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)
Copies to:
Caroline Kraus, Esq. Goldman Sachs & Co. LLC 200 West Street New York, New York 10282 | Stephen H. Bier, Esq. Dechert LLP 1095 Avenue of the Americas New York, NY 10036 |
(Name and address of agents for service)
Registrant’s telephone number, including area code: (312) 655-4400
Date of fiscal year end: December 31
Date of reporting period: June 30, 2022
ITEM 1. | REPORTS TO STOCKHOLDERS. |
The Semi-Annual Report to Shareholders is filed herewith. |
Goldman Sachs Funds
Semi-Annual Report | June 30, 2022 | |||
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 | ||||
15 | ||||
28 | ||||
34 | ||||
34 | ||||
42 | ||||
50 | ||||
58 | ||||
66 | ||||
96 |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee |
Goldman Sachs Fund of Funds Portfolios
The following are highlights both of key factors affecting the global capital markets and satellite asset classes and of any key changes made to the Goldman Sachs Fund of Funds Portfolios (“Portfolios”) during the six months ended June 30, 2022 (the “Reporting Period”). A fuller review of the markets and these changes will appear in the Portfolios’ annual shareholder report covering the 12 months ended December 31, 2022.
Market and Economic Review
Global Capital Markets
• | Overall, the global capital markets struggled during the Reporting Period. |
• | Economic uncertainty and market volatility was largely fueled by a rapid change in perceptions of upside inflation risk and the U.S. Federal Reserve’s (“Fed”) efforts to head off a potential recession. |
• | Global equities, as represented by the MSCI All Country World Index, returned -20.18%. |
• | Global fixed income, as represented by the Bloomberg Global Aggregate Bond Index, returned -13.91%. |
• | In the first quarter of 2022, when the Reporting Period began, rapidly evolving expectations for inflation and Fed policy had already complicated the macro outlook, but the February Russian invasion of Ukraine significantly increased market uncertainty and volatility. |
• | Valuations broadly fell across multiple asset classes, with global equities suffering substantial declines. |
• | Credit spreads (i.e., yield differentials between corporate bonds and U.S. Treasury securities of comparable maturity) widened as bond yields rose in response to inflationary pressures. |
• | During the second quarter of 2022, investor concerns around slower economic growth accelerated; the Russia/Ukraine conflict led to a surge in commodity prices; and the risks of a potential policy miscalculation by the Fed increased. |
• | Unexpectedly higher inflation data, released in early June, brought consumer confidence into focus and eroded the narrative in some parts of the market that suggested the U.S. economy had experienced peak inflation. |
• | Most global equity markets fell into bear market territory during the second calendar quarter. (A bear market is a condition in which securities prices fall 20% or more from recent highs amid widespread pessimism and negative investor sentiment.) |
• | Bond yields rose as Fed interest rate hikes came faster than investors had previously anticipated. Rising short-term interest rates and expectations for further monetary policy tightening hurt duration-sensitive assets, while concerns about the economic outlook pushed credit spreads wider. |
Satellite Asset Classes
• | Satellite asset classes generally produced negative returns during the Reporting Period overall and underperformed traditional equity and fixed income asset classes. |
• | In the first quarter of 2022, the performance of satellite asset classes was largely negative, with emerging markets equities and emerging markets debt the weakest performers overall due to region-specific risks, including the Russia/Ukraine conflict. |
• | The notable exceptions were energy infrastructure and global infrastructure securities, which posted gains for the quarter as energy prices moved sharply higher after Russia’s invasion of Ukraine. |
• | Among fixed income satellite asset classes, high yield floating rate securities held up best, benefiting from rising interest rates. |
1
MARKET REVIEW
• | During the second calendar quarter, all satellite asset classes posted negative returns, as global risk assets broadly declined. However, emerging markets equities, energy master limited partnerships (“MLPs”) and global infrastructure securities performed better than traditional asset classes. |
• | Emerging markets equities outpaced developed markets equities, as Chinese stocks benefited from a combination of supportive monetary and fiscal policy and some easing of lockdown restrictions near quarter end. |
• | Commodity prices increased, helping energy-related equities, such as MLPs and energy infrastructure securities, outperform the broader global equity market. |
• | Laggards included non-U.S. small-cap equities and global real estate securities, both of which underperformed the broader global equity market. |
• | Among fixed income satellite asset classes, emerging markets debt and high yield corporate bonds underperformed the broad U.S. fixed income market, as geopolitical risks persisted and credit spreads widened. |
Portfolio Changes and Highlights
Fund of Funds Portfolios
• | Effective January 3, 2022, Alexandra Wilson-Elizondo became a portfolio manager for all of the Portfolios, joining Neill Nuttall and Siwen Wu. |
2
Balanced Strategy
as of June 30, 2022
PERFORMANCE REVIEW |
| |||||||||||||||||
January 1, 2022–June 30, 2022 | Portfolio Total Return (based on NAV)1 | Balanced Strategy Composite Index2 | Bloomberg Global Aggregate Bond Index2 | MSCI ACWI Index2 | ||||||||||||||
Class A | -13.36 | % | -13.52 | % | -9.06 | % | -20.18 | % | ||||||||||
Class C | -13.74 | -13.52 | -9.06 | -20.18 | ||||||||||||||
Institutional | -13.21 | -13.52 | -9.06 | -20.18 | ||||||||||||||
Service | -13.40 | -13.52 | -9.06 | -20.18 | ||||||||||||||
Investor | -13.25 | -13.52 | -9.06 | -20.18 | ||||||||||||||
Class R6 | -13.20 | -13.52 | -9.06 | -20.18 | ||||||||||||||
Class R | -13.53 | -13.52 | -9.06 | -20.18 | ||||||||||||||
Class P | -13.20 | -13.52 | -9.06 | -20.18 |
1 | The net asset value (“NAV”) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance assumes the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges. |
2 | The Balanced Strategy Composite Index (“Balanced Composite”) is a composite representation prepared by the Investment Adviser of the performance of the Portfolio’s asset classes weighted according to their respective weightings in the Portfolio’s target range. The Balanced Composite is comprised of a blend of the Bloomberg Global Aggregate Bond Index (Gross, USD, Hedged) (“Bloomberg Global Index”) (60%) and the MSCI All Country World Index (Net, USD, Unhedged) (“MSCI® ACWI Index”) (40%). The Bloomberg Global Index is an unmanaged index, provides a broad-based measure of the global investment grade fixed-rate debt markets and covers the most liquid portion of the global investment grade fixed-rate bond market, including government, credit and collateralized securities. The index figures do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. The MSCI® ACWI Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The MSCI ACWI captures large and mid cap representation across 23 Developed Markets (DM) and 26 Emerging Markets (EM) countries. DM countries include: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the UK and the US. EM countries include: Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia, Saudi Arabia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates. The index figures do not include any deduction for fees or expenses. It is not possible to invest directly in an unmanaged index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.gsamfunds.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares.
3
FUND BASICS
4
FUND BASICS
3 | 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. |
4 | 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 June 30, 2022. 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. |
OVERALL UNDERLYING FUND WEIGHTINGS5 |
Percentage of Net Assets |
5 | 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.
5
FUND BASICS
Growth and Income Strategy
as of June 30, 2022
PERFORMANCE REVIEW |
| |||||||||||||||||
January 1, 2022–June 30, 2022 | Portfolio Total Return (based on NAV)1 | Growth and Income Composite Index2 | Bloomberg Global Aggregate Bond Index2 | MSCI ACWI Index2 | ||||||||||||||
Class A | -15.79 | % | -15.74 | % | -9.06 | % | -20.18 | % | ||||||||||
Class C | -16.11 | -15.74 | -9.06 | -20.18 | ||||||||||||||
Institutional | -15.59 | -15.74 | -9.06 | -20.18 | ||||||||||||||
Service | -15.77 | -15.74 | -9.06 | -20.18 | ||||||||||||||
Investor | -15.65 | -15.74 | -9.06 | -20.18 | ||||||||||||||
Class R6 | -15.58 | -15.74 | -9.06 | -20.18 | ||||||||||||||
Class R | -15.85 | -15.74 | -9.06 | -20.18 | ||||||||||||||
Class P | -15.59 | -15.74 | -9.06 | -20.18 |
1 | The net asset value (“NAV”) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance assumes the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges. |
2 | The Growth and Income Strategy Composite Index (“Growth and Income Composite”) is a composite representation prepared by the Investment Adviser of the performance of the Portfolio’s asset classes weighted according to their respective weightings in the Portfolio’s target range. The Growth and Income Composite is comprised of a blend of the Bloomberg Global Aggregate Bond Index (Gross, USD, Hedged) (“Bloomberg Global Index”) (40%) and the MSCI All Country World Index (Net, USD, Unhedged) (“MSCI® ACWI Index”) (60%). The Growth and Income Composite figures do not reflect any deduction for fees, expenses or taxes. The Bloomberg Global Index is an unmanaged index, provides a broad-based measure of the global investment-grade fixed-rate debt markets and covers the most liquid portion of the global investment grade fixed-rate bond market, including government, credit and collateralized securities. The index figures do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. The MSCI ACWI captures large and mid cap representation across 23 Developed Markets (DM) and 26 Emerging Markets (EM) countries. DM countries include: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the UK and the US. EM countries include: Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia, Saudi Arabia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates. The index figures do not include any deduction for fees or expenses. It is not possible to invest directly in an unmanaged index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.gsamfunds.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares.
6
FUND BASICS
7
FUND BASICS
3 | 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. |
4 | 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 June 30, 2022. 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. |
OVERALL UNDERLYING FUND WEIGHTINGS5 |
Percentage of Net Assets |
5 | 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.
8
FUND BASICS
Growth Strategy
as of June 30, 2022
PERFORMANCE REVIEW |
| |||||||||||||||||
January 1, 2022–June 30, 2022 | Portfolio Total Return (based on NAV)1 | Growth Strategy Composite Index2 | Bloomberg Global Aggregate Bond Index2 | MSCI ACWI Index2 | ||||||||||||||
Class A | -17.89 | % | -17.96 | % | -9.06 | % | -20.18 | % | ||||||||||
Class C | -18.17 | -17.96 | -9.06 | -20.18 | ||||||||||||||
Institutional | -17.70 | -17.96 | -9.06 | -20.18 | ||||||||||||||
Service | -17.94 | -17.96 | -9.06 | -20.18 | ||||||||||||||
Investor | -17.78 | -17.96 | -9.06 | -20.18 | ||||||||||||||
Class R6 | -17.74 | -17.96 | -9.06 | -20.18 | ||||||||||||||
Class R | -17.99 | -17.96 | -9.06 | -20.18 | ||||||||||||||
Class P | -17.74 | -17.96 | -9.06 | -20.18 |
1 | The net asset value (“NAV”) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance assumes the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges. |
2 | The Growth Strategy Composite Index (“Growth Composite”) is a composite representation prepared by the Investment Advisor of the performance of the Portfolio’s asset classes weighted according to their respective weightings in the Portfolio’s target range. The Growth Composite is comprised of a blend of the Bloomberg Global Aggregate Bond Index (Gross, USD, Hedged) (“Bloomberg Global Index”) (20%) and the MSCI All Country World Index (Net, USD, Unhedged) (“MSCI® ACWI Index”) (80%). The Growth Strategy Composite figures do not reflect any deduction for fees, expenses or taxes. The Bloomberg Global Index is an unmanaged index, provides a broad-based measure of the global investment-grade fixed-rate debt markets and covers the most liquid portion of the global investment grade fixed-rate bond market, including government, credit and collateralized securities. The index figures do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. The MSCI ACWI captures large and mid cap representation across 23 Developed Markets (DM) and 26 Emerging Markets (EM) countries. DM countries include: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the UK and the US. EM countries include: Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia, Saudi Arabia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates. The index figures do not include any deduction for fees or expenses. It is not possible to invest directly in an unmanaged index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.gsamfunds.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares.
9
FUND BASICS
3 | 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. |
4 | 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 June 30, 2022. 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. |
10
FUND BASICS
OVERALL UNDERLYING FUND WEIGHTINGS5 |
Percentage of Net Assets |
5 | 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.
11
FUND BASICS
Satellite Strategies
as of June 30, 2022
PERFORMANCE REVIEW |
| |||||||||||||||||||||
January 1, 2022–June 30, 2022 | Portfolio Total Return (based on NAV)1 | Satellite Strategies Composite Index2 | Bloomberg U.S. Aggregate Bond Index2 | MSCI® EAFE® Net Total Return Index2 | S&P 500® Index2 | |||||||||||||||||
Class A | -14.80 | % | -16.00 | % | -10.35 | % | -19.57 | % | -19.96 | % | ||||||||||||
Class C | -15.04 | -16.00 | -10.35 | -19.57 | -19.96 | |||||||||||||||||
Institutional | -14.58 | -16.00 | -10.35 | -19.57 | -19.96 | |||||||||||||||||
Service | -14.75 | -16.00 | -10.35 | -19.57 | -19.96 | |||||||||||||||||
Investor | -14.63 | -16.00 | -10.35 | -19.57 | -19.96 | |||||||||||||||||
Class R6 | -14.56 | -16.00 | -10.35 | -19.57 | -19.96 | |||||||||||||||||
Class R | -14.95 | -16.00 | -10.35 | -19.57 | -19.96 | |||||||||||||||||
Class P | -14.56 | -16.00 | -10.35 | -19.57 | -19.96 |
1 | The net asset value (“NAV”) represents the net assets of the class of the Portfolio (ex-dividend) divided by the total number of shares of the class outstanding. The Portfolio’s performance reflects the reinvestment of dividends and other distributions. The Portfolio’s performance does not reflect the deduction of any applicable sales charges. |
2 | The Satellite Strategies Composite Index (“Satellite Composite”) is a composite representation prepared by the Investment Adviser of the performance of the Portfolio’s asset classes weighted according to their respective weightings in the Portfolio’s target range. The Satellite Composite is comprised of the Bloomberg U.S. Aggregate Bond Index (40%), the S&P 500® Index (30%), and the MSCI® EAFE® Net Total Return Index (30%). The Satellite Composite figures do not reflect any deduction for fees, expenses or taxes. The Bloomberg U.S. Aggregate Bond Index represents an unmanaged diversified portfolio of fixed income securities, including U.S. Treasuries, investment-grade corporate bonds, and mortgage-backed and asset-backed securities. The S&P 500® Index is the Standard & Poor’s 500 Composite Index of 500 stocks, an unmanaged index of common stock prices. The unmanaged MSCI® EAFE® Index is a market capitalization weighted composite of securities in 21 developed markets. Developed Markets countries in the MSCI EAFE Index include: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland and the UK. The index figures do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. The index figures do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.gsamfunds.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares.
12
FUND BASICS
TARGET RISK-CONTRIBUTION INVESTMENT PORTFOLIO3 AS OF 6/30/22 | ||||||
Percentage of Investment Portfolio | ||||||
![]() |
3 | 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 June 30, 2022. 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. |
13
FUND BASICS
OVERALL UNDERLYING FUND WEIGHTINGS4 |
Percentage of Net Assets |
4 | 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.
14
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
June 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Underlying Funds – 88.0% | ||||||||
Dynamic(a) – 3.9% | ||||||||
1,647,985 | Goldman Sachs Managed Futures Strategy Fund – Class R6 | $ | 20,154,860 | |||||
|
| |||||||
Equity – 17.3% | ||||||||
2,928,169 | Goldman Sachs International Equity Insights Fund – Class R6(a) | 34,201,010 | ||||||
2,443,647 | Goldman Sachs Emerging Markets Equity Insights Fund – Class R6(a) | 19,817,981 | ||||||
827,511 | Goldman Sachs Global Infrastructure Fund – Class R6(a) | 10,443,185 | ||||||
642,344 | Goldman Sachs International Small Cap Insights Fund – Class R6(a) | 6,995,128 | ||||||
263,811 | Goldman Sachs Large Cap Value Insights Fund – Class R6(a) | 5,394,936 | ||||||
531,154 | Goldman Sachs Global Real Estate Securities Fund – Class R6(a) | 5,215,936 | ||||||
518,126 | Goldman Sachs Energy Infrastructure Fund –Class R6(a) | 5,170,896 | ||||||
71,776 | Goldman Sachs Small Cap Equity Insights Fund – Class R6(a) | 1,546,055 | ||||||
|
| |||||||
88,785,127 | ||||||||
|
| |||||||
Exchange Traded Funds – 28.5% | ||||||||
8,835 | Energy Select Sector SPDR Fund | 631,791 | ||||||
938,094 | Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF(a) | 70,300,764 | ||||||
1,139,178 | Goldman Sachs Access Investment Grade Corporate Bond ETF(a) | 52,459,147 | ||||||
444,738 | Goldman Sachs ActiveBeta International Equity ETF(a) | 12,350,374 | ||||||
167,262 | Goldman Sachs ActiveBeta Emerging Markets Equity ETF(a) | 4,976,045 | ||||||
109,928 | Goldman Sachs MarketBeta International Equity ETF(a) | 4,929,083 | ||||||
58,442 | Goldman Sachs MarketBeta Emerging Markets Equity ETF(a) | 2,434,109 | ||||||
7,372 | Health Care Select Sector SPDR Fund | 945,385 | ||||||
|
| |||||||
149,026,698 | ||||||||
|
| |||||||
Fixed Income(a) – 38.3% | ||||||||
13,090,817 | Goldman Sachs Global Core Fixed Income Fund – Class R6 | 147,533,506 | ||||||
2,570,012 | Goldman Sachs Short Duration Bond Fund – Class R6 | 24,235,209 | ||||||
1,591,913 | Goldman Sachs Core Fixed Income Fund – Class R6 | 15,155,015 | ||||||
875,925 | Goldman Sachs Emerging Markets Debt Fund – Class R6 | 8,014,714 | ||||||
497,449 | Goldman Sachs High Yield Floating Rate Fund – Class R6 | 4,312,881 | ||||||
|
| |||||||
199,251,325 | ||||||||
|
| |||||||
| TOTAL UNDERLYING FUNDS – 88.0% (Cost $485,995,700) | $ | 457,218,010 | |||||
|
| |||||||
Shares | Distribution Rate | Value | ||||||
Investment Company(a) – 9.7% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
50,447,669 | 1.367% | $ | 50,447,669 | |||||
(Cost $50,447,669) | ||||||||
|
| |||||||
| TOTAL INVESTMENTS – 97.7% (Cost $536,443,369) | $ | 507,665,679 | |||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 2.3% | 11,818,414 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 519,484,093 | ||||||
|
|
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 | |||
SPDR | —Standard & Poor’s Depository Receipt | |||
|
The accompanying notes are an integral part of these financial statements. | 15 |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Schedule of Investments (continued)
June 30, 2022 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30, 2022, 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 | 6,103,522 | GBP | 4,890,000 | 09/21/22 | $ | 141,358 | |||||||||||||
USD | 1,580,470 | SEK | 15,525,000 | 09/21/22 | 57,483 | |||||||||||||||
USD | 8,901,572 | JPY | 1,151,000,000 | 09/21/22 | 368,175 | |||||||||||||||
USD | 13,784,073 | EUR | 12,880,000 | 09/21/22 | 205,980 | |||||||||||||||
USD | 3,025,660 | AUD | 4,220,000 | 09/21/22 | 110,786 | |||||||||||||||
USD | 279,859 | NOK | 2,650,000 | 09/21/22 | 10,317 | |||||||||||||||
USD | 83,904 | NZD | 130,000 | 09/21/22 | 2,790 | |||||||||||||||
USD | 1,037,049 | DKK | 7,210,000 | 09/21/22 | 14,977 | |||||||||||||||
USD | 466,581 | SGD | 640,000 | 09/21/22 | 5,664 | |||||||||||||||
USD | 1,175,692 | HKD | 9,200,000 | 09/21/22 | 487 | |||||||||||||||
USD | 193,244 | ILS | 640,000 | 09/21/22 | 8,914 | |||||||||||||||
TOTAL | $ | 926,931 |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||||||
MS & Co. Int. PLC | USD | 4,279,008 | CHF | 4,100,000 | 09/21/22 | $ | (41,569 | ) |
FUTURES CONTRACTS — At June 30, 2022, the Portfolio had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
2 Year U.S. Treasury Notes | 15 | 09/30/22 | $ | 3,150,234 | $ | (18,094 | ) | |||||||||
Euro Stoxx 50 Index | 187 | 09/16/22 | 781,907 | (14,102 | ) | |||||||||||
S&P 500 E-Mini Index | 167 | 09/16/22 | 31,642,325 | �� | (1,338,930 | ) | ||||||||||
TOTAL FUTURES CONTRACTS | $ | (1,371,126 | ) |
16 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
ADDITIONAL INVESTMENT INFORMATION (continued) |
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At June 30, 2022, 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 | $95.875 | 03/13/2023 | 44 | $ | 110,000 | $ | 88,000 | $ | 131,477 | $ | (43,477 | ) | ||||||||||||||
Eurodollar Futures | 95.875 | 06/19/2023 | 71 | 177,500 | 181,050 | 202,577 | (21,527 | ) | ||||||||||||||||||
Eurodollar Futures | 95.875 | 09/18/2023 | 66 | 165,000 | 200,888 | 200,078 | 810 | |||||||||||||||||||
Eurodollar Futures | 97.250 | 12/18/2023 | 102 | 255,000 | 144,712 | 133,561 | 11,151 | |||||||||||||||||||
Eurodollar Futures | 97.500 | 03/18/2024 | 262 | 655,000 | 355,337 | 362,795 | (7,458 | ) | ||||||||||||||||||
Eurodollar Futures | 97.500 | 06/17/2024 | 231 | 577,500 | 358,050 | 349,111 | 8,939 | |||||||||||||||||||
Eurodollar Futures | 97.750 | 03/13/2023 | 172 | 430,000 | 43,000 | 620,238 | (577,238 | ) | ||||||||||||||||||
Eurodollar Futures | 97.750 | 06/19/2023 | 96 | 240,000 | 46,200 | 391,501 | (345,301 | ) | ||||||||||||||||||
Eurodollar Futures | 98.000 | 12/19/2022 | 46 | 115,000 | 4,025 | 114,532 | (110,507 | ) | ||||||||||||||||||
Eurodollar Futures | 98.250 | 09/19/2022 | 48 | 120,000 | 1,200 | 114,712 | (113,512 | ) | ||||||||||||||||||
Eurodollar Futures | 98.750 | 12/19/2022 | 128 | 320,000 | 5,600 | 118,697 | (113,097 | ) | ||||||||||||||||||
Eurodollar Futures | 99.000 | 09/19/2022 | 132 | 330,000 | 1,650 | 100,956 | (99,306 | ) | ||||||||||||||||||
Eurodollar Futures | 99.000 | 12/19/2022 | 384 | 960,000 | 12,000 | 546,824 | (534,824 | ) | ||||||||||||||||||
TOTAL | 1,782 | $ | 4,455,000 | $ | 1,441,712 | $ | 3,387,059 | $ | (1,945,347 | ) |
OVER-THE-COUNTER OPTIONS ON EQUITIES
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Portfolio | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Purchased option contracts |
| |||||||||||||||||||||||||||||
Calls |
| |||||||||||||||||||||||||||||
SPX Index | BofA Securities LLC | $ | 4,063.050 | 07/15/2022 | 211 | $ | 85,730,355 | $ | 890 | $ | 30,786 | $ | (29,896 | ) | ||||||||||||||||
Written option contracts |
| |||||||||||||||||||||||||||||
Puts |
| |||||||||||||||||||||||||||||
SPX Index | BofA Securities LLC | $ | 3,656.745 | 01/20/2023 | (211 | ) | $ | (77,157,320 | ) | $ | (45,696 | ) | $ | (35,758 | ) | $ | (9,938 | ) | ||||||||||||
SPX Index | Barclays Bank PLC | 3,800.000 | 08/19/2022 | (208 | ) | (79,040,000 | ) | (30,701 | ) | (35,426 | ) | 4,725 | ||||||||||||||||||
SPX Index | Citibank NA | 3,877.570 | 12/30/2022 | (415 | ) | (160,919,155 | ) | (122,051 | ) | (74,451 | ) | (47,600 | ) | |||||||||||||||||
SPX Index | Citibank NA | 4,119.400 | 12/30/2022 | (415 | ) | (170,955,100 | ) | (175,782 | ) | (96,492 | ) | (79,290 | ) | |||||||||||||||||
XLV Index | Citibank NA | 127.250 | 12/30/2022 | (7,213 | ) | (91,785,425 | ) | (49,067 | ) | (59,147 | ) | 10,080 | ||||||||||||||||||
SPX Index | MS & Co. Int. PLC | 3,998.210 | 12/30/2022 | (221 | ) | (88,360,441 | ) | (78,187 | ) | (65,557 | ) | (12,630 | ) | |||||||||||||||||
Total written option contracts | (8,683 | ) | $ | (668,217,441 | ) | $ | (501,484 | ) | $ | (366,831 | ) | $ | (134,653 | ) | ||||||||||||||||
TOTAL | (8,472 | ) | $ | (582,487,086 | ) | $ | (500,594 | ) | $ | (336,045 | ) | $ | (164,549 | ) |
The accompanying notes are an integral part of these financial statements. | 17 |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Schedule of Investments (continued)
June 30, 2022 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER-THE-COUNTER OPTIONS ON FOREIGN CURRENCY
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Portfolio | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Purchased option contracts |
| |||||||||||||||||||||||||||||
Puts | ||||||||||||||||||||||||||||||
Put EUR/Call USD | MS & Co. Int. PLC | $ | 1.192 | 03/07/2023 | 344,000 | $ | 344,000 | $ | 42,496 | $ | 19,475 | $ | 23,021 | |||||||||||||||||
Written option contracts |
| |||||||||||||||||||||||||||||
Puts | ||||||||||||||||||||||||||||||
Put EUR/Call USD | MS & Co. Int. PLC | $ | 1.192 | 03/07/2023 | (344,000 | ) | $ | (344,000 | ) | $ | (42,496 | ) | $ | (16,700 | ) | $ | (25,796 | ) | ||||||||||||
TOTAL | — | $ | — | $ | — | $ | 2,775 | $ | (2,775 | ) |
| ||
Abbreviations: | ||
BofA Securities LLC—Bank of America Securities LLC | ||
MS & Co. Int. PLC—Morgan Stanley & Co. International PLC | ||
|
18 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Schedule of Investments
June 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Underlying Funds – 89.1% | ||||||||
Dynamic(a) – 3.6% | ||||||||
2,383,714 | Goldman Sachs Managed Futures Strategy Fund – Class R6 | $ | 29,152,825 | |||||
|
| |||||||
Equity – 23.8% | ||||||||
7,055,993 | Goldman Sachs International Equity Insights Fund – Class R6(a) | 82,413,999 | ||||||
5,400,657 | Goldman Sachs Emerging Markets Equity Insights Fund – Class R6(a) | 43,799,331 | ||||||
1,560,808 | Goldman Sachs International Small Cap Insights Fund – Class R6(a) | 16,997,204 | ||||||
1,301,967 | Goldman Sachs Global Infrastructure Fund – Class R6(a) | 16,430,823 | ||||||
603,643 | Goldman Sachs Large Cap Value Insights Fund – Class R6(a) | 12,344,507 | ||||||
1,091,443 | Goldman Sachs Energy Infrastructure Fund –Class R6(a) | 10,892,605 | ||||||
837,135 | Goldman Sachs Global Real Estate Securities Fund – Class R6(a) | 8,220,671 | ||||||
164,235 | Goldman Sachs Small Cap Equity Insights Fund – Class R6(a) | 3,537,622 | ||||||
|
| |||||||
194,636,762 | ||||||||
|
| |||||||
Exchange Traded Funds – 42.1% | ||||||||
11,302 | Energy Select Sector SPDR Fund | 808,206 | ||||||
2,764,663 | Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF(a) | 207,183,845 | ||||||
1,763,455 | Goldman Sachs Access Investment Grade Corporate Bond ETF(a) | 81,207,103 | ||||||
1,017,634 | Goldman Sachs ActiveBeta International Equity ETF(a) | 28,259,696 | ||||||
382,723 | Goldman Sachs ActiveBeta Emerging Markets Equity ETF(a) | 11,386,009 | ||||||
133,725 | Goldman Sachs MarketBeta Emerging Markets Equity ETF(a) | 5,569,646 | ||||||
251,534 | Goldman Sachs MarketBeta International Equity ETF(a) | 11,278,584 | ||||||
9,851 | Health Care Select Sector SPDR Fund | 1,263,292 | ||||||
|
| |||||||
346,956,381 | ||||||||
|
| |||||||
Fixed Income(a) – 19.6% | ||||||||
8,869,070 | Goldman Sachs Global Core Fixed Income Fund – Class R6 | 99,954,415 | ||||||
4,189,458 | Goldman Sachs Short Duration Bond Fund – Class R6 | 39,506,590 | ||||||
1,623,643 | Goldman Sachs Emerging Markets Debt Fund – Class R6 | 14,856,331 | ||||||
784,565 | Goldman Sachs High Yield Floating Rate Fund – Class R6 | 6,802,181 | ||||||
|
| |||||||
161,119,517 | ||||||||
|
| |||||||
TOTAL UNDERLYING FUNDS — 89.1% | ||||||||
(Cost $734,158,042) | $ | 731,865,485 | ||||||
|
| |||||||
Shares | Dividend Rate | Value | ||||||
Investment Company(a) – 7.5% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
61,727,094 | 1.367% | $ | 61,727,094 | |||||
(Cost $61,727,094) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 96.6% | ||||||||
(Cost $795,885,136) | $ | 793,592,579 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 3.4% | 28,291,775 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 821,884,354 | ||||||
|
|
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 | |
SPDR | —Standard & Poor’s Depository Receipt | |
|
The accompanying notes are an integral part of these financial statements. | 19 |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Schedule of Investments (continued)
June 30, 2022 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30, 2022, 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 | 2,573,036 | SEK | 25,275,000 | 09/21/22 | $ | 93,584 | |||||||||||||||||
USD | 9,947,867 | GBP | 7,970,000 | 09/21/22 | 230,393 | |||||||||||||||||||
USD | 14,500,824 | JPY | 1,875,000,000 | 09/21/22 | 599,764 | |||||||||||||||||||
USD | 22,474,032 | EUR | 21,000,000 | 09/21/22 | 335,837 | |||||||||||||||||||
USD | 4,939,999 | AUD | 6,890,000 | 09/21/22 | 180,880 | |||||||||||||||||||
USD | 141,991 | NZD | 220,000 | 09/21/22 | 4,721 | |||||||||||||||||||
USD | 454,111 | NOK | 4,300,000 | 09/21/22 | 16,741 | |||||||||||||||||||
USD | 1,691,461 | DKK | 11,760,000 | 09/21/22 | 24,392 | |||||||||||||||||||
USD | 758,195 | SGD | 1,040,000 | 09/21/22 | 9,204 | |||||||||||||||||||
USD | 314,022 | ILS | 1,040,000 | 09/21/22 | 14,486 | |||||||||||||||||||
USD | 1,915,612 | HKD | 14,990,000 | 09/21/22 | 794 | |||||||||||||||||||
TOTAL | $ | 1,510,796 |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||||||
MS & Co. Int. PLC | USD | 6,961,215 | CHF | 6,670,000 | 09/21/22 | $ | (67,626 | ) |
FUTURES CONTRACTS — At June 30, 2022, the Portfolio had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||
Long position contracts: | ||||||||||||||
2 Year U.S. Treasury Notes | 19 | 09/30/22 | $ | 3,990,297 | $ | (22,971 | ) | |||||||
S&P 500 E-Mini Index | 320 | 09/16/22 | 60,632,000 | (2,553,107 | ) | |||||||||
Euro Stoxx 50 Index | 243 | 09/16/22 | 1,016,061 | (18,325 | ) | |||||||||
TOTAL FUTURES CONTRACTS | $ | (2,594,403 | ) |
20 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
ADDITIONAL INVESTMENT INFORMATION (continued) |
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At June 30, 2022, 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 | $95.875 | 06/19/2023 | 130 | $ | 325,000 | $ | 331,500 | $ | 370,477 | $ | (38,977 | ) | ||||||||||||||
Eurodollar Futures | 95.875 | 09/18/2023 | 122 | 305,000 | 371,337 | 369,508 | 1,829 | |||||||||||||||||||
Eurodollar Futures | 95.875 | 03/13/2023 | 81 | 202,500 | 162,000 | 241,763 | (79,763 | ) | ||||||||||||||||||
Eurodollar Futures | 97.250 | 12/18/2023 | 187 | 467,500 | 265,306 | 244,659 | 20,647 | |||||||||||||||||||
Eurodollar Futures | 97.500 | 06/17/2024 | 422 | 1,055,000 | 654,100 | 638,517 | 15,583 | |||||||||||||||||||
Eurodollar Futures | 97.500 | 03/18/2024 | 478 | 1,195,000 | 648,287 | 662,621 | (14,334 | ) | ||||||||||||||||||
Eurodollar Futures | 97.750 | 06/19/2023 | 161 | 402,500 | 77,482 | 656,580 | (579,098 | ) | ||||||||||||||||||
Eurodollar Futures | 97.750 | 03/13/2023 | 285 | 712,500 | 71,250 | 1,030,250 | (959,000 | ) | ||||||||||||||||||
Eurodollar Futures | 98.000 | 12/19/2022 | 76 | 190,000 | 6,650 | 189,226 | (182,576 | ) | ||||||||||||||||||
Eurodollar Futures | 98.250 | 09/19/2022 | 78 | 195,000 | 1,950 | 186,406 | (184,456 | ) | ||||||||||||||||||
Eurodollar Futures | 98.750 | 12/19/2022 | 209 | 522,500 | 9,144 | 193,810 | (184,666 | ) | ||||||||||||||||||
Eurodollar Futures | 99.000 | 12/19/2022 | 698 | 1,745,000 | 21,813 | 993,966 | (972,153 | ) | ||||||||||||||||||
Eurodollar Futures | 99.000 | 09/19/2022 | 216 | 540,000 | 2,700 | 165,201 | (162,501 | ) | ||||||||||||||||||
TOTAL | 3,143 | $ | 7,857,500 | $ | 2,623,519 | $ | 5,942,984 | $ | (3,319,465 | ) |
OVER-THE-COUNTER OPTIONS ON EQUITIES
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Portfolio | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Purchased option contracts | ||||||||||||||||||||||||||||||
Calls | ||||||||||||||||||||||||||||||
SPX Index | Bank of America NA | $ | 4,063.050 | 07/15/2022 | 276 | $ | 276 | $ | 1,165 | $ | 40,270 | $ | (39,105 | ) | ||||||||||||||||
Written option contracts | ||||||||||||||||||||||||||||||
Puts | ||||||||||||||||||||||||||||||
XLV Index | Citibank NA | $ | 127.250 | 12/30/2022 | (9,490 | ) | $ | (9,490 | ) | $ | (64,557 | ) | $ | (77,818 | ) | $ | 13,261 | |||||||||||||
SPX Index | MS & Co. Int. PLC | 3,998.210 | 12/30/2022 | (288 | ) | (288 | ) | (101,890 | ) | (85,432 | ) | (16,458 | ) | |||||||||||||||||
SPX Index | Citibank NA | 4,119.400 | 12/30/2022 | (546 | ) | (546 | ) | (231,271 | ) | (126,951 | ) | (104,320 | ) | |||||||||||||||||
SPX Index | Citibank NA | 3,877.570 | 12/30/2022 | (546 | ) | (546 | ) | (160,577 | ) | (97,952 | ) | (62,625 | ) | |||||||||||||||||
SPX Index | Barclays Bank PLC | 3,800.000 | 08/19/2022 | (272 | ) | (272 | ) | (40,148 | ) | (46,327 | ) | 6,179 | ||||||||||||||||||
SPX Index | Bank of America NA | 3,656.745 | 01/20/2023 | (276 | ) | (276 | ) | (59,773 | ) | (46,774 | ) | (12,999 | ) | |||||||||||||||||
Total written option contracts | (11,418 | ) | $ | (11,418 | ) | $ | (658,216 | ) | $ | (481,254 | ) | $ | (176,962 | ) | ||||||||||||||||
TOTAL | (11,142 | ) | $ | (11,142 | ) | $ | (657,052 | ) | $ | (440,984 | ) | $ | (216,067 | ) |
The accompanying notes are an integral part of these financial statements. | 21 |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Schedule of Investments (continued)
June 30, 2022 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER-THE-COUNTER OPTIONS ON FOREIGN CURRENCY
Description | Counterparty | Exercise Rate | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Portfolio | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Purchased option contracts | ||||||||||||||||||||||||||||||
Puts | ||||||||||||||||||||||||||||||
Put EUR/Call USD | MS & Co. Int. PLC | $ | 1.192 | 03/07/2023 | 459,000 | $ | 459,000 | $ | 56,703 | $ | 25,986 | $ | 30,717 | |||||||||||||||||
Written option contracts | ||||||||||||||||||||||||||||||
Puts | ||||||||||||||||||||||||||||||
Put EUR/Call USD | MS & Co. Int. PLC | $ | 1.192 | 03/07/2023 | (459,000 | ) | $ | (459,000 | ) | $ | (56,703 | ) | $ | (22,283 | ) | $ | (34,420 | ) | ||||||||||||
TOTAL | — | $ | — | $ | — | $ | 3,703 | $ | (3,703 | ) |
| ||
Abbreviation: | ||
MS & Co. Int. PLC | —Morgan Stanley & Co. International PLC | |
|
22 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Schedule of Investments
June 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Underlying Funds – 85.7% | ||||||||
Dynamic(a) – 2.1% | ||||||||
1,353,981 | Goldman Sachs Managed Futures Strategy Fund – Class R6 | $ | 16,559,191 | |||||
|
| |||||||
Equity – 32.4% | ||||||||
9,581,856 | Goldman Sachs International Equity Insights Fund – Class R6(a) | 111,916,081 | ||||||
7,505,681 | Goldman Sachs Emerging Markets Equity Insights Fund – Class R6(a) | 60,871,071 | ||||||
2,854,708 | Goldman Sachs International Small Cap Insights Fund – Class R6(a) | 31,087,767 | ||||||
1,268,163 | Goldman Sachs Global Infrastructure Fund – Class R6(a) | 16,004,219 | ||||||
659,341 | Goldman Sachs Large Cap Value Insights Fund – Class R6(a) | 13,483,527 | ||||||
1,130,654 | Goldman Sachs Energy Infrastructure Fund –Class R6(a) | 11,283,922 | ||||||
809,473 | Goldman Sachs Global Real Estate Securities Fund – Class R6(a) | 7,949,028 | ||||||
179,389 | Goldman Sachs Small Cap Equity Insights Fund – Class R6(a) | 3,864,039 | ||||||
|
| |||||||
256,459,654 | ||||||||
|
| |||||||
Exchange Traded Funds – 44.0% | ||||||||
9,099 | Energy Select Sector SPDR Fund | 650,670 | ||||||
3,721,922 | Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF(a) | 278,920,835 | ||||||
1,111,530 | Goldman Sachs ActiveBeta International Equity ETF(a) | 30,867,188 | ||||||
418,037 | Goldman Sachs ActiveBeta Emerging Markets Equity ETF(a) | 12,436,601 | ||||||
274,742 | Goldman Sachs MarketBeta International Equity ETF(a) | 12,319,211 | ||||||
171,088 | Goldman Sachs Access Investment Grade Corporate Bond ETF(a) | 7,878,602 | ||||||
146,063 | Goldman Sachs MarketBeta Emerging Markets Equity ETF(a) | 6,083,524 | ||||||
6,405 | Health Care Select Sector SPDR Fund | 821,377 | ||||||
|
| |||||||
349,978,008 | ||||||||
|
| |||||||
Fixed Income(a) – 7.2% | ||||||||
3,964,588 | Goldman Sachs Short Duration Bond Fund – Class R6 | 37,386,066 | ||||||
1,852,890 | Goldman Sachs Emerging Markets Debt Fund – Class R6 | 16,953,946 | ||||||
283,767 | Goldman Sachs High Yield Floating Rate Fund – Class R6 | 2,460,257 | ||||||
|
| |||||||
56,800,269 | ||||||||
|
| |||||||
TOTAL UNDERLYING FUNDS — 85.7% | ||||||||
(Cost $663,972,936) | $ | 679,797,122 | ||||||
|
| |||||||
Shares | Dividend Rate | Value | ||||||
Investment Company(a) – 8.7% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
69,053,973 | 1.367% | $ | 69,053,973 | |||||
(Cost $69,053,973) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 94.4% | ||||||||
(Cost $733,026,909) | $ | 748,851,095 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 5.6% | 44,671,583 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 793,522,678 | ||||||
|
|
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 | |
SPDR | —Standard & Poor’s Depository Receipt | |
|
The accompanying notes are an integral part of these financial statements. | 23 |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Schedule of Investments (continued)
June 30, 2022 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30, 2022, 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 | ||||||||||||||||
Morgan Stanley & Co. | USD | 2,427,968 | SEK | 23,850,000 | 09/21/22 | $ | 88,309 | |||||||||||||
USD | 9,386,193 | GBP | 7,520,000 | 09/21/22 | 217,385 | |||||||||||||||
USD | 13,681,044 | JPY | 1,769,000,000 | 09/21/22 | 565,857 | |||||||||||||||
USD | 21,200,504 | EUR | 19,810,000 | 09/21/22 | 316,806 | |||||||||||||||
USD | 4,653,207 | AUD | 6,490,000 | 09/21/22 | 170,379 | |||||||||||||||
USD | 427,710 | NOK | 4,050,000 | 09/21/22 | 15,767 | |||||||||||||||
USD | 129,083 | NZD | 200,000 | 09/21/22 | 4,292 | |||||||||||||||
USD | 1,595,094 | DKK | 11,090,000 | 09/21/22 | 23,002 | |||||||||||||||
USD | 714,453 | SGD | 980,000 | 09/21/22 | 8,673 | |||||||||||||||
USD | 1,806,988 | HKD | 14,140,000 | 09/21/22 | 749 | |||||||||||||||
USD | 289,867 | ILS | 960,000 | 09/21/22 | 13,371 | |||||||||||||||
TOTAL | $ | 1,424,590 |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||||||
Morgan Stanley & Co. | USD | 6,575,061 | CHF | 6,300,000 | 09/21/22 | $ | (63,874 | ) |
FUTURES CONTRACTS — At June 30, 2022, the Portfolio had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
Euro Stoxx 50 Index | 167 | 09/16/22 | $ | 698,280 | $ | (12,593 | ) | |||||||||
S&P 500 E-Mini Index | 349 | 09/16/22 | 66,126,775 | (2,796,239 | ) | |||||||||||
2 Year U.S. Treasury Notes | 14 | 09/30/22 | 2,940,219 | (16,900 | ) | |||||||||||
10 Year U.S. Treasury Notes | 156 | 09/21/22 | 18,490,875 | 31,746 | ||||||||||||
TOTAL FUTURES CONTRACTS | $ | (2,793,986 | ) |
24 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
ADDITIONAL INVESTMENT INFORMATION (continued) |
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At June 30, 2022, 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 | $95.875 | 03/13/2023 | 94 | $ | 235,000 | $ | 188,000 | $ | 275,943 | $ | (87,943 | ) | ||||||||||||||
Eurodollar Futures | 95.875 | 06/19/2023 | 149 | 372,500 | 379,950 | 421,483 | (41,533 | ) | ||||||||||||||||||
Eurodollar Futures | 95.875 | 09/18/2023 | 140 | 350,000 | 426,125 | 421,375 | 4,750 | |||||||||||||||||||
Eurodollar Futures | 97.250 | 12/18/2023 | 215 | 537,500 | 305,031 | 280,031 | 25,000 | |||||||||||||||||||
Eurodollar Futures | 97.500 | 03/18/2024 | 551 | 1,377,500 | 747,294 | 758,841 | (11,547 | ) | ||||||||||||||||||
Eurodollar Futures | 97.500 | 06/17/2024 | 487 | 1,217,500 | 754,850 | 732,705 | 22,145 | |||||||||||||||||||
Eurodollar Futures | 97.750 | 03/13/2023 | 310 | 775,000 | 77,500 | 1,102,302 | (1,024,802 | ) | ||||||||||||||||||
Eurodollar Futures | 97.750 | 06/19/2023 | 163 | 407,500 | 78,444 | 664,736 | (586,292 | ) | ||||||||||||||||||
Eurodollar Futures | 98.000 | 12/19/2022 | 88 | 220,000 | 7,700 | 219,104 | (211,404 | ) | ||||||||||||||||||
Eurodollar Futures | 98.250 | 09/19/2022 | 91 | 227,500 | 2,275 | 217,474 | (215,199 | ) | ||||||||||||||||||
Eurodollar Futures | 98.750 | 12/19/2022 | 243 | 607,500 | 10,631 | 225,339 | (214,708 | ) | ||||||||||||||||||
Eurodollar Futures | 99.000 | 09/19/2022 | 251 | 627,500 | 3,138 | 191,970 | (188,832 | ) | ||||||||||||||||||
Eurodollar Futures | 99.000 | 12/19/2022 | 741 | 1,852,500 | 23,156 | 1,055,199 | (1,032,043 | ) | ||||||||||||||||||
TOTAL | 3,523 | $ | 8,807,500 | $ | 3,004,094 | $ | 6,566,502 | $ | (3,562,408 | ) |
OVER-THE-COUNTER OPTIONS ON EQUITIES
Description | Counterparty | Exercise Rate | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Portfolio | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Purchased option contracts |
| |||||||||||||||||||||||||||||
Calls | ||||||||||||||||||||||||||||||
SPX Index | $ | 4,063.050 | 07/15/2022 | 195 | $ | 195 | $ | 822 | $ | 28,451 | $ | (27,629 | ) | |||||||||||||||||
Written option contracts | ||||||||||||||||||||||||||||||
Puts | ||||||||||||||||||||||||||||||
SPX Index | Bank of America NA | 3,656.745 | 01/20/2023 | (195 | ) | $ | (195 | ) | $ | (42,231 | ) | $ | (33,047 | ) | $ | (9,184 | ) | |||||||||||||
SPX Index | Barclays Bank PLC | 3,800.000 | 08/19/2022 | (191 | ) | (191 | ) | (28,192 | ) | (32,531 | ) | 4,339 | ||||||||||||||||||
SPX Index | Citibank NA | 3,877.570 | 12/30/2022 | (384 | ) | (384 | ) | (112,933 | ) | (68,889 | ) | (44,044 | ) | |||||||||||||||||
SPX Index | Citibank NA | 4,119.400 | 12/30/2022 | (384 | ) | (384 | ) | (162,652 | ) | (89,284 | ) | (73,368 | ) | |||||||||||||||||
XLV Index | Citibank NA | 127.250 | 12/30/2022 | (6,685 | ) | (6,685 | ) | (45,476 | ) | (54,817 | ) | 9,341 | ||||||||||||||||||
SPX Index | MS & Co. Int. PLC | 3,998.210 | 12/30/2022 | (201 | ) | (201 | ) | (71,111 | ) | (59,625 | ) | (11,486 | ) | |||||||||||||||||
Total written option contracts | (8,040 | ) | $ | (8,040 | ) | $ | (462,595 | ) | $ | (338,193 | ) | $ | (124,402 | ) | ||||||||||||||||
TOTAL | (7,845 | ) | $ | (7,845 | ) | $ | (461,773 | ) | $ | (309,742 | ) | $ | (152,031 | ) |
The accompanying notes are an integral part of these financial statements. | 25 |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Schedule of Investments (continued)
June 30, 2022 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER-THE-COUNTER OPTIONS ON FOREIGN CURRENCY
Description | Counterparty | Exercise Rate | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Portfolio | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Purchased option contracts |
| |||||||||||||||||||||||||||||
Puts | ||||||||||||||||||||||||||||||
Put EUR/Call USD | MS & Co. Int. PLC | $ | 1.192 | 03/07/2023 | 318,000 | $ | 318,000 | $ | 39,284 | $ | 18,003 | $ | 21,281 | |||||||||||||||||
Written option contracts |
| |||||||||||||||||||||||||||||
Puts | ||||||||||||||||||||||||||||||
Put EUR/Call USD | MS & Co. Int. PLC | $ | 1.192 | 03/07/2023 | (318,000 | ) | $ | (318,000 | ) | $ | (39,284 | ) | $ | (15,437 | ) | $ | (23,847 | ) | ||||||||||||
TOTAL | — | $ | — | $ | — | $ | 2,566 | $ | (2,566 | ) |
| ||
Abbreviation: | ||
MS & Co. Int. PLC—Morgan Stanley & Co. International PLC | ||
|
26 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Schedule of Investments
June 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Underlying Funds(a) – 96.1% | ||||||||
Equity – 61.1% | ||||||||
1,929,632 | Goldman Sachs International Small Cap Insights Fund – Class R6 | $ | 21,013,690 | |||||
1,580,777 | Goldman Sachs Global Infrastructure Fund – Class R6 | 19,949,411 | ||||||
600,298 | Goldman Sachs Global Real Estate Securities Fund – Class R6 | 5,894,928 | ||||||
697,714 | Goldman Sachs Emerging Markets Equity Insights Fund – Class R6 | 5,658,462 | ||||||
234,265 | Goldman Sachs Emerging Markets Equity Fund – Class R6 | 5,121,037 | ||||||
117,908 | Goldman Sachs MLP Energy Infrastructure Fund – Class R6 | 3,007,825 | ||||||
|
| |||||||
60,645,353 | ||||||||
|
| |||||||
Exchange Traded Funds – 3.2% | ||||||||
105,925 | Goldman Sachs ActiveBeta Emerging Markets Equity ETF | 3,151,269 | ||||||
|
| |||||||
Fixed Income – 31.8% | ||||||||
1,318,210 | Goldman Sachs Emerging Markets Debt Fund – Class R6 | 12,061,624 | ||||||
902,122 | Goldman Sachs Inflation Protected Securities Fund – Class R6 | 9,309,899 | ||||||
943,849 | Goldman Sachs High Yield Fund – Class R6 | 5,002,400 | ||||||
480,798 | Goldman Sachs High Yield Floating Rate Fund – Class R6 | 4,168,517 | ||||||
225,052 | Goldman Sachs Local Emerging Markets Debt Fund – Class R6 | 1,023,985 | ||||||
|
| |||||||
31,566,425 | ||||||||
|
| |||||||
TOTAL UNDERLYING FUNDS – 96.1% | ||||||||
(Cost $85,657,303) | $ | 95,363,047 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 3.9% | 3,821,068 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 99,184,115 | ||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
(a) | Represents an Affiliated issuer. |
| ||
Investment Abbreviation: | ||
ETF | —Exchange Traded Fund | |
|
The accompanying notes are an integral part of these financial statements. | 27 |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Statements of Assets and Liabilities
June 30, 2022 (Unaudited)
Balanced Strategy Portfolio | Growth and Income Strategy Portfolio | |||||||||
Assets: | ||||||||||
Investments of affiliated issuers, at value (cost $534,896,581 and $793,850,849, respectively) | $ | 506,088,503 | $ | 791,521,081 | ||||||
Investments of unaffiliated issuers, at value (cost $1,546,788 and $2,034,287 respectively) | 1,577,176 | 2,071,498 | ||||||||
Purchased options, at value (premium paid $3,437,320 and $6,009,240, respectively) | 1,485,098 | 2,681,387 | ||||||||
Cash | 8,429,582 | 14,152,780 | ||||||||
Foreign currencies, at value (cost $3,633 and $24,268, respectively) | 25,621 | 42,694 | ||||||||
Unrealized gain on forward foreign currency exchange contracts | 926,931 | 1,510,796 | ||||||||
Receivables: | ||||||||||
Investments sold | 10,211,881 | 31,571,756 | ||||||||
Collateral on certain derivative contracts(a) | 1,370,542 | 2,923,789 | ||||||||
Portfolio shares sold | 1,033,349 | 149,247 | ||||||||
Dividends | 675,918 | 926,294 | ||||||||
Reimbursement from investment adviser | 29,051 | 31,337 | ||||||||
Due from broker | 19,980 | 26,640 | ||||||||
Other assets | 70,135 | 72,583 | ||||||||
Total assets | 531,943,767 | 847,681,882 | ||||||||
Liabilities: | ||||||||||
Unrealized loss on forward foreign currency exchange contracts | 41,569 | 67,626 | ||||||||
Variation margin on futures contracts | 138,532 | 269,268 | ||||||||
Written option contracts, at value (premium received $383,531 and $503,537, respectively) | 543,980 | 714,919 | ||||||||
Payables: | ||||||||||
Investments purchased | 9,655,167 | 16,892,231 | ||||||||
Portfolio shares redeemed | 1,857,607 | 7,527,282 | ||||||||
Management fees | 65,346 | 107,163 | ||||||||
Distribution and Service fees and Transfer Agency fees | 56,970 | 112,548 | ||||||||
Accrued expenses | 100,503 | 106,491 | ||||||||
Total liabilities | 12,459,674 | 25,797,528 | ||||||||
Net Assets: | ||||||||||
Paid-in capital | 543,875,746 | 812,406,443 | ||||||||
Total distributable earnings (loss) | (24,391,653 | ) | 9,477,911 | |||||||
NET ASSETS | $ | 519,484,093 | $ | 821,884,354 | ||||||
Net Assets: | ||||||||||
Class A | $ | 95,125,661 | $ | 239,779,560 | ||||||
Class C | 4,876,435 | 7,833,743 | ||||||||
Institutional | 354,282,622 | 340,902,599 | ||||||||
Service | 334,538 | 2,118,669 | ||||||||
Investor | 3,194,745 | 7,389,501 | ||||||||
Class R6 | 1,528,696 | 1,442,764 | ||||||||
Class R | 9,471,726 | 4,877,918 | ||||||||
Class P | 50,669,670 | 217,539,600 | ||||||||
Total Net Assets | $ | 519,484,093 | $ | 821,884,354 | ||||||
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | ||||||||||
Class A | 8,612,107 | 17,497,552 | ||||||||
Class C | 441,175 | 588,846 | ||||||||
Institutional | 32,083,331 | 24,795,602 | ||||||||
Service | 29,881 | 155,033 | ||||||||
Investor | 290,598 | 542,260 | ||||||||
Class R6 | 138,370 | 104,968 | ||||||||
Class R | 861,611 | 359,271 | ||||||||
Class P | 4,586,990 | 15,832,552 | ||||||||
Net asset value, offering and redemption price per share:(b) | ||||||||||
Class A | $11.05 | $13.70 | ||||||||
Class C | 11.05 | 13.30 | ||||||||
Institutional | 11.04 | 13.75 | ||||||||
Service | 11.20 | 13.67 | ||||||||
Investor | 10.99 | 13.63 | ||||||||
Class R6 | 11.05 | 13.74 | ||||||||
Class R | 10.99 | 13.58 | ||||||||
Class P | 11.05 | 13.74 |
(a) | Segregated for initial margin and/or collateral on transactions as follows: |
Portfolio | Futures | Options | Forward Foreign Currency | |||||||||
Balanced Strategy | $ | 1,370,538 | $ | 4 | $ | — | ||||||
Growth and Income Strategy | 2,603,780 | 9 | 320,000 |
(b) | Maximum public offering price per share for Class A Shares of the Balanced Strategy and Growth and Income Strategy Portfolios is $11.69 and $14.50, 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. |
28 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Statements of Assets and Liabilities (continued)
June 30, 2022 (Unaudited)
Growth Strategy Portfolio | Satellite Strategies Portfolio | |||||||||
Assets: | ||||||||||
Investments of affiliated issuers, at value (cost $731,590,851 and $85,657,303, respectively) | $ | 747,379,048 | $ | 95,363,047 | ||||||
Investments of unaffiliated issuers, at value (cost $1,436,058 and $0 respectively) | 1,472,047 | — | ||||||||
Purchased options, at value (premium paid $6,612,956 and $—, respectively) | 3,044,200 | — | ||||||||
Cash | 14,063,322 | 679,300 | ||||||||
Foreign currencies, at value (cost $40,715 and $—, respectively) | 53,715 | — | ||||||||
Unrealized gain on forward foreign currency exchange contracts | 1,424,590 | — | ||||||||
Receivables: | ||||||||||
Investments sold | 24,727,888 | 6,700,000 | ||||||||
Collateral on certain derivative contracts(a) | 3,007,071 | — | ||||||||
Dividends | 781,934 | 489,320 | ||||||||
Portfolio shares sold | 388,474 | 3,750 | ||||||||
Reimbursement from investment adviser | 34,293 | 26,369 | ||||||||
Due from broker | 18,443 | — | ||||||||
Other assets | 74,168 | 69,801 | ||||||||
Total assets | 796,469,193 | 103,331,587 | ||||||||
Liabilities: | ||||||||||
Unrealized loss on forward foreign currency exchange contracts | 63,874 | — | ||||||||
Variation margin on futures contracts | 547,526 | — | ||||||||
Written option contracts, at value (premium received $353,630 and $0, respectively) | 501,879 | — | ||||||||
Payables: | ||||||||||
Investments purchased | 749,203 | 3,985,368 | ||||||||
Portfolio shares redeemed | 718,386 | 24,017 | ||||||||
Management fees | 100,950 | 10,545 | ||||||||
Distribution and Service fees and Transfer Agency fees | 139,604 | 17,883 | ||||||||
Accrued expenses | 125,093 | 109,659 | ||||||||
Total liabilities | 2,946,515 | 4,147,472 | ||||||||
Net Assets: | ||||||||||
Paid-in capital | 753,438,864 | 111,299,488 | ||||||||
Total distributable earnings (loss) | 40,083,814 | (12,115,373 | ) | |||||||
NET ASSETS | $ | 793,522,678 | $ | 99,184,115 | ||||||
Net Assets: | ||||||||||
Class A | $ | 305,392,710 | $ | 36,595,619 | ||||||
Class C | 14,307,906 | 1,459,891 | ||||||||
Institutional | 204,809,227 | 45,408,522 | ||||||||
Service | 1,991,751 | 117,767 | ||||||||
Investor | 17,900,552 | 11,900,346 | ||||||||
Class R6 | 7,451,891 | 1,865,335 | ||||||||
Class R | 5,753,168 | 457,425 | ||||||||
Class P | 235,915,473 | 1,379,210 | ||||||||
Total Net Assets | $ | 793,522,678 | $ | 99,184,115 | ||||||
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | ||||||||||
Class A | 18,951,716 | 4,848,190 | ||||||||
Class C | 870,372 | 193,250 | ||||||||
Institutional | 12,692,967 | 6,033,875 | ||||||||
Service | 124,082 | 15,610 | ||||||||
Investor | 1,128,407 | 1,581,340 | ||||||||
Class R6 | 461,802 | 247,494 | ||||||||
Class R | 368,991 | 60,799 | ||||||||
Class P | 14,613,990 | 182,928 | ||||||||
Net asset value, offering and redemption price per share:(b) | ||||||||||
Class A | $16.11 | $7.55 | ||||||||
Class C | 16.44 | 7.55 | ||||||||
Institutional | 16.14 | 7.53 | ||||||||
Service | 16.05 | 7.54 | ||||||||
Investor | 15.86 | 7.53 | ||||||||
Class R6 | 16.14 | 7.54 | ||||||||
Class R | 15.59 | 7.52 | ||||||||
Class P | 16.14 | 7.54 |
(a) | Segregated for initial margin and/or collateral on transactions as follows: |
Portfolio | Futures | Options | ||||||
Growth Strategy | $ | 3,007,068 | $ | 3 |
(b) | Maximum public offering price per share for Class A Shares of the Growth Strategy and Satellite Strategies Portfolios is $17.05 and $7.99, 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. | 29 |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Statements of Operations
For the Six Months Ended June 30, 2022 (Unaudited)
Balanced Strategy Portfolio | Growth and Income Strategy Portfolio | |||||||||
Investment income: | ||||||||||
Dividends — affiliated issuers | $ | 4,296,606 | $ | 6,889,223 | ||||||
Dividends — unaffiliated issuers | 16,876 | 20,910 | ||||||||
Interest | 567 | 946 | ||||||||
Total investment income | 4,314,049 | 6,911,079 | ||||||||
Expenses: | ||||||||||
Management fees | 424,943 | 700,639 | ||||||||
Transfer Agency fees(a) | 185,543 | 348,246 | ||||||||
Distribution and Service (12b-1) fees(a) | 178,012 | 382,883 | ||||||||
Registration fees | 56,668 | 59,025 | ||||||||
Professional fees | 45,109 | 45,109 | ||||||||
Custody, accounting and administrative services | 29,572 | 30,834 | ||||||||
Printing and mailing costs | 29,479 | 43,818 | ||||||||
Trustee fees | 10,802 | 11,105 | ||||||||
Service fees — Class C | 7,414 | 11,197 | ||||||||
Shareholder Administration fees — Service Shares | 448 | 2,913 | ||||||||
Other | 8,624 | 10,376 | ||||||||
Total expenses | 976,614 | 1,646,145 | ||||||||
Less — expense reductions | (168,556 | ) | (180,967 | ) | ||||||
Net expenses | 808,058 | 1,465,178 | ||||||||
NET INVESTMENT INCOME | 3,505,991 | 5,445,901 | ||||||||
Realized and unrealized gain (loss): | ||||||||||
Net realized gain (loss) from: | ||||||||||
Investments — affiliated issuers | 7,019,994 | 18,206,976 | ||||||||
Purchased options | (42,771 | ) | (86,262 | ) | ||||||
Futures contracts | (8,464,619 | ) | (15,178,393 | ) | ||||||
Written options | (11,336 | ) | (15,069 | ) | ||||||
Forward foreign currency exchange contracts | 3,335,933 | 5,417,180 | ||||||||
Foreign currency transactions | (2,265 | ) | (3,631 | ) | ||||||
Net change in unrealized gain (loss) on: | ||||||||||
Investments — unaffiliated issuers | 30,388 | 37,211 | ||||||||
Investments — affiliated issuers | (83,735,918 | ) | (168,429,073 | ) | ||||||
Purchased options | (1,327,220 | ) | (2,233,459 | ) | ||||||
Futures contracts | (2,192,811 | ) | (3,728,938 | ) | ||||||
Written options | (160,449 | ) | (211,382 | ) | ||||||
Forward foreign currency exchange contracts | 912,258 | 1,490,566 | ||||||||
Foreign currency translation | 15,131 | 17,725 | ||||||||
Net realized and unrealized loss | (84,623,685 | ) | (164,716,549 | ) | ||||||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (81,117,694 | ) | $ | (159,270,648 | ) |
(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 | |||||||||||||||||||||||||||||||||||||||||||||||
Portfolio | Class A | Class C | Service Class | Class R | Class A | Class C | Institutional | Service | Investor | Class R6 | Class R | Class P | ||||||||||||||||||||||||||||||||||||
Balanced Strategy | $ | 129,862 | $ | 22,242 | $ | 448 | $ | 25,460 | $ | 83,112 | $ | 4,745 | $ | 77,828 | $ | 72 | $ | 3,786 | $ | 117 | $ | 8,147 | $ | 7,736 | ||||||||||||||||||||||||
Growth and Income Strategy | 333,316 | 33,592 | 2,913 | 13,062 | 213,322 | 7,166 | 80,811 | 466 | 6,470 | 210 | 4,180 | 35,621 |
30 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Statements of Operations (continued)
For the Six Months Ended June 30, 2022 (Unaudited)
Growth Strategy Portfolio | Satellite Strategies Portfolio | |||||||||
Investment income: | ||||||||||
Dividends — affiliated issuers | $ | 5,807,120 | $ | 1,369,664 | ||||||
Dividends — unaffiliated issuers | 14,466 | — | ||||||||
Interest | 937 | — | ||||||||
Total investment income | 5,822,523 | 1,369,664 | ||||||||
Expenses: | ||||||||||
Management fees | 659,225 | 70,573 | ||||||||
Distribution and Service (12b-1) fees(a) | 513,512 | 60,021 | ||||||||
Transfer Agency fees(a) | 394,153 | 57,023 | ||||||||
Registration fees | 60,736 | 62,028 | ||||||||
Printing and mailing costs | 59,877 | 26,510 | ||||||||
Professional fees | 45,109 | 40,063 | ||||||||
Custody, accounting and administrative services | 28,677 | 27,404 | ||||||||
Service fees — Class C | 21,050 | 2,278 | ||||||||
Trustee fees | 11,060 | 10,483 | ||||||||
Shareholder Administration fees — Service Shares | 2,676 | 161 | ||||||||
Other | 7,813 | 4,229 | ||||||||
Total expenses | 1,803,888 | 360,773 | ||||||||
Less — expense reductions | (195,145 | ) | (165,024 | ) | ||||||
Net expenses | 1,608,743 | 195,749 | ||||||||
NET INVESTMENT INCOME | 4,213,780 | 1,173,915 | ||||||||
Realized and unrealized gain (loss): | ||||||||||
Net realized gain (loss) from: | ||||||||||
Investments — affiliated issuers | 28,027,002 | 502,948 | ||||||||
Purchased options | (134,738 | ) | — | |||||||
Futures contracts | (15,654,033 | ) | — | |||||||
Written options | (10,885 | ) | — | |||||||
Forward foreign currency exchange contracts | 5,150,368 | — | ||||||||
Foreign currency transactions | (4,556 | ) | — | |||||||
Net change in unrealized gain (loss) on: | ||||||||||
Investments — unaffiliated issuers | 35,989 | — | ||||||||
Investments — affiliated issuers | (188,518,647 | ) | (19,460,572 | ) | ||||||
Purchased options | (2,431,507 | ) | — | |||||||
Futures contracts | (4,056,722 | ) | — | |||||||
Written options | (148,249 | ) | — | |||||||
Forward foreign currency exchange contracts | 1,382,323 | — | ||||||||
Foreign currency translation | 12,226 | — | ||||||||
Net realized and unrealized loss | (176,351,429 | ) | (18,957,624 | ) | ||||||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (172,137,649 | ) | $ | (17,783,709 | ) |
(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 | |||||||||||||||||||||||||||||||||||||||||||||||
Portfolio | Class A | Class C | Service Class | Class R | Class A | Class C | Institutional | Service | Investor | Class R6 | Class R | Class P | ||||||||||||||||||||||||||||||||||||
Growth Strategy | $ | 430,664 | $ | 63,151 | $ | 2,676 | $ | 17,021 | $ | 275,625 | $ | 13,472 | $ | 45,425 | $ | 428 | $ | 14,188 | $ | 978 | $ | 5,447 | $ | 38,590 | ||||||||||||||||||||||||
Satellite Strategies | 51,762 | 6,835 | 161 | 1,263 | 33,128 | 1,458 | 10,601 | 26 | 10,908 | 209 | 404 | 289 |
The accompanying notes are an integral part of these financial statements. | 31 |
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Statements of Changes in Net Assets
Balanced Strategy Portfolio | Growth and Income Strategy Portfolio | |||||||||||||||||||||
For the Six Months Ended June 30, 2022 (Unaudited) | For the Fiscal Year Ended December 31, 2021 | For the Six Months Ended June 30, 2022 (Unaudited) | For the Fiscal Year Ended December 31, 2021 | |||||||||||||||||||
From operations: | ||||||||||||||||||||||
Net investment income | $ | 3,505,991 | $ | 12,086,938 | $ | 5,445,901 | $ | 23,868,406 | ||||||||||||||
Net realized gain | 1,834,936 | 25,439,871 | 8,340,801 | 46,314,054 | ||||||||||||||||||
Net change in unrealized gain (loss) | (86,458,621 | ) | 5,335,865 | (173,057,350 | ) | 42,878,340 | ||||||||||||||||
Net increase (decrease) in net assets resulting from operations | (81,117,694 | ) | 42,862,674 | (159,270,648 | ) | 113,060,800 | ||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||
From distributable earnings: | ||||||||||||||||||||||
Class A Shares | (508,679 | ) | (6,582,745 | ) | (1,251,069 | ) | (18,566,465 | ) | ||||||||||||||
Class C Shares | (7,578 | ) | (355,961 | ) | (12,767 | ) | (600,680 | ) | ||||||||||||||
Institutional Shares | (2,579,961 | ) | (24,534,890 | ) | (2,593,427 | ) | (27,429,776 | ) | ||||||||||||||
Service Shares | (1,530 | ) | (22,403 | ) | (9,512 | ) | (169,209 | ) | ||||||||||||||
Investor Shares | (27,223 | ) | (339,317 | ) | (48,476 | ) | (578,890 | ) | ||||||||||||||
Class R6 Shares | (5,319 | ) | (56,227 | ) | (10,449 | ) | (193,783 | ) | ||||||||||||||
Class R Shares | (39,398 | ) | (599,135 | ) | (19,572 | ) | (335,400 | ) | ||||||||||||||
Class P Shares | (355,892 | ) | (3,256,498 | ) | (1,564,814 | ) | (17,029,160 | ) | ||||||||||||||
Total distributions to shareholders | (3,525,580 | ) | (35,747,176 | ) | (5,510,086 | ) | (64,903,363 | ) | ||||||||||||||
From share transactions: | ||||||||||||||||||||||
Proceeds from sales of shares | 66,845,701 | 155,504,123 | 43,407,760 | 156,183,201 | ||||||||||||||||||
Reinvestment of distributions | 3,492,668 | 35,275,963 | 5,370,981 | 63,389,324 | ||||||||||||||||||
Cost of shares redeemed | (83,332,717 | ) | (149,789,884 | ) | (91,745,365 | ) | (159,209,541 | ) | ||||||||||||||
Net increase (decrease) in net assets resulting from share transactions | (12,994,348 | ) | 40,990,202 | (42,966,624 | ) | 60,362,984 | ||||||||||||||||
TOTAL INCREASE (DECREASE) | (97,637,622 | ) | 48,105,700 | (207,747,358 | ) | 108,520,421 | ||||||||||||||||
Net assets: | ||||||||||||||||||||||
Beginning of period | 617,121,715 | 569,016,015 | 1,029,631,712 | 921,111,291 | ||||||||||||||||||
End of period | $ | 519,484,093 | $ | 617,121,715 | $ | 821,884,354 | $ | 1,029,631,712 |
32 | 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 Six Months Ended June 30, 2022 (Unaudited) | For the Fiscal Year Ended December 31, 2021 | For the Six Months Ended June 30, 2022 (Unaudited) | For the Fiscal Year Ended December 31, 2021 | |||||||||||||||||||
From operations: | ||||||||||||||||||||||
Net investment income | $ | 4,213,780 | $ | 23,493,518 | $ | 1,173,915 | $ | 3,553,107 | ||||||||||||||
Net realized gain | 17,373,158 | 41,643,717 | 502,948 | 10,972,061 | ||||||||||||||||||
Net change in unrealized gain (loss) | (193,724,587 | ) | 69,211,617 | (19,460,572 | ) | (2,665,088 | ) | |||||||||||||||
Net increase (decrease) in net assets resulting from operations | (172,137,649 | ) | 134,348,852 | (17,783,709 | ) | 11,860,080 | ||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||
From distributable earnings: | ||||||||||||||||||||||
Class A Shares | — | (23,014,339 | ) | (384,698 | ) | (1,393,385 | ) | |||||||||||||||
Class C Shares | — | (973,896 | ) | (8,986 | ) | (48,742 | ) | |||||||||||||||
Institutional Shares | — | (15,126,286 | ) | (578,338 | ) | (2,042,049 | ) | |||||||||||||||
Service Shares | — | (144,077 | ) | (1,150 | ) | (3,921 | ) | |||||||||||||||
Investor Shares | — | (871,358 | ) | (142,232 | ) | (511,388 | ) | |||||||||||||||
Class R6 Shares | — | (422,854 | ) | (23,072 | ) | (27,412 | ) | |||||||||||||||
Class R Shares | — | (459,935 | ) | (4,189 | ) | (15,569 | ) | |||||||||||||||
Class P Shares | — | (17,316,359 | ) | (17,462 | ) | (102,003 | ) | |||||||||||||||
Return of capital: | ||||||||||||||||||||||
Class A Shares | — | — | — | (199,842 | ) | |||||||||||||||||
Class C Shares | — | — | — | (6,991 | ) | |||||||||||||||||
Institutional Shares | — | — | — | (292,874 | ) | |||||||||||||||||
Service Shares | — | — | — | (563 | ) | |||||||||||||||||
Investor Shares | — | — | — | (73,344 | ) | |||||||||||||||||
Class R6 Shares | — | — | — | (3,931 | ) | |||||||||||||||||
Class R Shares | — | — | — | (2,233 | ) | |||||||||||||||||
Class P Shares | — | — | — | (14,629 | ) | |||||||||||||||||
Total distributions to shareholders | — | (58,329,104 | ) | (1,160,127 | ) | (4,738,876 | ) | |||||||||||||||
From share transactions: | ||||||||||||||||||||||
Proceeds from sales of shares | 69,585,535 | 198,331,238 | 4,691,809 | 12,397,265 | ||||||||||||||||||
Reinvestment of distributions | — | 56,415,779 | 1,062,619 | 4,335,872 | ||||||||||||||||||
Cost of shares redeemed | (67,539,788 | ) | (142,327,398 | ) | (14,629,595 | ) | (72,120,868 | ) | ||||||||||||||
Net increase (decrease) in net assets resulting from share transactions | 2,045,747 | 112,419,619 | (8,875,167 | ) | (55,387,731 | ) | ||||||||||||||||
TOTAL INCREASE (DECREASE) | (170,091,902 | ) | 188,439,367 | (27,819,003 | ) | (48,266,527 | ) | |||||||||||||||
Net assets: | ||||||||||||||||||||||
Beginning of period | 963,614,580 | 775,175,213 | 127,003,118 | 175,269,645 | ||||||||||||||||||
End of period | $ | 793,522,678 | $ | 963,614,580 | $ | 99,184,115 | $ | 127,003,118 |
The accompanying notes are an integral part of these financial statements. | 33 |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Selected Share Data for a Share Outstanding Throughout Each Period
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
34 | 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 C Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.83 | $ | 12.67 | $ | 11.66 | $ | 10.34 | $ | 11.55 | $ | 10.82 | ||||||||||||||
Net investment income(a)(b) | 0.01 | 0.12 | 0.10 | 0.10 | 0.05 | 0.07 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.77 | ) | 0.73 | 1.06 | 1.38 | (0.92 | ) | 1.05 | ||||||||||||||||||
Total from investment operations | (1.76 | ) | 0.85 | 1.16 | 1.48 | (0.87 | ) | 1.12 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.02 | ) | (0.26 | ) | (0.15 | ) | (0.16 | ) | (0.14 | ) | (0.18 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (0.43 | ) | — | — | (0.20 | ) | (0.21 | ) | |||||||||||||||||
Total distributions | (0.02 | ) | (0.69 | ) | (0.15 | ) | (0.16 | ) | (0.34 | ) | (0.39 | ) | ||||||||||||||
Net asset value, end of period | $ | 11.05 | $ | 12.83 | $ | 12.67 | $ | 11.66 | $ | 10.34 | $ | 11.55 | ||||||||||||||
Total return(c) | (13.74 | )% | 6.73 | % | 9.90 | % | 14.30 | % | (7.58 | )% | 10.30 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 4,876 | $ | 6,678 | $ | 9,575 | $ | 10,978 | $ | 12,807 | $ | 34,542 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 1.31 | %(e) | 1.31 | % | 1.32 | % | 1.33 | % | 1.33 | % | 1.37 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 1.37 | %(e) | 1.36 | % | 1.39 | % | 1.42 | % | 1.38 | % | 1.42 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 0.19 | %(e) | 0.91 | % | 0.86 | % | 0.93 | % | 0.43 | % | 0.58 | % | ||||||||||||||
Portfolio turnover rate(f) | 15 | % | 9 | % | 19 | % | 55 | % | 45 | % | 81 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 35 |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Balanced Strategy Portfolio | ||||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.81 | $ | 12.63 | $ | 11.64 | $ | 10.32 | $ | 11.55 | $ | 10.82 | ||||||||||||||
Net investment income(a)(b) | 0.08 | 0.29 | 0.25 | 0.25 | 0.20 | 0.21 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.77 | ) | 0.71 | 1.02 | 1.36 | (0.95 | ) | 1.04 | ||||||||||||||||||
Total from investment operations | (1.69 | ) | 1.00 | 1.27 | 1.61 | (0.75 | ) | 1.25 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.08 | ) | (0.39 | ) | (0.28 | ) | (0.29 | ) | (0.28 | ) | (0.31 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (0.43 | ) | — | — | (0.20 | ) | (0.21 | ) | |||||||||||||||||
Total distributions | (0.08 | ) | (0.82 | ) | (0.28 | ) | (0.29 | ) | (0.48 | ) | (0.52 | ) | ||||||||||||||
Net asset value, end of period | $ | 11.04 | $ | 12.81 | $ | 12.63 | $ | 11.64 | $ | 10.32 | $ | 11.55 | ||||||||||||||
Total return(c) | (13.21 | )% | 7.93 | % | 11.05 | % | 15.68 | % | (6.53 | )% | 11.63 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 354,283 | $ | 426,392 | $ | 388,941 | $ | 351,189 | $ | 292,183 | $ | 353,778 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.19 | %(e) | 0.19 | % | 0.19 | % | 0.20 | % | 0.20 | % | 0.22 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 0.25 | %(e) | 0.25 | % | 0.26 | % | 0.28 | % | 0.24 | % | 0.28 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 1.33 | %(e) | 2.23 | % | 2.12 | % | 2.19 | % | 1.76 | % | 1.85 | % | ||||||||||||||
Portfolio turnover rate(f) | 15 | % | 9 | % | 19 | % | 55 | % | 45 | % | 81 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
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 Period
Goldman Sachs Balanced Strategy Portfolio | ||||||||||||||||||||||||||
Service Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.99 | $ | 12.79 | $ | 11.78 | $ | 10.45 | $ | 11.68 | $ | 10.94 | ||||||||||||||
Net investment income(a)(b) | 0.05 | 0.22 | 0.16 | 0.17 | 0.15 | 0.15 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.79 | ) | 0.73 | 1.07 | 1.39 | (0.95 | ) | 1.06 | ||||||||||||||||||
Total from investment operations | (1.74 | ) | 0.95 | 1.23 | 1.56 | (0.80 | ) | 1.21 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.05 | ) | (0.32 | ) | (0.22 | ) | (0.23 | ) | (0.23 | ) | (0.26 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (0.43 | ) | — | — | (0.20 | ) | (0.21 | ) | |||||||||||||||||
Total distributions | (0.05 | ) | (0.75 | ) | (0.22 | ) | (0.23 | ) | (0.43 | ) | (0.47 | ) | ||||||||||||||
Net asset value, end of period | $ | 11.20 | $ | 12.99 | $ | 12.79 | $ | 11.78 | $ | 10.45 | $ | 11.68 | ||||||||||||||
Total return(c) | (13.40 | )% | 7.44 | % | 10.52 | % | 14.99 | % | (6.93 | )% | 11.04 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 335 | $ | 388 | $ | 421 | $ | 532 | $ | 667 | $ | 833 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.69 | %(e) | 0.69 | % | 0.69 | % | 0.70 | % | 0.70 | % | 0.72 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 0.75 | %(e) | 0.75 | % | 0.77 | % | 0.78 | % | 0.74 | % | 0.78 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 0.83 | %(e) | 1.67 | % | 1.38 | % | 1.47 | % | 1.31 | % | 1.31 | % | ||||||||||||||
Portfolio turnover rate(f) | 15 | % | 9 | % | 19 | % | 55 | % | 45 | % | 81 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 37 |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Balanced Strategy Portfolio | ||||||||||||||||||||||||||
Investor Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.76 | $ | 12.58 | $ | 11.59 | $ | 10.28 | $ | 11.50 | $ | 10.78 | ||||||||||||||
Net investment income(a)(b) | 0.07 | 0.28 | 0.33 | 0.23 | 0.18 | 0.18 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.77 | ) | 0.70 | 0.93 | 1.36 | (0.93 | ) | 1.05 | ||||||||||||||||||
Total from investment operations | (1.70 | ) | 0.98 | 1.26 | 1.59 | (0.75 | ) | 1.23 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.07 | ) | (0.37 | ) | (0.27 | ) | (0.28 | ) | (0.27 | ) | (0.30 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (0.43 | ) | — | — | (0.20 | ) | (0.21 | ) | |||||||||||||||||
Total distributions | (0.07 | ) | (0.80 | ) | (0.27 | ) | (0.28 | ) | (0.47 | ) | (0.51 | ) | ||||||||||||||
Net asset value, end of period | $ | 10.99 | $ | 12.76 | $ | 12.58 | $ | 11.59 | $ | 10.28 | $ | 11.50 | ||||||||||||||
Total return(c) | (13.25 | )% | 7.75 | % | 10.97 | % | 15.49 | % | (6.61 | )% | 11.41 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 3,195 | $ | 5,430 | $ | 7,594 | $ | 3,663 | $ | 2,937 | $ | 3,976 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.31 | %(e) | 0.31 | % | 0.32 | % | 0.33 | % | 0.34 | % | 0.37 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 0.37 | %(e) | 0.36 | % | 0.39 | % | 0.42 | % | 0.38 | % | 0.42 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 1.18 | %(e) | 2.13 | % | 2.78 | % | 2.07 | % | 1.64 | % | 1.60 | % | ||||||||||||||
Portfolio turnover rate(f) | 15 | % | 9 | % | 19 | % | 55 | % | 45 | % | 81 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
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 Period
Goldman Sachs Balanced Strategy Portfolio | ||||||||||||||||||||||||||
Class R6 Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.82 | $ | 12.63 | $ | 11.64 | $ | 10.32 | $ | 11.55 | $ | 10.83 | ||||||||||||||
Net investment income(a)(b) | 0.10 | 0.21 | 0.23 | 0.23 | 0.35 | 0.54 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.79 | ) | 0.79 | 1.05 | 1.38 | (1.09 | ) | 0.71 | ||||||||||||||||||
Total from investment operations | (1.69 | ) | 1.00 | 1.28 | 1.61 | (0.74 | ) | 1.25 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.08 | ) | (0.38 | ) | (0.29 | ) | (0.29 | ) | (0.29 | ) | (0.32 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (0.43 | ) | — | — | (0.20 | ) | (0.21 | ) | |||||||||||||||||
Total distributions | (0.08 | ) | (0.81 | ) | (0.29 | ) | (0.29 | ) | (0.49 | ) | (0.53 | ) | ||||||||||||||
Net asset value, end of period | $ | 11.05 | $ | 12.82 | $ | 12.63 | $ | 11.64 | $ | 10.32 | $ | 11.55 | ||||||||||||||
Total return(c) | (13.20 | )% | 8.00 | % | 11.06 | % | 15.70 | % | (6.52 | )% | 11.54 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 1,529 | $ | 277 | $ | 1,449 | $ | 1,766 | $ | 2,308 | $ | 551 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.18 | %(e) | 0.18 | % | 0.18 | % | 0.19 | % | 0.19 | % | 0.31 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 0.25 | %(e) | 0.24 | % | 0.26 | % | 0.27 | % | 0.24 | % | 0.39 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 1.71 | %(e) | 1.64 | % | 1.89 | % | 2.04 | % | 3.10 | % | 4.64 | % | ||||||||||||||
Portfolio turnover rate(f) | 15 | % | 9 | % | 19 | % | 55 | % | 45 | % | 81 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 39 |
GOLDMAN SACHS BALANCED STRATEGY PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Balanced Strategy Portfolio | ||||||||||||||||||||||||||
Class R Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.76 | $ | 12.58 | $ | 11.59 | $ | 10.28 | $ | 11.50 | $ | 10.79 | ||||||||||||||
Net investment income(a)(b) | 0.04 | 0.22 | 0.16 | 0.18 | 0.14 | 0.15 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.76 | ) | 0.70 | 1.04 | 1.35 | (0.95 | ) | 1.02 | ||||||||||||||||||
Total from investment operations | (1.72 | ) | 0.92 | 1.20 | 1.53 | (0.81 | ) | 1.17 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.05 | ) | (0.31 | ) | (0.21 | ) | (0.22 | ) | (0.21 | ) | (0.25 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (0.43 | ) | — | — | (0.20 | ) | (0.21 | ) | |||||||||||||||||
Total distributions | (0.05 | ) | (0.74 | ) | (0.21 | ) | (0.22 | ) | (0.41 | ) | (0.46 | ) | ||||||||||||||
Net asset value, end of period | $ | 10.99 | $ | 12.76 | $ | 12.58 | $ | 11.59 | $ | 10.28 | $ | 11.50 | ||||||||||||||
Total return(c) | (13.53 | )% | 7.32 | % | 10.39 | % | 14.94 | % | (7.07 | )% | 10.81 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 9,472 | $ | 10,837 | $ | 9,435 | $ | 10,241 | $ | 8,443 | $ | 8,629 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.81 | %(e) | 0.81 | % | 0.82 | % | 0.83 | % | 0.84 | % | 0.87 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 0.87 | %(e) | 0.86 | % | 0.90 | % | 0.92 | % | 0.88 | % | 0.93 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 0.72 | %(e) | 1.65 | % | 1.40 | % | 1.61 | % | 1.23 | % | 1.30 | % | ||||||||||||||
Portfolio turnover rate(f) | 15 | % | 9 | % | 19 | % | 55 | % | 45 | % | 81 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
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 Period
Goldman Sachs Balanced Strategy Portfolio | ||||||||||||||||||||||
Class P Shares | ||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | Period Ended | ||||||||||||||||||||
2021 | 2020 | 2019 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.82 | $ | 12.64 | $ | 11.64 | $ | 10.32 | $ | 11.54 | ||||||||||||
Net investment income(b)(c) | 0.08 | 0.29 | 0.25 | 0.24 | 0.20 | |||||||||||||||||
Net realized and unrealized gain (loss) | (1.77 | ) | 0.71 | 1.04 | 1.37 | (0.96 | ) | |||||||||||||||
Total from investment operations | (1.69 | ) | 1.00 | 1.29 | 1.61 | (0.76 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.08 | ) | (0.39 | ) | (0.29 | ) | (0.29 | ) | (0.26 | ) | ||||||||||||
Distributions to shareholders from net realized gains | — | (0.43 | ) | — | — | (0.20 | ) | |||||||||||||||
Total distributions | (0.08 | ) | (0.82 | ) | (0.29 | ) | (0.29 | ) | (0.46 | ) | ||||||||||||
Net asset value, end of period | $ | 11.05 | $ | 12.82 | $ | 12.64 | $ | 11.64 | $ | 10.32 | ||||||||||||
Total return(d) | (13.20 | )% | 7.94 | % | 11.15 | % | 15.69 | % | (6.67 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 50,670 | $ | 53,299 | $ | 41,545 | $ | 42,118 | $ | 43,098 | ||||||||||||
Ratio of net expenses to average net assets(e) | 0.18 | %(f) | 0.18 | % | 0.18 | % | 0.19 | % | 0.19 | %(f) | ||||||||||||
Ratio of total expenses to average net assets(e) | 0.24 | %(f) | 0.24 | % | 0.25 | % | 0.27 | % | 0.24 | %(f) | ||||||||||||
Ratio of net investment income to average net assets(c) | 1.36 | %(f) | 2.24 | % | 2.10 | % | 2.17 | % | 2.48 | %(f) | ||||||||||||
Portfolio turnover rate(g) | 15 | % | 9 | % | 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. | 41 |
GOLDMAN SACHS GROWTH AND INCOME STRATEGY PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
42 | 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 C Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.88 | $ | 15.12 | $ | 13.92 | $ | 11.98 | $ | 13.49 | $ | 11.90 | ||||||||||||||
Net investment income(a)(b) | 0.01 | 0.20 | 0.06 | 0.09 | 0.01 | 0.06 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (2.57 | ) | 1.53 | 1.53 | 2.04 | (1.31 | ) | 1.76 | ||||||||||||||||||
Total from investment operations | (2.56 | ) | 1.73 | 1.59 | 2.13 | (1.30 | ) | 1.82 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.02 | ) | (0.45 | ) | (0.13 | ) | (0.19 | ) | (0.21 | ) | (0.23 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (0.52 | ) | (0.26 | ) | — | — | — | ||||||||||||||||||
Total distributions | (0.02 | ) | (0.97 | ) | (0.39 | ) | (0.19 | ) | (0.21 | ) | (0.23 | ) | ||||||||||||||
Net asset value, end of period | $ | 13.30 | $ | 15.88 | $ | 15.12 | $ | 13.92 | $ | 11.98 | $ | 13.49 | ||||||||||||||
Total return(c) | (16.11 | )% | 11.44 | % | 11.44 | % | 17.78 | % | (9.62 | )% | 15.31 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 7,834 | $ | 10,130 | $ | 13,454 | $ | 19,069 | $ | 27,099 | $ | 94,118 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 1.31 | %(e) | 1.31 | % | 1.32 | % | 1.33 | % | 1.34 | % | 1.34 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 1.35 | %(e) | 1.34 | % | 1.37 | % | 1.39 | % | 1.36 | % | 1.38 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 0.14 | %(e) | 1.23 | % | 0.45 | % | 0.66 | % | 0.11 | % | 0.50 | % | ||||||||||||||
Portfolio turnover rate(f) | 13 | % | 8 | % | 13 | % | 61 | % | 32 | % | 81 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 43 |
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 | ||||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.40 | $ | 15.56 | $ | 14.31 | $ | 12.29 | $ | 13.85 | $ | 12.21 | ||||||||||||||
Net investment income(a)(b) | 0.10 | 0.44 | 0.25 | 0.27 | 0.20 | 0.24 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (2.65 | ) | 1.52 | 1.54 | 2.08 | (1.39 | ) | 1.78 | ||||||||||||||||||
Total from investment operations | (2.55 | ) | 1.96 | 1.79 | 2.35 | (1.19 | ) | 2.02 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.10 | ) | (0.60 | ) | (0.28 | ) | (0.33 | ) | (0.37 | ) | (0.38 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (0.52 | ) | (0.26 | ) | — | — | — | ||||||||||||||||||
Total distributions | (0.10 | ) | (1.12 | ) | (0.54 | ) | (0.33 | ) | (0.37 | ) | (0.38 | ) | ||||||||||||||
Net asset value, end of period | $ | 13.75 | $ | 16.40 | $ | 15.56 | $ | 14.31 | $ | 12.29 | $ | 13.85 | ||||||||||||||
Total return(c) | (15.59 | )% | 12.64 | % | 12.68 | % | 19.17 | % | (8.63 | )% | 16.60 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 340,903 | $ | 443,099 | $ | 364,206 | $ | 371,610 | $ | 360,006 | $ | 574,136 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.19 | %(e) | 0.19 | % | 0.19 | % | 0.20 | % | 0.20 | % | 0.19 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 0.23 | %(e) | 0.23 | % | 0.24 | % | 0.25 | % | 0.22 | % | 0.23 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 1.29 | %(e) | 2.65 | % | 1.77 | % | 2.01 | % | 1.48 | % | 1.80 | % | ||||||||||||||
Portfolio turnover rate(f) | 13 | % | 8 | % | 13 | % | 61 | % | 32 | % | 81 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
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 Period
Goldman Sachs Growth and Income Strategy Portfolio | ||||||||||||||||||||||||||
Service Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.30 | $ | 15.48 | $ | 14.23 | $ | 12.23 | $ | 13.77 | $ | 12.14 | ||||||||||||||
Net investment income(a)(b) | 0.06 | 0.34 | 0.16 | 0.21 | 0.15 | 0.17 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (2.63 | ) | 1.51 | 1.56 | 2.05 | (1.38 | ) | 1.77 | ||||||||||||||||||
Total from investment operations | (2.57 | ) | 1.85 | 1.72 | 2.26 | (1.23 | ) | 1.94 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.06 | ) | (0.51 | ) | (0.21 | ) | (0.26 | ) | (0.31 | ) | (0.31 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (0.52 | ) | (0.26 | ) | — | — | — | ||||||||||||||||||
Total distributions | (0.06 | ) | (1.03 | ) | (0.47 | ) | (0.26 | ) | (0.31 | ) | (0.31 | ) | ||||||||||||||
Net asset value, end of period | $ | 13.67 | $ | 16.30 | $ | 15.48 | $ | 14.23 | $ | 12.23 | $ | 13.77 | ||||||||||||||
Total return(c) | (15.77 | )% | 12.03 | % | 12.18 | % | 18.51 | % | (9.00 | )% | 16.03 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 2,119 | $ | 2,755 | $ | 2,669 | $ | 2,920 | $ | 2,780 | $ | 3,414 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.69 | %(e) | 0.69 | % | 0.69 | % | 0.70 | % | 0.70 | % | 0.69 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 0.73 | %(e) | 0.73 | % | 0.74 | % | 0.75 | % | 0.72 | % | 0.73 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 0.77 | %(e) | 2.07 | % | 1.17 | % | 1.53 | % | 1.13 | % | 1.27 | % | ||||||||||||||
Portfolio turnover rate(f) | 13 | % | 8 | % | 13 | % | 61 | % | 32 | % | 81 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 45 |
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 | ||||||||||||||||||||||||||
Investor Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.26 | $ | 15.44 | $ | 14.19 | $ | 12.20 | $ | 13.74 | $ | 12.12 | ||||||||||||||
Net investment income(a)(b) | 0.09 | 0.41 | 0.23 | 0.26 | 0.20 | 0.23 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (2.63 | ) | 1.51 | 1.54 | 2.04 | (1.38 | ) | 1.75 | ||||||||||||||||||
Total from investment operations | (2.54 | ) | 1.92 | 1.77 | 2.30 | (1.18 | ) | 1.98 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.09 | ) | (0.58 | ) | (0.26 | ) | (0.31 | ) | (0.36 | ) | (0.36 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (0.52 | ) | (0.26 | ) | — | — | — | ||||||||||||||||||
Total distributions | (0.09 | ) | (1.10 | ) | (0.52 | ) | (0.31 | ) | (0.36 | ) | (0.36 | ) | ||||||||||||||
Net asset value, end of period | $ | 13.63 | $ | 16.26 | $ | 15.44 | $ | 14.19 | $ | 12.20 | $ | 13.74 | ||||||||||||||
Total return(c) | (15.65 | )% | 12.48 | % | 12.64 | % | 18.91 | % | (8.68 | )% | 16.39 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 7,390 | $ | 8,948 | $ | 7,997 | $ | 7,670 | $ | 7,366 | $ | 7,241 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.31 | %(e) | 0.31 | % | 0.32 | % | 0.33 | % | 0.34 | % | 0.34 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 0.35 | %(e) | 0.34 | % | 0.37 | % | 0.39 | % | 0.36 | % | 0.38 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 1.16 | %(e) | 2.50 | % | 1.64 | % | 1.92 | % | 1.48 | % | 1.72 | % | ||||||||||||||
Portfolio turnover rate(f) | 13 | % | 8 | % | 13 | % | 61 | % | 32 | % | 81 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
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 Period
Goldman Sachs Growth and Income Strategy Portfolio | ||||||||||||||||||||||||||
Class R6 Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.40 | $ | 15.55 | $ | 14.30 | $ | 12.29 | $ | 13.85 | $ | 12.20 | ||||||||||||||
Net investment income(a)(b) | 0.11 | 0.32 | 0.22 | 0.26 | 0.36 | 0.30 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (2.67 | ) | 1.64 | 1.57 | 2.08 | (1.54 | ) | 1.73 | ||||||||||||||||||
Total from investment operations | (2.56 | ) | 1.96 | 1.79 | 2.34 | (1.18 | ) | 2.03 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.10 | ) | (0.59 | ) | (0.28 | ) | (0.33 | ) | (0.38 | ) | (0.38 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (0.52 | ) | (0.26 | ) | — | — | — | ||||||||||||||||||
Total distributions | (0.10 | ) | (1.11 | ) | (0.54 | ) | (0.33 | ) | (0.38 | ) | (0.38 | ) | ||||||||||||||
Net asset value, end of period | $ | 13.74 | $ | 16.40 | $ | 15.55 | $ | 14.30 | $ | 12.29 | $ | 13.85 | ||||||||||||||
Total return(c) | (15.58 | )% | 12.69 | % | 12.70 | % | 19.10 | % | (8.61 | )% | 16.71 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 1,443 | $ | 923 | $ | 4,694 | $ | 6,300 | $ | 6,331 | $ | 84 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.18 | %(e) | 0.18 | % | 0.18 | % | 0.19 | % | 0.19 | % | 0.18 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 0.22 | %(e) | 0.22 | % | 0.23 | % | 0.24 | % | 0.22 | % | 0.22 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 1.43 | %(e) | 1.94 | % | 1.59 | % | 1.92 | % | 2.67 | % | 2.21 | % | ||||||||||||||
Portfolio turnover rate(f) | 13 | % | 8 | % | 13 | % | 61 | % | 32 | % | 81 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 47 |
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 R Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.20 | $ | 15.39 | $ | 14.15 | $ | 12.17 | $ | 13.70 | $ | 12.09 | ||||||||||||||
Net investment income(a)(b) | 0.05 | 0.31 | 0.16 | 0.20 | 0.13 | 0.18 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (2.62 | ) | 1.52 | 1.53 | 2.02 | (1.37 | ) | 1.73 | ||||||||||||||||||
Total from investment operations | (2.57 | ) | 1.83 | 1.69 | 2.22 | (1.24 | ) | 1.91 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.05 | ) | (0.50 | ) | (0.19 | ) | (0.24 | ) | (0.29 | ) | (0.30 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (0.52 | ) | (0.26 | ) | — | — | — | ||||||||||||||||||
Total distributions | (0.05 | ) | (1.02 | ) | (0.45 | ) | (0.24 | ) | (0.29 | ) | (0.30 | ) | ||||||||||||||
Net asset value, end of period | $ | 13.58 | $ | 16.20 | $ | 15.39 | $ | 14.15 | $ | 12.17 | $ | 13.70 | ||||||||||||||
Total return(c) | (15.85 | )% | 11.94 | % | 12.05 | % | 18.30 | % | (9.10 | )% | 15.83 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 4,878 | $ | 5,579 | $ | 5,270 | $ | 4,991 | $ | 4,251 | $ | 5,441 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.81 | %(e) | 0.81 | % | 0.82 | % | 0.83 | % | 0.84 | % | 0.84 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 0.85 | %(e) | 0.84 | % | 0.87 | % | 0.89 | % | 0.86 | % | 0.88 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 0.68 | %(e) | 1.87 | % | 1.15 | % | 1.46 | % | 1.00 | % | 1.35 | % | ||||||||||||||
Portfolio turnover rate(f) | 13 | % | 8 | % | 13 | % | 61 | % | 32 | % | 81 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
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 Period
Goldman Sachs Growth and Income Strategy Portfolio | ||||||||||||||||||||||
Class P Shares | ||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | Period Ended December 31, 2018(a) | ||||||||||||||||||||
2021 | 2020 | 2019 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.39 | $ | 15.55 | $ | 14.30 | $ | 12.29 | $ | 13.91 | ||||||||||||
Net investment income(b)(c) | 0.10 | 0.44 | 0.26 | 0.29 | 0.23 | |||||||||||||||||
Net realized and unrealized gain (loss) | (2.65 | ) | 1.52 | 1.53 | 2.05 | (1.52 | ) | |||||||||||||||
Total from investment operations | (2.55 | ) | 1.96 | 1.79 | 2.34 | (1.29 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.10 | ) | (0.60 | ) | (0.28 | ) | (0.33 | ) | (0.33 | ) | ||||||||||||
Distributions to shareholders from net realized gains | — | (0.52 | ) | (0.26 | ) | — | — | |||||||||||||||
Total distributions | (0.10 | ) | (1.12 | ) | (0.54 | ) | (0.33 | ) | (0.33 | ) | ||||||||||||
Net asset value, end of period | $ | 13.74 | $ | 16.39 | $ | 15.55 | $ | 14.30 | $ | 12.29 | ||||||||||||
Total return(d) | (15.59 | )% | 12.66 | % | 12.70 | % | 19.10 | % | (9.29 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 217,540 | $ | 260,202 | $ | 228,953 | $ | 212,702 | $ | 185,028 | ||||||||||||
Ratio of net expenses to average net assets(e) | 0.18 | %(f) | 0.18 | % | 0.18 | % | 0.19 | % | 0.19 | %(f) | ||||||||||||
Ratio of total expenses to average net assets(e) | 0.22 | %(f) | 0.22 | % | 0.23 | % | 0.24 | % | 0.22 | %(f) | ||||||||||||
Ratio of net investment income to average net assets(c) | 1.30 | %(f) | 2.62 | % | 1.80 | % | 2.12 | % | 2.48 | %(f) | ||||||||||||
Portfolio turnover rate(g) | 13 | % | 8 | % | 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. | 49 |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
50 | 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 C Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 20.09 | $ | 18.27 | $ | 16.51 | $ | 13.98 | $ | 15.81 | $ | 13.37 | ||||||||||||||
Net investment income (loss)(a)(b) | — | (c) | 0.29 | 0.05 | 0.10 | (0.03 | ) | 0.03 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (3.65 | ) | 2.57 | 2.11 | 2.87 | (1.80 | ) | 2.66 | ||||||||||||||||||
Total from investment operations | (3.65 | ) | 2.86 | 2.16 | 2.97 | (1.83 | ) | 2.69 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (0.52 | ) | (0.05 | ) | (0.16 | ) | — | (0.25 | ) | ||||||||||||||||
Distributions to shareholders from net realized gains | — | (0.52 | ) | (0.35 | ) | (0.28 | ) | — | — | |||||||||||||||||
Total distributions | — | (1.04 | ) | (0.40 | ) | (0.44 | ) | — | (0.25 | ) | ||||||||||||||||
Net asset value, end of period | $ | 16.44 | $ | 20.09 | $ | 18.27 | $ | 16.51 | $ | 13.98 | $ | 15.81 | ||||||||||||||
Total return(d) | (18.17 | )% | 15.67 | % | 13.10 | % | 21.31 | % | (11.58 | )% | 20.08 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 14,308 | $ | 19,334 | $ | 22,590 | $ | 29,424 | $ | 36,201 | $ | 126,894 | ||||||||||||||
Ratio of net expenses to average net assets(e) | 1.31 | %(f) | 1.31 | % | 1.32 | % | 1.33 | % | 1.34 | % | 1.34 | % | ||||||||||||||
Ratio of total expenses to average net assets(e) | 1.36 | %(f) | 1.35 | % | 1.39 | % | 1.40 | % | 1.37 | % | 1.38 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets(b) | (0.03 | )%(f) | 1.44 | % | 0.28 | % | 0.64 | % | (0.20 | )% | 0.18 | % | ||||||||||||||
Portfolio turnover rate(g) | 11 | % | 5 | % | 8 | % | 69 | % | 29 | % | 85 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Amount is less than $0.005 per share. |
(d) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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 Period
Goldman Sachs Growth Strategy Portfolio | ||||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 19.61 | $ | 17.86 | $ | 16.17 | $ | 13.72 | $ | 15.81 | $ | 13.37 | ||||||||||||||
Net investment income(a)(b) | 0.10 | 0.57 | 0.25 | 0.24 | 0.19 | 0.22 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (3.57 | ) | 2.47 | 2.06 | 2.87 | (1.87 | ) | 2.66 | ||||||||||||||||||
Total from investment operations | (3.47 | ) | 3.04 | 2.31 | 3.11 | (1.68 | ) | 2.88 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (0.77 | ) | (0.27 | ) | (0.38 | ) | (0.41 | ) | (0.44 | ) | |||||||||||||||
Distributions to shareholders from net realized gains | — | (0.52 | ) | (0.35 | ) | (0.28 | ) | — | — | |||||||||||||||||
Total distributions | — | (1.29 | ) | (0.62 | ) | (0.66 | ) | (0.41 | ) | (0.44 | ) | |||||||||||||||
Net asset value, end of period | $ | 16.14 | $ | 19.61 | $ | 17.86 | $ | 16.17 | $ | 13.72 | $ | 15.81 | ||||||||||||||
Total return(c) | (17.70 | )% | 17.03 | % | 14.29 | % | 22.77 | % | (10.65 | )% | 21.53 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 204,809 | $ | 249,377 | $ | 169,166 | $ | 147,389 | $ | 247,863 | $ | 455,902 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.19 | %(e) | 0.19 | % | 0.19 | % | 0.20 | % | 0.20 | % | 0.20 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 0.24 | %(e) | 0.23 | % | 0.26 | % | 0.26 | % | 0.23 | % | 0.24 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 1.13 | %(e) | 2.88 | % | 1.58 | % | 1.59 | % | 1.22 | % | 1.46 | % | ||||||||||||||
Portfolio turnover rate(f) | 11 | % | 5 | % | 8 | % | 69 | % | 29 | % | 85 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
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 Period
Goldman Sachs Growth Strategy Portfolio | ||||||||||||||||||||||||||
Service Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 19.56 | $ | 17.83 | $ | 16.13 | $ | 13.69 | $ | 15.77 | $ | 13.35 | ||||||||||||||
Net investment income(a)(b) | 0.06 | 0.46 | 0.15 | 0.22 | 0.15 | 0.15 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (3.57 | ) | 2.46 | 2.08 | 2.80 | (1.90 | ) | 2.64 | ||||||||||||||||||
Total from investment operations | (3.51 | ) | 2.92 | 2.23 | 3.02 | (1.75 | ) | 2.79 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (0.67 | ) | (0.18 | ) | (0.30 | ) | (0.33 | ) | (0.37 | ) | |||||||||||||||
Distributions to shareholders from net realized gains | — | (0.52 | ) | (0.35 | ) | (0.28 | ) | — | — | |||||||||||||||||
Total distributions | — | (1.19 | ) | (0.53 | ) | (0.58 | ) | (0.33 | ) | (0.37 | ) | |||||||||||||||
Net asset value, end of period | $ | 16.05 | $ | 19.56 | $ | 17.83 | $ | 16.13 | $ | 13.69 | $ | 15.77 | ||||||||||||||
Total return(c) | (17.94 | )% | 16.41 | % | 13.81 | % | 22.10 | % | (11.06 | )% | 20.88 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 1,992 | $ | 2,413 | $ | 2,120 | $ | 2,266 | $ | 2,252 | $ | 2,888 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.69 | %(e) | 0.69 | % | 0.69 | % | 0.70 | % | 0.70 | % | 0.70 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 0.74 | %(e) | 0.73 | % | 0.76 | % | 0.77 | % | 0.73 | % | 0.74 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 0.65 | %(e) | 2.36 | % | 0.94 | % | 1.47 | % | 0.96 | % | 1.00 | % | ||||||||||||||
Portfolio turnover rate(f) | 11 | % | 5 | % | 8 | % | 69 | % | 29 | % | 85 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 53 |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Growth Strategy Portfolio | ||||||||||||||||||||||||||
Investor Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 19.29 | $ | 17.60 | $ | 15.93 | $ | 13.53 | $ | 15.59 | $ | 13.20 | ||||||||||||||
Net investment income(a)(b) | 0.10 | 0.75 | 0.22 | 0.28 | 0.18 | 0.23 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (3.53 | ) | 2.21 | 2.05 | 2.76 | (1.86 | ) | 2.58 | ||||||||||||||||||
Total from investment operations | (3.43 | ) | 2.96 | 2.27 | 3.04 | (1.68 | ) | 2.81 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (0.75 | ) | (0.25 | ) | (0.36 | ) | (0.38 | ) | (0.42 | ) | |||||||||||||||
Distributions to shareholders from net realized gains | — | (0.52 | ) | (0.35 | ) | (0.28 | ) | — | — | |||||||||||||||||
Total distributions | — | (1.27 | ) | (0.60 | ) | (0.64 | ) | (0.38 | ) | (0.42 | ) | |||||||||||||||
Net asset value, end of period | $ | 15.86 | $ | 19.29 | $ | 17.60 | $ | 15.93 | $ | 13.53 | $ | 15.59 | ||||||||||||||
Total return(c) | (17.78 | )% | 16.86 | % | 14.24 | % | 22.50 | % | (10.74 | )% | 21.30 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 17,901 | $ | 13,836 | $ | 7,004 | $ | 7,204 | $ | 6,477 | $ | 8,008 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.31 | %(e) | 0.31 | % | 0.32 | % | 0.33 | % | 0.33 | % | 0.34 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 0.36 | %(e) | 0.35 | % | 0.39 | % | 0.40 | % | 0.37 | % | 0.39 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 1.15 | %(e) | 3.83 | % | 1.38 | % | 1.85 | % | 1.14 | % | 1.54 | % | ||||||||||||||
Portfolio turnover rate(f) | 11 | % | 5 | % | 8 | % | 69 | % | 29 | % | 85 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
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 Period
Goldman Sachs Growth Strategy Portfolio | ||||||||||||||||||||||||||
Class R6 Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 19.62 | $ | 17.87 | $ | 16.17 | $ | 13.72 | $ | 15.81 | $ | 13.37 | ||||||||||||||
Net investment income(a)(b) | 0.11 | 0.55 | 0.21 | 0.31 | 0.39 | 0.17 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (3.59 | ) | 2.49 | 2.11 | 2.80 | (2.06 | ) | 2.71 | ||||||||||||||||||
Total from investment operations | (3.48 | ) | 3.04 | 2.32 | 3.11 | (1.67 | ) | 2.88 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (0.77 | ) | (0.27 | ) | (0.38 | ) | (0.42 | ) | (0.44 | ) | |||||||||||||||
Distributions to shareholders from net realized gains | — | (0.52 | ) | (0.35 | ) | (0.28 | ) | — | — | |||||||||||||||||
Total distributions | — | (1.29 | ) | (0.62 | ) | (0.66 | ) | (0.42 | ) | (0.44 | ) | |||||||||||||||
Net asset value, end of period | $ | 16.14 | $ | 19.62 | $ | 17.87 | $ | 16.17 | $ | 13.72 | $ | 15.81 | ||||||||||||||
Total return(c) | (17.74 | )% | 17.02 | % | 14.35 | % | 22.72 | % | (10.55 | )% | 21.51 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 7,452 | $ | 6,263 | $ | 6,792 | $ | 7,554 | $ | 6,603 | $ | 964 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.18 | %(e) | 0.18 | % | 0.18 | % | 0.19 | % | 0.19 | % | 0.18 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 0.23 | %(e) | 0.22 | % | 0.25 | % | 0.26 | % | 0.22 | % | 0.23 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 1.27 | %(e) | 2.79 | % | 1.31 | % | 2.00 | % | 2.54 | % | 1.12 | % | ||||||||||||||
Portfolio turnover rate(f) | 11 | % | 5 | % | 8 | % | 69 | % | 29 | % | 85 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 55 |
GOLDMAN SACHS GROWTH STRATEGY PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Growth Strategy Portfolio | ||||||||||||||||||||||||||
Class R Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 19.01 | $ | 17.36 | $ | 15.74 | $ | 13.37 | $ | 15.42 | $ | 13.08 | ||||||||||||||
Net investment income(a)(b) | 0.04 | 0.44 | 0.15 | 0.20 | 0.14 | 0.16 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (3.46 | ) | 2.39 | 1.99 | 2.73 | (1.87 | ) | 2.54 | ||||||||||||||||||
Total from investment operations | (3.42 | ) | 2.83 | 2.14 | 2.93 | (1.73 | ) | 2.70 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (0.66 | ) | (0.17 | ) | (0.28 | ) | (0.32 | ) | (0.36 | ) | |||||||||||||||
Distributions to shareholders from net realized gains | — | (0.52 | ) | (0.35 | ) | (0.28 | ) | — | — | |||||||||||||||||
Total distributions | — | (1.18 | ) | (0.52 | ) | (0.56 | ) | (0.32 | ) | (0.36 | ) | |||||||||||||||
Net asset value, end of period | $ | 15.59 | $ | 19.01 | $ | 17.36 | $ | 15.74 | $ | 13.37 | $ | 15.42 | ||||||||||||||
Total return(c) | (17.99 | )% | 16.31 | % | 13.61 | % | 21.98 | % | (11.18 | )% | 20.67 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 5,753 | $ | 7,788 | $ | 6,353 | $ | 6,400 | $ | 5,475 | $ | 6,334 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.81 | %(e) | 0.81 | % | 0.82 | % | 0.83 | % | 0.84 | % | 0.84 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 0.86 | %(e) | 0.85 | % | 0.89 | % | 0.90 | % | 0.87 | % | 0.89 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 0.47 | %(e) | 2.31 | % | 0.94 | % | 1.36 | % | 0.90 | % | 1.06 | % | ||||||||||||||
Portfolio turnover rate(f) | 11 | % | 5 | % | 8 | % | 69 | % | 29 | % | 85 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
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 Period
Goldman Sachs Growth Strategy Portfolio | ||||||||||||||||||||||
Class P Shares | ||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | Period Ended | ||||||||||||||||||||
2021 | 2020 | 2019 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 19.62 | $ | 17.87 | $ | 16.17 | $ | 13.72 | $ | 15.96 | ||||||||||||
Net investment income(b)(c) | 0.10 | 0.59 | 0.26 | 0.32 | 0.28 | |||||||||||||||||
Net realized and unrealized gain (loss) | (3.58 | ) | 2.45 | 2.06 | 2.79 | (2.10 | ) | |||||||||||||||
Total from investment operations | (3.48 | ) | 3.04 | 2.32 | 3.11 | (1.82 | ) | |||||||||||||||
Distributions to shareholders from net investment income | — | (0.77 | ) | (0.27 | ) | (0.38 | ) | (0.42 | ) | |||||||||||||
Distributions to shareholders from net realized gains | — | (0.52 | ) | (0.35 | ) | (0.28 | ) | — | ||||||||||||||
Total distributions | — | (1.29 | ) | (0.62 | ) | (0.66 | ) | (0.42 | ) | |||||||||||||
Net asset value, end of period | $ | 16.14 | $ | 19.62 | $ | 17.87 | $ | 16.17 | $ | 13.72 | ||||||||||||
Total return(d) | (17.74 | )% | 17.03 | % | 14.36 | % | 22.72 | % | (11.39 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 235,915 | $ | 277,169 | $ | 207,786 | $ | 183,763 | $ | 148,866 | ||||||||||||
Ratio of net expenses to average net assets(e) | 0.18 | %(f) | 0.18 | % | 0.18 | % | 0.19 | % | 0.19 | %(f) | ||||||||||||
Ratio of total expenses to average net assets(e) | 0.23 | %(f) | 0.22 | % | 0.25 | % | 0.26 | % | 0.22 | %(f) | ||||||||||||
Ratio of net investment income to average net assets(c) | 1.15 | %(f) | 2.98 | % | 1.62 | % | 2.08 | % | 2.56 | %(f) | ||||||||||||
Portfolio turnover rate(g) | 11 | % | 5 | % | 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. | 57 |
GOLDMAN SACHS SATELLITE STRATEGIES PORTFOLIO
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Amount is less than $0.005 per share. |
(d) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(e) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(f) | Annualized. |
(g) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
58 | 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 C Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.95 | $ | 8.54 | $ | 8.42 | $ | 7.34 | $ | 8.40 | $ | 7.60 | ||||||||||||||
Net investment income(a)(b) | 0.04 | 0.12 | 0.07 | 0.16 | 0.12 | 0.14 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.39 | ) | 0.51 | 0.13 | 1.12 | (1.04 | ) | 0.87 | ||||||||||||||||||
Total from investment operations | (1.35 | ) | 0.63 | 0.20 | 1.28 | (0.92 | ) | 1.01 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.05 | ) | (0.22 | ) | (0.08 | ) | (0.20 | ) | (0.14 | ) | (0.21 | ) | ||||||||||||||
Distributions to shareholders from return of capital | — | (0.00 | )(c) | — | — | — | — | |||||||||||||||||||
Total distributions | (0.05 | ) | (0.22 | ) | (0.08 | ) | (0.20 | ) | (0.14 | ) | (0.21 | ) | ||||||||||||||
Net asset value, end of period | $ | 7.55 | $ | 8.95 | $ | 8.54 | $ | 8.42 | $ | 7.34 | $ | 8.40 | ||||||||||||||
Total return(d) | (15.04 | )% | 7.39 | % | 2.59 | % | 17.55 | % | (11.07 | )% | 13.37 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 1,460 | $ | 2,209 | $ | 5,772 | $ | 16,235 | $ | 28,041 | $ | 44,710 | ||||||||||||||
Ratio of net expenses to average net assets(e) | 1.29 | %(f) | 1.28 | % | 1.30 | % | 1.31 | % | 1.31 | % | 1.32 | % | ||||||||||||||
Ratio of total expenses to average net assets(e) | 1.58 | %(f) | 1.49 | % | 1.49 | % | 1.40 | % | 1.36 | % | 1.36 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 1.04 | %(f) | 1.33 | % | 0.95 | % | 2.01 | % | 1.53 | % | 1.78 | % | ||||||||||||||
Portfolio turnover rate(g) | 14 | % | 33 | % | 5 | % | 6 | % | 17 | % | 57 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Amount is less than $0.005 per share. |
(d) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(e) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(f) | Annualized. |
(g) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
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 Period
Goldman Sachs Satellite Strategies Portfolio | ||||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.92 | $ | 8.54 | $ | 8.43 | $ | 7.36 | $ | 8.43 | $ | 7.62 | ||||||||||||||
Net investment income(a)(b) | 0.09 | 0.23 | 0.17 | 0.27 | 0.21 | 0.24 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.39 | ) | 0.49 | 0.12 | 1.11 | (1.05 | ) | 0.88 | ||||||||||||||||||
Total from investment operations | (1.30 | ) | 0.72 | 0.29 | 1.38 | (0.84 | ) | 1.12 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.09 | ) | (0.34 | ) | (0.18 | ) | (0.31 | ) | (0.23 | ) | (0.31 | ) | ||||||||||||||
Distributions to shareholders from return of capital | — | (0.00 | )(c) | — | — | — | — | |||||||||||||||||||
Total distributions | (0.09 | ) | (0.34 | ) | (0.18 | ) | (0.31 | ) | (0.23 | ) | (0.31 | ) | ||||||||||||||
Net asset value, end of period | $ | 7.53 | $ | 8.92 | $ | 8.54 | $ | 8.43 | $ | 7.36 | $ | 8.43 | ||||||||||||||
Total return(d) | (14.58 | )% | 8.49 | % | 3.81 | % | 18.86 | % | (10.06 | )% | 14.80 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 45,409 | $ | 58,742 | $ | 99,006 | $ | 194,783 | $ | 260,987 | $ | 488,118 | ||||||||||||||
Ratio of net expenses to average net assets(e) | 0.17 | %(f) | 0.17 | % | 0.17 | % | 0.18 | % | 0.17 | % | 0.17 | % | ||||||||||||||
Ratio of total expenses to average net assets(e) | 0.46 | %(f) | 0.38 | % | 0.36 | % | 0.27 | % | 0.22 | % | 0.22 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 2.22 | %(f) | 2.62 | % | 2.19 | % | 3.38 | % | 2.62 | % | 2.96 | % | ||||||||||||||
Portfolio turnover rate(g) | 14 | % | 33 | % | 5 | % | 6 | % | 17 | % | 57 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Amount is less than $0.005 per share. |
(d) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(e) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(f) | Annualized. |
(g) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
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 Period
Goldman Sachs Satellite Strategies Portfolio | ||||||||||||||||||||||||||
Service Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.94 | $ | 8.56 | $ | 8.44 | $ | 7.37 | $ | 8.43 | $ | 7.63 | ||||||||||||||
Net investment income(a)(b) | 0.07 | 0.21 | 0.13 | 0.25 | 0.18 | 0.20 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.40 | ) | 0.47 | 0.13 | 1.09 | (1.05 | ) | 0.86 | ||||||||||||||||||
Total from investment operations | (1.33 | ) | 0.68 | 0.26 | 1.34 | (0.87 | ) | 1.06 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.07 | ) | (0.30 | ) | (0.14 | ) | (0.27 | ) | (0.19 | ) | (0.26 | ) | ||||||||||||||
Distributions to shareholders from return of capital | — | (0.00 | )(c) | — | — | — | — | |||||||||||||||||||
Total distributions | (0.07 | ) | (0.30 | ) | (0.14 | ) | (0.27 | ) | (0.19 | ) | (0.26 | ) | ||||||||||||||
Net asset value, end of period | $ | 7.54 | $ | 8.94 | $ | 8.56 | $ | 8.44 | $ | 7.37 | $ | 8.43 | ||||||||||||||
Total return(d) | (14.75 | )% | 7.94 | % | 3.32 | % | 18.25 | % | (10.41 | )% | 14.06 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 118 | $ | 137 | $ | 128 | $ | 258 | $ | 243 | $ | 350 | ||||||||||||||
Ratio of net expenses to average net assets(e) | 0.67 | %(f) | 0.67 | % | 0.67 | % | 0.68 | % | 0.67 | % | 0.67 | % | ||||||||||||||
Ratio of total expenses to average net assets(e) | 0.96 | %(f) | 0.88 | % | 0.86 | % | 0.78 | % | 0.72 | % | 0.72 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 1.77 | %(f) | 2.34 | % | 1.62 | % | 3.13 | % | 2.20 | % | 2.41 | % | ||||||||||||||
Portfolio turnover rate(g) | 14 | % | 33 | % | 5 | % | 6 | % | 17 | % | 57 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Amount is less than $0.005 per share. |
(d) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(e) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(f) | Annualized. |
(g) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
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 Period
Goldman Sachs Satellite Strategies Portfolio | ||||||||||||||||||||||||||
Investor Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.92 | $ | 8.53 | $ | 8.43 | $ | 7.36 | $ | 8.43 | $ | 7.62 | ||||||||||||||
Net investment income(a)(b) | 0.09 | 0.23 | 0.16 | 0.27 | 0.20 | 0.22 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.39 | ) | 0.49 | 0.11 | 1.10 | (1.05 | ) | 0.88 | ||||||||||||||||||
Total from investment operations | (1.30 | ) | 0.72 | 0.27 | 1.37 | (0.85 | ) | 1.10 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.09 | ) | (0.33 | ) | (0.17 | ) | (0.30 | ) | (0.22 | ) | (0.29 | ) | ||||||||||||||
Distributions to shareholders from return of capital | — | (0.00 | )(c) | — | — | — | — | |||||||||||||||||||
Total distributions | (0.09 | ) | (0.33 | ) | (0.17 | ) | (0.30 | ) | (0.22 | ) | (0.29 | ) | ||||||||||||||
Net asset value, end of period | $ | 7.53 | $ | 8.92 | $ | 8.53 | $ | 8.43 | $ | 7.36 | $ | 8.43 | ||||||||||||||
Total return(d) | (14.63 | )% | 8.50 | % | 3.55 | % | 18.71 | % | (10.19 | )% | 14.62 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 11,900 | $ | 15,372 | $ | 18,816 | $ | 22,706 | $ | 27,782 | $ | 46,011 | ||||||||||||||
Ratio of net expenses to average net assets(e) | 0.29 | %(f) | 0.29 | % | 0.30 | % | 0.32 | % | 0.31 | % | 0.32 | % | ||||||||||||||
Ratio of total expenses to average net assets(e) | 0.58 | %(f) | 0.50 | % | 0.50 | % | 0.41 | % | 0.36 | % | 0.36 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 2.11 | %(f) | 2.62 | % | 2.12 | % | 3.39 | % | 2.53 | % | 2.74 | % | ||||||||||||||
Portfolio turnover rate(g) | 14 | % | 33 | % | 5 | % | 6 | % | 17 | % | 57 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Amount is less than $0.005 per share. |
(d) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(e) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(f) | Annualized. |
(g) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
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 Period
Goldman Sachs Satellite Strategies Portfolio | ||||||||||||||||||||||||||
Class R6 Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.93 | $ | 8.55 | $ | 8.44 | $ | 7.36 | $ | 8.43 | $ | 7.63 | ||||||||||||||
Net investment income(a)(b) | 0.11 | 0.25 | 0.14 | 0.29 | 0.23 | 0.25 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.41 | ) | 0.47 | 0.15 | 1.10 | (1.07 | ) | 0.86 | ||||||||||||||||||
Total from investment operations | (1.30 | ) | 0.72 | 0.29 | 1.39 | (0.84 | ) | 1.11 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.09 | ) | (0.34 | ) | (0.18 | ) | (0.31 | ) | (0.23 | ) | (0.31 | ) | ||||||||||||||
Distributions to shareholders from return of capital | — | (0.00 | )(c) | — | — | — | — | |||||||||||||||||||
Total distributions | (0.09 | ) | (0.34 | ) | (0.18 | ) | (0.31 | ) | (0.23 | ) | (0.31 | ) | ||||||||||||||
Net asset value, end of period | $ | 7.54 | $ | 8.93 | $ | 8.55 | $ | 8.44 | $ | 7.36 | $ | 8.43 | ||||||||||||||
Total return(d) | (14.56 | )% | 8.50 | % | 3.79 | % | 19.02 | % | (10.04 | )% | 14.66 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 1,865 | $ | 812 | $ | 815 | $ | 45,956 | $ | 44,046 | $ | 40,326 | ||||||||||||||
Ratio of net expenses to average net assets(e) | 0.16 | %(f) | 0.16 | % | 0.16 | % | 0.17 | % | 0.16 | % | 0.16 | % | ||||||||||||||
Ratio of total expenses to average net assets(e) | 0.46 | %(f) | 0.37 | % | 0.33 | % | 0.26 | % | 0.22 | % | 0.20 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 2.74 | %(f) | 2.76 | % | 1.79 | % | 3.59 | % | 2.88 | % | 3.09 | % | ||||||||||||||
Portfolio turnover rate(g) | 14 | % | 33 | % | 5 | % | 6 | % | 17 | % | 57 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Amount is less than $0.005 per share. |
(d) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(e) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(f) | Annualized. |
(g) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
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 Period
Goldman Sachs Satellite Strategies Portfolio | ||||||||||||||||||||||||||
Class R Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.92 | $ | 8.53 | $ | 8.42 | $ | 7.35 | $ | 8.41 | $ | 7.61 | ||||||||||||||
Net investment income(a)(b) | 0.07 | 0.19 | 0.12 | 0.23 | 0.17 | 0.19 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.40 | ) | 0.48 | 0.12 | 1.09 | (1.05 | ) | 0.86 | ||||||||||||||||||
Total from investment operations | (1.33 | ) | 0.67 | 0.24 | 1.32 | (0.88 | ) | 1.05 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.07 | ) | (0.28 | ) | (0.13 | ) | (0.25 | ) | (0.18 | ) | (0.25 | ) | ||||||||||||||
Distributions to shareholders from return of capital | — | (0.00 | )(c) | — | — | — | — | |||||||||||||||||||
Total distributions | (0.07 | ) | (0.28 | ) | (0.13 | ) | (0.25 | ) | (0.18 | ) | (0.25 | ) | ||||||||||||||
Net asset value, end of period | $ | 7.52 | $ | 8.92 | $ | 8.53 | $ | 8.42 | $ | 7.35 | $ | 8.41 | ||||||||||||||
Total return(d) | (14.95 | )% | 7.93 | % | 3.09 | % | 18.12 | % | (10.56 | )% | 13.94 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 457 | $ | 554 | $ | 724 | $ | 1,140 | $ | 1,955 | $ | 2,645 | ||||||||||||||
Ratio of net expenses to average net assets(e) | 0.79 | %(f) | 0.79 | % | 0.80 | % | 0.81 | % | 0.81 | % | 0.82 | % | ||||||||||||||
Ratio of total expenses to average net assets(e) | 1.08 | %(f) | 1.00 | % | 0.99 | % | 0.91 | % | 0.86 | % | 0.86 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 1.64 | %(f) | 2.08 | % | 1.56 | % | 2.88 | % | 2.09 | % | 2.33 | % | ||||||||||||||
Portfolio turnover rate(g) | 14 | % | 33 | % | 5 | % | 6 | % | 17 | % | 57 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Amount is less than $0.005 per share. |
(d) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(e) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(f) | Annualized. |
(g) | The Portfolio’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Portfolio’s portfolio turnover rate may be higher. |
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 Period
Goldman Sachs Satellite Strategies Portfolio | ||||||||||||||||||||||
Class P Shares | ||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | Period Ended | ||||||||||||||||||||
2021 | 2020 | 2019 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.93 | $ | 8.55 | $ | 8.44 | $ | 7.37 | $ | 8.37 | ||||||||||||
Net investment income(b)(c) | 0.08 | 0.25 | 0.18 | 0.30 | 0.20 | |||||||||||||||||
Net realized and unrealized gain (loss) | (1.38 | ) | 0.47 | 0.11 | 1.08 | (1.01 | ) | |||||||||||||||
Total from investment operations | (1.30 | ) | 0.72 | 0.29 | 1.38 | (0.81 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.09 | ) | (0.34 | ) | (0.18 | ) | (0.31 | ) | (0.19 | ) | ||||||||||||
Distributions to shareholders from return of capital | — | (0.00 | )(d) | — | — | — | ||||||||||||||||
Total distributions | (0.09 | ) | (0.34 | ) | (0.18 | ) | (0.31 | ) | (0.19 | ) | ||||||||||||
Net asset value, end of period | $ | 7.54 | $ | 8.93 | $ | 8.55 | $ | 8.44 | $ | 7.37 | ||||||||||||
Total return(e) | (14.56 | )% | 8.49 | % | 3.82 | % | 18.85 | % | (9.76 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 1,379 | $ | 3,111 | $ | 3,743 | $ | 3,722 | $ | 2,902 | ||||||||||||
Ratio of net expenses to average net assets(f) | 0.16 | %(g) | 0.16 | % | 0.16 | % | 0.17 | % | 0.16 | %(g) | ||||||||||||
Ratio of total expenses to average net assets(f) | 0.45 | %(g) | 0.37 | % | 0.36 | % | 0.27 | % | 0.22 | %(g) | ||||||||||||
Ratio of net investment income to average net assets(c) | 2.03 | %(g) | 2.80 | % | 2.31 | % | 3.70 | % | 3.51 | %(g) | ||||||||||||
Portfolio turnover rate(h) | 14 | % | 33 | % | 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) | 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 Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(f) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(g) | Annualized. |
(h) | 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 FUND OF FUNDS PORTFOLIOS
June 30, 2022
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 (“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. Income distributions are recognized as capital gains or income in the financial statements in accordance with the character that is distributed.
For derivative contracts, unrealized gains and losses are recorded daily and become realized gains and losses upon disposition or termination 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. 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.
66
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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;
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).
