GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments
March 31, 2024 (Unaudited)
Shares | Description | Value | ||||
Common Stocks – 28.5% | ||||||
Aerospace & Defense – 0.5% | ||||||
472 | Dassault Aviation SA | $ 103,920 | ||||
25,495 | General Dynamics Corp. | 7,202,082 | ||||
7,882 | Hexcel Corp. | 574,204 | ||||
5,046 | Huntington Ingalls Industries, Inc. | 1,470,758 | ||||
10,769 | L3Harris Technologies, Inc. | 2,294,874 | ||||
25,704 | Leonardo SpA | 645,778 | ||||
1,123 | Rheinmetall AG | 631,599 | ||||
64,764 | RTX Corp. | 6,316,433 | ||||
8,070 | Textron, Inc. | 774,155 | ||||
2,230 | TransDigm Group, Inc. | 2,746,468 | ||||
| ||||||
22,760,271 | ||||||
|
| |||||
Air Freight & Logistics – 0.2% | ||||||
29,510 | CH Robinson Worldwide, Inc. | 2,246,892 | ||||
93,073 | Deutsche Post AG | 4,011,203 | ||||
8,172 | Expeditors International of Washington, Inc. | 993,470 | ||||
7,135 | FedEx Corp. | 2,067,295 | ||||
31,116 | International Distributions Services PLC* | 90,053 | ||||
1,800 | NIPPON EXPRESS HOLDINGS, Inc. | 91,881 | ||||
1,500 | SG Holdings Co. Ltd. | 18,996 | ||||
3,802 | Yamato Holdings Co. Ltd. | 54,720 | ||||
| ||||||
9,574,510 | ||||||
|
| |||||
Automobile Components – 0.1% | ||||||
3,400 | Aisin Corp. | 138,933 | ||||
8,585 | Aptiv PLC* | 683,795 | ||||
16,437 | BorgWarner, Inc. | 571,021 | ||||
2,200 | Bridgestone Corp. | 97,503 | ||||
6,561 | Continental AG | 473,605 | ||||
4,200 | JTEKT Corp. | 39,724 | ||||
4,100 | Koito Manufacturing Co. Ltd. | 55,267 | ||||
4,200 | NHK Spring Co. Ltd. | 41,730 | ||||
500 | Nifco, Inc. | 12,581 | ||||
1,200 | Niterra Co. Ltd. | 39,840 | ||||
8,100 | Sumitomo Electric Industries Ltd. | 125,512 | ||||
4,600 | Sumitomo Rubber Industries Ltd. | 56,708 | ||||
5,200 | Toyo Tire Corp. | 98,262 | ||||
2,400 | Toyoda Gosei Co. Ltd. | 52,934 | ||||
4,100 | Toyota Boshoku Corp. | 69,867 | ||||
2,200 | Yokohama Rubber Co. Ltd. | 59,340 | ||||
| ||||||
2,616,622 | ||||||
|
| |||||
Automobiles – 0.2% | ||||||
11,513 | Bayerische Motoren Werke AG | 1,328,356 | ||||
84,138 | Ford Motor Co. | 1,117,353 | ||||
12,700 | Mazda Motor Corp. | 147,188 | ||||
27,751 | Mercedes-Benz Group AG | 2,210,004 | ||||
32,600 | Mitsubishi Motors Corp. | 107,200 | ||||
87,088 | Stellantis NV | 2,474,085 | ||||
10,400 | Subaru Corp. | 235,537 | ||||
| ||||||
7,619,723 | ||||||
|
|
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Banks – 1.2% | ||||||
171,900 | Banca Monte dei Paschi di Siena SpA* | $ 779,618 | ||||
317,223 | Banco de Sabadell SA | 499,048 | ||||
401,191 | Banco Santander SA | 1,959,589 | ||||
288,642 | Bank of America Corp. | 10,945,305 | ||||
270 | Bank of Georgia Group PLC | 17,209 | ||||
20,988 | Bankinter SA | 153,779 | ||||
996 | BAWAG Group AG(a) | 63,038 | ||||
233,760 | BPER Banca | 1,105,309 | ||||
29,130 | Citigroup, Inc. | 1,842,181 | ||||
17,736 | Citizens Financial Group, Inc. | 643,639 | ||||
12,731 | Comerica, Inc. | 700,078 | ||||
94,800 | Credit Agricole SA | 1,414,219 | ||||
27,188 | Fifth Third Bancorp | 1,011,665 | ||||
18,816 | FinecoBank Banca Fineco SpA | 281,803 | ||||
74,386 | HSBC Holdings PLC | 581,462 | ||||
45,541 | Huntington Bancshares, Inc. | 635,297 | ||||
76,416 | JPMorgan Chase & Co. | 15,306,125 | ||||
4,103 | KBC Group NV | 307,611 | ||||
34,818 | KeyCorp | 550,473 | ||||
4,794 | M&T Bank Corp. | 697,239 | ||||
143,200 | Mitsubishi UFJ Financial Group, Inc. | 1,456,930 | ||||
28,443 | Mizuho Financial Group, Inc. | 562,469 | ||||
173,714 | Nordea Bank Abp | 1,963,782 | ||||
14,797 | PNC Financial Services Group, Inc. | 2,391,195 | ||||
4,899 | Raiffeisen Bank International AG | 97,509 | ||||
44,860 | Regions Financial Corp. | 943,854 | ||||
6,200 | Seven Bank Ltd. | 12,024 | ||||
15,000 | Sumitomo Mitsui Financial Group, Inc. | 877,091 | ||||
21,500 | Sumitomo Mitsui Trust Holdings, Inc. | 463,252 | ||||
280 | TBC Bank Group PLC | 11,362 | ||||
44,675 | Wells Fargo & Co. | 2,589,363 | ||||
14,955 | Zions Bancorp NA | 649,047 | ||||
| ||||||
51,512,565 | ||||||
|
| |||||
Beverages – 0.5% | ||||||
16,136 | Anheuser-Busch InBev SA | 982,263 | ||||
6,198 | Asahi Group Holdings Ltd. | 227,590 | ||||
2,730 | Britvic PLC | 28,275 | ||||
4,993 | C&C Group PLC | 10,323 | ||||
2,900 | Coca-Cola Bottlers Japan Holdings, Inc. | 42,772 | ||||
124,413 | Coca-Cola Co. | 7,611,587 | ||||
18,434 | Coca-Cola HBC AG | 582,519 | ||||
1,897 | Heineken Holding NV | 153,095 | ||||
3,642 | Heineken NV | 351,116 | ||||
|
|
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Beverages – (continued) | ||||||
1,400 | Ito En Ltd. | $ 34,243 | ||||
75,875 | Keurig Dr Pepper, Inc. | 2,327,086 | ||||
10,749 | Molson Coors Beverage Co. Class B | 722,870 | ||||
7,332 | Monster Beverage Corp.* | 434,641 | ||||
44,393 | PepsiCo, Inc. | 7,769,219 | ||||
2,900 | Pernod Ricard SA | 469,464 | ||||
600 | Sapporo Holdings Ltd. | 23,929 | ||||
| ||||||
21,770,992 | ||||||
|
| |||||
Biotechnology – 0.3% | ||||||
19,822 | AbbVie, Inc. | 3,609,586 | ||||
5,580 | Biogen, Inc.* | 1,203,216 | ||||
1,380 | Genus PLC | 30,696 | ||||
20,912 | Gilead Sciences, Inc. | 1,531,804 | ||||
9,973 | Incyte Corp.* | 568,162 | ||||
4,454 | Moderna, Inc.* | 474,618 | ||||
1,676 | Regeneron Pharmaceuticals, Inc.* | 1,613,133 | ||||
5,482 | Vertex Pharmaceuticals, Inc.* | 2,291,531 | ||||
| ||||||
11,322,746 | ||||||
|
| |||||
Broadline Retail – 0.8% | ||||||
190,687 | Amazon.com, Inc.* | 34,396,121 | ||||
19,585 | B&M European Value Retail SA | 135,016 | ||||
22,203 | eBay, Inc. | 1,171,874 | ||||
4,518 | J Front Retailing Co. Ltd. | 50,189 | ||||
5,948 | Next PLC | 693,325 | ||||
2,300 | Pan Pacific International Holdings Corp. | 60,954 | ||||
35,000 | Rakuten Group, Inc.* | 198,664 | ||||
2,300 | Ryohin Keikaku Co. Ltd. | 37,640 | ||||
3,100 | Takashimaya Co. Ltd. | 49,497 | ||||
| ||||||
36,793,280 | ||||||
|
| |||||
Building Products – 0.2% | ||||||
8,811 | A O Smith Corp. | 788,232 | ||||
1,922 | Allegion PLC | 258,913 | ||||
5,987 | Builders FirstSource, Inc.* | 1,248,589 | ||||
68,856 | Carrier Global Corp. | 4,002,599 | ||||
11,213 | Cie de Saint-Gobain SA | 870,282 | ||||
900 | Daikin Industries Ltd. | 122,886 | ||||
2,222 | Genuit Group PLC | 12,343 | ||||
15,115 | Johnson Controls International PLC | 987,312 | ||||
1,898 | Kingspan Group PLC | 172,863 | ||||
11,910 | Masco Corp. | 939,461 | ||||
2,800 | Sanwa Holdings Corp. | 48,957 | ||||
1,200 | TOTO Ltd. | 33,642 | ||||
2,940 | Volution Group PLC | 16,087 | ||||
| ||||||
9,502,166 | ||||||
|
| |||||
Capital Markets – 0.9% | ||||||
30,659 | 3i Group PLC | 1,087,089 | ||||
5,681 | AJ Bell PLC | 21,683 | ||||
|
|
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Capital Markets – (continued) | ||||||
3,294 | Ameriprise Financial, Inc. | $ 1,444,221 | ||||
1,669 | Amundi SA(a) | 114,638 | ||||
25,822 | Azimut Holding SpA | 701,980 | ||||
19,065 | Bank of New York Mellon Corp. | 1,098,525 | ||||
4,369 | BlackRock, Inc. | 3,642,435 | ||||
29,615 | Blackstone, Inc. | 3,890,523 | ||||
2,453 | Bridgepoint Group PLC(a) | 8,028 | ||||
1,522 | Cboe Global Markets, Inc. | 279,637 | ||||
9,585 | Charles Schwab Corp. | 693,379 | ||||
13,927 | CME Group, Inc. | 2,998,344 | ||||
95,584 | Deutsche Bank AG | 1,505,471 | ||||
2,363 | Deutsche Boerse AG | 483,918 | ||||
619 | FactSet Research Systems, Inc. | 281,267 | ||||
23,370 | Franklin Resources, Inc. | 656,931 | ||||
9,276 | Hargreaves Lansdown PLC | 86,091 | ||||
27,743 | IG Group Holdings PLC | 255,976 | ||||
22,354 | Intercontinental Exchange, Inc. | 3,072,110 | ||||
4,949 | Intermediate Capital Group PLC | 128,186 | ||||
25,324 | Invesco Ltd. | 420,125 | ||||
20,408 | Investec PLC | 136,820 | ||||
2,000 | Japan Exchange Group, Inc. | 54,171 | ||||
16,393 | Jupiter Fund Management PLC | 18,321 | ||||
34,712 | Man Group PLC | 117,153 | ||||
1,071 | MarketAxess Holdings, Inc. | 234,817 | ||||
1,316 | Moody’s Corp. | 517,228 | ||||
22,228 | Morgan Stanley | 2,092,989 | ||||
3,800 | MSCI, Inc. | 2,129,710 | ||||
8,773 | Northern Trust Corp. | 780,095 | ||||
15,889 | Quilter PLC(a) | 21,498 | ||||
8,917 | Raymond James Financial, Inc. | 1,145,121 | ||||
11,535 | S&P Global, Inc. | 4,907,566 | ||||
5,400 | SBI Holdings, Inc. | 141,643 | ||||
19,710 | Schroders PLC | 93,639 | ||||
30,158 | St. James’s Place PLC | 176,927 | ||||
11,113 | State Street Corp. | 859,257 | ||||
23,652 | T Rowe Price Group, Inc. | 2,883,652 | ||||
13,996 | TP ICAP Group PLC | 39,786 | ||||
| ||||||
39,220,950 | ||||||
|
| |||||
Chemicals – 0.5% | ||||||
10,401 | Air Products & Chemicals, Inc. | 2,522,623 | ||||
2,531 | Akzo Nobel NV | 189,110 | ||||
2,930 | Arkema SA | 308,470 | ||||
18,100 | Asahi Kasei Corp. | 132,732 | ||||
15,826 | BASF SE | 904,359 | ||||
4,323 | Celanese Corp. | 742,951 | ||||
11,593 | CF Industries Holdings, Inc. | 964,654 | ||||
11,371 | Covestro AG*(a) | 621,993 | ||||
2,847 | Croda International PLC | 176,159 | ||||
21,734 | Dow, Inc. | 1,259,051 | ||||
10,545 | DuPont de Nemours, Inc. | 808,485 | ||||
1,998 | Ecolab, Inc. | 461,338 | ||||
34,087 | Evonik Industries AG | 674,247 | ||||
3,399 | International Flavors & Fragrances, Inc. | 292,280 | ||||
|
|
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Chemicals – (continued) | ||||||
7,041 | Johnson Matthey PLC | $ 159,115 | ||||
12,044 | K&S AG | 187,961 | ||||
4,500 | Kansai Paint Co. Ltd. | 64,454 | ||||
7,100 | Kuraray Co. Ltd. | 76,051 | ||||
8,538 | Lanxess AG | 228,525 | ||||
11,569 | LyondellBasell Industries NV Class A | 1,183,277 | ||||
23,700 | Mitsubishi Chemical Group Corp. | 144,434 | ||||
1,000 | Mitsui Chemicals, Inc. | 29,336 | ||||
27,613 | Mosaic Co. | 896,318 | ||||
3,800 | Nippon Paint Holdings Co. Ltd. | 27,349 | ||||
600 | Nitto Denko Corp. | 54,865 | ||||
22,436 | PPG Industries, Inc. | 3,250,976 | ||||
5,300 | Resonac Holdings Corp. | 123,464 | ||||
13,791 | Sherwin-Williams Co. | 4,790,028 | ||||
400 | Sumitomo Bakelite Co. Ltd. | 12,054 | ||||
15,500 | Sumitomo Chemical Co. Ltd. | 33,584 | ||||
3,234 | Syensqo SA* | 306,439 | ||||
5,800 | Tokai Carbon Co. Ltd. | 38,434 | ||||
17,200 | Toray Industries, Inc. | 82,592 | ||||
6,000 | UBE Corp. | 106,887 | ||||
| ||||||
21,854,595 | ||||||
|
| |||||
Commerical Services & Supplies – 0.1% | ||||||
653 | Cintas Corp. | 448,630 | ||||
2,884 | Elis SA | 65,549 | ||||
27,034 | Mitie Group PLC | 35,827 | ||||
5,400 | Park24 Co. Ltd.* | 63,768 | ||||
12,211 | Republic Services, Inc. | 2,337,674 | ||||
5,637 | Rollins, Inc. | 260,824 | ||||
26,718 | Serco Group PLC | 63,971 | ||||
1,998 | SPIE SA | 75,106 | ||||
3,600 | TOPPAN Holdings, Inc. | 90,241 | ||||
13,178 | Waste Management, Inc. | 2,808,891 | ||||
| ||||||
6,250,481 | ||||||
|
| |||||
