturer and marketer) (2004-2012). Previously, Mr. Templin served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (June 2013-October 2013).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Armstrong World Industries, Inc. (a ceiling, wall and suspension systems solutions manufacturer) | |||||
Gregory G. Weaver Age: 68 | Trustee | Since 2015 | Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Verizon Communications Inc. | |||||
94
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Trustees and Officers (Unaudited) (continued)
Interested Trustee*
| Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
James A. McNamara Age: 57 | President and Trustee | Since 2007 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | 165 | None | |||||
Advisory Board Members
| Name, Address, Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Advisory Board Member3 | Other Directorships Held by Advisory Board Member4 | |||||
Dwight L. Bush Age: 62 | Advisory Board Member | Since 2019 | Ambassador Bush is President and CEO of D.L. Bush & Associates (a financial advisory and private investment firm) (2002-2014 and 2017-present); and was formerly U.S. Ambassador to the Kingdom of Morocco (2014-2017) and a Member of the Board of Directors of Santander Bank, N.A. (2018-2019).
Advisory Board Member — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||
Joaquin Delgado Age: 59 | Advisory Board Member | Since 2019 | Dr. Delgado is retired. He is Director, Hexion Inc. (a specialty chemical manufacturer) (2019-present); and Director, Stepan Company (a specialty chemical manufacturer) (2011-present); and was formerly Executive Vice President, Consumer Business Group of 3M Company (July 2016-July 2019); and Executive Vice President, Health Care Business Group of 3M Company (October 2012-July 2016).
Advisory Board Member — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Stepan Company (a specialty chemical manufacturer) | |||||
| * | Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. Mr. McNamara holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
| 1 | Each Trustee and Advisory Board Member may be contacted by writing to the Trustee or Advisory Board Member, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of December 31, 2019. |
| 2 | Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that (a) no Trustee shall hold office for more than 15 years and (b) a Trustee shall retire as of December 31st of the calendar year in which he or she reaches his or her 74th birthday, unless a waiver of such requirements shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. |
| 3 | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of December 31, 2019, Goldman Sachs Trust consisted of 89 portfolios; Goldman Sachs Variable Insurance Trust consisted of 13 portfolios; Goldman Sachs Trust II consisted of 19 portfolios (17 of which offered shares to the public); Goldman Sachs MLP Income Opportunities Fund, Goldman Sachs MLP and Energy Renaissance Fund, Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio; and Goldman Sachs ETF Trust consisted of 40 portfolios (21 of which offered shares to the public). |
| 4 | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384. Additional information about the Advisory Board Members will be available in the Funds’ Statement of Additional Information dated April 30, 2020, which will be available from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
95
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
| Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | |||
James A. McNamara 200 West Street New York, NY 10282 Age: 57 | Trustee and President | Since 2007 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 42 | Secretary | Since 2012 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Associate General Counsel, Goldman Sachs (2012-Present); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006).
Secretary — Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Private Middle Market Credit II LLC; Goldman Sachs Middle Market Lending Corp.; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 51 | Treasurer, Principal Financial Officer and Principal Accounting Officer | Since 2017 (Treasurer and Principal Financial Officer since 2019) | Managing Director, Goldman Sachs (November 2015-Present) and Vice President — Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010-October 2015).
Treasurer, Principal Financial Officer and Principal Accounting Officer — Goldman Sachs Trust (previously Assistant Treasurer (2016)); Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs MLP Income Opportunities Fund (previously Assistant Treasurer (2017)); Goldman Sachs MLP and Energy Renaissance Fund (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
| * | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
| 1 | Information is provided as of December 31, 2019. |
| 2 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
96
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Goldman Sachs Trust — Tax-Advantaged Equity Funds — Tax Information (Unaudited)
For the fiscal year ended December 31, 2019, 89.42% and 100% of the dividends paid from net investment company taxable income by the U.S. Equity Dividend and Premium and U.S. Tax-Managed Equity Funds, respectively, qualify for the dividends received deduction available to corporations.
For the 2019 tax year, the International Equity Dividend and Premium and International Tax-Managed Equity Funds have elected to pass through a credit for taxes paid to foreign jurisdictions. The total amount of income received by the International Equity Dividend and Premium and International Tax-Managed Equity Funds from sources within foreign countries and possessions of the United States was $0.2642 and $0.2323 per share, respectively, all of which is attributable to qualified passive income. The percentage of net investment income dividends paid by the International Equity Dividend and Premium and International Tax-Managed Equity Funds during the year from foreign sources was 97.71% and 99.57%, respectively. The total amount of taxes paid by the International Equity Dividend and Premium and International Tax-Managed Equity Funds to such countries was $0.0287 and $0.0265 per share, respectively.
For the fiscal year ended December 31, 2019, 99.13%, 100%, 100% and 100% of the dividends paid from net investment company taxable income by the U.S. Equity Dividend and Premium, International Equity Dividend and Premium, U.S. Tax-Managed Equity and International Tax-Managed Equity Funds, respectively, qualify for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
Pursuant to Section 852 of the Internal Revenue Code, the U.S. Equity Dividend and Premium designates $116,484,517 or, if different, the maximum amount allowable, as capital gain dividends paid during the fiscal year ended December 31, 2019.
During the fiscal year ended December 31, 2019, the U.S. Equity Dividend and Premium designates $24,898,230 as short-term capital gain dividends pursuant to Section 871(k) of the Internal Revenue Code.
97
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, theConsumer and Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.69 trillion in assets under supervision as of December 31, 2019, 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 |
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 |
| ∎ | Income Fund |
Municipal and Tax-Free
| ∎ | High Yield Municipal Fund |
| ∎ | Dynamic Municipal Income Fund |
| ∎ | Short Duration Tax-Free Fund |
| ∎ | Municipal Income Completion 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 |
Fixed Income Alternatives
| ∎ | Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ | Equity Income Fund |
| ∎ | Small Cap Growth 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 Fund |
| ∎ | 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 Fund |
| ∎ | International Equity ESG Fund |
| ∎ | China Equity Fund4 |
| ∎ | Emerging Markets Equity Fund |
| ∎ | Imprint Emerging Markets Opportunities Fund5 |
| ∎ | ESG Emerging Markets Equity Fund |
Alternative
| ∎ | Real Estate Securities Fund |
| ∎ | International Real Estate Securities Fund |
| ∎ | Commodity Strategy Fund |
| ∎ | Global Real Estate Securities Fund |
| ∎ | Alternative Premia Fund |
| ∎ | 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 |
| ∎ | Dynamic Global Equity Fund6 |
| ∎ | Satellite Strategies Portfolio |
| ∎ | Enhanced Dividend Global Equity Portfolio |
| ∎ | Tax-Advantaged Global Equity Portfolio |
| ∎ | Strategic Factor Allocation Fund |
| ∎ | Target Date Retirement Portfolio7 |
| ∎ | 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 |
| 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 of November 20, 2019, the Goldman Sachs Asia Equity Fund was renamed the Goldman Sachs China Equity Fund. |
| 5 | Effective after the close of business on August 30, 2019, the Goldman Sachs N-11 Equity Fund was renamed the Goldman Sachs Imprint Emerging Markets Opportunities Fund. |
| 6 | Effective after the close of business on February 28, 2019, the Goldman Sachs Equity Growth Strategy Portfolio was renamed the Goldman Sachs Dynamic Global Equity Fund. |
| 7 | Effective December 27, 2019, the Goldman Sachs Target Date 2020 Portfolio was renamed to the Goldman Sachs Target Date Retirement Portfolio. |
| 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 Dwight L. Bush* Kathryn A. Cassidy Diana M. Daniels Joaquin Delgado* James A. McNamara Roy W. Templin Gregory G. Weaver
*Effective as of January 23, 2020 | OFFICERS James A. McNamara,President Joseph F. DiMaria,Principal Financial Officer,Principal Accounting Officer and 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 atwww.GSAMFUNDS.com to obtain the most recentmonth-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 recent12-month period ended June 30 is available (i) without charge, upon request by calling1-800-526-7384 (for Retail Shareholders) or1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://www.sec.gov.
The Funds will file portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be made available on the SEC’s web site at http://www.sec.gov. Portfolio holdings information may be obtained upon request and without charge by calling1-800-526-7384 (for Retail Shareholders) or1-800-621-2550 (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 December 31, 2019 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).
© 2019 Goldman Sachs. All rights reserved. 192790-OTU-02/2020 TAXADVAR-20/26K
Goldman Sachs Funds
| Annual Report | December 31, 2019 | |||
Dynamic Global Equity Fund* | ||||
*Effective after the close of business on February 28, 2019, the Goldman Sachs Equity Growth Strategy Portfolio was renamed the Goldman Sachs Dynamic Global Equity Fund.
It is our intention that beginning on January 1, 2021, paper copies of the Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. At any time, you may elect to receive reports and certain communications from the Fund electronically by calling the applicable toll-free number below or by contacting your financial intermediary.
You may elect to receive all future shareholder reports in paper free of charge. If you hold shares of the Fund directly with the Fund’s transfer agent, you can inform the transfer agent that you wish to receive paper copies of reports by callingtoll-free 800-621-2550 for Institutional, Service, Class R6 and Class P shareholders or800-526-7384 for all other shareholders. If you hold shares of the Fund through a financial intermediary, please contact your financial intermediary to make this election. Your election to receive reports in paper will apply to all Goldman Sachs Funds held in your account if you invest through your financial intermediary or all Goldman Sachs Funds held with the Fund’s transfer agent if you invest directly with the transfer agent.
Goldman Sachs Dynamic Global Equity Fund
| 1 | ||||
| 9 | ||||
| 10 | ||||
| 14 | ||||
| 17 | ||||
| 25 | ||||
| 36 | ||||
| 38 | ||||
| NOT FDIC-INSURED | May Lose Value | No Bank Guarantee | ||
PORTFOLIO RESULTS
Goldman Sachs Dynamic Global Equity Fund
Investment Objective
The Dynamic Global Equity Fund seeks long-term capital appreciation.
Portfolio Management Discussion and Analysis
Effective after the close of business on February 28, 2019, the Goldman Sachs Equity Growth Strategy Portfolio was renamed the Goldman Sachs Dynamic Global Equity Fund (the “Fund”) and it ceased to be among the Goldman Sachs Fund of Funds Portfolios — Asset Allocation. At the same time, its principal investment strategy changed. No modifications in the Fund’s investment objective or benchmark index were made in connection with this change. The performance information reported below is the combined performance of the Fund, reflecting current and prior investment strategies and policies.
Below, the Goldman Sachs Global Portfolio Solutions (“GPS”) Team discusses the Fund’s performance and positioning for the12-month period ended December 31, 2019 (the “Reporting Period”).