67
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
June 30, 2022
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Portfolios, including investments for which market quotations are not readily available. The Trustees have delegated to 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) — Investments in the Underlying Funds are valued at the NAV per share on the day of valuation. Because the Portfolios invest primarily in other mutual funds that fluctuate in value, the Portfolios’ shares will correspondingly fluctuate in value. These investments are generally classified as Level 1 of the fair value hierarchy. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. A 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 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
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3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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 a Portfolio’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining 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 June 30.2022:
BALANCED STRATEGY |
| |||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Underlying Funds | ||||||||||||
Dynamic | $ | 20,154,860 | $ | — | $ | — | ||||||
Equity | 88,785,127 | — | — | |||||||||
Exchange Traded Funds | 149,026,698 | — | — | |||||||||
Fixed Income | 199,251,325 | — | — | |||||||||
Investment Companies | 50,447,669 | — | — | |||||||||
Total | $ | 507,665,679 | $ | — | $ | — | ||||||
Derivative Type | ||||||||||||
Assets | ||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | — | $ | 926,931 | $ | — | ||||||
Purchased Option Contracts | 1,441,712 | 43,386 | — | |||||||||
Total | $ | 1,441,712 | $ | 970,317 | $ | — | ||||||
Liabilities | ||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | — | $ | (41,569 | ) | $ | — | |||||
Futures Contracts(a) | (1,371,126 | ) | — | — | ||||||||
Written Option contracts | — | (543,980 | ) | — | ||||||||
Total | $ | (1,371,126 | ) | $ | (585,549 | ) | $ | — |
(a) | Amount shown represents unrealized gain (loss) at period end. |
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Notes to Financial Statements (continued)
June 30, 2022
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
GROWTH AND INCOME STRATEGY | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Underlying Funds | ||||||||||||
Equity | $ | 194,636,762 | $ | — | $ | — | ||||||
Fixed Income | 161,119,517 | — | — | |||||||||
Dynamic | 29,152,825 | — | — | |||||||||
Exchange Traded Funds | 346,956,381 | — | — | |||||||||
Investment Companies | 61,727,094 | — | — | |||||||||
Total | $ | 793,592,579 | $ | — | $ | — | ||||||
Derivative Type | ||||||||||||
Assets | ||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | — | $ | 1,510,796 | $ | — | ||||||
Purchased Options Contracts | 2,623,519 | 57,868 | — | |||||||||
Total | $ | 2,623,519 | $ | 1,568,662 | $ | — | ||||||
Liabilities | ||||||||||||
Forward Foreign Currency Exchange Contracts (a) | $ | — | $ | (67,626 | ) | $ | — | |||||
Futures Contracts(a) | (2,594,403 | ) | — | — | ||||||||
Written option contracts | — | (714,919 | ) | — | ||||||||
Total | $ | (2,594,403 | ) | $ | (782,545 | ) | $ | — | ||||
GROWTH STRATEGY | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Underlying Funds | ||||||||||||
Dynamic | $ | 16,559,191 | $ | — | $ | — | ||||||
Equity | 256,459,654 | — | — | |||||||||
Exchange Traded Funds | 349,978,008 | — | — | |||||||||
Fixed Income | 56,800,269 | — | — | |||||||||
Investment Companies | 69,053,973 | — | — | |||||||||
Total | $ | 748,851,095 | $ | — | $ | — | ||||||
Derivative Type | ||||||||||||
Assets | ||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | — | $ | 1,424,590 | $ | — | ||||||
Futures Contracts(a) | 31,746 | — | — | |||||||||
Purchased Options Contracts | 3,004,094 | 40,106 | — | |||||||||
Total | $ | 3,035,840 | $ | 1,464,696 | $ | — |
(a) | Amount shown represents unrealized gain (loss) at period end. |
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3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
GROWTH STRATEGY (continued) | ||||||||||||
Derivative Type | Level 1 | Level 2 | Level 3 | |||||||||
Liabilities | ||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | — | $ | (63,874 | ) | $ | — | |||||
Futures Contracts(a) | (2,825,732 | ) | — | — | ||||||||
Written option contracts | — | (501,879 | ) | — | ||||||||
Total | $ | (2,825,732 | ) | $ | (565,753 | ) | $ | — |
(a) | Amount shown represents unrealized gain (loss) at period end. |
SATELLITE STRATEGIES |
| |||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Underlying Funds | ||||||||||||
Equity | $ | 60,645,353 | $ | — | $ | — | ||||||
Exchange Traded Funds | 3,151,269 | — | — | |||||||||
Fixed Income | 31,566,425 | — | — | |||||||||
Total | $ | 95,363,047 | $ | — | $ | — |
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 June 30, 2022. 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 | Purchased options, at value | $ | 1,441,712 | Variation margin on futures contracts; | $ | (18,094) | (a) | |||||
Equity | Purchased options, at value | 890 | Variation margin on futures contracts; Written options, at value | (1,854,516) | (a) | |||||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts; Purchased options, at value | 969,427 | Payable for unrealized loss on forward foreign currency exchange contracts; Written options, at value | (84,065) | ||||||||
Total | $ | 2,412,029 | $ | (1,956,675) |
(a) | Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information sections of the Schedules of Investments. Only the variation margin as of June 30, 2022 is reported within the Statements of Assets and Liabilities. |
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Notes to Financial Statements (continued)
June 30, 2022
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 | $ | (22,971) | (a) | |||||
Equity | Purchased options, at value | 1,165 | Variation margin on futures contracts; Written options, at value | (3,229,648) | (a) | |||||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts; Purchased options, at value | 4,191,018 | Payable for unrealized loss on forward foreign currency exchange contracts; Written options, at value | (124,329) | ||||||||
Total | 4,192,183 | $ | (3,376,948) | |||||||||
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 | $ | 3,035,840 | Variation margin on futures contracts | $ | (16,900) | (a) | |||||
Equity | Purchased options, at value | 822 | Variation margin on futures contracts; Written options, at value | (3,271,427) | (a) | |||||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts; Purchased options, at value | 1,463,874 | Payable for unrealized loss on forward foreign currency exchange contracts. Written options, at value | (103,158) | ||||||||
Total | $4,500,536 | $ | (3,391,485) |
(a) | Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information sections of the Schedules of Investments. Only the variation margin as of June 30, 2022 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 six months ended June 30, 2022. 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) | |||||||
Interest rate | Net realized loss from futures contracts and purchased options /Net change in unrealized gain on futures contracts purchased options | $ | (2,864,844 | ) | $ | (1,498,160 | ) | |||
Equity | Net realized gain (loss) from futures contracts, written options and purchased options /Net change in unrealized gain on futures contracts purchased options | (5,709,010 | ) | (2,179,545 | ) | |||||
Currency | Net realized gain from forward foreign currency exchange contracts /Net change in unrealized gain on forward foreign currency exchange contracts | 3,391,061 | 909,483 | |||||||
Total | $ | (5,182,793 | ) | $ | (2,768,222 | ) |
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4. INVESTMENTS IN DERIVATIVES (continued) |
Growth and Income Portfolio | ||||||||||
Risk | Statement of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | |||||||
Interest rate | Net realized gain (loss) from futures contracts and purchased options /Net change in unrealized gain on futures contracts purchased options | $ | (4,086,080 | ) | $ | 770,378 | ||||
Equity | Net realized gain (loss) from futures contracts /Net change in unrealized gain on futures contracts purchased options | (11,105,894 | ) | (3,620,989 | ) | |||||
Currency | Net realized gain from forward foreign currency exchange contracts /Net change in unrealized gain on forward foreign currency exchange contracts | 5,329,431 | (1,832,602 | ) | ||||||
Total | $ | (9,862,543 | ) | $ | (4,683,213 | ) | ||||
Growth Strategy Portfolio | ||||||||||
Risk | Statement of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | |||||||
Interest rate | Net realized gain (loss) from futures contracts and purchased options /Net change in unrealized gain on futures contracts and purchased options | $ | (4,343,161 | ) | $ | (966,601 | ) | |||
Equity | Net realized gain (loss) from futures contracts and written options /Net change in unrealized gain on futures contracts; purchased options and written options | (11,507,859 | ) | (3,242,152 | ) | |||||
Currency | Net realized gain from forward foreign currency exchange contracts /Net change in unrealized gain on forward foreign currency exchange contracts; purchased options and written options | 5,201,732 | (1,045,402 | ) | ||||||
Total | $ | (10,649,288 | ) | $ | (5,254,155 | ) |
For the six months ended June 30, 2022, the relevant values for each derivative type was as follows:
Average Number of Contracts, Notional Amounts, or Shares/Units(a) | ||||||||||||||||||
Portfolio | Futures Contracts | Forward Contacts | Purchased Options | Written Options | ||||||||||||||
Balanced Strategy | 466 | $ | 41,974,013 | 4,239,663 | 319,533 | |||||||||||||
Growth and Income Strategy | 693 | 69,117,895 | 7,071,914 | 426,167 | ||||||||||||||
Growth Strategy | 678 | 64,153,921 | 7,450,220 | 295,397 |
(a) | Amounts disclosed represent average number of contracts for futures contracts, notional amounts for forward contracts, or shares/units outstanding for purchased and written options, based on absolute values, which is indicative of volume for this derivative type, for the months that each Portfolio held such derivatives during the six months ended June 30, 2022. |
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
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Notes to Financial Statements (continued)
June 30, 2022
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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 Portfolio, 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 Portfolio, as set forth below.
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 Service Shares of the Portfolio, as set forth below.
Distribution and/or Service Plan Rates | ||||||||||||||||
Class A* | Class C | Service | Class R* | |||||||||||||
Distribution and/or Service Plan | 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 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 six months ended June 30, 2022, Goldman Sachs retained the following amounts:
Front End Sales Charge | Contingent Deferred Sales Charge | |||||||||
Portfolio | Class A | Class C | ||||||||
Balanced Strategy | $ | 2,448 | $ | 92 | ||||||
Growth and Income Strategy | 5,233 | 405 | ||||||||
Growth Strategy | 8,684 | 445 | ||||||||
Satellite Strategies | 268 | — |
D. Service and Shareholder Administration Plans — The Trust, on behalf of each applicable Portfolio, has adopted Service Plans to allow Class C Shares and Shareholder Administration Plans to allow Service Shares, respectively, to compensate service organizations (including Goldman Sachs) for providing varying levels of personal and account maintenance or shareholder administration services to their customers who are beneficial owners of such shares. The Service and Shareholder Administration Plans each provide for compensation to the service organizations equal to an annual percentage rate of 0.25% of the average daily net assets attributable to Class C and 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.
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5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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, 2023 and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Portfolios have entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Portfolios’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.
For the six months ended June 30, 2022, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
Portfolio | Other Expense Reimbursements | |||||
Balanced Strategy | $ | 168,556 | ||||
Growth and Income Strategy | 180,967 | |||||
Growth Strategy | 195,145 | |||||
Satellite Strategies | 165,024 |
G. Line of Credit Facility — As of June 30, 2022, the Portfolios participated in a $1,250,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Portfolios based on the amount of the commitment that has not been utilized. For the six months ended June 30, 2022, the Portfolios did not have any borrowings under the facility. Prior to April 22, 2022, the facility was $1,000,000,000.
H. Other Transactions with Affiliates — The Portfolios invest 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 Portfolios. The tables below show the transactions in and earnings from investments in these Underlying Funds for the six months ended June 30, 2022 (in thousands):
Balanced Strategy Portfolio |
| |||||||||||||||||||||||||||||||
Underlying Funds | Market Value 12/31/2021 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Market Value 6/30/2022 | Shares as of 6/30/2022 | Dividend Income | ||||||||||||||||||||||||
Goldman Sachs Access Investment Grade Corporate Bond ETF | $ | 55,301 | $ | 5,522 | $ | — | $ | — | $ | (8,364 | ) | $ | 52,459 | 1,139 | $ | 566 | ||||||||||||||||
Goldman Sachs ActiveBeta Emerging Markets Equity ETF | — | 6,266 | — | — | (1,290 | ) | 4,976 | 167 | 98 | |||||||||||||||||||||||
Goldman Sachs ActiveBeta International Equity ETF | — | 15,601 | — | — | (3,251 | ) | 12,350 | 445 | 270 |
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Notes to Financial Statements (continued)
June 30, 2022
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
Balanced Strategy Portfolio (continued) |
| |||||||||||||||||||||||||||||||
Underlying Funds | Market Value 12/31/2021 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Market Value 6/30/2022 | Shares as of 6/30/2022 | Dividend Income | ||||||||||||||||||||||||
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | $ | 59,496 | $ | 28,452 | $ | — | $ | — | $ | (17,647 | ) | $ | 70,301 | 938 | $ | 538 | ||||||||||||||||
Goldman Sachs Alternative Premia Fund — Class R6 | 12,468 | — | (12,056 | ) | (3,486 | ) | 3,074 | — | — | — | ||||||||||||||||||||||
Goldman Sachs Core Fixed Income Fund — Class R6 | 17,132 | 187 | — | — | (2,164 | ) | 15,155 | 1,592 | 187 | |||||||||||||||||||||||
Goldman Sachs Dynamic Global Equity Fund — Class R6 | 93,155 | — | (91,947 | ) | 15,716 | (16,924 | ) | — | — | — | ||||||||||||||||||||||
Goldman Sachs Emerging Markets Debt Fund — Class R6 | 13,728 | 6,185 | (8,000 | ) | (2,410 | ) | (1,488 | ) | 8,015 | 876 | 343 | |||||||||||||||||||||
Goldman Sachs Emerging Markets Equity Insights Fund — Class R6 | 17,744 | 5,725 | — | — | (3,651 | ) | 19,818 | 2,444 | 84 | |||||||||||||||||||||||
Goldman Sachs Financial Square Government Fund — Institutional Shares | 34,000 | 110,833 | (94,385 | ) | — | — | 50,448 | 50,448 | — | |||||||||||||||||||||||
Goldman Sachs Global Core Fixed Income Fund — Class R6 | 160,917 | 10,509 | (5,558 | ) | (788 | ) | (17,546 | ) | 147,534 | 13,091 | 1,154 | |||||||||||||||||||||
Goldman Sachs Global Infrastructure Fund — Class R6 | 10,862 | 1,638 | (1,300 | ) | (55 | ) | (702 | ) | 10,443 | 828 | 117 | |||||||||||||||||||||
Goldman Sachs Global Real Estate Securities Fund — Class R6 | 7,002 | 1,445 | (1,400 | ) | (305 | ) | (1,526 | ) | 5,216 | 531 | 56 | |||||||||||||||||||||
Goldman Sachs High Yield Floating Rate Fund — Class R6 | 6,414 | 11,162 | (12,300 | ) | (652 | ) | (311 | ) | 4,313 | 497 | 249 | |||||||||||||||||||||
Goldman Sachs High Yield Fund — Class R6 | 5,724 | 6,388 | (10,712 | ) | (1,482 | ) | 82 | — | — | 209 | ||||||||||||||||||||||
Goldman Sachs Inflation Protected Securities Fund — Class R6 | 5,882 | — | (5,726 | ) | (166 | ) | 10 | — | — | — | ||||||||||||||||||||||
Goldman Sachs International Equity Insights Fund — Class R6 | 31,550 | 10,533 | — | — | (7,882 | ) | 34,201 | 2,928 | — | |||||||||||||||||||||||
Goldman Sachs International Small Cap Insights Fund — Class R6 | 12,503 | 1,596 | (4,557 | ) | (219 | ) | (2,328 | ) | 6,995 | 642 | — | |||||||||||||||||||||
Goldman Sachs Large Cap Growth Insights Fund — Class R6 | — | 6,469 | (5,999 | ) | (470 | ) | — | — | — | — | ||||||||||||||||||||||
Goldman Sachs Large Cap Value Insights Fund — Class R6 | — | 6,318 | — | — | (923 | ) | 5,395 | 264 | 31 |
76
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
Balanced Strategy Portfolio (continued) |
| |||||||||||||||||||||||||||||||
Underlying Funds | Market Value 12/31/2021 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Market Value 6/30/2022 | Shares as of 6/30/2022 | Dividend Income | ||||||||||||||||||||||||
Goldman Sachs Local Emerging Markets Debt Fund — Class R6 | $ | 114 | $ | 1 | $ | (160 | ) | $ | (11 | ) | $ | 56 | $ | — | — | $ | 2 | |||||||||||||||
Goldman Sachs Energy Infrastructure Fund — Class R6 | — | 8,439 | (3,000 | ) | (117 | ) | (151 | ) | 5,171 | 518 | 99 | |||||||||||||||||||||
Goldman Sachs Managed Futures Strategy Fund — Class R6 | 16,809 | — | (333 | ) | — | 3,679 | 20,155 | 1,648 | — | |||||||||||||||||||||||
Goldman Sachs MarketBeta Emerging Markets Equity ETF | — | 3,007 | — | — | (573 | ) | 2,434 | 58 | 57 | |||||||||||||||||||||||
Goldman Sachs MarketBeta International Equity ETF | — | 6,237 | — | — | (1,308 | ) | 4,929 | 110 | 98 | |||||||||||||||||||||||
Goldman Sachs Short Duration Bond Fund — Class R6 | 11,672 | 13,536 | — | — | (973 | ) | 24,235 | 2,570 | 136 | |||||||||||||||||||||||
Goldman Sachs Small Cap Equity Insights Fund — Class R6 | — | 1,944 | — | — | (398 | ) | 1,546 | 72 | — | |||||||||||||||||||||||
Goldman Sachs Tactical Tilt Overlay Fund — Class R6 | 29,401 | — | (29,629 | ) | 1,465 | (1,237 | ) | — | — | — | ||||||||||||||||||||||
Total | $ | 601,874 | $ | 267,993 | $ | (287,062 | ) | $ | 7,020 | $ | (83,736 | ) | $ | 506,089 | $ | 4,297 |
Growth and Income Strategy Portfolio |
| |||||||||||||||||||||||||||||||
Underlying Funds | Market Value 12/31/2021 | Purchases at Cost* | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Market Value 6/30/2022 | Shares as of 6/30/2022 | Dividend Income | ||||||||||||||||||||||||
Goldman Sachs Access Investment Grade Corporate Bond ETF | $ | 90,188 | $ | 4,543 | $ | — | $ | — | (13,524 | ) | $ | 81,207 | 1,763 | $ | 903 | |||||||||||||||||
Goldman Sachs ActiveBeta Emerging Markets Equity ETF | — | 14,337 | — | — | (2,951 | ) | 11,386 | 383 | 225 | |||||||||||||||||||||||
Goldman Sachs ActiveBeta International Equity ETF | — | 35,699 | — | — | (7,439 | ) | 28,260 | 1,018 | 619 | |||||||||||||||||||||||
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | 219,223 | 56,187 | (11,680 | ) | (1,966 | ) | (54,580 | ) | 207,184 | 2,765 | 1,701 | |||||||||||||||||||||
Goldman Sachs Alternative Premia Fund — Class R6 | 13,361 | — | (12,919 | ) | (5,116 | ) | 4,674 | — | — | — | ||||||||||||||||||||||
Goldman Sachs Dynamic Global Equity Fund — Class R6 | 213,153 | — | (210,389 | ) | 35,843 | (38,607 | ) | — | — | — | ||||||||||||||||||||||
Goldman Sachs Emerging Markets Debt Fund — Class R6 | 25,550 | 14,446 | (17,500 | ) | (5,645 | ) | (1,995 | ) | 14,856 | 1,624 | 673 |
77
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
June 30, 2022
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
Growth and Income Strategy Portfolio (continued) |
| |||||||||||||||||||||||||||||||
Underlying Funds | Market Value 12/31/2021 | Purchases at Cost* | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Market Value 6/30/2022 | Shares as of 6/30/2022 | Dividend Income | ||||||||||||||||||||||||
Goldman Sachs Emerging Markets Equity Insights Fund — Class R6 | $ | 45,259 | $ | 7,376 | $ | — | $ | — | $ | (8,836 | ) | $ | 43,799 | 5,401 | $ | — | ||||||||||||||||
Goldman Sachs Financial Square Government Fund — Institutional Shares | 42,000 | 134,903 | (115,176 | ) | — | — | 61,727 | 61,727 | 126 | |||||||||||||||||||||||
Goldman Sachs Global Core Fixed Income Fund — Class R6 | 93,871 | 16,683 | — | — | (10,600 | ) | 99,954 | 8,869 | 683 | |||||||||||||||||||||||
Goldman Sachs Global Infrastructure Fund — Class R6 | 18,590 | 3,614 | (4,500 | ) | (33 | ) | (1,240 | ) | 16,431 | 1,302 | 209 | |||||||||||||||||||||
Goldman Sachs Global Real Estate Securities Fund — Class R6 | 11,279 | 3,271 | (3,200 | ) | (684 | ) | (2,445 | ) | 8,221 | 837 | 98 | |||||||||||||||||||||
Goldman Sachs High Yield Floating Rate Fund — Class R6 | 9,356 | 19,000 | (20,000 | ) | (1,065 | ) | (489 | ) | 6,802 | 785 | 398 | |||||||||||||||||||||
Goldman Sachs High Yield Fund —Class R6 | 9,975 | 9,813 | (17,463 | ) | (2,542 | ) | 218 | 1 | — | 345 | ||||||||||||||||||||||
Goldman Sachs Inflation Protected Securities Fund — Class R6 | 10,034 | — | (9,769 | ) | (282 | ) | 17 | — | — | — | ||||||||||||||||||||||
Goldman Sachs Large Cap Growth International Fund — Institutional Shares | — | 14,802 | (13,726 | ) | (1,076 | ) | — | — | — | — | ||||||||||||||||||||||
Goldman Sachs International Equity Insights Fund — Class R6 | 84,567 | 17,217 | — | — | (19,370 | ) | 82,414 | 7,056 | — | |||||||||||||||||||||||
Goldman Sachs International Small Cap Insights Fund — Class R6 | 26,933 | 3,651 | (7,865 | ) | (490 | ) | (5,232 | ) | 16,997 | 1,561 | — | |||||||||||||||||||||
Goldman Sachs Large Cap Value Insights Fund — Class R6 | — | 14,457 | — | — | (2,113 | ) | 12,344 | 604 | 72 | |||||||||||||||||||||||
Goldman Sachs Local Emerging Markets Debt Fund — Class R6 | 3,616 | 44 | (3,246 | ) | (616 | ) | 202 | — | — | 45 | ||||||||||||||||||||||
Goldman Sachs Energy Infrastructure Fund — Class R6 | — | 17,431 | (6,000 | ) | (207 | ) | (332 | ) | 10,892 | 1,091 | 209 | |||||||||||||||||||||
Goldman Sachs Managed Futures Strategy Fund — Class R6 | 24,314 | — | — | — | 4,839 | 29,153 | 2,384 | — | ||||||||||||||||||||||||
Goldman Sachs MarketBeta Emerging Markets Equity ETF | — | 6,882 | — | — | (1,312 | ) | 5,570 | 134 | 131 | |||||||||||||||||||||||
Goldman Sachs MarketBeta International Equity ETF | — | 14,271 | — | — | (2,993 | ) | 11,278 | 252 | 225 |
78
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
Growth and Income Strategy Portfolio (continued) |
| |||||||||||||||||||||||||||||||
Underlying Funds | Market Value 12/31/2021 | Purchases at Cost* | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Market Value 6/30/2022 | Shares as of 6/30/2022 | Dividend Income | ||||||||||||||||||||||||
Goldman Sachs Short Duration Bond Fund — Class R6 | $ | 19,912 | $ | 21,228 | $ | — | $ | — | $ | (1,640 | ) | $ | 39,507 | 4,189 | $ | 227 | ||||||||||||||||
Goldman Sachs Small Cap Equity Insights Fund — Class R6 | — | 4,450 | — | — | (912 | ) | 3,538 | 164 | — | |||||||||||||||||||||||
Goldman Sachs Tactical Tilt Overlay Fund — Class R6 | 39,750 | — | (40,060 | ) | 2,086 | (1,776 | ) | — | — | — | ||||||||||||||||||||||
Total | $ | 1,000,931 | $ | 434,305 | $ | (493,493 | ) | $ | 18,207 | $ | (168,429 | ) | $ | 791,521 | $ | 6,889 |
* | Includes reinvestment of distributions. |
Growth Strategy Portfolio |
| |||||||||||||||||||||||||||||||
Underlying Funds | Market Value 12/31/2021 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Market Value 6/30/2022 | Shares as of 6/30/2022 | Dividend Income | ||||||||||||||||||||||||
Goldman Sachs Access Investment Grade Corporate Bond ETF | $ | 9,254 | $ | — | $ | — | $ | — | (1,375 | ) | $ | 7,879 | 171 | $ | 91 | |||||||||||||||||
Goldman Sachs ActiveBeta Emerging Markets Equity ETF | — | 15,660 | — | — | (3,223 | ) | 12,437 | 418 | 246 | |||||||||||||||||||||||
Goldman Sachs ActiveBeta International Equity ETF | — | 38,992 | — | — | (8,125 | ) | 30,867 | 1,112 | 676 | |||||||||||||||||||||||
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | 290,906 | 61,371 | — | — | (73,356 | ) | 278,921 | 3,722 | 2,188 | |||||||||||||||||||||||
Goldman Sachs Dynamic Global Equity Fund — Class R6 | 232,821 | — | (229,803 | ) | 39,151 | (42,169 | ) | — | — | — | ||||||||||||||||||||||
Goldman Sachs Emerging Markets Debt Fund — Class R6 | 29,836 | 13,789 | (18,000 | ) | (5,654 | ) | (3,017 | ) | 16,954 | 1,853 | 760 | |||||||||||||||||||||
Goldman Sachs Emerging Markets Equity Insights Fund — Class R6 | 65,053 | 8,057 | — | — | (12,239 | ) | 60,871 | 7,506 | — | |||||||||||||||||||||||
Goldman Sachs Financial Square Government Fund — Institutional Shares | 51,000 | 107,836 | (89,782 | ) | — | — | 69,054 | 69,054 | 112 | |||||||||||||||||||||||
Goldman Sachs Global Infrastructure Fund — Class R6 | 17,818 | 3,924 | (4,500 | ) | (115 | ) | (1,123 | ) | 16,004 | 1,268 | 205 | |||||||||||||||||||||
Goldman Sachs Global Real Estate Securities Fund — Class R6 | 9,480 | 3,553 | (2,300 | ) | (550 | ) | (2,234 | ) | 7,949 | 809 | 88 | |||||||||||||||||||||
Goldman Sachs High Yield Floating Rate Fund — Class R6 | — | 16,359 | (13,000 | ) | (700 | ) | (199 | ) | 2,460 | 284 | 206 | |||||||||||||||||||||
Goldman Sachs High Yield Fund — Class R6 | 10,039 | 9,154 | (16,928 | ) | (2,411 | ) | 146 | — | — | 337 |
79
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
June 30, 2022
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
Growth Strategy Portfolio (continued) | ||||||||||||||||||||||||||||||||
Underlying Funds | Market Value 12/31/2021 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Market Value 6/30/2022 | Shares as of 6/30/2022 | Dividend Income | ||||||||||||||||||||||||
Goldman Sachs Inflation Protected Securities Fund — Class R6 | $ | 9,429 | $ | — | $ | (9,179 | ) | $ | (265 | ) | 15 | $ | — | — | $ | — | ||||||||||||||||
Goldman Sachs International Equity Insights Fund — Class R6 | 110,571 | 26,563 | — | — | (25,218 | ) | 111,916 | 9,582 | — | |||||||||||||||||||||||
Goldman Sachs International Small Cap Insights Fund — Class R6 | 44,367 | 3,989 | (7,757 | ) | (1,300 | ) | (8,211 | ) | 31,088 | 2,855 | — | |||||||||||||||||||||
Goldman Sachs Large Cap Value Insights Fund — Class R6 | — | 15,792 | — | — | (2,308 | ) | 13,484 | 659 | 78 | |||||||||||||||||||||||
Goldman Sachs Local Emerging Markets Debt Fund — Class R6 | 46 | 1 | (42 | ) | (3 | ) | (2 | ) | — | — | 1 | |||||||||||||||||||||
Goldman Sachs Energy Infrastructure Fund — Class R6 | — | 17,837 | (6,000 | ) | (200 | ) | (353 | ) | 11,284 | 1,131 | 217 | |||||||||||||||||||||
Goldman Sachs Managed Futures Strategy Fund — Class R6 | 13,811 | — | — | — | 2,748 | 16,559 | 1,354 | — | ||||||||||||||||||||||||
Goldman Sachs MarketBeta Emerging Markets Equity ETF | — | 7,516 | — | — | (1,433 | ) | 6,083 | 146 | 143 | |||||||||||||||||||||||
Goldman Sachs MarketBeta International Equity ETF | — | 15,589 | — | — | (3,270 | ) | 12,319 | 275 | 245 | |||||||||||||||||||||||
Goldman Sachs Short Duration Bond Fund — Class R6 | 18,710 | 20,214 | — | — | (1,538 | ) | 37,386 | 3,965 | 214 | |||||||||||||||||||||||
Goldman Sachs Small Cap Equity Insights Fund — Class R6 | — | 4,860 | — | — | (996 | ) | 3,864 | 179 | — | |||||||||||||||||||||||
Goldman Sachs Tactical Tilt Overlay Fund — Class R6 | 26,883 | — | (27,093 | ) | 1,249 | (1,039 | ) | — | — | — | ||||||||||||||||||||||
Total | $ | 940,024 | $ | 407,223 | $ | (439,376 | ) | $ | 28,027 | $ | (188,519 | ) | $ | 747,379 | $ | 5,807 |
Satellite Strategies Portfolio |
| |||||||||||||||||||||||||||||||
Underlying Funds | Market Value 12/31/2021 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Market Value 6/30/2022 | Shares as of 6/30/2022 | Dividend Income | ||||||||||||||||||||||||
Goldman Sachs ActiveBeta Emerging Markets Equity ETF | $ | 3,920 | $ | — | $ | — | $ | — | $ | (769 | ) | $ | 3,151 | 106 | $ | 63 | ||||||||||||||||
Goldman Sachs Emerging Markets Debt Fund — Class R6 | 19,274 | 3,145 | (5,898 | ) | (523 | ) | (3,936 | ) | 12,062 | 1,318 | 388 | |||||||||||||||||||||
Goldman Sachs Emerging Markets Equity Fund — Class R6 | 5,424 | 1,100 | — | — | (1,403 | ) | 5,121 | 234 | — |
80
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
Satellite Strategies Portfolio (continued) |
| |||||||||||||||||||||||||||||||
Underlying Funds | Market Value 12/31/2021 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Market Value 6/30/2022 | Shares as of 6/30/2022 | Dividend Income | ||||||||||||||||||||||||
Goldman Sachs Emerging Markets Equity Insights Fund — Class R6 | $ | 6,782 | $ | — | $ | — | $ | — | $ | (1,124 | ) | $ | 5,658 | 698 | $ | — | ||||||||||||||||
Goldman Sachs Global Infrastructure Fund — Class R6 | 25,635 | 1,015 | (5,411 | ) | 927 | (2,217 | ) | 19,949 | 1,581 | 215 | ||||||||||||||||||||||
Goldman Sachs Global Real Estate Securities Fund — Class R6 | 8,257 | 1,260 | (1,750 | ) | (75 | ) | (1,797 | ) | 5,895 | 600 | 60 | |||||||||||||||||||||
Goldman Sachs High Yield Floating Rate Fund — Class R6 | 6,351 | 1,791 | (3,536 | ) | (133 | ) | (304 | ) | 4,169 | 481 | 120 | |||||||||||||||||||||
Goldman Sachs High Yield Fund — Class R6 | 6,427 | 2,543 | (2,600 | ) | (2,62 | ) | (1,106 | ) | 5,002 | 944 | 187 | |||||||||||||||||||||
Goldman Sachs Inflation Protected Securities Fund — Class R6 | 10,006 | 3,705 | (3,500 | ) | (123 | ) | (778 | ) | 9,310 | 902 | 205 | |||||||||||||||||||||
Goldman Sachs International Small Cap Insights Fund — Class R6 | 26,598 | 1,200 | (1,160 | ) | 20 | (5,644 | ) | 21,014 | 1,930 | — | ||||||||||||||||||||||
Goldman Sachs Local Emerging Markets Debt Fund — Class R6 | 1,178 | 24 | — | — | (178 | ) | 1,024 | 225 | 24 | |||||||||||||||||||||||
Goldman Sachs MLP Energy Infrastructure Fund — Class R6 | 6,113 | 108 | (3,680 | ) | 672 | (205 | ) | 3,008 | 118 | 108 | ||||||||||||||||||||||
Total | $ | 125,965 | $ | 15,891 | $ | (27,535 | ) | $ | 503 | $ | (19,461 | ) | $ | 95,363 | $ | 1,370 |
6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended June 30, 2022, were:
Portfolio | Purchases | Sales | ||||||||
Balanced Strategy | $ | 74,048,689 | $ | 100,419,137 | ||||||
Growth and Income Strategy | 107,978,731 | 168,030,724 | ||||||||
Growth Strategy | 89,595,623 | 119,862,499 | ||||||||
Satellite Strategies | 15,890,779 | 27,535,228 |
81
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
June 30, 2022
7. TAX INFORMATION |
As of the Portfolios’ most recent fiscal year end, December 31, 2021, the Portfolios’ capital loss carryforwards and certain timing differences on a tax basis were as follows:
Balanced Strategy | Growth and Income Strategy | Growth Strategy | Satellite Strategies | |||||||||||||||
Capital loss carryforwards: | ||||||||||||||||||
Perpetual Long-Term | $ | — | $ | — | $ | — | $ | (18,474,678 | ) | |||||||||
Timing differences (Straddle Loss Deferral) | $ | (599 | ) | $ | (1,058 | ) | $ | (947 | ) | $ | — |
As of June 30, 2022, the Portfolios’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Balanced Strategy | Growth and Income Strategy | Growth Strategy | Satellite Strategies | |||||||||||||||
Tax Cost | $ | 541,083,478 | $ | 806,896,808 | $ | 744,416,533 | $ | 89,520,479 | ||||||||||
Gross unrealized gain | 13,677,036 | 50,261,625 | 62,487,044 | 11,177,826 | ||||||||||||||
Gross unrealized loss | (47,094,835 | ) | (63,565,854 | ) | (55,052,482 | ) | (5,335,258 | ) | ||||||||||
Net unrealized gains (losses) on securities | $ | (33,417,799 | ) | $ | (13,304,229 | ) | $ | 4,434,562 | $ | 5,842,568 |
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 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 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.
82
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
8. OTHER RISKS (continued) |
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government regulation; less public information; less stringent investor protections; less stringent accounting, corporate governance, financial reporting and disclosure standards; and less economic, political and social stability in the countries in which a Portfolio or an Underlying Fund invests. The imposition of sanctions, 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. The type and severity of sanctions and other similar measures, including counter sanctions and other retaliatory actions, that may be imposed could vary broadly in scope, and their impact is impossible to predict. For example, the imposition of sanctions and other similar measures could, among other things, cause a decline in the value and/or liquidity of securities issued by the sanctioned country or companies located in or economically tied to the sanctioned country and increase market volatility and disruption in the sanctioned country and throughout the world. Sanctions and other similar measures could limit or prevent a Portfolio or an Underlying Fund from buying and selling securities (in the sanctioned country and other markets), significantly delay or prevent the settlement of securities transactions, and significantly impact a Portfolio or an Underlying Fund’s liquidity and performance. Foreign risk also involves the risk of negative foreign currency exchange 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, or economically tied to, emerging markets, these risks may be more pronounced.
Investments in the Underlying Funds Risk — The investments of the Portfolios may be concentrated in one or more Underlying Funds (including ETFs and other registered investment companies) subject to statutory limitations prescribed by the Act or exemptive relief or regulations thereunder. The Portfolios’ investment performance is directly related to the investment performance of the Underlying Funds it holds. The Portfolios are subject to the risk factors associated with the investments of the Underlying Funds and will be affected by the investment policies and practices of the Underlying Funds in direct proportion to the amount of assets allocated to each. If the Portfolios have a relative concentration of its portfolio in a single Underlying Fund, it may be more susceptible to adverse developments affecting that Underlying Fund, and may be more susceptible to losses because of these developments. A strategy used by the Underlying Funds may fail to produce the intended results.
Large Shareholder Transactions Risk — A Portfolio or an Underlying Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include a Portfolio or an Underlying Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Portfolio or an Underlying Fund. Such large shareholder redemptions, 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 a Portfolio’s or an 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 Portfolio’s or the Underlying Fund’s expense ratio. 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
83
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
June 30, 2022
8. OTHER RISKS (continued) |
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 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 and an Underlying Fund trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). The value of securities in which a Portfolio and/or an Underlying 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 Portfolio and/or an Underlying Fund and their investments. Additionally, a Portfolio and/or an Underlying 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 Portfolio and the Underlying Fund have unsettled or open transactions defaults.
9. INDEMNIFICATIONS |
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Portfolios. Additionally, in the course of business, the Portfolios enter into contracts that contain a variety of indemnification clauses. The Portfolios’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Portfolios that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
10. 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.
84
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
11. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
Balanced Strategy Portfolio | ||||||||||||||||
|
| |||||||||||||||
For the Six Months Ended June 30, 2022 (Unaudited) | For the Fiscal Year Ended December 31, 2021 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares |
| |||||||||||||||
Shares sold | 351,753 | $ | 4,194,385 | 882,441 | $ | 11,568,762 | ||||||||||
Reinvestment of distributions | 42,058 | 480,212 | 479,560 | 6,211,490 | ||||||||||||
Shares redeemed | (662,515 | ) | (7,834,724 | ) | (1,191,360 | ) | (15,594,930 | ) | ||||||||
(268,704 | ) | (3,160,127 | ) | 170,641 | 2,185,322 | |||||||||||
Class C Shares |
| |||||||||||||||
Shares sold | 28,158 | 332,781 | 62,236 | 819,411 | ||||||||||||
Reinvestment of distributions | 683 | 7,566 | 27,446 | 355,496 | ||||||||||||
Shares redeemed | (108,270 | ) | (1,252,233 | ) | (325,028 | ) | (4,238,947 | ) | ||||||||
(79,429 | ) | (911,886 | ) | (235,346 | ) | (3,064,040 | ) | |||||||||
Institutional Shares |
| |||||||||||||||
Shares sold | 4,008,268 | 48,197,845 | 9,610,152 | 126,204,107 | ||||||||||||
Reinvestment of distributions | 224,724 | 2,577,109 | 1,892,322 | 24,498,342 | ||||||||||||
Shares redeemed | (5,428,492 | ) | (64,853,845 | ) | (9,012,460 | ) | (117,833,634 | ) | ||||||||
(1,195,500 | ) | (14,078,891 | ) | 2,490,014 | 32,868,815 | |||||||||||
Service Shares |
| |||||||||||||||
Shares sold | 5 | 57 | 61 | 804 | ||||||||||||
Shares redeemed | — | — | (3,118 | ) | (40,495 | ) | ||||||||||
5 | 57 | (3,057 | ) | (39,691 | ) | |||||||||||
Investor Shares |
| |||||||||||||||
Shares sold | 36,494 | 446,973 | 92,915 | 1,228,623 | ||||||||||||
Reinvestment of distributions | 2,378 | 27,223 | 26,313 | 339,317 | ||||||||||||
Shares redeemed | (173,964 | ) | (2,006,521 | ) | (297,322 | ) | (3,792,091 | ) | ||||||||
(135,092 | ) | (1,532,325 | ) | (178,094 | ) | (2,224,151 | ) | |||||||||
Class R6 Shares |
| |||||||||||||||
Shares sold | 194,908 | 2,223,338 | 7,652 | 100,736 | ||||||||||||
Reinvestment of distributions | 466 | 5,268 | 1,212 | 15,707 | ||||||||||||
Shares redeemed | (78,640 | ) | (881,859 | ) | (101,913 | ) | (1,327,087 | ) | ||||||||
116,734 | 1,346,747 | (93,049 | ) | (1,210,644 | ) | |||||||||||
Class R Shares |
| |||||||||||||||
Shares sold | 38,590 | 459,520 | 81,994 | 1,080,919 | ||||||||||||
Reinvestment of distributions | 3,486 | 39,398 | 46,496 | 599,113 | ||||||||||||
Shares redeemed | (30,036 | ) | (342,413 | ) | (29,032 | ) | (380,994 | ) | ||||||||
12,040 | 156,505 | 99,458 | 1,299,038 | |||||||||||||
Class P Shares |
| |||||||||||||||
Shares sold | 922,765 | 10,990,802 | 1,117,076 | 14,500,761 | ||||||||||||
Reinvestment of distributions | 31,110 | 355,892 | 251,253 | 3,256,498 | ||||||||||||
Shares redeemed | (525,285 | ) | (6,161,122 | ) | (497,659 | ) | (6,581,706 | ) | ||||||||
428,590 | 5,185,572 | 870,670 | 11,175,553 | |||||||||||||
NET INCREASE (DECREASE) | (1,121,356 | ) | $ | (12,994,348 | ) | 3,121,237 | $ | 40,990,202 |
85
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
June 30, 2022
11. SUMMARY OF SHARE TRANSACTIONS (continued) |
Growth and Income Strategy Portfolio | ||||||||||||||||
|
| |||||||||||||||
For the Six Months Ended June 30, 2022 (Unaudited) | For the Fiscal Year Ended December 31, 2021 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares |
| |||||||||||||||
Shares sold | 258,072 | $ | 3,893,776 | 924,031 | $ | 15,131,597 | ||||||||||
Reinvestment of distributions | 81,947 | 1,171,954 | 1,052,123 | 17,367,488 | ||||||||||||
Shares redeemed | (1,070,318 | ) | (16,108,183 | ) | (2,689,504 | ) | (44,400,979) | |||||||||
(730,299 | ) | (11,042,453 | ) | (713,350 | ) | (11,901,894) | ||||||||||
Class C Shares |
| |||||||||||||||
Shares sold | 38,042 | 556,478 | 88,439 | 1,416,143 | ||||||||||||
Reinvestment of distributions | 955 | 12,762 | 37,387 | 599,913 | ||||||||||||
Shares redeemed | (88,201 | ) | (1,262,608 | ) | (377,363 | ) | (5,986,984) | |||||||||
(49,204 | ) | (693,368 | ) | (251,537 | ) | (3,970,928) | ||||||||||
Institutional Shares |
| |||||||||||||||
Shares sold | 1,814,770 | 27,273,915 | 6,433,958 | 107,492,095 | ||||||||||||
Reinvestment of distributions | 175,863 | 2,541,646 | 1,654,960 | 27,399,204 | ||||||||||||
Shares redeemed | (4,210,754 | ) | (60,986,163 | ) | (4,476,473 | ) | (73,927,656) | |||||||||
(2,220,121 | ) | (31,170,602 | ) | 3,612,445 | 60,963,643 | |||||||||||
Service Shares |
| |||||||||||||||
Shares sold | 3,974 | 58,888 | 21,432 | 351,503 | ||||||||||||
Reinvestment of distributions | 99 | 1,399 | 1,259 | 20,718 | ||||||||||||
Shares redeemed | (18,027 | ) | (280,881 | ) | (26,139 | ) | (426,688) | |||||||||
(13,954 | ) | (220,594 | ) | (3,448 | ) | (54,467) | ||||||||||
Investor Shares |
| |||||||||||||||
Shares sold | 62,623 | 948,693 | 114,316 | 1,896,250 | ||||||||||||
Reinvestment of distributions | 3,395 | 48,476 | 35,253 | 578,890 | ||||||||||||
Shares redeemed | (74,121 | ) | (1,121,785 | ) | (117,292 | ) | (1,940,176) | |||||||||
(8,103 | ) | (124,616 | ) | 32,277 | 534,964 | |||||||||||
Class R6 Shares |
| |||||||||||||||
Shares sold | 64,205 | 993,728 | 48,558 | 797,639 | ||||||||||||
Reinvestment of distributions | 717 | 10,357 | 3,537 | 58,551 | ||||||||||||
Shares redeemed | (16,214 | ) | (239,252 | ) | (297,620 | ) | (4,953,119) | |||||||||
48,708 | 764,833 | (245,525 | ) | (4,096,929) | ||||||||||||
Class R Shares |
| |||||||||||||||
Shares sold | 37,989 | 563,657 | 34,402 | 560,370 | ||||||||||||
Reinvestment of distributions | 1,391 | 19,572 | 20,504 | 335,400 | ||||||||||||
Shares redeemed | (24,489 | ) | (353,716 | ) | (52,998 | ) | (875,316) | |||||||||
14,891 | 229,513 | 1,908 | 20,454 | |||||||||||||
Class P Shares |
| |||||||||||||||
Shares sold | 605,599 | 9,118,625 | 1,738,325 | 28,537,604 | ||||||||||||
Reinvestment of distributions | 108,472 | 1,564,815 | 1,028,942 | 17,029,160 | ||||||||||||
Shares redeemed | (755,527 | ) | (11,392,777 | ) | (1,613,715 | ) | (26,698,623) | |||||||||
(41,456 | ) | (709,337 | ) | 1,153,552 | 18,868,141 | |||||||||||
NET INCREASE (DECREASE) | (2,999,538) | $(42,966,624) | 3,586,322 | $ 60,362,984 |
86
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
11. SUMMARY OF SHARE TRANSACTIONS (continued) |
Growth Strategy Portfolio | ||||||||||||||||
|
| |||||||||||||||
For the Six Months Ended June 30, 2022 (Unaudited) | For the Fiscal Year Ended December 31, 2021 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 401,642 | $ | 7,235,822 | 1,215,844 | $ | 23,918,249 | ||||||||||
Reinvestment of distributions | — | — | 1,075,018 | 21,305,550 | ||||||||||||
Shares redeemed | (1,194,522 | ) | (21,480,026 | ) | (2,313,832 | ) | (45,295,447) | |||||||||
(792,880 | ) | (14,244,204 | ) | (22,970 | ) | (71,648) | ||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 54,213 | 1,006,625 | 178,476 | 3,503,010 | ||||||||||||
Reinvestment of distributions | — | — | 47,782 | 968,121 | ||||||||||||
Shares redeemed | (146,057 | ) | (2,647,060 | ) | (500,803 | ) | (9,817,915) | |||||||||
(91,844 | ) | (1,640,435 | ) | (274,545 | ) | (5,346,784) | ||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 1,717,054 | 31,463,977 | 6,151,190 | 117,824,612 | ||||||||||||
Reinvestment of distributions | — | — | 761,391 | 15,081,997 | ||||||||||||
Shares redeemed | (1,739,292 | ) | (31,835,587 | ) | (3,666,804 | ) | (70,356,702) | |||||||||
(22,238 | ) | (371,610 | ) | 3,245,777 | 62,549,907 | |||||||||||
Service Shares | ||||||||||||||||
Shares sold | 8,251 | 141,110 | 12,046 | 235,463 | ||||||||||||
Reinvestment of distributions | — | — | 2,007 | 39,645 | ||||||||||||
Shares redeemed | (7,529 | ) | (137,547 | ) | (9,640 | ) | (189,476) | |||||||||
722 | 3,563 | 4,413 | 85,632 | |||||||||||||
Investor Shares | ||||||||||||||||
Shares sold | 601,938 | 10,762,214 | 397,717 | 7,801,529 | ||||||||||||
Reinvestment of distributions | — | — | 44,692 | 871,358 | ||||||||||||
Shares redeemed | (190,683 | ) | (3,314,283 | ) | (123,241 | ) | (2,397,561) | |||||||||
411,255 | 7,447,931 | 319,168 | 6,275,326 | |||||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 171,975 | 2,992,489 | 78,715 | 1,563,410 | ||||||||||||
Reinvestment of distributions | — | — | 18,814 | 372,814 | ||||||||||||
Shares redeemed | (29,459 | ) | (533,376 | ) | (158,395 | ) | (3,112,316) | |||||||||
142,516 | 2,459,113 | (60,866 | ) | (1,176,092) | ||||||||||||
Class R Shares | ||||||||||||||||
Shares sold | 27,715 | 486,659 | 49,910 | 956,362 | ||||||||||||
Reinvestment of distributions | — | — | 23,958 | 459,935 | ||||||||||||
Shares redeemed | (68,407 | ) | (1,193,741 | ) | (30,109 | ) | (559,716) | |||||||||
(40,692 | ) | (707,082 | ) | 43,759 | 856,581 | |||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 849,855 | 15,496,639 | 2,171,043 | 42,528,603 | ||||||||||||
Reinvestment of distributions | — | — | 873,749 | 17,316,359 | ||||||||||||
Shares redeemed | (362,435 | ) | (6,398,168 | ) | (544,784 | ) | (10,598,265) | |||||||||
487,420 | 9,098,471 | 2,500,008 | 49,246,697 | |||||||||||||
NET INCREASE | 94,259 | $ | 2,045,747 | 5,754,744 | $ | 112,419,619 |
87
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Notes to Financial Statements (continued)
June 30, 2022
11. SUMMARY OF SHARE TRANSACTIONS (continued) |
Satellite Strategies Portfolio | ||||||||||||||||
|
| |||||||||||||||
For the Six Months Ended June 30, 2022 (Unaudited) | For the Fiscal Year Ended December 31, 2021 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 87,421 | $ | 721,374 | 523,296 | $ | 4,647,666 | ||||||||||
Reinvestment of distributions | 43,254 | 342,163 | 157,690 | 1,409,842 | ||||||||||||
Shares redeemed | (432,210 | ) | (3,602,104 | ) | (936,839 | ) | (8,394,866) | |||||||||
(301,535 | ) | (2,538,567 | ) | (255,853 | ) | (2,337,358) | ||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 1,481 | 12,681 | 16,649 | 152,803 | ||||||||||||
Reinvestment of distributions | 1,054 | 8,247 | 5,866 | 52,532 | ||||||||||||
Shares redeemed | (56,098 | ) | (464,534 | ) | (451,497 | ) | (3,988,734) | |||||||||
(53,563 | ) | (443,606 | ) | (428,982 | ) | (3,783,399) | ||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 274,766 | 2,301,441 | 568,524 | 5,060,671 | ||||||||||||
Reinvestment of distributions | 66,227 | 524,811 | 238,157 | 2,121,044 | ||||||||||||
Shares redeemed | (893,523 | ) | (7,428,651 | ) | (5,819,509 | ) | (51,168,764) | |||||||||
(552,530 | ) | (4,602,399 | ) | (5,012,828 | ) | (43,987,049) | ||||||||||
Service Shares | ||||||||||||||||
Shares sold | 163 | 1,359 | 253 | 2,279 | ||||||||||||
Reinvestment of distributions | 87 | 688 | 295 | 2,637 | ||||||||||||
Shares redeemed | (5 | ) | (42 | ) | (165 | ) | (1,493) | |||||||||
245 | 2,005 | 383 | 3,423 | |||||||||||||
Investor Shares | ||||||||||||||||
Shares sold | 25,380 | 206,853 | 233,017 | 2,094,224 | ||||||||||||
Reinvestment of distributions | 17,971 | 142,232 | 65,648 | 584,732 | ||||||||||||
Shares redeemed | (185,654 | ) | (1,547,004 | ) | (779,692 | ) | (6,936,508) | |||||||||
(142,303 | ) | (1,197,919 | ) | (481,027 | ) | (4,257,552) | ||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 168,476 | 1,433,041 | 25,403 | 223,151 | ||||||||||||
Reinvestment of distributions | 2,883 | 22,827 | 3,433 | 30,651 | ||||||||||||
Shares redeemed | (14,792 | ) | (123,047 | ) | (33,260 | ) | (295,954) | |||||||||
156,567 | 1,332,821 | (4,424 | ) | (42,152) | ||||||||||||
Class R Shares | ||||||||||||||||
Shares sold | 1,812 | 15,060 | 5,524 | 49,585 | ||||||||||||
Reinvestment of distributions | 533 | 4,189 | 1,997 | 17,802 | ||||||||||||
Shares redeemed | (3,630 | ) | (30,272 | ) | (30,318 | ) | (268,324) | |||||||||
(1,285 | ) | (11,023 | ) | (22,797 | ) | (200,937) | ||||||||||
Class P Shares | ||||||||||||||||
Shares sold | — | — | 19,473 | 166,886 | ||||||||||||
Reinvestment of distributions | 2,201 | 17,462 | 13,058 | 116,632 | ||||||||||||
Shares redeemed | (167,428 | ) | (1,433,941 | ) | (122,297 | ) | (1,066,225) | |||||||||
(165,227 | ) | (1,416,479 | ) | (89,766 | ) | (782,707) | ||||||||||
NET DECREASE | (1,059,631) | $(8,875,167) | (6,295,294) | $(55,387,731) |
88
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
The Goldman Sachs Balanced Strategy Portfolio, Goldman Sachs Growth and Income Strategy Portfolio, Goldman Sachs Growth Strategy Portfolio, and Goldman Sachs Satellite Strategies Portfolio (the “Portfolios”) are investment portfolios of Goldman Sachs Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Portfolios at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Portfolios.
The Management Agreement was most recently approved for continuation until June 30, 2023 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 14-15, 2022 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held two meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to each Portfolio, such matters included:
(a) | the nature and quality of the advisory, administrative, and other services provided to the Portfolio and the underlying funds in which it invests (the “Underlying Funds”) by the Investment Adviser and its affiliates, including information about: |
(i) | the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams; |
(ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training); |
(iii) | trends in employee headcount; |
(iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
(v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
(b) | information on the investment performance of the Portfolio and the Underlying Funds, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), and a benchmark performance index; and information on general investment outlooks in the markets in which the Underlying Funds invest; |
(c) | information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Portfolio’s peer group and/or benchmark index had high, medium, or low relevance given the Portfolio’s particular investment strategy; |
(d) | the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Portfolio; |
(e) | fee and expense information for the Portfolio, including: |
(i) | the relative management fee and expense levels of the Portfolio as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; |
(ii) | the Portfolio’s expense trends over time; and |
(iii) | to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Portfolio, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
(f) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Portfolio; |
(g) | the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations with respect to the Portfolio and the Underlying Funds; |
89
GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
(h) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Portfolio to the Investment Adviser and its affiliates; |
(i) | whether the Portfolio’s existing management fee schedule, together with the management fee schedules of the Underlying Funds, adequately addressed any economies of scale; |
(j) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Portfolio and/or the Underlying Funds, including the fees received by the Investment Adviser’s affiliates from the Portfolio and/or the Underlying Funds for transfer agency, securities lending, portfolio trading, distribution and other services; |
(k) | a summary of potential benefits derived by the Portfolio and/or the Underlying Funds as a result of their relationship with the Investment Adviser; |
(l) | with respect to the applicable Underlying Funds, information regarding commissions paid by the Underlying Funds that are equity funds and broker oversight, an update on the Investment Adviser’s soft dollars practices, other information regarding portfolio trading, and how the Investment Adviser carries out its duty to seek best execution; |
(m) | portfolio manager ownership of Portfolio shares; the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers; |
(n) | the nature and quality of the services provided to the Portfolio and the Underlying Funds by their unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and |
(o) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Portfolio’s compliance program; and periodic compliance reports. |
The Trustees also received an overview of the Portfolios’ distribution arrangements. They received information regarding the Portfolios’ assets, share purchase and redemption activity, and payment of distribution, service, and shareholder administration fees. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Portfolio shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Portfolio investors, including the availability of comparable funds managed by other advisers.
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Portfolios and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Portfolios. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Portfolios and the Underlying Funds by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the market, regulatory and control environment in which the Portfolios and the Underlying Funds and their service providers operate, including developments associated with the COVID-19 pandemic, geopolitical events, and economic sanctions, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees also considered information regarding the Investment Adviser’s business continuity planning and remote operations capabilities. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Portfolios and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also
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GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Portfolios, the Underlying Funds, and the Investment Adviser and its affiliates.
Investment Performance
The Trustees also considered the investment performance of the Portfolios and the Underlying Funds. In this regard, they compared the investment performance of each Portfolio to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2021, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2022. The information on each Portfolio’s investment performance was provided for the one-, three-, five-, and ten-year periods ending on the applicable dates. The Trustees also reviewed each Portfolio’s investment performance relative to its performance benchmark. As part of this review, they considered the investment performance trends of the Portfolios over time, and reviewed the investment performance of each Portfolio in light of its investment objective and policies and market conditions.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Portfolio performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Underlying Funds’ risk profiles, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management. They noted the efforts of the portfolio management teams of certain Underlying Funds to continue to enhance the investment models used in managing those Underlying Funds.
The Trustees observed that the Balanced Strategy Portfolio’s Institutional Shares had placed in the third quartile of the Portfolio’s peer group for the one-, three-, five-, and ten-year periods, and had outperformed the Portfolio’s benchmark index for the one- and three-year periods and underperformed for the five- and ten-year periods ended March 31, 2022. They noted that the Growth and Income Strategy Portfolio’s Institutional Shares had placed in the top half of the Portfolio’s peer group for the one-, three-, five-, and ten-year periods, and had outperformed the Portfolio’s benchmark index for the one- and three-year periods and underperformed for the five- and ten-year periods ended March 31, 2022. The Trustees considered that the Growth Strategy Portfolio’s Institutional Shares had placed in the top half of the Portfolio’s peer group for the one-, three-, five-, and ten-year periods, and had outperformed the Portfolio’s benchmark index for the one- and three-year periods and underperformed for the five- and ten-year periods ended March 31, 2022. They observed that the Satellite Strategies Portfolio’s Institutional Shares had placed in the top half of the Portfolio’s peer group for the one-year period and in the fourth quartile for the three-, five-, and ten-year periods, and had underperformed the Portfolio’s benchmark index for the one-, three-, five-, and ten-year periods ended March 31, 2022. The Trustees also considered that each of the Portfolios had experienced certain portfolio management changes in early 2022.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by each Portfolio thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Portfolios, which included both advisory and administrative services that were directed to the needs and operations of the Portfolios as registered mutual funds.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Portfolios. The analyses provided a comparison of each Portfolio’s management fee to those of a relevant peer group and category universe; an expense analysis which compared each Portfolio’s overall net and gross expenses to a peer group and a category universe; and data comparing each Portfolio’s net expenses to the peer and category medians. The analyses also compared each Portfolio’s other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Portfolios.
In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations with respect to the Portfolios and the Underlying Funds. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Portfolios, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Portfolios differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.
In addition, the Trustees noted that shareholders are able to redeem their shares at any time if shareholders believe that the Portfolio fees and expenses are too high or if they are dissatisfied with the performance of the Portfolio.
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GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Profitability
The Trustees reviewed each Portfolio’s contribution to the Investment Adviser’s revenues and pre-tax profit margins. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Portfolio and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization periodically audits the expense allocation methodology and that the internal audit group was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology. Profitability data for each Portfolio was provided for 2021 and 2020, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability.
Economies of Scale
The Trustees considered the information that had been provided regarding whether there have been economies of scale with respect to the management of the Portfolios.
The Trustees noted that, although the Portfolios themselves do not have breakpoints in their management fee schedules, any benefits of the breakpoints in the management fee schedules of certain Underlying Funds, when reached, would pass through to the shareholders in the Portfolios at the specified asset levels. The Trustees considered the amounts of assets in the Portfolios; the Portfolios’ recent purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and the profits realized by them; information comparing the fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer groups; and the Investment Adviser’s undertaking to limit certain expenses of the Portfolios and Underlying Funds that exceed specified levels. They also considered the services provided to the Portfolios under the Management Agreement and the fees and expenses borne by the Underlying Funds and considered the Investment Adviser’s finding that the management fees payable by the Portfolios were not duplicative of the management fees paid at the Underlying Fund level.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Portfolios and/or the Underlying Funds as stated above, including: (a) transfer agency fees received by Goldman Sachs & Co. LLC (“Goldman Sachs”); (b) brokerage and futures commissions earned by Goldman Sachs for executing securities and futures transactions on behalf of certain Underlying Funds; (c) research received by the Investment Adviser from broker-dealers in exchange for executing certain transactions on behalf of certain Underlying Funds; (d) trading efficiencies resulting from aggregation of orders of the Underlying Funds with those for other funds or accounts managed by the Investment Adviser; (e) fees earned by Goldman Sachs Agency Lending (“GSAL”), an affiliate of the Investment Adviser, as securities lending agent for certain Underlying Funds (and fees earned by the Investment Adviser for managing the fund in which those Underlying Funds’ cash collateral is invested); (f) the Investment Adviser’s ability to leverage the infrastructure designed to service the Portfolios on behalf of its other clients; (g) the Investment Adviser’s ability to cross-market other products and services to Portfolio shareholders; (h) Goldman Sachs’ retention of certain fees as Portfolio Distributor; (i) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Portfolios and Underlying Funds; (j) 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; (k) the 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 (l) the possibility that the working relationship between the Investment Adviser and the Portfolios’ and Underlying Funds’ third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
Other Benefits to the Portfolios and Their Shareholders
The Trustees also noted that the Portfolios and/or the Underlying Funds receive certain other potential benefits as a result of their relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Underlying Funds with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors due to the volume of business generated by the Investment Adviser and its affiliates; (c) with respect to the Underlying Funds, enhanced servicing from broker-dealers due to the volume of business generated by the Investment Adviser and its affiliates;
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GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
(d) with respect to certain Underlying Funds, the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties as a result of the size and reputation of the Goldman Sachs organization; (e) the advantages received from the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Portfolios and the Underlying Funds because of the reputation of the Goldman Sachs organization; (g) the Portfolios’ and Underlying Funds’ access, through the Investment Adviser, to certain firm-wide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; (h) with respect to certain Underlying Funds, the ability to participate in the securities lending program administered by GSAL, as measured by the revenue received by the Underlying Funds in connection with the program; and (i) the Portfolios’ access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Portfolios’ shareholders invested in the Portfolios in part because of the Portfolios’ relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by each of the Portfolios were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and each Portfolio’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit each Portfolio and its shareholders and that the Management Agreement should be approved and continued with respect to each Portfolio until June 30, 2023.
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GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Liquidity Risk Management Program (Unaudited)
Each Fund has adopted and implemented a liquidity risk management program (the “Program”) in accordance with Rule 22e-4 under the 1940 Act. The Program seeks to assess and manage each Fund’s liquidity risk, i.e., the risk that a Fund is unable to satisfy redemption requests without significantly diluting remaining investors’ interests in the Fund. The Board of Trustees of the Trust has designated GSAM, each Fund’s investment adviser, to administer the Program. Certain aspects of the Program rely on third parties to perform certain functions, including the provision of market data and application of models.
The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Fund’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of a Fund’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under Rule 22e-4); (4) for a Fund that does not invest primarily in “highly liquid investments” (as defined under Rule 22e-4), the determination of a minimum percentage of the Fund’s assets that will generally be invested in highly liquid investments (a “Highly Liquid Investment Minimum”); and (5) periodic reporting to the Board of Trustees.
At a meeting of the Board of Trustees on February 8-9, 2022, GSAM provided a written report to the Board addressing the operation, and the adequacy and effectiveness of the implementation, of the Program, including, as applicable, the operation of any Highly Liquid Investment Minimum and any material changes to the Program, for the period from January 1, 2021 through December 31, 2021 (the “Reporting Period”). Among other things, the annual report discussed: (1) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions; (2) an assessment of the methodologies used to classify investments into one of four liquidity categories; and (3) the impact of local holidays in non-U.S. jurisdictions. The report concluded that the Program continues to be reasonably designed to assess and manage liquidity risk and was adequately and effectively implemented during the Reporting Period.
There can be no assurance that the Program will achieve its objectives under all circumstances in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which it may be subject.
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GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Impact of Russian Invasion of Ukraine (Unaudited)
The Russian invasion of Ukraine has negatively affected the global economy and has resulted in significant disruptions in financial markets and increased macroeconomic uncertainty. In addition, governments around the world have responded to Russia’s invasion by imposing economic sanctions and export controls on certain industry sectors, companies and individuals in or associated with Russia. Russia has imposed its own restrictions against investors and countries outside Russia and has proposed additional measures aimed at non-Russian-owned businesses. Businesses in the U.S. and globally have experienced shortages in materials and increased costs for transportation, energy and raw materials due, in part, to the negative effects of the war on the global economy. The escalation or continuation of the war between Russia and Ukraine or other hostilities presents heightened risks relating to cyber-attacks, the frequency and volume of failures to settle securities transactions, supply chain disruptions, inflation, as well as the potential for increased volatility in commodity, currency and other financial markets. The extent and duration of the war, sanctions and resulting market disruptions, as well as the potential adverse consequences for the Fund’s operations are difficult to predict.
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GOLDMAN SACHS FUND OF FUNDS PORTFOLIOS
Portfolio Expenses — Six Month Period Ended June 30, 2022 (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 January 1, 2022 through June 30, 2022, which represents a period of 181 days of a 365 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the 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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid for the 6 months ended 6/30/22* | Beginning Account Value 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid for the 6 months ended 6/30/22* | Beginning Account Value 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid for the 6 months ended 6/30/22* | Beginning Account Value 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid for the 6 months ended 6/30/22* | ||||||||||||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 866.40 | $ | 2.59 | $ | 1,000.00 | $ | 842.10 | $ | 2.56 | $ | 1,000.00 | $ | 821.10 | $ | 2.53 | $ | 1,000.00 | $ | 852.00 | $ | 2.48 | ||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,022.02 | + | 2.81 | 1,000.00 | 1,022.02 | + | 2.81 | 1,000.00 | 1,022.02 | + | 2.81 | 1,000.00 | 1,022.12 | + | 2.71 | ||||||||||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 862.60 | 6.05 | 1,000.00 | 838.90 | 5.97 | 1,000.00 | 818.30 | 5.91 | 1,000.00 | 849.60 | 5.92 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,018.30 | + | 6.56 | 1,000.00 | 1,018.30 | + | 6.56 | 1,000.00 | 1,018.30 | + | 6.56 | 1,000.00 | 1,018.40 | + | 6.46 | ||||||||||||||||||||||||||||||||
Institutional | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 867.90 | 0.88 | 1,000.00 | 844.10 | 0.87 | 1,000.00 | 823.00 | 0.86 | 1,000.00 | 854.20 | 0.78 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.85 | + | 0.95 | 1,000.00 | 1,023.85 | + | 0.95 | 1,000.00 | 1,023.85 | + | 0.95 | 1,000.00 | 1,023.95 | + | 0.85 | ||||||||||||||||||||||||||||||||
Service | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 866.00 | 3.19 | 1,000.00 | 842.30 | 3.15 | 1,000.00 | 820.60 | 3.11 | 1,000.00 | 852.50 | 3.08 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,021.37 | + | 3.46 | 1,000.00 | 1,021.37 | + | 3.46 | 1,000.00 | 1,021.37 | + | 3.46 | 1,000.00 | 1,021.47 | + | 3.36 | ||||||||||||||||||||||||||||||||
Investor | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 867.50 | 1.44 | 1,000.00 | 843.50 | 1.42 | 1,000.00 | 822.20 | 1.40 | 1,000.00 | 853.70 | 1.33 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.26 | + | 1.56 | 1,000.00 | 1,023.26 | + | 1.56 | 1,000.00 | 1,023.26 | + | 1.56 | 1,000.00 | 1,023.36 | + | 1.45 | ||||||||||||||||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 868.00 | 0.83 | 1,000.00 | 844.20 | 0.82 | 1,000.00 | 822.60 | 0.81 | 1,000.00 | 854.40 | 0.74 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.90 | + | 0.90 | 1,000.00 | 1,023.90 | + | 0.90 | 1,000.00 | 1,023.90 | + | 0.90 | 1,000.00 | 1,024.00 | + | 0.80 | ||||||||||||||||||||||||||||||||
Class R | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 864.70 | 3.74 | 1,000.00 | 841.50 | 3.70 | 1,000.00 | 820.10 | 3.66 | 1,000.00 | 850.50 | 3.62 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,020.78 | + | 4.06 | 1,000.00 | 1,020.78 | + | 4.06 | 1,000.00 | 1,020.78 | + | 4.06 | 1,000.00 | 1,020.88 | + | 3.96 | ||||||||||||||||||||||||||||||||
Class P | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 1,000.00 | 0.89 | 1,000.00 | 844.10 | 0.82 | 1,000.00 | 822.60 | 0.81 | 1,000.00 | 854.40 | 0.74 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,023.90 | + | 0.90 | 1,000.00 | 1,023.90 | + | 0.90 | 1,000.00 | 1,023.90 | + | 0.90 | 1,000.00 | 1,024.00 | + | 0.80 |
* | Expenses for each share class are calculated using each Portfolio’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended June 30, 2022. 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 | 0.56 | % | 1.31 | % | 0.19 | % | 0.69 | % | 0.31 | % | 0.18 | % | 0.81 | % | 0.18 | % | ||||||||||||||||
Growth and Income Strategy | 0.56 | 1.31 | 0.19 | 0.69 | 0.31 | 0.18 | 0.81 | 0.18 | ||||||||||||||||||||||||
Growth Strategy | 0.56 | 1.31 | 0.19 | 0.69 | 0.31 | 0.18 | 0.81 | 0.18 | ||||||||||||||||||||||||
Satellite Strategies | 0.54 | 1.29 | 0.17 | 0.67 | 0.29 | 0.16 | 0.79 | 0.16 |
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 Asset Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $2.27 trillion in assets under supervision as of June 30, 2022, Goldman Sachs Asset Management 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. Goldman Sachs Asset Management 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 |
∎ | Short-Term Conservative Income Fund |
∎ | Short Duration Government Fund |
∎ | Short Duration Bond Fund4 |
∎ | Government Income Fund |
∎ | Inflation Protected Securities Fund |
Multi-Sector
∎ | Bond Fund |
∎ | Core Fixed Income Fund |
∎ | Global Core Fixed Income Fund |
∎ | Strategic Income Fund |
∎ | Income Fund |
Municipal and Tax-Free
∎ | High Yield Municipal Fund |
∎ | Dynamic Municipal Income Fund |
∎ | Short Duration Tax-Free Fund |
∎ | Municipal Income Completion Fund |
Single Sector
∎ | Investment Grade Credit Fund |
∎ | U.S. Mortgages Fund |
∎ | High Yield Fund |
∎ | High Yield Floating Rate Fund |
∎ | Emerging Markets Debt Fund |
∎ | Local Emerging Markets Debt Fund |
Fixed Income Alternatives
∎ | Long Short Credit Strategies Fund |
Fundamental Equity
∎ | Equity Income Fund |
∎ | Small Cap Growth Fund |
∎ | Small Cap Value Fund |
∎ | Small/Mid Cap Value Fund |
∎ | Mid Cap Value Fund |
∎ | Large Cap Value Fund |
∎ | Focused Value Fund |
∎ | Large Cap Core Fund5 |
∎ | Strategic Growth Fund |
∎ | Small/Mid Cap Growth Fund |
∎ | Flexible Cap Fund |
∎ | Concentrated Growth Fund |
∎ | Technology Opportunities Fund |
∎ | Mid Cap Growth Fund6 |
∎ | Rising Dividend Growth Fund |
∎ | U.S. Equity ESG Fund |
∎ | Income Builder Fund |
Tax-Advantaged Equity
∎ | U.S. Tax-Managed Equity Fund |
∎ | International Tax-Managed Equity Fund |
∎ | U.S. Equity Dividend and Premium Fund |
∎ | International Equity Dividend and Premium Fund |
Equity Insights
∎ | Small Cap Equity Insights Fund |
∎ | U.S. Equity Insights Fund |
∎ | Small Cap Growth Insights Fund |
∎ | Large Cap Growth Insights Fund |
∎ | Large Cap Value Insights Fund |
∎ | Small Cap Value Insights Fund |
∎ | International Small Cap Insights Fund |
∎ | International Equity Insights Fund |
∎ | Emerging Markets Equity Insights Fund |
Fundamental Equity International
∎ | International Equity Income Fund |
∎ | International Equity ESG Fund |
∎ | China Equity Fund |
∎ | Emerging Markets Equity Fund |
∎ | ESG Emerging Markets Equity Fund |
Alternative
∎ | Clean Energy Income Fund |
∎ | Defensive Equity Fund |
∎ | Real Estate Securities Fund |
∎ | Commodity Strategy Fund |
∎ | Global Real Estate Securities Fund |
∎ | Absolute Return Tracker Fund |
∎ | Managed Futures Strategy Fund |
∎ | MLP Energy Infrastructure Fund |
∎ | Energy Infrastructure Fund |
∎ | Multi-Manager Alternatives 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 |
∎ | Strategic Volatility Premium 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 July 29, 2021, the Goldman Sachs Short Duration Income Fund was renamed the Goldman Sachs Short Duration Bond Fund. |
5 | Effective after the close of business on April 13, 2022, the Goldman Sachs Capital Growth Fund was renamed the Goldman Sachs Large Cap Core Fund. |
6 | Effective after the close of business on April 13, 2022, the Goldman Sachs Growth Opportunities Fund was renamed the Goldman Sachs Mid Cap Growth 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 John G. Chou Diana M. Daniels Joaquin Delgado Eileen H. Dowling James A. McNamara Gregory G. Weaver Paul C. Wirth
| 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 June 30, 2022 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).
© 2022 Goldman Sachs. All rights reserved. 287751- OUT-08/2022 FFSAR-22
Goldman Sachs Funds
Semi-Annual Report | June 30, 2022 | |||
Alternative Funds I | ||||
Managed Futures Strategy |
Goldman Sachs Alternative Funds I
∎ | MANAGED FUTURES STRATEGY |
1 | ||||
2 | ||||
4 | ||||
10 | ||||
13 | ||||
20 | ||||
40 |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee |
Alternative Funds I
The following are highlights both of key factors affecting the financial markets and of any key changes made to the Goldman Sachs Managed Futures Strategy Fund (the “Fund”) during the six months ended June 30, 2022 (the “Reporting Period”). A fuller review will appear in the Fund’s annual shareholder report covering the 12 months ended December 31, 2022.
Market and Economic Review
• | During the Reporting Period, international developed and emerging markets equities, U.S. equities, and global and U.S. fixed income markets each posted double-digit negative total returns, as measured by the MSCI EAFE Index (net), MSCI Emerging Markets Index (net), S&P 500® Index, Bloomberg Global Aggregate Bond Index and Bloomberg U.S. Aggregate Bond Index, respectively. Commodities, as measured by the 18.44% total return of the Bloomberg Commodity Index, was the only major asset class to move higher during the Reporting Period. |
• | In January 2022, as the Reporting Period began, developed equity markets globally sold off, led by companies and sectors that were highly exposed to duration, as government bond yields rose globally. Emerging markets equities significantly outperformed their developed peers, as emerging market yields were less affected, and many commodity-exposed emerging markets equities benefited from the sustained commodity rally in January. (Duration is a measure of sensitivity to changes in interest rates.) |
• | In February 2022, developed equity markets globally continued their sell-off, as investors sold out of rate-sensitive companies amid expectations of higher future interest rates. Emerging markets equities were also down, led by losses in Russian and Chinese equities. Commodities moved higher for the month, as the Russia/Ukraine war, launched by Russia’s invasion on February 24th, pushed energy higher. |
• | International and U.S. equity markets gained in March 2022. Globally, risk assets recovered even as worries grew over the Russia/Ukraine war and inflation. Yields generally continued to move higher in March. Commodities moved higher for the month, as the Russia/Ukraine war pushed energy and agricultural commodities higher. |
• | Globally, equities declined during April 2022 amidst the ongoing Russia/Ukraine war, persistent supply-chain disruptions and expectations of rising U.S. interest rates. Developed markets equities declined substantially. Emerging markets equities were also down, although they outperformed their developed market counterparts. Developed market government bond yields generally moved higher. The commodity complex also moved higher, as the Russia/Ukraine war continued to push energy and agriculture commodities higher. |
• | In May 2022, global equity markets, both developed and emerging, were largely up modestly, even as they continued to be dominated by worries around rising inflation and interest rates as well as the ongoing conflict in Ukraine. Equity volatility dropped in May 2022. Government bond yields were mixed, with Italy’s and France’s government bond yields up, and U.S. Treasury yields declining. The U.S. dollar depreciated during the month, notably versus the Brazilian real, the Polish zloty, the Chilean peso and the Mexican peso. |
• | In June 2022, global equity markets, both developed and emerging, declined significantly as investors continued to digest interest rate hikes, rising inflation, increased risk of recession as well as the ongoing conflict in Ukraine and the resultant energy crisis. Equity volatility increased. Government bond yields were generally up in developed markets, except in Japan where 10-year yields retreated slightly. The U.S. dollar appreciated during the month, notably versus the Brazilian real, the Chilean peso and the Japanese yen. |
Fund Changes and Highlights
No material changes were made to the Fund during the Reporting Period.
1
Managed Futures Strategy Fund
as of June 30, 2022
PERFORMANCE REVIEW |
| |||||||||||||
January 1, 2022–June 30, 2022 | Fund Total Return (based on NAV)1 | ICE BAML 3-Mo US | ICE BofAML USD LIBOR One-Month Constant Maturity Index3 | |||||||||||
Class A | 19.68 | % | 0.14 | % | 0.16 | % | ||||||||
Class C | 19.33 | 0.14 | 0.16 | |||||||||||
Institutional | 20.02 | 0.14 | 0.16 | |||||||||||
Investor | 19.86 | 0.14 | 0.16 | |||||||||||
Class R6 | 19.90 | 0.14 | 0.16 | |||||||||||
Class R | 19.59 | 0.14 | 0.16 | |||||||||||
Class P | 20.04 | 0.14 | 0.16 |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The ICE BofA 3 Month U.S. Treasury Index measures the performance of a single issue of outstanding treasury bill which matures closest to, but not beyond, three months from the rebalancing date. The issue is purchased at the beginning of the month and held for a full month; at the end of the month that issue is sold and rolled into a newly selected issue. |
3 | 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. |
The comparison to the ICE BofA 3-Month U.S. Treasury Bill Index and the ICE BofAML USD LIBOR One-Month Constant Maturity Index is a means of emphasizing that the Fund has an unconstrained strategy. The Fund’s investment objective is to seek to generate long-term absolute return, and the Fund employs a benchmark agnostic strategy. Benchmark performance may not be comparable to the Fund’s performance. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
2
FUND BASICS
FUND COMPOSITION3 |
3 | 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 Consolidated 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.
3
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Consolidated Schedule of Investments
June 30, 2022 (Unaudited)
Shares | Dividend Rate | Value | ||||||
Investment Company(a) – 80.9% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
330,879,760 | 1.367%(a) | $ | 330,879,760 | |||||
|
| |||||||
TOTAL INVESTMENTS – 80.9% | ||||||||
(Cost $330,879,760) | $ | 330,879,760 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 19.1% | 77,933,280 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 408,813,040 | ||||||
|
|
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. |
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At June 30, 2022, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
Amsterdam Exchange Index | 98 | 07/15/22 | $ | 13,508,413 | $ | 26,719 | ||||||||||
Brent Crude Oil | 12 | 07/29/22 | 1,436,689 | (125,809 | ) | |||||||||||
Coffee “C” | 80 | 09/20/22 | 7,001,334 | (86,334 | ) | |||||||||||
Cotton No. 2 | 69 | 12/07/22 | 4,147,322 | (737,342 | ) | |||||||||||
FTSE/MIB Index | 139 | 09/16/22 | 15,733,865 | (287,535 | ) | |||||||||||
Hard Red Winter Wheat | 29 | 09/14/22 | 1,623,843 | (236,556 | ) | |||||||||||
LME Copper Base Metal | 2 | 08/15/22 | 482,231 | (69,106 | ) | |||||||||||
LME Copper Base Metal | 26 | 07/18/22 | 6,238,455 | (866,855 | ) | |||||||||||
LME Lead Base Metal | 133 | 07/18/22 | 7,605,035 | (1,242,647 | ) | |||||||||||
LME Nickel Base Metal | 19 | 08/15/22 | 2,837,105 | (252,041 | ) | |||||||||||
LME Nickel Base Metal | 14 | 07/18/22 | 2,374,156 | (471,472 | ) | |||||||||||
LME Primary Aluminium | 17 | 08/15/22 | 1,029,827 | 6,535 | ||||||||||||
LME Primary Aluminium | 52 | 07/18/22 | 3,710,985 | (548,735 | ) | |||||||||||
LME Zinc Base Metal | 32 | 08/15/22 | 3,068,349 | (531,749 | ) | |||||||||||
LME Zinc Base Metal | 54 | 07/18/22 | 5,183,004 | (887,641 | ) | |||||||||||
Low Sulphur Gasoil | 12 | 08/11/22 | 1,459,744 | (90,544 | ) | |||||||||||
Natural Gas | 93 | 07/27/22 | 7,409,597 | (2,213,687 | ) | |||||||||||
NY Harbor USLD | 14 | 07/29/22 | 2,439,152 | (173,000 | ) | |||||||||||
OMXS30 Index | 286 | 07/15/22 | 5,263,359 | (33,876 | ) | |||||||||||
RBOB Gasoline | 9 | 07/29/22 | 1,363,240 | (24,553 | ) | |||||||||||
S&P 500 E-Mini Index | 166 | 09/16/22 | 31,751,087 | (298,237 | ) | |||||||||||
S&P/TSX 60 Index | 5 | 09/15/22 | 944,692 | (57,106 | ) | |||||||||||
Sugar No. 11 | 103 | 09/30/22 | 2,265,300 | (131,140 | ) | |||||||||||
TOPIX Index | 66 | 09/08/22 | 8,984,254 | 114,581 | ||||||||||||
TurkDEX ISE 30 | 3,794 | 08/31/22 | 6,709,422 | (434,107 | ) | |||||||||||
Wheat | 12 | 09/14/22 | 612,844 | (78,844 | ) | |||||||||||
Total | $ | (9,731,081 | ) |
4 | 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: | ||||||||||||||||
100 oz Gold | (23 | ) | 08/29/22 | $ | (4,241,131 | ) | $ | 84,111 | ||||||||
CAC 40 10 Euro Index | (75 | ) | 07/15/22 | (4,659,388 | ) | 11,203 | ||||||||||
CBOE Volatality Index | (227 | ) | 07/20/22 | (6,208,113 | ) | (275,529 | ) | |||||||||
Cocoa | (30 | ) | 09/15/22 | (715,502 | ) | 15,602 | ||||||||||
Corn | (22 | ) | 09/14/22 | (737,025 | ) | 40,725 | ||||||||||
E-Mini Dow | (32 | ) | 09/16/22 | (5,132,221 | ) | 207,261 | ||||||||||
EURO STOXX 50 Index | (50 | ) | 09/16/22 | (1,803,935 | ) | 936 | ||||||||||
Feeder Cattle | (47 | ) | 08/25/22 | (4,015,585 | ) | (69,891 | ) | |||||||||
FTSE 100 Index | (76 | ) | 09/16/22 | (6,605,039 | ) | 17,059 | ||||||||||
FTSE China A50 Index | (24 | ) | 07/28/22 | (339,190 | ) | (18,002 | ) | |||||||||
FTSE Taiwan Index Equity Index | (77 | ) | 07/28/22 | (3,997,718 | ) | 92,278 | ||||||||||
FTSE/JSE Top 40 Index | (150 | ) | 09/15/22 | (5,602,572 | ) | 74,366 | ||||||||||
German Stock Index | (11 | ) | 09/16/22 | (3,653,642 | ) | (26,786 | ) | |||||||||
Hang Seng Index | (32 | ) | 07/28/22 | (1,496,121 | ) | (51,312 | ) | |||||||||
HSCEI | (116 | ) | 07/28/22 | (15,711,856 | ) | (360,326 | ) | |||||||||
IBEX 35 Index | (50 | ) | 07/15/22 | (4,208,314 | ) | (4,238 | ) | |||||||||
KOSPI 200 Index | (106 | ) | 09/08/22 | (7,063,543 | ) | 788,569 | ||||||||||
Lean Hogs | (42 | ) | 08/12/22 | (1,764,368 | ) | 49,088 | ||||||||||
Live Cattle | (104 | ) | 08/31/22 | (5,656,860 | ) | 132,380 | ||||||||||
LME Copper Base Metal | (16 | ) | 08/15/22 | (3,770,438 | ) | 465,438 | ||||||||||
LME Copper Base Metal | (26 | ) | 07/18/22 | (5,992,832 | ) | 621,232 | ||||||||||
LME Lead Base Metal | (133 | ) | 07/18/22 | (7,176,090 | ) | 813,703 | ||||||||||
LME Lead Base Metal | (92 | ) | 08/15/22 | (4,592,992 | ) | 191,942 | ||||||||||
LME Nickel Base Metal | (11 | ) | 08/15/22 | (1,498,826 | ) | 2,210 | ||||||||||
LME Nickel Base Metal | (14 | ) | 07/18/22 | (2,349,890 | ) | 447,206 | ||||||||||
LME Primary Aluminium | (52 | ) | 07/18/22 | (3,659,502 | ) | 497,252 | ||||||||||
LME Primary Aluminium | (39 | ) | 08/15/22 | (2,627,130 | ) | 249,592 | ||||||||||
LME Zinc Base Metal | (54 | ) | 07/18/22 | (5,115,396 | ) | 820,034 | ||||||||||
LME Zinc Base Metal | (15 | ) | 08/15/22 | (1,241,429 | ) | 52,398 | ||||||||||
Mini VSTOXX®Index | (949 | ) | 07/20/22 | (2,927,861 | ) | 18,934 | ||||||||||
MSCI EAFE E-Mini Index | (33 | ) | 09/16/22 | (1,655,212 | ) | 757 | ||||||||||
MSCI EAFE E-Mini Index | (322 | ) | 09/16/22 | (29,798,380 | ) | (92,880 | ) | |||||||||
NASDAQ 100 E-Mini Index | (15 | ) | 09/16/22 | (3,690,739 | ) | 231,888 | ||||||||||
Nikkei 225 Index | (13 | ) | 09/08/22 | (2,521,263 | ) | (6,301 | ) | |||||||||
Russell 2000 E-Mini Index | (125 | ) | 09/16/22 | (11,564,450 | ) | 889,450 | ||||||||||
S&P 500 E-Mini Index | (55 | ) | 09/16/22 | (10,651,645 | ) | 230,520 | ||||||||||
SET50 Index | (1,070 | ) | 09/29/22 | (5,733,798 | ) | 46,500 | ||||||||||
Silver | (40 | ) | 09/28/22 | (4,378,736 | ) | 337,736 | ||||||||||
Soybean | (15 | ) | 11/14/22 | (1,099,601 | ) | 4,226 | ||||||||||
SPI 200 Index | (2 | ) | 09/15/22 | (227,079 | ) | 4,094 | ||||||||||
WTI Crude Oil | (5 | ) | 07/20/22 | (539,214 | ) | 9,614 | ||||||||||
Total | $ | 6,543,039 | ||||||||||||||
Total Futures Contracts | $ | (3,188,042 | ) |
The accompanying notes are an integral part of these financial statements. | 5 |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Consolidated Schedule of Investments (continued)
June 30, 2022 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30, 2022, 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 | ||||||||||||||||
Bank of America | GBP | 21,740,000 | USD | 26,404,056 | 9/21/2022 | $ | 100,966 | |||||||||||||
Bank of America | USD | 2,314,354 | EUR | 2,147,000 | 9/21/2022 | 51,475 | ||||||||||||||
Bank of America | USD | 31,111,899 | GBP | 25,320,000 | 9/21/2022 | 242,205 | ||||||||||||||
Bank of America | USD | 6,333,474 | IDR | 94,320,000,000 | 9/21/2022 | 44,405 | ||||||||||||||
Bank of America | USD | 31,764,794 | NZD | 50,460,000 | 9/21/2022 | 278,971 | ||||||||||||||
Bank of New York Company | USD | 31,932,353 | JPY | 4,128,949,000 | 9/21/2022 | 1,328,219 | ||||||||||||||
Bank of New York Company | USD | 14,700,537 | NOK | 139,200,000 | 9/21/2022 | 542,900 | ||||||||||||||
Barclyas Bank PLC | CAD | 15,400,000 | USD | 11,864,400 | 9/21/2022 | 101,272 | ||||||||||||||
Barclyas Bank PLC | CHF | 2,736,000 | USD | 2,786,236 | 9/21/2022 | 96,279 | ||||||||||||||
Barclyas Bank PLC | NOK | 27,700,000 | USD | 2,784,371 | 9/21/2022 | 32,917 | ||||||||||||||
Barclyas Bank PLC | USD | 8,292,288 | CLP | 6,970,000,000 | 9/21/2022 | 822,665 | ||||||||||||||
Barclyas Bank PLC | USD | 1,409,047 | CZK | 33,600,000 | 9/21/2022 | 1,022 | ||||||||||||||
Barclyas Bank PLC | USD | 1,591,323 | INR | 125,000,000 | 9/21/2022 | 19,997 | ||||||||||||||
Barclyas Bank PLC | USD | 585,419 | SEK | 5,849,000 | 9/21/2022 | 11,716 | ||||||||||||||
Barclyas Bank PLC | USD | 5,787,834 | ZAR | 93,520,000 | 9/21/2022 | 86,392 | ||||||||||||||
BNP Paribas Securities | USD | 3,156,407 | COP | 13,112,000,000 | 9/21/2022 | 40,117 | ||||||||||||||
BNP Paribas Securities | USD | 6,425,660 | HUF | 2,404,000,000 | 9/21/2022 | 154,463 | ||||||||||||||
BNP Paribas Securities | USD | 14,998,249 | INR | 1,178,000,000 | 9/21/2022 | 190,077 | ||||||||||||||
Citigroup Global Markets | NZD | 21,320,000 | USD | 13,256,968 | 9/21/2022 | 46,198 | ||||||||||||||
Citigroup Global Markets | USD | 1,886,157 | GBP | 1,503,000 | 9/21/2022 | 53,726 | ||||||||||||||
Citigroup Global Markets | USD | 5,517,732 | IDR | 82,260,000,000 | 9/21/2022 | 32,799 | ||||||||||||||
Citigroup Global Markets | USD | 11,095,473 | NOK | 105,100,000 | 9/21/2022 | 406,050 | ||||||||||||||
Citigroup Global Markets | USD | 2,509,354 | NZD | 3,900,000 | 9/21/2022 | 75,848 | ||||||||||||||
Deutsche Bank Securities | USD | 7,215,077 | BRL | 37,500,000 | 7/5/2022 | 49,631 | ||||||||||||||
Deutsche Bank Securities | CHF | 1,115,000 | USD | 1,165,127 | 9/21/2022 | 9,582 | ||||||||||||||
Deutsche Bank Securities | EUR | 3,297,000 | USD | 3,474,477 | 9/21/2022 | 471 | ||||||||||||||
Deutsche Bank Securities | GBP | 629,000 | USD | 766,776 | 9/21/2022 | 89 | ||||||||||||||
Deutsche Bank Securities | PLN | 2,222,000 | USD | 488,503 | 9/21/2022 | 1,830 | ||||||||||||||
Deutsche Bank Securities | SEK | 250,000 | USD | 24,424 | 9/21/2022 | 97 | ||||||||||||||
Deutsche Bank Securities | USD | 1,412,232 | CAD | 1,797,000 | 9/21/2022 | 15,978 | ||||||||||||||
Deutsche Bank Securities | USD | 20,922,667 | COP | 84,282,000,000 | 9/21/2022 | 891,617 | ||||||||||||||
Deutsche Bank Securities | USD | 316,249 | CZK | 7,376,000 | 9/21/2022 | 7,153 | ||||||||||||||
Deutsche Bank Securities | USD | 15,435,328 | EUR | 14,469,000 | 9/21/2022 | 185,397 | ||||||||||||||
Deutsche Bank Securities | USD | 37,233,631 | GBP | 29,884,000 | 9/21/2022 | 799,589 | ||||||||||||||
Deutsche Bank Securities | USD | 6,707,004 | IDR | 98,100,000,000 | 9/21/2022 | 165,893 | ||||||||||||||
Deutsche Bank Securities | USD | 20,935,405 | KRW | 25,980,000,000 | 9/21/2022 | 740,631 | ||||||||||||||
Deutsche Bank Securities | USD | 11,286,279 | SEK | 110,543,000 | 9/21/2022 | 443,584 | ||||||||||||||
Deutsche Bank Securities | ZAR | 3,267,000 | USD | 197,557 | 9/21/2022 | 1,615 | ||||||||||||||
HSBC Bank PLC | USD | 996,544 | EUR | 931,000 | 9/21/2022 | 15,296 | ||||||||||||||
HSBC Bank PLC | USD | 1,994,808 | SEK | 19,604,600 | 9/21/2022 | 71,876 | ||||||||||||||
JP Morgan & Chase Co. | USD | 21,843,781 | IDR | 325,800,000,000 | 9/21/2022 | 120,089 | ||||||||||||||
JP Morgan & Chase Co. | USD | 4,830,487 | INR | 379,000,000 | 9/21/2022 | 66,228 | ||||||||||||||
Morgan Stanley and Co. | GBP | 975,000 | USD | 1,186,379 | 9/21/2022 | 2,324 | ||||||||||||||
Morgan Stanley and Co. | USD | 43,343,481 | CAD | 54,955,000 | 9/21/2022 | 643,901 | ||||||||||||||
Morgan Stanley and Co. | USD | 5,840,188 | CLP | 5,190,000,000 | 9/21/2022 | 278,159 | ||||||||||||||
Morgan Stanley and Co. | USD | 10,729,206 | CZK | 251,214,000 | 9/21/2022 | 201,956 | ||||||||||||||
Morgan Stanley and Co. | USD | 99,671 | EUR | 94,000 | 9/21/2022 | 597 | ||||||||||||||
Morgan Stanley and Co. | USD | 5,436,200 | GBP | 4,373,000 | 9/21/2022 | 104,716 | ||||||||||||||
Morgan Stanley and Co. | USD | 1,791,113 | INR | 141,000,000 | 9/21/2022 | 18,658 |
6 | 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 and Co. | USD | 7,888,448 | PLN | 34,268,000 | 9/21/2022 | $ | 326,466 | |||||||||||||
Nomura International PLC | USD | 1,760,452 | ZAR | 28,840,000 | 9/21/2022 | 2,223 | ||||||||||||||
RBC Capital Markets | USD | 6,784,870 | ZAR | 106,445,000 | 9/21/2022 | 295,456 | ||||||||||||||
Standard Chartered Bank | NOK | 472,200,000 | USD | 47,845,266 | 9/21/2022 | 180,856 | ||||||||||||||
Standard Chartered Bank | USD | 1,699,789 | KRW | 2,140,000,000 | 9/21/2022 | 36,324 | ||||||||||||||
State Street Global Markets | CHF | 1,000 | USD | 1,047 | 9/21/2022 | 7 | ||||||||||||||
State Street Global Markets | USD | 13,309,595 | EUR | 12,559,000 | 9/21/2022 | 72,752 | ||||||||||||||
UBS Financial Services | CHF | 84,000 | USD | 87,667 | 9/21/2022 | 831 | ||||||||||||||
UBS Financial Services | USD | 15,022,903 | AUD | 20,953,000 | 9/21/2022 | 550,398 | ||||||||||||||
UBS Financial Services | USD | 50,000,114 | JPY | 6,582,000,000 | 9/21/2022 | 1,213,751 | ||||||||||||||
TOTAL | $ | 12,276,700 |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||||||
Bank of America | BRL | 7,000,000 | USD | 1,359,646 | 7/5/2022 | $ | (22,096 | ) | ||||||||||||
Bank of America | AUD | 35,840,000 | USD | 24,845,999 | 9/21/2022 | (90,853 | ) | |||||||||||||
Bank of America | USD | 6,743,008 | AUD | 9,800,000 | 9/21/2022 | (25,978 | ) | |||||||||||||
Bank of America | CAD | 23,360,000 | USD | 18,598,933 | 9/21/2022 | (448,407 | ) | |||||||||||||
Bank of America | GBP | 17,180,000 | USD | 21,558,753 | 9/21/2022 | (613,202 | ) | |||||||||||||
Bank of America | JPY | 744,000,000 | USD | 5,562,475 | 9/21/2022 | (47,882 | ) | |||||||||||||
Bank of New York Company | JPY | 56,276,000 | USD | 435,226 | 9/21/2022 | (18,103 | ) | |||||||||||||
Barclays Capital Inc. | BRL | 30,500,000 | USD | 6,250,769 | 7/5/2022 | (422,873 | ) | |||||||||||||
Barclyas Bank PLC | USD | 22,768,870 | CAD | 29,340,000 | 9/21/2022 | (28,067 | ) | |||||||||||||
Barclyas Bank PLC | USD | 1,909,427 | CHF | 1,875,000 | 9/21/2022 | (65,981 | ) | |||||||||||||
Barclyas Bank PLC | CZK | 33,600,000 | USD | 1,414,194 | 9/21/2022 | (6,169 | ) | |||||||||||||
Barclyas Bank PLC | USD | 26,215,463 | EUR | 24,960,000 | 9/21/2022 | (91,694 | ) | |||||||||||||
Barclyas Bank PLC | GBP | 12,490,000 | USD | 15,454,131 | 9/21/2022 | (226,544 | ) | |||||||||||||
Barclyas Bank PLC | USD | 13,228,421 | NOK | 131,400,000 | 9/21/2022 | (135,903 | ) | |||||||||||||
Barclyas Bank PLC | SEK | 31,016,000 | USD | 3,104,354 | 9/21/2022 | (62,125 | ) | |||||||||||||
BMO Capital Markets Corp. | SEK | 2,778,000 | USD | 285,138 | 9/21/2022 | (12,655 | ) | |||||||||||||
BNP Paribas Securities | COP | 66,396,000,000 | USD | 17,068,362 | 9/21/2022 | (1,288,223 | ) | |||||||||||||
BNP Paribas Securities | HUF | 44,498,000 | USD | 118,939 | 9/21/2022 | (2,859 | ) | |||||||||||||
BNP Paribas Securities | MXN | 245,829,000 | USD | 12,247,391 | 9/21/2022 | (202,928 | ) | |||||||||||||
BNP Paribas Securities | USD | 1,350,135 | MXN | 28,250,000 | 9/21/2022 | (33,982 | ) | |||||||||||||
Citigroup Global Markets | AUD | 3,080,000 | USD | 2,216,864 | 9/21/2022 | (89,468 | ) | |||||||||||||
Citigroup Global Markets | USD | 1,406,002 | HUF | 540,000,000 | 9/21/2022 | (2,670 | ) | |||||||||||||
Citigroup Global Markets | USD | 36,765,591 | JPY | 4,994,000,000 | 9/21/2022 | (250,376 | ) | |||||||||||||
Citigroup Global Markets | PLN | 8,640,000 | USD | 1,990,621 | 9/21/2022 | (84,016 | ) | |||||||||||||
Citigroup Global Markets | ZAR | 87,500,000 | USD | 5,685,410 | 9/21/2022 | (350,977 | ) | |||||||||||||
Deutsche Bank Securities | BRL | 37,500,000 | USD | 7,158,264 | 8/2/2022 | (56,234 | ) | |||||||||||||
Deutsche Bank Securities | CAD | 5,678,000 | USD | 4,456,593 | 9/21/2022 | (44,834 | ) | |||||||||||||
Deutsche Bank Securities | USD | 3,100 | CAD | 4,000 | 9/21/2022 | (8 | ) | |||||||||||||
Deutsche Bank Securities | EUR | 13,966,000 | USD | 14,879,515 | 9/21/2022 | (159,733 | ) | |||||||||||||
Deutsche Bank Securities | USD | 1,697,655 | EUR | 1,611,000 | 9/21/2022 | (295 | ) | |||||||||||||
Deutsche Bank Securities | GBP | 4,776,750 | USD | 5,935,128 | 9/21/2022 | (111,399 | ) | |||||||||||||
Deutsche Bank Securities | USD | 316,950 | GBP | 260,000 | 9/21/2022 | (37 | ) | |||||||||||||
Deutsche Bank Securities | USD | 194,827 | MXN | 4,080,000 | 9/21/2022 | (5,074 | ) | |||||||||||||
Deutsche Bank Securities | SEK | 119,687,000 | USD | 11,887,304 | 9/21/2022 | (147,712 | ) | |||||||||||||
HSBC Bank PLC | EUR | 14,027,000 | USD | 15,014,532 | 9/21/2022 | (230,457 | ) | |||||||||||||
HSBC Bank PLC | NZD | 8,900,000 | USD | 5,746,670 | 9/21/2022 | (193,285 | ) | |||||||||||||
HSBC Bank PLC | SEK | 189,300,000 | USD | 19,261,665 | 9/21/2022 | (694,029 | ) |
The accompanying notes are an integral part of these financial statements. | 7 |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Consolidated Schedule of Investments (continued)
June 30, 2022 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||||||
JP Morgan & Chase Co. | USD | 2,932,750 | BRL | 15,560,000 | 8/2/2022 | $ | (14,119 | ) | ||||||||||||
JP Morgan & Chase Co. | IDR | 329,400,000,000 | USD | 22,625,180 | 9/21/2022 | (661,447 | ) | |||||||||||||
Morgan Stanley and Co. | CLP | 4,720,000,000 | USD | 5,597,524 | 9/21/2022 | (539,185 | ) | |||||||||||||
Morgan Stanley and Co. | CZK | 7,800,000 | USD | 328,575 | 9/21/2022 | (1,712 | ) | |||||||||||||
Morgan Stanley and Co. | EUR | 52,000 | USD | 55,137 | 9/21/2022 | (330 | ) | |||||||||||||
Morgan Stanley and Co. | GBP | 5,665,000 | USD | 7,027,824 | 9/21/2022 | (121,157 | ) | |||||||||||||
Morgan Stanley and Co. | MXN | 2,294,000 | USD | 113,230 | 9/21/2022 | (835 | ) | |||||||||||||
Natwest Markets Securities | AUD | 1,327,000 | USD | 945,514 | 9/21/2022 | �� | (28,938 | ) | ||||||||||||
Standard Chartered Bank | JPY | 6,560,000,000 | USD | 48,931,744 | 9/21/2022 | (308,447 | ) | |||||||||||||
State Street Global Markets | EUR | 16,500,000 | USD | 17,514,536 | 9/21/2022 | (123,987 | ) | |||||||||||||
UBS Financial Services | USD | 15,723,865 | CAD | 20,360,000 | 9/21/2022 | (95,686 | ) | |||||||||||||
UBS Financial Services | USD | 949,731 | CHF | 910,000 | 9/21/2022 | (9,000 | ) | |||||||||||||
UBS Financial Services | KRW | 2,060,000,000 | USD | 1,660,839 | 9/21/2022 | (59,560 | ) | |||||||||||||
UBS Financial Services | USD | 3,626,901 | PLN | 16,440,000 | 9/21/2022 | (943 | ) | |||||||||||||
TOTAL | $ | (8,232,474 | ) |
SWAP CONTRACTS — At June 30, 2022, the Fund had the following swap contracts:
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
Payments Made by the Fund(a) | Payments Received by the Fund | Termination Date | Notional Amounts (000’s) | Value | Upfront Premium Paid | Unrealized Appreciation | ||||||||||||||||||||
1 Day ESTRON(b) | 0.000 | 09/21/2023 | EUR | 127,570 | $ | 1,413,099 | $ | 1,697,749 | $ | (284,650 | ) | |||||||||||||||
1 Day SOFR(b) | 0.000 | 09/21/2023 | CHF | 171,480 | 1,330,149 | 1,120,882 | 209,267 | |||||||||||||||||||
1 Day SOFR(b) | 0.000 | 09/21/2023 | USD | 855,800 | 2,419,175 | 3,920,955 | (1,501,780 | ) | ||||||||||||||||||
1 Day SONIO(b) | 0.000 | 09/21/2023 | GBP | 25,220 | 100,544 | 90,859 | 9,685 | |||||||||||||||||||
3 Month BA(c) | 3.000 | 09/21/2023 | CAD | 202,070 | 1,033,646 | 1,108,682 | (75,036 | ) | ||||||||||||||||||
3 Month BBR(d) | 2.500 | 09/21/2023 | AUD | 220,020 | 1,505,096 | (936,000 | ) | 2,441,096 | ||||||||||||||||||
3 Month STIBOR(b) | 1.500 | 09/21/2023 | SEK | 842,430 | 772,996 | 465,189 | 307,807 | |||||||||||||||||||
0.00(b) | 1 Day ESTRON | 09/21/2024 | EUR | 200,130 | 590,778 | (343,820 | ) | 934,598 | ||||||||||||||||||
1 Day SONIO(b) | 0.000 | 09/21/2024 | GBP | 135,290 | (647,638 | ) | 457,032 | (1,104,670 | ) | |||||||||||||||||
OIS SOFR(b) | 3.500 | 09/21/2024 | USD | 6,410 | (53,091 | ) | (29,755 | ) | (23,336 | ) | ||||||||||||||||
1 Month TIIE(e) | 0.000 | 09/21/2027 | MXN | 444,860 | 674,852 | (1,084,069 | ) | 1,758,921 | ||||||||||||||||||
3 Month JIBAR(d) | 7.500 | 09/21/2027 | ZAR | 372,020 | 842,867 | (54,824 | ) | 897,691 | ||||||||||||||||||
6 Month BUBOR(b) | 6.000 | 09/21/2027 | HUF | 5,964,770 | 1,502,051 | (1,920,888 | ) | 3,422,939 | ||||||||||||||||||
6 Month PRIBOR(b) | 4.000 | 09/21/2027 | CZK | 467,200 | 1,140,571 | (2,103,957 | ) | 3,244,528 | ||||||||||||||||||
6 Month WIBOR(b) | 4.500 | 09/21/2027 | PLN | 61,810 | 1,320,024 | (1,883,703 | ) | 3,203,727 | ||||||||||||||||||
1 Day ESTRON(b) | 0.000 | 09/21/2032 | EUR | 125,530 | (410,723 | ) | (651,858 | ) | 241,135 | |||||||||||||||||
1 Day SOFR(b) | 0.000 | 09/21/2032 | CHF | 15,370 | (60,305 | ) | (86,359 | ) | 26,054 | |||||||||||||||||
1 Day SONIO(b) | 0.000 | 09/21/2032 | GBP | 65,910 | (2,830,040 | ) | (2,105,375 | ) | (724,665 | ) | ||||||||||||||||
3 Month BA(c) | 3.750 | 09/21/2032 | CAD | 18,890 | (60,685 | ) | (21,255 | ) | (39,430 | ) | ||||||||||||||||
3 Month STIBOR(b) | 2.750 | 09/21/2032 | SEK | 164,560 | 106,526 | 97,431 | 9,095 | |||||||||||||||||||
OIS SOFR(b) | 3.250 | 09/21/2032 | USD | 48,150 | (1,801,162 | ) | (1,747,033 | ) | (54,129 | ) | ||||||||||||||||
0.00(b) | 1 Day ESTRON | 09/21/2052 | EUR | 27,490 | 516,104 | (242,455 | ) | 758,559 | ||||||||||||||||||
0.00(b) | 1 Day SONIO | 09/21/2052 | GBP | 33,320 | 2,913,328 | 2,176,115 | 737,213 | |||||||||||||||||||
3.000(b) | OIS SOFR | 09/21/2052 | USD | 14,020 | 1,003,807 | 431,189 | 572,618 | |||||||||||||||||||
TOTAL | $ | 13,321,969 | $ | (1,645,268 | ) | $ | 14,967,237 |
(a) | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to June 30, 2022. |
(b) | Payments made annually. |
(c) | Payments made semi-annually. |
(d) | Payments made quarterly. |
(e) | Payments made monthly. |
8 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
| ||
Investment Abbreviations: | ||
BA | — Banker Acceptance Rate | |
BUBOR | — Budapest Interbank Offered Rate | |
ESTRON | — Euro Short-Term Rate | |
JIBAR | — Johannesburg Interbank Agreed Rate | |
PRIBOR | — Prague Interbank Offered Rate | |
SOFR | — Secured Overnight Financing Rate | |
SONIO | — Sterling Overnight Index Average | |
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 | |
SEK | — Swedish Krona | |
USD | — United States Dollar | |
ZAR | — South African Rand | |
|
The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Consolidated Statement of Assets and Liabilities(a)
June 30, 2022 (Unaudited)
| ||||||
Assets: | ||||||
Investments in affiliated issuers, at value (cost $330,879,760) | $ | 330,879,760 | ||||
Cash | 23,862,181 | |||||
Foreign currency, at value (cost $12,409,277) | 12,484,707 | |||||
Receivables: | ||||||
Collateral on certain derivative contracts(b) | 42,477,478 | |||||
Investments sold | 12,009,864 | |||||
Fund shares sold | 5,493,491 | |||||
Dividends | 267,325 | |||||
Reimbursement from investment adviser | 146,450 | |||||
Unrealized gain on forward foreign currency exchange contracts | 12,276,700 | |||||
Variation margin on futures contracts | 1,073,151 | |||||
Other assets | 84,682 | |||||
Total assets | 441,055,789 | |||||
Liabilities: | ||||||
Variation margin on futures contracts | 1,820,229 | |||||
Variation margin on swaps | 4,805,873 | |||||
Unrealized loss on forward foreign currency exchange contracts | 8,232,474 | |||||
Payables: | ||||||
Investments purchased | 15,037,702 | |||||
Fund shares redeemed | 1,545,467 | |||||
Management fees | 429,962 | |||||
Distribution and Service fees and Transfer Agency fees | 43,207 | |||||
Accrued expenses | 327,835 | |||||
Total liabilities | 32,242,749 | |||||
Net Assets: | ||||||
Paid-in capital | 332,874,871 | |||||
Total distributable earnings | 75,938,169 | |||||
NET ASSETS | $ | 408,813,040 | ||||
Net Assets: | ||||||
Class A | $ | 22,991,413 | ||||
Class C | 5,164,751 | |||||
Institutional | 101,775,553 | |||||
Investor | 196,135,502 | |||||
Class R6 | 82,037,282 | |||||
Class R | 695,064 | |||||
Class P | 13,475 | |||||
Total Net Assets | $ | 408,813,040 | ||||
Shares outstanding $0.001 par value (unlimited number of shares authorized): | ||||||
Class A | 1,950,980 | |||||
Class C | 470,438 | |||||
Institutional | 8,335,162 | |||||
Investor | 16,268,231 | |||||
Class R6 | 6,715,539 | |||||
Class R | 60,315 | |||||
Class P | 1,105 | |||||
Net asset value, offering and redemption price per share:(c) | ||||||
Class A | $11.78 | |||||
Class C | 10.98 | |||||
Institutional | 12.21 | |||||
Investor | 12.06 | |||||
Class R6 | 12.22 | |||||
Class R | 11.52 | |||||
Class P | 12.20 |
(a) | Statement of Asset and Liabilities for the Managed Futures Strategy Fund is consolidated and includes the balances of Cayman Commodity-MFS, LLC. (wholly-owned subsidiary). Accordingly, all interfund balances and transactions have been eliminated. |
(b) | Segregated for initial margin and/or collateral as follows: |
Fund | Futures | Swaps | Forwards | |||||||||
Managed Futures Strategy Fund | $ | 19,935,860 | $ | 17,671,618 | $ | 4,870,000 |
(c) | Maximum public offering price per share for Class A Shares of the Managed Futures Strategy Fund 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. |
10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Consolidated Statement of Operations(a)
For the Six Months Ended June 30, 2022 (Unaudited)
| ||||||
Investment income: |
| |||||
Dividends — affiliated issuers | $ | 541,722 | ||||
Total investment income | 541,722 | |||||
Expenses: | ||||||
Management fees | 1,777,100 | |||||
Custody, accounting and administrative services | 861,021 | |||||
Transfer Agency fees(b) | 178,035 | |||||
Professional fees | 87,187 | |||||
Registration fees | 65,080 | |||||
Distribution and/or Service (12b-1) fees(b) | 42,558 | |||||
Printing and mailing costs | 35,156 | |||||
Trustee fees | 10,544 | |||||
Service fees — Class C | 5,588 | |||||
Other | 567 | |||||
Total expenses | 3,062,836 | |||||
Less — expense reductions | (350,190 | ) | ||||
Net expenses | 2,712,646 | |||||
NET INVESTMENT LOSS | (2,170,924 | ) | ||||
Realized and unrealized gain (loss): | ||||||
Net realized gain (loss) from: | ||||||
Futures contracts | (219,005 | ) | ||||
Swap contracts | 57,986,231 | |||||
Forward foreign currency exchange contracts | (1,564,357 | ) | ||||
Foreign currency transactions | 2,194,015 | |||||
Net change in unrealized gain (loss) on: | ||||||
Futures contracts | (6,805,935 | ) | ||||
Swap contracts | 5,506,297 | |||||
Forward foreign currency exchange contracts | 4,474,587 | |||||
Foreign currency translations | (2,235,011 | ) | ||||
Net realized and unrealized gain | 59,336,822 | |||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 57,165,898 |
(a) | Statement of Operations for the Managed Futures Strategy Fund is consolidated and includes the balances of Cayman Commodity-MFS, LLC. (wholly-owned subsidiary). Accordingly, all interfund balances and transactions have been eliminated. |
(b) | Class specific Distribution and/or Service and Transfer Agency fees were as follows: |
Distribution and/or Service (12b-1) Fees | Transfer Agency Fees | |||||||||||||||||||||||||||||||||||||
Class A | Class C | Class R | Class A | Class C | Institutional | Investor | Class R6 | Class R | Class P | |||||||||||||||||||||||||||||
$ | 24,520 | $ | 16,765 | $ | 1,273 | $ | 15,693 | $ | 3,576 | $ | 14,397 | $ | 133,888 | $ | 10,072 | $ | 407 | $ | 2 |
The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Consolidated Statements of Changes in Net Assets(a)
For the Six Months Ended June 30, 2022 (Unaudited) | For the Fiscal Year Ended December 31, 2021 | |||||||||
From operations: |
| |||||||||
Net investment loss | $ | (2,170,924 | ) | $ | (4,101,188 | ) | ||||
Net realized gain | 58,396,884 | 14,035,416 | ||||||||
Net change in unrealized gain | 939,938 | 2,783,198 | ||||||||
Net increase in net assets resulting from operations | 57,165,898 | 12,717,426 | ||||||||
Distributions to shareholders: | ||||||||||
From distributable earnings: | ||||||||||
Class A Shares | — | (1,210,096 | ) | |||||||
Class C Shares | — | (266,704 | ) | |||||||
Institutional Shares | — | (4,043,423 | ) | |||||||
Investor Shares | — | (9,944,849 | ) | |||||||
Class R6 Shares | — | (4,018,251 | ) | |||||||
Class R Shares | — | (30,205 | ) | |||||||
Class P Shares | — | (778 | ) | |||||||
Total distributions to shareholders | — | (19,514,306 | ) | |||||||
From share transactions: | ||||||||||
Proceeds from sales of shares | 160,570,846 | 88,484,718 | ||||||||
Reinvestment of distributions | — | 19,398,048 | ||||||||
Cost of shares redeemed | (85,599,579 | ) | (94,537,306 | ) | ||||||
Net increase in net assets resulting from share transactions | 74,971,267 | 13,345,460 | ||||||||
TOTAL INCREASE | 132,137,165 | 6,548,580 | ||||||||
Net Assets: | ||||||||||
Beginning of period | $ | 276,675,875 | $ | 270,127,295 | ||||||
End of period | $ | 408,813,040 | $ | 276,675,875 |
(a) | Statements of Changes in Net Assets for the Managed Futures Strategy Fund are consolidated and include the balances of Cayman Commodity-MFS, LLC. (wholly-owned subsidiary). Accordingly, all interfund balances and transactions have been eliminated. |
12 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Consolidated Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Managed Futures Strategy Fund | ||||||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.85 | $ | 10.12 | $ | 9.61 | $ | 10.03 | $ | 10.30 | $ | 10.12 | ||||||||||||||
Net investment income (loss)(a) | (0.09 | ) | (0.19 | ) | (0.12 | ) | 0.01 | (0.02 | ) | (0.10 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | 2.02 | 0.64 | 0.76 | 0.23 | (0.23 | ) | 0.33 | |||||||||||||||||||
Total from investment operations | 1.93 | 0.45 | 0.64 | 0.24 | (0.25 | ) | 0.23 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | (0.03 | ) | — | (0.59 | ) | — | — | ||||||||||||||||||
Distributions to shareholders from net realized gains | — | (0.69 | ) | (0.13 | ) | (0.07 | ) | (0.02 | ) | (0.05 | ) | |||||||||||||||
Total distributions | — | (0.72 | ) | (0.13 | ) | (0.66 | ) | (0.02 | ) | (0.05 | ) | |||||||||||||||
Net asset value, end of period | $ | 11.78 | $ | 9.85 | $ | 10.12 | $ | 9.61 | $ | 10.03 | $ | 10.30 | ||||||||||||||
Total Return(b) | 19.68 | % | 4.64 | % | 6.62 | % | 2.28 | % | (2.37 | )% | 2.29 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 22,991 | $ | 16,922 | $ | 11,964 | $ | 7,712 | $ | 8,622 | $ | 7,711 | ||||||||||||||
Ratio of net expenses to average net assets | 1.91 | %(c) | 1.83 | % | 1.48 | % | 1.49 | % | 1.47 | % | 1.55 | % | ||||||||||||||
Ratio of total expenses to average net assets | 2.04 | %(c) | 1.89 | % | 1.63 | % | 1.64 | % | 1.62 | % | 1.75 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (1.58 | )%(c) | (1.79 | )% | (1.21 | )% | 0.06 | % | (0.19 | )% | (1.02 | )% | ||||||||||||||
Portfolio turnover rate(d) | — | % | — | % | — | % | — | % | — | % | — | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. | 13 |
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 C Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.21 | $ | 9.52 | $ | 9.11 | $ | 9.56 | $ | 9.88 | $ | 9.79 | ||||||||||||||
Net investment loss(a) | (0.12 | ) | (0.25 | ) | (0.18 | ) | (0.07 | ) | (0.09 | ) | (0.17 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | 1.89 | 0.59 | 0.72 | 0.21 | (0.21 | ) | 0.31 | |||||||||||||||||||
Total from investment operations | 1.77 | 0.34 | 0.54 | 0.14 | (0.30 | ) | 0.14 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | — | — | (0.52 | ) | — | — | |||||||||||||||||||
Distributions to shareholders from net realized gains | — | (0.65 | ) | (0.13 | ) | (0.07 | ) | (0.02 | ) | (0.05 | ) | |||||||||||||||
Total distributions | — | (0.65 | ) | (0.13 | ) | (0.59 | ) | (0.02 | ) | (0.05 | ) | |||||||||||||||
Net asset value, end of period | $ | 10.98 | $ | 9.21 | $ | 9.52 | $ | 9.11 | $ | 9.56 | $ | 9.88 | ||||||||||||||
Total Return(b) | 19.33 | % | 3.71 | % | 5.88 | % | 1.51 | % | (3.08 | )% | (1.44 | )% | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 5,165 | $ | 3,890 | $ | 3,335 | $ | 3,279 | $ | 3,281 | $ | 3,480 | ||||||||||||||
Ratio of net expenses to average net assets | 2.66 | %(c) | 2.58 | % | 2.22 | % | 2.24 | % | 2.22 | % | 2.29 | % | ||||||||||||||
Ratio of total expenses to average net assets | 2.79 | %(c) | 2.64 | % | 2.37 | % | 2.39 | % | 2.37 | % | 2.48 | % | ||||||||||||||
Ratio of net investment loss to average net assets | (2.33 | )%(c) | (2.54 | )% | (1.92 | )% | (0.69 | )% | (0.95 | )% | (1.72 | )% | ||||||||||||||
Portfolio turnover rate(d) | — | % | — | % | — | % | — | % | — | % | — | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
14 | 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 | ||||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.19 | $ | 10.43 | $ | 9.87 | $ | 10.28 | $ | 10.52 | $ | 10.29 | ||||||||||||||
Net investment income (loss)(a) | (0.05 | ) | (0.15 | ) | (0.07 | ) | 0.04 | 0.02 | (0.06 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | 2.07 | 0.66 | 0.76 | 0.25 | (0.24 | ) | 0.34 | |||||||||||||||||||
Total from investment operations | 2.02 | 0.51 | 0.69 | 0.29 | (0.22 | ) | 0.28 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | (0.06 | ) | — | (0.63 | ) | — | — | ||||||||||||||||||
Distributions to shareholders from net realized gains | — | (0.69 | ) | (0.13 | ) | (0.07 | ) | (0.02 | ) | (0.05 | ) | |||||||||||||||
Total distributions | — | (0.75 | ) | (0.13 | ) | (0.70 | ) | (0.02 | ) | (0.05 | ) | |||||||||||||||
Net asset value, end of period | $ | 12.21 | $ | 10.19 | $ | 10.43 | $ | 9.87 | $ | 10.28 | $ | 10.52 | ||||||||||||||
Total Return(b) | 20.02 | % | 4.99 | % | 6.95 | % | 2.82 | % | (2.13 | )% | 2.73 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 101,776 | $ | 51,494 | $ | 49,052 | $ | 90,623 | $ | 83,425 | $ | 163,971 | ||||||||||||||
Ratio of net expenses to average net assets | 1.54 | %(c) | 1.46 | % | 1.07 | % | 1.11 | % | 1.07 | % | 1.14 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.67 | %(c) | 1.52 | % | 1.24 | % | 1.26 | % | 1.22 | % | 1.33 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.64 | )%(c) | (1.42 | )% | (0.74 | )% | 0.42 | % | 0.16 | % | (0.54 | )% | ||||||||||||||
Portfolio turnover rate(d) | — | % | — | % | — | % | — | % | — | % | — | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. | 15 |
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 | ||||||||||||||||||||||||||
Investor Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.06 | $ | 10.32 | $ | 9.77 | $ | 10.19 | $ | 10.44 | $ | 10.23 | ||||||||||||||
Net investment income (loss)(a) | (0.07 | ) | (0.16 | ) | (0.10 | ) | 0.03 | 0.01 | (0.06 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | 2.07 | 0.64 | 0.78 | 0.23 | (0.24 | ) | 0.32 | |||||||||||||||||||
Total from investment operations | 2.00 | 0.48 | 0.68 | 0.26 | (0.23 | ) | 0.26 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | (0.05 | ) | — | (0.61 | ) | — | — | ||||||||||||||||||
Distributions to shareholders from net realized gains | — | (0.69 | ) | (0.13 | ) | (0.07 | ) | (0.02 | ) | (0.05 | ) | |||||||||||||||
Total distributions | — | (0.74 | ) | (0.13 | ) | (0.68 | ) | (0.02 | ) | (0.05 | ) | |||||||||||||||
Net asset value, end of period | $ | 12.06 | $ | 10.06 | $ | 10.32 | $ | 9.77 | $ | 10.19 | $ | 10.44 | ||||||||||||||
Total Return(b) | 19.86 | % | 4.83 | % | 6.92 | % | 2.60 | % | (2.24 | )% | 2.55 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 196,136 | $ | 146,008 | $ | 149,762 | $ | 106,968 | $ | 105,393 | $ | 106,431 | ||||||||||||||
Ratio of net expenses to average net assets | 1.66 | %(c) | 1.57 | % | 1.22 | % | 1.24 | % | 1.22 | % | 1.26 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.79 | %(c) | 1.64 | % | 1.38 | % | 1.39 | % | 1.37 | % | 1.45 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (1.33 | )%(c) | (1.54 | )% | (0.96 | )% | 0.31 | % | 0.06 | % | (0.60 | )% | ||||||||||||||
Portfolio turnover rate(d) | — | % | — | % | — | % | — | % | — | % | — | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
16 | 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 | ||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | Period Ended December 31, 2018(a) | ||||||||||||||||||||
2021 | 2020 | 2019 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.19 | $ | 10.44 | $ | 9.87 | $ | 10.29 | $ | 10.36 | ||||||||||||
Net investment income (loss)(b) | (0.07 | ) | (0.15 | ) | (0.08 | ) | 0.05 | 0.02 | ||||||||||||||
Net realized and unrealized gain (loss) | 2.10 | 0.65 | 0.78 | 0.23 | (0.07 | ) | ||||||||||||||||
Total from investment operations | 2.03 | 0.50 | 0.70 | 0.28 | (0.05 | ) | ||||||||||||||||
Distributions to shareholders from net investment income | — | (0.06 | ) | — | (0.63 | ) | — | |||||||||||||||
Distributions to shareholders from net realized gains | — | (0.69 | ) | (0.13 | ) | (0.07 | ) | (0.02 | ) | |||||||||||||
Total distributions | — | (0.75 | ) | (0.13 | ) | (0.70 | ) | (0.02 | ) | |||||||||||||
Net asset value, end of period | $ | 12.22 | $ | 10.19 | $ | 10.44 | $ | 9.87 | $ | 10.29 | ||||||||||||
Total Return(c) | 19.90 | % | 5.00 | % | 7.05 | % | 2.72 | % | (0.52 | )% | ||||||||||||
Net assets, end of period (in 000’s) | $ | 82,037 | $ | 57,900 | $ | 55,439 | $ | 51,499 | $ | 50,649 | ||||||||||||
Ratio of net expenses to average net assets | 1.53 | %(d) | 1.45 | % | 1.08 | % | 1.09 | % | 1.12 | %(d) | ||||||||||||
Ratio of total expenses to average net assets | 1.66 | %(d) | 1.51 | % | 1.24 | % | 1.23 | % | 1.27 | %(d) | ||||||||||||
Ratio of net investment income (loss) to average net assets | (1.20 | )%(d) | (1.41 | )% | (0.79 | )% | 0.47 | % | 0.31 | %(d) | ||||||||||||
Portfolio turnover rate(e) | — | % | — | % | — | % | — | % | — | % |
(a) | Commencement of operations on April 30, 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 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 MANAGED FUTURES STRATEGY FUND
Consolidated Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Managed Futures Strategy Fund | ||||||||||||||||||||||||||
Class R Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.64 | $ | 9.92 | $ | 9.45 | $ | 9.87 | $ | 10.16 | $ | 10.00 | ||||||||||||||
Net investment loss(a) | (0.10 | ) | (0.21 | ) | (0.13 | ) | (0.02 | ) | (0.04 | ) | (0.12 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | 1.98 | 0.62 | 0.73 | 0.23 | (0.23 | ) | 0.33 | |||||||||||||||||||
Total from investment operations | 1.88 | 0.41 | 0.60 | 0.21 | (0.27 | ) | 0.21 | |||||||||||||||||||
Distributions to shareholders from net investment income | — | — | — | (0.56 | ) | — | — | |||||||||||||||||||
Distributions to shareholders from net realized gains | — | (0.69 | ) | (0.13 | ) | (0.07 | ) | (0.02 | ) | (0.05 | ) | |||||||||||||||
Total distributions | — | (0.69 | ) | (0.13 | ) | (0.63 | ) | (0.02 | ) | (0.05 | ) | |||||||||||||||
Net asset value, end of period | $ | 11.52 | $ | 9.64 | $ | 9.92 | $ | 9.45 | $ | 9.87 | $ | 10.16 | ||||||||||||||
Total Return(b) | 19.59 | % | 4.33 | % | 6.30 | % | 2.14 | % | (2.70 | )% | 2.11 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 695 | $ | 451 | $ | 504 | $ | 539 | $ | 584 | $ | 595 | ||||||||||||||
Ratio of net expenses to average net assets | 2.16 | %(c) | 2.08 | % | 1.72 | % | 1.74 | % | 1.72 | % | 1.79 | % | ||||||||||||||
Ratio of total expenses to average net assets | 2.29 | %(c) | 2.14 | % | 1.87 | % | 1.89 | % | 1.87 | % | 1.98 | % | ||||||||||||||
Ratio of net investment loss to average net assets | (1.83 | )%(c) | (2.04 | )% | (1.41 | )% | (0.19 | )% | (0.44 | )% | (1.19 | )% | ||||||||||||||
Portfolio turnover rate(d) | — | % | — | % | — | % | — | % | — | % | — | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
18 | 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 | ||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | Period Ended December 31, 2018(a) | ||||||||||||||||||||
2021 | 2020 | 2019 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.17 | $ | 10.42 | $ | 9.86 | $ | 10.28 | $ | 10.56 | ||||||||||||
Net investment income (loss)(b) | (0.07 | ) | (0.15 | ) | (0.08 | ) | 0.05 | 0.02 | ||||||||||||||
Net realized and unrealized gain (loss) | 2.10 | 0.66 | 0.77 | 0.23 | (0.28 | ) | ||||||||||||||||
Total from investment operations | 2.03 | 0.50 | 0.69 | 0.28 | (0.26 | ) | ||||||||||||||||
Distributions to shareholders from net investment income | — | (0.06 | ) | — | (0.63 | ) | — | |||||||||||||||
Distributions to shareholders from net realized gains | — | (0.69 | ) | (0.13 | ) | (0.07 | ) | (0.02 | ) | |||||||||||||
Total distributions | — | (0.75 | ) | (0.13 | ) | (0.70 | ) | (0.02 | ) | |||||||||||||
Net asset value, end of period | $ | 12.20 | $ | 10.17 | $ | 10.42 | $ | 9.86 | $ | 10.28 | ||||||||||||
Total Return(c) | 20.04 | % | 4.98 | % | 6.95 | % | 2.71 | % | (2.50 | )% | ||||||||||||
Net assets, end of period (in 000’s) | $ | 13 | $ | 11 | $ | 71 | $ | 166 | $ | 429 | ||||||||||||
Ratio of net expenses to average net assets | 1.53 | %(d) | 1.44 | % | 1.08 | % | 1.09 | % | 1.12 | %(d) | ||||||||||||
Ratio of total expenses to average net assets | 1.64 | %(d) | 1.51 | % | 1.24 | % | 1.23 | % | 1.27 | %(d) | ||||||||||||
Ratio of net investment income (loss) to average net assets | (1.20 | )%(d) | (1.40 | )% | (0.84 | )% | 0.49 | % | 0.32 | %(d) | ||||||||||||
Portfolio turnover rate(e) | — | % | — | % | — | % | — | % | — | % |
(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 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 MANAGED FUTURES STRATEGY FUND
June 30, 2022 (Unaudited)
1. ORGANIZATION |
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. Goldman Sachs Managed Futures Strategy Fund (the “Fund”) is a 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 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. Basis of Consolidation for Managed Futures Strategy Fund — Cayman Commodity-MFS, LLC. (a “Subsidiary”), a Cayman Islands exempted company, is currently a wholly-owned subsidiary of the Fund. The Subsidiary acts as an investment vehicle for the Fund to enable the Fund to gain exposure to certain types of commodity-linked derivative instruments. The Fund is the sole shareholder of the Subsidiary, and it is intended that the Fund will remain the sole shareholder and will continue to control the Subsidiary. All inter-fund balances and transactions have been eliminated in consolidation. As of June 30, 2022, the Fund’s net assets were $408,813,040, of which $81,583,629, or 20%, is represented by the Subsidiary’s net assets.
B. Investment Valuation — The Fund’s valuation policy is to value investments at fair value.
C. Investment Income and Investments — Investment income includes interest income, dividend income, 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 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 Fund as a reduction to the cost basis of the REIT.
For derivative contracts, unrealized gains and losses are recorded daily and become realized gains and losses upon disposition or termination of the contract. Upfront payments, if any, are made or received upon entering into a swap agreement and are reflected in the Consolidated Statement of Assets and Liabilities. Upfront payments are recognized over the contract’s term/event as realized gains or losses, with the exception of forward starting swap contracts whose realized gains or losses are recognized from the effective start date.
D. 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.
20
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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. Net investment income distributions and capital gains distributions, if any, are declared and paid at least annually.
The Subsidiary is classified as a controlled foreign corporation under the Code. Therefore, the Fund is required to increase its taxable income by its share of its Subsidiary’s income. Net losses of the Subsidiary cannot be deducted by the Fund in the current period nor carried forward to offset taxable income in future periods.
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the 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 Consolidated Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
F. Foreign Currency Translation — The accounting records and reporting currency of the Fund’s are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the current exchange rates at the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Consolidated Statement of Operations within net change in unrealized gain (loss) on foreign currency 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
21
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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:
Money Market Funds — Investments in the Goldman Sachs Financial Square Government Fund (“Underlying Money Market 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 Money Market Fund’s accounting policies and investment holdings, please see the Underlying Money Market 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 Consolidated 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 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 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.
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.
22
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
iv. Swap Contracts — Bilateral swap contracts are agreements in which the Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between the Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, the 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.
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 June 30, 2022:
MANAGED FUTURES STRATEGY FUND |
| |||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Investment Companies | $ | 330,879,760 | $ | — | $ | — | ||||||
Total | $ | 330,879,760 | $ | — | $ | — | ||||||
Derivative Type | ||||||||||||
Assets(a) | ||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 12,276,700 | $ | — | ||||||
Futures Contracts | 7,596,140 | — | — | |||||||||
Interest Rate Swap Contracts | — | 18,774,933 | — | |||||||||
Total | $ | 7,596,140 | $ | 31,051,633 | $ | — |
(a) | Amount shown represents unrealized gain (loss) at period end. |
23
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
MANAGED FUTURES STRATEGY FUND (continued) |
| |||||||||||
Derivative Type | Level 1 | Level 2 | Level 3 | |||||||||
Liabilities(a) | ||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | (8,232,474 | ) | $ | — | |||||
Futures Contracts | (10,784,182 | ) | — | — | ||||||||
Interest Rate Swap Contracts | — | (3,807,696 | ) | — | ||||||||
Total | $ | (10,784,182 | ) | $ | (12,040,170 | ) | $ | — |
(a) | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Consolidated Schedule 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 June 30, 2022. 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.