Communications Equipment – 0.2% | ||||||
11,387 | Arista Networks, Inc.* | 3,302,002 | ||||
71,227 | Cisco Systems, Inc. | 3,554,939 | ||||
4,027 | F5, Inc.* | 763,479 | ||||
260,000 | Nokia OYJ | 922,505 | ||||
13,530 | Spirent Communications PLC | 34,229 | ||||
| ||||||
8,577,154 | ||||||
|
| |||||
Construction & Engineering – 0.1% | ||||||
496 | Ackermans & van Haaren NV | 86,717 | ||||
17,410 | ACS Actividades de Construccion y Servicios SA | 729,103 | ||||
11,194 | Balfour Beatty PLC | 53,999 | ||||
8,364 | Bouygues SA | 341,459 | ||||
1,800 | COMSYS Holdings Corp. | 42,182 | ||||
3,168 | Eiffage SA | 359,543 | ||||
2,386 | HOCHTIEF AG | 277,260 | ||||
8,100 | JGC Holdings Corp. | 79,420 | ||||
|
|
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Construction & Engineering – (continued) | ||||||
2,200 | Taisei Corp. | $ 80,188 | ||||
28,081 | Vinci SA | 3,603,595 | ||||
| ||||||
5,653,466 | ||||||
|
| |||||
Construction Materials – 0.0% | ||||||
13,317 | Breedon Group PLC | 64,487 | ||||
6,236 | Heidelberg Materials AG | 686,467 | ||||
7,506 | Marshalls PLC | 25,990 | ||||
| ||||||
776,944 | ||||||
|
| |||||
Consumer Finance – 0.2% | ||||||
30,451 | American Express Co. | 6,933,388 | ||||
3,200 | Credit Saison Co. Ltd. | 66,006 | ||||
25,200 | Synchrony Financial | 1,086,624 | ||||
| ||||||
8,086,018 | ||||||
|
| |||||
Consumer Staples Distribution & Retail – 0.6% | ||||||
30,407 | Carrefour SA | 521,611 | ||||
1,700 | Cosmos Pharmaceutical Corp. | 161,207 | ||||
13,744 | Costco Wholesale Corp. | 10,069,267 | ||||
2,373 | Dollar General Corp. | 370,330 | ||||
14,596 | Dollar Tree, Inc.* | 1,943,457 | ||||
25,507 | HelloFresh SE* | 181,937 | ||||
154,048 | J Sainsbury PLC | 525,987 | ||||
10,821 | Jeronimo Martins SGPS SA | 214,692 | ||||
11,954 | Kesko OYJ Class B | 223,468 | ||||
36,506 | Koninklijke Ahold Delhaize NV | 1,092,324 | ||||
17,937 | Kroger Co. | 1,024,741 | ||||
95,803 | Marks & Spencer Group PLC | 320,832 | ||||
16,300 | MatsukiyoCocokara & Co. | 261,727 | ||||
22,116 | Seven & i Holdings Co. Ltd. | 322,360 | ||||
800 | Sugi Holdings Co. Ltd. | 13,662 | ||||
2,100 | Sundrug Co. Ltd. | 65,195 | ||||
15,098 | Sysco Corp. | 1,225,656 | ||||
21,812 | Target Corp. | 3,865,305 | ||||
202,324 | Tesco PLC | 757,799 | ||||
300 | Tsuruha Holdings, Inc. | 21,408 | ||||
22,305 | Walmart, Inc. | 1,342,092 | ||||
3,900 | Welcia Holdings Co. Ltd. | 66,316 | ||||
| ||||||
24,591,373 | ||||||
|
| |||||
Containers & Packaging – 0.1% | ||||||
1,184 | Avery Dennison Corp. | 264,328 | ||||
13,381 | Ball Corp. | 901,344 | ||||
33,346 | DS Smith PLC | 166,801 | ||||
3,782 | Huhtamaki OYJ | 158,434 | ||||
1,451 | Packaging Corp. of America | 275,371 | ||||
10,396 | Smurfit Kappa Group PLC | 474,472 | ||||
619 | Vidrala SA | 64,264 | ||||
| ||||||
2,305,014 | ||||||
|
| |||||
Distributors – 0.0% | ||||||
8,843 | Inchcape PLC | 80,961 | ||||
12,085 | LKQ Corp. | 645,460 | ||||
1,000 | PALTAC Corp. | 26,588 | ||||
642 | Pool Corp. | 259,047 | ||||
| ||||||
1,012,056 | ||||||
|
|
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Diversified REITs – 0.0% | ||||||
19,230 | Balanced Commercial Property Trust Ltd. | $ 19,757 | ||||
1,754 | Covivio SA | 90,408 | ||||
| ||||||
110,165 | ||||||
|
| |||||
Diversified Telecommunication Services – 0.3% | ||||||
111,197 | AT&T, Inc. | 1,957,067 | ||||
300,940 | BT Group PLC | 416,489 | ||||
73,259 | Deutsche Telekom AG | 1,778,324 | ||||
1,870 | Elisa OYJ | 83,371 | ||||
4,300 | Internet Initiative Japan, Inc. | 80,292 | ||||
275,256 | Koninklijke KPN NV | 1,029,569 | ||||
179,500 | Nippon Telegraph & Telephone Corp. | 213,803 | ||||
56,305 | Orange SA | 662,148 | ||||
131,333 | Telefonica SA | 579,999 | ||||
170,047 | Verizon Communications, Inc. | 7,135,172 | ||||
| ||||||
13,936,234 | ||||||
|
| |||||
Electric Utilities – 0.3% | ||||||
22,897 | Alliant Energy Corp. | 1,154,009 | ||||
7,100 | Chugoku Electric Power Co., Inc. | 53,529 | ||||
314,493 | Enel SpA | 2,076,124 | ||||
39,786 | Fortum OYJ | 491,205 | ||||
9,000 | Kansai Electric Power Co., Inc. | 128,419 | ||||
5,600 | Kyushu Electric Power Co., Inc. | 50,291 | ||||
63,539 | NextEra Energy, Inc. | 4,060,777 | ||||
42,355 | Southern Co. | 3,038,548 | ||||
57,798 | SSE PLC | 1,204,972 | ||||
3,127 | Verbund AG | 228,459 | ||||
| ||||||
12,486,333 | ||||||
|
| |||||
Electrical Equipment – 0.4% | ||||||
2,054 | DiscoverIE Group PLC | 19,574 | ||||
12,159 | Eaton Corp. PLC | 3,801,876 | ||||
24,168 | Emerson Electric Co. | 2,741,135 | ||||
6,100 | Fujikura Ltd. | 90,159 | ||||
600 | Furukawa Electric Co. Ltd. | 12,666 | ||||
6,672 | Generac Holdings, Inc.* | 841,606 | ||||
4,200 | GS Yuasa Corp. | 87,532 | ||||
5,172 | Hubbell, Inc. | 2,146,639 | ||||
2,992 | Legrand SA | 316,843 | ||||
941 | Nexans SA | 98,373 | ||||
2,100 | NIDEC Corp. | 87,086 | ||||
11,695 | Prysmian SpA | 609,940 | ||||
7,088 | Rockwell Automation, Inc. | 2,064,947 | ||||
4,546 | Schneider Electric SE | 1,027,743 | ||||
6,023 | Signify NV(a) | 185,415 | ||||
45,194 | Vertiv Holdings Co. | 3,690,994 | ||||
| ||||||
17,822,528 | ||||||
|
|
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Electronic Equipment, Instruments & Components – 0.3% | ||||||
6,100 | Alps Alpine Co. Ltd. | $ 47,960 | ||||
4,302 | Amphenol Corp. Class A | 496,236 | ||||
3,216 | CDW Corp. | 822,589 | ||||
8,721 | Corning, Inc. | 287,444 | ||||
400 | Dexerials Corp. | 17,436 | ||||
4,400 | Hamamatsu Photonics KK | 155,128 | ||||
6,933 | Jabil, Inc. | 928,675 | ||||
16,666 | Keysight Technologies, Inc.* | 2,606,229 | ||||
2,500 | Macnica Holdings, Inc. | 122,547 | ||||
53,500 | Murata Manufacturing Co. Ltd. | 1,000,578 | ||||
1,100 | Omron Corp. | 39,388 | ||||
5,729 | Spectris PLC | 238,382 | ||||
6,300 | TDK Corp. | 309,380 | ||||
9,513 | TE Connectivity Ltd. | 1,381,668 | ||||
4,213 | Teledyne Technologies, Inc.* | 1,808,725 | ||||
13,245 | Trimble, Inc.* | 852,448 | ||||
| ||||||
11,114,813 | ||||||
|
| |||||
Energy Equipment & Services – 0.1% | ||||||
26,040 | Baker Hughes Co. | 872,340 | ||||
22,412 | Halliburton Co. | 883,481 | ||||
24,010 | Schlumberger NV | 1,315,988 | ||||
47,145 | Tenaris SA | 932,115 | ||||
11,683 | Vallourec SACA* | 217,006 | ||||
| ||||||
4,220,930 | ||||||
|
| |||||
Entertainment – 0.5% | ||||||
8,638 | Bollore SE | 57,712 | ||||
8,668 | Electronic Arts, Inc. | 1,149,984 | ||||
7,059 | Live Nation Entertainment, Inc.* | 746,630 | ||||
15,568 | Netflix, Inc.* | 9,454,913 | ||||
34,500 | Nexon Co. Ltd. | 573,442 | ||||
3,800 | Nintendo Co. Ltd. | 207,345 | ||||
900 | Square Enix Holdings Co. Ltd. | 34,709 | ||||
2,102 | Take-Two Interactive Software, Inc.* | 312,126 | ||||
7,466 | Universal Music Group NV | 224,356 | ||||
75,719 | Walt Disney Co. | 9,264,977 | ||||
86,035 | Warner Bros Discovery, Inc.* | 751,086 | ||||
| ||||||
22,777,280 | ||||||
|
| |||||
Financial Services – 1.4% | ||||||
459 | Adyen NV*(a) | 775,314 | ||||
24,945 | Apollo Global Management, Inc. | 2,805,065 | ||||
62,171 | Berkshire Hathaway, Inc. Class B* | 26,144,149 | ||||
1,091 | Corpay, Inc.* | 336,617 | ||||
1,869 | Eurazeo SE | 163,770 | ||||
2,496 | EXOR NV | 277,771 | ||||
5,927 | Global Payments, Inc. | 792,203 | ||||
500 | GMO Payment Gateway, Inc. | 32,383 | ||||
1,456 | Jack Henry & Associates, Inc. | 252,951 | ||||
25,950 | Mastercard, Inc. Class A | 12,496,741 | ||||
12,300 | Mitsubishi HC Capital, Inc. | 85,788 | ||||
|
|
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Financial Services – (continued) | ||||||
5,345 | Network International Holdings PLC*(a) | $ 26,526 | ||||
10,500 | ORIX Corp. | 229,653 | ||||
12,411 | OSB Group PLC | 59,118 | ||||
6,529 | Paragon Banking Group PLC | 56,923 | ||||
31,424 | PayPal Holdings, Inc.* | 2,105,094 | ||||
3,424 | Plus500 Ltd. | 78,005 | ||||
48,600 | Visa, Inc. Class A | 13,563,288 | ||||
1,171 | WAG Payment Solutions PLC* | 993 | ||||
550 | Wendel SE | 56,133 | ||||
22,162 | Worldline SA*(a) | 274,178 | ||||
| ||||||
60,612,663 | ||||||
|
| |||||
Food Products – 0.4% | ||||||
2,000 | Ajinomoto Co., Inc. | 74,687 | ||||
20,232 | Archer-Daniels-Midland Co. | 1,270,772 | ||||
23,082 | Associated British Foods PLC | 728,257 | ||||
10,443 | Bunge Global SA | 1,070,616 | ||||
2,900 | Calbee, Inc. | 65,364 | ||||
22,547 | Conagra Brands, Inc. | 668,293 | ||||
22,629 | Danone SA | 1,462,848 | ||||
12,894 | General Mills, Inc. | 902,193 | ||||
3,228 | Glanbia PLC | 63,661 | ||||
1,817 | Hershey Co. | 353,407 | ||||
17,003 | Hormel Foods Corp. | 593,235 | ||||
1,400 | House Foods Group, Inc. | 28,490 | ||||
9,970 | Ingredion, Inc. | 1,164,994 | ||||
4,609 | J M Smucker Co. | 580,135 | ||||
30,812 | Kellanova | 1,765,219 | ||||
4,883 | Kerry Group PLC Class A | 418,405 | ||||
3,500 | Kikkoman Corp. | 44,921 | ||||
24,881 | Kraft Heinz Co. | 918,109 | ||||
12,699 | McCormick & Co., Inc. | 975,410 | ||||
49,017 | Mondelez International, Inc. Class A | 3,431,190 | ||||
3,500 | Morinaga & Co. Ltd. | 60,077 | ||||
1,700 | NH Foods Ltd. | 56,922 | ||||
1,200 | Nichirei Corp. | 32,275 | ||||
4,000 | Nisshin Seifun Group, Inc. | 55,112 | ||||
11,437 | Tyson Foods, Inc. Class A | 671,695 | ||||
1,024 | Viscofan SA | 65,094 | ||||
13,600 | Yakult Honsha Co. Ltd. | 277,963 | ||||
900 | Yamazaki Baking Co. Ltd. | 23,249 | ||||
| ||||||
17,822,593 | ||||||
|
| |||||
Gas Utilities – 0.1% | ||||||
5,042 | Atmos Energy Corp. | 599,343 | ||||
36,891 | Enagas SA | 548,046 | ||||
4,663 | Naturgy Energy Group SA | 101,199 | ||||
4,900 | Osaka Gas Co. Ltd. | 110,230 | ||||
1,878 | Rubis SCA | 66,305 | ||||
168,759 | Snam SpA | 796,830 | ||||
6,800 | Tokyo Gas Co. Ltd. | 154,583 | ||||
| ||||||
2,376,536 | ||||||
|
|
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Ground Transportation – 0.3% | ||||||
8,100 | Central Japan Railway Co. | $ 201,166 | ||||
33,213 | CSX Corp. | 1,231,206 | ||||
14,212 | Firstgroup PLC | 32,381 | ||||
4,500 | Hankyu Hanshin Holdings, Inc. | 129,110 | ||||
1,346 | JB Hunt Transport Services, Inc. | 268,191 | ||||
2,400 | Kintetsu Group Holdings Co. Ltd. | 69,904 | ||||
25,771 | Knight-Swift Transportation Holdings, Inc. | 1,417,920 | ||||
22,126 | Mobico Group PLC | 19,437 | ||||
10,580 | Norfolk Southern Corp. | 2,696,525 | ||||
1,808 | Old Dominion Freight Line, Inc. | 396,512 | ||||
19,499 | Union Pacific Corp. | 4,795,389 | ||||
| ||||||
11,257,741 | ||||||
|
| |||||
Health Care Equipment & Supplies – 0.8% | ||||||
98,124 | Abbott Laboratories | 11,152,774 | ||||
1,031 | Align Technology, Inc.* | 338,086 | ||||
1,000 | Asahi Intecc Co. Ltd. | 17,520 | ||||
12,410 | Becton Dickinson & Co. | 3,070,854 | ||||
1,870 | BioMerieux | 206,249 | ||||
53,308 | Boston Scientific Corp.* | 3,651,065 | ||||