| Q | How did the Fund perform during the Reporting Period? |
| A | During the Reporting Period, the Fund’s Class A, Class C, Institutional, Service, Investor, Class P, Class R and Class R6 Shares generated average annual total returns of 25.66%, 24.72%, 26.18%, 25.49%, 25.97%, 26.19%, 25.36% and 26.14%, respectively. This compares to the 26.60% average annual total return of the Fund’s benchmark, MSCI All Country World Index (Net, USD, Unhedged) (the “Index”), during the same period. |
| Q | How did the Fund’s principal investment strategy change after February 28, 2019? |
| A | Until the close of business on February 28, 2019, the Fund sought 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 Underlying Funds invested primarily in equity securities (the “Underlying Equity Funds”) and other Underlying Funds invested dynamically across other markets using various strategies, including a managed-volatility or trend-following approach (the “Underlying Dynamic Funds”). Under normal conditions, substantially all (at least 80%) of the Fund’s total assets were to be allocated among the Underlying Equity Funds. |
| After February 28, 2019, the Fund significantly reduced its allocation to the Underlying Funds, while increasing its allocation to derivative instruments in order to gain exposure to global equity asset classes. The Fund’s investments may include Underlying Funds (including ETFs), futures, forwards, options and other instruments with similar economic exposures. The Fund may continue to invest in Underlying Funds that currently exist or that may become available for investment in the future for which Goldman Sachs Asset Management, L.P. or an affiliate now or in the future acts as investment adviser or principal underwriter. |
| Q | What economic and market factors most influenced the Fund during the Reporting Period? |
| A | During the Reporting Period overall, the factors most influencing the financial markets and the Fund were global economic data, central bank monetary policy and geopolitical events. |
In the first quarter of 2019, when the Reporting Period started, risk assets broadly rebounded from asell-off in the fourth quarter of 2018, as investor sentiment turned positive on a combination of dovish global central bank policy, tentative stabilization in Chinese economic growth and seemingly promising developments in U.S.-China trade talks. (Dovish tends to suggest lower interest rates; opposite of hawkish.) Although global economic growth continued to decelerate during the first calendar quarter, a few “green shoots” began to emerge. (Green shoots is a term used to describe signs of economic recovery or positive data during an economic downturn.) Indications of a bottoming in Chinese credit growth, a modestpick-up in fixed asset |
1
PORTFOLIO RESULTS
investment, and an uptick in March 2019 manufacturing data made investors hopeful for a recovery in Chinese and global economic growth. As inflationary pressures remained rather muted, the U.S. Federal Reserve (“Fed”) and the European Central Bank (“ECB”) each made a dovish shift and then maintained monetary policy stances that were broadly supportive of economic growth. More specifically, the Fed signaled it would make no additional short-term interest rate hikes during 2019, and the ECB indicated it was reluctant to raise interest rates during the calendar year. Global equities, as measured by the MSCI ACWI Investable Market Index, were up 12.86% during the first calendar quarter, led by a rally in U.S. stocks. Emerging markets equities overall underperformed developed markets equities, but Chinese stocks, as represented by the MSCI China Index, rose more than 17%. |
| In the second quarter of 2019, continued weakness in global economic growth and low levels of inflation led the Fed and ECB to indicate they might ease monetary policy. In June, the Fed signaled its next policy move was more likely to be an interest rate cut than an interest rate hike. The Fed’s dot plot, which shows interest rate projections of the members of the Federal Open Market Committee, revealed that policymakers expected to keep interest rates stable during 2019, followed by a 25 basis point cut in 2020. (A basis point is 1/100th of a percentage point.) Meanwhile, the ECB hinted that interest rate cuts and quantitative easing were on the table should economic data disappoint in the near term. Global equities were volatile during the second calendar quarter overall, though they rose 3.88%, as measured by the MSCI ACWI Investable Market Index. In May 2019, global equities had suffered a significant decline amid headwinds from U.S.-China trade negotiations. They then recovered in June, driven by dovish central bank actions and market expectations of a pause in U.S.-China trade tensions ahead of the G20 meeting at month end. (Also known as Group of 20 nations, the G20 is a forum attended by finance ministers and central bank governors from the world’s highly developed economies consisting of 19 countries and the European Union.) |
| During the third quarter of 2019, weak growth in cyclical sectors, such as manufacturing, and increased global trade uncertainty weighed on investors’ expectations for global economic growth, sparking concerns about a possible recession. U.S.-China trade negotiations remained volatile throughout the third calendar quarter, with both sides sending mixed signals. Major central banks became more accommodative in their monetary policies, encouraged by muted inflation across developed economies. Both the Fed and the ECB, for example, cut interest rates. Global equities, as measured by the MSCI ACWI Investable Market Index, appreciated 1.03% during the third calendar quarter, with Japanese and European stocks outperforming U.S. stocks. Emerging markets equities produced negative returns, broadly underperforming developed markets stocks. Continued weakness in Chinese macro data, along with persistent uncertainty regarding U.S.-China trade talks, pressured emerging markets equities. |
| In the fourth quarter of 2019, global economic growth showed signs of stabilization, thanks in part to continuous central bank policy support that sought to manage economic and financial sector pressures. In October, the Fed cut interest rates again, signaling that easing had probably ended unless macroeconomic data deteriorated further. Meanwhile, there were positive developments in the U.S.-China trade dispute. Though a full-fledged trade deal remained uncertain, the U.S. and China settled on the framework of a “Phase One” deal during October, with the two sides reaching an agreement in principle on the details inmid-December. The timing of the agreement avoided a proposed tariff hike, scheduled for December 15th, and included a 50% rollback of a September 2019 tariff increase. The U.S. President announced that the “Phase One” deal was scheduled to be signed on January 15, 2020. China also promised to address U.S. concerns about intellectual property practices. Collectively, the stabilization of global economic growth, mitigation of U.S.-China trade war risk and accommodative central bank monetary policy supported risk assets during the fourth calendar quarter. Global equities, as measured by the MSCI ACWI Investable Market Index, were up 8.37%. Developed markets equities, as measured by the MSCI World Index, rose 7.80%, while emerging markets equities, as measured by the MSCI Emerging Markets Index, climbed 11.93%. |
| Looking at the Reporting Period as a whole, the vast majority of risk assets finished the year in positive territory. The S&P 500® Index, up 31.49%, recorded its best annual return since 2013. Global equities, as measured by the MSCI ACWI Investable Market Index, rose 27.73%, driven largely by the strong performance of U.S.large-cap stocks. Developed market equities generally outperformed their emerging markets counterparts. Although emerging markets equities advanced, they were pressured by slowing economic growth in China, weakness in emerging markets exports and intermittent U.S.-China trade escalation. |
2
PORTFOLIO RESULTS
| Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
| A | Performance is generally driven by three sources of return: long-term strategic asset allocation, medium-term and short-term dynamic allocation, and excess returns from investments in Underlying Funds. Long-term 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. The strategic asset allocation is implemented using a range ofbottom-up security selection strategies across equity asset classes, using fundamental or quantitative investment techniques, as well as the use of derivative instruments. We then incorporate our medium-term and short-term dynamic views into the Fund in order to react to changes in the economic cycle and the markets, respectively. (Our short-term dynamic views were eliminated from the Fund when its principal investment strategy changed after the close of business on February 28, 2019.) The Fund’s positioning may therefore change over time. |
| During the Reporting Period, the Fund generated strongly positive double-digit absolute returns but underperformed the Index on a relative basis. |
| Long-term strategic asset allocation added most to the Fund’s performance. The contribution of our short-term dynamic allocation was also positive. Security selection within the Underlying Funds detracted from results. We did not hold any medium-term dynamic views in the Fund during the Reporting Period. |
| Beginning in January 2019, we began to shift the Fund to a new long-term strategic allocation. The Fund benefited from our efforts to identify attractive entry points in the financial markets as we made the transition. In addition, the Fund’s allocation to a macroeconomic hedge strategy, which utilizes interest rate options to profit if interest rates fall, remain constant or rise less than anticipated, contributed most positively as interest rates declined during the Reporting Period. An allocation to U.S.large-cap growth stocks further bolstered performance. However, an allocation to global real estate securities and global infrastructure securities, which are not held by the Index, detracted from returns. |
| Our decision to reduce the Fund’s equity risk, starting in June 2019, detracted marginally from performance, as global equities continued to rally. In our opinion, the U.S. economic cycle had matured substantially, and we believed it was in “rollover,” meaning we expected economic weakness going forward. |
| Our short-term dynamic views, which sought to take advantage of what we considered short-term market mispricing, added to the Fund’s returns during January and February 2019. We eliminated the Fund’s short-term dynamic allocation after the close of business on February 28, 2019, when the Fund’s principal investment strategy changed. |
| Overall, security selection within the Underlying Funds detracted from results during the Reporting Period, with underperformance concentrated in Underlying Equity Funds. |
| Q | How did the Underlying Funds perform relative to their respective benchmark indices during the Reporting Period? |
| A | Among Underlying Equity Funds, the Goldman Sachs Large Cap Value Insights Fund, the Goldman Sachs Large Cap Growth Insights Fund, the Goldman Sachs International Equity Insights Fund, the Goldman Sachs International Small Cap Insights Fund, the Goldman Sachs Emerging Markets Equity Insights Fund, the Goldman Sachs Small Cap Equity Insights Fund and the Goldman Sachs ActiveBeta® U.S. Large Cap Equity ETF underperformed their respective benchmark indices. The Goldman Sachs ActiveBeta® Emerging Markets Equity ETF and the Goldman Sachs ActiveBeta® International ETF outperformed their respective benchmark indices during the Reporting Period. Among Underlying Funds that invest in real assets, both the Goldman Sachs Global Infrastructure Fund and the Goldman Sachs Real Estate Securities Fund outperformed their respective benchmark indices during the Reporting Period. |
| Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
| A | During the Reporting Period, the Fund used derivatives for the passive replication of asset classes. Specifically, the Fund held strategic positions in U.S.large-cap equities through S&P 500® Index futures; international equities through MSCI EAFE Index futures; emerging markets stocks through MSCI Emerging Markets Index futures and MSCI Emerging Markets Index call options; and Canadianlarge-cap equities through S&P/TSX 60 Index futures (each had a positive impact on performance). |
The Fund employed forward foreign currency exchange contracts within a foreign currency hedging strategy (positive impact), which seeks to manage the risk associated with investing innon-U.S. currencies. In addition, equity options were used within our volatility selling strategy (positive impact). Our volatility selling strategy seeks to benefit from |
3
PORTFOLIO RESULTS
the difference between implied volatility (i.e., expectations of future volatility) and realized volatility (i.e., historical volatility) in equity markets. Finally, the Fund utilized interest rate options in a macroeconomic hedge strategy (positive impact). |
| Beginning in June 2019, the Fund reduced equity risk, specifically its exposure to U.S.large-cap equities, through the purchase of put options on the S&P 500® Index (marginally negative impact). 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. |
| During the Reporting Period overall, some of the Underlying Funds 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 within the Fund during the Reporting Period? |
| A | At the start of the Reporting Period, we began moving the Fund to a new long-term strategic allocation. As part of that effort, we increased the Fund’s exposure to the Goldman Sachs ActiveBeta® U.S. Large Cap Equity ETF and reduced its exposures to emerging markets equities andsmall-cap stocks during January and February 2019. We also added new strategies that sought to diversify the Fund beyond traditional equity asset classes. Specifically, we added a volatility selling strategy (accomplished through equity options) and a macroeconomic hedge strategy (accomplished through interest rate options). Additionally, we added an allocation to global infrastructure securities to diversify the Fund’s exposure to real assets beyond global real estate securities. Finally, we added a foreign currency hedging strategy (accomplished through forward foreign currency exchange contracts). |
| Between the beginning of the Reporting Period and February 28, 2019, we expressed our short-term dynamic views that the Fund have long positions in emerging markets equities, U.S.large-cap equities and international equities. We eliminated the Fund’s short-term dynamic allocation after February 28th, preferring to access other sources of potential excess returns. |
| After the close of business on February 28, 2019, when the Fund’s principal investment strategy changed, we began adding passive exposure to U.S.large-cap stocks,non-U.S. developed markets equities and emerging markets equities (accomplished through futures). We also increased passive index replication by raising the Fund’s exposure to Goldman Sachs ActiveBeta® ETFs broadly. |
| Beginning in June 2019, we sought to reduce equity risk in the Fund through the purchase of put options on U.S. large cap equities. We maintained this positioning through the end of the Reporting Period. |
| Q | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
| A | Effective February 19, 2019, Raymond Chan no longer served as a portfolio manager of the Fund. Additionally, Neill Nuttall began serving as a portfolio manager of the Fund on February 19, 2019. By design, all investment decisions for the Fund are performed within aco-lead or team structure, with multiple subject matter experts. This strategic decision making has been the cornerstone of our approach and ensures continuity in the Fund. At the end of the Reporting Period, the portfolio managers for the Fund were Neill Nuttall and Christopher Lvoff. |
| At the end of 2019, Kane Brenan, Global Head andCo-Chief Investment Officer of GPS, retired. Gregory Calnon became Global Head of GPS, and Neill Nuttall became sole Chief Investment Officer for GPS. |
| Q | What is the Fund’s tactical view and strategy for the months ahead? |
| A | At the end of the Reporting Period, we expected a modest pickup in global economic activity in 2020. In our view, the global economy could continue to expand, particularly in the U.S. where we were encouraged by the continued strength of the labor market, the early signs of a turnaround in manufacturing, what we considered to be manageable weakness in the services sector, and the fading drag of trade tariffs. As for monetary policy, we believed the Fed, ECB and the Bank of Japan were likely to remain accommodative, though the Bank of England may be the only major central bank to ease interest rates during 2020, in our opinion. We expected China, the Eurozone countries and Japan to provide additional fiscal stimulus in the near term. Regarding recessionary risk, we considered it low, though we expected it to be modestly higher in 2020 than it was in 2019. At the end of the Reporting Period, we saw no shortage of geopolitical concerns, including the potential of disruptions |
4
PORTFOLIO RESULTS
caused by a more adventurous or aggressive Iran and North Korea. We also thought that ongoing U.S.-China trade negotiations, U.S. elections and the U.K.’s exit from the European Union could increase market volatility. |
| At the asset class level, we expected equities to offer modest returns in the near term, supported by moderate corporate earnings growth. Although we considered U.S. equity valuations high at the end of the Reporting Period, we thought they were justified by the existing macro environment. That said, we expected high valuations and moderate earnings growth to limit equity returns relative to what we might expect during a period of increasing economic growth momentum. In this environment, we believe it is critical to remain vigilant. The current U.S. economic expansion has exceeded all others in length, while the current U.S. equity bull market has exceeded all others in length and all but one other in strength. In our view, neither will continue indefinitely. Therefore, we believe a dynamic investment approach is even more important than usual. |
5
FUND BASICS
Dynamic Global Equity Fund
as of December 31, 2019
| 1 | 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. The percentage shown for each weighting reflects the value of that weighting as a percentage of net assets of the Fund. Figures in the above graph may not sum to 100% due to rounding and/or the exclusion of other assets and liabilities. |
| 2 | 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 December 31, 2019. Actual underlying fund weighting in the Fund 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. |
6
FUND BASICS
| OVERALL UNDERLYING FUND WEIGHTINGS3 |
| Percentage of Net Assets |
| 3 | The Fund 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 Fund. 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 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. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
7
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Performance Summary
December 31, 2019
The following graph shows the value, as of December 31, 2019, of a $10,000 investment made on January 1, 2010 in Class A Shares (with the maximum sales charge of 5.5%). For comparative purposes, the performance of the Fund’s benchmark, the MSCI® All Country World Index (Net, USD, Unhedged) (“MSCI ACWI Index”) (with distributions reinvested), is shown. Performance reflects applicable fee waivers and/or expense limitations currently in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below 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 below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
| Dynamic Global Equity Fund’s 10 Year Performance |
Performance of a $10,000 investment, with distributions reinvested, from January 1, 2010 through December 31, 2019.
| Average Annual Total Return through December 31, 2019* | One Year | Five Years | Ten Years | Since Inception | ||||||||
Class A | ||||||||||||
Excluding sales charges | 25.66% | 8.60% | 8.88% | — | ||||||||
Including sales charges | 18.73% | 7.38% | 8.26% | — | ||||||||
| ||||||||||||
Class C | ||||||||||||
Excluding contingent deferred sales charges | 24.72% | 7.80% | 8.06% | — | ||||||||
Including contingent deferred sales charges | 23.47% | 7.80% | 8.06% | — | ||||||||
| ||||||||||||
Institutional | 26.18% | 9.04% | 9.31% | — | ||||||||
| ||||||||||||
Service | 25.49% | 8.48% | 8.76% | — | ||||||||
| ||||||||||||
Investor | 25.97% | 8.87% | 9.15% | — | ||||||||
| ||||||||||||
Class P (Commenced April 17, 2018) | 26.19% | N/A | N/A | 5.75% | ||||||||
| ||||||||||||
Class R | 25.36% | 8.33% | 8.61% | — | ||||||||
| ||||||||||||
Class R6 (Commenced July 31, 2015) | 26.14% | N/A | N/A | 8.97% | ||||||||
| ||||||||||||
| * | These returns assume reinvestment of all distributions at NAV and reflect a maximum initial sales charge of 5.50% for Class A Shares and the assumed contingent deferred sales charge for Class C Shares (1% if redeemed within 12 months of purchase). Because Institutional, Service, Investor, Class P, Class R and Class R6 Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
8
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
TheMSCI® 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.
