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:
| | |
Robert Griffith, Esq. Goldman Sachs & Co. LLC 200 West Street New York, NY 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: August 31
Date of reporting period: August 31, 2024
| ITEM 1. | REPORTS TO STOCKHOLDERS. |
The Annual Report to Shareholders for the Goldman Sachs Global Managed Beta Fund, Goldman Sachs Strategic Factor Allocation Fund, Goldman Sachs Strategic Volatility Premium Fund, and Goldman Sachs Tactical Tilt Overlay Fund is filed herewith.
Annual Shareholder Report
August 31, 2024
Goldman Sachs Global Managed Beta Fund
GGMBX: Institutional Class
This annual shareholder report contains important information about Goldman Sachs Global Managed Beta Fund (the "Fund") for the period of September 1, 2023 to August 31, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
This report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Institutional | $30 | 0.27% |
How did the Fund perform and what affected its performance?
Global equities were volatile, but performed strongly. U.S. large-cap stocks performed best, outpacing non-U.S. developed markets, emerging markets and small-cap stocks. Enthusiasm about artificial intelligence drove large gains in the U.S. technology sector, while China’s economic slowdown weighed on emerging markets.
Top Contributors to Performance:
The Fund benefited from its active beta strategy through which it invests in a diversified portfolio of underlying asset classes based on its cycle-aware long-term strategic asset allocation model. Specifically, the Fund’s dynamic overweight in developed markets equities added to its performance versus the MSCI All Country World Index Investable Market Index.
At the asset class level, the Fund was helped by the rebalance of its long-term strategic asset allocation at the end of 2023 wherein its exposures to emerging markets equities and small-cap stocks were decreased and its exposure to U.S. large-cap stocks was increased.
Top Detractors from Performance:
The Fund was hurt by its strategic allocation to alternative risk premia within a volatility selling strategy, as it sought to benefit from changes in the level of market implied volatility.
The currency options within the Fund’s currency tail risk hedging strategy, which seeks to limit the chance of a loss occurring due to a rare event, detracted from relative performance, as most of the options expired out of the money.
A strategic allocation to the macro hedging strategy, which is used in an attempt to diversify the Fund’s overall exposure to global equity asset classes, detracted slightly from relative performance. This allocation significantly underperformed between the beginning of the reporting period and June 2024, then sharply rebounded starting in July, resulting in only a modest loss overall.
The above represents strategies.
Goldman Sachs Global Managed Beta Fund
The following graph assumes an initial $1,000,000 investment in the Fund and compares the initial and subsequent account values at the end of each of the most recently completed 10 fiscal years of the Fund's share class (or less if the share class has been in operation for less than 10 years). For comparative purposes, the performance of the Fund's benchmark and any additional performance benchmark(s) are also shown.
| Institutional Shares | MSCI ACWI IMI (Net, USD, 50% Non-US Developed Hedged to USD) | MSCI ACWI IMI Index |
|---|
| 08/15 | $933,000 | $921,900 | $918,200 |
| 08/16 | $1,004,001 | $989,475 | $985,871 |
| 08/17 | $1,171,870 | $1,158,082 | $1,154,258 |
| 08/18 | $1,302,885 | $1,303,884 | $1,290,461 |
| 08/19 | $1,313,048 | $1,296,583 | $1,272,007 |
| 08/20 | $1,525,368 | $1,488,218 | $1,468,405 |
| 08/21 | $2,011,502 | $1,940,784 | $1,910,542 |
| 08/22 | $1,693,484 | $1,662,864 | $1,600,270 |
| 08/23 | $1,900,766 | $1,887,185 | $1,813,586 |
| 08/24 | $2,319,885 | $2,316,896 | $2,223,819 |
Average Annual Total Returns (%)
| 1 Year | 5 Years | Since Inception 4/30/15 |
|---|
| Institutional Shares | 22.05% | 12.04% | 9.42% |
| MSCI ACWI IMI (Net, USD, 50% Non-US Developed Hedged to USD) | 22.77% | 12.30% | 9.40% |
| MSCI ACWI IMI Index | 22.62% | 11.81% | 8.93% |
Performance data quoted above represents past performance. Past performance does not guarantee future results.
The Fund’s investment return, principal value and market price will fluctuate so that an investor’s shares, when sold or 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: am.gs.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. In accordance with changing regulatory requirements, the Fund is now required to compare its performance to a regulatory benchmark, which in this case is the MSCI ACWI IMI Index.
Goldman Sachs Global Managed Beta Fund
Key Fund Statistics (as of August 31, 2024)
| Total Net Assets | $4,279,340,979 |
| # of Portfolio Holdings | 1,210 |
| Portfolio Turnover Rate | 56% |
| Total Net Advisory Fees Paid | $7,616,756 |
This is a summary of certain changes to the Fund for the period. For more complete information, you may review the Fund's next prospectus, which we expect to be available by December 29, 2024 at dfinview.com/GoldmanSachs or upon request at 1-800-621-2550.
The Fund’s net expense ratio decreased from the prior period as a result of an increase in average net assets.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the sector allocation table below may not sum to 100% due to the exclusion of other assets and liabilities and may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any. These allocations may not be representative of the Fund’s future investments.
| Exchange Traded Funds | 80.5% |
| Common Stocks | 10.0% |
| Investment Companies | 5.0% |
Goldman Sachs Global Managed Beta Fund
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
The blended returns are calculated by Goldman Sachs using end of day index level values licensed from MSCI (“MSCI Data”). For the avoidance of doubt, MSCI is not the benchmark “administrator” for, or a “contributor”, “submitter” or “supervised contributor” to, the blended returns, and the MSCI Data is not considered a “contribution” or “submission” in relation to the blended returns, as those terms may be defined in any rules, laws, regulations, legislation or international standards. MSCI Data is provided “AS IS” without warranty or liability and no copying or distribution is permitted. MSCI does not make any representation regarding the advisability of any investment or strategy and does not sponsor, promote, issue, sell or otherwise recommend or endorse any investment or strategy, including any financial products or strategies based on, tracking or otherwise utilizing any MSCI Data, models, analytics or other materials or information.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Global Managed Beta Fund
Annual Shareholder Report
August 31, 2024
Goldman Sachs Strategic Factor Allocation Fund
This annual shareholder report contains important information about Goldman Sachs Strategic Factor Allocation Fund (the "Fund") for the period of September 1, 2023 to August 31, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
This report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| P | $76 | 0.70% |
How did the Fund perform and what affected its performance?
U.S. equities were volatile but performed strongly amid soft landing optimism supported by gradual cooling in economic growth. U.S. fixed income also performed well, as inflationary pressures receded. Bond yields fluctuated, though generally drifted down, amid shifting expectations about Federal Reserve rate cuts.
Top Contributors to Performance:
The Fund’s implementation of the Strategic Factor Allocation process, which is derived from the Goldman Sachs Investment Strategy Group’s (ISG) market views on a variety of asset classes and instruments, added to the Fund’s performance overall.
In absolute terms, the Fund benefited from all four of the Strategic Factor Allocation’s factors, which are academically derived drivers of investment returns that the ISG believes offer the potential for greater and consistent returns in various market environments.
Relative to the Fund’s blended benchmark, the Strategic Factor Allocation Composite IndexFootnote Reference1, the Volatility factor added most to performance. The Flow factor also contributed positively to relative returns.
Top Detractors from Performance:
The above represents factors.
| Footnote | Description |
Footnote1 | The Strategic Factor Allocation Composite Index is comprised of 50% of the S&P 500® Index and 50% of the Bloomberg U.S. Aggregate Bond Index. |
Goldman Sachs Strategic Factor Allocation Fund
The following graph assumes an initial $10,000 investment in the Fund and compares the initial and subsequent account values at the end of each of the most recently completed 10 fiscal years of the Fund's share class (or less if the share class has been in operation for less than 10 years). For comparative purposes, the performance of the Fund's benchmark and any additional performance benchmark(s) are also shown.
| Class P | Strategic Factor Allocation Composite Index | Bloomberg U.S. Aggregate Bond Index | S&P 500 Index |
|---|
| 08/18 | $10,397 | $10,427 | $10,061 | $10,801 |
| 08/19 | $10,830 | $11,153 | $11,084 | $11,116 |
| 08/20 | $12,027 | $12,788 | $11,801 | $13,555 |
| 08/21 | $13,842 | $14,676 | $11,792 | $17,781 |
| 08/22 | $12,947 | $13,050 | $10,433 | $15,784 |
| 08/23 | $13,849 | $14,006 | $10,309 | $18,300 |
| 08/24 | $16,217 | $16,378 | $11,062 | $23,266 |
Average Annual Total Returns (%)
| 1 Year | 5 Years | Since Inception 4/17/18 |
|---|
| Class P | 17.10% | 8.40% | 7.87% |
| Strategic Factor Allocation Composite Index | 16.94% | 7.98% | 8.04% |
| Bloomberg U.S. Aggregate Bond Index | 7.30% | -0.04% | 1.59% |
| S&P 500 Index | 27.14% | 15.90% | 14.15% |
Performance data quoted above represents past performance. Past performance does not guarantee future results.
The Fund’s investment return, principal value and market price will fluctuate so that an investor’s shares, when sold or 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: am.gs.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Goldman Sachs Strategic Factor Allocation Fund
Key Fund Statistics (as of August 31, 2024)
| Total Net Assets | $2,399,259,628 |
| # of Portfolio Holdings | 6 |
| Portfolio Turnover Rate | 0% |
| Total Net Advisory Fees Paid | $14,467,400 |
This is a summary of certain changes to the Fund for the period. For more complete information, you may review the Fund's next prospectus, which we expect to be available by December 29, 2024 at dfinview.com/GoldmanSachs or upon request at 1-800-621-2550.
Effective March 31, 2024, the Fund changed its principal investment strategy to invest in volatility index derivatives and in a wholly-owned subsidiary, through which the Fund seeks to gain exposure to volatility index derivatives and the commodities markets. As part of these changes, the Fund revised its principal investment risks and restated its fees and expenses to reflect these investments.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the table below may not sum to 100% due to the exclusion of other assets and liabilities. These allocations may not be representative of the Fund’s future investments.
Asset Class Exposure (%)*
| Gross | Long | Short | Net |
| Cash | 7.7 | 7.7 | - | 7.7 |
| Developed Markets Currency | 13.1 | 1.5 | 11.6 | -10.1 |
| Developed Markets Equity Call Options | 5.1 | 5.1 | - | 5.1 |
| Developed Markets Equity Put Options | 331.6 | 131.6 | 199.9 | -68.3 |
| Fixed Income | 61.8 | 61.8 | - | 61.8 |
| Fixed Income Call Options | 16.6 | - | 16.6 | -16.6 |
| Fixed Income Put Options | 16.1 | - | 16.1 | -16.1 |
| Interest Rate Call Options | 4.9 | 4.9 | - | 4.9 |
| Interest Rate Put Options | 4.9 | 4.9 | - | 4.9 |
| Short-term investments | 91.6 | 91.6 | - | 91.6 |
| US Equity | 62.5 | 62.5 | - | 62.5 |
* Asset class exposure includes the impact of derivatives. "Gross Exposure" represents the sum of the absolute value of long and short notional contract values in U.S. dollars of the Fund's positions (for a given asset class), divided by the Fund's net assets. "Net Exposure" represents the net exposure within the Fund to a given asset class, calculated as the difference between long and short exposures. The exposure of option contracts is delta-adjusted. Forward foreign currency exchange contracts for individual currency crosses are aggregated by settlement date and counterparty in the determination of gross exposure. Fixed income exposures are duration-adjusted to the 10-year reference rate of each respective country. "Short-term Investments” includes U.S. Treasuries and other short-term investments, including money market funds, repurchase agreements, cash and time deposits.
Goldman Sachs Strategic Factor Allocation Fund
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
Bloomberg Index Services Limited. BLOOMBERG® is a trademark and service mark of Bloomberg Finance LP. And its affiliates (collectively “Bloomberg”). Bloomberg or Bloomberg’s licensors own all proprietary rights in the Bloomberg Indices. Neither Bloomberg nor Bloomberg’s licensors approves or endorses this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.
The S&P 500 (“Index”) is a product of S&P Dow Jones Indices LLC and/or its affiliates and has been licensed for use by Goldman Sachs. Copyright © 2024 S&P Dow Jones Indices LLC, a division of S&P Global, Inc., and/or its affiliates. All rights reserved. Redistribution or reproduction in whole or in part are prohibited without written permission of S&P Dow Jones Indices LLC. For more information on any of S&P Dow Jones Indices LLC’s indices please visit www.spdji.com. S&P® is a registered trademark of S&P Global and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC. Neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors make any representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Strategic Factor Allocation Fund
Annual Shareholder Report
August 31, 2024
Goldman Sachs Strategic Factor Allocation Fund
SFAFX: Institutional Class
This annual shareholder report contains important information about Goldman Sachs Strategic Factor Allocation Fund (the "Fund") for the period of September 1, 2023 to August 31, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
This report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Institutional | $77 | 0.71% |
How did the Fund perform and what affected its performance?
U.S. equities were volatile but performed strongly amid soft landing optimism supported by gradual cooling in economic growth. U.S. fixed income also performed well, as inflationary pressures receded. Bond yields fluctuated, though generally drifted down, amid shifting expectations about Federal Reserve rate cuts.
Top Contributors to Performance:
The Fund’s implementation of the Strategic Factor Allocation process, which is derived from the Goldman Sachs Investment Strategy Group’s (ISG) market views on a variety of asset classes and instruments, added to the Fund’s performance overall.
In absolute terms, the Fund benefited from all four of the Strategic Factor Allocation’s factors, which are academically derived drivers of investment returns that the ISG believes offer the potential for greater and consistent returns in various market environments.
Relative to the Fund’s blended benchmark, the Strategic Factor Allocation Composite IndexFootnote Reference1, the Volatility factor added most to performance. The Flow factor also contributed positively to relative returns.
Top Detractors from Performance:
The above represents factors.
| Footnote | Description |
Footnote1 | The Strategic Factor Allocation Composite Index is comprised of 50% of the S&P 500® Index and 50% of the Bloomberg U.S. Aggregate Bond Index. |
Goldman Sachs Strategic Factor Allocation Fund
The following graph assumes an initial $1,000,000 investment in the Fund and compares the initial and subsequent account values at the end of each of the most recently completed 10 fiscal years of the Fund's share class (or less if the share class has been in operation for less than 10 years). For comparative purposes, the performance of the Fund's benchmark and any additional performance benchmark(s) are also shown.
| Institutional Shares | Bloomberg U.S. Aggregate Bond Index | Strategic Factor Allocation Composite Index | S&P 500 Index |
|---|
| 08/16 | $1,034,000 | $1,023,200 | $1,032,200 | $1,041,000 |
| 08/17 | $1,105,139 | $1,028,214 | $1,116,428 | $1,209,954 |
| 08/18 | $1,162,385 | $1,017,417 | $1,216,459 | $1,447,831 |
| 08/19 | $1,210,624 | $1,120,889 | $1,301,125 | $1,490,108 |
| 08/20 | $1,345,488 | $1,193,410 | $1,491,870 | $1,817,038 |
| 08/21 | $1,547,446 | $1,192,456 | $1,712,219 | $2,383,408 |
| 08/22 | $1,447,326 | $1,055,085 | $1,522,505 | $2,115,752 |
| 08/23 | $1,546,902 | $1,042,529 | $1,633,953 | $2,453,002 |
| 08/24 | $1,812,350 | $1,118,634 | $1,910,744 | $3,118,747 |
Average Annual Total Returns (%)
| 1 Year | 5 Years | Since Inception 5/31/16 |
|---|
| Institutional Shares | 17.16% | 8.39% | 7.46% |
| Strategic Factor Allocation Composite Index | 16.94% | 7.98% | 8.15% |
| Bloomberg U.S. Aggregate Bond Index | 7.30% | -0.04% | 1.37% |
| S&P 500 Index | 27.14% | 15.90% | 14.76% |
Performance data quoted above represents past performance. Past performance does not guarantee future results.
The Fund’s investment return, principal value and market price will fluctuate so that an investor’s shares, when sold or 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: am.gs.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares.
Goldman Sachs Strategic Factor Allocation Fund
Key Fund Statistics (as of August 31, 2024)
| Total Net Assets | $2,399,259,628 |
| # of Portfolio Holdings | 6 |
| Portfolio Turnover Rate | 0% |
| Total Net Advisory Fees Paid | $14,467,400 |
This is a summary of certain changes to the Fund for the period. For more complete information, you may review the Fund's next prospectus, which we expect to be available by December 29, 2024 at dfinview.com/GoldmanSachs or upon request at 1-800-621-2550.
Effective March 31, 2024, the Fund changed its principal investment strategy to invest in volatility index derivatives and in a wholly-owned subsidiary, through which the Fund seeks to gain exposure to volatility index derivatives and the commodities markets. As part of these changes, the Fund revised its principal investment risks and restated its fees and expenses to reflect these investments.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the table below may not sum to 100% due to the exclusion of other assets and liabilities. These allocations may not be representative of the Fund’s future investments.
Asset Class Exposure (%)*
| Gross | Long | Short | Net |
| Cash | 7.7 | 7.7 | - | 7.7 |
| Developed Markets Currency | 13.1 | 1.5 | 11.6 | -10.1 |
| Developed Markets Equity Call Options | 5.1 | 5.1 | - | 5.1 |
| Developed Markets Equity Put Options | 331.6 | 131.6 | 199.9 | -68.3 |
| Fixed Income | 61.8 | 61.8 | - | 61.8 |
| Fixed Income Call Options | 16.6 | - | 16.6 | -16.6 |
| Fixed Income Put Options | 16.1 | - | 16.1 | -16.1 |
| Interest Rate Call Options | 4.9 | 4.9 | - | 4.9 |
| Interest Rate Put Options | 4.9 | 4.9 | - | 4.9 |
| Short-term investments | 91.6 | 91.6 | - | 91.6 |
| US Equity | 62.5 | 62.5 | - | 62.5 |
* Asset class exposure includes the impact of derivatives. "Gross Exposure" represents the sum of the absolute value of long and short notional contract values in U.S. dollars of the Fund's positions (for a given asset class), divided by the Fund's net assets. "Net Exposure" represents the net exposure within the Fund to a given asset class, calculated as the difference between long and short exposures. The exposure of option contracts is delta-adjusted. Forward foreign currency exchange contracts for individual currency crosses are aggregated by settlement date and counterparty in the determination of gross exposure. Fixed income exposures are duration-adjusted to the 10-year reference rate of each respective country. "Short-term Investments” includes U.S. Treasuries and other short-term investments, including money market funds, repurchase agreements, cash and time deposits.
Goldman Sachs Strategic Factor Allocation Fund
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
Bloomberg Index Services Limited. BLOOMBERG® is a trademark and service mark of Bloomberg Finance LP. And its affiliates (collectively “Bloomberg”). Bloomberg or Bloomberg’s licensors own all proprietary rights in the Bloomberg Indices. Neither Bloomberg nor Bloomberg’s licensors approves or endorses this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.
The S&P 500 (“Index”) is a product of S&P Dow Jones Indices LLC and/or its affiliates and has been licensed for use by Goldman Sachs. Copyright © 2024 S&P Dow Jones Indices LLC, a division of S&P Global, Inc., and/or its affiliates. All rights reserved. Redistribution or reproduction in whole or in part are prohibited without written permission of S&P Dow Jones Indices LLC. For more information on any of S&P Dow Jones Indices LLC’s indices please visit www.spdji.com. S&P® is a registered trademark of S&P Global and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC. Neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors make any representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Strategic Factor Allocation Fund
Annual Shareholder Report
August 31, 2024
Goldman Sachs Strategic Volatility Premium Fund
This annual shareholder report contains important information about Goldman Sachs Strategic Volatility Premium Fund (the "Fund") for the period of September 1, 2023 to August 31, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
This report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| P | $43 | 0.41% |
How did the Fund perform and what affected its performance?
U.S fixed income was broadly influenced by Federal Reserve (Fed) monetary policy, interest rate volatility and inflation. Bond yields fluctuated, though generally drifted down, amid shifting sentiment about potential Fed easing. U.S. equities were generally volatile but performed strongly amid soft landing optimism.
Top Contributors to Performance:
The Strategic Volatility Premium, which is an implementation of the Goldman Sachs Investment Strategy Group’s market views on a variety of asset classes and instruments, produced positive absolute returns and added to the Fund’s performance versus the Bloomberg 1-5 Year U.S. Treasury Index (Index).
Relative to the Index, the Fund benefited from its options-based overlay strategy through which the Strategic Volatility Premium is implemented.
The Fund’s fixed income allocation to U.S. Treasury securities also added to relative returns, though to a lesser extent.
Top Detractors from Performance:
Strategic Volatility Premium
The above represents investment strategies.
Goldman Sachs Strategic Volatility Premium Fund
The following graph assumes an initial $10,000 investment in the Fund and compares the initial and subsequent account values at the end of each of the most recently completed 10 fiscal years of the Fund's share class (or less if the share class has been in operation for less than 10 years). For comparative purposes, the performance of the Fund's benchmark and any additional performance benchmark(s) are also shown.
| Class P | Bloomberg 1-5 Year U.S. Treasury Index | Bloomberg U.S. Aggregate Bond Index |
|---|
| 03/21 | $10,000 | $10,000 | $10,000 |
| 03/21 | $10,000 | $10,000 | $10,000 |
| 08/21 | $10,100 | $10,035 | $10,284 |
| 08/22 | $9,687 | $9,460 | $9,099 |
| 08/23 | $9,822 | $9,530 | $8,991 |
| 08/24 | $10,573 | $10,117 | $9,647 |
Average Annual Total Returns (%)
| 1 Year | Since Inception 3/29/21 |
|---|
| Class P | 7.65% | 1.64% |
| Bloomberg 1-5 Year U.S. Treasury Index | 6.16% | 0.34% |
| Bloomberg U.S. Aggregate Bond Index | 7.30% | -1.04% |
Performance data quoted above represents past performance. Past performance does not guarantee future results.
The Fund’s investment return, principal value and market price will fluctuate so that an investor’s shares, when sold or 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: am.gs.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. In accordance with changing regulatory requirements, the Fund is now required to compare its performance to a regulatory benchmark, which in this case is the Bloomberg U.S. Aggregate Bond Index.
Goldman Sachs Strategic Volatility Premium Fund
Key Fund Statistics (as of August 31, 2024)
| Total Net Assets | $444,612,507 |
| # of Portfolio Holdings | 11 |
| Portfolio Turnover Rate | 0% |
| Total Net Advisory Fees Paid | $1,173,140 |
This is a summary of certain changes to the Fund for the period. For more complete information, you may review the Fund's next prospectus, which we expect to be available by December 29, 2024 at dfinview.com/GoldmanSachs or upon request at 1-800-621-2550.
Effective March 31, 2024, the Fund changed its principal investment strategy to invest in volatility index derivatives and in a wholly-owned subsidiary, through which the Fund seeks to gain exposure to volatility index derivatives and the commodities markets. As part of these changes, the Fund revised its principal investment risks and restated its fees and expenses to reflect these investments.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the table below may not sum to 100% due to the exclusion of other assets and liabilities. These allocations may not be representative of the Fund’s future investments.
Asset Class Exposure (%)*
| Gross | Long | Short | Net |
| Cash | 5.2 | 5.2 | - | 5.2 |
| Developed Markets Equity Put Options | 313.9 | 124.7 | 189.2 | -64.5 |
| Fixed Income | 52.8 | 52.8 | - | 52.8 |
| Fixed Income Call Options | 16.6 | - | 16.6 | -16.6 |
| Fixed Income Put Options | 16.1 | - | 16.1 | -16.1 |
| Interest Rate Call Options | 0.8 | 0.8 | - | 0.8 |
| Interest Rate Put Options | 0.8 | 0.8 | - | 0.8 |
| Short-term investments | 94.7 | 94.7 | - | 94.7 |
| US Equity | 0.5 | 0.5 | - | 0.5 |
* Asset class exposure includes the impact of derivatives. "Gross Exposure" represents the sum of the absolute value of long and short notional contract values in U.S. dollars of the Fund's positions (for a given asset class), divided by the Fund's net assets. "Net Exposure" represents the net exposure within the Fund to a given asset class, calculated as the difference between long and short exposures. The exposure of option contracts is delta-adjusted. Forward foreign currency exchange contracts for individual currency crosses are aggregated by settlement date and counterparty in the determination of gross exposure. Fixed income exposures are duration-adjusted to the 10-year reference rate of each respective country. "Short-term Investments” includes U.S. Treasuries and other short-term investments, including money market funds, repurchase agreements, cash and time deposits.
Goldman Sachs Strategic Volatility Premium Fund
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
Bloomberg Index Services Limited. BLOOMBERG® is a trademark and service mark of Bloomberg Finance LP. And its affiliates (collectively “Bloomberg”). Bloomberg or Bloomberg’s licensors own all proprietary rights in the Bloomberg Indices. Neither Bloomberg nor Bloomberg’s licensors approves or endorses this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Strategic Volatility Premium Fund
Annual Shareholder Report
August 31, 2024
Goldman Sachs Strategic Volatility Premium Fund
SVPFX: Institutional Class
This annual shareholder report contains important information about Goldman Sachs Strategic Volatility Premium Fund (the "Fund") for the period of September 1, 2023 to August 31, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
This report describes changes to the Fund that occurred during the reporting period.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Institutional | $44 | 0.42% |
How did the Fund perform and what affected its performance?
U.S fixed income was broadly influenced by Federal Reserve (Fed) monetary policy, interest rate volatility and inflation. Bond yields fluctuated, though generally drifted down, amid shifting sentiment about potential Fed easing. U.S. equities were generally volatile but performed strongly amid soft landing optimism.
Top Contributors to Performance:
The Strategic Volatility Premium, which is an implementation of the Goldman Sachs Investment Strategy Group’s market views on a variety of asset classes and instruments, produced positive absolute returns and added to the Fund’s performance versus the Bloomberg 1-5 Year U.S. Treasury Index (Index).
Relative to the Index, the Fund benefited from its options-based overlay strategy through which the Strategic Volatility Premium is implemented.
The Fund’s fixed income allocation to U.S. Treasury securities also added to relative returns, though to a lesser extent.
Top Detractors from Performance:
Strategic Volatility Premium
The above represents investment strategies.
Goldman Sachs Strategic Volatility Premium Fund
The following graph assumes an initial $1,000,000 investment in the Fund and compares the initial and subsequent account values at the end of each of the most recently completed 10 fiscal years of the Fund's share class (or less if the share class has been in operation for less than 10 years). For comparative purposes, the performance of the Fund's benchmark and any additional performance benchmark(s) are also shown.
| Institutional Shares | Bloomberg 1-5 Year U.S. Treasury Index | Bloomberg U.S. Aggregate Bond Index |
|---|
| 03/21 | $1,000,000 | $1,000,000 | $1,000,000 |
| 03/21 | $1,000,000 | $1,000,000 | $1,000,000 |
| 08/21 | $1,010,000 | $1,003,500 | $1,028,400 |
| 08/22 | $968,691 | $945,999 | $909,928 |
| 08/23 | $982,059 | $953,000 | $899,100 |
| 08/24 | $1,056,008 | $1,011,705 | $964,734 |
Average Annual Total Returns (%)
| 1 Year | Since Inception 3/29/21 |
|---|
| Institutional Shares | 7.53% | 1.60% |
| Bloomberg 1-5 Year U.S. Treasury Index | 6.16% | 0.34% |
| Bloomberg U.S. Aggregate Bond Index | 7.30% | -1.04% |
Performance data quoted above represents past performance. Past performance does not guarantee future results.
The Fund’s investment return, principal value and market price will fluctuate so that an investor’s shares, when sold or 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: am.gs.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. In accordance with changing regulatory requirements, the Fund is now required to compare its performance to a regulatory benchmark, which in this case is the Bloomberg U.S. Aggregate Bond Index.
Goldman Sachs Strategic Volatility Premium Fund
Key Fund Statistics (as of August 31, 2024)
| Total Net Assets | $444,612,507 |
| # of Portfolio Holdings | 11 |
| Portfolio Turnover Rate | 0% |
| Total Net Advisory Fees Paid | $1,173,140 |
This is a summary of certain changes to the Fund for the period. For more complete information, you may review the Fund's next prospectus, which we expect to be available by December 29, 2024 at dfinview.com/GoldmanSachs or upon request at 1-800-621-2550.
Effective March 31, 2024, the Fund changed its principal investment strategy to invest in volatility index derivatives and in a wholly-owned subsidiary, through which the Fund seeks to gain exposure to volatility index derivatives and the commodities markets. As part of these changes, the Fund revised its principal investment risks and restated its fees and expenses to reflect these investments.
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the table below may not sum to 100% due to the exclusion of other assets and liabilities. These allocations may not be representative of the Fund’s future investments.
Asset Class Exposure (%)*
| Gross | Long | Short | Net |
| Cash | 5.2 | 5.2 | - | 5.2 |
| Developed Markets Equity Put Options | 313.9 | 124.7 | 189.2 | -64.5 |
| Fixed Income | 52.8 | 52.8 | - | 52.8 |
| Fixed Income Call Options | 16.6 | - | 16.6 | -16.6 |
| Fixed Income Put Options | 16.1 | - | 16.1 | -16.1 |
| Interest Rate Call Options | 0.8 | 0.8 | - | 0.8 |
| Interest Rate Put Options | 0.8 | 0.8 | - | 0.8 |
| Short-term investments | 94.7 | 94.7 | - | 94.7 |
| US Equity | 0.5 | 0.5 | - | 0.5 |
* Asset class exposure includes the impact of derivatives. "Gross Exposure" represents the sum of the absolute value of long and short notional contract values in U.S. dollars of the Fund's positions (for a given asset class), divided by the Fund's net assets. "Net Exposure" represents the net exposure within the Fund to a given asset class, calculated as the difference between long and short exposures. The exposure of option contracts is delta-adjusted. Forward foreign currency exchange contracts for individual currency crosses are aggregated by settlement date and counterparty in the determination of gross exposure. Fixed income exposures are duration-adjusted to the 10-year reference rate of each respective country. "Short-term Investments” includes U.S. Treasuries and other short-term investments, including money market funds, repurchase agreements, cash and time deposits.
Goldman Sachs Strategic Volatility Premium Fund
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
Bloomberg Index Services Limited. BLOOMBERG® is a trademark and service mark of Bloomberg Finance LP. And its affiliates (collectively “Bloomberg”). Bloomberg or Bloomberg’s licensors own all proprietary rights in the Bloomberg Indices. Neither Bloomberg nor Bloomberg’s licensors approves or endorses this material, or guarantees the accuracy or completeness of any information herein, or makes any warranty, express or implied, as to the results to be obtained therefrom and, to the maximum extent allowed by law, neither shall have any liability or responsibility for injury or damages arising in connection therewith.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Strategic Volatility Premium Fund
Annual Shareholder Report
August 31, 2024
Goldman Sachs Tactical Tilt Overlay Fund
This annual shareholder report contains important information about Goldman Sachs Tactical Tilt Overlay Fund (the "Fund") for the period of September 1, 2023 to August 31, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| P | $74 | 0.72% |
How did the Fund perform and what affected its performance?
Risk assets were volatile, driven by prolonged higher interest rates, persistent inflation and a variety of geopolitical concerns but performed strongly overall as waning inflation levels globally suggested the peaking of central bank tightening cycles and potential interest rate cuts in several developed markets.
Top Contributors to Performance:
The Fund benefited relative to the ICE BofA 3-Month U.S. Treasury Bill Index from investments in U.S. Treasury futures and 10-year U.S. government bonds, as Treasury yields fell during the reporting period.
Among commodity-related exposures, the Fund’s long exposure to uranium, accomplished via an investment in a closed end trust, added modestly to relative performance, as uranium prices hit a 16-year high in the fourth quarter of 2023.
Both long and short S&P 500® Index put options held by the Fund at different times during the reporting period added to relative performance.
Investments in energy master limited partnerships contributed positively to returns.
The Fund’s active cash management strategy bolstered results.
Top Detractors from Performance:
The Fund was hurt by a tactical short position in the Swiss franc versus a tactical long position in the Japanese yen, as the yen did not appreciate as market expected. This positioning was eliminated in July 2024.
Within equity-related exposures, the Fund was hampered by a long position in Mexican stocks, which sold off in June following the country’s general elections.
A long position in Brazilian equity call options detracted. Although Brazilian stocks rallied early in the reporting period, they gave back most of their gains at the start of 2024. This position was exited in February.
A short position versus a long position in Dutch natural gas future contracts, which stood to benefit from downward pressure on near-term natural gas prices versus winter prices, detracted slightly, as European inventories reached near-record seasonal levels well before winter. These positions were exited in August.
The above represents exposures.
Goldman Sachs Tactical Tilt Overlay Fund
The following graph assumes an initial $10,000 investment in the Fund and compares the initial and subsequent account values at the end of each of the most recently completed 10 fiscal years of the Fund's share class (or less if the share class has been in operation for less than 10 years). For comparative purposes, the performance of the Fund's benchmark and any additional performance benchmark(s) are also shown.
| Class P | ICE BofA 3-Month U.S. Treasury Bill Index | S&P 500 Index |
|---|
| 08/18 | $10,113 | $10,071 | $10,801 |
| 08/19 | $10,173 | $10,309 | $11,116 |
| 08/20 | $10,559 | $10,439 | $13,555 |
| 08/21 | $11,559 | $10,447 | $17,781 |
| 08/22 | $11,616 | $10,486 | $15,784 |
| 08/23 | $12,051 | $10,931 | $18,300 |
| 08/24 | $12,878 | $11,530 | $23,266 |
Average Annual Total Returns (%)
| 1 Year | 5 Years | Since Inception 4/17/18 |
|---|
| Class P | 6.86% | 4.82% | 4.04% |
| ICE BofA 3-Month U.S. Treasury Bill Index | 5.48% | 2.26% | 2.26% |
| S&P 500 Index | 27.14% | 15.90% | 14.15% |
Performance data quoted above represents past performance. Past performance does not guarantee future results.
The Fund’s investment return, principal value and market price will fluctuate so that an investor’s shares, when sold or 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: am.gs.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. In accordance with changing regulatory requirements, the Fund is now required to compare its performance to a regulatory benchmark, which in this case is the S&P 500 Index.
Goldman Sachs Tactical Tilt Overlay Fund
Key Fund Statistics (as of August 31, 2024)
| Total Net Assets | $4,701,415,728 |
| # of Portfolio Holdings | 227 |
| Portfolio Turnover Rate | 41% |
| Total Net Advisory Fees Paid | $31,599,045 |
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the table below may not sum to 100% due to the exclusion of other assets and liabilities. These allocations may not be representative of the Fund’s future investments.
Asset Class Exposure (%)*
| Gross | Long | Short | Net |
| EU Aerospace and Defense Sector Options | 0.7 | 0.7 | - | 0.7 |
| GBP 10yr Interest Rate Swaps | 1.9 | 1.9 | - | 1.9 |
| GBP 10yr Receiver Swaptions | 2.0 | - | 2.0 | -2.0 |
| Investment Grade Fixed Income | 66.0 | 66.0 | - | 66.0 |
| Long European Utilities | 1.3 | 1.3 | - | 1.3 |
| Long Mexico Equities | 1.2 | 1.2 | - | 1.2 |
| Long Spot Uranium | 1.3 | 1.3 | - | 1.3 |
| Mexico Equity Options | 0.3 | 0.3 | - | 0.3 |
| MLPs | 0.9 | 0.9 | - | 0.9 |
| S&P 500 Lookback Options | 1.1 | - | 1.1 | -1.1 |
| S&P 500 Options | 1.0 | 1.0 | - | 1.0 |
| TOPIX Options | 0.7 | 0.7 | - | 0.7 |
| Trend-Based Rotation Tilt | 2.0 | 2.0 | - | 2.0 |
| US 10yr Treasury Bonds | 1.7 | 1.7 | - | 1.7 |
| US 2yr Receiver Swaptions | 6.5 | 6.5 | - | 6.5 |
| US Staples Sector | 1.3 | 1.3 | - | 1.3 |
| USDCHF Options | 0.8 | 0.8 | - | 0.8 |
* Tilts exposure includes the impact of derivatives. "Gross Exposure" represents the sum of the absolute value of long and short notional contract values in U.S. dollars of the Fund's positions (for a tilt exposure), divided by the Fund's total net assets. "Net Exposure" represents the net exposure within the Fund to a given tilt position, calculated as the difference between long and short exposures. The exposure of option contracts is delta-adjusted. Fixed income exposures are duration-adjusted to the 10-year reference rate of each respective country.
Goldman Sachs Tactical Tilt Overlay Fund
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
ICE Data Indices, LLC (“ICE DATA”) is used with permission. ICE DATA, ITS AFFILIATES AND THEIR RESPECTIVE THIRD PARTY SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES, REPRESENTATIONS, EXPRESS AND/OR IMPLIED INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY DATA INCLUDED IN, RELATED TO, OR DERIVED THEREFROM. NEITHER ICE DATA, ITS AFFILIATES NOR THEIR RESPECTIVE THIRD PARTY SUPPLIERS SHALL BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES OR THE INDEX DATA OR ANY COMPONENT THEREOF, AND THE INDICES AND INDEX DATA AND ALL COMPONENTS THEREOF ARE PROVIDED ON AN “AS IS” BASIS AND YOUR USE IS AT YOUR OWN RISK. ICE DATA, ITS AFFILIATES AND THEIR RESPECTIVE THIRD PARTY SUPPLIERS DO NOT SPONSOR, ENDORSE, OR RECOMMEND GOLDMAN SACHS, OR ANY OF ITS PRODUCTS OR SERVICES.
The S&P 500 (“Index”) is a product of S&P Dow Jones Indices LLC and/or its affiliates and has been licensed for use by Goldman Sachs. Copyright © 2024 S&P Dow Jones Indices LLC, a division of S&P Global, Inc., and/or its affiliates. All rights reserved. Redistribution or reproduction in whole or in part are prohibited without written permission of S&P Dow Jones Indices LLC. For more information on any of S&P Dow Jones Indices LLC’s indices please visit www.spdji.com. S&P® is a registered trademark of S&P Global and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC. Neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors make any representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Tactical Tilt Overlay Fund
Annual Shareholder Report
August 31, 2024
Goldman Sachs Tactical Tilt Overlay Fund
This annual shareholder report contains important information about Goldman Sachs Tactical Tilt Overlay Fund (the "Fund") for the period of September 1, 2023 to August 31, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| R6 | $74 | 0.72% |
How did the Fund perform and what affected its performance?
Risk assets were volatile, driven by prolonged higher interest rates, persistent inflation and a variety of geopolitical concerns but performed strongly overall as waning inflation levels globally suggested the peaking of central bank tightening cycles and potential interest rate cuts in several developed markets.
Top Contributors to Performance:
The Fund benefited relative to the ICE BofA 3-Month U.S. Treasury Bill Index from investments in U.S. Treasury futures and 10-year U.S. government bonds, as Treasury yields fell during the reporting period.
Among commodity-related exposures, the Fund’s long exposure to uranium, accomplished via an investment in a closed end trust, added modestly to relative performance, as uranium prices hit a 16-year high in the fourth quarter of 2023.
Both long and short S&P 500® Index put options held by the Fund at different times during the reporting period added to relative performance.
Investments in energy master limited partnerships contributed positively to returns.
The Fund’s active cash management strategy bolstered results.
Top Detractors from Performance:
The Fund was hurt by a tactical short position in the Swiss franc versus a tactical long position in the Japanese yen, as the yen did not appreciate as market expected. This positioning was eliminated in July 2024.
Within equity-related exposures, the Fund was hampered by a long position in Mexican stocks, which sold off in June following the country’s general elections.
A long position in Brazilian equity call options detracted. Although Brazilian stocks rallied early in the reporting period, they gave back most of their gains at the start of 2024. This position was exited in February.
A short position versus a long position in Dutch natural gas future contracts, which stood to benefit from downward pressure on near-term natural gas prices versus winter prices, detracted slightly, as European inventories reached near-record seasonal levels well before winter. These positions were exited in August.
The above represents exposures.
Goldman Sachs Tactical Tilt Overlay Fund
The following graph assumes an initial $10,000 investment in the Fund and compares the initial and subsequent account values at the end of each of the most recently completed 10 fiscal years of the Fund's share class (or less if the share class has been in operation for less than 10 years). For comparative purposes, the performance of the Fund's benchmark and any additional performance benchmark(s) are also shown.
| Class R6 | ICE BofA 3-Month U.S. Treasury Bill Index | S&P 500 Index |
|---|
| 08/18 | $10,061 | $10,115 | $10,994 |
| 08/19 | $10,119 | $10,354 | $11,315 |
| 08/20 | $10,505 | $10,484 | $13,798 |
| 08/21 | $11,501 | $10,493 | $18,098 |
| 08/22 | $11,557 | $10,531 | $16,066 |
| 08/23 | $11,989 | $10,979 | $18,627 |
| 08/24 | $12,812 | $11,581 | $23,682 |
Average Annual Total Returns (%)
| 1 Year | 5 Years | Since Inception 12/29/17 |
|---|
| Class R6 | 6.86% | 4.83% | 3.78% |
| ICE BofA 3-Month U.S. Treasury Bill Index | 5.48% | 2.26% | 2.22% |
| S&P 500 Index | 27.14% | 15.90% | 13.78% |
Performance data quoted above represents past performance. Past performance does not guarantee future results.
The Fund’s investment return, principal value and market price will fluctuate so that an investor’s shares, when sold or 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: am.gs.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. In accordance with changing regulatory requirements, the Fund is now required to compare its performance to a regulatory benchmark, which in this case is the S&P 500 Index.
Goldman Sachs Tactical Tilt Overlay Fund
Key Fund Statistics (as of August 31, 2024)
| Total Net Assets | $4,701,415,728 |
| # of Portfolio Holdings | 227 |
| Portfolio Turnover Rate | 41% |
| Total Net Advisory Fees Paid | $31,599,045 |
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the table below may not sum to 100% due to the exclusion of other assets and liabilities. These allocations may not be representative of the Fund’s future investments.
Asset Class Exposure (%)*
| Gross | Long | Short | Net |
| EU Aerospace and Defense Sector Options | 0.7 | 0.7 | - | 0.7 |
| GBP 10yr Interest Rate Swaps | 1.9 | 1.9 | - | 1.9 |
| GBP 10yr Receiver Swaptions | 2.0 | - | 2.0 | -2.0 |
| Investment Grade Fixed Income | 66.0 | 66.0 | - | 66.0 |
| Long European Utilities | 1.3 | 1.3 | - | 1.3 |
| Long Mexico Equities | 1.2 | 1.2 | - | 1.2 |
| Long Spot Uranium | 1.3 | 1.3 | - | 1.3 |
| Mexico Equity Options | 0.3 | 0.3 | - | 0.3 |
| MLPs | 0.9 | 0.9 | - | 0.9 |
| S&P 500 Lookback Options | 1.1 | - | 1.1 | -1.1 |
| S&P 500 Options | 1.0 | 1.0 | - | 1.0 |
| TOPIX Options | 0.7 | 0.7 | - | 0.7 |
| Trend-Based Rotation Tilt | 2.0 | 2.0 | - | 2.0 |
| US 10yr Treasury Bonds | 1.7 | 1.7 | - | 1.7 |
| US 2yr Receiver Swaptions | 6.5 | 6.5 | - | 6.5 |
| US Staples Sector | 1.3 | 1.3 | - | 1.3 |
| USDCHF Options | 0.8 | 0.8 | - | 0.8 |
* Tilts exposure includes the impact of derivatives. "Gross Exposure" represents the sum of the absolute value of long and short notional contract values in U.S. dollars of the Fund's positions (for a tilt exposure), divided by the Fund's total net assets. "Net Exposure" represents the net exposure within the Fund to a given tilt position, calculated as the difference between long and short exposures. The exposure of option contracts is delta-adjusted. Fixed income exposures are duration-adjusted to the 10-year reference rate of each respective country.
Goldman Sachs Tactical Tilt Overlay Fund
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
ICE Data Indices, LLC (“ICE DATA”) is used with permission. ICE DATA, ITS AFFILIATES AND THEIR RESPECTIVE THIRD PARTY SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES, REPRESENTATIONS, EXPRESS AND/OR IMPLIED INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY DATA INCLUDED IN, RELATED TO, OR DERIVED THEREFROM. NEITHER ICE DATA, ITS AFFILIATES NOR THEIR RESPECTIVE THIRD PARTY SUPPLIERS SHALL BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES OR THE INDEX DATA OR ANY COMPONENT THEREOF, AND THE INDICES AND INDEX DATA AND ALL COMPONENTS THEREOF ARE PROVIDED ON AN “AS IS” BASIS AND YOUR USE IS AT YOUR OWN RISK. ICE DATA, ITS AFFILIATES AND THEIR RESPECTIVE THIRD PARTY SUPPLIERS DO NOT SPONSOR, ENDORSE, OR RECOMMEND GOLDMAN SACHS, OR ANY OF ITS PRODUCTS OR SERVICES.
The S&P 500 (“Index”) is a product of S&P Dow Jones Indices LLC and/or its affiliates and has been licensed for use by Goldman Sachs. Copyright © 2024 S&P Dow Jones Indices LLC, a division of S&P Global, Inc., and/or its affiliates. All rights reserved. Redistribution or reproduction in whole or in part are prohibited without written permission of S&P Dow Jones Indices LLC. For more information on any of S&P Dow Jones Indices LLC’s indices please visit www.spdji.com. S&P® is a registered trademark of S&P Global and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC. Neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors make any representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Tactical Tilt Overlay Fund
Annual Shareholder Report
August 31, 2024
Goldman Sachs Tactical Tilt Overlay Fund
TTIFX: Institutional Class
This annual shareholder report contains important information about Goldman Sachs Tactical Tilt Overlay Fund (the "Fund") for the period of September 1, 2023 to August 31, 2024. You can find additional information about the Fund at am.gs.com or dfinview.com/GoldmanSachs. You can also request this information by contacting us at 1-800-621-2550.
What were the Fund costs for the period?
Based on a hypothetical $10,000 investment.
| Class | Costs of a $10,000 investment | Costs paid as a percentage of a $10,000 investment |
|---|
| Institutional | $75 | 0.73% |
How did the Fund perform and what affected its performance?
Risk assets were volatile, driven by prolonged higher interest rates, persistent inflation and a variety of geopolitical concerns but performed strongly overall as waning inflation levels globally suggested the peaking of central bank tightening cycles and potential interest rate cuts in several developed markets.
Top Contributors to Performance:
The Fund benefited relative to the ICE BofA 3-Month U.S. Treasury Bill Index from investments in U.S. Treasury futures and 10-year U.S. government bonds, as Treasury yields fell during the reporting period.
Among commodity-related exposures, the Fund’s long exposure to uranium, accomplished via an investment in a closed end trust, added modestly to relative performance, as uranium prices hit a 16-year high in the fourth quarter of 2023.
Both long and short S&P 500® Index put options held by the Fund at different times during the reporting period added to relative performance.
Investments in energy master limited partnerships contributed positively to returns.
The Fund’s active cash management strategy bolstered results.
Top Detractors from Performance:
The Fund was hurt by a tactical short position in the Swiss franc versus a tactical long position in the Japanese yen, as the yen did not appreciate as market expected. This positioning was eliminated in July 2024.
Within equity-related exposures, the Fund was hampered by a long position in Mexican stocks, which sold off in June following the country’s general elections.
A long position in Brazilian equity call options detracted. Although Brazilian stocks rallied early in the reporting period, they gave back most of their gains at the start of 2024. This position was exited in February.
A short position versus a long position in Dutch natural gas future contracts, which stood to benefit from downward pressure on near-term natural gas prices versus winter prices, detracted slightly, as European inventories reached near-record seasonal levels well before winter. These positions were exited in August.
The above represents exposures.
Goldman Sachs Tactical Tilt Overlay Fund
The following graph assumes an initial $1,000,000 investment in the Fund and compares the initial and subsequent account values at the end of each of the most recently completed 10 fiscal years of the Fund's share class (or less if the share class has been in operation for less than 10 years). For comparative purposes, the performance of the Fund's benchmark and any additional performance benchmark(s) are also shown.
| Institutional Shares | ICE BofA 3-Month U.S. Treasury Bill Index | S&P 500 Index |
|---|
| 08/14 | $1,000,000 | $1,000,000 | $1,000,000 |
| 08/15 | $1,042,800 | $1,000,300 | $1,004,800 |
| 08/16 | $1,029,035 | $1,002,601 | $1,130,902 |
| 08/17 | $1,051,365 | $1,008,817 | $1,314,448 |
| 08/18 | $1,076,493 | $1,024,151 | $1,572,868 |
| 08/19 | $1,084,136 | $1,048,321 | $1,618,796 |
| 08/20 | $1,124,574 | $1,061,530 | $1,973,960 |
| 08/21 | $1,230,621 | $1,062,379 | $2,589,243 |
| 08/22 | $1,236,651 | $1,066,310 | $2,298,471 |
| 08/23 | $1,283,892 | $1,111,628 | $2,664,848 |
| 08/24 | $1,371,325 | $1,172,545 | $3,388,087 |
Average Annual Total Returns (%)
| 1 Year | 5 Years | 10 Years |
|---|
| Institutional Shares | 6.81% | 4.80% | 3.20% |
| ICE BofA 3-Month U.S. Treasury Bill Index | 5.48% | 2.26% | 1.60% |
| S&P 500 Index | 27.14% | 15.90% | 12.97% |
Performance data quoted above represents past performance. Past performance does not guarantee future results.
The Fund’s investment return, principal value and market price will fluctuate so that an investor’s shares, when sold or 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: am.gs.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. The graph and table do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or redemption of Fund shares. In accordance with changing regulatory requirements, the Fund is now required to compare its performance to a regulatory benchmark, which in this case is the S&P 500 Index.
Goldman Sachs Tactical Tilt Overlay Fund
Key Fund Statistics (as of August 31, 2024)
| Total Net Assets | $4,701,415,728 |
| # of Portfolio Holdings | 227 |
| Portfolio Turnover Rate | 41% |
| Total Net Advisory Fees Paid | $31,599,045 |
What did the Fund invest in?
The table below shows the investment makeup of the Fund, representing the percentage of total net assets of the Fund. Figures in the table below may not sum to 100% due to the exclusion of other assets and liabilities. These allocations may not be representative of the Fund’s future investments.
Asset Class Exposure (%)*
| Gross | Long | Short | Net |
| EU Aerospace and Defense Sector Options | 0.7 | 0.7 | - | 0.7 |
| GBP 10yr Interest Rate Swaps | 1.9 | 1.9 | - | 1.9 |
| GBP 10yr Receiver Swaptions | 2.0 | - | 2.0 | -2.0 |
| Investment Grade Fixed Income | 66.0 | 66.0 | - | 66.0 |
| Long European Utilities | 1.3 | 1.3 | - | 1.3 |
| Long Mexico Equities | 1.2 | 1.2 | - | 1.2 |
| Long Spot Uranium | 1.3 | 1.3 | - | 1.3 |
| Mexico Equity Options | 0.3 | 0.3 | - | 0.3 |
| MLPs | 0.9 | 0.9 | - | 0.9 |
| S&P 500 Lookback Options | 1.1 | - | 1.1 | -1.1 |
| S&P 500 Options | 1.0 | 1.0 | - | 1.0 |
| TOPIX Options | 0.7 | 0.7 | - | 0.7 |
| Trend-Based Rotation Tilt | 2.0 | 2.0 | - | 2.0 |
| US 10yr Treasury Bonds | 1.7 | 1.7 | - | 1.7 |
| US 2yr Receiver Swaptions | 6.5 | 6.5 | - | 6.5 |
| US Staples Sector | 1.3 | 1.3 | - | 1.3 |
| USDCHF Options | 0.8 | 0.8 | - | 0.8 |
* Tilts exposure includes the impact of derivatives. "Gross Exposure" represents the sum of the absolute value of long and short notional contract values in U.S. dollars of the Fund's positions (for a tilt exposure), divided by the Fund's total net assets. "Net Exposure" represents the net exposure within the Fund to a given tilt position, calculated as the difference between long and short exposures. The exposure of option contracts is delta-adjusted. Fixed income exposures are duration-adjusted to the 10-year reference rate of each respective country.
Goldman Sachs Tactical Tilt Overlay Fund
If you wish to view additional information about the Fund, including the documents and other information listed below, please visit dfinview.com/GoldmanSachs or call 1-800-621-2550.
prospectus
financial information
fund holdings
proxy voting information
Goldman Sachs & Co. LLC is the distributor of the Goldman Sachs Funds.
ICE Data Indices, LLC (“ICE DATA”) is used with permission. ICE DATA, ITS AFFILIATES AND THEIR RESPECTIVE THIRD PARTY SUPPLIERS DISCLAIM ANY AND ALL WARRANTIES, REPRESENTATIONS, EXPRESS AND/OR IMPLIED INCLUDING ANY WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE, INCLUDING THE INDICES, INDEX DATA AND ANY DATA INCLUDED IN, RELATED TO, OR DERIVED THEREFROM. NEITHER ICE DATA, ITS AFFILIATES NOR THEIR RESPECTIVE THIRD PARTY SUPPLIERS SHALL BE SUBJECT TO ANY DAMAGES OR LIABILITY WITH RESPECT TO THE ADEQUACY, ACCURACY, TIMELINESS OR COMPLETENESS OF THE INDICES OR THE INDEX DATA OR ANY COMPONENT THEREOF, AND THE INDICES AND INDEX DATA AND ALL COMPONENTS THEREOF ARE PROVIDED ON AN “AS IS” BASIS AND YOUR USE IS AT YOUR OWN RISK. ICE DATA, ITS AFFILIATES AND THEIR RESPECTIVE THIRD PARTY SUPPLIERS DO NOT SPONSOR, ENDORSE, OR RECOMMEND GOLDMAN SACHS, OR ANY OF ITS PRODUCTS OR SERVICES.
The S&P 500 (“Index”) is a product of S&P Dow Jones Indices LLC and/or its affiliates and has been licensed for use by Goldman Sachs. Copyright © 2024 S&P Dow Jones Indices LLC, a division of S&P Global, Inc., and/or its affiliates. All rights reserved. Redistribution or reproduction in whole or in part are prohibited without written permission of S&P Dow Jones Indices LLC. For more information on any of S&P Dow Jones Indices LLC’s indices please visit www.spdji.com. S&P® is a registered trademark of S&P Global and Dow Jones® is a registered trademark of Dow Jones Trademark Holdings LLC. Neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors make any representation or warranty, express or implied, as to the ability of any index to accurately represent the asset class or market sector that it purports to represent and neither S&P Dow Jones Indices LLC, Dow Jones Trademark Holdings LLC, their affiliates nor their third party licensors shall have any liability for any errors, omissions, or interruptions of any index or the data included therein.
© 2024 Goldman Sachs. All rights reserved.
