UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORMN-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number811-08361
Goldman Sachs Variable Insurance Trust
(Exact name of registrant as specified in charter)
71 South Wacker Drive, Chicago, Illinois 60606-6303
(Address of principal executive offices) (Zip code)
Caroline Kraus
Goldman Sachs & Co. LLC
200 West Street
New York, NY 10282
Copies to:
Geoffrey R.T. Kenyon, Esq.
Dechert LLP
One International Place, 40th Floor
100 Oliver Street
Boston, MA 02110-2605
(Name and address of agents for service)
Registrant’s telephone number, including area code:(312) 655-4400
Date of fiscal year end: December 31
Date of reporting period: December 31, 2019
ITEM 1. | REPORTS TO STOCKHOLDERS. |
The Annual Reports to Shareholders are filed herewith. |
Goldman
SachsVariable Insurance Trust
Goldman Sachs
Global Trends
Allocation Fund
Beginning on or after January 1, 2021, you may not receive paper copies of the Fund’s annual and semi-annual shareholder reports from the insurance company that offers your variable insurance contract or your financial intermediary, unless you specifically request paper copies of the reports from the insurance company or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. At any time, you may elect to receive reports and certain communications from the insurance company electronically by contacting your insurance company or your financial intermediary.
You may elect to receive all future shareholder reports in paper free of charge. You can inform the insurance company or your financial intermediary that you wish to receive paper copies of reports. Your election to receive reports in paper will apply to all Goldman Sachs Funds available under your contract and may apply to all funds held with your financial intermediary.
Annual Report
December 31, 2019
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
INVESTMENT OBJECTIVE
The Fund seeks total return while seeking to provide volatility management.
Portfolio Management Discussion and Analysis
Effective April 30, 2019, the components of the Goldman Sachs Variable Insurance Trust — Goldman Sachs Global Trends Allocation Fund’s (the “Fund”) performance benchmark changed from 60% MSCI World Index (Net, USD, Unhedged) and 40% Bloomberg Barclays U.S. Aggregate Bond Index to 60% MSCI World Index (Net, USD, Hedged) and 40% Bloomberg Barclays U.S. Treasury Composite Index (Total Return, Unhedged, USD). No modifications in the Fund’s investment objective or its principal investment strategy were made in connection with this change.
Below, the Goldman Sachs Quantitative Investment Strategies (“QIS”) Team discusses the Fund’s performance and positioning for the12-month period ended December 31, 2019 (the “Reporting Period”).
How did the Fund perform during the Reporting Period?
During the Reporting Period, the Fund’s Institutional and Service Shares generated average annual total returns of 12.29% and 11.94%, respectively. These returns compare to the 19.64% average annual total return of the Fund’s blended benchmark, the Global Trends Allocation Composite Index (the “Index”), during the same time period. The components of the Fund’s blended benchmark, which is 60% the MSCI World Index (Net, USD, Hedged) and 40% the Bloomberg Barclays U.S. Treasury Composite Index (Total Return, Unhedged, USD), generated average annual total returns of 28.43% and 6.86%, respectively, during the same time period.
To compare, the Fund’s previous blended benchmark returned 20.01% during the Reporting Period. Its components, the MSCI World Index (Net, Hedged, USD) and the Bloomberg Barclays U.S. Aggregate Bond Index, generated average annual total returns of 28.43% and 8.72%, respectively, during the same time period.
Importantly, during the Reporting Period, the Fund’s overall annualized volatility (which is measured versus the S&P 500® Index) was 4.25%, less than the S&P 500® Index’s annualized volatility of 12.34% during the same time period.
What economic and market factors most influenced the Fund during the Reporting Period?
During the Reporting Period, the performance of the capital markets and the Fund were influenced most by economic growth expectations, central bank monetary policy and geopolitical events.
Global equity markets rallied during 2019, rebounding from weakness experienced in 2018. The gains were largely supported by the accommodative stance of the various central banks and by investors’ anticipation that the U.S. China trade war and Brexit negotiations would be resolved. (Brexit is the popular term for the U.K.’s path out of the European Union.)
In the U.S., stocks advanced at the start of the Reporting Period, almost completely recovering from asell-off at the end of 2018. After four gradual interest rate hikes in 2018, the U.S. Federal Reserve (the “Fed”) cut interest rates three times in 2019 in an effort to keep the U.S. economic expansion intact amid trade uncertainties. The trade war between the U.S. and China pressured macroeconomic indicators throughout the first half of the calendar year but did little to suppress a resilient consumer, which ultimately outweighed manufacturing weakness. By the fourth quarter of 2019, U.S. stock returns accelerated with an uptick of U.S. manufacturing and service sector business surveys as well as a consistently strong labor market. The U.S. added more than 200,000 jobs in November 2019, double the break-even pace of long-term job growth. These developments helped restore market confidence, while fundamentals of low core inflation, contained financial imbalance and reduced drag of a trade war fended off imminent recession risk.
In Europe, equities witnessed their best annual performance since 2009, with the STOXX®Europe 600 Index hitting a four-year high in November 2019 and then reaching a new high in late December 2019. During September 2019, the European Central Bank (“ECB”) restarted its quantitative easing measures. The ECB’s multi-dimensional monetary stimulus package is aimed at addressing slowing Eurozone economic growth through deposit rate cuts and the reinstitution of asset purchases. During October 2019, the European Union and the U.K. agreed to a “flextension” arrangement until January 2020 under which the U.K. would be able to leave the European Union earlier than the deadline if a withdrawal agreement was ratified by the European and British Parliaments in time. Brexit negotiations took a turn for the better when the Conservative party won a comfortable majority in the
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GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
mid-December 2019 U.K. Parliamentary elections, clearing the way for the U.K. Prime Minister’s Brexit deal to be ratified before the Article 50 deadline expires on January 31, 2020.
Japanese equities suffered collateral damage from thestand-off between the U.S. and China — two of Japan’s largest trade partners. Japanese equities were also sensitive to weaker global industrial demand during the Reporting Period. However, the Japanese equity market was supported by a recovering domestic economy, stronger capital spending and resilient domestic demand. In the second quarter of 2019, Japan’s nominal Gross Domestic Product hit a record 557.8 trillion yen. In an effort to achieve more fair and reciprocal trade, the U.S. and Japan signed a limited trade deal on agriculture and digital trade in October 2019, a deal that covers about $55 billion worth of commerce between the two economies.
As for emerging markets equities, they were pressured for most of the Reporting Period by continued weakness in Chinese macro data and persistent uncertainty regarding U.S.-China trade talks. They surged during the fourth quarter of 2019, posting a double-digit gain for the Reporting Period overall, as trade tensions declined. In October 2019, the U.S. and China settled on the framework of a “Phase One” deal, with the two sides reaching an agreement in principle on the details inmid-December. The timing of the agreement avoided a proposed tariff hike, scheduled for December 15th, and included a 50% rollback of a September 2019 tariff increase. China also promised to address U.S. concerns about intellectual property practices.
Fixed income, spread, ornon-government bond, sectors broadly advanced during the first quarter of 2019, when the Reporting Period began, as dovish pivots by global central banks boosted investor sentiment and helped fuel rallies in both sovereign government bonds and riskier segments of the fixed income market. (Dovish tends to suggest lower interest rates; opposite of hawkish.) Notably, high yield corporate bonds recorded their strongest start to a calendar year on record. The Fed kept its monetary policy unchanged during the first calendar quarter, with its dot plot projecting no interest rate hikes at all during 2019. (The “dot plot” shows interest rate projections of the members of the Federal Open Market Committee.) Meanwhile, the ECB extended its forward guidance, noting that its interest rates would remain unchanged through 2019. Other developed markets’ central banks—namely, those of Australia, New Zealand and Switzerland — also turned dovish. The U.S. economy continued to benefit from strength in household consumption, which was underpinned by a healthy labor market. The U.S. dollar strengthened relative to many major currencies during the first quarter of 2019.
In the second calendar quarter, most spread sectors recorded gains. The quarter started off on a positive note in April 2019, as developed markets’ central banks kept monetary policy unchanged. In the U.S., the Fed noted that inflation softness might be due to “transitory factors.” The Bank of Japan clarified its forward guidance to signal unchanged monetary policy through the spring of 2020, while the Bank of England (“BoE”) maintained its guidance around interest rate hikes occurring at a gradual pace and to a limited extent. Meanwhile, statements by Sweden’s Riksbank and the Bank of Canada were also somewhat dovish, as they generally focused on risks arising from slower global economic growth. However, in May 2019, spread sectors were challenged by the escalation of U.S.-China trade tensions. That same month, market speculation about possible 2019 Fed rate cuts increased due to an accumulation of factors, including soft inflation, weakness in U.S. economic data, continued global economic growth headwinds from unresolved U.S.-China trade negotiations and weakness in the manufacturing sector. During June 2019, spread sector performance improved on raised prospects of ongoing monetary policy accommodation by global central banks, particularly by the Fed. At its June meeting, the U.S. central bank left interest rates unchanged, but eight of the 12 members on the Federal Open Market Committee projected rate cuts during the 2019 calendar year. In Europe, a dovish speech by outgoing ECB President Mario Draghi signaled forthcoming easing. The U.S. dollar weakened versus many major currencies during the second quarter of 2019.
In the third quarter of 2019, spread sectors generally produced positive returns. Investment grade bonds ended the quarter relatively unchanged, but high yield corporate bonds, agency mortgage-backed securities, external emerging markets debt and local emerging markets debt all notched gains. The outlook for global economic growth appeared to hinge on the outcome of U.S.-China trade negotiations and whether the services sector and household consumption would remain resilient in the face of a continued slowdown in global trade, investment and manufacturing activity. Regarding monetary policy, global central bank easing gained momentum during the third calendar quarter. In July 2019, the Fed delivered its first short-term interest rate cut since 2008, though Fed Chair Jerome Powell described it as a“mid-cycle adjustment.” Policymakers implemented another rate cut in September and announced they would stop trimming the Fed’s balance sheet. Elsewhere, the ECB delivered a package that included a rate cut, resumption of asset purchases, strengthened forward guidance and a tiering mechanism for bank deposits subject to negative interest rates. Emerging markets monetary policy was also broadly dovish, most notably in Turkey where its central bank lowered interest rates in July 2019 and again in September.
During the fourth quarter of 2019, spread sectors posted gains. Accommodative central bank policy, improved investor sentiment toward risk assets, a general election victory for the Conservative Party in the U.K., and the announcement of a “Phase One” trade
2
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
deal between the U.S. and China bolstered spread sector performance. High yield corporate bonds performed particularly well, logging one of their best quarters since 2016. Near the end of October, the Fed cut short-term interest rates for a third time in 2019 and replaced a comment in its statement to “act as appropriate” with a more neutral comment that indicated its policy path would be dependent on the evolution of data and trade developments. In Europe, new ECB president Christine Lagarde’s first public address pointed to policy continuity, as it called for “a new European policy mix” that includes fiscal policy, which she believes could enable monetary policy to achieve its goal “faster and with fewer side effects.”
What key factors were responsible for the Fund’s performance during the Reporting Period?
The Fund primarily seeks to achieve its investment objective by investing in a global portfolio of equity and fixed income asset classes. Under normal market conditions, the Fund expects to invest at least 40% of its assets in equity investments and at least 20% of its assets in fixed income investments. The percentage of the Fund’s portfolio exposed to any asset class or geographic region will vary from time to time as the weightings of the Fund change, and the Fund may not be invested in each asset class at all times.
As part of the Fund’s investment strategy, the Investment Adviser seeks to manage volatility and limit losses by allocating the Fund’s assets away from risky investments in distressed or volatile market environments. Volatility is a statistical measurement of the magnitude of up and down fluctuations in the value of a financial instrument or index. In distressed or volatile market environments, the Fund may also hold significant amounts of U.S. Treasury, short-term or other fixed income investments, including money market funds and repurchase agreements or cash, and at times may invest up to 100% of its assets in such investments.
The Fund continued dynamically allocating across global asset classes during the Reporting Period, using a momentum-based methodology, as it sought total return while also seeking to provide volatility management. Momentum investing seeks growth of capital by gaining exposure to asset classes that have exhibited trends in price performance over selected time periods. In managing the Fund, we use a methodology that evaluates historical three-,six- and nine-month returns, volatilities and correlations across a range of nine global asset classes. Represented by indices, these asset classes include, within the equities category, U.S.large-cap andsmall-cap, European, Asian, emerging markets and U.K. stocks. Within the fixed income category, the Fund may allocate assets to the U.S., Europe and Japan. The analysis of these asset classes drives the aggregate allocations of the Fund over time. We believe market price momentum — either positive or negative — has significant predictive power.
During the Reporting Period, the Fund’s defensive cash positioning detracted significantly from relative performance, as global equities rebounded from declines suffered in the fourth quarter of 2018. For the same reason, the Fund’s allocation to fixed income diminished relative results. On the positive side, the Fund’s allocations to U.S.large-cap stocks and to European, U.K., Japanese and emerging markets equities added to absolute returns. Allocations to German government bonds, U.S. Treasury securities and Japanese government bonds also bolstered absolute performance. The Fund did not have an allocation to U.S.small-cap equities during the Reporting Period.
What was the Fund’s volatility during the Reporting Period?
As part of our investment approach, we seek to mitigate the Fund’s volatility. As mentioned earlier, for the Reporting Period overall, the Fund’s overall annualized volatility was 4.25%, less than the S&P 500® Index’s annualized volatility of 12.34%.
How was the Fund positioned during the Reporting Period?
During the Reporting Period, we tactically managed the Fund’s allocations across equity and fixed income markets based on the momentum and volatility of these asset classes. At the beginning of the Reporting Period, the Fund’s total assets were allocated 19.3% to equities, 38.3% to fixed income and 42.4% to cash. (Many of these positions were implemented through the use of exchanged-traded index future contracts.) Within the equity category, the Fund had allocations to four of six global equity asset classes. It did not have an allocation to emerging markets equities or U.S.small-cap equities at the beginning of the Reporting Period. As for fixed income, the Fund had allocations to U.S. Treasury securities, German government bonds and Japanese government bonds at the start of the Reporting Period.
In January 2019, we greatly decreased the Fund’s cash position in response to the rally in global equities. At the same time, we significantly increased the Fund’s allocation to U.S.large-cap equities and, to a lesser extent, its allocations to Japanese, European and U.K. stocks. We also substantially increased the Fund’s allocations to fixed income overall.
In February 2019, we eliminated the Fund’s position in cash and further increased its allocations to U.S.large-cap stocks and Japanese equities. We increased its allocation to German government bonds and reduced its allocation to U.S. Treasury securities.
During March 2019, the Fund’s allocations remained relatively unchanged.
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GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
In April 2019, we increased the Fund’s allocations to U.S.large-cap stocks, U.K. equities and European equities. In fixed income, we decreased the Fund’s allocations to U.S. Treasury securities and Japanese government bonds.
In May 2019, we actively sought to manage volatility within the Fund’s equity allocations. Specifically, we reduced the Fund’s allocations to U.S.large-cap stocks, U.K. stocks and European stocks. Within fixed income, we increased the Fund’s allocation to U.S. Treasury securities.
During June 2019, the Fund’s equity allocations stayed relatively unchanged. Within fixed income, we increased the Fund’s allocation to Japanese government bonds and decreased its allocation to German government bonds.
During July 2019, the Fund’s equity allocations stayed relatively unchanged. Within fixed income, we increased the Fund’s allocation to German government bonds and reduced its allocation to U.S. Treasury securities.
In August 2019, we decreased the Fund’s allocation to U.K. equities and increased its allocation to U.S. Treasury securities.
In September 2019, we reduced the Fund’s allocation to U.S. Treasury securities and increased its allocation to European equities.
In October 2019, we increased the Fund’s allocation to Japanese and U.S.large-cap equities. Within fixed income, we significantly increased the Fund’s allocation to U.S. Treasury securities and reduced its allocations to Japanese and German government bonds.
In November 2019, we increased the Fund’s allocation to equities. Specifically, we increased its allocations to U.S.large-cap stocks, European stocks and Japanese stocks. We also added a small allocation to emerging markets equities. Within fixed income, we eliminated the Fund’s allocation to Japanese government bonds, reduced its allocation to U.S. Treasury securities and increased its allocation to German government bonds.
During December 2019, we further increased the Fund’s allocation to equities, boosting its allocation to U.S.large-cap stocks and, to a lesser extent, to Japanese equities. Within fixed income, we eliminated the Fund’s allocation to German government bonds.
How did the Fund use derivatives and similar instruments during the Reporting Period?
During the Reporting Period, the Fund employed exchange-traded index futures contracts to gain exposure to U.S.large-cap stocks; the European, Japanese and U.K. equity markets; and U.S., Japanese and German government bonds. On an absolute basis, the use of these instruments had a positive impact on the Fund’s performance, as the majority of these allocations added to returns.
Were there any changes to the Fund’s portfolio management team during the Reporting Period?
Effective April 30, 2019, Gary Chropuvka no longer served as a portfolio manager of the Fund but remainedco-Head of the QIS Team. As of the same date, Matthew Schwab became a portfolio manager of the Fund. By design, all investment decisions for the Fund are performed within aco-lead or team structure, with multiple subject matter experts. This strategic decision making has been the cornerstone of our approach and ensures continuity in the Fund. At the end of the Reporting Period, the portfolio managers for the Fund were Federico Gilly, Oliver Bunn and Matthew Schwab.
What is the Fund’s tactical asset allocation view and strategy for the months ahead?
At the end of the Reporting Period, the Fund’s total assets were allocated 80.0% to equities, 20.0% to fixed income and 0% to cash. (Many of these positions were implemented through the use of exchanged-traded index future contracts.) Within the equity allocation, the Fund continued to have significant exposure to U.S.large-cap stocks and, to a lesser extent, to European, Japanese, U.K. and emerging markets equities. Within the fixed income allocation, the Fund had substantial exposure to U.S. Treasury securities. At the end of the Reporting Period, the Fund had no exposure to U.S.small-cap stocks, Japanese government bonds and German government bonds.
Going forward, we intend to position the Fund to provide exposure to price momentum from among nine underlying asset classes, while dynamically managing the volatility, or risk, of the overall portfolio. In general, the Fund seeks to maintain a strategic allocation of 60% of its assets in equity investments and 40% of its assets in fixed income investments. The Fund may deviate from these strategic allocations in order to allocate a greater percentage to asset classes with strong momentum and to reduce its allocation to assets with weak momentum. When volatility increases, our goal is to preserve capital by proportionally increasing the Fund’s cash exposure and reducing its exposure to riskier asset classes. There is no guarantee the Fund’s dynamic management strategy will cause it to achieve its investment objective.
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GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
Index Definitions
Bloomberg Barclays U.S. Aggregate Bond Index represents an unmanaged diversified portfolio of fixed income securities, including U.S. Treasuries, investment-grade corporate bonds and mortgage-backed and asset-backed securities.
Bloomberg Barclays U.S. Treasury Composite Indexmeasures U.S. dollar-denominated, fixed-rate, nominal debt issued by the U.S. Treasury. Treasury bills are excluded by the maturity constraint.
MSCI World Index is a broad global equity index that represents large andmid-cap equity performance across 23 developed markets countries. It covers approximately 85% of the free float-adjusted market capitalization in each country.
S&P 500® Index is a U.S. stock market index based on the market capitalizations of 500 large companies having common stock listed on the New York Stock Exchange or NASDAQ. The S&P 500® Index components and their weightings are determined by S&P Dow Jones Indices.
STOXX® Europe 600 Index derived from the STOXX® Europe Total Market Index and is a subset of the STOXX® Global 1800 Index. With a fixed number of 600 components, the STOXX® Europe 600 Index represents large, mid and small capitalization companies across 17 countries of the European region.
It is not possible to invest directly in an unmanaged index.
5
FUND BASICS
Global Trends Allocation Fund
as of December 31, 2019
FUND COMPOSITION1
1 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. The underlying composition of exchange traded funds and investment companies held by the Fund are not reflected in the graph above. Consequently, the Fund’s overall composition may differ from the percentages contained in the graph above. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Portfolio’s investment strategies, holdings, and performance.
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GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
Performance Summary
December 31, 2019
The following graph shows the value, as of December 31, 2019, of a $10,000 investment made on April 16, 2012 (commencement of the Fund’s operations) in Service Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the Global Trends Allocation Composite Index, (comprised of the Morgan Stanley Capital International (MSCI) World Index (Net, USD, Hedged) (60%) and the Bloomberg Barclays U.S. Treasury Composite Index (Total Return, USD, Unhedged) (40%)) is shown. The Fund’s former benchmark (comprised of the MSCI World Index (Net, USD, Unhedged) (60%) and the Bloomberg Barclays U.S. Aggregate Bond Composite Index (40%)) is also shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Global Trends Allocation Fund’s Lifetime Performance
Performance of a $10,000 investment, with distributions reinvested, from April 16, 2012 through December 31, 2019.
Average Annual Total Return through December 31, 2019 | One Year | Five Years | Since Inception | |||
Institutional (Commenced October 16, 2013) | 12.29% | 3.81% | 4.27% | |||
Service (Commenced April 16, 2012) | 11.94% | 3.54% | 5.01% |
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GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
Schedule of Investments
December 31, 2019
Shares | Description | Value | ||||||
Exchange Traded Funds – 28.6% | ||||||||
227,100 | iShares Core MSCI Emerging Markets ETF | $ | 12,208,896 | |||||
138,944 | iShares Core S&P 500 ETF | 44,912,259 | ||||||
140,400 | Vanguard S&P 500 ETF | 41,530,320 | ||||||
|
| |||||||
TOTAL EXCHANGE TRADED FUNDS | ||||||||
(Cost $72,452,635) | $ | 98,651,475 | ||||||
|
| |||||||
Shares | Dividend Rate | Value | ||||||
Investment Companies(a) – 54.7% | ||||||||
| Goldman Sachs Financial Square Government Fund — | | ||||||
103,730,960 | 1.638% | $ | 103,730,960 | |||||
| Goldman Sachs Financial Square Treasury Obligations Fund — | |||||||
42,695,096 | 1.593 | 42,695,096 | ||||||
| Goldman Sachs Financial Square Treasury Solutions Fund — | |||||||
42,695,096 | 1.560 | 42,695,096 | ||||||
|
| |||||||
TOTAL INVESTMENT COMPANIES | ||||||||
(Cost $189,121,152) | $ | 189,121,152 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 83.3% | ||||||||
(Cost $261,573,787) | $ | 287,772,627 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF | 57,722,884 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 345,495,511 | ||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
(a) | Represents an Affiliated Issuer. |
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS — At December 31, 2019, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
EURO STOXX 50 Index | 967 | 03/20/2020 | $ | 40,447,862 | $ | (19,730 | ) | |||||||||
Euro-Bund | 236 | 03/06/2020 | 45,224,970 | (523,396 | ) | |||||||||||
FTSE 100 Index | 178 | 03/20/2020 | 17,681,052 | 102,399 | ||||||||||||
S&P 500E-Mini Index | 295 | 03/20/2020 | 47,658,725 | 501,379 | ||||||||||||
TOPIX Index | 184 | 03/12/2020 | 29,143,988 | 32,215 | ||||||||||||
U.S. Treasury 10 Year Note | 526 | 03/20/2020 | 67,459,500 | (687,443 | ) | |||||||||||
Total Futures Contracts |
| $ | (594,576 | ) |
8 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
Statement of Assets and Liabilities
December 31, 2019
Assets: | ||||
Investments in affiliated issuers, at value (cost $189,121,152) | $ | 189,121,152 | ||
Investments in unaffiliated issuers, at value (cost $72,452,635) | 98,651,475 | |||
Cash | 47,223,631 | |||
Foreign currencies, at value (cost $3,058,354) | 3,081,841 | |||
Receivables: | ||||
Collateral on certain derivative contracts | 7,232,620 | |||
Fund shares sold | 354,383 | |||
Dividends | 247,998 | |||
Reimbursement from investment adviser | 29,155 | |||
Total assets | 345,942,255 | |||
Liabilities: | ||||
Variation margin on futures | 30,336 | |||
Payables: | ||||
Management fees | 168,273 | |||
Distribution and Service fees and Transfer Agency fees | 78,655 | |||
Fund shares redeemed | 71,577 | |||
Accrued expenses | 97,903 | |||
Total liabilities | 446,744 | |||
Net Assets: | ||||
Paid-in capital | 318,311,605 | |||
Total distributable earnings (loss) | 27,183,906 | |||
NET ASSETS | $ | 345,495,511 | ||
Net Assets: | ||||
Institutional | $ | 276,945 | ||
Service | 345,218,566 | |||
Total Net Assets | $ | 345,495,511 | ||
Shares outstanding $0.001 par value (unlimited shares authorized): | ||||
Institutional | 22,481 | |||
Service | 28,060,672 | |||
Net asset value, offering and redemption price per share: | ||||
Institutional | $12.32 | |||
Service | 12.30 |
The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
Statement of Operations
For the Fiscal Year Ended December 31, 2019
Investment income: | ||||
Dividends — affiliated issuers | $ | 3,999,515 | ||
Dividends — unaffiliated issuers | 2,096,666 | |||
Total investment income | 6,096,181 | |||
Expenses: | ||||
Management fees | 2,749,622 | |||
Distribution and Service fees — Service Shares | 869,476 | |||
Professional fees | 103,261 | |||
Transfer Agency fees(a) | 69,605 | |||
Custody, accounting and administrative services | 62,640 | |||
Printing and mailing costs | 54,206 | |||
Trustee fees | 16,370 | |||
Shareholder meeting expense | 10,091 | |||
Other | 19,795 | |||
Total expenses | 3,955,066 | |||
Less — expense reductions | (1,031,350 | ) | ||
Net expenses | 2,923,716 | |||
NET INVESTMENT INCOME | 3,172,465 | |||
Realized and unrealized gain (loss): | ||||
Net realized gain (loss) from: | ||||
Investments — unaffiliated issuers | 5,219,989 | |||
Futures contracts | 17,273,643 | |||
Foreign currency transactions | (277,774 | ) | ||
Net change in unrealized gain (loss) on: | ||||
Investments — unaffiliated issuers | 16,235,229 | |||
Futures contracts | (1,382,531 | ) | ||
Foreign currency translation | 140,397 | |||
Net realized and unrealized gain | 37,208,953 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 40,381,418 |
(a) Institutional and Service Shares incurred Transfer Agency fees of $52 and $69,553, respectively.
10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
Statements of Changes in Net Assets
For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||
From operations: | ||||||||
Net investment income | $ | 3,172,465 | $ | 2,585,788 | ||||
Net realized gain (loss) | 22,215,858 | (1,891,459 | ) | |||||
Net change in unrealized gain (loss) | 14,993,095 | (18,542,964 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 40,381,418 | (17,848,635 | ) | |||||
Distributions to shareholders: | ||||||||
From distributable earnings: | ||||||||
Institutional Shares | (16,100 | ) | (6,273 | ) | ||||
Service Shares | (19,290,888 | ) | (9,086,313 | ) | ||||
Total distributions to shareholders | (19,306,988 | ) | (9,092,586 | ) | ||||
From share transactions: | ||||||||
Proceeds from sales of shares | 25,165,924 | 42,650,408 | ||||||
Reinvestment of distributions | 19,306,988 | 9,092,586 | ||||||
Cost of shares redeemed | (116,140,276 | ) | (35,610,360 | ) | ||||
Net increase (decrease) in net assets resulting from share transactions | (71,667,364 | ) | 16,132,634 | |||||
TOTAL DECREASE | (50,592,934 | ) | (10,808,587 | ) | ||||
Net Assets: | ||||||||
Beginning of year | 396,088,445 | 406,897,032 | ||||||
End of year | $ | 345,495,511 | $396,088,445 |
The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
Goldman Sachs Global Trends Allocation Fund | ||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of year | $ | 11.65 | $ | 12.46 | $ | 11.33 | $ | 10.89 | $ | 11.82 | ||||||||||
Net investment income (loss)(a) | 0.15 | 0.14 | 0.06 | (0.03 | ) | 0.01 | ||||||||||||||
Net realized and unrealized gain (loss) | 1.28 | (0.64 | ) | 1.46 | 0.52 | (0.67 | ) | |||||||||||||
Total from investment operations | 1.43 | (0.50 | ) | 1.52 | 0.49 | (0.66 | ) | |||||||||||||
Distributions to shareholders from net investment income | (0.22 | ) | (0.12 | ) | (0.07 | ) | (0.05 | ) | (0.03 | ) | ||||||||||
Distributions to shareholders from net realized gains | (0.54 | ) | (0.19 | ) | (0.32 | ) | — | (0.24 | ) | |||||||||||
Total distributions | (0.76 | ) | (0.31 | ) | (0.39 | ) | (0.05 | ) | (0.27 | ) | ||||||||||
Net asset value, end of year | $ | 12.32 | $ | 11.65 | $ | 12.46 | $ | 11.33 | $ | 10.89 | ||||||||||
Total return(b) | 12.29 | % | (4.08 | )% | 13.36 | % | 4.49 | % | (5.52 | )% | ||||||||||
Net assets, end of year (in 000s) | $ | 277 | $ | 247 | $ | 30 | $ | 27 | $ | 1,008 | ||||||||||
Ratio of net expenses to average net assets | 0.59 | % | 0.51 | % | 0.68 | % | 0.74 | % | 0.75 | % | ||||||||||
Ratio of total expenses to average net assets | 0.89 | % | 0.86 | % | 0.86 | % | 0.89 | % | 0.92 | % | ||||||||||
Ratio of net investment income (loss) to average net assets | 1.18 | % | 1.13 | % | 0.46 | % | (0.25 | )% | 0.12 | % | ||||||||||
Portfolio turnover rate(c) | 61 | % | 60 | % | 64 | % | 260 | % | 504 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
(c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
12 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
Goldman Sachs Global Trends Allocation Fund | ||||||||||||||||||||
Service Shares | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of year | $ | 11.64 | $ | 12.45 | $ | 11.32 | $ | 10.88 | $ | 11.82 | ||||||||||
Net investment income (loss)(a) | 0.11 | 0.08 | 0.03 | 0.02 | (0.02 | ) | ||||||||||||||
Net realized and unrealized gain (loss) | 1.28 | (0.62 | ) | 1.46 | 0.45 | (0.67 | ) | |||||||||||||
Total from investment operations | 1.39 | (0.54 | ) | 1.49 | 0.47 | (0.69 | ) | |||||||||||||
Distributions to shareholders from net investment income | (0.19 | ) | (0.08 | ) | (0.04 | ) | (0.03 | ) | (0.01 | ) | ||||||||||
Distributions to shareholders from net realized gains | (0.54 | ) | (0.19 | ) | (0.32 | ) | — | (0.24 | ) | |||||||||||
Total distributions | (0.73 | ) | (0.27 | ) | (0.36 | ) | (0.03 | ) | (0.25 | ) | ||||||||||
Net asset value, end of year | $ | 12.30 | $ | 11.64 | $ | 12.45 | $ | 11.32 | $ | 10.88 | ||||||||||
Total return(b) | 11.94 | % | (4.34 | )% | 13.11 | % | 4.33 | % | (5.82 | )% | ||||||||||
Net assets, end of year (in 000s) | $ | 345,219 | $ | 395,842 | $ | 406,867 | $ | 353,615 | $ | 354,706 | ||||||||||
Ratio of net expenses to average net assets | 0.84 | % | 0.81 | % | 0.93 | % | 1.00 | % | 1.00 | % | ||||||||||
Ratio of total expenses to average net assets | 1.14 | % | 1.11 | % | 1.11 | % | 1.13 | % | 1.17 | % | ||||||||||
Ratio of net investment income (loss) to average net assets | 0.91 | % | 0.63 | % | 0.21 | % | 0.20 | % | (0.16 | )% | ||||||||||
Portfolio turnover rate(c) | 61 | % | 60 | % | 64 | % | 260 | % | 504 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
(c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
Notes to Financial Statements
December 31, 2019
1. ORGANIZATION
Goldman Sachs Variable Insurance Trust (the “Trust” or “VIT”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as anopen-end management investment company. The Trust includes the Goldman Sachs Global Trends Allocation Fund (the “Fund”). The Fund is a diversified portfolio under the Act offering two classes of shares — Institutional and Service Shares. Shares of the Trust are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (“Goldman Sachs”), serves as investment adviser to the Fund pursuant to a management agreement (the “Agreement”) with the Trust.
2. SIGNIFICANT ACCOUNTING POLICIES
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. The Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.
A. Investment Valuation — The Fund’s valuation policy is to value investments at fair value.
B. Investment Income and Investments —Investment income includes interest income, dividend income, and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized onex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to theex-dividend date.Non-cash dividends, if any, are recorded at the fair market value of the securities received. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Investment income is recorded net of any foreign withholding taxes, less any amounts reclaimable. The Fund may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments.
For derivative contracts, realized gains and losses are recorded upon settlement of the contract.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, andnon-class specific expenses of the Fund are allocated daily based upon the proportion of net assets of each class.Non-class specific expenses directly incurred by the Fund are charged to the Fund, while such expenses incurred by the Trust are allocated across the Fund on a straight-line and/orpro-rata basis depending upon the nature of the expenses. Class-specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service and Transfer Agency fees.
D. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on theex-dividend date. Income and capital gains distributions, if any, are declared and paid at least annually.
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the Fund’s distributions may be shown in the accompanying financial statements as either from distributable earnings or capital. Certain components of the Fund’s net assets on the Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
E. Foreign Currency Translation — The accounting records and reporting currency of the Fund are maintained in United States (“U.S.”) dollars. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the current exchange
14
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
rates at the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Statement of Operations within net change in unrealized gain (loss) on foreign currency translation. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within net realized gain (loss) on foreign currency transactions.
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS
U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Fund’s policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Fund, including investments for which market quotations are not readily available. The Trustees have delegated to GSAMday-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Fund’s investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities —Equity securities traded on a U.S. securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities may be valued at the closing bid price for long positions and at the closing ask price for short positions. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price for long positions or the last ask price for short positions, and are generally classified as Level 2. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.
15
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
Notes to Financial Statements(continued)
December 31, 2019
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
Underlying Funds (including Money Market Funds) — Underlying funds (“Underlying Funds”) include other investment companies and exchange-traded funds (“ETFs”). Investments in the Underlying Funds (except ETFs) are valued at the NAV per share on the day of valuation. ETFs are valued daily at the last sale price or official closing price on the principal exchange or system on which the investment is traded. Because the Fund invests in Underlying Funds that fluctuate in value, the Fund’s shares will correspondingly fluctuate in value. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. The Fund enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers. For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral received, if any, is reported separately on the Statement of Assets and Liabilities as receivables/payables for collateral on certain derivatives contracts.Non-cash collateral pledged by the Fund, if any, is noted in the Schedule of Investments.
Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence oftwo-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy.Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security. Upon entering into a futures contract, the Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by the Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
B. Level 3 Fair Value Investments —To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Fund’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Fund’s NAV. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.
16
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
C. Fair Value Hierarchy — The following is a summary of the Fund’s investments and derivatives classified in the fair value hierarchy as of December 31, 2019:
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Exchange Traded Funds | $ | 98,651,475 | $ | — | $ | — | ||||||
Investment Companies | 189,121,152 | — | — | |||||||||
Total | $ | 287,772,627 | $ | — | $ | — | ||||||
Derivative Type | ||||||||||||
Assets(a) | ||||||||||||
Futures Contracts | $ | 635,993 | $ | — | $ | — | ||||||
Liabilities(a) | ||||||||||||
Futures Contracts | $ | (1,230,569 | ) | $ | — | $ | — |
(a) | Amount shown represents unrealized gain (loss) at fiscal year end. |
For further information regarding security characteristics, see the Schedule of Investments.
4. INVESTMENTS IN DERIVATIVES
The following table sets forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of December 31, 2019. These instruments were used as part of the Fund’s investment strategies and to obtain and/or manage exposure related to the risks below. The values in the table below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Fund’s net exposure.
Risk | Statement of Assets and Liabilities | Assets(a) | Statement of Assets and Liabilities | Liabilities(a) | ||||||||||
Equity | Variation margin on futures contracts | $ | 635,993 | Variation margin on futures contracts | $ | (19,730 | ) | |||||||
Interest Rate | — | — | Variation margin on futures contracts | (1,210,839 | ) | |||||||||
Total | $ | 635,993 | $ | (1,230,569 | ) |
(a) | Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information section of the Schedule of Investments. Only the variation margin as of December 31, 2019 is reported within the Statement of Assets and Liabilities. |
The following table sets forth, by certain risk types, the Fund’s gains (losses) related to these derivatives and their indicative volumes for the fiscal year ended December 31, 2019. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and
17
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
Notes to Financial Statements(continued)
December 31, 2019
4. INVESTMENTS IN DERIVATIVES (continued)
accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statement of Operations:
Risk | Statement of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||||
Equity | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | $ | 9,051,931 | $ | 1,275,534 | 996 | ||||||||
Interest Rate | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | 8,221,712 | (2,658,065 | ) | 956 | |||||||||
Total | $ | 17,273,643 | $ | (1,382,531 | ) | 1,952 |
(a) | Average number of contracts is based on the average of month end balances for the fiscal year ended December 31, 2019. |
5. AGREEMENTS AND AFFILIATED TRANSACTIONS
A. Management Agreement — Under the Agreement, GSAM manages the Fund, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Fund’s business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
For the fiscal year ended December 31, 2019, contractual and effective net management fees with GSAM were at the following rates:
Contractual Management Rate | Effective Net Management Rate^ | |||||||||||||||||||||||||
First $1 billion | Next $1 billion | Next $3 billion | Next $3 billion | Over $8 billion | Effective Rate | |||||||||||||||||||||
0.79% | 0.71 | % | 0.68 | % | 0.66 | % | 0.65 | % | 0.79 | % | 0.58 | %* |
^ | Effective Net Management Rate includes the impact of management fee waivers of affiliated Underlying Funds, if any. |
* | GSAM agreed to waive a portion of its management fee in order to achieve a net management rate, as defined in the Fund’s most recent prospectus. This waiver will be effective through at least April 30, 2020, and prior to such date GSAM may not terminate the arrangement without approval of the Trustees. For the fiscal year ended December 31, 2019, GSAM waived $417,668 of its management fee. |
The Fund invests in Institutional Shares of the Goldman Sachs Financial Square Government, Goldman Sachs Financial Square Treasury Obligations, and Goldman Sachs Financial Square Treasury Solutions Funds, which are affiliated Underlying Funds. GSAM has agreed to waive a portion of its management fee payable by the Fund in an amount equal to the management fee it earns as an investment adviser to the affiliated Underlying Funds in which the Fund invests, except those management fees it earns from the Fund’s investments of cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government, Goldman Sachs Financial Square Treasury Obligations, and Goldman Sachs Financial Square Treasury Solutions Funds. For the fiscal year ended December 31, 2019, GSAM waived $324,731 of the Fund’s management fee.
B. Distribution and Service(12b-1) Plan — The Trust, on behalf of Service Shares of the Fund, has adopted a Distribution and Service Plan subject to Rule12b-1 under the Act. Under the Distribution and Service Plan, Goldman Sachs, which serves as distributor, is entitled to a fee accrued daily and paid monthly, for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers, equal to, on an annual basis, 0.25% of the Fund’s average daily net assets attributable to Service Shares.
18
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
C. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Fund for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at an annual rate of 0.02% of the average daily net assets of Institutional and Service Shares.
D. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or limit certain “Other Expenses” of the Fund (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of the Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Fund is not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitation as an annual percentage rate of average daily net assets for the Fund is 0.004%. The Other Expense limitation will remain in place through at least April 30, 2020, and prior to such date GSAM may not terminate the arrangement without the approval of the Trustees. In addition, the Fund has entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Fund’s expenses and are received irrespective of the application of the “Other Expense” limitation described above.
For the fiscal year ended December 31, 2019, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
Management Fee Waiver | Custody Fee Credits | Other Expense Reimbursement | Total Expense Reductions | |||||||||||
$742,399 | $ | 46,603 | $ | 242,348 | $ | 1,031,350 |
E. Line of Credit Facility — As of December 31, 2019, the Fund participated in a $580,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the fiscal year ended December 31, 2019, the Fund did not have any borrowings under the facility. Prior to April 30, 2019 the facility was $770,000,000.
F. Other Transactions with Affiliates — The following table provides information about the Fund’s investments in the Goldman Sachs Financial Square Government, Goldman Sachs Financial Square Treasury Obligations, and Goldman Sachs Financial Square Treasury Solutions Funds as of and for the fiscal year ended December 31, 2019:
Investment Companies | Beginning Value as of December 31, 2018 | Purchases at Cost | Proceeds from Sales | Ending Value as of December 31, 2019 | Shares as of December 31, 2019 | Dividend Income | ||||||||||||||||||
Goldman Sachs Financial Square Government Fund | $ | 119,104,588 | $ | 31,686,058 | $ | (47,059,686 | ) | $ | 103,730,960 | 103,730,960 | $ | 2,199,096 | ||||||||||||
Goldman Sachs Financial Square Treasury Obligations Fund | 52,179,797 | 1,581,600 | (11,066,301 | ) | 42,695,096 | 42,695,096 | 903,169 | |||||||||||||||||
Goldman Sachs Financial Square Treasury Solutions Fund | 52,179,797 | 1,581,600 | (11,066,301 | ) | 42,695,096 | 42,695,096 | 897,250 | |||||||||||||||||
Total | $ | 223,464,182 | $ | 34,849,258 | $ | (69,192,288 | ) | $ | 189,121,152 | 189,121,152 | $ | 3,999,515 |
19
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
Notes to Financial Statements(continued)
December 31, 2019
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
As of December 31, 2019, The Goldman Sachs Group, Inc. was the beneficial owner of approximately 12% of the Institutional Shares of the Fund.
6. PORTFOLIO SECURITIES TRANSACTIONS
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended December 31, 2019, were $76,683,526 and $51,933,865, respectively.
7. TAX INFORMATION
The tax character of distributions paid during the fiscal years ended December 31, 2018 and December 31, 2019 was as follows:
2018 | 2019 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 7,135,108 | $ | 8,181,193 | ||||
Net long-term capital gains | 1,957,478 | 11,125,795 | ||||||
Total taxable distributions | $ | 9,092,586 | $ | 19,306,988 |
As of December 31, 2019, the components of accumulated earnings (losses) on atax-basis were as follows:
Undistributed ordinary income — net | $ | 4,049,091 | ||
Undistributed long-term capital gains | 1,602,855 | |||
Total undistributed earnings | $ | 5,651,946 | ||
Timing differences (Post October Loss Deferral and straddle loss deferrals) | (693,022 | ) | ||
Unrealized gains — net | 22,224,982 | |||
Total accumulated earnings — net | $ | 27,183,906 |
As of December 31, 2019, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Tax cost | $ | 264,987,934 | ||
Gross unrealized gain | 22,224,982 | |||
Gross unrealized loss | — | |||
Net unrealized gain | $ | 22,224,982 |
The difference between GAAP-basis andtax-basis unrealized gains (losses) is attributable primarily to wash sales and net mark to market gains (losses) on regulated futures contracts.
GSAM has reviewed the Fund’s tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
20
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
8. OTHER RISKS
The Fund’s risks include, but are not limited to, the following:
Derivatives Risk — The Fund’s use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Fund. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social stability in the countries in which the Fund invests. The imposition of exchange controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or from problems in share registration, settlement or custody, may also result in losses. Foreign risk also involves the risk of negative foreign currency rate fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which the Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that the Fund also invests in securities of issuers located in emerging markets, these risks may be more pronounced.
Foreign Custody Risk — If the Fund invests in foreign securities, the Fund may hold such securities and cash with foreign banks, agents, and securities depositories appointed by the Fund’s custodian (each a “Foreign Custodian”). Some foreign custodians may be recently organized or new to the foreign custody business. In some countries, Foreign Custodians may be subject to little or no regulatory oversight over, or independent evaluation of, their operations. Further, the laws of certain countries may place limitations on the Fund’s ability to recover its assets if a Foreign Custodian enters bankruptcy. Investments in emerging markets may be subject to even greater custody risks than investments in more developed markets. Custody services in emerging market countries are very often undeveloped and may be considerably less well regulated than in more developed countries, and thus may not afford the same level of investor protection as would apply in developed countries.
Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by the Fund will generally decline in value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. The risks associated with changing interest rates may have unpredictable effects on the markets and the Fund’s investments. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Fund.
Investments in Other Investment Companies Risk — As a shareholder of another investment company, including an ETF, the Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund. 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 — The Fund may experience adverse effects when certain large shareholders, such as other funds, participating insurance companies, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of the Fund. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may cause the Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact the Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in the Fund’s current expenses being allocated over
21
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
Notes to Financial Statements(continued)
December 31, 2019
8. OTHER RISKS (continued)
a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect the Fund’s performance to the extent that the Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.
Liquidity Risk — The Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that the Fund will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, the Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If the Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Fund’s NAV and dilute remaining investors’ interests. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income mutual funds may be higher than normal, potentially causing increased supply in the market due to selling activity. These risks may be more pronounced in connection with the Fund’s investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on the Fund’s liquidity.
Market and Credit Risks — In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
9. INDEMNIFICATIONS
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
10. OTHER MATTERS
On November 5, 2019, a definitive proxy statement (“proxy”) was filed with the SEC to elect certain Trustees to the Trust. The Fund will bear its respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse the Fund to the extent such expenses exceed a specified percentage of the Fund’s net assets.
11. SUBSEQUENT EVENTS
Subsequent events after the Statement of Assets and Liabilities date other than above have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
22
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
12. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | — | $ | — | 18,378 | $ | 229,900 | ||||||||||
Reinvestment of distributions | 1,310 | 16,100 | 535 | 6,273 | ||||||||||||
Shares redeemed | — | — | (157 | ) | (1,900 | ) | ||||||||||
1,310 | 16,100 | 18,756 | 234,273 | |||||||||||||
Service Shares | ||||||||||||||||
Shares sold | 2,045,866 | 25,165,924 | 3,407,784 | 42,420,508 | ||||||||||||
Reinvestment of distributions | 1,572,199 | 19,290,888 | 775,283 | 9,086,313 | ||||||||||||
Shares redeemed | (9,571,002 | ) | (116,140,276 | ) | (2,858,297 | ) | (35,608,460 | ) | ||||||||
(5,952,937 | ) | (71,683,464 | ) | 1,324,770 | 15,898,361 | |||||||||||
NET INCREASE (DECREASE) | (5,951,627 | ) | $ | (71,667,364 | ) | 1,343,526 | $ | 16,132,634 |
23
Report of Independent Registered Public Accounting Firm
Tothe Board of Trustees of Goldman Sachs Variable Insurance Trust and Shareholders of Goldman Sachs Global Trends Allocation Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Goldman Sachs Global Trends Allocation Fund (one of the funds constituting Goldman Sachs Variable Insurance Trust, referred to hereafter as the “Fund”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statements of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes,and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 14, 2020
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
24
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
Voting Results of Special Meeting of Shareholders (Unaudited)
A Special Meeting (the “Meeting”) of the Goldman Sachs Variable Insurance Trust (“VIT”) was held on January 23, 2020 to consider and act upon the proposal below. The Fund will amortize its respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse the Fund to the extent such expenses exceed a specified percentage of the Fund’s net assets.
At the Meeting, Dwight L. Bush, Kathryn A. Cassidy, Joaquin Delgado and Gregory G. Weaver were elected to the Trust’s Board of Trustees. In electing trustees, the Trust’s shareholders voted as follows:
Proposal 1.
Election of Trustees | For | Against | Withheld | Broker Non-Votes | ||||||||||||
Dwight L. Bush | 745,493,677.130 | 0 | 17,848,840.639 | 0 | ||||||||||||
Kathryn A. Cassidy | 746,559,784.810 | 0 | 16,782,732.959 | 0 | ||||||||||||
Joaquin Delgado | 744,593,456.532 | 0 | 18,749,061.237 | 0 | ||||||||||||
Gregory G. Weaver | 746,707,039.321 | 0 | 16,635,478.448 | 0 |
25
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
Fund Expenses — Six Month Period Ended December 31, 2019 (Unaudited) |
As a shareholder of Institutional or Service Shares of the Fund, you incur ongoing costs, including management fees, distribution and/or service(12b-1) fees (with respect to Service Shares) and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Institutional Shares and Service Shares of the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2019 through December 31, 2019, which represents a period of 184 days of a 365 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Fund, you do not incur any transaction costs, such as sales charges, redemption fees, or exchange fees, but shareholders of other funds may incur such costs. The second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds whose shareholders may incur transaction costs.
Share Class | Beginning Account Value 07/01/19 | Ending Account Value 12/31/19 | Expenses Paid for the 6 Months Ended 12/31/19* | |||||||||
Institutional | ||||||||||||
Actual | $ | 1,000 | $ | 1,049.10 | $ | 3.00 | ||||||
Hypothetical 5% return | 1,000 | 1,022.28 | + | 2.96 | ||||||||
Service | ||||||||||||
Actual | 1,000 | 1,048.20 | 4.28 | |||||||||
Hypothetical 5% return | 1,000 | 1,021.02 | + | 4.23 |
+ | Hypothetical expenses are based on the Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
* | Expenses are calculated using the Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended December 31, 2019. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 0.58% and 0.83% for Institutional and Service Shares, respectively. |
26
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
Trustees and Officers (Unaudited)
Independent Trustees
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||||
Jessica Palmer Age: 70 | Chair of the Board of Trustees | Since 2018 (Trustee since 2007) | Ms. Palmer is retired. She was formerly Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009).
Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Kathryn A. Cassidy Age: 65 | Trustee | Since 2015 | Ms. Cassidy is retired. Formerly, she was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Diana M. Daniels Age: 70 | Trustee | Since 2007 | Ms. Daniels is retired. Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is a Trustee Emeritus and serves as a Presidential Councillor of Cornell University (2013-Present); former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Roy W. Templin Age: 59 | Trustee | Since 2013 | Mr. Templin is retired. He is Director, Armstrong World Industries, Inc. (a designer and manufacturer of ceiling, wall and suspension system solutions) (2016-Present); and was formerly Chairman of the Board of Directors, Con-Way Incorporated (a transportation, logistics and supply chain management service company) (2014-2015); Executive Vice President and Chief Financial Officer, Whirlpool Corporation (an appliance manufacturer and marketer) (2004-2012). Previously, Mr. Templin served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (June 2013-October 2013).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Armstrong World Industries, Inc. (a ceiling, wall and suspension systems solutions manufacturer) | |||||||
Gregory G. Weaver Age: 68 | Trustee | Since 2015 | Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Verizon Communications Inc. | |||||||
27
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
Trustees and Officers (Unaudited) (continued)
Interested Trustee*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||||
James A. McNamara Age: 57 | President and Trustee | Since 2007 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | 165 | None | |||||||
Advisory Board Members
Name, Address, Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Advisory Board Member3 | Other Directorships Held by Advisory Board Member4 | |||||||
Dwight L. Bush Age: 62 | Advisory Board Member | Since 2019 | Ambassador Bush is President and CEO of D.L. Bush & Associates (a financial advisory and private investment firm) (2002-2014 and 2017-present); and was formerly U.S. Ambassador to the Kingdom of Morocco (2014-2017) and a Member of the Board of Directors of Santander Bank, N.A. (2018-2019).