MSCI ACWI Investable Market Index captures large, mid and small cap representation across 23 developed markets and 26 emerging markets countries.
MSCI China Index captures large and mid cap representation across China H shares, B shares, Red chips, P chips and foreign listings.
MSCI World Index is a broad global equity index that represents large and mid-cap equity performance across 23 developed markets countries. It covers approximately 85% of the free float-adjusted market capitalization in each country.
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.
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.
MSCI EAFE Index is an equity index that captures large-cap and mid-cap representation across 21 developed markets countries around the world, excluding the U.S. and Canada. The index covers approximately 85% of the free float-adjusted market capitalization in each country.
S&P/TSX 60 Index is a stock market index of 60 large companies listed on the Toronto Stock Exchange.
It is not possible to invest directly in an unmanaged index.
9
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
December 31, 2019
| Shares | Description | Value | ||||||
| Underlying Funds(a) – 83.1% | ||||||||
| Equity – 32.4% | ||||||||
| 5,341,607 | Goldman Sachs International Equity Insights Fund – Class R6 | $ | 69,334,054 | |||||
| 1,595,046 | Goldman Sachs Large Cap Growth Insights Fund – Class R6 | 53,449,989 | ||||||
| 2,342,751 | Goldman Sachs Large Cap Value Insights Fund – Class R6 | 52,009,062 | ||||||
| 3,122,652 | Goldman Sachs Emerging Markets Equity Insights Fund – Class R6 | 30,633,215 | ||||||
| 637,099 | Goldman Sachs Small Cap Equity Insights Fund – Class R6 | 17,781,421 | ||||||
| 1,088,762 | Goldman Sachs Global Infrastructure Fund – Class R6 | 13,576,858 | ||||||
| 1,097,411 | Goldman Sachs International Small Cap Insights Fund – Class R6 | 13,157,963 | ||||||
| 1,094,919 | Goldman Sachs Global Real Estate Securities Fund – Class R6 | 12,164,548 | ||||||
|
| |||||||
| 262,107,110 | ||||||||
|
| |||||||
| Exchange Traded Funds – 50.7% | ||||||||
| 3,203,485 | Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | 207,169,375 | ||||||
| 4,610,470 | Goldman Sachs ActiveBeta International Equity ETF | 139,466,717 | ||||||
| 1,863,841 | Goldman Sachs ActiveBeta Emerging Markets Equity ETF | 64,004,300 | ||||||
|
| |||||||
| 410,640,392 | ||||||||
|
| |||||||
| TOTAL UNDERLYING FUNDS – 83.1% | ||||||||
| (Cost $601,185,241) | $ | 672,747,502 | ||||||
|
| |||||||
| Shares | Dividend Rate | Value | ||||||
| Investment Company(a) – 13.3% | ||||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||||
| 107,461,189 | 1.638 | % | $ | 107,461,189 | ||||
| (Cost $107,461,189) |
| |||||||
| ||||||||
| TOTAL INVESTMENTS – 96.4% |
| |||||||
| (Cost $708,646,430) |
| $ | 780,208,691 | |||||
| ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 3.6% |
| 28,849,275 | ||||||
| ||||||||
| NET ASSETS – 100.0% |
| $ | 809,057,966 | |||||
| ||||||||
| 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 | |
CHF | —Swiss Franc | |
DKK | —Danish Krone | |
EUR | —Euro | |
GBP | —British Pound | |
HKD | —Hong Kong Dollar | |
ILS | —Israeli Shekel | |
JPY | —Japanese Yen | |
NOK | —Norwegian Krone | |
NZD | —New Zealand Dollar | |
SEK | —Swedish Krona | |
SGD | —Singapore Dollar | |
USD | —U.S. Dollar | |
Investment Abbreviations: | ||
ETF | —Exchange Traded Fund | |
PLC | —Public Limited Company | |
| ||
| ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At December 31, 2019, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Gain | ||||||||
MS & Co. Int. PLC | USD 12,609,092 | JPY 1,363,000,000 | 03/18/20 | $ | 8,737 | |||||||
| 10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
| ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||
MS & Co. Int. PLC | USD | 16,289,155 | EUR | 14,580,000 | 03/18/20 | $ | (145,784 | ) | ||||||||
| USD | 902,331 | DKK | 6,030,000 | 03/18/20 | (7,757 | ) | ||||||||||
| USD | 3,608,465 | AUD | 5,260,000 | 03/18/20 | (89,914 | ) | ||||||||||
| USD | 1,381,488 | SEK | 13,050,000 | 03/18/20 | (17,064 | ) | ||||||||||
| USD | 8,942,097 | GBP | 6,800,000 | 03/18/20 | (84,628 | ) | ||||||||||
| USD | 4,721,898 | CHF | 4,630,000 | 03/18/20 | (88,902 | ) | ||||||||||
| USD | 349,542 | NOK | 3,200,000 | 03/18/20 | (15,035 | ) | ||||||||||
| USD | 705,356 | SGD | 960,000 | 03/18/20 | (8,977 | ) | ||||||||||
| USD | 162,273 | ILS | 560,000 | 03/18/20 | (585 | ) | ||||||||||
| USD | 1,965,986 | HKD | 15,400,000 | 03/18/20 | (9,112 | ) | ||||||||||
| USD | 130,913 | NZD | 200,000 | 03/18/20 | (3,880 | ) | ||||||||||
| TOTAL |
| $ | (471,638 | ) | ||||||||||||
FUTURES CONTRACTS —At December 31, 2019, the Fund had the following futures contracts:
| Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||
Long position contracts: |
| |||||||||||||
Mini MSCI EAFE Index | 579 | 03/20/20 | $ | 58,956,675 | $ | 209,805 | ||||||||
MSCI Emerging Markets Index | 513 | 03/20/20 | 28,733,130 | 646,044 | ||||||||||
S&P 500E-Mini Index | 608 | 03/20/20 | 98,225,440 | 1,370,991 | ||||||||||
S&P Toronto Stock Exchange 60 Index | 50 | 03/19/20 | 7,796,388 | 13,880 | ||||||||||
| TOTAL FUTURES CONTRACTS |
| $ | 2,240,720 | |||||||||||
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At December 31, 2019, the Fund 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) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
Purchased option contracts |
| |||||||||||||||||||||||||||||
Calls |
| |||||||||||||||||||||||||||||
Eurodollar Futures | $ | 97.000 | 03/15/2021 | 205 | $ | 512,500 | $ | 738,000 | $ | 541,163 | $ | 196,837 | ||||||||||||||||||
Eurodollar Futures | 97.000 | 06/14/2021 | 205 | 512,500 | 738,000 | 538,601 | 199,399 | |||||||||||||||||||||||
Eurodollar Futures | 97.000 | 09/13/2021 | 266 | 665,000 | 955,937 | 689,942 | 265,995 | |||||||||||||||||||||||
Eurodollar Futures | 97.125 | 09/14/2020 | 23 | 57,500 | 71,300 | 28,803 | 42,497 | |||||||||||||||||||||||
Eurodollar Futures | 97.125 | 12/14/2020 | 31 | 77,500 | 97,263 | 41,147 | 56,116 | |||||||||||||||||||||||
Eurodollar Futures | 97.500 | 09/14/2020 | 36 | 90,000 | 77,849 | 50,483 | 27,366 | |||||||||||||||||||||||
Eurodollar Futures | 97.500 | 12/14/2020 | 19 | 47,500 | 41,800 | 28,069 | 13,731 | |||||||||||||||||||||||
Eurodollar Futures | 98.000 | 03/15/2021 | 213 | 532,500 | 256,931 | 192,194 | 64,737 | |||||||||||||||||||||||
Eurodollar Futures | 98.000 | 06/14/2021 | 394 | 985,000 | 504,813 | 343,612 | 161,201 | |||||||||||||||||||||||
Eurodollar Futures | 98.250 | 03/15/2021 | 605 | 1,512,500 | 457,531 | 704,341 | (246,810 | ) | ||||||||||||||||||||||
Eurodollar Futures | 98.250 | 06/14/2021 | 511 | 1,277,500 | 440,738 | 629,611 | (188,873 | ) | ||||||||||||||||||||||
Eurodollar Futures | 98.250 | 09/13/2021 | 500 | 1,250,000 | 475,000 | 599,298 | (124,298 | ) | ||||||||||||||||||||||
Eurodollar Futures | 98.500 | 03/16/2020 | 47 | 117,500 | 882 | 15,972 | (15,090 | ) | ||||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Schedule of Investments(continued)
December 31, 2019
| 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) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
Calls (continued) |
| |||||||||||||||||||||||||||||
Eurodollar Futures | $ | 98.500 | 06/15/2020 | 31 | $ | 77,500 | $ | 2,519 | $ | 15,572 | $ | (13,053 | ) | |||||||||||||||||
Eurodollar Futures | 98.500 | 12/13/2021 | 296 | 740,000 | 205,350 | 291,087 | (85,737 | ) | ||||||||||||||||||||||
| TOTAL | 3,382 | $ | 8,455,000 | $ | 5,063,913 | $ | 4,709,895 | $ | 354,018 | |||||||||||||||||||||
PURCHASED AND WRITTEN OPTIONS CONTRACTS ON EQUITIES
OVER-THE-COUNTER OPTIONS ON EQUITIES
| Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Purchased option contracts |
| |||||||||||||||||||||||||||||
Puts |
| |||||||||||||||||||||||||||||
SPX Index | Barclays Bank PLC | $ | 2,801.58 | 01/17/2020 | 5,823 | $ | 5,823 | $ | 4,681 | $ | 516,616 | $ | (511,935 | ) | ||||||||||||||||
EXCHANGE TRADED OPTIONS ON EQUITIES
| Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
Written option contracts | ||||||||||||||||||||||||||||||
Calls | ||||||||||||||||||||||||||||||
S&P 500 Index | $ | 3,185.000 | 01/31/2020 | (1 | ) | $ | (100 | ) | $ | (7,820 | ) | $ | (2,289 | ) | $ | (5,531 | ) | |||||||||||||
S&P 500 Index | 3,190.000 | 01/31/2020 | (3 | ) | (300 | ) | (22,275 | ) | (8,488 | ) | (13,787 | ) | ||||||||||||||||||
S&P 500 Index | 3,195.000 | 01/08/2020 | (12 | ) | (1,200 | ) | (56,460 | ) | (17,883 | ) | (38,577 | ) | ||||||||||||||||||
S&P 500 Index | 3,195.000 | 01/31/2020 | (1 | ) | (100 | ) | (7,040 | ) | (2,419 | ) | (4,621 | ) | ||||||||||||||||||
S&P 500 Index | 3,215.000 | 01/31/2020 | (2 | ) | (200 | ) | (11,111 | ) | (4,019 | ) | (7,092 | ) | ||||||||||||||||||
S&P 500 Index | 3,220.000 | 01/31/2020 | (2 | ) | (200 | ) | (10,400 | ) | (4,372 | ) | (6,028 | ) | ||||||||||||||||||
S&P 500 Index | 3,225.000 | 01/31/2020 | (3 | ) | (300 | ) | (14,565 | ) | (6,508 | ) | (8,057 | ) | ||||||||||||||||||
S&P 500 Index | 3,240.000 | 01/15/2020 | (12 | ) | (1,200 | ) | (27,240 | ) | (15,028 | ) | (12,212 | ) | ||||||||||||||||||
S&P 500 Index | 3,245.000 | 02/28/2020 | (1 | ) | (100 | ) | (5,505 | ) | (2,719 | ) | (2,786 | ) | ||||||||||||||||||
S&P 500 Index | 3,260.000 | 01/31/2020 | (2 | ) | (200 | ) | (5,469 | ) | (3,258 | ) | (2,211 | ) | ||||||||||||||||||
S&P 500 Index | 3,275.000 | 01/22/2020 | (12 | ) | (1,200 | ) | (14,820 | ) | (12,865 | ) | (1,955 | ) | ||||||||||||||||||
S&P 500 Index | 3,275.000 | 01/31/2020 | (10 | ) | (1,000 | ) | (20,050 | ) | (15,993 | ) | (4,057 | ) | ||||||||||||||||||
S&P 500 Index | 3,280.000 | 01/29/2020 | (12 | ) | (1,200 | ) | (19,380 | ) | (15,141 | ) | (4,239 | ) | ||||||||||||||||||
S&P 500 Index | 3,280.000 | 01/31/2020 | (10 | ) | (1,000 | ) | (18,000 | ) | (14,086 | ) | (3,914 | ) | ||||||||||||||||||
S&P 500 Index | 3,285.000 | 01/31/2020 | (10 | ) | (1,000 | ) | (16,050 | ) | (12,406 | ) | (3,644 | ) | ||||||||||||||||||
S&P 500 Index | 3,285.000 | 02/28/2020 | (2 | ) | (200 | ) | (6,680 | ) | (4,518 | ) | (2,162 | ) | ||||||||||||||||||
S&P 500 Index | 3,290.000 | 01/31/2020 | (10 | ) | (1,000 | ) | (14,250 | ) | (10,993 | ) | (3,257 | ) | ||||||||||||||||||
S&P 500 Index | 3,295.000 | 01/31/2020 | (10 | ) | (1,000 | ) | (12,600 | ) | (9,713 | ) | (2,887 | ) | ||||||||||||||||||
S&P 500 Index | 3,310.000 | 02/28/2020 | (4 | ) | (400 | ) | (9,200 | ) | (7,909 | ) | (1,291 | ) | ||||||||||||||||||
S&P 500 Index | 3,315.000 | 02/28/2020 | (3 | ) | (300 | ) | (6,360 | ) | (5,985 | ) | (375 | ) | ||||||||||||||||||
| (122 | ) | $ | (12,200 | ) | $ | (305,275 | ) | $ | (176,592 | ) | $ | (128,683 | ) | |||||||||||||||||
Puts |
| |||||||||||||||||||||||||||||
S&P 500 Index | 2,995.000 | 01/31/2020 | (1 | ) | (100 | ) | (700 | ) | (5,329 | ) | 4,629 | |||||||||||||||||||
S&P 500 Index | 3,010.000 | 01/31/2020 | (3 | ) | (300 | ) | (2,325 | ) | (11,471 | ) | 9,146 | |||||||||||||||||||
S&P 500 Index | 3,015.000 | 01/31/2020 | (1 | ) | (100 | ) | (800 | ) | (4,899 | ) | 4,099 | |||||||||||||||||||
S&P 500 Index | 3,040.000 | 02/28/2020 | (1 | ) | (100 | ) | (2,185 | ) | (5,311 | ) | 3,126 | |||||||||||||||||||
| 12 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
| 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) | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
Puts (continued) |
| |||||||||||||||||||||||||||||
S&P 500 Index | $ | 3,045.000 | 01/31/2020 | (2 | ) | $ | (200 | ) | $ | (1,960 | ) | $ | (9,305 | ) | $ | 7,345 | ||||||||||||||
S&P 500 Index | 3,060.000 | 01/31/2020 | (2 | ) | (200 | ) | (2,180 | ) | (8,059 | ) | 5,879 | |||||||||||||||||||
S&P 500 Index | 3,075.000 | 01/31/2020 | (3 | ) | (300 | ) | (3,631 | ) | (11,717 | ) | 8,086 | |||||||||||||||||||
S&P 500 Index | 3,080.000 | 01/08/2020 | (12 | ) | (1,200 | ) | (2,220 | ) | (33,536 | ) | 31,316 | |||||||||||||||||||
S&P 500 Index | 3,120.000 | 02/28/2020 | (2 | ) | (200 | ) | (6,620 | ) | (8,319 | ) | 1,699 | |||||||||||||||||||
S&P 500 Index | 3,140.000 | 02/28/2020 | (4 | ) | (400 | ) | (14,720 | ) | (16,645 | ) | 1,925 | |||||||||||||||||||
S&P 500 Index | 3,145.000 | 01/31/2020 | (2 | ) | (200 | ) | (4,039 | ) | (5,818 | ) | 1,779 | |||||||||||||||||||
S&P 500 Index | 3,155.000 | 01/15/2020 | (12 | ) | (1,200 | ) | (11,460 | ) | (23,751 | ) | 12,291 | |||||||||||||||||||
