UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-05349
Goldman Sachs Trust
(Exact name of registrant as specified in charter)
71 South Wacker Drive, Chicago, Illinois 60606
(Address of principal executive offices) (Zip code)
Caroline Kraus, Esq. | Copies to: | |
Goldman Sachs & Co. LLC | Geoffrey R.T. Kenyon, Esq. | |
200 West Street | Dechert LLP | |
New York, New York 10282 | 100 Oliver Street | |
40th Floor | ||
Boston, MA 02110-2605 |
(Name and address of agents for service)
Registrant’s telephone number, including area code: (312) 655-4400
Date of fiscal year end: December 31
Date of reporting period: December 31, 2020
ITEM 1. | REPORTS TO STOCKHOLDERS. |
The Annual Report to Shareholders is filed herewith. |
Goldman Sachs Funds
Annual Report | December 31, 2020 | |||
Fund of Funds Portfolios | ||||
Balanced Strategy | ||||
Growth and Income Strategy | ||||
Growth Strategy | ||||
Satellite Strategies |
Goldman Sachs Fund of Funds Portfolios
∎ | BALANCED STRATEGY |
∎ | GROWTH AND INCOME STRATEGY |
∎ | GROWTH STRATEGY |
∎ | SATELLITE STRATEGIES |
1 | ||||
3 | ||||
21 | ||||
22 | ||||
30 | ||||
36 | ||||
44 | ||||
52 | ||||
60 | ||||
68 | ||||
90 | ||||
92 |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee |
MARKET REVIEW
Goldman Sachs Fund of Funds Portfolios
The capital markets and the Portfolios were most influenced during the 12-month period ended December 31, 2020 (the “Reporting Period”) by the spread of COVID-19, a contraction in global economic growth and historic financial stimulus by central banks and governments around the world.
When the Reporting Period began in January 2020, investors generally held a stable pro-growth outlook for the U.S. and global economies. However, in February, twin shocks — the COVID-19 pandemic and collapsing crude oil prices — forced them to recalibrate their risk tolerance. A historic level of market volatility, including the quickest transition from an equity bull market to an equity bear market in modern financial market times, further clouded the near-term investing outlook. (A bull market is a market in which securities prices are rising. A bear market is a condition in which securities prices fall 20% or more from recent highs amid widespread pessimism and negative investor sentiment.) As fear spread through the financial markets, risk assets broadly sold off. Global equities, as represented by the MSCI ACWI Investable Market Index, fell 21.0% during the first calendar quarter. Developed markets equities, as represented by the MSCI World Index, were down 19.7%, and emerging markets equities, as represented by the MSCI Emerging Markets Index, were down 23.6%. Within developed markets, U.S. equities, as measured by the S&P 500 ® Index, dropped 19.6%. As for fixed income, the 10-year U.S. Treasury yield plummeted. In response to the economic and financial challenges wrought by the spread of COVID-19, central banks and governments around the world enacted unprecedented levels of monetary and fiscal stimulus. In the U.S., more than $2 trillion of fiscal support, combined with the return of the U.S. Federal Reserve’s (“Fed”) zero interest rate policy, sought to help the country weather the human and economic maelstrom while simultaneously laying the foundation for economic recovery once COVID-19 risks recede.
The fastest quarterly decline in the global equity market since the fourth quarter of 2008 was followed in the second quarter of 2020 by the fastest recovery since the fourth quarter of 1984. The recovery was mainly catalyzed by three factors. First, unprecedented monetary easing and fiscal stimulus globally provided a backstop for risk assets and eased liquidity concerns. The Fed was somewhat more dovish than market expected at its June meeting. (Dovish tends to suggest lower interest rates; opposite of hawkish.) Meanwhile, the European Union announced a €750 billion recovery fund, taking a step closer towards the fiscal integration of the Eurozone. China and Japan also delivered meaningful fiscal action. Second, starting mid-April 2020, the growth rate of new COVID-19 cases showed signs of flattening in hotspots such as the U.S., Europe and China, with daily growth rates falling to low single digits and recovery rates starting to rise. As a result, authorities relaxed lockdown restrictions, gradually re-opened parts of their economies, announced social distancing norms and increased testing. The narrative shifted from COVID-19 infections to therapeutics and vaccines. Third, certain economic indicators started to recover. These included global purchasing manager indices, which inched up; U.S. non-farm payrolls, which provided consecutive positive surprises; and consumer and business sentiment that appeared to be bottoming. Global equities, as represented by the MSCI ACWI Investable Market Index, rose 19.3%. U.S. equities, as measured by the S&P 500® Index, rose 20.5%. Developed markets equities, as represented by the MSCI World Index, and emerging markets equities, as represented by the MSCI Emerging Markets Index, were up approximately 18.7% and 18.2%, respectively. As for fixed income, the 10-year U.S. Treasury yield edged down slightly in its smallest quarterly change on record.
At the start of the third quarter of 2020, the key theme in the marketplace was the reopening of the U.S. and global economy. Initial concerns centered on whether a rushed reopening would bring a new wave of COVID-19 infections that might cause a relapse and renewed shutdown of the economy. Steadily over the course of the summer, even as positive test results accumulated, the severe consequences of COVID-19, such as hospitalizations and the tally of patients on ventilators, remained well below prior peak levels. This reality, combined with growing optimism about an eventual approval of a COVID-19 vaccine, acted as a tailwind to equities broadly, continuing their positive momentum from the second quarter of 2020. Toward the end of the third calendar quarter, investors increasingly focused on unsuccessful partisan negotiations to reach a compromise on additional fiscal support for the economy as well as on the then-upcoming U.S. Presidential and Congressional elections in November. U.S. economic data remained sufficiently healthy, allowing investors to look beyond near-term elections and fiscal concerns. Against this backdrop, developed markets equities, as measured by the MSCI World Index, and emerging market equities, as measured by the MSCI Emerging Markets Index, rose 6.8% and 8.6%, respectively. Within developed markets equities, U.S. stocks, as represented by the S&P 500® Index, led the rally, registering a gain of 8.9%. In fixed income, the 10-year U.S. Treasury yield rose slightly.
1
MARKET REVIEW
During the fourth quarter of 2020, global economic activity remained resilient in spite of renewed worries about rising COVID–19 cases, delays in additional U.S. fiscal stimulus, and general market uncertainty surrounding the possibility of a contested U.S. Presidential election. Although an increase in COVID-19 cases, especially in Europe and the U.S., drove heightened financial market volatility, the announcement that the Pfizer and Moderna vaccines had better than consensus expected efficacy appeared to be a huge relief for policymakers and market participants. Investor confidence was further bolstered by the strong economic data from Asia, and from China in particular. In addition, major global central banks appeared to reassure market participants by committing to accommodative monetary policies. In the U.S., the Fed introduced forward guidance for its asset purchases, stating it would continue to increase its U.S. Treasury and mortgage-backed securities holdings until substantial further progress was made towards its maximum employment and price stability goals. Similarly, the European Central Bank committed to continued support for the economy by expanding and extending its Pandemic Emergency Purchase Programme. Overall, this favorable mix of recovering global economies, positive news flow on vaccines, and strong forward guidance from the major central banks was supportive of risk assets, particularly equities, in the fourth calendar quarter. Global equities, as represented by the MSCI ACWI Investable Market Index, rose 15.7%. U.S. equities, as measured by the S&P 500® Index, rose 12.15%. Developed markets equities, as represented by the MSCI World Index, and emerging markets equities, as represented by the MSCI Emerging Markets Index, were up approximately 13.9% and 19.7%, respectively. As for fixed income, the 10-year U.S. Treasury yield rose during the fourth quarter of 2020, but it remained well below its highs near the beginning of the calendar year.
Looking Ahead
At the end of the Reporting Period, we believed high efficacy rates for COVID-19 vaccines and expectations for a broad vaccination rollout in North America and Europe by mid-2021 were likely to fuel a sustained and expanding rebound in global economic activity. Overall, we anticipated above-trend economic growth in the medium term, driven by pent-up demand, ongoing and significant fiscal and monetary policy support, high savings rates and extensive rebuilding of inventories.
At the asset class level, we believed that while on an absolute basis, equity valuations were high at the end of the Reporting Period, they were attractive in relative terms, and we expected them to remain so in the near term. As for fixed income, we believed low interest rates were likely to persist. In our view, short-term yields will likely remain anchored by central bank monetary policy, which should, in turn, limit a rise in longer-term yields. At the end of the Reporting Period, we anticipated that ongoing policy support from governments and central banks, as well as low financing costs, would keep credit spreads relatively tight. (Credit spreads are yield differentials between corporate bonds and U.S. Treasury securities of comparable maturity.)
2
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 Multi-Asset Solutions (“MAS”) Team discusses the performance and positioning of the Goldman Sachs Fund of Funds Portfolios — Asset Allocation (the “Portfolios”) for the 12-month period ended December 31, 2020 (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 R6, Class R and Class P Shares generated average annual total returns of 10.71%, 9.90%, 11.05%, 10.52%, 10.97%, 11.06%, 10.39% and 11.15%, respectively. This compares to the 11.13% 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 5.56% and 16.21%, 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 R6, Class R and Class P Shares generated average annual total returns of 12.29%, 11.44%, 12.68%, 12.18%, 12.64%, 12.70%, 12.05% and 12.70%, respectively. This compares to the 13.31% 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 5.56% and 16.21%, 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 R6, Class R and Class P Shares generated average annual total returns of 13.96%, 13.10%, 14.29%, 13.81%, 14.24%, 14.35%, 13.61% and 14.36%, respectively. This compares to the 15.02% 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 5.56% and 16.21%, 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 and exchange-traded funds (“ETFs”) (collectively, the “Underlying Funds”). Some of the Portfolios’ Underlying Funds invest primarily in fixed income or money market instruments (the “Underlying Fixed Income Funds”); some of the Underlying Funds invest primarily in equity securities (the “Underlying Equity Funds”); and other Underlying Funds invest dynamically across equity, fixed income, commodity and other markets 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 dynamic allocation, and excess returns from investments in |
3
PORTFOLIO RESULTS
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 of bottom-up security selection strategies across equity, fixed income and dynamic asset classes, which may utilize fundamental or quantitative investment techniques. We then incorporate our medium-term 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 strongly positive returns on an absolute basis. In relative terms, all three Portfolios — the Goldman Sachs Balanced Strategy Portfolio, the Goldman Sachs Growth and Income Strategy Portfolio and the Goldman Sachs Growth Strategy Portfolio — underperformed their respective benchmark indices.1 |
Long-term strategic asset allocation added to the performance of all three Portfolios during the Reporting Period. Our short-term dynamic decisions also bolstered the Portfolios’ returns. Conversely, the Portfolios were hurt by our medium-term dynamic views. Security selection within the Underlying Funds had mixed results on the performance of the Portfolios overall. |
During the Reporting Period, our long-term strategic asset allocation added to the performance of the Portfolios, with those having greater equity exposure producing greater positive returns. In addition, the Portfolio benefited from the gains of our long U.S. interest rate options strategy, through which we seek to profit if interest rates fall, remain constant or rise less than anticipated. (Our long U.S. interest rate options strategy is a macroeconomic hedge that buys put options on short-term interest rates. 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.) |
Our medium-term dynamic views, which seek to respond to changes in the business or economic cycle, detracted from the performance of all three Portfolios. Overall, the Portfolios were hampered by our decision to reduce risk, which we accomplished through decreased allocations to equities, especially through the Portfolios’ allocations to the Goldman Sachs Dynamic Global Equity Fund. Within fixed income, our medium-term dynamic view that the Portfolios have reduced exposures to non-investment grade fixed income and have allocations to U.S. Treasury futures detracted from performance during the Reporting Period. |
Our short-term dynamic views, which seek to take advantage of what we consider short-term market mispricing, added to the performance of all three Portfolios. We express our short-term dynamic views through the Goldman Sachs Tactical Tilt Overlay Fund (the “Underlying Tactical Fund”), which generated positive returns during the Reporting Period. |
Regarding security selection within the Underlying Funds, it detracted from the performance of the Goldman Sachs Growth Strategy Portfolio during the Reporting Period. On the positive side, security selection within the Underlying Funds added to the performance of the Goldman Sachs Balanced Strategy Portfolio. Security selection within the Underlying Funds had a rather neutral impact on the performance of the Goldman Sachs Growth and Income Strategy Portfolio during the Reporting Period. |
Q | How did the Portfolios’ Underlying Funds perform relative to their respective benchmark indices during the Reporting Period? |
A | Among Underlying Fixed Income Funds, the Goldman Sachs Global Income Fund, the Goldman Sachs Emerging Markets Debt Fund, the Goldman Sachs Core Fixed Income Fund and the Goldman Sachs Local Emerging Market Debt Fund outperformed their respective benchmark indices. The Goldman Sachs High Yield Floating Rate Fund, the Goldman Sachs High Yield Fund and the Goldman Sachs Investment Grade Bond ETF underperformed their respective benchmark indices. Among Underlying Equity Funds, the Goldman Sachs International Equity Insights Fund, the Goldman Sachs Emerging Markets Equity Insights Fund, the Goldman Sachs Global Real Estate Securities Fund and the Goldman Sachs Global Infrastructure Fund outperformed |
1 | As measured by Institutional Shares. |
4
PORTFOLIO RESULTS
their respective benchmark indices. The Goldman Sachs International Small Cap Insights Fund, the Goldman Sachs ActiveBeta® Large Cap Equity ETF and the Goldman Sachs Dynamic Global Equity Fund underperformed their respective benchmark indices. Among Underlying Dynamic Funds, the Goldman Sachs Managed Futures Strategy Fund and the Goldman Sachs Alternative Premia Fund underperformed their respective benchmark indices. |
The Underlying Tactical Fund outperformed its cash benchmark during the Reporting Period. |
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 (neutral impact). |
Within fixed income, all three Portfolios invested in a strategy that utilized interest rate options to profit if interest rates fall, remain constant, or rise less than anticipated (positive impact). In addition, U.S. Treasury futures were used to express our medium-term dynamic views on longer-term Treasury securities and to position the Portfolios toward the long-term end of the U.S. Treasury yield curve (negative impact). (Yield curve is a spectrum of interest rates based on maturities of varying lengths.) |
The three Portfolios used forward foreign currency exchange contracts within a foreign currency hedging strategy (negative impact), which seeks to manage the risk associated with investing in non-U.S. currencies. |
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 | During the Reporting Period, we made changes to our long-term strategic allocations. In October 2020, we implemented new long-term strategic allocations that we believed would enhance diversification and potentially generate additional excess returns. Specifically, we increased the Portfolios’ exposures to emerging markets debt, U.S. investment grade corporate bonds, emerging markets equities and international small-cap stocks. At the same time, we reduced their allocations to real assets, global investment grade corporate bonds and the Underlying Tactical Fund. Within fixed income, we reduced the Goldman Sachs Balanced Strategy Portfolio’s strategic allocation to global fixed income, added a strategic allocation to U.S. core fixed income and increased the allocation to emerging markets debt. In the Goldman Sachs Growth and Income Portfolio, we decreased the strategic allocation to global fixed income and increased strategic allocations to U.S. investment grade corporate bonds and emerging markets debt. As for the Goldman Sachs Growth Portfolio, we decreased its strategic allocation to U.S. investment grade corporate bonds and increased its strategic allocation to emerging markets debt. Within real assets, we decreased strategic allocations to global real estate securities in all three Portfolios. |
We also made changes to our medium-term dynamic views during the Reporting Period. During March and April 2020, amid the COVID-19-related sell-off and increased market uncertainty, we sought to reduce risk in the Portfolios and decreased their overall exposures to equities. In June, we re-established the Portfolios’ allocations to equities, as the markets appeared to grow more optimistic about a potential economic recovery. Another change in our medium-term dynamic views was our decision in April to reduce the Portfolios’ exposures to our long U.S. interest rate options strategy. At the same time, we added longer-maturity U.S. Treasury futures to help maintain and adjust the Portfolios’ duration positions. In October, we shifted the Portfolios’ medium-term dynamic allocations toward our strategic asset allocations. Specifically, we increased the Portfolios’ exposures to non-investment grade fixed income and removed their exposures to 30-year Treasury futures, as the new strategic asset allocation incorporated our preference for emerging markets debt and U.S. investment grade corporate bonds over global fixed income into the long-term positioning of the Portfolios. |
In addition, in October 2020, the Portfolios’ allocation to Goldman Sachs Alternative Premia Fund was eliminated. |
5
FUND BASIC
Balanced Strategy
as of December 31, 2020
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, dynamic 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, 2020. 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. |
6
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. |
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 BALANCED STRATEGY PORTFOLIO
Performance Summary
December 31, 2020
The following graph shows the value, as of December 31, 2020, of a $1,000,000 investment made on January 1, 2011 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 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, 2011 through December 31, 2020.
Average Annual Total Return through December 31, 2020 | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A | ||||||||||||||
Excluding sales charges | 10.71% | 6.77% | 5.10% | —% | ||||||||||
Including sales charges | 4.62% | 5.56% | 4.51% | —% | ||||||||||
| ||||||||||||||
Class C | ||||||||||||||
Excluding contingent deferred sales charges | 9.90% | 5.95% | 4.31% | —% | ||||||||||
Including contingent deferred sales charges | 8.90% | 5.95% | 4.31% | —% | ||||||||||
| ||||||||||||||
Institutional | 11.05% | 7.15% | 5.50% | —% | ||||||||||
| ||||||||||||||
Service | 10.52% | 6.78% | 5.05% | —% | ||||||||||
| ||||||||||||||
Investor | 10.97% | 7.03% | 5.35% | —% | ||||||||||
| ||||||||||||||
Class R6 (Commenced July 31, 2015) | 11.06% | 7.16% | N/A | 6.19% | ||||||||||
| ||||||||||||||
Class R | 10.39% | 6.53% | 4.86% | —% | ||||||||||
| ||||||||||||||
Class P (Commenced April 17, 2018) | 11.15% | N/A | N/A | 6.97% | ||||||||||
|
* | 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 R6, Class R and Class P 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.
8
FUND BASICS
Growth and Income Strategy
as of December 31, 2020
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, dynamic 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, 2020. 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. |
9
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. |
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.
10
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Performance Summary
December 31, 2020
The following graph shows the value, as of December 31, 2020, of a $1,000,000 investment made on January 1, 2011 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 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, 2011 through December 31, 2020.
Average Annual Total Return through December 31, 2020 | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A | ||||||||||||||
Excluding sales charges | 12.29% | 8.31% | 6.40% | —% | ||||||||||
Including sales charges | 6.13% | 7.08% | 5.80% | —% | ||||||||||
| ||||||||||||||
Class C | ||||||||||||||
Excluding contingent deferred sales charges | 11.44% | 7.48% | 5.61% | —% | ||||||||||
Including contingent deferred sales charges | 10.34% | 7.48% | 5.61% | —% | ||||||||||
| ||||||||||||||
Institutional | 12.68% | 8.71% | 6.81% | —% | ||||||||||
| ||||||||||||||
Service | 12.18% | 8.19% | 6.30% | —% | ||||||||||
| ||||||||||||||
Investor | 12.64% | 8.59% | 6.67% | —% | ||||||||||
| ||||||||||||||
Class R6 (Commenced July 31, 2015) | 12.70% | 8.71% | N/A | 7.43% | ||||||||||
| ||||||||||||||
Class R | 12.05% | 8.02% | 6.13% | —% | ||||||||||
| ||||||||||||||
Class P (Commenced April 17, 2018) | 12.70% | N/A | N/A | 7.54% | ||||||||||
|
* | 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 R6, Class R and Class P 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.
11
FUND BASICS
Growth Strategy
as of December 31, 2020
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, dynamic 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, 2020. 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. |
12
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. |
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
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Performance Summary
December 31, 2020
The following graph shows the value, as of December 31, 2020, of a $10,000 investment made on January 1, 2011 in Class A 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 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 $10,000 investment, with distributions reinvested, from January 1, 2011 through December 31, 2020.
Average Annual Total Return through December 31, 2020 | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A | ||||||||||||||
Excluding sales charges | 13.96% | 9.81% | 7.59% | —% | ||||||||||
Including sales charges | 7.72% | 8.58% | 6.98% | —% | ||||||||||
| ||||||||||||||
Class C | ||||||||||||||
Excluding contingent deferred sales charges | 13.10% | 8.99% | 6.79% | —% | ||||||||||
Including contingent deferred sales charges | 11.95% | 8.99% | 6.79% | —% | ||||||||||
| ||||||||||||||
Institutional | 14.29% | 10.22% | 8.01% | —% | ||||||||||
| ||||||||||||||
Service | 13.81% | 9.69% | 7.48% | —% | ||||||||||
| ||||||||||||||
Investor | 14.24% | 10.09% | 7.86% | —% | ||||||||||
| ||||||||||||||
Class R6 (Commenced July 31, 2015) | 14.35% | 10.24% | N/A | 8.66% | ||||||||||
| ||||||||||||||
Class R | 13.61% | 9.54% | 7.31% | —% | ||||||||||
| ||||||||||||||
Class P (Commenced April 17, 2018) | 14.36% | N/A | N/A | 8.39% | ||||||||||
|
* | 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 R6, Class R and Class P 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.
14
PORTFOLIO RESULTS
Goldman Sachs Fund of Funds Portfolios – Satellite Strategies Portfolio
Investment Objective
The Portfolio seeks long-term capital appreciation.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Multi-Asset Solutions (“MAS”) Team discusses the performance and positioning of the Goldman Sachs Fund of Funds Portfolios — Satellite Strategies Portfolio (the “Portfolio”) for the 12-month period ended December 31, 2020 (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 R6, Class R and Class P Shares generated average annual total returns of 3.40%, 2.59%, 3.81%, 3.32%, 3.55%, 3.79%, 3.09% and 3.82%, respectively. This compares to the 11.58% 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 7.49%, 18.34% and 7.79%, 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 produced positive absolute returns, with the exception of real assets, notably energy master limited partnerships (“MLPs”). Relative to traditional equity and fixed income classes, satellite asset classes underperformed during the Reporting Period. |
In the first quarter of 2020, when the Reporting Period began, all of the satellite asset classes represented in the Portfolio fell deeply into negative territory following the emergence of COVID-19 and the collapse of crude oil prices. Equity satellite asset classes broadly declined, led by emerging markets stocks, which have a high beta relative to global economic activity and are sensitive to global trade. (In this context, beta is a measure of the volatility of a security.) Within fixed income satellite asset classes, non-investment grade fixed income suffered a significant decline, with high yield corporate bonds and emerging markets debt posting double-digit negative returns. At the end of the second calendar quarter, all satellite asset classes remained in negative territory, though they had regained a significant amount of lost ground. By the end of the third quarter, the performance of high yield corporate bonds turned positive for the 2020 calendar year, while the performance of other satellite asset classes stayed negative. The fourth quarter saw a continued recovery across satellite asset classes, highlighted by an impressive rebound in emerging markets equities and in both U.S. and international small-cap equities. |
Equity satellite asset classes generated positive returns for the Reporting Period overall. U.S. small cap equities, as measured by the Russell 2000® Index, performed best, gaining 19.96%. Emerging markets equities, as measured by the MSCI Emerging Markets Index (Net, Unhedged), also performed strongly, rising 18.31%. International small cap equities, as represented by the MSCI EAFE Small Cap Equity Index (Net, Unhedged), gained 12.34%. |
As for real assets, they were broadly negative for the Reporting Period overall. U.S. energy MLPs, as measured by the Alerian MLP Index, declined 28.69%. Global real estate, as measured by the FTSE/NAREIT Developed Index (Net, Unhedged), dropped 8.91%. Global infrastructure securities, as represented by the Dow Jones Brookfield Global Infrastructure Index (Net, Unhedged), were down 6.97%. |
As for fixed income satellite asset classes, they all recorded positive returns for the Reporting Period overall. High yield corporate bonds, as measured by the Bloomberg Barclays U.S. High-Yield 2% Issuer Capped Bond Index, performed best, up 7.05%. Leveraged loans, as measured by the Credit Suisse Leveraged Loan Index, gained 2.78%. U.S. dollar- |
15
PORTFOLIO RESULTS
denominated emerging markets debt, as represented by the J.P. Morgan Emerging Market Bond Index Global Diversified Index, rose 5.26%. Emerging markets local debt, as measured by the J.P. Morgan Government Bond Index — Emerging Markets Global Diversified Index (Unhedged), was up 2.69%. |
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 generated positive absolute returns but underperformed the Portfolio’s blended benchmark of core asset classes. Our medium-term dynamic allocation detracted from the Portfolio’s performance. On the positive side, security selection within the Underlying Funds added to the Portfolio’s returns during the Reporting Period, with outperformance largely concentrated in the Underlying Equity Funds. |
Strategic asset allocation detracted from the Portfolio’s relative performance during the Reporting Period. The Portfolio was hurt by its strategic allocations to real assets, as U.S. energy MLPs, global real estate securities and global infrastructure securities each generated negative absolute returns and underperformed the equity component of the blended benchmark. Contributing positively were the Portfolio’s strategic allocations to equity satellite asset classes, especially emerging markets equities and international small cap equities. Both generated positive absolute returns and outperformed the equity component of the blended benchmark. Within fixed income, all of the Portfolio’s strategic allocations to satellite asset classes added overall to its performance, with each producing positive absolute returns. However, with one exception, i.e., U.S. dollar-denominated emerging markets debt, they all underperformed the fixed income component of the blended benchmark. |
As for our medium-term dynamic asset allocation, the Portfolio was hampered by our preference for energy MLPs and global infrastructure securities over international small cap stocks and emerging markets equities, as real asset classes underperformed equity satellite asset classes during the Reporting Period. |
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 returns. Among Underlying Equity Funds, the Goldman Sachs Emerging Markets Equity Fund, the Goldman Sachs Emerging Markets Equity Insights Fund, the Goldman Sachs Global Real Estate Securities Fund and the Goldman Sachs Global Infrastructure Fund outperformed their respective benchmark indices. The Goldman Sachs ActiveBeta® Emerging Markets Equity ETF, 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 Emerging Markets Debt Fund and the Goldman Sachs Local Emerging Markets Debt Fund outperformed their respective benchmark indices. The Goldman Sachs High Yield Fund underperformed its benchmark index, while the performance of the Goldman Sachs High Yield Floating Rate Fund versus its benchmark index was rather flat. |
16
PORTFOLIO RESULTS
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 may have engaged in forward foreign currency exchange contracts, financial futures contracts, options, swap contracts and structured securities to attempt to enhance portfolio return and for hedging purposes. |
Q | What changes did you make during the Reporting Period within the Portfolio? |
A | We made some adjustments to the Portfolio’s strategic allocations during the Reporting Period. In March 2020, as the emergence of COVID-19 seemed to heighten perceived risks for the emerging markets, we reduced the Portfolio’s strategic allocation to emerging markets equities in favor of increasing its strategic allocation to global infrastructure securities. We further decreased the Portfolio’s strategic allocation to emerging markets equities during April before increasing it again in June. |
17
FUND BASICS
Satellite Strategies Portfolio
as of December 31, 2020
TARGET RISK-CONTRIBUTION INVESTMENT PORTFOLIO1 AS OF 12/31/20 | ||||||
Percentage of Investment Portfolio | ||||||
![]() |
1 | Generally, dynamic 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, 2020. 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. |
18
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.
19
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Performance Summary
December 31, 2020
The following graph shows the value, as of December 31, 2020, of a $1,000,000 investment made on January 1, 2011 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 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, 2011 through December 31, 2020.
Average Annual Total Return through December 31, 2020 | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A | ||||||||||||||
Excluding sales charges | 3.40% | 5.83% | 4.01% | —% | ||||||||||
Including sales charges | -2.25% | 4.65% | 3.43% | —% | ||||||||||
| ||||||||||||||
Class C | ||||||||||||||
Excluding contingent deferred sales charges | 2.59% | 5.04% | 3.22% | —% | ||||||||||
Including contingent deferred sales charges | 1.59% | 5.04% | 3.22% | —% | ||||||||||
| ||||||||||||||
Institutional | 3.81% | 6.27% | 4.43% | —% | ||||||||||
| ||||||||||||||
Service | 3.32% | 5.75% | 3.92% | —% | ||||||||||
| ||||||||||||||
Investor | 3.55% | 6.09% | 4.26% | —% | ||||||||||
| ||||||||||||||
Class R6 (Commenced July 31, 2015) | 3.79% | 6.27% | N/A | 4.89% | ||||||||||
| ||||||||||||||
Class R | 3.09% | 5.58% | 3.75% | —% | ||||||||||
| ||||||||||||||
Class P (Commenced April 17, 2018) | 3.82% | N/A | N/A | 4.05% | ||||||||||
|
* | 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 R6, Class R and Class P 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.
20
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Alerian MLP Index is 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 Index is an unmanaged index of debt instruments issued by emerging markets governments in local currency. As emerging markets look increasingly toward their domestic market for sources of finance, investors are looking more closely at local markets in search for higher yield and greater diversification.
MSCI ACWI Investable Market Index captures large, mid and small cap representation across 23 developed markets and 27 emerging markets countries.
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 EAFE Small Cap Index is an equity index that captures small-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 captures large-cap and mid-cap representation across 26 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.
Russell 2000® Index is an unmanaged index of common stock prices that measures the performance of the 2000 smallest companies in the Russell 3000® Index. The Index is constructed to provide a comprehensive and unbiased small-cap barometer and is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-cap opportunity set.
Dow Jones Brookfield Global Infrastructure Index is designed to measure the performance of pure-play infrastructure companies domiciled globally. The index covers all sectors of the infrastructure market. To be included in the index, a company must derive at least 70% of cash flows from infrastructure lines of business.
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.
21
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
December 31, 2020
Shares | Description | Value | ||||||
Underlying Funds(a) – 92.8% | ||||||||
Dynamic – 9.4% | ||||||||
2,807,393 | Goldman Sachs Tactical Tilt Overlay Fund – Class R6 | $ | 27,119,421 | |||||
1,533,395 | Goldman Sachs Managed Futures Strategy Fund – Class R6 | 16,008,647 | ||||||
1,502,104 | Goldman Sachs Alternative Premia Fund – Class R6 | 10,364,519 | ||||||
|
| |||||||
53,492,587 | ||||||||
|
| |||||||
Equity – 29.8% | ||||||||
4,228,452 | Goldman Sachs Dynamic Global Equity Fund – Class R6 | 91,461,424 | ||||||
1,920,345 | Goldman Sachs International Equity Insights Fund – Class R6 | 26,385,543 | ||||||
2,064,556 | Goldman Sachs Emerging Markets Equity Insights Fund – Class R6 | 24,134,655 | ||||||
1,012,147 | Goldman Sachs International Small Cap Insights Fund – Class R6 | 12,823,897 | ||||||
791,766 | Goldman Sachs Global Infrastructure Fund – Class R6 | 9,319,088 | ||||||
541,278 | Goldman Sachs Global Real Estate Securities Fund – Class R6 | 5,537,277 | ||||||
|
| |||||||
169,661,884 | ||||||||
|
| |||||||
Exchange Traded Funds – 19.3% | ||||||||
729,000 | Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | 55,178,010 | ||||||
969,154 | Goldman Sachs Access Investment Grade Corporate Bond ETF | 54,505,221 | ||||||
|
| |||||||
109,683,231 | ||||||||
|
| |||||||
Fixed Income – 34.3% | ||||||||
10,907,526 | Goldman Sachs Global Income Fund – Class R6 | 144,088,415 | ||||||
1,543,199 | Goldman Sachs Core Fixed Income Fund – Class R6 | 17,438,154 | ||||||
1,321,561 | Goldman Sachs Emerging Markets Debt Fund – Class R6 | 16,968,849 | ||||||
662,055 | Goldman Sachs High Yield Floating Rate Fund – Class R6 | 6,143,867 | ||||||
848,451 | Goldman Sachs High Yield Fund – Class R6 | 5,506,449 | ||||||
836,896 | Goldman Sachs Local Emerging Markets Debt Fund – Class R6 | 5,071,590 | ||||||
|
| |||||||
195,217,324 | ||||||||
|
| |||||||
TOTAL UNDERLYING FUNDS – 92.8% | ||||||||
(Cost $479,308,663) | $ | 528,055,026 | ||||||
|
|
Shares | Dividend Rate | Value | ||||||
Investment Company(a) – 4.9% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
27,861,603 | 0.026% | $ | 27,861,603 | |||||
(Cost $27,861,603) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 97.7% | ||||||||
(Cost $507,170,266) | $ | 555,916,629 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 2.3% | 13,099,386 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 569,016,015 | ||||||
|
|
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 | |
PLC | —Public Limited Company | |
|
22 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At December 31, 2020, 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 | 679,899 | HKD | 5,270,000 | 03/17/21 | $ | 2 | |||||||||||||
USD | 385,366 | CHF | 340,000 | 03/17/21 | 435 | |||||||||||||||
USD | 120,379 | DKK | 730,000 | 03/17/21 | 352 | |||||||||||||||
USD | 1,804,503 | EUR | 1,470,000 | 03/17/21 | 5,513 | |||||||||||||||
USD | 164,528 | SEK | 1,350,000 | 03/17/21 | 307 | |||||||||||||||
TOTAL | $ | 6,609 |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||||||
MS & Co. Int. PLC | USD | 85,526 | ILS | 280,000 | 03/17/21 | $ | (1,728 | ) | ||||||||||||
USD | 291,529 | SGD | 390,000 | 03/17/21 | (3,592 | ) | ||||||||||||||
USD | 7,083,262 | JPY | 738,000,000 | 03/17/21 | (70,528 | ) | ||||||||||||||
USD | 1,963,124 | AUD | 2,640,000 | 03/17/21 | (73,479 | ) | ||||||||||||||
USD | 767,769 | SEK | 6,525,000 | 03/17/21 | (25,965 | ) | ||||||||||||||
USD | 7,354,679 | EUR | 6,070,000 | 03/17/21 | (73,805 | ) | ||||||||||||||
USD | 2,316,333 | CHF | 2,070,000 | 03/17/21 | (27,217 | ) | ||||||||||||||
USD | 3,949,835 | GBP | 2,950,000 | 03/17/21 | (86,244 | ) | ||||||||||||||
USD | 164,895 | NOK | 1,450,000 | 03/17/21 | (4,169 | ) | ||||||||||||||
USD | 84,683 | NZD | 120,000 | 03/17/21 | (1,684 | ) | ||||||||||||||
USD | 597,129 | DKK | 3,670,000 | 03/17/21 | (6,297 | ) | ||||||||||||||
USD | 190,866 | HKD | 1,480,000 | 03/17/21 | (73 | ) | ||||||||||||||
TOTAL | �� | $ | (374,781 | ) |
FUTURES CONTRACTS — At December 31, 2020, the Portfolio had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
S&P 500 E-Mini Index | 134 | 03/19/21 | $ | 25,116,960 | $ | 634,591 | ||||||||||
10 Year U.S. Treasury Notes | 218 | 03/22/21 | 30,101,031 | 16,861 | ||||||||||||
TOTAL FUTURES CONTRACTS | $ | 651,452 |
The accompanying notes are an integral part of these financial statements. | 23 |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Schedule of Investments (continued)
December 31, 2020
ADDITIONAL INVESTMENT INFORMATION (continued) |
PURCHASED OPTIONS CONTRACTS — At December 31, 2020, the Portfolio had the following purchased and written options:
EXCHANGE TRADED OPTIONS ON FUTURES
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Portfolio | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
Purchased option contracts |
| |||||||||||||||||||||||||||||
Calls |
| |||||||||||||||||||||||||||||
Eurodollar Futures | $ | 98.250 | 03/15/2021 | 95 | $ | 237,500 | $ | 375,250 | $ | 105,908 | $ | 269,342 | ||||||||||||||||||
Eurodollar Futures | 98.250 | 06/14/2021 | 84 | 210,000 | 332,850 | 94,695 | 238,155 | |||||||||||||||||||||||
Eurodollar Futures | 98.250 | 09/13/2021 | 82 | 205,000 | 323,900 | 96,540 | 227,360 | |||||||||||||||||||||||
TOTAL | 261 | $ | 652,500 | $ | 1,032,000 | $ | 297,143 | $ | 734,857 |
|
| |
Abbreviations: | ||
MS & Co. Int. PLC—Morgan Stanley & Co. International PLC | ||
|
|
24 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Schedule of Investments
December 31, 2020
Shares | Description | Value | ||||||
Underlying Funds(a) – 94.6% | ||||||||
Dynamic – 7.4% | ||||||||
3,795,619 | Goldman Sachs Tactical Tilt Overlay Fund – Class R6 | $ | 36,665,679 | |||||
2,217,967 | Goldman Sachs Managed Futures Strategy Fund – Class R6 | 23,155,572 | ||||||
1,235,011 | Goldman Sachs Alternative Premia Fund – Class R6 | 8,521,575 | ||||||
|
| |||||||
68,342,826 | ||||||||
|
| |||||||
Equity – 40.8% | ||||||||
8,871,471 | Goldman Sachs Dynamic Global Equity Fund – Class R6 | 191,889,910 | ||||||
5,970,921 | Goldman Sachs International Equity Insights Fund – Class R6 | 82,040,448 | ||||||
4,560,645 | Goldman Sachs Emerging Markets Equity Insights Fund – Class R6 | 53,313,938 | ||||||
1,880,665 | Goldman Sachs International Small Cap Insights Fund – Class R6 | 23,828,029 | ||||||
1,355,117 | Goldman Sachs Global Infrastructure Fund – Class R6 | 15,949,729 | ||||||
871,865 | Goldman Sachs Global Real Estate Securities Fund – Class R6 | 8,919,181 | ||||||
|
| |||||||
375,941,235 | ||||||||
|
| |||||||
Exchange Traded Funds – 30.4% | ||||||||
2,526,237 | Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | 191,210,878 | ||||||
1,576,107 | Goldman Sachs Access Investment Grade Corporate Bond ETF | 88,640,258 | ||||||
|
| |||||||
279,851,136 | ||||||||
|
| |||||||
Fixed Income – 16.0% | ||||||||
6,534,255 | Goldman Sachs Global Income Fund – Class R6 | 86,317,513 | ||||||
2,488,689 | Goldman Sachs Emerging Markets Debt Fund – Class R6 | 31,954,762 | ||||||
1,628,836 | Goldman Sachs Local Emerging Markets Debt Fund – Class R6 | 9,870,744 | ||||||
1,478,530 | Goldman Sachs High Yield Fund – Class R6 | 9,595,658 | ||||||
965,809 | Goldman Sachs High Yield Floating Rate Fund – Class R6 | 8,962,704 | ||||||
|
| |||||||
146,701,381 | ||||||||
|
| |||||||
TOTAL UNDERLYING FUNDS – 94.6% | ||||||||
(Cost $749,019,022) | $ | 870,836,578 | ||||||
|
|
Shares | Dividend Rate | Value | ||||||
Investment Company(a)– 3.6% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
33,271,131 | 0.026% | $ | 33,271,131 | |||||
(Cost $33,271,131) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 98.2% | ||||||||
(Cost $782,290,153) | $ | 904,107,709 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 1.8% | 17,003,582 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 921,111,291 | ||||||
|
|
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 | |
GBP | —Great 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 | |
|
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At December 31, 2020, 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 | 1,268,199 | HKD | 9,830,000 | 03/17/21 | $ | 5 |
The accompanying notes are an integral part of these financial statements. | 25 |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Schedule of Investments (continued)
December 31, 2020
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 | 133,981 | ILS | 440,000 | 03/17/21 | $ | (3,131 | ) | ||||||||||||
USD | 455,191 | SGD | 610,000 | 03/17/21 | (6,409 | ) | ||||||||||||||
USD | 2,866,804 | AUD | 3,880,000 | 03/17/21 | (126,386 | ) | ||||||||||||||
USD | 10,414,840 | JPY | 1,087,000,000 | 03/17/21 | (121,976 | ) | ||||||||||||||
USD | 4,006,025 | CHF | 3,580,000 | 03/17/21 | (47,072 | ) | ||||||||||||||
USD | 13,546,180 | EUR | 11,180,000 | 03/17/21 | (135,937 | ) | ||||||||||||||
USD | 5,567,115 | GBP | 4,170,000 | 03/17/21 | (138,122 | ) | ||||||||||||||
USD | 237,636 | NOK | 2,100,000 | 03/17/21 | (7,215 | ) | ||||||||||||||
USD | 1,376,689 | SEK | 11,700,000 | 03/17/21 | (46,558 | ) | ||||||||||||||
USD | 984,367 | DKK | 6,050,000 | 03/17/21 | (10,380 | ) | ||||||||||||||
USD | 126,878 | NZD | 180,000 | 03/17/21 | (2,674 | ) | ||||||||||||||
TOTAL | $ | (645,860 | ) |
FUTURES CONTRACTS — At December 31, 2020, the Portfolio had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
S&P 500 E-Mini Index | 169 | 03/19/21 | $ | 31,677,360 | $ | 800,881 | ||||||||||
10 Year U.S. Treasury Notes | 360 | 03/22/21 | 49,708,125 | 34,242 | ||||||||||||
TOTAL FUTURES CONTRACTS | $ | 835,123 |
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At December 31, 2020, 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) by Portfolio | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
Purchased option contracts |
| |||||||||||||||||||||||||||||
Calls |
| |||||||||||||||||||||||||||||
Eurodollar Futures | $ | 98.250 | 06/14/2021 | 137 | $ | 342,500 | $ | 542,863 | $ | 154,443 | $ | 388,420 | ||||||||||||||||||
Eurodollar Futures | 98.250 | 09/13/2021 | 134 | 335,000 | 529,300 | 157,761 | 371,539 | |||||||||||||||||||||||
Eurodollar Futures | 98.250 | 03/15/2021 | 157 | 392,500 | 620,149 | 175,026 | 445,123 | |||||||||||||||||||||||
TOTAL | 428 | $ | 1,070,000 | $ | 1,692,312 | $ | 487,230 | $ | 1,205,082 |
|
| |
Abbreviations: | ||
MS & Co. Int. PLC—Morgan Stanley & Co. International PLC | ||
|
|
26 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Schedule of Investments
December 31, 2020
Shares | Description | Value | ||||||
Underlying Funds(a) – 94.9% | ||||||||
Dynamic – 4.6% | ||||||||
2,277,150 | Goldman Sachs Tactical Tilt Overlay Fund – Class R6 | $ | 21,997,267 | |||||
1,259,834 | Goldman Sachs Managed Futures Strategy Fund – Class R6 | 13,152,672 | ||||||
|
| |||||||
35,149,939 | ||||||||
|
| |||||||
Equity – 53.0% | ||||||||
9,313,814 | Goldman Sachs Dynamic Global Equity Fund – Class R6 | 201,457,800 | ||||||
6,703,822 | Goldman Sachs International Equity Insights Fund – Class R6 | 92,110,514 | ||||||
5,338,540 | Goldman Sachs Emerging Markets Equity Insights Fund – Class R6 | 62,407,531 | ||||||
2,540,127 | Goldman Sachs International Small Cap Insights Fund – Class R6 | 32,183,409 | ||||||
1,298,901 | Goldman Sachs Global Infrastructure Fund – Class R6 | 15,288,059 | ||||||
732,822 | Goldman Sachs Global Real Estate Securities Fund – Class R6 | 7,496,765 | ||||||
|
| |||||||
410,944,078 | ||||||||
|
| |||||||
Exchange Traded Funds – 31.1% | ||||||||
3,057,660 | Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | 231,434,286 | ||||||
171,088 | Goldman Sachs Access Investment Grade Corporate Bond ETF | 9,621,989 | ||||||
|
| |||||||
241,056,275 | ||||||||
|
| |||||||
Fixed Income – 6.2% | ||||||||
2,460,581 | Goldman Sachs Emerging Markets Debt Fund – Class R6 | 31,593,857 | ||||||
1,459,728 | Goldman Sachs Local Emerging Markets Debt Fund – Class R6 | 8,845,950 | ||||||
1,189,484 | Goldman Sachs High Yield Fund –Class R6 | 7,719,752 | ||||||
|
| |||||||
48,159,559 | ||||||||
|
| |||||||
TOTAL UNDERLYING FUNDS – 94.9% | ||||||||
(Cost $601,348,432) | $ | 735,309,851 | ||||||
|
| |||||||
Shares | Dividend Rate | Value | ||||||
Investment Company(a) – 3.0% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
23,241,499 | 0.026% | $ | 23,241,499 | |||||
(Cost $23,241,499) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 97.9% | ||||||||
(Cost $624,589,931) | $ | 758,551,350 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 2.1% | 16,623,863 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 775,175,213 | ||||||
|
|
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 | |||
|
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At December 31, 2020, 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 | 992,111 | HKD | 7,690,000 | 03/17/21 | $ | 4 | |||||||||||||
USD | 45,702 | SEK | 375,000 | 03/17/21 | 85 | |||||||||||||||
USD | 124,677 | CHF | 110,000 | 03/17/21 | 141 | |||||||||||||||
USD | 97,293 | DKK | 590,000 | 03/17/21 | 284 | |||||||||||||||
USD | 441,919 | EUR | 360,000 | 03/17/21 | 1,350 | |||||||||||||||
TOTAL |
| $ | 1,864 |
The accompanying notes are an integral part of these financial statements. | 27 |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Schedule of Investments (continued)
December 31, 2020
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 | 109,886 | ILS | 360,000 | 03/17/21 | $ | (2,297 | ) | ||||||||||||
USD | 358,183 | SGD | 480,000 | 03/17/21 | (5,043 | ) | ||||||||||||||
USD | 8,540,361 | JPY | 891,000,000 | 03/17/21 | (96,533 | ) | ||||||||||||||
USD | 2,360,562 | AUD | 3,190,000 | 03/17/21 | (100,334 | ) | ||||||||||||||
USD | 10,589,769 | EUR | 8,740,000 | 03/17/21 | (106,269 | ) | ||||||||||||||
USD | 3,133,204 | CHF | 2,800,000 | 03/17/21 | (36,816 | ) | ||||||||||||||
USD | 1,076,641 | SEK | 9,150,000 | 03/17/21 | (36,411 | ) | ||||||||||||||
USD | 4,757,486 | GBP | 3,560,000 | 03/17/21 | (113,171 | ) | ||||||||||||||
USD | 198,436 | NOK | 1,750,000 | 03/17/21 | (5,606 | ) | ||||||||||||||
USD | 105,830 | NZD | 150,000 | 03/17/21 | (2,130 | ) | ||||||||||||||
USD | 769,596 | DKK | 4,730,000 | 03/17/21 | (8,115 | ) | ||||||||||||||
USD | 59,323 | HKD | 460,000 | 03/17/21 | (23 | ) | ||||||||||||||
TOTAL |
| $ | (512,748 | ) |
FUTURES CONTRACTS — At December 31, 2020, the Portfolio had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
S&P 500 E-Mini Index | 125 | 03/19/21 | $ | 23,430,000 | $ | 592,470 | ||||||||||
10 Year U.S. Treasury Notes | 264 | 03/22/21 | 36,452,625 | 25,554 | ||||||||||||
TOTAL FUTURES CONTRACTS | $ | 618,024 |
PURCHASED OPTIONS CONTRACTS — At December 31, 2020, 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 | $ | 98.250 | 03/15/2021 | 148 | $ | 370,000 | $ | 584,600 | $ | 164,993 | $ | 419,607 | ||||||||||||||||||
Eurodollar Futures | 98.250 | 06/14/2021 | 128 | 320,000 | 507,200 | 144,297 | 362,903 | |||||||||||||||||||||||
Eurodollar Futures | 98.250 | 09/13/2021 | 125 | 312,500 | 493,750 | 147,165 | 346,585 | |||||||||||||||||||||||
TOTAL | 401 | $ | 1,002,500 | $ | 1,585,550 | $ | 456,455 | $ | 1,129,095 |
|
| |
Abbreviations: | ||
MS & Co. Int. PLC-Morgan Stanley & Co. International PLC | ||
|
|
28 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Schedule of Investments
December 31, 2020
Shares | Description | Value | ||||||
Underlying Funds(a) – 98.9% | ||||||||
Equity – 54.9% | ||||||||
3,052,825 | Goldman Sachs Global Real Estate Securities Fund – Class R6 | $ | 31,230,400 | |||||
2,201,595 | Goldman Sachs Global Infrastructure Fund – Class R6 | 25,912,773 | ||||||
1,554,117 | Goldman Sachs International Small Cap Insights Fund – Class R6 | 19,690,665 | ||||||
346,554 | Goldman Sachs Emerging Markets Equity Fund – Class R6 | 10,510,990 | ||||||
631,416 | Goldman Sachs Emerging Markets Equity Insights Fund – Class R6 | 7,381,250 | ||||||
83,926 | Goldman Sachs MLP Energy Infrastructure Fund – Class R6 | 1,552,629 | ||||||
|
| |||||||
96,278,707 | ||||||||
|
| |||||||
Exchange Traded Funds – 4.4% | ||||||||
201,403 | Goldman Sachs ActiveBeta Emerging Markets Equity ETF | 7,687,553 | ||||||
|
| |||||||
Fixed Income – 39.6% | ||||||||
2,263,387 | Goldman Sachs Emerging Markets Debt Fund – Class R6 | 29,061,890 | ||||||
3,152,319 | Goldman Sachs High Yield Fund – Class R6 | 20,458,549 | ||||||
1,132,671 | Goldman Sachs High Yield Floating Rate Fund – Class R6 | 10,511,189 | ||||||
1,537,213 | Goldman Sachs Local Emerging Markets Debt Fund – Class R6 | 9,315,510 | ||||||
|
| |||||||
69,347,138 | ||||||||
|
| |||||||
TOTAL UNDERLYING FUNDS – 98.9% | ||||||||
(Cost $141,481,994) | $ | 173,313,398 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 1.1% | 1,956,247 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 175,269,645 | ||||||
|
|
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 | |||
|
The accompanying notes are an integral part of these financial statements. | 29 |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Statements of Assets and Liabilities
December 31, 2020
Balanced Strategy Portfolio | Growth and Income Strategy Portfolio | |||||||||
Assets: |
| |||||||||
Investments in Affiliated Funds, at value (cost $507,170,266 and $782,290,153, respectively) | 555,916,629 | 904,107,709 | ||||||||
Purchased options, at value (premium paid $297,143 and $487,230, respectively) | 1,032,000 | 1,692,312 | ||||||||
Cash | 8,652,518 | 18,531,219 | ||||||||
Foreign currencies, at value (cost $21,999 and $44,207, respectively) | 26,118 | 46,712 | ||||||||
Unrealized gain on forward foreign currency exchange contracts | 6,609 | 5 | ||||||||
Variation margin on futures contracts | 189,248 | 248,406 | ||||||||
Receivables: | ||||||||||
Portfolio shares sold | 3,348,826 | 934,622 | ||||||||
Collateral on certain derivative contracts(a) | 863,780 | 1,036,567 | ||||||||
Dividends | 435,823 | 486,489 | ||||||||
Reimbursement from investment adviser | 15,921 | 15,503 | ||||||||
Other assets | 56,044 | 55,630 | ||||||||
Total assets | 570,543,516 | 927,155,174 | ||||||||
Liabilities: |
| |||||||||
Unrealized loss on forward foreign currency exchange contracts | 374,781 | 645,860 | ||||||||
Payables: | ||||||||||
Portfolio shares redeemed | 532,494 | 268,517 | ||||||||
Investments purchased | 328,790 | 4,711,668 | ||||||||
Management fees | 69,313 | 114,664 | ||||||||
Distribution and Service fees and Transfer Agency fees | 68,283 | 138,905 | ||||||||
Accrued expenses | 153,840 | 164,269 | ||||||||
Total liabilities | 1,527,501 | 6,043,883 | ||||||||
Net Assets: |
| |||||||||
Paid-in capital | 515,879,892 | 795,010,083 | ||||||||
Total distributable earnings | 53,136,123 | 126,101,208 | ||||||||
NET ASSETS | $ | 569,016,015 | $ | 921,111,291 | ||||||
Net Assets: | ||||||||||
Class A | $ | 110,057,187 | $ | 293,867,782 | ||||||
Class C | 9,574,560 | 13,454,422 | ||||||||
Institutional | 388,940,520 | 364,206,145 | ||||||||
Service | 421,367 | 2,668,780 | ||||||||
Investor | 7,593,757 | 7,997,005 | ||||||||
Class R6 | 1,448,605 | 4,693,999 | ||||||||
Class R | 9,435,254 | 5,270,403 | ||||||||
Class P | 41,544,765 | 228,952,755 | ||||||||
Total Net Assets | $ | 569,016,015 | $ | 921,111,291 | ||||||
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | ||||||||||
Class A | 8,710,170 | 18,941,201 | ||||||||
Class C | 755,950 | 889,587 | ||||||||
Institutional | 30,788,817 | 23,403,278 | ||||||||
Service | 32,933 | 172,435 | ||||||||
Investor | 603,784 | 518,086 | ||||||||
Class R6 | 114,685 | 301,785 | ||||||||
Class R | 750,113 | 342,472 | ||||||||
Class P | 3,287,730 | 14,720,456 | ||||||||
Net asset value, offering and redemption price per share:(b) | ||||||||||
Class A | $12.64 | $15.51 | ||||||||
Class C | 12.67 | 15.12 | ||||||||
Institutional | 12.63 | 15.56 | ||||||||
Service | 12.79 | 15.48 | ||||||||
Investor | 12.58 | 15.44 | ||||||||
Class R6 | 12.63 | 15.55 | ||||||||
Class R | 12.58 | 15.39 | ||||||||
Class P | 12.64 | 15.55 |
(a) | Segregated for initial margin and/or collateral as follows: |
Portfolio | Futures | Forward Foreign Currency | ||||||
Balanced Strategy | $ | 573,780 | $ | 290,000 | ||||
Growth and Income Strategy | 326,567 | 710,000 |
(b) | Maximum public offering price per share for Class A Shares of the Balanced Strategy and Growth and Income Strategy Portfolios is $13.38 and $16.41, 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. |
30 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Statements of Assets and Liabilities (continued)
December 31, 2020
Growth Strategy Portfolio | Satellite Strategies Portfolio | |||||||||
Assets: | ||||||||||
Investments in Affiliated Funds, at value (cost $624,589,931 and $141,481,994, respectively) | $ | 758,551,350 | $ | 173,313,398 | ||||||
Purchased options, at value (premium paid $456,455 and $0, respectively) | 1,585,550 | — | ||||||||
Cash | 12,304,386 | 2,212,003 | ||||||||
Foreign currencies, at value (cost $56,464 and $0, respectively) | 58,691 | — | ||||||||
Unrealized gain on forward foreign currency exchange contracts | 1,864 | — | ||||||||
Variation margin on futures contracts | 182,338 | — | ||||||||
Receivables: | ||||||||||
Portfolio shares sold | 3,636,931 | 18,773 | ||||||||
Collateral on certain derivative contracts(a) | 350,000 | — | ||||||||
Dividends | 175,570 | 245,133 | ||||||||
Reimbursement from investment adviser | 24,717 | 26,129 | ||||||||
Other assets | 54,410 | 28,358 | ||||||||
Total assets | 776,925,807 | 175,843,794 | ||||||||
Liabilities: |
| |||||||||
Unrealized loss on forward foreign currency exchange contracts | 512,748 | — | ||||||||
Payables: | ||||||||||
Portfolio shares redeemed | 620,858 | 136,000 | ||||||||
Distribution and Service fees and Transfer Agency fees | 160,959 | 28,845 | ||||||||
Investments purchased | 156,676 | 245,132 | ||||||||
Management fees | 94,417 | 18,418 | ||||||||
Accrued expenses | 204,936 | 145,754 | ||||||||
Total liabilities | 1,750,594 | 574,149 | ||||||||
Net Assets: |
| |||||||||
Paid-in capital | 638,973,498 | 176,159,627 | ||||||||
Total distributable earnings (loss) | 136,201,715 | (889,982 | ) | |||||||
NET ASSETS | $ | 775,175,213 | $ | 175,269,645 | ||||||
Net Assets: | ||||||||||
Class A | $ | 353,363,157 | $ | 46,265,008 | ||||||
Class C | 22,589,907 | 5,772,012 | ||||||||
Institutional | 169,166,190 | 99,005,715 | ||||||||
Service | 2,120,346 | 128,172 | ||||||||
Investor | 7,004,267 | 18,816,157 | ||||||||
Class R6 | 6,792,366 | 815,207 | ||||||||
Class R | 6,352,850 | 724,061 | ||||||||
Class P | 207,786,130 | 3,743,313 | ||||||||
Total Net Assets | $ | 775,175,213 | $ | 175,269,645 | ||||||
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | ||||||||||
Class A | 19,767,566 | 5,405,578 | ||||||||
Class C | 1,236,761 | 675,795 | ||||||||
Institutional | 9,469,428 | 11,599,233 | ||||||||
Service | 118,947 | 14,982 | ||||||||
Investor | 397,984 | 2,204,670 | ||||||||
Class R6 | 380,152 | 95,351 | ||||||||
Class R | 365,924 | 84,881 | ||||||||
Class P | 11,626,562 | 437,921 | ||||||||
Net asset value, offering and redemption price per share:(b) | ||||||||||
Class A | $17.88 | $8.56 | ||||||||
Class C | 18.27 | 8.54 | ||||||||
Institutional | 17.86 | 8.54 | ||||||||
Service | 17.83 | 8.56 | ||||||||
Investor | 17.60 | 8.53 | ||||||||
Class R6 | 17.87 | 8.55 | ||||||||
Class R | 17.36 | 8.53 | ||||||||
Class P | 17.87 | 8.55 |
(a) | Segregated for initial margin and/or collateral as follows: |
Portfolio | Forward Foreign Currency | |||
Growth Strategy | $ | 350,000 |
(b) | Maximum public offering price per share for Class A Shares of the Growth Strategy and Satellite Strategies Portfolios is $18.92 and $9.06, 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. | 31 |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Statements of Operations
For the Fiscal Year Ended December 31, 2020
Balanced Strategy Portfolio | Growth and Income Strategy Portfolio | |||||||||
Investment income: | ||||||||||
Dividends from Affiliated Funds | $ | 11,793,815 | $ | 16,504,018 | ||||||
Interest | 357 | 296 | ||||||||
Total investment income | 11,794,172 | 16,504,314 | ||||||||
Expenses: | ||||||||||
Management fees | 766,020 | 1,260,516 | ||||||||
Distribution and Service (12b-1) fees(a) | 381,933 | 823,477 | ||||||||
Transfer Agency fees(a) | 365,007 | 703,264 | ||||||||
Registration fees | 122,797 | 127,311 | ||||||||
Professional fees | 114,028 | 114,005 | ||||||||
Printing and mailing costs | 64,917 | 106,484 | ||||||||
Custody, accounting and administrative services | 45,630 | 42,024 | ||||||||
Service fees — Class C | 25,128 | 38,302 | ||||||||
Trustee fees | 21,304 | 21,828 | ||||||||
Shareholder Administration fees — Service Shares | 1,252 | 6,832 | ||||||||
Prime Broker Fees | 470 | 543 | ||||||||
Other | 11,595 | 16,088 | ||||||||
Total expenses | 1,920,081 | 3,260,674 | ||||||||
Less — expense reductions | (360,299 | ) | (395,049 | ) | ||||||
Net expenses | 1,559,782 | 2,865,625 | ||||||||
NET INVESTMENT INCOME | 10,234,390 | 13,638,689 | ||||||||
Realized and unrealized gain (loss): | ||||||||||
Capital gain distributions from Affiliated Funds | 5,469,402 | 5,237,107 | ||||||||
Net realized gain (loss) from: | ||||||||||
Affiliated Funds | (1,699,815 | ) | 635,863 | |||||||
Purchased options | 4,408,735 | 9,543,438 | ||||||||
Futures contracts | 2,694,261 | 2,033,150 | ||||||||
Forward foreign currency exchange contracts | (1,001,271 | ) | (1,422,299 | ) | ||||||
Foreign currency transactions | 2,171 | 3,901 | ||||||||
Net change in unrealized gain (loss) on: | ||||||||||
Affiliated Funds | 31,376,032 | 65,483,294 | ||||||||
Purchased options | 1,160,757 | 2,101,935 | ||||||||
Futures contracts | 325,119 | 193,822 | ||||||||
Forward foreign currency exchange contracts | (200,157 | ) | (451,355 | ) | ||||||
Foreign currency translation | (5,075 | ) | 1,399 | |||||||
Net realized and unrealized gain | 42,530,159 | 83,360,255 | ||||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 52,764,549 | $ | 96,998,944 |
(a) | Class specific Distribution and/or Service (12b-1) and Transfer Agent fees were as follows: |
Distribution and/or Service (12b-1) fees | Transfer Agent Fees | |||||||||||||||||||||||||||||||||||||||||||||||
Portfolio | Class A | Class C | Service | Class R | Class A | Class C | Institutional | Service | Investor | Class R6 | Class R | Class P | ||||||||||||||||||||||||||||||||||||
Balanced Strategy | $ | 257,980 | $ | 75,382 | $ | 1,252 | $ | 47,319 | $ | 175,426 | $ | 17,087 | $ | 137,253 | $ | 200 | $ | 6,861 | $ | 510 | $ | 16,089 | $ | 11,581 | ||||||||||||||||||||||||
Growth and Income | 677,906 | 114,906 | 6,832 | 23,833 | 460,976 | 26,045 | 131,360 | 1,093 | 12,505 | 1,591 | 8,103 | 61,591 |
32 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Statements of Operations (continued)
For the Fiscal Year Ended December 31, 2020
Growth Strategy Portfolio | Satellite Strategies Portfolio | |||||||||
Investment income: |
| |||||||||
Dividends from Affiliated Funds | $ | 11,964,838 | $ | 4,608,362 | ||||||
Interest | 250 | — | ||||||||
Total investment income | 11,965,088 | 4,608,362 | ||||||||
Expenses: |
| |||||||||
Management fees | 1,018,746 | 240,485 | ||||||||
Distribution and Service (12b-1) fees(a) | 1,005,030 | 185,007 | ||||||||
Transfer Agency fees(a) | 712,660 | 170,949 | ||||||||
Printing and mailing costs | 125,788 | 63,494 | ||||||||
Registration fees | 125,004 | 128,442 | ||||||||
Professional fees | 114,028 | 98,753 | ||||||||
Service fees — Class C | 59,061 | 24,468 | ||||||||
Custody, accounting and administrative services | 44,639 | 69,419 | ||||||||
Trustee fees | 21,552 | 20,770 | ||||||||
Shareholder Administration fess — Service Shares | 5,458 | 479 | ||||||||
Prime Broker Fees | 386 | — | ||||||||
Other | 34,974 | 4,541 | ||||||||
Total expenses | 3,267,326 | 1,006,807 | ||||||||
Less — expense reductions | (440,240 | ) | (366,233 | ) | ||||||
Net expenses | 2,827,086 | 640,574 | ||||||||
NET INVESTMENT INCOME | 9,138,002 | 3,967,788 | ||||||||
Realized and unrealized gain (loss): | ||||||||||
Capital gain distributions from Affiliated Funds | 3,034,751 | 67,926 | ||||||||
Net realized gain (loss) from: |
| |||||||||
Affiliated Funds | (1,989,991 | ) | 12,298,819 | |||||||
Purchased options | 9,087,863 | — | ||||||||
Futures contracts | 1,434,087 | — | ||||||||
Forward foreign currency exchange contracts | (1,030,896 | ) | — | |||||||
Foreign currency transactions | 4,895 | — | ||||||||
Net change in unrealized gain (loss) on: |
| |||||||||
Affiliated Funds | 69,686,818 | (17,227,251 | ) | |||||||
Purchased options | 2,005,633 | — | ||||||||
Futures contracts | 131,899 | — | ||||||||
Forward foreign currency exchange contracts | (372,817 | ) | — | |||||||
Foreign currency translation | 1,444 | — | ||||||||
Net realized and unrealized gain (loss) | 81,993,686 | (4,860,506 | ) | |||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 91,131,688 | $ | (892,718 | ) |
(a) | Class specific Distribution and/or Service (12b-1) and Transfer Agent fees were as follows: |
Distribution and/or Service (12b-1) Fees | Transfer Agent Fees | |||||||||||||||||||||||||||||||||||||||||||||||
Portfolio | Class A | Class C | Service | Class R | Class A | Class C | Institutional | Service | Investor | Class R6 | Class R | Class P | ||||||||||||||||||||||||||||||||||||
Growth Strategy | $ | 793,992 | $ | 177,182 | $ | 5,458 | $ | 28,398 | $ | 539,915 | $ | 40,161 | $ | 54,761 | $ | 873 | $ | 11,343 | $ | 2,603 | $ | 9,655 | $ | 53,349 | ||||||||||||||||||||||||
Satellite Strategies | 107,127 | 73,405 | 479 | 3,996 | 72,847 | 16,638 | 45,684 | 77 | 32,197 | 1,158 | 1,358 | 990 |
The accompanying notes are an integral part of these financial statements. | 33 |
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, 2020 | For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2020 | For the Fiscal Year Ended December 31, 2019 | |||||||||||||||||||
From operations: | ||||||||||||||||||||||
Net investment income | $ | 10,234,390 | $ | 10,182,337 | $ | 13,638,689 | $ | 16,649,967 | ||||||||||||||
Net realized gain (loss) | 9,873,483 | (984,181 | ) | 16,031,160 | 13,587,017 | |||||||||||||||||
Net change in unrealized gain | 32,656,676 | 61,817,948 | 67,329,095 | 123,346,804 | ||||||||||||||||||
Net increase in net assets resulting from operations | 52,764,549 | 71,016,104 | 96,998,944 | 153,583,788 | ||||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||
From distributable earnings: | ||||||||||||||||||||||
Class A Shares | (2,073,315 | ) | (2,297,176 | ) | (9,110,698 | ) | (5,552,581 | ) | ||||||||||||||
Class C Shares | (110,788 | ) | (153,128 | ) | (355,597 | ) | (263,627 | ) | ||||||||||||||
Institutional Shares | (8,390,148 | ) | (8,339,356 | ) | (12,189,122 | ) | (8,367,921 | ) | ||||||||||||||
Service Shares | (8,087 | ) | (11,807 | ) | (82,395 | ) | (54,372 | ) | ||||||||||||||
Investor Shares | (133,619 | ) | (85,266 | ) | (265,906 | ) | (167,174 | ) | ||||||||||||||
Class R6 Shares | (36,509 | ) | (49,793 | ) | (169,572 | ) | (152,106 | ) | ||||||||||||||
Class R Shares | (160,141 | ) | (189,892 | ) | (152,196 | ) | (85,022 | ) | ||||||||||||||
Class P Shares | (922,139 | ) | (1,064,548 | ) | (7,826,935 | ) | (4,818,065 | ) | ||||||||||||||
Total distributions to shareholders | (11,834,746 | ) | (12,190,966 | ) | (30,152,421 | ) | (19,460,868 | ) | ||||||||||||||
From share transactions: | ||||||||||||||||||||||
Proceeds from sales of shares | 138,023,285 | 152,169,018 | 110,868,743 | 122,801,933 | ||||||||||||||||||
Reinvestment of distributions | 11,642,690 | 11,997,507 | 29,318,345 | 18,883,895 | ||||||||||||||||||
Cost of shares redeemed | (148,350,909 | ) | (164,899,297 | ) | (197,903,957 | ) | (229,345,519 | ) | ||||||||||||||
Net increase (decrease) in net assets resulting from share transactions | 1,315,066 | (732,772 | ) | (57,716,869 | ) | (87,659,691 | ) | |||||||||||||||
TOTAL INCREASE | 42,244,869 | 58,092,366 | 9,129,654 | 46,463,229 | ||||||||||||||||||
Net assets: | ||||||||||||||||||||||
Beginning of year | 526,771,146 | 468,678,780 | 911,981,637 | 865,518,408 | ||||||||||||||||||
End of year | $ | 569,016,015 | $ | 526,771,146 | $ | 921,111,291 | $ | 911,981,637 |
34 | The accompanying notes are an integral part of these financial statements. |
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, 2020 | For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2020 | For the Fiscal Year Ended December 31, 2019 | |||||||||||||||||||
From operations: | ||||||||||||||||||||||
Net investment income | $ | 9,138,002 | $ | 12,776,132 | $ | 3,967,788 | $ | 12,318,810 | ||||||||||||||
Net realized gain | 10,540,709 | 25,522,363 | 12,366,745 | 8,543,281 | ||||||||||||||||||
Net change in unrealized gain (loss) | 71,452,977 | 115,180,594 | (17,227,251 | ) | 45,700,326 | |||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 91,131,688 | 153,479,089 | (892,718 | ) | 66,562,417 | |||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||
From distributable earnings: | ||||||||||||||||||||||
Class A Shares | (10,784,596 | ) | (12,181,808 | ) | (837,479 | ) | (1,542,363 | ) | ||||||||||||||
Class C Shares | (496,344 | ) | (788,770 | ) | (103,991 | ) | (457,716 | ) | ||||||||||||||
Institutional Shares | (5,137,868 | ) | (5,930,025 | ) | (2,538,186 | ) | (7,855,640 | ) | ||||||||||||||
Service Shares | (62,574 | ) | (81,682 | ) | (3,303 | ) | (8,052 | ) | ||||||||||||||
Investor Shares | (234,991 | ) | (279,751 | ) | (410,262 | ) | (824,444 | ) | ||||||||||||||
Class R6 Shares | (227,886 | ) | (303,175 | ) | (54,834 | ) | (1,733,365 | ) | ||||||||||||||
Class R Shares | (184,960 | ) | (220,464 | ) | (12,690 | ) | (35,306 | ) | ||||||||||||||
Class P Shares | (7,003,021 | ) | (7,266,420 | ) | (77,222 | ) | (130,251 | ) | ||||||||||||||
Total distributions to shareholders | (24,132,240 | ) | (27,052,095 | ) | (4,037,967 | ) | (12,587,137 | ) | ||||||||||||||
From share transactions: | ||||||||||||||||||||||
Proceeds from sales of shares | 99,145,043 | 109,217,518 | 25,021,685 | 51,818,973 | ||||||||||||||||||
Reinvestment of distributions | 23,183,595 | 25,887,850 | 3,663,014 | 10,634,954 | ||||||||||||||||||
Cost of shares redeemed | (136,535,679 | ) | (301,361,794 | ) | (180,205,714 | ) | (190,046,424 | ) | ||||||||||||||
Net decrease in net assets resulting from share transactions | (14,207,041 | ) | (166,256,426 | ) | (151,521,015 | ) | (127,592,497 | ) | ||||||||||||||
TOTAL INCREASE (DECREASE) | 52,792,407 | (39,829,432 | ) | (156,451,700 | ) | (73,617,217 | ) | |||||||||||||||
Net assets: | ||||||||||||||||||||||
Beginning of year | 722,382,806 | 762,212,238 | 331,721,345 | 405,338,562 | ||||||||||||||||||
End of year | $ | 775,175,213 | $ | 722,382,806 | $ | 175,269,645 | $ | 331,721,345 |
The accompanying notes are an integral part of these financial statements. | 35 |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Financial Highlights
Selected Share Data for a Share Outstanding Throughout Each Year
Goldman Sachs Balanced Strategy Portfolio | ||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 11.64 | $ | 10.32 | $ | 11.55 | $ | 10.82 | $ | 10.41 | ||||||||||||
Net investment income(a)(b) | 0.20 | 0.20 | 0.16 | 0.16 | 0.11 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.04 | 1.37 | (0.95 | ) | 1.05 | 0.41 | ||||||||||||||||
Total from investment operations | 1.24 | 1.57 | (0.79 | ) | 1.21 | 0.52 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.24 | ) | (0.25 | ) | (0.24 | ) | (0.27 | ) | (0.11 | ) | ||||||||||||
Distributions to shareholders from net realized gains | — | — | (0.20 | ) | (0.21 | ) | — | |||||||||||||||
Total distributions | (0.24 | ) | (0.25 | ) | (0.44 | ) | (0.48 | ) | (0.11 | ) | ||||||||||||
Net asset value, end of year | $ | 12.64 | $ | 11.64 | $ | 10.32 | $ | 11.55 | $ | 10.82 | ||||||||||||
Total return(c) | 10.71 | % | 15.24 | % | (6.90 | )% | 11.19 | % | 5.04 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 110,057 | $ | 106,285 | $ | 106,235 | $ | 119,662 | $ | 129,445 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.57 | % | 0.58 | % | 0.59 | % | 0.62 | % | 0.59 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.64 | % | 0.67 | % | 0.63 | % | 0.68 | % | 0.67 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.71 | % | 1.76 | % | 1.46 | % | 1.40 | % | 1.01 | % | ||||||||||||
Portfolio turnover rate(e) | 19 | % | 55 | % | 45 | % | 81 | % | 76 | % |
(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. |
36 | 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 C Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 11.66 | $ | 10.34 | $ | 11.55 | $ | 10.82 | $ | 10.41 | ||||||||||||
Net investment income(a)(b) | 0.10 | 0.10 | 0.05 | 0.07 | 0.03 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.06 | 1.38 | (0.92 | ) | 1.05 | 0.42 | ||||||||||||||||
Total from investment operations | 1.16 | 1.48 | (0.87 | ) | 1.12 | 0.45 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.15 | ) | (0.16 | ) | (0.14 | ) | (0.18 | ) | (0.04 | ) | ||||||||||||
Distributions to shareholders from net realized gains | — | — | (0.20 | ) | (0.21 | ) | — | |||||||||||||||
Total distributions | (0.15 | ) | (0.16 | ) | (0.34 | ) | (0.39 | ) | (0.04 | ) | ||||||||||||
Net asset value, end of year | $ | 12.67 | $ | 11.66 | $ | 10.34 | $ | 11.55 | $ | 10.82 | ||||||||||||
Total return(c) | 9.90 | % | 14.30 | % | (7.58 | )% | 10.30 | % | 4.24 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 9,575 | $ | 10,978 | $ | 12,807 | $ | 34,542 | $ | 47,217 | ||||||||||||
Ratio of net expenses to average net assets(d) | 1.32 | % | 1.33 | % | 1.33 | % | 1.37 | % | 1.34 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 1.39 | % | 1.42 | % | 1.38 | % | 1.42 | % | 1.42 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 0.86 | % | 0.93 | % | 0.43 | % | 0.58 | % | 0.27 | % | ||||||||||||
Portfolio turnover rate(e) | 19 | % | 55 | % | 45 | % | 81 | % | 76 | % |
(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. | 37 |
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, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 11.64 | $ | 10.32 | $ | 11.55 | $ | 10.82 | $ | 10.42 | ||||||||||||
Net investment income(a)(b) | 0.25 | 0.25 | 0.20 | 0.21 | 0.16 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.02 | 1.36 | (0.95 | ) | 1.04 | 0.40 | ||||||||||||||||
Total from investment operations | 1.27 | 1.61 | (0.75 | ) | 1.25 | 0.56 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.28 | ) | (0.29 | ) | (0.28 | ) | (0.31 | ) | (0.16 | ) | ||||||||||||
Distributions to shareholders from net realized gains | — | — | (0.20 | ) | (0.21 | ) | — | |||||||||||||||
Total distributions | (0.28 | ) | (0.29 | ) | (0.48 | ) | (0.52 | ) | (0.16 | ) | ||||||||||||
Net asset value, end of year | $ | 12.63 | $ | 11.64 | $ | 10.32 | $ | 11.55 | $ | 10.82 | ||||||||||||
Total return(c) | 11.05 | % | 15.68 | % | (6.53 | )% | 11.63 | % | 5.36 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 388,941 | $ | 351,189 | $ | 292,183 | $ | 353,778 | $ | 285,795 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.19 | % | 0.20 | % | 0.20 | % | 0.22 | % | 0.19 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.26 | % | 0.28 | % | 0.24 | % | 0.28 | % | 0.27 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 2.12 | % | 2.19 | % | 1.76 | % | 1.85 | % | 1.46 | % | ||||||||||||
Portfolio turnover rate(e) | 19 | % | 55 | % | 45 | % | 81 | % | 76 | % |
(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. |
38 | 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 | ||||||||||||||||||||||
Service Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 11.78 | $ | 10.45 | $ | 11.68 | $ | 10.94 | $ | 10.45 | ||||||||||||
Net investment income(a)(b) | 0.16 | 0.17 | 0.15 | 0.15 | 0.10 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.07 | 1.39 | (0.95 | ) | 1.06 | 0.49 | ||||||||||||||||
Total from investment operations | 1.23 | 1.56 | (0.80 | ) | 1.21 | 0.59 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.22 | ) | (0.23 | ) | (0.23 | ) | (0.26 | ) | (0.10 | ) | ||||||||||||
Distributions to shareholders from net realized gains | — | — | (0.20 | ) | (0.21 | ) | — | |||||||||||||||
Total distributions | (0.22 | ) | (0.23 | ) | (0.43 | ) | (0.47 | ) | (0.10 | ) | ||||||||||||
Net asset value, end of year | $ | 12.79 | $ | 11.78 | $ | 10.45 | $ | 11.68 | $ | 10.94 | ||||||||||||
Total return(c) | 10.52 | % | 14.99 | % | (6.93 | )% | 11.04 | % | 5.67 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 421 | $ | 532 | $ | 667 | $ | 833 | $ | 831 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.69 | % | 0.70 | % | 0.70 | % | 0.72 | % | 0.69 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.77 | % | 0.78 | % | 0.74 | % | 0.78 | % | 0.77 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.38 | % | 1.47 | % | 1.31 | % | 1.31 | % | 0.93 | % | ||||||||||||
Portfolio turnover rate(e) | 19 | % | 55 | % | 45 | % | 81 | % | 76 | % |
(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. | 39 |
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, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 11.59 | $ | 10.28 | $ | 11.50 | $ | 10.78 | $ | 10.37 | ||||||||||||
Net investment income(a)(b) | 0.33 | 0.23 | 0.18 | 0.18 | 0.14 | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.93 | 1.36 | (0.93 | ) | 1.05 | 0.41 | ||||||||||||||||
Total from investment operations | 1.26 | 1.59 | (0.75 | ) | 1.23 | 0.55 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.27 | ) | (0.28 | ) | (0.27 | ) | (0.30 | ) | (0.14 | ) | ||||||||||||
Distributions to shareholders from net realized gains | — | — | (0.20 | ) | (0.21 | ) | — | |||||||||||||||
Total distributions | (0.27 | ) | (0.28 | ) | (0.47 | ) | (0.51 | ) | (0.14 | ) | ||||||||||||
Net asset value, end of year | $ | 12.58 | $ | 11.59 | $ | 10.28 | $ | 11.50 | $ | 10.78 | ||||||||||||
Total return(c) | 10.97 | % | 15.49 | % | (6.61 | )% | 11.41 | % | 5.33 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 7,594 | $ | 3,663 | $ | 2,937 | $ | 3,976 | $ | 4,810 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.32 | % | 0.33 | % | 0.34 | % | 0.37 | % | 0.34 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.39 | % | 0.42 | % | 0.38 | % | 0.42 | % | 0.42 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 2.78 | % | 2.07 | % | 1.64 | % | 1.60 | % | 1.30 | % | ||||||||||||
Portfolio turnover rate(e) | 19 | % | 55 | % | 45 | % | 81 | % | 76 | % |
(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. |
40 | 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 R6 Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 11.64 | $ | 10.32 | $ | 11.55 | $ | 10.83 | $ | 10.42 | ||||||||||||
Net investment income(a)(b) | 0.23 | 0.23 | 0.35 | 0.54 | 0.15 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.05 | 1.38 | (1.09 | ) | 0.71 | 0.42 | ||||||||||||||||
Total from investment operations | 1.28 | 1.61 | (0.74 | ) | 1.25 | 0.57 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.29 | ) | (0.29 | ) | (0.29 | ) | (0.32 | ) | (0.16 | ) | ||||||||||||
Distributions to shareholders from net realized gains | — | — | (0.20 | ) | (0.21 | ) | — | |||||||||||||||
Total distributions | (0.29 | ) | (0.29 | ) | (0.49 | ) | (0.53 | ) | (0.16 | ) | ||||||||||||
Net asset value, end of year | $ | 12.63 | $ | 11.64 | $ | 10.32 | $ | 11.55 | $ | 10.83 | ||||||||||||
Total return(c) | 11.06 | % | 15.70 | % | (6.52 | )% | 11.54 | % | 5.46 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 1,449 | $ | 1,766 | $ | 2,308 | $ | 551 | $ | 10 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.18 | % | 0.19 | % | 0.19 | % | 0.31 | % | 0.19 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.26 | % | 0.27 | % | 0.24 | % | 0.39 | % | 0.27 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.89 | % | 2.04 | % | 3.10 | % | 4.64 | % | 1.45 | % | ||||||||||||
Portfolio turnover rate(e) | 19 | % | 55 | % | 45 | % | 81 | % | 76 | % |
(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 R Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 11.59 | $ | 10.28 | $ | 11.50 | $ | 10.79 | $ | 10.36 | ||||||||||||
Net investment income(a)(b) | 0.16 | 0.18 | 0.14 | 0.15 | 0.09 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.04 | 1.35 | (0.95 | ) | 1.02 | 0.43 | ||||||||||||||||
Total from investment operations | 1.20 | 1.53 | (0.81 | ) | 1.17 | 0.52 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.21 | ) | (0.22 | ) | (0.21 | ) | (0.25 | ) | (0.09 | ) | ||||||||||||
Distributions to shareholders from net realized gains | — | — | (0.20 | ) | (0.21 | ) | — | |||||||||||||||
Total distributions | (0.21 | ) | (0.22 | ) | (0.41 | ) | (0.46 | ) | (0.09 | ) | ||||||||||||
Net asset value, end of year | $ | 12.58 | $ | 11.59 | $ | 10.28 | $ | 11.50 | $ | 10.79 | ||||||||||||
Total return(c) | 10.39 | % | 14.94 | % | (7.07 | )% | 10.81 | % | 5.02 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 9,435 | $ | 10,241 | $ | 8,443 | $ | 8,629 | $ | 6,110 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.82 | % | 0.83 | % | 0.84 | % | 0.87 | % | 0.84 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.90 | % | 0.92 | % | 0.88 | % | 0.93 | % | 0.92 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.40 | % | 1.61 | % | 1.23 | % | 1.30 | % | 0.85 | % | ||||||||||||
Portfolio turnover rate(e) | 19 | % | 55 | % | 45 | % | 81 | % | 76 | % |
(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 Period
Goldman Sachs Balanced Strategy Portfolio | ||||||||||||||||||
Class P Shares | ||||||||||||||||||
Year Ended December 31, | Period Ended December 31 2018(a) | |||||||||||||||||
2020 | 2019 | |||||||||||||||||
Per Share Data | ||||||||||||||||||
Net asset value, beginning of period | $ | 11.64 | $ | 10.32 | $ | 11.54 | ||||||||||||
Net investment income(b)(c) | 0.25 | 0.24 | 0.20 | |||||||||||||||
Net realized and unrealized gain (loss) | 1.04 | 1.37 | (0.96 | ) | ||||||||||||||
Total from investment operations | 1.29 | 1.61 | (0.76 | ) | ||||||||||||||
Distributions to shareholders from net investment income | (0.29 | ) | (0.29 | ) | (0.26 | ) | ||||||||||||
Distributions to shareholders from net realized gains | — | — | (0.20 | ) | ||||||||||||||
Total distributions | (0.29 | ) | (0.29 | ) | (0.46 | ) | ||||||||||||
Net asset value, end of period | $ | 12.64 | $ | 11.64 | $ | 10.32 | ||||||||||||
Total return(d) | 11.15 | % | 15.69 | % | (6.67 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 41,545 | $ | 42,118 | $ | 43,098 | ||||||||||||
Ratio of net expenses to average net assets(e) | 0.18 | % | 0.19 | % | 0.19 | %(f) | ||||||||||||
Ratio of total expenses to average net assets(e) | 0.25 | % | 0.27 | % | 0.24 | %(f) | ||||||||||||
Ratio of net investment income to average net assets(c) | 2.10 | % | 2.17 | % | 2.48 | %(f) | ||||||||||||
Portfolio turnover rate(g) | 19 | % | 55 | % | 45 | % |
(a) | Class P Shares commenced operations April 17, 2018. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(d) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
The accompanying notes are an integral part of these financial statements. | 43 |
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 A Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 14.26 | $ | 12.26 | $ | 13.81 | $ | 12.17 | $ | 11.62 | ||||||||||||
Net investment income(a)(b) | 0.20 | 0.22 | 0.18 | 0.18 | 0.11 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.54 | 2.06 | (1.41 | ) | 1.79 | 0.56 | ||||||||||||||||
Total from investment operations | 1.74 | 2.28 | (1.23 | ) | 1.97 | 0.67 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.23 | ) | (0.28 | ) | (0.32 | ) | (0.33 | ) | (0.12 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.26 | ) | — | — | — | — | ||||||||||||||||
Total distributions | (0.49 | ) | (0.28 | ) | (0.32 | ) | (0.33 | ) | (0.12 | ) | ||||||||||||
Net asset value, end of year | $ | 15.51 | $ | 14.26 | $ | 12.26 | $ | 13.81 | $ | 12.17 | ||||||||||||
Total return(c) | 12.29 | % | 18.60 | % | (8.94 | )% | 16.19 | % | 5.75 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 293,868 | $ | 286,721 | $ | 272,658 | $ | 302,116 | $ | 302,858 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.57 | % | 0.58 | % | 0.59 | % | 0.59 | % | 0.59 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.62 | % | 0.64 | % | 0.61 | % | 0.63 | % | 0.64 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.38 | % | 1.65 | % | 1.29 | % | 1.35 | % | 0.95 | % | ||||||||||||
Portfolio turnover rate(e) | 13 | % | 61 | % | 32 | % | 81 | % | 67 | % |
(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 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, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 13.92 | $ | 11.98 | $ | 13.49 | $ | 11.90 | $ | 11.42 | ||||||||||||
Net investment income(a)(b) | 0.06 | 0.09 | 0.01 | 0.06 | 0.02 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.53 | 2.04 | (1.31 | ) | 1.76 | 0.54 | ||||||||||||||||
Total from investment operations | 1.59 | 2.13 | (1.30 | ) | 1.82 | 0.56 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.13 | ) | (0.19 | ) | (0.21 | ) | (0.23 | ) | (0.08 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.26 | ) | — | — | — | — | ||||||||||||||||
Total distributions | (0.39 | ) | (0.19 | ) | (0.21 | ) | (0.23 | ) | (0.08 | ) | ||||||||||||
Net asset value, end of year | $ | 15.12 | $ | 13.92 | $ | 11.98 | $ | 13.49 | $ | 11.90 | ||||||||||||
Total return(c) | 11.44 | % | 17.78 | % | (9.62 | )% | 15.31 | % | 4.86 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 13,454 | $ | 19,069 | $ | 27,099 | $ | 94,118 | $ | 121,778 | ||||||||||||
Ratio of net expenses to average net assets(d) | 1.32 | % | 1.33 | % | 1.34 | % | 1.34 | % | 1.34 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 1.37 | % | 1.39 | % | 1.36 | % | 1.38 | % | 1.39 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 0.45 | % | 0.66 | % | 0.11 | % | 0.50 | % | 0.18 | % | ||||||||||||
Portfolio turnover rate(e) | 13 | % | 61 | % | 32 | % | 81 | % | 67 | % |
(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 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, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 14.31 | $ | 12.29 | $ | 13.85 | $ | 12.21 | $ | 11.66 | ||||||||||||
Net investment income(a)(b) | 0.25 | 0.27 | 0.20 | 0.24 | 0.17 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.54 | 2.08 | (1.39 | ) | 1.78 | 0.55 | ||||||||||||||||
Total from investment operations | 1.79 | 2.35 | (1.19 | ) | 2.02 | 0.72 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.28 | ) | (0.33 | ) | (0.37 | ) | (0.38 | ) | (0.17 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.26 | ) | — | — | — | — | ||||||||||||||||
Total distributions | (0.54 | ) | (0.33 | ) | (0.37 | ) | (0.38 | ) | (0.17 | ) | ||||||||||||
Net asset value, end of year | $ | 15.56 | $ | 14.31 | $ | 12.29 | $ | 13.85 | $ | 12.21 | ||||||||||||
Total return(c) | 12.68 | % | 19.17 | % | (8.63 | )% | 16.60 | % | 6.15 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 364,206 | $ | 371,610 | $ | 360,006 | $ | 574,136 | $ | 455,273 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.19 | % | 0.20 | % | 0.20 | % | 0.19 | % | 0.19 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.24 | % | 0.25 | % | 0.22 | % | 0.23 | % | 0.24 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.77 | % | 2.01 | % | 1.48 | % | 1.80 | % | 1.42 | % | ||||||||||||
Portfolio turnover rate(e) | 13 | % | 61 | % | 32 | % | 81 | % | 67 | % |
(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. |
46 | 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 | ||||||||||||||||||||||
Service Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 14.23 | $ | 12.23 | $ | 13.77 | $ | 12.14 | $ | 11.60 | ||||||||||||
Net investment income(a)(b) | 0.16 | 0.21 | 0.15 | 0.17 | 0.11 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.56 | 2.05 | (1.38 | ) | 1.77 | 0.54 | ||||||||||||||||
Total from investment operations | 1.72 | 2.26 | (1.23 | ) | 1.94 | 0.65 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.21 | ) | (0.26 | ) | (0.31 | ) | (0.31 | ) | (0.11 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.26 | ) | — | — | — | — | ||||||||||||||||
Total distributions | (0.47 | ) | (0.26 | ) | (0.31 | ) | (0.31 | ) | (0.11 | ) | ||||||||||||
Net asset value, end of year | $ | 15.48 | $ | 14.23 | $ | 12.23 | $ | 13.77 | $ | 12.14 | ||||||||||||
Total return(c) | 12.18 | % | 18.51 | % | (9.00 | )% | 16.03 | % | 5.58 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 2,669 | $ | 2,920 | $ | 2,780 | $ | 3,414 | $ | 3,253 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.69 | % | 0.70 | % | 0.70 | % | 0.69 | % | 0.69 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.74 | % | 0.75 | % | 0.72 | % | 0.73 | % | 0.74 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.17 | % | 1.53 | % | 1.13 | % | 1.27 | % | 0.90 | % | ||||||||||||
Portfolio turnover rate(e) | 13 | % | 61 | % | 32 | % | 81 | % | 67 | % |
(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 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, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 14.19 | $ | 12.20 | $ | 13.74 | $ | 12.12 | $ | 11.57 | ||||||||||||
Net investment income(a)(b) | 0.23 | 0.26 | 0.20 | 0.23 | 0.16 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.54 | 2.04 | (1.38 | ) | 1.75 | 0.54 | ||||||||||||||||
Total from investment operations | 1.77 | 2.30 | (1.18 | ) | 1.98 | 0.70 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.26 | ) | (0.31 | ) | (0.36 | ) | (0.36 | ) | (0.15 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.26 | ) | — | — | — | — | ||||||||||||||||
Total distributions | (0.52 | ) | (0.31 | ) | (0.36 | ) | (0.36 | ) | (0.15 | ) | ||||||||||||
Net asset value, end of year | $ | 15.44 | $ | 14.19 | $ | 12.20 | $ | 13.74 | $ | 12.12 | ||||||||||||
Total return(c) | 12.64 | % | 18.91 | % | (8.68 | )% | 16.39 | % | 6.04 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 7,997 | $ | 7,670 | $ | 7,366 | $ | 7,241 | $ | 4,769 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.32 | % | 0.33 | % | 0.34 | % | 0.34 | % | 0.34 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.37 | % | 0.39 | % | 0.36 | % | 0.38 | % | 0.39 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.64 | % | 1.92 | % | 1.48 | % | 1.72 | % | 1.37 | % | ||||||||||||
Portfolio turnover rate(e) | 13 | % | 61 | % | 32 | % | 81 | % | 67 | % |
(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. |
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
Goldman Sachs Growth and Income Strategy Portfolio | ||||||||||||||||||||||
Class R6 Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 14.30 | $ | 12.29 | $ | 13.85 | $ | 12.20 | $ | 11.66 | ||||||||||||
Net investment income(a)(b) | 0.22 | 0.26 | 0.36 | 0.30 | 0.17 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.57 | 2.08 | (1.54 | ) | 1.73 | 0.54 | ||||||||||||||||
Total from investment operations | 1.79 | 2.34 | (1.18 | ) | 2.03 | 0.71 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.28 | ) | (0.33 | ) | (0.38 | ) | (0.38 | ) | (0.17 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.26 | ) | — | — | — | — | ||||||||||||||||
Total distributions | (0.54 | ) | (0.33 | ) | (0.38 | ) | (0.38 | ) | (0.17 | ) | ||||||||||||
Net asset value, end of year | $ | 15.55 | $ | 14.30 | $ | 12.29 | $ | 13.85 | $ | 12.20 | ||||||||||||
Total return(c) | 12.70 | % | 19.10 | % | (8.61 | )%�� | 16.71 | % | 6.07 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 4,694 | $ | 6,300 | $ | 6,331 | $ | 84 | $ | 10 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.18 | % | 0.19 | % | 0.19 | % | 0.18 | % | 0.19 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.23 | % | 0.24 | % | 0.22 | % | 0.22 | % | 0.23 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.59 | % | 1.92 | % | 2.67 | % | 2.21 | % | 1.43 | % | ||||||||||||
Portfolio turnover rate(e) | 13 | % | 61 | % | 32 | % | 81 | % | 67 | % |
(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 R Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 14.15 | $ | 12.17 | $ | 13.70 | $ | 12.09 | $ | 11.56 | ||||||||||||
Net investment income(a)(b) | 0.16 | 0.20 | 0.13 | 0.18 | 0.09 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.53 | 2.02 | (1.37 | ) | 1.73 | 0.54 | ||||||||||||||||
Total from investment operations | 1.69 | 2.22 | (1.24 | ) | 1.91 | 0.63 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.19 | ) | (0.24 | ) | (0.29 | ) | (0.30 | ) | (0.10 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.26 | ) | — | — | — | — | ||||||||||||||||
Total distributions | (0.45 | ) | (0.24 | ) | (0.29 | ) | (0.30 | ) | (0.10 | ) | ||||||||||||
Net asset value, end of year | $ | 15.39 | $ | 14.15 | $ | 12.17 | $ | 13.70 | $ | 12.09 | ||||||||||||
Total return(c) | 12.05 | % | 18.30 | % | (9.10 | )% | 15.83 | % | 5.40 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 5,270 | $ | 4,991 | $ | 4,251 | $ | 5,441 | $ | 2,659 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.82 | % | 0.83 | % | 0.84 | % | 0.84 | % | 0.84 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.87 | % | 0.89 | % | 0.86 | % | 0.88 | % | 0.89 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.15 | % | 1.46 | % | 1.00 | % | 1.35 | % | 0.75 | % | ||||||||||||
Portfolio turnover rate(e) | 13 | % | 61 | % | 32 | % | 81 | % | 67 | % |
(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 Period
Goldman Sachs Growth and Income Strategy Portfolio | ||||||||||||||||||
Class P Shares | ||||||||||||||||||
Year Ended December 31, | Period Ended December 31, 2018(a) | |||||||||||||||||
2020 | 2019 | |||||||||||||||||
Per Share Data | ||||||||||||||||||
Net asset value, beginning of period | $ | 14.30 | $ | 12.29 | $ | 13.91 | ||||||||||||
Net investment income(b)(c) | 0.26 | 0.29 | 0.23 | |||||||||||||||
Net realized and unrealized gain (loss) | 1.53 | 2.05 | (1.52 | ) | ||||||||||||||
Total from investment operations | 1.79 | 2.34 | (1.29 | ) | ||||||||||||||
Distributions to shareholders from net investment income | (0.28 | ) | (0.33 | ) | (0.33 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.26 | ) | — | — | ||||||||||||||
Total distributions | (0.54 | ) | (0.33 | ) | (0.33 | ) | ||||||||||||
Net asset value, end of period | $ | 15.55 | $ | 14.30 | $ | 12.29 | ||||||||||||
Total return(d) | 12.70 | % | 19.10 | % | (9.29 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 228,953 | $ | 212,702 | $ | 185,028 | ||||||||||||
Ratio of net expenses to average net assets(e) | 0.18 | % | 0.19 | % | 0.19 | %(f) | ||||||||||||
Ratio of total expenses to average net assets(e) | 0.23 | % | 0.24 | % | 0.22 | %(f) | ||||||||||||
Ratio of net investment income to average net assets(c) | 1.80 | % | 2.12 | % | 2.48 | %(f) | ||||||||||||
Portfolio turnover rate(g) | 13 | % | 61 | % | 32 | % |
(a) | Class P Shares commenced operations April 17, 2018. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(d) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
The accompanying notes are an integral part of these financial statements. | 51 |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
Goldman Sachs Growth Strategy Portfolio | ||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 16.18 | $ | 13.73 | $ | 15.83 | $ | 13.39 | $ | 12.70 | ||||||||||||
Net investment income(a)(b) | 0.19 | 0.25 | 0.19 | 0.15 | 0.11 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.07 | 2.80 | (1.93 | ) | 2.67 | 0.70 | ||||||||||||||||
Total from investment operations | 2.26 | 3.05 | (1.74 | ) | 2.82 | 0.81 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.21 | ) | (0.32 | ) | (0.36 | ) | (0.38 | ) | (0.12 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.35 | ) | (0.28 | ) | — | — | — | |||||||||||||||
Total distributions | (0.56 | ) | (0.60 | ) | (0.36 | ) | (0.38 | ) | (0.12 | ) | ||||||||||||
Net asset value, end of year | $ | 17.88 | $ | 16.18 | $ | 13.73 | $ | 15.83 | $ | 13.39 | ||||||||||||
Total return(c) | 13.96 | % | 22.24 | % | (10.98 | )% | 21.02 | % | 6.38 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 353,363 | $ | 338,384 | $ | 308,475 | $ | 316,078 | $ | 301,331 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.57 | % | 0.58 | % | 0.59 | % | 0.59 | % | 0.59 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.64 | % | 0.65 | % | 0.62 | % | 0.63 | % | 0.65 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.18 | % | 1.61 | % | 1.19 | % | 1.00 | % | 0.83 | % | ||||||||||||
Portfolio turnover rate(e) | 8 | % | 69 | % | 29 | % | 85 | % | 59 | % |
(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 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, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 16.51 | $ | 13.98 | $ | 15.81 | $ | 13.37 | $ | 12.68 | ||||||||||||
Net investment income (loss)(a)(b) | 0.05 | 0.10 | (0.03 | ) | 0.03 | 0.01 | ||||||||||||||||
Net realized and unrealized gain (loss) | 2.11 | 2.87 | (1.80 | ) | 2.66 | 0.70 | ||||||||||||||||
Total from investment operations | 2.16 | 2.97 | (1.83 | ) | 2.69 | 0.71 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.05 | ) | (0.16 | ) | — | (0.25 | ) | (0.02 | ) | |||||||||||||
Distributions to shareholders from net realized gains | (0.35 | ) | (0.28 | ) | — | — | — | |||||||||||||||
Total distributions | (0.40 | ) | (0.44 | ) | — | (0.25 | ) | (0.02 | ) | |||||||||||||
Net asset value, end of year | $ | 18.27 | $ | 16.51 | $ | 13.98 | $ | 15.81 | $ | 13.37 | ||||||||||||
Total return(c) | 13.10 | % | 21.31 | % | (11.58 | )% | 20.08 | % | 5.57 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 22,590 | $ | 29,424 | $ | 36,201 | $ | 126,894 | $ | 144,292 | ||||||||||||
Ratio of net expenses to average net assets(d) | 1.32 | % | 1.33 | % | 1.34 | % | 1.34 | % | 1.34 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 1.39 | % | 1.40 | % | 1.37 | % | 1.38 | % | 1.40 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets(b) | 0.28 | % | 0.64 | % | (0.20 | )% | 0.18 | % | 0.08 | % | ||||||||||||
Portfolio turnover rate(e) | 8 | % | 69 | % | 29 | % | 85 | % | 59 | % |
(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 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, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 16.17 | $ | 13.72 | $ | 15.81 | $ | 13.37 | $ | 12.69 | ||||||||||||
Net investment income(a)(b) | 0.25 | 0.24 | 0.19 | 0.22 | 0.17 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.06 | 2.87 | (1.87 | ) | 2.66 | 0.69 | ||||||||||||||||
Total from investment operations | 2.31 | 3.11 | (1.68 | ) | 2.88 | 0.86 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.27 | ) | (0.38 | ) | (0.41 | ) | (0.44 | ) | (0.18 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.35 | ) | (0.28 | ) | — | — | — | |||||||||||||||
Total distributions | (0.62 | ) | (0.66 | ) | (0.41 | ) | (0.44 | ) | (0.18 | ) | ||||||||||||
Net asset value, end of year | $ | 17.86 | $ | 16.17 | $ | 13.72 | $ | 15.81 | $ | 13.37 | ||||||||||||
Total return(c) | 14.29 | % | 22.77 | % | (10.65 | )% | 21.53 | % | 6.76 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 169,166 | $ | 147,389 | $ | 247,863 | $ | 455,902 | $ | 335,237 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.19 | % | 0.20 | % | 0.20 | % | 0.20 | % | 0.19 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.26 | % | 0.26 | % | 0.23 | % | 0.24 | % | 0.25 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.58 | % | 1.59 | % | 1.22 | % | 1.46 | % | 1.33 | % | ||||||||||||
Portfolio turnover rate(e) | 8 | % | 69 | % | 29 | % | 85 | % | 59 | % |
(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. |
54 | 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 | ||||||||||||||||||||||
Service Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 16.13 | $ | 13.69 | $ | 15.77 | $ | 13.35 | $ | 12.67 | ||||||||||||
Net investment income(a)(b) | 0.15 | 0.22 | 0.15 | 0.15 | 0.10 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.08 | 2.80 | (1.90 | ) | 2.64 | 0.69 | ||||||||||||||||
Total from investment operations | 2.23 | 3.02 | (1.75 | ) | 2.79 | 0.79 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.18 | ) | (0.30 | ) | (0.33 | ) | (0.37 | ) | (0.11 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.35 | ) | (0.28 | ) | — | — | — | |||||||||||||||
Total distributions | (0.53 | ) | (0.58 | ) | (0.33 | ) | (0.37 | ) | (0.11 | ) | ||||||||||||
Net asset value, end of year | $ | 17.83 | $ | 16.13 | $ | 13.69 | $ | 15.77 | $ | 13.35 | ||||||||||||
Total return(c) | 13.81 | % | 22.10 | % | (11.06 | )% | 20.88 | % | 6.26 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 2,120 | $ | 2,266 | $ | 2,252 | $ | 2,888 | $ | 2,237 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.69 | % | 0.70 | % | 0.70 | % | 0.70 | % | 0.69 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.76 | % | 0.77 | % | 0.73 | % | 0.74 | % | 0.75 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 0.94 | % | 1.47 | % | 0.96 | % | 1.00 | % | 0.81 | % | ||||||||||||
Portfolio turnover rate(e) | 8 | % | 69 | % | 29 | % | 85 | % | 59 | % |
(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 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, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 15.93 | $ | 13.53 | $ | 15.59 | $ | 13.20 | $ | 12.52 | ||||||||||||
Net investment income(a)(b) | 0.22 | 0.28 | 0.18 | 0.23 | 0.15 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.05 | 2.76 | (1.86 | ) | 2.58 | 0.69 | ||||||||||||||||
Total from investment operations | 2.27 | 3.04 | (1.68 | ) | 2.81 | 0.84 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.25 | ) | (0.36 | ) | (0.38 | ) | (0.42 | ) | (0.16 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.35 | ) | (0.28 | ) | — | — | — | |||||||||||||||
Total distributions | (0.60 | ) | (0.64 | ) | (0.38 | ) | (0.42 | ) | (0.16 | ) | ||||||||||||
Net asset value, end of year | $ | 17.60 | $ | 15.93 | $ | 13.53 | $ | 15.59 | $ | 13.20 | ||||||||||||
Total return(c) | 14.24 | % | 22.50 | % | (10.74 | )% | 21.30 | % | 6.70 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 7,004 | $ | 7,204 | $ | 6,477 | $ | 8,008 | $ | 4,352 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.32 | % | 0.33 | % | 0.33 | % | 0.34 | % | 0.34 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.39 | % | 0.40 | % | 0.37 | % | 0.39 | % | 0.40 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.38 | % | 1.85 | % | 1.14 | % | 1.54 | % | 1.18 | % | ||||||||||||
Portfolio turnover rate(e) | 8 | % | 69 | % | 29 | % | 85 | % | 59 | % |
(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. |
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
Goldman Sachs Growth Strategy Portfolio | ||||||||||||||||||||||
Class R6 Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 16.17 | $ | 13.72 | $ | 15.81 | $ | 13.37 | $ | 12.68 | ||||||||||||
Net investment income(a)(b) | 0.21 | 0.31 | 0.39 | 0.17 | 0.17 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.11 | 2.80 | (2.06 | ) | 2.71 | 0.70 | ||||||||||||||||
Total from investment operations | 2.32 | 3.11 | (1.67 | ) | 2.88 | 0.87 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.27 | ) | (0.38 | ) | (0.42 | ) | (0.44 | ) | (0.18 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.35 | ) | (0.28 | ) | — | — | — | |||||||||||||||
Total distributions | (0.62 | ) | (0.66 | ) | (0.42 | ) | (0.44 | ) | (0.18 | ) | ||||||||||||
Net asset value, end of year | $ | 17.87 | $ | 16.17 | $ | 13.72 | $ | 15.81 | $ | 13.37 | ||||||||||||
Total return(c) | 14.35 | % | 22.72 | % | (10.55 | )% | 21.51 | % | 6.76 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 6,792 | $ | 7,554 | $ | 6,603 | $ | 964 | $ | 10 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.18 | % | 0.19 | % | 0.19 | % | 0.18 | % | 0.19 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.25 | % | 0.26 | % | 0.22 | % | 0.23 | % | 0.25 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.31 | % | 2.00 | % | 2.54 | % | 1.12 | % | 1.33 | % | ||||||||||||
Portfolio turnover rate(e) | 8 | % | 69 | % | 29 | % | 85 | % | 59 | % |
(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 R Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 15.74 | $ | 13.37 | $ | 15.42 | $ | 13.08 | $ | 12.41 | ||||||||||||
Net investment income(a)(b) | 0.15 | 0.20 | 0.14 | 0.16 | 0.08 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.99 | 2.73 | (1.87 | ) | 2.54 | 0.69 | ||||||||||||||||
Total from investment operations | 2.14 | 2.93 | (1.73 | ) | 2.70 | 0.77 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.17 | ) | (0.28 | ) | (0.32 | ) | (0.36 | ) | (0.10 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.35 | ) | (0.28 | ) | — | — | — | |||||||||||||||
Total distributions | (0.52 | ) | (0.56 | ) | (0.32 | ) | (0.36 | ) | (0.10 | ) | ||||||||||||
Net asset value, end of year | $ | 17.36 | $ | 15.74 | $ | 13.37 | $ | 15.42 | $ | 13.08 | ||||||||||||
Total return(c) | 13.61 | % | 21.98 | % | (11.18 | )% | 20.67 | % | 6.16 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 6,353 | $ | 6,400 | $ | 5,475 | $ | 6,334 | $ | 2,548 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.82 | % | 0.83 | % | 0.84 | % | 0.84 | % | 0.84 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.89 | % | 0.90 | % | 0.87 | % | 0.89 | % | 0.90 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 0.94 | % | 1.36 | % | 0.90 | % | 1.06 | % | 0.65 | % | ||||||||||||
Portfolio turnover rate(e) | 8 | % | 69 | % | 29 | % | 85 | % | 59 | % |
(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 Period
Goldman Sachs Growth Strategy Portfolio | ||||||||||||||
Class P Shares | ||||||||||||||
Year Ended December 31, | Period Ended December 31, 2018(a) | |||||||||||||
2020 | 2019 | |||||||||||||
Per Share Data |
| |||||||||||||
Net asset value, beginning of period | $ | 16.17 | $ | 13.72 | $ | 15.96 | ||||||||
Net investment income(b)(c) | 0.26 | 0.32 | 0.28 | |||||||||||
Net realized and unrealized gain (loss) | 2.06 | 2.79 | (2.10 | ) | ||||||||||
Total from investment operations | 2.32 | 3.11 | (1.82 | ) | ||||||||||
Distributions to shareholders from net investment income | (0.27 | ) | (0.38 | ) | (0.42 | ) | ||||||||
Distributions to shareholders from net realized gains | (0.35 | ) | (0.28 | ) | — | |||||||||
Total distributions | (0.62 | ) | (0.66 | ) | (0.42 | ) | ||||||||
Net asset value, end of period | $ | 17.87 | $ | 16.17 | $ | 13.72 | ||||||||
Total return(d) | 14.36 | % | 22.72 | % | (11.39 | )% | ||||||||
Net assets, end of period (in 000s) | $ | 207,786 | $ | 183,763 | $ | 148,866 | ||||||||
Ratio of net expenses to average net assets(e) | 0.18 | % | 0.19 | % | 0.19 | %(f) | ||||||||
Ratio of total expenses to average net assets(e) | 0.25 | % | 0.26 | % | 0.22 | %(f) | ||||||||
Ratio of net investment income to average net assets(c) | 1.62 | % | 2.08 | % | 2.56 | %(f) | ||||||||
Portfolio turnover rate(g) | 8 | % | 69 | % | 29 | % |
(a) | Class P Shares commenced operations April 17, 2018. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(d) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
The accompanying notes are an integral part of these financial statements. | 59 |
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Year
Goldman Sachs Satellite Strategies Portfolio | ||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 8.45 | $ | 7.38 | $ | 8.45 | $ | 7.64 | $ | 7.45 | ||||||||||||
Net investment income(a)(b) | 0.15 | 0.27 | 0.19 | 0.20 | 0.20 | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.11 | 1.08 | (1.06 | ) | 0.88 | 0.24 | ||||||||||||||||
Total from investment operations | 0.26 | 1.35 | (0.87 | ) | 1.08 | 0.44 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.15 | ) | (0.28 | ) | (0.20 | ) | (0.27 | ) | (0.25 | ) | ||||||||||||
Distributions to shareholders from return of capital | — | — | — | — | 0.00 | (c) | ||||||||||||||||
Total distributions | (0.15 | ) | (0.28 | ) | (0.20 | ) | (0.27 | ) | (0.25 | ) | ||||||||||||
Net asset value, end of year | $ | 8.56 | $ | 8.45 | $ | 7.38 | $ | 8.45 | $ | 7.64 | ||||||||||||
Total return(d) | 3.40 | % | 18.38 | % | (10.39 | )% | 14.28 | % | 5.92 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 46,265 | $ | 46,921 | $ | 39,384 | $ | 53,090 | $ | 84,529 | ||||||||||||
Ratio of net expenses to average net assets(e) | 0.55 | % | 0.56 | % | 0.56 | % | 0.57 | % | 0.57 | % | ||||||||||||
Ratio of total expenses to average net assets(e) | 0.75 | % | 0.66 | % | 0.61 | % | 0.61 | % | 0.61 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.90 | % | 3.30 | % | 2.35 | % | 2.42 | % | 2.62 | % | ||||||||||||
Portfolio turnover rate(f) | 5 | % | 6 | % | 17 | % | 57 | % | 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. |
60 | 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 C Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 8.42 | $ | 7.34 | $ | 8.40 | $ | 7.60 | $ | 7.41 | ||||||||||||
Net investment income(a)(b) | 0.07 | 0.16 | 0.12 | 0.14 | 0.15 | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.13 | 1.12 | (1.04 | ) | 0.87 | 0.23 | ||||||||||||||||
Total from investment operations | 0.20 | 1.28 | (0.92 | ) | 1.01 | 0.38 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.08 | ) | (0.20 | ) | (0.14 | ) | (0.21 | ) | (0.19 | ) | ||||||||||||
Distributions to shareholders from return of capital | — | — | — | — | 0.00 | (c) | ||||||||||||||||
Total distributions | (0.08 | ) | (0.20 | ) | (0.14 | ) | (0.21 | ) | (0.19 | ) | ||||||||||||
Net asset value, end of year | $ | 8.54 | $ | 8.42 | $ | 7.34 | $ | 8.40 | $ | 7.60 | ||||||||||||
Total return(d) | 2.59 | % | 17.55 | % | (11.07 | )% | 13.37 | % | 5.17 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 5,772 | $ | 16,235 | $ | 28,041 | $ | 44,710 | $ | 53,575 | ||||||||||||
Ratio of net expenses to average net assets(e) | 1.30 | % | 1.31 | % | 1.31 | % | 1.32 | % | 1.32 | % | ||||||||||||
Ratio of total expenses to average net assets(e) | 1.49 | % | 1.40 | % | 1.36 | % | 1.36 | % | 1.36 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 0.95 | % | 2.01 | % | 1.53 | % | 1.78 | % | 1.94 | % | ||||||||||||
Portfolio turnover rate(f) | 5 | % | 6 | % | 17 | % | 57 | % | 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. | 61 |
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, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 8.43 | $ | 7.36 | $ | 8.43 | $ | 7.62 | $ | 7.43 | ||||||||||||
Net investment income(a)(b) | 0.17 | 0.27 | 0.21 | 0.24 | 0.23 | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.12 | 1.11 | (1.05 | ) | 0.88 | 0.24 | ||||||||||||||||
Total from investment operations | 0.29 | 1.38 | (0.84 | ) | 1.12 | 0.47 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.18 | ) | (0.31 | ) | (0.23 | ) | (0.31 | ) | (0.28 | ) | ||||||||||||
Distributions to shareholders from return of capital | — | — | — | — | 0.00 | (c) | ||||||||||||||||
Total distributions | (0.18 | ) | (0.31 | ) | (0.23 | ) | (0.31 | ) | (0.28 | ) | ||||||||||||
Net asset value, end of year | $ | 8.54 | $ | 8.43 | $ | 7.36 | $ | 8.43 | $ | 7.62 | ||||||||||||
Total return(d) | 3.81 | % | 18.86 | % | (10.06 | )% | 14.80 | % | 6.38 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 99,006 | $ | 194,783 | $ | 260,987 | $ | 488,118 | $ | 509,681 | ||||||||||||
Ratio of net expenses to average net assets(e) | 0.17 | % | 0.18 | % | 0.17 | % | 0.17 | % | 0.17 | % | ||||||||||||
Ratio of total expenses to average net assets(e) | 0.36 | % | 0.27 | % | 0.22 | % | 0.22 | % | 0.21 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 2.19 | % | 3.38 | % | 2.62 | % | 2.96 | % | 3.08 | % | ||||||||||||
Portfolio turnover rate(f) | 5 | % | 6 | % | 17 | % | 57 | % | 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. |
62 | 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 | ||||||||||||||||||||||
Service Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 8.44 | $ | 7.37 | $ | 8.43 | $ | 7.63 | $ | 7.43 | ||||||||||||
Net investment income(a)(b) | 0.13 | 0.25 | 0.18 | 0.20 | 0.18 | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.13 | 1.09 | (1.05 | ) | 0.86 | 0.26 | ||||||||||||||||
Total from investment operations | 0.26 | 1.34 | (0.87 | ) | 1.06 | 0.44 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.14 | ) | (0.27 | ) | (0.19 | ) | (0.26 | ) | (0.24 | ) | ||||||||||||
Distributions to shareholders from return of capital | — | — | — | — | 0.00 | (c) | ||||||||||||||||
Total distributions | (0.14 | ) | (0.27 | ) | (0.19 | ) | (0.26 | ) | (0.24 | ) | ||||||||||||
Net asset value, end of year | $ | 8.56 | $ | 8.44 | $ | 7.37 | $ | 8.43 | $ | 7.63 | ||||||||||||
Total return(d) | 3.32 | % | 18.25 | % | (10.41 | )% | 14.06 | % | 5.92 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 128 | $ | 258 | $ | 243 | $ | 350 | $ | 408 | ||||||||||||
Ratio of net expenses to average net assets(e) | 0.67 | % | 0.68 | % | 0.67 | % | 0.67 | % | 0.67 | % | ||||||||||||
Ratio of total expenses to average net assets(e) | 0.86 | % | 0.78 | % | 0.72 | % | 0.72 | % | 0.71 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.62 | % | 3.13 | % | 2.20 | % | 2.41 | % | 2.40 | % | ||||||||||||
Portfolio turnover rate(f) | 5 | % | 6 | % | 17 | % | 57 | % | 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. | 63 |
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, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 8.43 | $ | 7.36 | $ | 8.43 | $ | 7.62 | $ | 7.43 | ||||||||||||
Net investment income(a)(b) | 0.16 | 0.27 | 0.20 | 0.22 | 0.23 | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.11 | 1.10 | (1.05 | ) | 0.88 | 0.23 | ||||||||||||||||
Total from investment operations | 0.27 | 1.37 | (0.85 | ) | 1.10 | 0.46 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.17 | ) | (0.30 | ) | (0.22 | ) | (0.29 | ) | (0.27 | ) | ||||||||||||
Distributions to shareholders from return of capital | — | — | — | — | 0.00 | (c) | ||||||||||||||||
Total distributions | (0.17 | ) | (0.30 | ) | (0.22 | ) | (0.29 | ) | (0.27 | ) | ||||||||||||
Net asset value, end of year | $ | 8.53 | $ | 8.43 | $ | 7.36 | $ | 8.43 | $ | 7.62 | ||||||||||||
Total return(d) | 3.55 | % | 18.71 | % | (10.19 | )% | 14.62 | % | 6.22 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 18,816 | $ | 22,706 | $ | 27,782 | $ | 46,011 | $ | 58,740 | ||||||||||||
Ratio of net expenses to average net assets(e) | 0.30 | % | 0.32 | % | 0.31 | % | 0.32 | % | 0.32 | % | ||||||||||||
Ratio of total expenses to average net assets(e) | 0.50 | % | 0.41 | % | 0.36 | % | 0.36 | % | 0.36 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 2.12 | % | 3.39 | % | 2.53 | % | 2.74 | % | 3.02 | % | ||||||||||||
Portfolio turnover rate(f) | 5 | % | 6 | % | 17 | % | 57 | % | 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. |
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
Goldman Sachs Satellite Strategies Portfolio | ||||||||||||||||||||||
Class R6 Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 8.44 | $ | 7.36 | $ | 8.43 | $ | 7.63 | $ | 7.44 | ||||||||||||
Net investment income(a)(b) | 0.14 | 0.29 | 0.23 | 0.25 | 0.63 | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.15 | 1.10 | (1.07 | ) | 0.86 | (0.15 | ) | |||||||||||||||
Total from investment operations | 0.29 | 1.39 | (0.84 | ) | 1.11 | 0.48 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.18 | ) | (0.31 | ) | (0.23 | ) | (0.31 | ) | (0.28 | ) | ||||||||||||
Distributions to shareholders from return of capital | — | — | — | — | (0.01 | ) | ||||||||||||||||
Total distributions | (0.18 | ) | (0.31 | ) | (0.23 | ) | (0.31 | ) | (0.29 | ) | ||||||||||||
Net asset value, end of year | $ | 8.55 | $ | 8.44 | $ | 7.36 | $ | 8.43 | $ | 7.63 | ||||||||||||
Total return(c) | 3.79 | % | 19.02 | % | (10.04 | )% | 14.66 | % | 6.40 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 815 | $ | 45,956 | $ | 44,046 | $ | 40,326 | $ | 33,805 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.16 | % | 0.17 | % | 0.16 | % | 0.16 | % | 0.15 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.33 | % | 0.26 | % | 0.22 | % | 0.20 | % | 0.17 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.79 | % | 3.59 | % | 2.88 | % | 3.09 | % | 8.15 | % | ||||||||||||
Portfolio turnover rate(e) | 5 | % | 6 | % | 17 | % | 57 | % | 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) | 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. 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 R Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 8.42 | $ | 7.35 | $ | 8.41 | $ | 7.61 | $ | 7.42 | ||||||||||||
Net investment income(a)(b) | 0.12 | 0.23 | 0.17 | 0.19 | 0.19 | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.12 | 1.09 | (1.05 | ) | 0.86 | 0.23 | ||||||||||||||||
Total from investment operations | 0.24 | 1.32 | (0.88 | ) | 1.05 | 0.42 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.13 | ) | (0.25 | ) | (0.18 | ) | (0.25 | ) | (0.23 | ) | ||||||||||||
Distributions to shareholders from return of capital | — | — | — | — | 0.00 | (c) | ||||||||||||||||
Total distributions | (0.13 | ) | (0.25 | ) | (0.18 | ) | (0.25 | ) | (0.23 | ) | ||||||||||||
Net asset value, end of year | $ | 8.53 | $ | 8.42 | $ | 7.35 | $ | 8.41 | $ | 7.61 | ||||||||||||
Total return(d) | 3.09 | % | 18.12 | % | (10.56 | )% | 13.94 | % | 5.71 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 724 | $ | 1,140 | $ | 1,955 | $ | 2,645 | $ | 2,788 | ||||||||||||
Ratio of net expenses to average net assets(e) | 0.80 | % | 0.81 | % | 0.81 | % | 0.82 | % | 0.82 | % | ||||||||||||
Ratio of total expenses to average net assets(e) | 0.99 | % | 0.91 | % | 0.86 | % | 0.86 | % | 0.86 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.56 | % | 2.88 | % | 2.09 | % | 2.33 | % | 2.49 | % | ||||||||||||
Portfolio turnover rate(f) | 5 | % | 6 | % | 17 | % | 57 | % | 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 Period
Goldman Sachs Satellite Strategies Portfolio | ||||||||||||||
Class P Shares | ||||||||||||||
Year Ended December 31, | Period Ended December 31, 2018(a) | |||||||||||||
2020 | 2019 | |||||||||||||
Per Share Data |
| |||||||||||||
Net asset value, beginning of period | $ | 8.44 | $ | 7.37 | $ | 8.37 | ||||||||
Net investment income(b)(c) | 0.18 | 0.30 | 0.20 | |||||||||||
Net realized and unrealized gain (loss) | 0.11 | 1.08 | (1.01 | ) | ||||||||||
Total from investment operations | 0.29 | 1.38 | (0.81 | ) | ||||||||||
Distributions to shareholders from net investment income | (0.18 | ) | (0.31 | ) | (0.19 | ) | ||||||||
Net asset value, end of period | $ | 8.55 | $ | 8.44 | $ | 7.37 | ||||||||
Total return(d) | 3.82 | % | 18.85 | % | (9.76 | )% | ||||||||
Net assets, end of period (in 000s) | $ | 3,743 | $ | 3,722 | $ | 2,902 | ||||||||
Ratio of net expenses to average net assets(e) | 0.16 | % | 0.17 | % | 0.16 | %(f) | ||||||||
Ratio of total expenses to average net assets(e) | 0.36 | % | 0.27 | % | 0.22 | %(f) | ||||||||
Ratio of net investment income to average net assets(c) | 2.31 | % | 3.70 | % | 3.51 | %(f) | ||||||||
Portfolio turnover rate(g) | 5 | % | 6 | % | 17 | % |
(a) | Class P Shares commenced operations April 17, 2018. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(d) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
The accompanying notes are an integral part of these financial statements. | 67 |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
December 31, 2020
1. ORGANIZATION |
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Portfolios” or individually a “Portfolio”), along with their corresponding share classes and respective diversification status under the Act:
Portfolio | Share Classes Offered | Diversified/ Non-diversified | ||
All Portfolios | A, C, Institutional, Service, Investor, R6, R, P | Diversified |
Class A Shares are sold with a front-end sales charge of up to 5.50%. Class C Shares are sold with a contingent deferred sales charge (“CDSC”) of 1.00%, which is imposed on redemptions made within 12 months of purchase. Institutional, Service, Investor, Class R6, Class R and Class P 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 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 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, and non-class specific expenses of each Portfolio are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by a Portfolio are charged to that Portfolio, while such expenses incurred by the Trust are allocated across the applicable Portfolios on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agency and Service and Shareholder Administration fees.
68
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
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. 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 the ex-dividend date. Income and capital gains distributions, if any, are declared and paid according to the following schedule:
Portfolio | Income Distributions Declared/Paid | Capital Gains Distributions Declared/Paid | ||||
Balanced Strategy, Growth and Income Strategy and Satellite Strategies | Quarterly | Annually | ||||
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 level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. 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;
69
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
December 31, 2020
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 Portfolios, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Portfolios, investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Underlying Funds (including Money Market Funds) — Underlying Funds 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 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 are marked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be used to collateralize forward contracts.
A forward foreign currency exchange contract is a forward contract in which the Portfolio agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange
70
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
contracts are marked to market daily by using the outright forward rates or interpolating based upon maturity dates, where available. 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 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 subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on swap contracts.
Upon the purchase of a call option or a put option by a Portfolio, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Portfolios’ investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Portfolio’s NAV. 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 Portfolios’ investments and derivatives classified in the fair value hierarchy as of December 31, 2020:
BALANCED STRATEGY PORTFOLIO |
| |||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Underlying Funds | ||||||||||||
Equity | $ | 169,661,884 | $ | — | $ | — | ||||||
Fixed Income | 195,217,324 | — | — | |||||||||
Dynamic | 53,492,587 | — | — | |||||||||
Exchange Traded Funds | 109,683,231 | — | — | |||||||||
Investment Companies | 27,861,603 | — | — | |||||||||
Total | $ | 555,916,629 | $ | — | $ | — | ||||||
Derivative Type | ||||||||||||
Assets | ||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | — | $ | 6,609 | $ | — | ||||||
Futures Contracts(a) | 651,452 | — | — | |||||||||
Options Purchased | 1,032,000 | — | — | |||||||||
Total | $ | 1,683,452 | $ | 6,609 | $ | — |
a) | Amount shown represents unrealized gain (loss) at period end. |
71
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
December 31, 2020
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
BALANCED STRATEGY PORTFOLIO (continued) |
| |||||||||||
Derivative Type | Level 1 | Level 2 | Level 3 | |||||||||
Liabilities | ||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | — | $ | (374,781 | ) | $ | — | |||||
GROWTH AND INCOME STRATEGY PORTFOLIO |
| |||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Underlying Funds | ||||||||||||
Dynamic | $ | 68,342,826 | $ | — | $ | — | ||||||
Equity | 375,941,235 | — | — | |||||||||
Exchange Traded Funds | 279,851,136 | — | — | |||||||||
Fixed Income | 146,701,381 | — | — | |||||||||
Investment Companies | 33,271,131 | — | — | |||||||||
Total | $ | 904,107,709 | $ | — | $ | — | ||||||
Derivative Type | ||||||||||||
Assets | ||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | — | $ | 5 | $ | — | ||||||
Futures Contracts(a) | 835,123 | — | — | |||||||||
Options Purchased | 1,692,312 | — | — | |||||||||
Total | $ | 2,527,435 | $ | 5 | $ | — | ||||||
Liabilities(a) | ||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (645,860 | ) | $ | — | |||||
GROWTH STRATEGY PORTFOLIO | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Underlying Funds | ||||||||||||
Dynamic | $ | 35,149,939 | $ | — | $ | — | ||||||
Equity | 410,944,078 | — | — | |||||||||
Exchange Traded Funds | 241,056,275 | — | — | |||||||||
Fixed Income | 48,159,559 | — | — | |||||||||
Investment Companies | 23,241,499 | — | — | |||||||||
Total | $ | 758,551,350 | $ | — | $ | — |
a) | Amount shown represents unrealized gain (loss) at period end. |
72
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
GROWTH STRATEGY PORTFOLIO (continued) | �� | |||||||||||
Derivative Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | — | $ | 1,864 | $ | — | ||||||
Futures Contracts(a) | 618,024 | — | — | |||||||||
Options Purchased | 1,585,550 | — | — | |||||||||
Total | $ | 2,203,574 | $ | 1,864 | $ | — | ||||||
Liabilities(a) | ||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (512,748 | ) | $ | — | |||||
SATELLITE STRATEGIES PORTFOLIO |
| |||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Underlying Funds | ||||||||||||
Equity | $ | 96,278,707 | $ | — | $ | — | ||||||
Exchange Traded Funds | 7,687,553 | — | — | |||||||||
Fixed Income | 69,347,138 | — | — | |||||||||
Total | $ | 173,313,398 | $ | — | $ | — |
(a) | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Schedules of Investments.
4. INVESTMENTS IN DERIVATIVES |
The following tables set forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of December 31, 2020. 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.
Balance Strategy Portfolio | ||||||||||||
Risk | Statements of Assets and Liabilities | Assets | Statements of Assets and Liabilities | Liabilities | ||||||||
Interest rate | Variation margin on futures contracts; Purchased options, at value | $ | 1,048,861 | (a) | — | $ | — | |||||
Equity | Variation margin on futures contracts | 634,591 | (a) | — | — | |||||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts | 6,609 | Payable for unrealized loss on forward foreign currency exchange contracts | (374,781) | ||||||||
Total | $ | 1,690,061 | $ | (374,781) |
(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, 2020 is reported within the Statements of Assets and Liabilities. |
73
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
December 31, 2020
4. INVESTMENTS IN DERIVATIVES (continued) |
Growth and Income Strategy Portfolio | ||||||||||||
Risk | Statement of Assets and Liabilities | Assets | Statement of Assets and Liabilities | Liabilities | ||||||||
Interest rate | Variation margin on futures contracts; Purchased options, at value | $ | 1,726,554 | (a) | — | $ | — | |||||
Equity | Variation margin on futures contracts | 800,881 | (a) | — | — | |||||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts | 5 | Payable for unrealized loss on forward foreign currency exchange contracts | (645,860) | ||||||||
Total | $ | 2,527,440 | $ | (645,860) | ||||||||
Growth Strategy Portfolio | ||||||||||||
Risk | Statement of Assets and Liabilities | Assets | Statement of Assets and Liabilities | Liabilities | ||||||||
Interest rate | Variation margin on futures contracts; Purchased options, at value | $ | 1,611,104 | (a) | — | $ | — | |||||
Equity | Variation margin on futures contracts | 592,470 | (a) | — | — | |||||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts | 1,864 | Payable for unrealized loss on forward foreign currency exchange contracts | (512,748) | ||||||||
Total | $ | 2,205,438 | $ | (512,748) |
(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, 2020 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, 2020. 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 Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||||
Interest rate | Net realized gain from futures contracts and purchased options /Net change in unrealized gain (loss) on futures contracts and purchased options | $ | 4,697,618 | $ | 856,813 | 142 | ||||||||
Equity | Net realized gain (loss) from futures contracts and purchased options /Net change in unrealized gain on futures contracts and purchased options | 2,405,378 | 629,063 | 140 | ||||||||||
Currency | Net realized gain (loss) from forward foreign currency exchange contracts /Net change in unrealized gain on forward foreign currency exchange contracts | (1,001,271 | ) | (200,157 | ) | 15 | ||||||||
Total | $ | 6,101,725 | $ | 1,285,719 | 297 |
(a) | Average number of contracts is based on the average of month end balances for the fiscal year ended December 31, 2020. |
74
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
4. INVESTMENTS IN DERIVATIVES (continued) |
Growth and Income Portfolio | ||||||||||||||
Risk | Statement of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||||
Interest rate | Net realized gain (loss) from futures contracts and purchased options /Net change in unrealized gain on futures contracts and purchased options | $ | 9,547,190 | $ | 1,489,994 | 233 | ||||||||
Equity | Net realized gain (loss) from futures contracts/Net change in unrealized gain on futures contracts and purchased options | 2,029,398 | 805,763 | 189 | ||||||||||
Currency | Net realized gain (loss) from forward foreign currency exchange contracts /Net change in unrealized gain on forward foreign currency exchange contracts | (1,422,299 | ) | (451,355 | ) | 15 | ||||||||
Total | $ | 10,154,289 | $ | 1,844,402 | 437 | |||||||||
Growth Strategy Portfolio | ||||||||||||||
Risk | Statement of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||||
Interest rate | Net realized gain (loss) from futures contracts and purchased options /Net change in unrealized gain on futures contracts and purchased options | $ | 9,712,669 | $ | 1,385,004 | 161 | ||||||||
Equity | Net realized gain (loss) from futures contracts and purchased options /Net change in unrealized gain on futures contracts and purchased options | 809,281 | 752,528 | 140 | ||||||||||
Currency | Net realized gain (loss) from forward foreign currency exchange contracts /Net change in unrealized gain on forward foreign currency exchange contracts | (1,030,896 | ) | (372,817 | ) | 18 | ||||||||
Total | $ | 9,491,054 | $ | 1,764,715 | 319 |
(a) | Average number of contracts is based on the average of month end balances for the fiscal year ended December 31, 2020. |
5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Portfolios, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Portfolios’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of average daily net assets of 0.124% for the Satellite Strategies Portfolio and 0.15% for each of the other Portfolios.
B. Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A and Class R Shares of each applicable Portfolio, has adopted Distribution and Service Plans subject to Rule 12b-1 under the Act. Under the Distribution and Service Plans, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly, for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class A or Class R Shares of the Portfolios, as applicable, as set forth below.
The Trust, on behalf of Class C Shares of each applicable Portfolio, has adopted a Distribution Plan subject to Rule 12b-1 under the Act. Under the Distribution Plan, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class C Shares of the Portfolios, as set forth below.
75
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
December 31, 2020
5. AGREEMENTS AND AFFILIATED TRANSACTIONS(continued) |
The Trust, on behalf of Service Shares of each applicable Portfolio, has adopted a Service Plan subject to Rule 12b-1 under the Act to allow Service Shares to compensate service organizations (including Goldman Sachs) for providing personal and account maintenance services to their customers who are beneficial owners of such shares. The Service Plan provides for compensation to the service organizations equal to an annual percentage rate of the average daily net assets attributable to Services Shares of the Portfolios, as set forth below.
Distribution and/or Service Plan Rates | ||||||||||||||||
Class A* | Class C | Class R* | Service | |||||||||||||
Distribution and/or Service Plan | 0.25 | % | 0.75 | % | 0.50 | % | 0.25 | % |
* | With respect to Class A and Class R Shares, the Distributor at its discretion may use compensation for distribution services paid under the Distribution 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 Portfolios 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, 2020, Goldman Sachs retained the following amounts:
Front End Sales Charge | Contingent Deferred Sales Charge | |||||||
Portfolio | Class A | Class C | ||||||
Balanced Strategy | $ | 7,216 | $ | 185 | ||||
Growth and Income Strategy | 16,904 | 693 | ||||||
Growth Strategy | 16,445 | 766 | ||||||
Satellite Strategies | 2,453 | 2 |
D. Service and/or Shareholder Administration Plans — The Trust, on behalf of each applicable Portfolios, 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 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: 0.16% 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 R6 and Class P Shares; and 0.04% of the average daily net assets of Institutional and Service Shares.
F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to 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 29, 2021, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Portfolios have entered
76
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
5. AGREEMENTS AND AFFILIATED TRANSACTIONS(continued) |
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, 2020, 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 | $455 | $359,844 | $360,299 | |||||||||||
Growth and Income Strategy | 925 | 394,124 | 395,049 | |||||||||||
Growth Strategy | 1,421 | 438,819 | 440,240 | |||||||||||
Satellite Strategies | 207 | 366,026 | 366,233 |
G. Line of Credit Facility — As of December 31, 2020, the Portfolios participated in a $700,000,000 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, 2020, the Portfolios did not have any borrowings under the facility. Prior to April 28, 2020 the facility was $580,000,000.
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, 2020 (in thousands):
Balanced Strategy Portfolio |
| |||||||||||||||||||||||||||||||||||
Market Value as of 12/31/2019 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Market Value as of 12/31/2020 | Shares as of 12/31/2020 | Dividend Income | Capital Gain Distribution | ||||||||||||||||||||||||||||
Goldman Sachs Access Investment Grade Corporate Bond ETF | $ | 50,418 | $ | 3,507 | $ | (2,991 | ) | $ | 44 | $ | 3,527 | $ | 54,505 | 969 | $ | 1,454 | $ | — | ||||||||||||||||||
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | 51,159 | 2,991 | (7,673 | ) | 1,108 | 7,593 | 55,178 | 729 | 826 | — | ||||||||||||||||||||||||||
Goldman Sachs Alternative Premia Fund — Class R6 | 6,449 | 5,454 | — | — | (1,538 | ) | 10,365 | 1,502 | 754 | — | ||||||||||||||||||||||||||
Goldman Sachs Dynamic Global Equity Fund — Class R6 | 79,876 | 9,376 | (6,500 | ) | 132 | 8,577 | 91,461 | 4,228 | 1,076 | 1,300 | ||||||||||||||||||||||||||
Goldman Sachs Emerging Markets Debt Fund — Class R6 | 10,267 | 8,823 | (2,501 | ) | (361 | ) | 741 | 16,969 | 1,322 | 323 | — | |||||||||||||||||||||||||
Goldman Sachs Emerging Markets Equity Insights Fund — Class R6 | 18,214 | 8,274 | (6,000 | ) | (678 | ) | 4,325 | 24,135 | 2,065 | 274 | — | |||||||||||||||||||||||||
Goldman Sachs Core Fixed Income Fund — Class R6 | — | 17,698 | — | — | (260 | ) | 17,438 | 1,543 | 72 | 376 | ||||||||||||||||||||||||||
Goldman Sachs Global Income Fund — Class R6 | 161,164 | 19,374 | (43,000 | ) | 198 | 6,352 | 144,088 | 10,908 | 4,079 | 3,591 |
77
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
December 31, 2020
5. AGREEMENTS AND AFFILIATED TRANSACTIONS(continued) |
Balanced Strategy Portfolio (continued) |
| |||||||||||||||||||||||||||||||||||
Market Value as of 12/31/2019 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Market Value as of 12/31/2020 | Shares as of 12/31/2020 | Dividend Income | Capital Gain Distribution | ||||||||||||||||||||||||||||
Goldman Sachs Financial Square Government Fund — Institutional Shares | $ | 22,109 | $ | 120,238 | $ | (114,485 | ) | $ | — | $ | — | $ | 27,862 | 27,862 | $ | 79 | $ | — | ||||||||||||||||||
Goldman Sachs Global Infrastructure Fund — Class R6 | | 9,672 | | 182 | — | — | (535 | ) | 9,319 | 792 | 182 | — | ||||||||||||||||||||||||
Goldman Sachs Global Real Estate Securities Fund — Class R6 | 9,824 | 134 | (3,400 | ) | (389 | ) | (632 | ) | 5,537 | 541 | 122 | 12 | ||||||||||||||||||||||||
Goldman Sachs High Yield Floating Rate Fund — Class R6 | 6,710 | | 3,668 | | (3,500 | ) | (706 | ) | (28 | ) | 6,144 | 662 | 167 | — | ||||||||||||||||||||||
Goldman Sachs High Yield Fund — Class R6 | 5,214 | | 286 | | — | — | 6 | 5,506 | 848 | 287 | — | |||||||||||||||||||||||||
Goldman Sachs International Equity Insights Fund — Class R6 | 22,344 | 8,985 | (6,000 | ) | (558 | ) | 1,615 | 26,386 | 1,920 | 485 | — | |||||||||||||||||||||||||
Goldman Sachs International Small Cap Insights Fund — Class R6 | 7,210 | 4,845 | — | — | 769 | 12,824 | 1,012 | 232 | — | |||||||||||||||||||||||||||
Goldman Sachs Local Emerging Markets Debt Fund — Class R6 | 5,401 | 2,133 | (2,050 | ) | (490 | ) | 78 | 5,072 | 837 | 82 | — | |||||||||||||||||||||||||
Goldman Sachs Managed Futures Strategy Fund — Class R6 | 14,953 | | 189 | | — | — | 867 | 16,009 | 1,533 | — | 190 | |||||||||||||||||||||||||
Goldman Sachs Tactical Tilt Overlay Fund — Class R6 | 23,900 | 3,300 | — | — | (81 | ) | 27,119 | 2,807 | 1,300 | — | ||||||||||||||||||||||||||
$ | 504,884 | $ | 219,457 | $ | (198,100 | ) | $ | (1,700 | ) | $ | 31,376 | $ | 555,917 | $ | 11,794 | $ | 5,469 |
Growth and Income Strategy Portfolio |
| |||||||||||||||||||||||||||||||||||
Underlying Funds | Market Value 12/31/2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Market Value 12/31/2020 | Shares as of 12/31/2020 | Dividend Income | Capital Gains Distribution | |||||||||||||||||||||||||||
Goldman Sachs Access Investment Grade Corporate Bond ETF | $ | 59,562 | $ | 30,325 | $ | (5,484 | ) | $ | 400 | $ | 3,837 | $ | 88,640 | 1,576 | $ | 1,717 | $ | — | ||||||||||||||||||
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | 188,369 | 8,389 | (32,092 | ) | 1,624 | 24,921 | 191,211 | 2,526 | 2,736 | — | ||||||||||||||||||||||||||
Goldman Sachs Alternative Premia Fund — Class R6 | 9,355 | 620 | — | — | (1,453 | ) | 8,522 | 1,235 | 620 | — | ||||||||||||||||||||||||||
Goldman Sachs Dynamic Global Equity Fund — Class R6 | 198,259 | 4,984 | (31,000 | ) | 3,137 | 16,510 | 191,890 | 8,871 | 2,257 | 2,727 | ||||||||||||||||||||||||||
Goldman Sachs Emerging Markets Debt Fund — Class R6 | 25,592 | 13,856 | (7,521 | ) | (1,687 | ) | 1,715 | 31,955 | 2,489 | 584 | — | |||||||||||||||||||||||||
Goldman Sachs Emerging Markets Equity Insights Fund — Class R6 | 45,726 | 11,106 | (12,000 | ) | (1,842 | ) | 10,324 | 53,314 | 4,561 | 606 | — |
78
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
Growth and Income Strategy Portfolio (continued)
Underlying Funds | Market Value 12/31/2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Market Value 12/31/2020 | Shares as of 12/31/2020 | Dividend Income | Capital Gains Distribution | |||||||||||||||||||||||||||
Goldman Sachs Financial Square Government Fund — Institutional Shares | $ | 30,553 | $ | 184,278 | $ | (181,560 | ) | $ | — | $ | — | $ | 33,271 | 33,271 | $ | 114 | $ | — | ||||||||||||||||||
Goldman Sachs Global Income Fund — Class R6 | 119,331 | 4,933 | (43,000 | ) | 1,416 | 3,638 | 86,318 | 6,534 | 2,715 | 2,217 | ||||||||||||||||||||||||||
Goldman Sachs Global Infrastructure Fund — Class R6 | 19,745 | 312 | (3,150 | ) | 399 | (1,356 | ) | 15,950 | 1,355 | 312 | — | |||||||||||||||||||||||||
Goldman Sachs Global Real Estate Securities Fund — Class R6 | 17,809 | 240 | (7,200 | ) | (738 | ) | (1,192 | ) | 8,919 | 872 | 221 | 19 | ||||||||||||||||||||||||
Goldman Sachs High Yield Floating Rate Fund — Class R6 | 8,775 | 4,764 | (4,000 | ) | (553 | ) | (23 | ) | 8,963 | 966 | 264 | — | ||||||||||||||||||||||||
Goldman Sachs High Yield Fund — Class R6 | 9,086 | 500 | — | — | 9 | 9,595 | 1,479 | 500 | — | |||||||||||||||||||||||||||
Goldman Sachs International Equity Insights Fund — Class R6 | 76,623 | 11,508 | (11,000 | ) | (662 | ) | 5,571 | 82,040 | 5,971 | 1,508 | — | |||||||||||||||||||||||||
Goldman Sachs International Small Cap Insights Fund — Class R6 | 12,648 | 9,722 | — | — | 1,458 | 23,828 | 1,881 | 432 | — | |||||||||||||||||||||||||||
Goldman Sachs Local Emerging Markets Debt Fund — Class R6 | 9,830 | 4,255 | (3,592 | ) | (858 | ) | 236 | 9,871 | 1,629 | 161 | — | |||||||||||||||||||||||||
Goldman Sachs Managed Futures Strategy Fund — Class R6 | 21,627 | 274 | — | — | 1,254 | 23,155 | 2,218 | — | 274 | |||||||||||||||||||||||||||
Goldman Sachs Tactical Tilt Overlay Fund — Class R6 | 34,874 | 1,758 | — | — | 34 | 36,666 | 3,796 | 1,757 | — | |||||||||||||||||||||||||||
Total | $ | 887,764 | $ | 291,824 | $ | (341,599 | ) | $ | 636 | $ | 65,483 | $ | 904,108 | $ | 16,504 | $ | 5,237 |
Growth Strategy Portfolio |
| |||||||||||||||||||||||||||||||||||
Underlying Funds | Market Value 12/31/2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Market Value 12/31/2020 | Shares as of 12/31/2020 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
Goldman Sachs Access Investment Grade Corporate Bond ETF | $ | 27,434 | $ | — | $ | (19,248 | ) | $ | 1,864 | $ | (428 | ) | $ | 9,622 | 171 | $ | 593 | $ | — | |||||||||||||||||
Goldman Sachs Alternative Premia Fund | 5,921 | — | (5,646 | ) | (2,327 | ) | 2,052 | — | — | — | — | |||||||||||||||||||||||||
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | 214,449 | — | (16,989 | ) | 2,229 | 31,745 | 231,434 | 3,058 | 3,245 | — |
79
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
December 31, 2020
5. AGREEMENTS AND AFFILIATED TRANSACTIONS(continued) |
Growth Strategy Portfolio (continued)
Underlying Funds | Market Value 12/31/2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Market Value 12/31/2020 | Shares as of 12/31/2020 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
Goldman Sachs Dynamic Global Equity Fund — Class R6 | $ | 194,169 | $ | 5,233 | $ | (15,500 | ) | $ | (610 | ) | $ | 18,166 | $ | 201,458 | 9,314 | $ | 2,370 | $ | 2,862 | |||||||||||||||||
Goldman Sachs Emerging Markets Debt Fund — Class R6 | 21,891 | 15,525 | (6,272 | ) | (1,309 | ) | 1,759 | 31,594 | 2,461 | 544 | — | |||||||||||||||||||||||||
Goldman Sachs Emerging Markets Equity Insights Fund — Class R6 | 50,835 | 9,709 | (7,000 | ) | (1,172 | ) | 10,036 | 62,408 | 5,339 | 709 | — | |||||||||||||||||||||||||
Goldman Sachs Financial Square Government Fund — Institutional Shares | 13,201 | 108,614 | (98,574 | ) | — | — | 23,241 | 23,241 | 60 | — | ||||||||||||||||||||||||||
Goldman Sachs Global Infrastructure Fund — Class R6 | 15,867 | 299 | — | — | (878 | ) | 15,288 | 1,299 | 298 | — | ||||||||||||||||||||||||||
Goldman Sachs Global Real Estate Securities Fund — Class R6 | 15,370 | 207 | (6,400 | ) | (555 | ) | (1,125 | ) | 7,497 | 733 | 190 | 17 | ||||||||||||||||||||||||
Goldman Sachs High Yield Fund — Class R6 | 7,310 | 402 | — | — | 8 | 7,720 | 1,189 | 402 | — | |||||||||||||||||||||||||||
Goldman Sachs International Equity Insights Fund — Class R6 | 84,057 | 4,694 | (2,000 | ) | (110 | ) | 5,469 | 92,110 | 6,704 | 1,693 | — | |||||||||||||||||||||||||
Goldman Sachs International Small Cap Insights Fund — Class R6 | 13,597 | 16,542 | — | — | 2,044 | 32,183 | 2,540 | 582 | — | |||||||||||||||||||||||||||
Goldman Sachs Local Emerging Markets Debt Fund — Class R6 | 8,515 | 225 | — | — | 106 | 8,846 | 1,460 | 225 | — | |||||||||||||||||||||||||||
Goldman Sachs Managed Futures Strategy Fund — Class R6 | 12,284 | 157 | — | — | 712 | 13,153 | 1,260 | — | 156 | |||||||||||||||||||||||||||
Goldman Sachs Tactical Tilt Overlay Fund — Class R6 | 20,922 | 1,054 | — | — | 21 | 21,997 | 2,277 | 1,054 | — | |||||||||||||||||||||||||||
Total | $ | 705,822 | $ | 162,661 | $ | (177,629 | ) | $ | (1,990 | ) | $ | 69,687 | $ | 758,551 | $ | 11,965 | $ | 3,035 |
Satellite Strategies Portfolio |
| |||||||||||||||||||||||||||||||||||
Underlying Funds | Market Value 12/31/2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Market Value 12/31/2020 | Shares as of | Dividend Income | Capital Gains Distribution | |||||||||||||||||||||||||||
Goldman Sachs ActiveBeta Emerging Markets Equity ETF | $ | 14,700 | $ | — | $ | (7,537 | ) | $ | 614 | $ | (89 | ) | $ | 7,688 | $ | 201 | $ | 158 | $ | — | ||||||||||||||||
Goldman Sachs Emerging Markets Debt Fund — Class R6 | 57,115 | 2,078 | (30,755 | ) | (593 | ) | 1,217 | 29,062 | 2,263 | 873 | — |
80
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
5. AGREEMENTS AND AFFILIATED TRANSACTIONS(continued) |
Satellite Strategies Portfolio (continued)
Underlying Funds | Market Value 12/31/2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Market Value 12/31/2020 | Shares as of | Dividend Income | Capital Gains Distribution | |||||||||||||||||||||||||||
Goldman Sachs Emerging Markets Equity Fund — Class R6 | $ | 15,145 | $ | 37 | $ | (7,245 | ) | $ | 3,384 | $ | (810 | ) | $ | 10,511 | $ | 347 | $ | 37 | $ | — | ||||||||||||||||
Goldman Sachs Emerging Markets Equity Insights Fund — Class R6 | 23,526 | 83 | (16,100 | ) | 2,421 | (2,549 | ) | 7,381 | 631 | 84 | — | |||||||||||||||||||||||||
Goldman Sachs Financial Square Government Fund — Institutional Shares | — | 18,586 | (18,586 | ) | — | — | — | — | 1 | — | ||||||||||||||||||||||||||
Goldman Sachs Global Infrastructure Fund — Class R6 | 45,893 | 3,040 | (20,633 | ) | 1,925 | (4,312 | ) | 25,913 | 2,202 | 541 | — | |||||||||||||||||||||||||
Goldman Sachs Global Real Estate Securities Fund — Class R6 | 57,601 | 544 | (23,115 | ) | 479 | (4,279 | ) | 31,230 | 3,053 | 475 | 68 | |||||||||||||||||||||||||
Goldman Sachs High Yield Floating Rate Fund — Class R6 | 20,271 | 516 | (10,055 | ) | (293 | ) | 72 | 10,511 | 1,133 | 516 | — | |||||||||||||||||||||||||
Goldman Sachs High Yield Fund — Class R6 | 37,991 | 2,209 | (18,632 | ) | 43 | (1,153 | ) | 20,458 | 3,152 | 1,309 | — | |||||||||||||||||||||||||
Goldman Sachs International Small Cap Insights Fund — Class R6 | 36,138 | 359 | (16,950 | ) | 5,044 | (4,900 | ) | 19,691 | 1,554 | 357 | — | |||||||||||||||||||||||||
Goldman Sachs Local Emerging Markets Debt Fund — Class R6 | 17,510 | 389 | (8,282 | ) | (517 | ) | 215 | 9,315 | 1,537 | 257 | — | |||||||||||||||||||||||||
Goldman Sachs MLP Energy Infrastructure Fund — Class R6 | 3,650 | 182 | (1,432 | ) | (208 | ) | (639 | ) | 1,553 | 84 | — | — | ||||||||||||||||||||||||
Total | $ | 329,540 | $ | 28,023 | $ | (179,322 | ) | $ | 12,299 | $ | (17,227 | ) | $ | 173,313 | $ | 4,608 | $ | 68 |
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, 2020, were:
Portfolio | Purchases | Sales | ||||||||
Balanced Strategy | $ | 99,351,307 | $ | 90,195,183 | ||||||
Growth and Income Strategy | 107,552,824 | 174,019,132 | ||||||||
Growth Strategy | 54,130,876 | 92,604,450 | ||||||||
Satellite Strategy | 9,436,980 | 159,946,184 |
81
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
December 31, 2020
7. TAX INFORMATION |
The tax character of distributions paid during the for the fiscal year ended December 31, 2020 was as follows:
Balanced Strategy | Growth and Income Strategy | Growth Strategy | Satellite Strategies | |||||||||||||
Distribution paid from: | ||||||||||||||||
Ordinary income | $ | 11,834,746 | $ | 18,028,476 | $ | 12,985,654 | $ | 4,037,967 | ||||||||
Net long-term capital gains | — | 12,123,945 | 11,146,586 | — | ||||||||||||
Total taxable distributions | $ | 11,834,746 | $ | 30,152,421 | $ | 24,132,240 | $ | 4,037,967 |
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 |
As of December 31, 2020, 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 | $ | 1,526,945 | $ | 2,727,687 | $ | 2,221,336 | $ | 110,856 | ||||||||
Undistributed long-term capital gains | 4,947,486 | 8,101,031 | 5,583,943 | — | ||||||||||||
Total undistributed earnings | $ | 6,474,431 | $ | 10,828,718 | $ | 7,805,279 | $ | 110,856 | ||||||||
Capital loss carryforwards(1) | ||||||||||||||||
Perpetual Long-Term | $ | — | $ | — | $ | — | $ | (27,526,340 | ) | |||||||
Perpetual Short-Term | — | — | — | (598,576 | ) | |||||||||||
Total capital loss carryforwards | $ | — | $ | — | $ | — | $ | (28,124,916 | ) | |||||||
Timing differences (Qualified Late Year Loss Deferral and Straddle Loss Deferral) | $ | (903,749 | ) | $ | (1,526,925 | ) | $ | (1,177,465 | ) | $ | — | |||||
Unrealized gains (losses) — net | 47,565,441 | 116,799,415 | 129,573,901 | 27,124,078 | ||||||||||||
Total accumulated earnings (losses) net | $ | 53,136,123 | $ | 126,101,208 | $ | 136,201,715 | $ | (889,982 | ) |
(1) | The Balanced Strategy Portfolio utilized $4,067,367 of capital losses. |
Balanced Strategy | Growth and Income Strategy | Growth Strategy | Satellite Strategies | |||||||||||||
Tax Cost | $ | 509,670,587 | $ | 789,192,379 | $ | 630,672,366 | $ | 146,189,320 | ||||||||
Gross unrealized gain | 51,308,279 | 123,188,725 | 130,101,292 | 28,622,298 | ||||||||||||
Gross unrealized loss | (3,742,838 | ) | (6,389,310 | ) | (527,391 | ) | (1,498,220 | ) | ||||||||
Net unrealized gains (losses) | $ | 47,565,441 | $ | 116,799,415 | $ | 129,573,901 | $ | 27,124,078 |
82
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
7. TAX INFORMATION (continued) |
The difference between GAAP-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales, net mark-to-market gains (losses) on regulated futures contracts, options contracts, and foreign currency contracts.