3,549 | DiaSorin SpA | 342,496 | ||||
2,601 | EssilorLuxottica SA | 588,376 | ||||
13,134 | Globus Medical, Inc. Class A* | 705,275 | ||||
12,215 | Hologic, Inc.* | 952,281 | ||||
1,100 | Hoya Corp. | 137,578 | ||||
3,132 | ICU Medical, Inc.* | 335,229 | ||||
692 | IDEXX Laboratories, Inc.* | 373,632 | ||||
11,482 | Intuitive Surgical, Inc.* | 4,582,351 | ||||
2,900 | Jeol Ltd. | 120,137 | ||||
82,171 | Koninklijke Philips NV | 1,644,566 | ||||
47,230 | Medtronic PLC | 4,116,094 | ||||
2,100 | Nihon Kohden Corp. | 55,762 | ||||
5,000 | Olympus Corp. | 71,992 | ||||
12,687 | Siemens Healthineers AG*(a) | 775,906 | ||||
40,520 | Smith & Nephew PLC | 507,269 | ||||
4,904 | STERIS PLC | 1,102,517 | ||||
5,602 | Zimmer Biomet Holdings, Inc. | 739,352 | ||||
| ||||||
35,587,361 | ||||||
|
| |||||
Health Care Providers & Services – 1.1% | ||||||
10,500 | Cardinal Health, Inc. | 1,174,950 | ||||
5,899 | Cencora, Inc. | 1,433,398 | ||||
18,512 | Centene Corp.* | 1,452,822 | ||||
4,907 | Cigna Group | 1,782,173 | ||||
67,510 | CVS Health Corp. | 5,384,598 | ||||
6,670 | DaVita, Inc.* | 920,793 | ||||
11,990 | Elevance Health, Inc. | 6,217,295 | ||||
4,781 | Fresenius Medical Care AG | 183,708 | ||||
13,733 | Fresenius SE & Co. KGaA | 370,335 | ||||
13,041 | HCA Healthcare, Inc. | 4,349,565 | ||||
8,011 | Henry Schein, Inc.* | 604,991 | ||||
4,366 | Humana, Inc. | 1,513,780 | ||||
|
|
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Health Care Providers & Services – (continued) | ||||||
3,009 | Laboratory Corp. of America Holdings | $ 657,346 | ||||
1,700 | Medipal Holdings Corp. | 26,016 | ||||
1,950 | Molina Healthcare, Inc.* | 801,119 | ||||
11,840 | Quest Diagnostics, Inc. | 1,576,022 | ||||
4,100 | Suzuken Co. Ltd. | 124,991 | ||||
36,022 | UnitedHealth Group, Inc. | 17,820,083 | ||||
3,471 | Universal Health Services, Inc. Class B | 633,319 | ||||
| ||||||
47,027,304 | ||||||
|
| |||||
Health Care REITs – 0.0% | ||||||
57,616 | Primary Health Properties PLC | 68,322 | ||||
13,846 | Ventas, Inc. | 602,855 | ||||
| ||||||
671,177 | ||||||
|
| |||||
Health Care Technology – 0.0% | ||||||
19,927 | Doximity, Inc. Class A* | 536,236 | ||||
3,200 | M3, Inc. | 46,052 | ||||
| ||||||
582,288 | ||||||
|
| |||||
Hotel & Resort REITs – 0.0% | ||||||
33,168 | Host Hotels & Resorts, Inc. | 685,914 | ||||
|
| |||||
Hotels, Restaurants & Leisure – 1.1% | ||||||
14,157 | Accor SA | 660,939 | ||||
3,776 | Airbnb, Inc. Class A* | 622,889 | ||||
16,329 | Amadeus IT Group SA | 1,048,267 | ||||
28,096 | Aramark | 913,682 | ||||
2,883 | Booking Holdings, Inc. | 10,459,178 | ||||
14,649 | Caesars Entertainment, Inc.* | 640,747 | ||||
49,411 | Carnival Corp.* | 807,376 | ||||
1,420 | Chipotle Mexican Grill, Inc.* | 4,127,613 | ||||
11,712 | Darden Restaurants, Inc. | 1,957,661 | ||||
4,465 | Domino’s Pizza Group PLC | 19,400 | ||||
44,476 | DraftKings, Inc. Class A* | 2,019,655 | ||||
22,565 | Entain PLC | 226,440 | ||||
5,328 | Expedia Group, Inc.* | 733,932 | ||||
5,400 | Food & Life Cos. Ltd. | 103,635 | ||||
1,334 | Greggs PLC | 48,388 | ||||
6,316 | J D Wetherspoon PLC* | 58,632 | ||||
22,353 | Just Eat Takeaway.com NV*(a) | 330,353 | ||||
5,004 | La Francaise des Jeux SAEM(a) | 203,951 | ||||
58,674 | Las Vegas Sands Corp. | 3,033,446 | ||||
41,022 | McDonald’s Corp. | 11,566,153 | ||||
21,461 | MGM Resorts International* | 1,013,174 | ||||
3,084 | Playtech PLC* | 17,960 | ||||
7,900 | Skylark Holdings Co. Ltd. | 125,182 | ||||
3,391 | Sodexo SA | 290,687 | ||||
20,654 | SSP Group PLC | 57,031 | ||||
46,248 | Starbucks Corp. | 4,226,605 | ||||
1,700 | Toridoll Holdings Corp. | 46,424 | ||||
4,671 | Trainline PLC*(a) | 21,837 | ||||
11,966 | TUI AG* | 98,554 | ||||
8,600 | Whitbread PLC | 359,548 | ||||
7,505 | Wyndham Hotels & Resorts, Inc. | 576,009 | ||||
|
|
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Hotels, Restaurants & Leisure – (continued) | ||||||
5,021 | Wynn Resorts Ltd. | $ 513,297 | ||||
700 | Yoshinoya Holdings Co. Ltd. | 15,610 | ||||
2,685 | Yum! Brands, Inc. | 372,275 | ||||
900 | Zensho Holdings Co. Ltd. | 37,426 | ||||
| ||||||
47,353,956 | ||||||
|
| |||||
Household Durables – 0.2% | ||||||
50,724 | Barratt Developments PLC | 304,450 | ||||
3,825 | Bellway PLC | 128,312 | ||||
2,720 | Berkeley Group Holdings PLC | 163,419 | ||||
4,900 | Casio Computer Co. Ltd. | 42,319 | ||||
6,759 | DR Horton, Inc. | 1,112,193 | ||||
3,100 | Fujitsu General Ltd. | 38,382 | ||||
6,293 | Lennar Corp. Class A | 1,082,270 | ||||
22,800 | Nikon Corp. | 230,789 | ||||
306 | NVR, Inc.* | 2,478,588 | ||||
40,500 | Panasonic Holdings Corp. | 386,522 | ||||
6,710 | PulteGroup, Inc. | 809,360 | ||||
487 | SEB SA | 62,308 | ||||
4,200 | Sekisui Chemical Co. Ltd. | 61,449 | ||||
16,100 | Sharp Corp.* | 89,669 | ||||
10,200 | Sony Group Corp. | 874,657 | ||||
3,800 | Sumitomo Forestry Co. Ltd. | 119,844 | ||||
148,331 | Taylor Wimpey PLC | 256,445 | ||||
| ||||||
8,240,976 | ||||||
|
| |||||
Household Products – 0.0% | ||||||
1,831 | Clorox Co. | 280,344 | ||||
4,600 | Lion Corp. | 41,123 | ||||
1,600 | Pigeon Corp. | 15,416 | ||||
14,665 | Reckitt Benckiser Group PLC | 835,979 | ||||
4,392 | Spectrum Brands Holdings, Inc. | 391,617 | ||||
1,800 | Unicharm Corp. | 57,305 | ||||
| ||||||
1,621,784 | ||||||
|
| |||||
Independent Power and Renewable Electricity Producers – 0.0% | ||||||
16,178 | AES Corp. | 290,071 | ||||
21,542 | Drax Group PLC | 136,327 | ||||
2,100 | Electric Power Development Co. Ltd. | 34,476 | ||||
| ||||||
460,874 | ||||||
|
| |||||
Industrial Conglomerates – 0.3% | ||||||
15,696 | 3M Co. | 1,664,875 | ||||
1,927 | DCC PLC | 140,201 | ||||
300 | Hikari Tsushin, Inc. | 56,421 | ||||
8,300 | Hitachi Ltd. | 758,457 | ||||
40,236 | Honeywell International, Inc. | 8,258,439 | ||||
8,627 | Smiths Group PLC | 178,825 | ||||
| ||||||
11,057,218 | ||||||
|
| |||||
Industrial REITs – 0.0% | ||||||
3,464 | EastGroup Properties, Inc. | 622,723 | ||||
82,670 | Tritax Big Box REIT PLC | 164,360 | ||||
27,854 | Urban Logistics REIT PLC | 40,218 | ||||
| ||||||
827,301 | ||||||
|
|
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Insurance – 0.7% | ||||||
3,383 | Admiral Group PLC | $ 121,239 | ||||
16,829 | Aflac, Inc. | 1,444,938 | ||||
3,896 | Ageas SA | 180,485 | ||||
46,773 | American International Group, Inc. | 3,656,245 | ||||
13,804 | Arch Capital Group Ltd.* | 1,276,042 | ||||
31,304 | Assicurazioni Generali SpA | 792,411 | ||||
7,000 | Assurant, Inc. | 1,317,680 | ||||
28,746 | Beazley PLC | 241,722 | ||||
3,148 | Brown & Brown, Inc. | 275,576 | ||||
8,686 | Chubb Ltd. | 2,250,803 | ||||
2,396 | CNA Financial Corp. | 108,826 | ||||
3,600 | Dai-ichi Life Holdings, Inc. | 91,816 | ||||
2,570 | Everest Group Ltd. | 1,021,575 | ||||
13,087 | Globe Life, Inc. | 1,522,934 | ||||
1,902 | Hanover Insurance Group, Inc. | 258,995 | ||||
9,787 | Hiscox Ltd. | 153,173 | ||||
3,288 | Japan Post Insurance Co. Ltd. | 62,851 | ||||
19,856 | Just Group PLC | 26,344 | ||||
194,895 | Legal & General Group PLC | 626,134 | ||||
8,594 | Loews Corp. | 672,824 | ||||
3,112 | Marsh & McLennan Cos., Inc. | 641,010 | ||||
4,800 | MS&AD Insurance Group Holdings, Inc. | 84,756 | ||||
1,770 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 864,009 | ||||
30,734 | Poste Italiane SpA(a) | 384,919 | ||||
21,153 | Progressive Corp. | 4,374,863 | ||||
8,509 | Prudential Financial, Inc. | 998,957 | ||||
152,144 | Prudential PLC | 1,426,893 | ||||
4,065 | Sampo OYJ Class A | 173,397 | ||||
5,770 | SCOR SE | 199,743 | ||||
3,600 | Sompo Holdings, Inc. | 75,456 | ||||
2,800 | T&D Holdings, Inc. | 48,676 | ||||
1,671 | Talanx AG | 132,372 | ||||
5,600 | Tokio Marine Holdings, Inc. | 175,539 | ||||
4,571 | Travelers Cos., Inc. | 1,051,970 | ||||
28,717 | W R Berkley Corp. | 2,539,732 | ||||
| ||||||
29,274,905 | ||||||
|
| |||||
Interactive Media & Services – 1.5% | ||||||
230,540 | Alphabet, Inc. Class A* | 34,795,402 | ||||
13,216 | Auto Trader Group PLC(a) | 116,710 | ||||
1,600 | Kakaku.com, Inc. | 19,410 | ||||
19,736 | Match Group, Inc.* | 716,022 | ||||
57,352 | Meta Platforms, Inc. Class A | 27,848,984 | ||||
16,127 | Moneysupermarket.com Group PLC | 44,728 | ||||
17,609 | Rightmove PLC | 122,053 | ||||
6,487 | Trustpilot Group PLC*(a) | 16,277 | ||||
| ||||||
63,679,586 | ||||||
|
|
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
IT Services – 0.5% | ||||||
26,071 | Accenture PLC Class A | $ 9,036,469 | ||||
6,251 | Akamai Technologies, Inc.* | 679,859 | ||||
763 | Alten SA | 111,357 | ||||
2,748 | Bechtle AG | 145,243 | ||||
1,000 | BIPROGY, Inc. | 29,720 | ||||
3,868 | Capgemini SE | 890,068 | ||||
17,315 | Cognizant Technology Solutions Corp. Class A | 1,269,016 | ||||
1,233 | Computacenter PLC | 41,921 | ||||
3,024 | EPAM Systems, Inc.* | 835,108 | ||||
16,600 | Finablr PLC*(a)(b) | — | ||||
7,000 | Fujitsu Ltd. | 112,028 | ||||
760 | Gartner, Inc.* | 362,269 | ||||
39,380 | International Business Machines Corp. | 7,520,005 | ||||
1,303 | Kainos Group PLC | 15,879 | ||||
3,054 | NEC Corp. | 222,958 | ||||
6,800 | NET One Systems Co. Ltd. | 119,532 | ||||
4,200 | Otsuka Corp. | 89,117 | ||||
883 | Reply SpA | 124,955 | ||||
2,000 | SCSK Corp. | 37,176 | ||||
299 | Sopra Steria Group | 72,461 | ||||
6,300 | TIS, Inc. | 135,172 | ||||
6,888 | VeriSign, Inc.* | 1,305,345 | ||||
| ||||||
23,155,658 | ||||||
|
| |||||
Leisure Products – 0.0% | ||||||
371 | Games Workshop Group PLC | 47,013 | ||||
32,290 | Mattel, Inc.* | 638,031 | ||||
18,400 | Sega Sammy Holdings, Inc. | 227,275 | ||||
400 | Shimano, Inc. | 59,506 | ||||
600 | Tomy Co. Ltd. | 10,957 | ||||
| ||||||
982,782 | ||||||
|
| |||||
Life Sciences Tools & Services – 0.5% | ||||||
9,092 | Agilent Technologies, Inc. | 1,322,977 | ||||
1,572 | Bio-Rad Laboratories, Inc. Class A* | 543,708 | ||||
2,342 | Charles River Laboratories International, Inc.* | 634,565 | ||||
8,857 | Danaher Corp. | 2,211,770 | ||||
6,758 | Eurofins Scientific SE | 430,487 | ||||
638 | Gerresheimer AG | 71,821 | ||||
4,063 | IQVIA Holdings, Inc.* | 1,027,492 | ||||
1,966 | Mettler-Toledo International, Inc.* | 2,617,316 | ||||
27,509 | Qiagen NV* | 1,179,161 | ||||
430 | Sartorius Stedim Biotech* | 122,647 | ||||
15,263 | Thermo Fisher Scientific, Inc. | 8,871,008 | ||||
743 | Waters Corp.* | 255,763 | ||||
892 | West Pharmaceutical Services, Inc. | 352,973 | ||||
| ||||||
19,641,688 | ||||||
|
|
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Machinery – 0.5% | ||||||
1,122 | Aalberts NV | $ 53,945 | ||||
2,527 | Bodycote PLC | 22,149 | ||||
4,954 | Cummins, Inc. | 1,459,696 | ||||
4,269 | Deere & Co. | 1,753,449 | ||||
1,200 | DMG Mori Co. Ltd. | 31,723 | ||||
6,092 | Dover Corp. | 1,079,441 | ||||