Advisory Board Member — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Joaquin Delgado Age: 59 | Advisory Board Member | Since 2019 | Dr. Delgado is retired. He is Director, Hexion Inc. (a specialty chemical manufacturer) (2019-present); and Director, Stepan Company (a specialty chemical manufacturer) (2011-present); and was formerly Executive Vice President, Consumer Business Group of 3M Company (July 2016-July 2019); and Executive Vice President, Health Care Business Group of 3M Company (October 2012-July 2016).
Advisory Board Member — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Stepan Company (a specialty chemical manufacturer) | |||||||
* | Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. Mr. McNamara holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
1 | Each Trustee and Advisory Board Member may be contacted by writing to the Trustee or Advisory Board Member, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of December 31, 2019. |
2 | Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that (a) no Trustee shall hold office for more than 15 years and (b) a Trustee shall retire as of December 31st of the calendar year in which he or she reaches his or her 74th birthday, unless a waiver of such requirements shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. |
3 | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of December 31, 2019, Goldman Sachs Trust consisted of 89 portfolios; Goldman Sachs Variable Insurance Trust consisted of 13 portfolios; Goldman Sachs Trust II consisted of 19 portfolios (17 of which offered shares to the public); Goldman Sachs MLP Income Opportunities Fund, Goldman Sachs MLP and Energy Renaissance Fund, Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio; and Goldman Sachs ETF Trust consisted of 40 portfolios (21 of which offered shares to the public). |
4 | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Fund’s Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384. Additional information about the Advisory Board Members will be available in the Fund’s Statement of Additional Information dated April 30, 2020, which will be available from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
28
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | |||
James A. McNamara 200 West Street New York, NY 10282 Age: 57 | Trustee and President | Since 2007 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 42 | Secretary | Since 2012 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Associate General Counsel, Goldman Sachs (2012-Present); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006).
Secretary — Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Private Middle Market Credit II LLC; Goldman Sachs Middle Market Lending Corp.; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 51 | Treasurer, Principal Financial Officer and Principal Accounting Officer | Since 2017 (Treasurer and Principal Financial Officer since 2019) | Managing Director, Goldman Sachs (November 2015-Present) and Vice President — Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010-October 2015). Treasurer, Principal Financial Officer and Principal Accounting Officer — Goldman Sachs Trust (previously Assistant Treasurer (2016)); Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs MLP Income Opportunities Fund (previously Assistant Treasurer (2017)); Goldman Sachs MLP and Energy Renaissance Fund (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. |
* | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Fund’s Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
1 | Information is provided as of December 31, 2019. |
2 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
Goldman Sachs Variable Insurance Trust — Tax Information (Unaudited)
For the year ended December 31, 2019, 86.78% of the dividends paid from net investment company taxable income by the Global Trends Allocation Fund qualify for the dividends received deduction available to corporations.
Pursuant to Section 852 of the Internal Revenue Code, the Global Trends Allocation Fund designates $11,125,795 or, if different, the maximum amount allowable, as capital gain dividends paid during the fiscal year ended December 31, 2019.
29
TRUSTEES | OFFICERS | |
Jessica Palmer,Chair | James A. McNamara,President | |
Dwight L. Bush* | Joseph F. DiMaria,Principal Financial Officer, | |
Kathryn A. Cassidy | Principal Accounting Officer and Treasurer | |
Diana M. Daniels | Caroline L. Kraus,Secretary | |
Joaquin Delgado* | ||
James A. McNamara | ||
Roy W. Templin | ||
Gregory G. Weaver | ||
*Effective as of January 23, 2020 |
GOLDMAN SACHS & CO. LLC
Distributor and Transfer Agent
GOLDMAN SACHS ASSET MANAGEMENT, L.P.
Investment Adviser
200 West Street, New York
New York 10282
Visit our web site at www.GSAMFUNDS.com to obtain the most recentmonth-end returns.
The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Fund. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted proxies relating to portfolio securities for the12-month period ended December 31, 2019 is available (i) without charge, upon request by calling1-800-621-2550; and (ii) on the Securities and Exchange Commission (“SEC”) web site athttp://www.sec.gov.
The Fund will file its portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be made available on the SEC’s web site at http://www.sec.gov. Portfolio holdings information may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).
Views and opinions expressed are for informational purposes only and do not constitute a recommendation by GSAM to buy, sell, or hold any security. Views and opinions are current as of the date of this presentation and may be subject to change, they should not be construed as investment advice.
Goldman Sachs & Co. LLC (“Goldman Sachs”) does not provide legal, tax or accounting advice. Any statement contained in this communication (including any attachments) concerning U.S. tax matters was not intended or written to be used, and cannot be used, for the purpose of avoiding penalties under the Internal Revenue Code, and was written to support the promotion or marketing of transaction or matter addressed. Clients of Goldman Sachs should obtain their own independent tax advice based on their particular circumstances.
The website links provided are for your convenience only and are not an endorsement or recommendation by GSAM of any of these websites or the products or services offered. GSAM is not responsible for the accuracy and validity of the content of these websites.
Fund holdings and allocations shown are as of December 31, 2019 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
References to indices, benchmarks or other measures of relative market performance over a specified period of time are provided for your information only and do not imply that the portfolio will achieve similar results. The index composition may not reflect the manner in which a portfolio is constructed. While an adviser seeks to design a portfolio which reflects appropriate risk and return features, portfolio characteristics may deviate from those of the benchmark.
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
Shares of the Goldman Sachs VIT Funds are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus or summary prospectus, if applicable. Investors should consider the Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the prospectus carefully before investing or sending money. The summary prospectus, if available, and the prospectus contain this and other information about the Fund and may be obtained from your authorized dealer or from Goldman Sachs & Co. LLC by calling1-800-621-2550.
This report is prepared for the general information of contract owners and is not an offer of shares of the Goldman Sachs Variable Insurance Trust — Goldman Sachs Global Trends Allocation Fund.
© 2020 Goldman Sachs. All rights reserved.
VITNAVAR-20/192290-OTU-1133688
Goldman
SachsVariable Insurance Trust
Goldman Sachs
Large Cap Value Fund
Beginning on or after January 1, 2021, you may not receive paper copies of the Fund’s annual and semi-annual shareholder reports from the insurance company that offers your variable insurance contract or your financial intermediary, unless you specifically request paper copies of the reports from the insurance company or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. At any time, you may elect to receive reports and certain communications from the insurance company electronically by contacting your insurance company or your financial intermediary.
You may elect to receive all future shareholder reports in paper free of charge. You can inform the insurance company or your financial intermediary that you wish to receive paper copies of reports. Your election to receive reports in paper will apply to all Goldman Sachs Funds available under your contract and may apply to all funds held with your financial intermediary.
Annual Report
December 31, 2019
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
INVESTMENT OBJECTIVE
The Fund seeks long-term capital appreciation.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Value Portfolio Management Team discusses the Goldman Sachs Variable Insurance Trust — Goldman Sachs Large Cap Value Fund’s (the “Fund”) performance and positioning for the12-month period ended December 31, 2019 (the “Reporting Period”).
How did the Fund perform during the Reporting Period?
During the Reporting Period, the Fund’s Institutional and Service Shares generated average annual total returns of 25.93% and 25.61%, respectively. These returns compare to the 26.54% average annual total return of the Fund’s benchmark, the Russell 1000® Value Index (with dividends reinvested) (the “Russell Index”) during the same time period.
What economic and market factors most influenced the equity markets as a whole during the Reporting Period?
Representing the U.S. equity market, the S&P 500® Index returned 31.49% during the Reporting Period, achieving a record high and its strongest annual gain since 2013.
The U.S. equity market rallied at the start of the Reporting Period, almost completely recovering from asell-off at the end of 2018. After four gradual interest rate hikes in 2018, the U.S. Federal Reserve (“Fed”) cut interest rates three times in 2019 in an effort to keep the U.S. economic expansion intact amid trade uncertainties. The trade war between the U.S. and China pressured macroeconomic indicators throughout the first half of the calendar year but did little to suppress a resilient consumer, which ultimately outweighed manufacturing weakness. By the fourth quarter of 2019, U.S. stock returns accelerated with an uptick of U.S. manufacturing and service sector business surveys as well as a consistently strong labor market. The U.S. added more than 200,000 jobs in November 2019, double the break-even pace of long-term job growth. These developments helped restore market confidence, while fundamentals of low core inflation, contained financial imbalance and reduced drag of a trade war fended off imminent recession risk.
For the Reporting Period overall, all 11 sectors posted positive absolute returns, with all 11 generating double-digit gains. During the Report Period, information technology, communication services and financials were the best performing sectors in the S&P 500® Index, as measured by total return, while the weakest performing sectors in the S&P 500® Index were energy, health care and materials.
Within the U.S. equity market, all capitalization segments posted double-digit positive returns, led bylarge-cap stocks, as measured by the Russell 1000® Index, followed closely bymid-cap stocks, as measured by the Russell Midcap® Index, and then bysmall-cap stocks, as measured by the Russell 2000® Index. From a style perspective, growth-oriented stocks significantly outpaced value-oriented stocks across the capitalization spectrum. (All as measured by the FTSE Russell indices.)
What key factors were responsible for the Fund’s performance during the Reporting Period?
The Fund posted robust double-digit gains but modestly underperformed the Russell Index during the Reporting Period. Stock selection overall contributed positively, while sector allocation as a whole detracted from the Fund’s performance relative to the Russell Index during the Reporting Period.
Which equity market sectors most significantly affected Fund performance?
Stock selection in the energy, industrials and financials sectors detracted most from the Fund’s relative results. Having a position in cash, albeit a modest one, during the Reporting Period when the Russell Index rallied, also dampened relative results. Offsetting these detractors was stock selection in the information technology, utilities and consumer discretionary sectors, which contributed most positively.
Which stocks detracted significantly from the Fund’s performance during the Reporting Period?
Among those companies detracting most from the Fund’s results relative to the Russell Index were positions in Dupont de Nemours, Concho Resources and Medtronic.
Dupont de Nemours is a specialty materials and chemicals company. Its stock trailed the broader U.S. equity market and the materials sector as a whole, with fears around U.S.-China trade tensions as one of the headwinds. In the first week of April 2019,
1
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
the company had spun off from its parent company and initiated aone-for-three reverse stock split. (A reverse stock split is a type of corporate action which consolidates the number of existing shares of stock into fewer, proportionally more valuable, shares.) Despite its early struggles as a stand-alone company, we believe its management is keen to deliver value for its shareholders. At the end of the Reporting Period, we also felt the company’s transportation and advanced polymers segment was well positioned to capture a significant opportunity from global growth in hybrid and electric vehicles.
Concho Resources is an oil and natural gas exploration and production company operating in the Permian Basin. Its stock fell through much of the Reporting Period due to a decline in natural gas prices and a disappointing third quarter 2019 earnings release. Given its lower oil production guidance and valuation premium to its peers, we decided to exit the position and allocate the capital to what we believe are more attractive opportunities.
Medtronic is a medical technology company engaged in the development, manufacture, distribution and sale of device-based medical therapies and services. We decided to exit the Fund’s position in the stock at the end of May 2019 after reassessing the competitive landscape in the medical technology industry and determining that we believed better risk/reward opportunities could be found elsewhere. Prior to exiting the position, the stock was down slightly, but its share price rose following our exit, leading it to be a top relative detractor. Despite the stock rising following our sale of the shares, we continued to believe it was prudent to allocate capital to what we saw as more attractive companies.
What were some of the Fund’s best-performing individual stocks?
Relative to the Russell Index, the Fund benefited most from positions in Marvell Technology Group, ITT and Zimmer Biomet Holdings.
Marvell Technology Group, an integrated circuit designer, developer and seller, saw its stock gain rather steadily to start 2019 and then rise even faster during the course of the calendar year as gains came on the back of U.S.-China trade headlines that boosted the semiconductor industry as a whole. Strong first quarter 2019 results featuring above consensus revenue and earnings per share and a positive outlook on the future of the firm’s fifth-generation, or 5G, capabilities boosted the company’s share price as well. Marvell Technology Group also announced the sale of its connectivity assets to NXP Semiconductors, marking the divestiture of an arm that offered few synergies to other, stronger segments of the firm, which the market received positively. This deal fits into a broader pattern of strategic transactions that Marvell Technology Group’s management team has been pursuing. At the end of the Reporting Period, we believed these strategic acquisitions and divestitures, its enhanced position in 5G, and what we saw as its improved financial flexibility may be indicators of potential positive performance going forward.
ITT is a manufacturer of engineered components for customized technologies. A strong earnings report in the second quarter of 2019 caused its stock to rise when its management gave positive commentary on self-help andend-market opportunities. Its shares rallied again in early November 2019 after the company reported above-consensus expectations earnings and revenue metrics, raised guidance and announced a share repurchase program. At the end of the Reporting Period, we believed ITT’s motion business may well continue to gain market share. We were also confident in its management’s commitment to returning shareholder value through buybacks.
Zimmer Biomet Holdings is a manufacturer of musculoskeletal health care products and solutions. A strong earnings report during the third quarter of 2019 caused its stock to rise when the company put to rest speculation it might pull back from its full-year guidance after former Chief Financial Officer (“CFO”) Dan Florin announced he was stepping down. Instead of lowering its guidance, the company expressed increasing optimism. Zimmer Biomet Holdings had previously projected it would achieve constant-currency revenue in line with its weighted-average market growth rate beginning in 2020. At the end of the Reporting Period, we remained positive on its management team and its ability to redeploy capital and shift the company’s business mix into faster growingend-markets. We also remained optimistic about the company’s growth outlook.
How did the Fund use derivatives and similar instruments during the Reporting Period?
During the Reporting Period, we did not use derivatives as part of an active management strategy.
Did the Fund make any significant purchases or sales during the Reporting Period?
During the Reporting Period, we initiated a Fund position in diversified financials institution Citigroup. We believe its new CFO has done a particularly good job of being transparent and setting reasonable expectations, which may be an important driver of the company’s stock price going forward. Overall, we feel Citigroup has appealing growth opportunities and find it an attractive opportunity in the financials sector.
2
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
We established a Fund position in fast-food restaurant retailer McDonald’s during the Reporting Period. We are positive on many of the strategic initiatives McDonald’s has been rolling out. Namely, we feel modernized restaurants, a revamped value menu and a shift toward fresh beef hamburgers can drive market share gains moving forward. With what we see as McDonald’s strong balance sheet, robust free cash flow and healthy return on equity, we believe its shares were attractively valued at the end of the Reporting Period and poised for continued appreciation.
Conversely, in addition to those sales already mentioned, we eliminated the Fund’s position in pharmaceuticals company Merck. After a strong start to the calendar year, we decided to exit the position in late June 2019 to allocate the capital to what we viewed as more attractive opportunities.
Were there any notable changes in the Fund’s weightings during the Reporting Period?
In constructing the Fund’s portfolio, we focus on picking stocks rather than on making industry or sector bets. We seek to outpace the benchmark index by overweighting stocks that we expect to outperform and underweighting those that we think may lag. Consequently, changes in its sector weights are generally the direct result of individual stock selection or of stock appreciation or depreciation. That said, during the Reporting Period, the Fund’s exposure compared to the Russell Index in financials, industrials and materials increased. The Fund’s allocations compared to the Russell Index in health care, information technology and energy decreased. The Fund’s position in cash also decreased during the Reporting Period.
How was the Fund positioned relative to its benchmark index at the end of the Reporting Period?
At the end of December 2019, the Fund had overweighted positions relative to the Russell Index in the financials and health care sectors. On the same date, the Fund had underweighted positions compared to the Russell Index in energy and real estate and was rather neutrally weighted to the Russell Index in the information technology, communication services, consumer staples, industrials, utilities, consumer discretionary and materials sectors.
Were there any changes to the Fund’s portfolio management team during the Reporting Period?
During the Reporting Period, Kevin Martens was added aco-lead Portfolio Manager for the Fund. Kevin is also aco-lead Portfolio Manager on the GSAM U.S. Equity Strategy as well as a portfolio manager on the U.S. Equity Team, where he has broad research responsibilities for the industrials sector across the U.S. Large- andMid-Cap Equity Strategies. Before joining GSAM, Kevin was at Clearbridge Investments where he was a research analyst responsible for the materials sector. Prior to that, he was a research associate at Fred Alger Management covering industrials and was an investment banking associate at BMO Capital Markets. Kevin has 13 years of industry experience. He earned a BSBA in Finance and a BS in Accounting and Economics from Villanova University and an MBA from Columbia Business School.
What is the Fund’s tactical view and strategy for the months ahead?
The U.S. equity markets delivered robust performance in 2019. Economic growth remained near-trend, with a healthy consumer, both in balance sheet and confidence, continuing to support the U.S. economy. At the end of the Reporting Period, we remained constructive on U.S. equities and believed there could be further gains, buoyed by low interest rates and steady cash flow generation. Despite intervals of volatility, we believed fundamentals remained stable and did not indicate a downturn in global economic growth or corporate earnings. Within this more volatile backdrop, we believed a thorough understanding of both market and company-specific variables may well be crucial to navigating the environment. With that said, we continue to focus on what we consider to be high quality companies with strong market positions and experienced management teams.
Indeed, regardless of market direction, we remain committed to our core philosophy and process. We intend to maintain a long-term time horizon, rather than forecast the next quarter. As always, we maintain our focus on undervalued companies that we believe have comparatively greater control of their own destiny, such as innovators with differentiated products, companies with low cost structures or companies that have been investing in their own businesses and may be poised to gain market share.
3
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Index Definitions
The Russell 1000® Value Index is an unmanaged market capitalization weighted index of the 1000 largest U.S. companies with lower price-to-book ratios and lower forecasted growth values. The figures for the index do not include any deduction for fees, expenses or taxes.
The Russell 2000® Index is an unmanaged index of common stock prices that measures the performance of the 2000 smallest companies in the Russell 3000® Index. The figures for the index do not include any deduction for fees, expenses or taxes.
The S&P 500® Index is the Standard & Poor’s composite index of 500 stocks, an unmanaged index of common stock prices. The figures for the index do not include any deduction for fees, expenses or taxes.
The Russell Midcap® Index measures the performance of the 800 smallest companies in the Russell 1000® Index, which represent approximately 25% of the total market capitalization of the Russell 1000® Index.
The Russell 1000® Index measures the performance of the 1,000 largest companies in the Russell 3000® Index, which represent approximately 92% of the total market capitalization of the Russell 3000® Index.
It is not possible to invest directly in an index.
4
FUND BASICS
Large Cap Value Fund
as of December 31, 2019
TOP TEN HOLDINGS AS OF 12/31/191
Holding | % of Net Assets | Line of Business | ||||
JPMorgan Chase & Co. | 4.2% | Banks | ||||
Berkshire Hathaway, Inc. Class B | 4.0 | Diversified Financials | ||||
Johnson & Johnson | 3.0 | Pharmaceuticals, Biotechnology & Life Sciences | ||||
Wells Fargo & Co. | 2.7 | Banks | ||||
Verizon Communications, Inc. | 2.6 | Telecommunication Services | ||||
Chevron Corp. | 2.5 | Energy | ||||
Procter & Gamble Co. (The) | 2.5 | Household & Personal Products | ||||
Citigroup, Inc. | 2.2 | Banks | ||||
Walmart, Inc. | 2.2 | Food & Staples Retailing | ||||
Walt Disney Co. (The) | 2.2 | Media & Entertainment |
1 | The top 10 holdings may not be representative of the Fund’s future investments. |
FUND VS. BENCHMARK SECTOR ALLOCATIONS2
As of December 31, 2019
2 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. Underlying sector allocations of exchange traded funds and investment companies held by the Fund are not reflected in the graph above. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
5
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Performance Summary
December 31, 2019
The following graph shows the value, as of December 31, 2019, of a $10,000 investment made on January 1, 2010 in Service Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the Russell 1000® Value Index (with distributions reinvested), is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Large Cap Value Fund’s 10 Year Performance
Performance of a $10,000 investment, with distributions reinvested, from January 1, 2010 through December 31, 2019.
Average Annual Total Return through December 31, 2019 | One Year | Five Years | Ten Years | |||
Institutional | 25.93% | 6.19% | 9.60% | |||
Service | 25.61% | 5.93% | 9.32% |
6
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Schedule of Investments
December 31, 2019
Shares | Description | Value | ||||||
Common Stocks – 99.8% | ||||||||
Automobiles & Components – 0.7% | ||||||||
32,776 | Aptiv plc | $ | 3,112,737 | |||||
|
| |||||||
Banks – 12.1% | ||||||||
222,808 | Bank of America Corp. | 7,847,298 | ||||||
129,837 | Citigroup, Inc. | 10,372,678 | ||||||
141,742 | JPMorgan Chase & Co. | 19,758,835 | ||||||
34,868 | M&T Bank Corp. | 5,918,843 | ||||||
239,002 | Wells Fargo & Co. | 12,858,307 | ||||||
|
| |||||||
56,755,961 | ||||||||
|
| |||||||
Capital Goods – 7.5% | ||||||||
8,059 | Boeing Co. (The) | 2,625,300 | ||||||
30,781 | Deere & Co. | 5,333,116 | ||||||
624,900 | General Electric Co. | 6,973,884 | ||||||
30,699 | Honeywell International, Inc. | 5,433,723 | ||||||
69,396 | ITT, Inc. | 5,129,058 | ||||||
11,448 | Northrop Grumman Corp. | 3,937,768 | ||||||
34,174 | Stanley Black & Decker, Inc. | 5,663,999 | ||||||
|
| |||||||
35,096,848 | ||||||||
|
| |||||||
Commercial & Professional Services – 0.5% | ||||||||
26,395 | Waste Connections, Inc. | 2,396,402 | ||||||
|
| |||||||
Consumer Durables & Apparel – 1.0% | ||||||||
45,624 | PVH Corp. | 4,797,364 | ||||||
|
| |||||||
Consumer Services – 3.1% | ||||||||
33,589 | Las Vegas Sands Corp. | 2,318,985 | ||||||
40,028 | McDonald’s Corp. | 7,909,933 | ||||||
32,775 | Royal Caribbean Cruises Ltd. | 4,375,790 | ||||||
|
| |||||||
14,604,708 | ||||||||
|
| |||||||
Diversified Financials – 8.7% | ||||||||
51,177 | American Express Co. | 6,371,025 | ||||||
82,153 | Berkshire Hathaway, Inc. Class B* | 18,607,654 | ||||||
9,263 | BlackRock, Inc. | 4,656,510 | ||||||
45,012 | Intercontinental Exchange, Inc. | 4,165,861 | ||||||
83,817 | Morgan Stanley | 4,284,725 | ||||||
28,756 | Northern Trust Corp. | 3,055,037 | ||||||
|
| |||||||
41,140,812 | ||||||||
|
| |||||||
Energy – 6.6% | ||||||||
95,179 | Baker Hughes Co. | 2,439,438 | ||||||
52,703 | Cheniere Energy, Inc.* | 3,218,572 | ||||||
96,141 | Chevron Corp. | 11,585,952 | ||||||
50,256 | EOG Resources, Inc. | 4,209,442 | ||||||
94,829 | Exxon Mobil Corp. | 6,617,168 | ||||||
51,043 | Marathon Petroleum Corp. | 3,075,341 | ||||||
|
| |||||||
31,145,913 | ||||||||
|
| |||||||
Food & Staples Retailing – 2.9% | ||||||||
75,356 | US Foods Holding Corp.* | 3,156,663 | ||||||
87,050 | Walmart, Inc. | 10,345,022 | ||||||
|
| |||||||
13,501,685 | ||||||||
|
| |||||||
Food, Beverage & Tobacco – 2.9% | ||||||||
17,041 | Constellation Brands, Inc. Class A | 3,233,530 | ||||||
74,929 | Mondelez International, Inc. Class A | 4,127,089 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Food, Beverage & Tobacco – (continued) | ||||||||
76,388 | Philip Morris International, Inc. | 6,499,855 | ||||||
|
| |||||||
13,860,474 | ||||||||
|
| |||||||
Health Care Equipment & Services – 6.8% | ||||||||
10,020 | ABIOMED, Inc.* | 1,709,312 | ||||||
81,977 | Boston Scientific Corp.* | 3,707,000 | ||||||
9,787 | Cooper Cos., Inc. (The) | 3,144,465 | ||||||
92,381 | CVS Health Corp. | 6,862,984 | ||||||
34,601 | Danaher Corp. | 5,310,561 | ||||||
15,072 | Envista Holdings Corp.* | 446,734 | ||||||
14,157 | Humana, Inc. | 5,188,824 | ||||||
37,670 | Zimmer Biomet Holdings, Inc. | 5,638,446 | ||||||
|
| |||||||
32,008,326 | ||||||||
|
| |||||||
Household & Personal Products – 2.5% | ||||||||
92,470 | Procter & Gamble Co. (The) | 11,549,503 | ||||||
|
| |||||||
Insurance – 4.8% | ||||||||
47,720 | Allstate Corp. (The) | 5,366,114 | ||||||
35,660 | American Financial Group, Inc. | 3,910,119 | ||||||
67,997 | American International Group, Inc. | 3,490,286 | ||||||
38,631 | Chubb Ltd. | 6,013,301 | ||||||
18,199 | Willis Towers Watson plc | 3,675,106 | ||||||
|
| |||||||
22,454,926 | ||||||||
|
| |||||||
Materials – 4.3% | ||||||||
9,382 | Celanese Corp. | 1,155,112 | ||||||
85,477 | DuPont de Nemours, Inc. | 5,487,623 | ||||||
32,883 | Linde plc | 7,000,791 | ||||||
10,923 | Martin Marietta Materials, Inc. | 3,054,508 | ||||||
29,745 | Packaging Corp. of America | 3,331,142 | ||||||
|
| |||||||
20,029,176 | ||||||||
|
| |||||||
Media & Entertainment – 6.4% | ||||||||
97,450 | Activision Blizzard, Inc. | 5,790,479 | ||||||
3,406 | Alphabet, Inc. Class A* | 4,561,962 | ||||||
157,843 | Comcast Corp. Class A | 7,098,200 | ||||||
11,973 | Facebook, Inc. Class A* | 2,457,458 | ||||||
70,620 | Walt Disney Co. (The) | 10,213,771 | ||||||
|
| |||||||
30,121,870 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences – 7.1% | ||||||||
32,950 | Agilent Technologies, Inc. | 2,810,964 | ||||||
81,982 | AstraZeneca plc ADR | 4,087,623 | ||||||
152,512 | Elanco Animal Health, Inc.* | 4,491,478 | ||||||
40,904 | Eli Lilly & Co. | 5,376,013 | ||||||
97,102 | Johnson & Johnson | 14,164,269 | ||||||
61,705 | Pfizer, Inc. | 2,417,602 | ||||||
|
| |||||||
33,347,949 | ||||||||
|
| |||||||
Real Estate Investment Trusts – 4.1% | ||||||||
27,563 | Alexandria Real Estate Equities, Inc. | 4,453,630 | ||||||
28,414 | AvalonBay Communities, Inc. | 5,958,416 | ||||||
33,507 | Extra Space Storage, Inc. | 3,539,009 | ||||||
143,150 | Hudson Pacific Properties, Inc. | 5,389,597 | ||||||
|
| |||||||
19,340,652 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 7 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Schedule of Investments(continued)
December 31, 2019
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Retailing – 0.6% | ||||||||
25,658 | Lowe’s Cos., Inc. | $ | 3,072,802 | |||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 2.5% | ||||||||
78,921 | Intel Corp. | 4,723,422 | ||||||
111,784 | Marvell Technology Group Ltd. | 2,968,983 | ||||||
31,128 | Texas Instruments, Inc. | 3,993,411 | ||||||
|
| |||||||
11,685,816 | ||||||||
|
| |||||||
Software & Services – 2.9% | ||||||||
35,136 | Citrix Systems, Inc. | 3,896,582 | ||||||
52,878 | Cognizant Technology Solutions Corp. Class A | 3,279,494 | ||||||
26,745 | Fidelity National Information Services, Inc. | 3,719,962 | ||||||
17,744 | Microsoft Corp. | 2,798,229 | ||||||
|
| |||||||
13,694,267 | ||||||||
|
| |||||||
Technology Hardware & Equipment – 0.8% | ||||||||
36,009 | Cisco Systems, Inc. | 1,726,992 | ||||||
82,593 | Juniper Networks, Inc. | 2,034,265 | ||||||
|
| |||||||
3,761,257 | ||||||||
|
| |||||||
Telecommunication Services – 2.6% | ||||||||
201,805 | Verizon Communications, Inc. | 12,390,827 | ||||||
|
| |||||||
Transportation – 2.1% | ||||||||
24,557 | Norfolk Southern Corp. | 4,767,251 | ||||||
28,580 | Union Pacific Corp. | 5,166,978 | ||||||
|
| |||||||
9,934,229 | ||||||||
|
| |||||||
Utilities – 6.3% | ||||||||
64,677 | Ameren Corp. | 4,967,194 | ||||||
31,815 | American Water Works Co., Inc. | 3,908,473 | ||||||
34,087 | Atmos Energy Corp. | 3,812,972 | ||||||
67,647 | CMS Energy Corp. | 4,250,937 | ||||||
29,537 | NextEra Energy, Inc. | 7,152,680 | ||||||
83,817 | Xcel Energy, Inc. | 5,321,541 | ||||||
|
| |||||||
29,413,797 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $392,761,762) | $ | 469,218,301 | ||||||
|
|
Shares | Dividend Rate | Value | ||||||
Investment Company(a) – 0.2% | ||||||||
| Goldman Sachs Financial Square Government Fund — | |||||||
771,927 | 1.638% | $ | 771,927 | |||||
(Cost $771,927) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 100.0% | ||||||||
(Cost $393,533,689) | $ | 469,990,228 | ||||||
|
| |||||||
| LIABILITIES IN EXCESS OF | (117,964 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% | $ | 469,872,264 | ||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | Represents an Affiliated Issuer. |
Investment Abbreviation: | ||
ADR | —American Depositary Receipt |
8 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Statement of Assets and Liabilities
December 31, 2019
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $392,761,762) | $ | 469,218,301 | ||
Investments in affiliated issuers, at value (cost $771,927) | 771,927 | |||
Cash | 447,501 | |||
Due from Custodian | 12,260 | |||
Receivables: | ||||
Dividends | 533,066 | |||
Fund shares sold | 122,107 | |||
Reimbursement from investment adviser | 26,649 | |||
Total assets | 471,131,811 | |||
Liabilities: | ||||
Payables: | ||||
Fund shares redeemed | 700,381 | |||
Management fees | 273,285 | |||
Distribution and Service fees and Transfer Agency fees | 72,442 | |||
Accrued expenses | 213,439 | |||
Total liabilities | 1,259,547 | |||
Net Assets: | ||||
Paid-in capital | 386,019,401 | |||
Total distributable earnings (loss) | 83,852,863 | |||
NET ASSETS | $ | 469,872,264 | ||
Net Assets: | ||||
Institutional | $ | 163,814,284 | ||
Service | 306,057,980 | |||
Total Net Assets | $ | 469,872,264 | ||
Shares outstanding $0.001 par value (unlimited shares authorized): | ||||
Institutional | 17,822,818 | |||
Service | 33,290,424 | |||
Net asset value, offering and redemption price per share: | ||||
Institutional | $9.19 | |||
Service | 9.19 |
The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Statement of Operations
For the Fiscal Year Ended December 31, 2019
Investment income: | ||||
Dividends — unaffiliated issuers (net of foreign taxes withheld of $6,736) | $ | 10,082,554 | ||
Dividends — affiliated issuers | 57,939 | |||
Securities lending income — unaffiliated issuer | 19,664 | |||
Total investment income | 10,160,157 | |||
Expenses: | ||||
Management fees | 3,330,092 | |||
Distribution and Service fees — Service Shares | 757,066 | |||
Shareholder meeting expense | 107,155 | |||
Professional fees | 97,614 | |||
Printing and mailing costs | 96,475 | |||
Transfer Agency fees(a) | 92,495 | |||
Custody, accounting and administrative services | 80,601 | |||
Trustee fees | 16,557 | |||
Registration fees | 542 | |||
Other | 20,059 | |||
Total expenses | 4,598,656 | |||
Less — expense reductions | (442,785 | ) | ||
Net expenses | 4,155,871 | |||
NET INVESTMENT INCOME | 6,004,286 | |||
Realized and unrealized gain: | ||||
Net realized gain from investments — unaffiliated issuers | 20,966,506 | |||
Net change in unrealized gain on investments — unaffiliated issuers | 78,158,001 | |||
Net realized and unrealized gain | 99,124,507 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 105,128,793 |
(a) Institutional and Service Shares incurred Transfer Agency fees of $31,935 and $60,560, respectively.
10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Statements of Changes in Net Assets
For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||
From operations: | ||||||||
Net investment income | $ | 6,004,286 | $ | 5,902,274 | ||||
Net realized gain | 20,966,506 | 38,681,430 | ||||||
Net change in unrealized gain (loss) | 78,158,001 | (85,485,686 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 105,128,793 | (40,901,982 | ) | |||||
Distributions to shareholders: | ||||||||
From distributable earnings: | ||||||||
Institutional Shares | (7,943,415 | ) | (11,515,289 | ) | ||||
Service Shares | (14,094,598 | ) | (20,776,605 | ) | ||||
Total distributions to shareholders | (22,038,013 | ) | (32,291,894 | ) | ||||
From share transactions: | ||||||||
Proceeds from sales of shares | 13,557,948 | 25,313,246 | ||||||
Reinvestment of distributions | 22,038,013 | 32,291,894 | ||||||
Cost of shares redeemed | (82,668,632 | ) | (97,515,109 | ) | ||||
Net decrease in net assets resulting from share transactions | (47,072,671 | ) | (39,909,969 | ) | ||||
TOTAL INCREASE (DECREASE) | 36,018,109 | (113,103,845 | ) | |||||
Net Assets: | ||||||||
Beginning of year | 433,854,155 | 546,958,000 | ||||||
End of year | $ | 469,872,264 | $ | 433,854,155 |
The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
Goldman Sachs Large Cap Value Fund | ||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of year | $ | 7.67 | $ | 9.06 | $ | 10.16 | $ | 9.39 | $ | 11.39 | ||||||||||
Net investment income(a) | 0.13 | 0.12 | 0.16 | 0.18 | 0.15 | |||||||||||||||
Net realized and unrealized gain (loss) | 1.86 | (0.88 | ) | 0.83 | 0.91 | (0.67 | ) | |||||||||||||
Total from investment operations | 1.99 | (0.76 | ) | 0.99 | 1.09 | (0.52 | ) | |||||||||||||
Distributions to shareholders from net investment income | (0.14 | ) | (0.12 | ) | (0.18 | ) | (0.22 | ) | (0.16 | ) | ||||||||||
Distributions to shareholders from net realized gains | (0.33 | ) | (0.51 | ) | (1.91 | ) | (0.10 | ) | (1.32 | ) | ||||||||||
Total distributions | (0.47 | ) | (0.63 | ) | (2.09 | ) | (0.32 | ) | (1.48 | ) | ||||||||||
Net asset value, end of year | $ | 9.19 | $ | 7.67 | $ | 9.06 | $ | 10.16 | $ | 9.39 | ||||||||||
Total return(b) | 25.93 | % | (8.46 | )% | 9.85 | % | 11.55 | % | (4.41 | )% | ||||||||||
Net assets, end of year (in 000s) | $ | 163,814 | $ | 150,963 | �� | $ | 188,182 | $ | 243,875 | $ | 279,910 | |||||||||
Ratio of net expenses to average net assets | 0.73 | % | 0.71 | % | 0.72 | % | 0.74 | % | 0.74 | % | ||||||||||
Ratio of total expenses to average net assets | 0.83 | % | 0.81 | % | 0.81 | % | 0.81 | % | 0.81 | % | ||||||||||
Ratio of net investment income to average net assets | 1.46 | % | 1.32 | % | 1.50 | % | 1.91 | % | 1.38 | % | ||||||||||
Portfolio turnover rate(c) | 58 | % | 125 | % | 127 | % | 130 | % | 83 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
(c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
12 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
Goldman Sachs Large Cap Value Fund | ||||||||||||||||||||
Service Shares | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of year | $ | 7.67 | $ | 9.06 | $ | 10.16 | $ | 9.39 | $ | 11.38 | ||||||||||
Net investment income(a) | 0.11 | 0.10 | 0.13 | 0.16 | 0.13 | |||||||||||||||
Net realized and unrealized gain (loss) | 1.85 | (0.88 | ) | 0.83 | 0.90 | (0.67 | ) | |||||||||||||
Total from investment operations | 1.96 | (0.78 | ) | 0.96 | 1.06 | (0.54 | ) | |||||||||||||
Distributions to shareholders from net investment income | (0.11 | ) | (0.10 | ) | (0.15 | ) | (0.19 | ) | (0.13 | ) | ||||||||||
Distributions to shareholders from net realized gains | (0.33 | ) | (0.51 | ) | (1.91 | ) | (0.10 | ) | (1.32 | ) | ||||||||||
Total distributions | (0.44 | ) | (0.61 | ) | (2.06 | ) | (0.29 | ) | (1.45 | ) | ||||||||||
Net asset value, end of year | $ | 9.19 | $ | 7.67 | $ | 9.06 | $ | 10.16 | $ | 9.39 | ||||||||||
Total return(b) | 25.61 | % | (8.72 | )% | 9.56 | % | 11.25 | % | (4.58 | )% | ||||||||||
Net assets, end of year (in 000s) | $ | 306,058 | $ | 282,891 | $ | 358,776 | $ | 531,553 | $ | 610,689 | ||||||||||
Ratio of net expenses to average net assets | 0.98 | % | 0.96 | % | 0.97 | % | 0.99 | % | 0.99 | % | ||||||||||
Ratio of total expenses to average net assets | 1.08 | % | 1.06 | % | 1.06 | % | 1.06 | % | 1.06 | % | ||||||||||
Ratio of net investment income to average net assets | 1.21 | % | 1.07 | % | 1.26 | % | 1.66 | % | 1.13 | % | ||||||||||
Portfolio turnover rate(c) | 58 | % | 125 | % | 127 | % | 130 | % | 83 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
(c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Notes to Financial Statements
December 31, 2019
1. ORGANIZATION
Goldman Sachs Variable Insurance Trust (the “Trust” or “VIT”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as anopen-end management investment company. The Trust includes the Goldman Sachs Large Cap Value Fund (the “Fund”). The Fund is a diversified portfolio under the Act offering two classes of shares — Institutional and Service Shares. Shares of the Trust are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (“Goldman Sachs”), serves as investment adviser to the Fund pursuant to a management agreement (the “Agreement”) with the Trust.
2. SIGNIFICANT ACCOUNTING POLICIES
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. The Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.
A. Investment Valuation — The Fund’s valuation policy is to value investments at fair value.
B. Investment Income and Investments —Investment income includes interest income, dividend income, and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized onex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to theex-dividend date.Non-cash dividends, if any, are recorded at the fair market value of the securities received. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Investment income is recorded net of any foreign withholding taxes, less any amounts reclaimable. The Fund may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Fund’s investments in United States (“U.S.”) real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain and/or a return of capital. A return of capital is recorded by the Fund as a reduction to the cost basis of the REIT.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, andnon-class specific expenses of the Fund are allocated daily based upon the proportion of net assets of each class.Non-class specific expenses directly incurred by the Fund are charged to the Fund, while such expenses incurred by the Trust are allocated across the Fund on a straight-line and/orpro-rata basis depending upon the nature of the expenses. Class-specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service and Transfer Agency fees.
D. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on theex-dividend date. Income and capital gains distributions, if any, are declared and paid at least annually.
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the Fund’s distributions may be shown in the accompanying financial statements as either from distributable earnings or capital. Certain components of the Fund’s net assets on the Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
14
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS
U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Fund’s policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Fund, including investments for which market quotations are not readily available. The Trustees have delegated to GSAMday-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Fund’s investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a U.S. securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities may be valued at the closing bid price for long positions and at the closing ask price for short positions. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price for long positions or the last ask price for short positions, and are generally classified as Level 2.
Money Market Funds — Investments in the Goldman Sachs Financial Square Government Fund (“Underlying Fund”) are valued at the NAV per share of the Institutional Share class on the day of valuation. These investments are generally classified as Level 1 of the fair value hierarchy. For information regarding the Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Fund’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Fund’s NAV. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.
15
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Notes to Financial Statements(continued)
December 31, 2019
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
C. Fair Value Hierarchy — The following is a summary of the Fund’s investments classified in the fair value hierarchy as of December 31, 2019:
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Europe | $ | 11,088,414 | $ | — | $ | — | ||||||
North America | 458,129,887 | — | — | |||||||||
Investment Company | 771,927 | — | — | |||||||||
Total | $ | 469,990,228 | $ | — | $ | — |
(a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of NAV. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. |
For further information regarding security characteristics, see the Schedule of Investments.
4. AGREEMENTS AND AFFILIATED TRANSACTIONS
A. Management Agreement — Under the Agreement, GSAM manages the Fund, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Fund’s business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
For the fiscal year ended December 31, 2019, contractual and effective net management fees with GSAM were at the following rates:
Contractual Management Rate | ||||||||||||||||||||||||||
First $1 billion | Next $1 billion | Next $3 billion | Next $3 billion | Over $8 billion | Effective Rate | Effective Net Management Rate^ | ||||||||||||||||||||
0.72% | 0.65 | % | 0.62 | % | 0.60 | % | 0.59 | % | 0.72 | % | 0.69 | * |
^ | Effective Net Management Rate includes the impact of management fee waivers of affiliated Underlying Funds, if any. |
* | GSAM agreed to waive a portion of its management fee in order to achieve a net management rate, as defined in the Fund’s most recent prospectus. This waiver will be effective through at least April 30, 2020, and prior to such date GSAM may not terminate the arrangement without approval of the Trustees. For the fiscal year ended December 31, 2019, GSAM waived $138,751 of its management fee. |
The Fund invests in Institutional Shares of the Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Fund in an amount equal to the management fee it earns as an investment adviser to the affiliated Underlying Fund in which the Fund invests, except those management fees it earns from the Fund’s investments of cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund. For the fiscal year ended December 31, 2019, GSAM waived $4,423 of the Fund’s management fee.
B. Distribution and Service(12b-1) Plan — The Trust, on behalf of Service Shares of the Fund, has adopted a Distribution and Service Plan subject to Rule12b-1 under the Act. Under the Distribution and Service Plan, Goldman Sachs, which serves as distributor, is entitled to a fee accrued daily and paid monthly, for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers, equal to, on an annual basis, 0.25% of the Fund’s average daily net assets attributable to Service Shares.
16
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
C. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Fund for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at an annual rate of 0.02% of the average daily net assets of Institutional and Service Shares.
D. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or limit certain “Other Expenses” of the Fund (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of the Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Fund is not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitation as an annual percentage rate of average daily net assets for the Fund is 0.004%. The Other Expense limitation will remain in place through at least April 30, 2020, and prior to such date GSAM may not terminate the arrangement without the approval of the Trustees. In addition, the Fund has entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Fund’s expenses and are received irrespective of the application of the “Other Expense” limitation described above.
For the fiscal year ended December 31, 2019, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
Management Fee Waiver | Custody Fee Credits | Other Expense Reimbursement | Total Expense Reductions | |||||||||||
$143,174 | $ | 6,273 | $ | 293,338 | $ | 442,785 |
E. Line of Credit Facility — As of December 31, 2019, the Fund participated in a $580,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the fiscal year ended December 31, 2019, the Fund did not have any borrowings under the facility. Prior to April 30, 2019 the facility was $770,000,000.
F. Other Transactions with Affiliates — For the fiscal year ended December 31, 2019, Goldman Sachs earned $1,870 in brokerage commissions from portfolio transactions.
The following table provides information about the Fund’s investments in the Goldman Sachs Financial Square Government Fund as of and for the fiscal year ended December 31, 2019:
Beginning Value as of December 31, 2018 | Purchases at Cost | Proceeds from Sales | Ending Value as of December 31, 2019 | Shares as of December 31, 2019 | Dividend Income from Affiliated Investment Company | |||||||||||||||||
$ | 2,443,839 | $ | 69,377,451 | $ | (71,049,363 | ) | $ | 771,927 | 771,927 | $ | 57,939 |
5. PORTFOLIO SECURITIES TRANSACTIONS
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended December 31, 2019, were $265,124,519 and $318,984,259 respectively.
17
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Notes to Financial Statements(continued)
December 31, 2019
6. SECURITIES LENDING
The Fund may lend its securities through a securities lending agent, the Bank of New York Mellon (“BNYM”), to certain qualified borrowers. In accordance with the Fund’s securities lending procedures, the Fund receives cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities is determined at the close of business of the Fund, at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Fund on the next business day. As with other extensions of credit, the Fund may experience delay in the recovery of its securities or incur a loss should the borrower of the securities breach its agreement with the Fund or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Dividend income received from securities on loan may not be subject to withholding taxes and therefore withholding taxes paid may differ from the amounts listed in the Statement of Operations. Loans of securities are terminable at any time and as such 1) the remaining contractual maturities of the outstanding securities lending transactions are considered to be overnight and continuous and 2) the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
The Fund invests the cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund (“Government Money Market Fund”), an affiliated series of the Goldman Sachs Trust. The Government Money Market Fund is registered under the Act as an open end investment company, is subject to Rule2a-7 under the Act, and is managed by GSAM, for which GSAM may receive a management fee of up to 0.16% on an annualized basis of the average daily net assets of the Government Money Market Fund.
In the event of a default by a borrower with respect to any loan, BNYM may exercise any and all remedies provided under the applicable borrower agreement to make the Fund whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If BNYM is unable to purchase replacement securities, BNYM will indemnify the Fund by paying the Fund an amount equal to the market value of the securities loaned minus the value of cash collateral received from the borrower for the loan, subject to an exclusion for any shortfalls resulting from a loss of value in such cash collateral due to reinvestment risk. The Fund’s master netting agreements with certain borrowers provide the right, in the event of a default (including bankruptcy or insolvency), for thenon-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. However, in the event of a default by a borrower, a resolution authority could determine that such rights are not enforceable due to the restrictions or prohibitions against the right ofset-off that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws. The Fund’s loaned securities were all subject to enforceable Securities Lending Agreements and the value of the collateral was at least equal to the value of the cash received. The amounts of the Fund’s overnight and continuous agreements, which represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of December 31, 2019, are disclosed as “Payable upon return of securities loaned” on the Statement of Assets and Liabilities, where applicable. The Fund did not have securities on loan as of December 31, 2019.
Both the Fund and BNYM received compensation relating to the lending of the Fund’s securities. The amounts earned, if any, by the Fund for the fiscal year ended December 31, 2019, are reported under Investment Income on the Statement of Operations.
The following table provides information about the Fund’s investment in the Government Money Market Fund for the fiscal year ended December 31, 2019:
Beginning Value as of December 31, 2018 | Purchases at Cost | Proceeds from Sales | Ending Value as of December 31, 2019 | |||||||||||
$ | — | $ | 7,899,221 | $ | (7,899,221 | ) | $ | — |
18
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
7. TAX INFORMATION
The tax character of distributions paid during the fiscal years ended December 31, 2018 and December 31, 2019 was as follows:
2018 | 2019 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 6,015,014 | $ | 5,962,422 | ||||
Net long-term capital gains | 26,276,880 | 16,075,591 | ||||||
Total taxable distributions | $ | 32,291,894 | $ | 22,038,013 |
As of December 31, 2019, the components of accumulated earnings (losses) on atax-basis were as follows:
Undistributed ordinary income — net | $ | 618,424 | ||
Undistributed long-term capital gains | 7,835,269 | |||
Total undistributed earnings | $ | 8,453,693 | ||
Timing differences (Real Estate Investment Trusts) | 28,390 | |||
Unrealized gains — net | 75,370,780 | |||
Total accumulated earnings — net | $ | 83,852,863 |
As of December 31, 2019, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Tax cost | $ | 394,619,448 | ||
Gross unrealized gain | 82,745,896 | |||
Gross unrealized loss | (7,375,116 | ) | ||
Net unrealized gain | $ | 75,370,780 |
The difference between GAAP-basis andtax-basis unrealized gains (losses) is attributable primarily to wash sales and differences in the tax treatment of real estate investment trust investments.
GSAM has reviewed the Fund’s tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
8. OTHER RISKS
The Fund’s risks include, but are not limited to, the following:
Investments in Other Investment Companies Risk —As a shareholder of another investment company, the Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund.
Large Shareholder Transactions Risk — The Fund may experience adverse effects when certain large shareholders, such as other funds, participating insurance companies, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of the Fund. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may cause the Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact the Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in the Fund’s current expenses being allocated over
19
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Notes to Financial Statements(continued)
December 31, 2019
8. OTHER RISKS (continued)
a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect the Fund’s performance to the extent that the Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.
Liquidity Risk — The Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that the Fund will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, the Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If the Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Fund’s NAV and dilute remaining investors’ interests. Redemptions by large shareholders may have a negative impact on the Fund’s liquidity.
Market and Credit Risks — In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
9. INDEMNIFICATIONS
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
10. OTHER MATTERS
On November 5, 2019, a definitive proxy statement (“proxy”) was filed with the SEC to elect certain Trustees to the Trust. The Fund will bear its respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse the Fund to the extent such expenses exceed a specified percentage of the Fund’s net assets.