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.
Dividend-Paying Investments Risk — A Portfolio’s investments in dividend-paying securities could cause a Portfolio to underperform other Portfolios. Securities that pay dividends, as a group, can fall out of favor with the market, causing such securities to underperform securities that do not pay dividends. Depending upon market conditions and political and legislative responses to such conditions, dividend-paying securities that meet a Portfolio’s investment criteria may not be widely available and/or may be highly concentrated in only a few market sectors. In addition, issuers that have paid regular dividends or distributions to shareholders may not continue to do so at the same level or at all in the future. This may limit the ability of a Portfolio to produce current income
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 Portfolio or an Underlying Fund invests. The imposition of exchange controls (including repatriation restrictions), confiscations 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 Portfolio or an Underlying 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 Portfolio or an Underlying Fund also invests 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.
Large Shareholder Transactions Risk — A Portfolio or an Underlying Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include a Portfolio or an Underlying Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large
83
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
December 31, 2020
8. OTHER RISKS (continued) |
amounts of shares of a Portfolio or an Underlying Fund. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may cause a Portfolio or an Underlying Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact the Portfolio’s or the Underlying Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in a Portfolio’s or an Underlying Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the expense ratio of the Portfolio or the Underlying Fund. Similarly, large Portfolio or Underlying Fund share purchases may adversely affect a Portfolio’s or an Underlying Fund’s performance to the extent that the Portfolio or the Underlying Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.
Liquidity Risk — A Portfolio or an Underlying 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 Portfolio or Underlying 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 Portfolio or Underlying Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If a Portfolio or Underlying Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Portfolio’s or Underlying 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 Portfolio investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on a Portfolio’s or Underlying Fund’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). The value of the securities in which a Portfolio invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, acts of terrorism, social unrest, natural disasters, the spread of infectious illness or other public health threats could also significantly impact a Fund and its investments. 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.
84
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
10. OTHER’ MATTERS |
On October 22, 2020, Goldman Sachs announced a settlement of matters involving 1Malaysia Development Bhd. (1MDB), a Malaysian sovereign wealth fund, with the United States Department of Justice as well as criminal and civil authorities in the UK, Singapore and Hong Kong. Further information regarding the 1MDB settlement can be found at https://www.goldmansachs.com/media-relations/press-releases/current/goldman-sachs-2020-10-22.html. The 1MDB settlement will not materially adversely affect GSAM’s ability to serve as investment manager.
11. SUBSEQUENT EVENTS |
Subsequent events after the Statements of Asset and Liabilities date have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
85
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
December 31, 2020
12. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
Balanced Strategy Portfolio | ||||||||||||||||
|
| |||||||||||||||
For the Fiscal Year Ended December 31, 2020 | For the Fiscal Year Ended December 31, 2019 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 806,106 | $ | 9,371,853 | 720,412 | $ | 8,084,539 | ||||||||||
Reinvestment of distributions | 161,208 | 1,956,189 | 188,113 | 2,156,891 | ||||||||||||
Shares redeemed | (1,388,358 | ) | (16,050,087 | ) | (2,067,475 | ) | (23,126,509 | ) | ||||||||
(421,044 | ) | (4,722,045 | ) | (1,158,950 | ) | (12,885,079 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 152,765 | 1,760,807 | 291,999 | 3,239,647 | ||||||||||||
Reinvestment of distributions | 8,805 | 109,881 | 12,553 | 145,118 | ||||||||||||
Shares redeemed | (346,972 | ) | (4,036,182 | ) | (601,976 | ) | (6,736,873 | ) | ||||||||
(185,402 | ) | (2,165,494 | ) | (297,424 | ) | (3,352,108 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 9,619,191 | 115,945,581 | 11,770,112 | 132,793,162 | ||||||||||||
Reinvestment of distributions | 692,210 | 8,350,848 | 728,452 | 8,337,980 | ||||||||||||
Shares redeemed | (9,699,923 | ) | (114,183,314 | ) | (10,627,432 | ) | (119,595,453 | ) | ||||||||
611,478 | 10,113,115 | 1,871,132 | 21,535,689 | |||||||||||||
Service Shares | ||||||||||||||||
Shares sold | 209 | 2,470 | 2,484 | 28,072 | ||||||||||||
Reinvestment of distributions | — | — | 78 | 877 | ||||||||||||
Shares redeemed | (12,403 | ) | (151,463 | ) | (21,311 | ) | (247,236 | ) | ||||||||
(12,194 | ) | (148,993 | ) | (18,749 | ) | (218,287 | ) | |||||||||
Investor Shares | ||||||||||||||||
Shares sold | 373,809 | 4,570,701 | 124,771 | 1,376,411 | ||||||||||||
Reinvestment of distributions | 10,916 | 133,619 | 7,468 | 85,266 | ||||||||||||
Shares redeemed | (96,997 | ) | (1,089,565 | ) | (101,853 | ) | (1,128,425 | ) | ||||||||
287,728 | 3,614,755 | 30,386 | 333,252 | |||||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 10,357 | 121,259 | 20,708 | 232,723 | ||||||||||||
Reinvestment of distributions | 853 | 10,015 | 1,533 | 17,498 | ||||||||||||
Shares redeemed | (48,256 | ) | (581,682 | ) | (94,095 | ) | (1,064,834 | ) | ||||||||
(37,046 | ) | (450,408 | ) | (71,854 | ) | (814,613 | ) | |||||||||
Class R Shares | ||||||||||||||||
Shares sold | 108,195 | 1,269,012 | 143,196 | 1,618,112 | ||||||||||||
Reinvestment of distributions | 13,214 | 159,999 | 16,532 | 189,329 | ||||||||||||
Shares redeemed | (254,775 | ) | (3,003,397 | ) | (97,257 | ) | (1,079,005 | ) | ||||||||
(133,366 | ) | (1,574,386 | ) | 62,471 | 728,436 | |||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 424,684 | 4,981,602 | 428,129 | 4,796,352 | ||||||||||||
Reinvestment of distributions | 76,524 | 922,139 | 92,975 | 1,064,548 | ||||||||||||
Shares redeemed | (831,434 | ) | (9,255,219 | ) | (1,077,395 | ) | (11,920,962 | ) | ||||||||
(330,226 | ) | (3,351,478 | ) | (556,291 | ) | (6,060,062 | ) | |||||||||
NET DECREASE | (220,072 | ) | 1,315,066 | (139,279 | ) | (732,772 | ) |
86
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
12. SUMMARY OF SHARE TRANSACTIONS (continued) |
Growth and Income Strategy Portfolio | ||||||||||||||||
|
| |||||||||||||||
For the Fiscal Year Ended December 31, 2020 | For the Fiscal Year Ended December 31, 2019 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 1,001,133 | $ | 14,063,210 | 1,367,510 | $ | 18,597,841 | ||||||||||
Reinvestment of distributions | 568,375 | 8,516,207 | 369,519 | 5,184,092 | ||||||||||||
Shares redeemed | (2,729,843 | ) | (38,118,863 | ) | (3,875,566 | ) | (52,374,920 | ) | ||||||||
(1,160,335 | ) | (15,539,446 | ) | (2,138,537 | ) | (28,592,987 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 88,895 | 1,236,549 | 107,114 | 1,401,165 | ||||||||||||
Reinvestment of distributions | 23,505 | 349,075 | 17,463 | 241,288 | ||||||||||||
Shares redeemed | (592,480 | ) | (8,007,231 | ) | (1,016,333 | ) | (13,419,730 | ) | ||||||||
(480,080 | ) | (6,421,607 | ) | (891,756 | ) | (11,777,277 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 5,182,916 | 76,541,111 | 5,845,803 | 80,012,769 | ||||||||||||
Reinvestment of distributions | 816,050 | 12,170,985 | 596,185 | 8,355,297 | ||||||||||||
Shares redeemed | (8,571,487 | ) | (120,264,037 | ) | (9,747,842 | ) | (131,722,848 | ) | ||||||||
(2,572,521 | ) | (31,551,941 | ) | (3,305,854 | ) | (43,354,782 | ) | |||||||||
Service Shares | ||||||||||||||||
Shares sold | 4,849 | 69,559 | 24,032 | 321,649 | ||||||||||||
Reinvestment of distributions | 875 | 13,109 | 632 | 8,811 | ||||||||||||
Shares redeemed | (38,494 | ) | (554,592 | ) | (46,787 | ) | (628,661 | ) | ||||||||
(32,770 | ) | (471,924 | ) | (22,123 | ) | (298,201 | ) | |||||||||
Investor Shares | ||||||||||||||||
Shares sold | 64,633 | 909,258 | 84,749 | 1,148,945 | ||||||||||||
Reinvestment of distributions | 17,938 | 265,906 | 12,001 | 167,174 | ||||||||||||
Shares redeemed | (104,836 | ) | (1,448,110 | ) | (160,130 | ) | (2,145,873 | ) | ||||||||
(22,265 | ) | (272,946 | ) | (63,380 | ) | (829,754 | ) | |||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 28,686 | 413,366 | 85,321 | 1,165,880 | ||||||||||||
Reinvestment of distributions | 1,615 | 23,957 | 2,000 | 27,662 | ||||||||||||
Shares redeemed | (169,079 | ) | (2,390,358 | ) | (161,921 | ) | (2,268,818 | ) | ||||||||
(138,778 | ) | (1,953,035 | ) | (74,600 | ) | (1,075,276 | ) | |||||||||
Class R Shares | ||||||||||||||||
Shares sold | 50,504 | 698,780 | 46,601 | 626,164 | ||||||||||||
Reinvestment of distributions | 10,189 | 152,171 | 5,831 | 81,506 | ||||||||||||
Shares redeemed | (70,861 | ) | (969,139 | ) | (49,112 | ) | (663,201 | ) | ||||||||
(10,168 | ) | (118,188 | ) | 3,320 | 44,469 | |||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 1,164,270 | 16,936,910 | 1,425,194 | 19,527,520 | ||||||||||||
Reinvestment of distributions | 524,524 | 7,826,935 | 343,656 | 4,818,065 | ||||||||||||
Shares redeemed | (1,844,068 | ) | (26,151,627 | ) | (1,949,585 | ) | (26,121,468 | ) | ||||||||
(155,274 | ) | (1,387,782 | ) | (180,735 | ) | (1,775,883 | ) | |||||||||
NET DECREASE | (4,572,191 | ) | (57,716,869 | ) | (6,673,665 | ) | (87,659,691 | ) |
87
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
December 31, 2020
12. SUMMARY OF SHARE TRANSACTIONS (continued) |
Growth Strategy Portfolio | ||||||||||||||||
|
| |||||||||||||||
For the Fiscal Year Ended December 31, 2020 | For the Fiscal Year Ended December 31, 2019 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 952,811 | $ | 14,899,877 | 1,339,118 | $ | 20,739,326 | ||||||||||
Reinvestment of distributions | 562,692 | 9,975,598 | 699,217 | 11,263,551 | ||||||||||||
Shares redeemed | (2,659,217 | ) | (41,661,077 | ) | (3,587,777 | ) | (55,281,237 | ) | ||||||||
(1,143,714 | ) | (16,785,602 | ) | (1,549,442 | ) | (23,278,360 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 115,961 | 1,857,819 | 150,548 | 2,369,068 | ||||||||||||
Reinvestment of distributions | 27,434 | 492,028 | 44,950 | 733,288 | ||||||||||||
Shares redeemed | (688,823 | ) | (10,860,045 | ) | (1,002,930 | ) | (15,686,944 | ) | ||||||||
(545,428 | ) | (8,510,198 | ) | (807,432 | ) | (12,584,588 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 3,336,916 | 56,246,806 | 4,018,348 | 61,424,101 | ||||||||||||
Reinvestment of distributions | 288,202 | 5,118,577 | 366,171 | 5,901,749 | ||||||||||||
Shares redeemed | (3,273,219 | ) | (52,266,823 | ) | (13,339,123 | ) | (205,096,568 | ) | ||||||||
351,899 | 9,098,560 | (8,954,604 | ) | (137,770,718 | ) | |||||||||||
Service Shares | ||||||||||||||||
Shares sold | 15,123 | 236,070 | 10,952 | 172,500 | ||||||||||||
Reinvestment of distributions | 882 | 15,576 | 1,026 | 16,465 | ||||||||||||
Shares redeemed | (37,528 | ) | (619,839 | ) | (36,002 | ) | (543,627 | ) | ||||||||
(21,523 | ) | (368,193 | ) | (24,024 | ) | (354,662 | ) | |||||||||
Investor Shares | ||||||||||||||||
Shares sold | 93,099 | 1,429,337 | 137,054 | 2,090,719 | ||||||||||||
Reinvestment of distributions | 13,445 | 234,991 | 17,612 | 279,751 | ||||||||||||
Shares redeemed | (160,653 | ) | (2,517,024 | ) | (181,285 | ) | (2,758,238 | ) | ||||||||
(54,109 | ) | (852,696 | ) | (26,619 | ) | (387,768 | ) | |||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 256,374 | 3,405,418 | 145,096 | 2,240,148 | ||||||||||||
Reinvestment of distributions | 9,131 | 162,156 | 13,012 | 209,737 | ||||||||||||
Shares redeemed | (352,598 | ) | (5,980,284 | ) | (172,108 | ) | (2,718,584 | ) | ||||||||
(87,093 | ) | (2,412,710 | ) | (14,000 | ) | (268,699 | ) | |||||||||
Class R Shares | ||||||||||||||||
Shares sold | 71,249 | 1,119,560 | 51,432 | 771,207 | ||||||||||||
Reinvestment of distributions | 10,567 | 181,648 | 13,862 | 216,889 | ||||||||||||
Shares redeemed | (122,574 | ) | (1,872,096 | ) | (68,026 | ) | (1,028,290 | ) | ||||||||
(40,758 | ) | (570,888 | ) | (2,732 | ) | (40,194 | ) | |||||||||
Class P Shares | ||||||||||||||||
Shares sold | 1,225,584 | 19,950,156 | 1,251,604 | 19,410,449 | ||||||||||||
Reinvestment of distributions | 394,137 | 7,003,021 | 450,679 | 7,266,420 | ||||||||||||
Shares redeemed | (1,357,109 | ) | (20,758,491 | ) | (1,186,413 | ) | (18,248,306 | ) | ||||||||
262,612 | 6,194,686 | 515,870 | 8,428,563 | |||||||||||||
NET DECREASE | (1,278,114 | ) | (14,207,041 | ) | (10,862,983 | ) | (166,256,426 | ) |
88
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
12. SUMMARY OF SHARE TRANSACTIONS (continued) |
Satellite Strategies Portfolio | ||||||||||||||||
|
| |||||||||||||||
For the Fiscal Year Ended December 31, 2020 | For the Fiscal Year Ended December 31, 2019 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 1,145,188 | $ | 8,749,162 | 1,507,125 | $ | 12,328,395 | ||||||||||
Reinvestment of distributions | 102,102 | 753,943 | 173,175 | 1,436,743 | ||||||||||||
Shares redeemed | (1,394,131 | ) | (10,704,125 | ) | (1,464,894 | ) | (11,965,708 | ) | ||||||||
(146,841 | ) | (1,201,020 | ) | 215,406 | 1,799,430 | |||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 18,345 | 139,519 | 74,124 | 578,919 | ||||||||||||
Reinvestment of distributions | 12,367 | 88,754 | 45,797 | 377,904 | ||||||||||||
Shares redeemed | (1,283,127 | ) | (9,821,116 | ) | (2,010,704 | ) | (16,335,390 | ) | ||||||||
(1,252,415 | ) | (9,592,843 | ) | (1,890,783 | ) | (15,378,567 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 1,571,612 | 12,311,549 | 3,194,532 | 25,909,208 | ||||||||||||
Reinvestment of distributions | 307,906 | 2,265,956 | 789,925 | 6,524,160 | ||||||||||||
Shares redeemed | (13,388,305 | ) | (106,106,332 | ) | (16,333,971 | ) | (132,664,304 | ) | ||||||||
(11,508,787 | ) | (91,528,827 | ) | (12,349,514 | ) | (100,230,936 | ) | |||||||||
Service Shares | ||||||||||||||||
Shares sold | 484 | 3,780 | 1,322 | 10,699 | ||||||||||||
Reinvestment of distributions | 293 | 2,112 | 671 | 5,560 | ||||||||||||
Shares redeemed | (16,356 | ) | (128,273 | ) | (4,426 | ) | (35,455 | ) | ||||||||
(15,579 | ) | (122,381 | ) | (2,433 | ) | (19,196 | ) | |||||||||
Investor Shares | ||||||||||||||||
Shares sold | 378,548 | 2,930,215 | 755,285 | 6,188,404 | ||||||||||||
Reinvestment of distributions | 55,617 | 410,262 | 99,874 | 824,444 | ||||||||||||
Shares redeemed | (923,864 | ) | (6,801,591 | ) | (1,934,326 | ) | (15,679,254 | ) | ||||||||
(489,699 | ) | (3,461,114 | ) | (1,079,167 | ) | (8,666,406 | ) | |||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 61,994 | 475,643 | 785,761 | 6,271,224 | ||||||||||||
Reinvestment of distributions | 7,453 | 54,297 | 158,070 | 1,307,247 | ||||||||||||
Shares redeemed | (5,421,875 | ) | (45,667,982 | ) | (1,477,935 | ) | (12,059,957 | ) | ||||||||
(5,352,428 | ) | (45,138,042 | ) | (534,104 | ) | (4,481,486 | ) | |||||||||
Class R Shares | ||||||||||||||||
Shares sold | 13,336 | 96,817 | 16,321 | 131,889 | ||||||||||||
Reinvestment of distributions | 1,423 | 10,468 | 3,467 | 28,645 | ||||||||||||
Shares redeemed | (65,276 | ) | (527,686 | ) | (150,500 | ) | (1,166,319 | ) | ||||||||
(50,517 | ) | (420,401 | ) | (130,712 | ) | (1,005,785 | ) | |||||||||
Class P Shares | ||||||||||||||||
Shares sold | 41,176 | 315,000 | 48,431 | 400,235 | ||||||||||||
Reinvestment of distributions | 10,376 | 77,222 | 15,719 | 130,251 | ||||||||||||
Shares redeemed | (54,624 | ) | (448,609 | ) | (16,903 | ) | (140,037 | ) | ||||||||
(3,072 | ) | (56,387 | ) | 47,247 | 390,449 | |||||||||||
NET DECREASE | (18,819,338 | ) | (151,521,015 | ) | (15,724,060 | ) | (127,592,497 | ) |
89
Report of Independent Registered Public
Accounting Firm
To the 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, 2020, the related statements of operations for the year ended December 31, 2020, the statements of changes in net assets for each of the two years in the period ended December 31, 2020, 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, 2020, 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, 2020 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, 2020 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.
/s/PricewaterhouseCoopers LLP
Boston, Massachusetts
February 25, 2021
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
90
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 Funds have amortized their respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse the Funds to the extent such expenses exceed a specified percentage of the Funds’ 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 | ||||||||||||
91
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Portfolio Expenses — Six Month Period Ended December 31, 2020 (Unaudited)
As a shareholder of Class A, Class C, Institutional, Service, Investor, Class R6, Class R or Class P 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 R6, Class R or Class P 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, 2020 through December 31, 2020, which represents a period of 184 days of a 366 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the 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 7/1/20 | Ending Account Value 12/31/20 | Expenses Paid for the 6 months ended 12/31/20** | Beginning Account Value 7/1/20 | Ending Account Value 12/31/20 | Expenses Paid for the 6 months ended 12/31/20** | Beginning Account Value 7/1/20 | Ending Account Value 12/31/20 | Expenses Paid for the 6 months ended 12/31/20** | Beginning Account Value 7/1/20 | Ending Account Value 12/31/20 | Expenses Paid for the 6 months ended 12/31/20** | ||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 1,109.80 | $ | 3.02 | $ | 1,000.00 | $ | 1,153.00 | $ | 3.08 | $ | 1,000.00 | $ | 1,195.50 | $ | 3.15 | $ | 1,000.00 | $ | 1,145.90 | $ | 2.97 | ||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,022.27 | + | 2.90 | 1,000.00 | 1,022.27 | + | 2.90 | 1,000.00 | 1,022.27 | + | 2.90 | 1,000.00 | 1,022.27 | + | 2.80 | ||||||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,106.00 | 6.99 | 1,000.00 | 1,148.30 | 7.13 | 1,000.00 | 1,190.50 | 7.27 | 1,000.00 | 1,141.10 | 7.00 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,018.50 | + | 6.70 | 1,000.00 | 1,018.50 | + | 6.70 | 1,000.00 | 1,018.50 | + | 6.70 | 1,000.00 | 1,018.60 | + | 6.60 | ||||||||||||||||||||||||||||||||
Institutional | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,111.10 | 1.01 | 1,000.00 | 1,155.50 | 1.03 | 1,000.00 | 1,196.60 | 1.05 | 1,000.00 | 1,148.50 | 0.92 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,024.18 | + | 0.97 | 1,000.00 | 1,024.18 | + | 0.97 | 1,000.00 | 1,024.18 | + | 0.97 | 1,000.00 | 1,024.28 | + | 0.87 | ||||||||||||||||||||||||||||||||
Service | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,108.50 | 3.66 | 1,000.00 | 1,152.60 | 3.73 | 1,000.00 | 1,194.10 | 3.81 | 1,000.00 | 1,145.80 | 3.61 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,021.67 | + | 3.51 | 1,000.00 | 1,021.67 | + | 3.51 | 1,000.00 | 1,021.67 | + | 3.51 | 1,000.00 | 1,021.67 | + | 3.40 | ||||||||||||||||||||||||||||||||
Investor | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,111.10 | 1.70 | 1,000.00 | 1,154.50 | 1.73 | 1,000.00 | 1,196.20 | 1.77 | 1,000.00 | 1,146.40 | 1.62 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.53 | + | 1.63 | 1,000.00 | 1,023.53 | + | 1.63 | 1,000.00 | 1,023.53 | + | 1.63 | 1,000.00 | 1,023.63 | + | 1.53 | ||||||||||||||||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,111.20 | 0.96 | 1,000.00 | 1,154.80 | 0.97 | 1,000.00 | 1,197.20 | 0.99 | 1,000.00 | 1,148.20 | 0.86 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,024.23 | + | 0.92 | 1,000.00 | 1,024.23 | + | 0.92 | 1,000.00 | 1,024.23 | + | 0.92 | 1,000.00 | 1,024.33 | + | 0.81 | ||||||||||||||||||||||||||||||||
Class R | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,107.90 | 4.34 | 1,000.00 | 1,152.10 | 4.44 | 1,000.00 | 1,193.40 | 4.52 | 1,000.00 | 1,143.30 | 4.31 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,021.01 | + | 4.17 | 1,000.00 | 1,021.01 | + | 4.17 | 1,000.00 | 1,021.01 | + | 4.17 | 1,000.00 | 1,021.01 | + | 4.06 | ||||||||||||||||||||||||||||||||
Class P | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,112.00 | 0.96 | 1,000.00 | 1,154.80 | 0.97 | 1,000.00 | 1,197.40 | 0.99 | 1,000.00 | 1,148.40 | 0.86 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,024.23 | + | 0.92 | 1,000.00 | 1,024.23 | + | 0.92 | 1,000.00 | 1,024.23 | + | 0.92 | 1,000.00 | 1,024.23 | + | 0.81 |
* | 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, 2020. 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. |
Portfolio | Class A | Class C | Institutional | Service | Investor | Class R6 | Class R | Class P | ||||||||||||||||||||||||
Balanced Strategy | 0.57 | % | 1.32 | % | 0.19 | % | 0.69 | % | 0.32 | % | 0.18 | % | 0.82 | % | 0.18 | % | ||||||||||||||||
Growth and Income Strategy | 0.57 | 1.32 | 0.19 | 0.69 | 0.32 | 0.18 | 0.82 | 0.18 | ||||||||||||||||||||||||
Growth Strategy | 0.57 | 1.32 | 0.19 | 0.69 | 0.32 | 0.18 | 0.82 | 0.18 | ||||||||||||||||||||||||
Satellite Strategies | 0.55 | 1.30 | 0.17 | 0.67 | 0.30 | 0.16 | 0.80 | 0.16 |
92
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: 71 | 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. | 105 | None | |||||
Dwight L. Bush Age: 63 | Trustee | Since 2020 | 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). Previously, Ambassador Bush served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 105 | None | |||||
Kathryn A. Cassidy Age: 66 | 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. | 105 | None | |||||
Diana M. Daniels Age: 71 | 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. | 105 | None | |||||
Joaquin Delgado Age: 60 | Trustee | Since 2020 | 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). Previously, Dr. Delgado served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust | 105 | Stepan Company (a specialty chemical manufacturer) | |||||
Roy W. Templin Age: 60 | 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).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 105 | Armstrong World Industries, Inc. (a ceiling, wall and suspension systems solutions manufacturer) | |||||
Gregory G. Weaver Age: 69 | 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. | 105 | Verizon Communications Inc. | |||||
93
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: 58 | 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 and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund.
| 158 | None | |||||
* | 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 may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of December 31, 2020. |
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 each Independent Trustee shall retire as of December 31st of the calendar year in which he or she reaches (a) his or her 75th birthday or (b) the 15th anniversary of the date he or she became a Trustee, whichever is earlier, 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, 2020, Goldman Sachs Trust consisted of 92 portfolios (90 of which offered shares to the public); 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 ETF Trust consisted of 31 portfolios (20 of which offered shares to the public); and 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. Goldman Sachs Credit Income Fund did not offer 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.
94
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: 58 | 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 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: 43 | Secretary | Since 2012 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Senior Counsel, Goldman Sachs (January 2020-Present); Associate General Counsel, Goldman Sachs (2012-December 2019); 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 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: 52 | 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 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, 2020. |
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. |
95
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Goldman Sachs Fund of Funds Portfolios — Tax Information (unaudited)
For the year ended December 31, 2020, 11.39%, 20.00%, 32.25% and 7.51% 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 2020 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 $0.0428, $0.0754, $0.1174, and $0.0309 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 13.43%, 20.30%, 29.66%, and 13.35%, 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 $0.0053, $0.0093, $0.0146, and $0.0050 per share, respectively.
For the year ended December 31, 2020, 24.72%, 41.10%, 63.45%, and 29.15% 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 and Income Strategy and Growth Strategy Portfolios designate $12,123,945 and $11,146,586 respectively, or, if different, the maximum amount allowable, as capital gain dividends paid during the year ended December 31, 2020.
During the year ended December 31, 2020, the Growth and Income Strategy and Growth Strategy Portfolios designate $2,903,802 and $2,985,474 as short-term capital gain dividends pursuant to Section 871(k) of the Internal Revenue Code.
96
FUNDS PROFILE
Goldman Sachs Funds
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
Today, the Consumer and Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.95 trillion in assets under supervision as of December 31, 2020, 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 Core Fixed Income Fund4 |
∎ | 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 |
∎ | U.S. Equity ESG Fund5 |
∎ | Income Builder Fund |
Tax-Advantaged Equity
∎ | U.S. Tax-Managed Equity Fund |
∎ | International Tax-Managed Equity Fund |
∎ | U.S. Equity Dividend and Premium Fund |
∎ | International Equity Dividend and Premium Fund |
Equity Insights
∎ | Small Cap Equity Insights Fund |
∎ | U.S. Equity Insights Fund |
∎ | Small Cap Growth Insights Fund |
∎ | Large Cap Growth Insights Fund |
∎ | Large Cap Value Insights Fund |
∎ | Small Cap Value Insights Fund |
∎ | International Small Cap Insights Fund |
∎ | International Equity Insights Fund |
∎ | Emerging Markets Equity Insights Fund |
Fundamental Equity International
∎ | International Equity Income Fund |
∎ | International Equity ESG Fund |
∎ | China Equity Fund |
∎ | Emerging Markets Equity Fund |
∎ | ESG Emerging Markets Equity Fund |
Alternative
∎ | Clean Energy Income Fund |
∎ | Defensive Equity Fund |
∎ | 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 |
∎ | Energy Infrastructure Fund6 |
∎ | 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 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 Fund |
∎ | Satellite Strategies Portfolio |
∎ | Enhanced Dividend Global Equity Portfolio |
∎ | Tax-Advantaged Global Equity Portfolio |
∎ | Strategic Factor Allocation Fund |
∎ | Target Date Retirement Portfolio |
∎ | Target Date 2025 Portfolio |
∎ | Target Date 2030 Portfolio |
∎ | Target Date 2035 Portfolio |
∎ | Target Date 2040 Portfolio |
∎ | Target Date 2045 Portfolio |
∎ | Target Date 2050 Portfolio |
∎ | Target Date 2055 Portfolio |
∎ | Target Date 2060 Portfolio |
∎ | GQG Partners International Opportunities Fund |
1 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
2 | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
3 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
4 | Effective after the close of business on April 30, 2020, the Goldman Sachs Global Income Fund was renamed the Goldman Sachs Global Core Fixed Income Fund. |
5 | Effective after the close on business of August 30, 2020, the Goldman Sachs Blue Chip Fund was renamed the Goldman Sachs U.S. Equity ESG Fund. |
6 | Effective after the close of business on June 26, 2020, the Goldman Sachs MLP & Energy Fund was renamed the Goldman Sachs Energy Infrastructure 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
| 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 at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Goldman Sachs Asset Management, L.P. 200 West Street, New York, New York 10282
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
The reports concerning the Portfolios included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Portfolios in the future. These statements are based on Portfolio management’s predictions and expectations concerning certain future events and their expected impact on the Portfolios, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Portfolios. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
Diversification does not protect an investor from market risk and does not ensure a profit.
Views and opinions expressed are for informational purposes only and do not constitute a recommendation by GSAM to buy, sell, or hold any security. Views and opinions are current as of the date of this presentation and may be subject to change. They should not be construed as investment advice.
A description of the policies and procedures that the Portfolios use to determine how to vote proxies relating to portfolio securities and information regarding how a Portfolio voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://www.sec.gov.
References to indices, benchmarks or other measures of relative market performance over a specified period of time are provided for your information only and do not imply that the portfolio will achieve similar results. The index composition may not reflect the manner in which a portfolio is constructed. While an adviser seeks to design a portfolio which reflects appropriate risk and return features, portfolio characteristics may deviate from those of the benchmark.
The Portfolios 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, 2020 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).
© 2021 Goldman Sachs. All rights reserved. 230836-OTU-1355836 FFAR-21
Goldman Sachs Funds
Annual Report | December 31, 2020 | |||
Global Infrastructure Fund |
Goldman Sachs Global Infrastructure Fund
1 | ||||
9 | ||||
11 | ||||
14 | ||||
21 | ||||
31 | ||||
32 |
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, 2020 (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 R6, Class R and Class P Shares generated average annual total returns, without sales charges, of -3.97%, -4.78%, -3.63%, -3.80%, -3.64%, -4.24% and -3.72%, respectively. These returns compare to the -6.96% 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 infrastructure securities produced negative returns during the Reporting Period, with investor sentiment influenced most by the spread of COVID-19, a contraction in global economic growth and historic financial stimulus by central banks and governments around the world. |
During the first quarter of 2020, global infrastructure securities, as measured by the Index, fell 20.94%. The global equity market suffered steep declines beginning in late February, as the emergence of COVID-19 and the start of a crude oil price war between Russia and Saudi Arabia forced many investors to reassess their risk tolerance. The market regained some of the ground it had lost toward the end of March after the passage of a $2 trillion U.S. fiscal stimulus package aimed at providing aid to corporations, small businesses and individuals. Also, during March, in an effort to mitigate the economic fallout from COVID-19, the U.S. Federal Reserve (the “Fed”) announced a 100 basis points emergency rate cut, bringing short-term interest rates to a range between 0% and 0.25%, and a more than $700 billion quantitative easing program. (A basis point is 1/100th of a percentage point.) The U.S. government allocated $7.8 billion for emergency spending to help regulate the cost to the public of COVID-19 vaccinations as well as other measures to combat the spread of the pandemic. In Europe, the European Central Bank (“ECB”) held its policy interest rates steady and unveiled a package of monetary measures aimed at supporting key parts of the Euro area economy hurt by the COVID-19 outbreak. |
During the second calendar quarter, global infrastructure securities advanced 11.55%. Equity markets across the world gained on optimism about a global economic recovery, as government-mandated lockdown measures began to ease, but faced some headwinds from weak macroeconomic data, fear of a second wave of COVID-19 and a bleak U.S. economic outlook from the Fed. Investors largely looked past first calendar quarter corporate earnings, focusing instead on outlooks for upcoming quarters amid the spreading pandemic. U.S. equities appreciated despite a surge in COVID-19 cases in regional pockets of the country, which caused local governments to pause reopening plans and revisit previous lockdown measures. Economic optimism around stabilizing manufacturing data, better than consensus expected unemployment figures and early signs of recovery in cyclical industries led U.S. stocks higher early in June. However, they pulled back somewhat toward the end of the month on the back of rising COVID-19 cases and renewed lockdowns in some states as well as on investor concerns around trade restrictions with both China and Europe. The European equity markets were supported by a larger than consensus expected stimulus boost from the ECB’s Pandemic Emergency Purchase Programme (“PEPP”) and the European Union’s proposed €750 billion COVID-19 recovery plan. Early in June, the ECB increased its PEPP by €600 billion to €1.35 trillion and extended purchases through June 2021. The decision was motivated by the substantial downgrade in inflation expectations, with ECB President |
1
PORTFOLIO RESULTS
Christine Lagarde calling for accommodative financial conditions. The ECB said it would also begin offering euro liquidity to non-Euro area central banks in response to the COVID-19 crisis. |
In the third quarter of 2020, global infrastructure securities declined 1.67%. In the global equity markets, investors focused on the pace of economic reopening. At first, there was concern that rushed reopening would bring a new wave of COVID-19 infections, which might lead to renewed economic shutdowns. However, while positive COVID-19 tests increased during the summer, hospitalizations and the number of patients on ventilators remained well below prior peak levels. This reality, combined with growing optimism about the eventual approval of a COVID-19 vaccine, acted as a tailwind for global equities. Toward the end of the third calendar quarter, investors increasingly focused on unsuccessful partisan negotiations in the U.S. about additional fiscal support for the U.S. economy and on the then-upcoming U.S. Presidential and Congressional elections in November. |
Global infrastructure securities generated a positive return of 7.27% during the fourth quarter of 2020. The quarter began on a choppy note, with many global equity indices recording gains amid bouts of volatility. Performance benefited from investors’ hopes for an economic recovery despite near-term setbacks. However, toward the end of October, global equities retreated against a backdrop of increasing numbers of COVID-19 cases around the world and heightened political uncertainty surrounding the then-upcoming U.S. elections and Brexit. (Brexit refers to the U.K.’s exit from the European Union.) During November, global equity markets rebounded, with cyclical and value-oriented stocks outperforming growth-oriented stocks during the month. The announcement of promising data from three COVID-19 vaccine developers further boosted investor sentiment and the prospects of a global economic recovery. However, while positive COVID-19 vaccine news buoyed market sentiment, rising COVID-19 cases and renewed activity restrictions raised concerns about the global economic outlook. Uncertainties about additional policy stimulus in the U.S., the future of the Fed’s emergency credit and liquidity programs, and the European Union’s recovery fund also weighed on the outlook. |
For the Reporting Period overall, the global infrastructure market, as measured by the Index, posted an average annual total return of -6.96%. In terms of absolute return, Canada and France were the worst performing markets in the Index, while Spain and Italy were the best performers. Among market sectors, energy infrastructure, transportation infrastructure and utilities recorded negative absolute returns. Communications infrastructure generated a positive absolute return 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 from its overweight relative to the Index in the communications infrastructure sector. In addition, modest underweights in the utilities and energy infrastructure sectors added to relative returns. Given the volatility in the Index during the Reporting Period, the Fund was also helped by its small cash position. Conversely, the Fund’s underweight in the transportation infrastructure sector detracted from relative performance. |
As for security selection, the Fund’s investments in the utilities sector contributed most positively. Security selection in the communications infrastructure, energy infrastructure and transportation infrastructure sectors further bolstered relative returns. |
Among countries, stock selection in the U.S. added significantly to the Fund’s relative performance. In addition, exposure to Denmark, which is not represented in the Index, was advantageous. Conversely, the Fund was hurt by its underweight positions in the U.S., Japan and Spain during the Reporting Period. |
Q | What individual holdings added most to the Fund’s relative performance during the Reporting Period? |
A | Orsted, Infrastrutture Wireless Italiane and Equinix were leading positive contributors to the Fund’s relative returns during the Reporting Period. |
Orsted, a provider of renewable energy solutions, was the top contributor to the Fund’s relative performance during the Reporting Period. The company is considered the global leader in offshore wind power, a market expected by many analysts to grow at a double-digit compound annual growth rate — a perception we think helped drive the security’s gains during the Reporting Period. At the end of the Reporting Period, we believed Orsted was likely to benefit from rising demand for renewable energy and the increasing need to decarbonize the energy supply mix globally, trends |
1 | Sector and subsector allocations are defined by GSAM and may differ from sector allocations used by the Index. |
2
PORTFOLIO RESULTS
that should be unaffected by the macroeconomic uncertainties caused by the global pandemic, in our view. |
Infrastrutture Wireless Italiane S.p.A., an electronic communication infrastructure services company, also added to the Fund’s relative returns during the Reporting Period. As risk assets sold off in response to the economic disruption caused by physical distancing measures, the company’s resilient revenue stream, which is based on long-term contracts with telecommunications companies, helped it outperform both the global equity and global infrastructure markets during the Reporting Period. |
Another notable contributor to the Fund’s relative performance was Equinix, a global data center and co-location provider within the communication infrastructure industry. In our opinion, data center companies stand to benefit most from the increasing need for data support, which has been driven by social distancing measures. At the end of the Reporting Period, we continued to favor Equinix, as we believed it was well positioned in the near term because of its higher exposure to cross-connect installations, which are seeing material growth as tenants increase bandwidth. (A cross-connect is a connection between facilities that is provided as separate units by a datacenter.) Equinix shares were trading at the end of the Reporting Period at multiples that were generally in line with peers despite having higher organic growth. In our view, this was the result of the company’s smaller, more diverse tenant base relative to its peers and extremely hard-to-replicate assets, paired with a higher return business model that has fewer risks associated with volatility in large scale leasing and lower risk from new competition. |
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 SBA Communications, ENAV and Enterprise Product Partners. |
The Fund was hurt most by its underweight versus the Index in SBA Communications (SBAC), a provider and operator of wireless communications infrastructure. Shares of SBAC outperformed during the COVID-19-related economic downturn near the beginning of the Reporting Period. The underweight also meant the Fund did not fully participate when SBAC posted gains late in the Reporting Period amid the rally in value-oriented stocks and as global infrastructure securities advanced on favorable COVID-19 vaccine news. At the end of the Reporting Period, the Fund remained underweight SBAC, but we maintained a position in the stock, as we had a favorable view of the company overall. SBAC could benefit from its investment in fifth-generation, or 5G, technology networks and from its tower revenue growth, which could accelerate into 2022, in our view. |
An investment in ENAV, the principal provider of air traffic control over Italian airspace, detracted from the Fund’s relative returns during the Reporting Period. Its stock was pressured by investor concerns about aviation volumes, which had fallen dramatically as people avoided air travel and as border crossing restrictions were implemented in most parts of the world. In addition, ENAV was not able to benefit from a European regulation that protects the company specifically if its passenger volumes fluctuate beyond a narrow band. Because of the unprecedented impact of the COVID-19 pandemic on global air travel, the European Union proposed a relief measure that helped all airlines. We considered this a temporary measure, which should not affect the underlying value of ENAV’s regulated business, and we believed the business remained attractively valued at the end of the Reporting Period. |
Enterprise Product Partners (EPD), a leading player in the North American midstream market, connects producers of natural gas, natural gas liquids and crude oil in major North American supply basins with U.S. and international consumers. (The midstream component of the energy industry is usually defined as those companies providing products or services that help link the supply side (i.e., energy producers) and the demand side (i.e., energy end-users) for any type of energy commodity. Such midstream businesses can include, but are not limited to, those that process, store, market and transport various energy commodities.) EPD owns approximately 50,000 miles of pipelines, approximately 14 billion cubic feet of natural gas storage, and approximately 260 million barrels of storage for natural gas liquids, refined products and crude oil. The company’s share price suffered severe weakness during the Reporting Period as a result of the COVID-19 pandemic and the ensuing collapse in crude oil prices, with market expectations for the company’s operations and ultimately its earnings negatively affected. While we believed EPD’s operations would be hurt less by the COVID-19 pandemic than its share price decline suggested, we chose to exit the Fund’s position during the Reporting Period and redeploy the capital to the stocks of companies we believed were better able to withstand a prolonged global economic downturn. |
3
PORTFOLIO RESULTS
Q | Were there any notable purchases or sales during the Reporting Period? |
A | Among the Fund’s notable purchases during the Reporting Period was a position in WEC Energy Group, a regulated utility company operating in the states of Wisconsin, Minnesota and Michigan. The company has historically been considered a premium utility given its operational excellence, favorable regulatory constructs, and strong management and balance sheet. As such, it has almost always traded at a wide premium to its peers. During the Reporting Period, we decided to take advantage of a span of underperformance to invest in the stock at what we considered to be a relatively attractive valuation. |
We established a Fund position in Guangdong Investment Limited (270-HK) (“Guangdong”), which operates a diverse portfolio of businesses involved in water supply, waste-water treatment, power generation, infrastructure (toll roads and property development) and property operations in China. Guangdong has a concession with the Guangdong provincial government to supply water to Hong Kong until 2030, providing the company with a source of relatively stable earnings and cash flow. In addition, we expect Guangdong’s water supply capacity in China to grow at a double-digit pace in the medium term, which should help drive earnings growth for the company’s water supply business segment, in our view. Guangdong was trading at a relatively attractive valuation during the Reporting Period because of investor uncertainties about the Hong Kong water tariff reset in 2021-2023 and its potential impact on the company’s dividend growth. We believed those risks were already factored into the stock price and a tariff announcement in October-November 2021 could remove an overhang from the stock and shift the market’s focus back to the company’s strong fundamentals. In our view, Guangdong offers an attractive long-term risk/reward profile with a high projected dividend growth rate in the next two years versus peers with flat dividend outlooks. |
Along with the sale of Enterprise Product Partners, mentioned earlier, the Fund eliminated its investment in Ferrovial, a Spanish construction group, after a period of outperformance. While we like Ferrovial’s asset portfolio, we felt its stock price did not properly reflect the potential impacts of COVID-19, especially on the company’s airport and Canadian toll road businesses. |
We exited the Fund’s position in Beijing Enterprises Water Group (371-HK) (“Beijing Enterprises”), a Hong Kong-based provider of various water and environmental protection services in China, Singapore, Malaysia and Portugal, following its earnings results for the first half of 2020. In our view, the company’s transition to an asset-light model and to positive free cash flow is likely to take much longer than anticipated. Its company management continues to focus on asset heavy investment projects in new areas despite Beijing Enterprises’ weak balance sheet and slow transition to an asset-light model in its core business. We believed the stock would continue to trade at a low valuation, as we expected Beijing Enterprises to generate negative free cash flow for the next four to five years while raising its already-high leverage. |
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 overweight position compared to the Index in the communications infrastructure sector increased, mainly because we added investments in telecommunications towers. In energy infrastructure, the Fund remained rather neutral compared to the Index, as it added exposure to energy MLPs and to gas and diversified energy infrastructure companies. The Fund’s underweight in the transportation infrastructure sector increased slightly, largely because we reduced its investments in airports and toll roads. Within utilities, the Fund grew more underweight relative to the Index, as we reduced its holdings of electric utilities. |
From a country perspective, compared to the Index, the Fund moved from a rather neutral position in the U.S. to an overweight position. It shifted from rather neutral positions in Canada, Spain and Hong Kong to underweight positions. In addition, at the beginning of the Reporting Period, the Fund had no exposure to Japan but became rather neutrally positioned compared to the Index as we added investments in |
4
PORTFOLIO RESULTS
that country. In addition, the Fund’s cash position increased modestly 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 overweight relative to the Index in the communications infrastructure sector. It was underweight the utilities and transportation infrastructure sectors. The Fund was rather neutrally positioned compared to the Index in the energy infrastructure sector. In geographic terms, the Fund was overweight relative to the Index in the U.S. and underweight in Canada, Spain and Hong Kong. |
Q | What is the Fund’s tactical view and strategy for the months ahead? |
A | At the end of the Reporting Period, we believed low interest rates and modest economic growth would be an excellent backdrop for global infrastructure securities. In addition, despite challenging macroeconomic conditions, long-term fundamentals within various sectors of global infrastructure were healthy, in our view. Furthermore, the financing environment remained accommodative for global infrastructure companies, which is particularly important given the capital intensive nature of these businesses. We also believed the favorable financing markets could be supportive of valuations. Although the global macro environment remained uncertain and volatile at the end of the Reporting Period, we believed infrastructure companies continued to hold niche positions in the global economy, as many of them provide essential services that help economies run effectively. They have strong business models, in our opinion, that typically feature stable demand, high barriers to entry, and regulated or long dated, contract-based cash flows. The investment attributes of the asset class are generally viewed favorably by many investors, especially compared to fixed income. At the end of the Reporting Period, we believed accommodative monetary policies and varying fundamentals at the sub-sector level may present compelling alpha opportunities for active managers. Overall, we believed global infrastructure securities may provide investors with attractive yields and lower volatility relative to the broader equity market and, given their long-term growth potential, inflation hedging opportunities and interest rate resiliency when compared to bonds. |
5
FUND BASICS
Global Infrastructure Fund
as of December 31, 2020
TOP 10 HOLDINGS AS OF 12/31/201 | ||||||||||
Holding | % of Net Assets | Line of Business | Country | |||||||
American Tower Corp. | 9.0 | % | Equity Real Estate Investment Trusts | United States | ||||||
Vinci SA | 5.4 | Construction & Engineering | France | |||||||
Crown Castle International Corp. | 5.2 | Equity Real Estate Investment Trusts | United States | |||||||
Enbridge, Inc. | 5.1 | Oil, Gas & Consumable Fuels | Canada | |||||||
National Grid PLC | 4.6 | Multi-Utilities | United Kingdom | |||||||
TC Energy Corp. | 3.9 | Oil, Gas & Consumable Fuels | Canada | |||||||
Sempra Energy | 3.9 | Multi-Utilities | United States | |||||||
SBA Communications Corp. | 3.7 | Equity Real Estate Investment Trusts | United States | |||||||
Transurban Group | 3.6 | Transportation Infrastructure | Australia | |||||||
Eversource Energy | 3.4 | Electric Utilities | 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, 2020 |
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 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.
6
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Performance Summary
December 31, 2020
The following graph shows the value, as of December 31, 2020, 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, 2020.
Average Annual Total Return through December 31, 2020* | One Year | Since Inception | ||||
Class A (Commenced June 27, 2016) | ||||||
Excluding sales charges | -3.97% | 5.83% | ||||
Including sales charges | -9.27% | 4.52% | ||||
| ||||||
Class C (Commenced June 27, 2016) | ||||||
Excluding contingent deferred sales charges | -4.78% | 5.04% | ||||
Including contingent deferred sales charges | -5.73% | 5.04% | ||||
| ||||||
Institutional (Commenced June 27, 2016) | -3.63% | 6.24% | ||||
| ||||||
Investor Class (Commenced June 27, 2016) | -3.80% | 6.09% | ||||
| ||||||
Class R6 (Commenced June 27, 2016) | -3.64% | 6.24% | ||||
| ||||||
Class R (Commenced June 27, 2016) | -4.24% | 5.58% | ||||
| ||||||
Class P (Commenced April 17, 2018) | -3.72% | 6.74% | ||||
|
* | 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 R6, Class R and Class P Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
7
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Index Definitions
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.
8
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
December 31, 2020
Shares | Description | Value | ||||||
Common Stocks – 95.3% | ||||||||
Australia – 5.1% | ||||||||
272,323 | APA Group (Gas Utilities) | $ | 2,026,213 | |||||
82,003 | NEXTDC Ltd. (IT Services)* | 773,813 | ||||||
615,656 | Transurban Group (Transportation Infrastructure) | 6,487,671 | ||||||
|
| |||||||
9,287,697 | ||||||||
|
| |||||||
Canada – 11.8% | ||||||||
286,785 | Enbridge, Inc. (Oil, Gas & Consumable Fuels) | 9,171,983 | ||||||
53,076 | Fortis, Inc. (Electric Utilities) | 2,168,240 | ||||||
125,889 | Pembina Pipeline Corp. (Oil, Gas & Consumable Fuels) | 2,976,871 | ||||||
173,095 | TC Energy Corp. (Oil, Gas & Consumable Fuels) | 7,037,211 | ||||||
|
| |||||||
21,354,305 | ||||||||
|
| |||||||
China – 3.5% | ||||||||
10,344,000 | China Tower Corp. Ltd., Class H (Diversified Telecommunication Services)(a) | 1,522,030 | ||||||
92,400 | ENN Energy Holdings Ltd. (Gas Utilities) | 1,356,405 | ||||||
5,607 | GDS Holdings Ltd. ADR (IT Services)* | 525,039 | ||||||
562,000 | Guangdong Investment Ltd. (Water Utilities) | 1,013,111 | ||||||
686,000 | Jiangsu Expressway Co. Ltd., Class H (Transportation Infrastructure) | 767,290 | ||||||
1,262,000 | Kunlun Energy Co. Ltd. (Gas Utilities) | 1,093,756 | ||||||
|
| |||||||
6,277,631 | ||||||||
|
| |||||||
Denmark – 0.6% | ||||||||
5,160 | Orsted A/S (Electric Utilities)(a) | 1,055,763 | ||||||
|
| |||||||
France – 6.8% | ||||||||
6,558 | Aeroports de Paris (Transportation Infrastructure)* | 848,447 | ||||||
67,261 | Veolia Environnement SA (Multi-Utilities) | 1,658,467 | ||||||
97,792 | Vinci SA (Construction & Engineering) | 9,740,944 | ||||||
|
| |||||||
12,247,858 | ||||||||
|
| |||||||
Hong Kong – 0.8% | ||||||||
943,161 | Hong Kong & China Gas Co. Ltd. (Gas Utilities) | 1,411,071 | ||||||
|
| |||||||
Italy – 5.4% | ||||||||
132,722 | Atlantia SpA (Transportation Infrastructure)* | 2,396,674 | ||||||
437,364 | Enav SpA (Transportation Infrastructure)(a) | 1,924,032 | ||||||
95,849 | Enel SpA (Electric Utilities) | 975,232 | ||||||
125,868 | Infrastrutture Wireless Italiane SpA (Diversified Telecommunication Services)(a) | 1,525,823 | ||||||
393,398 | Terna Rete Elettrica Nazionale SpA (Electric Utilities) | 3,022,923 | ||||||
|
| |||||||
9,844,684 | ||||||||
|
| |||||||
Japan – 1.1% | ||||||||
82,800 | Tokyo Gas Co. Ltd. (Gas Utilities) | 1,916,422 | ||||||
|
| |||||||
Spain – 4.9% | ||||||||
19,101 | Aena SME SA (Transportation Infrastructure)*(a) | 3,320,675 | ||||||
91,581 | Cellnex Telecom SA (Diversified Telecommunication Services)*(a) | 5,499,678 | ||||||
|
| |||||||
8,820,353 | ||||||||
|
| |||||||
United Kingdom – 6.3% | ||||||||
3,431 | Linde PLC (Chemicals) | 904,103 | ||||||
700,116 | National Grid PLC (Multi-Utilities) | 8,273,586 | ||||||
69,543 | Severn Trent PLC (Water Utilities) | 2,171,000 | ||||||
|
| |||||||
11,348,689 | ||||||||
|
| |||||||
United States – 49.0% | ||||||||
29,199 | AES Corp. (The) (Independent Power and Renewable Electricity Producers) | 686,176 | ||||||
20,644 | Ameren Corp. (Multi-Utilities) | 1,611,470 | ||||||
72,489 | American Tower Corp. (Equity Real Estate Investment Trusts (REITs)) | 16,270,881 | ||||||
37,043 | American Water Works Co., Inc. (Water Utilities) | 5,684,989 | ||||||
21,999 | Americold Realty Trust (Equity Real Estate Investment Trusts (REITs) (REITs)) | 821,223 | ||||||
37,418 | Atmos Energy Corp. (Gas Utilities) | 3,570,800 | ||||||
73,986 | CenterPoint Energy, Inc. (Multi-Utilities) | 1,601,057 | ||||||
76,690 | Cheniere Energy, Inc. (Oil, Gas & Consumable Fuels)* | 4,603,701 | ||||||
34,088 | CMS Energy Corp. (Multi-Utilities) | 2,079,709 | ||||||
25,596 | Consolidated Edison, Inc. (Multi-Utilities) | 1,849,823 | ||||||
59,287 | Crown Castle International Corp. (Equity Real Estate Investment Trusts (REITs)) | 9,437,897 | ||||||
13,107 | CyrusOne, Inc. (Equity Real Estate Investment Trusts (REITs)) | 958,777 | ||||||
63,000 | Edison International (Electric Utilities) | 3,957,660 | ||||||
1,405 | Equinix, Inc. (Equity Real Estate Investment Trusts (REITs)) | 1,003,423 | ||||||
71,715 | Eversource Energy (Electric Utilities) | 6,204,065 | ||||||
214,702 | Kinder Morgan, Inc. (Oil, Gas & Consumable Fuels) | 2,934,976 | ||||||
28,279 | Magellan Midstream Partners LP (Oil, Gas & Consumable Fuels) | 1,200,161 | ||||||
22,887 | NextEra Energy, Inc. (Electric Utilities) | 1,765,732 | ||||||
40,179 | ONEOK, Inc. (Oil, Gas & Consumable Fuels) | 1,542,070 | ||||||
13,941 | Public Service Enterprise Group, Inc. (Multi-Utilities) | 812,760 |
The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Schedule of Investments (continued)
December 31, 2020
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
23,628 | SBA Communications Corp. (Equity Real Estate Investment Trusts (REITs)) | $ | 6,666,168 | |||||
55,168 | Sempra Energy (Multi-Utilities) | 7,028,955 | ||||||
73,800 | Targa Resources Corp. (Oil, Gas & Consumable Fuels) | 1,946,844 | ||||||
8,446 | Waste Connections, Inc. (Commercial Services & Supplies) | 866,306 | ||||||
8,561 | WEC Energy Group, Inc. (Multi-Utilities) | 787,869 | ||||||
132,555 | Williams Cos., Inc. (The) (Oil, Gas & Consumable Fuels) | 2,657,728 | ||||||
|
| |||||||
88,551,220 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $145,445,704) | $ | 172,115,693 | ||||||
|
|
Shares | Dividend Rate | Value | ||||||||
Investment Company – 1.6%(b) | ||||||||||
2,834,469 | Goldman Sachs Financial Square Government Fund – Institutional Shares | 0.026 | % | $ | 2,834,469 | |||||
(Cost $2,834,469) |
| |||||||||
| ||||||||||
TOTAL INVESTMENTS – 96.9% |
| |||||||||
(Cost $148,280,173) |
| $ | 174,950,162 | |||||||
| ||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 3.1% |
| 5,649,080 | ||||||||
| ||||||||||
NET ASSETS – 100.0% |
| $ | 180,599,242 | |||||||
|
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: | ||||
ADR | —American Depositary Receipt | |||
LP | —Limited Partnership | |||
PLC | —Public Limited Company | |||
REIT | —Real Estate Investment Trust | |||
|
10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Statement of Assets and Liabilities
December 31, 2020
| ||||||
Assets: | ||||||
Investments in unaffiliated issuers, at value (cost $145,445,704) | $ | 172,115,693 | ||||
Investments in affiliated issuers, at value (cost $2,834,469) | 2,834,469 | |||||
Cash | 636,773 | |||||
Foreign currency, at value (cost $83,031) | 83,302 | |||||
Receivables: | ||||||
Fund shares sold | 4,640,000 | |||||
Dividends | 629,029 | |||||
Foreign tax reclaims | 67,402 | |||||
Reimbursement from investment adviser | 41,908 | |||||
Other assets | 38,343 | |||||
Total assets | 181,086,919 | |||||
Liabilities: | ||||||
Payables: | ||||||
Fund shares redeemed | 163,058 | |||||
Management fees | 133,509 | |||||
Distribution and Service fees and Transfer Agency fees | 5,492 | |||||
Accrued expenses | 185,618 | |||||
Total liabilities | 487,677 | |||||
Net Assets: | ||||||
Paid-in capital | 159,960,032 | |||||
Total distributable earnings | 20,639,210 | |||||
NET ASSETS | $ | 180,599,242 | ||||
Net Assets: | ||||||
Class A | $ | 356,873 | ||||
Class C | 868,402 | |||||
Institutional | 6,772,192 | |||||
Investor | 181,063 | |||||
Class R6 | 160,303,900 | |||||
Class R | 31,939 | |||||
Class P | 12,084,873 | |||||
Total Net Assets | $ | 180,599,242 | ||||
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | ||||||
Class A | 30,295 | |||||
Class C | 74,200 | |||||
Institutional | 573,992 | |||||
Investor | 15,368 | |||||
Class R6 | 13,617,986 | |||||
Class R | 2,712 | |||||
Class P | 1,027,202 | |||||
Net asset value, offering and redemption price per share:(a) | ||||||
Class A | $11.78 | |||||
Class C | 11.70 | |||||
Institutional | 11.80 | |||||
Investor | 11.78 | |||||
Class R6 | 11.77 | |||||
Class R | 11.78 | |||||
Class P | 11.76 |
(a) | Maximum public offering price per share for Class A Shares is $12.47. At redemption, Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value (“NAV”) or the original purchase price of the shares. |
The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Statement of Operations
For the Fiscal Year Ended December 31, 2020
| ||||||
Investment income: |
| |||||
Dividends — unaffiliated issuers (net of foreign withholding taxes of $295,084) | $ | 4,221,359 | ||||
Dividends — affiliated issuers | 9,524 | |||||
Total investment income | 4,230,883 | |||||
Expenses: | ||||||
Management fees | 1,485,471 | |||||
Professional fees | 133,589 | |||||
Registration fees | 110,584 | |||||
Custody, accounting and administrative services | 64,443 | |||||
Transfer Agency fees(a) | 52,756 | |||||
Printing and mailing costs | 51,612 | |||||
Trustee fees | 21,178 | |||||
Distribution and Service (12b-1) fees(a) | 10,972 | |||||
Service fees – Class C | 3,211 | |||||
Other | 24,780 | |||||
Total expenses | 1,958,596 | |||||
Less — expense reductions | (321,619 | ) | ||||
Net expenses | 1,636,977 | |||||
NET INVESTMENT INCOME | 2,593,906 | |||||
Realized and unrealized gain (loss): |
| |||||
Net realized gain (loss) from: | ||||||
Investments — unaffiliated issuers | 985,714 | |||||
Foreign currency transactions | 17,810 | |||||
Net change in unrealized gain (loss) on: | ||||||
Investments — unaffiliated issuers | (12,047,807 | ) | ||||
Foreign currency translations | 2,581 | |||||
Net realized and unrealized loss | (11,041,702 | ) | ||||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (8,447,796 | ) |
(a) | Class specific Distribution and/or Service and Transfer Agency fees were as follows: |
Distribution and/or Service (12b-1) Fees | Transfer Agency Fees | |||||||||||||||||||||||||||||||||||||
Class A | Class C | Class R | Class A | Class C | Institutional | Investor | Class R6 | Class R | Class P | |||||||||||||||||||||||||||||
$ | 1,184 | $ | 9,633 | $ | 155 | $ | 787 | $ | 2,137 | $ | 1,517 | $ | 514 | $ | 46,126 | $ | 51 | $ | 1,624 |
12 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Statements of Changes in Net Assets
For the Fiscal Year Ended December 31, 2020 | For the Fiscal Year Ended December 31, 2019 | |||||||||
From operations: | ||||||||||
Net investment income | $ | 2,593,906 | $ | 3,854,390 | ||||||
Net realized gain | 1,003,524 | 4,781,394 | ||||||||
Net change in unrealized gain (loss) | (12,045,226 | ) | 46,866,709 | |||||||
Net increase (decrease) in net assets resulting from operations | (8,447,796 | ) | 55,502,493 | |||||||
Distributions to shareholders: | ||||||||||
From distributable earnings: | ||||||||||
Class A Shares | (5,116 | ) | (20,091 | ) | ||||||
Class C Shares | (7,652 | ) | (27,010 | ) | ||||||
Institutional Shares | (90,063 | ) | (20,186 | ) | ||||||
Investor Shares | (2,579 | ) | (12,761 | ) | ||||||
Class R6 Shares | (2,440,099 | ) | (3,816,226 | ) | ||||||
Class R Shares | (355 | ) | (454 | ) | ||||||
Class P Shares | (111,437 | ) | (63,205 | ) | ||||||
From return of capital: | ||||||||||
Class A Shares | (1,185 | ) | (2,714 | ) | ||||||
Class C Shares | (1,773 | ) | (3,648 | ) | ||||||
Institutional Shares | (20,864 | ) | (2,727 | ) | ||||||
Investor Shares | (597 | ) | (1,724 | ) | ||||||
Class R6 Shares | (565,276 | ) | (515,445 | ) | ||||||
Class R Shares | (82 | ) | (61 | ) | ||||||
Class P Shares | (25,815 | ) | (8,537 | ) | ||||||
Total distributions to shareholders | (3,272,893 | ) | (4,494,789 | ) | ||||||
From share transactions: | ||||||||||
Proceeds from sales of shares | 38,721,064 | 20,968,802 | ||||||||
Reinvestment of distributions | 3,272,887 | 4,494,560 | ||||||||
Cost of shares redeemed | (46,559,951 | ) | (69,969,887 | ) | ||||||
Net decrease in net assets resulting from share transactions | (4,566,000 | ) | (44,506,525 | ) | ||||||
TOTAL INCREASE (DECREASE) | (16,286,689 | ) | 6,501,179 | |||||||
Net assets: | ||||||||||
Beginning of year | 196,885,931 | 190,384,752 | ||||||||
End of year | $ | 180,599,242 | $ | 196,885,931 |
The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Global Infrastructure Fund | ||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||
Year Ended December 31, | Period Ended December 31, 2016(a) | |||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | |||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of period | $ | 12.47 | $ | 9.68 | $ | 10.85 | $ | 9.89 | $ | 10.00 | ||||||||||||
Net investment income(b) | 0.14 | 0.18 | 0.19 | 0.22 | (c) | 0.06 | ||||||||||||||||
Net realized and unrealized gain (loss) | (0.64 | ) | 2.83 | (1.19 | ) | 0.99 | 0.01 | |||||||||||||||
Total from investment operations | (0.50 | ) | 3.01 | (1.00 | ) | 1.21 | 0.07 | |||||||||||||||
Distributions to shareholders from net investment income | (0.16 | ) | (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 | ) | (0.03 | ) | — | — | (d) | (0.01 | ) | |||||||||||||
Total distributions | (0.19 | ) | (0.22 | ) | (0.17 | ) | (0.25 | ) | (0.18 | ) | ||||||||||||
Net asset value, end of period | $ | 11.78 | $ | 12.47 | $ | 9.68 | $ | 10.85 | $ | 9.89 | ||||||||||||
Total Return(e) | (3.97 | )% | 31.22 | % | (9.31 | )% | 12.29 | % | 0.69 | % | ||||||||||||
Net assets, end of period (in 000’s) | $ | 357 | $ | 782 | $ | 1,376 | $ | 40 | $ | 25 | ||||||||||||
Ratio of net expenses to average net assets | 1.34 | % | 1.36 | % | 1.38 | % | 1.38 | % | 1.40 | %(f) | ||||||||||||
Ratio of total expenses to average net assets | 1.56 | % | 1.51 | % | 1.51 | % | 6.20 | % | 15.63 | %(f) | ||||||||||||
Ratio of net investment income to average net assets | 1.17 | % | 1.53 | % | 1.83 | % | 2.04 | %(c) | 1.19 | %(f) | ||||||||||||
Portfolio turnover rate(g) | 57 | % | 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 | ||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||
Year Ended December 31, | Period Ended December 31, 2016(a) | |||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | |||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of period | $ | 12.41 | $ | 9.65 | $ | 10.84 | $ | 9.88 | $ | 10.00 | ||||||||||||
Net investment income(b) | 0.02 | 0.11 | 0.10 | 0.13 | (c) | 0.02 | ||||||||||||||||
Net realized and unrealized gain (loss) | (0.62 | ) | 2.80 | (1.17 | ) | 1.00 | 0.01 | |||||||||||||||
Total from investment operations | (0.60 | ) | 2.91 | (1.07 | ) | 1.13 | 0.03 | |||||||||||||||
Distributions to shareholders from net investment income | (0.09 | ) | (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 | ) | (0.02 | ) | — | — | (d) | (0.01 | ) | |||||||||||||
Total distributions | (0.11 | ) | (0.15 | ) | (0.12 | ) | (0.17 | ) | (0.15 | ) | ||||||||||||
Net asset value, end of period | $ | 11.70 | $ | 12.41 | $ | 9.65 | $ | 10.84 | $ | 9.88 | ||||||||||||
Total Return(e) | (4.78 | )% | 30.31 | % | (9.96 | )% | 11.46 | % | 0.30 | % | ||||||||||||
Net assets, end of period (in 000’s) | $ | 868 | $ | 2,607 | $ | 1,383 | $ | 57 | $ | 51 | ||||||||||||
Ratio of net expenses to average net assets | 2.09 | % | 2.11 | % | 2.13 | % | 2.14 | % | 2.14 | %(f) | ||||||||||||
Ratio of total expenses to average net assets | 2.30 | % | 2.26 | % | 2.26 | % | 7.06 | % | 16.73 | %(f) | ||||||||||||
Ratio of net investment income to average net assets | 0.21 | % | 1.01 | % | 1.00 | % | 1.24 | %(c) | 0.46 | %(f) | ||||||||||||
Portfolio turnover rate(g) | 57 | % | 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. | 15 |
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) | |||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | |||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of period | $ | 12.50 | $ | 9.71 | $ | 10.85 | $ | 9.89 | $ | 10.00 | ||||||||||||
Net investment income(b) | 0.21 | 0.19 | 0.06 | 0.29 | (c) | 0.08 | ||||||||||||||||
Net realized and unrealized gain (loss) | (0.68 | ) | 2.87 | (1.02 | ) | 0.96 | 0.01 | |||||||||||||||
Total from investment operations | (0.47 | ) | 3.06 | (0.96 | ) | 1.25 | 0.09 | |||||||||||||||
Distributions to shareholders from net investment income | (0.17 | ) | (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 | (0.06 | ) | (0.03 | ) | — | (0.01 | ) | (0.01 | ) | |||||||||||||
Total distributions | (0.23 | ) | (0.27 | ) | (0.18 | ) | (0.29 | ) | (0.20 | ) | ||||||||||||
Net asset value, end of period | $ | 11.80 | $ | 12.50 | $ | 9.71 | $ | 10.85 | $ | 9.89 | ||||||||||||
Total Return(d) | (3.63 | )% | 31.66 | % | (8.89 | )% | 12.72 | % | 0.89 | % | ||||||||||||
Net assets, end of period (in 000’s) | $ | 6,772 | $ | 1,264 | $ | 1,737 | $ | 222,546 | $ | 2,906 | ||||||||||||
Ratio of net expenses to average net assets | 0.99 | % | 1.00 | % | 0.99 | % | 0.99 | % | 0.99 | %(e) | ||||||||||||
Ratio of total expenses to average net assets | 1.19 | % | 1.13 | % | 1.06 | % | 1.29 | % | 15.23 | %(e) | ||||||||||||
Ratio of net investment income to average net assets | 1.82 | % | 1.70 | % | 0.54 | % | 2.65 | %(c) | 1.59 | %(e) | ||||||||||||
Portfolio turnover rate(f) | 57 | % | 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. |
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 | ||||||||||||||||||||||
Investor Shares | ||||||||||||||||||||||
Year Ended December 31, | Period Ended December 31, 2016(a) | |||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | |||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of period | $ | 12.47 | $ | 9.68 | $ | 10.85 | $ | 9.89 | $ | 10.00 | ||||||||||||
Net investment income(b) | 0.10 | 0.22 | 0.20 | 0.24 | (c) | 0.08 | ||||||||||||||||
Net realized and unrealized gain (loss) | (0.58 | ) | 2.82 | (1.18 | ) | 0.99 | — | (d) | ||||||||||||||
Total from investment operations | (0.48 | ) | 3.04 | (0.98 | ) | 1.23 | 0.08 | |||||||||||||||
Distributions to shareholders from net investment income | (0.19 | ) | (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 | (0.02 | ) | (0.03 | ) | — | (0.01 | ) | (0.01 | ) | |||||||||||||
Total distributions | (0.21 | ) | (0.25 | ) | (0.19 | ) | (0.27 | ) | (0.19 | ) | ||||||||||||
Net asset value, end of period | $ | 11.78 | $ | 12.47 | $ | 9.68 | $ | 10.85 | $ | 9.89 | ||||||||||||
Total Return(e) | (3.80 | )% | 31.49 | % | (9.00 | )% | 12.56 | % | 0.91 | % | ||||||||||||
Net assets, end of period (in 000’s) | $ | 181 | $ | 929 | $ | 279 | $ | 28 | $ | 25 | ||||||||||||
Ratio of net expenses to average net assets | 1.09 | % | 1.10 | % | 1.13 | % | 1.14 | % | 0.95 | %(f) | ||||||||||||
Ratio of total expenses to average net assets | 1.29 | % | 1.26 | % | 1.25 | % | 6.05 | % | 15.19 | %(f) | ||||||||||||
Ratio of net investment income to average net assets | 0.86 | % | 1.96 | % | 1.95 | % | 2.23 | %(c) | 1.63 | %(f) | ||||||||||||
Portfolio turnover rate(g) | 57 | % | 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. | 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 R6 Shares | ||||||||||||||||||||||
Year Ended December 31, | Period Ended December 31, 2016(a) | |||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | |||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of period | $ | 12.47 | $ | 9.69 | $ | 10.85 | $ | 9.89 | $ | 10.00 | ||||||||||||
Net investment income(b) | 0.18 | 0.23 | 0.22 | 0.26 | (c) | 0.09 | ||||||||||||||||
Net realized and unrealized gain (loss) | (0.65 | ) | 2.82 | (1.18 | ) | 0.99 | — | (d) | ||||||||||||||
Total from investment operations | (0.47 | ) | 3.05 | (0.96 | ) | 1.25 | 0.09 | |||||||||||||||
Distributions to shareholders from net investment income | (0.19 | ) | (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 | (0.04 | ) | (0.03 | ) | — | (0.01 | ) | (0.01 | ) | |||||||||||||
Total distributions | (0.23 | ) | (0.27 | ) | (0.20 | ) | (0.29 | ) | (0.20 | ) | ||||||||||||
Net asset value, end of period | $ | 11.77 | $ | 12.47 | $ | 9.69 | $ | 10.85 | $ | 9.89 | ||||||||||||
Total Return(e) | (3.64 | )% | 31.63 | % | (8.88 | )% | 12.74 | % | 0.56 | % | ||||||||||||
Net assets, end of period (in 000’s) | $ | 160,304 | $ | 187,335 | $ | 183,306 | $ | 28 | $ | 25 | ||||||||||||
Ratio of net expenses to average net assets | 0.98 | % | 0.99 | % | 0.98 | % | 0.97 | % | 1.65 | %(f) | ||||||||||||
Ratio of total expenses to average net assets | 1.18 | % | 1.11 | % | 1.10 | % | 5.88 | % | 15.88 | %(f) | ||||||||||||
Ratio of net investment income to average net assets | 1.57 | % | 1.94 | % | 2.17 | % | 2.40 | %(c) | 0.93 | %(f) | ||||||||||||
Portfolio turnover rate(g) | 57 | % | 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 R Shares | ||||||||||||||||||||||
Year Ended December 31, | Period Ended December 31, 2016(a) | |||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | |||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of period | $ | 12.48 | $ | 9.69 | $ | 10.85 | $ | 9.89 | $ | 10.00 | ||||||||||||
Net investment income(b) | 0.12 | 0.16 | 0.14 | 0.18 | (c) | 0.05 | ||||||||||||||||
Net realized and unrealized gain (loss) | (0.66 | ) | 2.82 | (1.16 | ) | 1.00 | 0.01 | |||||||||||||||
Total from investment operations | (0.54 | ) | 2.98 | (1.02 | ) | 1.18 | 0.06 | |||||||||||||||
Distributions to shareholders from net investment income | (0.13 | ) | (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 | (0.03 | ) | (0.02 | ) | — | — | (d) | (0.01 | ) | |||||||||||||
Total distributions | (0.16 | ) | (0.19 | ) | (0.14 | ) | (0.22 | ) | (0.17 | ) | ||||||||||||
Net asset value, end of period | $ | 11.78 | $ | 12.48 | $ | 9.69 | $ | 10.85 | $ | 9.89 | ||||||||||||
Total Return(e) | (4.24 | )% | 30.94 | % | (9.49 | )% | 12.00 | % | 0.82 | % | ||||||||||||
Net assets, end of period (in 000’s) | $ | 32 | $ | 33 | $ | 25 | $ | 28 | $ | 25 | ||||||||||||
Ratio of net expenses to average net assets | 1.59 | % | 1.61 | % | 1.63 | % | 1.64 | % | 1.15 | %(f) | ||||||||||||
Ratio of total expenses to average net assets | 1.82 | % | 1.77 | % | 1.75 | % | 6.55 | % | 15.38 | %(f) | ||||||||||||
Ratio of net investment income to average net assets | 1.01 | % | 1.42 | % | 1.30 | % | 1.74 | %(c) | 1.44 | %(f) | ||||||||||||
Portfolio turnover rate(g) | 57 | % | 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
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, | Period Ended December 31, 2018(a) | |||||||||||||
2020 | 2019 | |||||||||||||
Per Share Data |
| |||||||||||||
Net asset value, beginning of period | $ | 12.47 | $ | 9.68 | $ | 10.47 | ||||||||
Net investment income(b) | 0.21 | 0.23 | 0.12 | |||||||||||
Net realized and unrealized gain (loss) | (0.69 | ) | 2.83 | (0.73 | ) | |||||||||
Total from investment operations | (0.48 | ) | 3.06 | (0.61 | ) | |||||||||
Distributions to shareholders from net investment income | (0.17 | ) | (0.24 | ) | (0.18 | ) | ||||||||
Distributions to shareholders from return of capital | (0.06 | ) | (0.03 | ) | — | |||||||||
Total distributions | (0.23 | ) | (0.27 | ) | (0.18 | ) | ||||||||
Net asset value, end of period | $ | 11.76 | $ | 12.47 | $ | 9.68 | ||||||||
Total Return(c) | (3.72 | )% | 31.77 | % | (5.91 | )% | ||||||||
Net assets, end of period (in 000’s) | $ | 12,085 | $ | 3,936 | $ | 2,278 | ||||||||
Ratio of net expenses to average net assets | 0.98 | % | 0.99 | % | 0.98 | %(d) | ||||||||
Ratio of total expenses to average net assets | 1.18 | % | 1.12 | % | 1.14 | %(d) | ||||||||
Ratio of net investment income to average net assets | 1.77 | % | 1.99 | % | 1.68 | %(d) | ||||||||
Portfolio turnover rate(e) | 57 | % | 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. |
20 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
December 31, 2020
1. ORGANIZATION |
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. Goldman Sachs Global Infrastructure Fund (the “Fund”) is a non-diversified portfolio and currently offers seven classes of shares: Class A, Class C, Institutional, Investor, Class R6, Class R, and Class P Shares.
Class A Shares are sold with a front-end sales charge of up to 5.50%. Class C Shares are sold with a contingent deferred sales charge (“CDSC”) of 1.00%, which is imposed on redemptions made within 12 months of purchase. Institutional, Investor, Class R6, Class R, and Class P 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 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 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 and/or a return of capital. A return of capital is recorded by the Fund as a reduction to the cost basis of the REIT. The Fund records its pro-rata share of the income/loss and capital gains/losses, allocated from the underlying partnerships and adjusts the cost basis of the underlying partnerships accordingly.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, and non-class specific expenses of the Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by the Fund are charged to the Fund, while such expenses incurred by the Trust are allocated across the Fund on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class-specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agency and Service fees.
D. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Net investment income distributions are declared and paid quarterly, 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.
21
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Notes to Financial Statements (continued)
December 31, 2020
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 level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. 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 GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Fund’s investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a United States (“U.S.”) securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities will be valued at the valid closing bid price for long positions and at the valid closing ask price for short positions (i.e. where there is sufficient volume, during normal exchange trading hours). If no valid bid/ask price is available, the equity security will be valued pursuant to the Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. To the extent these investments are actively traded, they are classified
22
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. Certain equity securities containing unique attributes may be 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 Fair 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.
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, 2020:
GLOBAL INFRASTRUCTURE FUND |
| |||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Asia | $ | 525,039 | $ | 9,080,085 | $ | — | ||||||
Europe | 904,103 | 42,413,244 | — | |||||||||
North America | 109,905,525 | — | — | |||||||||
Oceania | — | 9,287,697 | — | |||||||||
Investment Company | 2,834,469 | — | — | |||||||||
Total | $ | 114,169,136 | $ | 60,781,026 | $ | — |
(a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of NAV. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile noted in table. 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 and paid monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
23
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Notes to Financial Statements (continued)
December 31, 2020
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the fiscal year ended December 31, 2020, 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, 2020, GSAM waived $4,040 of the Fund’s management fee.
B. Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A and Class R Shares of the Fund, has adopted Distribution and Service Plans subject to Rule 12b-1 under the Act. Under the Distribution and Service Plans, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class A or Class R Shares of the Fund, as applicable, as set forth below.
The Trust, on behalf of Class C Shares of the Fund, has adopted a Distribution Plan subject to Rule 12b-1 under the Act. Under the Distribution Plan, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class C Shares of the Fund, as set forth below.
Distribution and/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. During the fiscal year ended December 31, 2020, Goldman Sachs retained $398 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: 0.16% 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 R6 and Class P Shares; and 0.04% of the average daily net assets of Institutional Shares. Prior to July 1, 2020, the fee rate for such transfer agency services was 0.17% of the average daily net assets of Class A, Class C, Investor and Class R Shares.
Effective April 29, 2020, Goldman Sachs has agreed to waive a portion of its transfer agency fee equal to 0.02% of the average daily net assets attributable to Class A, Class C, Investor and Class R Shares of the Fund through April 29, 2021. Prior to
24
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
such date, Goldman Sachs may not terminate the arrangement without approval of the Board of Trustees. Prior to April 29, 2020, Goldman Sachs waived a portion of its transfer agency fee equal to 0.03% of the average daily net assets attributable to 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 limitation as an annual percentage rate of average daily net assets for the Fund is 0.054%. This Other Expense limitation will remain in place through at least April 30, 2021 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, 2020, 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 | |||||||||||
$ | 4,040 | $ | 527 | $ | 317,052 | $ | 321,619 |
G. Line of Credit Facility — As of December 31, 2020, the Fund participated in a $700,000,000 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, 2020, the Fund did not have any borrowings under the facility. Prior to April 28, 2020, the facility was $580,000,000.
H. Other Transactions with Affiliates — The following table provides information about the Fund’s investments in the Underlying Fund as of and for the fiscal year ended December 31, 2020:
Underlying Fund | Beginning Value as of | Purchases at Cost | Proceeds from Sales | Ending Value as of | Shares as of December 31, 2020 | Dividend Income | ||||||||||||||
Goldman Sachs Financial Square Government Fund — Institutional Shares | $1,897,089 | $65,282,442 | ($ | 64,345,062 | ) | $ | 2,834,469 | 2,834,469 | $ | 9,524 |
As of December 31, 2020, The Goldman Sachs Group, Inc. was the beneficial owner of approximately the following percentages with respect to each share class of the Fund (as applicable):
Percentage of Share Class owned by Goldman Sachs, Inc. | ||||||||||||
Fund | Institutional | Investor | Class R | |||||||||
Global Infrastructure Fund | 6 | % | 18 | % | 100 | % |
25
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Notes to Financial Statements (continued)
December 31, 2020
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
As of December 31, 2020, the following Goldman Sachs Fund of Funds Portfolios and Goldman Sachs Global Tax-Aware Equity Portfolio were beneficial owners of 5% or more of total outstanding shares of the Fund:
Fund/Portfolio | Goldman Sachs Enhanced Dividend Global Equity | Goldman Sachs Tax-Advantaged Global Equity | Goldman Sachs Strategies | Goldman Sachs Dynamic Global Equity | Goldman Sachs Strategy | Goldman Sachs Growth and Income Strategy | Goldman Sachs Strategy | |||||||||||||||||||||
Global Infrastructure Fund | 6 | % | 37 | % | 15 | % | 7 | % | 9 | % | 9 | % | 5 | % |
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, 2020, were $93,001,321 and $103,042,357.
6. TAX INFORMATION |
The tax character of distributions paid during the fiscal years ended December 31, was as follows:
2020 | 2019 | |||||||
Distribution paid from: | ||||||||
Ordinary income | $ | 2,657,301 | $ | 3,959,934 | ||||
Net long-term capital gains | — | — | ||||||
Total taxable distributions | $ | 2,657,301 | $ | 3,959,934 | ||||
Tax return of capital | $ | 615,592 | $ | 534,855 |
As of December 31, 2020, 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 | $ | (888,676 | ) | |
Other (Real Estate Investment Trusts) | $ | 4,181 | ||
Unrealized gains (losses) — net | $ | 21,523,705 | ||
Total accumulated earnings (losses) — net | $ | 20,639,210 |
(1) | During the fiscal year ended December 31, 2020, the Fund utilized $1,114,830 in capital loss carryforwards from prior years. |
26
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
6. TAX INFORMATION (continued) |
As of December 31, 2020, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Tax Cost | $ | 153,436,702 | ||
Gross unrealized gain | 25,700,576 | |||
Gross unrealized loss | (4,176,871 | ) | ||
Net unrealized gains (losses) on securities | $ | 21,523,705 |
The difference between GAAP-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales and differences in the tax treatment of partnership investments.
The Fund reclassed $47,942 from paid in capital to distributable earnings for the year ending December 31, 2020. 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’s and result primarily from return of capital distributions.
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:
Dividend-Paying Investments Risk — A Fund’s investments in dividend-paying securities could cause a Fund to underperform other funds. Securities that pay dividends, as a group, can fall out of favor with the market, causing such securities to underperform securities that do not pay dividends. Depending upon market conditions and political and legislative responses to such conditions, dividend-paying securities that meet a Fund’s investment criteria may not be widely available and/or may be highly concentrated in only a few market sectors. In addition, issuers that have paid regular dividends or distributions to shareholders may not continue to do so at the same level or at all in the future. This may limit the ability of a Fund to produce current income.
Foreign Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the United States. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social stability in the countries in which the Fund invests. The imposition of exchange controls (including repatriation restrictions), 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.
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.
27
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Notes to Financial Statements (continued)
December 31, 2020
7. OTHER RISKS (continued) |
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 of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include the Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of the Fund. Such large shareholder redemptions, 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). The value of the securities in which the Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, acts of terrorism, social unrest, natural disasters, the spread of infectious illness or other public health threats could also significantly impact the Fund and its investments. 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.
Non-Diversification Risk — The Fund is non-diversified, meaning that it is permitted to invest a larger percentage of its assets in fewer issuers than diversified mutual funds. Thus, the Fund may be more susceptible to adverse developments affecting any single issuer held in its portfolio, and may be more susceptible to greater losses because of these developments.
8. INDEMNIFICATIONS |
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
28
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
9. OTHER MATTERS |
On October 22, 2020, Goldman Sachs announced a settlement of matters involving 1Malaysia Development Bhd. (1MDB), a Malaysian sovereign wealth fund, with the United States Department of Justice as well as criminal and civil authorities in the UK, Singapore and Hong Kong. Further information regarding the 1MDB settlement can be found at https://www.goldmansachs.com/media-relations/press-releases/current/goldman-sachs-2020-10-22.html. The 1MDB settlement will not materially adversely affect GSAM’s ability to serve as investment manager.
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.
29
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Notes to Financial Statements (continued)
December 31, 2020
11. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
Global Infrastructure Fund | ||||||||||||||||
|
| |||||||||||||||
For the Fiscal Year Ended December 31, 2020 | For the Fiscal Year Ended December 31, 2019 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 19,509 | $ | 214,521 | 22,343 | $ | 256,447 | ||||||||||
Reinvestment of distributions | 556 | 6,297 | 1,962 | 22,805 | ||||||||||||
Shares redeemed | (52,450 | ) | (618,502 | ) | (103,775 | ) | (1,214,946 | ) | ||||||||
(32,385 | ) | (397,684 | ) | (79,470 | ) | (935,694 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 3,679 | 42,098 | 87,858 | 984,673 | ||||||||||||
Reinvestment of distributions | 835 | 9,425 | 2,621 | 30,658 | ||||||||||||
Shares redeemed | (140,458 | ) | (1,691,394 | ) | (23,685 | ) | (281,848 | ) | ||||||||
(135,944 | ) | (1,639,871 | ) | 66,794 | 733,483 | |||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 551,603 | 6,402,366 | 64,277 | 731,681 | ||||||||||||
Reinvestment of distributions | 9,718 | 110,927 | 1,912 | 22,684 | ||||||||||||
Shares redeemed | (88,408 | ) | (991,768 | ) | (144,031 | ) | (1,440,884 | ) | ||||||||
472,913 | 5,521,525 | (77,842 | ) | (686,519 | ) | |||||||||||
Investor Shares | ||||||||||||||||
Shares sold | 10,374 | 122,405 | 44,811 | 520,476 | ||||||||||||
Reinvestment of distributions | 279 | 3,176 | 1,223 | 14,485 | ||||||||||||
Shares redeemed | (69,764 | ) | (851,790 | ) | (329 | ) | (3,972 | ) | ||||||||
(59,111 | ) | (726,209 | ) | 45,705 | 530,989 | |||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 1,962,813 | 22,933,180 | 1,561,568 | 17,479,495 | ||||||||||||
Reinvestment of distributions | 266,003 | 3,005,374 | 369,241 | 4,331,671 | ||||||||||||
Shares redeemed | (3,628,004 | ) | (41,650,565 | ) | (5,840,148 | ) | (66,907,233 | ) | ||||||||
(1,399,188 | ) | (15,712,011 | ) | (3,909,339 | ) | (45,096,067 | ) | |||||||||
Class R Shares | ||||||||||||||||
Reinvestment of distributions | 38 | 436 | 44 | 515 | ||||||||||||
38 | 436 | 44 | 515 | |||||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 766,138 | 9,006,494 | 85,018 | 996,030 | ||||||||||||
Reinvestment of distributions | 11,996 | 137,252 | 6,083 | 71,742 | ||||||||||||
Shares redeemed | (66,684 | ) | (755,932 | ) | (10,754 | ) | (121,004 | ) | ||||||||
711,450 | 8,387,814 | 80,347 | 946,768 | |||||||||||||
NET DECREASE | (442,227 | ) | $ | (4,566,000 | ) | (3,873,761 | ) | $ | (44,506,525 | ) |
30
Report of Independent Registered Public Accounting Firm
To the 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, 2020, the related statement of operations for the year ended December 31, 2020, the statements of changes in net assets for each of the two years in the period ended December 31, 2020, 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, 2020, 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, 2020 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, 2020 by correspondence with the custodian and transfer agent. We believe that our audits provide a reasonable basis for our opinion.
/s/PricewaterhouseCoopers LLP
Boston, Massachusetts
February 25, 2021
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
31
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 |
32
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Fund Expenses (Unaudited) — Six Month Period Ended December 31, 2020 |
As a shareholder of Class A, Class C, Institutional, Investor, Class R6, Class R and Class P 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 R6, Class R and Class P 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, 2020 through December 31, 2020, which represents a period of 184 days in a 366 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the 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 7/1/2020 | Ending Account Value 12/31/2020 | Expenses Paid for the 6 months ended 12/31/2020* | |||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 915.04 | $ | 6.45 | ||||||
Hypothetical 5% return | 1,000.00 | 1,018.40 | + | 6.80 | ||||||||
Class C | ||||||||||||
Actual | 1,000.00 | 910.59 | 10.04 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,014.63 | + | 10.58 | ||||||||
Institutional | ||||||||||||
Actual | 1,000.00 | 916.56 | 4.77 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,020.16 | + | 5.03 | ||||||||
Investor | ||||||||||||
Actual | 1,000.00 | 915.36 | 5.25 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,019.66 | + | 5.53 | ||||||||
Class R6 | ||||||||||||
Actual | 1,000.00 | 916.33 | 4.72 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,020.21 | + | 4.98 | ||||||||
Class R | ||||||||||||
Actual | 1,000.00 | 912.74 | 7.64 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,017.14 | + | 8.06 | ||||||||
Class P | ||||||||||||
Actual | 1,000.00 | 916.33 | 4.72 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,020.21 | + | 4.98 |
+ | 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, 2020. 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 R6 | Class R | Class P | |||||||||||||||||||||
Global Infrastructure Fund | 1.34 | % | 2.09 | % | 0.99 | % | 1.09 | % | 0.98 | % | 1.59 | % | 0.98 | % |
33
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: 71 | 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. | 105 | None | |||||
Dwight L. Bush Age: 63 | Trustee | Since 2020 | 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). Previously, Ambassador Bush served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 105 | None | |||||
Kathryn A. Cassidy Age: 66 | 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. | 105 | None | |||||
Diana M. Daniels Age: 71 | 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. | 105 | None | |||||
Joaquin Delgado Age: 60 | Trustee | Since 2020 | 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). Previously, Dr. Delgado served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 105 | Hexion Inc. (a specialty chemical manufacturer); Stepan Company (a specialty chemical manufacturer) | |||||
Roy W. Templin Age: 60 | 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).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 105 | Armstrong World Industries, Inc. (a ceiling, wall and suspension systems solutions manufacturer) | |||||
34
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Trustees and Officers (Unaudited) (continued)
Independent Trustees
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and Length of Time Served2 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
Gregory G. Weaver Age: 69 | 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. | 105 | Verizon Communications Inc. | |||||
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: 58 | 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 and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | 164 | None | |||||
* | 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 may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of December 31, 2020. |
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 each Independent Trustee shall retire as of December 31st of the calendar year in which he or she reaches (a) his or her 75th birthday or (b) the 15th anniversary of the date he or she became a Trustee, whichever is earlier, 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, 2020, Goldman Sachs Trust consisted of 92 portfolios (90 of which offered shares to the public); 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 ETF Trust consisted of 42 portfolios (24 of which offered shares to the public); and 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. Goldman Sachs Credit Income Fund did not offer 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.
35
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
Name, Address and Age1 | Positions 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: 58 | Trustee and President | Since 2014 | 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 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: 43 | Secretary | Since 2014 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Senior Counsel, Goldman Sachs (January 2020–Present); Associate General Counsel, Goldman Sachs (2012-December 2019); 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 and Energy Renaissance Fund; Goldman Sachs ETF Trust; 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: 52 | 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 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, 2020. |
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, 2020, 69.25% 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, 2020, 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.
36
FUNDS PROFILE
Goldman Sachs Funds
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
Today, the Consumer and Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.95 trillion in assets under supervision as of December 31, 2020, 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 Core Fixed Income Fund4 |
∎ | 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 |
∎ | U.S. Equity ESG Fund5 |
∎ | Income Builder Fund |
Tax-Advantaged Equity
∎ | U.S. Tax-Managed Equity Fund |
∎ | International Tax-Managed Equity Fund |
∎ | U.S. Equity Dividend and Premium Fund |
∎ | International Equity Dividend and Premium Fund |
Equity Insights
∎ | Small Cap Equity Insights Fund |
∎ | U.S. Equity Insights Fund |
∎ | Small Cap Growth Insights Fund |
∎ | Large Cap Growth Insights Fund |
∎ | Large Cap Value Insights Fund |
∎ | Small Cap Value Insights Fund |
∎ | International Small Cap Insights Fund |
∎ | International Equity Insights Fund |
∎ | Emerging Markets Equity Insights Fund |
Fundamental Equity International
∎ | International Equity Income Fund |
∎ | International Equity ESG Fund |
∎ | China Equity Fund |
∎ | Emerging Markets Equity Fund |
∎ | ESG Emerging Markets Equity Fund |
Alternative
∎ | Clean Energy Income Fund Defensive Equity Fund |
∎ | 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 |
∎ | Energy Infrastructure Fund6 |
∎ | 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 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 Fund |
∎ | Satellite Strategies Portfolio |
∎ | Enhanced Dividend Global Equity Portfolio |
∎ | Tax-Advantaged Global Equity Portfolio |
∎ | Strategic Factor Allocation Fund |
∎ | Target Date Retirement Portfolio |
∎ | Target Date 2025 Portfolio |
∎ | Target Date 2030 Portfolio |
∎ | Target Date 2035 Portfolio |
∎ | Target Date 2040 Portfolio |
∎ | Target Date 2045 Portfolio |
∎ | Target Date 2050 Portfolio |
∎ | Target Date 2055 Portfolio |
∎ | Target Date 2060 Portfolio |
∎ | GQG Partners International Opportunities Fund |
1 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
2 | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
3 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
4 | Effective after the close of business on April 30, 2020, the Goldman Sachs Global Income Fund was renamed the Goldman Sachs Global Core Fixed Income Fund. |
5 | Effective after the close on business of August 30, 2020, the Goldman Sachs Blue Chip Fund was renamed the Goldman Sachs U.S. Equity ESG Fund. |
6 | Effective after the close of business on June 26, 2020, the Goldman Sachs MLP & Energy Fund was renamed the Goldman Sachs Energy Infrastructure Fund. |
Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC. |
* | This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds. |
TRUSTEES Jessica Palmer, Chair Dwight L. Bush Kathryn A. Cassidy Diana M. Daniels Joaquin Delgado James A. McNamara Roy W. Templin Gregory G. Weaver | 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 at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Goldman Sachs Asset Management, L.P. 200 West Street, New York, New York 10282
The report concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Fund. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://www.sec.gov.
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
The Fund 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, 2020 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).
© 2021 Goldman Sachs. All rights reserved. 230826-OTU-1357212 GBLINFRAAR-21
Goldman Sachs Funds
Annual Report | December 31, 2020 | |||
Real Estate Securities Funds | ||||
Global Real Estate Securities | ||||
International Real Estate Securities | ||||
Real Estate Securities |
Goldman Sachs Real Estate Securities Funds
∎ | GLOBAL REAL ESTATE SECURITIES |
∎ | INTERNATIONAL REAL ESTATE SECURITIES |
∎ | REAL ESTATE SECURITIES |
1 | ||||
19 | ||||
20 | ||||
25 | ||||
29 | ||||
29 | ||||
36 | ||||
42 | ||||
50 | ||||
65 | ||||
67 |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee |
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, 2020 (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 R6, Class R and Class P Shares generated average annual total returns, without sales charges, of -6.63%, -7.39%, -6.26%, -6.37%, -6.27%, -6.83% and -6.36%, respectively. These returns compare to the -8.89% average annual total return of the Fund’s benchmark, the FTSE EPRA Nareit Developed Index (USD, Net, 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 | For the Reporting Period overall, the global real estate securities market, as measured by the FTSE Index, returned -8.89%, attributable almost entirely to the first quarter of 2020, when the FTSE Index returned -28.51%. Broader global equities were volatile and fell as sentiment grew increasingly pessimistic around COVID-19 concerns, even as global central banks began to cut interest rates and take extraordinarily accommodative measures to counteract the economic impact of the pandemic. During the remaining three quarters of the Reporting Period, the FTSE Index posted positive absolute returns. For the Reporting Period as a whole, continental Europe was the strongest performing real estate market, generating a positive absolute return. The remaining constituents of the FTSE Index posted negative absolute returns, with Canada, Hong Kong and the U.K. the weakest performing markets during the Reporting Period. |
Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
A | Though generating negative absolute returns, the Fund outperformed the FTSE Index during the Reporting Period. Stock selection contributed most positively, especially in Australia, continental Europe, the U.K. and Canada. Such positive contributors were only partially offset by stock selection in the U.S., which detracted most. To a far more modest degree, positioning in Singapore and having exposure to India, which is not a component of the FTSE Index, also dampened the Fund’s relative results. |
Subsector* allocation decisions overall had a positive effect on relative results during the Reporting Period, attributable primarily to an overweight to industrials, which significantly outperformed the FTSE Index during the Reporting Period. Both stock selection and positioning in the office and diversified subsectors further boosted the Fund’s relative results. Allocation positioning in the health care and technology subsectors detracted from the Fund’s relative results during the Reporting Period as did weak stock selection in the residential subsector. |
Q | What were some of the Fund’s best-performing individual holdings? |
A | Goodman Group, an Australia-based integrated property group specializing in industrial property ownership, funds management and property development and management, contributed most positively to the Fund’s relative results during the Reporting Period. The Fund benefited from its position in the strongly performing Goodman Group, which is not a constituent of the FTSE Index, and we moderately trimmed the Fund’s position to realize profits during the Reporting Period. At the end of the Reporting Period, we remained favorable on Goodman Group because of what we view as its end-market exposure, strong fund management franchise and development pipeline, which we believe may well continue to drive better than peer return on equity. In our view, structural tailwinds from e-commerce, retailers and third party logistics, along with the low interest rate environment, make Goodman Group well placed to deliver |
1
PORTFOLIO RESULTS
strong growth over the medium term. We considered the business to be well run with good long-term growth prospects and a clearly defined strategy. |
Equinix is a U.S.-based global data center and colocation provider within the communication infrastructure industry. During the Reporting Period, data center companies overall benefited from the need for data support driven by social distancing. The Fund benefited from its position in the strongly performing company, which is not a constituent of the FTSE Index, and we moderately trimmed the position by the end of the Reporting Period to realize profits. |
Vonovia, based in Germany, is the largest listed European residential apartment landlord. Given the macro challenges driven by the economic impact of COVID-19 during the Reporting Period, apartment-focused real estate companies acted as somewhat of a safe harbor. Vonovia has assets in Germany and Sweden, and both countries have structural shortages of apartments. Regardless of macro scenarios, people still need a place to live. At the end of the Reporting Period, we continued to view Vonovia as an attractive investment because of what we see as its defensive nature in challenging markets and its ability to drive rental growth in more “normal” macro scenarios. The Fund benefited from its overweight position in Vonovia, and we modestly trimmed the position during the Reporting Period, taking profits. |
Q | Which positions detracted significantly from the Fund’s performance during the Reporting Period? |
A | The Fund’s underweight position relative to the FTSE Index in U.S.-based Digital Realty Trust, a leading global provider of data center, colocation and interconnection solutions, detracted most from its relative returns during the Reporting Period. While the company benefited from the work-from-home trend and increasing home-streaming demand during the Reporting Period, we believe its valuation was too high, as Digital Realty Trust, compared to many of its peers, owns larger assets with fewer customers, has less pricing power and thus relies more on development and merger and acquisition activity for growth. We had initiated a Fund position in the company in March 2020 and remained underweight throughout the Reporting Period. |
American Tower, a wireless communications and broadcast towers REIT, which is not a component of the FTSE Index, also detracted from the Fund’s relative performance during the Reporting Period. The company was a weak performer due to what we considered to be underwhelming second quarter 2020 corporate earnings and a small reduction in its expected second half of 2020 revenue growth. At the beginning of 2020, tower companies generally expected to see a pickup in leasing activity from the merger between Sprint and T-Mobile. However, the large merger integration proved harder and has taken longer than the consensus anticipated. Therefore, leasing activities did not pick up as much as company guidance had suggested. Still, at the end of the Reporting Period, we believed American Tower could benefit from secular trends toward growing data usage, taking advantage of its dominant market share, global expansion and additional investment opportunities to fuel long-term growth. Additionally, we viewed American Tower as positioned well for the roll-out of 5G (fifth-generation) technology, which requires significant capital investment. We had initiated a Fund position in the company in March 2020 and maintained the position throughout the Reporting Period. |
Simon Property Group, an owner and operator of U.S. regional mall and outlet center retail real estate properties, experienced a sizable double-digit share price decline during the Reporting Period and thus detracted from the Fund’s relative results. However, at the end of the Reporting Period, we remained favorable on Simon Property Group. In our view, the company has a top-tier portfolio of assets as well as one of the strongest balance sheets relative to its peers. Additionally, we believed its management team is an effective capital allocator and has the potential to generate high cash flow growth within the company. The Fund ended the Reporting Period with an overweight position relative to the FTSE Index in Simon Property Group. |
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 SEGRO, a U.K.-based owner and operator of logistics and warehouse assets, with just more than half of its properties in the U.K. and the rest in continental Europe. SEGRO is the largest listed European logistics REIT. We feel its portfolio may well benefit from the movement toward online spending, driven by the closure of retail locations. Having monitored the business closely for quite some time, the sell-off in the equity markets in the first quarter of 2020 provided |
2
PORTFOLIO RESULTS
what we felt was an opportunity to purchase its shares at an attractive price. |
During the Reporting Period, we initiated a Fund position in Shangri-La Asia, a Hong Kong-based global corporation with diversified assets. We are favorable on what we see as the company’s quality portfolio in prime cities and frontier destinations. |
Conversely, we exited the Fund’s position in Sun Hung Kai Properties, a diversified Hong Kong-focused real estate operating company. Its rental earnings and the outlook for its retail centers and hotels were severely affected by the COVID-19 pandemic. We eliminated the Fund’s position to allocate capital to higher conviction ideas. |
We sold the Fund’s position in Invincible Investment, a Tokyo-focused hotel REIT. Soon after COVID-19 first arrived in Japan, we significantly reduced the Fund’s position in Invincible Investment, anticipating that domestic and inbound travel would be impacted. With the trajectory of the recovery still uncertain and the increasingly bleak outlook for the travel and leisure industry in the near to medium term, we eliminated the Fund’s exposure to focus on companies we felt were positioned in more stable and predictable industries for the near term. |
Q | Were there any changes made in the Fund’s investment strategy during the Reporting Period? |
A | In constructing the Fund’s portfolio, we focus on picking securities rather than on making regional, country or subsector bets. We seek to outpace the benchmark index by overweighting stocks that we expect to outperform and underweighting those that we think may lag. Consequently, changes in its regional or subsector weights are generally the direct result of individual stock selection or of real estate securities’ appreciation or depreciation. That said, the Fund’s exposure to Hong Kong, the U.K. and the U.S. increased relative to the FTSE Index and its exposure to continental Europe, Japan and Singapore 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 the United States, underweighted relative to the FTSE Index in continental Europe, Hong Kong and Japan, and rather neutrally weighted compared to the FTSE Index in the other constituent regions/countries of the FTSE Index at the end of December 2020. 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, it appeared to us that REITs continued to enjoy favorable investor sentiment, as they did for the last three quarters of 2020, but may undergo a span of growth moderation as COVID-19 continued to transmit globally. While the pandemic situation remained highly fluid at the end of the Reporting Period and thus no one can be certain when the disruption to social and business activities may end, we believed high quality real estate should continue in the months ahead to command the prime function of delivering visible long-term cash flow. |
Across the globe, we saw growth trends accelerating among the likes of logistics warehouses, data storage, life science offices and manufactured housing, but tenancy across most conventional real estate subsectors, such as hospitality, office and discretionary-centric retail malls, suffered due to travel restrictions and the macroeconomic downturn in light of the COVID-19 pandemic. REITs globally proved resilient and recovered well from the first quarter 2020 sell-off, as they were, overall, prudently geared at low levels and delivered attractive yields on the back of robust fundamentals. Additionally, the funding environment, in our view, remained open and inexpensive for REITs, with most having locked in low-cost, long-term debt financing. In our view, most balance sheets were strong, especially those of property-operating companies that practice high earnings retention. Broadly speaking, REITs sign an overwhelming majority of their leases with long-term commercial tenants. In our view, the market jitters seen during the Reporting Period may well present strong opportunities for both investors and well-positioned REITs alike to differentiate past this cycle. Furthermore, we believe the low interest rate environment may well prove conducive to real estate ownership and help support future economic growth. In the last few months of the Reporting Period, not only did governments at several key economies continue to support real estate directly or indirectly through fiscal and policy packages, but there also were acquisitions of large commercial properties by both REITs and unlisted real estate funds or sovereign entities at the same or higher price levels than before COVID-19. We believe these factors evidence |
3
PORTFOLIO RESULTS
the enduring and long-term appeal of real estate. At the same time, we expected global REITs to continue to generate positive returns upon market recovery. In our view, any subdued growth outlook usually leads to slower build-out of future supply, which supports an eventual rental recovery. Select REITs in growth sectors can, in our opinion, continue to deploy capital toward high quality projects to potentially drive future growth. |
Overall, we believe global REITs can continue to offer attractive liquidity and risk-adjusted total returns given the yield, growth, diversification and inflation-hedging benefits the asset class has historically exhibited. On a stock level, we believe attractive opportunities may be found across the sector, 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 capital allocation strategy. |
* | Sector, subsector, region and country allocations throughout this shareholder report are defined by GSAM and may differ from sector, subsector, region and country allocations used by the FTSE Index. |
4
FUND BASICS
Global Real Estate Securities Fund
as of December 31, 2020
TOP TEN HOLDINGS AS OF 12/31/201 | ||||||||||
Holding | % of Net Assets | Subsectors | Country | |||||||
Vonovia SE | 4.0 | % | Real Estate Operating Companies | Germany | ||||||
Prologis, Inc. (REIT) | 3.8 | Industrial | United States | |||||||
Simon Property Group, Inc. (REIT) | 2.5 | Retail | United States | |||||||
Welltower, Inc. (REIT) | 2.4 | Health Care | United States | |||||||
Alexandria Real Estate Equities, Inc. (REIT) | 2.1 | Office | United States | |||||||
Link REIT (REIT) | 2.1 | Retail | Hong Kong | |||||||
Mitsubishi Estate Co. Ltd. | 2.0 | Diversified | Japan | |||||||
Ventas, Inc. (REIT) | 1.9 | Health Care | United States | |||||||
Camden Property Trust (REIT) | 1.8 | Residential | United States | |||||||
Segro plc (REIT) | 1.8 | Industrial | 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, 2020 |
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. Sector, subsector, region and country allocations throughout this shareholder report are defined by GSAM and may differ from sector, subsector, region and country allocations used by the FTSE Index. |
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 REAL ESTATE SECURITIES FUND
Performance Summary
December 31, 2020
The following graph shows the value as of December 31, 2020, 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, 2020.
Average Annual Total Return through December 31, 2020* | One Year | Five Years | Since Inception | |||||||
Class A (Commenced August 31, 2015) | ||||||||||
Excluding sales charges | -6.63% | 3.34% | 4.20% | |||||||
Including sales charges | -11.76% | 2.17% | 3.11% | |||||||
| ||||||||||
Class C (Commenced August 31, 2015) | ||||||||||
Excluding contingent deferred sales charges | -7.39% | 2.58% | 3.43% | |||||||
Including contingent deferred sales charges | -8.31% | 2.58% | 3.43% | |||||||
| ||||||||||
Institutional (Commenced August 31, 2015) | -6.26% | 3.76% | 4.62% | |||||||
| ||||||||||
Investor (Commenced August 31, 2015) | -6.37% | 3.61% | 4.47% | |||||||
| ||||||||||
Class R6 (Commenced August 31, 2015) | -6.27% | 3.76% | 4.62% | |||||||
| ||||||||||
Class R (Commenced August 31, 2015) | -6.83% | 3.09% | 3.95% | |||||||
| ||||||||||
Class P (Commenced April 17, 2018) | -6.36% | N/A | 4.28% | |||||||
|
* | 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 R6, Class R and Class P 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.
6
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, 2020 (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 R6 and Class P Shares generated average annual total returns, without sales charges, of -2.42%, -3.17%, -2.16%, -2.23%, -2.15% and -2.00%, respectively. These returns compare to the -7.11% 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, modestly outperformed the U.S. real estate securities market, as measured by the Wilshire U.S. Real Estate Securities Index (with dividends reinvested), by less than one percentage point, but underperformed the broad international equity market, as measured by the MSCI EAFE® Index, by nearly 15 percentage points. The Real Estate Index’s negative absolute return can be attributed almost entirely to the first quarter of 2020, when broader international equities were volatile and fell as sentiment grew increasingly pessimistic around COVID-19 concerns, even as central banks in many countries began to cut interest rates and take extraordinarily accommodative measures to counteract the economic impact of the pandemic. During the remaining three quarters of the Reporting Period, the Real Estate Index posted positive absolute returns. |
The Real Estate Index returned -27.70% in the first quarter of 2020, with all market constituents generating negative returns. Hong Kong and Singapore were, on a relative basis, the best performing markets, while Australia and Canada were the weakest. Performance in the Australian real estate market was especially challenged by the bushfire crisis that occurred there. The Real Estate Index returned 8.58% during the second quarter of 2020. Continental Europe and Australia were the top performing markets, and no market constituents posted negative returns during the quarter. The Real Estate Index returned 3.86% during the third quarter of 2020. Sweden and Belgium were the top performing markets, while France and Hong Kong were the weakest. Sweden and Belgium benefited from relaxed restrictions after appearing to have contained COVID-19 effectively, while the rest of the world was suffering from subsequent waves of the pandemic. The Real Estate Index rallied further in the fourth quarter of 2020 with a return of 13.90%. During the quarter, Norway and France were the top performing markets, while Belgium and Japan were the weakest. Norway benefited from a recovery in its office subsector, while Belgium’s real estate market suffered most in its industrial subsector. |
For the Reporting Period overall, continental Europe as a whole was the best performing real estate market, posting a positive absolute return. New Zealand, Israel, Canada and Hong Kong were weakest, each posting a double-digit negative absolute return. |
Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
A | The Fund posted negative absolute returns but significantly outperformed 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 Australia, continental Europe, the U.K. and Japan. Only partially offsetting these positive contributors was stock selection in Hong Kong, which detracted from the Fund’s relative results. Additionally, country allocation overall detracted. While allocation positioning in Japan and Hong Kong proved beneficial, positioning in all other markets |
7
PORTFOLIO RESULTS
detracted, most significantly in continental Europe, Singapore and Australia. |
From a subsector perspective, both stock selection and allocation decisions overall contributed positively. Effective stock selection in the industrial and office subsectors helped most. Having an underweighted allocation to the retail subsector, which was the second-weakest subsector in the Real Estate Index during the Reporting Period, and an overweight to the industrial subsector, which was among the strongest in the Real Estate Index during the Reporting Period, added relative value as well. Only partially offsetting these positive contributors was stock selection in the residential and “other” subsectors, which detracted. Allocation positioning in the technology and health care subsectors also dampened results. |
Q | What were some of the Fund’s best-performing individual holdings? |
A | Goodman Group, an Australia-based integrated property group specializing in industrial property ownership, funds management and property development and management, contributed most positively to the Fund’s relative results during the Reporting Period. The Fund benefited from its position in the strongly performing Goodman Group, which is not a constituent of the Real Estate Index, and we moderately trimmed the Fund’s position to realize profits during the Reporting Period. At the end of the Reporting Period, we remained favorable on Goodman Group because of what we view as its end-market exposure, strong fund management franchise and development pipeline, which we believe may well continue to drive better than peer return on equity. In our view, structural tailwinds from e-commerce, retailers and third party logistics, along with the low interest rate environment, make Goodman Group well placed to deliver strong growth over the medium term. We considered the business to be well run with good long-term growth prospects and a clearly defined strategy. |
Vonovia, based in Germany, is the largest listed European residential apartment landlord. Given the macro challenges driven by the economic impact of COVID-19 during the Reporting Period, apartment-focused real estate companies acted as somewhat of a safe harbor. Vonovia has assets in Germany and Sweden, and both countries have structural shortages of apartments. Regardless of macro scenarios, people still need a place to live. At the end of the Reporting Period, we continued to view Vonovia as an attractive investment because of what we see as its defensive nature in challenging markets and its ability to drive rental growth in more “normal” macro scenarios. The Fund benefited from its overweight position in Vonovia, and we modestly trimmed the position during the Reporting Period, taking profits. |
Summit Industrial Income REIT, a Canadian industrial REIT, benefited during the Reporting Period from a strong recovery in industrial fundamentals, as e-commerce drove demand through its logistics facilities, especially in the core markets of Toronto and Montreal, where vacancy is quite low and there is little new supply. Additionally, the company carried out two equity raises and a number of acquisitions during the Reporting Period, putting its balance sheet in good shape, in our view, to be aggressive on growth. We trimmed the Fund’s position in Summit Industrial Income REIT during the Reporting Period on strength. Given that interest rates remained low and given generally healthy fundamentals, we continued to see its stock as attractive at the end of the Reporting Period. Summit Industrial Income REIT is the only pure-play Canadian industrial company with significant scale, we believe, and so the scarcity value of this asset is increasing, in our opinion. We further think it may be more likely the company is eventually a merger and acquisition candidate as larger and larger platforms look to grow in the industrial space, with many underrepresented in Canada. |
Q | Which positions detracted significantly from the Fund’s performance during the Reporting Period? |
A | The biggest detractor from the Fund’s relative results during the Reporting Period was Invincible Investment, a Tokyo-focused hotel REIT. Soon after COVID-19 first arrived in Japan, we significantly reduced the Fund’s position in Invincible Investment, anticipating that domestic and inbound travel would be impacted. With the trajectory of the recovery still uncertain and the increasingly bleak outlook for the travel and leisure industry in the near to medium term, we subsequently eliminated the Fund’s exposure in the position completely to focus on companies we felt were positioned in more stable and predictable industries for the near term. |
Deutsche Wohnen SE, a Berlin, Germany-focused residential real estate company, also detracted from the Fund’s results during the Reporting Period. In early 2020, the Berlin government implemented new rent control regulations that led its stock to initially underperform its peers. Once the COVID-19 crisis hit, the company outperformed the Real Estate Index, as it was viewed as a business largely immune to the disruptions caused by the pandemic. We initiated a |
8
PORTFOLIO RESULTS
Fund position in Deutsche Wohnen during the Reporting Period, but we maintained an underweighted allocation, as we preferred other German residential companies like Vonovia, where we feel the defensive characteristics are the same as those of Deutsche Wohnen but the regulatory risks are lower. Because the Fund was underweighted in the company’s shares, it proved a detractor to relative results. |
Mirvac Group is an Australia-based diversified REIT. The Fund held a modestly overweighted position in Mirvac Group in view of what we saw as its high asset and management quality with growth opportunities from city-centric apartment development in Sydney and Melbourne. However, the impact of COVID-19 not only caused its office and retail leasing to slow sharply but also led to weakness in apartment sales due to job losses. However, the Australian government swiftly provided substantial home purchase incentives and job-keeper support packages, and so we believed, at the end of the Reporting Period, that a gradual recovery may be in sight for Mirvac Group’s residential business alongside what we consider to be its large and well-located office portfolio in Australia’s two gateway cities. |
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 Deutsche Wohnen SE, already mentioned, we established a Fund position in SEGRO, a U.K.-based owner and operator of logistics and warehouse assets, with just more than half of its properties in the U.K. and the rest in continental Europe. SEGRO is the largest listed European logistics REIT. We feel its portfolio may well benefit from the movement to online spending, driven by the closure of retail locations. Having monitored the business closely for quite some time, the sell-off in the equity markets in the first quarter of 2020 provided what we felt was an opportunity to purchase its shares at an attractive price. |
In addition to the sale of Invincible Investment, mentioned earlier, we sold the Fund’s position in Activia Properties given what we saw as its full valuation after its strong performance against other diversified Japanese REITs. We also sold the position to cut the Fund’s exposure to technology tenants’ geographical location, namely Shibuya in Tokyo, where Activia Properties owns a material number of offices that could, in our view, see tenancy departures because of tech companies’ readiness to work from home. Further, we sold this Fund position in order to establish a new Fund position in United Urban Investment, another diversified Japanese REIT, which we felt was trading at an attractive valuation and had relatively high exposure to the retail and hotel subsectors, which had been hard hit by the economic impacts of COVID-19, in addition to its mainstay office leasing. In our view, United Urban Investment has a proven track record of robust tenancies through cycles, with its management and asset platform backed by Itochu Corporation, a Japanese consumer staples firm. |
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 Hong Kong and the U.K. increased relative to the Real Estate Index, and its exposure to continental Europe and Japan decreased relative to the Real Estate Index. The Fund’s position in cash increased. |
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 Real Estate Index in the U.K. at the end of the Reporting Period. The Fund was underweighted relative to the Real Estate Index in Singapore, Hong Kong and continental Europe and was rather neutrally weighted to the remaining regions/countries of the Real Estate Index at the end of December 2020. 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 | As COVID-19 continued to plague virtually every market sector with fears of second waves as of the end of the |
9
PORTFOLIO RESULTS
Reporting Period, it appeared that REITs were continuing to slowly recover from the severe sell-off seen at the onset of the pandemic outbreak. While the pandemic situation remained highly fluid at the end of the Reporting Period and thus no one can be certain when the disruption to social and business activities may end, we believed high quality real estate should continue in the months ahead to command the prime function of delivering visible long-term cash flow. |
Furthermore, we believed the low interest rate environment may well prove conducive to real estate ownership and help support future economic growth. At the same time, we expected international REITs to continue to generate positive returns upon market recovery. In our view, any subdued growth outlook usually leads to slower build-out of future supply, which supports an eventual rental recovery. Select REITs with strong balance sheets in growth sectors can, in our opinion, continue to deploy capital toward high quality projects to potentially drive future growth. |
Overall, we believe international REITs can continue to offer attractive liquidity and risk-adjusted total returns given the yield, growth, diversification and inflation-hedging benefits the asset class has historically exhibited. On a stock level, we believe opportunities abound, as various property subsectors and geographies could offer wide dispersions in returns. As 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, subsector, region and country allocations throughout this shareholder report are defined by GSAM and may differ from sector, subsector, region and country allocations used by the Real Estate Index. |
10
FUND BASICS
International Real Estate Securities Fund
as of December 31, 2020
TOP TEN HOLDINGS AS OF 12/31/201 | ||||||||
Holding | % of Total Net Assets | Line of Business | Country | |||||
Vonovia SE | 9.1% | Real Estate Operating Companies | Germany | |||||
Mitsubishi Estate Co. Ltd. | 4.5 | Diversified | Japan | |||||
Link REIT (REIT) | 3.7 | Retail | Hong Kong | |||||
Segro plc (REIT) | 3.3 | Industrial | United Kingdom | |||||
Sumitomo Realty & Development Co. Ltd. | 3.2 | Diversified | Japan | |||||
Goodman Group (REIT) | 3.1 | Industrial | Australia | |||||
Gecina SA (REIT) | 3.0 | Diversified | France | |||||
Castellum AB | 3.0 | Real Estate Operating Companies | Sweden | |||||
UNITE Group plc (The) (REIT) | 2.8 | Residential | United Kingdom | |||||
CK Asset Holdings Ltd. | 2.8 | Real Estate Development | Hong Kong |
1 | The top 10 holdings may not be representative of the Fund’s future investments. |
FUND VS. BENCHMARK COUNTRY ALLOCATION2 |
As of December 31, 2020 |
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. Sector, subsector, region and country allocations throughout this shareholder report are defined by GSAM and may differ from sector, subsector, region and country allocations used by the Real Estate Index. The above graph excludes investments in the Goldman Sachs Financial Square Government Fund - Institutional Shares, which represents 2.3% of the Fund’s net assets at December 31, 2020. |
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.
11
GOLDMAN SACHS INTERNATIONAL REAL ESTATE SECURITIES FUND
Performance Summary
December 31, 2020
The following graph shows the value as of December 31, 2020, of a $1,000,000 investment made on January 1, 2011 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, 2011 through December 31, 2020.
Average Annual Total Return through December 31, 2020* | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A | ||||||||||||||
Excluding sales charges | -2.42% | 4.75% | 4.22% | — | ||||||||||
Including sales charges | -7.80% | 3.59% | 3.63% | — | ||||||||||
| ||||||||||||||
Class C | — | |||||||||||||
Excluding contingent deferred sales charges | -3.17% | 3.96% | 3.43% | — | ||||||||||
Including contingent deferred sales charges | -4.14% | 3.96% | 3.43% | — | ||||||||||
| ||||||||||||||
Institutional | -2.16% | 5.14% | 4.63% | — | ||||||||||
| ||||||||||||||
Investor | -2.23% | 5.02% | 4.49% | — | ||||||||||
| ||||||||||||||
Class R6 (Commenced July 31, 2015) | -2.15% | 5.19% | N/A | 3.78% | ||||||||||
| ||||||||||||||
Class P (Commenced April 17, 2018) | -2.00% | N/A | N/A | 2.99% | ||||||||||
|
* | 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 R6, and Class P 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.
12
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, 2020 (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 R6, Class R and Class P Shares generated average annual total returns, without sales charges, of -7.85%, -8.50%, -7.48%, -7.95%, -7.59%, -7.47%, -8.00% and -7.48%, respectively. These returns compare to the -7.94% 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 negative absolute returns during the Reporting Period that significantly lagged the broad U.S. equity market, as represented by the S&P 500® Index, which returned 18.34% for the same period. Such underperformance is attributable almost entirely to the first quarter of 2020, as the two primary factors that impacted the U.S. real estate market during the Reporting Period, in our view, were the outbreak of COVID-19 and the lowering of interest rates in March 2020. During the Reporting Period, the world was plagued by a global pandemic that fundamentally altered the way we go about our daily lives. Most notably, small retail businesses and restaurants were shuttered, and larger corporations pivoted to a complete work-from-home dynamic. Additionally, there was a rapid acceleration in the adoption of online retail, as families isolated from the world and remained indoors. Following the outbreak of the COVID-19 pandemic, financial markets spiraling downward led the U.S. Federal Reserve (the “Fed”) to step in to provide economic support. The Fed lowered interest rates to near zero, similar to what it had done following the 2008 financial crisis. Historically, with lower interest rates, financing becomes cheaper and therefore more heavily used, which should stimulate transaction volumes. However, this time, the interest rate cut coincided with a weakening economic backdrop and increased uncertainty around both commercial and residential tenants’ ability to pay rents. This scenario introduced significant hesitancy about acquisitions within the real estate market for the near term. |
For the first quarter of 2020, the Wilshire Index returned -25.73%. Real estate investment trusts (“REITs”) lagged the broader U.S. equity market, as investors turned to less capital-reliant sectors amid the COVID-19-induced sell-off. Technology, self-storage and industrial were the top performing subsectors, while retail and hotel were the top detractors. Technology benefited from the increased demand for remote workplace applications as well as for streaming services. Hotel REITs underperformed as vacancy rates hit an all-time high. |
The Wilshire Index increased 10.56% during the second quarter of 2020. REITs still underperformed the broader U.S. equity market given their defensive nature, as equity markets across the world gained on optimism around a global economic recovery amid easing lockdown measures. Retail, health care and triple net were the top performing subsectors, while self-storage was the only detractor. (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.) Retail recovered from its first quarter decline amid anticipation of a reopened economy. Self-storage was seen as an especially defensive subsector and thus underperformed during the market rebound. |
During the third quarter of 2020, the Wilshire Index returned 1.25%. REITs continued to lag the broader U.S. equity |
13
PORTFOLIO RESULTS
market given their defensive nature. Self-storage, industrial and technology were the top performing subsectors, while retail and office were the top detractors. Self-storage was seen as an especially defensive subsector, performing better during market dislocations. Office REITs underperformed, as office demand weakened amid remote workplace trends. |
The Wilshire Index increased 10.71% during the fourth quarter of 2020. All REIT subsectors, except technology, experienced positive returns, with hotel REITs leading the way. Driven by positive COVID-19 vaccine news, hotels began to recover, as travel is expected to increase in a post-vaccinated world. |
For the Reporting Period overall, the technology, self-storage and industrial subsectors posted positive returns. Retail, hotel and office subsectors were weakest, each posting a double-digit negative absolute return. The triple net, health care and residential subsectors also posted negative absolute returns for the Reporting Period. Industrial REITs were among the top performers, as online retailers have needed more warehouse space for increased inventory and larger logistical operations with the rapid acceleration of online shopping. Conversely, the closure of retail businesses and restaurants severely hurt the retail subsector, with businesses of all sizes facing bankruptcy as expenses pile up and no revenue coming in, with only minimal support from the federal and local governments. On the surface, the office subsector was negatively impacted as companies have been forced to continue operating with their workforce at home. Some have begun to reevaluate their needs for big expensive office space if they have been relatively well off despite the virtual environment. On the other hand, some companies that do want to maintain office space may end up needing to expand their footprint to provide additional space per person for better distancing between employees going forward, a sharp reversal of the office densification seen during the last decade or so. |
Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
A | While posting disappointing absolute returns, most share classes of the Fund modestly outperformed 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 industrial, hotel, office and self-storage 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 residential, triple net and health care subsectors. Allocation positioning in the health care subsector dampened the Fund’s relative results as well. |
Q | What were some of the Fund’s best-performing individual holdings? |
A | Equinix, a global data center and colocation provider within the communication infrastructure industry, was the strongest positive contributor to the Fund’s performance during the Reporting Period. Generally, data center companies stood to benefit the most from the increasing need for data support given the increase of working and learning from home. At the end of the Reporting Period, we continued to favor the company, as we believed it was better positioned for the near term due to its high exposure to cross-connect installations, which have been seeing material growth as tenants increase bandwidth. (Cross-connections are hardware (cables, cords, and jumpers) that connect separate units of facilities within a data center.) Further, its stock was trading at relatively in-line multiples with its peers despite having higher organic growth as a result of its smaller, more diverse tenant base and hard-to-replicate assets, paired with a higher return business model with what we see as fewer risks around volatility in large-scale leasing and reduced risk from new competition and supply. |
Prologis, a global leader in logistics real estate, was also a top contributor to Fund returns during the Reporting Period. The company entered 2020 with what we viewed as strong fundamentals and a healthy balance sheet. While the global COVID-19 pandemic severely dented the broad economy, industrial real estate benefited from a sharp increase in logistics activity due to the substantial increase in e-commerce activity amid the stay at home orders in states across the country. |
Duke Realty, an owner of industrial properties across the U.S., also contributed positively to the Fund’s results during the Reporting Period. The company benefited from the proliferation of e-commerce and re-shoring within the U.S. (Re-shoring is the process of returning the production and manufacturing of goods back to the company’s original country.) Duke Realty also outperformed its peers due to limited lease turnover in 2020 and what many viewed as an especially strong balance sheet. At the end of the Reporting Period, we believed the company was likely to continue to benefit as proliferation increases over the longer term and also offered strong upside at then-current valuation levels. |
14
PORTFOLIO RESULTS
Q | What were some of the Fund’s weakest-performing individual holdings? |
A | Having an underweight to Digital Realty Trust, a leading global provider of data center, colocation and interconnection solutions, detracted most from the Fund’s results during the Reporting Period. While the company benefited from the work-from-home trend and increasing home-streaming demand during the Reporting Period, we believe its valuation was too high, as Digital Realty Trust, compared to many of its peers, owns larger assets with fewer customers, has less pricing power and thus relies more on development and merger and acquisition activity for growth. We had initiated a Fund position in the company in March 2020 and remained underweight throughout the Reporting Period. |
American Tower, a wireless communications and broadcast towers REIT, which is not a component of the Wilshire Index, also detracted from the Fund’s relative performance during the Reporting Period. The company was a weak performer due to what we considered to be underwhelming second quarter 2020 corporate earnings and a small reduction in its expected second half of 2020 revenue growth. At the beginning of 2020, tower companies generally expected to see a pickup in leasing activity from both the rollout of 5G (fifth generation) technology and from the merger between Sprint and T-Mobile. However, the large merger integration proved harder and has taken longer than the consensus anticipated. Therefore, leasing activities did not pick up as much as company guidance had suggested. Still, at the end of the Reporting Period, we believed American Tower could benefit from secular trends toward growing data usage, taking advantage of its dominant market share, global expansion and additional investment opportunities to fuel long-term growth. Additionally, we viewed American Tower as positioned well for the roll-out of 5G (fifth-generation) technology, which requires significant capital investment. We had initiated a Fund position in the company in March 2020 and maintained the position throughout the Reporting Period. |
Simon Property Group, an owner and operator of U.S. regional mall and outlet center retail real estate properties, experienced a sizable double-digit share price decline during the Reporting Period and thus detracted from the Fund’s relative results. With U.S. retail stores closed or operating at minimal capacity for nearly the full calendar year, combined with the effects of massive growth in e-commerce, retail struggled during the Reporting Period to find firm footing. However, at the end of the Reporting Period, we remained favorable on Simon Property Group. In our view, the company has a top-tier portfolio of assets as well as one of the strongest balance sheets relative to its peers. Additionally, we believed its management team is an effective capital allocator and has the potential to generate high cash flow growth within the company. |
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, in addition to those purchases already mentioned, we established a Fund position in Sun Communities, which invests in manufactured housing and recreational vehicle (“RV”) communities throughout the U.S. and Canada. The COVID-19 pandemic fundamentally altered how people travel and where they live. With the highly transmittable virus raging through the country, people generally avoided air travel and other forms of public transport to avoid exposure to strangers. Highly utilized alternatives for leisure travel and relocation away from urban centers were RVs and manufactured homes, exacerbated by loss of income for many, which, in turn, led to a need for cheaper forms of housing. |
We initiated a Fund position in CubeSmart, a self-storage facility REIT. In our view, the industry was on the right side of future disruption driven by demographic change catalyzed by the COVID-19 pandemic shuttering offices and leading some people to relocate. In turn, such trends have translated to increased demand for short-term personal storage space. Given such strong demand, the company has been able to meaningfully increase asking rates, a strong leading indicator of self-storage operating performance. |
Conversely, we sold the Fund’s position in STORE Capital, a property group that invests in single-tenant operational real estate assets. STORE Capital substantially recovered in the third quarter of 2020 from the earlier calendar year market bottom, and we viewed this as an attractive exit point. We allocated the proceeds from the sale to companies in the senior housing space, which we felt had better potential tailwinds going forward. |
Also in the third quarter of 2020, we sold the Fund’s position in Physicians Realty Trust, a company focused on medical office buildings. We had newly established the Fund position in the first quarter of 2020, and the stock subsequently |
15
PORTFOLIO RESULTS
performed well on a relative basis during the downturn given what many see as it being a rather defensive name. As we believe the market has likely bottomed, we decided to exit the position and transition the capital to industries with what we view as having more exposure to the economic recovery, particularly senior housing names. |
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 health care, hotel and retail subsectors increased relative to the Wilshire Index and its exposure to the office, residential and triple net subsectors decreased relative to the Wilshire Index. |
Q | How was the Fund positioned relative to its benchmark index at the end of the Reporting Period? |
A | From a subsector perspective*, the Fund had overweighted exposure compared to the Wilshire Index in the hotel subsector and had underweighted exposure compared to the Wilshire Index in the office and retail subsectors. The Fund 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, it appeared to us that REITs continued to enjoy favorable investor sentiment, as they did for the last three quarters of 2020, but may undergo a span of growth moderation as COVID-19 continued to transmit globally. While the pandemic situation remained highly fluid at the end of the Reporting Period and thus no one can be certain when the disruption to social and business activities may end, we believed high quality real estate should continue in the months ahead to command the prime function of delivering visible long-term cash flow. |
We saw growth trends accelerating among the likes of logistics warehouses, data storage, life science offices and manufactured housing, but tenancy across most conventional real estate subsectors, such as hospitality, office and discretionary-centric retail malls, suffered due to travel restrictions and the macroeconomic downturn in light of the COVID-19 pandemic. REITs generally proved resilient and recovered well from the first quarter 2020 sell-off, as they were, overall, prudently geared at low levels and delivered attractive yields on the back of robust fundamentals. Additionally, the funding environment, in our view, remained open and inexpensive for REITs, with most having locked in low-cost, long-term debt financing. In our view, most balance sheets were strong, especially those of property-operating companies that practice high earnings retention. Broadly speaking, REITs sign an overwhelming majority of their leases with long-term commercial tenants. In our view, the market jitters seen during the Reporting Period may well present strong opportunities for both investors and well-positioned REITs alike to differentiate past this cycle. Furthermore, we believe the low interest rate environment may well prove conducive to real estate ownership and help support future economic growth. In the last few months of the Reporting Period, not only did governments at several key economies continue to support real estate directly or indirectly through fiscal and policy packages, but there also were acquisitions of large commercial properties by both REITs and unlisted real estate funds or sovereign entities at the same or higher price levels than before COVID-19. We believe these factors evidence the enduring and long-term appeal of real estate. At the same time, we expected REITs to continue to generate positive returns upon market recovery. In our view, any subdued growth outlook usually leads to slower build-out of future supply, which supports an eventual rental recovery. Select REITs in growth sectors can, in our opinion, continue to deploy capital toward high quality projects to potentially drive future growth. |
Overall, we believe 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 attractive opportunities may be found across the sector, as various property subsectors 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 capital allocation strategy. |
* | Sector and subsector allocations are defined by GSAM and may differ from sector and subsector allocations used by the Wilshire Index. |
16
FUND BASICS
Real Estate Securities Fund
as of December 31, 2020
TOP TEN HOLDINGS AS OF 12/31/201 | ||||||||
Holding | % of Total Net Assets | Subsectors | ||||||
Prologis, Inc. (REIT) | 8.5 | % | Industrial | |||||
Equinix, Inc. (REIT) | 8.4 | Specialized | ||||||
Welltower, Inc. (REIT) | 4.5 | Health Care | ||||||
Simon Property Group, Inc. (REIT) | 4.3 | Retail | ||||||
Alexandria Real Estate Equities, Inc. (REIT) | 3.7 | Office | ||||||
Ventas, Inc. (REIT) | 3.5 | Health Care | ||||||
Essex Property Trust, Inc. (REIT) | 3.4 | Residential | ||||||
Duke Realty Corp. (REIT) | 3.2 | Industrial | ||||||
AvalonBay Communities, Inc. (REIT) | 3.0 | Residential | ||||||
Invitation Homes, Inc. (REIT) | 3.0 | Residential |
1 | The top 10 holdings may not be representative of the Fund’s future investments. |
FUND VS. BENCHMARK SECTOR ALLOCATION2 |
As of December 31, 2020 |
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. 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.
17
GOLDMAN SACHS REAL ESTATE SECURITIES FUND
Performance Summary
December 31, 2020
The following graph shows the value as of December 31, 2020, of a $1,000,000 investment made on January 1, 2011 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, 2011 through December 31, 2020.
Average Annual Total Return through December 31, 2020* | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A | ||||||||||||||
Excluding sales charges | -7.85% | 3.31% | 7.44% | — | ||||||||||
Including sales charges | -12.89% | 2.15% | 6.83% | — | ||||||||||
| ||||||||||||||
Class C | — | |||||||||||||
Excluding contingent deferred sales charges | -8.50% | 2.56% | 6.64% | — | ||||||||||
Including contingent deferred sales charges | -9.41% | 2.56% | 6.64% | — | ||||||||||
| ||||||||||||||
Institutional | -7.48% | 3.74% | 7.88% | — | ||||||||||
| ||||||||||||||
Service | -7.95% | 3.19% | 7.32% | — | ||||||||||
| ||||||||||||||
Investor | -7.59% | 3.59% | 7.71% | — | ||||||||||
| ||||||||||||||
Class R6 (Commenced July 31, 2015) | -7.47% | 3.74% | N/A | 4.13% | ||||||||||
| ||||||||||||||
Class R | -8.00% | 3.07% | 7.19% | — | ||||||||||
| ||||||||||||||
Class P (Commenced April 17, 2018) | -7.48% | N/A | N/A | 6.35% | ||||||||||
|
* | 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 R6, Class R and Class P 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.
18
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.
The MSCI 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.
The FTSE EPRA Nareit Developed Index (Net, USD, Unhedged) is designed to track the performance of listed real estate companies and REITS worldwide. By making the index constituents free-float adjusted, liquidity, size and revenue screened, the series is suitable for use as the basis for investment products, such as derivatives and Exchange Traded Funds (ETFs).
The FTSE EPRA Nareit Developed Ex US Real Estate Index (Net, USD, Unhedged) is a subset of the FTSE EPRA Nareit Developed Index and is designed to track the performance of listed real estate companies and REITS. By making the index constituents free-float adjusted, liquidity, size and revenue screened, the series is suitable for use as the basis for investment products, such as derivatives and Exchange Traded Funds (ETFs).
The Wilshire U.S. Real Estate Securities Index is an unmanaged market capitalization weighted index comprised of publicly traded REITs and real estate operating companies. The figures do not reflect any fees or expenses.
It is not possible to invest directly in an index.