S&P 500 Index | 3,155.000 | 01/31/2020 | (10 | ) | (1,000 | ) | (21,800 | ) | (25,973 | ) | 4,173 | |||||||||||||||||||
S&P 500 Index | 3,155.000 | 02/28/2020 | (3 | ) | (300 | ) | (11,940 | ) | (12,697 | ) | 757 | |||||||||||||||||||
S&P 500 Index | 3,160.000 | 01/31/2020 | (10 | ) | (1,000 | ) | (22,600 | ) | (26,276 | ) | 3,676 | |||||||||||||||||||
S&P 500 Index | 3,165.000 | 01/31/2020 | (10 | ) | (1,000 | ) | (23,500 | ) | (27,828 | ) | 4,328 | |||||||||||||||||||
S&P 500 Index | 3,170.000 | 01/29/2020 | (12 | ) | (1,200 | ) | (26,580 | ) | (31,943 | ) | 5,363 | |||||||||||||||||||
S&P 500 Index | 3,170.000 | 01/31/2020 | (10 | ) | (1,000 | ) | (24,400 | ) | (28,344 | ) | 3,944 | |||||||||||||||||||
S&P 500 Index | 3,175.000 | 01/31/2020 | (10 | ) | (1,000 | ) | (25,350 | ) | (30,039 | ) | 4,689 | |||||||||||||||||||
S&P 500 Index | 3,185.000 | 01/22/2020 | (12 | ) | (1,200 | ) | (22,620 | ) | (26,883 | ) | 4,263 | |||||||||||||||||||
| (122 | ) | $ | (12,200 | ) | $ | (231,630 | ) | $ | (354,143 | ) | $ | 122,513 | ||||||||||||||||||
| Total |
| (244 | ) | $ | (24,400 | ) | $ | (536,905 | ) | $ | (530,735 | ) | $ | (6,170 | ) | |||||||||||||||
| ||
Abbreviation: | ||
MS & Co. Int. PLC—Morgan Stanley & Co. International PLC | ||
| ||
| The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Statement of Assets and Liabilities
December 31, 2019
| ||||||
| Assets: | ||||||
Investments in Affiliated Funds, at value (cost $708,646,430) | 780,208,691 | |||||
Purchased options, at value (premium paid $5,226,511) | 5,068,594 | |||||
Cash | 12,750,536 | |||||
Foreign currencies, at value (cost $37,736) | 57,760 | |||||
Unrealized gain on forward foreign currency exchange contracts | 8,737 | |||||
Variation margin on futures | 595,836 | |||||
Receivables: | ||||||
Collateral on certain derivative contracts(a) | 12,320,146 | |||||
Fund shares sold | 469,360 | |||||
Investments sold | 269,080 | |||||
Dividends | 139,907 | |||||
Reimbursement from investment adviser | 95,289 | |||||
Other assets | 67,358 | |||||
| Total assets | 812,051,294 | |||||
| Liabilities: | ||||||
Unrealized loss on forward foreign currency exchange contracts | 471,638 | |||||
Written option contracts, at value (premium received $530,735) | 536,905 | |||||
Payables: | ||||||
Fund shares redeemed | 903,065 | |||||
Investments purchased | 545,147 | |||||
Collateral on certain derivative contracts(b) | 220,000 | |||||
Management fees | 102,503 | |||||
Distribution and Service fees and Transfer Agency fees | 94,724 | |||||
Accrued expenses | 119,346 | |||||
| Total liabilities | 2,993,328 | |||||
| Net Assets: | ||||||
Paid-in capital | 728,582,339 | |||||
Total distributable earnings | 80,475,627 | |||||
| NET ASSETS | $ | 809,057,966 | ||||
Net Assets: | ||||||
Class A | $ | 162,027,913 | ||||
Class C | 17,347,759 | |||||
Institutional | 13,423,471 | |||||
Service | 380,088 | |||||
Investor | 4,516,556 | |||||
Class P | 127,367,060 | |||||
Class R | 5,922,246 | |||||
Class R6 | 478,072,873 | |||||
Total Net Assets | $ | 809,057,966 | ||||
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | ||||||
Class A | 8,386,896 | |||||
Class C | 925,595 | |||||
Institutional | 686,722 | |||||
Service | 19,690 | |||||
Investor | 237,210 | |||||
Class P | 6,511,368 | |||||
Class R | 309,205 | |||||
Class R6 | 24,452,154 | |||||
Net asset value, offering and redemption price per share:(c) | ||||||
Class A | $19.32 | |||||
Class C | 18.74 | |||||
Institutional | 19.55 | |||||
Service | 19.30 | |||||
Investor | 19.04 | |||||
Class P | 19.56 | |||||
Class R | 19.15 | |||||
Class R6 | 19.55 | |||||
| (a) | Includes segregated cash of $4,614,202, $300,000 and $7,405,944 relating to initial margin requirements and/or collateral on futures, forwards and options transactions, respectively. |
| (b) | Includes segregated cash of $220,000 relating to initial margin requirements and/or collateral on options transactions. |
| (c) | Maximum public offering price per share for Class A Shares is $20.44. 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. |
| 14 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Statement of Operations
For the Fiscal Year Ended December 31, 2019
| Investment income: |
| |||||
Dividends from Affiliated Funds | $ | 15,103,885 | ||||
Interest | 45,666 | |||||
| Total investment income | 15,149,551 | |||||
| Expenses: | ||||||
Management fees | 938,879 | |||||
Distribution and Service fees(a) | 619,382 | |||||
Transfer Agency fees(a) | 455,784 | |||||
Registration fees | 134,355 | |||||
Professional fees | 133,245 | |||||
Printing and mailing costs | 116,881 | |||||
Custody, accounting and administrative services | 83,557 | |||||
Trustee fees | 16,987 | |||||
Shareholder meeting expense | 16,644 | |||||
Service Share fees — Service Plan | 1,463 | |||||
Service Share fees — Shareholder Administration Plan | 1,463 | |||||
Prime Broker Fees | 750 | |||||
Other | 15,292 | |||||
| Total expenses | 2,534,682 | |||||
Less — expense reductions | (475,951 | ) | ||||
| Net expenses | 2,058,731 | |||||
| NET INVESTMENT INCOME | 13,090,820 | |||||
| Realized and unrealized gain (loss): | ||||||
Capital gain distributions from Affiliated Funds | 2,046,265 | |||||
Net realized gain (loss) from: | ||||||
Affiliated Funds | 19,795,900 | |||||
Purchased options | 2,348,625 | |||||
Futures contracts | 20,175,482 | |||||
Written options | 629,321 | |||||
Forward foreign currency exchange contracts | 848,463 | |||||
Foreign currency transactions | (27,069 | ) | ||||
Net change in unrealized gain (loss) on: | ||||||
Affiliated Funds | 70,726,355 | |||||
Purchased options | (128,525 | ) | ||||
Futures contracts | 2,379,237 | |||||
Written options | (6,170 | ) | ||||
Forward foreign currency exchange contracts | (462,901 | ) | ||||
Foreign currency translation | 10,115 | |||||
| Net realized and unrealized gain | 118,335,098 | |||||
| NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 131,425,918 | ||||
| (a) | Class specific Distribution and/or Service and Transfer Agent fees were as follows: |
| Distribution and/or Service Fees | Transfer Agency Fees | |||||||||||||||||||||||||||||||||||||||||
Class A | Class C | Class R | Class A | Class C | Institutional | Service | Investor | Class P | Class R | Class R6 | ||||||||||||||||||||||||||||||||
| $ | 379,629 | $ | 211,228 | $ | 28,525 | $ | 265,470 | $ | 37,090 | $ | 6,433 | $ | 234 | $ | 8,939 | $ | 35,194 | $ | 9,976 | $ | 92,448 | |||||||||||||||||||||
| The accompanying notes are an integral part of these financial statements. | 15 |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Statements of Changes in Net Assets
| For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||
| From operations: |
| |||||||||
Net investment income | $ | 13,090,820 | $ | 3,378,018 | ||||||
Net realized gain | 45,816,987 | 17,581,598 | ||||||||
Net change in unrealized gain (loss) | 72,518,111 | (58,513,379 | ) | |||||||
| Net increase (decrease) in net assets resulting from operations | 131,425,918 | (37,553,763 | ) | |||||||
| Distributions to shareholders: | ||||||||||
From total distributable earnings: | ||||||||||
Class A Shares | (8,721,949 | ) | (3,527,838 | ) | ||||||
Class C Shares | (853,186 | ) | (103,569 | ) | ||||||
Institutional Shares | (757,246 | ) | (477,191 | ) | ||||||
Service Shares | (19,202 | ) | (12,880 | ) | ||||||
Investor Shares | (257,107 | ) | (162,939 | ) | ||||||
Class P Shares(a) | (7,237,115 | ) | (3,046,018 | ) | ||||||
Class R Shares | (324,233 | ) | (117,644 | ) | ||||||
Class R6 Shares | (27,511,667 | ) | (133,363 | ) | ||||||
| Total distributions to shareholders | (45,681,705 | ) | (7,581,442 | ) | ||||||
| From share transactions: | ||||||||||
Proceeds from sales of shares | 523,768,845 | 194,331,566 | ||||||||
Reinvestment of distributions | 44,747,494 | 7,197,075 | ||||||||
Cost of shares redeemed | (139,697,167 | ) | (235,405,360 | ) | ||||||
| Net increase (decrease) in net assets resulting from share transactions | 428,819,172 | (33,876,719 | ) | |||||||
| TOTAL INCREASE (DECREASE) | 514,563,385 | (79,011,924 | ) | |||||||
| Net assets: | ||||||||||
Beginning of year | 294,494,581 | 373,506,505 | ||||||||
End of year | $ | 809,057,966 | $ | 294,494,581 | ||||||
| (a) | Class P Shares commenced operations on April 17, 2018. |
| 16 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Selected Share Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Dynamic Global Equity Fund | ||||||||||||||||||||||
| Class A Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 16.26 | $ | 18.84 | $ | 15.25 | $ | 14.44 | $ | 14.46 | ||||||||||||
Net investment income(a)(b) | 0.29 | 0.20 | 0.16 | 0.16 | 0.09 | |||||||||||||||||
Net realized and unrealized gain (loss) | 3.86 | (2.35 | ) | 3.80 | 0.83 | 0.03 | ||||||||||||||||
Total from investment operations | 4.15 | (2.15 | ) | 3.96 | 0.99 | 0.12 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.27 | ) | (0.43 | ) | (0.37 | ) | (0.18 | ) | (0.14 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.82 | ) | — | — | — | — | ||||||||||||||||
Total distributions | (1.09 | ) | (0.43 | ) | (0.37 | ) | (0.18 | ) | (0.14 | ) | ||||||||||||
Net asset value, end of year | $ | 19.32 | $ | 16.26 | $ | 18.84 | $ | 15.25 | $ | 14.44 | ||||||||||||
| Total return(c) | 25.66 | % | (11.40 | )% | 25.96 | % | 6.81 | % | 0.83 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 162,028 | $ | 135,758 | $ | 137,276 | $ | 124,514 | $ | 134,851 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.58 | % | 0.58 | % | 0.59 | % | 0.59 | % | 0.59 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.66 | % | 0.66 | % | 0.67 | % | 0.69 | % | 0.67 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.56 | % | 1.09 | % | 0.93 | % | 1.12 | % | 0.63 | % | ||||||||||||
Portfolio turnover rate(e) | 40 | % | 11 | % | 53 | % | 39 | % | 18 | % | ||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Recognition of net investment income by the Fund is affected by the timing of declaration of dividends by the Underlying Funds in which the Fund invests. |
| (c) | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). 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. |
| (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 17 |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Dynamic Global Equity Fund | ||||||||||||||||||||||
| Class C Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 15.77 | $ | 18.01 | $ | 14.58 | $ | 13.82 | $ | 13.83 | ||||||||||||
Net investment income (loss)(a)(b) | 0.10 | (0.05 | ) | 0.01 | 0.05 | (0.02 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | 3.77 | (2.12 | ) | 3.65 | 0.78 | 0.04 | ||||||||||||||||
Total from investment operations | 3.87 | (2.17 | ) | 3.66 | 0.83 | 0.02 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.08 | ) | (0.07 | ) | (0.23 | ) | (0.07 | ) | (0.03 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.82 | ) | — | — | — | — | ||||||||||||||||
Total distributions | (0.90 | ) | (0.07 | ) | (0.23 | ) | (0.07 | ) | (0.03 | ) | ||||||||||||
Net asset value, end of year | $ | 18.74 | $ | 15.77 | $ | 18.01 | $ | 14.58 | $ | 13.82 | ||||||||||||
| Total return(c) | 24.72 | % | (12.04 | )% | 25.08 | % | 5.95 | % | 0.13 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 17,348 | $ | 23,020 | $ | 68,315 | $ | 75,027 | $ | 83,743 | ||||||||||||
Ratio of net expenses to average net assets(d) | 1.33 | % | 1.33 | % | 1.34 | % | 1.34 | % | 1.34 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 1.41 | % | 1.40 | % | 1.42 | % | 1.44 | % | 1.42 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets(b) | 0.58 | % | (0.29 | )% | 0.08 | % | 0.33 | % | (0.15 | )% | ||||||||||||
Portfolio turnover rate(e) | 40 | % | 11 | % | 53 | % | 39 | % | 18 | % | ||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Recognition of net investment income by the Fund is affected by the timing of declaration of dividends by the Underlying Funds in which the Fund invests. |
| (c) | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). 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. |
| (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 18 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Dynamic Global Equity Fund | ||||||||||||||||||||||
| Institutional Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 16.43 | $ | 19.01 | $ | 15.38 | $ | 14.57 | $ | 14.58 | ||||||||||||