11. SUBSEQUENT EVENTS
Subsequent events after the Statement of Assets and Liabilities date other than above have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
20
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
12. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 624,452 | $ | 5,567,317 | 854,945 | $ | 7,399,623 | ||||||||||
Reinvestment of distributions | 872,903 | 7,943,415 | 1,482,019 | 11,515,289 | ||||||||||||
Shares redeemed | (3,356,752 | ) | (29,321,564 | ) | (3,417,525 | ) | (30,831,738 | ) | ||||||||
(1,859,397 | ) | (15,810,832 | ) | (1,080,561 | ) | (11,916,826 | ) | |||||||||
Service Shares | ||||||||||||||||
Shares sold | 940,302 | 7,990,631 | 2,024,327 | 17,913,623 | ||||||||||||
Reinvestment of distributions | 1,548,857 | 14,094,598 | 2,673,952 | 20,776,605 | ||||||||||||
Shares redeemed | (6,071,122 | ) | (53,347,068 | ) | (7,416,119 | ) | (66,683,371 | ) | ||||||||
(3,581,963 | ) | (31,261,839 | ) | (2,717,840 | ) | (27,993,143 | ) | |||||||||
NET DECREASE | (5,441,360 | ) | $ | (47,072,671 | ) | (3,798,401 | ) | $ | (39,909,969 | ) |
21
Report of Independent Registered Public Accounting Firm
Tothe Board of Trustees of Goldman Sachs Variable Insurance Trust and Shareholders of Goldman Sachs Large Cap Value Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Goldman Sachs Large Cap Value Fund (one of the funds constituting Goldman Sachs Variable Insurance Trust, referred to hereafter as the “Fund”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statements of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes,and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 14, 2020
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
22
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Voting Results of Special Meeting of Shareholders (Unaudited)
A Special Meeting (the “Meeting”) of the Goldman Sachs Variable Insurance Trust (“VIT”) was held on January 23, 2020 to consider and act upon the proposal below. The Fund will amortize its respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse the Fund to the extent such expenses exceed a specified percentage of the Fund’s net assets.
At the Meeting, Dwight L. Bush, Kathryn A. Cassidy, Joaquin Delgado and Gregory G. Weaver were elected to the Trust’s Board of Trustees. In electing trustees, the Trust’s shareholders voted as follows:
Proposal 1.
Election of Trustees | For | Against | Withheld | Broker Non-Votes | ||||||||||||
Dwight L. Bush | 745,493,677.130 | 0 | 17,848,840.639 | 0 | ||||||||||||
Kathryn A. Cassidy | 746,559,784.810 | 0 | 16,782,732.959 | 0 | ||||||||||||
Joaquin Delgado | 744,593,456.532 | 0 | 18,749,061.237 | 0 | ||||||||||||
Gregory G. Weaver | 746,707,039.321 | 0 | 16,635,478.448 | 0 | �� |
23
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Fund Expenses — Six Month Period Ended December 31, 2019 (Unaudited) |
As a shareholder of Institutional or Service Shares of the Fund, you incur ongoing costs, including management fees, distribution and/or service(12b-1) fees (with respect to Service Shares) and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Institutional Shares and Service Shares of the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2019 through December 31, 2019, which represents a period of 184 days of a 365 day year.
Actual Expenses— The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes— The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Fund, you do not incur any transaction costs, such as sales charges, redemption fees, or exchange fees, but shareholders of other funds may incur such costs. The second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds whose shareholders may incur transaction costs.
Share Class | Beginning Account Value 07/01/19 | Ending Account Value 12/31/19 | Expenses Paid for the 6 Months Ended 12/31/19* | |||||||||
Institutional | ||||||||||||
Actual | $ | 1,000 | $ | 1,085.20 | $ | 3.84 | ||||||
Hypothetical 5% return | 1,000 | 1,021.53 | + | 3.72 | ||||||||
Service | ||||||||||||
Actual | 1,000 | 1,083.80 | 5.15 | |||||||||
Hypothetical 5% return | 1,000 | 1,020.27 | + | 4.99 |
+ | Hypothetical expenses are based on the Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
* | Expenses are calculated using the Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended December 31, 2019. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 0.73% and 0.98% for Institutional and Service Shares, respectively. |
24
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Trustees and Officers (Unaudited)
Independent Trustees
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||||
Jessica Palmer Age: 70 | Chair of the Board of Trustees | Since 2018 (Trustee since 2007) | Ms. Palmer is retired. She was formerly Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009).
Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Kathryn A. Cassidy Age: 65 | Trustee | Since 2015 | Ms. Cassidy is retired. Formerly, she was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Diana M. Daniels Age: 70 | Trustee | Since 2007 | Ms. Daniels is retired. Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is a Trustee Emeritus and serves as a Presidential Councillor of Cornell University (2013-Present); former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Roy W. Templin Age: 59 | Trustee | Since 2013 | Mr. Templin is retired. He is Director, Armstrong World Industries, Inc. (a designer and manufacturer of ceiling, wall and suspension system solutions) (2016-Present); and was formerly Chairman of the Board of Directors, Con-Way Incorporated (a transportation, logistics and supply chain management service company) (2014-2015); Executive Vice President and Chief Financial Officer, Whirlpool Corporation (an appliance manufacturer and marketer) (2004-2012). Previously, Mr. Templin served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (June 2013-October 2013).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Armstrong World Industries, Inc. (a ceiling, wall and suspension systems solutions manufacturer) | |||||||
Gregory G. Weaver Age: 68 | Trustee | Since 2015 | Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Verizon Communications Inc. | |||||||
25
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Trustees and Officers (Unaudited) (continued)
Interested Trustee*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||||
James A. McNamara Age: 57 | President and Trustee | Since 2007 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | 165 | None | |||||||
Advisory Board Members
Name, Address, Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Advisory Board Member3 | Other Directorships Held by Advisory Board Member4 | |||||||
Dwight L. Bush Age: 62 | Advisory Board Member | Since 2019 | Ambassador Bush is President and CEO of D.L. Bush & Associates (a financial advisory and private investment firm) (2002-2014 and 2017-present); and was formerly U.S. Ambassador to the Kingdom of Morocco (2014-2017) and a Member of the Board of Directors of Santander Bank, N.A. (2018-2019).
Advisory Board Member — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Joaquin Delgado Age: 59 | Advisory Board Member | Since 2019 | Dr. Delgado is retired. He is Director, Hexion Inc. (a specialty chemical manufacturer) (2019-present); and Director, Stepan Company (a specialty chemical manufacturer) (2011-present); and was formerly Executive Vice President, Consumer Business Group of 3M Company (July 2016-July 2019); and Executive Vice President, Health Care Business Group of 3M Company (October 2012-July 2016).
Advisory Board Member — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Stepan Company (a specialty chemical manufacturer) | |||||||
* | Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. Mr. McNamara holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
1 | Each Trustee and Advisory Board Member may be contacted by writing to the Trustee or Advisory Board Member, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of December 31, 2019. |
2 | Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that (a) no Trustee shall hold office for more than 15 years and (b) a Trustee shall retire as of December 31st of the calendar year in which he or she reaches his or her 74th birthday, unless a waiver of such requirements shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. |
3 | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of December 31, 2019, Goldman Sachs Trust consisted of 89 portfolios; Goldman Sachs Variable Insurance Trust consisted of 13 portfolios; Goldman Sachs Trust II consisted of 19 portfolios (17 of which offered shares to the public); Goldman Sachs MLP Income Opportunities Fund, Goldman Sachs MLP and Energy Renaissance Fund, Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio; and Goldman Sachs ETF Trust consisted of 40 portfolios (21 of which offered shares to the public). |
4 | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Fund’s Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384. Additional information about the Advisory Board Members will be available in the Fund’s Statement of Additional Information dated April 30, 2020, which will be available from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
26
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | |||
James A. McNamara 200 West Street New York, NY 10282 Age: 57 | Trustee and President | Since 2007 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 42 | Secretary | Since 2012 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Associate General Counsel, Goldman Sachs (2012-Present); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006).
Secretary — Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Private Middle Market Credit II LLC; Goldman Sachs Middle Market Lending Corp.; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 51 | Treasurer, Principal Financial Officer and Principal Accounting Officer | Since 2017 (Treasurer and Principal Financial Officer since 2019) | Managing Director, Goldman Sachs (November 2015-Present) and Vice President — Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010-October 2015). Treasurer, Principal Financial Officer and Principal Accounting Officer — Goldman Sachs Trust (previously Assistant Treasurer (2016)); Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs MLP Income Opportunities Fund (previously Assistant Treasurer (2017)); Goldman Sachs MLP and Energy Renaissance Fund (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
* | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Fund’s Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
1 | Information is provided as of December 31, 2019. |
2 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
Goldman Sachs Variable Insurance Trust — Tax Information (Unaudited)
For the year ended December 31, 2019, 100% of the dividends paid from net investment company taxable income by the Large Cap Value Fund qualify for the dividends received deduction available to corporations.
Pursuant to Section 852 of the Internal Revenue Code, the Large Cap Value Fund designates $16,075,591 or, if different, the maximum amount allowable, as capital gain dividends paid during the fiscal year ended December 31, 2019.
27
TRUSTEES | OFFICERS James A. McNamara,President Joseph F. DiMaria,Principal Financial Officer, Principal Accounting Officer and Treasurer Caroline L. Kraus,Secretary | |
Jessica Palmer,Chair | ||
Dwight L. Bush* | ||
Kathryn A. Cassidy | ||
Diana M. Daniels | ||
Joaquin Delgado* | ||
James A. McNamara | ||
Roy W. Templin | ||
Gregory G. Weaver | ||
*Effective as of January 23, 2020 |
GOLDMAN SACHS & CO. LLC
Distributor and Transfer Agent
GOLDMAN SACHS ASSET MANAGEMENT, L.P.
Investment Adviser
200 West Street, New York
New York 10282
Visit our web site at www.GSAMFUNDS.com to obtain the most recentmonth-end returns.
The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Fund. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted proxies relating to portfolio securities for the12-month period ended December 31, is available (i) without charge, upon request by calling1-800-621-2550; and (ii) on the Securities and Exchange Commission (“SEC”) web site athttp://www.sec.gov.
The Fund will file its portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be made available on the SEC’s web site at http://www.sec.gov. Portfolio holdings information may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).
Views and opinions expressed are for informational purposes only and do not constitute a recommendation by GSAM to buy, sell, or hold any security. Views and opinions are current as of the date of this presentation and may be subject to change, they should not be construed as investment advice.
Goldman Sachs & Co. LLC (“Goldman Sachs”) does not provide legal, tax or accounting advice. Any statement contained in this communication (including any attachments) concerning U.S. tax matters was not intended or written to be used, and cannot be used, for the purpose of avoiding penalties under the Internal Revenue Code, and was written to support the promotion or marketing of transaction or matter addressed. Clients of Goldman Sachs should obtain their own independent tax advice based on their particular circumstances.
The website links provided are for your convenience only and are not an endorsement or recommendation by GSAM of any of these websites or the products or services offered. GSAM is not responsible for the accuracy and validity of the content of these websites.
Fund holdings and allocations shown are as of December 31, 2019 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
References to indices, benchmarks or other measures of relative market performance over a specified period of time are provided for your information only and do not imply that the portfolio will achieve similar results. The index composition may not reflect the manner in which a portfolio is constructed. While an adviser seeks to design a portfolio which reflects appropriate risk and return features, portfolio characteristics may deviate from those of the benchmark.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (“MSCI”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
Shares of the Goldman Sachs VIT Funds are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus or summary prospectus, if applicable. Investors should consider the Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the prospectus carefully before investing or sending money. The summary prospectus, if available, and the prospectus contain this and other information about the Fund and may be obtained from your authorized dealer or from Goldman Sachs & Co. LLC by calling1-800-621-2550.
This report is prepared for the general information of contract owners and is not an offer of shares of the Goldman Sachs Variable Insurance Trust — Goldman Sachs Large Cap Value Fund.
© 2020 Goldman Sachs. All rights reserved.
VITLCVAR-20/192291-OTU-1134415
Goldman
SachsVariable Insurance Trust
Goldman Sachs
Mid Cap Value Fund
Beginning on or after January 1, 2021, you may not receive paper copies of the Fund’s annual and semi-annual shareholder reports from the insurance company that offers your variable insurance contract or your financial intermediary, unless you specifically request paper copies of the reports from the insurance company or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. At any time, you may elect to receive reports and certain communications from the insurance company electronically by contacting your insurance company or your financial intermediary.
You may elect to receive all future shareholder reports in paper free of charge. You can inform the insurance company or your financial intermediary that you wish to receive paper copies of reports. Your election to receive reports in paper will apply to all Goldman Sachs Funds available under your contract and may apply to all funds held with your financial intermediary.
Annual Report
December 31, 2019
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
INVESTMENT OBJECTIVE
The Fund seeks long-term capital appreciation.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Value Portfolio Management Team discusses the Goldman Sachs Variable Insurance Trust — Goldman Sachs Mid Cap Value Fund’s (the “Fund”) performance and positioning for the12-month period ended December 31, 2019 (the “Reporting Period”).
How did the Fund perform during the Reporting Period?
During the Reporting Period, the Fund’s Institutional and Service Shares generated average annual total returns of 31.53% and 31.17%, respectively. These returns compare to the 27.06% average annual total return of the Fund’s benchmark, the Russell Midcap® Value Index (with dividends reinvested) (the “Russell Index”), during the same time period.
What economic and market factors most influenced the equity markets as a whole during the Reporting Period?
Representing the U.S. equity market, the S&P 500® Index returned 31.49% during the Reporting Period, achieving a record high and its strongest annual gain since 2013.
The U.S. equity market rallied at the start of the Reporting Period, almost completely recovering from asell-off at the end of 2018. After four gradual interest rate hikes in 2018, the U.S. Federal Reserve (“Fed”) cut interest rates three times in 2019 in an effort to keep the U.S. economic expansion intact amid trade uncertainties. The trade war between the U.S. and China pressured macroeconomic indicators throughout the first half of the calendar year but did little to suppress a resilient consumer, which ultimately outweighed manufacturing weakness. By the fourth quarter of 2019, U.S. stock returns accelerated with an uptick of U.S. manufacturing and service sector business surveys as well as a consistently strong labor market. The U.S. added more than 200,000 jobs in November 2019, double the break-even pace of long-term job growth. These developments helped restore market confidence, while fundamentals of low core inflation, contained financial imbalance and reduced drag of a trade war fended off imminent recession risk.
For the Reporting Period overall, all 11 sectors posted positive absolute returns, with all 11 generating double-digit gains. During the Reporting Period, information technology, communication services and financials were the best performing sectors in the S&P 500® Index, as measured by total return, while the weakest performing sectors in the S&P 500® Index were energy, health care and materials.
Within the U.S. equity market, all capitalization segments posted double-digit positive returns, led bylarge-cap stocks, as measured by the Russell 1000® Index, followed closely bymid-cap stocks, as measured by the Russell Midcap® Index, and then bysmall-cap stocks, as measured by the Russell 2000® Index. From a style perspective, growth-oriented stocks significantly outpaced value-oriented stocks across the capitalization spectrum. (All as measured by the FTSE Russell indices.)
What key factors were responsible for the Fund’s performance during the Reporting Period?
The Fund outperformed the Russell Index during the Reporting Period due primarily to stock selection overall. Sector allocation as a whole detracted, albeit modestly, from the Fund’s performance relative to the Russell Index during the Reporting Period.
Which equity market sectors most significantly affected Fund performance?
Contributing most positively to the Fund’s relative results during the Reporting Period was effective stock selection in the real estate, health care and consumer discretionary sectors. Such positive contributors were only partially offset by stock selection in the energy and financials sectors, which detracted. Having a position in cash during the Reporting Period when the Russell Index rallied also dampened the Fund’s relative results.
What were some of the Fund’s best-performing individual stocks?
The Fund benefited most relative to the Russell Index from positions in Marvell Technology Group, Martin Marietta Materials and ITT.
Marvell Technology Group, an integrated circuit designer, developer and seller, saw its stock gain rather steadily to start 2019 and then rise even faster during the course of the calendar year as gains came on the back of U.S.-China trade headlines that boosted
1
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
the semiconductor industry as a whole. Strong first quarter 2019 results featuring above consensus revenue and earnings per share and a positive outlook on the future of the firm’s fifth-generation, or 5G, capabilities boosted the company’s share price as well. Marvell Technology Group also announced the sale of its connectivity assets to NXP Semiconductors, marking the divestiture of an arm that offered few synergies to other, stronger segments of the firm, which the market received positively. This deal fits into a broader pattern of strategic transactions that Marvell Technology Group’s management team has been pursuing. At the end of the Reporting Period, we believed these strategic acquisitions and divestitures, its enhanced position in 5G, and what we saw as its improved financial flexibility may be indicators of potential positive performance going forward.
Martin Marietta Materials is a company engaged in the provision of aggregates, including crushed stone, sand and gravel. A positive surprise in its second quarter earnings report caused its stock to appreciate after its full year 2019 guidance was raised to reflect its strong first-half 2019 performance. At the end of the Reporting Period, industry trends led us to believe Martin Marietta Materials was poised for continued success in 2020 should infrastructure work and aggregates demand increase as we anticipate.
ITT is a manufacturer of engineered components for customized technologies. A strong earnings report in the second quarter of 2019 caused its stock to rise when its management gave positive commentary on self-help andend-market opportunities. Its shares rallied again in early November 2019 after the company reported above-consensus expectations earnings and revenue metrics, raised guidance and announced a share repurchase program. At the end of the Reporting Period, we believed ITT’s motion business may well continue to gain market share. We were also confident in its management’s commitment to returning shareholder value through buybacks.
Which stocks detracted significantly from the Fund’s performance during the Reporting Period?
Detracting from the Fund’s results relative to the Russell Index were positions in Viper Energy Partners LP, Fox and Marathon Petroleum.
Viper Energy Partners LP, a new purchase for the Fund during the Reporting Period, is a company engaged in the acquisition of oil and natural gas properties in the Permian Basin. Its stock suffered from a poor earnings report in the third quarter of 2019 and decreased expectations for the fourth quarter of the calendar year. Despite its underperformance, we continued to believe at the end of the Reporting Period in the company’s total return opportunities with what we consider to be its impressive margins, dividend yield and free cash flow.
Fox is a company that delivers news, sports and entertainment content and is the company that remains after much of 21st Century Fox’s assets were acquired by Walt Disney & Co. in March 2019 The company faced headwinds during the Reporting Period, as consumers continued to cancel their cable subscriptions as “cord cutting” consumer trends intensified. Because of this consumer trend, along with inflating costs of sports broadcasting, we decided to sell the Fund’s position in Fox by the end of the Reporting Period.
Nearly all of crude oil refining company Marathon Petroleum’s stock price decline came in May 2019. Early in the month, the company reported quarterly results that missed on earnings per share market expectations, driven primarily by weakness in refining and retail margins. On the positive side, Marathon Petroleum continued to buy back shares and also reported strong operating cash flow and capital expenditures. Despite the mixed reports, we remained positive on the company at the end of the Reporting Period and felt its acquisition of fellow petroleum refiner Andeavor seemed to be going well and on track to unlock further synergies for the combined company, now the largest U.S. refiner by capacity. We maintained our belief that Marathon Petroleum is a high quality company with what we consider to be a strong balance sheet, stable free cash flow and robust return on equity, and we were positive on its prospects ahead.
How did the Fund use derivatives and similar instruments during the Reporting Period?
During the Reporting Period, we did not use derivatives as part of an active management strategy.
Did the Fund make any significant purchases or sales during the Reporting Period?
In addition to the purchase already mentioned, we initiated a Fund position in L3Harris Technologies, a global aerospace and defense technology innovator. We believe the merger between L3 and Harris at the end of June 2019 will yield significant synergies that may lower costs and improve free cash flow moving forward. The company’s combined portfolio also, in our view, remains well aligned with the U.S. Department of Defense’s spending priorities and should continue to benefit as spending moves from readiness toward modernization.
We established a Fund position in Packaging Corp. of America, a producer of consumer products, during the Reporting Period. We believe the containerboard industry is nearing the bottom of a negative pricing cycle, as inventory began to improve during the
2
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Reporting Period. In our view, Packaging Corp. of America stands to benefit from this stabilization and potential improvement, as its recent mill conversion project is completed, freeing up capital for additional capital expenditures or capital distributions to shareholders.
Conversely, in addition to the sale already mentioned, we exited the Fund’s position in Laboratory Corp. of America Holdings, a company engaged in the provision of clinical laboratory andend-to-end drug development services. Due to a poor earnings report for the third quarter of 2019 and what we saw as an increased number of strategic headwinds for the company, we decided to sell the position.
We eliminated the Fund’s position in Ventas, a company engaged in the acquisition and ownership of senior housing and healthcare properties. During its third quarter 2019 earnings release, its management shared that its “Pivot to Growth” strategic plan would likely occur after 2020 rather than in 2020 as it had previously expected. This change was driven by ongoing weakness in the senior housing industry. Due to the industry weakness, we decided to exit the Fund’s position in Ventas.
Were there any notable changes in the Fund’s weightings during the Reporting Period?
In constructing the Fund’s portfolio, we focus on picking stocks rather than on making industry or sector bets. We seek to outpace the benchmark index by overweighting stocks that we expect to outperform and underweighting those that we think may lag. Consequently, changes in its sector weights are generally the direct result of individual stock selection or of stock appreciation or depreciation. That said, during the Reporting Period, the Fund’s exposure to materials, industrials, communication services and consumer staples increased and its exposure to information technology, consumer discretionary and real estate decreased compared to the Russell Index. The Fund’s position in cash increased during the Reporting Period.
How was the Fund positioned relative to its benchmark index at the end of the Reporting Period?
At the end of December 2019, the Fund had overweighted positions relative to the Russell Index in materials, health care and information technology. On the same date, the Fund had underweighted positions compared to the Russell Index in utilities, consumer discretionary and real estate and was rather neutrally weighted to the Russell Index in industrials, communication services, consumer staples, financials and energy.
Were there any changes to the Fund’s portfolio management team during the Reporting Period?
There were no changes to the Fund’s portfolio management team during the Reporting Period.
What is the Fund’s tactical view and strategy for the months ahead?
The U.S. equity markets delivered robust performance in 2019. Economic growth remained near-trend, with a healthy consumer, both in balance sheet and confidence, continuing to support the U.S. economy. At the end of the Reporting Period, we remained constructive on U.S. equities and believed there could be further gains, buoyed by low interest rates and steady cash flow generation. Despite intervals of volatility, we believed fundamentals remained stable and did not indicate a downturn in global economic growth or corporate earnings. Within this more volatile backdrop, we believed a thorough understanding of both market and company-specific variables may well be crucial to navigating the environment. With that said, we continue to focus on what we consider to be high quality companies with strong market positions and experienced management teams.
Indeed, regardless of market direction, we remain committed to our core philosophy and process. We intend to maintain a long-term time horizon, rather than forecast the next quarter. As always, we maintain our focus on undervalued companies that we believe have comparatively greater control of their own destiny, such as innovators with differentiated products, companies with low cost structures or companies that have been investing in their own businesses and may be poised to gain market share.
3
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Index Definitions
The Russell Midcap Value® Index is an unmanaged index of common stock prices that measures the performance of those Russell Midcap companies with lower price-to-book ratios and lower forecasted growth values. The index figures do not reflect any deduction for fees, expenses or taxes.
The Russell 2000® Index is an unmanaged index of common stock prices that measures the performance of the 2000 smallest companies in the Russell 3000® Index. The figures for the index do not include any deduction for fees, expenses or taxes.
The S&P 500® Index is the Standard & Poor’s composite index of 500 stocks, an unmanaged index of common stock prices. The figures for the index do not include any deduction for fees, expenses or taxes.
The Russell Midcap® Index measures the performance of the 800 smallest companies in the Russell 1000® Index, which represent approximately 25% of the total market capitalization of the Russell 1000® Index.
The Russell 1000® Index measures the performance of the 1,000 largest companies in the Russell 3000® Index, which represent approximately 92% of the total market capitalization of the Russell 3000® Index.
It is not possible to invest directly in an index.
4
FUND BASICS
Mid Cap Value Fund
as of December 31, 2019
TOP TEN HOLDINGS AS OF 12/31/191,2
Holding | % of Net Assets | Line of Business | ||||
Zimmer Biomet Holdings, Inc. | 2.3% | Health Care Equipment & Services | ||||
Sempra Energy | 2.1 | Utilities | ||||
Xcel Energy, Inc. | 2.0 | Utilities | ||||
M&T Bank Corp. | 2.0 | Banks | ||||
ITT, Inc. | 1.8 | Capital Goods | ||||
Stanley Black & Decker, Inc. | 1.8 | Capital Goods | ||||
CMS Energy Corp. | 1.7 | Utilities | ||||
AvalonBay Communities, Inc. | 1.6 | Real Estate Investment Trusts | ||||
Royal Caribbean Cruises Ltd. | 1.5 | Consumer Services | ||||
L3 Harris Technologies, Inc. | 1.5 | Capital Goods |
1 | The top 10 holdings may not be representative of the Fund’s future investments. |
2 | The Fund’s overall top ten holdings differ from the table above due to the exclusion of the Goldman Sachs Financial Square Government Fund (a short-term investment fund) which represents 2.6% of the Fund’s net assets as of December 31, 2019. |
FUND vs. BENCHMARK SECTOR ALLOCATIONS3
As of December 31, 2019
3 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Underlying sector allocations of exchange traded funds and investment companies held by the Fund are not reflected in the graph above. Investments in the securities lending reinvestment vehicle represented 0.1% of the Fund’s net assets at December 31, 2019. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
5
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Performance Summary
December 31, 2019
The following graph shows the value, as of December 31, 2019, of a $10,000 investment made on January 1, 2010 in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the Russell Midcap Value® Index (with distributions reinvested), is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Mid Cap Value Fund’s 10 Year Performance
Performance of a $10,000 investment, with distributions reinvested, from January 1, 2010 through December 31, 2019.
Average Annual Total Return through December 31, 2019 | One Year | Five Years | Ten Years | |||
Institutional | 31.53% | 6.15% | 10.92% | |||
Service | 31.17% | 5.88% | 10.64% |
6
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Schedule of Investments
December 31, 2019
Shares | Description | Value | ||||||
Common Stocks – 96.1% | ||||||||
Automobiles & Components – 0.9% | ||||||||
47,130 | Aptiv plc | $ | 4,475,936 | |||||
|
| |||||||
Banks – 6.0% | ||||||||
150,760 | Citizens Financial Group, Inc. | 6,122,363 | ||||||
94,232 | Fifth Third Bancorp | 2,896,692 | ||||||
35,535 | First Republic Bank | 4,173,586 | ||||||
59,205 | M&T Bank Corp. | 10,050,049 | ||||||
95,678 | Synovus Financial Corp. | 3,750,577 | ||||||
64,028 | Truist Financial Corp. | 3,606,083 | ||||||
|
| |||||||
30,599,350 | ||||||||
|
| |||||||
Capital Goods – 9.5% | ||||||||
22,568 | AMETEK, Inc. | 2,250,932 | ||||||
24,164 | Carlisle Cos., Inc. | 3,910,702 | ||||||
82,711 | Flowserve Corp. | 4,116,526 | ||||||
62,924 | Fortive Corp. | 4,806,764 | ||||||
20,905 | Ingersoll-Rand plc | 2,778,693 | ||||||
126,269 | ITT, Inc. | 9,332,542 | ||||||
38,508 | L3Harris Technologies, Inc. | 7,619,578 | ||||||
23,350 | Rockwell Automation, Inc. | 4,732,345 | ||||||
54,733 | Stanley Black & Decker, Inc. | 9,071,447 | ||||||
|
| |||||||
48,619,529 | ||||||||
|
| |||||||
Consumer Durables & Apparel – 1.5% | ||||||||
66,746 | Capri Holdings Ltd.* | 2,546,360 | ||||||
46,961 | PVH Corp. | 4,937,949 | ||||||
|
| |||||||
7,484,309 | ||||||||
|
| |||||||
Consumer Services – 3.5% | ||||||||
177,301 | MGM Resorts International | 5,898,804 | ||||||
18,840 | Restaurant Brands International, Inc. | 1,201,427 | ||||||
57,887 | Royal Caribbean Cruises Ltd. | 7,728,493 | ||||||
23,234 | Wynn Resorts Ltd. | 3,226,506 | ||||||
|
| |||||||
18,055,230 | ||||||||
|
| |||||||
Diversified Financials – 4.8% | ||||||||
20,447 | Cboe Global Markets, Inc. | 2,453,640 | ||||||
50,077 | Discover Financial Services | 4,247,531 | ||||||
25,646 | Evercore, Inc. Class A | 1,917,295 | ||||||
42,963 | Northern Trust Corp. | 4,564,389 | ||||||
55,505 | Raymond James Financial, Inc. | 4,965,477 | ||||||
116,658 | Starwood Property Trust, Inc. (REIT) | 2,900,118 | ||||||
28,280 | T. Rowe Price Group, Inc. | 3,445,635 | ||||||
|
| |||||||
24,494,085 | ||||||||
|
| |||||||
Energy – 4.2% | ||||||||
160,140 | Baker Hughes Co. | 4,104,388 | ||||||
100,824 | Cheniere Energy, Inc.* | 6,157,322 | ||||||
27,267 | Diamondback Energy, Inc. | 2,532,014 | ||||||
24,785 | Marathon Petroleum Corp. | 1,493,296 | ||||||
167,582 | Parsley Energy, Inc. Class A | 3,168,976 | ||||||
175,796 | TechnipFMC plc | 3,769,066 | ||||||
|
| |||||||
21,225,062 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Food & Staples Retailing – 1.7% | ||||||||
86,334 | Grocery Outlet Holding Corp.* | 2,801,538 | ||||||
137,692 | US Foods Holding Corp.* | 5,767,918 | ||||||
|
| |||||||
8,569,456 | ||||||||
|
| |||||||
Food, Beverage & Tobacco – 3.4% | ||||||||
71,744 | Coca-Cola European Partners plc | 3,650,335 | ||||||
18,223 | Constellation Brands, Inc. Class A | 3,457,814 | ||||||
41,838 | Lamb Weston Holdings, Inc. | 3,599,323 | ||||||
94,610 | Nomad Foods Ltd.* | 2,116,426 | ||||||
51,047 | Tyson Foods, Inc. Class A | 4,647,319 | ||||||
|
| |||||||
17,471,217 | ||||||||
|
| |||||||
Health Care Equipment & Services – 5.0% | ||||||||
177,428 | Change Healthcare, Inc.*(a) | 2,908,045 | ||||||
18,013 | Cooper Cos., Inc. (The) | 5,787,397 | ||||||
43,033 | Dentsply Sirona, Inc. | 2,435,237 | ||||||
89,237 | Envista Holdings Corp.* | 2,644,985 | ||||||
79,896 | Zimmer Biomet Holdings, Inc. | 11,958,833 | ||||||
|
| |||||||
25,734,497 | ||||||||
|
| |||||||
Insurance – 7.3% | ||||||||
41,050 | American Financial Group, Inc. | 4,501,133 | ||||||
87,705 | Arch Capital Group Ltd.* | 3,761,667 | ||||||
40,025 | Globe Life, Inc. | 4,212,631 | ||||||
15,947 | Hanover Insurance Group, Inc. (The) | 2,179,476 | ||||||
74,291 | Hartford Financial Services Group, Inc. (The) | 4,514,664 | ||||||
51,913 | Lincoln National Corp. | 3,063,386 | ||||||
4,395 | Markel Corp.* | 5,024,232 | ||||||
23,195 | Reinsurance Group of America, Inc. | 3,782,177 | ||||||
30,572 | Willis Towers Watson plc | 6,173,710 | ||||||
|
| |||||||
37,213,076 | ||||||||
|
| |||||||
Materials – 8.3% | ||||||||
75,036 | Ball Corp. | 4,852,578 | ||||||
40,977 | Celanese Corp. | 5,045,088 | ||||||
176,170 | Corteva, Inc. | 5,207,585 | ||||||
323,153 | Freeport-McMoRan, Inc. | 4,239,767 | ||||||
23,140 | Martin Marietta Materials, Inc. | 6,470,870 | ||||||
67,647 | Packaging Corp. of America | 7,575,788 | ||||||
156,513 | Steel Dynamics, Inc. | 5,327,703 | ||||||
48,892 | WR Grace & Co. | 3,415,106 | ||||||
|
| |||||||
42,134,485 | ||||||||
|
| |||||||
Media & Entertainment – 3.4% | ||||||||
36,330 | Liberty Broadband Corp. Class C* | 4,568,498 | ||||||
103,636 | Liberty Media Corp-Liberty SiriusXM Class A* | 5,009,764 | ||||||
19,147 | Nexstar Media Group, Inc. Class A | 2,244,986 | ||||||
152,654 | Snap, Inc. Class A* | 2,492,840 | ||||||
43,228 | World Wrestling Entertainment, Inc. Class A | 2,804,200 | ||||||
|
| |||||||
17,120,288 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 7 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Schedule of Investments(continued)
December 31, 2019
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences – 3.0% | ||||||||
79,429 | Agilent Technologies, Inc. | $ | 6,776,088 | |||||
49,455 | Agios Pharmaceuticals, Inc.* | 2,361,476 | ||||||
62,815 | Catalent, Inc.* | 3,536,485 | ||||||
87,381 | Elanco Animal Health, Inc.* | 2,573,370 | ||||||
|
| |||||||
15,247,419 | ||||||||
|
| |||||||
Real Estate Investment Trusts – 11.1% | ||||||||
41,493 | Alexandria Real Estate Equities, Inc. | 6,704,439 | ||||||
38,299 | AvalonBay Communities, Inc. | 8,031,300 | ||||||
34,982 | Boston Properties, Inc. | 4,822,619 | ||||||
51,177 | Camden Property Trust | 5,429,880 | ||||||
73,697 | Equity LifeStyle Properties, Inc. | 5,187,532 | ||||||
17,184 | Essex Property Trust, Inc. | 5,169,978 | ||||||
23,280 | Extra Space Storage, Inc. | 2,458,834 | ||||||
184,905 | Healthpeak Properties, Inc. | 6,373,675 | ||||||
77,275 | Hudson Pacific Properties, Inc. | 2,909,404 | ||||||
113,322 | Invitation Homes, Inc. | 3,396,260 | ||||||
39,816 | Prologis, Inc. | 3,549,198 | ||||||
31,444 | Ryman Hospitality Properties, Inc. | 2,724,937 | ||||||
|
| |||||||
56,758,056 | ||||||||
|
| |||||||
Retailing – 1.1% | ||||||||
13,011 | Burlington Stores, Inc.* | 2,966,899 | ||||||
18,336 | Dollar General Corp. | 2,860,049 | ||||||
|
| |||||||
5,826,948 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 3.6% | ||||||||
20,468 | Analog Devices, Inc. | 2,432,417 | ||||||
277,513 | Marvell Technology Group Ltd. | 7,370,745 | ||||||
29,329 | MKS Instruments, Inc. | 3,226,484 | ||||||
43,784 | Skyworks Solutions, Inc. | 5,292,610 | ||||||
|
| |||||||
18,322,256 | ||||||||
|
| |||||||
Software & Services – 2.4% | ||||||||
39,609 | Citrix Systems, Inc. | 4,392,638 | ||||||
39,888 | Fidelity National Information Services, Inc. | 5,548,022 | ||||||
26,332 | InterXion Holding NV* | 2,206,885 | ||||||
|
| |||||||
12,147,545 | ||||||||
|
| |||||||
Technology Hardware & Equipment – 3.4% | ||||||||
104,541 | Juniper Networks, Inc. | 2,574,845 | ||||||
27,599 | Motorola Solutions, Inc. | 4,447,303 | ||||||
75,832 | National Instruments Corp. | 3,210,727 | ||||||
251,871 | Viavi Solutions, Inc.* | 3,778,065 | ||||||
54,291 | Western Digital Corp. | 3,445,849 | ||||||
|
| |||||||
17,456,789 | ||||||||
|
| |||||||
Transportation – 1.8% | ||||||||
95,702 | Knight-Swift Transportation Holdings, Inc. | 3,429,960 | ||||||
30,699 | Old Dominion Freight Line, Inc. | 5,826,056 | ||||||
|
| |||||||
9,256,016 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Utilities – 10.2% | ||||||||
79,002 | Ameren Corp. | 6,067,354 | ||||||
47,448 | American Water Works Co., Inc. | 5,828,987 | ||||||
58,087 | Atmos Energy Corp. | 6,497,612 | ||||||
135,967 | CMS Energy Corp. | 8,544,166 | ||||||
76,902 | Public Service Enterprise Group, Inc. | 4,541,063 | ||||||
70,462 | Sempra Energy | 10,673,583 | ||||||
158,772 | Xcel Energy, Inc. | 10,080,434 | ||||||
|
| |||||||
52,233,199 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $400,142,287) | $ | 490,444,748 | ||||||
|
| |||||||
Master Limited Partnership – 0.8% | ||||||||
Energy – 0.8% | ||||||||
164,102 | Viper Energy Partners LP | $ | 4,046,756 | |||||
(Cost $5,106,304) | ||||||||
|
|
Shares | Dividend Rate | Value | ||||||
Investment Company(b) – 2.5% | ||||||||
| Goldman Sachs Financial Square Government Fund — | |||||||
12,703,956 | 1.638% | $ | 12,703,956 | |||||
(Cost $12,703,956) | ||||||||
|
| |||||||
| TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | | ||||||
(Cost $417,952,547) | $ | 507,195,460 | ||||||
|
| |||||||
Securities Lending Reinvestment Vehicle(b) – 0.1% | ||||||||
| Goldman Sachs Financial Square Government Fund — | | ||||||
408,161 | 1.638% | $ | 408,161 | |||||
(Cost $408,161) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 99.5% | ||||||||
(Cost $418,360,708) | $ | 507,603,621 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF | 2,521,422 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 510,125,043 | ||||||
|
|
8 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. | |
(b) | Represents an Affiliated Issuer. |
Investment Abbreviation: | ||
REIT | —Real Estate Investment Trust |
The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Statement of Assets and Liabilities
December 31, 2019
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $405,248,591)(a) | $ | 494,491,504 | ||
Investments in affiliated issuers, at value (cost $12,703,956) | 12,703,956 | |||
Investments in affiliated securities lending reinvestment vehicle, at value (cost $408,161) | 408,161 | |||
Cash | 573,168 | |||
Receivables: | ||||
Investments sold | 2,241,018 | |||
Dividends | 846,436 | |||
Fund shares sold | 54,478 | |||
Securities lending income | 18,876 | |||
Reimbursement from investment adviser | 15,590 | |||
Total assets | 511,353,187 | |||
Liabilities: | ||||
Payables: | ||||
Payable upon return of securities loaned | 408,161 | |||
Management fees | 327,564 | |||
Fund shares redeemed | 282,167 | |||
Distribution and Service fees and Transfer Agency fees | 45,260 | |||
Accrued expenses | 164,992 | |||
Total liabilities | 1,228,144 | |||
Net Assets: | ||||
Paid-in capital | 416,491,343 | |||
Total distributable earnings (loss) | 93,633,700 | |||
NET ASSETS | $ | 510,125,043 | ||
Net Assets: | ||||
Institutional | $ | 335,229,245 | ||
Service | 174,895,798 | |||
Total Net Assets | $ | 510,125,043 | ||
Shares outstanding $0.001 par value (unlimited shares authorized): | ||||
Institutional | 20,663,877 | |||
Service | 10,680,690 | |||
Net asset value, offering and redemption price per share: | ||||
Institutional | $16.22 | |||
Service | 16.37 |
(a) Includes loaned securities having a market value of $399,750.
10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Statement of Operations
For the Fiscal Year Ended December 31, 2019
Investment income: | ||||
Dividends — unaffiliated issuers (net of foreign taxes withheld of $20,910) | $ | 8,232,140 | ||
Dividends — affiliated issuers | 173,729 | |||
Securities lending income — unaffiliated issuer | 46,220 | |||
Total investment income | 8,452,089 | |||
Expenses: | ||||
Management fees | 3,744,475 | |||
Distribution and Service fees — Service Shares | 392,722 | |||
Printing and mailing costs | 184,020 | |||
Shareholder meeting expense | 147,653 | |||
Professional fees | 97,299 | |||
Transfer Agency fees(a) | 97,251 | |||
Custody, accounting and administrative services | 91,681 | |||
Trustee fees | 16,530 | |||
Registration fees | 542 | |||
Other | 22,807 | |||
Total expenses | 4,794,980 | |||
Less — expense reductions | (172,427 | ) | ||
Net expenses | 4,622,553 | |||
NET INVESTMENT INCOME | 3,829,536 | |||
Realized and unrealized gain: | ||||
Net realized gain from investments — unaffiliated issuers | 29,143,957 | |||
Net change in unrealized gain on investments — unaffiliated issuers | 90,823,666 | |||
Net realized and unrealized gain | 119,967,623 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 123,797,159 |
(a) Institutional and Service Shares incurred Transfer Agency fees of $65,836 and $31,415, respectively.
The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Statements of Changes in Net Assets
For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||
From operations: | ||||||||
Net investment income | $ | 3,829,536 | $ | 3,835,266 | ||||
Net realized gain | 29,143,957 | 46,703,975 | ||||||
Net change in unrealized gain (loss) | 90,823,666 | (100,296,769 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 123,797,159 | (49,757,528 | ) | |||||
Distributions to shareholders: | ||||||||
From distributable earnings: | ||||||||
Institutional Shares | (14,329,359 | ) | (45,878,403 | ) | ||||
Service Shares | (7,060,194 | ) | (11,008,040 | ) | ||||
Total distributions to shareholders | (21,389,553 | ) | (56,886,443 | ) | ||||
From share transactions: | ||||||||
Proceeds from sales of shares | 97,337,044 | 33,413,557 | ||||||
Proceeds paid in connection within-kind transactions | — | (93,560,594 | ) | |||||
Reinvestment of distributions | 21,389,553 | 56,886,443 | ||||||
Cost of shares redeemed | (87,900,619 | ) | (283,084,971 | ) | ||||
Net increase (decrease) in net assets resulting from share transactions | 30,825,978 | (286,345,565 | ) | |||||
TOTAL INCREASE (DECREASE) | 133,233,584 | (392,989,536 | ) | |||||
Net Assets: | ||||||||
Beginning of year | 376,891,459 | 769,880,995 | ||||||
End of year | $ | 510,125,043 | $ | 376,891,459 |
12 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
Goldman Sachs Mid Cap Value Fund | ||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of year | $ | 12.89 | $ | 16.93 | $ | 16.23 | $ | 14.49 | $ | 17.43 | ||||||||||
Net investment income(a) | 0.13 | 0.13 | 0.12 | 0.16 | 0.13 | |||||||||||||||
Net realized and unrealized gain (loss) | 3.93 | (1.86 | ) | 1.68 | 1.80 | (1.75 | ) | |||||||||||||
Total from investment operations | 4.06 | (1.73 | ) | 1.80 | 1.96 | (1.62 | ) | |||||||||||||
Distributions to shareholders from net investment income | (0.13 | ) | (0.23 | ) | (0.13 | ) | (0.21 | ) | (0.07 | ) | ||||||||||
Distributions to shareholders from net realized gains | (0.60 | ) | (2.08 | ) | (0.97 | ) | (0.01 | ) | (1.25 | ) | ||||||||||
Total distributions | (0.73 | ) | (2.31 | ) | (1.10 | ) | (0.22 | ) | (1.32 | ) | ||||||||||
Net asset value, end of year | $ | 16.22 | $ | 12.89 | $ | 16.93 | $ | 16.23 | $ | 14.49 | ||||||||||
Total return(b) | 31.53 | % | (10.46 | )% | 11.07 | % | 13.49 | % | (9.24 | )% | ||||||||||
Net assets, end of year (in 000s) | $ | 335,229 | $ | 300,056 | $ | 388,709 | $ | 437,085 | $ | 535,459 | ||||||||||
Ratio of net expenses to average net assets | 0.87 | % | 0.84 | % | 0.84 | % | 0.84 | % | 0.84 | % | ||||||||||
Ratio of total expenses to average net assets | 0.90 | % | 0.86 | % | 0.87 | % | 0.87 | % | 0.87 | % | ||||||||||
Ratio of net investment income to average net assets | 0.85 | % | 0.75 | % | 0.71 | % | 1.08 | % | 0.74 | % | ||||||||||
Portfolio turnover rate(c) | 89 | % | 109 | % | 134 | % | 149 | % | 94 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
(c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
Goldman Sachs Mid Cap Value Fund | ||||||||||||||||||||
Service Shares | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of year | $ | 13.01 | $ | 16.95 | $ | 16.25 | $ | 14.51 | $ | 17.45 | ||||||||||
Net investment income(a) | 0.10 | 0.07 | 0.08 | 0.12 | 0.08 | |||||||||||||||
Net realized and unrealized gain (loss) | 3.95 | (1.84 | ) | 1.68 | 1.81 | (1.75 | ) | |||||||||||||
Total from investment operations | 4.05 | (1.77 | ) | 1.76 | 1.93 | (1.67 | ) | |||||||||||||
Distributions to shareholders from net investment income | (0.09 | ) | (0.09 | ) | (0.09 | ) | (0.18 | ) | (0.02 | ) | ||||||||||
Distributions to shareholders from net realized gains | (0.60 | ) | (2.08 | ) | (0.97 | ) | (0.01 | ) | (1.25 | ) | ||||||||||
Total distributions | (0.69 | ) | (2.17 | ) | (1.06 | ) | (0.19 | ) | (1.27 | ) | ||||||||||
Net asset value, end of year | $ | 16.37 | $ | 13.01 | $ | 16.95 | $ | 16.25 | $ | 14.51 | ||||||||||
Total return(b) | 31.17 | % | (10.70 | )% | 10.85 | % | 13.24 | % | (9.52 | )% | ||||||||||
Net assets, end of year (in 000s) | $ | 174,896 | $ | 76,835 | $ | 381,172 | $ | 371,366 | $ | 265,545 | ||||||||||
Ratio of net expenses to average net assets | 1.12 | % | 1.09 | % | 1.09 | % | 1.09 | % | 1.09 | % | ||||||||||
Ratio of total expenses to average net assets | 1.16 | % | 1.11 | % | 1.12 | % | 1.12 | % | 1.12 | % | ||||||||||
Ratio of net investment income to average net assets | 0.66 | % | 0.42 | % | 0.47 | % | 0.78 | % | 0.48 | % | ||||||||||
Portfolio turnover rate(c) | 89 | % | 109 | % | 134 | % | 149 | % | 94 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
(c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
14 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Notes to Financial Statements
December 31, 2019
1. ORGANIZATION
Goldman Sachs Variable Insurance Trust (the “Trust” or “VIT”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as anopen-end management investment company. The Trust includes the Goldman Sachs Mid Cap Value Fund (the “Fund”). The Fund is a diversified portfolio under the Act offering two classes of shares — Institutional and Service Shares. Shares of the Trust are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (“Goldman Sachs”), serves as investment adviser to the Fund pursuant to a management agreement (the “Agreement”) with the Trust.
2. SIGNIFICANT ACCOUNTING POLICIES
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. The Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.
A. Investment Valuation —The Fund’s valuation policy is to value investments at fair value.
B. Investment Income and Investments —Investment income includes interest income, dividend income, and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized onex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to theex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Investment income is recorded net of any foreign withholding taxes, less any amounts reclaimable. The Fund may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Fund’s investments in United States (“U.S.”) real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain and/or a return of capital. A return of capital is recorded by the Fund as a reduction to the cost basis of the REIT. Distributions from master limited partnerships (“MLPs”) are generally recorded based on the characterization reported on the MLP’s tax return. The Fund records itspro-rata share of the income/loss and capital gains/losses, allocated from the underlying partnerships and adjusts the cost basis of the underlying partnerships accordingly.
C. Class Allocations and Expenses —Investment income, realized and unrealized gain (loss), if any, andnon-class specific expenses of the Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by the Fund are charged to the Fund, while such expenses incurred by the Trust are allocated across the Fund on a straight-line and/orpro-rata basis depending upon the nature of the expenses. Class-specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service and Transfer Agency fees.
D. Federal Taxes and Distributions to Shareholders —It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on theex-dividend date. Income and capital gains distributions, if any, are declared and paid at least annually.
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
15
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Notes to Financial Statements(continued)
December 31, 2019
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the Fund’s distributions may be shown in the accompanying financial statements as either from distributable earnings or capital. Certain components of the Fund’s net assets on the Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
E. In-Kind Transactions —The Fund may allow investors, under certain circumstances, to purchase shares with securities instead of cash. In addition, the Trust reserves the right to redeem an investor’s shares by distributing securities instead of cash. These are known asin-kind transactions. Securities included as part ofin-kind purchases and redemptions of Fund shares are valued in the same manner as they are valued for purposes of computing the Fund’s NAV, in accordance with the Fund’s Valuation Procedures, and such valuations are as of the date the trade is submitted pursuant to the procedures specified in the Fund’s prospectus.
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS
U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Fund’s policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Fund, including investments for which market quotations are not readily available. The Trustees have delegated to GSAMday-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Fund’s investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments —The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities —Equity securities traded on a U.S. securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities may be valued at the closing bid price for long positions and at the closing ask price for short positions. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price for long positions or the last ask price for short positions, and are generally classified as Level 2.
16
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
Money Market Funds —Investments in the Goldman Sachs Financial Square Government Fund (“Underlying Fund”) are valued at the NAV per share of the Institutional Share class on the day of valuation. These investments are generally classified as Level 1 of the fair value hierarchy. For information regarding the Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
B. Level 3 Fair Value Investments —To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Fund’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Fund’s NAV. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.
C. Fair Value Hierarchy —The following is a summary of the Fund’s investments classified in the fair value hierarchy as of December 31, 2019:
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Europe | $ | 11,742,712 | $ | — | $ | — | ||||||
North America | 478,702,036 | — | — | |||||||||
Investment Company | 12,703,956 | — | — | |||||||||
Master Limited Partnership | 4,046,756 | — | — | |||||||||
Securities Lending Reinvestment Vehicle | 408,161 | — | — | |||||||||
Total | $ | 507,603,621 | $ | — | $ | — |
(a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of NAV. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. |
For further information regarding security characteristics, see the Schedule of Investments.
4. AGREEMENTS AND AFFILIATED TRANSACTIONS
A. Management Agreement — Under the Agreement, GSAM manages the Fund, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Fund’s business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
For the fiscal year ended December 31, 2019, contractual and effective net management fees with GSAM were at the following rates:
Contractual Management Rate | Effective Net Management Rate^ | |||||||||||||||||||||
First $2 billion | Next $3 billion | Next $3 billion | Over $8 billion | Effective Rate | ||||||||||||||||||
0.77% | 0.69 | % | 0.66 | % | 0.65 | % | 0.77 | % | 0.77 | % |
^ | Effective Net Management Rate includes the impact of management fee waivers of affiliated Underlying Funds, if any. |
17
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Notes to Financial Statements(continued)
December 31, 2019
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
The Fund invests in Institutional Shares of the Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Fund in an amount equal to the management fee it earns as an investment adviser to the affiliated Underlying Fund in which the Fund invests, except those management fees it earns from the Fund’s investments of cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund. For the fiscal year ended December 31, 2019, GSAM waived $13,742 of the Fund’s management fee.