No Bank Guarantee
May Lose Value
Not FDIC Insured
Goldman Sachs Tactical Tilt Overlay Fund
| | (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”). |
| | (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. |
| | (f) | A copy of the Code of Ethics is available as provided in Item 19(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. Kathryn A. Cassidy and Michael Latham are each an “audit committee financial expert” and “independent” (as each term is defined in Item 3 of Form N-CSR).
| ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
Table 1 — Items 4(a) - 4(d). The accountant fees below reflect the aggregate fees billed by all of the Funds of the Goldman Sachs Trust and includes the Goldman Sachs Funds to which this certified shareholder report relates.
| | | | | | | | | | | | |
| | | 2024 | | 2023 | | Description of Services Rendered |
| | | |
| | | | | | | | | | | | |
| | | |
Audit Fees: | | | | | | | | | | | | |
| | | |
• PricewaterhouseCoopers LLP
(“PwC”) | | | $ | 4,088,928 | | | | $ | 3,823,618 | | | Financial Statement audits. |
| | | |
Audit-Related Fees: | | | | | | | | | | | | |
| | | |
• PwC | | | $ | 466,200 | | | | $ | 516,600 | | | Other attest services. |
| | | |
Tax Fees: | | | | | | | | | | | | |
| | | |
• PwC | | | $ | 0 | | | | $ | 0 | | | |
Table 2 — Items 4(b)(c) & (d). Non-Audit Services to the Goldman Sachs Trust’s service affiliates* that were pre-approved by the Audit Committee of the Goldman Sachs Trust pursuant to Rule 2-01(c)(7)(ii) of Regulation S-X.
| | | | | | | | | | | | |
| | | 2024 | | 2023 | | Description of Services Rendered |
| | | |
| | | | | | | | | | | | |
| | | |
Audit-Related Fees: | | | | | | | | | | | | |
| | | |
• PwC | | | $ | 2,122,312 | | | | $ | 2,075,449 | | | Internal control review performed in accordance with Statement on Standards for Attestation Engagements No. 16 and semi-annual updates related to withholding tax accrual for non-US jurisdictions. These fees are borne by the Funds’ Adviser. |
| * | These include the advisor (excluding sub-advisors) and any entity controlling, controlled by or under common control with the advisor that provides ongoing services to the registrant (hereinafter referred to as “service affiliates”). |
Item 4(e)(1) — Audit Committee Pre-Approval Policies and Procedures
Pre-Approval of Audit and Non-Audit Services Provided to the Funds of the Goldman Sachs Trust. The Audit and Non-Audit Services Pre-Approval Policy (the “Policy”) adopted by the Audit Committee of Goldman Sachs Trust (“GST”) sets forth the procedures and the conditions pursuant to which services performed by an independent auditor for GST may be pre-approved. Services may be pre-approved specifically by the Audit Committee as a whole or, in certain circumstances, by the Audit Committee Chairman or the person designated as the Audit Committee Financial Expert. In addition, subject to specified cost limitations, certain services may be pre-approved under the provisions of the Policy. The Policy provides that the Audit Committee will consider whether the services provided by an independent auditor are consistent with the Securities and Exchange Commission’s rules on auditor independence. The Policy provides for periodic review and pre-approval by the Audit Committee of the services that may be provided by the independent auditor.
De Minimis Waiver. The pre-approval requirements of the Policy may be waived with respect to the provision of non-audit services that are permissible for an independent auditor to perform, provided (1) the aggregate amount of all such services provided constitutes no more than five percent of the total amount of revenues subject to pre-approval that was paid to the independent auditors during the fiscal year in which the services are provided; (2) such services were not recognized by GST at the time of the engagement to be non-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and approved prior to the completion of the audit by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee, pursuant to the pre-approval provisions of the Policy.
Pre-Approval of Non-Audit Services Provided to GST’s Investment Advisers. The Policy provides that, in addition to requiring pre-approval of audit and non-audit services provided to GST, the Audit Committee will pre-approve those non-audit services provided to GST’s investment advisers (and entities controlling, controlled by or under common control with the investment advisers that provide ongoing services to GST) where the engagement relates directly to the operations or financial reporting of GST.
Item 4(e)(2) – 0% of the audit-related fees, tax fees and other fees listed in Table 1 were approved by GST’s Audit Committee pursuant to the “de minimis” exception of Rule 2-01(c)(7)(i)(C) of Regulation S-X. In addition, 0% of the non-audit services to the GST’s service affiliates listed in Table 2 were approved by GST’s Audit Committee pursuant to the “de minimis” exception of Rule 2-01 (c)(7)(i)(C) of Regulation S-X.
Item 4(f) – Not applicable.
Item 4(g) Aggregate Non-Audit Fees Disclosure
The aggregate non-audit fees billed to GST by PwC for the twelve months ended August 31, 2024 and August 31, 2023 were approximately $466,200 and $516,600, respectively. The aggregate non-audit fees billed to GST’s adviser and service affiliates by PwC for non-audit services for the twelve months ended December 31, 2023 and December 31, 2022 were approximately $18.0 million and $17.1 million, respectively. With regard to the aggregate non-audit fees billed to GST’s adviser and service affiliates, the 2023 and 2022 amounts include fees for non-audit services required to be pre-approved [see Table 2] and fees for non-audit services that did not require pre-approval since they did not directly relate to GST’s operations or financial reporting.
Item 4(h) — GST’s Audit Committee has considered whether the provision of non-audit services to GST’s investment adviser and service affiliates that did not require pre-approval pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible with maintaining the auditors’ independence.
Item 4(i) – Not applicable.
Item 4(j) – Not applicable.
| ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable.
Schedule of Investments is included in Item 7 of this report.
| ITEM 7. | FINANCIAL STATEMENTS AND FINANCIAL HIGHLIGHTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
Goldman Sachs Funds Annual Financial Statements August 31, 2024 Allocation Funds Goldman Sachs Global Managed Beta Fund Goldman Sachs Strategic Factor Allocation Fund Goldman Sachs Strategic Volatility Premium Fund Goldman Sachs Tactical Tilt Overlay Fund
Goldman Sachs Allocation Funds
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
|
Schedule of Investments August 31, 2024 |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – 10.0% | |
| |
| | Aerospace & Defense – 0.2% | |
| | 1,536 | | Airbus SE | | $ | 235,952 | |
| | 283 | | Axon Enterprise, Inc.* | | | 103,287 | |
| | 18,616 | | BAE Systems PLC | | | 334,711 | |
| | 482 | | Dassault Aviation SA | | | 103,848 | |
| | 213 | | Elbit Systems Ltd. | | | 43,863 | |
| | 1,236 | | General Dynamics Corp. | | | 370,009 | |
| | 3,802 | | General Electric Co. | | | 663,905 | |
| | 311 | | HEICO Corp. | | | 79,790 | |
| | 529 | | HEICO Corp. Class A | | | 105,848 | |
| | 2,698 | | Howmet Aerospace, Inc. | | | 260,789 | |
| | 1,329 | | Huntington Ingalls Industries, Inc. | | | 375,801 | |
| | 1,621 | | Kongsberg Gruppen ASA | | | 171,305 | |
| | 1,201 | | L3Harris Technologies, Inc. | | | 284,241 | |
| | 5,720 | | Leonardo SpA | | | 145,919 | |
| | 616 | | Lockheed Martin Corp. | | | 349,950 | |
| | 13,098 | | Melrose Industries PLC | | | 83,202 | |
| | 220 | | Northrop Grumman Corp. | | | 115,106 | |
| | 287 | | Rheinmetall AG | | | 172,415 | |
| | 34,744 | | Rolls-Royce Holdings PLC* | | | 227,795 | |
| | 4,385 | | RTX Corp. | | | 540,846 | |
| | 5,164 | | Saab AB Class B | | | 122,194 | |
| | 1,299 | | Safran SA | | | 284,657 | |
| | 28,966 | | Singapore Technologies Engineering Ltd. | | | 98,767 | |
| | 4,803 | | Textron, Inc. | | | 438,034 | |
| | 732 | | Thales SA | | | 122,984 | |
| | 257 | | TransDigm Group, Inc. | | | 352,915 | |
| | | | | | | | |
| | | | | | | 6,188,133 | |
| | | |
| |
| | Air Freight & Logistics – 0.1% | |
| | 4,819 | | CH Robinson Worldwide, Inc. | | | 498,815 | |
| | 14,957 | | Deutsche Post AG | | | 649,217 | |
| | 654 | | DSV AS | | | 116,874 | |
| | 1,139 | | Expeditors International of Washington, Inc. | | | 140,564 | |
| | 1,160 | | FedEx Corp. | | | 346,573 | |
| | 12,983 | | InPost SA* | | | 239,874 | |
| | 6,363 | | NIPPON EXPRESS HOLDINGS, Inc. | | | 325,021 | |
| | 500 | | United Parcel Service, Inc. Class B | | | 64,275 | |
| | 7,450 | | Yamato Holdings Co. Ltd. | | | 86,524 | |
| | | | | | | | |
| | | | | | | 2,467,737 | |
| | | |
| |
| | Automobile Components – 0.0% | |
| | 5,355 | | Aisin Corp. | | | 188,182 | |
| | 1,680 | | Aptiv PLC* | | | 120,170 | |
| | 3,126 | | Bridgestone Corp. | | | 122,197 | |
| | 5,835 | | Cie Generale des Etablissements Michelin SCA | | | 229,108 | |
| | 2,530 | | Continental AG | | | 171,070 | |
| | 2,964 | | Denso Corp. | | | 46,013 | |
| | 2,478 | | Koito Manufacturing Co. Ltd. | | | 36,650 | |
| | 11,113 | | Sumitomo Electric Industries Ltd. | | | 185,251 | |
| | | | | | | | |
| | | | | | | 1,098,641 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Automobiles – 0.1% | |
| | 407 | | Bayerische Motoren Werke AG | | $ | 37,771 | |
| | 560 | | Ferrari NV | | | 278,268 | |
| | 3,410 | | Ford Motor Co. | | | 38,158 | |
| | 30,966 | | Honda Motor Co. Ltd. | | | 341,718 | |
| | 9,868 | | Isuzu Motors Ltd. | | | 149,821 | |
| | 17,219 | | Mazda Motor Corp. | | | 145,435 | |
| | 4,853 | | Mercedes-Benz Group AG | | | 334,493 | |
| | 11,177 | | Nissan Motor Co. Ltd. | | | 33,043 | |
| | 19,634 | | Stellantis NV | | | 330,409 | |
| | 8,877 | | Subaru Corp. | | | 170,266 | |
| | 3,431 | | Suzuki Motor Corp. | | | 40,340 | |
| | 6,445 | | Tesla, Inc.* | | | 1,379,939 | |
| | 22,720 | | Toyota Motor Corp. | | | 433,791 | |
| | 89,080 | | Volvo Car AB Class B* | | | 255,123 | |
| | 4,563 | | Yamaha Motor Co. Ltd. | | | 39,985 | |
| | | | | | | | |
| | | | | | | 4,008,560 | |
| | | |
| |
| | Banks – 0.5% | |
| | 7,686 | | ABN AMRO Bank NV(a) | | | 132,100 | |
| | 13,897 | | AIB Group PLC | | | 83,686 | |
| | 22,203 | | ANZ Group Holdings Ltd. | | | 455,724 | |
| | 29,264 | | Banco Bilbao Vizcaya Argentaria SA | | | 310,883 | |
| | 21,777 | | Banco BPM SpA | | | 148,472 | |
| | 78,567 | | Banco Santander SA | | | 390,676 | |
| | 5,538 | | Bank Hapoalim BM | | | 55,209 | |
| | 14,802 | | Bank Leumi Le-Israel BM | | | 143,128 | |
| | 27,707 | | Bank of America Corp. | | | 1,129,060 | |
| | 3,424 | | Bank of Ireland Group PLC | | | 39,333 | |
| | 1,831 | | Bank of Montreal | | | 153,135 | |
| | 6,229 | | Bank of Nova Scotia | | | 310,930 | |
| | 1,357 | | Banque Cantonale Vaudoise | | | 145,350 | |
| | 44,042 | | Barclays PLC | | | 133,164 | |
| | 3,274 | | BNP Paribas SA | | | 226,455 | |
| | 88,986 | | BOC Hong Kong Holdings Ltd. | | | 279,320 | |
| | 23,129 | | CaixaBank SA | | | 139,309 | |
| | 5,717 | | Canadian Imperial Bank of Commerce | | | 334,116 | |
| | 5,690 | | Chiba Bank Ltd. | | | 48,197 | |
| | 10,843 | | Citigroup, Inc. | | | 679,206 | |
| | 8,329 | | Citizens Financial Group, Inc. | | | 358,563 | |
| | 4,901 | | Commerzbank AG | | | 72,666 | |
| | 5,421 | | Commonwealth Bank of Australia | | | 510,562 | |
| | 10,021 | | Concordia Financial Group Ltd. | | | 56,866 | |
| | 11,764 | | Credit Agricole SA | | | 184,282 | |
| | 4,322 | | Danske Bank AS | | | 134,899 | |
| | 11,020 | | DBS Group Holdings Ltd. | | | 307,726 | |
| | 5,052 | | DNB Bank ASA | | | 106,720 | |
| | 3,892 | | Erste Group Bank AG | | | 213,028 | |
| | 5,312 | | Fifth Third Bancorp | | | 226,769 | |
| | 3,628 | | FinecoBank Banca Fineco SpA | | | 62,244 | |
| | 290 | | First Citizens BancShares, Inc. Class A | | | 588,903 | |
| | 5,973 | | Hang Seng Bank Ltd. | | | 71,923 | |
| | 67,585 | | HSBC Holdings PLC | | | 594,114 | |
| | | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 1 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
|
Schedule of Investments (continued) August 31, 2024 |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Banks – (continued) | |
| | 16,027 | | Huntington Bancshares, Inc. | | $ | 239,924 | |
| | 21,963 | | ING Groep NV | | | 399,334 | |
| | 73,328 | | Intesa Sanpaolo SpA | | | 306,465 | |
| | 10,673 | | Israel Discount Bank Ltd. Class A | | | 59,228 | |
| | 11,206 | | Japan Post Bank Co. Ltd. | | | 105,319 | |
| | 14,657 | | JPMorgan Chase & Co. | | | 3,294,894 | |
| | 1,086 | | KBC Group NV | | | 84,564 | |
| | 10,096 | | KeyCorp | | | 172,238 | |
| | 215,136 | | Lloyds Banking Group PLC | | | 166,199 | |
| | 1,837 | | M&T Bank Corp. | | | 316,166 | |
| | 14,386 | | Mediobanca Banca di Credito Finanziario SpA | | | 243,671 | |
| | 36,683 | | Mitsubishi UFJ Financial Group, Inc. | | | 387,014 | |
| | 2,319 | | Mizrahi Tefahot Bank Ltd. | | | 88,811 | |
| | 11,845 | | Mizuho Financial Group, Inc. | | | 245,973 | |
| | 13,915 | | National Australia Bank Ltd. | | | 358,619 | |
| | 2,335 | | National Bank of Canada | | | 213,964 | |
| | 19,597 | | NatWest Group PLC | | | 89,278 | |
| | 8,481 | | Nordea Bank Abp | | | 100,207 | |
| | 37,414 | | Oversea-Chinese Banking Corp. Ltd. | | | 417,034 | |
| | 1,628 | | PNC Financial Services Group, Inc. | | | 301,327 | |
| | 12,551 | | Regions Financial Corp. | | | 293,944 | |
| | 13,591 | | Resona Holdings, Inc. | | | 96,653 | |
| | 4,607 | | Royal Bank of Canada | | | 557,154 | |
| | 5,373 | | Shizuoka Financial Group, Inc. | | | 47,964 | |
| | 12,393 | | Skandinaviska Enskilda Banken AB Class A | | | 190,850 | |
| | 3,420 | | Societe Generale SA | | | 82,671 | |
| | 12,806 | | Standard Chartered PLC | | | 131,766 | |
| | 6,587 | | Sumitomo Mitsui Financial Group, Inc. | | | 434,697 | |
| | 3,698 | | Sumitomo Mitsui Trust Holdings, Inc. | | | 92,154 | |
| | 17,014 | | Svenska Handelsbanken AB Class A | | | 175,517 | |
| | 5,691 | | Swedbank AB Class A | | | 121,736 | |
| | 6,417 | | Toronto-Dominion Bank | | | 384,501 | |
| | 6,846 | | U.S. Bancorp | | | 323,337 | |
| | 7,682 | | UniCredit SpA | | | 319,303 | |
| | 13,453 | | United Overseas Bank Ltd. | | | 323,397 | |
| | 15,836 | | Wells Fargo & Co. | | | 925,931 | |
| | 22,079 | | Westpac Banking Corp. | | | 465,495 | |
| | | | | | | | |
| | | | | | | 21,384,017 | |
| | | |
| |
| | Beverages – 0.1% | |
| | 2,009 | | Anheuser-Busch InBev SA | | | 123,296 | |
| | 5,961 | | Asahi Group Holdings Ltd. | | | 222,498 | |
| | 1,373 | | Brown-Forman Corp. Class B | | | 62,595 | |
| | 596 | | Carlsberg AS Class B | | | 70,016 | |
| | 1,552 | | Celsius Holdings, Inc.* | | | 59,023 | |
| | 10,990 | | Coca-Cola Co. | | | 796,445 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Beverages – (continued) | |
| | 2,126 | | Coca-Cola Europacific Partners PLC | | $ | 171,122 | |
| | 3,373 | | Coca-Cola HBC AG | | | 125,241 | |
| | 808 | | Constellation Brands, Inc. Class A | | | 194,494 | |
| | 2,645 | | Diageo PLC | | | 86,344 | |
| | 1,572 | | Heineken Holding NV | | | 118,552 | |
| | 598 | | Heineken NV | | | 53,954 | |
| | 3,319 | | Keurig Dr. Pepper, Inc. | | | 121,509 | |
| | 6,089 | | Kirin Holdings Co. Ltd. | | | 91,922 | |
| | 7,494 | | Molson Coors Beverage Co. Class B | | | 404,451 | |
| | 4,774 | | Monster Beverage Corp.* | | | 224,999 | |
| | 6,445 | | PepsiCo, Inc. | | | 1,114,212 | |
| | 2,191 | | Suntory Beverage & Food Ltd. | | | 80,570 | |
| | | | | | | | |
| | | | | | | 4,121,243 | |
| | | |
| |
| | Biotechnology – 0.2% | |
| | 7,681 | | AbbVie, Inc. | | | 1,507,857 | |
| | 474 | | Alnylam Pharmaceuticals, Inc.* | | | 124,515 | |
| | 1,703 | | Amgen, Inc. | | | 568,513 | |
| | 2,025 | | Biogen, Inc.* | | | 414,639 | |
| | 1,148 | | CSL Ltd. | | | 238,410 | |
| | 423 | | Genmab AS* | | | 117,642 | |
| | 8,478 | | Gilead Sciences, Inc. | | | 669,762 | |
| | 11,198 | | Incyte Corp.* | | | 735,261 | |
| | 1,240 | | Neurocrine Biosciences, Inc.* | | | 157,554 | |
| | 541 | | Regeneron Pharmaceuticals, Inc.* | | | 640,917 | |
| | 7,474 | | Swedish Orphan Biovitrum AB* | | | 232,921 | |
| | 1,607 | | United Therapeutics Corp.* | | | 584,225 | |
| | 1,224 | | Vertex Pharmaceuticals, Inc.* | | | 606,969 | |
| | | | | | | | |
| | | | | | | 6,599,185 | |
| | | |
| |
| | Broadline Retail – 0.3% | |
| | 53,093 | | Amazon.com, Inc.* | | | 9,477,100 | |
| | 2,721 | | Canadian Tire Corp. Ltd. Class A | | | 310,210 | |
| | 3,999 | | Dollarama, Inc. | | | 405,048 | |
| | 5,390 | | eBay, Inc. | | | 318,549 | |
| | 9,219 | | Etsy, Inc.* | | | 507,875 | |
| | 148 | | MercadoLibre, Inc.* | | | 305,126 | |
| | 4,391 | | Next PLC | | | 588,821 | |
| | 2,352 | | Pan Pacific International Holdings Corp. | | | 60,208 | |
| | 13,597 | | Rakuten Group, Inc.* | | | 96,641 | |
| | 11,877 | | Wesfarmers Ltd. | | | 582,645 | |
| | | | | | | | |
| | | | | | | 12,652,223 | |
| | | |
| |
| | Building Products – 0.1% | |
| | 3,999 | | A.O. Smith Corp. | | | 334,796 | |
| | 2,990 | | AGC, Inc. | | | 94,336 | |
| | 514 | | Allegion PLC | | | 71,364 | |
| | 5,179 | | Assa Abloy AB Class B | | | 167,324 | |
| | 4,969 | | Builders FirstSource, Inc.* | | | 864,606 | |
| | 543 | | Carlisle Cos., Inc. | | | 230,123 | |
| | 2,904 | | Carrier Global Corp. | | | 211,353 | |
| | 4,718 | | Cie de Saint-Gobain SA | | | 412,286 | |
| | | |
| | |
| 2 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Building Products – (continued) | |
| | 191 | | Daikin Industries Ltd. | | $ | 24,402 | |
| | 4,161 | | Fortune Brands Innovations, Inc. | | | 330,425 | |
| | 467 | | Geberit AG | | | 298,727 | |
| | 912 | | Johnson Controls International PLC | | | 66,439 | |
| | 365 | | Kingspan Group PLC | | | 31,781 | |
| | 989 | | Lennox International, Inc. | | | 583,698 | |
| | 7,051 | | Masco Corp. | | | 560,978 | |
| | 2,939 | | Owens Corning | | | 495,898 | |
| | 1,148 | | Rockwool AS Class B | | | 498,115 | |
| | 1,159 | | TOTO Ltd. | | | 40,226 | |
| | 864 | | Trane Technologies PLC | | | 312,474 | |
| | | | | | | | |
| | | | | | | 5,629,351 | |
| | | |
| |
| | Capital Markets – 0.3% | |
| | 8,970 | | 3i Group PLC | | | 376,781 | |
| | 1,678 | | Ameriprise Financial, Inc. | | | 754,160 | |
| | 518 | | Amundi SA(a) | | | 38,900 | |
| | 1,222 | | ARES Management Corp. Class A | | | 178,901 | |
| | 1,493 | | ASX Ltd. | | | 61,811 | |
| | 9,939 | | Bank of New York Mellon Corp. | | | 678,039 | |
| | 207 | | BlackRock, Inc. | | | 186,675 | |
| | 3,149 | | Blackstone, Inc. | | | 448,292 | |
| | 813 | | Brookfield Asset Management Ltd. Class A | | | 33,144 | |
| | 1,648 | | Carlyle Group, Inc. | | | 66,134 | |
| | 1,509 | | Cboe Global Markets, Inc. | | | 309,949 | |
| | 2,130 | | Charles Schwab Corp. | | | 138,663 | |
| | 1,872 | | CME Group, Inc. | | | 403,865 | |
| | 720 | | Coinbase Global, Inc. Class A* | | | 132,019 | |
| | 12,889 | | Daiwa Securities Group, Inc. | | | 95,839 | |
| | 24,203 | | Deutsche Bank AG | | | 395,990 | |
| | 1,014 | | Deutsche Boerse AG | | | 227,969 | |
| | 1,149 | | Euronext NV(a) | | | 122,707 | |
| | 638 | | FactSet Research Systems, Inc. | | | 269,772 | |
| | 12,671 | | Franklin Resources, Inc. | | | 256,461 | |
| | 36,659 | | Hargreaves Lansdown PLC | | | 536,932 | |
| | 2,318 | | Hong Kong Exchanges & Clearing Ltd. | | | 70,730 | |
| | 4,394 | | IGM Financial, Inc. | | | 129,376 | |
| | 2,714 | | Intercontinental Exchange, Inc. | | | 438,447 | |
| | 2,716 | | Japan Exchange Group, Inc. | | | 63,025 | |
| | 1,956 | | KKR & Co., Inc. | | | 242,094 | |
| | 2,181 | | London Stock Exchange Group PLC | | | 294,397 | |
| | 1,958 | | LPL Financial Holdings, Inc. | | | 439,258 | |
| | 362 | | Macquarie Group Ltd. | | | 52,690 | |
| | 186 | | MarketAxess Holdings, Inc. | | | 45,084 | |
| | 1,831 | | Moody’s Corp. | | | 893,052 | |
| | 4,469 | | Morgan Stanley | | | 463,033 | |
| | 1,040 | | Nasdaq, Inc. | | | 74,963 | |
| | 15,674 | | Nomura Holdings, Inc. | | | 92,029 | |
| | 2,384 | | Northern Trust Corp. | | | 217,445 | |
| | 1,599 | | Onex Corp. | | | 112,979 | |
| | 231 | | Partners Group Holding AG | | | 334,195 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Capital Markets – (continued) | |
| | 2,062 | | Raymond James Financial, Inc. | | $ | 246,553 | |
| | 5,138 | | Robinhood Markets, Inc. Class A* | | | 103,376 | |
| | 650 | | S&P Global, Inc. | | | 333,606 | |
| | 2,908 | | SBI Holdings, Inc. | | | 71,566 | |
| | 9,190 | | Schroders PLC | | | 41,599 | |
| | 2,386 | | SEI Investments Co. | | | 161,365 | |
| | 40,508 | | Singapore Exchange Ltd. | | | 336,053 | |
| | 5,406 | | State Street Corp. | | | 470,863 | |
| | 917 | | T. Rowe Price Group, Inc. | | | 97,239 | |
| | 4,701 | | TMX Group Ltd. | | | 149,962 | |
| | 1,382 | | Tradeweb Markets, Inc. Class A | | | 163,408 | |
| | 19,806 | | UBS Group AG | | | 610,333 | |
| | | | | | | | |
| | | | | | | 12,461,723 | |
| | | |
| |
| | Chemicals – 0.2% | |
| | 1,812 | | Air Liquide SA | | | 338,206 | |
| | 1,170 | | Akzo Nobel NV | | | 74,849 | |
| | 1,335 | | Arkema SA | | | 123,858 | |
| | 13,158 | | Asahi Kasei Corp. | | | 93,186 | |
| | 1,282 | | Celanese Corp. | | | 167,429 | |
| | 1,472 | | CF Industries Holdings, Inc. | | | 122,308 | |
| | 2,453 | | Clariant AG | | | 38,584 | |
| | 754 | | Covestro AG*(a) | | | 46,221 | |
| | 2,239 | | Dow, Inc. | | | 119,966 | |
| | 741 | | Eastman Chemical Co. | | | 75,856 | |
| | 1,288 | | Ecolab, Inc. | | | 326,096 | |
| | 184 | | EMS-Chemie Holding AG | | | 154,426 | |
| | 6,409 | | Evonik Industries AG | | | 142,213 | |
| | 36 | | Givaudan SA | | | 184,909 | |
| | 23,543 | | ICL Group Ltd. | | | 107,748 | |
| | 1,608 | | Linde PLC | | | 769,026 | |
| | 3,403 | | LyondellBasell Industries NV Class A | | | 335,876 | |
| | 33,126 | | Mitsubishi Chemical Group Corp. | | | 193,595 | |
| | 10,942 | | Mosaic Co. | | | 312,613 | |
| | 2,221 | | Nippon Sanso Holdings Corp. | | | 76,532 | |
| | 605 | | Nitto Denko Corp. | | | 50,734 | |
| | 357 | | Novonesis (Novozymes) B Class B | | | 24,786 | |
| | 4,464 | | Nutrien Ltd. | | | 216,202 | |
| | 13,018 | | Orica Ltd. | | | 156,152 | |
| | 971 | | PPG Industries, Inc. | | | 125,968 | |
| | 2,974 | | RPM International, Inc. | | | 345,728 | |
| | 1,722 | | Sherwin-Williams Co. | | | 636,055 | |
| | 3,810 | | Shin-Etsu Chemical Co. Ltd. | | | 168,662 | |
| | 2,549 | | Syensqo SA | | | 209,893 | |
| | 309 | | Symrise AG | | | 40,775 | |
| | 26,229 | | Toray Industries, Inc. | | | 135,573 | |
| | 1,540 | | Westlake Corp. | | | 223,978 | |
| | 1,133 | | Yara International ASA | | | 32,930 | |
| | | | | | | | |
| | | | | | | 6,170,933 | |
| | | |
| |
| | Commerical Services & Supplies – 0.1% | |
| | 10,790 | | Brambles Ltd. | | | 133,011 | |
| | 1,041 | | Cintas Corp. | | | 838,130 | |
| | 4,726 | | Copart, Inc.* | | | 250,289 | |
| | | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 3 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
|
Schedule of Investments (continued) August 31, 2024 |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Commerical Services & Supplies – (continued) | |
| | 1,352 | | Element Fleet Management Corp. | | $ | 28,040 | |
| | 893 | | RB Global, Inc. | | | 76,932 | |
| | 2,144 | | Republic Services, Inc. | | | 446,402 | |
| | 11,517 | | Rollins, Inc. | | | 577,923 | |
| | 1,407 | | Secom Co. Ltd. | | | 102,665 | |
| | 20,398 | | Securitas AB Class B | | | 238,482 | |
| | 2,998 | | TOPPAN Holdings, Inc. | | | 90,518 | |
| | 4,144 | | Veralto Corp. | | | 465,910 | |
| | 1,807 | | Waste Connections, Inc. | | | 337,006 | |
| | 2,254 | | Waste Management, Inc. | | | 477,938 | |
| | | | | | | | |
| | | | | | | 4,063,246 | |
| | | |
| |
| | Communications Equipment – 0.1% | |
| | 1,021 | | Arista Networks, Inc.* | | | 360,801 | |
| | 19,441 | | Cisco Systems, Inc. | | | 982,548 | |
| | 1,981 | | F5, Inc.* | | | 402,440 | |
| | 8,082 | | Juniper Networks, Inc. | | | 314,228 | |
| | 1,243 | | Motorola Solutions, Inc. | | | 549,456 | |
| | 83,989 | | Nokia OYJ | | | 370,249 | |
| | 23,035 | | Telefonaktiebolaget LM Ericsson Class B | | | 171,846 | |
| | | | | | | | |
| | | | | | | 3,151,568 | |
| | | |
| |
| | Construction & Engineering – 0.1% | |
| | 8,980 | | ACS Actividades de Construccion y Servicios SA | | | 407,785 | |
| | 4,517 | | AECOM | | | 452,332 | |
| | 9,758 | | Bouygues SA | | | 348,903 | |
| | 3,270 | | Eiffage SA | | | 343,236 | |
| | 644 | | EMCOR Group, Inc. | | | 253,131 | |
| | 2,377 | | Ferrovial SE | | | 99,390 | |
| | 2,889 | | Kajima Corp. | | | 52,901 | |
| | 12,099 | | Obayashi Corp. | | | 155,596 | |
| | 827 | | Quanta Services, Inc. | | | 227,532 | |
| | 2,251 | | Skanska AB Class B | | | 45,432 | |
| | 1,813 | | Stantec, Inc. | | | 148,481 | |
| | 2,742 | | Taisei Corp. | | | 124,589 | |
| | 2,995 | | Vinci SA | | | 357,947 | |
| | 3,483 | | WSP Global, Inc. | | | 580,634 | |
| | | | | | | | |
| | | | | | | 3,597,889 | |
| | | |
| |
| | Construction Materials – 0.0% | |
| | 501 | | CRH PLC | | | 45,476 | |
| | 3,026 | | Heidelberg Materials AG | | | 321,412 | |
| | 4,860 | | Holcim AG | | | 470,803 | |
| | 4,499 | | James Hardie Industries PLC* | | | 167,826 | |
| | 398 | | Martin Marietta Materials, Inc. | | | 212,596 | |
| | 945 | | Vulcan Materials Co. | | | 231,723 | |
| | | | | | | | |
| | | | | | | 1,449,836 | |
| | | |
| |
| | Consumer Finance – 0.1% | |
| | 11,456 | | Ally Financial, Inc. | | | 494,785 | |
| | 2,882 | | American Express Co. | | | 745,429 | |
| | 4,020 | | Capital One Financial Corp. | | | 590,659 | |
| | 4,234 | | Discover Financial Services | | | 587,298 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Consumer Finance – (continued) | |
| | 0 | | Isracard Ltd. | | $ | 3 | |
| | 11,997 | | Synchrony Financial | | | 602,969 | |
| | | | | | | | |
| | | | | | | 3,021,143 | |
| | | |
| |
| | Consumer Staples Distribution & Retail – 0.3% | |
| | 5,521 | | Aeon Co. Ltd. | | | 138,301 | |
| | 34,531 | | Albertsons Cos., Inc. Class A | | | 677,498 | |
| | 3,664 | | Alimentation Couche-Tard, Inc. | | | 209,158 | |
| | 18,509 | | Carrefour SA | | | 298,185 | |
| | 37,421 | | Coles Group Ltd. | | | 475,096 | |
| | 2,086 | | Costco Wholesale Corp. | | | 1,861,505 | |
| | 1,125 | | Dollar General Corp. | | | 93,341 | |
| | 2,168 | | Dollar Tree, Inc.* | | | 183,174 | |
| | 18,826 | | Empire Co. Ltd. Class A | | | 524,974 | |
| | 9,350 | | Endeavour Group Ltd. | | | 33,713 | |
| | 1,837 | | George Weston Ltd. | | | 298,781 | |
| | 94,961 | | J Sainsbury PLC | | | 366,148 | |
| | 12,449 | | Jeronimo Martins SGPS SA | | | 230,361 | |
| | 22,137 | | Koninklijke Ahold Delhaize NV | | | 760,046 | |
| | 18,677 | | Kroger Co. | | | 993,803 | |
| | 4,369 | | Loblaw Cos. Ltd. | | | 570,192 | |
| | 18,004 | | MatsukiyoCocokara & Co. | | | 291,387 | |
| | 1,273 | | Metro, Inc. | | | 79,970 | |
| | 14,157 | | Seven & i Holdings Co. Ltd. | | | 203,915 | |
| | 9,472 | | Sysco Corp. | | | 738,532 | |
| | 3,235 | | Target Corp. | | | 496,961 | |
| | 115,276 | | Tesco PLC | | | 537,456 | |
| | 4,090 | | Walgreens Boots Alliance, Inc. | | | 37,832 | |
| | 31,098 | | Walmart, Inc. | | | 2,401,699 | |
| | 18,996 | | Woolworths Group Ltd. | | | 458,242 | |
| | | | | | | | |
| | | | | | | 12,960,270 | |
| | | |
| |
| | Containers & Packaging – 0.0% | |
| | 12,116 | | Amcor PLC | | | 138,607 | |
| | 816 | | Avery Dennison Corp. | | | 181,030 | |
| | 1,269 | | Crown Holdings, Inc. | | | 114,730 | |
| | 686 | | International Paper Co. | | | 33,216 | |
| | 1,134 | | Packaging Corp. of America | | | 237,619 | |
| | 7,629 | | Smurfit WestRock PLC | | | 361,767 | |
| | | | | | | | |
| | | | | | | 1,066,969 | |
| | | |
| |
| | Distributors – 0.0% | |
| | 93 | | D’ieteren Group | | | 22,577 | |
| | 2,228 | | Genuine Parts Co. | | | 319,183 | |
| | 12,908 | | LKQ Corp. | | | 536,844 | |
| | 644 | | Pool Corp. | | | 226,443 | |
| | | | | | | | |
| | | | | | | 1,105,047 | |
| | | |
| |
| | Diversified Consumer Services – 0.0% | |
| | 10,078 | | Pearson PLC | | | 140,448 | |
| | | |
| |
| | Diversified REITs – 0.0% | |
| | 123 | | Nomura Real Estate Master Fund, Inc. | | | 124,576 | |
| | | |
| | |
| 4 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Diversified REITs – (continued) | |
| | 3,688 | | WP Carey, Inc. | | $ | 221,354 | |
| | | | | | | | |
| | | | | | | 345,930 | |
| | | |
| |
| | Diversified Telecommunication Services – 0.1% | |
| | 37,285 | | AT&T, Inc. | | | 741,971 | |
| | 1,995 | | BCE, Inc. | | | 69,888 | |
| | 19,607 | | Deutsche Telekom AG | | | 557,878 | |
| | 2,199 | | Elisa OYJ | | | 110,118 | |
| | 95,978 | | HKT Trust & HKT Ltd. | | | 121,864 | |
| | 10,865 | | Infrastrutture Wireless Italiane SpA(a) | | | 130,144 | |
| | 51,059 | | Koninklijke KPN NV | | | 208,534 | |
| | 344,021 | | Nippon Telegraph & Telephone Corp. | | | 367,688 | |
| | 20,485 | | Orange SA | | | 233,650 | |
| | 4,410 | | Quebecor, Inc. Class B | | | 109,526 | |
| | 20,647 | | Singapore Telecommunications Ltd. | | | 49,516 | |
| | 57,719 | | Spark New Zealand Ltd. | | | 129,219 | |
| | 209 | | Swisscom AG | | | 132,124 | |
| | 82,587 | | Telefonica SA | | | 373,630 | |
| | 6,273 | | Telenor ASA | | | 77,779 | |
| | 32,052 | | Telia Co. AB | | | 99,388 | |
| | 38,670 | | Telstra Group Ltd. | | | 102,712 | |
| | 3,460 | | TELUS Corp. | | | 55,893 | |
| | 16,803 | | Verizon Communications, Inc. | | | 702,029 | |
| | | | | | | | |
| | | | | | | 4,373,551 | |
| | | |
| |
| | Electric Utilities – 0.1% | |
| | 2,226 | | Alliant Energy Corp. | | | 129,709 | |
| | 982 | | American Electric Power Co., Inc. | | | 98,475 | |
| | 193 | | BKW AG | | | 36,279 | |
| | 4,333 | | Chubu Electric Power Co., Inc. | | | 54,136 | |
| | 3,877 | | CK Infrastructure Holdings Ltd. | | | 28,682 | |
| | 8,127 | | CLP Holdings Ltd. | | | 72,512 | |
| | 1,201 | | Constellation Energy Corp. | | | 236,237 | |
| | 1,892 | | Duke Energy Corp. | | | 215,593 | |
| | 964 | | Edison International | | | 83,897 | |
| | 688 | | Emera, Inc. | | | 25,909 | |
| | 3,536 | | Endesa SA | | | 74,659 | |
| | 19,476 | | Enel SpA | | | 148,031 | |
| | 986 | | Entergy Corp. | | | 119,000 | |
| | 1,818 | | Evergy, Inc. | | | 107,517 | |
| | 1,954 | | Exelon Corp. | | | 74,428 | |
| | 3,164 | | FirstEnergy Corp. | | | 138,963 | |
| | 1,663 | | Fortis, Inc. | | | 73,176 | |
| | 4,022 | | Fortum OYJ | | | 64,131 | |
| | 2,391 | | Hydro One Ltd.(a) | | | 81,276 | |
| | 17,325 | | Iberdrola SA | | | 245,818 | |
| | 11,575 | | Kansai Electric Power Co., Inc. | | | 205,734 | |
| | 5,902 | | NRG Energy, Inc. | | | 501,729 | |
| | 16,929 | | Origin Energy Ltd. | | | 114,138 | |
| | 4,325 | | PG&E Corp. | | | 85,203 | |
| | 11,380 | | Power Assets Holdings Ltd. | | | 79,204 | |
| | 4,556 | | PPL Corp. | | | 145,382 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Electric Utilities – (continued) | |
| | 5,073 | | Redeia Corp. SA | | $ | 96,354 | |
| | 2,195 | | Southern Co. | | | 189,648 | |
| | 2,360 | | SSE PLC | | | 58,699 | |
| | 8,117 | | Terna - Rete Elettrica Nazionale | | | 70,674 | |
| | 6,309 | | Tokyo Electric Power Co. Holdings, Inc.* | | | 30,092 | |
| | 1,217 | | Xcel Energy, Inc. | | | 74,517 | |
| | | | | | | | |
| | | | | | | 3,759,802 | |
| | | |
| |
| | Electrical Equipment – 0.1% | |
| | 5,713 | | ABB Ltd. | | | 328,536 | |
| | 1,722 | | AMETEK, Inc. | | | 294,548 | |
| | 1,170 | | Eaton Corp. PLC | | | 359,108 | |
| | 2,109 | | Emerson Electric Co. | | | 222,268 | |
| | 617 | | Fuji Electric Co. Ltd. | | | 37,243 | |
| | 950 | | GE Vernova, Inc.* | | | 190,950 | |
| | 381 | | Hubbell, Inc. | | | 152,370 | |
| | 1,012 | | Legrand SA | | | 113,348 | |
| | 7,512 | | Mitsubishi Electric Corp. | | | 126,547 | |
| | 2,300 | | Prysmian SpA | | | 161,997 | |
| | 1,246 | | Schneider Electric SE | | | 317,854 | |
| | 6,548 | | Siemens Energy AG* | | | 189,113 | |
| | 2,036 | | Vertiv Holdings Co. Class A | | | 169,049 | |
| | | | | | | | |
| | | | | | | 2,662,931 | |
| | | |
| |
| | Electronic Equipment, Instruments & Components – 0.1% | |
| | 7,470 | | Amphenol Corp. Class A | | | 503,852 | |
| | 1,588 | | CDW Corp. | | | 358,316 | |
| | 6,332 | | Corning, Inc. | | | 264,994 | |
| | 5,538 | | Halma PLC | | | 190,443 | |
| | 4,819 | | Hamamatsu Photonics KK | | | 128,593 | |
| | 3,330 | | Hexagon AB Class B | | | 34,088 | |
| | 1,801 | | Ibiden Co. Ltd. | | | 62,785 | |
| | 2,925 | | Jabil, Inc. | | | 319,644 | |
| | 113 | | Keyence Corp. | | | 54,287 | |
| | 1,440 | | Keysight Technologies, Inc.* | | | 221,933 | |
| | 12,016 | | Kyocera Corp. | | | 148,849 | |
| | 1,578 | | Murata Manufacturing Co. Ltd. | | | 33,076 | |
| | 6,553 | | Shimadzu Corp. | | | 218,939 | |
| | 2,348 | | TDK Corp. | | | 160,044 | |
| | 1,529 | | TE Connectivity Ltd. | | | 234,854 | |
| | 686 | | Teledyne Technologies, Inc.* | | | 296,901 | |
| | 1,277 | | Trimble, Inc.* | | | 72,393 | |
| | 2,382 | | Yokogawa Electric Corp. | | | 67,186 | |
| | | | | | | | |
| | | | | | | 3,371,177 | |
| | | |
| |
| | Energy Equipment & Services – 0.0% | |
| | 5,609 | | Baker Hughes Co. | | | 197,269 | |
| | 3,247 | | Halliburton Co. | | | 100,949 | |
| | 3,228 | | Schlumberger NV | | | 142,000 | |
| | 15,081 | | Tenaris SA | | | 221,943 | |
| | | | | | | | |
| | | | | | | 662,161 | |
| | | |
| |
| | Entertainment – 0.1% | |
| | 27,581 | | Bollore SE | | | 181,735 | |
| | | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 5 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
|
Schedule of Investments (continued) August 31, 2024 |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Entertainment – (continued) | |
| | 11,980 | | Capcom Co. Ltd. | | $ | 261,899 | |
| | 2,734 | | Electronic Arts, Inc. | | | 415,076 | |
| | 382 | | Live Nation Entertainment, Inc.* | | | 37,310 | |
| | 1,247 | | Netflix, Inc.* | | | 874,583 | |
| | 2,411 | | Nintendo Co. Ltd. | | | 131,120 | |
| | 1,223 | | ROBLOX Corp. Class A* | | | 53,800 | |
| | 268 | | Take-Two Interactive Software, Inc.* | | | 43,338 | |
| | 1,703 | | Toho Co. Ltd. | | | 65,466 | |
| | 4,040 | | Universal Music Group NV | | | 105,701 | |
| | 5,289 | | Walt Disney Co. | | | 478,020 | |
| | 65,272 | | Warner Bros Discovery, Inc.* | | | 511,732 | |
| | | | | | | | |
| | | | | | | 3,159,780 | |
| | | |
| |
| | Financial Services – 0.3% | |
| | 5,367 | | Apollo Global Management, Inc. | | | 621,123 | |
| | 7,701 | | Berkshire Hathaway, Inc. Class B* | | | 3,665,060 | |
| | 15,352 | | Corebridge Financial, Inc. | | | 453,805 | |
| | 919 | | Corpay, Inc.* | | | 289,991 | |
| | 19,627 | | Equitable Holdings, Inc. | | | 834,540 | |
| | 3,157 | | Eurazeo SE | | | 248,693 | |
| | 4,685 | | EXOR NV | | | 522,762 | |
| | 2,593 | | Fiserv, Inc.* | | | 452,738 | |
| | 4,310 | | Groupe Bruxelles Lambert NV | | | 332,796 | |
| | 5,206 | | Industrivarden AB Class A | | | 187,115 | |
| | 5,406 | | Industrivarden AB Class C | | | 194,175 | |
| | 12,103 | | Investor AB Class B | | | 360,372 | |
| | 713 | | Jack Henry & Associates, Inc. | | | 123,370 | |
| | 1,724 | | L E Lundbergforetagen AB Class B | | | 94,532 | |
| | 64,535 | | M&G PLC | | | 182,379 | |
| | 4,460 | | Mastercard, Inc. Class A | | | 2,155,696 | |
| | 22,699 | | Mitsubishi HC Capital, Inc. | | | 163,956 | |
| | 4,094 | | ORIX Corp. | | | 102,927 | |
| | 894 | | PayPal Holdings, Inc.* | | | 64,753 | |
| | 7,992 | | Visa, Inc. Class A | | | 2,208,749 | |
| | 3,813 | | Washington H Soul Pattinson & Co. Ltd. | | | 88,915 | |
| | 19,605 | | Wise PLC Class A* | | | 182,142 | |
| | | | | | | | |
| | | | | | | 13,530,589 | |
| | | |
| |
| | Food Products – 0.1% | |
| | 3,853 | | Ajinomoto Co., Inc. | | | 148,312 | |
| | 5,981 | | Archer-Daniels-Midland Co. | | | 364,781 | |
| | 7,581 | | Associated British Foods PLC | | | 248,692 | |
| | 4,115 | | Bunge Global SA | | | 417,179 | |
| | 1,261 | | Campbell Soup Co. | | | 62,697 | |
| | 4 | | Chocoladefabriken Lindt & Spruengli AG | | | 52,860 | |
| | 8,839 | | Conagra Brands, Inc. | | | 275,777 | |
| | 2,130 | | Danone SA | | | 148,007 | |
| | 1,891 | | General Mills, Inc. | | | 136,700 | |
| | 1,246 | | Hershey Co. | | | 240,553 | |
| | 711 | | J.M. Smucker Co. | | | 81,538 | |
| | 3,735 | | JDE Peet’s NV | | | 85,449 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Food Products – (continued) | |
| | 1,373 | | Kellanova | | $ | 110,678 | |
| | 253 | | Kerry Group PLC Class A | | | 25,407 | |
| | 2,655 | | Kikkoman Corp. | | | 30,048 | |
| | 6,058 | | Kraft Heinz Co. | | | 214,635 | |
| | 277 | | McCormick & Co., Inc. | | | 22,168 | |
| | 1,940 | | MEIJI Holdings Co. Ltd. | | | 48,176 | |
| | 2,966 | | Mondelez International, Inc. Class A | | | 212,988 | |
| | 5,662 | | Nestle SA | | | 607,193 | |
| | 2,685 | | Nissin Foods Holdings Co. Ltd. | | | 70,166 | |
| | 5,489 | | Orkla ASA | | | 48,798 | |
| | 1,206 | | Salmar ASA | | | 62,618 | |
| | 2,991 | | Saputo, Inc. | | | 66,516 | |
| | 2,366 | | Tyson Foods, Inc. Class A | | | 152,157 | |
| | 453,398 | | WH Group Ltd.(a) | | | 328,836 | |
| | 119,480 | | Wilmar International Ltd. | | | 287,374 | |
| | 1,972 | | Yakult Honsha Co. Ltd. | | | 41,663 | |
| | | | | | | | |
| | | | | | | 4,591,966 | |
| | | |
| |
| | Gas Utilities – 0.0% | |
| | 3,380 | | AltaGas Ltd. | | | 86,579 | |
| | 5,034 | | APA Group | | | 25,797 | |
| | 1,324 | | Atmos Energy Corp. | | | 173,100 | |
| | 5,415 | | Osaka Gas Co. Ltd. | | | 133,749 | |
| | 13,345 | | Snam SpA | | | 66,289 | |
| | 8,789 | | Tokyo Gas Co. Ltd. | | | 219,863 | |
| | | | | | | | |
| | | | | | | 705,377 | |
| | | |
| |
| | Ground Transportation – 0.1% | |
| | 51,204 | | Aurizon Holdings Ltd. | | | 116,897 | |
| | 964 | | Canadian National Railway Co. | | | 113,586 | |
| | 1,077 | | Canadian Pacific Kansas City Ltd. | | | 89,403 | |
| | 6,227 | | Central Japan Railway Co. | | | 144,147 | |
| | 8,472 | | CSX Corp. | | | 290,335 | |
| | 3,666 | | East Japan Railway Co. | | | 70,284 | |
| | 3,843 | | Hankyu Hanshin Holdings, Inc. | | | 118,090 | |
| | 9,605 | | Kintetsu Group Holdings Co. Ltd. | | | 223,952 | |
| | 254 | | Norfolk Southern Corp. | | | 65,065 | |
| | 894 | | Old Dominion Freight Line, Inc. | | | 172,363 | |
| | 535 | | TFI International, Inc. | | | 79,179 | |
| | 5,595 | | Tokyu Corp. | | | 68,441 | |
| | 4,656 | | Uber Technologies, Inc.* | | | 340,493 | |
| | 1,501 | | Union Pacific Corp. | | | 384,391 | |
| | 4,266 | | West Japan Railway Co. | | | 81,352 | |
| | | | | | | | |
| | | | | | | 2,357,978 | |
| | | |
| |
| | Health Care Equipment & Supplies – 0.2% | |
| | 4,911 | | Abbott Laboratories | | | 556,269 | |
| | 946 | | Alcon, Inc. | | | 92,176 | |
| | 697 | | Align Technology, Inc.* | | | 165,342 | |
| | 607 | | Baxter International, Inc. | | | 23,030 | |
| | 801 | | Becton Dickinson & Co. | | | 194,170 | |
| | 1,057 | | BioMerieux | | | 122,322 | |
| | 6,102 | | Boston Scientific Corp.* | | | 499,083 | |
| | 405 | | Carl Zeiss Meditec AG | | | 29,732 | |
| | | |
| | |
| 6 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Health Care Equipment & Supplies – (continued) | |
| | 2,258 | | Cochlear Ltd. | | $ | 458,427 | |
| | 624 | | Coloplast AS Class B | | | 84,961 | |
| | 1,279 | | Cooper Cos., Inc.* | | | 135,229 | |
| | 4,327 | | Demant AS* | | | 182,956 | |
| | 719 | | Dexcom, Inc.* | | | 49,855 | |
| | 3,673 | | Edwards Lifesciences Corp.* | | | 256,963 | |
| | 880 | | EssilorLuxottica SA | | | 208,678 | |
| | 16,006 | | Fisher & Paykel Healthcare Corp. Ltd. | | | 357,267 | |
| | 2,666 | | Hologic, Inc.* | | | 216,586 | |
| | 3,305 | | Hoya Corp. | | | 469,068 | |
| | 1,124 | | IDEXX Laboratories, Inc.* | | | 541,015 | |
| | 1,251 | | Insulet Corp.* | | | 253,665 | |
| | 845 | | Intuitive Surgical, Inc.* | | | 416,272 | |
| | 13,211 | | Koninklijke Philips NV* | | | 397,925 | |
| | 3,189 | | Medtronic PLC | | | 282,482 | |
| | 13,938 | | Olympus Corp. | | | 254,893 | |
| | 461 | | Siemens Healthineers AG(a) | | | 26,867 | |
| | 16,455 | | Smith & Nephew PLC | | | 253,395 | |
| | 535 | | Sonova Holding AG | | | 187,057 | |
| | 700 | | STERIS PLC | | | 168,770 | |
| | 1,633 | | Straumann Holding AG | | | 241,958 | |
| | 1,072 | | Stryker Corp. | | | 386,370 | |
| | 11,943 | | Sysmex Corp. | | | 231,605 | |
| | 157 | | Teleflex, Inc. | | | 38,492 | |
| | 1,410 | | Terumo Corp. | | | 26,218 | |
| | 1,309 | | Zimmer Biomet Holdings, Inc. | | | 151,137 | |
| | | | | | | | |
| | | | | | | 7,960,235 | |
| | | |
| |
| | Health Care Providers & Services – 0.2% | |
| | 4,691 | | Cardinal Health, Inc. | | | 528,770 | |
| | 2,398 | | Cencora, Inc. | | | 574,489 | |
| | 7,105 | | Centene Corp.* | | | 560,087 | |
| | 2,121 | | Cigna Group | | | 767,399 | |
| | 10,106 | | CVS Health Corp. | | | 578,468 | |
| | 1,814 | | DaVita, Inc.* | | | 273,769 | |
| | 1,012 | | Elevance Health, Inc. | | | 563,573 | |
| | 7,740 | | Fresenius Medical Care AG | | | 298,790 | |
| | 10,756 | | Fresenius SE & Co. KGaA* | | | 397,186 | |
| | 817 | | HCA Healthcare, Inc. | | | 323,197 | |
| | 4,292 | | Henry Schein, Inc.* | | | 302,801 | |
| | 645 | | Humana, Inc. | | | 228,633 | |
| | 1,128 | | Labcorp Holdings, Inc. | | | 259,316 | |
| | 1,166 | | McKesson Corp. | | | 654,219 | |
| | 846 | | Molina Healthcare, Inc.* | | | 295,922 | |
| | 1,822 | | Quest Diagnostics, Inc. | | | 285,999 | |
| | 4,558 | | Sonic Healthcare Ltd. | | | 85,289 | |
| | 3,601 | | UnitedHealth Group, Inc. | | | 2,125,310 | |
| | 2,271 | | Universal Health Services, Inc. Class B | | | 540,430 | |
| | | | | | | | |
| | | | | | | 9,643,647 | |
| | | |
| |
| | Health Care REITs – 0.0% | |
| | 705 | | Alexandria Real Estate Equities, Inc. | | | 84,297 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Health Care REITs – (continued) | |
| | 1,263 | | Welltower, Inc. | | $ | 152,419 | |
| | | | | | | | |
| | | | | | | 236,716 | |
| | | |
| |
| | Health Care Technology – 0.0% | |
| | 580 | | ABIOMED, Inc.*(b) | | | 591 | |
| | 1,967 | | Pro Medicus Ltd. | | | 201,282 | |
| | | | | | | | |
| | | | | | | 201,873 | |
| | | |
| |
| | Hotel & Resort REITs – 0.0% | |
| | 15,902 | | Host Hotels & Resorts, Inc. | | | 281,465 | |
| | | |
| |
| | Hotels, Restaurants & Leisure – 0.2% | |
| | 1,922 | | Accor SA | | | 81,041 | |
| | 764 | | Airbnb, Inc. Class A* | | | 89,625 | |
| | 1,241 | | Amadeus IT Group SA | | | 83,738 | |
| | 3,089 | | Aristocrat Leisure Ltd. | | | 114,019 | |
| | 280 | | Booking Holdings, Inc. | | | 1,094,584 | |
| | 6,456 | | Caesars Entertainment, Inc.* | | | 243,004 | |
| | 9,953 | | Carnival Corp.* | | | 164,224 | |
| | 5,450 | | Chipotle Mexican Grill, Inc.* | | | 305,636 | |
| | 10,511 | | Compass Group PLC | | | 332,203 | |
| | 1,302 | | Darden Restaurants, Inc. | | | 205,911 | |
| | 678 | | Domino’s Pizza, Inc. | | | 280,834 | |
| | 1,125 | | DoorDash, Inc. Class A* | | | 144,799 | |
| | 3,786 | | DraftKings, Inc. Class A* | | | 130,617 | |
| | 3,490 | | Entain PLC | | | 29,731 | |
| | 493 | | Evolution AB(a) | | | 51,248 | |
| | 2,849 | | Expedia Group, Inc.* | | | 396,267 | |
| | 1,616 | | Hilton Worldwide Holdings, Inc. | | | 354,938 | |
| | 471 | | Hyatt Hotels Corp. Class A | | | 71,554 | |
| | 2,167 | | InterContinental Hotels Group PLC | | | 216,882 | |
| | 7,807 | | La Francaise des Jeux SAEM(a) | | | 318,273 | |