29,091 | Fortive Corp. | 2,502,408 | ||||
2,119 | GEA Group AG | 89,592 | ||||
400 | Hoshizaki Corp. | 14,595 | ||||
1,102 | IDEX Corp. | 268,910 | ||||
1,999 | Illinois Tool Works, Inc. | 536,392 | ||||
12,693 | Ingersoll Rand, Inc. | 1,205,200 | ||||
4,673 | Interpump Group SpA | 227,747 | ||||
2,630 | KION Group AG | 138,348 | ||||
908 | Knorr-Bremse AG | 68,676 | ||||
1,408 | Konecranes OYJ | 73,084 | ||||
700 | Kurita Water Industries Ltd. | 29,022 | ||||
4,387 | Lincoln Electric Holdings, Inc. | 1,120,615 | ||||
3,000 | Makita Corp. | 85,262 | ||||
14,800 | Minebea Mitsumi, Inc. | 290,303 | ||||
2,200 | MISUMI Group, Inc. | 30,648 | ||||
2,600 | Miura Co. Ltd. | 50,387 | ||||
5,900 | NGK Insulators Ltd. | 79,334 | ||||
855 | Nordson Corp. | 234,732 | ||||
8,100 | NSK Ltd. | 46,220 | ||||
20,200 | NTN Corp. | 42,107 | ||||
3,706 | Otis Worldwide Corp. | 367,895 | ||||
9,853 | PACCAR, Inc. | 1,220,688 | ||||
9,855 | Pentair PLC | 842,011 | ||||
6,140 | Snap-on, Inc. | 1,818,791 | ||||
21,179 | Stanley Black & Decker, Inc. | 2,074,059 | ||||
1,000 | Sumitomo Heavy Industries Ltd. | 31,489 | ||||
600 | THK Co. Ltd. | 14,107 | ||||
8,198 | Toro Co. | 751,183 | ||||
11,607 | Vesuvius PLC | 72,409 | ||||
6,170 | Wartsila OYJ Abp | 93,769 | ||||
8,243 | Weir Group PLC | 210,561 | ||||
5,329 | Westinghouse Air Brake Technologies Corp. | 776,329 | ||||
14,487 | Xylem, Inc. | 1,872,300 | ||||
| ||||||
21,679,576 | ||||||
|
| |||||
Marine Transportation – 0.0% | ||||||
245 | Clarkson PLC | 12,400 | ||||
10,500 | Kawasaki Kisen Kaisha Ltd. | 141,195 | ||||
10,700 | Nippon Yusen KK | 293,758 | ||||
| ||||||
447,353 | ||||||
|
|
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Media – 0.3% | ||||||
631 | 4imprint Group PLC | $ 50,376 | ||||
3,471 | Charter Communications, Inc. Class A* | 1,008,777 | ||||
121,315 | Comcast Corp. Class A | 5,259,005 | ||||
4,900 | CyberAgent, Inc. | 35,636 | ||||
1,300 | Dentsu Group, Inc. | 36,097 | ||||
21,944 | Fox Corp. Class A | 686,189 | ||||
1,900 | Fuji Media Holdings, Inc. | 23,012 | ||||
5,800 | Future PLC | 44,913 | ||||
30,414 | Informa PLC | 319,104 | ||||
117,960 | ITV PLC | 110,025 | ||||
4,200 | Kadokawa Corp. | 73,795 | ||||
32,022 | News Corp. Class A | 838,336 | ||||
1,900 | Nippon Television Holdings, Inc. | 27,815 | ||||
7,218 | Omnicom Group, Inc. | 698,414 | ||||
143,438 | Paramount Global Class B | 1,688,265 | ||||
1,400 | TBS Holdings, Inc. | 39,003 | ||||
62,652 | Vivendi SE | 682,771 | ||||
27,388 | WPP PLC | 259,559 | ||||
| ||||||
11,881,092 | ||||||
|
| |||||
Metals & Mining – 0.2% | ||||||
28,829 | ArcelorMittal SA | 792,426 | ||||
46,347 | Centamin PLC | 66,007 | ||||
1,700 | Dowa Holdings Co. Ltd. | 58,747 | ||||
7,048 | Evraz PLC*(b) | — | ||||
65,908 | Freeport-McMoRan, Inc. | 3,098,994 | ||||
354,711 | Glencore PLC | 1,946,497 | ||||
550 | Hill & Smith PLC | 13,586 | ||||
14,400 | JFE Holdings, Inc. | 238,660 | ||||
9,600 | Kobe Steel Ltd. | 130,272 | ||||
2,200 | Mitsui Mining & Smelting Co. Ltd. | 67,426 | ||||
12,500 | Nippon Steel Corp. | 300,806 | ||||
7,940 | Nucor Corp. | 1,571,326 | ||||
12,976 | Rio Tinto PLC | 820,406 | ||||
8,286 | Steel Dynamics, Inc. | 1,228,234 | ||||
4,200 | Sumitomo Metal Mining Co. Ltd. | 125,413 | ||||
2,198 | voestalpine AG | 61,661 | ||||
500 | Yamato Kogyo Co. Ltd. | 28,441 | ||||
| ||||||
10,548,902 | ||||||
|
| |||||
Multi-Utilities – 0.1% | ||||||
206,366 | A2A SpA | 372,277 | ||||
453,010 | Centrica PLC | 730,278 | ||||
92,962 | E.ON SE | 1,294,209 | ||||
36,646 | Hera SpA | 129,129 | ||||
8,959 | NiSource, Inc. | 247,806 | ||||
33,394 | Sempra | 2,398,691 | ||||
3,788 | WEC Energy Group, Inc. | 311,071 | ||||
| ||||||
5,483,461 | ||||||
|
|
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Office REITs – 0.0% | ||||||
5,818 | Alexandria Real Estate Equities, Inc. | $ 749,998 | ||||
9,124 | Boston Properties, Inc. | 595,889 | ||||
2,812 | Derwent London PLC | 77,053 | ||||
3,041 | Workspace Group PLC | 19,685 | ||||
| ||||||
1,442,625 | ||||||
|
| |||||
Oil, Gas & Consumable Fuels – 0.7% | ||||||
31,011 | Antero Midstream Corp. | 436,015 | ||||
15,718 | APA Corp. | 540,385 | ||||
322,551 | BP PLC | 2,023,499 | ||||
20,429 | Chevron Corp. | 3,222,470 | ||||
6,624 | ConocoPhillips | 843,103 | ||||
1,900 | Cosmo Energy Holdings Co. Ltd. | 95,417 | ||||
35,161 | Coterra Energy, Inc. | 980,289 | ||||
7,684 | Devon Energy Corp. | 385,583 | ||||
1,894 | Diamondback Energy, Inc. | 375,334 | ||||
6,819 | Diversified Energy Co. PLC | 81,758 | ||||
41,700 | ENEOS Holdings, Inc. | 200,904 | ||||
118,557 | Eni SpA | 1,877,235 | ||||
4,253 | EOG Resources, Inc. | 543,704 | ||||
23,742 | EQT Corp. | 880,116 | ||||
41,379 | Exxon Mobil Corp. | 4,809,895 | ||||
31,820 | Galp Energia SGPS SA | 526,060 | ||||
52,290 | Harbour Energy PLC | 182,110 | ||||
22,700 | Idemitsu Kosan Co. Ltd. | 155,634 | ||||
22,800 | Inpex Corp. | 346,587 | ||||
900 | Iwatani Corp. | 48,540 | ||||
26,686 | Marathon Oil Corp. | 756,281 | ||||
10,588 | Marathon Petroleum Corp. | 2,133,482 | ||||
24,288 | Occidental Petroleum Corp. | 1,578,477 | ||||
2,365 | OMV AG | 112,012 | ||||
8,677 | Phillips 66 | 1,417,301 | ||||
44,445 | Repsol SA | 741,841 | ||||
48,545 | TotalEnergies SE | 3,339,380 | ||||
78,152 | Tullow Oil PLC* | 30,622 | ||||
| ||||||
28,664,034 | ||||||
|
| |||||
Paper & Forest Products – 0.1% | ||||||
7,640 | Louisiana-Pacific Corp. | 640,464 | ||||
49,142 | Mondi PLC | 865,553 | ||||
18,700 | Oji Holdings Corp. | 77,631 | ||||
22,049 | UPM-Kymmene OYJ | 734,599 | ||||
| ||||||
2,318,247 | ||||||
|
| |||||
Passenger Airlines – 0.1% | ||||||
9,600 | ANA Holdings, Inc. | 200,633 | ||||
65,994 | Delta Air Lines, Inc. | 3,159,133 | ||||
51,752 | Deutsche Lufthansa AG* | 406,735 | ||||
65,284 | easyJet PLC | 469,913 | ||||
11,600 | Japan Airlines Co. Ltd. | 220,257 | ||||
13,063 | United Airlines Holdings, Inc.* | 625,456 | ||||
| ||||||
5,082,127 | ||||||
|
|
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Personal Products – 0.1% | ||||||
15,966 | Estee Lauder Cos., Inc. Class A | $ 2,461,159 | ||||
6,300 | Kao Corp. | 235,420 | ||||
47,483 | Kenvue, Inc. | 1,018,985 | ||||
1,900 | Kose Corp. | 101,819 | ||||
1,956 | L’Oreal SA | 926,306 | ||||
2,200 | Shiseido Co. Ltd. | 60,369 | ||||
| ||||||
4,804,058 | ||||||
|
| |||||
Pharmaceuticals – 1.3% | ||||||
10,692 | AstraZeneca PLC | 1,436,404 | ||||
45,752 | Bayer AG | 1,401,135 | ||||
2,700 | Chugai Pharmaceutical Co. Ltd. | 103,181 | ||||
1,400 | Eisai Co. Ltd. | 57,664 | ||||
18,771 | Eli Lilly & Co. | 14,603,087 | ||||
81,645 | GSK PLC | 1,752,949 | ||||
11,959 | Hikma Pharmaceuticals PLC | 289,300 | ||||
1,843 | Indivior PLC* | 39,386 | ||||
1,426 | Ipsen SA | 169,689 | ||||
13,506 | Jazz Pharmaceuticals PLC* | 1,626,392 | ||||
114,485 | Johnson & Johnson | 18,110,382 | ||||
3,500 | Kyowa Kirin Co. Ltd. | 62,969 | ||||
71,094 | Merck & Co., Inc. | 9,380,853 | ||||
3,822 | Merck KGaA | 673,954 | ||||
400 | Nippon Shinyaku Co. Ltd. | 11,877 | ||||
5,800 | Ono Pharmaceutical Co. Ltd. | 95,033 | ||||
4,401 | Otsuka Holdings Co. Ltd. | 182,810 | ||||
73,921 | Pfizer, Inc. | 2,051,308 | ||||
17,066 | Sanofi SA | 1,660,256 | ||||
15,300 | Santen Pharmaceutical Co. Ltd. | 150,465 | ||||
2,100 | Sawai Group Holdings Co. Ltd. | 82,106 | ||||
12,843 | Takeda Pharmaceutical Co. Ltd. | 357,214 | ||||
54,984 | Viatris, Inc. | 656,509 | ||||
18,426 | Zoetis, Inc. | 3,117,863 | ||||
| ||||||
58,072,786 | ||||||
|
| |||||
Professional Services – 0.4% | ||||||
14,021 | Automatic Data Processing, Inc. | 3,500,861 | ||||
12,367 | Booz Allen Hamilton Holding Corp. | 1,835,758 | ||||
17,913 | Broadridge Financial Solutions, Inc. | 3,669,657 | ||||
2,439 | FTI Consulting, Inc.* | 512,897 | ||||
15,679 | Hays PLC | 18,720 | ||||
17,672 | Leidos Holdings, Inc. | 2,316,623 | ||||
2,100 | MEITEC Group Holdings, Inc. | 40,602 | ||||
4,000 | Nihon M&A Center Holdings, Inc. | 25,464 | ||||
8,496 | Pagegroup PLC | 48,104 | ||||
22,585 | Paychex, Inc. | 2,773,438 | ||||
1,429 | Paycom Software, Inc. | 284,385 | ||||
6,484 | Randstad NV | 342,392 | ||||
4,500 | Recruit Holdings Co. Ltd. | 197,581 | ||||
13,207 | RELX PLC | 569,558 | ||||
22,146 | Robert Half, Inc. | 1,755,735 | ||||
3,075 | SThree PLC | 16,689 | ||||
2,349 | Teleperformance SE | 228,169 | ||||
|
|
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Professional Services – (continued) | ||||||
1,373 | Verisk Analytics, Inc. | $ 323,657 | ||||
3,082 | Wolters Kluwer NV | 482,610 | ||||
| ||||||
18,942,900 | ||||||
|
| |||||
Real Estate Management & Development – 0.1% | ||||||
7,844 | CBRE Group, Inc. Class A* | 762,751 | ||||
27,682 | CoStar Group, Inc.* | 2,674,081 | ||||
2,800 | Daito Trust Construction Co. Ltd. | 319,431 | ||||
7,373 | Grainger PLC | 23,990 | ||||
2,900 | Hulic Co. Ltd. | 29,784 | ||||
23,712 | IWG PLC* | 57,731 | ||||
3,357 | LEG Immobilien SE* | 288,336 | ||||
4,900 | Mitsubishi Estate Co. Ltd. | 89,405 | ||||
2,291 | Savills PLC | 30,824 | ||||
19,137 | Sirius Real Estate Ltd. | 23,659 | ||||
9,300 | Tokyu Fudosan Holdings Corp. | 75,139 | ||||
51,094 | Vonovia SE | 1,509,919 | ||||
| ||||||
5,885,050 | ||||||
|
| |||||
Residential REITs – 0.1% | ||||||
3,703 | AvalonBay Communities, Inc. | 687,129 | ||||
16,535 | Empiric Student Property PLC | 19,799 | ||||
10,161 | Equity Residential | 641,261 | ||||
18,258 | Invitation Homes, Inc. | 650,167 | ||||
4,463 | Mid-America Apartment Communities, Inc. | 587,242 | ||||
4,865 | UNITE Group PLC | 60,181 | ||||
| ||||||
2,645,779 | ||||||
|
| |||||
Retail REITs – 0.1% | ||||||
1,852 | Federal Realty Investment Trust | 189,126 | ||||
86,309 | Hammerson PLC | 32,527 | ||||
41,712 | Kimco Realty Corp. | 817,972 | ||||
7,923 | Klepierre SA | 205,091 | ||||
44,101 | Realty Income Corp. | 2,385,864 | ||||
7,594 | Regency Centers Corp. | 459,893 | ||||
2,602 | Simon Property Group, Inc. | 407,187 | ||||
| ||||||
4,497,660 | ||||||
|
| |||||
Semiconductors & Semiconductor Equipment – 2.2% | ||||||
25,444 | Analog Devices, Inc. | 5,032,569 | ||||
15,974 | Applied Materials, Inc. | 3,294,318 | ||||
2,314 | BE Semiconductor Industries NV | 354,455 | ||||
1,784 | Broadcom, Inc. | 2,364,531 | ||||
12,863 | First Solar, Inc.* | 2,171,274 | ||||
61,768 | Infineon Technologies AG | 2,100,454 | ||||
4,497 | KLA Corp. | 3,141,469 | ||||
7,023 | Lam Research Corp. | 6,823,336 | ||||
12,227 | Microchip Technology, Inc. | 1,096,884 | ||||
47,021 | Micron Technology, Inc. | 5,543,306 | ||||
400 | Mitsui High-Tec, Inc. | 22,721 | ||||
55,017 | NVIDIA Corp. | 49,711,161 | ||||
6,843 | NXP Semiconductors NV | 1,695,490 | ||||
|
|