B. Distribution and Service(12b-1) Plan — The Trust, on behalf of Service Shares of the Fund, has adopted a Distribution and Service Plan subject to Rule12b-1 under the Act. Under the Distribution and Service Plan, Goldman Sachs, which serves as distributor, is entitled to a fee accrued daily and paid monthly, for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers, equal to, on an annual basis, 0.25% of the Fund’s average daily net assets attributable to Service Shares.
C. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Fund for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at an annual rate of 0.02% of the average daily net assets of Institutional and Service Shares.
D. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or limit certain “Other Expenses” of the Fund (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of the Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Fund is not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitation as an annual percentage rate of average daily net assets for the Fund is 0.054%. The Other Expense limitation will remain in place through at least April 30, 2020, and prior to such date GSAM may not terminate the arrangement without the approval of the Trustees. In addition, the Fund has entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Fund’s expenses and are received irrespective of the application of the “Other Expense” limitation described above.
For the fiscal year ended December 31, 2019, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
Management Fee Waiver | Custody Fee Credits | Other Expense Reimbursement | Total Expense Reductions | |||||||||||
$ | 13,742 | $ | 8,554 | $ | 150,131 | $ | 172,427 |
E. Line of Credit Facility — As of December 31, 2019, the Fund participated in a $580,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the fiscal year ended December 31, 2019, the Fund did not have any borrowings under the facility. Prior to April 30, 2019 the facility was $770,000,000.
F. Other Transactions with Affiliates — For the fiscal year ended December 31, 2019, Goldman Sachs earned $888 in brokerage commissions from portfolio transactions.
18
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
The following table provides information about the Fund’s investments in the Goldman Sachs Financial Square Government Fund as of and for the fiscal year ended December 31, 2019:
Beginning Value as of December 31, 2018 | Purchases at Cost | Proceeds from Sales | Ending Value as of December 31, 2019 | Shares as of December 31, 2019 | Dividend Income from Affiliated | |||||||||||||||||
$1,868,218 | $ | 196,572,980 | $ | (185,737,242 | ) | $ | 12,703,956 | 12,703,956 | $ | 173,729 |
5. PORTFOLIO SECURITIES TRANSACTIONS
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended December 31, 2019, were $426,640,051 and $420,451,372 respectively.
6. SECURITIES LENDING
The Fund may lend its securities through a securities lending agent, the Bank of New York Mellon (“BNYM”), to certain qualified borrowers. In accordance with the Fund’s securities lending procedures, the Fund receives cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities is determined at the close of business of the Fund, at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Fund on the next business day. As with other extensions of credit, the Fund may experience delay in the recovery of its securities or incur a loss should the borrower of the securities breach its agreement with the Fund or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Dividend income received from securities on loan may not be subject to withholding taxes and therefore withholding taxes paid may differ from the amounts listed in the Statement of Operations. Loans of securities are terminable at any time and as such 1) the remaining contractual maturities of the outstanding securities lending transactions are considered to be overnight and continuous and 2) the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
The Fund invests the cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund (“Government Money Market Fund”), an affiliated series of the Goldman Sachs Trust. The Government Money Market Fund is registered under the Act as an open end investment company, is subject to Rule2a-7 under the Act, and is managed by GSAM, for which GSAM may receive a management fee of up to 0.16% on an annualized basis of the average daily net assets of the Government Money Market Fund.
In the event of a default by a borrower with respect to any loan, BNYM may exercise any and all remedies provided under the applicable borrower agreement to make the Fund whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If BNYM is unable to purchase replacement securities, BNYM will indemnify the Fund by paying the Fund an amount equal to the market value of the securities loaned minus the value of cash collateral received from the borrower for the loan, subject to an exclusion for any shortfalls resulting from a loss of value in such cash collateral due to reinvestment risk. The Fund’s master netting agreements with certain borrowers provide the right, in the event of a default (including bankruptcy or insolvency), for thenon-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. However, in the event of a default by a borrower, a resolution authority could determine that such rights are not enforceable due to the restrictions or prohibitions against the right ofset-off that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws. The Fund’s loaned securities were all subject to enforceable Securities Lending Agreements and the value of the collateral was at least equal to the value of the cash received. The amounts of the Fund’s overnight and continuous agreements, which represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of December 31, 2019, are disclosed as “Payable upon return of securities loaned” on the Statement of Assets and Liabilities, where applicable.
19
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Notes to Financial Statements(continued)
December 31, 2019
6. SECURITIES LENDING (continued)
Both the Fund and BNYM received compensation relating to the lending of the Fund’s securities. The amounts earned, if any, by the Fund for the fiscal year ended December 31, 2019, are reported under Investment Income on the Statement of Operations.
The following table provides information about the Fund’s investment in the Government Money Market Fund for the fiscal year ended December 31, 2019:
Market Value December 31, 2018 | Purchases at Cost | Proceeds from Sales | Market Value December 31, 2019 | |||||||||||
$— | $ | 32,797,144 | $ | (32,388,983 | ) | $ | 408,161 |
7. TAX INFORMATION
The tax character of distributions paid during the fiscal years ended December 31, 2018 and December 31, 2019 was as follows:
2018 | 2019 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 18,508,506 | $ | 10,465,638 | ||||
Net long-term capital gains | 38,377,937 | 10,923,915 | ||||||
Total taxable distributions | $ | 56,886,443 | $ | 21,389,553 |
As of December 31, 2019, the components of accumulated earnings (losses) on atax-basis were as follows:
Undistributed ordinary income — net | $ | 3,525,703 | ||
Undistributed long-term capital gains | 3,733,049 | |||
Total undistributed earnings | $ | 7,258,752 | ||
Timing differences (Real Estate Investment Trusts) | $ | 160,161 | ||
Unrealized gains — net | 86,214,787 | |||
Total accumulated gains — net | $ | 93,633,700 |
As of December 31, 2019, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Tax cost | $ | 421,388,834 | ||
Gross unrealized gain | 91,120,236 | |||
Gross unrealized loss | (4,905,449 | ) | ||
Net unrealized gain | $ | 86,214,787 |
The difference between GAAP-basis andtax-basis unrealized gains (losses) is attributable primarily to wash sales and differences in the tax treatment of underlying fund investments and real estate investment trust investments.
GSAM has reviewed the Fund’s tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
20
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
8. OTHER RISKS
The Fund’s risks include, but are not limited to, the following:
Investments in Other Investment Companies Risk — As a shareholder of another investment company, the Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund.
Large Shareholder Transactions Risk — The Fund may experience adverse effects when certain large shareholders, such as other funds, participating insurance companies, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of the Fund. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may cause the Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact the Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in the Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect the Fund’s performance to the extent that the Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.
Liquidity Risk — The Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that the Fund will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, the Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If the Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Fund’s NAV and dilute remaining investors’ interests. Redemptions by large shareholders may have a negative impact on the Fund’s liquidity.
Market and Credit Risks — In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
Master Limited Partnership Risk — Investments in securities of MLPs involve risks that differ from investments in common stock, including risks related to limited control and limited rights to vote on matters affecting the MLP, risks related to potential conflicts of interest between the MLP and the MLP’s general partner, cash flow risks, dilution risks, limited liquidity and risks related to the general partner’s right to require unit-holders to sell their common units at an undesirable time or price.
9. INDEMNIFICATIONS
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
10. OTHER MATTERS
On November 5, 2019, a definitive proxy statement (“proxy”) was filed with the SEC to elect certain Trustees to the Trust. The Fund will bear its respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse the Fund to the extent such expenses exceed a specified percentage of the Fund’s net assets.
21
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Notes to Financial Statements(continued)
December 31, 2019
11. SUBSEQUENT EVENTS
Subsequent events after the Statement of Assets and Liabilities date other than above have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
12. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 556,218 | $ | 8,465,749 | 447,011 | $ | 7,502,741 | ||||||||||
Reinvestment of distributions | 897,830 | 14,329,359 | 3,486,201 | 45,878,403 | ||||||||||||
Shares redeemed | (4,061,392 | ) | (62,310,021 | ) | (3,628,101 | ) | (61,276,824 | ) | ||||||||
(2,607,344 | ) | (39,514,913 | ) | 305,111 | (7,895,680 | ) | ||||||||||
Service Shares | ||||||||||||||||
Shares sold | 6,000,838 | 88,871,295 | 1,545,842 | 25,910,816 | ||||||||||||
Reinvestment of distributions | 438,249 | 7,060,194 | 828,918 | 11,008,040 | ||||||||||||
Shares redeemed | (1,663,012 | ) | (25,590,598 | ) | (13,353,565 | ) | (221,808,147 | ) | ||||||||
Shares redeemed in connection within-kind transactions | — | — | (5,605,787 | ) | (93,560,594 | ) | ||||||||||
4,776,075 | 70,340,891 | (16,584,592 | ) | (278,449,885 | ) | |||||||||||
NET INCREASE (DECREASE) | 2,168,731 | $ | 30,825,978 | (16,279,481 | ) | $(286,345,565) |
22
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Goldman Sachs Variable Insurance Trust and Shareholders of Goldman Sachs Mid Cap Value Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Goldman Sachs Mid Cap Value Fund (one of the funds constituting Goldman Sachs Variable Insurance Trust, referred to hereafter as the “Fund”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statements of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 14, 2020
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
23
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Voting Results of Special Meeting of Shareholders (Unaudited)
A Special Meeting (the “Meeting”) of the Goldman Sachs Variable Insurance Trust (“VIT”) was held on January 23, 2020 to consider and act upon the proposal below. The Fund will amortize its respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse the Fund to the extent such expenses exceed a specified percentage of the Fund’s net assets.
At the Meeting, Dwight L. Bush, Kathryn A. Cassidy, Joaquin Delgado and Gregory G. Weaver were elected to the Trust’s Board of Trustees. In electing trustees, the Trust’s shareholders voted as follows:
Proposal 1.
Election of Trustees | For | Against | Withheld | Broker Non-Votes | ||||||||||||
Dwight L. Bush | 745,493,677.130 | 0 | 17,848,840.639 | 0 | ||||||||||||
Kathryn A. Cassidy | 746,559,784.810 | 0 | 16,782,732.959 | 0 | ||||||||||||
Joaquin Delgado | 744,593,456.532 | 0 | 18,749,061.237 | 0 | ||||||||||||
Gregory G. Weaver | 746,707,039.321 | 0 | 16,635,478.448 | 0 |
24
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Fund Expenses — Six Month Period Ended December 31, 2019 (Unaudited) |
As a shareholder of Institutional or Service Shares of the Fund, you incur ongoing costs, including management fees, distribution and/or service (12b-1) fees (with respect to Service Shares) and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Institutional Shares and Service Shares of the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2019 through December 31, 2019, which represents a period of 184 days of a 365 day year.
Actual Expenses— The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Fund you do not incur any transaction costs, such as sales charges, redemption fees, or exchange fees, but shareholders of other funds may incur such costs. The second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds whose shareholders may incur transaction costs.
Share Class | Beginning Account Value 07/01/19 | Ending Account Value 12/31/19 | Expenses Paid for the 6 Months Ended 12/31/19* | |||||||||
Institutional | ||||||||||||
Actual | $ | 1,000 | $ | 1,089.60 | $ | 4.58 | ||||||
Hypothetical 5% return | 1,000 | 1,020.82 | + | 4.43 | ||||||||
Service | ||||||||||||
Actual | 1,000 | $ | 1,087.70 | 5.89 | ||||||||
Hypothetical 5% return | 1,000 | 1,019.56 | + | 5.70 |
+ | Hypothetical expenses are based on the Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
* | Expenses are calculated using the Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended December 31, 2019. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 0.87% and 1.12% for Institutional and Service Shares, respectively. |
25
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Trustees and Officers (Unaudited)
Independent Trustees
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||||
Jessica Palmer Age: 70 | Chair of the Board of Trustees | Since 2018 (Trustee since 2007) | Ms. Palmer is retired. She was formerly Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009).
Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Kathryn A. Cassidy Age: 65 | Trustee | Since 2015 | Ms. Cassidy is retired. Formerly, she was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Diana M. Daniels Age: 70 | Trustee | Since 2007 | Ms. Daniels is retired. Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is a Trustee Emeritus and serves as a Presidential Councillor of Cornell University (2013-Present); former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Roy W. Templin Age: 59 | Trustee | Since 2013 | Mr. Templin is retired. He is Director, Armstrong World Industries, Inc. (a designer and manufacturer of ceiling, wall and suspension system solutions) (2016-Present); and was formerly Chairman of the Board of Directors, Con-Way Incorporated (a transportation, logistics and supply chain management service company) (2014-2015); Executive Vice President and Chief Financial Officer, Whirlpool Corporation (an appliance manufacturer and marketer) (2004-2012). Previously, Mr. Templin served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (June 2013-October 2013).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Armstrong World Industries, Inc. (a ceiling, wall and suspension systems solutions manufacturer) | |||||||
Gregory G. Weaver Age: 68 | Trustee | Since 2015 | Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Verizon Communications Inc. | |||||||
26
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Trustees and Officers (Unaudited) (continued)
Interested Trustee*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||||
James A. McNamara Age: 57 | President and Trustee | Since 2007 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | 165 | None | |||||||
Advisory Board Members
Name, Address, Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Advisory Board Member3 | Other Directorships Held by Advisory Board Member4 | |||||||
Dwight L. Bush Age: 62 | Advisory Board Member | Since 2019 | Ambassador Bush is President and CEO of D.L. Bush & Associates (a financial advisory and private investment firm) (2002-2014 and 2017-present); and was formerly U.S. Ambassador to the Kingdom of Morocco (2014-2017) and a Member of the Board of Directors of Santander Bank, N.A. (2018-2019).
Advisory Board Member — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Joaquin Delgado Age: 59 | Advisory Board Member | Since 2019 | Dr. Delgado is retired. He is Director, Hexion Inc. (a specialty chemical manufacturer) (2019-present); and Director, Stepan Company (a specialty chemical manufacturer) (2011-present); and was formerly Executive Vice President, Consumer Business Group of 3M Company (July 2016-July 2019); and Executive Vice President, Health Care Business Group of 3M Company (October 2012-July 2016).
Advisory Board Member — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Stepan Company (a specialty chemical manufacturer) | |||||||
* | Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. Mr. McNamara holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
1 | Each Trustee and Advisory Board Member may be contacted by writing to the Trustee or Advisory Board Member, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of December 31, 2019. |
2 | Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that (a) no Trustee shall hold office for more than 15 years and (b) a Trustee shall retire as of December 31st of the calendar year in which he or she reaches his or her 74th birthday, unless a waiver of such requirements shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. |
3 | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of December 31, 2019, Goldman Sachs Trust consisted of 89 portfolios; Goldman Sachs Variable Insurance Trust consisted of 13 portfolios; Goldman Sachs Trust II consisted of 19 portfolios (17 of which offered shares to the public); Goldman Sachs MLP Income Opportunities Fund, Goldman Sachs MLP and Energy Renaissance Fund, Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio; and Goldman Sachs ETF Trust consisted of 40 portfolios (21 of which offered shares to the public). |
4 | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Fund’s Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384. Additional information about the Advisory Board Members will be available in the Fund’s Statement of Additional Information dated April 30, 2020, which will be available from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
27
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | |||
James A. McNamara 200 West Street New York, NY 10282 Age: 57 | Trustee and President | Since 2007 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 42 | Secretary | Since 2012 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Associate General Counsel, Goldman Sachs (2012-Present); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006).
Secretary — Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Private Middle Market Credit II LLC; Goldman Sachs Middle Market Lending Corp.; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 51 | Treasurer, Principal Financial Officer and Principal Accounting Officer | Since 2017 (Treasurer and Principal Financial Officer since 2019) | Managing Director, Goldman Sachs (November 2015-Present) and Vice President — Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010-October 2015). Treasurer, Principal Financial Officer and Principal Accounting Officer — Goldman Sachs Trust (previously Assistant Treasurer (2016)); Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs MLP Income Opportunities Fund (previously Assistant Treasurer (2017)); Goldman Sachs MLP and Energy Renaissance Fund (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
* | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Fund’s Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
1 | Information is provided as of December 31, 2019. |
2 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
Goldman Sachs Variable Insurance Trust — Tax Information (Unaudited)
For the year ended December 31, 2019, 59.31% of the dividends paid from net investment company taxable income by the Mid Cap Value Fund qualify for the dividends received deduction available to corporations.
Pursuant to Section 852 of the Internal Revenue Code, the Mid Cap Value Fund designates $10,923,915 or, if different, the maximum amount allowable, as capital gain dividends paid during the fiscal year ended December 31, 2019.
28
TRUSTEES | OFFICERS | |
Jessica Palmer,Chair Dwight L. Bush* Kathryn A. Cassidy Diana M. Daniels Joaquin Delgado* James A. McNamara Roy W. Templin Gregory G. Weaver | James A. McNamara,President Joseph F. DiMaria,Principal Financial Officer, Principal Accounting Officer and Treasurer Caroline L. Kraus,Secretary | |
*Effective as of January 23, 2020 |
GOLDMAN SACHS & CO. LLC
Distributor and Transfer Agent
GOLDMAN SACHS ASSET MANAGEMENT, L.P.
Investment Adviser
200 West Street, New York
New York 10282
Visit our web site at www.GSAMFUNDS.com to obtain the most recentmonth-end returns.
The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Fund. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted proxies relating to portfolio securities for the12-month period ended December 31 is available (i) without charge, upon request by calling1-800-621-2550; and (ii) on the Securities and Exchange Commission (“SEC”) web site athttp://www.sec.gov.
The Fund will file its portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be made available on the SEC’s web site at http://www.sec.gov. Portfolio holdings information may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).
Views and opinions expressed are for informational purposes only and do not constitute a recommendation by GSAM to buy, sell, or hold any security. Views and opinions are current as of the date of this presentation and may be subject to change, they should not be construed as investment advice.
Goldman Sachs & Co. LLC (“Goldman Sachs”) does not provide legal, tax or accounting advice. Any statement contained in this communication (including any attachments) concerning U.S. tax matters was not intended or written to be used, and cannot be used, for the purpose of avoiding penalties under the Internal Revenue Code, and was written to support the promotion or marketing of transaction or matter addressed. Clients of Goldman Sachs should obtain their own independent tax advice based on their particular circumstances.
The website links provided are for your convenience only and are not an endorsement or recommendation by GSAM of any of these websites or the products or services offered. GSAM is not responsible for the accuracy and validity of the content of these websites.
Fund holdings and allocations shown are as of December 31, 2019 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
References to indices, benchmarks or other measures of relative market performance over a specified period of time are provided for your information only and do not imply that the portfolio will achieve similar results. The index composition may not reflect the manner in which a portfolio is constructed. While an adviser seeks to design a portfolio which reflects appropriate risk and return features, portfolio characteristics may deviate from those of the benchmark.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (“MSCI”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
Shares of the Goldman Sachs VIT Funds are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus or summary prospectus, if applicable. Investors should consider the Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the prospectus carefully before investing or sending money. The summary prospectus, if available, and the prospectus contain this and other information about the Fund and may be obtained from your authorized dealer or from Goldman Sachs & Co. LLC by calling1-800-621-2550.
This report is prepared for the general information of contract owners and is not an offer of shares of the Goldman Sachs Variable Insurance Trust — Goldman Sachs Mid Cap Value Fund.
© 2020 Goldman Sachs. All rights reserved.
VITMCVAR-20/192293-OTU-1135504
Goldman
SachsVariable Insurance Trust
Goldman Sachs Government
Money Market Fund
Beginning on or after January 1, 2021, you may not receive paper copies of the Fund’s annual and semi-annual shareholder reports from the insurance company that offers your variable insurance contract or your financial intermediary, unless you specifically request paper copies of the reports from the insurance company or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. At any time, you may elect to receive reports and certain communications from the insurance company electronically by contacting your insurance company or your financial intermediary.
You may elect to receive all future shareholder reports in paper free of charge. You can inform the insurance company or your financial intermediary that you wish to receive paper copies of reports. Your election to receive reports in paper will apply to all Goldman Sachs Funds available under your contract and may apply to all funds held with your financial intermediary.
Annual Report
December 31, 2019
You could lose money by investing in the Fund. Although the Fund seeks to preserve the value of your investment at $1.00 per share, it cannot guarantee it will do so. An investment in the Fund is not a deposit of the bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. The Fund’s sponsor has no legal obligation to provide financial support to the Fund, and you should not expect that the sponsor will provide financial support to the Fund at any time.
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
INVESTMENT OBJECTIVE
The Fund seeks to maximize current income to the extent consistent with the preservation of capital and the maintenance of liquidity by investing exclusively in high quality money market instruments.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Money Market Portfolio Management Team discusses the Goldman Sachs Variable Insurance Trust — Goldman Sachs Government Money Market Fund’s (the “Fund”) performance and positioning for the12-month period ended December 31, 2019 (the “Reporting Period”).
How did the Fund perform during the Reporting Period?
The Fund’s Institutional Shares’ standardized7-day current yield was 1.45% and their standardized7-day effective yield was 1.46% as of December 31, 2019. The Institutional Shares’one-month simple average yield was 1.55% as of December 31, 2019. The Institutional Shares’7-day distribution yield as of December 31, 2019 was 1.54%.
The Fund’s Service Shares’ standardized7-day current yield was 1.20% and their standardized7-day effective yield was 1.21% as of December 31, 2019. The Service Shares’one-month simple average yield was 1.30% as of December 31, 2019. The Service Shares’7-day distribution yield as of December 31, 2019 was 1.29%.
The yields represent past performance. Past performance does not guarantee future results. Current performance may be lower or higher than the performance quoted above.
Yields will fluctuate as market conditions change. The yield quotations more closely reflect the current earnings of the Fund than total return quotations.
What economic and market factors most influenced the money markets as a whole during the Reporting Period?
The Reporting Period was one wherein money market yields moved lower. While the U.S. Federal Reserve (“Fed”) held interest rates steady during the first two quarters of 2019, it reduced interest rates three times during the last two quarters of the calendar year.
In a rather significant shift from their stance in 2018, both the Fed and the European Central Bank (“ECB”) kept their respective monetary policies unchanged during the first half of the Reporting Period but adopted an increasingly dovish bias as the months progressed both in an effort to maintain financial stability following the heightened market volatility of the fourth quarter of 2018 and as geopolitical risks and the downward drift in inflation expectations unnerved central bankers. (Dovish tends to imply lower interest rates; opposite of hawkish.) For example, in January 2019, the Fed left its monetary policy unchanged and also eliminated language about “further gradual increases in rates,” cementing investor expectations for a near-term pause in rate hikes. Fed Chair Powell emphasized that the U.S. central bank would be largely guided by inflation indicators as well as by the global economic growth backdrop and the potential for financial market volatility. In March 2019, the Fed paused its near-term fed funds rate increases, announcing it expected no rate increases during 2019 and only one in 2020. In the subsequent months of the Reporting Period, the release of minutes from the Fed’s meetings confirmed policymakers’ dovish tilt. At the Fed’s June 2019 meeting, the median projected hiking path in the U.S. declined, with eight Fed participants projecting interest rate cuts in 2019.
Similarly, the ECB extended its forward guidance, noting its interest rates would remain unchanged through 2019. In June 2019, a dovish speech by outgoing ECB President Mario Draghi signaled forthcoming easing in the euro area, as concerns around the global economic growth outlook lingered. Other developed markets’ central banks also turned dovish.
During the third quarter of 2019, the Fed reduced interest rates in both July and September, citing the need for a“mid-cycle adjustment.” During the quarter, the U.S. Treasury yield curve inverted betweentwo- and10-year maturities for the first time during this cycle, sending jitters through the markets. The inversion of the U.S. Treasury yield curve, wherein shorter maturity rates were higher than longer maturity rates, combined with other factors, such as the U.S.-China trade war and Brexit, heightened uncertainty around the globe.
During the fourth quarter of 2019, the Fed reduced interest rates once again at the end of October. However, citing the resiliency of the economy, the Fed left the target range for its federal funds rate unchanged in December and signaled that interest rates were likely to stay on hold for “a time” as long as the economy stays on track. Such a consensus by Fed policymakers reflected a view
1
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
they had done enough to shield the economy from an imminent downturn. On the political and policy front, the agreement in principle of a “Phase One” U.S.-China trade deal and the victory of the Conservative Party in the U.K. reduced investor uncertainty and soothed financial markets.
Global interest rates also rallied during the Reporting Period overall in response to central banks putting balance sheet normalization on hold. (Balance sheet normalization refers to the steps the Fed is taking to reverse quantitative easing and remove the substantial monetary accommodation it has provided to the economy since the financial crisis began in 2007.) For example, the Fed said it expected to slow its balance sheet runoff plan beginning in May 2019 and stop it completely by September 2019. Instead, the Fed actually expanded its balance sheet by approximately $400 billion, sparked by the repurchase agreement crisis in September 2019. The Fed indicated this was not another round of quantitative easing but rather an attempt to keep money markets in check after an episode in which interest rates for repurchase agreements — essentially short-term loans between banks and other financial institutions — spiked in September. Therun-up spilled over into money markets, pushing the Fed’s policy rate temporarily above the range that policymakers were targeting. Other significant events that influenced the money markets during the Reporting Period included corporate tax reform and the regulatory backdrop. The management teams of multinational corporations faced increased pressure to make decisions regarding cash investments due to aone-time repatriation tax and considerations of excess cash returning to the U.S. Further, it appeared that many investors began looking at cash flow management practices, investment policies and new investment options, including various money market mutual funds.
During the Reporting Period overall, the money market yield curve, or spectrum of maturities, changed shape often. During the first quarter of 2019, the taxable money market yield curve was upward sloping, meaning yields on longer-term maturities were higher than those on shorter-term maturities. Toward the end of the second quarter, the money market yield curve actually inverted — meaning yields on shorter-term maturities were higher than those on longer-term maturities, as the market priced in an increasingly dovish Fed. The Fed then, as discussed earlier, reduced interest rates three times during the second half of the Reporting Period in an effort to soothe financial markets. By the end of the Reporting Period, the taxable money market yield curve had become relatively flat, with little difference in yields across the spectrum of maturities.
What key factors were responsible for the Fund’s performance during the Reporting Period?
The Fund’s yields fell during the Reporting Period due primarily to the economic and market factors discussed above. As the money market yield curve inverted and then flattened, there remained little difference in yields between maturities. The Fund remained highly liquid throughout.
That said, while there was less clarity surrounding the direction of the Fed’s monetary policy during the first half of the Reporting Period, market expectations for interest rate cuts heightened during the second half of 2019. The two interest rate cuts during the third quarter of the calendar year led us to position the Fund accordingly. Duration management and duration positioning play a key role in our management philosophy. We felt comfortable that the Fund was appropriately positioned given the interest rate environment during the Reporting Period, as we sought to take advantage of anticipated interest rate movements throughout, and indeed, our duration management of the Fund, especially before the Fed’s interest rate cuts, was a significant positive contributor to its performance. Still, it should be noted that regardless of interest rate conditions, we manage the Fund consistently. Our investment approach has always beentri-fold — to seek preservation of capital, daily liquidity and maximization of yield potential. We manage interest and credit risk daily. Whether interest rates are historically low, high orin-between, we intend to continue to use our actively managed approach to provide the best possible return within the framework of the Fund’s guidelines and objectives.
How did you manage the Fund’s weighted average maturity during the Reporting Period?
On December 31, 2018, the Fund’s weighted average maturity was 45 days. During the first quarter of 2019, we targeted a weighted average maturity for the Fund in a 22 to 31 day range. During the second quarter of 2019, we maintained a weighted average maturity for the Fund in a 19 to 28 day range, moving down to a weighted average maturity of 19 days by the end of June 2019.
During the third quarter of 2019, we targeted a weighted average maturity for the Fund in a 20 to 45 day range. During the fourth quarter of 2019, we maintained a weighted average maturity for the Fund in a 37 to 50 day range, moving down to a weighted average maturity of 37 days by the end of December 2019.
Throughout the Reporting Period, we focused on U.S. government repurchase agreements, U.S. Treasuries, U.S. government agency securities, and, to a lesser extent, U.S. Treasury repurchase agreement and variable rate demand notes when and where we saw what we considered to be attractive opportunities.
2
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
The weighted average maturity of a money market fund is a measure of its price sensitivity to changes in interest rates. Also known as effective maturity, weighted average maturity measures the weighted average of the maturity date of bonds held by the Fund taking into consideration any available maturity shortening features.
How did you manage the Fund’s weighted average life during the Reporting Period?
During the Reporting Period, we managed the weighted average life of the Fund below 120 days. The weighted average life of the Fund was 104 days as of December 31, 2019. The weighted average life of a money market fund is a measure of a money market fund’s price sensitivity to changes in liquidity and/or credit risk.
Under amendments to Rule2a-7 under the Investment Company Act of 1940 that became effective in May 2010, the maximum allowable weighted average life of a money market fund is 120 days. While one of the goals of the SEC’s money market fund rule is to reinforce conservative investment practices across the money market fund industry, our security selection process has long emphasized conservative investment choices.
How was the Fund invested during the Reporting Period?
The Fund had investments in U.S. government repurchase agreements, U.S. Treasury securities, U.S. government agency securities, and, to a lesser extent, U.S. Treasury repurchase agreements and variable rate demand notes during the Reporting Period.
Throughout, we stayed true to our investment discipline, favoring liquidity and high quality credits over added yield. The primary focal points for our team are consistently managing interest rate risk and credit risk. We were able to navigate interest rate risk by adjusting the Fund’s weighted average maturity longer or shorter as market conditions shifted and to mitigate potential credit risk by buying high quality, creditworthy names, strategies which added to the Fund’s performance during the Reporting Period. The average weighted average maturity and weighted average life of the Fund during the Reporting Period were 30 and 100 days, respectively. Throughout the Reporting Period, we managed the Fund’s allocations to differentsub-sectors of the money market depending on their relative value. We also adapted a flexible approach to our duration management and positioning so that we could take advantage of opportunities wherever they may arise.
Did you make any changes in the Fund’s portfolio during the Reporting Period?
As indicated earlier, we made adjustments to the Fund’s weighted average maturity, weighted average life and specific security type composition allocations based on then-current market conditions, our near-term view, and anticipated and actual Fed monetary policy statements. That said, there were no significant changes in the Fund’s investment exposures during the Reporting Period.
What is the Fund’s tactical view and strategy for the months ahead?
At the end of the Reporting Period, we expected global economic growth to continue given somewhat tamed uncertainty surrounding major international trade disputes and the resolution of Brexit. The Fed has stated it intends to be guided by incoming data and further trade developments, the two being linked. More broadly, we believe we were heading in 2020 into a period of central bank inaction, in large part due to the degree of global monetary easing that was delivered in 2019 and limited room for central banks to maneuver in many advanced economies. That said, we expect central banks’ monetary policies to continue to be accommodative, with the bar for interest rate hikes being raised due to subdued inflation outcomes.
Looking ahead, our strategy continues to be flexibly guided by shifting market conditions, positioning the Fund and its duration to seek to take advantage of anticipated interest rate movements or lack thereof. As always, we intend to continue to use our actively managed approach to seek the best possible return within the framework of the Fund’s investment guidelines and objectives. In addition, we will continue to manage interest, liquidity and credit risk daily.
We will, of course, continue to closely monitor economic data, Fed policy, and any shifts in the money market yield curve, as we strive to strategically navigate the interest rate environment.
3
FUND BASICS
FUND COMPOSITION†
Security Type
(Percentage of Net Assets)
† | The Fund is actively managed and, as such, its portfolio composition may differ over time. The percentage shown for each investment category reflects the value (based on amortized cost) of investments in that category as a percentage of net assets. Figures in the above chart may not sum to 100% due to the exclusion of other assets and liabilities. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
4
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Schedule of Investments
December 31, 2019
Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
U.S. Government Agency Obligations – 15.6% | ||||||||||||||
Federal Farm Credit Discount Notes | ||||||||||||||
$ | 300,000 | 1.627 | % | 01/23/20 | $ | 299,703 | ||||||||
300,000 | 1.576 | 01/30/20 | 299,621 | |||||||||||
200,000 | 1.642 | 05/18/20 | 198,773 | |||||||||||
Federal Home Loan Bank Discount Notes | ||||||||||||||
400,000 | 1.717 | 01/03/20 | 399,962 | |||||||||||
3,500,000 | 1.568 | 01/27/20 | 3,496,057 | |||||||||||
3,400,000 | 1.669 | 01/30/20 | 3,395,453 | |||||||||||
3,400,000 | 1.678 | 01/30/20 | 3,395,426 | |||||||||||
300,000 | 1.750 | 01/30/20 | 299,580 | |||||||||||
1,200,000 | 1.571 | 01/31/20 | 1,198,435 | |||||||||||
3,000,000 | 1.617 | 02/04/20 | 2,995,495 | |||||||||||
1,800,000 | 1.617 | 02/05/20 | 1,797,218 | |||||||||||
5,600,000 | 1.570 | 02/06/20 | 5,591,236 | |||||||||||
2,100,000 | 1.576 | 02/07/20 | 2,096,611 | |||||||||||
1,300,000 | 1.607 | 02/10/20 | 1,297,718 | |||||||||||
2,100,000 | 1.622 | 02/10/20 | 2,096,278 | |||||||||||
100,000 | 1.580 | 02/11/20 | 99,821 | |||||||||||
2,000,000 | 1.600 | 02/11/20 | 1,996,367 | |||||||||||
1,000,000 | 1.585 | 02/13/20 | 998,113 | |||||||||||
2,200,000 | 1.597 | 02/19/20 | 2,195,302 | |||||||||||
2,000,000 | 1.580 | 02/20/20 | 1,995,625 | |||||||||||
3,900,000 | 1.596 | 02/20/20 | 3,891,388 | |||||||||||
2,000,000 | 1.601 | 02/20/20 | 1,995,569 | |||||||||||
1,400,000 | 1.585 | 02/24/20 | 1,396,724 | |||||||||||
700,000 | 1.586 | 02/25/20 | 698,332 | |||||||||||
2,600,000 | 1.580 | 02/27/20 | 2,593,516 | |||||||||||
5,400,000 | 1.591 | 02/27/20 | 5,386,448 | |||||||||||
2,900,000 | 1.597 | 02/28/20 | 2,892,571 | |||||||||||
4,600,000 | 1.597 | 03/03/20 | 4,587,602 | |||||||||||
300,000 | 1.582 | 03/06/20 | 299,160 | |||||||||||
4,700,000 | 1.607 | 03/09/20 | 4,686,018 | |||||||||||
1,400,000 | 1.591 | 03/12/20 | 1,395,693 | |||||||||||
1,200,000 | 1.589 | 03/18/20 | 1,196,009 | |||||||||||
7,800,000 | 1.599 | 03/18/20 | 7,773,891 | |||||||||||
1,300,000 | 1.614 | 03/23/20 | 1,295,321 | |||||||||||
4,500,000 | 1.583 | 03/24/20 | 4,483,919 | |||||||||||
6,000,000 | 1.620 | 03/25/20 | 5,977,782 | |||||||||||
2,100,000 | 1.583 | 04/03/20 | 2,091,456 | |||||||||||
3,400,000 | 1.614 | 04/08/20 | 3,385,376 | |||||||||||
5,300,000 | 1.605 | 04/15/20 | 5,275,730 | |||||||||||
5,400,000 | 1.590 | 04/17/20 | 5,375,042 | |||||||||||
Federal Home Loan Mortgage Corp. | ||||||||||||||
500,000 | 1.803 | 01/09/20 | 499,803 | |||||||||||
3,000,000 | 1.690 | 03/18/20 | 2,989,413 | |||||||||||
4,500,000 | 1.604 | 04/17/20 | 4,479,001 | |||||||||||
Overseas Private Investment Corp. | ||||||||||||||
500,000 | – | 11/17/20 | 501,147 | |||||||||||
|
| |||||||||||||
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | | $ | 111,289,705 | ||||||||||
|
| |||||||||||||
U.S. Treasury Obligations – 26.6% | ||||||||||||||
United States Treasury Bills | ||||||||||||||
100,000 | 1.567 | % | 02/13/20 | 99,816 | ||||||||||
500,000 | 1.562 | 02/20/20 | 498,934 | |||||||||||
200,000 | 1.555 | 02/25/20 | 199,533 | |||||||||||
900,000 | 1.588 | 02/27/20 | 897,777 | |||||||||||
500,000 | 1.593 | 02/27/20 | 498,761 | |||||||||||
100,000 | 1.598 | 02/27/20 | 99,751 | |||||||||||
1,600,000 | 1.554 | 03/05/20 | 1,595,669 | |||||||||||
500,000 | 1.556 | 03/05/20 | 498,644 | |||||||||||
900,000 | 1.587 | 03/05/20 | 897,512 | |||||||||||
18,200,000 | 1.592 | 03/05/20 | 18,149,525 | |||||||||||
500,000 | 1.862 | 03/05/20 | 498,387 | |||||||||||
2,100,000 | 1.867 | 03/05/20 | 2,093,205 | |||||||||||
1,400,000 | 1.868 | 03/05/20 | 1,395,470 | |||||||||||
700,000 | 1.870 | 03/05/20 | 697,732 | |||||||||||
900,000 | 1.907 | 03/05/20 | 897,024 | |||||||||||
9,600,000 | 1.551 | 03/12/20 | 9,571,221 | |||||||||||
600,000 | 1.567 | 03/12/20 | 598,184 | |||||||||||
190,000 | 1.582 | 03/26/20 | 189,305 | |||||||||||
1,300,000 | 1.587 | 03/26/20 | 1,295,218 | |||||||||||
200,000 | 1.546 | 04/02/20 | 199,234 | |||||||||||
25,200,000 | 1.551 | 04/02/20 | 25,103,176 | |||||||||||
900,000 | 1.655 | 04/02/20 | 896,286 | |||||||||||
700,000 | 1.738 | 04/02/20 | 696,968 | |||||||||||
300,000 | 1.795 | 04/02/20 | 298,658 | |||||||||||
3,250,000 | 1.836 | 04/02/20 | 3,235,133 | |||||||||||
800,000 | 1.655 | 04/09/20 | 796,447 | |||||||||||
2,100,000 | 1.666 | 04/09/20 | 2,090,616 | |||||||||||
100,000 | 1.670 | 04/09/20 | 99,552 | |||||||||||
1,500,000 | 1.671 | 04/09/20 | 1,493,276 | |||||||||||
700,000 | 1.676 | 04/09/20 | 696,853 | |||||||||||
100,000 | 1.570 | 04/16/20 | 99,548 | |||||||||||
200,000 | 1.545 | 04/23/20 | 199,036 | |||||||||||
1,000,000 | 1.557 | 05/07/20 | 994,638 | |||||||||||
14,600,000 | 1.562 | 05/07/20 | 14,521,454 | |||||||||||
250,000 | 1.563 | 05/07/20 | 248,654 | |||||||||||
900,000 | 1.572 | 05/07/20 | 895,126 | |||||||||||
1,200,000 | 1.568 | 06/04/20 | 1,192,095 | |||||||||||
500,000 | 1.573 | 06/04/20 | 496,696 | |||||||||||
700,000 | 1.599 | 06/04/20 | 695,298 | |||||||||||
11,700,000 | 1.604 | 06/04/20 | 11,621,163 | |||||||||||
500,000 | 1.578 | 06/18/20 | 496,385 | |||||||||||
500,000 | 1.583 | 06/25/20 | 496,223 | |||||||||||
400,000 | 1.593 | 06/25/20 | 396,959 | |||||||||||
900,000 | 1.604 | 06/25/20 | 893,114 | |||||||||||
2,200,000 | 1.609 | 06/25/20 | 2,183,114 | |||||||||||
5,000,000 | 1.601 | (a) | 12/31/20 | 4,921,639 | ||||||||||
| United States Treasury Floating Rate Note (3 Mo. U.S.T-Bill | | ||||||||||||
3,000,000 | 1.569 | (b) | 07/31/20 | 2,999,872 | ||||||||||
| United States Treasury Floating Rate Note (3 Mo. U.S.T-Bill | | ||||||||||||
8,500,000 | 1.641 | (b) | 01/31/21 | 8,494,041 | ||||||||||
| United States Treasury Floating Rate Note (3 Mo. U.S.T-Bill | | ||||||||||||
8,075,000 | 1.665 | (b) | 04/30/21 | 8,067,411 | ||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 5 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Schedule of Investments(continued)
December 31, 2019
Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
U.S. Treasury Obligations – (continued) | ||||||||||||||
| United States Treasury Floating Rate Note (3 Mo. U.S.T-Bill | | ||||||||||||
$ | 20,500,000 | 1.746 | %(b) | 07/31/21 | $ | 20,494,251 | ||||||||
| United States Treasury Floating Rate Note (3 Mo. U.S.T-Bill | | ||||||||||||
2,700,000 | 1.826 | (b) | 10/31/21 | 2,702,693 | ||||||||||
United States Treasury Notes | ||||||||||||||
2,000,000 | 1.375 | 02/29/20 | 1,999,269 | |||||||||||
200,000 | 1.125 | 03/31/20 | 199,769 | |||||||||||
1,125,000 | 1.375 | 03/31/20 | 1,122,749 | |||||||||||
2,700,000 | 2.250 | 03/31/20 | 2,701,484 | |||||||||||
1,925,000 | 1.125 | 04/30/20 | 1,920,229 | |||||||||||
3,400,000 | 1.375 | 04/30/20 | 3,396,121 | |||||||||||
6,100,000 | 2.375 | 04/30/20 | 6,110,149 | |||||||||||
5,450,000 | 3.500 | 05/15/20 | 5,478,953 | |||||||||||
1,600,000 | 1.375 | 05/31/20 | 1,597,136 | |||||||||||
2,000,000 | 1.500 | 05/31/20 | 1,997,382 | |||||||||||
1,100,000 | 2.500 | 05/31/20 | 1,102,824 | |||||||||||
1,700,000 | 1.500 | 06/15/20 | 1,697,780 | |||||||||||
1,000,000 | 1.625 | 07/31/20 | 1,000,000 | |||||||||||
|
| |||||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS | | $ | 189,711,122 | ||||||||||
|
| |||||||||||||
Variable Rate Obligations(b) – 15.7% | ||||||||||||||
Federal Farm Credit Bank (1 Mo. LIBOR + 0.01%) | ||||||||||||||
$ | 1,800,000 | 1.815 | % | 06/29/20 | $ | 1,800,000 | ||||||||
600,000 | 1.864 | 11/05/21 | 600,000 | |||||||||||
Federal Farm Credit Bank (1 Mo. LIBOR + 0.1%) | ||||||||||||||
1,000,000 | 1.885 | 01/06/20 | 1,000,000 | |||||||||||
1,100,000 | 1.810 | 09/09/21 | 1,100,000 | |||||||||||
Federal Farm Credit Bank (1 Mo. LIBOR + 0.9%) | ||||||||||||||
500,000 | 1.831 | 01/07/20 | 500,000 | |||||||||||
1,100,000 | 1.790 | 12/13/21 | 1,099,894 | |||||||||||
Federal Farm Credit Bank (3 Mo. LIBOR – 0.07%) | ||||||||||||||
700,000 | 1.839 | 07/02/21 | 700,000 | |||||||||||
Federal Farm Credit Bank (3 Mo. U.S.T-Bill MMY + 0.07%) | ||||||||||||||
650,000 | 1.596 | 02/18/20 | 650,000 | |||||||||||
Federal Farm Credit Bank (3 Mo. U.S.T-Bill MMY + 0.13%) | ||||||||||||||
100,000 | 1.656 | 11/12/20 | 100,008 | |||||||||||
Federal Farm Credit Bank (3 Mo. U.S.T-Bill MMY + 0.15%) | ||||||||||||||
200,000 | 1.671 | 04/23/21 | 200,000 | |||||||||||
Federal Farm Credit Bank (FEDL01 + 0.1%) | ||||||||||||||
540,000 | 1.650 | 12/16/20 | 539,948 | |||||||||||
Federal Farm Credit Bank (FEDL01 + 0.11%) | ||||||||||||||
800,000 | 1.660 | 08/13/20 | 799,951 | |||||||||||
Federal Farm Credit Bank (FEDL01 + 0.12%) | ||||||||||||||
1,900,000 | 1.670 | 04/23/21 | 1,900,000 | |||||||||||
Federal Farm Credit Bank (FEDL01 + 0.15%) | ||||||||||||||
1,600,000 | 1.695 | 01/21/21 | 1,599,966 | |||||||||||
Federal Farm Credit Bank (FEDL01 + 0.2%) | ||||||||||||||
2,100,000 | 1.750 | 11/29/21 | 2,099,964 | |||||||||||
Federal Farm Credit Bank (FEDL01 + 0.21%) | ||||||||||||||
1,300,000 | 1.760 | 01/07/20 | 1,299,799 | |||||||||||
|
| |||||||||||||
Variable Rate Obligations(b) – (continued) | ||||||||||||||
Federal Farm Credit Bank (Prime Rate – 2.88%) | ||||||||||||||
1,000,000 | 1.870 | 05/07/20 | 999,972 | |||||||||||
Federal Farm Credit Bank (Prime Rate – 2.90%) | ||||||||||||||
600,000 | 1.850 | 01/30/20 | 600,000 | |||||||||||
Federal Farm Credit Bank (Prime Rate – 2.93%) | ||||||||||||||
1,200,000 | 1.820 | 11/06/20 | 1,200,000 | |||||||||||
Federal Farm Credit Bank (Prime Rate – 2.94%) | ||||||||||||||
1,500,000 | 1.815 | 10/30/20 | 1,500,000 | |||||||||||
800,000 | 1.810 | 02/26/21 | 800,000 | |||||||||||
800,000 | 1.810 | 11/08/21 | 800,000 | |||||||||||
Federal Farm Credit Bank (Prime Rate – 2.95%) | ||||||||||||||
100,000 | 1.800 | 04/30/20 | 100,000 | |||||||||||
2,700,000 | 1.800 | 03/15/21 | 2,700,000 | |||||||||||
Federal Farm Credit Bank (Prime Rate – 2.96%) | ||||||||||||||
200,000 | 1.790 | 03/13/20 | 199,970 | |||||||||||
2,200,000 | 1.790 | (a) | 03/29/21 | 2,200,000 | ||||||||||
Federal Farm Credit Bank (Prime Rate – 2.97%) | ||||||||||||||
1,700,000 | 1.785 | 04/08/21 | 1,700,000 | |||||||||||
Federal Farm Credit Bank (Prime Rate – 2.98%) | ||||||||||||||
300,000 | 1.770 | 11/12/20 | 299,872 | |||||||||||
1,300,000 | 1.775 | 02/26/21 | 1,300,000 | |||||||||||
Federal Farm Credit Bank (Prime Rate – 3.01%) | ||||||||||||||
1,800,000 | 1.740 | 02/25/21 | 1,799,896 | |||||||||||
Federal Farm Credit Bank (SOFR + 0.12%) | ||||||||||||||
800,000 | 1.660 | 03/18/21 | 800,000 | |||||||||||
Federal Home Loan Bank (1 Mo. LIBOR – 0.03%) | ||||||||||||||
10,000,000 | 1.685 | 01/10/20 | 10,000,000 | |||||||||||
4,100,000 | 1.755 | 01/21/20 | 4,100,000 | |||||||||||
Federal Home Loan Bank (1 Mo. LIBOR – 0.07%) | ||||||||||||||
2,800,000 | 1.650 | 06/08/20 | 2,800,000 | |||||||||||
2,800,000 | 1.653 | 06/15/20 | 2,800,000 | |||||||||||
Federal Home Loan Bank (1 Mo. LIBOR + 0.02%) | ||||||||||||||
700,000 | 1.795 | 03/24/21 | 700,000 | |||||||||||
Federal Home Loan Bank (1 Mo. LIBOR + 0.04%) | ||||||||||||||
700,000 | 1.820 | 06/24/21 | 700,000 | |||||||||||
Federal Home Loan Bank (1 Mo. LIBOR + 0.05%) | ||||||||||||||
3,000,000 | 1.837 | 03/27/20 | 3,000,000 | |||||||||||
5,000,000 | 1.779 | 04/06/20 | 5,000,000 | |||||||||||
2,000,000 | 1.831 | 05/01/20 | 2,000,000 | |||||||||||
Federal Home Loan Bank (1 Mo. LIBOR + 0.07%) | ||||||||||||||
17,800,000 | 1.775 | 10/07/20 | 17,800,000 | |||||||||||
Federal Home Loan Bank (3 Mo. LIBOR – 0.07%) | ||||||||||||||
6,500,000 | 2.029 | 04/01/21 | 6,500,000 | |||||||||||
Federal Home Loan Bank (3 Mo. LIBOR – 0.08%) | ||||||||||||||
3,300,000 | 1.828 | 03/19/21 | 3,300,000 | |||||||||||
Federal Home Loan Bank (3 Mo. LIBOR – 0.16%) | ||||||||||||||
3,800,000 | 1.742 | 08/04/20 | 3,800,000 | |||||||||||
Federal Home Loan Bank (3 Mo. U.S.T-Bill + 0.07%) | ||||||||||||||
10,700,000 | 1.657 | 01/30/20 | 10,700,128 | |||||||||||
Federal National Mortgage Association (SOFR + 0.16%) | ||||||||||||||
750,000 | 1.700 | 01/30/20 | 750,000 | |||||||||||
Overseas Private Investment Corp. (3 Mo. U.S.T-Bill + 0.00%) | ||||||||||||||
1,000,000 | 1.980 | 01/07/20 | 1,000,000 | |||||||||||
1,713,750 | 1.980 | 01/07/20 | 1,713,750 | |||||||||||
|
|
6 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
Variable Rate Obligations(b) – (continued) | ||||||||||||||
| Overseas Private Investment Corp. (3 Mo. U.S.T-Bill + 0.00%) – | |||||||||||||
$ | 2,444,664 | 1.980 | % | 01/07/20 | $ | 2,444,664 | ||||||||
|
| |||||||||||||
| TOTAL VARIABLE RATE OBLIGATIONS | | $ | 112,097,782 | ||||||||||
|
| |||||||||||||
| TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENTS | | $ | 413,098,609 | ||||||||||
|
| |||||||||||||
Repurchase Agreements(c) – 46.3% | ||||||||||||||
BNP Paribus | ||||||||||||||
$ | 25,000,000 | 1.830 | %(d) | 01/02/20 | $ | 25,000,000 | ||||||||
Maturity Value: $25,116,917 | ||||||||||||||
Settlement Date: 10/02/19 | ||||||||||||||
| Collateralized by Federal National Mortgage Association, 3.500% | | ||||||||||||
2,000,000 | 1.730 | (d) | 01/06/20 | 2,000,000 | ||||||||||
Maturity Value: $2,008,650 | ||||||||||||||
Settlement Date: 10/08/19 | ||||||||||||||
| Collateralized by Federal Farm Credit Bank, 1.875%, due | | ||||||||||||
2,500,000 | 1.630 | (d) | 01/07/20 | (b) | 2,500,000 | |||||||||
Maturity Value: $2,507,131 | ||||||||||||||
Settlement Date: 12/02/19 | ||||||||||||||
| Collateralized by Federal National Mortgage Association, 3.500% | | ||||||||||||
Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
Repurchase Agreements(c) – (continued) | ||||||||||||||
BNP Paribus – (continued) | ||||||||||||||
10,000,000 | 1.650 | (d) | 01/07/20 | (b) | 10,000,000 | |||||||||
Maturity Value: $10,028,417 | ||||||||||||||
Settlement Date: 12/18/19 | ||||||||||||||
| Collateralized by Federal Farm Credit Bank, 3.040%, due | | ||||||||||||
|
| |||||||||||||
Joint Repurchase Agreement Account III | ||||||||||||||
291,400,000 | 1.574 | 01/02/20 | 291,400,000 | |||||||||||
Maturity Value: $291,425,475 | ||||||||||||||
|
| |||||||||||||
TOTAL REPURCHASE AGREEMENTS | $ | 330,900,000 | ||||||||||||
|
| |||||||||||||
TOTAL INVESTMENTS – 104.2% | $ | 743,998,609 | ||||||||||||
|
| |||||||||||||
| LIABILITIES IN EXCESS OF | (30,103,876 | ) | |||||||||||
|
| |||||||||||||
NET ASSETS – 100.0% | $ | 713,894,733 | ||||||||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
(a) | All or a portion represents a forward commitment. | |
(b) | Variable or floating rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed is that which is in effect on December 31, 2019. | |
(c) | Unless noted, all repurchase agreements were entered into on December 31, 2019. Additional information on Joint Repurchase Agreement Account III appears in the Additional Investment Information section. | |
(d) | The instrument is subject to a demand feature. | |
Interest rates represent either the stated coupon rate, annualized yield on date of purchase for discounted securities, or, for floating rate securities, the current reset rate, which is based upon current interest rate indices.