Managed Futures Strategy |
| |||||||||||
Risk | Consolidated Statement of Assets and Liabilities | Assets | Consolidated Statement of Assets and Liabilities | Liabilities | ||||||||
Commodity | Variation margin on futures contracts | $ | 4,841,024 | (a) | Variation margin on futures contracts | $ | (8,837,946) | (a) | ||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts | 12,276,700 | Payable for unrealized gain on forward foreign currency exchange contracts | (8,232,474) | ||||||||
Equity | Variation margin on futures contracts | 2,755,116 | (a) | Variation margin on futures contracts | | (1,946,236) | (a) | |||||
Interest Rate | Variation margin on swap contracts | 18,774,993 | (a) | Variation margin on swap contracts | (3,807,696) | (a) | ||||||
Total | $ | 38,647,832 | $ | (22,824,351) |
(a) | Includes unrealized gain (loss) on futures contracts and centrally cleared swap contracts described in the Additional Investment Information sections of the Consolidated Schedule of Investments. Only the variation margin as of June 30, 2022, is reported within the Consolidated Statement of Assets and Liabilities. |
The following tables set forth, by certain risk types, the Fund’s gains (losses) related to these derivatives and their indicative volumes for the six months ended June 30, 2022. 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
24
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
4. INVESTMENTS IN DERIVATIVES (continued) |
gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Consolidated Statement of Operations:
Managed Futures Strategy | ||||||||||
Risk | Consolidated Statement of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | |||||||
Commodity | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | $ | 13,968,167 | $ | (4,846,179 | ) | ||||
Currency | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | (1,564,357 | ) | 4,474,587 | ||||||
Equity | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | (14,187,172 | ) | (1,959,756 | ) | |||||
Interest Rate | Net realized gain (loss) from futures contracts and swap contracts/Net change in unrealized gain (loss) on futures contracts and swap contracts | 57,986,231 | 5,506,297 | |||||||
Total | $ | 56,202,869 | $ | 3,174,949 |
For the six months ended June 30, 2022, the relevant values for each derivative type were as follows:
Managed Futures Strategy
Average number of Contracts or Notional Amounts(1) | ||||||||||||
Risk | Futures Contracts | Forward Contracts | Swap Agreements | |||||||||
Managed Futures Strategy | 6,196 | $ | 915,313,078 | $ | (6,112,455 | ) |
(1) | Amounts disclosed represent average number of contracts for futures contracts, notional amounts for forward contracts and swap contracts, based on absolute values, which is indicative of volume of this derivative type, for the months that the Fund held such derivatives during the six months ended June 30, 2022. |
In order to better define its contractual rights and to secure rights that will help the Fund mitigate its counterparty risk, the Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivatives counterparties. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs OTC derivatives (including forward foreign currency exchange contracts, and certain options and swaps), and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default(close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
Collateral and margin requirements differ between exchange traded derivatives and OTC derivatives. Margin requirements are established by the broker or clearing house for exchange-traded and centrally cleared derivatives (financial futures contracts, options and centrally cleared swaps) pursuant to governing agreements for those instrument types. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract-specific for OTC derivatives. For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty. Additionally, the Fund may be required to post initial margin to the counterparty, the terms of which would be outlined in the confirmation of the OTC transaction.
Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent amounts due to the Fund from its counterparties are not fully collateralized, contractually or otherwise, the Fund bears the risk of loss from counterparty nonperformance. The Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that the Investment Adviser believes to be of good standing and by monitoring the financial stability of those counterparties.
25
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
4. INVESTMENTS IN DERIVATIVES (continued) |
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 Fund’s net exposure for derivative instruments that are subject to enforceable master netting arrangements or similar agreements as of June 30, 2022:
Managed Futures Strategy | ||||||||||||||||||||
Derivative Assets(1) | Derivative Liabilities(1) | Net Derivative Assets (Liabilities) | Collateral (Received) Pledged(1) | Net Amount(2) | ||||||||||||||||
Risk | Forwards | Forwards | ||||||||||||||||||
Managed Futures Strategy | $ | 12,276,700 | $ | (8,232,474 | ) | $ | 4,044,226 | $ | (4,044,226 | ) | $ | — |
(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 Fund, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Fund’s business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
For the six months ended June 30, 2022, contractual and effective net management fees with GSAM were at the following rates:
Contractual Management Rate | Effective Net Management Rate^(1) | |||||||||||||||||||||||||||||
Fund | First $1 billion | Next $1 billion | Next $3 billion | Next $3 billion | Over $8 billion | Effective Rate | ||||||||||||||||||||||||
Managed Futures Strategy | 1.00 | % | 0.90 | % | 0.86 | % | 0.84 | % | 0.82 | % | 1.00 | % | 0.91 | % |
^ | 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 Fund’s Subsidiary Agreement (as defined below) after the waivers. |
GSAM also provides management services to the Subsidiary pursuant to a Subsidiary Management Agreement (the “Subsidiary Agreement”) and is entitled to a management fee accrued daily and paid monthly, equal to an annual percentage rate of 0.42% of the Subsidiary’s average daily net assets. In consideration of the Subsidiary’s management fee, and for as long as the Subsidiary Agreement remains in effect, GSAM has contractually agreed to waive irrevocably a portion of the Fund’s management fee in an amount equal to the management fee accrued and paid to GSAM by the Subsidiary under the Subsidiary Agreement. For the six months ended June 30, 2022, GSAM waived $137,452, of the Fund’s management fee.
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 invest, except those management fees it earns from the Fund’s investments of cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund. For the six months ended June 30, 2022, GSAM waived $182,472 of the Fund’s management fees.
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
26
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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. |
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 six months ended June 30, 2022, Goldman Sachs retained $2,007 for Class A Shares and did not retain any portion of the CDSC for Class C Shares for the 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.
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 are 0.254%. These Other Expense limitations will remain in place through at least April 29, 2023, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. The Subsidiary also pays certain other expenses, including service and custody fees. GSAM has agreed to reduce or limit the Subsidiary’s expenses (excluding management fees) to 0.004% of the Subsidiary’s average daily net assets for the Fund. In addition, the Fund has entered into certain offset arrangements with the custodian and 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.
27
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the six months ended June 30, 2022, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
Fund | Management Fee Waiver | Other Expense Reimbursement | Total Expense Reductions | |||||||||||
Managed Futures Strategy | $ | 319,924 | $ | 30,266 | $ | 350,190 |
G. Line of Credit Facility — As of June 30, 2022, the Fund participated in a $1,250,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the six months ended June 30, 2022, the Fund did not have any borrowings under the facility. Prior to April 22, 2022, the facility was $1,000,000,000.
H. Other Transactions with Affiliates — The following table provides information about the Fund’s investment in the Goldman Sachs Financial Square Government Fund as of and for the six months ended June 30, 2022:
Fund | Beginning Value as of December 31, 2022 | Purchases at Cost | Proceeds from Sales | Ending Value as of June 30, 2022 | Shares as of June 30, 2022 | Dividend Income | ||||||||||||||||||
Managed Futures Strategy | $ | 186,867,060 | $ | 320,742,942 | $ | (176,730,242 | ) | $ | 330,879,760 | 330,879,760 | $ | 541,722 |
As of June 30, 2022, the following Goldman Sachs Fund of Funds Portfolios were beneficial owners of 5% or more of total outstanding shares of the Fund:
Fund | Goldman Sachs Growth and Income Strategy Portfolio | |||||
Managed Futures Strategy | 7 | % |
As of June 30, 2022, The Goldman Sachs Group, Inc. was the beneficial owner of the Fund:
Fund | Class P | |||||
Managed Futures Strategy | 100 | % |
6. TAX INFORMATION |
As of the Fund’s most recent fiscal year end, December 31, 2021, certain timing differences on a tax-basis were as follows:
Managed Futures Strategy | ||||||
Timing differences (Qualified Late year Loss Deferral and Straddle Loss Deferral) | $ | (2,124,642 | ) |
28
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
6. TAX INFORMATION (continued) |
As of June 30, 2022, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Managed Futures Strategy | ||||||
Tax cost | $ | 328,505,722 | ||||
Gross unrealized gain | 20,337,593 | |||||
Gross unrealized loss | (17,963,555 | ) | ||||
Net unrealized gain (loss) | $ | 2,374,038 |
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to net mark to market gains (losses) on regulated futures and foreign currency contracts and differences in the tax treatment of underlying fund investments.
GSAM has reviewed the Fund’s tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
7. OTHER RISKS |
The Fund’s risks include, but are not limited to, the following:
Derivatives Risk — The Fund’s use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Fund. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government regulation; less public information; less stringent investor protections; less stringent accounting, corporate governance, financial reporting and disclosure standards; and less economic, political and social stability in the countries in which the Fund invests. The imposition of sanctions, 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. The type and severity of sanctions and other similar measures, including counter sanctions and other retaliatory actions, that may be imposed could vary broadly in scope, and their impact is impossible to predict. For example, the imposition of sanctions and other similar measures could, among other things, cause a decline in the value and/or liquidity of securities issued by the sanctioned country or companies located in or economically tied to the sanctioned country and increase market volatility and disruption in the sanctioned country and throughout the world. Sanctions and other similar measures could limit or prevent the Fund from buying and selling securities (in the sanctioned country and other markets), significantly delay or prevent the settlement of securities transactions, and significantly impact the Fund’s liquidity and performance. Foreign risk also involves the risk of negative foreign currency exchange 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, or economically tied to, emerging markets, these risks may be more pronounced.
29
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
7. OTHER RISKS (continued) |
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 the Fund’s ability to recover its assets if a Foreign Custodian enters bankruptcy. Investments in emerging markets may be subject to even greater custody risks than investments in more developed markets. Custody services in emerging market countries are very often undeveloped and may be considerably less well regulated than in more developed countries, and thus may not afford the same level of investor protection as would apply in developed countries.
Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by the Fund will generally decline in value. The Fund may face a heightened level of interest rate risk in connection with the type and extent of certain monetary policy changes made by the Federal Reserve, such as target interest rate changes. 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. A wide variety of market factors can cause interest rates to rise, including central bank monetary policy, rising inflation and changes in the general economic conditions. The risks associated with changing interest rates may have unpredictable effects on the markets and the Fund’s investments. Fluctuations in interest rates may also affect the liquidity of the Fund’s investments. A sudden or unpredictable increase in interest rates may cause volatility in the market and may decrease the liquidity of the Fund’s investments, which would make it harder for the Fund to sell its investments at an advantageous time.
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. 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 funds may be higher than normal, potentially causing increased supply in the market due to selling activity. These risks may be more pronounced in connection with the Fund’s investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on the Fund’s liquidity.
30
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
7. OTHER RISKS (continued) |
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.
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. However, 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 Fund’s 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 Fund has limited its 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 the Fund failed to qualify as a RIC, it would be subject to federal and state income tax on all of its taxable income at regular corporate tax rates with no deductions for any distributions paid to shareholders, which would significantly adversely affect the returns to, and could cause substantial losses for, Fund shareholders.
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 enter into contracts that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
9. SUBSEQUENT EVENTS |
Subsequent events after the Consolidated Statement of Assets and Liabilities date have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
31
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
10. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
Managed Futures Strategy Fund | ||||||||||||||||
|
| |||||||||||||||
For the Six Months Ended (Unaudited) | For the Fiscal Year Ended December 31, 2021 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 544,601 | $ | 6,224,290 | 775,155 | $ | 8,103,920 | ||||||||||
Reinvestment of distributions | — | — | 123,207 | 1,210,096 | ||||||||||||
Shares redeemed | (311,525 | ) | (3,488,977 | ) | (362,560 | ) | (3,753,053 | ) | ||||||||
233,076 | 2,735,313 | 535,802 | 5,560,963 | |||||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 111,220 | 1,189,118 | 112,873 | 1,106,535 | ||||||||||||
Reinvestment of distributions | — | — | 29,189 | 266,704 | ||||||||||||
Shares redeemed | (63,102 | ) | (657,282 | ) | (70,213 | ) | (681,254 | ) | ||||||||
48,118 | 531,836 | 71,849 | 691,985 | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 4,643,084 | 54,698,542 | 2,127,784 | 22,859,468 | ||||||||||||
Reinvestment of distributions | — | — | 386,304 | 3,929,319 | ||||||||||||
Shares redeemed | (1,362,634 | ) | (16,125,321 | ) | (2,160,311 | ) | (22,852,193 | ) | ||||||||
3,280,450 | 38,573,221 | 353,777 | 3,936,594 | |||||||||||||
Investor Shares | ||||||||||||||||
Shares sold | 7,086,327 | 82,589,139 | 5,277,859 | 56,050,862 | ||||||||||||
Reinvestment of distributions | — | — | 989,878 | 9,943,473 | ||||||||||||
Shares redeemed | (5,325,037 | ) | (62,212,822 | ) | (6,275,580 | ) | (66,484,483 | ) | ||||||||
1,761,290 | 20,376,317 | (7,843 | ) | (490,148 | ) | |||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 1,282,047 | 15,637,610 | 29,530 | 320,620 | ||||||||||||
Reinvestment of distributions | — | — | 395,007 | 4,018,251 | ||||||||||||
Shares redeemed | (247,344 | ) | (3,041,648 | ) | (54,137 | ) | (590,020 | ) | ||||||||
1,034,703 | 12,595,962 | 370,400 | 3,748,851 | |||||||||||||
Class R Shares | ||||||||||||||||
Shares sold | 19,947 | 232,147 | 4,152 | 42,535 | ||||||||||||
Reinvestment of distributions | — | — | 3,149 | 30,205 | ||||||||||||
Shares redeemed | (6,369 | ) | (73,529 | ) | (11,373 | ) | (115,062 | ) | ||||||||
13,578 | 158,618 | (4,072 | ) | (42,322 | ) | |||||||||||
Class P Shares | ||||||||||||||||
Shares sold | — | — | 77 | 778 | ||||||||||||
Reinvestment of distributions | — | — | — | — | ||||||||||||
Shares redeemed | — | — | (5,772 | ) | (61,241 | ) | ||||||||||
— | — | (5,695 | ) | (60,463 | ) | |||||||||||
NET INCREASE | 6,371,215 | $ | 74,971,267 | 1,314,218 | $ | 13,345,460 |
32
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
The Goldman Sachs Managed Futures Strategy Fund (the “Fund”) is an investment portfolio of Goldman Sachs Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Fund at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Fund.
The Management Agreement was most recently approved for continuation until June 30, 2023 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 14-15, 2022 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held two meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to the Fund, such matters included:
(a) | the nature and quality of the advisory, administrative, and other services provided to the Fund by the Investment Adviser and its affiliates, including information about: |
(i) | the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams; |
(ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training); |
(iii) | trends in employee headcount; |
(iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
(v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
(b) | information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), and a benchmark performance index; and information on general investment outlooks in the markets in which the Fund invests; |
(c) | information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Fund’s peer group and/or benchmark index had high, medium, or low relevance given the Fund’s particular investment strategy; |
(d) | the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund; |
(e) | fee and expense information for the Fund, including: |
(i) | the relative management fee and expense levels of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; |
(ii) | the Fund’s expense trends over time; and |
(iii) | to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
(f) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; |
(g) | the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations; |
(h) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund to the Investment Adviser and its affiliates; |
(i) | whether the Fund’s existing management fee schedule adequately addressed any economies of scale; |
33
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
(j) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, portfolio trading, distribution and other services; |
(k) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
(l) | information regarding commissions paid by the Fund and broker oversight, other information regarding portfolio trading, and how the Investment Adviser carries out its duty to seek best execution; |
(m) | portfolio manager ownership of Fund shares; the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers; |
(n) | the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and |
(o) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports. |
The Trustees also received an overview of the Fund’s distribution arrangements. They received information regarding the Fund’s assets, share purchase and redemption activity, and payment of distribution and service fees. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Fund and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Fund. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Fund by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the market, regulatory and control environment in which the Fund and its service providers operate, including developments associated with the COVID-19 pandemic, geopolitical events, and economic sanctions, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees also considered information regarding the Investment Adviser’s business continuity planning and remote operations capabilities. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Fund and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Fund and the Investment Adviser and its affiliates.
Investment Performance
The Trustees also considered the investment performance of the Fund. In this regard, they compared the investment performance of the Fund to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2021, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2022. The information on the Fund’s investment performance was provided for the one-, three-, five-, and
34
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
ten-year periods ending on the applicable dates. The Trustees also reviewed the Fund’s investment performance relative to its performance benchmark. As part of this review, they considered the investment performance trends of the Fund over time, and reviewed the investment performance of the Fund in light of its investment objective and policies and market conditions.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Fund’s risk profile, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management. They noted the efforts of the Fund’s portfolio management team to continue to enhance the investment models used in managing the Fund.
The Trustees observed that the Managed Futures Strategy Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the one-, three-, five-, and ten-year periods, and had outperformed the Fund’s benchmark index for the one-, three-, five-, and ten-year periods ended March 31, 2022. They also noted that the Fund had experienced a benchmark index change in 2021.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by the Fund thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Fund, which included both advisory and administrative services that were directed to the needs and operations of the Fund as a registered mutual fund.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Fund. The analyses provided a comparison of the Fund’s management fee and breakpoints to those of a relevant peer group and category universe; an expense analysis which compared the Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing the Fund’s net expenses to the peer and category medians. The analyses also compared the Fund’s other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Fund.
In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations. The Trustees noted that the Investment Adviser had agreed to waive a portion of the Fund’s management fee in an amount equal to the entire management fee paid to the Investment Adviser as the investment adviser to the Fund’s wholly-owned subsidiary. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Fund, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Fund differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.
In addition, the Trustees noted that shareholders are able to redeem their shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Profitability
The Trustees reviewed the Fund’s contribution to the Investment Adviser’s revenues and pre-tax profit margins. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization periodically audits the expense allocation methodology and that the internal audit group was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology. Profitability data for the Fund was provided for 2021 and 2020, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability.
35
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Economies of Scale
The Trustees considered the information that had been provided regarding whether there have been economies of scale with respect to the management of the Fund. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreement for the Fund at the following annual percentage rates of the average daily net assets of the Fund:
First $1 billion | 1.00 | % | ||
Next $1 billion | 0.90 | |||
Next $3 billion | 0.86 | |||
Next $3 billion | 0.84 | |||
Over $8 billion | 0.82 |
The Trustees noted that the breakpoints were designed to share potential economies of scale, if any, with the Fund and its shareholders as assets under management reach those asset levels. The Trustees considered the amounts of assets in the Fund; the Fund’s recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer group; and the Investment Adviser’s undertaking to limit certain expenses of the Fund that exceed specified levels. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund as stated above, including: (a) transfer agency fees received by Goldman Sachs & Co. LLC (“Goldman Sachs”); (b) brokerage and futures commissions earned by Goldman Sachs for executing securities and futures transactions on behalf of the Fund; (c) trading efficiencies resulting from aggregation of orders of the Fund with those for other funds or accounts managed by the Investment Adviser; (d) the Investment Adviser’s ability to leverage the infrastructure designed to service the Fund on behalf of its other clients; (e) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (f) Goldman Sachs’ retention of certain fees as Fund Distributor; (g) 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; (h) 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; (i) the 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 (j) the possibility that the working relationship between the Investment Adviser and the Funds’ third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
Other Benefits to the Fund and Its Shareholders
The Trustees also noted that the Fund receives certain other potential benefits as a result of their relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Fund with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors due to the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers due to the volume of business generated by the Investment Adviser and its affiliates; (d) the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties on behalf of the Fund as a result of the size and reputation of the Goldman Sachs organization; (e) the advantages received from the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Fund because of the reputation of the Goldman Sachs organization; (g) the Fund’s access, through the Investment Adviser, to certain firm-wide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; and (h) the Fund’s access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Fund’s shareholders invested in the Fund in part because of the Fund’s relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
36
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by the Fund were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and the Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit the Fund and its shareholders and that the Management Agreement should be approved and continued with respect to the Fund until June 30, 2023.
37
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Liquidity Risk Management Program (Unaudited)
The Fund has adopted and implemented a liquidity risk management program (the “Program”) in accordance with Rule 22e-4 under the 1940 Act. The Program seeks to assess and manage the Fund’s liquidity risk, i.e., the risk that the Fund is unable to satisfy redemption requests without significantly diluting remaining investors’ interests in the Fund. The Board of Trustees of the Trust has designated GSAM, the Fund’s investment adviser, to administer the Program. Certain aspects of the Program rely on third parties to perform certain functions, including the provision of market data and application of models.
The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Fund’s liquidity risk;
(2) the periodic classification (no less frequently than monthly) of a Fund’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under Rule 22e-4); (4) for a Fund that does not invest primarily in “highly liquid investments” (as defined under Rule 22e-4), the determination of a minimum percentage of the Fund’s assets that will generally be invested in highly liquid investments (a “Highly Liquid Investment Minimum”); and (5) periodic reporting to the Board of Trustees.
At a meeting of the Board of Trustees on February 8-9, 2022, GSAM provided a written report to the Board addressing the operation, and the adequacy and effectiveness of the implementation, of the Program, including, as applicable, the operation of any Highly Liquid Investment Minimum and any material changes to the Program, for the period from January 1, 2021 through December 31, 2021 (the “Reporting Period”). Among other things, the annual report discussed: (1) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions; (2) an assessment of the methodologies used to classify investments into one of four liquidity categories; and (3) the impact of local holidays in non-U.S. jurisdictions. The report concluded that the Program continues to be reasonably designed to assess and manage liquidity risk and was adequately and effectively implemented during the Reporting Period.
There can be no assurance that the Program will achieve its objectives under all circumstances in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which it may be subject.
38
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Impact of Russian Invasion of Ukraine (Unaudited)
The Russian invasion of Ukraine has negatively affected the global economy and has resulted in significant disruptions in financial markets and increased macroeconomic uncertainty. In addition, governments around the world have responded to Russia’s invasion by imposing economic sanctions and export controls on certain industry sectors, companies and individuals in or associated with Russia. Russia has imposed its own restrictions against investors and countries outside Russia and has proposed additional measures aimed at non-Russian-owned businesses. Businesses in the U.S. and globally have experienced shortages in materials and increased costs for transportation, energy and raw materials due, in part, to the negative effects of the war on the global economy. The escalation or continuation of the war between Russia and Ukraine or other hostilities presents heightened risks relating to cyber-attacks, the frequency and volume of failures to settle securities transactions, supply chain disruptions, inflation, as well as the potential for increased volatility in commodity, currency and other financial markets. The extent and duration of the war, sanctions and resulting market disruptions, as well as the potential adverse consequences for the Fund’s operations are difficult to predict.
39
GOLDMAN SACHS MANAGED FUTURES STRATEGY FUND
Fund Expenses — Six Month Period Ended June 30, 2022 (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 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 January 1, 2022 through June 30, 2022, which represents a period of 181 days in a 365 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the 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.
Managed Futures Strategy Fund | ||||||||||||
Beginning Account Value 1/1/2022 | Ending Account Value 6/30/2022 | Expenses Paid for the 6 months ended 6/30/2022* | ||||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,200.20 | $ | 10.11 | ||||||
Hypothetical 5% return | 1,000.00 | 1,015.60 | + | 9.27 | ||||||||
Class C | ||||||||||||
Actual | 1,000.00 | 1,193.27 | 14.16 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,011.88 | + | 12.99 | ||||||||
Institutional | ||||||||||||
Actual | 1,000.00 | 1,199.02 | 8.07 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,017.45 | + | 7.40 | ||||||||
Investor | ||||||||||||
Actual | 1,000.00 | 1,195.86 | 8.74 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,016.83 | + | 8.03 | ||||||||
Class R6 | ||||||||||||
Actual | 1,000.00 | 1,198.61 | 8.04 | |||||||||
Hypothethical 5% return | 1,000.00 | 1,017.48 | + | 7.38 | ||||||||
Class R | ||||||||||||
Actual | 1,000.00 | 1,196.76 | 11.47 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,014.36 | + | 10.51 | ||||||||
Class P | ||||||||||||
Actual | 1,000.00 | 1,200.39 | 8.05 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,017.48 | + | 7.38 |
+ | Hypothetical expenses are based on the Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
* | Expenses for each share class are calculated using the Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended June 30, 2022. 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 | |||||||||||||||||||||
Managed Futures Strategy | 1.91 | % | 2.66 | % | 1.54 | % | 1.66 | % | 1.53 | % | 2.16 | % | 1.53 | % |
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 Asset Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $2.27 trillion in assets under supervision as of June 30, 2022, Goldman Sachs Asset Management 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. Goldman Sachs Asset Management 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 |
∎ | Short-Term Conservative Income Fund |
∎ | Short Duration Government Fund |
∎ | Short Duration Bond Fund4 |
∎ | Government Income Fund |
∎ | Inflation Protected Securities Fund |
Multi-Sector
∎ | Bond Fund |
∎ | Core Fixed Income Fund |
∎ | Global Core Fixed Income Fund |
∎ | Strategic Income Fund |
∎ | Income Fund |
Municipal and Tax-Free
∎ | High Yield Municipal Fund |
∎ | Dynamic Municipal Income Fund |
∎ | Short Duration Tax-Free Fund |
∎ | Municipal Income Completion Fund |
Single Sector
∎ | Investment Grade Credit Fund |
∎ | U.S. Mortgages Fund |
∎ | High Yield Fund |
∎ | High Yield Floating Rate Fund |
∎ | Emerging Markets Debt Fund |
∎ | Local Emerging Markets Debt Fund |
Fixed Income Alternatives
∎ | Long Short Credit Strategies Fund |
Fundamental Equity
∎ | Equity Income Fund |
∎ | Small Cap Growth Fund |
∎ | Small Cap Value Fund |
∎ | Small/Mid Cap Value Fund |
∎ | Mid Cap Value Fund |
∎ | Large Cap Value Fund |
∎ | Focused Value Fund |
∎ | Large Cap Core Fund5 |
∎ | Strategic Growth Fund |
∎ | Small/Mid Cap Growth Fund |
∎ | Flexible Cap Fund |
∎ | Concentrated Growth Fund |
∎ | Technology Opportunities Fund |
∎ | Mid Cap Growth Fund6 |
∎ | Rising Dividend Growth Fund |
∎ | U.S. Equity ESG Fund |
∎ | Income Builder Fund |
Tax-Advantaged Equity
∎ | U.S. Tax-Managed Equity Fund |
∎ | International Tax-Managed Equity Fund |
∎ | U.S. Equity Dividend and Premium Fund |
∎ | International Equity Dividend and Premium Fund |
Equity Insights
∎ | Small Cap Equity Insights Fund |
∎ | U.S. Equity Insights Fund |
∎ | Small Cap Growth Insights Fund |
∎ | Large Cap Growth Insights Fund |
∎ | Large Cap Value Insights Fund |
∎ | Small Cap Value Insights Fund |
∎ | International Small Cap Insights Fund |
∎ | International Equity Insights Fund |
∎ | Emerging Markets Equity Insights Fund |
Fundamental Equity International
∎ | International Equity Income Fund |
∎ | International Equity ESG Fund |
∎ | China Equity Fund |
∎ | Emerging Markets Equity Fund |
∎ | ESG Emerging Markets Equity Fund |
Alternative
∎ | Clean Energy Income Fund |
∎ | Defensive Equity Fund |
∎ | Real Estate Securities Fund |
∎ | Commodity Strategy Fund |
∎ | Global Real Estate Securities Fund |
∎ | Absolute Return Tracker Fund |
∎ | Managed Futures Strategy Fund |
∎ | MLP Energy Infrastructure Fund |
∎ | Energy Infrastructure Fund |
∎ | Multi-Manager Alternatives 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 |
∎ | Strategic Volatility Premium 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 July 29, 2021, the Goldman Sachs Short Duration Income Fund was renamed the Goldman Sachs Short Duration Bond Fund. |
5 | Effective after the close of business on April 13, 2022, the Goldman Sachs Capital Growth Fund was renamed the Goldman Sachs Large Cap Core Fund. |
6 | Effective after the close of business on April 13, 2022, the Goldman Sachs Growth Opportunities Fund was renamed the Goldman Sachs Mid Cap Growth 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 John G. Chou Diana M. Daniels Joaquin Delgado Eileen H. Dowling James A. McNamara Gregory G. Weaver Paul C. Wirth | 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 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 its 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 June 30, 2022 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).
© 2022 Goldman Sachs. All rights reserved. 287735-OTU-1655344 SELSATSAR-22
Goldman Sachs Funds
Semi-Annual Report | June 30, 2022 | |||
Alternative Funds II | ||||
Absolute Return Tracker | ||||
Commodity Strategy | ||||
Defensive Equity |
Goldman Sachs Alternative Funds II
∎ | ABSOLUTE RETURN TRACKER |
∎ | COMMODITY STRATEGY |
∎ | DEFENSIVE EQUITY |
1 | ||||
6 | ||||
12 | ||||
38 | ||||
42 | ||||
42 | ||||
49 | ||||
56 | ||||
63 | ||||
90 |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee |
Alternative Funds II
The following are highlights both of key factors affecting the broad financials markets as well as the commodities and U.S. equities markets more specifically and of any key changes made to the Alternative Funds (the “Funds”) during the six months ended June 30, 2022 (the “Reporting Period”). Attribution highlights are provided for those Funds that materially outperformed or underperformed their respective benchmark during the Reporting Period. A fuller review will appear in the Funds’ annual shareholder report covering the 12 months ended December 31, 2022.
Market and Economic Review
Financials Markets
• | During the Reporting Period, international developed and emerging markets equities, U.S. equities, and global and U.S. fixed income markets each posted double-digit negative total returns, as measured by the MSCI EAFE Index (net), MSCI Emerging Markets Index (net), S&P 500® Index, Bloomberg Global Aggregate Bond Index and Bloomberg U.S. Aggregate Bond Index, respectively. Commodities, as measured by the 18.44% total return of the Bloomberg Commodity Index, was the only major asset class to move higher during the Reporting Period. |
• | In January 2022, as the Reporting Period began, developed equity markets globally sold off, led by companies and sectors that were highly exposed to duration, as government bond yields rose globally. Emerging markets equities significantly outperformed their developed peers, as emerging market yields were less affected, and many commodity-exposed emerging markets equities benefited from the sustained commodity rally in January. |
• | In February 2022, developed equity markets globally continued their sell-off, as investors sold out of rate-sensitive companies amid expectations of higher future interest rates. Emerging markets equities were also down, led by losses in Russian and Chinese equities. Commodities moved higher for the month, as the Russia/Ukraine war, launched by Russia’s invasion on February 24th, pushed energy commodity prices higher. |
• | International and U.S. equity markets gained in March 2022. Globally, risk assets recovered even as worries grew over the Russia/Ukraine war and inflation. Yields generally continued to move higher in March. Commodities moved higher for the month, as the Russia/Ukraine war pushed energy and agricultural commodities higher. |
• | Globally, equities declined during April 2022 amidst the ongoing Russia/Ukraine war, persistent supply-chain disruptions and expectations of rising U.S. interest rates. Developed markets equities declined substantially. Emerging markets equities were also down, although they outperformed their developed market counterparts. Developed market government bond yields generally moved higher. The commodity complex also moved higher, as the Russia/Ukraine war continued to push energy and agriculture commodities higher. |
• | In May 2022, global equity markets, both developed and emerging, were largely up modestly, even as they continued to be dominated by worries around rising inflation and interest rates as well as the ongoing conflict in Ukraine. Equity volatility dropped in May 2022. Government bond yields were mixed, with Italy’s and France’s government bond yields up, and U.S. Treasury yields declining. The U.S. dollar depreciated during the month, notably versus the Brazilian real, the Polish zloty, the Chilean peso and the Mexican peso. |
• | In June 2022, global equity markets, both developed and emerging, declined significantly as investors continued to digest interest rate hikes, rising inflation, increased risk of recession as well as the ongoing conflict in Ukraine and the resultant energy crisis. Equity volatility increased. Government bond yields were generally up in developed markets, except in Japan where 10-year yields retreated slightly. The U.S. dollar appreciated during the month, notably versus the Brazilian real, the Chilean peso and the Japanese yen. |
Commodities
• | Following a strong 2021, commodity markets, in aggregate, continued their advance during the Reporting Period. The Bloomberg Commodity Index posted a total return of 18.44% during the Reporting Period, significantly outperforming other asset classes, including the broad U.S. equities and fixed income markets, each of which registered double-digit declines in the same time frame. |
1
MARKET REVIEW
• | Despite the pain felt by consumers, inflation was a resounding tailwind for commodity prices. |
• | In response to inflationary pressures, the U.S. Federal Reserve (“Fed”) and its central bank counterparts around much of the world raised interest rates. |
• | In isolation, higher interest rates did little to quell the commodity bull market given the asset class’s predisposition to price in current fundamentals rather than discount future gains. |
• | However, commodity prices did incur a modest retracement in the second quarter of 2022 as higher interest rates ignited fears of an economic slowdown. |
• | Beyond changes to monetary policy and an unwinding of fiscal stimulus, the pricing of natural resources was most influenced during the Reporting Period by the late-February 2022 invasion of Ukraine by Russian forces. |
• | Centered in what is known as the “breadbasket” of the world, both Ukraine and Russia had been vital cogs in the global trade of commodities. Russia, in particular, accounted for a significant portion of the global export market for palladium, diamonds, natural gas, fertilizer, petroleum, wheat and more. |
• | The offensive brought about immediate and stark consequences, including the loss of commodity supply and the threat to international security. The former had tremendous, direct influence on energy and grain prices, whereas the latter propelled the rise of protectionist policies. |
• | Protectionism and de-globalization gained momentum in the form of export bans, trade sanctions, production onshoring and supply-chain redundancies. |
• | These measures, along with the rearranging of global trade partners, materially raised the equilibrium price for many commodities. |
• | The loss of liquidity in the futures markets also resulted in greater volatility within the commodities markets during the Reporting Period. |
• | March 2022 activity in the nickel market was a prime example, whereby a short squeeze triggered a 250% price increase in just several days. (A short squeeze is an unusual condition that triggers rapidly rising prices in a stock or other tradable security.) Low inventories coupled with low participation made nickel prone to such a move. |
• | One headwind faced by the commodities markets was the relative weakness of the Chinese economy. |
• | During the Reporting Period, Chinese economic growth waned primarily due to the government’s implementation of a zero-COVID-19 policy. |
• | Marred by city-wide lockdowns and mobility restrictions, Chinese economic data displayed significant weakness across manufacturing and construction sectors, both of which remain key sources of industrial metal consumption. |
• | As such, after peaking toward the end of the first calendar quarter, copper, aluminum and zinc all gave up gains during the second quarter of 2022. |
• | During the Reporting Period, the energy subsector of the Bloomberg Commodity Index was the best performer, with a return of 58.3%. |
• | Russia’s military incursion into Ukraine drove petroleum markets significantly higher, up 63.5% during the Reporting Period, as the region is home to a large portion of global petroleum production and exports. The ensuing repercussions in the form of sanctions and embargos on Russian-borne petroleum, by the European Union and other consumers notably tightened supply/demand balances. |
• | Crude oil prices rose further as China began easing its COVID-19-related restrictions in major provinces. |
• | Global Strategic Petroleum Reserve releases and an increase in OPEC+ production quotas had a muted impact on relieving upward price pressures. |
2
MARKET REVIEW
• | U.S. natural gas prices advanced 49% during the Reporting Period, as Russia halted gas shipments to Europe, forcing the continent to rely on liquified natural gas (“LNG”) imports to make up for the shortages. |
• | Given the strong overseas demand, U.S. LNG export terminals operated at full capacity until early June 2022 when damage at a Freeport Texas LNG terminal cut off approximately 17% of U.S. export capacity, easing domestic balances and relieving price pressures. |
• | The agriculture component of the Bloomberg Commodity Index was up 13.1% during the Reporting Period. |
• | The Russia/Ukraine conflict drove prices of wheat to multi-year highs, as both countries are top growers and exporters. |
• | Sanctions and reluctance by banks and shippers to service Russian-borne cargoes also impacted the global availability of fertilizers, as Russia and Belarus account for nearly 20% of global exports. Limited availability and high prices of these key inputs impacted the global production of grains and soft commodities alike. |
• | The industrial metals component of the Bloomberg Commodity Index returned -9.6% during the Reporting Period. |
• | The subsector initially appreciated nearly 40% on the back of the Russia/Ukraine conflict in the first quarter of 2022. Global initiatives to transition to highly metal-intensive, low-carbon technologies were suddenly met with limited supply and political instability and fragmentation. Aluminum and nickel prices rose. |
• | However, industrial metals prices eased into negative territory in the second calendar quarter as global monetary authorities embarked on quantitative tightening measures to stem high inflation. Copper, a metal historically attuned to economic momentum, fell 14.5% during the Reporting Period, responding to concerns of a “hard landing” due to contractionary monetary policies. (A hard landing is an economy rapidly shifting from growth to slow-growth to flat as it approaches a recession, usually caused by government attempts to slow down inflation.) |
• | The precious metals component of the Bloomberg Commodity Index returned -4.4% during the Reporting Period. |
• | Appreciation in the U.S. dollar, up 7.4% on a trade-weighted basis during the Reporting Period, proved to be a formidable headwind. |
• | A hawkish stance by the Fed, focused on taming high prices, also pressured gold prices lower. (Hawkish tends to suggest higher interest rates; opposite of dovish.) |
• | Negative wealth effects and economic growth downgrades were perceived to impact physical gold demand negatively. |
• | Platinum was adversely impacted by the disruptions in the auto industry, which remained constrained by the limited availability of semiconductors. |
• | The livestock subsector of the Bloomberg Commodity Index returned -3.4% during the Reporting Period, as bottlenecks at processing plants and lower demand in China, due to COVID-19-related lockdowns, led to lower price levels. |
U.S. Equities
• | Overall, U.S. equities struggled during the Reporting Period. The Standard & Poor’s 500® Index (the “S&P 500 Index”) ended the Reporting Period with a return of -19.96%, its worst showing in the first half of a calendar year since 1970 and erasing nearly all the gains achieved in 2021. The Russell 3000® Index generated a return of -21.10%. |
• | Inflationary pressures, shifting Fed policy, COVID-19 pandemic overhangs and ongoing war between Russia and Ukraine were the primary concerns pressuring the U.S. equity markets during the Reporting Period. |
• | During the first quarter of 2022, the S&P 500 Index returned -4.95%, marking the first quarterly decline since the first quarter of 2020. |
• | Among the major economic and geopolitical developments were the dramatic repricing of the Fed interest rate hike path and accelerated expectations for a more aggressive balance sheet runoff phase due to concerns about elevated and persistent inflation pressures. |
3
MARKET REVIEW
• | The hawkish Fed policy shift drove a large increase in bond yields, and U.S. Treasuries suffered one of their worst quarters on record. |
• | COVID-19, and more specifically, the Omicron variants, was still an overhang, with the resurgent spread of the variants bringing back supply-chain issues and worker shortages. |
• | Amid this backdrop, dampened corporate earnings momentum played into the bearish narrative for the U.S. equities markets. (Bearish refers to an expected downward movement in the prices of securities.) |
• | Growth equities meaningfully lagged value equities as a potential by-product of anticipated higher interest rates in the near term. |
• | During the second quarter of 2022, the S&P 500 Index returned -16.10%. |
• | Inflation, the Fed’s policy response and recession worries were at the core of investors’ narratives, resulting in a broad risk-off, or heightened risk aversion, atmosphere. |
• | Geopolitical overhang also remained a concern, as it affected energy prices, leading to low consumer sentiment and potentially changing consumer spending trends. |
• | On the other hand, equity inflows, buyback strength, insider buying, resilient consumer spending and some hints of cooling in the labor market were seen by the consensus as tailwinds. |
• | In late May/early June 2022, it remained unclear whether a rebound seen in the U.S. equity markets from the May 20, 2022 year-to-date lows represented the start of a recovery or a bear-market rally. |
• | This question was quickly answered later in the month after the release of a higher than consensus expected May Consumer Price Index report, which sent the S&P 500 Index to new year-to-date lows. |
• | Moreover, following a 25 basis point hike in March 2022 and a 50 basis point increase in May 2022, the Fed agreed to a 75 basis point interest rate hike during its June 2022 meeting, wherein Fed Chair Powell asserted the Fed’s unconditional commitment to price stability with a policy response evolving based on incoming data. (A basis point is 1/100th of a percentage point.) |
• | At the end of the quarter, investors were looking ahead to the second quarter corporate earnings reporting season with some caution, as input price pressures and consumption trends factored into analyst arguments for downward revisions to earnings estimates. |
• | During the Reporting Period overall, all segments of the U.S. equity markets declined, but small-cap stocks were weakest, followed by mid-cap stocks and large-cap stocks. Value stocks meaningfully outperformed growth stocks on a relative basis across the capitalization spectrum during the Reporting Period. |
• | Ten of the 11 sectors of the S&P 500 Index declined during the Reporting Period. The best performing sector by far within the S&P 500 Index during the Reporting Period was energy, the only one to produce a positive total return. However, utilities, consumer staples and health care also produced total returns that notably outpaced the broad S&P 500 Index. The weakest performing sectors during the Reporting Period were consumer discretionary, communication services and information technology. |
4
MARKET REVIEW
Fund Changes and Highlights
Goldman Sachs Absolute Return Tracker Fund
• | Effective as of the close of business on January 12, 2022, the Fund’s benchmark was changed to the ICE BofA Three-Month U.S. Treasury Bill Index. The ICE BofA Three-Month U.S. Treasury Bill Index is comprised of a single issue purchased at the beginning of the month and held for a full month. At the end of the month that issue is sold and rolled into a newly selected issue. The issue selected at each month-end rebalancing is the outstanding Treasury bill that matures closest to, but not beyond, three months from the rebalancing date. To qualify for selection, an issue must have settled on or before the month-end rebalancing date. The Adviser believes the ICE BofA Three-Month U.S. Treasury Bill Index is an appropriate index against which to measure performance in light of the Fund’s investment strategy. |
• | Effective as of the close of business on June 23, 2022, Federico Gilly no longer served as a portfolio manager for the Fund. Oliver Bunn, Vice President, continues to serve as a portfolio manager for the Fund. Mr. Bunn has managed the Fund since 2017. Additionally, effective the same date, James Park, Managing Director, began serving as a portfolio manager for the Fund. Mr. Park is a senior portfolio manager on the Alternative Investment Strategies team within Goldman Sachs Asset Management’s Quantitative Investment Strategies platform. He joined Goldman Sachs in 2004. |
Goldman Sachs Defensive Equity Fund
• | The Fund outperformed its benchmark, the S&P 500® Index (with dividends reinvested) (the “S&P 500® Index”), during the Reporting Period. |
• | The relative outperformance was the result of the Fund’s options-based overlay strategy. (The Fund constructs the options-based overlay by buying S&P 500® Index put options1 at a higher strike price and writing S&P 500® Index put options at a relatively lower strike price, and at the same time selling S&P 500® Index call options.2) |
• | As U.S. equities declined during the Reporting Period amid sharply rising interest rates and fears of recession, the Fund’s long put options came into the money. (An in-the-money put option means the option holder can sell the security above its current market price.) |
• | These gains were offset somewhat by the Fund’s equity strategy, which aims to pick defensive stocks. During the Reporting Period, defensive stocks generally lagged the broad U.S. equity market. |
• | Effective June 23, 2022, Federico Gilly no longer served as a portfolio manager for the Fund. As of that date, Patrick Harnett became a portfolio manager for the Fund, joining Jorge Murillo. Patrick Hartnett, Vice President, is a portfolio manager on the Alternative Investment Strategies team within Goldman Sachs Asset Management’s Quantitative Investment Strategies platform. He joined Goldman Sachs in 2019. Mr. Murillo, Vice President, has managed the Fund since 2020. |
1 | 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. |
2 | 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. |
5
Absolute Return Tracker Fund
as of June 30, 2022
PERFORMANCE REVIEW | ||||||||||
January 1, 2022–June 30, 2022 | Fund Total Return (based on NAV)1 | ICE BofA Three-Month U.S. Treasury Bill Index2 | ||||||||
Class A | -7.55 | % | 0.14 | % | ||||||
Class C | -7.95 | 0.14 | ||||||||
Institutional | -7.45 | 0.14 | ||||||||
Investor | -7.45 | 0.14 | ||||||||
Class R6 | -7.36 | 0.14 | ||||||||
Class R | -7.62 | 0.14 | ||||||||
Class P | -7.35 | 0.14 |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The ICE BofA Three-Month U.S. Treasury Bill Index measures the performance of Treasury Bills with time to maturity of less than 3 months. The ICE BofA Three-Month U.S. Treasury Bill Index, as reported by Bank of America Merrill Lynch, does not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
References to the Fund’s benchmark are for informational purchases only and are not an indication of how the Fund is managed.
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
TOP TEN HOLDINGS AS OF 6/30/223 |
Holding | % of Net Assets | Line of Business | ||||||
iShares Core MSCI Emerging Markets ETF | 10.1 | % | Exchange Traded Funds | |||||
iShares 5-10 Year Investment Grade Corporate Bond ETF | 3.7 | Exchange Traded Funds | ||||||
SPDR Blackstone Senior Loan ETF | 2.1 | Exchange Traded Funds | ||||||
SPDR Bloomberg Convertible Securities ETF | 2.0 | Exchange Traded Funds | ||||||
Microsoft Corp. | 1.6 | Software | ||||||
Apple, Inc. | 1.4 | Technology Hardware, Storage & Peripherals | ||||||
Alphabet, Inc. Class A | 1.1 | Interactive Media & Services | ||||||
Amazon.com, Inc. | 1.0 | Internet & Direct Marketing Retail | ||||||
Berkshire Hathaway, Inc. Class B | 0.5 | Diversified Financial Services | ||||||
UnitedHealth Group, Inc. | 0.5 | Health Care Providers & Services |
3 | The top 10 holdings may not be representative of the Portfolio’s future investments. The top 10 holdings exclude investments in money market funds. |
6
FUND BASICS
FUND COMPOSITION4 |
4 | 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 does not depict the investment in the securities lending reinvestment vehicle. The investment in the securities lending reinvestment vehicle represented 2.8% of the Fund’s net assets as of June 30, 2022. 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 Consolidated 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
FUND BASICS
Commodity Strategy Fund
as of June 30, 2022
PERFORMANCE REVIEW | ||||||||
January 1, 2022–June 30, 2022 | Fund Total Return (based on NAV)1 | Bloomberg Commodity Total Return Index2 | ||||||
Class A | 20.95 | % | 18.44% | |||||
Class C | 20.48 | 18.44 | ||||||
Institutional | 21.15 | 18.44 | ||||||
Investor | 21.13 | 18.44 | ||||||
Class R6 | 21.21 | 18.44 | ||||||
Class R | 20.78 | 18.44 | ||||||
Class P | 21.11 | 18.44 |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | Bloomberg Commodity Total Return Index is composed of futures contracts and reflects the returns on a fully collateralized investment in the BCOM. This combines the returns of the BCOM with the returns on cash collateral invested in 13 week (3 Month) U.S. Treasury Bills. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
8
FUND BASICS
FUND COMPOSITION3 |
3 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the graph may not sum to 100% due to the exclusion of other assets and liabilities. The graph 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 Consolidated 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
FUND BASICS
Defensive Equity Fund
as of June 30, 2022
PERFORMANCE REVIEW |
| |||||||||
January 1, 2022–June 30, 2022 | Fund Total Return (based on NAV)1 | S&P 500 Index2 | ||||||||
Class A | -14.03 | % | -19.96 | % | ||||||
Class C | -14.41 | -19.96 | ||||||||
Institutional | -13.91 | -19.96 | ||||||||
Investor | -14.01 | -19.96 | ||||||||
Class R6 | -13.91 | -19.96 | ||||||||
Class R | -14.22 | -19.96 | ||||||||
Class P | -13.91 | -19.96 |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The S&P 500® Index is an unmanaged composite index of 500 common stock prices. The index figures do not include any deduction for fees, expenses or taxes. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
TOP 10 HOLDINGS AS OF 6/30/223 |
Holding | % of Net Assets | Line of Business | ||||||
Apple, Inc. | 6.4 | % | Technology Hardware, Storage & Peripherals | |||||
Microsoft Corp. | 5.8 | Software | ||||||
Alphabet, Inc. Class A | 3.8 | Interactive Media & Services | ||||||
Amazon.com, Inc. | 2.8 | Internet & Direct Marketing Retail | ||||||
Tesla, Inc. | 1.8 | Automobiles | ||||||
United Health Group, Inc. | 1.7 | Health Care Providers & Services | ||||||
Berkshire Hathaway, Inc. Class B | 1.6 | Diversified Financial Services | ||||||
Johnson & Johnson | 1.6 | Pharmaceuticals | ||||||
The Procter & Gamble Co. | 1.3 | Household Products | ||||||
Meta Platforms, Inc. Class A | 1.3 | Interactive Media & Services |
3 | The top 10 holdings may not be representative of the Fund’s future investments. |
10
FUND BASICS
FUND VS. BENCHMARK SECTOR ALLOCATION4 | ||||
As of June 30, 2022 |
4 | 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 the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
11
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments
June 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 26.5% | ||||||||
Aerospace & Defense – 0.5% | ||||||||
6,603 | Airbus SE | $ | 645,838 | |||||
3,377 | Chemring Group PLC | 12,987 | ||||||
523 | Dassault Aviation SA | 81,673 | ||||||
25,989 | General Dynamics Corp. | 5,750,066 | ||||||
20,208 | Howmet Aerospace, Inc. | 635,542 | ||||||
1,218 | Huntington Ingalls Industries, Inc. | 265,305 | ||||||
13,354 | Leonardo SpA | 135,487 | ||||||
76,718 | Raytheon Technologies Corp. | 7,373,367 | ||||||
1,233 | Rheinmetall AG | 284,533 | ||||||
420 | Safran SA | 41,818 | ||||||
2,433 | Thales SA | 298,716 | ||||||
1,825 | TransDigm Group, Inc.* | 979,423 | ||||||
708 | Ultra Electronics Holdings PLC | 29,839 | ||||||
3,348 | Woodward, Inc. | 309,657 | ||||||
|
| |||||||
16,844,251 | ||||||||
|
| |||||||
Air Freight & Logistics – 0.3% | ||||||||
378 | C.H. Robinson Worldwide, Inc. | 38,318 | ||||||
25,064 | Deutsche Post AG | 946,320 | ||||||
3,072 | Expeditors International of Washington, Inc. | 299,397 | ||||||
4,718 | FedEx Corp. | 1,069,618 | ||||||
35,049 | Royal Mail PLC | 115,783 | ||||||
2,200 | SG Holdings Co. Ltd. | 37,202 | ||||||
39,562 | United Parcel Service, Inc. Class B | 7,221,647 | ||||||
4,102 | Yamato Holdings Co. Ltd. | 65,645 | ||||||
|
| |||||||
9,793,930 | ||||||||
|
| |||||||
Airlines* – 0.1% | ||||||||
5,660 | Alaska Air Group, Inc. | 226,683 | ||||||
19,141 | American Airlines Group, Inc. | 242,708 | ||||||
51,575 | Deutsche Lufthansa AG | 303,790 | ||||||
72,887 | Southwest Airlines Co. | 2,632,678 | ||||||
7,363 | United Airlines Holdings, Inc. | 260,798 | ||||||
|
| |||||||
3,666,657 | ||||||||
|
| |||||||
Auto Components – 0.0% | ||||||||
6,714 | BorgWarner, Inc. | 224,046 | ||||||
3,500 | Denso Corp. | 184,739 | ||||||
5,175 | Faurecia SE* | 103,709 | ||||||
1,400 | JTEKT Corp. | 10,525 | ||||||
1,002 | NGK Spark Plug Co. Ltd. | 18,176 | ||||||
300 | Nifco, Inc. | 7,016 | ||||||
4,449 | TI Fluid Systems PLC(a) | 8,219 | ||||||
1,900 | Toyo Tire Corp. | 23,750 | ||||||
6,843 | Valeo | 133,342 | ||||||
|
| |||||||
713,522 | ||||||||
|
| |||||||
Automobiles – 0.2% | ||||||||
5,166 | Bayerische Motoren Werke AG | 400,471 | ||||||
77,543 | Ford Motor Co. | 863,054 | ||||||
146,571 | General Motors Co.* | 4,655,095 | ||||||
9,641 | Honda Motor Co. Ltd. | 232,455 | ||||||
5,000 | Isuzu Motors Ltd. | 55,307 | ||||||
8,600 | Mazda Motor Corp. | 70,197 | ||||||
9,429 | Mercedes-Benz Group AG | 547,621 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Automobiles – (continued) | ||||||||
10,900 | Mitsubishi Motors Corp.* | 36,767 | ||||||
15,800 | Nissan Motor Co. Ltd. | 61,883 | ||||||
6,266 | Renault SA* | 158,191 | ||||||
63,747 | Stellantis NV | 791,402 | ||||||
2,200 | Subaru Corp. | 38,915 | ||||||
1,300 | Suzuki Motor Corp. | 40,869 | ||||||
|
| |||||||
7,952,227 | ||||||||
|
| |||||||
Banks – 1.0% | ||||||||
600 | Aozora Bank Ltd. | 11,677 | ||||||
186,530 | Banco Santander SA | 527,770 | ||||||
296,299 | Bank of America Corp. | 9,223,788 | ||||||
13,910 | Bankinter SA | 87,005 | ||||||
2,425 | BAWAG Group AG(a) | 102,370 | ||||||
69 | BOK Financial Corp. | 5,215 | ||||||
17,587 | Citigroup, Inc. | 808,826 | ||||||
8,547 | Citizens Financial Group, Inc. | 305,042 | ||||||
2,066 | Close Brothers Group PLC | 25,971 | ||||||
23,369 | Comerica, Inc. | 1,714,817 | ||||||
148 | Commerce Bancshares, Inc. | 9,716 | ||||||
27,380 | Credit Agricole SA | 252,415 | ||||||
155 | Cullen/Frost Bankers, Inc. | 18,050 | ||||||
10,247 | FinecoBank Banca Fineco SpA | 122,929 | ||||||
23,075 | First Republic Bank | 3,327,415 | ||||||
120,539 | JPMorgan Chase & Co. | 13,573,897 | ||||||
355 | KBC Group NV | 19,973 | ||||||
28,804 | KeyCorp. | 496,293 | ||||||
6,643 | Mebuki Financial Group, Inc. | 13,101 | ||||||
48,651 | Mediobanca Banca di Credito Finanziario SpA | 421,932 | ||||||
84,800 | Mitsubishi UFJ Financial Group, Inc. | 453,684 | ||||||
9,743 | Mizuho Financial Group, Inc. | 110,923 | ||||||
7,942 | Raiffeisen Bank International AG | 86,770 | ||||||
25,797 | Regions Financial Corp. | 483,694 | ||||||
4,600 | Seven Bank Ltd. | 8,785 | ||||||
13,340 | Signature Bank | 2,390,661 | ||||||
5,100 | Sumitomo Mitsui Financial Group, Inc. | 151,598 | ||||||
1,400 | The Iyo Bank Ltd. | 6,883 | ||||||
429 | The PNC Financial Services Group, Inc. | 67,683 | ||||||
38,692 | U.S. Bancorp | 1,780,606 | ||||||
23,065 | Virgin Money UK PLC | 36,958 | ||||||
29,668 | Wells Fargo & Co. | 1,162,096 | ||||||
7,252 | Zions Bancorp NA | 369,127 | ||||||
|
| |||||||
38,177,670 | ||||||||
|
| |||||||
Beverages – 0.8% | ||||||||
10,618 | Anheuser-Busch InBev SA | 571,800 | ||||||
2,198 | Asahi Group Holdings Ltd. | 72,282 | ||||||
2,611 | Britvic PLC | 25,881 | ||||||
3,573 | Brown-Forman Corp. Class B | 250,682 | ||||||
13,120 | C&C Group PLC* | 29,543 | ||||||
500 | Coca-Cola Bottlers Japan Holdings, Inc. | 5,977 | ||||||
7,620 | Coca-Cola HBC AG | 169,786 | ||||||
|
|
12 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Beverages – (continued) | ||||||||
11,822 | Constellation Brands, Inc. Class A | $ | 2,755,235 | |||||
10,595 | Davide Campari-Milano NV | 111,774 | ||||||
646 | Diageo PLC | 27,902 | ||||||
1,515 | Heineken Holding NV | 110,057 | ||||||
7,163 | Heineken NV | 651,988 | ||||||
200 | Ito En Ltd. | 8,995 | ||||||
34,052 | Keurig Dr Pepper, Inc. | 1,205,100 | ||||||
2,400 | Kirin Holdings Co. Ltd. | 37,913 | ||||||
6,428 | Molson Coors Beverage Co. Class B | 350,390 | ||||||
72,659 | PepsiCo, Inc. | 12,109,349 | ||||||
5,029 | Pernod Ricard SA | 929,735 | ||||||
500 | Suntory Beverage & Food Ltd. | 18,881 | ||||||
173,337 | The Coca-Cola Co. | 10,904,631 | ||||||
|
| |||||||
30,347,901 | ||||||||
|
| |||||||
Biotechnology – 0.4% | ||||||||
19,073 | AbbVie, Inc. | 2,921,221 | ||||||
2,531 | Amgen, Inc. | 615,792 | ||||||
8,405 | Biogen, Inc.* | 1,714,116 | ||||||
76 | Genus PLC | 2,320 | ||||||
20,091 | Gilead Sciences, Inc. | 1,241,825 | ||||||
35,548 | Horizon Therapeutics PLC* | 2,835,308 | ||||||
6,864 | Incyte Corp.* | 521,458 | ||||||
7,286 | Moderna, Inc.* | 1,040,805 | ||||||
1,471 | Oxford Biomedica PLC* | 8,130 | ||||||
4,097 | Regeneron Pharmaceuticals, Inc.* | 2,421,860 | ||||||
6,598 | Vertex Pharmaceuticals, Inc.* | 1,859,250 | ||||||
|
| |||||||
15,182,085 | ||||||||
|
| |||||||
Building Products – 0.1% | ||||||||
7,158 | A.O. Smith Corp. | 391,399 | ||||||
1,300 | AGC, Inc. | 45,679 | ||||||
8,060 | Allegion PLC | 789,074 | ||||||
18,962 | Carrier Global Corp. | 676,185 | ||||||
13,329 | Cie de Saint-Gobain | 575,936 | ||||||
3,756 | Fortune Brands Home & Security, Inc. | 224,909 | ||||||
2,192 | Lixil Corp. | 41,200 | ||||||
400 | TOTO Ltd. | 13,245 | ||||||
486 | Trex Co., Inc.* | 26,448 | ||||||
3,126 | Tyman PLC | 9,066 | ||||||
|
| |||||||
2,793,141 | ||||||||
|
| |||||||
Capital Markets – 0.3% | ||||||||
17,451 | 3i Group PLC | 236,528 | ||||||
33,793 | abrdn PLC | 65,962 | ||||||
4,394 | AJ Bell PLC | 14,334 | ||||||
2,525 | Ameriprise Financial, Inc. | 600,142 | ||||||
1,399 | Amundi SA(a) | 77,025 | ||||||
16,347 | Ashmore Group PLC | 44,220 | ||||||
217 | Cboe Global Markets, Inc. | 24,562 | ||||||
6,368 | CMC Markets PLC(a) | 21,240 | ||||||
30,538 | Deutsche Bank AG | 268,359 | ||||||
2,564 | Deutsche Boerse AG | 430,564 | ||||||
66 | Euronext NV(a) | 5,413 | ||||||
604 | FactSet Research Systems, Inc. | 232,280 | ||||||
12,040 | Franklin Resources, Inc. | 280,652 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Capital Markets – (continued) | ||||||||
8,172 | Hargreaves Lansdown PLC | 78,847 | ||||||
12,788 | IG Group Holdings PLC | 107,931 | ||||||
2,598 | IntegraFin Holdings PLC | 7,141 | ||||||
40,922 | Intercontinental Exchange, Inc. | 3,848,305 | ||||||
16,078 | Intermediate Capital Group PLC | 257,048 | ||||||
15,492 | Invesco Ltd. | 249,886 | ||||||
35,373 | Investec PLC | 192,619 | ||||||
20,766 | IP Group PLC | 17,776 | ||||||
1,143 | Japan Exchange Group, Inc. | 16,567 | ||||||
33,047 | Jupiter Fund Management PLC | 59,438 | ||||||
1,045 | Liontrust Asset Management PLC | 11,632 | ||||||
42,912 | Man Group PLC | 130,999 | ||||||
731 | MarketAxess Holdings, Inc. | 187,143 | ||||||
8,000 | Molten Ventures PLC* | 40,961 | ||||||
1,150 | Moody’s Corp. | 312,766 | ||||||
13,234 | Morgan Stanley | 1,006,578 | ||||||
5,114 | Ninety One PLC | 12,307 | ||||||
11,100 | Nomura Holdings, Inc. | 40,327 | ||||||
3,386 | Northern Trust Corp. | 326,681 | ||||||
3,663 | Raymond James Financial, Inc. | 327,509 | ||||||
3,600 | SBI Holdings, Inc. | 70,343 | ||||||
296 | Schroders PLC | 9,670 | ||||||
5,930 | St. James’s Place PLC | 79,790 | ||||||
6,212 | State Street Corp. | 382,970 | ||||||
5,318 | T. Rowe Price Group, Inc. | 604,178 | ||||||
10,981 | The Bank of New York Mellon Corp. | 458,018 | ||||||
|
| |||||||
11,138,711 | ||||||||
|
| |||||||
Chemicals – 0.1% | ||||||||
461 | Air Liquide SA | 62,052 | ||||||
1,704 | Air Products & Chemicals, Inc. | 409,778 | ||||||
2,581 | Akzo Nobel NV | 168,792 | ||||||
2,170 | Celanese Corp. | 255,214 | ||||||
5,966 | CF Industries Holdings, Inc. | 511,465 | ||||||
4,502 | Covestro AG(a) | 156,439 | ||||||
300 | Denka Co. Ltd | 7,269 | ||||||
8,782 | Dow, Inc. | 453,239 | ||||||
4,393 | Eastman Chemical Co. | 394,360 | ||||||
2,371 | Ecolab, Inc. | 364,565 | ||||||
2,667 | Johnson Matthey PLC | 62,890 | ||||||
200 | Kansai Paint Co. Ltd. | 2,553 | ||||||
232 | Koninklijke DSM NV | 33,234 | ||||||
1,200 | Kuraray Co. Ltd. | 9,681 | ||||||
6,866 | LyondellBasell Industries NV Class A | 600,500 | ||||||
6,088 | Mitsubishi Chemical Holdings Corp. | 33,080 | ||||||
600 | Nippon Sanso Holdings Corp. | 9,607 | ||||||
400 | Nissan Chemical Corp. | 18,463 | ||||||
1,500 | Nitto Denko Corp. | 97,018 | ||||||
2,164 | PPG Industries, Inc. | 247,432 | ||||||
3,200 | Showa Denko KK | 54,428 | ||||||
3,580 | Solvay SA | 291,649 | ||||||
8,310 | Sumitomo Chemical Co. Ltd. | 32,523 | ||||||
176 | Symrise AG | 19,195 | ||||||
6,893 | Synthomer PLC | 18,909 | ||||||
1,733 | Teijin Ltd. | 18,043 | ||||||
6,180 | The Mosaic Co. | 291,881 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
June 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Chemicals – (continued) | ||||||||
1,591 | The Sherwin-Williams Co. | $ | 356,241 | |||||
200 | Tokyo Ohka Kogyo Co. Ltd. | 9,788 | ||||||
5,800 | Toray Industries, Inc. | 32,647 | ||||||
1,000 | Tosoh Corp. | 12,439 | ||||||
6,666 | Umicore SA | 233,670 | ||||||
100 | Victrex PLC | 2,181 | ||||||
600 | Zeon Corp. | 5,820 | ||||||
|
| |||||||
5,277,045 | ||||||||
|
| |||||||
Commercial Services & Supplies – 0.3% | ||||||||
3,612 | Biffa PLC(a) | 16,480 | ||||||
7,719 | Cintas Corp. | 2,883,278 | ||||||
46,434 | Clean Harbors, Inc.* | 4,070,869 | ||||||
8,616 | Copart, Inc.* | 936,215 | ||||||
700 | Dai Nippon Printing Co. Ltd. | 15,057 | ||||||
2,157 | Elis SA | 28,861 | ||||||
14,500 | Mitie Group PLC | 9,960 | ||||||
1,047 | MSA Safety, Inc. | 126,760 | ||||||
200 | Park24 Co. Ltd.* | 2,765 | ||||||
18,159 | Rentokil Initial PLC | 105,267 | ||||||
19,341 | Republic Services, Inc. | 2,531,157 | ||||||
4,741 | Rollins, Inc. | 165,556 | ||||||
1,400 | Secom Co. Ltd. | 86,443 | ||||||
32,869 | Serco Group PLC | 69,714 | ||||||
400 | Sohgo Security Services Co. Ltd. | 11,107 | ||||||
2,400 | Toppan, Inc. | 40,041 | ||||||
2,835 | Waste Management, Inc. | 433,698 | ||||||
|
| |||||||
11,533,228 | ||||||||
|
| |||||||
Communications Equipment – 0.3% | ||||||||
204,262 | Cisco Systems, Inc. | 8,709,732 | ||||||
2,714 | F5, Inc.* | 415,350 | ||||||
15,208 | Juniper Networks, Inc. | 433,428 | ||||||
1,322 | Motorola Solutions, Inc. | 277,091 | ||||||
73,363 | Nokia Oyj | 340,041 | ||||||
|
| |||||||
10,175,642 | ||||||||
|
| |||||||
Construction & Engineering – 0.1% | ||||||||
460 | Ackermans & van Haaren NV | 68,819 | ||||||
7,977 | ACS Actividades de Construccion y Servicios SA | 194,413 | ||||||
299 | AECOM | 19,501 | ||||||
1,352 | Arcadis NV | 45,282 | ||||||
10,224 | Balfour Beatty PLC | 31,637 | ||||||
5,935 | Bouygues SA | 183,175 | ||||||
5,478 | Eiffage SA | 495,540 | ||||||
1,100 | INFRONEER Holdings, Inc. | 7,818 | ||||||
1,500 | JGC Holdings Corp. | 19,266 | ||||||
506 | Morgan Sindall Group PLC | 11,221 | ||||||
761 | Taisei Corp. | 23,728 | ||||||
6,258 | Vinci SA | 561,727 | ||||||
|
| |||||||
1,662,127 | ||||||||
|
| |||||||
Construction Materials – 0.1% | ||||||||
54,370 | CRH PLC | 1,875,681 | ||||||
7,644 | HeidelbergCement AG | 369,062 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Construction Materials – (continued) | ||||||||
24,926 | Ibstock PLC(a) | 50,219 | ||||||
372 | Marshalls PLC | 2,032 | ||||||
621 | Martin Marietta Materials, Inc. | 185,828 | ||||||
300 | Sumitomo Osaka Cement Co. Ltd. | 7,455 | ||||||
519 | Taiheiyo Cement Corp. | 7,733 | ||||||
4,153 | Wienerberger AG | 89,674 | ||||||
|
| |||||||
2,587,684 | ||||||||
|
| |||||||
Consumer Finance – 0.1% | ||||||||
15,329 | American Express Co. | 2,124,906 | ||||||
7,731 | Capital One Financial Corp. | 805,493 | ||||||
1,029 | Credit Saison Co. Ltd. | 11,808 | ||||||
6,599 | Discover Financial Services | 624,133 | ||||||
17,222 | Synchrony Financial | 475,672 | ||||||
|
| |||||||
4,042,012 | ||||||||
|
| |||||||
Containers & Packaging – 0.2% | ||||||||
20,281 | Amcor PLC | 252,093 | ||||||
1,434 | Avery Dennison Corp. | 232,121 | ||||||
46,326 | Ball Corp. | 3,185,839 | ||||||
28,595 | Crown Holdings, Inc. | 2,635,601 | ||||||
20,671 | DS Smith PLC | 70,009 | ||||||
7,302 | International Paper Co. | 305,442 | ||||||
2,154 | Smurfit Kappa Funding PLC | 72,446 | ||||||
3,203 | Smurfit Kappa Group PLC | 108,012 | ||||||
7,214 | Westrock Co. | 287,406 | ||||||
|
| |||||||
7,148,969 | ||||||||
|
| |||||||
Distributors – 0.0% | ||||||||
1,283 | D’ieteren Group | 188,531 | ||||||
3,941 | Genuine Parts Co. | 524,153 | ||||||
8,669 | Inchcape PLC | 73,669 | ||||||
9,852 | LKQ Corp. | 483,635 | ||||||
|
| |||||||
1,269,988 | ||||||||
|
| |||||||
Diversified Financial Services – 0.6% | ||||||||
73,824 | Berkshire Hathaway, Inc. Class B* | 20,155,428 | ||||||
28,414 | Chrysalis Investments Ltd.* | 36,067 | ||||||
1,227 | Eurazeo SE | 76,226 | ||||||
1,477 | EXOR NV | 92,298 | ||||||
3,800 | Mitsubishi HC Capital, Inc. | 17,538 | ||||||
11,300 | ORIX Corp. | 189,386 | ||||||
2,806 | Plus500 Ltd. | 57,186 | ||||||
392 | Sofina SA | 80,353 | ||||||
400 | Tokyo Century Corp. | 13,289 | ||||||
628 | Wendel SE | 52,635 | ||||||
|
| |||||||
20,770,406 | ||||||||
|
| |||||||
Diversified Telecommunication Services – 0.3% | ||||||||
58,430 | AT&T, Inc. | 1,224,693 | ||||||
73,279 | BT Group PLC | 166,545 | ||||||
39,798 | Deutsche Telekom AG | 791,552 | ||||||
5,111 | Elisa Oyj | 287,735 | ||||||
636 | Infrastrutture Wireless Italiane SpA(a) | 6,466 | ||||||
500 | Internet Initiative Japan, Inc. | 17,523 | ||||||
|
|
14 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Diversified Telecommunication Services – (continued) | ||||||||
28,661 | Lumen Technologies, Inc. | $ | 312,692 | |||||
10,277 | Nippon Telegraph & Telephone Corp. | 295,291 | ||||||
30,248 | Orange SA | 356,430 | ||||||
4,733 | Proximus SADP | 69,858 | ||||||
1,067,166 | Telecom Italia SpA* | 279,819 | ||||||
73,603 | Telefonica SA | 375,782 | ||||||
1,446 | United Internet AG | 41,448 | ||||||
160,114 | Verizon Communications, Inc. | 8,125,786 | ||||||
|
| |||||||
12,351,620 | ||||||||
|
| |||||||
Electric Utilities – 0.3% | ||||||||
529 | Acciona SA | 97,473 | ||||||
3,322 | American Electric Power Co., Inc. | 318,713 | ||||||
3,352 | Edison International | 211,980 | ||||||
786 | Elia Group SA | 111,628 | ||||||
14,557 | Endesa SA | 275,381 | ||||||
89,970 | Enel SpA | 493,415 | ||||||
22,531 | Entergy Corp. | 2,537,892 | ||||||
2,593 | Evergy, Inc. | 169,193 | ||||||
11,828 | Eversource Energy | 999,111 | ||||||
17,639 | Exelon Corp. | 799,399 | ||||||
5,493 | FirstEnergy Corp. | 210,876 | ||||||
12,507 | Fortum Oyj | 189,042 | ||||||
137,846 | Iberdrola SA | 1,435,172 | ||||||
1,935 | IDACORP, Inc. | 204,955 | ||||||
7,142 | NRG Energy, Inc. | 272,610 | ||||||
7,450 | PPL Corp. | 202,119 | ||||||
16,034 | Xcel Energy, Inc. | 1,134,566 | ||||||
|
| |||||||
9,663,525 | ||||||||
|
| |||||||
Electrical Equipment – 0.0% | ||||||||
418 | AMETEK, Inc. | 45,934 | ||||||
2,405 | Eaton Corp. PLC | 303,006 | ||||||
3,784 | Emerson Electric Co. | 300,979 | ||||||
500 | Fuji Electric Co. Ltd. | 20,672 | ||||||
6,718 | Legrand SA | 498,802 | ||||||
4,675 | Mitsubishi Electric Corp. | 50,252 | ||||||
3,089 | Prysmian SpA | 84,864 | ||||||
11,209 | Siemens Energy AG* | 165,202 | ||||||
|
| |||||||
1,469,711 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 0.1% | ||||||||
1,300 | Anritsu Corp. | 14,075 | ||||||
336 | Horiba Ltd. | 14,333 | ||||||
900 | Ibiden Co. Ltd. | 25,498 | ||||||
2,047 | IPG Photonics Corp.* | 192,684 | ||||||
1,529 | Keysight Technologies, Inc.* | 210,773 | ||||||
4,500 | Murata Manufacturing Co. Ltd. | 244,923 | ||||||
497 | Nippon Electric Glass Co. Ltd. | 9,519 | ||||||
600 | Shimadzu Corp. | 19,017 | ||||||
8,759 | TE Connectivity Ltd. | 991,081 | ||||||
1,644 | Yokogawa Electric Corp. | 27,197 | ||||||
9,679 | Zebra Technologies Corp. Class A* | 2,845,142 | ||||||
|
| |||||||
4,594,242 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Energy Equipment & Services – 0.0% | ||||||||
18,117 | Petrofac Ltd.* | 24,722 | ||||||
14,752 | Schlumberger N.V | 527,532 | ||||||
|
| |||||||
552,254 | ||||||||
|
| |||||||
Entertainment – 0.3% | ||||||||
6,073 | Bollore SA | 28,311 | ||||||
600 | Capcom Co. Ltd. | 14,596 | ||||||
59 | CTS Eventim AG & Co. KGaA* | 3,112 | ||||||
500 | DeNA Co. Ltd. | 6,983 | ||||||
2,099 | Electronic Arts, Inc. | 255,343 | ||||||
800 | GungHo Online Entertainment, Inc. | 14,193 | ||||||
1,500 | Konami Holdings Corp. | 83,102 | ||||||
3,419 | Live Nation Entertainment, Inc.* | 282,341 | ||||||
1,100 | Square Enix Holdings Co. Ltd. | 48,826 | ||||||
21,444 | Take-Two Interactive Software, Inc.* | 2,627,533 | ||||||
80,393 | The Walt Disney Co.* | 7,589,099 | ||||||
2,473 | Ubisoft Entertainment SA* | 109,068 | ||||||
32,413 | Universal Music Group NV | 649,427 | ||||||
45,042 | Warner Bros Discovery, Inc.* | 604,464 | ||||||
|
| |||||||
12,316,398 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) – 0.6% | ||||||||
262 | Aedifica SA | 25,174 | ||||||
26,139 | American Tower Corp. | 6,680,867 | ||||||
89,825 | Assura PLC | 71,511 | ||||||
1,110 | AvalonBay Communities, Inc. | 215,618 | ||||||
5,219 | Big Yellow Group PLC | 83,736 | ||||||
2,958 | Boston Properties, Inc. | 263,203 | ||||||
2,119 | Camden Property Trust | 284,963 | ||||||
533 | Cofinimmo SA | 58,132 | ||||||
6,459 | Cousins Properties, Inc. | 188,797 | ||||||
642 | Covivio | 35,867 | ||||||
24,613 | Crown Castle International Corp. | 4,144,337 | ||||||
3,505 | Derwent London PLC | 111,752 | ||||||
6,172 | Equinix, Inc. | 4,055,127 | ||||||
1,697 | Gecina SA | 159,263 | ||||||
16,890 | Host Hotels & Resorts, Inc. | 264,835 | ||||||
5,807 | Klepierre SA* | 112,377 | ||||||
32,657 | LondonMetric Property PLC | 90,761 | ||||||
14,644 | LXI REIT Plc | 25,367 | ||||||
4,976 | Mid-America Apartment Communities, Inc. | 869,158 | ||||||
45,966 | Primary Health Properties PLC | 76,376 | ||||||
12,016 | Regency Centers Corp. | 712,669 | ||||||
9,136 | Safestore Holdings PLC | 118,298 | ||||||
10,952 | SBA Communications Corp. Class A | 3,505,188 | ||||||
2,697 | Simon Property Group, Inc. | 255,999 | ||||||
117,071 | Tritax Big Box REIT PLC | 259,425 | ||||||
66,342 | UK Commercial Property REIT Ltd. | 60,637 | ||||||
2,583 | Unibail-Rodamco-Westfield* | 131,319 | ||||||
11,611 | Vornado Realty Trust | 331,958 | ||||||
189 | Warehouses De Pauw CVA | 5,964 | ||||||
18,260 | Weyerhaeuser Co. | 604,771 | ||||||
4,416 | Workspace Group PLC | 29,740 | ||||||
|
| |||||||
23,833,189 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 15 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
June 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Food & Staples Retailing – 0.4% | ||||||||
11,242 | Carrefour SA | $ | 199,560 | |||||
200 | Cosmos Pharmaceutical Corp. | 19,209 | ||||||
1,913 | Costco Wholesale Corp. | 916,863 | ||||||
5,577 | HelloFresh SE* | 181,948 | ||||||
29,293 | J Sainsbury PLC | 72,900 | ||||||
4,787 | Jeronimo Martins SGPS SA | 103,774 | ||||||
200 | Kobe Bussan Co. Ltd. | 4,916 | ||||||
27,014 | Koninklijke Ahold Delhaize NV | 703,148 | ||||||
200 | Kusuri no Aoki Holdings Co. Ltd. | 8,574 | ||||||
1,031 | Lawson, Inc. | 34,312 | ||||||
39,442 | Marks & Spencer Group PLC* | 65,436 | ||||||
1,600 | MatsukiyoCocokara & Co. | 64,703 | ||||||
2,472 | Seven & i Holdings Co. Ltd. | 95,914 | ||||||
800 | Sundrug Co. Ltd. | 17,891 | ||||||
63,586 | Tesco PLC | 198,172 | ||||||
15,318 | The Kroger Co. | 725,001 | ||||||
11,730 | Walgreens Boots Alliance, Inc. | 444,567 | ||||||
91,091 | Walmart, Inc. | 11,074,844 | ||||||
|
| |||||||
14,931,732 | ||||||||
|
| |||||||
Food Products – 0.2% | ||||||||
1,400 | Ajinomoto Co., Inc. | 34,140 | ||||||
7,210 | Archer-Daniels-Midland Co. | 559,496 | ||||||
10,927 | Associated British Foods PLC | 210,843 | ||||||
400 | Calbee, Inc. | 8,062 | ||||||
9,977 | Campbell Soup Co. | 479,395 | ||||||
9,391 | Conagra Brands, Inc. | 321,548 | ||||||
7,791 | Danone SA | 436,313 | ||||||
11,939 | General Mills, Inc. | 900,797 | ||||||
3,711 | Glanbia PLC | 40,293 | ||||||
15,144 | Greencore Group PLC* | 18,306 | ||||||
49 | Hilton Food Group PLC | 610 | ||||||
1,848 | JDE Peet’s NV | 52,617 | ||||||
2,951 | Kerry Group PLC Class A | 282,210 | ||||||
344 | Lamb Weston Holdings, Inc. | 24,582 | ||||||
500 | MEIJI Holdings Co. Ltd. | 24,569 | ||||||
33,020 | Mondelez International, Inc. Class A | 2,050,212 | ||||||
300 | Morinaga & Co. Ltd. | 9,613 | ||||||
400 | Morinaga Milk Industry Co. Ltd. | 14,325 | ||||||
1,983 | Nippon Suisan Kaisha Ltd. | 8,383 | ||||||
6,864 | Premier Foods PLC | 9,425 | ||||||
1,384 | The Hershey Co. | 297,781 | ||||||
3,906 | The J.M. Smucker Co. | 500,007 | ||||||
42,450 | The Kraft Heinz Co. | 1,619,043 | ||||||
5,522 | Tyson Foods, Inc. Class A | 475,223 | ||||||
600 | Yakult Honsha Co. Ltd. | 34,608 | ||||||
1,587 | Yamazaki Baking Co. Ltd. | 19,414 | ||||||
|
| |||||||
8,431,815 | ||||||||
|
| |||||||
Gas Utilities – 0.0% | ||||||||
1,549 | Atmos Energy Corp. | 173,643 | ||||||
15,205 | Enagas SA | 336,282 | ||||||
34,459 | Italgas SpA | 201,080 | ||||||
2,800 | Osaka Gas Co. Ltd. | 53,663 | ||||||
1,366 | Rubis SCA | 32,128 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Gas Utilities – (continued) | ||||||||
73,854 | Snam SpA | 387,465 | ||||||
|
| |||||||
1,184,261 | ||||||||
|
| |||||||
Health Care Equipment & Supplies – 0.8% | ||||||||
22,096 | Abbott Laboratories | 2,400,730 | ||||||
660 | ABIOMED, Inc.* | 163,357 | ||||||
15,958 | Becton Dickinson & Co. | 3,934,126 | ||||||
446 | BioMerieux | 43,732 | ||||||
121,440 | Boston Scientific Corp.* | 4,526,069 | ||||||
53,126 | ConvaTec Group PLC(a) | 145,617 | ||||||
11,448 | DENTSPLY SIRONA, Inc. | 409,037 | ||||||
3,501 | DexCom, Inc.* | 260,930 | ||||||
688 | DiaSorin SpA | 90,479 | ||||||
4,529 | Edwards Lifesciences Corp.* | 430,663 | ||||||
7,094 | Globus Medical, Inc. Class A* | 398,257 | ||||||
37,731 | Hologic, Inc.* | 2,614,758 | ||||||
3,219 | Hoya Corp. | 275,491 | ||||||
683 | IDEXX Laboratories, Inc.* | 239,549 | ||||||
12,863 | Koninklijke Philips NV | 275,892 | ||||||
14,306 | Masimo Corp.* | 1,869,365 | ||||||
76,011 | Medtronic PLC | 6,821,987 | ||||||
3,200 | Olympus Corp. | 64,849 | ||||||
9,761 | Siemens Healthineers AG(a) | 497,678 | ||||||
37,722 | Smith & Nephew PLC | 527,534 | ||||||
10,100 | STERIS PLC | 2,082,115 | ||||||
7,292 | Stryker Corp. | 1,450,598 | ||||||
3,330 | Teleflex, Inc. | 818,680 | ||||||
1,700 | Terumo Corp. | 51,427 | ||||||
889 | The Cooper Cos., Inc. | 278,364 | ||||||
5,287 | Zimmer Biomet Holdings, Inc. | 555,452 | ||||||
|
| |||||||
31,226,736 | ||||||||
|
| |||||||
Health Care Providers & Services – 1.3% | ||||||||
1,000 | Alfresa Holdings Corp. | 13,445 | ||||||
27,963 | AmerisourceBergen Corp. | 3,956,205 | ||||||
327 | Amplifon SpA | 10,053 | ||||||
34,337 | Cardinal Health, Inc. | 1,794,795 | ||||||
46,810 | Centene Corp.* | 3,960,594 | ||||||
3,242 | Cigna Corp. | 854,332 | ||||||
73,570 | CVS Health Corp. | 6,816,996 | ||||||
2,926 | DaVita, Inc.* | 233,963 | ||||||
15,224 | Elevance Health, Inc. | 7,346,798 | ||||||
11,417 | Fresenius Medical Care AG & Co. KGaA | 572,004 | ||||||
7,874 | Fresenius SE & Co. KGaA | 239,462 | ||||||
3,005 | HCA Healthcare, Inc. | 505,020 | ||||||
3,735 | Henry Schein, Inc.* | 286,624 | ||||||
2,389 | Humana, Inc. | 1,118,219 | ||||||
1,682 | Laboratory Corp. of America Holdings | 394,194 | ||||||
1,795 | McKesson Corp. | 585,547 | ||||||
4,352 | Mediclinic International PLC* | 24,355 | ||||||
770 | Medipal Holdings Corp. | 10,862 | ||||||
1,923 | Molina Healthcare, Inc.* | 537,690 | ||||||
4,432 | Quest Diagnostics, Inc. | 589,367 | ||||||
6,339 | Spire Healthcare Group PLC*(a) | 18,127 | ||||||
38,050 | UnitedHealth Group, Inc. | 19,543,622 | ||||||
|
|
16 | 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 Providers & Services – (continued) | ||||||||
2,483 | Universal Health Services, Inc. Class B | $ | 250,063 | |||||
|
| |||||||
49,662,337 | ||||||||
|
| |||||||
Health Care Technology – 0.0% | ||||||||
2,400 | M3, Inc. | 69,084 | ||||||
264 | Veeva Systems, Inc. Class A* | 52,282 | ||||||
|
| |||||||
121,366 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure – 0.5% | ||||||||
10,191 | Aramark | 312,150 | ||||||
2,544 | Booking Holdings, Inc.* | 4,449,430 | ||||||
5,499 | Caesars Entertainment, Inc.* | 210,612 | ||||||
2,741 | Chipotle Mexican Grill, Inc.* | 3,583,200 | ||||||
2,344 | Choice Hotels International, Inc. | 261,661 | ||||||
12,341 | Compass Group PLC | 253,378 | ||||||
4,282 | Darden Restaurants, Inc. | 484,380 | ||||||
19,051 | Domino’s Pizza Group PLC | 64,749 | ||||||
730 | Domino’s Pizza, Inc. | 284,488 | ||||||
6,260 | Entain PLC* | 95,262 | ||||||
30,047 | Expedia Group, Inc.* | 2,849,357 | ||||||
181 | Flutter Entertainment PLC* | 18,349 | ||||||
1,200 | Food & Life Cos Ltd. | 25,745 | ||||||
4,000 | Greggs PLC | 88,575 | ||||||
3,689 | J D Wetherspoon PLC* | 28,061 | ||||||
3,212 | La Francaise des Jeux SAEM(a) | 111,534 | ||||||
3,643 | McDonald’s Corp. | 899,384 | ||||||
83,882 | MGM Resorts International | 2,428,384 | ||||||
8,774 | Penn National Gaming, Inc.* | 266,905 | ||||||
313 | Planet Fitness, Inc. Class A* | 21,287 | ||||||
5,898 | Playtech PLC* | 39,018 | ||||||
100 | Resorttrust, Inc. | 1,638 | ||||||
32,869 | Royal Caribbean Cruises Ltd.* | 1,147,457 | ||||||
1,300 | Skylark Holdings Co. Ltd.* | 15,244 | ||||||
3,095 | Sodexo SA | 218,923 | ||||||
6,286 | Starbucks Corp. | 480,187 | ||||||
3,752 | Trainline PLC*(a) | 13,154 | ||||||
24,406 | TUI AG* | 39,625 | ||||||
3,147 | Vail Resorts, Inc. | 686,203 | ||||||
2,615 | Whitbread PLC | 79,299 | ||||||
500 | Yoshinoya Holdings Co. Ltd. | 9,219 | ||||||
2,401 | Yum! Brands, Inc. | 272,537 | ||||||
|
| |||||||
19,739,395 | ||||||||
|
| |||||||
Household Durables – 0.1% | ||||||||
1,397 | Berkeley Group Holdings PLC* | 63,514 | ||||||
1,300 | Casio Computer Co. Ltd. | 12,063 | ||||||
7,403 | Crest Nicholson Holdings plc | 22,075 | ||||||
3,462 | D.R. Horton, Inc. | 229,150 | ||||||
900 | Haseko Corp. | 10,570 | ||||||
42,045 | Lennar Corp. Class A | 2,967,115 | ||||||
1,952 | Mohawk Industries, Inc.* | 242,224 | ||||||
7,000 | Nikon Corp. | 80,723 | ||||||
70 | NVR, Inc.* | 280,290 | ||||||
11,028 | PulteGroup, Inc. | 437,039 | ||||||
6,038 | Redrow PLC | 36,049 | ||||||
554 | SEB SA | 53,464 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Household Durables – (continued) | ||||||||
1,800 | Sekisui Chemical Co. Ltd. | 24,678 | ||||||
2,500 | Sharp Corp. | 19,338 | ||||||
1,100 | Sumitomo Forestry Co. Ltd. | 15,644 | ||||||
49,123 | Taylor Wimpey PLC | 69,973 | ||||||
4,507 | Vistry Group PLC | 45,905 | ||||||
1,688 | Whirlpool Corp. | 261,420 | ||||||
|
| |||||||
4,871,234 | ||||||||
|
| |||||||
Household Products – 0.4% | ||||||||
479 | Church & Dwight Co., Inc. | 44,384 | ||||||
1,780 | The Clorox Co. | 250,945 | ||||||
104,576 | The Procter & Gamble Co. | 15,036,983 | ||||||
|
| |||||||
15,332,312 | ||||||||
|
| |||||||
Independent Power and Renewable Electricity Producers – 0.1% | ||||||||
7,904 | ContourGlobal PLC(a) | 24,300 | ||||||
14,595 | Drax Group PLC | 114,563 | ||||||
374 | EDP Renovaveis SA | 8,835 | ||||||
8,811 | RWE AG | 325,884 | ||||||
170,858 | The AES Corp. | 3,589,727 | ||||||
|
| |||||||
4,063,309 | ||||||||
|
| |||||||
Industrial Conglomerates – 0.3% | ||||||||
14,441 | 3M Co. | 1,868,810 | ||||||
1,200 | DCC PLC | 74,660 | ||||||
10,713 | General Electric Co. | 682,097 | ||||||
3,000 | Hitachi Ltd. | 142,710 | ||||||
30,741 | Honeywell International, Inc. | 5,343,093 | ||||||
300 | Keihan Holdings Co. Ltd. | 7,477 | ||||||
56,683 | Melrose Industries PLC | 103,971 | ||||||
1,754 | Nisshinbo Holdings, Inc. | 13,210 | ||||||
7,337 | Siemens AG | 754,218 | ||||||
20,320 | Smiths Group PLC | 347,489 | ||||||
|
| |||||||
9,337,735 | ||||||||
|
| |||||||
Insurance – 1.0% | ||||||||
3,927 | Admiral Group PLC | 107,522 | ||||||
35,413 | Aegon NV | 152,511 | ||||||
8,324 | Aflac, Inc. | 460,567 | ||||||
7,669 | Allianz SE | 1,470,226 | ||||||
15,529 | American International Group, Inc. | 793,998 | ||||||
18,107 | Aon PLC Class A | 4,883,096 | ||||||
16,339 | Arthur J. Gallagher & Co. | 2,663,910 | ||||||
2,436 | ASR Nederland NV | 98,212 | ||||||
28,092 | Aviva PLC | 137,602 | ||||||
23,029 | AXA SA | 526,018 | ||||||
8,983 | Beazley PLC | 54,773 | ||||||
31,171 | Chubb Ltd. | 6,127,595 | ||||||
4,228 | Cincinnati Financial Corp. | 503,047 | ||||||
7,900 | Dai-ichi Life Holdings, Inc. | 146,113 | ||||||
20,919 | Direct Line Insurance Group PLC | 64,210 | ||||||
1,020 | Everest Re Group Ltd. | 285,886 | ||||||
2,543 | Globe Life, Inc. | 247,866 | ||||||
84 | Hannover Rueck SE | 12,252 | ||||||
13,192 | Japan Post Holdings Co. Ltd. | 94,388 | ||||||
3,388 | Japan Post Insurance Co. Ltd. | 54,224 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 17 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
June 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Insurance – (continued) | ||||||||
103,266 | Legal & General Group PLC | $ | 301,906 | |||||
5,188 | Lincoln National Corp. | 242,643 | ||||||
12,690 | Loews Corp. | 752,009 | ||||||
3,297 | Marsh & McLennan Cos., Inc. | 511,859 | ||||||
9,146 | MetLife, Inc. | 574,277 | ||||||
1,000 | MS&AD Insurance Group Holdings, Inc. | 30,663 | ||||||
4,436 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 1,049,324 | ||||||
15,245 | NN Group NV | 690,489 | ||||||
12,904 | Poste Italiane SpA(a) | 120,736 | ||||||
4,649 | Principal Financial Group, Inc. | 310,507 | ||||||
32,344 | Prudential Financial, Inc. | 3,094,674 | ||||||
39,855 | Prudential PLC | 495,766 | ||||||
602 | Sampo Oyj Class A | 26,308 | ||||||
791 | Sompo Holdings, Inc. | 34,937 | ||||||
26,238 | The Allstate Corp. | 3,325,142 | ||||||
1,341 | The Hanover Insurance Group, Inc. | 196,121 | ||||||
8,697 | The Hartford Financial Services Group, Inc. | 569,045 | ||||||
33,123 | The Progressive Corp. | 3,851,211 | ||||||
4,593 | The Travelers Cos., Inc. | 776,814 | ||||||
1,600 | Tokio Marine Holdings, Inc. | 93,299 | ||||||
3,487 | W.R. Berkley Corp. | 238,023 | ||||||
1,052 | Willis Towers Watson PLC | 207,654 | ||||||
|
| |||||||
36,377,423 | ||||||||
|
| |||||||
Interactive Media & Services – 1.6% | ||||||||
18,173 | Alphabet, Inc. Class A* | 39,603,692 | ||||||
14,781 | Auto Trader Group PLC(a) | 100,105 | ||||||
28,459 | IAC/InterActiveCorp.* | 2,162,030 | ||||||
900 | Kakaku.com, Inc. | 14,948 | ||||||
3,221 | Match Group, Inc.* | 224,472 | ||||||
114,342 | Meta Platforms, Inc. Class A* | 18,437,648 | ||||||
16,849 | Moneysupermarket.com Group PLC | 35,669 | ||||||
13,348 | Rightmove PLC | 92,499 | ||||||
2,243 | Scout24 SE(a) | 115,549 | ||||||
5,463 | Trustpilot Group PLC*(a) | 6,703 | ||||||
23,000 | Z Holdings Corp. | 66,886 | ||||||
|
| |||||||
60,860,201 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail – 1.0% | ||||||||
337,616 | Amazon.com, Inc.* | 35,858,195 | ||||||
14,388 | eBay, Inc. | 599,548 | ||||||
2,618 | Moonpig Group PLC* | 7,195 | ||||||
7,900 | Rakuten Group, Inc. | 35,720 | ||||||
6,032 | Zalando SE*(a) | 158,899 | ||||||
1,100 | ZOZO, Inc. | 19,902 | ||||||
|
| |||||||
36,679,459 | ||||||||
|
| |||||||
IT Services – 1.4% | ||||||||
4,801 | Accenture PLC Class A | 1,332,998 | ||||||
373 | Adyen NV*(a) | 538,288 | ||||||
14,469 | Akamai Technologies, Inc.* | 1,321,454 | ||||||
662 | Alten SA | 72,527 | ||||||
3,784 | Amadeus IT Group SA* | 211,882 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
IT Services – (continued) | ||||||||
8,677 | Atos SE* | 117,634 | ||||||
400 | BIPROGY, Inc. | 7,977 | ||||||
3,708 | Capgemini SE | 639,482 | ||||||
22,463 | Cognizant Technology Solutions Corp. Class A | 1,516,028 | ||||||
1,071 | Computacenter PLC | 30,670 | ||||||
9,867 | DXC Technology Co.* | 299,069 | ||||||
310 | Edenred | 14,685 | ||||||
1,240 | FDM Group Holdings PLC | 12,970 | ||||||
7,034 | Fidelity National Information Services, Inc. | 644,807 | ||||||
16,600 | Finablr PLC*(a)(b) | — | ||||||
21,275 | Fiserv, Inc.* | 1,892,837 | ||||||
5,549 | FleetCor Technologies, Inc.* | 1,165,900 | ||||||
11,551 | Gartner, Inc.* | 2,793,378 | ||||||
4,235 | Global Payments, Inc. | 468,560 | ||||||
12,114 | International Business Machines Corp. | 1,710,376 | ||||||
10,409 | Jack Henry & Associates, Inc. | 1,873,828 | ||||||
128 | Kainos Group PLC | 1,738 | ||||||
39,159 | Mastercard, Inc. Class A | 12,353,881 | ||||||
3,814 | NCC Group PLC | 8,695 | ||||||
954 | NEC Corp. | 37,222 | ||||||
1,200 | NET One Systems Co. Ltd. | 26,669 | ||||||
10,085 | NTT Data Corp. | 139,908 | ||||||
1,100 | Otsuka Corp. | 32,737 | ||||||
2,808 | Paychex, Inc. | 319,747 | ||||||
79,392 | PayPal Holdings, Inc.* | 5,544,737 | ||||||
886 | SCSK Corp. | 15,047 | ||||||
200 | SHIFT, Inc.* | 26,228 | ||||||
168 | Softcat PLC | 2,704 | ||||||
156 | Sopra Steria Group SACA | 23,460 | ||||||
1,100 | TIS, Inc. | 28,942 | ||||||
1,275 | VeriSign, Inc.* | 213,346 | ||||||
86,287 | Visa, Inc. Class A | 16,989,047 | ||||||
5,306 | Worldline SA*(a) | 197,910 | ||||||
|
| |||||||
52,627,368 | ||||||||
|
| |||||||
Leisure Products – 0.0% | ||||||||
500 | Bandai Namco Holdings, Inc. | 35,296 | ||||||
2,600 | Sega Sammy Holdings, Inc. | 41,762 | ||||||
1,200 | Yamaha Corp. | 49,470 | ||||||
547 | YETI Holdings, Inc.* | 23,669 | ||||||
|
| |||||||
150,197 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 1.0% | ||||||||
9,133 | Agilent Technologies, Inc. | 1,084,726 | ||||||
592 | Bio-Rad Laboratories, Inc. Class A* | 293,040 | ||||||
595 | Bio-Techne Corp. | 206,251 | ||||||
1,225 | Charles River Laboratories International, Inc.* | 262,113 | ||||||
45,703 | Danaher Corp. | 11,586,625 | ||||||
2,553 | Eurofins Scientific SE | 201,631 | ||||||
14,734 | Illumina, Inc.* | 2,716,360 | ||||||
26,368 | IQVIA Holdings, Inc.* | 5,721,592 | ||||||
25,834 | PerkinElmer, Inc. | 3,674,112 | ||||||
15,047 | QIAGEN N.V.* | 708,521 | ||||||
|
|
18 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Life Sciences Tools & Services – (continued) | ||||||||
19,361 | Thermo Fisher Scientific, Inc. | $ | 10,518,444 | |||||
|
| |||||||
36,973,415 | ||||||||
|
| |||||||
Machinery – 0.4% | ||||||||
4,378 | Aalberts NV | 170,010 | ||||||
2,800 | Amada Co. Ltd. | 20,642 | ||||||
982 | ANDRITZ AG | 39,640 | ||||||
3,908 | Bodycote PLC | 25,148 | ||||||
24,420 | Caterpillar, Inc. | 4,365,319 | ||||||
16,858 | CNH Industrial NV | 194,969 | ||||||
2,014 | Cummins, Inc. | 389,769 | ||||||
500 | Daifuku Co. Ltd. | 28,615 | ||||||
9,278 | Daimler Truck Holding AG* | 244,344 | ||||||
1,700 | DMG Mori Co. Ltd. | 21,143 | ||||||
2,491 | Dover Corp. | 302,208 | ||||||
600 | Ebara Corp. | 22,421 | ||||||
5,361 | Fluidra SA | 109,080 | ||||||
6,209 | Fortive Corp. | 337,645 | ||||||
5,707 | GEA Group AG | 197,850 | ||||||
244 | Graco, Inc. | 14,496 | ||||||
8,200 | Hino Motors Ltd. | 42,210 | ||||||
300 | Hoshizaki Corp. | 8,942 | ||||||
1,200 | IHI Corp. | 32,057 | ||||||
331 | Illinois Tool Works, Inc. | 60,325 | ||||||
8,713 | IMI PLC | 124,968 | ||||||
7,407 | Ingersoll Rand, Inc. | 311,687 | ||||||
5,300 | Kawasaki Heavy Industries Ltd. | 99,471 | ||||||
3,890 | Knorr-Bremse AG | 222,799 | ||||||
456 | Kone Oyj Class B | 21,795 | ||||||
300 | Kurita Water Industries Ltd. | 10,859 | ||||||
9,028 | Metso Outotec Oyj | 68,142 | ||||||
1,100 | MISUMI Group, Inc. | 23,231 | ||||||
1,800 | Mitsubishi Heavy Industries Ltd. | 62,913 | ||||||
400 | Miura Co. Ltd. | 7,925 | ||||||
8,380 | Morgan Advanced Materials PLC | 28,053 | ||||||
662 | Nabtesco Corp. | 15,534 | ||||||
1,200 | NGK Insulators Ltd. | 16,167 | ||||||
954 | Nordson Corp. | 193,128 | ||||||
4,568 | Otis Worldwide Corp. | 322,821 | ||||||
30,207 | PACCAR, Inc. | 2,487,244 | ||||||
2,838 | Parker-Hannifin Corp. | 698,290 | ||||||
5,255 | Pentair PLC | 240,521 | ||||||
58 | Rational AG | 33,813 | ||||||
11,657 | Rotork PLC | 34,244 | ||||||
1,361 | Snap-on, Inc. | 268,158 | ||||||
500 | Sumitomo Heavy Industries Ltd. | 11,068 | ||||||
1,200 | The Japan Steel Works Ltd. | 26,135 | ||||||
2,859 | Valmet Oyj | 70,455 | ||||||
15,631 | Wartsila OYJ Abp | 122,528 | ||||||
12,138 | Westinghouse Air Brake Technologies Corp. | 996,287 | ||||||
200 | Yaskawa Electric Corp. | 6,460 | ||||||
|
| |||||||
13,151,529 | ||||||||
|
| |||||||
Marine – 0.0% | ||||||||
644 | Clarkson PLC | 23,512 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Marine – (continued) | ||||||||
600 | Kawasaki Kisen Kaisha Ltd. | 36,714 | ||||||
2,100 | Mitsui OSK Lines Ltd. | 48,310 | ||||||
900 | Nippon Yusen KK | 61,708 | ||||||
|
| |||||||
170,244 | ||||||||
|
| |||||||
Media – 0.3% | ||||||||
9,488 | Ascential PLC* | 29,932 | ||||||
1,504 | Charter Communications, Inc. Class A* | 704,669 | ||||||
207,455 | Comcast Corp. Class A | 8,140,534 | ||||||
6,800 | CyberAgent, Inc. | 68,126 | ||||||
2,209 | Dentsu Group, Inc. | 66,596 | ||||||
35,390 | Fox Corp. Class A | 1,138,142 | ||||||
8,402 | Future PLC | 177,800 | ||||||
67,589 | Informa PLC* | 436,666 | ||||||
75,058 | ITV PLC | 59,939 | ||||||
17,301 | News Corp. Class A | 269,550 | ||||||
4,060 | Omnicom Group, Inc. | 258,257 | ||||||
9,464 | Pearson PLC | 86,666 | ||||||
14,776 | ProSiebenSat.1 Media SE | 137,433 | ||||||
3,914 | Publicis Groupe SA | 192,493 | ||||||
800 | TBS Holdings, Inc. | 10,040 | ||||||
10,082 | The Interpublic Group of Cos., Inc. | 277,557 | ||||||
55,103 | Vivendi SE | 562,320 | ||||||
11,570 | WPP PLC | 116,871 | ||||||
|
| |||||||
12,733,591 | ||||||||
|
| |||||||
Metals & Mining – 0.1% | ||||||||
16,330 | Anglo American PLC | 583,774 | ||||||
6,484 | Antofagasta PLC | 91,560 | ||||||
10,727 | ArcelorMittal SA | 240,557 | ||||||
1,219 | Aurubis AG | 83,179 | ||||||
400 | Dowa Holdings Co. Ltd. | 13,243 | ||||||
2,357 | Endeavour Mining PLC | 48,833 | ||||||
7,048 | Evraz PLC(b) | — | ||||||
21,710 | Ferrexpo PLC | 34,630 | ||||||
26,142 | Freeport-McMoRan, Inc. | 764,915 | ||||||
5,600 | Fresnillo PLC | 52,313 | ||||||
83,538 | Glencore PLC | 452,478 | ||||||
489 | Hill & Smith Holdings PLC | 6,890 | ||||||
15,647 | Hochschild Mining PLC | 18,410 | ||||||
4,400 | Kobe Steel Ltd. | 19,968 | ||||||
300 | Maruichi Steel Tube Ltd. | 6,355 | ||||||
700 | Mitsui Mining & Smelting Co. Ltd. | 16,326 | ||||||
4,600 | Nippon Steel Corp. | 64,377 | ||||||
4,015 | Nucor Corp. | 419,206 | ||||||
6,359 | Rio Tinto PLC | 380,183 | ||||||
555 | Southern Copper Corp. | 27,645 | ||||||
4,249 | voestalpine AG | 90,811 | ||||||
|
| |||||||
3,415,653 | ||||||||
|
| |||||||
Multi-Utilities – 0.2% | ||||||||
94,201 | A2A SpA | 119,874 | ||||||
1,583 | CenterPoint Energy, Inc. | 46,825 | ||||||
426,766 | Centrica PLC* | 416,753 | ||||||
614 | CMS Energy Corp. | 41,445 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 19 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
June 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Multi-Utilities – (continued) | ||||||||
40,533 | Dominion Energy, Inc. | $ | 3,234,939 | |||||
107,130 | E.ON SE | 902,364 | ||||||
28,725 | Hera SpA | 83,238 | ||||||
45,288 | National Grid PLC | 581,993 | ||||||
1,316 | NiSource, Inc. | 38,809 | ||||||
16,706 | Public Service Enterprise Group, Inc. | 1,057,156 | ||||||
7,963 | Sempra Energy | 1,196,600 | ||||||
10,011 | Veolia Environnement SA | 245,402 | ||||||
2,407 | WEC Energy Group, Inc. | 242,240 | ||||||
|
| |||||||
8,207,638 | ||||||||
|
| |||||||
Multiline Retail – 0.0% | ||||||||
2,400 | Isetan Mitsukoshi Holdings Ltd. | 19,426 | ||||||
2,118 | J. Front Retailing Co. Ltd. | 18,081 | ||||||
2,100 | Pan Pacific International Holdings Corp. | 33,481 | ||||||
2,500 | Ryohin Keikaku Co. Ltd. | 24,491 | ||||||
3,012 | Target Corp. | 425,385 | ||||||
|
| |||||||
520,864 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 0.4% | ||||||||
12,813 | APA Corp. | 447,174 | ||||||
111,501 | BP PLC | 523,552 | ||||||
15,329 | Capricorn Energy PLC* | 40,750 | ||||||
12,822 | Chevron Corp. | 1,856,369 | ||||||
10,631 | ConocoPhillips | 954,770 | ||||||
900 | Cosmo Energy Holdings Co. Ltd. | 24,818 | ||||||
5,192 | Devon Energy Corp. | 286,131 | ||||||
4,660 | Diamondback Energy, Inc. | 564,559 | ||||||
1,580 | Diversified Energy Co. PLC | 2,150 | ||||||
33,675 | Eni SpA | 399,408 | ||||||
3,141 | EOG Resources, Inc. | 346,892 | ||||||
26,931 | Exxon Mobil Corp. | 2,306,371 | ||||||
11,045 | Harbour Energy PLC | 49,066 | ||||||
1,300 | Idemitsu Kosan Co. Ltd. | 31,055 | ||||||
6,100 | Inpex Corp. | 65,394 | ||||||
25,519 | Kinder Morgan, Inc. | 427,698 | ||||||
14,000 | Marathon Oil Corp. | 314,720 | ||||||
10,412 | Marathon Petroleum Corp. | 855,971 | ||||||
10,121 | Occidental Petroleum Corp. | 595,925 | ||||||
2,688 | OMV AG | 126,419 | ||||||
9,286 | Phillips 66 | 761,359 | ||||||
1,543 | Pioneer Natural Resources Co. | 344,212 | ||||||
20,845 | Repsol SA | 307,297 | ||||||
42,125 | Shell PLC | 1,097,052 | ||||||
44,802 | TotalEnergies SE | 2,358,241 | ||||||
115,514 | Tullow Oil PLC* | 66,248 | ||||||
7,759 | Valero Energy Corp. | 824,627 | ||||||
|
| |||||||
15,978,228 | ||||||||
|
| |||||||
Paper & Forest Products – 0.0% | ||||||||
4,952 | Oji Holdings Corp. | 21,454 | ||||||
14,667 | UPM-Kymmene Oyj | 449,738 | ||||||
|
| |||||||
471,192 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Personal Products – 0.1% | ||||||||
1,889 | Beiersdorf AG | 193,844 | ||||||
600 | Fancl Corp. | 11,027 | ||||||
3,200 | Kao Corp. | 129,758 | ||||||
400 | Kobayashi Pharmaceutical Co. Ltd. | 24,772 | ||||||
2,477 | L’Oreal SA | 860,028 | ||||||
2,000 | Pola Orbis Holdings, Inc. | 24,756 | ||||||
5,676 | PZ Cussons PLC | 13,641 | ||||||
600 | Rohto Pharmaceutical Co. Ltd. | 17,396 | ||||||
286 | The Estee Lauder Cos., Inc. Class A | 72,836 | ||||||
11,067 | Unilever PLC | 504,431 | ||||||
|
| |||||||
1,852,489 | ||||||||
|
| |||||||
Pharmaceuticals – 1.7% | ||||||||
4,306 | Astellas Pharma, Inc. | 67,181 | ||||||
7,920 | AstraZeneca PLC | 1,044,820 | ||||||
10,037 | Bayer AG | 599,373 | ||||||
27,528 | Bristol-Myers Squibb Co. | 2,119,656 | ||||||
2,026 | Chugai Pharmaceutical Co. Ltd. | 51,826 | ||||||
3,100 | Daiichi Sankyo Co. Ltd. | 78,841 | ||||||
195 | Dechra Pharmaceuticals PLC | 8,222 | ||||||
700 | Eisai Co. Ltd. | 29,596 | ||||||
34,294 | Eli Lilly & Co. | 11,119,144 | ||||||
47,521 | GSK PLC | 1,024,153 | ||||||
3,507 | Hikma Pharmaceuticals PLC | 69,195 | ||||||
39,401 | Indivior PLC* | 148,301 | ||||||
1,319 | Ipsen SA | 124,887 | ||||||
93,644 | Johnson & Johnson | 16,622,746 | ||||||
100 | Kyowa Kirin Co. Ltd. | 2,258 | ||||||
88,639 | Merck & Co., Inc. | 8,081,218 | ||||||
2,419 | Merck KGaA | 410,314 | ||||||
400 | Nippon Shinyaku Co. Ltd. | 24,416 | ||||||
1,701 | Otsuka Holdings Co. Ltd. | 60,720 | ||||||
245,177 | Pfizer, Inc. | 12,854,630 | ||||||
1,203 | Recordati Industria Chimica e Farmaceutica SpA | 52,462 | ||||||
20,589 | Sanofi | 2,076,319 | ||||||
9,779 | Santen Pharmaceutical Co. Ltd. | 77,146 | ||||||
3,100 | Shionogi & Co. Ltd. | 158,219 | ||||||
1,274 | Sumitomo Pharma Co. Ltd. | 10,232 | ||||||
200 | Taisho Pharmaceutical Holdings Co. Ltd. | 7,906 | ||||||
15,243 | Takeda Pharmaceutical Co. Ltd. | 428,150 | ||||||
4,303 | UCB SA | 364,633 | ||||||
30,206 | Viatris, Inc. | 316,257 | ||||||
27,131 | Zoetis, Inc. | 4,663,547 | ||||||
|
| |||||||
62,696,368 | ||||||||
|
| |||||||
Professional Services – 0.1% | ||||||||
900 | Benefit One, Inc. | 12,193 | ||||||
406 | Bureau Veritas SA | 10,446 | ||||||
36,322 | Clarivate PLC* | 503,423 | ||||||
4,776 | Equifax, Inc. | 872,957 | ||||||
7,265 | Experian PLC | 213,306 | ||||||
1,959 | Intertek Group PLC | 100,692 | ||||||
8,248 | Jacobs Engineering Group, Inc. | 1,048,568 | ||||||
3,074 | Leidos Holdings, Inc. | 309,583 | ||||||
|
|
20 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Professional Services – (continued) | ||||||||
300 | Meitec Corp. | $ | 4,836 | |||||
2,200 | Nihon M&A Center Holdings, Inc. | 23,452 | ||||||
1,300 | Outsourcing, Inc. | 9,943 | ||||||
1,000 | Persol Holdings Co. Ltd. | 18,258 | ||||||
400 | Recruit Holdings Co. Ltd. | 11,780 | ||||||
12,218 | RELX PLC | 331,735 | ||||||
2,830 | Robert Half International, Inc. | 211,939 | ||||||
400 | TechnoPro Holdings, Inc. | 8,030 | ||||||
70 | Teleperformance | 21,615 | ||||||
2,632 | Wolters Kluwer NV | 255,088 | ||||||
|
| |||||||
3,967,844 | ||||||||
|
| |||||||
Real Estate Management & Development – 0.0% | ||||||||
15,977 | Aroundtown SA | 51,101 | ||||||
5,661 | CBRE Group, Inc. Class A* | 416,706 | ||||||
500 | Daito Trust Construction Co. Ltd. | 43,253 | ||||||
5,868 | Grainger PLC | 20,087 | ||||||
3,400 | Hulic Co. Ltd. | 26,371 | ||||||
15,085 | IWG PLC* | 34,539 | ||||||
154 | Kojamo Oyj | 2,674 | ||||||
3,000 | Mitsubishi Estate Co. Ltd. | 43,480 | ||||||
400 | Nomura Real Estate Holdings, Inc. | 9,786 | ||||||
300 | Relo Group, Inc. | 4,839 | ||||||
3,712 | Savills PLC | 45,770 | ||||||
2,424 | TAG Immobilien AG | 27,753 | ||||||
700 | Tokyo Tatemono Co. Ltd. | 9,657 | ||||||
2,400 | Tokyu Fudosan Holdings Corp. | 12,630 | ||||||
|
| |||||||
748,646 | ||||||||
|
| |||||||
Road & Rail – 0.4% | ||||||||
15,910 | CSX Corp. | 462,345 | ||||||
9,538 | FirstGroup PLC* | 14,840 | ||||||
1,500 | Keikyu Corp. | 16,436 | ||||||
1,000 | Kintetsu Group Holdings Co. Ltd. | 31,112 | ||||||
41,811 | Knight-Swift Transportation Holdings, Inc. | 1,935,431 | ||||||
2,500 | Kyushu Railway Co. | 52,124 | ||||||
14,294 | Norfolk Southern Corp. | 3,248,883 | ||||||
1,000 | Odakyu Electric Railway Co. Ltd. | 13,492 | ||||||
1,033 | Old Dominion Freight Line, Inc. | 264,737 | ||||||
3,728 | Redde Northgate PLC | 15,314 | ||||||
800 | Seibu Holdings, Inc. | 8,430 | ||||||
34,254 | Union Pacific Corp. | 7,305,693 | ||||||
2,600 | West Japan Railway Co. | 95,650 | ||||||
|
| |||||||
13,464,487 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 0.9% | ||||||||
239 | Allegro MicroSystems, Inc.* | 4,945 | ||||||
28,270 | Analog Devices, Inc. | 4,129,964 | ||||||
7,985 | Applied Materials, Inc. | 726,475 | ||||||
1,647 | Broadcom, Inc. | 800,129 | ||||||
200 | Disco Corp. | 47,592 | ||||||
31,190 | Infineon Technologies AG | 758,713 | ||||||
31,946 | Intel Corp. | 1,195,100 | ||||||
1,405 | Lam Research Corp. | 598,741 | ||||||
11,555 | Microchip Technology, Inc. | 671,114 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Semiconductors & Semiconductor Equipment – (continued) | ||||||||
91,332 | Micron Technology, Inc. | 5,048,833 | ||||||
5,010 | NXP Semiconductors NV | 741,630 | ||||||
3,081 | Qorvo, Inc.* | 290,600 | ||||||
56,558 | QUALCOMM, Inc. | 7,224,719 | ||||||
13,550 | Renesas Electronics Corp.* | 122,619 | ||||||
766 | SCREEN Holdings Co. Ltd. | 51,975 | ||||||
3,371 | Skyworks Solutions, Inc. | 312,289 | ||||||
20,500 | STMicroelectronics NV | 646,264 | ||||||
5,136 | Sumco Corp. | 66,793 | ||||||
5,334 | Teradyne, Inc. | 477,660 | ||||||
58,157 | Texas Instruments, Inc. | 8,935,823 | ||||||
800 | Tokyo Electron Ltd. | 261,115 | ||||||
443 | Ulvac, Inc. | 15,089 | ||||||
187 | Universal Display Corp. | 18,913 | ||||||
|
| |||||||
33,147,095 | ||||||||
|
| |||||||
Software – 2.7% | ||||||||
8,474 | Adobe, Inc.* | 3,101,992 | ||||||
820 | ANSYS, Inc.* | 196,218 | ||||||
1,587 | Autodesk, Inc.* | 272,901 | ||||||
5,468 | Bytes Technology Group PLC | 27,825 | ||||||
2,083 | Cadence Design Systems, Inc.* | 312,512 | ||||||
24,247 | Crowdstrike Holdings, Inc. Class A* | 4,087,074 | ||||||
7,400 | Dassault Systemes SE | 274,102 | ||||||
81,477 | Dropbox, Inc. Class A* | 1,710,202 | ||||||
7,325 | Fair Isaac Corp.* | 2,936,593 | ||||||
5,807 | Fortinet, Inc.* | 328,560 | ||||||
5,874 | Intuit, Inc. | 2,264,075 | ||||||
120 | Manhattan Associates, Inc.* | 13,752 | ||||||
6,299 | Micro Focus International PLC | 21,434 | ||||||
226,705 | Microsoft Corp. | 58,224,645 | ||||||
829 | Nemetschek SE | 50,434 | ||||||
20,452 | NortonLifeLock, Inc. | 449,126 | ||||||
89,419 | Oracle Corp. | 6,246,543 | ||||||
772 | Paycom Software, Inc.* | 216,253 | ||||||
2,398 | PTC, Inc.* | 255,003 | ||||||
4,158 | Roper Technologies, Inc. | 1,640,955 | ||||||
58,332 | Salesforce, Inc.* | 9,627,113 | ||||||
2,500 | Sansan, Inc.* | 17,189 | ||||||
9,860 | SAP SE | 898,743 | ||||||
12,820 | ServiceNow, Inc.* | 6,096,166 | ||||||
2,659 | Synopsys, Inc.* | 807,538 | ||||||
45,812 | The Sage Group PLC | 354,758 | ||||||
600 | Trend Micro, Inc. | 29,353 | ||||||
|
| |||||||
100,461,059 | ||||||||
|
| |||||||
Specialty Retail – 0.2% | ||||||||
200 | ABC-Mart, Inc. | 8,848 | ||||||
1,475 | Advance Auto Parts, Inc. | 255,308 | ||||||
428 | AutoZone, Inc.* | 919,823 | ||||||
6,527 | Bath & Body Works, Inc. | 175,707 | ||||||
4,771 | Best Buy Co., Inc. | 311,021 | ||||||
24,146 | Currys PLC | 20,074 | ||||||
200 | Fast Retailing Co. Ltd. | 105,055 | ||||||
331 | Five Below, Inc.* | 37,545 | ||||||
14,582 | Frasers Group PLC* | 118,648 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 21 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
June 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Specialty Retail – (continued) | ||||||||
94,284 | Industria de Diseno Textil SA | $ | 2,142,648 | |||||
52,572 | JD Sports Fashion PLC | 74,075 | ||||||
1,000 | K’s Holdings Corp. | 9,763 | ||||||
28,346 | Kingfisher PLC | 84,712 | ||||||
400 | Nitori Holdings Co. Ltd. | 38,065 | ||||||
6,031 | O’Reilly Automotive, Inc.* | 3,810,145 | ||||||
17,489 | Pets at Home Group Plc | 65,828 | ||||||
3,190 | Ross Stores, Inc. | 224,034 | ||||||
304 | Shimamura Co. Ltd. | 26,711 | ||||||
134 | Ulta Beauty, Inc.* | 51,654 | ||||||
100 | USS Co. Ltd. | 1,733 | ||||||
5,400 | Yamada Holdings Co. Ltd. | 19,419 | ||||||
|
| |||||||
8,500,816 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 1.5% | ||||||||
376,680 | Apple, Inc. | 51,499,690 | ||||||
762 | Brother Industries Ltd. | 13,407 | ||||||
2,825 | Canon, Inc. | 64,018 | ||||||
2,332 | FUJIFILM Holdings Corp. | 125,302 | ||||||
26,600 | Hewlett Packard Enterprise Co. | 352,716 | ||||||
23,172 | HP, Inc. | 759,578 | ||||||
4,690 | Konica Minolta, Inc. | 15,631 | ||||||
34,952 | NetApp, Inc. | 2,280,268 | ||||||
4,904 | Ricoh Co. Ltd. | 38,286 | ||||||
3,768 | Seagate Technology Holdings PLC | 269,186 | ||||||
2,419 | Seiko Epson Corp. | 34,222 | ||||||
6,553 | Western Digital Corp.* | 293,771 | ||||||
|
| |||||||
55,746,075 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 0.1% | ||||||||
1,900 | Asics Corp. | 34,413 | ||||||
4,961 | Burberry Group PLC | 99,525 | ||||||
55 | Christian Dior SE | 32,832 | ||||||
39,703 | Coats Group PLC | 30,160 | ||||||
7,300 | Dr. Martens PLC | 21,275 | ||||||
3,935 | EssilorLuxottica SA | 596,595 | ||||||
8,322 | HUGO BOSS AG | 440,679 | ||||||
6,858 | NIKE, Inc. Class B | 700,888 | ||||||
6,159 | PVH Corp. | 350,447 | ||||||
4,377 | Ralph Lauren Corp. | 392,398 | ||||||
13,477 | Tapestry, Inc. | 411,318 | ||||||
41,543 | Under Armour, Inc. Class A* | 346,053 | ||||||
4,493 | VF Corp. | 198,456 | ||||||
|
| |||||||
3,655,039 | ||||||||
|
| |||||||
Trading Companies & Distributors – 0.2% | ||||||||
16,563 | Bunzl PLC | 550,069 | ||||||
153 | Diploma PLC | 4,167 | ||||||
47,979 | Fastenal Co. | 2,395,112 | ||||||
18,392 | Howden Joinery Group PLC | 135,576 | ||||||
7,847 | ITOCHU Corp. | 211,696 | ||||||
8,632 | Marubeni Corp. | 77,443 | ||||||
5,435 | Mitsubishi Corp. | 161,861 | ||||||
5,881 | Mitsui & Co. Ltd. | 129,232 | ||||||
2,306 | MonotaRO Co. Ltd. | 34,391 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Trading Companies & Distributors – (continued) | ||||||||
3,270 | MSC Industrial Direct Co., Inc. Class A | 245,610 | ||||||
6,587 | Rexel SA* | 101,782 | ||||||
1,400 | Sojitz Corp. | 19,844 | ||||||
5,600 | Sumitomo Corp. | 76,123 | ||||||
4,150 | Travis Perkins PLC | 49,191 | ||||||
1,942 | United Rentals, Inc.* | 471,731 | ||||||
2,371 | W.W. Grainger, Inc. | 1,077,453 | ||||||
|
| |||||||
5,741,281 | ||||||||
|
| |||||||
Transportation Infrastructure – 0.0% | ||||||||
300 | Japan Airport Terminal Co. Ltd.* | 11,919 | ||||||
500 | Mitsubishi Logistics Corp. | 11,977 | ||||||
|
| |||||||
23,896 | ||||||||
|
| |||||||
Water Utilities – 0.0% | ||||||||
15,136 | Pennon Group PLC | 176,125 | ||||||
10,976 | Severn Trent PLC | 364,405 | ||||||
|
| |||||||
540,530 | ||||||||
|
| |||||||
Wireless Telecommunication Services – 0.0% | ||||||||
36,938 | Airtel Africa PLC(a) | 61,364 | ||||||
4,400 | Freenet AG | 109,728 | ||||||
4,600 | KDDI Corp. | 145,058 | ||||||
5,000 | SoftBank Group Corp. | 193,792 | ||||||
205,845 | Vodafone Group PLC | 320,067 | ||||||
|
| |||||||
830,009 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $999,587,046) | $ | 994,453,003 | ||||||
|
| |||||||
Exchange Traded Funds – 18.8% | ||||||||
730,673 | Invesco Senior Loan ETF | $ | 14,810,742 | |||||
2,717,867 | iShares 5-10 Year Investment Grade Corporate Bond ETF | 138,774,289 | ||||||
7,716,427 | iShares Core MSCI Emerging Markets ETF | 378,567,909 | ||||||
44,300 | iShares JP Morgan USD Emerging Markets Bond ETF | 3,779,676 | ||||||
1,871,167 | SPDR Blackstone Senior Loan ETF | 77,915,394 | ||||||
1,149,840 | SPDR Bloomberg Convertible Securities ETF | 74,233,670 | ||||||
339,458 | Vaneck Fallen Angel High Yield Bond ETF | 9,172,155 | ||||||
92,700 | Vanguard Real Estate ETF | 8,445,897 | ||||||
|
| |||||||
TOTAL EXCHANGE TRADED FUNDS | ||||||||
(Cost $778,981,075) | $ | 705,699,732 | ||||||
|
|
22 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Shares | Dividend Rate | Value | ||||||||
Preferred Stocks – 0.1% | ||||||||||
Auto Manufacturers – 0.1% | ||||||||||
Volkswagen AG | ||||||||||
16,716 | 7.560 | % | $ | 2,250,637 | ||||||
|
| |||||||||
Electronics – 0.0% | ||||||||||
Sartorius AG | ||||||||||
54 | 1.260 | 18,952 | ||||||||
|
| |||||||||
TOTAL PREFERRED STOCKS – 0.1% | ||||||||||
(Cost $2,815,435) | $ | 2,269,589 | ||||||||
|
|
Shares | Dividend Rate | Value | ||||||
Investment Company(c) – 50.1% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
1,883,111,275 | 1.367% | $ | 1,883,111,275 | |||||
(Cost $1,883,111,275) | ||||||||
|
| |||||||
| TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT | |||||||
(Cost $3,664,494,831) | $ | 3,585,533,599 | ||||||
|
| |||||||
Securities Lending Reinvestment Vehicle(c) – 2.8% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
105,454,930 | 1.367% | $ | 105,454,930 | |||||
(Cost $105,454,930) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 98.3% | ||||||||
(Cost $3,769,949,761) | $ | 3,690,988,529 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 1.7% | 63,878,091 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 3,754,866,620 | ||||||
|
|
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) | Significant unobservable inputs were used in the valuation of this portfolio security; i.e., Level 3. | |