| | 156,831 | | Lottery Corp. Ltd. | | | 528,170 | |
| | 1,120 | | Marriott International, Inc. Class A | | | 262,853 | |
| | 1,960 | | McDonald’s Corp. | | | 565,774 | |
| | 3,676 | | McDonald’s Holdings Co. Japan Ltd. | | | 161,463 | |
| | 6,047 | | MGM Resorts International* | | | 227,307 | |
| | 957 | | Restaurant Brands International, Inc. | | | 66,489 | |
| | 1,422 | | Royal Caribbean Cruises Ltd.* | | | 234,090 | |
| | 1,520 | | Sodexo SA | | | 135,257 | |
| | 2,809 | | Starbucks Corp. | | | 265,647 | |
| | 2,936 | | Whitbread PLC | | | 111,626 | |
| | 1,102 | | Wynn Resorts Ltd. | | | 84,722 | |
| | 4,820 | | Yum! Brands, Inc. | | | 650,314 | |
| | 9,465 | | Zensho Holdings Co. Ltd. | | | 494,251 | |
| | | | | | | | |
| | | | | | | 8,497,091 | |
| | | |
| |
| | Household Durables – 0.1% | |
| | 5,421 | | Barratt Developments PLC | | | 36,274 | |
| | 2,865 | | Berkeley Group Holdings PLC | | | 188,360 | |
| | 2,646 | | DR Horton, Inc. | | | 499,459 | |
| | 1,657 | | Garmin Ltd. | | | 303,711 | |
| | 3,537 | | Lennar Corp. Class A | | | 643,946 | |
| | | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 7 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
|
Schedule of Investments (continued) August 31, 2024 |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Household Durables – (continued) | |
| | 38 | | NVR, Inc.* | | $ | 348,553 | |
| | 19,755 | | Panasonic Holdings Corp. | | | 165,980 | |
| | 4,138 | | PulteGroup, Inc. | | | 544,768 | |
| | 1,672 | | SEB SA | | | 174,105 | |
| | 10,313 | | Sekisui Chemical Co. Ltd. | | | 157,379 | |
| | 5,968 | | Sekisui House Ltd. | | | 154,254 | |
| | 1,454 | | Sony Group Corp. | | | 141,611 | |
| | 14,283 | | Taylor Wimpey PLC | | | 30,346 | |
| | | | | | | | |
| | | | | | | 3,388,746 | |
| | | |
| |
| | Household Products – 0.1% | |
| | 2,228 | | Church & Dwight Co., Inc. | | | 226,989 | |
| | 2,813 | | Clorox Co. | | | 445,326 | |
| | 10,096 | | Colgate-Palmolive Co. | | | 1,075,224 | |
| | 4,218 | | Essity AB Class B | | | 128,093 | |
| | 2,469 | | Henkel AG & Co. KGaA | | | 205,309 | |
| | 2,770 | | Kimberly-Clark Corp. | | | 400,708 | |
| | 9,040 | | Procter & Gamble Co. | | | 1,550,721 | |
| | 1,266 | | Reckitt Benckiser Group PLC | | | 72,835 | |
| | 1,146 | | Unicharm Corp. | | | 39,761 | |
| | | | | | | | |
| | | | | | | 4,144,966 | |
| | | |
| |
| | Independent Power and Renewable Electricity Producers – 0.0% | |
| | 892 | | RWE AG | | | 32,177 | |
| | 9,756 | | Vistra Corp. | | | 833,455 | |
| | | | | | | | |
| | | | | | | 865,632 | |
| | | |
| |
| | Industrial Conglomerates – 0.1% | |
| | 990 | | 3M Co. | | | 133,343 | |
| | 79,393 | | CK Hutchison Holdings Ltd. | | | 435,213 | |
| | 3,762 | | DCC PLC | | | 265,801 | |
| | 390 | | Hikari Tsushin, Inc. | | | 82,368 | |
| | 15,580 | | Hitachi Ltd. | | | 384,359 | |
| | 1,437 | | Honeywell International, Inc. | | | 298,767 | |
| | 11,204 | | Jardine Matheson Holdings Ltd. | | | 403,792 | |
| | 14,893 | | Keppel Ltd. | | | 70,416 | |
| | 1,938 | | Siemens AG | | | 364,548 | |
| | 5,247 | | Smiths Group PLC | | | 124,827 | |
| | 5,242 | | Swire Pacific Ltd. Class A | | | 44,495 | |
| | | | | | | | |
| | | | | | | 2,607,929 | |
| | | |
| |
| | Industrial REITs – 0.0% | |
| | 7,979 | | Goodman Group | | | 180,005 | |
| | 29 | | Nippon Prologis REIT, Inc. | | | 51,087 | |
| | 415 | | Prologis, Inc. | | | 53,045 | |
| | | | | | | | |
| | | | | | | 284,137 | |
| | | |
| |
| | Insurance – 0.4% | |
| | 7,632 | | Admiral Group PLC | | | 293,120 | |
| | 24,150 | | Aegon Ltd. | | | 147,905 | |
| | 4,913 | | Aflac, Inc. | | | 542,199 | |
| | 4,900 | | Ageas SA | | | 251,874 | |
| | 1,925 | | Allianz SE | | | 598,013 | |
| | 1,197 | | Allstate Corp. | | | 226,161 | |
| | 1,532 | | American Financial Group, Inc. | | | 204,706 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Insurance – (continued) | |
| | 7,253 | | American International Group, Inc. | | $ | 558,844 | |
| | 619 | | Aon PLC Class A | | | 212,763 | |
| | 4,134 | | Arch Capital Group Ltd.* | | | 467,514 | |
| | 1,356 | | Arthur J Gallagher & Co. | | | 396,725 | |
| | 3,655 | | ASR Nederland NV | | | 179,124 | |
| | 1,611 | | Assurant, Inc. | | | 316,320 | |
| | 26,038 | | Aviva PLC | | | 173,172 | |
| | 9,995 | | AXA SA | | | 380,401 | |
| | 634 | | Baloise Holding AG | | | 122,631 | |
| | 3,029 | | Brown & Brown, Inc. | | | 318,439 | |
| | 2,072 | | Chubb Ltd. | | | 588,821 | |
| | 2,966 | | Cincinnati Financial Corp. | | | 406,431 | |
| | 3,758 | | Dai-ichi Life Holdings, Inc. | | | 108,519 | |
| | 630 | | Erie Indemnity Co. Class A | | | 320,185 | |
| | 1,008 | | Everest Group Ltd. | | | 395,378 | |
| | 320 | | Fairfax Financial Holdings Ltd. | | | 386,322 | |
| | 3,596 | | Fidelity National Financial, Inc. | | | 212,020 | |
| | 19,457 | | Generali | | | 537,002 | |
| | 4,181 | | Gjensidige Forsikring ASA | | | 74,043 | |
| | 4,402 | | Great-West Lifeco, Inc. | | | 144,703 | |
| | 706 | | Hannover Rueck SE | | | 200,302 | |
| | 4,770 | | Hartford Financial Services Group, Inc. | | | 553,797 | |
| | 1,032 | | Helvetia Holding AG | | | 163,656 | |
| | 2,804 | | iA Financial Corp., Inc. | | | 215,515 | |
| | 30,938 | | Insurance Australia Group Ltd. | | | 158,104 | |
| | 574 | | Intact Financial Corp. | | | 108,028 | |
| | 16,408 | | Japan Post Holdings Co. Ltd. | | | 160,325 | |
| | 7,878 | | Japan Post Insurance Co. Ltd. | | | 149,261 | |
| | 16,049 | | Legal & General Group PLC | | | 47,399 | |
| | 6,962 | | Loews Corp. | | | 570,466 | |
| | 11,871 | | Manulife Financial Corp. | | | 327,770 | |
| | 272 | | Markel Group, Inc.* | | | 435,385 | |
| | 3,816 | | Marsh & McLennan Cos., Inc. | | | 868,178 | |
| | 38,138 | | Medibank Pvt Ltd. | | | 99,566 | |
| | 1,888 | | MetLife, Inc. | | | 146,282 | |
| | 6,429 | | MS&AD Insurance Group Holdings, Inc. | | | 148,192 | |
| | 839 | | Muenchener Rueckversicherungs- Gesellschaft AG in Muenchen | | | 453,935 | |
| | 5,526 | | NN Group NV | | | 271,030 | |
| | 5,366 | | Phoenix Group Holdings PLC | | | 39,988 | |
| | 25,471 | | Poste Italiane SpA(a) | | | 354,652 | |
| | 8,066 | | Power Corp. of Canada | | | 247,609 | |
| | 4,489 | | Principal Financial Group, Inc. | | | 365,494 | |
| | 1,954 | | Progressive Corp. | | | 492,799 | |
| | 3,006 | | Prudential Financial, Inc. | | | 364,207 | |
| | 2,441 | | Prudential PLC | | | 21,014 | |
| | 20,082 | | QBE Insurance Group Ltd. | | | 214,154 | |
| | 2,479 | | Sampo OYJ Class A | | | 110,517 | |
| | 7,908 | | Sompo Holdings, Inc. | | | 186,725 | |
| | 2,152 | | Sun Life Financial, Inc. | | | 117,305 | |
| | 19,612 | | Suncorp Group Ltd. | | | 234,218 | |
| | 264 | | Swiss Life Holding AG | | | 214,015 | |
| | 2,917 | | Swiss Re AG | | | 398,535 | |
| | | |
| | |
| 8 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Insurance – (continued) | |
| | 3,106 | | T&D Holdings, Inc. | | $ | 52,625 | |
| | 3,338 | | Talanx AG | | | 287,593 | |
| | 4,749 | | Tokio Marine Holdings, Inc. | | | 180,721 | |
| | 1,635 | | Travelers Cos., Inc. | | | 372,894 | |
| | 5,405 | | Tryg AS | | | 120,551 | |
| | 5,583 | | W.R. Berkley Corp. | | | 333,305 | |
| | 505 | | Willis Towers Watson PLC | | | 147,516 | |
| | 608 | | Zurich Insurance Group AG | | | 352,929 | |
| | | | | | | | |
| | | | | | | 18,849,892 | |
| | | |
| |
| | Interactive Media & Services – 0.4% | |
| | 26,214 | | Alphabet, Inc. Class C | | | 4,328,193 | |
| | 30,273 | | Alphabet, Inc. Class A | | | 4,946,003 | |
| | 60,619 | | Auto Trader Group PLC(a) | | | 680,867 | |
| | 5,480 | | CAR Group Ltd. | | | 140,644 | |
| | 10,691 | | Match Group, Inc.* | | | 397,812 | |
| | 12,015 | | Meta Platforms, Inc. Class A | | | 6,263,540 | |
| | 14,343 | | Pinterest, Inc. Class A* | | | 459,550 | |
| | 1,605 | | REA Group Ltd. | | | 237,733 | |
| | 1,348 | | Scout24 SE(a) | | | 102,832 | |
| | 5,944 | | Snap, Inc. Class A* | | | 55,517 | |
| | | | | | | | |
| | | | | | | 17,612,691 | |
| | | |
| |
| | IT Services – 0.2% | |
| | 3,278 | | Accenture PLC Class A | | | 1,120,912 | |
| | 5,335 | | Akamai Technologies, Inc.* | | | 543,316 | |
| | 4,985 | | Bechtle AG | | | 214,809 | |
| | 933 | | Capgemini SE | | | 193,284 | |
| | 2,427 | | CGI, Inc.* | | | 273,432 | |
| | 879 | | Cloudflare, Inc. Class A* | | | 72,201 | |
| | 10,239 | | Cognizant Technology Solutions Corp. Class A | | | 796,287 | |
| | 1,838 | | EPAM Systems, Inc.* | | | 368,997 | |
| | 6,820 | | Fujitsu Ltd. | | | 126,067 | |
| | 1,231 | | Gartner, Inc.* | | | 605,603 | |
| | 4,399 | | GoDaddy, Inc. Class A* | | | 736,437 | |
| | 6,091 | | International Business Machines Corp. | | | 1,231,174 | |
| | 293 | | MongoDB, Inc.* | | | 85,201 | |
| | 2,626 | | NEC Corp. | | | 232,731 | |
| | 1,099 | | Obic Co. Ltd. | | | 190,208 | |
| | 2,039 | | Okta, Inc.* | | | 160,530 | |
| | 7,600 | | Otsuka Corp. | | | 180,806 | |
| | 10,270 | | SCSK Corp. | | | 206,526 | |
| | 1,360 | | Shopify, Inc. Class A* | | | 100,725 | |
| | 4,278 | | TIS, Inc. | | | 107,211 | |
| | 10,279 | | Twilio, Inc. Class A* | | | 645,110 | |
| | 4,303 | | VeriSign, Inc.* | | | 791,322 | |
| | 2,263 | | Wix.com Ltd.* | | | 377,061 | |
| | | | | | | | |
| | | | | | | 9,359,950 | |
| | | |
| |
| | Leisure Products – 0.0% | |
| | 3,303 | | Bandai Namco Holdings, Inc. | | | 70,960 | |
| | 2,920 | | BRP, Inc. | | | 211,777 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Leisure Products – (continued) | |
| | 170 | | Shimano, Inc. | | $ | 32,118 | |
| | | | | | | | |
| | | | | | | 314,855 | |
| | | |
| |
| | Life Sciences Tools & Services – 0.1% | |
| | 1,029 | | Agilent Technologies, Inc. | | | 147,065 | |
| | 12,301 | | Avantor, Inc.* | | | 317,858 | |
| | 918 | | Bio-Rad Laboratories, Inc. Class A* | | | 309,660 | |
| | 380 | | Bio-Techne Corp. | | | 28,116 | |
| | 849 | | Charles River Laboratories International, Inc.* | | | 167,890 | |
| | 1,747 | | Danaher Corp. | | | 470,485 | |
| | 692 | | Eurofins Scientific SE | | | 39,500 | |
| | 719 | | IQVIA Holdings, Inc.* | | | 180,864 | |
| | 399 | | Mettler-Toledo International, Inc.* | | | 574,193 | |
| | 3,317 | | Qiagen NV* | | | 152,575 | |
| | 920 | | Thermo Fisher Scientific, Inc. | | | 565,864 | |
| | 761 | | Waters Corp.* | | | 263,572 | |
| | 349 | | West Pharmaceutical Services, Inc. | | | 109,457 | |
| | | | | | | | |
| | | | | | | 3,327,099 | |
| | | |
| |
| | Machinery – 0.2% | |
| | 1,239 | | Alfa Laval AB | | | 55,590 | |
| | 8,068 | | Atlas Copco AB Class A | | | 146,782 | |
| | 5,508 | | Atlas Copco AB Class B | | | 87,835 | |
| | 1,787 | | Caterpillar, Inc. | | | 636,351 | |
| | 1,302 | | Cummins, Inc. | | | 407,331 | |
| | 2,667 | | Daimler Truck Holding AG | | | 102,526 | |
| | 669 | | Deere & Co. | | | 258,060 | |
| | 659 | | Dover Corp. | | | 122,594 | |
| | 1,651 | | Epiroc AB Class A | | | 31,841 | |
| | 1,494 | | Epiroc AB Class B | | | 26,525 | |
| | 3,802 | | Fortive Corp. | | | 282,869 | |
| | 1,741 | | GEA Group AG | | | 81,907 | |
| | 1,740 | | Graco, Inc. | | | 145,029 | |
| | 740 | | Hoshizaki Corp. | | | 23,936 | |
| | 4,180 | | Husqvarna AB Class B | | | 28,258 | |
| | 668 | | IDEX Corp. | | | 137,929 | |
| | 1,789 | | Illinois Tool Works, Inc. | | | 452,939 | |
| | 2,410 | | Ingersoll Rand, Inc. | | | 220,394 | |
| | 2,698 | | Knorr-Bremse AG | | | 221,857 | |
| | 3,086 | | Komatsu Ltd. | | | 86,354 | |
| | 12,160 | | Mitsubishi Heavy Industries Ltd. | | | 163,945 | |
| | 606 | | Nordson Corp. | | | 155,475 | |
| | 3,723 | | Otis Worldwide Corp. | | | 352,531 | |
| | 3,196 | | PACCAR, Inc. | | | 307,391 | |
| | 584 | | Parker-Hannifin Corp. | | | 350,517 | |
| | 1,571 | | Pentair PLC | | | 139,332 | |
| | 531 | | Rational AG | | | 535,988 | |
| | 2,893 | | Sandvik AB | | | 61,631 | |
| | 239 | | Schindler Holding AG | | | 65,298 | |
| | 9,295 | | SKF AB Class B | | | 176,128 | |
| | 1,438 | | Snap-on, Inc. | | | 408,018 | |
| | 1,680 | | Stanley Black & Decker, Inc. | | | 171,965 | |
| | 14,880 | | Techtronic Industries Co. Ltd. | | | 199,374 | |
| | | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 9 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
|
Schedule of Investments (continued) August 31, 2024 |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Machinery – (continued) | |
| | 2,687 | | Toro Co. | | $ | 248,816 | |
| | 851 | | Toyota Industries Corp. | | | 67,429 | |
| | 1,026 | | Trelleborg AB Class B | | | 40,069 | |
| | 343 | | VAT Group AG(a) | | | 177,950 | |
| | 9,404 | | Volvo AB Class B | | | 250,057 | |
| | 5,098 | | Volvo AB Class A | | | 137,231 | |
| | 2,006 | | Wartsila OYJ Abp | | | 44,243 | |
| | 2,660 | | Westinghouse Air Brake Technologies Corp. | | | 451,056 | |
| | 1,018 | | Xylem, Inc. | | | 140,005 | |
| | 676 | | Yaskawa Electric Corp. | | | 22,524 | |
| | | | | | | | |
| | | | | | | 8,223,880 | |
| | | |
| |
| | Marine Transportation – 0.0% | |
| | 9,339 | | Kawasaki Kisen Kaisha Ltd. | | | 137,955 | |
| | 1,387 | | Kuehne & Nagel International AG | | | 430,398 | |
| | 3,287 | | Mitsui OSK Lines Ltd. | | | 118,580 | |
| | 5,376 | | Nippon Yusen KK | | | 195,035 | |
| | | | | | | | |
| | | | | | | 881,968 | |
| | | |
| | |
| | Media – 0.1% | | | | |
| | 950 | | Charter Communications, Inc. Class A* | | | 330,163 | |
| | 18,672 | | Comcast Corp. Class A | | | 738,851 | |
| | 2,322 | | Dentsu Group, Inc. | | | 71,410 | |
| | 12,017 | | Fox Corp. Class A | | | 497,143 | |
| | 12,970 | | Fox Corp. Class B | | | 498,437 | |
| | 12,824 | | Informa PLC | | | 141,190 | |
| | 11,049 | | News Corp. Class A | | | 313,018 | |
| | 2,289 | | Omnicom Group, Inc. | | | 229,884 | |
| | 12,516 | | Paramount Global Class B | | | 131,043 | |
| | 1,842 | | Publicis Groupe SA | | | 203,160 | |
| | 814 | | Trade Desk, Inc. Class A* | | | 85,087 | |
| | 17,940 | | Vivendi SE | | | 201,249 | |
| | 13,713 | | WPP PLC | | | 131,356 | |
| | | | | | | | |
| | | | | | | 3,571,991 | |
| | | |
| |
| | Metals & Mining – 0.1% | |
| | 661 | | Agnico Eagle Mines Ltd./Mines Agnico Eagle Ltd. | | | 53,855 | |
| | 12,151 | | ArcelorMittal SA | | | 284,669 | |
| | 9,041 | | BHP Group Ltd. | | | 248,931 | |
| | 24,055 | | BlueScope Steel Ltd. | | | 335,133 | |
| | 21,863 | | Cleveland-Cliffs, Inc.* | | | 285,531 | |
| | 11,709 | | Fortescue Ltd. | | | 144,249 | |
| | 41,127 | | Glencore PLC | | | 216,988 | |
| | 2,990 | | Ivanhoe Mines Ltd. Class A* | | | 39,870 | |
| | 14,609 | | JFE Holdings, Inc. | | | 202,526 | |
| | 8,691 | | Nippon Steel Corp. | | | 198,335 | |
| | 6,003 | | Northern Star Resources Ltd. | | | 61,295 | |
| | 1,944 | | Nucor Corp. | | | 295,313 | |
| | 76,206 | | Pilbara Minerals Ltd. | | | 152,570 | |
| | 839 | | Reliance, Inc. | | | 240,499 | |
| | 1,184 | | Rio Tinto Ltd. | | | 88,642 | |
| | 2,057 | | Steel Dynamics, Inc. | | | 245,832 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Metals & Mining – (continued) | |
| | 11,694 | | voestalpine AG | | $ | 285,336 | |
| | | | | | | | |
| | | | | | | 3,379,574 | |
| | | |
| |
| | Mortgage Real Estate Investment Trusts (REITs) – 0.0% | |
| | 2,641 | | Annaly Capital Management, Inc. | | | 53,243 | |
| | | |
| |
| | Multi-Utilities – 0.1% | |
| | 1,143 | | Ameren Corp. | | | 94,309 | |
| | 1,051 | | Canadian Utilities Ltd. Class A | | | 26,516 | |
| | 4,529 | | CenterPoint Energy, Inc. | | | 123,642 | |
| | 154,614 | | Centrica PLC | | | 262,531 | |
| | 1,778 | | CMS Energy Corp. | | | 120,655 | |
| | 1,452 | | Consolidated Edison, Inc. | | | 147,465 | |
| | 883 | | DTE Energy Co. | | | 110,393 | |
| | 15,485 | | E.ON SE | | | 219,518 | |
| | 10,385 | | Engie SA | | | 182,903 | |
| | 7,712 | | National Grid PLC | | | 101,584 | |
| | 4,214 | | NiSource, Inc. | | | 139,315 | |
| | 1,971 | | Public Service Enterprise Group, Inc. | | | 159,158 | |
| | 30,974 | | Sembcorp Industries Ltd. | | | 117,144 | |
| | 1,666 | | Sempra | | | 136,912 | |
| | 2,117 | | Veolia Environnement SA | | | 70,132 | |
| | 1,182 | | WEC Energy Group, Inc. | | | 109,961 | |
| | | | | | | | |
| | | | | | | 2,122,138 | |
| | | |
| |
| | Office REITs – 0.0% | |
| | 3,737 | | BXP, Inc. | | | 281,097 | |
| | 30 | | Japan Real Estate Investment Corp. | | | 120,531 | |
| | 25 | | Nippon Building Fund, Inc. | | | 112,185 | |
| | | | | | | | |
| | | | | | | 513,813 | |
| | | |
| |
| | Oil, Gas & Consumable Fuels – 0.3% | |
| | 1,678 | | Aker BP ASA | | | 40,198 | |
| | 9,512 | | Ampol Ltd. | | | 186,107 | |
| | 2,465 | | APA Corp. | | | 70,228 | |
| | 8,934 | | ARC Resources Ltd. | | | 165,335 | |
| | 74,673 | | BP PLC | | | 422,744 | |
| | 1,981 | | Cameco Corp. | | | 80,833 | |
| | 4,978 | | Canadian Natural Resources Ltd. | | | 180,185 | |
| | 20,765 | | Cenovus Energy, Inc. | | | 385,053 | |
| | 1,541 | | Cheniere Energy, Inc. | | | 285,486 | |
| | 526 | | Chesapeake Energy Corp. | | | 39,182 | |
| | 6,694 | | Chevron Corp. | | | 990,377 | |
| | 3,363 | | ConocoPhillips | | | 382,676 | |
| | 2,636 | | Coterra Energy, Inc. | | | 64,134 | |
| | 1,718 | | Devon Energy Corp. | | | 76,932 | |
| | 822 | | Diamondback Energy, Inc. | | | 160,380 | |
| | 4,566 | | Enbridge, Inc. | | | 183,704 | |
| | 38,472 | | ENEOS Holdings, Inc. | | | 209,279 | |
| | 25,257 | | Eni SpA | | | 411,013 | |
| | 2,700 | | EOG Resources, Inc. | | | 347,814 | |
| | 6,187 | | Equinor ASA | | | 166,013 | |
| | 15,739 | | Exxon Mobil Corp. | | | 1,856,258 | |
| | 6,773 | | Galp Energia SGPS SA | | | 140,702 | |
| | | |
| | |
| 10 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Oil, Gas & Consumable Fuels – (continued) | |
| | 7,532 | | HF Sinclair Corp. | | $ | 370,122 | |
| | 20,609 | | Idemitsu Kosan Co. Ltd. | | | 150,629 | |
| | 3,057 | | Imperial Oil Ltd. | | | 230,242 | |
| | 15,883 | | Inpex Corp. | | | 234,135 | |
| | 3,672 | | Keyera Corp. | | | 109,998 | |
| | 11,843 | | Kinder Morgan, Inc. | | | 255,454 | |
| | 9,397 | | Marathon Oil Corp. | | | 269,224 | |
| | 3,111 | | Marathon Petroleum Corp. | | | 551,020 | |
| | 10,336 | | MEG Energy Corp.* | | | 205,853 | |
| | 3,575 | | Occidental Petroleum Corp. | | | 203,703 | |
| | 1,196 | | OMV AG | | | 52,165 | |
| | 3,075 | | ONEOK, Inc. | | | 284,007 | |
| | 4,513 | | Ovintiv, Inc. | | | 193,292 | |
| | 9,898 | | Parkland Corp. | | | 267,859 | |
| | 3,969 | | Pembina Pipeline Corp. | | | 159,891 | |
| | 3,469 | | Phillips 66 | | | 486,735 | |
| | 20,348 | | Repsol SA | | | 279,418 | |
| | 26,297 | | Santos Ltd. | | | 128,208 | |
| | 22,726 | | Shell PLC | | | 805,262 | |
| | 8,755 | | Suncor Energy, Inc. | | | 355,098 | |
| | 1,686 | | Targa Resources Corp. | | | 247,673 | |
| | 2,158 | | TC Energy Corp. | | | 99,954 | |
| | 10,018 | | TotalEnergies SE | | | 689,156 | |
| | 3,263 | | Valero Energy Corp. | | | 478,780 | |
| | 8,726 | | Williams Cos., Inc. | | | 399,389 | |
| | 1,131 | | Woodside Energy Group Ltd. | | | 20,719 | |
| | | | | | | | |
| | | | | | | 14,372,619 | |
| | | |
| |
| | Paper & Forest Products – 0.0% | |
| | 1,699 | | Holmen AB Class B | | | 69,503 | |
| | 5,440 | | Mondi PLC | | | 105,537 | |
| | | | | | | | |
| | | | | | | 175,040 | |
| | | |
| |
| | Passenger Airlines – 0.0% | |
| | 10,622 | | Air Canada* | | | 121,696 | |
| | 12,626 | | ANA Holdings, Inc. | | | 255,221 | |
| | 1,911 | | Delta Air Lines, Inc. | | | 81,199 | |
| | 43,662 | | Deutsche Lufthansa AG | | | 283,634 | |
| | 16,075 | | Japan Airlines Co. Ltd. | | | 269,900 | |
| | 65,033 | | Singapore Airlines Ltd. | | | 313,011 | |
| | | | | | | | |
| | | | | | | 1,324,661 | |
| | | |
| |
| | Personal Products – 0.1% | |
| | 1,503 | | Beiersdorf AG | | | 217,334 | |
| | 2,065 | | Estee Lauder Cos., Inc. Class A | | | 189,278 | |
| | 27,566 | | Haleon PLC | | | 138,843 | |
| | 1,419 | | Kao Corp. | | | 63,588 | |
| | 13,298 | | Kenvue, Inc. | | | 291,891 | |
| | 1,365 | | L’Oreal SA | | | 598,900 | |
| | 13,489 | | Shiseido Co. Ltd. | | | 300,607 | |
| | 5,125 | | Unilever PLC | | | 332,234 | |
| | | | | | | | |
| | | | | | | 2,132,675 | |
| | | |
| |
| | Pharmaceuticals – 0.4% | |
| | 10,554 | | Astellas Pharma, Inc. | | | 131,154 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Pharmaceuticals – (continued) | |
| | 4,594 | | AstraZeneca PLC | | $ | 805,169 | |
| | 2,853 | | Bayer AG | | | 88,091 | |
| | 17,381 | | Bristol-Myers Squibb Co. | | | 868,181 | |
| | 2,849 | | Chugai Pharmaceutical Co. Ltd. | | | 143,825 | |
| | 2,565 | | Daiichi Sankyo Co. Ltd. | | | 107,673 | |
| | 6,045 | | Eisai Co. Ltd. | | | 253,726 | |
| | 3,418 | | Eli Lilly & Co. | | | 3,281,348 | |
| | 28,700 | | GSK PLC | | | 625,073 | |
| | 14,329 | | Hikma Pharmaceuticals PLC | | | 374,536 | |
| | 4,866 | | Ipsen SA | | | 590,075 | |
| | 9,498 | | Johnson & Johnson | | | 1,575,338 | |
| | 11,753 | | Merck & Co., Inc. | | | 1,392,143 | |
| | 7,943 | | Novartis AG | | | 959,659 | |
| | 13,543 | | Novo Nordisk AS Class B | | | 1,881,260 | |
| | 10,971 | | Ono Pharmaceutical Co. Ltd. | | | 162,188 | |
| | 6,750 | | Orion OYJ Class B | | | 357,926 | |
| | 4,870 | | Otsuka Holdings Co. Ltd. | | | 287,109 | |
| | 6,341 | | Pfizer, Inc. | | | 183,952 | |
| | 2,146 | | Recordati Industria Chimica e Farmaceutica SpA | | | 126,000 | |
| | 3,285 | | Roche Holding AG | | | 1,126,343 | |
| | 17,816 | | Royalty Pharma PLC Class A | | | 517,199 | |
| | 4,691 | | Sanofi SA | | | 526,509 | |
| | 3,148 | | Shionogi & Co. Ltd. | | | 146,640 | |
| | 8,514 | | Takeda Pharmaceutical Co. Ltd. | | | 253,479 | |
| | 38,675 | | Teva Pharmaceutical Industries Ltd.* | | | 729,797 | |
| | 1,061 | | UCB SA | | | 192,161 | |
| | 74,964 | | Viatris, Inc. | | | 905,565 | |
| | 1,985 | | Zoetis, Inc. | | | 364,228 | |
| | | | | | | | |
| | | | | | | 18,956,347 | |
| | | |
| |
| | Professional Services – 0.1% | |
| | 892 | | Adecco Group AG | | | 30,412 | |
| | 1,603 | | Automatic Data Processing, Inc. | | | 442,284 | |
| | 1,337 | | Booz Allen Hamilton Holding Corp. | | | 212,289 | |
| | 1,277 | | Broadridge Financial Solutions, Inc. | | | 271,822 | |
| | 1,794 | | Bureau Veritas SA | | | 59,060 | |
| | 6,818 | | Computershare Ltd. | | | 131,078 | |
| | 2,019 | | Experian PLC | | | 98,099 | |
| | 2,048 | | Intertek Group PLC | | | 133,817 | |
| | 1,338 | | Jacobs Solutions, Inc. | | | 201,877 | |
| | 2,349 | | Leidos Holdings, Inc. | | | 372,340 | |
| | 1,498 | | Paychex, Inc. | | | 196,538 | |
| | 146 | | Paycom Software, Inc. | | | 23,766 | |
| | 8,487 | | Randstad NV | | | 409,411 | |
| | 14,085 | | Recruit Holdings Co. Ltd. | | | 878,368 | |
| | 12,346 | | RELX PLC | | | 576,313 | |
| | 4,372 | | SGS SA | | | 488,282 | |
| | 3,721 | | SS&C Technologies Holdings, Inc. | | | 279,410 | |
| | 1,622 | | Teleperformance SE | | | 176,739 | |
| | 629 | | Thomson Reuters Corp. | | | 107,733 | |
| | 1,342 | | Verisk Analytics, Inc. | | | 366,124 | |
| | | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 11 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
|
Schedule of Investments (continued) August 31, 2024 |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Professional Services – (continued) | |
| | 3,045 | | Wolters Kluwer NV | | $ | 520,717 | |
| | | | | | | | |
| | | | | | | 5,976,479 | |
| | | |
| |
| | Real Estate Management & Development – 0.0% | |
| | 763 | | Azrieli Group Ltd. | | | 52,011 | |
| | 972 | | Daito Trust Construction Co. Ltd. | | | 119,966 | |
| | 3,501 | | Daiwa House Industry Co. Ltd. | | | 107,826 | |
| | 398 | | FirstService Corp. | | | 71,744 | |
| | 15,209 | | Hongkong Land Holdings Ltd. | | | 57,067 | |
| | 11,490 | | Hulic Co. Ltd. | | | 119,044 | |
| | 4,378 | | Mitsubishi Estate Co. Ltd. | | | 75,323 | |
| | 7,257 | | Mitsui Fudosan Co. Ltd. | | | 78,608 | |
| | 799 | | Nomura Real Estate Holdings, Inc. | | | 23,016 | |
| | 20,568 | | Sino Land Co. Ltd. | | | 21,996 | |
| | 950 | | Swiss Prime Site AG | | | 106,968 | |
| | 1,753 | | Vonovia SE | | | 60,593 | |
| | | | | | | | |
| | | | | | | 894,162 | |
| | | |
| |
| | Residential REITs – 0.0% | |
| | 3,543 | | American Homes 4 Rent Class A | | | 140,905 | |
| | 637 | | AvalonBay Communities, Inc. | | | 143,790 | |
| | 1,446 | | Camden Property Trust | | | 181,039 | |
| | 2,009 | | Equity LifeStyle Properties, Inc. | | | 146,075 | |
| | 1,736 | | Equity Residential | | | 129,992 | |
| | 304 | | Essex Property Trust, Inc. | | | 91,744 | |
| | 3,571 | | Invitation Homes, Inc. | | | 131,556 | |
| | 628 | | Mid-America Apartment Communities, Inc. | | | 101,968 | |
| | 929 | | Sun Communities, Inc. | | | 125,638 | |
| | 2,196 | | UDR, Inc. | | | 97,744 | |
| | | | | | | | |
| | | | | | | 1,290,451 | |
| | | |
| |
| | Retail REITs – 0.0% | |
| | 16,556 | | CapitaLand Integrated Commercial Trust | | | 26,900 | |
| | 1,951 | | Kimco Realty Corp. | | | 45,380 | |
| | 2,526 | | Klepierre SA | | | 75,405 | |
| | 2,647 | | Realty Income Corp. | | | 164,405 | |
| | 2,049 | | Regency Centers Corp. | | | 148,942 | |
| | 16,689 | | Scentre Group | | | 38,670 | |
| | 1,388 | | Simon Property Group, Inc. | | | 232,282 | |
| | 574 | | Unibail-Rodamco-Westfield* | | | 45,899 | |
| | | | | | | | |
| | | | | | | 777,883 | |
| | | |
| |
| | Semiconductors & Semiconductor Equipment – 0.8% | |
| | 4,336 | | Advanced Micro Devices, Inc.* | | | 644,156 | |
| | 8,856 | | Advantest Corp. | | | 407,726 | |
| | 1,744 | | Analog Devices, Inc. | | | 409,561 | |
| | 5,725 | | Applied Materials, Inc. | | | 1,129,314 | |
| | 149 | | ASM International NV | | | 101,451 | |
| | 1,234 | | ASML Holding NV | | | 1,112,863 | |
| | 999 | | BE Semiconductor Industries NV | | | 131,743 | |
| | 16,240 | | Broadcom, Inc. | | | 2,644,197 | |
| | 404 | | Disco Corp. | | | 117,125 | |
| | 1,287 | | Enphase Energy, Inc.* | | | 155,779 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Semiconductors & Semiconductor Equipment – (continued) | |
| | 9,431 | | Intel Corp. | | $ | 207,859 | |
| | 823 | | KLA Corp. | | | 674,391 | |
| | 799 | | Lam Research Corp. | | | 655,987 | |
| | 179 | | Lasertec Corp. | | | 34,908 | |
| | 5,831 | | Lattice Semiconductor Corp.* | | | 276,156 | |
| | 285 | | Marvell Technology, Inc. | | | 21,728 | |
| | 4,515 | | Microchip Technology, Inc. | | | 370,952 | |
| | 3,131 | | Micron Technology, Inc. | | | 301,327 | |
| | 404 | | Monolithic Power Systems, Inc. | | | 377,611 | |
| | 146,150 | | NVIDIA Corp. | | | 17,445,926 | |
| | 1,326 | | NXP Semiconductors NV | | | 339,933 | |
| | 3,104 | | ON Semiconductor Corp.* | | | 241,709 | |
| | 6,751 | | Qorvo, Inc.* | | | 782,373 | |
| | 6,497 | | QUALCOMM, Inc. | | | 1,138,924 | |
| | 7,939 | | Renesas Electronics Corp. | | | 138,214 | |
| | 377 | | SCREEN Holdings Co. Ltd. | | | 28,587 | |
| | 8,173 | | Skyworks Solutions, Inc. | | | 895,679 | |
| | 3,195 | | STMicroelectronics NV | | | 103,026 | |
| | 4,611 | | SUMCO Corp. | | | 53,267 | |
| | 2,353 | | Teradyne, Inc. | | | 321,726 | |
| | 3,229 | | Texas Instruments, Inc. | | | 692,104 | |
| | 1,460 | | Tokyo Electron Ltd. | | | 262,771 | |
| | | | | | | | |
| | | | | | | 32,219,073 | |
| | | |
| | |
| | Software – 0.9% | | | | |
| | 2,485 | | Adobe, Inc.* | | | 1,427,409 | |
| | 78 | | ANSYS, Inc.* | | | 25,071 | |
| | 4,518 | | AppLovin Corp. Class A* | | | 419,587 | |
| | 1,114 | | Aspen Technology, Inc.* | | | 260,832 | |
| | 2,935 | | Atlassian Corp. Class A* | | | 486,036 | |
| | 1,887 | | Autodesk, Inc.* | | | 487,601 | |
| | 574 | | Bentley Systems, Inc. Class B | | | 29,544 | |
| | 2,856 | | Cadence Design Systems, Inc.* | | | 768,064 | |
| | 1,320 | | Check Point Software Technologies Ltd.* | | | 254,100 | |
| | 2,243 | | Confluent, Inc. Class A* | | | 47,596 | |
| | 291 | | Constellation Software, Inc. | | | 950,247 | |
| | 708 | | Crowdstrike Holdings, Inc. Class A* | | | 196,314 | |
| | 421 | | CyberArk Software Ltd.* | | | 120,718 | |
| | 1,730 | | Dassault Systemes SE | | | 67,608 | |
| | 1,799 | | Datadog, Inc. Class A* | | | 209,152 | |
| | 1,453 | | Descartes Systems Group, Inc.* | | | 146,513 | |
| | 14,081 | | DocuSign, Inc.* | | | 833,736 | |
| | 1,986 | | Dynatrace, Inc.* | | | 100,531 | |
| | 538 | | Fair Isaac Corp.* | | | 930,885 | |
| | 7,926 | | Fortinet, Inc.* | | | 608,004 | |
| | 15,936 | | Gen Digital, Inc. | | | 421,667 | |
| | 821 | | HubSpot, Inc.* | | | 409,737 | |
| | 1,236 | | Intuit, Inc. | | | 779,001 | |
| | 3,121 | | Manhattan Associates, Inc.* | | | 825,286 | |
| | 40,435 | | Microsoft Corp. | | | 16,867,056 | |
| | 560 | | MicroStrategy, Inc. Class A* | | | 74,155 | |
| | 978 | | Monday.com Ltd.* | | | 260,040 | |
| | 4,572 | | Nemetschek SE | | | 478,748 | |
| | | |
| | |
| 12 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Software – (continued) | |
| | 289 | | Nice Ltd.* | | $ | 50,364 | |
| | 2,445 | | Open Text Corp. | | | 77,796 | |
| | 4,597 | | Oracle Corp. | | | 649,510 | |
| | 587 | | Oracle Corp. Japan | | | 53,159 | |
| | 9,079 | | Palantir Technologies, Inc. Class A* | | | 285,807 | |
| | 1,143 | | Palo Alto Networks, Inc.* | | | 414,589 | |
| | 1,815 | | PTC, Inc.* | | | 325,048 | |
| | 864 | | Roper Technologies, Inc. | | | 479,010 | |
| | 31,964 | | Sage Group PLC | | | 425,610 | |
| | 4,074 | | Salesforce, Inc. | | | 1,030,315 | |
| | 3,600 | | SAP SE | | | 789,996 | |
| | 902 | | ServiceNow, Inc.* | | | 771,210 | |
| | 943 | | Synopsys, Inc.* | | | 489,964 | |
| | 3,204 | | Trend Micro, Inc. | | | 192,634 | |
| | 291 | | Tyler Technologies, Inc.* | | | 171,070 | |
| | 1,472 | | UiPath, Inc. Class A* | | | 18,959 | |
| | 1,428 | | Unity Software, Inc.* | | | 23,376 | |
| | 1,656 | | WiseTech Global Ltd. | | | 133,439 | |
| | 520 | | Workday, Inc. Class A* | | | 136,859 | |
| | 3,803 | | Xero Ltd.* | | | 368,847 | |
| | 9,038 | | Zoom Video Communications, Inc. Class A* | | | 624,345 | |
| | 500 | | Zscaler, Inc.* | | | 99,990 | |
| | | | | | | | |
| | | | | | | 36,097,135 | |
| | | |
| |
| | Specialized REITs – 0.0% | |
| | 889 | | Digital Realty Trust, Inc. | | | 134,781 | |
| | 3,525 | | Gaming & Leisure Properties, Inc. | | | 183,371 | |
| | 2,073 | | Iron Mountain, Inc. | | | 234,788 | |
| | 209 | | Public Storage | | | 71,837 | |
| | 4,966 | | VICI Properties, Inc. | | | 166,262 | |
| | 3,266 | | Weyerhaeuser Co. | | | 99,580 | |
| | | | | | | | |
| | | | | | | 890,619 | |
| | | |
| |
| | Specialty Retail – 0.3% | |
| | 291 | | AutoZone, Inc.* | | | 925,811 | |
| | 5,393 | | Avolta AG | | | 209,562 | |
| | 12,523 | | Bath & Body Works, Inc. | | | 385,207 | |
| | 8,630 | | Best Buy Co., Inc. | | | 866,452 | |
| | 1,696 | | Burlington Stores, Inc.* | | | 454,935 | |
| | 3,723 | | Dick’s Sporting Goods, Inc. | | | 882,202 | |
| | 685 | | Fast Retailing Co. Ltd. | | | 220,444 | |
| | 21,312 | | H & M Hennes & Mauritz AB Class B | | | 337,081 | |
| | 5,435 | | Home Depot, Inc. | | | 2,002,797 | |
| | 9,605 | | Industria de Diseno Textil SA | | | 520,356 | |
| | 332,012 | | JD Sports Fashion PLC | | | 605,173 | |
| | 113,677 | | Kingfisher PLC | | | 427,166 | |
| | 4,162 | | Lowe’s Cos., Inc. | | | 1,034,257 | |
| | 613 | | Nitori Holdings Co. Ltd. | | | 89,823 | |
| | 759 | | O’Reilly Automotive, Inc.* | | | 857,647 | |
| | 2,704 | | Ross Stores, Inc. | | | 407,249 | |
| | 9,974 | | TJX Cos., Inc. | | | 1,169,651 | |
| | 1,832 | | Tractor Supply Co. | | | 490,152 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Specialty Retail – (continued) | |
| | 1,871 | | Ulta Beauty, Inc.* | | $ | 660,164 | |
| | 4,306 | | Williams-Sonoma, Inc. | | | 578,425 | |
| | 11,957 | | Zalando SE*(a) | | | 310,012 | |
| | 23,704 | | ZOZO, Inc. | | | 754,730 | |
| | | | | | | | |
| | | | | | | 14,189,296 | |
| | | |
| |
| | Technology Hardware, Storage & Peripherals – 0.5% | |
| | 82,587 | | Apple, Inc. | | | 18,912,423 | |
| | 12,980 | | Brother Industries Ltd. | | | 242,677 | |
| | 5,694 | | Canon, Inc. | | | 195,557 | |
| | 3,848 | | Dell Technologies, Inc. Class C | | | 444,598 | |
| | 5,250 | | FUJIFILM Holdings Corp. | | | 141,590 | |
| | 27,060 | | Hewlett Packard Enterprise Co. | | | 524,152 | |
| | 11,908 | | HP, Inc. | | | 430,831 | |
| | 3,335 | | Logitech International SA | | | 302,923 | |
| | 2,911 | | NetApp, Inc. | | | 351,416 | |
| | 2,514 | | Pure Storage, Inc. Class A* | | | 128,943 | |
| | 40,760 | | Ricoh Co. Ltd. | | | 428,683 | |
| | 1,016 | | Seagate Technology Holdings PLC | | | 101,143 | |
| | 12,602 | | Seiko Epson Corp. | | | 235,626 | |
| | 274 | | Super Micro Computer, Inc.* | | | 119,930 | |
| | 1,667 | | Western Digital Corp.* | | | 109,338 | |
| | | | | | | | |
| | | | | | | 22,669,830 | |
| | | |
| |
| | Textiles, Apparel & Luxury Goods – 0.1% | |
| | 2,024 | | adidas AG | | | 519,284 | |
| | 11,432 | | Asics Corp. | | | 226,831 | |
| | 28,417 | | Burberry Group PLC | | | 249,657 | |
| | 845 | | Cie Financiere Richemont SA Class A | | | 133,428 | |
| | 886 | | Deckers Outdoor Corp.* | | | 849,931 | |
| | 212 | | Hermes International SCA | | | 507,414 | |
| | 231 | | Kering SA | | | 66,240 | |
| | 1,744 | | Lululemon Athletica, Inc.* | | | 452,516 | |
| | 741 | | LVMH Moet Hennessy Louis Vuitton SE | | | 551,539 | |
| | 4,096 | | Moncler SpA | | | 251,289 | |
| | 6,694 | | NIKE, Inc. Class B | | | 557,744 | |
| | 3,342 | | Pandora AS | | | 585,362 | |
| | 7,838 | | Puma SE | | | 338,273 | |
| | 2,227 | | Swatch Group AG | | | 149,049 | |
| | | | | | | | |
| | | | | | | 5,438,557 | |
| | | |
| | |
| | Tobacco – 0.0% | | | | |
| | 5,737 | | Altria Group, Inc. | | | 308,478 | |
| | 10,771 | | British American Tobacco PLC | | | 403,175 | |
| | 9,372 | | Imperial Brands PLC | | | 269,001 | |
| | 7,232 | | Japan Tobacco, Inc. | | | 208,790 | |
| | 4,889 | | Philip Morris International, Inc. | | | 602,765 | |
| | | | | | | | |
| | | | | | | 1,792,209 | |
| | | |
| |
| | Trading Companies & Distributors – 0.2% | |
| | 1,283 | | AerCap Holdings NV | | | 124,990 | |
| | 554 | | Ashtead Group PLC | | | 39,447 | |
| | 3,160 | | Brenntag SE | | | 234,988 | |
| | | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 13 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
|
Schedule of Investments (continued) August 31, 2024 |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Common Stocks – (continued) | |
| |
| | Trading Companies & Distributors – (continued) | |
| | 4,683 | | Bunzl PLC | | $ | 218,630 | |
| | 11,927 | | Fastenal Co. | | | 814,376 | |
| | 3,250 | | Ferguson Enterprises, Inc. | | | 668,557 | |
| | 252 | | IMCD NV | | | 41,267 | |
| | 5,486 | | ITOCHU Corp. | | | 292,097 | |
| | 23,125 | | Marubeni Corp. | | | 398,896 | |
| | 13,542 | | Mitsubishi Corp. | | | 281,922 | |
| | 14,740 | | Mitsui & Co. Ltd. | | | 318,594 | |
| | 31,199 | | MonotaRO Co. Ltd. | | | 493,480 | |
| | 4,061 | | Reece Ltd. | | | 74,966 | |
| | 5,821 | | Rexel SA | | | 146,877 | |
| | 4,679 | | Seven Group Holdings Ltd. | | | 129,980 | |
| | 11,090 | | Sumitomo Corp. | | | 263,702 | |
| | 542 | | Toromont Industries Ltd. | | | 48,531 | |
| | 12,729 | | Toyota Tsusho Corp. | | | 245,978 | |
| | 285 | | United Rentals, Inc. | | | 211,259 | |
| | 609 | | Watsco, Inc. | | | 289,531 | |
| | 894 | | WW Grainger, Inc. | | | 880,518 | |
| | | | | | | | |
| | | | | | | 6,218,586 | |
| | | |
| |
| | Transportation Infrastructure – 0.0% | |
| | 589 | | Aena SME SA(a) | | | 118,534 | |
| | 5,223 | | Getlink SE | | | 94,194 | |
| | 7,996 | | Transurban Group | | | 73,078 | |
| | | | | | | | |
| | | | | | | 285,806 | |
| | | |
| |
| | Water Utilities – 0.0% | |
| | 521 | | American Water Works Co., Inc. | | | 74,565 | |
| | 1,536 | | Essential Utilities, Inc. | | | 59,889 | |
| | 1,516 | | Severn Trent PLC | | | 51,327 | |
| | 3,834 | | United Utilities Group PLC | | | 51,523 | |
| | | | | | | | |
| | | | | | | 237,304 | |
| | | |
| |
| | Wireless Telecommunication Services – 0.0% | |
| | 6,282 | | KDDI Corp. | | | 211,937 | |
| | 799 | | Rogers Communications, Inc. Class B | | | 32,389 | |
| | 20,131 | | SoftBank Corp. | | | 281,665 | |
| | 1,250 | | SoftBank Group Corp. | | | 72,572 | |
| | 3,653 | | Tele2 AB Class B | | | 41,446 | |
| | 2,261 | | T-Mobile U.S., Inc. | | | 449,306 | |
| | 364,213 | | Vodafone Group PLC | | | 357,003 | |
| | | | | | | | |
| | | | | | | 1,446,318 | |
| | | |
| | TOTAL COMMON STOCKS
(Cost $285,976,246) | | $ | 426,567,985 | |
| | | |
| | | |
| | | Shares | | Dividend Rate | | Value | |
| |
| | Preferred Stocks – 0.0% | |
| |
| | Auto Manufacturers – 0.0% | |
| | Bayerische Motoren Werke AG | |
| | 353 | | 7.625% | | $ | 30,551 | |
| | | |
| | | | | | | | |
| | | Shares | | Dividend Rate | | Value | |
| |
| | Preferred Stocks – (continued) | |
| |
| | Auto Manufacturers – (continued) | |
| | Porsche Automobil Holding SE | |
| | 1,680 | | 6.301% | | $ | 75,598 | |
| | | | | | | | |
| | | | | | | 106,149 | |
| | | |
| |
| | Household Products – 0.0% | |
| | Henkel AG & Co. KGaA | |
| | 2,622 | | 2.235 | | | 240,176 | |
| | | |
| | TOTAL PREFERRED STOCKS (Cost $329,188) | | $ | 346,325 | |
| | | |
| | | |
| | | Units | | Expiration Date | | Value | |
| |
| | Warrants*(b) –0.0% | |
| | Constellation Software, Inc. | |
| | 264 | | 03/31/40 | | $ | — | |
| | (Cost $—) | | | | |
| | | |
| | | |
| | | Shares | | Description | | Value | |
| |
| | Exchange Traded Funds – 80.5% | |
| | 1,433,474 | | Goldman Sachs ActiveBeta Emerging Markets Equity ETF(c) | | $ | 47,673,045 | |
| | 9,542,312 | | Goldman Sachs MarketBeta International Equity ETF(c) | | | 565,976,472 | |
| | 5,333,639 | | Goldman Sachs MarketBeta Russell 1000 Growth Equity ETF(c) | | | 266,945,431 | |
| | 10,198,774 | | Goldman Sachs MarketBeta Russell 1000 Value Equity ETF(c) | | | 493,658,397 | |
| | 12,431,424 | | Goldman Sachs MarketBeta U.S. Equity ETF(c) | | | 962,813,789 | |
| | 3,326,687 | | iShares Core MSCI EAFE ETF | | | 256,786,970 | |
| | 8,223,579 | | iShares Core MSCI Emerging Markets ETF | | | 447,856,112 | |
| | 1,716 | | iShares MSCI Canada ETF | | | 69,481 | |
| | 8,880 | | iShares MSCI EAFE ETF | | | 736,862 | |
| | 2,676,705 | | iShares MSCI EAFE Small-Cap ETF | | | 176,662,530 | |
| | 81,240 | | iShares U.S. Technology ETF | | | 12,004,022 | |
| | 2,614,608 | | SPDR Portfolio S&P 500 Growth ETF | | | 211,129,597 | |
| | 2,275 | | Vanguard S&P 500 ETF | | | 1,178,541 | |
| | | |
| | |
| | TOTAL EXCHANGE TRADED FUNDS (Cost $2,888,682,090) | | $ | 3,443,491,249 | |
| | | |
| | |
| 14 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
| | | | | | | | |
| | | Shares | | Dividend Rate | | Value | |
| |
| | Investment Company(c) –5.0% | |
| |
| | Goldman Sachs Financial Square Government Fund —
Institutional Shares | |
| | 215,810,091 | | 5.183% | | $ | 215,810,091 | |
| | (Cost $ 215,810,091) | | | | |
| | | |
| | TOTAL INVESTMENTS – 95.5% (Cost $ 3,390,797,615) | | $ | 4,086,215,650 | |
| | | |
| | OTHER ASSETS IN EXCESS OF LIABILITIES – 4.5% | | | 193,125,329 | |
| | | |
| | NET ASSETS – 100.0% | | $ | 4,279,340,979 | |
| | | |
| | |
| 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 fund. |
|
|
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At August 31, 2024, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency Purchased | | | Currency Sold | | | Settlement Date | | | Unrealized Gain | |
|
| |
| | | | | | |
MS & Co. Int. PLC | | AUD | | | 4,040,000 | | | USD | | | 2,735,694 | | | | 09/18/24 | | | $ | 46 | |
| | CAD | | | 59,260,000 | | | USD | | | 43,180,334 | | | | 09/18/24 | | | | 818,038 | |
| | CHF | | | 2,970,000 | | | USD | | | 3,500,187 | | | | 09/18/24 | | | | 1,137 | |
| | DKK | | | 7,850,000 | | | USD | | | 1,164,332 | | | | 09/18/24 | | | | 155 | |
| | EUR | | | 12,700,000 | | | USD | | | 13,980,567 | | | | 09/18/24 | | | | 69,600 | |
| | GBP | | | 4,960,000 | | | USD | | | 6,442,439 | | | | 09/18/24 | | | | 72,707 | |
| | HKD | | | 6,470,000 | | | USD | | | 830,380 | | | | 09/19/24 | | | | 42 | |
| | JPY | | | 2,051,000,000 | | | USD | | | 13,662,804 | | | | 09/18/24 | | | | 403,641 | |
| | NOK | | | 2,600,000 | | | USD | | | 245,251 | | | | 09/18/24 | | | | 1 | |
| | NZD | | | 50,000 | | | USD | | | 30,456 | | | | 09/18/24 | | | | 803 | |
| | SEK | | | 8,025,000 | | | USD | | | 782,205 | | | | 09/18/24 | | | | 83 | |
| | SGD | | | 570,000 | | | USD | | | 437,234 | | | | 09/18/24 | | | | 48 | |
| | USD | | | 5,850,077 | | | EUR | | | 5,260,000 | | | | 09/18/24 | | | | 30,875 | |
| | USD | | | 13,079,395 | | | HKD | | | 101,890,000 | | | | 09/19/24 | | | | 1,861 | |
|
| |
| | | | | | |
| TOTAL | | | | | | | | | | | | | | | | | | $ | 1,399,037 | |
|
| |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency Purchased | | | Currency Sold | | | Settlement Date | | Unrealized Loss | |
|
| |
| | | | | | |
MS & Co. Int. PLC | | DKK | | | 17,060,000 | | | USD | | | 2,553,134 | | | 09/18/24 | | $ | (22,416 | ) |
| | EUR | | | 6,800,000 | | | USD | | | 7,592,786 | | | 09/18/24 | | | (69,862 | ) |
| | GBP | | | 8,285,000 | | | USD | | | 10,904,045 | | | 09/18/24 | | | (21,386 | ) |
| | HKD | | | 150,000 | | | USD | | | 19,273 | | | 09/19/24 | | | (20 | ) |
| | ILS | | | 600,000 | | | USD | | | 165,110 | | | 09/18/24 | | | (4 | ) |
| | JPY | | | 2,670,000,000 | | | USD | | | 18,487,014 | | | 09/18/24 | | | (175,260 | ) |
| | NOK | | | 250,000 | | | USD | | | 23,816 | | | 09/18/24 | | | (234 | ) |
| | NZD | | | 140,000 | | | USD | | | 87,530 | | | 09/18/24 | | | (3 | ) |
| | SEK | | | 6,675,000 | | | USD | | | 656,117 | | | 09/18/24 | | | (5,428 | ) |
| | SGD | | | 230,000 | | | USD | | | 176,484 | | | 09/18/24 | | | (37 | ) |
| | USD | | | 54,796,619 | | | AUD | | | 82,910,000 | | | 09/18/24 | | | (1,347,006 | ) |
| | USD | | | 72,417,908 | | | CHF | | | 64,190,000 | | | 09/18/24 | | | (3,255,507 | ) |
| | USD | | | 29,712,425 | | | DKK | | | 204,110,000 | | | 09/18/24 | | | (565,711 | ) |
| | USD | | | 258,651,317 | | | EUR | | | 238,280,000 | | | 09/18/24 | | | (4,960,782 | ) |
| | |
| The accompanying notes are an integral part of these financial statements. | | 15 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
|
Schedule of Investments (continued) August 31, 2024 |
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency Purchased | | | Currency Sold | | | Settlement Date | | | Unrealized Loss | |
|
| |
MS & Co. Int. PLC (continued) | | USD | | | 121,633,801 | | | GBP | | | 95,545,000 | | | | 09/18/24 | | | $ | (3,868,138 | ) |
| | USD | | | 2,681,404 | | | ILS | | | 10,000,000 | | | | 09/18/24 | | | | (70,348 | ) |
| | USD | | | 184,114,013 | | | JPY | | | 28,447,000,000 | | | | 09/18/24 | | | | (10,985,045 | ) |
| | USD | | | 4,349,642 | | | NOK | | | 46,450,000 | | | | 09/18/24 | | | | (31,866 | ) |
| | USD | | | 1,363,077 | | | NZD | | | 2,230,000 | | | | 09/18/24 | | | | (31,098 | ) |
| | USD | | | 23,927,023 | | | SEK | | | 251,025,000 | | | | 09/18/24 | | | | (543,254 | ) |
| | USD | | | 8,625,547 | | | SGD | | | 11,590,000 | | | | 09/18/24 | | | | (265,837 | ) |
|
| |
| | | | | | |
| TOTAL | | | | | | | | | | | | | | | | | | $ | (26,219,242 | ) |
|
| |
FUTURES CONTRACTS — At August 31, 2024, the Fund had the following futures contracts:
| | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Unrealized
Appreciation/
(Depreciation) | |
|
| |
| | | | |
Long position contracts: | | | | | | | | | | | | | | | | |
E-Mini Russell 2000 Index | | | 2,601 | | | | 09/20/24 | | | $ | 289,114,155 | | | $ | 22,229,174 | |
S&P 500 E-Mini Index | | | 1,288 | | | | 09/20/24 | | | | 364,568,400 | | | | 8,470,689 | |
S&P Toronto Stock Exchange 60 Index | | | 480 | | | | 09/19/24 | | | | 99,864,505 | | | | 7,394,053 | |