Maturity dates represent either the final legal maturity date on the security, the demand date for puttable securities, the date of the next interest rate reset for variable rate securities, or the prerefunded date for those types of securities. |
The accompanying notes are an integral part of these financial statements. | 7 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Schedule of Investments(continued)
December 31, 2019
Investment Abbreviations: | ||
FEDL01 | —US Federal Funds Effective Rate | |
LIBOR | —London Interbank Offered Rates | |
MMY | —Money Market Yield | |
Prime | —Federal Reserve Bank Prime Loan Rate US | |
SOFR | —Secured Overnight Financing Rate | |
T-Bill | —Treasury Bill |
ADDITIONAL INVESTMENT INFORMATION
JOINT REPURCHASE AGREEMENT ACCOUNT III— At December 31, 2019, the Fund had undivided interests in the Joint Repurchase Agreement Account III, with a maturity date of January 2, 2020, as follows:
Principal Amount | Maturity Value | Collateral Value | |||||||||||
$291,400,000 | $ | 291,425,475 | $ | 300,136,406 |
REPURCHASE AGREEMENTS — At December 31, 2019, the Principal Amounts of the Fund’s interest in the Joint Repurchase Agreement Account III were as follows:
Counterparty | Interest Rate | Principal Amount | ||||||
ABN Amro Bank N.V. | 1.570 | % | $ | 31,789,091 | ||||
Bank of America, N.A. | 1.570 | 26,490,909 | ||||||
Bank of Nova Scotia (The) | 1.570 | 127,156,364 | ||||||
Wells Fargo Securities, LLC. | 1.580 | 105,963,636 | ||||||
TOTAL | $ | 291,400,000 |
At December 31, 2019, the Joint Repurchase Agreement Account III was fully collateralized by:
Issuer | Interest Rates | Maturity Dates | ||||||
Federal Home Loan Mortgage Corp. | 2.500 to 5.000 | % | 10/01/26 to 01/01/50 | |||||
Federal National Mortgage Association | 2.500 to 6.500 | 02/01/21 to 05/01/58 | ||||||
Government National Mortgage Association | 3.000 to 4.000 | 09/20/41 to 12/20/42 | ||||||
U.S. Treasury Bond | 3.000 | 11/15/45 |
8 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Statement of Assets and Liabilities
December 31, 2019
Assets: | ||||
Investments based on amortized cost | $ | 413,098,609 | ||
Repurchase agreements based on amortized cost | 330,900,000 | |||
Cash | 38,590 | |||
Receivables: | ||||
Investments sold | 1,419,242 | |||
Fund shares sold | 1,395,911 | |||
Interest | 571,006 | |||
Reimbursement from investment advisor | 15,821 | |||
Other assets | 8,867 | |||
Total assets | 747,448,046 | |||
Liabilities: | ||||
Payables: | ||||
Investments purchased | 30,924,049 | |||
Fund shares redeemed | 2,372,643 | |||
Management fees | 95,091 | |||
Distribution and Service fees and Transfer Agency fees | 11,885 | |||
Accrued expenses | 149,645 | |||
Total liabilities | 33,553,313 | |||
Net Assets: | ||||
Paid-in capital | 713,827,850 | |||
Total distributable earnings | 66,883 | |||
NET ASSETS | $ | 713,894,733 | ||
Net asset value, offering and redemption price per share | $ | 1.00 | ||
Net Assets: | ||||
Institutional Shares | $ | 363,782,933 | ||
Service Shares | 350,111,800 | |||
Total Net Assets | $ | 713,894,733 | ||
Shares outstanding $0.001 par value (unlimited number of shares authorized): | ||||
Institutional Shares | 363,748,713 | |||
Service Shares | 350,079,118 |
The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Statement of Operations
For the Fiscal Year Ended December 31, 2019
Investment Income: | ||||
Interest | $ | 15,804,578 | ||
Expenses: | ||||
Management fees | 1,126,412 | |||
Distribution and Service fees — Service Shares | 888,181 | |||
Transfer Agency fees(a) | 140,802 | |||
Professional fees | 81,885 | |||
Custody, accounting and administrative services | 55,550 | |||
Printing and mailing fees | 55,319 | |||
Shareholder Meeting Expense | 18,272 | |||
Trustee fees | 16,741 | |||
Other | 7,763 | |||
Total expenses | 2,390,925 | |||
Less — expense reductions | (191,169 | ) | ||
Net expenses | 2,199,756 | |||
NET INVESTMENT INCOME | 13,604,822 | |||
NET REALIZED GAIN FROM INVESTMENT TRANSACTIONS | 327,167 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 13,931,989 |
(a) Institutional and Service Shares incurred Transfer Agency fees of $69,747 and $71,055, respectively.
10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Statements of Changes in Net Assets
For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||
From operations: | ||||||||
Net investment income | $ | 13,604,822 | $ | 10,023,268 | ||||
Net realized gain (loss) from investment transactions | 327,167 | (46,644 | ) | |||||
Net increase in net assets resulting from operations | 13,931,989 | 9,976,624 | ||||||
Distributions to shareholders: | ||||||||
From distributable earnings: | ||||||||
Institutional Shares | (7,303,914 | ) | (4,862,159 | ) | ||||
Service Shares | (6,545,777 | ) | (5,123,116 | ) | ||||
Total distributions to shareholders | (13,849,691 | ) | (9,985,275 | ) | ||||
From share transactions (at $1.00 per share): | ||||||||
Proceeds from sales of shares | 736,413,904 | 791,066,132 | ||||||
Reinvestment of distributions | 13,849,691 | 9,982,588 | ||||||
Cost of shares redeemed | (816,550,622 | ) | (677,694,987 | ) | ||||
Net increase (decrease) in net assets resulting from share transactions | (66,287,027 | ) | 123,353,733 | |||||
TOTAL INCREASE (DECREASE) | (66,204,729 | ) | 123,345,082 | |||||
Net assets: | ||||||||
Beginning of year | 780,099,462 | 656,754,380 | ||||||
End of year | $ | 713,894,733 | $ | 780,099,462 |
The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
Goldman Sachs Government Money Market Fund | ||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||
Net investment income(a) | 0.021 | 0.017 | 0.008 | 0.003 | — | (b) | ||||||||||||||
Distributions to shareholders from net investment income(c) | (0.021 | ) | (0.017 | ) | (0.008 | ) | (0.003 | ) | — | (b) | ||||||||||
Net asset value, end of year | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||
Total return(d) | 2.11 | % | 1.74 | % | 0.76 | % | 0.29 | % | 0.02 | % | ||||||||||
Net assets, end of year (in 000’s) | $ | 363,783 | $ | 411,447 | $ | 302,507 | $ | 206,987 | $ | 1,143 | ||||||||||
Ratio of net expenses to average net assets | 0.18 | % | 0.18 | % | 0.18 | % | 0.19 | % | 0.23 | % | ||||||||||
Ratio of total expenses to average net assets | 0.21 | % | 0.23 | % | 0.27 | % | 0.30 | % | 0.31 | % | ||||||||||
Ratio of net investment income to average net assets | 2.06 | % | 1.73 | % | 0.76 | % | 0.31 | % | 0.03 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. |
12 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
Goldman Sachs Government Money Market Fund | ||||||||||||||||||||
Service Shares | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data: | ||||||||||||||||||||
Net asset value, beginning of year | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||
Net investment income(a) | 0.018 | 0.015 | 0.005 | — | (b) | — | (b) | |||||||||||||
Distributions to shareholders from net investment income(c) | (0.018 | ) | (0.015 | ) | (0.005 | ) | — | (b) | — | (b) | ||||||||||
Net asset value, end of year | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||
Total return(d) | 1.86 | % | 1.48 | % | 0.51 | % | 0.04 | % | 0.01 | % | ||||||||||
Net assets, end of year (in 000’s) | $ | 350,112 | $ | 368,652 | $ | 354,248 | $ | 375,580 | $ | 328,202 | ||||||||||
Ratio of net expenses to average net assets | 0.43 | % | 0.43 | % | 0.43 | % | 0.44 | % | 0.26 | % | ||||||||||
Ratio of total expenses to average net assets | 0.46 | % | 0.48 | % | 0.52 | % | 0.55 | % | 0.56 | % | ||||||||||
Ratio of net investment income to average net assets | 1.81 | % | 1.48 | % | 0.51 | % | 0.03 | % | 0.01 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.0005 per share. |
(c) | Distributions may not coincide with the current year net investment income or net realized gains as distributions may be paid from current or prior year earnings. |
(d) | Assumes reinvestment of all distributions. |
The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Notes to Financial Statements
December 31, 2019
1. ORGANIZATION
Goldman Sachs Variable Insurance Trust (the “Trust” or “VIT”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as anopen-end management investment company. The Trust includes the Goldman Sachs Government Money Market Fund (the “Fund”). The Fund is a diversified portfolio under the Act offering two classes of shares — Institutional and Service Shares. Shares of the Trust are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (“Goldman Sachs”), serves as investment adviser to the Fund pursuant to a management agreement (the “Agreement”) with the Trust.
2. SIGNIFICANT ACCOUNTING POLICIES
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. The Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.
A. Investment Valuation — The investment valuation policy of the Fund is to use theamortized-cost method permitted by Rule2a-7 under the Act for valuing portfolio securities. Theamortized-cost method of valuation involves valuing a security at its cost and thereafter applying a constant accretion or amortization to maturity of any discount or premium. Normally, a security’s amortized cost will approximate its market value. Under procedures and tolerances approved by the Board of Trustees (“Trustees”), GSAM evaluates daily the difference between the Fund’s net asset value (“NAV”) per share using the amortized costs of its portfolio securities and the Fund’s NAV per share using market-based values of its portfolio securities. The market-based value of a portfolio security is determined, where readily available, on the basis of market quotations provided by pricing services or securities dealers, or, where accurate market quotations are not readily available, on the basis of the security’s fair value as determined in accordance with Valuation Procedures approved by the Trustees. The pricing services may use valuation models or matrix pricing, which may consider (among other things): (i) yield or price with respect to debt securities that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value.
B. Investment Income and Investments — Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, andnon-class specific expenses of the Fund are allocated daily based upon the proportion of net assets of each class. Class specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service and Transfer Agency fees.Non-class specific expenses directly incurred by the Fund are charged to the Fund, while such expenses incurred by the Trust are allocated across the Fund on a straight-line and/orpro-rata basis depending upon the nature of the expenses.
D. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the
Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies (mutual funds) and to distribute each year substantially all of its investment company taxable andtax-exempt income and capital gains to its shareholders. Accordingly, the Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are declared and recorded daily and paid monthly by the Fund and may include short-term capital gains. Long-term capital gain distributions, if any, are declared and paid annually. The Fund may defer or accelerate the timing of the distributions of short-term capital gains (or any portion thereof).
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the Fund’s distributions may be shown in the accompanying financial statements as either from distributable earnings or capital. Certain components of the Fund’s net assets on the Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
14
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
The tax character of distributions paid during the fiscal years ended December 31, 2019 and December 31, 2018 were as follows:
2019 | 2018 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 13,849,636 | $ | 9,985,275 | ||||
Net long-term capital gains | 55 | — | ||||||
Total taxable distributions | $ | 13,849,691 | $ | 9,985,275 |
As of December 31, 2019, the components of accumulated earnings on a tax basis were as follows:
Undistributed (Distributions in excess of) ordinary income — net | $ | 66,926 | ||
Unrealized gains (losses) — net | (43 | ) | ||
Total accumulated earnings (losses) — net | $ | 66,883 |
During the fiscal year ended December 31, 2019, the Fund utilized $43,959 in capital loss carryforwards from prior years.
The amortized cost for the Fund stated in the accompanying Statement of Assets and Liabilities also represents aggregate cost for U.S. federal income tax purposes.
The difference between GAAP-basis and tax basis unrealized gains (losses) is attributable primarily to wash sales.
GSAM has reviewed the Fund’s tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
E. Forward Commitments — A forward commitment involves entering into a contract to purchase or sell securities, typically on an extended settlement basis, for a fixed price at a future date. The purchase of securities on a forward commitment basis involves a risk of loss if the value of the security to be purchased declines before the settlement date. Conversely, the sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. Although the Fund will generally purchase securities on a forward commitment basis with the intention of acquiring the securities for its portfolio, the Fund may dispose of forward commitments prior to settlement which may result in a realized gain or loss.
F. Repurchase Agreements — Repurchase agreements involve the purchase of securities subject to the seller’s agreement to repurchase the securities at a mutually agreed upon date and price, under the terms of a Master Repurchase Agreement (“MRA”). During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of a Fund, including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest. The gross value of repurchase agreements is included in the Statement of Assets and Liabilities for financial reporting purposes. The underlying securities for all repurchase agreements are held at the Fund’s custodian or designatedsub-custodians undertri-party repurchase agreements.
An MRA governs transactions between the Fund and select counterparties. An MRA contains provisions for, among other things, initiation of the transaction, income payments, events of default, and maintenance of securities for repurchase agreements. An MRA also permits offsetting with collateral to create one single net payment in the event of default or similar events, including the bankruptcy or insolvency of a counterparty.
If the seller defaults, the Fund could suffer a loss to the extent that the proceeds from the sale of the underlying securities and other collateral held by the Fund are less than the repurchase price and the Fund’s costs associated with delay and enforcement of the repurchase agreement. In addition, in the event of default or insolvency of the seller, a court could determine that a Fund’s interest in the collateral is not enforceable, resulting in additional losses to the Fund.
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and terms and conditions contained therein, the Fund, together with other funds of the Trust and registered investment companies having management agreements with
15
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Notes to Financial Statements(continued)
December 31, 2019
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
GSAM or its affiliates, may transfer uninvested cash into joint accounts, the daily aggregate balance of which is invested in one or more repurchase agreements. Under these joint accounts, the Fund maintainspro-rata credit exposure to the underlying repurchase agreements’ counterparties. With the exception of certain transaction fees, the Fund is not subject to any expenses in relation to these investments.
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS
U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Fund’s policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
The Trustees have approved Valuation Procedures that govern the valuation of the portfolio investments held by the Fund, including investments for which market quotations are not readily available. The Trustees have delegated to GSAMday-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation (including both the amortized cost and market-based methods of valuation) of the Fund’s investments. To assess the continuing appropriateness of pricing sources and methodologies related to the market-based method of valuation, 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.
As of December 31, 2019, all investments and repurchase agreements are classified as Level 2 of the fair value hierarchy. Please refer to the Schedule of Investments for further detail.
4. AGREEMENTS AND AFFILIATED TRANSACTIONS
A. Management Agreement — Under the Agreement, GSAM manages the Fund, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Fund’s business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
B. Distribution and Service(12b-1) Plan — The Trust, on behalf of the Service Shares of the Fund, has adopted a Distribution and Service Plan subject to Rule12b-1 under the Act. Under the Distribution and Service Plan, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly, for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers, equal to, on an annual basis, 0.25% of the Fund’s average daily net assets attributable to Service Shares.
16
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
C. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Fund for a fee pursuant to a Transfer Agency Agreement. The fee charged for such transfer agency services is accrued daily and paid monthly at an annual rate of 0.02% of the Fund’s average daily net assets of Institutional and Service Shares.
D. Other Expense Agreements — GSAM has agreed to limit certain “Other Expenses” of the Fund (excluding transfer agency fees and expenses, taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent that such expenses exceed, on an annual basis, 0.004% of the average daily net assets of the Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Fund is not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. This Other Expense limitation will remain in place through at least April 30, 2020, and prior to such date GSAM may not terminate the arrangement without the approval of the Trustees. In addition, the Fund has entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Fund’s expenses and are received irrespective of the application of the “Other Expense” limitation described above. For the year ended December 31, 2019, these expense reductions, including any fee waiver and Other Expense reimbursements, were as follows:
Custody Fee Credits | Other Expense Reimbursements | Total Expense Reductions | ||||||||
$ | 2,061 | $ | 189,108 | $ | 191,169 |
E. Contractual and Net Fund Expenses — The investment adviser may contractually agree to waive or reimburse certain fees and expenses until a specified date. The investment adviser may also voluntarily waive certain fees and expenses, and such voluntary waivers may be discontinued or modified at any time without notice. The following table outlines such fees (net of waivers) and Other Expenses (net of reimbursements and custodian and transfer agency fee credit reductions) in order to determine the Fund’s net annualized expenses for the fiscal year. The Fund is not obligated to reimburse Goldman Sachs for prior fiscal year fee waivers, if any.
Institutional Shares | Service Shares | |||||||||||||||
Fee/Expense Type | Contractual rate, if any | Ratio of net expenses to average net assets for the fiscal year ended December 31, 2019 | Contractual rate, if any | Ratio of net expenses to average net assets for the fiscal year ended December 31, 2019 | ||||||||||||
Management Fee | 0.16 | % | 0.16 | % | 0.16 | % | 0.16 | % | ||||||||
Distribution and Service Fees | N/A | N/A | 0.25 | 0.25 | ||||||||||||
Transfer Agency Fees | 0.02 | 0.02 | 0.02 | 0.02 | ||||||||||||
Other Expenses | — | 0.00 | (a) | — | 0.00 | (a) | ||||||||||
Net Expenses | 0.18 | % | 0.43 | % |
(a) | Amount includes non-recurring shareholder meeting expense. |
N/A | — Fees not applicable to respective share class. |
F. Other Transactions with Affiliates — The Fund may purchase securities from, or sell securities to, an affiliated fund provided the affiliation is solely due to having a common investment adviser, common officers, or common Trustees. For the fiscal year ended December 31, 2019, the sales at cost with an affiliated fund in compliance with Rule17a-7 under the Act were $37,366,382.
G. Line of Credit Facility — As of December 31, 2019, the Fund participated in a $580,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the
17
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Notes to Financial Statements(continued)
December 31, 2019
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
fiscal year ended December 31, 2019, the Fund did not have any borrowings under the facility. Prior to April 30, 2019 the facility was $770,000,000.
5. OTHER RISKS
The Fund’s risks include, but are not limited to, the following:
Floating and Variable Rate Obligations Risk — For floating and variable rate obligations, there may be a lag between an actual change in the underlying interest rate benchmark and the reset time for an interest payment of such an obligation, which could harm or benefit a Fund, depending on the interest rate environment or other circumstances.
Certain floating and variable rate obligations have an interest rate floor feature, which prevents the interest rate payable by the security from dropping below a specified level as compared to a reference interest rate (the “reference rate”), such as LIBOR. In 2017, the United Kingdom’s Financial Conduct Authority (“FCA”) warned that LIBOR may cease to be available or appropriate for use by 2021. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain Fund investments and may result in costs incurred in connection with closing out positions and entering into new trades. Any pricing adjustments to a Fund’s investments resulting from a substitute reference rate may also adversely affect a Fund’s performance and/or NAV.
Large Shareholder Transactions Risk — The Fund may experience adverse effects when certain large shareholders, such as other funds, participating insurance companies, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of the Fund. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may cause the Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact the Fund’s NAV and liquidity. Similarly, large Fund share purchases may adversely affect the Fund’s performance to the extent that the Fund is delayed in investing new cash or otherwise maintain a larger cash position than it ordinarily would. These transactions may also increase transaction costs. In addition, a large redemption could result in the Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio.
Interest Rate Risk — When interest rates increase, the Fund’s yield will tend to be lower than prevailing market rates, and the market value of its securities or instruments may also be adversely affected. A low interest rate environment poses additional risks to the Fund, because low yields on the Fund’s portfolio holdings may have an adverse impact on the Fund’s ability to provide a positive yield to its shareholders, pay expenses out of Fund assets, or, at times, maintain a stable $1.00 share price. The risks associated with changing interest rates may have unpredictable effects on the markets and the Fund’s investments. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Fund.
Market and Credit Risks — In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
6. INDEMNIFICATIONS
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
18
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
7. OTHER MATTERS
On November 5, 2019, a definitive proxy statement (“proxy”) was filed with the SEC to elect certain Trustees to the Trust. The Funds will bear their respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse each Fund to the extent such expenses exceed a specified percentage of the Fund’s net assets.
8. SUBSEQUENT EVENTS
Subsequent events after the Statement of Assets and Liabilities date have been evaluated and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
9. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||
Institutional Shares* | ||||||||
Shares sold | 559,032,693 | 576,263,982 | ||||||
Reinvestment of distributions | 7,303,819 | 4,859,363 | ||||||
Shares redeemed | (614,043,249 | ) | (472,178,302 | ) | ||||
(47,706,737 | ) | 108,945,043 | ||||||
Service Shares* | ||||||||
Shares sold | 177,381,211 | 214,802,150 | ||||||
Reinvestment of distributions | 6,545,872 | 5,123,225 | ||||||
Shares redeemed | (202,507,373 | ) | (205,516,685 | ) | ||||
(18,580,290 | ) | 14,408,690 | ||||||
NET INCREASE (DECREASE) IN SHARES | (66,287,027 | ) | 123,353,733 |
* | Valued at $1.00 per share. |
19
Report of Independent Registered Public Accounting Firm
Tothe Board of Trustees of Goldman Sachs Variable Insurance Trust and Shareholders of Goldman Sachs Government Money Market Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Goldman Sachs Government Money Market Fund (one of the funds constituting Goldman Sachs Variable Insurance Trust, referred to hereafter as the “Fund”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statements of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes,and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 14, 2020
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
20
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Voting Results of Special Meeting of Shareholders (Unaudited)
A Special Meeting (the “Meeting”) of the Goldman Sachs Variable Insurance Trust (“VIT”) was held on January 23, 2020 to consider and act upon the proposal below. The Fund will amortize its respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse the Fund to the extent such expenses exceed a specified percentage of the Fund’s net assets.
At the Meeting, Dwight L. Bush, Kathryn A. Cassidy, Joaquin Delgado and Gregory G. Weaver were elected to the Trust’s Board of Trustees. In electing the trustees, the Trust’s shareholders voted as follows:
Proposal 1.
Election of Trustees | For | Against | Withheld | Broker Non-Votes | ||||||||||||
Dwight L. Bush | 745,493,677.130 | 0 | 17,848,840.639 | 0 | ||||||||||||
Kathryn A. Cassidy | 746,559,784.810 | 0 | 16,782,732.959 | 0 | ||||||||||||
Joaquin Delgado | 744,593,456.532 | 0 | 18,749,061.237 | 0 | ||||||||||||
Gregory G. Weaver | 746,707,039.321 | 0 | 16,635,478.448 | 0 |
21
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Fund Expenses — Six Month Period Ended December 31, 2019 (Unaudited) |
As a shareholder of Institutional Shares and Service Shares of the Fund, you incur ongoing costs, including management fees; distribution and service(12b-1) fees (with respect to Service Shares); and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2019 through December 31, 2019, which represents a period of 184 days of a 365 day year.
Actual Expenses— The first line in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes— The second line in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges, redemption fees, or exchange fees. Therefore, the second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Share Class | Beginning Account Value 7/1/19 | Ending Account Value 12/31/19 | Expenses Paid 6 Months 12/31/19* | |||||||||
Institutional Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,009.49 | $ | 0.96 | ||||||
Hypothetical 5% return | $ | 1,000.00 | $ | 1,024.25 | + | $ | 0.97 | |||||
Service Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,008.22 | $ | 2.23 | ||||||
Hypothetical 5% return | $ | 1,000.00 | $ | 1,022.99 | + | $ | 2.24 |
+ | Hypothetical expenses are based on the Fund’s actual annualized net expense ratio and an assumed rate of return of 5% per year before expenses. |
* | Expenses are calculated using the Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended December 31, 2019. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year (or, since inception, if shorter); and then dividing that result by the number of days in the period. The annualized net expense ratios for the period were 0.19% and 0.44% for Institutional Shares and Service Shares, respectively. |
22
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Trustees and Officers (Unaudited)
Independent Trustees
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and Length of Time Served2 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||||
Jessica Palmer Age: 70 | Chair of the Board of Trustees | Since 2018 (Trustee since 2007) | Ms. Palmer is retired. She was formerly Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/ Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009).
Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Kathryn A. Cassidy Age: 65 | Trustee | Since 2015 | Ms. Cassidy is retired. Formerly, she was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Diana M. Daniels Age: 70 | Trustee | Since 2007 | Ms. Daniels is retired. Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006).
Ms. Daniels is a Trustee Emeritus and serves as a Presidential Councillor of Cornell University (2013-Present); former Member of the Legal Advisory Board, New York Stock Exchange (2003- 2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006- 2007).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Roy W. Templin Age: 59 | Trustee | Since 2013 | Mr. Templin is retired. He is Director, Armstrong World Industries, Inc. (a designer and manufacturer of ceiling, wall and suspension system solutions) (2016-Present); and was formerly Chairman of the Board of Directors, Con-Way Incorporated (a transportation, logistics and supply chain management service company) (2014-2015); Executive Vice President and Chief Financial Officer, Whirlpool Corporation (an appliance manufacturer and marketer) (2004- 2012). Previously, Mr. Templin served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (June 2013-October 2013).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Armstrong World Industries, Inc. (a ceiling, wall and suspension systems solutions manufacturer) | |||||||
Gregory G. Weaver Age: 68 | Trustee | Since 2015 | Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Verizon Communications Inc. | |||||||
23
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Trustees and Officers (Unaudited) (continued)
Interested Trustee*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and Length of Time Served2 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||||
James A. McNamara Age: 57 | President and Trustee | Since 2007 | Advisory Director, Goldman Sachs (January 2018 — Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998- December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | 165 | None | |||||||
Advisory Board Members
Name, Address, Age1 | Position(s) Held with the Trust | Term of Office and Length of Time Served2 | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Advisory Board Member3 | Other Directorships Held by Advisory Board Member4 | |||||||
Dwight L. Bush Age: 62 | Advisory Board Member | Since 2019 | Ambassador Bush is President and CEO of D.L. Bush & Associates (a financial advisory and private investment firm) (2002–2014 and 2017–present); and was formerly U.S. Ambassador to the Kingdom of Morocco (2014–2017) and a Member of the Board of Directors of Santander Bank, N.A. (2018–2019).
Advisory Board Member — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Joaquin Delgado Age: 59 | Advisory Board Member | Since 2019 | Dr. Delgado is retired. He is Director, Hexion Inc. (a specialty chemical manufacturer) (2019–present); and Director, Stepan Company (a specialty chemical manufacturer) (2011–present); and was formerly Executive Vice President, Consumer Business Group of 3M Company (July 2016–July 2019); and Executive Vice President, Health Care Business Group of 3M Company (October 2012–July 2016).
Advisory Board Member — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Stepan Company (a specialty chemical manufacturer) | |||||||
* | Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. Mr. McNamara holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
1 | Each Trustee and Advisory Board Member may be contacted by writing to the Trustee or Advisory Board Member, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of December 31, 2019. |
2 | Subject to such policies as may be adopted by the Board fromtime-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that (a) no Trustee shall hold office for more than 15 years and (b) a Trustee shall retire as of December 31st of the calendar year in which he or she reaches his or her 74th birthday, unless a waiver of such requirement shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. |
3 | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of December 31, 2019, Goldman Sachs Trust consisted of 89 portfolios; Goldman Sachs Variable Insurance Trust consisted of 13 portfolios; Goldman Sachs Trust II consisted of 19 portfolios (17 of which offered shares to the public); Goldman Sachs MLP Income Opportunities Fund, Goldman Sachs MLP and Energy Renaissance Fund, Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio; and Goldman Sachs ETF Trust consisted of 40 portfolios (21 of which offered shares to the public). |
4 | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Fund’s Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America):1-800-526-7384. Additional information about the Advisory Board Members will be available in the Fund’s Statement of Additional Information dated April 30, 2020, which will be available from Goldman Sachs free of charge by calling this toll-free number (in the United States of America):1-800-526-7384.
24
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and Length of Time Served2 | Principal Occupation(s) During Past 5 Years | |||
James A. McNamara 200 West Street New Age: 57 | Trustee and President | Since 2007 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998- December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee—Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Caroline L. Kraus 200 West Street New Age: 42 | Secretary | Since 2012 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Associate General Counsel, Goldman Sachs (2012-Present); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006).
Secretary — Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Private Middle Market Credit II LLC; Goldman Sachs Middle Market Lending Corp.; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Joseph F. DiMaria 30 Hudson Street Jersey Age: 51 | Treasurer, Principal Financial Officer and Principal Accounting Officer | Since 2017 (Treasurer and Principal Financial Officer since 2019) | Managing Director, Goldman Sachs (November 2015-Present) and Vice President — Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010-October 2015).
Treasurer, Principal Financial Officer and Principal Accounting Officer—Goldman Sachs Trust (previously Assistant Treasurer (2016)); Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs MLP Income Opportunities Fund (previously Assistant Treasurer (2017)); Goldman Sachs MLP and Energy Renaissance Fund (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
* | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Fund’s Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States):1-800-526-7384. |
1 | Information is provided as of December 31, 2019. |
2 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
Goldman Sachs Variable Insurance Trust — Tax Information (Unaudited)
Pursuant to Section 852 of the Internal Revenue Code, the Government Money Market Fund designates $55 or, if different, the maximum amount allowable, as capital gain dividends paid during the fiscal year ended December 31, 2019.
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TRUSTEES Jessica Palmer,Chair Dwight L. Bush* Kathryn A. Cassidy Diana M. Daniels Joaquin Delgado* James A. McNamara Roy W. Templin Gregory G. Weaver | OFFICERS James A. McNamara,President Joseph F. DiMaria,Principal Financial Officer, Principal Accounting Officer and Treasurer Caroline L. Kraus,Secretary | |
*Effective as of January 23, 2020 |
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VITMMAR-20/192296-OTU-1133684
Goldman
SachsVariable Insurance Trust
Goldman Sachs
Multi-Strategy
Alternatives Portfolio
Beginning on or after January 1, 2021, you may not receive paper copies of the Portfolio’s annual and semi-annual shareholder reports from the insurance company that offers your variable insurance contract or your financial intermediary, unless you specifically request paper copies of the reports from the insurance company or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
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Annual Report
December 31, 2019
GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
INVESTMENT OBJECTIVE
The Portfolio seeks long-term growth of capital.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Global Portfolio Solutions (“GPS”) Team discusses the Goldman Sachs Variable Insurance Trust — Goldman Sachs Multi-Strategy Alternatives Portfolio’s (the “Portfolio”) performance and positioning for the12-month period ended December 31, 2019 (the “Reporting Period”).
How did the Portfolio perform during the Reporting Period?
During the Reporting Period, the Portfolio’s Institutional, Service and Advisor Shares generated average annual total returns of 9.11%, 8.82% and 8.60%, respectively. These returns compare to the 2.59% average annual total return of the Portfolio’s benchmark, the ICE BofAMLU.S. Dollar Three-Month LIBOR Constant Maturity Index (the “LIBOR Index”), during the same period.
Please note that the Portfolio’s benchmark being the LIBOR Index is a means of emphasizing that the Portfolio has an unconstrained strategy. That said, this Portfolio employs a benchmark agnostic strategy and thus comparisons to a benchmark index are not particularly relevant.
What economic and market factors most influenced the Portfolio during the Reporting Period?
The capital markets and the Portfolio were influenced most during the Reporting Period by global economic data, central bank monetary policy and geopolitical events.
During the first quarter of 2019, when the Reporting Period started, risk assets broadly rebounded from asell-off in the fourth quarter of 2018, as investor sentiment turned positive on a combination of dovish global central bank policy, tentative stabilization in Chinese economic growth and seemingly promising developments in U.S.-China trade talks. (Dovish tends to suggest lower interest rates; opposite of hawkish.) Although global economic growth continued to decelerate during the first calendar quarter, a few “green shoots” began to emerge. (Green shoots is a term used to describe signs of economic recovery or positive data during an economic downturn.) Indications of a bottoming in Chinese credit growth, a modestpick-up in fixed asset investment, and an uptick in March 2019 manufacturing data made investors hopeful for a recovery in Chinese and global economic growth. As inflationary pressures remained rather muted, the U.S. Federal Reserve (the “Fed”) and the European Central Bank (“ECB”) each made a dovish shift and then maintained monetary policy stances that were broadly supportive of economic growth. More specifically, the Fed signaled it would make no additional short-term interest rate hikes during 2019, and the ECB indicated it was reluctant to raise interest rates during the calendar year. Global equities, as measured by the MSCI ACWI Investable Market Index, were up 12.86% during the first calendar quarter, led by a rally in U.S. stocks. Emerging markets equities overall underperformed developed markets equities, but Chinese stocks, as represented by the MSCI China Index, rose more than 17%. In fixed income, the10-year U.S. Treasury yield fell during the first quarter of 2019.
In the second quarter of 2019, continued weakness in global economic growth and low levels of inflation led the Fed and ECB to indicate they might ease monetary policy. In June, the Fed signaled its next policy move was more likely to be an interest rate cut than an interest rate hike. The Fed’s dot plot, which shows interest rate projections of the members of the Federal Open Market Committee, revealed that policymakers expected to keep interest rates stable during 2019, followed by a 25 basis point cut in 2020. (A basis point is 1/100th of a percentage point.) Meanwhile, the ECB hinted that interest rate cuts and quantitative easing were on the table should economic data disappoint in the near term. Global equities were volatile during the second calendar quarter overall, though they rose 3.88%, as measured by the MSCI ACWI Investable Market Index. In May 2019, global equities had suffered a significant decline amid headwinds from U.S.-China trade negotiations. They then recovered in June, driven by dovish central bank actions and market expectations of a pause in U.S.-China trade tensions ahead of the G20 meeting at month-end. (Also known as Group of 20 nations, the G20 is a forum attended by finance ministers and central bank governors from the world’s highly developed economies consisting of 19 countries and the European Union.) In fixed income, the10-year U.S. Treasury yield and the10-year German government bond yield fell during the second quarter of 2019 in response to global economic growth weakness and dovish central bank policies.
During the third quarter of 2019, weak growth in cyclical sectors, such as manufacturing, and increased global trade uncertainty weighed on investors’ expectations for global economic growth, sparking concerns about a possible recession. U.S.-China trade
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GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
negotiations remained volatile throughout the third calendar quarter, with both sides sending mixed signals. Major central banks became more accommodative in their monetary policies, encouraged by muted inflation across developed economies. Both the Fed and the ECB, for example, cut interest rates. Global equities, as measured by the MSCI ACWI Investable Market Index, appreciated 1.03% during the third calendar quarter, with Japanese and European stocks outperforming U.S. stocks. Emerging markets equities produced negative returns, broadly underperforming developed markets stocks. Continued weakness in Chinese macroeconomic data, along with persistent uncertainty regarding U.S.-China trade talks, pressured emerging markets equities. In fixed income, the10-year U.S. Treasury yield and the10-year German government bond yield declined by 30 basis points and 25 basis points, respectively, during the third calendar quarter.
In the fourth quarter of 2019, global economic growth showed signs of stabilization, thanks in part to continuous central bank policy support that sought to manage economic and financial sector pressures. In October, the Fed cut interest rates again, signaling that easing had probably ended unless macroeconomic data deteriorated further. Meanwhile, there were positive developments in the U.S.-China trade dispute. Though a full-fledged trade deal remained uncertain, the U.S. and China settled on the framework of a “Phase One” deal during October, with the two sides reaching an agreement in principle on the details inmid-December. The timing of the agreement avoided a proposed tariff hike, scheduled for December 15th, and included a 50% rollback of a September 2019 tariff increase. The U.S. President announced that the “Phase One” deal was scheduled to be signed on January 15, 2020. China also promised to address U.S. concerns about intellectual property practices. Collectively, the stabilization of global economic growth, mitigation of U.S.-China trade war risk and accommodative central bank monetary policy supported risk assets during the fourth calendar quarter. Global equities, as measured by the MSCI ACWI Investable Market Index, were up 8.37%. Developed markets equities, as measured by the MSCI World Index, rose 7.80%, while emerging markets equities, as measured by the MSCI Emerging Markets Index, climbed 11.93%. In fixed income, the10-year U.S. Treasury yield and the10-year German government bond yield rose by 23 basis points and 40 basis points, respectively, benefiting from improved global economic growth data and the announcement of the U.S.-China “Phase One” deal.
Looking at the Reporting Period as a whole, the vast majority of risk assets finished the year in positive territory. The S&P 500® Index, up 31.49%, recorded its best annual return since 2013, while the Bloomberg Barclays U.S. Aggregate Bond Index ended the year up 8.72%. Global equities, as measured by the MSCI ACWI Investable Market Index, rose 27.73%, driven largely by the strong performance of U.S.large-cap stocks. Developed market equities generally outperformed their emerging markets counterparts. Although emerging markets equities advanced, they were pressured by slowing economic growth in China, weakness in emerging markets exports and intermittent escalations of U.S.-China trade tensions. In fixed income,10-year U.S. Treasury yields and10-year German government bond yields declined during the Reporting Period overall, as the Fed and ECB each eased monetary policy in response to soft economic growth and subdued inflation. These same factors, coupled with receding recession fears, caused credit spreads to tighten during the Reporting Period, resulting in strong performance for both investment grade and high yield corporate bonds. (Credit spreads are yield differentials between corporate bonds and U.S. Treasury securities of comparable maturity.)
What key factors were responsible for the Portfolio’s performance during the Reporting Period?
The Portfolio’s performance is driven by three sources of return: long-term strategic asset allocation to market exposures, medium-term and short-term dynamic allocations, and excess returns from investments in Underlying Funds. Long-term strategic asset allocation is the process by which the Portfolio’s assets are allocated across underlying asset classes and strategies in a way that considers the risks of each underlying asset class and strategy. Medium-term dynamic allocation is the process by which we adjust the portfolio for changes in the business or economic cycle, while short-term dynamic allocation is the implementation of tactical market views with the goal of improving the Portfolio’s risk-adjusted return. The risk-adjusted return on an investment takes into account the risk associated with that investment relative to other potential investments. Excess returns from investments in Underlying Funds is measured by how much the Underlying Funds outperform or underperform their respective benchmark indices.
During the Reporting Period, the Portfolio generated positive absolute returns, largely because of strategic asset allocation. The short-term dynamic allocation also added to the Portfolio’s returns, though this was partially offset by the medium-term dynamic allocation, which diminished the Portfolio’s performance. Security selection within the Underlying Funds also detracted from the Portfolio’s results.
Strategic asset allocation added to the Portfolio’s performance during the Reporting Period. Within equities, the Portfolio benefited from our strategic allocation to emerging markets stocks, which posted positive returns amid easing recession fears andde-escalation of the U.S.-China trade dispute. A strategic allocation to U.S. real estate securities was also advantageous, as the U.S. economy remained strong and mortgage interest rates declined. In fixed income, all of the Portfolio’s strategic allocations generated positive returns, driven by falling interest rates and tighter credit spreads. The Portfolio was helped most by its strategic allocation
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GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
to emerging markets debt, which outperformed due to the rally in risk assets during the Reporting Period. A strategic allocation to U.S. high yield corporate bonds also added to performance as credit spreads narrowed. The Portfolio benefited further from our long U.S. interest rate options strategy, through which we seek to profit if interest rates fall, remain constant or rise less than anticipated. This strategy bolstered performance, as U.S. Treasury yields fell during the Reporting Period. (Our long U.S. interest rate options strategy is a macroeconomic hedge that buys put options on short-term interest rates. A put option is an option contract giving the owner the right, but not the obligation, to sell a specified amount of an underlying asset at a specified price within a specified time.) Regarding liquid alternatives strategies, all of the Portfolio’s strategic allocations produced positive returns. A strategic allocation to the Goldman Sachs Long Short Credit Strategies Fund contributed most positively to the Portfolio’s performance. Its strategic allocation to the Goldman Sachs Absolute Tracker Fund also added to results. Finally, the Portfolio’s volatility selling strategy added to returns during the Reporting Period. (Our volatility selling strategy seeks to benefit from changes in the level of market implied volatility (i.e., expectations of future volatility) in equity markets.)
Medium-term dynamic allocation detracted from the Portfolio’s performance. During the Reporting Period, the Portfolio held two medium-term views. The first was to have a short duration position, which we expressed through a short position in long-maturity German government bonds and short positions in specific segments of the U.S. Treasury yield curve. (Duration is a measure of the Portfolio’s sensitivity to changes in interest rates. Yield curve is a spectrum of interest rates based on maturities of varying lengths.) The Portfolio’s short position in long-maturity German government bonds detracted from performance, as Germany’s long-term interest rates fell during the Reporting Period in response to slower European economic growth and dovish ECB monetary policy. The Portfolio’s short position in thetwo-year segment of the U.S. Treasury yield curve also hampered returns, as U.S. yields fell during the Reporting Period. The second medium-term dynamic view, which was to hold a long position in emerging markets debt versus high yield corporate bonds, detracted more modestly from the Portfolio’s performance. As for the short-term dynamic allocation, it had a positive impact on the Portfolio’s performance during the Reporting Period. During the first half of the Reporting Period, the GPS Team used the Goldman Sachs Tactical Exposure Fund to express its short-term dynamic views (the “Underlying Tactical Fund”). In the second half of the Reporting Period, the GPS team used the Goldman Sachs Tactical Tilt Overlay Fund as the Underlying Tactical Fund.
Overall, security selection within the Underlying Funds hurt the Portfolio’s performance during the Reporting Period. The primary detractor was the Goldman Sachs Long Short Credit Fund, followed by the Goldman Sachs Emerging Markets Equity Insights Fund, both of which underperformed their respective benchmark indices. The Goldman Sachs Strategic Income Fund and the Goldman Sachs Alternative Premia Fund also underperformed their respective benchmark indices. On the positive side, the Goldman Sachs Absolute Return Tracker Fund and the Goldman Sachs High Yield Floating Rate Fund outperformed their respective benchmark indices during the Reporting Period.
How was the Portfolio positioned at the beginning of the Reporting Period?
At the beginning of the Reporting Period, the Portfolio was positioned, in terms of its total net assets, with 65.5% in liquid alternative strategies, 30.6% in real assets/satellite asset classes and 3.9% in cash. Liquid alternatives strategies generally include, but are not limited to, momentum or trend trading strategies (investment decisions based on trends in asset prices over time), hedge fund beta (long term total returns consistent with investment results that approximate the return and risk patterns of a diversified universe of hedge funds), managed risk investment strategies (which seek to manage extreme risk scenarios by implementing daily and monthly risk targets across a diversified mix of asset classes), emerging markets debt and unconstrained fixed income strategies (which have the ability to move across various fixed income sectors). Real assets generally include, but are not limited to, commodities, global real estate securities, infrastructure and master limited partnerships. The strategic asset allocation of the Portfolio reflects a risk-based allocation approach to increase diversification across the Portfolio. The Portfolio had-7.6% of its total net assets invested in tactical exposures at the beginning of the Reporting Period. The above sector breakout is inclusive of derivative exposure across all asset classes.
How did you manage the Portfolio’s allocations during the Reporting Period?
During the Reporting Period, we made no changes to the Portfolio’s strategic allocation. We consider the Portfolio’s strategic asset allocation and underlying active security selection strategies the largest drivers of risk and performance.
Within the medium-term dynamic allocation, we sought to adjust the Portfolio’s exposure for what we considered to be medium-term changes to the business or economic cycle. In January 2019, we removed our medium-term dynamic view that the Portfolio be overweight emerging markets equities versus developed markets equities. We had expected to see the start of a rebound in China’s economic data by the end of 2018 in response to policy initiatives that sought to stimulate growth, but data releases since late November 2018 showed continued deterioration. Although we continued to believe Chinese economic data would recover, we thought the likely timing had been pushed into the future and that market uncertainty around it had increased. In March 2019, we
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GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
reduced the Portfolio’s short position in long-maturity German government bonds, as Germany’s long-term interest rates fell. We removed the position entirely in June 2019. In July 2019, we reduced the Portfolio’s short position in thetwo-year segment of the U.S. Treasury yield curve, ultimately removing it in December 2019, as it became less attractive due to the Fed’s continued dovish stance and investors’ greatly reduced expectations of a rate hike.
Finally, in a risk management move during June 2019, we reduced the Portfolio’s long exposure to U.S.large-cap stocks and international equities, and we increased its cash position. In our opinion, the U.S. economic cycle had matured substantially, and the increased uncertainty associated with this mature phase reduced our confidence level in risk assets.
In July 2019, we removed our medium-term view that the Portfolio hold a long position in emerging markets debt versus high yield corporate bonds.
On June 28, 2019, the Goldman Sachs Tactical Exposure Fund, which had served as the Portfolio’s Underlying Tactical Fund during the first half of the Reporting Period, was liquidated. The Goldman Sachs Tactical Tilt Overlay Fund became the Portfolio’s Underlying Tactical Fund.
How was the Portfolio positioned at the end of the Reporting Period?
At the end of the Reporting Period, the Portfolio was positioned, in terms of its total net assets, with 64.5% in liquid alternative strategies, 28.1% in real assets/satellite asset classes and 7.4% in cash. The Portfolio had 6.4% of its total net assets invested in tactical exposures. The above sector breakout is inclusive of derivative exposure across all asset classes.
How did the Portfolio use derivatives and similar instruments during the Reporting Period?
During the Reporting Period, derivatives were used primarily to express our views across developed and emerging markets equities. More specifically, the Portfolio employed equity index futures to affect long exposures to U.S.large-cap equities, international equities and emerging markets equities (each had a positive impact). Within fixed income during the Reporting Period, the Portfolio used interest rate futures, specifically Eurodollar futures, to express views on the U.S. Treasury yield curve (negative impact). Eurodollar futures are contracts that have underlying assets linked to time deposits denominated in U.S. dollars at banks outside the U.S. The Portfolio also used bond futures to affect a short position in German government bonds (negative impact). Finally, the Portfolio utilized interest rate options in a macroeconomic hedge that seeks to profit if interest rates fall, remain constant or rise less than anticipated (positive impact).
Additionally, some of the Underlying Funds used derivatives during the Reporting Period to apply their active investment views with greater versatility and potentially to afford greater risk management precision. As market conditions warranted during the Reporting Period, some of these Underlying Funds engaged in forward foreign currency exchange contracts, financial futures contracts, options, swap contracts and structured securities to attempt to enhance portfolio return and for hedging purposes.
Were there any changes to the Portfolio’s portfolio management team during the Reporting Period?
Effective February 19, 2019, Raymond Chan no longer served as a portfolio manager of the Portfolio. By design, all investment decisions for the Portfolio are performed within aco-lead or team structure, with multiple subject matter experts. This strategic decision making has been the cornerstone of our approach and ensures continuity in the Portfolio. At the end of the Reporting Period, the portfolio managers for the Portfolio remained Neil Nuttall and Christopher Lvoff.
At the end of 2019, Neill Nuttall became sole Chief Investment Officer for GPS.
What is the Portfolio’s tactical view and strategy for the months ahead?
At the end of the Reporting Period, we expected a modest pickup in global economic activity in 2020. In our view, the global economy could continue to expand, particularly in the U.S. where we were encouraged by the ongoing strength of the labor market, the early signs of a turnaround in manufacturing, what we considered to be manageable weakness in the services sector, and the fading drag of trade tariffs. As for monetary policy, we believed the Fed, ECB and the Bank of Japan were likely to remain accommodative, though the Bank of England may be the only major central bank to ease interest rates during 2020, in our opinion. We also expected China, the Eurozone countries and Japan to provide additional fiscal stimulus in the near term. Regarding recessionary risk, we considered it low, though we expected it to be modestly higher in 2020 than it was in 2019. At the end of the Reporting Period, we saw no shortage of geopolitical concerns, including the potential of disruptions caused by a more adventurous or aggressive Iran and North Korea. We also thought ongoing U.S.-China trade negotiations, U.S. elections and the U.K.’s exit from the European Union could increase market volatility.
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GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
At the asset class level at the end of the Reporting Period, we expected equities to offer modest returns in the near term, supported by moderate corporate earnings growth. Accordingly, equities remained our preferred asset class at the end of the Reporting Period. Although we considered U.S. valuations high, we thought they were justified given that inflation was low and stable. That said, we expected high valuations and moderate earnings growth to limit equity returns relative to what we might expect during a period of increasing economic growth momentum. As for fixed income, we thought modest global economic growth and the willingness of developed central banks to ease monetary policy more aggressively, rather than tighten it, were likely to keep interest rates and credit spreads range bound in 2020. In this environment, we believe it is critical to remain vigilant. The current U.S. economic expansion has exceeded all others in length, while the current U.S. equity bull market has similarly exceeded all others in length and all but one other in strength. In our view, neither will continue indefinitely. Therefore, we believe a dynamic investment approach is even more important than usual.