(c) | Represents an affiliated issuer. |
| ||
Currency Abbreviations: | ||
AUD | —Australian Dollar | |
CAD | —Canadian Dollar | |
CHF | —Swiss Franc | |
CLP | —Chilean Peso | |
CZK | —Czech Koruna | |
EUR | —Euro | |
GBP | —British Pound | |
HKD | —Hong Kong Dollar | |
HUF | —Hungarian Forint | |
IDR | —Indonesian Rupiah | |
ILS | —Israeli Shekel | |
INR | —Indian Rupee | |
JPY | —Japanese Yen | |
KRW | —South Korean Won | |
MXN | —Mexican Peso | |
NZD | —New Zealand Dollar | |
PHP | —Philippine Peso | |
PLN | —Polish Zloty | |
SEK | —Swedish Krona | |
TWD | —Taiwan Dollar | |
USD | —U.S. Dollar | |
ZAR | —South African Rand | |
Investment Abbreviations: | ||
ETF | —Exchange Traded Fund | |
LLC | —Limited Liability Company | |
PLC | —Public Limited Company | |
REIT | —Real Estate Investment Trust | |
SOFR | —Secured Overnight Funding Rate | |
|
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30, 2022, 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 Securities, Inc. | USD | 17,458,947 | AUD | 25,160,000 | 07/25/22 | $ | 89,062 | |||||||||||||
USD | 7,229,971 | CLP | 6,051,630,000 | 07/01/22 | 636,498 | |||||||||||||||
USD | 6,580,896 | CLP | 5,893,060,000 | 07/29/22 | 202,570 | |||||||||||||||
USD | 8,277,705 | CZK | 194,170,000 | 07/25/22 | 83,895 | |||||||||||||||
USD | 80,354,859 | EUR | 75,740,000 | 07/25/22 | 849,009 | |||||||||||||||
USD | 38,793,600 | GBP | 31,510,000 | 07/25/22 | 419,658 | |||||||||||||||
USD | 4,610,236 | HUF | 1,731,210,000 | 07/25/22 | 53,274 | |||||||||||||||
USD | 6,983,759 | IDR | 103,875,100,000 | 07/29/22 | 41,235 | |||||||||||||||
USD | 10,775,007 | ILS | 37,010,000 | 07/25/22 | 164,508 |
The accompanying notes are an integral part of these financial statements. | 23 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
June 30, 2022 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Gain | ||||||||||||||||
JPMorgan Securities, Inc. (continued) | USD | 18,525,798 | INR | 1,455,160,000 | 07/29/22 | $ | 153,626 | |||||||||||||
USD | 22,775,315 | NZD | 36,160,000 | 07/25/22 | 195,973 | |||||||||||||||
USD | 17,334,657 | PHP | 945,160,000 | 07/29/22 | 181,131 | |||||||||||||||
USD | 7,791,722 | PLN | 34,690,000 | 07/25/22 | 79,388 | |||||||||||||||
USD | 10,560,122 | SEK | 106,100,000 | 07/25/22 | 179,445 | |||||||||||||||
USD | 14,572,204 | TWD | 432,210,000 | 07/29/22 | 8,347 | |||||||||||||||
TOTAL | $ | 3,337,619 |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||||||
JPMorgan Securities, Inc. | CLP | 6,051,630,000 | USD | 7,187,550 | 07/01/22 | $ | (594,078 | ) | ||||||||||||
MXN | 121,040,000 | USD | 6,000,013 | 07/25/22 | (9,039 | ) | ||||||||||||||
USD | 16,575,261 | CAD | 21,440,000 | 07/25/22 | (80,640 | ) | ||||||||||||||
USD | 14,938,464 | CHF | 14,300,000 | 07/25/22 | (64,559 | ) | ||||||||||||||
USD | 20,161,264 | JPY | 2,734,200,000 | 07/25/22 | (21,385 | ) | ||||||||||||||
USD | 14,625,597 | KRW | 18,954,510,000 | 07/29/22 | (86,741 | ) | ||||||||||||||
TOTAL | $ | (856,442 | ) |
FUTURES CONTRACTS — At June 30, 2022, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
Brent Crude | 62 | 07/29/22 | $ | 6,759,860 | $ | (545,006 | ) | |||||||||
Coffee | 20 | 09/20/22 | 1,725,750 | 6,171 | ||||||||||||
Corn | 78 | 09/14/22 | 2,452,125 | (392,814 | ) | |||||||||||
Cotton No. 2 | 14 | 12/07/22 | 691,880 | (147,487 | ) | |||||||||||
E-Mini Russell 2000 Index | 2 | 09/16/22 | 170,800 | (9,296 | ) | |||||||||||
Euro Stoxx 50 Index | 3,972 | 09/16/22 | 143,230,159 | (3,045,932 | ) | |||||||||||
FTSE 100 Index | 724 | 09/16/22 | 62,759,181 | (114,952 | ) | |||||||||||
Gasoline RBOB | 36 | 07/29/22 | 5,346,886 | (619,111 | ) | |||||||||||
H-Shares Index | 21 | 07/28/22 | 1,015,503 | 12,720 | ||||||||||||
Hang Seng Index | 14 | 07/28/22 | 1,939,746 | (24,432 | ) | |||||||||||
IBEX 35 Index | 26 | 07/15/22 | 2,190,526 | (18,134 | ) | |||||||||||
Lead | 74 | 07/18/22 | 3,539,975 | (577,594 | ) | |||||||||||
Lead | 27 | 08/15/22 | 1,291,613 | (93,038 | ) | |||||||||||
Low Sulphur Gas Oil | 41 | 08/11/22 | 4,608,400 | (422,532 | ) | |||||||||||
Natural Gas | 30 | 07/27/22 | 1,627,200 | (988,249 | ) | |||||||||||
Nickel | 4 | 07/18/22 | 543,624 | (177,852 | ) | |||||||||||
Nickel | 4 | 08/15/22 | 544,224 | (163,020 | ) | |||||||||||
NY Harbor ULSD | 28 | 07/29/22 | 4,504,668 | (399,426 | ) | |||||||||||
Primary Aluminum | 40 | 07/18/22 | 2,432,500 | (361,754 | ) | |||||||||||
Soybean | 78 | 11/14/22 | 5,686,200 | (347,837 | ) | |||||||||||
Topix Index | 186 | 09/08/22 | 25,642,173 | (1,004,858 | ) | |||||||||||
Wheat | 26 | 09/14/22 | 1,149,200 | (261,072 | ) | |||||||||||
WTI Crude | 103 | 07/20/22 | 10,893,280 | (1,043,494 | ) | |||||||||||
Zinc | 38 | 07/18/22 | 3,022,662 | (590,683 | ) | |||||||||||
Zinc | 31 | 08/15/22 | 2,457,331 | (485,943 | ) | |||||||||||
Total |
| $ | (11,815,625 | ) |
24 | 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) | ||||||||||||
Short position contracts: | ||||||||||||||||
10 Year German Euro-Bund | (134 | ) | 09/08/22 | $ | (20,892,476 | ) | $ | 217,409 | ||||||||
10 Year U.K. Long Gilt | (87 | ) | 09/28/22 | (12,071,066 | ) | 275,924 | ||||||||||
10 Year U.S. Treasury Notes | (354 | ) | 09/21/22 | (41,960,062 | ) | (298,073 | ) | |||||||||
2 Year U.S. Treasury Notes | (182 | ) | 09/30/22 | (38,222,844 | ) | (86,698 | ) | |||||||||
20 Year U.S. Treasury Bonds | (117 | ) | 09/21/22 | (16,219,125 | ) | (161,256 | ) | |||||||||
5 Year German Euro-Bobl | (109 | ) | 09/08/22 | (14,185,795 | ) | 44,728 | ||||||||||
5 Year U.S. Treasury Notes | (240 | ) | 09/30/22 | (26,940,000 | ) | (147,889 | ) | |||||||||
Amsterdam Exchanges Index | (22 | ) | 07/15/22 | (3,038,497 | ) | (64,140 | ) | |||||||||
ASX 90 Day Bank Accepted Bills | (75 | ) | 09/08/22 | (51,420,096 | ) | 37,073 | ||||||||||
ASX 90 Day Bank Accepted Bills | (61 | ) | 12/08/22 | (41,736,835 | ) | 56,254 | ||||||||||
ASX 90 Day Bank Accepted Bills | (61 | ) | 03/09/23 | (41,701,162 | ) | 37,863 | ||||||||||
Australian 10 Year Government Bonds | (77 | ) | 09/15/22 | (6,319,179 | ) | (26,830 | ) | |||||||||
Bank Accept Index | (97 | ) | 12/19/22 | (18,123,446 | ) | 69,445 | ||||||||||
Bank Accept Index | (138 | ) | 09/19/22 | (25,876,340 | ) | 109,466 | ||||||||||
Bank Accept Index | (81 | ) | 03/13/23 | (15,137,158 | ) | 29,624 | ||||||||||
CAC40 Index | (37 | ) | 07/15/22 | (2,293,103 | ) | 17,782 | ||||||||||
Canada 10 Year Government Bonds | (81 | ) | 09/20/22 | (7,802,354 | ) | 1,416 | ||||||||||
Cattle Feeder | (30 | ) | 08/25/22 | (2,604,000 | ) | (18,396 | ) | |||||||||
CBOE Volatility Index | (150 | ) | 07/20/22 | (4,284,345 | ) | (375,789 | ) | |||||||||
CBOE Volatility Index | (131 | ) | 08/17/22 | (3,822,239 | ) | 10,625 | ||||||||||
CBOE Volatility Index | (118 | ) | 09/21/22 | (3,484,493 | ) | 86,905 | ||||||||||
Copper | (58 | ) | 09/28/22 | (5,379,500 | ) | 490,697 | ||||||||||
DAX Index | (26 | ) | 09/16/22 | (8,699,190 | ) | 292,332 | ||||||||||
Euro Buxl 30 Year Bonds | (19 | ) | 09/08/22 | (3,256,651 | ) | 110,950 | ||||||||||
Euro-Schatz | (203 | ) | 09/08/22 | (23,218,836 | ) | (3,741 | ) | |||||||||
Eurodollars | (109 | ) | 09/19/22 | (28,408,143 | ) | 87,409 | ||||||||||
Eurodollars | (121 | ) | 12/19/22 | (31,339,102 | ) | 171,714 | ||||||||||
Eurodollars | (58 | ) | 03/18/24 | (14,906,565 | ) | 22,756 | ||||||||||
Eurodollars | (58 | ) | 06/17/24 | (14,908,844 | ) | 21,141 | ||||||||||
Eurodollars | (310 | ) | 09/19/22 | (75,016,125 | ) | 337,589 | ||||||||||
Eurodollars | (191 | ) | 12/18/23 | (46,272,138 | ) | (139,981 | ) | |||||||||
Eurodollars | (215 | ) | 09/18/23 | (52,005,813 | ) | (124,177 | ) | |||||||||
Eurodollars | (241 | ) | 12/19/22 | (58,026,775 | ) | 183,788 | ||||||||||
Eurodollars | (216 | ) | 06/19/23 | (52,145,100 | ) | (71,898 | ) | |||||||||
Eurodollars | (235 | ) | 03/13/23 | (56,623,250 | ) | 52,986 | ||||||||||
Eurodollars | (172 | ) | 03/18/24 | (41,718,600 | ) | (140,936 | ) | |||||||||
Eurodollars | (87 | ) | 03/13/23 | (22,447,600 | ) | 117,185 | ||||||||||
Eurodollars | (72 | ) | 06/19/23 | (18,532,996 | ) | 65,477 | ||||||||||
Eurodollars | (62 | ) | 09/18/23 | (15,938,665 | ) | 35,427 | ||||||||||
Eurodollars | (59 | ) | 12/18/23 | (15,162,802 | ) | 23,870 | ||||||||||
Eurodollars | (160 | ) | 06/17/24 | (38,844,000 | ) | (143,475 | ) | |||||||||
French 10 Year Government Bonds | (44 | ) | 09/08/22 | (6,387,591 | ) | 102,827 | ||||||||||
FTSE/JSE Top 40 Index | (58 | ) | 09/15/22 | (2,137,573 | ) | (14,924 | ) | |||||||||
FTSE/MIB Index | (22 | ) | 09/16/22 | (2,444,742 | ) | 61,726 | ||||||||||
Gold 100 Oz | (96 | ) | 08/29/22 | (17,350,080 | ) | 332,015 | ||||||||||
Italian 10 Year Government Bonds | (43 | ) | 09/08/22 | (5,548,015 | ) | 37,500 | ||||||||||
Japan 10 Year Government Bonds | (14 | ) | 09/12/22 | (15,334,169 | ) | (154,079 | ) | |||||||||
Lead | (74 | ) | 07/18/22 | (3,539,975 | ) | 354,387 | ||||||||||
Lead | (110 | ) | 08/15/22 | (5,262,125 | ) | 665,207 | ||||||||||
Live Cattle | (94 | ) | 08/31/22 | (4,984,820 | ) | 9,924 |
The accompanying notes are an integral part of these financial statements. | 25 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
June 30, 2022 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS (continued)
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Short position contracts: (continued) | ||||||||||||||||
Nasdaq 100 E-Mini Index | (26 | ) | 09/16/22 | $ | (5,995,340 | ) | $ | (105,930 | ) | |||||||
Nickel | (4 | ) | 07/18/22 | (543,624 | ) | 162,888 | ||||||||||
Nickel | (4 | ) | 08/15/22 | (544,224 | ) | 11,004 | ||||||||||
OMXS 30 Index | (160 | ) | 07/15/22 | (2,925,585 | ) | 69,143 | ||||||||||
Primary Aluminum | (40 | ) | 07/18/22 | (2,432,500 | ) | 399,914 | ||||||||||
Primary Aluminum | (57 | ) | 08/15/22 | (3,474,862 | ) | 268,616 | ||||||||||
S&P 500 E-Mini Index | (602 | ) | 09/16/22 | (114,063,950 | ) | (1,116,262 | ) | |||||||||
S&P Mid 400 E-Mini Index | (12 | ) | 09/16/22 | (2,721,600 | ) | (1,093 | ) | |||||||||
S&P Toronto Stock Exchange 60 Index | (3 | ) | 09/15/22 | (532,551 | ) | 5,855 | ||||||||||
Silver | (95 | ) | 09/28/22 | (9,667,200 | ) | 833,039 | ||||||||||
Sugar No. 11 | (51 | ) | 09/30/22 | (1,056,720 | ) | (5,798 | ) | |||||||||
Zinc | (38 | ) | 07/18/22 | (3,022,662 | ) | 543,511 | ||||||||||
Zinc | (33 | ) | 08/15/22 | (2,615,869 | ) | 296,473 | ||||||||||
Total | $ | 3,960,499 | ||||||||||||||
TOTAL FUTURES CONTRACTS | $ | (7,855,126 | ) |
SWAP CONTRACTS — At June 30, 2022, the Fund had the following swap contracts:
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS
Referenced Obligation/Index | Financing Rate Received/(Paid) by the Fund(a) | Credit Spread at June 30, 2022(b) | Termination | Notional Amount (000s) | Value | Upfront Premiums (Received) Paid | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
Protection Sold: | ||||||||||||||||||||||||||
CDX.NA.HY Index 38 | 5.000% | 5.749% | 06/20/27 | $ | 24,701 | $ | (679,990 | ) | $ | 1,054,939 | $ | (1,734,929 | ) | |||||||||||||
CDX.NA.IG Index 38 | 1.000 | 1.006 | 06/20/27 | 201,600 | 4,185 | 2,634,669 | (2,630,484 | ) | ||||||||||||||||||
ITXEB 37 | 1.000 | 1.185 | 06/20/27 | EUR | 186,050 | (1,618,974 | ) | 842,466 | (2,461,440 | ) | ||||||||||||||||
ITXEX 37 | 5.000 | 5.805 | 06/20/27 | 8,050 | (250,605 | ) | 429,363 | (679,968 | ) | |||||||||||||||||
TOTAL |
| $ | (2,545,384 | ) | $ | 4,961,437 | $ | (7,506,821 | ) |
(a) | Payments made quarterly. |
(b) | Credit spread on the referenced obligation, together with the term of the swap contract, are indicators of payment/performance risk. The likelihood of a credit event occurring which would require a fund or its counterparty to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and the term of the swap contract increase. |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS
Reference Obligation/ Index(a) | Financing Rate Paid by the Fund | Counterparty | Termination Date(b) | Notional Amount (000s) | Unrealized Appreciation/ (Depreciation)* | |||||||||
AMZX Index | 1M USD LIBOR + 0.470% | BofA Securities LLC | 12/13/22 | $ | 3,028 | $ | (168,511 | ) | ||||||
BCMRS Index | 1M USD LIBOR | JPMorgan Securities, Inc. | 12/08/22 | 6,045 | (208,057 | ) | ||||||||
BCOMRS Index | 1 Week USD LIBOR | JPMorgan Securities, Inc. | 12/08/22 | 3,372 | (137,562 | ) | ||||||||
DDUWI Index | 1M SOFR + 0.030% | JPMorgan Securities, Inc. | 01/13/23 | 51,196 | 208,796 | |||||||||
JPGSGLHN Index(c) | 1M USD LIBOR + 0.340% | JPMorgan Securities, Inc. | 08/25/22 | 53,372 | 2,853,707 | |||||||||
JPGSGLMN Index | 1M SOFR + 0.270% | JPMorgan Securities, Inc. | 08/25/22 | 18,694 | (1,328,372 | ) | ||||||||
JPGSGLTN Index(c) | 1M SOFR + 0.380% | JPMorgan Securities, Inc. | 08/25/22 | 39,197 | (1,053,702 | ) |
26 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
Reference Obligation/ Index(a) | Financing Rate Paid by the Fund | Counterparty | Termination Date(b) | Notional Amount (000s) | Unrealized Appreciation/ (Depreciation)* | |||||||||
JPGSMARB Index(c) | 1M SOFR + 0.910% | JPMorgan Securities, Inc. | 08/11/22 | $ | 48,924 | $ | 577,944 | |||||||
M1WOMOM Index | 1M USD LIBOR + 0.300% | JPMorgan Securities, Inc. | 07/12/22 | 47,290 | (57,128 | ) | ||||||||
M1WOMOM Index | 1M SOFR + 0.080% | JPMorgan Securities, Inc. | 02/10/23 | 17,278 | (50,334 | ) | ||||||||
NDDUWI Index | 1M SOFR - 0.060% | BofA Securities LLC | 02/10/23 | 256,932 | 525,425 | |||||||||
NDDUWI Index | 1M SOFR - 0.550% | JPMorgan Securities, Inc. | 02/14/23 | 4,592 | 9,288 | |||||||||
NDDUWI Index | 1M SOFR - 0.050% | JPMorgan Securities, Inc. | 02/28/23 | 138,996 | 562,549 | |||||||||
NDDUWI Index | 1M SOFR - 0.050% | JPMorgan Securities, Inc. | 03/10/23 | 49,507 | 200,368 | |||||||||
NDDUWI Index | 1M USD LIBOR - 0.050% | BofA Securities LLC | 04/14/23 | 83,574 | 342,506 | |||||||||
NDUGWI Index | 1M SOFR + 0.225% | JPMorgan Securities, Inc. | 07/13/22 | 8,043 | (6,064 | ) | ||||||||
NDUGWI Index | 1M SOFR + 0.120% | BofA Securities LLC | 08/10/22 | 54,157 | (33,329 | ) | ||||||||
NDUGWI Index | 1M USD LIBOR + 0.180% | BofA Securities LLC | 10/13/22 | 5,077 | (843 | ) | ||||||||
NDUGWI Index | 1M USD LIBOR + 0.130% | BofA Securities LLC | 11/15/22 | 29,772 | (5,113 | ) | ||||||||
NDUGWI Index | 1M USD LIBOR + 0.180% | BofA Securities LLC | 06/12/23 | 52,991 | (3,234 | ) | ||||||||
RU10INTR Index | 1M SOFR + 0.370% | BofA Securities LLC | 02/02/23 | 72,144 | 81,101 | |||||||||
SX XGT Index | 1M EURIBOR + 0.050% | JPMorgan Securities, Inc. | 09/19/22 | EUR | 99,782 | 1,489,117 | ||||||||
UKXG Index | 1M SONIA + 0.255% | JPMorgan Securities, Inc. | 12/16/22 | 16,253 | 293,565 | |||||||||
TOTAL |
| $ | 4,092,117 |
* | There are no upfront payments on the swap contracts (s), therefore the unrealized gain (loss) on the swap contracts is equal to their market value. |
(a) | Payments made monthly. |
(b) | The Fund pays/receives annual coupon payments in accordance with the swap contract(s). On the termination date of the swap contract(s), the Fund will either receive from or pay to the counterparty an amount equal to the net of the accrued financing fees and the value of the reference security subtracted from the original notional cost (notional multiplied by the price change of the reference security, converted to U.S. Dollars). |
(c) | The top 50 components are shown below. |
A basket (JPGSGLHN) of common stocks
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
UnitedHealth Group Inc | Health Care | 411 | $ | 211,310 | 7.32 | % | ||||||||
Johnson & Johnson | Health Care | 1,129 | 200,493 | 6.95 | ||||||||||
Pfizer Inc | Health Care | 2,479 | 129,954 | 4.50 | ||||||||||
AbbVie Inc | Health Care | 781 | 119,560 | 4.14 | ||||||||||
Eli Lilly & Co | Health Care | 348 | 112,955 | 3.92 | ||||||||||
Roche Holding AG | Health Care | 325 | 103,524 | 3.59 | ||||||||||
Merck & Co Inc | Health Care | 1,117 | 101,846 | 3.53 | ||||||||||
Thermo Fisher Scientific Inc | Health Care | 173 | 93,948 | 3.26 | ||||||||||
AstraZeneca PLC | Health Care | 8 | 89,899 | 3.12 | ||||||||||
Novartis AG | Health Care | 1,112 | 89,896 | 3.12 | ||||||||||
Abbott Laboratories | Health Care | 773 | 84,038 | 2.91 | ||||||||||
Novo Nordisk A/S | Health Care | 101 | 79,482 | 2.76 | ||||||||||
Danaher Corp | Health Care | 286 | 72,470 | 2.51 | ||||||||||
Bristol-Myers Squibb Co | Health Care | 941 | 72,420 | 2.51 | ||||||||||
Amgen Inc | Health Care | 236 | 57,415 | 1.99 | ||||||||||
CVS Health Corp | Health Care | 579 | 53,675 | 1.86 | ||||||||||
Medtronic PLC | Health Care | 593 | 53,188 | 1.84 | ||||||||||
Elevance Health Inc | Health Care | 106 | 51,394 | 1.78 | ||||||||||
Sanofi | Health Care | 533 | 51,387 | 1.78 | ||||||||||
GSK PLC | Health Care | 27 | 47,515 | 1.65 | ||||||||||
CSL Ltd | Health Care | 147 | 39,489 | 1.37 | ||||||||||
Cigna Corp | Health Care | 140 | 36,934 | 1.28 | ||||||||||
Zoetis Inc | Health Care | 208 | 35,736 | 1.24 | ||||||||||
Gilead Sciences Inc | Health Care | 554 | 34,248 | 1.19 | ||||||||||
Vertex Pharmaceuticals Inc | Health Care | 113 | 31,837 | 1.10 | ||||||||||
Intuitive Surgical Inc | Health Care | 159 | 31,826 | 1.10 |
The accompanying notes are an integral part of these financial statements. | 27 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
June 30, 2022 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Becton Dickinson and Co | Health Care | 126 | $ | 31,045 | 1.08 | % | ||||||||
Stryker Corp | Health Care | 149 | 29,576 | 1.03 | ||||||||||
Regeneron Pharmaceuticals Inc | Health Care | 48 | 28,210 | 0.98 | ||||||||||
Humana Inc | Health Care | 56 | 26,155 | 0.91 | ||||||||||
Edwards Lifesciences Corp | Health Care | 275 | 26,117 | 0.91 | ||||||||||
Bayer AG | Health Care | 455 | 25,815 | 0.89 | ||||||||||
Boston Scientific Corp | Health Care | 632 | 23,536 | 0.82 | ||||||||||
Centene Corp | Health Care | 258 | 21,861 | 0.76 | ||||||||||
Moderna Inc | Health Care | 153 | 21,837 | 0.76 | ||||||||||
McKesson Corp | Health Care | 64 | 20,948 | 0.73 | ||||||||||
Daiichi Sankyo Co Ltd | Health Care | 6 | 20,391 | 0.71 | ||||||||||
Takeda Pharmaceutical Co Ltd | Health Care | 5 | 19,583 | 0.68 | ||||||||||
IQVIA Holdings Inc | Health Care | 84 | 18,143 | 0.63 | ||||||||||
Lonza Group AG | Health Care | 34 | 17,534 | 0.61 | ||||||||||
HCA Healthcare Inc | Health Care | 101 | 16,891 | 0.59 | ||||||||||
Agilent Technologies Inc | Health Care | 133 | 15,746 | 0.55 | ||||||||||
Alcon Inc | Health Care | 231 | 15,413 | 0.53 | ||||||||||
Baxter International Inc | Health Care | 222 | 14,287 | 0.50 | ||||||||||
Hoya Corp | Health Care | 1 | 13,736 | 0.48 | ||||||||||
ResMed Inc | Health Care | 65 | 13,547 | 0.47 | ||||||||||
Biogen Inc | Health Care | 65 | 13,194 | 0.46 | ||||||||||
Wuxi Biologics Cayman Inc | Health Care | 183 | 13,129 | 0.46 |
A basket (JPGSGLTN) of common stocks
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Microsoft Corp | Information Technology | (297 | ) | $ | (76,173 | ) | 7.41 | % | ||||||
Apple Inc | Information Technology | (546 | ) | (74,676 | ) | 7.26 | ||||||||
NVIDIA Corp | Information Technology | (455 | ) | (69,011 | ) | 6.71 | ||||||||
Broadcom Inc | Information Technology | (74 | ) | (36,061 | ) | 3.51 | ||||||||
ASML Holding NV | Information Technology | (77 | ) | (35,328 | ) | 3.44 | ||||||||
Cisco Systems Inc | Information Technology | (755 | ) | (32,204 | ) | 3.13 | ||||||||
Accenture PLC | Information Technology | (115 | ) | (31,973 | ) | 3.11 | ||||||||
Adobe Inc | Information Technology | (86 | ) | (31,446 | ) | 3.06 | ||||||||
Salesforce Inc | Information Technology | (181 | ) | (29,811 | ) | 2.90 | ||||||||
Intel Corp | Information Technology | (743 | ) | (27,811 | ) | 2.71 | ||||||||
QUALCOMM Inc | Information Technology | (204 | ) | (26,011 | ) | 2.53 | ||||||||
Texas Instruments Inc | Information Technology | (168 | ) | (25,759 | ) | 2.51 | ||||||||
International Business Machines Corp | Information Technology | (164 | ) | (23,088 | ) | 2.25 | ||||||||
Advanced Micro Devices Inc | Information Technology | (295 | ) | (22,529 | ) | 2.19 | ||||||||
Oracle Corp | Information Technology | (286 | ) | (19,997 | ) | 1.95 | ||||||||
Intuit Inc | Information Technology | (51 | ) | (19,818 | ) | 1.93 | ||||||||
SAP SE | Information Technology | (208 | ) | (18,122 | ) | 1.76 | ||||||||
ServiceNow Inc | Information Technology | (36 | ) | (17,330 | ) | 1.69 | ||||||||
Automatic Data Processing Inc | Information Technology | (76 | ) | (15,952 | ) | 1.55 | ||||||||
PayPal Holdings Inc | Information Technology | (211 | ) | (14,704 | ) | 1.43 | ||||||||
Applied Materials Inc | Information Technology | (161 | ) | (14,612 | ) | 1.42 | ||||||||
Analog Devices Inc | Information Technology | (95 | ) | (13,899 | ) | 1.35 | ||||||||
Keyence Corp | Information Technology | — | (11,889 | ) | 1.16 | |||||||||
Micron Technology Inc | Information Technology | (203 | ) | (11,223 | ) | 1.09 | ||||||||
Lam Research Corp | Information Technology | (25 | ) | (10,747 | ) | 1.05 | ||||||||
Fidelity National Information Services I | Information Technology | (111 | ) | (10,179 | ) | 0.99 | ||||||||
Fiserv Inc | Information Technology | (106 | ) | (9,410 | ) | 0.92 | ||||||||
Tokyo Electron Ltd | Information Technology | — | (9,291 | ) | 0.90 | |||||||||
KLA Corp | Information Technology | (27 | ) | (8,657 | ) | 0.84 | ||||||||
Synopsys Inc | Information Technology | (28 | ) | (8,453 | ) | 0.82 | ||||||||
Adyen NV | Information Technology | (6 | ) | (8,192 | ) | 0.80 | ||||||||
Roper Technologies Inc | Information Technology | (19 | ) | (7,599 | ) | 0.74 | ||||||||
Cadence Design Systems Inc | Information Technology | (50 | ) | (7,522 | ) | 0.73 |
28 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS (continued)
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
NXP Semiconductors NV | Information Technology | (48 | ) | $ | (7,066 | ) | 0.69 | % | ||||||
Amphenol Corp | Information Technology | (109 | ) | (6,989 | ) | 0.68 | ||||||||
Fortinet Inc | Information Technology | (121 | ) | (6,853 | ) | 0.67 | ||||||||
Autodesk Inc | Information Technology | (40 | ) | (6,801 | ) | 0.66 | ||||||||
Paychex Inc | Information Technology | (58 | ) | (6,652 | ) | 0.65 | ||||||||
TE Connectivity Ltd | Information Technology | (59 | ) | (6,628 | ) | 0.64 | ||||||||
Shopify Inc | Information Technology | (161 | ) | (6,464 | ) | 0.63 | ||||||||
Cognizant Technology Solutions Corp | Information Technology | (95 | ) | (6,395 | ) | 0.62 | ||||||||
Motorola Solutions Inc | Information Technology | (30 | ) | (6,375 | ) | 0.62 | ||||||||
Murata Manufacturing Co Ltd | Information Technology | (1 | ) | (6,335 | ) | 0.62 | ||||||||
HP Inc | Information Technology | (192 | ) | (6,278 | ) | 0.61 | ||||||||
Microchip Technology Inc | Information Technology | (101 | ) | (5,871 | ) | 0.57 | ||||||||
Infineon Technologies AG | Information Technology | (249 | ) | (5,749 | ) | 0.56 | ||||||||
Global Payments Inc | Information Technology | (51 | ) | (5,663 | ) | 0.55 | ||||||||
Capgemini SE | Information Technology | (31 | ) | (4,996 | ) | 0.49 |
A basket (JPGSMARB) of common stocks
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
Biohaven Pharmaceutical Holding Co Ltd | Health Care | 121 | $ | 17,593 | 2.84 | % | ||||||||
Aerojet Rocketdyne Holdings Inc | Industrials | 432 | 17,548 | 2.83 | ||||||||||
Rogers Corp | Information Technology | 67 | 17,494 | 2.82 | ||||||||||
South Jersey Industries Inc | Utilities | 512 | 17,475 | 2.82 | ||||||||||
Meritor Inc | Industrials | 480 | 17,436 | 2.81 | ||||||||||
Cornerstone Building Brands Inc | Industrials | 711 | 17,416 | 2.81 | ||||||||||
PS Business Parks Inc | Real Estate | 93 | 17,410 | 2.81 | ||||||||||
Plantronics Inc | Information Technology | 439 | 17,401 | 2.81 | ||||||||||
Sierra Oncology Inc | Health Care | 316 | 17,401 | 2.81 | ||||||||||
CDK Global Inc | Information Technology | 318 | 17,398 | 2.81 | ||||||||||
MoneyGram International Inc | Information Technology | 1,739 | 17,388 | 2.80 | ||||||||||
Covetrus Inc | Health Care | 838 | 17,388 | 2.80 | ||||||||||
Turning Point Therapeutics Inc | Health Care | 231 | 17,383 | 2.80 | ||||||||||
ManTech International Corp/VA | Industrials | 182 | 17,381 | 2.80 | ||||||||||
Alleghany Corp | Financials | 21 | 17,372 | 2.80 | ||||||||||
Shaw Communications Inc | Communication Services | 458 | 17,367 | 2.80 | ||||||||||
Activision Blizzard Inc | Communication Services | 223 | 17,355 | 2.80 | ||||||||||
American Campus Communities Inc | Real Estate | 269 | 17,348 | 2.80 | ||||||||||
Sailpoint Technologies Holdings Inc | Information Technology | 276 | 17,330 | 2.80 | ||||||||||
Switch Inc | Information Technology | 517 | 17,321 | 2.79 | ||||||||||
Coherent Inc | Information Technology | 65 | 17,282 | 2.79 | ||||||||||
Uniti Group Ltd | Communication Services | 3,512 | 17,280 | 2.79 | ||||||||||
Tenneco Inc | Consumer Discretionary | 1,006 | 17,257 | 2.78 | ||||||||||
Sanderson Farms Inc | Consumer Staples | 80 | 17,254 | 2.78 | ||||||||||
Zendesk Inc | Information Technology | 233 | 17,253 | 2.78 | ||||||||||
LHC Group Inc | Health Care | 111 | 17,248 | 2.78 | ||||||||||
Tower Semiconductor Ltd | Information Technology | 373 | 17,205 | 2.78 | ||||||||||
TEGNA Inc | Communication Services | 814 | 17,071 | 2.75 | ||||||||||
First Horizon Corp | Financials | 779 | 17,022 | 2.75 | ||||||||||
Black Knight Inc | Information Technology | 260 | 16,978 | 2.74 | ||||||||||
Change Healthcare Inc | Health Care | 735 | 16,940 | 2.73 | ||||||||||
Nielsen Holdings PLC | Industrials | 726 | 16,865 | 2.72 | ||||||||||
VMware Inc | Information Technology | 148 | 16,844 | 2.72 | ||||||||||
CMC Materials Inc | Information Technology | 97 | 16,843 | 2.72 | ||||||||||
Twitter Inc | Communication Services | 444 | 16,589 | 2.68 | ||||||||||
Meggitt PLC | Industrials | 20 | 15,829 | 2.55 |
The accompanying notes are an integral part of these financial statements. | 29 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
June 30, 2022 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At June 30, 2022, the Fund had the following purchased and written options:
EXCHANGE TRADED INDEX OPTIONS
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
Purchased option contracts |
| |||||||||||||||||||||||||||
Calls | ||||||||||||||||||||||||||||
CBOE Volatility Index | $ | 29.00 | 07/20/2022 | 1,500 | $ | 4,350,000 | $ | 330,000 | $ | 475,837 | $ | (145,837 | ) | |||||||||||||||
CBOE Volatility Index | 32.50 | 08/17/2022 | 1,310 | 4,257,500 | 334,050 | 505,212 | (171,162 | ) | ||||||||||||||||||||
CBOE Volatility Index | 35.00 | 09/21/2022 | 1,180 | 4,130,000 | 336,300 | 445,993 | (109,693 | ) | ||||||||||||||||||||
3,990 | $ | 1,000,350 | $ | 1,427,042 | $ | (426,692 | ) | |||||||||||||||||||||
Puts | ||||||||||||||||||||||||||||
S&P 500 Index | $ | 3,275.00 | 07/29/2022 | 1 | $ | 327,500 | $ | 1,080 | $ | 1,416 | $ | (336 | ) | |||||||||||||||
S&P 500 Index | 3,410.00 | 07/29/2022 | 6 | 2,046,000 | 12,270 | 7,795 | 4,475 | |||||||||||||||||||||
S&P 500 Index | 2,925.00 | 07/29/2022 | 12 | 3,510,000 | 3,840 | 11,169 | (7,329 | ) | ||||||||||||||||||||
S&P 500 Index | 3,050.00 | 07/29/2022 | 18 | 5,490,000 | 8,460 | 16,540 | (8,080 | ) | ||||||||||||||||||||
S&P 500 Index | 3,230.00 | 07/29/2022 | 24 | 7,752,000 | 21,120 | 20,050 | 1,070 | |||||||||||||||||||||
61 | $ | 46,770 | $ | 56,970 | $ | (10,200 | ) | |||||||||||||||||||||
Total purchased option contracts |
| 4,051 | $ | 1,047,120 | $ | 1,484,012 | $ | (436,892 | ) | |||||||||||||||||||
Written option contracts |
| |||||||||||||||||||||||||||
Puts |
| |||||||||||||||||||||||||||
S&P 500 Index | 3,515.00 | 07/29/2022 | (12 | ) | $ | (4,218,000 | ) | $ | (40,560 | ) | $ | (72,111 | ) | $ | 31,551 | |||||||||||||
S&P 500 Index | 3,560.00 | 07/29/2022 | (18 | ) | (6,408,000 | ) | (78,120 | ) | (102,678 | ) | 24,558 | |||||||||||||||||
S&P 500 Index | 3,635.00 | 07/29/2022 | (24 | ) | (8,724,000 | ) | (145,920 | ) | (123,416 | ) | (22,504 | ) | ||||||||||||||||
S&P 500 Index | 3,925.00 | 07/29/2022 | (1 | ) | (392,500 | ) | (18,980 | ) | (9,614 | ) | (9,366 | ) | ||||||||||||||||
S&P 500 Index | 3,985.00 | 07/29/2022 | (6 | ) | (2,391,000 | ) | (136,800 | ) | (55,921 | ) | (80,879 | ) | ||||||||||||||||
Total written option contracts | (61 | ) | $ | (420,380 | ) | $ | (363,740 | ) | $ | (56,640 | ) | |||||||||||||||||
TOTAL |
| 3,990 | $ | 626,740 | $ | 1,120,272 | $ | (493,532 | ) |
| ||
Abbreviations: | ||
BofA Securities LLC | —Bank of America Securities LLC | |
CDX.NA.HY Index 38 | —CDX North America High Yield Index 38 | |
CDX.NA.IG Index 38 | —CDX North America Investment Grade Index 38 | |
ITXEB 37 | —iTraxx Europe Index 37 | |
ITXEX 37 | —iTraxx Ex-Japan Index 37 | |
|
30 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Schedule of Investments
June 30, 2022 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
U.S. Treasury Obligation(a) – 1.8% | ||||||||||||||
U.S.Treasury Notes | ||||||||||||||
$ | 20,000,000 | 1.750 | % | 09/30/22 | $ | 19,993,750 | ||||||||
(Cost $20,028,822) | ||||||||||||||
|
|
Shares | Dividend Rate | Value | ||||||
Investment Company(b) – 19.2% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
213,862,347 | 1.367% | $ | 213,862,347 | |||||
(Cost $213,862,347) | ||||||||
|
|
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Short-term Investments(c) – 89.1% | ||||||||||||||
U.S. Treasury Obligations – 89.1% | ||||||||||||||
U.S.Cash Management Bill | ||||||||||||||
$ | 308,500,000 | 0.000 | % | 10/11/22 | $ | 306,882,945 | ||||||||
U.S.Treasury Bills | ||||||||||||||
55,400,000 | 0.000 | 07/14/22 | 55,379,034 | |||||||||||
53,800,000 | 0.000 | 07/21/22 | 53,768,536 | |||||||||||
116,000,000 | 0.000 | 08/04/22 | 115,870,450 | |||||||||||
80,000,000 | 0.000 | 08/09/22 | 79,892,317 | |||||||||||
30,000,000 | 0.000 | 09/08/22 | 29,911,378 | |||||||||||
49,300,000 | 0.000 | 09/29/22 | 49,097,870 | |||||||||||
100,000,000 | 0.000 | 10/13/22 | 99,461,150 | |||||||||||
103,000,000 | 0.000 | 10/27/22 | 102,350,858 | |||||||||||
100,000,000 | 0.000 | 11/03/22 | 99,311,979 | |||||||||||
|
| |||||||||||||
TOTAL SHORT-TERM INVESTMENTS | ||||||||||||||
(Cost $992,665,068) | $ | 991,926,517 | ||||||||||||
|
| |||||||||||||
TOTAL INVESTMENTS – 110.1% | ||||||||||||||
(Cost $1,226,556,237) | $ | 1,225,782,614 | ||||||||||||
|
| |||||||||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS – (10.1)% | (112,307,457 | ) | |||||||||||
|
| |||||||||||||
NET ASSETS – 100.0% | $ | 1,113,475,157 | ||||||||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
(a) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
(b) | Represents an affiliated issuer. | |
(c) | Issued with a zero coupon. Income is recognized through the accretion of discount. |
| ||
Currency Abbreviation: | ||
USD | —U.S. Dollar | |
|
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At June 30, 2022, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
Brent Crude | 712 | 07/29/22 | $ | 77,629,360 | $ | (837,110 | ) | |||||||||
Chicago SRW Wheat | 226 | 09/14/22 | 9,989,200 | (297,278 | ) | |||||||||||
Copper | 139 | 09/28/22 | 12,892,250 | (1,229,301 | ) | |||||||||||
Corn | 168 | 09/14/22 | 5,281,500 | (696,204 | ) | |||||||||||
Crude Oil | 196 | 07/20/22 | 20,728,960 | 2,357,892 |
The accompanying notes are an integral part of these financial statements. | 31 |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Schedule of Investments (continued)
June 30, 2022 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
FUTURES CONTRACTS (continued)
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: (continued) |
| |||||||||||||||
Soybean oil | 480 | 12/14/22 | $ | 18,564,480 | $ | (1,309,123 | ) | |||||||||
Gold 100 Oz | 159 | 08/29/22 | 28,736,070 | (800,369 | ) | |||||||||||
Lean Hogs | 68 | 08/12/22 | 2,777,120 | (157,253 | ) | |||||||||||
Lean Hogs | 7 | 07/15/22 | 305,550 | (1,172 | ) | |||||||||||
Low Sulphur Gas Oil | 318 | 08/11/22 | 35,743,200 | (2,277,272 | ) | |||||||||||
Natural Gas | 147 | 07/27/22 | 7,973,280 | (2,600,333 | ) | |||||||||||
Natural Gas | 400 | 09/28/22 | 21,636,000 | (11,501,482 | ) | |||||||||||
Natural Gas | 341 | 08/29/22 | 18,386,720 | (3,824,602 | ) | |||||||||||
Nickel | 146 | 07/18/22 | 19,842,276 | (5,656,853 | ) | |||||||||||
NY Harbor ULSD | 36 | 07/29/22 | 5,791,716 | 96,544 | ||||||||||||
Platinum | 214 | 10/27/22 | 9,579,710 | (409,663 | ) | |||||||||||
Primary Aluminum | 104 | 07/18/22 | 6,324,500 | (523,429 | ) | |||||||||||
Silver | 316 | 09/28/22 | 32,156,160 | (2,195,848 | ) | |||||||||||
Soybean Meal | 494 | 12/14/22 | 20,090,980 | 41,027 | ||||||||||||
Wheat | 84 | 09/14/22 | 3,997,350 | (207,066 | ) | |||||||||||
Zinc | 354 | 07/18/22 | 28,158,488 | (5,550,856 | ) | |||||||||||
Total | $ | (37,579,751 | ) | |||||||||||||
Short position contracts: | ||||||||||||||||
Cocoa | (473 | ) | 12/14/22 | (11,257,400 | ) | 37,370 | ||||||||||
Cocoa | (730 | ) | 09/15/22 | (17,082,000 | ) | 1,406,392 | ||||||||||
Coffee | (211 | ) | 09/20/22 | (18,206,662 | ) | (164,556 | ) | |||||||||
Cotton No.2 | (417 | ) | 12/07/22 | (20,608,140 | ) | 4,787,186 | ||||||||||
FCOJ-A | (30 | ) | 09/12/22 | (778,725 | ) | (37,237 | ) | |||||||||
Gasoline RBOB | (11 | ) | 10/31/22 | (1,353,429 | ) | 191,805 | ||||||||||
Gasoline RBOB | (46 | ) | 08/31/22 | (6,572,471 | ) | (869,755 | ) | |||||||||
Live Cattle | (331 | ) | 12/30/22 | (19,181,450 | ) | 375,733 | ||||||||||
NY Harbor ULSD | (82 | ) | 10/31/22 | (12,486,911 | ) | 410,033 | ||||||||||
NY Harbor ULSD | (2 | ) | 08/31/22 | (316,252 | ) | (60,795 | ) | |||||||||
Soybean | (290 | ) | 11/14/22 | (21,141,000 | ) | 877,911 | ||||||||||
Sugar No. 11 | (876 | ) | 09/30/22 | (18,150,720 | ) | 594,751 | ||||||||||
WTI Crude | (1,270 | ) | 08/22/22 | (130,937,000 | ) | 14,513,307 | ||||||||||
Total | $ | 22,062,145 | ||||||||||||||
TOTAL FUTURES CONTRACTS | $ | (15,517,606 | ) |
32 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS COMMODITY STRATEGY FUND
ADDITIONAL INVESTMENT INFORMATION (continued) |
SWAP CONTRACTS — At June 30, 2022, the Fund had the following swap contracts:
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS#
Reference Obligation/ Index | Financing Rate Paid by the Fund(a) | Counterparty | Termination Date | Notional Amount (000s) | Unrealized Appreciation/ (Depreciation)* | |||||||||||||
CRB 1M Forward Index | 3M USD LIBOR+0.024% | Citibank NA | 01/31/23 | $ | 299,967 | $ | — | |||||||||||
CRB 1M Forward Index | 3M USD LIBOR+0.025 | Merrill Lynch & Co., Inc. | 01/31/23 | 443,177 | — | |||||||||||||
CRB 1M Forward Index | 3M USD LIBOR+0.025 | UBS AG (London) | 01/31/23 | 258,830 | — | |||||||||||||
TOTAL | $ | — |
# | The Fund pays/receives annual coupon payments in accordance with the swap contract(s). On the termination date of the swap contract(s), the Fund will either receive from or pay to the counterparty an amount equal to the net of the accrued financing fees and the value of the reference security subtracted from the original notional cost (notional multiplied by the price change of the reference security, converted to U.S. Dollars). |
* | There are no upfront payments on the swap contracts (s), therefore the unrealized gain (loss) on the swap contracts is equal to their market value. |
(a) | Payments made monthly. |
The accompanying notes are an integral part of these financial statements. | 33 |
GOLDMAN SACHS DEFENSIVE EQUITY FUND
Schedule of Investments
June 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 94.2% | ||||||||
Aerospace & Defense – 1.5% | ||||||||
95 | General Dynamics Corp. | $ | 21,019 | |||||
48 | L3Harris Technologies, Inc. | 11,602 | ||||||
404 | Raytheon Technologies Corp. | 38,828 | ||||||
21 | TransDigm Group, Inc.* | 11,270 | ||||||
|
| |||||||
82,719 | ||||||||
|
| |||||||
Air Freight & Logistics – 0.5% | ||||||||
146 | United Parcel Service, Inc. Class B | 26,651 | ||||||
|
| |||||||
Automobiles* – 1.8% | ||||||||
155 | Tesla, Inc. | 104,380 | ||||||
|
| |||||||
Banks – 0.7% | ||||||||
104 | The PNC Financial Services Group, Inc. | 16,408 | ||||||
468 | U.S. Bancorp | 21,537 | ||||||
|
| |||||||
37,945 | ||||||||
|
| |||||||
Beverages – 2.8% | ||||||||
95 | Brown-Forman Corp. Class B | 6,665 | ||||||
80 | Constellation Brands, Inc. Class A | 18,645 | ||||||
577 | Keurig Dr Pepper, Inc. | 20,420 | ||||||
336 | PepsiCo, Inc. | 55,998 | ||||||
931 | The Coca-Cola Co. | 58,569 | ||||||
|
| |||||||
160,297 | ||||||||
|
| |||||||
Biotechnology – 2.8% | ||||||||
350 | AbbVie, Inc. | 53,606 | ||||||
143 | Amgen, Inc. | 34,792 | ||||||
74 | Biogen, Inc.* | 15,092 | ||||||
86 | Incyte Corp.* | 6,533 | ||||||
46 | Regeneron Pharmaceuticals, Inc.* | 27,192 | ||||||
76 | Vertex Pharmaceuticals, Inc.* | 21,416 | ||||||
|
| |||||||
158,631 | ||||||||
|
| |||||||
Building Products – 0.3% | ||||||||
61 | Allegion PLC | 5,972 | ||||||
272 | Johnson Controls International PLC | 13,023 | ||||||
|
| |||||||
18,995 | ||||||||
|
| |||||||
Capital Markets – 1.1% | ||||||||
87 | CME Group, Inc. | 17,809 | ||||||
28 | FactSet Research Systems, Inc. | 10,768 | ||||||
187 | Intercontinental Exchange, Inc. | 17,586 | ||||||
54 | Moody’s Corp. | 14,686 | ||||||
|
| |||||||
60,849 | ||||||||
|
| |||||||
Chemicals – 1.5% | ||||||||
91 | Air Products & Chemicals, Inc. | 21,884 | ||||||
108 | Ecolab, Inc. | 16,606 | ||||||
110 | Linde PLC | 31,628 | ||||||
75 | The Sherwin-Williams Co. | 16,793 | ||||||
|
| |||||||
86,911 | ||||||||
|
| |||||||
Commercial Services & Supplies – 1.2% | ||||||||
49 | Cintas Corp. | 18,303 | ||||||
143 | Copart, Inc.* | 15,538 | ||||||
80 | Republic Services, Inc. | 10,470 | ||||||
161 | Waste Management, Inc. | 24,630 | ||||||
|
| |||||||
68,941 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Communications Equipment – 1.0% | ||||||||
1,015 | Cisco Systems, Inc. | 43,280 | ||||||
59 | Motorola Solutions, Inc. | 12,366 | ||||||
|
| |||||||
55,646 | ||||||||
|
| |||||||
Consumer Finance – 0.4% | ||||||||
156 | American Express Co. | 21,625 | ||||||
|
| |||||||
Containers & Packaging – 0.1% | ||||||||
605 | Amcor PLC | 7,520 | ||||||
|
| |||||||
Distributors – 0.1% | ||||||||
57 | Genuine Parts Co. | 7,581 | ||||||
|
| |||||||
Diversified Financial Services* – 1.6% | ||||||||
341 | Berkshire Hathaway, Inc. Class B | 93,100 | ||||||
|
| |||||||
Diversified Telecommunication Services – 1.3% | ||||||||
1,378 | AT&T, Inc. | 28,883 | ||||||
898 | Verizon Communications, Inc. | 45,573 | ||||||
|
| |||||||
74,456 | ||||||||
|
| |||||||
Electric Utilities – 1.8% | ||||||||
175 | American Electric Power Co., Inc. | 16,789 | ||||||
250 | Duke Energy Corp. | 26,802 | ||||||
176 | Eversource Energy | 14,867 | ||||||
340 | PPL Corp. | 9,224 | ||||||
225 | The Southern Co. | 16,045 | ||||||
247 | Xcel Energy, Inc. | 17,478 | ||||||
|
| |||||||
101,205 | ||||||||
|
| |||||||
Electrical Equipment – 0.8% | ||||||||
98 | AMETEK, Inc. | 10,769 | ||||||
142 | Eaton Corp. PLC | 17,891 | ||||||
215 | Emerson Electric Co. | 17,101 | ||||||
|
| |||||||
45,761 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 0.6% | ||||||||
71 | CDW Corp. | 11,187 | ||||||
58 | Keysight Technologies, Inc.* | 7,995 | ||||||
153 | TE Connectivity Ltd. | 17,312 | ||||||
|
| |||||||
36,494 | ||||||||
|
| |||||||
Energy Equipment & Services – 0.2% | ||||||||
352 | Schlumberger N.V | 12,587 | ||||||
|
| |||||||
Entertainment* – 0.6% | ||||||||
385 | The Walt Disney Co. | 36,344 | ||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) – 2.2% | ||||||||
109 | American Tower Corp. | 27,859 | ||||||
112 | Crown Castle International Corp. | 18,858 | ||||||
36 | Equinix, Inc. | 23,653 | ||||||
185 | Equity Residential | 13,361 | ||||||
27 | Essex Property Trust, Inc. | 7,061 | ||||||
177 | Prologis, Inc. | 20,824 | ||||||
43 | Public Storage | 13,445 | ||||||
|
| |||||||
125,061 | ||||||||
|
|
34 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DEFENSIVE EQUITY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Food & Staples Retailing – 1.7% | ||||||||
100 | Costco Wholesale Corp. | $ | 47,928 | |||||
410 | Walmart, Inc. | 49,848 | ||||||
|
| |||||||
97,776 | ||||||||
|
| |||||||
Food Products – 1.7% | ||||||||
189 | Campbell Soup Co. | 9,081 | ||||||
202 | General Mills, Inc. | 15,241 | ||||||
510 | Mondelez International, Inc. Class A | 31,666 | ||||||
79 | The Hershey Co. | 16,998 | ||||||
74 | The J.M. Smucker Co. | 9,473 | ||||||
402 | The Kraft Heinz Co. | 15,332 | ||||||
|
| |||||||
97,791 | ||||||||
|
| |||||||
Health Care Equipment & Supplies – 3.2% | ||||||||
435 | Abbott Laboratories | 47,263 | ||||||
75 | Becton Dickinson & Co. | 18,490 | ||||||
500 | Boston Scientific Corp.* | 18,635 | ||||||
115 | DexCom, Inc.* | 8,571 | ||||||
238 | Edwards Lifesciences Corp.* | 22,631 | ||||||
412 | Medtronic PLC | 36,977 | ||||||
116 | Stryker Corp. | 23,076 | ||||||
24 | Teleflex, Inc. | 5,900 | ||||||
|
| |||||||
181,543 | ||||||||
|
| |||||||
Health Care Providers & Services – 4.1% | ||||||||
106 | AmerisourceBergen Corp. | 14,997 | ||||||
65 | Anthem, Inc. | 31,368 | ||||||
350 | CVS Health Corp. | 32,431 | ||||||
87 | Henry Schein, Inc.* | 6,676 | ||||||
43 | Humana, Inc. | 20,127 | ||||||
60 | McKesson Corp. | 19,573 | ||||||
89 | Quest Diagnostics, Inc. | 11,835 | ||||||
189 | UnitedHealth Group, Inc. | 97,076 | ||||||
|
| |||||||
234,083 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure – 2.0% | ||||||||
13 | Chipotle Mexican Grill, Inc.* | 16,994 | ||||||
74 | Marriott International, Inc. Class A | 10,065 | ||||||
180 | McDonald’s Corp. | 44,439 | ||||||
338 | Starbucks Corp. | 25,820 | ||||||
122 | Yum! Brands, Inc. | 13,848 | ||||||
|
| |||||||
111,166 | ||||||||
|
| |||||||
Household Products – 2.0% | ||||||||
101 | Church & Dwight Co., Inc. | 9,358 | ||||||
192 | Colgate-Palmolive Co. | 15,387 | ||||||
85 | Kimberly-Clark Corp. | 11,488 | ||||||
533 | The Procter & Gamble Co. | 76,640 | ||||||
|
| |||||||
112,873 | ||||||||
|
| |||||||
Industrial Conglomerates – 1.4% | ||||||||
200 | 3M Co. | 25,882 | ||||||
253 | General Electric Co. | 16,108 | ||||||
212 | Honeywell International, Inc. | 36,848 | ||||||
|
| |||||||
78,838 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Insurance – 2.4% | ||||||||
93 | Aon PLC Class A | 25,080 | ||||||
139 | Chubb Ltd. | 27,325 | ||||||
124 | Loews Corp. | 7,348 | ||||||
193 | Marsh & McLennan Cos., Inc. | 29,963 | ||||||
99 | The Allstate Corp. | 12,546 | ||||||
190 | The Progressive Corp. | 22,092 | ||||||
67 | The Travelers Cos., Inc. | 11,332 | ||||||
|
| |||||||
135,686 | ||||||||
|
| |||||||
Interactive Media & Services* – 5.1% | ||||||||
100 | Alphabet, Inc. Class A | 217,926 | ||||||
450 | Meta Platforms, Inc. Class A | 72,562 | ||||||
|
| |||||||
290,488 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail* – 2.8% | ||||||||
1,519 | Amazon.com, Inc. | 161,333 | ||||||
|
| |||||||
IT Services – 6.0% | ||||||||
153 | Accenture PLC Class A | 42,480 | ||||||
84 | Akamai Technologies, Inc.* | 7,672 | ||||||
127 | Automatic Data Processing, Inc. | 26,675 | ||||||
189 | Cognizant Technology Solutions Corp. Class A | 12,756 | ||||||
177 | Fidelity National Information Services, Inc. | 16,226 | ||||||
245 | Fiserv, Inc.* | 21,798 | ||||||
60 | FleetCor Technologies, Inc.* | 12,607 | ||||||
217 | International Business Machines Corp. | 30,638 | ||||||
46 | Jack Henry & Associates, Inc. | 8,281 | ||||||
180 | Mastercard, Inc. Class A | 56,786 | ||||||
173 | Paychex, Inc. | 19,699 | ||||||
250 | PayPal Holdings, Inc.* | 17,460 | ||||||
346 | Visa, Inc. Class A | 68,124 | ||||||
|
| |||||||
341,202 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 2.5% | ||||||||
170 | Agilent Technologies, Inc. | 20,191 | ||||||
18 | Bio-Techne Corp. | 6,239 | ||||||
150 | Danaher Corp. | 38,028 | ||||||
77 | IQVIA Holdings, Inc.* | 16,708 | ||||||
57 | PerkinElmer, Inc. | 8,107 | ||||||
100 | Thermo Fisher Scientific, Inc. | 54,328 | ||||||
|
| |||||||
143,601 | ||||||||
|
| |||||||
Machinery – 1.6% | ||||||||
141 | Caterpillar, Inc. | 25,205 | ||||||
135 | Fortive Corp. | 7,341 | ||||||
111 | Illinois Tool Works, Inc. | 20,230 | ||||||
159 | Ingersoll Rand, Inc. | 6,691 | ||||||
34 | Nordson Corp. | 6,883 | ||||||
213 | Otis Worldwide Corp. | 15,053 | ||||||
78 | Westinghouse Air Brake Technologies Corp. | 6,402 | ||||||
|
| |||||||
87,805 | ||||||||
|
| |||||||
Media – 0.6% | ||||||||
889 | Comcast Corp. Class A | 34,884 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 35 |
GOLDMAN SACHS DEFENSIVE EQUITY FUND
Schedule of Investments (continued)
June 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Metals & Mining – 0.5% | ||||||||
370 | Freeport-McMoRan, Inc. | $ | 10,826 | |||||
256 | Newmont Corp. | 15,276 | ||||||
|
| |||||||
26,102 | ||||||||
|
| |||||||
Multi-Utilities – 1.9% | ||||||||
392 | CenterPoint Energy, Inc. | 11,595 | ||||||
101 | Consolidated Edison, Inc. | 9,605 | ||||||
293 | Dominion Energy, Inc. | 23,384 | ||||||
68 | DTE Energy Co. | 8,619 | ||||||
323 | Public Service Enterprise Group, Inc. | 20,440 | ||||||
147 | Sempra Energy | 22,090 | ||||||
123 | WEC Energy Group, Inc. | 12,379 | ||||||
|
| |||||||
108,112 | ||||||||
|
| |||||||
Multiline Retail – 0.8% | ||||||||
79 | Dollar General Corp. | 19,390 | ||||||
71 | Dollar Tree, Inc.* | 11,065 | ||||||
103 | Target Corp. | 14,547 | ||||||
|
| |||||||
45,002 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 0.8% | ||||||||
193 | Devon Energy Corp. | 10,636 | ||||||
838 | Kinder Morgan, Inc. | 14,045 | ||||||
173 | ONEOK, Inc. | 9,601 | ||||||
351 | The Williams Cos., Inc. | 10,955 | ||||||
|
| |||||||
45,237 | ||||||||
|
| |||||||
Personal Products – 0.3% | ||||||||
71 | The Estee Lauder Cos., Inc. Class A | 18,082 | ||||||
|
| |||||||
Pharmaceuticals – 4.3% | ||||||||
467 | Bristol-Myers Squibb Co. | 35,959 | ||||||
171 | Eli Lilly & Co. | 55,443 | ||||||
502 | Johnson & Johnson | 89,110 | ||||||
489 | Merck & Co., Inc. | 44,582 | ||||||
112 | Zoetis, Inc. | 19,252 | ||||||
|
| |||||||
244,346 | ||||||||
|
| |||||||
Professional Services – 0.5% | ||||||||
78 | Equifax, Inc. | 14,257 | ||||||
95 | Jacobs Engineering Group, Inc. | 12,077 | ||||||
|
| |||||||
26,334 | ||||||||
|
| |||||||
Road & Rail – 1.5% | ||||||||
818 | CSX Corp. | 23,771 | ||||||
90 | Norfolk Southern Corp. | 20,456 | ||||||
177 | Union Pacific Corp. | 37,751 | ||||||
|
| |||||||
81,978 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 2.5% | ||||||||
345 | Advanced Micro Devices, Inc.* | 26,382 | ||||||
95 | Broadcom, Inc. | 46,152 | ||||||
863 | Intel Corp. | 32,285 | ||||||
229 | Texas Instruments, Inc. | 35,186 | ||||||
|
| |||||||
140,005 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Software – 8.7% | ||||||||
115 | Adobe, Inc.* | 41,858 | ||||||
61 | Autodesk, Inc.* | 10,490 | ||||||
74 | Cadence Design Systems, Inc.* | 11,102 | ||||||
67 | Intuit, Inc. | 25,824 | ||||||
1,289 | Microsoft Corp. | 331,054 | ||||||
40 | Roper Technologies, Inc. | 15,786 | ||||||
203 | salesforce.com, Inc.* | 33,503 | ||||||
53 | ServiceNow, Inc.* | 25,203 | ||||||
|
| |||||||
494,820 | ||||||||
|
| |||||||
Specialty Retail – 2.6% | ||||||||
8 | AutoZone, Inc.* | 17,193 | ||||||
178 | Lowe’s Cos., Inc. | 31,091 | ||||||
32 | O’Reilly Automotive, Inc.* | 20,216 | ||||||
107 | Ross Stores, Inc. | 7,515 | ||||||
201 | The Home Depot, Inc. | 55,128 | ||||||
35 | Ulta Beauty, Inc.* | 13,492 | ||||||
|
| |||||||
144,635 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 6.4% | ||||||||
2,654 | Apple, Inc. | 362,855 | ||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 0.6% | ||||||||
338 | NIKE, Inc. Class B | 34,544 | ||||||
|
| |||||||
Trading Companies & Distributors – 0.4% | ||||||||
267 | Fastenal Co. | 13,329 | ||||||
24 | W.W. Grainger, Inc. | 10,906 | ||||||
|
| |||||||
24,235 | ||||||||
|
| |||||||
Wireless Telecommunication Services* – 0.4% | ||||||||
145 | T-Mobile US, Inc. | 19,508 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $5,954,501) | $ | 5,348,563 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 94.2% | ||||||||
(Cost $5,954,501) | $ | 5,348,563 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 5.8% | 326,534 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 5,675,097 | ||||||
|
|
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. |
| ||||
Investment Abbreviation: | ||||
PLC | —Public Limited Company | |||
|
36 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DEFENSIVE EQUITY FUND
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At June 30, 2022, 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 | 09/16/22 | $ | 378,950 | $ | 3,554 |
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At June 30, 2022, 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 | $4,025.00 | 07/29/2022 | 5 | $ | 2,012,500 | $ | 129,000 | $ | 69,913 | $ | 59,087 | |||||||||||||||
S&P 500 Index | 3,910.00 | 08/31/2022 | 5 | 1,955,000 | 108,000 | 58,899 | 49,101 | |||||||||||||||||||
S&P 500 Index | 3,590.00 | 09/30/2022 | 5 | 1,795,000 | 58,870 | 63,579 | (4,709 | ) | ||||||||||||||||||
Total purchased option contracts | 15 | $ | 5,762,500 | $ | 295,870 | $ | 192,391 | $ | 103,479 | |||||||||||||||||
Written option contracts | ||||||||||||||||||||||||||
Calls | ||||||||||||||||||||||||||
S&P 500 Index | 4,415.00 | 08/31/2022 | (5 | ) | $ | (2,207,500 | ) | $ | (2,350 | ) | $ | (35,087 | ) | $ | 32,737 | |||||||||||
S&P 500 Index | 4,540.00 | 07/29/2022 | (5 | ) | (2,270,000 | ) | (150 | ) | (28,561 | ) | 28,411 | |||||||||||||||
S&P 500 Index | 4,075.00 | 09/30/2022 | (5 | ) | (2,037,500 | ) | (35,506 | ) | (30,196 | ) | (5,310 | ) | ||||||||||||||
(15 | ) | $ | (6,515,000 | ) | $ | (38,006 | ) | $ | (93,844 | ) | $ | 55,838 | ||||||||||||||
Puts | ||||||||||||||||||||||||||
S&P 500 Index | 3,380.00 | 08/31/2022 | (5 | ) | $ | (1,690,000 | ) | $ | (23,500 | ) | $ | (17,651 | ) | $ | (5,849 | ) | ||||||||||
S&P 500 Index | 3,440.00 | 07/29/2022 | (5 | ) | (1,720,000 | ) | (11,300 | ) | (21,891 | ) | 10,591 | |||||||||||||||
S&P 500 Index | 3,130.00 | 09/30/2022 | (5 | ) | (1,565,000 | ) | (18,184 | ) | (19,471 | ) | 1,287 | |||||||||||||||
(15 | ) | $ | (4,975,000 | ) | $ | (52,984 | ) | $ | (59,013 | ) | $ | 6,029 | ||||||||||||||
Total written option contracts | (30 | ) | $ | (11,490,000 | ) | $ | (90,990 | ) | $ | (152,857 | ) | $ | 61,867 | |||||||||||||
TOTAL | (15 | ) | $ | (5,727,500 | ) | $ | 204,880 | $ | 39,534 | $ | 165,346 |
The accompanying notes are an integral part of these financial statements. | 37 |
GOLDMAN SACHS ALTERNATIVE FUNDS II
Statements of Assets and Liabilities
June 30, 2022 (Unaudited)
Absolute Return Tracker Fund(a) | Commodity Strategy Fund(a) | Defensive Equity Fund | ||||||||||||
Assets: | ||||||||||||||
Investments of unaffiliated issuers, at value (cost $1,781,383,556, $1,012,693,890 and $5,954,501, respectively)(b) | $ | 1,702,422,324 | $ | 1,011,920,267 | $ | 5,348,563 | ||||||||
Investments of affiliated issuers, at value (cost $1,883,111,275, $213,862,347 and $0, respectively) | 1,883,111,275 | 213,862,347 | — | |||||||||||
Investments in securities lending reinvestment vehicle — affiliated issuer, at value (cost $105,454,930, $0 and $0, respectively) | 105,454,930 | — | — | |||||||||||
Purchased options, at value (premium paid $1,484,012, $0 and $192,391, respectively) | 1,047,120 | — | 295,870 | |||||||||||
Cash | 65,618,512 | — | 92,669 | |||||||||||
Foreign currencies, at value (cost $15,531,441, $0 and $0, respectively) | 15,466,063 | — | — | |||||||||||
Unrealized gain on swap contracts | 7,144,366 | — | — | |||||||||||
Unrealized gain on forward foreign currency exchange contracts | 3,337,619 | — | — | |||||||||||
Receivables: | ||||||||||||||
Due from broker — upfront payment | 6,151,690 | — | — | |||||||||||
Collateral on certain derivative contracts(c) | 117,920,525 | — | 23,100 | |||||||||||
Investments sold | 50,043,302 | — | 1,061,176 | |||||||||||
Fund shares sold | 7,634,579 | 2,322,855 | — | |||||||||||
Dividends and interest | 2,325,083 | — | 3,836 | |||||||||||
Due from broker | 544,831 | — | — | |||||||||||
Foreign tax reclaims | 299,048 | — | — | |||||||||||
Securities lending income | 103,181 | — | — | |||||||||||
Reimbursement from investment adviser | 93,934 | 10,769 | 27,126 | |||||||||||
Other assets | 516,731 | 2,072,756 | 39,781 | |||||||||||
Total assets | 3,969,235,113 | 1,230,188,994 | 6,892,121 | |||||||||||
Liabilities: |
| |||||||||||||
Due to Custodian | — | 638,153 | — | |||||||||||
Unrealized loss on swap contracts | 3,052,249 | — | — | |||||||||||
Variation margin on swaps | 16,690,088 | — | — | |||||||||||
Unrealized loss on forward foreign currency exchange contracts | 856,442 | — | — | |||||||||||
Variation margin on futures contracts | 9,329,547 | 23,547,284 | 3,175 | |||||||||||
Written option contracts, at value (premium received $363,740, $0 and $152,857, respectively) | 420,380 | — | 90,990 | |||||||||||
Payables: | ||||||||||||||
Payable upon return of securities loaned | 105,454,930 | — | — | |||||||||||
Due to broker — upfront payment | — | 86,833,451 | — | |||||||||||
Investments purchased | 58,234,867 | 131,831 | 1,006,304 | |||||||||||
Fund shares redeemed | 13,711,527 | 3,334,447 | — | |||||||||||
Due to broker | 4,114,402 | 1,404,781 | — | |||||||||||
Management fees | 1,763,622 | 483,369 | 2,478 | |||||||||||
Distribution and Service fees and Transfer Agency fees | 170,922 | 68,535 | 560 | |||||||||||
Accrued expenses | 569,517 | 271,986 | 113,517 | |||||||||||
Total liabilities | 214,368,493 | 116,713,837 | 1,217,024 | |||||||||||
Net Assets: |
| |||||||||||||
Paid-in capital | 3,960,017,076 | 1,042,163,465 | 6,267,656 | |||||||||||
Total distributable earnings (loss) | (205,150,456 | ) | 71,311,692 | (592,559 | ) | |||||||||
NET ASSETS | $ | 3,754,866,620 | $ | 1,113,475,157 | $ | 5,675,097 | ||||||||
Net Assets: |
| |||||||||||||
Class A | $ | 48,642,576 | $ | 47,178,950 | $ | 205,880 | ||||||||
Class C | 6,846,034 | 6,597,807 | 306,287 | |||||||||||
Institutional | 3,029,714,957 | 313,475,926 | 4,963,082 | |||||||||||
Investor | 267,409,902 | 149,374,511 | 50,013 | |||||||||||
Class R6 | 156,252,794 | 175,632,558 | 50,127 | |||||||||||
Class R | 1,425,438 | 4,420,662 | 49,580 | |||||||||||
Class P | 244,574,919 | 416,794,743 | 50,128 | |||||||||||
Total Net Assets | $ | 3,754,866,620 | $ | 1,113,475,157 | $ | 5,675,097 | ||||||||
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | ||||||||||||||
Class A | 5,598,678 | 4,384,236 | 22,452 | |||||||||||
Class C | 881,717 | 663,575 | 33,755 | |||||||||||
Institutional | 333,883,639 | 28,672,974 | 539,305 | |||||||||||
Investor | 29,880,644 | 13,660,397 | 5,438 | |||||||||||
Class R6 | 17,242,640 | 16,027,573 | 5,446 | |||||||||||
Class R | 170,312 | 420,242 | 5,414 | |||||||||||
Class P | 26,960,725 | 38,047,599 | 5,446 | |||||||||||
Net asset value, offering and redemption price per share:(d) | ||||||||||||||
Class A | $8.69 | $10.76 | $9.17 | |||||||||||
Class C | 7.76 | 9.94 | 9.07 | |||||||||||
Institutional | 9.07 | 10.93 | 9.20 | |||||||||||
Investor | 8.95 | 10.93 | 9.20 | |||||||||||
Class R6 | 9.06 | 10.96 | 9.20 | |||||||||||
Class R | 8.37 | 10.52 | 9.16 | |||||||||||
Class P | 9.07 | 10.95 | 9.20 |
(a) | Statements of Assets and Liabilities for the Absolute Return Tracker and Commodity Strategy Fund are consolidated and include the balances of Cayman Commodity-ART LLC and Cayman Commodity-CSF, Ltd., respectively. Accordingly, all interfund balances and transactions have been eliminated. |
(b) | Includes loaned securities having a market value of $103,228,132, $0 and $0, respectively. |
(c) | Segregated for initial margin and/or collateral as follows: |
Fund | Futures | Options | Swaps | |||||||||
Absolute Return Tracker | $ | 46,275,557 | $ | 7,611,659 | $ | 64,033,309 | ||||||
Defensive Equity | 23,100 | — | — |
(d) | Maximum public offering price per share for Class A Shares of the Absolute Return Tracker, Commodity Strategy and Defensive Equity Funds is $9.20, $11.27 and $9.70, 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. |
38 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE FUNDS II
Statements of Operations
For the Six Months Ended June 30, 2022 (Unaudited)
Absolute Return Tracker Fund(a) | Commodity Strategy Fund(a) | Defensive Equity Fund | ||||||||||||
Investment income: |
| |||||||||||||
Dividends — unaffiliated issuers (net of foreign withholding taxes of $245,134, $0 and $12, respectively) | $ | 18,772,127 | $ | — | $ | 38,299 | ||||||||
Interest | 18,589,602 | 1,718,153 | 16 | |||||||||||
Dividends — affiliated issuers | 3,068,003 | 258,496 | 202 | |||||||||||
Securities lending income — affiliated issuers | 335,536 | — | — | |||||||||||
Total investment income | 40,765,268 | 1,976,649 | 38,517 | |||||||||||
Expenses: |
| |||||||||||||
Management fees | 12,177,058 | 2,559,159 | 16,215 | |||||||||||
Transfer Agency fees(b) | 928,181 | 214,010 | 1,590 | |||||||||||
Custody, accounting and administrative services | 363,475 | 90,958 | 22,637 | |||||||||||
Printing and mailing costs | 139,425 | 15,790 | 23,829 | |||||||||||
Registration fees | 117,434 | 86,116 | 48,580 | |||||||||||
Professional fees | 104,395 | 90,090 | 50,449 | |||||||||||
Distribution and Service (12b-1) fees(b) | 95,358 | 91,264 | 1,430 | |||||||||||
Prime broker fees | 32,185 | — | — | |||||||||||
Trustee fees | 13,331 | 10,754 | 10,395 | |||||||||||
Service fees — Class C | 9,351 | 6,720 | 328 | |||||||||||
Other | 30,384 | 8,418 | 1,485 | |||||||||||
Total expenses | 14,010,577 | 3,173,279 | 176,938 | |||||||||||
Less — expense reductions | (1,650,013 | ) | (505,742 | ) | (157,406 | ) | ||||||||
Net expenses | 12,360,564 | 2,667,537 | 19,532 | |||||||||||
NET INVESTMENT INCOME (LOSS) | 28,404,704 | (690,888 | ) | 18,985 | ||||||||||
Realized and unrealized gain (loss): |
| |||||||||||||
Net realized gain (loss) from: |
| |||||||||||||
Investments — unaffiliated issuers | (73,675,364 | ) | 2,055,930 | (388,066 | ) | |||||||||
Purchased options | (1,818,878 | ) | — | 4,972 | ||||||||||
Futures contracts | 74,463,452 | 5,395,540 | (90,118 | ) | ||||||||||
Written options | (756,773 | ) | — | 269,145 | ||||||||||
Swap contracts | 17,701,781 | 79,685,910 | — | |||||||||||
Forward foreign currency exchange contracts | 21,706,587 | — | — | |||||||||||
Foreign currency transactions | (11,031,841 | ) | — | — | ||||||||||
Net change in unrealized gain (loss) on: |
| |||||||||||||
Investments — unaffiliated issuers | (339,121,223 | ) | (750,324 | ) | (1,014,351 | ) | ||||||||
Purchased options | (65,905 | ) | — | 193,797 | ||||||||||
Futures contracts | (10,553,507 | ) | 2,511,447 | (6,330 | ) | |||||||||
Written options | (172,611 | ) | — | 43,812 | ||||||||||
Swap contracts | 55,986 | 2,808 | — | |||||||||||
Forward foreign currency exchange contracts | 6,663,817 | — | — | |||||||||||
Foreign currency translation | (1,918,123 | ) | — | — | ||||||||||
Net realized and unrealized gain (loss) | (318,522,602 | ) | 88,901,311 | (987,139 | ) | |||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | (290,117,898 | ) | $ | 88,210,423 | $ | (968,154 | ) |
(a) | Statement of Operations for the Absolute Return Tracker Fund and Commodity Strategy Fund are consolidated and include the balances of a wholly-owned subsidiary, Cayman Commodity-ART, LLC and Cayman Commodity-CSF, Ltd., respectively. Accordingly, all interfund balances and transactions have been eliminated. |
(b) | 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 | |||||||||||||||||||||||||||||||||||||||
Fund | Class A | Class C | Class R | Class A | Class C | Institutional | Investor | Class R6 | Class R | Class P | ||||||||||||||||||||||||||||||
Absolute Return Tracker | $ | 63,691 | $ | 28,052 | $ | 3,615 | $ | 40,763 | $ | 5,984 | $ | 606,253 | $ | 215,094 | $ | 22,359 | $ | 1,157 | $ | 36,571 | ||||||||||||||||||||
Commodity Strategy | 60,215 | 20,158 | 10,891 | 28,903 | 3,225 | 61,009 | 56,348 | 16,040 | 2,614 | 45,871 | ||||||||||||||||||||||||||||||
Defensive Equity | 314 | 985 | 131 | 201 | 210 | 1,079 | 42 | 8 | 42 | 8 |
The accompanying notes are an integral part of these financial statements. | 39 |
GOLDMAN SACHS ALTERNATIVE FUNDS II
Statements of Changes in Net Assets
Absolute Return Tracker Fund(a) | Commodity Strategy Fund(a) | |||||||||||||||||||||
For the Six Months Ended June 30, 2022 (Unaudited) | For the Fiscal Year Ended December 31, 2021 | For the Six Months Ended June 30, 2022 (Unaudited) | For the Fiscal Year Ended December 31, 2021 | |||||||||||||||||||
From operations: | ||||||||||||||||||||||
Net investment income (loss) | $ | 28,492,017 | $ | 10,389,413 | $ | (690,888 | ) | $ | (2,292,228 | ) | ||||||||||||
Net realized gain | 26,578,551 | 199,473,869 | 87,137,380 | 112,125,493 | ||||||||||||||||||
Net change in unrealized gain (loss) | (345,188,466 | ) | 8,788,664 | 1,763,931 | (21,627,129 | ) | ||||||||||||||||
Net increase (decrease) in net assets resulting from operations | (290,117,898 | ) | 218,651,946 | 88,210,423 | 88,206,136 | |||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||
From distributable earnings: | ||||||||||||||||||||||
Class A Shares | — | (4,908,995 | ) | (20,551 | ) | (5,752,510 | ) | |||||||||||||||
Class C Shares | — | (780,933 | ) | — | (463,509 | ) | ||||||||||||||||
Institutional Shares | — | (251,781,263 | ) | (644,624 | ) | (31,246,856 | ) | |||||||||||||||
Investor Shares | — | (20,262,094 | ) | (280,724 | ) | (5,021,769 | ) | |||||||||||||||
Class R6 Shares | — | (12,919,930 | ) | (361,724 | ) | (13,507,757 | ) | |||||||||||||||
Class R Shares | — | (134,664 | ) | — | (463,777 | ) | ||||||||||||||||
Class P Shares | — | (20,270,234 | ) | (872,154 | ) | (20,048,961 | ) | |||||||||||||||
Total distributions to shareholders | — | (311,058,113 | ) | (2,179,777 | ) | (76,505,139 | ) | |||||||||||||||
From share transactions: | ||||||||||||||||||||||
Proceeds from sales of shares | 1,017,837,911 | 1,612,413,440 | 767,507,928 | 336,827,798 | ||||||||||||||||||
Reinvestment of distributions | — | 228,421,762 | 1,987,147 | 65,973,579 | ||||||||||||||||||
Cost of shares redeemed | (638,769,412 | ) | (1,552,144,654 | ) | (263,442,749 | ) | (125,874,133 | ) | ||||||||||||||
Net increase in net assets resulting from share transactions | 379,068,499 | 288,690,548 | 506,052,326 | 276,927,244 | ||||||||||||||||||
TOTAL INCREASE | 88,950,601 | 196,284,381 | 592,082,972 | 288,628,241 | ||||||||||||||||||
Net assets: | ||||||||||||||||||||||
Beginning of period | 3,665,916,019 | 3,469,631,638 | 521,392,185 | 232,763,944 | ||||||||||||||||||
End of period | $ | 3,754,866,620 | $ | 3,665,916,019 | $ | 1,113,475,157 | $ | 521,392,185 |
(a) | Statements of Changes in Net Assets for the Absolute Return Tracker Fund and Commodity Strategy Fund are consolidated and include the balances of a wholly-owned subsidiary, Cayman Commodity-ART, LLC and Cayman Commodity-CSF, Ltd., respectively. Accordingly, all interfund balances and transactions have been eliminated. |
40 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALTERNATIVE FUNDS II
Statements of Changes in Net Assets (continued)
Defensive Equity Fund | ||||||||||
For the Six Months Ended June 30, 2022 (Unaudited) | For the Fiscal Year Ended December 31, 2021 | |||||||||
From operations: | ||||||||||
Net investment income | $ | 18,985 | $ | 30,609 | ||||||
Net realized gain (loss) | (204,067 | ) | 783,924 | |||||||
Net change in unrealized gain (loss) | (783,072 | ) | 3,547 | |||||||
Net increase (decrease) in net assets resulting from operations | (968,154 | ) | 818,080 | |||||||
Distributions to shareholders: | ||||||||||
From distributable earnings: | ||||||||||
Class A Shares | — | (17,059 | ) | |||||||
Class C Shares | — | (7,588 | ) | |||||||
Institutional Shares | — | (497,162 | ) | |||||||
Investor Shares | — | (4,551 | ) | |||||||
Class R6 Shares | — | (4,623 | ) | |||||||
Class R Shares | — | (4,340 | ) | |||||||
Class P Shares | — | (4,623 | ) | |||||||
Total distributions to shareholders | — | (539,946 | ) | |||||||
From share transactions: | ||||||||||
Proceeds from sales of shares | 410,573 | 1,097,648 | ||||||||
Reinvestment of distributions | — | 539,946 | ||||||||
Cost of shares redeemed | (698,491 | ) | (519,323 | ) | ||||||
Net increase (decrease) in net assets resulting from share transactions | (287,918 | ) | 1,118,271 | |||||||
TOTAL INCREASE (DECREASE) | (1,256,072 | ) | 1,396,405 | |||||||
Net assets: | ||||||||||
Beginning of period | 6,931,169 | 5,534,764 | ||||||||
End of period | $ | 5,675,097 | $ | 6,931,169 |
The accompanying notes are an integral part of these financial statements. | 41 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Financial Highlights
Selected Share Data for a Share Outstanding Throughout Each Period
(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. |
42 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Absolute Return Tracker Fund | ||||||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.43 | $ | 8.84 | $ | 8.69 | $ | 8.14 | $ | 8.61 | $ | 8.43 | ||||||||||||||
Net investment income (loss)(a) | 0.02 | (0.08 | ) | (0.07 | ) | 0.03 | — | (b) | (0.07 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | (0.69 | ) | 0.54 | 0.28 | 0.75 | (0.31 | ) | 0.58 | ||||||||||||||||||
Total from investment operations | (0.67 | ) | 0.46 | 0.21 | 0.78 | (0.31 | ) | 0.51 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | — | (0.01 | ) | (0.01 | ) | (0.02 | ) | — | |||||||||||||||||
Distributions to shareholders from net realized gains | — | (0.87 | ) | (0.05 | ) | (0.22 | ) | (0.14 | ) | (0.33 | ) | |||||||||||||||
Total distributions | — | (0.87 | ) | (0.06 | ) | (0.23 | ) | (0.16 | ) | (0.33 | ) | |||||||||||||||
Net asset value, end of period | $ | 7.76 | $ | 8.43 | $ | 8.84 | $ | 8.69 | $ | 8.14 | $ | 8.61 | ||||||||||||||
Total return(c) | (7.95 | )% | 5.31 | % | 2.43 | % | 9.69 | % | (3.60 | )% | 6.10 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 6,846 | $ | 7,973 | $ | 9,638 | $ | 15,761 | $ | 18,985 | $ | 13,718 | ||||||||||||||
Ratio of net expenses to average net assets | 1.76 | %(d) | 1.79 | % | 1.71 | % | 1.72 | % | 1.75 | % | 1.78 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.84 | %(d) | 1.84 | % | 1.86 | % | 1.86 | % | 2.00 | % | 2.36 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | 0.40 | %(d) | (0.84 | )% | (0.84 | )% | 0.34 | % | — | %(e) | (0.81 | )% | ||||||||||||||
Portfolio turnover rate(f) | 75 | % | 133 | % | 193 | % | 127 | % | 137 | % | 76 | % |
(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) | Amount is less than 0.005%. |
(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. | 43 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Absolute Return Tracker Fund | ||||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.80 | $ | 10.03 | $ | 9.74 | $ | 9.10 | $ | 9.58 | $ | 9.23 | ||||||||||||||
Net investment income(a) | 0.07 | 0.03 | 0.03 | 0.14 | 0.11 | 0.03 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.80 | ) | 0.61 | 0.32 | 0.85 | (0.35 | ) | 0.65 | ||||||||||||||||||
Total from investment operations | (0.73 | ) | 0.64 | 0.35 | 0.99 | (0.24 | ) | 0.68 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | — | (0.01 | ) | (0.13 | ) | (0.10 | ) | — | (b) | ||||||||||||||||
Distributions to shareholders from net realized gains | — | (0.87 | ) | (0.05 | ) | (0.22 | ) | (0.14 | ) | (0.33 | ) | |||||||||||||||
Total distributions | — | (0.87 | ) | (0.06 | ) | (0.35 | ) | (0.24 | ) | (0.33 | ) | |||||||||||||||
Net asset value, end of period | $ | 9.07 | $ | 9.80 | $ | 10.03 | $ | 9.74 | $ | 9.10 | $ | 9.58 | ||||||||||||||
Total return(c) | (7.45 | )% | 6.48 | % | 3.60 | % | 10.91 | % | (2.47 | )% | 7.46 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 3,029,715 | $ | 2,955,943 | $ | 2,928,949 | $ | 2,852,690 | $ | 2,129,116 | $ | 1,510,457 | ||||||||||||||
Ratio of net expenses to average net assets | 0.64 | %(d) | 0.68 | % | 0.58 | % | 0.59 | % | 0.61 | % | 0.64 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.72 | %(d) | 0.72 | % | 0.73 | % | 0.73 | % | 0.88 | % | 1.21 | % | ||||||||||||||
Ratio of net investment income to average net assets | 1.53 | %(d) | 0.30 | % | 0.28 | % | 1.46 | % | 1.13 | % | 0.36 | % | ||||||||||||||
Portfolio turnover rate(e) | 75 | % | 133 | % | 193 | % | 127 | % | 137 | % | 76 | % |
(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. |
44 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Absolute Return Tracker Fund | ||||||||||||||||||||||||||
Investor Shares(a) | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.67 | $ | 9.92 | $ | 9.64 | $ | 9.02 | $ | 9.50 | $ | 9.17 | ||||||||||||||
Net investment income(b) | 0.07 | 0.02 | 0.02 | 0.13 | 0.10 | 0.03 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.79 | ) | 0.60 | 0.32 | 0.83 | (0.35 | ) | 0.63 | ||||||||||||||||||
Total from investment operations | (0.72 | ) | 0.62 | 0.34 | 0.96 | (0.25 | ) | 0.66 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | — | (0.01 | ) | (0.12 | ) | (0.09 | ) | — | |||||||||||||||||
Distributions to shareholders from net realized gains | — | (0.87 | ) | (0.05 | ) | (0.22 | ) | (0.14 | ) | (0.33 | ) | |||||||||||||||
Total distributions | — | (0.87 | ) | (0.06 | ) | (0.34 | ) | (0.23 | ) | (0.33 | ) | |||||||||||||||
Net asset value, end of period | $ | 8.95 | $ | 9.67 | $ | 9.92 | $ | 9.64 | $ | 9.02 | $ | 9.50 | ||||||||||||||
Total return(c) | (7.45 | )% | 6.35 | % | 3.54 | % | 10.66 | % | (2.58 | )% | 7.25 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 267,410 | $ | 243,761 | $ | 246,694 | $ | 370,779 | $ | 254,436 | $ | 93,650 | ||||||||||||||
Ratio of net expenses to average net assets | 0.76 | %(d) | 0.79 | % | 0.71 | % | 0.72 | % | 0.75 | % | 0.78 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.84 | %(d) | 0.84 | % | 0.86 | % | 0.87 | % | 0.98 | % | 1.35 | % | ||||||||||||||
Ratio of net investment income to average net assets | 1.45 | %(d) | 0.16 | % | 0.16 | % | 1.33 | % | 1.08 | % | 0.28 | % | ||||||||||||||
Portfolio turnover rate(e) | 75 | % | 133 | % | 193 | % | 127 | % | 137 | % | 76 | % |
(a) | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (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. | 45 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Absolute Return Tracker Fund | ||||||||||||||||||||||||||
Class R6 Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.78 | $ | 10.02 | $ | 9.72 | $ | 9.09 | $ | 9.57 | $ | 9.23 | ||||||||||||||
Net investment income(a) | 0.07 | 0.05 | 0.03 | 0.14 | 0.12 | 0.04 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (0.79 | ) | 0.58 | 0.33 | 0.84 | (0.36 | ) | 0.63 | ||||||||||||||||||
Total from investment operations | (0.72 | ) | 0.63 | 0.36 | 0.98 | (0.24 | ) | 0.67 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | — | (0.01 | ) | (0.13 | ) | (0.10 | ) | — | |||||||||||||||||
Distributions to shareholders from net realized gains | — | (0.87 | ) | (0.05 | ) | (0.22 | ) | (0.14 | ) | (0.33 | ) | |||||||||||||||
Total distributions | — | (0.87 | ) | (0.06 | ) | (0.35 | ) | (0.24 | ) | (0.33 | ) | |||||||||||||||
Net asset value, end of period | $ | 9.06 | $ | 9.78 | $ | 10.02 | $ | 9.72 | $ | 9.09 | $ | 9.57 | ||||||||||||||
Total Return(c) | (7.36 | )% | 6.38 | % | 3.71 | % | 10.82 | % | (2.46 | )% | 7.36 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 156,253 | $ | 153,588 | $ | 9,353 | $ | 9,284 | $ | 6,030 | $ | 2,226 | ||||||||||||||
Ratio of net expenses to average net assets | 0.63 | %(d) | 0.66 | % | 0.57 | % | 0.58 | % | 0.60 | % | 0.62 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.71 | %(d) | 0.70 | % | 0.72 | % | 0.72 | % | 0.84 | % | 1.19 | % | ||||||||||||||
Ratio of net investment income to average net assets | 1.52 | %(d) | 0.51 | % | 0.29 | % | 1.47 | % | 1.20 | % | 0.39 | % | ||||||||||||||
Portfolio turnover rate(e) | 75 | % | 133 | % | 193 | % | 127 | % | 137 | % | 76 | % |
(a) | 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 Portfolio distributions or the redemption of Portfolio 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. |
46 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Absolute Return Tracker Fund | ||||||||||||||||||||||||||
Class R Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.06 | $ | 9.40 | $ | 9.18 | $ | 8.61 | $ | 9.08 | $ | 8.82 | ||||||||||||||
Net investment income (loss)(a) | 0.04 | (0.03 | ) | (0.03 | ) | 0.08 | 0.04 | (0.03 | ) | |||||||||||||||||
Net realized and unrealized gain (loss) | (0.73 | ) | 0.56 | 0.31 | 0.78 | (0.33 | ) | 0.62 | ||||||||||||||||||
Total from investment operations | (0.69 | ) | 0.53 | 0.28 | 0.86 | (0.29 | ) | 0.59 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | — | (0.01 | ) | (0.07 | ) | (0.04 | ) | — | |||||||||||||||||
Distributions to shareholders from net realized gains | — | (0.87 | ) | (0.05 | ) | (0.22 | ) | (0.14 | ) | (0.33 | ) | |||||||||||||||
Total distributions | — | (0.87 | ) | (0.06 | ) | (0.29 | ) | (0.18 | ) | (0.33 | ) | |||||||||||||||
Net asset value, end of period | $ | 8.37 | $ | 9.06 | $ | 9.40 | $ | 9.18 | $ | 8.61 | $ | 9.08 | ||||||||||||||
Total return(b) | (7.62 | )% | 5.73 | % | 3.06 | % | 10.06 | % | (3.13 | )% | 6.74 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 1,425 | $ | 1,536 | $ | 1,562 | $ | 2,347 | $ | 1,954 | $ | 2,150 | ||||||||||||||
Ratio of net expenses to average net assets | 1.26 | %(c) | 1.29 | % | 1.21 | % | 1.22 | % | 1.25 | % | 1.28 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.34 | %(c) | 1.34 | % | 1.36 | % | 1.37 | % | 1.53 | % | 1.86 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | 0.86 | %(c) | (0.33 | )% | (0.35 | )% | 0.83 | % | 0.45 | % | (0.31 | )% | ||||||||||||||
Portfolio turnover rate(d) | 75 | % | 133 | % | 193 | % | 127 | % | 137 | % | 76 | % |
(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. | 47 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Absolute Return Tracker Fund | ||||||||||||||||||||||
Class P Shares | ||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | Period Ended December 31, 2018* | ||||||||||||||||||||
2021 | 2020 | 2019 | ||||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of period | $ | 9.79 | $ | 10.02 | $ | 9.73 | $ | 9.09 | $ | 9.64 | ||||||||||||
Net investment income(a) | 0.07 | 0.03 | 0.03 | 0.14 | 0.10 | |||||||||||||||||
Net realized and unrealized gain (loss) | (0.79 | ) | 0.61 | 0.32 | 0.85 | (0.41 | ) | |||||||||||||||
Total from investment operations | (0.72 | ) | 0.64 | 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 | — | (0.87 | ) | (0.05 | ) | (0.22 | ) | (0.14 | ) | |||||||||||||
Total distributions | — | (0.87 | ) | (0.06 | ) | (0.35 | ) | (0.24 | ) | |||||||||||||
Net asset value, end of period | $ | 9.07 | $ | 9.79 | $ | 10.02 | $ | 9.73 | $ | 9.09 | ||||||||||||
Total return(b) | (7.35 | )% | 6.48 | % | 3.61 | % | 10.93 | % | (3.17 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 244,575 | $ | 245,233 | $ | 211,794 | $ | 219,701 | $ | 152,975 | ||||||||||||
Ratio of net expenses to average net assets | 0.63 | %(c) | 0.66 | % | 0.57 | % | 0.58 | % | 0.59 | %(c) | ||||||||||||
Ratio of total expenses to average net assets | 0.71 | %(c) | 0.71 | % | 0.72 | % | 0.72 | % | 0.74 | %(c) | ||||||||||||
Ratio of net investment income to average net assets | 0.71 | %(c) | 0.33 | % | 0.29 | % | 1.48 | % | 1.41 | %(c) | ||||||||||||
Portfolio turnover rate(d) | 75 | % | 133 | % | 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. |
48 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
(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. | 49 |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Commodity Strategy Fund | ||||||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.25 | $ | 7.32 | $ | 9.61 | $ | 9.17 | $ | 10.92 | $ | 11.15 | ||||||||||||||
Net investment income (loss)(a) | (0.06 | ) | (0.15 | ) | (0.08 | ) | 0.08 | 0.02 | (0.07 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | 1.75 | 2.50 | (2.21 | ) | 1.35 | (1.75 | ) | 0.42 | ||||||||||||||||||
Total from investment operations | 1.69 | 2.35 | (2.29 | ) | 1.43 | (1.73 | ) | 0.35 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (1.42 | ) | — | (0.17 | ) | (0.02 | ) | (0.46 | ) | ||||||||||||||||
Distributions to shareholders from return of capital | — | — | — | (0.82 | ) | — | (0.12 | ) | ||||||||||||||||||
Total distributions | — | (1.42 | ) | — | (0.99 | ) | (0.02 | ) | (0.58 | ) | ||||||||||||||||
Net asset value, end of period | $ | 9.94 | $ | 8.25 | $ | 7.32 | $ | 9.61 | $ | 9.17 | $ | 10.92 | ||||||||||||||
Total return(b) | 20.48 | % | 32.04 | % | (23.77 | )% | 15.54 | % | (15.84 | )% | 3.16 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 6,598 | $ | 3,125 | $ | 1,340 | $ | 2,271 | $ | 2,472 | $ | 2,949 | ||||||||||||||
Ratio of net expenses to average net assets | 1.66 | %(c) | 1.67 | % | 1.55 | % | 1.59 | % | 1.59 | % | 1.61 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.69 | %(c) | 1.83 | % | 2.03 | % | 1.84 | % | 1.76 | % | 1.76 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (1.21 | )%(c) | (1.65 | )% | (1.12 | )% | 0.81 | % | 0.14 | % | (0.68 | )% | ||||||||||||||
Portfolio turnover rate(d) | — | % | 83 | % | 70 | % | 52 | % | 46 | % | 89 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(c) | Annualized. |
(d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
50 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Commodity Strategy Fund | ||||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.04 | $ | 7.88 | $ | 10.28 | $ | 9.74 | $ | 11.61 | $ | 11.80 | ||||||||||||||
Net investment income (loss)(a) | (0.01 | ) | (0.06 | ) | (0.01 | ) | 0.09 | 0.15 | 0.09 | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.92 | 2.71 | (2.36 | ) | 1.56 | (1.88 | ) | 0.40 | ||||||||||||||||||
Total from investment operations | 1.91 | 2.65 | (2.37 | ) | 1.65 | (1.73 | ) | 0.49 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.02 | ) | (1.49 | ) | (0.03 | ) | (0.19 | ) | (0.14 | ) | (0.56 | ) | ||||||||||||||
Distributions to shareholders from return of capital | — | — | — | (0.92 | ) | — | (0.12 | ) | ||||||||||||||||||
Total distributions | (0.02 | ) | (1.49 | ) | (0.03 | ) | (1.11 | ) | (0.14 | ) | (0.68 | ) | ||||||||||||||
Net asset value, end of period | $ | 10.93 | $ | 9.04 | $ | 7.88 | $ | 10.28 | $ | 9.74 | $ | 11.61 | ||||||||||||||
Total return(b) | 21.15 | % | 33.52 | % | (22.96 | )% | 16.77 | % | (14.89 | )% | 4.28 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 313,476 | $ | 206,782 | $ | 127,172 | $ | 156,673 | $ | 259,239 | $ | 314,888 | ||||||||||||||
Ratio of net expenses to average net assets | 0.58 | %(c) | 0.59 | % | 0.47 | % | 0.50 | % | 0.50 | % | 0.52 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.61 | %(c) | 0.75 | % | 0.96 | % | 0.74 | % | 0.66 | % | 0.66 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.14 | )%(c) | (0.57 | )% | (0.10 | )% | 0.81 | % | 1.23 | % | 0.78 | % | ||||||||||||||
Portfolio turnover rate(d) | — | % | 83 | % | 70 | % | 52 | % | 46 | % | 89 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(c) | Annualized. |
(d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 51 |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Commodity Strategy Fund | ||||||||||||||||||||||||||
Investor Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.04 | $ | 7.89 | $ | 10.29 | $ | 9.75 | $ | 11.61 | $ | 11.81 | ||||||||||||||
Net investment income (loss)(a) | (0.01 | ) | (0.07 | ) | (0.01 | ) | (0.04 | ) | 0.14 | (0.02 | ) | |||||||||||||||
Net realized and unrealized gain (loss) | 1.92 | 2.71 | (2.37 | ) | 1.68 | (1.87 | ) | 0.49 | ||||||||||||||||||
Total from investment operations | 1.91 | 2.64 | (2.38 | ) | 1.64 | (1.73 | ) | 0.47 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.02 | ) | (1.49 | ) | (0.02 | ) | (0.18 | ) | (0.13 | ) | (0.55 | ) | ||||||||||||||
Distributions to shareholders from return of capital | — | — | — | (0.92 | ) | — | (0.12 | ) | ||||||||||||||||||
Total distributions | (0.02 | ) | (1.49 | ) | (0.02 | ) | (1.10 | ) | (0.13 | ) | (0.67 | ) | ||||||||||||||
Net asset value, end of period | $ | 10.93 | $ | 9.04 | $ | 7.89 | $ | 10.29 | $ | 9.75 | $ | 11.61 | ||||||||||||||
Total return(b) | 21.13 | % | 33.33 | % | (22.99 | )% | 16.73 | % | (14.97 | )% | 4.08 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 149,375 | $ | 33,337 | $ | 3,115 | $ | 6,651 | $ | 8,272 | $ | 8,586 | ||||||||||||||
Ratio of net expenses to average net assets | 0.66 | %(c) | 0.67 | % | 0.55 | % | 0.59 | % | 0.59 | % | 0.61 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.69 | %(c) | 0.81 | % | 1.02 | % | 0.83 | % | 0.75 | % | 0.75 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.15 | )%(c) | (0.66 | )% | (0.09 | )% | (0.36 | )% | 1.15 | % | (0.18 | )% | ||||||||||||||
Portfolio turnover rate(d) | — | % | 83 | % | 70 | % | 52 | % | 46 | % | 89 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(c) | Annualized. |
(d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
52 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Commodity Strategy Fund | ||||||||||||||||||||||||||
Class R6 Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.06 | $ | 7.90 | $ | 10.30 | $ | 9.76 | $ | 11.62 | $ | 11.80 | ||||||||||||||
Net investment income (loss)(a) | (0.01 | ) | (0.05 | ) | (0.01 | ) | 0.38 | 0.14 | (0.45 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | 1.93 | 2.70 | (2.36 | ) | 1.27 | (1.87 | ) | 0.95 | ||||||||||||||||||
Total from investment operations | 1.92 | 2.65 | (2.37 | ) | 1.65 | (1.73 | ) | 0.50 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.02 | ) | (1.49 | ) | (0.03 | ) | (0.19 | ) | (0.13 | ) | (0.56 | ) | ||||||||||||||
Distributions to shareholders from return of capital | — | — | — | (0.92 | ) | — | (0.12 | ) | ||||||||||||||||||
Total distributions | (0.02 | ) | (1.49 | ) | (0.03 | ) | (1.11 | ) | (0.13 | ) | (0.68 | ) | ||||||||||||||
Net asset value, end of period | $ | 10.96 | $ | 9.06 | $ | 7.90 | $ | 10.30 | $ | 9.76 | $ | 11.62 | ||||||||||||||
Total return(b) | 21.21 | % | 33.44 | % | (22.92 | )% | 16.87 | % | (14.96 | )% | 4.29 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 175,633 | $ | 94,836 | $ | 83,227 | $ | 85,170 | $ | 182 | $ | 90 | ||||||||||||||
Ratio of net expenses to average net assets | 0.57 | %(c) | 0.58 | % | 0.46 | % | 0.49 | % | 0.49 | % | 0.50 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.60 | %(c) | 0.75 | % | 0.96 | % | 0.75 | % | 0.68 | % | 0.66 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.15 | )%(c) | (0.55 | )% | (0.09 | )% | 3.52 | % | 1.15 | % | (4.04 | )% | ||||||||||||||
Portfolio turnover rate(d) | — | % | 83 | % | 70 | % | 52 | % | 46 | % | 89 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all 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. |
(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. | 53 |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Commodity Strategy Fund | ||||||||||||||||||||||||||
Class R Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.71 | $ | 7.64 | $ | 9.99 | $ | 9.50 | $ | 11.31 | $ | 11.51 | ||||||||||||||
Net investment income (loss)(a) | (0.04 | ) | (0.11 | ) | (0.05 | ) | 0.16 | 0.07 | (0.04 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | 1.85 | 2.62 | (2.29 | ) | 1.38 | (1.81 | ) | 0.45 | ||||||||||||||||||
Total from investment operations | 1.81 | 2.51 | (2.34 | ) | 1.54 | (1.74 | ) | 0.41 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (1.44 | ) | (0.01 | ) | (0.18 | ) | (0.07 | ) | (0.49 | ) | |||||||||||||||
Distributions to shareholders from return of capital | — | — | — | (0.87 | ) | — | (0.12 | ) | ||||||||||||||||||
Total distributions | — | (1.44 | ) | (0.01 | ) | (1.05 | ) | (0.07 | ) | (0.61 | ) | |||||||||||||||
Net asset value, end of period | $ | 10.52 | $ | 8.71 | $ | 7.64 | $ | 9.99 | $ | 9.50 | $ | 11.31 | ||||||||||||||
Total return(b) | 20.78 | % | 32.73 | % | (23.36 | )% | 16.11 | % | (15.40 | )% | 3.60 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 4,421 | $ | 3,271 | $ | 1,903 | $ | 2,280 | $ | 2,233 | $ | 2,892 | ||||||||||||||
Ratio of net expenses to average net assets | 1.16 | %(c) | 1.17 | % | 1.05 | % | 1.09 | % | 1.09 | % | 1.11 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.19 | %(c) | 1.33 | % | 1.54 | % | 1.34 | % | 1.25 | % | 1.26 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.74 | )%(c) | (1.15 | )% | (0.68 | )% | 1.53 | % | 0.64 | % | (0.40 | )% | ||||||||||||||
Portfolio turnover rate(d) | — | % | 83 | % | 70 | % | 52 | % | 46 | % | 89 | % |
(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. |
54 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Commodity Strategy Fund | ||||||||||||||||||||||
Class P Shares | ||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | Period Ended December 31, 2018* | ||||||||||||||||||||
2021 | 2020 | 2019 | ||||||||||||||||||||
Per Share Data |
| |||||||||||||||||||||
Net asset value, beginning of period | $ | 9.06 | $ | 7.90 | $ | 10.29 | $ | 9.76 | $ | 12.11 | ||||||||||||
Net investment income (loss)(a) | (0.01 | ) | (0.06 | ) | — | (b) | (0.25 | ) | 0.12 | |||||||||||||
Net realized and unrealized gain (loss) | 1.92 | 2.71 | (2.36 | ) | 1.89 | (2.33 | ) | |||||||||||||||
Total from investment operations | 1.91 | 2.65 | (2.36 | ) | 1.64 | (2.21 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.02 | ) | (1.49 | ) | (0.03 | ) | (0.19 | ) | (0.14 | ) | ||||||||||||
Distributions to shareholders from return of capital | — | — | — | (0.92 | ) | — | ||||||||||||||||
Total distributions | (0.02 | ) | (1.49 | ) | (0.03 | ) | (1.11 | ) | (0.14 | ) | ||||||||||||
Net asset value, end of period | $ | 10.95 | $ | 9.06 | $ | 7.90 | $ | 10.29 | $ | 9.76 | ||||||||||||
Total return(c) | 21.11 | % | 33.46 | % | (22.84 | )% | 16.73 | % | (18.31 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 416,795 | $ | 139,858 | $ | 684 | $ | 977 | $ | 3,167 | ||||||||||||
Ratio of net expenses to average net assets | 0.57 | %(d) | 0.58 | % | 0.45 | % | 0.48 | % | 0.45 | %(d) | ||||||||||||
Ratio of total expenses to average net assets | 0.60 | %(d) | 0.72 | % | 0.94 | % | 0.72 | % | 0.65 | %(d) | ||||||||||||
Ratio of net investment income (loss) to average net assets | (0.10 | )%(d) | (0.57 | )% | (0.04 | )% | (2.28 | )% | 1.43 | %(d) | ||||||||||||
Portfolio turnover rate(e) | — | % | 83 | % | 70 | % | 52 | % | 46 | % |
* | Commenced operations on April 17, 2018. |
(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. | 55 |
GOLDMAN SACHS DEFENSIVE EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
(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. |
56 | 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
Goldman Sachs Defensive Equity Fund | ||||||||||||||||||
Class C Shares | ||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | Period Ended December 31, 2020(a) | ||||||||||||||||
Per Share Data | ||||||||||||||||||
Net asset value, beginning of period | $ | 10.63 | $ | 10.18 | $ | 10.00 | ||||||||||||
Net investment loss(b) | (0.02 | ) | (0.06 | ) | (0.01 | ) | ||||||||||||
Net realized and unrealized gain (loss) | (1.54 | ) | 1.38 | 0.19 | ||||||||||||||
Total from investment operations | (1.56 | ) | 1.32 | 0.18 | ||||||||||||||
Distributions to shareholders from net investment income | — | — | — | |||||||||||||||
Distributions to shareholders from net realized gains | — | (0.87 | ) | — | (c) | |||||||||||||
Total distributions | — | (0.87 | ) | — | ||||||||||||||
Net asset value, end of period | $ | 9.07 | $ | 10.63 | $ | 10.18 | ||||||||||||
Total return(d) | (14.41 | )% | 12.97 | % | 1.81 | % | ||||||||||||
Net assets, end of period (in 000s) | $ | 306 | $ | 100 | $ | 51 | ||||||||||||
Ratio of net expenses to average net assets | 1.69 | %(e) | 1.69 | % | 1.69 | %(e) | ||||||||||||
Ratio of total expenses to average net assets | 6.96 | %(e) | 9.66 | % | 11.70 | %(e) | ||||||||||||
Ratio of net investment loss to average net assets | (0.39 | )%(e) | (0.59 | )% | (0.28 | )%(e) | ||||||||||||
Portfolio turnover rate(f) | 88 | % | 305 | % | 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. | 57 |
GOLDMAN SACHS DEFENSIVE EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Defensive Equity Fund | ||||||||||||||||||
Institutional Shares | ||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | Period Ended December 31, 2020(a) | ||||||||||||||||
Per Share Data | ||||||||||||||||||
Net asset value, beginning of period | $ | 10.72 | $ | 10.19 | $ | 10.00 | ||||||||||||
Net investment income(b) | 0.03 | 0.06 | 0.02 | |||||||||||||||
Net realized and unrealized gain (loss) | (1.55 | ) | 1.39 | 0.19 | ||||||||||||||
Total from investment operations | (1.52 | ) | 1.45 | 0.21 | ||||||||||||||
Distributions to shareholders from net investment income | — | (0.05 | ) | (0.02 | ) | |||||||||||||
Distributions to shareholders from net realized gains | — | (0.87 | ) | — | (c) | |||||||||||||
Total distributions | — | (0.92 | ) | (0.02 | ) | |||||||||||||
Net asset value, end of period | $ | 9.20 | $ | 10.72 | $ | 10.19 | ||||||||||||
Total return(d) | (13.91 | )% | 14.24 | % | 2.11 | % | ||||||||||||
Net assets, end of period (in 000s) | $ | 4,963 | $ | 6,283 | $ | 5,201 | ||||||||||||
Ratio of net expenses to average net assets | 0.57 | %(e) | 0.57 | % | 0.57 | %(e) | ||||||||||||
Ratio of total expenses to average net assets | 5.71 | %(e) | 9.46 | % | 10.45 | %(e) | ||||||||||||
Ratio of net investment income to average net assets | 0.69 | %(e) | 0.52 | % | 0.84 | %(e) | ||||||||||||
Portfolio turnover rate(f) | 88 | % | 305 | % | 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. |
58 | 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
Goldman Sachs Defensive Equity Fund | ||||||||||||||||||
Investor Shares | ||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | Period Ended December 31, 2020(a) | ||||||||||||||||
Per Share Data | ||||||||||||||||||
Net asset value, beginning of period | $ | 10.72 | $ | 10.19 | $ | 10.00 | ||||||||||||
Net investment income(b) | 0.03 | 0.04 | 0.02 | |||||||||||||||
Net realized and unrealized gain (loss) | (1.55 | ) | 1.40 | 0.19 | ||||||||||||||
Total from investment operations | (1.52 | ) | 1.44 | 0.21 | ||||||||||||||
Distributions to shareholders from net investment income | — | (0.04 | ) | (0.02 | ) | |||||||||||||
Distributions to shareholders from net realized gains | — | (0.87 | ) | — | (c) | |||||||||||||
Total distributions | — | (0.91 | ) | (0.02 | ) | |||||||||||||
Net asset value, end of period | $ | 9.20 | $ | 10.72 | $ | 10.19 | ||||||||||||
Total return(d) | (14.01 | )% | 14.12 | % | 2.08 | % | ||||||||||||
Net assets, end of period (in 000s) | $ | 50 | $ | 58 | $ | 51 | ||||||||||||
Ratio of net expenses to average net assets | 0.69 | %(e) | 0.69 | % | 0.69 | %(e) | ||||||||||||
Ratio of total expenses to average net assets | 5.84 | %(e) | 9.60 | % | 10.70 | %(e) | ||||||||||||
Ratio of net investment income to average net assets | 0.57 | %(e) | 0.40 | % | 0.72 | %(e) | ||||||||||||
Portfolio turnover rate(f) | 88 | % | 305 | % | 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. | 59 |
GOLDMAN SACHS DEFENSIVE EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Defensive Equity Fund | ||||||||||||||||||
Class R6 Shares | ||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | Period Ended December 31, 2020(a) | ||||||||||||||||
Per Share Data | ||||||||||||||||||
Net asset value, beginning of period | $ | 10.72 | $ | 10.19 | $ | 10.00 | ||||||||||||
Net investment income(b) | 0.03 | 0.06 | 0.02 | |||||||||||||||
Net realized and unrealized gain (loss) | (1.55 | ) | 1.39 | 0.19 | ||||||||||||||
Total from investment operations | (1.52 | ) | 1.45 | 0.21 | ||||||||||||||
Distributions to shareholders from net investment income | — | (0.05 | ) | (0.02 | ) | |||||||||||||
Distributions to shareholders from net realized gains | — | (0.87 | ) | — | (c) | |||||||||||||
Total distributions | — | (0.92 | ) | (0.02 | ) | |||||||||||||
Net asset value, end of period | $ | 9.20 | $ | 10.72 | $ | 10.19 | ||||||||||||
Total return(d) | (13.91 | )% | 14.25 | % | 2.11 | % | ||||||||||||
Net assets, end of period (in 000s) | $ | 50 | $ | 58 | $ | 51 | ||||||||||||
Ratio of net expenses to average net assets | 0.56 | %(e) | 0.56 | % | 0.57 | %(e) | ||||||||||||
Ratio of total expenses to average net assets | 5.71 | %(e) | 9.47 | % | 10.58 | %(e) | ||||||||||||
Ratio of net investment income to average net assets | 0.70 | %(e) | 0.53 | % | 0.84 | %(e) | ||||||||||||
Portfolio turnover rate(f) | 88 | % | 305 | % | 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. |
60 | 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
Goldman Sachs Defensive Equity Fund | ||||||||||||||||||
Class R Shares | ||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | Period Ended December 31, 2020(a) | ||||||||||||||||
Per Share Data | ||||||||||||||||||
Net asset value, beginning of period | $ | 10.70 | $ | 10.19 | $ | 10.00 | ||||||||||||
Net investment income (loss)(b) | — | (0.01 | ) | 0.01 | ||||||||||||||
Net realized and unrealized gain (loss) | (1.54 | ) | 1.39 | 0.19 | ||||||||||||||
Total from investment operations | (1.54 | ) | 1.38 | 0.20 | ||||||||||||||
Distributions to shareholders from net investment income | — | — | (0.01 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (0.87 | ) | — | (c) | |||||||||||||
Total distributions | — | (0.87 | ) | (0.01 | ) | |||||||||||||
Net asset value, end of period | $ | 9.16 | $ | 10.70 | $ | 10.19 | ||||||||||||
Total return(d) | (14.22 | )% | 13.54 | % | 1.95 | % | ||||||||||||
Net assets, end of period (in 000s) | $ | 50 | $ | 58 | $ | 51 | ||||||||||||
Ratio of net expenses to average net assets | 1.19 | %(e) | 1.19 | % | 1.19 | %(e) | ||||||||||||
Ratio of total expenses to average net assets | 6.33 | %(e) | 10.10 | % | 11.20 | %(e) | ||||||||||||
Ratio of net investment income (loss) to average net assets | 0.07 | %(e) | (0.09 | )% | 0.22 | %(e) | ||||||||||||
Portfolio turnover rate(f) | 88 | % | 305 | % | 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. | 61 |
GOLDMAN SACHS DEFENSIVE EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Defensive Equity Fund | ||||||||||||||||||
Class P Shares | ||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, 2021 | Period Ended December 31, 2020(a) | ||||||||||||||||
Per Share Data | ||||||||||||||||||
Net asset value, beginning of period | $ | 10.72 | $ | 10.19 | $ | 10.00 | ||||||||||||
Net investment income(b) | 0.03 | 0.06 | 0.02 | |||||||||||||||
Net realized and unrealized gain (loss) | (1.55 | ) | 1.39 | 0.19 | ||||||||||||||
Total from investment operations | (1.52 | ) | 1.45 | 0.21 | ||||||||||||||
Distributions to shareholders from net investment income | — | (0.05 | ) | (0.02 | ) | |||||||||||||
Distributions to shareholders from net realized gains | — | (0.87 | ) | — | (c) | |||||||||||||
Total distributions | — | (0.92 | ) | (0.02 | ) | |||||||||||||
Net asset value, end of period | $ | 9.20 | $ | 10.72 | $ | 10.19 | ||||||||||||
Total return(d) | (13.91 | )% | 14.24 | % | 2.11 | % | ||||||||||||
Net assets, end of period (in 000s) | $ | 50 | $ | 58 | $ | 51 | ||||||||||||
Ratio of net expenses to average net assets | 0.56 | %(e) | 0.56 | % | 0.56 | %(e) | ||||||||||||
Ratio of total expenses to average net assets | 5.71 | %(e) | 9.47 | % | 10.57 | %(e) | ||||||||||||
Ratio of net investment income to average net assets | 0.70 | %(e) | 0.53 | % | 0.85 | %(e) | ||||||||||||
Portfolio turnover rate(f) | 88 | % | 305 | % | 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 net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(e) | Annualized. |
(f) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments 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 ALTERNATIVE FUNDS II
June 30, 2022 (Unaudited)
1. ORGANIZATION |
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”), along with their corresponding share classes and respective diversification status under the Act:
Fund | Shares Classes Offered | Diversified/ Non-diversified | ||
Absolute Return Tracker, Commodity Strategy, and Defensive Equity | A, C, Institutional, Investor, R6, R and P | Diversified |
Class A Shares of the Absolute Return Tracker Fund and the Defensive Equity Fund 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 with the Trust. Core Commodity Management, LLC (“Core Commodity” or the “Sub-Adviser”) serves as a sub-adviser to the Commodity Strategy Fund. GSAM compensates the Sub- Adviser directly in accordance with the terms of the Sub-Advisory Agreement. The Commodity Strategy Fund is not charged any separate or additional investment advisory fees by the Sub-Adviser.
2. SIGNIFICANT ACCOUNTING POLICIES |
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. 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 Fund and Commodity Strategy Fund — Cayman Commodity-ART, LLC., and Cayman Commodity-CSF, LTD., (each a “Subsidiary” and collectively, the “Subsidiaries”), Cayman Islands exempted companies, are currently wholly-owned subsidiaries of the Absolute Return Tracker and Commodity 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 June 30, 2022, 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 | $3,754,866,620 | $138,380,240 | 3.7% | |||||
Commodity Strategy | 1,113,475,157 | 208,216,601 | 18.7 |
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
63
GOLDMAN SACHS ALTERNATIVE FUNDS II
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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, unrealized gains and losses are recorded daily and become realized gains and losses upon disposition or termination of the contract. Upfront payments, if any, are made or received upon entering into a swap agreement and are reflected in the Consolidated Statements and 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. For treasury inflation protected securities (“TIPS”), adjustments to principal due to inflation/deflation are reflected as increases/decreases to interest income with a corresponding adjustment to cost.
D. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, and non-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the applicable Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class-specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agency and Service fees.
E. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies 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 and Defensive Equity Fund | Annually | Annually | ||||
Commodity Strategy | Semi-Annually | Annually |
The Subsidiaries are classified as controlled foreign corporations under the Code. Therefore, the Funds are required to decrease their taxable income by their share of their Subsidiaries’ income. Net losses of a Subsidiary cannot be deducted by the Funds in the current period nor carried forward to offset taxable income in future periods. Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from distributable earnings or capital. Certain components of the Funds’ net assets on the Statement and Consolidated Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
F. Foreign Currency Translation — The accounting records and reporting currency of 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
64
GOLDMAN SACHS ALTERNATIVE FUNDS II
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Consolidated Statements of Operations within net change in unrealized gain (loss) on foreign currency translation. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within net realized gain (loss) on foreign currency transactions.
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS |
U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Funds’ policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The 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 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
65
GOLDMAN SACHS ALTERNATIVE FUNDS II
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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.
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. Underlying Funds are generally classified as Level 1 of the fair value hierarchy. To the extent that underlying ETFs 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.
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 and 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 and Consolidated 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. 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.
66
GOLDMAN SACHS ALTERNATIVE FUNDS II
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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.
iii. Swap Contracts — Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, a Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a receivable or payable for variation margin.
A 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.
67
GOLDMAN SACHS ALTERNATIVE FUNDS II
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
C. Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of June 30, 2022:
ABSOLUTE RETURN TRACKER |
| |||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Asia | $ | — | $ | 11,180,197 | $ | — | ||||||
Europe | 25,750,436 | 76,174,009 | — | |||||||||
North America | 883,428,022 | 52,313 | — | |||||||||
South America | 27,645 | 109,970 | — | |||||||||
Exchange Traded Funds | 705,699,732 | — | — | |||||||||
Investment Company | 1,883,111,275 | — | — | |||||||||
Total | $ | 3,498,017,110 | $ | 87,516,489 | $ | — | ||||||
Derivative Type | ||||||||||||
Assets | ||||||||||||
Forward Foreign Currency Exchange Contracts(b) | $ | — | $ | 3,337,619 | $ | — | ||||||
Futures Contracts(b) | 7,180,755 | — | — | |||||||||
Total Return Swap Contracts(b) | — | 7,144,366 | — | |||||||||
Purchased Options Contracts | 1,047,120 | — | — | |||||||||
Total | $ | 8,227,875 | $ | 10,481,985 | $ | — | ||||||
Liabilities | ||||||||||||
Forward Foreign Currency Exchange Contracts(b) | $ | — | $ | (856,442 | ) | $ | — | |||||
Futures Contracts(b) | (15,035,881 | ) | — | — | ||||||||
Credit Default Swap Contracts(b) | — | (7,506,821 | ) | — | ||||||||
Total Return Swap Contracts(b) | — | (3,052,249 | ) | — | ||||||||
Written Options Contracts | (420,380 | ) | — | — | ||||||||
Total | $ | (15,456,261 | ) | $ | (11,415,512 | ) | $ | — |
(a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of net asset value. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Funds utilize fair value model prices provided by an independent fair value service for international equities, resulting in a Level 2 classification. |
(b) | Amount shown represents unrealized gain (loss) at period end. |
68
GOLDMAN SACHS ALTERNATIVE FUNDS II
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
COMMODITY STRATEGY |
| |||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Fixed Income | ||||||||||||
U.S. Treasury Obligations | $ | 19,993,750 | $ | — | $ | — | ||||||
Investment Company | 213,862,347 | — | — | |||||||||
Short-term Investments | 991,926,517 | — | — | |||||||||
Total | $ | 1,225,782,614 | $ | — | $ | — | ||||||
Derivative Type | ||||||||||||
Assets(a) | ||||||||||||
Futures Contracts | $ | 25,689,951 | $ | — | $ | — | ||||||
Liabilities(a) | ||||||||||||
Futures Contracts | $ | (41,207,557 | ) | $ | — | $ | — |
DEFENSIVE EQUITY | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(b) | ||||||||||||
Europe | $ | 186,774 | $ | — | $ | — | ||||||
North America | 5,161,789 | — | — | |||||||||
Total | $ | 5,348,563 | $ | — | $ | — | ||||||
Derivative Type | ||||||||||||
Assets | ||||||||||||
Futures Contracts(a) | $ | 3,554 | $ | — | $ | — | ||||||
Purchased Options Contracts | 295,870 | — | — | |||||||||
Total | $ | 299,424 | $ | — | $ | — | ||||||
Liabilities | ||||||||||||
Written Option Contracts | $ | (90,990 | ) | $ | — | $ | — |
(a) | Amount shown represents unrealized gain (loss) at period end. |
(b) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of 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. |
For further information regarding security characteristics, see the Schedule and Consolidated Schedules of Investments.
69
GOLDMAN SACHS ALTERNATIVE FUNDS II
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
4. INVESTMENTS IN DERIVATIVES |
The following tables set forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of June 30, 2022. 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 Statement of Assets and Liabilities | Assets | Consolidated Statement of Assets and Liabilities | Liabilities | ||||||||
Interest | Variation margin on swap contracts | $ | 2,041,286 | (a) | Variation margin on futures contracts | $ | (1,499,033) | (a) | ||||
Credit | — | — | Variation margin on swap contracts | (7,506,821) | (a) | |||||||
Commodity | Variation margin on futures contracts | 4,386,566 | (a) | Variation margin on futures contracts | (7,641,106) | (a) | ||||||
Equity | Receivable for unrealized gain on swap contracts; Variation margin on swap contracts; Purchased options, at value | 7,944,039 | (a) | Payable for unrealized loss on swap contracts; Variation margin on futures contracts; Written options, at value | (9,368,371) | (a)(b) | ||||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts | 3,337,619 | Payable for unrealized loss on forward foreign currency exchange contracts | (856,442) | ||||||||
Total | $ | 17,709,510 | $ | (26,871,773) |
COMMODITY STRATEGY | ||||||||||||
Risk | Consolidated Statements of Assets and Liabilities | Assets | Consolidated Statements of Assets and Liabilities | Liabilities | ||||||||
Commodity | Variation margin on futures contracts | $ | 25,689,951 | (a) | Variation margin on futures contracts | $ | (41,207,557) | (a) | ||||
DEFENSIVE EQUITY | ||||||||||||
Risk | Statements of Assets and Liabilities | Assets | Statements of Assets and Liabilities | Liabilities | ||||||||
Equity | Variation margin on futures contracts; Purchased options, at value | $ | 299,424 | (a) | Written options, at value | $ | (90,990) |
(a) | Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information sections of the the Schedule and Consolidated Schedule of Investments. Only the variation margin as of June 30, 2022, is reported within the Statement and Consolidated Statement of Assets and Liabilities. |
(b) | Aggregate of amounts include $ 3,052,249 for the Absolute Return Tracker Fund which represents 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, its failure to pay on its obligations or failure to pledge collateral. Such amounts do not include incremental charges directly associated with the close-out of the agreements. They also do not reflect the fair value of any assets pledged as collateral which, through the daily margining process, substantially offsets the aforementioned amounts and for which the Fund is entitled to a full return. |
The following tables set forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the six months ended June 30, 2022. 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
70
GOLDMAN SACHS ALTERNATIVE FUNDS II
4. INVESTMENTS IN DERIVATIVES (continued) |
gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Consolidated Statements of Operations:
ABSOLUTE RETURN TRACKER | ||||||||||
Risk | Consolidated Statements of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | |||||||
Interest rate | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | $ | 37,527,786 | $ | 370,212 | |||||
Credit | Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts | (4,758,057 | ) | (9,017,251 | ) | |||||
Commodity | Net realized gain (loss) from futures contracts /Net change in unrealized gain (loss) on futures contracts | 46,580,936 | (4,607,090 | ) | ||||||
Equity | Net realized gain (loss) from futures contracts, swap contracts, purchased options and written options/Net change in unrealized gain (loss) on futures contracts, swap contracts, purchased options and written options | 10,238,917 | 2,518,092 | |||||||
Currency | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | 21,706,587 | 6,663,817 | |||||||
Total | $ | 111,296,169 | $ | (4,072,220 | ) | |||||
COMMODITY STRATEGY | ||||||||||
Risk | Consolidated Statement of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | |||||||
Commodity | Net realized gain from swap contracts and futures contracts/ Net change in unrealized gain on swap contracts and futures contracts | $ | 85,081,450 | $ | 2,514,255 | |||||
DEFENSIVE EQUITY | ||||||||||
Risk | Statement of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | |||||||
Equity | Net realized gain (loss) from futures contracts, purchased options and written options/Net change in unrealized gain on futures contracts, purchased options and written options | $ | 183,999 | $ | 231,279 |
For the six months ended June 30, 2022, the relevant values for each derivative type was as follows:
Average Number of Contracts, Notional Amounts, or Shares/Units(a) | ||||||||||||||||||||||
Fund | Fowards | Futures contracts | Swap Agreements | Purchased Options | Written Options | |||||||||||||||||
Absolute Return Tracker | $ | 250,888,777 | 14,427 | $ | 1,540,643,680 | 383,500 | 10,175 | |||||||||||||||
Commodity Strategy | — | 7,311 | 740,591,794 | — | — | |||||||||||||||||
Defensive Equity | — | 2 | — | 1,571 | 3,429 |
(a) | Amounts disclosed represent the average number of contracts for futures contracts, notional amounts for swap agreements, or shares/units outstanding for purchased options and written options, based on absolute values, which is indicative of the volume for this derivative type, for the months that each Fund held such derivatives during the six months ended June 30, 2022. |
71
GOLDMAN SACHS ALTERNATIVE FUNDS II
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Funds, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.
For the six months ended June 30, 2022, contractual and effective net management fees with GSAM were at the following rates:
Contractual Management Rate | Effective Net Management Rate^ | |||||||||||||||||||||||||||||
Fund | First $1 billion | Next $1 billion | Next $3 billion | Next $3 billion | Over $8 billion | Effective Rate | ||||||||||||||||||||||||
Absolute Return Tracker | 0.70 | % | 0.63 | % | 0.60 | % | 0.59 | % | 0.53 | % | 0.63 | % | 0.58 | %(a) | ||||||||||||||||
Commodity Strategy | 0.50 | 0.50 | 0.45 | 0.43 | 0.42 | 0.50 | 0.40 | (a) | ||||||||||||||||||||||
Defensive Equity | 0.53 | 0.48 | 0.45 | 0.44 | 0.43 | 0.53 | 0.52 |
^ | Effective Net Management Rate includes 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. |
(a) | Reflects combined management fees paid to GSAM under the Agreement and the Fund’s Subsidiary Agreement (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 six months ended June 30, 2022, GSAM waived $273,779 and $385,150 of each Fund’s management fee for the Absolute Return Tracker and Commodity 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. For the six months ended June 30, 2022, the management fee waived by GSAM was for each Fund as follows:
Fund | Management Fee Waived | |||||
Absolute Return Tracker | $ | 855,582 | ||||
Commodity Strategy | 80,950 | |||||
Defensive Equity | 154 |
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
72
GOLDMAN SACHS ALTERNATIVE FUNDS II
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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 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 Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the six months ended June 30, 2022, Goldman Sachs retained the following amounts:
Front End Sales Charge | Contingent Deferred Sales Charge | |||||||||
Fund | Class A | Class C | ||||||||
Absolute Return Tracker | $ | 5,481 | $ | — | ||||||
Commodity Strategy | 18,002 | — | ||||||||
Defensive Equity | 3,556 | 388 |
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% of the average daily net assets of Class A, Class C, Investor and Class R Shares of the Absolute Return Tracker and Defensive Equity Fund; 0.12% of the average daily net assets of Class A, Class C, Investor and Class R Shares of the Commodity Strategy Fund; 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 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 Funds. 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, Commodity Strategy and Defensive Equity Funds are 0.014%, 0.074% and 0.004%, respectively. These Other Expense limitations will remain in place through at least April 29, 2023, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above. 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 and Commodity Strategy Funds.
73
GOLDMAN SACHS ALTERNATIVE FUNDS II
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the six months ended June 30, 2022, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
Fund | Management Fee Waiver | Other Expense Reimbursements | Total Expense Reductions | |||||||||||
Absolute Return Tracker | $ | 1,129,361 | $ | 520,652 | $ | 1,650,013 | ||||||||
Commodity Strategy | 466,100 | 39,642 | 505,742 | |||||||||||
Defensive Equity | 154 | 157,252 | 157,406 |
G. Line of Credit Facility — As of June 30, 2022, the Funds participated in a $1,250,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the six months ended June 30, 2022, the Funds did not have any borrowings under the facility. Prior to April 22, 2022, the facility was $1,000,000,000.
H. Other Transactions with Affiliates —For the six months ended June 30, 2022, 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 Funds.
As of June 30, 2022, The Goldman Sachs Group, Inc. was the beneficial owner of 5% or greater of the following:
Fund | Class A | Class C | Institutional | Investor | Class R6 | Class R | Class P | |||||||||||||||||||||||
Defensive Equity | 24 | % | 16 | % | 95 | % | 100 | % | 100 | % | 100 | % | 100 | % |
The table below shows the transactions in and earnings from investments in the Underlying Fund for the six months ended June 30, 2022:
Fund | Beginning Value as of December 31, 2021 | Purchases at Cost | Proceeds from Sales | Ending Value as of June 30, 2022 | Shares as of 2022 | Dividend Income | ||||||||||||||||||||
Absolute Return Tracker | $ | 1,174,228,909 | $ | 1,646,866,413 | $ | (937,984,047 | ) | $ | 1,883,111,275 | 1,883,111,275 | $ | 3,068,003 | ||||||||||||||
Commodity Strategy | 73,228,627 | 1,259,650,568 | (1,119,016,848 | ) | 213,862,347 | 213,862,347 | 258,496 | |||||||||||||||||||
Defensive Equity | 420,723 | 1,437,613 | (1,858,336 | ) | — | — | 202 |
6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended June 30, 2022, 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 | $ | — | $ | 2,094,590,883 | $ | — | $ | 2,218,502,979 | ||||||||||
Commodity Strategy | — | — | 47,000,000 | — | ||||||||||||||
Defensive Equity | — | 5,359,753 | — | 5,115,988 |
74
GOLDMAN SACHS ALTERNATIVE FUNDS II
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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 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 June 30, 2022, 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 six months ended June 30, 2022, 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 six months ended June 30, 2022 | Amounts Payable to Goldman Sachs Upon Return of Securities Loaned as of June 30, 2022 | |||||||||||||
Fund | Earnings of GSAL Relating to Loaned | Amount Received by the Fund from��Lending to Goldman Sachs | ||||||||||||
Absolute Return Tracker | $ | 37,281 | $ | 335,536 | $ | 13,088,600 |
75
GOLDMAN SACHS ALTERNATIVE FUNDS II
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
7. SECURITIES LENDING (continued) |
The following table provides information about the Fund’s investment in the Government Money Market Fund for the six months ended June 30, 2022:
Fund | Beginning Value as of December 31, 2021 | Purchases at Cost | Proceeds from Sales | Ending Value as of June 30, 2022 | Shares as of June 30, 2022 | |||||||||||||||||
Absolute Return Tracker | $ | — | $ | 259,334,469 | $ | (153,879,539 | ) | $ | 105,454,930 | 105,454,930 |
8. TAX INFORMATION |
As of the Funds’ most recent fiscal year end, December 31, 2021, the Funds capital loss carryforwards and certain timing differences on a tax basis were as follows:
Absolute Return Tracker | Commodity Strategy | Defensive Equity | ||||||||||
Capital loss carryforwards: | ||||||||||||
Perpetual Short-Term | $ | — | $ | (3,047,531 | ) | $ | — | |||||
Perpetual Long-Term | — | (18,256,290 | ) | — | ||||||||
Total capital loss carryforwards | — | (21,303,821 | ) | — | ||||||||
Timing differences (Post October Loss Deferral, Qualified Late Year Loss Deferral, Real Estate Investment Trusts and Straddle Loss Deferral) | (217,008,731 | ) | — | (23,067 | ) |
As of June 30, 2022, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Absolute Return Tracker | Commodity Strategy | Defensive Equity | ||||||||||
Tax cost | $ | 3,774,906,168 | $ | 1,170,748,715 | $ | 6,166,527 | ||||||
Gross unrealized gain | 59,860,223 | 55,818,855 | 127,809 | |||||||||
Gross unrealized loss | (143,777,862 | ) | (784,956 | ) | (945,773 | ) | ||||||
Net unrealized security gain (loss) | $ | (83,917,639 | ) | $ | 55,033,899 | $ | (817,964 | ) |
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, options and foreign currency contracts, differences related to the tax treatment of swap transactions, underlying fund 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 Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
76
GOLDMAN SACHS ALTERNATIVE FUNDS II
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 Custody Risk — A 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.