19
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
December 31, 2020
Shares | Description | Value | ||||||
Common Stocks – 97.9% | ||||||||
Australia – 4.2% | ||||||||
178,938 | Goodman Group (REIT) (Industrial) | $ | 2,615,621 | |||||
785,967 | Ingenia Communities Group (REIT) (Residential) | 2,975,454 | ||||||
501,124 | Mirvac Group (REIT) (Diversified) | 1,017,769 | ||||||
105,272 | NEXTDC Ltd. (Internet Services & Infrastructure)* | 993,388 | ||||||
|
| |||||||
7,602,232 | ||||||||
|
| |||||||
Belgium – 1.0% | ||||||||
49,553 | Warehouses De Pauw CVA (REIT) (Industrial) | 1,717,930 | ||||||
|
| |||||||
Canada – 2.7% | ||||||||
42,880 | Allied Properties REIT (REIT) (Office) | 1,274,374 | ||||||
40,460 | Canadian Apartment Properties REIT (REIT) (Residential) | 1,588,967 | ||||||
79,874 | Chartwell Retirement Residences (Health Care) | 702,168 | ||||||
125,767 | Summit Industrial Income REIT (REIT) (Industrial) | 1,348,668 | ||||||
|
| |||||||
4,914,177 | ||||||||
|
| |||||||
China – 2.6% | ||||||||
18,106 | GDS Holdings Ltd. ADR (Internet Services & Infrastructure)* | 1,695,446 | ||||||
3,378,000 | Shangri-La Asia Ltd. (Hotel)* | 3,017,900 | ||||||
|
| |||||||
4,713,346 | ||||||||
|
| |||||||
France – 2.3% | ||||||||
18,422 | Gecina SA (REIT) (Diversified) | 2,864,622 | ||||||
58,584 | Klepierre SA (REIT) (Retail) | 1,321,303 | ||||||
|
| |||||||
4,185,925 | ||||||||
|
| |||||||
Germany – 6.3% | ||||||||
124,014 | alstria office REIT-AG (REIT) (Office) | 2,256,280 | ||||||
20,635 | Deutsche Wohnen SE (Real Estate Operating Companies) | 1,100,976 | ||||||
31,155 | Instone Real Estate Group AG (Real Estate Development)*(a) | 795,408 | ||||||
97,552 | Vonovia SE (Real Estate Operating Companies) | 7,124,621 | ||||||
|
| |||||||
11,277,285 | ||||||||
|
| |||||||
Hong Kong – 4.3% | ||||||||
333,000 | CK Asset Holdings Ltd. (Real Estate Development) | 1,703,927 | ||||||
407,000 | Link REIT (REIT) (Retail) | 3,696,283 | ||||||
795,600 | Swire Properties Ltd. (Real Estate Operating Companies) | 2,313,153 | ||||||
|
| |||||||
7,713,363 | ||||||||
|
| |||||||
Ireland – 0.5% | ||||||||
212,522 | Dalata Hotel Group plc (Hotel) | 982,690 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Japan – 9.5% | ||||||||
534 | Comforia Residential REIT, Inc. (REIT) (Residential) | 1,538,654 | ||||||
803 | ESCON Japan REIT Investment Corp. (REIT) (Diversified) | 934,898 | ||||||
53,000 | Kyoritsu Maintenance Co. Ltd. (Hotel) | 1,976,513 | ||||||
222,900 | Mitsubishi Estate Co. Ltd. (Diversified) | 3,582,636 | ||||||
602 | Mitsui Fudosan Logistics Park, Inc. (REIT) (Industrial) | 3,053,122 | ||||||
194 | Nippon Prologis REIT, Inc. (REIT) (Industrial)* | 606,067 | ||||||
946 | Sankei Real Estate, Inc. (REIT) (Office) | 901,873 | ||||||
77,400 | Sumitomo Realty & Development Co. Ltd. (Diversified) | 2,389,555 | ||||||
1,717 | United Urban Investment Corp. (REIT) (Diversified) | 2,125,677 | ||||||
|
| |||||||
17,108,995 | ||||||||
|
| |||||||
Singapore – 3.0% | ||||||||
1,561,900 | Ascendas India Trust (Real Estate Operating Companies) | 1,630,604 | ||||||
371,474 | CapitaLand Ltd. (Diversified) | 921,728 | ||||||
580,300 | Keppel DC REIT (REIT) (Specialized) | 1,235,708 | ||||||
1,058,800 | Mapletree Logistics Trust (REIT) (Industrial) | 1,611,457 | ||||||
|
| |||||||
5,399,497 | ||||||||
|
| |||||||
Spain – 1.4% | ||||||||
17,498 | Cellnex Telecom SA (Integrated Telecommunication Services)(a) | 1,050,807 | ||||||
145,042 | Merlin Properties Socimi SA (REIT) (Diversified) | 1,382,995 | ||||||
|
| |||||||
2,433,802 | ||||||||
|
| |||||||
Sweden – 1.5% | ||||||||
106,801 | Castellum AB (Real Estate Operating Companies) | 2,722,438 | ||||||
|
| |||||||
United Kingdom – 5.6% | ||||||||
86,552 | Big Yellow Group plc (REIT) (Specialized) | 1,296,776 | ||||||
481,716 | Capital & Counties Properties plc (REIT) (Retail) | 957,528 | ||||||
25,353 | Derwent London plc (REIT) (Office) | 1,077,480 | ||||||
248,990 | Segro plc (REIT) (Industrial) | 3,230,832 | ||||||
1,024,880 | Tritax EuroBox plc (Diversified)(a) | 1,358,469 | ||||||
147,232 | UNITE Group plc (The) (REIT) (Residential) | 2,103,244 | ||||||
|
| |||||||
10,024,329 | ||||||||
|
| |||||||
United States – 53.0% | ||||||||
20,905 | Alexandria Real Estate Equities, Inc. (REIT) (Office) | 3,725,689 | ||||||
|
|
20 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
8,923 | American Tower Corp. (REIT) (Specialized) | $ | 2,002,857 | |||||
35,464 | Americold Realty Trust (REIT) (Industrial) | 1,323,871 | ||||||
16,189 | AvalonBay Communities, Inc. (REIT) (Residential) | 2,597,201 | ||||||
8,745 | Boston Properties, Inc. (REIT) (Office) | 826,665 | ||||||
32,923 | Camden Property Trust (REIT) (Residential) | 3,289,666 | ||||||
12,540 | CoreSite Realty Corp. (REIT) (Specialized) | 1,571,011 | ||||||
34,619 | Cousins Properties, Inc. (REIT) (Office) | 1,159,736 | ||||||
80,879 | CubeSmart (REIT) (Specialized) | 2,718,343 | ||||||
52,065 | Cushman & Wakefield plc (Real Estate Services)* | 772,124 | ||||||
39,551 | CyrusOne, Inc. (REIT) (Specialized) | 2,893,156 | ||||||
15,762 | Digital Realty Trust, Inc. (REIT) (Specialized) | 2,198,957 | ||||||
75,986 | Duke Realty Corp. (REIT) (Industrial) | 3,037,160 | ||||||
17,549 | EastGroup Properties, Inc. (REIT) (Industrial) | 2,422,815 | ||||||
1,998 | Equinix, Inc. (REIT) (Specialized) | 1,426,932 | ||||||
33,907 | Equity LifeStyle Properties, Inc. (REIT) (Residential) | 2,148,348 | ||||||
44,726 | Equity Residential (REIT) (Residential) | 2,651,357 | ||||||
13,421 | Essex Property Trust, Inc. (REIT) (Residential) | 3,186,414 | ||||||
19,469 | Extra Space Storage, Inc. (REIT) (Specialized) | 2,255,678 | ||||||
19,751 | Federal Realty Investment Trust (REIT) (Retail) | 1,681,205 | ||||||
40,220 | Healthcare Realty Trust, Inc. (REIT) (Health Care) | 1,190,512 | ||||||
97,792 | Healthpeak Properties, Inc. (REIT) (Health Care) | 2,956,252 | ||||||
28,834 | Highwoods Properties, Inc. (REIT) (Office) | 1,142,691 | ||||||
127,064 | Host Hotels & Resorts, Inc. (REIT) (Hotel) | 1,858,946 | ||||||
47,894 | Hudson Pacific Properties, Inc. (REIT) (Office) | 1,150,414 | ||||||
106,210 | Invitation Homes, Inc. (REIT) (Residential) | 3,154,437 | ||||||
20,281 | Kilroy Realty Corp. (REIT) (Office) | 1,164,129 | ||||||
23,468 | Life Storage, Inc. (REIT) (Specialized) | 2,801,845 | ||||||
58,155 | Pebblebrook Hotel Trust (REIT) (Hotel) | 1,093,314 | ||||||
68,921 | Prologis, Inc. (REIT) (Industrial) | 6,868,667 | ||||||
4,012 | Public Storage (REIT) (Specialized) | 926,491 | ||||||
24,553 | Realty Income Corp. (REIT) (Retail) | 1,526,460 | ||||||
41,450 | Regency Centers Corp. (REIT) (Retail) | 1,889,706 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
96,945 | RLJ Lodging Trust (REIT) (Hotel) | 1,371,772 | ||||||
20,483 | Ryman Hospitality Properties, Inc. (REIT) (Hotel) | 1,387,928 | ||||||
4,877 | SBA Communications Corp. (REIT) (Specialized) | 1,375,948 | ||||||
52,007 | Simon Property Group, Inc. (REIT) (Retail) | 4,435,157 | ||||||
26,596 | STORE Capital Corp. (REIT) (Diversified) | 903,732 | ||||||
16,126 | Sun Communities, Inc. (REIT) (Residential) | 2,450,346 | ||||||
20,906 | Terreno Realty Corp. (REIT) (Industrial) | 1,223,210 | ||||||
59,583 | Urban Edge Properties (REIT) (Retail) | 771,004 | ||||||
71,316 | Ventas, Inc. (REIT) (Health Care) | 3,497,337 | ||||||
26,449 | Vornado Realty Trust (REIT) (Office) | 987,606 | ||||||
67,950 | Welltower, Inc. (REIT) (Health Care) | 4,390,929 | ||||||
11,433 | WP Carey, Inc. (REIT) (Diversified) | 806,941 | ||||||
|
| |||||||
95,214,959 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $151,579,627) | $ | 176,010,968 | ||||||
|
| |||||||
Shares | Dividend Rate | Value | ||||||
Investment Company(b) – 1.3% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
2,365,286 | 0.026% | $ | 2,365,286 | |||||
(Cost $2,365,286) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 99.2% | ||||||||
(Cost $153,944,913) | $ | 178,376,254 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.8% | 1,402,814 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 179,779,068 | ||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Security is currently in default and/or non-income producing. | |
(a) | Exempt from registration under Rule 144A of the Securities Act of 1933. | |
(b) | Represents an Affiliated Issuer. |
| ||
Investment Abbreviations: | ||
ADR | —American Depositary Receipt | |
CVA | —Dutch Certification | |
REIT | —Real Estate Investment Trust | |
|
The accompanying notes are an integral part of these financial statements. | 21 |
GOLDMAN SACHS INTERNATIONAL REAL ESTATE SECURITIES FUND
Schedule of Investments
December 31, 2020
Shares | Description | Value | ||||||
Common Stocks – 97.2% | ||||||||
Australia – 7.8% | ||||||||
108,769 | Goodman Group (REIT) (Industrial) | $ | 1,589,928 | |||||
346,220 | Ingenia Communities Group (REIT) (Residential) | 1,310,693 | ||||||
368,256 | Mirvac Group (REIT) (Diversified) | 747,918 | ||||||
42,829 | NEXTDC Ltd. (Internet Services & Infrastructure)* | 404,151 | ||||||
|
| |||||||
4,052,690 | ||||||||
|
| |||||||
Belgium – 1.3% | ||||||||
19,621 | Warehouses De Pauw CVA (REIT) (Industrial) | 680,231 | ||||||
|
| |||||||
Canada – 6.2% | ||||||||
29,383 | Allied Properties REIT (REIT) (Office) | 873,249 | ||||||
24,839 | Canadian Apartment Properties REIT (REIT) (Residential) | 975,490 | ||||||
43,938 | Chartwell Retirement Residences (Health Care) | 386,257 | ||||||
88,799 | Summit Industrial Income REIT (REIT) (Industrial) | 952,240 | ||||||
|
| |||||||
3,187,236 | ||||||||
|
| |||||||
China – 3.5% | ||||||||
6,606 | GDS Holdings Ltd. ADR (Internet Services & Infrastructure)* | 618,586 | ||||||
1,346,000 | Shangri-La Asia Ltd. (Hotel)* | 1,202,515 | ||||||
|
| |||||||
1,821,101 | ||||||||
|
| |||||||
France – 4.8% | ||||||||
9,987 | Gecina SA (REIT) (Diversified) | 1,552,979 | ||||||
41,707 | Klepierre SA (REIT) (Retail) | 940,659 | ||||||
|
| |||||||
2,493,638 | ||||||||
|
| |||||||
Germany – 13.0% | ||||||||
54,433 | alstria office REIT-AG (REIT) (Office) | 990,341 | ||||||
15,189 | Deutsche Wohnen SE (Real Estate Operating Companies) | 810,406 | ||||||
9,066 | Instone Real Estate Group AG (Real Estate Development)*(a) | 231,461 | ||||||
64,442 | Vonovia SE (Real Estate Operating Companies) | 4,706,462 | ||||||
|
| |||||||
6,738,670 | ||||||||
|
| |||||||
Hong Kong – 10.1% | ||||||||
281,000 | CK Asset Holdings Ltd. (Real Estate Development) | 1,437,849 | ||||||
213,700 | Link REIT (REIT) (Retail) | 1,940,775 | ||||||
69,975 | Sun Hung Kai Properties Ltd. (Diversified) | 894,909 | ||||||
333,000 | Swire Properties Ltd. (Real Estate Operating Companies) | 968,175 | ||||||
|
| |||||||
5,241,708 | ||||||||
|
| |||||||
Ireland – 0.6% | ||||||||
61,137 | Dalata Hotel Group plc (Hotel) | 282,694 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Japan – 23.4% | ||||||||
239 | Comforia Residential REIT, Inc. (REIT) (Residential) | 688,648 | ||||||
614 | ESCON Japan REIT Investment Corp. (REIT) (Diversified) | 714,853 | ||||||
812 | GLP J-REIT (REIT) (Industrial)* | 1,281,346 | ||||||
21,100 | Kyoritsu Maintenance Co. Ltd. (Hotel) | 786,876 | ||||||
143,800 | Mitsubishi Estate Co. Ltd. (Diversified) | 2,311,274 | ||||||
55,000 | Mitsui Fudosan Co. Ltd. (Diversified) | 1,151,676 | ||||||
221 | Mitsui Fudosan Logistics Park, Inc. (REIT) (Industrial) | 1,120,831 | ||||||
179 | Nippon Prologis REIT, Inc. (REIT) (Industrial)* | 559,207 | ||||||
522 | Sankei Real Estate, Inc. (REIT) (Office) | 497,651 | ||||||
54,300 | Sumitomo Realty & Development Co. Ltd. (Diversified) | 1,676,393 | ||||||
1,082 | United Urban Investment Corp. (REIT) (Diversified) | 1,339,536 | ||||||
|
| |||||||
12,128,291 | ||||||||
|
| |||||||
Norway – 0.7% | ||||||||
16,436 | Entra ASA (Real Estate Operating Companies)(a) | 372,771 | ||||||
|
| |||||||
Singapore – 5.7% | ||||||||
821,500 | Ascendas India Trust (Real Estate Operating Companies) | 857,636 | ||||||
285,725 | CapitaLand Ltd. (Diversified) | 708,961 | ||||||
386,300 | Keppel DC REIT (REIT) (Specialized) | 822,598 | ||||||
366,900 | Mapletree Logistics Trust (REIT) (Industrial) | 558,409 | ||||||
|
| |||||||
2,947,604 | ||||||||
|
| |||||||
Spain – 2.1% | ||||||||
8,626 | Cellnex Telecom SA (Integrated Telecommunication Services)(a) | 518,017 | ||||||
62,194 | Merlin Properties Socimi SA (REIT) (Diversified) | 593,028 | ||||||
|
| |||||||
1,111,045 | ||||||||
|
| |||||||
Sweden – 3.0% | ||||||||
60,375 | Castellum AB (Real Estate Operating Companies) | 1,539,005 | ||||||
|
| |||||||
Switzerland – 2.4% | ||||||||
9,459 | PSP Swiss Property AG (Registered) (Real Estate Operating Companies) | 1,260,115 | ||||||
|
| |||||||
United Kingdom – 12.6% | ||||||||
63,255 | Big Yellow Group plc (REIT) (Specialized) | 947,726 | ||||||
175,471 | Capital & Counties Properties plc (REIT) (Retail) | 348,792 | ||||||
24,728 | Derwent London plc (REIT) (Office) | 1,050,918 | ||||||
130,976 | Segro plc (REIT) (Industrial) | 1,699,512 | ||||||
206,845 | Tritax Big Box REIT plc (REIT) (Industrial) | 475,230 | ||||||
433,869 | Tritax EuroBox plc (Diversified)(a) | 575,089 | ||||||
|
|
22 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL REAL ESTATE SECURITIES FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
United Kingdom – (continued) | ||||||||
101,159 | UNITE Group plc (The) (REIT) (Residential) | $ | 1,445,080 | |||||
|
| |||||||
6,542,347 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $48,055,514) | $ | 50,399,146 | ||||||
|
| |||||||
Shares | Dividend Rate | Value | ||||||
Investment Company(b) – 2.3% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
1,168,707 | 0.026% | $ | 1,168,707 | |||||
(Cost $1,168,707) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 99.5% | ||||||||
(Cost $49,224,221) | $ | 51,567,853 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.5% | 240,708 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 51,808,561 | ||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Security is currently in default and/or non-income producing. | |
(a) | Exempt from registration under Rule 144A of the Securities Act of 1933. | |
(b) | Represents an Affiliated Issuer. |
| ||
Investment Abbreviations: | ||
ADR | —American Depositary Receipt | |
CVA | —Dutch Certification | |
REIT | —Real Estate Investment Trust | |
|
The accompanying notes are an integral part of these financial statements. | 23 |
GOLDMAN SACHS REAL ESTATE SECURITIES FUND
Schedule of Investments
December 31, 2020
Shares | Description | Value | ||||||
Common Stocks – 98.8% | ||||||||
Health Care – 11.9% | ||||||||
44,200 | Healthcare Realty Trust, Inc. (REIT) | $ | 1,308,320 | |||||
108,777 | Healthpeak Properties, Inc. (REIT) | 3,288,329 | ||||||
85,101 | Ventas, Inc. (REIT) | 4,173,353 | ||||||
82,620 | Welltower, Inc. (REIT) | 5,338,904 | ||||||
|
| |||||||
14,108,906 | ||||||||
|
| |||||||
Hotel – 6.6% | ||||||||
196,764 | Host Hotels & Resorts, Inc. (REIT) | 2,878,657 | ||||||
70,387 | Pebblebrook Hotel Trust (REIT) | 1,323,276 | ||||||
110,568 | RLJ Lodging Trust (REIT) | 1,564,537 | ||||||
32,056 | Ryman Hospitality Properties, Inc. (REIT) | 2,172,115 | ||||||
|
| |||||||
7,938,585 | ||||||||
|
| |||||||
Industrial – 15.5% | ||||||||
23,846 | Americold Realty Trust (REIT) | 890,171 | ||||||
96,760 | Duke Realty Corp. (REIT) | 3,867,497 | ||||||
18,397 | EastGroup Properties, Inc. (REIT) | 2,539,890 | ||||||
101,693 | Prologis, Inc. (REIT) | 10,134,724 | ||||||
18,476 | Terreno Realty Corp. (REIT) | 1,081,031 | ||||||
|
| |||||||
18,513,313 | ||||||||
|
| |||||||
Office – 11.3% | ||||||||
24,850 | Alexandria Real Estate Equities, Inc. (REIT) | 4,428,767 | ||||||
11,659 | Boston Properties, Inc. (REIT) | 1,102,125 | ||||||
53,258 | Cousins Properties, Inc. (REIT) | 1,784,143 | ||||||
44,878 | Highwoods Properties, Inc. (REIT) | 1,778,515 | ||||||
59,295 | Hudson Pacific Properties, Inc. (REIT) | 1,424,266 | ||||||
27,765 | Kilroy Realty Corp. (REIT) | 1,593,711 | ||||||
37,638 | Vornado Realty Trust (REIT) | 1,405,403 | ||||||
|
| |||||||
13,516,930 | ||||||||
|
| |||||||
Residential – 20.5% | ||||||||
22,647 | AvalonBay Communities, Inc. (REIT) | 3,633,258 | ||||||
31,709 | Camden Property Trust (REIT) | 3,168,363 | ||||||
51,641 | Equity LifeStyle Properties, Inc. (REIT) | 3,271,974 | ||||||
54,233 | Equity Residential (REIT) | 3,214,932 | ||||||
17,007 | Essex Property Trust, Inc. (REIT) | 4,037,802 | ||||||
122,102 | Invitation Homes, Inc. (REIT) | 3,626,429 | ||||||
23,817 | Sun Communities, Inc. (REIT) | 3,618,993 | ||||||
|
| |||||||
24,571,751 | ||||||||
|
| |||||||
Retail – 7.7% | ||||||||
15,620 | Federal Realty Investment Trust (REIT) | 1,329,574 | ||||||
39,095 | Regency Centers Corp. (REIT) | 1,782,341 | ||||||
60,351 | Simon Property Group, Inc. (REIT) | 5,146,733 | ||||||
76,098 | Urban Edge Properties (REIT) | 984,708 | ||||||
|
| |||||||
9,243,356 | ||||||||
|
| |||||||
Specialized – 25.3% | ||||||||
4,549 | American Tower Corp. (REIT) | 1,021,069 | ||||||
14,065 | CoreSite Realty Corp. (REIT) | 1,762,063 | ||||||
77,286 | CubeSmart (REIT) | 2,597,583 | ||||||
27,945 | CyrusOne, Inc. (REIT) | 2,044,177 | ||||||
23,321 | Digital Realty Trust, Inc. (REIT) | 3,253,513 | ||||||
14,009 | Equinix, Inc. (REIT) | 10,004,948 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Specialized – (continued) | ||||||||
24,498 | Extra Space Storage, Inc. (REIT) | 2,838,338 | ||||||
23,743 | Life Storage, Inc. (REIT) | 2,834,677 | ||||||
10,849 | Public Storage (REIT) | 2,505,360 | ||||||
4,078 | SBA Communications Corp. (REIT) | 1,150,526 | ||||||
|
| |||||||
30,012,254 | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 98.8% | ||||||||
(Cost $88,228,871) | $ | 117,905,095 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 1.2% | 1,483,732 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 119,388,827 | ||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
| ||
Investment Abbreviation: | ||
REIT | —Real Estate Investment Trust | |
|
24 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Statements of Assets and Liabilities
December 31, 2020
Global Real Estate Securities Fund | International Real Estate Securities Fund | Real Estate Securities Fund | ||||||||||||
Assets: |
| |||||||||||||
Investments in unaffiliated issuers, at value (cost $151,579,627, $48,055,514 and $88,228,871) | $ | 176,010,968 | $ | 50,399,146 | $ | 117,905,095 | ||||||||
Investments in affiliated issuers, at value (cost $2,365,286, $1,168,707 and $0) | 2,365,286 | 1,168,707 | — | |||||||||||
Cash | 605,896 | 106,846 | 649,512 | |||||||||||
Foreign currencies, at value (cost $33,741, $127,243 and $0) | 34,736 | 127,172 | — | |||||||||||
Receivables: | ||||||||||||||
Dividends | 666,713 | 84,602 | 566,841 | |||||||||||
Fund shares sold | 310,000 | 7 | 663,961 | |||||||||||
Foreign tax reclaims | 154,196 | 95,403 | — | |||||||||||
Reimbursement from investment adviser | 42,436 | 39,028 | 39,578 | |||||||||||
Securities lending income | 216 | 227 | — | |||||||||||
Due from custodian | — | 77,954 | — | |||||||||||
Other assets | 52,919 | 26,666 | 42,228 | |||||||||||
Total assets | 180,243,366 | 52,125,758 | 119,867,215 | |||||||||||
Liabilities: |
| |||||||||||||
Payables: | ||||||||||||||
Fund shares redeemed | 163,058 | 719 | 226,554 | |||||||||||
Management fees | 138,453 | 39,654 | 86,835 | |||||||||||
Distribution and Service fees and Transfer Agency fees | 4,576 | 2,043 | 12,181 | |||||||||||
Investments purchased | — | 77,954 | — | |||||||||||
Accrued expenses | 158,211 | 196,827 | 152,818 | |||||||||||
Total liabilities | 464,298 | 317,197 | 478,388 | |||||||||||
Net Assets: |
| |||||||||||||
Paid-in capital | 172,508,253 | 63,546,962 | 86,935,549 | |||||||||||
Total distributable earnings (loss) | 7,270,815 | (11,738,401 | ) | 32,453,278 | ||||||||||
NET ASSETS | $ | 179,779,068 | $ | 51,808,561 | $ | 119,388,827 | ||||||||
Net Assets: | ||||||||||||||
Class A | $ | 50,343 | $ | 2,005,011 | $ | 19,177,239 | ||||||||
Class C | 50,216 | 75,549 | 1,332,409 | |||||||||||
Institutional | 2,150,454 | 4,864,405 | 23,409,225 | |||||||||||
Service | — | — | 939,746 | |||||||||||
Investor | 31,576 | 71,118 | 2,289,204 | |||||||||||
Class R6 | 144,289,692 | 12,231 | 1,115,694 | |||||||||||
Class R | 30,745 | — | 909,843 | |||||||||||
Class P | 33,176,042 | 44,780,247 | 70,215,467 | |||||||||||
Total Net Assets | $ | 179,779,068 | $ | 51,808,561 | $ | 119,388,827 | ||||||||
Shares outstanding $0.001 par value (unlimited shares authorized): | ||||||||||||||
Class A | 4,912 | 310,877 | 1,737,913 | |||||||||||
Class C | 4,932 | 11,637 | 129,279 | |||||||||||
Institutional | 209,800 | 781,686 | 2,025,568 | |||||||||||
Service | — | — | 84,254 | |||||||||||
Investor | 3,088 | 11,128 | 204,667 | |||||||||||
Class R6 | 14,105,960 | 1,967 | 96,534 | |||||||||||
Class R | 3,012 | — | 83,739 | |||||||||||
Class P | 3,245,068 | 7,213,445 | 6,079,700 | |||||||||||
Net asset value, offering and redemption price per share:(a) | ||||||||||||||
Class A | $ | 10.25 | $ | 6.45 | $ | 11.03 | ||||||||
Class C | 10.18 | 6.49 | 10.31 | |||||||||||
Institutional | 10.25 | 6.22 | 11.56 | |||||||||||
Service | — | — | 11.15 | |||||||||||
Investor | 10.23 | 6.39 | 11.19 | |||||||||||
Class R6 | 10.23 | 6.22 | 11.56 | |||||||||||
Class R | 10.21 | — | 10.87 | |||||||||||
Class P | 10.22 | 6.21 | 11.55 |
(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 $10.85, $6.83 and $11.67, 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. | 25 |
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Statements of Operations
For the Fiscal Year Ended December 31, 2020
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 $208,677, $41,659 and $0) | $ | 4,618,894 | $ | 1,677,808 | $ | 3,018,167 | ||||||||
Dividends — affiliated issuers | 13,967 | 4,772 | 2,697 | |||||||||||
Securities lending income — affiliated issuer | 8,005 | 6,712 | — | |||||||||||
Interest | — | — | 111 | |||||||||||
Total investment income | 4,640,866 | 1,689,292 | 3,020,975 | |||||||||||
Expenses: |
| |||||||||||||
Management fees | 1,702,329 | 540,441 | 1,112,904 | |||||||||||
Custody, accounting and administrative services | 121,495 | 131,689 | 98,290 | |||||||||||
Professional fees | 118,611 | 122,568 | 112,915 | |||||||||||
Registration fees | 115,064 | 88,827 | 115,423 | |||||||||||
Transfer Agency fees(a) | 55,329 | 20,905 | 78,633 | |||||||||||
Printing and mailing costs | 44,033 | 35,126 | 45,906 | |||||||||||
Trustee fees | 20,756 | 20,554 | 20,663 | |||||||||||
Distribution and Service (12b-1) fees(a) | 646 | 6,165 | 73,848 | |||||||||||
Service fees — Class C | 129 | 249 | 4,541 | |||||||||||
Shareholder administration fees — Service Shares | — | — | 2,749 | |||||||||||
Other | 23,860 | 50,647 | 31,186 | |||||||||||
Total expenses | 2,202,252 | 1,017,171 | 1,697,058 | |||||||||||
Less — expense reductions | (441,120 | ) | (448,925 | ) | (421,268 | ) | ||||||||
Net expenses | 1,761,132 | 568,246 | 1,275,790 | |||||||||||
NET INVESTMENT INCOME | 2,879,734 | 1,121,046 | 1,745,185 | |||||||||||
Realized and unrealized gain (loss): |
| |||||||||||||
Net realized gain (loss) from: | ||||||||||||||
Investments — unaffiliated issuers | (10,695,516 | ) | (2,649,386 | ) | 12,433,337 | |||||||||
Foreign currency transactions | (1,325 | ) | 23,914 | — | ||||||||||
Net change in unrealized gain (loss) on: | ||||||||||||||
Investments — unaffiliated issuers | (9,369,212 | ) | (4,725,831 | ) | (26,856,048 | ) | ||||||||
Foreign currency translation | 10,586 | (603 | ) | — | ||||||||||
Net realized and unrealized loss | (20,055,467 | ) | (7,351,906 | ) | (14,422,711 | ) | ||||||||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (17,175,733 | ) | $ | (6,230,860 | ) | $ | (12,677,526 | ) |
(a) | Class specific Distribution and/or Service, and Transfer Agency fees were as follows: |
Distribution and/or (12b-1) Service Fees | Transfer Agency Fees | |||||||||||||||||||||||||||||||||||||||||||||||
Fund | Class A | Class C | Service | Class R | Class A | Class C | Institutional | Service | Investor | Class R6 | Class R | Class P | ||||||||||||||||||||||||||||||||||||
Global Real Estate Securities | $ | 116 | $ | 387 | N/A | $ | 143 | $ | 79 | $ | 88 | $ | 780 | N/A | $ | 50 | $ | 45,263 | $ | 48 | $ | 9,021 | ||||||||||||||||||||||||||
International Real Estate Securities | 5,419 | 746 | N/A | N/A | 3,685 | 169 | 2,138 | N/A | 157 | 4 | N/A | 14,752 | ||||||||||||||||||||||||||||||||||||
Real Estate Securities | 52,491 | 13,623 | $ | 2,749 | 4,985 | 35,694 | 3,088 | 9,566 | $ | 440 | 5,369 | 287 | 1,695 | 22,494 |
26 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Statements of Changes in Net Assets
Global Real Estate Securities Fund | International Real Estate Securities Fund | |||||||||||||||||||||
For the Fiscal Year Ended December 31, 2020 | For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2020 | For the Fiscal Year Ended December 31, 2019 | |||||||||||||||||||
From operations: |
| |||||||||||||||||||||
Net investment income | $ | 2,879,734 | $ | 4,892,864 | $ | 1,121,046 | $ | 1,773,253 | ||||||||||||||
Net realized gain (loss) | (10,696,841 | ) | 10,714,347 | (2,625,472 | ) | 2,198,843 | ||||||||||||||||
Net change in unrealized gain (loss) | (9,358,626 | ) | 42,541,227 | (4,726,434 | ) | 12,860,539 | ||||||||||||||||
Net increase (decrease) in net assets resulting from operations | (17,175,733 | ) | 58,148,438 | (6,230,860 | ) | 16,832,635 | ||||||||||||||||
Distributions to shareholders: |
| |||||||||||||||||||||
From distributable earnings: | ||||||||||||||||||||||
Class A Shares | (609 | ) | (8,437 | ) | (15,239 | ) | (183,401 | ) | ||||||||||||||
Class C Shares | (383 | ) | (4,483 | ) | (232 | ) | (8,170 | ) | ||||||||||||||
Institutional Shares | (31,174 | ) | (167,237 | ) | (60,522 | ) | (468,447 | ) | ||||||||||||||
Investor Shares | (436 | ) | (2,592 | ) | (870 | ) | (7,508 | ) | ||||||||||||||
Class R6 Shares | (323 | ) | (15,480,001 | ) | (120 | ) | (1,403 | ) | ||||||||||||||
Class R Shares | (2,372,452 | ) | (2,388 | ) | — | — | ||||||||||||||||
Class P Shares | (453,308 | ) | (3,426,805 | ) | (532,922 | ) | (4,954,363 | ) | ||||||||||||||
Return of capital | ||||||||||||||||||||||
Class A Shares | (36 | ) | — | — | — | |||||||||||||||||
Class C Shares | (41 | ) | — | — | — | |||||||||||||||||
Institutional Shares | (1,508 | ) | — | — | — | |||||||||||||||||
Investor Shares | (22 | ) | — | — | — | |||||||||||||||||
Class R6 Shares | (22 | ) | — | — | — | |||||||||||||||||
Class R Shares | (116,461 | ) | — | — | — | |||||||||||||||||
Class P Shares | (22,783 | ) | — | — | — | |||||||||||||||||
Total distributions to shareholders | (2,999,558 | ) | (19,091,943 | ) | (609,905 | ) | (5,623,292 | ) | ||||||||||||||
From share transactions: |
| |||||||||||||||||||||
Proceeds from sales of shares | 41,090,365 | 16,341,265 | 19,591,950 | 3,018,061 | ||||||||||||||||||
Reinvestment of distributions | 2,999,558 | 19,091,244 | 609,717 | 5,620,083 | ||||||||||||||||||
Cost of shares redeemed | (82,690,864 | ) | (137,841,618 | ) | (41,602,561 | ) | (35,565,954 | ) | ||||||||||||||
Net decrease in net assets resulting from share transactions | (38,600,941 | ) | (102,409,109 | ) | (21,400,894 | ) | (26,927,810 | ) | ||||||||||||||
TOTAL DECREASE | (58,776,232 | ) | (63,352,614 | ) | (28,241,659 | ) | (15,718,467 | ) | ||||||||||||||
Net Assets: |
| |||||||||||||||||||||
Beginning of year | 238,555,300 | 301,907,914 | 80,050,220 | 95,768,687 | ||||||||||||||||||
End of year | $ | 179,779,068 | $ | 238,555,300 | $ | 51,808,561 | $ | 80,050,220 |
The accompanying notes are an integral part of these financial statements. | 27 |
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Statements of Changes in Net Assets (continued)
Real Estate Securities Fund | ||||||||||
For the Fiscal Year Ended December 31, 2020 | For the Fiscal Year Ended December 31, 2019 | |||||||||
From operations: |
| |||||||||
Net investment income | $ | 1,745,185 | $ | 2,998,430 | ||||||
Net realized gain | 12,433,337 | 18,432,828 | ||||||||
Net change in unrealized gain (loss) | (26,856,048 | ) | 16,996,855 | |||||||
Net increase (decrease) in net assets resulting from operations | (12,677,526 | ) | 38,428,113 | |||||||
Distributions to shareholders: |
| |||||||||
From distributable earnings: | ||||||||||
Class A Shares | (1,884,068 | ) | (4,434,753 | ) | ||||||
Class C Shares | (137,431 | ) | (465,177 | ) | ||||||
Institutional Shares | (2,203,861 | ) | (4,792,454 | ) | ||||||
Service Shares | (90,056 | ) | (276,914 | ) | ||||||
Investor Shares | (230,536 | ) | (820,674 | ) | ||||||
Class R6 Shares | (101,806 | ) | (149,539 | ) | ||||||
Class R Shares | (86,660 | ) | (241,139 | ) | ||||||
Class P Shares | (6,634,674 | ) | (14,663,341 | ) | ||||||
Total distributions to shareholders | (11,369,092 | ) | (25,843,991 | ) | ||||||
From share transactions: |
| |||||||||
Proceeds from sales of shares | 30,451,351 | 16,358,201 | ||||||||
Reinvestment of distributions | 11,186,191 | 25,157,239 | ||||||||
Cost of shares redeemed | (56,542,166 | ) | (58,110,627 | ) | ||||||
Net decrease in net assets resulting from share transactions | (14,904,624 | ) | (16,595,187 | ) | ||||||
TOTAL DECREASE | (38,951,242 | ) | (4,011,065 | ) | ||||||
Net Assets: |
| |||||||||
Beginning of year | 158,340,069 | 162,351,134 | ||||||||
End of year | $ | 119,388,827 | $ | 158,340,069 |
28 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
Selected Data for a Share Outstanding Throughout Each Year
Goldman Sachs Global Real Estate Securities Fund | ||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 11.14 | $ | 9.79 | $ | 10.64 | $ | 10.05 | $ | 10.44 | ||||||||||||
Net investment income(a) | 0.12 | 0.17 | 0.19 | 0.21 | 0.17 | |||||||||||||||||
Net realized and unrealized gain (loss) | (0.88 | ) | 2.01 | (0.79 | ) | 0.63 | (0.08 | ) | ||||||||||||||
Total from investment operations | (0.76 | ) | 2.18 | (0.60 | ) | 0.84 | 0.09 | |||||||||||||||
Distributions to shareholders from net investment income | (0.10 | ) | (0.53 | ) | (0.20 | ) | (0.25 | ) | (0.29 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.02 | ) | (0.30 | ) | — | — | (b) | (0.17 | ) | |||||||||||||
Distributions to shareholders from return of capital | (0.01 | ) | — | (0.05 | ) | — | (0.02 | ) | ||||||||||||||
Total distributions | (0.13 | ) | (0.83 | ) | (0.25 | ) | (0.25 | ) | (0.48 | ) | ||||||||||||
Net asset value, end of year | $ | 10.25 | $ | 11.14 | $ | 9.79 | $ | 10.64 | $ | 10.05 | ||||||||||||
Total return(c) | (6.63 | )% | 22.47 | % | (5.77 | )% | 8.50 | % | 0.82 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 50 | $ | 54 | $ | 905 | $ | 1,768 | $ | 32 | ||||||||||||
Ratio of net expenses to average net assets | 1.35 | % | 1.36 | % | 1.37 | % | 1.39 | % | 1.44 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.60 | % | 1.52 | % | 1.52 | % | 1.59 | % | 4.34 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.21 | % | 1.55 | % | 1.85 | % | 2.03 | % | 1.57 | % | ||||||||||||
Portfolio turnover rate(d) | 75 | % | 42 | % | 67 | % | 58 | % | 60 | % |
(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. 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. | 29 |
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
Goldman Sachs Global Real Estate Securities Fund | ||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 11.09 | $ | 9.79 | $ | 10.64 | $ | 10.04 | $ | 10.43 | ||||||||||||
Net investment income(a) | 0.04 | 0.11 | 0.12 | 0.12 | 0.10 | |||||||||||||||||
Net realized and unrealized gain (loss) | (0.87 | ) | 1.98 | (0.80 | ) | 0.65 | (0.09 | ) | ||||||||||||||
Total from investment operations | (0.83 | ) | 2.09 | (0.68 | ) | 0.77 | 0.01 | |||||||||||||||
Distributions to shareholders from net investment income | (0.05 | ) | (0.49 | ) | (0.12 | ) | (0.17 | ) | (0.21 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.02 | ) | (0.30 | ) | — | — | (b) | (0.17 | ) | |||||||||||||
Distributions to shareholders from return of capital | (0.01 | ) | — | (0.05 | ) | — | (0.02 | ) | ||||||||||||||
Total distributions | (0.08 | ) | (0.79 | ) | (0.17 | ) | (0.17 | ) | (0.40 | ) | ||||||||||||
Net asset value, end of year | $ | 10.18 | $ | 11.09 | $ | 9.79 | $ | 10.64 | $ | 10.04 | ||||||||||||
Total return(c) | (7.39 | )% | 21.60 | % | (6.45 | )% | 7.72 | % | 0.11 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 50 | $ | 66 | $ | 27 | $ | 28 | $ | 36 | ||||||||||||
Ratio of net expenses to average net assets | 2.10 | % | 2.11 | % | 2.12 | % | 2.15 | % | 2.15 | % | ||||||||||||
Ratio of total expenses to average net assets | 2.34 | % | 2.29 | % | 2.27 | % | 2.79 | % | 5.31 | % | ||||||||||||
Ratio of net investment income to average net assets | 0.45 | % | 0.96 | % | 1.20 | % | 1.15 | % | 0.93 | % | ||||||||||||
Portfolio turnover rate(d) | 75 | % | 42 | % | 67 | % | 58 | % | 60 | % |
(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. 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 Year
Goldman Sachs Global Real Estate Securities Fund | ||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 11.13 | $ | 9.82 | $ | 10.66 | $ | 10.06 | $ | 10.44 | ||||||||||||
Net investment income (loss)(a) | 0.15 | 0.22 | (0.03 | ) | 0.24 | 0.24 | ||||||||||||||||
Net realized and unrealized gain (loss) | (0.87 | ) | 2.00 | (0.54 | ) | 0.65 | (0.10 | ) | ||||||||||||||
Total from investment operations | (0.72 | ) | 2.22 | (0.57 | ) | 0.89 | 0.14 | |||||||||||||||
Distributions to shareholders from net investment income | (0.13 | ) | (0.61 | ) | (0.22 | ) | (0.29 | ) | (0.32 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.02 | ) | (0.30 | ) | — | — | (b) | (0.17 | ) | |||||||||||||
Distributions to shareholders from return of capital | (0.01 | ) | — | (0.05 | ) | — | (0.03 | ) | ||||||||||||||
Total distributions | (0.16 | ) | (0.91 | ) | (0.27 | ) | (0.29 | ) | (0.52 | ) | ||||||||||||
Net asset value, end of year | $ | 10.25 | $ | 11.13 | $ | 9.82 | $ | 10.66 | $ | 10.06 | ||||||||||||
Total return(c) | (6.26 | )% | 22.91 | % | (5.41 | )% | 8.96 | % | 1.30 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 2,150 | $ | 2,131 | $ | 1,855 | $ | 338,527 | $ | 27,663 | ||||||||||||
Ratio of net expenses to average net assets | 0.97 | % | 0.97 | % | 1.00 | % | 1.00 | % | 1.00 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.22 | % | 1.15 | % | 1.18 | % | 1.24 | % | 2.82 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | 1.60 | % | 1.98 | % | (0.26 | )% | 2.31 | % | 2.23 | % | ||||||||||||
Portfolio turnover rate(d) | 75 | % | 42 | % | 67 | % | 58 | % | 60 | % |
(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. 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 Year
Goldman Sachs Global Real Estate Securities Fund | ||||||||||||||||||||||
Investor Shares(a) | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 11.11 | $ | 9.80 | $ | 10.65 | $ | 10.05 | $ | 10.44 | ||||||||||||
Net investment income(b) | 0.14 | 0.21 | 0.23 | 0.22 | 0.20 | |||||||||||||||||
Net realized and unrealized gain (loss) | (0.87 | ) | 2.00 | (0.81 | ) | 0.65 | (0.09 | ) | ||||||||||||||
Total from investment operations | (0.73 | ) | 2.21 | (0.58 | ) | 0.87 | 0.11 | |||||||||||||||
Distributions to shareholders from net investment income | (0.12 | ) | (0.60 | ) | (0.22 | ) | (0.27 | ) | (0.31 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.02 | ) | (0.30 | ) | — | — | (c) | (0.17 | ) | |||||||||||||
Distributions to shareholders from return of capital | (0.01 | ) | — | (0.05 | ) | — | (0.02 | ) | ||||||||||||||
Total distributions | (0.15 | ) | (0.90 | ) | (0.27 | ) | (0.27 | ) | (0.50 | ) | ||||||||||||
Net asset value, end of year | $ | 10.23 | $ | 11.11 | $ | 9.80 | $ | 10.65 | $ | 10.05 | ||||||||||||
Total return(d) | (6.37 | )% | 22.79 | % | (5.50 | )% | 8.80 | % | 1.05 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 32 | $ | 34 | $ | 27 | $ | 29 | $ | 27 | ||||||||||||
Ratio of net expenses to average net assets | 1.10 | % | 1.11 | % | 1.12 | % | 1.15 | % | 1.15 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.34 | % | 1.29 | % | 1.27 | % | 1.75 | % | 4.22 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.45 | % | 1.85 | % | 2.20 | % | 2.13 | % | 1.85 | % | ||||||||||||
Portfolio turnover rate(e) | 75 | % | 42 | % | 67 | % | 58 | % | 60 | % |
(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. 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 Year
Goldman Sachs Global Real Estate Securities Fund | ||||||||||||||||||||||
Class R6 Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 11.11 | $ | 9.80 | $ | 10.66 | $ | 10.06 | $ | 10.44 | ||||||||||||
Net investment income(a) | 0.15 | 0.21 | 0.29 | 0.24 | 0.21 | |||||||||||||||||
Net realized and unrealized gain (loss) | (0.87 | ) | 2.01 | (0.86 | ) | 0.65 | (0.07 | ) | ||||||||||||||
Total from investment operations | (0.72 | ) | 2.22 | (0.57 | ) | 0.89 | 0.14 | |||||||||||||||
Distributions to shareholders from net investment income | (0.13 | ) | (0.61 | ) | (0.24 | ) | (0.29 | ) | (0.33 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.02 | ) | (0.30 | ) | — | — | (b) | (0.17 | ) | |||||||||||||
Distributions to shareholders from return of capital | (0.01 | ) | — | (0.05 | ) | — | (0.02 | ) | ||||||||||||||
Total distributions | (0.16 | ) | (0.91 | ) | (0.29 | ) | (0.29 | ) | (0.52 | ) | ||||||||||||
Net asset value, end of year | $ | 10.23 | $ | 11.11 | $ | 9.80 | $ | 10.66 | $ | 10.06 | ||||||||||||
Total return(c) | (6.27 | )% | 22.97 | % | (5.44 | )% | 8.97 | % | 1.31 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 144,290 | $ | 193,139 | $ | 259,662 | $ | 29 | $ | 27 | ||||||||||||
Ratio of net expenses to average net assets | 0.96 | % | 0.96 | % | 0.97 | % | 0.99 | % | 0.98 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.20 | % | 1.14 | % | 1.11 | % | 1.59 | % | 4.05 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.58 | % | 1.90 | % | 2.76 | % | 2.29 | % | 2.02 | % | ||||||||||||
Portfolio turnover rate(d) | 75 | % | 42 | % | 67 | % | 58 | % | 60 | % |
(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. 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 Year
Goldman Sachs Global Real Estate Securities Fund | ||||||||||||||||||||||
Class R Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 11.10 | $ | 9.80 | $ | 10.65 | $ | 10.05 | $ | 10.44 | ||||||||||||
Net investment income(a) | 0.09 | 0.15 | 0.18 | 0.17 | 0.14 | |||||||||||||||||
Net realized and unrealized gain (loss) | (0.87 | ) | 1.99 | (0.81 | ) | 0.65 | (0.08 | ) | ||||||||||||||
Total from investment operations | (0.78 | ) | 2.14 | (0.63 | ) | 0.82 | 0.06 | |||||||||||||||
Distributions to shareholders from net investment income | (0.08 | ) | (0.54 | ) | (0.17 | ) | (0.22 | ) | (0.26 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.02 | ) | (0.30 | ) | — | — | (b) | (0.17 | ) | |||||||||||||
Distributions to shareholders from return of capital | (0.01 | ) | — | (0.05 | ) | — | (0.02 | ) | ||||||||||||||
Total distributions | (0.11 | ) | (0.84 | ) | (0.22 | ) | (0.22 | ) | (0.45 | ) | ||||||||||||
Net asset value, end of year | $ | 10.21 | $ | 11.10 | $ | 9.80 | $ | 10.65 | $ | 10.05 | ||||||||||||
Total return(c) | (6.83 | )% | 22.10 | % | (5.97 | )% | 8.26 | % | 0.57 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 31 | $ | 33 | $ | 27 | $ | 29 | $ | 27 | ||||||||||||
Ratio of net expenses to average net assets | 1.60 | % | 1.61 | % | 1.62 | % | 1.65 | % | 1.65 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.84 | % | 1.79 | % | 1.77 | % | 2.25 | % | 4.73 | % | ||||||||||||
Ratio of net investment income to average net assets | 0.95 | % | 1.35 | % | 1.70 | % | 1.63 | % | 1.35 | % | ||||||||||||
Portfolio turnover rate(d) | 75 | % | 42 | % | 67 | % | 58 | % | 60 | % |
(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. 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 P Shares | ||||||||||||||
Year Ended December 31, | April 17, 2018* to December 31, 2018 | |||||||||||||
2020 | 2019 | |||||||||||||
Per Share Data |
| |||||||||||||
Net asset value, beginning of period | $ | 11.11 | $ | 9.80 | $ | 10.30 | ||||||||
Net investment income(a) | 0.15 | 0.22 | 0.23 | |||||||||||
Net realized and unrealized gain (loss) | (0.88 | ) | 2.01 | (0.50 | ) | |||||||||
Total from investment operations | (0.73 | ) | 2.23 | (0.27 | ) | |||||||||
Distributions to shareholders from net investment income | (0.13 | ) | (0.62 | ) | (0.18 | ) | ||||||||
Distributions to shareholders from net realized gains | (0.02 | ) | (0.30 | ) | — | |||||||||
Distributions to shareholders from return of capital | (0.01 | ) | — | (0.05 | ) | |||||||||
Total distributions | (0.16 | ) | (0.92 | ) | (0.23 | ) | ||||||||
Net asset value, end of period | $ | 10.22 | $ | 11.11 | $ | 9.80 | ||||||||
Total return(b) | (6.36 | )% | 22.98 | % | (2.69 | )% | ||||||||
Net assets, end of period (in 000s) | $ | 33,176 | $ | 43,099 | $ | 39,405 | ||||||||
Ratio of net expenses to average net assets | 0.96 | % | 0.96 | % | 0.96 | %(c) | ||||||||
Ratio of total expenses to average net assets | 1.20 | % | 1.14 | % | 1.11 | %(c) | ||||||||
Ratio of net investment income to average net assets | 1.56 | % | 1.98 | % | 3.15 | %(c) | ||||||||
Portfolio turnover rate(d) | 75 | % | 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. |
The accompanying notes are an integral part of these financial statements. | 35 |
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, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 6.66 | $ | 5.90 | $ | 6.48 | $ | 5.73 | $ | 6.09 | ||||||||||||
Net investment income(a) | 0.09 | 0.11 | 0.13 | 0.12 | 0.12 | |||||||||||||||||
Net realized and unrealized gain (loss) | (0.26 | ) | 1.08 | (0.59 | ) | 0.89 | (0.23 | ) | ||||||||||||||
Total from investment operations | (0.17 | ) | 1.19 | (0.46 | ) | 1.01 | (0.11 | ) | ||||||||||||||
Distributions to shareholders from net investment income | (0.04 | ) | (0.43 | ) | (0.12 | ) | (0.26 | ) | (0.25 | ) | ||||||||||||
Net asset value, end of year | $ | 6.45 | $ | 6.66 | $ | 5.90 | $ | 6.48 | $ | 5.73 | ||||||||||||
Total return(b) | (2.42 | )% | 20.38 | % | (7.19 | )% | 17.89 | % | (1.84 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 2,005 | $ | 2,888 | $ | 3,081 | $ | 4,377 | $ | 5,400 | ||||||||||||
Ratio of net expenses to average net assets | 1.37 | % | 1.38 | % | 1.38 | % | 1.39 | % | 1.39 | % | ||||||||||||
Ratio of total expenses to average net assets | 2.17 | % | 1.89 | % | 1.76 | % | 1.70 | % | 1.62 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.62 | % | 1.72 | % | 2.04 | % | 2.02 | % | 1.90 | % | ||||||||||||
Portfolio turnover rate(c) | 55 | % | 30 | % | 43 | % | 38 | % | 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. 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 C Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 6.72 | $ | 5.94 | $ | 6.50 | $ | 5.73 | $ | 6.09 | ||||||||||||
Net investment income(a) | 0.05 | 0.07 | 0.09 | 0.08 | 0.07 | |||||||||||||||||
Net realized and unrealized gain (loss) | (0.27 | ) | 1.07 | (0.60 | ) | 0.90 | (0.23 | ) | ||||||||||||||
Total from investment operations | (0.22 | ) | 1.14 | (0.51 | ) | 0.98 | (0.16 | ) | ||||||||||||||
Distributions to shareholders from net investment income | (0.01 | ) | (0.36 | ) | (0.05 | ) | (0.21 | ) | (0.20 | ) | ||||||||||||
Net asset value, end of year | $ | 6.49 | $ | 6.72 | $ | 5.94 | $ | 6.50 | $ | 5.73 | ||||||||||||
Total return(b) | (3.17 | )% | 19.38 | % | (7.89 | )% | 17.23 | % | (2.65 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 76 | $ | 158 | $ | 231 | $ | 810 | $ | 1,148 | ||||||||||||
Ratio of net expenses to average net assets | 2.12 | % | 2.13 | % | 2.13 | % | 2.14 | % | 2.14 | % | ||||||||||||
Ratio of total expenses to average net assets | 2.90 | % | 2.64 | % | 2.49 | % | 2.44 | % | 2.37 | % | ||||||||||||
Ratio of net investment income to average net assets | 0.86 | % | 0.99 | % | 1.38 | % | 1.26 | % | 1.12 | % | ||||||||||||
Portfolio turnover rate(c) | 55 | % | 30 | % | 43 | % | 38 | % | 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. 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 | ||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 6.43 | $ | 5.71 | $ | 6.26 | $ | 5.54 | $ | 5.91 | ||||||||||||
Net investment income(a) | 0.12 | 0.13 | 0.18 | 0.14 | 0.14 | |||||||||||||||||
Net realized and unrealized gain (loss) | (0.27 | ) | 1.05 | (0.60 | ) | 0.87 | (0.24 | ) | ||||||||||||||
Total from investment operations | (0.15 | ) | 1.18 | (0.42 | ) | 1.01 | (0.10 | ) | ||||||||||||||
Distributions to shareholders from net investment income | (0.06 | ) | (0.46 | ) | (0.13 | ) | (0.29 | ) | (0.27 | ) | ||||||||||||
Net asset value, end of year | $ | 6.22 | $ | 6.43 | $ | 5.71 | $ | 6.26 | $ | 5.54 | ||||||||||||
Total return(b) | (2.16 | )% | 20.86 | % | (6.72 | )% | 18.45 | % | (1.63 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 4,864 | $ | 6,938 | $ | 10,138 | $ | 117,768 | $ | 297,473 | ||||||||||||
Ratio of net expenses to average net assets | 0.99 | % | 0.99 | % | 0.99 | % | 0.99 | % | 0.99 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.79 | % | 1.50 | % | 1.35 | % | 1.28 | % | 1.22 | % | ||||||||||||
Ratio of net investment income to average net assets | 2.05 | % | 1.97 | % | 2.90 | % | 2.44 | % | 2.28 | % | ||||||||||||
Portfolio turnover rate(c) | 55 | % | 30 | % | 43 | % | 38 | % | 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. 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 | ||||||||||||||||||||||
Investor Shares(a) | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 6.60 | $ | 5.85 | $ | 6.43 | $ | 5.68 | $ | 6.04 | ||||||||||||
Net investment income(b) | 0.11 | 0.13 | 0.14 | 0.16 | 0.12 | |||||||||||||||||
Net realized and unrealized gain (loss) | (0.27 | ) | 1.07 | (0.58 | ) | 0.87 | (0.22 | ) | ||||||||||||||
Total from investment operations | (0.16 | ) | 1.20 | (0.44 | ) | 1.03 | (0.10 | ) | ||||||||||||||
Distributions to shareholders from net investment income | (0.05 | ) | (0.45 | ) | (0.14 | ) | (0.28 | ) | (0.26 | ) | ||||||||||||
Net asset value, end of year | $ | 6.39 | $ | 6.60 | $ | 5.85 | $ | 6.43 | $ | 5.68 | ||||||||||||
Total return(c) | (2.23 | )% | 20.71 | % | (7.00 | )% | 18.29 | % | (1.57 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 71 | $ | 117 | $ | 103 | $ | 109 | $ | 107 | ||||||||||||
Ratio of net expenses to average net assets | 1.12 | % | 1.13 | % | 1.13 | % | 1.14 | % | 1.14 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.93 | % | 1.65 | % | 1.52 | % | 1.45 | % | 1.37 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.91 | % | 1.94 | % | 2.24 | % | 2.54 | % | 2.05 | % | ||||||||||||
Portfolio turnover rate(d) | 55 | % | 30 | % | 43 | % | 38 | % | 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. 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 | ||||||||||||||||||||||
Class R6 Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 6.43 | $ | 5.70 | $ | 6.26 | $ | 5.54 | $ | 5.91 | ||||||||||||
Net investment income(a) | 0.12 | 0.11 | 0.24 | 0.14 | 0.13 | |||||||||||||||||
Net realized and unrealized gain (loss) | (0.27 | ) | 1.08 | (0.65 | ) | 0.87 | (0.23 | ) | ||||||||||||||
Total from investment operations | (0.15 | ) | 1.19 | (0.41 | ) | 1.01 | (0.10 | ) | ||||||||||||||
Distributions to shareholders from net investment income | (0.06 | ) | (0.46 | ) | (0.15 | ) | (0.29 | ) | (0.27 | ) | ||||||||||||
Net asset value, end of year | $ | 6.22 | $ | 6.43 | $ | 5.70 | $ | 6.26 | $ | 5.54 | ||||||||||||
Total return(b) | (2.15 | )% | 21.05 | % | (6.71 | )% | 18.48 | % | (1.61 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 12 | $ | 12 | $ | 202 | $ | 11 | $ | 9 | ||||||||||||
Ratio of net expenses to average net assets | 0.98 | % | 0.98 | % | 0.98 | % | 0.99 | % | 1.02 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.80 | % | 1.47 | % | 1.29 | % | 1.29 | % | 1.18 | % | ||||||||||||
Ratio of net investment income to average net assets | 2.05 | % | 1.81 | % | 3.86 | % | 2.41 | % | 2.26 | % | ||||||||||||
Portfolio turnover rate(c) | 55 | % | 30 | % | 43 | % | 38 | % | 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. 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, | April 17, 2018* to December 31, 2018 | |||||||||||||
2020 | 2019 | |||||||||||||
Per Share Data |
| |||||||||||||
Net asset value, beginning of period | $ | 6.41 | $ | 5.70 | $ | 6.38 | ||||||||
Net investment income(a) | 0.11 | 0.13 | 0.08 | |||||||||||
Net realized and unrealized gain (loss) | (0.25 | ) | 1.04 | (0.61 | ) | |||||||||
Total from investment operations | (0.14 | ) | 1.17 | (0.53 | ) | |||||||||
Distributions to shareholders from net investment income | (0.06 | ) | (0.46 | ) | (0.15 | ) | ||||||||
Net asset value, end of period | $ | 6.21 | $ | 6.41 | $ | 5.70 | ||||||||
Total return(b) | (2.00 | )% | 20.72 | % | (8.45 | )% | ||||||||
Net assets, end of period (in 000s) | $ | 44,780 | $ | 69,937 | $ | 82,014 | ||||||||
Ratio of net expenses to average net assets | 0.98 | % | 0.98 | % | 0.98 | %(c) | ||||||||
Ratio of total expenses to average net assets | 1.77 | % | 1.50 | % | 1.39 | %(c) | ||||||||
Ratio of net investment income to average net assets | 1.98 | % | 2.10 | % | 1.85 | %(c) | ||||||||
Portfolio turnover rate(d) | 55 | % | 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 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, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 13.27 | $ | 12.61 | $ | 15.53 | $ | 18.40 | $ | 19.59 | ||||||||||||
Net investment income(a) | 0.12 | 0.22 | 0.28 | 0.30 | 0.33 | |||||||||||||||||
Net realized and unrealized gain (loss) | (1.22 | ) | 2.92 | (0.94 | ) | 0.06 | 0.71 | |||||||||||||||
Total from investment operations | (1.10 | ) | 3.14 | (0.66 | ) | 0.36 | 1.04 | |||||||||||||||
Distributions to shareholders from net investment income | (0.14 | ) | (0.22 | ) | (0.37 | ) | (0.29 | ) | (0.32 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (1.00 | ) | (2.26 | ) | (1.89 | ) | (2.94 | ) | (1.91 | ) | ||||||||||||
Total distributions | (1.14 | ) | (2.48 | ) | (2.26 | ) | (3.23 | ) | (2.23 | ) | ||||||||||||
Net asset value, end of year | $ | 11.03 | $ | 13.27 | $ | 12.61 | $ | 15.53 | $ | 18.40 | ||||||||||||
Total return(b) | (7.85 | )% | 25.49 | % | (5.39 | )% | 2.11 | % | 5.38 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 19,177 | $ | 27,488 | $ | 26,002 | $ | 38,120 | $ | 54,869 | ||||||||||||
Ratio of net expenses to average net assets | 1.29 | % | 1.30 | % | 1.30 | % | 1.31 | % | 1.31 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.62 | % | 1.57 | % | 1.50 | % | 1.54 | % | 1.52 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.06 | % | 1.51 | % | 1.88 | % | 1.65 | % | 1.62 | % | ||||||||||||
Portfolio turnover rate(c) | 57 | % | 37 | % | 43 | % | 35 | % | 31 | % |
(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. |
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 C Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 12.50 | $ | 11.99 | $ | 14.88 | $ | 17.79 | $ | 19.03 | ||||||||||||
Net investment income(a) | 0.03 | 0.10 | 0.12 | 0.16 | 0.18 | |||||||||||||||||
Net realized and unrealized gain (loss) | (1.14 | ) | 2.78 | (0.85 | ) | 0.06 | 0.68 | |||||||||||||||
Total from investment operations | (1.11 | ) | 2.88 | (0.73 | ) | 0.22 | 0.86 | |||||||||||||||
Distributions to shareholders from net investment income | (0.08 | ) | (0.11 | ) | (0.27 | ) | (0.19 | ) | (0.19 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (1.00 | ) | (2.26 | ) | (1.89 | ) | (2.94 | ) | (1.91 | ) | ||||||||||||
Total distributions | (1.08 | ) | (2.37 | ) | (2.16 | ) | (3.13 | ) | (2.10 | ) | ||||||||||||
Net asset value, end of year | $ | 10.31 | $ | 12.50 | $ | 11.99 | $ | 14.88 | $ | 17.79 | ||||||||||||
Total return(b) | (8.50 | )% | 24.62 | % | (6.12 | )% | 1.38 | % | 4.56 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 1,332 | $ | 2,615 | $ | 3,568 | $ | 12,421 | $ | 15,578 | ||||||||||||
Ratio of net expenses to average net assets | 2.04 | % | 2.05 | % | 2.05 | % | 2.06 | % | 2.06 | % | ||||||||||||
Ratio of total expenses to average net assets | 2.37 | % | 2.32 | % | 2.25 | % | 2.29 | % | 2.27 | % | ||||||||||||
Ratio of net investment income to average net assets | 0.26 | % | 0.69 | % | 0.83 | % | 0.92 | % | 0.91 | % | ||||||||||||
Portfolio turnover rate(c) | 57 | % | 37 | % | 43 | % | 35 | % | 31 | % |
(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. | 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 | ||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 13.83 | $ | 13.05 | $ | 15.98 | $ | 18.81 | $ | 19.97 | ||||||||||||
Net investment income(a) | 0.17 | 0.28 | 0.23 | 0.37 | 0.41 | |||||||||||||||||
Net realized and unrealized gain (loss) | (1.26 | ) | 3.03 | (0.86 | ) | 0.08 | 0.74 | |||||||||||||||
Total from investment operations | (1.09 | ) | 3.31 | (0.63 | ) | 0.45 | 1.15 | |||||||||||||||
Distributions to shareholders from net investment income | (0.18 | ) | (0.27 | ) | (0.41 | ) | (0.34 | ) | (0.40 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (1.00 | ) | (2.26 | ) | (1.89 | ) | (2.94 | ) | (1.91 | ) | ||||||||||||
Total distributions | (1.18 | ) | (2.53 | ) | (2.30 | ) | (3.28 | ) | (2.31 | ) | ||||||||||||
Net asset value, end of year | $ | 11.56 | $ | 13.83 | $ | 13.05 | $ | 15.98 | $ | 18.81 | ||||||||||||
Total return(b) | (7.48 | )% | 26.01 | % | (5.04 | )% | 2.58 | % | 5.81 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 23,409 | $ | 30,069 | $ | 31,337 | $ | 206,095 | $ | 397,211 | ||||||||||||
Ratio of net expenses to average net assets | 0.91 | % | 0.92 | % | 0.91 | % | 0.91 | % | 0.91 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.24 | % | 1.19 | % | 1.12 | % | 1.14 | % | 1.12 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.47 | % | 1.86 | % | 1.50 | % | 1.98 | % | 2.03 | % | ||||||||||||
Portfolio turnover rate(c) | 57 | % | 37 | % | 43 | % | 35 | % | 31 | % |
(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. |
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 | ||||||||||||||||||||||
Service Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 13.40 | $ | 12.71 | $ | 15.65 | $ | 18.52 | $ | 19.71 | ||||||||||||
Net investment income(a) | 0.11 | 0.21 | 0.26 | 0.29 | 0.31 | |||||||||||||||||
Net realized and unrealized gain (loss) | (1.23 | ) | 2.94 | (0.95 | ) | 0.06 | 0.72 | |||||||||||||||
Total from investment operations | (1.12 | ) | 3.15 | (0.69 | ) | 0.35 | 1.03 | |||||||||||||||
Distributions to shareholders from net investment income | (0.13 | ) | (0.20 | ) | (0.36 | ) | (0.28 | ) | (0.31 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (1.00 | ) | (2.26 | ) | (1.89 | ) | (2.94 | ) | (1.91 | ) | ||||||||||||
Total distributions | (1.13 | ) | (2.46 | ) | (2.25 | ) | (3.22 | ) | (2.22 | ) | ||||||||||||
Net asset value, end of year | $ | 11.15 | $ | 13.40 | $ | 12.71 | $ | 15.65 | $ | 18.52 | ||||||||||||
Total return(b) | (7.95 | )% | 25.40 | % | (5.56 | )% | 2.07 | % | 5.20 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 940 | $ | 1,608 | $ | 1,429 | $ | 2,446 | $ | 2,951 | ||||||||||||
Ratio of net expenses to average net assets | 1.41 | % | 1.42 | % | 1.41 | % | 1.41 | % | 1.41 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.74 | % | 1.69 | % | 1.61 | % | 1.64 | % | 1.62 | % | ||||||||||||
Ratio of net investment income to average net assets | 0.95 | % | 1.43 | % | 1.73 | % | 1.60 | % | 1.55 | % | ||||||||||||
Portfolio turnover rate(c) | 57 | % | 37 | % | 43 | % | 35 | % | 31 | % |
(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. | 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 | ||||||||||||||||||||||
Investor Shares(a) | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 13.43 | $ | 12.73 | $ | 15.65 | $ | 18.50 | $ | 19.68 | ||||||||||||
Net investment income(b) | 0.14 | 0.24 | 0.31 | 0.36 | 0.39 | |||||||||||||||||
Net realized and unrealized gain (loss) | (1.22 | ) | 2.97 | (0.94 | ) | 0.06 | 0.71 | |||||||||||||||
Total from investment operations | (1.08 | ) | 3.21 | (0.63 | ) | 0.42 | 1.10 | |||||||||||||||
Distributions to shareholders from net investment income | (0.16 | ) | (0.25 | ) | (0.40 | ) | (0.33 | ) | (0.37 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (1.00 | ) | (2.26 | ) | (1.89 | ) | (2.94 | ) | (1.91 | ) | ||||||||||||
Total distributions | (1.16 | ) | (2.51 | ) | (2.29 | ) | (3.27 | ) | (2.28 | ) | ||||||||||||
Net asset value, end of year | $ | 11.19 | $ | 13.43 | $ | 12.73 | $ | 15.65 | $ | 18.50 | ||||||||||||
Total return(c) | (7.59 | )% | 25.84 | % | (5.18 | )% | 2.42 | % | 5.65 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 2,289 | $ | 4,532 | $ | 7,969 | $ | 10,776 | $ | 8,467 | ||||||||||||
Ratio of net expenses to average net assets | 1.04 | % | 1.05 | % | 1.05 | % | 1.06 | % | 1.06 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.36 | % | 1.32 | % | 1.25 | % | 1.29 | % | 1.27 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.17 | % | 1.64 | % | 2.10 | % | 1.99 | % | 1.92 | % | ||||||||||||
Portfolio turnover rate(d) | 57 | % | 37 | % | 43 | % | 35 | % | 31 | % |
(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. |
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 | ||||||||||||||||||||||
Class R6 Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 13.83 | $ | 13.05 | $ | 15.98 | $ | 18.81 | $ | 19.98 | ||||||||||||
Net investment income(a) | 0.18 | 0.30 | 0.16 | 0.41 | 0.46 | |||||||||||||||||
Net realized and unrealized gain (loss) | (1.27 | ) | 3.01 | (0.79 | ) | 0.05 | 0.68 | |||||||||||||||
Total from investment operations | (1.09 | ) | 3.31 | (0.63 | ) | 0.46 | 1.14 | |||||||||||||||
Distributions to shareholders from net investment income | (0.18 | ) | (0.27 | ) | (0.41 | ) | (0.35 | ) | (0.40 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (1.00 | ) | (2.26 | ) | (1.89 | ) | (2.94 | ) | (1.91 | ) | ||||||||||||
Total distributions | (1.18 | ) | (2.53 | ) | (2.30 | ) | (3.29 | ) | (2.31 | ) | ||||||||||||
Net asset value, end of year | $ | 11.56 | $ | 13.83 | $ | 13.05 | $ | 15.98 | $ | 18.81 | ||||||||||||
Total return(b) | (7.47 | )% | 26.02 | % | (5.03 | )% | 2.60 | % | 5.77 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 1,116 | $ | 973 | $ | 797 | $ | 227 | $ | 42 | ||||||||||||
Ratio of net expenses to average net assets | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.24 | % | 1.18 | % | 1.08 | % | 1.14 | % | 1.09 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.52 | % | 1.98 | % | 1.02 | % | 2.23 | % | 2.25 | % | ||||||||||||
Portfolio turnover rate(c) | 57 | % | 37 | % | 43 | % | 35 | % | 31 | % |
(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. | 47 |
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, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 13.09 | $ | 12.47 | $ | 15.39 | $ | 18.27 | $ | 19.47 | ||||||||||||
Net investment income(a) | 0.09 | 0.18 | 0.24 | 0.26 | 0.29 | |||||||||||||||||
Net realized and unrealized gain (loss) | (1.19 | ) | 2.88 | (0.93 | ) | 0.05 | 0.70 | |||||||||||||||
Total from investment operations | (1.10 | ) | 3.06 | (0.69 | ) | 0.31 | 0.99 | |||||||||||||||
Distributions to shareholders from net investment income | (0.12 | ) | (0.18 | ) | (0.34 | ) | (0.25 | ) | (0.28 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (1.00 | ) | (2.26 | ) | (1.89 | ) | (2.94 | ) | (1.91 | ) | ||||||||||||
Total distributions | (1.12 | ) | (2.44 | ) | (2.23 | ) | (3.19 | ) | (2.19 | ) | ||||||||||||
Net asset value, end of year | $ | 10.87 | $ | 13.09 | $ | 12.47 | $ | 15.39 | $ | 18.27 | ||||||||||||
Total return(b) | (8.00 | )% | 25.14 | % | (5.62 | )% | 1.92 | % | 5.08 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 910 | $ | 1,440 | $ | 1,770 | $ | 3,092 | $ | 4,156 | ||||||||||||
Ratio of net expenses to average net assets | 1.54 | % | 1.55 | % | 1.55 | % | 1.56 | % | 1.56 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.87 | % | 1.82 | % | 1.75 | % | 1.79 | % | 1.77 | % | ||||||||||||
Ratio of net investment income to average net assets | 0.79 | % | 1.22 | % | 1.60 | % | 1.45 | % | 1.44 | % | ||||||||||||
Portfolio turnover rate(c) | 57 | % | 37 | % | 43 | % | 35 | % | 31 | % |
(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. |
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 Period
Goldman Sachs Real Estate Securities Fund | ||||||||||||||
Class P Shares | ||||||||||||||
Year Ended December 31, | April 17, 2018* to December 31, 2018 | |||||||||||||
2020 | 2019 | |||||||||||||
Per Share Data |
| |||||||||||||
Net asset value, beginning of period | $ | 13.82 | $ | 13.04 | $ | 14.90 | ||||||||
Net investment income(a) | 0.17 | 0.29 | 0.39 | |||||||||||
Net realized and unrealized gain (loss) | (1.26 | ) | 3.02 | (0.01 | ) | |||||||||
Total from investment operations | (1.09 | ) | 3.31 | 0.38 | ||||||||||
Distributions to shareholders from net investment income | (0.18 | ) | (0.27 | ) | (0.35 | ) | ||||||||
Distributions to shareholders from net realized gains | (1.00 | ) | (2.26 | ) | (1.89 | ) | ||||||||
Total distributions | (1.18 | ) | (2.53 | ) | (2.24 | ) | ||||||||
Net asset value, end of period | $ | 11.55 | $ | 13.82 | $ | 13.04 | ||||||||
Total return(b) | (7.48 | )% | 26.04 | % | 1.36 | % | ||||||||
Net assets, end of period (in 000s) | $ | 70,215 | $ | 89,616 | $ | 89,479 | ||||||||
Ratio of net expenses to average net assets | 0.90 | % | 0.91 | % | 0.90 | %(c) | ||||||||
Ratio of total expenses to average net assets | 1.23 | % | 1.18 | % | 1.07 | %(c) | ||||||||
Ratio of net investment income to average net assets | 1.47 | % | 1.90 | % | 3.56 | %(c) | ||||||||
Portfolio turnover rate(d) | 57 | % | 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. 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 FUNDS
December 31, 2020
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, R6, R and P | Diversified | ||
International Real Estate Securities | A, C, Institutional, Investor, R6 and P | Non-diversified | ||
Real Estate Securities | A, C, Institutional, Service, Investor, R6, R and P | 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 R6, Class R and Class P 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.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, and non-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the applicable Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agency and Service and Shareholder Administration fees.
D. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute each
50
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, each Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid according to the following schedule:
Fund | Income Distributions Declared/Paid | Capital Gains Distributions Declared/Paid | ||||
Global Real Estate Securities and Real Estate Securities | Quarterly | Annually | ||||
International Real Estate Securities | Semi-Annually | Annually |
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from 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 level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. 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 GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Funds’
51
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Notes to Financial Statements (continued)
December 31, 2020
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 will be valued at the valid closing bid price for long positions and at the valid closing ask price for short positions (i.e. where there is sufficient volume, during normal exchange trading hours). If no valid bid/ask price is available, the equity security will be valued pursuant to the Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. 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. Certain equity securities containing unique attributes may be 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 Fair 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.
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.
52
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
C. Fair Value Hierarchy — The following is a summary of the Funds’ investments classified in the fair value hierarchy as of December 31, 2020:
GLOBAL REAL ESTATE SECURITIES | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Asia | $ | 1,695,446 | $ | 33,239,755 | $ | — | ||||||
Australia and Oceania | — | 7,602,232 | — | |||||||||
Europe | 2,341,159 | 31,003,240 | — | |||||||||
North America | 100,129,136 | — | — | |||||||||
Investment Company | 2,365,286 | — | — | |||||||||
Total | $ | 106,531,027 | $ | 71,845,227 | $ | — | ||||||
INTERNATIONAL REAL ESTATE SECURITIES | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Asia | $ | 618,586 | $ | 21,520,118 | $ | — | ||||||
Australia and Oceania | — | 4,052,690 | — | |||||||||
Europe | 857,783 | 20,162,733 | — | |||||||||
North America | 3,187,236 | — | — | |||||||||
Investment Company | 1,168,707 | — | — | |||||||||
Total | $ | 5,832,312 | $ | 45,735,541 | $ | — | ||||||
REAL ESTATE SECURITIES | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
North America | $ | 117,905,095 | $ | — | $ | — | ||||||
Total | $ | 117,905,095 | $ | — | $ | — |
(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. 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.
53
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Notes to Financial Statements (continued)
December 31, 2020
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the fiscal year ended December 31, 2020, 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. |
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, 2020, GSAM waived $4,621, $1,650 and $841 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 | Service | Class R* | |||||||||||||
Distribution and/or Service Plans | 0.25 | % | 0.75 | % | 0.25 | % | 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 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. |
54
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the fiscal year ended December 31, 2020, Goldman Sachs retained the following amounts:
Front End Sales Charge | Contingent Deferred Sales Charge | |||||||||
Fund | Class A | Class C | ||||||||
International Real Estate Securities | $ | 10 | $ | 3 | ||||||
Real Estate Securities | 1,067 | 3 |
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 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, Investor and Class R Shares; 0.03% of the average daily net assets of Class R6 and Class P Shares; and 0.04% of the average daily net assets of Institutional and Service Shares.
F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to 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 29, 2021, 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, 2020, 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 | ||||||||||||||
Global Real Estate Securities | $ | 4,621 | $ | 436,499 | $ | — | $ | 441,120 | ||||||||||
International Real Estate Securities | 1,650 | 447,136 | 139 | 448,925 | ||||||||||||||
Real Estate Securities | 841 | 419,269 | 1,158 | 421,268 |
G. Line of Credit Facility — As of December 31, 2020, the Funds participated in a $700,000,000 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
55
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Notes to Financial Statements (continued)
December 31, 2020
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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, 2020, the Funds did not have any borrowings under the facility. Prior to April 28, 2020, the facility was $580,000,000.
H. Other Transactions with Affiliates — For the fiscal year ended December 31, 2020, Goldman Sachs earned $596, $43 and $1,503 in brokerage commissions from portfolio transactions on behalf of the Global Real Estate Securities, International 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, 2020:
Fund | Beginning Value as of December 31, 2019 | Purchases at Cost | Proceeds from Sales | Ending Value as of December 31, 2020 | Shares as of December 31, 2020 | Dividend Income from Affiliated Investment Company | ||||||||||||||||||
Global Real Estate Securities | $ | 6,122,427 | $ | 81,654,173 | $ | (85,411,314 | ) | $ | 2,365,286 | 2,365,286 | $ | 13,967 | ||||||||||||
International Real Estate Securities | 1,343,186 | 33,391,270 | (33,565,749 | ) | 1,168,707 | 1,168,707 | 4,772 | |||||||||||||||||
Real Estate Securities | 836,777 | 30,422,205 | (31,258,982 | ) | — | — | 2,697 |
As of December 31, 2020, 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 R6 | Class R | Class P | |||||||||||||||||||||
Global Real Estate Securities | 62 | % | 60 | % | 90 | % | 100 | % | — | % | 100 | % | — | % | ||||||||||||||
International Real Estate Securities | — | 15 | — | 15 | 100 | — | — |
As of December 31, 2020, 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 Portfolio | Goldman Sachs Enhanced Dividend Global Equity Portfolio | Goldman Sachs Growth and Income Strategy Portfolio | Goldman Sachs Satellite Strategies Portfolio | Goldman Sachs Tax-Advantaged Global Equity Portfolio | |||||||||||||||||
Global Real Estate Securities | 6 | % | 6 | % | 5 | % | 17 | % | 38 | % |
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, 2020, were as follows:
Fund | Purchases | Sales | ||||||||
Global Real Estate Securities | $ | 135,796,783 | $ | 170,261,168 | ||||||
International Real Estate Securities | 31,099,937 | 52,445,648 | ||||||||
Real Estate Securities | 71,811,343 | 95,690,364 |
56
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
6. SECURITIES LENDING |
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and the terms and conditions contained therein, the Global Real Estate Securities and International Real Estate Securities 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 Global Real Estate Securities and International Real Estate Securities Funds invest the cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund (“Government Money Market Fund”), an affiliated series of the Goldman Sachs Trust. The Government Money Market Fund is registered under the Act as an open end investment company, is subject to Rule 2a-7 under the Act, and is managed by GSAM, for which GSAM may receive a management fee of up to 0.16% 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 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 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, 2020, are disclosed as “Payable upon return of securities loaned” on the Statements of Assets and Liabilities, where applicable. The Global Real Estate Securities and International Real Estate Securities Funds did not have securities on loan as of December 31, 2020.
Each of the Global Real Estate Securities and International Real Estate Securities 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, 2020, 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, 2020 | Amounts Payable to Goldman Sachs Upon Return of Securities Loaned as of December 31, 2020 | |||||||||||||||
Fund | Earnings of GSAL Relating to Securities Loaned | Amounts Received by the Fund from Lending to Goldman Sachs | ||||||||||||||
Global Real Estate Securities | $ | 887 | $ | — | $ | — | ||||||||||
International Real Estate Securities | 746 | 1,289 | — |
57
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Notes to Financial Statements (continued)
December 31, 2020
6. SECURITIES LENDING (continued) |
The following table provides information about the Fund’s investment in the Government Money Market Fund for the fiscal year ended December 31, 2020:
Fund | Beginning Value as of | Purchases at Cost | Proceeds from Sales | Ending Value as of | ||||||||||||||
Global Real Estate Securities | $ | — | $ | 9,413,799 | $ | (9,413,799 | ) | $ | — | |||||||||
International Real Estate Securities | — | 6,856,343 | (6,856,343 | ) | — |
7. TAX INFORMATION |
The tax character of distributions paid during the fiscal year ended December 31, 2020 was as follows:
Global Real Estate Securities | International Real Estate Securities | Real Estate Securities | ||||||||||
Distributions paid from: | ||||||||||||
Ordinary income | $ | 2,658,332 | $ | 609,905 | $ | 1,929,291 | ||||||
Net long-term capital gains | 200,353 | 9,439,801 | ||||||||||
Return of capital | 140,873 | — | — | |||||||||
Total taxable distributions | $ | 2,999,558 | $ | 609,905 | $ | 11,369,092 |
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 | ||||||
Net long-term capital gains | 4,593,854 | — | 22,430,055 | |||||||||
Total taxable distributions | $ | 19,091,943 | $ | 5,623,292 | $ | 25,843,991 |
As of December 31, 2020, the components of accumulated earnings (losses) on a tax-basis were as follows:
Global Real | International Real Estate Securities | Real Estate Securities | ||||||||||
Undistributed ordinary income | $ | — | $ | 390,421 | $ | 297,779 | ||||||
Undistributed long-term capital gains | — | — | 3,674,032 | |||||||||
Total undistributed earnings | $ | — | $ | 390,421 | $ | 3,971,811 | ||||||
Capital loss carryforwards: | ||||||||||||
Perpetual short-term | (1,965,256 | ) | (352,616 | ) | — | |||||||
Perpetual long-term | (5,981,265 | ) | (12,171,625 | ) | — | |||||||
Total capital loss carryforwards | $ | (7,946,521 | ) | $ | (12,524,241 | ) | $ | — | ||||
Timing differences (Real Estate Investment Trusts and Post October Capital Loss Deferral) | 65,555 | — | 18,092 | |||||||||
Unrealized gains — net | 15,151,781 | 395,419 | 28,463,375 | |||||||||
Total accumulated gains (losses) — net | $ | 7,270,815 | $ | (11,738,401 | ) | $ | 32,453,278 |
58
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
7. TAX INFORMATION (continued) |
As of December 31, 2020, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Global Real | International | Real Estate | ||||||||||
Tax cost | $ | 163,237,005 | $ | 51,182,649 | $ | 89,441,720 | ||||||
Gross unrealized gain | 19,819,452 | 4,788,551 | 32,358,665 | |||||||||
Gross unrealized loss | (4,667,671 | ) | (4,393,132 | ) | (3,895,290 | ) | ||||||
Net unrealized gain | $ | 15,151,781 | $ | 395,419 | $ | 28,463,375 |
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales and differences related to the tax treatment of real estate investment trust investments, partnership investments and passive foreign investment companies.
GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
8. OTHER RISKS |
The Funds’ risks include, but are not limited to, the following:
Dividend-Paying Investments Risk — A Fund’s investments in dividend-paying securities could cause a Fund to underperform other funds. Securities that pay dividends, as a group, can fall out of favor with the market, causing such securities to underperform securities that do not pay dividends. Depending upon market conditions and political and legislative responses to such conditions, dividend-paying securities that meet a Fund’s investment criteria may not be widely available and/or may be highly concentrated in only a few market sectors. In addition, issuers that have paid regular dividends or distributions to shareholders may not continue to do so at the same level or at all in the future. This may limit the ability of a Fund to produce current income.
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 — The Fund invests in foreign securities, and as such 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.
59
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Notes to Financial Statements (continued)
December 31, 2020
8. OTHER RISKS (continued) |
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 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). The value of the securities in which a Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, acts of terrorism, social unrest, natural disasters, the spread of infectious illness or other public health threats could also significantly impact a Fund and its investments. 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.
60
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
9. INDEMNIFICATIONS |
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
10. OTHER MATTERS |
On October 22, 2020, Goldman Sachs announced a settlement of matters involving 1Malaysia Development Bhd. (1MDB), a Malaysian sovereign wealth fund, with the United States Department of Justice as well as criminal and civil authorities in the UK, Singapore and Hong Kong. Further information regarding the 1MDB settlement can be found at https://www.goldmansachs.com/media-relations/press-releases/current/goldman-sachs-2020-10-22.html. The 1MDB settlement will not materially adversely affect GSAM’s ability to serve as investment manager.
11. SUBSEQUENT EVENTS |
Subsequent events after the Statements of Assets and Liabilities date have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
61
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Notes to Financial Statements (continued)
December 31, 2020
12. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
Global Real Estate Securities Fund | ||||||||||||||||
|
| |||||||||||||||
For the Fiscal Year Ended December 31, 2020 | For the Fiscal Year Ended December 31, 2019 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 31 | $ | 345 | 23 | $ | 261 | ||||||||||
Reinvestment of distributions | 71 | 645 | 758 | 8,437 | ||||||||||||
Shares redeemed | (4 | ) | (41 | ) | (88,399 | ) | (987,808 | ) | ||||||||
98 | 949 | (87,618 | ) | (979,110 | ) | |||||||||||
Class C Shares | ||||||||||||||||
Shares sold | — | — | 2,809 | 30,000 | ||||||||||||
Reinvestment of distributions | 45 | 424 | 405 | 4,483 | ||||||||||||
Shares redeemed | (1,043 | ) | (9,389 | ) | — | — | ||||||||||
(998 | ) | (8,965 | ) | 3,214 | 34,483 | |||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 19,341 | 204,292 | 450 | 5,301 | ||||||||||||
Reinvestment of distributions | 3,610 | 32,682 | 14,952 | 166,539 | ||||||||||||
Shares redeemed | (4,532 | ) | (43,736 | ) | (12,907 | ) | (145,191 | ) | ||||||||
18,419 | 193,238 | 2,495 | 26,649 | |||||||||||||
Investor Shares | ||||||||||||||||
Reinvestment of distributions | 51 | 458 | 233 | 2,592 | ||||||||||||
51 | 458 | 233 | 2,592 | |||||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 2,017,932 | 18,813,179 | 1,125,142 | 12,571,602 | ||||||||||||
Reinvestment of distributions | 276,148 | 2,488,913 | 1,392,686 | 15,480,001 | ||||||||||||
Shares redeemed | (5,568,483 | ) | (54,042,521 | ) | (11,628,948 | ) | (128,169,723 | ) | ||||||||
(3,274,403 | ) | (32,740,429 | ) | (9,111,120 | ) | (100,118,120 | ) | |||||||||
Class R Shares | ||||||||||||||||
Reinvestment of distributions | 38 | 345 | 215 | 2,387 | ||||||||||||
38 | 345 | 215 | 2,387 | |||||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 2,568,798 | 22,072,549 | 334,832 | 3,734,101 | ||||||||||||
Reinvestment of distributions | 53,027 | 476,091 | 308,494 | 3,426,805 | ||||||||||||
Shares redeemed | (3,257,812 | ) | (28,595,177 | ) | (784,773 | ) | (8,538,896 | ) | ||||||||
(635,987 | ) | (6,046,537 | ) | (141,447 | ) | (1,377,990 | ) | |||||||||
NET DECREASE | (3,892,782 | ) | $ | (38,600,941 | ) | (9,334,028 | ) | $ | (102,409,109 | ) |
62
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
12. SUMMARY OF SHARE TRANSACTIONS (continued) |
International Real Estate Securities Fund | ||||||||||||||||
|
| |||||||||||||||
For the Fiscal Year Ended December 31, 2020 | For the Fiscal Year Ended December 31, 2019 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 14,555 | $ | 83,687 | 17,313 | $ | 115,284 | ||||||||||
Reinvestment of distributions | 2,770 | 15,123 | 27,666 | 181,458 | ||||||||||||
Shares redeemed | (139,827 | ) | (769,843 | ) | (133,563 | ) | (880,310 | ) | ||||||||
(122,502 | ) | (671,033 | ) | (88,584 | ) | (583,568 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 551 | 3,383 | 7,654 | 50,574 | ||||||||||||
Reinvestment of distributions | 42 | 232 | 1,236 | 8,170 | ||||||||||||
Shares redeemed | (12,454 | ) | (72,451 | ) | (24,265 | ) | (160,041 | ) | ||||||||
(11,861 | ) | (68,836 | ) | (15,375 | ) | (101,297 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 20,583 | 123,358 | 8,716 | 56,319 | ||||||||||||
Reinvestment of distributions | 11,310 | 60,450 | 73,914 | 468,031 | ||||||||||||
Shares redeemed | (329,293 | ) | (1,827,794 | ) | (779,156 | ) | (4,946,254 | ) | ||||||||
(297,400 | ) | (1,643,986 | ) | (696,526 | ) | (4,421,904 | ) | |||||||||
Investor Shares | ||||||||||||||||
Shares sold | 1,286 | 7,362 | 5,647 | 36,236 | ||||||||||||
Reinvestment of distributions | 159 | 870 | 1,155 | 7,508 | ||||||||||||
Shares redeemed | (8,032 | ) | (49,166 | ) | (6,685 | ) | (43,263 | ) | ||||||||
(6,587 | ) | (40,934 | ) | 117 | 481 | |||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | — | — | 2,984 | 17,500 | ||||||||||||
Reinvestment of distributions | 23 | 120 | 221 | 1,403 | ||||||||||||
Shares redeemed | — | — | (36,615 | ) | (231,407 | ) | ||||||||||
23 | 120 | (33,410 | ) | (212,504 | ) | |||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 3,763,846 | 19,374,160 | 450,105 | 2,742,148 | ||||||||||||
Reinvestment of distributions | 99,884 | 532,922 | 783,596 | 4,953,513 | ||||||||||||
Shares redeemed | (7,553,506 | ) | (38,883,307 | ) | (4,727,059 | ) | (29,304,679 | ) | ||||||||
(3,689,776 | ) | (18,976,225 | ) | (3,493,358 | ) | (21,609,018 | ) | |||||||||
NET DECREASE | (4,128,103 | ) | $ | (21,400,894 | ) | (4,327,136 | ) | $ | (26,927,810 | ) |
63
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Notes to Financial Statements (continued)
December 31, 2020
12. SUMMARY OF SHARE TRANSACTIONS (continued) |
Real Estate Securities Fund | ||||||||||||||||
|
| |||||||||||||||
For the Fiscal Year Ended December 31, 2020 | For the Fiscal Year Ended December 31, 2019 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 151,591 | $ | 1,711,995 | 227,288 | $ | 3,201,254 | ||||||||||
Reinvestment of distributions | 167,283 | 1,784,623 | 312,466 | 4,079,245 | ||||||||||||
Shares redeemed | (652,041 | ) | (7,478,412 | ) | (530,890 | ) | (7,780,801 | ) | ||||||||
(333,167 | ) | (3,981,794 | ) | 8,864 | (500,302 | ) | ||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 12,822 | 136,861 | 28,594 | 401,009 | ||||||||||||
Reinvestment of distributions | 13,271 | 132,433 | 33,147 | 405,126 | ||||||||||||
Shares redeemed | (106,025 | ) | (1,084,385 | ) | (150,042 | ) | (2,062,750 | ) | ||||||||
(79,932 | ) | (815,091 | ) | (88,301 | ) | (1,256,615 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 203,539 | 2,421,613 | 135,002 | 2,050,337 | ||||||||||||
Reinvestment of distributions | 197,171 | 2,200,981 | 350,890 | 4,783,526 | ||||||||||||
Shares redeemed | (549,710 | ) | (6,405,332 | ) | (713,201 | ) | (10,667,043 | ) | ||||||||
(149,000 | ) | (1,782,738 | ) | (227,309 | ) | (3,833,180 | ) | |||||||||
Service Shares | ||||||||||||||||
Shares sold | 17,117 | 186,599 | 31,027 | 448,622 | ||||||||||||
Reinvestment of distributions | 4,306 | 46,371 | 11,363 | 149,446 | ||||||||||||
Shares redeemed | (57,146 | ) | (595,416 | ) | (34,795 | ) | (509,930 | ) | ||||||||
(35,723 | ) | (362,446 | ) | 7,595 | 88,138 | |||||||||||
Investor Shares | ||||||||||||||||
Shares sold | 245,653 | 3,153,946 | 247,679 | 3,565,982 | ||||||||||||
Reinvestment of distributions | 21,337 | 230,536 | 61,364 | 816,930 | ||||||||||||
Shares redeemed | (399,865 | ) | (4,922,922 | ) | (597,713 | ) | (8,946,471 | ) | ||||||||
(132,875 | ) | (1,538,440 | ) | (288,670 | ) | (4,563,559 | ) | |||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 29,934 | 329,275 | 26,237 | 418,449 | ||||||||||||
Reinvestment of distributions | 6,877 | 76,897 | 7,753 | 105,815 | ||||||||||||
Shares redeemed | (10,623 | ) | (127,504 | ) | (24,717 | ) | (371,927 | ) | ||||||||
26,188 | 278,668 | 9,273 | 152,337 | |||||||||||||
Class R Shares | ||||||||||||||||
Shares sold | 22,185 | 256,198 | 29,969 | 425,456 | ||||||||||||
Reinvestment of distributions | 7,577 | 79,676 | 11,952 | 153,893 | ||||||||||||
Shares redeemed | (56,007 | ) | (628,800 | ) | (73,920 | ) | (1,077,467 | ) | ||||||||
(26,245 | ) | (292,926 | ) | (31,999 | ) | (498,118 | ) | |||||||||
Class P Shares | ||||||||||||||||
Shares sold | 2,099,373 | 22,254,864 | 398,650 | 5,847,092 | ||||||||||||
Reinvestment of distributions | 594,839 | 6,634,674 | 1,076,244 | 14,663,258 | ||||||||||||
Shares redeemed | (3,099,620 | ) | (35,299,395 | ) | (1,851,220 | ) | (26,694,238 | ) | ||||||||
(405,408 | ) | (6,409,857 | ) | (376,326 | ) | (6,183,888 | ) | |||||||||
NET DECREASE | (1,136,162 | ) | $ | (14,904,624 | ) | (986,873 | ) | $ | (16,595,187 | ) |
64
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, 2020, the related statements of operations for the year ended December 31, 2020, the statements of changes in net assets for each of the two years in the period ended December 31, 2020, 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, 2020, 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, 2020 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, 2020 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.
/s/PricewaterhouseCoopers LLP
Boston, Massachusetts
February 25, 2021
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
65
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 have amortized 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 | ||||||||||||
66
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Fund Expenses — Six Month Period Ended December 31, 2020 (Unaudited)
As a shareholder of Class A, Class C, Institutional, Service, Investor, Class R6, Class R or Class P 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 R6, Class R and Class P 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, 2020 through December 31, 2020, which represents a period of 184 days of a 366 day year.
Actual Expenses —The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Global Real Estate Securities Fund | International Real Estate Securities Fund | Real Estate Securities Fund | ||||||||||||||||||||||||||||||||||
Share Class | Beginning Account Value 07/01/20 | Ending Account Value 12/31/20 | Expenses Paid for the 6 Months Ended 12/31/20* | Beginning Account Value 07/01/20 | Ending Account Value 12/31/20 | Expenses Paid for the 6 Months Ended 12/31/20* | Beginning Account Value 07/01/20 | Ending Account Value 12/31/20 | Expenses Paid for the 6 Months Ended 12/31/20* | |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,142.60 | $ | 7.27 | $ | 1,000 | $ | 1,172.70 | $ | 7.48 | $ | 1,000 | $ | 1,114.40 | $ | 6.86 | ||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,018.35 | + | 6.85 | 1,000 | 1,018.25 | + | 6.95 | 1,000 | 1,018.65 | + | 6.55 | ||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,137.60 | 11.28 | 1,000 | 1,169.40 | 11.56 | 1,000 | 1,111.40 | 10.83 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,014.58 | + | 10.63 | 1,000 | 1,014.48 | + | 10.74 | 1,000 | 1,014.88 | + | 10.33 | ||||||||||||||||||||||||
Institutional | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,143.70 | 5.23 | 1,000 | 1,175.20 | 5.41 | 1,000 | 1,118.00 | 4.84 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,020.26 | + | 4.93 | 1,000 | 1,020.16 | + | 5.03 | 1,000 | 1,020.56 | + | 4.62 | ||||||||||||||||||||||||
Service | ||||||||||||||||||||||||||||||||||||
Actual | N/A | N/A | N/A | N/A | N/A | N/A | 1,000 | 1,114.80 | 7.50 | |||||||||||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | N/A | N/A | N/A | 1,000 | 1,018.05 | + | 7.15 | ||||||||||||||||||||||||||
Investor | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,143.60 | 5.93 | 1,000 | 1,175.50 | 6.12 | 1,000 | 1,117.50 | 5.54 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,019.61 | + | 5.58 | 1,000 | 1,019.51 | + | 5.69 | 1,000 | 1,019.91 | + | 5.28 | ||||||||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,144.00 | 5.17 | 1,000 | 1,175.30 | 5.36 | 1,000 | 1,118.00 | 4.79 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,020.31 | + | 4.88 | 1,000 | 1,020.21 | + | 4.98 | 1,000 | 1,020.61 | + | 4.57 | ||||||||||||||||||||||||
Class R | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,141.20 | 8.61 | N/A | N/A | N/A | 1,000 | 1,114.40 | 8.18 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,017.09 | + | 8.11 | N/A | N/A | N/A | 1,000 | 1,017.39 | + | 7.81 | |||||||||||||||||||||||||
Class P | ||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,144.20 | 5.17 | 1,000 | 1,175.60 | 5.36 | 1,000 | 1,117.20 | 4.79 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,020.31 | + | 4.88 | 1,000 | 1,020.21 | + | 4.98 | 1,000 | 1,020.61 | + | 4.57 |
+ | 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, 2020. 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 R6 | Class R | Class P | ||||||||||||||||||||||||
Global Real Estate Securities | 1.35 | % | 2.10 | % | 0.97 | % | N/A | 1.10 | % | 0.96 | % | 1.60 | % | 0.96 | % | |||||||||||||||||
International Real Estate Securities | 1.37 | 2.12 | 0.99 | N/A | 1.12 | 0.98 | N/A | 0.98 | ||||||||||||||||||||||||
Real Estate Securities | 1.29 | 2.04 | 0.91 | 1.41 | 1.04 | 0.90 | 1.54 | 0.90 |
67
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: 71 | 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. | 105 | None | |||||
Dwight L. Bush Age: 63 | Trustee | Since 2020 | 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). Previously, Ambassador Bush served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 105 | None | |||||
Kathryn A. Cassidy Age: 66 | 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. | 105 | None | |||||
Diana M. Daniels Age: 71 | 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. | 105 | None | |||||
Joaquin Delgado Age: 60 | Trustee | Since 2020 | 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). Previously, Dr. Delgado served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 105 | Stepan Company (a specialty chemical manufacturer) | |||||
68
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Trustees and Officers (Unaudited) (continued)
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 | |||||
Roy W. Templin Age: 60 | 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).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 105 | Armstrong World Industries, Inc. (a ceiling, wall and suspension systems solutions manufacturer) | |||||
Gregory G. Weaver Age: 69 | 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. | 105 | 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: 58 | 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 and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | 158 | None | |||||
* | 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 may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of December 31, 2020. |
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 each Independent Trustee shall retire as of December 31st of the calendar year in which he or she reaches (a) his or her 75th birthday or (b) the 15th anniversary of the date he or she became a Trustee, whichever is earlier, 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, 2020, Goldman Sachs Trust consisted of 92 portfolios (90 of which offered shares to the public); 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 ETF Trust consisted of 31 portfolios (20 of which offered shares to the public); and 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. Goldman Sachs Credit Income Fund did not offer 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.
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: 58 | 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 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: 43 | Secretary | Since 2012 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Senior Counsel, Goldman Sachs (January 2020-Present); Associate General Counsel, Goldman Sachs (2012-December 2019); 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 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: 52 | 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 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, 2020. |
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 FUNDS
Goldman Sachs Trust — Real Estate Securities Funds — Tax Information (Unaudited)
For the year ended December 31, 2020, 47.82% and 98.54% of the dividends paid from net investment company taxable income by the Global Real Estate Securities Fund and the Real Estate Securities Fund, respectively, qualify as section 199A dividends.
For the 2020 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 $0.1395 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 96.27%. The total amount of foreign taxes paid by the Fund was $0.0031 per share.
For the fiscal year ended December 31, 2020, 34.58% and 100% 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 $200,353 and $9,439,801, respectively, or, if different, the maximum amount allowable, as capital gain dividends paid during the fiscal year ended December 31, 2020.
During the year ended December 31, 2020, the Global Real Estate Securities and Real Estate Securities Funds designates $186,020 and $87,618, 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, the Consumer and Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.95 trillion in assets under supervision as of December 31, 2020, 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 Core Fixed Income Fund4 |
∎ | 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 |
∎ | U.S. Equity ESG Fund5 |
∎ | Income Builder Fund |
Tax-Advantaged Equity
∎ | U.S. Tax-Managed Equity Fund |
∎ | International Tax-Managed Equity Fund |
∎ | U.S. Equity Dividend and Premium Fund |
∎ | International Equity Dividend and Premium Fund |
Equity Insights
∎ | Small Cap Equity Insights Fund |
∎ | U.S. Equity Insights Fund |
∎ | Small Cap Growth Insights Fund |
∎ | Large Cap Growth Insights Fund |
∎ | Large Cap Value Insights Fund |
∎ | Small Cap Value Insights Fund |
∎ | International Small Cap Insights Fund |
∎ | International Equity Insights Fund |
∎ | Emerging Markets Equity Insights Fund |
Fundamental Equity International
∎ | International Equity Income Fund |
∎ | International Equity ESG Fund |
∎ | China Equity Fund |
∎ | Emerging Markets Equity Fund |
∎ | ESG Emerging Markets Equity Fund |
Alternative
∎ | Clean Energy Income Fund |
∎ | Defensive Equity Fund |
∎ | 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 |
∎ | Energy Infrastructure Fund6 |
∎ | 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 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 Fund |
∎ | Satellite Strategies Portfolio |
∎ | Enhanced Dividend Global Equity Portfolio |
∎ | Tax-Advantaged Global Equity Portfolio |
∎ | Strategic Factor Allocation Fund |
∎ | Target Date Retirement Portfolio |
∎ | Target Date 2025 Portfolio |
∎ | Target Date 2030 Portfolio |
∎ | Target Date 2035 Portfolio |
∎ | Target Date 2040 Portfolio |
∎ | Target Date 2045 Portfolio |
∎ | Target Date 2050 Portfolio |
∎ | Target Date 2055 Portfolio |
∎ | Target Date 2060 Portfolio |
∎ | GQG Partners International Opportunities Fund |
1 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
2 | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
3 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
4 | Effective after the close of business on April 30, 2020, the Goldman Sachs Global Income Fund was renamed the Goldman Sachs Global Core Fixed Income Fund. |
5 | Effective after the close on business of August 30, 2020, the Goldman Sachs Blue Chip Fund was renamed the Goldman Sachs U.S. Equity ESG Fund. |
6 | Effective after the close of business on June 26, 2020, the Goldman Sachs MLP & Energy Fund was renamed the Goldman Sachs Energy Infrastructure Fund. |
Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC. |
* | This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds. |
TRUSTEES Jessica Palmer, Chair Dwight L. Bush Kathryn A. Cassidy Diana M. Daniels Joaquin Delgado James A. McNamara Roy W. Templin Gregory G. Weaver | 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 at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Goldman Sachs Asset Management, L.P. 200 West Street, New York, New York 10282
Economic and market forecasts presented herein reflect our judgment as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only.
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended December 31 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://www.sec.gov.
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
The Funds 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, 2020 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).
© 2021 Goldman Sachs. All rights reserved. RESAR-21 230838-OTU-02/2021
Goldman Sachs Funds
Annual Report | December 31, 2020 | |||
Alternative Funds | ||||
Absolute Return Tracker | ||||
Alternative Premia | ||||
Commodity Strategy | ||||
Managed Futures Strategy |
Goldman Sachs Alternative Funds
∎ | ABSOLUTE RETURN TRACKER |
∎ | ALTERNATIVE PREMIA |
∎ | COMMODITY STRATEGY |
∎ | MANAGED FUTURES STRATEGY |
1 | ||||
22 | ||||
72 | ||||
76 | ||||
76 | ||||
83 | ||||
90 | ||||
97 | ||||
104 | ||||
130 | ||||
132 |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee |
PORTFOLIO RESULTS
Goldman Sachs Absolute Return Tracker Fund
Investment Objective
The Fund’s investment objective is to seek to deliver long-term total return consistent with investment results that approximate the return and risk patterns of a diversified universe of hedge funds.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies (“QIS”) Team discusses the Goldman Sachs Absolute Return Tracker Fund’s (the “Fund”) performance and positioning for the 12-month period ended December 31, 2020 (“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 R6, Class R and Class P Shares generated average annual total returns, without sales charges, of 3.29%, 2.43%, 3.60%, 3.54%, 3.71%, 3.06% and 3.61%, respectively. These returns compare to the 6.79% 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, posted solid gains during the Reporting Period. Event driven hedge funds, as measured by the HFRX Event Driven Index, were strongest, returning 8.89%. Relative value hedge funds followed, with the HFRX Relative Value Arbitrage Index returning 8.14% for the Reporting Period. Equity long/short hedge funds funds, as measured by the HFRX Equity Hedge Index, returned 4.60%. Global macro hedge funds were weakest but still posted positive returns, with the HFRX Macro/CTA Index generating a return of 4.29% for the Reporting Period. |
As the Reporting Period began, hedge funds were up overall, with the HFRX Global Hedge Fund Index gaining 0.41% in the first month of 2020. Equity markets declined across regions in January with heightened volatility at the end of the month driven by concerns regarding the outbreak of COVID-19. Government bond yields generally fell, and the U.S. dollar gained against global currencies given the flight to safety environment. Commodities were mixed but fell overall, with energy declining most. Hedge funds were mixed across styles for the month, as the HFRX Macro/CTA Index, HFRX Relative Value Arbitrage Index and HFRX Event Driven Index posted gains, while the HFRX Equity Hedge Index declined for the month. Hedge funds were down overall in February 2020, with the HFRX Global Hedge Fund Index returning -1.44% for the month. Equity markets declined sharply across regions in February with heightened volatility driven by concerns regarding COVID-19. Government bond yields fell, and the U.S. dollar gained against developed currencies in the first half of the month before declining modestly in the latter half. Commodities were mixed but fell overall, with energy declining most, including double-digit declines in crude oil. Hedge funds were down across all four major styles for the month, with the HFRX Equity Hedge Index posting the largest decline. Hedge funds were again down overall in March 2020, with the HFRX Global Hedge Fund Index returning -5.88% for the month. Equity markets declined sharply across regions in March, with the MSCI World Index posting its worst performance since October 2008 amid heightened volatility driven by concerns regarding COVID-19. Government bond yields fell overall for the month, although volatility in rates markets was elevated mid-month. Commodities fell overall, with energy declining most as crude oil prices hit lows not seen since 2002. Hedge funds were down across all four major styles for the month, with the HFRX Equity Hedge Index declining most. |
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
Hedge funds were up overall in April 2020, with the HFRX Global Hedge Fund Index returning 2.88% for the month. Equity markets rebounded sharply across regions in April. Government bond yields fell overall for the month; the U.S. dollar ended the month flat; and commodities also ended the month essentially flat as a whole. Hedge funds were up across all four major styles for the month, led higher by the HFRX Equity Hedge Index. Hedge funds were up again overall in May 2020, with the HFRX Global Hedge Fund Index returning 1.44% for the month. Equity markets continued to rebound across regions and geographies, as investor focus shifted from the economic lockdown to potential reopening. Government bond markets were broadly flat for the month; the U.S. dollar weakened versus global currencies; and commodities posted some of their strongest one-month gains in nearly a decade. Hedge funds were up across all four major styles for the month, with the HFRX Relative Value Arbitrage Index strongest, followed closely by the HFRX Event Driven Index. Hedge funds were up overall in June 2020, with the HFRX Global Hedge Fund Index returning 1.75% for the month. Global equity markets were up overall in June amid continued optimism, despite a mid-month spike in volatility around concerns of a potential second wave of COVID-19 cases. Government bond markets were mixed across regions but flat in the U.S. The U.S. dollar weakened versus global currencies, and commodities, particularly energy, continued to rebound. Hedge funds were mixed across styles for the month, as the HFRX Event Driven, HFRX Equity Hedge and HFRX Relative Value Arbitrage indices posted gains, while the HFRX Macro/CTA Index was slightly down. |
Hedge funds were up overall in July 2020, with the HFRX Global Hedge Fund Index returning 1.35% for the month. Global equity markets were mixed across regions but rallied overall in July amid investor optimism. Government bond markets declined across most regions. The U.S. dollar weakened further versus global currencies, and commodities, especially precious metals, continued to rebound. Hedge funds were up across all four major styles for the month led by relative value hedge funds. Hedge funds were up again overall in August 2020, with the HFRX Global Hedge Fund Index returning 1.54% for the month. Global equity markets continued to rally in August against a backdrop of better than consensus expected second quarter earnings and optimism regarding the potential for a COVID-19 vaccine. Government bond yields rose across most regions; the U.S. dollar weakened further versus global currencies; and most commodities continued to rally. |
Hedge funds were up across all four major styles for the month, led by equity long/short funds. In a reversal after five months of gains, hedge funds were down overall, albeit modestly, in September 2020, with the HFRX Global Hedge Fund Index returning -0.17% for the month. Equity markets declined across regions in September amid uncertainty ahead of the U.S. elections and surrounding the potential for further fiscal stimulus. Government bond yields declined across most regions. The U.S. dollar strengthened versus global currencies after weakening during the summer, and commodities were mixed. Event driven hedge funds were up the most of the four major style categories, while equity long/short hedge funds were virtually flat, and macro and relative value hedge funds were down for the month. |
Hedge funds were down again overall in October 2020, with the HFRX Global Hedge Fund Index returning -0.22% for the month. Developed market equity markets continued their decline in October amid uncertainty ahead of the U.S. elections and surrounding the path of the COVID-19 pandemic, while emerging market equities were modestly positive. Government bond yields were mixed across regions. The U.S. dollar strengthened versus global currencies, and commodities were mixed. Equity long/short, macro and event driven hedge funds were down for the month overall, while relative value hedge funds gained. Hedge funds then had a strong November 2020, with the HFRX Global Hedge Fund Index returning 2.82% for the month. Both developed market and emerging market equity markets moved sharply higher for the month, as two vaccine makers announced higher than consensus expected COVID-19 vaccine efficacy. Government bond yields were mixed across regions. The U.S. dollar weakened versus global currencies, and commodities broadly rallied. Hedge funds were strongly up across all four major styles for the month, led by equity long/short hedge funds. In December 2020, hedge funds continued to perform strongly, with the HFRX Global Hedge Fund Index returning 2.45% for the month. Both developed market and emerging market equity markets continued their move higher, as investors positioned for COVID-19 vaccine-induced economic gains. Government bond yields were mixed across regions. The U.S. dollar weakened versus global currencies, and commodities broadly rallied. For the second consecutive month, hedge funds were up across all four major styles in December, led by equity long/short 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 Fund Sub-Strategy such that the Fund’s investment results approximate the return and risk patterns of a diversified universe of hedge funds. During the Reporting Period, the Fund posted positive absolute returns that underperformed the HFRX Global Hedge Fund Index on a relative basis. On an absolute basis, two of the Fund’s four Sub-Strategies contributed positively to performance during the Reporting Period, and two detracted. |
Among the Fund’s four Sub-Strategies, the Equity Long/Short Hedge Fund Sub-Strategy contributed most positively to the Fund’s absolute return during the Reporting Period. Long exposure to single-name stocks to which hedge funds had large investments (based on 13F filings with the Securities & Exchange Commission (“SEC”)) contributed the most. Exposure to emerging markets equities also contributed positively as did exposure to global growth stocks. Conversely, exposure to the Fund’s long/short equity value strategy detracted most from results. |
The Fund’s Macro Hedge Fund Sub-Strategy also contributed positively to the Fund’s return on an absolute basis during the Reporting Period, with its trend-following strategy adding the most. Within that strategy, exposure to commodities and bonds performed best. Conversely, long exposure to a broad commodity index performed worst. |
The Fund’s Relative Value Hedge Fund Sub-Strategy detracted modestly from the Fund’s absolute return during the Reporting Period. Exposure to energy Master Limited Partnerships detracted most, only partially offset by its convertible arbitrage strategy, which contributed most positively. |
The Fund’s Event Driven Hedge Fund Sub-Strategy also detracted modestly from the Fund’s absolute return during the Reporting Period. Short exposure to small-cap U.S. equities detracted the most, partially offset by exposure to high yield credit, which contributed most positively. |
In addition to the asset classes mentioned above, the Fund was invested in a variety of developed and emerging market equities, short-term interest rates, government bonds, currencies, credit, real estate and commodities during the Reporting Period. |
Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
A | The Fund used exchange-traded index futures contracts to gain exposure to U.S. large-cap and small-cap equities, non-U.S. developed market equities including those in Europe, the U.K. and Japan, emerging markets equities, commodities, government bonds and short-term interest rates. The Fund used currency forward contracts to gain exposure to select developed and emerging market currencies of non-U.S. developed markets. The Fund used total return swaps to gain exposure to a broad commodity index, Master Limited Partnerships, and developed market and developed market growth equity indices. The Fund also used listed put options on the S&P 500 Index within the put writing sub-strategies to gain exposure to U.S. large cap equities. Lastly, the Fund used exchange-traded credit default swaps to gain exposure to high yield and investment grade credit markets across the U.S. and Europe. These derivatives overall generated negative returns during the Reporting Period, however 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 | During the Reporting Period, we made several process enhancements that were a product of our ongoing research that seeks to position the Fund well to capture the risk and return profile of the dynamic and ever-changing hedge fund universe. The enhancements focused on our Equity Long/Short and Macro Hedge Fund Sub-Strategies. We refined the granularity with which we examine each respective hedge fund universe, with the aim of best reflecting the most recent composition of those hedge fund manager categories within our investment process. Additionally, we augmented and refined the set of factors we use in each Sub-Strategy. For example, in the Equity Long/Short Hedge Fund Sub-Strategy, we enhanced our proprietary hedge fund stock selection strategy, which takes long positions in single-name stock holdings widely held by hedge funds (based on 13F filings with the SEC), to better reflect our understanding of the behavior of equity long/short hedge funds. In the Macro |
3
PORTFOLIO RESULTS
Hedge Fund Sub-Strategy, among other enhancements, we added three new foreign currency premia that better reflect the behavior of hedge funds in the space. Within our Event Driven and Relative Value Hedge Fund Sub-Strategies, we enhanced the equity volatility strategy to better track the risk and return profile of those hedge fund managers. |
Q | How was the Fund positioned at the end of the Reporting Period? |
A | At the end of the Reporting Period, the Fund had a 48% allocation to the Equity Long/Short Hedge Fund Sub-Strategy, 25% to the Macro Hedge Fund Sub-Strategy, 20% to the Relative Value Hedge Fund Sub-Strategy and 7% to the Event Driven Hedge Fund Sub-Strategy, quite similar to the Sub-Strategy allocations at the start of the Reporting Period. |
Q | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
A | Effective November 18, 2020, managing director and Fund portfolio manager Matthew Schwab left the firm. Matthew’s portfolio management responsibilities were assumed by the existing portfolio managers for the Fund, Federico Gilly, managing director and co-head of research, portfolio management and portfolio construction for the Alternative Investment Strategies (“AIS”) team within the QIS Team, and Oliver Bunn, vice president and portfolio manager on the AIS team. The AIS team has always managed portfolios using a team-based approach. This provides continuity in the day-to-day portfolio management on behalf of our shareholders. Our investment team focused on alternative risk premia strategies consists of 11 investment professionals, and we have developed a strong bench of individuals. Armen Avanessians continued as global head and Chief Investment Officer of the QIS Team, which represents more than 170 professionals and manages more than $183 billion in assets under supervision as of September 30, 2020. |
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, 2020
FUND SECTOR ALLOCATION1 |
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, 2020
The following graph shows the value as of December 31, 2020, of a $1,000,000 investment made on January 1, 2011 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, 2011 through December 31, 2020.
Average Annual Total Return through December 31, 2020* | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A | ||||||||||||||
Excluding sales charges | 3.29% | 4.35% | 2.78% | — | ||||||||||
Including sales charges | -2.38% | 3.19% | 2.20% | — | ||||||||||
| ||||||||||||||
Class C | ||||||||||||||
Excluding contingent deferred sales charges | 2.43% | 3.55% | 2.00% | — | ||||||||||
Including contingent deferred sales charges | 1.38% | 3.55% | 2.00% | — | ||||||||||
| ||||||||||||||
Institutional | 3.60% | 4.77% | 3.17% | — | ||||||||||
| ||||||||||||||
Investor | 3.54% | 4.63% | 3.03% | — | ||||||||||
| ||||||||||||||
Class R6 (Commenced July 31, 2015) | 3.71% | 4.76% | N/A | 3.80% | ||||||||||
| ||||||||||||||
Class R | 3.06% | 4.09% | 2.52% | — | ||||||||||
| ||||||||||||||
Class P (Commenced April 17, 2018) | 3.61% | N/A | N/A | 4.02% | ||||||||||
|
* | 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 R6, Class R and Class P 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 the 12-month period ended December 31, 2020 (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 R6, Class R and Class P Shares generated average annual total returns, without sales charges, of -9.23%, -9.82%, -8.89%, -8.97%, -8.88%, -9.53% and -8.95%, respectively. These returns compare to the 1.08% average annual total return of the Fund’s benchmark, the ICE® BofAML® USD LIBOR 3-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, the Fund realized negative absolute returns during the Reporting Period. From an asset class perspective, alternative risk premia across all asset classes detracted from performance. |
Alternative risk premia in equities detracted most, followed by those in currencies and then volatility. Also detracting, albeit to a lesser degree, were alternative risk premia in commodities, fixed income and credit. |
Across all asset classes during the Reporting Period, structural-based premia detracted the most. Structural-based currency premia were the worst performer. Carry-based premia also detracted during the Reporting Period, especially carry-based volatility strategies. Value-based premia detracted during the Reporting Period as well. Conversely, momentum-based premia contributed positively, though modestly, to performance across asset classes during the Reporting Period. Structural styles seek to profit from anomalies or mispricing present in the market. Carry styles seek to capitalize on the tendency for higher yielding assets to outperform lower yielding assets. Value styles seek to take advantage of the tendency for assets with low or high market prices to revert to their fundamental valuation. Momentum styles seek to exploit the tendency for recent relative price movements to continue in the near future. |
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, which realized negative 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 decreased the Fund’s allocations to commodities, currency and equities premia, and we modestly increased the Fund’s allocations to volatility and fixed income premia. We also established a position in trend premia 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’s risk premia budget was approximately 31% to equities, 12% to commodities, 19% to currencies, 12% to fixed income, 12% to volatility and 12% to trend. |
7
PORTFOLIO RESULTS
Q | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
Effective November 18, 2020, managing director and Fund portfolio manager Matthew Schwab left the firm and James Park began serving as a portfolio manager for the Fund. Matthew’s portfolio management responsibilities were assumed by the other portfolio managers for the Fund, Federico Gilly, managing director and co-head of research, portfolio management and portfolio construction for the Alternative Investment Strategies (“AIS”) team within the QIS Team since 2016, and James Park. James oversees signal and implementation research in various macro assets, including equities, fixed income, currencies and commodities, as head of QIS Macro Alpha Strategies. He originally joined the QIS Team in 2004. We believe his experience is uniquely suited to complement the alternative risk premia strategies managed by the AIS team. James will continue to oversee QIS Macro Alpha Strategies in addition to his new portfolio management responsibilities. The AIS team has always managed portfolios using a team-based approach. This provides continuity in the day-to-day portfolio management on behalf of our shareholders. Our investment team focused on alternative risk premia strategies consists of 11 investment professionals, and we have developed a strong bench of individuals. Armen Avanessians continued as global head and Chief Investment Officer of the QIS Team, which represents more than 170 professionals and manages more than $183 billion in assets under supervision as of September 30, 2020. |
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, 2020
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, 2020
The following graph shows the value as of December 31, 2020, of a $1,000,000 investment made on January 1, 2011 in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the ICE BofAML USD LIBOR Three-Month Constant Maturity Index (the “LIBOR Three-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 10 Year Performance |
Performance of a $1,000,000 Investment, with distributions reinvested, from January 1, 2011 through December 31, 2020.
Average Annual Total Return through December 31, 2020* | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A | ||||||||||||||
Excluding sales charges | -9.23% | 0.71% | 0.91% | — | ||||||||||
Including sales charges | -14.17% | -0.42% | 0.34% | — | ||||||||||
| ||||||||||||||
Class C | ||||||||||||||
Excluding contingent deferred sales charges | -9.82% | -0.02% | 0.16% | — | ||||||||||
Including contingent deferred sales charges | -10.71% | -0.02% | 0.16% | — | ||||||||||
| ||||||||||||||
Institutional | -8.89% | 1.14% | 1.31% | — | ||||||||||
| ||||||||||||||
Investor | -8.97% | 0.99% | 1.17% | — | ||||||||||
| ||||||||||||||
Class R6 (Commenced July 31, 2015) | -8.88% | 1.10% | N/A | -0.03% | ||||||||||
| ||||||||||||||
Class R | -9.53% | 0.45% | 0.65% | — | ||||||||||
| ||||||||||||||
Class P (Commenced April 17, 2018) | -8.95% | N/A | N/A | -4.28% | ||||||||||
|
* | 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 R6, Class R and Class P Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
10
PORTFOLIO RESULTS
Goldman Sachs Commodity Strategy Fund
Investment Objective
The Fund seeks long-term total return.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Commodities Team discusses the Goldman Sachs Commodity Strategy Fund’s (the “Fund”) performance and positioning for the 12-month period ended December 31, 2020 (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 R6, Class R and Class P Shares generated average annual total returns, without sales charges, of -23.16%, -23.77%, -22.96%, -22.99%, -22.92%, -23.36% and -22.84%, respectively. These returns compare to the -23.67% average annual total return of the Fund’s benchmark, the S&P GSCI® Total Return Index (Gross, USD, Unhedged) (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 negative returns during the Reporting Period, but it was a calendar year of numerous inflection points, as new all-time highs were hit in gold and new all-time lows were reached in crude oil. |
The negative demand shock of COVID-19 on the overall economy and on the financial markets beginning in February 2020 reduced demand for raw material inputs across many manufacturing sectors and reduced travel-related fuel demand. As a result of the lockdown containment measures to curb the pandemic, U.S. Gross Domestic Product (“GDP”) contracted in the first and second quarters of 2020 causing a technical recession the U.S. and in other countries more broadly. Third quarter U.S. GDP growth rebounded strongly, however U.S. GDP remained at the end of the third quarter below the fourth quarter 2019 peak. The U.S. Federal Reserve (the “Fed”) cut interest rates to zero in March 2020 and rolled out a massive quantitative easing program to inject liquidity into tumbling financial markets. Inflation fell, but future inflation expectations rose on the back of substantial monetary easing measures, i.e., fears of the Fed printing too much money. |
Crude oil prices were weak in January 2020 due to geopolitical tension in the Middle East between the U.S. and Iran, coupled with the emergence of the novel coronavirus in Wuhan, China. Reduced demand for crude oil imports from China due to lockdown restrictions weighed on prices and grew worse in February and March as new COVID-19 cases began to substantively materialize in other countries around the world. By the end of March 2020, West Texas Intermediate (“WTI”) front-month futures prices had fallen to $20.48 from $61.06 at December 31, 2019. Crude oil prices fell sharply during the month of March amid the simultaneous supply and demand shocks that impacted the market. On the demand side, less anticipated consumption as a result of the pandemic-related precautions limiting non-essential travel and reducing manufacturing activity led to a lapse in demand-driven price support. Many market participants revised down their forward-looking growth expectations in response to the rising unemployment and the contraction in consumer spending. On the supply side, the Organization of Petroleum Exporting Countries (“OPEC”) and Russia were unable to come to an agreement in early March and entered into a pricing war for crude oil, each unwilling to cut production and lose market share, leading to ongoing oversupply in the market and tumbling prices. This was often referred in the media as the “twin shock” to oil that occurred in the first quarter of 2020 and led to such dramatic negative performance for the sector. (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 May 2020 WTI futures contract price hit -$40 per barrel intraday during the month of April, as fears of hitting storage capacity limits in the U.S. put stress on prices the day prior to contract expiration amid weakening liquidity. Prices stabilized soon after but remained significantly lower than where they had begun the calendar year as a result of lower |
11
PORTFOLIO RESULTS
consumer and industrial demand for petroleum products. After days of deliberation, OPEC and other oil exporting nations finalized an agreement resulting in the single largest output cut in history of 9.7 million barrels per day to support falling prices. This, along with a slowdown from U.S. shale producers, led to some recovery in oil prices. |
Since April 2020, oil prices rebounded due to the supply cuts and a renewal of manufacturing demand, but with bouts of COVID-19-related volatility as new cases peaked in various developed market economies late in the summer. Financial markets cycled through recovery and risk-off spans of time, including commodity markets. Oil prices rallied in the fourth quarter of 2020, especially on the back of COVID-19 vaccine developments and renewed optimism of a return to “normalcy” in early 2021. |
Grain prices were negatively impacted by COVID-19 concerns early in 2020. Prices fell amid weakening import demand from other countries, in particular China. Grain prices since experienced a strong recovery and surpassed their 2020 starting point amid a price rally related to weather concerns, which could limit supply going forward, and to reopening of meat-processing plants, a main consumer of agricultural products. Many grains posted double-digit price returns during the Reporting Period overall, largely due to fewer anticipated future trade tensions with China in the incoming U.S. presidential administration. |
Industrial metals experienced similar sharp price declines during the COVID-19 sell-off in February and March 2020 amid contagion fears, with aluminum and copper being the hardest hit. Declining economic growth expectations as well as lower manufacturing demand in China and other emerging market economies were headwinds for the industrial metals subsector. Since April 2020, industrial metals experienced a strong price rally amid easing lockdown restrictions, a resurgence in demand from manufacturing and forward-looking optimism of COVID-19 vaccine-led economic normalization. |
Gold and silver experienced exceptionally strong performance during the Reporting Period after initially falling somewhat in March 2020 amid liquidity stresses on markets that led investors to sell liquid contracts, including precious metals futures, and move into cash to fund other falling asset positions. Broadly, gold and silver experienced a strong rally due to their potential to act as inflation hedges and because they are widely perceived as “safe haven” assets. With the Fed’s interest rate cuts and large quantitative easing programs, demand for real assets, including precious metals, increased. Low interest rates and asset purchase programs, in classical macro-economics, lead to inflation, while real assets tend to retain their buying power and increase in value alongside other prices in the economy, hence acting as an inflation hedge. Precious metals have also historically been a flight-to-quality asset class, which tends to rally during periods of market volatility, giving them the potential to be attractive diversifiers to pro-cyclical assets, such as equities and fixed income credit spreads. |
Q | Which commodity subsectors were strongest during the Reporting Period? |
A | The precious metals subsector of the S&P GSCI® was strongest on a relative basis with a return of 22.96% for the Reporting Period. Both gold and silver rallied during the |
calendar year with double-digit gains. Precious metals performed well, as the Fed cut interest rates to zero amid the pandemic sell-off to stimulate the U.S. economy, which was heading into recession. With interest rates lower, inflation expectations tend to rise, and investors often seek precious metals, such as gold and silver, as a real-asset store of value to mitigate nominal wealth erosion from inflation. Investors also looked to precious metals, such as gold, as a traditionally “safe haven” asset and risk mitigator, as has historically been the case during periods of volatility among traditional investment asset classes, such as equities and credit. |
The agriculture component of the S&P GSCI® was the second-strongest subsector, returning 14.94% during the Reporting Period. Corn, soybeans and wheat were all positive contributors during 2020. The subsector experienced negative returns in March 2020 but rallied significantly since on the back of fiscal stimulus, easing lockdown restrictions and optimism looking forward. |
The industrial metals subsector, as measured by the S&P GSCI® Industrial Metals Index, returned 14.83% for the Reporting Period overall, with aluminum, copper, nickel and zinc all up for the calendar year. Worries about manufacturing demand from China were already weighing on industrial metals prices in December 2019 when the lockdowns to contain COVID-19 were implemented. With renewed consumer demand, manufacturing demand and optimism due to COVID-19 vaccine developments, the subsector rallied significantly since its March 2020 lows. |
Q | Which commodity subsectors were weakest during the Reporting Period? |
A | The energy subsector of the S&P GSCI® was weakest on a relative basis, posting a return of -46.28% for the 12 months |
12
PORTFOLIO RESULTS
ended December 31, 2020, led by crude oil. WTI crude oil posted a return of -60.33%, Brent crude oil posted a return of -35.08% and natural gas generated a return of -45.89% for the Reporting Period. Oil prices fell precipitously during the COVID-19 sell-off that was experienced broadly across financial markets during the first quarter of 2020, with oil being hit by a “twin shock” on both the demand and supply sides. OPEC and other oil producers were adamant about not cutting production during March so as to not lose market share to competitors, while the slowdown in economic activity stymied demand. Oil prices then recovered in the latter half of the calendar year, as demand for liquid fuels stabilized, and unprecedented production cuts were agreed upon to support prices. Positive COVID-19 vaccine news was a strong tailwind for the subsector in December 2020. |
The livestock component of the S&P GSCI® returned -22.10% for the 12 months ended December 31, 2020. Within the subsector, live cattle and lean hogs were both detractors during the Reporting Period. |
Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
A | While the Fund generated disappointing double-digit negative absolute returns, most Fund share classes outperformed the S&P GSCI® during the Reporting Period. The Fund’s roll-timing strategies had a positive effect on the Fund’s returns for the Reporting Period overall. Our enhanced cash management strategy also 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 positive effect on the Fund’s returns for the Reporting Period overall. In particular, the Fund’s deferred exposure to crude oil during the first quarter of 2020 led to positive 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 short-term rates 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. We favored a long position in agency mortgage-backed securities based on what we viewed as attractive valuations and on technical demand from the Fed via its quantitative easing program. 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, 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, interest rate swaps, and swaptions (options on interest rate swap contracts) for duration management purposes and to express our interest rate views. The use of these instruments is integral to the Fund’s investment strategy, which, overall, realized negative 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 held deferred |
13
PORTFOLIO RESULTS
positions in WTI crude oil and Brent crude oil as part of its strategic allocation during the Reporting Period. We maintained our strategic allocation during the first quarter of 2020 and in April of 2020 and then followed closely to benchmark weightings for the remainder of the calendar year. We also reduced the Fund’s allocation to fixed income securities and increased its position in cash 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®. |
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 18.35% to commodity-linked securities, 12.21% to fixed income securities and 69.44% to cash. |
Q | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
A | In March 2020, the head of the government swaps strategy team and a portfolio manager for the Fund, Mark Van Wyk, retired after 25 years at the firm. His responsibilities were assumed by Peter Stone, the new head of the U.S. government swaps strategy. Peter has more than 16 years of industry experience. As of the end of the Reporting Period, Sam Finkelstein remains a portfolio manager of the Fund, along with Peter. 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 | At the end of the Reporting Period, we believed commodity markets were likely to be influenced by two primary factors in the year 2021. First, developments pertaining to the containment and prevention of COVID-19 will continue to play a dominant role in the coming year, in our view. The easing of lockdown restrictions, widespread dissemination of COVID-19 vaccines and resurgence of consumer activity will likely, in our opinion, be tailwinds for the sector. Spikes in daily new COVID-19 infections or adverse reactions to COVID-19 vaccines, on the other hand, may well create heightened market volatility and uncertainty along the path toward normalization. Second, the stance of the newly-elected U.S. President Biden and his Administration on topics such as environmental regulations and trade policy will likely, we believe, have a large impact on commodity markets going forward. More stringent regulations on U.S. shale extraction, for example, could impact domestic energy production, and the new Administration’s stance towards U.S.-China trade relations in particular could play a key role for commodity markets strongly tied to U.S.-China trade, such as agriculture and industrial metals. Overall, we believe commodity markets are likely to continue to benefit from a rebound in economic growth and activity more broadly but are also likely to remain sensitive to geopolitical and COVID-19-related developments. |
At a special meeting of shareholders of the Commodity Strategy Fund held on December 18, 2020, the Fund’s shareholders approved a sub-advisory agreement with CoreCommodity Management, LLC (“CoreCommodity”). Accordingly, effective after the close of business on January 22, 2021 (the “Effective Date”), CoreCommodity began sub-advising the Fund.
On the Effective Date, the Fund’s benchmark changed from the S&P GSCI Total Return Index to the Bloomberg Commodity Total Return Index (“BCOM”). However, the Fund will continue to seek to maintain substantial economic exposure to the performance of the commodities markets. Although CoreCommodity has a different investment philosophy, it is not anticipated that CoreCommodity will make any material changes to the principal investment strategies of the Fund.
In light of these changes, Robert B. Hyman, Managing Director for CoreCommodity, became a portfolio manager for the Fund on the Effective Date. In addition, Peter Stone and Sam Finkelstein no longer serve as portfolio managers for the Fund as of the Effective Date.
14
FUND BASICS
Commodity Strategy Fund
as of December 31, 2020
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.
15
GOLDMAN SACHS COMMODITY STRATEGY FUND
Performance Summary
December 31, 2020
The following graph shows the value as of December 31, 2020, of a $1,000,000 investment made on January 1, 2011 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, 2011 through December 31, 2020.
Average Annual Total Return through December 31, 2020* | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A | ||||||||||||||
Excluding sales charges | -23.16% | -2.49% | -8.88% | — | ||||||||||
Including sales charges | -26.61% | -3.37% | -9.29% | — | ||||||||||
| ||||||||||||||
Class C | ||||||||||||||
Excluding contingent deferred sales charges | -23.77% | -3.23% | -9.55% | — | ||||||||||
Including contingent deferred sales charges | -24.53% | -3.23% | -9.55% | — | ||||||||||
| ||||||||||||||
Institutional | -22.96% | -2.16% | -8.60% | — | ||||||||||
| ||||||||||||||
Investor | -22.99% | -2.25% | -8.65% | — | ||||||||||
| ||||||||||||||
Class R6 (Commenced July 31, 2015) | -22.92% | -2.16% | N/A | -6.21% | ||||||||||
| ||||||||||||||
Class R | -23.36% | -2.74% | -9.13% | — | ||||||||||
| ||||||||||||||
Class P (Commenced April 17, 2018) | -22.84% | N/A | N/A | -10.72% | ||||||||||
|
* | 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 R6, Class R and Class P Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
16
PORTFOLIO RESULTS
Goldman Sachs Managed Futures Strategy Fund
Investment Objective
The Fund seeks to generate long-term absolute return.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs Managed Futures Strategy Fund’s (the “Fund”) performance and positioning for the 12-month period ended December 31, 2020 (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 R6, Class R and Class P Shares generated average annual total returns, without sales charges, of 6.62%, 5.88%, 6.95%, 6.92%, 7.05%, 6.30% and 6.95%, respectively. These returns compare to the 0.66% average annual total return of the Fund’s benchmark, the ICE® BofAML® USD LIBOR One-Month Constant Maturity Index (the “LIBOR One-Month Index”), during the same time period. |
We note that the Fund’s benchmark being the LIBOR One-Month Index is a means of emphasizing that the Fund has an unconstrained strategy. That said, this Fund employs a benchmark agnostic strategy and thus comparisons to a benchmark index are not particularly relevant. |
Q | What were the primary contributors to and detractors from the Fund’s performance during the Reporting Period? |
A | The Fund implements a trend-following strategy that takes long and/or short positions in a wide range of asset classes, including equities, fixed income and currencies, among others, to seek long-term absolute return. The Fund seeks to achieve its investment objective by investing primarily in a portfolio of equities, equity index futures, bonds, bond futures, equity swaps, interest rate swaps, currency forwards and non-deliverable forwards, options, exchange-traded funds (“ETFs”) and structured securities. As a result of the Fund’s use of derivatives, the Fund may also hold significant amounts of U.S. Treasuries or short-term investments. The Fund’s investments are made without restriction as to issuer capitalization, country, currency, maturity or credit rating. |
During the Reporting Period, the Fund generated solid positive performance. Exposures to short-term interest rates and opportunistic strategies contributed the most to the Fund’s performance. Conversely, exposures to developed markets equities and emerging markets fixed income detracted the most. |
More specifically, positioning in short-term interest rates was the largest positive contributor to returns during the Reporting Period, with four of the seven regions in which the Fund invests adding value. Short-term interest rates in the U.S. were the best contributor by geography. In terms of opportunistic strategies, fixed income strategies were the best contributors. The Fund was long short-term interest rates at the end of the Reporting Period. |
Conversely, Canadian equities and Australian equities detracted the most during the Reporting Period. Within emerging markets fixed income, Czech bonds and Hungary bonds were the biggest detractors during the Reporting Period. The Fund was long developed markets equities overall at the end of the Reporting Period. The Fund also ended the Reporting Period with net long positions within emerging markets fixed income. |
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. and non-U.S. companies) and currencies (U.S. and non-U.S. currencies), respectively. The Fund used interest rate swaps and futures to achieve exposure to fixed income. We used 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. |
17
PORTFOLIO RESULTS
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 decreased its long positioning in developed markets equities and shifted its position in emerging markets equities from short to long. The Fund decreased its long positions in long-term and medium-term fixed income and shifted its positioning in short-term fixed income from short to long. Among currencies, the Fund’s positioning in developed market currencies shifted from short to long, and we increased the Fund’s long positions in emerging markets currencies. We increased the Fund’s long positions in commodities 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 positioned long all asset classes, including developed markets equities, emerging markets equities, long-term, medium-term and short-term interest rates, developed markets currencies, emerging markets currencies and commodities. |
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 2021, 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. |
18
FUND BASICS
Managed Futures Strategy Fund
as of December 31, 2020
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.
19
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Performance Summary
December 31, 2020
The following graph shows the value as of December 31, 2020, 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, 2020.
Average Annual Total Return through December 31, 2020* | One Year | Five Years | Since Inception | |||||||
Class A (Commenced February 29, 2012) | ||||||||||
Excluding sales charges | 6.62% | 1.54% | 1.65% | |||||||
Including sales charges | 0.76% | 0.41% | 1.01% | |||||||
| ||||||||||
Class C (Commenced February 29, 2012) | ||||||||||
Excluding contingent deferred sales charges | 5.88% | 0.79% | 0.89% | |||||||
Including contingent deferred sales charges | 4.87% | 0.79% | 0.89% | |||||||
| ||||||||||
Institutional (Commenced February 29, 2012) | 6.95% | 1.91% | 2.04% | |||||||
| ||||||||||
Investor (Commenced February 29, 2012) | 6.92% | 1.78% | 1.90% | |||||||
| ||||||||||
Class R6 (Commenced April 30, 2018) | 7.05% | N/A | 3.42% | |||||||
| ||||||||||
Class R (Commenced February 29, 2012) | 6.30% | 1.29% | 1.40% | |||||||
| ||||||||||
Class P (Commenced April 17, 2018) | 6.95% | N/A | 2.57% | |||||||
|
* | 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 R6, Class R and Class P Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
20
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 LIBOR One-Month Constant Maturity Index tracks the performance of a synthetic asset paying LIBOR to a stated maturity. The Index is based on the assumed purchase at par of a synthetic instrument having exactly its stated maturity and with a coupon equal to that day’s fixing rate. That issue is assumed to be sold the following business day (priced at a yield equal to the current day fixing rate) and rolled into a new instrument. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index.