TOPIX Index | | | 187 | | | | 09/12/24 | | | | 34,735,515 | | | | 476,768 | |
|
| |
| | | | |
| TOTAL FUTURES CONTRACTS | | | | | | | | | | | | | | $ | 38,570,684 | |
|
| |
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At August 31, 2024, the Fund had the following purchased and written options:
OVER-THE-COUNTER OPTIONS ON FOREIGN CURRENCY
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Exercise
Price | | | Expiration
Date | | | Number of
Contracts | | | Notional
Amount | | | Market
Value | | | Premiums Paid
(Received) by Fund | | | Unrealized Appreciation/
(Depreciation) | |
|
| |
| | | | | | | |
Purchased option contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Call CHF/Put NOK | | MS & Co. Int. PLC | | $ | 13.974 | | | | 09/18/2024 | | | | 2,258,000 | | | $ | 2,258,000 | | | $ | 3 | | | $ | 40,093 | | | $ | (40,090 | ) |
| Call CHF/Put NOK | | MS & Co. Int. PLC | | | 13.680 | | | | 09/18/2024 | | | | 4,899,000 | | | | 4,899,000 | | | | 75 | | | | 82,950 | | | | (82,875 | ) |
| Call CHF/Put NOK | | MS & Co. Int. PLC | | | 14.338 | | | | 12/18/2024 | | | | 2,005,000 | | | | 2,005,000 | | | | 3,691 | | | | 39,730 | | | | (36,039 | ) |
| Call CHF/Put NOK | | MS & Co. Int. PLC | | | 14.027 | | | | 12/18/2024 | | | | 4,295,000 | | | | 4,295,000 | | | | 13,187 | | | | 81,551 | | | | (68,364 | ) |
| Call CHF/Put NOK | | MS & Co. Int. PLC | | | 14.351 | | | | 03/19/2025 | | | | 3,894,000 | | | | 3,894,000 | | | | 23,349 | | | | 80,630 | | | | (57,281 | ) |
| Call CHF/Put NOK | | MS & Co. Int. PLC | | | 13.550 | | | | 03/19/2025 | | | | 3,683,000 | | | | 3,683,000 | | | | 53,327 | | | | 53,327 | | | | — | |
| Call CHF/Put NOK | | MS & Co. Int. PLC | | | 13.806 | | | | 06/18/2025 | | | | 8,830,000 | | | | 8,830,000 | | | | 161,039 | | | | 153,878 | | | | 7,161 | |
| Call CHF/Put NOK | | MS & Co. Int. PLC | | | 14.124 | | | | 09/17/2025 | | | | 1,980,000 | | | | 1,980,000 | | | | 40,087 | | | | 38,668 | | | | 1,419 | |
| Call CHF/Put SEK | | MS & Co. Int. PLC | | | 13.629 | | | | 09/18/2024 | | | | 2,656,000 | | | | 2,656,000 | | | | 3 | | | | 42,495 | | | | (42,492 | ) |
| Call CHF/Put SEK | | MS & Co. Int. PLC | | | 13.099 | | | | 09/18/2024 | | | | 5,736,000 | | | | 5,736,000 | | | | 41 | | | | 77,418 | | | | (77,377 | ) |
| | |
| 16 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER-THE-COUNTER OPTIONS ON FOREIGN CURRENCY (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Exercise
Price | | | Expiration
Date | | Number of
Contracts | | | Notional
Amount | | | Market
Value | | | Premiums Paid
(Received) by Fund | | | Unrealized Appreciation/
(Depreciation) | |
|
| |
| Call CHF/Put SEK | | MS & Co. Int. PLC | | $ | 13.914 | | | 12/18/2024 | | | 2,364,000 | | | $ | 2,364,000 | | | $ | 1,596 | | | $ | 41,465 | | | $ | (39,869 | ) |
| Call CHF/Put SEK | | MS & Co. Int. PLC | | | 13.373 | | | 12/18/2024 | | | 5,027,000 | | | | 5,027,000 | | | | 11,142 | | | | 77,506 | | | | (66,364 | ) |
| Call CHF/Put SEK | | MS & Co. Int. PLC | | | 13.620 | | | 03/19/2025 | | | 4,557,000 | | | | 4,557,000 | | | | 20,430 | | | | 75,969 | | | | (55,539 | ) |
| Call CHF/Put SEK | | MS & Co. Int. PLC | | | 12.986 | | | 03/19/2025 | | | 4,271,000 | | | | 4,271,000 | | | | 46,265 | | | | 51,606 | | | | (5,341 | ) |
| Call CHF/Put SEK | | MS & Co. Int. PLC | | | 13.306 | | | 06/18/2025 | | | 9,371,000 | | | | 9,371,000 | | | | 112,556 | | | | 149,220 | | | | (36,664 | ) |
| Call CHF/Put SEK | | MS & Co. Int. PLC | | | 13.540 | | | 09/17/2025 | | | 2,123,000 | | | | 2,123,000 | | | | 29,261 | | | | 37,062 | | | | (7,801 | ) |
| Call JPY/Put KRW | | MS & Co. Int. PLC | | | 10.458 | | | 09/13/2024 | | | 192,722,000 | | | | 192,722,000 | | | | 1 | | | | 17,526 | | | | (17,525 | ) |
| Call JPY/Put KRW | | MS & Co. Int. PLC | | | 9.915 | | | 09/13/2024 | | | 421,929,000 | | | | 421,929,000 | | | | 124 | | | | 34,290 | | | | (34,166 | ) |
| Call JPY/Put KRW | | MS & Co. Int. PLC | | | 10.746 | | | 12/18/2024 | | | 169,714,000 | | | | 169,714,000 | | | | 1,643 | | | | 17,554 | | | | (15,911 | ) |
| Call JPY/Put KRW | | MS & Co. Int. PLC | | | 10.187 | | | 12/18/2024 | | | 366,013,000 | | | | 366,013,000 | | | | 9,554 | | | | 33,815 | | | | (24,261 | ) |
| Call JPY/Put KRW | | MS & Co. Int. PLC | | | 10.443 | | | 03/19/2025 | | | 329,211,000 | | | | 329,211,000 | | | | 13,829 | | | | 33,144 | | | | (19,315 | ) |
| Call JPY/Put KRW | | MS & Co. Int. PLC | | | 10.094 | | | 03/19/2025 | | | 401,662,000 | | | | 401,662,000 | | | | 26,964 | | | | 29,406 | | | | (2,442 | ) |
| Call JPY/Put KRW | | MS & Co. Int. PLC | | | 10.052 | | | 06/18/2025 | | | 1,053,137,000 | | | | 1,053,137,000 | | | | 115,471 | | | | 88,531 | | | | 26,940 | |
| Call JPY/Put KRW | | MS & Co. Int. PLC | | | 10.269 | | | 09/17/2025 | | | 236,302,000 | | | | 236,302,000 | | | | 28,174 | | | | 22,350 | | | | 5,824 | |
| Call USD/Put CAD | | MS & Co. Int. PLC | | | 1.446 | | | 09/18/2024 | | | 4,662,000 | | | | 4,662,000 | | | | 5 | | | | 37,609 | | | | (37,604 | ) |
| Call USD/Put CAD | | MS & Co. Int. PLC | | | 1.441 | | | 09/18/2024 | | | 11,028,000 | | | | 11,028,000 | | | | 11 | | | | 76,600 | | | | (76,589 | ) |
| Call USD/Put CAD | | MS & Co. Int. PLC | | | 1.462 | | | 12/18/2024 | | | 4,098,000 | | | | 4,098,000 | | | | 975 | | | | 36,455 | | | | (35,480 | ) |
| Call USD/Put CAD | | MS & Co. Int. PLC | | | 1.455 | | | 12/18/2024 | | | 9,427,000 | | | | 9,427,000 | | | | 2,828 | | | | 75,812 | | | | (72,984 | ) |
| Call USD/Put CAD | | MS & Co. Int. PLC | | | 1.465 | | | 03/19/2025 | | | 8,630,000 | | | | 8,630,000 | | | | 8,414 | | | | 76,703 | | | | (68,289 | ) |
| Call USD/Put CAD | | MS & Co. Int. PLC | | | 1.426 | | | 03/19/2025 | | | 10,203,000 | | | | 10,203,000 | | | | 22,855 | | | | 70,962 | | | | (48,107 | ) |
| Call USD/Put CAD | | MS & Co. Int. PLC | | | 1.440 | | | 06/18/2025 | | | 25,620,000 | | | | 25,620,000 | | | | 79,704 | | | | 193,329 | | | | (113,625 | ) |
| Call USD/Put CAD | | MS & Co. Int. PLC | | | 1.449 | | | 09/17/2025 | | | 5,775,000 | | | | 5,775,000 | | | | 23,504 | | | | 50,485 | | | | (26,981 | ) |
| Call USD/Put CLP | | MS & Co. Int. PLC | | | 1,127.970 | | | 09/17/2024 | | | 977,000 | | | | 977,000 | | | | 1 | | | | 19,672 | | | | (19,671 | ) |
| Call USD/Put CLP | | MS & Co. Int. PLC | | | 1,035.290 | | | 09/17/2024 | | | 2,030,000 | | | | 2,030,000 | | | | 12 | | | | 36,787 | | | | (36,775 | ) |
| Call USD/Put CLP | | MS & Co. Int. PLC | | | 1,154.490 | | | 12/18/2024 | | | 896,000 | | | | 896,000 | | | | 321 | | | | 20,257 | | | | (19,936 | ) |
| Call USD/Put CLP | | MS & Co. Int. PLC | | | 1,062.540 | | | 12/18/2024 | | | 1,833,000 | | | | 1,833,000 | | | | 3,798 | | | | 38,174 | | | | (34,376 | ) |
| | |
| The accompanying notes are an integral part of these financial statements. | | 17 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
|
Schedule of Investments (continued) August 31, 2024 |
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER-THE-COUNTER OPTIONS ON FOREIGN CURRENCY (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Exercise
Price | | | Expiration
Date | | Number of
Contracts | | | Notional
Amount | | | Market
Value | | | Premiums Paid
(Received) by Fund | | | Unrealized Appreciation/
(Depreciation) | |
|
| |
| Call USD/Put CLP | | MS & Co. Int. PLC | | $ | 1,089.090 | | | 03/19/2025 | | | 1,681,000 | | | $ | 1,681,000 | | | $ | 7,408 | | | $ | 36,950 | | | $ | (29,542 | ) |
| Call USD/Put CLP | | MS & Co. Int. PLC | | | 1,123.250 | | | 03/19/2025 | | | 2,937,000 | | | | 2,937,000 | | | | 8,550 | | | | 56,024 | | | | (47,474 | ) |
| Call USD/Put CLP | | MS & Co. Int. PLC | | | 1,084.510 | | | 06/18/2025 | | | 10,646,000 | | | | 10,646,000 | | | | 91,439 | | | | 193,247 | | | | (101,808 | ) |
| Call USD/Put CLP | | MS & Co. Int. PLC | | | 1,108.720 | | | 09/17/2025 | | | 2,420,000 | | | | 2,420,000 | | | | 25,393 | | | | 48,603 | | | | (23,210 | ) |
| Call USD/Put KRW | | MS & Co. Int. PLC | | | 1,456.720 | | | 09/13/2024 | | | 1,565,000 | | | | 1,565,000 | | | | 2 | | | | 17,325 | | | | (17,323 | ) |
| Call USD/Put KRW | | MS & Co. Int. PLC | | | 1,377.220 | | | 09/13/2024 | | | 3,386,000 | | | | 3,386,000 | | | | 1,520 | | | | 35,299 | | | | (33,779 | ) |
| Call USD/Put KRW | | MS & Co. Int. PLC | | | 1,474.710 | | | 12/18/2024 | | | 1,379,000 | | | | 1,379,000 | | | | 1,609 | | | | 16,823 | | | | (15,214 | ) |
| Call USD/Put KRW | | MS & Co. Int. PLC | | | 1,394.460 | | | 12/18/2024 | | | 2,952,000 | | | | 2,952,000 | | | | 16,466 | | | | 34,996 | | | | (18,530 | ) |
| Call USD/Put KRW | | MS & Co. Int. PLC | | | 1,408.090 | | | 03/19/2025 | | | 2,688,000 | | | | 2,688,000 | | | | 21,431 | | | | 35,374 | | | | (13,943 | ) |
| Call USD/Put KRW | | MS & Co. Int. PLC | | | 1,425.130 | | | 03/19/2025 | | | 3,291,000 | | | | 3,291,000 | | | | 20,783 | | | | 32,022 | | | | (11,239 | ) |
| Call USD/Put KRW | | MS & Co. Int. PLC | | | 1,481.080 | | | 06/18/2025 | | | 8,094,000 | | | | 8,094,000 | | | | 43,861 | | | | 89,357 | | | | (45,496 | ) |
| Call USD/Put KRW | | MS & Co. Int. PLC | | | 1,494.880 | | | 09/17/2025 | | | 1,822,000 | | | | 1,822,000 | | | | 12,849 | | | | 22,393 | | | | (9,544 | ) |
| Call USD/Put MXN | | MS & Co. Int. PLC | | | 22.007 | | | 09/18/2024 | | | 2,109,000 | | | | 2,109,000 | | | | 2,044 | | | | 36,452 | | | | (34,408 | ) |
| Call USD/Put MXN | | MS & Co. Int. PLC | | | 20.472 | | | 09/18/2024 | | | 4,681,000 | | | | 4,681,000 | | | | 32,762 | | | | 73,356 | | | | (40,594 | ) |
| Call USD/Put MXN | | MS & Co. Int. PLC | | | 22.858 | | | 12/18/2024 | | | 1,899,000 | | | | 1,899,000 | | | | 15,074 | | | | 36,293 | | | | (21,219 | ) |
| Call USD/Put MXN | | MS & Co. Int. PLC | | | 21.290 | | | 12/18/2024 | | | 4,099,000 | | | | 4,099,000 | | | | 75,278 | | | | 75,868 | | | | (590 | ) |
| Call USD/Put MXN | | MS & Co. Int. PLC | | | 21.999 | | | 03/19/2025 | | | 3,763,000 | | | | 3,763,000 | | | | 82,556 | | | | 75,914 | | | | 6,642 | |
| Call USD/Put MXN | | MS & Co. Int. PLC | | | 20.014 | | | 03/19/2025 | | | 3,648,000 | | | | 3,648,000 | | | | 186,351 | | | | 48,701 | | | | 137,650 | |
| Call USD/Put MXN | | MS & Co. Int. PLC | | | 22.815 | | | 06/18/2025 | | | 5,089,000 | | | | 5,089,000 | | | | 119,780 | | | | 93,058 | | | | 26,722 | |
| Call USD/Put MXN | | MS & Co. Int. PLC | | | 23.619 | | | 09/17/2025 | | | 1,169,000 | | | | 1,169,000 | | | | 29,264 | | | | 23,435 | | | | 5,829 | |
| Call USD/Put NOK | | MS & Co. Int. PLC | | | 12.353 | | | 09/18/2024 | | | 1,219,000 | | | | 1,219,000 | | | | 1 | | | | 19,695 | | | | (19,694 | ) |
| Call USD/Put NOK | | MS & Co. Int. PLC | | | 12.604 | | | 12/18/2024 | | | 1,085,000 | | | | 1,085,000 | | | | 779 | | | | 19,249 | | | | (18,470 | ) |
| Call USD/Put NOK | | MS & Co. Int. PLC | | | 11.804 | | | 03/19/2025 | | | 1,333,000 | | | | 1,333,000 | | | | 10,213 | | | | 16,929 | | | | (6,716 | ) |
| Call USD/Put NOK | | MS & Co. Int. PLC | | | 12.030 | | | 06/18/2025 | | | 3,174,000 | | | | 3,174,000 | | | | 32,724 | | | | 47,039 | | | | (14,315 | ) |
| Call USD/Put NOK | | MS & Co. Int. PLC | | | 12.224 | | | 09/17/2025 | | | 720,000 | | | | 720,000 | | | | 8,981 | | | | 11,866 | | | | (2,885 | ) |
| Call USD/Put SEK | | MS & Co. Int. PLC | | | 11.398 | | | 09/18/2024 | | | 2,958,000 | | | | 2,958,000 | | | | 3 | | | | 34,863 | | | | (34,860 | ) |
| | |
| 18 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER-THE-COUNTER OPTIONS ON FOREIGN CURRENCY (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Exercise
Price | | | Expiration
Date | | | Number of
Contracts | | | Notional
Amount | | | Market
Value | | | Premiums Paid
(Received) by Fund | | | Unrealized Appreciation/
(Depreciation) | |
|
| |
| Call USD/Put SEK | | MS & Co. Int. PLC | | $ | 11.584 | | | | 12/18/2024 | | | | 2,582,000 | | | $ | 2,582,000 | | | $ | 3,290 | | | $ | 33,832 | | | $ | (30,542 | ) |
| Call USD/Put SEK | | MS & Co. Int. PLC | | | 11.726 | | | | 03/19/2025 | | | | 2,358,000 | | | | 2,358,000 | | | | 7,576 | | | | 33,337 | | | | (25,761 | ) |
| Call USD/Put SEK | | MS & Co. Int. PLC | | | 11.327 | | | | 03/19/2025 | | | | 4,247,000 | | | | 4,247,000 | | | | 24,157 | | | | 51,028 | | | | (26,871 | ) |
| Call USD/Put SEK | | MS & Co. Int. PLC | | | 11.617 | | | | 06/18/2025 | | | | 9,405,000 | | | | 9,405,000 | | | | 65,054 | | | | 139,194 | | | | (74,140 | ) |
| Call USD/Put SEK | | MS & Co. Int. PLC | | | 11.758 | | | | 09/17/2025 | | | | 2,149,000 | | | | 2,149,000 | | | | 18,720 | | | | 35,244 | | | | (16,524 | ) |
|
| |
| | | | | | | | |
| | | | | | | | | | | | | 3,424,366,000 | | | $ | 3,424,366,000 | | | $ | 1,820,158 | | | $ | 3,656,795 | | | $ | (1,836,637 | ) |
|
| |
| | | | | | | | |
Puts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Put AUD/Call JPY | | MS & Co. Int. PLC | | | 81.621 | | | | 09/18/2024 | | | | 3,462,000 | | | | 3,462,000 | | | | 2 | | | | 35,540 | | | | (35,538 | ) |
Put AUD/Call JPY | | MS & Co. Int. PLC | | | 85.094 | | | | 09/18/2024 | | | | 8,023,000 | | | | 8,023,000 | | | | 27 | | | | 73,749 | | | | (73,722 | ) |
Put AUD/Call JPY | | MS & Co. Int. PLC | | | 79.618 | | | | 12/18/2024 | | | | 3,068,000 | | | | 3,068,000 | | | | 2,297 | | | | 35,558 | | | | (33,261 | ) |
Put AUD/Call JPY | | MS & Co. Int. PLC | | | 82.850 | | | | 12/18/2024 | | | | 6,870,000 | | | | 6,870,000 | | | | 8,700 | | | | 71,979 | | | | (63,279 | ) |
Put AUD/Call JPY | | MS & Co. Int. PLC | | | 80.965 | | | | 03/19/2025 | | | | 6,230,000 | | | | 6,230,000 | | | | 15,931 | | | | 72,667 | | | | (56,736 | ) |
Put AUD/Call JPY | | MS & Co. Int. PLC | | | 86.410 | | | | 03/19/2025 | | | | 9,762,000 | | | | 9,762,000 | | | | 49,060 | | | | 89,070 | | | | (40,010 | ) |
Put AUD/Call JPY | | MS & Co. Int. PLC | | | 90.170 | | | | 06/18/2025 | | | | 22,780,000 | | | | 22,780,000 | | | | 297,703 | | | | 234,428 | | | | 63,275 | |
Put AUD/Call JPY | | MS & Co. Int. PLC | | | 88.320 | | | | 09/17/2025 | | | | 5,138,000 | | | | 5,138,000 | | | | 73,159 | | | | 60,330 | | | | 12,829 | |
Put AUD/Call USD | | MS & Co. Int. PLC | | | 0.585 | | | | 09/18/2024 | | | | 3,048,000 | | | | 3,048,000 | | | | 2 | | | | 27,779 | | | | (27,777 | ) |
Put AUD/Call USD | | MS & Co. Int. PLC | | | 0.609 | | | | 09/18/2024 | | | | 6,886,000 | | | | 6,886,000 | | | | 5 | | | | 54,268 | | | | (54,263 | ) |
Put AUD/Call USD | | MS & Co. Int. PLC | | | 0.578 | | | | 12/18/2024 | | | | 2,669,000 | | | | 2,669,000 | | | | 741 | | | | 27,502 | | | | (26,761 | ) |
Put AUD/Call USD | | MS & Co. Int. PLC | | | 0.601 | | | | 12/18/2024 | | | | 5,905,000 | | | | 5,905,000 | | | | 4,424 | | | | 53,525 | | | | (49,101 | ) |
Put AUD/Call USD | | MS & Co. Int. PLC | | | 0.595 | | | | 03/19/2025 | | | | 5,355,000 | | | | 5,355,000 | | | | 10,272 | | | | 54,157 | | | | (43,885 | ) |
Put AUD/Call USD | | MS & Co. Int. PLC | | | 0.609 | | | | 03/19/2025 | | | | 4,492,000 | | | | 4,492,000 | | | | 12,286 | | | | 35,750 | | | | (23,464 | ) |
Put AUD/Call USD | | MS & Co. Int. PLC | | | 0.611 | | | | 06/18/2025 | | | | 10,680,000 | | | | 10,680,000 | | | | 53,746 | | | | 90,428 | | | | (36,682 | ) |
Put AUD/Call USD | | MS & Co. Int. PLC | | | 0.605 | | | | 09/17/2025 | | | | 2,404,000 | | | | 2,404,000 | | | | 15,381 | | | | 23,059 | | | | (7,678 | ) |
Put CAD/Call JPY | | MS & Co. Int. PLC | | | 95.027 | | | | 09/18/2024 | | | | 2,633,000 | | | | 2,633,000 | | | | 8 | | | | 28,398 | | | | (28,390 | ) |
Put CAD/Call JPY | | MS & Co. Int. PLC | | | 95.434 | | | | 09/18/2024 | | | | 6,197,000 | | | | 6,197,000 | | | | 28 | | | | 55,141 | | | | (55,113 | ) |
Put CAD/Call JPY | | MS & Co. Int. PLC | | | 92.677 | | | | 12/18/2024 | | | | 2,337,000 | | | | 2,337,000 | | | | 2,747 | | | | 27,914 | | | | (25,167 | ) |
| | |
| The accompanying notes are an integral part of these financial statements. | | 19 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
|
Schedule of Investments (continued) August 31, 2024 |
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER-THE-COUNTER OPTIONS ON FOREIGN CURRENCY (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Exercise
Price | | | Expiration
Date | | | Number of
Contracts | | | Notional
Amount | | | Market
Value | | | Premiums Paid
(Received) by Fund | | | Unrealized Appreciation/
(Depreciation) | |
|
| |
| Put CAD/Call JPY | | MS & Co. Int. PLC | | $ | 93.100 | | | | 12/18/2024 | | | | 5,316,000 | | | $ | 5,316,000 | | | $ | 6,726 | | | $ | 53,320 | | | $ | (46,594 | ) |
| Put CAD/Call JPY | | MS & Co. Int. PLC | | | 91.166 | | | | 03/19/2025 | | | | 4,835,000 | | | | 4,835,000 | | | | 12,083 | | | | 54,282 | | | | (42,199 | ) |
| Put CAD/Call JPY | | MS & Co. Int. PLC | | | 97.830 | | | | 03/19/2025 | | | | 5,785,000 | | | | 5,785,000 | | | | 36,505 | | | | 50,534 | | | | (14,029 | ) |
| Put CAD/Call JPY | | MS & Co. Int. PLC | | | 100.970 | | | | 06/18/2025 | | | | 14,322,000 | | | | 14,322,000 | | | | 210,061 | | | | 148,268 | | | | 61,793 | |
| Put CAD/Call JPY | | MS & Co. Int. PLC | | | 99.060 | | | | 09/17/2025 | | | | 3,193,000 | | | | 3,193,000 | | | | 49,064 | | | | 36,997 | | | | 12,067 | |
| Put NZD/Call JPY | | MS & Co. Int. PLC | | | 75.167 | | | | 09/18/2024 | | | | 2,700,000 | | | | 2,700,000 | | | | 2 | | | | 24,554 | | | | (24,552 | ) |
| Put NZD/Call JPY | | MS & Co. Int. PLC | | | 77.954 | | | | 09/18/2024 | | | | 6,347,000 | | | | 6,347,000 | | | | 8 | | | | 54,306 | | | | (54,298 | ) |
| Put NZD/Call JPY | | MS & Co. Int. PLC | | | 73.135 | | | | 12/18/2024 | | | | 2,416,000 | | | | 2,416,000 | | | | 1,590 | | | | 24,849 | | | | (23,259 | ) |
| Put NZD/Call JPY | | MS & Co. Int. PLC | | | 75.859 | | | | 12/18/2024 | | | | 5,477,000 | | | | 5,477,000 | | | | 5,975 | | | | 52,894 | | | | (46,919 | ) |
| Put NZD/Call JPY | | MS & Co. Int. PLC | | | 74.113 | | | | 03/19/2025 | | | | 4,993,000 | | | | 4,993,000 | | | | 11,309 | | | | 53,658 | | | | (42,349 | ) |
| Put NZD/Call JPY | | MS & Co. Int. PLC | | | 79.190 | | | | 03/19/2025 | | | | 8,108,000 | | | | 8,108,000 | | | | 36,475 | | | | 66,145 | | | | (29,670 | ) |
| Put NZD/Call JPY | | MS & Co. Int. PLC | | | 82.880 | | | | 06/18/2025 | | | | 19,116,000 | | | | 19,116,000 | | | | 228,443 | | | | 179,755 | | | | 48,688 | |
| Put NZD/Call JPY | | MS & Co. Int. PLC | | | 81.100 | | | | 09/17/2025 | | | | 4,312,000 | | | | 4,312,000 | | | | 55,201 | | | | 46,324 | | | | 8,877 | |
| Put NZD/Call USD | | MS & Co. Int. PLC | | | 0.537 | | | | 09/18/2024 | | | | 3,288,000 | | | | 3,288,000 | | | | 2 | | | | 26,953 | | | | (26,951 | ) |
| Put NZD/Call USD | | MS & Co. Int. PLC | | | 0.556 | | | | 09/18/2024 | | | | 7,512,000 | | | | 7,512,000 | | | | 5 | | | | 55,342 | | | | (55,337 | ) |
| Put NZD/Call USD | | MS & Co. Int. PLC | | | 0.530 | | | | 12/18/2024 | | | | 2,888,000 | | | | 2,888,000 | | | | 713 | | | | 26,638 | | | | (25,925 | ) |
| Put NZD/Call USD | | MS & Co. Int. PLC | | | 0.549 | | | | 12/18/2024 | | | | 6,445,000 | | | | 6,445,000 | | | | 3,993 | | | | 54,793 | | | | (50,800 | ) |
| Put NZD/Call USD | | MS & Co. Int. PLC | | | 0.544 | | | | 03/19/2025 | | | | 5,856,000 | | | | 5,856,000 | | | | 9,474 | | | | 55,260 | | | | (45,786 | ) |
| Put NZD/Call USD | | MS & Co. Int. PLC | | | 0.558 | | | | 03/19/2025 | | | | 4,857,000 | | | | 4,857,000 | | | | 12,073 | | | | 35,044 | | | | (22,971 | ) |
| Put NZD/Call USD | | MS & Co. Int. PLC | | | 0.562 | | | | 06/18/2025 | | | | 11,567,000 | | | | 11,567,000 | | | | 55,014 | | | | 90,427 | | | | (35,413 | ) |
| Put NZD/Call USD | | MS & Co. Int. PLC | | | 0.556 | | | | 09/17/2025 | | | | 2,611,000 | | | | 2,611,000 | | | | 15,508 | | | | 23,156 | | | | (7,648 | ) |
|
| |
| | | | | | | | |
| | | | | | | | | | | | | 249,883,000 | | | $ | 249,883,000 | | | $ | 1,296,743 | | | $ | 2,364,741 | | | $ | (1,067,998 | ) |
|
| |
| | | | | | | |
| Total purchased option contracts | | | | | | | | | | | 3,674,249,000 | | | $ | 3,674,249,000 | | | $ | 3,116,901 | | | $ | 6,021,536 | | | $ | (2,904,635 | ) |
|
| |
| | |
| 20 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
EXCHANGE TRADED OPTIONS ON EQUITY 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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Euro Stoxx 50 Index | | $ | 4,875.000 | | | | 09/06/2024 | | | | (72 | ) | | $ | (35,100,000 | ) | | $ | (74,336 | ) | | | $ (8,807 | ) | | | $ (65,529) | |
Euro Stoxx 50 Index | | | 5,000.000 | | | | 09/13/2024 | | | | (70 | ) | | | (35,000,000 | ) | | | (22,285 | ) | | | (14,463 | ) | | | (7,822) | |
Euro Stoxx 50 Index | | | 5,100.000 | | | | 09/20/2024 | | | | (68 | ) | | | (34,680,000 | ) | | | (8,870 | ) | | | (6,578 | ) | | | (2,292) | |
FTSE 100 Index | | | 8,550.000 | | | | 09/20/2024 | | | | (9 | ) | | | (7,695,000 | ) | | | (2,246 | ) | | | (2,421 | ) | | | 175 | |
FTSE 100 Index | | | 8,575.000 | | | | 09/20/2024 | | | | (4 | ) | | | (3,430,000 | ) | | | (788 | ) | | | (1,879 | ) | | | 1,091 | |
FTSE 100 Index | | | 8,600.000 | | | | 09/20/2024 | | | | (14 | ) | | | (12,040,000 | ) | | | (2,114 | ) | | | (2,197 | ) | | | 83 | |
FTSE 100 Index | | | 8,625.000 | | | | 09/20/2024 | | | | (11 | ) | | | (9,487,500 | ) | | | (1,300 | ) | | | (1,557 | ) | | | 257 | |
FTSE 100 Index | | | 8,700.000 | | | | 09/20/2024 | | | | (19 | ) | | | (16,530,000 | ) | | | (1,123 | ) | | | (2,883 | ) | | | 1,760 | |
FTSE 100 Index | | | 8,800.000 | | | | 10/18/2024 | | | | (4 | ) | | | (3,520,000 | ) | | | (604 | ) | | | (778 | ) | | | 174 | |
Nikkei 225 Index | | | 38,375.000 | | | | 09/13/2024 | | | | (8 | ) | | | (30,700,000 | ) | | | (43,505 | ) | | | (9,243 | ) | | | (34,262) | |
Nikkei 225 Index | | | 38,750.000 | | | | 09/13/2024 | | | | (9 | ) | | | (34,875,000 | ) | | | (35,399 | ) | | | (25,758 | ) | | | (9,641) | |
Nikkei 225 Index | | | 40,375.000 | | | | 09/13/2024 | | | | (7 | ) | | | (28,262,500 | ) | | | (4,166 | ) | | | (8,940 | ) | | | 4,774 | |
Nikkei 225 Index | | | 41,875.000 | | | | 09/13/2024 | | | | (6 | ) | | | (25,125,000 | ) | | | (616 | ) | | | (1,605 | ) | | | 989 | |
Nikkei 225 Index | | | 42,000.000 | | | | 09/13/2024 | | | | (4 | ) | | | (16,800,000 | ) | | | (328 | ) | | | (1,887 | ) | | | 1,559 | |
Nikkei 225 Index | | | 39,375.000 | | | | 10/11/2024 | | | | (1 | ) | | | (3,937,500 | ) | | | (3,967 | ) | | | (2,998 | ) | | | (969) | |
Nikkei 225 Index | | | 41,125.000 | | | | 10/11/2024 | | | | (3 | ) | | | (12,337,500 | ) | | | (3,899 | ) | | | (5,802 | ) | | | 1,903 | |
S&P 500 Index | | | 5,530.000 | | | | 09/04/2024 | | | | (31 | ) | | | (17,143,000 | ) | | | (361,615 | ) | | | (50,208 | ) | | | (311,407) | |
S&P 500 Index | | | 5,735.000 | | | | 09/04/2024 | | | | (38 | ) | | | (21,793,000 | ) | | | (380 | ) | | | (12,248 | ) | | | 11,868 | |
S&P 500 Index | | | 5,715.000 | | | | 09/06/2024 | | | | (37 | ) | | | (21,145,500 | ) | | | (18,494 | ) | | | (18,494 | ) | | | — | |
S&P 500 Index | | | 5,720.000 | | | | 09/09/2024 | | | | (37 | ) | | | (21,164,000 | ) | | | (21,797 | ) | | | (21,798 | ) | | | 1 | |
S&P 500 Index | | | 5,700.000 | | | | 09/11/2024 | | | | (30 | ) | | | (17,100,000 | ) | | | (65,100 | ) | | | (17,767 | ) | | | (47,333) | |
S&P 500 Index | | | 5,850.000 | | | | 09/18/2024 | | | | (29 | ) | | | (16,965,000 | ) | | | (9,715 | ) | | | (30,291 | ) | | | 20,576 | |
S&P 500 Index | | | 5,850.000 | | | | 09/25/2024 | | | | (29 | ) | | | (16,965,000 | ) | | | (18,125 | ) | | | (21,675 | ) | | | 3,550 | |
|
| |
| | | | | | | |
| | | | | | | | | | | (540 | ) | | $ | (441,795,500 | ) | | $ | (700,772 | ) | | | $ (270,277 | ) | | | $(430,495) | |
| |
| | | | | | | |
Puts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Euro Stoxx 50 Index | | | 4,400.000 | | | | 09/06/2024 | | | | (144 | ) | | | (63,360,000 | ) | | | (1,114 | ) | | | (14,241 | ) | | | 13,127 | |
Euro Stoxx 50 Index | | | 4,650.000 | | | | 09/13/2024 | | | | (140 | ) | | | (65,100,000 | ) | | | (5,881 | ) | | | (19,733 | ) | | | 13,852 | |
Euro Stoxx 50 Index | | | 4,725.000 | | | | 09/20/2024 | | | | (136 | ) | | | (64,260,000 | ) | | | (15,635 | ) | | | (29,239 | ) | | | 13,604 | |
FTSE 100 Index | | | 7,700.000 | | | | 09/20/2024 | | | | (19 | ) | | | (14,630,000 | ) | | | (1,497 | ) | | | (7,912 | ) | | | 6,415 | |
FTSE 100 Index | | | 7,800.000 | | | | 09/20/2024 | | | | (8 | ) | | | (6,240,000 | ) | | | (683 | ) | | | (2,724 | ) | | | 2,041 | |
FTSE 100 Index | | | 7,925.000 | | | | 09/20/2024 | | | | (13 | ) | | | (10,302,500 | ) | | | (1,451 | ) | | | (11,514 | ) | | | 10,063 | |
FTSE 100 Index | | | 8,075.000 | | | | 09/20/2024 | | | | (28 | ) | | | (22,610,000 | ) | | | (4,780 | ) | | | (8,780 | ) | | | 4,000 | |
FTSE 100 Index | | | 8,100.000 | | | | 09/20/2024 | | | | (25 | ) | | | (20,250,000 | ) | | | (4,761 | ) | | | (11,579 | ) | | | 6,818 | |
FTSE 100 Index | | | 8,200.000 | | | | 09/20/2024 | | | | (20 | ) | | | (16,400,000 | ) | | | (6,173 | ) | | | (4,548 | ) | | | (1,625) | |
FTSE 100 Index | | | 8,100.000 | | | | 10/18/2024 | | | | (8 | ) | | | (6,480,000 | ) | | | (4,045 | ) | | | (3,493 | ) | | | (552) | |
Nikkei 225 Index | | | 31,125.000 | | | | 09/13/2024 | | | | (17 | ) | | | (52,912,500 | ) | | | (1,512 | ) | | | (45,806 | ) | | | 44,294 | |
Nikkei 225 Index | | | 33,125.000 | | | | 09/13/2024 | | | | (18 | ) | | | (59,625,000 | ) | | | (2,832 | ) | | | (19,600 | ) | | | 16,768 | |
Nikkei 225 Index | | | 35,250.000 | | | | 09/13/2024 | | | | (13 | ) | | | (45,825,000 | ) | | | (4,535 | ) | | | (14,874 | ) | | | 10,339 | |
Nikkei 225 Index | | | 36,625.000 | | | | 09/13/2024 | | | | (20 | ) | | | (73,250,000 | ) | | | (15,733 | ) | | | (55,757 | ) | | | 40,024 | |
Nikkei 225 Index | | | 38,500.000 | | | | 09/13/2024 | | | | (4 | ) | | | (15,400,000 | ) | | | (13,681 | ) | | | (14,506 | ) | | | 825 | |
Nikkei 225 Index | | | 32,000.000 | | | | 10/11/2024 | | | | (1 | ) | | | (3,200,000 | ) | | | (581 | ) | | | (1,532 | ) | | | 951 | |
Nikkei 225 Index | | | 34,000.000 | | | | 10/11/2024 | | | | (5 | ) | | | (17,000,000 | ) | | | (5,301 | ) | | | (9,671 | ) | | | 4,370 | |
S&P 500 Index | | | 4,900.000 | | | | 09/04/2024 | | | | (61 | ) | | | (29,890,000 | ) | | | (610 | ) | | | (225,791 | ) | | | 225,181 | |
S&P 500 Index | | | 5,540.000 | | | | 09/04/2024 | | | | (77 | ) | | | (42,658,000 | ) | | | (10,780 | ) | | | (95,357 | ) | | | 84,577 | |
S&P 500 Index | | | 5,495.000 | | | | 09/06/2024 | | | | (75 | ) | | | (41,212,500 | ) | | | (53,789 | ) | | | (53,789 | ) | | | — | |
S&P 500 Index | | | 5,485.000 | | | | 09/09/2024 | | | | (75 | ) | | | (41,137,500 | ) | | | (61,951 | ) | | | (61,951 | ) | | | — | |
S&P 500 Index | | | 5,180.000 | | | | 09/11/2024 | | | | (59 | ) | | | (30,562,000 | ) | | | (7,523 | ) | | | (119,155 | ) | | | 111,632 | |
S&P 500 Index | | | 5,400.000 | | | | 09/18/2024 | | | | (57 | ) | | | (30,780,000 | ) | | | (66,120 | ) | | | (133,973 | ) | | | 67,853 | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 21 |
GOLDMAN SACHS GLOBAL MANAGED BETA FUND
|
Schedule of Investments (continued) August 31, 2024 |
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
EXCHANGE TRADED OPTIONS ON EQUITY CONTRACTS (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Exercise
Price | | | Expiration Date | | Number of Contracts | | | Notional Amount | | | Market Value | | | Premiums Paid
(Received)
by Fund | | | Unrealized
Appreciation/
(Depreciation) | |
|
| |
| | | | | | | |
S&P 500 Index | | $ | 5,430.000 | | | 09/25/2024 | | | (57 | ) | | $ | (30,951,000) | | | $ | (113,430) | | | $ | (156,714) | | | $ | 43,284 | |
|
| |
| | | | | | | |
| | | | | | | | | (1,080 | ) | | $ | (804,036,000) | | | $ | (404,398) | | | $ | (1,122,239) | | | $ | 717,841 | |
| |
| | | | | | | |
Total written option contracts | | | | | | | | | (1,620 | ) | | $ | (1,245,831,500) | | | $ | (1,105,170) | | | $ | (1,392,516) | | | $ | 287,346 | |
| |
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
3 Month SOFR | | $ | 95.250 | | | | 09/13/2024 | | | | 385 | | | $ | 962,500 | | | $ | 14,438 | | | $ | 1,547,892 | | | $ | (1,533,454 | ) |
3 Month SOFR | | | 96.000 | | | | 09/13/2024 | | | | 907 | | | | 2,267,500 | | | | 5,669 | | | | 1,617,407 | | | | (1,611,738 | ) |
3 Month SOFR | | | 97.250 | | | | 09/13/2024 | | | | 1,214 | | | | 3,035,000 | | | | 7,588 | | | | 1,623,613 | | | | (1,616,025 | ) |
3 Month SOFR | | | 98.000 | | | | 09/13/2024 | | | | 2,599 | | | | 6,497,500 | | | | 16,244 | | | | 363,392 | | | | (347,148 | ) |
3 Month SOFR | | | 96.250 | | | | 12/13/2024 | | | | 915 | | | | 2,287,500 | | | | 183,000 | | | | 1,714,070 | | | | (1,531,070 | ) |
3 Month SOFR | | | 97.250 | | | | 12/13/2024 | | | | 2,052 | | | | 5,130,000 | | | | 128,250 | | | | 3,290,395 | | | | (3,162,145 | ) |
3 Month SOFR | | | 98.000 | | | | 12/13/2024 | | | | 3,960 | | | | 9,900,000 | | | | 99,000 | | | | 888,337 | | | | (789,337 | ) |
3 Month SOFR | | | 96.500 | | | | 03/14/2025 | | | | 966 | | | | 2,415,000 | | | | 555,450 | | | | 1,863,201 | | | | (1,307,751 | ) |
3 Month SOFR | | | 97.000 | | | | 03/14/2025 | | | | 2,074 | | | | 5,185,000 | | | | 648,125 | | | | 2,263,037 | | | | (1,614,912 | ) |
3 Month SOFR | | | 97.250 | | | | 03/14/2025 | | | | 1,843 | | | | 4,607,500 | | | | 437,713 | | | | 3,360,173 | | | | (2,922,460 | ) |
3 Month SOFR | | | 98.000 | | | | 03/14/2025 | | | | 2,796 | | | | 6,990,000 | | | | 297,075 | | | | 923,062 | | | | (625,987 | ) |
3 Month SOFR | | | 95.625 | | | | 06/13/2025 | | | | 1,373 | | | | 3,432,500 | | | | 3,398,175 | | | | 1,551,223 | | | | 1,846,952 | |
3 Month SOFR | | | 96.250 | | | | 06/13/2025 | | | | 794 | | | | 1,985,000 | | | | 1,116,562 | | | | 1,182,380 | | | | (65,818 | ) |
3 Month SOFR | | | 96.625 | | | | 06/13/2025 | | | | 983 | | | | 2,457,500 | | | | 952,281 | | | | 1,903,452 | | | | (951,171 | ) |
3 Month SOFR | | | 96.750 | | | | 06/13/2025 | | | | 1,226 | | | | 3,065,000 | | | | 1,049,763 | | | | 1,290,144 | | | | (240,381 | ) |
3 Month SOFR | | | 97.250 | | | | 06/13/2025 | | | | 2,670 | | | | 6,675,000 | | | | 1,385,062 | | | | 2,854,785 | | | | (1,469,723 | ) |
3 Month SOFR | | | 95.875 | | | | 09/12/2025 | | | | 2,359 | | | | 5,897,500 | | | | 5,750,062 | | | | 2,783,135 | | | | 2,966,927 | |
3 Month SOFR | | | 96.000 | | | | 09/12/2025 | | | | 482 | | | | 1,205,000 | | | | 1,066,425 | | | | 471,068 | | | | 595,357 | |
3 Month SOFR | | | 96.500 | | | | 09/12/2025 | | | | 1,136 | | | | 2,840,000 | | | | 1,647,200 | | | | 1,589,660 | | | | 57,540 | |
3 Month SOFR | | | 96.625 | | | | 09/12/2025 | | | | 921 | | | | 2,302,500 | | | | 1,197,300 | | | | 1,888,444 | | | | (691,144 | ) |
3 Month SOFR | | | 97.000 | | | | 09/12/2025 | | | | 1,234 | | | | 3,085,000 | | | | 1,141,450 | | | | 1,267,713 | | | | (126,263 | ) |
3 Month SOFR | | | 97.500 | | | | 09/12/2025 | | | | 3,092 | | | | 7,730,000 | | | | 1,777,900 | | | | 3,074,948 | | | | (1,297,048 | ) |
3 Month SOFR | | | 95.875 | | | | 12/12/2025 | | | | 1,950 | | | | 4,875,000 | | | | 5,338,125 | | | | 2,763,799 | | | | 2,574,326 | |
3 Month SOFR | | | 96.125 | | | | 12/12/2025 | | | | 772 | | | | 1,930,000 | | | | 1,765,950 | | | | 870,291 | | | | 895,659 | |
3 Month SOFR | | | 96.500 | | | | 12/12/2025 | | | | 1,019 | | | | 2,547,500 | | | | 1,751,406 | | | | 1,614,489 | | | | 136,917 | |
3 Month SOFR | | | 97.250 | | | | 12/12/2025 | | | | 1,442 | | | | 3,605,000 | | | | 1,306,812 | | | | 1,373,245 | | | | (66,433 | ) |
3 Month SOFR | | | 97.500 | | | | 12/12/2025 | | | | 2,880 | | | | 7,200,000 | | | | 2,052,000 | | | | 3,083,882 | | | | (1,031,882 | ) |
3 Month SOFR | | | 96.000 | | | | 03/13/2026 | | | | 1,922 | | | | 4,805,000 | | | | 5,225,437 | | | | 2,752,934 | | | | 2,472,503 | |
3 Month SOFR | | | 96.250 | | | | 03/13/2026 | | | | 727 | | | | 1,817,500 | | | | 1,658,469 | | | | 910,437 | | | | 748,032 | |
3 Month SOFR | | | 96.625 | | | | 03/13/2026 | | | | 615 | | | | 1,537,500 | | | | 1,064,719 | | | | 916,239 | | | | 148,480 | |
3 Month SOFR | | | 96.750 | | | | 03/13/2026 | | | | 480 | | | | 1,200,000 | | | | 753,000 | | | | 781,114 | | | | (28,114 | ) |
3 Month SOFR | | | 97.250 | | | | 03/13/2026 | | | | 1,368 | | | | 3,420,000 | | | | 1,410,750 | | | | 1,371,174 | | | | 39,576 | |
3 Month SOFR | | | 96.000 | | | | 06/12/2026 | | | | 1,712 | | | | 4,280,000 | | | | 4,868,500 | | | | 2,734,522 | | | | 2,133,978 | |
3 Month SOFR | | | 96.250 | | | | 06/12/2026 | | | | 658 | | | | 1,645,000 | | | | 1,587,425 | | | | 935,558 | | | | 651,867 | |
3 Month SOFR | | | 96.625 | | | | 06/12/2026 | | | | 580 | | | | 1,450,000 | | | | 1,069,375 | | | | 914,846 | | | | 154,529 | |
3 Month SOFR | | | 96.750 | | | | 06/12/2026 | | | | 494 | | | | 1,235,000 | | | | 830,538 | | | | 766,846 | | | | 63,692 | |
3 Month SOFR | | | 96.000 | | | | 09/11/2026 | | | | 1,600 | | | | 4,000,000 | | | | 4,640,000 | | | | 2,747,337 | | | | 1,892,663 | |
3 Month SOFR | | | 96.375 | | | | 09/11/2026 | | | | 658 | | | | 1,645,000 | | | | 1,501,062 | | | | 947,402 | | | | 553,660 | |
3 Month SOFR | | | 96.625 | | | | 09/11/2026 | | | | 559 | | | | 1,397,500 | | | | 1,072,581 | | | | 930,634 | | | | 141,947 | |
| | |
| 22 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS GLOBAL MANAGED BETA 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) | |
|
| |
| | | | | | | |
3 Month SOFR | | $ | 96.375 | | | 12/11/2026 | | | 620 | | | $ | 1,550,000 | | | $ | 1,426,000 | | | $ | 962,438 | | | $ | 463,562 | |
| |
| | | | | | | |
TOTAL | | | | | | | | | 56,037 | | | $ | 140,092,500 | | | $ | 62,196,881 | | | $ | 66,688,718 | | | $ | (4,491,837 | ) |
| |
| | |
| |
| Currency Abbreviations: |
| AUD | | —Australian Dollar |
| CAD | | —Canadian Dollar |
| CHF | | —Swiss Franc |
| DKK | | —Denmark 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 |
| MSCI | | —Morgan Stanley Capital International |
| PLC | | —Public Limited Company |
| REIT | | —Real Estate Investment Trust |
| SPDR | | —Standard and Poor’s Depository Receipt |
| | |
| |
| Abbreviations: |
| MS & Co. Int. PLC | | —Morgan Stanley & Co. International PLC |
| SOFR | | —Secured Overnight Financing Rate |
| | |
| The accompanying notes are an integral part of these financial statements. | | 23 |
GOLDMAN SACHS STRATEGIC FACTOR ALLOCATION FUND
|
Consolidated Schedule of Investments August 31, 2024 |
| | | | | | | | | | | | | | | | |
| | | Principal Amount | | | Interest Rate | | | Maturity Date | | Value | |
|
| U.S. Treasury Obligations(a) – 33.2% | |
| | U.S. Treasury Bills | |
| | $ | | | 40,000,000 | | | | 0.000 | % | | 09/05/24 | | $ | 39,988,401 | |
| | | | | 125,000,000 | | | | 0.000 | | | 09/12/24 | | | 124,836,923 | |
| | | | | 250,000,000 | | | | 0.000 | | | 10/29/24 | | | 248,015,330 | |
| | | | | 200,000,000 | | | | 0.000 | | | 11/07/24 | | | 198,187,720 | |
| | | | | 187,500,000 | | | | 0.000 | | | 11/26/24 | | | 185,326,462 | |
| | | |
| | TOTAL U.S. TREASURY OBLIGATIONS
(Cost $796,004,314) | | $ | 796,354,836 | |
| | | |
| | | | | | | | | | | | |
| | | Shares | | Dividend Rate | | Value | |
|
| Investment Company(b) – 58.7% | |
| |
| | Goldman Sachs Financial Square Government Fund — Institutional Shares | |
| | 1,408,271,148 | | 5.183% | | $ | 1,408,271,148 | |
| | (Cost $1,408,271,148) | |
| | | |
| | TOTAL INVESTMENTS – 91.9%
(Cost $2,204,275,462) | | $ | 2,204,625,984 | |
| | | |
| | OTHER ASSETS IN EXCESS OF LIABILITIES – 8.1% | | | 194,633,644 | |
| | | |
| | NET ASSETS – 100.0% | | $ | 2,399,259,628 | |
| | | |
| | |
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
| |
| (a) | | Issued with a zero coupon. Income is recognized through the accretion of discount. |
| |
| (b) | | Represents an affiliated fund. |
|
|
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At August 31, 2024, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency Purchased | | | Currency Sold | | | Settlement
Date | | | Unrealized Gain | |
|
| |
| | | | | | |
MS & Co. Int. PLC | | AUD | | | 30,240,000 | | | USD | | | 20,188,360 | | | | 09/18/24 | | | $ | 289,064 | |
| | CAD | | | 167,277,500 | | | USD | | | 121,566,720 | | | | 09/18/24 | | | | 2,630,679 | |
| | CHF | | | 12,090,000 | | | USD | | | 13,682,584 | | | | 09/18/24 | | | | 570,283 | |
| | EUR | | | 141,420,002 | | | USD | | | 153,587,893 | | | | 09/18/24 | | | | 2,866,795 | |
| | JPY | | | 13,094,890,000 | | | USD | | | 87,609,337 | | | | 09/18/24 | | | | 2,199,806 | |
| | NZD | | | 233,500,000 | | | USD | | | 142,306,510 | | | | 09/18/24 | | | | 3,675,435 | |
| | USD | | | 99,843,416 | | | AUD | | | 147,100,000 | | | | 09/18/24 | | | | 232,667 | |
| | USD | | | 13,839,471 | | | CHF | | | 11,720,001 | | | | 09/18/24 | | | | 22,796 | |
| | USD | | | 7,652,045 | | | JPY | | | 1,111,130,000 | | | | 09/18/24 | | | | 31,543 | |
| | USD | | | 70,554,521 | | | NZD | | | 112,780,000 | | | | 09/18/24 | | | | 45,554 | |
|
| |
| | | | | | |
| TOTAL | | | | | | | | | | | | | | | | | | $ | 12,564,622 | |
|
| |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
| | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency Purchased | | | Currency Sold | | | Settlement
Date | | Unrealized
Loss | |
|
| |
| | | | | | |
MS & Co. Int. PLC | | CAD | | | 37,732,500 | | | USD | | | 28,024,994 | | | 09/18/24 | | $ | (10,000 | ) |
| | EUR | | | 19,190,000 | | | USD | | | 21,259,503 | | | 09/18/24 | | | (29,369 | ) |
| | GBP | | | 77,860,002 | | | USD | | | 102,364,192 | | | 09/18/24 | | | (92,166 | ) |
| | |
| 24 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS STRATEGIC FACTOR ALLOCATION FUND
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency Purchased | | | Currency Sold | | | Settlement Date | | | Unrealized Loss | |
|
| |
| | | | | | |
MS & Co. Int. PLC (continued) | | USD | | | 16,956,490 | | | AUD | | | 25,930,000 | | | | 09/18/24 | | | $ | (602,359 | ) |
| | USD | | | 150,026,572 | | | CAD | | | 205,010,000 | | | | 09/18/24 | | | | (2,185,819 | ) |
| | USD | | | 2,997,794 | | | CHF | | | 2,620,000 | | | | 09/18/24 | | | | (90,917 | ) |
| | USD | | | 139,695,141 | | | EUR | | | 129,940,000 | | | | 09/18/24 | | | | (4,059,080 | ) |
| | USD | | | 98,131,152 | | | GBP | | | 76,430,000 | | | | 09/18/24 | | | | (2,262,516 | ) |
| | USD | | | 106,359,975 | | | JPY | | | 16,900,200,000 | | | | 09/18/24 | | | | (9,547,258 | ) |
| | USD | | | 214,332,769 | | | NZD | | | 351,210,000 | | | | 09/18/24 | | | | (5,240,330 | ) |
|
| |
| | | | | | |
| TOTAL | | | | | | | | | | | | | | | | | | $ | (24,119,814 | ) |
|
| |
FUTURES CONTRACTS — At August 31, 2024, the Fund had the following futures contracts:
| | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Unrealized
Appreciation/
(Depreciation) | |
|
| |
| | | | |
Long position contracts: | | | | | | | | | | | | | | | | |
10 Year U.S. Treasury Notes | | | 13,062 | | | | 12/19/24 | | | $ | 1,483,353,375 | | | $ | (7,234,545 | ) |
S&P 500 E-Mini Index | | | 5,304 | | | | 09/20/24 | | | | 1,501,297,200 | | | | 67,762,843 | |
|
| |
| | | | |
| TOTAL FUTURES CONTRACTS | | | | | | | | | | | | | | $ | 60,528,298 | |
|
| |
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At August 31, 2024, the Fund had the following purchased and written options:
EXCHANGE TRADED OPTIONS ON EQUITY CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Exercise
Price | | | Expiration Date | | | Number of Contracts | | | Notional
Amount | | | Market
Value | | | Premiums Paid
(Received)
by Fund | | | Unrealized
Appreciation/
(Depreciation) | |
|
| |
| | | | | | | |
Purchased option contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
S&P 500 Index | | $ | 5,520.000 | | | | 09/06/2024 | | | | 29 | | | $ | 16,008,000 | | | $ | 383,525 | | | $ | 60,718 | | | $ | 322,807 | |
S&P 500 Index | | | 5,700.000 | | | | 09/06/2024 | | | | 3 | | | | 1,710,000 | | | | 3,735 | | | | 3,383 | | | | 352 | |
S&P 500 Index | | | 5,730.000 | | | | 09/06/2024 | | | | 3 | | | | 1,719,000 | | | | 1,575 | | | | 6,063 | | | | (4,488 | ) |
S&P 500 Index | | | 5,600.000 | | | | 09/13/2024 | | | | 35 | | | | 19,600,000 | | | | 292,600 | | | | 94,845 | | | | 197,755 | |
S&P 500 Index | | | 5,710.000 | | | | 09/13/2024 | | | | 8 | | | | 4,568,000 | | | | 9,528 | | | | 9,528 | | | | — | |
S&P 500 Index | | | 5,725.000 | | | | 09/13/2024 | | | | 7 | | | | 4,007,500 | | | | 12,005 | | | | 9,317 | | | | 2,688 | |
S&P 500 Index | | | 5,760.000 | | | | 09/13/2024 | | | | 4 | | | | 2,304,000 | | | | 3,660 | | | | 8,404 | | | | (4,744 | ) |
S&P 500 Index | | | 5,735.000 | | | | 09/20/2024 | | | | 20 | | | | 11,470,000 | | | | 30,020 | | | | 30,020 | | | | — | |
S&P 500 Index | | | 5,750.000 | | | | 09/20/2024 | | | | 11 | | | | 6,325,000 | | | | 22,715 | | | | 16,951 | | | | 5,764 | |
S&P 500 Index | | | 5,775.000 | | | | 09/20/2024 | | | | 1 | | | | 577,500 | | | | 1,455 | | | | 1,701 | | | | (246 | ) |
S&P 500 Index | | | 5,780.000 | | | | 09/20/2024 | | | | 37 | | | | 21,386,000 | | | | 49,395 | | | | 75,887 | | | | (26,492 | ) |
S&P 500 Index | | | 5,785.000 | | | | 09/20/2024 | | | | 1 | | | | 578,500 | | | | 1,240 | | | | 2,251 | | | | (1,011 | ) |
S&P 500 Index | | | 5,750.000 | | | | 09/27/2024 | | | | 15 | | | | 8,625,000 | | | | 26,975 | | | | 26,975 | | | | — | |
S&P 500 Index | | | 5,770.000 | | | | 09/27/2024 | | | | 8 | | | | 4,616,000 | | | | 18,000 | | | | 13,608 | | | | 4,392 | |
S&P 500 Index | | | 5,790.000 | | | | 09/27/2024 | | | | 34 | | | | 19,686,000 | | | | 58,820 | | | | 74,514 | | | | (15,694 | ) |
|
| |
| | | | | | | |
| | | | | | | | | | | 216 | | | $ | 123,180,500 | | | $ | 915,248 | | | $ | 434,165 | | | $ | 481,083 | |
|
| |
| | | | | | | |
Puts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
S&P 500 Index | | | 3,400.000 | | | | 09/03/2024 | | | | 465 | | | | 158,100,000 | | | | 1,163 | | | | 166,235 | | | | (165,072) | |
S&P 500 Index | | | 5,050.000 | | | | 09/03/2024 | | | | 344 | | | | 173,720,000 | | | | 3,440 | | | | 9,994 | | | | (6,554) | |
S&P 500 Index | | | 5,565.000 | | | | 09/03/2024 | | | | 5 | | | | 2,782,500 | | | | 488 | | | | 6,155 | | | | (5,667) | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 25 |
GOLDMAN SACHS STRATEGIC FACTOR ALLOCATION FUND
|
Consolidated Schedule of Investments (continued) August 31, 2024 |
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
EXCHANGE TRADED OPTIONS ON EQUITY CONTRACTS (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Exercise
Price | | | Expiration Date | | | Number of Contracts | | | Notional Amount | | | Market
Value | | | Premiums Paid
(Received)
by Fund | | | Unrealized
Appreciation/
(Depreciation) | |
|
| |
S&P 500 Index | | $ | 3,600.000 | | | | 09/04/2024 | | | | 448 | | | $ | 161,280,000 | | | $ | 2,240 | | | $ | 140,730 | | | $ | (138,490 | ) |
S&P 500 Index | | | 5,525.000 | | | | 09/04/2024 | | | | 5 | | | | 2,762,500 | | | | 475 | | | | 12,855 | | | | (12,380 | ) |
S&P 500 Index | | | 3,600.000 | | | | 09/05/2024 | | | | 437 | | | | 157,320,000 | | | | 1,091 | | | | 218,324 | | | | (217,233 | ) |
S&P 500 Index | | | 5,585.000 | | | | 09/05/2024 | | | | 5 | | | | 2,792,500 | | | | 3,850 | | | | 7,255 | | | | (3,405 | ) |
S&P 500 Index | | | 3,600.000 | | | | 09/06/2024 | | | | 429 | | | | 154,440,000 | | | | 1,073 | | | | 150,749 | | | | (149,676 | ) |
S&P 500 Index | | | 5,540.000 | | | | 09/06/2024 | | | | 5 | | | | 2,770,000 | | | | 7,855 | | | | 7,855 | | | | — | |
S&P 500 Index | | | 3,600.000 | | | | 09/09/2024 | | | | 413 | | | | 148,680,000 | | | | 4,130 | | | | 82,959 | | | | (78,829 | ) |