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; less stringent investor protections; less stringent accounting, corporate governance, financial reporting and disclosure standards; and less economic, political and social stability in the countries in which a Fund invests. The imposition of sanctions, 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 registration, settlement or custody, may also result in losses. The type and severity of sanctions and other similar measures, including counter sanctions and other retaliatory actions, that may be imposed could vary broadly in scope, and their impact is impossible to predict. For example, the imposition of sanctions and other similar measures could, among other things, cause a decline in the value and/or liquidity of securities issued by the sanctioned country or companies located in or economically tied to the sanctioned country and increase market volatility and disruption in the sanctioned country and throughout the world. Sanctions and other similar measures could limit or prevent a Fund from buying and selling securities (in the sanctioned country and other markets), significantly delay or prevent the settlement of securities transactions, and significantly impact a Fund’s liquidity and performance. Foreign risk also involves the risk of negative foreign currency exchange 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, or economically tied to, emerging markets, these risks may be more pronounced.
Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by the Fund will generally decline in value. The Fund may face a heightened level of interest rate risk in connection with the type and extent of certain monetary policy changes made by the Federal Reserve, such as target interest rate changes. 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. A wide variety of market factors can cause interest rates to rise, including central bank monetary policy, rising inflation and changes in general economic conditions. The risks associated with changing interest rates may have unpredictable effects on the markets and the Fund’s investments. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Fund. A sudden or unpredictable increase in interest rates may cause volatility in the market and may decrease the liquidity of the Fund’s investments, which would make it harder for the Fund to sell its investments at an advantageous time.
77
GOLDMAN SACHS ALTERNATIVE FUNDS II
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
9. OTHER RISKS (continued) |
Investments in Other Investment Companies Risk — As a shareholder of another investment company, including an ETF, a Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund. ETFs are subject to risks that do not apply to conventional mutual funds, including but not limited to the following: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETF’s shares may not develop or be maintained.
Large Shareholder Transactions Risk — A Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include a Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Fund. Such large shareholder redemptions, 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. 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 — The Absolute Return Tracker and the Commodity Strategy Funds will seek to gain exposure to the commodity markets primarily through investments in the Subsidiary and/or commodity index-linked structured notes, as applicable. Historically, the Internal Revenue Service (“IRS”) issued private letter rulings (“PLRs”) in which the IRS specifically concluded that income and gains from investments in commodity index-linked structured notes (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 and the Commodity Strategy Funds. In reliance of such PLRs, these Funds have in the past sought to gain exposure to the commodity markets primary through investments in commodity-linked notes and/or subsidiaries. The IRS recently issued final regulations that, would generally treat the Funds’ income inclusion with respect to a subsidiary as qualifying income either if (A) there is a distribution out of the earnings
78
GOLDMAN SACHS ALTERNATIVE FUNDS II
9. OTHER RISKS (continued) |
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.
10. INDEMNIFICATIONS |
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
11. SUBSEQUENT EVENTS |
Subsequent events after the Statement and 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.
On August 17, 2022, the Board of Trustees of the Goldman Sachs Trust approved the conversion of the Goldman Sachs Defensive Equity Fund (the “Acquired Fund”) to an ETF through an Agreement and Plan of Reorganization which contemplates the reorganization of the Acquired Fund with and into the Goldman Sachs Defensive Equity ETF (the “Acquiring Fund” (the “Reorganization”). The Acquiring Fund is a newly-created series of the Goldman Sachs ETF Trust. The Reorganization is intended to qualify as a tax-free reorganization for federal income tax purposes, except with respect to cash received in lieu of fractional shares of the Acquiring Fund. The Reorganization, which is subject to shareholder approval, is expected to close on or about January 20, 2023 (the “Closing Date”), or on such other date as the parties to the Reorganization shall agree. Effective on or about the Closing Date, shareholders of the Acquired Fund will receive shares in the Acquiring Fund equal in dollar value to their interest in the Acquired Fund on the Closing Date (and cash in lieu of fractional shares).
79
GOLDMAN SACHS ALTERNATIVE FUNDS II
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
12. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
Goldman Sachs Absolute Return Tracker Fund | ||||||||||||||||
|
| |||||||||||||||
For the Six Months Ended June 30, 2022 (Unaudited) | For the Fiscal Year Ended December 31, 2021 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 1,351,060 | $ | 12,240,093 | 1,927,446 | $ | 19,234,660 | ||||||||||
Reinvestment of distributions | — | — | 494,245 | 4,602,567 | ||||||||||||
Shares redeemed | (1,911,497 | ) | (17,405,890 | ) | (2,625,754 | ) | (26,244,707 | ) | ||||||||
(560,437 | ) | (5,165,797 | ) | (204,063 | ) | (2,407,480 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 94,173 | 764,552 | 167,569 | 1,524,989 | ||||||||||||
Reinvestment of distributions | — | — | 78,094 | 653,004 | ||||||||||||
Shares redeemed | (158,196 | ) | (1,268,669 | ) | (390,072 | ) | (3,513,618 | ) | ||||||||
(64,023 | ) | (504,117 | ) | (144,409 | ) | (1,335,625 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 86,125,305 | 812,421,834 | 114,858,930 | 1,193,936,702 | ||||||||||||
Reinvestment of distributions | — | — | 18,372,000 | 178,433,618 | ||||||||||||
Shares redeemed | (53,939,347 | ) | (504,911,493 | ) | (123,632,008 | ) | (1,276,203,676 | ) | ||||||||
32,185,958 | 307,510,341 | 9,598,922 | 96,166,644 | |||||||||||||
Investor Shares | ||||||||||||||||
Shares sold | 10,896,692 | 102,427,735 | 17,092,695 | 177,228,853 | ||||||||||||
Reinvestment of distributions | — | — | 2,114,494 | 20,261,703 | ||||||||||||
Shares redeemed | (6,227,424 | ) | (57,723,164 | ) | (18,872,158 | ) | (195,539,632 | ) | ||||||||
4,669,268 | 44,704,571 | — | — | |||||||||||||
R6 Shares | ||||||||||||||||
Shares sold | 5,080,450 | 47,530,875 | 15,739,920 | 164,822,681 | ||||||||||||
Reinvestment of distributions | — | — | 419,507 | 4,065,972 | ||||||||||||
Shares redeemed | (3,536,413 | ) | (33,280,666 | ) | (1,394,638 | ) | (14,463,977 | ) | ||||||||
1,544,037 | 14,250,209 | 14,764,789 | 154,424,676 | |||||||||||||
Class R Shares | ||||||||||||||||
Shares sold | 23,611 | 204,889 | 59,038 | 577,394 | ||||||||||||
Reinvestment of distributions | — | — | 14,976 | 134,664 | ||||||||||||
Shares redeemed | (22,722 | ) | (199,470 | ) | (70,799 | ) | (694,730 | ) | ||||||||
889 | 5,419 | 3,215 | 17,328 | |||||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 4,473,040 | 42,247,933 | 5,305,691 | 55,088,161 | ||||||||||||
Reinvestment of distributions | — | — | 2,089,220 | 20,270,234 | ||||||||||||
Shares redeemed | (2,550,631 | ) | (23,980,060 | ) | (3,487,133 | ) | (35,484,314 | ) | ||||||||
1,922,409 | 18,267,873 | 3,907,778 | 39,874,081 | |||||||||||||
NET INCREASE | 39,698,101 | $ | 379,068,499 | 28,261,263 | $ | 288,690,548 |
80
GOLDMAN SACHS ALTERNATIVE FUNDS II
12. SUMMARY OF SHARE TRANSACTIONS (continued) |
Goldman Sachs Commodity Strategy Fund | ||||||||||||||||
|
| |||||||||||||||
For the Six Months Ended June 30, 2022 (Unaudited) | For the Fiscal Year Ended December 31, 2021 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 1,907,948 | $ | 21,327,270 | 2,885,222 | $ | 29,642,642 | ||||||||||
Reinvestment of distributions | 1,752 | 19,520 | 611,149 | 5,463,666 | ||||||||||||
Shares redeemed | (2,040,516 | ) | (22,385,631 | ) | (948,220 | ) | (9,040,648 | ) | ||||||||
(130,816 | ) | (1,038,841 | ) | 2,548,151 | 26,065,660 | |||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 359,485 | 3,691,883 | 206,745 | 1,932,020 | ||||||||||||
Reinvestment of distributions | — | — | 55,912 | 463,509 | ||||||||||||
Shares redeemed | (74,650 | ) | (788,165 | ) | (66,930 | ) | (591,703 | ) | ||||||||
284,835 | 2,903,718 | 195,727 | 1,803,826 | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 18,393,404 | 210,391,661 | 11,641,321 | 116,554,564 | ||||||||||||
Reinvestment of distributions | 53,405 | 604,550 | 2,313,892 | 21,010,141 | ||||||||||||
Shares redeemed | (12,644,765 | ) | (143,480,634 | ) | (7,213,422 | ) | (69,105,607 | ) | ||||||||
5,802,044 | 67,515,577 | 6,741,791 | 68,459,098 | |||||||||||||
Investor Shares | ||||||||||||||||
Shares sold | 13,367,851 | 151,518,360 | 3,293,626 | 33,042,868 | ||||||||||||
Reinvestment of distributions | 24,793 | 280,659 | 552,532 | 5,016,990 | ||||||||||||
Shares redeemed | (3,418,204 | ) | (37,365,438 | ) | (554,840 | ) | (5,338,796 | ) | ||||||||
9,974,440 | 114,433,581 | 3,291,318 | 32,721,062 | |||||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 8,281,504 | 96,118,180 | 2,056,839 | 19,628,167 | ||||||||||||
Reinvestment of distributions | 18,542 | 210,264 | 1,484,302 | 13,507,148 | ||||||||||||
Shares redeemed | (2,736,162 | ) | (28,978,177 | ) | (3,610,623 | ) | (34,129,063 | ) | ||||||||
5,563,884 | 67,350,267 | (69,482 | ) | (993,748 | ) | |||||||||||
Class R Shares | ||||||||||||||||
Shares sold | 228,011 | 2,374,961 | 219,373 | 2,062,705 | ||||||||||||
Reinvestment of distributions | — | — | 52,933 | 463,164 | ||||||||||||
Shares redeemed | (183,412 | ) | (1,897,110 | ) | (145,751 | ) | (1,380,065 | ) | ||||||||
44,599 | 477,851 | 126,555 | 1,145,804 | |||||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 24,971,964 | 282,085,613 | 13,792,676 | 133,964,832 | ||||||||||||
Reinvestment of distributions | 76,910 | 872,154 | 2,203,182 | 20,048,961 | ||||||||||||
Shares redeemed | (2,438,659 | ) | (28,547,594 | ) | (645,054 | ) | (6,288,251 | ) | ||||||||
22,610,215 | 254,410,173 | 15,350,804 | 147,725,542 | |||||||||||||
NET INCREASE | 44,149,201 | $ | 506,052,326 | 28,184,864 | $ | 276,927,244 |
81
GOLDMAN SACHS ALTERNATIVE FUNDS II
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
12. SUMMARY OF SHARE TRANSACTIONS (continued) |
Goldman Sachs Defensive Equity Fund | ||||||||||||||||
|
| |||||||||||||||
For the Six Months Ended June 30, 2022 (Unaudited) | For the Fiscal Year Ended December 31, 2021 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 2,455 | $ | 23,834 | 66,277 | $ | 733,989 | ||||||||||
Reinvestment of distributions | — | — | 1,613 | 17,059 | ||||||||||||
Shares redeemed | (9,447 | ) | (94,466 | ) | (46,157 | ) | (519,069 | ) | ||||||||
(6,992 | ) | (70,632 | ) | 21,733 | 231,979 | |||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 24,307 | 241,850 | 3,747 | 42,642 | ||||||||||||
Reinvestment of distributions | — | — | 725 | 7,588 | ||||||||||||
Shares redeemed | — | — | (24 | ) | (254 | ) | ||||||||||
24,307 | 241,850 | 4,448 | 49,976 | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 14,007 | 144,889 | 28,941 | 321,017 | ||||||||||||
Reinvestment of distributions | — | — | 46,871 | 497,162 | ||||||||||||
Shares redeemed | (60,906 | ) | (604,025 | ) | — | — | ||||||||||
(46,899 | ) | (459,136 | ) | 75,812 | 818,179 | |||||||||||
Investor Shares |
| |||||||||||||||
Reinvestment of distributions | — | — | 429 | 4,551 | ||||||||||||
— | — | 429 | 4,551 | |||||||||||||
Class R6 Shares |
| |||||||||||||||
Reinvestment of distributions | — | — | 436 | 4,623 | ||||||||||||
— | — | 436 | 4,623 | |||||||||||||
Class R Shares |
| |||||||||||||||
Reinvestment of distributions | — | — | 411 | 4,340 | ||||||||||||
— | — | 411 | 4,340 | |||||||||||||
Class P Shares |
| |||||||||||||||
Reinvestment of distributions | — | — | 436 | 4,623 | ||||||||||||
— | — | 436 | 4,623 | |||||||||||||
NET INCREASE (DECREASE) | (29,584 | ) | $ | (287,918 | ) | 103,705 | $ | 1,118,271 |
82
GOLDMAN SACHS ALTERNATIVE FUNDS II
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
The Goldman Sachs Absolute Return Tracker Fund, Goldman Sachs Commodity Strategy Fund and Goldman Sachs Defensive Equity Fund (the “Funds”) are investment portfolios of Goldman Sachs Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Funds at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Funds.
The Management Agreement was most recently approved for continuation until June 30, 2023 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 14-15, 2022 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held two meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to each Fund, such matters included:
(a) | the nature and quality of the advisory, administrative, and other services provided to the Fund by the Investment Adviser and its affiliates, including information about: |
(i) | the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams; |
(ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training); |
(iii) | trends in employee headcount; |
(iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
(v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
(b) | information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), and a benchmark performance index; and information on general investment outlooks in the markets in which the Fund invests; |
(c) | information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Fund’s peer group and/or benchmark index had high, medium, or low relevance given the Fund’s particular investment strategy; |
(d) | the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund; |
(e) | fee and expense information for the Fund, including: |
(i) | the relative management fee and expense levels of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; |
(ii) | the Fund’s expense trends over time (except for the Defensive Equity Fund, which commenced operations on September 30, 2020); and |
(iii) | to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
(f) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; |
(g) | the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations; |
(h) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund to the Investment Adviser and its affiliates; |
(i) | whether the Fund’s existing management fee schedule adequately addressed any economies of scale; |
83
GOLDMAN SACHS ALTERNATIVE FUNDS II
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
(j) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, (with respect to the Absolute Return Tracker Fund) securities lending, portfolio trading, distribution and other services; |
(k) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
(l) | information regarding commissions paid by the Fund and broker oversight, other information regarding portfolio trading, and how the Investment Adviser carries out its duty to seek best execution; |
(m) | portfolio manager ownership of Fund shares; the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers; |
(n) | the nature and quality of the services provided to the Fund by its unaffiliated service providers (including CoreCommodity Management, LLC, the Commodity Strategy Fund’s sub-adviser (the “Sub-Adviser”)), and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and |
(o) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports. |
The Trustees also received an overview of the Funds’ distribution arrangements. They received information regarding the Funds’ assets, share purchase and redemption activity, and payment of distribution and service fees. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Funds and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Funds. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Funds by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates (including, with respect to the Commodity Strategy Fund, the Investment Adviser’s oversight of the Sub-Adviser). The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the market, regulatory and control environment in which the Funds and their service providers operate, including developments associated with the COVID-19 pandemic, geopolitical events, and economic sanctions, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees also considered information regarding the Investment Adviser’s business continuity planning and remote operations capabilities. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Funds and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Funds and the Investment Adviser and its affiliates.
Investment Performance
The Trustees also considered the investment performance of the Funds. In this regard, they compared the investment performance of each Fund to its peers using rankings and (except in the case of the Defensive Equity Fund) ratings compiled by the
84
GOLDMAN SACHS ALTERNATIVE FUNDS II
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Outside Data Provider as of December 31, 2021, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2022. The information on each Fund’s investment performance was provided for the one-, three-, five-, and ten-year periods ending on the applicable dates, to the extent that each Fund had been in existence for those periods. The Trustees also reviewed each Fund’s investment performance relative to its performance benchmark. As part of this review, they considered the investment performance trends of the Funds over time, and reviewed the investment performance of each Fund in light of its investment objective and policies and market conditions.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Funds’ risk profiles, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management. For the Absolute Return Tracker Fund and Defensive Equity Fund, they noted the efforts of the Funds’ portfolio management team to continue to enhance the investment models used in managing the Funds.
The Trustees observed that the Absolute Return Tracker Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the one-, three-, five-, and ten-year periods, and had outperformed the Fund’s benchmark index for the one-, three-, five-, and ten-year periods ended March 31, 2022. The Trustees also noted that the Absolute Return Tracker Fund had experienced a benchmark index change in early 2022. They observed that the Commodity Strategy Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the one-year period and in the fourth quartile for the three-, five-, and ten-year periods, and had outperformed the Fund’s benchmark index for the one-year period and underperformed for the three-, five-, and ten-year periods ended March 31, 2022. The Trustees noted that the Sub-Adviser began sub-advising the Commodity Strategy Fund at the beginning of 2021. They noted that the Defensive Equity Fund’s Institutional Shares had placed in the fourth quartile of the Fund’s peer group for the one-year period, and had underperformed the Fund’s benchmark index for the one-year period ended March 31, 2022.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by each Fund thereunder and, with respect to the Commodity Strategy Fund, the fee rate payable by the Investment Adviser under the sub-advisory agreement with the Sub-Adviser. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Funds, which included both advisory and administrative services that were directed to the needs and operations of the Funds as registered mutual funds.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Funds. The analyses provided a comparison of each Fund’s management fee and breakpoints to those of a relevant peer group and category universe; an expense analysis which compared each Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing each Fund’s net expenses to the peer and category medians. The analyses also compared each Fund’s other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Funds.
In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations. With respect to the Absolute Return Tracker Fund and Commodity Strategy Fund, the Trustees noted that the Investment Adviser had agreed to waive a portion of its management fee in an amount equal to the entire management fee paid to the Investment Adviser as the investment adviser to each Fund’s wholly-owned subsidiary. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Funds, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Funds differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.
In addition, the Trustees noted that shareholders are able to redeem their shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Profitability
The Trustees reviewed each Fund’s contribution to the Investment Adviser’s revenues and pre-tax profit margins. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are
85
GOLDMAN SACHS ALTERNATIVE FUNDS II
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization periodically audits the expense allocation methodology and that the internal audit group was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology. Profitability data for each Fund was provided for 2021 and 2020, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability.
Economies of Scale
The Trustees considered the information that had been provided regarding whether there have been economies of scale with respect to the management of the Funds. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreement for each of the Funds at the following annual percentage rates of the average daily net assets of the Funds:
Absolute Return Tracker Fund | Defensive Equity Fund | |||||||
First $1 billion | 0.70 | % | 0.53 | % | ||||
Next $1 billion | 0.63 | 0.48 | ||||||
Next $3 billion | 0.60 | 0.45 | ||||||
Next $3 billion | 0.59 | 0.44 | ||||||
Over $8 billion | 0.53 | 0.43 |
Commodity Strategy Fund | ||||
First $2 billion | 0.50 | % | ||
Next $3 billion | 0.45 | |||
Next $3 billion | 0.43 | |||
Over $8 billion | 0.42 |
The Trustees noted that the breakpoints were designed to share potential economies of scale, if any, with the Funds and their shareholders as assets under management reach those asset levels. The Trustees considered the amounts of assets in the Funds; the Funds’ recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer groups; and the Investment Adviser’s undertaking to limit certain expenses of the Funds that exceed specified levels. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels. They also noted that the Investment Adviser had passed along savings to shareholders of the Absolute Return Tracker Fund, which had asset levels above at least the first breakpoint during the prior fiscal year.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Funds as stated above, including: (a) transfer agency fees received by Goldman Sachs & Co. LLC (“Goldman Sachs”); (b) brokerage and futures commissions earned by Goldman Sachs for executing securities and futures transactions on behalf of the Funds; (c) trading efficiencies resulting from aggregation of orders of the Funds with those for other funds or accounts managed by the Investment Adviser; (d) with respect to the Absolute Return Tracker Fund, fees earned by Goldman Sachs Agency Lending (“GSAL”), an affiliate of the Investment Adviser, as securities lending agent (and fees earned by the Investment Adviser for managing the fund in which the Absolute Return Tracker Fund’s cash collateral is invested); (e) the Investment Adviser’s ability to leverage the infrastructure designed to service the Funds on behalf of its other clients; (f) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (g) Goldman Sachs’ retention of certain fees as Fund Distributor; (h) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Funds; (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 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 Funds’ third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
86
GOLDMAN SACHS ALTERNATIVE FUNDS II
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Other Benefits to the Funds and Their Shareholders
The Trustees also noted that the Funds receive certain other potential benefits as a result of their relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Funds with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors due to the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers due to the volume of business generated by the Investment Adviser and its affiliates; (d) the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties on behalf of the Funds as a result of the size and reputation of the Goldman Sachs organization; (e) the advantages received from the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Funds because of the reputation of the Goldman Sachs organization; (g) the Funds’ access, through the Investment Adviser, to certain firm-wide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; (h) the Absolute Return Tracker Fund’s ability to participate in the securities lending program administered by GSAL, as measured by the revenue received by the Fund in connection with the program; and (i) the Funds’ access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Funds’ shareholders invested in the Funds in part because of the Funds’ relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by each of the Funds were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser���s costs and each Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit each Fund and its shareholders and that the Management Agreement should be approved and continued with respect to each Fund until June 30, 2023.
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GOLDMAN SACHS ALTERNATIVE FUNDS II
Liquidity Risk Management Program (Unaudited)
Each Fund has adopted and implemented a liquidity risk management program (the “Program”) in accordance with Rule 22e-4 under the 1940 Act. The Program seeks to assess and manage each Fund’s liquidity risk, i.e., the risk that a Fund is unable to satisfy redemption requests without significantly diluting remaining investors’ interests in the Fund. The Board of Trustees of the Trust has designated GSAM, each Fund’s investment adviser, to administer the Program. Certain aspects of the Program rely on third parties to perform certain functions, including the provision of market data and application of models.
The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Fund’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of a Fund’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under Rule 22e-4); (4) for a Fund that does not invest primarily in “highly liquid investments” (as defined under Rule 22e-4), the determination of a minimum percentage of the Fund’s assets that will generally be invested in highly liquid investments (a “Highly Liquid Investment Minimum”); and (5) periodic reporting to the Board of Trustees.
At a meeting of the Board of Trustees on February 8-9, 2022, GSAM provided a written report to the Board addressing the operation, and the adequacy and effectiveness of the implementation, of the Program, including, as applicable, the operation of any Highly Liquid Investment Minimum and any material changes to the Program, for the period from January 1, 2021 through December 31, 2021 (the “Reporting Period”). Among other things, the annual report discussed: (1) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions; (2) an assessment of the methodologies used to classify investments into one of four liquidity categories; and (3) the impact of local holidays in non-U.S. jurisdictions. The report concluded that the Program continues to be reasonably designed to assess and manage liquidity risk and was adequately and effectively implemented during the Reporting Period.
There can be no assurance that the Program will achieve its objectives under all circumstances in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which it may be subject.
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GOLDMAN SACHS ALTERNATIVE FUNDS II
Impact of Russian Invasion of Ukraine (Unaudited)
The Russian invasion of Ukraine has negatively affected the global economy and has resulted in significant disruptions in financial markets and increased macroeconomic uncertainty. In addition, governments around the world have responded to Russia’s invasion by imposing economic sanctions and export controls on certain industry sectors, companies and individuals in or associated with Russia. Russia has imposed its own restrictions against investors and countries outside Russia and has proposed additional measures aimed at non-Russian-owned businesses. Businesses in the U.S. and globally have experienced shortages in materials and increased costs for transportation, energy and raw materials due, in part, to the negative effects of the war on the global economy. The escalation or continuation of the war between Russia and Ukraine or other hostilities presents heightened risks relating to cyber-attacks, the frequency and volume of failures to settle securities transactions, supply chain disruptions, inflation, as well as the potential for increased volatility in commodity, currency and other financial markets. The extent and duration of the war, sanctions and resulting market disruptions, as well as the potential adverse consequences for the Fund’s operations are difficult to predict.
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GOLDMAN SACHS ALTERNATIVE FUNDS II
Fund Expenses — Six Month Period Ended June 30, 2022 (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), 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, Investor, Class R6, Class R or Class P Shares of a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from January 1, 2022 through June 30, 2022, which represents a period of 181 days of a 365 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratios and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees and do not include expenses of Underlying Funds in which the Funds 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.
Goldman Sachs Absolute Return Tracker Fund | Goldman Sachs Commodity Strategy Fund | Goldman Sachs Defensive Equity Fund | ||||||||||||||||||||||||||||||||||
Share Class | Beginning Account Value 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid for the 6 months ended 6/30/22* | Beginning Account Value 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid for the 6 months ended 6/30/22* | Beginning Account Value 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid for the 6 months ended 6/30/22* | |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 924.50 | $ | 4.82 | $ | 1,000.00 | $ | 1,209.50 | $ | 4.99 | $ | 1,000.00 | $ | 859.70 | $ | 4.33 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,020.13 | + | 5.06 | 1,000.00 | 1,020.13 | + | 4.56 | 1,000.00 | 1,020.13 | + | 4.71 | ||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 920.50 | 8.38 | 1,000.00 | 1,204.80 | 9.07 | 1,000.00 | 855.90 | 7.78 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,016.07 | + | 8.80 | 1,000.00 | 1,016.56 | + | 8.30 | 1,000.00 | 1,016.41 | + | 8.45 | ||||||||||||||||||||||||
Institutional | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 925.50 | 3.06 | 1,000.00 | 1,211.50 | 3.18 | 1,000.00 | 860.90 | 2.63 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,021.62 | + | 3.21 | 1,000.00 | 1,021.92 | + | 2.91 | 1,000.00 | 1,021.97 | + | 2.86 | ||||||||||||||||||||||||
Investor | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 925.50 | 3.63 | 1,000.00 | 1,211.30 | 3.62 | 1,000.00 | 859.90 | 3.18 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,021.03 | + | 3.81 | 1,000.00 | 1,021.52 | + | 3.31 | 1,000.00 | 1,021.37 | + | 3.46 | ||||||||||||||||||||||||
R6 Shares | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 926.40 | 3.01 | 1,000.00 | 1,212.10 | 3.13 | 1,000.00 | 860.90 | 2.58 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,021.67 | 3.16 | 1,000.00 | 1,021.97 | + | 2.86 | 1,000.00 | 1,022.02 | + | 2.81 | |||||||||||||||||||||||||
Class R | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 923.80 | 6.01 | 1,000.00 | 1,207.80 | 6.35 | 1,000.00 | 857.80 | 5.48 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,018.89 | + | 6.31 | 1,000.00 | 1,018.89 | + | 5.81 | 1,000.00 | 1,018.89 | + | 5.96 | ||||||||||||||||||||||||
Class P | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 926.50 | 3.01 | 1,000.00 | 1,211.10 | 3.12 | 1,000.00 | 860.90 | 2.58 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,022.02 | + | 3.16 | 1,000.00 | 1,022.02 | + | 2.86 | 1,000.00 | 1,022.02 | + | 2.81 |
+ | Expenses are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended June 30, 2022. 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 | 1.01 | % | 1.76 | % | 0.64 | % | 0.76 | % | 0.63 | % | 1.26 | % | 0.63 | % | ||||||||||||||
Commodity Strategy | 0.91 | 1.66 | 0.58 | 0.66 | 0.57 | 1.16 | 0.57 | |||||||||||||||||||||
Defensive Equity | 0.94 | 1.69 | 0.57 | 0.69 | 0.56 | 1.19 | 0.56 |
+ | 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. |
90
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 Asset Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $2.27 trillion in assets under supervision as of June 30, 2022, Goldman Sachs Asset Management 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. Goldman Sachs Asset Management 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 |
∎ | Short-Term Conservative Income Fund |
∎ | Short Duration Government Fund |
∎ | Short Duration Bond Fund4 |
∎ | Government Income Fund |
∎ | Inflation Protected Securities Fund |
Multi-Sector
∎ | Bond Fund |
∎ | Core Fixed Income Fund |
∎ | Global Core Fixed Income Fund |
∎ | Strategic Income Fund |
∎ | Income Fund |
Municipal and Tax-Free
∎ | High Yield Municipal Fund |
∎ | Dynamic Municipal Income Fund |
∎ | Short Duration Tax-Free Fund |
∎ | Municipal Income Completion Fund |
Single Sector
∎ | Investment Grade Credit Fund |
∎ | U.S. Mortgages Fund |
∎ | High Yield Fund |
∎ | High Yield Floating Rate Fund |
∎ | Emerging Markets Debt Fund |
∎ | Local Emerging Markets Debt Fund |
Fixed Income Alternatives
∎ | Long Short Credit Strategies Fund |
Fundamental Equity
∎ | Equity Income Fund |
∎ | Small Cap Growth Fund |
∎ | Small Cap Value Fund |
∎ | Small/Mid Cap Value Fund |
∎ | Mid Cap Value Fund |
∎ | Large Cap Value Fund |
∎ | Focused Value Fund |
∎ | Large Cap Core Fund5 |
∎ | Strategic Growth Fund |
∎ | Small/Mid Cap Growth Fund |
∎ | Flexible Cap Fund |
∎ | Concentrated Growth Fund |
∎ | Technology Opportunities Fund |
∎ | Mid Cap Growth Fund6 |
∎ | Rising Dividend Growth Fund |
∎ | U.S. Equity ESG Fund |
∎ | Income Builder Fund |
Tax-Advantaged Equity
∎ | U.S. Tax-Managed Equity Fund |
∎ | International Tax-Managed Equity Fund |
∎ | U.S. Equity Dividend and Premium Fund |
∎ | International Equity Dividend and Premium Fund |
Equity Insights
∎ | Small Cap Equity Insights Fund |
∎ | U.S. Equity Insights Fund |
∎ | Small Cap Growth Insights Fund |
∎ | Large Cap Growth Insights Fund |
∎ | Large Cap Value Insights Fund |
∎ | Small Cap Value Insights Fund |
∎ | International Small Cap Insights Fund |
∎ | International Equity Insights Fund |
∎ | Emerging Markets Equity Insights Fund |
Fundamental Equity International
∎ | International Equity Income Fund |
∎ | International Equity ESG Fund |
∎ | China Equity Fund |
∎ | Emerging Markets Equity Fund |
∎ | ESG Emerging Markets Equity Fund |
Alternative
∎ | Clean Energy Income Fund |
∎ | Defensive Equity Fund |
∎ | Real Estate Securities Fund |
∎ | Commodity Strategy Fund |
∎ | Global Real Estate Securities Fund |
∎ | Absolute Return Tracker Fund |
∎ | Managed Futures Strategy Fund |
∎ | MLP Energy Infrastructure Fund |
∎ | Energy Infrastructure Fund |
∎ | Multi-Manager Alternatives 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 |
∎ | Strategic Volatility Premium 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 July 29, 2021, the Goldman Sachs Short Duration Income Fund was renamed the Goldman Sachs Short Duration Bond Fund. |
5 | Effective after the close of business on April 13, 2022, the Goldman Sachs Capital Growth Fund was renamed the Goldman Sachs Large Cap Core Fund. |
6 | Effective after the close of business on April 13, 2022, the Goldman Sachs Growth Opportunities Fund was renamed the Goldman Sachs Mid Cap Growth 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 John G. Chou Diana M. Daniels Joaquin Delgado Eileen H. Dowling James A. McNamara Gregory G. Weaver Paul C. Wirth | 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 June 30, 2022 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).
© 2022 Goldman Sachs. All rights reserved. 287736-OTU-1651232 SELSAT2SAR-22
Goldman Sachs Funds
Semi-Annual Report | June 30, 2022 | |||
Dynamic Global Equity Fund |
Goldman Sachs Dynamic Global Equity Fund
1 | ||||
2 | ||||
5 | ||||
9 | ||||
12 | ||||
20 | ||||
39 |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee |
Goldman Sachs Dynamic Global Equity Fund
The following are highlights both of key factors affecting the global capital markets and of any key changes made to the Goldman Sachs Dynamic Global Equity Fund (the “Fund”) during the six months ended June 30, 2022 (the “Reporting Period”). A fuller review of the markets and these changes will appear in the Fund’s annual shareholder report covering the 12 months ended December 31, 2022.
Market and Economic Review
• | Overall, the global capital markets struggled during the Reporting Period. |
• | Economic uncertainty and market volatility was largely fueled by a rapid change in perceptions of upside inflation risk and the U.S. Federal Reserve’s (“Fed”) efforts to head off a potential recession. |
• | Global equities, as represented by the MSCI All Country World Index, returned -20.18%. |
• | Global fixed income, as represented by the Bloomberg Global Aggregate Bond Index, returned -13.91%. |
• | In the first quarter of 2022, when the Reporting Period began, rapidly evolving expectations for inflation and Fed policy had already complicated the macro outlook, but the February Russian invasion of Ukraine significantly increased market uncertainty and volatility. |
• | Valuations broadly fell across multiple asset classes, with global equities suffering substantial declines. |
• | Credit spreads (i.e., yield differentials between corporate bonds and U.S. Treasury securities of comparable maturity) widened as bond yields rose in response to inflationary pressures. |
• | During the second quarter of 2022, investor concerns around slower economic growth accelerated; the Russia/Ukraine conflict led to a surge in commodity prices; and the risks of a potential policy miscalculation by the Fed increased. |
• | Unexpectedly higher inflation data, released in early June, brought consumer confidence into focus and eroded the narrative in some parts of the market that suggested the U.S. economy had experienced peak inflation. |
• | Most global equity markets fell into bear market territory during the second calendar quarter. (A bear market is a condition in which securities prices fall 20% or more from recent highs amid widespread pessimism and negative investor sentiment.) |
• | Bond yields rose as Fed interest rate hikes came faster than investors had previously anticipated. Rising short-term interest rates and expectations for further monetary policy tightening hurt duration-sensitive assets, while concerns about the economic outlook pushed credit spreads wider. |
Fund Changes and Highlights
No material changes were made to the Fund during the Reporting Period.
1
Dynamic Global Equity Fund
as of June 30, 2022
PERFORMANCE REVIEW |
| |||||||||
January 1, 2022–June 30, 2022 | Fund Total Return (based on NAV)1 | MSCI® ACWI Index2 | ||||||||
Class A | -20.44 | % | -20.18 | % | ||||||
Class C | -20.74 | -20.18 | ||||||||
Institutional | -20.32 | -20.18 | ||||||||
Service | -20.50 | -20.18 | ||||||||
Investor | -20.37 | -20.18 | ||||||||
Class R6 | -20.31 | -20.18 | ||||||||
Class R | -20.52 | -20.18 | ||||||||
Class P | -20.30 | -20.18 |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The Fund’s benchmark is the MSCI All Country World Index (Net, USD, Unhedged) (“MSCI® ACWI Index”). The MSCI® ACWI Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The MSCI ACWI captures large and mid cap representation across 23 Developed Markets (DM) and 26 Emerging Markets (EM) countries. DM countries include: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, the UK and the US. EM countries include: Argentina, Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Pakistan, Peru, Philippines, Poland, Qatar, Russia, Saudi Arabia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates. The index figures do not include any deduction for fees or expenses. It is not possible to invest directly in an unmanaged index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.gsamfunds.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
2
FUND BASICS
3
FUND BASICS
3 | 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. |
4 | 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 target allocations as of June 30, 2022. Actual underlying fund weighting in the Fund may differ from the figures shown above due to rounding, timing differences, and/or differences in returns of the underlying funds. The above figures are not indicative of future allocations. |
OVERALL UNDERLYING FUND WEIGHTINGS5 |
Percentage of Net Assets |
5 | 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.
4
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
June 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Underlying Funds(a) – 92.6% | ||||||||
Equity – 33.4% | ||||||||
1,397,225 | Goldman Sachs Large Cap Value Insights Fund – Class R6 | $ | 28,573,241 | |||||
2,187,663 | Goldman Sachs International Equity Insights Fund – Class R6 | 25,551,903 | ||||||
862,140 | Goldman Sachs Large Cap Growth Insights Fund – Class R6 | 22,579,450 | ||||||
1,376,116 | Goldman Sachs Emerging Markets Equity Insights Fund – Class R6 | 11,160,301 | ||||||
303,639 | Goldman Sachs Small Cap Equity Insights Fund – Class R6 | 6,540,382 | ||||||
325,302 | Goldman Sachs Global Infrastructure Fund – Class R6 | 4,105,316 | ||||||
312,761 | Goldman Sachs Global Real Estate Securities Fund – Class R6 | 3,071,313 | ||||||
143,467 | Goldman Sachs International Small Cap Insights Fund – Class R6 | 1,562,360 | ||||||
|
| |||||||
103,144,266 | ||||||||
|
| |||||||
Exchange Traded Funds – 59.2% | ||||||||
1,071,427 | Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | 80,292,739 | ||||||
1,800,157 | Goldman Sachs ActiveBeta International Equity ETF | 49,990,360 | ||||||
707,578 | Goldman Sachs ActiveBeta Emerging Markets Equity ETF | 21,050,446 | ||||||
465,035 | Goldman Sachs MarketBeta International Equity ETF | 20,851,797 | ||||||
247,230 | Goldman Sachs MarketBeta Emerging Markets Equity ETF | 10,297,130 | ||||||
|
| |||||||
182,482,472 | ||||||||
|
| |||||||
TOTAL UNDERLYING FUNDS – 92.6% | ||||||||
(Cost $261,631,059) | $ | 285,626,738 | ||||||
|
| |||||||
Shares | Dividend Rate | Value | ||||||
Investment Company(a) – 2.4% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
7,581,707 | 1.367% | $ | 7,581,707 | |||||
(Cost $7,581,707) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 95.0% | ||||||||
(Cost $269,212,766) | $ | 293,208,445 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 5.0% | 15,316,327 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 308,524,772 | ||||||
|
|
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 |
Investment Abbreviation: | ||
ETF | —Exchange Traded Fund | |
|
The accompanying notes are an integral part of these financial statements. | 5 |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Schedule of Investments (continued)
June 30, 2022 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30, 2022, 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. | USD | 885,674 | SEK | 8,700,000 | 09/21/22 | $ | 32,214 | |||||||||||||
USD | 5,013,163 | JPY | 648,000,000 | 09/21/22 | 208,957 | |||||||||||||||
USD | 3,438,692 | GBP | 2,755,000 | 09/21/22 | 79,640 | |||||||||||||||
USD | 7,769,594 | EUR | 7,260,000 | 09/21/22 | 116,104 | |||||||||||||||
USD | 1,706,415 | AUD | 2,380,000 | 09/21/22 | 62,481 | |||||||||||||||
USD | 51,633 | NZD | 80,000 | 09/21/22 | 1,717 | |||||||||||||||
USD | 158,411 | NOK | 1,500,000 | 09/21/22 | 5,840 | |||||||||||||||
USD | 583,957 | DKK | 4,060,000 | 09/21/22 | 8,421 | |||||||||||||||
USD | 262,452 | SGD | 360,000 | 09/21/22 | 3,186 | |||||||||||||||
USD | 661,966 | HKD | 5,180,000 | 09/21/22 | 274 | |||||||||||||||
USD | 108,700 | ILS | 360,000 | 09/21/22 | 5,014 | |||||||||||||||
TOTAL |
| $ | 523,848 |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||||||
Morgan Stanley & Co. | USD | 2,410,856 | CHF | 2,310,000 | 09/21/22 | $ | (23,421 | ) |
FUTURES CONTRACTS — At June 30, 2022, 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 | 182 | 09/16/22 | $ | 34,484,450 | $ | (1,536,776 | ) | |||||||||
S&P Toronto Stock Exchange 60 Index | 16 | 09/15/22 | 2,840,273 | (184,146 | ) | |||||||||||
TOTAL FUTURES CONTRACTS |
| $ | (1,720,922 | ) |
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At June 30, 2022, 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 | $ | 95.87 | 03/13/2023 | 19 | $ | 47,500 | $ | 38,000 | $ | 54,069 | $ | (16,069 | ) | |||||||||||||||
Eurodollar Futures | 95.87 | 06/19/2023 | 30 | 75,000 | 76,500 | 82,795 | (6,295 | ) | ||||||||||||||||||||
Eurodollar Futures | 95.87 | 09/18/2023 | 28 | 70,000 | 85,225 | 82,515 | 2,710 | |||||||||||||||||||||
Eurodollar Futures | 97.25 | 12/18/2023 | 43 | 107,500 | 61,006 | 55,193 | 5,813 | |||||||||||||||||||||
Eurodollar Futures | 97.50 | 03/18/2024 | 110 | 275,000 | 149,188 | 149,130 | 58 | |||||||||||||||||||||
Eurodollar Futures | 97.50 | 06/17/2024 | 97 | 242,500 | 150,350 | 143,988 | 6,362 | |||||||||||||||||||||
Eurodollar Futures | 97.75 | 03/13/2023 | 94 | 235,000 | 23,500 | 258,472 | (234,972 | ) |
6 | 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 FUTURES (continued)
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
Eurodollar Futures | $ | 97.75 | 06/19/2023 | 53 | $ | 132,500 | $ | 25,506 | $ | 216,141 | $ | (190,635 | ) | |||||||||||||||
Eurodollar Futures | 98.00 | 12/19/2022 | 24 | 60,000 | 2,100 | 59,756 | (57,656 | ) | ||||||||||||||||||||
Eurodollar Futures | 98.25 | 09/19/2022 | 26 | 65,000 | 650 | 62,135 | (61,485 | ) | ||||||||||||||||||||
Eurodollar Futures | 98.75 | 12/19/2022 | 68 | 170,000 | 2,975 | 63,058 | (60,083 | ) | ||||||||||||||||||||
Eurodollar Futures | 99.00 | 09/19/2022 | 70 | 175,000 | 875 | 53,537 | (52,662 | ) | ||||||||||||||||||||
Eurodollar Futures | 99.00 | 12/19/2022 | 235 | 587,500 | 7,344 | 334,645 | (327,301 | ) | ||||||||||||||||||||
TOTAL | 897 | $ | 2,242,500 | $ | 623,219 | $ | 1,615,434 | $ | (992,215 | ) |
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 | $ | 3,850.00 | 07/13/2022 | (5 | ) | $ | (1,925,000 | ) | $ | (21,500 | ) | $ | (42,391 | ) | $ | 20,891 | ||||||||||||
S&P 500 Index | 3,900.00 | 07/20/2022 | (5 | ) | (1,950,000 | ) | (20,100 | ) | (28,984 | ) | 8,884 | |||||||||||||||||
S&P 500 Index | 3,910.00 | 07/29/2022 | (1 | ) | (391,000 | ) | (5,600 | ) | (8,455 | ) | 2,855 | |||||||||||||||||
S&P 500 Index | 3,930.00 | 07/29/2022 | (4 | ) | (1,572,000 | ) | (16,317 | ) | (16,317 | ) | — | |||||||||||||||||
S&P 500 Index | 3,935.00 | 07/29/2022 | (4 | ) | (1,574,000 | ) | (15,739 | ) | (15,739 | ) | — | |||||||||||||||||
S&P 500 Index | 3,940.00 | 07/27/2022 | (5 | ) | (1,970,000 | ) | (20,475 | ) | (27,961 | ) | 7,486 | |||||||||||||||||
S&P 500 Index | 3,940.00 | 07/29/2022 | (4 | ) | (1,576,000 | ) | (15,120 | ) | (15,120 | ) | — | |||||||||||||||||
S&P 500 Index | 3,945.00 | 07/29/2022 | (4 | ) | (1,578,000 | ) | (14,586 | ) | (14,586 | ) | — | |||||||||||||||||
S&P 500 Index | 3,950.00 | 07/29/2022 | (4 | ) | (1,580,000 | ) | (14,125 | ) | (14,125 | ) | — | |||||||||||||||||
S&P 500 Index | 3,955.00 | 08/31/2022 | (1 | ) | (395,500 | ) | (7,870 | ) | (10,209 | ) | 2,339 | |||||||||||||||||
S&P 500 Index | 3,960.00 | 08/31/2022 | (1 | ) | (396,000 | ) | (7,670 | ) | (8,910 | ) | 1,240 | |||||||||||||||||
S&P 500 Index | 4,000.00 | 08/31/2022 | (1 | ) | (400,000 | ) | (6,240 | ) | (7,661 | ) | 1,421 | |||||||||||||||||
S&P 500 Index | 4,140.00 | 07/29/2022 | (1 | ) | (414,000 | ) | (790 | ) | (8,429 | ) | 7,639 | |||||||||||||||||
S&P 500 Index | 4,285.00 | 07/29/2022 | (1 | ) | (428,500 | ) | (220 | ) | (6,089 | ) | 5,869 | |||||||||||||||||
S&P 500 Index | 4,300.00 | 07/06/2022 | (4 | ) | (1,720,000 | ) | (20 | ) | (12,829 | ) | 12,809 | |||||||||||||||||
S&P 500 Index | 4,315.00 | 07/29/2022 | (1 | ) | (431,500 | ) | (168 | ) | (6,019 | ) | 5,851 | |||||||||||||||||
S&P 500 Index | 4,325.00 | 07/29/2022 | (1 | ) | (432,500 | ) | (155 | ) | (5,516 | ) | 5,361 | |||||||||||||||||
(47 | ) | $ | (18,734,000 | ) | $ | (166,695 | ) | $ | (249,340 | ) | $ | 82,645 |
The accompanying notes are an integral part of these financial statements. | 7 |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Schedule of Investments (continued)
June 30, 2022 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued) |
EXCHANGE TRADED OPTIONS ON EQUITIES CONTRACTS (continued)
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
Puts |
| |||||||||||||||||||||||||||
S&P 500 Index | $ | 3,460.00 | 08/31/2022 | (1 | ) | $ | (346,000 | ) | $ | (6,030 | ) | $ | (8,047 | ) | $ | 2,017 | ||||||||||||
S&P 500 Index | 3,500.00 | 08/31/2022 | (1 | ) | (350,000 | ) | (6,800 | ) | (8,155 | ) | 1,355 | |||||||||||||||||
S&P 500 Index | 3,510.00 | 07/29/2022 | (1 | ) | (351,000 | ) | (3,270 | ) | (5,722 | ) | 2,452 | |||||||||||||||||
S&P 500 Index | 3,550.00 | 07/13/2022 | (5 | ) | (1,775,000 | ) | (6,475 | ) | (21,574 | ) | 15,099 | |||||||||||||||||
S&P 500 Index | 3,570.00 | 08/31/2022 | (1 | ) | (357,000 | ) | (8,490 | ) | (7,603 | ) | (887 | ) | ||||||||||||||||
S&P 500 Index | 3,590.00 | 07/20/2022 | (5 | ) | (1,795,000 | ) | (15,050 | ) | (24,554 | ) | 9,504 | |||||||||||||||||
S&P 500 Index | 3,630.00 | 07/29/2022 | (4 | ) | (1,452,000 | ) | (28,259 | ) | (28,259 | ) | — | |||||||||||||||||
S&P 500 Index | 3,635.00 | 07/29/2022 | (4 | ) | (1,454,000 | ) | (28,884 | ) | (28,884 | ) | — | |||||||||||||||||
S&P 500 Index | 3,640.00 | 07/29/2022 | (4 | ) | (1,456,000 | ) | (29,506 | ) | (29,506 | ) | — | |||||||||||||||||
S&P 500 Index | 3,645.00 | 07/29/2022 | (4 | ) | (1,458,000 | ) | (30,165 | ) | (30,165 | ) | — | |||||||||||||||||
S&P 500 Index | 3,650.00 | 07/27/2022 | (5 | ) | (1,825,000 | ) | (30,225 | ) | (24,851 | ) | (5,374 | ) | ||||||||||||||||
S&P 500 Index | 3,650.00 | 07/29/2022 | (4 | ) | (1,460,000 | ) | (30,752 | ) | (30,752 | ) | — | |||||||||||||||||
S&P 500 Index | 3,675.00 | 07/29/2022 | (1 | ) | (367,500 | ) | (7,000 | ) | (8,443 | ) | 1,443 | |||||||||||||||||
S&P 500 Index | 3,825.00 | 07/29/2022 | (1 | ) | (382,500 | ) | (12,800 | )�� | (10,940 | ) | (1,860 | ) | ||||||||||||||||
S&P 500 Index | 3,900.00 | 07/29/2022 | (1 | ) | (390,000 | ) | (17,100 | ) | (8,965 | ) | (8,135 | ) | ||||||||||||||||
S&P 500 Index | 3,955.00 | 07/29/2022 | (1 | ) | (395,500 | ) | (20,700 | ) | (7,766 | ) | (12,934 | ) | ||||||||||||||||
S&P 500 Index | 4,010.00 | 07/06/2022 | (4 | ) | (1,604,000 | ) | (92,120 | ) | (22,166 | ) | (69,954 | ) | ||||||||||||||||
(47 | ) | $ | (17,218,500 | ) | $ | (373,626 | ) | $ | (306,352 | ) | $ | (67,274 | ) | |||||||||||||||
TOTAL | (94 | ) | $ | (35,952,500 | ) | $ | (540,321 | ) | $ | (555,692 | ) | $ | 15,371 |
8 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Statement of Assets and Liabilities
June 30, 2022 (Unaudited)
Assets: | ||||||
Investments in Affiliated Funds, at value (cost $269,212,766) | $ | 293,208,445 | ||||
Purchased options, at value (premium paid $1,615,434) | 623,219 | |||||
Cash | 6,396,320 | |||||
Foreign currencies, at value (cost $26,813) | 49,092 | |||||
Unrealized gain on forward foreign currency exchange contracts | 523,848 | |||||
Receivables: | ||||||
Collateral on certain derivative contracts(a) | 5,141,832 | |||||
Investments sold | 3,923,454 | |||||
Dividends | 168,523 | |||||
Due from broker | 68,076 | |||||
Reimbursement from investment adviser | 32,802 | |||||
Fund shares sold | 3,808 | |||||
Other assets | 69,564 | |||||
Total assets | 310,208,983 | |||||
Liabilities: | ||||||
Unrealized loss on forward foreign currency exchange contracts | 23,421 | |||||
Written option contracts, at value (premium received $555,692) | 540,321 | |||||
Variation margin on futures contracts | 260,821 | |||||
Payables: | ||||||
Investments purchased | 587,263 | |||||
Distribution and Service fees and Transfer Agency fees | 65,139 | |||||
Management fees | 39,407 | |||||
Fund shares redeemed | 26,151 | |||||
Accrued expenses | 141,688 | |||||
Total liabilities | 1,684,211 | |||||
Net Assets: | ||||||
Paid-in capital | 184,467,036 | |||||
Total distributable earnings | 124,057,736 | |||||
NET ASSETS | $ | 308,524,772 | ||||
Net Assets: | ||||||
Class A | $ | 144,419,852 | ||||
Class C | 7,214,907 | |||||
Institutional | 15,280,771 | |||||
Service | 252,715 | |||||
Investor | 4,516,030 | |||||
Class R6 | 3,096,458 | |||||
Class R | 5,385,575 | |||||
Class P | 128,358,464 | |||||
Total Net Assets | $ | 308,524,772 | ||||
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | ||||||
Class A | 7,963,283 | |||||
Class C | 413,045 | |||||
Institutional | 828,955 | |||||
Service | 13,954 | |||||
Investor | 252,814 | |||||
Class R6 | 167,950 | |||||
Class R | 300,445 | |||||
Class P | 6,957,294 | |||||
Net asset value, offering and redemption price per share:(b) | ||||||
Class A | $18.14 | |||||
Class C | 17.47 | |||||
Institutional | 18.43 | |||||
Service | 18.11 | |||||
Investor | 17.86 | |||||
Class R6 | 18.44 | |||||
Class R | 17.93 | |||||
Class P | 18.45 |
(a) | Includes segregated cash of $1,977,371 and $3,164,461 relating to initial margin requirements and/or collateral on futures and options transactions, respectively. |
(b) | Maximum public offering price per share for Class A Shares is $19.20. At redemption, Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value (“NAV”) or the original purchase price of the shares. |
The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Statement of Operations
For the Six Months Ended June 30, 2022 (Unaudited)
Investment income: | ||||||
Dividends from Affiliated Funds | $ | 3,089,205 | ||||
Interest | 970 | |||||
Total investment income | $ | 3,090,175 | ||||
Expenses: | ||||||
Management fees | 301,733 | |||||
Distribution and Service (12b-1) fees(a) | 253,208 | |||||
Transfer Agency fees(a) | 180,695 | |||||
Registration fees | 58,951 | |||||
Professional fees | 50,444 | |||||
Printing and mailing costs | 44,656 | |||||
Custody, accounting and administrative services | 37,249 | |||||
Trustee fees | 11,054 | |||||
Service fees — Class C | 10,931 | |||||
Shareholder Administration fees — Service Class | 351 | |||||
Other | 7,414 | |||||
Total expenses | 956,686 | |||||
Less — expense reductions | (201,228 | ) | ||||
Net expenses | 755,458 | |||||
NET INVESTMENT INCOME | 2,334,717 | |||||
Realized and unrealized gain (loss): | ||||||
Net realized gain (loss) from: | ||||||
Affiliated Funds | 100,323,594 | |||||
Purchased options | (978,825 | ) | ||||
Futures contracts | (5,925,783 | ) | ||||
Written options | 67,213 | |||||
Swap contracts | 724,104 | |||||
Forward foreign currency exchange contracts | 1,751,996 | |||||
Foreign currency transactions | 64 | |||||
Net change in unrealized gain (loss) on: | ||||||
Affiliated Funds | (180,529,203 | ) | ||||
Purchased options | (121,743 | ) | ||||
Futures contracts | (4,488,052 | ) | ||||
Written options | (197,508 | ) | ||||
Swap contracts | 24,704 | |||||
Forward foreign currency exchange contracts | 520,745 | |||||
Foreign currency translation | 13,796 | |||||
Net realized and unrealized loss | (88,814,898 | ) | ||||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (86,480,181 | ) |
(a) | Class specific Distribution and/or Service (12 b-1) and Transfer Agency fees were as follows: |
Distribution and/or Service (12 b-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 | |||||||||||||||||||||||||||||||||||
$ | 204,953 | $ | 32,793 | $ | 351 | $ | 15,111 | $ | 131,170 | $ | 6,996 | $ | 3,472 | $ | 56 | $ | 4,034 | $ | 8,410 | $ | 4,836 | $ | 21,721 |
10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Statements of Changes in Net Assets
Dynamic Global Equity Fund | ||||||||||
For the Six Months Ended June 30, 2022 (Unaudited) | For the Fiscal Year Ended December 31, 2021 | |||||||||
From operations: |
| |||||||||
Net investment income | $ | 2,334,717 | $ | 13,886,224 | ||||||
Net realized gain | 95,962,363 | 87,663,925 | ||||||||
Net change in unrealized gain (loss) | (184,777,261 | ) | 62,133,651 | |||||||
Net increase (decrease) in net assets resulting from operations | (86,480,181 | ) | 163,683,800 | |||||||
Distributions to shareholders: | ||||||||||
From distributable earnings: | ||||||||||
Class A Shares | — | (21,200,803 | ) | |||||||
Class C Shares | — | (1,144,912 | ) | |||||||
Institutional Shares | — | (2,199,570 | ) | |||||||
Service Shares | — | (35,736 | ) | |||||||
Investor Shares | — | (685,427 | ) | |||||||
Class R6 Shares | — | (62,812,794 | ) | |||||||
Class R Shares | — | (739,023 | ) | |||||||
Class P Shares | — | (18,499,746 | ) | |||||||
Total distributions to shareholders | — | (107,318,011 | ) | |||||||
From share transactions: | ||||||||||
Proceeds from sales of shares | 10,448,676 | 33,704,055 | ||||||||
Reinvestment of distributions | — | 105,373,693 | ||||||||
Cost of shares redeemed | (547,893,281 | ) | (89,658,618 | ) | ||||||
Net increase (decrease) in net assets resulting from share transactions | (537,444,605 | ) | 49,419,130 | |||||||
TOTAL INCREASE (DECREASE) | (623,924,786 | ) | 105,784,919 | |||||||
Net assets: | ||||||||||
Beginning of period | 932,449,558 | 826,664,639 | ||||||||
End of period | $ | 308,524,772 | $ | 932,449,558 |
The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Dynamic Global Equity Fund | ||||||||||||||||||||||||||
Class A Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 22.80 | $ | 21.36 | $ | 19.32 | $ | 16.26 | $ | 18.84 | $ | 15.25 | ||||||||||||||
Net investment income(a)(b) | 0.12 | 0.31 | 0.18 | 0.29 | 0.20 | 0.16 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (4.78 | ) | 3.96 | 2.36 | 3.86 | (2.35 | ) | 3.80 | ||||||||||||||||||
Total from investment operations | (4.66 | ) | 4.27 | 2.54 | 4.15 | (2.15 | ) | 3.96 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (1.01 | ) | (0.18 | ) | (0.27 | ) | (0.43 | ) | (0.37 | ) | |||||||||||||||
Distributions to shareholders from net realized gains | — | (1.82 | ) | (0.32 | ) | (0.82 | ) | — | — | |||||||||||||||||
Total distributions | — | (2.83 | ) | (0.50 | ) | (1.09 | ) | (0.43 | ) | (0.37 | ) | |||||||||||||||
Net asset value, end of period | $ | 18.14 | $ | 22.80 | $ | 21.36 | $ | 19.32 | $ | 16.26 | $ | 18.84 | ||||||||||||||
Total return(c) | (20.44 | )% | 20.07 | % | 13.15 | % | 25.66 | % | (11.40 | )% | 25.96 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 144,420 | $ | 185,213 | $ | 166,449 | $ | 162,028 | $ | 135,758 | $ | 137,276 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.57 | %(e) | 0.56 | % | 0.57 | % | 0.58 | % | 0.58 | % | 0.59 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 0.67 | %(e) | 0.60 | % | 0.64 | % | 0.66 | % | 0.66 | % | 0.67 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 1.20 | %(e) | 1.29 | % | 0.98 | % | 1.56 | % | 1.09 | % | 0.93 | % | ||||||||||||||
Portfolio turnover rate(f) | 4 | % | 4 | % | 12 | % | 40 | % | 11 | % | 53 | % |
(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 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) | Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests. |
(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. |
12 | 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 Period
Goldman Sachs Dynamic Global Equity Fund | ||||||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 22.04 | $ | 20.71 | $ | 18.74 | $ | 15.77 | $ | 18.01 | $ | 14.58 | ||||||||||||||
Net investment income (loss)(a)(b) | 0.04 | 0.10 | 0.02 | 0.10 | (0.05 | ) | 0.01 | |||||||||||||||||||
Net realized and unrealized gain (loss) | (4.61 | ) | 3.86 | 2.28 | 3.77 | (2.12 | ) | 3.65 | ||||||||||||||||||
Total from investment operations | (4.57 | ) | 3.96 | 2.30 | 3.87 | (2.17 | ) | 3.66 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (0.81 | ) | (0.01 | ) | (0.08 | ) | (0.07 | ) | (0.23 | ) | |||||||||||||||
Distributions to shareholders from net realized gains | — | (1.82 | ) | (0.32 | ) | (0.82 | ) | — | — | |||||||||||||||||
Total distributions | — | (2.63 | ) | (0.33 | ) | (0.90 | ) | (0.07 | ) | (0.23 | ) | |||||||||||||||
Net asset value, end of period | $ | 17.47 | $ | 22.04 | $ | 20.71 | $ | 18.74 | $ | 15.77 | $ | 18.01 | ||||||||||||||
Total return(c) | (20.74 | )% | 19.19 | % | 12.29 | % | 24.72 | % | (12.04 | )% | 25.08 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 7,215 | $ | 10,309 | $ | 13,716 | $ | 17,348 | $ | 23,020 | $ | 68,315 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 1.32 | %(e) | 1.31 | % | 1.32 | % | 1.33 | % | 1.33 | % | 1.34 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 1.42 | %(e) | 1.35 | % | 1.39 | % | 1.41 | % | 1.40 | % | 1.42 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets(b) | 0.37 | %(e) | 0.45 | % | 0.13 | % | 0.58 | % | (0.29 | )% | 0.08 | % | ||||||||||||||
Portfolio turnover rate(f) | 4 | % | 4 | % | 12 | % | 40 | % | 11 | % | 53 | % |
(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 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) | Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests. |
(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 DYNAMIC GLOBAL EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Dynamic Global Equity Fund | ||||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 23.13 | $ | 21.63 | $ | 19.55 | $ | 16.43 | $ | 19.01 | $ | 15.38 | ||||||||||||||
Net investment income(a)(b) | 0.16 | 0.39 | 0.23 | 0.34 | 0.09 | 0.24 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (4.86 | ) | 4.03 | 2.42 | 3.93 | (2.20 | ) | 3.83 | ||||||||||||||||||
Total from investment operations | (4.70 | ) | 4.42 | 2.65 | 4.27 | (2.11 | ) | 4.07 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (1.10 | ) | (0.25 | ) | (0.33 | ) | (0.47 | ) | (0.44 | ) | |||||||||||||||
Distributions to shareholders from net realized gains | — | (1.82 | ) | (0.32 | ) | (0.82 | ) | — | — | |||||||||||||||||
Total distributions | — | (2.92 | ) | (0.57 | ) | (1.15 | ) | (0.47 | ) | (0.44 | ) | |||||||||||||||
Net asset value, end of period | $ | 18.43 | $ | 23.13 | $ | 21.63 | $ | 19.55 | $ | 16.43 | $ | 19.01 | ||||||||||||||
Total return(c) | (20.32 | )% | 20.50 | % | 13.56 | % | 26.18 | % | (11.07 | )% | 26.48 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 15,281 | $ | 19,052 | $ | 14,179 | $ | 13,423 | $ | 16,974 | $ | 155,828 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.20 | %(e) | 0.19 | % | 0.19 | % | 0.20 | % | 0.19 | % | 0.20 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 0.30 | %(e) | 0.24 | % | 0.26 | % | 0.28 | % | 0.26 | % | 0.28 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 1.58 | %(e) | 1.62 | % | 1.25 | % | 1.82 | % | 0.47 | % | 1.40 | % | ||||||||||||||
Portfolio turnover rate(f) | 4 | % | 4 | % | 12 | % | 40 | % | 11 | % | 53 | % |
(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 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) | Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests. |
(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 DYNAMIC GLOBAL EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Dynamic Global Equity Fund | ||||||||||||||||||||||||||
Service Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 22.78 | $ | 21.35 | $ | 19.30 | $ | 16.20 | $ | 18.75 | $ | 15.19 | ||||||||||||||
Net investment income(a)(b) | 0.11 | 0.29 | 0.15 | 0.21 | 0.15 | 0.16 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (4.78 | ) | 3.94 | 2.37 | 3.89 | (2.31 | ) | 3.76 | ||||||||||||||||||
Total from investment operations | (4.67 | ) | 4.23 | 2.52 | 4.10 | (2.16 | ) | 3.92 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (0.98 | ) | (0.15 | ) | (0.18 | ) | (0.39 | ) | (0.36 | ) | |||||||||||||||
Distributions to shareholders from net realized gains | — | (1.82 | ) | (0.32 | ) | (0.82 | ) | — | — | |||||||||||||||||
Total distributions | — | (2.80 | ) | (0.47 | ) | (1.00 | ) | (0.39 | ) | (0.36 | ) | |||||||||||||||
Net asset value, end of period | $ | 18.11 | $ | 22.78 | $ | 21.35 | $ | 19.30 | $ | 16.20 | $ | 18.75 | ||||||||||||||
Total return(c) | (20.50 | )% | 19.90 | % | 13.04 | % | 25.49 | % | (11.48 | )% | 25.79 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 253 | $ | 310 | $ | 269 | $ | 380 | $ | 543 | $ | 684 | ||||||||||||||
Ratio of net expenses to average net assets(e) | 0.69 | %(d) | 0.69 | % | 0.69 | % | 0.70 | % | 0.69 | % | 0.69 | % | ||||||||||||||
Ratio of total expenses to average net assets(e) | 0.80 | %(d) | 0.74 | % | 0.76 | % | 0.78 | % | 0.77 | % | 0.78 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 1.09 | %(d) | 1.21 | % | 0.79 | % | 1.16 | % | 0.80 | % | 0.91 | % | ||||||||||||||
Portfolio turnover rate(f) | 4 | % | 4 | % | 12 | % | 40 | % | 11 | % | 53 | % |
(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 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) | Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests. |
(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 DYNAMIC GLOBAL EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Dynamic Global Equity Fund | ||||||||||||||||||||||||||
Investor Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 22.43 | $ | 21.05 | $ | 19.04 | $ | 16.03 | $ | 18.58 | $ | 15.03 | ||||||||||||||
Net investment income(a)(b) | 0.15 | 0.38 | 0.23 | 0.30 | 0.24 | 0.18 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (4.72 | ) | 3.89 | 2.33 | 3.84 | (2.32 | ) | 3.78 | ||||||||||||||||||
Total from investment operations | (4.57 | ) | 4.27 | 2.56 | 4.14 | (2.08 | ) | 3.96 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (1.07 | ) | (0.23 | ) | (0.31 | ) | (0.47 | ) | (0.41 | ) | |||||||||||||||
Distributions to shareholders from net realized gains | — | (1.82 | ) | (0.32 | ) | (0.82 | ) | — | — | |||||||||||||||||
Total distributions | — | (2.89 | ) | (0.55 | ) | (1.13 | ) | (0.47 | ) | (0.41 | ) | |||||||||||||||
Net asset value, end of period | $ | 17.86 | $ | 22.43 | $ | 21.05 | $ | 19.04 | $ | 16.03 | $ | 18.58 | ||||||||||||||
Total return(c) | (20.37 | )% | 20.36 | % | 13.44 | % | 25.97 | % | (11.18 | )% | 26.35 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 4,516 | $ | 5,797 | $ | 4,908 | $ | 4,517 | $ | 5,703 | $ | 5,481 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.32 | %(e) | 0.31 | % | 0.32 | % | 0.33 | % | 0.33 | % | 0.34 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 0.42 | %(e) | 0.35 | % | 0.39 | % | 0.41 | % | 0.41 | % | 0.42 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 1.48 | %(e) | 1.61 | % | 1.24 | % | 1.66 | % | 1.28 | % | 1.07 | % | ||||||||||||||
Portfolio turnover rate(f) | 4 | % | 4 | % | 12 | % | 40 | % | 11 | % | 53 | % |
(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 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) | Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests. |
(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 DYNAMIC GLOBAL EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Dynamic Global Equity Fund | ||||||||||||||||||||||||||
Class R6 Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 23.14 | $ | 21.63 | $ | 19.55 | $ | 16.44 | $ | 19.04 | $ | 15.37 | ||||||||||||||
Net investment income (loss)(a)(b) | (0.01 | ) | 0.40 | 0.25 | 0.49 | 1.61 | 0.12 | |||||||||||||||||||
Net realized and unrealized gain (loss) | (4.69 | ) | 4.03 | 2.40 | 3.78 | (3.71 | ) | 3.96 | ||||||||||||||||||
Total from investment operations | (4.70 | ) | 4.43 | 2.65 | 4.27 | (2.10 | ) | 4.08 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (1.10 | ) | (0.25 | ) | (0.34 | ) | (0.50 | ) | (0.41 | ) | |||||||||||||||
Distributions to shareholders from net realized gains | — | (1.82 | ) | (0.32 | ) | (0.82 | ) | — | — | |||||||||||||||||
Total distributions | — | (2.92 | ) | (0.57 | ) | (1.16 | ) | (0.50 | ) | (0.41 | ) | |||||||||||||||
Net asset value, end of period | $ | 18.44 | $ | 23.14 | $ | 21.63 | $ | 19.55 | $ | 16.44 | $ | 19.04 | ||||||||||||||
Total return(c) | (20.31 | )% | 20.55 | % | 13.57 | % | 26.14 | % | (11.00 | )% | 26.54 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 3,096 | $ | 544,796 | $ | 490,832 | $ | 478,073 | $ | 4,485 | $ | 13 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.18 | %(e) | 0.18 | % | 0.18 | % | 0.19 | % | 0.18 | % | 0.18 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 0.22 | %(e) | 0.23 | % | 0.25 | % | 0.26 | % | 0.32 | % | 0.24 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets(b) | (0.07 | )%(e) | 1.66 | % | 1.36 | % | 2.55 | % | 9.20 | % | 0.66 | % | ||||||||||||||
Portfolio turnover rate(f) | 4 | % | 4 | % | 12 | % | 40 | % | 11 | % | 53 | % |
(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 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) | Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests. |
(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 DYNAMIC GLOBAL EQUITY FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs Dynamic Global Equity Fund | ||||||||||||||||||||||||||
Class R Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 22.56 | $ | 21.17 | $ | 19.15 | $ | 16.13 | $ | 18.69 | $ | 15.15 | ||||||||||||||
Net investment income(a)(b) | 0.10 | 0.23 | 0.13 | 0.24 | 0.14 | 0.19 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (4.73 | ) | 3.94 | 2.34 | 3.82 | (2.32 | ) | 3.70 | ||||||||||||||||||
Total from investment operations | (4.63 | ) | 4.17 | 2.47 | 4.06 | (2.18 | ) | 3.89 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (0.96 | ) | (0.13 | ) | (0.22 | ) | (0.38 | ) | (0.35 | ) | |||||||||||||||
Distributions to shareholders from net realized gains | — | (1.82 | ) | (0.32 | ) | (0.82 | ) | — | — | |||||||||||||||||
Total distributions | — | (2.78 | ) | (0.45 | ) | (1.04 | ) | (0.38 | ) | (0.35 | ) | |||||||||||||||
Net asset value, end of period | $ | 17.93 | $ | 22.56 | $ | 21.17 | $ | 19.15 | $ | 16.13 | $ | 18.69 | ||||||||||||||
Total return(c) | (20.52 | )% | 19.76 | % | 12.88 | % | 25.36 | % | (11.63 | )% | 25.70 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 5,386 | $ | 6,611 | $ | 5,700 | $ | 5,922 | $ | 4,938 | $ | 5,910 | ||||||||||||||
Ratio of net expenses to average net assets(d) | 0.82 | %(e) | 0.81 | % | 0.82 | % | 0.83 | % | 0.83 | % | 0.84 | % | ||||||||||||||
Ratio of total expenses to average net assets(d) | 0.92 | %(e) | 0.85 | % | 0.89 | % | 0.91 | % | 0.91 | % | 0.92 | % | ||||||||||||||
Ratio of net investment income to average net assets(b) | 0.97 | %(e) | 0.97 | % | 0.70 | % | 1.31 | % | 0.77 | % | 1.06 | % | ||||||||||||||
Portfolio turnover rate(f) | 4 | % | 4 | % | 12 | % | 40 | % | 11 | % | 53 | % |
(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 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) | Expense ratios exclude the expenses of the Underlying Funds in which the Fund invests. |
(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 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 | ||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | Period Ended December 31, 2018(a) | ||||||||||||||||||||
2021 | 2020 | 2019 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 23.15 | $ | 21.64 | $ | 19.56 | $ | 16.44 | $ | 19.43 | ||||||||||||
Net investment income(b)(c) | 0.16 | 0.40 | 0.26 | 0.37 | 0.31 | |||||||||||||||||
Net realized and unrealized gain (loss) | (4.86 | ) | 4.03 | 2.39 | 3.91 | (2.80 | ) | |||||||||||||||
Total from investment operations | (4.70 | ) | 4.43 | 2.65 | 4.28 | (2.49 | ) | |||||||||||||||
Distributions to shareholders from net investment income | — | (1.10 | ) | (0.25 | ) | (0.34 | ) | (0.50 | ) | |||||||||||||
Distributions to shareholders from net realized gains | — | (1.82 | ) | (0.32 | ) | (0.82 | ) | — | ||||||||||||||
Total distributions | — | (2.92 | ) | (0.57 | ) | (1.16 | ) | (0.50 | ) | |||||||||||||
Net asset value, end of period | $ | 18.45 | $ | 23.15 | $ | 21.64 | $ | 19.56 | $ | 16.44 | ||||||||||||
Total return(d) | (20.30 | )% | 20.54 | % | 13.57 | % | 26.19 | % | (12.80 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 128,358 | $ | 160,360 | $ | 130,610 | $ | 127,367 | $ | 103,074 | ||||||||||||
Ratio of net expenses to average net assets(e) | 0.19 | %(f) | 0.18 | % | 0.18 | % | 0.19 | % | 0.18 | %(f) | ||||||||||||
Ratio of total expenses to average net assets(e) | 0.29 | %(f) | 0.23 | % | 0.25 | % | 0.27 | % | 0.27 | %(f) | ||||||||||||
Ratio of net investment income to average net assets(c) | 1.59 | %(f) | 1.64 | % | 1.37 | % | 1.96 | % | 2.33 | %(f) | ||||||||||||
Portfolio turnover rate(g) | 4 | % | 4 | % | 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. |
The accompanying notes are an integral part of these financial statements. | 19 |
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
June 30, 2022 (Unaudited)
1. ORGANIZATION |
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The 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, 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, swaps 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, unrealized gains and losses are recorded daily and become realized gains and losses upon disposition or termination 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 the Fund, while such expenses incurred by the Trust are allocated across the Fund on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service, Transfer Agency and Service and Shareholder Administration fees. 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.
20
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
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.
21
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
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 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 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.
22
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
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.
iv. Swap Contracts — Bilateral swap contracts are agreements in which the Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between the Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, the Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a receivable or payable for variation margin.
A total return swap is an agreement that gives the 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, the 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 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 June 30, 2022:
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Underlying Funds | ||||||||||||
Equity | $ | 103,144,266 | $ | — | $ | — | ||||||
Exchange Traded Funds | 182,482,472 | — | — | |||||||||
Investment Company | 7,581,707 | — | — | |||||||||
Total | $ | 293,208,445 | $ | — | $ | — |
23
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
Derivative Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | — | $ | 523,848 | $ | — | ||||||
Purchased Options Contracts | 623,219 | — | — | |||||||||
Total | $ | 623,219 | $ | 523,848 | $ | — | ||||||
Liabilities | ||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | — | $ | (23,421 | ) | $ | — | |||||
Futures Contracts(a) | (1,720,922 | ) | — | — | ||||||||
Written Option Contracts | (540,321 | ) | — | — | ||||||||
Total | $ | (2,261,243 | ) | $ | (23,421 | ) | $ | — |
(a) | 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 tables set forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of June 30, 2022. 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 | $ | 623,219 | — | $ | — | ||||||
Equity | — | — | Variation margin on futures contracts(a); Written options, at value | (2,261,243) | ||||||||
Currency | Receivable for unrealized gain on forward foreign currency exchange contracts | 523,848 | Payable for unrealized loss on forward foreign currency exchange contract. | (23,421) | ||||||||
Total | $ | 1,147,067 | $ | (2,284,664) |
(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 June 30, 2022 is reported within the Statement of Assets and Liabilities. |
The following tables set forth, by certain risk types, the Fund’s gains (losses) related to these derivatives and their indicative volumes for the six months ended June 30, 2022. 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
24
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
4. INVESTMENTS IN DERIVATIVES (continued) |
accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statement of Operations:
Risk | Statement of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | |||||||
Interest | Net realized gain (loss) from purchased options/Net change in unrealized gain (loss) on purchased options | $ | (978,825 | ) | $ | (121,743 | ) | |||
Equity | Net realized gain (loss) from futures contracts, swaps contracts and written options/Net change in unrealized gain (loss) on futures contracts, swaps contracts and written options | (5,134,466 | ) | (4,660,856 | ) | |||||
Currency | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | 1,751,996 | 520,745 | |||||||
Total | $ | (4,361,295 | ) | $ | (4,261,854 | ) |
For the six months ended June 30, 2022, the relevant values for each derivative type was as follows:
Average Number of Contracts, Notional Amounts, or Shares/Units(a) | ||||||||||||||||||
Futures contracts | Forward contracts | Swap Agreements | Purchased Options | Written Options | ||||||||||||||
262 | $ | 45,934,104.0 | $ | 14,908,963 | 2,165,000 | 11,214 |
(a) | Amounts disclosed represent average number of contracts for futures contracts, notional amounts for forward contracts and swap agreements, or shares/units outstanding for purchased and written options, based on absolute values, which is indicative of volume for this derivative type, for the months that each Portfolio held such derivatives during the period ended June 30, 2022. |
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%.
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.
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
25
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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 six months ended June 30, 2022, Goldman Sachs retained $23,876 of the front end sales charges and $1,194 of the CDSC for this Fund.
D. Service and/or Shareholder Administration Plans — The Trust, on behalf of the Fund, has adopted a Service Plan to allow Class C Shares and a Shareholder Administration Plan to allow Service Shares, respectively, to compensate service organizations (including Goldman Sachs) for providing varying levels of personal and account maintenance and/or shareholder administration services to their customers who are beneficial owners of such shares. The Service and 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: 0.16% 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 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 limitation 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, 2023, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition,
the Fund has entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Fund’s expenses and are received irrespective of the application of the “Other Expense” limitations described above.
For the six months ended June 30, 2022, these expense reductions, including any fee waivers and Other Expense reimbursements,were $201,228.
G. Line of Credit Facility — As of June 30, 2022, the Fund participated in a $1,250,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the six months ended June 30, 2022, the Fund did not have any borrowings under the facility. Prior to April 22, 2022, the facility was $1,000,000,000.
26
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
H. Other Transactions with Affiliates — The Fund invests 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 Fund. The table below shows the transactions in and earnings from investments in these Underlying Funds for the six months ended June 30, 2022 (in thousands):
Underlying Funds | Market Value 12/31/2021 | Purchases at Cost* | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Gain (Loss) | Market Value 6/30/2022 | Shares as of 6/30/2022 | Dividend Income | ||||||||||||||||||||||||
Goldman Sachs ActiveBeta Emerging Markets Equity ETF | $ | 62,014 | $ | — | $ | (36,262 | ) | $ | 5,372 | (10,073 | ) | $ | 21,051 | 708 | $ | 417 | ||||||||||||||||
Goldman Sachs ActiveBeta International Equity ETF | 157,139 | — | (92,712 | ) | 18,453 | (32,890 | ) | 49,990 | 1,800 | 1,102 | ||||||||||||||||||||||
Goldman Sachs ActiveBeta U.S. Large Cap Equity ETF | 253,314 | — | (146,195 | ) | 55,714 | (82,540 | ) | 80,293 | 1,071 | 645 | ||||||||||||||||||||||
Goldman Sachs Emerging Markets Equity Insights Fund — Class R6 | 31,675 | — | (18,657 | ) | 708 | (2,566 | ) | 11,160 | 1,376 | — | ||||||||||||||||||||||
Goldman Sachs Financial Square Government Fund — Institutional Shares | 54,000 | 56,085 | (102,503 | ) | — | — | 7,582 | 7,582 | 17 | |||||||||||||||||||||||
Goldman Sachs Global Infrastructure Fund — Class R6 | 15,246 | 61 | (10,611 | ) | 1,385 | (1,976 | ) | 4,105 | 325 | 61 | ||||||||||||||||||||||
Goldman Sachs Global Real Estate Securities Fund — Class R6 | 14,416 | 41 | (9,726 | ) | 520 | (2,180 | ) | 3,071 | 313 | 41 | ||||||||||||||||||||||
Goldman Sachs International Equity Insights Fund — Class R6 | 74,600 | — | (43,546 | ) | 6,574 | (12,076 | ) | 25,552 | 2,188 | — | ||||||||||||||||||||||
Goldman Sachs International Small Cap Insights Fund — Class R6 | 16,011 | — | (13,337 | ) | 1,596 | (2,708 | ) | 1,562 | 143 | — | ||||||||||||||||||||||
Goldman Sachs Large Cap Growth Insights Fund — Class R6 | 68,662 | 1,701 | (37,439 | ) | 104 | (10,448 | ) | 22,580 | 862 | — | ||||||||||||||||||||||
Goldman Sachs Large Cap Value Insights Fund — Class R6 | 62,718 | 6,150 | (36,385 | ) | 4,132 | (8,042 | ) | 28,573 | 1,397 | 150 | ||||||||||||||||||||||
Goldman Sachs MarketBeta Emerging Markets Equity ETF | 29,492 | — | (17,405 | ) | 2,374 | (4,164 | ) | 10,297 | 247 | 241 | ||||||||||||||||||||||
Goldman Sachs MarketBeta International Equity ETF | 38,746 | 23,461 | (36,098 | ) | 2,990 | (8,247 | ) | 20,852 | 465 | 415 | ||||||||||||||||||||||
Goldman Sachs Small Cap Equity Insights Fund — Class R6 | 20,011 | — | (11,254 | ) | 402 | (2,619 | ) | 6,540 | 304 | — | ||||||||||||||||||||||
Total | $ | 898,044 | $ | 87,499 | $ | (612,130 | ) | $ | 100,324 | $ | (180,529 | ) | $ | 293,208 | $ | 3,089 |
* | Includes reinvestment of distributions. |
27
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended June 30, 2022, are $31,926,468 and $14,807,806, respectively.
7. TAX INFORMATION |
As of the Fund’s most recent fiscal year end, December 31, 2021, certain timing differences on a tax basis were as follows:
Timing differences (Straddle Loss Deferral) | $(1,036) |
As of June 30, 2022, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Tax Cost | $ | 275,785,626 | ||
Gross unrealized gain | 28,972,395 | |||
Gross unrealized loss | (11,549,576 | ) | ||
Net unrealized gains (loss) | $ | 17,422,819 |
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 the 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; less stringent investor protections; less stringent accounting, corporate governance,
28
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
8. OTHER RISKS (continued) |
financial reporting and disclosure standards; and less economic, political and social stability in the countries in which the Fund invests. The imposition of sanctions, 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 registration, settlement or custody, may also result in losses. The type and severity of sanctions and other similar measures, including counter sanctions and other retaliatory actions, that may be imposed could vary broadly in scope, and their impact is impossible to predict. For example, the imposition of sanctions and other similar measures could, among other things, cause a decline in the value and/or liquidity of securities issued by the sanctioned country or companies located in or economically tied to the sanctioned country and increase market volatility and disruption in the sanctioned country and throughout the world. Sanctions and other similar measures could limit or prevent the Fund from buying and selling securities (in the sanctioned country and other markets), significantly delay or prevent the settlement of securities transactions, and significantly impact the Fund’s liquidity and performance. Foreign risk also involves the risk of negative foreign currency exchange 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, or economically tied to, emerging markets, these risks may be more pronounced.
Investments in the Underlying Funds Risk — The investments of the Fund may be concentrated in one or more Underlying Funds (including ETFs and other registered investment companies) subject to statutory limitations prescribed by the Act or exemptive relief or regulations thereunder. 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 and will be affected by the investment policies and practices of the Underlying Funds in direct proportion to the amount of assets allocated to each. If the Fund has a relative concentration of its portfolio in a single Underlying Fund, it may be more susceptible to adverse developments affecting that Underlying Fund, and may be more susceptible to losses because of these developments. A strategy used by the Underlying Funds may fail to produce the intended results.
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. 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 funds may be higher than normal, potentially causing increased supply in the market due to selling activity. These risks may be more pronounced in connection with the Fund’s investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on the Fund’s liquidity.
29
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
8. OTHER RISKS (continued) |
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. 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.
30
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
11. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
Dynamic Global Equity Fund | ||||||||||||||||
|
| |||||||||||||||
For the Six Months Ended June 30, 2022 (Unaudited) | For the Fiscal Year Ended December 31, 2022 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 123,561 | $ | 2,497,336 | 447,388 | $ | 10,465,500 | ||||||||||
Reinvestment of distributions | — | — | 835,193 | 19,471,814 | ||||||||||||
Shares redeemed | (283,830 | ) | (5,811,919 | ) | (952,749 | ) | (22,455,855 | ) | ||||||||
(160,269 | ) | (3,314,583 | ) | 329,832 | 7,481,459 | |||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 10,124 | 199,942 | 32,367 | 734,171 | ||||||||||||
Reinvestment of distributions | — | — | 50,432 | 1,134,953 | ||||||||||||
Shares redeemed | (64,796 | ) | (1,248,102 | ) | (277,299 | ) | (6,214,088 | ) | ||||||||
(54,672 | ) | (1,048,160 | ) | (194,500 | ) | (4,344,964 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 107,991 | 2,238,127 | 185,277 | 4,556,350 | ||||||||||||
Reinvestment of distributions | — | — | 90,955 | 2,151,529 | ||||||||||||
Shares redeemed | (102,667 | ) | (2,091,080 | ) | (108,213 | ) | (2,561,457 | ) | ||||||||
5,324 | 147,047 | 168,019 | 4,146,422 | |||||||||||||
Service Shares | ||||||||||||||||
Shares sold | 348 | 7,494 | 112 | 2,670 | ||||||||||||
Reinvestment of distributions | — | — | 1,262 | 29,400 | ||||||||||||
Shares redeemed | (6 | ) | (153 | ) | (376 | ) | (8,411 | ) | ||||||||
342 | 7,341 | 998 | 23,659 | |||||||||||||
Investor Shares | ||||||||||||||||
Shares sold | 20,059 | 401,537 | 40,132 | 943,819 | ||||||||||||
Reinvestment of distributions | — | — | 29,852 | 685,427 | ||||||||||||
Shares redeemed | (25,727 | ) | (549,161 | ) | (44,715 | ) | (1,046,455 | ) | ||||||||
(5,668 | ) | (147,624 | ) | 25,269 | 582,791 | |||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 28,993 | 650,667 | 109,199 | 2,469,003 | ||||||||||||
Reinvestment of distributions | — | — | 2,647,554 | 62,667,602 | ||||||||||||
Shares redeemed | (23,406,501 | ) | (534,613,431 | ) | (1,902,056 | ) | (45,255,149 | ) | ||||||||
(23,377,508 | ) | (533,962,764 | ) | 854,697 | 19,881,456 | |||||||||||
Class R Shares | ||||||||||||||||
Shares sold | 22,758 | 456,667 | 24,324 | 566,994 | ||||||||||||
Reinvestment of distributions | — | — | 32,052 | 739,023 | ||||||||||||
Shares redeemed | (15,316 | ) | (307,775 | ) | (32,657 | ) | (758,976 | ) | ||||||||
7,442 | 148,892 | 23,719 | 547,041 | |||||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 185,830 | 3,996,906 | 583,073 | 13,965,548 | ||||||||||||
Reinvestment of distributions | — | — | 781,031 | 18,493,945 | ||||||||||||
Shares redeemed | (155,486 | ) | (3,271,660 | ) | (472,272 | ) | (11,358,227 | ) | ||||||||
30,344 | 725,246 | 891,832 | 21,101,266 | |||||||||||||
NET INCREASE (DECREASE) | (23,554,665 | ) | $ | (537,444,605 | ) | 2,099,866 | $ | 49,419,130 |
31
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
The Goldman Sachs Dynamic Global Equity Fund (the “Fund”) is an investment portfolio of Goldman Sachs Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Fund at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Fund.
The Management Agreement was most recently approved for continuation until June 30, 2023 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 14-15, 2022 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held two meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to the Fund, such matters included:
(a) | the nature and quality of the advisory, administrative, and other services provided to the Fund and the underlying funds in which it invests (the “Underlying Funds”) by the Investment Adviser and its affiliates, including information about: |
(i) | the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams; |
(ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training); |
(iii) | trends in employee headcount; |
(iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
(v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
(b) | information on the investment performance of the Fund and the Underlying Funds, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), and a benchmark performance index; and information on general investment outlooks in the markets in which the Fund and the Underlying Funds invest; |
(c) | information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Fund’s peer group and/or benchmark index had high, medium, or low relevance given the Fund’s particular investment strategy; |
(d) | the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund; |
(e) | fee and expense information for the Fund, including: |
(i) | the relative management fee and expense levels of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; |
(ii) | the Fund’s expense trends over time; and |
(iii) | to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
(f) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; |
(g) | the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations with respect to the Fund and the Underlying Funds; |
(h) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund to the Investment Adviser and its affiliates; |
(i) | whether the Fund’s existing management fee schedule, together with the management fee schedules of the Underlying Funds, adequately addressed any economies of scale; |
32
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
(j) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund and/or the Underlying Funds, including the fees received by the Investment Adviser’s affiliates from the Fund and/or the Underlying Funds for transfer agency, securities lending, portfolio trading, distribution and other services; |
(k) | a summary of potential benefits derived by the Fund and/or the Underlying Funds as a result of their relationship with the Investment Adviser; |
(l) | information regarding commissions paid by the Fund and the Underlying Equity Funds and broker oversight, an update on the Investment Adviser’s soft dollars practices, other information regarding portfolio trading, and how the Investment Adviser carries out its duty to seek best execution; |
(m) | portfolio manager ownership of Fund shares; the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers; |
(n) | the nature and quality of the services provided to the Fund and the Underlying Funds by their unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and |
(o) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports. |
The Trustees also received an overview of the Fund’s distribution arrangements. They received information regarding the Fund’s assets, share purchase and redemption activity, and payment of distribution, service, and shareholder administration fees. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Fund and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Fund. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Fund and the Underlying Funds by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the market, regulatory and control environment in which the Fund and the Underlying Funds and their service providers operate, including developments associated with the COVID-19 pandemic, geopolitical events, and economic sanctions, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees also considered information regarding the Investment Adviser’s business continuity planning and remote operations capabilities. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Fund and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Fund, the Underlying Funds, and the Investment Adviser and its affiliates.
33
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Investment Performance
The Trustees also considered the investment performance of the Fund and the Underlying Funds. In this regard, they compared the investment performance of the Fund to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2021, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2022. The information on the Fund’s investment performance was provided for the one-, three-, five-, and ten-year periods ending on the applicable dates. The Trustees also reviewed the Fund’s investment performance relative to its performance benchmark. As part of this review, they considered the investment performance trends of the Fund over time, and reviewed the investment performance of the Fund in light of its investment objective and policies and market conditions.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Fund’s and Underlying Funds’ risk profiles, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management. They noted the efforts of the portfolio management teams of certain Underlying Funds to continue to enhance the investment models used in managing the Underlying Funds.
The Trustees observed that the Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the one-, three-, five-, and ten-year periods, and had outperformed the Fund’s benchmark index for the ten-year period and underperformed for the one-, three-, and five-year periods ended March 31, 2022. They noted that in February 2019, the Fund had been repositioned from the Equity Growth Strategy Portfolio, which involved changes to the Fund’s investment strategies.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by the Fund thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Fund, which included both advisory and administrative services that were directed to the needs and operations of the Fund as a registered mutual fund.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Fund. The analyses provided a comparison of the Fund’s management fee to those of a relevant peer group and category universe; an expense analysis which compared the Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing the Fund’s net expenses to the peer and category medians. The analyses also compared the Fund’s other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Fund.
In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations with respect to the Fund and the Underlying Funds. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Fund, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Fund differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.
In addition, the Trustees noted that shareholders are able to redeem their shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Profitability
The Trustees reviewed the Fund’s contribution to the Investment Adviser’s revenues and pre-tax profit margins. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization periodically audits the expense allocation methodology and that the internal audit group was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology. Profitability data for the Fund was provided for 2021 and 2020, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability.
34
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Economies of Scale
The Trustees considered the information that had been provided regarding whether there have been economies of scale with respect to the management of the Fund.
The Trustees noted that, although the Fund itself does not have breakpoints in its management fee schedules, any benefits of the breakpoints in the management fee schedules of certain Underlying Funds, when reached, would pass through to the shareholders in the Fund at the specified asset levels. The Trustees considered the amounts of assets in the Fund; the Fund’s recent purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and the profits realized by them; information comparing the fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer groups; and the Investment Adviser’s undertaking to limit certain expenses of the Fund and Underlying Funds that exceed specified levels. They also considered the services provided to the Fund under the Management Agreement and the fees and expenses borne by the Underlying Funds and considered the Investment Adviser’s finding that the management fees payable by the Fund were not duplicative of the management fees paid at the Underlying Fund level.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund and/or the Underlying Funds as stated above, including: (a) transfer agency fees received by Goldman Sachs & Co. LLC (“Goldman Sachs”); (b) brokerage and futures commissions earned by Goldman Sachs for executing securities and futures transactions on behalf of the Fund and/or the Underlying Funds; (c) research received by the Investment Adviser from broker-dealers in exchange for executing certain transactions on behalf of the Fund and/or the Underlying Funds; (d) trading efficiencies resulting from aggregation of orders of the Fund and/or the Underlying Funds with those for other funds or accounts managed by the Investment Adviser; (e) fees earned by Goldman Sachs Agency Lending (“GSAL”), an affiliate of the Investment Adviser, as securities lending agent for certain Underlying Funds (and fees earned by the Investment Adviser for managing the fund in which those Underlying Funds’ cash collateral is invested); (f) the Investment Adviser’s ability to leverage the infrastructure designed to service the Fund and the Underlying Funds on behalf of its other clients; (g) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (h) Goldman Sachs’ retention of certain fees as Fund Distributor; (i) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Fund and Underlying Funds; (j) 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; (k) the 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 (l) the possibility that the working relationship between the Investment Adviser and the Fund’s and Underlying Funds’ third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
Other Benefits to the Fund and Its Shareholders
The Trustees also noted that the Fund and/or the Underlying Funds receive certain other potential benefits as a result of their relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Fund and/or the Underlying Funds with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors due to the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers due to the volume of business generated by the Investment Adviser and its affiliates; (d) with respect to the Fund and certain Underlying Funds, the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties as a result of the size and reputation of the Goldman Sachs organization; (e) the advantages received from the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Fund and the Underlying Funds because of the reputation of the Goldman Sachs organization; (g) the Fund’s and Underlying Funds’ access, through the Investment Adviser, to certain firm-wide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; (h) with respect to certain Underlying Funds, the ability to participate in the securities lending program administered by GSAL, as measured by the revenue received by the Underlying Funds in connection with the program; and (i) the Fund’s and Underlying Funds’ access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Fund’s shareholders invested in the Fund in part because of the Fund’s relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
35
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by the Fund were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and the Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit the Fund and its shareholders and that the Management Agreement should be approved and continued with respect to the Fund until June 30, 2023.
36
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Liquidity Risk Management Program (Unaudited)
The Fund has adopted and implemented a liquidity risk management program (the “Program”) in accordance with Rule 22e-4 under the 1940 Act. The Program seeks to assess and manage the Fund’s liquidity risk, i.e., the risk that a Fund is unable to satisfy redemption requests without significantly diluting remaining investors’ interests in the Fund. The Board of Trustees of the Trust has designated GSAM, the Fund’s investment adviser, to administer the Program. Certain aspects of the Program rely on third parties to perform certain functions, including the provision of market data and application of models.
The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Fund’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of a Fund’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under Rule 22e-4); (4) for a Fund that does not invest primarily in “highly liquid investments” (as defined under Rule 22e-4), the determination of a minimum percentage of the Fund’s assets that will generally be invested in highly liquid investments (a “Highly Liquid Investment Minimum”); and (5) periodic reporting to the Board of Trustees.
At a meeting of the Board of Trustees on February 8-9, 2022, GSAM provided a written report to the Board addressing the operation, and the adequacy and effectiveness of the implementation, of the Program, including, as applicable, the operation of any Highly Liquid Investment Minimum and any material changes to the Program, for the period from January 1, 2021 through December 31, 2021 (the “Reporting Period”). Among other things, the annual report discussed: (1) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions; (2) an assessment of the methodologies used to classify investments into one of four liquidity categories; and (3) the impact of local holidays in non-U.S. jurisdictions. The report concluded that the Program continues to be reasonably designed to assess and manage liquidity risk and was adequately and effectively implemented during the Reporting Period.
There can be no assurance that the Program will achieve its objectives under all circumstances in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which it may be subject.
37
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Impact of Russian Invasion of Ukraine (Unaudited)
The Russian invasion of Ukraine has negatively affected the global economy and has resulted in significant disruptions in financial markets and increased macroeconomic uncertainty. In addition, governments around the world have responded to Russia’s invasion by imposing economic sanctions and export controls on certain industry sectors, companies and individuals in or associated with Russia. Russia has imposed its own restrictions against investors and countries outside Russia and has proposed additional measures aimed at non-Russian-owned businesses. Businesses in the U.S. and globally have experienced shortages in materials and increased costs for transportation, energy and raw materials due, in part, to the negative effects of the war on the global economy. The escalation or continuation of the war between Russia and Ukraine or other hostilities presents heightened risks relating to cyber-attacks, the frequency and volume of failures to settle securities transactions, supply chain disruptions, inflation, as well as the potential for increased volatility in commodity, currency and other financial markets. The extent and duration of the war, sanctions and resulting market disruptions, as well as the potential adverse consequences for the Fund’s operations are difficult to predict.
38
GOLDMAN SACHS DYNAMIC GLOBAL EQUITY FUND
Fund Expenses — Six Months Period Ended June 30, 2022 (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 January 1, 2022 through June 30, 2022 which represents a period of 181 days of a 365 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the 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 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid for the 6 months ended 6/30/22* | |||||||||
Class A | ||||||||||||
Actual | $ | 1,000.00 | $ | 795.60 | $ | 2.54 | ||||||
Hypothetical 5% return | 1,000.00 | 1,021.97 | + | 2.86 | ||||||||
Class C | ||||||||||||
Actual | 1,000.00 | 792.60 | 5.87 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,018.25 | 6.61 | |||||||||
Institutional | ||||||||||||
Actual | 1,000.00 | 796.80 | 0.89 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,023.80 | + | 1.00 | ||||||||
Service | ||||||||||||
Actual | 1,000.00 | 795.00 | 3.07 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,021.37 | + | 3.46 | ||||||||
Investor | ||||||||||||
Actual | 1,000.00 | 796.30 | 1.43 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,023.21 | + | 1.61 | ||||||||
Class R6 | ||||||||||||
Actual | 1,000.00 | 796.90 | 0.80 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,023.90 | + | 0.90 | ||||||||
Class R | ||||||||||||
Actual | 1,000.00 | 794.80 | 3.65 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,020.73 | + | 4.11 | ||||||||
Class P | ||||||||||||
Actual | 1,000.00 | 797.00 | 0.85 | |||||||||
Hypothetical 5% return | 1,000.00 | 1,023.85 | 0.95 |
* | Expenses for each share class are calculated using the Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended June 30, 2022. 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 the Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
Fund | Class A | Class C | Institutional | Service | Investor | Class R6 | Class R | Class P | ||||||||||||||||||||||||
Dynamic Global Equity | 0.57 | % | 1.32 | % | 0.20 | % | 0.69 | % | 0.32 | % | 0.18 | % | 0.82 | % | 0.19 | % |
39
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 Asset Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $2.27 trillion in assets under supervision as of June 30, 2022, Goldman Sachs Asset Management 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. Goldman Sachs Asset Management 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 |
∎ | Short-Term Conservative Income Fund |
∎ | Short Duration Government Fund |
∎ | Short Duration Bond Fund4 |
∎ | Government Income Fund |
∎ | Inflation Protected Securities Fund |
Multi-Sector
∎ | Bond Fund |
∎ | Core Fixed Income Fund |
∎ | Global Core Fixed Income Fund |
∎ | Strategic Income Fund |
∎ | Income Fund |
Municipal and Tax-Free
∎ | High Yield Municipal Fund |
∎ | Dynamic Municipal Income Fund |
∎ | Short Duration Tax-Free Fund |
∎ | Municipal Income Completion Fund |
Single Sector
∎ | Investment Grade Credit Fund |
∎ | U.S. Mortgages Fund |
∎ | High Yield Fund |
∎ | High Yield Floating Rate Fund |
∎ | Emerging Markets Debt Fund |
∎ | Local Emerging Markets Debt Fund |
Fixed Income Alternatives
∎ | Long Short Credit Strategies Fund |
Fundamental Equity
∎ | Equity Income Fund |
∎ | Small Cap Growth Fund |
∎ | Small Cap Value Fund |
∎ | Small/Mid Cap Value Fund |
∎ | Mid Cap Value Fund |
∎ | Large Cap Value Fund |
∎ | Focused Value Fund |
∎ | Large Cap Core Fund5 |
∎ | Strategic Growth Fund |
∎ | Small/Mid Cap Growth Fund |
∎ | Flexible Cap Fund |
∎ | Concentrated Growth Fund |
∎ | Technology Opportunities Fund |
∎ | Mid Cap Growth Fund6 |
∎ | Rising Dividend Growth Fund |
∎ | U.S. Equity ESG Fund |
∎ | Income Builder Fund |
Tax-Advantaged Equity
∎ | U.S. Tax-Managed Equity Fund |
∎ | International Tax-Managed Equity Fund |
∎ | U.S. Equity Dividend and Premium Fund |
∎ | International Equity Dividend and Premium Fund |
Equity Insights
∎ | Small Cap Equity Insights Fund |
∎ | U.S. Equity Insights Fund |
∎ | Small Cap Growth Insights Fund |
∎ | Large Cap Growth Insights Fund |
∎ | Large Cap Value Insights Fund |
∎ | Small Cap Value Insights Fund |
∎ | International Small Cap Insights Fund |
∎ | International Equity Insights Fund |
∎ | Emerging Markets Equity Insights Fund |
Fundamental Equity International
∎ | International Equity Income Fund |
∎ | International Equity ESG Fund |
∎ | China Equity Fund |
∎ | Emerging Markets Equity Fund |
∎ | ESG Emerging Markets Equity Fund |
Alternative
∎ | Clean Energy Income Fund |
∎ | Defensive Equity Fund |
∎ | Real Estate Securities Fund |
∎ | Commodity Strategy Fund |
∎ | Global Real Estate Securities Fund |
∎ | Absolute Return Tracker Fund |
∎ | Managed Futures Strategy Fund |
∎ | MLP Energy Infrastructure Fund |
∎ | Energy Infrastructure Fund |
∎ | Multi-Manager Alternatives 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 |
∎ | Strategic Volatility Premium 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 July 29, 2021, the Goldman Sachs Short Duration Income Fund was renamed the Goldman Sachs Short Duration Bond Fund. |
5 | Effective after the close of business on April 13, 2022, the Goldman Sachs Capital Growth Fund was renamed the Goldman Sachs Large Cap Core Fund. |
6 | Effective after the close of business on April 13, 2022, the Goldman Sachs Growth Opportunities Fund was renamed the Goldman Sachs Mid Cap Growth 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 John G. Chou Diana M. Daniels Joaquin Delgado Eileen H. Dowling James A. McNamara Gregory G. Weaver Paul C. Wirth | 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 June 30, 2022 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).
© 2022 Goldman Sachs. All rights reserved. 287739-OTU-1652721 DYNGLEQSAR-22
Goldman Sachs Funds
Semi-Annual Report | June 30, 2022 | |||
Real Estate Securities and Global Infrastructure Funds | ||||
Global Infrastructure Fund | ||||
Global Real Estate Securities | ||||
Real Estate Securities |
Goldman Sachs Real Estate Securities and Global Infrastructure Funds
∎ | GLOBAL INFRASTRUCTURE FUND |
∎ | GLOBAL REAL ESTATE SECURITIES |
∎ | REAL ESTATE SECURITIES |
1 | ||||
3 | ||||
9 | ||||
14 | ||||
18 | ||||
18 | ||||
25 | ||||
32 | ||||
40 | ||||
63 |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee |
Real Estate Securities and Global Infrastructure Funds
The following are highlights both of key factors affecting the real estate securities and infrastructure securities markets and of any key changes made to the Goldman Sachs Real Estate Securities Funds or Goldman Sachs Global Infrastructure Fund (the “Funds”) during the six months ended June 30, 2022 (the “Reporting Period”). A fuller review will appear in the Funds’ annual shareholder report covering the 12 months ended December 31, 2022.
Market and Economic Review
Global Infrastructure Securities
• | Global infrastructure securities, as measured by the Dow Jones Brookfield Global Infrastructure Index (Net, USD, Unhedged), returned -4.14% during the Reporting Period overall amid widespread volatility and falling global equity prices. |
• | Still, global infrastructure securities outperformed both the global equity and global fixed income markets. |
• | These results were attributable, in the view of the Goldman Sachs Global Infrastructure Team, to the attractive yield offered by the asset class, its improved growth prospects, its potential inflation hedging-benefits and its status as a beneficiary of government fiscal spending. |
• | There was a wide dispersion of returns across companies and infrastructure types during the Reporting Period. |
• | Among market sectors, energy infrastructure was the strongest performer and the only sector to record positive absolute returns, benefiting from high crude oil prices. |
• | The weakest performing sector was communications infrastructure, which was hurt by the broad weakness of information technology stocks. |
• | In the first quarter of 2022, when the Reporting Period started, global infrastructure securities retreated along with the broad global equity market, as investors dramatically revised their expectations about Fed policy action. |
• | Amid elevated and persistent inflation pressures, the Fed was widely expected to take a more aggressive interest rate hike path. Indeed, in March 2022, Fed officials raised short-term interest rates for the first time since the end of 2018. |
• | The markets also seemed to believe that the Fed, which was planning to reduce the size of its balance sheet, would take a more aggressive approach than previously anticipated. |
• | In the second calendar quarter, global infrastructure securities remained under pressure. Global equities faced multiple headwinds, including an ongoing geopolitical crisis caused by Russia’s invasion of Ukraine in late February and the imposition of trade restrictions on Russia; continued Fed rate hikes; the Fed’s balance sheet run-off, which started on June 1, 2022; the spread of new COVID-19 variants; and the slowdown of credit growth in China. |
• | Investors awaited second calendar quarter earnings season with some caution as input price pressures and consumption trends suggested the potential of downward revisions to earnings estimates. |
Sector and subsector allocations are defined by Goldman Sachs Asset Management and may differ from sector allocations used by the Dow Jones Brookfield Global Infrastructure Index.
Real Estate Securities
• | Representing the global real estate securities market, the FTSE EPRA Nareit Developed Index (Net, USD, Unhedged) (the “FTSE Index”) returned -20.65% for the Reporting Period. The Wilshire U.S. Real Estate Securities Index (with dividends reinvested) (the “Wilshire Index”), representing the U.S. real estate securities market, returned -21.65% for the Reporting Period. |
• | For the Reporting Period as a whole, the global real estate securities market underperformed bonds, as measured by the -13.91% return of the Bloomberg Global Aggregate Bond Index and performed in line with the broader global equity market, as measured by the -20.18% return of the MSCI All Country World Index (net). |
• | The weak performance of global real estate investment trusts (“REITs”) may be attributed to concerns, which we believe were overstated, around rising interest rates. |
• | Still, there was wide dispersion of returns across companies and property types during the Reporting Period. |
1
MARKET REVIEW
• | Within the global real estate securities market: |
• | The hotel REIT subsector was the top performer, driven by a robust resurgence in demand for vacations and leisure travel following two years of COVID-19-induced lockdowns and stay-at-home orders. |
• | The industrial REIT subsector was weakest, negatively affected during the Reporting Period by persistent supply-chain disruptions. The subsector also came under pressure after Amazon.com announced a plan to slow warehouse expansion due to excess capacity concerns. |
• | Within the U.S. real estate securities market: |
• | The health care REIT subsector was the top performer, benefiting from the more value-oriented segments of the subsector, which proved to be resilient. |
• | The retail REIT subsector was weakest, driven by concerns around inflation and rising costs. |
• | During the first quarter of 2022, the global and U.S. real estate securities markets outperformed the broader global and U.S. equity markets, respectively, though these months were marked by widespread volatility and low equity returns. |
• | Among the major economic and geopolitical developments of the first quarter was the dramatic repricing of the U.S. Federal Reserve (“Fed”) interest rate hike path. Expectations for a more aggressive balance sheet runoff phase were accelerated due to concerns about elevated and persistent inflation pressures. |
• | Across both the global and U.S. real estate securities markets, health care REITs performed best, given their defensive and value tilt. Technology REITs lagged most, giving way to the rotation away from more growth-oriented names during the quarter. |
• | During the second quarter of 2022, the global and U.S. real estate securities markets underperformed their respective broad equity markets, as a risk-off, or heightened risk aversion, atmosphere seemed to pervade. |
• | Inflation, the U.S. Fed’s policy response and recession worries remained at the core of narratives during the quarter, resulting in a broad sell-off. |
• | In both the global and U.S. real estate securities markets, the technology REIT subsector performed best, although still reporting negative returns. Office REITs were weakest, driven by rising interest rate concerns. |
• | At the end of the Reporting Period, we remained constructive on REITs based on the asset class delivering an attractive yield, improved growth prospects, hedging benefits against rising inflation and corporate taxes (since REITs are exempt from corporate taxes) and being the beneficiary of government fiscal spending. |
Sector and subsector allocations throughout this shareholder report are defined by Goldman Sachs Asset Management and may differ from sector and subsector allocations used by the FTSE Index and/or Wilshire Index.
Fund Changes and Highlights
Goldman Sachs International Real Estate Securities Fund
• | Effective April 8, 2022, the Fund was reorganized with and into the Goldman Sachs Global Real Estate Securities Fund. |
• | The reorganization was recommended by the Funds’ investment adviser, Goldman Sachs Asset Management, L.P., because it believes the reorganization: (i) would consolidate Funds that have the same investment objectives and similar investment strategies (albeit with some notable differences); (ii) may provide enhanced opportunities to realize greater efficienices in the form of lower total operating expenses over time; and (iii) would enable the combined Fund to be better positioned for asset growth. |
• | The Board of Trustees of the Goldman Sachs Trust, after careful consideration, unanimously approved the reorganization plan. The Board concluded that: (i) the reorganization is in the best interests of each Fund; and (ii) the interests of the shareholders of each Fund would not be diluted as a result of the reorganization. |
• | For more details on the reorganization, please see the Goldman Sachs Trust prospectus supplement dated December 17, 2021 to the Prospectus and Summary Prospectuses, each dated April 30, 2021. |
2
Global Infrastructure Fund
as of June 30, 2022
PERFORMANCE REVIEW |
| |||||||||
January 1, 2022–June 30, 2022 | Fund Total Return (based on NAV)1 | Dow Jones Brookfield Global Infrastructure Index (Net, USD, Unhedged)2 | ||||||||
Class A | -5.40 | % | -4.14 | % | ||||||
Class C | -5.70 | -4.14 | ||||||||
Institutional | -5.16 | -4.14 | ||||||||
Investor | -5.28 | -4.14 | ||||||||
Class R6 | -5.17 | -4.14 | ||||||||
Class R | -5.52 | -4.14 | ||||||||
Class P | -5.25 | -4.14 |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The Dow Jones Brookfield Global Infrastructure Index (Net, USD, Unhedged) intends to measure the stock performance of pure-play infrastructure companies domiciled globally. The index covers all sectors of the infrastructure market. Components are required to have more than 70% of cash flows derived from infrastructure lines of business. It is not possible to invest directly in an index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
TOP 10 HOLDINGS AS OF 6/30/223 |
Holding | % of Net Assets | Line of Business | Country | |||||||
American Tower Corp. | 11.2 | % | Equity Real Estate Investment Trusts | United States | ||||||
Enbridge, Inc. | 6.3 | Oil, Gas & Consumable Fuels | Canada | |||||||
National Grid PLC | 5.3 | Multi-Utilities | United Kingdom | |||||||
Vinci SA | 5.1 | Construction & Engineering | France | |||||||
Crown Castle International Corp. | 4.5 | Equity Real Estate Investment Trusts | United States | |||||||
Cheniere Energy, Inc. | 4.1 | Oil, Gas & Consumable Fuels | United States | |||||||
Transurban Group | 3.6 | Transportation Infrastructure | Australia | |||||||
SBA Communications Corp. | 3.5 | Equity Real Estate Investment Trusts | United States | |||||||
Sempra Energy | 3.5 | Multi-Utilities | United States | |||||||
Cellnex Telecom SA | 3.4 | Diversified Telecommunication Services | Spain |
3 | The top 10 holdings may not be representative of the Fund’s future investments. |
3
FUND BASICS
FUND VS. BENCHMARK SECTOR ALLOCATION4 | ||||
As of June 30, 2022 |
4 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from the percentages contained in the graph above. The graph categorizes investments using the Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). 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.