21
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments
December 31, 2020
Shares | Description | Value | ||||||
Common Stocks – 23.9% | ||||||||
Automobiles & Components – 0.5% | ||||||||
931 | Aptiv plc | $ | 121,300 | |||||
2,636 | Bayerische Motoren Werke AG | 232,644 | ||||||
6,646 | BorgWarner, Inc. | 256,801 | ||||||
91 | Bridgestone Corp. | 2,984 | ||||||
1,705 | Cie Generale des Etablissements Michelin SCA | 219,530 | ||||||
1,388 | Continental AG | 206,583 | ||||||
4,993 | Daimler AG (Registered) | 353,900 | ||||||
1,304 | Faurecia SE* | 66,813 | ||||||
8,656 | Fiat Chrysler Automobiles NV* | 156,380 | ||||||
620,616 | Ford Motor Co. | 5,455,215 | ||||||
214,832 | General Motors Co. | 8,945,604 | ||||||
3,341 | Honda Motor Co. Ltd. | 94,271 | ||||||
239 | JTEKT Corp. | 1,856 | ||||||
51 | Mazda Motor Corp. | 341 | ||||||
902 | NGK Spark Plug Co. Ltd. | 15,403 | ||||||
408 | Nissan Motor Co. Ltd. | 2,212 | ||||||
3,122 | NOK Corp. | 33,575 | ||||||
1,608 | Nokian Renkaat OYJ | 56,635 | ||||||
3,035 | Renault SA* | 132,848 | ||||||
5,287 | Sumitomo Rubber Industries Ltd. | 45,491 | ||||||
72 | Suzuki Motor Corp. | 3,338 | ||||||
5,369 | TI Fluid Systems plc | 18,003 | ||||||
1,040 | Tokai Rika Co. Ltd. | 17,602 | ||||||
104 | Toyota Boshoku Corp. | 1,689 | ||||||
320 | Toyota Industries Corp. | 25,424 | ||||||
904 | TS Tech Co. Ltd. | 27,920 | ||||||
940 | Valeo SA | 37,078 | ||||||
143 | Yamaha Motor Co. Ltd. | 2,919 | ||||||
2,826 | Yokohama Rubber Co. Ltd. (The) | 42,099 | ||||||
|
| |||||||
16,576,458 | ||||||||
|
| |||||||
Banks – 1.1% | ||||||||
952 | 77 Bank Ltd. (The) | 12,992 | ||||||
534 | Aozora Bank Ltd. | 9,874 | ||||||
57,751 | Banco BPM SpA | 128,135 | ||||||
182,749 | Banco de Sabadell SA | 79,087 | ||||||
366,219 | Bank of America Corp. | 11,100,098 | ||||||
116 | Bankinter SA | 629 | ||||||
85,314 | Barclays plc | 171,148 | ||||||
71 | BAWAG Group AG | 3,302 | ||||||
4,705 | BNP Paribas SA* | 248,387 | ||||||
13,578 | Citigroup, Inc. | 837,220 | ||||||
9,895 | Citizens Financial Group, Inc. | 353,845 | ||||||
75 | Close Brothers Group plc | 1,414 | ||||||
3,014 | Comerica, Inc. | 168,362 | ||||||
7,560 | Credit Agricole SA* | 95,573 | ||||||
11,849 | Fifth Third Bancorp | 326,677 | ||||||
830 | FinecoBank Banca Fineco SpA* | 13,688 | ||||||
55 | First Republic Bank | 8,081 | ||||||
6,556 | Gunma Bank Ltd. (The) | 20,247 | ||||||
1,633 | Hachijuni Bank Ltd. (The) | 5,440 | ||||||
1,320 | Hirogin Holdings, Inc.* | 7,433 | ||||||
2,638 | Hokuhoku Financial Group, Inc. | 25,098 | ||||||
1,034 | HSBC Holdings plc | 5,341 | ||||||
4,433 | Huntington Bancshares, Inc. | 55,989 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Banks – (continued) | ||||||||
11,741 | ING Groep NV | 109,166 | ||||||
65,832 | Intesa Sanpaolo SpA* | 155,608 | ||||||
667 | Iyo Bank Ltd. (The) | 4,190 | ||||||
100,285 | JPMorgan Chase & Co. | 12,743,215 | ||||||
92 | KBC Group NV | 6,438 | ||||||
15,723 | KeyCorp | 258,015 | ||||||
270,757 | Lloyds Banking Group plc | 134,988 | ||||||
1,644 | M&T Bank Corp. | 209,281 | ||||||
9,343 | Mebuki Financial Group, Inc. | 18,409 | ||||||
4,143 | Mizuho Financial Group, Inc. | 52,584 | ||||||
14,644 | Natwest Group plc | 33,476 | ||||||
3,539 | Nishi-Nippon Financial Holdings, Inc. | 22,668 | ||||||
4,492 | OSB Group plc* | 26,021 | ||||||
8,105 | Paragon Banking Group plc | 54,322 | ||||||
7,527 | Raiffeisen Bank International AG* | 152,961 | ||||||
7,561 | Resona Holdings, Inc. | 26,469 | ||||||
1,024 | Seven Bank Ltd. | 2,165 | ||||||
67 | Shiga Bank Ltd. (The) | 1,372 | ||||||
797 | Shinsei Bank Ltd. | 9,846 | ||||||
18,310 | Standard Chartered plc | 116,268 | ||||||
958 | Sumitomo Mitsui Trust Holdings, Inc. | 29,559 | ||||||
110 | SVB Financial Group* | 42,661 | ||||||
1,128 | TBC Bank Group plc* | 19,244 | ||||||
421 | US Bancorp | 19,614 | ||||||
284,553 | Wells Fargo & Co. | 8,587,810 | ||||||
1,596 | Yamaguchi Financial Group, Inc. | 9,010 | ||||||
3,487 | Zions Bancorp NA | 151,475 | ||||||
|
| |||||||
36,674,895 | ||||||||
|
| |||||||
Capital Goods – 0.9% | ||||||||
30,986 | 3M Co. | 5,416,043 | ||||||
2,283 | A O Smith Corp. | 125,154 | ||||||
739 | Aalberts NV | 32,882 | ||||||
867 | ACS Actividades de Construccion y Servicios SA | 28,804 | ||||||
15 | Alstom SA* | 854 | ||||||
169 | Amada Co. Ltd. | 1,860 | ||||||
997 | AMETEK, Inc. | 120,577 | ||||||
1,578 | ANDRITZ AG | 72,337 | ||||||
1,528 | Ashtead Group plc | 71,970 | ||||||
141 | Avon Rubber plc | 6,093 | ||||||
1,181 | Bodycote plc | 12,042 | ||||||
3,071 | Bouygues SA | 126,304 | ||||||
1,330 | Brenntag AG | 103,423 | ||||||
1,650 | Bunzl plc | 55,090 | ||||||
6,861 | Carrier Global Corp. | 258,797 | ||||||
887 | Central Glass Co. Ltd. | 19,339 | ||||||
2,341 | Chemring Group plc | 9,140 | ||||||
3,202 | Cie de Saint-Gobain | 147,268 | ||||||
9,123 | CNH Industrial NV* | 114,680 | ||||||
466 | COMSYS Holdings Corp. | 14,490 | ||||||
1,133 | Cummins, Inc. | 257,304 | ||||||
101 | Daifuku Co. Ltd. | 12,498 | ||||||
99 | Daikin Industries Ltd. | 22,024 | ||||||
555 | DCC plc | 39,273 | ||||||
2,019 | Deere & Co. | 543,212 | ||||||
|
|
22 | 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) | ||||||||
203 | Diploma plc | $ | 6,070 | |||||
215 | DMG Mori Co. Ltd. | 3,279 | ||||||
1,323 | Dover Corp. | 167,029 | ||||||
2,198 | Eaton Corp. plc | 264,068 | ||||||
671 | Ebara Corp. | 21,961 | ||||||
1,214 | Eiffage SA* | 117,348 | ||||||
1,439 | Electrocomponents plc* | 17,110 | ||||||
3,121 | Emerson Electric Co. | 250,835 | ||||||
531 | Fastenal Co. | 25,929 | ||||||
782 | Ferguson plc | 95,013 | ||||||
5,874 | Flowserve Corp. | 216,457 | ||||||
45,916 | Fortive Corp. | 3,251,771 | ||||||
3,031 | Fortune Brands Home & Security, Inc. | 259,817 | ||||||
336 | Fuji Corp. | 8,856 | ||||||
291 | Fuji Electric Co. Ltd. | 10,504 | ||||||
879 | Fujitec Co. Ltd. | 18,992 | ||||||
1,564 | GEA Group AG | 55,940 | ||||||
2,303 | General Dynamics Corp. | 342,732 | ||||||
716,072 | General Electric Co. | 7,733,578 | ||||||
597 | Glory Ltd. | 12,057 | ||||||
686 | GS Yuasa Corp. | 19,742 | ||||||
721 | Hitachi Construction Machinery Co. Ltd. | 20,501 | ||||||
171 | Honeywell International, Inc. | 36,372 | ||||||
1,029 | Howden Joinery Group plc | 9,694 | ||||||
2,021 | Huntington Ingalls Industries, Inc. | 344,540 | ||||||
90 | IDEX Corp. | 17,928 | ||||||
168 | Illinois Tool Works, Inc. | 34,252 | ||||||
234 | IMCD NV | 29,783 | ||||||
2,024 | IMI plc | 32,253 | ||||||
3,448 | Ingersoll Rand, Inc.* | 157,091 | ||||||
253 | Interpump Group SpA | 12,524 | ||||||
2,647 | ITOCHU Corp. | 76,128 | ||||||
422 | Jacobs Engineering Group, Inc. | 45,981 | ||||||
89 | Japan Steel Works Ltd. (The) | 2,659 | ||||||
208 | John Laing Group plc | 946 | ||||||
7,627 | Johnson Controls International plc | 355,342 | ||||||
2,271 | Kajima Corp. | 30,465 | ||||||
1,998 | Kawasaki Heavy Industries Ltd. | 45,118 | ||||||
1,127 | Kinden Corp. | 18,353 | ||||||
406 | Kingspan Group plc | 28,470 | ||||||
407 | KION Group AG | 35,296 | ||||||
142 | Knorr-Bremse AG | 19,374 | ||||||
130 | Komatsu Ltd. | 3,588 | ||||||
392 | Kone OYJ Class B | 31,940 | ||||||
268 | Kubota Corp. | 5,855 | ||||||
440 | Kurita Water Industries Ltd. | 16,819 | ||||||
442 | Kyowa Exeo Corp. | 12,478 | ||||||
509 | Kyudenko Corp. | 16,438 | ||||||
62 | Legrand SA | 5,546 | ||||||
1,292 | Lixil Corp. | 28,019 | ||||||
3,422 | Maeda Corp. | 30,455 | ||||||
118 | Makita Corp. | 5,919 | ||||||
7,032 | Marubeni Corp. | 46,850 | ||||||
2,458 | Masco Corp. | 135,018 | ||||||
2,385 | Meggitt plc | 15,166 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Capital Goods – (continued) | ||||||||
22,173 | Melrose Industries plc* | 54,022 | ||||||
658 | Metso Outotec OYJ | 6,611 | ||||||
570 | MINEBEA MITSUMI, Inc. | 11,340 | ||||||
66 | MISUMI Group, Inc. | 2,167 | ||||||
2,535 | Mitsubishi Corp. | 62,492 | ||||||
3,375 | Mitsubishi Electric Corp. | 51,009 | ||||||
436 | Mitsubishi Heavy Industries Ltd. | 13,353 | ||||||
2,881 | Mitsui & Co. Ltd. | 52,821 | ||||||
121 | Miura Co. Ltd. | 6,755 | ||||||
203 | MonotaRO Co. Ltd. | 10,310 | ||||||
6,346 | Morgan Advanced Materials plc | 27,024 | ||||||
665 | Morgan Sindall Group plc | 13,907 | ||||||
162 | Nabtesco Corp. | 7,111 | ||||||
1,125 | Nagase & Co. Ltd. | 16,443 | ||||||
130 | Nidec Corp. | 16,446 | ||||||
3,354 | Nisshinbo Holdings, Inc. | 24,510 | ||||||
3,044 | Obayashi Corp. | 26,284 | ||||||
153 | OKUMA Corp. | 8,582 | ||||||
2,070 | Otis Worldwide Corp. | 139,828 | ||||||
1,095 | Parker-Hannifin Corp. | 298,289 | ||||||
3,717 | Pentair plc | 197,336 | ||||||
2,867 | Penta-Ocean Construction Co. Ltd. | 24,681 | ||||||
476 | Polypipe Group plc* | 3,887 | ||||||
2,550 | Prysmian SpA | 90,761 | ||||||
2,321 | QinetiQ Group plc | 10,147 | ||||||
6,236 | Quanta Services, Inc. | 449,117 | ||||||
16 | Rational AG | 14,885 | ||||||
8,989 | Rexel SA* | 141,877 | ||||||
665 | Rheinmetall AG | 70,409 | ||||||
966 | Rotork plc | 4,202 | ||||||
1,236 | Sanwa Holdings Corp. | 14,434 | ||||||
455 | Schneider Electric SE | 65,760 | ||||||
84 | Shimizu Corp. | 611 | ||||||
98 | SHO-BOND Holdings Co. Ltd. | 4,762 | ||||||
286 | Siemens AG (Registered) | 41,197 | ||||||
3,858 | Siemens Energy AG* | 141,394 | ||||||
898 | Siemens Gamesa Renewable Energy SA | 36,464 | ||||||
2,120 | Signify NV* | 89,011 | ||||||
1,692 | Snap-on, Inc. | 289,569 | ||||||
13,071 | Sojitz Corp. | 29,189 | ||||||
111 | Spirax-Sarco Engineering plc | 17,134 | ||||||
1,524 | Stanley Black & Decker, Inc. | 272,125 | ||||||
3,440 | Sumitomo Corp. | 45,590 | ||||||
250 | Sumitomo Heavy Industries Ltd. | 6,179 | ||||||
661 | Taisei Corp. | 22,804 | ||||||
204 | Teledyne Technologies, Inc.* | 79,964 | ||||||
347 | Thales SA | 31,748 | ||||||
2,214 | Toda Corp. | 14,666 | ||||||
899 | Toyota Tsusho Corp. | 36,379 | ||||||
1,066 | Trane Technologies plc | 154,741 | ||||||
7,198 | TransDigm Group, Inc.* | 4,454,482 | ||||||
1,677 | Travis Perkins plc* | 30,875 | ||||||
680 | Ultra Electronics Holdings plc | 19,139 | ||||||
1,534 | United Rentals, Inc.* | 355,750 | ||||||
1,838 | Valmet OYJ | 52,843 | ||||||
|
|
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, 2020
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Capital Goods – (continued) | ||||||||
52 | Varta AG* | $ | 7,497 | |||||
4,739 | Vesuvius plc | 34,664 | ||||||
1,538 | Vinci SA | 153,199 | ||||||
4,052 | Wartsila OYJ Abp | 40,554 | ||||||
1,636 | Weir Group plc (The) | 44,482 | ||||||
4,505 | Westinghouse Air Brake Technologies Corp. | 329,766 | ||||||
61 | XP Power Ltd. | 3,915 | ||||||
105 | Xylem, Inc. | 10,688 | ||||||
84 | Yaskawa Electric Corp. | 4,188 | ||||||
|
| |||||||
31,010,076 | ||||||||
|
| |||||||
Commercial & Professional Services – 0.4% | ||||||||
5,256 | Aggreko plc | 45,055 | ||||||
236 | Benefit One, Inc. | 6,986 | ||||||
10,314 | Biffa plc* | 32,370 | ||||||
29 | Bureau Veritas SA* | 774 | ||||||
241 | Cintas Corp. | 85,184 | ||||||
48,838 | Copart, Inc.* | 6,214,635 | ||||||
4,207 | CoStar Group, Inc.* | 3,888,446 | ||||||
546 | Dai Nippon Printing Co. Ltd. | 9,821 | ||||||
4,078 | Elis SA* | 67,556 | ||||||
605 | Experian plc | 22,983 | ||||||
9,900 | G4S plc* | 34,388 | ||||||
18,262 | Hays plc | 35,825 | ||||||
195 | Intertek Group plc | 15,062 | ||||||
572 | JTC plc | 4,365 | ||||||
1,169 | Kokuyo Co. Ltd. | 15,837 | ||||||
20,184 | Nielsen Holdings plc | 421,240 | ||||||
177 | Nihon M&A Center, Inc. | 11,837 | ||||||
4,168 | Pagegroup plc | 25,474 | ||||||
92 | Park24 Co. Ltd. | 1,601 | ||||||
920 | Persol Holdings Co. Ltd. | 16,621 | ||||||
289 | Pilot Corp. | 8,121 | ||||||
1,731 | Randstad NV* | 112,052 | ||||||
389 | Recruit Holdings Co. Ltd. | 16,339 | ||||||
1,944 | Rentokil Initial plc | 13,554 | ||||||
36,737 | Republic Services, Inc. | 3,537,773 | ||||||
4,964 | Robert Half International, Inc. | 310,151 | ||||||
6,003 | Rollins, Inc. | 234,537 | ||||||
164 | Secom Co. Ltd. | 15,129 | ||||||
20,843 | Serco Group plc | 34,221 | ||||||
235 | Sohgo Security Services Co. Ltd. | 12,191 | ||||||
5,417 | SPIE SA | 118,105 | ||||||
65 | Teleperformance | 21,579 | ||||||
592 | Toppan Printing Co. Ltd. | 8,360 | ||||||
562 | Verisk Analytics, Inc. | 116,666 | ||||||
116 | Waste Management, Inc. | 13,680 | ||||||
180 | Wolters Kluwer NV | 15,186 | ||||||
|
| |||||||
15,543,704 | ||||||||
|
| |||||||
Consumer Durables & Apparel – 0.5% | ||||||||
128 | Asics Corp. | 2,462 | ||||||
115 | Bandai Namco Holdings, Inc. | 9,959 | ||||||
355 | Berkeley Group Holdings plc | 22,964 | ||||||
1,145 | Burberry Group plc* | 27,961 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Consumer Durables & Apparel – (continued) | ||||||||
124 | Casio Computer Co. Ltd. | 2,269 | ||||||
14,396 | Coats Group plc* | 13,265 | ||||||
1,629 | Crest Nicholson Holdings plc | 7,264 | ||||||
4,429 | DR Horton, Inc. | 305,247 | ||||||
1,566 | EssilorLuxottica SA | 244,037 | ||||||
353 | Fujitsu General Ltd. | 9,573 | ||||||
119 | Games Workshop Group plc | 18,221 | ||||||
20,090 | Hanesbrands, Inc. | 292,912 | ||||||
40,680 | Hasbro, Inc. | 3,805,207 | ||||||
19 | Hermes International | 20,430 | ||||||
2,448 | Iida Group Holdings Co. Ltd. | 49,494 | ||||||
19 | Kering SA | 13,789 | ||||||
5,079 | Leggett & Platt, Inc. | 225,000 | ||||||
4,832 | Lennar Corp. Class A | 368,343 | ||||||
2,663 | Mohawk Industries, Inc.* | 375,350 | ||||||
576 | Moncler SpA* | 35,413 | ||||||
14,761 | Newell Brands, Inc. | 313,376 | ||||||
802 | NIKE, Inc. Class B | 113,459 | ||||||
44 | NVR, Inc.* | 179,514 | ||||||
3,422 | Panasonic Corp. | 39,891 | ||||||
171 | Persimmon plc | 6,454 | ||||||
7,567 | PulteGroup, Inc. | 326,289 | ||||||
169 | Puma SE* | 19,017 | ||||||
4,777 | PVH Corp. | 448,513 | ||||||
2,693 | Ralph Lauren Corp. | 279,372 | ||||||
54 | Rinnai Corp. | 6,277 | ||||||
165 | Sangetsu Corp. | 2,483 | ||||||
166 | Sankyo Co. Ltd. | 4,492 | ||||||
532 | SEB SA | 96,735 | ||||||
2,524 | Sekisui House Ltd. | 51,418 | ||||||
1,739 | Sony Corp. | 175,236 | ||||||
135,524 | Tapestry, Inc. | 4,212,086 | ||||||
164,896 | Tempur Sealy International, Inc.* | 4,452,192 | ||||||
392 | VF Corp. | 33,481 | ||||||
1,492 | Vistry Group plc* | 19,175 | ||||||
1,574 | Whirlpool Corp. | 284,091 | ||||||
|
| |||||||
16,912,711 | ||||||||
|
| |||||||
Consumer Services – 0.2% | ||||||||
4,319 | 888 Holdings plc | 16,862 | ||||||
168 | Accor SA* | 6,095 | ||||||
895 | Benesse Holdings, Inc. | 17,485 | ||||||
3,136 | Carnival Corp. | 67,926 | ||||||
150 | Chipotle Mexican Grill, Inc.* | 208,007 | ||||||
4,118 | Compass Group plc | 76,806 | ||||||
1,213 | Domino’s Pizza Group plc* | 5,227 | ||||||
166 | Domino’s Pizza, Inc. | 63,654 | ||||||
2,659 | Entain plc | 41,243 | ||||||
855 | Flutter Entertainment plc | 174,335 | ||||||
2,150 | Gamesys Group plc | 33,468 | ||||||
38 | Greggs plc* | 930 | ||||||
93 | La Francaise des Jeux SAEM | 4,263 | ||||||
256 | Las Vegas Sands Corp. | 15,258 | ||||||
1,246 | Marriott International, Inc. Class A | 164,372 | ||||||
27,843 | McDonald’s Corp. | 5,974,551 | ||||||
5,819 | Mitchells & Butlers plc* | 19,184 | ||||||
|
|
24 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Consumer Services – (continued) | ||||||||
5,455 | Playtech plc | $ | 29,966 | |||||
2,943 | Rank Group plc | 5,602 | ||||||
79 | Resorttrust, Inc. | 1,130 | ||||||
100 | Skylark Holdings Co. Ltd. | 1,550 | ||||||
488 | SSP Group plc | 2,216 | ||||||
71 | Sushiro Global Holdings Ltd. | 2,724 | ||||||
423 | Yum! Brands, Inc. | 45,921 | ||||||
|
| |||||||
6,978,775 | ||||||||
|
| |||||||
Diversified Financials – 1.4% | ||||||||
904 | 3i Group plc | 15,239 | ||||||
273 | Acom Co. Ltd. | 1,166 | ||||||
2,076 | AEON Financial Service Co. Ltd. | 24,899 | ||||||
524 | AJ Bell plc | 3,111 | ||||||
232 | American Express Co. | 28,051 | ||||||
185 | Ameriprise Financial, Inc. | 35,951 | ||||||
49 | Amundi SA* | 3,994 | ||||||
521 | Ashmore Group plc | 3,076 | ||||||
11,118 | Bank of New York Mellon Corp. (The) | 471,848 | ||||||
65,566 | Berkshire Hathaway, Inc. Class B* | 15,202,788 | ||||||
487 | Brewin Dolphin Holdings plc | 2,027 | ||||||
50,701 | Capital One Financial Corp. | 5,011,794 | ||||||
211 | Cboe Global Markets, Inc. | 19,648 | ||||||
920 | CMC Markets plc | 4,919 | ||||||
26,764 | CME Group, Inc. | 4,872,386 | ||||||
1,929 | Credit Saison Co. Ltd. | 22,208 | ||||||
105 | Deutsche Boerse AG | 17,879 | ||||||
99 | Euronext NV | 10,903 | ||||||
9,557 | Franklin Resources, Inc. | 238,829 | ||||||
233 | Hargreaves Lansdown plc | 4,851 | ||||||
1,536 | IG Group Holdings plc | 18,044 | ||||||
1,383 | IntegraFin Holdings plc | 10,490 | ||||||
44,769 | Intercontinental Exchange, Inc. | 5,161,418 | ||||||
601 | Intermediate Capital Group plc | 14,142 | ||||||
24,040 | Invesco Ltd. | 419,017 | ||||||
32,894 | Investec plc | 84,536 | ||||||
6,418 | IP Group plc* | 8,716 | ||||||
643 | Japan Exchange Group, Inc. | 16,430 | ||||||
631 | Jupiter Fund Management plc | 2,437 | ||||||
99,777 | KKR & Co., Inc. | 4,039,971 | ||||||
321 | Liontrust Asset Management plc | 5,707 | ||||||
38,386 | M&G plc | 103,610 | ||||||
12,543 | Man Group plc | 23,684 | ||||||
82 | MarketAxess Holdings, Inc. | 46,786 | ||||||
61 | Matsui Securities Co. Ltd. | 479 | ||||||
5,883 | Mitsubishi UFJ Lease & Finance Co. Ltd. | 28,249 | ||||||
187 | Moody’s Corp. | 54,275 | ||||||
7,924 | Morgan Stanley | 543,032 | ||||||
17 | MSCI, Inc. | 7,591 | ||||||
556 | Ninety One plc | 1,762 | ||||||
6,675 | Nomura Holdings, Inc. | 35,291 | ||||||
2,068 | ORIX Corp. | 31,814 | ||||||
904 | Plus500 Ltd. | 17,909 | ||||||
12,154 | Provident Financial plc | 50,924 | ||||||
1,555 | Quilter plc | 3,257 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Diversified Financials – (continued) | ||||||||
42 | Rathbone Brothers plc | 884 | ||||||
915 | Raymond James Financial, Inc. | 87,538 | ||||||
17,327 | S&P Global, Inc. | 5,695,905 | ||||||
66 | Sanne Group plc | 556 | ||||||
67 | Schroders plc | 3,055 | ||||||
46 | Sofina SA | 15,561 | ||||||
808 | St James’s Place plc | 12,503 | ||||||
5,404 | State Street Corp. | 393,303 | ||||||
145,061 | Synchrony Financial | 5,035,067 | ||||||
241 | T. Rowe Price Group, Inc. | 36,485 | ||||||
21 | Wendel SE | 2,506 | ||||||
|
| |||||||
48,008,501 | ||||||||
|
| |||||||
Energy – 0.1% | ||||||||
8,053 | Baker Hughes Co. | 167,905 | ||||||
1,191 | Cabot Oil & Gas Corp. | 19,389 | ||||||
12,862 | Cairn Energy plc* | 36,880 | ||||||
438 | Chevron Corp. | 36,989 | ||||||
545 | ConocoPhillips | 21,795 | ||||||
5,494 | Devon Energy Corp. | 86,860 | ||||||
2,083 | Diversified Gas & Oil plc | 3,208 | ||||||
7,793 | ENEOS Holdings, Inc. | 27,990 | ||||||
6,460 | Eni SpA | 67,440 | ||||||
3,909 | EOG Resources, Inc. | 194,942 | ||||||
13,231 | Exxon Mobil Corp. | 545,382 | ||||||
11,219 | Halliburton Co. | 212,039 | ||||||
3,423 | HollyFrontier Corp. | 88,485 | ||||||
65 | Iwatani Corp. | 4,005 | ||||||
41,845 | John Wood Group plc | 176,516 | ||||||
11,076 | Kinder Morgan, Inc. | 151,409 | ||||||
59 | Koninklijke Vopak NV | 3,099 | ||||||
11,205 | Marathon Oil Corp. | 74,737 | ||||||
2,633 | Marathon Petroleum Corp. | 108,901 | ||||||
13,129 | National Oilwell Varco, Inc. | 180,261 | ||||||
415 | Neste OYJ | 30,131 | ||||||
441 | Occidental Petroleum Corp. | 7,634 | ||||||
1,373 | OMV AG | 54,842 | ||||||
1,664 | Petrofac Ltd. | 3,135 | ||||||
1,813 | Phillips 66 | 126,801 | ||||||
110 | Pioneer Natural Resources Co. | 12,528 | ||||||
4,929 | Repsol SA | 49,655 | ||||||
12,679 | Royal Dutch Shell plc Class A | 222,344 | ||||||
8,433 | Schlumberger NV | 184,092 | ||||||
3,963 | TechnipFMC plc | 37,249 | ||||||
4,230 | Tenaris SA | 34,279 | ||||||
6,731 | TOTAL SE | 290,525 | ||||||
1,941 | Valero Energy Corp. | 109,802 | ||||||
|
| |||||||
3,371,249 | ||||||||
|
| |||||||
Food & Staples Retailing – 0.4% | ||||||||
312 | Aeon Co. Ltd. | 10,236 | ||||||
140 | Ain Holdings, Inc. | 8,649 | ||||||
10,606 | Carrefour SA | 181,622 | ||||||
92 | Cosmos Pharmaceutical Corp. | 14,856 | ||||||
20,179 | Costco Wholesale Corp. | 7,603,044 | ||||||
318 | Etablissements Franz Colruyt NV | 18,830 | ||||||
|
|
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, 2020
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Food & Staples Retailing – (continued) | ||||||||
54,386 | J Sainsbury plc | $ | 167,167 | |||||
6,334 | Jeronimo Martins SGPS SA | 106,473 | ||||||
3,899 | Kesko OYJ Class B | 100,074 | ||||||
374 | Kobe Bussan Co. Ltd. | 11,491 | ||||||
7,861 | Koninklijke Ahold Delhaize NV | 221,769 | ||||||
141,614 | Kroger Co. (The) | 4,497,661 | ||||||
531 | Lawson, Inc. | 24,711 | ||||||
1,572 | Seven & i Holdings Co. Ltd. | 55,665 | ||||||
573 | Sysco Corp. | 42,551 | ||||||
1,049 | Tesco plc | 3,310 | ||||||
12,921 | Walgreens Boots Alliance, Inc. | 515,289 | ||||||
6,114 | Walmart, Inc. | 881,333 | ||||||
7,205 | Wm Morrison Supermarkets plc | 17,434 | ||||||
185 | Yaoko Co. Ltd. | 12,884 | ||||||
|
| |||||||
14,495,049 | ||||||||
|
| |||||||
Food, Beverage & Tobacco – 1.2% | ||||||||
482 | Ajinomoto Co., Inc. | 10,922 | ||||||
898 | Asahi Group Holdings Ltd. | 36,982 | ||||||
4,134 | Associated British Foods plc* | 127,636 | ||||||
9,324 | British American Tobacco plc | 346,264 | ||||||
86,443 | Bunge Ltd. | 5,668,932 | ||||||
23,948 | C&C Group plc* | 74,554 | ||||||
5,088 | Campbell Soup Co. | 246,005 | ||||||
64 | Coca-Cola Bottlers Japan Holdings, Inc. | 1,000 | ||||||
134,733 | Coca-Cola Co. (The) | 7,388,758 | ||||||
10,649 | Conagra Brands, Inc. | 386,133 | ||||||
1,030 | Constellation Brands, Inc. Class A | 225,621 | ||||||
22 | Cranswick plc | 1,057 | ||||||
3,081 | Danone SA | 202,749 | ||||||
92 | Davide Campari-Milano NV | 1,055 | ||||||
121 | Diageo plc | 4,788 | ||||||
275 | Ezaki Glico Co. Ltd. | 12,092 | ||||||
531 | Fuji Oil Holdings, Inc. | 15,188 | ||||||
6,116 | General Mills, Inc. | 359,621 | ||||||
7,139 | Glanbia plc | 90,528 | ||||||
9,344 | Greencore Group plc | 14,896 | ||||||
12 | Heineken Holding NV | 1,130 | ||||||
19 | Heineken NV | 2,117 | ||||||
439 | Hershey Co. (The) | 66,873 | ||||||
97 | Hilton Food Group plc | 1,481 | ||||||
417 | Hormel Foods Corp. | 19,436 | ||||||
3,363 | Imperial Brands plc | 70,537 | ||||||
107 | Ito En Ltd. | 6,775 | ||||||
3,029 | J M Smucker Co. (The) | 350,152 | ||||||
1,787 | Japan Tobacco, Inc. | 36,432 | ||||||
636 | JDE Peet’s NV* | 28,849 | ||||||
145 | Kagome Co. Ltd. | 5,117 | ||||||
2,094 | Kellogg Co. | 130,310 | ||||||
25 | Kerry Group plc Class A | 3,631 | ||||||
532 | Kewpie Corp. | 11,713 | ||||||
13,205 | Kraft Heinz Co. (The) | 457,685 | ||||||
1,174 | Maruha Nichiro Corp. | 25,278 | ||||||
386 | McCormick & Co., Inc. (Non-Voting) | 36,902 | ||||||
235 | MEIJI Holdings Co. Ltd. | 16,539 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Food, Beverage & Tobacco – (continued) | ||||||||
12,245 | Molson Coors Beverage Co. Class B | 553,352 | ||||||
88,076 | Mondelez International, Inc. Class A | 5,149,804 | ||||||
44,929 | Monster Beverage Corp.* | 4,155,034 | ||||||
284 | NH Foods Ltd. | 12,509 | ||||||
397 | Nichirei Corp. | 11,156 | ||||||
6,383 | Nippon Suisan Kaisha Ltd. | 26,384 | ||||||
1,132 | Nisshin Seifun Group, Inc. | 18,032 | ||||||
46,425 | PepsiCo, Inc. | 6,884,827 | ||||||
14 | Pernod Ricard SA | 2,689 | ||||||
73,931 | Philip Morris International, Inc. | 6,120,747 | ||||||
41,448 | Premier Foods plc* | 56,793 | ||||||
1,173 | Sapporo Holdings Ltd. | 23,838 | ||||||
534 | Suntory Beverage & Food Ltd. | 18,914 | ||||||
5,223 | Tate & Lyle plc | 48,126 | ||||||
182 | Toyo Suisan Kaisha Ltd. | 8,857 | ||||||
8,759 | Tyson Foods, Inc. Class A | 564,430 | ||||||
44 | Viscofan SA | 3,120 | ||||||
987 | Yamazaki Baking Co. Ltd. | 16,484 | ||||||
|
| |||||||
40,160,834 | ||||||||
|
| |||||||
Health Care Equipment & Services – 1.9% | ||||||||
126 | Abbott Laboratories | 13,796 | ||||||
726 | ABIOMED, Inc.* | 235,369 | ||||||
1,572 | Alfresa Holdings Corp. | 28,814 | ||||||
2,893 | AmerisourceBergen Corp. | 282,820 | ||||||
345 | Amplifon SpA* | 14,340 | ||||||
2,586 | Anthem, Inc. | 830,339 | ||||||
68 | As One Corp. | 11,631 | ||||||
213 | Baxter International, Inc. | 17,091 | ||||||
83 | Becton Dickinson and Co. | 20,768 | ||||||
231 | BioMerieux | 32,512 | ||||||
113,189 | Boston Scientific Corp.* | 4,069,145 | ||||||
9,480 | Cardinal Health, Inc. | 507,749 | ||||||
70 | Carl Zeiss Meditec AG | 9,283 | ||||||
6,786 | Centene Corp.* | 407,364 | ||||||
2,345 | Cerner Corp. | 184,036 | ||||||
7,601 | Chemed Corp. | 4,048,369 | ||||||
4,056 | Cigna Corp. | 844,378 | ||||||
40,976 | ConvaTec Group plc | 111,621 | ||||||
70 | Cooper Cos., Inc. (The) | 25,432 | ||||||
13,301 | CVS Health Corp. | 908,458 | ||||||
28,921 | Danaher Corp. | 6,424,511 | ||||||
3,325 | DaVita, Inc.* | 390,355 | ||||||
5,218 | Dentsply Sirona, Inc. | 273,214 | ||||||
631 | DexCom, Inc.* | 233,293 | ||||||
138 | DiaSorin SpA | 28,813 | ||||||
735 | Edwards Lifesciences Corp.* | 67,054 | ||||||
2,345 | Fresenius Medical Care AG & Co. KGaA | 195,543 | ||||||
5,298 | Fresenius SE & Co. KGaA | 244,989 | ||||||
531 | H.U. Group Holdings, Inc. | 14,309 | ||||||
27,564 | HCA Healthcare, Inc. | 4,533,175 | ||||||
7,791 | Henry Schein, Inc.* | 520,906 | ||||||
81,116 | Hologic, Inc.* | 5,907,678 | ||||||
119 | Hoya Corp. | 16,481 | ||||||
12,476 | Humana, Inc. | 5,118,529 | ||||||
|
|
26 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Health Care Equipment & Services – (continued) | ||||||||
7,817 | IDEXX Laboratories, Inc.* | $ | 3,907,484 | |||||
11,966 | Insulet Corp.* | 3,058,869 | ||||||
44 | Koninklijke Philips NV* | 2,370 | ||||||
2,611 | Laboratory Corp. of America Holdings* | 531,469 | ||||||
206 | M3, Inc. | 19,460 | ||||||
3,712 | McKesson Corp. | 645,591 | ||||||
16,850 | Mediclinic International plc* | 65,100 | ||||||
1,870 | Medipal Holdings Corp. | 35,166 | ||||||
56,852 | Medtronic plc | 6,659,643 | ||||||
105 | Menicon Co. Ltd. | 6,369 | ||||||
66 | Nihon Kohden Corp. | 2,458 | ||||||
740 | Olympus Corp. | 16,201 | ||||||
3,556 | Quest Diagnostics, Inc. | 423,769 | ||||||
10 | ResMed, Inc. | 2,126 | ||||||
84 | Ship Healthcare Holdings, Inc. | 4,678 | ||||||
898 | Suzuken Co. Ltd. | 32,484 | ||||||
89 | Sysmex Corp. | 10,709 | ||||||
1,695 | Toho Holdings Co. Ltd. | 29,798 | ||||||
15,248 | UDG Healthcare plc | 162,756 | ||||||
34,473 | UnitedHealth Group, Inc. | 12,088,992 | ||||||
4,630 | Universal Health Services, Inc. Class B | 636,625 | ||||||
848 | West Pharmaceutical Services, Inc. | 240,247 | ||||||
|
| |||||||
65,154,529 | ||||||||
|
| |||||||
Household & Personal Products – 0.4% | ||||||||
142 | Beiersdorf AG | 16,324 | ||||||
1,846 | Church & Dwight Co., Inc. | 161,027 | ||||||
955 | Clorox Co. (The) | 192,834 | ||||||
271 | Colgate-Palmolive Co. | 23,173 | ||||||
17,674 | Estee Lauder Cos., Inc. (The) Class A | 4,704,642 | ||||||
137 | Kimberly-Clark Corp. | 18,472 | ||||||
68 | Lion Corp. | 1,647 | ||||||
60 | L’Oreal SA | 22,893 | ||||||
102 | Pola Orbis Holdings, Inc. | 2,071 | ||||||
62,206 | Procter & Gamble Co. (The) | 8,655,343 | ||||||
2,365 | PZ Cussons plc | 7,436 | ||||||
647 | Reckitt Benckiser Group plc | 57,748 | ||||||
340 | Unicharm Corp. | 16,125 | ||||||
4,058 | Unilever plc | 245,455 | ||||||
|
| |||||||
14,125,190 | ||||||||
|
| |||||||
Insurance – 0.5% | ||||||||
535 | Admiral Group plc | 21,155 | ||||||
51,786 | Aegon NV | 206,568 | ||||||
10,364 | Aflac, Inc. | 460,887 | ||||||
2,773 | Ageas SA/NV | 147,266 | ||||||
1,066 | Allianz SE (Registered) | 261,887 | ||||||
5,550 | Allstate Corp. (The) | 610,111 | ||||||
32,407 | Aon plc Class A | 6,846,627 | ||||||
413 | Arthur J Gallagher & Co. | 51,092 | ||||||
2,207 | ASR Nederland NV | 88,304 | ||||||
3,758 | Assicurazioni Generali SpA | 65,797 | ||||||
725 | Assurant, Inc. | 98,759 | ||||||
31,313 | Aviva plc | 139,281 | ||||||
43 | Chubb Ltd. | 6,619 | ||||||
11,000 | CNP Assurances* | 178,717 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Insurance – (continued) | ||||||||
13,679 | Direct Line Insurance Group plc | 59,828 | ||||||
1,497 | Everest Re Group Ltd. | 350,433 | ||||||
1,340 | Globe Life, Inc. | 127,246 | ||||||
44 | Hannover Rueck SE | 7,012 | ||||||
9,999 | Hartford Financial Services Group, Inc. (The) | 489,751 | ||||||
5,392 | Japan Post Holdings Co. Ltd. | 41,999 | ||||||
1,788 | Japan Post Insurance Co. Ltd. | 36,661 | ||||||
38,200 | Just Group plc* | 36,789 | ||||||
92 | Lancashire Holdings Ltd. | 913 | ||||||
31,322 | Legal & General Group plc | 114,150 | ||||||
10,522 | Lincoln National Corp. | 529,362 | ||||||
546 | Marsh & McLennan Cos., Inc. | 63,882 | ||||||
12,249 | MetLife, Inc. | 575,091 | ||||||
85 | MS&AD Insurance Group Holdings, Inc. | 2,586 | ||||||
4,285 | NN Group NV | 185,242 | ||||||
4,267 | Phoenix Group Holdings plc | 40,891 | ||||||
7,701 | Poste Italiane SpA | 78,772 | ||||||
8,426 | Principal Financial Group, Inc. | 418,014 | ||||||
55,560 | Progressive Corp. (The) | 5,493,773 | ||||||
951 | Prudential plc | 17,487 | ||||||
3,936 | RSA Insurance Group plc | 36,482 | ||||||
399 | Sabre Insurance Group plc | 1,517 | ||||||
271 | Sampo OYJ Class A | 11,586 | ||||||
491 | Sompo Holdings, Inc. | 19,906 | ||||||
3,086 | T&D Holdings, Inc. | 36,504 | ||||||
107 | Tokio Marine Holdings, Inc. | 5,513 | ||||||
2,529 | Travelers Cos., Inc. (The) | 354,996 | ||||||
22,757 | Unum Group | 522,046 | ||||||
|
| |||||||
18,841,502 | ||||||||
|
| |||||||
Materials – 1.2% | ||||||||
704 | ADEKA Corp. | 12,310 | ||||||
354 | Air Liquide SA | 58,037 | ||||||
15,769 | Air Products and Chemicals, Inc. | 4,308,406 | ||||||
588 | Akzo Nobel NV | 63,113 | ||||||
156 | Albemarle Corp. | 23,013 | ||||||
576 | Anglo American plc | 19,021 | ||||||
466 | Antofagasta plc | 9,143 | ||||||
7,874 | ArcelorMittal SA* | 180,078 | ||||||
752 | Arkema SA | 86,045 | ||||||
53 | Avery Dennison Corp. | 8,221 | ||||||
48,339 | Ball Corp. | 4,504,228 | ||||||
2,372 | BASF SE | 187,489 | ||||||
1,081 | BHP Group plc | 28,543 | ||||||
465 | Celanese Corp. | 60,422 | ||||||
52,795 | Centamin plc | 89,368 | ||||||
5,733 | CF Industries Holdings, Inc. | 221,924 | ||||||
322 | Corbion NV | 18,029 | ||||||
5,110 | Corteva, Inc. | 197,859 | ||||||
1,030 | Covestro AG | 63,462 | ||||||
8,158 | CRH plc | 345,699 | ||||||
250 | Croda International plc | 22,482 | ||||||
42,424 | Crown Holdings, Inc.* | 4,250,885 | ||||||
281 | Daido Steel Co. Ltd. | 11,748 | ||||||
|
|
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, 2020
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Materials – (continued) | ||||||||
611 | DIC Corp. | $ | 15,450 | |||||
4,190 | Dow, Inc. | 232,545 | ||||||
281 | Dowa Holdings Co. Ltd. | 10,186 | ||||||
12,916 | DS Smith plc | 66,023 | ||||||
77,232 | DuPont de Nemours, Inc. | 5,491,968 | ||||||
2,127 | Eastman Chemical Co. | 213,296 | ||||||
127 | Ecolab, Inc. | 27,478 | ||||||
744 | Essentra plc | 3,123 | ||||||
747 | Evonik Industries AG | 24,415 | ||||||
3,510 | Evraz plc | 22,432 | ||||||
14,632 | Ferrexpo plc | 56,394 | ||||||
121 | FP Corp. | 5,086 | ||||||
975 | Fresnillo plc | 15,059 | ||||||
65,461 | Glencore plc* | 207,891 | ||||||
1,639 | HeidelbergCement AG | 122,033 | ||||||
258 | Hill & Smith Holdings plc | 4,975 | ||||||
81 | Hitachi Metals Ltd. | 1,232 | ||||||
737 | Hochschild Mining plc | 2,100 | ||||||
695 | Huhtamaki OYJ | 36,043 | ||||||
5,125 | International Paper Co. | 254,815 | ||||||
81 | JFE Holdings, Inc. | 778 | ||||||
294 | JSR Corp. | 8,197 | ||||||
155 | Kaneka Corp. | 5,430 | ||||||
72 | Kansai Paint Co. Ltd. | 2,219 | ||||||
182 | Koninklijke DSM NV | 31,299 | ||||||
72 | Kuraray Co. Ltd. | 767 | ||||||
910 | LANXESS AG | 69,206 | ||||||
26,100 | Linde plc | 6,877,645 | ||||||
214 | Lintec Corp. | 4,732 | ||||||
138 | LyondellBasell Industries NV Class A | 12,649 | ||||||
309 | Marshalls plc* | 3,161 | ||||||
248 | Maruichi Steel Tube Ltd. | 5,494 | ||||||
3,488 | Mitsubishi Chemical Holdings Corp. | 21,132 | ||||||
831 | Mitsubishi Gas Chemical Co., Inc. | 19,109 | ||||||
358 | Mitsui Chemicals, Inc. | 10,516 | ||||||
2,877 | Mondi plc | 67,413 | ||||||
11,944 | Mosaic Co. (The) | 274,831 | ||||||
113,457 | Newmont Corp. | 6,794,940 | ||||||
296 | Nippon Kayaku Co. Ltd. | 2,748 | ||||||
805 | Nippon Light Metal Holdings Co. Ltd. | 14,943 | ||||||
593 | Nippon Paper Industries Co. Ltd. | 6,867 | ||||||
323 | Nippon Sanso Holdings Corp. | 6,008 | ||||||
82 | Nitto Denko Corp. | 7,346 | ||||||
3,691 | Nucor Corp. | 196,324 | ||||||
3,252 | Oji Holdings Corp. | 18,514 | ||||||
581 | Packaging Corp. of America | 80,126 | ||||||
47,252 | Petropavlovsk plc* | 20,960 | ||||||
609 | Polymetal International plc | 14,019 | ||||||
182 | PPG Industries, Inc. | 26,248 | ||||||
1,745 | Rengo Co. Ltd. | 14,626 | ||||||
480 | RHI Magnesita NV | 23,004 | ||||||
791 | Rio Tinto plc | 59,541 | ||||||
1,316 | Sealed Air Corp. | 60,260 | ||||||
8,152 | Sherwin-Williams Co. (The) | 5,990,986 | ||||||
73 | Shin-Etsu Chemical Co. Ltd. | 12,813 | ||||||
4,170 | Smurfit Kappa Group plc | 194,774 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Materials – (continued) | ||||||||
518 | Solvay SA | 61,090 | ||||||
4,730 | Stora Enso OYJ Class R | 90,569 | ||||||
246 | Sumitomo Bakelite Co. Ltd. | 8,484 | ||||||
5,110 | Sumitomo Chemical Co. Ltd. | 20,597 | ||||||
305 | Sumitomo Metal Mining Co. Ltd. | 13,567 | ||||||
156 | Sumitomo Osaka Cement Co. Ltd. | 4,565 | ||||||
236 | Symrise AG | 31,375 | ||||||
7,767 | Synthomer plc | 47,654 | ||||||
519 | Taiheiyo Cement Corp. | 13,000 | ||||||
333 | Teijin Ltd. | 6,266 | ||||||
833 | Tokai Carbon Co. Ltd. | 10,429 | ||||||
495 | Tokuyama Corp. | 11,144 | ||||||
120 | Tokyo Ohka Kogyo Co. Ltd. | 8,430 | ||||||
3,427 | Toray Industries, Inc. | 20,327 | ||||||
284 | Toyo Seikan Group Holdings Ltd. | 3,110 | ||||||
610 | Toyobo Co. Ltd. | 8,165 | ||||||
479 | Ube Industries Ltd. | 8,705 | ||||||
14 | Umicore SA | 673 | ||||||
143 | UPM-Kymmene OYJ | 5,333 | ||||||
3,139 | voestalpine AG | 112,033 | ||||||
6,209 | Westrock Co. | 270,278 | ||||||
1,887 | Wienerberger AG | 60,121 | ||||||
327 | Yamato Kogyo Co. Ltd. | 8,746 | ||||||
|
| |||||||
43,366,355 | ||||||||
|
| |||||||
Media & Entertainment – 2.7% | ||||||||
68,926 | Activision Blizzard, Inc. | 6,399,779 | ||||||
10,879 | Alphabet, Inc. Class A* | 19,066,971 | ||||||
1,187 | Auto Trader Group plc | 9,662 | ||||||
19,200 | Bollore SA | 79,491 | ||||||
383 | Capcom Co. Ltd. | 24,839 | ||||||
830 | Charter Communications, Inc. Class A* | 549,087 | ||||||
215,207 | Comcast Corp. Class A | 11,276,847 | ||||||
55 | CTS Eventim AG & Co. KGaA* | 3,676 | ||||||
153 | CyberAgent, Inc. | 10,555 | ||||||
751 | DeNA Co. Ltd. | 13,369 | ||||||
1,909 | Dentsu Group, Inc. | 56,815 | ||||||
21,027 | Discovery, Inc. Class A* | 632,702 | ||||||
23,814 | Discovery, Inc. Class C* | 623,689 | ||||||
2,724 | Electronic Arts, Inc. | 391,166 | ||||||
74,169 | Facebook, Inc. Class A* | 20,260,004 | ||||||
15,636 | Fox Corp. Class A | 455,320 | ||||||
15,299 | Fox Corp. Class B | 441,835 | ||||||
877 | Fuji Media Holdings, Inc. | 9,360 | ||||||
130 | Future plc | 3,082 | ||||||
1,813 | Hakuhodo DY Holdings, Inc. | 24,912 | ||||||
16,635 | Interpublic Group of Cos., Inc. (The) | 391,255 | ||||||
206 | Kakaku.com, Inc. | 5,639 | ||||||
211 | Koei Tecmo Holdings Co. Ltd. | 12,881 | ||||||
33,850 | Liberty Broadband Corp. Class C* | 5,360,825 | ||||||
390 | Live Nation Entertainment, Inc.* | 28,657 | ||||||
23,286 | Netflix, Inc.* | 12,591,439 | ||||||
19,054 | News Corp. Class A | 342,400 | ||||||
7,727 | News Corp. Class B | 137,309 | ||||||
1,074 | Nexon Co. Ltd. | 33,138 | ||||||
|
|
28 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Media & Entertainment – (continued) | ||||||||
51 | Nintendo Co. Ltd. | $ | 32,739 | |||||
5,324 | Nippon Television Holdings, Inc. | 58,042 | ||||||
4,463 | Omnicom Group, Inc. | 278,357 | ||||||
467 | Pearson plc | 4,286 | ||||||
1,599 | ProSiebenSat.1 Media SE* | 26,921 | ||||||
1,566 | Publicis Groupe SA | 77,832 | ||||||
1,551 | Rightmove plc | 13,780 | ||||||
377 | Scout24 AG | 30,806 | ||||||
68 | Square Enix Holdings Co. Ltd. | 4,123 | ||||||
1,652 | Take-Two Interactive Software, Inc.* | 343,269 | ||||||
1,634 | TBS Holdings, Inc. | 28,738 | ||||||
2,743 | TV Asahi Holdings Corp. | 45,033 | ||||||
359 | Ubisoft Entertainment SA* | 34,596 | ||||||
16,877 | ViacomCBS, Inc. | 628,837 | ||||||
63,204 | Walt Disney Co. (The)* | 11,451,301 | ||||||
256 | WPP plc | 2,774 | ||||||
|
| |||||||
92,298,138 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences – 1.6% | ||||||||
5,285 | AbbVie, Inc. | 566,288 | ||||||
1,048 | Agilent Technologies, Inc. | 124,178 | ||||||
2,826 | Alexion Pharmaceuticals, Inc.* | 441,534 | ||||||
93 | Amgen, Inc. | 21,383 | ||||||
90 | Argenx SE* | 26,521 | ||||||
2,206 | Astellas Pharma, Inc. | 34,157 | ||||||
624 | AstraZeneca plc | 62,221 | ||||||
3,641 | Bayer AG (Registered) | 214,496 | ||||||
2,125 | Biogen, Inc.* | 520,327 | ||||||
267 | Bio-Rad Laboratories, Inc. Class A* | 155,645 | ||||||
10,805 | Bristol-Myers Squibb Co. | 670,234 | ||||||
2,239 | Catalent, Inc.* | 233,013 | ||||||
426 | Chugai Pharmaceutical Co. Ltd. | 22,729 | ||||||
483 | Daiichi Sankyo Co. Ltd. | 16,553 | ||||||
290 | Dechra Pharmaceuticals plc | 13,658 | ||||||
366 | Eli Lilly and Co. | 61,795 | ||||||
182 | Eurofins Scientific SE* | 15,259 | ||||||
132 | Evotec SE* | 4,878 | ||||||
27,998 | Exact Sciences Corp.* | 3,709,455 | ||||||
181 | Genus plc | 10,357 | ||||||
87 | Gerresheimer AG | 9,382 | ||||||
6,253 | Gilead Sciences, Inc. | 364,300 | ||||||
17,473 | GlaxoSmithKline plc | 319,720 | ||||||
101 | Grifols SA | 2,949 | ||||||
2,252 | Hikma Pharmaceuticals plc | 77,403 | ||||||
158 | Illumina, Inc.* | 58,460 | ||||||
6,258 | Indivior plc* | 9,311 | ||||||
534 | Ipsen SA | 44,155 | ||||||
29,576 | IQVIA Holdings, Inc.* | 5,299,132 | ||||||
118 | JCR Pharmaceuticals Co. Ltd. | 2,791 | ||||||
75,846 | Johnson & Johnson | 11,936,643 | ||||||
539 | Kaken Pharmaceutical Co. Ltd. | 20,829 | ||||||
249 | Kyowa Kirin Co. Ltd. | 6,800 | ||||||
97,505 | Merck & Co., Inc. | 7,975,909 | ||||||
185 | Merck KGaA | 31,730 | ||||||
4,006 | Mettler-Toledo International, Inc.* | 4,565,558 | ||||||
153 | Mochida Pharmaceutical Co. Ltd. | 5,821 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences – (continued) | ||||||||
73 | MorphoSys AG* | 8,535 | ||||||
424 | Ono Pharmaceutical Co. Ltd. | 12,777 | ||||||
144 | Orion OYJ Class B | 6,615 | ||||||
901 | Otsuka Holdings Co. Ltd. | 38,605 | ||||||
1,454 | PerkinElmer, Inc. | 208,649 | ||||||
10,746 | Perrigo Co. plc | 480,561 | ||||||
232,019 | Pfizer, Inc. | 8,540,619 | ||||||
107 | PureTech Health plc* | 588 | ||||||
490 | QIAGEN NV* | 25,411 | ||||||
236 | Recordati Industria Chimica e Farmaceutica SpA | 13,124 | ||||||
404 | Regeneron Pharmaceuticals, Inc.* | 195,176 | ||||||
2,848 | Sanofi | 276,037 | ||||||
379 | Santen Pharmaceutical Co. Ltd. | 6,155 | ||||||
92 | Sartorius Stedim Biotech | 32,728 | ||||||
609 | Sawai Pharmaceutical Co. Ltd. | 27,639 | ||||||
504 | Shionogi & Co. Ltd. | 27,554 | ||||||
1,774 | Sumitomo Dainippon Pharma Co. Ltd. | 26,219 | ||||||
376 | Taisho Pharmaceutical Holdings Co. Ltd. | 25,354 | ||||||
2,243 | Takeda Pharmaceutical Co. Ltd. | 81,173 | ||||||
18,502 | Thermo Fisher Scientific, Inc. | 8,617,862 | ||||||
580 | Tsumura & Co. | 17,444 | ||||||
58 | UCB SA | 5,991 | ||||||
1,173 | Vectura Group plc* | 1,999 | ||||||
161 | Vertex Pharmaceuticals, Inc.* | 38,051 | ||||||
275 | Waters Corp.* | 68,040 | ||||||
795 | Zoetis, Inc. | 131,573 | ||||||
|
| |||||||
56,570,053 | ||||||||
|
| |||||||
Real Estate – 0.5% | ||||||||
15 | Aedifica SA (REIT) | 1,802 | ||||||
15 | Alexandria Real Estate Equities, Inc. (REIT) | 2,673 | ||||||
103 | alstria office REIT-AG (REIT) | 1,874 | ||||||
204 | American Tower Corp. (REIT) | 45,790 | ||||||
6,773 | Assura plc (REIT) | 7,128 | ||||||
97 | Big Yellow Group plc (REIT) | 1,453 | ||||||
2,420 | CBRE Group, Inc. Class A* | 151,782 | ||||||
3,550 | Civitas Social Housing plc (REIT) | 5,072 | ||||||
61 | CLS Holdings plc | 186 | ||||||
10 | Cofinimmo SA (REIT) | 1,488 | ||||||
31,890 | Crown Castle International Corp. (REIT) | 5,076,569 | ||||||
68 | Deutsche Wohnen SE | 3,628 | ||||||
102 | Digital Realty Trust, Inc. (REIT) | 14,230 | ||||||
134 | Duke Realty Corp. (REIT) | 5,356 | ||||||
7,929 | Equinix, Inc. (REIT) | 5,662,733 | ||||||
16 | Extra Space Storage, Inc. (REIT) | 1,854 | ||||||
25 | Gecina SA (REIT) | 3,887 | ||||||
983 | Grainger plc | 3,824 | ||||||
32 | Grand City Properties SA | 827 | ||||||
1,157 | Host Hotels & Resorts, Inc. (REIT) | 16,927 | ||||||
319 | Hulic Co. Ltd. | 3,509 | ||||||
323 | Inmobiliaria Colonial SOCIMI SA (REIT) | 3,189 | ||||||
|
|
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, 2020
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Real Estate – (continued) | ||||||||
524 | Iron Mountain, Inc. (REIT) | $ | 15,448 | |||||
2,070 | IWG plc* | 9,728 | ||||||
158 | Land Securities Group plc (REIT) | 1,459 | ||||||
19 | LEG Immobilien AG | 2,948 | ||||||
1,373 | LXI REIT plc (REIT) | 2,237 | ||||||
24 | Merlin Properties Socimi SA (REIT) | 229 | ||||||
223 | Mitsubishi Estate Co. Ltd. | 3,584 | ||||||
1,102 | Primary Health Properties plc (REIT) | 2,304 | ||||||
73 | Public Storage (REIT) | 16,858 | ||||||
75 | Relo Group, Inc. | 1,818 | ||||||
645 | Safestore Holdings plc (REIT) | 6,894 | ||||||
1,793 | Savills plc | 23,396 | ||||||
184 | SBA Communications Corp. (REIT) | 51,912 | ||||||
787 | Segro plc (REIT) | 10,212 | ||||||
621 | Sirius Real Estate Ltd. | 796 | ||||||
35,131 | Sun Communities, Inc. (REIT) | 5,338,155 | ||||||
1,034 | TAG Immobilien AG* | 32,997 | ||||||
2,587 | Tritax Big Box REIT plc (REIT) | 5,944 | ||||||
534 | Vonovia SE | 39,000 | ||||||
100 | Warehouses De Pauw CVA CVA (REIT) | 3,467 | ||||||
|
| |||||||
16,585,167 | ||||||||
|
| |||||||
Retailing – 1.8% | ||||||||
1,879 | Advance Auto Parts, Inc. | 295,961 | ||||||
7,072 | Amazon.com, Inc.* | 23,033,009 | ||||||
2,778 | AO World plc* | 15,668 | ||||||
703 | Autobacs Seven Co. Ltd. | 9,742 | ||||||
172 | AutoZone, Inc.* | 203,896 | ||||||
6,288 | B&M European Value Retail SA | 44,266 | ||||||
3,810 | Best Buy Co., Inc. | 380,200 | ||||||
3,059 | Booking Holdings, Inc.* | 6,813,219 | ||||||
2,334 | CarMax, Inc.* | 220,470 | ||||||
256 | Delivery Hero SE* | 40,036 | ||||||
19,386 | Dixons Carphone plc* | 30,739 | ||||||
2,084 | Dollar General Corp. | 438,265 | ||||||
3,528 | Dollar Tree, Inc.* | 381,165 | ||||||
927 | Dunelm Group plc | 15,348 | ||||||
111,456 | eBay, Inc. | 5,600,664 | ||||||
1,746 | Etsy, Inc.* | 310,631 | ||||||
1,387 | Frasers Group plc* | 8,541 | ||||||
2,115 | Gap, Inc. (The) | 42,702 | ||||||
2,623 | Genuine Parts Co. | 263,428 | ||||||
2,330 | HelloFresh SE* | 180,231 | ||||||
39,221 | Home Depot, Inc. (The) | 10,417,882 | ||||||
3,036 | Inchcape plc | 26,727 | ||||||
214 | Industria de Diseno Textil SA | 6,792 | ||||||
3,218 | J Front Retailing Co. Ltd. | 25,522 | ||||||
2,537 | JD Sports Fashion plc* | 29,805 | ||||||
150 | Just Eat Takeaway.com NV* | 16,913 | ||||||
13,973 | Kingfisher plc* | 51,632 | ||||||
3,227 | K’s Holdings Corp. | 44,964 | ||||||
5,015 | L Brands, Inc. | 186,508 | ||||||
9,047 | LKQ Corp.* | 318,816 | ||||||
44,678 | Lowe’s Cos., Inc. | 7,171,266 | ||||||
17,446 | Marks & Spencer Group plc* | 32,360 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Retailing – (continued) | ||||||||
361 | Moneysupermarket.com Group plc | 1,289 | ||||||
299 | Next plc* | 28,832 | ||||||
60 | Nitori Holdings Co. Ltd. | 12,546 | ||||||
748 | Ocado Group plc* | 23,390 | ||||||
431 | O’Reilly Automotive, Inc.* | 195,058 | ||||||
310 | PALTAC Corp. | 16,874 | ||||||
251 | Pan Pacific International Holdings Corp. | 5,799 | ||||||
4,928 | Pets at Home Group plc | 28,036 | ||||||
708 | Pool Corp. | 263,730 | ||||||
230 | Prosus NV* | 24,835 | ||||||
3,533 | Rakuten, Inc. | 33,998 | ||||||
67 | Sanrio Co. Ltd. | 917 | ||||||
104 | Shimamura Co. Ltd. | 10,928 | ||||||
375 | Takashimaya Co. Ltd. | 3,227 | ||||||
3,302 | Target Corp. | 582,902 | ||||||
82,821 | TJX Cos., Inc. (The) | 5,655,846 | ||||||
3,268 | Tractor Supply Co. | 459,415 | ||||||
434 | Ulta Beauty, Inc.* | 124,627 | ||||||
11,791 | Vivo Energy plc | 13,706 | ||||||
1,029 | Watches of Switzerland Group plc* | 8,147 | ||||||
84 | WH Smith plc | 1,732 | ||||||
9,980 | Yamada Holdings Co. Ltd. | 53,024 | ||||||
519 | Zalando SE* | 57,729 | ||||||
142 | ZOZO, Inc. | 3,498 | ||||||
|
| |||||||
64,267,453 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 0.5% | ||||||||
2,528 | Advanced Micro Devices, Inc.* | 231,843 | ||||||
7,205 | Applied Materials, Inc. | 621,791 | ||||||
423 | ASM International NV | 92,308 | ||||||
175 | ASML Holding NV | 84,731 | ||||||
255 | BE Semiconductor Industries NV | 15,313 | ||||||
2,108 | Broadcom, Inc. | 922,988 | ||||||
1,774 | Dialog Semiconductor plc* | 96,671 | ||||||
1,138 | Infineon Technologies AG | 43,459 | ||||||
24,771 | Intel Corp. | 1,234,091 | ||||||
102 | Lasertec Corp. | 11,972 | ||||||
2,386 | Microchip Technology, Inc. | 329,530 | ||||||
4,335 | Micron Technology, Inc.* | 325,905 | ||||||
743 | NVIDIA Corp. | 387,995 | ||||||
3,228 | Qorvo, Inc.* | 536,720 | ||||||
860 | QUALCOMM, Inc. | 131,012 | ||||||
2,750 | Renesas Electronics Corp.* | 28,784 | ||||||
366 | SCREEN Holdings Co. Ltd. | 26,990 | ||||||
29,946 | Skyworks Solutions, Inc. | 4,578,144 | ||||||
58 | SOITEC* | 11,248 | ||||||
20,500 | STMicroelectronics NV | 764,800 | ||||||
436 | SUMCO Corp. | 9,574 | ||||||
1,640 | Teradyne, Inc. | 196,620 | ||||||
40,772 | Texas Instruments, Inc. | 6,691,908 | ||||||
543 | Ulvac, Inc. | 23,280 | ||||||
|
| |||||||
17,397,677 | ||||||||
|
|
30 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Software & Services – 3.0% | ||||||||
3,271 | Accenture plc Class A | $ | 854,418 | |||||
667 | Adobe, Inc.* | 333,580 | ||||||
32 | Adyen NV* | 74,353 | ||||||
2,352 | Akamai Technologies, Inc.* | 246,936 | ||||||
536 | Alten SA* | 60,778 | ||||||
12,061 | ANSYS, Inc.* | 4,387,792 | ||||||
2,030 | Atos SE* | 185,371 | ||||||
685 | Autodesk, Inc.* | 209,158 | ||||||
324 | Avast plc | 2,379 | ||||||
91 | AVEVA Group plc | 3,973 | ||||||
496 | Bechtle AG | 108,099 | ||||||
10 | Broadridge Financial Solutions, Inc. | 1,532 | ||||||
1,876 | Cadence Design Systems, Inc.* | 255,943 | ||||||
1,671 | CANCOM SE | 93,543 | ||||||
1,126 | Capgemini SE | 175,152 | ||||||
18,981 | Capita plc* | 10,170 | ||||||
77,957 | CDK Global, Inc. | 4,040,511 | ||||||
2,138 | Citrix Systems, Inc. | 278,154 | ||||||
9,121 | Cognizant Technology Solutions Corp. Class A | 747,466 | ||||||
798 | Computacenter plc | 26,723 | ||||||
22,447 | Concentrix Corp.* | 2,215,519 | ||||||
49 | Dassault Systemes SE | 9,938 | ||||||
27,715 | DXC Technology Co. | 713,661 | ||||||
349 | FDM Group Holdings plc | 5,395 | ||||||
45,228 | Fidelity National Information Services, Inc. | 6,397,953 | ||||||
16,600 | Finablr plc*(a) | — | ||||||
50,589 | Fiserv, Inc.* | 5,760,064 | ||||||
1,719 | FleetCor Technologies, Inc.* | 468,995 | ||||||
1,319 | Fortinet, Inc.* | 195,911 | ||||||
463 | Fujitsu Ltd. | 66,920 | ||||||
2,787 | Gartner, Inc.* | 446,450 | ||||||
1,142 | Global Payments, Inc. | 246,010 | ||||||
568 | GMO internet, Inc. | 16,310 | ||||||
81 | GMO Payment Gateway, Inc. | 10,885 | ||||||
111 | Infomart Corp. | 1,060 | ||||||
7,163 | International Business Machines Corp. | 901,678 | ||||||
275 | Intuit, Inc. | 104,459 | ||||||
200 | Itochu Techno-Solutions Corp. | 7,142 | ||||||
627 | Jack Henry & Associates, Inc. | 101,568 | ||||||
552 | Kainos Group plc | 9,194 | ||||||
6,011 | Leidos Holdings, Inc. | 631,876 | ||||||
34,747 | Mastercard, Inc. Class A | 12,402,594 | ||||||
2,793 | Micro Focus International plc | 16,070 | ||||||
103,627 | Microsoft Corp. | 23,048,717 | ||||||
854 | NEC Corp. | 45,868 | ||||||
197 | Nemetschek SE | 14,641 | ||||||
277 | NET One Systems Co. Ltd. | 9,774 | ||||||
1,178 | Network International Holdings plc* | 5,308 | ||||||
2,743 | Nexi SpA* | 54,583 | ||||||
406 | Nihon Unisys Ltd. | 15,914 | ||||||
214 | Nomura Research Institute Ltd. | 7,656 | ||||||
10,108 | NortonLifeLock, Inc. | 210,044 | ||||||
1,885 | NTT Data Corp. | 25,802 | ||||||
151,327 | Oracle Corp. | 9,789,344 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Software & Services – (continued) | ||||||||
65 | Paycom Software, Inc.* | 29,396 | ||||||
1,618 | PayPal Holdings, Inc.* | 378,936 | ||||||
29,308 | PTC, Inc.* | 3,505,530 | ||||||
2,165 | Sage Group plc (The) | 17,191 | ||||||
665 | salesforce.com, Inc.* | 147,982 | ||||||
2,997 | SAP SE | 388,168 | ||||||
62 | SCSK Corp. | 3,545 | ||||||
481 | ServiceNow, Inc.* | 264,757 | ||||||
32 | Softcat plc | 602 | ||||||
1,095 | Sopra Steria Group* | 176,506 | ||||||
18,225 | Synopsys, Inc.* | 4,724,649 | ||||||
661 | TeamViewer AG* | 35,507 | ||||||
382 | TIS, Inc. | 7,831 | ||||||
15,979 | Twilio, Inc. Class A* | 5,408,891 | ||||||
145 | Tyler Technologies, Inc.* | 63,295 | ||||||
776 | VeriSign, Inc.* | 167,926 | ||||||
63,953 | Visa, Inc. Class A | 13,988,440 | ||||||
21,008 | Western Union Co. (The) | 460,916 | ||||||
253 | Worldline SA* | 24,578 | ||||||
|
| |||||||
105,847,980 | ||||||||
|
| |||||||
Technology Hardware & Equipment – 1.5% | ||||||||
2,018 | Alps Alpine Co. Ltd. | 26,627 | ||||||
532 | Amano Corp. | 12,743 | ||||||
1,610 | Amphenol Corp. Class A | 210,540 | ||||||
1,900 | Anritsu Corp. | 42,415 | ||||||
236,225 | Apple, Inc. | 31,344,695 | ||||||
779 | Arista Networks, Inc.* | 226,354 | ||||||
183 | Azbil Corp. | 10,011 | ||||||
1,762 | Brother Industries Ltd. | 36,374 | ||||||
1,031 | Canon Marketing Japan, Inc. | 23,562 | ||||||
1,625 | Canon, Inc. | 31,480 | ||||||
3,348 | CDW Corp. | 441,233 | ||||||
105,399 | Ciena Corp.* | 5,570,337 | ||||||
25,213 | Cisco Systems, Inc. | 1,128,282 | ||||||
4,468 | Corning, Inc. | 160,848 | ||||||
74,766 | Dell Technologies, Inc. Class C* | 5,479,600 | ||||||
4,119 | F5 Networks, Inc.* | 724,697 | ||||||
11,962 | FLIR Systems, Inc. | 524,294 | ||||||
832 | FUJIFILM Holdings Corp. | 43,890 | ||||||
509 | Halma plc | 17,047 | ||||||
41,853 | Hewlett Packard Enterprise Co. | 495,958 | ||||||
1,562 | Hitachi Ltd. | 61,651 | ||||||
236 | Horiba Ltd. | 13,861 | ||||||
28,200 | HP, Inc. | 693,438 | ||||||
184 | Ibiden Co. Ltd. | 8,602 | ||||||
239 | IPG Photonics Corp.* | 53,486 | ||||||
25,183 | Juniper Networks, Inc. | 566,869 | ||||||
64 | Keyence Corp. | 36,001 | ||||||
2,881 | Keysight Technologies, Inc.* | 380,551 | ||||||
4,490 | Konica Minolta, Inc. | 17,193 | ||||||
310 | Kyocera Corp. | 19,027 | ||||||
2,126 | Motorola Solutions, Inc. | 361,548 | ||||||
241 | Murata Manufacturing Co. Ltd. | 21,818 | ||||||
7,003 | NetApp, Inc. | 463,879 | ||||||
297 | Nippon Electric Glass Co. Ltd. | 6,506 | ||||||
|
|
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, 2020
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Technology Hardware & Equipment – (continued) | ||||||||
48,316 | Nokia OYJ* | $ | 186,612 | |||||
2,915 | Oki Electric Industry Co. Ltd. | 25,779 | ||||||
78 | Omron Corp. | 6,963 | ||||||
219 | Oxford Instruments plc | 5,977 | ||||||
176 | Renishaw plc | 13,879 | ||||||
5,204 | Ricoh Co. Ltd. | 34,221 | ||||||
4,850 | Seagate Technology plc | 301,476 | ||||||
2,119 | Seiko Epson Corp. | 31,489 | ||||||
444 | Spectris plc | 17,101 | ||||||
2,597 | Spirent Communications plc | 9,389 | ||||||
22,447 | SYNNEX Corp. | 1,828,084 | ||||||
81 | Taiyo Yuden Co. Ltd. | 3,803 | ||||||
2,443 | TE Connectivity Ltd. | 295,774 | ||||||
86 | Topcon Corp. | 1,070 | ||||||
6,719 | Western Digital Corp. | 372,165 | ||||||
544 | Yokogawa Electric Corp. | 10,850 | ||||||
1,307 | Zebra Technologies Corp. Class A* | 502,319 | ||||||
|
| |||||||
52,902,368 | ||||||||
|
| |||||||
Telecommunication Services – 0.6% | ||||||||
2,809 | Airtel Africa plc | 2,897 | ||||||
34,220 | AT&T, Inc. | 984,167 | ||||||
3,459 | BT Group plc* | 6,235 | ||||||
372 | Cellnex Telecom SA | 22,340 | ||||||
58,045 | CenturyLink, Inc. | 565,939 | ||||||
9,755 | Deutsche Telekom AG (Registered) | 178,054 | ||||||
99 | Elisa OYJ | 5,427 | ||||||
1,743 | Freenet AG | 36,614 | ||||||
1,115 | Helios Towers plc* | 2,328 | ||||||
83 | Iliad SA | 17,037 | ||||||
211 | Infrastrutture Wireless Italiane SpA | 2,558 | ||||||
2,651 | Koninklijke KPN NV | 8,057 | ||||||
5,777 | Nippon Telegraph & Telephone Corp. | 148,232 | ||||||
210 | Orange SA | 2,500 | ||||||
225 | Proximus SADP | 4,444 | ||||||
5,077 | SoftBank Corp. | 63,726 | ||||||
425 | SoftBank Group Corp. | 32,995 | ||||||
214,938 | Telecom Italia SpA | 99,763 | ||||||
1,682 | Telefonica Deutschland Holding AG | 4,633 | ||||||
28,800 | Telefonica SA* | 114,556 | ||||||
65,606 | T-Mobile US, Inc.* | 8,846,969 | ||||||
416 | United Internet AG (Registered) | 17,512 | ||||||
149,257 | Verizon Communications, Inc. | 8,768,849 | ||||||
187,671 | Vodafone Group plc | 308,247 | ||||||
|
| |||||||
20,244,079 | ||||||||
|
| |||||||
Transportation – 0.5% | ||||||||
2,100 | Abertis Infraestructuras SA*(a) | 16,599 | ||||||
4,533 | Atlantia SpA* | 81,857 | ||||||
1,444 | CH Robinson Worldwide, Inc. | 135,797 | ||||||
433 | Clarkson plc | 15,987 | ||||||
229 | Deutsche Lufthansa AG (Registered)* | 3,030 | ||||||
3,334 | Deutsche Post AG (Registered) | 165,152 | ||||||
208 | easyJet plc | 2,361 | ||||||
1,885 | Expeditors International of Washington, Inc. | 179,282 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Transportation – (continued) | ||||||||
803 | FedEx Corp. | 208,475 | ||||||
46,619 | Firstgroup plc* | 47,403 | ||||||
227 | James Fisher & Sons plc | 2,945 | ||||||
193 | Japan Airlines Co. Ltd. | 3,722 | ||||||
1,117 | Kamigumi Co. Ltd. | 20,406 | ||||||
88 | Nikkon Holdings Co. Ltd. | 1,765 | ||||||
536 | Nippon Yusen KK | 12,505 | ||||||
18,165 | Norfolk Southern Corp. | 4,316,186 | ||||||
722 | Old Dominion Freight Line, Inc. | 140,920 | ||||||
11,751 | Royal Mail plc* | 54,160 | ||||||
580 | Sankyu, Inc. | 21,932 | ||||||
406 | Seino Holdings Co. Ltd. | 5,729 | ||||||
511 | SG Holdings Co. Ltd. | 13,933 | ||||||
83,774 | Southwest Airlines Co. | 3,904,706 | ||||||
33,756 | Union Pacific Corp. | 7,028,674 | ||||||
388 | United Parcel Service, Inc. Class B | 65,339 | ||||||
1,202 | Yamato Holdings Co. Ltd. | 30,690 | ||||||
|
| |||||||
16,479,555 | ||||||||
|
| |||||||
Utilities – 0.5% | ||||||||
65,799 | A2A SpA | 105,467 | ||||||
21 | Acciona SA | 3,005 | ||||||
159,625 | AES Corp. (The) | 3,751,188 | ||||||
229 | Alliant Energy Corp. | 11,800 | ||||||
219 | Ameren Corp. | 17,095 | ||||||
139 | American Electric Power Co., Inc. | 11,575 | ||||||
21,042 | American Water Works Co., Inc. | 3,229,316 | ||||||
146 | Atmos Energy Corp. | 13,933 | ||||||
6,641 | CenterPoint Energy, Inc. | 143,711 | ||||||
99,636 | Centrica plc | 63,221 | ||||||
1,020 | Chubu Electric Power Co., Inc. | 12,309 | ||||||
69 | Chugoku Electric Power Co., Inc. (The) | 810 | ||||||
522 | CMS Energy Corp. | 31,847 | ||||||
3,341 | Consolidated Edison, Inc. | 241,454 | ||||||
6,523 | ContourGlobal plc | 19,179 | ||||||
267 | Dominion Energy, Inc. | 20,078 | ||||||
13,686 | Drax Group plc | 70,259 | ||||||
1,762 | DTE Energy Co. | 213,924 | ||||||
3,263 | Duke Energy Corp. | 298,760 | ||||||
1,346 | E.ON SE | 14,905 | ||||||
1,791 | Edison International | 112,511 | ||||||
4,587 | EDP – Energias de Portugal SA | 28,790 | ||||||
1,552 | EDP Renovaveis SA | 43,229 | ||||||
753 | Electric Power Development Co. Ltd. | 10,392 | ||||||
2,053 | Electricite de France SA | 32,487 | ||||||
17 | Elia Group SA/NV | 2,029 | ||||||
2,312 | Enagas SA | 50,863 | ||||||
642 | Endesa SA | 17,609 | ||||||
6,725 | Enel SpA | 68,425 | ||||||
9,086 | Engie SA* | 139,289 | ||||||
256 | Entergy Corp. | 25,559 | ||||||
4,339 | Evergy, Inc. | 240,858 | ||||||
165 | Eversource Energy | 14,274 | ||||||
8,721 | Exelon Corp. | 368,201 | ||||||
|
|
32 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Utilities – (continued) | ||||||||
8,216 | FirstEnergy Corp. | $ | 251,492 | |||||
1,866 | Fortum OYJ | 45,083 | ||||||
13,510 | Hera SpA | 49,162 | ||||||
4,610 | Hokkaido Electric Power Co., Inc. | 16,806 | ||||||
1,871 | Hokuriku Electric Power Co. | 12,207 | ||||||
3,994 | Iberdrola SA | 57,395 | ||||||
9,116 | Italgas SpA | 58,069 | ||||||
76 | Kyushu Electric Power Co., Inc. | 656 | ||||||
352 | Naturgy Energy Group SA | 8,186 | ||||||
78,505 | NextEra Energy, Inc. | 6,056,661 | ||||||
4,197 | NiSource, Inc. | 96,279 | ||||||
9,160 | NRG Energy, Inc. | 343,958 | ||||||
203 | Pennon Group plc | 2,627 | ||||||
679 | Pinnacle West Capital Corp. | 54,286 | ||||||
2,370 | PPL Corp. | 66,834 | ||||||
2,844 | Public Service Enterprise Group, Inc. | 165,805 | ||||||
155 | Red Electrica Corp. SA | 3,182 | ||||||
1,066 | Rubis SCA | 49,279 | ||||||
3,515 | RWE AG | 148,710 | ||||||
260 | Severn Trent plc | 8,117 | ||||||
9,080 | Snam SpA | 51,280 | ||||||
489 | Southern Co. (The) | 30,039 | ||||||
6,487 | SSE plc | 132,874 | ||||||
3,125 | Suez SA | 61,935 | ||||||
304 | Telecom Plus plc | 5,953 | ||||||
371 | Terna Rete Elettrica Nazionale SpA | 2,851 | ||||||
118 | Tohoku Electric Power Co., Inc. | 974 | ||||||
490 | Tokyo Gas Co. Ltd. | 11,341 | ||||||
170 | United Utilities Group plc | 2,079 | ||||||
3,974 | Veolia Environnement SA | 97,988 | ||||||
219 | Verbund AG Class A | 18,606 | ||||||
312 | WEC Energy Group, Inc. | 28,713 | ||||||
276 | Xcel Energy, Inc. | 18,401 | ||||||
|
| |||||||
17,386,180 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $671,603,391) | $ | 831,198,478 | ||||||
|
| |||||||
Exchange-Traded Funds – 14.5% | ||||||||
278,859 | Invesco Emerging Markets Sovereign Debt ETF(b) | $ | 8,042,294 | |||||
3,239,584 | Invesco Senior Loan ETF | 72,177,932 | ||||||
5,974,527 | iShares Core MSCI Emerging Markets ETF | 370,659,655 | ||||||
488,292 | SPDR Bloomberg Barclays Convertible Securities ETF | 40,425,695 | ||||||
168,414 | SPDR Dow Jones International Real Estate ETF(b) | 5,741,233 | ||||||
54,112 | SPDR Dow Jones REIT ETF(b) | 4,691,510 | ||||||
|
| |||||||
TOTAL EXCHANGE-TRADED FUNDS | ||||||||
(Cost $440,857,300) | $ | 501,738,319 | ||||||
|
| |||||||
Shares | Dividend Rate | Value | ||||||
Investment Company(c) – 54.8% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
1,902,588,303 | 0.026% | $ | 1,902,588,303 | |||||
(Cost $1,902,588,303) | ||||||||
|
| |||||||
| TOTAL INVESTMENTS BEFORE SECURITIES-LENDING REINVESTMENT VEHICLE | | ||||||
(Cost $3,015,048,994) | $ | 3,235,525,100 | ||||||
|
| |||||||
Securities Lending Reinvestment Vehicle(c) – 0.1% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
2,117,550 | 0.026% | $ | 2,117,550 | |||||
(Cost $2,117,550) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 93.3% | ||||||||
(Cost $3,017,166,544) | $ | 3,237,642,650 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 6.7% | 231,988,988 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 3,469,631,638 | ||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Security is currently in default and/or non-income producing. | |
(a) | Significant unobservable inputs were used in the valuation of this portfolio security; i.e., Level 3. | |
(b) | All or a portion of security is on loan. | |
(c) | Represents an Affiliated Issuer. |
| ||
Investment Abbreviations: | ||
CVA | —Dutch Certification | |
REIT | —Real Estate Investment Trust | |
SPDR | —Standard and Poor’s Depositary Receipts | |
Currency Abbreviations: | ||
AUD | —Australian Dollar | |
CAD | —Canadian Dollar | |
CHF | —Swiss Franc | |
CLP | —Chilean Peso | |
CZK | —Czech Koruna | |
EUR | —Euro | |
GBP | —British Pound | |
HUF | —Hungarian Forint | |
IDR | —Indonesian Rupiah | |
ILS | —Israel New Shekel | |
INR | —Indian Rupee | |
JPY | —Japanese Yen | |
KRW | —South Korean Won | |
MXN | —Mexican Peso | |
NZD | —New Zealand Dollar | |
PHP | —Philippines Peso | |
PLN | —Polish Zloty | |
SEK | —Swedish Krona | |
TWD | —Taiwan Dollar | |
USD | —United States Dollar | |
ZAR | —South African Rand | |
|
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, 2020
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At December 31, 2020, 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 | AUD | 15,730,000 | USD | 11,865,069 | 01/27/2021 | $ | 265,182 | |||||||||||||
CAD | 22,890,000 | USD | 17,806,208 | 01/26/2021 | 178,059 | |||||||||||||||
CHF | 16,640,000 | USD | 18,780,906 | 01/26/2021 | 27,594 | |||||||||||||||
CLP | 3,149,550,000 | USD | 4,311,765 | 02/01/2021 | 120,474 | |||||||||||||||
IDR | 76,315,320,000 | USD | 5,347,247 | 01/07/2021 | 98,842 | |||||||||||||||
IDR | 79,573,720,000 | USD | 5,566,676 | 02/01/2021 | 142,500 | |||||||||||||||
ILS | 25,650,000 | USD | 7,901,826 | 01/26/2021 | 83,314 | |||||||||||||||
INR | 690,520,000 | USD | 9,303,637 | 02/02/2021 | 124,134 | |||||||||||||||
JPY | 910,940,000 | USD | 8,804,700 | 01/26/2021 | 19,904 | |||||||||||||||
KRW | 9,517,800,000 | USD | 8,604,112 | 02/01/2021 | 144,574 | |||||||||||||||
MXN | 77,380,000 | USD | 3,818,975 | 01/26/2021 | 60,002 | |||||||||||||||
NZD | 16,550,000 | USD | 11,671,622 | 01/27/2021 | 237,953 | |||||||||||||||
PHP | 443,800,000 | USD | 9,187,220 | 01/05/2021 | 54,089 | |||||||||||||||
PHP | 494,030,000 | USD | 10,206,509 | 02/01/2021 | 65,779 | |||||||||||||||
SEK | 49,650,000 | USD | 6,003,210 | 01/26/2021 | 33,035 | |||||||||||||||
ZAR | 56,700,000 | USD | 3,830,102 | 01/26/2021 | 16,355 | |||||||||||||||
TOTAL | $ | 1,671,790 |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||||||
JPMorgan Chase Bank NA | CZK | 122,780,000 | USD | 5,727,544 | 01/26/2021 | $ | (10,798 | ) | ||||||||||||
HUF | 1,208,850,000 | USD | 4,091,606 | 01/26/2021 | (19,298 | ) | ||||||||||||||
PLN | 19,780,000 | USD | 5,372,846 | 01/26/2021 | (77,230 | ) | ||||||||||||||
TWD | 326,000,000 | USD | 11,661,644 | 02/01/2021 | (10,308 | ) | ||||||||||||||
USD | 5,349,455 | IDR | 76,315,320,000 | 01/07/2021 | (96,635 | ) | ||||||||||||||
USD | 9,182,702 | PHP | 443,800,000 | 01/05/2021 | (58,607 | ) | ||||||||||||||
TOTAL | $ | (272,876 | ) |
FUTURES CONTRACTS — At December 31, 2020, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
100 oz Gold | 114 | 02/24/2021 | $ | 21,704,460 | $ | (75,155 | ) | |||||||||
3 Month Canadian Bankers Acceptance | 18 | 03/15/2021 | 3,519,149 | 4,322 | ||||||||||||
3 Month Canadian Bankers Acceptance | 19 | 06/14/2021 | 3,714,657 | 2,358 | ||||||||||||
3 Month Canadian Bankers Acceptance | 20 | 09/13/2021 | 3,910,166 | 585 | ||||||||||||
Amsterdam Exchange Index | 47 | 01/15/2021 | 7,171,797 | 75,835 | ||||||||||||
Australia 10 Year Bond | 129 | 03/15/2021 | 14,642,407 | 19,644 | ||||||||||||
CAC 40 10 Euro Index | 87 | 01/15/2021 | 5,890,234 | (506 | ) | |||||||||||
Canada 10 Year Bond | 226 | 03/22/2021 | 26,470,532 | 64,435 | ||||||||||||
Copper | 86 | 03/29/2021 | 7,576,600 | 783,438 | ||||||||||||
Corn | 161 | 03/12/2021 | 3,910,288 | 367,780 | ||||||||||||
DAX Index | 31 | 03/19/2021 | 13,014,421 | 183,596 |
34 | 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) | ||||||||||||||||
EURO STOXX 50 Index | 2,652 | 03/19/2021 | $ | 115,013,462 | $ | 721,896 | ||||||||||
Euro-Bobl | 453 | 03/08/2021 | 74,809,620 | (22,761 | ) | |||||||||||
Euro-BTP | 153 | 03/08/2021 | 28,412,562 | 127,776 | ||||||||||||
Euro-Bund | 541 | 03/08/2021 | 117,404,524 | 217,677 | ||||||||||||
Euro-Buxl | 48 | 03/08/2021 | 13,207,893 | 108,915 | ||||||||||||
Euro-OAT | 194 | 03/08/2021 | 39,782,837 | 104,455 | ||||||||||||
FTSE 100 Index | 569 | 03/19/2021 | 49,954,502 | (340,893 | ) | |||||||||||
FTSE/JSE Top 40 Index | 156 | 03/18/2021 | 5,798,699 | (14,938 | ) | |||||||||||
FTSE/MIB Index | 43 | 03/19/2021 | 5,812,287 | 69,650 | ||||||||||||
Hang Seng Index | 71 | 01/28/2021 | 12,464,118 | 424,549 | ||||||||||||
HSCEI | 110 | 01/28/2021 | 7,591,858 | 155,356 | ||||||||||||
IBEX 35 Index | 43 | 01/15/2021 | 4,239,615 | (8,349 | ) | |||||||||||
Japan 10 Year Bond | 9 | 03/15/2021 | 13,234,807 | (22,100 | ) | |||||||||||
KOSPI 200 Index | 88 | 03/11/2021 | 7,881,156 | 617,344 | ||||||||||||
LME Aluminum Base Metal | 128 | 01/20/2021 | 6,332,800 | 211,975 | ||||||||||||
LME Aluminum Base Metal | 158 | 02/17/2021 | 7,801,250 | (145,254 | ) | |||||||||||
LME Lead Base Metal | 71 | 01/20/2021 | 3,520,269 | (70,331 | ) | |||||||||||
LME Lead Base Metal | 80 | 02/17/2021 | 3,978,500 | (169,546 | ) | |||||||||||
LME Nickel Base Metal | 44 | 01/20/2021 | 4,373,556 | 317,522 | ||||||||||||
LME Nickel Base Metal | 51 | 02/17/2021 | 5,075,622 | 68,234 | ||||||||||||
LME Zinc Base Metal | 71 | 01/20/2021 | 4,851,661 | 141,015 | ||||||||||||
LME Zinc Base Metal | 83 | 02/17/2021 | 5,689,297 | (84,957 | ) | |||||||||||
Long Gilt | 235 | 03/29/2021 | 43,557,474 | 316,073 | ||||||||||||
NASDAQ 100 E-Mini Index | 46 | 03/19/2021 | 11,854,660 | 390,830 | ||||||||||||
OMXS30 Index | 245 | 01/15/2021 | 5,593,019 | (34,925 | ) | |||||||||||
S&P Midcap 400 E-Mini Index | 19 | 03/19/2021 | 4,376,650 | 127,085 | ||||||||||||
S&P/TSX 60 Index | 42 | 03/18/2021 | 6,789,819 | (48,809 | ) | |||||||||||
Silver | 28 | 03/29/2021 | 3,718,400 | 280,323 | ||||||||||||
Soybean | 78 | 03/12/2021 | 5,109,000 | 575,004 | ||||||||||||
TOPIX Index | 260 | 03/11/2021 | 45,437,993 | 1,222,237 | ||||||||||||
U.S. Treasury 2 Year Note | 260 | 03/31/2021 | 57,449,843 | 48,307 | ||||||||||||
U.S. Treasury 5 Year Note | 718 | 03/31/2021 | 90,568,969 | 189,470 | ||||||||||||
U.S. Treasury 10 Year Note | 960 | 03/22/2021 | 132,510,000 | 155,219 | ||||||||||||
U.S. Treasury Long Bond | 116 | 03/22/2021 | 20,060,750 | (132,982 | ) | |||||||||||
Total | $ | 6,921,399 | ||||||||||||||
Short position contracts: | ||||||||||||||||
Euro-Schatz | (105 | ) | 03/08/2021 | (14,401,879 | ) | (178 | ) | |||||||||
LME Aluminum Base Metal | (128 | ) | 01/20/2021 | (6,332,800 | ) | 92,406 | ||||||||||
LME Lead Base Metal | (71 | ) | 01/20/2021 | (3,520,269 | ) | 150,213 | ||||||||||
LME Nickel Base Metal | (44 | ) | 01/20/2021 | (4,373,556 | ) | (58,332 | ) | |||||||||
LME Zinc Base Metal | (71 | ) | 01/20/2021 | (4,851,661 | ) | 72,858 | ||||||||||
Russell 2000 E-Mini Index | (124 | ) | 03/19/2021 | (12,243,760 | ) | (397,959 | ) | |||||||||
S&P 500 E-Mini Index | (246 | ) | 03/19/2021 | (46,110,240 | ) | (1,350,795 | ) | |||||||||
Total | $ | (1,491,787 | ) | |||||||||||||
Total Futures Contracts | $ | 5,429,612 |
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, 2020
ADDITIONAL INVESTMENT INFORMATION (continued) |
SWAP CONTRACTS — At December 31, 2020, 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, 2020(b) | Termination Date | Notional (000’s) | Value | Upfront Premium (Received) Paid | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
Protection Sold: | ||||||||||||||||||||||||||||
iTraxx Europe Crossover Index | 5.000% | 2.440% | 12/20/2025 | EUR | 98,250 | $ | 14,367,579 | $ | 9,024,113 | $ | 5,343,466 | |||||||||||||||||
iTraxx Europe Index | 1.000 | 0.480 | 12/20/2025 | 18,600 | 598,401 | 514,761 | 83,640 | |||||||||||||||||||||
Markit CDX North America High Yield Index | 5.000 | 2.938 | 12/20/2025 | USD | 196,900 | 18,612,145 | 7,597,542 | 11,014,603 | ||||||||||||||||||||
Markit CDX North America Investment Grade Index | 1.000 | 0.500 | 12/20/2025 | 11,500 | 285,208 | 273,855 | 11,353 | |||||||||||||||||||||
TOTAL | $ | 33,863,333 | $ | 17,410,271 | $ | 16,453,062 |
(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 (000’s) | Unrealized Appreciation/ (Depreciation)(a) | |||||||||||||||||
Alerian MLP Index Total Return(b) | (0.153 | )% | Bank of America NA | 05/17/2021 | USD | 11,377 | $ | (870,907 | ) | |||||||||||||
Bloomberg Roll Select Commodity Index Total Return(c) | (0.000 | ) | JPMorgan Chase Bank NA | 02/26/2021 | 780 | 13,335 | ||||||||||||||||
Euro Stoxx Gross Total Return Index(d) | 0.573 | 06/16/2021 | EUR | 12,599 | (195,736 | ) | ||||||||||||||||
FTSE 100 Total Return Index(d) | 0.026 | 09/15/2021 | GBP | 3,469 | 32,482 | |||||||||||||||||
J.P. Morgan Bespoke Global Energy Sector Index(b) | (0.153 | ) | 08/24/2021 | USD | 6,685 | (248,531 | ) | |||||||||||||||
J.P. Morgan Bespoke Global Healthcare Sector Index(b) | (0.153 | ) | 08/24/2021 | 50,499 | 1,084,201 | |||||||||||||||||
J.P. Morgan Bespoke Global Materials Sector Index(b) | (0.153 | ) | 08/24/2021 | 17,586 | 370,935 | |||||||||||||||||
J.P. Morgan Bespoke Global Technology Sector Index(b) | (0.153 | ) | 08/24/2021 | 29,106 | 777,058 | |||||||||||||||||
MSCI The World Growth Net Return Index(b) | (0.153 | ) | 08/25/2021 | 189,877 | 4,983,685 | |||||||||||||||||
MSCI The World Net Return Index(d) | 0.153 | 08/25/2021 | 338,999 | (6,109,584 | ) | |||||||||||||||||
TOTAL | $ | (163,062 | ) |
(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. |
36 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
PURCHASED OPTIONS CONTRACTS and WRITTEN OPTIONS CONTRACTS — At December 31, 2020, the Fund had the following purchased & written options contracts:
EXCHANGE TRADED INDEX OPTIONS
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Value | Premiums Paid (Received) by the Fund | Unrealized Appreciation/ Depreciation | |||||||||||||||||||||
Purchased options contracts: |
| |||||||||||||||||||||||||||
Puts | ||||||||||||||||||||||||||||
S&P 500 Index | 2,955 USD | 01/29/2021 | 12 | $ | 4,507,284 | $ | 4,440 | $ | 12,614 | $ | (8,174 | ) | ||||||||||||||||
3,035 USD | 01/29/2021 | 135 | 50,706,945 | 59,400 | 132,008 | (72,608 | ) | |||||||||||||||||||||
3,055 USD | 01/29/2021 | 73 | 27,419,311 | 33,580 | 67,511 | (33,931 | ) | |||||||||||||||||||||
3,060 USD | 01/29/2021 | 185 | 69,487,295 | 86,950 | 146,352 | (59,402 | ) | |||||||||||||||||||||
3,165 USD | 01/29/2021 | 233 | 87,516,431 | 146,790 | 168,086 | (21,296 | ) | |||||||||||||||||||||
Total purchased options contracts |
| 638 | $ | 331,160 | $ | 526,571 | $ | (195,411 | ) | |||||||||||||||||||
Written options contracts: |
| |||||||||||||||||||||||||||
Puts | ||||||||||||||||||||||||||||
S&P 500 Index | 3,620 USD | 01/29/2021 | 12 | $ | (4,507,284 | ) | $ | (47,280 | ) | $ | (114,476 | ) | $ | 67,196 | ||||||||||||||
3,645 USD | 01/29/2021 | 185 | (69,487,295 | ) | (815,850 | ) | (1,275,743 | ) | 459,893 | |||||||||||||||||||
3,655 USD | 01/29/2021 | 135 | (50,706,945 | ) | (622,350 | ) | (1,096,822 | ) | 474,472 | |||||||||||||||||||
3,665 USD | 01/29/2021 | 73 | (27,419,311 | ) | (351,860 | ) | (604,069 | ) | 252,209 | |||||||||||||||||||
3,690 USD | 01/29/2021 | 233 | (87,516,431 | ) | (1,261,695 | ) | (1,446,966 | ) | 185,271 | |||||||||||||||||||
Total written options contracts |
| 638 | $ | (3,099,035 | ) | $ | (4,538,076 | ) | $ | 1,439,041 |
The accompanying notes are an integral part of these financial statements. | 37 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments
December 31, 2020
Shares | Dividend Rate | Value | ||||
Investment Company(a) – 71.0% | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||
24,297,724 | 0.026% | $ | 24,297,724 | |||
| ||||||
TOTAL INVESTMENTS – 71.0% |
| |||||
(Cost $24,297,724) | $ | 24,297,724 | ||||
| ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 29.0% | 9,947,229 | |||||
| ||||||
NET ASSETS – 100.0% | $ | 34,244,953 | ||||
|
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 | |
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 | |
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, 2020, 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. | IDR | 3,527,270,000 | USD | 247,144 | 01/07/2021 | $ | 4,572 | |||||||||||||
IDR | 6,468,990,000 | USD | 452,760 | 02/01/2021 | 11,371 | |||||||||||||||
INR | 73,090,000 | USD | 984,804 | 02/02/2021 | 13,105 | |||||||||||||||
MXN | 11,370,000 | USD | 561,079 | 01/26/2021 | 8,887 | |||||||||||||||
PHP | 2,670,000 | USD | 55,271 | 01/05/2021 | 326 | |||||||||||||||
PHP | 15,790,000 | USD | 326,679 | 02/01/2021 | 1,640 | |||||||||||||||
RUB | 10,990,000 | USD | 146,047 | 02/01/2021 | 2,003 | |||||||||||||||
USD | 541,933 | CZK | 11,620,000 | 01/26/2021 | 895 | |||||||||||||||
USD | 459,553 | HUF | 135,770,000 | 01/26/2021 | 2,179 | |||||||||||||||
USD | 180,251 | PEN | 650,000 | 02/01/2021 | 647 | |||||||||||||||
USD | 86,835 | PLN | 320,000 | 01/26/2021 | 1,162 | |||||||||||||||
ZAR | 9,590,000 | USD | 647,653 | 01/26/2021 | 2,921 | |||||||||||||||
TOTAL | $ | 49,708 |
38 | 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. | NOK | 3,660,000 | USD | 428,874 | 01/26/2021 | $ | (2,018 | ) | ||||||||||||
TWD | 9,440,000 | USD | 337,692 | 02/01/2021 | (304 | ) | ||||||||||||||
USD | 179,627 | CLP | 131,070,000 | 02/01/2021 | (4,823 | ) | ||||||||||||||
USD | 145,041 | COP | 499,270,000 | 02/01/2021 | (1,146 | ) | ||||||||||||||
USD | 249,182 | IDR | 3,527,270,000 | 01/07/2021 | (2,534 | ) | ||||||||||||||
USD | 1,934,415 | NOK | 16,790,000 | 01/26/2021 | (23,758 | ) | ||||||||||||||
USD | 55,245 | PHP | 2,670,000 | 01/05/2021 | (352 | ) | ||||||||||||||
USD | 883,314 | SEK | 7,310,000 | 01/26/2021 | (5,407 | ) | ||||||||||||||
USD | 683,603 | THB | 20,570,000 | 01/26/2021 | (2,980 | ) | ||||||||||||||
TOTAL | $ | (43,322 | ) |
FUTURES CONTRACTS — At December 31, 2020, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
100 oz Gold | 5 | 02/24/2021 | $ | 951,950 | $ | 24,686 | ||||||||||
3 Month Canadian Bankers Acceptance | 1 | 03/15/2021 | 195,508 | (2 | ) | |||||||||||
3 Month Canadian Bankers Acceptance | 1 | 06/14/2021 | 195,508 | (2 | ) | |||||||||||
3 Month Canadian Bankers Acceptance | 1 | 09/13/2021 | 195,508 | 7 | ||||||||||||
Amsterdam Exchange Index | 1 | 01/15/2021 | 152,591 | (679 | ) | |||||||||||
Australia 10 Year Bond | 97 | 03/15/2021 | 11,010,182 | 15,235 | ||||||||||||
Brent Crude Oil | 9 | 04/30/2021 | 464,940 | 14,342 | ||||||||||||
CAC 40 10 Euro Index | 1 | 01/15/2021 | 67,704 | (4 | ) | |||||||||||
Canada 10 Year Bond | 29 | 03/22/2021 | 3,396,661 | 10,855 | ||||||||||||
Cocoa | 18 | 05/13/2021 | 456,300 | 15,335 | ||||||||||||
Coffee “C” | 9 | 05/18/2021 | 439,256 | 34,565 | ||||||||||||
Copper | 5 | 05/26/2021 | 441,250 | 26,861 | ||||||||||||
Corn | 20 | 05/14/2021 | 484,500 | 48,900 | ||||||||||||
Cotton No. 2 | 12 | 05/06/2021 | 472,200 | 32,982 | ||||||||||||
EURO STOXX 50 Index | 5 | 03/19/2021 | 216,843 | 1,075 | ||||||||||||
Euro-Bobl | 2 | 03/08/2021 | 330,285 | (99 | ) | |||||||||||
Euro-BTP | 1 | 03/08/2021 | 185,703 | 836 | ||||||||||||
Euro-OAT | 2 | 03/08/2021 | 410,132 | 503 | ||||||||||||
Feeder Cattle | 11 | 03/25/2021 | 770,688 | 4,140 | ||||||||||||
Foreign Exchange AUD/USD | 14 | 03/15/2021 | 1,079,890 | 24,795 | ||||||||||||
Foreign Exchange CAD/USD | 5 | 03/16/2021 | 392,975 | 3,684 | ||||||||||||
Foreign Exchange NZD/USD | 36 | 03/15/2021 | 2,590,920 | 42,759 | ||||||||||||
FTSE 100 Index | 1 | 03/19/2021 | 87,794 | (597 | ) | |||||||||||
FTSE/JSE Top 40 Index | 2 | 03/18/2021 | 74,342 | (152 | ) | |||||||||||
Hang Seng Index | 1 | 01/28/2021 | 175,551 | 5,970 | ||||||||||||
HSCEI | 1 | 01/28/2021 | 69,017 | 1,400 | ||||||||||||
KC HRW Wheat | 15 | 05/14/2021 | 456,000 | 29,127 | ||||||||||||
KOSPI 200 Index | 1 | 03/11/2021 | 89,559 | 7,020 | ||||||||||||
Lean Hogs | 14 | 06/14/2021 | 463,400 | 9,787 | ||||||||||||
Live Cattle | 10 | 06/30/2021 | 458,700 | 11,709 | ||||||||||||
LME Aluminum Base Metal | 21 | 01/20/2021 | 1,038,975 | 35,554 | ||||||||||||
LME Aluminum Base Metal | 13 | 02/17/2021 | 641,875 | 40,955 | ||||||||||||
LME Aluminum Base Metal | 13 | 03/17/2021 | 642,688 | 52,352 | ||||||||||||
LME Aluminum Base Metal | 17 | 04/21/2021 | 842,456 | 18,755 |
The accompanying notes are an integral part of these financial statements. | 39 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments (continued)
December 31, 2020
ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS (continued)
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: (continued) | ||||||||||||||||
LME Aluminum Base Metal | 9 | 05/19/2021 | $ | 446,906 | $ | (12,171 | ) | |||||||||
LME Lead Base Metal | 4 | 01/20/2021 | 198,325 | 558 | ||||||||||||
LME Lead Base Metal | 2 | 02/17/2021 | 99,462 | (4,239 | ) | |||||||||||
LME Nickel Base Metal | 4 | 01/20/2021 | 397,596 | 20,392 | ||||||||||||
LME Nickel Base Metal | 1 | 02/17/2021 | 99,522 | 1,338 | ||||||||||||
LME Zinc Base Metal | 16 | 01/20/2021 | 1,093,332 | 46,684 | ||||||||||||
LME Zinc Base Metal | 12 | 02/17/2021 | 822,549 | 53,583 | ||||||||||||
LME Zinc Base Metal | 10 | 03/17/2021 | 687,332 | 83,895 | ||||||||||||
LME Zinc Base Metal | 11 | 04/21/2021 | 757,510 | 25,661 | ||||||||||||
LME Zinc Base Metal | 5 | 05/19/2021 | 344,916 | (4,587 | ) | |||||||||||
Long Gilt | 4 | 03/29/2021 | 741,404 | 10,122 | ||||||||||||
Low Sulphur Gasoil | 10 | 05/12/2021 | 427,250 | 15,505 | ||||||||||||
NASDAQ 100 E-Mini Index | 1 | 03/19/2021 | 257,710 | 868 | ||||||||||||
Natural Gas | 18 | 04/28/2021 | 461,160 | 12,400 | ||||||||||||
NY Harbor ULSD | 7 | 04/30/2021 | 437,178 | 17,939 | ||||||||||||
OMXS30 Index | 2 | 01/15/2021 | 45,657 | (252 | ) | |||||||||||
RBOB Gasoline | 7 | 04/30/2021 | 451,408 | 27,356 | ||||||||||||
Russell 2000 E-Mini Index | 1 | 03/19/2021 | 98,740 | 3,203 | ||||||||||||
S&P 500 E-Mini Index | 3 | 03/19/2021 | 562,320 | 12,751 | ||||||||||||
S&P/TSX 60 Index | 1 | 03/18/2021 | 161,662 | (1,212 | ) | |||||||||||
Silver | 1 | 03/29/2021 | 132,800 | 2,632 | ||||||||||||
Soybean | 7 | 05/14/2021 | 456,575 | 42,765 | ||||||||||||
Soybean Oil | 18 | 05/14/2021 | 448,200 | 52,293 | ||||||||||||
Sugar No. 11 | 26 | 04/30/2021 | 427,482 | 19,597 | ||||||||||||
TOPIX Index | 1 | 03/11/2021 | 174,762 | 4,701 | ||||||||||||
U.S. Treasury 2 Year Note | 2 | 03/31/2021 | 441,922 | 177 | ||||||||||||
U.S. Treasury 5 Year Note | 4 | 03/31/2021 | 504,562 | 1,119 | ||||||||||||
Wheat | 14 | 05/14/2021 | 449,050 | 24,331 | ||||||||||||
WTI Crude Oil | 9 | 04/20/2021 | 436,950 | 18,955 | ||||||||||||
Total | $ | 989,018 | ||||||||||||||
Short position contracts: | ||||||||||||||||
Brent Crude Oil | (8 | ) | 01/29/2021 | (414,400 | ) | (19,726 | ) | |||||||||
CBOE Volatility Index | (20 | ) | 01/20/2021 | (473,500 | ) | 59,463 | ||||||||||
CBOE Volatility Index | (23 | ) | 02/17/2021 | (588,225 | ) | 528 | ||||||||||
CBOE Volatility Index | (22 | ) | 03/17/2021 | (567,050 | ) | 4,744 | ||||||||||
Cocoa | (9 | ) | 03/16/2021 | (234,270 | ) | (9 | ) | |||||||||
Coffee “C” | (9 | ) | 03/19/2021 | (432,844 | ) | (34,828 | ) | |||||||||
Copper | (6 | ) | 03/29/2021 | (528,600 | ) | (19,342 | ) | |||||||||
Corn | (45 | ) | 03/12/2021 | (1,092,938 | ) | (115,242 | ) | |||||||||
Cotton No. 2 | (24 | ) | 03/09/2021 | (937,440 | ) | (58,436 | ) | |||||||||
Euro-Bund | (76 | ) | 03/08/2021 | (16,493,057 | ) | (22,831 | ) | |||||||||
Euro-Schatz | (3 | ) | 03/08/2021 | (411,482 | ) | 1 | ||||||||||
Foreign Exchange CHF/USD | (18 | ) | 03/15/2021 | (2,546,775 | ) | (420 | ) | |||||||||
Foreign Exchange EUR/USD | (22 | ) | 03/15/2021 | (3,364,762 | ) | (8,829 | ) | |||||||||
Foreign Exchange GBP/USD | (5 | ) | 03/15/2021 | (427,531 | ) | (9,605 | ) | |||||||||
Japan 10 Year Bond | (3 | ) | 03/15/2021 | (4,411,602 | ) | 5,752 | ||||||||||
KC HRW Wheat | (30 | ) | 03/12/2021 | (908,625 | ) | (62,721 | ) | |||||||||
Lean Hogs | (6 | ) | 02/12/2021 | (168,840 | ) | (6,609 | ) | |||||||||
Live Cattle | (13 | ) | 02/26/2021 | (598,650 | ) | (3,751 | ) |
40 | 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) | ||||||||||||
Short position contracts: (continued) | ||||||||||||||||
LME Aluminum Base Metal | (21 | ) | 01/20/2021 | $ | (1,038,975 | ) | $ | (51,577 | ) | |||||||
LME Aluminum Base Metal | (17 | ) | 02/17/2021 | (839,375 | ) | (35,307 | ) | |||||||||
LME Aluminum Base Metal | (13 | ) | 03/17/2021 | (642,688 | ) | (23,240 | ) | |||||||||
LME Aluminum Base Metal | (17 | ) | 04/21/2021 | (842,456 | ) | 9,720 | ||||||||||
LME Aluminum Base Metal | (1 | ) | 05/19/2021 | (49,656 | ) | 656 | ||||||||||
LME Lead Base Metal | (4 | ) | 01/20/2021 | (198,325 | ) | (3,025 | ) | |||||||||
LME Nickel Base Metal | (4 | ) | 01/20/2021 | (397,596 | ) | (9,381 | ) | |||||||||
LME Zinc Base Metal | (16 | ) | 01/20/2021 | (1,093,332 | ) | (63,158 | ) | |||||||||
LME Zinc Base Metal | (16 | ) | 02/17/2021 | (1,096,732 | ) | (58,986 | ) | |||||||||
LME Zinc Base Metal | (10 | ) | 03/17/2021 | (687,332 | ) | (34,436 | ) | |||||||||
LME Zinc Base Metal | (11 | ) | 04/21/2021 | (757,510 | ) | 3,697 | ||||||||||
Low Sulphur Gasoil | (10 | ) | 02/11/2021 | (423,000 | ) | (16,845 | ) | |||||||||
Natural Gas | (16 | ) | 01/27/2021 | (406,400 | ) | (10,364 | ) | |||||||||
NY Harbor ULSD | (11 | ) | 01/29/2021 | (686,070 | ) | (27,251 | ) | |||||||||
RBOB Gasoline | (5 | ) | 01/29/2021 | (296,394 | ) | (17,893 | ) | |||||||||
Soybean | (11 | ) | 03/12/2021 | (720,500 | ) | (58,272 | ) | |||||||||
Soybean Oil | (18 | ) | 03/12/2021 | (458,352 | ) | (46,419 | ) | |||||||||
Sugar No. 11 | (19 | ) | 02/26/2021 | (329,627 | ) | (17,756 | ) | |||||||||
U.S. Treasury 10 Year Note | (14 | ) | 03/22/2021 | (1,932,438 | ) | 1,354 | ||||||||||
WTI Crude Oil | (10 | ) | 01/20/2021 | (484,600 | ) | (13,768 | ) | |||||||||
Total | $ | (764,112 | ) | |||||||||||||
Total Futures Contracts | $ | 224,906 |
SWAP CONTRACTS — At December 31, 2020, 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, | Termination Date | Notional (000’s) | Value | Upfront Premium (Received) Paid | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
Protection Sold: | ||||||||||||||||||||||||||||||
iTraxx Europe Index | 1.000% | 0.480% | 12/20/2025 | EUR | 450 | $ | 14,477 | $ | 11,978 | $ | 2,499 | |||||||||||||||||||
Markit CDX North America Investment Grade Index | 1.000 | 0.500 | 12/20/2025 | USD | 350 | 8,680 | 8,267 | 413 | ||||||||||||||||||||||
TOTAL | $ | 23,157 | $ | 20,245 | $ | 2,912 |
(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. |
The accompanying notes are an integral part of these financial statements. | 41 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments (continued)
December 31, 2020
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 (000’s) | Unrealized Appreciation/ (Depreciation)(a) | |||||||||||||||||
A basket (MLGSFDJP) of common stocks(b)* | (0.095)% | Bank of America NA | 01/28/2021 | JPY | 1,645,727 | $ | 96,448 | |||||||||||||||
A basket (MLGSFDUS) of common stock(b)* | (0.148) | 09/01/2021 | USD | 15,197 | 85,710 | |||||||||||||||||
A basket (MLGSFDUS) of common stock(b)* | (0.145) | 09/01/2021 | 3,473 | 27,513 | ||||||||||||||||||
Russell 1000 Index Total Return(c) | 0.145 | 09/01/2021 | 1,136 | (8,626 | ) | |||||||||||||||||
Russell 1000 Index Total Return(c) | 0.148 | 09/01/2021 | 5,013 | (23,221 | ) | |||||||||||||||||
S&P 500 Total Return Index(c) | 0.145 | 09/01/2021 | 2,133 | (17,117 | ) | |||||||||||||||||
S&P 500 Total Return Index(c) | 0.148 | 09/01/2021 | 9,327 | (53,830 | ) | |||||||||||||||||
TOPIX Total Return Index(c) | 0.095 | 01/28/2021 | JPY | 1,627,781 | (102,183 | ) | ||||||||||||||||
A basket (JPGSFDEU) of common stocks(b)* | (0.568) | JPMorgan Chase Bank NA | 06/16/2021 | EUR | 5,108 | (17,206 | ) | |||||||||||||||
A basket (JPGSFDUK) of common stocks(b)* | (0.021) | 05/05/2021 | GBP | 1,663 | (47,217 | ) | ||||||||||||||||
Euro Stoxx Gross Total Return Index(c) | 0.568 | 06/16/2021 | EUR | 4,903 | 32,121 | |||||||||||||||||
FTSE 100 Total Return Index(c) | 0.021 | 05/05/2021 | GBP | 1,394 | 41,256 | |||||||||||||||||
TOTAL | $ | 13,648 |
(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 | 156 | $ | 411,658 | 2.58 | % | ||||||||
Keyence Corp | Information Technology | 7 | 398,216 | 2.50 | ||||||||||
Nintendo Co Ltd | Communication Services | 6 | 379,163 | 2.38 | ||||||||||
Chugai Pharmaceutical Co Ltd | Health Care | 59 | 323,563 | 2.03 | ||||||||||
Capcom Co Ltd | Communication Services | 47 | 317,305 | 1.99 | ||||||||||
Olympus Corp | Health Care | 127 | 287,112 | 1.80 | ||||||||||
Daikin Industries Ltd | Industrials | 11 | 240,698 | 1.51 | ||||||||||
Daiichi Sankyo Co Ltd | Health Care | 65 | 230,050 | 1.44 | ||||||||||
Recruit Holdings Co Ltd | Industrials | 51 | 219,033 | 1.37 | ||||||||||
Hoya Corp | Health Care | 15 | 207,262 | 1.30 | ||||||||||
CyberAgent Inc | Communication Services | 28 | 201,360 | 1.26 | ||||||||||
Fujitsu Ltd | Information Technology | 12 | 182,133 | 1.14 | ||||||||||
Tokio Marine Holdings Inc | Financials | 29 | 156,572 | 0.98 | ||||||||||
Kakaku.com Inc | Communication Services | 53 | 149,531 | 0.94 | ||||||||||
Japan Exchange Group Inc | Financials | 56 | 148,337 | 0.93 | ||||||||||
Honda Motor Co Ltd | Consumer Discretionary | 49 | 140,618 | 0.88 | ||||||||||
Mitsubishi Electric Corp | Industrials | 89 | 138,707 | 0.87 | ||||||||||
Seven & i Holdings Co Ltd | Consumer Staples | 35 | 129,700 | 0.81 | ||||||||||
Nitori Holdings Co Ltd | Consumer Discretionary | 6 | 127,991 | 0.80 | ||||||||||
Sompo Holdings Inc | Financials | 28 | 117,218 | 0.73 | ||||||||||
Yaskawa Electric Corp | Industrials | 23 | 116,650 | 0.73 | ||||||||||
Japan Tobacco Inc | Consumer Staples | 54 | 113,071 | 0.71 | ||||||||||
Fast Retailing Co Ltd | Consumer Discretionary | 1 | 108,669 | 0.68 | ||||||||||
Japan Airlines Co Ltd | Industrials | 53 | 104,974 | 0.66 | ||||||||||
T&D Holdings Inc | Financials | 85 | 103,091 | 0.65 | ||||||||||
FUJIFILM Holdings Corp | Information Technology | 19 | 101,875 | 0.64 | ||||||||||
Omron Corp | Information Technology | 11 | 99,673 | 0.62 | ||||||||||
NEC Corp | Information Technology | 18 | 99,524 | 0.62 | ||||||||||
Mitsubishi Estate Co Ltd | Real Estate | 60 | 98,834 | 0.62 | ||||||||||
Kurita Water Industries Ltd | Industrials | 25 | 97,677 | 0.61 | ||||||||||
Komatsu Ltd | Industrials | 34 | 96,871 | 0.61 | ||||||||||
Hulic Co Ltd | Real Estate | 85 | 96,067 | 0.60 | ||||||||||
Cosmos Pharmaceutical Corp | Consumer Staples | 6 | 95,238 | 0.60 |
42 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Suzuki Motor Corp | Consumer Discretionary | 19 | $ | 90,556 | 0.57 | % | ||||||||
Yamada Holdings Co Ltd | Consumer Discretionary | 164 | 89,605 | 0.56 | ||||||||||
Kobe Bussan Co Ltd | Consumer Staples | 28 | 89,101 | 0.56 | ||||||||||
DMG Mori Co Ltd | Industrials | 57 | 89,099 | 0.56 | ||||||||||
K’s Holdings Corp | Consumer Discretionary | 60 | 85,855 | 0.54 | ||||||||||
Bandai Namco Holdings Inc | Consumer Discretionary | 9 | 84,259 | 0.53 | ||||||||||
Iwatani Corp | Energy | 13 | 83,002 | 0.52 | ||||||||||
Bridgestone Corp | Consumer Discretionary | 24 | 82,448 | 0.52 | ||||||||||
Amada Co Ltd | Industrials | 72 | 81,534 | 0.51 | ||||||||||
Panasonic Corp | Consumer Discretionary | 68 | 81,047 | 0.51 | ||||||||||
Nitto Denko Corp | Materials | 9 | 80,816 | 0.51 | ||||||||||
Tokyo Gas Co Ltd | Utilities | 34 | 80,750 | 0.51 | ||||||||||
M3 Inc | Health Care | 8 | 80,263 | 0.50 | ||||||||||
Yamaha Corp | Consumer Discretionary | 13 | 80,029 | 0.50 | ||||||||||
Yamaha Motor Co Ltd | Consumer Discretionary | 38 | 79,946 | 0.50 | ||||||||||
Hitachi Construction Machinery Co Ltd | Industrials | 26 | 77,476 | 0.49 | ||||||||||
Toyo Suisan Kaisha Ltd | Consumer Staples | 15 | 76,486 | 0.48 | ||||||||||
Advantest Corp | Information Technology | 10 | 76,334 | 0.48 | ||||||||||
Nabtesco Corp | Industrials | 17 | 75,815 | 0.48 | ||||||||||
Nissan Motor Co Ltd | Consumer Discretionary | 135 | 75,744 | 0.47 | ||||||||||
Hoshizaki Corp | Industrials | 8 | 75,647 | 0.47 | ||||||||||
Canon Inc | Information Technology | 38 | 74,399 | 0.47 | ||||||||||
SG Holdings Co Ltd | Industrials | 26 | 72,433 | 0.45 | ||||||||||
Lixil Corp | Industrials | 32 | 72,153 | 0.45 | ||||||||||
Resona Holdings Inc | Financials | 200 | 71,960 | 0.45 | ||||||||||
Makita Corp | Industrials | 14 | 71,867 | 0.45 | ||||||||||
MS&AD Insurance Group Holdings Inc | Financials | 23 | 71,728 | 0.45 | ||||||||||
Fujitsu General Ltd | Consumer Discretionary | 26 | 71,292 | 0.45 | ||||||||||
Seven Bank Ltd | Financials | 326 | 71,010 | 0.45 | ||||||||||
Nihon Unisys Ltd | Information Technology | 17 | 70,390 | 0.44 | ||||||||||
Toho Gas Co Ltd | Utilities | 10 | 70,280 | 0.44 | ||||||||||
Yokohama Rubber Co Ltd/The | Consumer Discretionary | 44 | 67,980 | 0.43 | ||||||||||
Ebara Corp | Industrials | 20 | 67,827 | 0.43 | ||||||||||
Trend Micro Inc/Japan | Information Technology | 11 | 67,430 | 0.42 | ||||||||||
Zenkoku Hosho Co Ltd | Financials | 14 | 67,189 | 0.42 | ||||||||||
Takeda Pharmaceutical Co Ltd | Health Care | 18 | 66,712 | 0.42 | ||||||||||
Kose Corp | Consumer Staples | 4 | 66,425 | 0.42 | ||||||||||
Asics Corp | Consumer Discretionary | 33 | 66,291 | 0.42 | ||||||||||
Sumitomo Rubber Industries Ltd | Consumer Discretionary | 74 | 65,976 | 0.41 | ||||||||||
SCREEN Holdings Co Ltd | Information Technology | 9 | 65,292 | 0.41 | ||||||||||
Ito En Ltd | Consumer Staples | 10 | 64,100 | 0.40 | ||||||||||
TOTO Ltd | Industrials | 10 | 64,053 | 0.40 | ||||||||||
Kansai Paint Co Ltd | Materials | 20 | 62,922 | 0.39 | ||||||||||
Casio Computer Co Ltd | Consumer Discretionary | 33 | 61,979 | 0.39 | ||||||||||
TechnoPro Holdings Inc | Industrials | 7 | 61,846 | 0.39 | ||||||||||
ZOZO Inc | Consumer Discretionary | 24 | 61,512 | 0.39 | ||||||||||
Nifco Inc/Japan | Consumer Discretionary | 15 | 61,369 | 0.38 | ||||||||||
Nexon Co Ltd | Communication Services | 19 | 61,332 | 0.38 | ||||||||||
Brother Industries Ltd | Information Technology | 29 | 60,904 | 0.38 | ||||||||||
GS Yuasa Corp | Industrials | 20 | 60,309 | 0.38 | ||||||||||
Nomura Research Institute Ltd | Information Technology | 16 | 60,102 | 0.38 | ||||||||||
Shimamura Co Ltd | Consumer Discretionary | 5 | 58,434 | 0.37 | ||||||||||
Fancl Corp | Consumer Staples | 14 | 58,291 | 0.37 | ||||||||||
Pola Orbis Holdings Inc | Consumer Staples | 28 | 58,204 | 0.36 | ||||||||||
JSR Corp | Materials | 20 | 58,077 | 0.36 | ||||||||||
MISUMI Group Inc | Industrials | 17 | 58,017 | 0.36 | ||||||||||
Yamazaki Baking Co Ltd | Consumer Staples | 33 | 57,563 | 0.36 | ||||||||||
Benefit One Inc | Industrials | 19 | 57,031 | 0.36 | ||||||||||
OKUMA Corp | Industrials | 10 | 56,207 | 0.35 |
The accompanying notes are an integral part of these financial statements. | 43 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments (continued)
December 31, 2020
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Azbil Corp | Information Technology | 10 | $ | 55,745 | 0.35 | % | ||||||||
Sanwa Holdings Corp | Industrials | 45 | 54,620 | 0.34 | ||||||||||
Mitsubishi Gas Chemical Co Inc | Materials | 22 | 53,050 | 0.33 | ||||||||||
Yakult Honsha Co Ltd | Consumer Staples | 10 | 52,276 | 0.33 | ||||||||||
Otsuka Corp | Information Technology | 10 | 51,871 | 0.33 | ||||||||||
Rinnai Corp | Consumer Discretionary | 4 | 51,716 | 0.32 | ||||||||||
Hakuhodo DY Holdings Inc | Communication Services | 37 | 51,699 | 0.32 | ||||||||||
Unicharm Corp | Consumer Staples | 11 | 51,410 | 0.32 | ||||||||||
JTEKT Corp | Consumer Discretionary | 64 | 50,996 | 0.32 | ||||||||||
Sony Corp | Consumer Discretionary | 5 | 50,919 | 0.32 | ||||||||||
NOF Corp | Materials | 10 | 49,939 | 0.31 | ||||||||||
Lion Corp | Consumer Staples | 20 | 49,674 | 0.31 | ||||||||||
Relo Group Inc | Real Estate | 20 | 49,387 | 0.31 | ||||||||||
Oriental Land Co Ltd/Japan | Consumer Discretionary | 3 | 49,198 | 0.31 | ||||||||||
Kao Corp | Consumer Staples | 6 | 49,187 | 0.31 | ||||||||||
Seiko Epson Corp | Information Technology | 32 | 48,907 | 0.31 | ||||||||||
Kagome Co Ltd | Consumer Staples | 13 | 48,709 | 0.31 | ||||||||||
Sumitomo Mitsui Trust Holdings Inc | Financials | 15 | 47,952 | 0.30 | ||||||||||
Fuji Corp/Aichi | Industrials | 17 | 46,890 | 0.29 | ||||||||||
Skylark Holdings Co Ltd | Consumer Discretionary | 29 | 46,767 | 0.29 | ||||||||||
Tokai Carbon Co Ltd | Materials | 35 | 45,499 | 0.29 | ||||||||||
Yaoko Co Ltd | Consumer Staples | 6 | 44,881 | 0.28 | ||||||||||
Acom Co Ltd | Financials | 101 | 44,411 | 0.28 | ||||||||||
Koei Tecmo Holdings Co Ltd | Communication Services | 7 | 44,274 | 0.28 | ||||||||||
Park24 Co Ltd | Industrials | 25 | 44,163 | 0.28 | ||||||||||
Ricoh Co Ltd | Information Technology | 64 | 43,637 | 0.27 | ||||||||||
Nihon Kohden Corp | Health Care | 11 | 42,930 | 0.27 | ||||||||||
Toyota Boshoku Corp | Consumer Discretionary | 25 | 42,663 | 0.27 | ||||||||||
Toray Industries Inc | Materials | 69 | 42,435 | 0.27 | ||||||||||
Kikkoman Corp | Consumer Staples | 6 | 42,257 | 0.26 | ||||||||||
Hikari Tsushin Inc | Consumer Discretionary | 2 | 41,895 | 0.26 | ||||||||||
Aeon Co Ltd | Consumer Staples | 12 | 41,473 | 0.26 | ||||||||||
Iida Group Holdings Co Ltd | Consumer Discretionary | 19 | 40,172 | 0.25 | ||||||||||
NH Foods Ltd | Consumer Staples | 9 | 39,958 | 0.25 | ||||||||||
Obic Co Ltd | Information Technology | 2 | 39,576 | 0.25 | ||||||||||
NTT Data Corp | Information Technology | 28 | 39,178 | 0.25 | ||||||||||
Kusuri no Aoki Holdings Co Ltd | Consumer Staples | 4 | 39,060 | 0.24 | ||||||||||
Sysmex Corp | Health Care | 3 | 39,030 | 0.24 | ||||||||||
Pan Pacific International Holdings Corp | Consumer Discretionary | 16 | 38,442 | 0.24 | ||||||||||
Calbee Inc | Consumer Staples | 12 | 37,138 | 0.23 | ||||||||||
Shimano Inc | Consumer Discretionary | 2 | 37,019 | 0.23 | ||||||||||
FP Corp | Materials | 9 | 36,987 | 0.23 | ||||||||||
DIC Corp | Materials | 14 | 36,611 | 0.23 | ||||||||||
Tokyo Century Corp | Financials | 4 | 36,539 | 0.23 | ||||||||||
Square Enix Holdings Co Ltd | Communication Services | 6 | 36,019 | 0.23 | ||||||||||
Nippon Suisan Kaisha Ltd | Consumer Staples | 84 | 35,918 | 0.23 | ||||||||||
Ajinomoto Co Inc | Consumer Staples | 15 | 35,776 | 0.22 | ||||||||||
SoftBank Group Corp | Communication Services | 4 | 35,591 | 0.22 | ||||||||||
MEIJI Holdings Co Ltd | Consumer Staples | 5 | 35,505 | 0.22 | ||||||||||
Astellas Pharma Inc | Health Care | 22 | 35,399 | 0.22 | ||||||||||
Oji Holdings Corp | Materials | 60 | 35,284 | 0.22 | ||||||||||
THK Co Ltd | Industrials | 11 | 35,161 | 0.22 | ||||||||||
Nippon Light Metal Holdings Co Ltd | Materials | 18 | 34,981 | 0.22 | ||||||||||
Kewpie Corp | Consumer Staples | 15 | 34,927 | 0.22 | ||||||||||
Matsui Securities Co Ltd | Financials | 43 | 34,901 | 0.22 | ||||||||||
Nisshinbo Holdings Inc | Industrials | 46 | 34,475 | 0.22 | ||||||||||
MonotaRO Co Ltd | Industrials | 7 | 34,462 | 0.22 | ||||||||||
GMO Payment Gateway Inc | Information Technology | 2 | 34,035 | 0.21 | ||||||||||
Secom Co Ltd | Industrials | 4 | 33,637 | 0.21 |
44 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
ENEOS Holdings Inc | Energy | 90 | $ | 33,433 | 0.21 | % | ||||||||
Zensho Holdings Co Ltd | Consumer Discretionary | 12 | 33,195 | 0.21 | ||||||||||
Hitachi Metals Ltd | Materials | 21 | 32,935 | 0.21 | ||||||||||
Renesas Electronics Corp | Information Technology | 30 | 32,724 | 0.21 | ||||||||||
Canon Marketing Japan Inc | Information Technology | 14 | 32,566 | 0.20 | ||||||||||
Terumo Corp | Health Care | 8 | 32,561 | 0.20 | ||||||||||
NOK Corp | Consumer Discretionary | 29 | 32,481 | 0.20 | ||||||||||
Kobayashi Pharmaceutical Co Ltd | Consumer Staples | 3 | 32,476 | 0.20 | ||||||||||
Ulvac Inc | Information Technology | 7 | 32,416 | 0.20 | ||||||||||
Meitec Corp | Industrials | 6 | 32,267 | 0.20 | ||||||||||
Kirin Holdings Co Ltd | Consumer Staples | 13 | 32,188 | 0.20 | ||||||||||
Penta-Ocean Construction Co Ltd | Industrials | 36 | 31,984 | 0.20 | ||||||||||
Amano Corp | Information Technology | �� | 13 | 31,795 | 0.20 | |||||||||
Fuji Oil Holdings Inc | Consumer Staples | 11 | 31,395 | 0.20 | ||||||||||
Resorttrust Inc | Consumer Discretionary | 21 | 31,358 | 0.20 | ||||||||||
Oki Electric Industry Co Ltd | Information Technology | 34 | 31,079 | 0.19 | ||||||||||
As One Corp | Health Care | 2 | 30,970 | 0.19 | ||||||||||
Asahi Intecc Co Ltd | Health Care | 8 | 30,690 | 0.19 | ||||||||||
Lawson Inc | Consumer Staples | 6 | 30,029 | 0.19 | ||||||||||
Tohoku Electric Power Co Inc | Utilities | 35 | 30,015 | 0.19 | ||||||||||
Topcon Corp | Information Technology | 23 | 29,985 | 0.19 | ||||||||||
Itochu Techno-Solutions Corp | Information Technology | 8 | 29,062 | 0.18 | ||||||||||
Kaneka Corp | Materials | 8 | 29,023 | 0.18 | ||||||||||
Ezaki Glico Co Ltd | Consumer Staples | 6 | 28,915 | 0.18 | ||||||||||
Japan Post Insurance Co Ltd | Financials | 14 | 28,880 | 0.18 | ||||||||||
Tsuruha Holdings Inc | Consumer Staples | 2 | 28,630 | 0.18 | ||||||||||
Nissin Foods Holdings Co Ltd | Consumer Staples | 3 | 28,358 | 0.18 | ||||||||||
Yoshinoya Holdings Co Ltd | Consumer Discretionary | 15 | 28,357 | 0.18 | ||||||||||
PALTAC Corp | Consumer Discretionary | 5 | 28,253 | 0.18 | ||||||||||
Sugi Holdings Co Ltd | Consumer Staples | 4 | 28,092 | 0.18 | ||||||||||
Welcia Holdings Co Ltd | Consumer Staples | 7 | 28,043 | 0.18 | ||||||||||
Alps Alpine Co Ltd | Information Technology | 21 | 28,011 | 0.18 | ||||||||||
Infomart Corp | Information Technology | 28 | 27,899 | 0.17 | ||||||||||
Mitsui Chemicals Inc | Materials | 9 | 27,625 | 0.17 | ||||||||||
Kyudenko Corp | Industrials | 8 | 27,443 | 0.17 | ||||||||||
Nichirei Corp | Consumer Staples | 9 | 27,413 | 0.17 | ||||||||||
Coca-Cola Bottlers Japan Holdings Inc | Consumer Staples | 17 | 27,388 | 0.17 | ||||||||||
Mazda Motor Corp | Consumer Discretionary | 39 | 27,036 | 0.17 | ||||||||||
Suntory Beverage & Food Ltd | Consumer Staples | 7 | 26,928 | 0.17 | ||||||||||
Chubu Electric Power Co Inc | Utilities | 22 | 26,880 | 0.17 | ||||||||||
ANA Holdings Inc | Industrials | 12 | 26,756 | 0.17 | ||||||||||
Chugoku Electric Power Co Inc/The | Utilities | 22 | 26,439 | 0.17 | ||||||||||
Oracle Corp Japan | Information Technology | 2 | 25,975 | 0.16 | ||||||||||
Seino Holdings Co Ltd | Industrials | 18 | 25,775 | 0.16 | ||||||||||
Nagoya Railroad Co Ltd | Industrials | 9 | 25,483 | 0.16 | ||||||||||
Benesse Holdings Inc | Consumer Discretionary | 13 | 25,430 | 0.16 | ||||||||||
Marui Group Co Ltd | Consumer Discretionary | 14 | 25,252 | 0.16 | ||||||||||
Morinaga Milk Industry Co Ltd | Consumer Staples | 5 | 24,918 | 0.16 | ||||||||||
Sundrug Co Ltd | Consumer Staples | 6 | 24,881 | 0.16 | ||||||||||
Sumitomo Bakelite Co Ltd | Materials | 7 | 24,739 | 0.16 | ||||||||||
Ube Industries Ltd | Materials | 13 | 24,623 | 0.15 | ||||||||||
Sanrio Co Ltd | Consumer Discretionary | 17 | 24,413 | 0.15 | ||||||||||
Toho Co Ltd/Tokyo | Communication Services | 6 | 23,974 | 0.15 | ||||||||||
Nisshin Seifun Group Inc | Consumer Staples | 14 | 23,545 | 0.15 | ||||||||||
Kintetsu Group Holdings Co Ltd | Industrials | 5 | 23,428 | 0.15 | ||||||||||
Nidec Corp | Industrials | 2 | 23,272 | 0.15 | ||||||||||
Shiseido Co Ltd | Consumer Staples | 3 | 23,112 | 0.14 | ||||||||||
ITOCHU Corp | Industrials | 8 | 22,957 | 0.14 | ||||||||||
Electric Power Development Co Ltd | Utilities | 16 | 22,924 | 0.14 |
The accompanying notes are an integral part of these financial statements. | 45 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments (continued)
December 31, 2020
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Osaka Gas Co Ltd | Utilities | 11 | $ | 22,571 | 0.14 | % | ||||||||
Ship Healthcare Holdings Inc | Health Care | 4 | 22,533 | 0.14 | ||||||||||
Japan Airport Terminal Co Ltd | Industrials | 4 | 22,393 | 0.14 | ||||||||||
Central Japan Railway Co | Industrials | 2 | 22,232 | 0.14 | ||||||||||
Keihan Holdings Co Ltd | Industrials | 4 | 22,038 | 0.14 | ||||||||||
Ain Holdings Inc | Consumer Staples | 3 | 21,971 | 0.14 | ||||||||||
Sankyo Co Ltd | Consumer Discretionary | 8 | 21,967 | 0.14 | ||||||||||
Kinden Corp | Industrials | 13 | 21,939 | 0.14 | ||||||||||
Menicon Co Ltd | Health Care | 4 | 21,906 | 0.14 | ||||||||||
House Foods Group Inc | Consumer Staples | 6 | 21,823 | 0.14 | ||||||||||
Kyushu Electric Power Co Inc | Utilities | 25 | 21,819 | 0.14 | ||||||||||
Shionogi & Co Ltd | Health Care | 4 | 21,541 | 0.14 | ||||||||||
ABC-Mart Inc | Consumer Discretionary | 4 | 21,427 | 0.13 | ||||||||||
JFE Holdings Inc | Materials | 22 | 21,364 | 0.13 | ||||||||||
Kuraray Co Ltd | Materials | 19 | 21,048 | 0.13 | ||||||||||
East Japan Railway Co | Industrials | 3 | 20,810 | 0.13 | ||||||||||
PeptiDream Inc | Health Care | 4 | 20,778 | 0.13 | ||||||||||
Autobacs Seven Co Ltd | Consumer Discretionary | 14 | 20,521 | 0.13 | ||||||||||
Keio Corp | Industrials | 3 | 20,286 | 0.13 | ||||||||||
Daido Steel Co Ltd | Materials | 5 | 20,154 | 0.13 | ||||||||||
Horiba Ltd | Information Technology | 3 | 19,941 | 0.12 | ||||||||||
Aica Kogyo Co Ltd | Industrials | 5 | 18,866 | �� | 0.12 | |||||||||
Morinaga & Co Ltd/Japan | Consumer Staples | 5 | 18,838 | 0.12 | ||||||||||
NET One Systems Co Ltd | Information Technology | 5 | 18,224 | 0.11 | ||||||||||
Shin-Etsu Chemical Co Ltd | Materials | 1 | 18,202 | 0.11 | ||||||||||
Murata Manufacturing Co Ltd | Information Technology | 2 | 18,163 | 0.11 | ||||||||||
Odakyu Electric Railway Co Ltd | Industrials | 6 | 18,090 | 0.11 | ||||||||||
Rengo Co Ltd | Materials | 20 | 17,628 | 0.11 | ||||||||||
Ariake Japan Co Ltd | Consumer Staples | 2 | 17,625 | 0.11 | ||||||||||
Lintec Corp | Materials | 8 | 17,470 | 0.11 | ||||||||||
Daifuku Co Ltd | Industrials | 1 | 17,454 | 0.11 | ||||||||||
Kyowa Exeo Corp | Industrials | 6 | 17,450 | 0.11 | ||||||||||
Maruha Nichiro Corp | Consumer Staples | 8 | 17,413 | 0.11 | ||||||||||
Konica Minolta Inc | Information Technology | 43 | 17,110 | 0.11 | ||||||||||
Justsystems Corp | Information Technology | 2 | 16,979 | 0.11 | ||||||||||
Daito Trust Construction Co Ltd | Real Estate | 2 | 16,972 | 0.11 | ||||||||||
Lasertec Corp | Information Technology | 1 | 16,885 | 0.11 | ||||||||||
Shimizu Corp | Industrials | 22 | 16,776 | 0.11 | ||||||||||
Yamato Holdings Co Ltd | Industrials | 6 | 16,717 | 0.10 | ||||||||||
Nihon M&A Center Inc | Industrials | 2 | 16,532 | 0.10 | ||||||||||
Wacoal Holdings Corp | Consumer Discretionary | 8 | 15,963 | 0.10 | ||||||||||
Pigeon Corp | Consumer Staples | 4 | 15,777 | 0.10 | ||||||||||
Goldwin Inc | Consumer Discretionary | 2 | 15,776 | 0.10 | ||||||||||
Hamamatsu Photonics KK | Information Technology | 3 | 15,750 | 0.10 | ||||||||||
Milbon Co Ltd | Consumer Staples | 2 | 15,365 | 0.10 | ||||||||||
Tobu Railway Co Ltd | Industrials | 5 | 15,305 | 0.10 | ||||||||||
DeNA Co Ltd | Communication Services | 8 | 14,920 | 0.09 | ||||||||||
Nagase & Co Ltd | Industrials | 10 | 14,657 | 0.09 | ||||||||||
COMSYS Holdings Corp | Industrials | 5 | 14,632 | 0.09 | ||||||||||
Furukawa Electric Co Ltd | Industrials | 5 | 14,485 | 0.09 | ||||||||||
Toho Holdings Co Ltd | Health Care | 8 | 14,037 | 0.09 | ||||||||||
Ono Pharmaceutical Co Ltd | Health Care | 4 | 13,696 | 0.09 | ||||||||||
Megmilk Snow Brand Co Ltd | Consumer Staples | 6 | 13,676 | 0.09 | ||||||||||
AEON Financial Service Co Ltd | Financials | 11 | 13,642 | 0.09 | ||||||||||
Toyobo Co Ltd | Materials | 9 | 12,901 | 0.08 | ||||||||||
Fujitec Co Ltd | Industrials | 6 | 12,866 | 0.08 | ||||||||||
Sawai Pharmaceutical Co Ltd | Health Care | 3 | 12,679 | 0.08 | ||||||||||
Suzuken Co Ltd/Aichi Japan | Health Care | 3 | 12,103 | 0.08 | ||||||||||
Ibiden Co Ltd | Information Technology | 3 | 12,089 | 0.08 |
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 | ||||||||||
Duskin Co Ltd | Industrials | 4 | $ | 11,929 | 0.07 | % | ||||||||
Tokyo Ohka Kogyo Co Ltd | Materials | 2 | 11,890 | 0.07 | ||||||||||
Nippon Television Holdings Inc | Communication Services | 10 | 11,758 | 0.07 | ||||||||||
Nippon Paper Industries Co Ltd | Materials | 10 | 11,612 | 0.07 | ||||||||||
Tokyo Electron Ltd | Information Technology | 0 | 11,578 | 0.07 | ||||||||||
Kansai Electric Power Co Inc/The | Utilities | 12 | 11,480 | 0.07 | ||||||||||
Santen Pharmaceutical Co Ltd | Health Care | 7 | 11,379 | 0.07 | ||||||||||
Taiheiyo Cement Corp | Materials | 4 | 11,091 | 0.07 | ||||||||||
Sankyu Inc | Industrials | 3 | 10,908 | 0.07 | ||||||||||
Sohgo Security Services Co Ltd | Industrials | 2 | 10,883 | 0.07 | ||||||||||
Nippon Shinyaku Co Ltd | Health Care | 2 | 10,734 | 0.07 | ||||||||||
SMS Co Ltd | Industrials | 3 | 10,545 | 0.07 | ||||||||||
Sotetsu Holdings Inc | Industrials | 4 | 10,483 | 0.07 | ||||||||||
Tsumura & Co | Health Care | 3 | 10,464 | 0.07 | ||||||||||
SMC Corp | Industrials | 0 | 10,370 | 0.06 | ||||||||||
SHO-BOND Holdings Co Ltd | Industrials | 2 | 10,324 | 0.06 | ||||||||||
Kamigumi Co Ltd | Industrials | 5 | 10,037 | 0.06 | ||||||||||
Sumitomo Osaka Cement Co Ltd | Materials | 3 | 10,026 | 0.06 | ||||||||||
Tokyu Corp | Industrials | 8 | 10,023 | 0.06 | ||||||||||
Kaken Pharmaceutical Co Ltd | Health Care | 2 | 9,935 | 0.06 | ||||||||||
Hitachi Ltd | Information Technology | 2 | 9,931 | 0.06 | ||||||||||
SoftBank Corp | Communication Services | 8 | 9,781 | 0.06 | ||||||||||
Hokuriku Electric Power Co | Utilities | 14 | 9,597 | 0.06 | ||||||||||
Mitsubishi Corp | Industrials | 4 | 9,411 | 0.06 | ||||||||||
Miura Co Ltd | Industrials | 2 | 9,353 | 0.06 | ||||||||||
Rakuten Inc | Consumer Discretionary | 9 | 9,278 | 0.06 | ||||||||||
Maruichi Steel Tube Ltd | Materials | 4 | 9,040 | 0.06 | ||||||||||
Hankyu Hanshin Holdings Inc | Industrials | 3 | 9,010 | 0.06 | ||||||||||
Toyo Seikan Group Holdings Ltd | Materials | 8 | 8,850 | 0.06 | ||||||||||
TIS Inc | Information Technology | 4 | 8,740 | 0.05 | ||||||||||
Sega Sammy Holdings Inc | Consumer Discretionary | 5 | 8,713 | 0.05 | ||||||||||
GMO internet Inc | Information Technology | 3 | 8,654 | 0.05 | ||||||||||
Dentsu Group Inc | Communication Services | 3 | 8,588 | 0.05 | ||||||||||
Nishi-Nippon Railroad Co Ltd | Industrials | 3 | 8,536 | 0.05 | ||||||||||
Shikoku Electric Power Co Inc | Utilities | 12 | 8,398 | 0.05 | ||||||||||
ADEKA Corp | Materials | 5 | 8,238 | 0.05 | ||||||||||
Kubota Corp | Industrials | 4 | 8,208 | 0.05 | ||||||||||
Mitsui & Co Ltd | Industrials | 4 | 8,115 | 0.05 | ||||||||||
GungHo Online Entertainment Inc | Communication Services | 4 | 8,113 | 0.05 | ||||||||||
Tokuyama Corp | Materials | 3 | 8,060 | 0.05 | ||||||||||
Sekisui House Ltd | Consumer Discretionary | 4 | 7,830 | 0.05 | ||||||||||
Kokuyo Co Ltd | Industrials | 6 | 7,818 | 0.05 | ||||||||||
Mizuho Financial Group Inc | Financials | 6 | 7,773 | 0.05 | ||||||||||
Keikyu Corp | Industrials | 4 | 7,571 | 0.05 | ||||||||||
Aozora Bank Ltd | Financials | 4 | 7,512 | 0.05 | ||||||||||
Hokkaido Electric Power Co Inc | Utilities | 20 | 7,478 | 0.05 | ||||||||||
Marubeni Corp | Industrials | 10 | 7,037 | 0.04 | ||||||||||
Sangetsu Corp | Consumer Discretionary | 4 | 6,928 | 0.04 | ||||||||||
Sumitomo Corp | Industrials | 5 | 6,921 | 0.04 | ||||||||||
Kawasaki Heavy Industries Ltd | Industrials | 3 | 6,853 | 0.04 | ||||||||||
TV Asahi Holdings Corp | Communication Services | 4 | 6,672 | 0.04 | ||||||||||
Nankai Electric Railway Co Ltd | Industrials | 2 | 6,419 | 0.04 | ||||||||||
Japan Post Holdings Co Ltd | Financials | 8 | 6,344 | 0.04 | ||||||||||
Otsuka Holdings Co Ltd | Health Care | 1 | 6,050 | 0.04 | ||||||||||
Asahi Group Holdings Ltd | Consumer Staples | 1 | 5,799 | 0.04 | ||||||||||
Toyo Tire Corp | Consumer Discretionary | 4 | 5,796 | 0.04 | ||||||||||
Toyota Tsusho Corp | Industrials | 1 | 5,709 | 0.04 | ||||||||||
Kyowa Kirin Co Ltd | Health Care | 2 | 5,674 | 0.04 | ||||||||||
Hirose Electric Co Ltd | Information Technology | 0 | 5,662 | 0.04 |
The accompanying notes are an integral part of these financial statements. | 47 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments (continued)
December 31, 2020
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Medipal Holdings Corp | Health Care | 3 | $ | 5,524 | 0.03 | % | ||||||||
Taiyo Yuden Co Ltd | Information Technology | 1 | 5,412 | 0.03 | ||||||||||
Nomura Holdings Inc | Financials | 10 | 5,376 | 0.03 | ||||||||||
Kajima Corp | Industrials | 4 | 5,045 | 0.03 | ||||||||||
ORIX Corp | Financials | 3 | 5,020 | 0.03 | ||||||||||
Alfresa Holdings Corp | Health Care | 2 | 4,571 | 0.03 | ||||||||||
Maeda Corp | Industrials | 5 | 4,510 | 0.03 | ||||||||||
Taisho Pharmaceutical Holdings Co Ltd | Health Care | 1 | 4,375 | 0.03 | ||||||||||
Sojitz Corp | Industrials | 19 | 4,347 | 0.03 | ||||||||||
TS Tech Co Ltd | Consumer Discretionary | 1 | 4,335 | 0.03 | ||||||||||
TBS Holdings Inc | Communication Services | 2 | 4,299 | 0.03 | ||||||||||
Mitsubishi UFJ Lease & Finance Co Ltd | Financials | 9 | 4,271 | 0.03 | ||||||||||
Obayashi Corp | Industrials | 5 | 4,181 | 0.03 | ||||||||||
Toyota Industries Corp | Consumer Discretionary | 0 | 4,023 | 0.03 | ||||||||||
Sumitomo Dainippon Pharma Co Ltd | Health Care | 3 | 3,990 | 0.03 | ||||||||||
Nishimatsu Construction Co Ltd | Industrials | 2 | 3,896 | 0.02 | ||||||||||
Hokuhoku Financial Group Inc | Financials | 4 | 3,856 | 0.02 | ||||||||||
Sushiro Global Holdings Ltd | Consumer Discretionary | 1 | 3,840 | 0.02 | ||||||||||
JCR Pharmaceuticals Co Ltd | Health Care | 2 | 3,824 | 0.02 | ||||||||||
Taisei Corp | Industrials | 1 | 3,770 | 0.02 | ||||||||||
J Front Retailing Co Ltd | Consumer Discretionary | 5 | 3,722 | 0.02 | ||||||||||
Sapporo Holdings Ltd | Consumer Staples | 2 | 3,458 | 0.02 | ||||||||||
Nishi-Nippon Financial Holdings Inc | Financials | 5 | 3,397 | 0.02 | ||||||||||
Mitsubishi Chemical Holdings Corp | Materials | 5 | 3,211 | 0.02 | ||||||||||
Sumitomo Chemical Co Ltd | Materials | 7 | 3,105 | 0.02 | ||||||||||
Credit Saison Co Ltd | Financials | 3 | 3,060 | 0.02 | ||||||||||
Kyocera Corp | Information Technology | 0 | 2,996 | 0.02 | ||||||||||
Gunma Bank Ltd/The | Financials | 9 | 2,984 | 0.02 | ||||||||||
Central Glass Co Ltd | Industrials | 1 | 2,976 | 0.02 | ||||||||||
Mebuki Financial Group Inc | Financials | 13 | 2,728 | 0.02 | ||||||||||
Rohto Pharmaceutical Co Ltd | Consumer Staples | 1 | 2,696 | 0.02 | ||||||||||
Persol Holdings Co Ltd | Industrials | 1 | 2,603 | 0.02 | ||||||||||
Tokai Rika Co Ltd | Consumer Discretionary | 1 | 2,510 | 0.02 | ||||||||||
NGK Spark Plug Co Ltd | Consumer Discretionary | 1 | 2,370 | 0.01 | ||||||||||
Takashimaya Co Ltd | Consumer Discretionary | 3 | 2,234 | 0.01 | ||||||||||
Toda Corp | Industrials | 3 | 2,159 | 0.01 | ||||||||||
Sumitomo Metal Mining Co Ltd | Materials | 0 | 2,115 | 0.01 | ||||||||||
H.U. Group Holdings Inc | Health Care | 1 | 2,040 | 0.01 | ||||||||||
77 Bank Ltd/The | Financials | 1 | 2,036 | 0.01 | ||||||||||
Nissan Chemical Corp | Materials | 0 | 1,881 | 0.01 | ||||||||||
Glory Ltd | Industrials | 1 | 1,843 | 0.01 | ||||||||||
Nippon Yusen KK | Industrials | 1 | 1,805 | 0.01 | ||||||||||
Mitsubishi Heavy Industries Ltd | Industrials | 1 | 1,782 | 0.01 | ||||||||||
MINEBEA MITSUMI Inc | Industrials | 1 | 1,726 | 0.01 | ||||||||||
Yokogawa Electric Corp | Information Technology | 1 | 1,607 | 0.01 | ||||||||||
Fuji Electric Co Ltd | Industrials | 0 | 1,579 | 0.01 | ||||||||||
Dowa Holdings Co Ltd | Materials | 0 | 1,527 | 0.01 | ||||||||||
Dai Nippon Printing Co Ltd | Industrials | 1 | 1,460 | 0.01 | ||||||||||
Fuji Media Holdings Inc | Communication Services | 1 | 1,425 | 0.01 | ||||||||||
Shinsei Bank Ltd | Financials | 1 | 1,410 | 0.01 | ||||||||||
Yamato Kogyo Co Ltd | Materials | 1 | 1,394 | 0.01 | ||||||||||
Daiichikosho Co Ltd | Communication Services | 0 | 1,342 | 0.01 | ||||||||||
Mochida Pharmaceutical Co Ltd | Health Care | 0 | 1,333 | 0.01 | ||||||||||
Yamaguchi Financial Group Inc | Financials | 2 | 1,310 | 0.01 | ||||||||||
Toppan Printing Co Ltd | Industrials | 1 | 1,295 | 0.01 | ||||||||||
Pilot Corp | Industrials | 0 | 1,231 | 0.01 | ||||||||||
SUMCO Corp | Information Technology | 1 | 1,198 | 0.01 | ||||||||||
Hirogin Holdings Inc | Financials | 2 | 1,047 | 0.01 | ||||||||||
Nippon Electric Glass Co Ltd | Information Technology | 0 | 995 | 0.01 |
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 | ||||||||||
Teijin Ltd | Materials | 1 | $ | 993 | 0.01 | % | ||||||||
Nippon Sanso Holdings Corp | Materials | 1 | 958 | 0.01 | ||||||||||
Sumitomo Heavy Industries Ltd | Industrials | 0 | 858 | 0.01 | ||||||||||
SCSK Corp | Information Technology | 0 | 790 | 0.00 | ||||||||||
Hachijuni Bank Ltd/The | Financials | 2 | 787 | 0.00 | ||||||||||
Iyo Bank Ltd/The | Financials | 1 | 672 | 0.00 | ||||||||||
Japan Steel Works Ltd/The | Industrials | 0 | 611 | 0.00 | ||||||||||
Nippon Kayaku Co Ltd | Materials | 0 | 420 | 0.00 | ||||||||||
Nikkon Holdings Co Ltd | Industrials | 0 | 410 | 0.00 | ||||||||||
Shiga Bank Ltd/The | Financials | 0 | 314 | 0.00 |
A basket (MLGSFDUS) of common stocks
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Apple Inc | Information Technology | 6,971 | $ | 925,022 | 4.91 | % | ||||||||
Microsoft Corp | Information Technology | 2,709 | 602,630 | 3.20 | ||||||||||
Amazon.com Inc | Consumer Discretionary | 184 | 598,384 | 3.18 | ||||||||||
Facebook Inc | Communication Services | 1,569 | 428,612 | 2.28 | ||||||||||
Johnson & Johnson | Health Care | 2,050 | 322,589 | 1.71 | ||||||||||
Berkshire Hathaway Inc | Financials | 951 | 220,425 | 1.17 | ||||||||||
JPMorgan Chase & Co | Financials | 1,648 | 209,403 | 1.11 | ||||||||||
Alphabet Inc | Communication Services | 115 | 200,937 | 1.07 | ||||||||||
Costco Wholesale Corp | Consumer Staples | 506 | 190,504 | 1.01 | ||||||||||
Home Depot Inc/The | Consumer Discretionary | 705 | 187,136 | 0.99 | ||||||||||
UnitedHealth Group Inc | Health Care | 510 | 179,019 | 0.95 | ||||||||||
Walt Disney Co/The | Communication Services | 965 | 174,825 | 0.93 | ||||||||||
Texas Instruments Inc | Information Technology | 1,059 | 173,837 | 0.92 | ||||||||||
Procter & Gamble Co/The | Consumer Staples | 1,248 | 173,637 | 0.92 | ||||||||||
VeriSign Inc | Information Technology | 797 | 172,495 | 0.92 | ||||||||||
Verizon Communications Inc | Communication Services | 2,779 | 163,279 | 0.87 | ||||||||||
Comcast Corp | Communication Services | 3,115 | 163,209 | 0.87 | ||||||||||
F5 Networks Inc | Information Technology | 916 | 161,115 | 0.86 | ||||||||||
Electronic Arts Inc | Communication Services | 1,046 | 150,249 | 0.80 | ||||||||||
Oracle Corp | Information Technology | 2,306 | 149,197 | 0.79 | ||||||||||
Take-Two Interactive Software Inc | Communication Services | 714 | 148,423 | 0.79 | ||||||||||
Progressive Corp/The | Financials | 1,471 | 145,406 | 0.77 | ||||||||||
Netflix Inc | Communication Services | 263 | 142,273 | 0.76 | ||||||||||
NortonLifeLock Inc | Information Technology | 6,738 | 140,012 | 0.74 | ||||||||||
T-Mobile US Inc | Communication Services | 1,017 | 137,192 | 0.73 | ||||||||||
Pfizer Inc | Health Care | 3,669 | 135,066 | 0.72 | ||||||||||
Zebra Technologies Corp | Information Technology | 347 | 133,231 | 0.71 | ||||||||||
Visa Inc | Information Technology | 607 | 132,663 | 0.70 | ||||||||||
Equinix Inc | Real Estate | 185 | 132,118 | 0.70 | ||||||||||
Motorola Solutions Inc | Information Technology | 763 | 129,745 | 0.69 | ||||||||||
Merck & Co Inc | Health Care | 1,562 | 127,745 | 0.68 | ||||||||||
Walmart Inc | Consumer Staples | 852 | 122,802 | 0.65 | ||||||||||
Moody’s Corp | Financials | 404 | 117,199 | 0.62 | ||||||||||
Philip Morris International Inc | Consumer Staples | 1,414 | 117,030 | 0.62 | ||||||||||
Mastercard Inc | Information Technology | 328 | 116,958 | 0.62 | ||||||||||
Lowe’s Cos Inc | Consumer Discretionary | 710 | 114,012 | 0.61 | ||||||||||
Danaher Corp | Health Care | 507 | 112,637 | 0.60 | ||||||||||
NextEra Energy Inc | Utilities | 1,450 | 111,834 | 0.59 | ||||||||||
Illumina Inc | Health Care | 297 | 109,730 | 0.58 | ||||||||||
Newmont Corp | Materials | 1,789 | 107,131 | 0.57 | ||||||||||
Hologic Inc | Health Care | 1,437 | 104,649 | 0.56 | ||||||||||
Bristol-Myers Squibb Co | Health Care | 1,677 | 104,027 | 0.55 | ||||||||||
Liberty Broadband Corp | Communication Services | 652 | 103,242 | 0.55 | ||||||||||
Eli Lilly and Co | Health Care | 589 | 99,381 | 0.53 | ||||||||||
Kroger Co/The | Consumer Staples | 3,090 | 98,135 | 0.52 | ||||||||||
McDonald’s Corp | Consumer Discretionary | 455 | 97,629 | 0.52 |
The accompanying notes are an integral part of these financial statements. | 49 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments (continued)
December 31, 2020
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Linde PLC | Materials | 367 | $ | 96,589 | 0.51 | % | ||||||||
Intuit Inc | Information Technology | 251 | 95,204 | 0.51 | ||||||||||
Thermo Fisher Scientific Inc | Health Care | 204 | 94,841 | 0.50 | ||||||||||
Copart Inc | Industrials | 745 | 94,782 | 0.50 | ||||||||||
General Motors Co | Consumer Discretionary | 2,218 | 92,377 | 0.49 | ||||||||||
Domino’s Pizza Inc | Consumer Discretionary | 235 | 90,214 | 0.48 | ||||||||||
Hershey Co/The | Consumer Staples | 582 | 88,616 | 0.47 | ||||||||||
Capital One Financial Corp | Financials | 882 | 87,160 | 0.46 | ||||||||||
Synchrony Financial | Financials | 2,494 | 86,550 | 0.46 | ||||||||||
Peloton Interactive Inc | Consumer Discretionary | 560 | 84,969 | 0.45 | ||||||||||
Crown Holdings Inc | Materials | 839 | 84,020 | 0.45 | ||||||||||
Accenture PLC | Information Technology | 321 | 83,890 | 0.45 | ||||||||||
Mettler-Toledo International Inc | Health Care | 72 | 82,437 | 0.44 | ||||||||||
Cisco Systems Inc | Information Technology | 1,787 | 79,976 | 0.42 | ||||||||||
Public Storage | Real Estate | 344 | 79,511 | 0.42 | ||||||||||
Sherwin-Williams Co/The | Materials | 108 | 79,206 | 0.42 | ||||||||||
Adobe Inc | Information Technology | 156 | 77,867 | 0.41 | ||||||||||
TransDigm Group Inc | Industrials | 125 | 77,664 | 0.41 | ||||||||||
General Mills Inc | Consumer Staples | 1,308 | 76,898 | 0.41 | ||||||||||
Celanese Corp | Materials | 590 | 76,625 | 0.41 | ||||||||||
ABIOMED Inc | Health Care | 233 | 75,393 | 0.40 | ||||||||||
FedEx Corp | Industrials | 290 | 75,351 | 0.40 | ||||||||||
United Parcel Service Inc | Industrials | 435 | 73,268 | 0.39 | ||||||||||
FirstEnergy Corp | Utilities | 2,354 | 72,058 | 0.38 | ||||||||||
American Tower Corp | Real Estate | 321 | 71,966 | 0.38 | ||||||||||
Target Corp | Consumer Discretionary | 401 | 70,868 | 0.38 | ||||||||||
PepsiCo Inc | Consumer Staples | 476 | 70,584 | 0.37 | ||||||||||
Crown Castle International Corp | Real Estate | 438 | 69,693 | 0.37 | ||||||||||
Cognizant Technology Solutions Corp | Information Technology | 843 | 69,087 | 0.37 | ||||||||||
Union Pacific Corp | Industrials | 329 | 68,491 | 0.36 | ||||||||||
eBay Inc | Consumer Discretionary | 1,354 | 68,015 | 0.36 | ||||||||||
Gartner Inc | Information Technology | 421 | 67,466 | 0.36 | ||||||||||
Discovery Inc | Communication Services | 2,200 | 66,188 | 0.35 | ||||||||||
Marsh & McLennan Cos Inc | Financials | 560 | 65,546 | 0.35 | ||||||||||
Waters Corp | Health Care | 264 | 65,233 | 0.35 | ||||||||||
Discovery Inc | Communication Services | 2,460 | 64,424 | 0.34 | ||||||||||
Republic Services Inc | Industrials | 668 | 64,328 | 0.34 | ||||||||||
Campbell Soup Co | Consumer Staples | 1,329 | 64,246 | 0.34 | ||||||||||
Synopsys Inc | Information Technology | 245 | 63,474 | 0.34 | ||||||||||
Dollar General Corp | Consumer Discretionary | 301 | 63,281 | 0.34 | ||||||||||
MarketAxess Holdings Inc | Financials | 110 | 62,731 | 0.33 | ||||||||||
Edwards Lifesciences Corp | Health Care | 686 | 62,575 | 0.33 | ||||||||||
Activision Blizzard Inc | Communication Services | 672 | 62,359 | 0.33 | ||||||||||
McKesson Corp | Health Care | 356 | 61,895 | 0.33 | ||||||||||
Fidelity National Information Services I | Information Technology | 436 | 61,624 | 0.33 | ||||||||||
Clorox Co/The | Consumer Staples | 305 | 61,562 | 0.33 | ||||||||||
McCormick & Co Inc/MD | Consumer Staples | 635 | 60,680 | 0.32 | ||||||||||
Dollar Tree Inc | Consumer Discretionary | 557 | 60,155 | 0.32 | ||||||||||
Intel Corp | Information Technology | 1,196 | 59,568 | 0.32 | ||||||||||
Air Products and Chemicals Inc | Materials | 216 | 59,091 | 0.31 | ||||||||||
SBA Communications Corp | Real Estate | 209 | 58,926 | 0.31 | ||||||||||
AES Corp/The | Utilities | 2,476 | 58,185 | 0.31 | ||||||||||
Fiserv Inc | Information Technology | 509 | 57,898 | 0.31 | ||||||||||
Aon PLC | Financials | 273 | 57,689 | 0.31 | ||||||||||
Dell Technologies Inc | Information Technology | 785 | 57,546 | 0.31 | ||||||||||
Gilead Sciences Inc | Health Care | 982 | 57,238 | 0.30 | ||||||||||
S&P Global Inc | Financials | 173 | 56,770 | 0.30 | ||||||||||
Regeneron Pharmaceuticals Inc | Health Care | 117 | 56,611 | 0.30 | ||||||||||
Sun Communities Inc | Real Estate | 368 | 55,889 | 0.30 |
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 | ||||||||||
Colgate-Palmolive Co | Consumer Staples | 650 | $ | 55,590 | 0.30 | % | ||||||||
Interactive Brokers Group Inc | Financials | 899 | 54,740 | 0.29 | ||||||||||
Broadcom Inc | Information Technology | 125 | 54,712 | 0.29 | ||||||||||
Chipotle Mexican Grill Inc | Consumer Discretionary | 39 | 54,666 | 0.29 | ||||||||||
Vertex Pharmaceuticals Inc | Health Care | 229 | 54,021 | 0.29 | ||||||||||
IQVIA Holdings Inc | Health Care | 300 | 53,784 | 0.29 | ||||||||||
Church & Dwight Co Inc | Consumer Staples | 604 | 52,701 | 0.28 | ||||||||||
Henry Schein Inc | Health Care | 782 | 52,255 | 0.28 | ||||||||||
Freeport-McMoRan Inc | Materials | 2,004 | 52,149 | 0.28 | ||||||||||
Coca-Cola Co/The | Consumer Staples | 933 | 51,191 | 0.27 | ||||||||||
CME Group Inc | Financials | 279 | 50,797 | 0.27 | ||||||||||
Equitable Holdings Inc | Financials | 1,981 | 50,690 | 0.27 | ||||||||||
DuPont de Nemours Inc | Materials | 706 | 50,176 | 0.27 | ||||||||||
AT&T Inc | Communication Services | 1,734 | 49,881 | 0.26 | ||||||||||
CMS Energy Corp | Utilities | 817 | 49,868 | 0.26 | ||||||||||
Amgen Inc | Health Care | 215 | 49,477 | 0.26 | ||||||||||
CH Robinson Worldwide Inc | Industrials | 525 | 49,312 | 0.26 | ||||||||||
Cboe Global Markets Inc | Financials | 525 | 48,884 | 0.26 | ||||||||||
Becton Dickinson and Co | Health Care | 192 | 47,918 | 0.25 | ||||||||||
HCA Healthcare Inc | Health Care | 291 | 47,911 | 0.25 | ||||||||||
Ball Corp | Materials | 508 | 47,332 | 0.25 | ||||||||||
Allstate Corp/The | Financials | 424 | 46,616 | 0.25 | ||||||||||
New York Times Co/The | Communication Services | 900 | 46,593 | 0.25 | ||||||||||
DENTSPLY SIRONA Inc | Health Care | 875 | 45,799 | 0.24 | ||||||||||
J M Smucker Co/The | Consumer Staples | 395 | 45,634 | 0.24 | ||||||||||
Hormel Foods Corp | Consumer Staples | 978 | 45,599 | 0.24 | ||||||||||
Consolidated Edison Inc | Utilities | 624 | 45,114 | 0.24 | ||||||||||
3M Co | Industrials | 258 | 45,073 | 0.24 | ||||||||||
Dominion Energy Inc | Utilities | 599 | 45,052 | 0.24 | ||||||||||
HP Inc | Information Technology | 1,831 | 45,036 | 0.24 | ||||||||||
Darden Restaurants Inc | Consumer Discretionary | 373 | 44,482 | 0.24 | ||||||||||
Agilent Technologies Inc | Health Care | 375 | 44,397 | 0.24 | ||||||||||
Exelon Corp | Utilities | 1,050 | 44,320 | 0.24 | ||||||||||
Duke Energy Corp | Utilities | 482 | 44,141 | 0.23 | ||||||||||
WEC Energy Group Inc | Utilities | 478 | 44,018 | 0.23 | ||||||||||
Yum! Brands Inc | Consumer Discretionary | 401 | 43,581 | 0.23 | ||||||||||
Kimberly-Clark Corp | Consumer Staples | 320 | 43,131 | 0.23 | ||||||||||
Xcel Energy Inc | Utilities | 633 | 42,172 | 0.22 | ||||||||||
AGNC Investment Corp | Financials | 2,684 | 41,872 | 0.22 | ||||||||||
SVB Financial Group | Financials | 106 | 41,238 | 0.22 | ||||||||||
Southern Co/The | Utilities | 667 | 40,979 | 0.22 | ||||||||||
Citizens Financial Group Inc | Financials | 1,144 | 40,895 | 0.22 | ||||||||||
Exact Sciences Corp | Health Care | 306 | 40,514 | 0.22 | ||||||||||
Ameren Corp | Utilities | 512 | 39,962 | 0.21 | ||||||||||
Intercontinental Exchange Inc | Financials | 346 | 39,841 | 0.21 | ||||||||||
Tractor Supply Co | Consumer Discretionary | 283 | 39,759 | 0.21 | ||||||||||
PPL Corp | Utilities | 1,407 | 39,679 | 0.21 | ||||||||||
CoStar Group Inc | Industrials | 42 | 39,278 | 0.21 | ||||||||||
Liberty Broadband Corp | Communication Services | 249 | 39,267 | 0.21 | ||||||||||
Baxter International Inc | Health Care | 487 | 39,061 | 0.21 | ||||||||||
Ralph Lauren Corp | Consumer Discretionary | 374 | 38,776 | 0.21 | ||||||||||
Hartford Financial Services Group Inc/Th | Financials | 789 | 38,662 | 0.21 | ||||||||||
Herbalife Nutrition Ltd | Consumer Staples | 795 | 38,214 | 0.20 | ||||||||||
News Corp | Communication Services | 2,121 | 38,117 | 0.20 | ||||||||||
Carrier Global Corp | Industrials | 1,002 | 37,809 | 0.20 | ||||||||||
Sysco Corp | Consumer Staples | 509 | 37,761 | 0.20 | ||||||||||
Pegasystems Inc | Information Technology | 274 | 36,532 | 0.19 | ||||||||||
Kellogg Co | Consumer Staples | 584 | 36,370 | 0.19 | ||||||||||
DTE Energy Co | Utilities | 298 | 36,204 | 0.19 |
The accompanying notes are an integral part of these financial statements. | 51 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments (continued)
December 31, 2020
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Old Dominion Freight Line Inc | Industrials | 184 | $ | 35,824 | 0.19 | % | ||||||||
Otis Worldwide Corp | Industrials | 527 | 35,583 | 0.19 | ||||||||||
NiSource Inc | Utilities | 1,549 | 35,543 | 0.19 | ||||||||||
Insulet Corp | Health Care | 138 | 35,178 | 0.19 | ||||||||||
Cooper Cos Inc/The | Health Care | 95 | 34,690 | 0.18 | ||||||||||
Entergy Corp | Utilities | 346 | 34,538 | 0.18 | ||||||||||
Arthur J Gallagher & Co | Financials | 279 | 34,496 | 0.18 | ||||||||||
Digital Realty Trust Inc | Real Estate | 246 | 34,310 | 0.18 | ||||||||||
Chevron Corp | Energy | 406 | 34,300 | 0.18 | ||||||||||
OneMain Holdings Inc | Financials | 710 | 34,217 | 0.18 | ||||||||||
Mondelez International Inc | Consumer Staples | 583 | 34,099 | 0.18 | ||||||||||
Honeywell International Inc | Industrials | 158 | 33,655 | 0.18 | ||||||||||
T Rowe Price Group Inc | Financials | 220 | 33,235 | 0.18 | ||||||||||
Eversource Energy | Utilities | 383 | 33,165 | 0.18 | ||||||||||
Deere & Co | Industrials | 123 | 33,133 | 0.18 | ||||||||||
Ameriprise Financial Inc | Financials | 170 | 32,963 | 0.18 | ||||||||||
Charter Communications Inc | Communication Services | 50 | 32,898 | 0.17 | ||||||||||
Waste Management Inc | Industrials | 277 | 32,671 | 0.17 | ||||||||||
Abbott Laboratories | Health Care | 296 | 32,372 | 0.17 | ||||||||||
Cabot Oil & Gas Corp | Energy | 1,965 | 31,995 | 0.17 | ||||||||||
Atmos Energy Corp | Utilities | 335 | 31,942 | 0.17 | ||||||||||
Rollins Inc | Industrials | 815 | 31,836 | 0.17 | ||||||||||
PVH Corp | Consumer Discretionary | 339 | 31,800 | 0.17 | ||||||||||
VF Corp | Consumer Discretionary | 367 | 31,369 | 0.17 | ||||||||||
Illinois Tool Works Inc | Industrials | 153 | 31,264 | 0.17 | ||||||||||
Travelers Cos Inc/The | Financials | 222 | 31,095 | 0.17 | ||||||||||
Tyler Technologies Inc | Information Technology | 71 | 31,022 | 0.16 | ||||||||||
Aflac Inc | Financials | 691 | 30,719 | 0.16 | ||||||||||
Northern Trust Corp | Financials | 323 | 30,098 | 0.16 | ||||||||||
Keysight Technologies Inc | Information Technology | 225 | 29,762 | 0.16 | ||||||||||
Quest Diagnostics Inc | Health Care | 249 | 29,717 | 0.16 | ||||||||||
Pool Corp | Consumer Discretionary | 79 | 29,436 | 0.16 | ||||||||||
Robert Half International Inc | Industrials | 463 | 28,913 | 0.15 | ||||||||||
American Water Works Co Inc | Utilities | 185 | 28,446 | 0.15 | ||||||||||
Cerner Corp | Health Care | 358 | 28,114 | 0.15 | ||||||||||
West Pharmaceutical Services Inc | Health Care | 99 | 28,024 | 0.15 | ||||||||||
Alliant Energy Corp | Utilities | 530 | 27,303 | 0.15 | ||||||||||
Masco Corp | Industrials | 487 | 26,770 | 0.14 | ||||||||||
PayPal Holdings Inc | Information Technology | 114 | 26,724 | 0.14 | ||||||||||
NVIDIA Corp | Information Technology | 51 | 26,630 | 0.14 | ||||||||||
Dick’s Sporting Goods Inc | Consumer Discretionary | 473 | 26,611 | 0.14 | ||||||||||
American Electric Power Co Inc | Utilities | 317 | 26,427 | 0.14 | ||||||||||
Quanta Services Inc | Industrials | 365 | 26,321 | 0.14 | ||||||||||
Cincinnati Financial Corp | Financials | 299 | 26,148 | 0.14 | ||||||||||
Trimble Inc | Information Technology | 390 | 26,068 | 0.14 | ||||||||||
NRG Energy Inc | Utilities | 694 | 26,068 | 0.14 | ||||||||||
Live Nation Entertainment Inc | Communication Services | 353 | 25,951 | 0.14 | ||||||||||
Alleghany Corp | Financials | 42 | 25,545 | 0.14 | ||||||||||
Ecolab Inc | Materials | 118 | 25,510 | 0.14 | ||||||||||
American Express Co | Financials | 211 | 25,494 | 0.14 | ||||||||||
Popular Inc | Financials | 448 | 25,227 | 0.13 | ||||||||||
AmerisourceBergen Corp | Health Care | 258 | 25,227 | 0.13 | ||||||||||
Best Buy Co Inc | Consumer Discretionary | 251 | 25,065 | 0.13 | ||||||||||
Citrix Systems Inc | Information Technology | 190 | 24,773 | 0.13 | ||||||||||
PPG Industries Inc | Materials | 171 | 24,672 | 0.13 | ||||||||||