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GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Index Definitions
ICE BofAML U.S. Dollar Three-Month LIBOR Constant Maturity Index is based on the assumed purchase of a synthetic instrument having three months to maturity and with a coupon equal to the closing quote for three-month LIBOR. That issue is sold the following day (priced at a yield equal to the current day closing three-month LIBOR rate) and is rolled into a new three-month instrument. The index, therefore, will always have a constant maturity equal to exactly three months.
MSCI ACWI Investable Market Indexcaptures large, mid and small cap representation across 23 developed markets and 26 emerging markets countries.
MSCI China Index captures large and mid cap representation across China H shares, B shares, Red chips, P chips and foreign listings.
MSCI World Index is a broad global equity index that represents large andmid-cap equity performance across 23 developed markets countries. It covers approximately 85% of the free float-adjusted market capitalization in each country.
MSCI Emerging Markets Index captureslarge-cap andmid-cap representation across 24 emerging markets countries. The index covers approximately 85% of the free float-adjusted market capitalization in each country.
S&P 500® Index is a U.S. stock market index based on the market capitalizations of 500 large companies having common stock listed on the New York Stock Exchange or NASDAQ. The S&P 500® Index components and their weightings are determined by S&P Dow Jones Indices.
Bloomberg Barclays U.S. Aggregate Bond Index represents an unmanaged diversified portfolio of fixed income securities, including U.S. Treasuries, investment-grade corporate bonds and mortgage-backed and asset-backed securities.
It is not possible to invest directly in an unmanaged index.
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FUND BASICS
Multi-Strategy Alternatives Portfolio
as of December 31, 2019
OVERALL UNDERLYING FUND AND ETF WEIGHTINGS1
Percentage of Net Assets
1 | The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each Underlying Fund and exchange traded fund (“ETF”) reflects the value of that Underlying Fund or ETF as a percentage of net assets of the Portfolio. Figures in the graph above may not sum to 100% due to rounding and/or exclusion of other assets and liabilities. Underlying sector allocations of exchange traded funds and investment companies held by the Portfolio are not reflected in the graph above. Investments in the securities lending reinvestment vehicle have been excluded from the graph and represented 1.5% of the Portfolio’s net assets at December 31, 2019. The graph depicts the Portfolio’s investments but may not represent the Portfolio’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
2 | The percentage as of December 31, 2018 represents investment in the Goldman Sachs Tactical Exposure Fund, which was transitioned to the Goldman Sachs Tactical Tilt Overlay Fund prior to December 31, 2019. |
For more information about your Portfolio, please refer to www.GSAMFUNDS.com. There, you can learn more about your Portfolio’s investment strategies, holdings, and performance.
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GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Performance Summary
December 31, 2019
The following graph shows the value, as of December 31, 2019, of a $10,000 investment made on April 25, 2014 (commencement of the Portfolio’s operations) in Advisor Shares at NAV. For comparative purposes, the performance of the Portfolio’s benchmark, the ICE BofAML U.S. Dollar Three-Month LIBOR Constant Maturity Index, is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Portfolio distributions or the redemption of Portfolio shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Portfolio’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Multi-Strategy Alternatives Portfolio’s Lifetime Performance
Performance of a $10,000 investment, with distributions reinvested, from April 25, 2014 through December 31, 2019.
Average Annual Total Return through December 31, 2019 | One Year | Five Years | Since Inception | |||||
Institutional (Commenced April 25, 2014) | 9.11% | 0.62% | 0.43% | |||||
Service (Commenced April 25, 2014) | 8.82% | 0.38% | 0.18% | |||||
Advisor (Commenced April 25, 2014) | 8.60% | 0.24% | 0.04% |
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GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Schedule of Investments
December 31, 2019
Shares | Description | Value | ||||||
Underlying Funds (Class R6 Shares)(a) – 90.0% | ||||||||
Equity – 29.4% | ||||||||
303,179 | Goldman Sachs Tactical Tilt Overlay Fund | $ | 2,925,679 | |||||
154,311 | Goldman Sachs Absolute Return Tracker Fund | 1,499,908 | ||||||
73,808 | Goldman Sachs Emerging Markets Equity Insights Fund | 724,055 | ||||||
44,153 | Goldman Sachs Real Estate Securities Fund | 610,642 | ||||||
|
| |||||||
5,760,284 | ||||||||
|
| |||||||
Fixed Income – 60.6% | ||||||||
263,894 | Goldman Sachs Managed Futures Strategy Fund | 2,604,631 | ||||||
261,948 | Goldman Sachs Long Short Credit Strategies Fund | 2,278,946 | ||||||
201,252 | Goldman Sachs Strategic Income Fund | 1,863,593 | ||||||
144,590 | Goldman Sachs Emerging Markets Debt Fund | 1,795,804 | ||||||
144,011 | Goldman Sachs High Yield Floating Rate Fund | 1,362,346 | ||||||
157,547 | Goldman Sachs High Yield Fund | 1,025,629 | ||||||
112,720 | Goldman Sachs Alternative Premia Fund | 920,921 | ||||||
|
| |||||||
11,851,870 | ||||||||
|
| |||||||
TOTAL UNDERLYING FUNDS (CLASS R6 SHARES) | ||||||||
(Cost $18,036,544) | $ | 17,612,154 | ||||||
|
| |||||||
Exchange Traded Fund(b) – 1.8% | ||||||||
5,295 | ProShares Short VIXShort-Term Futures ETF | $ | 345,393 | |||||
(Cost $251,189) | ||||||||
|
| |||||||
Shares | Dividend Rate | Value | ||||||
Investment Company(a) – 6.0% | ||||||||
| Goldman Sachs Financial Square Government Fund — | | ||||||
1,173,715 | 1.638% | $ | 1,173,715 | |||||
(Cost $1,173,715) | ||||||||
|
| |||||||
| TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | | ||||||
(Cost $19,461,448) | $ | 19,131,262 | ||||||
|
| |||||||
Securities Lending Reinvestment Vehicle(a) – 1.5% | ||||||||
| Goldman Sachs Financial Square Government Fund — | | ||||||
300,150 | 1.638% | $ | 300,150 | |||||
(Cost $300,150) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 99.3% | ||||||||
(Cost $19,761,598) | $ | 19,431,412 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF | 144,262 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 19,575,674 | ||||||
|
|
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) | All or a portion of security is on loan. |
Currency Abbreviation: | ||
USD | —United States Dollar |
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS— At December 31, 2019, the Portfolio had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: |
| |||||||||||||||
MSCI Emerging MarketsE-Mini Index | 11 | 03/20/2020 | $ | 616,110 | $ | 14,352 | ||||||||||
S&P 500E-Mini Index | 4 | 03/20/2020 | 646,220 | 10,181 | ||||||||||||
Total Futures Contracts | $ | 24,533 |
The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Schedule of Investments(continued)
December 31, 2019
ADDITIONAL INVESTMENT INFORMATION (continued)
PURCHASED OPTIONS CONTRACTS — At December 31, 2019, the Portfolio had the following purchased options contracts:
Description | Counterparty | Exercise Price | Expiration Date | Number of Contracts | Notional Amount | Value | Premiums Paid (Received) by the Portfolio | Unrealized Appreciation/ Depreciation | ||||||||||||||||||||||
Purchased options contracts: |
| |||||||||||||||||||||||||||||
Calls | ||||||||||||||||||||||||||||||
3 Month Eurodollar | Barclays Bank PLC | 98.50 USD | 03/16/2020 | 8 | $ | 2,000,000 | $ | 150 | $ | 2,718 | $ | (2,568 | ) | |||||||||||||||||
98.50 USD | 06/15/2020 | 5 | 1,250,000 | 406 | 2,512 | (2,106 | ) | |||||||||||||||||||||||
97.50 USD | 09/14/2020 | 5 | 1,250,000 | 10,813 | 3,881 | 6,932 | ||||||||||||||||||||||||
98.00 USD | 09/14/2020 | 3 | 750,000 | 2,775 | 4,432 | (1,657 | ) | |||||||||||||||||||||||
97.50 USD | 12/14/2020 | 5 | 1,250,000 | 11,000 | 4,768 | 6,232 | ||||||||||||||||||||||||
98.00 USD | 12/14/2020 | 2 | 500,000 | 2,012 | 3,030 | (1,018 | ) | |||||||||||||||||||||||
97.00 USD | 03/15/2021 | 2 | 500,000 | 7,200 | 3,580 | 3,620 | ||||||||||||||||||||||||
98.25 USD | 03/15/2021 | 43 | 10,750,000 | 32,519 | 50,200 | (17,681 | ) | |||||||||||||||||||||||
97.00 USD | 06/14/2021 | 1 | 250,000 | 3,600 | 1,852 | 1,748 | ||||||||||||||||||||||||
98.00 USD | 06/14/2021 | 10 | 2,500,000 | 12,813 | 8,146 | 4,667 | ||||||||||||||||||||||||
98.25 USD | 06/14/2021 | 39 | 9,750,000 | 33,638 | 47,978 | (14,340 | ) | |||||||||||||||||||||||
97.00 USD | 09/13/2021 | 2 | 500,000 | 7,187 | 4,905 | 2,282 | ||||||||||||||||||||||||
98.25 USD | 09/13/2021 | 37 | 9,250,000 | 35,150 | 44,973 | (9,823 | ) | |||||||||||||||||||||||
98.13 USD | 12/13/2021 | 1 | 250,000 | 1,169 | 1,665 | (496 | ) | |||||||||||||||||||||||
98.50 USD | 12/13/2021 | 22 | 5,500,000 | 15,262 | 21,426 | (6,164 | ) | |||||||||||||||||||||||
Total purchased options contracts |
| 185 | $ | 175,694 | $ | 206,066 | $ | (30,372 | ) |
10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Statement of Assets and Liabilities
December 31, 2019
Assets: | ||||
Investments in affiliated Underlying Funds, at value (cost $19,210,259) | $ | 18,785,869 | ||
Investments in unaffiliated Funds, at value (cost $251,189)(a) | 345,393 | |||
Investments in affiliated securities lending reinvestment vehicle, at value (cost $300,150) | 300,150 | |||
Purchased Options, at value (premiums paid $206,066) | 175,694 | |||
Cash | 293,126 | |||
Receivables: | ||||
Portfolio shares sold | 40,880 | |||
Collateral on certain derivative contracts(b) | 31,460 | |||
Dividends | 21,985 | |||
Reimbursement from investment adviser | 20,186 | |||
Securities lending income | 495 | |||
Variation margin on futures | 3,046 | |||
Total assets | 20,018,284 | |||
Liabilities: | ||||
Payables: | ||||
Payable upon return of securities loaned | 300,150 | |||
Portfolio shares redeemed | 55,303 | |||
Investments purchased | 21,986 | |||
Distribution and Service fees and Transfer Agency fees | 6,152 | |||
Accrued expenses | 59,019 | |||
Total liabilities | 442,610 | |||
Net Assets: | ||||
Paid-in capital | 20,919,195 | |||
Total distributable earnings (loss) | (1,343,521 | ) | ||
NET ASSETS | $ | 19,575,674 | ||
Net Assets: | ||||
Institutional | $ | 1,308,780 | ||
Service | 2,856,538 | |||
Advisor | 15,410,356 | |||
Total Net Assets | $ | 19,575,674 | ||
Shares outstanding $0.001 par value (unlimited shares authorized): | ||||
Institutional | 145,062 | |||
Service | 316,692 | |||
Advisor | 1,713,829 | |||
Net asset value, offering and redemption price per share: | ||||
Institutional | $9.02 | |||
Service | 9.02 | |||
Advisor | 8.99 |
(a) | Includes loaned securities having a market value of $294,078. |
(b) | Includes amount segregated for initial margin on future transactions. |
The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Statement of Operations
For the Fiscal Year Ended December 31, 2019
Investment income: | ||||
Dividends from affiliated Underlying Funds | $ | 570,299 | ||
Securities lending income — unaffiliated issuer | 3,357 | |||
Dividends from unaffiliated Funds | 1,755 | |||
Total investment income | 575,411 | |||
Expenses: | ||||
Professional fees | 73,578 | |||
Custody, accounting and administrative services | 72,356 | |||
Printing and mailing costs | 70,460 | |||
Distribution and Service fees(a) | 61,968 | |||
Management fees | 25,725 | |||
Trustee fees | 15,867 | |||
Shareholder meeting expense | 5,408 | |||
Transfer Agency fees(a) | 3,430 | |||
Registration fees | 141 | |||
Other | 9,092 | |||
Total expenses | 338,025 | |||
Less — expense reductions | (233,836 | ) | ||
Net expenses | 104,189 | |||
NET INVESTMENT INCOME | 471,222 | |||
Realized and unrealized gain (loss): | ||||
Net realized gain (loss) from: | ||||
Investments in affiliated Underlying Funds | (176,026 | ) | ||
Investments in unaffiliated Funds | (2,033 | ) | ||
Futures contracts | 55,798 | |||
Purchased options | 144,218 | |||
Foreign currency transactions | 3,054 | |||
Capital gain distributions from affiliated Underlying Funds | 136,986 | |||
Net change in unrealized gain (loss) on: | ||||
Investments in affiliated Underlying Funds | 620,257 | |||
Investments in unaffiliated Funds | 130,810 | |||
Futures contracts | 1,751 | |||
Purchased options | (32,716 | ) | ||
Foreign currency translation | (2,457 | ) | ||
Net realized and unrealized gain | 879,642 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 1,350,864 |
(a) | Class specific Distribution and/or Service, and Transfer Agency fees were as follows: |
Distribution and/or Service Fees | Transfer Agency Fees | |||||||||||||||||
Service | Advisor | Institutional | Service | Advisor | ||||||||||||||
$ | 4,263 | $ | 57,705 | $ | 204 | $ | 341 | $ | 2,885 |
12 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Statements of Changes in Net Assets
For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||
From operations: | ||||||||
Net investment income | $ | 471,222 | $ | 330,087 | ||||
Net realized gain (loss) | 161,997 | (556,892 | ) | |||||
Net change in unrealized gain (loss) | 717,645 | (1,017,669 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 1,350,864 | (1,244,474 | ) | |||||
Distributions to shareholders: | ||||||||
From distributable earnings: | ||||||||
Institutional Shares | (37,340 | ) | (20,403 | ) | ||||
Service Shares | (77,108 | ) | (20,381 | ) | ||||
Advisor Shares | (385,701 | ) | (318,314 | ) | ||||
Total distributions to shareholders | (500,149 | ) | (359,098 | ) | ||||
From share transactions: | ||||||||
Proceeds from sales of shares | 5,866,621 | 6,168,668 | ||||||
Reinvestment of distributions | 500,149 | 359,098 | ||||||
Cost of shares redeemed | (2,657,936 | ) | (5,978,711 | ) | ||||
Net increase in net assets resulting from share transactions | 3,708,834 | 549,055 | ||||||
TOTAL INCREASE (DECREASE) | 4,559,549 | (1,054,517 | ) | |||||
Net Assets: | ||||||||
Beginning of year | 15,016,125 | 16,070,642 | ||||||
End of year | $ | 19,575,674 | $ | 15,016,125 |
The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
Goldman Sachs Multi-Strategy Alternatives Portfolio | ||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of year | $ | 8.51 | $ | 9.39 | $ | 9.10 | $ | 9.15 | $ | 9.81 | ||||||||||
Net investment income(a)(b) | 0.30 | 0.24 | 0.21 | 0.11 | 0.20 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.48 | (0.87 | ) | 0.30 | (0.06 | ) | (0.65 | ) | ||||||||||||
Total from investment operations | 0.78 | (0.63 | ) | 0.51 | 0.05 | (0.45 | ) | |||||||||||||
Distributions to shareholders from net investment income | (0.27 | ) | (0.25 | ) | (0.22 | ) | (0.10 | ) | (0.20 | ) | ||||||||||
Distributions to shareholders from net realized gains | — | — | — | — | (0.01 | ) | ||||||||||||||
Total distributions | (0.27 | ) | (0.25 | ) | (0.22 | ) | (0.10 | ) | (0.21 | ) | ||||||||||
Net asset value, end of year | $ | 9.02 | $ | 8.51 | $ | 9.39 | $ | 9.10 | $ | 9.15 | ||||||||||
Total return(c) | 9.11 | % | (6.74 | )% | 5.60 | % | 0.52 | % | (4.51 | )% | ||||||||||
Net assets, end of year (in 000s) | $ | 1,309 | $ | 745 | $ | 453 | $ | 309 | $ | 958 | ||||||||||
Ratio of net expenses to average net assets(d) | 0.25 | % | 0.22 | % | 0.21 | % | 0.24 | % | 0.22 | % | ||||||||||
Ratio of total expenses to average net assets(d) | 1.60 | % | 1.57 | % | 1.47 | % | 2.37 | % | 4.40 | % | ||||||||||
Ratio of net investment income to average net assets(b) | 3.30 | % | 2.62 | % | 2.20 | % | 1.17 | % | 2.02 | % | ||||||||||
Portfolio turnover rate(e) | 26 | % | 61 | % | 53 | % | 44 | % | 53 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | The portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the portfolio turnover rate may be higher. |
14 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
Goldman Sachs Multi-Strategy Alternatives Portfolio | ||||||||||||||||||||
Service Shares | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of year | $ | 8.52 | $ | 9.41 | $ | 9.13 | $ | 9.14 | $ | 9.81 | ||||||||||
Net investment income(a)(b) | 0.32 | 0.28 | 0.27 | 0.08 | 0.24 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.43 | (0.93 | ) | 0.22 | (0.05 | ) | (0.71 | ) | ||||||||||||
Total from investment operations | 0.75 | (0.65 | ) | 0.49 | 0.03 | (0.47 | ) | |||||||||||||
Distributions to shareholders from net investment income | (0.25 | ) | (0.24 | ) | (0.21 | ) | (0.04 | ) | (0.19 | ) | ||||||||||
Distributions to shareholders from net realized gains | — | — | — | — | (0.01 | ) | ||||||||||||||
Total distributions | (0.25 | ) | (0.24 | ) | (0.21 | ) | (0.04 | ) | (0.20 | ) | ||||||||||
Net asset value, end of year | $ | 9.02 | $ | 8.52 | $ | 9.41 | $ | 9.13 | $ | 9.14 | ||||||||||
Total return(c) | 8.82 | % | (6.93 | )% | 5.37 | % | 0.28 | % | (4.76 | )% | ||||||||||
Net assets, end of year (in 000s) | $ | 2,857 | $ | 811 | $ | 105 | $ | 34 | $ | 22 | ||||||||||
Ratio of net expenses to average net assets(d) | 0.51 | % | 0.47 | % | 0.46 | % | 0.46 | % | 0.48 | % | ||||||||||
Ratio of total expenses to average net assets(d) | 1.86 | % | 1.95 | % | 1.73 | % | 1.97 | % | 3.33 | % | ||||||||||
Ratio of net investment income to average net assets(b) | 3.54 | % | 3.08 | % | 2.88 | % | 0.92 | % | 2.54 | % | ||||||||||
Portfolio turnover rate(e) | 26 | % | 61 | % | 53 | % | 44 | % | 53 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | The portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 15 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
Goldman Sachs Multi-Strategy Alternatives Portfolio | ||||||||||||||||||||
Advisor Shares | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of year | $ | 8.49 | $ | 9.36 | $ | 9.08 | $ | 9.12 | $ | 9.79 | ||||||||||
Net investment income(a)(b) | 0.24 | 0.17 | 0.17 | 0.10 | 0.21 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.49 | (0.83 | ) | 0.30 | (0.07 | ) | (0.69 | ) | ||||||||||||
Total from investment operations | 0.73 | (0.66 | ) | 0.47 | 0.03 | (0.48 | ) | |||||||||||||
Distributions to shareholders from net investment income | (0.23 | ) | (0.21 | ) | (0.19 | ) | (0.07 | ) | (0.18 | ) | ||||||||||
Distributions to shareholders from net realized gains | — | — | — | — | (0.01 | ) | ||||||||||||||
Total distributions | (0.23 | ) | (0.21 | ) | (0.19 | ) | (0.07 | ) | (0.19 | ) | ||||||||||
Net asset value, end of year | $ | 8.99 | $ | 8.49 | $ | 9.36 | $ | 9.08 | $ | 9.12 | ||||||||||
Total return(c) | 8.60 | % | (7.09 | )% | 5.14 | % | 0.27 | % | (4.89 | )% | ||||||||||
Net assets, end of year (in 000s) | $ | 15,410 | $ | 13,460 | $ | 15,512 | $ | 10,778 | $ | 9,666 | ||||||||||
Ratio of net expenses to average net assets(d) | 0.64 | % | 0.62 | % | 0.61 | % | 0.61 | % | 0.62 | % | ||||||||||
Ratio of total expenses to average net assets(d) | 2.01 | % | 1.93 | % | 1.88 | % | 2.58 | % | 3.51 | % | ||||||||||
Ratio of net investment income to average net assets(b) | 2.61 | % | 1.92 | % | 1.78 | % | 1.06 | % | 2.16 | % | ||||||||||
Portfolio turnover rate(e) | 26 | % | 61 | % | 53 | % | 44 | % | 53 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Recognition of net investment income by the Portfolio is affected by the timing of declaration of dividends by the Underlying Funds in which the Portfolio invests. |
(c) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | The portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the portfolio turnover rate may be higher. |
16 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Notes to Financial Statements
December 31, 2019
1. ORGANIZATION
Goldman Sachs Variable Insurance Trust (the “Trust” or “VIT”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as anopen-end management investment company. The Trust includes the Goldman Sachs Multi-Strategy Alternatives Portfolio (the “Portfolio”). The Portfolio is a diversified portfolio under the Act offering three classes of shares — Institutional, Service and Advisor Shares. Shares of the Trust are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (“Goldman Sachs”), serves as investment adviser to the Portfolio pursuant to a management agreement (the “Agreement”) with the Trust.
The Portfolio invests primarily in a combination of domestic and international equity and fixed income underlying funds (“Underlying Funds”) which are registered under the Act, for which GSAM acts as investment adviser. Additionally, this Portfolio may invest a portion of its assets directly in other securities and instruments, including unaffiliated exchange traded funds (“Unaffiliated Funds”).
2. SIGNIFICANT ACCOUNTING POLICIES
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. The Portfolio is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.
A. Investment Valuation — The valuation policy of the Portfolio and Underlying Funds is to value investments at fair value.
B. Investment Income and Investments — Investment income includes interest income, dividend income, and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized onex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to theex-dividend date.Non-cash dividends, if any, are recorded at the fair market value of the securities received. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Income distributions are recognized as capital gains or income in the financial statements in accordance with the character that is distributed. Distributions received from the Portfolio’s investments in Goldman Sachs Real Estate Securities Fund (the “Underlying Fund invested in REITs”) may be characterized as ordinary income, net capital gain and/or a return of capital. A return of capital is recorded by the Portfolio as a reduction to the cost basis of the REIT.
For derivative contracts, realized gains and losses are recorded upon settlement of the contract.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, andnon-class specific expenses of each Portfolio are allocated daily based upon the proportion of net assets of each class.Non-class specific expenses directly incurred by the Portfolio are charged to the Portfolio, while such expenses incurred by the Trust are allocated across the applicable Portfolios on a straight-line and/orpro-rata basis depending upon the nature of the expenses. Class-specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service and Transfer Agency fees. Expenses included in the accompanying financial statements reflect the expenses of each Portfolio and do not include any expenses associated with the Underlying Funds. Because the Underlying Funds have varied expense and fee levels and the Portfolio may own different proportions of the Underlying Funds at different times, the amount of fees and expenses incurred indirectly by the Portfolio will vary.
D. Federal Taxes and Distributions to Shareholders — It is the Portfolio’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Portfolio is not
17
GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Notes to Financial Statements(continued)
December 31, 2019
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on theex-dividend date. Income and capital gains distributions, if any, are declared and paid at least annually.
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the Portfolio’s distributions may be shown in the accompanying financial statements as either from distributable earnings or capital. Certain components of the Portfolio’s net assets on the Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS
U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Portfolio’s policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Portfolio, including investments for which market quotations are not readily available. The Trustees have delegated to GSAMday-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Portfolio’s investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Underlying Funds (including Money Market Funds) — Investments in the Underlying Funds are valued at the NAV per share on the day of valuation. Because the Portfolio invests primarily in other mutual funds that fluctuate in value, the Portfolio’s shares will correspondingly fluctuate in value. These investments are generally classified as Level 1 of the fair value hierarchy. For information regarding an Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. The Portfolio enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers. For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral
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GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
received, if any, is reported separately on the Statement of Assets and Liabilities as receivables/payables for collateral on certain derivatives contracts.Non-cash collateral pledged by the Portfolio, if any, is noted in the Schedule of Investments.
Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence oftwo-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy.Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security. Upon entering into a futures contract, the Portfolio deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by the Portfolio equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
ii. Options — When the Portfolio writes call or put options, an amount equal to the premium received is recorded as a liability and is subsequentlymarked-to-market to reflect the current value of the option written. Swaptions are options on interest rate swap contracts or credit default swap contracts.
Upon the purchase of a call option or a put option by the Portfolio, the premium paid is recorded as an investment and subsequentlymarked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Portfolio’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time ofdetermining the Portfolio’s NAV. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.
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GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Notes to Financial Statements(continued)
December 31, 2019
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
C. Fair Value Hierarchy — The following is a summary of the Portfolio’s investments and derivatives classified in the fair value hierarchy as of December 31, 2019:
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Equity Underlying Funds | $ | 5,760,284 | $ | — | $ | — | ||||||
Fixed Income Underlying Funds | 11,851,870 | — | — | |||||||||
Exchange Traded Fund | 345,393 | — | — | |||||||||
Investment Company | 1,173,715 | — | — | |||||||||
Securities Lending Reinvestment Vehicle | 300,150 | — | — | |||||||||
Total | $ | 19,431,412 | $ | — | $ | — | ||||||
Derivative Type | ||||||||||||
Assets | ||||||||||||
Futures Contracts(a) | $ | 24,533 | $ | — | $ | — | ||||||
Purchased Options Contracts | 175,694 | — | — | |||||||||
Total | $ | 200,227 | $ | — | $ | — |
(a) | Amount shown represents unrealized gain (loss) at fiscal year end. |
For further information regarding security characteristics, see the Schedule of Investments.
4. INVESTMENTS IN DERIVATIVES
The following table sets forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of December 31, 2019. These instruments were used as part of the Portfolio’s investment strategies and to obtain and/or manage exposure related to the risks below. The values in the table below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Portfolio’s net exposure.
Risk | Statement of Assets and Liabilities | Assets | Statement of Assets and Liabilities | Liabilities | ||||||||||
Equity | Variation margin on futures contracts | $ | 24,533 | (a) | — | $ | — | |||||||
Interest Rate | Purchased options contracts, at value | 175,694 | — | — | ||||||||||
Total | $ | 200,227 | $ | — |
(a) | Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information section of the Schedule of Investments. Only the variation margin as of December 31, 2019 is reported within the Statement of Assets and Liabilities. |
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GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
4. INVESTMENTS IN DERIVATIVES (continued)
The following table sets forth, by certain risk types, the Portfolio’s gains (losses) related to these derivatives and their indicative volumes for the fiscal year ended December 31, 2019. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statement of Operations.
Risk | Statement of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||||
Equity | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | $ | 151,934 | $ | 18,033 | 12 | ||||||||
Interest Rate | Net realized gain (loss) from futures contracts and purchased options/Net change in unrealized gain (loss) on futures contracts and purchased options | 48,082 | (48,998 | ) | 248 | |||||||||
Total | $ | 200,016 | $ | (30,965 | ) | 260 |
(a) | Average number of contracts is based on the average of month end balances for the fiscal year ended December 31, 2019. |
5. AGREEMENTS AND AFFILIATED TRANSACTIONS
A. Management Agreement — Under the Agreement, GSAM manages the Portfolio, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Portfolio’s business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of 0.15% of the Portfolio’s average daily net assets. GSAM has agreed to waive all of its management fee. The management fee waiver will remain in effect through at least April 30, 2020, and prior to such date, GSAM may not terminate the arrangement without the approval of the Board of Trustees. For the fiscal year ended December 31, 2019, GSAM waived $25,725 of its management fee.
The Portfolio invests in Institutional Shares of the Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Portfolio in an amount equal to the management fee it earns as an investment adviser to the affiliated Underlying Fund in which the Portfolio invests, except those management fees it earns from the Portfolio’s investments of cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund. For the fiscal year ended December 31, 2019, GSAM waived $1,008 of the Portfolio’s management fee.
B. Distribution and/or Service(12b-1) Plans — The Trust, on behalf of Service Shares of the Portfolio, has adopted a Distribution and Service Plan subject to Rule12b-1 under the Act. Under the Distribution and Service Plan, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly, for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers, equal to, on an annual basis, 0.25% of the Portfolio’s average daily net assets attributable to Service Shares.
The Trust, on behalf of Advisor Shares of the Portfolio, has adopted a Distribution Plan subject to Rule12b-1 under the Act. Under the Distribution Plan, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers, equal to, on an annual basis, 0.15% of the Portfolio’s average daily net assets attributable to Advisor Shares.
C. Service Plans — The Trust, on behalf of Advisor Shares of the Portfolio, has adopted a Service Plan to allow Advisor Shares to compensate service organizations (including Goldman Sachs) for providing varying levels of personal and account maintenance and administration services to their customers who are beneficial owners of such shares. The Service Plans each provide for
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GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Notes to Financial Statements(continued)
December 31, 2019
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
compensation to the service organizations equal to 0.25% of the average daily net assets attributable to Advisor Shares of the Portfolio.
D. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Portfolio for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at an annual rate of 0.02% of the average daily net assets of Institutional, Service and Advisor Shares.
E. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or limit certain “Other Expenses” of the Portfolio (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of the Portfolio. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Portfolio is not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitation as an annual percentage rate of average daily net assets for the Portfolio is 0.204%. The Other Expense limitation will remain in place through at least April 30, 2020, and prior to such date GSAM may not terminate the arrangement without the approval of the Trustees. In addition, the Portfolio has entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Portfolio’s expenses and are received irrespective of the application of the “Other Expense” limitation described above.
For the fiscal year ended December 31, 2019, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
Management Fee Waiver | Custody Fee Credits | Other Expense Reimbursement | Total Expense Reductions | |||||||||||
$ | 26,733 | $ | 600 | $ | 206,503 | $ | 233,836 |
F. Line of Credit Facility — As of December 31, 2019, the Portfolio participated in a $580,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Portfolio based on the amount of the commitment that has not been utilized. For the fiscal year ended December 31, 2019, the Portfolio did not have any borrowings under the facility. Prior to April 30, 2019 the facility was $770,000,000.
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GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
G. Other Transactions with Affiliates — The Portfolio invests primarily in Class R6 Shares of the Underlying Funds. These Underlying Funds are considered to be affiliated with the Portfolios. The tables below show the transactions in and earnings from investments in these Underlying Funds for the fiscal year ended December 31, 2019:
Underlying Funds | Beginning Value as of December 31, 2018 | Purchases at Cost | Proceeds from Sales | Net Realized Affiliated | Change in Unrealized Appreciation (Depreciation) | Ending Value as of December 31, 2019 | Shares as of December 31, 2019 | Dividend Income from Affiliated Investment Company | Capital Gain Distributions from Affiliated Investment Company | |||||||||||||||||||||||||||
Goldman Sachs Alternative Premia Fund | $ | 1,088,711 | $ | 290,000 | $ | (465,000 | ) | $ | (39,053 | ) | $ | 46,263 | $ | 920,921 | 112,720 | $ | — | $ | — | |||||||||||||||||
Goldman Sachs Absolute Return Tracker Fund | 977,566 | 497,774 | (40,000 | ) | 580 | 63,988 | 1,499,908 | 154,311 | 19,345 | 33,428 | ||||||||||||||||||||||||||
Goldman Sachs Emerging Markets Debt Fund | 1,354,777 | 393,935 | (75,000 | ) | (6,100 | ) | 128,192 | 1,795,804 | 144,590 | 62,649 | — | |||||||||||||||||||||||||
Goldman Sachs Emerging Markets Equity Insights Fund | 511,446 | 199,045 | (60,000 | ) | (3,130 | ) | 76,694 | 724,055 | 73,808 | 14,045 | — | |||||||||||||||||||||||||
Goldman Sachs Financial Square Government Fund (Institutional Shares) | 191,106 | 4,963,755 | (3,981,146 | ) | — | — | 1,173,715 | 1,173,715 | 12,078 | — | ||||||||||||||||||||||||||
Goldman Sachs High Yield Floating Rate Fund | 1,048,669 | 303,241 | (30,000 | ) | (1,255 | ) | 41,691 | 1,362,346 | 144,011 | 63,178 | — | |||||||||||||||||||||||||
Goldman Sachs High Yield Fund | 763,723 | 220,211 | (30,000 | ) | (1,836 | ) | 73,531 | 1,025,629 | 157,547 | 50,146 | — | |||||||||||||||||||||||||
Goldman Sachs Local Emerging Markets Debt Fund | 448,457 | 43,395 | (519,253 | ) | (1,358 | ) | 28,759 | — | — | 8,766 | — | |||||||||||||||||||||||||
Goldman Sachs Long Short Credit Strategies Fund | 1,644,600 | 614,900 | (30,000 | ) | (3,063 | ) | 52,509 | 2,278,946 | 261,948 | 95,816 | — | |||||||||||||||||||||||||
Goldman Sachs Managed Futures Strategy Fund | 2,017,781 | 736,671 | (30,000 | ) | (1,715 | ) | (118,106 | ) | 2,604,631 | 263,894 | 156,288 | 18,383 | ||||||||||||||||||||||||
Goldman Sachs Real Estate Securities Fund | 479,541 | 135,342 | (30,000 | ) | (9,303 | ) | 35,062 | 610,642 | 44,153 | 10,167 | 85,175 | |||||||||||||||||||||||||
Goldman Sachs Strategic Income Fund | 1,428,213 | 440,545 | (40,000 | ) | (327 | ) | 35,162 | 1,863,593 | 201,252 | 43,455 | — | |||||||||||||||||||||||||
Goldman Sachs Tactical Exposure Fund | 2,247,480 | 218,000 | (2,528,772 | ) | (109,466 | ) | 172,758 | — | — | — | — | |||||||||||||||||||||||||
Goldman Sachs Tactical Tilt Overlay Fund | — | 2,966,366 | — | — | (40,687 | ) | 2,925,679 | 303,179 | 34,366 | — | ||||||||||||||||||||||||||
Total | $ | 14,202,070 | $ | 12,023,180 | $ | (7,859,171 | ) | $ | (176,026 | ) | $ | 595,816 | $ | 18,785,869 | $ | 570,299 | $ | 136,986 |
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GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Notes to Financial Statements(continued)
December 31, 2019
6. PORTFOLIO SECURITIES TRANSACTIONS
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended December 31, 2019, were $7,404,052 and $4,311,693, respectively.
7. SECURITIES LENDING
The Portfolio may lend its securities through a securities lending agent, the Bank of New York Mellon (“BNYM”), to certain qualified borrowers. In accordance with the Portfolio’s securities lending procedures, the Portfolio receives cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities is determined at the close of business of the Portfolio, at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Portfolio on the next business day. As with other extensions of credit, the Portfolio may experience delay in the recovery of its securities or incur a loss should the borrower of the securities breach its agreement with the Portfolio or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Dividend income received from securities on loan may not be subject to withholding taxes and therefore withholding taxes paid may differ from the amounts listed in the Statement of Operations. Loans of securities are terminable at any time and as such 1) the remaining contractual maturities of the outstanding securities lending transactions are considered to be overnight and continuous and 2) the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
The Portfolio invests the cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund (“Government Money Market Fund”), an affiliated series of the Goldman Sachs Trust. The Government Money Market Fund is registered under the Act as an open end investment company, is subject to Rule2a-7 under the Act, and is managed by GSAM, for which GSAM may receive a management fee of up to 0.16% on an annualized basis of the average daily net assets of the Government Money Market Fund.
In the event of a default by a borrower with respect to any loan, BNYM may exercise any and all remedies provided under the applicable borrower agreement to make the Portfolio whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If BNYM is unable to purchase replacement securities, BNYM will indemnify the Portfolio by paying the Portfolio an amount equal to the market value of the securities loaned minus the value of cash collateral received from the borrower for the loan, subject to an exclusion for any shortfalls resulting from a loss of value in such cash collateral due to reinvestment risk. The Portfolio’s master netting agreements with certain borrowers provide the right, in the event of a default (including bankruptcy or insolvency), for thenon-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. However, in the event of a default by a borrower, a resolution authority could determine that such rights are not enforceable due to the restrictions or prohibitions against the right ofset-off that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws. The Portfolio’s loaned securities were all subject to enforceable Securities Lending Agreements and the value of the collateral was at least equal to the value of the cash received. The amounts of the Portfolio’s overnight and continuous agreements, which represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of December 31, 2019, are disclosed as “Payable upon return of securities loaned” on the Statement of Assets and Liabilities, where applicable.
Both the Portfolio and BNYM received compensation relating to the lending of the Portfolio’s securities. The amounts earned, if any, by the Portfolio for the fiscal year ended December 31, 2019, are reported under Investment Income on the Statement of Operations.
The following table provides information about the Portfolio’s investment in the Government Money Market Fund for the fiscal year ended December 31, 2019:
Beginning Value as of December 31, 2018 | Purchases at Cost | Proceeds from Sales | Ending Value as of December 31, 2019 | |||||||||||
$ | 191,250 | $ | 1,962,798 | $ | (1,853,898 | ) | $ | 300,150 |
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GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
8. TAX INFORMATION
The tax character of distributions paid during the fiscal years ended December 31, 2018 and December 31, 2019 was as follows:
2018 | 2019 | |||||||
Distributions paid from ordinary income | $ | 359,098 | $ | 500,149 |
As of December 31, 2019, the components of accumulated earnings (losses) on atax-basis were as follows:
Undistributed ordinary income — net | $ | 67,185 | ||
Capital loss carryforwards:(1) | ||||
Perpetual Short-term | (520,976 | ) | ||
Perpetual Long-term | (428,144 | ) | ||
Total capital loss carryforwards | $ | (949,120 | ) | |
Unrealized losses — net | (461,586 | ) | ||
Total accumulated losses — net | $ | (1,343,521 | ) |
(1) | The Fund utilized $18,220 of capital losses in the current year. |
As of December 31, 2019, the Portfolio’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Tax cost | $ | 19,887,635 | ||
Gross unrealized gain | 285,015 | |||
Gross unrealized loss | (746,601 | ) | ||
Net unrealized loss | $ | (461,586 | ) |
The difference between GAAP-basis andtax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains (losses) on regulated futures and options contracts and differences in the tax treatment of partnership investments.
GSAM has reviewed the Portfolio’s tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Portfolio’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
9. OTHER RISKS
The Portfolio’s and Underlying Fund’s risks include, but are not limited to, the following:
Derivatives Risk — The Portfolio’s use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Portfolio. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
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GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Notes to Financial Statements(continued)
December 31, 2019
9. OTHER RISKS (continued)
Interest Rate Risk — When interest rates increase, fixed income securities or instruments held by the Portfolio will generally decline in value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. The risks associated with changing interest rates may have unpredictable effects on the markets and the Portfolio’s investments. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Portfolio.
Investments in the Underlying Funds — The investments of the Portfolio are concentrated in the Underlying Funds, and the Portfolio’s investment performance is directly related to the investment performance of the Underlying Funds it holds. The Portfolio is subject to the risk factors associated with the investments of the Underlying Funds in direct proportion to the amount of assets allocated to each. To the extent that the Portfolio has a relative concentration of its portfolio in a single Underlying Fund, the Portfolio may be more susceptible to adverse developments affecting that Underlying Fund, and may be more susceptible to losses because of these developments.
Investments in Other Investment Companies Risk — As a shareholder of another investment company, including an ETF, the Portfolio 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 Portfolio. 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 — The Portfolio or an Underlying Fund may experience adverse effects when certain large shareholders, such as other funds, participating insurance companies, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of the Portfolio or an Underlying Fund. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may cause the Portfolio or an Underlying Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact the Portfolio’s or an Underlying Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in the Portfolio’s or an Underlying Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Portfolio’s or an Underlying Fund’s expense ratio. Similarly, large Portfolio or Underlying Fund share purchases may adversely affect the Portfolio’s or an Underlying Fund’s performance to the extent that the Portfolio or an Underlying Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.
Liquidity Risk — The Portfolio or Underlying Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that the Portfolio or an Underlying Fund will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, the Portfolio or an Underlying Fund may be forced to sell investments at an unfavorable time and/ or under unfavorable conditions. If the Portfolio or an Underlying Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Portfolio’s or Underlying Fund’s NAV and dilute remaining investors’ interests. These risks may be more pronounced in connection with the Portfolio’s or Underlying Fund’s investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on the Portfolio’s liquidity.
Market and Credit Risks — In the normal course of business, the Portfolio and the Underlying Fund trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Portfolio and/or Underlying Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio and the Underlying Fund have unsettled or open transactions defaults.
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GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
10. INDEMNIFICATIONS
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Portfolio. Additionally, in the course of business, the Portfolio enters into contracts that contain a variety of indemnification clauses. The Portfolio’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Portfolio that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
11. OTHER MATTERS
On November 5, 2019, a definitive proxy statement (“proxy”) was filed with the SEC to elect certain Trustees to the Trust. The Portfolio will bear its respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse the Portfolio to the extent such expenses exceed a specified percentage of the Portfolio’s net assets.
12. SUBSEQUENT EVENTS
Subsequent events after the Statement of Assets and Liabilities date other than above have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
13. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 62,887 | $ | 570,355 | 53,822 | $ | 488,301 | ||||||||||
Reinvestment of distributions | 4,140 | 37,340 | 2,400 | 20,403 | ||||||||||||
Shares redeemed | (9,524 | ) | (86,531 | ) | (16,933 | ) | (153,669 | ) | ||||||||
57,503 | 521,164 | 39,289 | 355,035 | |||||||||||||
Service Shares | ||||||||||||||||
Shares sold | 238,728 | 2,174,547 | 84,312 | 762,281 | ||||||||||||
Reinvestment of distributions | 8,549 | 77,108 | 2,398 | 20,381 | ||||||||||||
Shares redeemed | (25,812 | ) | (233,897 | ) | (2,657 | ) | (23,809 | ) | ||||||||
221,465 | 2,017,758 | 84,053 | 758,853 | |||||||||||||
Advisor Shares | ||||||||||||||||
Shares sold | 347,196 | 3,121,719 | 539,263 | 4,918,086 | ||||||||||||
Reinvestment of distributions | 42,903 | 385,701 | 37,581 | 318,314 | ||||||||||||
Shares redeemed | (262,490 | ) | (2,337,508 | ) | (648,355 | ) | (5,801,233 | ) | ||||||||
127,609 | 1,169,912 | (71,511 | ) | (564,833 | ) | |||||||||||
NET INCREASE | 406,577 | $ | 3,708,834 | 51,831 | $ | 549,055 |
27
Report of Independent Registered Public Accounting Firm
Tothe Board of Trustees of Goldman Sachs Variable Insurance Trust and Shareholders of Goldman Sachs Multi-Strategy Alternatives Portfolio
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Goldman Sachs Multi-Strategy Alternatives Portfolio (one of the portfolios constituting Goldman Sachs Variable Insurance Trust, referred to hereafter as the “Portfolio”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statements of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes,and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on the Portfolio’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Portfolio in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 14, 2020
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
28
GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Voting Results of Special Meeting of Shareholders (Unaudited)
A Special Meeting (the “Meeting”) of the Goldman Sachs Variable Insurance Trust (“VIT”) was held on January 23, 2020 to consider and act upon the proposal below. The Fund will amortize its respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse the Fund to the extent such expenses exceed a specified percentage of the Fund’s net assets.
At the Meeting, Dwight L. Bush, Kathryn A. Cassidy, Joaquin Delgado and Gregory G. Weaver were elected to the Trust’s Board of Trustees. In electing trustees, the Trust’s shareholders voted as follows:
Proposal 1.
Election of Trustees | For | Against | Withheld | Broker Non-Votes | ||||||||||||
Dwight L. Bush | 745,493,677.130 | 0 | 17,848,840.639 | 0 | ||||||||||||
Kathryn A. Cassidy | 746,559,784.810 | 0 | 16,782,732.959 | 0 | ||||||||||||
Joaquin Delgado | 744,593,456.532 | 0 | 18,749,061.237 | 0 | ||||||||||||
Gregory G. Weaver | 746,707,039.321 | 0 | 16,635,478.448 | 0 |
29
GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Portfolio Expenses — Six Month Period Ended December 31, 2019 (Unaudited) |
As a shareholder of Institutional, Service or Advisor Shares of the Portfolio, you incur ongoing costs, including management fees, distribution and/or service(12b-1) fees (with respect to Service and Advisor Shares) and other Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Institutional Shares, Service Shares and Advisor Shares of the Portfolio and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2019 through December 31, 2019, which represents a period of 184 days of a 365 day year.
Actual Expenses— The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes —The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Portfolio’s actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Portfolio’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Portfolio and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Portfolio you do not incur any transaction costs, such as sales charges, redemption fees, or exchange fees, but shareholders of other funds may incur such costs. The second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds whose shareholders may incur transaction costs.
Share Class | Beginning Account Value 07/01/19 | Ending Account Value 12/31/19 | Expenses Paid for the 6 Months Ended 12/31/19* | |||||||||
Institutional | ||||||||||||
Actual | $ | 1,000 | $ | 1,017.00 | $ | 1.22 | ||||||
Hypothetical 5% return | 1,000 | 1,023.00 | + | 1.22 | ||||||||
Service | ||||||||||||
Actual | 1,000 | 1,015.50 | 2.49 | |||||||||
Hypothetical 5% return | 1,000 | 1,022.74 | + | 2.50 | ||||||||
Advisor | ||||||||||||
Actual | 1,000 | 1,014.40 | 3.25 | |||||||||
Hypothetical 5% return | 1,000 | 1,021.98 | + | 3.26 |
+ | Hypothetical expenses are based on the Portfolio’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
* | Expenses are calculated using the Portfolio’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended December 31, 2019. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 0.24%, 0.49% and 0.64% for Institutional, Service and Advisor Shares, respectively. |
30
GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Trustees and Officers (Unaudited)
Independent Trustees
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||||
Jessica Palmer Age: 70 | Chair of the Board of Trustees | Since 2018 (Trustee since 2007) | Ms. Palmer is retired. She was formerly Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009).
Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Kathryn A. Cassidy Age: 65 | Trustee | Since 2015 | Ms. Cassidy is retired. Formerly, she was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Diana M. Daniels Age: 70 | Trustee | Since 2007 | Ms. Daniels is retired. Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is a Trustee Emeritus and serves as a Presidential Councillor of Cornell University (2013-Present); former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Roy W. Templin Age: 59 | Trustee | Since 2013 | Mr. Templin is retired. He is Director, Armstrong World Industries, Inc. (a designer and manufacturer of ceiling, wall and suspension system solutions) (2016-Present); and was formerly Chairman of the Board of Directors, Con-Way Incorporated (a transportation, logistics and supply chain management service company) (2014-2015); Executive Vice President and Chief Financial Officer, Whirlpool Corporation (an appliance manufacturer and marketer) (2004-2012). Previously, Mr. Templin served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (June 2013-October 2013).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Armstrong World Industries, Inc. (a ceiling, wall and suspension systems solutions manufacturer) | |||||||
Gregory G. Weaver Age: 68 | Trustee | Since 2015 | Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Verizon Communications Inc. | |||||||
31
GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Trustees and Officers (Unaudited) (continued)
Interested Trustee*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||||
James A. McNamara Age: 57 | President and Trustee | Since 2007 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | 165 | None | |||||||
Advisory Board Members
Name, Address, Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Advisory Board Member3 | Other Directorships Held by Advisory Board Member4 | |||||||
Dwight L. Bush Age: 62 | Advisory Board Member | Since 2019 | Ambassador Bush is President and CEO of D.L. Bush & Associates (a financial advisory and private investment firm) (2002-2014 and 2017-present); and was formerly U.S. Ambassador to the Kingdom of Morocco (2014-2017) and a Member of the Board of Directors of Santander Bank, N.A. (2018-2019).
Advisory Board Member — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Joaquin Delgado Age: 59 | Advisory Board Member | Since 2019 | Dr. Delgado is retired. He is Director, Hexion Inc. (a specialty chemical manufacturer) (2019-present); and Director, Stepan Company (a specialty chemical manufacturer) (2011-present); and was formerly Executive Vice President, Consumer Business Group of 3M Company (July 2016-July 2019); and Executive Vice President, Health Care Business Group of 3M Company (October 2012-July 2016).
Advisory Board Member — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Stepan Company (a specialty chemical manufacturer) | |||||||
* | Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. Mr. McNamara holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
1 | Each Trustee and Advisory Board Member may be contacted by writing to the Trustee or Advisory Board Member, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of December 31, 2019. |
2 | Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that (a) no Trustee shall hold office for more than 15 years and (b) a Trustee shall retire as of December 31st of the calendar year in which he or she reaches his or her 74th birthday, unless a waiver of such requirements shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. |
3 | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of December 31, 2019, Goldman Sachs Trust consisted of 89 portfolios; Goldman Sachs Variable Insurance Trust consisted of 13 portfolios; Goldman Sachs Trust II consisted of 19 portfolios (17 of which offered shares to the public); Goldman Sachs MLP Income Opportunities Fund, Goldman Sachs MLP and Energy Renaissance Fund, Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio; and Goldman Sachs ETF Trust consisted of 40 portfolios (21 of which offered shares to the public). |
4 | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Portfolio’s Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384. Additional information about the Advisory Board Members will be available in the Portfolio’s Statement of Additional Information dated April 30, 2020, which will be available from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
32
GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | |||
James A. McNamara 200 West Street New York, NY 10282 Age: 57 | Trustee and President | Since 2007 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 42 | Secretary | Since 2012 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Associate General Counsel, Goldman Sachs (2012-Present); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006).