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Semiconductors & Semiconductor Equipment – (continued) | ||||||
7,863 | Qorvo, Inc.* | $ 902,908 | ||||
14,903 | QUALCOMM, Inc. | 2,523,078 | ||||
27,650 | Renesas Electronics Corp. | 492,741 | ||||
38,800 | Rohm Co. Ltd. | 622,305 | ||||
1,432 | SCREEN Holdings Co. Ltd. | 185,666 | ||||
9,971 | Skyworks Solutions, Inc. | 1,080,059 | ||||
6,900 | Socionext, Inc. | 188,473 | ||||
1,917 | SOITEC* | 197,959 | ||||
20,500 | STMicroelectronics NV | 882,180 | ||||
48,900 | SUMCO Corp. | 773,146 | ||||
8,142 | Teradyne, Inc. | 918,662 | ||||
27,961 | Texas Instruments, Inc. | 4,871,086 | ||||
1,200 | Tokyo Electron Ltd. | 312,539 | ||||
| ||||||
97,302,770 | ||||||
|
| |||||
Software – 2.6% | ||||||
26,976 | Adobe, Inc.* | 13,612,090 | ||||
10,903 | Autodesk, Inc.* | 2,839,359 | ||||
11,714 | Bytes Technology Group PLC | 75,587 | ||||
1,766 | Cadence Design Systems, Inc.* | 549,720 | ||||
19,320 | Darktrace PLC* | 106,639 | ||||
29,310 | Gen Digital, Inc. | 656,544 | ||||
9,586 | Intuit, Inc. | 6,230,900 | ||||
128,917 | Microsoft Corp. | 54,237,960 | ||||
819 | Nemetschek SE | 81,067 | ||||
1,200 | Oracle Corp. | 90,241 | ||||
15,044 | Palo Alto Networks, Inc.* | 4,274,452 | ||||
10,204 | PTC, Inc.* | 1,927,944 | ||||
6,778 | Roper Technologies, Inc. | 3,801,374 | ||||
37,207 | Salesforce, Inc. | 11,206,004 | ||||
8,740 | SAP SE | 1,701,843 | ||||
6,750 | ServiceNow, Inc.* | 5,146,200 | ||||
15,790 | TeamViewer SE*(a) | 235,307 | ||||
800 | Trend Micro, Inc. | 40,629 | ||||
2,332 | Tyler Technologies, Inc.* | 991,123 | ||||
18,561 | Workday, Inc. Class A* | 5,062,513 | ||||
33,589 | Zoom Video Communications, Inc. Class A* | 2,195,713 | ||||
| ||||||
115,063,209 | ||||||
|
| |||||
Specialized REITs – 0.2% | ||||||
8,086 | Big Yellow Group PLC | 108,489 | ||||
26,406 | Crown Castle, Inc. | 2,794,547 | ||||
619 | Equinix, Inc. | 510,879 | ||||
8,463 | Public Storage | 2,454,778 | ||||
9,638 | Safestore Holdings PLC | 91,961 | ||||
10,026 | SBA Communications Corp. | 2,172,634 | ||||
| ||||||
8,133,288 | ||||||
|
| |||||
Specialty Retail – 0.4% | ||||||
15,243 | Bath & Body Works, Inc. | 762,455 | ||||
10,943 | Best Buy Co., Inc. | 897,654 | ||||
2,431 | Dunelm Group PLC | 34,833 | ||||
500 | Fast Retailing Co. Ltd. | 154,913 | ||||
3,141 | Frasers Group PLC* | 32,231 | ||||
|
|
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Specialty Retail – (continued) | ||||||
24,385 | Home Depot, Inc. | $ 9,354,086 | ||||
11,891 | Industria de Diseno Textil SA | 598,786 | ||||
177,390 | JD Sports Fashion PLC | 301,360 | ||||
64,435 | Kingfisher PLC | 202,795 | ||||
7,596 | Pets at Home Group PLC | 25,732 | ||||
2,685 | Ross Stores, Inc. | 394,051 | ||||
1,108 | Shimamura Co. Ltd. | 63,168 | ||||
47,823 | TJX Cos., Inc. | 4,850,209 | ||||
27,400 | USS Co. Ltd. | 226,520 | ||||
10,318 | Watches of Switzerland Group PLC*(a) | 46,670 | ||||
4,547 | WH Smith PLC | 75,582 | ||||
10,700 | Yamada Holdings Co. Ltd. | 30,997 | ||||
34,674 | Zalando SE*(a) | 991,512 | ||||
| ||||||
19,043,554 | ||||||
|
| |||||
Technology Hardware, Storage & Peripherals – 1.1% | ||||||
270,007 | Apple, Inc. | 46,300,800 | ||||
4,300 | Brother Industries Ltd. | 79,749 | ||||
3,600 | Canon, Inc. | 107,262 | ||||
4,200 | FUJIFILM Holdings Corp. | 94,309 | ||||
51,108 | Hewlett Packard Enterprise Co. | 906,145 | ||||
27,616 | HP, Inc. | 834,555 | ||||
14,800 | Konica Minolta, Inc. | 48,435 | ||||
3,380 | NetApp, Inc. | 354,799 | ||||
5,504 | Ricoh Co. Ltd. | 48,902 | ||||
3,236 | Seagate Technology Holdings PLC | 301,110 | ||||
4,700 | Seiko Epson Corp. | 82,215 | ||||
| ||||||
49,158,281 | ||||||
|
| |||||
Textiles, Apparel & Luxury Goods – 0.2% | ||||||
9,058 | adidas AG | 2,023,817 | ||||
1,100 | Asics Corp. | 52,073 | ||||
815 | Brunello Cucinelli SpA | 93,145 | ||||
32,747 | Burberry Group PLC | 500,909 | ||||
11,044 | Coats Group PLC | 11,305 | ||||
300 | Goldwin, Inc. | 19,102 | ||||
314 | Hermes International SCA | 802,515 | ||||
1,051 | Lululemon Athletica, Inc.* | 410,573 | ||||
48,433 | NIKE, Inc. Class B | 4,551,733 | ||||
1,149 | Ralph Lauren Corp. | 215,736 | ||||
10,332 | Tapestry, Inc. | 490,563 | ||||
41,110 | VF Corp. | 630,627 | ||||
| ||||||
9,802,098 | ||||||
|
| |||||
Trading Companies & Distributors – 0.2% | ||||||
4,518 | Ashtead Group PLC | 321,813 | ||||
13,559 | Brenntag SE | 1,142,766 | ||||
6,203 | Bunzl PLC | 238,677 | ||||
1,706 | Diploma PLC | 80,143 | ||||
5,712 | Fastenal Co. | 440,624 | ||||
9,987 | Ferguson PLC | 2,181,460 | ||||
9,195 | Howden Joinery Group PLC | 105,257 | ||||
10,047 | ITOCHU Corp. | 431,615 | ||||
|
|
Shares | Description | Value | ||||
Common Stocks – (continued) | ||||||
Trading Companies & Distributors – (continued) | ||||||
15,732 | Marubeni Corp. | $ 272,473 | ||||
35,105 | Mitsubishi Corp. | 811,319 | ||||
10,981 | Mitsui & Co. Ltd. | 513,379 | ||||
3,400 | MonotaRO Co. Ltd. | 40,926 | ||||
9,292 | Rexel SA | 251,003 | ||||
27,997 | RS Group PLC | 256,707 | ||||
3,700 | Sojitz Corp. | 97,602 | ||||
9,200 | Sumitomo Corp. | 221,609 | ||||
3,600 | Toyota Tsusho Corp. | 247,215 | ||||
4,732 | Travis Perkins PLC | 43,558 | ||||
368 | WW Grainger, Inc. | 374,366 | ||||
| ||||||
8,072,512 | ||||||
|
| |||||
Transportation Infrastructure – 0.0% | ||||||
2,843 | Aena SME SA(a) | 559,939 | ||||
600 | Japan Airport Terminal Co. Ltd. | 23,709 | ||||
1,700 | Kamigumi Co. Ltd. | 37,464 | ||||
| ||||||
621,112 | ||||||
|
| |||||
Water Utilities – 0.0% | ||||||
2,328 | American Water Works Co., Inc. | 284,505 | ||||
|
| |||||
Wireless Telecommunication Services – 0.0% | ||||||
63,410 | Airtel Africa PLC(a) | 84,785 | ||||
5,494 | Freenet AG | 154,611 | ||||
12,200 | KDDI Corp. | 360,714 | ||||
10,400 | SoftBank Corp. | 133,899 | ||||
880,844 | Vodafone Group PLC | 781,242 | ||||
| ||||||
1,515,251 | ||||||
|
| |||||
| TOTAL COMMON STOCKS (Cost $1,049,634,618) | $1,248,581,744 | ||||
|
| |||||
Shares | Dividend Rate | Value | ||||
Preferred Stocks – 0.0% | ||||||
Auto Manufacturers – 0.0% | ||||||
Porsche Automobil Holding SE | ||||||
19,296 | 5.221% | $ 1,022,184 | ||||
|
| |||||
Chemicals – 0.0% | ||||||
FUCHS SE | ||||||
614 | 2.332 | 30,419 | ||||
|
| |||||
Electronics* – 0.0% | ||||||
Sartorius AG | ||||||
584 | 0.392 | 231,912 | ||||
|
| |||||
| TOTAL PREFERRED STOCKS (Cost $1,272,620) | $ 1,284,515 | ||||
|
|
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
March 31, 2024 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||
U.S. Treasury Obligations(c)(d) – 2.3% | ||||||||||
U.S. Treasury Bills | ||||||||||
$ 100,000,000 | 0.000% | 08/29/24 | $ 97,871,939 | |||||||
(Cost $97,872,500) | ||||||||||
|
Shares | Description | Value | ||||
Exchange Traded Funds – 20.0% | ||||||
811,773 | Invesco Senior Loan ETF | $ 17,168,999 | ||||
3,900,905 | iShares 5-10 Year Investment Grade Corporate Bond ETF | 201,286,698 | ||||
8,282,427 | iShares Core MSCI Emerging Markets ETF | 427,373,233 | ||||
1,675,114 | SPDR Blackstone Senior Loan ETF | 70,539,051 | ||||
1,739,922 | SPDR Bloomberg Convertible Securities ETF | 127,083,903 | ||||
287,357 | VanEck Fallen Angel High Yield Bond ETF | 8,339,100 | ||||
286,000 | Vanguard Real Estate ETF | 24,733,280 | ||||
|
| |||||
| TOTAL EXCHANGE TRADED FUNDS (Cost $838,100,402) | $ 876,524,264 | ||||
|
| |||||
Shares | Dividend Rate | Value | ||||
Investment Company(e) – 45.0% | ||||||
| Goldman Sachs Financial Square Government Fund — Institutional | |||||
1,970,705,161 | 5.211% | $1,970,705,161 | ||||
(Cost $1,970,705,161) | ||||||
|
| |||||
| TOTAL INVESTMENTS – 95.8% (Cost $3,957,585,301) | $4,194,967,623 | ||||
|
| |||||
| OTHER ASSETS IN EXCESS OF LIABILITIES – 4.2% | 182,636,298 | ||||
|
| |||||
NET ASSETS – 100.0% | $4,377,603,921 | |||||
|
|
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) | Issued with a zero coupon. Income is recognized through the accretion of discount. | |
(d) | All or a portion of security is on loan. | |
(e) | Represents an Affiliated Issuer. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
March 31, 2024 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At March 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 | ||||||||||||||||||
| ||||||||||||||||||||||
JPMorgan Securities, Inc. | MXN | 96,350,000 | USD | 5,613,101 | 06/20/24 | $ | 108,996 | |||||||||||||||
USD | 10,756,709 | AUD | 16,320,000 | 06/20/24 | 97,623 | |||||||||||||||||
USD | 14,106,350 | CAD | 19,030,000 | 06/20/24 | 41,004 | |||||||||||||||||
USD | 11,408,437 | CHF | 9,940,000 | 06/20/24 | 287,236 | |||||||||||||||||
USD | 4,949,785 | CZK | 115,130,000 | 06/20/24 | 40,508 | |||||||||||||||||
USD | 104,837,148 | EUR | 95,730,000 | 06/20/24 | 1,219,363 | |||||||||||||||||
USD | 26,276,839 | GBP | 20,590,000 | 06/20/24 | 278,092 | |||||||||||||||||
USD | 7,672,487 | IDR | 120,912,030,000 | 06/20/24 | 71,781 | |||||||||||||||||
USD | 46,876,814 | JPY | 6,876,500,000 | 06/20/24 | 884,012 | |||||||||||||||||
USD | 7,470,781 | KRW | 9,870,300,000 | 06/20/24 | 125,550 | |||||||||||||||||
USD | 9,675,881 | TWD | 302,410,000 | 06/20/24 | 189,501 | |||||||||||||||||
| ||||||||||||||||||||||
TOTAL | $ | 3,343,666 | ||||||||||||||||||||
| ||||||||||||||||||||||
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS |
| |||||||||||||||||||||
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||||||||
| ||||||||||||||||||||||
JPMorgan Securities, Inc. | INR | 409,370,000 | USD | 4,921,704 | 06/20/24 | $ | (24,641 | ) | ||||||||||||||
PLN | 25,720,000 | USD | 6,509,879 | 06/20/24 | (76,261 | ) | ||||||||||||||||
USD | 6,849,966 | CLP | 6,771,080,000 | 06/21/24 | (46,596 | ) | ||||||||||||||||
| ||||||||||||||||||||||
TOTAL | $ | (147,498 | ) | |||||||||||||||||||
|
FUTURES CONTRACTS — At March 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.K. Long Gilt | 261 | 06/26/24 | $ | 32,922,344 | $ | 437,813 | ||||||
30 Year German Euro-Buxl | 25 | 06/06/24 | 3,662,695 | 2,162 | ||||||||
3M Euribor | 1 | 12/15/25 | 263,307 | (5 | ) | |||||||
3M Euribor | 14 | 03/16/26 | 3,687,994 | (789 | ) | |||||||
3M SARON | 19 | 09/17/24 | 5,200,851 | (41 | ) | |||||||
3M SARON | 25 | 12/17/24 | 6,855,006 | 934 | ||||||||
3M SARON | 27 | 03/18/25 | 7,412,388 | 2,546 | ||||||||
5 Year German Euro-Bund | 698 | 06/06/24 | 100,440,106 | 172,251 | ||||||||
ASX 90 Day Bank Accepted Bills | 22 | 06/13/24 | 14,186,930 | (2,315 | ) | |||||||
ASX 90 Day Bank Accepted Bills | 8 | 09/12/24 | 5,160,521 | (12 | ) | |||||||
ASX 90 Day Bank Accepted Bills | 5 | 12/12/24 | 3,226,585 | 150 | ||||||||
Brent Crude | 84 | 04/30/24 | 7,308,000 | 246,698 | ||||||||
CAC40 Index | 163 | 04/19/24 | 14,461,233 | 95,483 | ||||||||
Cattle Feeder | 12 | 05/23/24 | 1,492,200 | (58,560 | ) | |||||||