Fastenal Co | Industrials | 496 | 24,212 | 0.13 | ||||||||||
STERIS PLC | Health Care | 127 | 24,130 | 0.13 | ||||||||||
Pinnacle West Capital Corp | Utilities | 301 | 24,043 | 0.13 | ||||||||||
Jack Henry & Associates Inc | Information Technology | 147 | 23,845 | 0.13 |
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 | ||||||||||
Etsy Inc | Consumer Discretionary | 134 | $ | 23,775 | 0.13 | % | ||||||||
Camden Property Trust | Real Estate | 235 | 23,508 | 0.12 | ||||||||||
Cadence Design Systems Inc | Information Technology | 172 | 23,413 | 0.12 | ||||||||||
Emerson Electric Co | Industrials | 289 | 23,196 | 0.12 | ||||||||||
A O Smith Corp | Industrials | 415 | 22,741 | 0.12 | ||||||||||
United Rentals Inc | Industrials | 95 | 22,143 | 0.12 | ||||||||||
Verisk Analytics Inc | Industrials | 105 | 21,885 | 0.12 | ||||||||||
Capri Holdings Ltd | Consumer Discretionary | 506 | 21,266 | 0.11 | ||||||||||
Halliburton Co | Energy | 1,110 | 20,982 | 0.11 | ||||||||||
ConocoPhillips | Energy | 523 | 20,921 | 0.11 | ||||||||||
Public Service Enterprise Group Inc | Utilities | 357 | 20,832 | 0.11 | ||||||||||
XPO Logistics Inc | Industrials | 173 | 20,672 | 0.11 | ||||||||||
Everest Re Group Ltd | Financials | 86 | 20,065 | 0.11 | ||||||||||
Pentair PLC | Industrials | 377 | 20,007 | 0.11 | ||||||||||
American Financial Group Inc/OH | Financials | 228 | 19,996 | 0.11 | ||||||||||
Packaging Corp of America | Materials | 142 | 19,527 | 0.10 | ||||||||||
NOV Inc | Energy | 1,403 | 19,269 | 0.10 | ||||||||||
ICU Medical Inc | Health Care | 89 | 19,044 | 0.10 | ||||||||||
Tyson Foods Inc | Consumer Staples | 295 | 19,029 | 0.10 | ||||||||||
RenaissanceRe Holdings Ltd | Financials | 114 | 18,921 | 0.10 | ||||||||||
ServiceNow Inc | Information Technology | 34 | 18,812 | 0.10 | ||||||||||
Sterling Bancorp/DE | Financials | 1,031 | 18,546 | 0.10 | ||||||||||
Assurant Inc | Financials | 136 | 18,500 | 0.10 | ||||||||||
MSCI Inc | Financials | 41 | 18,491 | 0.10 | ||||||||||
Bio-Rad Laboratories Inc | Health Care | 31 | 18,237 | 0.10 | ||||||||||
Phillips 66 | Energy | 259 | 18,111 | 0.10 | ||||||||||
HollyFrontier Corp | Energy | 699 | 18,072 | 0.10 | ||||||||||
US Bancorp | Financials | 384 | 17,878 | 0.09 | ||||||||||
Parker-Hannifin Corp | Industrials | 63 | 17,241 | 0.09 | ||||||||||
IDEX Corp | Industrials | 83 | 16,606 | 0.09 | ||||||||||
Advanced Micro Devices Inc | Information Technology | 181 | 16,568 | 0.09 | ||||||||||
Dover Corp | Industrials | 130 | 16,415 | 0.09 | ||||||||||
Catalent Inc | Health Care | 155 | 16,147 | 0.09 | ||||||||||
Eastman Chemical Co | Materials | 161 | 16,139 | 0.09 | ||||||||||
Host Hotels & Resorts Inc | Real Estate | 1,089 | 15,934 | 0.08 | ||||||||||
Arista Networks Inc | Information Technology | 54 | 15,606 | 0.08 | ||||||||||
Chubb Ltd | Financials | 101 | 15,587 | 0.08 | ||||||||||
Conagra Brands Inc | Consumer Staples | 429 | 15,573 | 0.08 | ||||||||||
DexCom Inc | Health Care | 42 | 15,511 | 0.08 | ||||||||||
News Corp | Communication Services | 868 | 15,428 | 0.08 | ||||||||||
IDEXX Laboratories Inc | Health Care | 31 | 15,276 | 0.08 | ||||||||||
Biogen Inc | Health Care | 62 | 15,276 | 0.08 | ||||||||||
Kraft Heinz Co/The | Consumer Staples | 439 | 15,205 | 0.08 | ||||||||||
Autodesk Inc | Information Technology | 48 | 14,798 | 0.08 | ||||||||||
Iron Mountain Inc | Real Estate | 489 | 14,410 | 0.08 | ||||||||||
Nucor Corp | Materials | 270 | 14,360 | 0.08 | ||||||||||
Cummins Inc | Industrials | 62 | 14,086 | 0.07 | ||||||||||
Las Vegas Sands Corp | Consumer Discretionary | 234 | 13,957 | 0.07 | ||||||||||
AutoZone Inc | Consumer Discretionary | 12 | 13,934 | 0.07 | ||||||||||
Huntington Ingalls Industries Inc | Industrials | 80 | 13,595 | 0.07 | ||||||||||
Interpublic Group of Cos Inc/The | Communication Services | 561 | 13,202 | 0.07 | ||||||||||
Walgreens Boots Alliance Inc | Consumer Staples | 327 | 13,039 | 0.07 | ||||||||||
O’Reilly Automotive Inc | Consumer Discretionary | 28 | 12,521 | 0.07 | ||||||||||
Duke Realty Corp | Real Estate | 310 | 12,403 | 0.07 | ||||||||||
LyondellBasell Industries NV | Materials | 131 | 12,000 | 0.06 | ||||||||||
Pioneer Natural Resources Co | Energy | 103 | 11,760 | 0.06 | ||||||||||
Teledyne Technologies Inc | Industrials | 29 | 11,412 | 0.06 | ||||||||||
Fortive Corp | Industrials | 157 | 11,142 | 0.06 | ||||||||||
First Republic Bank/CA | Financials | 73 | 10,681 | 0.06 |
The accompanying notes are an integral part of these financial statements. | 53 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments (continued)
December 31, 2020
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
salesforce.com Inc | Information Technology | 47 | $ | 10,463 | 0.06 | % | ||||||||
Skyworks Solutions Inc | Information Technology | 68 | 10,422 | 0.06 | ||||||||||
Xylem Inc/NY | Industrials | 97 | 9,921 | 0.05 | ||||||||||
Zoetis Inc | Health Care | 56 | 9,308 | 0.05 | ||||||||||
QUALCOMM Inc | Information Technology | 59 | 9,036 | 0.05 | ||||||||||
PerkinElmer Inc | Health Care | 56 | 8,044 | 0.04 | ||||||||||
NIKE Inc | Consumer Discretionary | 57 | 8,033 | 0.04 | ||||||||||
CVS Health Corp | Health Care | 117 | 8,016 | 0.04 | ||||||||||
International Business Machines Corp | Information Technology | 63 | 7,990 | 0.04 | ||||||||||
Mosaic Co/The | Materials | 347 | 7,989 | 0.04 | ||||||||||
Marathon Oil Corp | Energy | 1,157 | 7,717 | 0.04 | ||||||||||
International Paper Co | Materials | 155 | 7,696 | 0.04 | ||||||||||
Bank of America Corp | Financials | 252 | 7,635 | 0.04 | ||||||||||
Citigroup Inc | Financials | 123 | 7,604 | 0.04 | ||||||||||
Avery Dennison Corp | Materials | 49 | 7,601 | 0.04 | ||||||||||
CenterPoint Energy Inc | Utilities | 345 | 7,462 | 0.04 | ||||||||||
Occidental Petroleum Corp | Energy | 430 | 7,447 | 0.04 | ||||||||||
DR Horton Inc | Consumer Discretionary | 105 | 7,216 | 0.04 | ||||||||||
Cigna Corp | Health Care | 34 | 7,153 | 0.04 | ||||||||||
Edison International | Utilities | 113 | 7,111 | 0.04 | ||||||||||
Anthem Inc | Health Care | 21 | 6,851 | 0.04 | ||||||||||
Alexandria Real Estate Equities Inc | Real Estate | 36 | 6,478 | 0.03 | ||||||||||
DXC Technology Co | Information Technology | 241 | 6,198 | 0.03 | ||||||||||
Cintas Corp | Industrials | 17 | 5,944 | 0.03 | ||||||||||
ViacomCBS Inc | Communication Services | 159 | 5,909 | 0.03 | ||||||||||
Snap-on Inc | Industrials | 34 | 5,756 | 0.03 | ||||||||||
Applied Materials Inc | Information Technology | 67 | 5,743 | 0.03 | ||||||||||
Leidos Holdings Inc | Information Technology | 54 | 5,646 | 0.03 | ||||||||||
Universal Health Services Inc | Health Care | 41 | �� | 5,570 | 0.03 | |||||||||
AbbVie Inc | Health Care | 48 | 5,135 | 0.03 | ||||||||||
MetLife Inc | Financials | 109 | 5,111 | 0.03 | ||||||||||
CenturyLink Inc | Communication Services | 513 | 5,002 | 0.03 | ||||||||||
ResMed Inc | Health Care | 23 | 4,959 | 0.03 | ||||||||||
Juniper Networks Inc | Information Technology | 219 | 4,925 | 0.03 | ||||||||||
Lincoln National Corp | Financials | 96 | 4,840 | 0.03 | ||||||||||
FLIR Systems Inc | Information Technology | 110 | 4,803 | 0.03 | ||||||||||
Molson Coors Beverage Co | Consumer Staples | 105 | 4,764 | 0.03 | ||||||||||
Morgan Stanley | Financials | 69 | 4,759 | 0.03 | ||||||||||
Qorvo Inc | Information Technology | 29 | 4,751 | 0.03 | ||||||||||
General Electric Co | Industrials | 433 | 4,681 | 0.02 | ||||||||||
Laboratory Corp of America Holdings | Health Care | 23 | 4,675 | 0.02 | ||||||||||
Unum Group | Financials | 203 | 4,663 | 0.02 | ||||||||||
Exxon Mobil Corp | Energy | 113 | 4,651 | 0.02 | ||||||||||
Hewlett Packard Enterprise Co | Information Technology | 373 | 4,423 | 0.02 | ||||||||||
Cardinal Health Inc | Health Care | 80 | 4,291 | 0.02 | ||||||||||
Perrigo Co PLC | Health Care | 95 | 4,246 | 0.02 | ||||||||||
NetApp Inc | Information Technology | 63 | 4,181 | 0.02 | ||||||||||
Extra Space Storage Inc | Real Estate | 36 | 4,148 | 0.02 | ||||||||||
Bank of New York Mellon Corp/The | Financials | 95 | 4,044 | 0.02 | ||||||||||
Fox Corp | Communication Services | 138 | 4,013 | 0.02 | ||||||||||
Devon Energy Corp | Energy | 254 | 4,011 | 0.02 | ||||||||||
Monster Beverage Corp | Consumer Staples | 43 | 3,963 | 0.02 | ||||||||||
FleetCor Technologies Inc | Information Technology | 14 | 3,947 | 0.02 | ||||||||||
Western Union Co/The | Information Technology | 180 | 3,940 | 0.02 | ||||||||||
Fox Corp | Communication Services | 135 | 3,912 | 0.02 | ||||||||||
Ford Motor Co | Consumer Discretionary | 441 | 3,875 | 0.02 | ||||||||||
CDW Corp/DE | Information Technology | 29 | 3,789 | 0.02 | ||||||||||
Principal Financial Group Inc | Financials | 75 | 3,732 | 0.02 | ||||||||||
Alexion Pharmaceuticals Inc | Health Care | 24 | 3,729 | 0.02 |
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 | ||||||||||
L Brands Inc | Consumer Discretionary | 99 | $ | 3,685 | 0.02 | % | ||||||||
Invesco Ltd | Financials | 207 | 3,606 | 0.02 | ||||||||||
Nielsen Holdings PLC | Industrials | 171 | 3,570 | 0.02 | ||||||||||
Broadridge Financial Solutions Inc | Information Technology | 22 | 3,435 | 0.02 | ||||||||||
Centene Corp | Health Care | 57 | 3,398 | 0.02 | ||||||||||
DaVita Inc | Health Care | 29 | 3,375 | 0.02 | ||||||||||
State Street Corp | Financials | 46 | 3,369 | 0.02 | ||||||||||
Western Digital Corp | Information Technology | 59 | 3,295 | 0.02 | ||||||||||
Lennar Corp | Consumer Discretionary | 43 | 3,281 | 0.02 | ||||||||||
Mohawk Industries Inc | Consumer Discretionary | 23 | 3,237 | 0.02 | ||||||||||
Johnson Controls International plc | Industrials | 69 | 3,210 | 0.02 | ||||||||||
Microchip Technology Inc | Information Technology | 22 | 3,022 | 0.02 | ||||||||||
General Dynamics Corp | Industrials | 20 | 2,987 | 0.02 | ||||||||||
PulteGroup Inc | Consumer Discretionary | 69 | 2,955 | 0.02 | ||||||||||
Westinghouse Air Brake Technologies Corp | Industrials | 40 | 2,925 | 0.02 | ||||||||||
Micron Technology Inc | Information Technology | 38 | 2,869 | 0.02 | ||||||||||
Fifth Third Bancorp | Financials | 103 | 2,827 | 0.02 | ||||||||||
Newell Brands Inc | Consumer Discretionary | 133 | 2,826 | 0.02 | ||||||||||
Corteva Inc | Materials | 72 | 2,773 | 0.01 | ||||||||||
LKQ Corp | Consumer Discretionary | 78 | 2,734 | 0.01 | ||||||||||
Seagate Technology PLC | Information Technology | 43 | 2,687 | 0.01 | ||||||||||
Hanesbrands Inc | Consumer Discretionary | 181 | 2,634 | 0.01 | ||||||||||
TE Connectivity Ltd | Information Technology | 22 | 2,627 | 0.01 | ||||||||||
Whirlpool Corp | Consumer Discretionary | 14 | 2,546 | 0.01 | ||||||||||
Advance Auto Parts Inc | Consumer Discretionary | 16 | 2,535 | 0.01 | ||||||||||
Stanley Black & Decker Inc | Industrials | 14 | 2,422 | 0.01 | ||||||||||
Omnicom Group Inc | Communication Services | 38 | 2,391 | 0.01 | ||||||||||
Eaton Corp PLC | Industrials | 20 | 2,368 | 0.01 | ||||||||||
Fortune Brands Home & Security Inc | Industrials | 27 | 2,341 | 0.01 | ||||||||||
Westrock Co | Materials | 54 | 2,330 | 0.01 | ||||||||||
Genuine Parts Co | Consumer Discretionary | 23 | 2,306 | 0.01 | ||||||||||
BorgWarner Inc | Consumer Discretionary | 59 | 2,264 | 0.01 | ||||||||||
KeyCorp | Financials | 137 | 2,252 | 0.01 | ||||||||||
Akamai Technologies Inc | Information Technology | 21 | 2,183 | 0.01 | ||||||||||
Global Payments Inc | Information Technology | 10 | 2,181 | 0.01 | ||||||||||
Paycom Software Inc | Information Technology | 5 | 2,126 | 0.01 | ||||||||||
Evergy Inc | Utilities | 38 | 2,088 | 0.01 | ||||||||||
Dow Inc | Materials | 37 | 2,077 | 0.01 | ||||||||||
TJX Cos Inc/The | Consumer Discretionary | 30 | 2,075 | 0.01 | ||||||||||
CF Industries Holdings Inc | Materials | 53 | 2,058 | 0.01 | ||||||||||
Franklin Resources Inc | Financials | 82 | 2,043 | 0.01 | ||||||||||
Leggett & Platt Inc | Consumer Discretionary | 46 | 2,035 | 0.01 | ||||||||||
CarMax Inc | Consumer Discretionary | 21 | 1,964 | 0.01 | ||||||||||
Sealed Air Corp | Materials | 43 | 1,954 | 0.01 | ||||||||||
Constellation Brands Inc | Consumer Staples | 9 | 1,941 | 0.01 | ||||||||||
Flowserve Corp | Industrials | 51 | 1,893 | 0.01 | ||||||||||
Amphenol Corp | Information Technology | 14 | 1,868 | 0.01 | ||||||||||
Teradyne Inc | Information Technology | 15 | 1,756 | 0.01 | ||||||||||
M&T Bank Corp | Financials | 14 | 1,749 | 0.01 | ||||||||||
EOG Resources Inc | Energy | 35 | 1,722 | 0.01 | ||||||||||
Fortinet Inc | Information Technology | 12 | 1,719 | 0.01 | ||||||||||
Schlumberger NV | Energy | 76 | 1,650 | 0.01 | ||||||||||
Albemarle Corp | Materials | 11 | 1,601 | 0.01 | ||||||||||
Expeditors International of Washington I | Industrials | 17 | 1,582 | 0.01 | ||||||||||
NVR Inc | Consumer Discretionary | 0 | 1,476 | 0.01 | ||||||||||
Comerica Inc | Financials | 26 | 1,455 | 0.01 | ||||||||||
Corning Inc | Information Technology | 40 | 1,426 | 0.01 | ||||||||||
Baker Hughes Co | Energy | 68 | 1,414 | 0.01 | ||||||||||
Marriott International Inc/MD | Consumer Discretionary | 11 | 1,407 | 0.01 |
The accompanying notes are an integral part of these financial statements. | 55 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments (continued)
December 31, 2020
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Ingersoll Rand Inc | Industrials | 30 | $ | 1,384 | 0.01 | % | ||||||||
Kinder Morgan Inc | Energy | 100 | 1,372 | 0.01 | ||||||||||
Trane Technologies PLC | Industrials | 9 | 1,312 | 0.01 | ||||||||||
CBRE Group Inc | Real Estate | 21 | 1,304 | 0.01 | ||||||||||
Zions Bancorp NA | Financials | 30 | 1,304 | 0.01 | ||||||||||
Globe Life Inc | Financials | 12 | 1,116 | 0.01 | ||||||||||
Ulta Beauty Inc | Consumer Discretionary | 4 | 1,091 | 0.01 | ||||||||||
Aptiv PLC | Consumer Discretionary | 8 | 1,060 | 0.01 | ||||||||||
AMETEK Inc | Industrials | 9 | 1,050 | 0.01 | ||||||||||
Marathon Petroleum Corp | Energy | 22 | 912 | 0.00 | ||||||||||
Valero Energy Corp | Energy | 16 | 911 | 0.00 | ||||||||||
Raymond James Financial Inc | Financials | 8 | 761 | 0.00 | ||||||||||
Hasbro Inc | Consumer Discretionary | 8 | 710 | 0.00 | ||||||||||
Carnival Corp | Consumer Discretionary | 27 | 584 | 0.00 | ||||||||||
Huntington Bancshares Inc/OH | Financials | 39 | 487 | 0.00 | ||||||||||
IPG Photonics Corp | Information Technology | 2 | 445 | 0.00 | ||||||||||
Jacobs Engineering Group Inc | Industrials | 4 | 394 | 0.00 | ||||||||||
Gap Inc/The | Consumer Discretionary | 19 | 376 | 0.00 | ||||||||||
Tapestry Inc | Consumer Discretionary | 10 | 304 | 0.00 |
A basket (JPGSFDEU) of common stocks
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
HelloFresh SE | Consumer Discretionary | 1,941 | $ | 122,702 | 1.98 | % | ||||||||
Enel SpA | Utilities | 14,086 | 116,579 | 1.88 | ||||||||||
L’Oreal SA | Consumer Staples | 355 | 110,438 | 1.78 | ||||||||||
Zalando SE | Consumer Discretionary | 1,103 | 100,484 | 1.62 | ||||||||||
TOTAL SE | Energy | 2,837 | 100,135 | 1.62 | ||||||||||
Air Liquide SA | Materials | 745 | 100,000 | 1.61 | ||||||||||
Allianz SE | Financials | 489 | 98,231 | 1.59 | ||||||||||
Adyen NV | Information Technology | 50 | 94,545 | 1.53 | ||||||||||
Schneider Electric SE | Industrials | 787 | 93,052 | 1.50 | ||||||||||
Daimler AG | Consumer Discretionary | 1,563 | 90,335 | 1.46 | ||||||||||
Koninklijke Ahold Delhaize NV | Consumer Staples | 3,898 | 90,081 | 1.45 | ||||||||||
Deutsche Boerse AG | Financials | 622 | 86,670 | 1.40 | ||||||||||
Danone SA | Consumer Staples | 1,605 | 86,270 | 1.39 | ||||||||||
Deutsche Telekom AG | Communication Services | 5,745 | 85,922 | 1.39 | ||||||||||
Bayer AG | Health Care | 1,735 | 83,537 | 1.35 | ||||||||||
BASF SE | Materials | 1,253 | 81,073 | 1.31 | ||||||||||
Intesa Sanpaolo SpA | Financials | 41,838 | 80,020 | 1.29 | ||||||||||
Deutsche Post AG | Communication Services | 1,928 | 78,093 | 1.26 | ||||||||||
Beiersdorf AG | Consumer Staples | 815 | 76,928 | 1.24 | ||||||||||
STMicroelectronics NV | Information Technology | 2,389 | 72,993 | 1.18 | ||||||||||
Continental AG | Consumer Discretionary | 560 | 67,934 | 1.10 | ||||||||||
FinecoBank Banca Fineco SpA | Financials | 4,896 | 65,603 | 1.06 | ||||||||||
Atos SE | Information Technology | 868 | 64,929 | 1.05 | ||||||||||
Kering SA | Consumer Discretionary | 108 | 64,009 | 1.03 | ||||||||||
Michelin | Consumer Discretionary | 606 | 63,553 | 1.03 | ||||||||||
Fiat Chrysler Automobiles NV | Consumer Discretionary | 4,100 | 60,106 | 0.97 | ||||||||||
Nokia Oyj | Information Technology | 18,031 | 56,815 | 0.92 | ||||||||||
TeamViewer AG | Information Technology | 1,296 | 56,783 | 0.92 | ||||||||||
SAP SE | Information Technology | 511 | 54,767 | 0.88 | ||||||||||
Sampo Oyj | Financials | 1,544 | 53,362 | 0.86 | ||||||||||
Brenntag AG | Industrials | 828 | 52,463 | 0.85 | ||||||||||
Dassault Systemes SE | Information Technology | 308 | 51,208 | 0.83 | ||||||||||
OMV AG | Energy | 1,546 | 51,014 | 0.82 | ||||||||||
Fresenius Medical Care AG & Co KGaA | Health Care | 745 | 50,825 | 0.82 | ||||||||||
ArcelorMittal SA | Materials | 2,651 | 50,057 | 0.81 | ||||||||||
Nokian Renkaat Oyj | Consumer Discretionary | 1,733 | 49,942 | 0.81 | ||||||||||
Bechtle AG | Information Technology | 272 | 48,448 | 0.78 |
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 | ||||||||||
Worldline SA/France | Information Technology | 610 | $ | 48,261 | 0.78 | % | ||||||||
Ubisoft Entertainment SA | Communication Services | 611 | 48,164 | 0.78 | ||||||||||
BE Semiconductor Industries NV | Information Technology | 944 | 46,802 | 0.76 | ||||||||||
Knorr-Bremse AG | Industrials | 413 | 46,088 | 0.74 | ||||||||||
Sanofi | Health Care | 582 | 45,780 | 0.74 | ||||||||||
ACS Actividades de Construccion y Servic | Industrials | 1,652 | 44,842 | 0.72 | ||||||||||
HeidelbergCement AG | Materials | 727 | 44,517 | 0.72 | ||||||||||
Suez SA | Utilities | 2,743 | 44,497 | 0.72 | ||||||||||
Covestro AG | Materials | 839 | 42,363 | 0.68 | ||||||||||
Prysmian SpA | Industrials | 1,454 | 42,282 | 0.68 | ||||||||||
Koninklijke KPN NV | Communication Services | 16,984 | 42,239 | 0.68 | ||||||||||
Iberdrola SA | Utilities | 3,606 | 42,187 | 0.68 | ||||||||||
Merck KGaA | Health Care | 285 | 40,049 | 0.65 | ||||||||||
Poste Italiane SpA | Financials | 4,764 | 39,640 | 0.64 | ||||||||||
MorphoSys AG | Health Care | 421 | 39,528 | 0.64 | ||||||||||
Randstad NV | Industrials | 740 | 39,395 | 0.64 | ||||||||||
Naturgy Energy Group SA | Utilities | 2,066 | 39,180 | 0.63 | ||||||||||
Smurfit Kappa Group PLC | Materials | 1,005 | 38,215 | 0.62 | ||||||||||
Euronext NV | Financials | 412 | 37,126 | 0.60 | ||||||||||
DiaSorin SpA | Health Care | 216 | 36,683 | 0.59 | ||||||||||
Carrefour SA | Consumer Staples | 2,609 | 36,611 | 0.59 | ||||||||||
Signify NV | Industrials | 1,047 | 36,168 | 0.58 | ||||||||||
ASR Nederland NV | Financials | 1,061 | 34,856 | 0.56 | ||||||||||
Vonovia SE | Real Estate | 574 | 34,327 | 0.55 | ||||||||||
Carl Zeiss Meditec AG | Health Care | 313 | 34,046 | 0.55 | ||||||||||
BioMerieux | Health Care | 291 | 33,614 | 0.54 | ||||||||||
Orion Oyj | Health Care | 880 | 33,023 | 0.53 | ||||||||||
LANXESS AG | Materials | 525 | 32,931 | 0.53 | ||||||||||
Eiffage SA | Industrials | 415 | 32,838 | 0.53 | ||||||||||
Hannover Rueck SE | Financials | 251 | 32,660 | 0.53 | ||||||||||
Kingspan Group PLC | Industrials | 553 | 31,746 | 0.51 | ||||||||||
Industria de Diseno Textil SA | Consumer Discretionary | 1,203 | 31,335 | 0.51 | ||||||||||
KBC Group NV | Financials | 532 | 30,453 | 0.49 | ||||||||||
Capgemini SE | Information Technology | 240 | 30,370 | 0.49 | ||||||||||
Ageas SA/NV | Financials | 696 | 30,317 | 0.49 | ||||||||||
Verbund AG | Utilities | 430 | 30,003 | 0.48 | ||||||||||
Elisa Oyj | Communication Services | 652 | 29,270 | 0.47 | ||||||||||
UCB SA | Health Care | 339 | 28,673 | 0.46 | ||||||||||
Symrise AG | Materials | 259 | 28,107 | 0.45 | ||||||||||
Tenaris SA | Energy | 4,226 | 27,990 | 0.45 | ||||||||||
Accor SA | Consumer Discretionary | 931 | 27,546 | 0.44 | ||||||||||
GEA Group AG | Industrials | 940 | 27,531 | 0.44 | ||||||||||
EDP Renovaveis SA | Utilities | 1,202 | 27,397 | 0.44 | ||||||||||
Enagas SA | Utilities | 1,515 | 27,223 | 0.44 | ||||||||||
United Internet AG | Communication Services | 769 | 26,487 | 0.43 | ||||||||||
Rexel SA | Industrials | 2,047 | 26,393 | 0.43 | ||||||||||
Legrand SA | Industrials | 356 | 25,971 | 0.42 | ||||||||||
QIAGEN NV | Health Care | 600 | 25,488 | 0.41 | ||||||||||
Kone Oyj | Industrials | 381 | 25,291 | 0.41 | ||||||||||
UPM-Kymmene Oyj | Materials | 819 | 24,948 | 0.40 | ||||||||||
Cellnex Telecom SA | Communication Services | 504 | 24,768 | 0.40 | ||||||||||
Varta AG | Industrials | 207 | 24,495 | 0.40 | ||||||||||
Cie de Saint-Gobain | Materials | 632 | 23,686 | 0.38 | ||||||||||
Proximus SADP | Communication Services | 1,453 | 23,553 | 0.38 | ||||||||||
Interpump Group SpA | Industrials | 579 | 23,351 | 0.38 | ||||||||||
Telefonica Deutschland Holding AG | Communication Services | 10,105 | 22,787 | 0.37 | ||||||||||
Koninklijke DSM NV | Materials | 162 | 22,743 | �� | 0.37 | |||||||||
Hera SpA | Utilities | 7,590 | 22,619 | 0.37 | ||||||||||
Kesko Oyj | Consumer Staples | 1,070 | 22,507 | 0.36 |
The accompanying notes are an integral part of these financial statements. | 57 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments (continued)
December 31, 2020
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Deutsche Wohnen SE | Real Estate | 513 | $ | 22,391 | 0.36 | % | ||||||||
Hermes International | Consumer Discretionary | 25 | 22,298 | 0.36 | ||||||||||
Rubis SCA | Utilities | 583 | 22,150 | 0.36 | ||||||||||
Arkema SA | Materials | 226 | 21,152 | 0.34 | ||||||||||
Etablissements Franz Colruyt NV | Consumer Goods | 436 | 21,124 | 0.34 | ||||||||||
Kerry Group PLC | Consumer Staples | 176 | 20,834 | 0.34 | ||||||||||
Recordati Industria Chimica e Farmaceuti | Health Care | 452 | 20,477 | 0.33 | ||||||||||
RWE AG | Utilities | 592 | 20,465 | 0.33 | ||||||||||
Huhtamaki Oyj | Materials | 481 | 20,334 | 0.33 | ||||||||||
La Francaise des Jeux SAEM | Consumer Discretionary | 538 | 20,140 | 0.33 | ||||||||||
Wolters Kluwer NV | Industrials | 288 | 19,879 | 0.32 | ||||||||||
Gerresheimer AG | Health Care | 226 | 19,814 | 0.32 | ||||||||||
A2A SpA | Utilities | 14,987 | 19,551 | 0.32 | ||||||||||
Solvay SA | Materials | 199 | 19,323 | 0.31 | ||||||||||
Amundi SA | Financials | 287 | 19,167 | 0.31 | ||||||||||
Sartorius Stedim Biotech | Health Care | 66 | 19,152 | 0.31 | ||||||||||
SEB SA | Consumer Discretionary | 127 | 18,950 | 0.31 | ||||||||||
Red Electrica Corp SA | Utilities | 1,118 | 18,758 | 0.30 | ||||||||||
Moncler SpA | Consumer Discretionary | 366 | 18,375 | 0.30 | ||||||||||
Gecina SA | Real Estate | 145 | 18,354 | 0.30 | ||||||||||
Koninklijke Vopak NV | Energy | 425 | 18,275 | 0.29 | ||||||||||
Nemetschek SE | Information Technology | 302 | 18,227 | 0.29 | ||||||||||
TAG Immobilien AG | Real Estate | 702 | 18,179 | 0.29 | ||||||||||
Jeronimo Martins SGPS SA | Consumer Staples | 1,310 | 18,108 | 0.29 | ||||||||||
Eurofins Scientific SE | Health Care | 262 | 17,986 | 0.29 | ||||||||||
Fortum Oyj | Utilities | 906 | 17,849 | 0.29 | ||||||||||
LEG Immobilien AG | Real Estate | 140 | 17,802 | 0.29 | ||||||||||
EDP – Energias de Portugal SA | Utilities | 3,413 | 17,598 | 0.28 | ||||||||||
Scout24 AG | Communication Services | 255 | 17,098 | 0.28 | ||||||||||
Grifols SA | Health Care | 711 | 16,990 | 0.27 | ||||||||||
Terna Rete Elettrica Nazionale SpA | Utilities | 2,713 | 16,958 | 0.27 | ||||||||||
Aalberts NV | Industrials | 463 | 16,890 | 0.27 | ||||||||||
Endesa SA | Utilities | 753 | 16,833 | 0.27 | ||||||||||
Ipsen SA | Health Care | 248 | 16,825 | 0.27 | ||||||||||
Publicis Groupe SA | Communication Services | 410 | 16,710 | 0.27 | ||||||||||
CTS Eventim AG & Co KGaA | Communication Services | 304 | 16,560 | 0.27 | ||||||||||
Raiffeisen Bank International AG | Financials | 989 | 16,493 | 0.27 | ||||||||||
E.ON SE | Utilities | 1,797 | 16,284 | 0.26 | ||||||||||
Acciona SA | Utilities | 139 | 16,225 | 0.26 | ||||||||||
ANDRITZ AG | Industrials | 431 | 16,147 | 0.26 | ||||||||||
Iliad SA | Communication Services | 96 | 16,109 | 0.26 | ||||||||||
BAWAG Group AG | Financials | 416 | 15,798 | 0.26 | ||||||||||
Pernod Ricard SA | Consumer Staples | 100 | 15,743 | 0.25 | ||||||||||
Infrastrutture Wireless Italiane SpA | Communication Services | 1,567 | 15,557 | 0.25 | ||||||||||
Wienerberger AG | Materials | 589 | 15,370 | 0.25 | ||||||||||
Elis SA | Industrials | 1,125 | 15,335 | 0.25 | ||||||||||
ASML Holding NV | Information Technology | 37 | 14,847 | 0.24 | ||||||||||
Orange SA | Communication Services | 1,513 | 14,723 | 0.24 | ||||||||||
Teleperformance | Industrials | 54 | 14,608 | 0.24 | ||||||||||
Snam SpA | Utilities | 3,112 | 14,318 | 0.23 | ||||||||||
Inmobiliaria Colonial Socimi SA | Real Estate | 1,782 | 14,301 | 0.23 | ||||||||||
Koninklijke Philips NV | Health Care | 311 | 13,637 | 0.22 | ||||||||||
Deutsche Lufthansa AG | Industrials | 1,261 | 13,636 | 0.22 | ||||||||||
Viscofan SA | Consumer Staples | 230 | 13,356 | 0.22 | ||||||||||
Siemens Gamesa Renewable Energy SA | Industrials | 403 | 13,320 | 0.22 | ||||||||||
ASM International NV | Information Technology | 69 | 12,465 | 0.20 | ||||||||||
Valmet Oyj | Industrials | 529 | 12,364 | 0.20 | ||||||||||
Heineken NV | Consumer Staples | 135 | 12,305 | 0.20 | ||||||||||
ProSiebenSat.1 Media SE | Communication Services | 893 | 12,283 | 0.20 |
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 | ||||||||||
Wendel SE | Financials | 122 | $ | 11,912 | 0.19 | % | ||||||||
Elia Group SA/NV | Utilities | 122 | 11,885 | 0.19 | ||||||||||
Rational AG | Industrials | 15 | 11,419 | 0.18 | ||||||||||
Corbion NV | Materials | 246 | 11,350 | 0.18 | ||||||||||
IMCD NV | Industrials | 109 | 11,345 | 0.18 | ||||||||||
voestalpine AG | Materials | 383 | 11,227 | 0.18 | ||||||||||
Alten SA | Information Technology | 116 | 10,758 | 0.17 | ||||||||||
Glanbia PLC | Consumer Staples | 1,012 | 10,500 | 0.17 | ||||||||||
Warehouses De Pauw CVA | Real Estate | 347 | 9,802 | 0.16 | ||||||||||
alstria office REIT-AG | Real Estate | 643 | 9,512 | 0.15 | ||||||||||
Linde PLC | Materials | 44 | 9,293 | 0.15 | ||||||||||
Sofina SA | Financials | 33 | 9,119 | 0.15 | ||||||||||
Cofinimmo SA | Real Estate | 74 | 9,002 | 0.15 | ||||||||||
Rheinmetall AG | Industrials | 103 | 8,903 | 0.14 | ||||||||||
Amplifon SpA | Health Care | 257 | 8,741 | 0.14 | ||||||||||
Evonik Industries AG | Materials | 318 | 8,478 | 0.14 | ||||||||||
Aedifica SA | Real Estate | 85 | 8,374 | 0.14 | ||||||||||
Freenet AG | Communication Services | 479 | 8,244 | 0.13 | ||||||||||
Telefonica SA | Communication Services | 2,439 | 7,914 | 0.13 | ||||||||||
Infineon Technologies AG | Information Technology | 248 | 7,774 | 0.13 | ||||||||||
Flutter Entertainment PLC | Consumer Discretionary | 47 | 7,771 | 0.13 | ||||||||||
Remy Cointreau SA | Consumer Staples | 49 | 7,450 | 0.12 | ||||||||||
Delivery Hero SE | Consumer Discretionary | 57 | 7,210 | 0.12 | ||||||||||
Siemens AG | Industrials | 60 | 7,075 | 0.11 | ||||||||||
Heineken Holding NV | Consumer Staples | 84 | 6,438 | 0.10 | ||||||||||
Ackermans & van Haaren NV | Financials | 52 | 6,403 | 0.10 | ||||||||||
Davide Campari-Milano NV | Consumer Staples | 650 | 6,072 | 0.10 | ||||||||||
BNP Paribas SA | Financials | 128 | 5,531 | 0.09 | ||||||||||
Fresenius SE & Co KGaA | Health Care | 144 | 5,445 | 0.09 | ||||||||||
Neste Oyj | Energy | 91 | 5,369 | 0.09 | ||||||||||
Bayerische Motoren Werke AG | Consumer Discretionary | 73 | 5,271 | 0.09 | ||||||||||
EssilorLuxottica SA | Consumer Discretionary | 41 | 5,246 | 0.08 | ||||||||||
Alstom SA | Industrials | 111 | 5,192 | 0.08 | ||||||||||
Nexi SpA | Information Technology | 305 | 4,991 | 0.08 | ||||||||||
Grand City Properties SA | Real Estate | 229 | 4,793 | 0.08 | ||||||||||
Argenx SE | Health Care | 19 | 4,718 | 0.08 | ||||||||||
Aegon NV | Financials | 1,413 | 4,570 | 0.07 | ||||||||||
Bureau Veritas SA | Industrials | 206 | 4,484 | 0.07 | ||||||||||
Aeroports de Paris | Services | 42 | 4,432 | 0.07 | ||||||||||
Prosus NV | Consumer Discretionary | 49 | 4,341 | 0.07 | ||||||||||
NN Group NV | Financials | 117 | 4,161 | 0.07 | ||||||||||
CNP Assurances | Financials | 309 | 4,074 | 0.07 | ||||||||||
Umicore SA | Materials | 104 | 4,074 | 0.07 | ||||||||||
Evotec SE | Health Care | 132 | 3,987 | 0.06 | ||||||||||
Sopra Steria Group | Information Technology | 30 | 3,937 | 0.06 | ||||||||||
Puma SE | Consumer Discretionary | 37 | 3,420 | 0.06 | ||||||||||
Vinci SA | Industrials | 42 | 3,393 | 0.05 | ||||||||||
Siemens Energy AG | Industrials | 110 | 3,301 | 0.05 | ||||||||||
KION Group AG | Industrials | 46 | 3,263 | 0.05 | ||||||||||
CRH PLC | Materials | 96 | 3,263 | 0.05 | ||||||||||
Renault SA | Consumer Discretionary | 86 | 3,077 | 0.05 | ||||||||||
Engie SA | Utilities | 240 | 3,005 | 0.05 | ||||||||||
Just Eat Takeaway.com NV | Consumer Discretionary | 32 | 2,963 | 0.05 | ||||||||||
Banco BPM SpA | Financials | 1,611 | 2,913 | 0.05 | ||||||||||
Bankinter SA | Financials | 653 | 2,888 | 0.05 | ||||||||||
Bouygues SA | Industrials | 83 | 2,785 | 0.04 | ||||||||||
CNH Industrial NV | Industrials | 250 | 2,579 | 0.04 | ||||||||||
SPIE SA | Industrials | 141 | 2,504 | 0.04 | ||||||||||
ING Groep NV | Financials | 323 | 2,469 | 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, 2020
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Telecom Italia SpA/Milano | Communication Services | 6,076 | $ | 2,293 | 0.04 | % | ||||||||
Dialog Semiconductor PLC | Information Technology | 49 | 2,192 | 0.04 | ||||||||||
Credit Agricole SA | Financials | 207 | 2,136 | 0.03 | ||||||||||
Veolia Environnement SA | Utilities | 104 | 2,076 | 0.03 | ||||||||||
Stora Enso Oyj | Materials | 128 | 2,009 | 0.03 | ||||||||||
SOITEC | Capital Equipment | 13 | 2,002 | 0.03 | ||||||||||
CANCOM SE | Information Technology | 44 | 1,999 | 0.03 | ||||||||||
Atlantia SpA | Industrials | 124 | 1,830 | 0.03 | ||||||||||
Banco de Sabadell SA | Financials | 4,965 | 1,758 | 0.03 | ||||||||||
Bollore SA | Communication Services | 512 | 1,732 | 0.03 | ||||||||||
Electricite de France SA | Utilities | 129 | 1,667 | 0.03 | ||||||||||
Eni SpA | Energy | 178 | 1,519 | 0.02 | ||||||||||
Faurecia SE | Consumer Discretionary | 36 | 1,514 | 0.02 | ||||||||||
Assicurazioni Generali SpA | Financials | 103 | 1,465 | 0.02 | ||||||||||
Akzo Nobel NV | Materials | 16 | 1,393 | 0.02 | ||||||||||
Italgas SpA | Utilities | 249 | 1,294 | 0.02 | ||||||||||
Merlin Properties Socimi SA | Real Estate | 166 | 1,289 | 0.02 | ||||||||||
Metso Outotec Oyj | Industrials | 138 | 1,131 | 0.02 | ||||||||||
Repsol SA | Energy | 131 | 1,080 | 0.02 | ||||||||||
Wartsila OYJ Abp | Industrials | 110 | 895 | 0.01 | ||||||||||
TechnipFMC PLC | Energy | 111 | 855 | 0.01 | ||||||||||
Valeo SA | Consumer Discretionary | 26 | 825 | 0.01 | ||||||||||
Thales SA | Industrials | 9 | 695 | 0.01 | ||||||||||
JDE Peet’s NV | Consumer Staples | 16 | 602 | 0.01 |
A basket (JPGSFDUK) of common stocks
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
GlaxoSmithKline PLC | Health Care | 95 | $ | 128,070 | 5.63 | % | ||||||||
Reckitt Benckiser Group PLC | Consumer Staples | 12 | 76,959 | 3.38 | ||||||||||
AstraZeneca PLC | Health Care | 10 | 71,848 | 3.16 | ||||||||||
Rio Tinto PLC | Materials | 10 | 54,890 | 2.41 | ||||||||||
Unilever PLC | Consumer Staples | 12 | 54,095 | 2.38 | ||||||||||
British American Tobacco PLC | Consumer Staples | 18 | 48,204 | 2.12 | ||||||||||
Royal Dutch Shell PLC | Energy | 31 | 40,706 | 1.79 | ||||||||||
Ocado Group PLC | Consumer Discretionary | 15 | 34,115 | 1.50 | ||||||||||
Ferguson PLC | Industrials | 4 | 31,726 | 1.39 | ||||||||||
SSE PLC | Utilities | 21 | 31,246 | 1.37 | ||||||||||
Admiral Group PLC | Financials | 10 | 28,389 | 1.25 | ||||||||||
CRH PLC | Materials | 9 | 27,224 | 1.20 | ||||||||||
Vodafone Group PLC | Communication Services | 212 | 25,662 | 1.13 | ||||||||||
Smurfit Kappa Group PLC | Materials | 7 | 25,501 | 1.12 | ||||||||||
Evraz PLC | Materials | 54 | 25,485 | 1.12 | ||||||||||
Croda International PLC | Materials | 4 | 25,295 | 1.11 | ||||||||||
Hikma Pharmaceuticals PLC | Health Care | 10 | 25,178 | 1.11 | ||||||||||
Plus500 Ltd | Financials | 17 | 24,709 | 1.09 | ||||||||||
J Sainsbury PLC | Consumer Staples | 109 | 24,562 | 1.08 | ||||||||||
Ashtead Group PLC | Industrials | 7 | 23,504 | 1.03 | ||||||||||
HSBC Holdings PLC | Financials | 60 | 22,845 | 1.00 | ||||||||||
Polymetal International PLC | Materials | 13 | 22,698 | 1.00 | ||||||||||
Centamin PLC | Materials | 183 | 22,641 | 1.00 | ||||||||||
IG Group Holdings PLC | Financials | 26 | 22,069 | 0.97 | ||||||||||
Flutter Entertainment PLC | Consumer Discretionary | 1 | 21,950 | 0.96 | ||||||||||
Diageo PLC | Consumer Staples | 7 | 20,260 | 0.89 | ||||||||||
B&M European Value Retail SA | Consumer Discretionary | 39 | 19,993 | 0.88 | ||||||||||
Fresnillo PLC | Materials | 17 | 19,465 | 0.86 | ||||||||||
Rentokil Initial PLC | Industrials | 37 | 18,965 | 0.83 | ||||||||||
BHP Group PLC | Materials | 10 | 18,773 | 0.83 | ||||||||||
John Wood Group PLC | Energy | 58 | 17,998 | 0.79 | ||||||||||
Aviva PLC | Financials | 55 | 17,904 | 0.79 |
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 | ||||||||||
Dechra Pharmaceuticals PLC | Health Care | 5 | $ | 17,888 | 0.79 | % | ||||||||
Spirax-Sarco Engineering PLC | Industrials | 2 | 17,815 | 0.78 | ||||||||||
Legal & General Group PLC | Financials | 67 | 17,798 | 0.78 | ||||||||||
Glencore PLC | Materials | 76 | 17,681 | 0.78 | ||||||||||
Halma PLC | Information Technology | 7 | 17,619 | 0.77 | ||||||||||
Wm Morrison Supermarkets PLC | Consumer Staples | 88 | 15,518 | 0.68 | ||||||||||
Pets at Home Group Plc | Consumer Discretionary | 37 | 15,421 | 0.68 | ||||||||||
Assura PLC | Real Estate | 199 | 15,308 | 0.67 | ||||||||||
Games Workshop Group PLC | Consumer Discretionary | 1 | 15,282 | 0.67 | ||||||||||
Experian PLC | Industrials | 5 | 15,268 | 0.67 | ||||||||||
Severn Trent PLC | Utilities | 7 | 15,140 | 0.67 | ||||||||||
Tesco PLC | Consumer Staples | 65 | 14,942 | 0.66 | ||||||||||
AO World PLC | Consumer Discretionary | 36 | 14,941 | 0.66 | ||||||||||
Barclays PLC | Financials | 101 | 14,877 | 0.65 | ||||||||||
Weir Group PLC/The | Industrials | 7 | 14,516 | 0.64 | ||||||||||
Rightmove PLC | Communication Services | 22 | 14,387 | 0.63 | ||||||||||
Imperial Brands PLC | Consumer Staples | 9 | 14,324 | 0.63 | ||||||||||
M&G PLC | Financials | 72 | 14,199 | 0.62 | ||||||||||
Kingfisher PLC | Consumer Discretionary | 52 | 14,184 | 0.62 | ||||||||||
Electrocomponents PLC | Industrials | 16 | 14,178 | 0.62 | ||||||||||
Ferrexpo PLC | Materials | 50 | 14,147 | 0.62 | ||||||||||
Petropavlovsk PLC | Materials | 431 | 14,012 | 0.62 | ||||||||||
UDG Healthcare PLC | Health Care | 18 | 13,983 | 0.61 | ||||||||||
Associated British Foods PLC | Consumer Staples | 6 | 13,946 | 0.61 | ||||||||||
Centrica PLC | Utilities | 298 | 13,909 | 0.61 | ||||||||||
Bunzl PLC | Industrials | 5 | 13,192 | 0.58 | ||||||||||
Anglo American PLC | Materials | 5 | 12,775 | 0.56 | ||||||||||
Segro PLC | Real Estate | 13 | 12,536 | 0.55 | ||||||||||
3i Group PLC | Financials | 11 | 12,511 | 0.55 | ||||||||||
Direct Line Insurance Group PLC | Financials | 39 | 12,472 | 0.55 | ||||||||||
Intermediate Capital Group PLC | Financials | 7 | 12,466 | 0.55 | ||||||||||
Intertek Group PLC | Industrials | 2 | 12,200 | 0.54 | ||||||||||
Gamesys Group PLC | Consumer Discretionary | 11 | 12,034 | 0.53 | ||||||||||
Domino’s Pizza Group PLC | Consumer Discretionary | 38 | 11,944 | 0.52 | ||||||||||
Drax Group PLC | Utilities | 31 | 11,801 | 0.52 | ||||||||||
Prudential PLC | Financials | 9 | 11,786 | 0.52 | ||||||||||
Lloyds Banking Group PLC | Financials | 322 | 11,738 | 0.52 | ||||||||||
Mondi PLC | Materials | 7 | 11,645 | 0.51 | ||||||||||
St James’s Place PLC | Financials | 10 | 11,536 | 0.51 | ||||||||||
Royal Mail PLC | Industrials | 34 | 11,401 | 0.50 | ||||||||||
Pennon Group PLC | Utilities | 12 | 11,151 | 0.49 | ||||||||||
IMI PLC | Industrials | 10 | 11,140 | 0.49 | ||||||||||
Dunelm Group PLC | Consumer Discretionary | 9 | 11,128 | 0.49 | ||||||||||
Auto Trader Group PLC | Communication Services | 18 | 10,672 | 0.47 | ||||||||||
ConvaTec Group PLC | Health Care | 53 | 10,631 | 0.47 | ||||||||||
Computacenter PLC | Information Technology | 4 | 10,505 | 0.46 | ||||||||||
Renishaw PLC | Information Technology | 2 | 10,248 | 0.45 | ||||||||||
Investec PLC | Financials | 54 | 10,177 | 0.45 | ||||||||||
Standard Chartered PLC | Financials | 22 | 10,109 | 0.44 | ||||||||||
Premier Foods PLC | Consumer Staples | 101 | 10,089 | 0.44 | ||||||||||
Howden Joinery Group PLC | Industrials | 14 | 9,728 | 0.43 | ||||||||||
Entain PLC | Consumer Discretionary | 9 | 9,728 | 0.43 | ||||||||||
Aggreko PLC | Industrials | 16 | 9,728 | 0.43 | ||||||||||
Primary Health Properties PLC | Real Estate | 63 | 9,646 | 0.42 | ||||||||||
Pearson PLC | Communication Services | 13 | 9,063 | 0.40 | ||||||||||
United Utilities Group PLC | Utilities | 10 | 9,018 | 0.40 | ||||||||||
Synthomer PLC | Materials | 20 | 8,938 | 0.39 | ||||||||||
IntegraFin Holdings PLC | Financials | 16 | 8,847 | 0.39 | ||||||||||
BT Group PLC | Communication Services | 66 | 8,784 | 0.39 |
The accompanying notes are an integral part of these financial statements. | 61 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments (continued)
December 31, 2020
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Spirent Communications PLC | Information Technology | 33 | $ | 8,647 | 0.38 | % | ||||||||
Indivior PLC | Health Care | 77 | 8,417 | 0.37 | ||||||||||
Cairn Energy PLC | Energy | 39 | 8,261 | 0.36 | ||||||||||
Avon Rubber PLC | Industrials | 2 | 7,264 | 0.32 | ||||||||||
888 Holdings PLC | Consumer Discretionary | 25 | 7,087 | 0.31 | ||||||||||
Paragon Banking Group PLC | Financials | 14 | 7,072 | 0.31 | ||||||||||
Burberry Group PLC | Consumer Discretionary | 4 | 7,025 | 0.31 | ||||||||||
JD Sports Fashion PLC | Consumer Discretionary | 8 | 6,956 | 0.31 | ||||||||||
Tritax Big Box REIT PLC | Real Estate | 41 | 6,928 | 0.30 | ||||||||||
Genus PLC | Health Care | 2 | 6,795 | 0.30 | ||||||||||
C&C Group PLC | Consumer Staples | 29 | 6,643 | 0.29 | ||||||||||
Kainos Group PLC | Information Technology | 5 | 6,473 | 0.28 | ||||||||||
Ultra Electronics Holdings PLC | Industrials | 3 | 6,450 | 0.28 | ||||||||||
Tate & Lyle PLC | Consumer Staples | 9 | 6,385 | 0.28 | ||||||||||
Compass Group PLC | Consumer Discretionary | 5 | 6,354 | 0.28 | ||||||||||
Hargreaves Lansdown PLC | Financials | 4 | 6,297 | 0.28 | ||||||||||
IP Group PLC | Financials | 60 | 5,956 | 0.26 | ||||||||||
Antofagasta PLC | Materials | 4 | 5,908 | 0.26 | ||||||||||
Rotork PLC | Industrials | 19 | 5,907 | 0.26 | ||||||||||
Man Group PLC/Jersey | Financials | 43 | 5,886 | 0.26 | ||||||||||
Safestore Holdings PLC | Real Estate | 8 | 5,880 | 0.26 | ||||||||||
Phoenix Group Holdings PLC | Financials | 8 | 5,735 | 0.25 | ||||||||||
Mediclinic International PLC | Health Care | 20 | 5,520 | 0.24 | ||||||||||
DS Smith PLC | Materials | 15 | 5,510 | 0.24 | ||||||||||
Savills PLC | Real Estate | 6 | 5,446 | 0.24 | ||||||||||
Playtech Plc | Consumer Discretionary | 13 | 5,365 | 0.24 | ||||||||||
OSB Group PLC | Financials | 13 | 5,311 | 0.23 | ||||||||||
RHI Magnesita NV | Materials | 1 | 5,010 | 0.22 | ||||||||||
Pagegroup PLC | Industrials | 11 | 4,996 | 0.22 | ||||||||||
Provident Financial PLC | Financials | 16 | 4,937 | 0.22 | ||||||||||
Liontrust Asset Management PLC | Financials | 4 | 4,879 | 0.21 | ||||||||||
AVEVA Group PLC | Information Technology | 2 | 4,826 | 0.21 | ||||||||||
DCC PLC | Industrials | 1 | 4,803 | 0.21 | ||||||||||
Hilton Food Group PLC | Consumer Staples | 4 | 4,725 | 0.21 | ||||||||||
Vesuvius PLC | Industrials | 9 | 4,681 | 0.21 | ||||||||||
Melrose Industries PLC | Industrials | 26 | 4,599 | 0.20 | ||||||||||
Sage Group PLC/The | Information Technology | 8 | 4,579 | 0.20 | ||||||||||
Persimmon PLC | Consumer Discretionary | 2 | 4,535 | 0.20 | ||||||||||
Hays PLC | Industrials | 31 | 4,496 | 0.20 | ||||||||||
AJ Bell PLC | Financials | 10 | 4,477 | 0.20 | ||||||||||
FDM Group Holdings PLC | Information Technology | 4 | 4,374 | 0.19 | ||||||||||
Marshalls PLC | Materials | 6 | 4,320 | 0.19 | ||||||||||
CMC Markets PLC | Financials | 11 | 4,318 | 0.19 | ||||||||||
Petrofac Ltd | Energy | 31 | 4,274 | 0.19 | ||||||||||
Big Yellow Group PLC | Real Estate | 4 | 4,255 | 0.19 | ||||||||||
John Laing Group PLC | Industrials | 13 | 4,233 | 0.19 | ||||||||||
Schroders PLC | Financials | 1 | 4,208 | 0.18 | ||||||||||
Diploma PLC | Industrials | 2 | 4,201 | 0.18 | ||||||||||
Ashmore Group PLC | Financials | 10 | 4,195 | 0.18 | ||||||||||
Dixons Carphone PLC | Consumer Discretionary | 35 | 4,098 | 0.18 | ||||||||||
Firstgroup PLC | Industrials | 55 | 4,093 | 0.18 | ||||||||||
Just Group PLC | Financials | 58 | 4,079 | 0.18 | ||||||||||
Lancashire Holdings Ltd | Financials | 6 | 4,062 | 0.18 | ||||||||||
Grainger PLC | Real Estate | 14 | 4,027 | 0.18 | ||||||||||
Greencore Group PLC | Consumer Staples | 34 | 3,925 | 0.17 | ||||||||||
Chemring Group PLC | Industrials | 14 | 3,904 | 0.17 | ||||||||||
PZ Cussons PLC | Consumer Staples | 17 | 3,871 | 0.17 | ||||||||||
WPP PLC | Communication Services | 5 | 3,814 | 0.17 | ||||||||||
Clarkson PLC | Industrials | 1 | 3,748 | 0.16 |
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 | ||||||||||
Coats Group PLC | Consumer Discretionary | 53 | $ | 3,534 | 0.16 | % | ||||||||
XP Power Ltd | Industrials | 1 | 3,442 | 0.15 | ||||||||||
Civitas Social Housing PLC | Real Estate | 32 | 3,323 | 0.15 | ||||||||||
Jupiter Fund Management PLC | Financials | 12 | 3,291 | 0.14 | ||||||||||
Vectura Group PLC | Health Care | 26 | 3,226 | 0.14 | ||||||||||
Biffa PLC | Industrials | 14 | 3,165 | 0.14 | ||||||||||
LXI REIT plc | Real Estate | 26 | 3,079 | 0.14 | ||||||||||
easyJet PLC | Industrials | 4 | 3,064 | 0.13 | ||||||||||
Natwest Group PLC | Financials | 18 | 2,980 | 0.13 | ||||||||||
Serco Group PLC | Industrials | 25 | 2,975 | 0.13 | ||||||||||
Marks & Spencer Group PLC | Consumer Discretionary | 21 | 2,919 | 0.13 | ||||||||||
Airtel Africa PLC | Communication Services | 38 | 2,845 | 0.13 | ||||||||||
Spectris PLC | Information Technology | 1 | 2,823 | 0.12 | ||||||||||
Brewin Dolphin Holdings PLC | Financials | 9 | 2,801 | 0.12 | ||||||||||
JTC PLC | Industrials | 5 | 2,791 | 0.12 | ||||||||||
TI Fluid Systems PLC | Consumer Discretionary | 11 | 2,724 | 0.12 | ||||||||||
Telecom Plus PLC | Utilities | 2 | 2,681 | 0.12 | ||||||||||
PureTech Health PLC | Health Care | 7 | 2,665 | 0.12 | ||||||||||
Travis Perkins PLC | Industrials | 2 | 2,652 | 0.12 | ||||||||||
TBC Bank Group PLC | Financials | 2 | 2,620 | 0.12 | ||||||||||
Hill & Smith Holdings PLC | Materials | 2 | 2,573 | 0.11 | ||||||||||
SSP Group Plc | Consumer Discretionary | 8 | 2,546 | 0.11 | ||||||||||
Softcat PLC | Information Technology | 2 | 2,539 | 0.11 | ||||||||||
Polypipe Group plc | Industrials | 4 | 2,502 | 0.11 | ||||||||||
Ninety One PLC | Financials | 11 | 2,467 | 0.11 | ||||||||||
Next PLC | Consumer Discretionary | 0 | 2,455 | 0.11 | ||||||||||
WH Smith PLC | Consumer Discretionary | 2 | 2,434 | 0.11 | ||||||||||
Morgan Sindall Group PLC | Industrials | 2 | 2,322 | 0.10 | ||||||||||
Inchcape PLC | Consumer Discretionary | 4 | 2,298 | 0.10 | ||||||||||
Morgan Advanced Materials PLC | Industrials | 7 | 2,258 | 0.10 | ||||||||||
IWG PLC | Real Estate | 7 | 2,247 | 0.10 | ||||||||||
Diversified Gas & Oil PLC | Energy | 19 | 2,163 | 0.10 | ||||||||||
Quilter PLC | Financials | 14 | 2,127 | 0.09 | ||||||||||
Sabre Insurance Group PLC | Financials | 8 | 2,120 | 0.09 | ||||||||||
Watches of Switzerland Group PLC | Consumer Discretionary | 4 | 2,118 | 0.09 | ||||||||||
Future PLC | Communication Services | 1 | 2,049 | 0.09 | ||||||||||
Berkeley Group Holdings PLC | Consumer Discretionary | 0 | 2,009 | 0.09 | ||||||||||
Close Brothers Group PLC | Financials | 1 | 1,973 | 0.09 | ||||||||||
Land Securities Group PLC | Real Estate | 3 | 1,964 | 0.09 | ||||||||||
James Fisher & Sons PLC | Industrials | 2 | 1,912 | 0.08 | ||||||||||
Frasers Group PLC | Consumer Discretionary | 4 | 1,863 | 0.08 | ||||||||||
Micro Focus International PLC | Information Technology | 4 | 1,823 | 0.08 | ||||||||||
Moneysupermarket.com Group PLC | Consumer Discretionary | 7 | 1,777 | 0.08 | ||||||||||
Vistry Group PLC | Consumer Discretionary | 2 | 1,716 | 0.08 | ||||||||||
ContourGlobal PLC | Utilities | 8 | 1,687 | 0.07 | ||||||||||
Avast PLC | Information Technology | 3 | 1,680 | 0.07 | ||||||||||
Helios Towers PLC | Communication Services | 10 | 1,568 | 0.07 | ||||||||||
Mitchells & Butlers PLC | Consumer Discretionary | 6 | 1,541 | 0.07 | ||||||||||
Hochschild Mining PLC | Materials | 7 | 1,409 | 0.06 | ||||||||||
Vivo Energy PLC | Consumer Discretionary | 16 | 1,363 | 0.06 | ||||||||||
Greggs PLC | Consumer Discretionary | 1 | 1,298 | 0.06 | ||||||||||
Meggitt PLC | Industrials | 3 | 1,257 | 0.06 | ||||||||||
Rathbone Brothers PLC | Financials | 1 | 1,249 | 0.05 | ||||||||||
Capita PLC | Information Technology | 29 | 1,143 | 0.05 | ||||||||||
Sanne Group PLC | Financials | 2 | 1,126 | 0.05 | ||||||||||
Rank Group PLC | Consumer Discretionary | 8 | 1,118 | 0.05 | ||||||||||
Sirius Real Estate Ltd | Real Estate | 12 | 1,092 | 0.05 | ||||||||||
Bodycote PLC | Industrials | 1 | 1,006 | 0.04 | ||||||||||
Crest Nicholson Holdings plc | Consumer Discretionary | 3 | 1,002 | 0.04 |
The accompanying notes are an integral part of these financial statements. | 63 |
GOLDMAN SACHS ALTERNATIVE PREMIA FUND
Consolidated Schedule of Investments (continued)
December 31, 2020
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
QinetiQ Group PLC | Industrials | 3 | $ | 889 | 0.04 | % | ||||||||
Cranswick PLC | Consumer Staples | 0 | 700 | 0.03 | ||||||||||
Oxford Instruments PLC | Information Technology | 0 | 499 | 0.02 | ||||||||||
Network International Holdings PLC | Information Technology | 1 | 482 | 0.02 | ||||||||||
Essentra PLC | Materials | 1 | 263 | 0.01 | ||||||||||
CLS Holdings PLC | Real Estate | 1 | 256 | 0.01 |
PURCHASED OPTIONS CONTRACTS — At December 31, 2020, the Fund had the following :
EXCHANGE TRADED INDEX OPTIONS
Description | 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 | 32.50 USD | 01/20/2021 | 200 | $ | 455,000 | $ | 20,000 | $ | 60,319 | $ | (40,319 | ) | ||||||||||||||||
28 USD | 02/17/2021 | 230 | 523,250 | 70,150 | 85,075 | (14,925 | ) | |||||||||||||||||||||
29 USD | 03/17/2021 | 220 | 500,500 | 74,800 | 82,273 | (7,473 | ) | |||||||||||||||||||||
Total purchased options contracts |
| 650 | $ | 164,950 | $ | 227,667 | $ | (62,717 | ) |
64 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Schedule of Investments
December 31, 2020
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Mortgage-Backed Securities – 2.7% | �� | |||||||||||||
FHLMC – 1.4% | ||||||||||||||
$ | 22,377 | 5.000% | 11/01/2025 | $ | 24,752 | |||||||||
22,040 | 5.000 | 08/01/2028 | 24,587 | |||||||||||
10,239 | 5.000 | 01/01/2033 | 11,678 | |||||||||||
258 | 5.000 | 03/01/2033 | 294 | |||||||||||
5,524 | 5.000 | 04/01/2033 | 6,308 | |||||||||||
563 | 5.000 | 05/01/2033 | 643 | |||||||||||
1,901 | 5.000 | 06/01/2033 | 2,171 | |||||||||||
14,592 | 5.000 | 07/01/2033 | 16,661 | |||||||||||
21,748 | 5.000 | 08/01/2033 | 24,829 | |||||||||||
1,591 | 5.000 | 09/01/2033 | 1,817 | |||||||||||
4,605 | 5.000 | 10/01/2033 | 5,258 | |||||||||||
10,336 | 5.000 | 11/01/2033 | 11,801 | |||||||||||
5,118 | 5.000 | 12/01/2033 | 5,844 | |||||||||||
4,381 | 5.000 | 01/01/2034 | 5,002 | |||||||||||
14,737 | 5.000 | 02/01/2034 | 16,834 | |||||||||||
6,718 | 5.000 | 03/01/2034 | 7,686 | |||||||||||
13,344 | 5.000 | 04/01/2034 | 15,270 | |||||||||||
15,845 | 5.000 | 05/01/2034 | 18,093 | |||||||||||
234,951 | 5.000 | 06/01/2034 | 268,328 | |||||||||||
3,911 | 5.000 | 11/01/2034 | 4,476 | |||||||||||
60,110 | 5.000 | 04/01/2035 | 68,632 | |||||||||||
1,054,664 | 5.000 | 07/01/2035 | 1,206,955 | |||||||||||
1,900 | 5.000 | 11/01/2035 | 2,169 | |||||||||||
53,323 | 5.000 | 03/01/2036 | 61,406 | |||||||||||
17,217 | 5.000 | 03/01/2037 | 19,672 | |||||||||||
52,130 | 5.000 | 12/01/2037 | 59,565 | |||||||||||
99,167 | 5.000 | 02/01/2038 | 113,311 | |||||||||||
228,659 | 5.000 | 03/01/2038 | 261,284 | |||||||||||
114,456 | 5.000 | 07/01/2038 | 130,786 | |||||||||||
91,259 | 5.000 | 11/01/2038 | 104,279 | |||||||||||
249,002 | 5.000 | 12/01/2038 | 284,515 | |||||||||||
139,254 | 5.000 | 01/01/2039 | 159,120 | |||||||||||
34,667 | 5.000 | 02/01/2039 | 39,613 | |||||||||||
222,584 | 5.000 | 06/01/2041 | 254,326 | |||||||||||
|
| |||||||||||||
3,237,965 | ||||||||||||||
|
| |||||||||||||
UMBS – 1.3% | ||||||||||||||
3,636 | 6.000 | 03/01/2034 | 4,251 | |||||||||||
13,447 | 6.000 | 08/01/2034 | 15,790 | |||||||||||
63,390 | 6.000 | 08/01/2035 | 75,398 | |||||||||||
101,725 | 6.000 | 09/01/2035 | 121,432 | |||||||||||
70,942 | 6.000 | 11/01/2035 | 84,698 | |||||||||||
369,862 | 6.000 | 03/01/2036 | 439,652 | |||||||||||
3,589 | 6.000 | 06/01/2036 | 4,268 | |||||||||||
681,225 | 6.000 | 09/01/2036 | 776,649 | |||||||||||
141,338 | 6.000 | 12/01/2036 | 169,481 | |||||||||||
8,893 | 6.000 | 02/01/2037 | 10,587 | |||||||||||
1,796 | 6.000 | 04/01/2037 | 2,107 | |||||||||||
2,929 | 6.000 | 05/01/2037 | 3,488 | |||||||||||
87,241 | 6.000 | 06/01/2037 | 104,394 | |||||||||||
45,194 | 6.000 | 07/01/2037 | 54,083 | |||||||||||
118,671 | 6.000 | 08/01/2037 | 140,609 | |||||||||||
19,274 | 6.000 | 09/01/2037 | 23,133 | |||||||||||
9,552 | 6.000 | 10/01/2037 | 11,446 | |||||||||||
30,659 | 6.000 | 11/01/2037 | 36,808 | |||||||||||
2,508 | 6.000 | 12/01/2037 | 3,009 | |||||||||||
|
| |||||||||||||
Mortgage-Backed Securities – (continued) | ||||||||||||||
UMBS – (continued) | ||||||||||||||
270,973 | 6.000 | 01/01/2038 | 324,789 | |||||||||||
32,749 | 6.000 | 03/01/2038 | 39,270 | |||||||||||
1,791 | 6.000 | 04/01/2038 | 2,145 | |||||||||||
498 | 6.000 | 05/01/2038 | 560 | |||||||||||
773 | 6.000 | 09/01/2038 | 930 | |||||||||||
51,312 | 6.000 | 10/01/2038 | 61,436 | |||||||||||
1,928 | 6.000 | 12/01/2038 | 2,316 | |||||||||||
1,725 | 6.000 | 01/01/2039 | 2,072 | |||||||||||
6,262 | 4.000 | 08/01/2039 | 6,904 | |||||||||||
24,491 | 4.500 | 02/01/2040 | 27,436 | |||||||||||
2,032 | 6.000 | 04/01/2040 | 2,429 | |||||||||||
85,793 | 6.000 | 06/01/2040 | 102,588 | |||||||||||
192,881 | 6.000 | 05/01/2041 | 230,692 | |||||||||||
72,709 | 4.500 | 08/01/2041 | 81,267 | |||||||||||
|
| |||||||||||||
2,966,117 | ||||||||||||||
|
| |||||||||||||
TOTAL MORTGAGE-BACKED SECURITIES | ||||||||||||||
(Cost $5,862,722) | $ | 6,204,082 | ||||||||||||
|
| |||||||||||||
Collateralized Mortgage Obligations – 1.3% | ||||||||||||||
Regular Floater(a)(b) – 0.1% | ||||||||||||||
FHLMC REMIC Series 3371, Class FA | ||||||||||||||
$ | 137,163 | 0.759% | 09/15/2037 | $ | 139,296 | |||||||||
|
| |||||||||||||
Sequential Fixed Rate – 1.2% | ||||||||||||||
FHLMC REMIC Series 2755, Class ZA | ||||||||||||||
321,377 | 5.000 | 02/15/2034 | 362,216 | |||||||||||
FHLMC REMIC Series 4246, Class PT | ||||||||||||||
161,770 | 6.500 | 02/15/2036 | 191,767 | |||||||||||
FHLMC REMIC Series 4273, Class PD | ||||||||||||||
829,133 | 6.500 | 11/15/2043 | 1,001,379 | |||||||||||
FNMA REMIC Series 2012-111, Class B | ||||||||||||||
222,829 | 7.000 | 10/25/2042 | 274,110 | |||||||||||
FNMA REMIC Series 2012-153, Class B | ||||||||||||||
783,487 | 7.000 | 07/25/2042 | 984,759 | |||||||||||
|
| |||||||||||||
2,814,231 | ||||||||||||||
|
| |||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | ||||||||||||||
(Cost $2,730,817) | $ | 2,953,527 | ||||||||||||
|
| |||||||||||||
Asset-Backed Security(a) (b) – 0.0% | ||||||||||||||
Home Equity – 0.0% | ||||||||||||||
GMACM Home Equity Loan Trust Series 2007-HE3, Class 2A1 | ||||||||||||||
$ | 46,703 | 7.000% | 09/25/2037 | $ | 47,398 | |||||||||
(Cost $46,703) | ||||||||||||||
|
| |||||||||||||
U.S. Treasury Obligations – 8.2% | ||||||||||||||
U.S. Treasury Bonds | ||||||||||||||
$ | 1,100,000 | 2.750% | 11/15/2042 | $ | 1,361,422 | |||||||||
1,990,000 | 3.750(c) | 11/15/2043 | 2,862,180 | |||||||||||
20,000 | 3.375 | (c) | 05/15/2044 | 27,331 | ||||||||||
4,780,000 | 3.000 | 05/15/2047 | 6,257,319 | |||||||||||
1,050,000 | 1.625 | 11/15/2050 | 1,044,586 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 65 |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Schedule of Investments (continued)
December 31, 2020
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||
U.S. Treasury Obligations – (continued) | ||||||||||||
U.S. Treasury Notes | ||||||||||||
$ | 2,450,000 | 0.375 % | 12/31/2025 | $ | 2,451,531 | |||||||
2,490,000 | 2.625 | 12/31/2025 | 2,769,152 | |||||||||
40,000 | 1.375(c) | 08/31/2026 | 42,066 | |||||||||
2,350,000 | 0.625 | 12/31/2027 | 2,346,328 | |||||||||
|
| |||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||
(Cost $16,279,051) | $ | 19,161,915 | ||||||||||
|
|
Shares | Dividend Rate | Value | ||||
Investment Company(d) – 72.4% | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||
168,485,696 | 0.026% | 168,485,696 | ||||
(Cost $168,485,696) |
| |||||
| ||||||
TOTAL INVESTMENTS – 84.6% |
| |||||
(Cost $193,404,989) | $ | 196,852,618 | ||||
| ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 15.4% | 35,911,326 | |||||
| ||||||
NET ASSETS – 100.0% | $ | 232,763,944 | ||||
|
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, 2020. | |
(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 | |
REMIC | —Real Estate Mortgage Investment Conduit | |
UMBS | —Uniform Mortgage-Backed Securities | |
Currency Abbreviation: | ||
USD | —United States Dollar | |
|
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At December 31, 2020, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
U.S. Treasury Long Bond | 18 | 03/22/2021 | $ | 3,112,875 | $ | (30,693 | ) | |||||||||
Short position contracts: | ||||||||||||||||
U.S. Treasury 2 Year Note | (46 | ) | 03/31/2021 | (10,164,203 | ) | (8,224 | ) | |||||||||
U.S. Treasury 5 Year Note | (61 | ) | 03/31/2021 | (7,694,578 | ) | (8,561 | ) | |||||||||
U.S. Treasury 10 Year Note | (30 | ) | 03/22/2021 | (4,140,938 | ) | (299 | ) | |||||||||
U.S. Treasury 10 Year Ultra Note | (16 | ) | 03/22/2021 | (2,499,500 | ) | 9,418 | ||||||||||
U.S. Treasury Ultra Bond | (59 | ) | 03/22/2021 | (12,568,844 | ) | 162,659 | ||||||||||
Total | $ | 154,993 | ||||||||||||||
Total Futures Contracts | $ | 124,300 |
66 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS COMMODITY STRATEGY FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
SWAP CONTRACTS — At December 31, 2020, the Fund had the following swap contracts:
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 | (0.000)% | BNP Paribas SA | 04/08/2021 | USD | 61,336 | $ | — | |||||||||||||||
S&P GSCI Energy 1 Month Forward Index | (0.000) | Macquarie Bank Ltd. | 04/16/2021 | 55,062 | 40 | |||||||||||||||||
S&P GSCI Energy 1 Month Forward Index | (0.000) | Merrill Lynch & Co., Inc. | 04/22/2021 | 117,057 | — | |||||||||||||||||
TOTAL | $ | 40 |
(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. |
The accompanying notes are an integral part of these financial statements. | 67 |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Consolidated Schedule of Investments
December 31, 2020
Shares | Dividend Rate | Value | ||||
Investment Companies(a) – 66.7% | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||
180,241,518 | 0.026% | $ | 180,241,518 | |||
| ||||||
TOTAL INVESTMENTS – 66.7% |
| |||||
(Cost $180,241,518) | $ | 180,241,518 | ||||
| ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 33.3% | 89,885,777 | |||||
| ||||||
NET ASSETS – 100.0% | $ | 270,127,295 | ||||
|
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, 2020, 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 | 20,638,000 | USD | 15,255,986 | 03/17/2021 | $ | 664,347 | |||||||||||||
BRL | 6,640,000 | USD | 1,268,774 | 01/05/2021 | 9,575 | |||||||||||||||
CAD | 20,938,000 | USD | 16,194,078 | 03/17/2021 | 258,244 | |||||||||||||||
CHF | 3,900,000 | USD | 4,398,121 | 03/17/2021 | 16,443 | |||||||||||||||
CLP | 4,130,000,000 | USD | 5,494,457 | 03/17/2021 | 318,666 | |||||||||||||||
COP | 15,994,000,000 | USD | 4,502,132 | 03/17/2021 | 172,641 | |||||||||||||||
CZK | 143,600,000 | USD | 6,580,850 | 03/17/2021 | 107,775 | |||||||||||||||
EUR | 30,776,000 | USD | 37,368,990 | 03/17/2021 | 289,418 | |||||||||||||||
GBP | 17,237,750 | USD | 23,017,187 | 03/17/2021 | 565,979 | |||||||||||||||
HUF | 1,528,000,000 | USD | 5,140,505 | 03/17/2021 | 6,339 | |||||||||||||||
IDR | 125,100,000,000 | USD | 8,731,765 | 03/17/2021 | 212,259 | |||||||||||||||
INR | 1,135,000,000 | USD | 15,249,227 | 03/17/2021 | 176,937 | |||||||||||||||
JPY | 468,276,000 | USD | 4,525,735 | 03/17/2021 | 13,115 | |||||||||||||||
KRW | 16,800,000,000 | USD | 15,158,351 | 03/17/2021 | 281,253 | |||||||||||||||
MXN | 102,615,000 | USD | 5,058,414 | 03/17/2021 | 56,852 | |||||||||||||||
NOK | 43,700,000 | USD | 4,949,933 | 03/17/2021 | 145,467 |
68 | 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) | NZD | 7,780,000 | USD | 5,484,534 | 03/17/2021 | $ | 114,924 | |||||||||||||
RUB | 395,000,000 | USD | 5,205,827 | 03/17/2021 | 89,397 | |||||||||||||||
SEK | 69,039,000 | USD | 8,137,546 | 03/17/2021 | 260,108 | |||||||||||||||
TRY | 15,880,000 | USD | 2,018,541 | 03/17/2021 | 59,787 | |||||||||||||||
USD | 1,223,938 | BRL | 6,340,000 | 01/05/2021 | 3,346 | |||||||||||||||
USD | 700,322 | EUR | 572,000 | 03/17/2021 | 406 | |||||||||||||||
USD | 1,079,290 | PLN | 3,992,000 | 03/17/2021 | 10,336 | |||||||||||||||
ZAR | 97,860,000 | USD | 6,337,637 | 03/17/2021 | 261,550 | |||||||||||||||
TOTAL | $ | 4,095,164 |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||||||
Morgan Stanley Co., Inc. | BRL | 12,560,000 | USD | 2,434,356 | 01/05/2021 | $ | (16,275 | ) | ||||||||||||
BRL | 6,340,000 | USD | 1,223,277 | 02/02/2021 | (3,106 | ) | ||||||||||||||
EUR | 1,606,000 | USD | 1,966,288 | 03/17/2021 | (1,140 | ) | ||||||||||||||
HUF | 15,100,000 | USD | 50,958 | 03/17/2021 | (96 | ) | ||||||||||||||
PLN | 25,410,000 | USD | 6,849,273 | 03/17/2021 | (45,128 | ) | ||||||||||||||
USD | 2,231,599 | AUD | 2,956,000 | 03/17/2021 | (48,685 | ) | ||||||||||||||
USD | 2,389,913 | BRL | 12,860,000 | 01/05/2021 | (85,926 | ) | ||||||||||||||
USD | 2,515,977 | CAD | 3,242,000 | 03/17/2021 | (31,469 | ) | ||||||||||||||
USD | 9,432,390 | CHF | 8,397,000 | 03/17/2021 | (72,508 | ) | ||||||||||||||
USD | 1,946,753 | CZK | 42,250,000 | 03/17/2021 | (21,175 | ) | ||||||||||||||
USD | 15,648,725 | EUR | 12,902,000 | 03/17/2021 | (138,536 | ) | ||||||||||||||
USD | 17,399,282 | GBP | 12,976,000 | 03/17/2021 | (353,335 | ) | ||||||||||||||
USD | 1,265,507 | HUF | 376,226,000 | 03/17/2021 | (1,756 | ) | ||||||||||||||
USD | 13,786,959 | JPY | 1,438,949,000 | 03/17/2021 | (160,311 | ) | ||||||||||||||
USD | 2,524,205 | KRW | 2,800,000,000 | 03/17/2021 | (49,062 | ) | ||||||||||||||
USD | 1,405,865 | MXN | 28,490,000 | 03/17/2021 | (14,336 | ) | ||||||||||||||
USD | 1,018,329 | NOK | 8,900,000 | 03/17/2021 | (19,407 | ) | ||||||||||||||
USD | 648,441 | NZD | 920,000 | 03/17/2021 | (13,706 | ) | ||||||||||||||
USD | 4,167,591 | RUB | 319,500,000 | 03/17/2021 | (115,509 | ) | ||||||||||||||
USD | 2,630,751 | SEK | 21,994,600 | 03/17/2021 | (44,592 | ) | ||||||||||||||
USD | 3,395,140 | TRY | 27,720,000 | 03/17/2021 | (232,772 | ) | ||||||||||||||
USD | 1,820,052 | ZAR | 27,409,000 | 03/17/2021 | (28,273 | ) | ||||||||||||||
ZAR | 550,000 | USD | 37,349 | 03/17/2021 | (258 | ) | ||||||||||||||
TOTAL | $ | (1,497,361 | ) |
FUTURES CONTRACTS — At December 31, 2020, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
100 oz Gold | 1 | 02/24/2021 | $ | 190,390 | $ | (5,653 | ) | |||||||||
Amsterdam Exchange Index | 30 | 01/15/2021 | 4,577,742 | 33,267 | ||||||||||||
BIST 30 Index | 2,236 | 02/26/2021 | 4,989,111 | 171,762 | ||||||||||||
Brent Crude Oil | 44 | 01/29/2021 | 2,279,200 | 108,282 | ||||||||||||
CAC 40 10 Euro Index | 60 | 01/15/2021 | 4,062,231 | 7,966 | ||||||||||||
Coffee “C” | 36 | 03/19/2021 | 1,731,375 | 128,564 | ||||||||||||
Corn | 73 | 03/12/2021 | 1,772,988 | 250,813 |
The accompanying notes are an integral part of these financial statements. | 69 |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Consolidated Schedule of Investments (continued)
December 31, 2020
ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS (continued)
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: (continued) | ||||||||||||||||
Cotton No. 2 | 75 | 03/09/2021 | $ | 2,929,500 | $ | 290,296 | ||||||||||
DAX Index | 10 | 03/19/2021 | 4,198,200 | 102,660 | ||||||||||||
DJIA CBOT E-Mini Index | 18 | 03/19/2021 | 2,744,730 | 52,437 | ||||||||||||
EURO STOXX 50 Index | 57 | 03/19/2021 | 2,472,009 | 31,165 | ||||||||||||
Feeder Cattle | 8 | 03/25/2021 | 560,500 | (5,900 | ) | |||||||||||
FTSE 100 Index | 49 | 03/19/2021 | 4,301,882 | (10,625 | ) | |||||||||||
FTSE/JSE Top 40 Index | 154 | 03/18/2021 | 5,724,357 | (4,845 | ) | |||||||||||
FTSE/MIB Index | 32 | 03/19/2021 | 4,325,423 | 55,572 | ||||||||||||
Hang Seng Index | 43 | 01/28/2021 | 7,548,692 | 227,349 | ||||||||||||
HSCEI | 72 | 01/28/2021 | 4,969,216 | 118,732 | ||||||||||||
IBEX 35 Index | 73 | 01/15/2021 | 7,197,487 | 67,357 | ||||||||||||
KC HRW Wheat | 37 | 03/12/2021 | 1,120,638 | 58,156 | ||||||||||||
KOSPI 200 Index | 38 | 03/11/2021 | 3,403,227 | 209,643 | ||||||||||||
Lean Hogs | 30 | 02/12/2021 | 844,200 | 31,889 | ||||||||||||
LME Aluminum Base Metal | 97 | 01/20/2021 | 4,799,075 | 181,576 | ||||||||||||
LME Aluminum Base Metal | 80 | 02/17/2021 | 3,950,000 | (82,246 | ) | |||||||||||
LME Copper Base Metal | 23 | 01/20/2021 | 4,460,706 | 472,435 | ||||||||||||
LME Copper Base Metal | 18 | 02/17/2021 | 3,492,788 | 38,870 | ||||||||||||
LME Lead Base Metal | 141 | 01/20/2021 | 6,990,956 | (117,678 | ) | |||||||||||
LME Lead Base Metal | 57 | 02/17/2021 | 2,834,681 | (56,463 | ) | |||||||||||
LME Nickel Base Metal | 31 | 01/20/2021 | 3,081,369 | 188,695 | ||||||||||||
LME Nickel Base Metal | 27 | 02/17/2021 | 2,687,094 | 44,305 | ||||||||||||
LME Zinc Base Metal | 55 | 01/20/2021 | 3,758,329 | 157,034 | ||||||||||||
LME Zinc Base Metal | 45 | 02/17/2021 | 3,084,559 | (11,580 | ) | |||||||||||
Low Sulphur Gasoil | 11 | 02/11/2021 | 465,300 | 2,728 | ||||||||||||
MSCI Emerging Markets E-Mini Index | 88 | 03/19/2021 | 5,668,080 | 164,325 | ||||||||||||
NASDAQ 100 E-Mini Index | 10 | 03/19/2021 | 2,577,100 | 96,742 | ||||||||||||
Nikkei 225 Index | 12 | 03/11/2021 | 3,188,998 | 88,156 | ||||||||||||
NY Harbor ULSD | 14 | 01/29/2021 | 873,180 | 19,563 | ||||||||||||
OMXS30 Index | 197 | 01/15/2021 | 4,497,244 | (589 | ) | |||||||||||
RBOB Gasoline | 19 | 01/29/2021 | 1,126,297 | 105,173 | ||||||||||||
Russell 2000 E-Mini Index | 58 | 03/19/2021 | 5,726,920 | 101,230 | ||||||||||||
S&P 500 E-Mini Index | 33 | 03/19/2021 | 6,185,520 | 133,997 | ||||||||||||
S&P/TSX 60 Index | 53 | 03/18/2021 | 8,568,104 | (4,308 | ) | |||||||||||
SET50 Index | 534 | 03/30/2021 | 3,227,884 | 35,225 | ||||||||||||
SGX FTSE China A50 Index | 265 | 01/28/2021 | 4,693,680 | 204,191 | ||||||||||||
Silver | 10 | 03/29/2021 | 1,328,000 | 30,372 | ||||||||||||
Soybean | 26 | 03/12/2021 | 1,703,000 | 201,743 | ||||||||||||
SPI 200 Index | 67 | 03/18/2021 | 8,441,498 | (61,659 | ) | |||||||||||
Sugar No. 11 | 150 | 02/26/2021 | 2,602,320 | 461,416 | ||||||||||||
TOPIX Index | 32 | 03/11/2021 | 5,592,368 | 118,093 | ||||||||||||
VSTOXX | 294 | 01/20/2021 | 809,917 | 58,828 | ||||||||||||
Wheat | 39 | 03/12/2021 | 1,251,412 | 49,295 | ||||||||||||
Total | $ | 4,538,356 | ||||||||||||||
Short position contracts: | ||||||||||||||||
CBOE Volatility Index | (53 | ) | 01/20/2021 | (1,254,775 | ) | (11,973 | ) | |||||||||
Live Cattle | (2 | ) | 02/26/2021 | (92,100 | ) | (140 | ) | |||||||||
LME Aluminum Base Metal | (97 | ) | 01/20/2021 | (4,799,075 | ) | 87,476 | ||||||||||
LME Aluminum Base Metal | (8 | ) | 02/17/2021 | (395,000 | ) | 4,575 | ||||||||||
LME Copper Base Metal | (23 | ) | 01/20/2021 | (4,460,706 | ) | (76,652 | ) | |||||||||
LME Copper Base Metal | (3 | ) | 02/17/2021 | (582,131 | ) | 3,235 |
70 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS (continued)
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Short position contracts: (continued) | ||||||||||||||||
LME Lead Base Metal | (141 | ) | 01/20/2021 | $ | (6,990,956 | ) | $ | (223,091 | ) | |||||||
LME Nickel Base Metal | (31 | ) | 01/20/2021 | (3,081,369 | ) | (56,144 | ) | |||||||||
LME Nickel Base Metal | (5 | ) | 02/17/2021 | (497,610 | ) | 2,145 | ||||||||||
LME Zinc Base Metal | (55 | ) | 01/20/2021 | (3,758,329 | ) | 19,502 | ||||||||||
LME Zinc Base Metal | (6 | ) | 02/17/2021 | (411,274 | ) | (4,118 | ) | |||||||||
MSCI EAFE E-Mini Index | (68 | ) | 03/19/2021 | (7,244,720 | ) | (107,253 | ) | |||||||||
Natural Gas | (66 | ) | 01/27/2021 | (1,676,400 | ) | 38,627 | ||||||||||
Total | $ | (323,811 | ) | |||||||||||||
Total Futures Contracts | $ | 4,214,545 |
SWAP CONTRACTS — At December 31, 2020, the Fund had the following swap contracts:
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
Payments Made by the Fund | Payments by the Fund | Termination Date | Notional Amount (000’s)(a) | Value | Upfront Premium (Received) Paid | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
3 Month BBR(b) | 0.000% | 03/17/2022 | AUD | 566,970 | $ | (136,608 | ) | $ | (1,111,910 | ) | $ | 975,302 | ||||||||||||||
3 Month BA(c) | 0.500 | 03/17/2022 | CAD | 396,780 | 111,543 | (52,648 | ) | 164,191 | ||||||||||||||||||
6 Month LIBOR(c) | 0.000 | 03/17/2022 | CHF | 467,930 | 3,873,410 | 3,945,627 | (72,217 | ) | ||||||||||||||||||
6 Month EURIBOR(c) | 0.000 | 03/17/2022 | EUR | 700,630 | 4,522,168 | 4,663,837 | (141,669 | ) | ||||||||||||||||||
6 Month LIBOR(c) | 0.000 | 03/17/2022 | GBP | 686,800 | 245,295 | (405,867 | ) | 651,162 | ||||||||||||||||||
3 Month STIBOR(b) | 0.000 | 03/17/2022 | SEK | 2,245,700 | 146,164 | 188,465 | (42,301 | ) | ||||||||||||||||||
3 Month LIBOR(b) | 0.250 | 03/17/2022 | USD | 1,032,280 | 680,713 | 642,152 | 38,561 | |||||||||||||||||||
0.000%(d) | 6 Month EURIBOR | 03/17/2023 | EUR | 170,700 | (2,188,188 | ) | (2,195,449 | ) | 7,261 | |||||||||||||||||
6 Month LIBOR(c) | 0.000 | 03/17/2023 | GBP | 115,600 | (152,002 | ) | (289,390 | ) | 137,388 | |||||||||||||||||
3 Month LIBOR(b) | 0.250 | 03/17/2023 | USD | 116,170 | 120,109 | 111,544 | 8,565 | |||||||||||||||||||
1.000(d) | 6 Month PRIBOR | 03/17/2026 | CZK | 192,650 | 68,735 | 67,858 | 877 | |||||||||||||||||||
6 Month BUBOR(c) | 1.500 | 03/17/2026 | HUF | 5,879,520 | 393,663 | 362,764 | 30,899 | |||||||||||||||||||
1 Month TIIE(e) | 5.500 | 03/17/2026 | MXN | 272,150 | 461,476 | (634,531 | ) | 1,096,007 | ||||||||||||||||||
6 Month WIBOR(c) | 0.750 | 03/17/2026 | PLN | 5,090 | 6,876 | (23,410 | ) | 30,286 | ||||||||||||||||||
3 Month JIBAR(b) | 5.250 | 03/17/2026 | ZAR | 210,980 | 224,716 | (1,163,368 | ) | 1,388,084 | ||||||||||||||||||
1.250(c) | 3 Month BA | 03/17/2031 | CAD | 9,160 | (11,582 | ) | 32,788 | (44,370 | ) | |||||||||||||||||
6 Month LIBOR(c) | 0.000 | 03/17/2031 | CHF | 11,610 | 363,828 | 357,840 | 5,988 | |||||||||||||||||||
6 Month EURIBOR(c) | 0.000 | 03/17/2031 | EUR | 84,520 | 2,693,241 | 2,643,136 | 50,105 | |||||||||||||||||||
6 Month LIBOR(c) | 0.500 | 03/17/2031 | GBP | 33,140 | 404,335 | 214,965 | 189,370 | |||||||||||||||||||
3 Month STIBOR(b) | 0.250 | 03/17/2031 | SEK | 211,960 | (385,126 | ) | (295,232 | ) | (89,894 | ) | ||||||||||||||||
3 Month LIBOR(b) | 1.000 | 03/17/2031 | USD | 25,920 | 119,870 | 193,302 | (73,432 | ) | ||||||||||||||||||
0.000(d) | 6 Month EURIBOR | 03/17/2051 | EUR | 10,190 | (104,303 | ) | (14,900 | ) | (89,403 | ) | ||||||||||||||||
0.750(c) | 6 Month LIBOR | 03/17/2051 | GBP | 14,900 | (1,014,596 | ) | (584,132 | ) | (430,464 | ) | ||||||||||||||||
1.500(c) | 3 Month LIBOR | 03/17/2051 | USD | 20,270 | (456,499 | ) | (859,135 | ) | 402,636 | |||||||||||||||||
TOTAL | $ | 9,987,238 | $ | 5,794,306 | $ | 4,192,932 |
(a) | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to December 31, 2020. |
(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. | 71 |
GOLDMAN SACHS ALTERNATIVE FUNDS
Consolidated Statements of Assets and Liabilities(a)
December 31, 2020
Absolute Return Tracker Fund | Alternative Premia Fund | Commodity Strategy Fund | Managed Futures Strategy Fund | |||||||||||||||
Assets: |
| |||||||||||||||||
Investments in unaffiliated issuers, at value (cost $1,112,460,691, $0, $24,919,293 and $0)(b) | $ | 1,332,936,797 | $ | — | $ | 28,366,922 | $ | — | ||||||||||
Investments in affiliated issuers, at value (cost $1,902,588,303, $24,297,724, $168,485,696 and $180,241,518) | 1,902,588,303 | 24,297,724 | 168,485,696 | 180,241,518 | ||||||||||||||
Investments in affiliated securities lending reinvestment vehicle, at value (cost $2,117,550, $0, $0 and $0) | 2,117,550 | — | — | — | ||||||||||||||
Purchased Options, at value (premiums paid $526,571, $227,667, $0 and $0) | 331,160 | 164,950 | — | — | ||||||||||||||
Cash | 49,227,506 | 674,039 | 14,993,939 | 14,677,019 | ||||||||||||||
Foreign currencies, at value (cost $31,646,027, $1,948,909, $0 and $32,994,287) | 34,666,965 | 2,124,110 | — | 35,416,275 | ||||||||||||||
Receivables: | ||||||||||||||||||
Collateral on certain derivative contracts(c) | 153,161,106 | 7,328,449 | 7,868,942 | 37,577,018 | ||||||||||||||
Fund shares sold | 5,316,049 | 661 | 494,495 | 211,434 | ||||||||||||||
Dividends and interest | 566,650 | 460 | 74,964 | 3,286 | ||||||||||||||
Reimbursement from investment adviser | 178,101 | 48,353 | 224,471 | 1,736 | ||||||||||||||
Foreign tax reclaims | 124,322 | 46,607 | — | — | ||||||||||||||
Securities lending income | 19,784 | — | — | — | ||||||||||||||
Investments sold | 4,927 | 15,786 | — | — | ||||||||||||||
Due from broker | — | 7,680 | 13,113,592 | — | ||||||||||||||
Unrealized gain on swap contracts | 7,261,696 | 283,048 | 40 | — | ||||||||||||||
Unrealized gain on forward foreign currency exchange contracts | 1,671,790 | 49,708 | — | 4,095,164 | ||||||||||||||
Variation margin on futures | — | 52,216 | — | — | ||||||||||||||
Variation margin on swaps | 449,192 | 805 | — | 192,424 | ||||||||||||||
Other assets | 51,335 | 46,604 | 31,026 | 20,896 | ||||||||||||||
Total assets | 3,490,673,233 | 35,141,200 | 233,654,087 | 272,436,770 | ||||||||||||||
Liabilities: |
| |||||||||||||||||
Unrealized loss on swap contracts | 7,424,758 | 269,400 | — | — | ||||||||||||||
Written options, at value (premiums received $4,538,076, $0, $0 and $0) | 3,099,035 | — | — | — | ||||||||||||||
Variation margin on futures | 1,128,108 | — | 13,067 | 242,437 | ||||||||||||||
Unrealized loss on forward foreign currency exchange contracts | 272,876 | 43,322 | — | 1,497,361 | ||||||||||||||
Payables: | ||||||||||||||||||
Fund shares redeemed | 4,697,544 | 140,462 | 580,839 | 79,301 | ||||||||||||||
Payable upon return of securities loaned | 2,117,550 | — | — | — | ||||||||||||||
Management fees | 1,599,084 | 20,305 | 74,952 | 203,138 | ||||||||||||||
Distribution and Service fees and Transfer Agency fees | 168,339 | 5,030 | 13,518 | 30,716 | ||||||||||||||
Investments purchased | 481 | 17,661 | — | — | ||||||||||||||
Collateral on certain derivative contracts(c) | — | 10,000 | — | — | ||||||||||||||
Accrued expenses and other liabilities | 533,820 | 390,067 | 207,767 | 256,522 | ||||||||||||||
Total liabilities | 21,041,595 | 896,247 | 890,143 | 2,309,475 | ||||||||||||||
Net Assets: |
| |||||||||||||||||
Paid-in capital | 3,305,868,205 | 39,137,933 | 254,053,776 | 260,146,555 | ||||||||||||||
Total distributable earnings (loss) | 163,763,433 | (4,892,980 | ) | (21,289,832 | ) | 9,980,740 | ||||||||||||
NET ASSETS | $ | 3,469,631,638 | $ | 34,244,953 | $ | 232,763,944 | $ | 270,127,295 | ||||||||||
Net Assets: | ||||||||||||||||||
Class A | $ | 61,642,123 | $ | 5,642,184 | $ | 15,323,703 | $ | 11,963,913 | ||||||||||
Class C | 9,637,979 | 1,888,426 | 1,340,039 | 3,335,309 | ||||||||||||||
Institutional | 2,928,948,549 | 4,620,368 | 127,171,875 | 49,052,141 | ||||||||||||||
Investor | 246,694,082 | 2,095,547 | 3,114,576 | 149,762,168 | ||||||||||||||
Class R6 | 9,353,071 | 19,962,605 | 83,226,524 | 55,438,906 | ||||||||||||||
Class R | 1,561,650 | 23,611 | 1,903,484 | 503,987 | ||||||||||||||
Class P | 211,794,184 | 12,212 | 683,743 | 70,871 | ||||||||||||||
Total Net Assets | $ | 3,469,631,638 | $ | 34,244,953 | $ | 232,763,944 | $ | 270,127,295 | ||||||||||
Shares outstanding $0.001 par value (unlimited shares authorized): | ||||||||||||||||||
Class A | 6,363,178 | 838,227 | 1,966,901 | 1,182,102 | ||||||||||||||
Class C | 1,090,149 | 298,525 | 183,013 | 350,471 | ||||||||||||||
Institutional | 292,098,759 | 666,951 | 16,129,139 | 4,700,935 | ||||||||||||||
Investor | 24,876,345 | 304,357 | 394,639 | 14,514,784 | ||||||||||||||
Class R6 | 933,814 | 2,892,077 | 10,533,171 | 5,310,436 | ||||||||||||||
Class R | 166,208 | 3,533 | 249,088 | 50,809 | ||||||||||||||
Class P | 21,130,538 | 1,767 | 86,580 | 6,800 | ||||||||||||||
Net asset value, offering and redemption price per share:(d) | ||||||||||||||||||
Class A | $9.69 | $6.73 | $7.79 | $10.12 | ||||||||||||||
Class C | 8.84 | 6.33 | 7.32 | 9.52 | ||||||||||||||
Institutional | 10.03 | 6.93 | 7.88 | 10.43 | ||||||||||||||
Investor | 9.92 | 6.89 | 7.89 | 10.32 | ||||||||||||||
Class R6 | 10.02 | 6.90 | 7.90 | 10.44 | ||||||||||||||
Class R | 9.40 | 6.68 | 7.64 | 9.92 | ||||||||||||||
Class P | 10.02 | 6.91 | 7.90 | 10.42 |
(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, LLC, Cayman Commodity-AP LLC, Cayman Commodity-CSF, Ltd. and Cayman Commodity-MFS, LLC. (wholly-owned subsidiaries), respectively. Accordingly, all interfund balances and transactions have been eliminated. |
(b) | Includes loaned securities having a market value of $2,068,180 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 | $ | — | $ | 43,627,582 | $ | 73,190,833 | $ | 36,342,691 | ||||||||||
Alternative Premia | (10,000 | ) | 2,079,120 | 5,216,866 | 32,463 | |||||||||||||
Commodity Strategy | — | 12,989 | — | 7,855,953 | ||||||||||||||
Managed Futures Strategy | 3,020,000 | 13,290,924 | — | 21,266,094 |
(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 $10.25, $7.12, $8.16 and $10.71, 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. |
72 | 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, 2020
Absolute Return Tracker Fund | Alternative Premia Fund | Commodity Strategy Fund | Managed Futures Strategy Fund | |||||||||||||||
Investment income: |
| |||||||||||||||||
Dividends — unaffiliated issuers (net of foreign taxes withheld of $138,558, $13,347, $0 and $0) | $ | 19,391,481 | $ | — | $ | — | $ | — | ||||||||||
Dividends — affiliated issuers | 9,594,495 | 175,631 | 539,146 | 983,069 | ||||||||||||||
Securities lending income — affiliated issuer | 416,005 | — | — | — | ||||||||||||||
Interest | — | — | 226,885 | — | ||||||||||||||
Total investment income | 29,401,981 | 175,631 | 766,031 | 983,069 | ||||||||||||||
Expenses: |
| |||||||||||||||||
Management fees | 21,789,404 | 391,163 | 1,193,502 | 3,038,524 | ||||||||||||||
Transfer Agency fees(b) | 1,829,874 | 31,496 | 94,330 | 281,644 | ||||||||||||||
Custody, accounting and administrative services | 787,656 | 105,672 | 146,227 | 123,462 | ||||||||||||||
Printing and mailing costs | 553,567 | 51,940 | 239,946 | 80,144 | ||||||||||||||
Distribution and Service (12b-1) fees(b) | 267,876 | 39,993 | 57,442 | 48,657 | ||||||||||||||
Registration fees | 220,564 | 93,378 | 107,253 | 118,762 | ||||||||||||||
Professional fees | 220,412 | 246,212 | 306,868 | 204,319 | ||||||||||||||
Service fees — Class C | 30,495 | 7,645 | 3,653 | 7,978 | ||||||||||||||
Trustee fees | 26,308 | 20,526 | 20,793 | 20,908 | ||||||||||||||
Other | 79,249 | 50,349 | 39,364 | 203,434 | ||||||||||||||
Total expenses | 25,805,405 | 1,038,374 | 2,209,378 | 4,127,832 | ||||||||||||||
Less — expense reductions | (5,184,401 | ) | (601,361 | ) | (1,178,695 | ) | (673,723 | ) | ||||||||||
Net expenses | 20,621,004 | 437,013 | 1,030,683 | 3,454,109 | ||||||||||||||
NET INVESTMENT INCOME (LOSS) | 8,780,977 | (261,382 | ) | (264,652 | ) | (2,471,040 | ) | |||||||||||
Realized and unrealized gain (loss): |
| |||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||||
Investments — unaffiliated issuers | 66,373,108 | 2,043 | 3,370,292 | — | ||||||||||||||
Investments — affiliated issuers | — | — | 401,631 | — | ||||||||||||||
Futures contracts | 36,189,989 | (1,545,202 | ) | (4,499,920 | ) | (1,251,479 | ) | |||||||||||
Purchased options | (3,084,148 | ) | 599,196 | (45,626 | ) | — | ||||||||||||
Swap contracts | (15,906,459 | ) | (1,426,258 | ) | (51,531,198 | ) | 13,437,021 | |||||||||||
Forward foreign currency exchange contracts | (1,473,150 | ) | (139,104 | ) | — | (4,466,017 | ) | |||||||||||
Foreign currency transactions | 2,446,402 | 41,618 | — | (784,765 | ) | |||||||||||||
Written options | (75,036,103 | ) | (1,190,456 | ) | 31,462 | — | ||||||||||||
Net change in unrealized gain (loss) on: |
| |||||||||||||||||
Investments — affiliated issuers | — | — | (67,500 | ) | — | |||||||||||||
Investments — unaffiliated issuers | 44,941,513 | — | 2,536,220 | — | ||||||||||||||
Futures contracts | 7,878,788 | (942,584 | ) | (619,165 | ) | 4,148,389 | ||||||||||||
Purchased options | (195,411 | ) | 36,813 | (19,129 | ) | — | ||||||||||||
Swap contracts | 11,173,877 | 102,168 | (27,372 | ) | 2,797,592 | |||||||||||||
Forward foreign currency exchange contracts | 2,059,473 | 343,675 | — | 4,015,279 | ||||||||||||||
Foreign currency translation | 2,643,923 | 74,676 | — | 782,323 | ||||||||||||||
Written options | (2,644,985 | ) | 168,642 | 5,802 | — | |||||||||||||
Net realized and unrealized gain (loss) | 75,366,817 | (3,874,773 | ) | (50,464,503 | ) | 18,678,343 | ||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 84,147,794 | $ | (4,136,155 | ) | $ | (50,729,155 | ) | $ | 16,207,303 |
(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, LLC, Cayman Commodity-AP LLC, Cayman Commodity-CSF, Ltd. and Cayman Commodity-MFS, LLC (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 (12b-1) Service Fees | Transfer Agency Fees | |||||||||||||||||||||||||||||||||||||||
Fund | Class A | Class C | Class R | Class A | Class C | Institutional | Investor | Class R6 | Class R | Class P | ||||||||||||||||||||||||||||||
Absolute Return Tracker | $ | 166,741 | $ | 91,485 | $ | 9,650 | $ | 110,185 | $ | 20,210 | $ | 1,120,131 | $ | 510,551 | $ | 2,602 | $ | 3,193 | $ | 63,002 | ||||||||||||||||||||
Alternative Premia | 16,848 | 22,936 | 209 | 11,149 | 5,074 | 3,993 | 4,731 | 6,476 | 69 | 4 | ||||||||||||||||||||||||||||||
Commodity Strategy | 38,085 | 10,960 | 8,397 | 19,082 | 1,834 | 47,289 | 4,243 | 19,584 | 2,096 | 202 | ||||||||||||||||||||||||||||||
Managed Futures Strategy | 22,236 | 23,934 | 2,487 | 14,618 | 5,268 | 34,927 | 210,208 | 15,735 | 821 | 67 |
The accompanying notes are an integral part of these financial statements. | 73 |
GOLDMAN SACHS ALTERNATIVE FUNDS
Consolidated Statements of Changes in Net Assets(a)
Absolute Return Tracker Fund | Alternative Premia Fund | |||||||||||||||||||||
For the Fiscal December 31, 2020 | For the Fiscal December 31, 2019 | For the Fiscal December 31, 2020 | For the Fiscal December 31, 2019 | |||||||||||||||||||
From operations: |
| |||||||||||||||||||||
Net investment income (loss) | $ | 8,780,977 | $ | 43,559,890 | $ | (261,382 | ) | $ | 705,957 | |||||||||||||
Net realized gain (loss) | 9,509,639 | 51,609,360 | (3,658,163 | ) | 285,360 | |||||||||||||||||
Net change in unrealized gain (loss) | 65,857,178 | 213,165,470 | (216,610 | ) | 541,962 | |||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 84,147,794 | 308,334,720 | (4,136,155 | ) | 1,533,279 | |||||||||||||||||
Distributions to shareholders: |
| |||||||||||||||||||||
From distributable earnings: | ||||||||||||||||||||||
Class A Shares | (386,990 | ) | (2,592,132 | ) | (401,977 | ) | — | |||||||||||||||
Class C Shares | (67,157 | ) | (428,576 | ) | (82,517 | ) | — | |||||||||||||||
Institutional Shares | (17,700,159 | ) | (100,628,198 | ) | (342,456 | ) | — | |||||||||||||||
Investor Shares | (1,515,395 | ) | (12,740,193 | ) | (145,793 | ) | — | |||||||||||||||
Class R6 Shares | (56,391 | ) | (316,963 | ) | (1,451,948 | ) | — | |||||||||||||||
Class R Shares | (10,040 | ) | (75,925 | ) | (1,195 | ) | — | |||||||||||||||
Class P Shares | (1,277,883 | ) | (7,529,973 | ) | (891 | ) | �� | |||||||||||||||
Total distributions to shareholders | (21,014,015 | ) | (124,311,960 | ) | (2,426,777 | ) | — | |||||||||||||||
From share transactions: |
| |||||||||||||||||||||
Proceeds from sales of shares | 1,411,743,043 | 1,849,950,371 | 6,525,219 | 13,706,994 | ||||||||||||||||||
Reinvestment of distributions | 15,612,050 | 97,133,671 | 2,401,923 | — | ||||||||||||||||||
Cost of shares redeemed | (1,572,014,523 | ) | (1,209,080,827 | ) | (20,153,881 | ) | (73,158,871 | ) | ||||||||||||||
Net increase (decrease) in net assets resulting from share transactions | (144,659,430 | ) | 738,003,215 | (11,226,739 | ) | (59,451,877 | ) | |||||||||||||||
TOTAL INCREASE (DECREASE) | (81,525,651 | ) | 922,025,975 | (17,789,671 | ) | (57,918,598 | ) | |||||||||||||||
Net Assets: |
| |||||||||||||||||||||
Beginning of year | 3,551,157,289 | 2,629,131,314 | 52,034,624 | 109,953,222 | ||||||||||||||||||
End of year | $ | 3,469,631,638 | $ | 3,551,157,289 | $ | 34,244,953 | $ | 52,034,624 |
(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, LLC and Cayman Commodity-AP, LLC (wholly-owned subsidiaries), respectively. Accordingly, all interfund balances and transactions have been eliminated. |
74 | 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 December 31, 2020 | For the Fiscal December 31, 2019 | For the Fiscal December 31, 2020 | For the Fiscal December 31, 2019 | |||||||||||||||||||
From operations: |
| |||||||||||||||||||||
Net investment income (loss) | $ | (264,652 | ) | $ | 4,682,044 | $ | (2,471,040 | ) | $ | 869,077 | ||||||||||||
Net realized gain (loss) | (52,273,359 | ) | 39,206,116 | 6,934,760 | 8,028,163 | |||||||||||||||||
Net change in unrealized gain (loss) | 1,808,856 | 4,852,546 | 11,743,583 | (5,911,836 | ) | |||||||||||||||||
Net increase (decrease) in net assets resulting from operations | (50,729,155 | ) | 48,740,706 | 16,207,303 | 2,985,404 | |||||||||||||||||
Distributions to shareholders: |
| |||||||||||||||||||||
From distributable earnings: | ||||||||||||||||||||||
Class A Shares | (35,886 | ) | (372,743 | ) | (142,248 | ) | (577,586 | ) | ||||||||||||||
Class C Shares | — | (36,445 | ) | (43,078 | ) | (208,212 | ) | |||||||||||||||
Institutional Shares | (485,058 | ) | (2,728,661 | ) | (573,968 | ) | (6,209,376 | ) | ||||||||||||||
Investor Shares | (10,293 | ) | (113,406 | ) | (1,830,145 | ) | (7,186,902 | ) | ||||||||||||||
Class R6 Shares | (249,795 | ) | (1,410,398 | ) | (659,155 | ) | (3,422,044 | ) | ||||||||||||||
Class R Shares | (2,158 | ) | (36,299 | ) | (6,810 | ) | (34,183 | ) | ||||||||||||||
Class P Shares | (2,720 | ) | (20,023 | ) | (842 | ) | (14,535 | ) | ||||||||||||||
Return of capital | ||||||||||||||||||||||
Class A Shares | — | (1,847,277 | ) | — | — | |||||||||||||||||
Class C Shares | — | (180,615 | ) | — | — | |||||||||||||||||
Institutional Shares | — | (13,522,982 | ) | — | — | |||||||||||||||||
Investor Shares | — | (562,030 | ) | — | — | |||||||||||||||||
Class R6 Shares | — | (6,989,799 | ) | — | — | |||||||||||||||||
Class R Shares | — | (179,895 | ) | — | — | |||||||||||||||||
Class P Shares | — | (99,232 | ) | — | — | |||||||||||||||||
Total distributions to shareholders | (785,910 | ) | (28,099,805 | ) | (3,256,246 | ) | (17,652,838 | ) | ||||||||||||||
From share transactions: |
| |||||||||||||||||||||
Proceeds from sales of shares | 138,603,930 | 182,252,232 | 191,383,416 | 144,777,817 | ||||||||||||||||||
Reinvestment of distributions | 614,812 | 23,551,880 | 3,243,585 | 17,638,961 | ||||||||||||||||||
Cost of shares redeemed | (131,532,145 | ) | (250,768,783 | ) | (198,235,855 | ) | (139,347,729 | ) | ||||||||||||||
Net increase (decrease) in net assets resulting from share transactions | 7,686,597 | (44,964,671 | ) | (3,608,854 | ) | 23,069,049 | ||||||||||||||||
TOTAL INCREASE (DECREASE) | (43,828,468 | ) | (24,323,770 | ) | 9,342,203 | 8,401,615 | ||||||||||||||||
Net Assets: |
| |||||||||||||||||||||
Beginning of year | 276,592,412 | 300,916,182 | 260,785,092 | 252,383,477 | ||||||||||||||||||
End of year | $ | 232,763,944 | $ | 276,592,412 | $ | 270,127,295 | $ | 260,785,092 |
(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, LLC (wholly-owned subsidiaries), respectively. Accordingly, all interfund balances and transactions have been eliminated. |
The accompanying notes are an integral part of these financial statements. | 75 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
Goldman Sachs Absolute Return Tracker Fund | ||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 9.44 | $ | 8.84 | $ | 9.31 | $ | 9.02 | $ | 8.67 | ||||||||||||
Net investment income (loss)(a) | (0.01 | ) | 0.10 | 0.07 | — | (b) | (0.04 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | 0.32 | 0.81 | (0.33 | ) | 0.62 | 0.43 | ||||||||||||||||
Total from investment operations | 0.31 | 0.91 | (0.26 | ) | 0.62 | 0.39 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.01 | ) | (0.09 | ) | (0.07 | ) | — | — | ||||||||||||||
Distributions to shareholders from net realized gains | (0.05 | ) | (0.22 | ) | (0.14 | ) | (0.33 | ) | (0.04 | ) | ||||||||||||
Total distributions | (0.06 | ) | (0.31 | ) | (0.21 | ) | (0.33 | ) | (0.04 | ) | ||||||||||||
Net asset value, end of year | $ | 9.69 | $ | 9.44 | $ | 8.84 | $ | 9.31 | $ | 9.02 | ||||||||||||
Total return(c) | 3.29 | % | 10.36 | % | (2.80 | )% | 6.93 | % | 4.45 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 61,642 | $ | 80,596 | $ | 65,635 | $ | 52,427 | $ | 38,886 | ||||||||||||
Ratio of net expenses to average net assets | 0.96 | % | 0.97 | % | 1.00 | % | 1.03 | % | 1.03 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.11 | % | 1.11 | % | 1.26 | % | 1.61 | % | 1.66 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | (0.10 | )% | 1.08 | % | 0.73 | % | (0.04 | )% | (0.43 | )% | ||||||||||||
Portfolio turnover rate(d) | 193 | % | 127 | % | 137 | % | 76 | % | 130 | % |
(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. |
76 | 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, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 8.69 | $ | 8.14 | $ | 8.61 | $ | 8.43 | $ | 8.17 | ||||||||||||
Net investment income (loss)(a) | (0.07 | ) | 0.03 | — | (b) | (0.07 | ) | (0.10 | ) | |||||||||||||
Net realized and unrealized gain (loss) | 0.28 | 0.75 | (0.31 | ) | 0.58 | 0.40 | ||||||||||||||||
Total from investment operations | 0.21 | 0.78 | (0.31 | ) | 0.51 | 0.30 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.01 | ) | (0.01 | ) | (0.02 | ) | — | — | ||||||||||||||
Distributions to shareholders from net realized gains | (0.05 | ) | (0.22 | ) | (0.14 | ) | (0.33 | ) | (0.04 | ) | ||||||||||||
Total distributions | (0.06 | ) | (0.23 | ) | (0.16 | ) | (0.33 | ) | (0.04 | ) | ||||||||||||
Net asset value, end of year | $ | 8.84 | $ | 8.69 | $ | 8.14 | $ | 8.61 | $ | 8.43 | ||||||||||||
Total return(c) | 2.43 | % | 9.69 | % | (3.60 | )% | 6.10 | % | 3.62 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 9,638 | $ | 15,761 | $ | 18,985 | $ | 13,718 | $ | 13,490 | ||||||||||||
Ratio of net expenses to average net assets | 1.71 | % | 1.72 | % | 1.75 | % | 1.78 | % | 1.78 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.86 | % | 1.86 | % | 2.00 | % | 2.36 | % | 2.41 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | (0.84 | )% | 0.34 | % | — | %(d) | (0.81 | )% | (1.18 | )% | ||||||||||||
Portfolio turnover rate(e) | 193 | % | 127 | % | 137 | % | 76 | % | 130 | % |
(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. | 77 |
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, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 9.74 | $ | 9.10 | $ | 9.58 | $ | 9.23 | $ | 8.86 | ||||||||||||
Net investment income (loss)(a) | 0.03 | 0.14 | 0.11 | 0.03 | — | (b) | ||||||||||||||||
Net realized and unrealized gain (loss) | 0.32 | 0.85 | (0.35 | ) | 0.65 | 0.43 | ||||||||||||||||
Total from investment operations | 0.35 | 0.99 | (0.24 | ) | 0.68 | 0.43 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.01 | ) | (0.13 | ) | (0.10 | ) | — | (b) | (0.02 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.05 | ) | (0.22 | ) | (0.14 | ) | (0.33 | ) | (0.04 | ) | ||||||||||||
Total distributions | (0.06 | ) | (0.35 | ) | (0.24 | ) | (0.33 | ) | (0.06 | ) | ||||||||||||
Net asset value, end of year | $ | 10.03 | $ | 9.74 | $ | 9.10 | $ | 9.58 | $ | 9.23 | ||||||||||||
Total return(c) | 3.60 | % | 10.91 | % | (2.47 | )% | 7.46 | % | 4.82 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 2,928,949 | $ | 2,852,690 | $ | 2,129,116 | $ | 1,510,457 | $ | 970,838 | ||||||||||||
Ratio of net expenses to average net assets | 0.58 | % | 0.59 | % | 0.61 | % | 0.64 | % | 0.62 | % | ||||||||||||
Ratio of total expenses to average net assets | 0.73 | % | 0.73 | % | 0.88 | % | 1.21 | % | 1.24 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | 0.28 | % | 1.46 | % | 1.13 | % | 0.36 | % | (0.02 | )% | ||||||||||||
Portfolio turnover rate(d) | 193 | % | 127 | % | 137 | % | 76 | % | 130 | % |
(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. |
78 | 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, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 9.64 | $ | 9.02 | $ | 9.50 | $ | 9.17 | $ | 8.80 | ||||||||||||
Net investment income (loss)(b) | 0.02 | 0.13 | 0.10 | 0.03 | (0.01 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | 0.32 | 0.83 | (0.35 | ) | 0.63 | 0.43 | ||||||||||||||||
Total from investment operations | 0.34 | 0.96 | (0.25 | ) | 0.66 | 0.42 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.01 | ) | (0.12 | ) | (0.09 | ) | — | (0.01 | ) | |||||||||||||
Distributions to shareholders from net realized gains | (0.05 | ) | (0.22 | ) | (0.14 | ) | (0.33 | ) | (0.04 | ) | ||||||||||||
Total distributions | (0.06 | ) | (0.34 | ) | (0.23 | ) | (0.33 | ) | (0.05 | ) | ||||||||||||
Net asset value, end of year | $ | 9.92 | $ | 9.64 | $ | 9.02 | $ | 9.50 | $ | 9.17 | ||||||||||||
Total return(c) | 3.54 | % | 10.66 | % | (2.58 | )% | 7.25 | % | 4.75 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 246,694 | $ | 370,779 | $ | 254,436 | $ | 93,650 | $ | 13,245 | ||||||||||||
Ratio of net expenses to average net assets | 0.71 | % | 0.72 | % | 0.75 | % | 0.78 | % | 0.78 | % | ||||||||||||
Ratio of total expenses to average net assets | 0.86 | % | 0.87 | % | 0.98 | % | 1.35 | % | 1.42 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | 0.16 | % | 1.33 | % | 1.08 | % | 0.28 | % | (0.13 | )% | ||||||||||||
Portfolio turnover rate(d) | 193 | % | 127 | % | 137 | % | 76 | % | 130 | % |
(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. | 79 |
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 R6 Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 9.72 | $ | 9.09 | $ | 9.57 | $ | 9.23 | $ | 8.86 | ||||||||||||
Net investment income(a) | 0.03 | 0.14 | 0.12 | 0.04 | — | (b) | ||||||||||||||||
Net realized and unrealized gain (loss) | 0.33 | 0.84 | (0.36 | ) | 0.63 | 0.43 | ||||||||||||||||
Total from investment operations | 0.36 | 0.98 | (0.24 | ) | 0.67 | 0.43 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.01 | ) | (0.13 | ) | (0.10 | ) | — | (b) | (0.02 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.05 | ) | (0.22 | ) | (0.14 | ) | (0.33 | ) | (0.04 | ) | ||||||||||||
Total distributions | (0.06 | ) | (0.35 | ) | (0.24 | ) | (0.33 | ) | (0.06 | ) | ||||||||||||
Net asset value, end of year | $ | 10.02 | $ | 9.72 | $ | 9.09 | $ | 9.57 | $ | 9.23 | ||||||||||||
Total return(c) | 3.71 | % | 10.82 | % | (2.46 | )% | 7.36 | % | 4.85 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 9,353 | $ | 9,284 | $ | 6,030 | $ | 2,226 | $ | 27 | ||||||||||||
Ratio of net expenses to average net assets | 0.57 | % | 0.58 | % | 0.60 | % | 0.62 | % | 0.64 | % | ||||||||||||
Ratio of total expenses to average net assets | 0.72 | % | 0.72 | % | 0.84 | % | 1.19 | % | 1.24 | % | ||||||||||||
Ratio of net investment income to average net assets | 0.29 | % | 1.47 | % | 1.20 | % | 0.39 | % | 0.01 | % | ||||||||||||
Portfolio turnover rate(d) | 193 | % | 127 | % | 137 | % | 76 | % | 130 | % |
(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. |
80 | 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, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 9.18 | $ | 8.61 | $ | 9.08 | $ | 8.82 | $ | 8.50 | ||||||||||||
Net investment income (loss)(a) | (0.03 | ) | 0.08 | 0.04 | (0.03 | ) | (0.06 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | 0.31 | 0.78 | (0.33 | ) | 0.62 | 0.42 | ||||||||||||||||
Total from investment operations | 0.28 | 0.86 | (0.29 | ) | 0.59 | 0.36 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.01 | ) | (0.07 | ) | (0.04 | ) | — | — | ||||||||||||||
Distributions to shareholders from net realized gains | (0.05 | ) | (0.22 | ) | (0.14 | ) | (0.33 | ) | (0.04 | ) | ||||||||||||
Total distributions | (0.06 | ) | (0.29 | ) | (0.18 | ) | (0.33 | ) | (0.04 | ) | ||||||||||||
Net asset value, end of year | $ | 9.40 | $ | 9.18 | $ | 8.61 | $ | 9.08 | $ | 8.82 | ||||||||||||
Total return(b) | 3.06 | % | 10.06 | % | (3.13 | )% | 6.74 | % | 4.19 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 1,562 | $ | 2,347 | $ | 1,954 | $ | 2,150 | $ | 2,197 | ||||||||||||
Ratio of net expenses to average net assets | 1.21 | % | 1.22 | % | 1.25 | % | 1.28 | % | 1.28 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.36 | % | 1.37 | % | 1.53 | % | 1.86 | % | 1.91 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | (0.35 | )% | 0.83 | % | 0.45 | % | (0.31 | )% | (0.66 | )% | ||||||||||||
Portfolio turnover rate(c) | 193 | % | 127 | % | 137 | % | 76 | % | 130 | % |
(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. | 81 |
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, | April 17, 2018* to December 31, 2018 | |||||||||||||
2020 | 2019 | |||||||||||||
Per Share Data | ||||||||||||||
Net asset value, beginning of period | $ | 9.73 | $ | 9.09 | $ | 9.64 | ||||||||
Net investment income(a) | 0.03 | 0.14 | 0.10 | |||||||||||
Net realized and unrealized gain (loss) | 0.32 | 0.85 | (0.41 | ) | ||||||||||
Total from investment operations | 0.35 | 0.99 | (0.31 | ) | ||||||||||
Distributions to shareholders from net investment income | (0.01 | ) | (0.13 | ) | (0.10 | ) | ||||||||
Distributions to shareholders from net realized gains | (0.05 | ) | (0.22 | ) | (0.14 | ) | ||||||||
Total distributions | (0.06 | ) | (0.35 | ) | (0.24 | ) | ||||||||
Net asset value, end of period | $ | 10.02 | $ | 9.73 | $ | 9.09 | ||||||||
Total return(b) | 3.61 | % | 10.93 | % | (3.17 | )% | ||||||||
Net assets, end of period (in 000s) | $ | 211,794 | $ | 219,701 | $ | 152,975 | ||||||||
Ratio of net expenses to average net assets | 0.57 | % | 0.58 | % | 0.59 | %(c) | ||||||||
Ratio of total expenses to average net assets | 0.72 | % | 0.72 | % | 0.74 | %(c) | ||||||||
Ratio of net investment income to average net assets | 0.29 | % | 1.48 | % | 1.41 | %(c) | ||||||||
Portfolio turnover rate(d) | 193 | % | 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. |
82 | 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 | ||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 7.97 | $ | 7.92 | $ | 8.91 | $ | 10.01 | $ | 9.45 | ||||||||||||
Net investment income (loss)(a) | (0.06 | ) | 0.05 | 0.03 | (0.01 | ) | (0.01 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | (0.68 | ) | — | (b) | (0.58 | ) | 1.40 | 0.57 | ||||||||||||||
Total from investment operations | (0.74 | ) | 0.05 | (0.55 | ) | 1.39 | 0.56 | |||||||||||||||
Distributions to shareholders from net investment income | (0.50 | ) | — | — | (0.17 | ) | — | |||||||||||||||
Distributions to shareholders from net realized gains | — | — | (0.44 | ) | (2.32 | ) | — | |||||||||||||||
Total distributions | (0.50 | ) | — | (0.44 | ) | (2.49 | ) | — | ||||||||||||||
Net asset value, end of year | $ | 6.73 | $ | 7.97 | $ | 7.92 | $ | 8.91 | $ | 10.01 | ||||||||||||
Total return(c) | (9.23 | )% | 0.63 | % | (6.18 | )% | 14.17 | % | 5.91 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 5,642 | $ | 8,047 | $ | 9,166 | $ | 13,886 | $ | 27,566 | ||||||||||||
Ratio of net expenses to average net assets | 1.19 | % | 1.13 | % | 1.13 | % | 1.12 | % | 1.15 | % | ||||||||||||
Ratio of total expenses to average net assets | 2.46 | % | 1.95 | % | 1.64 | % | 1.51 | % | 1.45 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | (0.83 | )% | 0.60 | % | 0.34 | % | (0.10 | )% | (0.13 | )% | ||||||||||||
Portfolio turnover rate(d) | — | % | — | % | — | % | 349 | % | 272 | % |
(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. | 83 |
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, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 7.34 | $ | 7.35 | $ | 8.36 | $ | 9.55 | $ | 9.08 | ||||||||||||
Net investment loss(a) | (0.11 | ) | (0.01 | ) | (0.03 | ) | (0.08 | ) | (0.08 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (0.61 | ) | — | (b) | (0.54 | ) | 1.32 | 0.55 | ||||||||||||||
Total from investment operations | (0.72 | ) | (0.01 | ) | (0.57 | ) | 1.24 | 0.47 | ||||||||||||||
Distributions to shareholders from net investment income | (0.29 | ) | — | — | (0.11 | ) | — | |||||||||||||||
Distributions to shareholders from net realized gains | — | — | (0.44 | ) | (2.32 | ) | — | |||||||||||||||
Total distributions | (0.29 | ) | — | (0.44 | ) | (2.43 | ) | — | ||||||||||||||
Net asset value, end of year | $ | 6.33 | $ | 7.34 | $ | 7.35 | $ | 8.36 | $ | 9.55 | ||||||||||||
Total return(c) | (9.82 | )% | (0.14 | )% | (6.93 | )% | 13.37 | % | 5.16 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 1,888 | $ | 4,335 | $ | 8,547 | $ | 15,239 | $ | 20,123 | ||||||||||||
Ratio of net expenses to average net assets | 1.94 | % | 1.89 | % | 1.88 | % | 1.87 | % | 1.90 | % | ||||||||||||
Ratio of total expenses to average net assets | 3.19 | % | 2.67 | % | 2.39 | % | 2.27 | % | 2.20 | % | ||||||||||||
Ratio of net investment loss to average net assets | (1.54 | )% | (0.11 | )% | (0.41 | )% | (0.84 | )% | (0.88 | )% | ||||||||||||
Portfolio turnover rate(d) | — | % | — | % | — | % | 349 | % | 272 | % |
(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 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, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 8.20 | $ | 8.11 | $ | 9.07 | $ | 10.15 | $ | 9.54 | ||||||||||||
Net investment income (loss)(a) | (0.03 | ) | 0.08 | 0.05 | 0.04 | 0.03 | ||||||||||||||||
Net realized and unrealized gain (loss) | (0.70 | ) | 0.01 | (0.57 | ) | 1.41 | 0.58 | |||||||||||||||
Total from investment operations | (0.73 | ) | 0.09 | (0.52 | ) | 1.45 | 0.61 | |||||||||||||||
Distributions to shareholders from net investment income | (0.54 | ) | — | — | (0.21 | ) | — | |||||||||||||||
Distributions to shareholders from net realized gains | — | — | (0.44 | ) | (2.32 | ) | — | |||||||||||||||
Total distributions | (0.54 | ) | — | (0.44 | ) | (2.53 | ) | — | ||||||||||||||
Net asset value, end of year | $ | 6.93 | $ | 8.20 | $ | 8.11 | $ | 9.07 | $ | 10.15 | ||||||||||||
Total return(b) | (8.89 | )% | 1.11 | % | (5.74 | )% | 14.59 | % | 6.38 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 4,620 | $ | 13,006 | $ | 32,924 | $ | 114,953 | $ | 468,924 | ||||||||||||
Ratio of net expenses to average net assets | 0.81 | % | 0.77 | % | 0.73 | % | 0.73 | % | 0.75 | % | ||||||||||||
Ratio of total expenses to average net assets | 2.06 | % | 1.51 | % | 1.27 | % | 1.09 | % | 1.05 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | (0.43 | )% | 1.02 | % | 0.52 | % | 0.36 | % | 0.27 | % | ||||||||||||
Portfolio turnover rate(c) | — | % | — | % | — | % | 349 | % | 272 | % |
(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. | 85 |
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, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 8.12 | $ | 8.04 | $ | 9.02 | $ | 10.11 | $ | 9.52 | ||||||||||||
Net investment income (loss)(b) | (0.04 | ) | 0.07 | 0.05 | 0.02 | 0.01 | ||||||||||||||||
Net realized and unrealized gain (loss) | (0.69 | ) | 0.01 | (0.59 | ) | 1.41 | 0.58 | |||||||||||||||
Total from investment operations | (0.73 | ) | 0.08 | (0.54 | ) | 1.43 | 0.59 | |||||||||||||||
Distributions to shareholders from net investment income | (0.50 | ) | — | — | (0.20 | ) | — | |||||||||||||||
Distributions to shareholders from net realized gains | — | — | (0.44 | ) | (2.32 | ) | — | |||||||||||||||
Total distributions | (0.50 | ) | — | (0.44 | ) | (2.52 | ) | — | ||||||||||||||
Net asset value, end of year | $ | 6.89 | $ | 8.12 | $ | 8.04 | $ | 9.02 | $ | 10.11 | ||||||||||||
Total return(c) | (8.97 | )% | 1.00 | % | (5.99 | )% | 14.47 | % | 6.18 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 2,096 | $ | 3,911 | $ | 9,092 | $ | 8,910 | $ | 5,733 | ||||||||||||
Ratio of net expenses to average net assets | 0.93 | % | 0.88 | % | 0.88 | % | 0.86 | % | 0.90 | % | ||||||||||||
Ratio of total expenses to average net assets | 2.19 | % | 1.66 | % | 1.39 | % | 1.28 | % | 1.20 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | (0.52 | )% | 0.91 | % | 0.61 | % | 0.20 | % | 0.10 | % | ||||||||||||
Portfolio turnover rate(d) | — | % | — | % | — | % | 349 | % | 272 | % |
(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. |
86 | 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 | ||||||||||||||||||||||
Class R6 Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 8.17 | $ | 8.09 | $ | 9.05 | $ | 10.15 | $ | 9.54 | ||||||||||||
Net investment income (loss)(a) | (0.04 | ) | 0.09 | 0.07 | 0.02 | 0.02 | ||||||||||||||||
Net realized and unrealized gain (loss) | (0.69 | ) | (0.01 | ) | (0.59 | ) | 1.42 | 0.59 | ||||||||||||||
Total from investment operations | (0.73 | ) | 0.08 | (0.52 | ) | 1.44 | 0.61 | |||||||||||||||
Distributions to shareholders from net investment income | (0.54 | ) | — | — | (0.22 | ) | — | |||||||||||||||
Distributions to shareholders from net realized gains | — | — | (0.44 | ) | (2.32 | ) | — | |||||||||||||||
Total distributions | (0.54 | ) | — | (0.44 | ) | (2.54 | ) | — | ||||||||||||||
Net asset value, end of year | $ | 6.90 | $ | 8.17 | $ | 8.09 | $ | 9.05 | $ | 10.15 | ||||||||||||
Total return(b) | (8.88 | )% | 0.99 | % | (5.75 | )% | 14.48 | % | 6.38 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 19,963 | $ | 22,670 | $ | 50,199 | $ | 3,074 | $ | 10 | ||||||||||||
Ratio of net expenses to average net assets | 0.81 | % | 0.74 | % | 0.72 | % | 0.72 | % | 0.77 | % | ||||||||||||
Ratio of total expenses to average net assets | 2.08 | % | 1.52 | % | 1.24 | % | 1.27 | % | 1.02 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | (0.46 | )% | 1.05 | % | 0.82 | % | 0.22 | % | 0.24 | % | ||||||||||||
Portfolio turnover rate(c) | — | % | — | % | — | % | 349 | % | 272 | % |
(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 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, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 7.78 | $ | 7.75 | $ | 8.75 | $ | 9.89 | $ | 9.36 | ||||||||||||
Net investment income (loss)(a) | (0.08 | ) | 0.03 | 0.01 | (0.03 | ) | (0.04 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | (0.66 | ) | — | (b) | (0.57 | ) | 1.37 | 0.57 | ||||||||||||||
Total from investment operations | (0.74 | ) | 0.03 | (0.56 | ) | 1.34 | 0.53 | |||||||||||||||
Distributions to shareholders from net investment income | (0.36 | ) | — | — | (0.16 | ) | — | |||||||||||||||
Distributions to shareholders from net realized gains | — | — | (0.44 | ) | (2.32 | ) | — | |||||||||||||||
Total distributions | (0.36 | ) | — | (0.44 | ) | (2.48 | ) | — | ||||||||||||||
Net asset value, end of year | $ | 6.68 | $ | 7.78 | $ | 7.75 | $ | 8.75 | $ | 9.89 | ||||||||||||
Total return(c) | (9.53 | )% | 0.39 | % | (6.40 | )% | 13.89 | % | 5.65 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 24 | $ | 53 | $ | 13 | $ | 13 | $ | 12 | ||||||||||||
Ratio of net expenses to average net assets | 1.46 | % | 1.36 | % | 1.38 | % | 1.36 | % | 1.40 | % | ||||||||||||
Ratio of total expenses to average net assets | 2.71 | % | 2.16 | % | 1.88 | % | 1.77 | % | 1.71 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | (1.10 | )% | 0.42 | % | 0.11 | % | (0.33 | )% | (0.39 | )% | ||||||||||||
Portfolio turnover rate(d) | — | % | — | % | — | % | 349 | % | 272 | % |
(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. |
88 | 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, | April 17, 2018* to December 31, 2018 | |||||||||||||
2020 | 2019 | |||||||||||||
Per Share Data |
| |||||||||||||
Net asset value, beginning of period | $ | 8.19 | $ | 8.10 | $ | 8.85 | ||||||||
Net investment income (loss)(a) | (0.04 | ) | 0.08 | 0.05 | ||||||||||
Net realized and unrealized gain (loss) | (0.70 | ) | 0.01 | (0.36 | ) | |||||||||
Total from investment operations | (0.74 | ) | 0.09 | (0.31 | ) | |||||||||
Distributions to shareholders from net investment income | (0.54 | ) | — | — | ||||||||||
Distributions to shareholders from net realized gains | — | — | (0.44 | ) | ||||||||||
Total distributions | (0.54 | ) | — | (0.44 | ) | |||||||||
Net asset value, end of period | $ | 6.91 | $ | 8.19 | $ | 8.10 | ||||||||
Total return(b) | (8.95 | )% | 1.11 | % | (3.51 | )% | ||||||||
Net assets, end of period (in 000s) | $ | 12 | $ | 13 | $ | 13 | ||||||||
Ratio of net expenses to average net assets | 0.80 | % | 0.74 | % | 0.77 | %(c) | ||||||||
Ratio of total expenses to average net assets | 2.08 | % | 1.56 | % | 1.36 | %(c) | ||||||||
Ratio of net investment income (loss) to average net assets | (0.46 | )% | 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. | 89 |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
Goldman Sachs Commodity Strategy Fund | ||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 10.17 | $ | 9.66 | $ | 11.49 | $ | 11.68 | $ | 10.49 | ||||||||||||
Net investment income (loss)(a) | (0.03 | ) | 0.14 | 0.10 | 0.02 | 0.02 | ||||||||||||||||
Net realized and unrealized gain (loss) | (2.33 | ) | 1.44 | (1.84 | ) | 0.43 | 1.23 | |||||||||||||||
Total from investment operations | (2.36 | ) | 1.58 | (1.74 | ) | 0.45 | 1.25 | |||||||||||||||
Distributions to shareholders from net investment income | (0.02 | ) | (0.18 | ) | (0.09 | ) | (0.52 | ) | (0.06 | ) | ||||||||||||
Distributions to shareholders from return of capital | — | (0.89 | ) | — | (0.12 | ) | — | |||||||||||||||
Total distributions | (0.02 | ) | (1.07 | ) | (0.09 | ) | (0.64 | ) | (0.06 | ) | ||||||||||||
Net asset value, end of year | $ | 7.79 | $ | 10.17 | $ | 9.66 | $ | 11.49 | $ | 11.68 | ||||||||||||
Total return(b) | (23.16 | )% | 16.31 | % | (15.17 | )% | 3.95 | % | 11.91 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 15,324 | $ | 22,569 | $ | 25,351 | $ | 46,809 | $ | 60,944 | ||||||||||||
Ratio of net expenses to average net assets | 0.80 | % | 0.84 | % | 0.84 | % | 0.86 | % | 0.90 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.28 | % | 1.09 | % | 1.01 | % | 1.01 | % | 1.07 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | (0.39 | )% | 1.34 | % | 0.88 | % | 0.16 | % | 0.19 | % | ||||||||||||
Portfolio turnover rate(c) | 70 | % | 52 | % | 46 | % | 89 | % | 145 | % |
(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. |
90 | 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, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 9.61 | $ | 9.17 | $ | 10.92 | $ | 11.15 | $ | 10.04 | ||||||||||||
Net investment income (loss)(a) | (0.08 | ) | 0.08 | 0.02 | (0.07 | ) | (0.06 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | (2.21 | ) | 1.35 | (1.75 | ) | 0.42 | 1.17 | |||||||||||||||
Total from investment operations | (2.29 | ) | 1.43 | (1.73 | ) | 0.35 | 1.11 | |||||||||||||||
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 | $ | 7.32 | $ | 9.61 | $ | 9.17 | $ | 10.92 | $ | 11.15 | ||||||||||||
Total return(b) | (23.77 | )% | 15.54 | % | (15.84 | )% | 3.16 | % | 11.02 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 1,340 | $ | 2,271 | $ | 2,472 | $ | 2,949 | $ | 3,858 | ||||||||||||
Ratio of net expenses to average net assets | 1.55 | % | 1.59 | % | 1.59 | % | 1.61 | % | 1.65 | % | ||||||||||||
Ratio of total expenses to average net assets | 2.03 | % | 1.84 | % | 1.76 | % | 1.76 | % | 1.82 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | (1.12 | )% | 0.81 | % | 0.14 | % | (0.68 | )% | (0.56 | )% | ||||||||||||
Portfolio turnover rate(c) | 70 | % | 52 | % | 46 | % | 89 | % | 145 | % |
(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. | 91 |
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, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 10.28 | $ | 9.74 | $ | 11.61 | $ | 11.80 | $ | 10.59 | ||||||||||||
Net investment income (loss)(a) | (0.01 | ) | 0.09 | 0.15 | 0.09 | 0.06 | ||||||||||||||||
Net realized and unrealized gain (loss) | (2.36 | ) | 1.56 | (1.88 | ) | 0.40 | 1.25 | |||||||||||||||
Total from investment operations | (2.37 | ) | 1.65 | (1.73 | ) | 0.49 | 1.31 | |||||||||||||||
Distributions to shareholders from net investment income | (0.03 | ) | (0.19 | ) | (0.14 | ) | (0.56 | ) | (0.10 | ) | ||||||||||||
Distributions to shareholders from return of capital | — | (0.92 | ) | — | (0.12 | ) | — | |||||||||||||||
Total distributions | (0.03 | ) | (1.11 | ) | (0.14 | ) | (0.68 | ) | (0.10 | ) | ||||||||||||
Net asset value, end of year | $ | 7.88 | $ | 10.28 | $ | 9.74 | $ | 11.61 | $ | 11.80 | ||||||||||||
Total return(b) | (22.96 | )% | 16.77 | % | (14.89 | )% | 4.28 | % | 12.32 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 127,172 | $ | 156,673 | $ | 259,239 | $ | 314,888 | $ | 326,270 | ||||||||||||
Ratio of net expenses to average net assets | 0.47 | % | 0.50 | % | 0.50 | % | 0.52 | % | 0.56 | % | ||||||||||||
Ratio of total expenses to average net assets | 0.96 | % | 0.74 | % | 0.66 | % | 0.66 | % | 0.72 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | (0.10 | )% | 0.81 | % | 1.23 | % | 0.78 | % | 0.53 | % | ||||||||||||
Portfolio turnover rate(c) | 70 | % | 52 | % | 46 | % | 89 | % | 145 | % |
(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. |
92 | 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, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 10.29 | $ | 9.75 | $ | 11.61 | $ | 11.81 | $ | 10.60 | ||||||||||||
Net investment income (loss)(b) | (0.01 | ) | (0.04 | ) | 0.14 | (0.02 | ) | 0.05 | ||||||||||||||
Net realized and unrealized gain (loss) | (2.37 | ) | 1.68 | (1.87 | ) | 0.49 | 1.25 | |||||||||||||||
Total from investment operations | (2.38 | ) | 1.64 | (1.73 | ) | 0.47 | 1.30 | |||||||||||||||
Distributions to shareholders from net investment income | (0.02 | ) | (0.18 | ) | (0.13 | ) | (0.55 | ) | (0.09 | ) | ||||||||||||
Distributions to shareholders from return of capital | — | (0.92 | ) | — | (0.12 | ) | — | |||||||||||||||
Total distributions | (0.02 | ) | (1.10 | ) | (0.13 | ) | (0.67 | ) | (0.09 | ) | ||||||||||||
Net asset value, end of year | $ | 7.89 | $ | 10.29 | $ | 9.75 | $ | 11.61 | $ | 11.81 | ||||||||||||
Total return(c) | (22.99 | )% | 16.73 | % | (14.97 | )% | 4.08 | % | 12.21 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 3,115 | $ | 6,651 | $ | 8,272 | $ | 8,586 | $ | 5,265 | ||||||||||||
Ratio of net expenses to average net assets | 0.55 | % | 0.59 | % | 0.59 | % | 0.61 | % | 0.65 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.02 | % | 0.83 | % | 0.75 | % | 0.75 | % | 0.82 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | (0.09 | )% | (0.36 | )% | 1.15 | % | (0.18 | )% | 0.44 | % | ||||||||||||
Portfolio turnover rate(d) | 70 | % | 52 | % | 46 | % | 89 | % | 145 | % |
(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. | 93 |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
Goldman Sachs Commodity Strategy Fund | ||||||||||||||||||||||
Class R6 Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 10.30 | $ | 9.76 | $ | 11.62 | $ | 11.80 | $ | 10.60 | ||||||||||||
Net investment income (loss)(a) | (0.01 | ) | 0.38 | 0.14 | (0.45 | ) | 0.06 | |||||||||||||||
Net realized and unrealized gain (loss) | (2.36 | ) | 1.27 | (1.87 | ) | 0.95 | 1.24 | |||||||||||||||
Total from investment operations | (2.37 | ) | 1.65 | (1.73 | ) | 0.50 | 1.30 | |||||||||||||||
Distributions to shareholders from net investment income | (0.03 | ) | (0.19 | ) | (0.13 | ) | (0.56 | ) | (0.10 | ) | ||||||||||||
Distributions to shareholders from return of capital | — | (0.92 | ) | — | (0.12 | ) | — | |||||||||||||||
Total distributions | (0.03 | ) | (1.11 | ) | (0.13 | ) | (0.68 | ) | (0.10 | ) | ||||||||||||
Net asset value, end of year | $ | 7.90 | $ | 10.30 | $ | 9.76 | $ | 11.62 | $ | 11.80 | ||||||||||||
Total return(b) | (22.92 | )% | 16.87 | % | (14.96 | )% | 4.29 | % | 12.25 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 83,227 | $ | 85,170 | $ | 182 | $ | 90 | $ | 1,907 | ||||||||||||
Ratio of net expenses to average net assets | 0.46 | % | 0.49 | % | 0.49 | % | 0.50 | % | 0.54 | % | ||||||||||||
Ratio of total expenses to average net assets | 0.96 | % | 0.75 | % | 0.68 | % | 0.66 | % | 0.72 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | (0.09 | )% | 3.52 | % | 1.15 | % | (4.04 | )% | 0.54 | % | ||||||||||||
Portfolio turnover rate(c) | 70 | % | 52 | % | 46 | % | 89 | % | 145 | % |
(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. |
94 | 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, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 9.99 | $ | 9.50 | $ | 11.31 | $ | 11.51 | $ | 10.35 | ||||||||||||
Net investment income (loss)(a) | (0.05 | ) | 0.16 | 0.07 | (0.04 | ) | (0.01 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | (2.29 | ) | 1.38 | (1.81 | ) | 0.45 | 1.21 | |||||||||||||||
Total from investment operations | (2.34 | ) | 1.54 | (1.74 | ) | 0.41 | 1.20 | |||||||||||||||
Distributions to shareholders from net investment income | (0.01 | ) | (0.18 | ) | (0.07 | ) | (0.49 | ) | (0.04 | ) | ||||||||||||
Distributions to shareholders from return of capital | — | (0.87 | ) | — | (0.12 | ) | — | |||||||||||||||
Total distributions | (0.01 | ) | (1.05 | ) | (0.07 | ) | (0.61 | ) | (0.04 | ) | ||||||||||||
Net asset value, end of year | $ | 7.64 | $ | 9.99 | $ | 9.50 | $ | 11.31 | $ | 11.51 | ||||||||||||
Total return(b) | (23.36 | )% | 16.11 | % | (15.40 | )% | 3.60 | % | 11.60 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 1,903 | $ | 2,280 | $ | 2,233 | $ | 2,892 | $ | 4,419 | ||||||||||||
Ratio of net expenses to average net assets | 1.05 | % | 1.09 | % | 1.09 | % | 1.11 | % | 1.14 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.54 | % | 1.34 | % | 1.25 | % | 1.26 | % | 1.34 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | (0.68 | )% | 1.53 | % | 0.64 | % | (0.40 | )% | (0.07 | )% | ||||||||||||
Portfolio turnover rate(c) | 70 | % | 52 | % | 46 | % | 89 | % | 145 | % |
(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. | 95 |
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, | April 17, 2018* to December 31, 2018 | |||||||||||||
2020 | 2019 | |||||||||||||
Per Share Data |
| |||||||||||||
Net asset value, beginning of period | $ | 10.29 | $ | 9.76 | $ | 12.11 | ||||||||
Net investment income (loss)(a) | — | (b) | (0.25 | ) | 0.12 | |||||||||
Net realized and unrealized gain (loss) | (2.36 | ) | 1.89 | (2.33 | ) | |||||||||
Total from investment operations | (2.36 | ) | 1.64 | (2.21 | ) | |||||||||
Distributions to shareholders from net investment income | (0.03 | ) | (0.19 | ) | (0.14 | ) | ||||||||
Distributions to shareholders from return of capital | — | (0.92 | ) | — | ||||||||||
Total distributions | (0.03 | ) | (1.11 | ) | (0.14 | ) | ||||||||
Net asset value, end of period | $ | 7.90 | $ | 10.29 | $ | 9.76 | ||||||||
Total return(c) | (22.84 | )% | 16.73 | % | (18.31 | )% | ||||||||
Net assets, end of period (in 000s) | $ | 684 | $ | 977 | $ | 3,167 | ||||||||
Ratio of net expenses to average net assets | 0.45 | % | 0.48 | % | 0.45 | %(d) | ||||||||
Ratio of total expenses to average net assets | 0.94 | % | 0.72 | % | 0.65 | %(d) | ||||||||
Ratio of net investment income (loss) to average net assets | (0.04 | )% | (2.28 | )% | 1.43 | %(d) | ||||||||
Portfolio turnover rate(e) | 70 | % | 52 | % | 46 | % |
* | 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. |
96 | 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 | ||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 9.61 | $ | 10.03 | $ | 10.30 | $ | 10.12 | $ | 10.21 | ||||||||||||
Net investment income (loss)(a) | (0.12 | ) | 0.01 | (0.02 | ) | (0.10 | ) | (0.14 | ) | |||||||||||||
Net realized and unrealized gain (loss) | 0.76 | 0.23 | (0.23 | ) | 0.33 | 0.05 | ||||||||||||||||
Total from investment operations | 0.64 | 0.24 | (0.25 | ) | 0.23 | (0.09 | ) | |||||||||||||||
Distributions to shareholders from net investment income | — | (0.59 | ) | — | — | — | ||||||||||||||||
Distributions to shareholders from net realized gains | (0.13 | ) | (0.07 | ) | (0.02 | ) | (0.05 | ) | — | |||||||||||||
Total distributions | (0.13 | ) | (0.66 | ) | (0.02 | ) | (0.05 | ) | — | |||||||||||||
Net asset value, end of year | $ | 10.12 | $ | 9.61 | $ | 10.03 | $ | 10.30 | $ | 10.12 | ||||||||||||
Total return(b) | 6.62 | % | 2.28 | % | (2.37 | )% | 2.29 | % | (0.88 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 11,964 | $ | 7,712 | $ | 8,622 | $ | 7,711 | $ | 23,174 | ||||||||||||
Ratio of net expenses to average net assets | 1.48 | % | 1.49 | % | 1.47 | % | 1.55 | % | 1.55 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.63 | % | 1.64 | % | 1.62 | % | 1.75 | % | 1.74 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | (1.21 | )% | 0.06 | % | (0.19 | )% | (1.02 | )% | (1.33 | )% | ||||||||||||
Portfolio turnover rate(c) | — | % | — | % | — | % | — | % | 529 | % |
(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 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, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 9.11 | $ | 9.56 | $ | 9.88 | $ | 9.79 | $ | 9.95 | ||||||||||||
Net investment loss(a) | (0.18 | ) | (0.07 | ) | (0.09 | ) | (0.17 | ) | (0.21 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 0.72 | 0.21 | (0.21 | ) | 0.31 | 0.05 | ||||||||||||||||
Total from investment operations | 0.54 | 0.14 | (0.30 | ) | 0.14 | (0.16 | ) | |||||||||||||||
Distributions to shareholders from net investment income | — | (0.52 | ) | — | — | — | ||||||||||||||||
Distributions to shareholders from net realized gains | (0.13 | ) | (0.07 | ) | (0.02 | ) | (0.05 | ) | — | |||||||||||||
Total distributions | (0.13 | ) | (0.59 | ) | (0.02 | ) | (0.05 | ) | — | |||||||||||||
Net asset value, end of year | $ | 9.52 | $ | 9.11 | $ | 9.56 | $ | 9.88 | $ | 9.79 | ||||||||||||
Total return(b) | 5.88 | % | 1.51 | % | (3.08 | )% | 1.44 | % | (1.60 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 3,335 | $ | 3,279 | $ | 3,281 | $ | 3,480 | $ | 4,054 | ||||||||||||
Ratio of net expenses to average net assets | 2.22 | % | 2.24 | % | 2.22 | % | 2.29 | % | 2.31 | % | ||||||||||||
Ratio of total expenses to average net assets | 2.37 | % | 2.39 | % | 2.37 | % | 2.48 | % | 2.49 | % | ||||||||||||
Ratio of net investment loss to average net assets | (1.92 | )% | (0.69 | )% | (0.95 | )% | (1.72 | )% | (2.09 | )% | ||||||||||||
Portfolio turnover rate(c) | — | % | — | % | — | % | — | % | 529 | % |
(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 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, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 9.87 | $ | 10.28 | $ | 10.52 | $ | 10.29 | $ | 10.36 | ||||||||||||
Net investment income (loss)(a) | (0.07 | ) | 0.04 | 0.02 | (0.06 | ) | (0.10 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | 0.76 | 0.25 | (0.24 | ) | 0.34 | 0.04 | ||||||||||||||||
Total from investment operations | 0.69 | 0.29 | (0.22 | ) | 0.28 | (0.06 | ) | |||||||||||||||
Distributions to shareholders from net investment income | — | (0.63 | ) | — | — | (0.01 | ) | |||||||||||||||
Distributions to shareholders from net realized gains | (0.13 | ) | (0.07 | ) | (0.02 | ) | (0.05 | ) | — | |||||||||||||
Total distributions | (0.13 | ) | (0.70 | ) | (0.02 | ) | (0.05 | ) | (0.01 | ) | ||||||||||||
Net asset value, end of year | $ | 10.43 | $ | 9.87 | $ | 10.28 | $ | 10.52 | $ | 10.29 | ||||||||||||
Total return(b) | 6.95 | % | 2.82 | % | (2.13 | )% | 2.73 | % | (0.57 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 49,052 | $ | 90,623 | $ | 83,425 | $ | 163,971 | $ | 110,763 | ||||||||||||
Ratio of net expenses to average net assets | 1.07 | % | 1.11 | % | 1.07 | % | 1.14 | % | 1.16 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.24 | % | 1.26 | % | 1.22 | % | 1.33 | % | 1.34 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | (0.74 | )% | 0.42 | % | 0.16 | % | (0.54 | )% | (0.94 | )% | ||||||||||||
Portfolio turnover rate(c) | — | % | — | % | — | % | — | % | 529 | % |
(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. | 99 |
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, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 9.77 | $ | 10.19 | $ | 10.44 | $ | 10.23 | $ | 10.30 | ||||||||||||
Net investment income (loss)(b) | (0.10 | ) | 0.03 | 0.01 | (0.06 | ) | (0.11 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | 0.78 | 0.23 | (0.24 | ) | 0.32 | 0.04 | ||||||||||||||||
Total from investment operations | 0.68 | 0.26 | (0.23 | ) | 0.26 | (0.07 | ) | |||||||||||||||
Distributions to shareholders from net investment income | — | (0.61 | ) | — | — | — | ||||||||||||||||
Distributions to shareholders from net realized gains | (0.13 | ) | (0.07 | ) | (0.02 | ) | (0.05 | ) | — | |||||||||||||
Total distributions | (0.13 | ) | (0.68 | ) | (0.02 | ) | (0.05 | ) | — | |||||||||||||
Net asset value, end of year | $ | 10.32 | $ | 9.77 | $ | 10.19 | $ | 10.44 | $ | 10.23 | ||||||||||||
Total return(c) | 6.92 | % | 2.60 | % | (2.24 | )% | 2.55 | % | (0.68 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 149,762 | $ | 106,968 | $ | 105,393 | $ | 106,431 | $ | 20,181 | ||||||||||||
Ratio of net expenses to average net assets | 1.22 | % | 1.24 | % | 1.22 | % | 1.26 | % | 1.31 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.38 | % | 1.39 | % | 1.37 | % | 1.45 | % | 1.49 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | (0.96 | )% | 0.31 | % | 0.06 | % | (0.60 | )% | (1.09 | )% | ||||||||||||
Portfolio turnover rate(d) | — | % | — | % | — | % | — | % | 529 | % |
(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. |
100 | 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, | April 30, 2018* to December 31, 2018 | |||||||||||||
2020 | 2019 | |||||||||||||
Per Share Data |
| |||||||||||||
Net asset value, beginning of period | $ | 9.87 | $ | 10.29 | $ | 10.36 | ||||||||
Net investment income (loss)(a) | (0.08 | ) | 0.05 | 0.02 | ||||||||||
Net realized and unrealized gain (loss) | 0.78 | 0.23 | (0.07 | ) | ||||||||||
Total from investment operations | 0.70 | 0.28 | (0.05 | ) | ||||||||||
Distributions to shareholders from net investment income | — | (0.63 | ) | — | ||||||||||
Distributions to shareholders from net realized gains | (0.13 | ) | (0.07 | ) | (0.02 | ) | ||||||||
Total distributions | (0.13 | ) | (0.70 | ) | (0.02 | ) | ||||||||
Net asset value, end of period | $ | 10.44 | $ | 9.87 | $ | 10.29 | ||||||||
Total return(b) | 7.05 | % | 2.72 | % | (0.52 | )% | ||||||||
Net assets, end of period (in 000s) | $ | 55,439 | $ | 51,499 | $ | 50,649 | ||||||||
Ratio of net expenses to average net assets | 1.08 | % | 1.09 | % | 1.12 | %(c) | ||||||||
Ratio of total expenses to average net assets | 1.24 | % | 1.23 | % | 1.27 | %(c) | ||||||||
Ratio of net investment income (loss) to average net assets | (0.79 | )% | 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. | 101 |
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, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 9.45 | $ | 9.87 | $ | 10.16 | $ | 10.00 | $ | 10.12 | ||||||||||||
Net investment loss(a) | (0.13 | ) | (0.02 | ) | (0.04 | ) | (0.12 | ) | (0.16 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 0.73 | 0.23 | (0.23 | ) | 0.33 | 0.04 | ||||||||||||||||
Total from investment operations | 0.60 | 0.21 | (0.27 | ) | 0.21 | (0.12 | ) | |||||||||||||||
Distributions to shareholders from net investment income | — | (0.56 | ) | — | — | — | ||||||||||||||||
Distributions to shareholders from net realized gains | (0.13 | ) | (0.07 | ) | (0.02 | ) | (0.05 | ) | — | |||||||||||||
Total distributions | (0.13 | ) | (0.63 | ) | (0.02 | ) | (0.05 | ) | — | |||||||||||||
Net asset value, end of year | $ | 9.92 | $ | 9.45 | $ | 9.87 | $ | 10.16 | $ | 10.00 | ||||||||||||
Total return(b) | 6.30 | % | 2.14 | % | (2.70 | )% | 2.11 | % | (1.18 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 504 | $ | 539 | $ | 584 | $ | 595 | $ | 309 | ||||||||||||
Ratio of net expenses to average net assets | 1.72 | % | 1.74 | % | 1.72 | % | 1.79 | % | 1.81 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.87 | % | 1.89 | % | 1.87 | % | 1.98 | % | 1.99 | % | ||||||||||||
Ratio of net investment loss to average net assets | (1.41 | )% | (0.19 | )% | (0.44 | )% | (1.19 | )% | (1.59 | )% | ||||||||||||
Portfolio turnover rate(c) | — | % | — | % | — | % | — | % | 529 | % |
(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. |
102 | 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, | April 17, 2018* to December 31, 2018 | |||||||||||||
2020 | 2019 | |||||||||||||
Per Share Data |
| |||||||||||||
Net asset value, beginning of period | $ | 9.86 | $ | 10.28 | $ | 10.56 | ||||||||
Net investment income (loss)(a) | (0.08 | ) | 0.05 | 0.02 | ||||||||||
Net realized and unrealized gain (loss) | 0.77 | 0.23 | (0.28 | ) | ||||||||||
Total from investment operations | 0.69 | 0.28 | (0.26 | ) | ||||||||||
Distributions to shareholders from net investment income | — | (0.63 | ) | — | ||||||||||
Distributions to shareholders from net realized gains | (0.13 | ) | (0.07 | ) | (0.02 | ) | ||||||||
Total distributions | (0.13 | ) | (0.70 | ) | (0.02 | ) | ||||||||
Net asset value, end of period | $ | 10.42 | $ | 9.86 | $ | 10.28 | ||||||||
Total return(b) | 6.95 | % | 2.71 | % | (2.50 | )% | ||||||||
Net assets, end of period (in 000s) | $ | 71 | $ | 166 | $ | 429 | ||||||||
Ratio of net expenses to average net assets | 1.08 | % | 1.09 | % | 1.12 | %(c) | ||||||||
Ratio of total expenses to average net assets | 1.24 | % | 1.23 | % | 1.27 | %(c) | ||||||||
Ratio of net investment income (loss) to average net assets | (0.84 | )% | 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. | 103 |
GOLDMAN SACHS ALTERNATIVE FUNDS
December 31, 2020
1. ORGANIZATION |
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”), along with their corresponding share classes and respective diversification status under the Act:
Fund | Share Classes Offered | Diversified/ Non-diversified | ||
Absolute Return Tracker, Alternative Premia, Commodity Strategy and Managed Futures Strategy | A, C, Institutional, Investor, R6, R and P | Diversified |
Class A Shares of the Absolute Return Tracker, Alternative Premia and Managed Futures Strategy Funds are sold with a front-end sales charge of up to 5.50%. Class A Shares of the Commodity Strategy Fund are sold with a front-end sales charge of up to 4.50%. Class C Shares are sold with a contingent deferred sales charge (“CDSC”) of 1.00%, which is imposed on redemptions made within 12 months of purchase. Institutional, Investor, Class R6, Class R and Class P 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 — Cayman Commodity-ART, LLC, Cayman Commodity-AP, LLC, Cayman Commodity-CSF, Ltd. and Cayman Commodity-MFS, LLC (each a “Subsidiary” and collectively, the “Subsidiaries”), Cayman Islands exempted companies, are currently wholly-owned subsidiaries of the Absolute Return Tracker, Alternative Premia, Commodity Strategy and Managed Futures Strategy Funds, 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, and it is intended that each Fund will remain the sole shareholder and will continue to control its respective Subsidiary. All inter-fund balances and transactions have been eliminated in consolidation.