S&P 500 Index | | | 3,600.000 | | | | 09/10/2024 | | | | 404 | | | | 145,440,000 | | | | 4,040 | | | | 59,845 | | | | (55,805 | ) |
S&P 500 Index | | | 3,600.000 | | | | 09/11/2024 | | | | 392 | | | | 141,120,000 | | | | 3,920 | | | | 42,712 | | | | (38,792 | ) |
S&P 500 Index | | | 3,900.000 | | | | 09/12/2024 | | | | 380 | | | | 148,200,000 | | | | 8,550 | | | | 46,645 | | | | (38,095 | ) |
S&P 500 Index | | | 4,000.000 | | | | 09/13/2024 | | | | 373 | | | | 149,200,000 | | | | 13,055 | | | | 43,278 | | | | (30,223 | ) |
S&P 500 Index | | | 4,100.000 | | | | 09/17/2024 | | | | 367 | | | | 150,470,000 | | | | 21,103 | | | | 46,767 | | | | (25,664 | ) |
S&P 500 Index | | | 4,300.000 | | | | 09/17/2024 | | | | 367 | | | | 157,810,000 | | | | 30,277 | | | | 50,812 | | | | (20,535 | ) |
S&P 500 Index | | | 4,100.000 | | | | 09/18/2024 | | | | 367 | | | | 150,470,000 | | | | 28,442 | | | | 50,362 | | | | (21,920 | ) |
S&P 500 Index | | | 3,825.000 | | | | 09/20/2024 | | | | 364 | | | | 139,230,000 | | | | 21,840 | | | | 54,349 | | | | (32,509 | ) |
S&P 500 Index | | | 3,850.000 | | | | 09/20/2024 | | | | 365 | | | | 140,525,000 | | | | 22,813 | | | | 45,005 | | | | (22,192 | ) |
S&P 500 Index | | | 3,800.000 | | | | 09/23/2024 | | | | 364 | | | | 138,320,000 | | | | 24,570 | | | | 45,149 | | | | (20,579 | ) |
S&P 500 Index | | | 4,000.000 | | | | 09/25/2024 | | | | 368 | | | | 147,200,000 | | | | 37,720 | | | | 43,613 | | | | (5,893 | ) |
S&P 500 Index | | | 3,850.000 | | | | 09/30/2024 | | | | 367 | | | | 141,295,000 | | | | 34,865 | | | | 49,522 | | | | (14,657 | ) |
S&P 500 Index | | | 3,925.000 | | | | 09/30/2024 | | | | 370 | | | | 145,225,000 | | | | 40,700 | | | | 61,810 | | | | (21,110 | ) |
S&P 500 Index | | | 4,025.000 | | | | 09/30/2024 | | | | 376 | | | | 151,340,000 | | | | 51,136 | | | | 51,136 | | | | — | |
S&P 500 Index | | | 4,050.000 | | | | 09/30/2024 | | | | 370 | | | | 149,850,000 | | | | 48,100 | | | | 48,470 | | | | (370 | ) |
|
| |
| | | | | | | |
| | | | | | | | | | | 8,150 | | | $ | 3,160,342,500 | | | $ | 416,936 | | | $ | 1,542,586 | | | $ | (1,125,650 | ) |
| |
| | | | | | | |
Total purchased option contracts | | | | | | | | | | | 8,366 | | | $ | 3,283,523,000 | | | $ | 1,332,184 | | | $ | 1,976,751 | | | $ | (644,567 | ) |
| |
| | | | | | | |
Written option contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Puts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
S&P 500 Index | | | 5,365.000 | | | | 09/03/2024 | | | | (1,684) | | | | (903,466,000 | ) | | | (21,050 | ) | | | (233,386 | ) | | | 212,336 | |
S&P 500 Index | | | 5,400.000 | | | | 09/04/2024 | | | | (1,687) | | | | (910,980,000 | ) | | | (33,740 | ) | | | (249,254 | ) | | | 215,514 | |
S&P 500 Index | | | 5,320.000 | | | | 09/05/2024 | | | | (1,688) | | | | (898,016,000 | ) | | | (42,200 | ) | | | (536,362 | ) | | | 494,162 | |
S&P 500 Index | | | 5,020.000 | | | | 09/06/2024 | | | | (45) | | | | (22,590,000 | ) | | | (1,575 | ) | | | (248,266 | ) | | | 246,691 | |
S&P 500 Index | | | 5,030.000 | | | | 09/06/2024 | | | | (3) | | | | (1,509,000 | ) | | | (105 | ) | | | (12,507 | ) | | | 12,402 | |
S&P 500 Index | | | 5,065.000 | | | | 09/06/2024 | | | | (3) | | | | (1,519,500 | ) | | | (105 | ) | | | (9,867 | ) | | | 9,762 | |
S&P 500 Index | | | 5,145.000 | | | | 09/06/2024 | | | | (13) | | | | (6,688,500 | ) | | | (455 | ) | | | (47,863 | ) | | | 47,408 | |
S&P 500 Index | | | 5,200.000 | | | | 09/06/2024 | | | | (15) | | | | (7,800,000 | ) | | | (600 | ) | | | (44,985 | ) | | | 44,385 | |
S&P 500 Index | | | 5,295.000 | | | | 09/06/2024 | | | | (20) | | | | (10,590,000 | ) | | | (1,000 | ) | | | (58,760 | ) | | | 57,760 | |
S&P 500 Index | | | 5,355.000 | | | | 09/06/2024 | | | | (1,714) | | | | (917,847,000 | ) | | | (111,410 | ) | | | (277,516 | ) | | | 166,106 | |
S&P 500 Index | | | 5,385.000 | | | | 09/06/2024 | | | | (15) | | | | (8,077,500 | ) | | | (1,275 | ) | | | (35,475 | ) | | | 34,200 | |
S&P 500 Index | | | 5,410.000 | | | | 09/06/2024 | | | | (6) | | | | (3,246,000 | ) | | | (630 | ) | | | (13,194 | ) | | | 12,564 | |
S&P 500 Index | | | 5,445.000 | | | | 09/06/2024 | | | | (5) | | | | (2,722,500 | ) | | | (800 | ) | | | (9,645 | ) | | | 8,845 | |
S&P 500 Index | | | 5,455.000 | | | | 09/06/2024 | | | | (2) | | | | (1,091,000 | ) | | | (360 | ) | | | (5,478 | ) | | | 5,118 | |
S&P 500 Index | | | 5,475.000 | | | | 09/06/2024 | | | | (4) | | | | (2,190,000 | ) | | | (970 | ) | | | (6,556 | ) | | | 5,586 | |
S&P 500 Index | | | 5,495.000 | | | | 09/06/2024 | | | | (5) | | | | (2,747,500 | ) | | | (1,675 | ) | | | (8,145 | ) | | | 6,470 | |
S&P 500 Index | | | 5,520.000 | | | | 09/06/2024 | | | | (5) | | | | (2,760,000 | ) | | | (2,600 | ) | | | (7,295 | ) | | | 4,695 | |
S&P 500 Index | | | 5,550.000 | | | | 09/06/2024 | | | | (8) | | | | (4,440,000 | ) | | | (6,960 | ) | | | (11,432 | ) | | | 4,472 | |
S&P 500 Index | | | 5,355.000 | | | | 09/09/2024 | | | | (1,711) | | | | (916,240,500 | ) | | | (321,240 | ) | | | (321,240 | ) | | | — | |
S&P 500 Index | | | 5,175.000 | | | | 09/13/2024 | | | | (55) | | | | (28,462,500 | ) | | | (11,137 | ) | | | (187,785 | ) | | | 176,648 | |
S&P 500 Index | | | 5,270.000 | | | | 09/13/2024 | | | | (19) | | | | (10,013,000 | ) | | | (5,367 | ) | | | (63,921 | ) | | | 58,554 | |
S&P 500 Index | | | 5,360.000 | | | | 09/13/2024 | | | | (23) | | | | (12,328,000 | ) | | | (10,350 | ) | | | (63,117 | ) | | | 52,767 | |
S&P 500 Index | | | 5,385.000 | | | | 09/13/2024 | | | | (8) | | | | (4,308,000 | ) | | | (4,320 | ) | | | (21,032 | ) | | | 16,712 | |
S&P 500 Index | | | 5,420.000 | | | | 09/13/2024 | | | | (9) | | | | (4,878,000 | ) | | | (6,255 | ) | | | (21,141 | ) | | | 14,886 | |
| | |
| 26 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS STRATEGIC FACTOR ALLOCATION FUND
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
EXCHANGE TRADED OPTIONS ON EQUITY CONTRACTS (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Exercise Price | | | Expiration Date | | Number of Contracts | | | Notional Amount | | | Market
Value | | | Premiums Paid
(Received)
by Fund | | | Unrealized
Appreciation/
(Depreciation) | |
|
| |
S&P 500 Index | | $ | 5,425.000 | | | 09/13/2024 | | | (1 | ) | | $ | (542,500 | ) | | $ | (715 | ) | | $ | (3,249 | ) | | $ | 2,534 | |
S&P 500 Index | | | 5,440.000 | | | 09/13/2024 | | | (4 | ) | | | (2,176,000 | ) | | | (3,220 | ) | | | (10,076 | ) | | | 6,856 | |
S&P 500 Index | | | 5,445.000 | | | 09/13/2024 | | | (5 | ) | | | (2,722,500 | ) | | | (4,225 | ) | | | (10,995 | ) | | | 6,770 | |
S&P 500 Index | | | 5,460.000 | | | 09/13/2024 | | | (5 | ) | | | (2,730,000 | ) | | | (4,775 | ) | | | (10,795 | ) | | | 6,020 | |
S&P 500 Index | | | 5,485.000 | | | 09/13/2024 | | | (9 | ) | | | (4,936,500 | ) | | | (10,530 | ) | | | (17,361 | ) | | | 6,831 | |
S&P 500 Index | | | 5,515.000 | | | 09/13/2024 | | | (22 | ) | | | (12,133,000 | ) | | | (33,000 | ) | | | (44,418 | ) | | | 11,418 | |
S&P 500 Index | | | 5,415.000 | | | 09/20/2024 | | | (2 | ) | | | (1,083,000 | ) | | | (2,860 | ) | | | (5,298 | ) | | | 2,438 | |
S&P 500 Index | | | 5,420.000 | | | 09/20/2024 | | | (53 | ) | | | (28,726,000 | ) | | | (77,380 | ) | | | (155,767 | ) | | | 78,387 | |
S&P 500 Index | | | 5,430.000 | | | 09/20/2024 | | | (2 | ) | | | (1,086,000 | ) | | | (3,100 | ) | | | (5,258 | ) | | | 2,158 | |
S&P 500 Index | | | 5,455.000 | | | 09/20/2024 | | | (6 | ) | | | (3,273,000 | ) | | | (10,560 | ) | | | (14,394 | ) | | | 3,834 | |
S&P 500 Index | | | 5,485.000 | | | 09/20/2024 | | | (27 | ) | | | (14,809,500 | ) | | | (56,025 | ) | | | (68,293 | ) | | | 12,268 | |
S&P 500 Index | | | 5,435.000 | | | 09/27/2024 | | | (53 | ) | | | (28,805,500 | ) | | | (118,190 | ) | | | (148,587 | ) | | | 30,397 | |
S&P 500 Index | | | 5,465.000 | | | 09/27/2024 | | | (22 | ) | | | (12,023,000 | ) | | | (55,880 | ) | | | (64,798 | ) | | | 8,918 | |
|
| |
| | | | | |
Total written option contracts | | | (8,958 | ) | | $ | (4,799,557,000 | ) | | $ | (966,639 | ) | | $ | (3,053,511 | ) | | $ | 2,086,872 | |
| |
| | | | | | | |
TOTAL | | | | | | | | | (592 | ) | | $ | (1,516,034,000 | ) | | $ | 365,545 | | | $ | (1,076,760 | ) | | $ | 1,442,305 | |
| |
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
3 Month SOFR | | $ | 95.688 | | | | 03/14/2025 | | | | 1,633 | | | $ | 4,082,500 | | | $ | 2,571,975 | | | $ | 1,677,613 | | | $ | 894,362 | |
3 Month SOFR | | | 95.750 | | | | 03/14/2025 | | | | 1,599 | | | | 3,997,500 | | | | 2,348,531 | | | | 2,042,435 | | | | 306,096 | |
3 Month SOFR | | | 96.500 | | | | 03/14/2025 | | | | 1,544 | | | | 3,860,000 | | | | 887,800 | | | | 2,071,470 | | | | (1,183,670 | ) |
3 Month SOFR | | | 95.375 | | | | 06/13/2025 | | | | 1,583 | | | | 3,957,500 | | | | 4,758,894 | | | | 1,843,910 | | | | 2,914,984 | |
3 Month SOFR | | | 95.500 | | | | 06/13/2025 | | | | 1,600 | | | | 4,000,000 | | | | 4,370,000 | | | | 1,663,712 | | | | 2,706,288 | |
3 Month SOFR | | | 95.688 | | | | 06/13/2025 | | | | 1,642 | | | | 4,105,000 | | | | 3,858,700 | | | | 1,666,334 | | | | 2,192,366 | |
3 Month SOFR | | | 96.063 | | | | 06/13/2025 | | | | 78 | | | | 195,000 | | | | 131,137 | | | | 76,231 | | | | 54,906 | |
3 Month SOFR | | | 96.563 | | | | 06/13/2025 | | | | 68 | | | | 170,000 | | | | 70,683 | | | | 70,683 | | | | — | |
3 Month SOFR | | | 96.625 | | | | 06/12/2026 | | | | 813 | | | | 2,032,500 | | | | 1,498,970 | | | | 1,137,815 | | | | 361,155 | |
3 Month SOFR | | | 97.000 | | | | 06/12/2026 | | | | 822 | | | | 2,055,000 | | | | 1,155,898 | | | | 1,155,898 | | | | — | |
|
| |
| | | | | | | |
| | | | | | | | | | | 11,382 | | | $ | 28,455,000 | | | $ | 21,652,588 | | | $ | 13,406,101 | | | $ | 8,246,487 | |
| |
| | | | | | | |
Puts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
3 Month SOFR | | | 95.688 | | | | 03/14/2025 | | | | 1,633 | | | | 4,082,500 | | | | 336,806 | | | | 1,616,376 | | | | (1,279,570 | ) |
3 Month SOFR | | | 95.750 | | | | 03/14/2025 | | | | 1,599 | | | | 3,997,500 | | | | 399,750 | | | | 1,902,522 | | | | (1,502,772 | ) |
3 Month SOFR | | | 96.500 | | | | 03/14/2025 | | | | 1,544 | | | | 3,860,000 | | | | 1,852,801 | | | | 2,082,507 | | | | (229,706 | ) |
3 Month SOFR | | | 95.375 | | | | 06/13/2025 | | | | 1,583 | | | | 3,957,500 | | | | 187,981 | | | | 2,120,935 | | | | (1,932,954 | ) |
3 Month SOFR | | | 95.500 | | | | 06/13/2025 | | | | 1,600 | | | | 4,000,000 | | | | 250,000 | | | | 1,863,712 | | | | (1,613,712 | ) |
3 Month SOFR | | | 95.688 | | | | 06/13/2025 | | | | 1,642 | | | | 4,105,000 | | | | 389,975 | | | | 1,686,860 | | | | (1,296,885 | ) |
3 Month SOFR | | | 96.063 | | | | 06/13/2025 | | | | 78 | | | | 195,000 | | | | 38,025 | | | | 74,281 | | | | (36,256 | ) |
3 Month SOFR | | | 96.563 | | | | 06/13/2025 | | | | 68 | | | | 170,000 | | | | 72,383 | | | | 72,383 | | | | — | |
3 Month SOFR | | | 96.625 | | | | 06/12/2026 | | | | 813 | | | | 2,032,500 | | | | 955,275 | | | | 1,302,686 | | | | (347,411 | ) |
| | |
| The accompanying notes are an integral part of these financial statements. | | 27 |
GOLDMAN SACHS STRATEGIC FACTOR ALLOCATION FUND
|
Consolidated Schedule of Investments (continued) August 31, 2024 |
|
|
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) | |
|
| |
3 Month SOFR | | $ | 97.000 | | | | 06/12/2026 | | | | 822 | | | $ | 2,055,000 | | | $ | 1,316,811 | | | $ | 1,316,811 | | | $ | — | |
|
| |
| | | | | | | |
| | | | | | | | | | | 11,382 | | | $ | 28,455,000 | | | $ | 5,799,807 | | | $ | 14,039,073 | | | $ | (8,239,266 | ) |
| |
| | | | | | | |
Total purchased option contracts | | | | | | | | | | | 22,764 | | | $ | 56,910,000 | | | $ | 27,452,395 | | | $ | 27,445,174 | | | $ | 7,221 | |
| |
| | | | | | | |
Written option contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Puts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
10 Year U.S. Treasury Notes | | | 112.500 | | | | 09/04/2024 | | | | (342 | ) | | | (342,000 | ) | | | (5,344 | ) | | | (4,677 | ) | | | (667 | ) |
10 Year U.S. Treasury Notes | | | 112.750 | | | | 09/04/2024 | | | | (342 | ) | | | (342,000 | ) | | | (5,344 | ) | | | (4,677 | ) | | | (667 | ) |
10 Year U.S. Treasury Notes | | | 113.000 | | | | 09/04/2024 | | | | (683 | ) | | | (683,000 | ) | | | (42,687 | ) | | | (20,012 | ) | | | (22,675 | ) |
10 Year U.S. Treasury Notes | | | 111.500 | | | | 09/06/2024 | | | | (343 | ) | | | (343,000 | ) | | | (2,401 | ) | | | (4,691 | ) | | | 2,290 | |
10 Year U.S. Treasury Notes | | | 111.750 | | | | 09/06/2024 | | | | (341 | ) | | | (341,000 | ) | | | (5,328 | ) | | | (4,663 | ) | | | (665 | ) |
10 Year U.S. Treasury Notes | | | 112.000 | | | | 09/06/2024 | | | | (699 | ) | | | (699,000 | ) | | | (21,844 | ) | | | (16,012 | ) | | | (5,832 | ) |
10 Year U.S. Treasury Notes | | | 112.250 | | | | 09/06/2024 | | | | (700 | ) | | | (700,000 | ) | | | (43,750 | ) | | | (26,119 | ) | | | (17,631 | ) |
|
| |
| | | | | | | | | | | (3,450 | ) | | $ | (3,450,000 | ) | | $ | (126,698 | ) | | $ | (80,851 | ) | | $ | (45,847 | ) |
| |
| | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
10 Year U.S. Treasury Notes | | | 115.250 | | | | 09/04/2024 | | | | (342 | ) | | | (342,000 | ) | | | (342 | ) | | | (15,364 | ) | | | 15,022 | |
10 Year U.S. Treasury Notes | | | 115.500 | | | | 09/04/2024 | | | | (342 | ) | | | (342,000 | ) | | | (342 | ) | | | (10,021 | ) | | | 9,679 | |
10 Year U.S. Treasury Notes | | | 115.750 | | | | 09/04/2024 | | | | (342 | ) | | | (342,000 | ) | | | (342 | ) | | | (10,021 | ) | | | 9,679 | |
10 Year U.S. Treasury Notes | | | 116.250 | | | | 09/04/2024 | | | | (342 | ) | | | (342,000 | ) | | | (342 | ) | | | (4,677 | ) | | | 4,335 | |
10 Year U.S. Treasury Notes | | | 115.500 | | | | 09/06/2024 | | | | (350 | ) | | | (350,000 | ) | | | (4,786 | ) | | | (4,786 | ) | | | — | |
10 Year U.S. Treasury Notes | | | 115.750 | | | | 09/06/2024 | | | | (350 | ) | | | (350,000 | ) | | | (4,786 | ) | | | (4,786 | ) | | | — | |
10 Year U.S. Treasury Notes | | | 116.000 | | | | 09/06/2024 | | | | (341 | ) | | | (341,000 | ) | | | (5,329 | ) | | | (9,992 | ) | | | 4,663 | |
10 Year U.S. Treasury Notes | | | 116.500 | | | | 09/06/2024 | | | | (681 | ) | | | (681,000 | ) | | | (10,641 | ) | | | (14,672 | ) | | | 4,031 | |
10 Year U.S. Treasury Notes | | | 117.250 | | | | 09/06/2024 | | | | (343 | ) | | | (343,000 | ) | | | (343 | ) | | | (1,732 | ) | | | 1,389 | |
| | | | | | | | | | | (3,433 | ) | | $ | (3,433,000 | ) | | $ | (27,253 | ) | | $ | (76,051 | ) | | $ | 48,798 | |
|
| |
| | | | | | | |
Total written option contracts | | | | | | | | | | | (6,883 | ) | | $ | (6,883,000 | ) | | $ | (153,951 | ) | | $ | (156,902 | ) | | $ | 2,951 | |
| |
| | | | | | | |
TOTAL | | | | | | | | | | | 15,881 | | | $ | 50,027,000 | | | $ | 27,298,444 | | | $ | 27,288,272 | | | $ | 10,172 | |
| |
| | |
| |
| Currency Abbreviations: |
| AUD | | —Australian Dollar |
| CAD | | —Canadian Dollar |
| CHF | | —Swiss Franc |
| EUR | | —Euro |
| GBP | | —British Pound |
| JPY | | —Japanese Yen |
| NZD | | —New Zealand Dollar |
| USD | | —U.S. Dollar |
|
|
| | |
| |
| Abbreviations: |
| MS & Co. Int. PLC | | —Morgan Stanley & Co. International PLC |
| SOFR | | —Secured Overnight Financing Rate |
|
|
| | |
| 28 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS STRATEGIC VOLATILITY PREMIUM FUND
|
Consolidated Schedule of Investments August 31, 2024 |
| | | | | | | | | | | | | | | | |
| | | Principal Amount | | | Interest Rate | | | Maturity Date | | Value | |
| |
| | U.S. Treasury Obligations(a) – 64.9% | |
| |
| | U.S. Treasury Bills | |
| | $ | | | 25,000,000 | | | | 0.000 | % | | 10/17/24 | | $ | 24,844,086 | |
| | | | | 50,000,000 | | | | 0.000 | | | 10/29/24 | | | 49,603,066 | |
| | | | | 25,000,000 | | | | 0.000 | | | 11/05/24 | | | 24,779,961 | |
| | | | | 75,000,000 | | | | 0.000 | | | 11/07/24 | | | 74,320,395 | |
| | | | | 25,000,000 | | | | 0.000 | | | 11/12/24 | | | 24,757,027 | |
| | | | | 30,353,400 | | | | 0.000 | | | 12/03/24 | | | 29,976,010 | |
| | | | | 16,375,500 | | | | 0.000 | | | 12/17/24 | | | 16,140,853 | |
| | | | | 20,000,000 | | | | 0.000 | | | 01/09/25 | | | 19,661,866 | |
| | | | | 25,000,000 | | | | 0.000 | | | 01/16/25 | | | 24,554,444 | |
| | | |
| | |
| | TOTAL U.S. TREASURY OBLIGATIONS
(Cost $288,466,089) | | $ | 288,637,708 | |
| | | |
| | | | | | | | | | | | | | | | |
| | | |
| | | Shares | | | Dividend Rate | | Value | |
| |
| | Investment Companies(b) – 31.0% | |
|
Goldman Sachs Financial Square Government Fund —
Institutional Shares | |
| | | | | 5,101,449 | | | | | | | 5.183% | | $ | 5,101,449 | |
| | | |
| | | | | | | | | | | | | | |
| | | Shares | | | Dividend Rate | | Value | |
| |
| | Investment Companies(b) – (continued) | |
| |
| | Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares | |
| | 132,716,299 | | | | | | 5.116% | | $ | 132,716,299 | |
| | | |
| | |
| | TOTAL INVESTMENT COMPANIES
(Cost $ 137,817,748) | | $ | 137,817,748 | |
| | | |
| | |
| | TOTAL INVESTMENTS – 95.9%
(Cost $ 426,283,837) | | $ | 426,455,456 | |
| | | |
| | |
| | OTHER ASSETS IN EXCESS OF
LIABILITIES – 4.1% | | | 18,157,051 | |
| | | |
| | |
| | NET ASSETS – 100.0% | | $ | 444,612,507 | |
| | | |
| | |
| The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. |
| |
| (a) | | Issued with a zero coupon. Income is recognized through the accretion of discount. |
| |
| (b) | | Represents an affiliated fund. |
| | | | | | | | | | |
| |
| | ADDITIONAL INVESTMENT INFORMATION |
FUTURES CONTRACTS — At August 31, 2024, the Fund 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 | | | 1,323 | | | | 12/31/24 | | | $ | 274,584,517 | | | | $(224,502) | |
5 Year U.S. Treasury Notes | | | 1,929 | | | | 12/31/24 | | | | 211,029,587 | | | | (620,711) | |
S&P 500 E-Mini Index | | | 8 | | | | 09/20/24 | | | | 2,264,400 | | | | 38,343 | |
|
| |
| | | | |
| TOTAL FUTURES CONTRACTS | | | | | | | | | | | | | | | $(806,870) | |
|
| |
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At August 31, 2024, the Fund had the following purchased and written options:
EXCHANGE TRADED OPTIONS ON EQUITY CONTRACTS
| | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Exercise Price | | Expiration Date | | Number of Contracts | | | Notional
Amount | | | Market
Value | | | Premiums Paid
(Received) by Fund | | | Unrealized
Appreciation/
(Depreciation) | |
|
| |
| | | | | | |
Purchased option contracts | | | | | | | | | | | | | | | | | | | | | | |
Puts | | | | | | | | | | | | | | | | | | | | | | | | |
| S&P 500 Index | | $3,400.000 | | 09/03/2024 | | | 87 | | | $ | 29,580,000 | | | $ | 218 | | | | $ 26,112 | | | | $ (25,894 | ) |
| S&P 500 Index | | 5,565.000 | | 09/03/2024 | | | 1 | | | | 556,500 | | | | 97 | | | | 1,261 | | | | (1,164 | ) |
| S&P 500 Index | | 3,600.000 | | 09/04/2024 | | | 83 | | | | 29,880,000 | | | | 415 | | | | 26,073 | | | | (25,658 | ) |
| S&P 500 Index | | 5,525.000 | | 09/04/2024 | | | 1 | | | | 552,500 | | | | 95 | | | | 2,571 | | | | (2,476 | ) |
| S&P 500 Index | | 3,600.000 | | 09/05/2024 | | | 81 | | | | 29,160,000 | | | | 202 | | | | 40,466 | | | | (40,264 | ) |
| S&P 500 Index | | 5,585.000 | | 09/05/2024 | | | 1 | | | | 558,500 | | | | 770 | | | | 1,451 | | | | (681 | ) |
| S&P 500 Index | | 3,600.000 | | 09/06/2024 | | | 80 | | | | 28,800,000 | | | | 200 | | | | 28,112 | | | | (27,912 | ) |
| S&P 500 Index | | 5,540.000 | | 09/06/2024 | | | 1 | | | | 554,000 | | | | 1,571 | | | | 1,571 | | | | — | |
| S&P 500 Index | | 3,600.000 | | 09/09/2024 | | | 77 | | | | 27,720,000 | | | | 770 | | | | 15,467 | | | | (14,697 | ) |
| S&P 500 Index | | 3,600.000 | | 09/10/2024 | | | 75 | | | | 27,000,000 | | | | 750 | | | | 11,110 | | | | (10,360 | ) |
| | |
| The accompanying notes are an integral part of these financial statements. | | 29 |
GOLDMAN SACHS STRATEGIC VOLATILITY PREMIUM FUND
|
Consolidated Schedule of Investments (continued) August 31, 2024 |
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
EXCHANGE TRADED OPTIONS ON EQUITY CONTRACTS (continued)
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Exercise Price | | | Expiration
Date | | | Number of Contracts | | | Notional Amount | | | Market
Value | | | Premiums Paid
(Received) by Fund | | | Unrealized
Appreciation/
(Depreciation) | |
|
| |
S&P 500 Index | | $ | | | 3,600.000 | | | | 09/11/2024 | | | | 73 | | | $ | 26,280,000 | | | $ | 730 | | | | $ 7,868 | | | | $ (7,138 | ) |
S&P 500 Index | | | | | 3,900.000 | | | | 09/12/2024 | | | | 70 | | | | 27,300,000 | | | | 1,575 | | | | 8,470 | | | | (6,895 | ) |
S&P 500 Index | | | | | 4,000.000 | | | | 09/13/2024 | | | | 70 | | | | 28,000,000 | | | | 2,450 | | | | 7,985 | | | | (5,535 | ) |
S&P 500 Index | | | | | 4,100.000 | | | | 09/17/2024 | | | | 68 | | | | 27,880,000 | | | | 3,910 | | | | 8,448 | | | | (4,538 | ) |
S&P 500 Index | | | | | 4,300.000 | | | | 09/17/2024 | | | | 68 | | | | 29,240,000 | | | | 5,610 | | | | 9,498 | | | | (3,888 | ) |
S&P 500 Index | | | | | 4,100.000 | | | | 09/18/2024 | | | | 68 | | | | 27,880,000 | | | | 5,270 | | | | 9,033 | | | | (3,763 | ) |
S&P 500 Index | | | | | 3,825.000 | | | | 09/20/2024 | | | | 67 | | | | 25,627,500 | | | | 4,020 | | | | 10,047 | | | | (6,027 | ) |
S&P 500 Index | | | | | 3,850.000 | | | | 09/20/2024 | | | | 68 | | | | 26,180,000 | | | | 4,250 | | | | 8,228 | | | | (3,978 | ) |
S&P 500 Index | | | | | 3,800.000 | | | | 09/23/2024 | | | | 68 | | | | 25,840,000 | | | | 4,590 | | | | 8,668 | | | | (4,078 | ) |
S&P 500 Index | | | | | 4,000.000 | | | | 09/25/2024 | | | | 68 | | | | 27,200,000 | | | | 6,970 | | | | 7,778 | | | | (808 | ) |
S&P 500 Index | | | | | 3,850.000 | | | | 09/30/2024 | | | | 68 | | | | 26,180,000 | | | | 6,460 | | | | 8,908 | | | | (2,448 | ) |
S&P 500 Index | | | | | 3,925.000 | | | | 09/30/2024 | | | | 68 | | | | 26,690,000 | | | | 7,480 | | | | 11,758 | | | | (4,278 | ) |
S&P 500 Index | | | | | 4,025.000 | | | | 09/30/2024 | | | | 70 | | | | 28,175,000 | | | | 9,520 | | | | 9,520 | | | | — | |
S&P 500 Index | | | | | 4,050.000 | | | | 09/30/2024 | | | | 69 | | | | 27,945,000 | | | | 8,970 | | | | 9,039 | | | | (69 | ) |
|
| |
| | | | | |
| Total purchased option contracts | | | | 1,450 | | | $ | 554,779,000 | | | $ | 76,893 | | | | $ 279,442 | | | | $(202,549 | ) |
|
| |
|
Written option contracts | |
Puts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
S&P 500 Index | | | | | 5,365.000 | | | | 09/03/2024 | | | | (312 | ) | | | (167,388,000 | ) | | | (3,900 | ) | | | (43,240 | ) | | | 39,340 | |
S&P 500 Index | | | | | 5,400.000 | | | | 09/04/2024 | | | | (313 | ) | | | (169,020,000 | ) | | | (6,260 | ) | | | (46,246 | ) | | | 39,986 | |
S&P 500 Index | | | | | 5,320.000 | | | | 09/05/2024 | | | | (313 | ) | | | (166,516,000 | ) | | | (7,825 | ) | | | (99,456 | ) | | | 91,631 | |
S&P 500 Index | | | | | 5,355.000 | | | | 09/06/2024 | | | | (315 | ) | | | (168,682,500 | ) | | | (20,475 | ) | | | (51,266 | ) | | | 30,791 | |
S&P 500 Index | | | | | 5,355.000 | | | | 09/09/2024 | | | | (318 | ) | | | (170,289,000 | ) | | | (59,705 | ) | | | (59,705 | ) | | | — | |
|
| |
| | | | | | |
| Total written option contracts | | | | | | | | (1,571 | ) | | $ | (841,895,500 | ) | | $ | (98,165 | ) | | | $(299,913 | ) | | | $ 201,748 | |
|
| |
| | | | | | | | |
| TOTAL | | | | | | | | | | | | | (121 | ) | | $ | (287,116,500 | ) | | $ | (21,272 | ) | | | $ (20,471 | ) | | | $ (801 | ) |
|
| |
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 | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
3 Month SOFR | | $ | | | 96.188 | | | | 09/13/2024 | | | | 31 | | | $ | 77,500 | | | $ | 193 | | | | $ 19,834 | | | | $ (19,641 | ) |
3 Month SOFR | | | | | 96.250 | | | | 09/13/2024 | | | | 31 | | | | 77,500 | | | | 194 | | | | 18,672 | | | | (18,478 | ) |
3 Month SOFR | | | | | 96.375 | | | | 09/13/2024 | | | | 31 | | | | 77,500 | | | | 194 | | | | 16,733 | | | | (16,539 | ) |
3 Month SOFR | | | | | 97.125 | | | | 12/13/2024 | | | | 30 | | | | 75,000 | | | | 2,250 | | | | 15,445 | | | | (13,195 | ) |
3 Month SOFR | | | | | 97.313 | | | | 12/13/2024 | | | | 30 | | | | 75,000 | | | | 1,875 | | | | 10,570 | | | | (8,695 | ) |
3 Month SOFR | | | | | 96.563 | | | | 03/14/2025 | | | | 30 | | | | 75,000 | | | | 15,938 | | | | 12,820 | | | | 3,118 | |
3 Month SOFR | | | | | 96.750 | | | | 03/14/2025 | | | | 30 | | | | 75,000 | | | | 12,750 | | | | 15,820 | | | | (3,070 | ) |
3 Month SOFR | | | | | 96.063 | | | | 06/13/2025 | | | | 15 | | | | 37,500 | | | | 25,219 | | | | 14,660 | | | | 10,559 | |
3 Month SOFR | | | | | 96.250 | | | | 06/13/2025 | | | | 29 | | | | 72,500 | | | | 40,781 | | | | 14,205 | | | | 26,576 | |
3 Month SOFR | | | | | 96.375 | | | | 06/13/2025 | | | | 29 | | | | 72,500 | | | | 36,068 | | | | 12,392 | | | | 23,676 | |
3 Month SOFR | | | | | 96.563 | | | | 06/13/2025 | | | | 13 | | | | 32,500 | | | | 13,513 | | | | 13,513 | | | | — | |
3 Month SOFR | | | | | 96.750 | | | | 09/12/2025 | | | | 29 | | | | 72,500 | | | | 33,713 | | | | 15,655 | | | | 18,058 | |
|
| |
| | | | | | | | |
| | | | | | | | | | | | | 328 | | | $ | 820,000 | | | $ | 182,688 | | | | $180,319 | | | | $ 2,369 | |
|
| |
| | |
| 30 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS STRATEGIC VOLATILITY PREMIUM 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) | |
|
| |
| | | | | | | |
Puts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
3 Month SOFR | | | $ 94.375 | | | | 09/13/2024 | | | | 62 | | | $ | 155,000 | | | $ | 388 | | | | $ 2,469 | | | | $ (2,081 | ) |
3 Month SOFR | | | 94.813 | | | | 09/13/2024 | | | | 31 | | | | 77,500 | | | | 194 | | | | 2,397 | | | | (2,203 | ) |
3 Month SOFR | | | 95.438 | | | | 12/13/2024 | | | | 30 | | | | 75,000 | | | | 3,937 | | | | 12,820 | | | | (8,883 | ) |
3 Month SOFR | | | 95.500 | | | | 12/13/2024 | | | | 30 | | | | 75,000 | | | | 5,250 | | | | 11,695 | | | | (6,445 | ) |
3 Month SOFR | | | 95.000 | | | | 03/14/2025 | | | | 60 | | | | 150,000 | | | | 1,875 | | | | 25,264 | | | | (23,389 | ) |
3 Month SOFR | | | 94.500 | | | | 06/13/2025 | | | | 29 | | | | 72,500 | | | | 725 | | | | 15,292 | | | | (14,567 | ) |
3 Month SOFR | | | 94.750 | | | | 06/13/2025 | | | | 29 | | | | 72,500 | | | | 1,087 | | | | 11,667 | | | | (10,580 | ) |
3 Month SOFR | | | 96.063 | | | | 06/13/2025 | | | | 15 | | | | 37,500 | | | | 7,313 | | | | 14,285 | | | | (6,972 | ) |
3 Month SOFR | | | 96.563 | | | | 06/13/2025 | | | | 13 | | | | 32,500 | | | | 13,838 | | | | 13,838 | | | | — | |
3 Month SOFR | | | 95.000 | | | | 09/12/2025 | | | | 29 | | | | 72,500 | | | | 2,356 | | | | 12,030 | | | | (9,674 | ) |
|
| | |
| | | | | | | | | | | 328 | | | $ | 820,000 | | | $ | 36,963 | | | | $121,757 | | | | $(84,794 | ) |
|
| | |
| | | | | | | |
| Total purchased option contracts | | | | | | | | | | | 656 | | | $ | 1,640,000 | | | $ | 219,651 | | | | $302,076 | | | | $(82,425 | ) |
|
| | |
| | | | | | | |
Written option contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Puts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
10 Year U.S. Treasury Notes | | | 112.500 | | | | 09/04/2024 | | | | (63 | ) | | | (63,000 | ) | | | (984 | ) | | | (861 | ) | | | (123 | ) |
10 Year U.S. Treasury Notes | | | 112.750 | | | | 09/04/2024 | | | | (63 | ) | | | (63,000 | ) | | | (984 | ) | | | (860 | ) | | | (124 | ) |
10 Year U.S. Treasury Notes | | | 113.000 | | | | 09/04/2024 | | | | (126 | ) | | | (126,000 | ) | | | (7,875 | ) | | | (3,692 | ) | | | (4,183 | ) |
10 Year U.S. Treasury Notes | | | 111.500 | | | | 09/06/2024 | | | | (63 | ) | | | (63,000 | ) | | | (441 | ) | | | (862 | ) | | | 421 | |
10 Year U.S. Treasury Notes | | | 111.750 | | | | 09/06/2024 | | | | (64 | ) | | | (64,000 | ) | | | (1,000 | ) | | | (875 | ) | | | (125 | ) |
10 Year U.S. Treasury Notes | | | 112.000 | | | | 09/06/2024 | | | | (130 | ) | | | (130,000 | ) | | | (4,063 | ) | | | (2,966 | ) | | | (1,097 | ) |
10 Year U.S. Treasury Notes | | | 112.250 | | | | 09/06/2024 | | | | (130 | ) | | | (130,000 | ) | | | (8,125 | ) | | | (4,840 | ) | | | (3,285 | ) |
|
| | |
| | | | | | | | | | | (639 | ) | | $ | (639,000 | ) | | $ | (23,472 | ) | | | $ (14,956 | ) | | | $ (8,516 | ) |
|
| | |
| | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
10 Year U.S. Treasury Notes | | | 115.250 | | | | 09/04/2024 | | | | (63 | ) | | | (63,000 | ) | | | (63 | ) | | | (2,830 | ) | | | 2,767 | |
10 Year U.S. Treasury Notes | | | 115.500 | | | | 09/04/2024 | | | | (63 | ) | | | (63,000 | ) | | | (63 | ) | | | (1,846 | ) | | | 1,783 | |
10 Year U.S. Treasury Notes | | | 115.750 | | | | 09/04/2024 | | | | (63 | ) | | | (63,000 | ) | | | (63 | ) | | | (1,846 | ) | | | 1,783 | |
10 Year U.S. Treasury Notes | | | 116.250 | | | | 09/04/2024 | | | | (63 | ) | | | (63,000 | ) | | | (63 | ) | | | (862 | ) | | | 799 | |
10 Year U.S. Treasury Notes | | | 115.500 | | | | 09/06/2024 | | | | (65 | ) | | | (65,000 | ) | | | (889 | ) | | | (889 | ) | | | — | |
10 Year U.S. Treasury Notes | | | 115.750 | | | | 09/06/2024 | | | | (65 | ) | | | (65,000 | ) | | | (889 | ) | | | (889 | ) | | | — | |
10 Year U.S. Treasury Notes | | | 116.000 | | | | 09/06/2024 | | | | (64 | ) | | | (64,000 | ) | | | (1,000 | ) | | | (1,875 | ) | | | 875 | |
10 Year U.S. Treasury Notes | | | 116.500 | | | | 09/06/2024 | | | | (127 | ) | | | (127,000 | ) | | | (1,984 | ) | | | (2,721 | ) | | | 737 | |
10 Year U.S. Treasury Notes | | | 117.250 | | | | 09/06/2024 | | | | (63 | ) | | | (63,000 | ) | | | (63 | ) | | | (318 | ) | | | 255 | |
|
| | |
| | | | | | | |
| | | | | | | | | | | (636 | ) | | $ | (636,000 | ) | | $ | (5,077 | ) | | | $ (14,076 | ) | | | $ 8,999 | |
|
| | |
| | | | | | | |
| Total written option contracts | | | | | | | | | | | (1,275 | ) | | $ | (1,275,000 | ) | | $ | (28,549 | ) | | | $ (29,032 | ) | | | $ 483 | |
|
| | |
| | | | | | | |
| TOTAL | | | | | | | | | | | (619 | ) | | $ | 365,000 | | | $ | 191,102 | | | | $273,044 | | | | $(81,942 | ) |
|
| | |
| | |
|
|
| Abbreviation: |
| SOFR —Secured Overnight Financing Rate |
|
|
| | |
| The accompanying notes are an integral part of these financial statements. | | 31 |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
|
Consolidated Schedule of Investments August 31, 2024 |
| | | | | | | | | | | | | | | | |
| | | Principal Amount | | | Interest
Rate | | | Maturity Date | | Value | |
| |
| | Corporate Obligations(a) – 0.4% | |
| |
| | Banks(a) – 0.4% | |
| | Barclays Bank PLC (Secured Overnight Financing Rate + 0.380%) | |
| | $ | | | 15,742,000 | | | | 5.710 | % | | 05/08/25 | | $ | 15,754,897 | |
| | | |
| | |
| | TOTAL CORPORATE OBLIGATIONS (Cost $14,171,959) | | $ | 15,754,897 | |
| | | |
| | | | | | | | | | | | | | | | |
| |
| | Agency Debentures – 0.1% | |
| |
| | Sovereign – 0.1% | |
| | Federal Farm Credit Banks Funding Corp.(a) (Federal Reserve Bank Prime Loan Rate + -3.010%) | |
| | $ | | | 166,000 | | | | 5.490 | % | | 08/07/25 | | $ | 166,121 | |
| | (Secured Overnight Financing Rate + 0.200%) | |
| | | | | 140,000 | | | | 5.530 | | | 12/05/24 | | | 140,091 | |
| | Federal Home Loan Banks | |
| | | | | 4,160,000 | | | | 5.500 | | | 10/11/24 | | | 4,159,293 | |
| | (Secured Overnight Financing Rate + 0.120%) | |
| | | | | 555,000 | | | | 5.450 | (a) | | 01/03/25 | | | 555,261 | |
| | | |
| | |
| | TOTAL AGENCY DEBENTURES (Cost $5,022,816) | | $ | 5,020,766 | |
| | | |
| | | | | | | | | | | | | | | | |
| |
| | U.S. Treasury Obligations – 13.0% | |
| |
| | U.S. Treasury Bills(b) | |
| | $ | | | 53,656,500 | | | | 0.000 | % | | 11/21/24 | | $ | 53,068,422 | |
| | | | | 38,546,400 | | | | 0.000 | | | 11/26/24 | | | 38,099,562 | |
| | | | | 2,290,900 | | | | 0.000 | | | 11/29/24 | | | 2,263,362 | |
| | | | | 62,942,200 | | | | 0.000 | | | 12/03/24 | | | 62,159,626 | |
| | | | | 11,475,000 | | | | 0.000 | | | 12/17/24 | | | 11,310,573 | |
| | | | | 32,723,100 | | | | 0.000 | | | 12/26/24 | | | 32,220,411 | |
| | | | | 12,399,400 | | | | 0.000 | | | 01/30/25 | | | 12,156,650 | |
| | | | | 69,592,400 | | | | 0.000 | | | 02/13/25 | | | 68,108,526 | |
| | | | | 3,260,100 | | | | 0.000 | | | 02/20/25 | | | 3,187,775 | |
| | U.S. Treasury Floating Rate Notes(a) | |
| | (3 mo. Treasury money market yield + 0.169%) | |
| | | | | 1,000,400 | | | | 5.213 | (c) | | 04/30/25 | | | 999,948 | |
| | (3 mo. Treasury money market yield + 0.125%) | |
| | | | | 33,979,800 | | | | 5.169 | | | 07/31/25 | | | 33,945,186 | |
| | (3 mo. Treasury money market yield + 0.170%) | |
| | | | | 30,353,500 | | | | 5.214 | | | 10/31/25 | | | 30,329,060 | |
| | (3 mo. Treasury money market yield + 0.245%) | |
| | | | | 33,403,700 | | | | 5.289 | (c) | | 01/31/26 | | | 33,408,634 | |
| | (3 mo. Treasury money market yield + 0.150%) | |
| | | | | 62,833,300 | | | | 5.194 | | | 04/30/26 | | | 62,746,701 | |
| | U.S. Treasury Notes | |
| | | | | 58,878,200 | | | | 1.500 | (c) | | 11/30/24 | | | 58,390,615 | |
| | | | | 28,634,700 | | | | 0.250 | | | 05/31/25 | | | 27,736,510 | |
| | | | | 3,659,000 | | | | 3.500 | | | 09/15/25 | | | 3,626,555 | |
| | | | | 79,020,000 | | | | 3.875 | | | 08/15/33 | | | 78,859,491 | |
| | | |
| | |
| | TOTAL U. S. TREASURY OBLIGATIONS (Cost $607,034,708) | | $ | 612,617,607 | |
| | | |
| | | | | | | | |
| | | Shares | | Description | | Value | |
| |
| | Exchange Traded Funds – 5.1% | |
| | | |
| | 256,040 | | Alerian MLP ETF(d) | | $ | 12,118,373 | |
| | 715,723 | | Consumer Staples Select Sector SPDR Fund | | | 59,054,305 | |
| | 32,679 | | iShares 20+ Year Treasury Bond ETF | | | 3,153,197 | |
| | 217,972 | | iShares 7-10 Year Treasury Bond ETF | | | 21,158,542 | |
| | 11,217 | | iShares Core MSCI Emerging Markets ETF | | | 610,878 | |
| | 18,449 | | iShares Core S&P 500 ETF | | | 10,455,971 | |
| | 233,273 | | iShares Gold Trust | | | 11,029,147 | |
| | 9,453 | | iShares iBoxx $High Yield Corporate Bond ETF | | | 750,001 | |
| | 23,956 | | iShares iBoxx $Investment Grade Corporate Bond ETF | | | 2,664,147 | |
| | 864,052 | | iShares MSCI Mexico ETF(d) | | | 45,829,318 | |
| | 3,406,799 | | Sprott Physical Uranium Trust | | | 62,339,378 | |
| | 117,899 | | Vanguard Real Estate ETF | | | 11,215,732 | |
| | | |
| | TOTAL EXCHANGE TRADED FUNDS (Cost $226,142,020) | | $ | 240,378,989 | |
| | | |
| | | |
| | | Shares | | Dividend Rate | | Value | |
| |
| | Investment Companies(e) – 34.0% | |
| |
| | Goldman Sachs Energy Infrastructure Fund — Class R6 | |
| | 1,836,689 | | 3.697% | | $ | 24,942,235 | |
| | Goldman Sachs Financial Square Government Fund —
Institutional Shares | |
| | 1,567,406,812 | | 5.183 | | | 1,567,406,812 | |
| | Goldman Sachs MLP Energy Infrastructure Fund — Class R6 | |
| | 117,107 | | 6.484 | | | 4,337,646 | |
| | | |
| | TOTAL INVESTMENT COMPANIES (Cost $1,581,308,394) | | $ | 1,596,686,693 | |
| | | |
| | TOTAL INVESTMENTS BEFORE SHORT-TERM INVESTMENTS – 52.6% (Cost $2,433,679,897) | | $ | 2,470,458,952 | |
| | | |
| | | | | | | | | | | | | | | | |
| | | | |
| | | Principal Amount | | | Interest
Rate | | | Maturity Date | | Value | |
| |
| | Short-term Investments – 45.1% | |
| |
| | Certificates of Deposit – 13.1% | |
| | Banco Santander SA | |
| | $ | | | 10,904,000 | | | | 5.750 | % | | 11/27/24 | | $ | 10,915,676 | |
| | | | | 16,273,000 | | | | 5.260 | | | 03/03/25 | | | 16,296,315 | |
| | | | | 8,000,000 | | | | 5.370 | | | 03/07/25 | | | 8,012,286 | |
| | Bank of America NA | |
| | | | | 6,525,000 | | | | 5.310 | | | 10/10/24 | | | 6,524,626 | |
| | | | | 1,548,000 | | | | 5.730 | (a) | | 07/03/25 | | | 1,548,205 | |
| | Barclays Bank PLC(a) | |
| | (Secured Overnight Financing Rate + 0.380%) | |
| | | | | 14,721,000 | | | | 5.710 | | | 02/07/25 | | | 14,729,970 | |
| | | |
| | |
| 32 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
| | | | | | | | | | | | | | | | |
| | | Principal
Amount | | | Interest
Rate | | | Maturity Date | | Value | |
| |
| | Short-term Investments – (continued) | |
| |
| | Certificates of Deposit – (continued) | |
| | $ | | | 4,659,000 | | | | 5.710 | % | | 02/21/25 | | $ | 4,662,420 | |
| | Bay Square Funding LLC(a)(f) | |
| | (Secured Overnight Financing Rate + 0.240%) | |
| | | | | 3,503,000 | | | | 5.570 | | | 10/01/24 | | | 3,503,060 | |
| | | | | 27,321,000 | | | | 5.570 | | | 12/02/24 | | | 27,325,877 | |
| | (Secured Overnight Financing Rate + 0.270%) | |
| | | | | 12,502,000 | | | | 5.610 | | | 10/15/24 | | | 12,504,171 | |
| | (Secured Overnight Financing Rate + 0.300%) | |
| | | | | 2,750,000 | | | | 5.640 | | | 02/14/25 | | | 2,750,242 | |
| | Bayerische Landesbank | |
| | | | | 8,400,000 | | | | 6.000 | | | 09/25/24 | | | 8,402,171 | |
| | | | | 4,600,000 | | | | 5.100 | | | 01/10/25 | | | 4,597,838 | |
| | | | | 4,300,000 | | | | 5.210 | (a) | | 01/10/25 | | | 4,299,594 | |
| | (Secured Overnight Financing Rate + 0.450%) | |
| | | | | 23,436,000 | | | | 5.800 | (a) | | 04/14/25 | | | 23,458,963 | |
| | BNP Paribas SA(a) (Secured Overnight Financing Rate + 0.310%) | |
| | | | | 5,748,000 | | | | 5.640 | | | 03/07/25 | | | 5,750,795 | |
| | Canadian Imperial Bank of Commerce | |
| | | | | 8,219,000 | | | | 5.950 | | | 09/19/24 | | | 8,220,475 | |
| | Citibank NA(a) (Secured Overnight Financing Rate + 0.600%) | |
| | | | | 15,634,000 | | | | 5.930 | | | 10/28/24 | | | 15,646,601 | |
| | City of San Antonio | |
| | | | | 9,330,000 | | | | 5.460 | | | 09/19/24 | | | 9,330,754 | |
| | Collateralized Commercial Paper FLEX Co. LLC(a)(f) | |
| | | | | 7,663,000 | | | | 5.640 | | | 03/07/25 | | | 7,663,850 | |
| | (Secured Overnight Financing Rate + 0.400%) | |
| | | | | 20,789,000 | | | | 5.740 | (g) | | 05/20/25 | | | 20,797,416 | |
| | Cooperatieve Rabobank UA | |
| | | | | 9,931,000 | | | | 5.800 | | | 11/12/24 | | | 9,943,316 | |
| | | | | 4,476,000 | | | | 5.500 | | | 12/16/24 | | | 4,481,176 | |
| | Deutsche Bank AG | |
| | | | | 16,085,000 | | | | 5.800 | | | 12/12/24 | | | 16,100,414 | |
| | HSBC Bank PLC(a)(f) (Secured Overnight Financing Rate +
0.330%) | |
| | | | | 4,780,000 | | | | 5.670 | | | 02/07/25 | | | 4,782,819 | |
| | HSBC Bank USA NA | |
| | | | | 12,180,000 | | | | 5.980 | | | 09/25/24 | | | 12,182,956 | |
| | Kookmin Bank | |
| | (Secured Overnight Financing Rate + 0.600%) | |
| | | | | 18,548,000 | | | | 5.950 | (a) | | 01/08/25 | | | 18,568,897 | |
| | | | | 23,801,000 | | | | 5.950 | (a) | | 03/20/25 | | | 23,822,138 | |
| | (Secured Overnight Financing Rate + 0.650%) | |
| | | | | 15,509,000 | | | | 6.000 | (a) | | 01/29/25 | | | 15,530,738 | |
| | Landesbank Baden-Wuerttemberg | |
| | | | | 7,600,000 | | | | 5.990 | | | 09/25/24 | | | 7,601,854 | |
| | Landesbank Hessen-Thueringen Girozentrale(a) (Secured Overnight Financing Rate + 0.350%) | |
| | | | | 26,545,000 | | | | 5.680 | | | 05/06/25 | | | 26,562,077 | |
| | Lloyds Bank Corporate Markets PLC | |
| | | | | 4,921,000 | | | | 6.050 | | | 10/07/24 | | | 4,923,226 | |
| | | | | 7,561,000 | | | | 5.510 | | | 05/22/25 | | | 7,600,641 | |
| | Macquarie Bank Ltd.(a)(f) (Secured Overnight Financing Rate + 0.600%) | |
| | | | | 17,391,000 | | | | 5.940 | | | 11/07/24 | | | 17,406,818 | |
| | Mitsubishi UFJ Trust & Banking Corp.(a) | |
| | (Secured Overnight Financing Rate + 0.400%) | |
| | | | | 12,227,000 | | | | 5.750 | | | 05/01/25 | | | 12,237,738 | |
| | | | | 5,136,000 | | | | 5.750 | | | 08/14/25 | | | 5,137,736 | |
| | | |
| | | | | | | | | | | | | | | | |
| | | Principal
Amount | | | Interest
Rate | | | Maturity Date | | Value | |
| |
| | Short-term Investments – (continued) | |
| |
| | Certificates of Deposit – (continued) | |
| | Mizuho Bank Ltd.(a) (Secured Overnight Financing Rate + 0.350%) | |
| | $ | | | 2,000,000 | | | | 5.700 | % | | 01/31/25 | | $ | 2,000,927 | |
| | MUFG Bank Ltd.(a) (Secured Overnight Financing Rate + 0.240%) | |
| | | | | 1,000,000 | | | | 5.590 | | | 10/25/24 | | | 1,000,178 | |
| | Natixis SA | |
| | | | | 13,800,000 | | | | 5.990 | | | 09/17/24 | | | 13,802,573 | |
| | | | | 13,500,000 | | | | 5.400 | | | 03/17/25 | | | 13,527,982 | |
| | Norinchukin Bank(a) (Secured Overnight Financing Rate + 0.220%) | |
| | | | | 12,613,000 | | | | 5.550 | | | 10/25/24 | | | 12,615,038 | |
| | Northern Trust Co. | |
| | | | | 1,640,000 | | | | 5.400 | | | 09/20/24 | | | 1,640,011 | |
| | Old Line Funding LLC(a)(f)(g) (Secured Overnight Financing Rate +0.250%) | |
| | | | | 22,653,000 | | | | 5.600 | | | 10/15/24 | | | 22,657,323 | |
| | Salisbury Receivables Co. LLC(a)(f) | |
| | | | | 5,772,000 | | | | 5.530 | | | 12/12/24 | | | 5,772,159 | |
| | Standard Chartered Bank(a) | |
| | | | | 8,787,000 | | | | 6.050 | | | 09/05/24 | | | 8,787,609 | |
| | (Secured Overnight Financing Rate + 0.350%) | |
| | | | | 11,000,000 | | | | 5.680 | | | 05/21/25 | | | 11,005,820 | |
| | Starbird Funding Corp.(a)(f) | |
| | | | | 5,154,000 | | | | 5.560 | | | 10/02/24 | | | 5,154,603 | |
| | (Secured Overnight Financing Rate + 0.240%) | |
| | | | | 15,557,000 | | | | 5.580 | | | 10/01/24 | | | 15,558,922 | |
| | Sumitomo Mitsui Banking Corp.(a) | |
| | (Secured Overnight Financing Rate + 0.200%) | |
| | | | | 3,000,000 | | | | 5.550 | | | 09/06/24 | | | 3,000,042 | |
| | (Secured Overnight Financing Rate + 0.240%) | |
| | | | | 20,099,000 | | | | 5.590 | | | 02/14/25 | | | 20,100,730 | |
| | Sumitomo Mitsui Trust Bank Ltd.(a) (Secured Overnight
Financing Rate + 0.290%) | |
| | | | | 11,885,000 | | | | 5.640 | | | 04/14/25 | | | 11,887,152 | |
| | Svenska Handelsbanken AB(a) (Secured Overnight Financing Rate + 0.550%) | |
| | | | | 4,096,000 | | | | 5.880 | | | 11/05/24 | | | 4,099,400 | |
| | Toronto-Dominion Bank | |
| | | | | 25,194,000 | | | | 5.400 | | | 01/03/25 | | | 25,213,772 | |
| | Versailles Commercial Paper LLC(a)(f)(g) (Secured Overnight Financing Rate + 0.230%) | |
| | | | | 7,000,000 | | | | 5.570 | | | 01/02/25 | | | 7,000,349 | |
| | Wells Fargo Bank NA | |
| | | | | 7,082,000 | | | | 5.230 | | | 12/13/24 | | | 7,081,268 | |
| | Westpac Banking Corp.(a)(f) (Secured Overnight Financing Rate + 0.330%) | |
| | | | | 20,000,000 | | | | 5.670 | | | 05/01/25 | | | 20,016,435 | |
| | | | | | | | | | | | | | | | |
| | | | | 615,746,142 | |
| | | |
| |
| | Commercial Paper(b) – 32.0% | |
| | Air Liquide U.S. LLC(f) | |
| | | | | 13,300,000 | | | | 0.000 | | | 12/20/24 | | | 13,093,856 | |
| | American Honda Finance Corp. | |
| | | | | 16,041,000 | | | | 0.000 | | | 09/09/24 | | | 16,016,887 | |
| | | | | 5,616,000 | | | | 0.000 | | | 09/16/24 | | | 5,601,633 | |
| | AstraZeneca PLC(f) | |
| | | | | 9,436,000 | | | | 0.000 | | | 10/04/24 | | | 9,386,354 | |
| | | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 33 |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
|
Consolidated Schedule of Investments (continued) August 31, 2024 |
| | | | | | | | | | | | | | | | |
| | | Principal Amount | | | Interest
Rate | | | Maturity Date | | Value | |
| |
| | Short-term Investments – (continued) | |
| |
| | Commercial Paper(b) – (continued) | |
| | AT&T, Inc.(f) | |
| | $ | | | 13,644,000 | | | | 0.000 | % | | 09/30/24 | | $ | 13,580,599 | |
| | Atlantic Asset Securitization LLC(f) | |
| | | | | 3,156,000 | | | | 0.000 | | | 11/06/24 | | | 3,124,862 | |
| | | | | 1,212,000 | | | | 0.000 | | | 01/15/25 | | | 1,189,058 | |
| | Australia & New Zealand Banking Group Ltd.(f) | |
| | | | | 10,098,000 | | | | 0.000 | | | 01/14/25 | | | 9,911,077 | |
| | Barclays Bank PLC(f) | |
| | | | | 8,500,000 | | | | 0.000 | | | 10/09/24 | | | 8,450,146 | |