Coffee | 15 | 05/20/24 | 1,062,281 | 5,578 | ||||||||
Copper | 56 | 05/29/24 | 5,609,800 | (50,229 | ) | |||||||
Cotton No.2 | 31 | 05/08/24 | 1,416,390 | (36,115 | ) | |||||||
DAX Index | 41 | 06/21/24 | 20,762,898 | 561,689 | ||||||||
E-Mini Nasdaq 100 Index | 144 | 06/21/24 | 53,208,000 | 665,864 | ||||||||
E-Mini Russell 2000 Index | 112 | 06/21/24 | 12,017,040 | 211,164 | ||||||||
Euro BTP | 219 | 06/06/24 | 28,118,270 | 257,184 | ||||||||
Euro Stoxx 50 Index | 3,399 | 06/21/24 | 185,000,696 | 3,024,486 | ||||||||
French 10 Year Government Bonds | 154 | 06/06/24 | 21,294,534 | 6,702 | ||||||||
FTSE 100 Index | 761 | 06/21/24 | 76,724,418 | 1,954,491 | ||||||||
FTSE/MIB Index | 70 | 06/21/24 | 12,917,987 | 310,896 | ||||||||
Gasoil | 52 | 05/10/24 | 4,201,600 | 18,776 | ||||||||
Gasoline RBOB | 36 | 04/30/24 | 4,113,547 | 154,729 | ||||||||
Gold | 148 | 06/26/24 | 33,128,320 | 686,681 | ||||||||
Hang Seng Index | 18 | 04/29/24 | 1,905,352 | 4,221 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
March 31, 2024 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
FUTURES CONTRACTS (continued)
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||
| ||||||||||||
Long position contracts: (continued) | ||||||||||||
HSCEI | 67 | 04/29/24 | $ | 2,488,456 | $ | 13,808 | ||||||
IBEX 35 Index | 99 | 04/19/24 | 11,820,342 | 567,896 | ||||||||
Ice 3M Sonia Index | 5 | 03/17/26 | 1,519,707 | 38 | ||||||||
Ice 3M Sonia Index | 6 | 06/16/26 | 1,825,163 | 431 | ||||||||
Japan 10 Year Government Bond | 199 | 06/13/24 | 191,493,790 | 8,932 | ||||||||
Lead | 53 | 05/13/24 | 2,710,407 | (103,377 | ) | |||||||
Lead | 88 | 04/15/24 | 4,470,224 | (156,186 | ) | |||||||
Lean Hogs | 23 | 06/14/24 | 933,340 | 2,746 | ||||||||
Live Cattle | 43 | 06/28/24 | 3,100,300 | (74,969 | ) | |||||||
LME Nickel | 47 | 04/15/24 | 4,680,360 | (290,818 | ) | |||||||
Lme Nickel Future May24 Xlme 20240513 | 6 | 05/13/24 | 599,837 | (48,325 | ) | |||||||
LME Zinc | 27 | 05/13/24 | 1,633,966 | (87,775 | ) | |||||||
LME Zinc | 68 | 04/15/24 | 4,086,256 | (171,508 | ) | |||||||
NY Harbor ULSD | 22 | 04/30/24 | 2,423,375 | (41,704 | ) | |||||||
Omxs30 Index | 514 | 04/19/24 | 12,122,506 | 103,010 | ||||||||
Primary Aluminum | 43 | 05/13/24 | 2,495,054 | 51,768 | ||||||||
Primary Aluminum | 72 | 04/15/24 | 4,152,456 | 140,484 | ||||||||
S&P Mid 400 Emini | 30 | 06/21/24 | 9,232,200 | 270,731 | ||||||||
S&P Toronto Stock Exchange 60 Index | 66 | 06/20/24 | 13,071,854 | 142,060 | ||||||||
Silver | 29 | 05/29/24 | 3,612,820 | (37,419 | ) | |||||||
TOPIX Futures | 181 | 06/13/24 | 33,119,963 | 829,304 | ||||||||
WTI Crude | 67 | 04/22/24 | 5,572,390 | 212,435 | ||||||||
| ||||||||||||
Total | $ | 10,003,994 | ||||||||||
| ||||||||||||
Short position contracts: | ||||||||||||
10 Year U.S. Treasury Notes | (1,292) | 06/18/24 | (143,149,562 | ) | (615,908 | ) | ||||||
2 Year German Euro-Schatz | (398) | 06/06/24 | (45,385,705 | ) | (15,998 | ) | ||||||
2 Year U.S. Treasury Notes | (167) | 06/28/24 | (34,148,891 | ) | 561 | |||||||
20 Year U.S. Treasury Bonds | (18) | 06/18/24 | (2,167,875 | ) | (17,848 | ) | ||||||
3 Month SOFR | (126) | 06/17/25 | (30,145,500 | ) | 23,243 | |||||||
3 Month SOFR | (155) | 12/17/24 | (36,864,812 | ) | 25,390 | |||||||
3 Month SOFR | (138) | 03/18/25 | (32,923,350 | ) | 27,030 | |||||||
3 Month SOFR | (136) | 09/17/24 | (32,254,100 | ) | 17,321 | |||||||
3 Month SOFR | (104) | 09/16/25 | (24,943,100 | ) | 12,623 | |||||||
3 Month SOFR | (49) | 06/16/26 | (11,799,812 | ) | (8,551 | ) | ||||||
3 Month SOFR | (88) | 12/16/25 | (21,146,400 | ) | 2,768 | |||||||
3 Month SOFR | (68) | 03/17/26 | (16,361,650 | ) | (3,542 | ) | ||||||
3M Euribor | (94) | 09/16/24 | (24,511,254 | ) | 7,149 | |||||||
3M Euribor | (101) | 06/17/24 | (26,248,027 | ) | 15,474 | |||||||
3M Euribor | (86) | 12/16/24 | (22,493,616 | ) | 1,524 | |||||||
3M Euribor | (67) | 03/17/25 | (17,567,466 | ) | (2,819 | ) | ||||||
3M Euribor | (43) | 06/16/25 | (11,296,678 | ) | (4,825 | ) | ||||||
3M Euribor | (17) | 09/15/25 | (4,472,318 | ) | (3,638 | ) | ||||||
5 Year German Euro-Bobl | (92) | 06/06/24 | (11,736,808 | ) | (69,037 | ) | ||||||
5 Year U.S. Treasury Notes | (180) | 06/28/24 | (19,262,812 | ) | (75,314 | ) | ||||||
Australian 10 Year Government Bonds | (479) | 06/17/24 | (36,388,017 | ) | (153,226 | ) | ||||||
Bank Accept Index | (23) | 06/17/24 | (4,028,460 | ) | (634 | ) | ||||||
Bank Accept Index | (35) | 09/18/24 | (6,147,383 | ) | (530 | ) | ||||||
Bank Accept Index | (30) | 12/18/24 | (5,284,965 | ) | 5 | |||||||
Canada 10 Year Government Bonds | (188) | 06/19/24 | (16,702,167 | ) | (72,663 | ) | ||||||
CBOE Volatility Index | (161) | 04/17/24 | (2,313,361 | ) | 388,179 | |||||||
CBOE Volatility Index | (153) | 05/22/24 | (2,359,031 | ) | 198,934 | |||||||
CBOE Volatility Index | (176) | 06/18/24 | (2,842,136 | ) | (2,937 | ) |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
March 31, 2024 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
FUTURES CONTRACTS (continued)
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||
| ||||||||||||
Short position contracts: (continued) | ||||||||||||
Corn | (249) | 05/14/24 | $ | (5,502,900 | ) | $ | 4,341 | |||||
FTSE/JSE Top 40 Index | (49) | 06/20/24 | (1,783,222 | ) | (44,921 | ) | ||||||
Ice 3M Sonia Index | (17) | 12/17/24 | (5,112,827 | ) | (4,465 | ) | ||||||
Ice 3M Sonia Index | (13) | 09/17/24 | (3,898,528 | ) | (2,675 | ) | ||||||
Ice 3M Sonia Index | (13) | 03/18/25 | (3,921,704 | ) | (5,704 | ) | ||||||
Ice 3M Sonia Index | (8) | 06/17/25 | (2,419,794 | ) | (3,328 | ) | ||||||
Ice 3M Sonia Index | (5) | 09/16/25 | (1,515,526 | ) | (2,297 | ) | ||||||
Lead | (104) | 05/13/24 | (5,318,534 | ) | 13,111 | |||||||
Lead | (88) | 04/15/24 | (4,470,224 | ) | 8,356 | |||||||
LME Nickel | (47) | 04/15/24 | (4,680,360 | ) | (183,075 | ) | ||||||
Lme Nickel Future May24 Xlme 20240513 | (29) | 05/13/24 | (2,899,214 | ) | 109,685 | |||||||
LME Zinc | (54) | 05/13/24 | (3,267,931 | ) | 117,714 | |||||||
LME Zinc | (68) | 04/15/24 | (4,086,256 | ) | (77,753 | ) | ||||||
Natural Gas | (236) | 04/26/24 | (4,160,680 | ) | 301,959 | |||||||
Primary Aluminum | (55) | 05/13/24 | (3,191,348 | ) | (108,561 | ) | ||||||
Primary Aluminum | (72) | 04/15/24 | (4,152,456 | ) | (187,190 | ) | ||||||
S&P 500 E-Mini Index | (268) | 06/21/24 | (71,133,900 | ) | (1,629,773 | ) | ||||||
Soybean Oil | (96) | 05/14/24 | (5,719,200 | ) | (24,892 | ) | ||||||
Sugar 11 | (31) | 04/30/24 | (781,894 | ) | (37,248 | ) | ||||||
Wheat | (133) | 05/14/24 | (3,725,662 | ) | 191,724 | |||||||
| ||||||||||||
Total | $ | (1,892,261 | ) | |||||||||
| ||||||||||||
TOTAL FUTURES CONTRACTS | $ | 8,111,733 | ||||||||||
|
SWAP CONTRACTS — At March 31, 2024, the Fund had the following swap contracts:
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS
Referenced Obligation/Index | Financing Rate Received/(Paid) by the Fund(a) | Credit Spread at March 31, 2024(b) | Termination Date | Notional Amount (000s) | Value | Upfront Premiums (Received) Paid | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
| ||||||||||||||||||||||||||||
Protection Sold: | ||||||||||||||||||||||||||||
CDX.NA.HY Ind 41 | 5.000% | 3.108% | 12/20/28 | $ | — | $ | 15,182 | $ | 1,384 | $ | 13,798 | |||||||||||||||||
CDX.NA.HY Ind 42 | 5.000 | 3.280 | 06/20/29 | 43,850 | 3,214,205 | 3,159,393 | 54,812 | |||||||||||||||||||||
CDX.NA.IG Ind 42 | 1.000 | 0.511 | 06/20/29 | 198,600 | 4,567,429 | 4,543,214 | 24,215 | |||||||||||||||||||||
ICE CD ITXEB 41 | 1.000 | 0.543 | 06/20/29 | EUR | 184,000 | 4,443,220 | 4,490,604 | (47,384 | ) | |||||||||||||||||||
ICE CD ITXEX 41 | 5.000 | 2.975 | 06/20/29 | 20,200 | 1,959,145 | 2,048,174 | (89,029 | ) | ||||||||||||||||||||
| ||||||||||||||||||||||||||||
TOTAL | $ | 14,199,181 | $ | 14,242,769 | $ | (43,588 | ) | |||||||||||||||||||||
|
(a) | Payments made quarterly. |
(b) | Credit spread on the referenced obligation, together with the term of the swap contract, are indicators of payment/performance risk. The likelihood of a credit event occurring which would require a fund or its counterparty to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and the term of the swap contract increase. |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
March 31, 2024 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS
Reference Obligation/Index(a) | Financing Rate Paid/(Received) by the Fund | Counterparty | Termination Date# | Notional Amount (000s) | Unrealized Application/ (Depreciation)* | |||||||||||
| ||||||||||||||||
M1WO Index | 12M SOFR-0.150% | Bank of America Securities LLC | 01/13/25 | $ | 60,684 | $ | (1,276,320 | ) | ||||||||
TUKXG Index | 12M SONIA+0.020 | Bank of America Securities LLC | 06/11/24 | GBP | 350 | (12,630 | ) | |||||||||
TUKXG Index | 12M SOFR+0.230 | Bank of America Securities LLC | 02/11/25 | GBP | 20,908 | (753,624 | ) | |||||||||
AMZX Index | 12M SOFR+0.047 | JPMorgan Securities, Inc. | 12/11/24 | 9,151 | 186,542 | |||||||||||
BCOMRS Index | 1W BCOMRS | JPMorgan Securities, Inc. | 06/07/24 | 6,258 | 55,294 | |||||||||||
JPGSGLHN Index | 12M SOFR-0.010 | JPMorgan Securities, Inc. | 11/22/24 | 61,582 | 766,128 | |||||||||||
JPGSGLMN Index | 12M SOFR+0.0025 | JPMorgan Securities, Inc. | 05/22/24 | 22,285 | 555,908 | |||||||||||
JPGSGLTN Index | 12M SOFR+0.018 | JPMorgan Securities, Inc. | 11/22/24 | 41,604 | 860,166 | |||||||||||
JPGSMARB Index | 12M SOFR+0.089 | JPMorgan Securities, Inc. | 07/30/24 | 44,127 | (39,797 | ) | ||||||||||
M1WO Index | 12M SOFR+0.070 | JPMorgan Securities, Inc. | 02/26/25 | 110,469 | (2,320,246 | ) | ||||||||||
M1WO Index | 12M SOFR+0.120 | JPMorgan Securities, Inc. | 03/11/25 | 54,856 | (1,093,260 | ) | ||||||||||
Russell 1000 TR Index | 12M SOFR+0.470 | JPMorgan Securities, Inc. | 02/04/25 | 107,068 | (2,783,486 | ) | ||||||||||
SXXGT Index | 1M EURO+0.160 | JPMorgan Securities, Inc. | 06/19/24 | EUR | 87,115 | (2,154,019 | ) | |||||||||
TUKXG Index | 12M SONIA+0.360 | JPMorgan Securities, Inc. | 03/17/25 | GBP | 6,702 | (222,189 | ) | |||||||||
| ||||||||||||||||
TOTAL | $ | (8,231,533 | ) | |||||||||||||
|
# | The Fund pays/receives annual coupon payments in accordance with the swap contract(s). On the termination date of the swap contract(s), the Fund will either receive from or pay to the counterparty an amount equal to the net of the accrued financing fees and the value of the reference security subtracted from the original notional cost (notional multiplied by the price change of the reference security, converted to U.S. Dollars). |
* | There are no upfront payments on the swap contracts, therefore the unrealized gain (loss) on the swap contracts is equal to their market value. |