Secretary — Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Private Middle Market Credit II LLC; Goldman Sachs Middle Market Lending Corp.; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 51 | Treasurer, Principal Financial Officer and Principal Accounting Officer | Since 2017 (Treasurer and Principal Financial Officer since 2019) | Managing Director, Goldman Sachs (November 2015-Present) and Vice President — Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010-October 2015). Treasurer, Principal Financial Officer and Principal Accounting Officer — Goldman Sachs Trust (previously Assistant Treasurer (2016)); Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs MLP Income Opportunities Fund (previously Assistant Treasurer (2017)); Goldman Sachs MLP and Energy Renaissance Fund (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
* | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Portfolio’s Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
1 | Information is provided as of December 31, 2019. |
2 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
Goldman Sachs Variable Insurance Trust — Tax Information (Unaudited)
For the year ended December 31, 2019, 0.21% of the dividends paid from net investment company taxable income by the Multi-Strategy Alternatives Portfolio qualify for the dividends received deduction available to corporations.
For the 2019 tax year, the Multi-Strategy Alternatives Portfolio has elected to pass through a credit for taxes paid to foreign jurisdictions. The total amount of income received by the Multi-Strategy Alternatives Portfolio from sources within foreign countries and possessions of the United States was $0.0074 per share, all of which is attributable to qualified passive income. The percentage of net investment income dividends paid by the Portfolio during the year ended December 31, 2019 from foreign sources was 2.49%. The total amount of foreign taxes paid by the Portfolio was $0.0014 per share.
33
TRUSTEES | OFFICERS | |
Jessica Palmer,Chair Dwight L. Bush* | James A. McNamara,President Joseph F. DiMaria,Principal Financial Officer, | |
Kathryn A. Cassidy | Principal Accounting Officer and Treasurer | |
Diana M. Daniels Joaquin Delgado* | Caroline L. Kraus,Secretary | |
James A. McNamara | ||
Roy W. Templin | ||
Gregory G. Weaver | ||
* Effective as of January 23, 2020 |
GOLDMAN SACHS & CO. LLC
Distributor and Transfer Agent
GOLDMAN SACHS ASSET MANAGEMENT, L.P.
Investment Adviser
200 West Street, New York
New York 10282
Visit our web site at www.GSAMFUNDS.com to obtain the most recentmonth-end returns.
The reports concerning the Portfolio included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Portfolio in the future. These statements are based on Portfolio management’s predictions and expectations concerning certain future events and their expected impact on the Portfolio, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Portfolio. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Portfolio uses to determine how to vote proxies relating to portfolio securities and information regarding how the Portfolio voted proxies relating to portfolio securities for the12-month period ended December 31 is available (i) without charge, upon request by calling1-800-621-2550; and (ii) on the Securities and Exchange Commission (“SEC”) web site athttp://www.sec.gov.
The Portfolio will file its portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be made available on the SEC’s web site at http://www.sec.gov. Portfolio holdings information may be obtained upon request and without charge by calling1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).
Views and opinions expressed are for informational purposes only and do not constitute a recommendation by GSAM to buy, sell, or hold any security. Views and opinions are current as of the date of this presentation and may be subject to change, they should not be construed as investment advice.
Goldman Sachs & Co. LLC (“Goldman Sachs”) does not provide legal, tax or accounting advice. Any statement contained in this communication (including any attachments) concerning U.S. tax matters was not intended or written to be used, and cannot be used, for the purpose of avoiding penalties under the Internal Revenue Code, and was written to support the promotion or marketing of transactions or matters addressed. Clients of Goldman Sachs should obtain their own independent tax advice based on their particular circumstances.
The website links provided are for your convenience only and are not an endorsement or recommendation by GSAM of any of these websites or the products or services offered. GSAM is not responsible for the accuracy and validity of the content of these websites.
Portfolio holdings and allocations shown are as of December 31, 2019 and may not be representative of future investments. Portfolio holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
References to indices, benchmarks or other measures of relative market performance over a specified period of time are provided for your information only and do not imply that the portfolio will achieve similar results. The index composition may not reflect the manner in which a portfolio is constructed. While an adviser seeks to design a portfolio which reflects appropriate risk and return features, portfolio characteristics may deviate from those of the benchmark.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (“MSCI”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
Diversification does not protect an investor from market risk and does not ensure a profit.
Shares of the Goldman Sachs VIT Funds are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Portfolio are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Portfolio.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus or summary prospectus, if applicable. Investors should consider the Portfolio’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the prospectus carefully before investing or sending money. The summary prospectus, if available, and the prospectus contain this and other information about the Portfolio and may be obtained from your authorized dealer or from Goldman Sachs & Co. LLC by calling1-800-621-2550.
This report is prepared for the general information of contract owners and is not an offer of shares of the Goldman Sachs Variable Insurance Trust — Goldman Sachs Multi-Strategy Alternatives Portfolio.
© 2020 Goldman Sachs. All rights reserved.
VITMSAAR-20/192294-OTU-1134413
Goldman
SachsVariable Insurance Trust
Goldman Sachs Core Fixed Income Fund
Goldman Sachs Equity Index Fund
Goldman Sachs Growth Opportunities Fund
Goldman Sachs High Quality Floating Rate Fund
Beginning on or after January 1, 2021, you may not receive paper copies of the Funds’ annual and semi-annual shareholder reports from the insurance company that offers your variable insurance contract or your financial intermediary, unless you specifically request paper copies of the reports from the insurance company or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. At any time, you may elect to receive reports and certain communications from the insurance company electronically by contacting your insurance company or your financial intermediary.
You may elect to receive all future shareholder reports in paper free of charge. You can inform the insurance company or your financial intermediary that you wish to receive paper copies of reports. Your election to receive reports in paper will apply to all Goldman Sachs Funds available under your contract and may apply to all funds held with your financial intermediary.
Annual Report
December 31, 2019
MARKET REVIEW
Goldman Sachs Variable Insurance Trust Funds
Market Review
During the 12 months ended December 31, 2019 (the “Reporting Period”), the performance of the U.S. equity and fixed income markets were influenced most by central bank monetary policy, U.S. and global economic data and geopolitical events.
Equity Markets
The U.S. equity market rallied at the start of the Reporting Period, almost completely recovering from asell-off at the end of 2018. After four gradual interest rate hikes in 2018, the U.S. Federal Reserve (the “Fed”) cut interest rates three times in 2019 in an effort to keep the U.S. economic expansion intact amid trade uncertainties. The trade war between the U.S. and China pressured macroeconomic indicators throughout the first half of the calendar year but did little to suppress a resilient consumer, which ultimately outweighed manufacturing weakness. By the fourth quarter of 2019, U.S. stock returns accelerated with an uptick of U.S. manufacturing and service sector business surveys as well as a consistently strong labor market. The U.S. added more than 200,000 jobs in November 2019, double the break-even pace of long-term job growth. These developments helped restore market confidence, while fundamentals of low core inflation, contained financial imbalance and reduced drag of a trade war fended off imminent recession risk.
The S&P 500® Index returned 31.49% during the Reporting Period overall. All 11 of its sectors posted positive absolute returns, with all 11 generating double-digit gains. Information technology, communication services and financials were the best performing sectors in the S&P 500® Index, as measured by total return, while the weakest performing sectors in the S&P 500® Index during the Reporting Period were energy, health care and materials.
Within the U.S. equity market, all capitalization segments posted double-digit positive returns, led bylarge-cap stocks, as measured by the Russell 1000® Index, followed closely bymid-cap stocks, as measured by the Russell Midcap® Index, and then bysmall-cap stocks, as measured by the Russell 2000® Index. From a style perspective, growth-oriented stocks significantly outpaced value-oriented stocks across the capitalization spectrum. (All as measured by the FTSE Russell indices.)
Fixed Income Markets
In the first quarter of 2019, when the Reporting Period began, spread, ornon-government bond, sectors broadly advanced, as dovish pivots by global central banks boosted investor sentiment and helped fuel rallies in both sovereign government bonds and riskier segments of the fixed income market. (Dovish tends to suggest lower interest rates; opposite of hawkish.) Notably, high yield corporate bonds recorded their strongest start to a calendar year on record. The Fed kept its monetary policy unchanged during the first calendar quarter, with its dot plot projecting no interest rate hikes at all during 2019. (The “dot plot” shows interest rate projections of the members of the Federal Open Market Committee.) Meanwhile, the European Central Bank (“ECB”) extended its forward guidance, noting that its interest rates would remain unchanged through 2019. Other developed markets’ central banks — namely, those of Australia, New Zealand and Switzerland — also turned dovish. The U.S. economy continued to benefit from strength in household consumption, which was underpinned by a healthy labor market. The U.S. dollar strengthened relative to many major currencies during the first quarter of 2019.
In the second calendar quarter, most spread sectors recorded gains. The quarter started off on a positive note in April 2019, as developed markets’ central banks kept monetary policy unchanged. In the U.S., the Fed noted that inflation softness might be due to “transitory factors.” The Bank of Japan clarified its forward guidance to signal unchanged monetary policy through the spring of 2020, while the Bank of England (“BoE”) maintained its guidance around interest rate hikes occurring at a gradual pace and to a limited extent. Meanwhile, statements by Sweden’s Riksbank and the Bank of Canada were also somewhat dovish, as they generally focused on risks arising from slower global economic growth. However, in May 2019, spread sectors were challenged by the escalation of U.S.-China trade tensions. That same month, market speculation about possible 2019 Fed rate cuts increased due to an accumulation of factors, including soft inflation, weakness in U.S. economic data, continued global economic growth headwinds from unresolved U.S.-China trade negotiations and weakness in the manufacturing sector. During June 2019, spread sector performance improved on raised prospects of ongoing monetary policy accommodation by global central banks, particularly from the Fed. At its June meeting, the U.S. central bank left interest rates unchanged, but eight of the 12 members on the Federal Open Market Committee projected rate cuts during the 2019 calendar year. In Europe, a dovish speech by outgoing ECB President Mario Draghi signaled forthcoming easing. The U.S. dollar weakened versus many major currencies during the second quarter of 2019.
In the third quarter of 2019, spread sectors generally produced positive returns. Investment grade corporate bonds ended the quarter relatively unchanged, but high yield corporate bonds, agency mortgage-backed securities, external emerging markets debt and local
1
MARKET REVIEW
emerging markets debt all notched gains. The outlook for global economic growth appeared to hinge on the outcome of U.S.-China trade negotiations and whether the services sector and household consumption would remain resilient in the face of a continued slowdown in global trade, investment and manufacturing activity. Regarding monetary policy, global central bank easing gained momentum during the third calendar quarter. In July 2019, the Fed delivered its first short-term interest rate cut since 2008, though Fed Chair Jerome Powell described it as a“mid-cycle adjustment.” Policymakers implemented another interest rate cut in September and announced they would stop trimming the Fed’s balance sheet. Elsewhere, the ECB delivered a package that included a rate cut, resumption of asset purchases, strengthened forward guidance and a tiering mechanism for bank deposits subject to negative interest rates. Emerging markets monetary policy was also broadly dovish, most notably in Turkey where its central bank lowered interest rates in July 2019 and again in September.
During the fourth quarter of 2019, spread sectors posted gains. Accommodative central bank policy, improved investor sentiment toward risk assets, a general election victory for the Conservative Party in the U.K., and the announcement of an agreement in principle for a “Phase One” trade deal between the U.S. and China bolstered spread sector performance. High yield corporate bonds performed particularly well, logging one of their best quarters since 2016. Near the end of October, the Fed cut short-term interest rates for a third time in 2019 and replaced a comment in its statement to “act as appropriate” with a more neutral comment that indicated its policy path would be dependent on the evolution of data and trade developments. In Europe, new ECB president Christine Lagarde’s first public address pointed to policy continuity, as it called for “a new European policy mix” that includes fiscal policy, which she believes could enable monetary policy to achieve its goal “faster and with fewer side effects.”
For the Reporting Period overall, spread sector performance was positive. The U.S. fixed income market, as represented by the Bloomberg Barclays U.S. Aggregate Bond Indes, generated a return of 8.72%. High yield corporate bonds, investment grade corporate bonds and sovereign emerging markets debt outpaced U.S. Treasury securities. Agency securities, commercial mortgage-backed securities, asset backed securities and mortgage-backed securities also outperformed U.S. Treasuries, albeit to a lesser extent. During the Reporting Period, U.S. Treasury yields fell along the curve, with those on maturities of two years and less dropping more than those on longer maturities. (Yield curve is a spectrum of interest rates based on maturities of varying lengths.) The yield on the bellwether10-year U.S. Treasury dropped approximately 77 basis points to end the Reporting Period at 1.92%. During the Reporting Period, the U.S. Treasury yield curve partially inverted. More specifically, the spread between the yields on three-month and10-year U.S. Treasury securities inverted for the first time since 2007, meaning three-month yields were higher than those of10-year U.S. Treasury securities. (A full inversion occurs when shorter-term yields exceed all longer-term yields.) The partial inversion, which began in May, reverted back to an upward slope during October 2019.
Looking Ahead
Equity Markets
The U.S. equity markets delivered robust performance in 2019. Economic growth remained near-trend, with a healthy consumer, both in balance sheet and confidence, continuing to support the U.S. economy. At the end of the Reporting Period, we remained constructive on U.S. equities and believed there could be further gains, buoyed by low interest rates and steady cash flow generation. Despite intervals of volatility, we believed fundamentals remained stable and did not indicate a downturn in global economic growth or corporate earnings. Within this more volatile backdrop, we believed a thorough understanding of both market and company-specific variables may well be crucial to navigating the environment.
Fixed Income Markets
At the end of the Reporting Period, global economic growth appeared to be stabilizing, with manufacturing data bottoming. However, we thought any bounce in economic growth was likely to be reasonably modest. We generally expected trend-like growth in the near term, with some economies growing slightly above trend and others tracking slightly below it. The improved global economic growth outlook is likely to alleviate market fears about inflation, in our view. We saw no meaningful signs of upward momentum in inflation at the end of the Reporting Period, as companies’ pricing power and input prices had been hit by the U.S.-China trade war. As for monetary policy, we expect 2020 to be rather uneventful because of the amount of easing delivered by global central banks in 2019, the improvement in global economic growth prospects and the growing willingness of central banks to allow inflation to run above targets before unwinding policy accommodation. Overall, we do not anticipate any major central bank tightening in 2020, and large-scale fiscal easing is also unlikely, in our view, absent a severe economic downturn.
2
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
INVESTMENT OBJECTIVE
The Fund seeks a total return consisting of capital appreciation and income that exceeds the total return of the Bloomberg Barclays U.S. Aggregate Bond Index.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Fixed Income Portfolio Management Team discusses the Goldman Sachs Variable Insurance Trust — Goldman Sachs Core Fixed Income Fund’s (the “Fund”) performance and positioning for the12-month period ended December 31, 2019 (the “Reporting Period”).
How did the Fund perform during the Reporting Period?
During the Reporting Period, the Fund’s Institutional and Service Shares generated average annual total returns of 9.28% and 9.00%, respectively. This compares to the 8.72% average annual total return of the Fund’s benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index (the “Bloomberg Barclays Index”), during the same time period.
What key factors were responsible for the Fund’s performance during the Reporting Period?
During the Reporting Period, the Fund’stop-down country strategy contributed positively to relative performance, highlighted by long exposure to European interest rates versus short exposure to the interest rates of other developed markets countries. These gains were somewhat offset by the Fund’s long exposure to Canadian interest rates versus its short exposure to U.S. interest rates. Ourtop-down cross-sector strategy also enhanced the Fund’s relative results. In our cross-sector strategy, we invest Fund assets across a variety of fixed income sectors, including some that may not be included in the Bloomberg Barclays Index. Ourbottom-up individual issue selection further bolstered relative returns.
The Fund’s combined tactical duration and yield curve positioning added to relative performance during the Reporting Period. (Duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve is a spectrum of interest rates based on maturities of varying lengths.)
Ourtop-down currency strategy did not have a material impact on the Fund’s relative returns during the Reporting Period. Positioning in the euro was advantageous but was offset by positioning in the Japanese yen and New Zealand dollar, which detracted.
Which fixed income market sectors most affected Fund performance during the Reporting Period?
During the Reporting Period, the Fund was helped by its overweight position versus the Bloomberg Barclays Index in investment grade corporate bonds, especially its position in longer-duration maturities. Positioning in mortgage-backed securities also added to relative performance. Conversely, an underweight in emerging markets corporate bonds detracted from results. The Fund’s use of index credit default swaps (CDX) versus cash bonds also limited relative returns, as cash bonds outperformed CDX during the Reporting Period.
As for individual issue selection, the Fund’s investments in corporate credit contributed most positively to relative performance. Specifically, the Fund benefited from its tactical positioning along the credit curve as well as our selection of investment grade industrial bonds. In the securitized sector, the Fund’s holdings in pass-through mortgage securities and adjustable-rate mortgage-backed securities bolstered relative results. (Pass-through mortgage securities consist of a pool of residential mortgage loans, in which homeowners’ monthly payments of principal, interest and prepayments pass from the mortgage servicer through a government agency or investment bank to investors.) Selection of Mexican and Indonesian external emerging markets debt also enhanced returns, though the gains were partially offset by selection of government bonds within the government/swaps sector, which detracted.
Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?
During the Reporting Period, the Fund’s combined duration and yield curve positioning added to performance. The positive results were driven by the Fund’s exposure to the five-year and20-year segments of the U.S. Treasury yield curve. Tactical positioning on the corporate credit yield curve was also advantageous. These gains were partially offset by the Fund’s exposure to theone-year segment of the U.S. Treasury yield curve, which detracted.
3
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
How did the Fund use derivatives and similar instruments during the Reporting Period?
As market conditions warranted during the Reporting Period, currency transactions were carried out using primarilyover-the-counter (“OTC”) forward foreign exchange contracts. Currency transactions were used as we sought both to enhance returns and to hedge the Fund’s portfolio against currency exchange rate fluctuations. OTC forward foreign exchange contracts had a negative impact on Fund performance during the Reporting Period. In addition, futures contracts were employed as warranted to facilitate specific duration, yield curve and country strategies. During the Reporting Period, futures contracts overall had a positive impact on the Fund’s results. Swaptions (options on interest rate swap contracts), which were used to express our interest rate views and to hedge volatility and yield curve risks in the Fund, did not have a meaningful impact on the Fund’s performance during the Reporting Period. Interest rate swaps, which were used to manage exposure to fluctuations in interest rates, added to the Fund’s performance during the Reporting Period.
Additionally, the Fund employed CDX as well as individual credit default swaps to implement specific credit-related investment strategies, including management of the Fund’s exposure to credit spreads. Collectively, the use of these instruments had a positive impact on the Fund’s results during the Reporting Period. Overall, we employ derivatives and similar instruments for the efficient management of the Fund’s portfolio. Derivatives and similar instruments allow us to manage interest rate, credit and currency risks more effectively by allowing us both to hedge and to apply active investment views with greater versatility and to afford greater risk management precision than we would otherwise be able to implement.
Were there any notable changes in the Fund’s weightings during the Reporting Period?
During the Reporting Period, we increased the Fund’s overweight relative to the Bloomberg Barclays Index in investment grade corporate bonds. In addition, we increased its overweight position in residential mortgage-backed securities and reduced its overweight in asset-based securities (“ABS”). We also decreased the Fund’s underweight position in U.S. government securities during the Reporting Period.
Were there any changes to the Fund’s portfolio management team during the Reporting Period?
Effective January 1, 2019, Jonathan Beinner no longer served as a portfolio manager for the Fund, and Ashish Shah became a portfolio manager for the Fund. By design, all investment decisions for the Fund are performed within aco-lead or team structure, with multiple subject matter experts. This strategic decision making has been the cornerstone of our approach and ensures continuity in the Fund. At the end of the Reporting Period, the portfolio managers for the Fund were Ashish Shah and Michael Swell.
How was the Fund positioned relative to the Bloomberg Barclays Index at the end of the Reporting Period?
At the end of the Reporting Period, the Fund was overweight ABS andnon-agency mortgage-backed securities compared to the Bloomberg Barclays Index. It was also overweight pass-through mortgage securities and corporate credit. The Fund was underweight U.S. government securities relative to the Bloomberg Barclays Index. The Fund was relatively neutral versus the Bloomberg Barclays Index in quasi-government bonds and commercial mortgage-backed securities at the end of the Reporting Period.
4
FUND BASICS
FUND COMPOSITION1
1 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. Short-Term Investments represent investments in commercial paper. Underlying sector allocations of investment companies held by the Fund are not reflected in the graph above. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
2 | “Mortgage-Backed Securities” are guaranteed by the Government National Mortgage Association (“GNMA”), the Federal Home Loan Mortgage Corp. (“FHLMC”) or Uniform Mortgage-Backed Securities (“UMBS”). GNMA instruments are backed by the full faith and credit of the United States Government. |
3 | “U.S. Government Agency Securities” include agency securities offered by companies such as Federal National Mortgage Association (“FNMA”) and the Federal Home Loan Bank (“FHLB”), which operate under a government charter. While they are required to report to a government regulator, their assets are not explicitly guaranteed by the government and they otherwise operate like any other publicly traded company. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
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GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Performance Summary
December 31, 2019
The following graph shows the value, as of December 31, 2019, of a $10,000 investment made on January 1, 2010 in Service Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index, is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Core Fixed Income Fund’s 10 Year Performance
Performance of a $10,000 investment, with distributions reinvested, from January 1, 2010 through December 31, 2019.
Average Annual Total Return through December 31, 2019 | One Year | Five Years | Ten Years | Since Inception | ||||
Institutional (Commenced April 30, 2013) | 9.28% | 3.08% | N/A | 2.82% | ||||
Service | 9.00% | 2.80% | 3.88% | — |
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GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
INVESTMENT OBJECTIVE
The Fund seeks to achieve investment results that correspond to the aggregate price and yield performance of a benchmark index that measures the investment returns of large capitalization stocks.
Portfolio Management Discussion and Analysis
Below, SSgA Funds Management, Inc. (“SSgA”), the Fund’s Subadvisor, discusses the Goldman Sachs Variable Insurance Trust — Goldman Sachs Equity Index Fund’s (the “Fund”) performance and positioning for the12-month period ended December 31, 2019 (the “Reporting Period”).
How did the Fund perform during the Reporting Period?
During the Reporting Period, the Fund’s Service Shares generated an average annual total return of 30.85%. This compares to the 31.49% average annual total return of the Fund’s benchmark, the Standard & Poor’s 500® Index (with dividends reinvested) (the “S&P 500® Index”), during the same time period.
During the Reporting Period, which sectors and which industries in the S&P 500® Index were the strongest contributors to the Fund’s performance?
All 11 sectors in the S&P 500®Index generated gains during the Reporting Period. In terms of total return, the sectors that made the strongest positive contributions to the S&P 500® Index and to the Fund were information technology, communication services and financials. The largest sector by weighting in the S&P 500® Index at the end of the Reporting Period was information technology at a weighting of 23.20%. The industries with the strongest performance in terms of total return were electronic production equipment, telecommunications equipment, aluminum, electronic/appliance stores and financial publishing/services.
On the basis of impact (which takes both total returns and weightings into account), the strongest performing sectors were information technology, financials and communication services. The strongest performing industries on the basis of impact were telecommunications equipment, packaged software, Internet software/services, major banks and semiconductors.
Which sectors and industries in the S&P 500® Index were the weakest contributors to the Fund’s performance?
In terms of total return, during the Reporting Period, the weakest performing sectors were energy, health care and materials. The industries with the weakest performance in terms of total return were department stores; chemicals: major diversified; specialty telecommunications; movies/entertainment; and oil and gas production.
On the basis of impact, the sectors that made the weakest contributions to the S&P 500® Index and to the Fund were energy, materials and utilities. The industries with the weakest performance on the basis of impact were department stores; broadcasting; oil and gas production; chemicals: major diversified; and specialty telecommunications.
Which individual stocks were the top detractors, and which were the greatest positive contributors?
On the basis of impact, the stocks that made the strongest contribution during the Reporting Period were Apple, Microsoft, Facebook, Amazon.com, and JPMorgan Chase. The weakest performers were Pfizer, Occidental Petroleum, PG&E, DuPont de Nemours and Abiomed.
How did the Fund use derivatives and similar instruments during the Reporting Period?
During the Reporting Period, the Fund did not use derivatives as part of an active management strategy to add value to the Fund’s results. However, equity index futures were used to equitize the Fund’s cash holdings. In other words, we put the Fund’s cash holdings to work by using them as collateral for the purchase of equity index futures. We also used these equity index futures to provide liquidity for daily cash flow requirements. Equity index futures had a neutral impact on the Fund’s performance during the Reporting Period.
Were there any changes to the Fund’s portfolio management team during the Reporting Period?
There were no changes to the Fund’s portfolio management team during the Reporting Period.
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GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
What changes were made to the makeup of the S&P 500® Index during the Reporting Period?
Sixteen stocks were removed from the S&P 500® Index during the Reporting Period. They were Affiliated Managers Group, Anadarko Petroleum, Brighthouse Financial, Celgene, Fluor, Foot Locker, Jefferies Financial Group, Kontoor Brands, Macerich, Mattel, Nektar Therapeutics, Red Hat, SunTrust Banks, Total System Services, TripAdvisor and Viacom. There were 16 stocks added to the S&P 500® Index during the Reporting Period. They were Bemis, CDW, Corteva, Dow, IDEX, Kontoor Brands, Las Vegas Sands, Leidos Holdings, Live Nation Entertainment, NVR, Old Dominion Freight Line, ServiceNow, Steris,T-Mobile US, WR Berkley and Zebra Technologies.
The source of the data included in the above Portfolio Management Discussion and Analysis with respect to the Goldman Sachs Equity Index Fund is FactSet as of 12/31/19.
Characteristics presented are calculated using the month end market value of holdings, except for beta and standard deviation, if shown, which use month end return values. Averages reflect the market weight of securities in the portfolio. Market data, prices, and dividend estimates for characteristics calculations provided by FactSet Research Systems, Inc. All other portfolio data provided by SSgA. Characteristics are as of the date indicated, are subject to change, and should not be relied upon as current thereafter.
Past performance is not a guarantee of future results.
Index returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.
SSgA may have or may seek investment management or other business relationships with companies discussed in this material or affiliates of those companies, such as their officers, directors and pension plans.
The views expressed in this material are the views of SSgA’s Global Equity Beta Solutions Team through the period ended December 31, 2019 and are subject to change based on market and other conditions. All information has been obtained from sources believed to be reliable, but its accuracy is not guaranteed. There is no representation or warranty as to the current accuracy, reliability or completeness of, nor liability for, decisions based on such information and it should not be relied on as such. This document contains certain statements that may be deemed forward-looking statements. Please note that any such statements are not guarantees of any future performance and actual results or developments may differ materially from those projected.
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FUND BASICS
TOP TEN HOLDINGS AS OF 12/31/191
Holding | % of Net Assets | Line of Business | ||||
Apple, Inc. | 4.6% | Technology Hardware & Equipment | ||||
Microsoft Corp. | 4.5 | Software & Services | ||||
Amazon.com, Inc. | 2.9 | Retailing | ||||
Facebook, Inc. Class A | 1.8 | Media & Entertainment | ||||
Berkshire Hathaway, Inc. Class B | 1.6 | Diversified Financials | ||||
JPMorgan Chase & Co. | 1.6 | Banks | ||||
Alphabet, Inc. Class A | 1.5 | Media & Entertainment | ||||
Alphabet, Inc. Class C | 1.5 | Media & Entertainment | ||||
Johnson & Johnson | 1.4 | Pharmaceuticals, Biotechnology & Life Sciences | ||||
Visa, Inc. Class A | 1.2 | Software & Services |
1 | The top 10 holdings may not be representative of the Fund’s future investments. |
FUND VS. BENCHMARK SECTOR ALLOCATIONS2
As of December 31, 2019
2 | The graph categorizes investments using Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding short-term investments, if any). The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
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GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
Performance Summary
December 31, 2019
The following graph shows the value, as of December 31, 2019, of a $10,000 investment made in the Fund on January 1, 2010 at NAV. For comparative purposes, the performance of the Fund’s benchmark, the S&P 500 Index (with distributions reinvested), is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Equity Index Fund’s 10 Year Performance
Performance of a $10,000 investment, with distributions reinvested, from January 1, 2010 through December 31, 2019.
Average Annual Total Return through December 31, 2019 | One Year | Five Years | Ten Years | |||
Equity Index Fund | 30.85% | 11.17% | 13.09% |
10
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND
INVESTMENT OBJECTIVE
The Fund seeks long-term growth of capital.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Growth Investment Team discusses the Goldman Sachs Variable Insurance Trust — Goldman Sachs Growth Opportunities Fund’s (the “Fund”) performance and positioning for the12-month period ended December 31, 2019 (the “Reporting Period”).
How did the Fund perform during the Reporting Period?
During the Reporting Period, the Fund’s Institutional and Service Shares generated average annual total returns of 34.35% and 34.06%, respectively. These returns compare to the 35.47% average annual total return of the Fund’s benchmark, the Russell Midcap® Growth Index (with dividends reinvested) (the “Russell Index”), during the same time period.
What key factors were responsible for the Fund’s performance during the Reporting Period?
During the Reporting Period, the Fund generated robust double-digit absolute gains but slightly underperformed the Russell Index, primarily because of sector positioning. These results were offset somewhat by security selection, which added to relative returns.
Which equity market sectors helped and hurt Fund performance?
Ourbottom-up approach focuses on security selection, and therefore, we do not make active sector-level investment decisions. The Fund’s sector positioning is a result of our stock selection. That said, on a sector level, stock selection in the information technology and financial sectors detracted from relative performance during the Reporting Period. A slight underweight compared to the Russell Index in the energy sector also hurt returns. On the positive side, the Fund benefited from effective stock selection in the consumer discretionary, communication services and health care sectors during the Reporting Period.
Which individual stocks detracted from the Fund’s performance during the Reporting Period?
Slack Technologies, GoDaddy and PTC detracted most from the Fund’s relative returns during the Reporting Period.
The Fund’s leading detractor was Slack Technologies, an operator of a real-time, cloud-based collaboration platform. Its stock price declined, primarily during September 2019 after its management’s weak earnings guidance overshadowed the company’s above-consensus revenue and earnings numbers for the second calendar quarter. At the end of the Reporting Period, we remained confident in the quality of Slack Technologies’ platform and user base. We also thought the company was poised for potential improvement in sales productivity and a broader fundamental rebound.
Shares of web hosting service company GoDaddy slid in early May 2019 following an earnings release in which the company reportedin-line results across all key metrics. In our view, investors were disappointed following a lengthy period of upside surprises. Its stock declined further in August 2019 after the company missed consensus earnings expectations. We decided to eliminate the Fund’s position in GoDaddy and reallocate the capital to what we considered more attractive risk/reward opportunities.
PTC, which develops and provides software-based product management and development solutions, saw its shares fall during July 2019 in response to the company’s quarterly earnings release, which reported bookings growth that was below consensus expectations. These results were widely viewed as an execution miss, driven by the slower than market expected conversion of existing customers from maintenance to subscription plans. We believed PTC’s management had reset investor expectations through this earnings release. In addition, we thought the company stood to benefit from industry growth given its competitive advantage in the production of much of the software we expect to enable industrial automation and connectivity. Furthermore, the company was trading at a compelling valuation relative to its growth opportunity, in our view.
Which individual stocks added to the Fund’s relative performance during the Reporting Period?
During the Reporting Period, the Fund benefited most relative to the Russell Index from its investments in Spark Therapeutics, Marvell Technology Group and Centene.
Commercial gene therapy firm Spark Therapeutics added most to the Fund’s relative performance during the Reporting Period. Its shares spiked in late February 2019 following news that Swiss drug maker Roche Holding planned to acquire the company for
11
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND
approximately $115 per share, representing a total equity value of approximately $5 billion. Its stock price, which had had a market value of slightly less than $2 billion at the market close before the announcement, more than doubled afterwards. As a result, we felt Spark Therapeutics’ valuation had become less attractive. We sold the Fund’s position, taking profits, and reallocated the capital to what we considered to be more appealing risk/reward opportunities.
Marvell Technology Group, an integrated circuit designer, developer and seller, saw its stock rise steadily to start 2019 and then rise even faster in April, as gains came on the back of China trade headlines that boosted the semiconductor industry as a whole. Strong first quarter 2019 results, featuring above consensus revenue and earnings per share and a positive outlook on the future of the firm’s 5G (fifth generation) capabilities, boosted its share price later in the Reporting Period. Marvell Technology Group also announced the sale of its connectivity assets to NXP Semiconductors, marking the divestiture of an arm that offered few synergies to other, stronger segments of the company, a move the market received positively. The deal fits into a broader pattern of strategic transactions Marvell Technology Group’s management has been pursuing. At the end of the Reporting Period, we believed these strategic acquisitions and divestitures, the company’s enhanced positioning in 5G and its improved financial flexibility were indicators of its stock’s potential future performance.
The share price of managed care provider Centene benefited from the solid performance of the managed care industry as a whole. It also was boosted by an encouraging earnings report in October 2019 in which the company announced healthy revenue and earnings growth, forward guidance in line with market expectations and stabilizing cost trends. As the Reporting Period came to an end, we remained constructive on Centene’s footprint in the government-sponsored health care space and saw opportunities for continuedtop-line growth and margin expansion.
Did the Fund make any significant purchases or sales during the Reporting Period?
Among the positions initiated by the Fund during the Reporting Period was an investment in automation and information services company Rockwell Automation. In our opinion, cost cutting and a diverse customer base should help the company counter industrial sector weakness. We also believe Rockwell Automation could potentially benefit from the stabilization of the industrial short cycle as well as from its improved automation offerings. (The industrial short cycle refers to products that move through distribution channels, in contrast to the industrial long cycle that refers to the direct shipping to customers of larger products over multiple years.)
The Fund established a position in O’Reilly Automotive, a specialty retailer and supplier of automotive aftermarket parts, tools, supplies, equipment and accessories to both the“do-it-yourself” customer and professional installers. From our perspective, the company’s business model may benefit from delays in new automobile purchases and the resulting need to keep older vehicles running longer, which tends to accompany an economic slowdown.
In addition to the sale of GoDaddy, already mentioned, the Fund exited its position in Roper Technologies, which designs, manufactures and distributes energy systems and controls, scientific and industrial imaging products and software, industrial technology products and radio frequency products and services. After the company missed quarterly revenue estimates in a report released during July 2019, we reassessed the stock’s risk/reward profile and decided to reallocate the capital elsewhere.
Were there any notable changes in the Fund’s weightings during the Reporting Period?
Changes to the Fund’s sector weightings relative to the Russell Index are due to our stock selection. As a result of these decisions during the Reporting Period, the Fund moved from an underweight in the industrials sector to an overweight position versus the Russell Index. It also shifted from a rather neutral position in the materials sector to an overweight position relative to the Russell Index.
How did the Fund use derivatives and similar instruments during the Reporting Period?
The Fund did not use derivatives or similar instruments within its investment process during the Reporting Period.
Were there any changes to the Fund’s portfolio management team during the Reporting Period?
Effective July 17, 2019, Steven M. Barry becameco-chief investment officer of Goldman Sachs Fundamental Equity U.S. Equity alongside Stephen E. Becker. He also continued to serve as a portfolio manager of the Fund. Also, on July 17, 2019, Jenny Chang became a portfolio manager of the Fund. By design, all investment decisions for the Fund are performed within aco-lead or team structure, with multiple subject matter experts. This strategic decision making has been the cornerstone of our approach and ensures continuity in the Fund. At the end of the Reporting Period, the portfolio managers for the Fund were Steven M. Barry and Jenny Chang.
12
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND
How was the Fund positioned relative to the Russell Index at the end of the Reporting Period?
As mentioned, the Fund’s sector positioning relative to the Russell Index is the result of our stock selection, as we take a purebottom-up, research-intensive approach to investing. From that perspective, then, at the end of the Reporting Period, the Fund’s portfolio was broadly diversified with overweight positions compared to the Russell Index in the health care, consumer staples, industrials and materials sectors. At the end of the Reporting Period, the Fund was relatively neutral compared to the Russell Index in the consumer discretionary, real estate, energy and financials sectors. At the end of the Reporting Period, the Fund was underweight compared to the Russell Index in the information technology and communication services sectors and had no exposure to the utilities sector.
13
FUND BASICS
TOP TEN HOLDINGS AS OF 12/31/191
Holding | % of Net Assets | Line of Business | ||||
Fiserv, Inc. | 3.3% | Software & Services | ||||
Dollar General Corp. | 2.6 | Retailing | ||||
Ingersoll-Rand plc | 2.2 | Capital Goods | ||||
SBA Communications Corp. | 2.1 | Real Estate Investment Trusts | ||||
L3Harris Technologies, Inc. | 2.0 | Capital Goods | ||||
Rockwell Automation, Inc. | 2.0 | Capital Goods | ||||
O’Reilly Automotive, Inc. | 2.0 | Retailing | ||||
Global Payments, Inc. | 1.8 | Software & Services | ||||
Verisk Analytics, Inc. | 1.8 | Commercial & Professional Services | ||||
Splunk, Inc. | 1.7 | Software & Services |
1 | The top 10 holdings may not be representative of the Fund’s future investments. |
14
FUND BASICS
FUND VS. BENCHMARK SECTOR ALLOCATIONS2
As of December 31, 2019
2 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Underlying sector allocations of exchange traded funds and investment companies held by the Fund are not reflected in the graph above. Investments in the securities lending reinvestment vehicle represented 1.1% of the Fund’s net assets at December 31, 2019. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
15
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND
Performance Summary
December 31, 2019
The following graph shows the value, as of December 31, 2019, of a $10,000 investment made on January 1, 2010 in Service Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the Russell Midcap Growth Index (with distributions reinvested), is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Growth Opportunities Fund’s 10 Year Performance
Performance of a $10,000 investment, with distributions reinvested, from January 1, 2010 through December 31, 2019.
Average Annual Total Return through December 31, 2019 | One Year | Five Years | Ten Years | Since Inception | ||||
Institutional (Commenced April 30, 2013) | 34.35% | 9.55% | N/A | 11.78% | ||||
Service | 34.06% | 9.36% | 12.14% | — |
16
GOLDMAN SACHS VARIABLE INSURANCE TRUST HIGH QUALITY FLOATING RATE FUND
INVESTMENT OBJECTIVE
The Fund seeks to provide a high level of current income, consistent with low volatility of principal.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Fixed Income Portfolio Management Team discusses the Goldman Sachs High Quality Floating Rate Fund’s (the “Fund”) performance and positioning for the12-month period ended December 31, 2019 (the “Reporting Period”).
How did the Fund perform during the Reporting Period?
During the Reporting Period, the Fund’s Institutional, Service and Advisor Shares generated average annual total returns of 2.27%, 2.01% and 1.85%, respectively. These returns compare to the 2.28% average annual total return of the Fund’s benchmark, the ICE BofAML Three-Month U.S. Treasury Bill Index (the “ICE BofAML Index”), during the Reporting Period.
We note that the Fund’s benchmark being the ICE BofAML Index is a means of emphasizing that the Fund has an unconstrained strategy. That said, this Fund employs a benchmark agnostic strategy and thus comparisons to a benchmark index are not particularly relevant.
What key factors had the greatest impact on the Fund’s performance during the Reporting Period?
During the Reporting Period, ourtop-down cross-sector strategy contributed positively to the Fund’s relative performance. In our cross-sector strategy, we invest Fund assets based on a discipline of valuing each fixed income sector in the context of all investment opportunities within the Fund’s universe. Individual issue selection also added to relative returns.
The Fund’s combined tactical duration and yield curve positioning detracted from results. Duration is a measure of the Fund’s sensitivity to changes in interest rates. Yield curve is a spectrum of interest rates based on maturities of varying lengths.
Which fixed income market sectors helped or hurt Fund performance during the Reporting Period?
The Fund benefited from our cross-sector strategy, specifically its exposure to collateralized loan obligations (“CLOs”), asset backed securities (“ABS”) and mortgage-backed securities. Positioning among U.S. Treasury securities also added to returns, as spreads, or yield differentials, between U.S. Treasuries of different maturities narrowed.
Individual issue selection also had a positive impact on the Fund’s relative performance during the Reporting Period. Selection in the securitized sector, led by investments in CLOs, was particularly strong. Within the government/swaps sector, individual issue selection of U.S. government securities added to relative performance.
Did the Fund’s duration and yield curve positioning strategy help or hurt its results during the Reporting Period?
The Fund’s combined tactical duration and yield curve positioning detracted from performance. More specifically, the Fund was hurt by its exposure to the three-month segment of the U.S. Treasury yield curve during the Reporting Period.
Were there any notable changes in the Fund’s weightings during the Reporting Period?
During the Reporting Period, we decreased the Fund’s exposure to ABS, maintaining a focus on Federal Family Education Loan Program (“FFELP”) student loan ABS. We also decreased the Fund’s exposure to residential mortgage-backed securities and agency collateralized mortgage obligations. We increased the Fund’s exposure to U.S. Treasuries and increased its exposure to quasi-government securities during the Reporting Period.
How did the Fund use derivatives and similar instruments during the Reporting Period?
As market conditions warranted, the Fund used Treasury futures and Eurodollar futures to hedge interest rate exposure and to facilitate duration management. (Eurodollar futures are contracts that have underlying assets linked to time deposits denominated in U.S. dollars at banks outside the U.S.) During the Reporting Period, the use of futures overall had a negative impact on performance. The Fund also employed fixed and floating interest rate swaps to manage interest risk, which collectively had a negative impact on performance during the Reporting Period.
Were there any changes to the Fund’s portfolio management team during the Reporting Period?
There were no changes to the Fund’s portfolio management team during the Reporting Period.
17
GOLDMAN SACHS VARIABLE INSURANCE TRUST HIGH QUALITY FLOATING RATE FUND
How was the Fund positioned relative to the ICE BofAML Index at the end of the Reporting Period?
At the end of the Reporting Period, the Fund had no exposure to U.S. government securities, which comprise 100% of the ICE BofAML Index. The Fund had positions in ABS, residential mortgage-backed securities, agency collateralized mortgage obligations, quasi-government securities and agency mortgage-backed securities, none of which are represented in the ICE BofAML Index.
18
FUND BASICS
FUND COMPOSITION1
1 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the above graph may not sum to 100% due to the exclusion of other assets and liabilities. Short-Term Investments represent investments in commercial paper. Underlying sector allocations of investment companies held by the Fund are not reflected in the graph above. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
2 | Mortgage-backed securities guaranteed by the Government National Mortgage Association (“GNMA”), the Federal National Mortgage Association (“FNMA”) or the Federal Home Loan Mortgage Corp. (“FHLMC”). GNMA instruments are backed by the full faith and credit of the United States Government. |
3 | “U.S. Government Agency Security” include agency securities offered by companies such as FNMA and Federal Home Loan Bank (“FHLB”) which operate under a government charter. While they are required to report to a government regulator, their assets are not explicitly guaranteed by the government and they otherwise operate like any other publicly traded company. |
For more information about the Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about the Fund’s investment strategies, holdings, and performance.
19
GOLDMAN SACHS VARIABLE INSURANCE TRUST HIGH QUALITY FLOATING RATE FUND
Performance Summary
December 31, 2019
The following graph shows the value, as of December 31, 2019, of a $10,000 investment made on January 1, 2010 in Service Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the ICE BofAML® Three-Month U.S. Treasury Bill Index, is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
High Quality Floating Rate Fund’s 10 Year Performance
Performance of a $10,000 investment, with distributions reinvested, from January 1, 2010 through December 31, 2019.
Average Annual Total Return through December 31, 2019 | One Year | Five Years | Ten Years | Since Inception | ||||
Institutional (Commenced April 30, 2013) | 2.27% | 1.36% | N/A | 1.12% | ||||
Service | 2.01% | 1.11% | 2.00% | — | ||||
Advisor (Commenced October 15, 2014) | 1.85% | 0.97% | N/A | 0.91% |
20
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Index Definitions
Bloomberg Barclays U.S. Aggregate Bond Index represents an unmanaged diversified portfolio of fixed income securities, including U.S. Treasuries, investment-grade corporate bonds and mortgage-backed and asset-backed securities.
ICE BofAML Three-Month U.S. Treasury Bill Index measures total return on cash, including price and interest income, based on short-term government Treasury Bills of about90-day maturity, as reported by Bank of America Merrill Lynch.
Russell Midcap® Growth Index is an unmanaged index that measures the performance of those companies in the Russell Midcap® Index with higherprice-to-book ratios and higher forecasted growth values.
Russell Midcap® Indexmeasures the performance of themid-cap segment of the U.S. equity universe. The Russell Midcap® Index is a subset of the Russell 1000® Index. The Russell Midcap® Index includes approximately 800 of the smallest securities based on a combination of their market cap and current index membership. The Russell Midcap® Index represents approximately 31% of the total market capitalization of the Russell 1000® Index companies. The Russell Midcap® Index is constructed to provide a comprehensive and unbiased barometer for themid-cap segment. The Russell Midcap® Index is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the truemid-cap opportunity set.
Russell 1000® Index measures the performance of thelarge-cap segment of the U.S. equity universe. The Russell 1000® Index is a subset of the Russell 3000® Index and includes approximately 1000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000® Index represents approximately 92% of the U.S. market. The Russell 1000® Index is constructed to provide a comprehensive and unbiased barometer for thelarge-cap segment and is completely reconstituted annually to ensure new and growing equities are reflected.
Russell 2000® Index measures the performance of thesmall-cap segment of the U.S. equity universe. The Russell 2000® Index is a subset of the Russell 3000® Index representing approximately 10% of the total market capitalization of that index. The Russell 2000® Index includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership. The Russell 2000® Index is constructed to provide a comprehensive and unbiasedsmall-cap barometer and is completely reconstituted annually to ensure larger stocks do not distort the performance and characteristics of the truesmall-cap opportunity set.
S&P 500® Index is a U.S. stock market index based on the market capitalizations of 500 large companies having common stock listed on the New York Stock Exchange or NASDAQ. The S&P 500® Index components and their weightings are determined by S&P Dow Jones Indices.
It is not possible to invest directly in an unmanaged index.