Net investment income(a)(b) | 0.34 | 0.09 | 0.24 | 0.23 | 0.16 | |||||||||||||||||
Net realized and unrealized gain (loss) | 3.93 | (2.20 | ) | 3.83 | 0.82 | 0.03 | ||||||||||||||||
Total from investment operations | 4.27 | (2.11 | ) | 4.07 | 1.05 | 0.19 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.33 | ) | (0.47 | ) | (0.44 | ) | (0.24 | ) | (0.20 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.82 | ) | — | — | — | — | ||||||||||||||||
Total distributions | (1.15 | ) | (0.47 | ) | (0.44 | ) | (0.24 | ) | (0.20 | ) | ||||||||||||
Net asset value, end of year | $ | 19.55 | $ | 16.43 | $ | 19.01 | $ | 15.38 | $ | 14.57 | ||||||||||||
| Total return(c) | 26.18 | % | (11.07 | )% | 26.48 | % | 7.18 | % | 1.31 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 13,423 | $ | 16,974 | $ | 155,828 | $ | 119,108 | $ | 117,357 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.20 | % | 0.19 | % | 0.20 | % | 0.19 | % | 0.19 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.28 | % | 0.26 | % | 0.28 | % | 0.29 | % | 0.27 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.82 | % | 0.47 | % | 1.40 | % | 1.55 | % | 1.05 | % | ||||||||||||
Portfolio turnover rate(e) | 40 | % | 11 | % | 53 | % | 39 | % | 18 | % | ||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Recognition of net investment income by the Fund is affected by the timing of declaration of dividends by the Underlying Funds in which the Fund invests. |
| (c) | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). 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. |
| (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 19 |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Dynamic Global Equity Fund | ||||||||||||||||||||||
| Service Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | �� | $ | 16.20 | $ | 18.75 | $ | 15.19 | $ | 14.39 | $ | 14.40 | |||||||||||
Net investment income(a)(b) | 0.21 | 0.15 | 0.16 | 0.15 | 0.08 | |||||||||||||||||
Net realized and unrealized gain (loss) | 3.89 | (2.31 | ) | 3.76 | 0.81 | 0.03 | ||||||||||||||||
Total from investment operations | 4.10 | (2.16 | ) | 3.92 | 0.96 | 0.11 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.18 | ) | (0.39 | ) | (0.36 | ) | (0.16 | ) | (0.12 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.82 | ) | — | — | — | — | ||||||||||||||||
Total distributions | (1.00 | ) | (0.39 | ) | (0.36 | ) | (0.16 | ) | (0.12 | ) | ||||||||||||
Net asset value, end of year | $ | 19.30 | $ | 16.20 | $ | 18.75 | $ | 15.19 | $ | 14.39 | ||||||||||||
| Total return(c) | 25.49 | % | (11.48 | )% | 25.79 | % | 6.66 | % | 0.78 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 380 | $ | 543 | $ | 684 | $ | 470 | $ | 577 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.70 | % | 0.69 | % | 0.69 | % | 0.69 | % | 0.69 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.78 | % | 0.77 | % | 0.78 | % | 0.79 | % | 0.77 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.16 | % | 0.80 | % | 0.91 | % | 1.01 | % | 0.52 | % | ||||||||||||
Portfolio turnover rate(e) | 40 | % | 11 | % | 53 | % | 39 | % | 18 | % | ||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Recognition of net investment income by the Fund is affected by the timing of declaration of dividends by the Underlying Funds in which the Fund invests. |
| (c) | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). 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. |
| (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 20 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Dynamic Global Equity Fund | ||||||||||||||||||||||
| Investor Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 16.03 | $ | 18.58 | $ | 15.03 | $ | 14.25 | $ | 14.27 | ||||||||||||
Net investment income(a)(b) | 0.30 | 0.24 | 0.18 | 0.21 | 0.13 | |||||||||||||||||
Net realized and unrealized gain (loss) | 3.84 | (2.32 | ) | 3.78 | 0.79 | 0.03 | ||||||||||||||||
Total from investment operations | 4.14 | (2.08 | ) | 3.96 | 1.00 | 0.16 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.31 | ) | (0.47 | ) | (0.41 | ) | (0.22 | ) | (0.18 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.82 | ) | — | — | — | — | ||||||||||||||||
Total distributions | (1.13 | ) | (0.47 | ) | (0.41 | ) | (0.22 | ) | (0.18 | ) | ||||||||||||
Net asset value, end of year | $ | 19.04 | $ | 16.03 | $ | 18.58 | $ | 15.03 | $ | 14.25 | ||||||||||||
| Total return(c) | 25.97 | % | (11.18 | )% | 26.35 | % | 6.99 | % | 1.11 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 4,517 | $ | 5,703 | $ | 5,481 | $ | 5,663 | $ | 5,282 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.33 | % | 0.33 | % | 0.34 | % | 0.34 | % | 0.34 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.41 | % | 0.41 | % | 0.42 | % | 0.44 | % | 0.42 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.66 | % | 1.28 | % | 1.07 | % | 1.47 | % | 0.91 | % | ||||||||||||
Portfolio turnover rate(e) | 40 | % | 11 | % | 53 | % | 39 | % | 18 | % | ||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Recognition of net investment income by the Fund is affected by the timing of declaration of dividends by the Underlying Funds in which the Fund invests. |
| (c) | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). 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. |
| (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 21 |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Dynamic Global Equity Fund | ||||||||||
| Class P Shares | ||||||||||
| Year Ended December 31, 2019 | Period Ended December 31, 2018(a) | |||||||||
| Per Share Data | ||||||||||
Net asset value, beginning of period | $ | 16.44 | $ | 19.43 | ||||||
Net investment income(b)(c) | 0.37 | 0.31 | ||||||||
Net realized and unrealized gain (loss) | 3.91 | (2.80 | ) | |||||||
Total from investment operations | 4.28 | (2.49 | ) | |||||||
Distributions to shareholders from net investment income | (0.34 | ) | (0.50 | ) | ||||||
Distributions to shareholders from net realized gains | (0.82 | ) | — | |||||||
Total distributions | (1.16 | ) | (0.50 | ) | ||||||
Net asset value, end of period | $ | 19.56 | $ | 16.44 | ||||||
| Total return(d) | 26.19 | % | (12.80 | )% | ||||||
Net assets, end of period (in 000s) | $ | 127,367 | $ | 103,074 | ||||||
Ratio of net expenses to average net assets(e) | 0.19 | % | 0.18 | %(f) | ||||||
Ratio of total expenses to average net assets(e) | 0.27 | % | 0.27 | %(f) | ||||||
Ratio of net investment income to average net assets(c) | 1.96 | % | 2.33 | %(f) | ||||||
Portfolio turnover rate(g) | 40 | % | 11 | % | ||||||
| (a) | Commenced operations on April 17, 2018. |
| (b) | Calculated based on the average shares outstanding methodology. |
| (c) | Recognition of net investment income by the Fund is affected by the timing of declaration of dividends by the Underlying Funds in which the Fund 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 shareholders relating to Fund distributions or the redemption of Fund 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 Fund invests. |
| (f) | Annualized. |
| (g) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 22 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Year
| Goldman Sachs Dynamic Global Equity Fund | ||||||||||||||||||||||
| Class R Shares | ||||||||||||||||||||||
| Year Ended December 31, | ||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||
| Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 16.13 | $ | 18.69 | $ | 15.15 | $ | 14.37 | $ | 14.37 | ||||||||||||
Net investment income(a)(b) | 0.24 | 0.14 | 0.19 | 0.16 | 0.04 | |||||||||||||||||
Net realized and unrealized gain (loss) | 3.82 | (2.32 | ) | 3.70 | 0.78 | 0.05 | ||||||||||||||||
Total from investment operations | 4.06 | (2.18 | ) | 3.89 | 0.94 | 0.09 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.22 | ) | (0.38 | ) | (0.35 | ) | (0.16 | ) | (0.09 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.82 | ) | — | — | — | — | ||||||||||||||||
Total distributions | (1.04 | ) | (0.38 | ) | (0.35 | ) | (0.16 | ) | (0.09 | ) | ||||||||||||
Net asset value, end of year | $ | 19.15 | $ | 16.13 | $ | 18.69 | $ | 15.15 | $ | 14.37 | ||||||||||||
| Total return(c) | 25.36 | % | (11.63 | )% | 25.70 | % | 6.49 | % | 0.61 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 5,922 | $ | 4,938 | $ | 5,910 | $ | 2,031 | $ | 1,785 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.83 | % | 0.83 | % | 0.84 | % | 0.84 | % | 0.84 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.91 | % | 0.91 | % | 0.92 | % | 0.94 | % | 0.92 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.31 | % | 0.77 | % | 1.06 | % | 1.10 | % | 0.28 | % | ||||||||||||
Portfolio turnover rate(e) | 40 | % | 11 | % | 53 | % | 39 | % | 18 | % | ||||||||||||
| (a) | Calculated based on the average shares outstanding methodology. |
| (b) | Recognition of net investment income by the Fund is affected by the timing of declaration of dividends by the Underlying Funds in which the Fund invests. |
| (c) | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). 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. |
| (d) | Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests. |
| (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| The accompanying notes are an integral part of these financial statements. | 23 |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Financial Highlights(continued)
Selected Share Data for a Share Outstanding Throughout Each Period
| Goldman Sachs Dynamic Global Equity Fund | ||||||||||||||||||||||||||
| Class R6 Shares | ||||||||||||||||||||||||||
| Year Ended December 31, | Period Ended December 31, | |||||||||||||||||||||||||
| 2019 | 2018 | 2017 | 2016 | 2015(a) | ||||||||||||||||||||||
| Per Share Data |
| |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.44 | $ | 19.04 | $ | 15.37 | $ | 14.57 | $ | 15.38 | ||||||||||||||||
Net investment income(b)(c) | 0.49 | 1.61 | 0.12 | 0.24 | 0.14 | |||||||||||||||||||||
Net realized and unrealized gain (loss) | 3.78 | (3.71 | ) | 3.96 | 0.80 | (0.74 | ) | |||||||||||||||||||
Total from investment operations | 4.27 | (2.10 | ) | 4.08 | 1.04 | (0.60 | ) | |||||||||||||||||||
Distributions to shareholders from net investment income | (0.34 | ) | (0.50 | ) | (0.41 | ) | (0.24 | ) | (0.21 | ) | ||||||||||||||||
Distributions to shareholders from net realized gains | (0.82 | ) | — | — | — | — | ||||||||||||||||||||
Total distributions | (1.16 | ) | (0.50 | ) | (0.41 | ) | (0.24 | ) | (0.21 | ) | ||||||||||||||||
Net asset value, end of period | $ | 19.55 | $ | 16.44 | $ | 19.04 | $ | 15.37 | $ | 14.57 | ||||||||||||||||
| Total return(d) | 26.14 | % | (11.00 | )% | 26.54 | % | 7.12 | % | (3.93 | )% | ||||||||||||||||
Net assets, end of period (in 000s) | $ | 478,073 | $ | 4,485 | $ | 13 | $ | 10 | $ | 10 | ||||||||||||||||
Ratio of net expenses to average net assets(e) | 0.19 | % | 0.18 | % | 0.18 | % | 0.19 | % | 0.18 | %(f) | ||||||||||||||||
Ratio of total expenses to average net assets(e) | 0.26 | % | 0.32 | % | 0.24 | % | 0.28 | % | 0.29 | %(f) | ||||||||||||||||
Ratio of net investment income to average net assets(c) | 2.55 | % | 9.20 | % | 0.66 | % | 1.63 | % | 2.32 | %(f) | ||||||||||||||||
Portfolio turnover rate(g) | 40 | % | 11 | % | 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 Fund is affected by the timing of declaration of dividends by the Underlying Funds in which the Fund invests. |
| (d) | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges. Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the 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) | Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests. |
| (f) | Annualized. |
| (g) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| 24 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
December 31, 2019
| 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 anopen-end management investment company. The Trust includes the Goldman Sachs Dynamic Global Equity Fund (the “Fund”). Effective after the close of business on February 28, 2019, the Goldman Sachs Equity Growth Strategy Portfolio was renamed the Goldman Sachs Dynamic Global Equity Fund and changed its principal investment strategy. The Fund is a diversified fund and currently offers eight classes of shares: Class A, Class C, Institutional, Service, Investor, Class P, Class R, Class R6 Shares.