| | | | | 5,443,000 | | | | 0.000 | | | 01/31/25 | | | 5,329,974 | |
| | BASF SE(f) | |
| | | | | 15,081,000 | | | | 0.000 | | | 09/27/24 | | | 15,018,598 | |
| | | | | 5,243,000 | | | | 0.000 | | | 09/30/24 | | | 5,218,993 | |
| | Bay Square Funding LLC(f) | |
| | | | | 2,584,000 | | | | 0.000 | | | 09/19/24 | | | 2,576,366 | |
| | Bayer Corp.(f) | |
| | | | | 3,000,000 | | | | 0.000 | | | 09/16/24 | | | 2,992,240 | |
| | BofA Securities, Inc. | |
| | | | | 8,080,000 | | | | 0.000 | | | 03/11/25 | | | 7,871,917 | |
| | Brighthouse Financial Short Term Funding LLC(f) | |
| | | | | 1,834,000 | | | | 0.000 | | | 09/05/24 | | | 1,832,368 | |
| | Cabot Trail Funding LLC(f) | |
| | | | | 5,037,000 | | | | 0.000 | | | 11/05/24 | | | 4,988,306 | |
| | | | | 30,000,000 | | | | 0.000 | | | 01/10/25 | | | 29,448,419 | |
| | Caisse d’Amortissement de la Dette Sociale(f) | |
| | | | | 9,337,000 | | | | 0.000 | | | 03/03/25 | | | 9,106,903 | |
| | Cancara Asset Securitisation LLC | |
| | | | | 33,526,000 | | | | 0.000 | | | 09/13/24 | | | 33,456,277 | |
| | | | | 5,960,000 | | | | 0.000 | | | 02/07/25 | | | 5,830,317 | |
| | CDP Financial, Inc.(f) | |
| | | | | 7,771,000 | | | | 0.000 | | | 02/04/25 | | | 7,606,723 | |
| | Cigna Group(f) | |
| | | | | 29,000,000 | | | | 0.000 | | | 09/19/24 | | | 28,912,157 | |
| | Cisco Systems, Inc.(f) | |
| | | | | 13,810,000 | | | | 0.000 | | | 01/31/25 | | | 13,525,135 | |
| | | | | 2,818,000 | | | | 0.000 | | | 02/03/25 | | | 2,758,813 | |
| | Citigroup Global Markets, Inc.(f) | |
| | | | | 8,503,000 | | | | 0.000 | | | 09/16/24 | | | 8,481,708 | |
| | Collateralized Commercial Paper Co. LLC | |
| | | | | 8,311,761 | | | | 0.000 | | | 09/05/24 | | | 8,304,674 | |
| | Dexia SA(f) | |
| | | | | 22,707,000 | | | | 0.000 | | | 02/03/25 | | | 22,228,102 | |
| | DNB Bank ASA(f) | |
| | | | | 4,889,000 | | | | 0.000 | | | 01/15/25 | | | 4,798,454 | |
| | Duke Energy Corp.(f) | |
| | | | | 20,000,000 | | | | 0.000 | | | 09/19/24 | | | 19,939,419 | |
| | eBay, Inc.(f) | |
| | | | | 21,348,000 | | | | 0.000 | | | 01/17/25 | | | 20,932,623 | |
| | | | | 4,912,000 | | | | 0.000 | | | 01/21/25 | | | 4,814,271 | |
| | Enel Finance America LLC(f) | |
| | | | | 5,966,000 | | | | 0.000 | | | 09/27/24 | | | 5,940,634 | |
| | | | | 12,878,000 | | | | 0.000 | | | 10/30/24 | | | 12,761,105 | |
| | | | | 8,121,000 | | | | 0.000 | | | 11/18/24 | | | 8,025,353 | |
| | Entergy Corp.(f) | |
| | | | | 10,268,000 | | | | 0.000 | | | 10/23/24 | | | 10,185,907 | |
| | European Investment Bank | |
| | | | | 8,000,000 | | | | 0.000 | | | 04/17/25 | | | 7,764,327 | |
| | | |
| | | | | | | | | | | | | | | | |
| | | Principal Amount | | | Interest
Rate | | | Maturity Date | | Value | |
| |
| | Short-term Investments – (continued) | |
| |
| | Commercial Paper(b) – (continued) | |
| | General Motors Financial Co., Inc.(f) | |
| | $ | | | 15,116,000 | | | | 0.000 | % | | 10/01/24 | | $ | 15,042,001 | |
| | | | | 4,118,000 | | | | 0.000 | | | 10/02/24 | | | 4,097,216 | |
| | | | | 1,687,000 | | | | 0.000 | | | 10/09/24 | | | 1,676,697 | |
| | | | | 9,993,000 | | | | 0.000 | | | 10/22/24 | | | 9,912,624 | |
| | | | | 19,929,000 | | | | 0.000 | | | 10/23/24 | | | 19,765,781 | |
| | | | | 1,685,000 | | | | 0.000 | | | 10/28/24 | | | 1,669,968 | |
| | | | | 9,736,000 | | | | 0.000 | | | 11/18/24 | | | 9,619,745 | |
| | | | | 5,914,000 | | | | 0.000 | | | 01/21/25 | | | 5,789,711 | |
| | | | | 3,841,000 | | | | 0.000 | | | 02/03/25 | | | 3,753,705 | |
| | Glencore Funding LLC(f) | |
| | | | | 12,866,000 | | | | 0.000 | | | 10/31/24 | | | 12,747,528 | |
| | | | | 9,433,000 | | | | 0.000 | | | 01/10/25 | | | 9,254,291 | |
| | Gotham Funding Corp.(f) | |
| | | | | 15,000,000 | | | | 0.000 | | | 10/09/24 | | | 14,912,111 | |
| | | | | 13,450,000 | | | | 0.000 | | | 11/04/24 | | | 13,322,171 | |
| | GTA Funding LLC(f) | |
| | | | | 2,867,000 | | | | 0.000 | | | 12/11/24 | | | 2,825,346 | |
| | | | | 13,904,000 | | | | 0.000 | | | 01/07/25 | | | 13,653,960 | |
| | HSBC USA, Inc.(f) | |
| | | | | 15,000,000 | | | | 0.000 | | | 07/03/25 | | | 14,388,307 | |
| | | | | 8,350,000 | | | | 0.000 | | | 07/23/25 | | | 7,992,516 | |
| | | | | 12,858,000 | | | | 0.000 | | | 08/19/25 | | | 12,267,962 | |
| | | | | 10,537,000 | | | | 0.000 | | | 08/27/25 | | | 10,043,826 | |
| | Intesa Sanpaolo Funding LLC | |
| | | | | 3,278,000 | | | | 0.000 | | | 01/09/25 | | | 3,214,117 | |
| | | | | 13,908,000 | | | | 0.000 | | | 04/04/25 | | | 13,481,876 | |
| | Keurig Dr. Pepper, Inc.(f) | |
| | | | | 13,419,000 | | | | 0.000 | | | 09/19/24 | | | 13,378,353 | |
| | Kreditanstalt fuer Wiederaufbau(f) | |
| | | | | 12,779,000 | | | | 0.000 | | | 02/10/25 | | | 12,500,536 | |
| | La Fayette Asset Securitization LLC(f) | |
| | | | | 11,944,000 | | | | 0.000 | | | 01/13/25 | | | 11,721,279 | |
| | Liberty Street Funding LLC(f) | |
| | | | | 5,307,000 | | | | 0.000 | | | 09/04/24 | | | 5,303,066 | |
| | Lime Funding LLC(f) | |
| | | | | 11,722,000 | | | | 0.000 | | | 01/09/25 | | | 11,509,160 | |
| | LMA-Americas LLC(f) | |
| | | | | 3,563,000 | | | | 0.000 | | | 10/09/24 | | | 3,542,071 | |
| | | | | 1,850,000 | | | | 0.000 | | | 10/10/24 | | | 1,838,868 | |
| | | | | 5,672,000 | | | | 0.000 | | | 10/17/24 | | | 5,632,251 | |
| | | | | 30,000,000 | | | | 0.000 | | | 10/22/24 | | | 29,768,891 | |
| | | | | 6,705,000 | | | | 0.000 | | | 02/27/25 | | | 6,543,079 | |
| | L’Oreal SA(f) | |
| | | | | 22,693,000 | | | | 0.000 | | | 10/15/24 | | | 22,542,469 | |
| | LVMH Moet Hennessy Louis Vuitton SE(f) | |
| | | | | 26,000,000 | | | | 0.000 | | | 11/15/24 | | | 25,715,568 | |
| | | | | 18,935,000 | | | | 0.000 | | | 03/14/25 | | | 18,449,622 | |
| | | | | 1,560,000 | | | | 0.000 | | | 03/17/25 | | | 1,519,483 | |
| | | | | 17,848,000 | | | | 0.000 | | | 04/07/25 | | | 17,342,528 | |
| | Macquarie Bank Ltd.(f) | |
| | | | | 6,760,000 | | | | 0.000 | | | 02/13/25 | | | 6,607,397 | |
| | Mercedes-Benz Finance North America LLC(f) | |
| | | | | 4,456,000 | | | | 0.000 | | | 09/20/24 | | | 4,442,213 | |
| | Mont Blanc Capital Corp.(f) | |
| | | | | 7,832,000 | | | | 0.000 | | | 01/21/25 | | | 7,678,367 | |
| | MUFG Bank Ltd. | |
| | | | | 20,209,000 | | | | 0.000 | | | 02/04/25 | | | 19,778,817 | |
| | | |
| | |
| 34 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
| | | | | | | | | | | | | | | | |
| | | Principal Amount | | | Interest
Rate | | | Maturity Date | | Value | |
| |
| | Short-term Investments – (continued) | |
| |
| | Commercial Paper(b) – (continued) | |
| | National Bank of Canada(f) | |
| | $ | | | 14,470,000 | | | | 0.000 | % | | 01/17/25 | | $ | 14,193,610 | |
| | Nieuw Amsterdam Receivables Corp. BV(f) | |
| | | | | 23,273,000 | | | | 0.000 | | | 01/17/25 | | | 22,829,671 | |
| | Northwestern Mutual Short Term Funding LLC(f) | |
| | | | | 6,568,000 | | | | 0.000 | | | 10/29/24 | | | 6,511,953 | |
| | | | | 14,785,000 | | | | 0.000 | | | 11/04/24 | | | 14,646,652 | |
| | Nutrien Ltd.(f) | |
| | | | | 8,432,000 | | | | 0.000 | | | 09/04/24 | | | 8,425,597 | |
| | | | | 15,000,000 | | | | 0.000 | | | 09/11/24 | | | 14,972,606 | |
| | Old Line Funding LLC(f) | |
| | | | | 5,610,000 | | | | 0.000 | | | 09/24/24 | | | 5,589,356 | |
| | | | | 29,180,000 | | | | 0.000 | | | 10/04/24 | | | 29,030,115 | |
| | | | | 23,474,000 | | | | 0.000 | | | 11/20/24 | | | 23,199,207 | |
| | Pacific Life Short Term Funding LLC(f) | |
| | | | | 9,995,000 | | | | 0.000 | | | 01/16/25 | | | 9,805,746 | |
| | | | | 10,000,000 | | | | 0.000 | | | 01/30/25 | | | 9,793,493 | |
| | Paradelle Funding LLC | |
| | | | | 2,693,000 | | | | 0.000 | | | 03/17/25 | | | 2,621,878 | |
| | Penske Truck Leasing Co. LP | |
| | | | | 1,026,000 | | | | 0.000 | | | 10/30/24 | | | 1,016,513 | |
| | | | | 3,049,000 | | | | 0.000 | | | 02/03/25 | | | 2,981,034 | |
| | PepsiCo, Inc.(f) | |
| | | | | 9,700,000 | | | | 0.000 | | | 11/15/24 | | | 9,594,805 | |
| | Pfizer, Inc.(f) | |
| | | | | 8,200,000 | | | | 0.000 | | | 02/06/25 | | | 8,025,310 | |
| | Procter & Gamble Co.(f) | |
| | | | | 12,029,000 | | | | 0.000 | | | 04/11/25 | | | 11,688,980 | |
| | PSP Capital, Inc.(f) | |
| | | | | 21,250,000 | | | | 0.000 | | | 12/16/24 | | | 20,932,946 | |
| | Pure Grove Funding(f) | |
| | | | | 19,795,000 | | | | 0.000 | | | 11/21/24 | | | 19,559,779 | |
| | | | | 13,582,000 | | | | 0.000 | | | 01/16/25 | | | 13,322,729 | |
| | Repurchase Agreement | |
| | | | | 8,000,000 | | | | 0.000 | | | 12/09/24 | | | 7,887,419 | |
| | Ridgefield Funding Co. LLC(f) | |
| | | | | 23,611,000 | | | | 0.000 | | | 09/16/24 | | | 23,551,654 | |
| | | | | 7,606,000 | | | | 0.000 | | | 02/03/25 | | | 7,444,818 | |
| | Salisbury Receivables Co. LLC(f) | |
| | | | | 6,867,000 | | | | 0.000 | | | 10/31/24 | | | 6,805,920 | |
| | | | | 18,073,000 | | | | 0.000 | | | 11/05/24 | | | 17,899,731 | |
| | | | | 14,459,000 | | | | 0.000 | | | 12/20/24 | | | 14,234,145 | |
| | | | | 13,565,000 | | | | 0.000 | | | 01/31/25 | | | 13,284,531 | |
| | Sanofi SA(f) | |
| | | | | 25,000,000 | | | | 0.000 | | | 10/17/24 | | | 24,826,733 | |
| | | | | 3,250,000 | | | | 0.000 | | | 12/13/24 | | | 3,202,604 | |
| | Sheffield Receivables Co. LLC(f) | |
| | | | | 2,050,000 | | | | 0.000 | | | 09/17/24 | | | 2,044,536 | |
| | Societe Generale SA(f) | |
| | | | | 6,330,000 | | | | 0.000 | | | 12/09/24 | | | 6,241,446 | |
| | Starbird Funding Corp.(f) | |
| | | | | 9,290,000 | | | | 0.000 | | | 10/16/24 | | | 9,226,406 | |
| | TELUS Corp.(f) | |
| | | | | 13,141,000 | | | | 0.000 | | | 09/10/24 | | | 13,119,169 | |
| | | | | 1,500,000 | | | | 0.000 | | | 09/13/24 | | | 1,496,825 | |
| | | | | 23,269,000 | | | | 0.000 | | | 09/25/24 | | | 23,177,194 | |
| | | | | 16,489,000 | | | | 0.000 | | | 12/05/24 | | | 16,255,258 | |
| | | |
| | | | | | | | | | | | | | | | |
| | | Principal Amount | | | Interest
Rate | | | Maturity Date | | Value | |
| |
| | Short-term Investments – (continued) | |
| |
| | Commercial Paper(b) – (continued) | |
| | TotalEnergies Capital SA(f) | |
| | $ | | | 15,315,000 | | | | 0.000 | % | | 09/13/24 | | $ | 15,283,328 | |
| | | | | 13,001,000 | | | | 0.000 | | | 12/20/24 | | | 12,797,632 | |
| | Toyota Industries Commercial Finance, Inc.(f) | |
| | | | | 5,000,000 | | | | 0.000 | | | 10/04/24 | | | 4,974,422 | |
| | UBS AG(f) | |
| | | | | 16,193,000 | | | | 0.000 | | | 12/04/24 | | | 15,972,119 | |
| | | | | 8,932,000 | | | | 0.000 | | | 05/12/25 | | | 8,641,377 | |
| | UnitedHealth Group, Inc.(f) | |
| | | | | 2,970,000 | | | | 0.000 | | | 09/04/24 | | | 2,967,807 | |
| | | | | 16,059,000 | | | | 0.000 | | | 09/30/24 | | | 15,985,898 | |
| | Versailles Commercial Paper LLC | |
| | | | | 37,138,000 | | | | 0.000 | | | 10/02/24 | | | 36,957,912 | |
| | Victory Receivables Corp.(f) | |
| | | | | 22,556,000 | | | | 0.000 | | | 10/09/24 | | | 22,423,671 | |
| | | | | 15,000,000 | | | | 0.000 | | | 10/18/24 | | | 14,892,935 | |
| | Volkswagen Group of America Finance LLC(f) | |
| | | | | 15,000,000 | | | | 0.000 | | | 09/09/24 | | | 14,976,647 | |
| | | | | 13,701,000 | | | | 0.000 | | | 01/02/25 | | | 13,449,141 | |
| | Walt Disney Co.(f) | |
| | | | | 7,506,000 | | | | 0.000 | | | 10/18/24 | | | 7,451,713 | |
| | | | | 10,420,000 | | | | 0.000 | | | 11/06/24 | | | 10,315,960 | |
| | | | | 2,383,000 | | | | 0.000 | | | 11/08/24 | | | 2,358,535 | |
| | | | | 15,287,000 | | | | 0.000 | | | 11/14/24 | | | 15,117,182 | |
| | | | | 5,682,000 | | | | 0.000 | | | 01/03/25 | | | 5,581,451 | |
| | | | | 31,136,000 | | | | 0.000 | | | 01/14/25 | | | 30,542,129 | |
| | | | | | | | | | | | | | | | |
| | | | | 1,506,380,260 | |
| | | |
| | TOTAL SHORT- TERM INVESTMENTS (Cost $2,121,452,699) | | $ | 2,122,126,402 | |
| | | |
| | TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT – 97.7% (Cost $4,555,132,596) | | $ | 4,592,585,354 | |
| | | |
| | | | | | | | |
| | | |
| | | Shares | | Dividend Rate | | Value | |
| |
| | Securities Lending Reinvestment Vehicle(e) – 0.7% | |
| | Goldman Sachs Financial Square Government Fund — Institutional Shares | |
| | 32,982,945 | | 5.183% | | $ | 32,982,945 | |
| | (Cost $32,982,945) | | | | |
| | | |
| | TOTAL INVESTMENTS – 98.4% (Cost $4,588,115,541) | | $ | 4,625,568,299 | |
| | | |
| | OTHER ASSETS IN EXCESS OF LIABILITIES – 1.6% | | | 75,847,429 | |
| | | |
| | NET ASSETS – 100.0% | | $ | 4,701,415,728 | |
| | | |
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
| | |
| The accompanying notes are an integral part of these financial statements. | | 35 |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
|
Consolidated Schedule of Investments (continued) August 31, 2024 |
| | |
| |
| (a) | | Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed is that which is in effect on August 31, 2024. |
| |
| (b) | | Issued with a zero coupon. Income is recognized through the accretion of discount. |
| |
| (c) | | All or a portion of security is segregated as collateral for initial margin requirement on futures transactions. |
| | |
| |
| (d) | | All or a portion of security is on loan. |
| |
| (e) | | Represents an affiliated fund. |
| |
| (f) | | Exempt from registration under Rule 144A of the Securities Act of 1933. |
| |
| (g) | | Security with “Call” features with resetting interest rates. Maturity dates disclosed are the final maturity dates. |
|
|
ADDITIONAL INVESTMENT INFORMATION |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At August 31, 2024, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency Purchased | | | Currency Sold | | | Settlement
Date | | | Unrealized
Gain | |
|
| |
MS & Co. Int. PLC | | CHF | | | 130,730,000 | | | USD | | | 148,210,696 | | | | 09/18/24 | | | | $ 5,906,541 | |
| | JPY | | | 21,859,000,000 | | | USD | | | 141,688,984 | | | | 09/18/24 | | | | 8,227,362 | |
|
| |
| | | | | | |
| TOTAL | | | | | | | | | | | | | | | | | | | $14,133,903 | |
|
| |
| | | | | | | | | | | | |
| FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS |
| | | | | | | | | | | | | | | | | | | | |
| Counterparty | | Currency Purchased | | | Currency Sold | | | Settlement
Date | | | Unrealized
Loss | |
|
| |
MS & Co. Int. PLC | | MXN | | | 195,500,000 | | | USD | | | 9,917,266 | | | | 09/18/24 | | | $ | (18,508 | ) |
| | USD | | | 147,516,159 | | | CHF | | | 130,730,000 | | | | 09/18/24 | | | | (6,601,078 | ) |
| | USD | | | 140,415,826 | | | JPY | | | 21,859,000,000 | | | | 09/18/24 | | | | (9,500,520 | ) |
|
| |
| | | | | | |
| TOTAL | | | | | | | | | | | | | | | | | | $ | (16,120,106 | ) |
|
| |
FUTURES CONTRACTS — At August 31, 2024, the Fund had the following futures contracts:
| | | | | | | | | | | | | | | | |
| Description | | Number of
Contracts | | | Expiration
Date | | | Notional
Amount | | | Unrealized
Appreciation/
(Depreciation) | |
|
| |
| | | | |
Long position contracts: | | | | | | | | | | | | | | | | |
10 Year U.S. Treasury Notes | | | 8,887 | | | | 12/19/24 | | | $ | 1,009,229,938 | | | | $(5,419,292 | ) |
2 Year U.S. Treasury Notes | | | 6,420 | | | | 12/31/24 | | | | 1,332,450,944 | | | | (1,270,815 | ) |
5 Year U.S. Treasury Notes | | | 5,335 | | | | 12/31/24 | | | | 583,640,667 | | | | (1,711,726 | ) |
E-Mini Russell 2000 Index | | | 97 | | | | 09/20/24 | | | | 10,782,035 | | | | (245,766 | ) |
MEX Bolsa Index | | | 381 | | | | 09/20/24 | | | | 10,093,451 | | | | (316,096 | ) |
Nasdaq 100 E-Mini Index | | | 21 | | | | 09/20/24 | | | | 8,241,660 | | | | (224,317 | ) |
STOXX Europe 600 | | | 2,668 | | | | 09/20/24 | | | | 58,836,677 | | | | 4,677,769 | |
Stoxx Europe 600 Index | | | 201 | | | | 09/20/24 | | | | 5,842,364 | | | | 12,547 | |
TOPIX Index | | | 44 | | | | 09/12/24 | | | | 8,173,062 | | | | (225,830 | ) |
|
| |
| | | | |
| TOTAL FUTURES CONTRACTS | | | | | | | | | | | | | | | $(4,723,526 | ) |
|
| |
| | |
| 36 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
SWAP CONTRACTS — At August 31, 2024, the Fund had the following swap contracts:
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
| | | | | | | | | | | | | | | | |
| Payments Made by the Fund(a) | | Payments
Received
by Fund | | | Termination
Date | | | Notional
Amount (000s) | | | Unrealized
Appreciation/
(Depreciation)* | |
|
| |
6M GBP | | | 4.325 | % | | | 09/19/33 | | | | GBP 69,400 | | | $ | 3,695,905 | |
|
| |
| | (a) | Payments made annually. |
| | * | There are no upfront payments on the swap contracts, therefore the unrealized gain (loss) on the swap contracts is equal to their market value. |
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At August 31, 2024, the Fund had the following purchased and written options:
OVER-THE-COUNTER INTEREST RATE SWAPTIONS
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Exercise
Rate | | | Expiration
Date | | | Number of
Contracts | | | Notional Amount | | | Market Value | | | Premiums Paid
(Received)
by Fund | | | Unrealized
Appreciation/
(Depreciation) | |
|
| |
| | | | | | | |
Purchased option contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6M IRS | | BofA Securities LLC | | | 3.120% | | | | 09/13/2024 | | | | 297,300,000 | | | $ | 297,300,000 | | | $ | 44,625 | | | $ | 463,945 | | | $ | (419,320 | ) |
6M IRS | | BofA Securities LLC | | | 4.170 | | | | 09/13/2024 | | | | 297,300,000 | | | | 297,300,000 | | | | 2,795,096 | | | | 2,106,752 | | | | 688,344 | |
6M IRS | | BofA Securities LLC | | | 3.200 | | | | 09/13/2024 | | | | 294,300,000 | | | | 294,300,000 | | | | 66,100 | | | | 275,542 | | | | (209,442 | ) |
6M IRS | | BofA Securities LLC | | | 4.500 | | | | 09/13/2024 | | | | 294,300,000 | | | | 294,300,000 | | | | 4,600,468 | | | | 2,124,543 | | | | 2,475,925 | |
1M IRS | | JPMorgan Securities, Inc. | | | 3.620 | | | | 09/13/2024 | | | | 297,300,000 | | | | 297,300,000 | | | | 482,875 | | | | 297,300 | | | | 185,575 | |
6M IRS | | JPMorgan Securities, Inc. | | | 3.500 | | | | 10/16/2024 | | | | 116,100,000 | | | | 116,100,000 | | | | 647,237 | | | | 2,704,999 | | | | (2,057,762 | ) |
1Y IRS | | MS & Co. Int. PLC | | | 3.440 | | | | 01/24/2025 | | | | 70,080,000 | | | | 70,080,000 | | | | 1,043,854 | | | | 2,511,030 | | | | (1,467,176 | ) |
3M IRS | | MS & Co. Int. PLC | | | 3.700 | | | | 10/31/2024 | | | | 68,200,000 | | | | 68,200,000 | | | | 1,123,932 | | | | 1,270,390 | | | | (146,458 | ) |
|
| |
| | | | | | |
| Total purchased option contracts | | | | | | | | 1,734,880,000 | | | $ | 1,734,880,000 | | | $ | 10,804,187 | | | $ | 11,754,501 | | | $ | (950,314 | ) |
|
| |
| | | | | | | |
Written option contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6M IRS | | BofA Securities LLC | | | 3.620 | | | | 09/13/2024 | | | | (594,600,000 | ) | | | (594,600,000 | ) | | | (965,748 | ) | | | (1,889,881 | ) | | | 924,133 | |
6M IRS | | BofA Securities LLC | | | 3.950 | | | | 09/13/2024 | | | | (588,600,000 | ) | | | (588,600,000 | ) | | | (3,256,371 | ) | | | (1,789,413 | ) | | | (1,466,958 | ) |
1M IRS | | JPMorgan Securities, Inc. | | | 4.170 | | | | 09/13/2024 | | | | (297,300,000 | ) | | | (297,300,000 | ) | | | (2,795,096 | ) | | | (1,709,475 | ) | | | (1,085,621 | ) |
6M IRS | | JPMorgan Securities, Inc. | | | 3.100 | | | | 10/16/2024 | | | | (116,100,000 | ) | | | (116,100,000 | ) | | | (87,886 | ) | | | (1,233,161 | ) | | | 1,145,275 | |
1Y IRS | | MS & Co. Int. PLC | | | 2.916 | | | | 01/24/2025 | | | | (140,160,000 | ) | | | (140,160,000 | ) | | | (529,336 | ) | | | (2,511,030 | ) | | | 1,981,694 | |
3M IRS | | MS & Co. Int. PLC | | | 3.350 | | | | 10/31/2024 | | | | (68,200,000 | ) | | | (68,200,000 | ) | | | (271,585 | ) | | | (448,579 | ) | | | 176,994 | |
|
| |
| | | | | | | | |
| | | | | | | | | | | | | (1,804,960,000 | ) | | $ | (1,804,960,000 | ) | | $ | (7,906,022 | ) | | $ | (9,581,539 | ) | | $ | 1,675,517 | |
|
| |
| | | | | | | | |
Puts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
6M IRS | | JPMorgan Securities, Inc. | | | 4.325 | | | | 10/16/2024 | | | | (116,100,000 | ) | | | (116,100,000 | ) | | | (89,761 | ) | | | (1,471,838 | ) | | | 1,382,077 | |
3M IRS | | MS & Co. Int. PLC | | | 4.200 | | | | 10/31/2024 | | | | (68,200,000 | ) | | | (68,200,000 | ) | | | (137,969 | ) | | | (421,419 | ) | | | 283,450 | |
|
| |
| | | | | | | | |
| | | | | | | | | | | | | (184,300,000 | ) | | $ | (184,300,000 | ) | | $ | (227,730 | ) | | $ | (1,893,257 | ) | | $ | 1,665,527 | |
|
| |
| | | | | | | |
| Total written option contracts | | | | | | | | | | | (1,989,260,000 | ) | | $ | (1,989,260,000 | ) | | $ | (8,133,752 | ) | | $ | (11,474,796 | ) | | $ | 3,341,044 | |
|
| |
| | | | | | | | |
| TOTAL | | | | | | | | | | | | | (254,380,000 | ) | | $ | (254,380,000 | ) | | $ | 2,670,435 | | | $ | 279,705 | | | $ | 2,390,730 | |
|
| |
| | |
| The accompanying notes are an integral part of these financial statements. | | 37 |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
|
Consolidated Schedule of Investments (continued) August 31, 2024 |
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
OVER-THE-COUNTER OPTIONS ON EQUITIES
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Exercise Price | | | Expiration
Date | | | Number of
Contracts | | | Notional Amount | | | Market Value | | | Premiums Paid
(Received)
by Fund | | | Unrealized
Appreciation/
(Depreciation) | |
|
| |
| | | | | | | |
Purchased option contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
SXPA Index | | MS & Co. Int. PLC | | | $1,713.820 | | | | 03/21/2025 | | | | 33,470 | | | $ | 5,736,155,540 | | | $ | 1,211,463 | | | | $ 3,482,835 | | | | $(2,271,372 | ) |
EWW Index | | MS & Co. Int. PLC | | | 66.204 | | | | 09/03/2024 | | | | 487,000 | | | | 3,224,134,800 | | | | — | | | | 389,600 | | | | (389,600 | ) |
TOPX Index | | BNP Paribas SA | | | 2,511.620 | | | | 02/21/2025 | | | | 1,759,500 | | | | 441,919,539,000 | | | | 2,989,052 | | | | 1,642,711 | | | | 1,346,341 | |
|
| |
| | | | | | | | |
Puts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
SPX Index | | BofA Securities LLC | | | — | | | | 11/15/2024 | | | | 52,002 | | | | — | | | | 5,896,554 | | | | 7,335,002 | | | | (1,438,448 | ) |
|
| |
| | | | | | |
| Total purchased option contracts | | | | | | | | 2,331,972 | | | $ | 450,879,829,340 | | | $ | 10,097,069 | | | | $ 12,850,148 | | | | $(2,753,079 | ) |
|
| |
| | | | | | | |
Written option contracts | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
SXPA Index | | MS & Co. Int. PLC | | | 1,973.340 | | | | 03/21/2025 | | | | (33,470 | ) | | | (6,604,768,980 | ) | | | (56,280 | ) | | | (870,710 | ) | | | 814,430 | |
|
| |
| | | | | | | | |
Puts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
TOPX Index | | BNP Paribas SA | | | 2,333.530 | | | | 02/21/2025 | | | | (3,519,000 | ) | | | (821,169,207,000 | ) | | | (883,190 | ) | | | (3,285,422 | ) | | | 2,402,232 | |
SPX Index | | JPMorgan Securities, Inc. | | | 5,500.000 | | | | 11/15/2024 | | | | (30,791 | ) | | | (16,935,050,000 | ) | | | (2,376,576 | ) | | | (8,118,475 | ) | | | 5,741,899 | |
EWW Index | | MS & Co. Int. PLC | | | 53.428 | | | | 09/03/2024 | | | | (487,000 | ) | | | (2,601,943,600 | ) | | | (354,337 | ) | | | (389,600 | ) | | | 35,263 | |
SXPA Index | | MS & Co. Int. PLC | | | 1,449.400 | | | | 03/21/2025 | | | | (33,470 | ) | | | (4,851,141,800 | ) | | | (791,455 | ) | | | (1,741,419 | ) | | | 949,964 | |
|
| |
| | | | | | | | |
| | | | | | | | | | | | | (4,070,261 | ) | | $ | (845,557,342,400 | ) | | $ | (4,405,558 | ) | | | $(13,534,916 | ) | | | $ 9,129,358 | |
|
| |
| | | | | | | |
| Total written option contracts | | | | | | | | | | | (4,103,731 | ) | | $ | (852,162,111,380 | ) | | $ | (4,461,838 | ) | | | $(14,405,626 | ) | | | $ 9,943,788 | |
|
| |
| | | | | | | | |
| TOTAL | | | | | | | | | | | | | (1,771,759 | ) | | $ | (401,282,282,040 | ) | | $ | 5,635,231 | | | | $ (1,555,478 | ) | | | $ 7,190,709 | |
|
| |
OVER-THE-COUNTER OPTIONS ON FOREIGN CURRENCY
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Description | | Counterparty | | Exercise
Price | | | Expiration
Date | | | Number of
Contracts | | | Notional
Amount | | | Market
Value | | | Premiums Paid
(Received)
by Fund | | | Unrealized
Appreciation/
(Depreciation) | |
|
| |
| | | | | | | |
Purchased option contract | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Calls | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Call USD/Put CHF Barclays Bank PLC | | | $0.873 | | | | 10/15/2024 | | | | 146,470,000 | | | $ | 146,470,000 | | | $ | 296,895 | | | $ | 1,189,336 | | | $ | (892,441 | ) |
|
| |
| | | | | | | |
Written option contract | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Puts | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
Put USD/Call CHF Barclays Bank PLC | | | 0.820 | | | | 10/15/2024 | | | | (146,470,000 | ) | | | (146,470,000 | ) | | | (485,988 | ) | | | (433,258 | ) | | | (52,730 | ) |
|
| |
| | | | | | | | |
| TOTAL | | | | | | | | | | | | | — | | | $ | — | | | $ | (189,093 | ) | | $ | 756,078 | | | $ | (945,171 | ) |
|
| |
| | |
|
Currency Abbreviations: |
| CHF | | —Swiss Franc |
| GBP | | —British Pound |
| JPY | | —Japanese Yen |
| MXN | | —Mexican Peso |
| USD | | —U.S. Dollar |
|
|
| | |
| 38 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS TACTICAL TILT OVERLAY FUND
|
|
ADDITIONAL INVESTMENT INFORMATION (continued) |
| | |
|
Investment Abbreviations: |
| ETF | | —Exchange Traded Fund |
| LLC | | —Limited Liability Company |
| LP | | —Limited Partnership |
| MLP | | —Master Limited Partnership |
| MSCI | | —Morgan Stanley Capital International |
| PLC | | —Public Limited Company |
| SPDR | | —Standard and Poor’s Depository Receipt |
|
|
| | |
|
Abbreviations: | | |
| 1M IRS | | —1 Month Interest Rate Swaptions |
| 1Y IRS | | —1 Year Interest Rate Swaptions |
| 3M IRS | | —3 Months Interest Rate Swaptions |
| 6M IRS | | —6 Month Interest Rate Swaptions |
| BofA Securities LLC | | —Bank of America Securities LLC |
| EWW | | —iShares MSCI Mexico ETF |
| MS & Co. Int. PLC | | —Morgan Stanley & Co. International PLC |
| SPX | | —S&P 500 Index |
| SXPA | | —Stoxx Europe Total Market Aerospace and Defense Index. |
| TOPX | | —Tokyo Stock Price Index |
|
|
| | |
| The accompanying notes are an integral part of these financial statements. | | 39 |
GOLDMAN SACHS ALLOCATION FUNDS
|
Statements of Assets and Liabilities August 31, 2024 |
| | | | | | | | | | | | | | |
| | | | | Global Managed
Beta Fund | | | Strategic Factor
Allocation Fund(a)
| | | | |
| | | | |
| | | Assets: | | | | | | | | | | | | |
| | | | |
| | Investments in affiliated issuers, at value (cost $2,109,082,250 and $1,408,271,148, respectively) | | | $2,552,877,225 | | | | $1,408,271,148 | | | | | |
| | Investments in unaffiliated issuers, at value (cost $1,281,715,365 and $796,004,314, respectively) | | | 1,533,338,425 | | | | 796,354,836 | | | | | |
| | Purchased options, at value (premium paid $72,710,254 and $29,421,925, respectively) | | | 65,313,782 | | | | 28,784,579 | | | | | |
| | Cash | | | 61,090,145 | | | | 70,856,505 | | | | | |
| | Foreign currencies, at value (cost $4,001,576 and $1,132, respectively) | | | 4,068,896 | | | | 1,151 | | | | | |
| | Unrealized gain on forward foreign currency exchange contracts | | | 1,399,037 | | | | 12,564,622 | | | | | |
| | Variation margin on futures contracts | | | 3,350,937 | | | | — | | | | | |
| | Receivables: | | | | | | | | | | | | |
| | Collateral on certain derivative contracts(b) | | | 92,710,697 | | | | 114,431,143 | | | | | |
| | Fund shares sold | | | 44,898,000 | | | | 811,945 | | | | | |
| | Dividends | | | 1,346,579 | | | | 6,149,738 | | | | | |
| | Foreign tax reclaims | | | 296,094 | | | | — | | | | | |
| | Investments sold | | | 166,407 | | | | 2,794 | | | | | |
| | Reimbursement from investment adviser | | | 100,457 | | | | 16,898 | | | | | |
| | Securities lending income | | | 410 | | | | — | | | | | |
| | Due from broker | | | — | | | | 786,463 | | | | | |
| | Other assets | | | 30,357 | | | | 43,173 | | | | | |
| | | |
| | | | |
| | Total assets | | | 4,360,987,448 | | | | 2,439,074,995 | | | | | |
| | | |
| | | | | | | | | | | | | | |
| | | | |
| | Liabilities: | | | | | | | | | | | | |
| | | | |
| | Unrealized loss on forward foreign currency exchange contracts | | | 26,219,242 | | | | 24,119,814 | | | | | |
| | Written option contracts, at value (premium received $1,392,516 and $3,210,413, respectively) | | | 1,105,170 | | | | 1,120,590 | | | | | |
| | Variation margin on futures contracts | | | — | | | | 3,164,545 | | | | | |
| | Payables: | | | | | | | | | | | | |
| | Investments purchased | | | 48,618,757 | | | | 8,891,028 | | | | | |
| | Due to broker | | | 3,573,657 | | | | — | | | | | |
| | Fund shares redeemed | | | 926,304 | | | | 880,000 | | | | | |
| | Management fees | | | 874,074 | | | | 1,293,915 | | | | | |
| | Transfer Agency fees | | | 68,993 | | | | 60,382 | | | | | |
| | Accrued expenses | | | 260,272 | | | | 285,093 | | | | | |
| | | |
| | | | |
| | Total liabilities | | | 81,646,469 | | | | 39,815,367 | | | | | |
| | | |
| | | | | | | | | | | | | | |
| | | | |
| | Net Assets: | | | | | | | | | | | | |
| | | | |
| | Paid-in capital | | | 3,268,876,050 | | | | 2,186,012,767 | | | | | |
| | Total distributable earnings | | | 1,010,464,929 | | | | 213,246,861 | | | | | |
| | | |
| | | | |
| | | NET ASSETS
| | | $4,279,340,979 | | | | $2,399,259,628 | | | | | |
| | | Net Assets: | | | | | | | | | | | | |
| | | Institutional | | | $4,279,340,979 | | | | $ 14,386,908 | | | | | |
| | | Class P | | | — | | | | 2,384,872,720 | | | | | |
| | | Total Net Assets | | | $4,279,340,979 | | | | $2,399,259,628 | | | | | |
| | | Shares Outstanding $0.001 par value (unlimited number of shares authorized): | | | | | | | | | | | | |
| | | Institutional | | | 261,942,186 | | | | 1,154,475 | | | | | |
| | | Class P | | | — | | | | 193,864,050 | | | | | |
| | | Net asset value, offering and redemption price per share: | | | | | | | | | | | | |
| | | Institutional | | | $16.34 | | | | $12.46 | | | | | |
| | | Class P | | | — | | | | 12.30 | | | | | |
| | (a) | Statement of Assets and Liabilities for the Strategic Factor Allocation Fund are consolidated and includes the balances of the wholly-owned subsidiary, Cayman Commodity—SFA, LLC. Accordingly, all interfund balances and transactions have been eliminated. |
| | (b) | Segregated for initial margin and/or collateral as follows: |
| | | | | | | | | | | | | | |
| Fund | | Futures | | | Forwards | | | Options | | | |
Global Managed Beta Fund | | $ | 17,880,723 | | | $ | 28,250,000 | | | $ | 46,579,974 | | | |
Strategic Factor Allocation Fund | | | 96,601,143 | | | | 17,830,000 | | | | — | | | |
| | |
| 40 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALLOCATION FUNDS
|
Statements of Assets and Liabilities (continued) August 31, 2024 |
| | | | | | | | | | | | | | |
| | | | | Strategic Volatility
Premium Fund(a) | | | Tactical Tilt
Overlay Fund(a) | | | | |
| | | | |
| | Assets: | | | | | | | | | | | | |
| | | | |
| | Investments in unaffiliated issuers, at value (cost $288,466,089 and $2,973,824,202, respectively)(b) | | | $288,637,708 | | | | $2,995,898,661 | | | | | |
| | Investments in affiliated issuers, at value (cost $137,817,748 and $1,581,308,394, respectively) | | | 137,817,748 | | | | 1,596,686,693 | | | | | |
| | Investments in affiliated securities lending reinvestment vehicle, at value which equals cost | | | — | | | | 32,982,945 | | | | | |
| | Purchased options, at value (premium paid $581,518 and $25,793,985, respectively) | | | 296,544 | | | | 21,198,151 | | | | | |
| | Cash | | | 12,867,551 | | | | 80,531,524 | | | | | |
| | Foreign currencies, at value (cost $0 and $3,244,903, respectively) | | | — | | | | 3,127,436 | | | | | |
| | Unrealized gain on forward foreign currency exchange contracts | | | — | | | | 14,133,903 | | | | | |
| | Variation margin on swaps contracts | | | — | | | | 184,272 | | | | | |
| | Receivables: | | | | | | | | | | | | |
| | Collateral on certain derivative contracts(c) | | | 5,537,178 | | | | 12,313,569 | | | | | |
| | Interest and dividends | | | 621,960 | | | | 17,369,734 | | | | | |
| | Due from broker | | | 100,481 | | | | — | | | | | |
| | Reimbursement from investment adviser | | | 39,644 | | | | 7,488 | | | | | |
| | Investments sold | | | — | | | | 12,882,161 | | | | | |
| | Fund shares sold | | | — | | | | 18,704,405 | | | | | |
| | Securities lending income | | | — | | | | 34,536 | | | | | |
| | Foreign tax reclaims | | | — | | | | 19,932 | | | | | |
| | Other assets | | | 27,397 | | | | 67,479 | | | | | |
| | | |
| | | | |
| | Total assets | | | 445,946,211 | | | | 4,806,142,889 | | | | | |
| | | |
| | | | | | | | | | | | | | |
| | | | |
| | Liabilities: | | | | | | | | | | | | |
| | | | |
| | Unrealized loss on forward foreign currency exchange contracts | | | — | | | | 16,120,106 | | | | | |
| | Written option contracts, at value (premium received $328,945 and $26,313,680, respectively) | | | 126,714 | | | | 13,081,578 | | | | | |
| | Variation margin on futures contracts | | | 213,880 | | | | 5,573,714 | | | | | |
| | Payables: | | | | | | | | | | | | |
| | Investments purchased | | | 660,402 | | | | 19,487,016 | | | | | |
| | Management fees | | | 130,413 | | | | 2,659,424 | | | | | |
| | Fund shares redeemed | | | 50,000 | | | | 700,971 | | | | | |
| | Transfer Agency fees | | | 11,264 | | | | 119,338 | | | | | |
| | Due to broker | | | — | | | | 13,875,244 | | | | | |
| | Payable upon return of securities loaned | | | — | | | | 32,982,945 | | | | | |
| | Accrued expenses | | | 141,031 | | | | 126,825 | | | | | |
| | | |
| | | | |
| | Total liabilities | | | 1,333,704 | | | | 104,727,161 | | | | | |
| | | |
| | | | | | | | | | | | | | |
| | | | |
| | Net Assets: | | | | | | | | | | | | |
| | Paid-in capital | | | 449,544,090 | | | | 4,614,892,054 | | | | | |
| | Total distributable earnings (loss) | | | (4,931,583 | ) | | | 86,523,674 | | | | | |
| | | |
| | | | |
| | | NET ASSETS | | | $444,612,507 | | | | $4,701,415,728 | | | | | |
| | | Net Assets: | | | | | | | | | | | | |
| | | Institutional | | | $ 326,902 | | | | $ 15,794,661 | | | | | |
| | | Class R6 | | | — | | | | 620,690,438 | | | | | |
| | | Class P | | | 444,285,605 | | | | 4,064,930,629 | | | | | |
| | | Total Net Assets | | | $444,612,507 | | | | $4,701,415,728 | | | | | |
| | | Shares Outstanding $0.001 par value (unlimited number of shares authorized): | | | | | | | | | | | | |
| | | Institutional | | | 32,637 | | | | 1,441,538 | | | | | |
| | | Class R6 | | | — | | | | 58,613,235 | | | | | |
| | | Class P | | | 44,347,637 | | | | 383,951,378 | | | | | |
| | | Net asset value, offering and redemption price per share: | | | | | | | | | | | | |
| | | Institutional | | | $10.02 | | | | $10.96 | | | | | |
| | | Class R6 | | | — | | | | 10.59 | | | | | |
| | | Class P | | | 10.02 | | | | 10.59 | | | | | |
| | (a) | Statements of Assets and Liabilities for the Strategic Volatility Premium Fund and Tactical Tilt Overlay Fund are consolidated and includes the balances of wholly owned subsidiaries, Cayman Commodity—SVP, LLC and Cayman Commodity—TTIF, LLC., respectively. Accordingly, all interfund balances and transactions have been eliminated. |
| | (b) | Includes loaned securities having a market value of $0 and $32,280,764, for the Strategic Volatility Premium and Tactical Tilt Overlay Funds respectively. |
| | (c) | Segregated for initial margin and/or collateral as follows: |
| | | | | | | | | | | | | | |
| Fund | | Futures | | | Swaps | | | Forwards | | | |
Strategic Volatility Premium Fund | | $ | 5,537,178 | | | $ | — | | | $ | — | | | |
Tactical Tilt Overlay Fund | | | — | | | | 10,343,569 | | | | 1,970,000 | | | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 41 |
GOLDMAN SACHS ALLOCATION FUNDS
|
Statements of Operations For the Fiscal Year Ended August 31, 2024 |
| | | | | | | | | | | | | | |
| | | | | Global Managed
Beta Fund | | | Strategic Factor
Allocation Fund(a) | | | | |
| | | | |
| | Investment Income: | | | | | | | | | | | | |
| | | | |
| | Dividends — affiliated issuers | | $ | 35,125,165 | | | $ | 72,759,179 | | | | | |
| | Dividends — unaffiliated issuers (net of tax withholding of $340,527 and $0, respectively) | | | 34,428,673 | | | | — | | | | | |
| | Interest | | | 1,071,441 | | | | 39,857,044 | | | | | |
| | Securities lending income, net of rebates received or paid to borrowers — unaffiliated issuers | | | 172,529 | | | | — | | | | | |
| | | |
| | | | |
| | Total investment income | | | 70,797,808 | | | | 112,616,223 | | | | | |
| | | |
| | | | | | | | | | | | | | |
| | | | |
| | Expenses: | | | | | | | | | | | | |
| | | | |
| | Management fees | | | 10,124,297 | | | | 16,794,980 | | | | | |
| | Transfer Agency fees(b) | | | 674,953 | | | | 680,195 | | | | | |
| | Custody, accounting and administrative services | | | 405,568 | | | | 257,438 | | | | | |
| | Professional fees | | | 117,202 | | | | 256,372 | | | | | |
| | Registration fees | | | 35,496 | | | | 66,138 | | | | | |
| | Trustee fees | | | 32,372 | | | | 30,257 | | | | | |
| | Printing and mailing costs | | | 18,069 | | | | 27,428 | | | | | |
| | Prime broker fees | | | 14,591 | | | | 21,694 | | | | | |
| | Other | | | 56,775 | | | | 67,783 | | | | | |
| | | |
| | | | |
| | Total expenses | | | 11,479,323 | | | | 18,202,285 | | | | | |
| | | |
| | | | |
| | Less — expense reductions | | | (2,507,541 | ) | | | (2,327,580 | ) | | | | |
| | | |
| | | | |
| | Net expenses | | | 8,971,782 | | | | 15,874,705 | | | | | |
| | | |
| | | | |
| | NET INVESTMENT INCOME | | | 61,826,026 | | | | 96,741,518 | | | | | |
| | | |
| | | | | | | | | | | | | | |
| | | | |
| | Realized and unrealized gain (loss): | | | | | | | | | | | | |
| | Net realized gain (loss) from: | | | | | | | | | | | | |
| | Investments — unaffiliated issuers | | | 229,117,234 | | | | (2,600 | ) | | | | |
| | Investments — affiliated issuers | | | 32,313,405 | | | | — | | | | | |
| | Purchased options | | | (17,339,901 | ) | | | (12,681,096 | ) | | | | |
| | Futures contracts | | | 68,807,698 | | | | 175,435,041 | | | | | |
| | Written options | | | (11,132,127 | ) | | | 55,460,169 | | | | | |
| | Forward foreign currency exchange contracts | | | 23,304,087 | | | | 121,824 | | | | | |
| | Foreign currency transactions | | | (65,744 | ) | | | (45 | ) | | | | |
| | Net change in unrealized gain (loss) on: | | | | | | | | | | | | |
| | Investments — affiliated issuers | | | 322,931,374 | | | | — | | | | | |
| | Investments — unaffiliated issuers | | | (23,978,011 | ) | | | 2,297,116 | | | | | |
| | Purchased options | | | 16,502,565 | | | | (31,178 | ) | | | | |
| | Futures contracts | | | 32,577,237 | | | | 48,837,642 | | | | | |
| | Written options | | | (580,300 | ) | | | 520,740 | | | | | |
| | Forward foreign currency exchange contracts | | | (27,458,102 | ) | | | (9,782,691 | ) | | | | |
| | Foreign currency translation | | | 5,386 | | | | 48 | | | | | |
| | | |
| | | | |
| | Net realized and unrealized gain | | | 645,004,801 | | | | 260,174,970 | | | | | |
| | | |
| | | | |
| | NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | $ | 706,830,827 | | | $ | 356,916,488 | | | | | |
| | | |
| | (a) | Statement of Operations for the Strategic Factor Allocation Fund is consolidated and includes the balances of the wholly-owned subsidiary, Cayman Commodity— SFA, LLC. Accordingly, all interfund balances and transactions have been eliminated. |
| | (b) | Class specific Transfer Agency fees were as follows: |
| | | | | | | | | | | | | | |
Fund | | Institutional | | | Class P | | | | | | |
Global Managed Beta Fund | | | $674,953 | | | $ | — | | | | | | | |
Strategic Factor Allocation Fund | | | 5,656 | | | | 674,539 | | | | | | | |
| | |
| 42 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALLOCATION FUNDS
|
Statements of Operations (continued) For the Fiscal Year Ended August 31, 2024 |
| | | | | | | | | | | | | | |
| | | | | Strategic Volatility
Premium Fund(a) | | | Tactical Tilt
Overlay Fund(a) | | | | |
| | | | |
| | Investment Income: | | | | | | | | | | | | |
| | | | |
| | Dividends — affiliated issuers | | | $12,433,031 | | | | $ 69,124,706 | | | | | |
| | Dividends — unaffiliated issuers | | | — | | | | 2,521,624 | | | | | |
| | Interest | | | 9,189,366 | | | | 172,777,412 | | | | | |
| | Securities lending income, net of rebates received or paid to borrowers — unaffiliated issuers | | | — | | | | 492,587 | | | | | |
| | | |
| | | | |
| | Total investment income | | | 21,622,397 | | | | 244,916,329 | | | | | |
| | | |
| | | | | | | | | | | | | | |
| | | | |
| | Expenses: | | | | | | | | | | | | |
| | | | |
| | Management fees | | | 2,177,336 | | | | 35,623,803 | | | | | |
| | Professional fees | | | 242,511 | | | | 168,048 | | | | | |
| | Transfer Agency fees(b) | | | 130,113 | | | | 1,405,242 | | | | | |
| | Custody, accounting and administrative services | | | 110,620 | | | | 419,278 | | | | | |
| | Registration fees | | | 38,891 | | | | 92,759 | | | | | |
| | Printing and mailing costs | | | 26,879 | | | | 31,547 | | | | | |
| | Trustee fees | | | 26,482 | | | | 35,095 | | | | | |
| | Prime broker fees | | | — | | | | 5,403 | | | | | |
| | Other | | | 16,606 | | | | 71,729 | | | | | |
| | | |
| | | | |
| | Total expenses | | | 2,769,438 | | | | 37,852,904 | | | | | |
| | | |
| | | | |
| | Less — expense reductions | | | (1,004,196 | ) | | | (4,024,758 | ) | | | | |
| | | |
| | | | |
| | Net expenses | | | 1,765,242 | | | | 33,828,146 | | | | | |
| | | |
| | | | |
| | NET INVESTMENT INCOME | | | 19,857,155 | | | | 211,088,183 | | | | | |
| | | |
| | | | | | | | | | | | | | |
| | | | |
| | Realized and unrealized gain (loss): | | | | | | | | | | | | |
| | | | |
| | Capital gain distributions from Affiliated Underlying Funds | | | — | | | | 1,525,821 | | | | | |
| | Net realized gain (loss) from: | | | | | | | | | | | | |
| | Investments — unaffiliated issuers | | | 1,907 | | | | 11,380,476 | | | | | |
| | Investments — affiliated issuers | | | — | | | | 29,281,042 | | | | | |
| | Purchased options | | | (2,654,133 | ) | | | 19,559,179 | | | | | |
| | Futures contracts | | | 4,032,599 | | | | 36,727,543 | | | | | |
| | Written options | | | 12,626,966 | | | | (4,727,858 | ) | | | | |
| | Swap contracts | | | — | | | | 20,543,581 | | | | | |
| | Forward foreign currency exchange contracts | | | 5,714 | | | | (8,504,500 | ) | | | | |
| | Foreign currency transactions | | | — | | | | (273,740 | ) | | | | |
| | Net change in unrealized gain (loss) on: | | | | | | | | | | | | |
| | Investments — affiliated issuers | | | — | | | | (23,803,473 | ) | | | | |
| | Investments — unaffiliated issuers | | | 690,711 | | | | 17,265,956 | | | | | |
| | Purchased options | | | (157,699 | ) | | | 2,587,240 | | | | | |
| | Futures contracts | | | (2,360,058 | ) | | | (19,020,419 | ) | | | | |
| | Written options | | | 60,198 | | | | 13,232,102 | | | | | |
| | Swap contracts | | | — | | | | 658,791 | | | | | |
| | Forward foreign currency exchange contracts | | | — | | | | (1,986,203 | ) | | | | |
| | Foreign currency translation | | | — | | | | 18,172 | | | | | |
| | | |
| | | | |
| | Net realized and unrealized gain | | | 12,246,205 | | | | 94,463,710 | | | | | |
| | | |
| | | | |
| | NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | | | $32,103,360 | | | | $305,551,893 | | | | | |
| | | |