4
Global Real Estate Securities Fund
as of June 30, 2022
PERFORMANCE REVIEW |
| |||||||||
January 1, 2022–June 30, 2022 | Fund Total Return (based on NAV)1 | FTSE EPRA Nareit Developed Index (Net, USD, Unhedged)2 | ||||||||
Class A | -21.71 | % | -20.65 | % | ||||||
Class C | -22.01 | -20.65 | ||||||||
Institutional | -21.59 | -20.65 | ||||||||
Investor | -21.60 | -20.65 | ||||||||
Class R6 | -21.62 | -20.65 | ||||||||
Class R | -21.77 | -20.65 | ||||||||
Class P | -21.56 | -20.65 |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The FTSE EPRA Nareit Developed Index (Net, USD, Unhedged) is designed to track the performance of listed real estate companies and REITs worldwide. By making the index constituents free-float adjusted, liquidity, size and revenue screened, the series is suitable for use as the basis for investment products, such as derivatives and Exchange Traded Funds (ETFs). The figures do not reflect any fees or expenses. It is not possible to invest directly in an index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
TOP TEN HOLDINGS AS OF 6/30/223 | ||||||||||
Holding | % of Net Assets | Line of Business | Country | |||||||
Public Storage REIT | 4.6 | % | Real Estate | United States | ||||||
Prologis, Inc. REIT | 4.3 | Real Estate | United States | |||||||
Equinix, Inc. REIT | 3.2 | Real Estate | United States | |||||||
Digital Realty Trust, Inc. REIT | 3.2 | Real Estate | United States | |||||||
Welltower, Inc. REIT | 2.8 | Real Estate | United States | |||||||
Vonovia SE | 2.8 | Real Estate | Germany | |||||||
AvalonBay Communities, Inc. REIT | 2.8 | Real Estate | United States | |||||||
Invitation Homes, Inc. REIT | 2.6 | Real Estate | United States | |||||||
Equity Residential REIT | 2.5 | Real Estate | United States | |||||||
Alexandria Real Estate Equities, Inc. REIT | 2.5 | Real Estate | United States |
3 | The top 10 holdings may not be representative of the Fund’s future investments. |
5
FUND BASICS
FUND VS. BENCHMARK COUNTRY ALLOCATION4 |
As of June 30, 2022 |
4 | 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. The above graph excludes investments in the Goldman Sachs Financial Square Government Fund — Institutional Shares, which represents 2.1% of the Fund’s net assets at June 30, 2022. |
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
FUND BASICS
Real Estate Securities Fund
as of June 30, 2022
PERFORMANCE REVIEW |
| |||||||||
January 1, 2022–June 30, 2022 | Fund Total Return (based on NAV)1 | Wilshire U.S. Real Estate Securities Index2 | ||||||||
Class A | -21.80 | % | -21.65 | % | ||||||
Class C | -22.06 | -21.65 | ||||||||
Institutional | -21.68 | -21.65 | ||||||||
Service | 21.83 | -21.65 | ||||||||
Investor | -21.70 | -21.65 | ||||||||
Class R6 | -21.67 | -21.65 | ||||||||
Class R | -21.87 | -21.65 | ||||||||
Class P | -21.69 | -21.65 |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The Wilshire U.S. Real Estate Securities Index is an unmanaged market capitalization-weighted index comprised of publicly traded REITs and real estate operating companies. The figures do not reflect any fees or expenses. It is not possible to invest directly in an index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
TOP TEN HOLDINGS AS OF 6/30/223 | ||||||||||
Holding | % of Net Assets | Line of Business | Country | |||||||
Prologis, Inc. REIT | 8.9 | % | Industrial | United States | ||||||
Public Storage REIT | 7.8 | Specialized | United States | |||||||
Equinix, Inc. REIT | 7.8 | Specialized | United States | |||||||
Welltower, Inc. REIT | 4.9 | Health Care | United States | |||||||
Digital Realty Trust, Inc. REIT | 4.8 | Specialized | United States | |||||||
AvalonBay Communities, Inc. REIT | 4.4 | Residential | United States | |||||||
Duke Realty Corp. REIT | 3.8 | Industrial | United States | |||||||
Alexandria Real Estate Equities, Inc. REIT | 3.7 | Office | United States | |||||||
Invitation Homes, Inc. REIT | 3.7 | Residential | United States | |||||||
Equity Residential REIT | 3.5 | Residential | United States |
3 | The top 10 holdings may not be representative of the Fund’s future investments. |
7
FUND BASICS
FUND VS. BENCHMARK SECTOR ALLOCATION4 |
As of June 30, 2022 |
4 | 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. The above graph excludes the investments in the securities lending reinvestment vehicle represented 0.3% of the Fund’s net assets at June 30, 2022. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
8
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
June 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 102.8% | ||||||||
Australia – 4.9% | ||||||||
457,696 | APA Group (Gas Utilities) | $ | 3,564,432 | |||||
956,421 | Transurban Group (Transportation Infrastructure) | 9,515,729 | ||||||
|
| |||||||
13,080,161 | ||||||||
|
| |||||||
Canada – 15.5% | ||||||||
392,189 | Enbridge, Inc. (Oil, Gas & Consumable Fuels) | 16,562,612 | ||||||
61,144 | Fortis, Inc. (Electric Utilities) | 2,890,470 | ||||||
123,838 | Keyera Corp. (Oil, Gas & Consumable Fuels) | 2,828,494 | ||||||
87,023 | Northland Power, Inc. (Independent Power and Renewable Electricity Producers) | 2,590,678 | ||||||
217,161 | Pembina Pipeline Corp. (Oil, Gas & Consumable Fuels) | 7,676,216 | ||||||
161,262 | TC Energy Corp. (Oil, Gas & Consumable Fuels) | 8,353,752 | ||||||
|
| |||||||
40,902,222 | ||||||||
|
| |||||||
China – 2.9% | ||||||||
279,200 | ENN Energy Holdings Ltd. (Gas Utilities) | 4,614,819 | ||||||
1,126,000 | Guangdong Investment Ltd. (Water Utilities) | 1,190,218 | ||||||
2,190,000 | Kunlun Energy Co. Ltd. (Gas Utilities) | 1,795,907 | ||||||
|
| |||||||
7,600,944 | ||||||||
|
| |||||||
France – 7.9% | ||||||||
166,500 | Engie SA (Multi-Utilities) | 1,927,898 | ||||||
156,269 | Getlink SE (Transportation Infrastructure) | 2,771,485 | ||||||
106,906 | Veolia Environnement SA (Multi-Utilities)* | 2,620,622 | ||||||
151,337 | Vinci SA (Construction & Engineering) | 13,584,243 | ||||||
|
| |||||||
20,904,248 | ||||||||
|
| |||||||
Germany – 0.5% | ||||||||
40,620 | Vonovia SE (Real Estate Management & Development) | 1,256,803 | ||||||
|
| |||||||
Hong Kong – 0.7% | ||||||||
1,764,619 | Hong Kong & China Gas Co. Ltd. (Gas Utilities) | 1,904,405 | ||||||
|
| |||||||
Italy – 1.2% | ||||||||
358,618 | Enav SpA (Transportation Infrastructure)*(a) | 1,504,226 | ||||||
323,420 | Enel SpA (Electric Utilities) | 1,773,708 | ||||||
|
| |||||||
3,277,934 | ||||||||
|
| |||||||
Spain – 6.1% | ||||||||
28,852 | Aena SME SA (Transportation Infrastructure)*(a) | 3,681,546 | ||||||
230,931 | Cellnex Telecom SA (Diversified Telecommunication Services)*(a) | 8,987,423 | ||||||
322,997 | Iberdrola SA (Electric Utilities) | 3,362,857 | ||||||
|
| |||||||
16,031,826 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Thailand – 0.5% | ||||||||
698,500 | Airports of Thailand PCL (Transportation Infrastructure)* | 1,404,097 | ||||||
|
| |||||||
United Kingdom – 6.1% | ||||||||
7,139 | Linde PLC (Chemicals) | 2,052,677 | ||||||
1,095,952 | National Grid PLC (Multi-Utilities) | 14,084,012 | ||||||
|
| |||||||
16,136,689 | ||||||||
|
| |||||||
United States – 56.5% | ||||||||
115,599 | AES Corp. (The) (Independent Power and Renewable Electricity Producers) | 2,428,735 | ||||||
42,879 | Ameren Corp. (Multi-Utilities) | 3,874,546 | ||||||
115,810 | American Tower Corp. (Equity Real Estate Investment Trusts (REITs)) | 29,599,878 | ||||||
33,096 | American Water Works Co., Inc. (Water Utilities) | 4,923,692 | ||||||
73,229 | Archaea Energy, Inc. (Oil, Gas & Consumable Fuels)* | 1,137,246 | ||||||
46,026 | Atmos Energy Corp. (Gas Utilities) | 5,159,515 | ||||||
200,095 | CenterPoint Energy, Inc. (Multi-Utilities) | 5,918,810 | ||||||
82,038 | Cheniere Energy, Inc. (Oil, Gas & Consumable Fuels) | 10,913,515 | ||||||
67,090 | CMS Energy Corp. (Multi-Utilities) | 4,528,575 | ||||||
35,055 | Consolidated Edison, Inc. (Multi-Utilities) | 3,333,730 | ||||||
70,184 | Crown Castle International Corp. (Equity Real Estate Investment Trusts (REITs)) | 11,817,582 | ||||||
66,676 | Edison International (Electric Utilities) | 4,216,590 | ||||||
4,049 | Equinix, Inc. (Equity Real Estate Investment Trusts (REITs)) | 2,660,274 | ||||||
62,094 | Eversource Energy (Electric Utilities) | 5,245,080 | ||||||
222,520 | Kinder Morgan, Inc. (Oil, Gas & Consumable Fuels) | 3,729,435 | ||||||
3,969 | Martin Marietta Materials, Inc. (Construction Materials) | 1,187,684 | ||||||
18,342 | NextEra Energy Partners LP (Independent Power and Renewable Electricity Producers) | 1,360,243 | ||||||
55,736 | NextEra Energy, Inc. (Electric Utilities) | 4,317,311 | ||||||
80,478 | ONEOK, Inc. (Oil, Gas & Consumable Fuels) | 4,466,529 | ||||||
28,752 | SBA Communications Corp. (Equity Real Estate Investment Trusts (REITs)) | 9,202,078 | ||||||
60,850 | Sempra Energy (Multi-Utilities) | 9,143,930 | ||||||
114,305 | Targa Resources Corp. (Oil, Gas & Consumable Fuels) | 6,820,579 | ||||||
39,608 | WEC Energy Group, Inc. (Multi-Utilities) | 3,986,149 | ||||||
224,339 | Williams Cos., Inc. (The) (Oil, Gas & Consumable Fuels) | 7,001,620 | ||||||
38,528 | Xcel Energy, Inc. (Electric Utilities) | 2,726,241 | ||||||
|
| |||||||
149,699,567 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $231,686,272) | $ | 272,198,896 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Schedule of Investments (continued)
June 30, 2022 (Unaudited)
Shares | Dividend Rate | Value | ||||||
Investment Company – 1.0%(b) | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
2,747,452 | 1.367% | $ | 2,747,452 | |||||
(Cost $2,747,452) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 103.8% | ||||||||
(Cost $234,433,724) | $ | 274,946,348 | ||||||
|
| |||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS – (3.8)% | (10,188,025 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% | $ | 264,758,323 | ||||||
|
|
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: | ||
LP | — Limited Partnership | |
PLC | — Public Limited Company | |
REIT | — Real Estate Investment Trust | |
|
Sector | % of Total Market Value | |||
Utilities | 37.6 | % | ||
Energy | 25.3 | |||
Real Estate | 19.8 | |||
Industrials | 11.8 | |||
Communication Services | 3.3 | |||
Materials | 1.2 | |||
Investment Company | 1.0 | |||
| ||||
TOTAL INVESTMENTS | 100.0 | % | ||
|
10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
Schedule of Investments
June 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 102.2% | ||||||||
Australia – 3.7% | ||||||||
98,664 | Goodman Group REIT (Real Estate) | $ | 1,218,277 | |||||
608,663 | Ingenia Communities Group REIT (Real Estate) | 1,676,477 | ||||||
197,420 | NEXTDC Ltd. (Software & Services)* | 1,453,000 | ||||||
861,837 | Scentre Group REIT (Real Estate) | 1,547,471 | ||||||
207,221 | Stockland REIT (Real Estate) | 517,386 | ||||||
|
| |||||||
6,412,611 | ||||||||
|
| |||||||
Canada – 2.5% | ||||||||
45,736 | Canadian Apartment Properties REIT (Real Estate) | 1,592,517 | ||||||
173,005 | Chartwell Retirement Residences (Health Care Equipment & Services) | 1,498,606 | ||||||
21,325 | Granite Real Estate Investment Trust REIT (Real Estate) | 1,307,962 | ||||||
|
| |||||||
4,399,085 | ||||||||
|
| |||||||
China – 1.0% | ||||||||
1,407,928 | CIFI Holdings Group Co. Ltd. (Real Estate) | 709,707 | ||||||
393,000 | ESR Group Ltd. (Real Estate)*(a) | 1,065,680 | ||||||
|
| |||||||
1,775,387 | ||||||||
|
| |||||||
France – 1.4% | ||||||||
17,403 | Gecina SA REIT (Real Estate) | 1,633,272 | ||||||
41,417 | Klepierre SA REIT (Real Estate)* | 801,502 | ||||||
|
| |||||||
2,434,774 | ||||||||
|
| |||||||
Germany – 3.2% | ||||||||
57,618 | Instone Real Estate Group SE (Real Estate)(a) | 683,272 | ||||||
155,590 | Vonovia SE (Real Estate) | 4,814,031 | ||||||
|
| |||||||
5,497,303 | ||||||||
|
| |||||||
Hong Kong – 5.3% | ||||||||
416,500 | CK Asset Holdings Ltd. (Real Estate) | 2,959,365 | ||||||
656,000 | Fortune Real Estate Investment Trust REIT (Real Estate) | 544,148 | ||||||
424,200 | Hongkong Land Holdings Ltd. (Real Estate) | 2,130,389 | ||||||
67,100 | Link REIT (Real Estate) | 548,299 | ||||||
1,130,000 | Sino Land Co. Ltd. (Real Estate) | 1,668,644 | ||||||
523,200 | Swire Properties Ltd. (Real Estate) | 1,302,577 | ||||||
|
| |||||||
9,153,422 | ||||||||
|
| |||||||
Ireland – 0.5% | ||||||||
231,960 | Dalata Hotel Group PLC (Consumer Services)* | 844,712 | ||||||
|
| |||||||
Japan – 10.3% | ||||||||
1,002 | Comforia Residential REIT, Inc. REIT (Real Estate) | 2,478,835 | ||||||
1,679 | GLP J REIT (Real Estate) | 2,057,545 | ||||||
155 | Hoshino Resorts REIT, Inc. REIT (Real Estate) | 750,134 | ||||||
1,049 | Hulic REIT, Inc. REIT (Real Estate) | 1,237,329 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
2,308 | Japan Metropolitan Fund Invest REIT (Real Estate) | 1,798,337 | ||||||
155,600 | Mitsubishi Estate Co. Ltd. (Real Estate) | 2,255,165 | ||||||
450 | Mitsubishi Estate Logistics REIT Investment Corp. REIT (Real Estate) | 1,528,545 | ||||||
150,500 | Mitsui Fudosan Co. Ltd. (Real Estate) | 3,233,470 | ||||||
17,300 | Open House Group Co. Ltd. (Consumer Durables & Apparel) | 688,639 | ||||||
1,735 | United Urban Investment Corp. REIT (Real Estate) | 1,823,901 | ||||||
|
| |||||||
17,851,900 | ||||||||
|
| |||||||
Netherlands – 0.5% | ||||||||
83,279 | CTP NV (Real Estate)(a) | 958,668 | ||||||
|
| |||||||
Singapore – 3.0% | ||||||||
1,562,200 | Ascendas India Trust (Real Estate) | 1,316,502 | ||||||
963,900 | Ascendas Real Estate Investment Trust REIT (Real Estate) | 1,978,258 | ||||||
562,900 | Far East Hospitality Trust (Real Estate) | 260,118 | ||||||
2,886,009 | Lendlease Global Commercial REIT (Real Estate) | 1,652,985 | ||||||
|
| |||||||
5,207,863 | ||||||||
|
| |||||||
Spain – 1.6% | ||||||||
42,434 | Cellnex Telecom SA (Telecommunication Services)*(a) | 1,651,456 | ||||||
122,120 | Merlin Properties Socimi SA REIT (Real Estate) | 1,182,653 | ||||||
|
| |||||||
2,834,109 | ||||||||
|
| |||||||
Sweden – 0.9% | ||||||||
116,233 | Castellum AB (Real Estate)(b) | 1,498,388 | ||||||
|
| |||||||
United Kingdom – 5.2% | ||||||||
128,852 | Big Yellow Group PLC REIT (Real Estate) | 2,067,369 | ||||||
977,691 | Capital & Counties Properties PLC REIT (Real Estate) | 1,669,261 | ||||||
408,161 | LondonMetric Property PLC REIT (Real Estate) | 1,134,369 | ||||||
241,895 | Segro PLC REIT (Real Estate) | 2,887,688 | ||||||
105,104 | UNITE Group PLC (The) REIT (Real Estate) | 1,366,203 | ||||||
|
| |||||||
9,124,890 | ||||||||
|
| |||||||
United States – 63.1% | ||||||||
29,820 | Alexandria Real Estate Equities, Inc. REIT (Real Estate) | 4,324,795 | ||||||
7,701 | American Tower Corp. REIT (Real Estate) | 1,968,299 | ||||||
85,272 | Americold Realty Trust, Inc. REIT (Real Estate) | 2,561,571 | ||||||
24,709 | AvalonBay Communities, Inc. REIT (Real Estate) | 4,799,723 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
Schedule of Investments (continued)
June 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
United States – (continued) | ||||||||
17,181 | Camden Property Trust REIT (Real Estate) | $ | 2,310,501 | |||||
62,732 | Cousins Properties, Inc. REIT (Real Estate) | 1,833,656 | ||||||
92,716 | CubeSmart REIT (Real Estate) | 3,960,827 | ||||||
42,208 | Digital Realty Trust, Inc. REIT (Real Estate) | 5,479,865 | ||||||
152,273 | DigitalBridge Group, Inc. (Real Estate)* | 743,092 | ||||||
78,630 | Duke Realty Corp. REIT (Real Estate) | 4,320,718 | ||||||
20,343 | EastGroup Properties, Inc. REIT (Real Estate) | 3,139,535 | ||||||
8,544 | Equinix, Inc. REIT (Real Estate) | 5,613,579 | ||||||
47,472 | Equity LifeStyle Properties, Inc. REIT (Real Estate) | 3,345,352 | ||||||
60,550 | Equity Residential REIT (Real Estate) | 4,372,921 | ||||||
13,490 | Essex Property Trust, Inc. REIT (Real Estate) | 3,527,770 | ||||||
28,824 | Federal Realty Investment Trust REIT (Real Estate) | 2,759,610 | ||||||
67,052 | Healthcare Realty Trust, Inc. REIT (Real Estate) | 1,823,814 | ||||||
36,032 | Healthpeak Properties, Inc. REIT (Real Estate) | 933,589 | ||||||
44,741 | Hudson Pacific Properties, Inc. REIT (Real Estate) | 663,956 | ||||||
126,949 | Invitation Homes, Inc. REIT (Real Estate) | 4,516,845 | ||||||
36,136 | Kilroy Realty Corp. REIT (Real Estate) | 1,890,997 | ||||||
93,396 | Park Hotels & Resorts, Inc. REIT (Real Estate) | 1,267,384 | ||||||
62,843 | Prologis, Inc. REIT (Real Estate) | 7,393,479 | ||||||
25,744 | Public Storage REIT (Real Estate) | 8,049,376 | ||||||
34,149 | Realty Income Corp. REIT (Real Estate) | 2,331,011 | ||||||
56,374 | Regency Centers Corp. REIT (Real Estate) | 3,343,542 | ||||||
93,468 | RLJ Lodging Trust REIT (Real Estate) | 1,030,952 | ||||||
27,489 | Ryman Hospitality Properties, Inc. REIT (Real Estate)* | 2,089,989 | ||||||
2,919 | SBA Communications Corp. REIT (Real Estate) | 934,226 | ||||||
28,635 | Simon Property Group, Inc. REIT (Real Estate) | 2,718,034 | ||||||
35,524 | Terreno Realty Corp. REIT (Real Estate) | 1,979,752 | ||||||
80,969 | Ventas, Inc. REIT (Real Estate) | 4,164,236 | ||||||
119,728 | VICI Properties, Inc. REIT (Real Estate) | 3,566,697 | ||||||
58,683 | Welltower, Inc. REIT (Real Estate) | 4,832,545 | ||||||
66,226 | WeWork, Inc., Class A (Real Estate)*(b) | 332,455 | ||||||
10,846 | W.P. Carey, Inc. REIT (Real Estate) | 898,700 | ||||||
|
| |||||||
109,823,393 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $173,074,768) | $ | 177,816,505 | ||||||
|
| |||||||
Shares | Dividend Rate | Value | ||||||
Investment Company – 1.2%(c) | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
2,040,241 | 1.367% | $ | 2,040,241 | |||||
(Cost $2,040,241) | ||||||||
|
| |||||||
| TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | |||||||
(Cost $175,115,009) | $ | 179,856,746 | ||||||
|
| |||||||
Securities Lending Reinvestment Vehicle – 0.9%(c) | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
1,502,828 | 1.367% | $ | 1,502,828 | |||||
(Cost $1,502,828) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 104.3% | ||||||||
(Cost $176,617,837) | $ | 181,359,574 | ||||||
|
| |||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS – (4.3)% | (7,467,777 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% | $ | 173,891,797 | ||||||
|
|
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) | All or a portion of security is on loan. | |
(c) | Represents an affiliated issuer. |
| ||
Investment Abbreviations: | ||
PLC | — Public Limited Company | |
REIT | — Real Estate Investment Trust | |
|
Sector | % of Total Market Value | |||
Real Estate | 94.7 | % | ||
Investment Company | 1.1 | |||
Communication Services | 0.9 | |||
Consumer Discretionary | 0.9 | |||
Health Care | 0.8 | |||
Information Technology | 0.8 | |||
Securities Lending Reinvestment Vehicle | 0.8 | |||
| ||||
TOTAL INVESTMENTS | 100.0 | % | ||
|
12 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS REAL ESTATE SECURITIES FUND
Schedule of Investments
June 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 98.7% | ||||||||
Development – 0.3% | ||||||||
77,526 | WeWork, Inc., Class A*(a) | $ | 389,181 | |||||
|
| |||||||
Diversified – 0.6% | ||||||||
157,234 | DigitalBridge Group, Inc.* | 767,302 | ||||||
|
| |||||||
Health Care – 10.0% | ||||||||
62,818 | Healthcare Realty Trust, Inc. REIT | 1,708,650 | ||||||
54,157 | Healthpeak Properties, Inc. REIT | 1,403,208 | ||||||
74,403 | Ventas, Inc. REIT | 3,826,546 | ||||||
80,624 | Welltower, Inc. REIT | 6,639,386 | ||||||
|
| |||||||
13,577,790 | ||||||||
|
| |||||||
Hotel – 3.8% | ||||||||
117,558 | Park Hotels & Resorts, Inc. REIT | 1,595,262 | ||||||
122,418 | RLJ Lodging Trust REIT | 1,350,271 | ||||||
29,398 | Ryman Hospitality Properties, Inc. REIT* | 2,235,130 | ||||||
|
| |||||||
5,180,663 | ||||||||
|
| |||||||
Industrial – 18.3% | ||||||||
57,321 | Americold Realty Trust, Inc. REIT | 1,721,923 | ||||||
94,436 | Duke Realty Corp. REIT | 5,189,258 | ||||||
20,745 | EastGroup Properties, Inc. REIT | 3,201,576 | ||||||
103,070 | Prologis, Inc. REIT | 12,126,185 | ||||||
46,875 | Terreno Realty Corp. REIT | 2,612,344 | ||||||
|
| |||||||
24,851,286 | ||||||||
|
| |||||||
Office – 8.3% | ||||||||
34,915 | Alexandria Real Estate Equities, Inc. REIT | 5,063,722 | ||||||
92,500 | Cousins Properties, Inc. REIT | 2,703,775 | ||||||
33,790 | Hudson Pacific Properties, Inc. REIT | 501,444 | ||||||
55,883 | Kilroy Realty Corp. REIT | 2,924,357 | ||||||
|
| |||||||
11,193,298 | ||||||||
|
| |||||||
Residential – 20.9% | ||||||||
30,524 | AvalonBay Communities, Inc. REIT | 5,929,287 | ||||||
21,464 | Camden Property Trust REIT | 2,886,479 | ||||||
62,563 | Equity LifeStyle Properties, Inc. REIT | 4,408,815 | ||||||
65,396 | Equity Residential REIT | 4,722,899 | ||||||
16,514 | Essex Property Trust, Inc. REIT | 4,318,576 | ||||||
140,318 | Invitation Homes, Inc. REIT | 4,992,514 | ||||||
6,424 | Sun Communities, Inc. REIT | 1,023,729 | ||||||
|
| |||||||
28,282,299 | ||||||||
|
| |||||||
Retail – 7.3% | ||||||||
29,693 | Federal Realty Investment Trust REIT | 2,842,808 | ||||||
53,954 | Regency Centers Corp. REIT | 3,200,012 | ||||||
41,216 | Simon Property Group, Inc. REIT | 3,912,222 | ||||||
|
| |||||||
9,955,042 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Specialized – 29.2% | ||||||||
6,593 | American Tower Corp. REIT | 1,685,105 | ||||||
95,894 | CubeSmart REIT | 4,096,592 | ||||||
50,285 | Digital Realty Trust, Inc. REIT | 6,528,502 | ||||||
16,076 | Equinix, Inc. REIT | 10,562,253 | ||||||
11,645 | Extra Space Storage, Inc. REIT | 1,981,047 | ||||||
33,970 | Public Storage REIT | 10,621,400 | ||||||
4,524 | SBA Communications Corp. REIT | 1,447,906 | ||||||
91,752 | VICI Properties, Inc. REIT | 2,733,292 | ||||||
|
| |||||||
39,656,097 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $100,336,462) | $ | 133,852,958 | ||||||
|
| |||||||
Shares | Dividend Rate | Value | ||||||
Investment Company – 0.9%(b) | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
1,233,984 | 1.367% | $ | 1,233,984 | |||||
(Cost $1,233,984) | ||||||||
|
| |||||||
| TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | |||||||
(Cost $101,570,446) | $ | 135,086,942 | ||||||
|
| |||||||
Shares | Dividend Rate | Value | ||||||
Securities Lending Reinvestment Vehicle – 0.3%(b) | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
386,657 | 1.367% | $ | 386,657 | |||||
(Cost $386,657) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 99.9% | ||||||||
(Cost $101,957,103) | $ | 135,473,599 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.1% | 209,135 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 135,682,734 | ||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. | |
(b) | Represents an affiliated issuer. |
| ||
Investment Abbreviations: | ||
REIT | —Real Estate Investment Trust | |
|
The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Statements of Assets and Liabilities
June 30, 2022 (Unaudited)
Global Infrastructure Fund | Global Real Estate Securities Fund | Real Estate Securities Fund | ||||||||||||
Assets: | ||||||||||||||
Investments in unaffiliated issuers, at value (cost $231,686,272, $173,074,768 and $100,336,462, respectively)(a) | $ | 272,198,896 | $ | 177,816,505 | $ | 133,852,958 | ||||||||
Investments in affiliated issuers, at value (cost $2,747,452, $2,040,241 and $1,233,984, respectively) | 2,747,452 | 2,040,241 | 1,233,984 | |||||||||||
Investments in affiliated securities lending reinvestment vehicle, at value which equals cost | — | 1,502,828 | 386,657 | |||||||||||
Cash | — | 352,585 | 705,652 | |||||||||||
Foreign currency, at value (cost $66,334, $106,614 and $—, respectively) | 65,710 | 106,936 | — | |||||||||||
Receivables: | ||||||||||||||
Investments sold | 3,709,940 | 4,421,547 | — | |||||||||||
Dividends | 1,233,910 | 621,401 | 487,460 | |||||||||||
Fund shares sold | 694,004 | 1,277,000 | 3,268 | |||||||||||
Foreign tax reclaims | 115,178 | 160,142 | — | |||||||||||
Reimbursement from investment adviser | 12,916 | 26,411 | 30,114 | |||||||||||
Securities lending income | — | 1,684 | — | |||||||||||
Other assets | 49,841 | 36,190 | 58,495 | |||||||||||
Total assets | 280,827,847 | 188,363,470 | 136,758,588 | |||||||||||
Liabilities: | ||||||||||||||
Payables: | ||||||||||||||
Fund shares redeemed | 14,014,000 | 9,500,412 | 361,143 | |||||||||||
Due to custodian | 1,283,049 | — | — | |||||||||||
Investments purchased | 417,108 | 3,122,524 | 1,444 | |||||||||||
Management fees | 210,593 | 160,329 | 98,170 | |||||||||||
Distribution and Service fees and Transfer Agency fees | 8,217 | 6,146 | 15,065 | |||||||||||
Payable upon return of securities loaned | — | 1,502,828 | 386,657 | |||||||||||
Accrued expenses | 136,557 | 179,434 | 213,375 | |||||||||||
Total liabilities | 16,069,524 | 14,471,673 | 1,075,854 | |||||||||||
Net Assets: | ||||||||||||||
Paid-in capital | 231,267,868 | 177,284,824 | 96,690,496 | |||||||||||
Total distributable earnings (loss) | 33,490,455 | (3,393,027 | ) | 38,992,238 | ||||||||||
NET ASSETS | $ | 264,758,323 | $ | 173,891,797 | $ | 135,682,734 | ||||||||
Net Assets: | ||||||||||||||
Class A | $ | 1,852,281 | $ | 1,321,475 | $ | 17,054,914 | ||||||||
Class C | 507,357 | 58,575 | 1,199,446 | |||||||||||
Institutional | 17,121,907 | 4,819,294 | 28,166,800 | |||||||||||
Service | — | — | 335,609 | |||||||||||
Investor | 1,150,883 | 68,787 | 1,967,603 | |||||||||||
Class R6 | 136,238,904 | 90,356,308 | 2,787,966 | |||||||||||
Class R | 34,971 | 30,201 | 878,342 | |||||||||||
Class P | 107,852,020 | 77,237,157 | 83,292,054 | |||||||||||
Total Net Assets | $ | 264,758,323 | $ | 173,891,797 | $ | 135,682,734 | ||||||||
Shares outstanding $0.001 par value (unlimited number of shares authorized): | ||||||||||||||
Class A | 146,737 | 134,279 | 1,470,568 | |||||||||||
Class C | 40,529 | 6,001 | 111,625 | |||||||||||
Institutional | 1,353,724 | 489,674 | 2,308,495 | |||||||||||
Service | — | — | 28,591 | |||||||||||
Investor | 91,140 | 7,006 | 167,069 | |||||||||||
Class R6 | 10,795,959 | 9,196,160 | 228,561 | |||||||||||
Class R | 2,771 | 3,082 | 77,076 | |||||||||||
Class P | 8,552,121 | 7,867,293 | 6,830,522 | |||||||||||
Net asset value, offering and redemption price per share:(b) | ||||||||||||||
Class A | $12.62 | $9.84 | $11.60 | |||||||||||
Class C | 12.52 | 9.76 | 10.75 | |||||||||||
Institutional | 12.65 | 9.84 | 12.20 | |||||||||||
Service | — | — | 11.74 | |||||||||||
Investor | 12.63 | 9.82 | 11.78 | |||||||||||
Class R6 | 12.62 | 9.83 | 12.20 | |||||||||||
Class R | 12.62 | 9.80 | 11.40 | |||||||||||
Class P | 12.61 | 9.82 | 12.19 |
(a) | Includes loaned securities having a market value of $–, $1,368,723 and $369,718 for Global Infrastructure Fund, Global Real Estate Securities Fund and Real Estate Securities Fund, respectively. |
(b) | Maximum public offering price per share for Class A Shares is $ 13.35, $ 10.41 and $ 12.28 for Global Infrastructure Fund, Global Real Estate Securities Fund and Real Estate Securities Fund, respectively. Class C Shares may be subject to a contingent deferred sales charge, assessed on the amount equal to the lesser of the current net asset value (“NAV”) or the original purchase price of the shares. |
14 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Statements of Operations
For the Six Months Ended June 30, 2022 (Unaudited)
Global Infrastructure Fund | Global Real Estate Securities Fund | Real Estate Securities Fund | ||||||||||||
Investment income: | ||||||||||||||
Dividends — unaffiliated issuers (net of foreign withholding taxes of $296,358, $95,848 and $—) | $ | 4,563,692 | $ | 2,233,457 | $ | 1,515,077 | ||||||||
Dividends — affiliated issuers | 7,462 | 2,762 | 2,411 | |||||||||||
Securities lending income — affiliated issuer | — | 3,689 | 1,161 | |||||||||||
Total investment income | 4,571,154 | 2,239,908 | 1,518,649 | |||||||||||
Expenses: | ||||||||||||||
Management fees | 1,310,076 | 786,535 | 669,952 | |||||||||||
Registration fees | 50,135 | 55,286 | 54,020 | |||||||||||
Professional fees | 49,296 | 45,456 | 38,757 | |||||||||||
Transfer Agency fees(a) | 45,964 | 25,898 | 40,883 | |||||||||||
Custody, accounting and administrative services | 32,068 | 57,700 | 50,050 | |||||||||||
Printing and mailing costs | 23,780 | 9,317 | 23,818 | |||||||||||
Trustee fees | 10,039 | 10,478 | 12,194 | |||||||||||
Distribution and/or Service (12b-1) fees(a) | 3,940 | 1,000 | 33,155 | |||||||||||
Service fees — Class C | 725 | 74 | 1,635 | |||||||||||
Shareholder Administration fees — Service Shares | — | — | 582 | |||||||||||
Other | 11,590 | 387 | 9,961 | |||||||||||
Total expenses | 1,537,613 | 992,131 | 935,007 | |||||||||||
Less — expense reductions | (101,855 | ) | (176,477 | ) | (187,657 | ) | ||||||||
Net expenses | 1,435,758 | 815,654 | 747,350 | |||||||||||
NET INVESTMENT INCOME | 3,135,396 | 1,424,254 | 771,299 | |||||||||||
Realized and unrealized gain (loss): | ||||||||||||||
Net realized gain (loss) from: | ||||||||||||||
Investments — unaffiliated issuers | (1,569,996 | ) | (3,239,081 | ) | 3,381,766 | |||||||||
Foreign currency transactions | 10,165 | (65,214 | ) | — | ||||||||||
Net change in unrealized gain (loss) on: | ||||||||||||||
Investments — unaffiliated issuers | (16,326,270 | ) | (42,063,375 | ) | (41,931,378 | ) | ||||||||
Foreign currency translations | (38,327 | ) | (11,820 | ) | — | |||||||||
Net realized and unrealized loss | (17,924,428 | ) | (45,379,490 | ) | (38,549,612 | ) | ||||||||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (14,789,032 | ) | $ | (43,955,236 | ) | $ | (37,778,313 | ) |
(a) | Class specific Distribution and/or Service and Transfer Agency fees were as follows: |
Distribution and/or Service (12b-1) Fees | Transfer Agency Fees | |||||||||||||||||||||||||||||||||||||||||||||||
Fund | Class A | Class C | Class R | Service | Class A | Class C | Institutional | Service | Investor | Class R6 | Class R | Class P | ||||||||||||||||||||||||||||||||||||
Global Infrastructure Fund | $ | 1,673 | $ | 2,176 | $ | 91 | $ | — | $ | 1,071 | $ | 464 | $ | 2,481 | $ | — | $ | 498 | $ | 23,788 | $ | 29 | $ | 17,633 | ||||||||||||||||||||||||
Global Real Estate Securities Fund | 691 | 223 | 86 | — | 442 | 48 | 430 | — | 41 | 17,018 | 27 | 7,892 | ||||||||||||||||||||||||||||||||||||
Real Estate Securities Fund | 25,197 | 4,904 | 2,472 | 582 | 16,126 | 1,046 | 6,406 | 93 | 1,922 | 95 | 791 | 14,404 |
The accompanying notes are an integral part of these financial statements. | 15 |
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Statements of Changes in Net Assets
Global Infrastructure Fund | Global Real Estate Securities Fund | |||||||||||||||||||||
For the Six Months Ended June 30, 2022 (Unaudited) | For the Fiscal Year Ended December 31, 2021 | For the Six Months Ended June 30, 2022 (Unaudited) | For the Fiscal Year Ended December 31, 2021 | |||||||||||||||||||
From operations: |
| |||||||||||||||||||||
Net investment income | $ | 3,135,396 | $ | 3,578,201 | $ | 1,424,254 | $ | 2,009,083 | ||||||||||||||
Net realized gain (loss) | (1,559,831 | ) | 1,997,320 | (3,304,295 | ) | 14,444,434 | ||||||||||||||||
Net change in unrealized gain (loss) | (16,364,597 | ) | 30,179,157 | (42,075,195 | ) | 22,363,363 | ||||||||||||||||
Net increase (decrease) in net assets resulting from operations | (14,789,032 | ) | 35,754,678 | (43,955,236 | ) | 38,816,880 | ||||||||||||||||
Distributions to shareholders: |
| |||||||||||||||||||||
From distributable earnings: | ||||||||||||||||||||||
Class A Shares | (14,619 | ) | (10,884 | ) | (6,892 | ) | (1,263 | ) | ||||||||||||||
Class C Shares | (2,420 | ) | (8,412 | ) | (171 | ) | (822 | ) | ||||||||||||||
Institutional Shares | (163,673 | ) | (166,495 | ) | (28,995 | ) | (44,599 | ) | ||||||||||||||
Investor Shares | (9,297 | ) | (4,434 | ) | (454 | ) | (841 | ) | ||||||||||||||
Class R6 Shares | (1,516,520 | ) | (3,246,938 | ) | (854,322 | ) | (2,860,276 | ) | ||||||||||||||
Class R Shares | (244 | ) | (513 | ) | (156 | ) | (654 | ) | ||||||||||||||
Class P Shares | (1,101,821 | ) | (1,902,191 | ) | (546,393 | ) | (1,131,317 | ) | ||||||||||||||
Total distributions to shareholders | (2,808,594 | ) | (5,339,867 | ) | (1,437,383 | ) | (4,039,772 | ) | ||||||||||||||
From share transactions: |
| |||||||||||||||||||||
Proceeds from sales of shares | 36,549,634 | 121,405,866 | 25,353,986 | 23,775,737 | ||||||||||||||||||
Proceeds received in connection with merger | — | — | 38,550,687 | — | ||||||||||||||||||
Reinvestment of distributions | 2,800,747 | 5,339,868 | 1,437,317 | 4,039,772 | ||||||||||||||||||
Cost of shares redeemed | (52,087,433 | ) | (42,666,786 | ) | (23,710,625 | ) | (64,718,634 | ) | ||||||||||||||
Net increase (decrease) in net assets resulting from share transactions | (12,737,052 | ) | 84,078,948 | 41,631,365 | (36,903,125 | ) | ||||||||||||||||
TOTAL INCREASE (DECREASE) | (30,334,678 | ) | 114,493,759 | (3,761,254 | ) | (2,126,017 | ) | |||||||||||||||
Net Assets: | ||||||||||||||||||||||
Beginning of period | 295,093,001 | 180,599,242 | 177,653,051 | 179,779,068 | ||||||||||||||||||
End of period | $ | 264,758,323 | $ | 295,093,001 | $ | 173,891,797 | $ | 177,653,051 |
16 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Statements of Changes in Net Assets (continued)
Real Estate Securities Fund | ||||||||||
For the Six Months Ended June 30, 2022 (Unaudited) | For the Fiscal Year Ended December 31, 2021 | |||||||||
From operations: | ||||||||||
Net investment income | $ | 771,299 | $ | 1,292,813 | ||||||
Net realized gain | 3,381,766 | 8,745,645 | ||||||||
Net change in unrealized gain (loss) | (41,931,378 | ) | 45,771,650 | |||||||
Net increase (decrease) in net assets resulting from operations | (37,778,313 | ) | 55,810,108 | |||||||
Distributions to shareholders: | ||||||||||
From distributable earnings: | ||||||||||
Class A Shares | (80,157 | ) | (1,423,797 | ) | ||||||
Class C Shares | (2,385 | ) | (91,892 | ) | ||||||
Institutional Shares | (178,278 | ) | (2,271,763 | ) | ||||||
Service Shares | (1,158 | ) | (51,452 | ) | ||||||
Investor Shares | (12,071 | ) | (165,549 | ) | ||||||
Class R6 Shares | (13,818 | ) | (27,708 | ) | ||||||
Class R Shares | (2,981 | ) | (67,420 | ) | ||||||
Class P Shares | (534,425 | ) | (6,567,981 | ) | ||||||
Total distributions to shareholders | (825,273 | ) | (10,667,562 | ) | ||||||
From share transactions: | ||||||||||
Proceeds from sales of shares | 9,478,155 | 31,014,980 | ||||||||
Reinvestment of distributions | 820,876 | 10,572,044 | ||||||||
Cost of shares redeemed | (12,657,241 | ) | (29,473,867 | ) | ||||||
Net increase (decrease) in net assets resulting from share transactions | (2,358,210 | ) | 12,113,157 | |||||||
TOTAL INCREASE (DECREASE) | (40,961,796 | ) | 57,255,703 | |||||||
Net Assets: | ||||||||||
Beginning of period | 176,644,530 | 119,388,827 | ||||||||
End of period | $ | 135,682,734 | $ | 176,644,530 |
The accompanying notes are an integral part of these financial statements. | 17 |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Selected Data for a Share Outstanding Throughout Each Period
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Reflects income recognized from special dividends which amounted to $0.08 per share and 0.71% of average net assets. |
(c) | Amount is less than $0.005 per share. |
(d) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
18 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Global Infrastructure Fund | ||||||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.34 | $ | 11.70 | $ | 12.41 | $ | 9.65 | $ | 10.84 | $ | 9.88 | ||||||||||||||
Net investment income(a) | 0.06 | 0.05 | 0.02 | 0.11 | 0.10 | 0.13 | (b) | |||||||||||||||||||
Net realized and unrealized gain (loss) | (0.82 | ) | 1.73 | (0.62 | ) | 2.80 | (1.17 | ) | 1.00 | |||||||||||||||||
Total from investment operations | (0.76 | ) | 1.78 | (0.60 | ) | 2.91 | (1.07 | ) | 1.13 | |||||||||||||||||
Distributions to shareholders from net investment income | (0.06 | ) | (0.10 | ) | (0.09 | ) | (0.13 | ) | (0.12 | ) | (0.14 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (0.04 | ) | — | — | — | (0.03 | ) | ||||||||||||||||||
Distributions to shareholders from return of capital | — | — | (0.02 | ) | (0.02 | ) | — | — | (c) | |||||||||||||||||
Total distributions | (0.06 | ) | (0.14 | ) | (0.11 | ) | (0.15 | ) | (0.12 | ) | (0.17 | ) | ||||||||||||||
Net asset value, end of period | $ | 12.52 | $ | 13.34 | $ | 11.70 | $ | 12.41 | $ | 9.65 | $ | 10.84 | ||||||||||||||
Total Return(d) | (5.70 | )% | 15.28 | % | (4.78 | )% | 30.31 | % | (9.96 | )% | 11.46 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 507 | $ | 622 | $ | 868 | $ | 2,607 | $ | 1,383 | $ | 57 | ||||||||||||||
Ratio of net expenses to average net assets | 2.10 | %(e) | 2.10 | % | 2.09 | % | 2.11 | % | 2.13 | % | 2.14 | % | ||||||||||||||
Ratio of total expenses to average net assets | 2.18 | %(e) | 2.20 | % | 2.30 | % | 2.26 | % | 2.26 | % | 7.06 | % | ||||||||||||||
Ratio of net investment income to average net assets | 0.98 | %(e) | 0.39 | % | 0.21 | % | 1.01 | % | 1.00 | % | 1.24 | %(b) | ||||||||||||||
Portfolio turnover rate(f) | 18 | % | 50 | % | 57 | % | 39 | % | 67 | % | 103 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Reflects income recognized from special dividends which amounted to $0.08 per share and 0.71% of average net assets. |
(c) | Amount is less than $0.005 per share. |
(d) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(e) | Annualized. |
(f) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 19 |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Global Infrastructure Fund | ||||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.47 | $ | 11.80 | $ | 12.50 | $ | 9.71 | $ | 10.85 | $ | 9.89 | ||||||||||||||
Net investment income(a) | 0.16 | 0.19 | 0.21 | 0.19 | 0.06 | 0.29 | (b) | |||||||||||||||||||
Net realized and unrealized gain (loss) | (0.85 | ) | 1.74 | (0.68 | ) | 2.87 | (1.02 | ) | 0.96 | |||||||||||||||||
Total from investment operations | (0.69 | ) | 1.93 | (0.47 | ) | 3.06 | (0.96 | ) | 1.25 | |||||||||||||||||
Distributions to shareholders from net investment income | (0.13 | ) | (0.22 | ) | (0.17 | ) | (0.24 | ) | (0.18 | ) | (0.20 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (0.04 | ) | — | — | — | (0.08 | ) | ||||||||||||||||||
Distributions to shareholders from return of capital | — | — | (0.06 | ) | (0.03 | ) | — | (0.01 | ) | |||||||||||||||||
Total distributions | (0.13 | ) | (0.26 | ) | (0.23 | ) | (0.27 | ) | (0.18 | ) | (0.29 | ) | ||||||||||||||
Net asset value, end of period | $ | 12.65 | $ | 13.47 | $ | 11.80 | $ | 12.50 | $ | 9.71 | $ | 10.85 | ||||||||||||||
Total Return(c) | (5.16 | )% | 16.50 | % | (3.63 | )% | 31.66 | % | (8.89 | )% | 12.72 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 17,122 | $ | 8,983 | $ | 6,772 | $ | 1,264 | $ | 1,737 | $ | 222,546 | ||||||||||||||
Ratio of net expenses to average net assets | 0.99 | %(d) | 0.99 | % | 0.99 | % | 1.00 | % | 0.99 | % | 0.99 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.06 | %(d) | 1.08 | % | 1.19 | % | 1.13 | % | 1.06 | % | 1.29 | % | ||||||||||||||
Ratio of net investment income to average net assets | 2.44 | %(d) | 1.50 | % | 1.82 | % | 1.70 | % | 0.54 | % | 2.65 | %(b) | ||||||||||||||
Portfolio turnover rate(e) | 18 | % | 50 | % | 57 | % | 39 | % | 67 | % | 103 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Reflects income recognized from special dividends which amounted to $0.08 per share and 0.71% of average net assets. |
(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
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Global Infrastructure Fund | ||||||||||||||||||||||||||
Investor Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.46 | $ | 11.78 | $ | 12.47 | $ | 9.68 | $ | 10.85 | $ | 9.89 | ||||||||||||||
Net investment income(a) | 0.21 | 0.18 | 0.10 | 0.22 | 0.20 | 0.24 | (b) | |||||||||||||||||||
Net realized and unrealized gain (loss) | (0.92 | ) | 1.75 | (0.58 | ) | 2.82 | (1.18 | ) | 0.99 | |||||||||||||||||
Total from investment operations | (0.71 | ) | 1.93 | (0.48 | ) | 3.04 | (0.98 | ) | 1.23 | |||||||||||||||||
Distributions to shareholders from net investment income | (0.12 | ) | (0.21 | ) | (0.19 | ) | (0.22 | ) | (0.19 | ) | (0.21 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (0.04 | ) | — | — | — | (0.05 | ) | ||||||||||||||||||
Distributions to shareholders from return of capital | — | — | (0.02 | ) | (0.03 | ) | — | (0.01 | ) | |||||||||||||||||
Total distributions | (0.12 | ) | (0.25 | ) | (0.21 | ) | (0.25 | ) | (0.19 | ) | (0.27 | ) | ||||||||||||||
Net asset value, end of period | $ | 12.63 | $ | 13.46 | $ | 11.78 | $ | 12.47 | $ | 9.68 | $ | 10.85 | ||||||||||||||
Total Return(c) | (5.28 | )% | 16.49 | % | (3.80 | )% | 31.49 | % | (9.00 | )% | 12.56 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 1,151 | $ | 248 | $ | 181 | $ | 929 | $ | 279 | $ | 28 | ||||||||||||||
Ratio of net expenses to average net assets | 1.10 | %(d) | 1.10 | % | 1.09 | % | 1.10 | % | 1.13 | % | 1.14 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.17 | %(d) | 1.20 | % | 1.29 | % | 1.26 | % | 1.25 | % | 6.05 | % | ||||||||||||||
Ratio of net investment income to average net assets | 3.19 | %(d) | 1.39 | % | 0.86 | % | 1.96 | % | 1.95 | % | 2.23 | %(b) | ||||||||||||||
Portfolio turnover rate(e) | 18 | % | 50 | % | 57 | % | 39 | % | 67 | % | 103 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Reflects income recognized from special dividends which amounted to $0.08 per share and 0.71% of average net assets. |
(c) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(d) | Annualized. |
(e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 21 |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Global Infrastructure Fund | ||||||||||||||||||||||||||
Class R6 Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.44 | $ | 11.77 | $ | 12.47 | $ | 9.69 | $ | 10.85 | $ | 9.89 | ||||||||||||||
Net investment income(a) | 0.14 | 0.19 | 0.18 | 0.23 | 0.22 | 0.26 | (b) | |||||||||||||||||||
Net realized and unrealized gain (loss) | (0.83 | ) | 1.74 | (0.65 | ) | 2.82 | (1.18 | ) | 0.99 | |||||||||||||||||
Total from investment operations | (0.69 | ) | 1.93 | (0.47 | ) | 3.05 | (0.96 | ) | 1.25 | |||||||||||||||||
Distributions to shareholders from net investment income | (0.13 | ) | (0.22 | ) | (0.19 | ) | (0.24 | ) | (0.20 | ) | (0.22 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (0.04 | ) | — | — | — | (0.06 | ) | ||||||||||||||||||
Distributions to shareholders from return of capital | — | — | (0.04 | ) | (0.03 | ) | — | (0.01 | ) | |||||||||||||||||
Total distributions | (0.13 | ) | (0.26 | ) | (0.23 | ) | (0.27 | ) | (0.20 | ) | (0.29 | ) | ||||||||||||||
Net asset value, end of period | $ | 12.62 | $ | 13.44 | $ | 11.77 | $ | 12.47 | $ | 9.69 | $ | 10.85 | ||||||||||||||
Total Return(c) | (5.17 | )% | 16.55 | % | (3.64 | )% | 31.63 | % | (8.88 | )% | 12.74 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 136,239 | $ | 166,430 | $ | 160,304 | $ | 187,335 | $ | 183,306 | $ | 28 | ||||||||||||||
Ratio of net expenses to average net assets | 0.98 | %(d) | 0.98 | % | 0.98 | % | 0.99 | % | 0.98 | % | 0.97 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.05 | %(d) | 1.07 | % | 1.18 | % | 1.11 | % | 1.10 | % | 5.88 | % | ||||||||||||||
Ratio of net investment income to average net assets | 2.14 | %(d) | 1.51 | % | 1.57 | % | 1.94 | % | 2.17 | % | 2.40 | %(b) | ||||||||||||||
Portfolio turnover rate(e) | 18 | % | 50 | % | 57 | % | 39 | % | 67 | % | 103 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Reflects income recognized from special dividends which amounted to $0.08 per share and 0.71% of average net assets. |
(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. |
22 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Global Infrastructure Fund | ||||||||||||||||||||||||||
Class R Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.45 | $ | 11.78 | $ | 12.48 | $ | 9.69 | $ | 10.85 | $ | 9.89 | ||||||||||||||
Net investment income(a) | 0.10 | 0.11 | 0.12 | 0.16 | 0.14 | 0.18 | (b) | |||||||||||||||||||
Net realized and unrealized gain (loss) | (0.84 | ) | 1.75 | (0.66 | ) | 2.82 | (1.16 | ) | 1.00 | |||||||||||||||||
Total from investment operations | (0.74 | ) | 1.86 | (0.54 | ) | 2.98 | (1.02 | ) | 1.18 | |||||||||||||||||
Distributions to shareholders from net investment income | (0.09 | ) | (0.15 | ) | (0.13 | ) | (0.17 | ) | (0.14 | ) | (0.18 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (0.04 | ) | — | — | — | (0.04 | ) | ||||||||||||||||||
Distributions to shareholders from return of capital | — | — | (0.03 | ) | (0.02 | ) | — | — | (c) | |||||||||||||||||
Total distributions | (0.09 | ) | (0.19 | ) | (0.16 | ) | (0.19 | ) | (0.14 | ) | (0.22 | ) | ||||||||||||||
Net asset value, end of period | $ | 12.62 | $ | 13.45 | $ | 11.78 | $ | 12.48 | $ | 9.69 | $ | 10.85 | ||||||||||||||
Total Return(d) | (5.52 | )% | 15.84 | % | (4.24 | )% | 30.94 | % | (9.49 | )% | 12.00 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 35 | $ | 37 | $ | 32 | $ | 33 | $ | 25 | $ | 28 | ||||||||||||||
Ratio of net expenses to average net assets | 1.60 | %(e) | 1.60 | % | 1.59 | % | 1.61 | % | 1.63 | % | 1.64 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.69 | %(e) | 1.71 | % | 1.82 | % | 1.77 | % | 1.75 | % | 6.55 | % | ||||||||||||||
Ratio of net investment income to average net assets | 1.55 | %(e) | 0.89 | % | 1.01 | % | 1.42 | % | 1.30 | % | 1.74 | %(b) | ||||||||||||||
Portfolio turnover rate(f) | 18 | % | 50 | % | 57 | % | 39 | % | 67 | % | 103 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Reflects income recognized from special dividends which amounted to $0.08 per share and 0.71% of average net assets. |
(c) | Amount is less than $0.005 per share. |
(d) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(e) | Annualized. |
(f) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 23 |
GOLDMAN SACHS GLOBAL INFRASTRUCTURE FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Global Infrastructure Fund | ||||||||||||||||||||||
Class P Shares | ||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | Period Ended December 31, 2018(a) | ||||||||||||||||||||
2021 | 2020 | 2019 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.44 | $ | 11.76 | $ | 12.47 | $ | 9.68 | $ | 10.47 | ||||||||||||
Net investment income(b) | 0.14 | 0.19 | 0.21 | 0.23 | 0.12 | |||||||||||||||||
Net realized and unrealized gain (loss) | (0.84 | ) | 1.75 | (0.69 | ) | 2.83 | (0.73 | ) | ||||||||||||||
Total from investment operations | (0.70 | ) | 1.94 | (0.48 | ) | 3.06 | (0.61 | ) | ||||||||||||||
Distributions to shareholders from net investment income | (0.13 | ) | (0.22 | ) | (0.17 | ) | (0.24 | ) | (0.18 | ) | ||||||||||||
Distributions to shareholders from net realized gains | — | (0.04 | ) | — | — | — | ||||||||||||||||
Distributions to shareholders from return of capital | — | — | (0.06 | ) | (0.03 | ) | — | |||||||||||||||
Total distributions | (0.13 | ) | (0.26 | ) | (0.23 | ) | (0.27 | ) | (0.18 | ) | ||||||||||||
Net asset value, end of period | $ | 12.61 | $ | 13.44 | $ | 11.76 | $ | 12.47 | $ | 9.68 | ||||||||||||
Total Return(c) | (5.25 | )% | 16.66 | % | (3.72 | )% | 31.77 | % | (5.91 | )% | ||||||||||||
Net assets, end of period (in 000’s) | $ | 107,852 | $ | 117,473 | $ | 12,085 | $ | 3,936 | $ | 2,278 | ||||||||||||
Ratio of net expenses to average net assets | 0.98 | %(d) | 0.98 | % | 0.98 | % | 0.99 | % | 0.98 | %(d) | ||||||||||||
Ratio of total expenses to average net assets | 1.05 | %(d) | 1.07 | % | 1.18 | % | 1.12 | % | 1.14 | %(d) | ||||||||||||
Ratio of net investment income to average net assets | 2.15 | %(d) | 1.51 | % | 1.77 | % | 1.99 | % | 1.68 | %(d) | ||||||||||||
Portfolio turnover rate(e) | 18 | % | 50 | % | 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. |
24 | 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
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.005 per share. |
(c) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(d) | Annualized. |
(e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 25 |
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Global Real Estate Securities Fund | ||||||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.55 | $ | 10.18 | $ | 11.09 | $ | 9.79 | $ | 10.64 | $ | 10.04 | ||||||||||||||
Net investment income(a) | 0.03 | 0.01 | 0.04 | 0.11 | 0.12 | 0.12 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (2.79 | ) | 2.53 | (0.87 | ) | 1.98 | (0.80 | ) | 0.65 | |||||||||||||||||
Total from investment operations | (2.76 | ) | 2.54 | (0.83 | ) | 2.09 | (0.68 | ) | 0.77 | |||||||||||||||||
Distributions to shareholders from net investment income | (0.03 | ) | (0.17 | ) | (0.05 | ) | (0.49 | ) | (0.12 | ) | (0.17 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | — | (0.02 | ) | (0.30 | ) | — | — | (b) | |||||||||||||||||
Distributions to shareholders from return of capital | — | — | (0.01 | ) | — | (0.05 | ) | — | ||||||||||||||||||
Total distributions | (0.03 | ) | (0.17 | ) | (0.08 | ) | (0.79 | ) | (0.17 | ) | (0.17 | ) | ||||||||||||||
Net asset value, end of period | $ | 9.76 | $ | 12.55 | $ | 10.18 | $ | 11.09 | $ | 9.79 | $ | 10.64 | ||||||||||||||
Total Return(c) | (22.01 | )% | 25.01 | % | (7.39 | )% | 21.60 | % | (6.45 | )% | 7.72 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 59 | $ | 63 | $ | 50 | $ | 66 | $ | 27 | $ | 28 | ||||||||||||||
Ratio of net expenses to average net assets | 2.09 | %(d) | 2.09 | % | 2.10 | % | 2.11 | % | 2.12 | % | 2.15 | % | ||||||||||||||
Ratio of total expenses to average net assets | 2.30 | %(d) | 2.33 | % | 2.34 | % | 2.29 | % | 2.27 | % | 2.79 | % | ||||||||||||||
Ratio of net investment income to average net assets | 0.52 | %(d) | 0.05 | % | 0.45 | % | 0.96 | % | 1.20 | % | 1.15 | % | ||||||||||||||
Portfolio turnover rate(e) | 42 | % | 52 | % | 75 | % | 42 | % | 67 | % | 58 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.005 per share. |
(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. |
26 | 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 | ||||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.65 | $ | 10.25 | $ | 11.13 | $ | 9.82 | $ | 10.66 | $ | 10.06 | ||||||||||||||
Net investment income (loss)(a) | 0.14 | 0.13 | 0.15 | 0.22 | (0.03 | ) | 0.24 | |||||||||||||||||||
Net realized and unrealized gain (loss) | (2.87 | ) | 2.55 | (0.87 | ) | 2.00 | (0.54 | ) | 0.65 | |||||||||||||||||
Total from investment operations | (2.73 | ) | 2.68 | (0.72 | ) | 2.22 | (0.57 | ) | 0.89 | |||||||||||||||||
Distributions to shareholders from net investment income | (0.08 | ) | (0.28 | ) | (0.13 | ) | (0.61 | ) | (0.22 | ) | (0.29 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | — | (0.02 | ) | (0.30 | ) | — | — | (b) | |||||||||||||||||
Distributions to shareholders from return of capital | — | — | (0.01 | ) | — | (0.05 | ) | — | ||||||||||||||||||
Total distributions | (0.08 | ) | (0.28 | ) | (0.16 | ) | (0.91 | ) | (0.27 | ) | (0.29 | ) | ||||||||||||||
Net asset value, end of period | $ | 9.84 | $ | 12.65 | $ | 10.25 | $ | 11.13 | $ | 9.82 | $ | 10.66 | ||||||||||||||
Total Return(c) | (21.59 | )% | 26.38 | % | (6.26 | )% | 22.91 | % | (5.41 | )% | 8.96 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 4,819 | $ | 411 | $ | 2,150 | $ | 2,131 | $ | 1,855 | $ | 338,527 | ||||||||||||||
Ratio of net expenses to average net assets | 0.97 | %(d) | 0.97 | % | 0.97 | % | 0.97 | % | 1.00 | % | 1.00 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.15 | %(d) | 1.21 | % | 1.22 | % | 1.15 | % | 1.18 | % | 1.24 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | 2.66 | %(d) | 1.17 | % | 1.60 | % | 1.98 | % | (0.26 | )% | 2.31 | % | ||||||||||||||
Portfolio turnover rate(e) | 42 | % | 52 | % | 75 | % | 42 | % | 67 | % | 58 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.005 per share. |
(c) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(d) | Annualized. |
(e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 27 |
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Global Real Estate Securities Fund | ||||||||||||||||||||||||||
Investor Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.62 | $ | 10.23 | $ | 11.11 | $ | 9.80 | $ | 10.65 | $ | 10.05 | ||||||||||||||
Net investment income(a) | 0.10 | 0.12 | 0.14 | 0.21 | 0.23 | 0.22 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (2.82 | ) | 2.54 | (0.87 | ) | 2.00 | (0.81 | ) | 0.65 | |||||||||||||||||
Total from investment operations | (2.72 | ) | 2.66 | (0.73 | ) | 2.21 | (0.58 | ) | 0.87 | |||||||||||||||||
Distributions to shareholders from net investment income | (0.08 | ) | (0.27 | ) | (0.12 | ) | (0.60 | ) | (0.22 | ) | (0.27 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | — | (0.02 | ) | (0.30 | ) | — | — | (b) | |||||||||||||||||
Distributions to shareholders from return of capital | — | — | (0.01 | ) | — | (0.05 | ) | — | ||||||||||||||||||
Total distributions | (0.08 | ) | (0.27 | ) | (0.15 | ) | (0.90 | ) | (0.27 | ) | (0.27 | ) | ||||||||||||||
Net asset value, end of period | $ | 9.82 | $ | 12.62 | $ | 10.23 | $ | 11.11 | $ | 9.80 | $ | 10.65 | ||||||||||||||
Total Return(c) | (21.60 | )% | 26.20 | % | (6.37 | )% | 22.79 | % | (5.50 | )% | 8.80 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 69 | $ | 40 | $ | 32 | $ | 34 | $ | 27 | $ | 29 | ||||||||||||||
Ratio of net expenses to average net assets | 1.09 | %(d) | 1.09 | % | 1.10 | % | 1.11 | % | 1.12 | % | 1.15 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.30 | %(d) | 1.33 | % | 1.34 | % | 1.29 | % | 1.27 | % | 1.75 | % | ||||||||||||||
Ratio of net investment income to average net assets | 1.82 | %(d) | 1.05 | % | 1.45 | % | 1.85 | % | 2.20 | % | 2.13 | % | ||||||||||||||
Portfolio turnover rate(e) | 42 | % | 52 | % | 75 | % | 42 | % | 67 | % | 58 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.005 per share. |
(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. |
28 | 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 R6 Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.63 | $ | 10.23 | $ | 11.11 | $ | 9.80 | $ | 10.66 | $ | 10.06 | ||||||||||||||
Net investment income(a) | 0.09 | 0.14 | 0.15 | 0.21 | 0.29 | 0.24 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (2.81 | ) | 2.55 | (0.87 | ) | 2.01 | (0.86 | ) | 0.65 | |||||||||||||||||
Total from investment operations | (2.72 | ) | 2.69 | (0.72 | ) | 2.22 | (0.57 | ) | 0.89 | |||||||||||||||||
Distributions to shareholders from net investment income | (0.08 | ) | (0.29 | ) | (0.13 | ) | (0.61 | ) | (0.24 | ) | (0.29 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | — | (0.02 | ) | (0.30 | ) | — | — | (b) | |||||||||||||||||
Distributions to shareholders from return of capital | — | — | (0.01 | ) | — | (0.05 | ) | — | ||||||||||||||||||
Total distributions | (0.08 | ) | (0.29 | ) | (0.16 | ) | (0.91 | ) | (0.29 | ) | (0.29 | ) | ||||||||||||||
Net asset value, end of period | $ | 9.83 | $ | 12.63 | $ | 10.23 | $ | 11.11 | $ | 9.80 | $ | 10.66 | ||||||||||||||
Total Return(c) | (21.62 | )% | 26.45 | % | (6.27 | )% | 22.97 | % | (5.44 | )% | 8.97 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 90,356 | $ | 126,806 | $ | 144,290 | $ | 193,139 | $ | 259,662 | $ | 29 | ||||||||||||||
Ratio of net expenses to average net assets | 0.96 | %(d) | 0.96 | % | 0.96 | % | 0.96 | % | 0.97 | % | 0.99 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.17 | %(d) | 1.20 | % | 1.20 | % | 1.14 | % | 1.11 | % | 1.59 | % | ||||||||||||||
Ratio of net investment income to average net assets | 1.57 | %(d) | 1.18 | % | 1.58 | % | 1.90 | % | 2.76 | % | 2.29 | % | ||||||||||||||
Portfolio turnover rate(e) | 42 | % | 52 | % | 75 | % | 42 | % | 67 | % | 58 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.005 per share. |
(c) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(d) | Annualized. |
(e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 29 |
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Global Real Estate Securities Fund | ||||||||||||||||||||||||||
Class R Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.59 | $ | 10.21 | $ | 11.10 | $ | 9.80 | $ | 10.65 | $ | 10.05 | ||||||||||||||
Net investment income(a) | 0.05 | 0.06 | 0.09 | 0.15 | 0.18 | 0.17 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (2.79 | ) | 2.54 | (0.87 | ) | 1.99 | (0.81 | ) | 0.65 | |||||||||||||||||
Total from investment operations | (2.74 | ) | 2.60 | (0.78 | ) | 2.14 | (0.63 | ) | 0.82 | |||||||||||||||||
Distributions to shareholders from net investment income | (0.05 | ) | (0.22 | ) | (0.08 | ) | (0.54 | ) | (0.17 | ) | (0.22 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | — | (0.02 | ) | (0.30 | ) | — | — | (b) | |||||||||||||||||
Distributions to shareholders from return of capital | — | — | (0.01 | ) | — | (0.05 | ) | — | ||||||||||||||||||
Total distributions | (0.05 | ) | (0.22 | ) | (0.11 | ) | (0.84 | ) | (0.22 | ) | (0.22 | ) | ||||||||||||||
Net asset value, end of period | $ | 9.80 | $ | 12.59 | $ | 10.21 | $ | 11.10 | $ | 9.80 | $ | 10.65 | ||||||||||||||
Total Return(c) | (21.77 | )% | 25.56 | % | (6.83 | )% | 22.10 | % | (5.97 | )% | 8.26 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 30 | $ | 39 | $ | 31 | $ | 33 | $ | 27 | $ | 29 | ||||||||||||||
Ratio of net expenses to average net assets | 1.59 | %(d) | 1.59 | % | 1.60 | % | 1.61 | % | 1.62 | % | 1.65 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.80 | %(d) | 1.83 | % | 1.84 | % | 1.79 | % | 1.77 | % | 2.25 | % | ||||||||||||||
Ratio of net investment income to average net assets | 0.94 | %(d) | 0.55 | % | 0.95 | % | 1.35 | % | 1.70 | % | 1.63 | % | ||||||||||||||
Portfolio turnover rate(e) | 42 | % | 52 | % | 75 | % | 42 | % | 67 | % | 58 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.005 per share. |
(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. |
30 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL REAL ESTATE SECURITIES FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Global Real Estate Securities Fund | ||||||||||||||||||||||
Class P Shares | ||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | Period Ended December 31, 2018(a) | ||||||||||||||||||||
2021 | 2020 | 2019 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.62 | $ | 10.22 | $ | 11.11 | $ | 9.80 | $ | 10.30 | ||||||||||||
Net investment income(b) | 0.10 | 0.14 | 0.15 | 0.22 | 0.23 | |||||||||||||||||
Net realized and unrealized gain (loss) | (2.82 | ) | 2.55 | (0.88 | ) | 2.01 | (0.50 | ) | ||||||||||||||
Total from investment operations | (2.72 | ) | 2.69 | (0.73 | ) | 2.23 | (0.27 | ) | ||||||||||||||
Distributions to shareholders from net investment income | (0.08 | ) | (0.29 | ) | (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 | (0.08 | ) | (0.29 | ) | (0.16 | ) | (0.92 | ) | (0.23 | ) | ||||||||||||
Net asset value, end of period | $ | 9.82 | $ | 12.62 | $ | 10.22 | $ | 11.11 | $ | 9.80 | ||||||||||||
Total Return(c) | (21.56 | )% | 26.48 | % | (6.36 | )% | 22.98 | % | (2.69 | )% | ||||||||||||
Net assets, end of period (in 000’s) | $ | 77,237 | $ | 50,241 | $ | 33,176 | $ | 43,099 | $ | 39,405 | ||||||||||||
Ratio of net expenses to average net assets | 0.96 | %(d) | 0.96 | % | 0.96 | % | 0.96 | % | 0.96 | %(d) | ||||||||||||
Ratio of total expenses to average net assets | 1.17 | %(d) | 1.20 | % | 1.20 | % | 1.14 | % | 1.11 | %(d) | ||||||||||||
Ratio of net investment income to average net assets | 1.88 | %(d) | 1.18 | % | 1.56 | % | 1.98 | % | 3.15 | %(d) | ||||||||||||
Portfolio turnover rate(e) | 42 | % | 52 | % | 75 | % | 42 | % | 67 | % |
(a) | Commenced operations on April 17, 2018. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(d) | Annualized. |
(e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 31 |
GOLDMAN SACHS REAL ESTATE SECURITIES FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
32 | 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 C Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 13.82 | $ | 10.31 | $ | 12.50 | $ | 11.99 | $ | 14.88 | $ | 17.79 | ||||||||||||||
Net investment income (loss)(a) | — | (0.02 | ) | 0.03 | 0.10 | 0.12 | 0.16 | |||||||||||||||||||
Net realized and unrealized gain (loss) | (3.05 | ) | 4.41 | (1.14 | ) | 2.78 | (0.85 | ) | 0.06 | |||||||||||||||||
Total from investment operations | (3.05 | ) | 4.39 | (1.11 | ) | 2.88 | (0.73 | ) | 0.22 | |||||||||||||||||
Distributions to shareholders from net investment income | (0.02 | ) | (0.06 | ) | (0.08 | ) | (0.11 | ) | (0.27 | ) | (0.19 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (0.82 | ) | (1.00 | ) | (2.26 | ) | (1.89 | ) | (2.94 | ) | |||||||||||||||
Total distributions | (0.02 | ) | (0.88 | ) | (1.08 | ) | (2.37 | ) | (2.16 | ) | (3.13 | ) | ||||||||||||||
Net asset value, end of period | $ | 10.75 | $ | 13.82 | $ | 10.31 | $ | 12.50 | $ | 11.99 | $ | 14.88 | ||||||||||||||
Total Return(b) | (22.06 | )% | 43.12 | % | (8.50 | )% | 24.62 | % | (6.12 | )% | 1.38 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 1,199 | $ | 1,540 | $ | 1,332 | $ | 2,615 | $ | 3,568 | $ | 12,421 | ||||||||||||||
Ratio of net expenses to average net assets | 2.02 | %(c) | 2.03 | % | 2.04 | % | 2.05 | % | 2.05 | % | 2.06 | % | ||||||||||||||
Ratio of total expenses to average net assets | 2.28 | %(c) | 2.29 | % | 2.37 | % | 2.32 | % | 2.25 | % | 2.29 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.06 | )%(c) | (0.20 | )% | 0.26 | % | 0.69 | % | 0.83 | % | 0.92 | % | ||||||||||||||
Portfolio turnover rate(d) | 20 | % | 37 | % | 57 | % | 37 | % | 43 | % | 35 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. | 33 |
GOLDMAN SACHS REAL ESTATE SECURITIES FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Real Estate Securities Fund | ||||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.67 | $ | 11.56 | $ | 13.83 | $ | 13.05 | $ | 15.98 | $ | 18.81 | ||||||||||||||
Net investment income(a) | 0.07 | 0.13 | 0.17 | 0.28 | 0.23 | 0.37 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (3.46 | ) | 4.97 | (1.26 | ) | 3.03 | (0.86 | ) | 0.08 | |||||||||||||||||
Total from investment operations | (3.39 | ) | 5.10 | (1.09 | ) | 3.31 | (0.63 | ) | 0.45 | |||||||||||||||||
Distributions to shareholders from net investment income | (0.08 | ) | (0.17 | ) | (0.18 | ) | (0.27 | ) | (0.41 | ) | (0.34 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (0.82 | ) | (1.00 | ) | (2.26 | ) | (1.89 | ) | (2.94 | ) | |||||||||||||||
Total distributions | (0.08 | ) | (0.99 | ) | (1.18 | ) | (2.53 | ) | (2.30 | ) | (3.28 | ) | ||||||||||||||
Net asset value, end of period | $ | 12.20 | $ | 15.67 | $ | 11.56 | $ | 13.83 | $ | 13.05 | $ | 15.98 | ||||||||||||||
Total Return(b) | (21.68 | )% | 44.74 | % | (7.48 | )% | 26.01 | % | (5.04 | )% | 2.58 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 28,167 | $ | 37,235 | $ | 23,409 | $ | 30,069 | $ | 31,337 | $ | 206,095 | ||||||||||||||
Ratio of net expenses to average net assets | 0.91 | %(c) | 0.91 | % | 0.91 | % | 0.92 | % | 0.91 | % | 0.91 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.16 | %(c) | 1.17 | % | 1.24 | % | 1.19 | % | 1.12 | % | 1.14 | % | ||||||||||||||
Ratio of net investment income to average net assets | 1.06 | %(c) | 0.92 | % | 1.47 | % | 1.86 | % | 1.50 | % | 1.98 | % | ||||||||||||||
Portfolio turnover rate(d) | 20 | % | 37 | % | 57 | % | 37 | % | 43 | % | 35 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(c) | Annualized. |
(d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
34 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS REAL ESTATE SECURITIES FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Real Estate Securities Fund | ||||||||||||||||||||||||||
Service Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.07 | $ | 11.15 | $ | 13.40 | $ | 12.71 | $ | 15.65 | $ | 18.52 | ||||||||||||||
Net investment income(a) | 0.01 | 0.05 | 0.11 | 0.21 | 0.26 | 0.29 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (3.30 | ) | 4.80 | (1.23 | ) | 2.94 | (0.95 | ) | 0.06 | |||||||||||||||||
Total from investment operations | (3.29 | ) | 4.85 | (1.12 | ) | 3.15 | (0.69 | ) | 0.35 | |||||||||||||||||
Distributions to shareholders from net investment income | (0.04 | ) | (0.11 | ) | (0.13 | ) | (0.20 | ) | (0.36 | ) | (0.28 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (0.82 | ) | (1.00 | ) | (2.26 | ) | (1.89 | ) | (2.94 | ) | |||||||||||||||
Total distributions | (0.04 | ) | (0.93 | ) | (1.13 | ) | (2.46 | ) | (2.25 | ) | (3.22 | ) | ||||||||||||||
Net asset value, end of period | $ | 11.74 | $ | 15.07 | $ | 11.15 | $ | 13.40 | $ | 12.71 | $ | 15.65 | ||||||||||||||
Total Return(b) | (21.83 | )% | 44.13 | % | (7.95 | )% | 25.40 | % | (5.56 | )% | 2.07 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 336 | $ | 893 | $ | 940 | $ | 1,608 | $ | 1,429 | $ | 2,446 | ||||||||||||||
Ratio of net expenses to average net assets | 1.41 | %(c) | 1.41 | % | 1.41 | % | 1.42 | % | 1.41 | % | 1.41 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.65 | %(c) | 1.68 | % | 1.74 | % | 1.69 | % | 1.61 | % | 1.64 | % | ||||||||||||||
Ratio of net investment income to average net assets | 0.18 | %(c) | 0.42 | % | 0.95 | % | 1.43 | % | 1.73 | % | 1.60 | % | ||||||||||||||
Portfolio turnover rate(d) | 20 | % | 37 | % | 57 | % | 37 | % | 43 | % | 35 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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 REAL ESTATE SECURITIES FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Real Estate Securities Fund | ||||||||||||||||||||||||||
Investor Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.13 | $ | 11.19 | $ | 13.43 | $ | 12.73 | $ | 15.65 | $ | 18.50 | ||||||||||||||
Net investment income(a) | 0.06 | 0.11 | 0.14 | 0.24 | 0.31 | 0.36 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (3.34 | ) | 4.81 | (1.22 | ) | 2.97 | (0.94 | ) | 0.06 | |||||||||||||||||
Total from investment operations | (3.28 | ) | 4.92 | (1.08 | ) | 3.21 | (0.63 | ) | 0.42 | |||||||||||||||||
Distributions to shareholders from net investment income | (0.07 | ) | (0.16 | ) | (0.16 | ) | (0.25 | ) | (0.40 | ) | (0.33 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (0.82 | ) | (1.00 | ) | (2.26 | ) | (1.89 | ) | (2.94 | ) | |||||||||||||||
Total distributions | (0.07 | ) | (0.98 | ) | (1.16 | ) | (2.51 | ) | (2.29 | ) | (3.27 | ) | ||||||||||||||
Net asset value, end of period | $ | 11.78 | $ | 15.13 | $ | 11.19 | $ | 13.43 | $ | 12.73 | $ | 15.65 | ||||||||||||||
Total Return(b) | (21.70 | )% | 44.58 | % | (7.59 | )% | 25.84 | % | (5.18 | )% | 2.42 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 1,968 | $ | 2,678 | $ | 2,289 | $ | 4,532 | $ | 7,969 | $ | 10,776 | ||||||||||||||
Ratio of net expenses to average net assets | 1.02 | %(c) | 1.03 | % | 1.04 | % | 1.05 | % | 1.05 | % | 1.06 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.27 | %(c) | 1.30 | % | 1.36 | % | 1.32 | % | 1.25 | % | 1.29 | % | ||||||||||||||
Ratio of net investment income to average net assets | 0.89 | %(c) | 0.80 | % | 1.17 | % | 1.64 | % | 2.10 | % | 1.99 | % | ||||||||||||||
Portfolio turnover rate(d) | 20 | % | 37 | % | 57 | % | 37 | % | 43 | % | 35 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
36 | 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 R6 Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.67 | $ | 11.56 | $ | 13.83 | $ | 13.05 | $ | 15.98 | $ | 18.81 | ||||||||||||||
Net investment income(a) | 0.27 | 0.12 | 0.18 | 0.30 | 0.16 | 0.41 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (3.66 | ) | 4.98 | (1.27 | ) | 3.01 | (0.79 | ) | 0.05 | |||||||||||||||||
Total from investment operations | (3.39 | ) | 5.10 | (1.09 | ) | 3.31 | (0.63 | ) | 0.46 | |||||||||||||||||
Distributions to shareholders from net investment income | (0.08 | ) | (0.17 | ) | (0.18 | ) | (0.27 | ) | (0.41 | ) | (0.35 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (0.82 | ) | (1.00 | ) | (2.26 | ) | (1.89 | ) | (2.94 | ) | |||||||||||||||
Total distributions | (0.08 | ) | (0.99 | ) | (1.18 | ) | (2.53 | ) | (2.30 | ) | (3.29 | ) | ||||||||||||||
Net asset value, end of period | $ | 12.20 | $ | 15.67 | $ | 11.56 | $ | 13.83 | $ | 13.05 | $ | 15.98 | ||||||||||||||
Total Return(b) | (21.67 | )% | 44.74 | % | (7.47 | )% | 26.02 | % | (5.03 | )% | 2.60 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 2,788 | $ | 443 | $ | 1,116 | $ | 973 | $ | 797 | $ | 227 | ||||||||||||||
Ratio of net expenses to average net assets | 0.90 | %(c) | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.16 | %(c) | 1.18 | % | 1.24 | % | 1.18 | % | 1.08 | % | 1.14 | % | ||||||||||||||
Ratio of net investment income to average net assets | 4.18 | %(c) | 0.93 | % | 1.52 | % | 1.98 | % | 1.02 | % | 2.23 | % | ||||||||||||||
Portfolio turnover rate(d) | 20 | % | 37 | % | 57 | % | 37 | % | 43 | % | 35 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. | 37 |
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 R Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 14.64 | $ | 10.87 | $ | 13.09 | $ | 12.47 | $ | 15.39 | $ | 18.27 | ||||||||||||||
Net investment income(a) | 0.03 | 0.04 | 0.09 | 0.18 | 0.24 | 0.26 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (3.23 | ) | 4.66 | (1.19 | ) | 2.88 | (0.93 | ) | 0.05 | |||||||||||||||||
Total from investment operations | (3.20 | ) | 4.70 | (1.10 | ) | 3.06 | (0.69 | ) | 0.31 | |||||||||||||||||
Distributions to shareholders from net investment income | (0.04 | ) | (0.11 | ) | (0.12 | ) | (0.18 | ) | (0.34 | ) | (0.25 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (0.82 | ) | (1.00 | ) | (2.26 | ) | (1.89 | ) | (2.94 | ) | |||||||||||||||
Total distributions | (0.04 | ) | (0.93 | ) | (1.12 | ) | (2.44 | ) | (2.23 | ) | (3.19 | ) | ||||||||||||||
Net asset value, end of period | $ | 11.40 | $ | 14.64 | $ | 10.87 | $ | 13.09 | $ | 12.47 | $ | 15.39 | ||||||||||||||
Total Return(b) | (21.87 | )% | 43.82 | % | (8.00 | )% | 25.14 | % | (5.62 | )% | 1.92 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 878 | $ | 1,134 | $ | 910 | $ | 1,440 | $ | 1,770 | $ | 3,092 | ||||||||||||||
Ratio of net expenses to average net assets | 1.53 | %(c) | 1.53 | % | 1.54 | % | 1.55 | % | 1.55 | % | 1.56 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.78 | %(c) | 1.79 | % | 1.87 | % | 1.82 | % | 1.75 | % | 1.79 | % | ||||||||||||||
Ratio of net investment income to average net assets | 0.44 | %(c) | 0.93 | % | 0.79 | % | 1.22 | % | 1.60 | % | 1.45 | % | ||||||||||||||
Portfolio turnover rate(d) | 20 | % | 37 | % | 57 | % | 37 | % | 43 | % | 35 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
38 | 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 | ||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | Period Ended December 31, 2018(a) | ||||||||||||||||||||
2021 | 2020 | 2019 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 15.66 | $ | 11.55 | $ | 13.82 | $ | 13.04 | $ | 14.90 | ||||||||||||
Net investment income(b) | 0.07 | 0.13 | 0.17 | 0.29 | 0.39 | |||||||||||||||||
Net realized and unrealized gain (loss) | (3.46 | ) | 4.97 | (1.26 | ) | 3.02 | (0.01 | ) | ||||||||||||||
Total from investment operations | (3.39 | ) | 5.10 | (1.09 | ) | 3.31 | 0.38 | |||||||||||||||
Distributions to shareholders from net investment income | (0.08 | ) | (0.17 | ) | (0.18 | ) | (0.27 | ) | (0.35 | ) | ||||||||||||
Distributions to shareholders from net realized gains | — | (0.82 | ) | (1.00 | ) | (2.26 | ) | (1.89 | ) | |||||||||||||
Total distributions | (0.08 | ) | (0.99 | ) | (1.18 | ) | (2.53 | ) | (2.24 | ) | ||||||||||||
Net asset value, end of period | $ | 12.19 | $ | 15.66 | $ | 11.55 | $ | 13.82 | $ | 13.04 | ||||||||||||
Total Return(c) | (21.69 | )% | 44.79 | % | (7.48 | )% | 26.04 | % | 1.36 | % | ||||||||||||
Net assets, end of period (in 000’s) | $ | 83,292 | $ | 109,444 | $ | 70,215 | $ | 89,616 | $ | 89,479 | ||||||||||||
Ratio of net expenses to average net assets | 0.90 | %(d) | 0.90 | % | 0.90 | % | 0.91 | % | 0.90 | %(d) | ||||||||||||
Ratio of total expenses to average net assets | 1.15 | %(d) | 1.16 | % | 1.23 | % | 1.18 | % | 1.07 | %(d) | ||||||||||||
Ratio of net investment income to average net assets | 1.06 | %(d) | 0.93 | % | 1.47 | % | 1.90 | % | 3.56 | %(d) | ||||||||||||
Portfolio turnover rate(e) | 20 | % | 37 | % | 57 | % | 37 | % | 43 | % |
(a) | Commenced operations on April 17, 2018. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(d) | Annualized. |
(e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 39 |
GOLDMAN SACHS REAL ESTATE SECURITIES AND GLOBAL INFRASTRUCTURE FUNDS
June 30, 2022 (Unaudited)
1. ORGANIZATION |
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”), along with their corresponding share classes and respective diversification status under the Act:
Fund | Share Classes Offered | Diversified/ Non-diversified | ||
Global Infrastructure | A, C, Institutional, Investor, R6, R and P | Non-diversified | ||
Global Real Estate Securities | A, C, Institutional, Investor, R6, R and P | Diversified | ||
Real Estate Securities | A, C, Institutional, Service, Investor, R6, R and P | Non-diversified |
Class A Shares of the Global Infrastructure, Global 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. These reclaims, if any, are recorded when the amount is known and there are no significant uncertainties on collectability. Such amounts recovered are reflected as other income in the Statements of Operations. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Funds’ investments in U.S. real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain 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.
40
GOLDMAN SACHS REAL ESTATE SECURITIES AND GLOBAL INFRASTRUCTURE FUNDS
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
D. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, each Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on 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 Infrastructure, Global Real Estate Securities and Real Estate Securities | Quarterly | Annually |
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from 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).
41
GOLDMAN SACHS REAL ESTATE SECURITIES AND GLOBAL INFRASTRUCTURE FUNDS
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Funds, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Funds’ 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 Money Market 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 Money Market Fund’s accounting policies and investment holdings, please see the Underlying Money Market 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.
42
GOLDMAN SACHS REAL ESTATE SECURITIES AND GLOBAL INFRASTRUCTURE FUNDS
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
C. Fair Value Hierarchy — The following is a summary of the Funds’ investments classified in the fair value hierarchy as of June 30, 2022:
GLOBAL INFRASTRUCTURE FUND |
| |||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) |
| |||||||||||
Asia | $ | — | $ | 10,909,446 | $ | — | ||||||
Europe | 2,052,677 | 55,554,823 | — | |||||||||
North America | 190,601,789 | — | — | |||||||||
Oceania | — | 13,080,161 | — | |||||||||
Investment Company | 2,747,452 | — | — | |||||||||
Total | $ | 195,401,918 | $ | 79,544,430 | $ | — | ||||||
GLOBAL REAL ESTATE SECURITIES FUND | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Asia | $ | 260,118 | $ | 33,728,454 | $ | — | ||||||
Europe | 844,712 | 22,348,132 | — | |||||||||
North America | 114,222,478 | — | — | |||||||||
Oceania | — | 6,412,611 | — | |||||||||
Investment Company | 2,040,241 | — | — | |||||||||
Securities Lending Reinvestment Vehicle | 1,502,828 | — | — | |||||||||
Total | $ | 118,870,377 | $ | 62,489,197 | $ | — | ||||||
REAL ESTATE SECURITIES FUND | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
North America | $ | 133,852,958 | $ | — | $ | — | ||||||
Investment Company | 1,233,984 | — | — | |||||||||
Securities Lending Reinvestment Vehicle | 386,657 | — | — | |||||||||
Total | $ | 135,473,599 | $ | — | $ | — |
(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 Schedules of Investments.
43
GOLDMAN SACHS REAL ESTATE SECURITIES AND GLOBAL INFRASTRUCTURE FUNDS
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
4. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Funds, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.
For the six months ended June 30, 2022, contractual and effective net management fees with GSAM were at the following rates:
Fund | First $1 billion | Next $1 billion | Next $3 billion | Next $3 billion | Over $8 billion | Effective Rate | Effective Net Management | |||||||||||||||||||||
Global Infrastructure | 0.90 | % | 0.81 | % | 0.77 | % | 0.75 | % | 0.74 | % | 0.90 | % | 0.90 | % | ||||||||||||||
Global Real Estate Securities | 0.93 | 0.84 | 0.80 | 0.78 | 0.76 | 0.93 | 0.93 | |||||||||||||||||||||
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 Funds invest in Institutional Shares of the Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Funds in an amount equal to the management fee it earns as an investment adviser to the affiliated Underlying Fund in which the Funds invest, except those management fees it earns from the Funds’ investments of cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund.
For the six months ended June 30, 2022, GSAM waived $3,423, $1,240 and $820 of the Global Infrastructure, Global 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. |
44
GOLDMAN SACHS REAL ESTATE SECURITIES AND GLOBAL INFRASTRUCTURE 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 six months ended June 30, 2022, Goldman Sachs retained the following amounts:
Front End Sales Charge | Contingent Deferred Sales Charge | |||||||||
Fund | Class A | Class C | ||||||||
Global Infrastructure | $ | 20 | $ | — | ||||||
Global Real Estate Securities | 1 | — | ||||||||
Real Estate Securities | 534 | — |
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: 0.16% 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. Goldman Sachs has agreed to waive a portion of its transfer agency fee equal to 0.01% and 0.03% of the average daily net assets attributable to Class A, Class C, Investor and Class R Shares of the Global Infrastructure Fund and the Real Estate Securities Fund, respectively. This arrangement will remain in effect through at least April 29, 2023, and prior to such date, Goldman Sachs may not terminate the arrangement without the approval of the Board of Trustees. Prior to April 29, 2022, Goldman Sachs did not waive such fees of the Real Estate Securities 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 limitation as an annual percentage rate of average daily net assets for each Fund is 0.004%, except Global Infrastructure which is at 0.054%. These Other Expense limitations will remain in place through at least April 29, 2023, 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.
Goldman Sachs may voluntarily waive a portion of any payments under a Fund’s Distribution and Service Plan, Service Plan and Shareholder Administration Plan, and Transfer Agency Agreement, and these waivers are in addition to what is stipulated in any contractual fee waiver arrangements (as applicable). These temporary waivers may be modified or terminated at any time at the option of Goldman Sachs without shareholder approval.
45
GOLDMAN SACHS REAL ESTATE SECURITIES AND GLOBAL INFRASTRUCTURE FUNDS
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the six months ended June 30, 2022, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
Fund | Management Fee Waiver | Transfer Agency Fee Waiver/Credits | Other Expense Reimbursements | Total Expense Reductions | ||||||||||||||
Global Infrastructure | $ | 3,423 | $ | 128 | $ | 98,304 | $ | 101,855 | ||||||||||
Global Real Estate Securities | 1,240 | — | 175,237 | 176,477 | ||||||||||||||
Real Estate Securities | 820 | 1,117 | 185,720 | 187,657 |
G. Line of Credit Facility — As of June 30, 2022, the Funds participated in a $1,250,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the six months ended June 30, 2022, the Funds did not have any borrowings under the facility. Prior to April 22, 2022, the facility was $1,000,000,000.
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 six months ended June 30, 2022:
Fund | Beginning Value as of December 31, 2021 | Purchases at Cost | Proceeds from Sales | Market Value as of June 30, 2022 | Shares as of June 30, 2022 | Dividend Income | ||||||||||||||||||||
Global Infrastructure | $ | 4,633,943 | $ | 49,641,576 | $ | (51,528,067 | ) | $ | 2,747,452 | 2,747,452 | $ | 7,462 | ||||||||||||||
Global Real Estate Securities | 1,903,476 | 23,753,032 | (23,616,267 | ) | 2,040,241 | 2,040,241 | 2,762 | |||||||||||||||||||
Real Estate Securities | 1,663,941 | 10,572,718 | (11,002,675 | ) | 1,233,984 | 1,233,984 | 2,411 |
As of June 30, 2022, The Goldman Sachs Group, Inc. was the beneficial owner of the following Funds:
Fund | Class A | Class C | Institutional | Investor | Class R6 | Class R | Class P | |||||||||||||||||||||||
Global Infrastructure | — | % | — | % | — | % | 7 | % | — | % | 100 | % | — | % | ||||||||||||||||
Global Real Estate Securities | — | 50 | — | 45 | — | 100 | — |
As of June 30, 2022, 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 Funds:
Fund | Goldman Sachs Growth and Income Strategy Portfolio | Goldman Sachs Growth Strategy Portfolio | Goldman Sachs Satellite Strategies Portfolio | Goldman Sachs Tax-Advantaged Global Equity Portfolio | ||||||||||||||||||||||
Global Infrastructure | 6 | % | 6 | % | 8 | % | 22 | % | ||||||||||||||||||
Global Real Estate Securities | — | — | — | 31 |
46
GOLDMAN SACHS REAL ESTATE SECURITIES AND GLOBAL INFRASTRUCTURE FUNDS
5. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended June 30, 2022, were as follows:
Fund | Purchases | Sales | ||||||||
Global Infrastructure | $ | 54,748,413 | $ | 52,561,475 | ||||||
Global Real Estate Securities | 82,049,839 | 71,284,241 | ||||||||
Real Estate Securities | 30,616,683 | 32,149,486 |
6. SECURITIES LENDING |
The Real Estate Securities Fund may lend its securities through a securities lending agent, the Bank of New York Mellon (“BNYM”), to certain qualified borrowers. Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and the terms and conditions contained therein, the Global Real Estate Securities Fund may lend its securities through a securities lending agent, Goldman Sachs Agency Lending (“GSAL”), 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 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 and BNYM may exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If GSAL or BNYM are unable to purchase replacement securities, GSAL and/or BNYM will indemnify the 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 June 30, 2022, are disclosed as “Payable upon return of securities loaned” on the Statements of Assets and Liabilities, where applicable.
47
GOLDMAN SACHS REAL ESTATE SECURITIES AND GLOBAL INFRASTRUCTURE FUNDS
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
6. SECURITIES LENDING (continued) |
The Funds, GSAL, and BNYM received compensation relating to the lending of the Funds’ securities. The amounts earned, if any, by the Funds for the six months ended June 30, 2022, are reported under Investment Income on the Statements of Operations.
The table below details securities lending activity with affiliates of Goldman Sachs:
For the Six Months Ended June 30, 2022 | Amounts Payable to Goldman Sachs Upon Return of Securities Loaned as of June 30, 2022 | |||||||||||||
Fund | Earnings of GSAL Relating to Securities Loaned | Amounts Received by the Funds from Lending to Goldman Sachs | ||||||||||||
Global Real Estate Securities | $ | 422 | $ | — | $ | — |
The following table provides information about the Funds’ investment in the Government Money Market Fund for the six months ended June 30, 2022:
Fund | Beginning Value as of December 31, 2021 | Purchases at Cost | Proceeds from Sales | Ending Value as of June 30, 2022 | ||||||||||||
Global Real Estate Securities | $ | 1,017,300 | $ | 10,256,780 | $ | (9,771,252 | ) | $ | 1,502,828 | |||||||
Real Estate Securities | 90,000 | 2,643,627 | (2,346,970 | ) | 386,657 |
7. TAX INFORMATION |
As of the Funds’ most recent fiscal year end, December 31, 2021, the Funds’ certain timing differences, on a tax-basis were as follows:
Global Infrastructure | Global Real Estate Securities | Real Estate Securities | ||||||||||
Timing differences (Real Estate Investment Trusts, Qualified Late Year Ordinary Loss Deferral and Post October Loss Deferral) | $ | (865,017 | ) | $ | 57,817 | $ | 179,029 |
As of June 30, 2022, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax
purposes were as follows:
Global Infrastructure | Global Real Estate Securities | Real Estate Securities | ||||||||||
Tax Cost | $ | 239,649,640 | $ | 183,181,891 | $ | 102,757,703 | ||||||
Gross unrealized gain | 50,052,349 | 15,332,307 | 37,155,176 | |||||||||
Gross unrealized loss | (14,755,641 | ) | (17,154,624 | ) | (4,439,281 | ) | ||||||
Net unrealized gain (loss) | $ | 35,296,708 | $ | (1,822,317 | ) | $ | 32,715,895 |
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.
48
GOLDMAN SACHS REAL ESTATE SECURITIES AND GLOBAL INFRASTRUCTURE FUNDS
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; less stringent investor protections; less stringent accounting, corporate governance, financial reporting and disclosure standards; and less economic, political and social stability in the countries in which a Fund invests. The imposition of sanctions, 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 problems with registration, settlement or custody, may also result in losses. The type and severity of sanctions and other similar measures, including counter sanctions and other retaliatory actions, that may be imposed could vary broadly in scope, and their impact is impossible to predict. For example, the imposition of sanctions and other similar measures could, among other things, cause a decline in the value and/or liquidity of securities issued by the sanctioned country or companies located in or economically tied to the sanctioned country and increase market volatility and disruption in the sanctioned country and throughout the world. Sanctions and other similar measures could limit or prevent a Fund from buying and selling securities (in the sanctioned country and other markets), significantly delay or prevent the settlement of securities transactions, and significantly impact a Fund’s liquidity and performance. Foreign risk also involves the risk of negative foreign currency exchange 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, or economically tied to, emerging markets, these risks may be more pronounced.
Foreign Custody Risk — A 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.
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
49
GOLDMAN SACHS REAL ESTATE SECURITIES AND GLOBAL INFRASTRUCTURE FUNDS
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
8. OTHER RISKS (continued) |
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 Global Infrastructure and Real Estate Securities Funds are non-diversified, meaning that they are permitted to invest a larger percentage of their assets in one or more issuers or in fewer issuers than diversified mutual funds. Thus, a Fund may be more susceptible to adverse developments affecting any single issuer held in its portfolio, and may be more susceptible to greater losses because of these developments.
9. IDEMNIFICATIONS |
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 |
Mergers and Reorganizations — Pursuant to an Agreement and Plan of Reorganization (a “Reorganization Agreement”) between the Goldman Sachs International Real Estate Securities Fund (the “Acquired Fund"), and the Goldman Sachs Global Real Estate Securities Fund (the “Survivor Fund”), as of the close of business on April 22, 2022, all of the assets and liabilities of each share class of the Acquired Fund were transferred to the Survivor Fund in exchange for shares of the Survivor Fund having an aggregate NAV equal to the NAV of such Acquired Fund as of the time of valuation specified in the applicable Reorganization
50
GOLDMAN SACHS REAL ESTATE SECURITIES AND GLOBAL INFRASTRUCTURE FUNDS
10. OTHER MATTERS (continued) |
Agreement, which were then distributed to shareholders of record of such Acquired Fund in a tax-free exchange (the “Reorganization”) as follows:
Acquired Fund/Survivor Fund | Exchanged Shares of Survivor Fund Issued | Value of Exchanged Shares | Acquired Fund’s Shares Outstanding as of April 22, 2022 | |||||||||
International Real Estate Securities, Class A/Global Real Estate Securities, Class A | 135,552 | $ | 1,602,224 | 276,117 | ||||||||
International Real Estate Securities, Class C/Global Real Estate Securities, Class C | 983 | 11,514 | 1,962 | |||||||||
International Real Estate Securities, Institutional/Global Real Estate Securities, Institutional | 453,687 | 5,362,585 | 960,520 | |||||||||
International Real Estate Securities, Investor/Global Real Estate Securities, Investor | 4,062 | 47,895 | 8,337 | |||||||||
International Real Estate Securities, Class R6/Global Real Estate Securities, Class R6 | 5,184 | 61,174 | 10,970 | |||||||||
International Real Estate Securities, Class P/Global Real Estate Securities, Class P | 2,668,812 | 31,465,295 | 5,650,181 |
The following chart shows Survivor Fund’s and Acquired Fund’s aggregate net assets (immediately before and after the completion of the acquisition) and the Acquired Fund’s unrealized depreciation:
Acquired Fund/Survivor Fund | Survivor Fund’s Aggregate Net Assets before acquisition | Acquired Fund’s Aggregate Net Assets before acquisition | Survivor Fund’s Aggregate Net Assets immediately after acquisition | Acquired Fund’s Unrealized Appreciation (Depreciation)(1) | Acquired Fund’s Capital Loss Carryforward(2) | |||||||||||||||
International Real Estate Securities/Global Real Estate Securities | $ | 162,891,993 | $ | 38,550,687 | $ | 201,442,680 | $ | (462,748 | ) | (11,380,465 | ) |
(1) | The Survivor Fund has elected to carry forward the assets of the Acquired Fund at the Acquired Fund’s historical cost basis for purposes of measuring unrealized depreciation and future realized gain or loss of those acquired assets. |
(2) | Due to Fund reorganization, utilization of acquired losses may be substantially limited under the Code. |
Assuming the acquisition had been completed on January 1, 2022, the Survivor Fund’s pro-forma results of operations for the six months ended June 30, 2022 are as follows:
Net investment income | $ | 1,324,552 | (a) | |
Net realized and unrealized loss on investments | $ | (43,005,490 | )(b) | |
Net decrease in net assets from operations | $ | (41,680,938 | ) |
(a) | $1,424,254 net investment income as reported at June 30, 2022, minus $230,803 from Acquired Fund pre-reorganization net investment income, plus $2,789 in lower net advisory fees, plus $128,312 of pro-forma eliminated other expenses. |
(b) | $3,304,295 realized loss as reported at June 30, 2022, minus $42,063,375 pro-forma June 30, 2022 unrealized appreciation, plus $1,899,432 net realized losses as reported at April 22, 2022, plus $462,748 in net unrealized loss from Acquired Fund pre-reorganization. |
Because the combined Survivor Fund has been managed as a single integrated fund since the Reorganization was completed, it is not practicable to separate the amounts of revenue and earnings of the Acquired Fund that have been included in the Survivor Fund’s Statement of Operations since April 22, 2022.
51
GOLDMAN SACHS REAL ESTATE SECURITIES AND GLOBAL INFRASTRUCTURE FUNDS
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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.
12. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
Global Infrastructure Fund | ||||||||||||||||
For the Six Months Ended June 30. 2022 | For the Fiscal Year Ended December 31, 2021 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 52,701 | $ | 664,237 | 78,880 | $ | 1,029,669 | ||||||||||
Reinvestment of distributions | 1,146 | 14,619 | 842 | 10,884 | ||||||||||||
Shares redeemed | (3,897 | ) | (50,937 | ) | (13,230 | ) | (169,032 | ) | ||||||||
49,950 | 627,919 | 66,492 | 871,521 | |||||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 6 | 83 | 529 | 6,249 | ||||||||||||
Reinvestment of distributions | 193 | 2,420 | 654 | 8,412 | ||||||||||||
Shares redeemed | (6,267 | ) | (84,137 | ) | (28,786 | ) | (374,835 | ) | ||||||||
(6,068 | ) | (81,634 | ) | (27,603 | ) | (360,174 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 720,543 | 9,506,550 | 173,497 | 2,217,644 | ||||||||||||
Reinvestment of distributions | 12,762 | 163,673 | 12,889 | 166,495 | ||||||||||||
Shares redeemed | (46,200 | ) | (585,250 | ) | (93,759 | ) | (1,216,878 | ) | ||||||||
687,105 | 9,084,973 | 92,627 | 1,167,261 | |||||||||||||
Investor Shares | ||||||||||||||||
Shares sold | 75,998 | 1,056,715 | 3,141 | 39,068 | ||||||||||||
Reinvestment of distributions | 733 | 9,297 | 343 | 4,434 | ||||||||||||
Shares redeemed | (4,012 | ) | (54,517 | ) | (431 | ) | (5,388 | ) | ||||||||
72,719 | 1,011,495 | 3,053 | 38,114 | |||||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 438,210 | 5,848,045 | 1,533,995 | 18,318,983 | ||||||||||||
Reinvestment of distributions | 117,789 | 1,516,519 | 252,127 | 3,246,939 | ||||||||||||
Shares redeemed | (2,139,733 | ) | (28,024,203 | ) | (3,024,415 | ) | (37,219,433 | ) | ||||||||
(1,583,734 | ) | (20,659,639 | ) | (1,238,293 | ) | (15,653,511 | ) | |||||||||
Class R Shares | ||||||||||||||||
Reinvestment of distributions | 19 | 244 | 40 | 513 | ||||||||||||
19 | 244 | 40 | 513 | |||||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 1,467,630 | 19,474,004 | 7,853,489 | 99,794,253 | ||||||||||||
Reinvestment of distributions | 84,924 | 1,093,975 | 147,276 | 1,902,191 | ||||||||||||
Shares redeemed | (1,744,104 | ) | (23,288,389 | ) | (284,296 | ) | (3,681,220 | ) | ||||||||
(191,550 | ) | (2,720,410 | ) | 7,716,469 | 98,015,224 | |||||||||||
NET INCREASE/(DECREASE) | (971,559 | ) | $ | (12,737,052 | ) | 6,612,785 | $ | 84,078,948 |
52
GOLDMAN SACHS REAL ESTATE SECURITIES AND GLOBAL INFRASTRUCTURE FUNDS
12. SUMMARY OF SHARE TRANSACTIONS (continued) |
Global Real Estate Securities Fund | ||||||||||||||||
For the Fiscal Year Ended June 30, 2022 (Unaudited) | For the Fiscal Year Ended December 31, 2021 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 345 | $ | 7,581 | 1,760 | $ | 18,460 | ||||||||||
Proceeds received in connection with merger | 135,552 | 1,602,224 | — | — | ||||||||||||
Reinvestment of distributions | 691 | 6,851 | 107 | 1,263 | ||||||||||||
Shares redeemed | (6,552 | ) | (70,750 | ) | (2,536 | ) | (31,424 | ) | ||||||||
130,036 | 1,545,906 | (669 | ) | (11,701 | ) | |||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 15 | 311 | — | — | ||||||||||||
Proceeds received in connection with merger | 983 | 11,514 | — | — | ||||||||||||
Reinvestment of distributions | 17 | 171 | 69 | 822 | ||||||||||||
Shares redeemed | (15 | ) | (142 | ) | — | — | ||||||||||
1,000 | 11,854 | 69 | 822 | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 4,885 | 71,468 | 13,495 | 143,505 | ||||||||||||
Proceeds received in connection with merger | 453,687 | 5,362,585 | — | — | ||||||||||||
Reinvestment of distributions | 2,900 | 28,887 | 3,778 | 44,599 | ||||||||||||
Shares redeemed | (4,243 | ) | (44,317 | ) | (194,628 | ) | (2,391,739 | ) | ||||||||
457,229 | 5,418,623 | (177,355 | ) | (2,203,635 | ) | |||||||||||
Investor Shares | ||||||||||||||||
Shares sold | 201 | 2,384 | — | — | ||||||||||||
Proceeds received in connection with merger | 4,062 | 47,895 | — | — | ||||||||||||
Reinvestment of distributions | 45 | 455 | 71 | 841 | ||||||||||||
Shares redeemed | (461 | ) | (4,900 | ) | — | — | ||||||||||
3,847 | 45,834 | 71 | 841 | |||||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 252,820 | 3,244,225 | 417,992 | 4,864,136 | ||||||||||||
Proceeds received in connection with merger | 5,184 | 61,174 | — | — | ||||||||||||
Reinvestment of distributions | 81,357 | 854,322 | 241,640 | 2,860,276 | ||||||||||||
Shares redeemed | (1,185,836 | ) | (12,073,480 | ) | (4,722,957 | ) | (50,093,718 | ) | ||||||||
(846,475 | ) | (7,913,759 | ) | (4,063,325 | ) | (42,369,306 | ) | |||||||||
Class R Shares | ||||||||||||||||
Reinvestment of distributions | 15 | 238 | 55 | 654 | ||||||||||||
15 | 238 | 55 | 654 |
53
GOLDMAN SACHS REAL ESTATE SECURITIES AND GLOBAL INFRASTRUCTURE FUNDS
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
12. SUMMARY OF SHARE TRANSACTIONS (continued) |
Global Real Estate Securities Fund | ||||||||||||||||
For the Fiscal Year Ended June 30, 2022 (Unaudited) | For the Fiscal Year Ended December 31, 2021 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 2,173,954 | $ | 22,028,017 | 1,660,568 | $ | 18,749,636 | ||||||||||
Proceeds received in connection with merger | 2,668,812 | 31,465,295 | — | — | ||||||||||||
Reinvestment of distributions | 53,431 | 546,393 | 95,498 | 1,131,317 | ||||||||||||
Shares redeemed | (1,010,347 | ) | (11,517,036 | ) | (1,019,691 | ) | (12,201,753 | ) | ||||||||
3,885,850 | 42,522,669 | 736,375 | 7,679,200 | |||||||||||||
NET INCREASE/(DECREASE) | 3,631,502 | $ | 41,631,365 | (3,504,779 | ) | $ | (36,903,125 | ) | ||||||||
Real Estate Securities Fund | ||||||||||||||||
For the Fiscal Year Ended June 30, 2022 | For the Fiscal Year Ended December 31, 2021 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
| ||||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 61,818 | $ | 831,201 | 261,452 | $ | 3,474,537 | ||||||||||
Reinvestment of distributions | 6,460 | 77,688 | 98,461 | 1,374,972 | ||||||||||||
Shares redeemed | (159,953 | ) | (2,086,706 | ) | (535,583 | ) | (6,949,385 | ) | ||||||||
(91,675 | ) | (1,177,817 | ) | (175,670 | ) | (2,099,876 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 26,682 | 321,035 | 23,475 | 311,598 | ||||||||||||
Reinvestment of distributions | 221 | 2,384 | 7,048 | 91,893 | ||||||||||||
Shares redeemed | (26,671 | ) | (333,471 | ) | (48,409 | ) | (579,022 | ) | ||||||||
232 | (10,052 | ) | (17,886 | ) | (175,531 | ) | ||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 167,045 | 2,401,474 | 846,648 | 10,847,402 | ||||||||||||
Reinvestment of distributions | 13,814 | 178,083 | 155,150 | 2,269,344 | ||||||||||||
Shares redeemed | (248,320 | ) | (3,607,843 | ) | (651,410 | ) | (9,524,433 | ) | ||||||||
(67,461 | ) | (1,028,286 | ) | 350,388 | 3,592,313 | |||||||||||
Service Shares | ||||||||||||||||
Shares sold | 2,887 | 39,270 | 15,402 | 202,220 | ||||||||||||
Reinvestment of distributions | 98 | 1,156 | 1,932 | 27,290 | ||||||||||||
Shares redeemed | (33,635 | ) | (462,593 | ) | (42,347 | ) | (544,995 | ) | ||||||||
(30,650 | ) | (422,167 | ) | (25,013 | ) | (315,485 | ) | |||||||||
Investor Shares | ||||||||||||||||
Shares sold | 24,894 | 344,738 | 58,594 | 821,695 | ||||||||||||
Reinvestment of distributions | 959 | 11,917 | 11,704 | 165,549 | ||||||||||||
Shares redeemed | (35,746 | ) | (458,485 | ) | (98,003 | ) | (1,342,218 | ) | ||||||||
(9,893 | ) | (101,830 | ) | (27,705 | ) | (354,974 | ) |
54
GOLDMAN SACHS REAL ESTATE SECURITIES AND GLOBAL INFRASTRUCTURE FUNDS
12. SUMMARY OF SHARE TRANSACTIONS (continued) |
Real Estate Securities Fund | ||||||||||||||||
For the Fiscal Year Ended June 30, 2022 | For the Fiscal Year Ended December 31, 2021 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
| ||||||||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 201,907 | $ | 2,488,689 | 13,972 | $ | 187,160 | ||||||||||
Reinvestment of distributions | 999 | 12,242 | 516 | 7,607 | ||||||||||||
Shares redeemed | (2,621 | ) | (32,174 | ) | (82,746 | ) | (1,027,333 | ) | ||||||||
200,285 | 2,468,757 | (68,258 | ) | (832,566 | ) | |||||||||||
Class R Shares | ||||||||||||||||
Shares sold | 4,786 | 60,571 | 17,105 | 227,505 | ||||||||||||
Reinvestment of distributions | 258 | 2,981 | 4,897 | 67,408 | ||||||||||||
Shares redeemed | (5,393 | ) | (68,815 | ) | (28,316 | ) | (351,064 | ) | ||||||||
(349 | ) | (5,263 | ) | (6,314 | ) | (56,151 | ) | |||||||||
Class P Shares | ||||||||||||||||
Shares sold | 206,913 | 2,991,177 | 1,122,099 | 14,942,863 | ||||||||||||
Reinvestment of distributions | 41,465 | 534,425 | 448,322 | 6,567,981 | ||||||||||||
Shares redeemed | (405,542 | ) | (5,607,154 | ) | (662,435 | ) | (9,155,417 | ) | ||||||||
(157,164 | ) | (2,081,552 | ) | 907,986 | 12,355,427 | |||||||||||
NET INCREASE/(DECREASE) | (156,675 | ) | $ | (2,358,210 | ) | 937,528 | $ | 12,113,157 |
55
GOLDMAN SACHS REAL ESTATE SECURITIES AND GLOBAL INFRASTRUCTURE FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
The Goldman Sachs Global Infrastructure Fund, Goldman Sachs Global Real Estate Securities Fund, and Goldman Sachs Real Estate Securities Fund (the “Funds”) are investment portfolios of Goldman Sachs Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Funds at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Funds.
The Management Agreement was most recently approved for continuation until June 30, 2023 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 14-15, 2022 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held two meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to each Fund, such matters included:
(a) | the nature and quality of the advisory, administrative, and other services provided to the Fund by the Investment Adviser and its affiliates, including information about: |
(i) | the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams; |
(ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training); |
(iii) | trends in employee headcount; |
(iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
(v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
(b) | information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), and a benchmark performance index; and information on general investment outlooks in the markets in which the Fund invests; |
(c) | information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Fund’s peer group and/or benchmark index had high, medium, or low relevance given the Fund’s particular investment strategy; |
(d) | the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund; |
(e) | fee and expense information for the Fund, including: |
(i) | the relative management fee and expense levels of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; |
(ii) | the Fund’s expense trends over time; and |
(iii) | to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
(f) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; |
(g) | the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations; |
(h) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund to the Investment Adviser and its affiliates; |
(i) | whether the Fund’s existing management fee schedule adequately addressed any economies of scale; |
56
GOLDMAN SACHS REAL ESTATE SECURITIES AND GLOBAL INFRASTRUCTURE FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
(j) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, (in the case of the Global Real Estate Securities Fund) securities lending, portfolio trading, distribution and other services; |
(k) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
(l) | information regarding commissions paid by the Fund and broker oversight, an update on the Investment Adviser’s soft dollars practices, other information regarding portfolio trading, and how the Investment Adviser carries out its duty to seek best execution; |
(m) | portfolio manager ownership of Fund shares; the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers; |
(n) | the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and |
(o) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports. |
The Trustees also received an overview of the Funds’ distribution arrangements. They received information regarding the Funds’ assets, share purchase and redemption activity, and payment of distribution, service, and shareholder administration fees, as applicable. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Funds and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Funds. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Funds by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the market, regulatory and control environment in which the Funds and their service providers operate, including developments associated with the COVID-19 pandemic, geopolitical events, and economic sanctions, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees also considered information regarding the Investment Adviser’s business continuity planning and remote operations capabilities. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Funds and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Funds and the Investment Adviser and its affiliates.
Investment Performance
The Trustees also considered the investment performance of the Funds. In this regard, they compared the investment performance of each Fund to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2021, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data
57
GOLDMAN SACHS REAL ESTATE SECURITIES AND GLOBAL INFRASTRUCTURE FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Provider as of March 31, 2022. The information on each Fund’s investment performance was provided for the one-, three-, five-, and ten-year periods ending on the applicable dates, to the extent that each Fund had been in existence for those periods. The Trustees also reviewed each Fund’s investment performance relative to its performance benchmark. As part of this review, they considered the investment performance trends of the Funds over time, and reviewed the investment performance of each Fund in light of its investment objective and policies and market conditions.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Funds’ risk profiles, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management.
The Trustees considered that the Global Infrastructure Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the one-, three-, and five-year periods, and had outperformed the Fund’s benchmark index for the three-year period and underperformed for the one- and five-year periods ended March 31, 2022. They noted that the Global Real Estate Securities Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the one- and three-year periods and in the third quartile for the five-year period, and had outperformed the Fund’s benchmark index for the three- and five-year periods and underperformed for the one-year period ended March 31, 2022. The Trustees observed that the Real Estate Securities Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the one- and three-year periods and in the third quartile for the five- and ten-year periods, and had underperformed the Fund’s benchmark index for the one-, three-, five-, and ten-year periods ended March 31, 2022.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by each Fund thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Funds, which included both advisory and administrative services that were directed to the needs and operations of the Funds as registered mutual funds.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Funds. The analyses provided a comparison of each Fund’s management fee and breakpoints to those of a relevant peer group and category universe; an expense analysis which compared each Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing each Fund’s net expenses to the peer and category medians. The analyses also compared each Fund’s other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Funds.
In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations. The Trustees also noted that certain changes were being made to existing fee waiver or expense limitation arrangements of the Real Estate Securities Fund and Global Infrastructure Fund that would have the effect of decreasing expenses of Class A, Class C, Investor, and Class R Shares of the Global Infrastructure Fund and total Fund expenses of the Real Estate Securities Fund, with such changes taking effect in connection with the Funds’ next annual registration statement update. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Funds, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Funds differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.
In addition, the Trustees noted that shareholders are able to redeem their shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Profitability
The Trustees reviewed each Fund’s contribution to the Investment Adviser’s revenues and pre-tax profit margins. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization periodically audits the expense allocation methodology and that the internal audit group was satisfied with the reasonableness, consistency, and accuracy
58
GOLDMAN SACHS REAL ESTATE SECURITIES AND GLOBAL INFRASTRUCTURE FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
of the Investment Adviser’s expense allocation methodology. Profitability data for each Fund was provided for 2021 and 2020, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability.
Economies of Scale
The Trustees considered the information that had been provided regarding whether there have been economies of scale with respect to the management of the Funds. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreement for each of the Funds at the following annual percentage rates of the average daily net assets of the Funds:
Global Infrastructure Fund | Global Real Estate Securities Fund | Real Estate Securities Fund | ||||||||||
First $1 billion | 0.90 | % | 0.93 | % | 0.87 | % | ||||||
Next $1 billion | 0.81 | 0.84 | 0.78 | |||||||||
Next $3 billion | 0.77 | 0.80 | 0.74 | |||||||||
Next $3 billion | 0.75 | 0.78 | 0.73 | |||||||||
Over $8 billion | 0.74 | 0.76 | 0.71 |
The Trustees noted that the breakpoints were designed to share potential economies of scale, if any, with the Funds and their shareholders as assets under management reach those asset levels. The Trustees considered the amounts of assets in the Funds; the Funds’ recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer groups; and the Investment Adviser’s undertakings to limit certain expenses of the Funds that exceed specified levels as well as Goldman Sachs & Co. LLC’s (“Goldman Sachs”) undertaking to waive a portion of its transfer agency fees with respect to certain share classes of the Global Infrastructure Fund and Real Estate Securities Fund. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Funds as stated above, including: (a) transfer agency fees received by Goldman Sachs; (b) brokerage and futures commissions earned by Goldman Sachs for executing securities and futures transactions on behalf of the Funds; (c) research received by the Investment Adviser from broker-dealers in exchange for executing certain transactions on behalf of the Funds; (d) trading efficiencies resulting from aggregation of orders of the Funds with those for other funds or accounts managed by the Investment Adviser; (e) (in the case of the Global Real Estate Securities Fund) 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 Fund’s cash collateral is invested); (f) the Investment Adviser’s ability to leverage the infrastructure designed to service the Funds on behalf of its other clients; (g) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (h) Goldman Sachs’ retention of certain fees as Fund Distributor; (i) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Funds; (j) 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; (k) the 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 (l) the possibility that the working relationship between the Investment Adviser and the Funds’ third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
Other Benefits to the Funds and Their Shareholders
The Trustees also noted that the Funds receive certain other potential benefits as a result of their relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Funds with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors due to the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers due to the volume of business generated by the Investment Adviser and its affiliates; (d) the advantages received from the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (e) the Investment Adviser’s ability to hire and retain qualified personnel to
59
GOLDMAN SACHS REAL ESTATE SECURITIES AND GLOBAL INFRASTRUCTURE FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
provide services to the Funds because of the reputation of the Goldman Sachs organization; (f) the Funds’ access, through the Investment Adviser, to certain firm-wide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; (g) (in the case of the Global Real Estate Securities Fund) the Fund’s ability to participate in the securities lending program administered by GSAL, as measured by the revenue received by the Funds in connection with the program; and (h) the Funds’ access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Funds’ shareholders invested in the Funds in part because of the Funds’ relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by each of the Funds were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and each Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit each Fund and its shareholders and that the Management Agreement should be approved and continued with respect to each Fund until June 30, 2023.
60
GOLDMAN SACHS REAL ESTATE SECURITIES AND GLOBAL INFRASTRUCTURE FUNDS
Liquidity Risk Management Program (Unaudited)
Each Fund has adopted and implemented a liquidity risk management program (the “Program”) in accordance with Rule 22e-4 under the 1940 Act. The Program seeks to assess and manage each Fund’s liquidity risk, i.e., the risk that a Fund is unable to satisfy redemption requests without significantly diluting remaining investors’ interests in the Fund. The Board of Trustees of the Trust has designated GSAM, each Fund’s investment adviser, to administer the Program. Certain aspects of the Program rely on third parties to perform certain functions, including the provision of market data and application of models.
The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Fund’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of a Fund’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under Rule 22e-4); (4) for a Fund that does not invest primarily in “highly liquid investments” (as defined under Rule 22e-4), the determination of a minimum percentage of the Fund’s assets that will generally be invested in highly liquid investments (a “Highly Liquid Investment Minimum”); and (5) periodic reporting to the Board of Trustees.
At a meeting of the Board of Trustees on February 8-9, 2022, GSAM provided a written report to the Board addressing the operation, and the adequacy and effectiveness of the implementation, of the Program, including, as applicable, the operation of any Highly Liquid Investment Minimum and any material changes to the Program, for the period from January 1, 2021 through December 31, 2021 (the “Reporting Period”). Among other things, the annual report discussed: (1) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions; (2) an assessment of the methodologies used to classify investments into one of four liquidity categories; and (3) the impact of local holidays in non-U.S. jurisdictions. The report concluded that the Program continues to be reasonably designed to assess and manage liquidity risk and was adequately and effectively implemented during the Reporting Period.
There can be no assurance that the Program will achieve its objectives under all circumstances in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which it may be subject.
61
GOLDMAN SACHS REAL ESTATE SECURITIES AND GLOBAL INFRASTRUCTURE FUNDS
Impact of Russian Invasion of Ukraine (Unaudited)
The Russian invasion of Ukraine has negatively affected the global economy and has resulted in significant disruptions in financial markets and increased macroeconomic uncertainty. In addition, governments around the world have responded to Russia’s invasion by imposing economic sanctions and export controls on certain industry sectors, companies and individuals in or associated with Russia. Russia has imposed its own restrictions against investors and countries outside Russia and has proposed additional measures aimed at non-Russian-owned businesses. Businesses in the U.S. and globally have experienced shortages in materials and increased costs for transportation, energy and raw materials due, in part, to the negative effects of the war on the global economy. The escalation or continuation of the war between Russia and Ukraine or other hostilities presents heightened risks relating to cyber-attacks, the frequency and volume of failures to settle securities transactions, supply chain disruptions, inflation, as well as the potential for increased volatility in commodity, currency and other financial markets. The extent and duration of the war, sanctions and resulting market disruptions, as well as the potential adverse consequences for the Funds’ operations are difficult to predict.
62
GOLDMAN SACHS REAL ESTATE SECURITIES FUNDS
Fund Expenses — Six Month Period Ended June 30, 2022 (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 January 1, 2022 through June 30, 2022, which represents a period of 181 days of a 365 day year.
Actual Expenses —The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Global Infrastructure Fund | Global Real Estate Securities Fund | Real Estate Securities Fund | ||||||||||||||||||||||||||||||||||
Share Class | Beginning Account Value 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid for the 6 months ended 6/30/2022* | Beginning Account Value 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid for the 6 months ended 6/30/2022* | Beginning Account Value 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid for the 6 months ended 6/30/2022* | |||||||||||||||||||||||||||
Class A | ||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 945.99 | $ | 6.51 | $ | 1,000.00 | $ | 784.11 | $ | 5.94 | $ | 1,000.00 | $ | 783.24 | $ | 5.63 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,018.10 | + | 6.76 | 1,000.00 | 1,018.14 | + | 6.72 | 1,000.00 | 1,018.48 | + | 6.37 | ||||||||||||||||||||||||
Class C | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 943.03 | 10.12 | 1,000.00 | 779.95 | 9.24 | 1,000.00 | 781.73 | 8.94 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,014.38 | + | 10.49 | 1,000.00 | 1,014.42 | + | 10.45 | 1,000.00 | 1,014.76 | + | 10.11 | ||||||||||||||||||||||||
Institutional | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 948.40 | 4.78 | 1,000.00 | 783.78 | 4.30 | 1,000.00 | 721.49 | 3.90 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,019.89 | + | 4.96 | 1,000.00 | 1,019.97 | + | 4.87 | 1,000.00 | 1,020.27 | + | 4.57 | ||||||||||||||||||||||||
Service | ||||||||||||||||||||||||||||||||||||
Actual | N/A | N/A | N/A | N/A | N/A | N/A | 1,000.00 | 779.40 | 6.23 | |||||||||||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | N/A | N/A | N/A | 1,000.00 | 1,017.79 | + | 7.07 | ||||||||||||||||||||||||||
Investor | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 947.19 | 5.31 | 1,000.00 | 782.25 | 4.83 | 1,000.00 | 781.31 | 4.52 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,019.34 | + | 5.51 | 1,000.00 | 1,019.38 | + | 5.47 | 1,000.00 | 1,019.72 | + | 5.13 | ||||||||||||||||||||||||
Class R6 | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 948.29 | 4.73 | 1,000.00 | 783.96 | 4.26 | 1,000.00 | 783.01 | 3.99 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,019.93 | + | 4.91 | 1,000.00 | 1,020.02 | + | 4.82 | 1,000.00 | 1,020.32 | + | 4.52 | ||||||||||||||||||||||||
Class R | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 944.81 | 7.72 | 1,000.00 | 782.89 | 7.04 | 1,000.00 | 782.04 | 6.77 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,016.86 | + | 8.00 | 1,000.00 | 1,016.90 | + | 7.96 | 1,000.00 | 1,017.19 | + | 7.67 | ||||||||||||||||||||||||
Class P | ||||||||||||||||||||||||||||||||||||
Actual | 1,000.00 | 947.54 | 4.73 | 1,000.00 | 784.41 | 4.26 | 1,000.00 | 783.14 | 3.99 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,019.93 | + | 4.91 | 1,000.00 | 1,020.02 | + | 4.82 | 1,000.00 | 1,020.32 | + | 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 June 30, 2022. 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 Shares | Class C Shares | Institutional Shares | Service Shares | Investor Shares | Class R6 Shares | Class R Shares | Class P Shares | ||||||||||||||||||||||||
Global Infrastructure Fund | 1.35 | % | 2.10 | % | 0.99 | % | N/A | 1.10 | % | 0.98 | % | 1.60 | % | 0.98 | % | |||||||||||||||||
Global Real Estate Securities Fund | 1.34 | 2.09 | 0.97 | N/A | 1.09 | 0.96 | 1.59 | 0.96 | ||||||||||||||||||||||||
Real Estate Securities Fund | 1.27 | 2.02 | 0.91 | 1.41 | 1.02 | 0.90 | 1.53 | 0.90 |
63
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 Asset Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $2.27 trillion in assets under supervision as of June 30, 2022, Goldman Sachs Asset Management 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. Goldman Sachs Asset Management 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 |
∎ | Short-Term Conservative Income Fund |
∎ | Short Duration Government Fund |
∎ | Short Duration Bond Fund4 |
∎ | Government Income Fund |
∎ | Inflation Protected Securities Fund |
Multi-Sector
∎ | Bond Fund |
∎ | Core Fixed Income Fund |
∎ | Global Core Fixed Income Fund |
∎ | Strategic Income Fund |
∎ | Income Fund |
Municipal and Tax-Free
∎ | High Yield Municipal Fund |
∎ | Dynamic Municipal Income Fund |
∎ | Short Duration Tax-Free Fund |
∎ | Municipal Income Completion Fund |
Single Sector
∎ | Investment Grade Credit Fund |
∎ | U.S. Mortgages Fund |
∎ | High Yield Fund |
∎ | High Yield Floating Rate Fund |
�� | Emerging Markets Debt Fund |
∎ | Local Emerging Markets Debt Fund |
Fixed Income Alternatives
∎ | Long Short Credit Strategies Fund |
Fundamental Equity
∎ | Equity Income Fund |
∎ | Small Cap Growth Fund |
∎ | Small Cap Value Fund |
∎ | Small/Mid Cap Value Fund |
∎ | Mid Cap Value Fund |
∎ | Large Cap Value Fund |
∎ | Focused Value Fund |
∎ | Large Cap Core Fund5 |
∎ | Strategic Growth Fund |
∎ | Small/Mid Cap Growth Fund |
∎ | Flexible Cap Fund |
∎ | Concentrated Growth Fund |
∎ | Technology Opportunities Fund |
∎ | Mid Cap Growth Fund6 |
∎ | Rising Dividend Growth Fund |
∎ | U.S. Equity ESG Fund |
∎ | Income Builder Fund |
Tax-Advantaged Equity
∎ | U.S. Tax-Managed Equity Fund |
∎ | International Tax-Managed Equity Fund |
∎ | U.S. Equity Dividend and Premium Fund |
∎ | International Equity Dividend and Premium Fund |
Equity Insights
∎ | Small Cap Equity Insights Fund |
∎ | U.S. Equity Insights Fund |
∎ | Small Cap Growth Insights Fund |
∎ | Large Cap Growth Insights Fund |
∎ | Large Cap Value Insights Fund |
∎ | Small Cap Value Insights Fund |
∎ | International Small Cap Insights Fund |
∎ | International Equity Insights Fund |
∎ | Emerging Markets Equity Insights Fund |
Fundamental Equity International
∎ | International Equity Income Fund |
∎ | International Equity ESG Fund |
∎ | China Equity Fund |
∎ | Emerging Markets Equity Fund |
∎ | ESG Emerging Markets Equity Fund |
Alternative
∎ | Clean Energy Income Fund |
∎ | Defensive Equity Fund |
∎ | Real Estate Securities Fund |
∎ | Commodity Strategy Fund |
∎ | Global Real Estate Securities Fund |
∎ | Absolute Return Tracker Fund |
∎ | Managed Futures Strategy Fund |
∎ | MLP Energy Infrastructure Fund |
∎ | Energy Infrastructure Fund |
∎ | Multi-Manager Alternatives 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 |
∎ | Strategic Volatility Premium 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 July 29, 2021, the Goldman Sachs Short Duration Income Fund was renamed the Goldman Sachs Short Duration Bond Fund. |
5 | Effective after the close of business on April 13, 2022, the Goldman Sachs Capital Growth Fund was renamed the Goldman Sachs Large Cap Core Fund. |
6 | Effective after the close of business on April 13, 2022, the Goldman Sachs Growth Opportunities Fund was renamed the Goldman Sachs Mid Cap Growth 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 John G. Chou Diana M. Daniels Joaquin Delgado Eileen H. Dowling James A. McNamara Gregory G. Weaver Paul C. Wirth | 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 June 30 is available (i) without charge, upon request by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders); and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://www.sec.gov.
The Global Industry Classification Standard (GICS) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (MSCI) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (S&P) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
The Funds 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 June 30, 2022 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).
© 2022 Goldman Sachs. All rights reserved. 287440-OTU-08/2022 RESSAR-22
Goldman Sachs Funds
Semi-Annual Report | June 30, 2022 | |||
Tax-Advantaged Equity Funds I | ||||
International Tax-Managed Equity | ||||
U.S. Tax-Managed Equity |
Goldman Sachs Tax-Advantaged Equity Funds
∎ | INTERNATIONAL TAX-MANAGED EQUITY |
∎ | U.S. TAX-MANAGED EQUITY |
1 | ||||
4 | ||||
8 | ||||
18 | ||||
21 | ||||
21 | ||||
27 | ||||
34 | ||||
55 |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee |
Goldman Sachs Tax-Advantaged Funds I
The following are highlights both of key factors affecting the U.S. and international equity markets and of any key changes made to the Goldman Sachs Tax-Advantaged Funds I (the “Funds”) during the six months ended June 30, 2022 (the “Reporting Period”). A fuller review of the markets and these changes will appear in the Funds’ annual shareholder report covering the 12 months ended December 31, 2022.
Market and Economic Review
International Equities
• | Representing the developed international equity markets, the MSCI EAFE Index (net) returned -19.57% for the Reporting Period, in line with the U.S. equity market, as represented by the -19.96% return of the S&P 500 Index. |
• | During the first quarter of 2022, the MSCI EAFE Index (net) returned -5.91%. |
• | International equity prices faced pressures from global concerns around rising inflation, planned interest rate hikes by the U.S. Fed, rising bond yields, valuation concerns, and Russia’s late February invasion of Ukraine. |
• | Certain governments around the world took a public stance condemning Russia’s action and imposed various economic sanctions, including removal of Russian financial institutions from bank connectivity network SWIFT, banning transactions with the Russian central bank and halting trading of Russian securities. Such sanctions boosted the price of crude oil in the global markets. |
• | Driven by increased market volatility, the Fed signaled a slower than anticipated pace of monetary policy tightening while retaining a cautionary focus on rising inflation. |
• | Hopes around the success of diplomatic talks and peaceful negotiations between Russia and Ukraine led to some market recovery toward the end of the quarter. |
• | Still, beyond the broader concerns around the geopolitical crisis, the impact on commodity prices reinforced worries about supply-side inflation and a potential stagflation scenario—particularly in Europe. (Stagflation is characterized by slow economic growth and high inflation.) However, the corporate earnings season retained its overall strength. |
• | Other macroeconomic uncertainties included those around regulation in China, the status of Chinese shares listed in the U.S., and slowing economic growth in China, all exacerbated by the imposition of lockdowns and manufacturing halts due to a rise in COVID-19 cases, leading, in turn, to further supply-chain issues. |
• | During the second quarter of 2022, the MSCI EAFE Index (net) returned -14.51%. |
• | All major regions performed roughly in line with each other, as inflationary pressures persisted, and odds of a U.S. recession grew. |
• | Supply-chain issues worsened as China initially instituted lockdowns following a surge in COVID-19 cases. However, as the quarter progressed, China began easing its COVID-19-induced restrictions, mitigating the disruption. |
• | In the Euro area, the geopolitical crisis of the ongoing war in Ukraine remained on the forefront of concerns, in part due to worries about potential gas shortages due to reduced supply from Russia. This was particularly concerning for countries with high energy dependence, such as Italy, Spain and Germany. Germany triggered an emergency plan in June 2022 that allowed utilities to pass on cost increases to consumers. |
• | The Bank of England introduced a 25 basis point interest rate hike in June despite negative economic growth in the country. |
• | Japanese equities fell, as the yen significantly weakened against the U.S. dollar, driven by concerns around a U.S. recession, currency markets and monetary policy. Inflation was also a headwind for Japan, with its inflation at the highest since 2008 and its consumer confidence index falling to its lowest level since January 2021. |
1
MARKET REVIEW
• | The best performing sector within the MSCI EAFE Index during the Reporting Period was energy, the only sector to post a positive total return for the Reporting Period. The weakest performing sectors were information technology, industrials and consumer discretionary. |
• | All of the country constituents of the MSCI EAFE Index posted negative total returns during the Reporting Period. On a relative basis, however, Hong Kong, Portugal, Norway and the U.K. were the best performing countries within the MSCI EAFE Index during the Reporting Period. The weakest performing countries during the Reporting Period were Ireland, Austria, Sweden and the Netherlands. |
U.S. Equities
• | Overall, U.S. equities struggled during the Reporting Period. The Standard & Poor’s 500® Index (the “S&P 500 Index”) ended the Reporting Period with a return of -19.96%, its worst showing in the first half of a calendar year since 1970 and erasing nearly all the gains achieved in 2021. The Russell 3000® Index generated a return of -21.10%. |
• | Inflationary pressures, shifting U.S. Federal Reserve (“Fed”) policy, COVID-19 pandemic overhangs and ongoing war between Russia and Ukraine were the primary concerns pressuring the U.S. equity markets during the Reporting Period. |
• | During the first quarter of 2022, the S&P 500 Index returned -4.95%, marking the first quarterly decline since the first quarter of 2020. |
• | Among the major economic and geopolitical developments were the dramatic repricing of the Fed interest rate hike path and accelerated expectations for a more aggressive balance sheet runoff phase due to concerns about elevated and persistent inflation pressures. |
• | The hawkish Fed policy shift drove a large increase in bond yields, and U.S. Treasuries suffered one of their worst quarters on record. (Hawkish suggests higher interest rates; opposite of dovish.) |
• | COVID-19, and more specifically, the Omicron variants, was still an overhang, with resurgent cases bringing back supply-chain issues and worker shortages. |
• | Amid this backdrop, dampened corporate earnings momentum played into the bearish narrative for the U.S. equities markets. (Bearish refers to an expected downward movement in the prices of securities.) |
• | Growth equities meaningfully lagged value equities as a potential by-product of anticipated higher interest rates in the near term. |
• | During the second quarter of 2022, the S&P 500 Index returned -16.10%. |
• | Inflation, the Fed’s policy response and recession worries were at the core of investors’ narratives, resulting in a broad risk-off, or heightened risk aversion, atmosphere. |
• | Geopolitical overhang also remained a concern, as it affected energy prices, leading to low consumer sentiment and potentially changing consumer spending trends. |
• | On the other hand, equity inflows, buyback strength, insider buying, resilient consumer spending and some hints of cooling in the labor market were seen by the consensus as tailwinds. |
• | In late May/early June 2022, it remained unclear whether a rebound seen in the U.S. equity markets from the May 20, 2022 year-to-date lows represented the start of a recovery or a bear-market rally. |
• | This question was quickly answered later in the month after the release of a higher than consensus expected May Consumer Price Index report, which sent the S&P 500® Index to new year-to-date lows. |
• | Moreover, following a 25 basis point hike in March 2022 and a 50 basis point increase in May 2022, the Fed agreed to a 75 basis point interest rate hike during its June 2022 meeting, wherein Fed Chair Powell asserted the Fed’s unconditional commitment to price stability with a policy response evolving based on incoming data. (A basis point is 1/100th of a percentage point.) |
2
MARKET REVIEW
• | At the end of the quarter, investors were looking ahead to the second quarter corporate earnings reporting season with some caution, as input price pressures and consumption trends factored into analyst arguments for downward revisions to earnings estimates. |
• | During the Reporting Period overall, all segments of the U.S. equity markets declined, but small-cap stocks were weakest, followed by mid-cap stocks and large-cap stocks. Value stocks meaningfully outperformed growth stocks on a relative basis across the capitalization spectrum during the Reporting Period. |
• | Ten of the 11 sectors of the S&P 500 Index declined during the Reporting Period. The best performing sector by far within the S&P 500 Index during the Reporting Period was energy, the only one to produce a positive total return. Still, utilities, consumer staples and health care also produced total returns that notably outpaced the broad S&P 500 Index. The weakest performing sectors during the Reporting Period were consumer discretionary, communication services and information technology. |
Fund Changes and Highlights
No material changes were made to the Funds during the Reporting Period.
3
International Tax-Managed Equity Fund
as of June 30, 2022
PERFORMANCE REVIEW |
| |||||||||
January 1, 2022–June 30, 2022 | Fund Total Return (based on NAV)1 | MSCI EAFE Index (net, USD, unhedged)2 | ||||||||
Class A | -19.22 | % | -19.57 | % | ||||||
Class C | -19.45 | -19.57 | ||||||||
Institutional | -19.01 | -19.57 | ||||||||
Investor | -19.07 | -19.57 | ||||||||
Class R6 | -19.05 | -19.57 | ||||||||
Class P | -19.05 | -19.57 |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The MSCI EAFE Index (net, USD, unhedged) is an unmanaged market capitalization-weighted composite of securities in 21 developed markets. The Index figures do not include any deduction for fees or expenses. It is not possible to invest directly in an index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
TOP TEN HOLDINGS AS OF 6/30/223 | ||||||||
Holding | % of Net Assets | Line of Business | ||||||
Novo Nordisk A/S, Class B | 2.3 | % | Pharmaceuticals, Biotechnology & Life Sciences | |||||
ASML Holding NV | 2.0 | Semiconductors & Semiconductor Equipment | ||||||
Shell PLC | 1.8 | Energy | ||||||
Commonwealth Bank of Australia | 1.5 | Banks | ||||||
GSK PLC ADR | 1.5 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
British American Tobacco PLC | 1.3 | Food, Beverage & Tobacco | ||||||
BHP Group Ltd. | 1.3 | Materials | ||||||
UBS Group AG | 1.2 | Diversified Financials | ||||||
Rio Tinto PLC ADR | 1.1 | Materials | ||||||
Nestle SA | 1.1 | Food, Beverage & Tobacco |
3 | The top 10 holdings may not be representative of the Fund’s future investments. |
4
FUND BASICS
FUND VS. BENCHMARK SECTOR ALLOCATIONS4 |
As of June 30, 2022 |
4 | 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 June 30, 2022. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
5
FUND BASICS
U.S. Tax-Managed Equity Fund
as of June 30, 2022
PERFORMANCE REVIEW |
| |||||||||
January 1, 2022– June 30, 2022 | Fund Total Return (based on NAV)1 | Russell 3000® Index2 | ||||||||
Class A | -22.72 | % | -21.10 | % | ||||||
Class C | -23.02 | -21.10 | ||||||||
Institutional | -22.61 | -21.10 | ||||||||
Service | -22.79 | -21.10 | ||||||||
Investor | -22.63 | -21.10 | ||||||||
Class R6 | -22.60 | -21.10 | ||||||||
Class P | -22.60 | -21.10 |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The Russell 3000® Index is an unmanaged index that measures the performance of the 3,000 largest U.S. companies based on total market capitalization, which represents approximately 98% of the investable U.S. equity market. Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
TOP TEN HOLDINGS AS OF 6/30/223 | ||||||||
Holding | % of Net Assets | Line of Business | ||||||
Microsoft Corp. | 5.3 | % | Software & Services | |||||
Apple, Inc. | 4.4 | Technology Hardware & Equipment | ||||||
AbbVie, Inc. | 2.0 | Pharmaceuticals, Biotechnology & Life Sciences | ||||||
Amazon.com, Inc. | 1.8 | Retailing | ||||||
Alphabet, Inc., Class A | 1.6 | Media & Entertainment | ||||||
Alphabet, Inc., Class C | 1.5 | Media & Entertainment | ||||||
Elevance Health, Inc. | 1.5 | Health Care Equipment & Services | ||||||
Tesla, Inc. | 1.4 | Automobiles & Components | ||||||
AutoZone, Inc. | 1.3 | Retailing | ||||||
Charles Schwab Corp. (The) | 1.2 | Diversified Financials |
3 | The top 10 holdings may not be representative of the Fund’s future investments. |
6
FUND BASICS
FUND VS. BENCHMARK SECTOR ALLOCATIONS4 |
As of June 30, 2022 |
4 | 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). 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.