Class A Shares are sold with afront-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 Fund pursuant to a management agreement (the “Agreement”) with the Trust.
The Fund is expected to invest in a diversified portfolio of global equity asset classes. Such investments may include underlying funds (including exchange-traded funds (“ETFs”))(collectively, the “Underlying Funds”), futures, forwards, options and other instruments with similar economic exposures. The Fund may invest in Underlying Funds that currently exist or that may become available for investment in the future for which GSAM or an affiliate now or in the future acts as investment adviser or principal underwriter.
| 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. The Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.
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, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized onex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to theex-dividend date.Non-cash dividends, if any, are recorded at the fair market value of the securities received. 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. 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 Statement of Assets and Liabilities. Upfront payments are recognized over the contract’s term/event as realized gains or losses, with the exception of forward starting swap contracts 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, andnon-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 that Fund, while such expenses incurred by the Trust are allocated across the Fund on a straight-line and/orpro-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 the Fund and do not include any expenses associated with the Underlying Funds. Because the Underlying Funds have varied expense and fee levels and the Fund may own
25
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Notes to Financial Statements(continued)
December 31, 2019
| 2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
different proportions of the Underlying Funds at different times, the amount of fees and expenses incurred indirectly by the Fund will vary.
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 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 theex-dividend date. Income and capital gains distributions, if any, are declared and paid at least annually.
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the Fund’s distributions may be shown in the accompanying financial statements as either from distributable earnings 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).
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 GSAMday-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.
26
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Underlying Funds (including Money Market Funds)— Underlying Funds include other investment companies and exchange-traded funds (“ETFs”). Investments in the Underlying Funds (except ETFs) are valued at the NAV pershare on the dayof valuation. ETFs are valued daily at the last sale price or official closing price on the principal exchange or system on which the investment is traded. Because the Fund invests in Underlying Funds that fluctuate in value, the Fund’s shares will correspondingly fluctuate in value. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
Derivative Contracts— A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. The Fund enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers. 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 Statement of Assets and Liabilities as receivables/payables for collateral on certain derivatives contracts.Non-cash collateral pledged by the Fund, if any, is noted in the Schedule of Investments.
Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence oftwo-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives 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 aremarked-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.
Aforward foreign currency exchange contractis a forward contract in which the Fund agrees to receive or deliver a fixed quantity of one currency for another, at apre-determined price at a future date. All forward foreign currency exchange contracts aremarked-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. Upon entering into a futures contract, the Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by the Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
iii. Options — When the Fund writes call or put options, an amount equal to the premium received is recorded as a liability and is subsequentlymarked-to-market to reflect the current value of the option written. Swaptions are options on interest rate swap contracts or credit defaults swap contracts.
27
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Notes to Financial Statements(continued)
December 31, 2019
| 3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
Upon the purchase of a call option or a put option by the Fund, the premium paid is recorded as an investment and subsequentlymarked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Fund’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Fund’s NAV. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.
C. Fair Value Hierarchy — The following is a summary of the Fund’s investments and derivatives classified in the fair value hierarchy as of December 31, 2019:
| Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
| Assets | ||||||||||||
Underlying Funds | ||||||||||||
Equity | $ | 262,107,110 | $ | — | $ | — | ||||||
Exchange Traded Funds | 410,640,392 | — | — | |||||||||
Investment Company | 107,461,189 | — | — | |||||||||
| Total | $ | 780,208,691 | $ | — | $ | — | ||||||
| Derivative Type | ||||||||||||
| Assets | ||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | — | $ | 8,737 | $ | — | ||||||
Futures Contracts(a) | 2,240,720 | — | — | |||||||||
Options Purchased | 5,063,913 | 4,681 | — | |||||||||
| Total | $ | 7,304,633 | $ | 13,418 | $ | — | ||||||
| Liabilities | ||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | — | $ | (471,638 | ) | $ | — | |||||
Written Option Contracts | (536,905 | ) | — | — | ||||||||
| Total | $ | (536,905 | ) | $ | (471,638 | ) | $ | — | ||||
| (a) | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Schedule of Investments.
28
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
| 4. INVESTMENTS IN DERIVATIVES |
The following table sets forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of December 31, 2019. These instruments were used as part of the Fund’s investment strategies and to obtain and/or manage exposure related to the risks below. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Fund’s net exposure.
| Risk | Statement of Assets and Liabilities | Assets | Statement of Assets and Liabilities | Liabilities | ||||||||
Interest | Purchased options, at value | $ | 5,063,913 | — | $ | — | ||||||
Equity | Variation margin on future contracts; Purchased options, at value | 2,245,401 | (a) | Written options, at value | (536,905 | ) | ||||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts | 8,737 | Payable for unrealized loss on forward foreign currency contracts | (471,638 | ) | |||||||
| Total | $ | 7,318,051 | $ | (1,008,543 | ) | |||||||
| (a) | Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information sections of the Schedule of Investments. Only the variation margin as of December 31, 2019 is reported within the Statement of Assets and Liabilities. |
The following table sets forth, by certain risk types, the Fund’s gains (losses) related to these derivatives and their indicative volumes for the fiscal year ended December 31, 2019. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statement of Operations:
| Risk | Statement of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||
| Interest | Net realized gain (loss) from futures contracts and purchased options/Net change in unrealized gain (loss) on purchased options | $ | 2,370,518 | $383,410 | 12 | |||||||
| 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 | 20,782,910 | 1,861,132 | 1,486 | ||||||||
| Currency | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | 848,463 | (462,901) | 12 | ||||||||
| Total | $ | 24,001,891 | $1,781,641 | 1,510 | ||||||||
| (a) | Average number of contracts is based on the average of month end balances for the fiscal year ended December 31, 2019. |
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Fund, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Fund’s business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of the Fund’s average daily net assets of 0.15% for the Fund.
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 Rule12b-1 under the Act. Under the Distribution and Service Plans, Goldman Sachs,
29
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Notes to Financial Statements(continued)
December 31, 2019
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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 Rule12b-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.
The Trust, on behalf of Service Shares of the Fund, has adopted a Service Plan subject to Rule12b-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 Fund, 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 Plan to compensate service organizations for personal and account maintenance services and expenses as long as such total compensation does not exceed the maximum cap on “service fees” imposed by the Financial Industry Regulatory Authority. |
C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Fund pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the fiscal year ended December 31, 2019, Goldman Sachs retained $8,083 of the front end sales charges and $693 of the CDSC for this Fund.
D. Service and Shareholder Administration Plans — The Trust, on behalf of the Fund, has adopted Service Plans to allow Class C Shares and Shareholder Administration Plans to allow Service Shares, respectively, to compensate service organizations (including Goldman Sachs) for providing varying levels of personal and account maintenance or shareholder administration services to their customers who are beneficial owners of such shares. The Service and 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 and Service Shares of the Fund, respectively.
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: 0.17% 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 R6 Shares; and 0.04% of the average daily net assets of Institutional and Service Shares. Prior to July 1, 2019, such fee was 0.18% of the average daily net assets of the Class A, Class C, Investor and Class R Shares.
F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or 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 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 is 0.004%. These Other Expense limitations will remain in place through at least April 30, 2020, 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.
30
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the fiscal year ended December 31, 2019, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
Transfer Agency Credits | Other Expense Reimbursements | Total Expense Reductions | ||||||||
| $ | 669 | $ | 475,282 | $ | 475,951 | |||||
F. Line of Credit Facility — As of December 31, 2019, the Fund participated in a $580,000,000 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 fiscal year ended December 31, 2019, the Fund did not have any borrowings under the facility. Prior to April 30, 2019 the facility was $770,000,000.
G. Other Transactions with Affiliates — The Fund invests primarily in Class R6 Shares of the Underlying Funds (except certain Underlying Funds that are ETFs). These Underlying Funds are considered to be affiliated with the Fund. The tables below show the transactions in and earnings from investments in these Underlying Funds for the fiscal year ended December 31, 2019 (in thousands):
| Underlying Funds | Market Value as of | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Market Value as of 12/31/2019 | Shares as of 12/31/2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
Goldman Sachs ActiveBeta Emerging Markets Equity ETF | $ | 20,713 | $ | 41,630 | $ | (4,772 | ) | $ | (130 | ) | $ | 6,563 | $ | 64,004 | 1,864 | $ | 1,873 | $ | — | |||||||||||||||||
Goldman Sachs ActiveBeta International Equity ETF | 16,668 | 121,062 | (10,846 | ) | 312 | 12,271 | 139,467 | 4,610 | 3,768 | — | ||||||||||||||||||||||||||
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | 28,186 | 177,258 | (29,581 | ) | 1,608 | 29,699 | 207,170 | 3,203 | 2,956 | — | ||||||||||||||||||||||||||
Goldman Sachs Emerging Markets Equity Insights Fund — Class R6 Shares | 38,090 | 19,594 | (31,500 | ) | 138 | 4,311 | 30,633 | 3,123 | 594 | — | ||||||||||||||||||||||||||
Goldman Sachs Global Real Estate Securities Fund — Class R6 Shares | 19,120 | 8,036 | (17,023 | ) | 899 | 1,133 | 12,165 | 1,095 | 677 | 336 | ||||||||||||||||||||||||||
Goldman Sachs International Small Cap Insights Fund — Class R6 Shares | 11,123 | 7,441 | (7,300 | ) | 1,441 | 453 | 13,158 | 1,097 | 441 | — | ||||||||||||||||||||||||||
Goldman Sachs Large Cap Growth Insights Fund — Class R6 Shares | 39,705 | 33,082 | (28,800 | ) | 5,640 | 3,823 | 53,450 | 1,595 | 372 | 1,710 | ||||||||||||||||||||||||||
Goldman Sachs Large Cap Value Insights Fund — Class R6 Shares | 38,990 | 32,826 | (28,200 | ) | 4,584 | 3,809 | 52,009 | 2,343 | 826 | — | ||||||||||||||||||||||||||
Goldman Sachs Small Cap Equity Insights Fund — Class R6 Shares | 17,707 | 10,596 | (14,500 | ) | 1,360 | 2,618 | 17,781 | 637 | 96 | — | ||||||||||||||||||||||||||
Goldman Sachs International Equity Insights Fund — Class R6 Shares | 45,968 | 48,408 | (33,600 | ) | 3,944 | 4,614 | 69,334 | 5,342 | 1,708 | — | ||||||||||||||||||||||||||
31
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Notes to Financial Statements(continued)
December 31, 2019
| 5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
| Underlying Funds | Market Value as of | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Market Value as of 12/31/2019 | Shares as of 12/31/2019 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
Goldman Sachs Global Infrastructure Fund — Class R6 Shares | $ | — | $ | 12,145 | $ | — | $ | — | $ | 1,432 | $ | 13,577 | 1,089 | $ | 246 | $ | — | |||||||||||||||||||
Total | $ | 276,270 | $ | 512,078 | $ | (206,122 | ) | $ | 19,796 | $ | 70,726 | $ | 672,748 | 25,998 | $ | 13,557 | $ | 2,046 | ||||||||||||||||||
The table below shows the transactions in and earnings from investments in the Goldman Sachs Financial Square Government Fund for the fiscal year ended December 31, 2019 (in thousands):
| Fund | Beginning Value as of 12/31/2018 | Purchases at Cost | Proceeds from Sales | Ending Value as of 12/31/2019 | Shares as of 12/31/2019 | Dividend Income from Affiliated Investment | ||||||||||||||||||
Dynamic Global Equity Fund | $ | 14,101 | $ | 521,990 | $ | (428,630 | ) | $ | 107,461 | 107,461 | $ | 1,547 | ||||||||||||
As of December 31, 2019, the Goldman Sachs Growth Strategy, Goldman Sachs Growth and Income Strategy and Goldman Sachs Balanced Strategy Portfolios beneficially owned 24%, 24% and 10%, respectively, of the total outstanding shares of the Fund.
| 6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended December 31, 2019, were $519,479,135 and $211,158,575, respectively.
| 7. TAX INFORMATION |
The tax character of distributions paid during the fiscal year ended December 31, 2019 was as follows:
| Dynamic Global Equity | ||||
Distribution paid from: | ||||
Ordinary income | $ | 20,749,477 | ||
Net long-term capital gains | 24,932,228 | |||
Total taxable distributions | $ | 45,681,705 | ||
The tax character of distributions paid during the fiscal year ended December 31, 2018 was as follows:
Dynamic Global Equity | ||||
Distribution paid from: | ||||
Ordinary income | $ | 7,581,442 | ||
As of December 31, 2019, the components of accumulated earnings (losses) on a tax basis were as follows:
Undistributed ordinary income — net | $ | 5,665,174 | ||
Undistributed long-term capital gains | 7,042,536 | |||
Total undistributed earnings | $ | 12,707,710 | ||
Timing differences (Qualified Late Year Loss Deferral) | $ | (258,826 | ) | |
Unrealized gains (losses) — net | 68,026,743 | |||
Total accumulated earnings (losses) net | $ | 80,475,627 |
32
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
| 7. TAX INFORMATION (continued) |
As of December 31, 2019, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Tax Cost | $ | 719,042,214 | ||
Gross unrealized gain | 69,212,540 | |||
Gross unrealized loss | (1,185,797 | ) | ||
Net unrealized gains (loss) | $ | 68,026,743 |
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 net mark to market gains/(losses) on foreign currency contracts.