| | (a) | Statements of Operations for the Strategic Volatility Premium Fund and Tactical Tilt Overlay Fund are consolidated and includes the balances of wholly owned subsidiaries, Cayman Commodity—SVP, LLC and Cayman Commodity—TTIF, LLC., respectively. Accordingly, all interfund balances and transactions have been eliminated. |
| | (b) | Class specific Transfer Agency fees were as follows: |
| | | | | | | | | | | | | | | | | | | | | | |
Fund | | Institutional | | | | | | Class R6 | | | | | | Class P | | | |
Strategic Volatility Premium Fund | | | $ 119 | | | | | | | | $ — | | | | | | | | $ 129,994 | | | |
Tactical Tilt Overlay Fund | | | 8,522 | | | | | | | | 177,900 | | | | | | | | 1,218,820 | | | |
| | |
| The accompanying notes are an integral part of these financial statements. | | 43 |
GOLDMAN SACHS ALLOCATION FUNDS
|
| Statements of Changes in Net Assets |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Global Managed Beta Fund | | | Strategic Factor Allocation Fund(a) | | | | |
| | | | | | |
| | | | | For the Fiscal
Year Ended
August 31, 2024 | | | For the Fiscal
Year Ended
August 31, 2023 | | | For the Fiscal
Year Ended
August 31, 2024 | | | For the Fiscal
Year Ended
August 31, 2023 | | | | |
| | | | | | |
| | | From operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net investment income | | | $ 61,826,026 | | | | $ 37,369,399 | | | | $ 96,741,518 | | | | $ 61,894,294 | | | | | |
| | | | | | |
| | Net realized gain | | | 325,004,652 | | | | 40,000,958 | | | | 218,333,293 | | | | 63,150,787 | | | | | |
| | | | | | |
| | Net change in unrealized gain | | | 320,000,149 | | | | 166,745,167 | | | | 41,841,677 | | | | 12,644,797 | | | | | |
| | | |
| | | | | | |
| | Net increase in net assets resulting from operations | | | 706,830,827 | | | | 244,115,524 | | | | 356,916,488 | | | | 137,689,878 | | | | | |
| | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | From distributable earnings: | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Institutional Shares | | | (54,313,580 | ) | | | (99,998,153 | ) | | | (489,815 | ) | | | (275,278 | ) | | | | |
| | | | | | |
| | Class R6 Shares(b) | | | — | | | | — | | | | — | | | | (249 | ) | | | | |
| | | | | | |
| | Class P Shares | | | — | | | | — | | | | (72,117,761 | ) | | | (39,916,205 | ) | | | | |
| | | |
| | | | | | |
| | Total distributions to shareholders | | | (54,313,580 | ) | | | (99,998,153 | ) | | | (72,607,576 | ) | | | (40,191,732 | ) | | | | |
| | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | From share transactions: | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Proceeds from sales of shares | | | 1,924,804,556 | | | | 1,025,111,264 | | | | 268,238,290 | | | | 798,949,747 | | | | | |
| | | | | | |
| | Reinvestment of distributions | | | 54,313,580 | | | | 99,961,817 | | | | 72,607,575 | | | | 40,191,732 | | | | | |
| | | | | | |
| | Cost of shares redeemed | | | (890,367,936 | ) | | | (393,640,885 | ) | | | (470,425,368 | ) | | | (800,472,621 | ) | | | | |
| | | |
| | | | | | |
| | Net increase (decrease) in net assets resulting from share transactions | | | 1,088,750,200 | | | | 731,432,196 | | | | (129,579,503 | ) | | | 38,668,858 | | | | | |
| | | |
| | | | | | |
| | TOTAL INCREASE | | | 1,741,267,447 | | | | 875,549,567 | | | | 154,729,409 | | | | 136,167,004 | | | | | |
| | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Beginning of year | | | 2,538,073,532 | | | | 1,662,523,965 | | | | 2,244,530,219 | | | | 2,108,363,215 | | | | | |
| | | |
| | | | | | |
| | End of year | | | $4,279,340,979 | | | | $2,538,073,532 | | | | $2,399,259,628 | | | | $2,244,530,219 | | | | | |
| | | |
| | (a) | Statements of Changes in Net Assets for the Strategic Factor Allocation Fund are consolidated and includes the balances of the wholly-owned subsidiary, Cayman Commodity—SFA, LLC. Accordingly, all interfund balances and transactions have been eliminated. |
| | (b) | At the close of business on July 14, 2023, Class R6 Shares of the Strategic Factor Allocation Fund were liquidated. |
| | |
| 44 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALLOCATION FUNDS
|
| Statements of Changes in Net Assets (continued) |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | Strategic Volatility Premium Fund(a) | | | Tactical Tilt Overlay Fund(a) | | | | |
| | | | | | |
| | | | | For the Fiscal
Year Ended
August 31, 2024 | | | For the Fiscal
Year Ended
August 31, 2023 | | | For the Fiscal
Year Ended
August 31, 2024 | | | For the Fiscal
Year Ended
August 31, 2023 | | | | |
| | | | | | |
| | From operations: | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net investment income | | | $ 19,857,155 | | | | $ 15,402,232 | | | | $ 211,088,183 | | | | $ 170,463,667 | | | | | |
| | | | | | |
| | Net realized gain (loss) | | | 14,013,053 | | | | (12,307,105 | ) | | | 105,511,544 | | | | 60,894,805 | | | | | |
| | | | | | |
| | Net change in unrealized gain (loss) | | | (1,766,848 | ) | | | 2,209,506 | | | | (11,047,834 | ) | | | (63,869,625 | ) | | | | |
| | | |
| | | | | | |
| | Net increase in net assets resulting from operations | | | 32,103,360 | | | | 5,304,633 | | | | 305,551,893 | | | | 167,488,847 | | | | | |
| | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Distributions to shareholders: | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | From distributable earnings: | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Institutional Shares | | | (11,216 | ) | | | (2,343 | ) | | | (1,239,651 | ) | | | (188,140 | ) | | | | |
| | | | | | |
| | Class R6 Shares | | | — | | | | — | | | | (30,435,080 | ) | | | (4,706,050 | ) | | | | |
| | | | | | |
| | Class P Shares | | | (18,407,711 | ) | | | (3,702,660 | ) | | | (216,862,467 | ) | | | (35,188,129 | ) | | | | |
| | | |
| | | | | | |
| | Total distributions to shareholders | | | (18,418,927 | ) | | | (3,705,003 | ) | | | (248,537,198 | ) | | | (40,082,319 | ) | | | | |
| | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | From share transactions: | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Proceeds from sales of shares | | | 68,268,293 | | | | 193,782,450 | | | | 711,849,057 | | | | 783,089,810 | | | | | |
| | | | | | |
| | Reinvestment of distributions | | | 18,418,927 | | | | 3,705,003 | | | | 248,537,197 | | | | 40,080,055 | | | | | |
| | | | | | |
| | Cost of shares redeemed | | | (99,725,686 | ) | | | (267,189,113 | ) | | | (1,006,395,976 | ) | | | (807,449,960 | ) | | | | |
| | | |
| | | | | | |
| | Net increase (decrease) in net assets resulting from share transactions | | | (13,038,466 | ) | | | (69,701,660 | ) | | | (46,009,722 | ) | | | 15,719,905 | | | | | |
| | | |
| | | | | | |
| | TOTAL INCREASE (DECREASE) | | | 645,967 | | | | (68,102,030 | ) | | | 11,004,973 | | | | 143,126,433 | | | | | |
| | | |
| | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Net assets: | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | Beginning of year | | | 443,966,540 | | | | 512,068,570 | | | | 4,690,410,755 | | | | 4,547,284,322 | | | | | |
| | | |
| | | | | | |
| | End of year | | | $444,612,507 | | | | $ 443,966,540 | | | | $ 4,701,415,728 | | | | $4,690,410,755 | | | | | |
| | | |
| | (a) | Statements of Changes in Net Assets for the Strategic Volatility Premium Fund and Tactical Tilt Overlay Fund are consolidated and includes the balances of wholly owned subsidiaries, Cayman Commodity—SVP, LLC and Cayman Commodity—TTIF, LLC., respectively. Accordingly, all interfund balances and transactions have been eliminated. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 45 |
GOLDMAN SACHS ALLOCATION FUNDS
|
Financial Highlights Selected Share Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | |
| | | | | Global Managed Beta Fund | | |
| | | |
| | | | | Institutional Shares | | |
| | | |
| | | | | Year Ended August 31, | | |
| | | | | | | |
| | | | | 2024 | | 2023 | | 2022 | | 2021 | | 2020 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | Net asset value, beginning of year | | | $ | 13.62 | | | | $ | 12.86 | | | | $ | 16.71 | | | | $ | 13.26 | | | | $ | 11.86 | | | |
| | |
| | | | | | | |
| | Net investment income(a) | | | | 0.27 | | | | | 0.25 | | | | | 0.28 | | | | | 0.21 | | | | | 0.22 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 2.70 | | | | | 1.23 | | | | | (2.69 | ) | | | | 3.89 | | | | | 1.67 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 2.97 | | | | | 1.48 | | | | | (2.41 | ) | | | | 4.10 | | | | | 1.89 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.25 | ) | | | | (0.72 | ) | | | | (0.33 | ) | | | | (0.18 | ) | | | | (0.38 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | — | | | | | (1.11 | ) | | | | (0.47 | ) | | | | (0.11 | ) | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.25 | ) | | | | (0.72 | ) | | | | (1.44 | ) | | | | (0.65 | ) | | | | (0.49 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 16.34 | | | | $ | 13.62 | | | | $ | 12.86 | | | | $ | 16.71 | | | | $ | 13.26 | | | |
| | |
| | | | | | | |
| | Total return(b) | | | | 22.05 | % | | | | 12.24 | % | | | | (15.81 | )% | | | | 31.87 | % | | | | 16.13 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 4,279,341 | | | | $ | 2,538,074 | | | | $ | 1,662,524 | | | | $ | 2,262,595 | | | | $ | 1,593,288 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets(c) | | | | 0.27 | % | | | | 0.30 | % | | | | 0.30 | % | | | | 0.20 | % | | | | 0.05 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets(c) | | | | 0.34 | % | | | | 0.36 | % | | | | 0.36 | % | | | | 0.35 | % | | | | 0.37 | % | | |
| | | | | | | |
| | Ratio of net investment income to average net assets | | | | 1.83 | % | | | | 1.91 | % | | | | 1.94 | % | | | | 1.40 | % | | | | 1.79 | % | | |
| | | | | | | |
| | Portfolio turnover rate(d) | | | | 56 | % | | | | 23 | % | | | | 26 | % | | | | 29 | % | | | | 45 | % | | |
| | |
| | (a) | Calculated based on the average shares outstanding methodology. |
| | (b) | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | Expense ratios exclude the expenses of the Affiliated Underlying Funds in which the Fund invests. |
| | (d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 46 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALLOCATION FUNDS
|
Consolidated Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | |
| | | | | Strategic Factor Allocation Fund | | |
| | | |
| | | | | Institutional Shares | | |
| | | |
| | | | | Year Ended August 31, | | |
| | | | | | | |
| | | | | 2024 | | 2023 | | 2022 | | 2021 | | 2020 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | Net asset value, beginning of year | | | $ | 11.00 | | | | $ | 10.50 | | | | $ | 12.76 | | | | $ | 11.98 | | | | $ | 11.06 | | | |
| | |
| | | | | | | |
| | Net investment income (loss)(a) | | | | 0.49 | | | | | 0.31 | | | | | (0.01 | ) | | | | (0.08 | ) | | | | 0.03 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.34 | | | | | 0.39 | | | | | (0.67 | ) | | | | 1.77 | | | | | 1.18 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 1.83 | | | | | 0.70 | | | | | (0.68 | ) | | | | 1.69 | | | | | 1.21 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.37 | ) | | | | (0.18 | ) | | | | — | | | | | — | | | | | (0.15 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | (0.02 | ) | | | | (1.58 | ) | | | | (0.91 | ) | | | | (0.14 | ) | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.37 | ) | | | | (0.20 | ) | | | | (1.58 | ) | | | | (0.91 | ) | | | | (0.29 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 12.46 | | | | $ | 11.00 | | | | $ | 10.50 | | | | $ | 12.76 | | | | $ | 11.98 | | | |
| | |
| | | | | | | |
| | Total return(b) | | | | 17.16 | % | | | | 6.88 | % | | | | (6.47 | )% | | | | 15.01 | % | | | | 11.11 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 14,387 | | | | $ | 14,710 | | | | $ | 12,455 | | | | $ | 3,960 | | | | $ | 3,013 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.71 | % | | | | 0.70 | % | | | | 0.69 | % | | | | 0.69 | % | | | | 0.69 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 0.81 | % | | | | 0.81 | % | | | | 0.81 | % | | | | 0.82 | % | | | | 0.82 | % | | |
| | | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | | 4.26 | % | | | | 2.94 | % | | | | (0.10 | )% | | | | (0.67 | )% | | | | 0.26 | % | | |
| | | | | | | |
| | Portfolio turnover rate(c) | | | | — | %(d) | | | | — | %(d) | | | | — | %(d) | | | | — | %(d) | | | | — | %(d) | | |
| | |
| | (a) | Calculated based on the average shares outstanding methodology. |
| | (b) | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | (d) | There were no long-term transactions for the years ended August 31, 2024, August 31, 2023, August 31, 2022, August 31, 2021 and August 31, 2020, respectively. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 47 |
GOLDMAN SACHS ALLOCATION FUNDS
|
Consolidated Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | |
| | | | | Strategic Factor Allocation Fund | | |
| | | |
| | | | | Class P Shares | | |
| | | |
| | | | | Year Ended August 31, | | |
| | | | | | | |
| | | | | 2024 | | 2023 | | 2022 | | 2021 | | 2020 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | Net asset value, beginning of year | | | $ | 10.86 | | | | $ | 10.38 | | | | $ | 12.62 | | | | $ | 11.86 | | | | $ | 10.96 | | | |
| | |
| | | | | | | |
| | Net investment income (loss)(a) | | | | 0.49 | | | | | 0.31 | | | | | (0.04 | ) | | | | (0.08 | ) | | | | 0.02 | | | |
| | | | | | | |
| | Net realized and unrealized gain (loss) | | | | 1.32 | | | | | 0.37 | | | | | (0.62 | ) | | | | 1.75 | | | | | 1.18 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 1.81 | | | | | 0.68 | | | | | (0.66 | ) | | | | 1.67 | | | | | 1.20 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.37 | ) | | | | (0.18 | ) | | | | — | | | | | — | | | | | (0.16 | ) | | |
| | | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | (0.02 | ) | | | | (1.58 | ) | | | | (0.91 | ) | | | | (0.14 | ) | | |
| | |
| | | | | | | |
| | Total distributions | | | | (0.37 | ) | | | | (0.20 | ) | | | | (1.58 | ) | | | | (0.91 | ) | | | | (0.30 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 12.30 | | | | $ | 10.86 | | | | $ | 10.38 | | | | $ | 12.62 | | | | $ | 11.86 | | | |
| | |
| | | | | | | |
| | Total return(b) | | | | 17.10 | % | | | | 6.97 | % | | | | (6.47 | )% | | | | 15.09 | % | | | | 11.03 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 2,384,873 | | | | $ | 2,229,820 | | | | $ | 2,095,895 | | | | $ | 2,347,839 | | | | $ | 1,616,030 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.70 | % | | | | 0.69 | % | | | | 0.67 | % | | | | 0.68 | % | | | | 0.68 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets | | | | 0.80 | % | | | | 0.80 | % | | | | 0.80 | % | | | | 0.81 | % | | | | 0.82 | % | | |
| | | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | | 4.28 | % | | | | 2.95 | % | | | | (0.31 | )% | | | | (0.66 | )% | | | | 0.15 | % | | |
| | | | | | | |
| | Portfolio turnover rate(c) | | | | — | %(d) | | | | — | %(d) | | | | — | %(d) | | | | — | %(d) | | | | — | %(d) | | |
| | |
| | (a) | Calculated based on the average shares outstanding methodology. |
| | (b) | Assumes investment at the NAV at the beginning of the year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | (d) | There were no long-term transactions for the years ended August 31, 2024, August 31, 2023, August 31, 2022, August 31, 2021 and August 31, 2020, respectively. |
| | |
| 48 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALLOCATION FUNDS
|
Consolidated Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| | | | | Strategic Volatility Premium Fund |
| | |
| | | | | Institutional Shares |
| | | | |
| | | | | Year Ended August 31, | | Period Ended
August 31, 2021(a) | | |
| | | | | 2024 | | 2023 | | 2022 | | |
| | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | Net asset value, beginning of period | | | $ | 9.70 | | | | $ | 9.66 | | | | $ | 10.10 | | | | $ | 10.00 | | | |
| | |
| | | | | | |
| | Net investment income (loss)(b) | | | | 0.44 | | | | | 0.31 | | | | | — | (c) | | | | (0.02 | ) | | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.29 | | | | | (0.20 | ) | | | | (0.40 | ) | | | | 0.12 | | | |
| | |
| | | | | | |
| | Total from investment operations | | | | 0.73 | | | | | 0.11 | | | | | (0.40 | ) | | | | 0.10 | | | |
| | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.41 | ) | | | | (0.07 | ) | | | | — | | | | | — | | | |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | — | | | | | (0.04 | ) | | | | — | | | |
| | |
| | | | | | |
| | Total distributions | | | | (0.41 | ) | | | | (0.07 | ) | | | | (0.04 | ) | | | | — | | | |
| | |
| | | | | | |
| | Net asset value, end of period | | | $ | 10.02 | | | | $ | 9.70 | | | | $ | 9.66 | | | | $ | 10.10 | | | |
| | |
| | | | | | |
| | Total return(d) | | | | 7.53 | % | | | | 1.38 | % | | | | (4.09 | )% | | | | 1.00 | % | | |
| | |
| | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 327 | | | | $ | 327 | | | | $ | 306 | | | | $ | 350 | | | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.42 | % | | | | 0.39 | % | | | | 0.38 | % | | | | 0.38 | %(e) | | |
| | | | | | |
| | Ratio of total expenses to average net assets | | | | 0.65 | % | | | | 0.60 | % | | | | 0.62 | % | | | | 0.91 | %(e) | | |
| | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | | 4.57 | % | | | | 3.25 | % | | | | (0.02 | )% | | | | (0.36 | )%(e) | | |
| | | | | | |
| | Portfolio turnover rate(f) | | | | — | %(g) | | | | — | %(g) | | | | — | %(g) | | | | — | %(g) | | |
| | |
| | (a) | Commenced operations on March 29, 2021. |
| | (b) | Calculated based on the average shares outstanding methodology. |
| | (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. |
| | (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. |
| | (g) | There were no long-term transactions for the years ended August 31, 2024, August 31, 2023, August 31, 2022 and period ended August 31, 2021. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 49 |
GOLDMAN SACHS ALLOCATION FUNDS
|
Consolidated Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | |
| | |
| | | | | Strategic Volatility Premium Fund |
| | |
| | | | | Class P Shares |
| | | | |
| | | | | Year Ended August 31, | | Period Ended
August 31, 2021(a) | | |
| | | | | 2024 | | 2023 | | 2022 | | |
| | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| | | Net asset value, beginning of period | | | $ | 9.71 | | | | $ | 9.66 | | | | $ | 10.10 | | | | $ | 10.00 | | | |
| | |
| | | | | | |
| | Net investment income (loss)(b) | | | | 0.45 | | | | | 0.31 | | | | | — | (c) | | | | (0.01 | ) | | |
| | | | | | |
| | Net realized and unrealized gain (loss) | | | | 0.27 | | | | | (0.19 | ) | | | | (0.40 | ) | | | | 0.11 | | | |
| | |
| | | | | | |
| | Total from investment operations | | | | 0.72 | | | | | 0.12 | | | | | (0.40 | ) | | | | 0.10 | | | |
| | |
| | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.41 | ) | | | | (0.07 | ) | | | | — | | | | | — | | | |
| | | | | | |
| | Distributions to shareholders from net realized gains | | | | — | | | | | — | | | | | (0.04 | ) | | | | — | | | |
| | |
| | | | | | |
| | Total distributions | | | | (0.41 | ) | | | | (0.07 | ) | | | | (0.04 | ) | | | | — | | | |
| | |
| | | | | | |
| | Net asset value, end of period | | | $ | 10.02 | | | | $ | 9.71 | | | | $ | 9.66 | | | | $ | 10.10 | | | |
| | |
| | | | | | |
| | Total return(d) | | | | 7.65 | % | | | | 1.39 | % | | | | (4.09 | )% | | | | 1.00 | % | | |
| | |
| | | | | | |
| | Net assets, end of period (in 000s) | | | $ | 444,286 | | | | $ | 443,639 | | | | $ | 511,763 | | | | $ | 422,570 | | | |
| | | | | | |
| | Ratio of net expenses to average net assets | | | | 0.41 | % | | | | 0.38 | % | | | | 0.37 | % | | | | 0.37 | %(e) | | |
| | | | | | |
| | Ratio of total expenses to average net assets | | | | 0.64 | % | | | | 0.59 | % | | | | 0.60 | % | | | | 0.79 | %(e) | | |
| | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | | 4.58 | % | | | | 3.23 | % | | | | 0.05 | % | | | | (0.35 | )%(e) | | |
| | | | | | |
| | Portfolio turnover rate(f) | | | | — | %(g) | | | | — | %(g) | | | | — | %(g) | | | | — | %(g) | | |
| | |
| | (a) | Commenced operations on March 29, 2021. |
| | (b) | Calculated based on the average shares outstanding methodology. |
| | (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. |
| | (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. |
| | (g) | There were no long-term transactions for the years ended August 31, 2024, August 31, 2023, August 31, 2022 and period ended August 31, 2021. |
| | |
| 50 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALLOCATION FUNDS
|
Consolidated Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Period |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | |
| | | | | Tactical Tilt Overlay Fund | | |
| | | |
| | | | | Institutional Shares | | |
| | | |
| | | | | Year Ended August 31, | | |
| | | | | | | |
| | | | | 2024 | | 2023 | | 2022 | | 2021 | | 2020 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | Net asset value, beginning of year | | | $ | 10.81 | | | | $ | 10.51 | | | | $ | 10.66 | | | | $ | 10.20 | | | | $ | 9.94 | | | |
| | |
| | | | | | | |
| | Net investment income (loss)(a) | | | | 0.49 | | | | | 0.39 | | | | | 0.05 | | | | | (0.02 | ) | | | | 0.11 | | | |
| | | | | | | |
| | Net realized and unrealized gain | | | | 0.23 | | | | | — | (b) | | | | 0.01 | | | | | 0.95 | | | | | 0.26 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 0.72 | | | | | 0.39 | | | | | 0.06 | | | | | 0.93 | | | | | 0.37 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.57 | ) | | | | (0.09 | ) | | | | (0.21 | ) | | | | (0.47 | ) | | | | (0.11 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 10.96 | | | | $ | 10.81 | | | | $ | 10.51 | | | | $ | 10.66 | | | | $ | 10.20 | | | |
| | |
| | | | | | | |
| | Total return(c) | | | | 6.81 | % | | | | 3.82 | % | | | | 0.49 | % | | | | 9.43 | % | | | | 3.72 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 15,795 | | | | $ | 26,750 | | | | $ | 21,588 | | | | $ | 6,105 | | | | $ | 1,681 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.73 | % | | | | 0.71 | % | | | | 0.68 | % | | | | 0.69 | % | | | | 0.73 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.77 | % | | | | 0.77 | % | | | | 0.77 | % | | | | 0.78 | % | | | | 0.78 | % | | |
| | | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | | 4.52 | % | | | | 3.69 | % | | | | 0.47 | % | | | | (0.15 | )% | | | | 1.08 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 41 | % | | | | 150 | % | | | | 61 | % | | | | 60 | % | | | | 70 | % | | |
| | |
| | (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 year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | Expense ratios exclude the expenses of the Affiliated Underlying Funds in which the Fund invests. |
| | (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 51 |
GOLDMAN SACHS ALLOCATION FUNDS
|
Consolidated Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | |
| | | | | Tactical Tilt Overlay Fund | | |
| | | |
| | | | | Class R6 Shares | | |
| | | |
| | | | | Year Ended August 31, | | |
| | | | | | | |
| | | | | 2024 | | 2023 | | 2022 | | 2021 | | 2020 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | Net asset value, beginning of year | | | $ | 10.46 | | | | $ | 10.17 | | | | $ | 10.33 | | | | $ | 9.91 | | | | $ | 9.67 | | | |
| | |
| | | | | | | |
| | Net investment income (loss)(a) | | | | 0.47 | | | | | 0.38 | | | | | 0.02 | | | | | (0.01 | ) | | | | 0.07 | | | |
| | | | | | | |
| | Net realized and unrealized gain | | | | 0.23 | | | | | — | (b) | | | | 0.03 | | | | | 0.92 | | | | | 0.28 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 0.70 | | | | | 0.38 | | | | | 0.05 | | | | | 0.91 | | | | | 0.35 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.57 | ) | | | | (0.09 | ) | | | | (0.21 | ) | | | | (0.49 | ) | | | | (0.11 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 10.59 | | | | $ | 10.46 | | | | $ | 10.17 | | | | $ | 10.33 | | | | $ | 9.91 | | | |
| | |
| | | | | | | |
| | Total return(c) | | | | 6.86 | % | | | | 3.74 | % | | | | 0.49 | % | | | | 9.48 | % | | | | 3.80 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 620,690 | | | | $ | 583,578 | | | | $ | 573,866 | | | | $ | 1,054,147 | | | | $ | 736,643 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.72 | % | | | | 0.70 | % | | | | 0.67 | % | | | | 0.69 | % | | | | 0.72 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.76 | % | | | | 0.76 | % | | | | 0.76 | % | | | | 0.77 | % | | | | 0.78 | % | | |
| | | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | | 4.51 | % | | | | 3.68 | % | | | | 0.23 | % | | | | (0.09 | )% | | | | 0.73 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 41 | % | | | | 150 | % | | | | 61 | % | | | | 60 | % | | | | 70 | % | | |
| | |
| | (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 year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | Expense ratios exclude the expenses of the Affiliated Underlying Funds in which the Fund invests. |
| | (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| 52 | | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS ALLOCATION FUNDS
|
Consolidated Financial Highlights (continued) Selected Share Data for a Share Outstanding Throughout Each Year |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | |
| | | | | Tactical Tilt Overlay Fund | | |
| | | |
| | | | | Class P Shares | | |
| | | |
| | | | | Year Ended August 31, | | |
| | | | | | | |
| | | | | 2024 | | 2023 | | 2022 | | 2021 | | 2020 | | |
| | | | | | | |
| | Per Share Data | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | |
| | | Net asset value, beginning of year | | | $ | 10.46 | | | | $ | 10.17 | | | | $ | 10.33 | | | | $ | 9.91 | | | | $ | 9.66 | | | |
| | |
| | | | | | | |
| | Net investment income (loss)(a) | | | | 0.47 | | | | | 0.38 | | | | | 0.04 | | | | | (0.01 | ) | | | | 0.08 | | | |
| | | | | | | |
| | Net realized and unrealized gain | | | | 0.23 | | | | | — | (b) | | | | 0.01 | | | | | 0.92 | | | | | 0.28 | | | |
| | |
| | | | | | | |
| | Total from investment operations | | | | 0.70 | | | | | 0.38 | | | | | 0.05 | | | | | 0.91 | | | | | 0.36 | | | |
| | |
| | | | | | | |
| | Distributions to shareholders from net investment income | | | | (0.57 | ) | | | | (0.09 | ) | | | | (0.21 | ) | | | | (0.49 | ) | | | | (0.11 | ) | | |
| | |
| | | | | | | |
| | Net asset value, end of year | | | $ | 10.59 | | | | $ | 10.46 | | | | $ | 10.17 | | | | $ | 10.33 | | | | $ | 9.91 | | | |
| | |
| | | | | | | |
| | Total return(c) | | | | 6.86 | % | | | | 3.75 | % | | | | 0.49 | % | | | | 9.47 | % | | | | 3.79 | % | | |
| | |
| | | | | | | |
| | Net assets, end of year (in 000s) | | | $ | 4,064,931 | | | | $ | 4,080,082 | | | | $ | 3,951,830 | | | | $ | 3,037,227 | | | | $ | 2,291,061 | | | |
| | | | | | | |
| | Ratio of net expenses to average net assets(d) | | | | 0.72 | % | | | | 0.70 | % | | | | 0.67 | % | | | | 0.69 | % | | | | 0.72 | % | | |
| | | | | | | |
| | Ratio of total expenses to average net assets(d) | | | | 0.76 | % | | | | 0.76 | % | | | | 0.76 | % | | | | 0.77 | % | | | | 0.78 | % | | |
| | | | | | | |
| | Ratio of net investment income (loss) to average net assets | | | | 4.51 | % | | | | 3.67 | % | | | | 0.37 | % | | | | (0.08 | )% | | | | 0.78 | % | | |
| | | | | | | |
| | Portfolio turnover rate(e) | | | | 41 | % | | | | 150 | % | | | | 61 | % | | | | 60 | % | | | | 70 | % | | |
| | |
| | (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 year, reinvestment of all dividends and distributions, a complete redemption of the investment at the NAV at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
| | (d) | Expense ratios exclude the expenses of the Affiliated Underlying Funds in which the Fund invests. |
| | (e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
| | |
| The accompanying notes are an integral part of these financial statements. | | 53 |
GOLDMAN SACHS ALLOCATION FUNDS
|
Notes to Financial Statements August 31, 2024 |
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 |
| | |
| Goldman Sachs Global Managed Beta Fund | | Institutional | | Diversified |
| | |
| Goldman Sachs Strategic Factor Allocation Fund | | Institutional and P | | Diversified |
| | |
| Goldman Sachs Strategic Volatility Premium Fund | | Institutional and P | | Diversified |
| | |
| Goldman Sachs Tactical Tilt Overlay Fund | | Institutional, R6 and P | | Diversified |
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (“Goldman Sachs”), serves as investment adviser to each of the Global Managed Beta, Strategic Factor Allocation, Strategic Volatility Premium and Tactical Tilt Overlay Funds pursuant to management agreements (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. Basis of Consolidation for Strategic Factor Allocation Fund, Strategic Volatility Premium Fund and Tactical Tilt Overlay Fund — Cayman Commodity-SFA, LLC., Cayman Commodity-SVP, LLC., and Cayman Commodity-TTIF, LLC., (each a “Subsidiary” and collectively, the “Subsidiaries”), Cayman Islands exempted companies, are currently wholly-owned subsidiaries of the Strategic Factor Allocation, Strategic Volatility Premium and Tactical Tilt Overlay 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 August 31, 2024, the Fund and Subsidiary net assets were as follows:
| | | | | | |
| Fund | | Fund Net Assets | | Subsidiary Net Assets | | % Represented by Subsidiary’s Net Assets |
| | | |
| Goldman Sachs Strategic Factor Allocation Fund | | $2,399,259,628 | | $ 5,110,097 | | 0.2% |
| | | |
| Goldman Sachs Strategic Volatility Premium Fund | | 444,612,507 | | 5,110,097 | | 1.1 |
| | | |
| Goldman Sachs Tactical Tilt Overlay Fund | | 4,701,415,728 | | 592,780,361 | | 12.6 |
B. Investment Valuation — Each 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
GOLDMAN SACHS ALLOCATION FUNDS
|
|
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
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. For the Global Managed Beta and Tactical Tilt Overlay Funds, 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 Statement 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 a Fund’s investments in U.S. real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain and/or a return of capital. A return of capital is recorded by the Fund as a reduction to the cost basis of the REIT.
Distributions from master limited partnerships (“MLPs”) are generally recorded based on the characterization reported on the MLP’s tax return. A Fund records its pro-rata share of the income/loss and capital gains/losses, allocated from the underlying partnerships and adjusts the cost basis of the underlying partnerships accordingly. 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 and Consolidated Statements of Assets and Liabilities. Upfront payments are recognized over the contract’s term/event as realized gains or losses, with the exception of forward starting swap contracts whose realized gains or losses are recognized from the effective start date. For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities, and excess or shortfall amounts are recorded as income. 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 for Tactical Tilt Overlay Fund, Strategic Factor Allocation Fund and Strategic Volatility Premium Fund — 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 Transfer Agency fees.
E. Expenses for Global Managed Beta Fund — Expenses incurred directly by the Fund are charged to the Fund, and certain expenses incurred by the Trust that may not solely relate to the Fund are allocated to the Fund and the other applicable funds of the Trust on a straight-line and/or pro-rata basis, depending upon the nature of the expenses, and are accrued daily.
F. 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 at least annually.
The Subsidiary is classified as a controlled foreign corporation under the Code. Therefore, the Tactical Tilt Overlay Fund is required to increase its taxable income by its share of the Subsidiary’s income. Net losses of the Subsidiary cannot be deducted by the 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 each 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 and Consolidated Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
GOLDMAN SACHS ALLOCATION FUNDS
|
Notes to Financial Statements (continued) August 31, 2024 |
|
|
2. SIGNIFICANT ACCOUNTING POLICIES (continued) |
G. 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 Statement of Operations and 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. With respect to the Funds’ investments that do not have readily available market quotations, the Trustees have designated GSAM as the valuation designee to perform fair valuations pursuant to Rule 2a-5 under the Investment Company Act of 1940 (the “Valuation Designee”). GSAM has 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 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 and consistent with
GOLDMAN SACHS ALLOCATION FUNDS
|
|
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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 the Valuation Procedures 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 exchange-traded funds (“ETFs”) and other investment companies. Investments in the Underlying Funds (except ETFs) are valued at the NAV per share on the day of valuation. ETFs are valued daily at the last sale price or official closing price on the principal exchange or system on which the investment is traded. Because the 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. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. With the exception of treasury securities of G7 countries, which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.
i. Commercial Paper — Commercial paper normally represents short-term unsecured promissory notes issued in bearer form by banks or bank holding companies, corporations, finance companies and other issuers. Commercial paper consists of direct U.S. dollar-denominated obligations of domestic or foreign issuers. Asset-backed commercial paper is issued by a special purpose entity that is organized to issue the commercial paper and to purchase trade receivables or other financial assets.
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 Statement of Assets and Liabilities and Consolidated Statements of Assets and Liabilities as either due to broker/receivable for collateral on certain derivative contracts. Non-cash collateral pledged by a Fund, if any, is noted in the Schedule 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
GOLDMAN SACHS ALLOCATION FUNDS
|
Notes to Financial Statements (continued) August 31, 2024 |
|
|
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Forward Contracts — A forward contract is a contract between two parties to buy or sell an asset at a specified price on a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts are marked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be used to collateralize forward contracts.
A forward foreign currency exchange contract is a forward contract in which a Fund agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked to market daily by using the outright forward rates or interpolating based upon maturity dates, where available. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.
ii. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security. Upon entering into a futures contract, a Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by a Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
iii. Options — When a Fund writes call or put options, an amount equal to the premium received is recorded as a liability and is subsequently marked-to-market to reflect the current value of the option written. Swaptions are options on swap contracts.
Upon the purchase of a call option or a put option by a Fund, the premium paid is recorded as an investment and subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.
iv. Swap Contracts — Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, a Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a receivable or payable for variation margin.
An interest rate swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals, based upon or calculated by reference to changes in interest rates on a specified notional principal amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.
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 the Valuation Procedures. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either
GOLDMAN SACHS ALLOCATION FUNDS
|
|
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
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 August 31, 2024:
| | | | | | | | | | | | |
| GLOBAL MANAGED BETA FUND | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
|
| |
| | | |
Assets | | | | | | | | | | | | |
| | | |
Common Stock and/or Other Equity Investments(a) | | | | | | | | | | | | |
| | | |
Africa | | $ | 234,090 | | | $ | — | | | $ | — | |
| | | |
Asia | | | 1,741,716 | | | | 32,847,879 | | | | — | |
| | | |
Australia and Oceania | | | 120,170 | | | | 9,884,638 | | | | — | |
| | | |
Europe | | | 9,442,961 | | | | 73,835,681 | | | | — | |
| | | |
North America | | | 298,252,646 | | | | 207,613 | | | | 591 | |
| | | |
Preferred Stocks | | | — | | | | 346,325 | | | | — | |
| | | |
Exchange Traded Funds | | | 3,443,491,249 | | | | — | | | | — | |
| | | |
Investment Company | | | 215,810,091 | | | | — | | | | — | |
|
| |
| | | |
Total | | $ | 3,969,092,923 | | | $ | 117,122,136 | | | $ | 591 | |
|
| |
| | | |
| Derivative Type | | | | | | | | | | | | |
|
| |
| | | |
Assets | | | | | | | | | | | | |
| | | |
Forward Foreign Currency Exchange Contracts(b) | | $ | — | | | $ | 1,399,037 | | | $ | — | |
| | | |
Futures Contracts(b) | | | 38,570,684 | | | | — | | | | — | |
| | | |
Purchased Option Contracts | | | 62,196,881 | | | | 3,116,901 | | | | — | |
|
| |
| | | |
Total | | $ | 100,767,565 | | | $ | 4,515,938 | | | $ | — | |
|
| |
| | | |
Liabilities | | | | | | | | | | | | |
| | | |
Forward Foreign Currency Exchange Contracts(b) | | $ | — | | | $ | (26,219,242 | ) | | $ | — | |
| | | |
Written Option Contracts | | | (1,105,170 | ) | | | — | | | | — | |
|
| |
| | | |
Total | | $ | (1,105,170 | ) | | $ | (26,219,242 | ) | | $ | — | |
|
| |
| | (a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of net asset value. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Fund utilizes fair value model prices provided by an independent fair value service for international equities, resulting in a Level 2 classification. |
| | (b) | Amount shown represents unrealized gain (loss) at period end. |
| | | | | | | | | | | | |
| STRATEGIC FACTOR ALLOCATION FUND | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
|
| |
| | | |
Assets | | | | | | | | | | | | |
| | | |
Fixed Income | | | | | | | | | | | | |
| | | |
U.S. Treasury Obligations | | $ | 796,354,836 | | | $ | — | | | $ | — | |
| | | |
Investment Company | | | 1,408,271,148 | | | | — | | | | — | |
|
| |
| | | |
Total | | $ | 2,204,625,984 | | | $ | — | | | $ | — | |
|
| |
GOLDMAN SACHS ALLOCATION FUNDS
|
Notes to Financial Statements (continued) August 31, 2024 |
|
|
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| | | | | | | | | | | | |
| STRATEGIC FACTOR ALLOCATION FUND (continued) | | | | | | | | | | | | |
| | | |
| Derivative Type | | Level 1 | | | Level 2 | | | Level 3 | |
|
| |
| | | |
Assets | | | | | | | | | | | | |
| | | |
Forward Foreign Currency Exchange Contracts(a) | | $ | — | | | $ | 12,564,622 | | | $ | — | |
| | | |
Futures Contracts(a) | | | 67,762,843 | | | | — | | | | — | |
| | | |
Purchased Option Contracts | | | 28,784,579 | | | | — | | | | — | |
|
| |
| | | |
Total | | $ | 96,547,422 | | | $ | 12,564,622 | | | $ | — | |
|
| |
| | | |
Liabilities | | | | | | | | | | | | |
| | | |
Forward Foreign Currency Exchange Contracts(a) | | $ | — | | | $ | (24,119,814 | ) | | $ | — | |
| | | |
Futures Contracts(a) | | | (7,234,545 | ) | | | — | | | | — | |
| | | |
Written Option Contracts | | | (1,120,590 | ) | | | — | | | | — | |
|
| |
| | | |
Total | | $ | (8,355,135 | ) | | $ | (24,119,814 | ) | | $ | — | |
|
| |
| | (a) | Amount shown represents unrealized gain (loss) at period end. |
| | | | | | | | | | | | |
| STRATEGIC VOLATILITY PREMIUM FUND | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
|
| |
| | | |
Assets | | | | | | | | | | | | |
| | | |
Fixed Income | | | | | | | | | | | | |
| | | |
U.S. Treasury Obligations | | $ | 288,637,708 | | | $ | — | | | $ | — | |
| | | |
Investment Companies | | | 137,817,748 | | | | — | | | | — | |
|
| |
| | | |
Total | | $ | 426,455,456 | | | $ | — | | | $ | — | |
|
| |
| | | |
| Derivative Type | | | | | | | | | |
|
| |
| | | |
Assets | | | | | | | | | | | | |
| | | |
Futures Contracts(a) | | $ | 38,343 | | | $ | — | | | $ | — | |
| | | |
Purchased Option Contracts | | | 296,544 | | | | — | | | | — | |
|
| |
| | | |
Total | | $ | 334,887 | | | $ | — | | | $ | — | |
|
| |
| | | |
Liabilities | | | | | | | | | | | | |
| | | |
Futures Contracts(a) | | $ | (845,213 | ) | | $ | — | | | $ | — | |
| | | |
Written Option Contracts | | | (126,714 | ) | | | — | | | | — | |
|
| |
| | | |
Total | | $ | (971,927 | ) | | $ | — | | | $ | — | |
|
| |
| | (a) | Amount shown represents unrealized gain (loss) at period end. |
GOLDMAN SACHS ALLOCATION FUNDS
|
|
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued) |
| | | | | | | | | | | | |
| TACTICAL TILT OVERLAY FUND | | | | | | | | | | | | |
| | | |
| Investment Type | | Level 1 | | | Level 2 | | | Level 3 | |
|
| |
| | | |
Assets | | | | | | | | | | | | |
| | | |
Fixed Income | | | | | | | | | | | | |
| | | |
U.S. Treasury Obligations | | $ | 612,617,607 | | | $ | — | | | $ | — | |
| | | |
Corporate Obligations | | | — | | | | 15,754,897 | | | | — | |
| | | |
Agency Debentures | | | — | | | | 5,020,766 | | | | — | |
| | | |
Securities Lending Reinvestment Vehicle | | | 32,982,945 | | | | — | | | | — | |
| | | |
Exchange Traded Funds | | | 240,378,989 | | | | — | | | | — | |
| | | |
Investment Companies | | | 1,596,686,693 | | | | — | | | | — | |
| | | |
Short-term Investments | | | — | | | | 2,122,126,402 | | | | — | |
|
| |
| | | |
Total | | $ | 2,482,666,234 | | | $ | 2,142,902,065 | | | $ | — | |
|
| |
| | | |
| Derivative Type | | | | | | | | | |
|
| |
| | | |
Assets | | | | | | | | | | | | |
| | | |
Forward Foreign Currency Exchange Contracts(a) | | $ | — | | | $ | 14,133,903 | | | $ | — | |
| | | |
Futures Contracts(a) | | | 4,690,316 | | | | — | | | | — | |
| | | |
Interest Rate Swap Contracts(a) | | | — | | | | 3,695,905 | | | | — | |
| | | |
Purchased Option Contracts | | | — | | | | 21,198,151 | | | | — | |
|
| |
| | | |
Total | | $ | 4,690,316 | | | $ | 39,027,959 | | | $ | — | |
|
| |
| | | |
Liabilities | | | | | | | | | | | | |
| | | |
Forward Foreign Currency Exchange Contracts(a) | | $ | — | | | $ | (16,120,106 | ) | | $ | — | |
| | | |
Futures Contracts(a) | | | (9,413,842 | ) | | | — | | | | — | |
| | | |
Written Option Contracts | | | — | | | | (13,081,578 | ) | | | — | |
|
| |
| | | |
Total | | $ | (9,413,842 | ) | | $ | (29,201,684 | ) | | $ | — | |
|
| |
| | (a) | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Schedule and Consolidated Schedules of Investments.
|
|
4. INVESTMENTS IN DERIVATIVES |
The following tables set forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of August 31, 2024. 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.