As of December 31, 2020, 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 | $ | 3,469,631,638 | $ | 14,710,744 | 1 | % | ||||||||
Alternative Premia | 34,244,953 | 7,616,644 | 22 | |||||||||||
Commodity Strategy | 232,763,944 | 42,717,829 | 18 | |||||||||||
Managed Futures Strategy | 270,127,295 | 54,197,686 | 20 |
B. Investment Valuation — The Funds’ valuation policy is to value investments at fair value.
C. Investment Income and Investments — Investment income includes interest income, dividend income, and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received.
104
GOLDMAN SACHS ALTERNATIVE FUNDS
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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, and non-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the applicable Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agency and Service fees.
E. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, each Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid according to the following schedule:
Fund | Income Distributions Declared/Paid | Capital Gains Distributions Declared/Paid | ||||
Absolute Return Tracker, Alternative Premia and Managed Futures Strategy | Annually | Annually | ||||
Commodity Strategy | Semi-Annually | Annually |
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The Subsidiaries are classified as controlled foreign corporations under the Code. Therefore, the Funds are required to increase their taxable income by their share of their Subsidiary’s income. Net losses of a Subsidiary cannot be deducted by the Funds in the current period nor carried forward to offset taxable income in future periods.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from 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
105
GOLDMAN SACHS ALTERNATIVE FUNDS
Notes to Financial Statements (continued)
December 31, 2020
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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 level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. 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 GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Funds’ investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a U.S. securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities will be valued at the valid closing bid price for long positions and at the valid closing ask price for short positions (i.e. where there is sufficient volume, during normal exchange trading hours). If no valid bid/ask price is available, the equity security will be valued pursuant to the Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. 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. Certain equity securities containing unique attributes may be 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 Fair 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.
106
GOLDMAN SACHS ALTERNATIVE FUNDS
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
Underlying Funds (including Money Market Funds) — Underlying funds (“Underlying Funds”) include other investment companies and exchange-traded funds (“ETFs”). Investments in the Underlying Funds (except ETFs) are valued at the NAV per share 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. 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.
ii. 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 received, if any, is reported separately on the Consolidated 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
107
GOLDMAN SACHS ALTERNATIVE FUNDS
Notes to Financial Statements (continued)
December 31, 2020
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. Forward Contracts — A forward contract is a contract between two parties to buy or sell an asset at a specified price on a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts are marked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be used to collateralize forward contracts.
A forward foreign currency exchange contract is a forward contract in which a Fund agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked to market daily by using the outright forward rates or interpolating based upon maturity dates, where available. 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 subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on swap contracts.
Upon the purchase of a call option or a put option by a Fund, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.
iv. Swap Contracts — Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, a Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a receivable or payable for variation margin.
An interest rate swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals, based upon or calculated by reference to changes in interest rates on a specified notional principal amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.
A credit default swap is an agreement that involves one party (the buyer of protection) making a stream of payments to another party (the seller of protection) in exchange for the right to receive protection on a reference security or obligation, including a group of assets or exposure to the performance of an index. A Fund’s investment in credit default swaps may involve greater risks than if the Fund had invested in the referenced obligation directly. Credit events are contract specific but
108
GOLDMAN SACHS ALTERNATIVE FUNDS
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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.
109
GOLDMAN SACHS ALTERNATIVE FUNDS
Notes to Financial Statements (continued)
December 31, 2020
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, 2020:
ABSOLUTE RETURN TRACKER | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Africa | $ | 13,706 | $ | 195,253 | $ | — | ||||||
Asia | — | 5,951,601 | — | |||||||||
Australia and Oceania | — | 295,975 | — | |||||||||
Europe | 8,109,646 | 21,807,795 | 16,599 | |||||||||
North America | 794,648,513 | 148,147 | — | |||||||||
South America | — | 11,243 | — | |||||||||
Exchange Traded Funds | 501,738,319 | — | — | |||||||||
Investment Company | 1,902,588,303 | — | — | |||||||||
Securities Lending Reinvestment Vehicle | 2,117,550 | — | — | |||||||||
Total | $ | 3,209,216,037 | $ | 28,410,014 | $ | 16,599 | ||||||
Derivative Type | ||||||||||||
Assets | ||||||||||||
Forward Foreign Currency Exchange Contracts(b) | $ | — | $ | 1,671,790 | $ | — | ||||||
Futures Contracts(b) | 8,408,382 | — | — | |||||||||
Credit Default Swap Contracts(b) | — | 16,453,062 | — | |||||||||
Total Return Swap Contracts(b) | — | 7,261,696 | — | |||||||||
Purchased Options Contracts | 331,160 | — | — | |||||||||
Total | $ | 8,739,542 | $ | 25,386,548 | $ | — | ||||||
Liabilities | ||||||||||||
Forward Foreign Currency Exchange Contracts(b) | $ | — | $ | (272,876 | ) | $ | — | |||||
Futures Contracts(b) | (2,978,770 | ) | — | — | ||||||||
Total Return Swap Contracts(b) | — | (7,424,758 | ) | — | ||||||||
Written Options Contracts | (3,099,035 | ) | — | — | ||||||||
Total | $ | (6,077,805 | ) | $ | (7,697,634 | ) | $ | — | ||||
ALTERNATIVE PREMIA | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Investment Company | $ | 24,297,724 | $ | — | $ | — |
(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. |
110
GOLDMAN SACHS ALTERNATIVE FUNDS
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
ALTERNATIVE PREMIA (continued) | ||||||||||||
Derivative Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | — | $ | 49,708 | $ | — | ||||||
Futures Contracts(a) | 1,098,929 | — | — | |||||||||
Credit Default Swap Contracts(a) | — | 2,912 | — | |||||||||
Total Return Swap Contracts(a) | — | 283,048 | — | |||||||||
Purchased Options Contracts | 164,950 | — | — | |||||||||
Total | $ | 1,263,879 | $ | 335,668 | $ | — | ||||||
Liabilities(a) | ||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (43,322 | ) | $ | — | |||||
Futures Contracts | (874,023 | ) | — | — | ||||||||
Total Return Swap Contracts | — | (269,400 | ) | — | ||||||||
Total | $ | (874,023 | ) | $ | (312,722 | ) | $ | — | ||||
COMMODITY STRATEGY | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Fixed Income | ||||||||||||
Mortgage-Backed Securities | $ | — | $ | 6,204,082 | $ | — | ||||||
Collateralized Mortgage Obligations | — | 2,953,527 | — | |||||||||
Asset-Backed Security | — | 47,398 | — | |||||||||
U.S. Treasury Obligations and/or Other U.S. Government Agencies | 19,161,915 | — | — | |||||||||
Investment Company | 168,485,696 | — | — | |||||||||
Total | $ | 187,647,611 | $ | 9,205,007 | $ | — | ||||||
Derivative Type | ||||||||||||
Assets(a) | ||||||||||||
Futures Contracts | $ | 172,077 | $ | — | $ | — | ||||||
Total Return Swap Contracts | — | 40 | — | |||||||||
Total | $ | 172,077 | $ | 40 | $ | — | ||||||
Liabilities(a) | ||||||||||||
Futures Contracts | $ | (47,777 | ) | $ | — | $ | — | |||||
MANAGED FUTURES STRATEGY | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Investment Company | $ | 180,241,518 | $ | — | $ | — |
(a) | Amount shown represents unrealized gain (loss) at fiscal year end. |
111
GOLDMAN SACHS ALTERNATIVE FUNDS
Notes to Financial Statements (continued)
December 31, 2020
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
MANAGED FUTURES STRATEGY (continued) | ||||||||||||
Derivative Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets(a) | ||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 4,095,164 | $ | — | ||||||
Futures Contracts | 5,055,462 | — | — | |||||||||
Interest Rate Swap Contracts | — | 5,176,682 | — | |||||||||
Total | $ | 5,055,462 | $ | 9,271,846 | $ | — | ||||||
Liabilities(a) | ||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (1,497,361 | ) | $ | — | |||||
Futures Contracts | (840,917 | ) | — | — | ||||||||
Interest Rate Swap Contracts | — | (983,750 | ) | — | ||||||||
Total | $ | (840,917) | $ | (2,481,111) | $ | — |
(a) | Amount shown represents unrealized gain (loss) at fiscal year end. |
For further information regarding security characteristics, see the Consolidated 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, 2020. These instruments were used as part of the Funds’ investment strategies and to obtain and/or manage exposure related to the risks below. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Funds’ net exposure.
ABSOLUTE RETURN TRACKER | ||||||||||||
Risk | Consolidated Statements of Assets and Liabilities | Assets | Consolidated Statements of Assets and Liabilities | Liabilities | ||||||||
Commodity | Receivable for unrealized gain on swap contracts and variation margin on futures contracts | $ | 3,074,103 | (a) | Variation margin on futures contracts | $ | (603,575) | (a) | ||||
Credit | Variation margin on swap contracts | 16,453,062 | (a) | — | — | |||||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts | 1,671,790 | Payable for unrealized loss on forward foreign currency exchange contracts | (272,876) | ||||||||
Equity | Receivable for unrealized gain on swap contracts, Purchased options at value and variation margin on futures contracts | 11,567,899 | (a) | Payable for unrealized loss on swap contracts, Written options at value and variation margin on futures contracts | (12,720,967) | (a)(b) | ||||||
Interest Rate | Variation margin on futures contracts | 1,359,236 | (a) | Variation margin on futures contracts | (178,021) | (a) | ||||||
Total | $ | 34,126,090 | $ | (13,775,439) |
(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, 2020 is reported within the Consolidated Statements of Assets and Liabilities. |
(b) | Aggregate of amounts include $7,424,758 for the Absolute Return Tracker Fund, which represent the payments to be made pursuant to bilateral agreements should counterparties exercise their “right to terminate” provisions based on, among others, the 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 the close-out of the agreements. They also do not reflect the fair value of any assets pledged as collateral which, through the daily margining process, substantially offsets the aforementioned amounts and for which the Fund is entitled to a full return. |
112
GOLDMAN SACHS ALTERNATIVE FUNDS
4. INVESTMENTS IN DERIVATIVES (continued) |
ALTERNATIVE PREMIA | ||||||||||||
Risk | Consolidated Statements of Assets and Liabilities | Assets(a) | Consolidated Statements of Assets and Liabilities | Liabilities(a) | ||||||||
Commodity | Variation margin on futures contracts | $ | 880,007 | Variation margin on futures contracts | $ | (829,339) | ||||||
Credit | Variation margin on swap contracts | 2,912 | — | — | ||||||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts and variation margin on futures contracts | 120,946 | Payable for unrealized loss on forward foreign currency exchange contracts and variation margin on futures contracts | (62,176) | ||||||||
Equity | Receivable for unrealized gain on swap contracts, Purchased options at value and variation margin on futures contracts | 549,721 | Payable for unrealized loss on swap contracts and variation margin on futures contracts | (272,296) | (b) | |||||||
Interest Rate | Variation margin on futures contracts | 45,961 | Variation margin on futures contracts | (22,934) | ||||||||
Total | $ | 1,599,547 | $ | (1,186,745) | ||||||||
COMMODITY STRATEGY | ||||||||||||
Risk | Consolidated Statements of Assets and Liabilities | Assets | Consolidated Statements of Assets and Liabilities | Liabilities(a) | ||||||||
Commodity | Receivable for unrealized gain on swap contracts | $ | 40 | $ | — | |||||||
Interest Rate | Variation margin on futures and swaps contracts | 172,077 | (a) | Variation margin on futures contracts | (47,777) | |||||||
Total | $ | 172,117 | $ | (47,777) | ||||||||
MANAGED FUTURES STRATEGY | ||||||||||||
Risk | Consolidated Statements of Assets and Liabilities | Assets | Consolidated Statements of Assets and Liabilities | Liabilities | ||||||||
Commodity | Variation margin on futures contracts | $ | 2,976,765 | (a) | Variation margin on futures contracts | $ | (639,665) | (a) | ||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts | 4,095,164 | Payable for unrealized loss on forward foreign currency exchange contracts | (1,497,361) | ||||||||
Equity | Variation margin on futures contracts | 2,078,697 | (a) | Variation margin on futures contracts | (201,252) | (a) | ||||||
Interest Rate | Variation margin on swap contracts | 5,176,682 | (a) | Variation margin on swap contracts | (983,750) | (a) | ||||||
Total | $ | 14,327,308 | $ | (3,322,028) |
(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, 2020 is reported within the Consolidated Statements of Assets and Liabilities. |
(b) | Aggregate of amounts include $269,400 for the Alternative Premia Fund, which represent the payments to be made pursuant to bilateral agreements should counterparties exercise their “right to terminate” provisions based on, among others, the 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 the close-out of the agreements. They also do not reflect the fair value of any assets pledged as collateral which, through the daily margining process, substantially offsets the aforementioned amounts and for which the Fund is entitled to a full return. |
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, 2020. These gains (losses) should be considered in the context that these derivative
113
GOLDMAN SACHS ALTERNATIVE FUNDS
Notes to Financial Statements (continued)
December 31, 2020
4. INVESTMENTS IN DERIVATIVES (continued) |
contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Consolidated Statements of Operations:
ABSOLUTE RETURN TRACKER | ||||||||||||||
Risk | Consolidated Statements of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||||
Commodity | Net realized gain (loss) from futures contracts and swap contracts/Net change in unrealized gain (loss) on futures contracts and swap contracts | $ | (1,141,847 | ) | $ | 2,554,151 | 462 | |||||||
Credit | Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts | (3,142,132 | ) | 10,713,431 | 4 | |||||||||
Currency | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | (1,473,150 | ) | 2,059,473 | 26 | |||||||||
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 | (86,082,139 | ) | (1,490,865 | ) | 6,813 | ||||||||
Interest rate | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | 32,529,397 | 4,435,552 | 4,507 | ||||||||||
Total | $ | (59,309,871 | ) | $ | 18,271,742 | 11,812 | ||||||||
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 | $ | 261,768 | $ | (520,091 | ) | 1,372 | |||||||
Credit | Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts | (99,273 | ) | (31,330 | ) | 2 | ||||||||
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 | (1,335,674 | ) | 6,509 | 204 | |||||||||
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 | (2,433,208 | ) | 175,995 | 767 | |||||||||
Interest rate | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | (95,437 | ) | 77,631 | 331 | |||||||||
Total | $ | (3,701,824 | ) | $ | (291,286 | ) | 2,676 |
(a) | Average number of contracts is based on the average of month end balances for the fiscal year ended December 31, 2020. |
114
GOLDMAN SACHS ALTERNATIVE FUNDS
4. INVESTMENTS IN DERIVATIVES (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 | $ | (51,227,687 | ) | $ | (873 | ) | 6 | ||||||
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 contracts | (4,817,595 | ) | (658,991 | ) | 235 | ||||||||
Total | $ | (56,045,282 | ) | $ | (659,864 | ) | 241 | |||||||
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 | $ | 1,106,244 | $ | 2,403,745 | 1,741 | ||||||||
Currency | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | (4,466,017 | ) | 4,015,279 | 252 | |||||||||
Equity | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | (2,358,193 | ) | 1,744,644 | 5,397 | |||||||||
Interest rate | Net realized gain (loss) from futures contracts and swap contracts/Net change in unrealized gain (loss) on futures contracts and swap contracts | 13,437,491 | 2,797,592 | 177 | ||||||||||
Total | $ | 7,719,525 | $ | 10,961,260 | 7,567 |
(a) | Average number of contracts is based on the average of month end balances for the fiscal year ended December 31, 2020. |
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,
115
GOLDMAN SACHS ALTERNATIVE FUNDS
Notes to Financial Statements (continued)
December 31, 2020
4. INVESTMENTS IN DERIVATIVES (continued) |
contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. A Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that the Investment Adviser believes to be of good standing and by monitoring the financial stability of those counterparties.
Additionally, the netting of assets and liabilities and the offsetting of collateral pledged or received are based on contractual netting/set-off provisions in the ISDA Master Agreement or similar agreements. However, in the event of a default or insolvency of a counterparty, a court could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of setoff that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws.
The following tables set forth the Funds’ net exposure for derivative instruments that are subject to enforceable master netting arrangements or similar agreements as of December 31, 2020:
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 | $ | — | $ | 209,671 | $ | — | $ | (204,977 | ) | $ | 4,694 | $ | — | $ | 4,694 | |||||||||||||
JPMorgan Chase Bank NA | — | 73,377 | — | (64,423 | ) | 8,954 | — | 8,954 | ||||||||||||||||||||
Morgan Stanley Co., Inc. | 49,708 | — | (43,322 | ) | — | 6,386 | (6,386 | ) | — | |||||||||||||||||||
Total | $ | 49,708 | $ | 283,048 | $ | (43,322 | ) | $ | (269,400 | ) | $ | 20,034 | $ | (6,386 | ) | $ | 13,648 |
(1) | Gross amounts available for offset but not netted in the Consolidated Statements of Assets and Liabilities. |
(2) | Net amount represents the net amount due (to) from counterparty in the event of a default based on the contractual set-off rights under the agreement. |
MANAGED FUTURES STRATEGY |
| |||||||||||||||||||||
Derivative Assets (1) | Derivative Liabilities(1) | Net Derivative Assets (Liabilities) | Collateral (Received) Pledged(1) | Net Amount(2) | ||||||||||||||||||
Counterparty | Forwards | Forwards | ||||||||||||||||||||
Morgan Stanley Co., Inc. | $ | 4,095,164 | $ | (1,497,361 | ) | $ | 2,597,803 | (2,597,803 | ) | $ | — |
(1) | Gross amounts available for offset but not netted in the Consolidated Statements of Assets and Liabilities. |
(2) | Net amount represents the net amount due (to) from counterparty in the event of a default based on the contractual set-off rights under the agreement. |
5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Funds, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.
116
GOLDMAN SACHS ALTERNATIVE FUNDS
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the fiscal year ended December 31, 2020, 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 | 0.67 | |||||||||||||||||||||||
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, 2020, GSAM waived $40,514, $41,379, $164,020 and $235,291 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, 2020, GSAM waived $3,411,774, $53,013, $179,514 and $325,424 of the Absolute Return Tracker, Alternative Premia, Commodity Strategy and Managed Futures Strategy Funds’ management fees, respectively.
B. Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A and Class R Shares of each applicable Fund, has adopted Distribution and Service Plans subject to Rule 12b-1 under the Act. Under the Distribution and Service Plans, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class A or Class R Shares of the Funds, as set forth below.
The Trust, on behalf of Class C Shares of each applicable Fund, has adopted a Distribution Plan subject to Rule 12b-1 under the Act. Under the Distribution Plan, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class C Shares of the Funds, as set forth below.
Distribution and/or Service Plan Rates | ||||||||||||
Class A* | Class C | Class R* | ||||||||||
Distribution and/or Service Plan | 0.25 | % | 0.75 | % | 0.50 | % |
* | With respect to Class A and Class R Shares, the Distributor at its discretion may use compensation for distribution services paid under the Distribution Plan to compensate service organizations for personal and account maintenance services and expenses as long as such total compensation does not exceed the maximum cap on “service fees” imposed by the Financial Industry Regulatory Authority. |
117
GOLDMAN SACHS ALTERNATIVE FUNDS
Notes to Financial Statements (continued)
December 31, 2020
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, 2020, Goldman Sachs retained the following amounts:
Front End Sales Charge | Contingent Deferred Sales Charge | |||||||||
Fund | Class A | Class C | ||||||||
Absolute Return Tracker | $ | 15,479 | $ | — | ||||||
Alternative Premia | — | 6 | ||||||||
Commodity Strategy | 4,450 | — | ||||||||
Managed Futures Strategy | 640 | — |
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: 0.16% (except for the Commodity Strategy Fund, which charges an annual rate of 0.12%) 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 R6 and Class P Shares; and 0.04% of the average daily net assets of Institutional Shares. Prior to July 1, 2020, such fee was: (i) 0.17% of the average daily net assets of the Class A, Class C, Investor and Class R Shares for Absolute Return Tracker Fund, Alternative Premia Fund, and Managed Futures Strategy Fund; and (ii) 0.13% of the average daily net assets of the Class A, Class C, Investor and Class R Shares for Commodity Strategy Fund.
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 29, 2021, 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.
118
GOLDMAN SACHS ALTERNATIVE FUNDS
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the fiscal year ended December 31, 2020, 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 | ||||||||||||||
Absolute Return Tracker | $ | 3,452,288 | $ | 1,410,206 | $ | 321,907 | $ | 5,184,401 | ||||||||||
Alternative Premia | 94,392 | 488,209 | 18,760 | 601,361 | ||||||||||||||
Commodity Strategy | 343,534 | 706,616 | 128,545 | 1,178,695 | ||||||||||||||
Managed Futures Strategy | 560,715 | 38,107 | 74,901 | 673,723 |
G. Line of Credit Facility — As of December 31, 2020, the Funds participated in a $700,000,000 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, 2020, the Funds did not have any borrowings under the facility. Prior to April 28, 2020 the facility was $580,000,000.
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, 2020:
Fund | Beginning Value as of | Purchases at Cost | Proceeds from Sales | Ending Value as of December 31, 2020 | Shares as of December 31, 2020 | Dividend Income from Affiliated Investment Company | ||||||||||||||||||||
Absolute Return Tracker | $ | 2,337,246,531 | $ | 1,716,738,086 | $ | (2,151,396,314 | ) | $ | 1,902,588,303 | 1,902,588,303 | $ | 9,594,495 | ||||||||||||||
Alternative Premia | 41,109,961 | 62,000,829 | (78,813,066 | ) | 24,297,724 | 24,297,724 | 175,631 | |||||||||||||||||||
Commodity Strategy | 103,882,234 | 670,238,912 | (605,635,450 | ) | 168,485,696 | 168,485,696 | 394,665 | |||||||||||||||||||
Managed Futures Strategy | 201,860,247 | 320,288,498 | (341,907,227 | ) | 180,241,518 | 180,241,518 | 983,069 |
The Commodity Strategy Fund invests in the shares of the Goldman Sachs Treasury Access 0-1 Year ETF. The Goldman Sachs Treasury Access 0-1 Year ETF is considered to be affiliated with the Fund. The table below shows the transactions in and earnings from investments in the Goldman Sachs Treasury Access 0-1 Year ETF for the fiscal year ended December 31, 2020:
Affiliated Investment Company | Beginning Value as of December 31, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) on sale of Affiliated Investment Company | Change in Unrealized Appreciation (Depreciation) | Ending Value as of December 31, 2020 | Shares as of December 31, 2020 | Dividend Income from Affiliated Investment Company | ||||||||||||||||||||||
Goldman Sachs Access Treasury 0-1 Year ETF | $67,594,500 | $ | — | $ | (67,928,631 | ) | $ | 401,631 | $ | (67,500 | ) | $ | — | — | $ | 144,481 |
119
GOLDMAN SACHS ALTERNATIVE FUNDS
Notes to Financial Statements (continued)
December 31, 2020
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
As of December 31, 2020, 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 | ||||||||
Alternative Premia | 30 | % | 25 | % | ||||||
Managed Futures Strategy | 6 | 8 |
As of December 31, 2020, The Goldman Sachs Group, Inc. was the beneficial owner of the following Funds:
Fund | Class R | Class P | ||||||||
Alternative Premia | 48 | % | 73 | % | ||||||
Managed Futures Strategy | — | 15 |
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, 2020, 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 | $ | — | $ | 2,173,785,377 | $ | — | $ | 2,012,362,781 | ||||||||||
Commodity Strategy | 44,506,187 | — | 92,407,166 | 69,211,002 |
There were no purchases and proceeds from sales and maturities of long-term securities for the Alternative Premia and Managed Futures Strategy Funds for the fiscal year ended December 31, 2020.
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
120
GOLDMAN SACHS ALTERNATIVE FUNDS
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 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.
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, 2020 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, 2020, 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, 2020 | Amount Payable to Goldman Sachs Upon Return of Securities Loaned as of December 31, 2020 | |||||||||||||
Fund | Earnings of GSAL Relating to Securities Loaned | Amount Received by the Fund from Lending to Goldman Sachs | ||||||||||||
Absolute Return Tracker | $ | 46,084 | $ | 54,232 | $ | 87,750 |
The following table provides information about the Fund’s investment in the Government Money Market Fund for the fiscal year ended December 31, 2020:
Fund | Beginning Value as of December 31, 2019 | Purchases at Cost | Proceeds from Sales | Ending Value as of December 31, 2020 | ||||||||||||||
Absolute Return Tracker | $ | 29,148,415 | $ | 1,660,401,098 | $ | (1,687,431,963 | ) | $ | 2,117,550 |
8. TAX INFORMATION |
The tax character of distributions paid during the fiscal year ended December 31, 2020 was as follows:
Absolute Return Tracker | Alternative Premia | Commodity Strategy | Managed Futures Strategy | |||||||||||||
Distributions paid from: | ||||||||||||||||
Ordinary income | $ | 19,121,267 | $ | 2,426,777 | $ | 785,910 | $ | 127,725 | ||||||||
Net long-term capital gains | 1,892,748 | — | — | 3,128,521 | ||||||||||||
Total taxable distributions | $ | 21,014,015 | $ | 2,426,777 | $ | 785,910 | $ | 3,256,246 |
121
GOLDMAN SACHS ALTERNATIVE FUNDS
Notes to Financial Statements (continued)
December 31, 2020
8. TAX INFORMATION (continued) |
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 |
As of December 31, 2020, the components of accumulated earnings (losses) on a tax-basis were as follows:
Absolute Return Tracker | Alternative Premia | Commodity Strategy | Managed Futures Strategy | |||||||||||||
Undistributed ordinary income — net | $ | 69,371,522 | $ | — | $ | — | $ | 2,376,130 | ||||||||
Undistributed long-term capital gains | 1,250,592 | — | — | — | ||||||||||||
Total undistributed earnings | $ | 70,622,114 | $ | — | $ | — | $ | 2,376,130 | ||||||||
Capital loss carryforwards: | ||||||||||||||||
Perpetual Short-term | $ | — | $ | (3,250,720 | ) | $ | (4,526,130 | ) | $ | — | ||||||
Perpetual Long-term | — | (1,086,453 | ) | (17,060,636 | ) | — | ||||||||||
Total capital loss carryforwards | $ | — | $ | (4,337,173 | ) | $ | (21,586,766 | ) | $ | — | ||||||
Timing differences (Post October Loss Deferral, Qualified Late year Loss Deferral, Real Estate Investment Trusts and Straddle Loss Deferral) | (144,264,466 | ) | (759,742 | ) | (3,117,415 | ) | (212,258 | ) | ||||||||
Unrealized gains — net | 237,405,785 | 203,935 | 3,414,350 | 7,809,887 | ||||||||||||
Total accumulated gains (losses) — net | $ | 163,763,433 | $ | (4,892,980 | ) | $ | (21,289,831 | ) | $ | 9,973,759 |
As of December 31, 2020, 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 | $ | 3,027,583,335 | $ | 24,643,979 | $ | 169,373,101 | $ | 183,526,157 | ||||||||
Gross unrealized gain | 243,785,717 | 266,652 | 3,462,127 | 8,482,992 | ||||||||||||
Gross unrealized loss | (6,379,932 | ) | (62,717 | ) | (47,777 | ) | (673,105 | ) | ||||||||
Net unrealized gain | $ | 237,405,785 | $ | 203,935 | $ | 3,414,350 | $ | 7,809,887 |
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains (losses) on regulated futures, options and foreign currency contracts, market discount accretion and premium amortization, and differences related to the tax treatment of swap transactions, underlying fund investments and passive foreign investment company investments.
The Absolute Return Tracker Fund reclassified $512,786 from distributable earnings to paid in capital for the year ending December 31, 2020. 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.
122
GOLDMAN SACHS ALTERNATIVE FUNDS
8. TAX INFORMATION (continued) |
The Alternative Premia Fund reclassified $1,615,484 from paid in capital to distributable earnings for the year ending December 31, 2020. 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 overdistributions, net operating losses and elimination entries related to Cayman subsidiary.
The Commodity Strategy Fund reclassified $32,472,704 from paid in capital to distributable earnings for the year ending December 31, 2020. 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 $3,306,058 from distributable earnings to paid in capital for the year ending December 31, 2020. 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.
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 — The Fund invests in foreign securities, and as such 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.
123
GOLDMAN SACHS ALTERNATIVE FUNDS
Notes to Financial Statements (continued)
December 31, 2020
9. OTHER RISKS (continued) |
Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by a Fund will generally decline in value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. The risks associated with changing interest rates may have unpredictable effects on the markets and a Fund’s investments. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Funds.
Investments in Other Investment Companies Risk — As a shareholder of another investment company, including an exchange-traded fund (“ETF”), a Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund. ETFs are subject to risks that do not apply to conventional mutual funds, including but not limited to the following: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETF’s shares may not develop or be maintained.
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 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). The value of the securities in which a Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, acts of terrorism, social unrest, natural disasters, the spread of infectious illness or other public health threats could also significantly impact a Fund and its investments. 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 (the “Notes Rulings”) 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
124
GOLDMAN SACHS ALTERNATIVE FUNDS
9. OTHER RISKS (continued) |
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 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 a 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 |
New Accounting Standard — In March 2020, the FASB issued Accounting Standard Update (“ASU”) No. 2020-04, “Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” This ASU provides optional exceptions for applying GAAP to contract modifications, hedging relationships and other transactions affected reference rate reform if certain criteria are met. ASU 2020-04 is elective and is effective on March 12, 2020 through December 31, 2022. As of the financial reporting period, GSAM is currently evaluating the impact, if any, of applying ASU 2020-04.
Other — At a meeting held on July 23, 2020, the Board of Trustees of the Commodity Strategy Fund approved CoreCommodity Management, LLC (the “Sub-Adviser” or “CoreCommodity”) to serve as sub-adviser to the Commodity Strategy Fund, subject to approval by the Fund’s shareholders. At a special meeting of shareholders of the Fund held on December 18, 2020, the Fund’s shareholders approved a sub-advisory agreement with CoreCommodity. Accordingly, effective after the close of business on January 22, 2021, CoreCommodity began sub-advising the Fund.
On October 22, 2020, Goldman Sachs announced a settlement of matters involving 1Malaysia Development Bhd. (1MDB), a Malaysian sovereign wealth fund, with the United States Department of Justice as well as criminal and civil authorities in the UK, Singapore and Hong Kong. Further information regarding the 1MDB settlement can be found at https://www.goldmansachs.com/media-relations/press-releases/current/goldman-sachs-2020-10-22.html. The 1MDB settlement will not materially adversely affect GSAM’s ability to serve as investment manager.
12. SUBSEQUENT EVENTS |
Subsequent events after the Consolidated Statements of Assets and Liabilities date have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
125
GOLDMAN SACHS ALTERNATIVE FUNDS
Notes to Financial Statements (continued)
December 31, 2020
13. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
Absolute Return Tracker Fund | ||||||||||||||||
|
| |||||||||||||||
For the Fiscal Year Ended December 31, 2020 | For the Fiscal Year Ended December 31, 2019 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 2,774,357 | $ | 25,185,750 | 5,605,452 | $ | 52,162,020 | ||||||||||
Reinvestment of distributions | 35,723 | 341,674 | 259,217 | 2,450,901 | ||||||||||||
Shares redeemed | (4,982,130 | ) | (45,622,852 | ) | (4,757,119 | ) | (44,669,285 | ) | ||||||||
(2,172,050 | ) | (20,095,428 | ) | 1,107,550 | 9,943,636 | |||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 223,442 | 1,841,170 | 346,095 | 2,951,402 | ||||||||||||
Reinvestment of distributions | 6,102 | 53,316 | 40,055 | 346,168 | ||||||||||||
Shares redeemed | (953,536 | ) | (7,868,021 | ) | (903,197 | ) | (7,767,979 | ) | ||||||||
(723,992 | ) | (5,973,535 | ) | (517,047 | ) | (4,470,409 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 127,122,072 | 1,197,771,733 | 156,580,571 | 1,514,775,620 | ||||||||||||
Reinvestment of distributions | 1,247,946 | 12,357,361 | 7,547,577 | 73,677,786 | ||||||||||||
Shares redeemed | (129,284,677 | ) | (1,193,182,095 | ) | (105,105,601 | ) | (1,013,092,640 | ) | ||||||||
(914,659 | ) | 16,946,999 | 59,022,547 | 575,360,766 | ||||||||||||
Investor Shares | ||||||||||||||||
Shares sold | 15,229,502 | 142,879,584 | 21,268,419 | 203,802,355 | ||||||||||||
Reinvestment of distributions | 154,614 | 1,515,394 | 1,318,485 | 12,740,193 | ||||||||||||
Shares redeemed | (28,969,064 | ) | (267,111,009 | ) | (12,348,004 | ) | (117,863,431 | ) | ||||||||
(13,584,948 | ) | (122,716,031 | ) | 10,238,900 | 98,679,117 | |||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 292,940 | 2,776,639 | 371,692 | 3,609,637 | ||||||||||||
Reinvestment of distributions | 5,700 | 56,384 | 32,501 | 316,928 | ||||||||||||
Shares redeemed | (319,576 | ) | (2,960,447 | ) | (112,910 | ) | (1,084,193 | ) | ||||||||
(20,936 | ) | (127,424 | ) | 291,283 | 2,842,372 | |||||||||||
Class R Shares | ||||||||||||||||
Shares sold | 34,948 | 307,594 | 66,612 | 602,294 | ||||||||||||
Reinvestment of distributions | 1,081 | 10,038 | 7,813 | 71,722 | ||||||||||||
Shares redeemed | (125,366 | ) | (1,122,374 | ) | (45,897 | ) | (416,856 | ) | ||||||||
(89,337 | ) | (804,742 | ) | 28,528 | 257,160 | |||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 4,299,285 | 40,980,573 | 7,490,666 | 72,047,043 | ||||||||||||
Reinvestment of distributions | 129,063 | 1,277,883 | 771,722 | 7,529,973 | ||||||||||||
Shares redeemed | (5,876,922 | ) | (54,147,725 | ) | (2,504,883 | ) | (24,186,443 | ) | ||||||||
(1,448,574 | ) | (11,889,269 | ) | 5,757,505 | 55,390,573 | |||||||||||
NET INCREASE (DECREASE) | (18,954,496 | ) | $ | (144,659,430 | ) | 75,929,266 | $ | 738,003,215 |
126
GOLDMAN SACHS ALTERNATIVE FUNDS
13. SUMMARY OF SHARE TRANSACTIONS (continued) |
Alternative Premia Fund | ||||||||||||||||
|
| |||||||||||||||
For the Fiscal Year Ended December 31, 2020 | For the Fiscal Year Ended December 31, 2019 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 110,964 | $ | 827,956 | 247,612 | $ | 1,968,071 | ||||||||||
Reinvestment of distributions | 57,228 | 384,570 | — | — | ||||||||||||
Shares redeemed | (339,135 | ) | (2,579,777 | ) | (395,461 | ) | (3,173,514 | ) | ||||||||
(170,943 | ) | (1,367,251 | ) | (147,849 | ) | (1,205,443 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 2,828 | 19,634 | 2,818 | 20,853 | ||||||||||||
Reinvestment of distributions | 12,992 | 81,979 | — | — | ||||||||||||
Shares redeemed | (307,511 | ) | (2,163,535 | ) | (575,193 | ) | (4,250,877 | ) | ||||||||
(291,691 | ) | (2,061,922 | ) | (572,375 | ) | (4,230,024 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 74,881 | 601,607 | 889,142 | 7,269,447 | ||||||||||||
Reinvestment of distributions | 48,559 | 335,547 | — | — | ||||||||||||
Shares redeemed | (1,043,082 | ) | (8,036,220 | ) | (3,360,450 | ) | (28,213,641 | ) | ||||||||
(919,642 | ) | (7,099,066 | ) | (2,471,308 | ) | (20,944,194 | ) | |||||||||
Investor Shares | ||||||||||||||||
Shares sold | 14,245 | 112,109 | 166,028 | 1,369,003 | ||||||||||||
Reinvestment of distributions | 21,222 | 145,793 | — | — | ||||||||||||
Shares redeemed | (212,846 | ) | (1,659,229 | ) | (814,656 | ) | (6,572,128 | ) | ||||||||
(177,379 | ) | (1,401,327 | ) | (648,628 | ) | (5,203,125 | ) | |||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 632,947 | 4,920,000 | 352,076 | 2,883,030 | ||||||||||||
Reinvestment of distributions | 210,733 | 1,451,948 | — | — | ||||||||||||
Shares redeemed | (724,767 | ) | (5,645,935 | ) | (3,782,890 | ) | (30,797,570 | ) | ||||||||
118,913 | 726,013 | (3,430,814 | ) | (27,914,540 | ) | |||||||||||
Class R Shares | ||||||||||||||||
Shares sold | 5,840 | 43,913 | 24,455 | 196,590 | ||||||||||||
Reinvestment of distributions | 179 | 1,195 | — | — | ||||||||||||
Shares redeemed | (9,277 | ) | (69,185 | ) | (19,287 | ) | (151,141 | ) | ||||||||
(3,258 | ) | (24,077 | ) | 5,168 | 45,449 | |||||||||||
Class P Shares | ||||||||||||||||
Reinvestment of distributions | 130 | 891 | — | — | ||||||||||||
Shares redeemed | — | — | (1 | ) | — | |||||||||||
130 | 891 | (1 | ) | — | ||||||||||||
NET DECREASE | (1,443,870 | ) | $ | (11,226,739 | ) | (7,265,807 | ) | $ | (59,451,877 | ) |
127
GOLDMAN SACHS ALTERNATIVE FUNDS
Notes to Financial Statements (continued)
December 31, 2020
13. SUMMARY OF SHARE TRANSACTIONS (continued) |
Commodity Strategy Fund | ||||||||||||||||
|
| |||||||||||||||
For the Fiscal Year Ended December 31, 2020 | For the Fiscal Year Ended December 31, 2019 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 948,695 | $ | 6,254,977 | 395,516 | $ | 4,224,635 | ||||||||||
Reinvestment of distributions | 4,976 | 32,397 | 199,147 | 2,049,973 | ||||||||||||
Shares redeemed | (1,205,352 | ) | (8,518,281 | ) | (1,002,193 | ) | (10,739,661 | ) | ||||||||
(251,681 | ) | (2,230,907 | ) | (407,530 | ) | (4,465,053 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 47,065 | 265,484 | 22,072 | 223,411 | ||||||||||||
Reinvestment of distributions | — | — | 21,101 | 204,864 | ||||||||||||
Shares redeemed | (100,448 | ) | (638,692 | ) | (76,451 | ) | (769,695 | ) | ||||||||
(53,383 | ) | (373,208 | ) | (33,278 | ) | (341,420 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 13,805,822 | 89,817,355 | 6,409,974 | 68,585,294 | ||||||||||||
Reinvestment of distributions | 48,268 | 317,600 | 1,144,969 | 11,917,813 | ||||||||||||
Shares redeemed | (12,968,538 | ) | (93,328,388 | ) | (18,916,513 | ) | (203,080,035 | ) | ||||||||
885,552 | (3,193,433 | ) | (11,361,570 | ) | (122,576,928 | ) | ||||||||||
Investor Shares | ||||||||||||||||
Shares sold | 135,357 | 937,796 | 770,630 | 8,344,275 | ||||||||||||
Reinvestment of distributions | 1,550 | 10,217 | 64,498 | 672,140 | ||||||||||||
Shares redeemed | (388,664 | ) | (3,009,974 | ) | (1,037,222 | ) | (11,347,817 | ) | ||||||||
(251,757 | ) | (2,061,961 | ) | (202,094 | ) | (2,331,402 | ) | |||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 5,768,180 | 40,531,756 | 9,418,112 | 100,318,605 | ||||||||||||
Reinvestment of distributions | 37,905 | 249,794 | 805,500 | 8,400,197 | ||||||||||||
Shares redeemed | (3,542,010 | ) | (25,266,581 | ) | (1,973,182 | ) | (21,418,664 | ) | ||||||||
2,264,075 | 15,514,969 | 8,250,430 | 87,300,138 | |||||||||||||
Class R Shares | ||||||||||||||||
Shares sold | 107,409 | 707,673 | 50,254 | 530,512 | ||||||||||||
Reinvestment of distributions | 326 | 2,084 | 18,572 | 187,638 | ||||||||||||
Shares redeemed | (86,869 | ) | (619,599 | ) | (75,632 | ) | (794,746 | ) | ||||||||
20,866 | 90,158 | (6,806 | ) | (76,596 | ) | |||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 11,482 | 88,889 | 2,270 | 25,500 | ||||||||||||
Reinvestment of distributions | 413 | 2,720 | 11,330 | 119,255 | ||||||||||||
Shares redeemed | (20,254 | ) | (150,630 | ) | (243,313 | ) | (2,618,165 | ) | ||||||||
(8,359 | ) | (59,021 | ) | (229,713 | ) | (2,473,410 | ) | |||||||||
NET INCREASE (DECREASE) | 2,605,313 | $ | 7,686,597 | (3,990,561 | ) | $ | (44,964,671 | ) |
128
GOLDMAN SACHS ALTERNATIVE FUNDS
13. SUMMARY OF SHARE TRANSACTIONS (continued) |
Managed Futures Strategy Fund | ||||||||||||||||
|
| |||||||||||||||
For the Fiscal Year Ended December 31, 2020 | For the Fiscal Year Ended December 31, 2019 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 812,401 | $ | 7,889,565 | 460,164 | $ | 4,723,141 | ||||||||||
Reinvestment of distributions | 14,242 | 141,564 | 58,957 | 573,968 | ||||||||||||
Shares redeemed | (446,837 | ) | (4,371,545 | ) | (576,017 | ) | (5,919,763 | ) | ||||||||
379,806 | 3,659,584 | (56,896 | ) | (622,654 | ) | |||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 80,724 | 740,636 | 78,637 | 784,815 | ||||||||||||
Reinvestment of distributions | 4,607 | 43,078 | 22,546 | 208,212 | ||||||||||||
Shares redeemed | (94,581 | ) | (867,923 | ) | (84,861 | ) | (816,337 | ) | ||||||||
(9,250 | ) | (84,209 | ) | 16,322 | 176,690 | |||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 7,705,607 | 78,017,186 | 4,785,438 | 52,301,820 | ||||||||||||
Reinvestment of distributions | 54,914 | 562,864 | 620,276 | 6,199,118 | ||||||||||||
Shares redeemed | (12,242,752 | ) | (121,705,770 | ) | (4,334,655 | ) | (43,972,438 | ) | ||||||||
(4,482,231 | ) | (43,125,720 | ) | 1,071,059 | 14,528,500 | |||||||||||
Investor Shares | ||||||||||||||||
Shares sold | 10,524,025 | 104,023,405 | 7,100,105 | 74,372,563 | ||||||||||||
Reinvestment of distributions | 180,402 | 1,829,272 | 726,302 | 7,186,901 | ||||||||||||
Shares redeemed | (7,135,351 | ) | (70,727,988 | ) | (7,221,827 | ) | (74,530,329 | ) | ||||||||
3,569,076 | 35,124,689 | 604,580 | 7,029,135 | |||||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 44,949 | 473,048 | 1,211,459 | 12,524,000 | ||||||||||||
Reinvestment of distributions | 64,245 | 659,155 | 342,526 | 3,422,044 | ||||||||||||
Shares redeemed | (14,423 | ) | (150,000 | ) | (1,260,830 | ) | (13,698,340 | ) | ||||||||
94,771 | 982,203 | 293,155 | 2,247,704 | |||||||||||||
Class R Shares | ||||||||||||||||
Shares sold | 11,297 | 107,460 | 7,065 | 71,478 | ||||||||||||
Reinvestment of distributions | 698 | 6,810 | 3,570 | 34,183 | ||||||||||||
Shares redeemed | (18,242 | ) | (179,559 | ) | (12,726 | ) | (128,907 | ) | ||||||||
(6,247 | ) | (65,289 | ) | (2,091 | ) | (23,246 | ) | |||||||||
Class P Shares | ||||||||||||||||
Shares sold | 13,089 | 132,116 | — | — | ||||||||||||
Reinvestment of distributions | 82 | 842 | 1,456 | 14,535 | ||||||||||||
Shares redeemed | (23,158 | ) | (233,070 | ) | (26,372 | ) | (281,615 | ) | ||||||||
(9,987 | ) | (100,112 | ) | (24,916 | ) | (267,080 | ) | |||||||||
NET INCREASE (DECREASE) | (464,062 | ) | $ | (3,608,854 | ) | 1,901,213 | $ | 23,069,049 |
129
Report of Independent Registered Public
Accounting Firm
To the 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, 2020, the related consolidated statements of operations for the year ended December 31, 2020, the consolidated statements of changes in net assets for each of the two years in the period ended December 31, 2020, 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, 2020, 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, 2020 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, 2020 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.
/s/PricewaterhouseCoopers LLP
Boston, Massachusetts
February 25, 2021
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
130
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 December 18, 2020, to consider and act upon the proposals below.
At the Meeting, shareholders of the Goldman Sachs Commodity Strategy Fund (the “Fund”) voted to approve a sub-advisory agreement for the Fund between Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) and CoreCommodity Management, LLC (“CoreCommodity”).
Proposal 1: approve sub-advisory agreement. | For | Against | Withheld | Broker Non-Votes | ||||||||||||
15,624,400.632 | 380,611.190 | 672,166.034 | 0 | |||||||||||||
At the Meeting, shareholders of the Fund failed to approve the use of a “manager of managers” structure whereby the Board of Trustees and the Investment Adviser would be authorized to hire and replace investment sub-advisers on behalf of the Fund without Shareholder approval.
Proposal 2: approve “manager of managers” structure. | For | Against | Withheld | Broker Non-Votes | ||||||||||||
4,046,718.683 | 12,061,884.377 | 568,574.796 | 0 | |||||||||||||
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 have amortized 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 | ||||||||||||
131
GOLDMAN SACHS ALTERNATIVE FUNDS
Fund Expenses — Six Month Period Ended December 31, 2020 (Unaudited)
As a shareholder of Class A, Class C, Institutional, Investor, Class R6, Class R or Class P 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 R6, Class R and Class P 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, 2020 through December 31, 2020, which represents a period of 184 days of a 366 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Absolute Return Tracker Fund | Alternative Premia Fund | Commodity Strategy Fund | Managed Futures Strategy Fund | |||||||||||||||||||||||||||||||||||||||||||||
Share Class | Beginning Account Value 07/01/20 | Ending Account Value 12/31/20 | Expenses 12/31/20* | Beginning Account Value 07/01/20 | Ending Account Value 12/31/20 | Expenses Paid for the 6 Months Ended 12/31/20* | Beginning Account Value 07/01/20 | Ending Account Value 12/31/20 | Expenses Paid for the 6 Months Ended 12/31/20* | Beginning Account Value 07/01/20 | Ending Account Value 12/31/20 | Expenses Paid for the 6 Months Ended 12/31/20* | ||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,098.20 | $ | 5.12 | $ | 1,000 | $ | 954.10 | $ | 5.89 | $ | 1,000 | $ | 1,193.00 | $ | 4.63 | $ | 1,000 | $ | 1,083.30 | $ | 8.01 | ||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,020.26 | + | 4.93 | 1,000 | 1,019.10 | + | 6.09 | 1,000 | 1,020.91 | + | 4.27 | 1,000 | 1,017.44 | + | 7.76 | ||||||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,093.60 | 9.05 | 1,000 | 950.80 | 9.56 | 1,000 | 1,188.30 | 8.75 | 1,000 | 1,080.40 | 11.92 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,016.49 | + | 8.72 | 1,000 | 1,015.33 | + | 9.88 | 1,000 | 1,017.14 | + | 8.06 | 1,000 | 1,013.67 | + | 11.54 | ||||||||||||||||||||||||||||||||
Institutional | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,100.50 | 3.17 | 1,000 | 956.40 | 4.08 | 1,000 | 1,193.90 | 2.81 | 1,000 | 1,085.00 | 6.03 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,022.12 | + | 3.05 | 1,000 | 1,020.96 | + | 4.22 | 1,000 | 1,022.57 | + | 2.59 | 1,000 | 1,019.36 | + | 5.84 | ||||||||||||||||||||||||||||||||
Investor | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,099.30 | 3.80 | 1,000 | 956.00 | 4.67 | 1,000 | 1,193.60 | 3.25 | 1,000 | 1,086.00 | 6.71 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,021.52 | + | 3.66 | 1,000 | 1,020.36 | + | 4.82 | 1,000 | 1,022.17 | + | 3.00 | 1,000 | 1,018.70 | + | 6.50 | ||||||||||||||||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,100.60 | 3.12 | 1,000 | 955.40 | 4.03 | 1,000 | 1,195.20 | 2.76 | 1,000 | 1,086.10 | 6.03 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,022.17 | + | 3.00 | 1,000 | 1,021.01 | + | 4.17 | 1,000 | 1,022.62 | + | 2.54 | 1,000 | 1,019.36 | + | 5.84 | ||||||||||||||||||||||||||||||||
Class R | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,097.70 | 6.43 | 1,000 | 952.20 | 7.12 | 1,000 | 1,191.90 | 6.01 | 1,000 | 1,082.70 | 9.32 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,019.00 | + | 6.19 | 1,000 | 1,017.85 | + | 7.35 | 1,000 | 1,019.66 | + | 5.53 | 1,000 | 1,016.19 | + | 9.02 | ||||||||||||||||||||||||||||||||
Class P | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,099.40 | 3.11 | 1,000 | 954.50 | 4.03 | 1,000 | 1,195.20 | 2.76 | 1,000 | 1,085.10 | 5.98 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,022.17 | + | 3.00 | 1,000 | 1,021.01 | + | 4.17 | 1,000 | 1,022.62 | + | 2.54 | 1,000 | 1,019.41 | + | 5.79 |
+ | 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, 2020. 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 R6 | Class R | Class P | |||||||||||||||||||||
Absolute Return Tracker | 0.97 | % | 1.72 | % | 0.60 | % | 0.72 | % | 0.59 | % | 1.22 | % | 0.59 | % | ||||||||||||||
Alternative Premia | 1.20 | 1.95 | 0.83 | 0.95 | 0.82 | 1.45 | 0.82 | |||||||||||||||||||||
Commodity Strategy | 0.84 | 1.59 | 0.51 | 0.59 | 0.50 | 1.09 | 0.50 | |||||||||||||||||||||
Managed Futures Strategy | 1.53 | 2.28 | 1.15 | 1.28 | 1.15 | 1.78 | 1.14 |
132
GOLDMAN SACHS ALTERNATIVE FUNDS
Background
The Goldman Sachs Commodity Strategy Fund (the “Fund”) is an investment portfolio of Goldman Sachs Trust. The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Fund at regularly scheduled meetings held throughout the year.
Upon the recommendation of the Investment Adviser, at a meeting held on July 23, 2020 (the “Meeting”), the Trustees present, including those Trustees who are not “interested persons” as defined in the Investment Company Act of 1940, as amended (the “Independent Trustees”), approved a sub-advisory agreement (the “Sub-Advisory Agreement”) between the Investment Adviser and CoreCommodity Management, LLC (the “Sub-Adviser”) on behalf of the Fund. In connection with their evaluation of the Sub-Advisory Agreement, the Trustees received written materials and oral presentations prepared by the Investment Adviser and the Sub-Adviser on the topics covered, and were advised by their independent legal counsel. In addition, the Trustees received information prepared by the Sub-Adviser in a written response to a formal request from the Investment Adviser. Subsequently, the Sub-Advisory agreement was approved by a vote of Fund shareholders at a special meeting held on December 18, 2020.
Nature, Extent and Quality of the Services to be Provided Under the Sub-Advisory Agreement
In evaluating the Sub-Advisory Agreement, the Trustees present at the Meeting relied on the information provided by the Investment Adviser and the Sub-Adviser. In evaluating the nature, extent and quality of services to be provided by the Sub-Adviser under the Sub-Advisory Agreement, the Trustees considered information about the Sub-Adviser’s (i) personnel and its compensation structure, such as information regarding discretionary bonuses, the impact of performance on compensation, and whether the Sub-Adviser believes that its compensation structure aligns portfolio manager interests with those of shareholders or provides incentives for employees to take inappropriate investment risks; (ii) track record in managing other client accounts with investment strategies similar to those to be employed on behalf of the Fund; (iii) policies and procedures in place to address potential conflicts of interest, including policies and procedures related to best execution, brokerage and trading practices, proxy voting practices, and insider trading controls; and (iv) compliance program and code of ethics. In this regard, they considered assessments provided by the Investment Adviser of the Sub-Adviser, the Sub-Adviser’s investment strategies and personnel, and its compliance program. The Trustees also considered that the Sub-Adviser currently manages other assets for a client of an affiliate of the Investment Adviser. They noted that, because the Sub-Adviser had not previously provided services to the Fund, there was no performance information to evaluate with respect to the Fund.
Costs of Services to be Provided
The Trustees reviewed the terms of the Sub-Advisory Agreement and the proposed fee schedule, which included breakpoints. They noted that the compensation paid to the Sub-Adviser would be paid by the Investment Adviser, not by the Fund. They also noted that the terms of the Sub-Advisory Agreement were the result of arms’ length negotiations between the Investment Adviser and the Sub-Adviser. They considered this information in light of the overall management fee expected to be retained by the Investment Adviser.
Conclusion
In connection with their consideration of the Sub-Advisory Agreement, the Trustees gave weight to various factors, but did not identify any particular factor as controlling their decision. After deliberation and consideration of the information provided, including the factors described above, the Trustees present at the Meeting, including a majority of the Independent Trustees, unanimously concluded, in the exercise of their business judgment, that the sub-advisory fees to be paid by the Investment Adviser to the Sub-Adviser were reasonable in light of the factors considered, and that the Sub-Advisory Agreement, and the terms thereof, should be approved for a period of two years from its effective date.
133
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: 71 | 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. | 105 | None | |||||
Dwight L. Bush Age: 63 | Trustee | Since 2020 | 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). Previously, Ambassador Bush served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 105 | None | |||||
Kathryn A. Cassidy Age: 66 | 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. | 105 | None | |||||
Diana M. Daniels Age: 71 | 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. | 105 | None | |||||
Joaquin Delgado Age: 60 | Trustee | Since 2020 | 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). Previously, Dr. Delgado served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 105 | Stepan Company (a specialty chemical manufacturer) | |||||
134
GOLDMAN SACHS ALTERNATIVE FUNDS
Trustees and Officers (Unaudited) (continued)
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 | |||||
Roy W. Templin Age: 60 | 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).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 105 | Armstrong World Industries, Inc. (a ceiling, wall and suspension systems solutions manufacturer) | |||||
Gregory G. Weaver Age: 69 | 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. | 105 | Verizon Communications Inc. |
135
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: 58 | 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 and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | 158 | None | |||||
* | 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 may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of December 31, 2020. |
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 each Independent Trustee shall retire as of December 31st of the calendar year in which he or she reaches (a) his or her 75th birthday or (b) the 15th anniversary of the date he or she became a Trustee, whichever is earlier, 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, 2020, Goldman Sachs Trust consisted of 92 portfolios (90 of which offered shares to the public); 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 ETF Trust consisted of 31 portfolios (20 of which offered shares to the public); and 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. Goldman Sachs Credit Income Fund did not offer 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.
136
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: 58 | 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 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: 43 | Secretary | Since 2012 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Senior Counsel, Goldman Sachs (January 2020-Present); Associate General Counsel, Goldman Sachs (2012-December 2019); 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 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: 52 | 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 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, 2020. |
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. |
137
GOLDMAN SACHS ALTERNATIVE FUNDS
Goldman Sachs Trust — Alternative Funds — Tax Information (Unaudited)
For the fiscal year ended December 31, 2020, 8.10% 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, 2020, 65.78% 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 $1,892,748 and $3,128,521, respectively, or, if different, the maximum amount allowable, as capital gain dividends paid during the fiscal year ended December 31, 2020.
During the fiscal year ended December 31, 2020, the Absolute Return Tracker Fund and Managed Futures Strategy Fund designate $15,673,635 and $127,725, respectively, as short-term capital gain dividends pursuant to Section 871(k) of the Internal Revenue Code.
For the year ended December 31, 2020, the Commodity Strategy Fund designates 33.50% of the dividends paid from net investment company taxable income as section 163(j) Interest Dividends.
138
FUNDS PROFILE
Goldman Sachs Funds
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
Today, the Consumer and Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.95 trillion in assets under supervision as of December 31, 2020, 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 Core Fixed Income Fund4 |
∎ | 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 |
∎ | U.S. Equity ESG Fund5 |
∎ | Income Builder Fund |
Tax-Advantaged Equity
∎ | U.S. Tax-Managed Equity Fund |
∎ | International Tax-Managed Equity Fund |
∎ | U.S. Equity Dividend and Premium Fund |
∎ | International Equity Dividend and Premium Fund |
Equity Insights
∎ | Small Cap Equity Insights Fund |
∎ | U.S. Equity Insights Fund |
∎ | Small Cap Growth Insights Fund |
∎ | Large Cap Growth Insights Fund |
∎ | Large Cap Value Insights Fund |
∎ | Small Cap Value Insights Fund |
∎ | International Small Cap Insights Fund |
∎ | International Equity Insights Fund |
∎ | Emerging Markets Equity Insights Fund |
Fundamental Equity International
∎ | International Equity Income Fund |
∎ | International Equity ESG Fund |
∎ | China Equity Fund |
∎ | Emerging Markets Equity Fund |
∎ | ESG Emerging Markets Equity Fund |
Alternative
∎ | Clean Energy Income Fund |
∎ | Defensive Equity Fund |
∎ | 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 |
∎ | Energy Infrastructure Fund6 |
∎ | 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 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 Fund |
∎ | Satellite Strategies Portfolio |
∎ | Enhanced Dividend Global Equity Portfolio |
∎ | Tax-Advantaged Global Equity Portfolio |
∎ | Strategic Factor Allocation Fund |
∎ | Target Date Retirement Portfolio |
∎ | Target Date 2025 Portfolio |
∎ | Target Date 2030 Portfolio |
∎ | Target Date 2035 Portfolio |
∎ | Target Date 2040 Portfolio |
∎ | Target Date 2045 Portfolio |
∎ | Target Date 2050 Portfolio |
∎ | Target Date 2055 Portfolio |
∎ | Target Date 2060 Portfolio |
∎ | GQG Partners International Opportunities Fund |
1 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
2 | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
3 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
4 | Effective after the close of business on April 30, 2020, the Goldman Sachs Global Income Fund was renamed the Goldman Sachs Global Core Fixed Income Fund. |
5 | Effective after the close on business of August 30, 2020, the Goldman Sachs Blue Chip Fund was renamed the Goldman Sachs U.S. Equity ESG Fund. |
6 | Effective after the close of business on June 26, 2020, the Goldman Sachs MLP & Energy Fund was renamed the Goldman Sachs Energy Infrastructure Fund. |
Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC. |
* | This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds. |
TRUSTEES Jessica Palmer, Chair Dwight L. Bush Kathryn A. Cassidy Diana M. Daniels Joaquin Delgado James A. McNamara Roy W. Templin Gregory G. Weaver | 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 at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Goldman Sachs Asset Management, L.P. 200 West Street, New York, New York 10282
Economic and market forecasts presented herein reflect our judgment as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only.
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://www.sec.gov.
The Funds 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, 2020 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).
© 2021 Goldman Sachs. All rights reserved. 230831-OTU-1358519 SELSATAR-21
Goldman Sachs Funds
Annual Report | December 31, 2020 | |||
Tax-Advantaged Equity Funds | ||||
U.S. Equity Dividend and Premium | ||||
International Equity Dividend and Premium | ||||
U.S. Tax-Managed Equity | ||||
International Tax-Managed Equity |
Goldman Sachs Tax-Advantaged Equity Funds
∎ | U.S. EQUITY DIVIDEND AND PREMIUM |
∎ | INTERNATIONAL EQUITY DIVIDEND AND PREMIUM |
∎ | U.S. TAX-MANAGED EQUITY |
∎ | INTERNATIONAL TAX-MANAGED EQUITY |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee |
Goldman Sachs Tax-Advantaged Equity Funds
Market Review
During the 12 months ended December 31, 2020 (the “Reporting Period”), the performance of the U.S. and international equity markets were influenced most by the spread of COVID-19, a contraction in global economic growth and historic financial stimulus by central banks and governments around the world.
U.S. Equities
In the first quarter of 2020, when the Reporting Period began, the U.S. equity market fell significantly, selling off as the outbreak and subsequent spread of COVID-19 caused non-essential businesses to close. Jobless claims increased to 6.6 million, and nonfarm payrolls decreased by 701,000 for the month of March, leading the U.S. government to respond with aggressive economic stimulus and the U.S. Federal Reserve (the “Fed”) to respond with unprecedented monetary policy stimulus, including lowering its targeted federal funds rate to zero and re-introducing and expanding its quantitative easing programs. Exacerbating matters was crude oil prices that fell as supply increased and demand decreased.
After hitting a low on March 23, 2020, the U.S. equity market then rose in the subsequent three quarters of 2020. In the second calendar quarter, U.S. equities appreciated despite a surge in COVID-19 cases in regional pockets of the country, causing local governments to pause reopening plans and revisit previous lockdown measures. Positive market sentiment was buoyed by better than consensus expected economic data, such as nonfarm payrolls increasing 7.3 million during May and June 2020, driving the unemployment rate down to 11.1% from 14.7% in April. The U.S. equity markets continued to rally in the third quarter of 2020 despite ongoing pressure from the pandemic. Market strength was supported by a sharp cyclical recovery in economic data, with the Institute for Supply Management’s Manufacturing Purchasing Managers’ Index increasing to 56.0 in August, which is firmly in expansionary territory. Optimism around a potential COVID-19 vaccine also helped support equity markets during the quarter. Still, risks to the market persisted given political uncertainty ahead of the then-upcoming 2020 U.S. elections, lower levels of Gross Domestic Product (“GDP”), heightened unemployment, questions around how quickly and effectively a COVID-19 vaccine could be distributed, and debates about the extent of a new stimulus package from the federal government. In the fourth quarter of 2020, U.S. stocks extended a broad-based recovery from their steep first quarter declines. Markets rallied on the prospect of an end to the global pandemic and its economic impact with the approval and distribution of COVID-19 vaccines. While uncertainty surrounding the then-upcoming U.S. elections and other policy questions created the potential for higher market volatility, the victory of the Democratic candidate for President proved positive for equity markets in the latter part of the quarter. Also, after a historically sharp but short recession during the spring of 2020, many major economies, including that of the U.S., entered an early-cycle phase of recovery. Employment conditions improved, as temporary job losses were regained in some segments of the economy, and U.S. manufacturing activity recovered. Despite this improvement, reminders of a COVID-19 ceiling for industries hit hardest by pandemic restrictions persisted.
The S&P 500® Index returned 18.34% during the Reporting Period overall. Eight of its 11 sectors posted positive absolute returns, with seven of those eight generating double-digit gains. Information technology, consumer discretionary and communication services 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, real estate and financials.
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 small-cap stocks, as measured by the Russell 2000® Index, and then by mid-cap stocks, as measured by the Russell Midcap® 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
As the Reporting Period started with the first quarter of 2020, COVID-19 wreaked havoc across countries, communities and industries alike, disrupting global supply chains, international trade and private consumption patterns across the world. While different countries took varied degrees of measures in an effort to combat the pandemic, containment through social distancing and lockdowns were the broader theme of the season. With more than 100 countries closing borders, the movement of people, tourism flows and virtually all economic activities came to a screeching halt. In turn, March 2020 was a historic month for all asset classes and for equities in particular, with all leading equity markets across the world experiencing one of the largest single-month declines
1
MARKET REVIEW
since October 2008. Many international equity markets — in economies large and small — went into a tailspin, enduring declines of 30% or more at the trough. Exacerbating matters was the failure of oil-producing nations to agree to production cuts, which resulted in increased supply amid pandemic-driven reduced demand, applying downward pressure on crude oil prices.
During the second quarter of 2020, international equity markets gained on optimism around a global economic recovery as lockdown measures began to ease. Investors largely looked past not only first calendar quarter corporate earnings but also weak macroeconomic data, fears of a second wave of COVID-19 and a bleak U.S. economic outlook from the U.S. Fed. European equity markets were supported by a larger than consensus expected stimulus boost from the European Central Bank’s (“ECB”) Pandemic Emergency Purchase Programme (“PEPP”) and the European Union’s proposed €750 billion COVID-19 recovery plan. In June, the ECB increased its PEPP by another €600 billion and extended its purchases through June 2021. The ECB also began offering euro liquidity to non-Euro area central banks in response to the COVID-19 crisis. In the Euro area, June’s composite Purchasing Managers Index rebounded by 15.6 points to 47.5, consistent with the easing of lockdown measures and improvements in high-frequency activity data. Japanese equity markets rallied in April and May 2020, recovering from the downturn that had started in February 2020. This market recovery was driven by a rebound in valuations, particularly in cyclical sectors that bore most of the brunt during the prior quarter’s sell-off.
International equity markets rallied in July and August 2020, buoyed by supportive industrial and labor data, optimism surrounding COVID-19 vaccine testing and ongoing policy support from governments and central banks. This was followed by a decline in September, with a spike in COVID-19 cases globally, a pullback in information technology sector performance, and the U.S. Fed’s perspective on further policy support. European equities ended the third calendar quarter flat. While major corporate earnings beats of consensus expectations provided some support, European stock markets were pressured by rising investor worries around a second wave of COVID-19, and the direction of Brexit negotiations remained a key concern. (Brexit is the popular term for the U.K.’s path out of the European Union.) In the Euro area, the flash composite Purchasing Managers Index reached a three-month low in September. The manufacturing sector, however, continued to see growth, led by Germany’s surge in output. The U.K. presented an Internal Market Bill to its parliament containing provisions that conflict with the European Union-U.K. Withdrawal Agreement reached earlier in the year. But the U.K. and Japan finalized a free-trade agreement, the U.K.’s first major post-Brexit accord. The Japanese equity market slowed in September from its year-to-date high in August amidst increasing U.S.-China tensions and ongoing strength of the yen. However, the downside was limited by better than consensus expected Japanese GDP numbers, lowering of COVID-19 alerts in Tokyo and easing of restrictions in Japan. A new Prime Minister was elected in mid-September, becoming Japan’s first new leader in nearly eight years. In September, the Bank of Japan upgraded its assessment of Japan’s economy, stating it had started to pick up after a difficult period caused by the COVID-19 pandemic.
After declining for a second consecutive month in October 2020, international equity markets then rallied in the last two months of the calendar year, with cyclical and value-oriented stocks outperforming growth-oriented names in a reversal of a long-standing trend. Equity markets also advanced on resolution of the U.S. election results. The announcement of promising data from three COVID-19 vaccine developers gave a further boost to investor sentiment and the prospects of a global economic recovery. Still, rising COVID-19 cases and renewed activity restrictions cast concerns on the near term, and policy uncertainties around more stimulus in the U.S., Fed facilities and the European Union recovery fund also weighed on the outlook. While European equities faced some headwinds from increasing COVID-19 cases and heightened lockdown restrictions, spillover optimism from the U.S. elections boosted European stocks. However, the Euro area’s composite Purchasing Managers Index declined sharply from 50.0 in October to 45.1 in November. At a country level, France was a detractor, while Germany performed well, mirroring the pattern of the Euro area’s first wave of COVID-19 earlier in 2020. In the U.K., third quarter GDP rose by 15.5% quarter over quarter non-annualized, the sharpest quarterly expansion on record. The Japanese equity market rallied, driven by global cues, particularly around COVID-19 vaccines and U.S. Presidential election-related news. The Japanese equity market closed 2020 at its highest level since November 1991.
For the Reporting Period overall, the MSCI EAFE Index returned 22.82% in U.S. dollar terms. Eight of its 11 sectors gained, with information technology leading the way, followed by communication services and materials. Energy was the weakest performer on the basis of total return during the Reporting Period, followed by real estate and financials.
2
MARKET REVIEW
From a country perspective, Denmark, Sweden, the Netherlands, Ireland and Finland were the strongest individual country constituents in the MSCI EAFE Index on a relative basis during the Reporting Period. The U.K., Belgium, Singapore, Spain and Austria most significantly lagged the MSCI EAFE Index in relative terms 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.
3
PORTFOLIO RESULTS
U.S. Equity Dividend and Premium Fund
Investment Objective
The Fund seeks to maximize income and total return.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs U.S. Equity Dividend and Premium Fund’s (the “Fund”) performance and positioning for the 12-month period ended December 31, 2020 (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 R6 and Class P Shares generated average annual total returns, without sales charges, of 13.62%, 12.83%, 14.12%, 13.90%, 14.13% and 14.05%, respectively. These returns compare to the 18.34% 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 7.49%. |
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 consumer discretionary, communication services and energy 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 18.66% compared to the realized volatility of the S&P 500® Index of 19.95%. During the Reporting Period, the realized daily volatility of the Fund was 32.87% compared to the realized volatility of the S&P 500® Index of 34.23%.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 |
1 | The realized daily volatility of the Fund quoted herein is for Institutional Shares, net of fees. Based on GSAM calculations. |
4
PORTFOLIO RESULTS
Institutional Share class during the Reporting Period was 2.13% compared to 1.54% for the S&P 500® Index. (Dividend yield is a ratio that shows how much a company pays out in dividends in a year divided by its share price.) The Fund’s dividend yield served to enhance its quarterly net income distributions. As of December 31, 2020, the Standardized 30-Day Subsidized Yield was 1.52% and the Standardized 30-Day Unsubsidized Yield was 1.49%.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 financial services company Wells Fargo & Co., bank holding company PacWest Bancorp and online payment provider PayPal Holdings. 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 Bank of America, an investment bank and financial services holding company; PNC Financial Services Group, a bank holding company and financial services provider; and ConocoPhillips, which engages in the exploration, production, transportation and marketing of crude oil, bitumen, natural gas, natural gas liquids and liquefied natural gas worldwide. The Fund was underweight all three stocks largely because of their unattractive 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 Standardized 30-Day Unsubsidized Yield of the Fund quoted herein is for Institutional Shares, net of fees. Based on GSAM calculations. |
5
FUND BASICS
U.S. Equity Dividend and Premium Fund
as of December 31, 2020
TOP TEN HOLDINGS AS OF 12/31/201,2 | ||||||||
Holding | % of Net Assets | Line of Business | ||||||
Apple, Inc. | 7.2 | % | Technology Hardware & Equipment | |||||
Microsoft Corp. | 5.7 | Software & Services | ||||||
Amazon.com, Inc. | 4.5 | Retailing | ||||||
Facebook, Inc. Class A | 2.1 | Media & Entertainment | ||||||
Alphabet, Inc. Class A | 2.0 | Media & Entertainment | ||||||
JPMorgan Chase & Co. | 1.8 | Banks | ||||||
Tesla, Inc. | 1.7 | Automobiles & Components | ||||||
Johnson & Johnson | 1.6 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
UnitedHealth Group, Inc. | 1.4 | Health Care Equipment & Services | ||||||
AT&T, Inc. | 1.4 | Telecommunication Services |
1 | The top 10 holdings may not be representative of the Fund’s future investments. |
2 | The Fund’s overall top ten holdings differ from the table above due to the exclusion of the Goldman Sachs Financial Square Government Fund (a short-term investment fund) which represents 2.3% of the Fund’s net assets as of December 31, 2020 |
FUND VS. BENCHMARK SECTOR ALLOCATIONS3 |
As of December 31, 2020 |
3 | 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 other investment companies held by the Fund are not reflected in the graph above. Investments in the securities lending reinvestment vehicle represented 0.2% of the Fund’s net assets at December 31, 2020. 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, 2020
The following graph shows the value as of December 31, 2020, of a $1,000,000 investment made on January 1, 2011 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, 2011 through December 31, 2020.
Average Annual Total Return through December 31, 2020* | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A | ||||||||||||||
Excluding sales charges | 13.62% | 11.34% | 10.77% | — | ||||||||||
Including sales charges | 7.38% | 10.09% | 10.14% | — | ||||||||||
| ||||||||||||||
Class C | ||||||||||||||
Excluding contingent deferred sales charges | 12.83% | 10.53% | 9.95% | — | ||||||||||
Including contingent deferred sales charges | 11.74% | 10.53% | 9.95% | — | ||||||||||
| ||||||||||||||
Institutional | 14.12% | 11.78% | 11.21% | — | ||||||||||
| ||||||||||||||
Investor | 13.90% | 11.61% | 11.04% | — | ||||||||||
| ||||||||||||||
Class R6 (Commenced April 30, 2018) | 14.13% | N/A | N/A | 12.17% | ||||||||||
| ||||||||||||||
Class P (Commenced April 17, 2018) | 14.05% | N/A | N/A | 11.12% | ||||||||||
|
* | 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 R6 and Class P 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 the 12-month period ended December 31, 2020 (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 R6 and Class P Shares generated average annual total returns, without sales charges, of 0.93%, 0.18%, 1.18%, 1.20%, 1.34% and 1.33%, respectively. These returns compare to the 7.79% 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 9.17%. |
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 consumer discretionary, communication services and utilities sectors diminished relative returns. The Fund benefited from selection in the materials and real estate 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. However, since its inception, the realized daily volatility of the Fund has been 20.64% compared to the realized volatility of the MSCI EAFE Index of 18.67%. During the Reporting Period, the realized daily volatility of the Fund was 28.46% compared to the realized volatility of the MSCI EAFE Index of 24.01%.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 3.44% compared to 2.38% 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.) |
1 | The realized daily volatility of the Fund quoted herein is for Institutional Shares, net of fees. Based on GSAM calculations. |
8
PORTFOLIO RESULTS
The Fund’s dividend yield served to enhance its quarterly net income distributions. As of December 31, 2020, the Standardized 30-Day Subsidized Yield was 3.17% and the Standardized 30-Day Unsubsidized Yield was 2.93%.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 Daimler, a Germany-based automobile producer; Legal & General Counsel Group, a U.K.-based financial services company; and BT Group, a U.K.-based telecommunications holding company. 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 overweight positions compared to the Index in Australian iron ore company Fortescue Metals Group, Anglo-Australian metals and mining company Rio Tinto Group, and Japanese mobile phone provider NTT DOCOMO. 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. |
2 | The Standardized 30-Day Subsidized Yield and Standardized 30-Day Unsubsidized Yield of the Fund quoted herein is for Institutional Shares, net of fees. Based on GSAM calculations. |
9
FUND BASICS
International Equity Dividend and Premium Fund
as of December 31, 2020
TOP TEN HOLDINGS AS OF 12/31/201 | ||||||||||
Company | % of Net Assets | Line of Business | Country | |||||||
Nestle SA (Registered) | 2.6 | % | Food, Food Products | Switzerland | ||||||
Commonwealth Bank of Australia | 1.8 | Banks | Australia | |||||||
Novartis AG (Registered) | 1.8 | Pharmaceuticals, Biotechnology & Life Sciences | Switzerland | |||||||
Rio Tinto plc ADR | 1.7 | Materials | Australia | |||||||
Toyota Motor Corp. | 1.7 | Automobiles & Components | Japan | |||||||
Zurich Insurance Group AG | 1.6 | Insurance | Switzerland | |||||||
ASML Holding NV | 1.6 | Semiconductors & Semiconductor Equipment | Netherlands | |||||||
Roche Holding AG | 1.5 | Pharmaceuticals, Biotechnology & Life Sciences | Switzerland | |||||||
LVMH Moet Hennessy Louis Vuitton SE | 1.5 | Consumer Durables & Apparel | France | |||||||
National Australia Bank Ltd. | 1.3 | Banks | Australia |
1 | The top 10 holdings may not be representative of the Fund’s future investments. |
FUND VS. BENCHMARK SECTOR ALLOCATIONS2 |
As of December 31, 2020 |
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 other 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.
10
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Performance Summary
December 31, 2020
The following graph shows the value as of December 31, 2020, of a $1,000,000 investment made on January 1, 2011 in Institutional Shares at NAV. 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, 2011 through December 31, 2020.
Average Annual Total Return through December 31, 2020* | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A | ||||||||||||||
Excluding sales charges | 0.93% | 4.44% | 2.64% | — | ||||||||||
Including sales charges | -4.56% | 3.27% | 2.06% | — | ||||||||||
| ||||||||||||||
Class C | ||||||||||||||
Excluding contingent deferred sales charges | 0.18% | 3.63% | 1.86% | — | ||||||||||
Including contingent deferred sales charges | -0.82% | 3.63% | 1.86% | — | ||||||||||
| ||||||||||||||
Institutional | 1.18% | 4.79% | 3.04% | — | ||||||||||
| ||||||||||||||
Investor | 1.20% | 4.70% | 2.90% | — | ||||||||||
| ||||||||||||||
Class R6 (Commenced April 30, 2018) | 1.34% | N/A | N/A | 0.36% | ||||||||||
| ||||||||||||||
Class P (Commenced April 17, 2018) | 1.33% | N/A | N/A | -0.12% | ||||||||||
|
* | 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 R6 and Class P Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
11
PORTFOLIO RESULTS
U.S. Tax-Managed Equity Fund
Investment Objective
The Fund seeks to provide long-term after-tax growth of capital through tax-sensitive participation in a broadly diversified portfolio of U.S. equity securities.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs U.S. Tax-Managed Equity Fund’s (the “Fund”) performance and positioning for the 12-month period ended December 31, 2020 (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 R6 and Class P Shares generated average annual total returns, without sales charges, of 17.06%, 16.25%, 17.48%, 16.87%, 17.38%, 17.49% and 17.48%, respectively. This compares to the 20.83% 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 | 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 these investment themes hurt relative returns. |
Q | What impact did the Fund’s investment themes have on 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. |
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 four investment themes detracted from the Fund’s relative performance. Sentiment Analysis was our worst performing theme. High Quality Business Models and Fundamental Mispricings also detracted from results, albeit to a lesser extent. Sentiment Analysis seeks to identify stocks experiencing improvements in their overall market sentiment. High Quality Business Models seeks to identify companies that are generating high quality revenues with sustainable business models and aligned management incentives. 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. |
On the positive side, Market Themes & Trends added to the Fund’s relative returns. 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. |
12
PORTFOLIO RESULTS
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. |
Q | How successful was your stock selection during the Reporting Period? |
A | The Fund seeks to provide investors with a tax-efficient means for maintaining broadly diversified exposure to the entire U.S. equity market, ranging from large- to small-cap stocks. During the Reporting Period, stock selection in the financials, consumer discretionary and health care sectors detracted from relative performance. The Fund benefited from its investments in the energy, communication services and information technology sectors. |
Q | Which individual stock holdings detracted significantly from relative performance? |
A | During the Reporting Period, the Fund was hurt by its underweight position versus the Index in Tesla. Overweight positions in Reinsurance Group of America and Citizens Financial Group also detracted from relative returns. The underweight in Tesla, an electric vehicle and clean energy company, was primarily driven by our High Quality Business Models investment theme and, to a lesser extent, our Fundamental Mispricings investment theme. We assumed the overweight in Reinsurance Group of America, a provider of life and health-related reinsurance and financial solutions, largely because of our Fundamental Mispricings investment theme. The Fund’s overweight in retail and commercial bank Citizens Financial Group was due mainly to 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 | Compared to the Index, the Fund was helped by its overweights in PayPal Holdings and Amazon.com and by its underweight in Exxon Mobil. We adopted the overweight in online payment system PayPal Holdings because of our High Quality Business Models, Sentiment Analysis and Market Themes & Trends investment themes. The overweight in e-commerce company Amazon.com was based mainly on our Sentiment Analysis and High Quality Business Models investment themes. Our Sentiment Analysis, Market Themes & Trends and High Quality Business Models investment themes led to the Fund’s underweight in multinational oil and gas company Exxon Mobil. |
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. |
During the first half of the Reporting Period, we introduced new signals within our High Quality Business Models investment theme. First, we added a signal that uses machine learning and natural language processing techniques to capture the linguistic complexity of a company’s earnings call transcript, as we believe that companies using simple language are expected to perform better over the long term. Second, we implemented a signal that uses machine learning techniques to gauge the management quality of a company by assessing employee satisfaction and firm culture through employee reviews and ratings for companies. In our Fundamental Mispricings investment theme, we introduced a signal that seeks to test investors’ under-reaction to a company’s short-term deviation in its fundamentals by simultaneously looking at a set of key profitability metrics that could point to a company’s long-term growth prospects. |
During the second half of the Reporting Period, we introduced a number of new signals within our Sentiment Analysis investment theme. The first signal uses granular market data to understand market microstructures. The second is based on the quality of management’s responses on earnings calls. This signal uses natural language processing techniques in order to capture the linguistic complexity of a company’s earnings call transcript, as we believe that companies that respond with fewer “non-answers” are expected to perform better over the long term. We also introduced two new signals within our High-Quality Business Models investment theme. The first signal evaluates the overlap in tenure of a company’s C-Suite executives as |
13
PORTFOLIO RESULTS
well as other management positions, as we believe companies that exhibit less turnover in their senior-most management teams are likely to outperform in the long run. The second signal seeks to identify a company’s exposure to U.S. states based on search engine activity, as we believe that companies can be impacted by the economic conditions of regions beyond where their subsidiaries, offices or otherwise general businesses are physically located. |
Finally, we introduced a strategic climate-aware tilt with longer-term return expectations within our portfolio construction process. This tilt is designed to reduce exposure to carbon transition risk using two proprietary measures of emissions intensity. We believe that the transition to a low-carbon economy is likely to become even more important in determining the attractiveness of companies in the future. |
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, real estate and consumer discretionary sectors. It was underweight compared to the Index in the utilities, consumer staples, information technology and industrials sectors. The Fund was relatively neutral versus the Index in the communication services, materials, financials and energy sectors at the end of the Reporting Period. |
14
FUND BASICS
U.S. Tax-Managed Equity Fund
as of December 31, 2020
TOP TEN HOLDINGS AS OF 12/31/201 | ||||||||
Holding | % of Net Assets | Line of Business | ||||||
Apple, Inc. | 6.0 | % | Technology Hardware & Equipment | |||||
Microsoft Corp. | 4.5 | Software & Services | ||||||
Amazon.com, Inc. | 4.4 | Retailing | ||||||
PayPal Holdings, Inc. | 2.1 | Software & Services | ||||||
NVIDIA Corp. | 1.7 | Semiconductors & Semiconductor Equipment | ||||||
AbbVie, Inc. | 1.7 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
Facebook, Inc. Class A | 1.7 | Media & Entertainment | ||||||
Sherwin-Williams Co. (The) | 1.5 | Materials | ||||||
Alphabet, Inc. Class A | 1.5 | Media & Entertainment | ||||||
Alphabet, Inc. Class C | 1.5 | Media & Entertainment |
1 | The top 10 holdings may not be representative of the Fund’s future investments. |
FUND VS. BENCHMARK SECTOR ALLOCATIONS2 |
As of December 31, 2020 |
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, 2020. |
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, 2020
The following graph shows the value as of December 31, 2020, of a $1,000,000 investment made on January 1, 2011 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, 2011 through December 31, 2020.
Average Annual Total Return through December 31, 2020* | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A | ||||||||||||||
Excluding sales charges | 17.06% | 12.03% | 12.63% | — | ||||||||||
Including sales charges | 10.62% | 10.76% | 11.99% | — | ||||||||||
| ||||||||||||||
Class C | ||||||||||||||
Excluding contingent deferred sales charges | 16.25% | 11.20% | 11.79% | — | ||||||||||
Including contingent deferred sales charges | 15.26% | 11.20% | 11.79% | — | ||||||||||
| ||||||||||||||
Institutional | 17.48% | 12.46% | 13.06% | — | ||||||||||
| ||||||||||||||
Service | 16.87% | 11.90% | 12.50% | — | ||||||||||
| ||||||||||||||
Investor | 17.38% | 12.31% | 12.91% | — | ||||||||||
| ||||||||||||||
Class R6 (Commenced April 30, 2018) | 17.49% | N/A | N/A | 11.91% | ||||||||||
| ||||||||||||||
Class P (Commenced April 17, 2018) | 17.48% | N/A | N/A | 10.87% | ||||||||||
|
* | 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 R6 and Class P Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
16
PORTFOLIO RESULTS
International Tax-Managed Equity Fund
Investment Objective
The Fund seeks to provide long-term after-tax growth of capital through tax-sensitive participation in a broadly diversified portfolio of international equity securities.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs International Tax-Managed Equity Fund’s (the “Fund”) performance and positioning for the 12-month period ended December 31, 2020 (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 R6 and Class P Shares generated average annual total returns, without sales charges, of 9.75%, 8.89%, 10.11%, 10.09%, 10.20% and 10.09%, respectively. This compares to the 7.79% 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 | During the Reporting Period, the Fund outperformed the Index, with three of our quantitative model’s four investment themes adding to performance. Stock selection driven by our investment themes contributed positively to relative returns. |
Q | What impact did the Fund’s investment themes have on 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. |
In keeping with this 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 — Market Themes & Trends, Sentiment Analysis and High Quality Business Models — added to the Fund’s relative returns. Market Themes & Trends seeks to identify companies positively positioned to benefit from themes and trends in the market and macroeconomic environment. Sentiment Analysis seeks to identify stocks experiencing improvements in their overall market sentiment. High Quality Business Models seeks to identify companies that are generating high quality revenues with sustainable business models and aligned management incentives. |
Our Fundamental Mispricings investment theme detracted from the Fund’s relative performance during the Reporting Period. 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. |
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 its 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 a tax-efficient means for maintaining broadly diversified exposure to the entire EAFE equity market. During the Reporting Period, stock selection in the financials, health care and information technology sectors contributed positively to relative returns. The Fund was hurt by stock selection in the consumer discretionary sector and, to a lesser extent, the consumer staples and utilities sectors. |
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 benefited from its overweight positions compared to the Index in Sartorius Stedim Biotech, a Germany-based provider of products and solutions to the biopharmaceutical industry and to laboratories; Fortescue Metals Group, an Australian iron ore company; and ASM International, a Netherlands-headquartered provider of semiconductor wafer processing equipment for the fabrication of semiconductor devices. We decided to overweight Sartorius Stedim Biotech and Fortescue Metals Group based primarily on our High Quality Business Models and Market Themes & Trends investment themes. The Fund’s overweight in ASM International was driven by our Market Themes & Trends and High Quality Business Models investment themes. |
��
Q | Which individual stock holdings detracted significantly from relative performance? |
A | Relative to the Index, the Fund’s overweight positions in Eurofins Scientific, BNP Paribas and Santos detracted from returns during the Reporting Period. Our High Quality Business Models, Sentiment Analysis and Market Themes & Trends investment themes led us to overweight Luxembourg-headquartered Eurofins Scientific, a provider of analytical testing services to the pharmaceutical, food, environmental and consumer products industries. The Fund was overweight French banking group BNP Paribas mainly because of our Sentiment Analysis and Market Themes & Trends investment themes. We adopted the overweight in Australia-based energy company Santos largely 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. |
During the first half of the Reporting Period, in all investment regions, we introduced a signal within our Fundamental Mispricings investment theme that seeks to test investors’ under-reaction to a company’s short-term deviation in its fundamentals by simultaneously looking at a set of key profitability metrics that could point to a company’s long-term growth prospects. Within our country selection models, we introduced a signal within our Momentum investment theme that seeks to identify which countries have strong business relationships and may grow together. The signal uses linkages inferred from company-level supply chain data. Within developed markets regions, we introduced an additional new signal within our Momentum investment theme that parses through news articles about central bank activity or statements, seeking information that may impact the attractiveness of markets. |
During the second half of the Reporting Period, we introduced a new signal within our High-Quality Business Models investment theme. The new signal evaluates the overlap in tenure of a company’s C-Suite executives as well as other management positions, as we believe companies that exhibit less turnover in their senior-most management teams are likely to outperform in the long run. Finally, we introduced a strategic climate-aware tilt with longer-term return expectations within our portfolio construction process across all our investment regions. This tilt is designed to reduce exposure to carbon transition risk using two proprietary measures of emissions intensity. We believe that the transition to a low-carbon economy is likely to become |
18
PORTFOLIO RESULTS
even more important in determining the attractiveness of companies in the future. |
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 communication services, information technology, health care, materials and industrials sectors relative to the Index. It was underweight the consumer staples, utilities, consumer discretionary and energy sectors. The Fund was relatively neutrally weighted to the Index in the financials and real estate sectors at the end of the Reporting Period. |
At the end of the Reporting Period, the Fund was overweight compared to the Index in Italy, the Netherlands and Japan. Relative to the Index, it was underweight Germany, France and the U.K. The Fund was rather neutrally weighted relative to the Index in Norway, Switzerland, Hong Kong, Ireland, Israel, Spain, Denmark, Finland, Australia, New Zealand, Austria, Singapore, Belgium, Sweden and Portugal at the end of the Reporting Period. |
19
FUND BASICS
International Tax-Managed Equity Fund
as of December 31, 2020
TOP TEN HOLDINGS AS OF 12/31/201 | ||||||||
Holding | % of Net Assets | Line of Business | ||||||
Roche Holding AG | 2.3 | % | Pharmaceuticals, Biotechnology & Life Sciences | |||||
Nestle SA (Registered) | 1.8 | Food, Food Products | ||||||
Novo Nordisk A/S Class B | 1.6 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
Siemens AG (Registered) | 1.5 | Capital Goods | ||||||
Commonwealth Bank of Australia | 1.4 | Banks | ||||||
Schneider Electric SE | 1.4 | Capital Goods | ||||||
Vestas Wind Systems A/S | 1.3 | Capital Goods | ||||||
Rio Tinto plc ADR | 1.3 | Materials | ||||||
BHP Group plc | 1.2 | Materials | ||||||
M3, Inc. | 1.2 | Health Care Equipment & 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, 2020 |
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, 2020
The following graph shows the value as of December 31, 2020, of a $1,000,000 investment made on January 1, 2011 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, 2011 through December 31, 2020.
Average Annual Total Return through December 31, 2020* | One Year | Five Years | Ten Years | Since Inception | ||||||||||
Class A | ||||||||||||||
Excluding sales charges | 9.75% | 7.08% | 5.51% | — | ||||||||||
Including sales charges | 3.71% | 5.89% | 4.92% | — | ||||||||||
| ||||||||||||||
Class C | ||||||||||||||
Excluding contingent deferred sales charges | 8.89% | 6.27% | 4.72% | — | ||||||||||
Including contingent deferred sales charges | 7.89% | 6.27% | 4.72% | — | ||||||||||
| ||||||||||||||
Institutional | 10.11% | 7.47% | 5.92% | — | ||||||||||
| ||||||||||||||
Investor | 10.09% | 7.34% | 5.77% | — | ||||||||||
| ||||||||||||||
Class R6 (Commenced April 30, 2018) | 10.20% | N/A | N/A | 3.21% | ||||||||||
| ||||||||||||||
Class P (Commenced April 17, 2018) | 10.09% | N/A | N/A | 2.65% | ||||||||||
|
* | 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 R6 and Class P Shares do not involve a sales charge, such a charge is not applied to their Average Annual Total Return. |
21
FUND BASICS
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.
Russell 1000® Index measures the performance of the large-cap segment of the U.S. equity universe. The Russell 1000® Index is a subset of the Russell 3000® Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000® Index represents approximately 92% of the U.S. market. The Russell 1000® Index is constructed to provide a comprehensive and unbiased barometer for the large-cap segment and is completely reconstituted annually to ensure new and growing equities are reflected.
Russell Midcap® Index measures the performance of the mid-cap segment of the U.S. equity universe. The Russell Midcap® Index is a subset of the Russell 1000® Index. The Russell Midcap® Index includes approximately 800 of the smallest securities based on a combination of their market cap and current index membership. The Russell Midcap® Index represents approximately 31% of the total market capitalization of the Russell 1000® Index companies. The Russell Midcap® Index is constructed to provide a comprehensive and unbiased barometer for the mid-cap segment. The Russell Midcap® Index is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true mid-cap opportunity set.
Russell 2000® Index measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000® Index is a subset of the Russell 3000® Index representing approximately 10% of the total market capitalization of that index. The Russell 2000® Index includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership. The Russell 2000® Index is constructed to provide a comprehensive and unbiased small-cap barometer and is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the true small-cap opportunity set.
It is not possible to invest directly in an unmanaged index.
22
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
December 31, 2020
Shares | Description | Value | ||||||
Common Stocks – 99.8% | ||||||||
Automobiles & Components – 1.8% | ||||||||
145,419 | Gentex Corp. | $ | 4,934,067 | |||||
64,040 | Tesla, Inc.* | 45,191,107 | ||||||
2,072 | Thor Industries, Inc. | 192,675 | ||||||
|
| |||||||
50,317,849 | ||||||||
|
| |||||||
Banks – 4.6% | ||||||||
34,900 | Credicorp Ltd. | 5,724,298 | ||||||
11,200 | Cullen/Frost Bankers, Inc. | 976,976 | ||||||
3,600 | First Horizon Corp. | 45,936 | ||||||
1,012,100 | Huntington Bancshares, Inc. | 12,782,823 | ||||||
389,629 | JPMorgan Chase & Co.(a)(b) | 49,510,157 | ||||||
469,299 | New York Community Bancorp, Inc.(b) | 4,951,105 | ||||||
307,900 | PacWest Bancorp | 7,820,660 | ||||||
1,053,099 | People’s United Financial, Inc.(b) | 13,616,570 | ||||||
89,800 | PNC Financial Services Group, Inc. (The) | 13,380,200 | ||||||
22,400 | TFS Financial Corp. | 394,912 | ||||||
198,000 | Truist Financial Corp. | 9,490,140 | ||||||
319,600 | Umpqua Holdings Corp. | 4,838,744 | ||||||
400 | Webster Financial Corp. | 16,860 | ||||||
|
| |||||||
123,549,381 | ||||||||
|
| |||||||
Capital Goods – 7.0% | ||||||||
119,268 | 3M Co. | 20,846,854 | ||||||
45,200 | Boeing Co. (The) | 9,675,512 | ||||||
98,187 | Caterpillar, Inc. | 17,871,998 | ||||||
8,565 | Crane Co. | 665,158 | ||||||
39,362 | Cummins, Inc. | 8,939,110 | ||||||
1,841 | Donaldson Co., Inc. | 102,875 | ||||||
119,962 | Eaton Corp. plc | 14,412,235 | ||||||
150,461 | Emerson Electric Co. | 12,092,551 | ||||||
147,198 | Fastenal Co. | 7,187,678 | ||||||
97,824 | Honeywell International, Inc. | 20,807,165 | ||||||
14,822 | Hubbell, Inc. | 2,323,941 | ||||||
69,050 | Illinois Tool Works, Inc. | 14,077,914 | ||||||
226,938 | Johnson Controls International plc | 10,573,041 | ||||||
600 | Lincoln Electric Holdings, Inc. | 69,750 | ||||||
40,534 | Lockheed Martin Corp. | 14,388,759 | ||||||
57,900 | MSC Industrial Direct Co., Inc. Class A | 4,886,181 | ||||||
2,143 | nVent Electric plc | 49,911 | ||||||
18,234 | Owens Corning | 1,381,408 | ||||||
199,430 | Raytheon Technologies Corp. | 14,261,239 | ||||||
11,852 | Timken Co. (The) | 916,871 | ||||||
12,000 | TransDigm Group, Inc.* | 7,426,200 | ||||||
16,956 | Trinity Industries, Inc. | 447,469 | ||||||
28,499 | Watsco, Inc. | 6,456,448 | ||||||
|
| |||||||
189,860,268 | ||||||||
|
| |||||||
Commercial & Professional Services – 0.1% | ||||||||
25,900 | CoreLogic, Inc. | 2,002,588 | ||||||
16 | CoStar Group, Inc.* | 14,789 | ||||||
9,900 | ManpowerGroup, Inc. | 892,782 | ||||||
500 | MSA Safety, Inc. | 74,695 | ||||||
|
| |||||||
2,984,854 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Consumer Durables & Apparel – 1.1% | ||||||||
2,433 | Capri Holdings Ltd.* | 102,186 | ||||||
64,103 | Garmin Ltd. | 7,670,328 | ||||||
427 | Lennar Corp. Class B | 26,133 | ||||||
2,437 | Lululemon Athletica, Inc.* | 848,149 | ||||||
123,100 | NIKE, Inc. Class B | 17,414,957 | ||||||
1,500 | Skechers USA, Inc. Class A* | 53,910 | ||||||
23,076 | Tempur Sealy International, Inc.* | 623,052 | ||||||
57,820 | Toll Brothers, Inc. | 2,513,435 | ||||||
|
| |||||||
29,252,150 | ||||||||
|
| |||||||
Consumer Services – 1.1% | ||||||||
11,871 | Aramark | 456,796 | ||||||
4,600 | Bright Horizons Family Solutions, Inc.* | 795,754 | ||||||
8,027 | Choice Hotels International, Inc. | 856,722 | ||||||
11,719 | Hyatt Hotels Corp. Class A | 870,136 | ||||||
39,637 | McDonald’s Corp. | 8,505,307 | ||||||
15,465 | Planet Fitness, Inc. Class A* | 1,200,548 | ||||||
80,600 | Six Flags Entertainment Corp. | 2,748,460 | ||||||
76,800 | Starbucks Corp. | 8,216,064 | ||||||
18,477 | Wendy’s Co. (The) | 405,016 | ||||||
124,200 | Wyndham Destinations, Inc. | 5,571,612 | ||||||
14,043 | Wyndham Hotels & Resorts, Inc. | 834,716 | ||||||
|
| |||||||
30,461,131 | ||||||||
|
| |||||||
Diversified Financials – 2.8% | ||||||||
9,698 | Ally Financial, Inc. | 345,831 | ||||||
58,460 | American Express Co. | 7,068,398 | ||||||
45,600 | Apollo Global Management, Inc. | 2,233,488 | ||||||
93,500 | Ares Management Corp. | 4,399,175 | ||||||
81,626 | Berkshire Hathaway, Inc. Class B* | 18,926,620 | ||||||
15,100 | BlackRock, Inc. | 10,895,254 | ||||||
26,900 | Carlyle Group, Inc. (The) | 845,736 | ||||||
42,800 | CME Group, Inc. | 7,791,740 | ||||||
8,900 | Eaton Vance Corp. | 604,577 | ||||||
6,200 | Equitable Holdings, Inc. | 158,658 | ||||||
463,904 | Invesco Ltd. | 8,085,847 | ||||||
3,373 | KKR & Co., Inc. | 136,573 | ||||||
78,300 | T. Rowe Price Group, Inc. | 11,853,837 | ||||||
122,400 | Virtu Financial, Inc. Class A | 3,080,808 | ||||||
|
| |||||||
76,426,542 | ||||||||
|
| |||||||
Energy – 1.4% | ||||||||
237,098 | Chevron Corp. | 20,022,926 | ||||||
412,319 | Exxon Mobil Corp.(b) | 16,995,789 | ||||||
|
| |||||||
37,018,715 | ||||||||
|
| |||||||
Food & Staples Retailing – 0.8% | ||||||||
26,354 | Costco Wholesale Corp. | 9,929,660 | ||||||
85,841 | Walmart, Inc. | 12,373,980 | ||||||
|
| |||||||
22,303,640 | ||||||||
|
| |||||||
Food, Beverage & Tobacco – 3.9% | ||||||||
310,759 | Altria Group, Inc. | 12,741,119 | ||||||
59,900 | Bunge Ltd. | 3,928,242 | ||||||
531,000 | Coca-Cola Co. (The)(a) | 29,120,040 | ||||||
|
|
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, 2020
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Food, Beverage & Tobacco – (continued) | ||||||||
2,900 | Coca-Cola European Partners plc | $ | 144,507 | |||||
136,000 | Flowers Foods, Inc. | 3,077,680 | ||||||
182,734 | General Mills, Inc. | 10,744,759 | ||||||
11,700 | Ingredion, Inc. | 920,439 | ||||||
25,400 | Keurig Dr Pepper, Inc. | 812,800 | ||||||
336,300 | Kraft Heinz Co. (The) | 11,656,158 | ||||||
157,382 | PepsiCo, Inc. | 23,339,751 | ||||||
102,654 | Philip Morris International, Inc. | 8,498,725 | ||||||
|
| |||||||
104,984,220 | ||||||||
|
| |||||||
Health Care Equipment & Services – 5.6% | ||||||||
213,342 | Abbott Laboratories | 23,358,816 | ||||||
32,979 | Anthem, Inc. | 10,589,227 | ||||||
155,300 | Cardinal Health, Inc. | 8,317,868 | ||||||
26,368 | Change Healthcare, Inc.* | 491,763 | ||||||
244,378 | CVS Health Corp. | 16,691,017 | ||||||
3,201 | DexCom, Inc.* | 1,183,474 | ||||||
33,298 | Encompass Health Corp. | 2,753,412 | ||||||
7,143 | Envista Holdings Corp.* | 240,933 | ||||||
2,000 | Guardant Health, Inc.* | 257,760 | ||||||
9,000 | Insulet Corp.* | 2,300,670 | ||||||
256,053 | Medtronic plc | 29,994,048 | ||||||
3,000 | Novocure Ltd.* | 519,120 | ||||||
3,241 | Penumbra, Inc.* | 567,175 | ||||||
65,840 | Stryker Corp. | 16,133,434 | ||||||
111,777 | UnitedHealth Group, Inc.(a) | 39,197,958 | ||||||
|
| |||||||
152,596,675 | ||||||||
|
| |||||||
Household & Personal Products – 1.7% | ||||||||
61,598 | Kimberly-Clark Corp. | 8,305,258 | ||||||
7,000 | Nu Skin Enterprises, Inc. Class A | 382,410 | ||||||
261,398 | Procter & Gamble Co. (The)(a) | 36,370,918 | ||||||
|
| |||||||
45,058,586 | ||||||||
|
| |||||||
Insurance – 2.5% | ||||||||
1,500 | Axis Capital Holdings Ltd. | 75,585 | ||||||
21,400 | CNA Financial Corp. | 833,744 | ||||||
2,200 | Erie Indemnity Co. Class A | 540,320 | ||||||
143,400 | Fidelity National Financial, Inc. | 5,605,506 | ||||||
45,800 | First American Financial Corp. | 2,364,654 | ||||||
228,199 | Mercury General Corp. | 11,914,270 | ||||||
196,301 | MetLife, Inc. | 9,216,332 | ||||||
496,006 | Old Republic International Corp. | 9,776,278 | ||||||
142,799 | Principal Financial Group, Inc. | 7,084,258 | ||||||
280,000 | Prudential Financial, Inc. | 21,859,600 | ||||||
|
| |||||||
69,270,547 | ||||||||
|
| |||||||
Materials – 2.9% | ||||||||
49,426 | Air Products and Chemicals, Inc. | 13,504,172 | ||||||
382,500 | Amcor plc | 4,502,025 | ||||||
21,803 | Ashland Global Holdings, Inc. | 1,726,726 | ||||||
50,400 | International Flavors & Fragrances, Inc.(c) | 5,485,536 | ||||||
293,999 | International Paper Co. | 14,617,630 | ||||||
79,319 | Linde plc | 20,901,350 | ||||||
72,680 | Newmont Corp. | 4,352,805 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Materials – (continued) | ||||||||
3,399 | Reliance Steel & Aluminum Co. | 407,030 | ||||||
15,623 | RPM International, Inc. | 1,418,256 | ||||||
23,300 | Sonoco Products Co. | 1,380,525 | ||||||
152,800 | Southern Copper Corp. | 9,950,336 | ||||||
18,603 | Steel Dynamics, Inc. | 685,893 | ||||||
2,300 | W R Grace & Co. | 126,086 | ||||||
|
| |||||||
79,058,370 | ||||||||
|
| |||||||
Media & Entertainment – 8.8% | ||||||||
72,752 | Activision Blizzard, Inc. | 6,755,023 | ||||||
31,006 | Alphabet, Inc. Class A* | 54,342,356 | ||||||
13,128 | Alphabet, Inc. Class C*(a) | 22,998,681 | ||||||
478,719 | Comcast Corp. Class A | 25,084,876 | ||||||
210,094 | Facebook, Inc. Class A* | 57,389,277 | ||||||
395,502 | Interpublic Group of Cos., Inc. (The) | 9,302,335 | ||||||
40,723 | Netflix, Inc.* | 22,020,148 | ||||||
11,493 | Nexstar Media Group, Inc. Class A | 1,254,921 | ||||||
171,400 | Omnicom Group, Inc. | 10,690,218 | ||||||
14,700 | Pinterest, Inc. Class A* | 968,730 | ||||||
928 | Roku, Inc.* | 308,114 | ||||||
16,500 | Snap, Inc. Class A* | 826,155 | ||||||
55,800 | TripAdvisor, Inc.* | 1,605,924 | ||||||
700 | ViacomCBS, Inc. Class A | 26,474 | ||||||
115,150 | Walt Disney Co. (The)* | 20,862,877 | ||||||
9,275 | Zillow Group, Inc. Class A* | 1,260,843 | ||||||
21,502 | Zillow Group, Inc. Class C* | 2,790,959 | ||||||
|
| |||||||
238,487,911 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences – 7.6% | ||||||||
2,200 | 10X Genomics, Inc. Class A* | 311,520 | ||||||
321,586 | AbbVie, Inc.(a)(b) | 34,457,940 | ||||||
9,500 | Adaptive Biotechnologies Corp.* | 561,735 | ||||||
5,345 | Alnylam Pharmaceuticals, Inc.* | 694,690 | ||||||
56,202 | Amgen, Inc. | 12,921,964 | ||||||
2,432 | Bio-Techne Corp. | 772,282 | ||||||
284,901 | Bristol-Myers Squibb Co.(a) | 17,672,409 | ||||||
1,553 | Bruker Corp. | 84,064 | ||||||
6,275 | Charles River Laboratories International, Inc.* | 1,567,871 | ||||||
83,578 | Eli Lilly and Co. | 14,111,310 | ||||||
2,608 | Exact Sciences Corp.* | 345,534 | ||||||
239,494 | Gilead Sciences, Inc. | 13,952,920 | ||||||
5,100 | Iovance Biotherapeutics, Inc.* | 236,640 | ||||||
274,734 | Johnson & Johnson | 43,237,637 | ||||||
292,353 | Merck & Co., Inc. | 23,914,475 | ||||||
7,485 | Moderna, Inc.* | 781,958 | ||||||
749,399 | Pfizer, Inc. | 27,585,377 | ||||||
5,600 | Repligen Corp.* | 1,073,128 | ||||||
1,420 | Sage Therapeutics, Inc.* | 122,844 | ||||||
1,800 | Sarepta Therapeutics, Inc.* | 306,882 | ||||||
2,687 | Seagen, Inc.* | 470,601 | ||||||
23,696 | Thermo Fisher Scientific, Inc. | 11,037,123 | ||||||
4,784 | Viatris, Inc.* | 89,652 | ||||||
|
| |||||||
206,310,556 | ||||||||
|
|
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) | ||||||||
Real Estate – 2.3% | ||||||||
4,928 | American Campus Communities, Inc. (REIT) | $ | 210,771 | |||||
69,891 | American Homes 4 Rent Class A (REIT) | 2,096,730 | ||||||
44,401 | American Tower Corp. (REIT) | 9,966,249 | ||||||
1,797 | Brandywine Realty Trust (REIT) | 21,402 | ||||||
3,320 | Brixmor Property Group, Inc. (REIT) | 54,946 | ||||||
14,887 | Camden Property Trust (REIT) | 1,487,509 | ||||||
2,076 | Corporate Office Properties Trust (REIT) | 54,142 | ||||||
3,658 | Cousins Properties, Inc. (REIT) | 122,543 | ||||||
45,100 | Crown Castle International Corp. (REIT) | 7,179,469 | ||||||
23,000 | CubeSmart (REIT) | 773,030 | ||||||
3,600 | CyrusOne, Inc. (REIT) | 263,340 | ||||||
78 | Douglas Emmett, Inc. (REIT) | 2,276 | ||||||
1,403 | EPR Properties (REIT) | 45,598 | ||||||
8,300 | Equinix, Inc. (REIT) | 5,927,694 | ||||||
55,100 | Equity LifeStyle Properties, Inc. (REIT) | 3,491,136 | ||||||
700 | First Industrial Realty Trust, Inc. (REIT) | 29,491 | ||||||
7,466 | Gaming and Leisure Properties, Inc. (REIT) | 316,558 | ||||||
7,526 | Healthcare Trust of America, Inc. Class A (REIT) | 207,266 | ||||||
864 | Howard Hughes Corp. (The)* | 68,196 | ||||||
6,897 | Hudson Pacific Properties, Inc. (REIT) | 165,666 | ||||||
99,500 | Invitation Homes, Inc. (REIT) | 2,955,150 | ||||||
5,456 | Lamar Advertising Co. Class A (REIT) | 454,048 | ||||||
1,000 | Life Storage, Inc. (REIT) | 119,390 | ||||||
37,320 | Medical Properties Trust, Inc. (REIT) | 813,203 | ||||||
5,561 | National Retail Properties, Inc. (REIT) | 227,556 | ||||||
10,405 | Omega Healthcare Investors, Inc. (REIT) | 377,910 | ||||||
64,735 | Outfront Media, Inc. (REIT) | 1,266,217 | ||||||
8,383 | Park Hotels & Resorts, Inc. (REIT) | 143,768 | ||||||
102,727 | Prologis, Inc. (REIT) | 10,237,773 | ||||||
23,100 | SBA Communications Corp. (REIT) | 6,517,203 | ||||||
1,781 | Spirit Realty Capital, Inc. (REIT) | 71,543 | ||||||
12,591 | STORE Capital Corp. (REIT) | 427,842 | ||||||
29,993 | Sun Communities, Inc. (REIT) | 4,557,436 | ||||||
27,532 | VEREIT, Inc. (REIT) | 1,040,434 | ||||||
1,280 | WP Carey, Inc. (REIT) | 90,342 | ||||||
|
| |||||||
61,783,827 | ||||||||
|
| |||||||
Retailing – 7.5% | ||||||||
37,586 | Amazon.com, Inc.*(a)(b) | 122,414,971 | ||||||
43,800 | Best Buy Co., Inc. | 4,370,802 | ||||||
4,507 | Burlington Stores, Inc.* | 1,178,806 | ||||||
6,875 | Carvana Co.* | 1,646,838 | ||||||
5,281 | Five Below, Inc.* | 924,069 | ||||||
4,000 | Floor & Decor Holdings, Inc. Class A* | 371,400 | ||||||
14,900 | Foot Locker, Inc. | 602,556 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Retailing – (continued) | ||||||||
6,781 | Grubhub, Inc.* | 503,625 | ||||||
142,476 | Home Depot, Inc. (The) | 37,844,475 | ||||||
106,499 | Lowe’s Cos., Inc. | 17,094,154 | ||||||
1,218 | MercadoLibre, Inc.* | 2,040,418 | ||||||
42,600 | Qurate Retail, Inc. Series A | 467,322 | ||||||
67,115 | Target Corp. | 11,847,811 | ||||||
6,162 | Wayfair, Inc. Class A* | 1,391,441 | ||||||
18,200 | Williams-Sonoma, Inc. | 1,853,488 | ||||||
|
| |||||||
204,552,176 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 5.7% | ||||||||
115,317 | Advanced Micro Devices, Inc.* | 10,575,722 | ||||||
51,900 | Analog Devices, Inc. | 7,667,187 | ||||||
63,990 | Broadcom, Inc. | 28,018,022 | ||||||
1,100 | Cree, Inc.* | 116,490 | ||||||
5,800 | Enphase Energy, Inc.* | 1,017,726 | ||||||
2,000 | First Solar, Inc.* | 197,840 | ||||||
3,200 | Inphi Corp.* | 513,504 | ||||||
404,209 | Intel Corp. | 20,137,692 | ||||||
24,653 | Lam Research Corp. | 11,642,872 | ||||||
40,700 | Marvell Technology Group Ltd. | 1,934,878 | ||||||
57,200 | NVIDIA Corp. | 29,869,840 | ||||||
2,000 | NXP Semiconductors NV | 318,020 | ||||||
115,297 | QUALCOMM, Inc. | 17,564,345 | ||||||
1,400 | SolarEdge Technologies, Inc.* | 446,768 | ||||||
149,450 | Texas Instruments, Inc.(a) | 24,529,229 | ||||||
|
| |||||||
154,550,135 | ||||||||
|
| |||||||
Software & Services – 13.4% | ||||||||
59,600 | Accenture plc Class A | 15,568,116 | ||||||
37,091 | Adobe, Inc.* | 18,549,951 | ||||||
19,600 | Amdocs Ltd. | 1,390,228 | ||||||
4,300 | Anaplan, Inc.* | 308,955 | ||||||
5,900 | Atlassian Corp. plc Class A* | 1,379,833 | ||||||
55,308 | Automatic Data Processing, Inc. | 9,745,270 | ||||||
3,100 | Avalara, Inc.* | 511,159 | ||||||
400 | Bill.com Holdings, Inc.* | 54,600 | ||||||
12,836 | Booz Allen Hamilton Holding Corp. | 1,119,042 | ||||||
2,400 | Ceridian HCM Holding, Inc.* | 255,744 | ||||||
5,200 | Cloudflare, Inc. Class A* | 395,148 | ||||||
8,400 | Coupa Software, Inc.* | 2,846,844 | ||||||
7,400 | Crowdstrike Holdings, Inc. Class A* | 1,567,468 | ||||||
7,100 | Datadog, Inc. Class A* | 698,924 | ||||||
3,768 | DocuSign, Inc.* | 837,626 | ||||||
2,100 | Dynatrace, Inc.* | 90,867 | ||||||
2,400 | Everbridge, Inc.* | 357,768 | ||||||
2,372 | Fidelity National Information Services, Inc. | 335,543 | ||||||
300 | Five9, Inc.* | 52,320 | ||||||
9,700 | HubSpot, Inc.* | 3,845,468 | ||||||
162,401 | International Business Machines Corp. | 20,443,038 | ||||||
58,000 | Mastercard, Inc. Class A | 20,702,520 | ||||||
693,033 | Microsoft Corp.(a)(b) | 154,144,400 | ||||||
3,622 | MongoDB, Inc.* | 1,300,443 | ||||||
4,900 | Nutanix, Inc. Class A* | 156,163 | ||||||
3,727 | Okta, Inc.* | 947,627 | ||||||
|
|
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, 2020
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Software & Services – (continued) | ||||||||
1,100 | PagerDuty, Inc.* | $ | 45,870 | |||||
155,900 | Paychex, Inc. | 14,526,762 | ||||||
2,400 | Paylocity Holding Corp.* | 494,184 | ||||||
94,300 | PayPal Holdings, Inc.* | 22,085,060 | ||||||
600 | PTC, Inc.* | 71,766 | ||||||
1,900 | RingCentral, Inc. Class A* | 720,043 | ||||||
85,049 | salesforce.com, Inc.* | 18,925,954 | ||||||
22,462 | ServiceNow, Inc.* | 12,363,759 | ||||||
14,000 | Slack Technologies, Inc. Class A* | 591,360 | ||||||
6,200 | Smartsheet, Inc. Class A* | 429,598 | ||||||
8,910 | Square, Inc. Class A* | 1,939,172 | ||||||
3,400 | Trade Desk, Inc. (The) Class A* | 2,723,400 | ||||||
5,100 | Twilio, Inc. Class A* | 1,726,350 | ||||||
76,055 | Visa, Inc. Class A | 16,635,510 | ||||||
398,699 | Western Union Co. (The) | 8,747,456 | ||||||
12,600 | Zendesk, Inc.* | 1,803,312 | ||||||
500 | Zoom Video Communications, Inc. Class A* | 168,660 | ||||||
8,600 | Zscaler, Inc.* | 1,717,506 | ||||||
|
| |||||||
363,320,787 | ||||||||
|
| |||||||
Technology Hardware & Equipment – 9.7% | ||||||||
1,461,656 | Apple, Inc.(a) | 193,947,134 | ||||||
693,448 | Cisco Systems, Inc.(a) | 31,031,798 | ||||||
181,181 | Corning, Inc. | 6,522,516 | ||||||
3,414 | Dolby Laboratories, Inc. Class A | 331,602 | ||||||
17,559 | Flex Ltd.* | 315,711 | ||||||
363,000 | HP, Inc. | 8,926,170 | ||||||
800 | Littelfuse, Inc. | 203,728 | ||||||
68,230 | National Instruments Corp. | 2,998,026 | ||||||
156,900 | NetApp, Inc. | 10,393,056 | ||||||
60,500 | TE Connectivity Ltd. | 7,324,735 | ||||||
|
| |||||||
261,994,476 | ||||||||
|
| |||||||
Telecommunication Services – 2.7% | ||||||||
1,359,328 | AT&T, Inc.(a) | 39,094,273 | ||||||
563,802 | Verizon Communications, Inc.(b) | 33,123,368 | ||||||
|
| |||||||
72,217,641 | ||||||||
|
| |||||||
Transportation – 1.7% | ||||||||
5,900 | FedEx Corp. | 1,531,758 | ||||||
18,284 | JetBlue Airways Corp.* | 265,849 | ||||||
17,224 | Lyft, Inc. Class A* | 846,215 | ||||||
25,246 | Norfolk Southern Corp. | 5,998,702 | ||||||
57,800 | Ryder System, Inc. | 3,569,728 | ||||||
9,382 | Uber Technologies, Inc.* | 478,482 | ||||||
100,762 | Union Pacific Corp. | 20,980,664 | ||||||
71,298 | United Parcel Service, Inc. Class B | 12,006,583 | ||||||
|
| |||||||
45,677,981 | ||||||||
|
| |||||||
Utilities – 3.1% | ||||||||
318,397 | Dominion Energy, Inc. | 23,943,454 | ||||||
204,100 | Duke Energy Corp. | 18,687,396 | ||||||
27,900 | MDU Resources Group, Inc. | 734,886 | ||||||
88,200 | OGE Energy Corp. | 2,810,052 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Utilities – (continued) | ||||||||
645,101 | PPL Corp. | 18,191,848 | ||||||
316,501 | Southern Co. (The) | 19,442,657 | ||||||
|
| |||||||
83,810,293 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $2,024,374,387) | $ | 2,705,848,711 | ||||||
|
|
Shares | Dividend Rate | Value | ||||
Investment Company(d) – 2.3% | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||
61,847,593 | 0.026% | $ | 61,847,593 | |||
(Cost $61,847,593) |
| |||||
| ||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE |
| |||||
(Cost $2,086,221,980) | $ | 2,767,696,304 | ||||
| ||||||
Securities Lending Reinvestment Vehicle(d) – 0.2% | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||
5,425,300 | 0.026% | $ | 5,425,300 | |||
(Cost $5,425,300) |
| |||||
| ||||||
TOTAL INVESTMENTS – 102.3% |
| |||||
(Cost $2,091,647,280) | $ | 2,773,121,604 | ||||
| ||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (2.3)% | (61,466,243 | ) | ||||
| ||||||
NET ASSETS – 100.0% | $ | 2,711,655,361 | ||||
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Security is currently in default and/or non-income producing. | |
(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. |
| ||
Investment Abbreviation: | ||
REIT | —Real Estate Investment Trust | |
Currency Abbreviation: | ||
USD | —United States Dollar | |
|
26 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At December 31, 2020, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
S&P 500 E-Mini Index | 93 | 03/19/2021 | $ | 17,431,920 | $ | 262,442 |
WRITTEN OPTIONS CONTRACTS — At December 31, 2020, the Fund had the following written options contracts:
EXCHANGE TRADED INDEX OPTIONS
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Value | Premiums Paid (Received) by the Fund | Unrealized Appreciation/ Depreciation | |||||||||||||||||||||
Written options contracts: |
| |||||||||||||||||||||||||||
Calls | ||||||||||||||||||||||||||||
S&P 500 Index | 3,330 USD | 01/29/2021 | 599 | $ | (224,988,593 | ) | $ | (26,041,525 | ) | $ | (9,193,452 | ) | $ | (16,848,073 | ) | |||||||||||||
3,660 USD | 02/26/2021 | 827 | (310,626,989 | ) | (14,174,780 | ) | (9,027,648 | ) | (5,147,132 | ) | ||||||||||||||||||
3,800 USD | 03/31/2021 | 872 | (327,529,304 | ) | (9,674,840 | ) | (9,576,736 | ) | (98,104 | ) | ||||||||||||||||||
Total written options contracts |
| 2,298 | $ | (49,891,145 | ) | $ | (27,797,836 | ) | $ | (22,093,309 | ) |
The accompanying notes are an integral part of these financial statements. | 27 |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Schedule of Investments
December 31, 2020
Shares | Description | Value | ||||||
Common Stocks – 98.1% | ||||||||
Australia – 8.6% | ||||||||
1,244 | Afterpay Ltd. (Software & Services)* | $ | 113,087 | |||||
51,152 | APA Group (Utilities) | 380,595 | ||||||
47,180 | BHP Group Ltd. (Materials) | 1,541,586 | ||||||
5,805 | BHP Group plc (Materials) | 153,277 | ||||||
3,493 | Coca-Cola Amatil Ltd. (Food, Beverage & Tobacco) | 34,805 | ||||||
23,965 | Coles Group Ltd. (Food & Staples Retailing) | 334,825 | ||||||
58,201 | Commonwealth Bank of Australia (Banks) | 3,699,373 | ||||||
1,390 | CSL Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 303,705 | ||||||
19,189 | Fortescue Metals Group Ltd. (Materials) | 346,599 | ||||||
88,721 | Medibank Pvt Ltd. (Insurance) | 205,490 | ||||||
154,727 | National Australia Bank Ltd. (Banks) | 2,697,486 | ||||||
20,689 | Rio Tinto Ltd. (Materials) | 1,819,422 | ||||||
11,619 | Rio Tinto plc (Materials) | 874,598 | ||||||
45,276 | Rio Tinto plc ADR (Materials)(a)(b) | 3,405,661 | ||||||
13,841 | Sonic Healthcare Ltd. (Health Care Equipment & Services) | 342,936 | ||||||
25,935 | Wesfarmers Ltd. (Retailing) | 1,008,019 | ||||||
|
| |||||||
17,261,464 | ||||||||
|
| |||||||
Austria – 0.1% | ||||||||
3,643 | Erste Group Bank AG (Banks) | 110,976 | ||||||
2,796 | voestalpine AG (Materials)(b) | 99,791 | ||||||
|
| |||||||
210,767 | ||||||||
|
| |||||||
Belgium – 1.8% | ||||||||
35,194 | Ageas SA/NV (Insurance)(b) | 1,869,051 | ||||||
4,452 | Anheuser-Busch InBev SA/NV (Food, Beverage & Tobacco) | 310,602 | ||||||
72,178 | Proximus SADP (Telecommunication Services)(b) | 1,425,755 | ||||||
|
| |||||||
3,605,408 | ||||||||
|
| |||||||
Brazil – 0.1% | ||||||||
6,050 | Yara International ASA (Materials) | 250,988 | ||||||
|
| |||||||
China – 0.3% | ||||||||
4,910 | Prosus NV (Retailing)* | 530,175 | ||||||
|
| |||||||
Denmark – 1.6% | ||||||||
6,157 | Coloplast A/S Class B (Health Care Equipment & Services) | 941,583 | ||||||
26,033 | Novo Nordisk A/S Class B (Pharmaceuticals, Biotechnology & Life Sciences) | 1,815,987 | ||||||
12,480 | Tryg A/S (Insurance) | 392,511 | ||||||
|
| |||||||
3,150,081 | ||||||||
|
| |||||||
Finland – 2.7% | ||||||||
7,106 | Kone OYJ Class B (Capital Goods) | 578,740 | ||||||
50,367 | Neles OYJ (Capital Goods) | 667,966 | ||||||
7,263 | Neste OYJ (Energy) | 527,321 | ||||||
298,364 | Nordea Bank Abp (Banks) | 2,445,210 | ||||||
26,278 | Sampo OYJ Class A (Insurance)(b) | 1,123,478 | ||||||
|
| |||||||
5,342,715 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
France – 10.4% | ||||||||
7,477 | Air Liquide SA (Materials) | 1,225,831 | ||||||
13,997 | Airbus SE (Capital Goods)* | 1,536,090 | ||||||
2,983 | BNP Paribas SA (Banks)* | 157,479 | ||||||
12,106 | Bouygues SA (Capital Goods) | 497,895 | ||||||
4,850 | Capgemini SE (Software & Services)(b) | 754,429 | ||||||
478 | Covivio (REIT) | 43,862 | ||||||
21,499 | Danone SA (Food, Beverage & Tobacco) | 1,414,767 | ||||||
741 | Dassault Systemes SE (Software & Services) | 150,289 | ||||||
13,620 | Edenred (Software & Services) | 773,497 | ||||||
1,877 | Kering SA (Consumer Durables & Apparel)(b) | 1,362,203 | ||||||
2,385 | L’Oreal SA (Household & Personal Products)(b) | 910,002 | ||||||
4,752 | LVMH Moet Hennessy Louis Vuitton SE (Consumer Durables & Apparel)(b) | 2,974,759 | ||||||
2,445 | Pernod Ricard SA (Food, Beverage & Tobacco) | 469,554 | ||||||
12,312 | Peugeot SA (Automobiles & Components)* | 337,172 | ||||||
3,578 | Publicis Groupe SA (Media & Entertainment) | 177,832 | ||||||
3,760 | Safran SA (Capital Goods)* | 532,919 | ||||||
22,801 | Sanofi (Pharmaceuticals, Biotechnology & Life Sciences)(b) | 2,209,942 | ||||||
13,566 | Schneider Electric SE (Capital Goods)(b) | 1,960,659 | ||||||
42,051 | TOTAL SE (Energy)(b) | 1,815,015 | ||||||
1,535 | Unibail-Rodamco-Westfield (REIT) | 119,553 | ||||||
2,233 | Valeo SA (Automobiles & Components) | 88,079 | ||||||
34,174 | Vivendi SA (Media & Entertainment) | 1,102,264 | ||||||
2,168 | Worldline SA (Software & Services)*(c) | 210,617 | ||||||
|
| |||||||
20,824,709 | ||||||||
|
| |||||||
Germany – 10.4% | ||||||||
1,494 | adidas AG (Consumer Durables & Apparel)* | 543,525 | ||||||
1,868 | Allianz SE (Registered) (Insurance) | 458,917 | ||||||
4,220 | BASF SE (Materials)(b) | 333,560 | ||||||
24,038 | Bayer AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences)(b) | 1,416,107 | ||||||
13,633 | Bayerische Motoren Werke AG (Automobiles & Components)(b) | 1,203,202 | ||||||
18,035 | Bayerische Motoren Werke AG (Preference) (Automobiles & Components)(d) | 1,214,929 | ||||||
1,439 | Carl Zeiss Meditec AG (Health Care Equipment & Services) | 190,837 | ||||||
10,619 | Covestro AG (Materials)(c) | 654,273 | ||||||
2,137 | Delivery Hero SE (Retailing)*(c) | 334,203 | ||||||
2,230 | Deutsche Boerse AG (Diversified Financials) | 379,707 | ||||||
43,730 | Deutsche Post AG (Registered) (Transportation) | 2,166,199 | ||||||
51,998 | E.ON SE (Utilities) | 575,787 | ||||||
4,258 | Evonik Industries AG (Materials)(b) | 139,171 | ||||||
|
|
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) | ||||||||
Germany – (continued) | ||||||||
3,801 | Fresenius SE & Co. KGaA (Health Care Equipment & Services) | $ | 175,765 | |||||
808 | GEA Group AG (Capital Goods) | 28,900 | ||||||
3,030 | HelloFresh SE (Retailing)* | 234,377 | ||||||
17,208 | HOCHTIEF AG (Capital Goods)(b) | 1,674,538 | ||||||
8,731 | Infineon Technologies AG (Semiconductors & Semiconductor Equipment) | 333,425 | ||||||
2,547 | Just Eat Takeaway.com NV (Retailing)*(c) | 287,182 | ||||||
3,097 | LEG Immobilien AG (Real Estate) | 480,768 | ||||||
1,931 | Porsche Automobil Holding SE (Preference) (Automobiles & Components)(d) | 133,387 | ||||||
2,764 | Puma SE (Consumer Durables & Apparel)* | 311,024 | ||||||
18,811 | SAP SE (Software & Services)(b) | 2,436,378 | ||||||
689 | Sartorius AG (Preference) (Health Care Equipment & Services)(d) | 290,193 | ||||||
15,036 | Siemens AG (Registered) (Capital Goods) | 2,165,883 | ||||||
3,648 | Siemens Healthineers AG (Health Care Equipment & Services)(c) | 187,731 | ||||||
223,702 | Telefonica Deutschland Holding AG (Telecommunication Services) | 616,138 | ||||||
2,340 | Volkswagen AG (Preference) (Automobiles & Components)(d) | 437,308 | ||||||
20,371 | Vonovia SE (Real Estate)(b) | 1,487,777 | ||||||
|
| |||||||
20,891,191 | ||||||||
|
| |||||||
Hong Kong – 2.5% | ||||||||
116,400 | AIA Group Ltd. (Insurance) | 1,418,465 | ||||||
16,700 | ASM Pacific Technology Ltd. (Semiconductors & Semiconductor Equipment) | 220,551 | ||||||
28,000 | Hang Lung Properties Ltd. (Real Estate) | 73,787 | ||||||
94 | Hong Kong & China Gas Co. Ltd. (Utilities) | 141 | ||||||
16,896 | Hong Kong Exchanges & Clearing Ltd. (Diversified Financials) | 926,775 | ||||||
2,300 | Jardine Matheson Holdings Ltd. (Capital Goods) | 128,658 | ||||||
2,100 | Jardine Strategic Holdings Ltd. (Capital Goods) | 52,248 | ||||||
207,887 | Link REIT (REIT) | 1,887,983 | ||||||
23,910 | Sino Land Co. Ltd. (Real Estate) | 31,114 | ||||||
500 | Sun Hung Kai Properties Ltd. (Real Estate) | 6,395 | ||||||
400 | Swire Properties Ltd. (Real Estate) | 1,163 | ||||||
24,000 | Techtronic Industries Co. Ltd. (Capital Goods) | 343,042 | ||||||
|
| |||||||
5,090,322 | ||||||||
|
| |||||||
Ireland – 0.5% | ||||||||
24,567 | CRH plc (Materials)(b) | 1,044,751 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Israel – 0.4% | ||||||||
102,424 | Bank Leumi Le-Israel BM (Banks) | 604,584 | ||||||
13,685 | ICL Group Ltd. (Materials) | 69,858 | ||||||
715 | Wix.com Ltd. (Software & Services)* | 178,721 | ||||||
|
| |||||||
853,163 | ||||||||
|
| |||||||
Italy – 1.2% | ||||||||
9,895 | Enel SpA (Utilities) | 100,679 | ||||||
4,925 | Eni SpA (Energy)(b) | 51,416 | ||||||
1,974 | Ferrari NV (Automobiles & Components) | 457,853 | ||||||
121,717 | Mediobanca Banca di Credito Finanziario SpA (Banks)* | 1,126,713 | ||||||
2,098 | Moncler SpA (Consumer Durables & Apparel)* | 128,986 | ||||||
110,623 | Snam SpA (Utilities) | 624,754 | ||||||
|
| |||||||
2,490,401 | ||||||||
|
| |||||||
Japan – 25.2% | ||||||||
2,400 | ABC-Mart, Inc. (Retailing) | 133,446 | ||||||
2,400 | Advantest Corp. (Semiconductors & Semiconductor Equipment) | 179,764 | ||||||
11,300 | AGC, Inc. (Capital Goods) | 395,150 | ||||||
10,500 | Alfresa Holdings Corp. (Health Care Equipment & Services) | 192,457 | ||||||
27,000 | Asahi Kasei Corp. (Materials) | 276,754 | ||||||
7,100 | Astellas Pharma, Inc. (Pharmaceuticals, Biotechnology & Life Sciences) | 109,935 | ||||||
1,600 | Bandai Namco Holdings, Inc. (Consumer Durables & Apparel) | 138,561 | ||||||
42,500 | Bridgestone Corp. (Automobiles & Components) | 1,393,824 | ||||||
7,900 | Casio Computer Co. Ltd. (Consumer Durables & Apparel) | 144,574 | ||||||
12,800 | Chugai Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 682,946 | ||||||
31,100 | Chugoku Electric Power Co., Inc. (The) (Utilities) | 364,975 | ||||||
1,500 | Dai-ichi Life Holdings, Inc. (Insurance) | 22,598 | ||||||
27,400 | Daiichi Sankyo Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 939,003 | ||||||
2,000 | Daikin Industries Ltd. (Capital Goods) | 444,934 | ||||||
8,200 | Daito Trust Construction Co. Ltd. (Real Estate) | 766,328 | ||||||
7,900 | Daiwa House Industry Co. Ltd. (Real Estate) | 234,888 | ||||||
132,700 | Daiwa Securities Group, Inc. (Diversified Financials) | 604,427 | ||||||
2,900 | Denso Corp. (Automobiles & Components) | 172,610 | ||||||
1,500 | Disco Corp. (Semiconductors & Semiconductor Equipment) | 505,549 | ||||||
8,700 | Eisai Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 622,165 | ||||||
3,400 | FANUC Corp. (Capital Goods) | 839,287 | ||||||
|
|
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, 2020
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
200 | Fast Retailing Co. Ltd. (Retailing) | $ | 179,336 | |||||
2,600 | Fuji Electric Co. Ltd. (Capital Goods) | 93,850 | ||||||
1,300 | Hikari Tsushin, Inc. (Retailing) | 305,024 | ||||||
30,400 | Hino Motors Ltd. (Capital Goods) | 259,518 | ||||||
1,916 | Hirose Electric Co. Ltd. (Technology Hardware & Equipment) | 290,794 | ||||||
1,400 | Hitachi Ltd. (Technology Hardware & Equipment) | 55,257 | ||||||
900 | Hitachi Metals Ltd. (Materials) | 13,684 | ||||||
1,200 | Honda Motor Co. Ltd. (Automobiles & Components) | 33,860 | ||||||
3,500 | Hoya Corp. (Health Care Equipment & Services) | 484,732 | ||||||
3,700 | Hulic Co. Ltd. (Real Estate) | 40,701 | ||||||
2,300 | Idemitsu Kosan Co. Ltd. (Energy) | 50,639 | ||||||
3,100 | Isuzu Motors Ltd. (Automobiles & Components) | 29,511 | ||||||
55,800 | ITOCHU Corp. (Capital Goods) | 1,604,815 | ||||||
14,200 | Japan Exchange Group, Inc. (Diversified Financials) | 362,836 | ||||||
16,700 | Japan Post Insurance Co. Ltd. (Insurance) | 342,419 | ||||||
24,500 | Japan Tobacco, Inc. (Food, Beverage & Tobacco) | 499,486 | ||||||
6,400 | JSR Corp. (Materials) | 178,448 | ||||||
12,400 | Kajima Corp. (Capital Goods) | 166,346 | ||||||
9,300 | Kakaku.com, Inc. (Media & Entertainment) | 254,572 | ||||||
33,100 | Kansai Electric Power Co., Inc. (The) (Utilities) | 313,062 | ||||||
4,700 | Kao Corp. (Household & Personal Products) | 363,104 | ||||||
300 | Keyence Corp. (Technology Hardware & Equipment) | 168,755 | ||||||
6,400 | Kikkoman Corp. (Food, Beverage & Tobacco) | 445,421 | ||||||
5,200 | Kintetsu Group Holdings Co. Ltd. (Transportation) | 227,892 | ||||||
38,100 | Kirin Holdings Co. Ltd. (Food, Beverage & Tobacco) | 899,655 | ||||||
21,600 | Komatsu Ltd. (Capital Goods) | 596,123 | ||||||
2,600 | Kose Corp. (Household & Personal Products) | 444,288 | ||||||
4,400 | Kyushu Railway Co. (Transportation) | 94,921 | ||||||
5,400 | Lawson, Inc. (Food & Staples Retailing) | 251,295 | ||||||
27,300 | Lixil Corp. (Capital Goods) | 592,046 | ||||||
6,100 | M3, Inc. (Health Care Equipment & Services) | 576,251 | ||||||
2,100 | Makita Corp. (Capital Goods) | 105,330 | ||||||
2,900 | Marui Group Co. Ltd. (Retailing) | 51,069 | ||||||
9,400 | Mercari, Inc. (Retailing)* | 416,691 | ||||||
33,700 | Mitsubishi Corp. (Capital Goods) | 830,767 | ||||||
23,400 | Mitsubishi Electric Corp. (Capital Goods) | 353,659 | ||||||
153,900 | Mitsubishi UFJ Financial Group, Inc. (Banks) | 681,411 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
13,800 | Mitsubishi UFJ Lease & Finance Co. Ltd. (Diversified Financials) | 66,266 | ||||||
4,800 | Mitsui & Co. Ltd. (Capital Goods) | 88,005 | ||||||
27,730 | Mizuho Financial Group, Inc. (Banks) | 351,954 | ||||||
20,200 | MS&AD Insurance Group Holdings, Inc. (Insurance) | 614,586 | ||||||
12,600 | Murata Manufacturing Co. Ltd. (Technology Hardware & Equipment) | 1,140,672 | ||||||
8,200 | Nabtesco Corp. (Capital Goods) | 359,920 | ||||||
900 | NEC Corp. (Software & Services) | 48,339 | ||||||
10,200 | NGK Spark Plug Co. Ltd. (Automobiles & Components) | 174,185 | ||||||
400 | Nidec Corp. (Capital Goods) | 50,603 | ||||||
1,700 | Nintendo Co. Ltd. (Media & Entertainment) | 1,091,300 | ||||||
6,600 | Nippon Express Co. Ltd. (Transportation) | 443,960 | ||||||
200 | Nippon Paint Holdings Co. Ltd. (Materials) | 21,976 | ||||||
68 | Nippon Prologis REIT, Inc. (REIT)* | 209,325 | ||||||
11,600 | Nisshin Seifun Group, Inc. (Food, Beverage & Tobacco) | 184,785 | ||||||
7,100 | Nitto Denko Corp. (Materials) | 636,018 | ||||||
3,700 | Nomura Real Estate Holdings, Inc. (Real Estate) | 82,042 | ||||||
17,700 | Nomura Research Institute Ltd. (Software & Services) | 633,192 | ||||||
50,900 | NSK Ltd. (Capital Goods) | 442,963 | ||||||
2,200 | Obic Co. Ltd. (Software & Services) | 442,151 | ||||||
300 | Odakyu Electric Railway Co. Ltd. (Transportation) | 9,422 | ||||||
7,400 | Olympus Corp. (Health Care Equipment & Services) | 162,015 | ||||||
2,300 | Omron Corp. (Technology Hardware & Equipment) | 205,324 | ||||||
3,000 | Ono Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 90,404 | ||||||
5,400 | Otsuka Corp. (Software & Services) | 284,834 | ||||||
2,400 | Otsuka Holdings Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 102,831 | ||||||
55,400 | Panasonic Corp. (Consumer Durables & Apparel) | 645,811 | ||||||
22,900 | Pola Orbis Holdings, Inc. (Household & Personal Products) | 465,020 | ||||||
22,300 | Recruit Holdings Co. Ltd. (Commercial & Professional Services) | 936,666 | ||||||
49,100 | Resona Holdings, Inc. (Banks) | 171,888 | ||||||
1,000 | Ryohin Keikaku Co. Ltd. (Retailing) | 20,465 | ||||||
17,100 | Seiko Epson Corp. (Technology Hardware & Equipment) | 254,108 | ||||||
6,900 | Shimadzu Corp. (Technology Hardware & Equipment) | 268,203 | ||||||
4,400 | Shin-Etsu Chemical Co. Ltd. (Materials) | 772,270 | ||||||
|
|
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) | ||||||||
Japan – (continued) | ||||||||
4,000 | Shiseido Co. Ltd. (Household & Personal Products) | $ | 276,897 | |||||
125,000 | SoftBank Corp. (Telecommunication Services) | 1,568,999 | ||||||
17,100 | SoftBank Group Corp. (Telecommunication Services) | 1,327,560 | ||||||
3,800 | Sompo Holdings, Inc. (Insurance) | 154,063 | ||||||
7,500 | Sony Corp. (Consumer Durables & Apparel) | 755,761 | ||||||
34,300 | Subaru Corp. (Automobiles & Components) | 686,306 | ||||||
22,900 | Sumitomo Chemical Co. Ltd. (Materials) | 92,305 | ||||||
35,700 | Sumitomo Corp. (Capital Goods) | 473,130 | ||||||
4,200 | Sumitomo Metal Mining Co. Ltd. (Materials) | 186,820 | ||||||
46,600 | Sumitomo Mitsui Financial Group, Inc. (Banks) | 1,444,514 | ||||||
300 | Sumitomo Mitsui Trust Holdings, Inc. (Banks) | 9,256 | ||||||
2,700 | Sysmex Corp. (Health Care Equipment & Services) | 324,882 | ||||||
38,200 | Takeda Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 1,382,434 | ||||||
1,000 | TDK Corp. (Technology Hardware & Equipment) | 150,884 | ||||||
42,600 | Tohoku Electric Power Co., Inc. (Utilities) | 351,585 | ||||||