(a) | Payments made monthly. |
A basket (JPGSGLHN) of common stocks | ||||||||||||||
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
| ||||||||||||||
Bayer AG | Health Care | 129 | $ | 3,682 | 0.4 | |||||||||
Biogen Inc | Health Care | 18 | 3,816 | 0.4 | ||||||||||
Moderna Inc | Health Care | 41 | 4,317 | 0.5 | ||||||||||
GE HealthCare Technologies Inc | Health Care | 50 | 4,500 | 0.5 | ||||||||||
Cencora Inc | Health Care | 20 | 4,914 | 0.6 | ||||||||||
Alcon Inc | Health Care | 68 | 5,062 | 0.6 | ||||||||||
Centene Corp | Health Care | 65 | 5,123 | 0.6 | ||||||||||
Humana Inc | Health Care | 15 | 5,176 | 0.6 | ||||||||||
Agilent Technologies Inc | Health Care | 36 | 5,208 | 0.6 | ||||||||||
Hoya Corp | Health Care | — | 5,309 | 0.6 | ||||||||||
Takeda Pharmaceutical Co Ltd | Health Care | 1 | 5,345 | 0.6 | ||||||||||
Lonza Group AG | Health Care | 10 | 5,453 | 0.6 | ||||||||||
IDEXX Laboratories Inc | Health Care | 10 | 5,477 | 0.6 | ||||||||||
IQVIA Holdings Inc | Health Care | 22 | 5,637 | 0.6 | ||||||||||
Dexcom Inc | Health Care | 47 | 6,531 | 0.7 | ||||||||||
Edwards Lifesciences Corp | Health Care | 74 | 7,079 | 0.8 | ||||||||||
Daiichi Sankyo Co Ltd | Health Care | 2 | 7,509 | 0.8 | ||||||||||
EssilorLuxottica SA | Health Care | 38 | 7,899 | 0.9 | ||||||||||
HCA Healthcare Inc | Health Care | 24 | 8,069 | 0.9 | ||||||||||
McKesson Corp | Health Care | 16 | 8,617 | 1.0 | ||||||||||
Becton Dickinson & Co | Health Care | 35 | 8,732 | 1.0 | ||||||||||
Zoetis Inc | Health Care | 56 | 9,489 | 1.1 | ||||||||||
GSK PLC | Health Care | 6 | 10,800 | 1.2 | ||||||||||
CSL Ltd | Health Care | 39 | 11,088 | 1.3 | ||||||||||
Gilead Sciences Inc | Health Care | 152 | 11,148 | 1.3 | ||||||||||
Boston Scientific Corp | Health Care | 179 | 12,255 | 1.4 | ||||||||||
CVS Health Corp | Health Care | 154 | 12,260 | 1.4 | ||||||||||
Regeneron Pharmaceuticals Inc | Health Care | 13 | 12,420 | 1.4 | ||||||||||
Cigna Group/The | Industrials | 36 | 12,976 | 1.5 | ||||||||||
Vertex Pharmaceuticals Inc | Health Care | 31 | 13,157 | 1.5 | ||||||||||
Sanofi SA | Health Care | 147 | 13,345 | 1.5 | ||||||||||
Bristol-Myers Squibb Co | Health Care | 249 | 13,478 | 1.5 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
March 31, 2024 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
A basket (JPGSGLHN) of common stocks (continued)
Common Stocks | Sector | Shares | Value | Weight | ||||||||||
| ||||||||||||||
Medtronic PLC | Health Care | 162 | $ | 14,154 | 1.6 | |||||||||
Stryker Corp | Health Care | 41 | 14,781 | 1.7 | ||||||||||
Elevance Health Inc | Health Care | 29 | 14,881 | 1.7 | ||||||||||
Intuitive Surgical Inc | Health Care | 43 | 17,174 | 1.9 | ||||||||||
Amgen Inc | Health Care | 65 | 18,579 | 2.1 | ||||||||||
Pfizer Inc | Health Care | 690 | 19,138 | 2.2 | ||||||||||
Danaher Corp | Health Care | 80 | 20,059 | 2.3 | ||||||||||
Roche Holding AG | Health Care | 95 | 21,874 | 2.5 | ||||||||||
Abbott Laboratories | Health Care | 212 | 24,101 | 2.7 | ||||||||||
Novartis AG | Health Care | 281 | 24,544 | 2.8 | ||||||||||
AstraZeneca PLC | Health Care | 2 | 25,532 | 2.9 | ||||||||||
Thermo Fisher Scientific Inc | Health Care | 47 | 27,428 | 3.1 | ||||||||||
AbbVie Inc | Health Care | 216 | 39,269 | 4.4 | ||||||||||
Merck & Co Inc | Health Care | 310 | 40,840 | 4.6 | ||||||||||
Johnson & Johnson | Health Care | 294 | 46,512 | 5.3 | ||||||||||
Novo Nordisk A/S | Health Care | 57 | 50,312 | 5.7 | ||||||||||
UnitedHealth Group Inc | Health Care | 113 | 55,887 | 6.3 | ||||||||||
Eli Lilly & Co | Health Care | 82 | 63,843 | 7.2 | ||||||||||
A basket (JPGSMARB) of common stocks | ||||||||||||||
Capri Holdings Ltd | Consumer Discretionary | 73 | 3,318 | 5.4 | ||||||||||
Hawaiian Holdings Inc | Industrials | 251 | 3,346 | 5.5 | ||||||||||
iRobot Corp | Consumer Discretionary | 382 | 3,346 | 5.5 | ||||||||||
Cerevel Therapeutics Holdings Inc | Health Care | 80 | 3,369 | 5.5 | ||||||||||
CSR Ltd | Industrials | 382 | 3,370 | 5.5 | ||||||||||
Inhibrx Inc | Health Care | 96 | 3,370 | 5.5 | ||||||||||
Masonite International Corp | Real Estate | 26 | 3,374 | 5.5 | ||||||||||
Altium Ltd | Information Technology | 52 | 3,376 | 5.5 | ||||||||||
MDC Holdings Inc | Real Estate | 54 | 3,379 | 5.5 | ||||||||||
Everbridge Inc | Information Technology | 97 | 3,379 | 5.5 | ||||||||||
American Equity Investment Life Holding Co | Financials | 60 | 3,382 | 5.6 | ||||||||||
Axonics Inc | Health Care | 49 | 3,386 | 5.6 | ||||||||||
MorphoSys AG | Health Care | 50 | 3,390 | 5.6 | ||||||||||
Catalent Inc | Health Care | 60 | 3,403 | 5.6 | ||||||||||
Juniper Networks Inc | Information Technology | 92 | 3,405 | 5.6 | ||||||||||
ANSYS Inc | Information Technology | 10 | 3,420 | 5.6 | ||||||||||
McGrath RentCorp | Industrials | 28 | 3,446 | 5.7 | ||||||||||
United States Steel Corp | Industrials | 85 | 3,461 | 5.7 | ||||||||||
|
PURCHASED AND WRITTEN OPTIONS CONTRACTS — At March 31, 2024, the Fund had the following purchased and written options:
EXCHANGE TRADED INDEX OPTIONS
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
| ||||||||||||||||||||||||||||
Purchased option contracts | ||||||||||||||||||||||||||||
Calls | ||||||||||||||||||||||||||||
CBOE Volatility Index | $ | 18.00 | 04/17/2024 | 1,610 | $ | 2,898,000 | $ | 48,300 | $ | 325,220 | $ | (276,920 | ) | |||||||||||||||
CBOE Volatility Index | 19.00 | 05/22/2024 | 1,530 | 2,907,000 | 137,700 | 270,810 | (133,110 | ) | ||||||||||||||||||||
CBOE Volatility Index | 18.00 | 06/18/2024 | 1,760 | 3,168,000 | 270,160 | 292,160 | (22,000 | ) | ||||||||||||||||||||
| ||||||||||||||||||||||||||||
4,900 | $ | 8,973,000 | $ | 456,160 | $ | 888,190 | $ | (432,030 | ) | |||||||||||||||||||
| ||||||||||||||||||||||||||||
Puts | ||||||||||||||||||||||||||||
S&P 500 Index | 4,650.00 | 04/30/2024 | 8 | 3,720,000 | 2,640 | 6,016 | (3,376 | ) | ||||||||||||||||||||
S&P 500 Index | 4,480.00 | 04/30/2024 | 4 | 1,792,000 | 940 | 3,204 | (2,264 | ) |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
March 31, 2024 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
EXCHANGE TRADED INDEX OPTIONS (continued)
Description | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||||
| ||||||||||||||||||||||||||||
Purchased option contracts (continued) |
| |||||||||||||||||||||||||||
Puts (continued) |
| |||||||||||||||||||||||||||
S&P 500 Index | $ | 4,690.00 | 04/30/2024 | 11 | $ | 5,159,000 | $ | 3,960 | $ | 7,711 | $ | (3,751 | ) | |||||||||||||||
S&P 500 Index | 4,780.00 | 04/30/2024 | 14 | 6,692,000 | 6,440 | 7,434 | (994 | ) | ||||||||||||||||||||
| ||||||||||||||||||||||||||||
37 | $ | 17,363,000 | $ | 13,980 | $ | 24,365 | $ | (10,385 | ) | |||||||||||||||||||
| ||||||||||||||||||||||||||||
Total purchased option contracts |
| 4,937 | $ | 26,336,000 | $ | 470,140 | $ | 912,555 | $ | (442,415 | ) | |||||||||||||||||
| ||||||||||||||||||||||||||||
Written option contracts | ||||||||||||||||||||||||||||
Puts | ||||||||||||||||||||||||||||
S&P 500 Index | 5,085.00 | 04/30/2024 | (4) | (2,034,000 | ) | (7,340 | ) | (26,836 | ) | 19,496 | ||||||||||||||||||
S&P 500 Index | 5,185.00 | 04/30/2024 | (8) | (4,148,000 | ) | (28,400 | ) | (60,024 | ) | 31,624 | ||||||||||||||||||
S&P 500 Index | 5,180.00 | 04/30/2024 | (11) | (5,698,000 | ) | (37,730 | ) | (76,938 | ) | 39,208 | ||||||||||||||||||
| ||||||||||||||||||||||||||||
Total written option contracts | (23) | (11,880,000 | ) | $ | (73,470 | ) | $ | (163,798 | ) | $ | 90,328 | |||||||||||||||||
| ||||||||||||||||||||||||||||
TOTAL | 4,914 | $ | 14,456,000 | $ | 396,670 | $ | 748,757 | $ | (352,087 | ) | ||||||||||||||||||
| ||||||||||||||||||||||||||||
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 contract | ||||||||||||||||||||||||||||
Puts | ||||||||||||||||||||||||||||
S&P 500 Index | $ | 5,205.000 | 04/30/2024 | (14) | $ | (7,287,000 | ) | $ | (56,980 | ) | $ | (74,073 | ) | $ | 17,093 | |||||||||||||
| ||||||||||||||||||||||||||||
Total written option contract | (14) | $ | (7,287,000 | ) | $ | (56,980 | ) | $ | (74,073 | ) | $ | 17,093 | ||||||||||||||||
|
| ||
Currency Abbreviations: | ||
AUD | — Australian Dollar | |
CAD | — Canadian Dollar | |
CHF | — Swiss Franc | |
CLP | — Chilean Peso | |
CZK | — Czech Republic Koruna | |
EUR | — Euro | |
GBP | — British Pound | |
IDR | — Indonesia Rupiah | |
INR | — Indian Rupee | |
JPY | — Japanese Yen | |
KRW | — South Korean Won | |
MXN | — Mexican Peso | |
PLN | — Polish Zloty | |
TWD | — Taiwan 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 |
GOLDMAN SACHS ABSOLUTE RETURN TRACKER FUND
Consolidated Schedule of Investments (continued)
March 31, 2024 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
Abbreviations: | ||
CDX.NA.HY Ind 41 | — CDX North America High Yield Index 41 | |
CDX.NA.HY Ind 42 | — CDX North America High Yield Index 42 | |
CDX.NA.IG Ind 42 | — CDX North America Investment Grade Index 42 | |
ICE | — Inter-Continental Exchange | |
ICE CD ITXEB | — iTraxx Europe Index | |
ICE CD ITXEB 41 | — iTraxx Europe Index 41 | |
ICE CD ITXEX | — iTraxx Europe Crossover Index | |
ICE CD ITXEX 41 | — iTraxx Europe Crossover Index 41 | |
SONIA | — Sterling Overnight Index Average | |
|
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Schedule of Investments
March 31, 2024 (Unaudited)
Shares | Dividend Rate | Value | ||||||||||
Investment Company(a) – 17.3% | ||||||||||||
Goldman Sachs Financial Square Government Fund — Institutional Shares | ||||||||||||
70,443,051 | 5.211% | $ 70,443,051 | ||||||||||
(Cost $70,443,051) | ||||||||||||
| ||||||||||||
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||
Short-term Investments(b) – 86.0% | ||||||||||||
U.S. Treasury Obligations – 86.0% | ||||||||||||
U.S. Treasury Bills |
| |||||||||||
$ | 35,000,000 | 0.000 | % | 04/04/24 | $ 34,984,686 | |||||||
11,400,000 | 0.000 | (c) | 04/09/24 | 11,386,716 | ||||||||
13,000,000 | 0.000 | 04/11/24 | 12,981,138 | |||||||||
12,000,000 | 0.000 | 05/21/24 | 11,912,471 | |||||||||
87,000,000 | 0.000 | 05/23/24 | 86,342,719 | |||||||||
113,200,000 | 0.000 | 05/30/24 | 112,224,499 | |||||||||
2,000,000 | 0.000 | 06/06/24 | 1,980,887 | |||||||||
48,000,000 | 0.000 | 06/11/24 | 47,508,773 | |||||||||
32,200,000 | 0.000 | (c) | 07/09/24 | 31,740,564 | ||||||||
| ||||||||||||
TOTAL SHORT-TERM INVESTMENTS (Cost $351,077,871) | $351,062,453 | |||||||||||
| ||||||||||||
TOTAL INVESTMENTS – 103.3% (Cost $421,520,922) | $421,505,504 | |||||||||||
| ||||||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – (3.3)% | (13,339,587) | |||||||||||
| ||||||||||||
NET ASSETS – 100.0% | $408,165,917 | |||||||||||
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets.