GOLDMAN SACHS ALLOCATION FUNDS
|
Notes to Financial Statements (continued) August 31, 2024 |
|
|
4. INVESTMENTS IN DERIVATIVES (continued) |
| | | | | | | | | | | | |
| Global Managed Beta Fund | | | | | | | | | | |
| | | | |
| Risk | | Statements of Assets and Liabilities | | Assets | | | Statements of Assets and Liabilities | | Liabilities | |
| | | | |
| Currency | | Receivable for unrealized gain on forward foreign currency exchange contracts; Purchased options, at value | | $ | 4,515,938 | | | Payable for unrealized loss on forward foreign currency exchange contracts | | $ | (26,219,242 | ) |
| | | | |
| Equity | | Variation margin on futures contracts | | | 38,570,684 | (a) | | Written options, at value | | | (1,105,170 | ) |
| | | | |
| Interest rate | | Purchased options, at value | | | 62,196,881 | | | — | | | — | |
| | | | |
Total | | | | $ | 105,283,503 | | | | | $ | (27,324,412 | ) |
| | | |
| Strategic Factor Allocation Fund | | | | | | | | | | |
| | | | |
| Risk | | Consolidated Statements of Assets and Liabilities | | Assets | | | Consolidated Statements of Assets and Liabilities | | Liabilities | |
| | | | |
| Currency | | Receivable for unrealized gain on forward foreign currency exchange contracts | | $ | 12,564,622 | | | Payable for unrealized loss on forward foreign currency exchange contracts | | $ | (24,119,814 | ) |
| | | | |
| Equity | | Variation margin on futures contracts; Purchased options, at value | | | 69,095,027 | (a) | | Written options, at value | | | (966,639 | ) |
| | | | |
| Interest rate | | Purchased options, at value | | | 27,452,395 | | | Variation margin on futures contracts; Written options, at value | | | (7,388,496 | )(a) |
| | | | |
Total | | | | $ | 109,112,044 | | | | | $ | (32,474,949 | ) |
| | | |
| Strategic Volatility Premium Fund | | | | | | | | | | |
| | | | |
| Risk | | Consolidated Statements of Assets and Liabilities | | Assets | | | Consolidated Statements of Assets and Liabilities | | Liabilities | |
| | | | |
| Equity | | Variation margin on futures contracts; Purchased options, at value | | $ | 115,236 | (a) | | Written options, at value | | $ | (98,165 | ) |
| | | | |
| Interest rate | | Purchased options, at value | | | 219,651 | | | Variation margin on futures contracts: Written options, at value | | | (873,762 | )(a) |
| | | | |
Total | | | | $ | 334,887 | | | | | $ | (971,927 | ) |
GOLDMAN SACHS ALLOCATION FUNDS
|
|
4. INVESTMENTS IN DERIVATIVES (continued) |
| | | | | | | | | | | | |
| Tactical Tilt Overlay Fund | | | | | | | | | | |
| | | | |
| Risk | | Consolidated Statements of Assets and Liabilities | | Assets | | | Consolidated Statements of Assets and Liabilities | | Liabilities | |
| | | | |
| Currency | | Receivable for unrealized gain on forward foreign currency contracts; Purchased options, at value | | $ | 14,430,798 | | | Payable for unrealized loss on forward foreign currency contracts; Written options, at value | | $ | (16,606,094 | ) |
| | | | |
| Equity | | Variation margin on futures contracts | | | 14,787,385 | (a) | | Variation margin on futures contracts; Written options, at value | | | (5,473,847 | )(a) |
| | | | |
| Interest rate | | Variation margin on swap contracts; purchased options, at value | | | 14,500,092 | (a) | | Variation margin on futures contracts; Written options, at value | | | (16,535,585 | ) |
| | | | |
Total | | | | $ | 43,718,275 | | | | | $ | (38,615,526 | ) |
| | (a) | Includes unrealized gain (loss) on futures contracts and centrally cleared swaps described in the Additional Investment Information sections of the Schedule and Consolidated Schedules of Investments. Only current day’s variation margin is reported within the Statement and Consolidated Statements of Assets and Liabilities. |
The following tables set forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the fiscal year ended August 31, 2024. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statement and Consolidated Statements of Operations:
| | | | | | | | | | | | |
| Global Managed Beta Fund | | | | | | | | | | |
| | | |
| Risk | | Statements of Operations | | Net Realized Gain (Loss) | | Net Change in
Unrealized
Gain (Loss) |
| | | |
| Currency | | Net realized gain (loss) from forward foreign currency exchange contracts and purchased options/Net change in unrealized gain (loss) on forward foreign currency exchange contracts, and purchased options | | | $ | 19,362,330 | | | | $ | (28,052,788 | ) |
| | | |
| Equity | | Net realized gain (loss) from futures contracts, purchased and written options/ Net change in unrealized gain (loss) on futures contracts and written options | | | | 44,292,689 | | | | | 31,996,937 | |
| | | |
| Interest rate | | Net realized gain (loss) from purchased options/Net change in unrealized gain (loss) on purchased options | | | | (15,262 | ) | | | | 17,097,251 | |
| | | |
Total | | | | | $ | 63,639,757 | | | | $ | 21,041,400 | |
GOLDMAN SACHS ALLOCATION FUNDS
|
Notes to Financial Statements (continued) August 31, 2024 |
|
|
4. INVESTMENTS IN DERIVATIVES (continued) |
| | | | | | | | | | | | |
| Strategic Factor Allocation Fund | | | | | | | | | | |
| | | |
| Risk | | Consolidated Statements of Operations | | Net Realized Gain (Loss) | | Net Change in
Unrealized
Gain (Loss) |
| | | |
| Currency | | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | | | $ | 121,824 | | | | $ | (9,782,691 | ) |
| | | |
| Equity | | Net realized gain (loss) from futures contracts, purchased options and written options/Net change in unrealized gain (loss) on futures contracts, purchased options and written options | | | | 185,496,009 | | | | | 64,984,679 | |
| | | |
| Interest rate | | Net realized gain (loss) from futures contracts and written options/Net change in unrealized gain (loss) on futures contracts, purchased options and written options | | | | 32,718,105 | | | | | (15,657,475 | ) |
| | | |
Total | | | | | $ | 218,335,938 | | | | $ | 39,544,513 | |
| | |
| Strategic Volatility Premium Fund | | | | | | | | | | |
| | | |
| Risk | | Consolidated Statements of Operations | | Net Realized Gain (Loss) | | Net Change in
Unrealized
Gain (Loss) |
| | | |
| Currency | | Net realized gain (loss) from forward foreign currency exchange contracts | | | $ | 5,714 | | | | $ | — | |
| | | |
| Equity | | Net realized gain (loss) from futures contracts, purchased options and written options/Net change in unrealized gain (loss) on futures contracts, purchased options and written options | | | | 9,284,689 | | | | | (12,001 | ) |
| | | |
| Interest rate | | Net realized gain (loss) from futures contracts, purchased options and written options/Net change in unrealized gain (loss) on futures contracts, purchased options and written options | | | | 4,720,743 | | | | | (2,445,558 | ) |
| | | |
Total | | | | | $ | 14,011,146 | | | | $ | (2,457,559 | ) |
| | |
| Tactical Tilt Overlay Fund | | | | | | | | | | |
| | | |
| Risk | | Consolidated Statements of Operations | | Net Realized Gain (Loss) | | Net Change in
Unrealized
Gain (Loss) |
| | | |
| Commodity | | Net realized gain (loss) from futures contracts, purchased options and written options/Net change in unrealized gain (loss) on swap contracts | | | $ | 6,651,748 | | | | $ | (2,616,745 | ) |
| | | |
| Currency | | Net realized gain (loss) from forward foreign currency contracts, purchased options and written options/Net change in unrealized gain (loss) on forward foreign currency contracts, purchased options and written options | | | | (4,796,174 | ) | | | | (2,931,374 | ) |
| | | |
| Equity | | Net realized gain (loss) from futures contracts, swap contracts, purchased options and written options/Net change in unrealized gain (loss) on futures contracts, purchased options and written options | | | | 12,596,733 | | | | | 18,509,008 | |
| | | |
| Interest rate | | 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 | | | | 49,145,638 | | | | | (17,489,378 | ) |
| | | |
Total | | | | | $ | 63,597,945 | | | | $ | (4,528,489 | ) |
GOLDMAN SACHS ALLOCATION FUNDS
|
|
4. INVESTMENTS IN DERIVATIVES (continued) |
For the fiscal year ended August 31, 2024, the relevant values for each derivative type were as follows:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | Average Number of Contracts, Notional Amounts(a) | |
| |
| | | | |
| | | | | | | |
Fund | | Futures Contracts | | | Forward Contracts | | | Swap Agreements | | | Purchased Options | | | Purchased Swaptions | | | Written Options | | | Written Swaptions | |
|
| |
| | | | | | | |
Global Managed Beta Fund | | | 4,223 | | | $ | 711,926,818 | | | $ | — | | | | 487,175,597 | | | $ | — | | | | 73,266 | | | $ | — | |
|
| |
| | | | | | | |
Strategic Factor Allocation Fund | | | 17,914 | | | | 879,807,253 | | | | — | | | | 31,290,376 | | | | — | | | | 8,996,858 | | | | — | |
|
| |
| | | | | | | |
Strategic Volatility Premium Fund | | | 2,989 | | | | — | | | | — | | | | 1,399,854 | | | | — | | | | 1,301,692 | | | | — | |
|
| |
| | | | | | | |
Tactical Tilt Overlay Fund | | | 26,987 | | | | 343,471,796 | | | | 123,837,060 | | | | 111,607,836 | | | | 1,331,348,504 | | | | 37,495,420 | | | | 1,598,058,625 | |
|
| |
| | (a) | Amounts disclosed represent average number of contracts for futures contracts, notional amounts for forward contracts, swap agreements, purchased options and written options, based on absolute values, which is indicative of volume for this derivative type, for the months that the Fund held such derivatives during the fiscal year ended August 31, 2024. |
In order to better define its contractual rights and to secure rights that will help a Fund mitigate its counterparty risk, a Fund may enter into an International Swaps and Derivatives Association, Inc. Master Agreement (“ISDA Master Agreement”) or similar agreement with its derivatives counterparties. An ISDA Master Agreement is a bilateral agreement between a Fund and a counterparty that governs OTC derivatives (including forward foreign currency exchange contracts, and certain options and swaps), and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of a default (close-out netting) or similar event, including the bankruptcy or insolvency of the counterparty.
Collateral and margin requirements differ between exchange traded derivatives and OTC derivatives. Margin requirements are established by the broker or clearing house for exchange-traded and centrally cleared derivatives (financial futures contracts, options and centrally cleared swaps) pursuant to governing agreements for those instrument types. Brokers can ask for margin in excess of the minimum in certain circumstances. Collateral terms are contract-specific for OTC derivatives. For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the marked to market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by a Fund and the counterparty. Additionally, a Fund may be required to post initial margin to the counterparty, the terms of which would be outlined in the confirmation of the OTC transaction.
Generally, the amount of collateral due from or to a counterparty must exceed a minimum transfer amount threshold before a transfer is required to be made. To the extent amounts due to a Fund from its counterparties are not fully collateralized, contractually or otherwise, a Fund bears the risk of loss from counterparty nonperformance. A Fund attempts to mitigate counterparty risk by only entering into agreements with counterparties that the Investment Adviser believes to be of good standing and by monitoring the financial stability of those counterparties.
Additionally, the netting of assets and liabilities and the offsetting of collateral pledged or received are based on contractual netting/set-off provisions in the ISDA Master Agreement or similar agreements. However, in the event of a default or insolvency of a counterparty, a court could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of setoff that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws.
GOLDMAN SACHS ALLOCATION FUNDS
|
Notes to Financial Statements (continued) August 31, 2024 |
|
|
4. INVESTMENTS IN DERIVATIVES (continued) |
The following tables set forth the Funds’ net exposure for derivative instruments that are subject to enforceable master netting arrangements or similar agreements as of August 31, 2024:
| | | | | | | | | | |
| Strategic Factor Allocation Fund |
| | | | | |
| | | Derivative Assets(1)
| | Derivative Liabilities(1)
| | | | | | |
| | | | | |
| Counterparty | | Forward Currency Contracts | | Forward Currency Contracts | | Net Derivative Asset (Liabilities) | | Collateral (Received) Pledged(1) | | Net Amount(2) |
|
|
| | | | | |
| MS & Co. Int. PLC | | $12,564,622 | | $(24,119,814) | | $(11,555,192) | | $11,555,192 | | $— |
|
|
| | (1) | Gross amounts available for offset but not netted in the Consolidated Statement of Assets and Liabilities. |
| | (2) | Net amount represents the net amount due (to) from counterparty in the event of a default based on the contractual set-off rights under the agreement. Net amount excludes any over-collateralized amounts. |
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Tactical Tilt Overlay Fund | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | |
| | | Derivative Assets(1) | | | Derivative Liabilities(1) | | | | | | | | | | |
| | | | | | | | | |
| Counterparty | | Options
Purchased | | | Forward
Currency
Contracts | | | Total | | | Forward
Currency
Contracts | | | Options
Written | | | Total | | | Net Derivative
Asset
(Liabilities) | | | Collateral
(Received)
Pledged(1) | | | Net
Amount(2) | |
|
| |
| | | | | | | | | |
Barclays Bank PLC | | $ | 296,895 | | | $ | — | | | $ | 296,895 | | | $ | — | | | $ | (485,988 | ) | | $ | (485,988 | ) | | $ | (189,093 | ) | | $ | 189,093 | | | $ | — | |
| | | | | | | | | |
BNP Paribas SA | | | 2,989,052 | | | | — | | | | 2,989,052 | | | | — | | | | (883,190 | ) | | | (883,190 | ) | | | 2,105,862 | | | | — | | | | 2,105,862 | |
| | | | | | | | | |
BofA Securities LLC | | | 13,402,843 | | | | — | | | | 13,402,843 | | | | — | | | | (4,222,119 | ) | | | (4,222,119 | ) | | | 9,180,724 | | | | — | | | | 9,180,724 | |
| | | | | | | | | |
JPMorgan Securities, Inc. | | | 1,130,112 | | | | — | | | | 1,130,112 | | | | — | | | | (5,349,319 | ) | | | (5,349,319 | ) | | | (4,219,207 | ) | | | 4,219,207 | | | | — | |
| | | | | | | | | |
MS & Co. Int. PLC | | | 3,379,249 | | | | 14,133,903 | | | | 17,513,152 | | | | (16,120,106 | ) | | | (2,140,962 | ) | | | (18,261,068 | ) | | | (747,916 | ) | | | 747,916 | | | | — | |
|
| |
| | | | | | | | | |
| Total | | $ | 21,198,151 | | | $ | 14,133,903 | | | $ | 35,332,054 | | | $ | (16,120,106 | ) | | $ | (13,081,578 | ) | | $ | (29,201,684 | ) | | $ | 6,130,370 | | | $ | 5,156,216 | | | $ | 11,286,586 | |
|
| |
| | (1) | Gross amounts available for offset but not netted in the Consolidated Statement of Assets and Liabilities. |
| | (2) | Net amount represents the net amount due (to) from counterparty in the event of a default based on the contractual set-off rights under the agreement. Net amount excludes any over-collateralized amounts. |
|
|
5. AGREEMENTS AND AFFILIATED TRANSACTIONS |
A. Management Agreement — Under the Agreement, GSAM manages each 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 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.
GOLDMAN SACHS ALLOCATION FUNDS
|
|
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
For the fiscal year ended August 31, 2024, contractual and effective net management fees with GSAM were at the following rates:
| | | | | | | | | | | | | | | | | | | | | | | | |
| | | Contractual Management Rate | | | | | |
| | | | | | |
| Fund | | First
$2 billion | | Next
$3 billion | | Next
$3 billion | | Over
$8 billion | | Effective Rate | | Effective Net
Management
Rate*^ | |
|
| |
| | | | | | |
Global Managed Beta Fund | | | 0.30 | % | | | 0.30 | % | | | 0.30 | % | | | 0.30 | % | | | 0.30 | % | | | 0.23% | |
|
| |
| | | | | | |
Strategic Factor Allocation Fund | | | 0.75 | | | | 0.68 | | | | 0.64 | | | | 0.62 | | | | 0.74 | | | | 0.64(a) | |
|
| |
| | | | | | |
Strategic Volatility Premium Fund | | | 0.50 | | | | 0.45 | | | | 0.43 | | | | 0.42 | | | | 0.50 | | | | 0.31(a) | |
|
| |
| | | | | | |
Tactical Tilt Overlay Fund | | | 0.75 | | | | 0.68 | | | | 0.64 | | | | 0.62 | | | | 0.71 | | | | 0.64(a) | |
|
| |
| | * | GSAM has agreed to waive a portion of its management fee payable by the Fund in an amount equal to any management fee it earns as an investment adviser to any of the affiliated funds in which the Fund invests through at least December 29, 2024. Prior to such date GSAM may not terminate the arrangement without the approval of the Trustees. |
| | ^ | Effective Net Management Rate includes the impact of management fee waivers of affiliated underlying funds, if any. |
| | (a) | Reflects combined management fees paid to GSAM under the Agreement and the Subsidiary Agreements as defined below after waivers. |
The Funds invest in Institutional Shares of the Goldman Sachs Financial Square Government Fund (“Government Money Market Fund”). The Strategic Volatility Premium Fund invests in Institutional Shares of the Goldman Sachs Financial Square Treasury Instruments Fund. The Global Managed Beta Fund invests in each of the Goldman Sachs ActiveBeta Emerging Markets Equity ETF, Goldman Sachs MarketBeta International Equity ETF, Goldman Sachs MarketBeta Russell 1000 Growth Equity ETF, Goldman Sachs MarketBeta Russell 1000 Value Equity ETF and the Goldman Sachs MarketBeta US Equity ETF, and the Tactical Tilt Overlay Fund invests in Goldman Sachs Energy Infrastructure Fund and Goldman Sachs MLP Energy Infrastructure Fund, which are affiliated Underlying Funds. 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 Funds 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 Government Money Market Fund. For the fiscal year ended August 31, 2024, GSAM waived $2,507,541, $2,236,830, $385,191 and $2,421,898 of the Global Managed Beta, Strategic Factor Allocation, Strategic Volatility Premium and Tactical Tilt Overlay Funds’ management fees, respectively.
GSAM has agreed to waive a portion of its management fee in order to achieve an effective net management fee rate of 0.40% as an annual percentage rate of the Strategic Volatility Premium Fund’s average daily net assets. This arrangement will remain in effect at least through December 29, 2024. For the fiscal year ended August 31, 2024, GSAM waived $433,612 of the Strategic Volatility Premium Fund’s management fee. GSAM also provides management services to the Strategic Factor Allocation, Strategic Volatility Premium and Tactical Tilt Overlay Funds’ Subsidiaries pursuant to Subsidiary Management Agreements (each, a “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 each Subsidiary’s management fee, and for as long as each Subsidiary Agreement remains in effect, GSAM has contractually agreed to waive irrevocably a portion of the Strategic Factor Allocation, Strategic Volatility Premium and Tactical Tilt Overlay Funds’ management fee in an amount equal to the management fee accrued and paid to GSAM by each Subsidiary under each Subsidiary Agreement. For the fiscal year ended August 31, 2024, GSAM waived $3,533, $3,533 and $1,527,997 of the Strategic Factor Allocation, Strategic Volatility Premium and Tactical Tilt Overlay Fund’s management fees, respectively.
B. 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 of 0.04% of the average daily net assets of Institutional Shares for the Tactical Tilt Overlay Fund, Strategic Factor Allocation Fund
GOLDMAN SACHS ALLOCATION FUNDS
|
Notes to Financial Statements (continued) August 31, 2024 |
|
|
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
and Strategic Volatility Premium Fund, 0.02% of the average daily net assets of Institutional Shares for the Global Managed Beta Fund, 0.03% of the average daily net assets of Class R6 Shares for the Tactical Tilt Overlay Fund and 0.03% of the average daily net assets of Class P Shares for the Strategic Factor Allocation Fund, Strategic Volatility Premium Fund and Tactical Tilt Overlay Fund.
C. 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 the 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 Global Managed Beta, Strategic Factor Allocation, Strategic Volatility Premium and Tactical Tilt Overlay Funds are 0.204%, 0.164%, 0.064% and 0.164%, respectively. These Other Expense limitations will remain in place through at least December 29, 2024 and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.
For the fiscal year ended August 31, 2024, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
| | | | | | | | | | |
| | | |
| Fund | | Management
Fee Waiver | | | Other Expense Reimbursements | | Total Expense
Reductions | |
|
| |
| | | |
Global Managed Beta Fund | | | $2,507,541 | | | $ — | | $ | 2,507,541 | |
|
| |
| | | |
Strategic Factor Allocation Fund | | | 2,240,363 | | | 87,217 | | | 2,327,580 | |
|
| |
| | | |
Strategic Volatility Premium Fund | | | 822,336 | | | 181,860 | | | 1,004,196 | |
|
| |
| | | |
Tactical Tilt Overlay Fund | | | 3,949,895 | | | 74,863 | | | 4,024,758 | |
|
| |
D. Line of Credit Facility — As of August 31, 2024, the Funds participated in a $1,150,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the fiscal year ended August 31, 2024, the Funds did not have any borrowings under the facility. Prior to April 16, 2024, the facility was $1,110,000,000.
E. Other Transactions with Affiliates — For the fiscal year ended August 31, 2024, Goldman Sachs earned $234,719 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the Tactical Tilt Overlay Fund.
As of August 31, 2024, The Goldman Sachs Group, Inc. was the beneficial owner of 5% or more of total outstanding shares of the following Funds:
| | |
| Fund | | Institutional |
|
|
| |
Strategic Volatility Premium Fund | | 16% |
|
|
GOLDMAN SACHS ALLOCATION FUNDS
|
|
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
The tables below show the transactions in and earnings from investments in the Underlying Funds for the fiscal year ended August 31, 2024:
| | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | | |
| Goldman Sachs Global Managed Beta Fund | |
| | | | | | | | |
| Underlying Fund | | Market Value as of 8/31/23 | | | Purchases at Cost | | | Proceeds from Sales | | | Net Realized Gain/(Loss) | | | Change In
Unrealized
Gain/(Loss) | | | Market Value as of 8/31/24 | | | Shares as of 8/31/24 | | | Dividend Income | |
|
| |
| | | | | | | | |
Goldman Sachs ActiveBeta Emerging Markets Equity ETF | | $ | 30,171,571 | | | $ | 18,044,295 | | | $ | (5,764,262 | ) | | $ | (1,176,184 | ) | | $ | 6,397,625 | | | $ | 47,673,045 | | | | 1,433,474 | | | $ | 439,734 | |
|
| |
| | | | | | | | |
Goldman Sachs Financial Square Government Fund — Institutional Shares | | | 201,923,035 | | | | 1,493,097,805 | | | | (1,479,210,749 | ) | | | — | | | | — | | | | 215,810,091 | | | | 215,810,091 | | | | 10,297,042 | |
|
| |
| | | | | | | | |
Goldman Sachs MarketBeta International Equity ETF | | | 380,586,474 | | | | 217,270,761 | | | | (106,648,370 | ) | | | 2,243,156 | | | | 72,524,451 | | | | 565,976,472 | | | | 9,542,312 | | | | 11,098,938 | |
|
| |
| | | | | | | | |
Goldman Sachs MarketBeta Russell 1000 Growth Equity ETF | | | — | | | | 482,403,197 | | | | (282,354,086 | ) | | | 23,119,716 | | | | 43,776,604 | | | | 266,945,431 | | | | 5,333,639 | | | | 1,492,405 | |
|
| |
| | | | | | | | |
Goldman Sachs MarketBeta Russell 1000 Value Equity ETF | | | — | | | | 513,928,199 | | | | (80,157,929 | ) | | | 1,610,839 | | | | 58,277,288 | | | | 493,658,397 | | | | 10,198,774 | | | | 4,269,439 | |
|
| |
| | | | | | | | |
Goldman Sachs MarketBeta U.S. Equity ETF | | | 419,580,667 | | | | 546,044,573 | | | | (151,282,735 | ) | | | 6,515,878 | | | | 141,955,406 | | | | 962,813,789 | | | | 12,431,424 | | | | 7,527,607 | |
|
| |
| | | | | | | | |
Total | | $ | 1,032,261,747 | | | $ | 3,270,788,830 | | | $ | (2,105,418,131 | ) | | $ | 32,313,405 | | | $ | 322,931,374 | | | $ | 2,552,877,225 | | | | | | | $ | 35,125,165 | |
|
| |
Goldman Sachs Strategic Factor Allocation Fund
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| Underlying Fund | | Market Value as of 8/31/23 | | | Purchases at Cost | | | Proceeds
from Sales | | | Market Value as of 8/31/24 | | | Shares as of
8/31/24 | | Dividend
Income |
|
|
| | | | | | |
Goldman Sachs Financial Square Government Fund — Institutional Shares | | $ | 1,340,575,888 | | | $ | 3,119,829,126 | | | $ | (3,052,133,866 | ) | | $ | 1,408,271,148 | | | 1,408,271,148 | | $72,759,179 |
|
|
Goldman Sachs Strategic Volatility Premium Fund
| | | | | | | | | | | | | | | | | | | | |
| | | | | | |
| Underlying Fund | | Market Value as of 8/31/23 | | | Purchases at Cost | | | Proceeds from Sales | | | Market Value as of 8/31/24 | | | Shares as of
8/31/24 | | Dividend
Income |
|
|
| | | | | | |
Goldman Sachs Financial Square Government Fund — Institutional Shares | | $ | 236,564,769 | | | $ | 560,968,908 | | | $ | (792,432,228 | ) | | $ | 5,101,449 | | | 5,101,449 | | $11,678,627 |
| | | | | | |
Goldman Sachs Financial Square Treasury Instruments Fund — Institutional Shares | | | — | | | | 190,278,863 | | | | (57,562,564 | ) | | | 132,716,299 | | | 132,716,299 | | 754,404 |
|
|
| | | | | | |
Total | | $ | 236,564,769 | | | $ | 751,247,771 | | | $ | (849,994,792 | ) | | $ | 137,817,748 | | | | | $12,433,031 |
|
|
GOLDMAN SACHS ALLOCATION FUNDS
|
Notes to Financial Statements (continued) August 31, 2024 |
|
|
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued) |
Goldman Sachs Tactical Tilt Overlay Fund
| | | | | | | | | | | | | | | | | | | | | | | | | | |
| | | | | | | | | |
| Underlying Fund | | Market Value as of 8/31/23 | | | Purchases at Cost | | | Proceeds from Sales | | | Net Realized Gain/(Loss) | | | Change In Unrealized Gain/(Loss) | | Market Value as of 8/31/24 | | Shares as of 8/31/24 | | Dividend
Income | | Capital Gain Distributions |
|
|
| | | | | | | | | |
Goldman Sachs Energy Infrastructure Fund — Class R6 | | $ | 70,294,705 | | | $ | 2,531,696 | | | $ | (52,660,534 | ) | | $ | 29,244,098 | | | $(24,467,730) | | $ 24,942,235 | | 1,836,689 | | $1,005,874 | | $1,525,821 |
|
|
| | | | | | | | | |
Goldman Sachs Financial Square Government Fund — Institutional Shares | | | 1,437,534,239 | | | | 3,568,195,125 | | | | (3,438,322,552 | ) | | | — | | | — | | 1,567,406,812 | | 1,567,406,812 | | 67,847,144 | | — |
|
|
| | | | | | | | | |
Goldman Sachs MLP Energy Infrastructure Fund — Class R6 | | | 2,352,619 | | | | 4,923,280 | | | | (3,639,454 | ) | | | 36,944 | | | 664,257 | | 4,337,646 | | 117,107 | | 271,688 | | — |
|
|
| | | | | | | | | |
Total | | $ | 1,510,181,563 | | | $ | 3,575,650,101 | | | $ | (3,494,622,540 | ) | | $ | 29,281,042 | | | $(23,803,473) | | $1,596,686,693 | | | | $69,124,706 | | $1,525,821 |
|
|
|
|
6. PORTFOLIO SECURITIES TRANSACTIONS |
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended August 31, 2024, were as follows:
| | | | | | | | | | | | | | | | |
| | | | |
| Fund | | Purchases of
U.S. Government and Agency Obligations | | | Purchases | | | Sales and Maturities of U.S. Government and Agency Obligations | | | Sales and
Maturities | |
|
| |
| | | | |
Global Managed Beta Fund | | | $ — | | | | $2,821,580,362 | | | | $ — | | | | $1,701,663,832 | |
|
| |
| | | | |
Tactical Tilt Overlay Fund | | | 483,796,881 | | | | 299,103,292 | | | | 86,190,063 | | | | 181,548,894 | |
|
| |
For the fiscal year ended August 31, 2024, there were no purchases and proceeds from sales and maturities of long-term securities for the Strategic Factor Allocation and Strategic Volatility Premium Funds.
The Global Managed Beta Fund and Tactical Tilt Overlay Fund may lend their securities through a securities lending agent, the Bank of New York Mellon (“BNYM”), to certain qualified borrowers. 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 Statement and/or 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.
GOLDMAN SACHS ALLOCATION FUNDS
|
|
7. SECURITIES LENDING (continued) |
The Funds invest the cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund (“Government Money Market Fund”), an affiliated series of the Goldman Sachs Trust. The Government Money Market Fund is registered under the Act as an open end investment company, is subject to Rule 2a-7 under the Act, and is managed by GSAM, for which GSAM may receive a management fee of up to 0.16% on an annualized basis of the average daily net assets of the Government Money Market Fund.
In the event of a default by a borrower with respect to any loan, 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 BNYM is unable to purchase replacement securities, 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 August 31, 2024, are disclosed as “Payable upon return of securities loaned” on the Statement and Consolidated Statements of Assets and Liabilities, where applicable.
Both the Funds and BNYM received compensation relating to the lending of the Funds’ securities. The amounts earned, if any, by the Funds for the fiscal year ended August 31, 2024, are reported under Investment Income on the Statement and Consolidated Statements of Operations.
The following table provides information about the Funds’ investment in the Government Money Market Fund for the fiscal year ended August 31, 2024.
| | | | | | | | | | | | | | | | |
| | | | |
| Fund | | Beginning
Value as of
August 31, 2023 | | | Purchases at cost | | | Proceeds from Sales | | | Ending Value as of
August 31, 2024 | |
|
| |
| | | | |
Global Managed Beta Fund | | | $ 12,600 | | | | $264,665,049 | | | | $(264,677,649 | ) | | | $ — | |
|
| |
| | | | |
Tactical Tilt Overlay Fund | | | 4,647,500 | | | | 398,220,497 | | | | (369,885,052 | ) | | | 32,982,945 | |
|
| |
The tax character of distributions paid during the fiscal year ended August 31, 2024 was as follows:
| | | | | | | | | | | | | | | | |
| | | | |
| | | Global Managed
Beta Fund | | | Strategic Factor
Allocation Fund | | | Strategic Volatility
Premium Fund | | | Tactical Tilt
Overlay Fund | |
|
| |
| | | | |
Distributions paid from: | | | | | | | | | | | | | | | | |
| | | | |
Ordinary income | | | $54,313,580 | | | | $72,607,576 | | | | $18,418,927 | | | | $248,537,198 | |
|
| |
The tax character of distributions paid during the fiscal year ended August 31, 2023 was as follows:
| | | | | | | | | | | | | | | | |
| | | | |
| | | Global Managed
Beta Fund | | | Strategic Factor
Allocation Fund | | | Strategic Volatility
Premium Fund | | | Tactical Tilt
Overlay Fund | |
|
| |
| | | | |
Distributions paid from: | | | | | | | | | | | | | | | | |
| | | | |
Ordinary income | | | $99,998,153 | | | | $40,191,732 | | | | $3,705,003 | | | | $40,082,319 | |
|
| |
GOLDMAN SACHS ALLOCATION FUNDS
|
Notes to Financial Statements (continued) August 31, 2024 |
|
|
8. TAX INFORMATION (continued) |
As of August 31, 2024, the components of accumulated earnings (losses) on a tax basis were as follows:
| | | | | | | | | | | | | | | | |
| | | | |
| | | Global Managed
Beta Fund | | | Strategic Factor
Allocation Fund | | | Strategic Volatility
Premium Fund | | | Tactical Tilt
Overlay Fund | |
|
| |
| | | | |
Undistributed ordinary income — net | | | $ 197,666,040 | | | | $129,848,638 | | | | $ 13,420,918 | | | | $ 182,520,599 | |
| | | | |
Undistributed long-term capital gains | | | 162,162,410 | | | | 94,887,954 | | | | — | | | | — | |
|
| |
| | | | |
Total Undistributed Earnings | | | $ 359,828,450 | | | | $224,736,592 | | | | $ 13,420,918 | | | | $ 182,520,599 | |
|
| |
| | | | |
Capital loss carryforwards(1): | | | | | | | | | | | | | | | | |
| | | | |
Perpetual Short-Term | | | — | | | | — | | | | (7,406,945 | ) | | | (126,168,576 | ) |
| | | | |
Perpetual Long-Term | | | — | | | | — | | | | (11,117,174 | ) | | | — | |
|
| |
| | | | |
Total capital loss carryforwards | | | — | | | | — | | | | (18,524,119 | ) | | | (126,168,576 | ) |
|
| |
| | | | |
Timing differences(Late Year Ordinary Loss Deferral and Straddle Loss Deferral) | | | $ (42,861,044 | ) | | | $ (11,840,272 | ) | | | $ — | | | | $ (7,524,524 | ) |
| | | | |
Unrealized gains (loss) — net | | | 693,497,523 | | | | 350,541 | | | | 171,618 | | | | 37,696,175 | |
|
| |
| | | | |
Total accumulated earnings (loss) net | | | $1,010,464,929 | | | | $213,246,861 | | | | $ (4,931,583 | ) | | | $ 86,523,674 | |
|
| |
| | (1) | The Global Managed Beta, Strategic Factor Allocation, Strategic Volatility Premium, and Tactical Tilt Overlay Funds utilized $21,398,737, $109,386,246, $11,552,378, and $53,120,801 of capital losses in the current fiscal year. |
As of August 31, 2024, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
| | | | | | | | | | | | | | | | |
| | | | |
| | | Global Managed
Beta Fund | | | Strategic Factor
Allocation Fund | | | Strategic Volatility
Premium Fund | | | Tactical Tilt
Overlay Fund | |
|
| |
| | | | |
Tax Cost | | | $3,472,149,977 | | | | $2,284,122,970 | | | | $425,975,743 | | | | $4,619,889,403 | |
|
| |
| | | | |
Gross unrealized gain | | | 699,575,908 | | | | 1,095,386 | | | | 171,618 | | | | 249,181,211 | |
| | | | |
Gross unrealized loss | | | (6,078,385 | ) | | | (744,845 | ) | | | — | | | | (211,485,036 | ) |
|
| |
| | | | |
Net unrealized gain | | | $ 693,497,523 | | | | $ 350,541 | | | | $ 171,618 | | | | $ 37,696,175 | |
|
| |
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, net mark to market gains/(losses) on regulated options contracts, net mark to market gains/(losses) on foreign currency contracts, partnership investments, differences in the tax treatment of passive foreign investment company investments and swap transactions.
The Strategic Factor Allocation and Strategic Volatility Premium Funds reclassed $2,600 and $2,597, respectively, from paid in capital to distributable earnings for the year ending August 31, 2024. In order to present certain components of the Funds’ capital accounts on a tax-basis, certain reclassifications have been recorded to the Funds’ accounts. These reclassifications have no impact on the net asset value of the Funds and result primarily from differences in the tax treatment of underlying fund investments.
The Tactical Tilt Overlay Fund reclassed $92,308 from distributable earnings to paid in capital for the year ending August 31, 2024. In order to present certain components of the Fund’s capital accounts on a tax-basis, certain reclassifications have been recorded to the Fund’s accounts. These reclassifications have no impact on the net asset value of the Fund and result primarily from differences in the tax treatment of underlying fund investments.
GSAM has reviewed each 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 each Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
GOLDMAN SACHS ALLOCATION FUNDS
The Funds’ risks include, but are not limited to, the following:
Asset Allocation Risk — The Fund’s allocations to the various asset classes may cause the Funds to underperform other funds with a similar investment objective.
Credit/Default Risk — An issuer or guarantor of a security held by the Fund, or a bank or other financial institution that has entered into a repurchase agreement with the Fund, may default on its obligation to pay interest and repay principal or default on any other obligation. Additionally, the credit quality of securities may deteriorate rapidly, which may impair a Fund’s liquidity and cause significant deterioration in NAV.
Derivatives Risk — The Funds’ use of derivatives and other similar instruments (collectively, referred to in this paragraph as “derivatives”) may result in loss, including due to adverse market movements. Derivatives, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other assets and instruments, may increase market exposure and be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying assets or instruments may produce disproportionate losses to a Fund. Certain derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not, or lacks the capacity or authority to, fulfill its contractual obligations, liquidity risk, which includes the risk that the Funds will not be able to exit the derivative when it is advantageous to do so, and risks arising from margin requirements, which include the risk that the Funds will be required to pay additional margin or set aside additional collateral to maintain open derivative positions. 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.
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.
Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by a Fund will generally decline in value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. 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. Changing interest rates may have unpredictable effects on the markets, may result in heightened market volatility and may detract from Fund performance. In addition, changes in monetary policy may exacerbate the risks associated with changing interest rates. Funds with longer average portfolio durations will generally be more sensitive to changes in interest rates than funds with a shorter average portfolio duration. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Funds. A sudden or unpredictable increase in interest rates may cause volatility in the market and may decrease the liquidity of a Fund’s investments, which would make it harder for the Fund to sell its investments at an advantageous time.
Investments in ETFs Risk — The Fund may invest directly in ETFs, including affiliated ETFs. The Fund’s investments in ETFs will be subject to the restrictions applicable to investments by an investment company in other investment companies, unless relief is otherwise provided under the terms of an SEC exemptive order or SEC exemptive rule.
Investments in the Underlying Funds Risk — The investments of a 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 Funds investment performance is directly related to the investment performance of the Underlying Funds it holds. The Funds 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 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.
GOLDMAN SACHS ALLOCATION FUNDS
|
Notes to Financial Statements (continued) August 31, 2024 |
|
|
9. OTHER RISKS (continued) |
Large Shareholder Transactions Risk — A Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include a Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Fund. Such large shareholder redemptions, 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 a Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the extent that the Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.
Leverage Risk — Leverage creates exposure to potential gains and losses in excess of the initial amount invested. Borrowing and the use of derivatives may result in leverage and may make a Fund more volatile. When a Fund uses leverage, the sum of that Fund’s investment exposure may significantly exceed the amount of assets invested in the Fund, although these exposures may vary over time. Relatively small market movements may result in large changes in the value of a leveraged investment. The use of leverage may cause a Fund to liquidate portfolio positions to satisfy its obligations when it may not be advantageous to do so. The use of leverage by a Fund can substantially increase the adverse impact to which the Fund’s investment portfolio may be subject.
Liquidity Risk — A Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Fund will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, declining prices of the securities sold, 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 a Fund’s NAV and dilute remaining investors’ interests. Redemptions by large shareholders may have a negative impact on a Fund’s liquidity.
Management Risk — A strategy used by the Investment Adviser may fail to produce the intended results.
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, military conflict, acts of terrorism, social unrest, natural disasters, recessions, inflation, rapid interest rate changes, supply chain disruptions, sanctions, 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 a Fund has unsettled or open transactions defaults.
Option Writing Risk — Writing (selling) options may limit the opportunity to profit from an increase or decrease in the market value of a reference security in exchange for up-front cash (the premium) at the time of selling the option. In a sharp rising or falling market, the Fund could significantly underperform the market or other portfolios without an option writing strategy. The Fund could also experience a sudden, significant permanent loss due to dramatic movements in the market value of reference security, which may far exceed the premiums received for writing the option. Such significant losses could cause significant deteriorations in the Fund’s NAV. Furthermore, the premium received from the Fund’s option writing strategies may not fully protect it against market movements because the Fund will continue to bear the risk of movements in the value of its portfolio investments.
Tax Risk — The Strategic Factor Allocation, Strategic Volatility Premium and Tactical Tilt Overlay 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
GOLDMAN SACHS ALLOCATION FUNDS
|
|
9. OTHER RISKS (continued) |
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 Tactical Tilt Overlay Fund has not received a PLR, and is not able to rely on PLRs issued to other taxpayers. Treasury regulations generally treat the Tactical Tilt Overlay Fund’s income inclusion with respect to a subsidiary as qualifying income either if (A) there is a current-year distribution out of the earnings and profits of the subsidiary that are attributable to such income inclusion or (B) such inclusion is derived with respect to the Tactical Tilt Overlay 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 Tactical Tilt Overlay Fund has limited its investments in commodity index-linked structured notes. The Tactical Tilt Overlay Fund has obtained an opinion of counsel that the Fund’s income from investments in the Subsidiary should constitute “qualifying income.” However, no assurances can be provided that the IRS would not be able to successfully assert that the Tactical Tilt Overlay Fund’s income from such investments was not “qualifying income,” in which case the Tactical Tilt Overlay 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 Tactical Tilt Overlay 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 deduction for any distributions paid to shareholders, which would significantly adversely affect the returns to, and could cause substantial losses for, Tactical Tilt Overlay Fund shareholders.
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
Subsequent events have been evaluated through the date of issuance, 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 Managed Beta Fund | |
| | |
| | | For the Fiscal Year Ended August 31, 2024 | | | For the Fiscal Year Ended August 31, 2023 | |
| |
| | | | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| |
| | | | |
| | | | |
Institutional Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 133,623,792 | | | $ | 1,924,804,556 | | | | 78,875,852 | | | $ | 1,025,111,264 | |
| | | | |
Reinvestment of distributions | | | 3,816,836 | | | | 54,313,580 | | | | 8,323,215 | | | | 99,961,817 | |
| | | | |
Shares redeemed | | | (61,823,377 | ) | | | (890,367,936 | ) | | | (30,131,088 | ) | | | (393,640,885 | ) |
|
| |
| | | | |
NET INCREASE | | | 75,617,251 | | | | 1,088,750,200 | | | | 57,067,979 | | | | 731,432,196 | |
|
| |
GOLDMAN SACHS ALLOCATION FUNDS
|
Notes to Financial Statements (continued) August 31, 2024 |
|
|
12. SUMMARY OF SHARE TRANSACTIONS (continued) |
| | | | | | | | | | | | | | | | |
| | | Strategic Factor Allocation Fund | |
| | |
| | | For the Fiscal Year Ended August 31, 2024 | | | For the Fiscal Year Ended August 31, 2023 | |
| |
| | | | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| |
| | | | |
| | | | |
Institutional Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 91,334 | | | $ | 1,073,736 | | | | 321,256 | | | $ | 3,353,859 | |
| | | | |
Reinvestment of distributions | | | 44,048 | | | | 489,814 | | | | 27,194 | | | | 275,278 | |
| | | | |
Shares redeemed | | | (318,582 | ) | | | (3,639,227 | ) | | | (196,484 | ) | | | (2,032,399 | ) |
|
| |
| | | | |
| | | (183,200 | ) | | | (2,075,677 | ) | | | 151,966 | | | | 1,596,738 | |
|
| |
| | | | |
Class R6 Shares(a) | | | | | | | | | | | | | | | | |
| | | | |
Reinvestment of distributions | | | — | | | | — | | | | 25 | | | | 249 | |
| | | | |
Shares redeemed | | | — | | | | — | | | | (1,244 | ) | | | (13,478 | ) |
|
| |
| | | | |
| | | — | | | | — | | | | (1,219 | ) | | | (13,229 | ) |
|
| |
| | | | |
Class P Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 23,428,587 | | | | 267,164,554 | | | | 77,593,313 | | | | 795,595,888 | |
| | | | |
Reinvestment of distributions | | | 6,568,102 | | | | 72,117,761 | | | | 3,995,736 | | | | 39,916,205 | |
| | | | |
Shares redeemed | | | (41,442,327 | ) | | | (466,786,141 | ) | | | (78,264,954 | ) | | | (798,426,744 | ) |
|
| |
| | | | |
| | | (11,445,638 | ) | | | (127,503,826 | ) | | | 3,324,095 | | | | 37,085,349 | |
|
| |
| | | | |
NET INCREASE (DECREASE) | | | (11,628,838 | ) | | $ | (129,579,503 | ) | | | 3,474,842 | | | $ | 38,668,858 | |
|
| |
| | (a) | At the close of business on July 14, 2023, Class R6 Shares of the Strategic Factor Allocation Fund were liquidated. |
| | | | | | | | | | | | | | | | |
| | | Strategic Volatility Premium Fund | |
| | |
| | | For the Fiscal Year Ended August 31, 2024 | | | For the Fiscal Year Ended August 31, 2023 | |
| |
| | | | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| |
| | | | |
| | | | |
Institutional Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 9,994 | | | $ | 96,386 | | | | 13,266 | | | $ | 127,237 | |
| | | | |
Reinvestment of distributions | | | 1,170 | | | | 11,216 | | | | 245 | | | | 2,343 | |
| | | | |
Shares redeemed | | | (12,251 | ) | | | (118,481 | ) | | | (11,483 | ) | | | (110,191 | ) |
|
| |
| | | | |
| | | (1,087 | ) | | | (10,879 | ) | | | 2,028 | | | | 19,389 | |
|
| |
| | | | |
Class P Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 7,011,705 | | | | 68,171,907 | | | | 20,118,341 | | | | 193,655,213 | |
| | | | |
Reinvestment of distributions | | | 1,919,469 | | | | 18,407,711 | | | | 386,903 | | | | 3,702,660 | |
| | | | |
Shares redeemed | | | (10,290,175 | ) | | | (99,607,205 | ) | | | (27,792,106 | ) | | | (267,078,922 | ) |
|
| |
| | | | |
| | | (1,359,001 | ) | | | (13,027,587 | ) | | | (7,286,862 | ) | | | (69,721,049 | ) |
|
| |
| | | | |
NET DECREASE | | | (1,360,088 | ) | | $ | (13,038,466 | ) | | | (7,284,834 | ) | | $ | (69,701,660 | ) |
|
| |
GOLDMAN SACHS ALLOCATION FUNDS
|
|
12. SUMMARY OF SHARE TRANSACTIONS (continued) |
| | | | | | | | | | | | | | | | |
| | | Tactical Tilt Overlay Fund | |
| | |
| | | For the Fiscal Year Ended August 31, 2024 | | | For the Fiscal Year Ended August 31, 2023 | |
| |
| | | | |
| | | | |
| | | Shares | | | Dollars | | | Shares | | | Dollars | |
| |
| | | | |
| | | | |
Institutional Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 260,454 | | | $ | 2,795,027 | | | | 1,135,526 | | | $ | 12,100,469 | |
| | | | |
Reinvestment of distributions | | | 116,399 | | | | 1,239,650 | | | | 17,716 | | | | 188,140 | |
| | | | |
Shares redeemed | | | (1,410,497 | ) | | | (15,165,659 | ) | | | (733,042 | ) | | | (7,837,585 | ) |
|
| |
| | | | |
| | | (1,033,644 | ) | | | (11,130,982 | ) | | | 420,200 | | | | 4,451,024 | |
|
| |
| | | | |
Class R6 Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 10,845,859 | | | | 113,098,000 | | | | 10,251,194 | | | | 106,266,000 | |
| | | | |
Reinvestment of distributions | | | 2,957,734 | | | | 30,435,080 | | | | 457,566 | | | | 4,703,786 | |
| | | | |
Shares redeemed | | | (10,960,203 | ) | | | (113,669,188 | ) | | | (11,347,385 | ) | | | (116,175,121 | ) |
|
| |
| | | | |
| | | 2,843,390 | | | | 29,863,892 | | | | (638,625 | ) | | | (5,205,335 | ) |
|
| |
| | | | |
Class P Shares | | | | | | | | | | | | | | | | |
| | | | |
Shares sold | | | 57,458,286 | | | | 595,956,030 | | | | 64,343,749 | | | | 664,723,341 | |
| | | | |
Reinvestment of distributions | | | 21,075,070 | | | | 216,862,467 | | | | 3,422,970 | | | | 35,188,129 | |
| | | | |
Shares redeemed | | | (84,583,238 | ) | | | (877,561,129 | ) | | | (66,277,795 | ) | | | (683,437,254 | ) |
|
| |
| | | | |
| | | (6,049,882 | ) | | | (64,742,632 | ) | | | 1,488,924 | | | | 16,474,216 | |
|
| |
| | | | |
NET INCREASE (DECREASE) | | | (4,240,136 | ) | | $ | (46,009,722 | ) | | | 1,270,499 | | | $ | 15,719,905 | |
|
| |
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Goldman Sachs Trust and Shareholders of Goldman Sachs Global Managed Beta Fund, Goldman Sachs Strategic Factor Allocation Fund, Goldman Sachs Strategic Volatility Premium Fund, and Goldman Sachs Tactical Tilt Overlay Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of each of the funds listed in the table below (four of the Funds constituting Goldman Sachs Trust, hereafter collectively referred to as the “Funds”) as of August 31, 2024, the related statements of operations and the statements of changes in net assets for each of the periods indicated in the table below, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of August 31, 2024, the results of each of their operations for the year then ended and the changes in each of their net assets for the periods indicated in the table below, and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
| | |
| Goldman Sachs Global Managed Beta Fund | | Statement of assets and liabilities, including the schedule of investments as of August 31, 2024, the related statement of operations for the year ended August 31, 2024, the statements of changes in net assets for each of the two years in the period ended August 31, 2024, and the financial highlights for each of the five years in the period ended August 31, 2024. |
| | |
| Goldman Sachs Strategic Factor Allocation Fund and its subsidiary, Goldman Sachs Strategic Volatility Premium Fund and its subsidiary, and Goldman Sachs Tactical Tilt Overlay Fund and its subsidiary | | Consolidated statement of assets and liabilities, including the consolidated schedule of investments as of August 31, 2024, the related consolidated statement of operations for the year ended August 31, 2024, the consolidated statements of changes in net assets for each of the two years in the period ended August 31, 2024, and the consolidated financial highlights for each of the periods indicated therein. |
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of August 31, 2024 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
/s/ PricewaterhouseCoopers LLP
Boston, Massachusetts
October 25, 2024
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
GOLDMAN SACHS ALLOCATION FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
The Goldman Sachs Global Managed Beta Fund, Goldman Sachs Strategic Factor Allocation Fund, Goldman Sachs Strategic Volatility Premium Fund, and Goldman Sachs Tactical Tilt Overlay 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, 2025 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 11-12, 2024 (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 and the underlying funds in which the Tactical Tilt Overlay Fund 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; |
| | (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; |
GOLDMAN SACHS ALLOCATION 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 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, 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/or the Underlying 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, as applicable; |
| | (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 Funds’ distribution arrangements. They received information regarding the Funds’ assets, share purchase and redemption activity. 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 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 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, the Underlying Funds, and their service providers operate, including developments associated with geopolitical events and economic sanctions, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. They also 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. The Trustees also considered information regarding the Investment Adviser’s efforts relating to business continuity planning. 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, the Underlying Funds, and the Investment Adviser and its affiliates.
GOLDMAN SACHS ALLOCATION FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Investment Performance
The Trustees also considered the investment performance of the Funds and the Underlying 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, 2023, and (in the case of the Strategic Volatility Premium Fund) updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2024. The information on each Fund’s investment performance was provided for the one-, three-, and five-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’ and the Underlying Funds’ risk profiles, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management. For the Strategic Factor Allocation Fund and Strategic Volatility Premium 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 Tactical Tilt Overlay Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the three-year period, in the third quartile for the five-year period, and in the fourth quartile for the one-year period ended December 31, 2023, 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, 2024. They also considered that the Tactical Tilt Overlay Fund had experienced a benchmark index change in 2021. They noted that the Global Managed Beta Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the one- and five-year periods, and in the fourth quartile for the three-year period ended December 31, 2023, and had outperformed the Fund’s benchmark index for the five-year period and underperformed for the one- and three-year periods ended March 31, 2024. The Trustees considered that the Strategic Factor Allocation Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the one-, three-, and five-year periods ended December 31, 2023, and had outperformed the Fund’s benchmark index for the one-, three-, and five-year periods ended March 31, 2024. They noted that the Strategic Factor Allocation Fund had experienced certain portfolio management changes in 2022 and early 2024. The Trustees observed that the Strategic Volatility Premium Fund’s Institutional Shares had placed in the fourth quartile of the Fund’s peer group and had outperformed the Fund’s benchmark index for the one- and three-year periods ended March 31, 2024. They noted that the Strategic Volatility Premium Fund had experienced certain portfolio management changes in 2022 and early 2024.
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 (in the case of the Strategic Factor Allocation Fund, Strategic Volatility Premium Fund, and Tactical Tilt Overlay Fund) 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 Funds and the Underlying Funds. With respect to the Strategic Factor Allocation Fund, Strategic Volatility Premium Fund, and Tactical Tilt Overlay 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 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 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
GOLDMAN SACHS ALLOCATION FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
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 2023 and 2022, 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. For the Strategic Factor Allocation Fund, Strategic Volatility Premium Fund and Tactical Tilt Overlay Fund, the Trustees also considered the breakpoints in the fee rate payable under the Management Agreement at the following annual percentage rates of the average daily net assets of each Fund:
| | | | | | | | | | | | | | | |
| | | Strategic Factor | | Strategic Volatility | | Tactical Tilt |
Average Daily Net Assets | | Allocation Fund | | Premium Fund | | Overlay Fund |
| | | |
First $2 billion | | | | 0.75 | % | | | | 0.50 | % | | | | 0.75 | % |
| | | |
Next $3 billion | | | | 0.68 | | | | | 0.45 | | | | | 0.68 | |
| | | |
Next $3 billion | | | | 0.64 | | | | | 0.43 | | | | | 0.64 | |
| | | |
Over $8 billion | | | | 0.62 | | | | | 0.42 | | | | | 0.62 | |
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 waive a portion of its management fee for the Strategic Volatility Premium Fund and 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 for the Strategic Factor Allocation Fund, Strategic Volatility Premium Fund, and Tactical Tilt Overlay Fund 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 Tactical Tilt Overlay Fund, which had asset levels above at least the first breakpoint during the prior fiscal year. The Trustees also considered the services provided to the Tactical Tilt Overlay 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.
With respect to Global Managed Beta Fund, the Trustees noted that the Fund does not have management fee breakpoints. They considered the asset levels 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 their realized profits; information comparing the contractual fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer group; and the Investment Adviser’s undertaking to limit certain expenses of the Fund that exceed a specified level.
GOLDMAN SACHS ALLOCATION FUNDS
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
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 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 Funds and certain Underlying Funds; (c) in the case of the Global Managed Beta Fund and Tactical Tilt Overlay Fund, research received by the Investment Adviser from broker-dealers in exchange for executing certain transactions on behalf of the Funds and certain Underlying Funds; (d) trading efficiencies resulting from aggregation of orders of the Funds or Underlying Funds with those for other funds or accounts managed by the Investment Adviser; (e) in the case of the Tactical Tilt Overlay Fund and Global Managed Beta Fund, fees earned by the Investment Adviser for managing the fund in which each Fund’s and certain Underlying Funds’ securities lending cash collateral is invested; (f) the Investment Adviser’s ability to leverage the infrastructure designed to service the Funds on behalf of its other clients; (g) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (h) Goldman Sachs’ retention of certain fees as Fund Distributor; (i) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Funds and the 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 Funds’ and the 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 Funds and Their Shareholders
The Trustees also noted that the Funds and/or the Underlying Funds (as applicable) 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 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) the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties on behalf of the Funds and the Underlying 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 and the Underlying Funds because of the reputation of the Goldman Sachs organization; (g) the Funds’ and the Underlying Funds’ 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 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, 2025.
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| Goldman Sachs Trust – Allocation Funds - Tax Information (Unaudited) |
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For the year ended August 31, 2024, 8.28% and 1.51% of the dividends paid from net investment company taxable income by the Global Managed Beta and Tactical Tilt Overlay Funds qualify for the dividends received deduction available to corporations. |
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From distributions paid during the fiscal year ended August 31, 2024, the total amount of income received by the Global Managed Beta Fund from sources within foreign countries and possessions of the United States was $0.1259 per share, all of which is attributable to qualified passive income. The percentage of net investment income dividends paid from foreign sources by the Global Managed Beta Fund was 45.94%. The total amount of taxes paid by the Global Managed Beta Fund to such countries was $0.0115. |
| |
For the year ended August 31, 2024, the Global Managed Beta and Tactical Tilt Overlay Funds designate 72.53% and 0.64%, respectively, of the dividends paid from net investment company taxable income as qualifying for the reduced tax rate under the Jobs and Growth Tax Relief and Reconciliation Act of 2003. |
| |
For the year ended August 31, 2024, 0.14% of the dividends paid from net investment company taxable income by the Global Managed Beta Fund qualify as section 199A dividends. |
| |
For the fiscal year ended August 31, 2024, the Global Managed Beta, Strategic Factor Allocation, Strategic Volatility Premium, and Tactical Tilt Overlay Funds designate 17.06%, 100.00%, 100.00%, and 75.28%, respectively, of the dividends paid from net investment company taxable income as section 163(j) Interest Dividends. |
TRUSTEES OFFICERS Gregory G. Weaver, Chair James A. McNamara, President Cheryl K. Beebe Joseph F. DiMaria, Principal Financial Officer, Principal Dwight L. Bush Accounting Officer and Treasurer Kathryn A. Cassidy Robert Griffith, Secretary John G. Chou Joaquin Delgado Eileen H. Dowling Lawrence Hughes John F. Killian Steven D. Krichmar Michael Latham James A. McNamara Lawrence W. Stranghoener PaulC.Wirth GOLDMAN SACHS & CO. LLC Distributor and Transfer Agent GOLDMAN SACHS ASSET MANAGEMENT, L.P. Investment Adviser 200 West Street, New York, New York 10282 © 2024 Goldman Sachs. All rights reserved. ALLOCATEAR-24
| ITEM 8. | CHANGES IN AND DISAGREEMENTS WITH ACCOUNTANTS FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
| ITEM 9. | PROXY DISCLOSURES FOR OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
| ITEM 10. | REMUNERATION PAID TO DIRECTORS, OFFICERS, AND OTHERS OF OPEN-END MANAGEMENT INVESTMENT COMPANIES. |
The aggregate remuneration paid to the Funds’ trustees, officers and others, if any, is included in Item 7 of this report.
| ITEM 11. | STATEMENT REGARDING BASIS FOR APPROVAL OF INVESTMENT ADVISORY CONTRACT. |
The Funds’ statement regarding the basis for approval of their investment advisory contract is included in Item 7 of this report.
| ITEM 12. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
| ITEM 13. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
| ITEM 14. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS. |
Not applicable.
| ITEM 15. | 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 16. | 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 17. | DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
| ITEM 18. | RECOVERY OF ERRONEOUSLY AWARDED COMPENSATION. |
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: | | | | November 5, 2024 |
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: | | | | November 5, 2024 |
| | |
| By: | | | | /s/ Joseph F. DiMaria |
| | |
| | | | Joseph F. DiMaria |
| | | | Principal Financial Officer |
| | | | Goldman Sachs Trust |
| | |
| Date: | | | | November 5, 2024 |