10,900 | Tokio Marine Holdings, Inc. (Insurance) | 561,585 | ||||||
4,800 | Tokyo Electron Ltd. (Semiconductors & Semiconductor Equipment) | 1,793,102 | ||||||
300 | Tokyo Gas Co. Ltd. (Utilities) | 6,944 | ||||||
41,800 | Tokyu Fudosan Holdings Corp. (Real Estate) | 223,279 | ||||||
4,600 | TOTO Ltd. (Capital Goods) | 276,867 | ||||||
3,800 | Toyoda Gosei Co. Ltd. (Automobiles & Components) | 110,254 | ||||||
43,820 | Toyota Motor Corp. (Automobiles & Components) | 3,381,595 | ||||||
2,800 | Trend Micro, Inc. (Software & Services) | 161,205 | ||||||
57,500 | USS Co. Ltd. (Retailing) | 1,162,703 | ||||||
3,000 | Yamaha Corp. (Consumer Durables & Apparel) | 176,773 | ||||||
200 | Yamato Holdings Co. Ltd. (Transportation) | 5,107 | ||||||
1,900 | Yaskawa Electric Corp. (Capital Goods) | 94,725 | ||||||
3,900 | ZOZO, Inc. (Retailing) | 96,074 | ||||||
|
| |||||||
50,528,855 | ||||||||
|
| |||||||
Luxembourg – 0.0% | ||||||||
4,775 | SES SA FDR (Media & Entertainment) | 44,814 | ||||||
|
| |||||||
Macau – 0.5% | ||||||||
44,000 | Galaxy Entertainment Group Ltd. (Consumer Services) | 342,520 | ||||||
90,800 | Sands China Ltd. (Consumer Services) | 396,560 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Macau – (continued) | ||||||||
108,800 | Wynn Macau Ltd. (Consumer Services)* | 183,051 | ||||||
|
| |||||||
922,131 | ||||||||
|
| |||||||
Netherlands – 3.4% | ||||||||
555 | Argenx SE (Pharmaceuticals, Biotechnology & Life Sciences)* | 163,548 | ||||||
6,457 | ASML Holding NV (Semiconductors & Semiconductor Equipment)(b) | 3,125,955 | ||||||
9,346 | Heineken NV (Food, Beverage & Tobacco) | 1,041,508 | ||||||
1,708 | Koninklijke Ahold Delhaize NV (Food & Staples Retailing) | 48,185 | ||||||
1,888 | Koninklijke DSM NV (Materials) | 324,682 | ||||||
46,738 | Koninklijke KPN NV (Telecommunication Services) | 142,050 | ||||||
26,813 | Royal Dutch Shell plc Class A (Energy)(b) | 470,502 | ||||||
86,152 | Royal Dutch Shell plc Class B (Energy) | 1,460,165 | ||||||
|
| |||||||
6,776,595 | ||||||||
|
| |||||||
New Zealand – 0.6% | ||||||||
13,615 | Fisher & Paykel Healthcare Corp. Ltd. (Health Care Equipment & Services) | 323,339 | ||||||
256,994 | Spark New Zealand Ltd. (Telecommunication Services) | 870,494 | ||||||
|
| |||||||
1,193,833 | ||||||||
|
| |||||||
Norway – 0.3% | ||||||||
14,865 | DNB ASA (Banks) | 291,289 | ||||||
58 | Gjensidige Forsikring ASA (Insurance) | 1,295 | ||||||
9,166 | Orkla ASA (Food, Beverage & Tobacco) | 93,057 | ||||||
17,663 | Telenor ASA (Telecommunication Services) | 299,825 | ||||||
|
| |||||||
685,466 | ||||||||
|
| |||||||
Portugal – 0.3% | ||||||||
80,160 | EDP – Energias de Portugal SA (Utilities) | 503,125 | ||||||
14,664 | Galp Energia SGPS SA (Energy) | 155,385 | ||||||
|
| |||||||
658,510 | ||||||||
|
| |||||||
Russia – 0.3% | ||||||||
104,181 | Evraz plc (Materials) | 665,813 | ||||||
|
| |||||||
Singapore – 1.0% | ||||||||
2,800 | City Developments Ltd. (Real Estate) | 16,879 | ||||||
51,585 | DBS Group Holdings Ltd. (Banks) | 977,574 | ||||||
5,200 | Keppel Corp. Ltd. (Capital Goods) | 21,176 | ||||||
17,600 | Singapore Exchange Ltd. (Diversified Financials) | 123,622 | ||||||
211,200 | Singapore Technologies Engineering Ltd. (Capital Goods) | 611,229 | ||||||
121,600 | Singapore Telecommunications Ltd. (Telecommunication Services) | 212,331 | ||||||
|
| |||||||
1,962,811 | ||||||||
|
|
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, 2020
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
South Africa – 0.0% | ||||||||
2 | Anglo American plc (Materials) | $ | 66 | |||||
|
| |||||||
Spain – 2.7% | ||||||||
5,596 | ACS Actividades de Construccion y Servicios SA (Capital Goods) | 185,917 | ||||||
169 | Amadeus IT Group SA (Software & Services) | 12,475 | ||||||
26,583 | Enagas SA (Utilities) | 584,819 | ||||||
98,111 | Endesa SA (Utilities)(b) | 2,691,079 | ||||||
30,922 | Ferrovial SA (Capital Goods) | 855,008 | ||||||
4,087 | Naturgy Energy Group SA (Utilities) | 95,039 | ||||||
45,811 | Red Electrica Corp. SA (Utilities) | 940,549 | ||||||
38,495 | Telefonica SA (Telecommunication Services) | 153,119 | ||||||
|
| |||||||
5,518,005 | ||||||||
|
| |||||||
Sweden – 1.6% | ||||||||
4,320 | Atlas Copco AB Class A (Capital Goods) | 222,033 | ||||||
11,277 | Atlas Copco AB Class B (Capital Goods) | 506,196 | ||||||
2,920 | Boliden AB (Materials) | 103,594 | ||||||
8,614 | Electrolux ABSeries B (Consumer Durables & Apparel) | 200,421 | ||||||
39,020 | EQT AB (Diversified Financials) | 990,471 | ||||||
6,276 | Hennes & Mauritz AB Class B (Retailing) | 131,746 | ||||||
2,716 | Lundin Energy AB (Energy) | 73,594 | ||||||
247,522 | Telia Co. AB (Telecommunication Services) | 1,022,230 | ||||||
|
| |||||||
3,250,285 | ||||||||
|
| |||||||
Switzerland – 11.7% | ||||||||
17,824 | Adecco Group AG (Registered) (Commercial & Professional Services) | 1,187,138 | ||||||
1,868 | Banque Cantonale Vaudoise (Registered) (Banks) | 203,329 | ||||||
25,989 | Clariant AG (Registered) (Materials) | 551,383 | ||||||
40,278 | Coca-Cola HBC AG (Food, Beverage & Tobacco) | 1,304,324 | ||||||
358 | EMS-Chemie Holding AG (Registered) (Materials) | 344,383 | ||||||
313 | Geberit AG (Registered) (Capital Goods) | 195,929 | ||||||
17,849 | LafargeHolcim Ltd. (Registered) (Materials)* | 979,692 | ||||||
44,547 | Nestle SA (Registered) (Food, Beverage & Tobacco) | 5,265,959 | ||||||
38,853 | Novartis AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | 3,658,319 | ||||||
1,163 | Partners Group Holding AG (Diversified Financials) | 1,366,574 | ||||||
8,839 | Roche Holding AG (Pharmaceuticals, Biotechnology & Life Sciences) | 3,078,611 | ||||||
349 | SGS SA (Registered) (Commercial & Professional Services) | 1,052,016 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Switzerland – (continued) | ||||||||
21,796 | STMicroelectronics NV (Semiconductors & Semiconductor Equipment) | 806,360 | ||||||
103 | Straumann Holding AG (Registered) (Health Care Equipment & Services) | 120,656 | ||||||
7,814 | Zurich Insurance Group AG (Insurance) | 3,292,986 | ||||||
|
| |||||||
23,407,659 | ||||||||
|
| |||||||
United Kingdom – 9.9% | ||||||||
19,078 | AstraZeneca plc ADR (Pharmaceuticals, Biotechnology & Life Sciences)(a)(b) | 953,709 | ||||||
255,575 | Aviva plc (Insurance) | 1,136,806 | ||||||
246,432 | BAE Systems plc (Capital Goods)(b) | 1,643,399 | ||||||
179,256 | Barclays plc (Banks) | 359,604 | ||||||
36,675 | BP plc ADR (Energy)(b) | 752,571 | ||||||
17,286 | British American Tobacco plc (Food, Beverage & Tobacco) | 641,948 | ||||||
2,455 | Coca-Cola European Partners plc (Food, Beverage & Tobacco) | 122,333 | ||||||
10,439 | Compass Group plc (Consumer Services) | 194,702 | ||||||
13,945 | Diageo plc (Food, Beverage & Tobacco) | 551,786 | ||||||
49,964 | GlaxoSmithKline plc ADR (Pharmaceuticals, Biotechnology & Life Sciences)(b) | 1,838,675 | ||||||
329,325 | HSBC Holdings plc (Banks)(b) | 1,701,043 | ||||||
133,695 | M&G plc (Diversified Financials) | 360,866 | ||||||
40,758 | National Grid plc (Utilities) | 481,655 | ||||||
30,216 | Persimmon plc (Consumer Durables & Apparel) | 1,140,436 | ||||||
26,524 | Prudential plc (Insurance) | 487,723 | ||||||
1,916 | Reckitt Benckiser Group plc (Household & Personal Products)(b) | 171,011 | ||||||
17,073 | RELX plc (Commercial & Professional Services) | 417,732 | ||||||
104,341 | Rolls-Royce Holdings plc (Capital Goods)* | 157,912 | ||||||
22,052 | Segro plc (REIT) | 286,141 | ||||||
42,819 | SSE plc (Utilities) | 877,069 | ||||||
9,344 | St James’s Place plc (Diversified Financials) | 144,590 | ||||||
44,079 | Unilever plc (Household & Personal Products)(b) | 2,669,031 | ||||||
20,386 | Unilever plc ADR (Household & Personal Products)(b) | 1,230,499 | ||||||
91,841 | Vodafone Group plc ADR (Telecommunication Services)(b) | 1,513,540 | ||||||
7,359 | Wm Morrison Supermarkets plc (Food & Staples Retailing) | 17,807 | ||||||
2,770 | WPP plc (Media & Entertainment) | 30,016 | ||||||
|
| |||||||
19,882,604 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $158,317,350) | $ | 197,043,582 | ||||||
|
|
32 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Shares | Dividend Rate | Value | ||||
Investment Company(e) – 0.0% | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||
30,000 | 0.026% | $ | 30,000 | |||
(Cost $30,000) |
| |||||
| ||||||
TOTAL INVESTMENTS – 98.1% |
| |||||
(Cost $158,347,350) | $ | 197,073,582 | ||||
| ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 1.9% | 3,773,379 | |||||
| ||||||
NET ASSETS – 100.0% | $ | 200,846,961 | ||||
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Security is currently in default and/or non-income producing. | |
(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) | Exempt from registration under Rule 144A of the Securities Act of 1933. | |
(d) | 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. | |
(e) | Represents an Affiliated Issuer. |
| ||
Investment Abbreviations: | ||
ADR | —American Depositary Receipt | |
FDR | —Fiduciary Depositary Receipt | |
REIT | —Real Estate Investment Trust | |
| ||
Currency Abbreviations: | ||
EUR | —Euro | |
GBP | —British Pound | |
JPY | —Japanese Yen | |
|
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At December 31, 2020, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
FTSE 100 Index | 9 | 03/19/2021 | $ | 790,141 | $ | (66 | ) | |||||||||
Hang Seng Index | 1 | 01/28/2021 | 175,551 | (138 | ) | |||||||||||
MSCI Singapore Index | 3 | 01/28/2021 | 73,388 | (550 | ) | |||||||||||
SPI 200 Index | 3 | 03/18/2021 | 377,978 | (4,400 | ) | |||||||||||
Total | $ | (5,154 | ) | |||||||||||||
Short position contracts: | ||||||||||||||||
EURO STOXX 50 Index | (11 | ) | 03/19/2021 | $ | (477,054 | ) | $ | (11,806 | ) | |||||||
TOPIX Index | (1 | ) | 03/11/2021 | (174,762 | ) | (822 | ) | |||||||||
Total | $ | (12,628 | ) | |||||||||||||
Total Futures Contracts | $ | (17,782 | ) |
The accompanying notes are an integral part of these financial statements. | 33 |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Schedule of Investments (continued)
December 31, 2020
ADDITIONAL INVESTMENT INFORMATION (continued) |
WRITTEN OPTIONS CONTRACTS — At December 31, 2020, the Fund had the following written options contracts:
EXCHANGE TRADED INDEX OPTIONS
Description | 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 | 3,600 EUR | 03/19/2021 | 911 | $ | (32,364,550 | ) | $ | (1,132,956 | ) | $ | (1,146,195 | ) | $ | 13,239 | ||||||||||||||
FTSE 100 Index | 6,600 GBP | 03/19/2021 | 132 | (8,527,887 | ) | (276,180 | ) | (378,423 | ) | 102,243 | ||||||||||||||||||
Nikkei 225 Index | 27,000 JPY | 03/12/2021 | 81 | (2,222,977,770 | ) | (894,291 | ) | (612,252 | ) | (282,039 | ) | |||||||||||||||||
Total written options contracts |
| 1,124 | $ | (2,303,427 | ) | $ | (2,136,870 | ) | $ | (166,557 | ) |
34 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
Schedule of Investments
December 31, 2020
Shares | Description | Value | ||||||
Common Stocks – 99.0% | ||||||||
Automobiles & Components – 1.7% | ||||||||
912,422 | Ford Motor Co. | $ | 8,020,189 | |||||
164,726 | General Motors Co. | 6,859,191 | ||||||
115,819 | Gentex Corp. | 3,929,739 | ||||||
33,730 | Goodyear Tire & Rubber Co. (The) | 367,994 | ||||||
16,231 | Tesla, Inc.* | 11,453,730 | ||||||
|
| |||||||
30,630,843 | ||||||||
|
| |||||||
Banks – 1.9% | ||||||||
42,551 | Bancorp, Inc. (The)* | 580,821 | ||||||
31,020 | Boston Private Financial Holdings, Inc. | 262,119 | ||||||
144,004 | Cadence Bancorp | 2,364,546 | ||||||
13,311 | Cathay General Bancorp | 428,481 | ||||||
3,158 | Commerce Bancshares, Inc. | 207,481 | ||||||
11,346 | East West Bancorp, Inc. | 575,356 | ||||||
23,131 | Essent Group Ltd. | 999,259 | ||||||
40,192 | First Bancorp/PR | 370,570 | ||||||
75,088 | First Hawaiian, Inc. | 1,770,575 | ||||||
123,219 | First Horizon Corp. | 1,572,274 | ||||||
32,891 | Independent Bank Group, Inc. | 2,056,345 | ||||||
19,845 | International Bancshares Corp. | 742,997 | ||||||
49,088 | JPMorgan Chase & Co. | 6,237,612 | ||||||
80,240 | MGIC Investment Corp. | 1,007,012 | ||||||
10,646 | National Bank Holdings Corp. Class A | 348,763 | ||||||
5,054 | PNC Financial Services Group, Inc. (The) | 753,046 | ||||||
25,107 | Popular, Inc. | 1,414,026 | ||||||
28,824 | Radian Group, Inc. | 583,686 | ||||||
17,309 | SVB Financial Group* | 6,712,950 | ||||||
13,919 | TriState Capital Holdings, Inc.* | 242,191 | ||||||
39,488 | Umpqua Holdings Corp. | 597,848 | ||||||
20,899 | Walker & Dunlop, Inc. | 1,923,126 | ||||||
71,005 | Western Alliance Bancorp | 4,256,750 | ||||||
|
| |||||||
36,007,834 | ||||||||
|
| |||||||
Capital Goods – 4.6% | ||||||||
5,761 | AGCO Corp. | 593,902 | ||||||
20,744 | Allegion plc | 2,414,187 | ||||||
14,624 | Allison Transmission Holdings, Inc. | 630,733 | ||||||
29,484 | AMETEK, Inc. | 3,565,795 | ||||||
32,308 | Emerson Electric Co. | 2,596,594 | ||||||
13,565 | Fortive Corp. | 960,673 | ||||||
24,326 | H&E Equipment Services, Inc. | 725,158 | ||||||
50,186 | Hexcel Corp. | 2,433,519 | ||||||
6,443 | Honeywell International, Inc. | 1,370,426 | ||||||
19,780 | Howmet Aerospace, Inc.* | 564,521 | ||||||
97,597 | Illinois Tool Works, Inc. | 19,898,076 | ||||||
96,928 | Johnson Controls International plc | 4,515,876 | ||||||
26,377 | L3Harris Technologies, Inc. | 4,985,781 | ||||||
20,683 | Lennox International, Inc. | 5,666,522 | ||||||
12,408 | Lockheed Martin Corp. | 4,404,592 | ||||||
25,593 | Masco Corp. | 1,405,823 | ||||||
25,746 | Navistar International Corp.* | 1,131,794 | ||||||
19,726 | Otis Worldwide Corp. | 1,332,491 | ||||||
21,639 | Parker-Hannifin Corp. | 5,894,680 | ||||||
149,820 | Raytheon Technologies Corp. | 10,713,628 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Capital Goods – (continued) | ||||||||
1,213 | RBC Bearings, Inc.* | 217,176 | ||||||
25,076 | Rush Enterprises, Inc. Class A | 1,038,648 | ||||||
30,166 | Snap-on, Inc. | 5,162,609 | ||||||
5,929 | Teledyne Technologies, Inc.* | 2,324,049 | ||||||
941 | United Rentals, Inc.* | 218,227 | ||||||
|
| |||||||
84,765,480 | ||||||||
|
| |||||||
Commercial & Professional Services – 1.2% | ||||||||
11,341 | Cimpress plc* | 995,059 | ||||||
29,156 | Cintas Corp. | 10,305,480 | ||||||
15,038 | Clean Harbors, Inc.* | 1,144,392 | ||||||
40,870 | CoreLogic, Inc. | 3,160,068 | ||||||
7,128 | CoStar Group, Inc.* | 6,588,268 | ||||||
10,024 | IAA, Inc.* | 651,360 | ||||||
13,972 | KAR Auction Services, Inc. | 260,019 | ||||||
|
| |||||||
23,104,646 | ||||||||
|
| |||||||
Consumer Durables & Apparel – 0.5% | ||||||||
17,960 | G-III Apparel Group Ltd.* | 426,370 | ||||||
85,452 | Levi Strauss & Co. Class A | 1,715,876 | ||||||
130 | NVR, Inc.* | 530,382 | ||||||
29,150 | Skechers USA, Inc. Class A* | 1,047,651 | ||||||
12,109 | Whirlpool Corp. | 2,185,554 | ||||||
39,938 | YETI Holdings, Inc.* | 2,734,555 | ||||||
|
| |||||||
8,640,388 | ||||||||
|
| |||||||
Consumer Services – 3.3% | ||||||||
18,628 | Chipotle Mexican Grill, Inc.* | 25,831,634 | ||||||
34,232 | Domino’s Pizza, Inc. | 13,126,603 | ||||||
37,579 | frontdoor, Inc.* | 1,886,842 | ||||||
2,086 | Graham Holdings Co. Class B | 1,112,631 | ||||||
142,560 | International Game Technology plc | 2,414,966 | ||||||
24,744 | Las Vegas Sands Corp. | 1,474,742 | ||||||
78,168 | Red Rock Resorts, Inc. Class A | 1,957,327 | ||||||
111,128 | Terminix Global Holdings, Inc.* | 5,668,639 | ||||||
13,022 | Wingstop, Inc. | 1,726,066 | ||||||
4,147 | Wyndham Hotels & Resorts, Inc. | 246,498 | ||||||
49,027 | Yum China Holdings, Inc. | 2,798,951 | ||||||
25,926 | Yum! Brands, Inc. | 2,814,526 | ||||||
|
| |||||||
61,059,425 | ||||||||
|
| |||||||
Diversified Financials – 6.1% | ||||||||
138,340 | Ally Financial, Inc. | 4,933,204 | ||||||
38,603 | Berkshire Hathaway, Inc. Class B* | 8,950,878 | ||||||
131,338 | CME Group, Inc. | 23,910,083 | ||||||
96,351 | Discover Financial Services | 8,722,656 | ||||||
19,961 | Interactive Brokers Group, Inc. Class A | 1,216,024 | ||||||
163,062 | Jefferies Financial Group, Inc. | 4,011,325 | ||||||
23,105 | LPL Financial Holdings, Inc. | 2,408,003 | ||||||
4,946 | MarketAxess Holdings, Inc. | 2,821,990 | ||||||
112,434 | Morgan Stanley | 7,705,102 | ||||||
70,228 | Navient Corp. | 689,639 | ||||||
69,402 | PennyMac Mortgage Investment Trust (REIT) | 1,220,781 | ||||||
2,932 | PJT Partners, Inc. Class A | 220,633 | ||||||
|
|
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, 2020
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Diversified Financials – (continued) | ||||||||
38,131 | S&P Global, Inc. | $ | 12,534,804 | |||||
130,364 | Starwood Property Trust, Inc. (REIT) | 2,516,025 | ||||||
316,003 | Synchrony Financial | 10,968,464 | ||||||
56,882 | TPG RE Finance Trust, Inc. (REIT) | 604,087 | ||||||
327,211 | Voya Financial, Inc. | 19,243,279 | ||||||
|
| |||||||
112,676,977 | ||||||||
|
| |||||||
Energy – 1.8% | ||||||||
40,840 | Apache Corp. | 579,520 | ||||||
8,224 | Cactus, Inc. Class A | 214,400 | ||||||
38,739 | Chevron Corp. | 3,271,508 | ||||||
7,426 | Core Laboratories NV | 196,863 | ||||||
119,976 | EOG Resources, Inc. | 5,983,203 | ||||||
110,930 | Exxon Mobil Corp. | 4,572,535 | ||||||
37,895 | Hess Corp. | 2,000,477 | ||||||
18,924 | Matador Resources Co.* | 228,223 | ||||||
26,741 | National Oilwell Varco, Inc. | 367,154 | ||||||
8,760 | ONEOK, Inc. | 336,209 | ||||||
33,190 | Pioneer Natural Resources Co. | 3,780,009 | ||||||
25,139 | Renewable Energy Group, Inc.* | 1,780,344 | ||||||
166,430 | Schlumberger NV | 3,633,167 | ||||||
103,628 | Targa Resources Corp. | 2,733,707 | ||||||
21,951 | TechnipFMC plc | 206,339 | ||||||
156,754 | Williams Cos., Inc. (The) | 3,142,918 | ||||||
|
| |||||||
33,026,576 | ||||||||
|
| |||||||
Food & Staples Retailing – 1.3% | ||||||||
55,580 | Costco Wholesale Corp. | 20,941,432 | ||||||
26,584 | Walmart, Inc. | 3,832,084 | ||||||
|
| |||||||
24,773,516 | ||||||||
|
| |||||||
Food, Beverage & Tobacco – 2.2% | ||||||||
7,580 | Constellation Brands, Inc. Class A | 1,660,399 | ||||||
51,135 | Darling Ingredients, Inc.* | 2,949,467 | ||||||
11,453 | Freshpet, Inc.* | 1,626,212 | ||||||
9,036 | Ingredion, Inc. | 710,862 | ||||||
35,242 | Lamb Weston Holdings, Inc. | 2,774,955 | ||||||
9,833 | Lancaster Colony Corp. | 1,806,617 | ||||||
232,223 | Monster Beverage Corp.* | 21,475,983 | ||||||
91,613 | Philip Morris International, Inc. | 7,584,640 | ||||||
|
| |||||||
40,589,135 | ||||||||
|
| |||||||
Health Care Equipment & Services – 7.2% | ||||||||
3,020 | Abbott Laboratories | 330,660 | ||||||
730 | Align Technology, Inc.* | 390,097 | ||||||
53,424 | Anthem, Inc. | 17,153,912 | ||||||
9,672 | Chemed Corp. | 5,151,404 | ||||||
21,748 | Cigna Corp. | 4,527,499 | ||||||
5,024 | Cooper Cos., Inc. (The) | 1,825,320 | ||||||
72,981 | Edwards Lifesciences Corp.* | 6,658,057 | ||||||
44,078 | Encompass Health Corp. | 3,644,810 | ||||||
137,014 | HCA Healthcare, Inc. | 22,533,322 | ||||||
123,231 | Hologic, Inc.* | 8,974,914 | ||||||
34,579 | Humana, Inc. | 14,186,726 | ||||||
19,999 | IDEXX Laboratories, Inc.* | 9,996,900 | ||||||
6,269 | Molina Healthcare, Inc.* | 1,333,291 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Health Care Equipment & Services – (continued) | ||||||||
4,621 | Quidel Corp.* | 830,163 | ||||||
14,835 | Select Medical Holdings Corp.* | 410,336 | ||||||
16,131 | SmileDirectClub, Inc.* | 192,604 | ||||||
1,283 | STERIS plc | 243,180 | ||||||
9,035 | Teladoc Health, Inc.* | 1,806,638 | ||||||
47,957 | UnitedHealth Group, Inc. | 16,817,561 | ||||||
20,785 | Universal Health Services, Inc. Class B | 2,857,937 | ||||||
46,257 | West Pharmaceutical Services, Inc. | 13,105,071 | ||||||
|
| |||||||
132,970,402 | ||||||||
|
| |||||||
Household & Personal Products – 1.0% | ||||||||
15,887 | Church & Dwight Co., Inc. | 1,385,823 | ||||||
37,649 | Estee Lauder Cos., Inc. (The) Class A | 10,021,787 | ||||||
118,309 | Herbalife Nutrition Ltd.* | 5,684,748 | ||||||
8,185 | Procter & Gamble Co. (The) | 1,138,861 | ||||||
|
| |||||||
18,231,219 | ||||||||
|
| |||||||
Insurance – 3.0% | ||||||||
193,325 | American Equity Investment Life Holding Co. | 5,347,369 | ||||||
35,396 | American Financial Group, Inc. | 3,101,397 | ||||||
163,870 | Arch Capital Group Ltd.* | 5,910,791 | ||||||
80,386 | Athene Holding Ltd. Class A* | 3,467,852 | ||||||
59,191 | Brighthouse Financial, Inc.* | 2,143,010 | ||||||
17,652 | Chubb Ltd. | 2,716,996 | ||||||
18,632 | Fidelity National Financial, Inc. | 728,325 | ||||||
56,350 | First American Financial Corp. | 2,909,350 | ||||||
89,257 | Globe Life, Inc. | 8,475,845 | ||||||
9,425 | Goosehead Insurance, Inc. Class A | 1,175,863 | ||||||
15,650 | Marsh & McLennan Cos., Inc. | 1,831,050 | ||||||
209,677 | Old Republic International Corp. | 4,132,734 | ||||||
22,348 | Primerica, Inc. | 2,993,068 | ||||||
17,273 | Reinsurance Group of America, Inc. | 2,001,941 | ||||||
75,315 | Trupanion, Inc.* | 9,015,959 | ||||||
|
| |||||||
55,951,550 | ||||||||
|
| |||||||
Materials – 3.2% | ||||||||
4,937 | Air Products and Chemicals, Inc. | 1,348,887 | ||||||
301,226 | Amcor plc | 3,545,430 | ||||||
78,720 | Avient Corp. | 3,170,841 | ||||||
328,568 | Axalta Coating Systems Ltd.* | 9,380,616 | ||||||
47,477 | CF Industries Holdings, Inc. | 1,837,835 | ||||||
28,500 | Corteva, Inc. | 1,103,520 | ||||||
2,903 | Crown Holdings, Inc.* | 290,881 | ||||||
8,601 | Dow, Inc. | 477,355 | ||||||
71,308 | Element Solutions, Inc. | 1,264,291 | ||||||
4,681 | Ingevity Corp.* | 354,492 | ||||||
133,281 | Louisiana-Pacific Corp. | 4,954,055 | ||||||
26,262 | Mosaic Co. (The) | 604,289 | ||||||
905 | NewMarket Corp. | 360,452 | ||||||
56,853 | Olin Corp. | 1,396,310 | ||||||
38,987 | Sherwin-Williams Co. (The) | 28,651,936 | ||||||
6,280 | Southern Copper Corp. | 408,954 | ||||||
34,799 | Summit Materials, Inc. Class A* | 698,764 | ||||||
|
| |||||||
59,848,908 | ||||||||
|
|
36 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Media & Entertainment – 8.9% | ||||||||
16,330 | Alphabet, Inc. Class A* | $ | 28,620,611 | |||||
15,750 | Alphabet, Inc. Class C* | 27,592,110 | ||||||
12,147 | Cardlytics, Inc.* | 1,734,227 | ||||||
94,443 | Comcast Corp. Class A | 4,948,813 | ||||||
115,174 | Facebook, Inc. Class A* | 31,460,930 | ||||||
28,637 | Liberty Broadband Corp. Class C* | 4,535,242 | ||||||
17,336 | Netflix, Inc.* | 9,374,095 | ||||||
224,846 | Omnicom Group, Inc. | 14,023,645 | ||||||
220,769 | Pinterest, Inc. Class A* | 14,548,677 | ||||||
15,013 | Roku, Inc.* | 4,984,616 | ||||||
11,879 | Spotify Technology SA* | 3,737,846 | ||||||
42,395 | Take-Two Interactive Software, Inc.* | 8,809,257 | ||||||
24,332 | Zillow Group, Inc. Class C* | 3,158,294 | ||||||
749,749 | Zynga, Inc. Class A* | 7,400,023 | ||||||
|
| |||||||
164,928,386 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences – 9.3% | ||||||||
296,208 | AbbVie, Inc. | 31,738,687 | ||||||
17,266 | Alexion Pharmaceuticals, Inc.* | 2,697,640 | ||||||
16,914 | Biogen, Inc.* | 4,141,562 | ||||||
259,726 | Horizon Therapeutics plc* | 18,998,957 | ||||||
7,809 | IQVIA Holdings, Inc.* | 1,399,139 | ||||||
31,457 | Jazz Pharmaceuticals plc* | 5,191,978 | ||||||
88,523 | Johnson & Johnson | 13,931,750 | ||||||
36,417 | Merck & Co., Inc. | 2,978,911 | ||||||
11,939 | Mettler-Toledo International, Inc.* | 13,606,639 | ||||||
115,420 | PerkinElmer, Inc. | 16,562,770 | ||||||
128,361 | Pfizer, Inc. | 4,724,968 | ||||||
22,821 | Regeneron Pharmaceuticals, Inc.* | 11,025,053 | ||||||
8,738 | Sage Therapeutics, Inc.* | 755,924 | ||||||
3,494 | Thermo Fisher Scientific, Inc. | 1,627,435 | ||||||
6,486 | Twist Bioscience Corp.* | 916,407 | ||||||
81,540 | Vertex Pharmaceuticals, Inc.* | 19,271,164 | ||||||
15,927 | Viatris, Inc.* | 298,472 | ||||||
134,218 | Zoetis, Inc. | 22,213,079 | ||||||
|
| |||||||
172,080,535 | ||||||||
|
| |||||||
Real Estate – 4.8% | ||||||||
124,694 | Apartment Income REIT Corp. (REIT)* | 4,789,497 | ||||||
124,694 | Apartment Investment and Management Co. Class A (REIT) | 658,384 | ||||||
20,795 | AvalonBay Communities, Inc. (REIT) | 3,336,142 | ||||||
21,275 | Brixmor Property Group, Inc. (REIT) | 352,101 | ||||||
73,868 | Camden Property Trust (REIT) | 7,380,891 | ||||||
18,849 | CoreSite Realty Corp. (REIT) | 2,361,403 | ||||||
5,669 | Corporate Office Properties Trust (REIT) | 147,848 | ||||||
5,732 | CubeSmart (REIT) | 192,653 | ||||||
257,053 | Duke Realty Corp. (REIT) | 10,274,408 | ||||||
164,277 | Equity LifeStyle Properties, Inc. (REIT) | 10,408,591 | ||||||
167,125 | First Industrial Realty Trust, Inc. (REIT) | 7,040,976 | ||||||
18,198 | Gaming and Leisure Properties, Inc. (REIT) | 771,595 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Real Estate – (continued) | ||||||||
81,325 | Healthcare Trust of America, Inc. Class A (REIT) | 2,239,690 | ||||||
206,494 | Invitation Homes, Inc. (REIT) | 6,132,872 | ||||||
1,957 | Jones Lang LaSalle, Inc.* | 290,360 | ||||||
6,148 | Kilroy Realty Corp. (REIT) | 352,895 | ||||||
12,030 | Lamar Advertising Co. Class A (REIT) | 1,001,137 | ||||||
319,255 | MGM Growth Properties LLC Class A (REIT) | 9,992,681 | ||||||
37,934 | Mid-America Apartment Communities, Inc. (REIT) | 4,805,858 | ||||||
1,888 | PS Business Parks, Inc. (REIT) | 250,859 | ||||||
21,458 | Retail Opportunity Investments Corp. (REIT) | 287,323 | ||||||
93,086 | Rexford Industrial Realty, Inc. (REIT) | 4,571,453 | ||||||
12,420 | SBA Communications Corp. (REIT) | 3,503,416 | ||||||
84,429 | SITE Centers Corp. (REIT) | 854,421 | ||||||
17,864 | STORE Capital Corp. (REIT) | 607,019 | ||||||
14,722 | Terreno Realty Corp. (REIT) | 861,384 | ||||||
45,708 | Ventas, Inc. (REIT) | 2,241,520 | ||||||
65,136 | VEREIT, Inc. (REIT) | 2,461,497 | ||||||
|
| |||||||
88,168,874 | ||||||||
|
| |||||||
Retailing – 8.4% | ||||||||
24,763 | Amazon.com, Inc.* | 80,651,358 | ||||||
1,486 | Asbury Automotive Group, Inc.* | 216,570 | ||||||
2,286 | AutoZone, Inc.* | 2,709,916 | ||||||
47,625 | Dick’s Sporting Goods, Inc. | 2,677,001 | ||||||
34,974 | eBay, Inc. | 1,757,443 | ||||||
11,982 | Home Depot, Inc. (The) | 3,182,659 | ||||||
106,353 | Kohl’s Corp. | 4,327,504 | ||||||
113,366 | L Brands, Inc. | 4,216,081 | ||||||
108,585 | Lowe’s Cos., Inc. | 17,428,978 | ||||||
1,541 | MercadoLibre, Inc.* | 2,581,514 | ||||||
20,014 | Murphy USA, Inc. | 2,619,232 | ||||||
1,394 | O’Reilly Automotive, Inc.* | 630,883 | ||||||
8,426 | Penske Automotive Group, Inc. | 500,420 | ||||||
149,794 | Target Corp. | 26,443,135 | ||||||
82,095 | TJX Cos., Inc. (The) | 5,606,267 | ||||||
|
| |||||||
155,548,961 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 4.6% | ||||||||
218,165 | Applied Materials, Inc. | 18,827,639 | ||||||
16,182 | First Solar, Inc.* | 1,600,723 | ||||||
15,046 | Inphi Corp.* | 2,414,432 | ||||||
31,784 | Intel Corp. | 1,583,479 | ||||||
3,264 | KLA Corp. | 845,082 | ||||||
15,650 | Lam Research Corp. | 7,391,025 | ||||||
61,648 | NVIDIA Corp. | 32,192,586 | ||||||
46,974 | NXP Semiconductors NV | 7,469,336 | ||||||
13,204 | Power Integrations, Inc. | 1,080,879 | ||||||
11,970 | QUALCOMM, Inc. | 1,823,510 | ||||||
2,395 | Teradyne, Inc. | 287,137 | ||||||
63,128 | Texas Instruments, Inc. | 10,361,199 | ||||||
|
| |||||||
85,877,027 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 37 |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
Schedule of Investments (continued)
December 31, 2020
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Software & Services – 13.0% | ||||||||
44,829 | Adobe, Inc.* | $ | 22,419,879 | |||||
18,021 | Black Knight, Inc.* | 1,592,155 | ||||||
21,888 | Cadence Design Systems, Inc.* | 2,986,180 | ||||||
17,268 | Citrix Systems, Inc. | 2,246,567 | ||||||
95,022 | Cognizant Technology Solutions Corp. Class A | 7,787,053 | ||||||
1,531 | Concentrix Corp.* | 151,110 | ||||||
5,074 | EPAM Systems, Inc.* | 1,818,268 | ||||||
16,958 | Fastly, Inc. Class A*(a) | 1,481,620 | ||||||
49,352 | Fidelity National Information Services, Inc. | 6,981,334 | ||||||
20,345 | FireEye, Inc.* | 469,156 | ||||||
2,902 | FleetCor Technologies, Inc.* | 791,753 | ||||||
79,080 | Fortinet, Inc.* | 11,745,752 | ||||||
8,663 | Gartner, Inc.* | 1,387,726 | ||||||
9,159 | International Business Machines Corp. | 1,152,935 | ||||||
3,182 | Intuit, Inc. | 1,208,683 | ||||||
373,480 | Microsoft Corp. | 83,069,422 | ||||||
37,008 | Okta, Inc.* | 9,409,654 | ||||||
75,324 | Oracle Corp. | 4,872,709 | ||||||
6,494 | Palo Alto Networks, Inc.* | 2,307,903 | ||||||
169,376 | PayPal Holdings, Inc.* | 39,667,859 | ||||||
5,663 | Perficient, Inc.* | 269,842 | ||||||
5,399 | ServiceNow, Inc.* | 2,971,772 | ||||||
1,609 | Square, Inc. Class A* | 350,183 | ||||||
14,865 | Twilio, Inc. Class A* | 5,031,802 | ||||||
4,947 | VeriSign, Inc.* | 1,070,531 | ||||||
9,615 | Visa, Inc. Class A | 2,103,089 | ||||||
376,161 | Western Union Co. (The) | 8,252,972 | ||||||
27,322 | Workday, Inc. Class A* | 6,546,624 | ||||||
4,250 | Zoom Video Communications, Inc. Class A* | 1,433,610 | ||||||
43,289 | Zscaler, Inc.* | 8,645,246 | ||||||
|
| |||||||
240,223,389 | ||||||||
|
| |||||||
Technology Hardware & Equipment – 8.0% | ||||||||
842,445 | Apple, Inc. | 111,784,027 | ||||||
1,620 | Arista Networks, Inc.* | 470,723 | ||||||
10,280 | Arrow Electronics, Inc.* | 1,000,244 | ||||||
94,239 | Keysight Technologies, Inc.* | 12,448,030 | ||||||
19,675 | Knowles Corp.* | 362,610 | ||||||
13,117 | Lumentum Holdings, Inc.* | 1,243,492 | ||||||
42,942 | NetApp, Inc. | 2,844,478 | ||||||
824,876 | TTM Technologies, Inc.* | 11,379,164 | ||||||
25,865 | Vishay Intertechnology, Inc. | 535,664 | ||||||
5,426 | Vontier Corp.* | 181,228 | ||||||
91,091 | Western Digital Corp. | 5,045,531 | ||||||
|
| |||||||
147,295,191 | ||||||||
|
| |||||||
Transportation – 2.1% | ||||||||
1,106 | AMERCO | 502,080 | ||||||
31,353 | CSX Corp. | 2,845,285 | ||||||
2,107 | Kansas City Southern | 430,102 | ||||||
18,420 | Norfolk Southern Corp. | 4,376,776 | ||||||
22,831 | Old Dominion Freight Line, Inc. | 4,456,155 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Transportation – (continued) | ||||||||
36,542 | Ryder System, Inc. | 2,256,834 | ||||||
155,538 | Uber Technologies, Inc.* | 7,932,438 | ||||||
61,767 | Union Pacific Corp. | 12,861,125 | ||||||
2,166 | United Parcel Service, Inc. Class B | 364,754 | ||||||
28,407 | XPO Logistics, Inc.* | 3,386,114 | ||||||
|
| |||||||
39,411,663 | ||||||||
|
| |||||||
Utilities – 0.9% | ||||||||
25,070 | AES Corp. (The) | 589,145 | ||||||
3,186 | DTE Energy Co. | 386,812 | ||||||
54,291 | MDU Resources Group, Inc. | 1,430,025 | ||||||
15,118 | NorthWestern Corp. | 881,531 | ||||||
68,737 | NRG Energy, Inc. | 2,581,074 | ||||||
16,133 | OGE Energy Corp. | 513,998 | ||||||
50,963 | Public Service Enterprise Group, Inc. | 2,971,143 | ||||||
61,803 | Sempra Energy | 7,874,320 | ||||||
|
| |||||||
17,228,048 | ||||||||
|
| |||||||
| TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | | ||||||
(Cost $996,215,006) | $ | 1,833,038,973 | ||||||
|
|
Shares | Dividend Rate | Value | ||||
Securities Lending Reinvestment Vehicle(b) – 0.1% | ||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||
1,153,125 | 0.026% | $ | 1,153,125 | |||
(Cost $1,153,125) | ||||||
| ||||||
TOTAL INVESTMENTS – 99.1% |
| |||||
(Cost $997,368,131) | $ | 1,834,192,098 | ||||
| ||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.9% | 16,258,226 | |||||
| ||||||
NET ASSETS – 100.0% | $ | 1,850,450,324 | ||||
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Security is currently in default and/or non-income producing. | |
(a) | All or a portion of security is on loan. | |
(b) | Represents an Affiliated Issuer. |
| ||
Investment Abbreviation: | ||
REIT | —Real Estate Investment Trust | |
|
38 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
Schedule of Investments
December 31, 2020
Shares | Description | Value | ||||||
Common Stocks – 100.3% | ||||||||
Australia – 9.4% | ||||||||
75,791 | ASX Ltd. (Diversified Financials) | $ | 4,206,178 | |||||
68,497 | Aurizon Holdings Ltd. (Transportation) | 205,794 | ||||||
327,751 | BHP Group plc (Materials) | 8,654,060 | ||||||
376,795 | Brambles Ltd. (Commercial & Professional Services) | 3,090,583 | ||||||
167,225 | Commonwealth Bank of Australia (Banks) | 10,629,160 | ||||||
523,306 | Evolution Mining Ltd. (Materials) | 2,013,874 | ||||||
472,587 | Fortescue Metals Group Ltd. (Materials) | 8,536,056 | ||||||
356,243 | Goodman Group (REIT) | 5,207,372 | ||||||
297,507 | Harvey Norman Holdings Ltd. (Retailing) | 1,075,129 | ||||||
8,087 | JB Hi-Fi Ltd. (Retailing) | 303,627 | ||||||
66,874 | Magellan Financial Group Ltd. (Diversified Financials) | 2,769,812 | ||||||
54,405 | Mineral Resources Ltd. (Materials) | 1,573,011 | ||||||
32,307 | Premier Investments Ltd. (Retailing) | 586,106 | ||||||
124,163 | Rio Tinto plc ADR (Materials)(a) | 9,339,541 | ||||||
162,450 | Sonic Healthcare Ltd. (Health Care Equipment & Services) | 4,024,995 | ||||||
177,028 | Wesfarmers Ltd. (Retailing) | 6,880,568 | ||||||
17,741 | Worley Ltd. (Energy) | 156,699 | ||||||
|
| |||||||
69,252,565 | ||||||||
|
| |||||||
Belgium – 0.9% | ||||||||
14,673 | D’ieteren SA/NV (Retailing) | 1,212,277 | ||||||
58,715 | KBC Group NV (Banks) | 4,108,944 | ||||||
1,427 | UCB SA (Pharmaceuticals, Biotechnology & Life Sciences) | 147,405 | ||||||
25,294 | Warehouses De Pauw CVA (REIT) | 876,906 | ||||||
|
| |||||||
6,345,532 | ||||||||
|
| |||||||
China – 0.5% | ||||||||
168,100 | ENN Energy Holdings Ltd. (Utilities) | 2,467,658 | ||||||
640,000 | Tingyi Cayman Islands Holding Corp. (Food, Beverage & Tobacco) | 1,094,727 | ||||||
|
| |||||||
3,562,385 | ||||||||
|
| |||||||
Denmark – 3.0% | ||||||||
2,576 | DSV PANALPINA A/S (Transportation) | 432,927 | ||||||
166,815 | Novo Nordisk A/S Class B (Pharmaceuticals, Biotechnology & Life Sciences) | 11,636,877 | ||||||
10,594 | Scandinavian Tobacco Group A/S Class A (Food, Beverage & Tobacco)(b) | 180,670 | ||||||
40,300 | Vestas Wind Systems A/S (Capital Goods) | 9,520,047 | ||||||
|
| |||||||
21,770,521 | ||||||||
|
| |||||||
Finland – 1.5% | ||||||||
95,758 | Kesko OYJ Class B (Food & Staples Retailing) | 2,457,785 | ||||||
114,008 | Neste OYJ (Energy) | 8,277,410 | ||||||
|
| |||||||
10,735,195 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
France – 7.2% | ||||||||
3,049 | Albioma SA (Utilities) | 174,437 | ||||||
35,442 | BNP Paribas SA (Banks)* | 1,871,061 | ||||||
29,031 | Bouygues SA (Capital Goods) | 1,193,986 | ||||||
5,714 | Christian Dior SE (Consumer Durables & Apparel) | 3,173,339 | ||||||
304,508 | Credit Agricole SA (Banks)* | 3,849,570 | ||||||
2,146 | Gaztransport Et Technigaz SA (Energy) | 207,901 | ||||||
29,457 | Gecina SA (REIT) | 4,580,566 | ||||||
127 | Hermes International (Consumer Durables & Apparel) | 136,560 | ||||||
51,710 | Legrand SA (Capital Goods) | 4,625,802 | ||||||
4,822 | Nexity SA (Real Estate) | 208,239 | ||||||
38,375 | Rexel SA (Capital Goods)* | 605,686 | ||||||
11,161 | Safran SA (Capital Goods)* | 1,581,892 | ||||||
41,306 | Sanofi (Pharmaceuticals, Biotechnology & Life Sciences) | 4,003,502 | ||||||
16,319 | Sartorius Stedim Biotech (Pharmaceuticals, Biotechnology & Life Sciences) | 5,805,394 | ||||||
68,853 | Schneider Electric SE (Capital Goods) | 9,951,147 | ||||||
67,627 | Societe Generale SA (Banks)* | 1,405,872 | ||||||
9,374 | Teleperformance (Commercial & Professional Services) | 3,111,992 | ||||||
206,930 | Vivendi SA (Media & Entertainment) | 6,674,416 | ||||||
|
| |||||||
53,161,362 | ||||||||
|
| |||||||
Germany – 6.1% | ||||||||
15,770 | Aareal Bank AG (Banks)* | 376,639 | ||||||
45,225 | Aurubis AG (Materials) | 3,529,296 | ||||||
29,996 | Bayerische Motoren Werke AG (Automobiles & Components) | 2,647,345 | ||||||
20,925 | Daimler AG (Registered) (Automobiles & Components) | 1,483,149 | ||||||
169,323 | Deutsche Pfandbriefbank AG (Banks)*(b) | 1,841,911 | ||||||
154,330 | Deutsche Post AG (Registered) (Transportation) | 7,644,856 | ||||||
6,930 | Fresenius SE & Co. KGaA (Health Care Equipment & Services) | 320,456 | ||||||
1,171 | Gerresheimer AG (Pharmaceuticals, Biotechnology & Life Sciences) | 126,279 | ||||||
24,549 | Henkel AG & Co. KGaA (Preference) (Household & Personal Products)(c) | 2,768,010 | ||||||
3,129 | Hornbach Holding AG & Co. KGaA (Retailing) | 300,834 | ||||||
36,144 | Nemetschek SE (Software & Services) | 2,686,163 | ||||||
21,361 | SAF-Holland SE (Automobiles & Components)* | 291,722 | ||||||
30,465 | Scout24 AG (Media & Entertainment)(b) | 2,489,412 | ||||||
79,043 | Siemens AG (Registered) (Capital Goods) | 11,385,866 | ||||||
40,224 | Siemens Energy AG (Capital Goods)* | 1,474,190 | ||||||
30,859 | Volkswagen AG (Preference) (Automobiles & Components)(c) | 5,767,050 | ||||||
|
| |||||||
45,133,178 | ||||||||
|
|
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, 2020
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Hong Kong – 2.0% | ||||||||
536,400 | AIA Group Ltd. (Insurance) | $ | 6,536,636 | |||||
70,800 | Hong Kong Exchanges & Clearing Ltd. (Diversified Financials) | 3,883,503 | ||||||
312,500 | Sun Hung Kai Properties Ltd. (Real Estate) | 3,996,556 | ||||||
|
| |||||||
14,416,695 | ||||||||
|
| |||||||
Ireland – 0.2% | ||||||||
27,765 | Smurfit Kappa Group plc (Materials) | 1,301,805 | ||||||
|
| |||||||
Israel – 0.5% | ||||||||
190,911 | Plus500 Ltd. (Diversified Financials) | 3,782,229 | ||||||
|
| |||||||
Italy – 3.2% | ||||||||
23,285 | Azimut Holding SpA (Diversified Financials) | 506,078 | ||||||
17,152 | Banca Generali SpA (Diversified Financials) | 573,662 | ||||||
93,386 | Banca Mediolanum SpA (Diversified Financials) | 811,280 | ||||||
829,114 | Enel SpA (Utilities) | 8,436,016 | ||||||
19,961 | Ferrari NV (Automobiles & Components) | 4,629,785 | ||||||
539,535 | Intesa Sanpaolo SpA (Banks)* | 1,275,309 | ||||||
83,698 | Poste Italiane SpA (Insurance)(b) | 856,127 | ||||||
182,792 | Prysmian SpA (Capital Goods) | 6,506,051 | ||||||
|
| |||||||
23,594,308 | ||||||||
|
| |||||||
Japan – 27.9% | ||||||||
73,500 | AGC, Inc. (Capital Goods) | 2,570,224 | ||||||
40,200 | Aisin Seiki Co. Ltd. (Automobiles & Components) | 1,205,567 | ||||||
38,800 | Autobacs Seven Co. Ltd. (Retailing) | 537,690 | ||||||
2,800 | BayCurrent Consulting, Inc. (Commercial & Professional Services) | 491,379 | ||||||
65,800 | Brother Industries Ltd. (Technology Hardware & Equipment) | 1,358,341 | ||||||
13,200 | Cawachi Ltd. (Food & Staples Retailing) | 375,966 | ||||||
80,700 | Chubu Electric Power Co., Inc. (Utilities) | 973,886 | ||||||
72,100 | Chugai Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 3,846,906 | ||||||
248,800 | DCM Holdings Co. Ltd. (Retailing) | 2,844,053 | ||||||
7,000 | Denka Co. Ltd. (Materials) | 273,713 | ||||||
146,400 | Dentsu Group, Inc. (Media & Entertainment) | 4,357,137 | ||||||
14,900 | Doshisha Co. Ltd. (Retailing) | 281,399 | ||||||
12,500 | EDION Corp. (Retailing) | 127,110 | ||||||
1,257,400 | ENEOS Holdings, Inc. (Energy) | 4,516,206 | ||||||
19,700 | FANUC Corp. (Capital Goods) | 4,862,928 | ||||||
53,900 | Fujitsu Ltd. (Software & Services) | 7,790,461 | ||||||
8,700 | Furyu Corp. (Consumer Durables & Apparel) | 96,284 | ||||||
84,300 | H.U. Group Holdings, Inc. (Health Care Equipment & Services) | 2,271,727 | ||||||
2,600 | Hikari Tsushin, Inc. (Retailing) | 610,048 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
4,000 | Hitachi Capital Corp. (Diversified Financials) | 96,781 | ||||||
59,400 | Hitachi Ltd. (Technology Hardware & Equipment) | 2,344,477 | ||||||
242,000 | Honda Motor Co. Ltd. (Automobiles & Components) | 6,828,344 | ||||||
35,000 | Hoya Corp. (Health Care Equipment & Services) | 4,847,319 | ||||||
38,800 | Itoham Yonekyu Holdings, Inc. (Food, Beverage & Tobacco) | 253,244 | ||||||
46,500 | Izumi Co. Ltd. (Retailing) | 1,684,975 | ||||||
266,100 | Japan Tobacco, Inc. (Food, Beverage & Tobacco) | 5,425,024 | ||||||
5,500 | Kaneka Corp. (Materials) | 192,687 | ||||||
14,700 | KDDI Corp. (Telecommunication Services) | 435,859 | ||||||
226,500 | Kirin Holdings Co. Ltd. (Food, Beverage & Tobacco) | 5,348,344 | ||||||
5,400 | Koei Tecmo Holdings Co. Ltd. (Media & Entertainment) | 329,663 | ||||||
17,200 | Kohnan Shoji Co. Ltd. (Retailing) | 535,868 | ||||||
7,600 | Komeri Co. Ltd. (Retailing) | 214,873 | ||||||
67,200 | Konami Holdings Corp. (Media & Entertainment) | 3,781,089 | ||||||
63,900 | K’s Holdings Corp. (Retailing) | 890,369 | ||||||
53,300 | Lixil Corp. (Capital Goods) | 1,155,899 | ||||||
91,000 | M3, Inc. (Health Care Equipment & Services) | 8,596,527 | ||||||
441,400 | Marubeni Corp. (Capital Goods) | 2,940,789 | ||||||
378,300 | Mitsubishi Electric Corp. (Capital Goods) | 5,717,494 | ||||||
57,500 | Mitsubishi Materials Corp. (Materials) | 1,211,299 | ||||||
10,000 | Mitsui Chemicals, Inc. (Materials) | 293,753 | ||||||
16,400 | NEC Corp. (Software & Services) | 880,838 | ||||||
227,300 | Nexon Co. Ltd. (Media & Entertainment) | 7,013,320 | ||||||
105,400 | NGK Insulators Ltd. (Capital Goods) | 1,628,613 | ||||||
24,400 | Nihon M&A Center, Inc. (Commercial & Professional Services) | 1,631,707 | ||||||
12,900 | Nintendo Co. Ltd. (Media & Entertainment) | 8,281,044 | ||||||
17,500 | Nippon Light Metal Holdings Co. Ltd. (Materials) | 324,838 | ||||||
141,000 | Nippon Telegraph & Telephone Corp. (Telecommunication Services) | 3,617,919 | ||||||
38,200 | Nipro Corp. (Health Care Equipment & Services) | 449,836 | ||||||
13,900 | Nisshin Oillio Group Ltd. (The) (Food, Beverage & Tobacco) | 409,041 | ||||||
17,900 | Nitori Holdings Co. Ltd. (Retailing) | 3,742,917 | ||||||
75,100 | Nitto Denko Corp. (Materials) | 6,727,462 | ||||||
204,000 | Nomura Research Institute Ltd. (Software & Services) | 7,297,801 | ||||||
4,300 | Omron Corp. (Technology Hardware & Equipment) | 383,867 | ||||||
37,000 | Ono Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 1,114,988 | ||||||
|
|
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) | ||||||||
Japan – (continued) | ||||||||
5,800 | Paramount Bed Holdings Co. Ltd. (Health Care Equipment & Services) | $ | 264,842 | |||||
4,700 | PeptiDream, Inc. (Pharmaceuticals, Biotechnology & Life Sciences)* | 239,075 | ||||||
130,700 | Rakuten, Inc. (Retailing) | 1,257,704 | ||||||
45,800 | Recruit Holdings Co. Ltd. (Commercial & Professional Services) | 1,923,735 | ||||||
42,400 | Ricoh Co. Ltd. (Technology Hardware & Equipment) | 278,817 | ||||||
62,600 | Rohm Co. Ltd. (Semiconductors & Semiconductor Equipment) | 6,068,492 | ||||||
18,400 | Sapporo Holdings Ltd. (Food, Beverage & Tobacco) | 355,558 | ||||||
37,100 | Seiko Epson Corp. (Technology Hardware & Equipment) | 551,311 | ||||||
4,700 | Shinko Electric Industries Co. Ltd. (Semiconductors & Semiconductor Equipment) | 107,588 | ||||||
12,400 | Shionogi & Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 677,927 | ||||||
31,300 | Ship Healthcare Holdings, Inc. (Health Care Equipment & Services) | 1,743,269 | ||||||
44,900 | SoftBank Group Corp. (Telecommunication Services) | 3,485,815 | ||||||
33,100 | Square Enix Holdings Co. Ltd. (Media & Entertainment) | 2,006,875 | ||||||
66,000 | Subaru Corp. (Automobiles & Components) | 1,320,590 | ||||||
269,100 | Sumitomo Corp. (Capital Goods) | 3,566,370 | ||||||
103,200 | Sumitomo Electric Industries Ltd. (Automobiles & Components) | 1,367,482 | ||||||
62,300 | Sundrug Co. Ltd. (Food & Staples Retailing) | 2,489,939 | ||||||
27,300 | Suntory Beverage & Food Ltd. (Food, Beverage & Tobacco) | 966,950 | ||||||
194,500 | Takeda Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 7,038,833 | ||||||
214,600 | Teijin Ltd. (Materials) | 4,038,366 | ||||||
183,000 | TIS, Inc. (Software & Services) | 3,751,414 | ||||||
20,600 | Tokyo Electron Ltd. (Semiconductors & Semiconductor Equipment) | 7,695,395 | ||||||
9,100 | Tokyo Seimitsu Co. Ltd. (Semiconductors & Semiconductor Equipment) | 428,162 | ||||||
87,200 | Tosoh Corp. (Materials) | 1,362,427 | ||||||
59,800 | Toyota Motor Corp. (Automobiles & Components) | 4,614,773 | ||||||
45,600 | Welcia Holdings Co. Ltd. (Food & Staples Retailing) | 1,720,141 | ||||||
861,500 | Yamada Holdings Co. Ltd. (Retailing) | 4,577,168 | ||||||
930,800 | Z Holdings Corp. (Media & Entertainment) | 5,632,490 | ||||||
|
| |||||||
205,551,401 | ||||||||
|
| |||||||
Luxembourg – 0.6% | ||||||||
51,680 | Eurofins Scientific SE (Pharmaceuticals, Biotechnology & Life Sciences)* | 4,332,946 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Malta – 0.0% | ||||||||
27,379 | Kindred Group plc SDR (Consumer Services) | 267,886 | ||||||
|
| |||||||
Netherlands – 7.3% | ||||||||
7,483 | Akzo Nobel NV (Materials) | 803,185 | ||||||
32,242 | ASM International NV (Semiconductors & Semiconductor Equipment) | 7,035,887 | ||||||
17,088 | ASML Holding NV (Semiconductors & Semiconductor Equipment) | 8,273,620 | ||||||
102,824 | BE Semiconductor Industries NV (Semiconductors & Semiconductor Equipment) | 6,174,719 | ||||||
26,422 | Euronext NV (Diversified Financials)(b) | 2,909,901 | ||||||
22,038 | EXOR NV (Diversified Financials) | 1,790,084 | ||||||
91,568 | ING Groep NV (Banks) | 851,385 | ||||||
209,761 | Koninklijke Ahold Delhaize NV (Food & Staples Retailing) | 5,917,638 | ||||||
38,536 | Koninklijke DSM NV (Materials) | 6,627,081 | ||||||
58,683 | Koninklijke Philips NV (Health Care Equipment & Services)* | 3,161,109 | ||||||
12,965 | Randstad NV (Commercial & Professional Services)* | 839,259 | ||||||
38,543 | Signify NV (Capital Goods)*(b) | 1,618,274 | ||||||
26,538 | Van Lanschot Kempen NV CVA (Banks) | 678,777 | ||||||
82,288 | Wolters Kluwer NV (Commercial & Professional Services) | 6,942,404 | ||||||
|
| |||||||
53,623,323 | ||||||||
|
| |||||||
New Zealand – 0.5% | ||||||||
27,359 | Fisher & Paykel Healthcare Corp. Ltd. (Health Care Equipment & Services) | 649,742 | ||||||
39,174 | Meridian Energy Ltd. (Utilities) | 209,800 | ||||||
25,463 | Xero Ltd. (Software & Services)* | 2,890,030 | ||||||
|
| |||||||
3,749,572 | ||||||||
|
| |||||||
Norway – 1.5% | ||||||||
194,177 | DNB ASA (Banks) | 3,805,016 | ||||||
229,332 | Europris ASA (Retailing)(b) | 1,366,751 | ||||||
431,179 | Orkla ASA (Food, Beverage & Tobacco) | 4,377,517 | ||||||
55,750 | SpareBank 1 SMN (Banks) | 634,518 | ||||||
47,480 | SpareBank 1 SR-Bank ASA (Banks) | 504,138 | ||||||
|
| |||||||
10,687,940 | ||||||||
|
| |||||||
Singapore – 0.9% | ||||||||
352,633 | DBS Group Holdings Ltd. (Banks) | 6,682,653 | ||||||
|
| |||||||
South Africa – 0.9% | ||||||||
191,469 | Anglo American plc (Materials) | 6,322,734 | ||||||
|
| |||||||
Spain – 2.1% | ||||||||
79,623 | ACS Actividades de Construccion y Servicios SA (Capital Goods) | 2,645,326 | ||||||
747,999 | Banco Bilbao Vizcaya Argentaria SA (Banks) | 3,707,537 | ||||||
907,894 | Banco Santander SA (Banks) | 2,831,121 | ||||||
|
|
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, 2020
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Spain – (continued) | ||||||||
222,847 | Bankinter SA (Banks) | $ | 1,208,774 | |||||
41,914 | Cellnex Telecom SA (Telecommunication Services)(b) | 2,517,060 | ||||||
51,852 | EDP Renovaveis SA (Utilities) | 1,444,266 | ||||||
9,993 | Grifols SA (Pharmaceuticals, Biotechnology & Life Sciences) | 291,760 | ||||||
5,542 | Iberdrola SA (Utilities) | 79,640 | ||||||
14,643 | Viscofan SA (Food, Beverage & Tobacco) | 1,038,435 | ||||||
|
| |||||||
15,763,919 | ||||||||
|
| |||||||
Sweden – 3.4% | ||||||||
159,284 | Boliden AB (Materials) | 5,650,977 | ||||||
5,958 | Essity AB Class B (Household & Personal Products) | 191,962 | ||||||
11,225 | Evolution Gaming Group AB (Consumer Services)(b) | 1,128,500 | ||||||
70,149 | Investor AB Class A (Diversified Financials) | 5,080,722 | ||||||
119,326 | Kinnevik AB Class B (Diversified Financials)* | 5,994,536 | ||||||
71,234 | Swedish Match AB (Food, Beverage & Tobacco) | 5,543,486 | ||||||
65,848 | Volvo AB Class B (Capital Goods)* | 1,558,827 | ||||||
|
| |||||||
25,149,010 | ||||||||
|
| |||||||
Switzerland – 11.5% | ||||||||
73,295 | Adecco Group AG (Registered) (Commercial & Professional Services) | 4,881,693 | ||||||
1,002 | Bachem Holding AG (Registered) Class B (Pharmaceuticals, Biotechnology & Life Sciences) | 448,111 | ||||||
7,268 | Baloise Holding AG (Registered) (Insurance) | 1,291,321 | ||||||
11,268 | Lonza Group AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | 7,258,472 | ||||||
111,858 | Nestle SA (Registered) (Food, Beverage & Tobacco) | 13,222,881 | ||||||
32,294 | Novartis AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | 3,040,737 | ||||||
49,106 | Roche Holding AG (Pharmaceuticals, Biotechnology & Life Sciences) | 17,103,549 | ||||||
20,488 | Sonova Holding AG (Registered) (Health Care Equipment & Services)* | 5,328,798 | ||||||
185,782 | STMicroelectronics NV (Semiconductors & Semiconductor Equipment) | 6,931,026 | ||||||
11,728 | Swiss Life Holding AG (Registered) (Insurance)* | 5,470,765 | ||||||
9,401 | Tecan Group AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | 4,611,025 | ||||||
503,453 | UBS Group AG (Registered) (Diversified Financials) | 7,088,537 | ||||||
19,596 | Zurich Insurance Group AG (Insurance) | 8,258,171 | ||||||
|
| |||||||
84,935,086 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
United Kingdom – 8.6% | ||||||||
8,738 | AstraZeneca plc ADR (Pharmaceuticals, Biotechnology & Life Sciences) | 436,813 | ||||||
1,309,916 | Aviva plc (Insurance) | 5,826,550 | ||||||
152,511 | Barratt Developments plc (Consumer Durables & Apparel) | 1,394,271 | ||||||
65,002 | BP plc ADR (Energy) | 1,333,841 | ||||||
59,407 | British American Tobacco plc (Food, Beverage & Tobacco) | 2,206,190 | ||||||
244,887 | CNH Industrial NV (Capital Goods)* | 3,078,332 | ||||||
26,071 | Diageo plc (Food, Beverage & Tobacco) | 1,031,597 | ||||||
47,546 | Dialog Semiconductor plc (Semiconductors & Semiconductor Equipment)* | 2,590,926 | ||||||
194,685 | Experian plc (Commercial & Professional Services) | 7,395,819 | ||||||
332,178 | Fiat Chrysler Automobiles NV (Automobiles & Components)* | 6,001,150 | ||||||
8,321 | Games Workshop Group plc (Consumer Durables & Apparel) | 1,274,124 | ||||||
10,203 | Greggs plc (Consumer Services)* | 249,663 | ||||||
68,702 | Halma plc (Technology Hardware & Equipment) | 2,300,849 | ||||||
86,604 | IG Group Holdings plc (Diversified Financials) | 1,017,350 | ||||||
251,341 | Imperial Brands plc (Food, Beverage & Tobacco) | 5,271,773 | ||||||
1,450,071 | ITV plc (Media & Entertainment)* | 2,113,025 | ||||||
270,098 | JD Sports Fashion plc (Retailing)* | 3,173,178 | ||||||
45,047 | London Stock Exchange Group plc (Diversified Financials) | 5,560,446 | ||||||
22,740 | National Grid plc (Utilities) | 268,728 | ||||||
73,739 | Paragon Banking Group plc (Banks) | 494,216 | ||||||
65,890 | Persimmon plc (Consumer Durables & Apparel) | 2,486,873 | ||||||
71,708 | Phoenix Group Holdings plc (Insurance) | 687,178 | ||||||
2,576 | Reckitt Benckiser Group plc (Household & Personal Products) | 229,919 | ||||||
69,197 | Rentokil Initial plc (Commercial & Professional Services) | 482,453 | ||||||
42,054 | Segro plc (REIT) | 545,682 | ||||||
134,707 | Smith & Nephew plc (Health Care Equipment & Services) | 2,798,197 | ||||||
17,834 | Unilever plc (Household & Personal Products) | 1,069,571 | ||||||
32,292 | Unilever plc ADR (Household & Personal Products) | 1,949,145 | ||||||
293 | Vistry Group plc (Consumer Durables & Apparel)* | 3,766 | ||||||
|
| |||||||
63,271,625 | ||||||||
|
|
42 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
United States – 0.6% | ||||||||
35,211 | Ferguson plc (Capital Goods) | $ | 4,278,149 | |||||
|
| |||||||
TOTAL INVESTMENTS – 100.3% | ||||||||
(Cost $522,006,069) | $ | 737,672,019 | ||||||
|
| |||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS – (0.3)% | (1,865,853 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% | $ | 735,806,166 | ||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Security is currently in default and/or non-income producing. | |
(a) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
(b) | Exempt from registration under Rule 144A of the Securities Act of 1933. | |
(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. |
| ||
Investment Abbreviations: | ||
ADR | —American Depositary Receipt | |
CVA | —Dutch Certification | |
REIT | —Real Estate Investment Trust | |
SDR | —Swedish Depositary Receipt | |
|
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At December 31, 2020, 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 | 03/19/2021 | $ | 4,120,015 | $ | 56,607 | ||||||||||
FTSE 100 Index | 17 | 03/19/2021 | 1,492,490 | (8,107 | ) | |||||||||||
Hang Seng Index | 2 | 01/28/2021 | 351,102 | 10,378 | ||||||||||||
MSCI Singapore Index | 5 | 01/28/2021 | 122,314 | (331 | ) | |||||||||||
SPI 200 Index | 5 | 03/18/2021 | 629,963 | (3,028 | ) | |||||||||||
TOPIX Index | 12 | 03/11/2021 | 2,097,138 | 61,841 | ||||||||||||
Total Futures Contracts | $ | 117,360 |
The accompanying notes are an integral part of these financial statements. | 43 |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Statements of Assets and Liabilities
December 31, 2020
U.S. Equity Dividend and Premium Fund | International Equity Dividend and Premium Fund | U.S. Tax- Equity Fund | International Tax-Managed Equity Fund | |||||||||||||||
Assets: |
| |||||||||||||||||
Investments in unaffiliated issuers, at value (cost $2,024,374,387, $158,317,350, $996,215,006 and $522,006,069)(a) | $ | 2,705,848,711 | $ | 197,043,582 | $ | 1,833,038,973 | $ | 737,672,019 | ||||||||||
Investments in affiliated issuers, at value (cost $61,847,593, $30,000, $0 and $0) | 61,847,593 | 30,000 | — | — | ||||||||||||||
Investments in affiliated securities lending reinvestment vehicle, at value (cost $5,425,300, $0, $1,153,125 and $0) | 5,425,300 | — | 1,153,125 | — | ||||||||||||||
Cash | 3,507,769 | 237,931 | 26,896,920 | 5,041,080 | ||||||||||||||
Foreign currencies, at value (cost $0, $725,931, $0 and $4,780,973) | — | 724,276 | — | 4,888,579 | ||||||||||||||
Receivables: | ||||||||||||||||||
Investments sold | 9,576,736 | 2,477,715 | — | — | ||||||||||||||
Fund shares sold | 4,352,194 | 3,546,226 | 21,498 | 629 | ||||||||||||||
Dividends | 2,543,057 | 306,322 | 1,605,478 | 591,798 | ||||||||||||||
Reimbursement from investment adviser | 47,906 | 43,044 | — | 37,468 | ||||||||||||||
Securities lending income | 10,842 | — | 40 | 177 | ||||||||||||||
Foreign tax reclaims | — | 1,818,967 | — | 2,093,003 | ||||||||||||||
Variation margin on futures | 114,397 | — | — | — | ||||||||||||||
Other assets | 61,840 | 27,206 | 27,454 | 64,305 | ||||||||||||||
Total assets | 2,793,336,345 | 206,255,269 | 1,862,743,488 | 750,389,058 | ||||||||||||||
Liabilities: |
| |||||||||||||||||
Written options, at value (premiums received $27,797,836, $2,136,870, $0 and $0) | 49,891,145 | 2,303,427 | — | — | ||||||||||||||
Variation margin on futures | — | 2,726 | — | 30,700 | ||||||||||||||
Payables: | ||||||||||||||||||
Investments purchased | 21,129,336 | 931,640 | — | — | ||||||||||||||
Payable upon return of securities loaned | 5,425,300 | — | 1,153,125 | — | ||||||||||||||
Fund shares redeemed | 3,099,954 | 1,657,076 | 9,834,788 | 13,770,057 | ||||||||||||||
Management fees | 1,504,203 | 140,327 | 1,033,665 | 527,244 | ||||||||||||||
Distribution and Service fees and Transfer Agency fees | 269,966 | 6,798 | 88,111 | 22,278 | ||||||||||||||
Accrued expenses | 361,080 | 366,314 | 183,475 | 232,613 | ||||||||||||||
Total liabilities | 81,680,984 | 5,408,308 | 12,293,164 | 14,582,892 | ||||||||||||||
Net Assets: |
| |||||||||||||||||
Paid-in capital | 2,055,722,613 | 254,662,372 | 1,032,579,571 | 623,068,302 | ||||||||||||||
Total distributable earnings (loss) | 655,932,748 | (53,815,411 | ) | 817,870,753 | 112,737,864 | |||||||||||||
NET ASSETS | $ | 2,711,655,361 | $ | 200,846,961 | $ | 1,850,450,324 | $ | 735,806,166 | ||||||||||
Net Assets: | ||||||||||||||||||
Class A | $ | 135,936,631 | $ | 2,050,443 | $ | 75,583,903 | $ | 6,662,394 | ||||||||||
Class C | 118,819,349 | 621,154 | 19,501,738 | 1,059,824 | ||||||||||||||
Institutional | 1,252,383,480 | 4,897,447 | 47,997,115 | 9,998,096 | ||||||||||||||
Service | — | — | 1,931,801 | — | ||||||||||||||
Investor | 402,711,398 | 4,287,969 | 15,938,467 | 9,085,441 | ||||||||||||||
Class R6 | 208,584,064 | 102,041,057 | 1,536,722,362 | 640,212,251 | ||||||||||||||
Class P | 593,220,439 | 86,948,891 | 152,774,938 | 68,788,160 | ||||||||||||||
Total Net Assets | $ | 2,711,655,361 | $ | 200,846,961 | $ | 1,850,450,324 | $ | 735,806,166 | ||||||||||
Shares outstanding $0.001 par value (unlimited shares authorized): | ||||||||||||||||||
Class A | 9,570,962 | 286,372 | 2,537,813 | 588,731 | ||||||||||||||
Class C | 8,403,112 | 89,983 | 695,615 | 96,006 | ||||||||||||||
Institutional | 88,468,852 | 698,398 | 1,572,239 | 885,374 | ||||||||||||||
Service | — | — | 64,482 | — | ||||||||||||||
Investor | 28,428,202 | 612,947 | 526,734 | 804,272 | ||||||||||||||
Class R6 | 14,741,337 | 14,555,028 | 50,784,145 | 57,080,654 | ||||||||||||||
Class P | 41,913,526 | 12,384,428 | 5,047,595 | 6,130,272 | ||||||||||||||
Net asset value, offering and redemption price per share:(a) | ||||||||||||||||||
Class A | $14.20 | $7.16 | $29.78 | $11.32 | ||||||||||||||
Class C | 14.14 | 6.90 | 28.04 | 11.04 | ||||||||||||||
Institutional | 14.16 | 7.01 | 30.53 | 11.29 | ||||||||||||||
Service | — | — | 29.96 | — | ||||||||||||||
Investor | 14.17 | 7.00 | 30.26 | 11.30 | ||||||||||||||
Class R6 | 14.15 | 7.01 | 30.26 | 11.22 | ||||||||||||||
Class P | 14.15 | 7.02 | 30.27 | 11.22 |
(a) | Includes loaned securities having a market value of $5,202,552 and $1,092,125, 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 $15.03, $7.58, $31.51 and $11.98, respectively. At redemption, Class C Shares may be subject to a contingent deferred sales charge assessed on the amount equal to the lesser of the current NAV or the original purchase price of the shares. |
44 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Statements of Operations
For the Fiscal Year Ended December 31, 2020
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 $239, $836,775, $15,570 and $1,415,362) | $ | 63,306,165 | $ | 6,070,991 | $ | 16,997,745 | $ | 14,148,515 | ||||||||||
Dividends — affiliated issuers | 84,725 | 532 | 2,069 | 394 | ||||||||||||||
Securities lending income — affiliated issuer | 84,283 | 59 | 23,040 | 9,596 | ||||||||||||||
Interest | 1,820 | — | 242 | — | ||||||||||||||
Income from non-cash dividends | — | 1,566,713 | 4,724,649 | 1,396,245 | ||||||||||||||
Total investment income | 63,476,993 | 7,638,295 | 21,747,745 | 15,554,750 | ||||||||||||||
Expenses: |
| |||||||||||||||||
Management fees | 18,037,978 | 1,727,126 | 11,228,788 | 5,706,458 | ||||||||||||||
Transfer Agency fees(a) | 1,772,856 | 74,375 | 638,890 | 229,188 | ||||||||||||||
Distribution and Service (12b-1) fees(a) | 1,224,189 | 9,711 | 301,673 | 25,121 | ||||||||||||||
Custody, accounting and administrative services | 358,018 | 168,575 | 221,328 | 293,063 | ||||||||||||||
Service fees — Class C | 296,676 | 1,644 | 44,795 | 2,655 | ||||||||||||||
Printing and mailing costs | 215,412 | 41,972 | 64,189 | 48,561 | ||||||||||||||
Registration fees | 153,801 | 90,370 | 108,355 | 103,546 | ||||||||||||||
Professional fees | 116,131 | 124,487 | 113,047 | 122,489 | ||||||||||||||
Trustee fees | 24,714 | 20,805 | 23,199 | 21,553 | ||||||||||||||
Shareholder administration fees — Service Shares | — | — | 4,099 | — | ||||||||||||||
Other | 42,087 | 100,334 | 36,882 | 49,062 | ||||||||||||||
Total expenses | 22,241,862 | 2,359,399 | 12,785,245 | 6,601,696 | ||||||||||||||
Less — expense reductions | (1,393,351 | ) | (415,037 | ) | (95,810 | ) | (562,562 | ) | ||||||||||
Net expenses | 20,848,511 | 1,944,362 | 12,689,435 | 6,039,134 | ||||||||||||||
NET INVESTMENT INCOME | 42,628,482 | 5,693,933 | 9,058,310 | 9,515,616 | ||||||||||||||
Realized and unrealized gain (loss): |
| |||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||||
Investments — unaffiliated issuers | 193,502,499 | (36,233,416 | ) | (7,788,429 | ) | (73,617,559 | ) | |||||||||||
In-kind transactions from affiliated Underlying Funds | — | — | 72,904,346 | — | ||||||||||||||
Futures contracts | 1,949,296 | (457,439 | ) | (178,166 | ) | 133,424 | ||||||||||||
Foreign currency transactions | — | 204,315 | — | 357,431 | ||||||||||||||
Written options | (36,354,796 | ) | (2,950,642 | ) | — | — | ||||||||||||
Net change in unrealized gain (loss) on: |
| |||||||||||||||||
Investments — unaffiliated issuers | 68,489,655 | 22,539,626 | 173,716,486 | 121,707,218 | ||||||||||||||
Futures contracts | 232,467 | (12,168 | ) | — | 162,375 | |||||||||||||
Foreign currency translation | — | 136,803 | — | 816 | ||||||||||||||
Written options | (1,058,935 | ) | (707,860 | ) | — | — | ||||||||||||
Net realized and unrealized gain (loss) | 226,760,186 | (17,480,781 | ) | 238,654,237 | 48,743,705 | |||||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 269,388,668 | $ | (11,786,848 | ) | $ | 247,712,547 | $ | 58,259,321 |
(a) | Class specific Distribution and/or Service, and Transfer Agency fees were as follows: |
Distribution and/or (12b-1) Service Fees | Transfer Agency Fees | |||||||||||||||||||||||||||||||||||||||
Fund | Class A | Class C | Service | Class A | Class C | Institutional | Service | Investor | Class R6 | Class P | ||||||||||||||||||||||||||||||
U.S. Equity Dividend and Premium | $ | 334,160 | $ | 890,029 | N/A | $ | 220,973 | $ | 195,941 | $ | 455,180 | N/A | $ | 666,488 | $ | 63,711 | $ | 170,563 | ||||||||||||||||||||||
International Equity Dividend and Premium | 4,780 | 4,931 | N/A | 3,156 | 1,085 | 2,407 | N/A | 7,730 | 30,915 | 29,082 | ||||||||||||||||||||||||||||||
U.S. Tax-Managed Equity | 163,188 | 134,386 | $ | 4,099 | 107,483 | 29,521 | 17,127 | $ | 656 | 25,673 | 419,614 | 38,816 | ||||||||||||||||||||||||||||
International Tax-Managed Equity | 17,155 | 7,966 | N/A | 11,323 | 1,752 | 4,485 | N/A | 19,481 | 173,862 | 18,285 |
The accompanying notes are an integral part of these financial statements. | 45 |
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 | For the Fiscal Year Ended | For the Fiscal Year Ended | For the Fiscal Year Ended | |||||||||||||||||||
From operations: |
| |||||||||||||||||||||
Net investment income | $ | 42,628,482 | $ | 56,637,798 | $ | 5,693,933 | $ | 9,991,591 | ||||||||||||||
Net realized gain (loss) | 159,096,999 | 115,726,671 | (39,437,182 | ) | (23,307,170 | ) | ||||||||||||||||
Net change in unrealized gain | 67,663,187 | 476,521,746 | 21,956,401 | 56,360,622 | ||||||||||||||||||
Net increase (decrease) in net assets resulting from operations | 269,388,668 | 648,886,215 | (11,786,848 | ) | 43,045,043 | |||||||||||||||||
Distributions to shareholders: |
| |||||||||||||||||||||
From distributable earnings: | ||||||||||||||||||||||
Class A Shares | (8,813,798 | ) | (12,317,992 | ) | (45,797 | ) | (76,488 | ) | ||||||||||||||
Class C Shares | (7,122,278 | ) | (7,963,688 | ) | (11,424 | ) | (19,707 | ) | ||||||||||||||
Institutional Shares | (86,526,760 | ) | (83,155,476 | ) | (139,608 | ) | (386,903 | ) | ||||||||||||||
Investor Shares | (28,195,263 | ) | (30,565,347 | ) | (108,837 | ) | (333,197 | ) | ||||||||||||||
Class R6 Shares | (14,541,591 | ) | (18,521,538 | ) | (2,843,419 | ) | (4,485,573 | ) | ||||||||||||||
Class P Shares | (41,326,407 | ) | (45,356,789 | ) | (2,619,218 | ) | (4,959,202 | ) | ||||||||||||||
Return of capital | ||||||||||||||||||||||
Class A Shares | (34,917 | ) | — | (1,071 | ) | — | ||||||||||||||||
Class C Shares | (32,721 | ) | — | (382 | ) | — | ||||||||||||||||
Institutional Shares | (320,645 | ) | — | (2,873 | ) | — | ||||||||||||||||
Investor Shares | (111,393 | ) | — | (2,391 | ) | — | ||||||||||||||||
Class R6 Shares | (57,937 | ) | — | (57,728 | ) | — | ||||||||||||||||
Class P Shares | (157,363 | ) | — | (53,449 | ) | — | ||||||||||||||||
Total distributions to shareholders | (187,241,073 | ) | (197,880,830 | ) | (5,886,197 | ) | (10,261,070 | ) | ||||||||||||||
From share transactions: |
| |||||||||||||||||||||
Proceeds from sales of shares | 650,146,397 | 555,903,025 | 24,809,273 | 26,833,126 | ||||||||||||||||||
Reinvestment of distributions | 169,859,628 | 178,230,864 | 5,825,672 | 10,142,151 | ||||||||||||||||||
Cost of shares redeemed | (1,193,732,492 | ) | (948,128,821 | ) | (110,895,820 | ) | (85,804,588 | ) | ||||||||||||||
Net decrease in net assets resulting from share transactions | (373,726,467 | ) | (213,994,932 | ) | (80,260,875 | ) | (48,829,311 | ) | ||||||||||||||
TOTAL INCREASE (DECREASE) | (291,578,872 | ) | 237,010,453 | (97,933,920 | ) | (16,045,338 | ) | |||||||||||||||
Net Assets: |
| |||||||||||||||||||||
Beginning of year | 3,003,234,233 | 2,766,223,780 | 298,780,881 | 314,826,219 | ||||||||||||||||||
End of year | $ | 2,711,655,361 | $ | 3,003,234,233 | $ | 200,846,961 | $ | 298,780,881 |
46 | The accompanying notes are an integral part of these financial statements. |
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 | For the Fiscal Year Ended | For the Fiscal Year Ended | For the Fiscal Year Ended | |||||||||||||||||||
From operations: |
| |||||||||||||||||||||
Net investment income | $ | 9,058,310 | $ | 13,942,061 | $ | 9,515,616 | $ | 15,139,736 | ||||||||||||||
Net realized gain (loss) | 64,937,751 | 26,342,323 | (73,126,704 | ) | (17,548,050 | ) | ||||||||||||||||
Net change in unrealized gain | 173,716,486 | 345,516,805 | 121,870,409 | 125,863,582 | ||||||||||||||||||
Net increase in net assets resulting from operations | 247,712,547 | 385,801,189 | 58,259,321 | 123,455,268 | ||||||||||||||||||
Distributions to shareholders: |
| |||||||||||||||||||||
From distributable earnings: | ||||||||||||||||||||||
Class A Shares | (227,570 | ) | (256,162 | ) | (83,262 | ) | (133,362 | ) | ||||||||||||||
Class C Shares | – | — | (4,591 | ) | (5,182 | ) | ||||||||||||||||
Institutional Shares | (272,887 | ) | (302,740 | ) | (142,381 | ) | (311,091 | ) | ||||||||||||||
Service Shares | (3,211 | ) | (4,899 | ) | — | — | ||||||||||||||||
Investor Shares | (78,104 | ) | (125,263 | ) | (120,706 | ) | (337,602 | ) | ||||||||||||||
Class R6 Shares | (9,022,049 | ) | (10,960,763 | ) | (9,502,533 | ) | (12,928,884 | ) | ||||||||||||||
Class P Shares | (892,356 | ) | (956,057 | ) | (998,750 | ) | (1,284,575 | ) | ||||||||||||||
Return of capital | ||||||||||||||||||||||
Class A Shares | (95,505 | ) | — | — | — | |||||||||||||||||
Institutional Shares | (58,669 | ) | — | — | — | |||||||||||||||||
Service Shares | (2,439 | ) | — | — | — | |||||||||||||||||
Investor Shares | (19,743 | ) | — | — | — | |||||||||||||||||
Class R6 Shares | (1,942,310 | ) | — | — | — | |||||||||||||||||
Class P Shares | (188,413 | ) | — | — | — | |||||||||||||||||
Total distributions to shareholders | (12,803,256 | ) | (12,605,884 | ) | (10,852,223 | ) | (15,000,696 | ) | ||||||||||||||
From share transactions: |
| |||||||||||||||||||||
Proceeds from sales of shares | 116,867,565 | 195,337,423 | 81,613,669 | 93,090,956 | ||||||||||||||||||
Proceeds paid in connection with in-kind transactions | (92,360,000 | ) | (25,670,000 | ) | — | — | ||||||||||||||||
Reinvestment of distributions | 12,717,767 | 12,530,951 | 10,851,335 | 14,995,925 | ||||||||||||||||||
Cost of shares redeemed | (291,799,400 | ) | (172,378,629 | ) | (175,459,100 | ) | (82,269,248 | ) | ||||||||||||||
Net increase (decrease) in net assets resulting from share transactions | (254,574,068 | ) | 9,819,745 | (82,994,096 | ) | 25,817,633 | ||||||||||||||||
TOTAL INCREASE (DECREASE) | (19,664,777 | ) | 383,015,050 | (35,586,998 | ) | 134,272,205 | ||||||||||||||||
Net Assets: |
| |||||||||||||||||||||
Beginning of year | 1,870,115,101 | 1,487,100,051 | 771,393,164 | 637,120,959 | ||||||||||||||||||
End of year | $ | 1,850,450,324 | $ | 1,870,115,101 | $ | 735,806,166 | $ | 771,393,164 |
The accompanying notes are an integral part of these financial statements. | 47 |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Selected Data for a Share Outstanding Throughout Each Year
Goldman Sachs U.S. Equity Dividend and Premium Fund | ||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 13.38 | $ | 11.46 | $ | 13.16 | $ | 12.11 | $ | 11.34 | ||||||||||||
Net investment income(a) | 0.18 | 0.21 | 0.21 | 0.19 | 0.20 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.61 | 2.57 | (1.05 | ) | 1.61 | 1.21 | ||||||||||||||||
Total from investment operations | 1.79 | 2.78 | (0.84 | ) | 1.80 | 1.41 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.19 | ) | (0.21 | ) | (0.22 | ) | (0.19 | ) | (0.19 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.78 | ) | (0.65 | ) | (0.64 | ) | (0.56 | ) | (0.45 | ) | ||||||||||||
Distributions to shareholders from return of capital | — | (b) | — | — | — | — | ||||||||||||||||
Total distributions | (0.97 | ) | (0.86 | ) | (0.86 | ) | (0.75 | ) | (0.64 | ) | ||||||||||||
Net asset value, end of year | $ | 14.20 | $ | 13.38 | $ | 11.46 | $ | 13.16 | $ | 12.11 | ||||||||||||
Total return(c) | 13.62 | % | 24.62 | % | (6.63 | )% | 14.83 | % | 12.73 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 135,937 | $ | 195,689 | $ | 187,524 | $ | 275,451 | $ | 294,401 | ||||||||||||
Ratio of net expenses to average net assets | 1.09 | % | 1.12 | % | 1.12 | % | 1.13 | % | 1.16 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.15 | % | 1.16 | % | 1.15 | % | 1.15 | % | 1.19 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.41 | % | 1.65 | % | 1.61 | % | 1.47 | % | 1.67 | % | ||||||||||||
Portfolio turnover rate(d) | 39 | % | 26 | % | 37 | % | 34 | % | 23 | % |
(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. |
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 | ||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 13.33 | $ | 11.41 | $ | 13.11 | �� | $ | 12.07 | $ | 11.31 | |||||||||||
Net investment income(a) | 0.08 | 0.12 | 0.11 | 0.10 | 0.11 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.60 | 2.57 | (1.05 | ) | 1.60 | 1.21 | ||||||||||||||||
Total from investment operations | 1.68 | 2.69 | (0.94 | ) | 1.70 | 1.32 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.09 | ) | (0.12 | ) | (0.12 | ) | (0.10 | ) | (0.11 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.78 | ) | (0.65 | ) | (0.64 | ) | (0.56 | ) | (0.45 | ) | ||||||||||||
Distributions to shareholders from return of capital | — | (b) | — | — | — | — | ||||||||||||||||
Total distributions | (0.87 | ) | (0.77 | ) | (0.76 | ) | (0.66 | ) | (0.56 | ) | ||||||||||||
Net asset value, end of year | $ | 14.14 | $ | 13.33 | $ | 11.41 | $ | 13.11 | $ | 12.07 | ||||||||||||
Total return(c) | 12.83 | % | 23.72 | % | (7.38 | )% | 13.99 | % | 11.92 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 118,819 | $ | 141,029 | $ | 139,580 | $ | 177,178 | $ | 142,909 | ||||||||||||
Ratio of net expenses to average net assets | 1.84 | % | 1.87 | % | 1.87 | % | 1.88 | % | 1.91 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.90 | % | 1.91 | % | 1.90 | % | 1.90 | % | 1.94 | % | ||||||||||||
Ratio of net investment income to average net assets | 0.64 | % | 0.90 | % | 0.86 | % | 0.76 | % | 0.92 | % | ||||||||||||
Portfolio turnover rate(d) | 39 | % | 26 | % | 37 | % | 34 | % | 23 | % |
(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. | 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 | ||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 13.35 | $ | 11.43 | $ | 13.13 | $ | 12.09 | $ | 11.31 | ||||||||||||
Net investment income(a) | 0.23 | 0.26 | 0.27 | 0.24 | 0.24 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.60 | 2.57 | (1.06 | ) | 1.60 | 1.22 | ||||||||||||||||
Total from investment operations | 1.83 | 2.83 | (0.79 | ) | 1.84 | 1.46 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.24 | ) | (0.26 | ) | (0.27 | ) | (0.24 | ) | (0.23 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.78 | ) | (0.65 | ) | (0.64 | ) | (0.56 | ) | (0.45 | ) | ||||||||||||
Distributions to shareholders from return of capital | — | (b) | — | — | — | — | ||||||||||||||||
Total distributions | (1.02 | ) | (0.91 | ) | (0.91 | ) | (0.80 | ) | (0.68 | ) | ||||||||||||
Net asset value, end of year | $ | 14.16 | $ | 13.35 | $ | 11.43 | $ | 13.13 | $ | 12.09 | ||||||||||||
Total return(c) | 14.12 | % | 25.06 | % | (6.28 | )% | 15.31 | % | 13.17 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 1,252,383 | $ | 1,242,858 | $ | 1,106,179 | $ | 2,565,883 | $ | 2,062,756 | ||||||||||||
Ratio of net expenses to average net assets | 0.72 | % | 0.75 | % | 0.74 | % | 0.74 | % | 0.76 | % | ||||||||||||
Ratio of total expenses to average net assets | 0.78 | % | 0.77 | % | 0.76 | % | 0.76 | % | 0.79 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.73 | % | 2.02 | % | 2.01 | % | 1.89 | % | 2.07 | % | ||||||||||||
Portfolio turnover rate(d) | 39 | % | 26 | % | 37 | % | 34 | % | 23 | % |
(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. |
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 Year
Goldman Sachs U.S. Equity Dividend and Premium Fund | ||||||||||||||||||||||
Investor Shares(a) | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 13.36 | $ | 11.44 | $ | 13.14 | $ | 12.10 | $ | 11.33 | ||||||||||||
Net investment income(b) | 0.21 | 0.25 | 0.25 | 0.23 | 0.23 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.60 | 2.57 | (1.06 | ) | 1.60 | 1.21 | ||||||||||||||||
Total from investment operations | 1.81 | 2.82 | (0.81 | ) | 1.83 | 1.44 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.22 | ) | (0.25 | ) | (0.25 | ) | (0.23 | ) | (0.22 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.78 | ) | (0.65 | ) | (0.64 | ) | (0.56 | ) | (0.45 | ) | ||||||||||||
Distributions to shareholders from return of capital | — | (c) | — | — | — | — | ||||||||||||||||
Total distributions | (1.00 | ) | (0.90 | ) | (0.89 | ) | (0.79 | ) | (0.67 | ) | ||||||||||||
Net asset value, end of year | $ | 14.17 | $ | 13.36 | $ | 11.44 | $ | 13.14 | $ | 12.10 | ||||||||||||
Total return(d) | 13.90 | % | 25.00 | % | (6.47 | )% | 15.18 | % | 12.92 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 402,711 | $ | 468,254 | $ | 432,136 | $ | 473,178 | $ | 174,527 | ||||||||||||
Ratio of net expenses to average net assets | 0.83 | % | 0.87 | % | 0.87 | % | 0.88 | % | 0.91 | % | ||||||||||||
Ratio of total expenses to average net assets | 0.90 | % | 0.91 | % | 0.90 | % | 0.90 | % | 0.94 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.64 | % | 1.90 | % | 1.86 | % | 1.76 | % | 1.90 | % | ||||||||||||
Portfolio turnover rate(e) | 39 | % | 26 | % | 37 | % | 34 | % | 23 | % |
(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. | 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, | April 30, 2018* to December 31, 2018 | |||||||||||||
2020 | 2019 | |||||||||||||
Per Share Data | ||||||||||||||
Net asset value, beginning of period | $ | 13.34 | $ | 11.42 | $ | 12.84 | ||||||||
Net investment income(a) | 0.23 | 0.26 | 0.17 | |||||||||||
Net realized and unrealized gain (loss) | 1.60 | 2.57 | (0.75 | ) | ||||||||||
Total from investment operations | 1.83 | 2.83 | (0.58 | ) | ||||||||||
Distributions to shareholders from net investment income | (0.24 | ) | (0.26 | ) | (0.20 | ) | ||||||||
Distributions to shareholders from net realized gains | (0.78 | ) | (0.65 | ) | (0.64 | ) | ||||||||
Distributions to shareholders from return of capital | — | (b) | — | — | ||||||||||
Total distributions | (1.02 | ) | (0.91 | ) | (0.84 | ) | ||||||||
Net asset value, end of period | $ | 14.15 | $ | 13.34 | $ | 11.42 | ||||||||
Total return(c) | 14.13 | % | 25.09 | % | (4.78 | )% | ||||||||
Net assets, end of period (in 000s) | $ | 208,584 | $ | 275,973 | $ | 252,381 | ||||||||
Ratio of net expenses to average net assets | 0.72 | % | 0.74 | % | 0.73 | %(d) | ||||||||
Ratio of total expenses to average net assets | 0.77 | % | 0.76 | % | 0.76 | %(d) | ||||||||
Ratio of net investment income to average net assets | 1.77 | % | 2.03 | % | 1.91 | %(d) | ||||||||
Portfolio turnover rate(e) | 39 | % | 26 | % | 37 | % |
* | 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. |
52 | 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, | April 17, 2018* to December 31, 2018 | |||||||||||||
2020 | 2019 | |||||||||||||
Per Share Data | ||||||||||||||
Net asset value, beginning of period | $ | 13.34 | $ | 11.43 | $ | 13.12 | ||||||||
Net investment income(a) | 0.23 | 0.26 | 0.18 | |||||||||||
Net realized and unrealized gain (loss) | 1.60 | 2.56 | (1.03 | ) | ||||||||||
Total from investment operations | 1.83 | 2.82 | (0.85 | ) | ||||||||||
Distributions to shareholders from net investment income | (0.24 | ) | (0.26 | ) | (0.20 | ) | ||||||||
Distributions to shareholders from net realized gains | (0.78 | ) | (0.65 | ) | (0.64 | ) | ||||||||
Distributions to shareholders from return of capital | — | (b) | — | — | ||||||||||
Total distributions | (1.02 | ) | (0.91 | ) | (0.84 | ) | ||||||||
Net asset value, end of period | $ | 14.15 | $ | 13.34 | $ | 11.43 | ||||||||
Total return(c) | 14.05 | % | 25.07 | % | (6.73 | )% | ||||||||
Net assets, end of period (in 000s) | $ | 593,220 | $ | 679,431 | $ | 648,424 | ||||||||
Ratio of net expenses to average net assets | 0.72 | % | 0.74 | % | 0.73 | %(d) | ||||||||
Ratio of total expenses to average net assets | 0.77 | % | 0.76 | % | 0.76 | %(d) | ||||||||
Ratio of net investment income to average net assets | 1.76 | % | 2.03 | % | 1.93 | %(d) | ||||||||
Portfolio turnover rate(e) | 39 | % | 26 | % | 37 | % |
* | 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. |
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 A Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 7.28 | $ | 6.55 | $ | 7.76 | $ | 6.43 | $ | 6.56 | ||||||||||||
Net investment income(a) | 0.15 | 0.20 | 0.20 | 0.15 | 0.18 | |||||||||||||||||
Net realized and unrealized gain (loss) | (0.11 | ) | 0.73 | (1.22 | ) | 1.34 | (0.14 | ) | ||||||||||||||
Total from investment operations | 0.04 | 0.93 | (1.02 | ) | 1.49 | 0.04 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.16 | ) | (0.20 | ) | (0.19 | ) | (0.16 | ) | (0.17 | ) | ||||||||||||
Distributions to shareholders from return of capital | — | (b) | — | — | — | — | ||||||||||||||||
Total distributions | (0.16 | ) | (0.20 | ) | (0.19 | ) | (0.16 | ) | (0.17 | ) | ||||||||||||
Net asset value, end of year | $ | 7.16 | $ | 7.28 | $ | 6.55 | $ | 7.76 | $ | 6.43 | ||||||||||||
Total return(c) | 0.93 | % | 14.42 | % | (13.34 | )% | 23.36 | % | 0.66 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 2,050 | $ | 2,424 | $ | 2,232 | $ | 3,962 | $ | 5,968 | ||||||||||||
Ratio of net expenses to average net assets | 1.27 | % | 1.33 | % | 1.34 | % | 1.34 | % | 1.37 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.48 | % | 1.44 | % | 1.38 | % | 1.34 | % | 1.38 | % | ||||||||||||
Ratio of net investment income to average net assets | 2.39 | % | 2.86 | % | 2.71 | % | 2.16 | % | 2.87 | % | ||||||||||||
Portfolio turnover rate(d) | 34 | % | 9 | % | 14 | % | 17 | % | 18 | % |
(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. |
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 | ||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 7.02 | $ | 6.32 | $ | 7.48 | $ | 6.21 | $ | 6.35 | ||||||||||||
Net investment income(a) | 0.10 | 0.14 | 0.16 | 0.09 | 0.12 | |||||||||||||||||
Net realized and unrealized gain (loss) | (0.11 | ) | 0.71 | (1.20 | ) | 1.30 | (0.14 | ) | ||||||||||||||
Total from investment operations | (0.01 | ) | 0.85 | (1.04 | ) | 1.39 | (0.02 | ) | ||||||||||||||
Distributions to shareholders from net investment income | (0.11 | ) | (0.15 | ) | (0.12 | ) | (0.12 | ) | (0.12 | ) | ||||||||||||
Distributions to shareholders from return of capital | — | (b) | — | — | — | — | ||||||||||||||||
Total Distributions | (0.11 | ) | (0.15 | ) | (0.12 | ) | (0.12 | ) | (0.12 | ) | ||||||||||||
Net asset value, end of year | $ | 6.90 | $ | 7.02 | $ | 6.32 | $ | 7.48 | $ | 6.21 | ||||||||||||
Total return(c) | 0.18 | % | 13.54 | % | (14.01 | )% | 22.50 | % | (0.21 | )% | ||||||||||||
Net assets, end of year (in 000s) | $ | 621 | $ | 815 | $ | 1,252 | $ | 4,276 | $ | 2,549 | ||||||||||||
Ratio of net expenses to average net assets | 2.02 | % | 2.08 | % | 2.09 | % | 2.09 | % | 2.12 | % | ||||||||||||
Ratio of total expenses to average net assets | 2.23 | % | 2.19 | % | 2.11 | % | 2.09 | % | 2.13 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.63 | % | 2.11 | % | 2.24 | % | 1.29 | % | 2.00 | % | ||||||||||||
Portfolio turnover rate(d) | 34 | % | 9 | % | 14 | % | 17 | % | 18 | % |
(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. | 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 | ||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 7.14 | $ | 6.42 | $ | 7.62 | $ | 6.32 | $ | 6.46 | ||||||||||||
Net investment income(a) | 0.16 | 0.22 | 0.31 | 0.18 | 0.19 | |||||||||||||||||
Net realized and unrealized gain (loss) | (0.10 | ) | 0.73 | (1.29 | ) | 1.31 | (0.14 | ) | ||||||||||||||
Total from investment operations | 0.06 | 0.95 | (0.98 | ) | 1.49 | 0.05 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.19 | ) | (0.23 | ) | (0.22 | ) | (0.19 | ) | (0.19 | ) | ||||||||||||
Distributions to shareholders from return of capital | — | (b) | — | — | — | — | ||||||||||||||||
Total Distributions | (0.19 | ) | (0.23 | ) | (0.22 | ) | (0.19 | ) | (0.19 | ) | ||||||||||||
Net asset value, end of year | $ | 7.01 | $ | 7.14 | $ | 6.42 | $ | 7.62 | $ | 6.32 | ||||||||||||
Total return(c) | 1.18 | % | 14.82 | % | (12.96 | )% | 23.85 | % | 0.92 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 4,897 | $ | 12,005 | $ | 15,696 | $ | 399,955 | $ | 307,311 | ||||||||||||
Ratio of net expenses to average net assets | 0.92 | % | 0.95 | % | 0.95 | % | 0.95 | % | 0.97 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.10 | % | 1.06 | % | 0.95 | % | 0.95 | % | 0.98 | % | ||||||||||||
Ratio of net investment income to average net assets | 2.51 | % | 3.28 | % | 4.12 | % | 2.58 | % | 3.08 | % | ||||||||||||
Portfolio turnover rate(d) | 34 | % | 9 | % | 14 | % | 17 | % | 18 | % |
(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. |
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 Year
Goldman Sachs International Equity Dividend and Premium Fund | ||||||||||||||||||||||
Investor Shares(a) | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 7.12 | $ | 6.41 | $ | 7.60 | $ | 6.31 | $ | 6.44 | ||||||||||||
Net investment income(b) | 0.15 | 0.21 | 0.20 | 0.17 | 0.17 | |||||||||||||||||
Net realized and unrealized gain (loss) | (0.09 | ) | 0.72 | (1.18 | ) | 1.30 | (0.11 | ) | ||||||||||||||
Total from investment operations | 0.06 | 0.93 | (0.98 | ) | 1.47 | 0.06 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.18 | ) | (0.22 | ) | (0.21 | ) | (0.18 | ) | (0.19 | ) | ||||||||||||
Distributions to shareholders from return of capital | — | (c) | — | — | — | — | ||||||||||||||||
Total distributions | (0.18 | ) | (0.22 | ) | (0.21 | ) | (0.18 | ) | (0.19 | ) | ||||||||||||
Net asset value, end of year | $ | 7.00 | $ | 7.12 | $ | 6.41 | $ | 7.60 | $ | 6.31 | ||||||||||||
Total return(d) | 1.20 | % | 14.71 | % | (13.10 | )% | 23.58 | % | 0.96 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 4,288 | $ | 8,915 | $ | 8,207 | $ | 6,048 | $ | 2,111 | ||||||||||||
Ratio of net expenses to average net assets | 1.03 | % | 1.08 | % | 1.09 | % | 1.09 | % | 1.12 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.23 | % | 1.19 | % | 1.14 | % | 1.09 | % | 1.13 | % | ||||||||||||
Ratio of net investment income to average net assets | 2.39 | % | 3.14 | % | 2.76 | % | 2.36 | % | 2.64 | % | ||||||||||||
Portfolio turnover rate(e) | 34 | % | 9 | % | 14 | % | 17 | % | 18 | % |
(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. | 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, | April 30, 2018* to December 31, 2018 | |||||||||||||
2020 | 2019 | |||||||||||||
Per Share Data | ||||||||||||||
Net asset value, beginning of period | $ | 7.13 | $ | 6.42 | $ | 7.60 | ||||||||
Net investment income(a) | 0.17 | 0.22 | 0.08 | |||||||||||
Net realized and unrealized gain (loss) | (0.10 | ) | 0.72 | (1.07 | ) | |||||||||
Total from investment operations | 0.07 | 0.94 | (0.99 | ) | ||||||||||
Distributions to shareholders from net investment income | (0.19 | ) | (0.23 | ) | (0.19 | ) | ||||||||
Distributions to shareholders from return of capital | — | (b) | — | — | ||||||||||
Total distributions | (0.19 | ) | (0.23 | ) | (0.19 | ) | ||||||||
Net asset value, end of period | $ | 7.01 | $ | 7.13 | $ | 6.42 | ||||||||
Total return(c) | 1.34 | % | 14.85 | % | (13.25 | )% | ||||||||
Net assets, end of period (in 000s) | $ | 102,041 | $ | 136,241 | $ | 125,311 | ||||||||
Ratio of net expenses to average net assets | 0.90 | % | 0.94 | % | 0.93 | %(d) | ||||||||
Ratio of total expenses to average net assets | 1.10 | % | 1.05 | % | 1.03 | %(d) | ||||||||
Ratio of net investment income to average net assets | 2.70 | % | 3.23 | % | 1.81 | %(d) | ||||||||
Portfolio turnover rate(e) | 34 | % | 9 | % | 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 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 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, | April 17, 2018* to December 31, 2018 | |||||||||||||
2020 | 2019 | |||||||||||||
Per Share Data | ||||||||||||||
Net asset value, beginning of period | $ | 7.14 | $ | 6.43 | $ | 7.71 | ||||||||
Net investment income(a) | 0.17 | 0.22 | 0.09 | |||||||||||
Net realized and unrealized gain (loss) | (0.10 | ) | 0.72 | (1.18 | ) | |||||||||
Total from investment operations | 0.07 | 0.94 | (1.09 | ) | ||||||||||
Distributions to shareholders from net investment income | (0.19 | ) | (0.23 | ) | (0.19 | ) | ||||||||
Distributions to shareholders from return of capital | — | (b) | — | — | ||||||||||
Total distributions | (0.19 | ) | (0.23 | ) | (0.19 | ) | ||||||||
Net asset value, end of period | $ | 7.02 | $ | 7.14 | $ | 6.43 | ||||||||
Total return(c) | 1.33 | % | 14.83 | % | (14.35 | )% | ||||||||
Net assets, end of period (in 000s) | $ | 86,949 | $ | 138,381 | $ | 162,129 | ||||||||
Ratio of net expenses to average net assets | 0.90 | % | 0.94 | % | 0.93 | %(d) | ||||||||
Ratio of total expenses to average net assets | 1.10 | % | 1.05 | % | 1.03 | %(d) | ||||||||
Ratio of net investment income to average net assets | 2.67 | % | 3.26 | % | 1.81 | %(d) | ||||||||
Portfolio turnover rate(e) | 34 | % | 9 | % | 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 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 A Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 25.54 | $ | 20.43 | $ | 22.37 | $ | 18.75 | $ | 17.28 | ||||||||||||
Net investment income(a) | 0.06 | 0.11 | 0.10 | 0.13 | 0.11 | |||||||||||||||||
Net realized and unrealized gain (loss) | 4.31 | 5.09 | (1.93 | ) | 3.60 | 1.47 | ||||||||||||||||
Total from investment operations | 4.37 | 5.20 | (1.83 | ) | 3.73 | 1.58 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.09 | ) | (0.09 | ) | (0.11 | ) | (0.11 | ) | (0.11 | ) | ||||||||||||
Distributions to shareholders from return of capital | (0.04 | ) | — | — | — | — | ||||||||||||||||
Total distributions | (0.13 | ) | (0.09 | ) | (0.11 | ) | (0.11 | ) | (0.11 | ) | ||||||||||||
Net asset value, end of year | $ | 29.78 | $ | 25.54 | $ | 20.43 | $ | 22.37 | $ | 18.75 | ||||||||||||
Total return(b) | 17.06 | % | 25.48 | % | (8.15 | )% | 19.88 | % | 9.09 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 75,584 | $ | 68,427 | $ | 57,833 | $ | 50,218 | $ | 51,206 | ||||||||||||
Ratio of net expenses to average net assets | 1.08 | % | 1.10 | % | 1.14 | % | 1.15 | % | 1.17 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.12 | % | 1.13 | % | 1.14 | % | 1.15 | % | 1.17 | % | ||||||||||||
Ratio of net investment income to average net assets | 0.24 | % | 0.47 | % | 0.44 | % | 0.61 | % | 0.61 | % | ||||||||||||
Portfolio turnover rate(c) | 177 | % | 205 | % | 152 | % | 108 | % | 118 | % |
(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. |
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 | ||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 24.11 | $ | 19.36 | $ | 21.24 | $ | 17.86 | $ | 16.48 | ||||||||||||
Net investment loss(a) | (0.13 | ) | (0.06 | ) | (0.07 | ) | (0.03 | ) | (0.02 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 4.06 | 4.81 | (1.81 | ) | 3.41 | 1.40 | ||||||||||||||||
Total from investment operations | 3.93 | 4.75 | (1.88 | ) | 3.38 | 1.38 | ||||||||||||||||
Net asset value, end of year | $ | 28.04 | $ | 24.11 | $ | 19.36 | $ | 21.24 | $ | 17.86 | ||||||||||||
Total return(b) | 16.25 | % | 24.54 | % | (8.85 | )% | 18.93 | % | 8.35 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 19,502 | $ | 18,341 | $ | 14,380 | $ | 22,337 | $ | 22,512 | ||||||||||||
Ratio of net expenses to average net assets | 1.83 | % | 1.85 | % | 1.88 | % | 1.90 | % | 1.92 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.87 | % | 1.88 | % | 1.89 | % | 1.90 | % | 1.92 | % | ||||||||||||
Ratio of net investment loss to average net assets | (0.53 | )% | (0.28 | )% | (0.33 | )% | (0.14 | )% | (0.15 | )% | ||||||||||||
Portfolio turnover rate(c) | 177 | % | 205 | % | 152 | % | 108 | % | 118 | % |
(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 | ||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 26.16 | $ | 20.91 | $ | 22.71 | $ | 19.04 | $ | 17.53 | ||||||||||||
Net investment income(a) | 0.15 | 0.20 | 0.19 | 0.21 | 0.18 | |||||||||||||||||
Net realized and unrealized gain (loss) | 4.43 | 5.23 | (1.97 | ) | 3.65 | 1.51 | ||||||||||||||||
Total from investment operations | 4.58 | 5.43 | (1.78 | ) | 3.86 | 1.69 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.17 | ) | (0.18 | ) | (0.02 | ) | (0.19 | ) | (0.18 | ) | ||||||||||||
Distributions to shareholders from return of capital | (0.04 | ) | — | — | — | — | ||||||||||||||||
Total distributions | (0.21 | ) | (0.18 | ) | (0.02 | ) | (0.19 | ) | (0.18 | ) | ||||||||||||
Net asset value, end of year | $ | 30.53 | $ | 26.16 | $ | 20.91 | $ | 22.71 | $ | 19.04 | ||||||||||||
Total return(b) | 17.48 | % | 25.90 | % | (7.78 | )% | 20.29 | % | 9.61 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 47,997 | $ | 45,718 | $ | 34,812 | $ | 1,395,335 | $ | 1,057,850 | ||||||||||||
Ratio of net expenses to average net assets | 0.74 | % | 0.74 | % | 0.74 | % | 0.75 | % | 0.77 | % | ||||||||||||
Ratio of total expenses to average net assets | 0.75 | % | 0.75 | % | 0.74 | % | 0.75 | % | 0.77 | % | ||||||||||||
Ratio of net investment income to average net assets | 0.56 | % | 0.83 | % | 0.79 | % | 1.02 | % | 1.01 | % | ||||||||||||
Portfolio turnover rate(c) | 177 | % | 205 | % | 152 | % | 108 | % | 118 | % |
(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 | ||||||||||||||||||||||
Service Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 25.70 | $ | 20.57 | $ | 22.51 | $ | 18.88 | $ | 17.33 | ||||||||||||
Net investment income(a) | 0.02 | 0.08 | 0.08 | 0.11 | 0.09 | |||||||||||||||||
Net realized and unrealized gain (loss) | 4.33 | 5.13 | (1.94 | ) | 3.61 | 1.49 | ||||||||||||||||
Total from investment operations | 4.35 | 5.21 | (1.86 | ) | 3.72 | 1.58 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.05 | ) | (0.08 | ) | (0.08 | ) | (0.09 | ) | (0.03 | ) | ||||||||||||
Distributions to shareholders from return of capital | (0.04 | ) | — | — | — | — | ||||||||||||||||
Total distributions | (0.09 | ) | (0.08 | ) | (0.08 | ) | (0.09 | ) | (0.03 | ) | ||||||||||||
Net asset value, end of year | $ | 29.96 | $ | 25.70 | $ | 20.57 | $ | 22.51 | $ | 18.88 | ||||||||||||
Total return(b) | 16.87 | % | 25.31 | % | (8.26 | )% | 19.71 | % | 9.07 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 1,932 | $ | 1,649 | $ | 732 | $ | 736 | $ | 614 | ||||||||||||
Ratio of net expenses to average net assets | 1.24 | % | 1.24 | % | 1.25 | % | 1.25 | % | 1.27 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % | 1.27 | % | ||||||||||||
Ratio of net investment income to average net assets | 0.08 | % | 0.33 | % | 0.33 | % | 0.52 | % | 0.53 | % | ||||||||||||
Portfolio turnover rate(c) | 177 | % | 205 | % | 152 | % | 108 | % | 118 | % |
(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. | 63 |
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, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 25.93 | $ | 20.73 | $ | 22.70 | $ | 19.03 | $ | 17.54 | ||||||||||||
Net investment income(b) | 0.12 | 0.17 | 0.16 | 0.18 | 0.15 | |||||||||||||||||
Net realized and unrealized gain (loss) | 4.40 | 5.18 | (1.97 | ) | 3.65 | 1.50 | ||||||||||||||||
Total from investment operations | 4.52 | 5.35 | (1.81 | ) | 3.83 | 1.65 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.15 | ) | (0.15 | ) | (0.16 | ) | (0.16 | ) | (0.16 | ) | ||||||||||||
Distributions to shareholders from return of capital | (0.04 | ) | — | — | — | — | ||||||||||||||||
Total distributions | (0.19 | ) | (0.15 | ) | (0.16 | ) | (0.16 | ) | (0.16 | ) | ||||||||||||
Net asset value, end of year | $ | 30.26 | $ | 25.93 | $ | 20.73 | $ | 22.70 | $ | 19.03 | ||||||||||||
Total return(c) | 17.38 | % | 25.82 | % | (7.95 | )% | 20.14 | % | 9.40 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 15,938 | $ | 21,591 | $ | 17,894 | $ | 17,251 | $ | 14,262 | ||||||||||||
Ratio of net expenses to average net assets | 0.83 | % | 0.85 | % | 0.89 | % | 0.90 | % | 0.92 | % | ||||||||||||
Ratio of total expenses to average net assets | 0.87 | % | 0.88 | % | 0.89 | % | 0.90 | % | 0.93 | % | ||||||||||||
Ratio of net investment income to average net assets | 0.46 | % | 0.72 | % | 0.68 | % | 0.88 | % | 0.84 | % | ||||||||||||
Portfolio turnover rate(d) | 177 | % | 205 | % | 152 | % | 108 | % | 118 | % |
(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. |
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, | April 30, 2018* to December 31, 2018 | |||||||||||||
2020 | 2019 | |||||||||||||
Per Share Data | ||||||||||||||
Net asset value, beginning of period | $ | 25.93 | $ | 20.73 | $ | 22.93 | ||||||||
Net investment income(a) | 0.15 | 0.20 | 0.13 | |||||||||||
Net realized and unrealized gain (loss) | 4.40 | 5.18 | (2.14 | ) | ||||||||||
Total from investment operations | 4.55 | 5.38 | (2.01 | ) | ||||||||||
Distributions to shareholders from net investment income | (0.18 | ) | (0.18 | ) | (0.19 | ) | ||||||||
Distributions to shareholders from return of capital | (0.04 | ) | — | — | ||||||||||
Total distributions | (0.22 | ) | (0.18 | ) | (0.19 | ) | ||||||||
Net asset value, end of period | $ | 30.26 | $ | 25.93 | $ | 20.73 | ||||||||
Total return(b) | 17.49 | % | 25.96 | % | (8.72 | )% | ||||||||
Net assets, end of period (in 000s) | $ | 1,536,722 | $ | 1,575,990 | $ | 1,263,556 | ||||||||
Ratio of net expenses to average net assets | 0.73 | % | 0.73 | % | 0.74 | %(c) | ||||||||
Ratio of total expenses to average net assets | 0.74 | % | 0.74 | % | 0.74 | %(c) | ||||||||
Ratio of net investment income to average net assets | 0.57 | % | 0.84 | % | 0.85 | %(c) | ||||||||
Portfolio turnover rate(d) | 177 | % | 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 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, | April 17, 2018* to December 31, 2018 | |||||||||||||
2020 | 2019 | |||||||||||||
Per Share Data | ||||||||||||||
Net asset value, beginning of period | $ | 25.94 | $ | 20.74 | $ | 23.43 | ||||||||
Net investment income(a) | 0.15 | 0.20 | 0.16 | |||||||||||
Net realized and unrealized gain (loss) | 4.40 | 5.18 | (2.66 | ) | ||||||||||
Total from investment operations | 4.55 | 5.38 | (2.50 | ) | ||||||||||
Distributions to shareholders from net investment income | (0.18 | ) | (0.18 | ) | (0.19 | ) | ||||||||
Distributions to shareholders from return of capital | (0.04 | ) | — | — | ||||||||||
Total distributions | (0.22 | ) | (0.18 | ) | (0.19 | ) | ||||||||
Net asset value, end of period | $ | 30.27 | $ | 25.94 | $ | 20.74 | ||||||||
Total return(b) | 17.48 | % | 25.94 | % | (10.62 | )% | ||||||||
Net assets, end of period (in 000s) | $ | 152,775 | $ | 138,399 | $ | 97,892 | ||||||||
Ratio of net expenses to average net assets | 0.73 | % | 0.73 | % | 0.74 | %(c) | ||||||||
Ratio of total expenses to average net assets | 0.74 | % | 0.74 | % | 0.75 | %(c) | ||||||||
Ratio of net investment income to average net assets | 0.59 | % | 0.83 | % | 0.95 | %(c) | ||||||||
Portfolio turnover rate(d) | 177 | % | 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. |
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 A Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 10.43 | $ | 8.93 | $ | 10.93 | $ | 8.62 | $ | 8.67 | ||||||||||||
Net investment income(a) | 0.10 | 0.18 | 0.18 | 0.11 | 0.12 | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.92 | 1.49 | (2.03 | ) | 2.38 | (0.04 | ) | |||||||||||||||
Total from investment operations | 1.02 | 1.67 | (1.85 | ) | 2.49 | 0.08 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.13 | ) | (0.17 | ) | (0.15 | ) | (0.18 | ) | (0.13 | ) | ||||||||||||
Net asset value, end of year | $ | 11.32 | $ | 10.43 | $ | 8.93 | $ | 10.93 | $ | 8.62 | ||||||||||||
Total return(b) | 9.75 | % | 18.66 | % | (16.86 | )% | 28.85 | % | 0.93 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 6,662 | $ | 8,419 | $ | 8,145 | $ | 9,429 | $ | 5,082 | ||||||||||||
Ratio of net expenses to average net assets | 1.23 | % | 1.25 | % | 1.29 | % | 1.31 | % | 1.38 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.36 | % | 1.37 | % | 1.37 | % | 1.36 | % | 1.39 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.07 | % | 1.81 | % | 1.69 | % | 1.04 | % | 1.37 | % | ||||||||||||
Portfolio turnover rate(c) | 177 | % | 231 | % | 177 | % | 134 | % | 125 | % |
(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 | ||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 10.18 | $ | 8.68 | $ | 10.59 | $ | 8.39 | $ | 8.45 | ||||||||||||
Net investment income(a) | 0.03 | 0.12 | 0.10 | 0.04 | 0.06 | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.88 | 1.42 | (1.94 | ) | 2.30 | (0.05 | ) | |||||||||||||||
Total from investment operations | 0.91 | 1.54 | (1.84 | ) | 2.34 | 0.01 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.05 | ) | (0.04 | ) | (0.07 | ) | (0.14 | ) | (0.07 | ) | ||||||||||||
Net asset value, end of year | $ | 11.04 | $ | 10.18 | $ | 8.68 | $ | 10.59 | $ | 8.39 | ||||||||||||
Total return(b) | 8.89 | % | 17.74 | % | (17.39 | )% | 27.85 | % | 0.11 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 1,060 | $ | 1,308 | $ | 2,551 | $ | 2,661 | $ | 1,012 | ||||||||||||
Ratio of net expenses to average net assets | 1.98 | % | 2.01 | % | 2.04 | % | 2.06 | % | 2.13 | % | ||||||||||||
Ratio of total expenses to average net assets | 2.11 | % | 2.12 | % | 2.12 | % | 2.11 | % | 2.14 | % | ||||||||||||
Ratio of net investment income to average net assets | 0.33 | % | 1.25 | % | 1.01 | % | 0.40 | % | 0.67 | % | ||||||||||||
Portfolio turnover rate(c) | 177 | % | 231 | % | 177 | % | 134 | % | 125 | % |
(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 | ||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 10.40 | $ | 8.91 | $ | 10.85 | $ | 8.54 | $ | 8.59 | ||||||||||||
Net investment income(a) | 0.13 | 0.21 | 0.31 | 0.17 | 0.16 | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.92 | 1.48 | (2.10 | ) | 2.34 | (0.05 | ) | |||||||||||||||
Total from investment operations | 1.05 | 1.69 | (1.79 | ) | 2.51 | 0.11 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.16 | ) | (0.20 | ) | (0.15 | ) | (0.20 | ) | (0.16 | ) | ||||||||||||
Net asset value, end of year | $ | 11.29 | $ | 10.40 | $ | 8.91 | $ | 10.85 | $ | 8.54 | ||||||||||||
Total return(b) | 10.11 | % | 19.01 | % | (16.49 | )% | 29.42 | % | 1.26 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 9,998 | $ | 15,783 | $ | 16,948 | $ | 619,288 | $ | 519,135 | ||||||||||||
Ratio of net expenses to average net assets | 0.90 | % | 0.90 | % | 0.90 | % | 0.92 | % | 0.98 | % | ||||||||||||
Ratio of total expenses to average net assets | 0.99 | % | 0.99 | % | 0.96 | % | 0.97 | % | 0.99 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.36 | % | 2.11 | % | 2.87 | % | 1.74 | % | 1.90 | % | ||||||||||||
Portfolio turnover rate(c) | 177 | % | 231 | % | 177 | % | 134 | % | 125 | % |
(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. | 69 |
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, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of year | $ | 10.40 | $ | 8.91 | $ | 10.91 | $ | 8.61 | $ | 8.65 | ||||||||||||
Net investment income(b) | 0.13 | 0.20 | 0.19 | 0.13 | 0.15 | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.92 | 1.48 | (2.00 | ) | 2.36 | (0.05 | ) | |||||||||||||||
Total from investment operations | 1.05 | 1.68 | (1.81 | ) | 2.49 | 0.10 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.15 | ) | (0.19 | ) | (0.19 | ) | (0.19 | ) | (0.14 | ) | ||||||||||||
Net asset value, end of year | $ | 11.30 | $ | 10.40 | $ | 8.91 | $ | 10.91 | $ | 8.61 | ||||||||||||
Total return(c) | 10.09 | % | 18.90 | % | (16.66 | )% | 29.09 | % | 1.21 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 9,085 | $ | 18,290 | $ | 14,008 | $ | 15,547 | $ | 1,251 | ||||||||||||
Ratio of net expenses to average net assets | 0.98 | % | 1.00 | % | 1.04 | % | 1.05 | % | 1.13 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.11 | % | 1.12 | % | 1.12 | % | 1.11 | % | 1.14 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.38 | % | 2.06 | % | 1.82 | % | 1.30 | % | 1.76 | % | ||||||||||||
Portfolio turnover rate(d) | 177 | % | 231 | % | 177 | % | 134 | % | 125 | % |
(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. |
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, | April 30, 2018* to December 31, 2018 | |||||||||||||
2020 | 2019 | |||||||||||||
Per Share Data | ||||||||||||||
Net asset value, beginning of period | $ | 10.33 | $ | 8.85 | $ | 10.92 | ||||||||
Net investment income(a) | 0.14 | 0.21 | 0.08 | |||||||||||
Net realized and unrealized gain (loss) | 0.92 | 1.47 | (1.95 | ) | ||||||||||
Total from investment operations | 1.06 | 1.68 | (1.87 | ) | ||||||||||
Distributions to shareholders from net investment income | (0.17 | ) | (0.20 | ) | (0.20 | ) | ||||||||
Net asset value, end of period | $ | 11.22 | $ | 10.33 | $ | 8.85 | ||||||||
Total return(b) | 10.20 | % | 19.05 | % | (17.07 | )% | ||||||||
Net assets, end of period (in 000s) | $ | 640,212 | $ | 660,555 | $ | 530,891 | ||||||||
Ratio of net expenses to average net assets | 0.89 | % | 0.89 | % | 0.89 | %(c) | ||||||||
Ratio of total expenses to average net assets | 0.97 | % | 0.98 | % | 0.99 | %(c) | ||||||||
Ratio of net investment income to average net assets | 1.42 | % | 2.12 | % | 1.14 | %(c) | ||||||||
Portfolio turnover rate(d) | 177 | % | 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 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, | April 17, 2018* to December 31, 2018 | |||||||||||||
2020 | 2019 | |||||||||||||
Per Share Data | ||||||||||||||
Net asset value, beginning of period | $ | 10.34 | $ | 8.86 | $ | 11.07 | ||||||||
Net investment income(a) | 0.14 | 0.21 | 0.10 | |||||||||||
Net realized and unrealized gain (loss) | 0.91 | 1.47 | (2.11 | ) | ||||||||||
Total from investment operations | 1.05 | 1.68 | (2.01 | ) | ||||||||||
Distributions to shareholders from net investment income | (0.17 | ) | (0.20 | ) | (0.20 | ) | ||||||||
Net asset value, end of period | $ | 11.22 | $ | 10.34 | $ | 8.86 | ||||||||
Total return(b) | 10.09 | % | 19.02 | % | (18.09 | )% | ||||||||
Net assets, end of period (in 000s) | $ | 68,788 | $ | 67,038 | $ | 64,578 | ||||||||
Ratio of net expenses to average net assets | 0.89 | % | 0.89 | % | 0.89 | %(c) | ||||||||
Ratio of total expenses to average net assets | 0.98 | % | 0.98 | % | 1.00 | %(c) | ||||||||
Ratio of net investment income to average net assets | 1.45 | % | 2.15 | % | 1.43 | %(c) | ||||||||
Portfolio turnover rate(d) | 177 | % | 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. |
72 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
December 31, 2020
1. ORGANIZATION |
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”), along with their corresponding share classes and respective diversification status under the Act:
Fund | Share Classes Offered | Diversified/ Non-diversified | ||
U.S. Equity Dividend and Premium, International Equity Dividend and Premium, International Tax-Managed Equity | A, C, Institutional, Investor, R6 and P | Diversified | ||
U. S. Tax-Managed Equity | A, C, Institutional, Service, Investor, R6 and P | Diversified |
Class A Shares are sold with a front-end sales charge of up to 5.50%. Class C Shares are sold with a contingent deferred sales charge (“CDSC”) of 1.00%, which is imposed on redemptions made within 12 months of purchase. Institutional, Service, Investor, Class R6 and Class P 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/or pro-rata basis depending upon the nature of the expenses. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agency and Service and Shareholder Administration fees.
D. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute each
73
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
December 31, 2020
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, each Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid according to the following schedule:
Fund | Income Distributions Declared/Paid | Capital Gains Distributions Declared/Paid | ||||
U.S. Equity Dividend and Premium International Equity Dividend and Premium | Quarterly | Annually | ||||
U.S. Tax-Managed Equity International Tax-Managed Equity | Annually | Annually |
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from 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 as in-kind transactions. Securities included as part of in-kind purchases and redemptions of Fund shares are valued in the same manner as they are valued for purposes of computing a Fund’s NAV, in accordance with the Fund’s Valuation Procedures, and such valuations are as of the date the trade is submitted pursuant to the procedures specified in the Funds’ prospectus.
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS |
U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Funds’ policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. 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;
74
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
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 GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Funds’ investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a U.S. securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities will be valued at the valid closing bid price for long positions and at the valid closing ask price for short positions (i.e. where there is sufficient volume, during normal exchange trading hours). If no valid bid/ask price is available, the equity security will be valued pursuant to the Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. 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. Certain equity securities containing unique attributes may be 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 Fair 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
75
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
December 31, 2020
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security. 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 subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on swap contracts.
Upon the purchase of a call option or a put option by a Fund, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of a Fund’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. 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, 2020:
U.S. EQUITY DIVIDEND AND PREMIUM |
| |||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Europe | $ | 21,363,877 | $ | — | $ | — | ||||||
North America | 2,666,769,782 | — | — | |||||||||
South America | 17,715,052 | — | — | |||||||||
Investment Company | 61,847,593 | — | — | |||||||||
Securities Lending Reinvestment Vehicle | 5,425,300 | — | — | |||||||||
Total | $ | 2,773,121,604 | $ | — | $ | — |
(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. |
76
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
U.S. EQUITY DIVIDEND AND PREMIUM (continued) |
| |||||||||||
Derivative Type | ||||||||||||
Assets(a) | ||||||||||||
Futures Contracts | $ | 262,442 | $ | — | $ | — | ||||||
Liabilities | ||||||||||||
Written Options Contracts | $ | (49,891,145) | $ | — | $ | — | ||||||
INTERNATIONAL EQUITY DIVIDEND AND PREMIUM | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(b) | ||||||||||||
Africa | $ | — | $ | 66 | $ | — | ||||||
Asia | 230,969 | 60,322,301 | — | |||||||||
Australia and Oceania | 3,405,661 | 15,049,636 | — | |||||||||
Europe | 10,121,866 | 107,662,095 | — | |||||||||
South America | — | 250,988 | — | |||||||||
Investment Company | 30,000 | — | — | |||||||||
Total | $ | 13,788,496 | $ | 183,285,086 | $ | — | ||||||
Derivative Type | ||||||||||||
Liabilities | ||||||||||||
Futures Contracts(a) | $ | (17,782) | $ | — | $ | — | ||||||
Written Options Contracts | (2,303,427 | ) | — | — | ||||||||
Total | $ | (2,321,209) | $ | — | $ | — | ||||||
U.S. TAX-MANAGED EQUITY | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(b) | ||||||||||||
Asia | $ | 2,798,951 | $ | — | $ | — | ||||||
Europe | 8,670,734 | — | — | |||||||||
North America | 1,818,578,820 | — | — | |||||||||
South America | 2,990,468 | — | — | |||||||||
Securities Lending Reinvestment Vehicle | 1,153,125 | — | — | |||||||||
Total | $ | 1,834,192,098 | $ | — | $ | — |
(a) | Amount shown represents unrealized gain (loss) at fiscal year end. |
(b) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of NAV. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Funds utilize fair value model prices provided by an independent fair value service for certain international equity securities, resulting in a Level 2 classification. |
77
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
December 31, 2020
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
INTERNATIONAL TAX-MANAGED EQUITY | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Africa | $ | — | $ | 6,322,734 | $ | — | ||||||
Asia | — | 233,995,363 | — | |||||||||
Australia and Oceania | 9,339,541 | 63,662,596 | — | |||||||||
Europe | 32,884,898 | 387,188,738 | — | |||||||||
North America | — | 4,278,149 | — | |||||||||
Total | $ | 42,224,439 | $ | 695,447,580 | $ | — | ||||||
Derivative Type | ||||||||||||
Assets(b) | ||||||||||||
Futures Contracts | $ | 128,826 | $ | — | $ | — | ||||||
Liabilities(b) | ||||||||||||
Futures Contracts | $ | (11,466 | ) | $ | — | $ | — |
(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, 2020. 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 | $ | 262,442 | (a) | Payable for written options, at value | $(49,891,145) | |||||||
International Equity Dividend and Premium | Equity | — | — | Variation margin on futures contracts and payable for written options, at value | (2,321,209) | (a) | ||||||||
International Tax-Managed Equity | Equity | Variation margin on futures contracts | 128,826 | (a) | Variation margin on futures contracts | (11,466)(a) | ||||||||
Total | $ | 391,268 | $(52,223,820) |
(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, 2020 is reported within the Statements of Assets and Liabilities. |
78
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
4. INVESTMENTS IN DERIVATIVES (continued) |
The following table sets forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the fiscal year ended December 31, 2020. 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 | $ | (34,405,500 | ) | $ | (826,468) | 2,439 | ||||||||
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 | (3,408,081 | ) | (720,028) | 1,054 | ||||||||||
U.S. Tax-Managed Equity | Equity | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | (178,166 | ) | — | — | ||||||||||
International Tax-Managed Equity | Equity | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | 133,424 | 162,375 | 41 | |||||||||||
Total | $ | (37,858,323 | ) | $ | (1,384,121) | 3,534 |
(a) | Average number of contracts is based on the average of month end balances for the fiscal year ended December 31, 2020. |
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, 2020, contractual and effective net management fees with GSAM were at the following rates:
Fund | Contractual Management Rate |
| Effective Net | |||||||||||||||||||||||||||
First $1 billion | Next $1 billion | Next $3 billion | Next $3 billion | Over $8 billion | Effective Rate | |||||||||||||||||||||||||
U.S. Equity Dividend and Premium | 0.75 | % | 0.68 | % | 0.65 | % | 0.64 | % | 0.63 | % | 0.70 | % | 0.67 | %* | ||||||||||||||||
International Equity Dividend and Premium | 0.81 | 0.73 | 0.69 | 0.68 | 0.67 | 0.81 | 0.81 | |||||||||||||||||||||||
U.S. Tax-Managed Equity | 0.70 | 0.63 | 0.60 | 0.59 | 0.58 | 0.67 | 0.67 | |||||||||||||||||||||||
International Tax-Managed Equity | 0.85 | 0.77 | 0.73 | 0.72 | 0.71 | 0.85 | 0.85 |
^ | Effective Net Management Rate includes the impact of management fee waivers of affiliated Underlying Funds, if any. |
* | Effective April 29, 2020, GSAM agreed to waive a portion of its management fees in an amount equal to 0.04% as an annual percentage of the Fund’s average daily net assets. This waiver will be effective through at least April 29, 2021, and prior to such date GSAM may not terminate the arrangement without the approval of the Trustees. |
79
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
December 31, 2020
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, 2020, GSAM waived $42,348, $462, $579 and $192 of the U.S. Equity Dividend and Premium, International Equity Dividend and Premium, U.S. Tax-Managed Equity and International Tax-Managed Equity Funds’ management fees, respectively.
B. Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A Shares of each applicable Fund, has adopted a Distribution and Service Plan subject to Rule 12b-1 under the Act. Under the Distribution and Service Plan, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class A Shares of the Funds, as set forth below.
The Trust, on behalf of Class C Shares of each applicable Fund, has adopted a Distribution Plan subject to Rule 12b-1 under the Act. Under the Distribution Plan, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class C Shares of the Funds, as set forth below.
The Trust, on behalf of Service Shares of each applicable Fund, has adopted a Service Plan subject to Rule 12b-1 under the Act to allow Service Shares to compensate service organizations (including Goldman Sachs) for providing personal and account maintenance services to their customers who are beneficial owners of such shares. The Service Plan provides for compensation to the service organizations equal to an annual percentage rate of the average daily net assets attributable to Service Shares of the Funds, as set forth below.
Distribution and/or Service Plan Rates | ||||||||||||
Class A* | Class C | Service | ||||||||||
Distribution and/or Service Plan | 0.25 | % | 0.75 | % | 0.25 | % |
* | With respect to Class A Shares, the Distributor at its discretion may use compensation for distribution services paid under the Distribution Plan to compensate service organizations for personal and account maintenance services and expenses as long as such total compensation does not exceed the maximum cap on “service fees” imposed by the Financial Industry Regulatory Authority. |
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, 2020, 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 | $ | 19,373 | $ | 6 | ||||||
International Equity Dividend and Premium | 387 | — | ||||||||
U.S. Tax-Managed Equity | 4,923 | — | ||||||||
International Tax-Managed Equity | 120 | — |
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 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.
80
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
E. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at annual rates as follows: 0.16% of the average daily net assets of Class A, Class C and Investor Shares; 0.03% of the average daily net assets of Class R6 and Class P Shares; and 0.04% of the average daily net assets of Institutional and Service Shares. Prior to July 1, 2020, such fee was 0.17% of the average daily net assets of the Class A, Class C and Investor Shares. Goldman Sachs has agreed to waive a portion of its transfer agency fee equal to 0.05%, 0.04% and 0.02% as an annual percentage rate of the average daily net assets attributable to Class A, Class C and Investor Shares of the International Tax-Managed Equity, U.S. Tax-Managed Equity and U.S. Equity Dividend and Premium Funds, respectively. This arrangement will remain in effect through at least April 29, 2021, and prior to such date, Goldman Sachs may not terminate the arrangement without the approval of the Board of Trustees. Prior to April 29, 2020 the transfer agency fee waiver was 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.
Effective April 29, 2020, Goldman Sachs has agreed to waive a portion of its transfer agency fee equal to 0.03% as an annual percentage rate of the average daily net assets attributable to Class A, Class C and Investor Shares of the International Equity Dividend and Premium Fund. This arrangement will remain in effect through at least April 29, 2021, and prior to such date Goldman Sachs may not terminate the arrangements without the approval of the Board of Trustees. Prior to April 29, 2020, there was no transfer agency waiver in place for this Fund.
Transfer Agency Fee Waivers (Class A, Class C, and Investor Shares) | ||||||||||
Fund | Before April 29, 2020 | As of April 29, 2020 | ||||||||
U.S. Equity Dividend & Premium | 0.01 | % | 0.02 | % | ||||||
International Equity Dividend & Premium | — | 0.03 | % | |||||||
U.S. Tax-Managed Equity Fund | 0.04 | % | 0.04 | % | ||||||
International Tax-Managed Equity Fund | 0.05 | % | 0.05 | % |
* | These arrangements will remain in effect through at least April 29, 2021, and prior to such date, Goldman Sachs may not terminate the arrangement without the approval of the Board of Trustees. |
F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to 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 International Tax-Managed Equity Funds are 0.014%, 0.044%, 0.044% and 0.014%, respectively. These Other Expense limitations will remain in place through at least April 29, 2021, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. Prior to April 29, 2020, the Other Expense limitation was 0.094% for the International Equity Dividend and Premium Fund. In addition, the Funds have entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.
81
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
December 31, 2020
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the fiscal year ended December 31, 2020, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
Fund | Management Fee Waiver | Other Expense Reimbursement | Custody Fee Credits | Transfer Agency Waivers/Credits | Total Expense Reductions | |||||||||||||||||
U.S. Equity Dividend and Premium | $ | 727,319 | $ | 549,624 | $ | 8,040 | $ | 108,368 | $ | 1,393,351 | ||||||||||||
International Equity Dividend and Premium | 462 | 412,982 | 337 | 1,256 | 415,037 | |||||||||||||||||
U.S. Tax-Managed Equity | 579 | — | 55,738 | 39,493 | 95,810 | |||||||||||||||||
International Tax-Managed Equity | 192 | 544,265 | 8,270 | 9,835 | 562,562 |
G. Line of Credit Facility — As of December 31, 2020, the Funds participated in a $700,000,000 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, 2020, the Funds did not have any borrowings under the facility. Prior to April 28, 2020, the facility was $580,000,000.
H. Other Transactions with Affiliates — The following table provides information about the Funds’ investments in the Goldman Sachs Financial Square Government Fund as of and for the fiscal year ended December 31, 2020:
Fund | Beginning Value as of December 31, 2019 | Purchases at Cost | Proceeds from Sales | Ending Value as of | Shares as of December 31, 2020 | Dividend Income from Affiliated Investment Company | ||||||||||||||||||
U.S. Equity Dividend and Premium | $ | 71,990,719 | $ | 698,314,880 | $ | (708,458,006 | ) | $ | 61,847,593 | 61,847,593 | $ | 84,725 | ||||||||||||
International Equity Dividend and Premium | — | 15,356,189 | (15,326,189 | ) | 30,000 | 30,000 | 532 | |||||||||||||||||
U.S. Tax-Managed Equity | — | 22,617,254 | (22,617,254 | ) | — | — | 2,069 | |||||||||||||||||
International Tax-Managed Equity | — | 7,864,457 | (7,864,457 | ) | — | — | 394 |
As of December 31, 2020, the following Goldman Sachs Global Tax-Aware Equity Portfolios were beneficial owners of 5% or more of total outstanding shares of the following Funds:
Fund | Goldman Sachs Enhanced Dividend Global Equity Portfolio | Goldman Sachs Tax-Advantaged Global Equity Portfolio | ||||||||
U.S. Equity Dividend and Premium | 8 | % | — | % | ||||||
International Equity Dividend and Premium | 52 | — | ||||||||
U.S. Tax-Managed Equity | — | 83 | ||||||||
International Tax-Managed Equity | — | 87 |
82
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
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, 2020, were as follows:
Fund | Purchases | Sales | ||||||||
U.S. Equity Dividend and Premium | $ | 1,024,858,257 | $ | 1,573,963,828 | ||||||
International Equity Dividend and Premium | 71,690,488 | 159,027,884 | ||||||||
U.S. Tax-Managed Equity | 2,929,714,898 | 3,089,314,524 | ||||||||
International Tax-Managed Equity | 1,172,348,453 | 1,244,300,173 |
7. SECURITIES LENDING |
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and the terms and conditions contained therein, the Funds may lend their securities through a securities lending agent, Goldman Sachs Agency Lending (“GSAL”), a wholly-owned subsidiary of Goldman Sachs, to certain qualified borrowers including Goldman Sachs and affiliates. In accordance with the Funds’ securities lending procedures, the Funds receive cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities is determined at the close of business of the Funds, at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Funds on the next business day. As with other extensions of credit, the Funds may experience delay in the recovery of their securities or incur a loss should the borrower of the securities breach its agreement with the Funds or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Dividend income received from securities on loan may not be subject to withholding taxes and therefore withholding taxes paid may differ from the amounts listed in the Statements of Operations. Loans of securities are terminable at any time and as such 1) the remaining contractual maturities of the outstanding securities lending transactions are considered to be overnight and continuous and 2) the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
The Funds invest the cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund (“Government Money Market Fund”), an affiliated series of the Goldman Sachs Trust. The Government Money Market Fund is registered under the Act as an open end investment company, is subject to Rule 2a-7 under the Act, and is managed by GSAM, for which GSAM may receive a management fee of up to 0.16% 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 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 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, 2020, 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 International Tax-Managed Equity Funds did not have securities on loan as of December 31, 2020.
83
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
December 31, 2020
7. SECURITIES LENDING (continued) |
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, 2020, 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, 2020 | ||||||||||
Fund | Earnings of GSAL Relating to Securities Loaned | Amounts Received by the Funds from Lending to Goldman Sachs | ||||||||
U.S. Equity Dividend and Premium | $ | 9,371 | $ | 1,453 | ||||||
International Equity Dividend and Premium | 7 | — | ||||||||
U.S. Tax-Managed Equity | 2,551 | 5,962 | ||||||||
International Tax-Managed Equity | 1,065 | 2 |
The following table provides information about the Funds’ investment in the Government Money Market Fund for the fiscal year ended December 31, 2020:
Fund | Beginning Value as of December 31, 2019 | Purchases at Cost | Proceeds from Sales | Ending Value as of December 31, 2020 | ||||||||||||||
U.S. Equity Dividend and Premium | $ | 242,125 | $ | 41,689,605 | $ | (36,506,430 | ) | $ | 5,425,300 | |||||||||
International Equity Dividend and Premium | — | 311,280 | (311,280 | ) | — | |||||||||||||
U.S. Tax-Managed Equity | 1,661,100 | 41,082,192 | (41,590,167 | ) | 1,153,125 | |||||||||||||
International Tax-Managed Equity | — | 23,696,469 | (23,696,469 | ) | — |
8. TAX INFORMATION |
The tax character of distributions paid during the fiscal year ended December 31, 2020 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 | $ | 43,341,396 | $ | 5,768,303 | $ | 10,496,177 | $ | 10,852,223 | ||||||||
Net long-term capital gains | 143,184,701 | — | — | — | ||||||||||||
Return of capital | 714,976 | 117,894 | 2,307,079 | — | ||||||||||||
Total taxable distributions | $ | 187,241,073 | $ | 5,886,197 | $ | 12,803,256 | $ | 10,852,223 |
84
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
8. TAX INFORMATION (continued) |
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 |
As of December 31, 2020, the components of accumulated earnings (losses) on a tax-basis were as follows:
U.S. Equity Dividend and | International Equity Dividend and Premium | U.S. Tax-Managed Equity | International Tax-Managed Equity | |||||||||||||
Undistributed ordinary income — net | $ | — | $ | — | $ | — | $ | 1,266,334 | ||||||||
Capital loss carryforwards: | ||||||||||||||||
Perpetual Long-term | $ | — | $ | (79,228,902 | ) | $ | — | $ | — | |||||||
Perpetual Short-term | — | (9,494,589 | ) | (18,834,893 | ) | (100,711,883 | ) | |||||||||
Total capital loss carryforwards | $ | — | $ | (88,723,491 | ) | $ | (18,834,893 | ) | $ | (100,711,883 | ) | |||||
Timing differences (Real Estate Investment Trusts/Post October Capital Loss Deferral) | (25,484,616 | ) | (3,625,468 | ) | 344,776 | — | ||||||||||
Unrealized gains — net | 681,417,364 | 38,533,548 | 836,360,870 | 212,183,413 | ||||||||||||
Total accumulated gains (losses) — net | $ | 655,932,748 | $ | (53,815,411 | ) | $ | 817,870,753 | $ | 112,737,864 |
As of December 31, 2020, 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 | $ | 2,069,873,373 | $ | 158,452,562 | $ | 997,831,228 | $ | 525,880,456 | ||||||||
Gross unrealized gain | 802,057,443 | 51,927,496 | 842,155,129 | 212,752,991 | ||||||||||||
Gross unrealized loss | (120,640,079 | ) | (13,393,948 | ) | (5,794,259 | ) | (569,578 | ) | ||||||||
Net unrealized gain | $ | 681,417,364 | $ | 38,533,548 | $ | 836,360,870 | $ | 212,183,413 |
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains (losses) on regulated futures and options contracts, net mark to market gains (losses) on foreign currency contracts, and differences in the tax treatment of partnership investments and passive foreign investment company investments.
The U.S. Tax-Managed Equity Fund reclassified $72,904,347 from distributable earnings to paid in capital for the year ending December 31, 2020. 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.
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.
85
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
December 31, 2020
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.
Dividend-Paying Investments Risk — A Fund’s investments in dividend-paying securities could cause a Fund to underperform other funds. Securities that pay dividends, as a group, can fall out of favor with the market, causing such securities to underperform securities that do not pay dividends. Depending upon market conditions and political and legislative responses to such conditions, dividend-paying securities that meet a Fund’s investment criteria may not be widely available and/or may be highly concentrated in only a few market sectors. In addition, issuers that have paid regular dividends or distributions to shareholders may not continue to do so at the same level or at all in the future. This may limit the ability of a Fund to produce current income.
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 — The Fund invests in foreign securities, and as such 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 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 realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs.
86
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
9. OTHER RISKS (continued) |
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). The value of the securities in which a Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, acts of terrorism, social unrest, natural disasters, the spread of infectious illness or other public health threats could also significantly impact a Fund and its investments. 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 October 22, 2020, Goldman Sachs announced a settlement of matters involving 1Mayalysia Development Bhd. (1MDB), a Malaysian sovereign wealth fund, with the United States Department of Justice as well as criminal and civil authorities in the UK, Singapore and Hong Kong. Further information regarding the 1MDB settlement can be found at https://www.goldmansachs.com/media-relations/press-releases/current/goldman-sachs-2020-10-22.html. The 1MDB settlement will not materially adversely affect GSAM’s ability to serve as investment manager.
12. SUBSEQUENT EVENTS |
Subsequent events after the Statements of Assets and Liabilities date have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
87
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
December 31, 2020
13. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
U.S. Equity Dividend and Premium Fund | ||||||||||||||||
|
| |||||||||||||||
For the Fiscal Year Ended December 31, 2020 | For the Fiscal Year Ended December 31, 2019 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 2,601,527 | $ | 34,248,716 | 3,056,373 | $ | 39,285,764 | ||||||||||
Reinvestment of distributions | 584,009 | 7,945,436 | 889,529 | 11,728,159 | ||||||||||||
Shares redeemed | (8,235,498 | ) | (98,280,277 | ) | (5,691,011 | ) | (73,349,134 | ) | ||||||||
(5,049,962 | ) | (56,086,125 | ) | (1,745,109 | ) | (22,335,211 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 833,219 | 11,031,713 | 924,958 | 12,022,572 | ||||||||||||
Reinvestment of distributions | 471,148 | 6,434,889 | 515,817 | 6,770,001 | ||||||||||||
Shares redeemed | (3,483,419 | ) | (44,305,190 | ) | (3,088,704 | ) | (39,697,509 | ) | ||||||||
(2,179,052 | ) | (26,838,588 | ) | (1,647,929 | ) | (20,904,936 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 38,250,549 | 483,838,534 | 27,399,731 | 351,102,955 | ||||||||||||
Reinvestment of distributions | 5,239,327 | 71,089,349 | 4,962,564 | 65,296,301 | ||||||||||||
Shares redeemed | (48,141,547 | ) | (590,714,675 | ) | (36,040,359 | ) | (462,689,279 | ) | ||||||||
(4,651,671 | ) | (35,786,792 | ) | (3,678,064 | ) | (46,290,023 | ) | |||||||||
Investor Shares | ||||||||||||||||
Shares sold | 5,801,640 | 73,329,566 | 7,827,033 | 100,019,002 | ||||||||||||
Reinvestment of distributions | 2,092,102 | 28,306,656 | 2,321,996 | 30,558,077 | ||||||||||||
Shares redeemed | (14,526,808 | ) | (184,500,914 | ) | (12,878,406 | ) | (164,733,986 | ) | ||||||||
(6,633,066 | ) | (82,864,692 | ) | (2,729,377 | ) | (34,156,907 | ) | |||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 426,781 | 5,834,309 | 974,711 | 12,338,634 | ||||||||||||
Reinvestment of distributions | 1,083,068 | 14,599,528 | 1,408,914 | 18,521,537 | ||||||||||||
Shares redeemed | (7,453,462 | ) | (88,937,447 | ) | (3,791,893 | ) | (48,917,286 | ) | ||||||||
(5,943,613 | ) | (68,503,610 | ) | (1,408,268 | ) | (18,057,115 | ) | |||||||||
Class P Shares | ||||||||||||||||
Shares sold | 3,523,930 | 41,863,559 | 3,169,633 | 41,134,098 | ||||||||||||
Reinvestment of distributions | 3,070,150 | 41,483,770 | 3,449,581 | 45,356,789 | ||||||||||||
Shares redeemed | (15,593,577 | ) | (186,993,989 | ) | (12,455,055 | ) | (158,741,627 | ) | ||||||||
(8,999,497 | ) | (103,646,660 | ) | (5,835,841 | ) | (72,250,740 | ) | |||||||||
NET DECREASE | (33,456,861 | ) | $ | (373,726,467 | ) | (17,044,588 | ) | $(213,994,932) |
88
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
13. SUMMARY OF SHARE TRANSACTIONS (continued) |
International Equity Dividend and Premium Fund | ||||||||||||||||
|
| |||||||||||||||
For the Fiscal Year Ended December 31, 2020 | For the Fiscal Year Ended December 31, 2019 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 46,550 | $ | 307,171 | 160,640 | $ | 1,119,609 | ||||||||||
Reinvestment of distributions | 7,439 | 46,424 | 10,917 | 76,450 | ||||||||||||
Shares redeemed | (100,693 | ) | (611,124 | ) | (179,244 | ) | (1,253,699 | ) | ||||||||
(46,704 | ) | (257,529 | ) | (7,687 | ) | (57,640 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 6,152 | 39,218 | 9,109 | 61,265 | ||||||||||||
Reinvestment of distributions | 1,935 | 11,582 | 2,875 | 19,416 | ||||||||||||
Shares redeemed | (34,158 | ) | (210,609 | ) | (93,967 | ) | (633,239 | ) | ||||||||
(26,071 | ) | (159,809 | ) | (81,983 | ) | (552,558 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 109,441 | 689,860 | 234,100 | 1,609,386 | ||||||||||||
Reinvestment of distributions | 13,616 | 82,624 | 38,991 | 268,313 | ||||||||||||
Shares redeemed | (1,106,946 | ) | (6,253,743 | ) | (1,033,864 | ) | (6,863,677 | ) | ||||||||
(983,889 | ) | (5,481,259 | ) | (760,773 | ) | (4,985,978 | ) | |||||||||
Investor Shares | ||||||||||||||||
Shares sold | 351,438 | 2,270,728 | 615,772 | 4,164,770 | ||||||||||||
Reinvestment of distributions | 18,330 | 111,228 | 48,627 | 333,197 | ||||||||||||
Shares redeemed | (1,009,587 | ) | (6,010,595 | ) | (692,609 | ) | (4,761,589 | ) | ||||||||
(639,819 | ) | (3,628,639 | ) | (28,210 | ) | (263,622 | ) | |||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 1,662,305 | 9,561,833 | 1,840,630 | 12,532,967 | ||||||||||||
Reinvestment of distributions | 475,235 | 2,901,147 | 652,849 | 4,485,573 | ||||||||||||
Shares redeemed | (6,685,693 | ) | (39,308,643 | ) | (2,906,720 | ) | (19,966,896 | ) | ||||||||
(4,548,153 | ) | (26,845,663 | ) | (413,241 | ) | (2,948,356 | ) | |||||||||
Class P Shares | ||||||||||||||||
Shares sold | 1,965,602 | 11,940,463 | 1,083,033 | 7,345,129 | ||||||||||||
Reinvestment of distributions | 438,126 | 2,672,667 | 721,069 | 4,959,202 | ||||||||||||
Shares redeemed | (9,393,621 | ) | (58,501,106 | ) | (7,644,217 | ) | (52,325,488 | ) | ||||||||
(6,989,893 | ) | (43,887,976 | ) | (5,840,115 | ) | (40,021,157 | ) | |||||||||
NET DECREASE | (13,234,529 | ) | $ | (80,260,875 | ) | (7,132,009 | ) | $ | (48,829,311 | ) |
89
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
December 31, 2020
13. SUMMARY OF SHARE TRANSACTIONS (continued) |
U.S. Tax-Managed Equity Fund | ||||||||||||||||
|
| |||||||||||||||
For the Fiscal Year Ended December 31, 2020 | For the Fiscal Year Ended December 31, 2019 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 230,549 | $ | 5,826,973 | 367,737 | $ | 8,754,341 | ||||||||||
Reinvestment of distributions | 10,190 | 300,211 | 9,519 | 242,819 | ||||||||||||
Shares redeemed | (382,518 | ) | (9,101,459 | ) | (528,967 | ) | (12,305,907 | ) | ||||||||
(141,779 | ) | (2,974,275 | ) | (151,711 | ) | (3,308,747 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 82,376 | 1,977,542 | 171,848 | 3,814,200 | ||||||||||||
Shares redeemed | (147,321 | ) | (3,483,352 | ) | (153,960 | ) | (3,398,831 | ) | ||||||||
(64,945 | ) | (1,505,810 | ) | 17,888 | 415,369 | |||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 254,054 | 6,269,384 | 346,325 | 8,423,356 | ||||||||||||
Reinvestment of distributions | 8,905 | 268,931 | 9,234 | 241,277 | ||||||||||||
Shares redeemed | (438,418 | ) | (11,073,817 | ) | (272,332 | ) | (6,472,774 | ) | ||||||||
(175,459 | ) | (4,535,502 | ) | 83,227 | 2,191,859 | |||||||||||
Service Shares | ||||||||||||||||
Shares sold | 12,129 | 243,756 | 35,178 | 818,458 | ||||||||||||
Reinvestment of distributions | 191 | 5,650 | 191 | 4,899 | ||||||||||||
Shares redeemed | (12,000 | ) | (271,889 | ) | (6,815 | ) | (157,801 | ) | ||||||||
320 | (22,483 | ) | 28,554 | 665,556 | ||||||||||||
Investor Shares | ||||||||||||||||
Shares sold | 32,763 | 873,594 | 139,533 | 3,303,231 | ||||||||||||
Reinvestment of distributions | 3,269 | 97,847 | 4,831 | 125,136 | ||||||||||||
Shares redeemed | (341,975 | ) | (7,367,830 | ) | (174,752 | ) | (4,115,511 | ) | ||||||||
(305,943 | ) | (6,396,389 | ) | (30,388 | ) | (687,144 | ) | |||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 3,162,038 | 80,532,569 | 4,886,035 | 115,485,900 | ||||||||||||
Reinvestment of distributions | 366,333 | 10,964,359 | 423,195 | 10,960,763 | ||||||||||||
Shares redeemed | (9,922,219 | ) | (233,723,879 | ) | (4,368,806 | ) | (105,022,152 | ) | ||||||||
Shares redeemed in connection with in-kind transactions | (3,599,438 | ) | (92,360,000 | ) | (1,108,855 | ) | (25,670,000 | ) | ||||||||
(9,993,286 | ) | (234,586,951 | ) | (168,431 | ) | (4,245,489 | ) | |||||||||
Class P Shares | ||||||||||||||||
Shares sold | 808,573 | 21,143,747 | 1,231,197 | 29,067,937 | ||||||||||||
Reinvestment of distributions | 36,098 | 1,080,769 | 36,899 | 956,057 | ||||||||||||
Shares redeemed | (1,132,969 | ) | (26,777,174 | ) | (652,654 | ) | (15,235,653 | ) | ||||||||
(288,298 | ) | (4,552,658 | ) | 615,442 | 14,788,341 | |||||||||||
NET INCREASE (DECREASE) | (10,969,390 | ) | $ | (254,574,068 | ) | 394,581 | $ | 9,819,745 |
90
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
13. SUMMARY OF SHARE TRANSACTIONS (continued) |
International Tax-Managed Equity Fund | ||||||||||||||||
|
| |||||||||||||||
For the Fiscal Year Ended December 31, 2020 | For the Fiscal Year Ended December 31, 2019 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 84,208 | $ | 821,313 | 161,876 | $ | 1,590,795 | ||||||||||
Reinvestment of distributions | 7,405 | 83,156 | 12,810 | 133,226 | ||||||||||||
Shares redeemed | (310,258 | ) | (3,026,467 | ) | (279,348 | ) | (2,759,236 | ) | ||||||||
(218,645 | ) | (2,121,998 | ) | (104,662 | ) | (1,035,215 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 8,916 | 89,144 | 12,295 | 118,240 | ||||||||||||
Reinvestment of distributions | 419 | 4,591 | 499 | 5,069 | ||||||||||||
Shares redeemed | (41,872 | ) | (396,482 | ) | (178,255 | ) | (1,676,685 | ) | ||||||||
(32,537 | ) | (302,747 | ) | (165,461 | ) | (1,553,376 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 425,300 | 3,682,625 | 968,265 | 9,288,202 | ||||||||||||
Reinvestment of distributions | 12,653 | 141,843 | 29,745 | 308,452 | ||||||||||||
Shares redeemed | (1,069,674 | ) | (9,576,961 | ) | (1,383,081 | ) | (13,552,150 | ) | ||||||||
(631,721 | ) | (5,752,493 | ) | (385,071 | ) | (3,955,496 | ) | |||||||||
Investor Shares | ||||||||||||||||
Shares sold | 363,286 | 3,346,656 | 737,469 | 7,144,162 | ||||||||||||
Reinvestment of distributions | 10,746 | 120,463 | 32,374 | 335,718 | ||||||||||||
Shares redeemed | (1,327,906 | ) | (12,221,352 | ) | (583,575 | ) | (5,718,058 | ) | ||||||||
(953,874 | ) | (8,754,233 | ) | 186,268 | 1,761,822 | |||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 5,488,866 | 50,095,940 | 6,844,339 | 66,290,099 | ||||||||||||
Reinvestment of distributions | 853,777 | 9,502,533 | 1,255,232 | 12,928,884 | ||||||||||||
Shares redeemed | (13,180,661 | ) | (120,467,112 | ) | (4,148,192 | ) | (40,824,557 | ) | ||||||||
(6,838,018 | ) | (60,868,639 | ) | 3,951,379 | 38,394,426 | |||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 2,908,942 | 23,577,991 | 903,808 | 8,659,459 | ||||||||||||
Reinvestment of distributions | 89,654 | 998,749 | 124,595 | 1,284,575 | ||||||||||||
Shares redeemed | (3,351,805 | ) | (29,770,726 | ) | (1,835,911 | ) | (17,738,562 | ) | ||||||||
(353,209 | ) | (5,193,986 | ) | (807,508 | ) | (7,794,528 | ) | |||||||||
NET INCREASE (DECREASE) | (9,028,004 | ) | $ | (82,994,096 | ) | 2,674,945 | $ | 25,817,633 |
91
Report of Independent Registered Public
Accounting Firm
To the 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 International Tax-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 International Tax-Managed Equity Fund (four of the funds constituting Goldman Sachs Trust, hereafter collectively referred to as the “Funds”) as of December 31, 2020, the related statements of operations for the year ended December 31, 2020, the statements of changes in net assets for each of the two years in the period ended December 31, 2020, 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, 2020, 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, 2020 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, 2020 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.