(a) | Represents an Affiliated Issuer. |
(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. |
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Schedule of Investments (continued)
March 31, 2024 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS — At March 31, 2024, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||
| ||||||||||||
Long position contracts: | ||||||||||||
Brent Crude | 458 | 04/30/24 | $ | 39,846,000 | $ | 391,797 | ||||||
Cocoa | 24 | 12/13/24 | 1,807,920 | 31,250 | ||||||||
Copper | 35 | 05/29/24 | 3,506,125 | 244,870 | ||||||||
Corn | 59 | 07/12/24 | 1,340,775 | 2,052 | ||||||||
Gasoline RBOB | 14 | 04/30/24 | 1,599,713 | (10,826 | ) | |||||||
Gold | 157 | 06/26/24 | 35,142,880 | 923,489 | ||||||||
KC HRW Wheat | 300 | 05/14/24 | 8,778,750 | (94,061 | ) | |||||||
Lean Hogs | 36 | 06/14/24 | 1,460,880 | 96,746 | ||||||||
LME Lead | 56 | 06/17/24 | 2,873,528 | 10,079 | ||||||||
LME PRI | 32 | 06/17/24 | 1,867,712 | 66,236 | ||||||||
LME Zinc | 287 | 06/17/24 | 17,472,345 | (831,588 | ) | |||||||
Low Sulphur Gas Oil | 171 | 04/11/24 | 13,970,700 | (99,150 | ) | |||||||
Natural Gas | 673 | 04/26/24 | 11,864,990 | (543,818 | ) | |||||||
Nickel | 111 | 06/17/24 | 11,149,053 | 169,860 | ||||||||
NY Harbor ULSD | 24 | 04/30/24 | 2,643,682 | (121,031 | ) | |||||||
Platinum | 45 | 07/29/24 | 2,072,475 | 20,295 | ||||||||
Silver | 163 | 05/29/24 | 20,306,540 | 1,426,210 | ||||||||
Soybean | 11 | 07/12/24 | 662,888 | 7,395 | ||||||||
Soybean | 365 | 05/14/24 | 12,326,050 | (60,392 | ) | |||||||
Soybean Oil | 431 | 05/14/24 | 12,399,870 | 282,850 | ||||||||
Wheat | 123 | 05/14/24 | 3,445,538 | (230,027 | ) | |||||||
| ||||||||||||
Total | $ | 1,682,236 | ||||||||||
| ||||||||||||
Short position contracts: | ||||||||||||
Cocoa | (312) | 09/13/24 | (26,825,760 | ) | (8,788,288 | ) | ||||||
Cocoa | (24) | 07/16/24 | (2,233,440 | ) | (29,775 | ) | ||||||
Coffee | (2) | 09/18/24 | (140,700 | ) | (3,305 | ) | ||||||
Corn | (285) | 09/13/24 | (6,619,125 | ) | (205,293 | ) | ||||||
Cotton No.2 | (334) | 12/06/24 | (14,026,330 | ) | (122,056 | ) | ||||||
FCOJ-A | (19) | 07/11/24 | (1,024,148 | ) | (68,264 | ) | ||||||
FCOJ-A | (37) | 05/10/24 | (2,016,038 | ) | (134,108 | ) | ||||||
FCOJ-A | (12) | 09/10/24 | (640,170 | ) | (16,990 | ) | ||||||
Gasoline RBOB | (87) | 07/31/24 | (9,465,322 | ) | (531,654 | ) | ||||||
Live Cattle | (9) | 06/28/24 | (648,900 | ) | (31,862 | ) | ||||||
Live Cattle | (164) | 08/30/24 | (11,689,920 | ) | 278,573 | |||||||
Live Cattle | (38) | 12/31/24 | (2,822,260 | ) | 66,019 | |||||||
LME Lead | (25) | 06/17/24 | (1,282,825 | ) | 24,915 | |||||||
LME PRI | (89) | 06/17/24 | (5,194,574 | ) | (227,468 | ) | ||||||
LME Zinc | (98) | 06/17/24 | (5,966,167 | ) | 194,156 | |||||||
Natural Gas | (438) | 07/29/24 | (10,695,960 | ) | 583,175 | |||||||
Nickel | (43) | 06/17/24 | (4,319,003 | ) | 335,082 | |||||||
NY Harbor ULSD | (103) | 07/31/24 | (11,325,035 | ) | (280,596 | ) | ||||||
Robusta Coffee | (377) | 07/25/24 | (12,802,920 | ) | (744,424 | ) | ||||||
Soybean | (44) | 11/14/24 | (2,609,750 | ) | (101,486 | ) | ||||||
Soybean Oil | (1) | 05/14/24 | (59,575 | ) | 222 | |||||||
Sugar 11 | (148) | 04/30/24 | (3,732,915 | ) | 45,375 | |||||||
WTI Crude | (737) | 07/22/24 | (59,615,930 | ) | (3,514,454 | ) | ||||||
| ||||||||||||
Total | $ | (13,272,506 | ) | |||||||||
| ||||||||||||
TOTAL FUTURES CONTRACTS | $ | (11,590,270 | ) | |||||||||
|
GOLDMAN SACHS COMMODITY STRATEGY FUND
Consolidated Schedule of Investments (continued)
March 31, 2024 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
SWAP CONTRACTS — At March 31, 2024, the Fund had the following swap contracts:
OVER THE COUNTER TOTAL RETURN SWAP CONTRACTS#
Reference Obligation/Index(a) | Financing Rate Paid/(Received) by the Fund | Counterparty | Termination Date | Notional Amount (000s) | Unrealized Application/ (Depreciation)* | |||||||||||||
| ||||||||||||||||||
CRB 3M Forward Index | 1 mo. U.S. Treasury Bill Rate+0.24% | Citibank NA | 01/31/25 | $ | 74,745 | $ | (45,428 | ) | ||||||||||
CRB Future Index | 1 mo. U.S. Treasury Bill Rate+0.21 | Citibank NA | 01/31/25 | 48,334 | (29,215 | ) | ||||||||||||
CRB 3M Forward Index | 1 mo. U.S. Treasury Bill Rate+0.25 | Merrill Lynch International Bank Ltd. | 01/31/25 | 36,876 | (22,453 | ) | ||||||||||||
CRB Future Index | 1 mo. U.S. Treasury Bill Rate+0.21 | Merrill Lynch International Bank Ltd. | 01/31/25 | 51,452 | (31,100 | ) | ||||||||||||
CRB 3M Forward Index | 1 mo. U.S. Treasury Bill Rate+0.25 | UBS AG (London) | 01/31/25 | 184,090 | (112,091 | ) | ||||||||||||
| ||||||||||||||||||
TOTAL | $ | (240,287 | ) | |||||||||||||||
|
# | The Fund pays/receives annual coupon payments in accordance with the swap contract(s). On the termination date of the swap contract(s), the Fund will either receive from or pay to the counterparty an amount equal to the net of the accrued financing fees and the value of the reference security subtracted from the original notional cost (notional multiplied by the price change of the reference security, converted to U.S. Dollars). |
* | There are no upfront payments on the swap contracts, therefore the unrealized gain (loss) on the swap contracts is equal to their market value. |
(a) | Payments made monthly. |
| ||
Currency Abbreviations: | ||
USD | — U.S. Dollar | |
|
GOLDMAN SACHS ALTERNATIVE FUNDS II
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS
Investment Valuation — The Funds’ valuation policy is to value investments at fair value.
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.
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 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.
GOLDMAN SACHS ALTERNATIVE FUNDS II
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
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 Fund’s shares will correspondingly fluctuate in value. Underlying Funds are generally classified as Level 1 of the fair value hierarchy. To the extent that underlying ETFs are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
Debt Securities — Debt securities for which market quotations are readily available are valued daily on the basis of quotations supplied by dealers or an independent pricing service approved by the Trustees. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. With the exception of treasury securities of G7 countries, which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.
Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. A Fund enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers. For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral received, if any, is reported separately on the 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 Schedules of Investments.
Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence of two-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Forward Contracts — A forward contract is a contract between two parties to buy or sell an asset at a specified price on a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts are marked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be used to collateralize forward contracts.
A forward foreign currency exchange contract is a forward contract in which 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.
GOLDMAN SACHS ALTERNATIVE FUNDS II
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
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 generally 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.
A credit default swap is an agreement that involves one party (the buyer of protection) making a stream of payments to another party (the seller of protection) in exchange for the right to receive protection on a reference security or obligation, including a group of assets or exposure to the performance of an index. A Fund’s investment in credit default swaps may involve greater risks than if the Fund had invested in the referenced obligation directly. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. If a Fund buys protection through a credit default swap and no credit event occurs, its payments are limited to the periodic payments previously made to the counterparty. Upon the occurrence of a specified credit event, a Fund, as a buyer of credit protection, is entitled to receive an amount equal to the notional amount of the swap and deliver to the seller the defaulted reference obligation in a physically settled trade. A Fund may also receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade.
As a seller of protection, a Fund generally receives a payment stream throughout the term of the swap, provided that there is no credit event. In addition, if a Fund sells protection through a credit default swap, a Fund could suffer a loss because the value of the referenced obligation and the premium payments received may be less than the notional amount of the swap paid to the buyer of protection. Upon the occurrence of a specified credit event, a Fund, as a seller of credit protection, may be required to take possession of the defaulted reference obligation and pay the buyer an amount equal to the notional amount of the swap in a physically settled trade. A Fund may also pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade. Recovery values are at times established through the credit event auction process in which market participants are ensured that a transparent price has been set for the defaulted security or obligation. In addition, a Fund is entitled to a return of any assets, which have been pledged as collateral to the counterparty upon settlement.
GOLDMAN SACHS ALTERNATIVE FUNDS II
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
The maximum potential amount of future payments (undiscounted) that a Fund as seller of protection could be required to make under a credit default swap would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations or net amounts received from a settlement of a credit default swap for the same reference security or obligation where a Fund bought credit protection.
A total return swap is an agreement that gives a Fund the right to receive the appreciation or depreciation, as applicable, in the value of a specified security, an index, a basket of securities or indices, or other instrument in return for a fee paid to the counterparty, which will typically be an agreed upon interest rate. If the underlying asset declines in value over the term of the swap, a Fund may also be required to pay the dollar value of that decline to the counterparty.
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 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.
Fair Value Hierarchy — The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of March 31, 2024:
ABSOLUTE RETURN TRACKER | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Asia | $ | 262,901 | $ | 30,517,566 | $ | — | ||||||
Australia and Oceania | 683,795 | — | — | |||||||||
Europe | 35,115,988 | 130,363,958 | — | |||||||||
North America | 1,051,426,975 | 210,561 | — | |||||||||
Fixed Income | ||||||||||||
U.S. Treasury Obligations | 97,871,939 | — | — | |||||||||
Preferred Stocks | — | 1,284,515 | — | |||||||||
Exchange Traded Funds | 876,524,264 | — | — | |||||||||
Investment Company | 1,970,705,161 | — | — | |||||||||
Total | $ | 4,032,591,023 | $ | 162,376,600 | $ | — | ||||||
Derivative Type | ||||||||||||
Assets | ||||||||||||
Exchange Traded Index Options | $ | 470,140 | $ | — | $ | — | ||||||
Forward Foreign Currency Exchange Contracts(b) | — | 3,343,666 | — | |||||||||
Futures Contracts(b) | 12,631,232 | — | — | |||||||||
Credit Default Swap Contracts(b) | — | 92,825 | — | |||||||||
Total Return Swap Contracts(b) | — | 2,424,037 | — | |||||||||
Total | $ | 13,101,372 | $ | 5,860,528 | $ | — |
GOLDMAN SACHS ALTERNATIVE FUNDS II
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
ABSOLUTE RETURN TRACKER (continued) | ||||||||||||
Derivative Type | Level 1 | Level 2 | Level 3 | |||||||||
Liabilities | ||||||||||||
Forward Foreign Currency Exchange Contracts(b) | $ | — | $ | (147,498 | ) | $ | — | |||||
Futures Contracts(b) | (4,519,499 | ) | — | — | ||||||||
Credit Default Swap Contracts(b) | — | (136,413 | ) | — | ||||||||
Total Return Swap Contracts(b) | — | (10,655,571 | ) | — | ||||||||
Written Option Contracts | (130,450 | ) | — | — | ||||||||
Total | $ | (4,649,949 | ) | $ | (10,939,482 | ) | $ | — | ||||
COMMODITY STRATEGY | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Investment Company | $ | 70,443,051 | $ | — | $ | — | ||||||
Short-term Investments | 351,062,453 | — | — | |||||||||
Total | $ | 421,505,504 | $ | — | $ | — | ||||||
Derivative Type | ||||||||||||
Assets(b) | ||||||||||||
Futures Contracts | $ | 5,200,646 | $ | — | $ | — | ||||||
Liabilities(b) | ||||||||||||
Futures Contracts | $ | (16,790,916 | ) | $ | — | $ | — | |||||
Total Return Swap Contracts | — | (240,287 | ) | — | ||||||||
Total | $ | (16,790,916 | ) | $ | (240,287 | ) | $ | — |
(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. |
For further information regarding security characteristics, see the Schedules of Investments.
The Funds’ risks include, but are not limited to, the following:
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 the Funds. 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 obligation, 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.
GOLDMAN SACHS ALTERNATIVE FUNDS II
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government regulation; less public information; less stringent investor protections; less stringent accounting, corporate governance, financial reporting and disclosure standards; and less economic, political and social stability in the countries in which a Fund invests. The imposition of sanctions, exchange controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or from problems in registration, settlement or custody, may also result in losses. The type and severity of sanctions and other similar measures, including counter sanctions and other retaliatory actions, that may be imposed could vary broadly in scope, and their impact is impossible to predict. For example, the imposition of sanctions and other similar measures could, among other things, cause a decline in the value and/or liquidity of securities issued by the sanctioned country or companies located in or economically tied to the sanctioned country and increase market volatility and disruption in the sanctioned country and throughout the world. Sanctions and other similar measures could limit or prevent a Fund from buying and selling securities (in the sanctioned country and other markets), significantly delay or prevent the settlement of securities transactions, and significantly impact a Fund’s liquidity and performance. Foreign risk also involves the risk of negative foreign currency exchange rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which a Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that a Fund also invests in securities of issuers located in, or economically tied to, emerging markets, these risks may be more pronounced.
Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by 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 Other Investment Companies Risk — As a shareholder of another investment company, including an ETF, a Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund. ETFs are subject to risks that do not apply to conventional mutual funds, including but not limited to the following: (i) the market price of the ETF’s shares may trade at a premium or a discount to their NAV; and (ii) an active trading market for an ETF’s shares may not develop or be maintained.
Large Shareholder Transactions Risk — A Fund may experience adverse effects when certain large shareholders, such as other funds, institutional investors (including those trading by use of non-discretionary mathematical formulas), financial intermediaries (who may make investment decisions on behalf of underlying clients and/or include a Fund in their investment model), individuals, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of a Fund. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may cause a Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact a Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in a Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the extent that the Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.
GOLDMAN SACHS ALTERNATIVE FUNDS II
Schedule of Investments (continued)
March 31, 2024 (Unaudited)
NOTES TO THE SCHEDULE OF INVESTMENTS (continued)
Liquidity Risk — A Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Fund will not be able to pay redemption proceeds within the allowable time period 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. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income funds may be higher than normal, potentially causing increased supply in the market due to selling activity. These risks may be more pronounced in connection with the Funds’ investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on a Fund’s liquidity.
Market and Credit Risks — In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). The value of the securities in which a Fund invests 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, the Funds may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Funds have unsettled or open transactions defaults.
Tax Risk — The Funds seek to gain exposure to the commodity markets through investments in the Subsidiaries. The tax treatment of the Funds’ investments in the Subsidiaries could affect whether income derived from such investments is “qualifying income” under Subchapter M of the Internal Revenue Code of 1986, as amended, (the “Code”), or otherwise affect the character, timing and/or amount of the Funds’ taxable income or any gains and distributions made by the Funds. If the IRS were to successfully assert that a Fund’s income from such investments was not “qualifying income,” the Funds may fail to qualify as regulated investment companies (“RIC”) under Subchapter M of the Code if over 10% of their gross income was derived from these investments. If the Funds failed to qualify as RICs, they would be subject to federal and state income tax on all of their 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, Fund shareholders.