7
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
June 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 95.9% | ||||||||
Australia – 10.7% | ||||||||
218,527 | Aristocrat Leisure Ltd. (Consumer Services) | $ | 5,197,891 | |||||
1,817,929 | Aurizon Holdings Ltd. (Transportation) | 4,781,212 | ||||||
388,694 | Australia & New Zealand Banking Group Ltd. (Banks) | 5,920,088 | ||||||
317,850 | BHP Group Ltd. (Materials) | 8,863,032 | ||||||
167,225 | Commonwealth Bank of Australia (Banks) | 10,447,643 | ||||||
161,526 | Computershare Ltd. (Software & Services) | 2,754,530 | ||||||
52,109 | Fortescue Metals Group Ltd. (Materials) | 626,598 | ||||||
216,803 | Glencore PLC (Materials)* | 1,174,300 | ||||||
300,776 | Goodman Group REIT (Real Estate) | 3,713,902 | ||||||
143,879 | Harvey Norman Holdings Ltd. (Retailing) | 368,922 | ||||||
1,144,166 | Incitec Pivot Ltd. (Materials) | 2,633,074 | ||||||
258,444 | National Australia Bank Ltd. (Banks) | 4,900,834 | ||||||
125,711 | Rio Tinto PLC ADR (Materials) | 7,668,371 | ||||||
713,902 | Telstra Corp. Ltd. (Telecommunication Services) | 1,898,819 | ||||||
551,236 | Treasury Wine Estates Ltd. (Food, Beverage & Tobacco) | 4,322,907 | ||||||
96,596 | Wesfarmers Ltd. (Retailing) | 2,793,942 | ||||||
419,941 | Westpac Banking Corp. (Banks) | 5,664,548 | ||||||
|
| |||||||
73,730,613 | ||||||||
|
| |||||||
Belgium – 1.0% | ||||||||
35,122 | Anheuser-Busch InBev SA/NV (Food, Beverage & Tobacco) | 1,891,389 | ||||||
30,817 | D’ieteren Group (Retailing) | 4,528,431 | ||||||
4,542 | KBC Group NV (Banks) | 255,538 | ||||||
7,916 | Telenet Group Holding NV (Media & Entertainment) | 164,488 | ||||||
3,235 | UCB SA (Pharmaceuticals, Biotechnology & Life Sciences) | 274,132 | ||||||
|
| |||||||
7,113,978 | ||||||||
|
| |||||||
Canada – 0.4% | ||||||||
304,713 | International Petroleum Corp. (Energy)* | 2,961,968 | ||||||
|
| |||||||
China – 0.0% | ||||||||
43,000 | Kerry Logistics Network Ltd. (Transportation) | 92,490 | ||||||
|
| |||||||
Denmark – 3.9% | ||||||||
369 | AP Moller – Maersk A/S, Class A (Transportation) | 856,433 | ||||||
1,776 | AP Moller – Maersk A/S, Class B (Transportation) | 4,169,334 | ||||||
15,205 | Carlsberg AS, Class B (Food, Beverage & Tobacco) | 1,943,241 | ||||||
16,910 | D/S Norden A/S (Transportation) | 589,107 | ||||||
2,584 | DSV A/S (Transportation) | 363,355 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Denmark – (continued) | ||||||||
144,814 | Novo Nordisk A/S, Class B (Pharmaceuticals, Biotechnology & Life Sciences) | 16,060,219 | ||||||
14,260 | Orsted AS (Utilities)(a) | 1,501,919 | ||||||
9,157 | Royal Unibrew A/S (Food, Beverage & Tobacco) | 814,953 | ||||||
16,493 | Scandinavian Tobacco Group A/S (Food, Beverage & Tobacco)(a) | 323,311 | ||||||
1,808 | Topdanmark AS (Insurance) | 94,100 | ||||||
|
| |||||||
26,715,972 | ||||||||
|
| |||||||
Finland – 1.5% | ||||||||
160,435 | Kesko OYJ, Class B (Food & Staples Retailing) | 3,796,826 | ||||||
47,035 | Metsa Board OYJ, Class B (Materials) | 393,913 | ||||||
196,673 | Nokia OYJ (Technology Hardware & Equipment) | 911,590 | ||||||
609,656 | Nordea Bank Abp (Banks) | 5,385,411 | ||||||
|
| |||||||
10,487,740 | ||||||||
|
| |||||||
France – 7.6% | ||||||||
6,039 | Alten SA (Software & Services) | 661,620 | ||||||
29,333 | Arkema SA (Materials) | 2,623,912 | ||||||
35,442 | BNP Paribas SA (Banks) | 1,695,262 | ||||||
3,298 | Christian Dior SE (Consumer Durables & Apparel) | 1,968,762 | ||||||
11,010 | Covivio REIT (Real Estate) | 615,104 | ||||||
27,388 | Dassault Aviation SA (Capital Goods) | 4,276,990 | ||||||
97,608 | Dassault Systemes (Software & Services) | 3,615,487 | ||||||
8,537 | Edenred (Software & Services) | 404,404 | ||||||
2,782 | Eiffage SA (Capital Goods) | 251,660 | ||||||
20,957 | Eutelsat Communications SA (Media & Entertainment) | 236,507 | ||||||
6,183 | Gaztransport Et Technigaz SA (Energy) | 776,613 | ||||||
2,260 | Gecina SA REIT (Real Estate) | 212,101 | ||||||
2,483 | Hermes International (Consumer Durables & Apparel) | 2,794,440 | ||||||
1,949 | Ipsen SA (Pharmaceuticals, Biotechnology & Life Sciences) | 184,538 | ||||||
2,963 | Legrand SA (Capital Goods) | 219,998 | ||||||
1,356 | LVMH Moet Hennessy Louis Vuitton SE (Consumer Durables & Apparel) | 831,063 | ||||||
34,064 | Pernod Ricard SA (Food, Beverage & Tobacco) | 6,297,578 | ||||||
45,948 | Renault SA (Automobiles & Components)* | 1,160,000 | ||||||
38,373 | Rexel SA (Capital Goods)* | 592,940 | ||||||
3,584 | Rubis SCA (Utilities) | 84,295 | ||||||
22,390 | Safran SA (Capital Goods) | 2,229,273 | ||||||
72,840 | Sanofi (Pharmaceuticals, Biotechnology & Life Sciences) | 7,345,631 | ||||||
14,043 | Sartorius Stedim Biotech (Pharmaceuticals, Biotechnology & Life Sciences) | 4,430,819 | ||||||
102,088 | SCOR SE (Insurance) | 2,198,884 | ||||||
|
|
8 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
France – (continued) | ||||||||
60,239 | Societe Generale SA (Banks) | $ | 1,331,867 | |||||
40,236 | Thales SA (Capital Goods) | 4,940,060 | ||||||
386 | Virbac SA (Pharmaceuticals, Biotechnology & Life Sciences) | 150,931 | ||||||
|
| |||||||
52,130,739 | ||||||||
|
| |||||||
Gabon – 0.0% | ||||||||
50,571 | BW Energy Ltd. (Energy)* | 130,810 | ||||||
|
| |||||||
Germany – 8.4% | ||||||||
1,481 | Aurubis AG (Materials) | 101,057 | ||||||
131,435 | BASF SE (Materials) | 5,750,580 | ||||||
118,091 | Bayer AG (Pharmaceuticals, Biotechnology & Life Sciences) | 7,051,973 | ||||||
66,220 | Bayerische Motoren Werke AG (Automobiles & Components) | 5,133,418 | ||||||
33,426 | Brenntag SE (Capital Goods) | 2,188,676 | ||||||
27,159 | Covestro AG (Materials)(a) | 943,740 | ||||||
168,462 | Deutsche Post AG (Transportation) | 6,360,481 | ||||||
578,250 | E.ON SE (Utilities) | 4,870,646 | ||||||
3,253 | FUCHS PETROLUB SE (Materials) | 79,754 | ||||||
3,394 | GEA Group AG (Capital Goods) | 117,663 | ||||||
2,331 | Hapag-Lloyd AG (Transportation)(a)(b) | 609,442 | ||||||
174,048 | K+S AG (Materials) | 4,235,957 | ||||||
13,365 | Knorr-Bremse AG (Capital Goods) | 765,480 | ||||||
108,813 | Mercedes-Benz Group AG (Automobiles & Components) | 6,319,684 | ||||||
31,961 | Merck KGaA (Pharmaceuticals, Biotechnology & Life Sciences) | 5,421,270 | ||||||
20,385 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Insurance) | 4,822,021 | ||||||
23,729 | RWE AG (Utilities) | 877,643 | ||||||
10,704 | Softwareone Holding AG (Technology Hardware & Equipment)* | 128,314 | ||||||
15,495 | Wacker Chemie AG (Materials) | 2,247,117 | ||||||
|
| |||||||
58,024,916 | ||||||||
|
| |||||||
Hong Kong – 0.9% | ||||||||
48,000 | CK Asset Holdings Ltd. (Real Estate) | 341,055 | ||||||
4,900 | Jardine Matheson Holdings Ltd. (Capital Goods) | 257,250 | ||||||
72,500 | Kerry Properties Ltd. (Real Estate) | 201,608 | ||||||
92,000 | NWS Holdings Ltd. (Capital Goods) | 87,415 | ||||||
4,000 | Orient Overseas International Ltd. (Transportation) | 106,573 | ||||||
433,000 | Sun Hung Kai Properties Ltd. (Real Estate) | 5,126,747 | ||||||
|
| |||||||
6,120,648 | ||||||||
|
| |||||||
Italy – 1.9% | ||||||||
54,271 | A2A SpA (Utilities) | 69,062 | ||||||
206,658 | Davide Campari-Milano NV (Food, Beverage & Tobacco) | 2,180,181 | ||||||
422,298 | Leonardo SpA (Capital Goods) | 4,284,554 | ||||||
110,138 | Prysmian SpA (Capital Goods) | 3,025,814 | ||||||
285,081 | Snam SpA (Utilities) | 1,495,641 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Italy – (continued) | ||||||||
284,699 | Terna – Rete Elettrica Nazionale (Utilities) | 2,238,371 | ||||||
|
| |||||||
13,293,623 | ||||||||
|
| |||||||
Japan – 24.9% | ||||||||
66,000 | Air Water, Inc. (Materials) | 831,670 | ||||||
10,600 | ASKA Pharmaceutical Holdings Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 78,491 | ||||||
42,800 | Central Japan Railway Co. (Transportation) | 4,919,127 | ||||||
280,700 | Coca-Cola Bottlers Japan Holdings, Inc. (Food, Beverage & Tobacco) | 3,355,416 | ||||||
11,300 | Cosmo Energy Holdings Co. Ltd. (Energy) | 311,599 | ||||||
144,400 | Dai Nippon Printing Co. Ltd. (Commercial & Professional Services) | 3,106,119 | ||||||
606,200 | Daiwa Securities Group, Inc. (Diversified Financials) | 2,714,340 | ||||||
124,800 | ENEOS Holdings, Inc. (Energy) | 469,596 | ||||||
47,300 | Fujitsu Ltd. (Software & Services) | 5,918,553 | ||||||
6,500 | Fuyo General Lease Co. Ltd. (Diversified Financials) | 368,842 | ||||||
95,800 | H2O Retailing Corp. (Retailing) | 739,340 | ||||||
69,700 | Hankyu Hanshin Holdings, Inc. (Transportation) | 1,903,735 | ||||||
21,000 | Happinet Corp. (Retailing) | 246,270 | ||||||
16,200 | Hisamitsu Pharmaceutical Co., Inc. (Pharmaceuticals, Biotechnology & Life Sciences) | 418,763 | ||||||
157,100 | Hitachi Metals Ltd. (Materials)* | 2,378,206 | ||||||
120,200 | Honda Motor Co. Ltd. (Automobiles & Components) | 2,898,154 | ||||||
2,700 | Horiba Ltd. (Technology Hardware & Equipment) | 115,180 | ||||||
107,800 | Inui Global Logistics Co. Ltd. (Commercial & Professional Services) | 1,388,806 | ||||||
61,300 | Japan Post Holdings Co. Ltd. (Insurance) | 438,597 | ||||||
336,300 | Japan Tobacco, Inc. (Food, Beverage & Tobacco) | 5,827,671 | ||||||
35,500 | JGC Holdings Corp. (Capital Goods) | 455,976 | ||||||
14,500 | Kamigumi Co. Ltd. (Transportation) | 280,306 | ||||||
60,900 | Kansai Electric Power Co., Inc. (The) (Utilities) | 602,823 | ||||||
14,700 | KDDI Corp. (Telecommunication Services) | 463,555 | ||||||
6,600 | Koei Tecmo Holdings Co. Ltd. (Media & Entertainment) | 214,009 | ||||||
44,700 | Kokuyo Co. Ltd. (Commercial & Professional Services) | 566,348 | ||||||
73,000 | Konami Group Corp. (Media & Entertainment) | 4,044,311 | ||||||
59,700 | Lawson, Inc. (Food & Staples Retailing) | 1,986,858 | ||||||
496,500 | Marubeni Corp. (Capital Goods) | 4,454,391 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
Schedule of Investments (continued)
June 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
18,600 | Maxell Ltd. (Technology Hardware & Equipment) | $ | 181,627 | |||||
12,100 | Mitsubishi Estate Co. Ltd. (Real Estate) | 175,370 | ||||||
78,400 | Mitsubishi Gas Chemical Co., Inc. (Materials) | 1,134,132 | ||||||
1,062,400 | Mitsubishi HC Capital, Inc. (Diversified Financials) | 4,903,375 | ||||||
2,800 | Mitsubishi Research Institute, Inc. (Software & Services) | 85,151 | ||||||
81,200 | Mitsubishi Shokuhin Co. Ltd. (Food & Staples Retailing) | 2,267,807 | ||||||
257,500 | Mitsui & Co. Ltd. (Capital Goods) | 5,658,443 | ||||||
271,900 | Mitsui Fudosan Co. Ltd. (Real Estate) | 5,841,730 | ||||||
164,000 | MS&AD Insurance Group Holdings, Inc. (Insurance) | 5,028,795 | ||||||
120,200 | NEC Corp. (Software & Services) | 4,689,839 | ||||||
111,700 | NGK Insulators Ltd. (Capital Goods) | 1,504,877 | ||||||
141,000 | Nippon Telegraph & Telephone Corp. (Telecommunication Services) | 4,051,377 | ||||||
69,600 | Nippon Yusen KK (Transportation) | 4,772,120 | ||||||
20,200 | Nishi-Nippon Railroad Co. Ltd. (Transportation) | 432,990 | ||||||
3,400 | Nisshin Oillio Group Ltd. (The) (Food, Beverage & Tobacco) | 78,656 | ||||||
13,200 | Nissin Foods Holdings Co. Ltd. (Food, Beverage & Tobacco) | 911,739 | ||||||
17,700 | Nomura Real Estate Holdings, Inc. (Real Estate) | 433,038 | ||||||
2,800 | NS Solutions Corp. (Software & Services) | 74,786 | ||||||
82,200 | NTT Data Corp. (Software & Services) | 1,140,348 | ||||||
600,200 | Obayashi Corp. (Capital Goods) | 4,365,412 | ||||||
2,800 | OKUMA Corp. (Capital Goods) | 105,159 | ||||||
6,400 | Ono Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 164,411 | ||||||
4,900 | Oriental Land Co. Ltd. (Consumer Services) | 684,295 | ||||||
167,000 | Osaka Gas Co. Ltd. (Utilities) | 3,200,595 | ||||||
146,800 | Otsuka Holdings Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 5,240,277 | ||||||
10,500 | Relia, Inc. (Software & Services) | 82,651 | ||||||
14,000 | Ricoh Co. Ltd. (Technology Hardware & Equipment) | 109,300 | ||||||
6,200 | Ricoh Leasing Co. Ltd. (Diversified Financials) | 159,656 | ||||||
3,300 | S Foods, Inc. (Food, Beverage & Tobacco) | 76,068 | ||||||
495,800 | Santen Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 3,911,341 | ||||||
16,700 | Sato Holdings Corp. (Commercial & Professional Services) | 229,972 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
53,800 | SCREEN Holdings Co. Ltd. (Semiconductors & Semiconductor Equipment) | 3,650,458 | ||||||
138,700 | Seiko Epson Corp. (Technology Hardware & Equipment) | 1,962,187 | ||||||
1,100 | Shin-Etsu Chemical Co. Ltd. (Materials) | 123,652 | ||||||
97,400 | Shionogi & Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 4,971,144 | ||||||
100,200 | SKY Perfect JSAT Holdings, Inc. (Media & Entertainment) | 398,502 | ||||||
108,000 | SoftBank Group Corp. (Telecommunication Services) | 4,185,919 | ||||||
102,200 | Sompo Holdings, Inc. (Insurance) | 4,513,965 | ||||||
25,100 | Square Enix Holdings Co. Ltd. (Media & Entertainment) | 1,114,108 | ||||||
6,700 | Starts Corp., Inc. (Real Estate) | 137,397 | ||||||
190,800 | Subaru Corp. (Automobiles & Components) | 3,374,957 | ||||||
353,000 | Sumitomo Corp. (Capital Goods) | 4,798,488 | ||||||
25,800 | Sumitomo Mitsui Construction Co. Ltd. (Capital Goods) | 87,611 | ||||||
31,200 | Taisei Corp. (Capital Goods) | 972,815 | ||||||
30,900 | Taisho Pharmaceutical Holdings Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 1,221,414 | ||||||
224,200 | Takeda Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 6,297,408 | ||||||
1,600 | Toei Co. Ltd. (Media & Entertainment) | 209,324 | ||||||
75,300 | Tokio Marine Holdings, Inc. (Insurance) | 4,390,890 | ||||||
144,000 | Tokyo Century Corp. (Diversified Financials) | 4,783,989 | ||||||
190,100 | Tokyo Gas Co. Ltd. (Utilities) | 3,939,642 | ||||||
95,700 | Tokyo Tatemono Co. Ltd. (Real Estate) | 1,320,243 | ||||||
62,900 | Tokyu Corp. (Transportation) | 742,438 | ||||||
260,900 | Tokyu Fudosan Holdings Corp. (Real Estate) | 1,372,975 | ||||||
7,600 | Torii Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 179,749 | ||||||
203,700 | Tosoh Corp. (Materials) | 2,533,770 | ||||||
54,000 | Toyota Motor Corp. (Automobiles & Components) | 833,183 | ||||||
5,200 | Tsumura & Co. (Pharmaceuticals, Biotechnology & Life Sciences) | 116,957 | ||||||
1,200 | Ulvac, Inc. (Semiconductors & Semiconductor Equipment) | 40,873 | ||||||
15,000 | Yokorei Co. Ltd. (Food & Staples Retailing) | 97,383 | ||||||
|
| |||||||
171,563,830 | ||||||||
|
| |||||||
Luxembourg – 0.6% | ||||||||
51,680 | Eurofins Scientific SE (Pharmaceuticals, Biotechnology & Life Sciences) | 4,081,595 | ||||||
|
|
10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Netherlands – 7.3% | ||||||||
10,014 | Aalberts NV (Capital Goods) | $ | 388,873 | |||||
18,606 | ASM International NV (Semiconductors & Semiconductor Equipment) | 4,629,310 | ||||||
29,329 | ASML Holding NV (Semiconductors & Semiconductor Equipment) | 13,856,139 | ||||||
44,261 | ASR Nederland NV (Insurance) | 1,784,471 | ||||||
62,272 | BE Semiconductor Industries NV (Semiconductors & Semiconductor Equipment) | 2,975,620 | ||||||
26,979 | Heineken Holding NV (Food, Beverage & Tobacco) | 1,959,881 | ||||||
54,306 | Heineken NV (Food, Beverage & Tobacco) | 4,943,023 | ||||||
174,588 | Koninklijke Ahold Delhaize NV (Food & Staples Retailing) | 4,544,357 | ||||||
33,558 | OCI NV (Materials) | 1,103,914 | ||||||
489,106 | Shell PLC (Energy) | 12,691,105 | ||||||
13,622 | Wolters Kluwer NV (Commercial & Professional Services) | 1,320,217 | ||||||
|
| |||||||
50,196,910 | ||||||||
|
| |||||||
Norway – 2.8% | ||||||||
123,237 | Aker BP ASA (Energy) | 4,268,050 | ||||||
126,086 | Aker BP ASA SDR (Energy)* | 4,366,256 | ||||||
83,266 | Aker Solutions ASA (Energy) | 225,877 | ||||||
17,920 | Austevoll Seafood ASA (Food, Beverage & Tobacco) | 211,352 | ||||||
187,013 | DNB Bank ASA (Banks) | 3,385,602 | ||||||
249,849 | Golden Ocean Group Ltd. (Transportation) | 2,954,465 | ||||||
28,933 | Grieg Seafood ASA (Food, Beverage & Tobacco) | 414,772 | ||||||
64,846 | Leroy Seafood Group ASA (Food, Beverage & Tobacco) | 464,301 | ||||||
1,213,610 | MPC Container Ships ASA (Transportation) | 2,420,785 | ||||||
209,998 | Odfjell Drilling Ltd. (Energy)* | 495,375 | ||||||
|
| |||||||
19,206,835 | ||||||||
|
| |||||||
Portugal – 0.1% | ||||||||
135,267 | REN – Redes Energeticas Nacionais SGPS SA (Utilities) | 407,229 | ||||||
245,953 | Sonae SGPS SA (Food & Staples Retailing) | 301,791 | ||||||
|
| |||||||
709,020 | ||||||||
|
| |||||||
Singapore – 0.9% | ||||||||
229,033 | DBS Group Holdings Ltd. (Banks) | 4,900,713 | ||||||
17,800 | Singapore Exchange Ltd. (Diversified Financials) | 121,270 | ||||||
394,400 | Singapore Technologies Engineering Ltd. (Capital Goods) | 1,161,042 | ||||||
|
| |||||||
6,183,025 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
South Africa – 1.0% | ||||||||
191,469 | Anglo American PLC (Materials) | 6,844,744 | ||||||
|
| |||||||
Spain – 0.9% | ||||||||
138,811 | Banco Bilbao Vizcaya Argentaria SA (Banks) | 630,561 | ||||||
161,913 | Bankinter SA (Banks) | 1,012,743 | ||||||
13,346 | Merlin Properties Socimi SA REIT (Real Estate) | 129,247 | ||||||
231,577 | Red Electrica Corp. SA (Utilities) | 4,383,658 | ||||||
|
| |||||||
6,156,209 | ||||||||
|
| |||||||
Sweden – 4.4% | ||||||||
12,106 | AddLife AB, Class B (Pharmaceuticals, Biotechnology & Life Sciences) | 182,570 | ||||||
20,633 | Atlas Copco AB, Class B (Capital Goods) | 172,882 | ||||||
144,586 | Boliden AB (Materials) | 4,623,931 | ||||||
38,333 | Cloetta AB, Class B (Food, Beverage & Tobacco) | 78,740 | ||||||
144,792 | Epiroc AB, Class B (Capital Goods) | 1,962,136 | ||||||
33,902 | Essity AB, Class B (Household & Personal Products) | 886,217 | ||||||
14,546 | Getinge AB, Class B (Health Care Equipment & Services) | 337,123 | ||||||
8,388 | Intrum AB (Commercial & Professional Services) | 160,455 | ||||||
98,882 | Orron Energy ab (Energy) | 67,236 | ||||||
348,839 | Skandinaviska Enskilda Banken AB, Class A (Banks) | 3,436,706 | ||||||
289,164 | SSAB AB, Class B (Materials) | 1,201,543 | ||||||
79,428 | Svenska Cellulosa AB SCA, Class B (Materials) | 1,193,410 | ||||||
226,538 | Svenska Handelsbanken AB, Class A (Banks) | 1,944,582 | ||||||
362,832 | Swedbank AB, Class A (Banks) | 4,601,651 | ||||||
16,437 | Tele2 AB, Class B (Telecommunication Services) | 187,429 | ||||||
881,185 | Telia Co. AB (Telecommunication Services) | 3,382,080 | ||||||
353,257 | Volvo AB, Class B (Capital Goods) | 5,496,464 | ||||||
|
| |||||||
29,915,155 | ||||||||
|
| |||||||
Switzerland – 5.3% | ||||||||
10,815 | Baloise Holding AG (Insurance) | 1,770,343 | ||||||
10 | Chocoladefabriken Lindt & Spruengli AG (Food, Beverage & Tobacco) | 1,048,552 | ||||||
11 | Chocoladefabriken Lindt & Spruengli AG (Food, Beverage & Tobacco) | 112,002 | ||||||
68,592 | Cie Financiere Richemont SA (Consumer Durables & Apparel) | 7,377,974 | ||||||
8,297 | Helvetia Holding AG (Insurance) | 974,427 | ||||||
20,600 | Kuehne + Nagel International AG (Transportation) | 4,894,612 | ||||||
11,998 | Lonza Group AG (Pharmaceuticals, Biotechnology & Life Sciences) | 6,408,581 | ||||||
11,441 | Mobilezone Holding AG (Retailing) | 199,993 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
Schedule of Investments (continued)
June 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Switzerland – (continued) | �� | |||||||
4,556 | Novartis AG (Pharmaceuticals, Biotechnology & Life Sciences) | $ | 386,261 | |||||
736 | PSP Swiss Property AG (Real Estate) | 81,942 | ||||||
1,076 | Schindler Holding AG Participation Certificates (Capital Goods) | 196,756 | ||||||
2,760 | Sonova Holding AG (Health Care Equipment & Services) | 882,045 | ||||||
503,449 | UBS Group AG (Diversified Financials) | 8,139,124 | ||||||
8,783 | Zurich Insurance Group AG (Insurance) | 3,830,033 | ||||||
|
| |||||||
36,302,645 | ||||||||
|
| |||||||
United Kingdom – 6.5% | ||||||||
1,722 | AstraZeneca PLC ADR (Pharmaceuticals, Biotechnology & Life Sciences) | 113,773 | ||||||
995,534 | Aviva PLC (Insurance) | 4,876,392 | ||||||
19,412 | BP PLC ADR (Energy) | 550,330 | ||||||
210,715 | British American Tobacco PLC (Food, Beverage & Tobacco) | 9,032,148 | ||||||
73,958 | Central Asia Metals PLC (Materials) | 199,414 | ||||||
7,820 | Clarkson PLC (Transportation) | 285,503 | ||||||
299,233 | Compass Group PLC (Consumer Services) | 6,143,671 | ||||||
1,936 | DCC PLC (Capital Goods) | 120,451 | ||||||
125,914 | Diageo PLC (Food, Beverage & Tobacco) | 5,438,569 | ||||||
259,478 | Imperial Brands PLC (Food, Beverage & Tobacco) | 5,809,125 | ||||||
1,221,531 | M&G PLC (Diversified Financials) | 2,895,910 | ||||||
71,372 | National Grid PLC (Utilities) | 917,197 | ||||||
41,423 | Next PLC (Retailing) | 2,959,273 | ||||||
10,307 | Odfjell Technology Ltd. (Energy)* | 21,347 | ||||||
42,086 | Segro PLC REIT (Real Estate) | 502,413 | ||||||
254,715 | SSE PLC (Utilities) | 5,026,888 | ||||||
|
| |||||||
44,892,404 | ||||||||
|
| |||||||
United States – 4.9% | ||||||||
35,211 | Ferguson PLC (Capital Goods) | 3,944,425 | ||||||
235,089 | GSK PLC ADR (Pharmaceuticals, Biotechnology & Life Sciences) | 10,233,424 | ||||||
63,607 | Nestle SA (Food, Beverage & Tobacco) | 7,433,926 | ||||||
16,244 | Roche Holding AG (Pharmaceuticals, Biotechnology & Life Sciences) | 5,430,367 | ||||||
434,881 | Stellantis NV (Automobiles & Components) | 5,398,939 | ||||||
14,145 | Swiss Re AG (Insurance) | 1,097,906 | ||||||
|
| |||||||
33,538,987 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $620,685,790) | $ | 660,394,856 | ||||||
|
|
Shares | Description | Rate | Value | |||||||||
Preferred Stocks – 1.6% | ||||||||||||
Germany – 1.6% | ||||||||||||
7,073 | Bayerische Motoren Werke AG (Automobiles & Components) | 8.32 | % | $ | 504,485 | |||||||
63,781 | Henkel AG & Co. KGaA (Household & Personal Products) | 3.06 | 3,946,809 | |||||||||
21,811 | Porsche Automobil Holding SE (Automobiles & Components) | 3.89 | 1,450,672 | |||||||||
37,279 | Volkswagen AG (Automobiles & Components) | 5.85 | 5,019,238 | |||||||||
|
| |||||||||||
TOTAL PREFERRED STOCKS | ||||||||||||
(Cost $12,280,055) | $ | 10,921,204 | ||||||||||
|
| |||||||||||
| TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | | ||||||||||
(Cost $632,965,845) | $ | 671,316,060 | ||||||||||
|
|
Shares | Dividend Rate | Value | ||||||
Securities Lending Reinvestment Vehicle – 0.1%(c) | ||||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||||
615,824 | 1.367 | % | $ | 615,824 | ||||
(Cost $615,824) |
| |||||||
| ||||||||
TOTAL INVESTMENTS – 97.6% |
| |||||||
(Cost $633,581,669) |
| $ | 671,931,884 | |||||
| ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 2.4% |
| 16,712,820 | ||||||
| ||||||||
NET ASSETS – 100.0% |
| $ | 688,644,704 | |||||
|
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) | All or a portion of security is on loan. | |
(c) | Represents an affiliated issuer. |
| ||
Investment Abbreviations: | ||
ADR | —American Depositary Receipt | |
PLC | —Public Limited Company | |
REIT | —Real Estate Investment Trust | |
SDR | —Swedish Depositary Receipt | |
|
12 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
Sector | % of Total Market Value | |||
Financials | 17.2 | % | ||
Industrials | 16.0 | |||
Health Care | 13.6 | |||
Consumer Staples | 12.3 | |||
Consumer Discretionary | 10.3 | |||
Materials | 8.8 | |||
Information Technology | 7.1 | |||
Utilities | 4.4 | |||
Energy | 4.1 | |||
Communication Services | 3.1 | |||
Real Estate | 3.0 | |||
Securities Lending Reinvestment Vehicle | 0.1 | |||
| ||||
TOTAL INVESTMENTS | 100.0 | % | ||
|
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At June 30, 2022, 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 | 155 | 09/16/22 | $ | 5,648,724 | $ | (96,396 | ) | |||||||||
FTSE 100 Index | 24 | 09/16/22 | 2,085,952 | (13,765 | ) | |||||||||||
Hang Seng Index | 4 | 07/28/22 | 562,769 | (8,457 | ) | |||||||||||
MSCI Singapore Index | 8 | 07/28/22 | 168,496 | (6,529 | ) | |||||||||||
SPI 200 Index | 7 | 09/15/22 | 795,562 | (19,532 | ) | |||||||||||
TOPIX Index | 21 | 09/08/22 | 3,071,883 | (91,567 | ) | |||||||||||
Total Futures Contracts | $ | (236,246 | ) |
The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
Schedule of Investments
June 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 90.8% | ||||||||
Automobiles & Components – 2.6% | ||||||||
436,408 | Ford Motor Co. | $ | 4,857,221 | |||||
699,035 | General Motors Co.* | 22,201,352 | ||||||
21,887 | Gentex Corp. | 612,179 | ||||||
15,203 | Harley-Davidson, Inc. | 481,327 | ||||||
45,421 | Tesla, Inc.* | 30,587,410 | ||||||
|
| |||||||
58,739,489 | ||||||||
|
| |||||||
Banks – 1.4% | ||||||||
11,523 | Cadence Bank | 270,560 | ||||||
66,283 | Columbia Banking System, Inc. | 1,899,008 | ||||||
64,190 | East West Bancorp, Inc. | 4,159,512 | ||||||
13,386 | Essent Group Ltd. | 520,715 | ||||||
40,192 | First BanCorp. (Puerto Rico) | 518,879 | ||||||
56,420 | First Hawaiian, Inc. | 1,281,298 | ||||||
30,357 | FNB Corp. | 329,677 | ||||||
160,200 | Hope Bancorp, Inc. | 2,217,168 | ||||||
19,845 | International Bancshares Corp. | 795,388 | ||||||
40,827 | JPMorgan Chase & Co. | 4,597,528 | ||||||
80,240 | MGIC Investment Corp. | 1,011,024 | ||||||
10,646 | National Bank Holdings Corp., Class A | 407,422 | ||||||
114,836 | PacWest Bancorp | 3,061,528 | ||||||
24,228 | Pinnacle Financial Partners, Inc. | 1,751,927 | ||||||
5,054 | PNC Financial Services Group, Inc. (The) | 797,370 | ||||||
25,107 | Popular, Inc. (Puerto Rico) | 1,931,482 | ||||||
2,591 | Signature Bank | 464,333 | ||||||
5,001 | SVB Financial Group* | 1,975,345 | ||||||
72,884 | Trustmark Corp. | 2,127,484 | ||||||
17,489 | Western Alliance Bancorp | 1,234,723 | ||||||
|
| |||||||
31,352,371 | ||||||||
|
| |||||||
Capital Goods – 4.0% | ||||||||
74,677 | AECOM | 4,870,434 | ||||||
5,761 | AGCO Corp. | 568,611 | ||||||
29,484 | AMETEK, Inc. | 3,239,997 | ||||||
2,784 | Atkore, Inc.* | 231,100 | ||||||
32,308 | Emerson Electric Co. | 2,569,778 | ||||||
12,799 | Encore Wire Corp. | 1,330,072 | ||||||
13,565 | Fortive Corp. | 737,665 | ||||||
26,238 | General Dynamics Corp. | 5,805,157 | ||||||
28,001 | H&E Equipment Services, Inc. | 811,189 | ||||||
50,186 | Hexcel Corp. | 2,625,230 | ||||||
6,443 | Honeywell International, Inc. | 1,119,858 | ||||||
97,597 | Illinois Tool Works, Inc. | 17,787,053 | ||||||
96,928 | Johnson Controls International PLC | 4,640,912 | ||||||
12,408 | Lockheed Martin Corp. | 5,334,944 | ||||||
77,352 | Otis Worldwide Corp. | 5,466,466 | ||||||
63,668 | PACCAR, Inc. | 5,242,423 | ||||||
10,598 | Parker-Hannifin Corp. | 2,607,638 | ||||||
149,820 | Raytheon Technologies Corp. | 14,399,200 | ||||||
30,166 | Snap-on, Inc. | 5,943,607 | ||||||
86,073 | Textron, Inc. | 5,256,478 | ||||||
|
| |||||||
90,587,812 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Commercial & Professional Services – 0.7% | ||||||||
5,740 | Booz Allen Hamilton Holding Corp. | 518,666 | ||||||
29,156 | Cintas Corp. | 10,890,641 | ||||||
4,185 | Clean Harbors, Inc.* | 366,899 | ||||||
71,280 | CoStar Group, Inc.* | 4,306,025 | ||||||
|
| |||||||
16,082,231 | ||||||||
|
| |||||||
Consumer Durables & Apparel – 0.6% | ||||||||
73,950 | Capri Holdings Ltd.* | 3,032,689 | ||||||
25,635 | Garmin Ltd. | 2,518,639 | ||||||
385 | NVR, Inc.* | 1,541,594 | ||||||
42,262 | Whirlpool Corp. | 6,545,116 | ||||||
|
| |||||||
13,638,038 | ||||||||
|
| |||||||
Consumer Services – 1.7% | ||||||||
28,505 | Boyd Gaming Corp. | 1,418,124 | ||||||
20,334 | Bright Horizons Family Solutions, Inc.* | 1,718,630 | ||||||
18,628 | Chipotle Mexican Grill, Inc.* | 24,351,639 | ||||||
9,796 | Churchill Downs, Inc. | 1,876,228 | ||||||
2,086 | Graham Holdings Co., Class B | 1,182,428 | ||||||
19,334 | Grand Canyon Education, Inc.* | 1,821,070 | ||||||
13,020 | Hyatt Hotels Corp., Class A* | 962,308 | ||||||
142,560 | International Game Technology PLC | 2,645,914 | ||||||
9,524 | Marriott International, Inc., Class A | 1,295,359 | ||||||
25,703 | Red Rock Resorts, Inc., Class A | 857,452 | ||||||
5,222 | Yum! Brands, Inc. | 592,749 | ||||||
|
| |||||||
38,721,901 | ||||||||
|
| |||||||
Diversified Financials – 8.5% | ||||||||
90,429 | Ally Financial, Inc. | 3,030,276 | ||||||
1,351,022 | Annaly Capital Management, Inc. REIT | 7,984,540 | ||||||
452,097 | Bank of New York Mellon Corp. (The) | 18,856,966 | ||||||
38,603 | Berkshire Hathaway, Inc., Class B* | 10,539,391 | ||||||
143,740 | Capital One Financial Corp. | 14,976,271 | ||||||
20,369 | Cboe Global Markets, Inc. | 2,305,567 | ||||||
418,859 | Charles Schwab Corp. (The) | 26,463,512 | ||||||
108,351 | CME Group, Inc. | 22,179,450 | ||||||
96,351 | Discover Financial Services | 9,112,878 | ||||||
19,961 | Interactive Brokers Group, Inc., Class A | 1,098,055 | ||||||
63,834 | Intercontinental Exchange, Inc. | 6,002,949 | ||||||
163,062 | Jefferies Financial Group, Inc. | 4,503,772 | ||||||
23,105 | LPL Financial Holdings, Inc. | 4,262,410 | ||||||
3,482 | MarketAxess Holdings, Inc. | 891,427 | ||||||
112,434 | Morgan Stanley | 8,551,730 | ||||||
26,713 | Navient Corp. | 373,715 | ||||||
67,382 | Northern Trust Corp. | 6,501,015 | ||||||
21,967 | Raymond James Financial, Inc. | 1,964,069 | ||||||
42,630 | State Street Corp. | 2,628,139 | ||||||
85,751 | Stifel Financial Corp. | 4,803,771 | ||||||
525,118 | Synchrony Financial | 14,503,759 | ||||||
42,112 | TPG RE Finance Trust, Inc. REIT | 379,429 | ||||||
325,896 | Voya Financial, Inc. | 19,400,589 | ||||||
|
| |||||||
191,313,680 | ||||||||
|
|
14 | 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) | ||||||||
Energy – 3.6% | ||||||||
8,224 | Cactus, Inc., Class A | $ | 331,181 | |||||
89,256 | EOG Resources, Inc. | 9,857,433 | ||||||
14,466 | Exxon Mobil Corp. | 1,238,868 | ||||||
89,700 | Golar LNG Ltd. (Cameroon)* | 2,040,675 | ||||||
12,264 | Hess Corp. | 1,299,248 | ||||||
1,100,198 | Kinder Morgan, Inc. | 18,439,318 | ||||||
60,808 | Magnolia Oil & Gas Corp., Class A | 1,276,360 | ||||||
327,779 | Marathon Oil Corp. | 7,368,472 | ||||||
81,529 | Marathon Petroleum Corp. | 6,702,499 | ||||||
10,451 | Matador Resources Co. | 486,912 | ||||||
8,760 | ONEOK, Inc. | 486,180 | ||||||
120,372 | Ovintiv, Inc. | 5,319,239 | ||||||
33,190 | Pioneer Natural Resources Co. | 7,404,025 | ||||||
94,650 | Schlumberger NV | 3,384,684 | ||||||
125,572 | SM Energy Co. | 4,293,307 | ||||||
103,628 | Targa Resources Corp. | 6,183,483 | ||||||
156,754 | Williams Cos., Inc. (The) | 4,892,292 | ||||||
|
| |||||||
81,004,176 | ||||||||
|
| |||||||
Food & Staples Retailing – 0.4% | ||||||||
43,330 | Casey’s General Stores, Inc. | 8,015,184 | ||||||
3,528 | Costco Wholesale Corp. | 1,690,900 | ||||||
4,183 | Ingles Markets, Inc., Class A | 362,875 | ||||||
|
| |||||||
10,068,959 | ||||||||
|
| |||||||
Food, Beverage & Tobacco – 1.7% | ||||||||
123,479 | Archer-Daniels-Midland Co. | 9,581,970 | ||||||
66,358 | Campbell Soup Co. | 3,188,502 | ||||||
13,668 | Coca-Cola Consolidated, Inc. | 7,707,385 | ||||||
51,135 | Darling Ingredients, Inc.* | 3,057,873 | ||||||
35,242 | Lamb Weston Holdings, Inc. | 2,518,393 | ||||||
9,833 | Lancaster Colony Corp. | 1,266,294 | ||||||
61,956 | Monster Beverage Corp.* | 5,743,321 | ||||||
24,171 | Sanderson Farms, Inc. | 5,209,576 | ||||||
|
| |||||||
38,273,314 | ||||||||
|
| |||||||
Health Care Equipment & Services – 6.9% | ||||||||
6,362 | Abbott Laboratories | 691,231 | ||||||
301,607 | Cano Health, Inc.* | 1,321,039 | ||||||
209,248 | Centene Corp.* | 17,704,473 | ||||||
21,748 | Cigna Corp. | 5,731,033 | ||||||
72,981 | Edwards Lifesciences Corp.* | 6,939,763 | ||||||
71,276 | Elevance Health, Inc. | 34,396,372 | ||||||
92,329 | Envista Holdings Corp.* | 3,558,360 | ||||||
127,879 | HCA Healthcare, Inc. | 21,491,345 | ||||||
34,579 | Humana, Inc. | 16,185,392 | ||||||
14,459 | IDEXX Laboratories, Inc.* | 5,071,205 | ||||||
45,173 | Molina Healthcare, Inc.* | 12,630,823 | ||||||
4,033 | Patterson Cos., Inc. | 122,200 | ||||||
986 | Teleflex, Inc. | 242,408 | ||||||
47,957 | UnitedHealth Group, Inc. | 24,632,154 | ||||||
54,345 | Universal Health Services, Inc., Class B | 5,473,085 | ||||||
|
| |||||||
156,190,883 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Household & Personal Products – 1.3% | ||||||||
69,740 | Energizer Holdings, Inc. | 1,977,129 | ||||||
163,676 | Kimberly-Clark Corp. | 22,120,811 | ||||||
8,185 | Procter & Gamble Co. (The) | 1,176,921 | ||||||
24,983 | Reynolds Consumer Products, Inc. | 681,287 | ||||||
12,835 | WD-40 Co. | 2,584,456 | ||||||
|
| |||||||
28,540,604 | ||||||||
|
| |||||||
Insurance – 1.8% | ||||||||
189,479 | American Equity Investment Life Holding Co. | 6,929,247 | ||||||
35,396 | American Financial Group, Inc. | 4,913,319 | ||||||
30,962 | AMERISAFE, Inc. | 1,610,334 | ||||||
60,068 | Arch Capital Group Ltd.* | 2,732,493 | ||||||
59,191 | Brighthouse Financial, Inc.* | 2,428,015 | ||||||
10,472 | CNA Financial Corp. | 470,193 | ||||||
73,120 | Globe Life, Inc. | 7,127,006 | ||||||
6,827 | Goosehead Insurance, Inc., Class A | 311,789 | ||||||
15,650 | Marsh & McLennan Cos., Inc. | 2,429,663 | ||||||
178,797 | Old Republic International Corp. | 3,997,901 | ||||||
17,273 | Reinsurance Group of America, Inc. | 2,025,950 | ||||||
129,586 | Ryan Specialty Holdings, Inc.* | 5,078,475 | ||||||
25,412 | W R Berkley Corp. | 1,734,623 | ||||||
|
| |||||||
41,789,008 | ||||||||
|
| |||||||
Materials – 2.8% | ||||||||
4,937 | Air Products and Chemicals, Inc. | 1,187,250 | ||||||
14,386 | Alcoa Corp. | 655,714 | ||||||
4,735 | Alpha Metallurgical Resources, Inc. | 611,430 | ||||||
78,720 | Avient Corp. | 3,155,098 | ||||||
154,972 | CF Industries Holdings, Inc. | 13,285,750 | ||||||
28,500 | Corteva, Inc. | 1,542,990 | ||||||
2,903 | Crown Holdings, Inc. | 267,569 | ||||||
8,601 | Dow, Inc. | 443,898 | ||||||
71,308 | Element Solutions, Inc. | 1,269,282 | ||||||
435,506 | Freeport-McMoRan, Inc. | 12,742,906 | ||||||
4,026 | International Flavors & Fragrances, Inc. | 479,577 | ||||||
14,430 | Louisiana-Pacific Corp. | 756,276 | ||||||
18,102 | LSB Industries, Inc.* | 250,894 | ||||||
140,756 | Mosaic Co. (The) | 6,647,906 | ||||||
56,853 | Olin Corp. | 2,631,157 | ||||||
3,885 | Packaging Corp. of America | 534,187 | ||||||
32,225 | Ramaco Resources, Inc. | 423,759 | ||||||
57,894 | Sherwin-Williams Co. (The) | 12,963,045 | ||||||
34,799 | Summit Materials, Inc., Class A* | 810,469 | ||||||
96,209 | United States Steel Corp. | 1,723,103 | ||||||
50,694 | Warrior Met Coal, Inc. | 1,551,743 | ||||||
|
| |||||||
63,934,003 | ||||||||
|
| |||||||
Media & Entertainment – 6.1% | ||||||||
16,330 | Alphabet, Inc., Class A* | 35,587,316 | ||||||
15,750 | Alphabet, Inc., Class C* | 34,452,337 | ||||||
11,964 | Charter Communications, Inc., Class A* | 5,605,493 | ||||||
94,443 | Comcast Corp., Class A | 3,705,943 | ||||||
171,552 | Liberty Broadband Corp., Class C* | 19,838,273 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 15 |
GOLDMAN SACHS U.S. TAX-MANAGED EQUITY FUND
Schedule of Investments (continued)
June 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Media & Entertainment – (continued) | ||||||||
106,950 | Meta Platforms, Inc., Class A* | $ | 17,245,688 | |||||
17,336 | Netflix, Inc.* | 3,031,546 | ||||||
43,049 | Nexstar Media Group, Inc., Class A | 7,011,821 | ||||||
79,508 | ROBLOX Corp., Class A* | 2,612,633 | ||||||
61,991 | Take-Two Interactive Software, Inc.* | 7,595,757 | ||||||
17,797 | TripAdvisor, Inc.* | 316,787 | ||||||
|
| |||||||
137,003,594 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences – 9.0% | ||||||||
288,435 | AbbVie, Inc. | 44,176,705 | ||||||
17,691 | Agilent Technologies, Inc. | 2,101,160 | ||||||
96,743 | Avantor, Inc.* | 3,008,707 | ||||||
16,914 | Biogen, Inc.* | 3,449,441 | ||||||
44,077 | Bruker Corp. | 2,766,273 | ||||||
318,524 | Gilead Sciences, Inc. | 19,687,968 | ||||||
207,757 | Horizon Therapeutics PLC* | 16,570,698 | ||||||
7,809 | IQVIA Holdings, Inc.* | 1,694,475 | ||||||
88,523 | Johnson & Johnson | 15,713,718 | ||||||
64,030 | Medpace Holdings, Inc.* | 9,583,370 | ||||||
26,154 | Merck & Co., Inc. | 2,384,460 | ||||||
8,389 | Mettler-Toledo International, Inc.* | 9,637,032 | ||||||
54,255 | PerkinElmer, Inc. | 7,716,146 | ||||||
128,361 | Pfizer, Inc. | 6,729,967 | ||||||
161,686 | Prestige Consumer Healthcare, Inc.* | 9,507,137 | ||||||
124,587 | QIAGEN NV* | 5,880,506 | ||||||
22,821 | Regeneron Pharmaceuticals, Inc.* | 13,490,178 | ||||||
11,995 | Syneos Health, Inc.* | 859,802 | ||||||
41,866 | Thermo Fisher Scientific, Inc. | 22,744,960 | ||||||
20,879 | West Pharmaceutical Services, Inc. | 6,313,183 | ||||||
|
| |||||||
204,015,886 | ||||||||
|
| |||||||
Real Estate – 5.7% | ||||||||
1 | Apartment Income REIT Corp. REIT | 42 | ||||||
1 | Apartment Investment and Management Co., Class A REIT* | 6 | ||||||
21,275 | Brixmor Property Group, Inc. REIT | 429,968 | ||||||
99,127 | Camden Property Trust REIT | 13,330,599 | ||||||
52,484 | CubeSmart REIT | 2,242,116 | ||||||
181,398 | Duke Realty Corp. REIT | 9,967,820 | ||||||
9,981 | EPR Properties REIT | 468,408 | ||||||
300,929 | Equity LifeStyle Properties, Inc. REIT | 21,206,467 | ||||||
55,317 | Extra Space Storage, Inc. REIT | 9,410,528 | ||||||
102,128 | First Industrial Realty Trust, Inc. REIT | 4,849,037 | ||||||
231,786 | Healthpeak Properties, Inc. REIT | 6,005,575 | ||||||
36,933 | Host Hotels & Resorts, Inc. REIT | 579,109 | ||||||
17,107 | Lamar Advertising Co., Class A REIT | 1,504,903 | ||||||
73,274 | Life Storage, Inc. REIT | 8,181,775 | ||||||
93,298 | Mid-America Apartment Communities, Inc. REIT | 16,296,362 | ||||||
49,771 | National Storage Affiliates Trust REIT | 2,492,034 | ||||||
84,261 | NexPoint Residential Trust, Inc. REIT | 5,267,155 | ||||||
5,356 | Prologis, Inc. REIT | 630,133 | ||||||
25,819 | Public Storage REIT | 8,072,827 | ||||||
93,086 | Rexford Industrial Realty, Inc. REIT | 5,360,823 | ||||||
2 | Simon Property Group, Inc. REIT | 190 | ||||||
385,160 | STORE Capital Corp. REIT | 10,044,973 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Real Estate – (continued) | ||||||||
14,722 | Terreno Realty Corp. REIT | 820,457 | ||||||
28,435 | Ventas, Inc. REIT | 1,462,412 | ||||||
1 | Vornado Realty Trust REIT | 29 | ||||||
|
| |||||||
128,623,748 | ||||||||
|
| |||||||
Retailing – 7.0% | ||||||||
379,300 | Amazon.com, Inc.* | 40,285,453 | ||||||
1,486 | Asbury Automotive Group, Inc.* | 251,639 | ||||||
76,783 | AutoNation, Inc.* | 8,581,268 | ||||||
13,220 | AutoZone, Inc.* | 28,411,366 | ||||||
11,019 | Dick’s Sporting Goods, Inc. | 830,502 | ||||||
14,530 | Dollar General Corp. | 3,566,243 | ||||||
34,974 | eBay, Inc. | 1,457,367 | ||||||
2,779 | Group 1 Automotive, Inc. | 471,874 | ||||||
4,651 | Home Depot, Inc. (The) | 1,275,630 | ||||||
459,588 | LKQ Corp. | 22,561,175 | ||||||
91,859 | Lowe’s Cos., Inc. | 16,045,012 | ||||||
1,541 | MercadoLibre, Inc. (Brazil)* | 981,417 | ||||||
56,522 | Murphy USA, Inc. | 13,162,278 | ||||||
1,394 | O’Reilly Automotive, Inc.* | 880,673 | ||||||
63,300 | Penske Automotive Group, Inc. | 6,626,877 | ||||||
85,697 | Target Corp. | 12,102,987 | ||||||
1 | Victoria’s Secret & Co.* | 28 | ||||||
|
| |||||||
157,491,789 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 3.4% | ||||||||
218,165 | Applied Materials, Inc. | 19,848,652 | ||||||
11,460 | Axcelis Technologies, Inc.* | 628,466 | ||||||
1,194 | Broadcom, Inc. | 580,057 | ||||||
29,632 | First Solar, Inc.* | 2,018,828 | ||||||
31,784 | Intel Corp. | 1,189,040 | ||||||
3,264 | KLA Corp. | 1,041,477 | ||||||
5,571 | Monolithic Power Systems, Inc. | 2,139,487 | ||||||
130,588 | NVIDIA Corp. | 19,795,835 | ||||||
84,881 | ON Semiconductor Corp.* | 4,270,363 | ||||||
13,204 | Power Integrations, Inc. | 990,432 | ||||||
83,156 | QUALCOMM, Inc. | 10,622,348 | ||||||
96,616 | Texas Instruments, Inc. | 14,845,048 | ||||||
|
| |||||||
77,970,033 | ||||||||
|
| |||||||
Software & Services – 13.4% | ||||||||
44,829 | Adobe, Inc.* | 16,410,104 | ||||||
6,213 | Autodesk, Inc.* | 1,068,387 | ||||||
6,586 | Black Knight, Inc.* | 430,659 | ||||||
17,268 | Citrix Systems, Inc. | 1,677,932 | ||||||
54,965 | Clear Secure, Inc., Class A* | 1,099,300 | ||||||
37,536 | Cognizant Technology Solutions Corp., Class A | 2,533,305 | ||||||
19,642 | CommVault Systems, Inc.* | 1,235,482 | ||||||
1,531 | Concentrix Corp. | 207,665 | ||||||
32,242 | DXC Technology Co.* | 977,255 | ||||||
4,119 | E2open Parent Holdings, Inc.* | 32,046 | ||||||
5,074 | EPAM Systems, Inc.* | 1,495,714 | ||||||
12,948 | ExlService Holdings, Inc.* | 1,907,629 | ||||||
395,400 | Fortinet, Inc.* | 22,371,732 | ||||||
250,799 | Freshworks, Inc., Class A* | 3,298,007 | ||||||
|
|
16 | 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) | ||||||||
Software & Services – (continued) | ||||||||
89,478 | Gartner, Inc.* | $ | 21,638,465 | |||||
112,207 | Genpact Ltd. | 4,753,088 | ||||||
97,098 | International Business Machines Corp. | 13,709,267 | ||||||
20,412 | Intuit, Inc. | 7,867,601 | ||||||
32,371 | Manhattan Associates, Inc.* | 3,709,717 | ||||||
465,359 | Microsoft Corp. | 119,518,152 | ||||||
3,505 | MongoDB, Inc.* | 909,547 | ||||||
152,347 | NortonLifeLock, Inc. | 3,345,540 | ||||||
8,419 | Okta, Inc.* | 761,078 | ||||||
171,682 | Oracle Corp. | 11,995,421 | ||||||
34,746 | Palo Alto Networks, Inc.* | 17,162,439 | ||||||
2,441 | Paycom Software, Inc.* | 683,773 | ||||||
39,135 | Perficient, Inc.* | 3,588,288 | ||||||
5,399 | ServiceNow, Inc.* | 2,567,332 | ||||||
46,733 | Synopsys, Inc.* | 14,192,812 | ||||||
68,082 | Toast, Inc., Class A* | 880,981 | ||||||
71,028 | VeriSign, Inc.* | 11,885,115 | ||||||
7,791 | Visa, Inc., Class A | 1,533,970 | ||||||
43,289 | Zscaler, Inc.* | 6,472,138 | ||||||
|
| |||||||
301,919,941 | ||||||||
|
| |||||||
Technology Hardware & Equipment – 5.8% | ||||||||
724,768 | Apple, Inc. | 99,090,281 | ||||||
6,480 | Arista Networks, Inc.* | 607,435 | ||||||
169,981 | Dell Technologies, Inc., Class C | 7,854,822 | ||||||
287,874 | Hewlett Packard Enterprise Co. | 3,817,209 | ||||||
94,239 | Keysight Technologies, Inc.* | 12,990,846 | ||||||
70,812 | NetApp, Inc. | 4,619,775 | ||||||
3,898 | Teledyne Technologies, Inc.* | 1,462,179 | ||||||
1 | Vontier Corp. | 23 | ||||||
|
| |||||||
130,442,570 | ||||||||
|
| |||||||
Transportation – 1.9% | ||||||||
1,106 | AMERCO | 528,922 | ||||||
13,827 | Copa Holdings SA, Class A (Panama)* | 876,217 | ||||||
94,059 | CSX Corp. | 2,733,354 | ||||||
98,020 | Knight-Swift Transportation Holdings, Inc. | 4,537,346 | ||||||
61,864 | Norfolk Southern Corp. | 14,061,069 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Transportation – (continued) | ||||||||
7,053 | Old Dominion Freight Line, Inc. | 1,807,543 | ||||||
36,542 | Ryder System, Inc. | 2,596,674 | ||||||
173,235 | Safe Bulkers, Inc. (Greece) | 661,758 | ||||||
75,100 | Union Pacific Corp. | 16,017,328 | ||||||
|
| |||||||
43,820,211 | ||||||||
|
| |||||||
Utilities – 0.5% | ||||||||
118,762 | CMS Energy Corp. | 8,016,435 | ||||||
3,186 | DTE Energy Co. | 403,826 | ||||||
68,737 | NRG Energy, Inc. | 2,623,691 | ||||||
|
| |||||||
11,043,952 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $1,370,464,698) | $ | 2,052,568,193 | ||||||
|
|
Shares | Dividend Rate | Value | ||||||
Investment Company – 0.2%(a) | ||||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||||
3,681,221 | 1.367 | % | $ | 3,681,221 | ||||
(Cost $3,681,221) |
| |||||||
| ||||||||
TOTAL INVESTMENTS – 91.0% |
| |||||||
(Cost $1,374,145,919) |
| $ | 2,056,249,414 | |||||
| ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 9.0% |
| 204,605,455 | ||||||
| ||||||||
NET ASSETS – 100.0% |
| $ | 2,260,854,869 | |||||
|
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 | |
REIT | —Real Estate Investment Trust | |
|
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At June 30, 2022, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
Russell 2000 E-Mini Index | 199 | 09/16/22 | $ | 17,055,608 | $ | (61,008 | ) | |||||||||
S&P 500 E-Mini Index | 899 | 09/16/22 | 170,580,848 | (242,823 | ) | |||||||||||
Total Futures Contracts | $ | (303,831 | ) |
The accompanying notes are an integral part of these financial statements. | 17 |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Statements of Assets and Liabilities
June 30, 2022 (Unaudited)
International Tax-Managed Equity Fund | U.S. Tax- Managed Equity Fund | |||||||||
Assets: |
| |||||||||
Investments in unaffiliated issuers, at value (cost $632,965,845 and $1,370,464,698, respectively)(a) | $ | 671,316,060 | $ | 2,052,568,193 | ||||||
Investments in affiliated issuers, at value (cost $0 and $3,681,221, respectively) | — | 3,681,221 | ||||||||
Investments in affiliated securities lending reinvestment vehicle, at value which equals cost | 615,824 | — | ||||||||
Cash | 1,108,617 | 32,753,791 | ||||||||
Foreign currency, at value (cost $12,436,829 and $—, respectively) | 12,369,139 | — | ||||||||
Receivables: | ||||||||||
Foreign tax reclaims | 3,140,112 | — | ||||||||
Dividends | 1,533,443 | 1,431,134 | ||||||||
Fund shares sold | 232,827 | 173,785,518 | ||||||||
Reimbursement from investment adviser | 65,414 | — | ||||||||
Securities lending income | 1,514 | — | ||||||||
Due from broker | — | 10,477,102 | ||||||||
Variation margin on futures contracts | 103,418 | — | ||||||||
Other assets | 35,428 | 106,132 | ||||||||
Total assets | 690,521,796 | 2,274,803,091 | ||||||||
Liabilities: | ||||||||||
Variation margin on futures contracts | — | 10,456,916 | ||||||||
Payables: | ||||||||||
Payable upon return of securities loaned | 615,824 | — | ||||||||
Management fees | 504,307 | 1,169,447 | ||||||||
Due to broker | 284,175 | — | ||||||||
Fund shares redeemed | 53,749 | 451,434 | ||||||||
Distribution and Service fees and Transfer Agency fees | 20,834 | 104,146 | ||||||||
Investments purchased | — | 441,521 | ||||||||
Accrued expenses | 398,203 | 1,324,758 | ||||||||
Total liabilities | 1,877,092 | 13,948,222 | ||||||||
Net Assets: | ||||||||||
Paid-in capital | 693,737,690 | 1,588,527,493 | ||||||||
Total distributable earnings (loss) | (5,092,986 | ) | 672,327,376 | |||||||
NET ASSETS | $ | 688,644,704 | $ | 2,260,854,869 | ||||||
Net Assets: | ||||||||||
Class A | $ | 5,408,665 | $ | 84,680,898 | ||||||
Class C | 752,226 | 15,924,529 | ||||||||
Institutional | 9,489,872 | 57,173,733 | ||||||||
Service | — | 1,817,322 | ||||||||
Investor | 10,145,768 | 15,871,724 | ||||||||
Class R6 | 597,902,130 | 1,917,501,555 | ||||||||
Class P | 64,946,043 | 167,885,108 | ||||||||
Total Net Assets | $ | 688,644,704 | $ | 2,260,854,869 | ||||||
Shares outstanding $0.001 par value (unlimited number of shares authorized): | ||||||||||
Class A | 545,031 | 2,861,582 | ||||||||
Class C | 77,650 | 577,117 | ||||||||
Institutional | 952,264 | 1,880,559 | ||||||||
Service | — | 61,106 | ||||||||
Investor | 1,017,780 | 526,973 | ||||||||
Class R6 | 60,416,423 | 63,631,578 | ||||||||
Class P | 6,559,440 | 5,569,891 | ||||||||
Net asset value, offering and redemption price per share:(b) | ||||||||||
Class A | $9.92 | $29.59 | ||||||||
Class C | 9.69 | 27.59 | ||||||||
Institutional | 9.97 | 30.40 | ||||||||
Service | — | 29.74 | ||||||||
Investor | 9.97 | 30.12 | ||||||||
Class R6 | 9.90 | 30.13 | ||||||||
Class P | 9.90 | 30.14 |
(a) | Includes loaned securities having a market value of $578,852 and $—. |
(b) | Maximum public offering price per share for Class A Shares of the International Tax-Managed Equity Fund and U.S. Tax-Managed Equity Fund is $10.50 and $31.31, 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. |
18 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Statements of Operations
For the Six Months Ended June 30, 2022 (Unaudited)
International Tax-Managed Equity Fund | U.S. Tax- Managed Equity Fund | |||||||||
Investment income: | ||||||||||
Dividends — unaffiliated issuers (net of foreign withholding taxes of $2,682,348 and $11,840, respectively) | $ | 25,804,517 | $ | 13,901,379 | ||||||
Securities lending income — affiliated issuer | 3,622 | 1,099 | ||||||||
Dividends — affiliated issuers | 69 | 4,853 | ||||||||
Total investment income | 25,808,208 | 13,907,331 | ||||||||
Expenses: | ||||||||||
Management fees | 3,272,486 | 7,553,258 | ||||||||
Custody, accounting and administrative services | 165,844 | 782,847 | ||||||||
Transfer Agency fees(a) | 126,035 | 436,124 | ||||||||
Professional fees | 69,211 | 38,898 | ||||||||
Registration fees | 44,877 | 28,069 | ||||||||
Printing and mailing costs | 18,072 | 20,454 | ||||||||
Distribution and/or Service (12b-1) fees(a) | 11,183 | 195,308 | ||||||||
Trustee fees | 10,888 | 12,291 | ||||||||
Service fees — Class C | 1,111 | 23,407 | ||||||||
Shareholder Administration fees — Service Shares | — | 3,081 | ||||||||
Other | 1,522 | 7,689 | ||||||||
Total expenses | 3,721,229 | 9,101,426 | ||||||||
Less — expense reductions | (260,419 | ) | (621,360 | ) | ||||||
Net expenses | 3,460,810 | 8,480,066 | ||||||||
NET INVESTMENT INCOME | 22,347,398 | 5,427,265 | ||||||||
Realized and unrealized gain (loss): | ||||||||||
Net realized gain (loss) from: | ||||||||||
Investments — unaffiliated issuers | 15,515,887 | (9,389,048 | ) | |||||||
Futures contracts | (786,243 | ) | (2,750,057 | ) | ||||||
Foreign currency transactions | (841,041 | ) | — | |||||||
Net change in unrealized gain (loss) on: | ||||||||||
Investments — unaffiliated issuers | (197,532,624 | ) | (587,806,038 | ) | ||||||
Futures contracts | (359,670 | ) | (303,831 | ) | ||||||
Foreign currency translations | (343,309 | ) | — | |||||||
Net realized and unrealized loss | (184,347,000 | ) | (600,248,974 | ) | ||||||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (161,999,602 | ) | $ | (594,821,709 | ) |
(a) | Class specific Distribution and/or Service (12b-1) fees and Transfer Agency fees were as follows: |
Distribution and/or Service (12b-1) Fees | Transfer Agency Fees | |||||||||||||||||||||||||||||||||||||||
Fund | Class A | Class C | Service | Class A | Class C | Institutional | Service | Investor | Class R6 | Class P | ||||||||||||||||||||||||||||||
International Tax- Managed Equity Fund | $ | 7,852 | $ | 3,331 | $ | — | $ | 5,025 | $ | 711 | $ | 2,076 | $ | — | $ | 6,591 | $ | 100,501 | $ | 11,131 | ||||||||||||||||||||
U.S. Tax-Managed Equity Fund | 122,442 | 70,220 | 2,646 | 78,363 | 14,980 | 11,266 | 423 | 14,684 | 287,491 | 28,917 |
The accompanying notes are an integral part of these financial statements. | 19 |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Statements of Changes in Net Assets
International Tax-Managed Equity Fund | U.S. Tax-Managed Equity Fund | |||||||||||||||||||||
For the Six Months Ended June 30, 2022 (Unaudited) | For the Fiscal Year Ended December 31, 2021 | For the Six Months Ended June 30, 2022 (Unaudited) | For the Fiscal Year Ended December 31, 2021 | |||||||||||||||||||
From operations: |
| |||||||||||||||||||||
Net investment income | $ | 22,347,398 | $ | 20,635,904 | $ | 5,427,265 | $ | 10,712,268 | ||||||||||||||
Net realized gain (loss) | 13,888,603 | 48,290,528 | (12,139,105 | ) | 129,304,964 | |||||||||||||||||
Net change in unrealized gain (loss) | (198,235,603 | ) | 20,055,463 | (588,109,869 | ) | 433,085,566 | ||||||||||||||||
Net increase (decrease) in net assets resulting from operations | (161,999,602 | ) | 88,981,895 | (594,821,709 | ) | 573,102,798 | ||||||||||||||||
Distributions to shareholders: |
| |||||||||||||||||||||
From distributable earnings: | ||||||||||||||||||||||
Class A Shares | — | (222,523 | ) | — | (187,075 | ) | ||||||||||||||||
Class C Shares | — | (19,506 | ) | — | — | |||||||||||||||||
Institutional Shares | — | (332,199 | ) | — | (234,991 | ) | ||||||||||||||||
Service Shares | — | — | — | (215 | ) | |||||||||||||||||
Investor Shares | — | (208,042 | ) | — | (72,929 | ) | ||||||||||||||||
Class R6 Shares | — | (21,530,042 | ) | — | (9,154,253 | ) | ||||||||||||||||
Class P Shares | — | (2,422,168 | ) | — | (964,387 | ) | ||||||||||||||||
Total distributions to shareholders | — | (24,734,480 | ) | — | (10,613,850 | ) | ||||||||||||||||
From share transactions: |
| |||||||||||||||||||||
Proceeds from sales of shares | 35,097,463 | 100,699,707 | 388,110,205 | 354,091,106 | ||||||||||||||||||
Proceeds paid in connection with in-kind transactions | — | (56,160,000 | ) | — | (145,620,000 | ) | ||||||||||||||||
Reinvestment of distributions | — | 24,732,502 | — | 10,555,178 | ||||||||||||||||||
Cost of shares redeemed | (23,134,734 | ) | (30,644,213 | ) | (78,300,155 | ) | (86,099,028 | ) | ||||||||||||||
Net increase in net assets resulting from share transactions | 11,962,729 | 38,627,996 | 309,810,050 | 132,927,256 | ||||||||||||||||||
TOTAL INCREASE (DECREASE) | (150,036,873 | ) | 102,875,411 | (285,011,659 | ) | 695,416,204 | ||||||||||||||||
Net Assets: | ||||||||||||||||||||||
Beginning of period | 838,681,577 | 735,806,166 | 2,545,866,528 | 1,850,450,324 | ||||||||||||||||||
End of period | $ | 688,644,704 | $ | 838,681,577 | $ | 2,260,854,869 | $ | 2,545,866,528 |
20 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL TAX-MANAGED EQUITY FUND
Selected Data for a Share Outstanding Throughout Each Period
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. | 21 |
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 C Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.03 | $ | 11.04 | $ | 10.18 | $ | 8.68 | $ | 10.59 | $ | 8.39 | ||||||||||||||
Net investment income(a) | 0.25 | 0.20 | 0.03 | 0.12 | 0.10 | 0.04 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (2.59 | ) | 1.03 | 0.88 | 1.42 | (1.94 | ) | 2.30 | ||||||||||||||||||
Total from investment operations | (2.34 | ) | 1.23 | 0.91 | 1.54 | (1.84 | ) | 2.34 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (0.24 | ) | (0.05 | ) | (0.04 | ) | (0.07 | ) | (0.14 | ) | |||||||||||||||
Net asset value, end of period | $ | 9.69 | $ | 12.03 | $ | 11.04 | $ | 10.18 | $ | 8.68 | $ | 10.59 | ||||||||||||||
Total Return(b) | (19.45 | )% | 11.19 | % | 8.89 | % | 17.74 | % | (17.39 | )% | 27.85 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 752 | $ | 1,009 | $ | 1,060 | $ | 1,308 | $ | 2,551 | $ | 2,661 | ||||||||||||||
Ratio of net expenses to average net assets | 1.97 | %(c) | 1.96 | % | 1.98 | % | 2.01 | % | 2.04 | % | 2.06 | % | ||||||||||||||
Ratio of total expenses to average net assets | 2.09 | %(c) | 2.07 | % | 2.11 | % | 2.12 | % | 2.12 | % | 2.11 | % | ||||||||||||||
Ratio of net investment income to average net assets | 4.63 | %(c) | 1.59 | % | 0.33 | % | 1.25 | % | 1.01 | % | 0.40 | % | ||||||||||||||
Portfolio turnover rate(d) | 113 | % | 162 | % | 177 | % | 231 | % | 177 | % | 134 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
22 | 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 | ||||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.31 | $ | 11.29 | $ | 10.40 | $ | 8.91 | $ | 10.85 | $ | 8.54 | ||||||||||||||
Net investment income(a) | 0.33 | 0.32 | 0.13 | 0.21 | 0.31 | 0.17 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (2.67 | ) | 1.07 | 0.92 | 1.48 | (2.10 | ) | 2.34 | ||||||||||||||||||
Total from investment operations | (2.34 | ) | 1.39 | 1.05 | 1.69 | (1.79 | ) | 2.51 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (0.37 | ) | (0.16 | ) | (0.20 | ) | (0.15 | ) | (0.20 | ) | |||||||||||||||
Net asset value, end of period | $ | 9.97 | $ | 12.31 | $ | 11.29 | $ | 10.40 | $ | 8.91 | $ | 10.85 | ||||||||||||||
Total Return(b) | (19.01 | )% | 12.42 | % | 10.11 | % | 19.01 | % | (16.49 | )% | 29.42 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 9,490 | $ | 11,247 | $ | 9,998 | $ | 15,783 | $ | 16,948 | $ | 619,288 | ||||||||||||||
Ratio of net expenses to average net assets | 0.90 | %(c) | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | 0.92 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.97 | %(c) | 0.96 | % | 0.99 | % | 0.99 | % | 0.96 | % | 0.97 | % | ||||||||||||||
Ratio of net investment income to average net assets | 5.83 | %(c) | 2.65 | % | 1.36 | % | 2.11 | % | 2.87 | % | 1.74 | % | ||||||||||||||
Portfolio turnover rate(d) | 113 | % | 162 | % | 177 | % | 231 | % | 177 | % | 134 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. | 23 |
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 | ||||||||||||||||||||||||||
Investor Shares(a) | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.32 | $ | 11.30 | $ | 10.40 | $ | 8.91 | $ | 10.91 | $ | 8.61 | ||||||||||||||
Net investment income(b) | 0.35 | 0.31 | 0.13 | 0.20 | 0.19 | 0.13 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (2.70 | ) | 1.07 | 0.92 | 1.48 | (2.00 | ) | 2.36 | ||||||||||||||||||
Total from investment operations | (2.35 | ) | 1.38 | 1.05 | 1.68 | (1.81 | ) | 2.49 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (0.36 | ) | (0.15 | ) | (0.19 | ) | (0.19 | ) | (0.19 | ) | |||||||||||||||
Net asset value, end of period | $ | 9.97 | $ | 12.32 | $ | 11.30 | $ | 10.40 | $ | 8.91 | $ | 10.91 | ||||||||||||||
Total Return(c) | (19.07 | )% | 12.31 | % | 10.09 | % | 18.90 | % | (16.66 | )% | 29.09 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 10,146 | $ | 7,290 | $ | 9,085 | $ | 18,290 | $ | 14,008 | $ | 15,547 | ||||||||||||||
Ratio of net expenses to average net assets | 0.97 | %(d) | 0.97 | % | 0.98 | % | 1.00 | % | 1.04 | % | 1.05 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.10 | %(d) | 1.08 | % | 1.11 | % | 1.12 | % | 1.12 | % | 1.11 | % | ||||||||||||||
Ratio of net investment income to average net assets | 6.40 | %(d) | 2.58 | % | 1.38 | % | 2.06 | % | 1.82 | % | 1.30 | % | ||||||||||||||
Portfolio turnover rate(e) | 113 | % | 162 | % | 177 | % | 231 | % | 177 | % | 134 | % |
(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 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 and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
24 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS 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 | ||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | Period Ended December 31, 2018(a) | ||||||||||||||||||||
2021 | 2020 | 2019 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.23 | $ | 11.22 | $ | 10.33 | $ | 8.85 | $ | 10.92 | ||||||||||||
Net investment income(b) | 0.32 | 0.32 | 0.14 | 0.21 | 0.08 | |||||||||||||||||
Net realized and unrealized gain (loss) | (2.65 | ) | 1.06 | 0.92 | 1.47 | (1.95 | ) | |||||||||||||||
Total from investment operations | (2.33 | ) | 1.38 | 1.06 | 1.68 | (1.87 | ) | |||||||||||||||
Distributions to shareholders from net investment income | — | (0.37 | ) | (0.17 | ) | (0.20 | ) | (0.20 | ) | |||||||||||||
Net asset value, end of period | $ | 9.90 | $ | 12.23 | $ | 11.22 | $ | 10.33 | $ | 8.85 | ||||||||||||
Total Return(c) | (19.05 | )% | 12.43 | % | 10.20 | % | 19.05 | % | (17.07 | )% | ||||||||||||
Net assets, end of period (in 000’s) | $ | 597,902 | $ | 730,126 | $ | 640,212 | $ | 660,555 | $ | 530,891 | ||||||||||||
Ratio of net expenses to average net assets | 0.89 | %(d) | 0.89 | % | 0.89 | % | 0.89 | % | 0.89 | %(d) | ||||||||||||
Ratio of total expenses to average net assets | 0.96 | %(d) | 0.95 | % | 0.97 | % | 0.98 | % | 0.99 | %(d) | ||||||||||||
Ratio of net investment income to average net assets | 5.81 | %(d) | 2.66 | % | 1.42 | % | 2.12 | % | 1.14 | %(d) | ||||||||||||
Portfolio turnover rate(e) | 113 | % | 162 | % | 177 | % | 231 | % | 177 | % |
(a) | Commenced operations on April 30, 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 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. | 25 |
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 | ||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | Period Ended December 31, 2018(a) | ||||||||||||||||||||
2021 | 2020 | 2019 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.23 | $ | 11.22 | $ | 10.34 | $ | 8.86 | $ | 11.07 | ||||||||||||
Net investment income(b) | 0.32 | 0.32 | 0.14 | 0.21 | 0.10 | |||||||||||||||||
Net realized and unrealized gain (loss) | (2.65 | ) | 1.06 | 0.91 | 1.47 | (2.11 | ) | |||||||||||||||
Total from investment operations | (2.33 | ) | 1.38 | 1.05 | 1.68 | (2.01 | ) | |||||||||||||||
Distributions to shareholders from net investment income | — | (0.37 | ) | (0.17 | ) | (0.20 | ) | (0.20 | ) | |||||||||||||
Net asset value, end of period | $ | 9.90 | $ | 12.23 | $ | 11.22 | $ | 10.34 | $ | 8.86 | ||||||||||||
Total Return(c) | (19.05 | )% | 12.42 | % | 10.09 | % | 19.02 | % | (18.09 | )% | ||||||||||||
Net assets, end of period (in 000’s) | $ | 64,946 | $ | 81,775 | $ | 68,788 | $ | 67,038 | $ | 64,578 | ||||||||||||
Ratio of net expenses to average net assets | 0.89 | %(d) | 0.89 | % | 0.89 | % | 0.89 | % | 0.89 | %(d) | ||||||||||||
Ratio of total expenses to average net assets | 0.96 | %(d) | 0.95 | % | 0.98 | % | 0.98 | % | 1.00 | %(d) | ||||||||||||
Ratio of net investment income to average net assets | 5.77 | %(d) | 2.66 | % | 1.45 | % | 2.15 | % | 1.43 | %(d) | ||||||||||||
Portfolio turnover rate(e) | 113 | % | 162 | % | 177 | % | 231 | % | 177 | % |
(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 and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
26 | 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
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. | 27 |
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 C Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 35.84 | $ | 28.04 | $ | 24.11 | $ | 19.36 | $ | 21.24 | $ | 17.86 | ||||||||||||||
Net investment loss(a) | (0.09 | ) | (0.19 | ) | (0.13 | ) | (0.06 | ) | (0.07 | ) | (0.03 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | (8.16 | ) | 7.99 | 4.06 | 4.81 | (1.81 | ) | 3.41 | ||||||||||||||||||
Total from investment operations | (8.25 | ) | 7.80 | 3.93 | 4.75 | (1.88 | ) | 3.38 | ||||||||||||||||||
Net asset value, end of period | $ | 27.59 | $ | 35.84 | $ | 28.04 | $ | 24.11 | $ | 19.36 | $ | 21.24 | ||||||||||||||
Total Return(b) | (23.02 | )% | 27.82 | % | 16.25 | % | 24.54 | % | (8.85 | )% | 18.93 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 15,925 | $ | 21,720 | $ | 19,502 | $ | 18,341 | $ | 14,380 | $ | 22,337 | ||||||||||||||
Ratio of net expenses to average net assets | 1.80 | %(c) | 1.81 | % | 1.83 | % | 1.85 | % | 1.88 | % | 1.90 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.90 | %(c) | 1.86 | % | 1.87 | % | 1.88 | % | 1.89 | % | 1.90 | % | ||||||||||||||
Ratio of net investment loss to average net assets | (0.60 | )%(c) | (0.59 | )% | (0.53 | )% | (0.28 | )% | (0.33 | )% | (0.14 | )% | ||||||||||||||
Portfolio turnover rate(d) | 108 | % | 116 | % | 177 | % | 205 | % | 152 | % | 108 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. |
28 | 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 | ||||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 39.28 | $ | 30.53 | $ | 26.16 | $ | 20.91 | $ | 22.71 | $ | 19.04 | ||||||||||||||
Net investment income(a) | 0.08 | 0.17 | 0.15 | 0.20 | 0.19 | 0.21 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (8.96 | ) | 8.74 | 4.43 | 5.23 | (1.97 | ) | 3.65 | ||||||||||||||||||
Total from investment operations | (8.88 | ) | 8.91 | 4.58 | 5.43 | (1.78 | ) | 3.86 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (0.16 | ) | (0.17 | ) | (0.18 | ) | (0.02 | ) | (0.19 | ) | |||||||||||||||
Distributions to shareholders from return of capital | — | — | (0.04 | ) | — | — | — | |||||||||||||||||||
Total distributions | — | (0.16 | ) | (0.21 | ) | (0.18 | ) | (0.02 | ) | (0.19 | ) | |||||||||||||||
Net asset value, end of period | $ | 30.40 | $ | 39.28 | $ | 30.53 | $ | 26.16 | $ | 20.91 | $ | 22.71 | ||||||||||||||
Total Return(b) | (22.61 | )% | 29.23 | % | 17.48 | % | 25.90 | % | (7.78 | )% | 20.29 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 57,174 | $ | 56,035 | $ | 47,997 | $ | 45,718 | $ | 34,812 | $ | 1,395,335 | ||||||||||||||
Ratio of net expenses to average net assets | 0.72 | %(c) | 0.74 | % | 0.74 | % | 0.74 | % | 0.74 | % | 0.75 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.77 | %(c) | 0.75 | % | 0.75 | % | 0.75 | % | 0.74 | % | 0.75 | % | ||||||||||||||
Ratio of net investment income to average net assets | 0.49 | %(c) | 0.48 | % | 0.56 | % | 0.83 | % | 0.79 | % | 1.02 | % | ||||||||||||||
Portfolio turnover rate(d) | 108 | % | 116 | % | 177 | % | 205 | % | 152 | % | 108 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the NAV at the beginning of the period, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the period and no sales or redemption charges (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. | 29 |
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 | ||||||||||||||||||||||||||
Service Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 38.52 | $ | 29.96 | $ | 25.70 | $ | 20.57 | $ | 22.51 | $ | 18.88 | ||||||||||||||
Net investment income (loss)(a) | (0.01 | ) | — | (b) | 0.02 | 0.08 | 0.08 | 0.11 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (8.77 | ) | 8.56 | 4.33 | 5.13 | (1.94 | ) | 3.61 | ||||||||||||||||||
Total from investment operations | (8.78 | ) | 8.56 | 4.35 | 5.21 | (1.86 | ) | 3.72 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | — | (b) | (0.05 | ) | (0.08 | ) | (0.08 | ) | (0.09 | ) | |||||||||||||||
Distributions to shareholders from return of capital | — | — | (0.04 | ) | — | — | — | |||||||||||||||||||
Total distributions | — | — | (b) | (0.09 | ) | (0.08 | ) | (0.08 | ) | (0.09 | ) | |||||||||||||||
Net asset value, end of period | $ | 29.74 | $ | 38.52 | $ | 29.96 | $ | 25.70 | $ | 20.57 | $ | 22.51 | ||||||||||||||
Total Return(c) | (22.79 | )% | 28.58 | % | 16.87 | % | 25.31 | % | (8.26 | )% | 19.71 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 1,817 | $ | 2,476 | $ | 1,932 | $ | 1,649 | $ | 732 | $ | 736 | ||||||||||||||
Ratio of net expenses to average net assets | 1.26 | %(d) | 1.23 | % | 1.24 | % | 1.24 | % | 1.25 | % | 1.25 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.32 | %(d) | 1.24 | % | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % | ||||||||||||||
Ratio of net investment income (loss) to average net assets | (0.07 | )%(d) | 0.01 | % | 0.08 | % | 0.33 | % | 0.33 | % | 0.52 | % | ||||||||||||||
Portfolio turnover rate(e) | 108 | % | 116 | % | 177 | % | 205 | % | 152 | % | 108 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.005 per share. |
(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 and certain derivatives. 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 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 | ||||||||||||||||||||||||||
Investor Shares(a) | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 38.93 | $ | 30.26 | $ | 25.93 | $ | 20.73 | $ | 22.70 | $ | 19.03 | ||||||||||||||
Net investment income(b) | 0.07 | 0.14 | 0.12 | 0.17 | 0.16 | 0.18 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (8.88 | ) | 8.67 | 4.40 | 5.18 | (1.97 | ) | 3.65 | ||||||||||||||||||
Total from investment operations | (8.81 | ) | 8.81 | 4.52 | 5.35 | (1.81 | ) | 3.83 | ||||||||||||||||||
Distributions to shareholders from net investment income | — | (0.14 | ) | (0.15 | ) | (0.15 | ) | (0.16 | ) | (0.16 | ) | |||||||||||||||
Distributions to shareholders from return of capital | — | — | (0.04 | ) | — | — | — | |||||||||||||||||||
Total distributions | — | (0.14 | ) | (0.19 | ) | (0.15 | ) | (0.16 | ) | (0.16 | ) | |||||||||||||||
Net asset value, end of period | $ | 30.12 | $ | 38.93 | $ | 30.26 | $ | 25.93 | $ | 20.73 | $ | 22.70 | ||||||||||||||
Total Return(c) | (22.63 | )% | 29.13 | % | 17.38 | % | 25.82 | % | (7.95 | )% | 20.14 | % | ||||||||||||||
Net assets, end of period (in 000’s) | $ | 15,872 | $ | 20,599 | $ | 15,938 | $ | 21,591 | $ | 17,894 | $ | 17,251 | ||||||||||||||
Ratio of net expenses to average net assets | 0.80 | %(d) | 0.82 | % | 0.83 | % | 0.85 | % | 0.89 | % | 0.90 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.89 | %(d) | 0.87 | % | 0.87 | % | 0.88 | % | 0.89 | % | 0.90 | % | ||||||||||||||
Ratio of net investment income to average net assets | 0.40 | %(d) | 0.40 | % | 0.46 | % | 0.72 | % | 0.68 | % | 0.88 | % | ||||||||||||||
Portfolio turnover rate(e) | 108 | % | 116 | % | 177 | % | 205 | % | 152 | % | 108 | % |
(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 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 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. | 31 |
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 | ||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | Period Ended December 31, 2018(a) | ||||||||||||||||||||
2021 | 2020 | 2019 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 38.93 | $ | 30.26 | $ | 25.93 | $ | 20.73 | $ | 22.93 | ||||||||||||
Net investment income(b) | 0.08 | 0.17 | 0.15 | 0.20 | 0.13 | |||||||||||||||||
Net realized and unrealized gain (loss) | (8.88 | ) | 8.67 | 4.40 | 5.18 | (2.14 | ) | |||||||||||||||
Total from investment operations | (8.80 | ) | 8.84 | 4.55 | 5.38 | (2.01 | ) | |||||||||||||||
Distributions to shareholders from net investment income | — | (0.17 | ) | (0.18 | ) | (0.18 | ) | (0.19 | ) | |||||||||||||
Distributions to shareholders from return of capital | — | — | (0.04 | ) | — | — | ||||||||||||||||
Total distributions | — | (0.17 | ) | (0.22 | ) | (0.18 | ) | (0.19 | ) | |||||||||||||
Net asset value, end of period | $ | 30.13 | $ | 38.93 | $ | 30.26 | $ | 25.93 | $ | 20.73 | ||||||||||||
Total Return(c) | (22.60 | )% | 29.24 | % | 17.49 | % | 25.96 | % | (8.72 | )% | ||||||||||||
Net assets, end of period (in 000’s) | $ | 1,917,502 | $ | 2,111,315 | $ | 1,536,722 | $ | 1,575,990 | $ | 1,263,556 | ||||||||||||
Ratio of net expenses to average net assets | 0.71 | %(d) | 0.73 | % | 0.73 | % | 0.73 | % | 0.74 | %(d) | ||||||||||||
Ratio of total expenses to average net assets | 0.76 | %(d) | 0.74 | % | 0.74 | % | 0.74 | % | 0.74 | %(d) | ||||||||||||
Ratio of net investment income to average net assets | 0.50 | %(d) | 0.49 | % | 0.57 | % | 0.84 | % | 0.85 | %(d) | ||||||||||||
Portfolio turnover rate(e) | 108 | % | 116 | % | 177 | % | 205 | % | 152 | % |
(a) | Commenced operations on April 30, 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 and certain derivatives. 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 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 | ||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | Period Ended December 31, 2018(a) | ||||||||||||||||||||
2021 | 2020 | 2019 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 38.94 | $ | 30.27 | $ | 25.94 | $ | 20.74 | $ | 23.43 | ||||||||||||
Net investment income(b) | 0.08 | 0.17 | 0.15 | 0.20 | 0.16 | |||||||||||||||||
Net realized and unrealized gain (loss) | (8.88 | ) | 8.67 | 4.40 | 5.18 | (2.66 | ) | |||||||||||||||
Total from investment operations | (8.80 | ) | 8.84 | 4.55 | 5.38 | (2.50 | ) | |||||||||||||||
Distributions to shareholders from net investment income | — | (0.17 | ) | (0.18 | ) | (0.18 | ) | (0.19 | ) | |||||||||||||
Distributions to shareholders from return of capital | — | — | (0.04 | ) | — | — | ||||||||||||||||
Total distributions | — | (0.17 | ) | (0.22 | ) | (0.18 | ) | (0.19 | ) | |||||||||||||
Net asset value, end of period | $ | 30.14 | $ | 38.94 | $ | 30.27 | $ | 25.94 | $ | 20.74 | ||||||||||||
Total Return(c) | (22.60 | )% | 29.23 | % | 17.48 | % | 25.94 | % | (10.62 | )% | ||||||||||||
Net assets, end of period (in 000’s) | $ | 167,885 | $ | 221,902 | $ | 152,775 | $ | 138,399 | $ | 97,892 | ||||||||||||
Ratio of net expenses to average net assets | 0.71 | %(d) | 0.73 | % | 0.73 | % | 0.73 | % | 0.74 | %(d) | ||||||||||||
Ratio of total expenses to average net assets | 0.77 | %(d) | 0.74 | % | 0.74 | % | 0.74 | % | 0.75 | %(d) | ||||||||||||
Ratio of net investment income to average net assets | 0.50 | %(d) | 0.49 | % | 0.59 | % | 0.83 | % | 0.95 | %(d) | ||||||||||||
Portfolio turnover rate(e) | 108 | % | 116 | % | 177 | % | 205 | % | 152 | % |
(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 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. | 33 |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
June 30, 2022 (Unaudited)
1. ORGANIZATION |
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”), along with their corresponding share classes and respective diversification status under the Act:
Fund | Share Classes Offered | Diversified/ Non-diversified | ||
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. These reclaims, if any, are recorded when the amount is known and there are no significant uncertainties on collectability. Such amounts recovered, if any, are reflected as other income in the Statements of Operations. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Funds’ investments in U.S. real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain 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, unrealized gains and losses are recorded daily and become realized gains and losses upon disposition or termination 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.
34
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
D. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, each Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on 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 | ||||
International Tax-Managed Equity | Annually | Annually | ||||
U.S. 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;
35
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
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 Money Market 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 Money Market Fund’s accounting policies and investment holdings, please see the Underlying Money Market 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
36
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
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.
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 June 30, 2022:
INTERNATIONAL TAX- MANAGED EQUITY FUND |
| |||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Africa | $ | — | $ | 6,975,554 | $ | — | ||||||
Asia | 257,250 | 183,702,743 | — | |||||||||
Europe | 2,027,516 | 368,121,429 | — | |||||||||
North America | 10,233,424 | 26,267,531 | — | |||||||||
Oceania | 7,668,371 | 66,062,242 | — | |||||||||
Securities Lending Reinvestment Vehicle | 615,824 | — | — | |||||||||
Total | $ | 20,802,385 | $ | 651,129,499 | $ | — | ||||||
Derivative Type | ||||||||||||
Liabilities(b) | ||||||||||||
Futures Contracts | $ | (236,246 | ) | $ | — | $ | — |
(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. |
(b) | Amount shown represents unrealized gain (loss) at period end. |
37
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
U.S. TAX-MANAGED EQUITY FUND | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Africa | $ | 2,040,675 | $ | — | $ | — | ||||||
Europe | 661,758 | — | — | |||||||||
North America | 2,048,884,343 | — | — | |||||||||
South America | 981,417 | — | — | |||||||||
Investment Company | 3,681,221 | — | — | |||||||||
Total | $ | 2,056,249,414 | $ | — | $ | — | ||||||
Derivative Type | �� | |||||||||||
Liabilities(b) | ||||||||||||
Futures Contracts | $ | (303,831 | ) | $ | — | $ | — |
(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. |
(b) | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Schedules of Investments.
4. INVESTMENTS IN DERIVATIVES |
The following table sets forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of June 30, 2022. 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 | Liabilities | |||||
International Tax-Managed Equity | Equity | Variation margin on futures contracts | $ | (236,246 | )(a) | |||
U.S. Tax-Managed Equity | Equity | Variation margin on futures contracts | (303,831 | )(a) | ||||
Total | $ | (540,077 | ) |
(a) | Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information sections of the Schedules of Investments. Only variation margin as of June 30, 2022 is reported within the Statements of Assets and Liabilities |
The following table sets forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the six months ended June 30, 2022. 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
38
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
4. INVESTMENTS IN DERIVATIVES (continued) |
accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statements of Operations:
Fund | Risk | Statements of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | ||||||||
International Tax-Managed Equity | Equity | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | $ | (786,243) | $ | (359,670 | ) | |||||
U.S. Tax-Managed Equity | Equity | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | (2,750,057 | ) | (303,831 | ) | ||||||
Total | $ | (3,536,300 | ) | $ | (663,501 | ) |
For the six months ended June 30, 2022, the relevant values for each derivative type were as follows:
Average number of Contracts(1) | ||||
Fund | Futures Contracts | |||
International Tax-Managed Equity | 147 | |||
U.S. Tax-Managed Equity | 72 |
(1) | Amounts disclosed represent average number of contracts for futures contracts, based on absolute values, which is indicative of volume of this derivative type, for the months that each Fund held such derivatives during the six months ended June 30, 2022. |
5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages the Funds, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.
For the six months ended June 30, 2022, contractual and effective net management fees with GSAM were at the following rates:
Fund | Contractual Management Rate |
| Effective Net Management Rate^ | |||||||||||||||||||||||||||||
First $1 billion | Next $1 billion | Next $3 billion | Next $3 billion | Over $8 billion | Effective Rate | |||||||||||||||||||||||||||
International Tax-Managed Equity | 0.85 | % | 0.77 | % | 0.73 | % | 0.72 | % | 0.71 | % | 0.85 | % | 0.85 | % | ||||||||||||||||||
U.S. Tax-Managed Equity | 0.70 | 0.63 | 0.60 | 0.59 | 0.58 | 0.66 | 0.66 |
^ | 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 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
39
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
management fees it earns from the Funds’ investments of cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund. For the six months ended June 30, 2022, GSAM waived $52 and $3,075 of the International Tax-Managed Equity and U.S. 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 six months ended June 30, 2022, Goldman Sachs retained the following amounts:
Front End Sales Charge | Contingent Deferred Sales Charge | |||||||||
Fund | Class A | Class C | ||||||||
International Tax-Managed Equity | $ | 662 | $ | — | ||||||
U.S. Tax-Managed Equity | 4,177 | — |
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: 0.16% 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.
40
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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 International Tax-Managed Equity Fund and the U.S. Tax-Managed Equity Fund are 0.014% and 0.044%, respectively. These Other Expense limitations will remain in place through at least April 29, 2023, 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.
Goldman Sachs may voluntarily waive a portion of any payments under a Fund’s Distribution and Service Plan and Transfer Agency Agreement, and these waivers are in addition to what is stipulated in any contractual fee waiver arrangements (as applicable). These temporary waivers may be modified or terminated at any time at the option of Goldman Sachs without shareholder approval.
For the six months ended June 30, 2022, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
Fund | Management Fee Waiver | Other Expense Reimbursement | Transfer Agency Waivers/Credits | Total Expense Reductions | ||||||||||||||
International Tax-Managed Equity | $ | 52 | $ | 256,515 | $ | 3,852 | $ | 260,419 | ||||||||||
U.S. Tax-Managed Equity | 3,075 | 591,278 | 27,007 | 621,360 |
G. Line of Credit Facility — As of June 30, 2022, the Funds participated in a $1,250,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the six months ended June 30, 2022, the Funds did not have any borrowings under the facility. Prior to April 22, 2022, the facility was $1,000,000,000.
H. Other Transactions with Affiliates — For the six months ended June 30, 2022, Goldman Sachs did not earn any brokerage commissions from portfolio transactions on behalf of the International Tax-Managed Equity Fund and the U.S. Tax-Managed Equity Fund, respectively.
The following table provides information about the Funds’ investment in the Goldman Sachs Financial Square Government Fund as of and for the six months ended June 30, 2022:
Fund | Beginning Value as of December 31, 2021 | Purchases at Cost | Proceeds from Sales | Ending Value as of June 30, 2022 | Shares as of June 30, 2022 | Dividend Income | ||||||||||||||||||||
International Tax-Managed Equity | $ | — | $ | 3,190,280 | $ | (3,190,280 | ) | $ | — | — | $ | 69 | ||||||||||||||
U.S. Tax-Managed Equity | — | 120,763,344 | (117,082,123 | ) | 3,681,221 | 3,681,221 | 4,853 |
41
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
As of June 30, 2022, 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 Tax-Advantaged Global Equity Portfolio | |||||
International Tax-Managed Equity | 86 | % | ||||
U.S. Tax-Managed Equity | 83 | % |
6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended June 30, 2022, were as follows:
Purchases | Sales | |||||||||||||||||
Fund | Long Term | In-Kind | Long Term | In-Kind | ||||||||||||||
International Tax-Managed Equity | $ | 888,336,714 | $ | — | $ | 860,613,194 | $ | — | ||||||||||
U.S. Tax-Managed Equity | 2,598,608,519 | — | 2,484,978,107 | — |
7. SECURITIES LENDING |
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and the terms and conditions contained therein, the Goldman Sachs International Tax-Managed Equity Fund and the Goldman Sachs U.S. Tax-Advantaged Equity Fund may lend their securities through a securities lending agent, Goldman Sachs Agency Lending (“GSAL”), a wholly-owned subsidiary of Goldman Sachs, to certain qualified borrowers including Goldman Sachs and affiliates. In accordance with the 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 Goldman Sachs International Tax-Managed Equity Fund and the Goldman Sachs U.S. Tax-Advantaged Equity Fund 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
42
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
7. SECURITIES LENDING (continued) |
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 June 30, 2022, are disclosed as “Payable upon return of securities loaned” on the Statements of Assets and Liabilities, where applicable.
Each of the Funds and GSAL received compensation relating to the lending of the Funds’ securities. The amounts earned, if any, by the Funds for the six months ended June 30, 2022, are reported under Investment Income on the Statements of Operations.
The table below details securities lending activity with affiliates of Goldman Sachs:
For the Six Months Ended June 30, 2022 | ||||||||||||||
Fund | Earnings of GSAL Relating to Securities Loaned | Amounts Received by the Funds from Lending to Goldman Sachs | Amounts Payable to Goldman Sachs Upon Return of Securities Loaned as of June 30, 2022 | |||||||||||
International Tax-Managed Equity | $ | 410 | $ | — | $ | — | ||||||||
U.S. Tax-Managed Equity | 122 | 8 | — |
The following table provides information about the Funds’ investments in the Government Money Market Fund for the six months ended June 30, 2022:
Fund | Beginning Value as of December 31, 2021 | Purchases at Cost | Proceeds from Sales | Ending Value as of June 30, 2022 | ||||||||||||||
International Tax-Managed Equity | $ | — | $ | 20,551,555 | $ | (19,935,731 | ) | $ | 615,824 | |||||||||
U.S. Tax-Managed Equity | — | 11,677,750 | (11,677,750 | ) | — |
8. TAX INFORMATION |
As of the Funds’ most recent fiscal year end, December 31, 2021, the Funds’ capital loss carryforwards and certain timing differences, on a tax-basis were as follows:
International Tax-Managed Equity | U.S. Tax-Managed Equity | |||||||
Capital loss carryforwards: | ||||||||
Perpetual Short-term | $ | (71,024,776 | ) | $ | — | |||
Total capital loss carryforwards | $ | (71,024,776 | ) | $ | — | |||
Timing differences (Qualified Late Year Loss Deferral/Real Estate Investment Trust/Post October Capital Loss Deferral) | $ | (6,353,388 | ) | $ | (2,471,659 | ) |
43
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
8. TAX INFORMATION (continued) |
As of June 30, 2022, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
International Tax-Managed Equity | U.S. Tax-Managed Equity | |||||||
Tax cost | $ | 635,427,423 | $ | 1,374,720,838 | ||||
Gross unrealized gain | 77,866,678 | 704,813,101 | ||||||
Gross unrealized loss | (41,362,217 | ) | (23,284,525 | ) | ||||
Net unrealized gain (loss) | $ | 36,504,461 | $ | 681,528,576 |
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains (losses) on regulated futures contracts, and differences in the tax treatment of underlying fund investments.
GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
9. OTHER RISKS |
The Funds’ risks include, but are not limited to, the following:
Derivatives Risk — The Funds’ use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Funds. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
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; less stringent investor protections; less stringent accounting, corporate governance, financial reporting and disclosure standards; and less economic, political and social stability in the countries in which a Fund invests. The imposition of sanctions, 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 problems with registration, settlement or custody, may also result in losses. The type and severity of sanctions and other similar measures, including counter sanctions and other retaliatory actions, that may be imposed could vary broadly in scope, and their impact is impossible to predict. For example, the imposition of sanctions and other similar measures could, among other things, cause a decline in the value and/or liquidity of securities issued by the sanctioned country or companies located in or economically tied to the sanctioned country and increase market volatility and disruption in the sanctioned country and throughout the world. Sanctions and other similar measures could limit or prevent a Fund from buying and selling securities (in the sanctioned country and other markets), significantly delay or prevent the settlement of securities transactions, and significantly impact a Fund’s liquidity and performance. 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, or economically tied to, emerging markets, these risks may be more pronounced.
Foreign Custody Risk — A 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
44
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
9. OTHER RISKS (continued) |
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.
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.
10. INDEMNIFICATIONS |
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
11. SUBSEQUENT EVENTS |
Subsequent events after the Statements of Assets and Liabilities date have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
45
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
12. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
International Tax-Managed Equity Fund | ||||||||||||||||
For the Six Months Ended (Unaudited) | For the Fiscal Year Ended December 31, 2021 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 38,568 | $ | 428,198 | 82,169 | $ | 978,215 | ||||||||||
Reinvestment of distributions | — | — | 18,720 | 222,204 | ||||||||||||
Shares redeemed | (82,600 | ) | (930,571 | ) | (100,557 | ) | (1,205,539 | ) | ||||||||
(44,032 | ) | (502,373 | ) | 332 | $ | (5,120 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 664 | 7,305 | 11,059 | 131,494 | ||||||||||||
Reinvestment of distributions | — | — | 1,676 | 19,506 | ||||||||||||
Shares redeemed | (6,843 | ) | (72,170 | ) | (24,912 | ) | (289,233 | ) | ||||||||
(6,179 | ) | (64,865 | ) | (12,177 | ) | (138,233 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 94,556 | 1,056,060 | 134,048 | 1,620,123 | ||||||||||||
Reinvestment of distributions | 27,898 | 331,986 | ||||||||||||||
Shares redeemed | (55,557 | ) | (628,336 | ) | (134,055 | ) | (1,614,884 | ) | ||||||||
38,999 | 427,724 | 27,891 | 337,225 | |||||||||||||
Investor Shares | ||||||||||||||||
Shares sold | 519,802 | 5,789,950 | 112,645 | 1,380,415 | ||||||||||||
Reinvestment of distributions | — | — | 17,347 | 206,596 | ||||||||||||
Shares redeemed | (93,636 | ) | (1,034,683 | ) | (342,650 | ) | (4,283,493 | ) | ||||||||
426,166 | 4,755,267 | (212,658 | ) | (2,696,482 | ) | |||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 2,056,513 | 23,887,771 | 7,411,481 | 89,650,350 | ||||||||||||
Reinvestment of distributions | — | — | 1,821,493 | 21,530,042 | ||||||||||||
Shares redeemed | (1,347,177 | ) | (15,136,382 | ) | (1,693,155 | ) | (20,462,337 | ) | ||||||||
Shares redeemed in connection with in-kind transactions | — | — | (4,913,386 | ) | (56,160,000 | ) | ||||||||||
709,336 | 8,751,389 | 2,626,433 | 34,558,055 | |||||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 357,154 | 3,928,179 | 580,266 | 6,939,110 | ||||||||||||
Reinvestment of distributions | — | — | 204,748 | 2,422,168 | ||||||||||||
Shares redeemed | (481,832 | ) | (5,332,592 | ) | (231,168 | ) | (2,788,727 | ) | ||||||||
(124,678 | ) | (1,404,413 | ) | 553,846 | 6,572,551 | |||||||||||
NET INCREASE | 999,612 | $ | 11,962,729 | 2,983,667 | $ | 38,627,996 |
46
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
12. SUMMARY OF SHARE TRANSACTIONS (continued) |
U.S. Tax-Managed Equity Fund | ||||||||||||||||
For the Six Months Ended (Unaudited) | For the Fiscal Year Ended December 31, 2021 | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 158,902 | $ | 5,385,309 | 561,640 | $ | 19,883,314 | ||||||||||
Reinvestment of distributions | — | — | 4,823 | 175,710 | ||||||||||||
Shares redeemed | (217,441 | ) | (6,978,388 | ) | (184,155 | ) | (6,276,955 | ) | ||||||||
(58,539 | ) | (1,593,079 | ) | 382,308 | $ | 13,782,069 | ||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 39,792 | 1,246,051 | 51,099 | 1,652,501 | ||||||||||||
Reinvestment of distributions | — | — | — | — | ||||||||||||
Shares redeemed | (68,702 | ) | (2,130,480 | ) | (140,687 | ) | (4,315,583 | ) | ||||||||
(28,910 | ) | (884,429 | ) | (89,588 | ) | (2,663,082 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 635,835 | 22,132,493 | 198,502 | 6,943,237 | ||||||||||||
Reinvestment of distributions | — | — | 5,097 | 190,438 | ||||||||||||
Shares redeemed | (181,941 | ) | (6,210,670 | ) | (349,173 | ) | (12,553,273 | ) | ||||||||
453,894 | 15,921,823 | (145,574 | ) | (5,419,598 | ) | |||||||||||
Service Shares | ||||||||||||||||
Shares sold | 4,138 | 136,677 | 7,861 | 270,576 | ||||||||||||
Reinvestment of distributions | — | — | 5 | 215 | ||||||||||||
Shares redeemed | (7,305 | ) | (250,337 | ) | (8,075 | ) | (275,024 | ) | ||||||||
(3,167 | ) | (113,660 | ) | (209 | ) | (4,233 | ) | |||||||||
Investor Shares | ||||||||||||||||
Shares sold | 28,367 | 1,012,985 | 37,510 | 1,318,026 | ||||||||||||
Reinvestment of distributions | — | — | 1,926 | 71,313 | ||||||||||||
Shares redeemed | (30,568 | ) | (1,028,054 | ) | (36,996 | ) | (1,308,185 | ) | ||||||||
(2,201 | ) | (15,069 | ) | 2,440 | 81,154 | |||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 10,658,651 | 345,275,616 | 8,763,616 | 296,622,030 | ||||||||||||
Reinvestment of distributions | — | — | 247,212 | 9,154,253 | ||||||||||||
Shares redeemed | (1,261,376 | ) | (44,154,146 | ) | (1,583,015 | ) | (55,340,703 | ) | ||||||||
Shares redeemed in connection with in-kind transactions | — | — | (3,977,655 | ) | (145,620,000 | ) | ||||||||||
9,397,275 | 301,121,470 | 3,450,158 | 104,815,580 | |||||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 375,957 | 12,921,074 | 791,646 | 27,401,422 | ||||||||||||
Reinvestment of distributions | — | — | 26,006 | 963,249 | ||||||||||||
Shares redeemed | (504,880 | ) | (17,548,080 | ) | (166,433 | ) | (6,029,305 | ) | ||||||||
(128,923 | ) | (4,627,006 | ) | 651,219 | 22,335,366 | |||||||||||
NET INCREASE | 9,629,429 | $ | 309,810,050 | 4,250,754 | $ | 132,927,256 |
47
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
The Goldman Sachs International Tax-Managed Equity Fund and Goldman Sachs U.S. Tax-Managed Equity Fund (the “Funds”) are investment portfolios of Goldman Sachs Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Funds at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Funds.
The Management Agreement was most recently approved for continuation until June 30, 2023 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 14-15, 2022 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held two meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to each Fund, such matters included:
(a) | the nature and quality of the advisory, administrative, and other services provided to the Fund by the Investment Adviser and its affiliates, including information about: |
(i) | the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams; |
(ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training); |
(iii) | trends in employee headcount; |
(iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
(v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
(b) | information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), and a benchmark performance index; and information on general investment outlooks in the markets in which the Fund invests; |
(c) | information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Fund’s peer group and/or benchmark index had high, medium, or low relevance given the Fund’s particular investment strategy; |
(d) | the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund; |
(e) | fee and expense information for the Fund, including: |
(i) | the relative management fee and expense levels of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; |
(ii) | the Fund’s expense trends over time; and |
(iii) | to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
(f) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; |
(g) | the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations; |
(h) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund to the Investment Adviser and its affiliates; |
(i) | whether the Fund’s existing management fee schedule adequately addressed any economies of scale; |
48
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
(j) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, securities lending, portfolio trading, distribution and other services; |
(k) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
(l) | information regarding commissions paid by the Fund and broker oversight, other information regarding portfolio trading, and how the Investment Adviser carries out its duty to seek best execution; |
(m) | portfolio manager ownership of Fund shares; the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers; |
(n) | the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and |
(o) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports. |
The Trustees also received an overview of the Funds’ distribution arrangements. They received information regarding the Funds’ assets, share purchase and redemption activity, and payment of distribution, service, and shareholder administration fees, as applicable. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Funds and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Funds. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Funds by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the market, regulatory and control environment in which the Funds and their service providers operate, including developments associated with the COVID-19 pandemic, geopolitical events, and economic sanctions, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees also considered information regarding the Investment Adviser’s business continuity planning and remote operations capabilities. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Funds and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Funds and the Investment Adviser and its affiliates.
Investment Performance
The Trustees also considered the investment performance of the Funds. In this regard, they compared the investment performance of each Fund to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2021, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2022. The information on each Fund’s investment performance was provided for the one-, three-, five-,
49
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
and ten-year periods ending on the applicable dates. The Trustees also reviewed each Fund’s investment performance relative to its performance benchmark. As part of this review, they considered the investment performance trends of the Funds over time, and reviewed the investment performance of each Fund in light of its investment objective and policies and market conditions.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Funds’ risk profiles, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management. They noted the efforts of the Funds’ portfolio management team to continue to enhance the investment models used in managing the Funds.
The Trustees observed that the International Tax-Managed Equity Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the one-, three-, five-, and ten-year periods, and had outperformed the Fund’s benchmark index for the one-, three-, five-, and ten-year periods ended March 31, 2022. They noted that the U.S. Tax-Managed Equity Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the one-year period and in the third quartile for the three-, five-, and ten-year periods, and had outperformed the Fund’s benchmark index for the one-year period and underperformed for the three-, five-, and ten-year periods ended March 31, 2022.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by each Fund thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Funds, which included both advisory and administrative services that were directed to the needs and operations of the Funds as registered mutual funds.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Funds. The analyses provided a comparison of each Fund’s management fee and breakpoints to those of a relevant peer group and category universe; an expense analysis which compared each Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing each Fund’s net expenses to the peer and category medians. The analyses also compared each Fund’s other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Funds.
In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Funds, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Funds differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.
In addition, the Trustees noted that shareholders are able to redeem their shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Profitability
The Trustees reviewed each Fund’s contribution to the Investment Adviser’s revenues and pre-tax profit margins. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization periodically audits the expense allocation methodology and that the internal audit group was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology. Profitability data for each Fund was provided for 2021 and 2020, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability.
50
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Economies of Scale
The Trustees considered the information that had been provided regarding whether there have been economies of scale with respect to the management of the Funds. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreement for each of the Funds at the following annual percentage rates of the average daily net assets of the Funds:
International Tax-Managed Equity Fund | U.S. Tax-Managed Equity Fund | |||||||
First $1 billion | 0.85 | % | 0.70 | % | ||||
Next $1 billion | 0.77 | 0.63 | ||||||
Next $3 billion | 0.73 | 0.60 | ||||||
Next $3 billion | 0.72 | 0.59 | ||||||
Over $8 billion | 0.71 | 0.58 |
The Trustees noted that the breakpoints were designed to share potential economies of scale, if any, with the Funds and their shareholders as assets under management reach those asset levels. The Trustees considered the amounts of assets in the Funds; the Funds’ recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer groups; and the Investment Adviser’s undertaking to limit certain expenses of the Funds that exceed specified levels as well as Goldman Sachs & Co. LLC’s (“Goldman Sachs”) undertaking to waive a portion of its transfer agency fee with respect to certain share classes of each of the Funds. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels. They also noted that the Investment Adviser had passed along savings to shareholders of the U.S. Tax-Managed Equity Fund, which had asset levels above at least the first breakpoint during the prior fiscal year.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Funds as stated above, including: (a) transfer agency fees received by Goldman Sachs; (b) brokerage and futures commissions earned by Goldman Sachs for executing securities and futures transactions on behalf of the Funds; (c) trading efficiencies resulting from aggregation of orders of the Funds with those for other funds or accounts managed by the Investment Adviser; (d) fees earned by Goldman Sachs Agency Lending (“GSAL”), an affiliate of the Investment Adviser, as securities lending agent (and fees earned by the Investment Adviser for managing the fund in which the Funds’ cash collateral is invested); (e) the Investment Adviser’s ability to leverage the infrastructure designed to service the Funds on behalf of its other clients; (f) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (g) Goldman Sachs’ retention of certain fees as Fund Distributor; (h) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Funds; (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 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 Funds’ third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
Other Benefits to the Funds and Their Shareholders
The Trustees also noted that the Funds receive certain other potential benefits as a result of their relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Funds with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors due to the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers due to the volume of business generated by the Investment Adviser and its affiliates; (d) the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties on behalf of the Funds as a result of the size and reputation of the Goldman Sachs organization; (e) the advantages received from the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Funds because of the reputation of the
51
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Goldman Sachs organization; (g) the Funds’ access, through the Investment Adviser, to certain firm-wide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; (h) the Funds’ ability to participate in the securities lending program administered by GSAL, as measured by the revenue received by the Funds in connection with the program; and (i) the Funds’ access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Funds’ shareholders invested in the Funds in part because of the Funds’ relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by each of the Funds were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and each Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit each Fund and its shareholders and that the Management Agreement should be approved and continued with respect to each Fund until June 30, 2023.
52
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Liquidity Risk Management Program (Unaudited)
Each Fund has adopted and implemented a liquidity risk management program (the “Program”) in accordance with Rule 22e-4 under the 1940 Act. The Program seeks to assess and manage each Fund’s liquidity risk, i.e., the risk that a Fund is unable to satisfy redemption requests without significantly diluting remaining investors’ interests in the Fund. The Board of Trustees of the Trust has designated GSAM, each Fund’s investment adviser, to administer the Program. Certain aspects of the Program rely on third parties to perform certain functions, including the provision of market data and application of models.
The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Fund’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of a Fund’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under Rule 22e-4); (4) for a Fund that does not invest primarily in “highly liquid investments” (as defined under Rule 22e-4), the determination of a minimum percentage of the Fund’s assets that will generally be invested in highly liquid investments (a “Highly Liquid Investment Minimum”); and (5) periodic reporting to the Board of Trustees.
At a meeting of the Board of Trustees on February 8-9, 2022, GSAM provided a written report to the Board addressing the operation, and the adequacy and effectiveness of the implementation, of the Program, including, as applicable, the operation of any Highly Liquid Investment Minimum and any material changes to the Program, for the period from January 1, 2021 through December 31, 2021 (the “Reporting Period”). Among other things, the annual report discussed: (1) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions; (2) an assessment of the methodologies used to classify investments into one of four liquidity categories; and (3) the impact of local holidays in non-U.S. jurisdictions. The report concluded that the Program continues to be reasonably designed to assess and manage liquidity risk and was adequately and effectively implemented during the Reporting Period.
There can be no assurance that the Program will achieve its objectives under all circumstances in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which it may be subject.
53
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Impact of Russian Invasion of Ukraine (Unaudited)
The Russian invasion of Ukraine has negatively affected the global economy and has resulted in significant disruptions in financial markets and increased macroeconomic uncertainty. In addition, governments around the world have responded to Russia’s invasion by imposing economic sanctions and export controls on certain industry sectors, companies and individuals in or associated with Russia. Russia has imposed its own restrictions against investors and countries outside Russia and has proposed additional measures aimed at non-Russian-owned businesses. Businesses in the U.S. and globally have experienced shortages in materials and increased costs for transportation, energy and raw materials due, in part, to the negative effects of the war on the global economy. The escalation or continuation of the war between Russia and Ukraine or other hostilities presents heightened risks relating to cyber-attacks, the frequency and volume of failures to settle securities transactions, supply chain disruptions, inflation, as well as the potential for increased volatility in commodity, currency and other financial markets. The extent and duration of the war, sanctions and resulting market disruptions, as well as the potential adverse consequences for the Funds’ operations are difficult to predict.
54
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS
Fund Expenses — Six Month Period Ended June 30, 2022 (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 January 1, 2022 through June 30, 2022, which represents a period of 181 days of a 365 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
International Tax-Managed Equity Fund | U.S. Tax-Managed Equity Fund | |||||||||||||||||||||||
Share Class | Beginning Account Value 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid for the 6 months ended 6/30/2022* | Beginning Account Value 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid for the 6 months ended 6/30/2022* | ||||||||||||||||||
Class A | ||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 809.91 | $ | 5.49 | $ | 1,000.00 | $ | 773.93 | $ | 4.63 | ||||||||||||
Hypothetical 5% return | 1,000.00 | 1,018.72 | + | 6.13 | 1,000.00 | 1,019.58 | + | 5.27 | ||||||||||||||||
Class C | ||||||||||||||||||||||||
Actual | 1,000.00 | 805.49 | 8.84 | 1,000.00 | 772.07 | 7.92 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,015.01 | + | 9.86 | 1,000.00 | 1,015.86 | + | 9.01 | ||||||||||||||||
Institutional | ||||||||||||||||||||||||
Actual | 1,000.00 | 809.49 | 4.06 | 1,000.00 | 773.95 | 3.17 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,020.31 | + | 4.53 | 1,000.00 | 1,021.22 | + | 3.61 | ||||||||||||||||
Service | ||||||||||||||||||||||||
Actual | 1,000.00 | N/A | N/A | 1,000.00 | 769.81 | 5.54 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | N/A | N/A | 1,000.00 | 1,018.53 | + | 6.32 | |||||||||||||||||
Investor | ||||||||||||||||||||||||
Actual | 1,000.00 | 807.82 | 4.37 | 1,000.00 | 772.79 | 3.53 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,019.96 | + | 4.88 | 1,000.00 | 1,020.82 | + | 4.02 | ||||||||||||||||
Class R6 | ||||||||||||||||||||||||
Actual | 1,000.00 | 809.25 | 4.01 | 1,000.00 | 773.70 | 3.13 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,020.36 | + | 4.48 | 1,000.00 | 1,021.27 | + | 3.57 | ||||||||||||||||
Class P | ||||||||||||||||||||||||
Actual | 1,000.00 | 809.49 | 4.01 | 1,000.00 | 774.01 | 3.13 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,020.36 | + | 4.48 | 1,000.00 | 1,021.26 | + | 3.57 |
+ | 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 June 30, 2022. 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 Shares | Class C Shares | Institutional Shares | Service Shares | Investor Shares | Class R6 Shares | Class P Shares | |||||||||||||||||||||
International Tax-Managed Equity | 1.22 | % | 1.97 | % | 0.90 | % | N/A | 0.97 | % | 0.89 | % | 0.89 | % | |||||||||||||||
U.S. Tax-Managed Equity | 1.05 | 1.80 | 0.72 | 1.26 | % | 0.80 | 0.71 | 0.71 |
55
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 Asset Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $2.27 trillion in assets under supervision as of June 30, 2022, Goldman Sachs Asset Management 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. Goldman Sachs Asset Management 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 |
∎ | Short-Term Conservative Income Fund |
∎ | Short Duration Government Fund |
∎ | Short Duration Bond Fund4 |
∎ | Government Income Fund |
∎ | Inflation Protected Securities Fund |
Multi-Sector
∎ | Bond Fund |
∎ | Core Fixed Income Fund |
∎ | Global Core Fixed Income Fund |
∎ | Strategic Income Fund |
∎ | Income Fund |
Municipal and Tax-Free
∎ | High Yield Municipal Fund |
∎ | Dynamic Municipal Income Fund |
∎ | Short Duration Tax-Free Fund |
∎ | Municipal Income Completion Fund |
Single Sector
∎ | Investment Grade Credit Fund |
∎ | U.S. Mortgages Fund |
∎ | High Yield Fund |
∎ | High Yield Floating Rate Fund |
∎ | Emerging Markets Debt Fund |
∎ | Local Emerging Markets Debt Fund |
Fixed Income Alternatives
∎ | Long Short Credit Strategies Fund |
Fundamental Equity
∎ | Equity Income Fund |
∎ | Small Cap Growth Fund |
∎ | Small Cap Value Fund |
∎ | Small/Mid Cap Value Fund |
∎ | Mid Cap Value Fund |
∎ | Large Cap Value Fund |
∎ | Focused Value Fund |
∎ | Large Cap Core Fund5 |
∎ | Strategic Growth Fund |
∎ | Small/Mid Cap Growth Fund |
∎ | Flexible Cap Fund |
∎ | Concentrated Growth Fund |
∎ | Technology Opportunities Fund |
∎ | Mid Cap Growth Fund6 |
∎ | Rising Dividend Growth Fund |
∎ | U.S. Equity ESG Fund |
∎ | Income Builder Fund |
Tax-Advantaged Equity
∎ | U.S. Tax-Managed Equity Fund |
∎ | International Tax-Managed Equity Fund |
∎ | U.S. Equity Dividend and Premium Fund |
∎ | International Equity Dividend and Premium Fund |
Equity Insights
∎ | Small Cap Equity Insights Fund |
∎ | U.S. Equity Insights Fund |
∎ | Small Cap Growth Insights Fund |
∎ | Large Cap Growth Insights Fund |
∎ | Large Cap Value Insights Fund |
∎ | Small Cap Value Insights Fund |
∎ | International Small Cap Insights Fund |
∎ | International Equity Insights Fund |
∎ | Emerging Markets Equity Insights Fund |
Fundamental Equity International
∎ | International Equity Income Fund |
∎ | International Equity ESG Fund |
∎ | China Equity Fund |
∎ | Emerging Markets Equity Fund |
∎ | ESG Emerging Markets Equity Fund |
Alternative
∎ | Clean Energy Income Fund |
∎ | Defensive Equity Fund |
∎ | Real Estate Securities Fund |
∎ | Commodity Strategy Fund |
∎ | Global Real Estate Securities Fund |
∎ | Absolute Return Tracker Fund |
∎ | Managed Futures Strategy Fund |
∎ | MLP Energy Infrastructure Fund |
∎ | Energy Infrastructure Fund |
∎ | Multi-Manager Alternatives 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 |
∎ | Strategic Volatility Premium 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 July 29, 2021, the Goldman Sachs Short Duration Income Fund was renamed the Goldman Sachs Short Duration Bond Fund. |
5 | Effective after the close of business on April 13, 2022, the Goldman Sachs Capital Growth Fund was renamed the Goldman Sachs Large Cap Core Fund. |
6 | Effective after the close of business on April 13, 2022, the Goldman Sachs Growth Opportunities Fund was renamed the Goldman Sachs Mid Cap Growth 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 John G. Chou Diana M. Daniels Joaquin Delgado Eileen H. Dowling James A. McNamara Gregory G. Weaver Paul C. Wirth | 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 June 30, 2022 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).
© 2022 Goldman Sachs. All rights reserved. 287742-OTU-08/2022 TAXADVSAR-22
Goldman Sachs Funds
Semi-Annual Report | June 30, 2022 | |||
Tax-Advantaged Equity Funds II | ||||
International Equity Dividend and Premium | ||||
U.S. Equity Dividend and Premium |
Goldman Sachs Tax-Advantaged Equity Funds II
∎ | INTERNATIONAL EQUITY DIVIDEND AND PREMIUM |
∎ | U.S. EQUITY DIVIDEND AND PREMIUM |
1 | ||||
5 | ||||
9 | ||||
20 | ||||
23 | ||||
23 | ||||
29 | ||||
35 | ||||
56 |
NOT FDIC-INSURED | May Lose Value | No Bank Guarantee |
Goldman Sachs Tax-Advantaged Funds II
The following are highlights both of key factors affecting the U.S. and international equity markets and of any key changes made to the Goldman Sachs Tax-Advantaged Funds (the “Funds”) during the six months ended June 30, 2022 (the “Reporting Period”). Attribution highlights are provided for those Funds that materially outperformed or underperformed their respective benchmarks during the Reporting Period. A fuller review of the markets and these changes will appear in the Funds’ annual shareholder report covering the 12 months ended December 31, 2022.
Market and Economic Review
International Equities
• | Representing the developed international equity markets, the MSCI EAFE Index (net) returned -19.57% for the Reporting Period, in line with the U.S. equity market, as represented by the -19.96% return of the S&P 500 Index. |
• | During the first quarter of 2022, the MSCI EAFE Index (net) returned -5.91%. |
• | International equity prices faced pressures from global concerns around rising inflation, planned interest rate hikes by the U.S. Fed, rising bond yields, valuation concerns, and Russia’s late February invasion of Ukraine. |
• | Certain governments around the world took a public stance condemning Russia’s action and imposed various economic sanctions, including removal of Russian financial institutions from bank connectivity network SWIFT, banning transactions with the Russian central bank and halting trading of Russian securities. Such sanctions boosted the price of crude oil in the global markets. |
• | Driven by increased market volatility, the Fed signaled a slower than anticipated pace of monetary policy tightening while retaining a cautionary focus on rising inflation. |
• | Hopes around the success of diplomatic talks and peaceful negotiations between Russia and Ukraine led to some market recovery toward the end of the quarter. |
• | Still, beyond the broader concerns around the geopolitical crisis, the impact on commodity prices reinforced worries about supply-side inflation and a potential stagflation scenario—particularly in Europe. (Stagflation is characterized by slow economic growth and high inflation.) However, the corporate earnings season retained its overall strength. |
• | Other macroeconomic uncertainties included those around regulation in China, the status of Chinese shares listed in the U.S., and slowing economic growth in China, all exacerbated by the imposition of lockdowns and manufacturing halts due to a rise in COVID-19 cases, leading, in turn, to further supply-chain issues. |
• | During the second quarter of 2022, the MSCI EAFE Index (net) returned -14.51%. |
• | All major regions performed roughly in line with each other, as inflationary pressures persisted, and odds of a U.S. recession grew. |
• | Supply-chain issues worsened as China initially instituted lockdowns following a surge in COVID-19 cases. However, as the quarter progressed, China began easing its COVID-19-induced restrictions, mitigating the disruption. |
• | In the Euro area, the geopolitical crisis of the ongoing war in Ukraine remained on the forefront of concerns, in part due to worries about potential gas shortages due to reduced supply from Russia. This was particularly concerning for countries with high energy dependence, such as Italy, Spain and Germany. Germany triggered an emergency plan in June 2022 that allowed utilities to pass on cost increases to consumers. |
1
MARKET REVIEW
• | The Bank of England introduced a 25 basis point interest rate hike in June despite negative economic growth in the country. |
• | Japanese equities fell, as the yen significantly weakened against the U.S. dollar, driven by concerns around a U.S. recession, currency markets and monetary policy. Inflation was also a headwind for Japan, with its inflation at the highest since 2008 and its consumer confidence index falling to its lowest level since January 2021. |
• | The best performing sector within the MSCI EAFE Index during the Reporting Period was energy, the only sector to post a positive total return for the Reporting Period. The weakest performing sectors were information technology, industrials and consumer discretionary. |
• | All of the country constituents of the MSCI EAFE Index posted negative total returns during the Reporting Period. On a relative basis, however, Hong Kong, Portugal, Norway and the U.K. were the best performing countries within the MSCI EAFE Index during the Reporting Period. The weakest performing countries during the Reporting Period were Ireland, Austria, Sweden and the Netherlands. |
U.S. Equities
• | Overall, U.S. equities struggled during the Reporting Period. The Standard & Poor’s 500® Index (the “S&P 500 Index”) ended the Reporting Period with a return of -19.96%, its worst showing in the first half of a calendar year since 1970 and erasing nearly all the gains achieved in 2021. |
• | Inflationary pressures, shifting U.S. Federal Reserve (“Fed”) policy, COVID-19 pandemic overhangs and ongoing war between Russia and Ukraine were the primary concerns pressuring the U.S. equity markets during the Reporting Period. |
• | During the first quarter of 2022, the S&P 500 Index returned -4.95%, marking the first quarterly decline since the first quarter of 2020. |
• | Among the major economic and geopolitical developments were the dramatic repricing of the Fed interest rate hike path and accelerated expectations for a more aggressive balance sheet runoff phase due to concerns about elevated and persistent inflation pressures. |
• | The hawkish Fed policy shift drove a large increase in bond yields, and U.S. Treasuries suffered one of their worst quarters on record. (Hawkish suggests higher interest rates; opposite of dovish.) |
• | COVID-19, and more specifically, the Omicron variants, was still an overhang, with resurgent cases bringing back supply-chain issues and worker shortages. |
• | Amid this backdrop, dampened corporate earnings momentum played into the bearish narrative for the U.S. equities markets. (Bearish refers to an expected downward movement in the prices of securities.) |
• | Growth equities meaningfully lagged value equities as a potential by-product of anticipated higher interest rates in the near term. |
• | During the second quarter of 2022, the S&P 500 Index returned -16.10%. |
• | Inflation, the Fed’s policy response and recession worries were at the core of investors’ narratives, resulting in a broad risk-off, or heightened risk aversion, atmosphere. |
• | Geopolitical overhang also remained a concern, as it affected energy prices, leading to low consumer sentiment and potentially changing consumer spending trends. |
• | On the other hand, equity inflows, buyback strength, insider buying, resilient consumer spending and some hints of cooling in the labor market were seen by the consensus as tailwinds. |
• | In late May/early June 2022, it remained unclear whether a rebound seen in the U.S. equity markets from the May 20, 2022 year-to-date lows represented the start of a recovery or a bear-market rally. |
2
MARKET REVIEW
• | This question was quickly answered later in the month after the release of a higher than consensus expected May Consumer Price Index report, which sent the S&P 500® Index to new year-to-date lows. |
• | Moreover, following a 25 basis point hike in March 2022 and a 50 basis point increase in May 2022, the Fed agreed to a 75 basis point interest rate hike during its June 2022 meeting, wherein Fed Chair Powell asserted the Fed’s unconditional commitment to price stability with a policy response evolving based on incoming data. (A basis point is 1/100th of a percentage point.) |
• | At the end of the quarter, investors were looking ahead to the second quarter corporate earnings reporting season with some caution, as input price pressures and consumption trends factored into analyst arguments for downward revisions to earnings estimates. |
• | During the Reporting Period overall, all segments of the U.S. equity markets declined, but small-cap stocks were weakest, followed by mid-cap stocks and large-cap stocks. Value stocks meaningfully outperformed growth stocks on a relative basis across the capitalization spectrum during the Reporting Period. |
• | Ten of the 11 sectors of the S&P 500 Index declined during the Reporting Period. The best performing sector by far within the S&P 500 Index during the Reporting Period was energy, the only one to produce a positive total return. Still, utilities, consumer staples and health care also produced total returns that notably outpaced the broad S&P 500 Index. The weakest performing sectors during the Reporting Period were consumer discretionary, communication services and information technology. |
Fund Changes and Highlights
No material changes were made to the Funds during the Reporting Period.
Goldman Sachs International Equity Dividend and Premium Fund
• | The Fund outperformed its benchmark, the MSCI EAFE Index (net, USD, unhedged), during the Reporting Period. |
• | Security selection contributed positively to the Fund’s relative returns, especially the Fund’s bias toward stocks with higher dividend yields. |
• | On a sector level, the Fund was helped most by investments in the industrials sector, followed by the consumer discretionary, financials and energy sectors. There was no sector in which stock selection had a negative impact overall on relative performance. |
• | Regarding individual stock holdings, the Fund benefited from overweight positions versus the MSCI EAFE Index in Shell, a U.K.-based oil and gas company, and HSBC Holdings, a British investment bank. An investment in German pharmaceutical and life sciences company Bayer AG, in which the Fund was rather neutrally weighted compared to the MSCI EAFE Index, also bolstered relative returns. These positive results were partially offset by the Fund’s overweights in Nestle, a Swiss nutrition, health and wellness company; ASML Holding, a Netherlands-based manufacturer of photolithography systems used in the manufacturing of semiconductors; and Toyota Motor, a Japanese automaker. |
• | The sale of call options on the MSCI EAFE Index added to the Fund’s total return during the Reporting Period. (A call option is an option that gives the holder the right to buy a certain quantity of an underlying security at an agreed-upon price at any time up to an agreed-upon date.) |
• | When the Fund sells an index call option, it retains the premium it receives from the sale, but the premium may not exceed the difference in the value of the index as call options are exercised. However, during the Reporting Period, the MSCI EAFE Index declined, and thus the Fund’s call writing added to performance. |
Goldman Sachs U.S. Equity Dividend and Premium Fund
• | The Fund outperformed its benchmark, the S&P 500 Index (with dividends reinvested), during the Reporting Period. |
• | Security selection added most to the Fund’s relative returns, especially the Fund’s bias toward stocks with higher dividend yields. |
3
MARKET REVIEW
• | On a sector level, the Fund benefited from its investments in the health care, industrials and communication services sectors. Selection in the consumer discretionary sector detracted minimally from relative performance. |
• | In terms of individual stock holdings, the Fund was helped by overweight positions versus the S&P 500 Index in telecommunications company AT&T and energy and utility holding company PPL. An underweight in online payment system PayPal Holdings also bolstered results. These positive results were partially offset by underweights in technology companies Apple, Microsoft and Alphabet, which detracted from relative returns. |
• | The sale of call options on the S&P 500 Index contributed positively to the Fund’s total return during the Reporting Period. (A call option is an option that gives the holder the right to buy a certain quantity of an underlying security at an agreed-upon price at any time up to an agreed-upon date.) |
• | When the Fund sells an index call option, it retains the premium it receives from the sale, but the premium may not exceed the difference in the value of the index as call options are exercised. However, during the Reporting Period, the S&P 500 Index declined, and thus the Fund’s call writing added to performance. |
4
International Equity Dividend and Premium Fund
as of June 30, 2022
PERFORMANCE REVIEW |
| |||||||||||||
January 1, 2022–June 30, 2022 | Fund Total Return (based on NAV)1 | MSCI EAFE Index (net, USD, unhedged)2 | Bloomberg Global Aggregate Bond Index (gross, USD, unhedged)3 | |||||||||||
Class A | -15.68 | % | -19.57 | % | -13.91 | % | ||||||||
Class C | -16.09 | -19.57 | -13.91 | |||||||||||
Institutional | -15.60 | -19.57 | -13.91 | |||||||||||
Investor | -15.69 | -19.57 | -13.91 | |||||||||||
Class R6 | -15.60 | -19.57 | -13.91 | |||||||||||
Class P | -15.58 | -19.57 | -13.91 |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The MSCI EAFE Index (net, USD, unhedged) is an unmanaged market capitalization-weighted composite of securities in 21 developed markets. The Index figures do not include any deduction for fees or expenses. It is not possible to invest directly in an index. |
3 | The Bloomberg Global Aggregate Bond Index (gross, USD, unhedged) represents an unmanaged diversified portfolio of fixed income securities, including U.S. Treasuries, investment-grade corporate bonds, and mortgage-backed and asset-backed securities. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
TOP TEN HOLDINGS AS OF 6/30/224 | ||||||||||
Holding | % of Net Assets | Line of Business | Country | |||||||
Nestle SA | 3.1 | % | Food Products | United States | ||||||
Zurich Insurance Group AG | 2.0 | Insurance | Switzerland | |||||||
Shell PLC | 1.9 | Oil, Gas & Consumable Fuels | Netherlands | |||||||
ASML Holding NV | 1.8 | Semiconductors & Semiconductor Equipment | Netherlands | |||||||
Toyota Motor Corp. | 1.8 | Automobiles | Japan | |||||||
LVMH Moet Hennessy Louis Vuitton SE | 1.8 | Textiles, Apparel & Luxury Goods | France | |||||||
Novartis AG | 1.7 | Pharmaceuticals | Switzerland | |||||||
Novo Nordisk A/S Class B | 1.7 | Pharmaceuticals | Denmark | |||||||
National Australia Bank Ltd. | 1.6 | Banks | Australia | |||||||
Rio Tinto PLC ADR | 1.5 | Metals & Mining | Germany |
4 | The top 10 holdings may not be representative of the Fund’s future investments. |
5
FUND BASICS
FUND VS. BENCHMARK SECTOR ALLOCATIONS5 |
As of June 30, 2022 |
5 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from 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 graph may not sum to 100% due to 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
FUND BASICS
U.S. Equity Dividend and Premium Fund
as of June 30, 2022
PERFORMANCE REVIEW |
| |||||||||||||
January 1, 2022–June 30, 2022 | Fund Total Return (based on NAV)1 | S&P 500® Index2 | Bloomberg U.S. Aggregate Bond Index3 | |||||||||||
Class A | -16.67 | % | -19.96 | % | -10.35 | % | ||||||||
Class C | -17.00 | -19.96 | -10.35 | |||||||||||
Institutional | -16.58 | -19.96 | -10.35 | |||||||||||
Investor | -16.61 | -19.96 | -10.35 | |||||||||||
Class R6 | -16.53 | -19.96 | -10.35 | |||||||||||
Class P | -16.58 | -19.96 | -10.35 |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance reflects the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The S&P 500® Index is an unmanaged composite index of 500 common stock prices. The Index figures do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
3 | The Bloomberg U.S. Aggregate Bond Index represents an unmanaged diversified portfolio of fixed income securities, including U.S. Treasuries, investment-grade corporate bonds, and mortgage-backed and asset-backed securities. The Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
TOP TEN HOLDINGS AS OF 6/30/224 | ||||||||
Holding | % of Net Assets | Line of Business | ||||||
Apple, Inc. | 6.5 | % | Technology Hardware, Storage & Peripherals | |||||
Microsoft Corp. | 6.0 | Software | ||||||
Amazon.com, Inc. | 2.9 | Internet & Direct Marketing Retail | ||||||
Alphabet, Inc. Class A | 2.6 | Interactive Media & Services | ||||||
Tesla, Inc. | 1.9 | Automobiles | ||||||
UnitedHealth Group, Inc. | 1.7 | Health Care Providers & Services | ||||||
The Home Depot, Inc. | 1.5 | Specialty Retail | ||||||
Johnson & Johnson | 1.5 | Pharmaceuticals | ||||||
The Procter & Gamble Co. | 1.3 | Household Products | ||||||
Chevron Corp. | 1.3 | Oil, Gas & Consumable Fuels |
4 | The top 10 holdings may not be representative of the Fund’s future investments. |
7
FUND BASICS
FUND VS. BENCHMARK SECTOR ALLOCATIONS5 |
As of June 30, 2022 |
5 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from 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 graph may not sum to 100% due to 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.