/s/PricewaterhouseCoopers LLP
Boston, Massachusetts
February 25, 2021
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
92
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 have amortized 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 | ||||||||||||
93
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Fund Expenses — Six Month Period Ended December 31, 2020 (Unaudited)
As a shareholder of Class A, Class C, Institutional, Service, Investor, Class R6 or Class P 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 R6 and Class P 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, 2020 through December 31, 2020, which represents a period of 184 days of a 366 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
U.S. Equity Dividend and Premium Fund | International Equity Dividend and Premium Fund | U.S. Tax-Managed Equity Fund | International Tax-Managed Equity Fund | |||||||||||||||||||||||||||||||||||||||||||||
Share Class | Beginning Account Value 07/01/20 | Ending Account Value 12/31/20 | Expenses Paid for the 6 Months Ended 12/31/20* | Beginning Account Value 07/01/20 | Ending Account Value 12/31/20 | Expenses Paid for the 6 Months Ended 12/31/20* | Beginning Account Value 07/01/20 | Ending Account Value 12/31/20 | Expenses Paid for the 6 Months Ended 12/31/20* | Beginning Account Value 07/01/20 | Ending Account Value 12/31/20 | Expenses Paid for the 6 Months Ended 12/31/20* | ||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,186.80 | $ | 5.83 | $ | 1,000 | $ | 1,178.90 | $ | 6.68 | $ | 1,000 | $ | 1,208.90 | $ | 5.94 | $ | 1,000 | $ | 1,213.00 | $ | 6.79 | ||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,019.81 | + | 5.38 | 1,000 | 1,019.00 | + | 6.19 | 1,000 | 1,019.76 | + | 5.43 | 1,000 | 1,019.00 | + | 6.19 | ||||||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,183.00 | 9.93 | 1,000 | 1,174.20 | 10.77 | 1,000 | 1,205.00 | 10.09 | 1,000 | 1,207.80 | 10.93 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,016.04 | + | 9.17 | 1,000 | 1,015.23 | + | 9.98 | 1,000 | 1,015.99 | + | 9.22 | 1,000 | 1,015.23 | + | 9.98 | ||||||||||||||||||||||||||||||||
Institutional | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,189.50 | 3.91 | 1,000 | 1,181.60 | 4.83 | 1,000 | 1,211.40 | 4.17 | 1,000 | 1,214.70 | 5.01 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,021.57 | + | 3.61 | 1,000 | 1,020.71 | + | 4.47 | 1,000 | 1,021.37 | + | 3.81 | 1,000 | 1,020.61 | + | 4.57 | ||||||||||||||||||||||||||||||||
Service | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | N/A | N/A | N/A | N/A | N/A | N/A | 1,000 | 1,208.20 | 6.88 | N/A | N/A | N/A | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | N/A | N/A | N/A | 1,000 | 1,018.90 | + | 6.29 | N/A | N/A | N/A | |||||||||||||||||||||||||||||||||||
Investor | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,187.90 | 4.45 | 1,000 | 1,181.30 | 5.32 | 1,000 | 1,210.70 | 4.61 | 1,000 | 1,214.50 | 5.40 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,021.06 | + | 4.12 | 1,000 | 1,020.26 | + | 4.93 | 1,000 | 1,020.96 | + | 4.22 | 1,000 | 1,020.26 | + | 4.93 | ||||||||||||||||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,189.70 | 3.85 | 1,000 | 1,181.60 | 4.77 | 1,000 | 1,211.40 | 4.11 | 1,000 | 1,215.20 | 4.96 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,021.62 | + | 3.56 | 1,000 | 1,020.76 | + | 4.42 | 1,000 | 1,021.42 | + | 3.76 | 1,000 | 1,020.66 | + | 4.52 | ||||||||||||||||||||||||||||||||
Class P | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,188.80 | 3.85 | 1,000 | 1,181.30 | 4.77 | 1,000 | 1,211.30 | 4.11 | 1,000 | 1,213.90 | 4.95 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,021.62 | + | 3.56 | 1,000 | 1,020.76 | + | 4.42 | 1,000 | 1,021.42 | + | 3.76 | 1,000 | 1,020.66 | + | 4.52 |
+ | 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, 2020. 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 R6 | Class P | |||||||||||||||||||||
U.S. Equity Dividend and Premium | 1.06 | % | 1.81 | % | 0.71 | % | N/A | 0.81 | % | 0.70 | % | 0.70 | % | |||||||||||||||
International Equity Dividend and Premium | 1.22 | 1.97 | 0.88 | N/A | 0.97 | 0.87 | 0.87 | |||||||||||||||||||||
U.S. Tax-Managed Equity | 1.07 | 1.82 | 0.75 | 1.24 | 0.83 | 0.74 | 0.74 | |||||||||||||||||||||
International Tax-Managed Equity | 1.22 | 1.97 | 0.90 | N/A | 0.97 | 0.89 | 0.89 |
94
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: 71 | 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. | 105 | None | |||||
Dwight L. Bush Age: 63 | Trustee | Since 2020 | 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). Previously, Ambassador Bush served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 105 | None | |||||
Kathryn A. Cassidy Age: 66 | 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. | 105 | None | |||||
Diana M. Daniels Age: 71 | 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. | 105 | None | |||||
Joaquin Delgado Age: 60 | Trustee | Since 2020 | 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). Previously, Dr. Delgado served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 105 | Stepan Company (a specialty chemical manufacturer) | |||||
95
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Trustees and Officers (Unaudited) (continued)
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 | |||||
Roy W. Templin Age: 60 | 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).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 105 | Armstrong World Industries, Inc. (a ceiling, wall and suspension systems solutions manufacturer) | |||||
Gregory G. Weaver Age: 69 | 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. | 105 | Verizon Communications Inc. |
96
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: 58 | 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 and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | 158 | None | |||||
* | 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 may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of December 31, 2020. |
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 each Independent Trustee shall retire as of December 31st of the calendar year in which he or she reaches (a) his or her 75th birthday or (b) the 15th anniversary of the date he or she became a Trustee, whichever is earlier, 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, 2020, Goldman Sachs Trust consisted of 92 portfolios (90 of which offered shares to the public); 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 ETF Trust consisted of 31 portfolios (20 of which offered shares to the public); and 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. Goldman Sachs Credit Income Fund did not offer 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.
97
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: 58 | 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 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: 43 | Secretary | Since 2012 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Senior Counsel, Goldman Sachs (January 2020-Present); Associate General Counsel, Goldman Sachs (2012-December 2019); 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 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: 52 | 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 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, 2020. |
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. |
98
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Goldman Sachs Trust — Tax-Advantaged Equity Funds — Tax Information (Unaudited)
For the fiscal year ended December 31, 2020, 99.93% 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 fiscal year ended December 31, 2020, 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 $0.2202 and $0.1767 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 100% and 87.65%, respectively. The total amount of taxes paid by the International Equity Dividend and Premium and International Tax-Managed Equity Funds to such countries was $0.0276 and $0.0213 per share, respectively.
For the fiscal year ended December 31, 2020, 100%, 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 $143,184,701 or, if different, the maximum amount allowable, as capital gain dividends paid during the fiscal year ended December 31, 2020.
During the fiscal year ended December 31, 2020, the U.S. Equity Dividend and Premium designates $82,186 as short-term capital gain dividends pursuant to Section 871(k) of the Internal Revenue Code.
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, the Consumer and Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.95 trillion in assets under supervision as of December 31, 2020, 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 Core Fixed Income Fund4 |
∎ | 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 |
∎ | U.S. Equity ESG Fund5 |
∎ | Income Builder Fund |
Tax-Advantaged Equity
∎ | U.S. Tax-Managed Equity Fund |
∎ | International Tax-Managed Equity Fund |
∎ | U.S. Equity Dividend and Premium Fund |
∎ | International Equity Dividend and Premium Fund |
Equity Insights
∎ | Small Cap Equity Insights Fund |
∎ | U.S. Equity Insights Fund |
∎ | Small Cap Growth Insights Fund |
∎ | Large Cap Growth Insights Fund |
∎ | Large Cap Value Insights Fund |
∎ | Small Cap Value Insights Fund |
∎ | International Small Cap Insights Fund |
∎ | International Equity Insights Fund |
∎ | Emerging Markets Equity Insights Fund |
Fundamental Equity International
∎ | International Equity Income Fund |
∎ | International Equity ESG Fund |
∎ | China Equity Fund |
∎ | Emerging Markets Equity Fund |
∎ | ESG Emerging Markets Equity Fund |
Alternative
∎ | Clean Energy Income Fund |
∎ | Defensive Equity Fund |
∎ | 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 |
∎ | Energy Infrastructure Fund6 |
∎ | 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 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 Fund |
∎ | Satellite Strategies Portfolio |
∎ | Enhanced Dividend Global Equity Portfolio |
∎ | Tax-Advantaged Global Equity Portfolio |
∎ | Strategic Factor Allocation Fund |
∎ | Target Date Retirement Portfolio |
∎ | Target Date 2025 Portfolio |
∎ | Target Date 2030 Portfolio |
∎ | Target Date 2035 Portfolio |
∎ | Target Date 2040 Portfolio |
∎ | Target Date 2045 Portfolio |
∎ | Target Date 2050 Portfolio |
∎ | Target Date 2055 Portfolio |
∎ | Target Date 2060 Portfolio |
∎ | GQG Partners International Opportunities Fund |
1 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
2 | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
3 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
4 | Effective after the close of business on April 30, 2020, the Goldman Sachs Global Income Fund was renamed the Goldman Sachs Global Core Fixed Income Fund. |
5 | Effective after the close on business of August 30, 2020, the Goldman Sachs Blue Chip Fund was renamed the Goldman Sachs U.S. Eqity ESG Fund. |
6 | Effective after the close of business on June 26, 2020, the Goldman Sachs MLP & Energy Fund was renamed the Goldman Sachs Energy Infrastructure Fund. |
Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC. |
* | This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds. |
TRUSTEES Jessica Palmer, Chair Dwight L. Bush Kathryn A. Cassidy Diana M. Daniels Joaquin Delgado James A. McNamara Roy W. Templin Gregory G. Weaver
| 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 at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Goldman Sachs Asset Management, L.P. 200 West Street, New York, New York 10282
The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how a Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://www.sec.gov.
The Funds 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).
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, 2020 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).
© 2021 Goldman Sachs. All rights reserved. 230828-OTU-1358518 TAXADVAR-21
Goldman Sachs Funds
Annual Report | December 31, 2020 | |||
Dynamic Global Equity Fund |
Goldman Sachs Dynamic Global Equity Fund
1 | ||||
8 | ||||
9 | ||||
12 | ||||
15 | ||||
23 | ||||
35 | ||||
37 |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee |
PORTFOLIO RESULTS
Goldman Sachs Dynamic Global Equity Fund
Investment Objective
The Fund seeks long-term capital appreciation.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Multi-Asset Solutions (“MAS”) Team discusses the Goldman Sachs Dynamic Global Equity Fund’s (the “Fund”) performance and positioning for the 12-month period ended December 31, 2020 (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 R6, Class R and Class P Shares generated average annual total returns of 13.15%, 12.29%, 13.56%, 13.04%, 13.44%, 13.57%, 12.88% and 13.57%, respectively. This compares to the 16.21% average annual total return of the Fund’s benchmark, MSCI All Country World Index (Net, USD, Unhedged) (the “Index”), during the same period. |
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 equity markets and the Fund were the spread of COVID-19, a contraction in global economic growth and historic financial stimulus by central banks and governments around the world. |
When the Reporting Period began in January 2020, investors generally held a stable pro-growth outlook for the U.S. and global economies. However, in February, twin shocks — the COVID-19 pandemic and collapsing crude oil prices — forced them to recalibrate their risk tolerance. A historic level of market volatility, including the quickest transition from an equity bull market to an equity bear market in modern financial market times, further clouded the near-term investing outlook. (A bull market is a market in which securities prices are rising. A bear market is a condition in which securities prices fall 20% or more from recent highs amid widespread pessimism and negative investor sentiment.) As fear spread through the financial markets, risk assets broadly sold off. Global equities, as represented by the MSCI ACWI Investable Market Index, fell 21.0% during the first calendar quarter. Developed markets equities, as represented by the MSCI World Index, were down 19.7%, and emerging markets equities, as represented by the MSCI Emerging Markets Index, were down 23.6%. Within developed markets, U.S. equities, as measured by the S&P 500 ® Index, dropped 19.6%. As for fixed income, the 10-year U.S. Treasury yield plummeted. In response to the economic and financial challenges wrought by the spread of COVID-19, central banks and governments around the world enacted unprecedented levels of monetary and fiscal stimulus. In the U.S., more than $2 trillion of fiscal support, combined with the return of the U.S. Federal Reserve’s (“Fed”) zero interest rate policy, sought to help the country weather the human and economic maelstrom while simultaneously laying the foundation for economic recovery once COVID-19 risks recede. |
The fastest quarterly decline in the global equity market since the fourth quarter of 2008 was followed in the second quarter of 2020 by the fastest recovery since the fourth quarter of 1984. The recovery was mainly catalyzed by three factors. First, unprecedented monetary easing and fiscal stimulus globally provided a backstop for risk assets and eased liquidity concerns. The Fed was somewhat more dovish than market expected at its June meeting. (Dovish tends to suggest lower interest rates; opposite of hawkish.) Meanwhile, the European Union announced a €750 billion recovery fund, taking a step closer towards the fiscal integration of the Eurozone. China and Japan also delivered meaningful fiscal action. Second, starting mid-April 2020, the growth rate of new COVID-19 cases showed signs of flattening in hotspots such as the U.S., Europe and China, with daily growth rates falling to low single digits and recovery rates starting to rise. As a result, authorities relaxed lockdown restrictions, gradually re-opened parts of their economies, announced social distancing norms and increased testing. The narrative shifted from COVID-19 infections to therapeutics and vaccines. Third, certain economic indicators started to recover. These included global purchasing manager |
1
PORTFOLIO RESULTS
indices, which inched up; U.S. non-farm payrolls, which provided consecutive positive surprises; and consumer and business sentiment that appeared to be bottoming. Global equities, as represented by the MSCI ACWI Investable Market Index, rose 19.3%. U.S. equities, as measured by the S&P 500® Index, rose 20.5%. Developed markets equities, as represented by the MSCI World Index, and emerging markets equities, as represented by the MSCI Emerging Markets Index, were up approximately 18.7% and 18.2%, respectively. As for fixed income, the 10-year U.S. Treasury yield edged down slightly in its smallest quarterly change on record. |
At the start of the third quarter of 2020, the key theme in the marketplace was the reopening of the U.S. and global economy. Initial concerns centered on whether a rushed reopening would bring a new wave of COVID-19 infections that might cause a relapse and renewed shutdown of the economy. Steadily over the course of the summer, even as positive test results accumulated, the severe consequences of COVID-19, such as hospitalizations and the tally of patients on ventilators, remained well below prior peak levels. This reality, combined with growing optimism about an eventual approval of a COVID-19 vaccine, acted as a tailwind to equities broadly, continuing their positive momentum from the second quarter of 2020. Toward the end of the third calendar quarter, investors increasingly focused on unsuccessful partisan negotiations to reach a compromise on additional fiscal support for the economy as well as on the then-upcoming U.S. Presidential and Congressional elections in November. U.S. economic data remained sufficiently healthy, allowing investors to look beyond near-term elections and fiscal concerns. Against this backdrop, developed markets equities, as measured by the MSCI World Index, and emerging market equities, as measured by the MSCI Emerging Markets Index, rose 6.8% and 8.6%, respectively. Within developed markets equities, U.S. stocks, as represented by the S&P 500® Index, led the rally, registering a gain of 8.9%. In fixed income, the 10-year U.S. Treasury yield rose slightly. |
During the fourth quarter of 2020, global economic activity remained resilient in spite of renewed worries about rising COVID–19 cases, delays in additional U.S. fiscal stimulus, and general market uncertainty surrounding the possibility of a contested U.S. Presidential election. Although an increase in COVID-19 cases, especially in Europe and the U.S., drove heightened financial market volatility, the announcement that the Pfizer and Moderna vaccines had better than consensus expected efficacy appeared to be a huge relief for policymakers and market participants. Investor confidence was further bolstered by the strong economic data from Asia, and from China in particular. In addition, major global central banks appeared to reassure market participants by committing to accommodative monetary policies. In the U.S., the Fed introduced forward guidance for its asset purchases, stating it would continue to increase its U.S. Treasury and mortgage-backed securities holdings until substantial further progress was made towards its maximum employment and price stability goals. Similarly, the European Central Bank committed to continued support for the economy by expanding and extending its Pandemic Emergency Purchase Programme. Overall, this favorable mix of recovering global economies, positive news flow on COVID-19 vaccines, and strong forward guidance from the major central banks was supportive of risk assets, particularly equities, in the fourth calendar quarter. Global equities, as represented by the MSCI ACWI Investable Market Index, rose 15.7%. U.S. equities, as measured by the S&P 500® Index, rose 12.15%. Developed markets equities, as represented by the MSCI World Index, and emerging markets equities, as represented by the MSCI Emerging Markets Index, were up approximately 13.9% and 19.7%, respectively. As for fixed income, the 10-year U.S. Treasury yield rose during the fourth quarter of 2020 but remained well below its highs seen near the beginning of the calendar year. |
Q | What key factors were responsible for the Fund’s performance during the Reporting Period? |
A | The Fund’s performance is generally 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. The strategic asset allocation is implemented using a range of bottom-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 dynamic views into the Fund in order to react to changes in the economic cycle and the markets. The Fund’s positioning may therefore change over time. |
During the Reporting Period, the Fund generated strongly positive absolute returns but underperformed the Index on a relative basis. |
2
PORTFOLIO RESULTS
Long-term strategic asset allocation was significantly positive on the back of a strong equity market environment during the Reporting Period overall. Our medium-term dynamic views and security selection within the Underlying Funds detracted from the Fund’s returns. |
Within the long-term strategic allocation, the Fund benefited from its allocation to equities given the strong performance of the broad equity markets during the Reporting Period overall as well as from its strategic allocation to a macroeconomic hedge strategy. (The macroeconomic hedge strategy utilizes interest rate options to profit if interest rates fall, remain constant or rise less than anticipated.) The macroeconomic hedge strategy contributed most positively to the Fund’s performance, with gains concentrated in the first quarter of 2020 when interest rates fell to record lows. These positive results were partly offset by the detracting effects of the Fund’s allocations to global real estate securities and global infrastructure securities and of the use of derivative strategies, which were used to hedge currency risk and to attempt to profit from high implied volatility. |
Our medium-term dynamic views detracted from the Fund’s performance. Over the course of the Reporting Period, we adjusted the Fund’s dynamic positioning in equities, first by reducing the Fund’s exposure and later by increasing it. Specifically, we decreased the Fund’s exposure to U.S. large-cap equities during March 2020, which helped the Fund’s performance as U.S. stocks sold off. However, as we maintained reduced equity exposure through August and U.S. equities rebounded, this medium-term dynamic view detracted from the Fund’s returns. The losses were partially offset later in the Reporting Period, as we increased the Fund’s exposure to U.S. large-cap equities starting in November and into calendar year-end. In addition, the Fund was marginally hurt during the Reporting Period by its dynamic position in put options on the S&P 500® Index, which expired. The put options had been purchased in June 2019 as part of our efforts to reduce equity risk. (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.) On the positive side, the Fund benefited during the Reporting Period from a covered call spread strategy, implemented in March 2020, wherein the Fund held a short position in an S&P 500® Index call option as we sought to reduce portfolio risk and a long position in an S&P 500® Index call option at a higher strike price, which was intended to protect the Fund’s short call position in the event of a sharp rebound in U.S. stock prices. (A call spread strategy involves purchasing call options at a specific strike price, while also selling the same number of calls of the same asset and expiration date but at a lower strike price. A call option is an option that gives the holder the right, but not the obligation, to buy an underlying security at an agreed-upon price at any time up to an agreed-upon date.) Finally, during April 2020, in a dynamic adjustment to our long-term strategic allocation, we reduced the Fund’s allocation to the macroeconomic hedge strategy, an adjustment that had a rather neutral impact on the Fund’s performance. |
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 Growth Insights Fund, the Goldman Sachs Large Cap Value Insights Fund, the Goldman Sachs Small Cap Equity Insights Fund, the Goldman Sachs International Small Cap Insights Fund, the Goldman Sachs MarketBetaTM Emerging Markets Equity ETF, the Goldman Sachs MarketBetaTM International Equity ETF, the Goldman Sachs ActiveBeta® Large Cap Equity ETF, the Goldman Sachs ActiveBeta® International Equity ETF and the Goldman Sachs ActiveBeta® Emerging Markets Equity ETF underperformed their respective benchmark indices. The Goldman Sachs Emerging Markets Equity Insights Fund outperformed its benchmark index, while the Goldman Sachs International Equity Insights Fund generated rather flat performance versus its benchmark index. Among Underlying Funds that invest in real assets, both the Goldman Sachs Real Estate Securities Fund and the Goldman Sachs Global Infrastructure 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 and Canadian large-cap equities through S&P/TSX 60 Index futures (each had a positive impact on performance). The Fund also had a strategic position in international equities through MSCI EAFE Index futures (positive impact). Between the beginning of the Reporting Period and June 2020, the Fund held a strategic |
3
PORTFOLIO RESULTS
position in emerging markets stocks through MSCI Emerging Markets Index futures (negative impact). Additionally, the Fund used equity index options to implement an S&P 500® Index covered call spread strategy (positive impact). |
The Fund employed forward foreign currency exchange contracts within a foreign currency hedging strategy (negative impact), which seeks to manage the risk associated with investing in non-U.S. currencies. In addition, equity options were used within our 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. Finally, the Fund utilized interest rate options in a macroeconomic hedge strategy (positive impact). |
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 may have 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 | We made no changes to the Fund’s long-term strategic asset allocation during the Reporting Period. |
In terms of medium-term dynamic allocation, we adopted the view during March 2020 that the Fund have reduced exposure to U.S. large-cap stocks. We eliminated this dynamic view beginning in November and started to increase the Fund’s exposure to U.S. large-cap equities, which we continued to do through the end of the Reporting Period. In March 2020, the Fund’s position in put options on the S&P 500® Index expired. The same month, we implemented a covered call spread strategy, wherein the Fund held a short position in a S&P 500® Index call option and long position in an S&P 500® Index call option at a higher strike price. During April, in a dynamic adjustment to our long-term strategic allocation, we reduced the Fund’s allocation to the macroeconomic hedge strategy, taking profits after interest rates fell to record lows during the first quarter of 2020. |
In June, we reduced the Fund’s exposure to international equities through MSCI EAFE Index futures and eliminated its exposure to emerging markets equities through MSCI Emerging Markets Index futures. We also changed the implementation vehicles for the Fund’s passive market cap exposure to international and emerging markets equities to the Goldman Sachs MarketBetaTM Emerging Markets Equity ETF and the Goldman Sachs MarketBetaTM International Equity ETF. |
Q | What is the Fund’s tactical view and strategy for the months ahead? |
A | At the end of the Reporting Period, we believed high efficacy rates for COVID-19 vaccines and expectations for a broad vaccination rollout in North America and Europe by mid-2021 were likely to fuel a sustained and expanding rebound in global economic activity. Overall, we anticipated above-trend economic growth in the medium term, driven by pent-up demand, ongoing and significant fiscal and monetary policy support, high savings rates and extensive rebuilding of inventories. |
At the asset class level, we believe that while on an absolute basis, equity valuations were high at the end of the Reporting Period, they were attractive in relative terms, and we expected them to remain so in the near term. As for fixed income, we believed low interest rates were likely to persist. In our view, short-term yields will likely remain anchored by central bank monetary policy, which should, in turn, limit a rise in longer-term yields. At the end of the Reporting Period, we anticipated that ongoing policy support from governments and central banks, as well as low financing costs, would keep credit spreads relatively tight. (Credit spreads are yield differentials between corporate bonds and U.S. Treasury securities of comparable maturity.) |
4
FUND BASICS
Dynamic Global Equity Fund
as of December 31, 2020
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, dynamic 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, 2020. 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. |
5
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.
6
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Performance Summary
December 31, 2020
The following graph shows the value, as of December 31, 2020, of a $10,000 investment made on January 1, 2011 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 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, 2011 through December 31, 2020.
Average Annual Total Return through December 31, 2020* | One Year | Five Years | Ten Years | Since Inception | ||||||||
Class A | ||||||||||||
Excluding sales charges | 13.15% | 11.13% | 8.93% | — | ||||||||
Including sales charges | 6.96% | 9.88% | 8.31% | — | ||||||||
| ||||||||||||
Class C | ||||||||||||
Excluding contingent deferred sales charges | 12.29% | 10.30% | 8.11% | — | ||||||||
Including contingent deferred sales charges | 11.17% | 10.30% | 8.11% | — | ||||||||
| ||||||||||||
Institutional | 13.56% | 11.55% | 9.36% | — | ||||||||
| ||||||||||||
Service | 13.04% | 10.99% | 8.81% | — | ||||||||
| ||||||||||||
Investor | 13.44% | 11.40% | 9.21% | — | ||||||||
| ||||||||||||
Class R6 (Commenced July 31, 2015) | 13.57% | 11.56% | N/A | 9.80% | ||||||||
| ||||||||||||
Class R | 12.88% | 10.85% | 8.66% | — | ||||||||
| ||||||||||||
Class P (Commenced April 17, 2018) | 13.57% | N/A | N/A | 8.58% | ||||||||
|
* | 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 R6, Class R and Class P 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.
7
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
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 50 country indices comprising 23 developed and 27 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: Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Kuwait, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Russia, Qatar, Saudi Arabia, 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 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 26 emerging markets countries. The index covers approximately 85% of the free float-adjusted market capitalization in each country.
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 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/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.
8
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
December 31, 2020
Shares | Description | Value | ||||||
Underlying Funds(a) – 91.1% | ||||||||
Equity – 31.6% | ||||||||
4,861,214 | Goldman Sachs International Equity Insights Fund – Class R6 | $ | 66,793,075 | |||||
1,313,501 | Goldman Sachs Large Cap Growth Insights Fund – Class R6 | 52,881,530 | ||||||
2,388,338 | Goldman Sachs Large Cap Value Insights Fund – Class R6 | 52,758,395 | ||||||
2,676,299 | Goldman Sachs Emerging Markets Equity Insights Fund – Class R6 | 31,285,938 | ||||||
640,458 | Goldman Sachs Small Cap Equity Insights Fund – Class R6 | 19,021,595 | ||||||
1,118,012 | Goldman Sachs International Small Cap Insights Fund – Class R6 | 14,165,213 | ||||||
1,111,389 | Goldman Sachs Global Infrastructure Fund – Class R6 | 13,081,053 | ||||||
1,114,384 | Goldman Sachs Global Real Estate Securities Fund – Class R6 | 11,400,148 | ||||||
|
| |||||||
261,386,947 | ||||||||
|
| |||||||
Exchange Traded Funds – 59.5% | ||||||||
2,795,391 | Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | 211,583,145 | ||||||
4,519,094 | Goldman Sachs ActiveBeta International Equity ETF | 144,159,098 | ||||||
1,779,023 | Goldman Sachs ActiveBeta Emerging Markets Equity ETF | 67,905,308 | ||||||
685,277 | Goldman Sachs MarketBeta International Equity ETF | 36,046,050 | ||||||
585,460 | Goldman Sachs MarketBeta Emerging Markets Equity ETF | 32,094,156 | ||||||
|
| |||||||
491,787,757 | ||||||||
|
| |||||||
TOTAL UNDERLYING FUNDS – 91.1% | ||||||||
(Cost $611,785,633) | $ | 753,174,704 | ||||||
|
| |||||||
Shares | Dividend Rate | Value | ||||||
Investment Company(a) – 5.4% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
44,437,419 | 0.026% | $ | 44,437,419 | |||||
(Cost $44,437,419) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 96.5% | ||||||||
(Cost $656,223,052) | $ | 797,612,123 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 3.5% | 29,052,516 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 826,664,639 | ||||||
|
|
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, 2020, 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 | ILS | 80,000 | USD | 24,876 | 03/17/21 | $ | 53 | |||||||||||||
HKD | 4,200,000 | USD | 541,748 | 03/17/21 | 105 | |||||||||||||||
JPY | 138,000,000 | USD | 1,334,141 | 03/17/21 | 3,560 | |||||||||||||||
NOK | 800,000 | USD | 92,781 | 03/17/21 | 496 | |||||||||||||||
SGD | 310,000 | USD | 233,674 | 03/17/21 | 909 | |||||||||||||||
GBP | 1,905,000 | USD | 2,573,950 | 03/17/21 | 32,399 | |||||||||||||||
AUD | 870,000 | USD | 662,469 | 03/17/21 | 8,685 | |||||||||||||||
USD | 1,986,802 | HKD | 15,400,000 | 03/17/21 | 7 | |||||||||||||||
USD | 9,135 | SEK | 75,000 | 03/17/21 | 12 | |||||||||||||||
USD | 209,400 | DKK | 1,270,000 | 03/17/21 | 585 | |||||||||||||||
TOTAL | $ | 46,811 |
The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Schedule of Investments (continued)
December 31, 2020
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 | EUR | 2,070,000 | USD | 2,541,351 | 03/17/21 | $ | (8,080 | ) | ||||||||||||
CHF | 630,000 | USD | 714,359 | 03/17/21 | (1,104 | ) | ||||||||||||||
USD | 170,522 | ILS | 560,000 | 03/17/21 | (3,984 | ) | ||||||||||||||
USD | 716,367 | SGD | 960,000 | 03/17/21 | (10,087 | ) | ||||||||||||||
USD | 13,059,271 | JPY | 1,363,000,000 | 03/17/21 | (152,947 | ) | ||||||||||||||
USD | 5,180,976 | CHF | 4,630,000 | 03/17/21 | (60,878 | ) | ||||||||||||||
USD | 3,886,440 | AUD | 5,260,000 | 03/17/21 | (171,337 | ) | ||||||||||||||
USD | 17,665,770 | EUR | 14,580,000 | 03/17/21 | (177,277 | ) | ||||||||||||||
USD | 9,078,269 | GBP | 6,800,000 | 03/17/21 | (225,235 | ) | ||||||||||||||
USD | 362,112 | NOK | 3,200,000 | 03/17/21 | (10,994 | ) | ||||||||||||||
USD | 1,535,538 | SEK | 13,050,000 | 03/17/21 | (51,930 | ) | ||||||||||||||
USD | 981,113 | DKK | 6,030,000 | 03/17/21 | (10,346 | ) | ||||||||||||||
USD | 140,975 | NZD | 200,000 | 03/17/21 | (2,971 | ) | ||||||||||||||
TOTAL | $ | (887,170 | ) |
FUTURES CONTRACTS — At December 31, 2020, 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 | 242 | 03/19/21 | $ | 25,782,680 | $ | 311,129 | ||||||||||
S&P 500 E-Mini Index | 542 | 03/19/21 | 101,592,480 | 2,570,567 | ||||||||||||
S&P Toronto Stock Exchange 60 Index | 50 | �� | 03/18/21 | 8,083,117 | 7,595 | |||||||||||
TOTAL FUTURES CONTRACTS |
| $ | 2,889,291 |
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At December 31, 2020, 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) by Fund | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
Purchased option contracts |
| |||||||||||||||||||||||||||||
Calls |
| |||||||||||||||||||||||||||||
Eurodollar Futures | $ | 98.25 | 03/15/2021 | 121 | $ | 302,500 | $ | 477,950 | $ | 136,243 | $ | 341,707 | ||||||||||||||||||
Eurodollar Futures | 98.25 | 06/14/2021 | 102 | 255,000 | 404,175 | 115,912 | 288,263 | |||||||||||||||||||||||
Eurodollar Futures | 98.25 | 09/13/2021 | 100 | 250,000 | 395,000 | 118,194 | 276,806 | |||||||||||||||||||||||
TOTAL | 323 | $ | 807,500 | $ | 1,277,125 | $ | 370,349 | $ | 906,776 |
10 | 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 CONTRACTS
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||||
Written option contracts |
| |||||||||||||||||||||||||||||
Calls |
| |||||||||||||||||||||||||||||
S&P 500 Index | $ | 3,745.00 | 01/29/2021 | (1 | ) | $ | (100 | ) | $ | (7,935 | ) | $ | (4,999 | ) | $ | (2,936 | ) | |||||||||||||
S&P 500 Index | 3,790.00 | 01/20/2021 | (9 | ) | (900 | ) | (33,930 | ) | (24,123 | ) | (9,807 | ) | ||||||||||||||||||
S&P 500 Index | 3,790.00 | 01/29/2021 | (2 | ) | (200 | ) | (10,590 | ) | (8,627 | ) | (1,963 | ) | ||||||||||||||||||
S&P 500 Index | 3,800.00 | 01/06/2021 | (9 | ) | (900 | ) | (8,640 | ) | (20,154 | ) | 11,514 | |||||||||||||||||||
S&P 500 Index | 3,800.00 | 01/13/2021 | (9 | ) | (900 | ) | (20,520 | ) | (21,973 | ) | 1,453 | |||||||||||||||||||
S&P 500 Index | 3,800.00 | 01/29/2021 | (2 | ) | (200 | ) | (9,580 | ) | (7,458 | ) | (2,122 | ) | ||||||||||||||||||
S&P 500 Index | 3,820.00 | 01/29/2021 | (3 | ) | (300 | ) | (11,580 | ) | (11,304 | ) | (276 | ) | ||||||||||||||||||
S&P 500 Index | 3,825.00 | 01/27/2021 | (9 | ) | (900 | ) | (29,970 | ) | (26,190 | ) | (3,780 | ) | ||||||||||||||||||
S&P 500 Index | 3,825.00 | 01/29/2021 | (9 | ) | (900 | ) | (32,850 | ) | (25,805 | ) | (7,045 | ) | ||||||||||||||||||
S&P 500 Index | 3,830.00 | 01/29/2021 | (8 | ) | (800 | ) | (27,600 | ) | (21,131 | ) | (6,469 | ) | ||||||||||||||||||
S&P 500 Index | 3,835.00 | 01/29/2021 | (8 | ) | (800 | ) | (26,040 | ) | (19,796 | ) | (6,244 | ) | ||||||||||||||||||
S&P 500 Index | 3,840.00 | 01/29/2021 | (9 | ) | (900 | ) | (27,585 | ) | (22,791 | ) | (4,794 | ) | ||||||||||||||||||
S&P 500 Index | 3,845.00 | 01/29/2021 | (8 | ) | (800 | ) | (23,080 | ) | (17,479 | ) | (5,601 | ) | ||||||||||||||||||
S&P 500 Index | 3,855.00 | 02/26/2021 | (2 | ) | (200 | ) | (10,760 | ) | (8,100 | ) | (2,660 | ) | ||||||||||||||||||
S&P 500 Index | 3,865.00 | 02/26/2021 | (2 | ) | (200 | ) | (9,930 | ) | (8,721 | ) | (1,209 | ) | ||||||||||||||||||
S&P 500 Index | 3,880.00 | 02/26/2021 | (4 | ) | (400 | ) | (17,560 | ) | (16,449 | ) | (1,111 | ) | ||||||||||||||||||
(94 | ) | $ | (9,400 | ) | $ | (308,150 | ) | $ | (265,100 | ) | $ | (43,050 | ) | |||||||||||||||||
Puts |
| |||||||||||||||||||||||||||||
S&P 500 Index | $ | 3,395.00 | 01/29/2021 | (1 | ) | $ | (100 | ) | $ | (1,490 | ) | $ | (8,739 | ) | $ | 7,249 | ||||||||||||||
S&P 500 Index | 3,470.00 | 01/29/2021 | (2 | ) | (200 | ) | (4,101 | ) | (16,288 | ) | 12,187 | |||||||||||||||||||
S&P 500 Index | 3,505.00 | 01/29/2021 | (2 | ) | (200 | ) | (4,760 | ) | (16,158 | ) | 11,398 | |||||||||||||||||||
S&P 500 Index | 3,540.00 | 01/29/2021 | (3 | ) | (300 | ) | (8,325 | ) | (21,338 | ) | 13,013 | |||||||||||||||||||
S&P 500 Index | 3,540.00 | 02/26/2021 | (2 | ) | (200 | ) | (11,249 | ) | (14,546 | ) | 3,297 | |||||||||||||||||||
S&P 500 Index | 3,545.00 | 02/26/2021 | (2 | ) | (200 | ) | (11,430 | ) | (16,617 | ) | 5,187 | |||||||||||||||||||
S&P 500 Index | 3,555.00 | 02/26/2021 | (1 | ) | (100 | ) | (5,895 | ) | (8,302 | ) | 2,407 | |||||||||||||||||||
S&P 500 Index | 3,580.00 | 01/29/2021 | (1 | ) | (100 | ) | (3,295 | ) | (6,072 | ) | 2,777 | |||||||||||||||||||
S&P 500 Index | 3,590.00 | 01/20/2021 | (9 | ) | (900 | ) | (19,620 | ) | (35,779 | ) | 16,159 | |||||||||||||||||||
S&P 500 Index | 3,590.00 | 01/29/2021 | (2 | ) | (200 | ) | (6,890 | ) | (12,308 | ) | 5,418 | |||||||||||||||||||
S&P 500 Index | 3,590.00 | 02/26/2021 | (3 | ) | (300 | ) | (19,725 | ) | (21,778 | ) | 2,053 | |||||||||||||||||||
S&P 500 Index | 3,610.00 | 01/13/2021 | (9 | ) | (900 | ) | (14,040 | ) | (42,459 | ) | 28,419 | |||||||||||||||||||
S&P 500 Index | 3,625.00 | 01/06/2021 | (9 | ) | (900 | ) | (5,490 | ) | (39,420 | ) | 33,930 | |||||||||||||||||||
S&P 500 Index | 3,630.00 | 01/29/2021 | (8 | ) | (800 | ) | (32,960 | ) | (36,814 | ) | 3,854 | |||||||||||||||||||
S&P 500 Index | 3,635.00 | 01/29/2021 | (8 | ) | (800 | ) | (33,680 | ) | (37,618 | ) | 3,938 | |||||||||||||||||||
S&P 500 Index | 3,640.00 | 01/27/2021 | (9 | ) | (900 | ) | (35,415 | ) | (40,125 | ) | 4,710 | |||||||||||||||||||
S&P 500 Index | 3,640.00 | 01/29/2021 | (8 | ) | (800 | ) | (34,480 | ) | (38,516 | ) | 4,036 | |||||||||||||||||||
S&P 500 Index | 3,645.00 | 01/29/2021 | (8 | ) | (800 | ) | (35,280 | ) | (39,412 | ) | 4,132 | |||||||||||||||||||
S&P 500 Index | 3,650.00 | 01/29/2021 | (8 | ) | (800 | ) | (36,080 | ) | (40,296 | ) | 4,216 | |||||||||||||||||||
Total written option contracts | (95 | ) | $ | (9,500 | ) | $ | (324,205 | ) | $ | (492,585 | ) | $ | 168,380 | |||||||||||||||||
TOTAL | (189 | ) | $ | (18,900 | ) | $ | (632,355 | ) | $ | (757,685 | ) | $ | 125,330 |
| ||
Abbreviations: | ||
MS & Co. Int. PLC | —Morgan Stanley & Co. International PLC | |
|
The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Statement of Assets and Liabilities
December 31, 2020
| ||||||
Assets: |
| |||||
Investments in Affiliated Funds, at value (cost $656,223,052) | $ | 797,612,123 | ||||
Purchased options, at value (premium paid $370,349) | 1,277,125 | |||||
Cash | 14,241,822 | |||||
Foreign currencies, at value (cost $67,470) | 61,590 | |||||
Unrealized gain on forward foreign currency exchange contracts | 46,811 | |||||
Variation margin on futures contracts | 412,370 | |||||
Receivables: | ||||||
Collateral on certain derivative contracts(a) | 14,581,886 | |||||
Investments sold | 289,770 | |||||
Fund shares sold | 176,148 | |||||
Due from broker | 100,423 | |||||
Reimbursement from investment adviser | 44,226 | |||||
Dividends | 684 | |||||
Other assets | 48,184 | |||||
Total assets | 828,893,162 | |||||
Liabilities: | ||||||
Unrealized loss on forward foreign currency exchange contracts | 887,170 | |||||
Written option contracts, at value (premium received $757,685) | 632,355 | |||||
Payables: | ||||||
Investments purchased | 207,534 | |||||
Fund shares redeemed | 116,074 | |||||
Management fees | 103,139 | |||||
Distribution and Service fees and Transfer Agency fees | 91,722 | |||||
Accrued expenses | 190,529 | |||||
Total liabilities | 2,228,523 | |||||
Net Assets: | ||||||
Paid-in capital | 672,492,511 | |||||
Total distributable earnings | 154,172,128 | |||||
NET ASSETS | $ | 826,664,639 | ||||
Net Assets: | ||||||
Class A | $ | 166,449,440 | ||||
Class C | 13,715,894 | |||||
Institutional | 14,179,068 | |||||
Service | 269,280 | |||||
Investor | 4,908,223 | |||||
Class R6 | 490,832,050 | |||||
Class R | 5,700,424 | |||||
Class P | 130,610,260 | |||||
Total Net Assets | $ | 826,664,639 | ||||
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | ||||||
Class A | 7,793,720 | |||||
Class C | 662,217 | |||||
Institutional | 655,612 | |||||
Service | 12,614 | |||||
Investor | 233,213 | |||||
Class R6 | 22,690,761 | |||||
Class R | 269,284 | |||||
Class P | 6,035,118 | |||||
Net asset value, offering and redemption price per share:(b) | ||||||
Class A | $21.36 | |||||
Class C | 20.71 | |||||
Institutional | 21.63 | |||||
Service | 21.35 | |||||
Investor | 21.05 | |||||
Class R6 | 21.63 | |||||
Class R | 21.17 | |||||
Class P | 21.64 |
(a) | Includes segregated cash of $7,941,602, $710,000 and $5,930,284 relating to initial margin requirements and/or collateral on futures, forward foreign currency and options transactions, respectively. |
(b) | Maximum public offering price per share for Class A Shares is $22.60. 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. |
12 | 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, 2020
| ||||||
Investment income: | ||||||
Dividends from Affiliated Funds | $ | 11,543,285 | ||||
Interest | 9,262 | |||||
Total investment income | 11,552,547 | |||||
Expenses: |
| |||||
Management fees | 1,123,086 | |||||
Distribution and Service (12b-1) fees(a) | 500,518 | |||||
Transfer Agency fees(a) | 465,266 | |||||
Professional fees | 153,560 | |||||
Registration fees | 132,615 | |||||
Printing and mailing costs | 120,082 | |||||
Custody, accounting and administrative services | 72,362 | |||||
Service fees — Class C | 34,921 | |||||
Trustee fees | 21,662 | |||||
Prime Broker Fees | 1,294 | |||||
Shareholder Administration fees — Service Shares | 660 | |||||
Other | 17,847 | |||||
Total expenses | 2,643,873 | |||||
Less — expense reductions | (488,771 | ) | ||||
Net expenses | 2,155,102 | |||||
NET INVESTMENT INCOME | 9,397,445 | |||||
Realized and unrealized gain (loss): |
| |||||
Capital gain distributions from Affiliated Funds | 4,567,520 | |||||
Net realized gain (loss) from: | ||||||
Affiliated Funds | 5,113,628 | |||||
Purchased options | 8,037,379 | |||||
Futures contracts | 711,933 | |||||
Written options | (1,966,102 | ) | ||||
Forward foreign currency exchange contracts | (2,603,855 | ) | ||||
Foreign currency transactions | (69 | ) | ||||
Net change in unrealized gain (loss) on: | ||||||
Affiliated Funds | 69,826,810 | |||||
Purchased options | 1,064,693 | |||||
Futures contracts | 648,571 | |||||
Written options | 131,500 | |||||
Forward foreign currency exchange contracts | (377,458 | ) | ||||
Foreign currency translation | (25,904 | ) | ||||
Net realized and unrealized gain | 85,128,646 | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 94,526,091 |
(a) | Class specific Distribution and/or Service (12b-1) and Transfer Agency fees were as follows: |
Distribution and/or Service (12b-1) Fees | Transfer Agency Fees | |||||||||||||||||||||||||||||||||||||||||||||
Class A | Class C | Service | Class R | Class A | Class C | Institutional | Service | Investor | Class R6 | Class R | Class P | |||||||||||||||||||||||||||||||||||
$ | 368,271 | $ | 104,763 | $ | 660 | $ | 26,824 | $ | 250,424 | $ | 23,747 | $ | 5,638 | $ | 106 | $ | 7,181 | $ | 135,460 | $ | 9,120 | $ | 33,590 |
The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Statements of Changes in Net Assets
For the Fiscal Year Ended December 31, 2020 | For the Fiscal Year Ended December 31, 2019 | |||||||||
From operations: |
| |||||||||
Net investment income | $ | 9,397,445 | $ | 13,090,820 | ||||||
Net realized gain | 13,860,434 | 45,816,987 | ||||||||
Net change in unrealized gain | 71,268,212 | 72,518,111 | ||||||||
Net increase in net assets resulting from operations | 94,526,091 | 131,425,918 | ||||||||
Distributions to shareholders: |
| |||||||||
From distributable earnings: | ||||||||||
Class A Shares | (3,838,747 | ) | (8,721,949 | ) | ||||||
Class C Shares | (223,898 | ) | (853,186 | ) | ||||||
Institutional Shares | (368,684 | ) | (757,246 | ) | ||||||
Service Shares | (5,799 | ) | (19,202 | ) | ||||||
Investor Shares | (125,539 | ) | (257,107 | ) | ||||||
Class R6 Shares | (12,747,997 | ) | (27,511,667 | ) | ||||||
Class R Shares | (117,416 | ) | (324,233 | ) | ||||||
Class P Shares | (3,401,510 | ) | (7,237,115 | ) | ||||||
Total distributions to shareholders | (20,829,590 | ) | (45,681,705 | ) | ||||||
From share transactions: |
| |||||||||
Proceeds from sales of shares | 40,734,037 | 523,768,845 | ||||||||
Reinvestment of distributions | 20,421,928 | 44,747,494 | ||||||||
Cost of shares redeemed | (117,245,793 | ) | (139,697,167 | ) | ||||||
Net increase (decrease) in net assets resulting from share transactions | (56,089,828 | ) | 428,819,172 | |||||||
TOTAL INCREASE | 17,606,673 | 514,563,385 | ||||||||
Net assets: |
| |||||||||
Beginning of year | 809,057,966 | 294,494,581 | ||||||||
End of year | $ | 826,664,639 | $ | 809,057,966 |
14 | 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, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 19.32 | $ | 16.26 | $ | 18.84 | $ | 15.25 | $ | 14.44 | ||||||||||||
Net investment income(a)(b) | 0.18 | 0.29 | 0.20 | 0.16 | 0.16 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.36 | 3.86 | (2.35 | ) | 3.80 | 0.83 | ||||||||||||||||
Total from investment operations | 2.54 | �� | 4.15 | (2.15 | ) | 3.96 | 0.99 | |||||||||||||||
Distributions to shareholders from net investment income | (0.18 | ) | (0.27 | ) | (0.43 | ) | (0.37 | ) | (0.18 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.32 | ) | (0.82 | ) | — | — | — | |||||||||||||||
Total distributions | (0.50 | ) | (1.09 | ) | (0.43 | ) | (0.37 | ) | (0.18 | ) | ||||||||||||
Net asset value, end of year | $ | 21.36 | $ | 19.32 | $ | 16.26 | $ | 18.84 | $ | 15.25 | ||||||||||||
Total return(c) | 13.15 | % | 25.66 | % | (11.40 | )% | 25.96 | % | 6.81 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 166,449 | $ | 162,028 | $ | 135,758 | $ | 137,276 | $ | 124,514 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.57 | % | 0.58 | % | 0.58 | % | 0.59 | % | 0.59 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.64 | % | 0.66 | % | 0.66 | % | 0.67 | % | 0.69 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 0.98 | % | 1.56 | % | 1.09 | % | 0.93 | % | 1.12 | % | ||||||||||||
Portfolio turnover rate(e) | 12 | % | 40 | % | 11 | % | 53 | % | 39 | % |
(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. | 15 |
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, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 18.74 | $ | 15.77 | $ | 18.01 | $ | 14.58 | $ | 13.82 | ||||||||||||
Net investment income (loss)(a)(b) | 0.02 | 0.10 | (0.05 | ) | 0.01 | 0.05 | ||||||||||||||||
Net realized and unrealized gain (loss) | 2.28 | 3.77 | (2.12 | ) | 3.65 | 0.78 | ||||||||||||||||
Total from investment operations | 2.30 | 3.87 | (2.17 | ) | 3.66 | 0.83 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.01 | ) | (0.08 | ) | (0.07 | ) | (0.23 | ) | (0.07 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.32 | ) | (0.82 | ) | — | — | — | |||||||||||||||
Total distributions | (0.33 | ) | (0.90 | ) | (0.07 | ) | (0.23 | ) | (0.07 | ) | ||||||||||||
Net asset value, end of year | $ | 20.71 | $ | 18.74 | $ | 15.77 | $ | 18.01 | $ | 14.58 | ||||||||||||
Total return(c) | 12.29 | % | 24.72 | % | (12.04 | )% | 25.08 | % | 5.95 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 13,716 | $ | 17,348 | $ | 23,020 | $ | 68,315 | $ | 75,027 | ||||||||||||
Ratio of net expenses to average net assets(d) | 1.32 | % | 1.33 | % | 1.33 | % | 1.34 | % | 1.34 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 1.39 | % | 1.41 | % | 1.40 | % | 1.42 | % | 1.44 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets(b) | 0.13 | % | 0.58 | % | (0.29 | )% | 0.08 | % | 0.33 | % | ||||||||||||
Portfolio turnover rate(e) | 12 | % | 40 | % | 11 | % | 53 | % | 39 | % |
(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. |
16 | 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, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 19.55 | $ | 16.43 | $ | 19.01 | $ | 15.38 | $ | 14.57 | ||||||||||||
Net investment income(a)(b) | 0.23 | 0.34 | 0.09 | 0.24 | 0.23 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.42 | 3.93 | (2.20 | ) | 3.83 | 0.82 | ||||||||||||||||
Total from investment operations | 2.65 | 4.27 | (2.11 | ) | 4.07 | 1.05 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.25 | ) | (0.33 | ) | (0.47 | ) | (0.44 | ) | (0.24 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.32 | ) | (0.82 | ) | — | — | — | |||||||||||||||
Total distributions | (0.57 | ) | (1.15 | ) | (0.47 | ) | (0.44 | ) | (0.24 | ) | ||||||||||||
Net asset value, end of year | $ | 21.63 | $ | 19.55 | $ | 16.43 | $ | 19.01 | $ | 15.38 | ||||||||||||
Total return(c) | 13.56 | % | 26.18 | % | (11.07 | )% | 26.48 | % | 7.18 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 14,179 | $ | 13,423 | $ | 16,974 | $ | 155,828 | $ | 119,108 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.19 | % | 0.20 | % | 0.19 | % | 0.20 | % | 0.19 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.26 | % | 0.28 | % | 0.26 | % | 0.28 | % | 0.29 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.25 | % | 1.82 | % | 0.47 | % | 1.40 | % | 1.55 | % | ||||||||||||
Portfolio turnover rate(e) | 12 | % | 40 | % | 11 | % | 53 | % | 39 | % |
(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 | ||||||||||||||||||||||
Service Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 19.30 | $ | 16.20 | $ | 18.75 | $ | 15.19 | $ | 14.39 | ||||||||||||
Net investment income(a)(b) | 0.15 | 0.21 | 0.15 | 0.16 | 0.15 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.37 | 3.89 | (2.31 | ) | 3.76 | 0.81 | ||||||||||||||||
Total from investment operations | 2.52 | 4.10 | (2.16 | ) | 3.92 | 0.96 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.15 | ) | (0.18 | ) | (0.39 | ) | (0.36 | ) | (0.16 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.32 | ) | (0.82 | ) | — | — | — | |||||||||||||||
Total distributions | (0.47 | ) | (1.00 | ) | (0.39 | ) | (0.36 | ) | (0.16 | ) | ||||||||||||
Net asset value, end of year | $ | 21.35 | $ | 19.30 | $ | 16.20 | $ | 18.75 | $ | 15.19 | ||||||||||||
Total return(c) | 13.04 | % | 25.49 | % | (11.48 | )% | 25.79 | % | 6.66 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 269 | $ | 380 | $ | 543 | $ | 684 | $ | 470 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.69 | % | 0.70 | % | 0.69 | % | 0.69 | % | 0.69 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.76 | % | 0.78 | % | 0.77 | % | 0.78 | % | 0.79 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 0.79 | % | 1.16 | % | 0.80 | % | 0.91 | % | 1.01 | % | ||||||||||||
Portfolio turnover rate(e) | 12 | % | 40 | % | 11 | % | 53 | % | 39 | % |
(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 | ||||||||||||||||||||||
Investor Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 19.04 | $ | 16.03 | $ | 18.58 | $ | 15.03 | $ | 14.25 | ||||||||||||
Net investment income(a)(b) | 0.23 | 0.30 | 0.24 | 0.18 | 0.21 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.33 | 3.84 | (2.32 | ) | 3.78 | 0.79 | ||||||||||||||||
Total from investment operations | 2.56 | 4.14 | (2.08 | ) | 3.96 | 1.00 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.23 | ) | (0.31 | ) | (0.47 | ) | (0.41 | ) | (0.22 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.32 | ) | (0.82 | ) | — | — | — | |||||||||||||||
Total distributions | (0.55 | ) | (1.13 | ) | (0.47 | ) | (0.41 | ) | (0.22 | ) | ||||||||||||
Net asset value, end of year | $ | 21.05 | $ | 19.04 | $ | 16.03 | $ | 18.58 | $ | 15.03 | ||||||||||||
Total return(c) | 13.44 | % | 25.97 | % | (11.18 | )% | 26.35 | % | 6.99 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 4,908 | $ | 4,517 | $ | 5,703 | $ | 5,481 | $ | 5,663 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.32 | % | 0.33 | % | 0.33 | % | 0.34 | % | 0.34 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.39 | % | 0.41 | % | 0.41 | % | 0.42 | % | 0.44 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.24 | % | 1.66 | % | 1.28 | % | 1.07 | % | 1.47 | % | ||||||||||||
Portfolio turnover rate(e) | 12 | % | 40 | % | 11 | % | 53 | % | 39 | % |
(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 | ||||||||||||||||||||||
Class R6 Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 19.55 | $ | 16.44 | $ | 19.04 | $ | 15.37 | $ | 14.57 | ||||||||||||
Net investment income(a)(b) | 0.25 | 0.49 | 1.61 | 0.12 | 0.24 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.40 | 3.78 | (3.71 | ) | 3.96 | 0.80 | ||||||||||||||||
Total from investment operations | 2.65 | 4.27 | (2.10 | ) | 4.08 | 1.04 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.25 | ) | (0.34 | ) | (0.50 | ) | (0.41 | ) | (0.24 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.32 | ) | (0.82 | ) | — | — | — | |||||||||||||||
Total distributions | (0.57 | ) | (1.16 | ) | (0.50 | ) | (0.41 | ) | (0.24 | ) | ||||||||||||
Net asset value, end of year | $ | 21.63 | $ | 19.55 | $ | 16.44 | $ | 19.04 | $ | 15.37 | ||||||||||||
Total return(c) | 13.57 | % | 26.14 | % | (11.00 | )% | 26.54 | % | 7.12 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 490,832 | $ | 478,073 | $ | 4,485 | $ | 13 | $ | 10 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.18 | % | 0.19 | % | 0.18 | % | 0.18 | % | 0.19 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.25 | % | 0.26 | % | 0.32 | % | 0.24 | % | 0.28 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.36 | % | 2.55 | % | 9.20 | % | 0.66 | % | 1.63 | % | ||||||||||||
Portfolio turnover rate(e) | 12 | % | 40 | % | 11 | % | 53 | % | 39 | % |
(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 | ||||||||||||||||||||||
Class R Shares | ||||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||||
2020 | 2019 | 2018 | 2017 | 2016 | ||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of year | $ | 19.15 | $ | 16.13 | $ | 18.69 | $ | 15.15 | $ | 14.37 | ||||||||||||
Net investment income(a)(b) | 0.13 | 0.24 | 0.14 | 0.19 | 0.16 | |||||||||||||||||
Net realized and unrealized gain (loss) | 2.34 | 3.82 | (2.32 | ) | 3.70 | 0.78 | ||||||||||||||||
Total from investment operations | 2.47 | 4.06 | (2.18 | ) | 3.89 | 0.94 | ||||||||||||||||
Distributions to shareholders from net investment income | (0.13 | ) | (0.22 | ) | (0.38 | ) | (0.35 | ) | (0.16 | ) | ||||||||||||
Distributions to shareholders from net realized gains | (0.32 | ) | (0.82 | ) | — | — | — | |||||||||||||||
Total distributions | (0.45 | ) | (1.04 | ) | (0.38 | ) | (0.35 | ) | (0.16 | ) | ||||||||||||
Net asset value, end of year | $ | 21.17 | $ | 19.15 | $ | 16.13 | $ | 18.69 | $ | 15.15 | ||||||||||||
Total return(c) | 12.88 | % | 25.36 | % | (11.63 | )% | 25.70 | % | 6.49 | % | ||||||||||||
Net assets, end of year (in 000s) | $ | 5,700 | $ | 5,922 | $ | 4,938 | $ | 5,910 | $ | 2,031 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.82 | % | 0.83 | % | 0.83 | % | 0.84 | % | 0.84 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 0.89 | % | 0.91 | % | 0.91 | % | 0.92 | % | 0.94 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 0.70 | % | 1.31 | % | 0.77 | % | 1.06 | % | 1.10 | % | ||||||||||||
Portfolio turnover rate(e) | 12 | % | 40 | % | 11 | % | 53 | % | 39 | % |
(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, | Period Ended December 31,2018(a) | |||||||||||||
2020 | 2019 | |||||||||||||
Per Share Data | ||||||||||||||
Net asset value, beginning of period | $ | 19.56 | $ | 16.44 | $ | 19.43 | ||||||||
Net investment income(b)(c) | 0.26 | 0.37 | 0.31 | |||||||||||
Net realized and unrealized gain (loss) | 2.39 | 3.91 | (2.80 | ) | ||||||||||
Total from investment operations | 2.65 | 4.28 | (2.49 | ) | ||||||||||
Distributions to shareholders from net investment income | (0.25 | ) | (0.34 | ) | (0.50 | ) | ||||||||
Distributions to shareholders from net realized gains | (0.32 | ) | (0.82 | ) | — | |||||||||
Total distributions | (0.57 | ) | (1.16 | ) | (0.50 | ) | ||||||||
Net asset value, end of period | $ | 21.64 | $ | 19.56 | $ | 16.44 | ||||||||
Total return(d) | 13.57 | % | 26.19 | % | (12.80 | )% | ||||||||
Net assets, end of period (in 000s) | $ | 130,610 | $ | 127,367 | $ | 103,074 | ||||||||
Ratio of net expenses to average net assets(e) | 0.18 | % | 0.19 | % | 0.18 | %(f) | ||||||||
Ratio of total expenses to average net assets(e) | 0.25 | % | 0.27 | % | 0.27 | %(f) | ||||||||
Ratio of net investment income to average net assets(c) | 1.37 | % | 1.96 | % | 2.33 | %(f) | ||||||||
Portfolio turnover rate(g) | 12 | % | 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 (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) | 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
December 31, 2020
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 Trust includes the Goldman Sachs Dynamic Global Equity Fund (the “Fund”). The Fund is a diversified fund and currently offers eight classes of shares: Class A, Class C, Institutional, Service, Investor, Class R6, Class R and Class P Shares.
Class A Shares are sold with a front-end sales charge of up to 5.50%. Class C Shares are sold with a contingent deferred sales charge (“CDSC”) of 1.00%, which is imposed on redemptions made within 12 months of purchase. Institutional, Service, Investor, Class R6 and Class R and Class P 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 valuation policy of the Fund and Underlying Funds is to value investments at fair value.
B. Investment Income and Investments — Investment income includes interest income, dividend income, and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. 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, and non-class specific expenses of the Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by the Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the Fund on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agency and Service and Shareholder Administration fees. 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 different proportions of the Underlying Funds at different times, the amount of fees and expenses incurred indirectly by the Fund will vary.
23
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2020
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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 the ex-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 level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. 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 GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Fund’s investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
24
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 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 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 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 are marked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be used to collateralize forward contracts.
A forward foreign currency exchange contract is a forward contract in which the Fund agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked to market daily by using the outright forward rates or interpolating based upon maturity dates, where available. 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 subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on swap contracts.
25
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2020
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 subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Fund’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Fund’s NAV. 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, 2020:
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets |
| |||||||||||
Underlying Funds |
| |||||||||||
Equity | $ | 261,386,947 | $ | — | $ | — | ||||||
Exchange Traded Funds | 491,787,757 | — | — | |||||||||
Investment Company | 44,437,419 | — | — | |||||||||
Total | $ | 797,612,123 | $ | — | $ | — | ||||||
Derivative Type | ||||||||||||
Assets | ||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | — | $ | 46,811 | $ | — | ||||||
Futures Contracts(a) | 2,889,291 | — | — | |||||||||
Options Purchased | 1,277,125 | — | — | |||||||||
Total | $ | 4,166,416 | $ | 46,811 | $ | — | ||||||
Liabilities | ||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | — | $ | (887,170 | ) | $ | — | |||||
Written Option Contracts | (632,355 | ) | — | — | ||||||||
Total | $ | (632,355 | ) | $ | (887,170 | ) | $ | — |
(a) | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Schedule of Investments.
26
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, 2020. 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 | $ | 1,277,125 | — | $ | — | ||||||
Equity | Variation margin on future contracts | 2,889,291 | (a) | Written options, at value | (632,355) | |||||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts | 46,811 | Payable for unrealized loss on forward foreign currency contracts | (887,170) | ||||||||
Total | $ | 4,213,227 | $ | (1,519,525) |
(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, 2020 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, 2020. 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 and options/Net change in unrealized gain (loss) on purchased options | $ | 8,649,850 | $ | 552,758 | 6 | ||||||||
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 | (1,866,640 | ) | 1,292,006 | 1,175 | |||||||||
Currency | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | (2,603,855 | ) | (377,458 | ) | 13 | ||||||||
Total | $ | 4,179,355 | $ | 1,467,306 | 1,194 |
(a) | Average number of contracts is based on the average of month end balances for the fiscal year ended December 31, 2020. |
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 Rule 12b-1 under the Act. Under the Distribution and Service Plans, Goldman Sachs,
27
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2020
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 Rule 12b-1 under the Act. Under the Distribution Plan, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class C Shares of the Fund, as set forth below.
The Trust, on behalf of Service Shares of the 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 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, 2020, Goldman Sachs retained $7,726 of the front end sales charges and $636 of the CDSC for this Fund.
D. Service and/or 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 R6 and P Shares; and 0.04% of the average daily net assets of Institutional and Service Shares.
F. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to 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 29, 2021, 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.
28
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the fiscal year ended December 31, 2020, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
Transfer Agency Waivers/Credits | Other Expense Reimbursements | Total Expense Reductions | ||||||||
$ | 593 | $ | 488,178 | $ | 488,771 |
G. Line of Credit Facility — As of December 31, 2020, the Fund participated in a $700,000,000 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, 2020, the Fund did not have any borrowings under the facility. Prior to April 28, 2020, the facility was $580,000,000.
H. 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 table below shows the transactions in and earnings from investments in these Underlying Funds for the fiscal year ended December 31, 2020 (in thousands):
Underlying Funds | Market Value as of 12/31/2019 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Market Value as of 12/31/2020 | Shares as of 12/31/2020 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
Goldman Sachs ActiveBeta Emerging Markets Equity ETF | $ | 64,004 | $ | — | $ | (2,110 | ) | $ | (551 | ) | $ | 6,562 | $ | 67,905 | 1,779 | $ | 1,089 | $ | — | |||||||||||||||||
Goldman Sachs ActiveBeta International Equity ETF | 139,467 | 6,959 | (8,005 | ) | (1,510 | ) | 7,248 | 144,159 | 4,519 | 2,303 | — | |||||||||||||||||||||||||
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | 207,170 | 6,989 | (33,464 | ) | 3,165 | 27,724 | 211,584 | 2,795 | 3,119 | — | ||||||||||||||||||||||||||
Goldman Sachs Emerging Markets Equity Insights Fund — Class R6 | 30,633 | 3,356 | (7,000 | ) | (1,165 | ) | 5,462 | 31,286 | 2,676 | 356 | — | |||||||||||||||||||||||||
Goldman Sachs Financial Square Government Fund — Institutional Shares | 107,461 | 270,404 | (333,428 | ) | — | — | 44,437 | 44,437 | 375 | — | ||||||||||||||||||||||||||
Goldman Sachs Global Infrastructure Fund — Class R6 | 13,577 | 256 | — | — | (752 | ) | 13,081 | 1,111 | 256 | — | ||||||||||||||||||||||||||
Goldman Sachs Global Real Estate Securities Fund — Class R6 | 12,165 | 175 | — | — | (940 | ) | 11,400 | 1,114 | 151 | 25 | ||||||||||||||||||||||||||
Goldman Sachs International Equity Insights Fund — Class R6 | 69,334 | 1,375 | (8,000 | ) | 780 | 3,304 | 66,793 | 4,861 | 1,375 | — | ||||||||||||||||||||||||||
Goldman Sachs International Small Cap Insights Fund — Class R6 | 13,158 | 256 | — | — | 751 | 14,165 | 1,118 | 257 | — | |||||||||||||||||||||||||||
Goldman Sachs Large Cap Growth Insights Fund — Class R6 | 53,450 | 4,691 | (17,000 | ) | 4,395 | 7,346 | 52,882 | 1,314 | 148 | 4,543 |
29
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2020
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
Underlying Funds | Market Value as of 12/31/2019 | Purchases at Cost | Proceeds from Sales | Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Market Value as of 12/31/2020 | Shares as of 12/31/2020 | Dividend Income | Capital Gain Distributions | |||||||||||||||||||||||||||
Goldman Sachs Large Cap Value Insights Fund — Class R6 | $ | 52,009 | $ | 872 | $ | — | $ | — | $ | (123 | ) | $ | 52,758 | 2,388 | $ | 873 | $ | — | ||||||||||||||||||
Goldman Sachs MarketBeta Emerging Markets Equity ETF | — | 26,019 | — | — | 6,075 | 32,094 | 585 | 774 | — | |||||||||||||||||||||||||||
Goldman Sachs MarketBeta International Equity ETF | — | 30,017 | — | — | 6,029 | 36,046 | 685 | 368 | — | |||||||||||||||||||||||||||
Goldman Sachs Small Cap Equity Insights Fund — Class R6 | 17,781 | 100 | — | — | 1,141 | 19,022 | 640 | 99 | — | |||||||||||||||||||||||||||
Total | $ | 780,209 | $ | 351,469 | $ | (409,007 | ) | $ | 5,114 | $ | 69,827 | $ | 797,612 | $ | 11,543 | $ | 4,568 |
As of December 31, 2020, the Goldman Sachs Growth Strategy, Goldman Sachs Growth and Income Strategy and Goldman Sachs Balanced Strategy Portfolios beneficially owned 24%, 23% and 11%, 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, 2020, are $81,066,748 and $88,169,260, respectively.
7. TAX INFORMATION |
The tax character of distributions paid during the fiscal year ended December 31, 2020 was as follows:
Distribution paid from: | ||||
Ordinary income | $ | 13,786,669 | ||
Net long-term capital gains | 7,042,921 | |||
Total taxable distributions | $ | 20,829,590 |
The tax character of distributions paid during the fiscal year ended December 31, 2019 was as follows:
Distribution paid from: | ||||
Ordinary income | $ | 20,749,477 | ||
Net long-term capital gains | 24,932,228 | |||
Total taxable distributions | $ | 45,681,705 |
30
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
7. TAX INFORMATION (continued) |
As of December 31, 2020, the components of accumulated earnings (losses) on a tax basis were as follows:
Undistributed ordinary income — net | $ | 1,621,437 | ||
Undistributed long-term capital gains | 16,375,206 | |||
Total undistributed earnings | $ | 17,996,643 | ||
Timing differences (Qualified Late Year Loss Deferral and Straddle Loss Deferral) | $ | (2,164,833 | ) | |
Unrealized gains (losses) — net | 138,340,318 | |||
Total accumulated earnings (losses) net $ | $ | 154,172,128 |
As of December 31, 2020, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Tax Cost | $ | 662,717,311 | ||
Gross unrealized gain | 138,953,871 | |||
Gross unrealized loss | (613,553 | ) | ||
Net unrealized gains (loss) | $ | 138,340,318 |
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.
Dividend-Paying Investments Risk — The Fund’s investments in dividend-paying securities could cause the Fund to underperform other funds. Securities that pay dividends, as a group, can fall out of favor with the market, causing such securities to underperform securities that do not pay dividends. Depending upon market conditions and political and legislative responses to such conditions, dividend-paying securities that meet a Fund’s investment criteria may not be widely available and/or may be highly concentrated in only a few market sectors. In addition, issuers that have paid regular dividends or distributions to shareholders may not continue to do so at the same level or at all in the future. This may limit the ability of the Fund to produce current income.
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social stability in the countries in which the Fund
31
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2020
8. OTHER RISKS (continued) |
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 the Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that the Fund also invests in securities of issuers located in emerging markets, these risks may be more pronounced.
Investments in 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 of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include the Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of the Fund. Such large shareholder redemptions, 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). The value of the securities in which the Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, acts of terrorism, social unrest, natural disasters, the spread of infectious illness or other public health threats could also significantly impact the Fund and its investments. 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
32
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
9. INDEMNIFICATIONS (continued) |
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 October 22, 2020, Goldman Sachs announced a settlement of matters involving 1Malaysia Development Bhd. (1MDB), a Malaysian sovereign wealth fund, with the United States Department of Justice as well as criminal and civil authorities in the UK, Singapore and Hong Kong. Further information regarding the 1MDB settlement can be found at https://www.goldmansachs.com/media-relations/press-releases/current/goldman-sachs-2020-10-22.html. The 1MDB settlement will not materially adversely affect GSAM’s ability to serve as investment manager.
11. 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.
33
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2020
12. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
Dynamic Global Equity Fund | ||||||||||||||||
For the Fiscal Year Ended December 31, 2020 | For the Fiscal Year Ended December 31, 2019 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 452,591 | $ | 8,274,964 | 866,854 | $ | 16,168,522 | ||||||||||
Reinvestment of distributions | 166,912 | 3,526,407 | 421,756 | 8,029,181 | ||||||||||||
Shares redeemed | (1,212,679 | ) | (22,020,216 | ) | (1,251,441 | ) | (23,256,094 | ) | ||||||||
(593,176 | ) | (10,218,845 | ) | 37,169 | 941,609 | |||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 28,501 | 498,361 | 49,667 | 884,384 | ||||||||||||
Reinvestment of distributions | 10,959 | 221,848 | 43,467 | 794,194 | ||||||||||||
Shares redeemed | (302,838 | ) | (5,160,510 | ) | (627,192 | ) | (11,237,602 | ) | ||||||||
(263,378 | ) | (4,440,301 | ) | (534,058 | ) | (9,559,024 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 651,159 | 12,881,036 | 220,932 | 4,221,884 | ||||||||||||
Reinvestment of distributions | 16,739 | 359,055 | 38,266 | 739,185 | ||||||||||||
Shares redeemed | (699,008 | ) | (13,145,115 | ) | (605,325 | ) | (11,065,822 | ) | ||||||||
(31,110 | ) | 94,976 | (346,127 | ) | (6,104,753 | ) | ||||||||||
Service Shares | ||||||||||||||||
Shares sold | 211 | 3,915 | 405 | 7,344 | ||||||||||||
Reinvestment of distributions | 220 | 4,649 | 502 | 9,503 | ||||||||||||
Shares redeemed | (7,507 | ) | (113,385 | ) | (14,710 | ) | (288,765 | ) | ||||||||
(7,076 | ) | (104,821 | ) | (13,803 | ) | (271,918 | ) | |||||||||
Investor Shares | ||||||||||||||||
Shares sold | 33,472 | 604,166 | 52,316 | 950,282 | ||||||||||||
Reinvestment of distributions | 6,017 | 125,539 | 13,675 | 257,107 | ||||||||||||
Shares redeemed | (43,486 | ) | (766,754 | ) | (184,609 | ) | (3,377,794 | ) | ||||||||
(3,997 | ) | (37,049 | ) | (118,618 | ) | (2,170,405 | ) | |||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 383,853 | 7,549,584 | 26,778,726 | 491,425,595 | ||||||||||||
Reinvestment of distributions | 590,151 | 12,665,504 | 1,415,765 | 27,357,672 | ||||||||||||
Shares redeemed | (2,735,397 | ) | (53,939,479 | ) | (4,015,155 | ) | (77,497,054 | ) | ||||||||
(1,761,393 | ) | (33,724,391 | ) | 24,179,336 | 441,286,213 | |||||||||||
Class R Shares | ||||||||||||||||
Shares sold | 34,886 | 626,087 | 47,986 | 873,254 | ||||||||||||
Reinvestment of distributions | 5,623 | 117,416 | 17,178 | 323,537 | ||||||||||||
Shares redeemed | (80,430 | ) | (1,469,351 | ) | (62,050 | ) | (1,149,782 | ) | ||||||||
(39,921 | ) | (725,848 | ) | 3,114 | 47,009 | |||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 547,359 | 10,295,924 | 498,856 | 9,237,580 | ||||||||||||
Reinvestment of distributions | 158,422 | 3,401,510 | 374,313 | 7,237,115 | ||||||||||||
Shares redeemed | (1,182,031 | ) | (20,630,983 | ) | (629,931 | ) | (11,824,254 | ) | ||||||||
(476,250 | ) | (6,933,549 | ) | 243,238 | 4,650,441 | |||||||||||
NET INCREASE (DECREASE) | (3,176,301 | ) | $ | (56,089,828 | ) | 23,450,251 | $ | 428,819,172 |
34
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Goldman Sachs Trust and Shareholders of Goldman Sachs Dynamic Global Equity Fund
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 (one of the funds constituting Goldman Sachs Trust, referred to hereafter as the “Fund”) as of December 31, 2020, the related statement of operations for the year ended December 31, 2020, the statements of changes in net assets for each of the two years in the period ended December 31, 2020, 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, 2020, 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, 2020 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, 2020 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.
/s/PricewaterhouseCoopers LLP
Boston, Massachusetts
February 25, 2021
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
35
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 | ||||||||||||
36
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Fund Expenses — Six Months Period Ended December 31, 2020 (Unaudited) |
As a shareholder of Class A, Class C, Institutional, Service, Investor, Class R6, Class R or Class P 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 R6, Class R or Class P 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, 2020 through December 31, 2020, which represents a period of 184 days of a 366 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the 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 7/1/20 | Ending Account Value 12/31/20 | Expenses Paid for the 6 months ended 12/31/20* | |||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,232.00 | $ | 3.20 | ||||||
Hypothetical 5% return | 1,000.00 | 1,022.27 | + | 2.90 | ||||||||
Class C | ||||||||||||
Actual | 1,000.00 | 1,226.70 | 7.39 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,018.50 | + | 6.70 | ||||||||
Institutional | ||||||||||||
Actual | 1,000.00 | 1,233.80 | 1.07 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,024.18 | + | 0.97 | ||||||||
Service | ||||||||||||
Actual | 1,000.00 | 1,230.90 | 3.87 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,021.67 | + | 3.51 | ||||||||
Investor | ||||||||||||
Actual | 1,000.00 | 1,233.20 | 1.80 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,023.53 | + | 1.63 | ||||||||
Class R6 | ||||||||||||
Actual | 1,000.00 | 1,234.00 | 1.01 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,024.23 | + | 0.92 | ||||||||
Class R | ||||||||||||
Actual | 1,000.00 | 1,230.00 | 4.60 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,021.01 | + | 4.17 | ||||||||
Class P | ||||||||||||
Actual | 1,000.00 | 1,233.90 | 1.01 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,024.23 | + | 0.92 |
+ | 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, 2020. 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 R6 | Class R | Class P | ||||||||||||||||||||||||
Dynamic Global Equity Fund | 0.57 | % | 1.32 | % | 0.19 | % | 0.69 | % | 0.32 | % | 0.18 | % | 0.82 | % | 0.18 | % |
37
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: 71 | 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. | 105 | None | |||||
Dwight L. Bush Age: 63 | Trustee | Since 2020 | 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). Previously, Ambassador Bush served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 105 | None | |||||
Kathryn A. Cassidy Age: 66 | 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. | 105 | None | |||||
Diana M. Daniels Age: 71 | 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. | 105 | None | |||||
Joaquin Delgado Age: 60 | Trustee | Since 2020 | 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). Previously, Dr. Delgado served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust | 105 | Hexion Inc. (a specialty chemical manufacturer); Stepan Company (a specialty chemical manufacturer) | |||||
Roy W. Templin Age: 60 | 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).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 105 | Armstrong World Industries, Inc. (a ceiling, wall and suspension systems solutions manufacturer) | |||||
Gregory G. Weaver Age: 69 | 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. | 105 | Verizon Communications Inc. | |||||
38
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 Trustee3 | Other Directorships Held by Trustee4 | |||||
James A. McNamara Age: 58 | 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 and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund.
| 164 | None | |||||
* | 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 may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of December 31, 2020. |
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 each Independent Trustee shall retire as of December 31st of the calendar year in which he or she reaches (a) his or her 75th birthday or (b) the 15th anniversary of the date he or she became a Trustee, whichever is earlier, 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, 2020, Goldman Sachs Trust consisted of 92 portfolios (90 of which offered shares to the public); 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 ETF Trust consisted of 31 portfolios (20 of which offered shares to the public); and 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. Goldman Sachs Credit Income Fund did not offer 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.
39
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: 58 | 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 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: 43 | Secretary | Since 2012 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Senior Counsel, Goldman Sachs (January 2020-Present); Associate General Counsel, Goldman Sachs (2012-December 2019); 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 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: 52 | 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 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, 2020. |
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, 2020, 31.30% 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 2020 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 Dynamic Global Equity Fund from sources within foreign countries and possessions of the United States was $0.1683 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 34.28%. The total amount of taxes paid by the Dynamic Global Equity Fund to such countries was $0.0211 per share.
For the year ended December 31, 2020, 57.32% 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 $7,042,921, or, if different, the maximum amount allowable, as capital gain dividends paid during the fiscal year ended December 31, 2020.
During the year ended December 31, 2020, the Dynamic Global Equity Fund designates $4,783,968, as short-term capital gain dividends pursuant to Section 871(k) of the Internal Revenue Code.
40
FUNDS PROFILE
Goldman Sachs Funds
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
Today, the Consumer and Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.95 trillion in assets under supervision as of December 31, 2020, 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 Core Fixed Income Fund4 |
∎ | 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 |
∎ | U.S. Equity ESG Fund5 |
∎ | Income Builder Fund |
Tax-Advantaged Equity
∎ | U.S. Tax-Managed Equity Fund |
∎ | International Tax-Managed Equity Fund |
∎ | U.S. Equity Dividend and Premium Fund |
∎ | International Equity Dividend and Premium Fund |
Equity Insights
∎ | Small Cap Equity Insights Fund |
∎ | U.S. Equity Insights Fund |
∎ | Small Cap Growth Insights Fund |
∎ | Large Cap Growth Insights Fund |
∎ | Large Cap Value Insights Fund |
∎ | Small Cap Value Insights Fund |
∎ | International Small Cap Insights Fund |
∎ | International Equity Insights Fund |
∎ | Emerging Markets Equity Insights Fund |
Fundamental Equity International
∎ | International Equity Income Fund |
∎ | International Equity ESG Fund |
∎ | China Equity Fund |
∎ | Emerging Markets Equity Fund |
∎ | ESG Emerging Markets Equity Fund |
Alternative
∎ | Clean Energy Income Fund |
∎ | Defensive Equity Fund |
∎ | 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 |
∎ | Energy Infrastructure Fund6 |
∎ | 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 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 Fund |
∎ | Satellite Strategies Portfolio |
∎ | Enhanced Dividend Global Equity Portfolio |
∎ | Tax-Advantaged Global Equity Portfolio |
∎ | Strategic Factor Allocation Fund |
∎ | Target Date Retirement Portfolio |
∎ | Target Date 2025 Portfolio |
∎ | Target Date 2030 Portfolio |
∎ | Target Date 2035 Portfolio |
∎ | Target Date 2040 Portfolio |
∎ | Target Date 2045 Portfolio |
∎ | Target Date 2050 Portfolio |
∎ | Target Date 2055 Portfolio |
∎ | Target Date 2060 Portfolio |
∎ | GQG Partners International Opportunities Fund |
1 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
2 | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
3 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
4 | Effective after the close of business on April 30, 2020, the Goldman Sachs Global Income Fund was renamed the Goldman Sachs Global Core Fixed Income Fund. |
5 | Effective after the close on business of August 30, 2020, the Goldman Sachs Blue Chip Fund was renamed the Goldman Sachs U.S. Equity ESG Fund. |
6 | Effective after the close of business on June 26, 2020, the Goldman Sachs MLP & Energy Fund was renamed the Goldman Sachs Energy Infrastructure Fund. |
Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC. |
* | This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds. |
TRUSTEES Jessica Palmer, Chair Dwight L. Bush Kathryn A. Cassidy Diana M. Daniels Joaquin Delgado James A. McNamara Roy W. Templin Gregory G. Weaver
| 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 at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Goldman Sachs Asset Management, L.P. 200 West Street, New York, New York 10282
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
The reports concerning the 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, 2020 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).
© 2021 Goldman Sachs. All rights reserved. 230830-OTU-1355842 DYNGLEQAR-21
Goldman Sachs Funds
Annual Report | December 31, 2020 | |||
Defensive Equity Fund |
Goldman Sachs Defensive Equity Fund
1 | ||||
4 | ||||
5 | ||||
10 | ||||
13 | ||||
20 | ||||
30 | ||||
Statement Regarding Basis for Approval of Management Agreement | 31 | |||
33 |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee |
PORTFOLIO RESULTS
Defensive Equity Fund
Investment Objective
The Fund seeks long-term growth of capital with lower volatility than equity markets.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies (“QIS”) Team discusses the Goldman Sachs Defensive Equity Fund’s (the “Fund”) performance and positioning for the period from its inception on September 30, 2020 through December 31, 2020 (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 R6, Class R and Class P Shares generated cumulative total returns, without sales charges, of 2.04%, 1.81%, 2.11%, 2.08%, 2.11%, 1.95% and 2.11%, respectively. These returns compare to the 12.15% cumulative total return of the Fund’s benchmark, the Standard & Poor’s 500® Index (with dividends reinvested) (the “S&P 500® Index”), during the same period. |
Q | What economic and market factors most influenced the Fund during the Reporting Period? |
A | When the Reporting Period began in the fourth quarter of 2020, the U.S. equity markets appeared euphoric, as they extended their broad-based recovery from steep first calendar quarter declines. U.S. equities rallied on the prospect of an end to the global COVID-19 pandemic and its economic impact following the approval and distribution of two vaccines. Although investor uncertainty surrounding the November U.S. elections and other policy questions created the potential for higher market volatility, the victory of the Democratic candidate for President proved positive for equity markets during the fourth quarter. Also, after a historically sharp but short recession during the spring of 2020, many major economies, including that of the U.S., entered an early-cycle phase of recovery. Employment conditions improved, as temporary job losses were regained in some segments of the economy, and U.S. manufacturing activity rebounded. Despite this improvement, reminders of a COVID-19 ceiling for the industries hit hardest by the COVID-19-related restrictions persisted at the end of the Reporting Period. |
Q | What key factors were most responsible for the Fund’s performance during the Reporting Period? |
A | The Fund seeks to maintain risk, style and capitalization characteristics similar to those of the S&P 500® Index, while seeking to provide lower volatility and enhanced downside protection with an options-based overlay strategy (as described below). The QIS Team uses a variety of quantitative techniques, in combination with a qualitative overlay, when selecting investments for the Fund. |
During the Reporting Period, the Fund underperformed the S&P 500® Index, with our options-based overlay strategy detracting most from relative returns. The Fund’s equity strategy, which aims to pick defensive stocks, also held back performance. |
Q | How did the Fund’s options-based overlay strategy affect its performance? |
A | Consistent with our investment approach, we construct the Fund’s options-based overlay by simultaneously purchasing S&P 500® Index put options at a higher strike price and writing S&P 500® Index put options at a relatively lower strike price, resulting in what is known as a put option spread, and at the same time selling S&P 500® Index call options. The put option spread is designed to provide the Fund with some downside protection, but this protection is limited to the extent of the difference between the strike price of a put option purchased and the strike price of a put option sold. (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. A put option is an option contract that gives the holder the right, but not the obligation, to sell a specified amount of an underlying asset at a specified price within a specified time.) |
1
PORTFOLIO RESULTS
As the seller of S&P 500® Index call and put options, the Fund will receive cash (the “premium”) from the purchaser. If the purchaser exercises the call option, the Fund pays the purchaser the difference between the price of the index and the exercise price of the option. If the purchaser exercises the put option, the Fund pays the purchaser the difference between the exercise price of the option and the price of the index. The premium, the exercise price and the market price of the index determine the gain or loss realized by the Fund as the seller of call and put options. |
During periods in which the U.S. equity markets are falling, a diversified portfolio of equity investments, with an options-based overlay strategy designed to seek to provide downside protection, may outperform the same portfolio without such an option-based overlay strategy. However, in strong rising markets, a portfolio with an options-based overlay strategy could significantly underperform the same portfolio without an options-based overlay strategy. This is what happened during the Reporting Period when the S&P 500® Index appreciated, and thus the Fund’s options-based overlay strategy detracted from performance. |
Our options-based overlay strategy has the potential to reduce Fund’s volatility. Since its inception, the realized daily volatility of the Fund has been 11.81% compared to the realized annualized volatility of the S&P 500® Index of 23.57%.1 |
Q | How did the Fund use derivatives and similar instruments during the Reporting Period? |
A | During the Reporting Period, we employed exchange-traded options on futures, equity index call options and equity index put options as part of the Fund’s options-based overlay. The use of these derivatives had a negative impact on the Fund’s performance during the Reporting Period overall. In addition, the Fund used futures contracts during the Reporting Period, which had a slightly positive impact on its performance. |
Q | Were there any changes to the Fund’s portfolio management team during the Reporting Period? |
A | Effective November 18, 2020, Matthew Schwab no longer served as a portfolio manager of the Fund. At the end of the Reporting Period, the portfolio managers for the Fund were Federico Gilly and Jorge Murillo. |
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. |
1 | The realized daily volatility of the Fund quoted herein is for Institutional Shares, net of fees. Based on GSAM calculations. |
2
FUND BASICS
Defensive Equity Fund
as of December 31, 2020
TOP TEN HOLDINGS AS OF 12/31/201 | ||||||||
Holding | % of Net Assets | Line of Business | ||||||
Apple, Inc. | 6.4 | % | Technology Hardware, Storage & Peripherals | |||||
Microsoft Corp. | 5.1 | Software | ||||||
Amazon.com, Inc. | 4.3 | Internet & Direct Marketing Retail | ||||||
Alphabet, Inc. Class A | 3.4 | Interactive Media & Services | ||||||
Facebook, Inc. Class A | 2.3 | Interactive Media & Services | ||||||
Johnson & Johnson | 1.5 | Pharmaceuticals | ||||||
Berkshire Hathaway, Inc. Class B | 1.4 | Diversified Financial Services | ||||||
Visa, Inc. Class A | 1.2 | IT Services | ||||||
The Procter & Gamble Co. | 1.2 | Household Products | ||||||
NVIDIA Corp. | 1.1 | Semiconductors & Semiconductor Equipment |
1 | The top 10 holdings may not be representative of the Fund’s future investments. The top 10 holdings exclude investments in money market funds. |
FUND VS. BENCHMARK SECTOR ALLOCATIONS2 |
As of December 31, 2020 |
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.
3
FUND BASICS
The S&P 500® Index is an unmanaged composite index of 500 common stock prices. The Index figures do not include any deduction for fees, expenses or taxes.
It is not possible to invest directly in an unmanaged index.
4
GOLDMAN SACHS DEFENSIVE EQUITY FUND
December 31, 2020
Shares | Description | Value | ||||||
Common Stocks – 93.1% | ||||||||
Aerospace & Defense – 0.8% | ||||||||
98 | General Dynamics Corp. | $ | 14,584 | |||||
93 | Howmet Aerospace, Inc. | 2,654 | ||||||
76 | L3Harris Technologies, Inc. | 14,366 | ||||||
33 | Northrop Grumman Corp. | 10,056 | ||||||
|
| |||||||
41,660 | ||||||||
|
| |||||||
Air Freight & Logistics – 0.9% | ||||||||
129 | C.H. Robinson Worldwide, Inc. | 12,109 | ||||||
139 | Expeditors International of Washington, Inc. | 13,220 | ||||||
142 | United Parcel Service, Inc. Class B | 23,913 | ||||||
|
| |||||||
49,242 | ||||||||
|
| |||||||
Banks – 0.1% | ||||||||
36 | First Republic Bank | 5,289 | ||||||
|
| |||||||
Beverages – 2.4% | ||||||||
194 | Brown-Forman Corp. Class B | 15,409 | ||||||
69 | Constellation Brands, Inc. Class A | 15,115 | ||||||
259 | Monster Beverage Corp.* | 23,952 | ||||||
242 | PepsiCo, Inc. | 35,889 | ||||||
736 | The Coca-Cola Co. | 40,362 | ||||||
|
| |||||||
130,727 | ||||||||
|
| |||||||
Biotechnology – 2.2% | ||||||||
472 | AbbVie, Inc. | 50,575 | ||||||
145 | Amgen, Inc. | 33,338 | ||||||
373 | Gilead Sciences, Inc. | 21,731 | ||||||
63 | Incyte Corp.* | 5,480 | ||||||
27 | Regeneron Pharmaceuticals, Inc.* | 13,044 | ||||||
|
| |||||||
124,168 | ||||||||
|
| |||||||
Building Products – 0.7% | ||||||||
200 | A.O. Smith Corp. | 10,964 | ||||||
329 | Johnson Controls International PLC | 15,328 | ||||||
71 | Masco Corp. | 3,900 | ||||||
59 | Trane Technologies PLC | 8,565 | ||||||
|
| |||||||
38,757 | ||||||||
|
| |||||||
Capital Markets – 0.5% | ||||||||
191 | Intercontinental Exchange, Inc. | 22,020 | ||||||
45 | T. Rowe Price Group, Inc. | 6,813 | ||||||
|
| |||||||
28,833 | ||||||||
|
| |||||||
Chemicals – 1.1% | ||||||||
164 | Corteva, Inc. | 6,350 | ||||||
54 | International Flavors & Fragrances, Inc. | 5,877 | ||||||
101 | Linde PLC | 26,615 | ||||||
59 | PPG Industries, Inc. | 8,509 | ||||||
16 | The Sherwin-Williams Co. | 11,759 | ||||||
|
| |||||||
59,110 | ||||||||
|
| |||||||
Commercial Services & Supplies – 0.7% | ||||||||
19 | Cintas Corp. | 6,716 | ||||||
46 | Copart, Inc.* | 5,853 | ||||||
59 | Republic Services, Inc. | 5,682 | ||||||
158 | Waste Management, Inc. | 18,633 | ||||||
|
| |||||||
36,884 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Communications Equipment – 1.4% | ||||||||
62 | Arista Networks, Inc.* | 18,015 | ||||||
838 | Cisco Systems, Inc. | 37,501 | ||||||
26 | F5 Networks, Inc.* | 4,574 | ||||||
405 | Juniper Networks, Inc. | 9,117 | ||||||
51 | Motorola Solutions, Inc. | 8,673 | ||||||
|
| |||||||
77,880 | ||||||||
|
| |||||||
Containers & Packaging – 0.2% | ||||||||
125 | Ball Corp. | 11,648 | ||||||
|
| |||||||
Diversified Financial Services* – 1.4% | ||||||||
337 | Berkshire Hathaway, Inc. Class B | 78,140 | ||||||
|
| |||||||
Diversified Telecommunication Services – 1.9% | ||||||||
1,706 | AT&T, Inc. | 49,064 | ||||||
533 | CenturyLink, Inc. | 5,197 | ||||||
892 | Verizon Communications, Inc. | 52,405 | ||||||
|
| |||||||
106,666 | ||||||||
|
| |||||||
Electric Utilities – 0.8% | ||||||||
92 | American Electric Power Co., Inc. | 7,661 | ||||||
92 | Edison International | 5,779 | ||||||
330 | NextEra Energy, Inc. | 25,459 | ||||||
98 | Xcel Energy, Inc. | 6,534 | ||||||
|
| |||||||
45,433 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 0.9% | ||||||||
62 | Amphenol Corp. Class A | 8,108 | ||||||
61 | IPG Photonics Corp.* | 13,651 | ||||||
102 | Keysight Technologies, Inc.* | 13,473 | ||||||
79 | TE Connectivity Ltd. | 9,564 | ||||||
14 | Zebra Technologies Corp. Class A* | 5,381 | ||||||
|
| |||||||
50,177 | ||||||||
|
| |||||||
Entertainment – 2.1% | ||||||||
317 | Activision Blizzard, Inc. | 29,434 | ||||||
132 | Electronic Arts, Inc. | 18,955 | ||||||
96 | Netflix, Inc.* | 51,910 | ||||||
84 | Take-Two Interactive Software, Inc.* | 17,454 | ||||||
|
| |||||||
117,753 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) – 1.6% | ||||||||
90 | Crown Castle International Corp. | 14,327 | ||||||
66 | Digital Realty Trust, Inc. | 9,208 | ||||||
27 | Equinix, Inc. | 19,283 | ||||||
76 | Extra Space Storage, Inc. | 8,805 | ||||||
91 | Federal Realty Investment Trust | 7,746 | ||||||
204 | Host Hotels & Resorts, Inc. | 2,984 | ||||||
63 | Public Storage | 14,549 | ||||||
63 | Regency Centers Corp. | 2,872 | ||||||
24 | SBA Communications Corp. | 6,771 | ||||||
|
| |||||||
86,545 | ||||||||
|
| |||||||
Food & Staples Retailing – 2.0% | ||||||||
125 | Costco Wholesale Corp. | 47,097 | ||||||
438 | The Kroger Co. | 13,911 | ||||||
194 | Walgreens Boots Alliance, Inc. | 7,737 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 5 |
GOLDMAN SACHS DEFENSIVE EQUITY FUND
Schedule of Investments (continued)
December 31, 2020
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Food & Staples Retailing – (continued) | ||||||||
307 | Walmart, Inc. | $ | 44,254 | |||||
|
| |||||||
112,999 | ||||||||
|
| |||||||
Food Products – 2.8% | ||||||||
254 | Archer-Daniels-Midland Co. | 12,804 | ||||||
325 | Campbell Soup Co. | 15,714 | ||||||
375 | Conagra Brands, Inc. | 13,597 | ||||||
404 | General Mills, Inc. | 23,755 | ||||||
273 | Hormel Foods Corp. | 12,725 | ||||||
129 | Kellogg Co. | 8,028 | ||||||
179 | McCormick & Co., Inc. | 17,112 | ||||||
518 | Mondelez International, Inc. Class A | 30,287 | ||||||
72 | The Hershey Co. | 10,968 | ||||||
53 | The J.M. Smucker Co. | 6,127 | ||||||
161 | The Kraft Heinz Co. | 5,580 | ||||||
|
| |||||||
156,697 | ||||||||
|
| |||||||
Health Care Equipment & Supplies – 4.8% | ||||||||
318 | Abbott Laboratories | 34,818 | ||||||
48 | ABIOMED, Inc.* | 15,562 | ||||||
17 | Align Technology, Inc.* | 9,084 | ||||||
228 | Baxter International, Inc. | 18,295 | ||||||
95 | Becton Dickinson & Co. | 23,771 | ||||||
361 | Boston Scientific Corp.* | 12,978 | ||||||
65 | DexCom, Inc.* | 24,032 | ||||||
141 | Edwards Lifesciences Corp.* | 12,863 | ||||||
44 | IDEXX Laboratories, Inc.* | 21,994 | ||||||
26 | Intuitive Surgical, Inc.* | 21,271 | ||||||
47 | ResMed, Inc. | 9,990 | ||||||
68 | Stryker Corp. | 16,663 | ||||||
32 | Teleflex, Inc. | 13,170 | ||||||
38 | The Cooper Cos., Inc. | 13,806 | ||||||
17 | West Pharmaceutical Services, Inc. | 4,816 | ||||||
87 | Zimmer Biomet Holdings, Inc. | 13,406 | ||||||
|
| |||||||
266,519 | ||||||||
|
| |||||||
Health Care Providers & Services – 3.5% | ||||||||
149 | AmerisourceBergen Corp. | 14,566 | ||||||
52 | Anthem, Inc. | 16,697 | ||||||
309 | Cardinal Health, Inc. | 16,550 | ||||||
108 | Centene Corp.* | 6,483 | ||||||
482 | CVS Health Corp. | 32,921 | ||||||
89 | DaVita, Inc.* | 10,449 | ||||||
102 | Henry Schein, Inc.* | 6,820 | ||||||
108 | McKesson Corp. | 18,783 | ||||||
101 | Quest Diagnostics, Inc. | 12,036 | ||||||
158 | UnitedHealth Group, Inc. | 55,407 | ||||||
|
| |||||||
190,712 | ||||||||
|
| |||||||
Health Care Technology – 0.3% | ||||||||
207 | Cerner Corp. | 16,245 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure – 1.3% | ||||||||
15 | Chipotle Mexican Grill, Inc.* | 20,800 | ||||||
31 | Darden Restaurants, Inc. | 3,693 | ||||||
19 | Domino’s Pizza, Inc. | 7,286 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Hotels, Restaurants & Leisure – (continued) | ||||||||
66 | Hilton Worldwide Holdings, Inc. | 7,343 | ||||||
304 | Starbucks Corp. | 32,522 | ||||||
|
| |||||||
71,644 | ||||||||
|
| |||||||
Household Durables – 0.4% | ||||||||
124 | Garmin Ltd. | 14,838 | ||||||
292 | Newell Brands, Inc. | 6,199 | ||||||
|
| |||||||
21,037 | ||||||||
|
| |||||||
Household Products – 1.9% | ||||||||
72 | Church & Dwight Co., Inc. | 6,281 | ||||||
184 | Colgate-Palmolive Co. | 15,734 | ||||||
101 | Kimberly-Clark Corp. | 13,618 | ||||||
34 | The Clorox Co. | 6,865 | ||||||
459 | The Procter & Gamble Co. | 63,865 | ||||||
|
| |||||||
106,363 | ||||||||
|
| |||||||
Industrial Conglomerates – 1.1% | ||||||||
112 | 3M Co. | 19,577 | ||||||
133 | Honeywell International, Inc. | 28,289 | ||||||
34 | Roper Technologies, Inc. | 14,657 | ||||||
|
| |||||||
62,523 | ||||||||
|
| |||||||
Insurance – 0.6% | ||||||||
157 | Marsh & McLennan Cos., Inc. | 18,369 | ||||||
141 | The Progressive Corp. | 13,942 | ||||||
|
| |||||||
32,311 | ||||||||
|
| |||||||
Interactive Media & Services* – 5.7% | ||||||||
107 | Alphabet, Inc. Class A | 187,532 | ||||||
460 | Facebook, Inc. Class A | 125,654 | ||||||
|
| |||||||
313,186 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail – 5.0% | ||||||||
73 | Amazon.com, Inc.* | 237,756 | ||||||
10 | Booking Holdings, Inc.* | 22,273 | ||||||
237 | eBay, Inc. | 11,909 | ||||||
43 | Expedia Group, Inc. | 5,693 | ||||||
|
| |||||||
277,631 | ||||||||
|
| |||||||
IT Services – 6.8% | ||||||||
170 | Accenture PLC Class A | 44,406 | ||||||
107 | Akamai Technologies, Inc.* | 11,234 | ||||||
115 | Automatic Data Processing, Inc. | 20,263 | ||||||
43 | Broadridge Financial Solutions, Inc. | 6,588 | ||||||
140 | Cognizant Technology Solutions Corp. Class A | 11,473 | ||||||
33 | FleetCor Technologies, Inc.* | 9,003 | ||||||
48 | Gartner, Inc.* | 7,689 | ||||||
187 | International Business Machines Corp. | 23,540 | ||||||
46 | Jack Henry & Associates, Inc. | 7,451 | ||||||
153 | Leidos Holdings, Inc. | 16,083 | ||||||
153 | Mastercard, Inc. Class A | 54,612 | ||||||
218 | Paychex, Inc. | 20,313 | ||||||
215 | PayPal Holdings, Inc.* | 50,353 | ||||||
202 | The Western Union Co. | 4,432 | ||||||
|
|
6 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DEFENSIVE EQUITY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
IT Services – (continued) | ||||||||
87 | VeriSign, Inc.* | $ | 18,827 | |||||
313 | Visa, Inc. Class A | 68,462 | ||||||
|
| |||||||
374,729 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 1.5% | ||||||||
163 | Agilent Technologies, Inc. | 19,314 | ||||||
9 | Bio-Rad Laboratories, Inc. Class A* | 5,247 | ||||||
29 | Illumina, Inc.* | 10,730 | ||||||
5 | Mettler-Toledo International, Inc.* | 5,698 | ||||||
38 | PerkinElmer, Inc. | 5,453 | ||||||
76 | Thermo Fisher Scientific, Inc. | 35,399 | ||||||
|
| |||||||
81,841 | ||||||||
|
| |||||||
Machinery – 1.3% | ||||||||
117 | Caterpillar, Inc. | 21,297 | ||||||
105 | Deere & Co. | 28,250 | ||||||
125 | Ingersoll Rand, Inc.* | 5,695 | ||||||
92 | PACCAR, Inc. | 7,938 | ||||||
36 | Snap-on, Inc. | 6,161 | ||||||
42 | Xylem, Inc. | 4,275 | ||||||
|
| |||||||
73,616 | ||||||||
|
| |||||||
Media – 1.7% | ||||||||
43 | Charter Communications, Inc. Class A* | 28,447 | ||||||
886 | Comcast Corp. Class A | 46,426 | ||||||
575 | News Corp. Class A | 10,333 | ||||||
95 | Omnicom Group, Inc. | 5,925 | ||||||
|
| |||||||
91,131 | ||||||||
|
| |||||||
Metals & Mining – 0.2% | ||||||||
224 | Newmont Corp. | 13,415 | ||||||
|
| |||||||
Multi-Utilities – 0.2% | ||||||||
69 | Consolidated Edison, Inc. | 4,987 | ||||||
108 | Public Service Enterprise Group, Inc. | 6,296 | ||||||
|
| |||||||
11,283 | ||||||||
|
| |||||||
Multiline Retail – 1.4% | ||||||||
125 | Dollar General Corp. | 26,288 | ||||||
162 | Dollar Tree, Inc.* | 17,502 | ||||||
192 | Target Corp. | 33,894 | ||||||
|
| |||||||
77,684 | ||||||||
|
| |||||||
Personal Products – 0.3% | ||||||||
56 | The Estee Lauder Cos., Inc. Class A | 14,907 | ||||||
|
| |||||||
Pharmaceuticals – 5.0% | ||||||||
656 | Bristol-Myers Squibb Co. | 40,692 | ||||||
142 | Eli Lilly & Co. | 23,975 | ||||||
510 | Johnson & Johnson | 80,264 | ||||||
458 | Merck & Co., Inc. | 37,464 | ||||||
260 | Perrigo Co. PLC | 11,627 | ||||||
1,094 | Pfizer, Inc. | 40,270 | ||||||
917 | Viatris, Inc.* | 17,185 | ||||||
165 | Zoetis, Inc. | 27,308 | ||||||
|
| |||||||
278,785 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Professional Services – 0.5% | ||||||||
99 | Equifax, Inc. | 19,091 | ||||||
51 | Verisk Analytics, Inc. | 10,587 | ||||||
|
| |||||||
29,678 | ||||||||
|
| |||||||
Road & Rail – 1.4% | ||||||||
265 | CSX Corp. | 24,049 | ||||||
39 | J.B. Hunt Transport Services, Inc. | 5,329 | ||||||
51 | Norfolk Southern Corp. | 12,118 | ||||||
49 | Old Dominion Freight Line, Inc. | 9,564 | ||||||
125 | Union Pacific Corp. | 26,028 | ||||||
|
| |||||||
77,088 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 4.4% | ||||||||
256 | Advanced Micro Devices, Inc.* | 23,478 | ||||||
81 | Broadcom, Inc. | 35,466 | ||||||
706 | Intel Corp. | 35,173 | ||||||
28 | Lam Research Corp. | 13,223 | ||||||
115 | NVIDIA Corp. | 60,053 | ||||||
35 | Qorvo, Inc.* | 5,819 | ||||||
206 | QUALCOMM, Inc. | 31,382 | ||||||
48 | Teradyne, Inc. | 5,755 | ||||||
189 | Texas Instruments, Inc. | 31,021 | ||||||
|
| |||||||
241,370 | ||||||||
|
| |||||||
Software – 9.2% | ||||||||
21 | ANSYS, Inc.* | 7,640 | ||||||
48 | Autodesk, Inc.* | 14,656 | ||||||
122 | Cadence Design Systems, Inc.* | 16,645 | ||||||
67 | Citrix Systems, Inc. | 8,717 | ||||||
123 | Fortinet, Inc.* | 18,269 | ||||||
45 | Intuit, Inc. | 17,093 | ||||||
1,260 | Microsoft Corp. | 280,249 | ||||||
394 | NortonLifeLock, Inc. | 8,187 | ||||||
602 | Oracle Corp. | 38,944 | ||||||
17 | Paycom Software, Inc.* | 7,688 | ||||||
179 | salesforce.com, Inc.* | 39,833 | ||||||
45 | ServiceNow, Inc.* | 24,769 | ||||||
45 | Synopsys, Inc.* | 11,666 | ||||||
38 | Tyler Technologies, Inc.* | 16,588 | ||||||
|
| |||||||
510,944 | ||||||||
|
| |||||||
Specialty Retail – 1.6% | ||||||||
37 | Advance Auto Parts, Inc. | 5,828 | ||||||
13 | AutoZone, Inc.* | 15,411 | ||||||
192 | Best Buy Co., Inc. | 19,160 | ||||||
161 | Lowe’s Cos., Inc. | 25,842 | ||||||
20 | O’Reilly Automotive, Inc.* | 9,051 | ||||||
32 | Tractor Supply Co. | 4,498 | ||||||
30 | Ulta Beauty, Inc.* | 8,615 | ||||||
|
| |||||||
88,405 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 6.6% | ||||||||
2,650 | Apple, Inc. | 351,628 | ||||||
317 | HP, Inc. | 7,795 | ||||||
51 | NetApp, Inc. | 3,378 | ||||||
66 | Seagate Technology PLC | 4,103 | ||||||
|
| |||||||
366,904 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 7 |
GOLDMAN SACHS DEFENSIVE EQUITY FUND
Schedule of Investments (continued)
December 31, 2020
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Textiles, Apparel & Luxury Goods – 0.9% | ||||||||
345 | NIKE, Inc. Class B | $ | 48,807 | |||||
|
| |||||||
Trading Companies & Distributors – 0.5% | ||||||||
366 | Fastenal Co. | 17,872 | ||||||
17 | W.W. Grainger, Inc. | 6,942 | ||||||
|
| |||||||
24,814 | ||||||||
|
| |||||||
Wireless Telecommunication Services* – 0.5% | ||||||||
221 | T-Mobile US, Inc. | 29,802 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $4,814,810) | $ | 5,151,982 | ||||||
|
| |||||||
Shares | Dividend Rate | Value | ||||||
Investment Company(a) – 5.5% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
$307,935 | 0.026% | $ | 307,935 | |||||
(Cost $307,935) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 98.6% | ||||||||
(Cost $5,122,745) | $ | 5,459,917 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 1.4% | 74,847 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 5,534,764 | ||||||
|
|
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 Abbreviations: | ||
PLC | —Public Limited Company | |
|
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At December 31, 2020, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
S&P 500 E-Mini Index | 2 | 03/19/21 | $ | 374,880 | $ | 10,974 |
8 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DEFENSIVE EQUITY FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At December 31, 2020, 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) by Fund | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
Purchased option contracts | ||||||||||||||||||||||||||
Puts | ||||||||||||||||||||||||||
S&P 500 Index | $3,620.00 | 01/29/2021 | 15 | $ | 1,500 | $ | 59,100 | $ | 61,301 | $ | (2,201 | ) | ||||||||||||||
Written option contracts | ||||||||||||||||||||||||||
Calls | ||||||||||||||||||||||||||
S&P 500 Index | 3,820.00 | 01/29/2021 | (15 | ) | (1,500 | ) | (57,900 | ) | (53,823 | ) | (4,077 | ) | ||||||||||||||
Puts | ||||||||||||||||||||||||||
S&P 500 Index | 3,365.00 | 01/29/2021 | (15 | ) | (1,500 | ) | (19,725 | ) | (20,344 | ) | 619 | |||||||||||||||
Total written option contracts | (30 | ) | $ | (3,000 | ) | $ | (77,625 | ) | $ | (74,167 | ) | $ | (3,458 | ) | ||||||||||||
TOTAL | (15 | ) | $ | (1,500 | ) | $ | (18,525 | ) | $ | (12,866 | ) | $ | (5,659 | ) |
The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS DEFENSIVE EQUITY FUND
Statement of Assets and Liabilities
December 31, 2020
| ||||||
Assets: |
| |||||
Investments, at value (cost $4,814,810) | $ | 5,151,982 | ||||
Investments of affiliated issuers, at value (cost $307,935) | 307,935 | |||||
Purchased options, at value (premium paid $61,301) | 59,100 | |||||
Cash | 133,554 | |||||
Variation margin on futures contracts | 2,890 | |||||
Receivables: | ||||||
Investments sold | 560,895 | |||||
Deferred offering costs | 134,529 | |||||
Fund shares sold | 100,000 | |||||
Reimbursement from investment adviser | 37,126 | |||||
Collateral on certain derivative contracts(a) | 24,200 | |||||
Dividends | 2,522 | |||||
Other assets | 5,462 | |||||
Total assets | 6,520,195 | |||||
Liabilities: | ||||||
Written option contracts, at value (premium received $74,167) | 77,625 | |||||
Payables: | ||||||
Investments purchased | 812,828 | |||||
Management fees | 2,296 | |||||
Distribution and Service fees and Transfer Agency fees | 274 | |||||
Accrued expenses and other liabilities | 92,408 | |||||
Total liabilities | 985,431 | |||||
Net Assets: | ||||||
Paid-in capital | 5,437,589 | |||||
Total distributable earnings | 97,175 | |||||
NET ASSETS | $ | 5,534,764 | ||||
Net Assets: | ||||||
Class A | $ | 78,556 | ||||
Class C | 50,914 | |||||
Institutional | 5,201,158 | |||||
Investor | 51,042 | |||||
Class R6 | 51,057 | |||||
Class R | 50,978 | |||||
Class P | 51,059 | |||||
Total Net Assets | $ | 5,534,764 | ||||
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | ||||||
Class A | 7,711 | |||||
Class C | 5,000 | |||||
Institutional | 510,392 | |||||
Investor | 5,009 | |||||
Class R6 | 5,010 | |||||
Class R | 5,003 | |||||
Class P | 5,010 | |||||
Net asset value, offering and redemption price per share:(b) | ||||||
Class A | $10.19 | |||||
Class C | 10.18 | |||||
Institutional | 10.19 | |||||
Investor | 10.19 | |||||
Class R6 | 10.19 | |||||
Class R | 10.19 | |||||
Class P | 10.19 |
(a) | Includes segregated cash of $24,200 relating to initial margin requirements and/or collateral on futures transactions. |
(b) | Maximum public offering price per share for Class A shares of the Fund is $10.78. At redemption, Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value or the original purchase price of the shares. |
10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DEFENSIVE EQUITY FUND
Statement of Operations
For the Period Ended December 31, 2020(a)
| ||||||
Investment income: |
| |||||
Dividends — unaffiliated issuers (net of foreign withholding taxes of $4) | $ | 17,848 | ||||
Dividends — affiliated issuers | 7 | |||||
Total investment income | 17,855 | |||||
Expenses: |
| |||||
Professional fees | 48,680 | |||||
Amortization of offering costs | 43,046 | |||||
Custody, accounting and administrative services | 22,642 | |||||
Printing and mailing costs | 20,165 | |||||
Organization costs | 12,000 | |||||
Management fees | 6,712 | |||||
Trustee fees | 4,800 | |||||
Transfer Agency fees(b) | 567 | |||||
Distribution and Service (12b-1) fees(b) | 199 | |||||
Service fees — Class C | 25 | |||||
Other | 8,000 | |||||
Total expenses | 166,836 | |||||
Less — expense reductions | (159,344 | ) | ||||
Net expenses | 7,492 | |||||
NET INVESTMENT INCOME | 10,363 | |||||
Realized and unrealized gain (loss): |
| |||||
Net realized gain (loss) from: | ||||||
Investments — unaffiliated issuers | 51,231 | |||||
Purchased options | (260,183 | ) | ||||
Futures contracts | 25,568 | |||||
Written options | (61,704 | ) | ||||
Net change in unrealized gain (loss) on: | ||||||
Investments — unaffiliated issuers | 337,172 | |||||
Purchased options | (2,201 | ) | ||||
Futures contracts | 10,974 | |||||
Written options | (3,458 | ) | ||||
Net realized and unrealized gain | 97,399 | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 107,762 |
(a) | Commenced operations on September 30, 2020. |
(b) | Class specific Distribution and/or Service (12b-1) and Transfer Agent fees were as follows: |
Distribution and/or Service (12b-1) Fees | Transfer Agent Fees | |||||||||||||||||||||||||||||||||||||
Class A | Class C | Class R | Class A | Class C | Institutional | Investor | Class R6 | Class R | Class P | |||||||||||||||||||||||||||||
$ | 36 | $ | 100 | $ | 63 | $ | 23 | $ | 20 | $ | 476 | $ | 20 | $ | 4 | $ | 20 | $ | 4 |
The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS DEFENSIVE EQUITY FUND
Statement of Changes in Net Assets
For the Period Ended December 31, 2020(a)
| ||||||
From operations: |
| |||||
Net investment income | $ | 10,363 | ||||
Net realized loss | (245,088 | ) | ||||
Net change in unrealized gain | 342,487 | |||||
Net increase in net assets resulting from operations | 107,762 | |||||
Distributions to shareholders: | ||||||
From distributable earnings: | ||||||
Class A Shares | (108 | ) | ||||
Class C Shares | (4 | ) | ||||
Institutional Shares | (10,372 | ) | ||||
Investor Shares | (89 | ) | ||||
Class R6 Shares | (105 | ) | ||||
Class R Shares | (26 | ) | ||||
Class P Shares | (105 | ) | ||||
Total distributions to shareholders | (10,809 | ) | ||||
From share transactions: |
| |||||
Proceeds from sales of shares | 5,427,072 | |||||
Reinvestment of distributions | 10,809 | |||||
Cost of shares redeemed | (70 | ) | ||||
Net increase in net assets resulting from share transactions | 5,437,811 | |||||
TOTAL INCREASE | 5,534,764 | |||||
Net assets: | ||||||
Beginning of period | — | |||||
End of period | $ | 5,534,764 |
(a) | Commenced operations on September 30, 2020. |
12 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DEFENSIVE EQUITY FUND
Selected Share Data for a Share Outstanding Throughout the Period
Class A Shares | ||||||
Period Ended December 31, 2020(a) | ||||||
Per Share Data |
| |||||
Net asset value, beginning of period | $ | 10.00 | ||||
Net investment income(b) | 0.01 | |||||
Net realized and unrealized gain | 0.19 | |||||
Total from investment operations | 0.20 | |||||
Distributions to shareholders from net investment income | (0.01 | ) | ||||
Distributions to shareholders from net realized gains(c) | — | |||||
Total distributions | (0.01 | ) | ||||
Net asset value, end of period | $ | 10.19 | ||||
Total return(d) | 2.04 | % | ||||
Net assets, end of period (in 000s) | $ | 79 | ||||
Ratio of net expenses to average net assets | 0.94 | %(e) | ||||
Ratio of total expenses to average net assets | 10.42 | %(e) | ||||
Ratio of net investment income to average net assets | 0.42 | %(e) | ||||
Portfolio turnover rate(f) | 26 | % |
(a) | Commenced operations on September 30, 2020. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Rounds to less than $0.005 per share. |
(d) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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 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. | 13 |
GOLDMAN SACHS DEFENSIVE EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout the Period
Class C Shares | ||||||
Period Ended December 31, 2020(a) | ||||||
Per Share Data |
| |||||
Net asset value, beginning of period | $ | 10.00 | ||||
Net investment loss(b) | (0.01 | ) | ||||
Net realized and unrealized gain | 0.19 | |||||
Total from investment operations | 0.18 | |||||
Distributions to shareholders from net realized gains(c) | — | |||||
Net asset value, end of period | $ | 10.18 | ||||
Total return(d) | 1.81 | % | ||||
Net assets, end of period (in 000s) | $ | 51 | ||||
Ratio of net expenses to average net assets | 1.69 | %(e) | ||||
Ratio of total expenses to average net assets | 11.70 | %(e) | ||||
Ratio of net investment loss to average net assets | (0.28 | )%(e) | ||||
Portfolio turnover rate(f) | 26 | % |
(a) | Commenced operations on September 30, 2020. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Rounds to less than $0.005 per share. |
(d) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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 and certain derivatives. 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 DEFENSIVE EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Institutional Shares | ||||||
Period Ended December 31, 2020(a) | ||||||
Per Share Data |
| |||||
Net asset value, beginning of period | $ | 10.00 | ||||
Net investment income(b) | 0.02 | |||||
Net realized and unrealized gain | 0.19 | |||||
Total from investment operations | 0.21 | |||||
Distributions to shareholders from net investment income | (0.02 | ) | ||||
Distributions to shareholders from net realized gains(c) | — | |||||
Total distributions | (0.02 | ) | ||||
Net asset value, end of period | $ | 10.19 | ||||
Total return(d) | 2.11 | % | ||||
Net assets, end of period (in 000s) | $ | 5,201 | ||||
Ratio of net expenses to average net assets | 0.57 | %(e) | ||||
Ratio of total expenses to average net assets | 10.45 | %(e) | ||||
Ratio of net investment income to average net assets | 0.84 | %(e) | ||||
Portfolio turnover rate(f) | 26 | % |
(a) | Commenced operations on September 30, 2020. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Rounds to less than $0.005 per share. |
(d) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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 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. | 15 |
GOLDMAN SACHS DEFENSIVE EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout the Period
Investor Shares | ||||||
Period Ended December 31, 2020(a) | ||||||
Per Share Data |
| |||||
Net asset value, beginning of period | $ | 10.00 | ||||
Net investment income(b) | 0.02 | |||||
Net realized and unrealized gain | 0.19 | |||||
Total from investment operations | 0.21 | |||||
Distributions to shareholders from net investment income | (0.02 | ) | ||||
Distributions to shareholders from net realized gains(c) | — | |||||
Total distributions | (0.02 | ) | ||||
Net asset value, end of period | $ | 10.19 | ||||
Total return(d) | 2.08 | % | ||||
Net assets, end of period (in 000s) | $ | 51 | ||||
Ratio of net expenses to average net assets | 0.69 | %(e) | ||||
Ratio of total expenses to average net assets | 10.70 | %(e) | ||||
Ratio of net investment income to average net assets | 0.72 | %(e) | ||||
Portfolio turnover rate(f) | 26 | % |
(a) | Commenced operations on September 30, 2020. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Rounds to less than $0.005 per share. |
(d) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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 and certain derivatives. 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 DEFENSIVE EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Class R6 Shares | ||||||
Period Ended December 31, 2020(a) | ||||||
Per Share Data |
| |||||
Net asset value, beginning of period | $ | 10.00 | ||||
Net investment income(b) | 0.02 | |||||
Net realized and unrealized gain | 0.19 | |||||
Total from investment operations | 0.21 | |||||
Distributions to shareholders from net investment income | (0.02 | ) | ||||
Distributions to shareholders from net realized gains(c) | — | |||||
Total distributions | (0.02 | ) | ||||
Net asset value, end of period | $ | 10.19 | ||||
Total return(d) | 2.11 | % | ||||
Net assets, end of period (in 000s) | $ | 51 | ||||
Ratio of net expenses to average net assets | 0.57 | %(e) | ||||
Ratio of total expenses to average net assets | 10.58 | %(e) | ||||
Ratio of net investment income to average net assets | 0.84 | %(e) | ||||
Portfolio turnover rate(f) | 26 | % |
(a) | Commenced operations on September 30, 2020. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Rounds to less than $0.005 per share. |
(d) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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 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 DEFENSIVE EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout the Period
Class R Shares | ||||||
Period Ended December 31, 2020(a) | ||||||
Per Share Data |
| |||||
Net asset value, beginning of period | $ | 10.00 | ||||
Net investment income(b) | 0.01 | |||||
Net realized and unrealized gain | 0.19 | |||||
Total from investment operations | 0.20 | |||||
Distributions to shareholders from net investment income | (0.01 | ) | ||||
Distributions to shareholders from net realized gains(c) | — | |||||
Total distributions | (0.01 | ) | ||||
Net asset value, end of period | $ | 10.19 | ||||
Total return(d) | 1.95 | % | ||||
Net assets, end of period (in 000s) | $ | 51 | ||||
Ratio of net expenses to average net assets | 1.19 | %(e) | ||||
Ratio of total expenses to average net assets | 11.20 | %(e) | ||||
Ratio of net investment income to average net assets | 0.22 | %(e) | ||||
Portfolio turnover rate(f) | 26 | % |
(a) | Commenced operations on September 30, 2020. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Rounds to less than $0.005 per share. |
(d) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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 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 DEFENSIVE EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Class P Shares | ||||||
Period Ended December 31, 2020(a) | ||||||
Per Share Data |
| |||||
Net asset value, beginning of period | $ | 10.00 | ||||
Net investment income(b) | 0.02 | |||||
Net realized and unrealized gain | 0.19 | |||||
Total from investment operations | 0.21 | |||||
Distributions to shareholders from net investment income | (0.02 | ) | ||||
Distributions to shareholders from net realized gains(c) | — | |||||
Total distributions | (0.02 | ) | ||||
Net asset value, end of period | $ | 10.19 | ||||
Total return(d) | 2.11 | % | ||||
Net assets, end of period (in 000s) | $ | 51 | ||||
Ratio of net expenses to average net assets | 0.56 | %(e) | ||||
Ratio of total expenses to average net assets | 10.57 | %(e) | ||||
Ratio of net investment income to average net assets | 0.85 | %(e) | ||||
Portfolio turnover rate(f) | 26 | % |
(a) | Commenced operations on September 30, 2020. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Rounds to less than $0.005 per share. |
(d) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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 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 DEFENSIVE EQUITY FUND
December 31, 2020
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 Trust includes Goldman Sachs Defensive Equity Fund (the “Fund”). The Fund is a diversified fund and currently offers seven classes of shares: Class A, Class C, Institutional, Investor, Class R6, Class R and Class P Shares. The Fund commenced operations on September 30, 2020.
Class A Shares are sold with a front-end sales charge of up to 5.50%. Class C Shares are sold with a contingent deferred sales charge (“CDSC”) of 1.00%, which is imposed on redemptions made within 12 months of purchase. Institutional, Investor, Class R6, Class R and Class P 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 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 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.
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 the Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by the Fund are charged to the Fund, while such expenses incurred by the Trust are allocated across the Fund on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service and Transfer Agency fees.
D. Offering and Organization Costs — Offering costs paid in connection with the initial offering of shares of the Fund are being amortized on a straight-line basis over 12 months from the date of commencement of operations. Organization costs paid in connection with the organization of the Fund were expensed on the first day of operations.
E. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid 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 DEFENSIVE EQUITY 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.
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 level in the fair value hierarchy within which the fair value measurement in its entirety falls shall be determined based on the lowest level input that is significant to the fair value measurement in its entirety. 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 GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Fund’s investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a United States (“U.S.��) securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities will be valued at the valid closing bid price for long positions and at the valid closing ask price for short positions (i.e. where there is sufficient volume, during normal exchange trading hours). If no valid bid/ask price is available, the equity security will be valued pursuant to the Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. 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. Certain equity securities containing unique attributes may be 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 Fair Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance.
21
GOLDMAN SACHS DEFENSIVE EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2020
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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 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 the 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 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. 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.
ii. Options — When the Fund writes call or put options, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on swap contracts.
Upon the purchase of a call option or a put option by the Fund, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Fund’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Fund’s NAV. To the extent investments are valued using single source broker
22
GOLDMAN SACHS DEFENSIVE EQUITY FUND
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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, 2020:
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Europe | $ | 115,615 | $ | — | $ | — | ||||||
North America | 5,036,367 | — | — | |||||||||
Investment Company | 307,935 | — | — | |||||||||
Total | $ | 5,459,917 | $ | — | $ | — | ||||||
Derivative Type | ||||||||||||
Assets | ||||||||||||
Futures Contracts(b) | $ | 10,974 | $ | — | $ | — | ||||||
Purchased Options | 59,100 | — | — | |||||||||
Total | $ | 70,074 | $ | — | $ | — | ||||||
Liabilities | ||||||||||||
Written option contracts | $ | (77,625 | ) | $ | — | $ | — |
(a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of net asset value. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. |
(b) | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Schedule 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, 2020. 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 | ||||||||
Equity | Variable margin on futures contracts and purchased options, at value | $ | 70,074 | (a) | Written options, at value | $ | (77,625) |
(a) | Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information section of the Schedule of Investments. Only current day’s variation margin is reported within the Schedule of Assets and Liabilities. |
23
GOLDMAN SACHS DEFENSIVE EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2020
4. INVESTMENTS IN DERIVATIVES (continued) |
The following table sets forth, by certain risk types, the Fund’s gains (losses) related to these derivatives and their indicative volumes for the period ended December 31, 2020. 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) | ||||||||||
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 | $ | (296,319 | ) | $ | 5,315 | 3 |
(a) | Average number of contracts is based on the average of month end balances for the four months ended December 31, 2020. The Fund commenced operations on September 30, 2020. |
5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Fund, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Fund’s business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
For the period ended December 31, 2020, contractual and effective net management fees with GSAM were at the following rates:
Contractual Management Rate | Effective Net Management Rate^ | |||||||||||||||||||||
First $1 billion | Next $1 billion | Next $3 billion | Next $3 billion | Over $8 billion | ||||||||||||||||||
0.53% | 0.48% | 0.45% | 0.44% | 0.43% | 0.53% |
^ | 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 period ended December 31, 2020, GSAM waived $61 of the Fund’s management fee.
B. Distribution and/or Service (12b-1) Plans — The Trust, on behalf of Class A and Class R Shares of the Fund, has adopted Distribution and Service Plans subject to Rule 12b-1 under the Act. Under the Distribution and Service Plans, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class A or Class R Shares of the Fund as set forth below.
The Trust, on behalf of Class C Shares of the Fund, has adopted a Distribution Plan subject to Rule 12b-1 under the Act. Under the Distribution Plan, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers. These fees are equal to an annual percentage rate of the average daily net assets attributable to Class C Shares of the Fund, as set forth below.
Distribution and/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. |
24
GOLDMAN SACHS DEFENSIVE EQUITY FUND
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Fund pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the period ended December 31, 2020, Goldman Sachs did not retain any portion of Class A Shares’ front end sales charges nor Class C Shares’ CDSC.
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: 0.16% 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 R6 and Class P Shares; and 0.04% of the average daily net assets of Institutional 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 limitation as an annual percentage rate of average daily net assets for the Fund is 0.004%. This Other Expense limitation will remain in place through at least September 30, 2021 and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Fund has entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Fund’s expenses and are received irrespective of the application of the “Other Expense” limitations described above.
For the period ended December 31, 2020, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
Management Fee Waiver | Other Expense Reimbursements | Total Expense Reductions | ||||||||
$ | 61 | $ | 159,283 | $ | 159,344 |
G. Other Transactions with Affiliates — For the period ended December 31, 2020, Goldman Sachs did not earn any brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the Fund.
As of December 31, 2020, The Goldman Sachs Group, Inc. was the beneficial owner of approximately 65% of Class A Shares, 92% of outstanding Institutional shares, and 100% of Class C, Investor, Class R6, Class R, and Class P Shares of the Fund.
The table below shows the transactions in and earnings from investments in the Underlying Fund for the period ended December 31, 2020:
Underlying Fund | Beginning Value as of September 30, 2020* | Purchases at Cost | Proceeds from Sales | Ending Value as of December 31, 2020 | Shares as of December 31, 2020 | Dividend Income | ||||||||||||||||||
Goldman Sachs Financial Square Government Fund — Institutional Shares | $ | — | $ | 5,317,386 | $ | (5,009,451 | ) | $ | 307,935 | 307,935 | $ | 7 |
* | The Fund commenced operations on September 30, 2020. |
25
GOLDMAN SACHS DEFENSIVE EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2020
6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the period ended December 31, 2020, were $6,046,181 and $1,282,556, respectively.
7. TAX INFORMATION |
The tax character of distributions paid during the period ended December 31, 2020 was as follows:
Distribution paid from: | ||||
Ordinary income | $ | 10,412 | ||
Net long-term capital gains | 397 | |||
Total taxable distributions | $ | 10,809 |
As of December 31, 2020, the components of accumulated earnings (losses) on a tax basis were as follows:
Undistributed Ordinary Income | $ | 173 | ||
Timing differences (Post October Loss Deferral) | $ | (234,918 | ) | |
Unrealized gains — net | 331,920 | |||
Total accumulated earnings (losses) — net | $ | 97,175 |
As of December 31, 2020, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Tax cost | $ | 5,194,613 | ||
Gross unrealized gain | 361,014 | |||
Gross unrealized loss | (29,094 | ) | ||
Net unrealized security gain | $ | 331,920 |
The difference between GAAP-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales and net mark to market gains/(losses) on regulated futures and options contracts.
The Fund reclassed $222 from paid in capital to distributable earnings, for the year ending December 31, 2020. 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 certain nondeductible expenses.
GSAM has reviewed the Fund’s tax positions for all open tax years (the current year) and has concluded that no provision for income tax is required in the Fund’s financial statements. Such open tax year remains 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
26
GOLDMAN SACHS DEFENSIVE EQUITY FUND
8. OTHER RISKS (continued) |
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.
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 of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include the Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of the Fund. Such large shareholder redemptions, 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.
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). The value of the securities in which the Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, acts of terrorism, social unrest, natural disasters, the spread of infectious illness or other public health threats could also significantly impact the Fund and its investments. 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 October 22, 2020, Goldman Sachs announced a settlement of matters involving 1Malaysia Development Bhd. (1MDB), a Malaysian sovereign wealth fund, with the United States Department of Justice as well as criminal and civil authorities in the UK, Singapore and Hong Kong. Further information regarding the 1MDB settlement can be found at https://www.goldmansachs.com/media-relations/press-releases/current/goldman-sachs-2020-10-22.html. The 1MDB settlement will not materially adversely affect GSAM’s ability to serve as investment manager.
11. 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 DEFENSIVE EQUITY FUND
Notes to Financial Statements (continued)
December 31, 2020
12. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
For the Period Ended December 31, 2020(a) | ||||||||
|
| |||||||
Shares | Dollars | |||||||
|
| |||||||
Class A Shares | ||||||||
Shares sold | 7,701 | $ | 77,020 | |||||
Reinvestment of distributions | 11 | 108 | ||||||
Shares redeemed | (1 | ) | (10 | ) | ||||
7,711 | 77,118 | |||||||
Class C Shares | ||||||||
Shares sold | 5,001 | 50,010 | ||||||
Reinvestment of distributions | — | 4 | ||||||
Shares redeemed | (1 | ) | (10 | ) | ||||
5,000 | 50,004 | |||||||
Institutional Shares | ||||||||
Shares sold | 509,373 | 5,100,002 | ||||||
Reinvestment of distributions | 1,020 | 10,372 | ||||||
Shares redeemed | (1 | ) | (10 | ) | ||||
510,392 | 5,110,364 | |||||||
Investor Shares | ||||||||
Shares sold | 5,001 | 50,010 | ||||||
Reinvestment of distributions | 9 | 89 | ||||||
Shares redeemed | (1 | ) | (10 | ) | ||||
5,009 | 50,089 | |||||||
Class R6 Shares | ||||||||
Shares sold | 5,001 | 50,010 | ||||||
Reinvestment of distributions | 10 | 105 | ||||||
Shares redeemed | (1 | ) | (10 | ) | ||||
5,010 | 50,105 | |||||||
Class R Shares | ||||||||
Shares sold | 5,001 | 50,010 | ||||||
Reinvestment of distributions | 3 | 26 | ||||||
Shares redeemed | (1 | ) | (10 | ) | ||||
5,003 | 50,026 |
28
GOLDMAN SACHS DEFENSIVE EQUITY FUND
12. SUMMARY OF SHARE TRANSACTIONS (continued) |
For the Period Ended December 31, 2020(a) | ||||||||
|
| |||||||
Shares | Dollars | |||||||
|
| |||||||
Class P Shares | ||||||||
Shares sold | 5,001 | $ | 50,010 | |||||
Reinvestment of distributions | 10 | 105 | ||||||
Shares redeemed | (1 | ) | (10 | ) | ||||
5,010 | 50,105 | |||||||
NET INCREASE | 543,135 | $ | 5,437,811 |
(a) | Commenced operations on September 30, 2020. |
29
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Goldman Sachs Trust and Shareholders of Goldman Sachs Defensive Equity Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Goldman Sachs Defensive Equity Fund (one of the funds constituting Goldman Sachs Trust, referred to hereafter as the “Fund”) as of December 31, 2020, and the related statements of operations and changes in net assets, including the related notes, and the financial highlights for the period September 30, 2020 (commencement of operations) through December 31, 2020 (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, 2020, and the results of its operations, changes in its net assets, and the financial highlights for the period September 30, 2020 (commencement of operations) through December 31, 2020 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 audit. 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 audit 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 audit 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 audit 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, 2020 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 audit provides a reasonable basis for our opinion.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
February 25, 2021
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
30
GOLDMAN SACHS DEFENSIVE EQUITY FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
The Goldman Sachs Defensive Equity Fund (the “Fund”) is a newly-organized investment portfolio of Goldman Sachs Trust (the “Trust”) that commenced investment operations on September 30, 2020. At a meeting held on June 17, 2020 (the “Meeting”) in connection with the Fund’s organization, the Board of Trustees, including all of the Trustees present who are not parties to the Fund’s investment management agreement (the “Management Agreement”) or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”) approved the Management Agreement with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”).
At the Meeting, the Trustees reviewed the Management Agreement, including information regarding the terms of the Management Agreement; the nature, extent and quality of the Investment Adviser’s anticipated services; the fees and expenses to be paid by the Fund; a comparison of the Fund’s anticipated expenses with those paid by other similar mutual funds; the Investment Adviser’s proposal to waive and/or reimburse the Fund’s expenses (with certain customary exceptions, such as taxes, brokerage fees, and extraordinary expenses); and potential benefits to be derived by the Investment Adviser and its affiliates from their relationships with the Fund. Various information was also provided at a prior meeting at which the Fund was discussed.
In connection with the Meeting, the Trustees received written materials and oral presentations on the topics covered. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities under applicable law. In evaluating the Management Agreement at the Meeting, the Trustees relied upon information included in a presentation made by the Investment Adviser at the Meeting and information received at prior meetings of the Trustees, as well as on their knowledge of the Investment Adviser resulting from their meetings and other interactions over time.
Nature, Extent, and Quality of the Services to Be Provided under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services to be provided by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that would be provided to the Fund by the Investment Adviser and its affiliates. The Trustees also considered information about the Fund’s structure, investment objective, strategies, and other characteristics. The Trustees considered the experience and capabilities of the investment team and noted that the Fund’s portfolio managers were currently managing other series of the Trust. The Trustees concluded that the Investment Adviser would be able to commit substantial financial and other resources to the Fund. The Trustees considered materials showing back-tested returns of the Fund’s proposed strategy since February 1996. In this regard, the Trustees noted that, although the Fund was new (and therefore had no performance data to evaluate), the Investment Adviser’s management of the Fund likely would benefit the Fund and its shareholders.
Costs of Services to Be Provided and Profitability
The Trustees considered the contractual terms of the Management Agreement and the fee rates to be payable by the Fund thereunder. In this regard, the Trustees considered information on the services to be rendered by the Investment Adviser to the Fund, which included both advisory and administrative services that were directed to the needs and operations of the Fund as a registered mutual fund.
In particular, the Trustees reviewed information on the proposed management fees and the Fund’s projected total operating expense ratios (both gross and net of expense limitations), and those were compared to similar information for comparable mutual funds advised by other, unaffiliated investment management firms, as well as the peer group and category medians. The comparisons of the Fund’s fee rates and total operating expense ratios were prepared by a third-party provider of mutual fund data. The Trustees believed that this information was useful in evaluating the reasonableness of the management fees and total expenses expected to be paid by the Fund.
The Trustees considered the Investment Adviser’s undertaking to limit certain expenses of the Fund that exceed a specified level. In addition, the Trustees recognized that there was not yet profitability data to evaluate for the Fund, but considered the Investment Adviser’s representations that (i) such data would be provided after the Fund commenced operations, and (ii) the Fund was not expected to be profitable to the Investment Adviser and its affiliates initially.
The Trustees noted the competitive nature of the fund marketplace, and that many of the Fund’s shareholders would be investing in the Fund in part because of the Fund’s relationship with the Investment Adviser. They also noted that shareholders would be able to redeem their Fund shares if they believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
31
GOLDMAN SACHS DEFENSIVE EQUITY FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Economies of Scale
The Trustees considered the proposed breakpoints in the fee rates payable under the Management Agreement at the following annual percentage rates of the average daily net assets of the Fund:
Average Daily Net Assets | Management Fee Annual Rate | |||
First $1 billion | 0.57 | % | ||
Next $1 billion | 0.48 | % | ||
Next $3 billion | 0.45 | % | ||
Next $3 billion | 0.44 | % | ||
Over $8 billion | 0.43 | % |
The Trustees noted that the breakpoints were meant to share potential economies of scale, if any, with the Fund and its shareholders as assets under management reach those asset levels. The Trustees considered the Fund’s projected asset levels and information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer group, as well as the Investment Adviser’s undertaking to limit certain expenses of the Fund that exceed a specified level. Upon reviewing these matters, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits expected to be derived by the Investment Adviser and its affiliates from their relationship with the Fund, including: (a) transfer agency fees received by Goldman Sachs & Co. LLC (“Goldman Sachs”); (b) brokerage and futures commissions earned by Goldman Sachs for executing securities and futures transactions on behalf of the Fund; (c) trading efficiencies resulting from aggregation of orders of the Fund with those for other funds or accounts managed by the Investment Adviser; (d) fees earned by Goldman Sachs Agency Lending (“GSAL”), an affiliate of the Investment Adviser, as securities lending agent (and fees earned by the Investment Adviser for managing the fund in which the Funds’ cash collateral is invested); (e) the Investment Adviser’s ability to leverage the infrastructure designed to service the Fund on behalf of its other clients; (f) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (g) Goldman Sachs’ retention of certain fees as Fund Distributor; (h) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Fund; (i) the investment of cash and cash collateral in money market funds managed by the Investment Adviser that will result in increased assets under management for those money market funds; (j) the Fund’s expected investment in exchange-traded funds (“ETFs”) managed by the Investment Adviser that will result in increased assets under management for those ETFs and may facilitate the development of the Investment Adviser’s ETF advisory business; and (k) the possibility that the working relationship between the Investment Adviser and the Fund’s third-party service providers may cause those service providers to be open to doing business with other areas of Goldman Sachs.
Conclusion
In connection with their consideration of the Management Agreement for the Fund at the Meeting, the Trustees gave weight to various factors, but did not identify any particular factor as controlling their decision. After deliberation and consideration of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fee that would be payable by the Fund was reasonable in light of the services to be provided to it by the Investment Adviser, the Investment Adviser’s anticipated costs and the Fund’s reasonably anticipated asset levels. The Trustees unanimously concluded that the Investment Adviser’s management likely would benefit the Fund and its shareholders and that the Management Agreement should be approved with respect to the Fund.
32
GOLDMAN SACHS DEFENSIVE EQUITY FUND
Fund Expenses — Since Inception Through December 31, 2020 (Unaudited) |
As a shareholder of Class A, Class C, Institutional, Investor, Class R6, Class R or Class P 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/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 R6, Class R and Class P 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 period from September 30, 2020 through December 31, 2020, which represents a period of 92 days out of 366 day year. The Example for hypothetical expenses reflects projected activity for the period from September 30, 2020 through December 31, 2020 for the purposes of comparability. This projection assumes that annualized expense ratios were in effect during the period.
Actual Expenses — The first line in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual net expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Goldman Sachs Defensive Equity Fund | ||||||||||||
Share Class | Beginning Account Value 7/1/20 | Ending Account Value 12/31/20 | Expenses Paid for the 6 months ended 12/31/20(a)* | |||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,016.30 | $ | 2.38 | ||||||
Hypothetical 5% return | 1,000.00 | 1,010.21 | + | 2.37 | ||||||||
Class C | ||||||||||||
Actual | 1,000.00 | 1,014.00 | 4.28 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,008.32 | + | 4.27 | ||||||||
Institutional | ||||||||||||
Actual | 1,000.00 | 1,017.00 | 1.44 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,011.14 | + | 1.44 | ||||||||
Investor | ||||||||||||
Actual | 1,000.00 | 1,016.70 | 1.75 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,010.83 | + | 1.74 | ||||||||
Class R6 | ||||||||||||
Actual | 1,000.00 | 1,017.00 | 1.44 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,011.14 | + | 1.44 | ||||||||
Class R | ||||||||||||
Actual | 1,000.00 | 1,015.50 | 3.01 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,009.58 | + | 3.01 | ||||||||
Class P | ||||||||||||
Actual | 1,000.00 | 1,017.00 | 1.42 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,011.16 | + | 1.42 |
* | 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 period ended December 31, 2020. 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 R6 | Class R | Class P | |||||||||||||||||||||
GS Defensive Equity Fund | 0.94 | % | 1.69 | % | 0.57 | % | 0.69 | % | 0.57 | % | 1.19 | % | 0.56 | % |
(a) | Commenced operations on September 30, 2020. |
+ | 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. |
33
GOLDMAN SACHS DEFENSIVE 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: 71 | 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. | 105 | None | |||||
Dwight L. Bush Age: 63 | Trustee | Since 2020 | 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). Previously, Ambassador Bush served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 105 | None | |||||
Kathryn A. Cassidy Age: 66 | 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. | 105 | None | |||||
Diana M. Daniels Age: 71 | 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. | 105 | None | |||||
Joaquin Delgado Age: 60 | Trustee | Since 2020 | 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). Previously, Dr. Delgado served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (October 2019-January 2020).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust | 105 | Stepan Company (a specialty chemical manufacturer) | |||||
Roy W. Templin Age: 60 | 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).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 105 | Armstrong World Industries, Inc. (a ceiling, wall and suspension systems solutions manufacturer) | |||||
Gregory G. Weaver Age: 69 | 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. | 105 | Verizon Communications Inc. | |||||
34
GOLDMAN SACHS DEFENSIVE EQUITY FUND
Trustees and Officers (Unaudited) (continued)
Interested Trustees*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and Length of Time Served2 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
James A. McNamara Age: 58 | 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 and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund.
| 158 | None | |||||
* | 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 may be contacted by writing to the Trustee, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of December 31, 2020. |
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 each Independent Trustee shall retire as of December 31st of the calendar year in which he or she reaches (a) his or her 75th birthday or (b) the 15th anniversary of the date he or she became a Trustee, whichever is earlier, 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, 2020, Goldman Sachs Trust consisted of 92 portfolios (90 of which offered shares to the public); 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 ETF Trust consisted of 31 portfolios (20 of which offered shares to the public); and 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. Goldman Sachs Credit Income Fund did not offer 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.
35
GOLDMAN SACHS DEFENSIVE 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: 58 | 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 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: 43 | Secretary | Since 2012 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Senior Counsel, Goldman Sachs (January 2020-Present); Associate General Counsel, Goldman Sachs (2012-December 2019); 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 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: 52 | 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 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, 2020. |
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 Defensive Equity Fund — Tax Information (Unaudited)
For the fiscal year ended December 31, 2020, 100% of the dividends paid from net investment company taxable income by the Defensive Equity Fund qualify for the dividends received deduction available to corporations.
For the fiscal year ended December 31, 2020, 100% of the dividends paid from net investment company taxable income by the Defensive Equity Fund qualify for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003.
Pursuant to Section 852 of the Internal Revenue Code, the Defensive Equity Fund designates $397 or, if different, the maximum amount allowable, as capital gain dividends paid during the fiscal year ended December 31, 2020.
36
FUNDS PROFILE
Goldman Sachs Funds
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
Today, the Consumer and Investment Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $1.95 trillion in assets under supervision as of December 31, 2020, 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 Core Fixed Income Fund4 |
∎ | 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 |
∎ | U.S. Equity ESG Fund5 |
∎ | Income Builder Fund |
Tax-Advantaged Equity
∎ | U.S. Tax-Managed Equity Fund |
∎ | International Tax-Managed Equity Fund |
∎ | U.S. Equity Dividend and Premium Fund |
∎ | International Equity Dividend and Premium Fund |
Equity Insights
∎ | Small Cap Equity Insights Fund |
∎ | U.S. Equity Insights Fund |
∎ | Small Cap Growth Insights Fund |
∎ | Large Cap Growth Insights Fund |
∎ | Large Cap Value Insights Fund |
∎ | Small Cap Value Insights Fund |
∎ | International Small Cap Insights Fund |
∎ | International Equity Insights Fund |
∎ | Emerging Markets Equity Insights Fund |
Fundamental Equity International
∎ | International Equity Income Fund |
∎ | International Equity ESG Fund |
∎ | China Equity Fund |
∎ | Emerging Markets Equity Fund |
∎ | ESG Emerging Markets Equity Fund |
Alternative
∎ | Clean Energy Income Fund |
∎ | Defensive Equity Fund |
∎ | 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 |
∎ | Energy Infrastructure Fund6 |
∎ | 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 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 Fund |
∎ | Satellite Strategies Portfolio |
∎ | Enhanced Dividend Global Equity Portfolio |
∎ | Tax-Advantaged Global Equity Portfolio |
∎ | Strategic Factor Allocation Fund |
∎ | Target Date Retirement Portfolio |
∎ | Target Date 2025 Portfolio |
∎ | Target Date 2030 Portfolio |
∎ | Target Date 2035 Portfolio |
∎ | Target Date 2040 Portfolio |
∎ | Target Date 2045 Portfolio |
∎ | Target Date 2050 Portfolio |
∎ | Target Date 2055 Portfolio |
∎ | Target Date 2060 Portfolio |
∎ | GQG Partners International Opportunities Fund |
1 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
2 | You could lose money by investing in the Fund. Because the share price of the Fund will fluctuate, when you sell your shares they may be worth more or less than what you originally paid for them. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
3 | You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. The Fund may impose a fee upon sale of your shares or may temporarily suspend your ability to sell shares if the Fund’s liquidity falls below required minimums because of market conditions or other factors. An investment in the Fund is not a deposit of a bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time. |
4 | Effective after the close of business on April 30, 2020, the Goldman Sachs Global Income Fund was renamed the Goldman Sachs Global Core Fixed Income Fund. |
5 | Effective after the close on business of August 30, 2020, the Goldman Sachs Blue Chip Fund was renamed the Goldman Sachs U.S. Equity ESG Fund. |
6 | Effective after the close of business on June 26, 2020, the Goldman Sachs MLP & Energy Fund was renamed the Goldman Sachs Energy Infrastructure Fund. |
Financial Square FundsSM and Investor FundsSM are registered service marks of Goldman Sachs & Co. LLC. |
* | This list covers open-end funds only. Please visit our website at www.GSAMFUNDS.com to learn about our closed-end funds and exchange-traded funds. |
TRUSTEES Jessica Palmer, Chair Dwight L. Bush Kathryn A. Cassidy Diana M. Daniels Joaquin Delgado James A. McNamara Roy W. Templin Gregory G. Weaver | 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 at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Goldman Sachs Asset Management, L.P. 200 West Street, New York, New York 10282
The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Fund. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted proxies relating to portfolio securities during the most recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://www.sec.gov.
The 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 calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).
Goldman Sachs & Co. LLC (‘‘Goldman Sachs’’) does not provide legal, tax or accounting advice. Any statement contained in this communication (including any attachments) concerning U.S. tax matters was not intended or written to be used, and cannot be used, for the purpose of avoiding penalties under the Internal Revenue Code, and was written to support the promotion or marketing of the transaction(s) or matter(s) addressed. Clients of Goldman Sachs should obtain their own independent tax advice based on their particular circumstances.
Holdings and allocations shown are as of December 31, 2020 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).
© 2021 Goldman Sachs. All rights reserved. 230829-OTU-1358523 DEFEQTYAR-21
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) Not applicable.
(c) During the period covered by this report, no amendments were made to the provisions of the Code of Ethics.
(d) 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.
(e) Not applicable.
(f) 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.
2020 | 2019 | Description of Services Rendered | ||||||||||
|
|
|
|
| ||||||||
Audit Fees: | ||||||||||||
• PricewaterhouseCoopers LLP (“PwC”) | $ | 4,031,972 | $ | 3,499,205 | Financial Statement audits. | |||||||
Audit-Related Fees: | ||||||||||||
• PwC | $ | 344,654 | $ | 262,184 | Other attest services. | |||||||
Tax Fees: | ||||||||||||
• PwC | $ | 41,250 | $ | 796,358 | Tax compliance services provided in connection with the preparation and review of registrant’s tax returns and certain other tax-related services. |
Table 2 — Items 4(b)(c) & (d). Non-Audit Services to the Goldman Sachs Trust’s service affiliates* that were pre-approved by the Audit Committee of the Goldman Sachs Trust pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X.
2020 | 2019 | Description of Services Rendered | ||||||||||
|
|
|
|
| ||||||||
Audit-Related Fees: | ||||||||||||
• PwC | $ | 2,060,932 | $ | 2,000,617 | 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 (excluding sub-advisors) and any entity controlling, controlled by or under common control with the advisor that provides ongoing services to the registrant (hereinafter referred to as “service affiliates”). |
Item 4(e)(1) — Audit Committee Pre-Approval Policies and Procedures
Pre-Approval of Audit and Non-Audit Services Provided to the Funds of the Goldman Sachs Trust. The Audit and Non-Audit Services Pre-Approval Policy (the “Policy”) adopted by the Audit Committee of Goldman Sachs Trust (“GST”) sets forth the procedures and the conditions pursuant to which services performed by an independent auditor for GST may be pre-approved. Services may be pre-approved specifically by the Audit Committee as a whole or, in certain circumstances, by the Audit Committee Chairman or the person designated as the Audit Committee Financial Expert. In addition, subject to specified cost limitations, certain services may be pre-approved under the provisions of the Policy. The Policy provides that the Audit Committee will consider whether the services provided by an independent auditor are consistent with the Securities and Exchange Commission’s rules on auditor independence. The Policy provides for periodic review and pre-approval by the Audit Committee of the services that may be provided by the independent auditor.
De Minimis Waiver. The pre-approval requirements of the Policy may be waived with respect to the provision of non-audit services that are permissible for an independent auditor to perform, provided (1) the aggregate amount of all such services provided constitutes no more than five percent of the total amount of revenues subject to pre-approval that was paid to the independent auditors during the fiscal year in which the services are provided; (2) such services were not recognized by GST at the time of the engagement to be non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and approved prior to the completion of the audit by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee, pursuant to the pre-approval provisions of the Policy.
Pre-Approval of Non-Audit Services Provided to GST’s Investment Advisers. The Policy provides that, in addition to requiring pre-approval of audit and non-audit services provided to GST, the Audit Committee will pre-approve those non-audit services provided to GST’s investment advisers (and entities controlling, controlled by or under common control with the investment advisers that provide ongoing services to GST) where the engagement relates directly to the operations or financial reporting of GST.
Item 4(e)(2) – 0% of the audit-related fees, tax fees and other fees listed in Table 1 were approved by GST’s Audit Committee pursuant to the “de minimis” exception of Rule 2-01(c)(7)(i)(C) of Regulation S-X. In addition, 0% of the non-audit services to the GST’s service affiliates listed in Table 2 were approved by GST’s Audit Committee pursuant to the “de minimis” exception of Rule 2-01(c)(7)(i)(C) of Regulation S-X.
Item 4(f) – Not applicable.
Item 4(g) Aggregate Non-Audit Fees Disclosure
The aggregate non-audit fees billed to GST by PwC for the twelve months ended December 31, 2020 and December 31, 2019 were approximately $385,904 and $1,058,542, respectively.
The aggregate non-audit fees billed to GST’s adviser and service affiliates by PwC for non-audit services for the twelve months ended December 31, 2019 and December 31, 2018 were approximately $14.7 million and $12.3 million, respectively. The figures for these entities are not yet available for twelve months ended December 31, 2020. With regard to the aggregate non-audit fees billed to GST’s adviser and service affiliates, the 2019 and 2018 amounts include fees for non-audit services required to be pre-approved [see Table 2] and fees for non-audit services that did not require pre-approval since they did not directly relate to GST’s operations or financial reporting.
Item 4(h) — GST’s Audit Committee has considered whether the provision of non-audit services to GST’s investment adviser and service affiliates that did not require pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the auditors’ independence.
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable. |
ITEM 6. | SCHEDULE OF INVESTMENTS. |
Schedule of Investments is included as part of the Report to Shareholders filed under Item 1. |
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable. |
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable. |
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
Not applicable. |
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees. |
ITEM 11. | CONTROLS AND PROCEDURES. |
(a) | The registrant’s principal executive and principal financial officers, or persons performing similar functions have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing of this report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934, as amended. |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the 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 13(a)(1) of the registrant’s Form N-CSR filed on May 5, 2020. | |||
(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 8, 2021 |
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 8, 2021 | |
By: | /s/ Joseph F. DiMaria | |
| ||
Joseph F. DiMaria | ||
Principal Financial Officer | ||
Goldman Sachs Trust | ||
Date: | March 8, 2021 |