GSAM has reviewed the Fund’s tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
| 8. OTHER RISKS |
The Fund’s risks include, but are not limited to, the following:
Derivatives Risk — The Fund’s use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Fund. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the United States. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social stability in the countries in which the Fund invests. The imposition of exchange controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the United States or other governments, or from problems in share registration, settlement or custody, may also result in losses. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which the Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that the Fund also invest in securities of issuers located in emerging markets, these risks may be more pronounced.
Investments in the Underlying Funds Risk — The investments of the Fund are concentrated in the Underlying Funds, and the Fund’s investment performance is directly related to the investment performance of the Underlying Funds it holds. The Fund 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. The Fund 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.
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 ofnon-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include the Fund in their investment
33
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Notes to Financial Statements(continued)
December 31, 2019
| 8. OTHER RISKS (continued) |
model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of the Fund. Such large shareholder redemptions, which may occur rapidly or unexpectedly, 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 or otherwise maintains 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 or without significant dilution to remaining investors’ interests 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. If the Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Fund’s NAV and dilute remaining investors’ interests. 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. These risks may be more pronounced in connection with the Fund’s investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on the Fund’s liquidity.
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.
| 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 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.
| 10. OTHER MATTERS |
On November 5, 2019, a definitive proxy statement (“proxy”) was filed with the SEC to elect certain Trustees to the Trust. The Fund will bear its respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse the Fund to the extent such expenses exceed a specified percentage of the Fund’s net assets.
| 11. SUBSEQUENT EVENTS |
Subsequent events after the Statement of Assets and Liabilities date other than above have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
34
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
| 11. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
| For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||||
| Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
| Class A Shares | ||||||||||||||||
Shares sold | 866,854 | $ | 16,168,522 | 2,185,895 | $ | 41,265,498 | ||||||||||
Reinvestment of distributions | 421,756 | 8,029,181 | 199,644 | 3,228,235 | ||||||||||||
Shares redeemed | (1,251,441 | ) | (23,256,094 | ) | (1,323,048 | ) | (24,484,673 | ) | ||||||||
| 37,169 | 941,609 | 1,062,491 | 20,009,060 | |||||||||||||
| Class C Shares | ||||||||||||||||
Shares sold | 49,667 | 884,384 | 137,482 | 2,444,514 | ||||||||||||
Reinvestment of distributions | 43,467 | 794,194 | 6,208 | 97,349 | ||||||||||||
Shares redeemed | (627,192 | ) | (11,237,602 | ) | (2,477,506 | ) | (44,551,615 | ) | ||||||||
| (534,058 | ) | (9,559,024 | ) | (2,333,816 | ) | (42,009,752 | ) | |||||||||
| Institutional Shares | ||||||||||||||||
Shares sold | 220,932 | 4,221,884 | 733,770 | 13,870,499 | ||||||||||||
Reinvestment of distributions | 38,266 | 739,185 | 28,655 | 468,222 | ||||||||||||
Shares redeemed | (605,325 | ) | (11,065,822 | ) | (7,926,783 | ) | (154,475,133 | ) | ||||||||
| (346,127 | ) | (6,104,753 | ) | (7,164,358 | ) | (140,136,412 | ) | |||||||||
| Service Shares | ||||||||||||||||
Shares sold | 405 | 7,344 | 3,181 | 60,227 | ||||||||||||
Reinvestment of distributions | 502 | 9,503 | 565 | 9,100 | ||||||||||||
Shares redeemed | (14,710 | ) | (288,765 | ) | (6,737 | ) | (123,165 | ) | ||||||||
| (13,803 | ) | (271,918 | ) | (2,991 | ) | (53,838 | ) | |||||||||
| Investor Shares | ||||||||||||||||
Shares sold | 52,316 | 950,282 | 125,237 | 2,335,716 | ||||||||||||
Reinvestment of distributions | 13,675 | 257,107 | 10,222 | 162,939 | ||||||||||||
Shares redeemed | (184,609 | ) | (3,377,794 | ) | (74,682 | ) | (1,365,679 | ) | ||||||||
| (118,618 | ) | (2,170,405 | ) | 60,777 | 1,132,976 | |||||||||||
| Class P Shares(a) | ||||||||||||||||
Shares sold | 498,856 | 9,237,580 | 6,534,613 | 128,079,127 | ||||||||||||
Reinvestment of distributions | 374,313 | 7,237,115 | 186,301 | 3,046,018 | ||||||||||||
Shares redeemed | (629,931 | ) | (11,824,254 | ) | (452,784 | ) | (8,567,805 | ) | ||||||||
| 243,238 | 4,650,441 | 6,268,130 | 122,557,340 | |||||||||||||
| Class R Shares | ||||||||||||||||
Shares sold | 47,986 | 873,254 | 76,021 | 1,401,993 | ||||||||||||
Reinvestment of distributions | 17,178 | 323,537 | 7,266 | 116,549 | ||||||||||||
Shares redeemed | (62,050 | ) | (1,149,782 | ) | (93,404 | ) | (1,736,597 | ) | ||||||||
| 3,114 | 47,009 | (10,117 | ) | (218,055 | ) | |||||||||||
| Class R6 Shares | ||||||||||||||||
Shares sold | 26,778,726 | 491,425,595 | 273,672 | 4,873,992 | ||||||||||||
Reinvestment of distributions | 1,415,765 | 27,357,672 | 4,200 | 68,663 | ||||||||||||
Shares redeemed | (4,015,155 | ) | (77,497,054 | ) | (5,738 | ) | (100,693 | ) | ||||||||
| 24,179,336 | 441,286,213 | 272,134 | 4,841,962 | |||||||||||||
NET INCREASE (DECREASE) | 23,450,251 | $ | 428,819,172 | (1,847,750 | ) | $ | (33,876,719 | ) | ||||||||
| (a) | Class P Shares commenced operations on April 17, 2018. |
35
Report of Independent Registered Public
Accounting Firm
Tothe Board of Trustees of Goldman Sachs Trust and Shareholders of Goldman Sachs Dynamic Global Equity Fund (formerly Goldman Sachs Equity Growth Strategy Portfolio)
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Goldman Sachs Dynamic Global Equity Fund (formerly Goldman Sachs Equity Growth Strategy Portfolio) (one of the funds constituting Goldman Sachs Trust , referred to hereafter as the “Fund”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statements of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes,and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 26, 2020
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
36
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Voting Results of Special Meeting of Shareholders (Unaudited)
A Special Meeting (the “Meeting”) of the Goldman Sachs Trust (“GST”) was held on January 23, 2020 to consider and act upon the proposals below. The Fund will amortize its respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse the Fund to the extent such expenses exceed a specified percentage of the Fund’s net assets.
At the Meeting, Dwight L. Bush, Kathryn A. Cassidy, Joaquin Delgado and Gregory G. Weaver were elected to the Trust’s Board of Trustees. In electing trustees, the Trust’s shareholders voted as follows:
Proposal 1. Election of Trustees | For | Against | Withheld | Broker Non-Votes | ||||||||||||
Dwight L. Bush | 94,278,961,728.065 | 0 | 349,026,343.365 | 0 | ||||||||||||
Kathryn A. Cassidy | 94,310,850,789.164 | 0 | 317,137,282.266 | 0 | ||||||||||||
Joaquin Delgado | 94,282,646,444.727 | 0 | 345,341,626.703 | 0 | ||||||||||||
Gregory G. Weaver | 94,306,589,873.348 | 0 | 321,398,198.082 | 0 | ||||||||||||
At the Meeting, the shareholders of the Goldman Sachs Large Cap Growth Insights Fund approved a change to the Fund’s sub-classification under the Act from “diversified” to “non-diversified”. The Trust’s shareholders voted as follows:
Proposal 2. To approve a change to the Fund’s sub-classification under | For | Against | Abstained | Broker Non-Votes | ||||||||||||
Large Cap Growth Insights Fund | 23,785,792.632 | 250,521.921 | 196,802.993 | 9,592,467.322 | ||||||||||||
37
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
| Fund Expenses — Six Months Period Ended December 31, 2019 (Unaudited) | ||
As a shareholder of Class A, Class C, Institutional, Service, 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), contingent deferred sales charges on redemptions (with respect to Class C Shares), and (2) ongoing costs, including management fees; distribution and/or service(12b-1) fees (with respect to Class A, Class C, Service and Class R Shares); and other Fund expenses.
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 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 July 1, 2019 through December 31, 2019, which represents a period of 184 days of a 365 day year.
Actual Expenses —The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes— The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual net expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees and do not include expenses of Underlying Funds in which the Fund invests. Therefore, the second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
| Dynamic Global Equity Fund | ||||||||||||
| Share Class | Beginning Account Value 7/1/19 | Ending Account Value 12/31/19 | Expenses Paid for the 6 months ended 12/31/19* | |||||||||
| Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,085.10 | $ | 3.03 | ||||||
Hypothetical 5% return | 1,000.00 | 1,022.30 | + | 2.94 | ||||||||
| Class C | ||||||||||||
Actual | 1,000.00 | 1,080.70 | 6.96 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,018.52 | + | 6.75 | ||||||||
| Institutional | ||||||||||||
Actual | 1,000.00 | 1,087.10 | 1.03 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,024.22 | + | 1.00 | ||||||||
| Service | ||||||||||||
Actual | 1,000.00 | 1,084.20 | 3.66 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,021.69 | + | 3.55 | ||||||||
| Investor | ||||||||||||
Actual | 1,000.00 | 1,086.80 | 1.72 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,023.56 | + | 1.66 | ||||||||
| Class P | ||||||||||||
Actual | 1,000.00 | 1,087.30 | 0.98 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,024.27 | + | 0.95 | ||||||||
| Class R | ||||||||||||
Actual | 1,000.00 | 1,083.60 | 4.34 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,021.04 | + | 4.21 | ||||||||
| Class R6 | ||||||||||||
Actual | 1,000.00 | 1,087.40 | 0.98 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,024.27 | + | 0.95 | ||||||||
| + | Hypothetical expenses are based on the Fund’s actual annualized net expense ratio (excluding proxy fee which is not annualized) 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 (excluding proxy fee which is not annualized) for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended December 31, 2019. 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 | Class R | Class R6 | ||||||||||||||||||||||||
Dynamic Global Equity Fund | 0.58 | % | 1.33 | % | 0.20 | % | 0.70 | % | 0.33 | % | 0.19 | % | 0.83 | % | 0.19 | % | ||||||||||||||||
38
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Trustees and Officers (Unaudited)
Independent Trustees
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and Length of Time Served2 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
Jessica Palmer Age: 70 | Chair of the Board of Trustees | Since 2018 (Trustee since 2007) | Ms. Palmer is retired. She was formerly Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/ Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009).
Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||
Kathryn A. Cassidy Age: 65 | Trustee | Since 2015 | Ms. Cassidy is retired. Formerly, she was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||
Diana M. Daniels Age: 70 | Trustee | Since 2007 | Ms. Daniels is retired. Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is a Trustee Emeritus and serves as a Presidential Councillor of Cornell University (2013-Present); former Member of the Legal Advisory Board, New York Stock Exchange(2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006- 2007).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||
Roy W. Templin Age: 59 | Trustee | Since 2013 | Mr. Templin is retired. He is Director, Armstrong World Industries, Inc. (a designer and manufacturer of ceiling, wall and suspension system solutions) (2016-Present); and was formerly Chairman of the Board of Directors, Con-Way Incorporated (a transportation, logistics and supply chain management service company) (2014-2015); Executive Vice President and Chief Financial Officer, Whirlpool Corporation (an appliance manufacturer and marketer) (2004- 2012). Previously, Mr. Templin served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (June 2013-October 2013).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Armstrong World Industries, Inc. (a ceiling, wall and suspension systems solutions manufacturer) | |||||
Gregory G. Weaver Age: 68 | Trustee | Since 2015 | Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Verizon Communications Inc. | |||||
39
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Trustees and Officers (Unaudited) (continued)
Interested Trustee*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and Length of Time Served2 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Advisory | Other Directorships Held by Advisory | |||||
James A. McNamara Age: 57 | President and Trustee | Since 2007 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993- April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund.
| 165 | None | |||||
Advisory Board Members
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and Length of Time Served2 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Advisory | Other Directorships Held by Advisory | |||||
Dwight L. Bush Age: 62 | Advisory Board Member | Since 2019 | Ambassador Bush is President and CEO of D.L. Bush & Associates (a financial advisory and private investment firm) (2002–2014 and 2017-present); and was formerly U.S. Ambassador to the Kingdom of Morocco (2014-2017) and a Member of the Board of Directors of Santander Bank, N.A. (2018-2019).
Advisory Board Member — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||
Joaquin Delgado Age: 59 | Advisory Board Member | Since 2019 | Dr. Delgado is retired. He is Director, Hexion Inc. (a specialty chemical manufacturer) (2019-present); and Director, Stepan Company (a specialty chemical manufacturer) (2011-present); and was formerly Executive Vice President, Consumer Business Group of 3M Company (July 2016-July 2019); and Executive Vice President, Health Care Business Group of 3M Company (October 2012-July 2016).
Advisory Board Member — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Stepan Company (a specialty chemical manufacturer) | |||||
| * | Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. Mr. McNamara holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
| 1 | Each Trustee and Advisory Board Member may be contacted by writing to the Trustee or Advisory Board Member, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of December 31, 2019. |
| 2 | Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that (a) no Trustee shall hold office for more than 15 years and (b) a Trustee shall retire as of December 31st of the calendar year in which he or she reaches his or her 74th birthday, unless a waiver of such requirement shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. |
| 3 | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of December 31, 2019, Goldman Sachs Trust consisted of 89 portfolios; Goldman Sachs Variable Insurance Trust consisted of 13 portfolios; Goldman Sachs Trust II consisted of 19 portfolios (17 of which offered shares to the public); Goldman Sachs MLP Income Opportunities Fund, Goldman Sachs MLP and Energy Renaissance Fund, Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio; and Goldman Sachs ETF Trust consisted of 40 portfolios (21 of which offered shares to the public). |
| 4 | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384. Additional information about the Advisory Board Members will be available in the Funds’ Statement of Additional Information dated April 30, 2020, which will be available from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
40
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | |||
James A. McNamara 200 West Street New York, NY 10282 Age: 57 | Trustee and President | Since 2007 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 42 | Secretary | Since 2012 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Associate General Counsel, Goldman Sachs (2012-Present); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006).
Secretary — Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Private Middle Market Credit II; LLC Goldman Sachs Middle Market Lending Corp.; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 51 | Treasurer, Principal Financial Officer and Principal Accounting Officer | Since 2017 (Treasurer and Principal Financial Officer since 2019) | Managing Director, Goldman Sachs (November 2015-Present) and Vice President — Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010-October 2015).
Treasurer, Principal Financial Officer and Principal Accounting Officer — Goldman Sachs Trust (previously Assistant Treasurer (2016)); Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs MLP Income Opportunities Fund (previously Assistant Treasurer (2017)); Goldman Sachs MLP and Energy Renaissance Fund (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
| * | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
| 1 | Information is provided as of December 31, 2019. |
| 2 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
Goldman Sachs Dynamic Global Equity Fund – Tax Information (Unaudited)
For the year ended December 31, 2019, 15.10% of the dividends paid from net investment company taxable income by the Dynamic Global Equity Fund, qualify for the dividends received deduction available to corporations.
For the 2019 tax year, the Dynamic Global Equity Fund has elected to pass through a credit for taxes paid to foreign jurisdictions. The total amount of income received by the Dynamic Global Equity Fund from sources within foreign countries and possessions of the United States was $0.1920 per share, all of which is attributable to qualified passive income. The percentage of net investment income dividends paid by the Dynamic Global Equity Fund during the year from foreign sources was 33.04%. The total amount of taxes paid by the Dynamic Global Equity Fund to such countries was $0.0192 per share.
For the year ended December 31, 2019, 51.80% of the dividends paid from net investment company taxable income by the Dynamic Global Equity Fund, respectively, qualify for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
Pursuant to Section 852 of the Internal Revenue Code, the Dynamic Global Equity Fund designates $24,932,228, or, if different, the maximum amount allowable, as capital gain dividends paid during the fiscal year ended December 31, 2019.
During the year ended December 31, 2019, the Dynamic Global Equity Fund designates $7,745,431, as short-term capital gain dividends pursuant to Section 871(k) of the Internal Revenue Code.
41
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, theConsumer and Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.69 trillion in assets under supervision as of December 31, 2019, 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 |
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 |
| ∎ | Income Fund |
Municipal and Tax-Free
| ∎ | High Yield Municipal Fund |
| ∎ | Dynamic Municipal Income Fund |
| ∎ | Short Duration Tax-Free Fund |
| ∎ | Municipal Income Completion 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 |
Fixed Income Alternatives
| ∎ | Long Short Credit Strategies Fund |
Fundamental Equity
| ∎ | Equity Income Fund |
| ∎ | Small Cap Growth 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 Fund |
| ∎ | 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 Fund |
| ∎ | International Equity ESG Fund |
| ∎ | China Equity Fund4 |
| ∎ | Emerging Markets Equity Fund |
| ∎ | Imprint Emerging Markets Opportunities Fund5 |
| ∎ | ESG Emerging Markets Equity Fund |
Alternative
| ∎ | Real Estate Securities Fund |
| ∎ | International Real Estate Securities Fund |
| ∎ | Commodity Strategy Fund |
| ∎ | Global Real Estate Securities Fund |
| ∎ | Alternative Premia Fund |
| ∎ | 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 |
| ∎ | Dynamic Global Equity Fund6 |
| ∎ | Satellite Strategies Portfolio |
| ∎ | Enhanced Dividend Global Equity Portfolio |
| ∎ | Tax-Advantaged Global Equity Portfolio |
| ∎ | Strategic Factor Allocation Fund |
| ∎ | Target Date Retirement Portfolio7 |
| ∎ | 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 |
| 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 of November 20, 2019, the Goldman Sachs Asia Equity Fund was renamed the Goldman Sachs China Equity Fund. |
| 5 | Effective after the close of business on August 30, 2019, the Goldman Sachs N-11 Equity Fund was renamed the Goldman Sachs Imprint Emerging Markets Opportunities Fund. |
| 6 | Effective after the close of business on February 28, 2019, the Goldman Sachs Equity Growth Strategy Portfolio was renamed the Goldman Sachs Dynamic Global Equity Fund. |
| 7 | Effective December 27, 2019, the Goldman Sachs Target Date 2020 Portfolio was renamed to the Goldman Sachs Target Date Retirement Portfolio. |
| 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 Dwight L. Bush* Kathryn A. Cassidy Diana M. Daniels Joaquin Delgado* James A. McNamara Roy W. Templin Gregory G. Weaver
*Effective as of January 23, 2020 | OFFICERS James A. McNamara,President Joseph F. DiMaria,Principal Financial Officer, Principal Accounting Officer and 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 atwww.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 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.
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 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.
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 Fund will file its portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be made available on the SEC’s web site at http://www.sec.gov. Portfolio holdings information 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 December 31, 2019 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).
© 2020 Goldman Sachs. All rights reserved. 192789-OTU-1141272 DYNGLEQAR-20
| 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 13(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. |
Table 1 — Items 4(a) - 4(d). The accountant fees below reflect the aggregate fees billed by all of the Funds of the Goldman Sachs Trust and includes the Goldman Sachs Funds to which this certified shareholder report relates.
| 2019 | 2018 | Description of Services Rendered | ||||||||||
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Audit Fees: | ||||||||||||
| • PricewaterhouseCoopers LLP (“PwC”) | $ | 3,499,205 | $ | 3,673,345 | Financial Statement audits. | |||||||
Audit-Related Fees: | ||||||||||||
• PwC | $ | 262,184 | $ | 398,872 | Other attest services. | |||||||
Tax Fees: | ||||||||||||
• PwC | $ | 796,358 | $ | 1,135,205 | Tax compliance services provided in connection with the preparation and review of registrant’s tax returns. | |||||||
Table 2 — Items 4(b)(c) & (d).Non-Audit Services to the Goldman Sachs Trust’s service affiliates * that werepre-approved by the Audit Committee of the Goldman Sachs Trust pursuant to Rule2-01(c)(7)(ii) of RegulationS-X.
| 2019 | 2018 | Description of Services Rendered | ||||||||||
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Audit-Related Fees: | ||||||||||||
• PwC | $ | 2,000,617 | $ | 1,845,098 | Internal control review performed in accordance with Statement on Standards for Attestation Engagements No. 16 and Semi-Annual Updates related to withholding tax accrual for non-US Jurisdictions. These fees are borne by the Funds’ Adviser. | |||||||
| * | These include the advisor (excludingsub-advisors) and any entity controlling, controlled by or under common control with the advisor that provides ongoing services to the registrant (hereinafter referred to as “service affiliates”). |
Item 4(e)(1) — Audit CommitteePre-Approval Policies and Procedures
Pre-Approval of Audit andNon-Audit Services Provided to the Funds of the Goldman Sachs Trust. The Audit andNon-Audit ServicesPre-Approval Policy (the “Policy”) adopted by the Audit Committee of Goldman Sachs Trust (“GST”) sets forth the procedures and the conditions pursuant to which services performed by an independent auditor for GST may bepre-approved. Services may bepre-approved specifically by the Audit Committee as a whole or, in certain circumstances, by the Audit Committee Chairman or the person designated as the Audit Committee Financial Expert. In addition, subject to specified cost limitations, certain services may bepre-approved under the provisions of the Policy. The Policy provides that the Audit Committee will consider whether the services provided by an independent auditor are consistent with the Securities and Exchange Commission’s rules on auditor independence. The Policy provides for periodic review andpre-approval by the Audit Committee of the services that may be provided by the independent auditor.
De Minimis Waiver. Thepre-approval requirements of the Policy may be waived with respect to the provision ofnon-audit services that are permissible for an independent auditor to perform, provided (1) the aggregate amount of all such services provided constitutes no more than five percent of the total amount of revenues subject topre-approval that was paid to the independent auditors during the fiscal year in which the services are provided; (2) such services were not recognized by GST at the time of the engagement to benon-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and approved prior to the completion of the audit by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee, pursuant to thepre-approval provisions of the Policy.
Pre-Approval ofNon-Audit Services Provided to GST’s Investment Advisers. The Policy provides that, in addition to requiringpre-approval of audit andnon-audit services provided to GST, the Audit Committee willpre-approve thosenon-audit services provided to GST’s investment advisers (and entities controlling, controlled by or under common control with the investment advisers that provide ongoing services to GST) where the engagement relates directly to the operations or financial reporting of GST.
Item 4(e)(2) –0% of the audit-related fees, tax fees and other fees listed in Table 1 were approved by GST’s Audit Committee pursuant to the “de minimis” exception of Rule2-01(c)(7)(i)(C) of RegulationS-X. In addition, 0% of thenon-audit services to the GST’s service affiliates listed in Table 2 were approved by GST’s Audit Committee pursuant to the “de minimis” exception of Rule2-01(c)(7)(i)(C) of RegulationS-X.
Item 4(f) –Not applicable.
Item 4(g) AggregateNon-Audit Fees Disclosure
The aggregatenon-audit fees billed to GST by PwC for the twelve months ended December 31, 2019 and December 31, 2018 were approximately $1,058,542 and $1,534,077 respectively.
The aggregatenon-audit fees billed to GST’s adviser and service affiliates by PwC fornon-audit services for the twelve months ended December 31, 2018 and December 31, 2017 were approximately $12.3 million and $9.4 million respectively. The figures for these entities are not yet available for twelve months ended December 31, 2019. With regard to the aggregatenon-audit fees billed to GST’s adviser and service affiliates, the 2018 and 2017 amounts include fees fornon-audit services required to bepre-approved [see Table 2] and fees fornon-audit services that did not requirepre-approval since they did not directly relate to GST’s operations or financial reporting.
Item 4(h) —GST’s Audit Committee has considered whether the provision ofnon-audit services to GST’s investment adviser and service affiliates that did not requirepre-approval pursuant to paragraph (c)(7)(ii) of Rule2-01 of RegulationS-X is compatible with maintaining the auditors’ independence.
| ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable. |
| ITEM 6. | SCHEDULE OF INVESTMENTS. |
Schedule of Investments is included as part of the Report to Shareholders filed under Item 1. |
| ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FORCLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable. |
| ITEM 8. | PORTFOLIO MANAGERS OFCLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable. |
| ITEM 9. | PURCHASES OF EQUITY SECURITIES BYCLOSED-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 Rule30a-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 Rule30a-3(b) under the 1940 Act and15d-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 Rule30a-3(d) under the 1940 Act) that occurred during 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. | DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable. |
| ITEM 13. | 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. | ||
| (a)(3) | Not applicable to open-end investment companies. | |||
| (a)(4) | There was no change in the registrant’s independent public accountant for the period covered by this report. | |||
| (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: | March 2, 2020 | |
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: | March 2, 2020 | |
| By: | /s/ Joseph F. DiMaria | |
| ||
Joseph F. DiMaria | ||
| Principal Financial Officer | ||
| Goldman Sachs Trust | ||
| Date: | March 2, 2020 | |