8
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
June 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 104.2% | ||||||||
Australia – 10.2% | ||||||||
87,768 | APA Group (Gas Utilities) | $ | 683,517 | |||||
462,911 | Aurizon Holdings Ltd. (Road & Rail) | 1,217,470 | ||||||
52,370 | Australia & New Zealand Banking Group Ltd. (Banks) | 797,632 | ||||||
47,767 | BHP Group Ltd. (Metals & Mining) | 1,367,741 | ||||||
36,465 | Coles Group Ltd. (Food & Staples Retailing) | 448,751 | ||||||
11,774 | Commonwealth Bank of Australia (Banks) | 735,599 | ||||||
809 | CSL Ltd. (Biotechnology) | 150,211 | ||||||
127,784 | Fortescue Metals Group Ltd. (Metals & Mining) | 1,536,571 | ||||||
181,654 | Medibank Pvt. Ltd. (Insurance) | 408,572 | ||||||
121,850 | National Australia Bank Ltd. (Banks) | 2,310,622 | ||||||
8,515 | Rio Tinto Ltd. (Metals & Mining) | 607,450 | ||||||
11,619 | Rio Tinto PLC (Metals & Mining) | 694,661 | ||||||
34,840 | Rio Tinto PLC ADR(a) (Metals & Mining) | 2,125,240 | ||||||
9,879 | Sonic Healthcare Ltd. (Health Care Providers & Services) | 225,175 | ||||||
24,176 | Transurban Group (Transportation Infrastructure) | 240,534 | ||||||
24,555 | Wesfarmers Ltd. (Multiline Retail) | 710,229 | ||||||
20,881 | Woodside Energy Group Ltd. (Oil, Gas & Consumable Fuels) | 458,933 | ||||||
|
| |||||||
14,718,908 | ||||||||
|
| |||||||
Belgium – 1.1% | ||||||||
16,368 | Ageas SA (Insurance) | 721,708 | ||||||
57,166 | Proximus SADP (Diversified Telecommunication Services) | 843,761 | ||||||
|
| |||||||
1,565,469 | ||||||||
|
| |||||||
Brazil – 0.3% | ||||||||
11,034 | Yara International ASA (Chemicals) | 462,335 | ||||||
|
| |||||||
China – 0.6% | ||||||||
50,600 | Budweiser Brewing Co. APAC Ltd.(b) (Beverages) | 151,835 | ||||||
40,000 | ESR Cayman Ltd.*(b) (Real Estate Management & Development) | 108,466 | ||||||
8,877 | Prosus NV* (Internet & Direct Marketing Retail) | 574,818 | ||||||
|
| |||||||
835,119 | ||||||||
|
| |||||||
Denmark – 3.7% | ||||||||
7,006 | Ambu A/S Class B (Health Care Equipment & Supplies) | 68,456 | ||||||
375 | AP Moller – Maersk A/S Class A (Marine) | 870,358 | ||||||
430 | AP Moller – Maersk A/S Class B (Marine) | 1,009,467 | ||||||
6,157 | Coloplast A/S Class B (Health Care Equipment & Supplies) | 703,497 | ||||||
1 | Danske Bank A/S (Banks) | 14 | ||||||
21,512 | Novo Nordisk A/S Class B (Pharmaceuticals) | 2,385,730 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Denmark – (continued) | ||||||||
13,235 | Vestas Wind Systems A/S (Electrical Equipment) | 281,403 | ||||||
|
| |||||||
5,318,925 | ||||||||
|
| |||||||
Finland – 2.9% | ||||||||
2,441 | Kesko Oyj Class B (Food & Staples Retailing) | 57,768 | ||||||
7,102 | Kone Oyj Class B (Machinery) | 339,441 | ||||||
7,263 | Neste Oyj (Oil, Gas & Consumable Fuels) | 323,065 | ||||||
184,503 | Nordea Bank Abp (Banks) | 1,629,811 | ||||||
4,735 | Orion Oyj Class B (Pharmaceuticals) | 211,913 | ||||||
26,278 | Sampo Oyj Class A (Insurance) | 1,148,378 | ||||||
3 | Stora Enso Oyj Class R (Paper & Forest Products) | 48 | ||||||
16,505 | Valmet Oyj (Machinery) | 406,738 | ||||||
|
| |||||||
4,117,162 | ||||||||
|
| |||||||
France – 11.0% | ||||||||
5,647 | Airbus SE (Aerospace & Defense) | 552,332 | ||||||
8,762 | Amundi SA(b) (Capital Markets) | 482,410 | ||||||
31,098 | BNP Paribas SA (Banks) | 1,487,478 | ||||||
21,873 | Bouygues SA (Construction & Engineering) | 675,077 | ||||||
1,796 | Capgemini SE (IT Services) | 309,738 | ||||||
152,111 | Credit Agricole SA (Banks) | 1,402,305 | ||||||
21,499 | Danone SA (Food Products) | 1,203,991 | ||||||
3,705 | Dassault Systemes SE (Software) | 137,236 | ||||||
8,725 | Edenred (IT Services) | 413,309 | ||||||
646 | Euroapi Sasu Common Stock* (Pharmaceuticals) | 10,191 | ||||||
1,617 | Kering SA (Textiles, Apparel & Luxury Goods) | 837,973 | ||||||
2,385 | L’Oreal SA (Personal Products) | 828,085 | ||||||
4,118 | LVMH Moet Hennessy Louis Vuitton SE (Textiles, Apparel & Luxury Goods) | 2,523,830 | ||||||
4,048 | Orange SA (Diversified Telecommunication Services) | 47,700 | ||||||
2,445 | Pernod Ricard SA (Beverages) | 452,019 | ||||||
6,820 | Publicis Groupe SA (Media) | 335,411 | ||||||
3,760 | Safran SA (Aerospace & Defense) | 374,366 | ||||||
14,858 | Sanofi (Pharmaceuticals) | 1,498,370 | ||||||
548 | Sartorius Stedim Biotech (Life Sciences Tools & Services) | 172,904 | ||||||
24,616 | TotalEnergies SE (Oil, Gas & Consumable Fuels) | 1,295,711 | ||||||
1,533 | Unibail-Rodamco-Westfield* (Equity Real Estate Investment Trusts (REITs)) | 77,938 | ||||||
8,158 | Vinci SA (Construction & Engineering) | 732,274 | ||||||
1 | Vivendi SE (Media) | 10 | ||||||
|
| |||||||
15,850,658 | ||||||||
|
| |||||||
Germany – 8.1% | ||||||||
1,494 | Adidas AG (Textiles, Apparel & Luxury Goods) | 265,381 | ||||||
1,665 | Allianz SE (Insurance) | 319,197 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Schedule of Investments (continued)
June 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Germany – (continued) | ||||||||
24,132 | BASF SE (Chemicals) | $ | 1,055,829 | |||||
7,182 | Bayer AG (Pharmaceuticals) | 428,883 | ||||||
29,535 | Bayerische Motoren Werke AG (Automobiles) | 2,181,606 | ||||||
1,503 | Carl Zeiss Meditec AG (Health Care Equipment & Supplies) | 180,705 | ||||||
27,689 | Covestro AG(b) (Chemicals) | 962,156 | ||||||
11,048 | Deutsche Post AG (Air Freight & Logistics) | 417,130 | ||||||
893 | HelloFresh SE* (Food & Staples Retailing) | 29,134 | ||||||
6,529 | Infineon Technologies AG (Semiconductors & Semiconductor Equipment) | 158,821 | ||||||
659 | LEG Immobilien SE (Real Estate Management & Development) | 54,843 | ||||||
24,481 | Mercedes-Benz Group AG (Automobiles) | 1,421,815 | ||||||
2 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Insurance) | 473 | ||||||
799 | Nemetschek SE (Software) | 48,609 | ||||||
2,633 | Puma SE (Textiles, Apparel & Luxury Goods) | 174,690 | ||||||
13,192 | SAP SE (Software) | 1,202,456 | ||||||
12,579 | Siemens AG (Industrial Conglomerates) | 1,293,077 | ||||||
4,920 | Siemens Healthineers AG(b) (Health Care Equipment & Supplies) | 250,853 | ||||||
337,548 | Telefonica Deutschland Holding AG (Diversified Telecommunication Services) | 973,390 | ||||||
9,614 | Vonovia SE (Real Estate Management & Development) | 297,462 | ||||||
|
| |||||||
11,716,510 | ||||||||
|
| |||||||
Hong Kong – 2.6% | ||||||||
104,400 | AIA Group Ltd. (Insurance) | 1,140,733 | ||||||
28,000 | Hang Lung Properties Ltd. (Real Estate Management & Development) | 53,279 | ||||||
98 | Hong Kong & China Gas Co. Ltd. (Gas Utilities) | 106 | ||||||
14,596 | Hong Kong Exchanges & Clearing Ltd. (Capital Markets) | 721,863 | ||||||
1,100 | Jardine Matheson Holdings Ltd. (Industrial Conglomerates) | 57,798 | ||||||
181,487 | Link REIT (Equity Real Estate Investment Trusts (REITs)) | 1,482,996 | ||||||
24,276 | Sino Land Co. Ltd. (Real Estate Management & Development) | 35,848 | ||||||
500 | Sun Hung Kai Properties Ltd. (Real Estate Management & Development) | 5,920 | ||||||
400 | Swire Properties Ltd. (Real Estate Management & Development) | 996 | ||||||
24,000 | Techtronic Industries Co. Ltd. (Machinery) | 250,612 | ||||||
|
| |||||||
3,750,151 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Ireland – 0.6% | ||||||||
24,567 | CRH PLC (Construction Materials) | 847,778 | ||||||
|
| |||||||
Israel – 0.2% | ||||||||
20,126 | ICL Group Ltd. (Chemicals) | 183,849 | ||||||
1,445 | Wix.com Ltd.*(a) (IT Services) | 94,720 | ||||||
|
| |||||||
278,569 | ||||||||
|
| |||||||
Italy – 1.7% | ||||||||
3,890 | Amplifon SpA (Health Care Providers & Services) | 119,596 | ||||||
27,996 | Coca-Cola HBC AG (Beverages) | 623,798 | ||||||
2,914 | Davide Campari-Milano NV (Beverages) | 30,742 | ||||||
1,438 | DiaSorin SpA (Health Care Equipment & Supplies) | 189,112 | ||||||
128,207 | Enel SpA (Electric Utilities) | 703,115 | ||||||
4,925 | Eni SpA (Oil, Gas & Consumable Fuels) | 58,414 | ||||||
47,270 | Mediobanca Banca di Credito Finanziario SpA (Banks) | 409,955 | ||||||
2,098 | Moncler SpA (Textiles, Apparel & Luxury Goods) | 90,394 | ||||||
48,755 | Snam SpA (Gas Utilities) | 255,787 | ||||||
|
| |||||||
2,480,913 | ||||||||
|
| |||||||
Japan – 22.3% | ||||||||
2,400 | Advantest Corp. (Semiconductors & Semiconductor Equipment) | 129,064 | ||||||
14,500 | AGC, Inc. (Building Products) | 509,496 | ||||||
2,200 | Aisin Corp. (Auto Components) | 68,092 | ||||||
1,600 | Asahi Group Holdings Ltd. (Beverages) | 52,617 | ||||||
7,100 | Astellas Pharma, Inc. (Pharmaceuticals) | 110,772 | ||||||
1,600 | Bandai Namco Holdings, Inc. (Leisure Products) | 112,949 | ||||||
5,700 | Benefit One, Inc. (Professional Services) | 77,222 | ||||||
28,200 | Bridgestone Corp. (Auto Components) | 1,028,154 | ||||||
22,100 | Canon, Inc. (Technology Hardware, Storage & Peripherals) | 500,816 | ||||||
11,600 | Chugai Pharmaceutical Co. Ltd. (Pharmaceuticals) | 296,734 | ||||||
1,500 | Dai-ichi Life Holdings, Inc. (Insurance) | 27,743 | ||||||
20,500 | Daiichi Sankyo Co. Ltd. (Pharmaceuticals) | 521,366 | ||||||
1,200 | Daikin Industries Ltd. (Building Products) | 192,671 | ||||||
2,400 | Daito Trust Construction Co. Ltd. (Real Estate Management & Development) | 207,615 | ||||||
132,700 | Daiwa Securities Group, Inc. (Capital Markets) | 594,181 | ||||||
2,900 | Denso Corp. (Auto Components) | 153,069 | ||||||
1,500 | Disco Corp. (Semiconductors & Semiconductor Equipment) | 356,943 | ||||||
6,400 | Eisai Co. Ltd. (Pharmaceuticals) | 270,593 | ||||||
4,000 | FANUC Corp. (Machinery) | 626,957 | ||||||
2,600 | Fuji Electric Co. Ltd. (Electrical Equipment) | 107,494 | ||||||
1,300 | Hikari Tsushin, Inc. (Specialty Retail) | 133,642 | ||||||
|
|
10 | 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) | ||||||||
7,400 | Hino Motors Ltd. (Machinery) | $ | 38,092 | |||||
1,916 | Hirose Electric Co. Ltd. (Electronic Equipment, Instruments & Components) | 254,409 | ||||||
1,400 | Hitachi Ltd. (Industrial Conglomerates) | 66,598 | ||||||
1,200 | Honda Motor Co. Ltd. (Automobiles) | 28,933 | ||||||
3,100 | Hoya Corp. (Health Care Equipment & Supplies) | 265,307 | ||||||
6,800 | Iida Group Holdings Co. Ltd. (Household Durables) | 104,396 | ||||||
7,700 | Isuzu Motors Ltd. (Automobiles) | 85,173 | ||||||
39,600 | ITOCHU Corp. (Trading Companies & Distributors) | 1,068,327 | ||||||
2,000 | Japan Exchange Group, Inc. (Capital Markets) | 28,989 | ||||||
16,700 | Japan Post Insurance Co. Ltd. (Insurance) | 267,279 | ||||||
21,900 | Japan Tobacco, Inc. (Tobacco) | 379,500 | ||||||
6,400 | JSR Corp. (Chemicals) | 166,311 | ||||||
12,400 | Kajima Corp. (Construction & Engineering) | 142,186 | ||||||
9,300 | Kakaku.com, Inc. (Interactive Media & Services) | 154,464 | ||||||
1,700 | Kao Corp. (Personal Products) | 68,934 | ||||||
600 | Keyence Corp. (Electronic Equipment, Instruments & Components) | 205,763 | ||||||
900 | Kikkoman Corp. (Food Products) | 47,895 | ||||||
1,800 | Kintetsu Group Holdings Co. Ltd. (Road & Rail) | 56,001 | ||||||
38,100 | Kirin Holdings Co. Ltd. (Beverages) | 601,867 | ||||||
12,500 | Komatsu Ltd. (Machinery) | 278,339 | ||||||
1,700 | Kose Corp. (Personal Products) | 154,931 | ||||||
1,100 | Lawson, Inc. (Food & Staples Retailing) | 36,609 | ||||||
30,600 | Lixil Corp. (Building Products) | 575,144 | ||||||
8,100 | M3, Inc. (Health Care Technology) | 233,158 | ||||||
2,100 | Makita Corp. (Machinery) | 52,052 | ||||||
52,200 | Marubeni Corp. (Trading Companies & Distributors) | 468,317 | ||||||
1,900 | Mercari, Inc.* (Internet & Direct Marketing Retail) | 27,712 | ||||||
33,800 | Mitsubishi Corp. (Trading Companies & Distributors) | 1,006,604 | ||||||
23,400 | Mitsubishi Electric Corp. (Electrical Equipment) | 251,530 | ||||||
49,600 | Mitsubishi HC Capital, Inc. (Diversified Financial Services) | 228,923 | ||||||
162,300 | Mitsubishi UFJ Financial Group, Inc. (Banks) | 868,313 | ||||||
12,100 | Mitsui & Co. Ltd. (Trading Companies & Distributors) | 265,892 | ||||||
12,500 | Mitsui OSK Lines Ltd. (Marine) | 287,557 | ||||||
13,700 | MS&AD Insurance Group Holdings, Inc. (Insurance) | 420,088 | ||||||
8,800 | Murata Manufacturing Co. Ltd. (Electronic Equipment, Instruments & Components) | 478,960 | ||||||
400 | Nidec Corp. (Electrical Equipment) | 24,787 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
1,500 | Nintendo Co. Ltd. (Entertainment) | 645,084 | ||||||
2,700 | Nippon Express Holdings, Inc. (Road & Rail) | 147,077 | ||||||
1,000 | Nippon Paint Holdings Co. Ltd. (Chemicals) | 7,482 | ||||||
38 | Nippon Prologis REIT, Inc. (Equity Real Estate Investment Trusts (REITs)) | 93,593 | ||||||
1 | Nippon Steel Corp. (Metals & Mining) | 14 | ||||||
8,200 | Nippon Yusen KK (Marine) | 562,232 | ||||||
5,000 | Nisshin Seifun Group, Inc. (Food Products) | 58,515 | ||||||
4,200 | Nitto Denko Corp. (Chemicals) | 271,650 | ||||||
51,900 | Nomura Holdings, Inc. (Capital Markets) | 188,558 | ||||||
14,700 | Nomura Research Institute Ltd. (IT Services) | 394,497 | ||||||
2,200 | Obic Co. Ltd. (IT Services) | 312,853 | ||||||
300 | Odakyu Electric Railway Co. Ltd. (Road & Rail) | 4,048 | ||||||
5,100 | Olympus Corp. (Health Care Equipment & Supplies) | 103,352 | ||||||
1,700 | Omron Corp. (Electronic Equipment, Instruments & Components) | 86,524 | ||||||
5,400 | Otsuka Corp. (IT Services) | 160,709 | ||||||
45,300 | Panasonic Corp. (Household Durables) | 365,761 | ||||||
13,200 | Pola Orbis Holdings, Inc. (Personal Products) | 163,388 | ||||||
17,600 | Recruit Holdings Co. Ltd. (Professional Services) | 518,328 | ||||||
66,300 | Resona Holdings, Inc. (Banks) | 247,996 | ||||||
1,000 | Ryohin Keikaku Co. Ltd. (Multiline Retail) | 9,796 | ||||||
17,100 | Seiko Epson Corp. (Technology Hardware, Storage & Peripherals) | 241,913 | ||||||
2,400 | Sekisui House Ltd. (Household Durables) | 42,133 | ||||||
5,000 | Shimadzu Corp. (Electronic Equipment, Instruments & Components) | 158,478 | ||||||
3,900 | Shin-Etsu Chemical Co. Ltd. (Chemicals) | 438,403 | ||||||
300 | Shiseido Co. Ltd. (Personal Products) | 12,092 | ||||||
140,000 | SoftBank Corp. (Wireless Telecommunication Services) | 1,554,354 | ||||||
3,900 | SoftBank Group Corp. (Wireless Telecommunication Services) | 151,158 | ||||||
900 | Sompo Holdings, Inc. (Insurance) | 39,751 | ||||||
7,500 | Sony Group Corp. (Household Durables) | 611,676 | ||||||
3,700 | Subaru Corp. (Automobiles) | 65,447 | ||||||
11,800 | Sumitomo Corp. (Trading Companies & Distributors) | 160,403 | ||||||
6,900 | Sumitomo Metal Mining Co. Ltd. (Metals & Mining) | 213,930 | ||||||
46,600 | Sumitomo Mitsui Financial Group, Inc. (Banks) | 1,385,189 | ||||||
300 | Sumitomo Mitsui Trust Holdings, Inc. (Banks) | 9,272 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Schedule of Investments (continued)
June 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
2,700 | Sysmex Corp. (Health Care Equipment & Supplies) | $ | 162,920 | |||||
38,200 | Takeda Pharmaceutical Co. Ltd. (Pharmaceuticals) | 1,072,974 | ||||||
3,000 | TDK Corp. (Electronic Equipment, Instruments & Components) | 92,755 | ||||||
33,100 | The Kansai Electric Power Co., Inc. (Electric Utilities) | 327,643 | ||||||
1,600 | Tokio Marine Holdings, Inc. (Insurance) | 93,299 | ||||||
3,500 | Tokyo Electron Ltd. (Semiconductors & Semiconductor Equipment) | 1,142,376 | ||||||
300 | Tokyo Gas Co. Ltd. (Gas Utilities) | 6,217 | ||||||
3,900 | TOTO Ltd. (Building Products) | 129,134 | ||||||
165,600 | Toyota Motor Corp. (Automobiles) | 2,555,093 | ||||||
2,500 | Toyota Tsusho Corp. (Trading Companies & Distributors) | 81,507 | ||||||
57,500 | USS Co. Ltd. (Specialty Retail) | 996,594 | ||||||
3,000 | Yamaha Corp. (Leisure Products) | 123,675 | ||||||
200 | Yamato Holdings Co. Ltd. (Air Freight & Logistics) | 3,201 | ||||||
900 | Yaskawa Electric Corp. (Machinery) | 29,068 | ||||||
3,900 | ZOZO, Inc. (Internet & Direct Marketing Retail) | 70,561 | ||||||
|
| |||||||
32,080,203 | ||||||||
|
| |||||||
Macau – 0.3% | ||||||||
37,000 | Galaxy Entertainment Group Ltd. (Hotels, Restaurants & Leisure) | 221,651 | ||||||
77,600 | Sands China Ltd.* (Hotels, Restaurants & Leisure) | 186,682 | ||||||
|
| |||||||
408,333 | ||||||||
|
| |||||||
Netherlands – 5.2% | ||||||||
466 | Adyen NV*(b) (IT Services) | 672,500 | ||||||
1 | Akzo Nobel NV (Chemicals) | 65 | ||||||
555 | Argenx SE* (Biotechnology) | 209,209 | ||||||
600 | ASM International NV (Semiconductors & Semiconductor Equipment) | 149,284 | ||||||
5,588 | ASML Holding NV (Semiconductors & Semiconductor Equipment) | 2,639,983 | ||||||
4,999 | Heineken NV (Beverages) | 455,017 | ||||||
2,547 | Just Eat Takeaway.com NV*(b) (Internet & Direct Marketing Retail) | 40,022 | ||||||
4,249 | NN Group NV (Insurance) | 192,449 | ||||||
3,570 | Randstad NV (Professional Services) | 172,540 | ||||||
103,576 | Shell PLC (Oil, Gas & Consumable Fuels) | 2,696,981 | ||||||
14,656 | Universal Music Group NV (Entertainment) | 293,648 | ||||||
|
| |||||||
7,521,698 | ||||||||
|
| |||||||
New Zealand – 1.1% | ||||||||
9,788 | Fisher & Paykel Healthcare Corp. Ltd. (Health Care Equipment & Supplies) | 121,936 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
New Zealand – (continued) | ||||||||
72,733 | Meridian Energy Ltd. (Independent Power and Renewable Electricity Producers) | 212,246 | ||||||
431,573 | Spark New Zealand Ltd. (Diversified Telecommunication Services) | 1,291,588 | ||||||
|
| |||||||
1,625,770 | ||||||||
|
| |||||||
Norway – 0.5% | ||||||||
12,697 | DNB Bank ASA (Banks) | 229,861 | ||||||
58 | Gjensidige Forsikring ASA (Insurance) | 1,181 | ||||||
18,513 | Norsk Hydro ASA (Metals & Mining) | 104,622 | ||||||
9,166 | Orkla ASA (Food Products) | 73,426 | ||||||
27,368 | Telenor ASA (Diversified Telecommunication Services) | 365,724 | ||||||
|
| |||||||
774,814 | ||||||||
|
| |||||||
Portugal – 0.3% | ||||||||
14,664 | Galp Energia SGPS SA (Oil, Gas & Consumable Fuels) | 171,583 | ||||||
9,319 | Jeronimo Martins SGPS SA (Food & Staples Retailing) | 202,021 | ||||||
|
| |||||||
373,604 | ||||||||
|
| |||||||
Russia(c) – 0.0% | ||||||||
74,513 | Evraz PLC (Metals & Mining) | — | ||||||
|
| |||||||
Singapore – 1.4% | ||||||||
238 | CDL Hospitality Trusts (Equity Real Estate Investment Trusts (REITs)) | 218 | ||||||
1,500 | City Developments Ltd. (Real Estate Management & Development) | 8,810 | ||||||
36,746 | DBS Group Holdings Ltd. (Banks) | 786,269 | ||||||
5,200 | Keppel Corp. Ltd. (Industrial Conglomerates) | 24,292 | ||||||
2,866 | Sea Ltd. ADR*(a) (Entertainment) | 191,621 | ||||||
17,600 | Singapore Exchange Ltd. (Capital Markets) | 119,907 | ||||||
208,400 | Singapore Technologies Engineering Ltd. (Aerospace & Defense) | 613,491 | ||||||
121,600 | Singapore Telecommunications Ltd. (Diversified Telecommunication Services) | 221,320 | ||||||
|
| |||||||
1,965,928 | ||||||||
|
| |||||||
South Africa – 0.0% | ||||||||
997 | Anglo American PLC (Metals & Mining) | 35,641 | ||||||
|
| |||||||
35,641 | ||||||||
|
| |||||||
South Korea*(b) – 0.2% | ||||||||
8,465 | Delivery Hero SE (Internet & Direct Marketing Retail) | 319,349 | ||||||
|
| |||||||
Spain – 2.8% | ||||||||
205 | ACS Actividades de Construccion y Servicios SA (Construction & Engineering) | 4,996 | ||||||
|
|
12 | 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) | ||||||||
Spain – (continued) | ||||||||
169 | Amadeus IT Group SA* (IT Services) | $ | 9,463 | |||||
46,749 | Enagas SA (Gas Utilities) | 1,033,926 | ||||||
98,111 | Endesa SA (Electric Utilities) | 1,856,006 | ||||||
30,922 | Ferrovial SA (Construction & Engineering) | 786,772 | ||||||
4,443 | Naturgy Energy Group SA (Gas Utilities) | 128,383 | ||||||
6,715 | Red Electrica Corp. SA (Electric Utilities) | 127,112 | ||||||
2,879 | Siemens Gamesa Renewable Energy SA* (Electrical Equipment) | 54,282 | ||||||
|
| |||||||
4,000,940 | ||||||||
|
| |||||||
Sweden – 2.0% | ||||||||
17,280 | Atlas Copco AB Class A (Machinery) | 161,742 | ||||||
45,108 | Atlas Copco AB Class B (Machinery) | 377,956 | ||||||
28,324 | Electrolux AB Class B (Household Durables) | 382,568 | ||||||
6,784 | EQT AB (Capital Markets) | 139,432 | ||||||
2,714 | Lundin Energy AB (Oil, Gas & Consumable Fuels) | 1,845 | ||||||
2,714 | Lundin Energy Mergerco AB (Diversified Financial Services) | 110,449 | ||||||
43,039 | Nibe Industrier AB Class B (Building Products) | 324,438 | ||||||
74,470 | Skandinaviska Enskilda Banken AB Class A (Banks) | 733,666 | ||||||
1 | Telefonaktiebolaget LM Ericsson Class B (Communications Equipment) | 8 | ||||||
160,202 | Telia Co. AB (Diversified Telecommunication Services) | 614,872 | ||||||
4,781 | Volvo AB Class B (Machinery) | 74,389 | ||||||
|
| |||||||
2,921,365 | ||||||||
|
| |||||||
Switzerland – 8.1% | ||||||||
15,419 | Adecco Group AG (Professional Services) | 525,554 | ||||||
1,194 | Bachem Holding AG (Life Sciences Tools & Services) | 83,222 | ||||||
501 | Cie Financiere Richemont SA Class A (Textiles, Apparel & Luxury Goods) | 53,889 | ||||||
68,110 | Clariant AG (Chemicals) | 1,298,740 | ||||||
313 | Geberit AG (Building Products) | 150,585 | ||||||
12,034 | Holcim Ltd. (Construction Materials) | 516,133 | ||||||
28,173 | Novartis AG (Pharmaceuticals) | 2,388,523 | ||||||
672 | Partners Group Holding AG (Capital Markets) | 606,881 | ||||||
5,781 | Roche Holding AG (Pharmaceuticals) | 1,932,587 | ||||||
164 | SGS SA (Professional Services) | 376,163 | ||||||
918 | Sonova Holding AG (Health Care Equipment & Supplies) | 293,376 | ||||||
2,490 | Straumann Holding AG (Health Care Equipment & Supplies) | 299,960 | ||||||
907 | VAT Group AG(b) (Machinery) | 216,915 | ||||||
6,693 | Zurich Insurance Group AG (Insurance) | 2,918,639 | ||||||
|
| |||||||
11,661,167 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
United Kingdom – 11.9% | ||||||||
1,429 | Ashtead Group PLC (Trading Companies & Distributors) | 60,116 | ||||||
24,776 | AstraZeneca PLC ADR(a) (Pharmaceuticals) | 1,636,950 | ||||||
340,902 | Aviva PLC (Insurance) | 1,669,828 | ||||||
103,363 | BAE Systems PLC (Aerospace & Defense) | 1,046,446 | ||||||
35,015 | Barclays PLC (Banks) | 65,477 | ||||||
5,642 | Berkeley Group Holdings PLC (Household Durables) | 256,511 | ||||||
16,560 | BP PLC ADR(a) (Oil, Gas & Consumable Fuels) | 469,476 | ||||||
18,061 | British American Tobacco PLC (Tobacco) | 774,171 | ||||||
6,250 | Coca-Cola Europacific Partners PLC(a) (Beverages) | 322,563 | ||||||
13,945 | Diageo PLC (Beverages) | 602,322 | ||||||
7,315 | Experian PLC (Professional Services) | 214,774 | ||||||
240,798 | HSBC Holdings PLC (Banks) | 1,573,018 | ||||||
29,201 | Imperial Brands PLC (Tobacco) | 653,744 | ||||||
133,695 | M&G PLC (Diversified Financial Services) | 316,953 | ||||||
43,746 | National Grid PLC (Multi-Utilities) | 562,177 | ||||||
64,199 | Persimmon PLC (Household Durables) | 1,460,649 | ||||||
43,583 | Phoenix Group Holdings PLC (Insurance) | 313,996 | ||||||
1,916 | Reckitt Benckiser Group PLC (Household Products) | 144,107 | ||||||
17,073 | RELX PLC (Professional Services) | 463,555 | ||||||
104,340 | Rolls-Royce Holdings PLC* (Aerospace & Defense) | 106,183 | ||||||
22,706 | Segro PLC (Equity Real Estate Investment Trusts (REITs)) | 271,059 | ||||||
44,462 | SSE PLC (Electric Utilities) | 877,472 | ||||||
9,344 | St. James’s Place PLC (Capital Markets) | 125,727 | ||||||
17,470 | Unilever PLC(a) (Personal Products) | 793,493 | ||||||
20,386 | Unilever PLC ADR (Personal Products) | 934,290 | ||||||
92,607 | Vodafone Group PLC ADR(a) (Wireless Telecommunication Services) | 1,442,817 | ||||||
|
| |||||||
17,157,874 | ||||||||
|
| |||||||
United States – 5.1% | ||||||||
446 | CyberArk Software Ltd.* (Software) | 57,070 | ||||||
40,622 | GlaxoSmithKline PLC ADR(a) (Pharmaceuticals) | 1,768,275 | ||||||
37,662 | Nestle SA (Food Products) | 4,401,659 | ||||||
7,531 | Schneider Electric SE (Electrical Equipment) | 897,360 | ||||||
23,089 | Sinch AB*(b) (Software) | 75,419 | ||||||
4,973 | Tenaris SA (Energy Equipment & Services) | 63,874 | ||||||
|
| |||||||
7,263,657 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $145,092,618) | $ | 150,052,840 | ||||||
|
| |||||||
The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Schedule of Investments (continued)
June 30, 2022 (Unaudited)
Shares | Dividend Rate | Value | ||||||
Preferred Stocks – 0.2% | ||||||||
Germany – 0.2% | ||||||||
Sartorius AG (Health Care Equipment & Supplies) | ||||||||
1,081 | 0.000% | $ | 379,397 | |||||
|
| |||||||
TOTAL INVESTMENTS – 104.4% | ||||||||
(Cost $145,421,294) | $ | 150,432,237 | ||||||
|
| |||||||
| LIABILITIES IN EXCESS OF OTHER ASSETS – (4.4)% | (6,400,754 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% | $ | 144,031,483 | ||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
(b) | Exempt from registration under Rule 144A of the Securities Act of 1933. | |
(c) | Significant unobservable inputs were used in the valuation of this portfolio security; i.e., Level 3. |
| ||
Currency Abbreviations: | ||
USD | —U.S. Dollar | |
Investment Abbreviations: | ||
ADR | —American Depositary Receipt | |
BP | —British Pound Offered Rate | |
PLC | —Public Limited Company | |
REIT | —Real Estate Investment Trust | |
|
Sector Allocation as of June 30, 2022 |
| |||
Sector Name | % of Total Market Value | |||
Financials | 19.5 | |||
Industrials | 16.0 | |||
Health Care | 13.0 | |||
Consumer Discretionary | 12.7 | |||
Consumer Staples | 10.2 | |||
Materials | 9.0 | |||
Information Technology | 7.3 | |||
Communication Services | 6.3 | |||
Utilities | 4.7 | |||
Energy | 3.8 | |||
Real Estate | 1.9 | |||
| ||||
TOTAL INVESTMENTS | 104.4 | |||
|
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At June 30, 2022, 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 | 23 | 09/16/22 | $ | 791,430 | $ | (14,133 | ) | |||||||||
FTSE 100 Index | 3 | 09/16/22 | 213,630 | (1,557 | ) | |||||||||||
Hang Seng Index | 1 | 07/28/22 | 1,087,200 | (1,462 | ) | |||||||||||
MSCI Singapore Index | 1 | 07/28/22 | 28,055 | (846 | ) | |||||||||||
SPI 200 Index | 1 | 09/15/22 | 161,525 | (2,780 | ) | |||||||||||
Topix Index | 3 | 09/08/22 | 56,115,000 | (12,942 | ) | |||||||||||
TOTAL FUTURES CONTRACTS | $ | (33,720 | ) |
WRITTEN OPTIONS CONTRACTS — At June 30, 2022, the Fund had the following written options contracts:
EXCHANGE TRADED INDEX OPTIONS
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
Written option contracts |
| |||||||||||||||||||||||||
Calls |
| |||||||||||||||||||||||||
Euro Stoxx 50 Index | 3,500.000 | 09/16/2022 | (643 | ) | (225,050,000 | ) | $ | (899,565 | ) | $ | (1,047,457 | ) | $ | 147,892 | ||||||||||||
FTSE 100 Index | 7,100.000 | 09/16/2022 | (89 | ) | (63,190,000 | ) | (315,269 | ) | (287,558 | ) | (27,711 | ) | ||||||||||||||
Nikkei 225 Index | 28,500.000 | 09/09/2022 | (64 | ) | (182,400,000 | ) | (101,415 | ) | (371,146 | ) | 269,731 | |||||||||||||||
TOTAL | (796 | ) | $ | (1,316,249 | ) | $ | (1,706,161 | ) | $ | 389,912 |
14 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Schedule of Investments
June 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 98.6% | ||||||||
Aerospace & Defense – 2.1% | ||||||||
53,634 | Lockheed Martin Corp. | $ | 23,060,475 | |||||
265,130 | Raytheon Technologies Corp. | 25,481,644 | ||||||
49,400 | The Boeing Co.* | 6,753,968 | ||||||
|
| |||||||
55,296,087 | ||||||||
|
| |||||||
Air Freight & Logistics – 0.9% | ||||||||
124,398 | United Parcel Service, Inc. Class B | 22,707,611 | ||||||
|
| |||||||
Auto Components – 0.1% | ||||||||
12,900 | Lear Corp. | 1,623,981 | ||||||
1,100 | QuantumScape Corp.* | 9,449 | ||||||
|
| |||||||
1,633,430 | ||||||||
|
| |||||||
Automobiles* – 1.9% | ||||||||
72,074 | Tesla, Inc. | 48,536,073 | ||||||
|
| |||||||
Banks – 4.3% | ||||||||
440,579 | Bank of America Corp. | 13,715,224 | ||||||
7,300 | First Hawaiian, Inc. | 165,783 | ||||||
62,000 | First Horizon Corp. | 1,355,320 | ||||||
127,200 | FNB Corp. | 1,381,392 | ||||||
1,244,300 | Huntington Bancshares, Inc. | 14,968,929 | ||||||
269,929 | JPMorgan Chase & Co.(a) | 30,396,705 | ||||||
104,900 | The PNC Financial Services Group, Inc. | 16,550,073 | ||||||
413,400 | Truist Financial Corp. | 19,607,562 | ||||||
135,800 | U.S. Bancorp | 6,249,516 | ||||||
412,300 | Umpqua Holdings Corp. | 6,914,271 | ||||||
8,800 | Webster Financial Corp. | 370,920 | ||||||
|
| |||||||
111,675,695 | ||||||||
|
| |||||||
Beverages – 2.1% | ||||||||
28,500 | Keurig Dr Pepper, Inc. | 1,008,615 | ||||||
151,782 | PepsiCo, Inc. | 25,295,988 | ||||||
465,600 | The Coca-Cola Co.(a) | 29,290,896 | ||||||
|
| |||||||
55,595,499 | ||||||||
|
| |||||||
Biotechnology – 2.6% | ||||||||
205,186 | AbbVie, Inc.(a) | 31,426,288 | ||||||
57,402 | Amgen, Inc. | 13,965,907 | ||||||
2,500 | BioMarin Pharmaceutical, Inc.* | 207,175 | ||||||
8,300 | Exact Sciences Corp.* | 326,937 | ||||||
233,194 | Gilead Sciences, Inc. | 14,413,721 | ||||||
33,285 | Moderna, Inc.* | 4,754,762 | ||||||
1,200 | Natera, Inc.* | 42,528 | ||||||
5,400 | Novavax, Inc.* | 277,722 | ||||||
5,400 | Sarepta Therapeutics, Inc.* | 404,784 | ||||||
5,800 | Seagen, Inc.* | 1,026,252 | ||||||
|
| |||||||
66,846,076 | ||||||||
|
| |||||||
Capital Markets – 2.9% | ||||||||
150,600 | Ares Management Corp. Class A | 8,563,116 | ||||||
20,700 | BlackRock, Inc. | 12,607,128 | ||||||
307,800 | Franklin Resources, Inc. | 7,174,818 | ||||||
196,600 | Janus Henderson Group PLC | 4,622,066 | ||||||
53,600 | Jefferies Financial Group, Inc. | 1,480,432 | ||||||
324,064 | Morgan Stanley | 24,648,308 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Capital Markets – (continued) | ||||||||
74,800 | State Street Corp. | 4,611,420 | ||||||
66,700 | T. Rowe Price Group, Inc. | 7,577,787 | ||||||
75,300 | The Carlyle Group, Inc. | 2,383,998 | ||||||
72,300 | Virtu Financial, Inc. Class A | 1,692,543 | ||||||
|
| |||||||
75,361,616 | ||||||||
|
| |||||||
Chemicals – 1.3% | ||||||||
49,526 | Air Products & Chemicals, Inc. | 11,910,013 | ||||||
3 | Dow, Inc. | 155 | ||||||
36,600 | Element Solutions, Inc. | 651,480 | ||||||
228,100 | Huntsman Corp. | 6,466,635 | ||||||
50,478 | Linde PLC | 14,513,939 | ||||||
16,300 | The Chemours Co. | 521,926 | ||||||
|
| |||||||
34,064,148 | ||||||||
|
| |||||||
Communications Equipment – 0.8% | ||||||||
383,748 | Cisco Systems, Inc.(a) | 16,363,015 | ||||||
163,300 | Juniper Networks, Inc. | 4,654,050 | ||||||
|
| |||||||
21,017,065 | ||||||||
|
| |||||||
Construction & Engineering – 0.0% | ||||||||
36,900 | MDU Resources Group, Inc. | 995,931 | ||||||
|
| |||||||
Consumer Finance – 0.5% | ||||||||
145,802 | Ally Financial, Inc. | 4,885,825 | ||||||
47,649 | American Express Co. | 6,605,104 | ||||||
12,400 | OneMain Holdings, Inc. | 463,512 | ||||||
|
| |||||||
11,954,441 | ||||||||
|
| |||||||
Containers & Packaging – 0.8% | ||||||||
252,799 | International Paper Co. | 10,574,582 | ||||||
61,500 | Packaging Corp. of America | 8,456,250 | ||||||
42,900 | Sonoco Products Co. | 2,447,016 | ||||||
|
| |||||||
21,477,848 | ||||||||
|
| |||||||
Diversified Consumer Services – 0.3% | ||||||||
5,500 | Bright Horizons Family Solutions, Inc.* | 464,860 | ||||||
148,300 | H&R Block, Inc. | 5,237,956 | ||||||
71,383 | Mister Car Wash, Inc.* | 776,647 | ||||||
6,100 | Service Corp. International | 421,632 | ||||||
|
| |||||||
6,901,095 | ||||||||
|
| |||||||
Diversified Financial Services – 1.3% | ||||||||
160,000 | Apollo Global Management, Inc. | 7,756,800 | ||||||
82,126 | Berkshire Hathaway, Inc. Class B* | 22,422,041 | ||||||
195,100 | Equitable Holdings, Inc. | 5,086,257 | ||||||
|
| |||||||
35,265,098 | ||||||||
|
| |||||||
Diversified Telecommunication Services(a) – 2.2% | ||||||||
1,370,228 | AT&T, Inc. | 28,719,979 | ||||||
592,002 | Verizon Communications, Inc. | 30,044,101 | ||||||
|
| |||||||
58,764,080 | ||||||||
|
| |||||||
Electric Utilities – 2.5% | ||||||||
1,400 | Avangrid, Inc. | 64,568 | ||||||
214,000 | Duke Energy Corp. | 22,942,940 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 15 |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Schedule of Investments (continued)
June 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Electric Utilities – (continued) | ||||||||
218,800 | OGE Energy Corp. | $ | 8,436,928 | |||||
283,101 | PPL Corp. | 7,680,530 | ||||||
357,001 | The Southern Co. | 25,457,741 | ||||||
|
| |||||||
64,582,707 | ||||||||
|
| |||||||
Electrical Equipment – 0.8% | ||||||||
83,662 | Eaton Corp. PLC | 10,540,575 | ||||||
84,661 | Emerson Electric Co. | 6,733,936 | ||||||
11,122 | Hubbell, Inc. | 1,986,167 | ||||||
2,143 | nVent Electric PLC | 67,140 | ||||||
23,800 | Plug Power, Inc.* | 394,366 | ||||||
23,100 | Sunrun, Inc.* | 539,616 | ||||||
|
| |||||||
20,261,800 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 0.4% | ||||||||
31,900 | Avnet, Inc. | 1,367,872 | ||||||
156,400 | Corning, Inc. | 4,928,164 | ||||||
109,430 | National Instruments Corp. | 3,417,499 | ||||||
|
| |||||||
9,713,535 | ||||||||
|
| |||||||
Entertainment* – 0.5% | ||||||||
33,690 | Netflix, Inc. | 5,891,370 | ||||||
5,428 | Roku, Inc. | 445,856 | ||||||
95,800 | Skillz, Inc. | 118,792 | ||||||
76,926 | The Walt Disney Co. | 7,261,815 | ||||||
|
| |||||||
13,717,833 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (REITs) – 2.6% | ||||||||
3,300 | American Campus Communities, Inc. | 212,751 | ||||||
129,991 | American Homes 4 Rent Class A | 4,606,881 | ||||||
46,000 | Apartment Income REIT Corp. | 1,913,600 | ||||||
59,187 | Camden Property Trust | 7,959,468 | ||||||
38,400 | Crown Castle International Corp. | 6,465,792 | ||||||
17,100 | CubeSmart | 730,512 | ||||||
16,500 | Equinix, Inc. | 10,840,830 | ||||||
19,400 | Equity LifeStyle Properties, Inc. | 1,367,118 | ||||||
1,800 | First Industrial Realty Trust, Inc. | 85,464 | ||||||
6,800 | Healthcare Trust of America, Inc. Class A | 189,788 | ||||||
125,900 | Invitation Homes, Inc. | 4,479,522 | ||||||
2,600 | Kilroy Realty Corp. | 136,058 | ||||||
1,800 | Lamar Advertising Co. Class A | 158,346 | ||||||
1,500 | Life Storage, Inc. | 167,490 | ||||||
5 | Omega Healthcare Investors, Inc. | 141 | ||||||
17,900 | Public Storage | 5,596,793 | ||||||
1 | Realty Income Corp. | 68 | ||||||
82,100 | Rexford Industrial Realty, Inc. | 4,728,139 | ||||||
36,600 | SBA Communications Corp. Class A | 11,713,830 | ||||||
40,193 | Sun Communities, Inc. | 6,405,157 | ||||||
19,800 | VICI Properties, Inc. | 589,842 | ||||||
|
| |||||||
68,347,590 | ||||||||
|
| |||||||
Food & Staples Retailing – 1.3% | ||||||||
23,300 | Costco Wholesale Corp. | 11,167,224 | ||||||
273,900 | Walgreens Boots Alliance, Inc. | 10,380,810 | ||||||
107,741 | Walmart, Inc. | 13,099,151 | ||||||
|
| |||||||
34,647,185 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Food Products – 0.5% | ||||||||
5,900 | Bunge Ltd. | 535,071 | ||||||
78,000 | Flowers Foods, Inc. | 2,052,960 | ||||||
3,200 | Ingredion, Inc. | 282,112 | ||||||
268,400 | The Kraft Heinz Co. | 10,236,776 | ||||||
|
| |||||||
13,106,919 | ||||||||
|
| |||||||
Gas Utilities – 0.0% | ||||||||
3,900 | National Fuel Gas Co. | 257,595 | ||||||
|
| |||||||
Health Care Equipment & Supplies – 2.5% | ||||||||
153,042 | Abbott Laboratories | 16,628,013 | ||||||
13,400 | Align Technology, Inc.* | 3,171,378 | ||||||
53,792 | DexCom, Inc.* | 4,009,118 | ||||||
11,300 | Insulet Corp.* | 2,462,722 | ||||||
32,170 | Intuitive Surgical, Inc.* | 6,456,841 | ||||||
263,153 | Medtronic PLC | 23,617,982 | ||||||
800 | Novocure Ltd.* | 55,600 | ||||||
2,341 | Penumbra, Inc.* | 291,501 | ||||||
47,640 | Stryker Corp. | 9,477,025 | ||||||
4,988 | Tandem Diabetes Care, Inc.* | 295,240 | ||||||
|
| |||||||
66,465,420 | ||||||||
|
| |||||||
Health Care Providers & Services – 2.7% | ||||||||
190,600 | Cardinal Health, Inc. | 9,962,662 | ||||||
26,300 | Cigna Corp. | 6,930,576 | ||||||
119,478 | CVS Health Corp. | 11,070,831 | ||||||
2,200 | Guardant Health, Inc.* | 88,748 | ||||||
1,900 | Oak Street Health, Inc.* | 31,236 | ||||||
84,177 | UnitedHealth Group, Inc.(a) | 43,235,833 | ||||||
|
| |||||||
71,319,886 | ||||||||
|
| |||||||
Health Care Technology* – 0.0% | ||||||||
15,600 | Teladoc Health, Inc. | 518,076 | ||||||
|
| |||||||
Hotels, Restaurants & Leisure – 0.8% | ||||||||
11,871 | Aramark | 363,609 | ||||||
3,300 | Booking Holdings, Inc.* | 5,771,667 | ||||||
3,627 | Choice Hotels International, Inc. | 404,882 | ||||||
11,719 | Hyatt Hotels Corp. Class A* | 866,151 | ||||||
15,465 | Planet Fitness, Inc. Class A* | 1,051,775 | ||||||
26,900 | Six Flags Entertainment Corp.* | 583,730 | ||||||
93,400 | Starbucks Corp. | 7,134,826 | ||||||
68,700 | Travel + Leisure Co. | 2,666,934 | ||||||
14,043 | Wyndham Hotels & Resorts, Inc. | 922,906 | ||||||
|
| |||||||
19,766,480 | ||||||||
|
| |||||||
Household Durables – 0.5% | ||||||||
74,700 | Garmin Ltd. | 7,339,275 | ||||||
10,527 | Lennar Corp. Class B | 618,040 | ||||||
20,120 | Toll Brothers, Inc. | 897,352 | ||||||
27,900 | Whirlpool Corp. | 4,320,873 | ||||||
|
| |||||||
13,175,540 | ||||||||
|
| |||||||
Household Products – 1.9% | ||||||||
101,498 | Kimberly-Clark Corp. | 13,717,455 | ||||||
12,800 | Reynolds Consumer Products, Inc. | 349,056 | ||||||
245,198 | The Procter & Gamble Co. | 35,257,020 | ||||||
|
| |||||||
49,323,531 | ||||||||
|
|
16 | 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) | ||||||||
Industrial Conglomerates – 0.7% | ||||||||
142,868 | 3M Co. | $ | 18,488,548 | |||||
|
| |||||||
Insurance – 2.3% | ||||||||
1,600 | Axis Capital Holdings Ltd. | 91,344 | ||||||
21,400 | CNA Financial Corp. | 960,860 | ||||||
1,800 | Erie Indemnity Co. Class A | 345,942 | ||||||
219,600 | Fidelity National Financial, Inc. | 8,116,416 | ||||||
42,800 | First American Financial Corp. | 2,264,976 | ||||||
232,499 | Mercury General Corp. | 10,299,706 | ||||||
556,706 | Old Republic International Corp. | 12,447,946 | ||||||
232,600 | Prudential Financial, Inc. | 22,255,168 | ||||||
91,200 | Unum Group | 3,102,624 | ||||||
|
| |||||||
59,884,982 | ||||||||
|
| |||||||
Interactive Media & Services* – 4.8% | ||||||||
31,229 | Alphabet, Inc. Class A | 68,056,110 | ||||||
12,466 | Alphabet, Inc. Class C(a) | 27,268,752 | ||||||
1 | Match Group, Inc. | 70 | ||||||
179,894 | Meta Platforms, Inc. Class A | 29,007,907 | ||||||
66,700 | Snap, Inc. Class A | 875,771 | ||||||
4,600 | ZoomInfo Technologies, Inc. | 152,904 | ||||||
|
| |||||||
125,361,514 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail* – 3.0% | ||||||||
725,080 | Amazon.com, Inc. | 77,010,747 | ||||||
1,218 | MercadoLibre, Inc. | 775,707 | ||||||
|
| |||||||
77,786,454 | ||||||||
|
| |||||||
IT Services – 5.3% | ||||||||
47,800 | Accenture PLC Class A | 13,271,670 | ||||||
2,500 | Affirm Holdings, Inc.* | 45,150 | ||||||
27,608 | Automatic Data Processing, Inc. | 5,798,784 | ||||||
14,110 | Block, Inc.* | 867,201 | ||||||
34,600 | Cloudflare, Inc. Class A* | 1,513,750 | ||||||
200 | Globant SA* | 34,800 | ||||||
209,801 | International Business Machines Corp. | 29,621,803 | ||||||
3 | Kyndryl Holdings, Inc.* | 29 | ||||||
67,655 | Mastercard, Inc. Class A | 21,343,799 | ||||||
8,422 | MongoDB, Inc.* | 2,185,509 | ||||||
8,827 | Okta, Inc.* | 797,961 | ||||||
132,900 | Paychex, Inc. | 15,133,323 | ||||||
59,391 | PayPal Holdings, Inc.* | 4,147,867 | ||||||
12,700 | Sabre Corp.* | 74,041 | ||||||
13,000 | Snowflake, Inc. Class A* | 1,807,780 | ||||||
883,299 | The Western Union Co. | 14,547,935 | ||||||
14,800 | Twilio, Inc. Class A* | 1,240,388 | ||||||
135,447 | Visa, Inc. Class A | 26,668,160 | ||||||
|
| |||||||
139,099,950 | ||||||||
|
| |||||||
Leisure Products – 0.0% | ||||||||
11,100 | Brunswick Corp. | 725,718 | ||||||
|
| |||||||
Life Sciences Tools & Services – 1.5% | ||||||||
4,600 | 10X Genomics, Inc. Class A* | 208,150 | ||||||
35,700 | Adaptive Biotechnologies Corp.* | 288,813 | ||||||
3,800 | Azenta, Inc. | 273,980 | ||||||
800 | Bruker Corp. | 50,208 | ||||||
|
|
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Life Sciences Tools & Services – (continued) | ||||||||
66,367 | Danaher Corp. | $ | 16,825,362 | |||||
7,300 | Maravai LifeSciences Holdings, Inc. Class A* | 207,393 | ||||||
24,300 | Repligen Corp.* | 3,946,320 | ||||||
32,589 | Thermo Fisher Scientific, Inc. | 17,704,952 | ||||||
|
| |||||||
39,505,178 | ||||||||
|
| |||||||
Machinery – 1.0% | ||||||||
79,287 | Caterpillar, Inc. | 14,173,344 | ||||||
70,150 | Illinois Tool Works, Inc. | 12,784,838 | ||||||
|
| |||||||
26,958,182 | ||||||||
|
| |||||||
Media – 1.1% | ||||||||
299,819 | Comcast Corp. Class A | 11,764,898 | ||||||
146,200 | Omnicom Group, Inc. | 9,299,782 | ||||||
309,701 | The Interpublic Group of Cos., Inc. | 8,526,068 | ||||||
|
| |||||||
29,590,748 | ||||||||
|
| |||||||
Metals & Mining – 0.8% | ||||||||
4,100 | Alcoa Corp. | 186,878 | ||||||
64,300 | Newmont Corp. | 3,836,781 | ||||||
322,400 | Southern Copper Corp. | 16,058,744 | ||||||
1,400 | Steel Dynamics, Inc. | 92,610 | ||||||
|
| |||||||
20,175,013 | ||||||||
|
| |||||||
Multi-Utilities – 1.1% | ||||||||
164,100 | Consolidated Edison, Inc. | 15,605,910 | ||||||
87,997 | Dominion Energy, Inc. | 7,023,041 | ||||||
104,500 | Public Service Enterprise Group, Inc. | 6,612,760 | ||||||
|
| |||||||
29,241,711 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 3.5% | ||||||||
237,098 | Chevron Corp. | 34,327,048 | ||||||
111,000 | ConocoPhillips | 9,968,910 | ||||||
47,177 | EOG Resources, Inc. | 5,210,228 | ||||||
395,119 | Exxon Mobil Corp.(a) | 33,837,991 | ||||||
71,600 | Occidental Petroleum Corp. | 4,215,808 | ||||||
18,300 | Pioneer Natural Resources Co. | 4,082,364 | ||||||
|
| |||||||
91,642,349 | ||||||||
|
| |||||||
Paper & Forest Products – 0.0% | ||||||||
7 | Sylvamo Corp. | 229 | ||||||
|
| |||||||
Pharmaceuticals – 5.6% | ||||||||
279,101 | Bristol-Myers Squibb Co. | 21,490,777 | ||||||
64,878 | Eli Lilly & Co. | 21,035,394 | ||||||
214,934 | Johnson & Johnson | 38,152,934 | ||||||
355,653 | Merck & Co., Inc. | 32,424,884 | ||||||
7 | Organon & Co | 236 | ||||||
653,399 | Pfizer, Inc. | 34,257,710 | ||||||
5 | Viatris, Inc. | 52 | ||||||
|
| |||||||
147,361,987 | ||||||||
|
| |||||||
Professional Services – 0.1% | ||||||||
7,100 | Booz Allen Hamilton Holding Corp. | 641,556 | ||||||
24,300 | ManpowerGroup, Inc. | 1,856,763 | ||||||
886 | TransUnion | 70,871 | ||||||
|
| |||||||
2,569,190 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 17 |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Schedule of Investments (continued)
June 30, 2022 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Real Estate Management & Development* – 0.0% | ||||||||
1,475 | Zillow Group, Inc. Class A | $ | 46,920 | |||||
|
| |||||||
Road & Rail – 1.3% | ||||||||
39,546 | Norfolk Southern Corp. | 8,988,410 | ||||||
28,200 | Ryder System, Inc. | 2,003,892 | ||||||
107,562 | Union Pacific Corp. | 22,940,824 | ||||||
|
| |||||||
33,933,126 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 5.7% | ||||||||
158,396 | Advanced Micro Devices, Inc.* | 12,112,542 | ||||||
84,300 | Analog Devices, Inc. | 12,315,387 | ||||||
45,190 | Broadcom, Inc. | 21,953,754 | ||||||
409,909 | Intel Corp. | 15,334,696 | ||||||
12,100 | KLA Corp. | 3,860,868 | ||||||
25,953 | Lam Research Corp. | 11,059,871 | ||||||
36,501 | Marvell Technology, Inc. | 1,588,888 | ||||||
212,600 | NVIDIA Corp. | 32,228,034 | ||||||
119,497 | QUALCOMM, Inc. | 15,264,547 | ||||||
151,650 | Texas Instruments, Inc.(a) | 23,301,022 | ||||||
|
| |||||||
149,019,609 | ||||||||
|
| |||||||
Software – 8.2% | ||||||||
8,500 | Asana, Inc. Class A* | 149,430 | ||||||
6,500 | Atlassian Corp. PLC Class A* | 1,218,100 | ||||||
7,300 | Avalara, Inc.* | 515,380 | ||||||
8,300 | Bill.com Holdings, Inc.* | 912,502 | ||||||
9,000 | Coupa Software, Inc.* | 513,900 | ||||||
18,100 | Crowdstrike Holdings, Inc. Class A* | 3,050,936 | ||||||
24,800 | Datadog, Inc. Class A* | 2,361,952 | ||||||
22,268 | DocuSign, Inc.* | 1,277,738 | ||||||
18,400 | Dynatrace, Inc.* | 725,696 | ||||||
11,700 | HubSpot, Inc.* | 3,517,605 | ||||||
32,200 | Intuit, Inc. | 12,411,168 | ||||||
608,833 | Microsoft Corp.(a) | 156,366,579 | ||||||
37,000 | Palantir Technologies, Inc. Class A* | 335,590 | ||||||
1,600 | RingCentral, Inc. Class A* | 83,616 | ||||||
76,435 | salesforce.com, Inc.* | 12,614,833 | ||||||
27,762 | ServiceNow, Inc.* | 13,201,386 | ||||||
10,100 | Smartsheet, Inc. Class A* | 317,443 | ||||||
39,500 | The Trade Desk, Inc. Class A* | 1,654,655 | ||||||
14,300 | Unity Software, Inc.* | 526,526 | ||||||
18,100 | Zscaler, Inc.* | 2,706,131 | ||||||
|
| |||||||
214,461,166 | ||||||||
|
| |||||||
Specialty Retail – 2.4% | ||||||||
43,100 | Dick’s Sporting Goods, Inc. | 3,248,447 | ||||||
1,700 | Floor & Decor Holdings, Inc. Class A* | 107,032 | ||||||
200 | Lithia Motors, Inc. | 54,962 | ||||||
75,999 | Lowe’s Cos., Inc. | 13,274,745 | ||||||
12,300 | Penske Automotive Group, Inc. | 1,287,687 | ||||||
140,876 | The Home Depot, Inc. | 38,638,061 | ||||||
78,500 | The TJX Cos., Inc. | 4,384,225 | ||||||
22,000 | Williams-Sonoma, Inc. | 2,440,900 | ||||||
|
| |||||||
63,436,059 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 7.0% | ||||||||
1,239,556 | Apple, Inc.(a) | 169,472,096 | ||||||
51,500 | Dell Technologies, Inc. Class C | 2,379,815 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Technology Hardware, Storage & Peripherals – (continued) | ||||||||
88,100 | NetApp, Inc. | 5,747,644 | ||||||
68,800 | Seagate Technology Holdings PLC | 4,915,072 | ||||||
|
| |||||||
182,514,627 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 0.5% | ||||||||
2,433 | Capri Holdings Ltd.* | 99,777 | ||||||
3 | Kontoor Brands, Inc. | 100 | ||||||
637 | Lululemon Athletica, Inc.* | 173,653 | ||||||
130,200 | NIKE, Inc. Class B | 13,306,440 | ||||||
|
| |||||||
13,579,970 | ||||||||
|
| |||||||
Tobacco – 0.8% | ||||||||
184,400 | Altria Group, Inc. | 7,702,388 | ||||||
132,454 | Philip Morris International, Inc. | 13,078,508 | ||||||
|
| |||||||
20,780,896 | ||||||||
|
| |||||||
Trading Companies & Distributors – 0.8% | ||||||||
130,798 | Fastenal Co. | 6,529,436 | ||||||
93,900 | MSC Industrial Direct Co., Inc. Class A | 7,052,829 | ||||||
27,699 | Watsco, Inc. | 6,615,075 | ||||||
|
| |||||||
20,197,340 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $2,155,806,378) | $ | 2,579,657,356 | ||||||
|
| |||||||
Shares | Dividend Rate | Value | ||||||
Investment Company(b) – 0.6% | ||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||
14,929,141 | 1.367% | $ | 14,929,141 | |||||
(Cost $14,929,141) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 99.2% | ||||||||
(Cost $2,170,735,519) | $ | 2,594,586,497 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 0.8% | 19,996,993 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 2,614,583,490 | ||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
(b) | Represents an affiliated issuer. |
| ||
Currency Abbreviations: | ||
USD | —U.S. Dollar | |
Investment Abbreviations: | ||
PLC | —Public Limited Company | |
REIT | —Real Estate Investment Trust | |
|
18 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At June 30, 2022, 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 | 79 | 09/16/22 | $ | 14,968,525 | $ | (437,020 | ) |
WRITTEN OPTIONS CONTRACTS — At June 30, 2022, the Fund had the following written options contracts:
EXCHANGE TRADED INDEX OPTIONS
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 | $4,240.000 | 08/31/2022 | (631 | ) | $ | (267,544,000 | ) | $ | (918,105 | ) | $ | (8,643,438 | ) | $ | 7,725,333 | |||||||||||
S&P 500 Index | 3,860.000 | 09/30/2022 | (621 | ) | (239,706,000 | ) | (9,283,950 | ) | (9,127,458 | ) | (156,492 | ) | ||||||||||||||
Total written option contracts |
| (1,252 | ) | $ | (10,202,055 | ) | $ | (17,770,896 | ) | $ | 7,568,841 |
The accompanying notes are an integral part of these financial statements. | 19 |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Statements of Assets and Liabilities
June 30, 2022 (Unaudited)
International Equity Dividend and Premium Fund | U.S. Equity Dividend and Premium Fund | |||||||||
Assets: | ||||||||||
Investments in unaffiliated issuers, at value (cost $2,155,806,378 and $145,421,294, respectively) | $ | 150,432,237 | $ | 2,579,657,356 | ||||||
Investments in affiliated issuers, at value (cost $14,929,141 and $0, respectively) | — | 14,929,141 | ||||||||
Cash | — | 4,082,493 | ||||||||
Foreign currencies, at value (cost $0 and $319,863, respectively) | 309,808 | — | ||||||||
Variation margin on futures contracts | 1,832 | — | ||||||||
Receivables: | ||||||||||
Fund shares sold | 270,158 | 18,067,300 | ||||||||
Investments sold | — | 9,127,458 | ||||||||
Dividends and interest | 1,502,116 | 2,682,631 | ||||||||
Reimbursement from investment adviser | 36,641 | 47,557 | ||||||||
Due from broker | 111,889 | 16,788 | ||||||||
Collateral on futures contracts(a) | 371,233 | — | ||||||||
Foreign tax reclaims | 1,675,162 | — | ||||||||
Other assets | 37,868 | 83,850 | ||||||||
Total assets | 154,748,944 | 2,628,694,574 | ||||||||
Liabilities: | ||||||||||
Due to custodian (overdraft) | 1,175,232 | — | ||||||||
Variation margin on futures contracts | — | 142,174 | ||||||||
Written option contracts, at value (premium received $17,770,896 and $1,706,161, respectively) | 1,316,249 | 10,202,055 | ||||||||
Payables: | ||||||||||
Fund shares redeemed | 7,835,029 | 1,639,171 | ||||||||
Management fees | 105,692 | 1,446,779 | ||||||||
Distribution and Service fees and Transfer Agency fees | 4,854 | 226,576 | ||||||||
Investments purchased | — | 17,250 | ||||||||
Due to Broker | — | 19,178 | ||||||||
Accrued expenses | 280,405 | 417,901 | ||||||||
Total liabilities | 10,717,461 | 14,111,084 | ||||||||
Net Assets: | ||||||||||
Paid-in capital | 220,876,495 | 2,080,248,367 | ||||||||
Total distributable earnings (loss) | (76,845,012 | ) | 534,335,123 | |||||||
NET ASSETS | $ | 144,031,483 | $ | 2,614,583,490 | ||||||
Net Assets: | ||||||||||
Class A | $ | 1,571,044 | $ | 158,888,992 | ||||||
Class C | 214,976 | 81,024,426 | ||||||||
Institutional | 3,857,747 | 1,097,389,389 | ||||||||
Investor | 2,093,775 | 381,957,978 | ||||||||
Class R6 | 69,533,033 | 314,229,229 | ||||||||
Class P | 66,760,908 | 581,093,476 | ||||||||
Total Net Assets | $ | 144,031,483 | $ | 2,614,583,490 | ||||||
Shares Outstanding $0.001 par value (unlimited number of shares authorized): | ||||||||||
Class A | 254,748 | 11,677,387 | ||||||||
Class C | 36,185 | 5,979,402 | ||||||||
Institutional | 639,713 | 80,918,649 | ||||||||
Investor | 348,253 | 28,144,575 | ||||||||
Class R6 | 11,533,695 | 23,182,045 | ||||||||
Class P | 11,056,324 | 42,856,301 | ||||||||
Net asset value, offering and redemption price per share:(b) | ||||||||||
Class A | $6.17 | $13.61 | ||||||||
Class C | 5.94 | 13.55 | ||||||||
Institutional | 6.03 | 13.56 | ||||||||
Investor | 6.01 | 13.57 | ||||||||
Class R6 | 6.03 | 13.55 | ||||||||
Class P | 6.04 | 13.56 |
(a) | Segregated for initial margin and/or collateral for futures contracts. |
(b) | Maximum public offering price per share for Class A Shares of the U.S. Equity Dividend and Premium and International Equity Dividend and Premium Funds is $14.40 and $6.53, respectively. At redemption, Class C Shares may be subject to a contingent deferred sales charge assessed on the amount equal to the lesser of the current NAV or the original purchase price of the shares. |
20 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Statements of Operations
For the Six Months Ended June 30, 2022 (Unaudited)
International Equity Dividend and Premium Fund | U.S. Equity Dividend and Premium Fund | |||||||||
Investment income: | ||||||||||
Dividends — unaffiliated issuers | $ | 5,193,461 | $ | 30,493,493 | ||||||
Dividends — affiliated issuers | 489 | 48,128 | ||||||||
Interest | 3,036 | 2,563 | ||||||||
Total investment income | 5,196,986 | 30,544,184 | ||||||||
Expenses: | ||||||||||
Management fees | 681,110 | 9,995,174 | ||||||||
Transfer Agency fees(a) | 28,590 | 949,788 | ||||||||
Distribution and Service (12b-1) fees(a) | 3,543 | 575,143 | ||||||||
Custody, accounting and administrative services | 66,077 | 183,534 | ||||||||
Printing and mailing costs | 19,058 | 123,253 | ||||||||
Service fees — Class C | 371 | 119,391 | ||||||||
Registration fees | 39,435 | 73,875 | ||||||||
Professional fees | 83,427 | 52,332 | ||||||||
Trustee fees | 10,615 | 12,714 | ||||||||
Other | 56,212 | 29,313 | ||||||||
Total expenses | 988,438 | 12,114,517 | ||||||||
Less — expense reductions | (238,731 | ) | (962,051 | ) | ||||||
Net expenses | 749,707 | 11,152,466 | ||||||||
NET INVESTMENT INCOME | 4,447,279 | 19,391,718 | ||||||||
Realized and unrealized gain (loss): | ||||||||||
Net realized gain (loss) from: | ||||||||||
Investments — unaffiliated issuers | (93,121 | ) | 36,658,615 | |||||||
Futures contracts | 153,684 | (1,470,736 | ) | |||||||
Written options | 2,169,556 | 67,506,306 | ||||||||
Foreign currency transactions | (260,881 | ) | — | |||||||
Net change in unrealized gain (loss) on: | ||||||||||
Investments — unaffiliated issuers | (35,265,515 | ) | (658,936,112 | ) | ||||||
Futures contracts | (79,877 | ) | (588,485 | ) | ||||||
Written options | 872,616 | 16,821,053 | ||||||||
Foreign currency translation | (140,519 | ) | — | |||||||
Net realized and unrealized loss | (32,644,057 | ) | (540,009,359 | ) | ||||||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (28,196,778 | ) | $ | (520,617,641 | ) |
(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 | |||||||||||||||||||||||||||||||
Fund | Class A | Class C | Class A | Class C | Institutional | Investor | Class R6 | Class P | ||||||||||||||||||||||||
International Equity Dividend and Premium | $ | 2,431 | $ | 1,112 | $ | 1,556 | $ | 237 | $ | 843 | $ | 2,088 | $ | 12,589 | $ | 11,277 | ||||||||||||||||
U.S. Equity Dividend and Premium | 216,970 | 358,173 | 138,862 | 76,410 | 244,196 | 347,407 | 46,322 | 96,591 |
The accompanying notes are an integral part of these financial statements. | 21 |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Statements of Changes in Net Assets
International Equity Dividend and Premium Fund | U.S. Equity Dividend and Premium Fund | |||||||||||||||||||||
For the Six Months Ended June 30, 2022 (Unaudited) | For the Fiscal Year Ended December 31, 2021 | For the Six Months Ended June 30, 2022 (Unaudited) | For the Fiscal Year Ended December 31, 2021 | |||||||||||||||||||
From operations: |
| |||||||||||||||||||||
Net investment income | $ | 4,447,279 | $ | 5,974,522 | $ | 19,439,393 | $ | 36,810,190 | ||||||||||||||
Net realized gain | 1,969,238 | 9,841,480 | 102,690,036 | 147,586,957 | ||||||||||||||||||
Net change in unrealized gain (loss) | (34,613,295 | ) | 1,174,822 | (642,747,070 | ) | 414,042,886 | ||||||||||||||||
Net increase (decrease) in net assets resulting from operations | (28,196,778 | ) | 16,990,824 | (520,617,641 | ) | 598,440,033 | ||||||||||||||||
Distributions to shareholders: |
| |||||||||||||||||||||
From distributable earnings: | ||||||||||||||||||||||
Class A Shares | (65,285 | ) | (59,547 | ) | (917,481 | ) | (9,824,749 | ) | ||||||||||||||
Class C Shares | (7,390 | ) | (7,337 | ) | (135,254 | ) | (5,383,356 | ) | ||||||||||||||
Institutional Shares | (152,258 | ) | (146,586 | ) | (8,364,440 | ) | (77,734,244 | ) | ||||||||||||||
Investor Shares | (78,132 | ) | (154,566 | ) | (2,747,202 | ) | (26,472,514 | ) | ||||||||||||||
Class R6 Shares | (3,043,015 | ) | (2,859,038 | ) | (2,196,949 | ) | (19,587,103 | ) | ||||||||||||||
Class P Shares | (2,675,950 | ) | (2,564,990 | ) | (4,450,473 | ) | (40,891,276 | ) | ||||||||||||||
Total distributions to shareholders | (6,022,030 | ) | (5,792,064 | ) | (18,811,799 | ) | (179,893,242 | ) | ||||||||||||||
From share transactions: |
| |||||||||||||||||||||
Proceeds from sales of shares | 7,435,106 | 15,077,004 | 310,421,253 | 604,320,258 | ||||||||||||||||||
Reinvestment of distributions | 5,948,185 | 5,716,638 | 17,114,422 | 163,634,347 | ||||||||||||||||||
Cost of shares redeemed | (20,213,257 | ) | (47,759,106 | ) | 309,575,451 | (762,104,051 | ) | |||||||||||||||
Net increase (decrease) in net assets resulting from share transactions | (6,829,966 | ) | (26,965,464 | ) | 17,960,224 | 5,850,554 | ||||||||||||||||
TOTAL INCREASE (DECREASE) | (41,048,774 | ) | (15,766,704 | ) | (521,469,216 | ) | 424,397,345 | |||||||||||||||
Net assets: |
| |||||||||||||||||||||
Beginning of period | 185,080,257 | 200,846,961 | 3,136,052,706 | 2,711,655,361 | ||||||||||||||||||
End of period | $ | 144,031,483 | $ | 185,080,257 | $ | 2,614,583,490 | $ | 3,136,052,706 |
22 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Selected Share Data for a Share Outstanding Throughout Each Period
(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. | 23 |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs International Equity Dividend and Premium Fund | ||||||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 7.32 | $ | 6.90 | $ | 7.02 | $ | 6.32 | $ | 7.48 | $ | 6.21 | ||||||||||||||
Net investment income(a) | 0.15 | 0.14 | 0.10 | 0.14 | 0.16 | 0.09 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.32 | ) | 0.42 | (0.11 | ) | 0.71 | (1.20 | ) | 1.30 | |||||||||||||||||
Total from investment operations | (1.17 | ) | 0.56 | (0.01 | ) | 0.85 | (1.04 | ) | 1.39 | |||||||||||||||||
Distributions to shareholders from net investment income | (0.21 | ) | (0.14 | ) | (0.11 | ) | (0.15 | ) | (0.12 | ) | (0.12 | ) | ||||||||||||||
Distributions to shareholders from return of capital | — | — | — | (b) | — | — | — | |||||||||||||||||||
Total distributions | (0.21 | ) | (0.14 | ) | (0.11 | ) | (0.15 | ) | (0.12 | ) | (0.12 | ) | ||||||||||||||
Net asset value, end of period | $ | 5.94 | $ | 7.32 | $ | 6.90 | $ | 7.02 | $ | 6.32 | $ | 7.48 | ||||||||||||||
Total return(c) | (16.09 | )% | 8.22 | % | 0.18 | % | 13.54 | % | (14.01 | )% | 22.50 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 215 | $ | 362 | $ | 621 | $ | 815 | $ | 1,252 | $ | 4,276 | ||||||||||||||
Ratio of net expenses to average net assets | 1.98 | %(d) | 1.98 | % | 2.02 | % | 2.08 | % | 2.09 | % | 2.09 | % | ||||||||||||||
Ratio of total expenses to average net assets | 2.30 | %(d) | 2.16 | % | 2.23 | % | 2.19 | % | 2.11 | % | 2.09 | % | ||||||||||||||
Ratio of net investment income to average net assets | 3.92 | %(d) | 1.91 | % | 1.63 | % | 2.11 | % | 2.24 | % | 1.29 | % | ||||||||||||||
Portfolio turnover rate(e) | 11 | % | 17 | % | 34 | % | 9 | % | 14 | % | 17 | % |
(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. |
24 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs International Equity Dividend and Premium Fund | ||||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 7.43 | $ | 7.01 | $ | 7.14 | $ | 6.42 | $ | 7.62 | $ | 6.32 | ||||||||||||||
Net investment income(a) | 0.19 | 0.24 | 0.16 | 0.22 | 0.31 | 0.18 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.34 | ) | 0.41 | (0.10 | ) | 0.73 | (1.29 | ) | 1.31 | |||||||||||||||||
Total from investment operations | (1.15 | ) | 0.65 | 0.06 | 0.95 | (0.98 | ) | 1.49 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.25 | ) | (0.23 | ) | (0.19 | ) | (0.23 | ) | (0.22 | ) | (0.19 | ) | ||||||||||||||
Distributions to shareholders from return of capital | — | — | — | (b) | — | — | — | |||||||||||||||||||
Total distributions | (0.25 | ) | (0.23 | ) | (0.19 | ) | (0.23 | ) | (0.22 | ) | (0.19 | ) | ||||||||||||||
Net asset value, end of period | $ | 6.03 | $ | 7.43 | $ | 7.01 | $ | 7.14 | $ | 6.42 | $ | 7.62 | ||||||||||||||
Total return(c) | (15.60 | )% | 9.38 | % | 1.18 | % | 14.82 | % | (12.96 | )% | 23.85 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 3,858 | $ | 4,417 | $ | 4,897 | $ | 12,005 | $ | 15,696 | $ | 399,955 | ||||||||||||||
Ratio of net expenses to average net assets | 0.89 | %(d) | 0.89 | % | 0.92 | % | 0.95 | % | 0.95 | % | 0.95 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.18 | %(d) | 1.04 | % | 1.10 | % | 1.06 | % | 0.95 | % | 0.95 | % | ||||||||||||||
Ratio of net investment income to average net assets | 5.34 | %(d) | 3.19 | % | 2.51 | % | 3.28 | % | 4.12 | % | 2.58 | % | ||||||||||||||
Portfolio turnover rate(e) | 11 | % | 17 | % | 34 | % | 9 | % | 14 | % | 17 | % |
(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. | 25 |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs International Equity Dividend and Premium Fund | ||||||||||||||||||||||||||
Investor Shares(a) | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 7.41 | $ | 7.00 | $ | 7.12 | $ | 6.41 | $ | 7.60 | $ | 6.31 | ||||||||||||||
Net investment income(b) | 0.19 | 0.23 | 0.15 | 0.21 | 0.20 | 0.17 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (1.35 | ) | 0.40 | (0.09 | ) | 0.72 | (1.18 | ) | 1.30 | |||||||||||||||||
Total from investment operations | (1.16 | ) | 0.63 | 0.06 | 0.93 | (0.98 | ) | 1.47 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.24 | ) | (0.22 | ) | (0.18 | ) | (0.22 | ) | (0.21 | ) | (0.18 | ) | ||||||||||||||
Distributions to shareholders from return of capital | — | — | — | (c) | — | — | — | |||||||||||||||||||
Total distributions | (0.24 | ) | (0.22 | ) | (0.18 | ) | (0.22 | ) | (0.21 | ) | (0.18 | ) | ||||||||||||||
Net asset value, end of period | $ | 6.01 | $ | 7.41 | $ | 7.00 | $ | 7.12 | $ | 6.41 | $ | 7.60 | ||||||||||||||
Total return(d) | (15.69 | )% | 9.15 | % | 1.20 | % | 14.71 | % | (13.10 | )% | 23.58 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 2,094 | $ | 5,313 | $ | 4,288 | $ | 8,915 | $ | 8,207 | $ | 6,048 | ||||||||||||||
Ratio of net expenses to average net assets | 0.98 | %(e) | 0.98 | % | 1.03 | % | 1.08 | % | 1.09 | % | 1.09 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.30 | %(e) | 1.14 | % | 1.23 | % | 1.19 | % | 1.14 | % | 1.09 | % | ||||||||||||||
Ratio of net investment income to average net assets | 4.95 | %(e) | 3.09 | % | 2.39 | % | 3.14 | % | 2.76 | % | 2.36 | % | ||||||||||||||
Portfolio turnover rate(f) | 11 | % | 17 | % | 34 | % | 9 | % | 14 | % | 17 | % |
(a) | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Amount is less than $0.005 per share. |
(d) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(e) | Annualized. |
(f) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
26 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs International Equity Dividend and Premium Fund | ||||||||||||||||||||||
Class R6 Shares | ||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | April 17, 2018* to December 31, 2018 | ||||||||||||||||||||
2021 | 2020 | 2019 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 7.43 | $ | 7.01 | $ | 7.13 | $ | 6.42 | $ | 7.60 | ||||||||||||
Net investment income(a) | 0.19 | 0.23 | 0.17 | 0.22 | 0.08 | |||||||||||||||||
Net realized and unrealized gain (loss) | (1.34 | ) | 0.42 | (0.10 | ) | 0.72 | (1.07 | ) | ||||||||||||||
Total from investment operations | (1.15 | ) | 0.65 | 0.07 | 0.94 | (0.99 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.25 | ) | (0.23 | ) | (0.19 | ) | (0.23 | ) | (0.19 | ) | ||||||||||||
Distributions to shareholders from return of capital | — | — | — | (b) | — | — | ||||||||||||||||
Total distributions | (0.25 | ) | (0.23 | ) | (0.19 | ) | (0.23 | ) | (0.19 | ) | ||||||||||||
Net asset value, end of period | $ | 6.03 | $ | 7.43 | $ | 7.01 | $ | 7.13 | $ | 6.42 | ||||||||||||
Total return(c) | (15.60 | )% | 9.38 | % | 1.34 | % | 14.85 | % | (13.25 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 69,533 | $ | 91,208 | $ | 102,041 | $ | 136,241 | $ | 125,311 | ||||||||||||
Ratio of net expenses to average net assets | 0.88 | %(d) | 0.88 | % | 0.90 | % | 0.94 | % | 0.93 | %(d) | ||||||||||||
Ratio of total expenses to average net assets | 1.17 | %(d) | 1.02 | % | 1.10 | % | 1.05 | % | 1.03 | %(d) | ||||||||||||
Ratio of net investment income to average net assets | 5.30 | %(d) | 3.14 | % | 2.70 | % | 3.23 | % | 1.81 | %(d) | ||||||||||||
Portfolio turnover rate(e) | 11 | % | 17 | % | 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. | 27 |
GOLDMAN SACHS INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs International Equity Dividend and Premium Fund | ||||||||||||||||||||||
Class P Shares | ||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | April 17, 2018* to December 31, 2018 | ||||||||||||||||||||
2021 | 2020 | 2019 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 7.44 | $ | 7.02 | $ | 7.14 | $ | 6.43 | $ | 7.71 | ||||||||||||
Net investment income(a) | 0.19 | 0.23 | 0.17 | 0.22 | 0.09 | |||||||||||||||||
Net realized and unrealized gain (loss) | (1.34 | ) | 0.42 | (0.10 | ) | 0.72 | (1.18 | ) | ||||||||||||||
Total from investment operations | (1.15 | ) | 0.65 | 0.07 | 0.94 | (1.09 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.25 | ) | (0.23 | ) | (0.19 | ) | (0.23 | ) | (0.19 | ) | ||||||||||||
Distributions to shareholders from return of capital | — | — | — | (b) | — | — | ||||||||||||||||
Total distributions | (0.25 | ) | (0.23 | ) | (0.19 | ) | (0.23 | ) | (0.19 | ) | ||||||||||||
Net asset value, end of period | $ | 6.04 | $ | 7.44 | $ | 7.02 | $ | 7.14 | $ | 6.43 | ||||||||||||
Total return(c) | (15.58 | )% | 9.37 | % | 1.33 | % | 14.83 | % | (14.35 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 66,761 | $ | 81,611 | $ | 86,949 | $ | 138,381 | $ | 162,129 | ||||||||||||
Ratio of net expenses to average net assets | 0.88 | %(d) | 0.88 | % | 0.90 | % | 0.94 | % | 0.93 | %(d) | ||||||||||||
Ratio of total expenses to average net assets | 1.17 | %(d) | 1.02 | % | 1.10 | % | 1.05 | % | 1.03 | %(d) | ||||||||||||
Ratio of net investment income to average net assets | 5.30 | %(d) | 3.17 | % | 2.67 | % | 3.26 | % | 1.81 | %(d) | ||||||||||||
Portfolio turnover rate(e) | 11 | % | 17 | % | 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. |
28 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
(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. | 29 |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs U.S. Equity Dividend and Premium Fund | ||||||||||||||||||||||||||
Class C Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.36 | $ | 14.14 | $ | 13.33 | $ | 11.41 | $ | 13.11 | $ | 12.07 | ||||||||||||||
Net investment income(a) | 0.03 | 0.04 | 0.08 | 0.12 | 0.11 | 0.10 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (2.82 | ) | 2.99 | 1.60 | 2.57 | (1.05 | ) | 1.60 | ||||||||||||||||||
Total from investment operations | (2.79 | ) | 3.03 | 1.68 | 2.69 | (0.94 | ) | 1.70 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.02 | ) | (0.03 | ) | (0.09 | ) | (0.12 | ) | (0.12 | ) | (0.10 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (0.78 | ) | (0.78 | ) | (0.65 | ) | (0.64 | ) | (0.56 | ) | |||||||||||||||
Distributions to shareholders from return of capital | — | — | — | (b) | — | — | — | |||||||||||||||||||
Total distributions | (0.02 | ) | (0.81 | ) | (0.87 | ) | (0.77 | ) | (0.76 | ) | (0.66 | ) | ||||||||||||||
Net asset value, end of period | $ | 13.55 | $ | 16.36 | $ | 14.14 | $ | 13.33 | $ | 11.41 | $ | 13.11 | ||||||||||||||
Total return(c) | (17.00 | )% | 21.48 | % | 12.83 | % | 23.72 | % | (7.38 | )% | 13.99 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 81,024 | $ | 109,023 | $ | 118,819 | $ | 141,029 | $ | 139,580 | $ | 177,178 | ||||||||||||||
Ratio of net expenses to average net assets | 1.80 | %(d) | 1.81 | % | 1.84 | % | 1.87 | % | 1.87 | % | 1.88 | % | ||||||||||||||
Ratio of total expenses to average net assets | 1.89 | %(d) | 1.88 | % | 1.90 | % | 1.91 | % | 1.90 | % | 1.90 | % | ||||||||||||||
Ratio of net investment income to average net assets | 0.32 | %(d) | 0.23 | % | 0.64 | % | 0.90 | % | 0.86 | % | 0.76 | % | ||||||||||||||
Portfolio turnover rate(e) | 19 | % | 19 | % | 39 | % | 26 | % | 37 | % | 34 | % |
(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. |
30 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs U.S. Equity Dividend and Premium Fund | ||||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.37 | $ | 14.16 | $ | 13.35 | $ | 11.43 | $ | 13.13 | $ | 12.09 | ||||||||||||||
Net investment income(a) | 0.11 | 0.21 | 0.23 | 0.26 | 0.27 | 0.24 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (2.82 | ) | 2.99 | 1.60 | 2.57 | (1.06 | ) | 1.60 | ||||||||||||||||||
Total from investment operations | (2.71 | ) | 3.20 | 1.83 | 2.83 | (0.79 | ) | 1.84 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.10 | ) | (0.21 | ) | (0.24 | ) | (0.26 | ) | (0.27 | ) | (0.24 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (0.78 | ) | (0.78 | ) | (0.65 | ) | (0.64 | ) | (0.56 | ) | |||||||||||||||
Distributions to shareholders from return of capital | — | — | — | (b) | — | — | — | |||||||||||||||||||
Total distributions | (0.10 | ) | (0.99 | ) | (1.02 | ) | (0.91 | ) | (0.91 | ) | (0.80 | ) | ||||||||||||||
Net asset value, end of period | $ | 13.56 | $ | 16.37 | $ | 14.16 | $ | 13.35 | $ | 11.43 | $ | 13.13 | ||||||||||||||
Total return(c) | (16.58 | )% | 22.82 | % | 14.12 | % | 25.06 | % | (6.28 | )% | 15.31 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 1,097,389 | $ | 1,329,450 | $ | 1,252,383 | $ | 1,242,858 | $ | 1,106,179 | $ | 2,565,883 | ||||||||||||||
Ratio of net expenses to average net assets | 0.71 | %(d) | 0.71 | % | 0.72 | % | 0.75 | % | 0.74 | % | 0.74 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.77 | %(d) | 0.76 | % | 0.78 | % | 0.77 | % | 0.76 | % | 0.76 | % | ||||||||||||||
Ratio of net investment income to average net assets | 1.42 | %(d) | 1.33 | % | 1.73 | % | 2.02 | % | 2.01 | % | 1.89 | % | ||||||||||||||
Portfolio turnover rate(e) | 19 | % | 19 | % | 39 | % | 26 | % | 37 | % | 34 | % |
(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. | 31 |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs U.S. Equity Dividend and Premium Fund | ||||||||||||||||||||||||||
Investor Shares(a) | ||||||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||||
2021 | 2020 | 2019 | 2018 | 2017 | ||||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.38 | $ | 14.17 | $ | 13.36 | $ | 11.44 | $ | 13.14 | $ | 12.10 | ||||||||||||||
Net investment income(b) | 0.10 | 0.19 | 0.21 | 0.25 | 0.25 | 0.23 | ||||||||||||||||||||
Net realized and unrealized gain (loss) | (2.81 | ) | 2.99 | 1.60 | 2.57 | (1.06 | ) | 1.60 | ||||||||||||||||||
Total from investment operations | (2.71 | ) | 3.18 | 1.81 | 2.82 | (0.81 | ) | 1.83 | ||||||||||||||||||
Distributions to shareholders from net investment income | (0.10 | ) | (0.19 | ) | (0.22 | ) | (0.25 | ) | (0.25 | ) | (0.23 | ) | ||||||||||||||
Distributions to shareholders from net realized gains | — | (0.78 | ) | (0.78 | ) | (0.65 | ) | (0.64 | ) | (0.56 | ) | |||||||||||||||
Distributions to shareholders from return of capital | — | — | — | (c) | — | — | — | |||||||||||||||||||
Total distributions | (0.10 | ) | (0.97 | ) | (1.00 | ) | (0.90 | ) | (0.89 | ) | (0.79 | ) | ||||||||||||||
Net asset value, end of period | $ | 13.57 | $ | 16.38 | $ | 14.17 | $ | 13.36 | $ | 11.44 | $ | 13.14 | ||||||||||||||
Total return(d) | (16.61 | )% | 22.78 | % | 13.90 | % | 25.00 | % | (6.47 | )% | 15.18 | % | ||||||||||||||
Net assets, end of period (in 000s) | $ | 381,958 | $ | 473,054 | $ | 402,711 | $ | 468,254 | $ | 432,136 | $ | 473,178 | ||||||||||||||
Ratio of net expenses to average net assets | 0.80 | %(e) | 0.81 | % | 0.83 | % | 0.87 | % | 0.87 | % | 0.88 | % | ||||||||||||||
Ratio of total expenses to average net assets | 0.89 | %(e) | 0.88 | % | 0.90 | % | 0.91 | % | 0.90 | % | 0.90 | % | ||||||||||||||
Ratio of net investment income to average net assets | 1.32 | %(e) | 1.23 | % | 1.64 | % | 1.90 | % | 1.86 | % | 1.76 | % | ||||||||||||||
Portfolio turnover rate(f) | 19 | % | 19 | % | 39 | % | 26 | % | 37 | % | 34 | % |
(a) | Effective August 15, 2017, Class IR changed its name to Investor Shares. |
(b) | Calculated based on the average shares outstanding methodology. |
(c) | Amount is less than $0.005 per share. |
(d) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(e) | Annualized. |
(f) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. 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 U.S. EQUITY DIVIDEND AND PREMIUM FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs U.S. Equity Dividend and Premium Fund | ||||||||||||||||||||||
Class R6 Shares | ||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | April 30, 2018 to December 31, 2018* | ||||||||||||||||||||
2021 | 2020 | 2019 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.36 | $ | 14.15 | $ | 13.34 | $ | 11.42 | $ | 12.84 | ||||||||||||
Net investment income(a) | 0.11 | 0.21 | 0.23 | 0.26 | 0.17 | |||||||||||||||||
Net realized and unrealized gain (loss) | (2.82 | ) | 2.99 | 1.60 | 2.57 | (0.75 | ) | |||||||||||||||
Total from investment operations | (2.71 | ) | 3.20 | 1.83 | 2.83 | (0.58 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.10 | ) | (0.21 | ) | (0.24 | ) | (0.26 | ) | (0.20 | ) | ||||||||||||
Distributions to shareholders from net realized gains | — | (0.78 | ) | (0.78 | ) | (0.65 | ) | (0.64 | ) | |||||||||||||
Distributions to shareholders from return of capital | — | — | — | (b) | — | — | ||||||||||||||||
Total distributions | (0.10 | ) | (0.99 | ) | (1.02 | ) | (0.91 | ) | (0.84 | ) | ||||||||||||
Net asset value, end of period | $ | 13.55 | $ | 16.36 | $ | 14.15 | $ | 13.34 | $ | 11.42 | ||||||||||||
Total return(c) | (16.53 | )% | 22.85 | % | 14.13 | % | 25.09 | % | (4.78 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 314,229 | $ | 336,827 | $ | 208,584 | $ | 275,973 | $ | 252,381 | ||||||||||||
Ratio of net expenses to average net assets | 0.70 | %(d) | 0.70 | % | 0.72 | % | 0.74 | % | 0.73 | %(d) | ||||||||||||
Ratio of total expenses to average net assets | 0.76 | %(d) | 0.75 | % | 0.77 | % | 0.76 | % | 0.76 | %(d) | ||||||||||||
Ratio of net investment income to average net assets | 1.43 | %(d) | 1.33 | % | 1.77 | % | 2.03 | % | 1.91 | %(d) | ||||||||||||
Portfolio turnover rate(e) | 19 | % | 19 | % | 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. | 33 |
GOLDMAN SACHS U.S. EQUITY DIVIDEND AND PREMIUM FUND
Financial Highlights (continued)
Selected Share Data for a Share Outstanding Throughout Each Period
Goldman Sachs U.S. Equity Dividend and Premium Fund | ||||||||||||||||||||||
Class P Shares | ||||||||||||||||||||||
Six Months Ended June 30, 2022 (Unaudited) | Year Ended December 31, | April 17, 2018* to December 31, 2018 | ||||||||||||||||||||
2021 | 2020 | 2019 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.37 | $ | 14.15 | $ | 13.34 | $ | 11.43 | $ | 13.12 | ||||||||||||
Net investment income(a) | 0.11 | 0.21 | 0.23 | 0.26 | 0.18 | |||||||||||||||||
Net realized and unrealized gain (loss) | (2.82 | ) | 3.00 | 1.60 | 2.56 | (1.03 | ) | |||||||||||||||
Total from investment operations | (2.71 | ) | 3.21 | 1.83 | 2.82 | (0.85 | ) | |||||||||||||||
Distributions to shareholders from net investment income | (0.10 | ) | (0.21 | ) | (0.24 | ) | (0.26 | ) | (0.20 | ) | ||||||||||||
Distributions to shareholders from net realized gains | — | (0.78 | ) | (0.78 | ) | (0.65 | ) | (0.64 | ) | |||||||||||||
Distributions to shareholders from return of capital | — | — | — | (b) | — | — | ||||||||||||||||
Total distributions | (0.10 | ) | (0.99 | ) | (1.02 | ) | (0.91 | ) | (0.84 | ) | ||||||||||||
Net asset value, end of period | $ | 13.56 | $ | 16.37 | $ | 14.15 | $ | 13.34 | $ | 11.43 | ||||||||||||
Total return(c) | (16.58 | )% | 22.93 | % | 14.05 | % | 25.07 | % | (6.73 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 581,093 | $ | 703,803 | $ | 593,220 | $ | 679,431 | $ | 648,424 | ||||||||||||
Ratio of net expenses to average net assets | 0.70 | %(d) | 0.70 | % | 0.72 | % | 0.74 | % | 0.73 | %(d) | ||||||||||||
Ratio of total expenses to average net assets | 0.76 | %(d) | 0.75 | % | 0.77 | % | 0.76 | % | 0.76 | %(d) | ||||||||||||
Ratio of net investment income to average net assets | 1.43 | %(d) | 1.34 | % | 1.76 | % | 2.03 | % | 1.93 | %(d) | ||||||||||||
Portfolio turnover rate(e) | 19 | % | 19 | % | 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. |
34 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
June 30, 2022 (Unaudited)
1. ORGANIZATION |
Goldman Sachs Trust (the “Trust”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”), along with their corresponding share classes and respective diversification status under the Act:
Fund | Share Classes Offered | Diversified/ Non-Diversified | ||
International Equity Dividend and Premium and U.S. Equity Dividend and Premium | A, C, Institutional, 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, 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. These reclaims, if any, are recorded when the amount is known and there are no significant uncertainties on collectability. Such amounts recovered, if any, are reflected as other income in the Statements of Operations. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Funds’ investments in U.S. real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain 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, unrealized gains and losses are recorded daily and become realized gains and losses upon disposition or termination 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 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
35
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
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. Investment income distributions, if any, are declared and paid at least quarterly. Capital gains distributions, if any, are declared and paid according to the following schedule:
Fund | Income Distributions Declared/Paid | Capital Gains Distributions Declared/Paid | ||||
International Equity Dividend and Premium | Quarterly | Annually | ||||
U.S. Equity Dividend and Premium | Quarterly | Annually |
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from 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’ investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price
36
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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. 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 Money Market 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 Money Market Fund’s accounting policies and investment holdings, please see the Underlying Money Market Fund’s shareholder report.
Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. A Fund enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers. For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral received, if any, is reported separately on the Statements of Assets and Liabilities as receivables/payables for collateral on certain derivatives contracts. Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments. Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence of two-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. 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
37
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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.
The International Equity Dividend and Premium Fund has limited market value in Russian securities. These Russian assets have been fair valued to reflect the limited liquidity and transferability in the current environment. With the closure of local markets and imposition of sanctions in February and March, there is currently only a limited degree of portfolio management actions possible as most of these assets are either sanctioned and/or cannot be settled. These assets continue to be closely monitored and proactively managed to ensure the Fund complies with all sanctions and to maximize shareholder value where possible.
C. Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of June 30, 2022:
INTERNATIONAL EQUITY DIVIDEND AND PREMIUM | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Asia | $ | 1,166,753 | $ | 37,525,339 | $ | — | ||||||
Australia and Oceania | — | 13,524,777 | — | |||||||||
Europe | 11,405,492 | 86,701,410 | — | |||||||||
North America | — | 108,466 | — | |||||||||
Total | $ | 12,572,245 | $ | 137,859,992 | $ | — | ||||||
Derivative Type | ||||||||||||
Liabilities | ||||||||||||
Futures contracts(b) | $ | (33,720 | ) | $ | — | $ | — | |||||
Written option contracts | — | (1,316,249 | ) | — | ||||||||
Total | $ | (33,720 | ) | $ | (1,316,249 | ) | $ | — |
(a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of net asset value. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Funds utilize fair value model prices provided by an independent fair value service for international equities, resulting in a Level 2 classification. |
(b) | Amount shown represents unrealized gain (loss) at period end. |
38
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
U.S. EQUITY DIVIDEND AND PREMIUM |
| |||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Australia and Oceania | $ | 1,218,100 | $ | — | $ | — | ||||||
Europe | 68,437,544 | — | — | |||||||||
North America | 2,493,167,260 | — | — | |||||||||
South America | 16,834,452 | — | — | |||||||||
Investment Company | 14,929,141 | — | — | |||||||||
Total | $ | 2,594,586,497 | $ | — | $ | — | ||||||
Derivative Type | ||||||||||||
Liabilities | ||||||||||||
Futures contracts(b) | $ | (437,020 | ) | $ | — | $ | — | |||||
Written option contracts | — | (10,202,055 | ) | — | ||||||||
Total | $ | (437,020 | ) | $ | (10,202,055 | ) | $ | — |
(a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of net asset value. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Funds utilize fair value model prices provided by an independent fair value service for international equities, resulting in a Level 2 classification. |
(b) | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Schedules of Investments.
4. INVESTMENT IN DERIVATIVES |
The following tables set forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of June 30, 2022. 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.
INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND |
| |||||||||||
Risk | Statement of Assets and Liabilities | Assets | Statement of Assets and Liabilities | Liabilities | ||||||||
Equity | — | $ | — | Variation margin on futures contracts; Payable for written options, at value | $ | (1,349,969) | (a) | |||||
U.S. EQUITY DIVIDEND AND PREMIUM FUND |
| |||||||||||
Risk | Statement of Assets and Liabilities | Assets | Statement of Assets and Liabilities | Liabilities | ||||||||
Equity | — | $ | — | Variation margin on futures contracts; Payable for written options, at value | $ | (10,639,075) | (a) |
(a) | Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information sections of the Schedules of Investments. Only variation margin as of June 30,2022 is reported within the Statements of Assets and Liabilities. |
39
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
4. INVESTMENTS IN DERIVATIVES (continued) |
The following tables set forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the six months ended June 30, 2022. 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:
INTERNATIONAL EQUITY DIVIDEND AND PREMIUM FUND | ||||||||
Risk | Statement of Operations | Net Realized Loss | Net Change in Unrealized | |||||
Equity | Net realized gain (loss) from futures contracts and written options/Net change in unrealized gain (loss) on futures contracts and written options | $ | 2,323,240 | $(792,739) | ||||
U.S. EQUITY DIVIDEND AND PREMIUM FUND | ||||||||
Risk | Statement of Operations | Net Realized Loss | Net Change in Unrealized | |||||
Equity | Net realized gain (loss) from futures contracts and written options/Net change in unrealized gain (loss) on futures contracts and written options | $ | 66,035,570 | $16,232,568 |
For the six months ended June 30, 2022, the relevant values for each derivative type were as follows:
Average Number of Contracts or Shares/Units(a) | ||||||||||
Fund | Futures Contracts | Written Options | ||||||||
International Equity Dividend and Premium Fund | 32 | 8,057 | ||||||||
U.S. Equity Dividend and Premium Fund | 76 | 184,025 |
(a) | Amounts disclosed represent average number of contracts for futures contracts, or shares/units outstanding for written options, based on absolute values, which is indicative of volume for this derivative type, for the months that the Funds held such derivatives for the six months ended June 30, 2022. |
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
40
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets. For the six months ended June 30, 2022, contractual and effective net management fees with GSAM were at the following rates:
Contractual Management Rate | Effective Net Management Rate^ | |||||||||||||||||||||||||||
Fund | First $1 billion | Next $1 billion | Next $3 billion | Next $3 billion | Over $8 billion | Effective Rate | ||||||||||||||||||||||
Goldman Sachs International Equity Dividend and Premium | 0.81 | % | 0.73 | % | 0.69 | % | 0.68 | % | 0.67 | % | 0.81 | % | 0.81 | % | ||||||||||||||
Goldman Sachs U.S. Equity Dividend and Premium | 0.75 | 0.68 | 0.65 | 0.64 | 0.63 | 0.70 | 0.65 | * |
^ | Effective Net Management Rate includes impact of management fee waivers of underlying funds, if any. |
* | GSAM has agreed to waive a portion of its management fee in an amount equal to 0.04% as an annual percentage of the Fund’s average daily net assets. This arrangement will remain in effect through at least April 29, 2023, and prior to such date, the Investment Adviser may not terminate the arrangement without the approval of the Trustees. |
The Funds invest in Institutional Shares of the Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Funds in an amount equal to the management fee it earns as an investment adviser to the affiliated Underlying Fund in which the Funds invest, except those management fees it earns from the Funds’ investments of cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund. For the six months ended June 30, 2022, GSAM waived $182 and $19,783 of the management fee for the International Equity Dividend and Premium and U.S. Equity Dividend Funds, respectively.
B. Distribution and/or Service (12b-1) Plans —The Trust, on behalf of Class A 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 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.
Distribution and/or Service Plan Rates | ||||||||
Class A* | Class C | |||||||
Distribution Plan and/or Service Plan | 0.25 | % | 0.75 | % |
* | With respect to Class A Shares, the Distributor at its discretion may use compensation for distribution services paid under the Distribution and Service Plans to compensate service organizations for personal and account maintenance services and expenses as long as such total compensation does not exceed the maximum cap on “service fees” imposed by the Financial Industry Regulatory Authority. |
C. Distribution Agreement — Goldman Sachs, as Distributor of the shares of the Funds pursuant to a Distribution Agreement, may retain a portion of the Class A Shares’ front end sales charge and Class C Shares’ CDSC. During the six months ended June 30, 2022, Goldman Sachs retained the following amounts:
Front End Sales Charge | Contigent Deferred Sales Charge | |||||||||
Fund | Class A | Class C | ||||||||
International Equity Dividend and Premium | $ | 17 | $ | — | ||||||
U.S. Equity Dividend and Premium | 7,823 | — |
41
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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% 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 Shares.
Goldman Sachs has agreed to waive a portion of its transfer agency fee (a component of “Other Expenses”) equal to 0.04% and 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 and U.S. Equity Dividend Funds, respectively. These arrangements will remain in effect through at least April 29, 2023, and prior to such date, Goldman Sachs may not terminate the arrangements without the approval of the Board of Trustees. Prior to April 29, 2022, Goldman Sachs waived its transfer agent fee equal to 0.02% of the U.S. Equity Dividend and Premium 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 International Equity Dividend and Premium and U.S. Equity Dividend Funds are 0.044% and 0.014%, respectively. These Other Expense limitations will remain in place through at least April 29, 2023, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.
Goldman Sachs may voluntarily waive a portion of any payments under a Fund’s Distribution and Service Plan and Transfer Agency Agreement, and these waivers are in addition to what is stipulated in any contractual fee waiver arrangements (as applicable). These temporary waivers may be modified or terminated at any time at the option of Goldman Sachs without shareholder approval.
For the six months ended June 30, 2022, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
Fund | Management Fee Waiver | Transfer Agency Waivers/Credits | Other Expense Reimbursements | Total Expense Reductions | ||||||||||||||
International Equity Dividend and Premium | $ | 182 | $ | 728 | $ | 237,821 | $ | 238,731 | ||||||||||
U.S. Equity Dividend and Premium | 595,203 | 93,210 | 273,638 | 962,051 |
G. Line of Credit Facility — As of June 30, 2022, the Funds participated in a $1,250,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the six months ended June 30, 2022, the Funds did not have any borrowings under the facility. Prior to April 22, 2022, the facility was $1,000,000,000.
42
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
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 six months ended June 30, 2022:
Fund Name | Beginning December 31, 2021 | Purchases at Cost | Proceeds from Sales | Ending Value as of June 30, 2022 | Shares as of June 30, 2022 | Dividend Income | ||||||||||||||||||||
International Equity Dividend and Premium | $ | 504,243 | $ | 5,198,508 | $ | (5,702,751 | ) | $ | — | $ | — | $ | 489 | |||||||||||||
U.S. Equity Dividend and Premium | 4,137,766 | 191,126,885 | (180,335,510 | ) | 14,929,141 | 14,929,141 | 48,128 |
As of June 30, 2022, 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 | |||||
International Equity Dividend and Premium | 48 | % | ||||
U.S. Equity Dividend and Premium | 7 |
6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended June 30, 2022, were as follows:
Fund | Purchases | Sales | ||||||||
International Equity Dividend and Premium | $ | 25,471,733 | $ | 19,179,834 | ||||||
U.S. Equity Dividend and Premium | 551,343,934 | 536,724,488 |
7. TAX INFORMATION |
As of December 31, 2021, the components of accumulated earnings (losses) on a tax basis were as follows:
International Equity Dividend and Premium | U.S. Equity Dividend and Premium | |||||||
Capital loss carryforwards: | ||||||||
Perpetual Short-Term | $ | (74,546,117 | ) | $ | — | |||
Perpetual Long-Term | (8,437,388 | ) | — | |||||
Total capital loss carryforwards | $ | (82,983,505 | ) | $ | — | |||
Timing differences (Real Estate Investment Trusts/Post October Capital Loss Deferral) | $ | (21,840 | ) | $ | (9,121,110 | ) |
43
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
7. TAX INFORMATION (continued) |
As of June 30, 2022, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
International Equity Dividend and Premium | U.S. Equity Dividend and Premium | |||||||
Tax Cost | $ | 144,919,031 | $ | 2,161,703,788 | ||||
Gross unrealized gain | 23,378,679 | 579,630,668 | ||||||
Gross unrealized loss | (17,865,473 | ) | (146,747,959 | ) | ||||
Net unrealized security gain (loss) | $ | 5,513,206 | $ | 432,882,709 |
The difference between GAAP-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains (losses) on regulated futures and options contracts, and differences in the tax treatment of partnership investments and real estate investment trust investments.
GSAM has reviewed the Fund’s tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
8. 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; less stringent investor protections; less stringent accounting, corporate governance, financial reporting and disclosure standards; and less economic, political and social stability in the countries in which a Fund invests. The imposition of sanctions, 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 problems with registration, settlement or custody, may also result in losses. The type and severity of sanctions and other similar measures, including counter sanctions and other retaliatory actions, that may be imposed could vary broadly in scope, and their impact is impossible to predict. For example, the imposition of sanctions and other similar measures could, among other things, cause a decline in the value and/or liquidity of securities issued by the sanctioned country or companies located in or economically tied to the sanctioned country and increase market volatility and disruption in the sanctioned country and throughout the world. Sanctions and other similar measures could limit or prevent a Fund from buying and selling securities (in the sanctioned country and other
44
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
8. OTHER RISKS (continued) |
markets), significantly delay or prevent the settlement of securities transactions, and significantly impact a Fund’s liquidity and performance. 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, or economically tied to, emerging markets, these risks may be more pronounced.
Foreign Custody Risk — A 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. 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 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 Funds’ 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.
45
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
9. INDEMNIFICATIONS |
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
10. SUBSEQUENT EVENTS |
Subsequent events after the Statements of Assets and Liabilities date have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
46
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
11. SUMMARY OF SHARE TRANSACTIONS |
Share activity is as follows:
International Equity Dividend and Premium Fund | ||||||||||||||||
For the Six Months Ended June 30, 2022 (Unaudited) | For the Fiscal Year Ended | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 15,493 | $ | 107,925 | 38,276 | $ | 286,919 | ||||||||||
Reinvestment of distributions | 10,297 | 65,285 | 7,993 | 59,547 | ||||||||||||
Shares redeemed | (56,856 | ) | (377,661 | ) | (46,827 | ) | (350,353 | ) | ||||||||
(31,066 | ) | (204,451 | ) | (558 | ) | (3,887 | ) | |||||||||
Class C Shares | ||||||||||||||||
Shares sold | 3,660 | 25,308 | 4,171 | 30,400 | ||||||||||||
Reinvestment of distributions | 1,219 | 7,390 | 1,003 | 7,221 | ||||||||||||
Shares redeemed | (18,189 | ) | (118,907 | ) | (45,662 | ) | (326,957 | ) | ||||||||
(13,310 | ) | (86,209 | ) | (40,488 | ) | (289,336 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 69,939 | 482,618 | 81,531 | 591,238 | ||||||||||||
Reinvestment of distributions | 16,755 | 104,138 | 12,678 | 92,444 | ||||||||||||
Shares redeemed | (41,572 | ) | (286,390 | ) | (198,016 | ) | (1,459,775 | ) | ||||||||
45,122 | 300,366 | (103,807 | ) | (776,093 | ) | |||||||||||
Investor Shares | ||||||||||||||||
Shares sold | 28,685 | 172,782 | 275,916 | 2,021,371 | ||||||||||||
Reinvestment of distributions | 12,583 | 78,132 | 21,259 | 154,566 | ||||||||||||
Shares redeemed | (409,982 | ) | (2,966,840 | ) | (193,155 | ) | (1,419,459 | ) | ||||||||
(368,714 | ) | (2,715,926 | ) | 104,020 | 756,478 | |||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 593,782 | 4,086,093 | 1,073,091 | 7,884,259 | ||||||||||||
Reinvestment of distributions | 490,271 | 3,043,015 | 392,194 | 2,859,038 | ||||||||||||
Shares redeemed | (1,832,054 | ) | (11,652,332 | ) | (3,738,617 | ) | (27,034,591 | ) | ||||||||
(748,001 | ) | (4,523,224 | ) | (2,273,332 | ) | (16,291,294 | ) | |||||||||
Class P Shares | ||||||||||||||||
Shares sold | 374,561 | 2,560,380 | 576,440 | 4,262,817 | ||||||||||||
Reinvestment of distributions | 425,897 | 2,650,225 | 348,446 | 2,543,822 | ||||||||||||
Shares redeemed | (717,107 | ) | (4,811,127 | ) | (2,336,341 | ) | (17,167,971 | ) | ||||||||
83,351 | 399,478 | (1,411,455 | ) | (10,361,332 | ) | |||||||||||
NET DECREASE | (1,032,618 | ) | $ | (6,829,966 | ) | (3,725,620 | ) | $ | (26,965,464 | ) |
47
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Notes to Financial Statements (continued)
June 30, 2022 (Unaudited)
11. SUMMARY OF SHARE TRANSACTIONS (continued) |
U.S. Equity Dividend and Premium Fund | ||||||||||||||||
For the Six Months Ended June 30, 2022 (Unaudited) | For the Fiscal Year Ended | |||||||||||||||
|
| |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
|
| |||||||||||||||
Class A Shares | ||||||||||||||||
Shares sold | 1,616,261 | $ | 24,683,081 | 3,071,696 | $ | 47,934,630 | ||||||||||
Reinvestment of distributions | 54,089 | 798,801 | 538,836 | 8,627,242 | ||||||||||||
Shares redeemed | (1,188,370 | ) | (18,079,277 | ) | (1,986,087 | ) | (31,209,475 | ) | ||||||||
481,980 | 7,402,605 | 1,624,445 | 25,352,397 | |||||||||||||
Class C Shares | ||||||||||||||||
Shares sold | 248,883 | 3,808,833 | 663,493 | 10,366,879 | ||||||||||||
Reinvestment of distributions | 8,442 | 124,191 | 306,290 | 4,890,543 | ||||||||||||
Shares redeemed | (943,211 | ) | (14,005,262 | ) | (2,707,607 | ) | (41,897,327 | ) | ||||||||
(685,886 | ) | (10,072,238 | ) | (1,737,824 | ) | (26,639,905 | ) | |||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 10,617,473 | 159,464,649 | 15,305,046 | 239,419,750 | ||||||||||||
Reinvestment of distributions | 510,306 | 7,509,948 | 4,277,140 | 68,232,724 | ||||||||||||
Shares redeemed | (11,414,679 | ) | (169,794,596 | ) | (26,845,489 | ) | (423,221,873 | ) | ||||||||
(286,900 | ) | (2,819,999 | ) | (7,263,303 | ) | (115,569,399 | ) | |||||||||
Investor Shares | ||||||||||||||||
Shares sold | 3,485,487 | 53,002,629 | 6,748,651 | 106,802,082 | ||||||||||||
Reinvestment of distributions | 186,255 | 2,747,043 | 1,657,720 | 26,470,639 | ||||||||||||
Shares redeemed | (4,401,942 | ) | (65,346,761 | ) | (7,959,798 | ) | (123,914,679 | ) | ||||||||
(730,200 | ) | (9,597,089 | ) | 446,573 | 9,358,042 | |||||||||||
Class R6 Shares | ||||||||||||||||
Shares sold | 3,447,713 | 48,273,147 | 8,807,588 | 141,751,659 | ||||||||||||
Reinvestment of distributions | 100,966 | 1,483,966 | 910,495 | 14,521,923 | ||||||||||||
Shares redeemed | (951,417 | ) | (14,627,866 | ) | (3,874,637 | ) | (60,289,891 | ) | ||||||||
2,597,262 | 35,129,247 | 5,843,446 | 95,983,691 | |||||||||||||
Class P Shares | ||||||||||||||||
Shares sold | 1,404,719 | 21,188,914 | 3,705,712 | 58,045,258 | ||||||||||||
Reinvestment of distributions | 302,191 | 4,450,473 | 2,563,555 | 40,891,276 | ||||||||||||
Shares redeemed | (1,848,735 | ) | (27,721,689 | ) | (5,184,667 | ) | (81,570,806 | ) | ||||||||
(141,825 | ) | (2,082,302 | ) | 1,084,600 | 17,365,728 | |||||||||||
NET INCREASE (DECREASE) | 1,234,431 | $ | 17,960,224 | (2,063 | ) | $ | 5,850,554 |
48
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
The Goldman Sachs International Equity Dividend and Premium Fund and Goldman Sachs U.S. Equity Dividend and Premium Fund (the “Funds”) are investment portfolios of Goldman Sachs Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Funds at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Funds.
The Management Agreement was most recently approved for continuation until June 30, 2023 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 14-15, 2022 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held two meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to each Fund, such matters included:
(a) | the nature and quality of the advisory, administrative, and other services provided to the Fund by the Investment Adviser and its affiliates, including information about: |
(i) | the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams; |
(ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training); |
(iii) | trends in employee headcount; |
(iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
(v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
(b) | information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), and a benchmark performance index; and information on general investment outlooks in the markets in which the Fund invests; |
(c) | information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Fund’s peer group and/or benchmark index had high, medium, or low relevance given the Fund’s particular investment strategy; |
(d) | the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund; |
(e) | fee and expense information for the Fund, including: |
(i) | the relative management fee and expense levels of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; |
(ii) | the Fund’s expense trends over time; and |
(iii) | to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
(f) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; |
(g) | the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations; |
(h) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund to the Investment Adviser and its affiliates; |
(i) | whether the Fund’s existing management fee schedule adequately addressed any economies of scale; |
49
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
(j) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, securities lending, portfolio trading, distribution and other services; |
(k) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
(l) | information regarding commissions paid by the Fund and broker oversight, other information regarding portfolio trading, and how the Investment Adviser carries out its duty to seek best execution; |
(m) | portfolio manager ownership of Fund shares; the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers; |
(n) | the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and |
(o) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports. |
The Trustees also received an overview of the Funds’ distribution arrangements. They received information regarding the Funds’ assets, share purchase and redemption activity, and payment of distribution and service fees. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Funds and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Funds. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Funds by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the market, regulatory and control environment in which the Funds and their service providers operate, including developments associated with the COVID-19 pandemic, geopolitical events, and economic sanctions, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees also considered information regarding the Investment Adviser’s business continuity planning and remote operations capabilities. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Funds and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Funds and the Investment Adviser and its affiliates.
Investment Performance
The Trustees also considered the investment performance of the Funds. In this regard, they compared the investment performance of each Fund to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2021, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2022. The information on each Fund’s investment performance was provided for the one-, three-, five-,
50
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
and ten-year periods ending on the applicable dates. The Trustees also reviewed each Fund’s investment performance relative to its performance benchmark. As part of this review, they considered the investment performance trends of the Funds over time, and reviewed the investment performance of each Fund in light of its investment objective and policies and market conditions.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Funds’ risk profiles, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management. They noted the efforts of the Funds’ portfolio management team to continue to enhance the investment models used in managing the Funds.
The Trustees observed that the International Equity Dividend and Premium Fund’s Institutional Shares had placed in the third quartile of the Fund’s peer group for the one-year period and in the fourth quartile for the three-, five-, and ten-year periods, and had outperformed the Fund’s benchmark index for the one-year period and underperformed for the three-, five-, and ten-year periods ended March 31, 2022. They noted that the U.S. Equity Dividend and Premium Fund’s Institutional Shares had placed in the third quartile of the Fund’s peer group for the one-year period and in the fourth quartile for the three-, five-, and ten-year periods, and had underperformed the Fund’s benchmark index for the one-, three-, five-, and ten-year periods ended March 31, 2022.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by each Fund thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Funds, which included both advisory and administrative services that were directed to the needs and operations of the Funds as registered mutual funds.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Funds. The analyses provided a comparison of each Fund’s management fee and breakpoints to those of a relevant peer group and category universe; an expense analysis which compared each Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing each Fund’s net expenses to the peer and category medians. The analyses also compared each Fund’s other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Funds.
In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Funds, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Funds differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.
In addition, the Trustees noted that shareholders are able to redeem their shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Profitability
The Trustees reviewed each Fund’s contribution to the Investment Adviser’s revenues and pre-tax profit margins. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization periodically audits the expense allocation methodology and that the internal audit group was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology. Profitability data for each Fund was provided for 2021 and 2020, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability.
51
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Economies of Scale
The Trustees considered the information that had been provided regarding whether there have been economies of scale with respect to the management of the Funds. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreement for each of the Funds at the following annual percentage rates of the average daily net assets of the Funds:
International Equity Dividend and Premium Fund | U.S. Equity Dividend and Premium Fund | |||||||
First $1 billion | 0.81 | % | 0.75 | % | ||||
Next $1 billion | 0.73 | 0.68 | ||||||
Next $3 billion | 0.69 | 0.65 | ||||||
Next $3 billion | 0.68 | 0.64 | ||||||
Over $8 billion | 0.67 | 0.63 |
The Trustees noted that the breakpoints were designed to share potential economies of scale, if any, with the Funds and their shareholders as assets under management reach those asset levels. The Trustees considered the amounts of assets in the Funds; the Funds’ recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer groups; and the Investment Adviser’s undertaking to waive a portion of its management fee with respect to U.S. Equity Dividend and Premium Fund and to limit certain expenses of the Funds that exceed specified levels as well as Goldman Sachs & Co. LLC’s (“Goldman Sachs”) undertaking to waive a portion of its transfer agency fee with respect to each of the Funds. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels. They also noted that the Investment Adviser had passed along savings to shareholders of the U.S. Equity Dividend and Premium Fund, which had asset levels above at least the first breakpoint during the prior fiscal year.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Funds as stated above, including: (a) transfer agency fees received by Goldman Sachs; (b) brokerage and futures commissions earned by Goldman Sachs for executing securities and futures transactions on behalf of the Funds; (c) trading efficiencies resulting from aggregation of orders of the Funds with those for other funds or accounts managed by the Investment Adviser; (d) fees earned by Goldman Sachs Agency Lending (“GSAL”), an affiliate of the Investment Adviser, as securities lending agent (and fees earned by the Investment Adviser for managing the fund in which the Funds’ cash collateral is invested); (e) the Investment Adviser’s ability to leverage the infrastructure designed to service the Funds on behalf of its other clients; (f) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (g) Goldman Sachs’ retention of certain fees as Fund Distributor; (h) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Funds; (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 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 Funds’ third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
Other Benefits to the Funds and Their Shareholders
The Trustees also noted that the Funds receive certain other potential benefits as a result of their relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Funds with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors due to the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers due to the volume of business generated by the Investment Adviser and its affiliates; (d) the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties on behalf of the Funds as a result of the size and reputation of the Goldman Sachs organization; (e) the advantages received from the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Funds because of the reputation of the
52
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Goldman Sachs organization; (g) the Funds’ access, through the Investment Adviser, to certain firm-wide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; (h) the Funds’ ability to participate in the securities lending program administered by GSAL, as measured by the revenue received by the Funds in connection with the program; and (i) the Funds’ access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Funds’ shareholders invested in the Funds in part because of the Funds’ relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by each of the Funds were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and each Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit each Fund and its shareholders and that the Management Agreement should be approved and continued with respect to each Fund until June 30, 2023.
53
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Liquidity Risk Management Program (Unaudited)
Each Fund has adopted and implemented a liquidity risk management program (the “Program”) in accordance with Rule 22e-4 under the 1940 Act. The Program seeks to assess and manage each Fund’s liquidity risk, i.e., the risk that a Fund is unable to satisfy redemption requests without significantly diluting remaining investors’ interests in the Fund. The Board of Trustees of the Trust has designated GSAM, each Fund’s investment adviser, to administer the Program. Certain aspects of the Program rely on third parties to perform certain functions, including the provision of market data and application of models.
The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Fund’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of a Fund’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under Rule 22e-4); (4) for a Fund that does not invest primarily in “highly liquid investments” (as defined under Rule 22e-4), the determination of a minimum percentage of the Fund’s assets that will generally be invested in highly liquid investments (a “Highly Liquid Investment Minimum”); and (5) periodic reporting to the Board of Trustees.
At a meeting of the Board of Trustees on February 8-9, 2022, GSAM provided a written report to the Board addressing the operation, and the adequacy and effectiveness of the implementation, of the Program, including, as applicable, the operation of any Highly Liquid Investment Minimum and any material changes to the Program, for the period from January 1, 2021 through December 31, 2021 (the “Reporting Period”). Among other things, the annual report discussed: (1) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions; (2) an assessment of the methodologies used to classify investments into one of four liquidity categories; and (3) the impact of local holidays in non-U.S. jurisdictions. The report concluded that the Program continues to be reasonably designed to assess and manage liquidity risk and was adequately and effectively implemented during the Reporting Period.
There can be no assurance that the Program will achieve its objectives under all circumstances in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which it may be subject.
54
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Impact of Russian Invasion of Ukraine (Unaudited)
The Russian invasion of Ukraine has negatively affected the global economy and has resulted in significant disruptions in financial markets and increased macroeconomic uncertainty. In addition, governments around the world have responded to Russia’s invasion by imposing economic sanctions and export controls on certain industry sectors, companies and individuals in or associated with Russia. Russia has imposed its own restrictions against investors and countries outside Russia and has proposed additional measures aimed at non-Russian-owned businesses. Businesses in the U.S. and globally have experienced shortages in materials and increased costs for transportation, energy and raw materials due, in part, to the negative effects of the war on the global economy. The escalation or continuation of the war between Russia and Ukraine or other hostilities presents heightened risks relating to cyber-attacks, the frequency and volume of failures to settle securities transactions, supply chain disruptions, inflation, as well as the potential for increased volatility in commodity, currency and other financial markets. The extent and duration of the war, sanctions and resulting market disruptions, as well as the potential adverse consequences for the Funds’ operations are difficult to predict.
55
GOLDMAN SACHS TAX-ADVANTAGED EQUITY FUNDS II
Fund Expenses — Six Month Period Ended June 30, 2022 (Unaudited) |
As a shareholder of Class A, Class C, Institutional, 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 and Class C Shares); and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Class A, Class C, Institutional, 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 January 1, 2022 through June 30, 2022, which represents a period of 181 days of a 365 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual
expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period.
Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
International Equity Dividend and Premium Fund | U.S. Equity Dividend and Premium Fund | |||||||||||||||||||||||
Share Class | Beginning Account Value 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid for the 6 months ended 6/30/22* | Beginning Account Value 1/1/22 | Ending Account Value 6/30/22 | Expenses Paid for the 6 months ended 6/30/22* | ||||||||||||||||||
Class A | ||||||||||||||||||||||||
Actual | $ | 1,000.00 | $ | 843.20 | $ | 5.62 | $ | 1,000.00 | $ | 833.30 | $ | 4.77 | ||||||||||||
Hypothetical 5% return | 1,000.00 | 1,018.70 | + | 6.16 | 1,000.00 | 1,019.59 | + | 5.26 | ||||||||||||||||
Class C | ||||||||||||||||||||||||
Actual | 1,000.00 | 839.10 | 9.03 | 1,000.00 | 830.00 | 8.17 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,014.98 | + | 9.89 | 1,000.00 | 1,015.87 | + | 9.00 | ||||||||||||||||
Institutional | ||||||||||||||||||||||||
Actual | 1,000.00 | 844.00 | 4.07 | 1,000.00 | 834.20 | 3.23 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,020.38 | + | 4.46 | 1,000.00 | 1,021.27 | + | 3.56 | ||||||||||||||||
Investor | ||||||||||||||||||||||||
Actual | 1,000.00 | 843.10 | 4.48 | 1,000.00 | 833.90 | 3.64 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,019.93 | + | 4.91 | 1,000.00 | 1,020.83 | + | 4.01 | ||||||||||||||||
Class R6 | ||||||||||||||||||||||||
Actual | 1,000.00 | 844.00 | 4.02 | 1,000.00 | 834.70 | 3.18 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,020.43 | 4.41 | 1,000.00 | 1,021.32 | + | 3.51 | |||||||||||||||||
Class P | ||||||||||||||||||||||||
Actual | 1,000.00 | 844.20 | 4.02 | 1,000.00 | 834.20 | 3.18 | ||||||||||||||||||
Hypothetical 5% return | 1,000.00 | 1,020.43 | + | 4.41 | 1,000.00 | 1,020.32 | + | 3.51 |
+ | Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
* | Expenses are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended June 30, 2022. 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 P | ||||||||||||||||||
International Equity Dividend and Premium | 1.23 | % | 1.98 | % | 0.89 | % | 0.98 | % | 0.88 | % | 0.88 | % | ||||||||||||
U.S. Equity Dividend and Premium | 1.05 | 1.80 | 0.71 | 0.80 | 0.70 | 0.70 |
56
FUNDS PROFILE
Goldman Sachs Funds
Goldman Sachs is a premier financial services firm, known since 1869 for creating thoughtful and customized investment solutions in complex global markets.
Today, the Asset Management Division of Goldman Sachs serves a diverse set of clients worldwide, including private institutions, public entities and individuals. With approximately $2.27 trillion in assets under supervision as of June 30, 2022, Goldman Sachs Asset Management 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. Goldman Sachs Asset Management 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 |
∎ | Short-Term Conservative Income Fund |
∎ | Short Duration Government Fund |
∎ | Short Duration Bond Fund4 |
∎ | Government Income Fund |
∎ | Inflation Protected Securities Fund |
Multi-Sector
∎ | Bond Fund |
∎ | Core Fixed Income Fund |
∎ | Global Core Fixed Income Fund |
∎ | Strategic Income Fund |
∎ | Income Fund |
Municipal and Tax-Free
∎ | High Yield Municipal Fund |
∎ | Dynamic Municipal Income Fund |
∎ | Short Duration Tax-Free Fund |
∎ | Municipal Income Completion Fund |
Single Sector
∎ | Investment Grade Credit Fund |
∎ | U.S. Mortgages Fund |
∎ | High Yield Fund |
∎ | High Yield Floating Rate Fund |
∎ | Emerging Markets Debt Fund |
∎ | Local Emerging Markets Debt Fund |
Fixed Income Alternatives
∎ | Long Short Credit Strategies Fund |
Fundamental Equity
∎ | Equity Income Fund |
∎ | Small Cap Growth Fund |
∎ | Small Cap Value Fund |
∎ | Small/Mid Cap Value Fund |
∎ | Mid Cap Value Fund |
∎ | Large Cap Value Fund |
∎ | Focused Value Fund |
∎ | Large Cap Core Fund5 |
∎ | Strategic Growth Fund |
∎ | Small/Mid Cap Growth Fund |
∎ | Flexible Cap Fund |
∎ | Concentrated Growth Fund |
∎ | Technology Opportunities Fund |
∎ | Mid Cap Growth Fund6 |
∎ | Rising Dividend Growth Fund |
∎ | U.S. Equity ESG Fund |
∎ | Income Builder Fund |
Tax-Advantaged Equity
∎ | U.S. Tax-Managed Equity Fund |
∎ | International Tax-Managed Equity Fund |
∎ | U.S. Equity Dividend and Premium Fund |
∎ | International Equity Dividend and Premium Fund |
Equity Insights
∎ | Small Cap Equity Insights Fund |
∎ | U.S. Equity Insights Fund |
∎ | Small Cap Growth Insights Fund |
∎ | Large Cap Growth Insights Fund |
∎ | Large Cap Value Insights Fund |
∎ | Small Cap Value Insights Fund |
∎ | International Small Cap Insights Fund |
∎ | International Equity Insights Fund |
∎ | Emerging Markets Equity Insights Fund |
Fundamental Equity International
∎ | International Equity Income Fund |
∎ | International Equity ESG Fund |
∎ | China Equity Fund |
∎ | Emerging Markets Equity Fund |
∎ | ESG Emerging Markets Equity Fund |
Alternative
∎ | Clean Energy Income Fund |
∎ | Defensive Equity Fund |
∎ | Real Estate Securities Fund |
∎ | Commodity Strategy Fund |
∎ | Global Real Estate Securities Fund |
∎ | Absolute Return Tracker Fund |
∎ | Managed Futures Strategy Fund |
∎ | MLP Energy Infrastructure Fund |
∎ | Energy Infrastructure Fund |
∎ | Multi-Manager Alternatives 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 |
∎ | Strategic Volatility Premium 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 July 29, 2021, the Goldman Sachs Short Duration Income Fund was renamed the Goldman Sachs Short Duration Bond Fund. |
5 | Effective after the close of business on April 13, 2022, the Goldman Sachs Capital Growth Fund was renamed the Goldman Sachs Large Cap Core Fund. |
6 | Effective after the close of business on April 13, 2022, the Goldman Sachs Growth Opportunities Fund was renamed the Goldman Sachs Mid Cap Growth 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 John G. Chou Diana M. Daniels Joaquin Delgado Eileen H. Dowling James A. McNamara Gregory G. Weaver Paul C. Wirth | 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 June 30, 2022 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).
© 2022 Goldman Sachs. All rights reserved. 287744-OTU-08/2022 TAXADVSAR2-22
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. |
The information required by this Item is only required in an annual report on this Form N-CSR.
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable. |
ITEM 6. | SCHEDULE OF INVESTMENTS. |
Schedule of Investments is included as part of the Report to Shareholders filed under Item 1. |
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 filed herewith. | |||
(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: | August 26, 2022 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By: | /s/ James A. McNamara | |
| ||
James A. McNamara | ||
President/Chief Executive Officer | ||
Goldman Sachs Trust | ||
Date: | August 26, 2022 | |
By: | /s/ Joseph F. DiMaria | |
| ||
Joseph F. DiMaria | ||
Principal Financial Officer | ||
Goldman Sachs Trust | ||
Date: | August 26, 2022 |