21
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Schedule of Investments
December 31, 2019
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||
Corporate Bonds – 35.9% | ||||||||||||
Automobiles & Components – 0.0% | ||||||||||||
General Motors Co. | ||||||||||||
$ | 25,000 | 4.000% | 04/01/2025 | $ | 26,208 | |||||||
|
| |||||||||||
Banks – 9.3% | ||||||||||||
American Express Co.(a) | ||||||||||||
25,000 | 3.625 | 12/05/2024 | 26,486 | |||||||||
Bank of America Corp. | ||||||||||||
75,000 | 4.125 | 01/22/2024 | 80,627 | |||||||||
75,000 | (3 Mo. LIBOR + 0.94%), 3.864(a)(b) | 07/23/2024 | 78,913 | |||||||||
50,000 | 4.200 | 08/26/2024 | 53,693 | |||||||||
45,000 | 3.248(a) | 10/21/2027 | 46,945 | |||||||||
75,000 | (3 Mo. LIBOR + 1.58%), 3.824(a)(b) | 01/20/2028 | 80,533 | |||||||||
25,000 | (3 Mo. LIBOR + 1.37%), 3.593(a)(b) | 07/21/2028 | 26,520 | |||||||||
85,000 | (3 Mo. LIBOR + 1.04%), 3.419(a)(b) | 12/20/2028 | 89,173 | |||||||||
50,000 | (3 Mo. LIBOR + 1.31%), 4.271(a)(b) | 07/23/2029 | 55,537 | |||||||||
50,000 | (3 Mo. LIBOR + 0.01%), 2.884(a)(b) | 10/22/2030 | 50,525 | |||||||||
Bank of America Corp. Series L(a) | ||||||||||||
25,000 | 4.183 | 11/25/2027 | 27,122 | |||||||||
BNP Paribas SA(c) | ||||||||||||
200,000 | 3.375 | 01/09/2025 | 207,645 | |||||||||
BPCE SA | ||||||||||||
300,000 | 2.650 | 02/03/2021 | 302,138 | |||||||||
Citigroup, Inc. | ||||||||||||
220,000 | 3.400 | 05/01/2026 | 231,046 | |||||||||
25,000 | 4.125 | 07/25/2028 | 27,171 | |||||||||
75,000 | (SOFR + 1.42%), 2.976(a)(b) | 11/05/2030 | 76,057 | |||||||||
Credit Suisse Group Funding Guernsey Ltd. | ||||||||||||
250,000 | 4.550 | 04/17/2026 | 277,381 | |||||||||
Deutsche Bank AG | ||||||||||||
115,000 | 2.700 | 07/13/2020 | 115,085 | |||||||||
Discover Financial Services(a) | ||||||||||||
75,000 | 3.750 | 03/04/2025 | 79,387 | |||||||||
Gazprom PJSC | ||||||||||||
240,000 | 4.950 | 03/23/2027 | 267,512 | |||||||||
GE Capital International Funding Co. Unlimited Co. | ||||||||||||
200,000 | 3.373 | 11/15/2025 | 208,179 | |||||||||
General Motors Financial Co., Inc.(a) | ||||||||||||
25,000 | 4.300 | 07/13/2025 | 26,680 | |||||||||
Huntington Bancshares, Inc.(a) | ||||||||||||
50,000 | 4.000 | 05/15/2025 | 54,058 | |||||||||
JPMorgan Chase & Co.(a) | ||||||||||||
200,000 | (3 Mo. LIBOR + 1.00%), 4.023(b) | 12/05/2024 | 213,233 | |||||||||
200,000 | (SOFR + 1.16%), 2.301(b) | 10/15/2025 | 199,772 | |||||||||
100,000 | (3 Mo. LIBOR + 1.25%), 3.960(b) | 01/29/2027 | 108,533 | |||||||||
15,000 | 3.625 | 12/01/2027 | 15,827 | |||||||||
|
| |||||||||||
Corporate Bonds – (continued) | ||||||||||||
Banks – (continued) | ||||||||||||
JPMorgan Chase & Co.(a) – (continued) | ||||||||||||
75,000 | (3 Mo. LIBOR + 1.34%), 3.782%(b) | 02/01/2028 | 80,668 | |||||||||
45,000 | (3 Mo. LIBOR + 0.95%), 3.509(b) | 01/23/2029 | 47,727 | |||||||||
JPMorgan Chase & Co. Series Z(a)(b) | ||||||||||||
85,000 | (3 Mo. LIBOR + 3.80%), 5.300 | 12/31/2049 | 85,784 | |||||||||
Mizuho Financial Group, Inc. | ||||||||||||
250,000 | 2.601 | 09/11/2022 | 253,106 | |||||||||
Morgan Stanley | ||||||||||||
50,000 | (3 Mo. LIBOR + 1.40%), 3.336(a)(b) | 10/24/2023 | 51,075 | |||||||||
50,000 | (3 Mo. LIBOR + 0.85%), 3.737(a)(b) | 04/24/2024 | 52,225 | |||||||||
225,000 | 3.700 | 10/23/2024 | 238,848 | |||||||||
75,000 | (SOFR + 1.15%), 2.720(a)(b) | 07/22/2025 | 76,062 | |||||||||
25,000 | 3.625 | 01/20/2027 | 26,611 | |||||||||
50,000 | 3.950 | 04/23/2027 | 53,504 | |||||||||
100,000 | (3 Mo. LIBOR + 1.63%), 4.431(a)(b) | 01/23/2030 | 112,990 | |||||||||
Nuveen LLC(a)(c) | ||||||||||||
25,000 | 4.000 | 11/01/2028 | 27,806 | |||||||||
Royal Bank of Canada(b) | ||||||||||||
50,000 | (3 Mo. LIBOR + 0.39%), 2.325 | 04/30/2021 | 50,152 | |||||||||
Royal Bank of Scotland Group plc | ||||||||||||
200,000 | 3.875 | 09/12/2023 | 209,313 | |||||||||
Santander UK plc | ||||||||||||
200,000 | 2.875 | 06/18/2024 | 204,298 | |||||||||
Standard Chartered plc(a)(b)(c) | ||||||||||||
200,000 | (3 Mo. LIBOR + 1.15%), 4.247 | 01/20/2023 | 207,100 | |||||||||
Wells Fargo & Co. | ||||||||||||
175,000 | 3.000 | 10/23/2026 | 179,405 | |||||||||
50,000 | 4.300 | 07/22/2027 | 54,713 | |||||||||
Westpac Banking Corp.(a)(b) | ||||||||||||
25,000 | (5 Yr. Swap Rate + 2.24%), 4.322 | 11/23/2031 | 26,433 | |||||||||
50,000 | (US Treasury Yield Curve RateT-Note Constant Maturity 5 Yr. + 2.00%), 4.110 | 07/24/2034 | 52,465 | |||||||||
|
| |||||||||||
5,116,063 | ||||||||||||
|
| |||||||||||
Capital Goods – 1.6% | ||||||||||||
Air Lease Corp.(a) | ||||||||||||
75,000 | 3.750 | 06/01/2026 | 78,444 | |||||||||
Boeing Co. (The)(a) | ||||||||||||
50,000 | 3.450 | 11/01/2028 | 53,005 | |||||||||
Northrop Grumman Corp. | ||||||||||||
75,000 | 2.930(a) | 01/15/2025 | 77,269 | |||||||||
75,000 | 3.250(a) | 01/15/2028 | 78,174 | |||||||||
25,000 | 4.750 | 06/01/2043 | 30,103 | |||||||||
|
|
22 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Corporate Bonds – (continued) | ||||||||||||||
Capital Goods – (continued) | ||||||||||||||
Roper Technologies, Inc.(a) | ||||||||||||||
$ | 50,000 | 4.200% | 09/15/2028 | $ | 54,732 | |||||||||
Stanley Black & Decker, Inc.(a) | ||||||||||||||
50,000 | 4.250 | 11/15/2028 | 56,312 | |||||||||||
United Technologies Corp.(a) | ||||||||||||||
25,000 | | (3 Mo. LIBOR + 0.65%), 2.554(b) |
| 08/16/2021 | 25,021 | |||||||||
25,000 | 3.350 | 08/16/2021 | 25,596 | |||||||||||
50,000 | 3.950 | 08/16/2025 | 54,546 | |||||||||||
225,000 | 2.650 | 11/01/2026 | 230,528 | |||||||||||
50,000 | 4.125 | 11/16/2028 | 56,255 | |||||||||||
25,000 | 4.050 | 05/04/2047 | 28,295 | |||||||||||
25,000 | 4.625 | 11/16/2048 | 31,210 | |||||||||||
|
| |||||||||||||
879,490 | ||||||||||||||
|
| |||||||||||||
Commercial & Professional Services(a) – 0.3% | ||||||||||||||
IHS Markit Ltd. | ||||||||||||||
75,000 | 4.250 | 05/01/2029 | 81,097 | |||||||||||
Republic Services, Inc. | ||||||||||||||
75,000 | 2.500 | 08/15/2024 | 75,865 | |||||||||||
|
| |||||||||||||
156,962 | ||||||||||||||
|
| |||||||||||||
Consumer Services(a) – 0.3% | ||||||||||||||
Marriott International, Inc. | ||||||||||||||
85,000 | 2.300 | 01/15/2022 | 85,290 | |||||||||||
Starbucks Corp. | ||||||||||||||
75,000 | 3.800 | 08/15/2025 | 80,918 | |||||||||||
|
| |||||||||||||
166,208 | ||||||||||||||
|
| |||||||||||||
Electric – 2.0% | ||||||||||||||
Alliant Energy Finance LLC(a)(c) | ||||||||||||||
25,000 | 3.750 | 06/15/2023 | 26,139 | |||||||||||
Arizona Public Service Co.(a) | ||||||||||||||
45,000 | 2.950 | 09/15/2027 | 45,997 | |||||||||||
Berkshire Hathaway Energy Co.(a) | ||||||||||||||
25,000 | 3.250 | 04/15/2028 | 26,341 | |||||||||||
Dominion Energy, Inc. | ||||||||||||||
50,000 | 3.071 | 08/15/2024 | 51,144 | |||||||||||
Emera US Finance LP(a) | ||||||||||||||
45,000 | 2.700 | 06/15/2021 | 45,389 | |||||||||||
Entergy Corp.(a) | ||||||||||||||
45,000 | 2.950 | 09/01/2026 | 45,697 | |||||||||||
Exelon Corp.(a) | ||||||||||||||
45,000 | 3.497 | 06/01/2022 | 46,171 | |||||||||||
Florida Power & Light Co.(a) | ||||||||||||||
68,000 | 4.125 | 02/01/2042 | 77,650 | |||||||||||
MidAmerican Energy Co.(a) | ||||||||||||||
25,000 | 3.650 | 04/15/2029 | 27,316 | |||||||||||
NiSource, Inc.(a) | ||||||||||||||
50,000 | 3.650 | 06/15/2023 | 52,005 | |||||||||||
95,000 | 3.490 | 05/15/2027 | 99,799 | |||||||||||
NRG Energy, Inc.(a)(c) | ||||||||||||||
75,000 | 3.750 | 06/15/2024 | 77,518 | |||||||||||
Progress Energy, Inc. | ||||||||||||||
120,000 | 7.000 | 10/30/2031 | 163,837 | |||||||||||
|
| |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||
Electric – (continued) | ||||||||||||||
Sempra Energy(a)(b) | ||||||||||||||
70,000 | | (3 Mo. LIBOR + 0.50%), 2.501 |
| 01/15/2021 | 70,011 | |||||||||
Southern California Edison Co. Series A(a) | ||||||||||||||
50,000 | 4.200 | 03/01/2029 | 54,995 | |||||||||||
Southern Co. (The)(a) | ||||||||||||||
60,000 | 3.250 | 07/01/2026 | 62,243 | |||||||||||
Vistra Operations Co. LLC(a)(c) | ||||||||||||||
125,000 | 3.550 | 07/15/2024 | 127,097 | |||||||||||
|
| |||||||||||||
1,099,349 | ||||||||||||||
|
| |||||||||||||
Energy – 3.3% | ||||||||||||||
BP Capital Markets America, Inc.(a) | ||||||||||||||
75,000 | 3.224 | 04/14/2024 | 78,187 | |||||||||||
25,000 | 4.234 | 11/06/2028 | 28,261 | |||||||||||
Cenovus Energy, Inc.(a) | ||||||||||||||
25,000 | 4.250 | 04/15/2027 | 26,444 | |||||||||||
Continental Resources, Inc.(a) | ||||||||||||||
150,000 | 4.500 | 04/15/2023 | 157,186 | |||||||||||
Devon Energy Corp.(a) | ||||||||||||||
29,000 | 5.850 | 12/15/2025 | 34,374 | |||||||||||
25,000 | 5.600 | 07/15/2041 | 30,436 | |||||||||||
5,000 | 4.750 | 05/15/2042 | 5,572 | |||||||||||
Energy Transfer Operating LP(a) | ||||||||||||||
25,000 | 4.650 | 06/01/2021 | 25,682 | |||||||||||
75,000 | 4.200 | 09/15/2023 | 78,777 | |||||||||||
25,000 | 5.250 | 04/15/2029 | 28,110 | |||||||||||
25,000 | 5.300 | 04/15/2047 | 26,662 | |||||||||||
25,000 | 6.000 | 06/15/2048 | 29,099 | |||||||||||
Enterprise Products Operating LLC(a)(b) | ||||||||||||||
40,000 | | (3 Mo. LIBOR + 2.78%), 4.684 |
| 06/01/2067 | 37,907 | |||||||||
EQM Midstream Partners LP(a) | ||||||||||||||
100,000 | 4.750 | 07/15/2023 | 100,322 | |||||||||||
25,000 | 5.500 | 07/15/2028 | 24,560 | |||||||||||
Kinder Morgan Energy Partners LP(a) | ||||||||||||||
25,000 | 5.400 | 09/01/2044 | 28,614 | |||||||||||
Marathon Oil Corp.(a) | ||||||||||||||
25,000 | 4.400 | 07/15/2027 | 27,183 | |||||||||||
Marathon Petroleum Corp.(a) | ||||||||||||||
25,000 | 3.625 | 09/15/2024 | 26,223 | |||||||||||
25,000 | 3.800 | 04/01/2028 | 26,249 | |||||||||||
MPLX LP(a) | ||||||||||||||
25,000 | 4.800 | 02/15/2029 | 27,425 | |||||||||||
35,000 | 4.500 | 04/15/2038 | 35,615 | |||||||||||
25,000 | 5.500 | 02/15/2049 | 28,281 | |||||||||||
Newfield Exploration Co. | ||||||||||||||
50,000 | 5.625 | 07/01/2024 | 55,000 | |||||||||||
Noble Energy, Inc.(a) | ||||||||||||||
50,000 | 3.250 | 10/15/2029 | 50,539 | |||||||||||
Occidental Petroleum Corp. | ||||||||||||||
225,000 | 2.900(a) | 08/15/2024 | 228,453 | |||||||||||
15,000 | 5.550(a) | 03/15/2026 | 17,021 | |||||||||||
25,000 | 3.200(a) | 08/15/2026 | 25,273 | |||||||||||
30,000 | 6.450 | 09/15/2036 | 36,747 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 23 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Schedule of Investments(continued)
December 31, 2019
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Corporate Bonds – (continued) | ||||||||||||||
Energy – (continued) | ||||||||||||||
Petroleos Mexicanos | ||||||||||||||
$ | 20,000 | 4.500% | 01/23/2026 | $ | 19,878 | |||||||||
20,000 | 6.490(a)(c) | 01/23/2027 | 21,300 | |||||||||||
10,000 | 6.500 | 03/13/2027 | 10,595 | |||||||||||
20,000 | 6.750 | 09/21/2047 | 20,175 | |||||||||||
30,000 | 7.690(a)(c) | 01/23/2050 | 32,871 | |||||||||||
Phillips 66(a) | ||||||||||||||
60,000 | 3.900 | 03/15/2028 | 65,420 | |||||||||||
Pioneer Natural Resources Co.(a) | ||||||||||||||
25,000 | 3.950 | 07/15/2022 | 25,975 | |||||||||||
Plains All American Pipeline LP(a) | ||||||||||||||
15,000 | 3.650 | 06/01/2022 | 15,401 | |||||||||||
35,000 | 3.850 | 10/15/2023 | 36,232 | |||||||||||
Sabine Pass Liquefaction LLC(a) | ||||||||||||||
75,000 | 5.625 | 03/01/2025 | 84,215 | |||||||||||
75,000 | 5.000 | 03/15/2027 | 82,593 | |||||||||||
Total Capital International SA(a) | ||||||||||||||
25,000 | 3.461 | 07/12/2049 | 26,356 | |||||||||||
Western Midstream Operating LP(a) | ||||||||||||||
25,000 | 5.450 | 04/01/2044 | 22,018 | |||||||||||
25,000 | 5.300 | 03/01/2048 | 21,689 | |||||||||||
|
| |||||||||||||
1,808,920 | ||||||||||||||
|
| |||||||||||||
Food & Beverage(a) – 2.0% | ||||||||||||||
Anheuser-Busch Cos. LLC | ||||||||||||||
35,000 | 4.700 | 02/01/2036 | 40,378 | |||||||||||
210,000 | 4.900 | 02/01/2046 | 249,307 | |||||||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||||||||
350,000 | 4.750 | 01/23/2029 | 405,743 | |||||||||||
25,000 | 5.550 | 01/23/2049 | 32,414 | |||||||||||
Constellation Brands, Inc. | ||||||||||||||
75,000 | | (3 Mo. LIBOR + 0.70%), 2.610(b) |
| 11/15/2021 | 75,110 | |||||||||
50,000 | 4.400 | 11/15/2025 | 54,616 | |||||||||||
25,000 | 3.700 | 12/06/2026 | 26,537 | |||||||||||
50,000 | 3.600 | 02/15/2028 | 52,594 | |||||||||||
25,000 | 3.150 | 08/01/2029 | 25,311 | |||||||||||
Keurig Dr Pepper, Inc. | ||||||||||||||
50,000 | 4.057 | 05/25/2023 | 52,800 | |||||||||||
Mars, Inc.(c) | ||||||||||||||
25,000 | 2.700 | 04/01/2025 | 25,577 | |||||||||||
25,000 | 3.200 | 04/01/2030 | 26,458 | |||||||||||
Tyson Foods, Inc. | ||||||||||||||
50,000 | 3.900 | 09/28/2023 | 52,917 | |||||||||||
|
| |||||||||||||
1,119,762 | ||||||||||||||
|
| |||||||||||||
Health Care Equipment & Services – 1.6% | ||||||||||||||
Becton Dickinson and Co.(a) | ||||||||||||||
93,000 | | (3 Mo. LIBOR + 0.88%), 2.836(b) |
| 12/29/2020 | 93,032 | |||||||||
45,000 | 2.894 | 06/06/2022 | 45,717 | |||||||||||
25,000 | 3.363 | 06/06/2024 | 26,021 | |||||||||||
40,000 | 3.700 | 06/06/2027 | 42,573 | |||||||||||
Centene Corp.(a)(c) | ||||||||||||||
150,000 | 4.250 | 12/15/2027 | 154,450 | |||||||||||
|
| |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||
Health Care Equipment & Services – (continued) | ||||||||||||||
Cigna Corp.(a) | ||||||||||||||
150,000 | 3.750% | 07/15/2023 | 157,381 | |||||||||||
50,000 | 4.900 | 12/15/2048 | 59,656 | |||||||||||
CVS Health Corp.(a) | ||||||||||||||
75,000 | 3.500 | 07/20/2022 | 77,409 | |||||||||||
50,000 | 3.700 | 03/09/2023 | 52,058 | |||||||||||
50,000 | 3.875 | 07/20/2025 | 53,290 | |||||||||||
50,000 | 5.050 | 03/25/2048 | 59,180 | |||||||||||
UnitedHealth Group, Inc. | ||||||||||||||
35,000 | 4.625 | 07/15/2035 | 42,423 | |||||||||||
|
| |||||||||||||
863,190 | ||||||||||||||
|
| |||||||||||||
Life Insurance(a) – 0.5% | ||||||||||||||
American International Group, Inc. | ||||||||||||||
125,000 | 3.900 | 04/01/2026 | 133,893 | |||||||||||
25,000 | 4.200 | 04/01/2028 | 27,523 | |||||||||||
Marsh & McLennan Cos., Inc. | ||||||||||||||
50,000 | 4.375 | 03/15/2029 | 56,983 | |||||||||||
Principal Financial Group, Inc. | ||||||||||||||
50,000 | 3.100 | 11/15/2026 | 51,686 | |||||||||||
|
| |||||||||||||
270,085 | ||||||||||||||
|
| |||||||||||||
Materials – 0.4% | ||||||||||||||
DuPont de Nemours, Inc.(a) | ||||||||||||||
50,000 | 4.205 | 11/15/2023 | 53,457 | |||||||||||
50,000 | 4.493 | 11/15/2025 | 55,020 | |||||||||||
Ecolab, Inc. | ||||||||||||||
4,000 | 5.500 | 12/08/2041 | 5,220 | |||||||||||
Huntsman International LLC(a) | ||||||||||||||
25,000 | 4.500 | 05/01/2029 | 26,581 | |||||||||||
Sherwin-Williams Co. (The)(a) | ||||||||||||||
25,000 | 3.450 | 06/01/2027 | 26,439 | |||||||||||
50,000 | 2.950 | 08/15/2029 | 50,681 | |||||||||||
|
| |||||||||||||
217,398 | ||||||||||||||
|
| |||||||||||||
Media & Entertainment – 1.9% | ||||||||||||||
Charter Communications Operating LLC(a) | ||||||||||||||
92,000 | 4.500 | 02/01/2024 | 98,955 | |||||||||||
220,000 | 4.908 | 07/23/2025 | 242,414 | |||||||||||
Comcast Corp.(a) | ||||||||||||||
50,000 | 3.700 | 04/15/2024 | 53,280 | |||||||||||
45,000 | 3.375 | 08/15/2025 | 47,762 | |||||||||||
50,000 | 3.950 | 10/15/2025 | 54,555 | |||||||||||
25,000 | 3.300 | 02/01/2027 | 26,429 | |||||||||||
225,000 | 3.150 | 02/15/2028 | 235,798 | |||||||||||
125,000 | 4.150 | 10/15/2028 | 140,622 | |||||||||||
25,000 | 4.250 | 10/15/2030 | 28,611 | |||||||||||
Fox Corp.(a)(c) | ||||||||||||||
25,000 | 4.030 | 01/25/2024 | 26,630 | |||||||||||
25,000 | 4.709 | 01/25/2029 | 28,498 | |||||||||||
Time Warner Cable LLC | ||||||||||||||
15,000 | 5.000 | 02/01/2020 | 15,028 | |||||||||||
Walt Disney Co. (The)(a) | ||||||||||||||
25,000 | 3.700 | 09/15/2024 | 26,717 | |||||||||||
|
| |||||||||||||
1,025,299 | ||||||||||||||
|
|
24 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Corporate Bonds – (continued) | ||||||||||||||
Metals and Mining(c) – 0.2% | ||||||||||||||
Glencore Funding LLC | ||||||||||||||
$ | 75,000 | 4.125%(a) | 03/12/2024 | $ | 78,562 | |||||||||
25,000 | 4.625 | 04/29/2024 | 26,688 | |||||||||||
|
| |||||||||||||
105,250 | ||||||||||||||
|
| |||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences – 2.6% | ||||||||||||||
AbbVie, Inc. | ||||||||||||||
75,000 | 3.375 | 11/14/2021 | 76,900 | |||||||||||
50,000 | 3.750(a) | 11/14/2023 | 52,614 | |||||||||||
125,000 | 4.050(a)(c) | 11/21/2039 | 131,004 | |||||||||||
175,000 | 4.250(a)(c) | 11/21/2049 | 185,178 | |||||||||||
Amgen, Inc.(a) | ||||||||||||||
70,000 | 3.125 | 05/01/2025 | 73,001 | |||||||||||
Bayer US Finance II LLC(a)(c) | ||||||||||||||
200,000 | 3.875 | 12/15/2023 | 209,971 | |||||||||||
Bayer US Finance LLC(c) | ||||||||||||||
200,000 | 3.000 | 10/08/2021 | 202,728 | |||||||||||
Bristol-Myers Squibb Co.(a)(c) | ||||||||||||||
150,000 | 3.875 | 08/15/2025 | 162,157 | |||||||||||
DH Europe Finance II Sarl(a) | ||||||||||||||
75,000 | 2.200 | 11/15/2024 | 75,107 | |||||||||||
25,000 | 2.600 | 11/15/2029 | 24,928 | |||||||||||
Elanco Animal Health, Inc. | ||||||||||||||
50,000 | 3.912 | 08/27/2021 | 51,239 | |||||||||||
25,000 | 4.272(a) | 08/28/2023 | 26,406 | |||||||||||
Pfizer, Inc.(a) | ||||||||||||||
75,000 | 3.450 | 03/15/2029 | 80,652 | |||||||||||
Thermo Fisher Scientific, Inc.(a) | ||||||||||||||
35,000 | 3.000 | 04/15/2023 | 35,932 | |||||||||||
15,000 | 3.650 | 12/15/2025 | 16,115 | |||||||||||
Zoetis, Inc.(a) | ||||||||||||||
45,000 | 3.000 | 09/12/2027 | 46,105 | |||||||||||
|
| |||||||||||||
1,450,037 | ||||||||||||||
|
| |||||||||||||
Pipelines(a) – 0.3% | ||||||||||||||
Columbia Pipeline Group, Inc. | ||||||||||||||
35,000 | 3.300 | 06/01/2020 | 35,103 | |||||||||||
Sunoco Logistics Partners Operations LP | ||||||||||||||
15,000 | 4.250 | 04/01/2024 | 15,742 | |||||||||||
Williams Cos., Inc. (The) | ||||||||||||||
25,000 | 3.600 | 03/15/2022 | 25,677 | |||||||||||
25,000 | 3.900 | 01/15/2025 | 26,272 | |||||||||||
35,000 | 4.000 | 09/15/2025 | 37,098 | |||||||||||
|
| |||||||||||||
139,892 | ||||||||||||||
|
| |||||||||||||
Property/Casualty Insurance – 0.2% | ||||||||||||||
Arch Capital Group US, Inc. | ||||||||||||||
36,000 | 5.144 | 11/01/2043 | 44,014 | |||||||||||
XLIT Ltd. | ||||||||||||||
45,000 | 4.450 | 03/31/2025 | 49,038 | |||||||||||
|
| |||||||||||||
93,052 | ||||||||||||||
|
| |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||
Real Estate Investment Trusts(a) – 1.8% | ||||||||||||||
Alexandria Real Estate Equities, Inc. | ||||||||||||||
25,000 | 3.800% | 04/15/2026 | 26,704 | |||||||||||
25,000 | 3.375 | 08/15/2031 | 26,034 | |||||||||||
American Campus Communities Operating Partnership LP | ||||||||||||||
95,000 | 4.125 | 07/01/2024 | 101,456 | |||||||||||
American Homes 4 Rent LP | ||||||||||||||
50,000 | 4.900 | 02/15/2029 | 55,911 | |||||||||||
American Tower Corp. | ||||||||||||||
75,000 | 3.375 | 05/15/2024 | 77,874 | |||||||||||
Crown Castle International Corp. | ||||||||||||||
25,000 | 2.250 | 09/01/2021 | 25,077 | |||||||||||
85,000 | 3.150 | 07/15/2023 | 87,344 | |||||||||||
60,000 | 3.650 | 09/01/2027 | 63,509 | |||||||||||
CubeSmart LP | ||||||||||||||
45,000 | 4.000 | 11/15/2025 | 47,990 | |||||||||||
Essex Portfolio LP | ||||||||||||||
50,000 | 3.000 | 01/15/2030 | 50,450 | |||||||||||
Kilroy Realty LP | ||||||||||||||
25,000 | 4.750 | 12/15/2028 | 28,325 | |||||||||||
National Retail Properties, Inc. | ||||||||||||||
45,000 | 4.000 | 11/15/2025 | 48,298 | |||||||||||
Office Properties Income Trust | ||||||||||||||
25,000 | 3.600 | 02/01/2020 | 25,000 | |||||||||||
Regency Centers LP | ||||||||||||||
100,000 | 2.950 | 09/15/2029 | 99,787 | |||||||||||
Spirit Realty LP | ||||||||||||||
75,000 | 3.400 | 01/15/2030 | 75,255 | |||||||||||
Ventas Realty LP | ||||||||||||||
45,000 | 3.500 | 02/01/2025 | 46,987 | |||||||||||
VEREIT Operating Partnership LP | ||||||||||||||
50,000 | 4.625 | 11/01/2025 | 54,754 | |||||||||||
25,000 | 3.950 | 08/15/2027 | 26,280 | |||||||||||
WP Carey, Inc. | ||||||||||||||
25,000 | 3.850 | 07/15/2029 | 26,385 | |||||||||||
|
| |||||||||||||
993,420 | ||||||||||||||
|
| |||||||||||||
Retailing(a) – 1.3% | ||||||||||||||
Alimentation Couche-Tard, Inc.(c) | ||||||||||||||
45,000 | 2.700 | 07/26/2022 | 45,497 | |||||||||||
Amazon.com, Inc. | ||||||||||||||
335,000 | 5.200 | 12/03/2025 | 390,790 | |||||||||||
45,000 | 4.800 | 12/05/2034 | 56,610 | |||||||||||
15,000 | 3.875 | 08/22/2037 | 16,975 | |||||||||||
Dollar Tree, Inc. | ||||||||||||||
50,000 | 4.000 | 05/15/2025 | 53,423 | |||||||||||
50,000 | 4.200 | 05/15/2028 | 53,652 | |||||||||||
Expedia Group, Inc. | ||||||||||||||
35,000 | 3.800 | 02/15/2028 | 35,687 | |||||||||||
Home Depot, Inc. (The) | ||||||||||||||
25,000 | 3.900 | 12/06/2028 | 28,002 | |||||||||||
25,000 | 4.250 | 04/01/2046 | 29,398 | |||||||||||
|
| |||||||||||||
710,034 | ||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 25 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Schedule of Investments(continued)
December 31, 2019
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Corporate Bonds – (continued) | ||||||||||||||
Software & Services(a) – 0.7% | ||||||||||||||
Fiserv, Inc. | ||||||||||||||
$ | 25,000 | 3.800% | 10/01/2023 | $ | 26,401 | |||||||||
100,000 | 2.750 | 07/01/2024 | 101,886 | |||||||||||
50,000 | 3.200 | 07/01/2026 | 51,848 | |||||||||||
25,000 | 4.200 | 10/01/2028 | 27,628 | |||||||||||
Global Payments, Inc. | ||||||||||||||
50,000 | 2.650 | 02/15/2025 | 50,271 | |||||||||||
25,000 | 3.200 | 08/15/2029 | 25,460 | |||||||||||
PayPal Holdings, Inc. | ||||||||||||||
125,000 | 2.650 | 10/01/2026 | 126,649 | |||||||||||
|
| |||||||||||||
410,143 | ||||||||||||||
|
| |||||||||||||
Technology – 2.3% | ||||||||||||||
Apple, Inc.(a) | ||||||||||||||
325,000 | 2.450 | 08/04/2026 | 329,631 | |||||||||||
Broadcom Corp.(a) | ||||||||||||||
125,000 | 3.625 | 01/15/2024 | 129,451 | |||||||||||
50,000 | 3.125 | 01/15/2025 | 50,679 | |||||||||||
Broadcom, Inc.(c) | ||||||||||||||
100,000 | 3.125 | 10/15/2022 | 101,949 | |||||||||||
75,000 | 3.625(a) | 10/15/2024 | 77,863 | |||||||||||
150,000 | 4.250(a) | 04/15/2026 | 159,614 | |||||||||||
Dell International LLC(a)(c) | ||||||||||||||
70,000 | 5.450 | 06/15/2023 | 75,897 | |||||||||||
100,000 | 6.020 | 06/15/2026 | 115,378 | |||||||||||
Hewlett Packard Enterprise Co.(a) | ||||||||||||||
45,000 | 4.900 | 10/15/2025 | 50,044 | |||||||||||
25,000 | 6.350 | 10/15/2045 | 30,168 | |||||||||||
Microchip Technology, Inc. | ||||||||||||||
25,000 | 3.922 | 06/01/2021 | 25,543 | |||||||||||
Oracle Corp.(a) | ||||||||||||||
70,000 | 2.500 | 05/15/2022 | 71,026 | |||||||||||
QUALCOMM, Inc.(a) | ||||||||||||||
25,000 | 2.600 | 01/30/2023 | 25,433 | |||||||||||
|
| |||||||||||||
1,242,676 | ||||||||||||||
|
| |||||||||||||
Tobacco(a) – 0.2% | ||||||||||||||
Altria Group, Inc. | ||||||||||||||
75,000 | 3.800 | 02/14/2024 | 78,915 | |||||||||||
BAT Capital Corp. | ||||||||||||||
25,000 | 3.222 | 08/15/2024 | 25,554 | |||||||||||
25,000 | 4.540 | 08/15/2047 | 25,066 | |||||||||||
|
| |||||||||||||
129,535 | ||||||||||||||
|
| |||||||||||||
Transportation – 0.6% | ||||||||||||||
Avolon Holdings Funding Ltd.(a)(c) | ||||||||||||||
25,000 | 3.950 | 07/01/2024 | 26,083 | |||||||||||
Burlington Northern Santa Fe LLC(a) | ||||||||||||||
25,000 | 4.050 | 06/15/2048 | 28,350 | |||||||||||
Delta Air Lines, Inc. | ||||||||||||||
150,000 | 3.400 | 04/19/2021 | 151,801 | |||||||||||
FedEx Corp.(a) | ||||||||||||||
45,000 | 3.400 | 02/15/2028 | 45,912 | |||||||||||
Penske Truck Leasing Co. LP(a)(c) | ||||||||||||||
70,000 | 3.375 | 02/01/2022 | 71,461 | |||||||||||
|
| |||||||||||||
323,607 | ||||||||||||||
|
| |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||
Wireless Telecommunications – 2.5% | ||||||||||||||
American Tower Corp. | ||||||||||||||
45,000 | 4.700 | 03/15/2022 | 47,452 | |||||||||||
AT&T, Inc. | ||||||||||||||
60,000 | 3.200(a) | 03/01/2022 | 61,422 | |||||||||||
80,000 | 3.800 | 03/15/2022 | 83,008 | |||||||||||
50,000 | 3.000(a) | 06/30/2022 | 51,075 | |||||||||||
195,000 | 3.400(a) | 05/15/2025 | 204,346 | |||||||||||
25,000 | 3.600(a) | 07/15/2025 | 26,442 | |||||||||||
110,000 | 4.250(a) | 03/01/2027 | 120,672 | |||||||||||
25,000 | 4.900(a) | 08/15/2037 | 28,849 | |||||||||||
25,000 | 4.750(a) | 05/15/2046 | 28,213 | |||||||||||
25,000 | 5.150(a) | 11/15/2046 | 29,879 | |||||||||||
50,000 | 4.500(a) | 03/09/2048 | 55,260 | |||||||||||
Verizon Communications, Inc. | ||||||||||||||
25,000 | 3.376 | 02/15/2025 | 26,443 | |||||||||||
25,000 | 2.625 | 08/15/2026 | 25,390 | |||||||||||
145,000 | 4.329 | 09/21/2028 | 164,285 | |||||||||||
200,000 | 3.875(a) | 02/08/2029 | 220,601 | |||||||||||
62,000 | 5.012 | 04/15/2049 | 79,196 | |||||||||||
Vodafone Group plc | ||||||||||||||
100,000 | 3.750 | 01/16/2024 | 105,585 | |||||||||||
|
| |||||||||||||
1,358,118 | ||||||||||||||
|
| |||||||||||||
TOTAL CORPORATE BONDS | ||||||||||||||
(Cost $18,865,554) | $ | 19,704,698 | ||||||||||||
|
| |||||||||||||
Mortgage-Backed Securities – 48.0% | ||||||||||||||
FHLMC – 0.8% | ||||||||||||||
$ | 2,783 | 4.500% | 07/01/2024 | $ | 2,902 | |||||||||
17,231 | 4.500 | 11/01/2024 | 17,975 | |||||||||||
3,828 | 4.500 | 12/01/2024 | 3,996 | |||||||||||
6,765 | 7.500 | 12/01/2029 | 7,873 | |||||||||||
1,880 | 5.000 | 10/01/2033 | 2,067 | |||||||||||
3,080 | 5.000 | 07/01/2035 | 3,414 | |||||||||||
4,214 | 5.000 | 12/01/2035 | 4,647 | |||||||||||
867 | 5.000 | 03/01/2038 | 959 | |||||||||||
2,360 | 5.000 | 06/01/2041 | 2,588 | |||||||||||
373,849 | 4.000 | 10/01/2048 | 397,155 | |||||||||||
|
| |||||||||||||
443,576 | ||||||||||||||
|
| |||||||||||||
GNMA – 15.5% | ||||||||||||||
1,278 | 7.000 | 10/15/2025 | 1,289 | |||||||||||
5,405 | 7.000 | 11/15/2025 | 5,689 | |||||||||||
743 | 7.000 | 02/15/2026 | 752 | |||||||||||
2,553 | 7.000 | 04/15/2026 | 2,673 | |||||||||||
2,562 | 7.000 | 03/15/2027 | 2,698 | |||||||||||
15,878 | 7.000 | 11/15/2027 | 16,245 | |||||||||||
6,682 | 7.000 | 02/15/2028 | 7,159 | |||||||||||
1,506 | 7.000 | 03/15/2028 | 1,516 | |||||||||||
840 | 7.000 | 04/15/2028 | 845 | |||||||||||
111 | 7.000 | 05/15/2028 | 120 | |||||||||||
2,512 | 7.000 | 06/15/2028 | 2,696 | |||||||||||
4,009 | 7.000 | 07/15/2028 | 4,306 | |||||||||||
9,656 | 7.000 | 09/15/2028 | 10,226 | |||||||||||
|
|
26 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Mortgage-Backed Securities – (continued) | ||||||||||||||
GNMA – (continued) | ||||||||||||||
$ | 1,876 | 7.000 % | 11/15/2028 | $ | 1,966 | |||||||||
924 | 7.500 | 11/15/2030 | 925 | |||||||||||
99,141 | 6.000 | 08/20/2034 | 112,462 | |||||||||||
94,074 | 5.000 | 06/15/2040 | 102,805 | |||||||||||
446,074 | 4.000 | 08/20/2043 | 473,093 | |||||||||||
208,781 | 4.000 | 10/20/2045 | 219,992 | |||||||||||
633,317 | 4.500 | 09/20/2048 | 666,335 | |||||||||||
726,264 | 5.000 | 10/20/2048 | 769,454 | |||||||||||
2,906,625 | 4.500 | 01/20/2049 | 3,045,900 | |||||||||||
3,000,000 | 3.000 | TBA-30yr | (d) | 3,081,630 | ||||||||||
|
| |||||||||||||
8,530,776 | ||||||||||||||
|
| |||||||||||||
UMBS – 22.4% | ||||||||||||||
261 | 5.000 | 06/01/2023 | 270 | |||||||||||
20,340 | 5.500 | 09/01/2023 | 21,064 | |||||||||||
6,018 | 5.500 | 10/01/2023 | 6,233 | |||||||||||
1,253 | 4.500 | 07/01/2024 | 1,302 | |||||||||||
40,023 | 4.500 | 11/01/2024 | 41,691 | |||||||||||
18,975 | 4.500 | 12/01/2024 | 19,785 | |||||||||||
6,098 | 9.000 | 11/01/2025 | 6,762 | |||||||||||
27,354 | 7.000 | 08/01/2026 | 30,099 | |||||||||||
12,124 | 8.000 | 10/01/2029 | 14,060 | |||||||||||
1,118 | 8.500 | 04/01/2030 | 1,310 | |||||||||||
2,081 | 8.000 | 05/01/2030 | 2,182 | |||||||||||
6,164 | 8.000 | 08/01/2032 | 7,225 | |||||||||||
8,461 | 4.500 | 08/01/2039 | 9,227 | |||||||||||
37,891 | 3.000 | 01/01/2043 | 39,253 | |||||||||||
158,409 | 3.000 | 03/01/2043 | 164,106 | |||||||||||
220,422 | 3.000 | 04/01/2043 | 228,349 | |||||||||||
165,252 | 3.000 | 05/01/2043 | 171,195 | |||||||||||
516,249 | 4.500 | 04/01/2045 | 567,840 | |||||||||||
58,858 | 4.500 | 05/01/2045 | 64,740 | |||||||||||
362,096 | 4.000 | 02/01/2048 | 384,998 | |||||||||||
481,461 | 4.000 | 03/01/2048 | 511,913 | |||||||||||
116,758 | 4.000 | 06/01/2048 | 121,605 | |||||||||||
40,537 | 4.000 | 07/01/2048 | 43,205 | |||||||||||
640,098 | 4.000 | 08/01/2048 | 679,583 | |||||||||||
565,804 | 4.000 | 11/01/2048 | 589,909 | |||||||||||
456,270 | 5.000 | 11/01/2048 | 499,889 | |||||||||||
318,928 | 4.000 | 01/01/2049 | 332,169 | |||||||||||
2,500,708 | 5.000 | 10/01/2049 | 2,675,082 | |||||||||||
3,999,999 | 3.000 | 12/01/2049 | 4,057,529 | |||||||||||
1,000,000 | 2.500 | 01/01/2050 | 989,038 | |||||||||||
|
| |||||||||||||
12,281,613 | ||||||||||||||
|
| |||||||||||||
UMBS, 30 Year, Single Family(d) – 9.3% | ||||||||||||||
1,000,000 | 2.500 | TBA-30yr | 988,451 | |||||||||||
2,000,000 | 3.000 | TBA-30yr | 2,028,140 | |||||||||||
1,000,000 | 3.500 | TBA-30yr | 1,028,710 | |||||||||||
1,000,000 | 4.500 | TBA-30yr | 1,052,969 | |||||||||||
|
| |||||||||||||
5,098,270 | ||||||||||||||
|
| |||||||||||||
TOTAL MORTGAGE-BACKED SECURITIES | ||||||||||||||
(Cost $26,223,037) | $ | 26,354,235 | ||||||||||||
|
| |||||||||||||
Collateralized Mortgage Obligations – 1.3% | ||||||||||||||
Adjustable RateNon-Agency(a)(b) – 1.2% | ||||||||||||||
Alternative Loan Trust Series2005-38, Class A1 | ||||||||||||||
$ | 77,408 | 3.739% | 09/25/2035 | $ | 76,420 | |||||||||
Harben Finance plc Series2017-1X, Class A | ||||||||||||||
GBP | 73,145 | 1.602 | 08/20/2056 | 96,919 | ||||||||||
Lehman XS Trust Series2005-7N, Class 1A1A | ||||||||||||||
$ | 131,137 | 2.332 | 12/25/2035 | 127,413 | ||||||||||
London Wall Mortgage Capital plc Series2017-FL1, Class A | ||||||||||||||
GBP | 50,711 | 1.639 | 11/15/2049 | 67,118 | ||||||||||
| MASTR Adjustable Rate Mortgages Trust Series2006-OA2, | | ||||||||||||
$ | 87,430 | 3.089 | 12/25/2046 | 128,951 | ||||||||||
Ripon Mortgages plc Series 1X, Class A2 | ||||||||||||||
GBP | 131,341 | 1.602 | 08/20/2056 | 173,967 | ||||||||||
|
| |||||||||||||
670,788 | ||||||||||||||
|
| |||||||||||||
Sequential Fixed Rate – 0.1% | ||||||||||||||
FNMA REMIC Series2012-111, Class B | ||||||||||||||
$ | 10,651 | 7.000 | 10/25/2042 | 12,412 | ||||||||||
FNMA REMIC Series2012-153, Class B | ||||||||||||||
30,215 | 7.000 | 07/25/2042 | 35,995 | |||||||||||
|
| |||||||||||||
48,407 | ||||||||||||||
|
| |||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | ||||||||||||||
(Cost $644,452) | $ | 719,195 | ||||||||||||
|
| |||||||||||||
Commercial Mortgage-Backed Securities(a) – 0.3% | ||||||||||||||
Adjustable RateNon-Agency(b)(c) – 0.0% | ||||||||||||||
Exantas Capital Corp. Ltd. Series 2018-RSO6, Class A | ||||||||||||||
$ | 36,245 | 2.567% | 06/15/2035 | $ | 36,216 | |||||||||
|
| |||||||||||||
Sequential Fixed Rate – 0.3% | ||||||||||||||
BANK Series 2019-BN21, Class A5 | ||||||||||||||
50,000 | 2.851 | 10/17/2052 | 50,736 | |||||||||||
| Cantor Commercial Real Estate Lending Series2019-CF3, | | ||||||||||||
100,000 | 3.006 | 01/15/2053 | 102,509 | |||||||||||
|
| |||||||||||||
153,245 | ||||||||||||||
|
| |||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | ||||||||||||||
(Cost $190,743) | $ | 189,461 | ||||||||||||
|
| |||||||||||||
U.S. Government Agency Securities – 1.9% | ||||||||||||||
FHLB | ||||||||||||||
$ | 100,000 | 3.375% | 12/08/2023 | $ | 106,471 | |||||||||
FNMA | ||||||||||||||
400,000 | 1.875 | 09/24/2026 | 399,052 | |||||||||||
400,000 | 6.250 | 05/15/2029 | 540,220 | |||||||||||
|
| |||||||||||||
TOTAL U.S. GOVERNMENT AGENCY SECURITIES | ||||||||||||||
(Cost $1,007,735) | $ | 1,045,743 | ||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 27 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Schedule of Investments(continued)
December 31, 2019
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Asset-Backed Securities(a) – 3.8% | ||||||||||||||
Automobile – 0.2% | ||||||||||||||
Ally Master Owner Trust Series2018-1, Class A2 | ||||||||||||||
$ | 100,000 | 2.700% | 01/17/2023 | $ | 100,708 | |||||||||
|
| |||||||||||||
Collateralized Debt Obligations(b)(c) – 1.2% | ||||||||||||||
| Arbor Realty Commercial Real Estate Notes Ltd. Series | | ||||||||||||
200,000 | 2.890 | 06/15/2028 | 200,125 | |||||||||||
KREF Ltd. Series2018-FL1, Class A | ||||||||||||||
150,000 | 2.837 | 06/15/2036 | 150,234 | |||||||||||
| Orix Credit Alliance Owner Trust Ltd. Series 2018-CRE1, | | ||||||||||||
125,000 | 2.920 | 06/15/2036 | 124,922 | |||||||||||
TPG Real Estate Finance Issuer Ltd. Series2018-FL2, Class A | ||||||||||||||
175,000 | 2.867 | 11/15/2037 | 174,891 | |||||||||||
|
| |||||||||||||
650,172 | ||||||||||||||
|
| |||||||||||||
Collateralized Loan Obligations(b)(c) – 1.4% | ||||||||||||||
CBAM Ltd. Series2018-5A, Class A | ||||||||||||||
525,000 | 3.022 | 04/17/2031 | 520,831 | |||||||||||
Cutwater Ltd. Series2014-1A, Class A1AR | ||||||||||||||
269,534 | 3.251 | 07/15/2026 | 269,735 | |||||||||||
|
| |||||||||||||
790,566 | ||||||||||||||
|
| |||||||||||||
Home Equity(b) – 0.1% | ||||||||||||||
GMACM Home Equity Loan Trust Series2007-HE3, Class 1A1 | ||||||||||||||
2,600 | 7.000 | 09/25/2037 | 2,596 | |||||||||||
GMACM Home Equity Loan Trust Series2007-HE3, Class 2A1 | ||||||||||||||
50,164 | 7.000 | 09/25/2037 | 51,852 | |||||||||||
|
| |||||||||||||
54,448 | ||||||||||||||
|
| |||||||||||||
Student Loans(b) – 0.9% | ||||||||||||||
Academic Loan Funding Trust Series2012-1A, Class A2(c) | ||||||||||||||
96,243 | 2.892 | 12/27/2044 | 96,815 | |||||||||||
Northstar Education Finance, Inc. Series2007-1, Class A1 | ||||||||||||||
25,389 | 2.040 | 04/28/2030 | 25,344 | |||||||||||
Scholar Funding Trust Series2010-A, Class A(c) | ||||||||||||||
100,610 | 2.686 | 10/28/2041 | 98,715 | |||||||||||
SLM Student Loan Trust Series2003-7A, Class A5A(c) | ||||||||||||||
306,406 | 3.094 | 12/15/2033 | 303,688 | |||||||||||
|
| |||||||||||||
524,562 | ||||||||||||||
|
| |||||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||||
(Cost $2,122,696) | $ | 2,120,456 | ||||||||||||
|
| |||||||||||||
Foreign Government Securities – 2.1% | ||||||||||||||
Israel Government AID Bond(e) | ||||||||||||||
$ | 400,000 | 5.500% | 09/18/2023 | $ | 453,256 | |||||||||
200,000 | 5.500 | 12/04/2023 | 227,566 | |||||||||||
100,000 | 5.500 | 04/26/2024 | 115,008 | |||||||||||
Mexico Government Bond | ||||||||||||||
EUR | 100,000 | 1.625 | 04/08/2026 | 117,078 | ||||||||||
Romania Government Bond(c) | ||||||||||||||
10,000 | 2.124 | 07/16/2031 | 11,455 | |||||||||||
10,000 | 4.625 | 04/03/2049 | 13,839 | |||||||||||
|
| |||||||||||||
Foreign Government Securities – (continued) | ||||||||||||||
United Arab Emirates Government International Bond(c) | ||||||||||||||
$ | 220,000 | 3.125 | 10/11/2027 | 230,340 | ||||||||||
|
| |||||||||||||
TOTAL FOREIGN GOVERNMENT SECURITIES | ||||||||||||||
(Cost $1,137,793) | $ | 1,168,542 | ||||||||||||
|
| |||||||||||||
Municipal Bonds – 1.3% | ||||||||||||||
California – 0.3% | ||||||||||||||
California State Various Purpose GO Bonds Series 2010 | ||||||||||||||
$ | 105,000 | 7.625% | 03/01/2040 | $ | 168,129 | |||||||||
|
| |||||||||||||
Illinois – 0.7% | ||||||||||||||
Illinois State GO Bonds for Build America Bonds Series2010-5 | ||||||||||||||
100,000 | 7.350 | 07/01/2035 | 121,380 | |||||||||||
Illinois State GO Bonds Pension Funding Series 2003 | ||||||||||||||
25,000 | 5.100 | 06/01/2033 | 26,951 | |||||||||||
Illinois State GO Bonds Series2015-B(f) | ||||||||||||||
199,000 | 7.750 | 01/01/2025 | 249,631 | |||||||||||
|
| |||||||||||||
397,962 | ||||||||||||||
|
| |||||||||||||
Ohio – 0.3% | ||||||||||||||
| American Municipal Power, Inc. RB Build America Bond | | ||||||||||||
100,000 | 6.270 | 02/15/2050 | 133,589 | |||||||||||
|
| |||||||||||||
TOTAL MUNICIPAL BONDS | ||||||||||||||
(Cost $577,770) | $ | 699,680 | ||||||||||||
|
| |||||||||||||
U.S. Treasury Obligations – 0.4% | ||||||||||||||
U.S. Treasury Bonds | ||||||||||||||
$ | 160,000 | 2.250% | 08/15/2049 | $ | 155,200 | |||||||||
U.S. Treasury Notes | ||||||||||||||
40,000 | 2.875 | 08/15/2028 | 43,113 | |||||||||||
|
| |||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||
(Cost $205,537) | $ | 198,313 | ||||||||||||
|
|
Shares | Dividend Rate | Value | ||||
Investment Company(g) – 3.0% | ||||||
Goldman Sachs Financial Square Government Fund — Institutional Shares |
| |||||
$ 1,647,077 | 1.638% | $ | 1,647,077 | |||
(Cost $1,647,077) | ||||||
|
28 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||
Short-Term Investment – 17.7% | ||||||||||||
U.S. Treasury Obligation – 17.7% | ||||||||||||
U.S. Treasury Bills | ||||||||||||
$ | 9,753,000 | 1.833% | 03/05/2020 | $ | 9,727,643 | |||||||
(Cost $9,721,496) | ||||||||||||
|
| |||||||||||
TOTAL INVESTMENTS – 115.7% | ||||||||||||
(Cost $62,343,890) | $ | 63,575,043 | ||||||||||
|
| |||||||||||
| LIABILITIES IN EXCESS OF | (8,630,241 | ) | |||||||||
|
| |||||||||||
NET ASSETS – 100.0% | $ | 54,944,802 | ||||||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
(a) | Securities with “Call” features. Maturity dates disclosed are the final maturity dates. | |
(b) | Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed is that which is in effect on December 31, 2019. | |
(c) | Exempt from registration under Rule 144A of the Securities Act of 1933. | |
(d) | TBA (To Be Announced) Securities are purchased on a forward commitment basis with an approximate principal amount and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. Total market value of TBA securities (excluding forward sales contracts, if any) amounts to $8,179,900 which represents approximately 14.9% of net assets as of December 31, 2019. | |
(e) | Guaranteed by the United States Government. Total market value of these securities amounts to $795,830, which represents 1.4% of net assets as of December 31, 2019. | |
(f) | Pre-refunded security. Maturity date disclosed ispre-refunding date. | |
(g) | Represents an Affiliated Issuer. |
Investment Abbreviations: | ||
BA | —Banker Acceptance Rate | |
BBR | —Bank Bill Reference Rate | |
EURIBOR | —Euro Interbank Offered Rate | |
FHLB | —Federal Home Loan Bank | |
FHLMC | —Federal Home Loan Mortgage Corp. | |
FNMA | —Federal National Mortgage Association | |
GNMA | —Government National Mortgage Association | |
GO | —General Obligation | |
LIBOR | —London Interbank Offered Rate | |
Mo. | —Month | |
NIBOR | —Norwegian Interbank Offered Rate | |
RB | —Revenue Bond | |
REMIC | —Real Estate Mortgage Investment Conduit | |
RMKT | —Remarketed | |
SOFR | —Secured Overnight Financing Rate | |
STIBOR | —Stockholm Interbank Offered Rate | |
T-Note | —Treasury Note | |
UMBS | —Uniform Mortgage-Backed Securities | |
Yr. | —Year | |
Currency Abbreviations: | ||
AUD | —Australian Dollar | |
CAD | —Canadian Dollar | |
CHF | —Swiss Franc | |
EUR | —Euro | |
GBP | —British Pound | |
JPY | —Japanese Yen | |
NOK | —Norwegian Krone | |
NZD | —New Zealand Dollar | |
SEK | —Swedish Krona | |
USD | —United States Dollar |
ADDITIONAL INVESTMENT INFORMATION
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At December 31, 2019, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Gain | ||||||||||||
Morgan Stanley Co., Inc. | AUD | 61,008 | EUR | 38,016 | 03/18/2020 | $ | 48 | |||||||||
AUD | 243,188 | USD | 167,352 | 01/29/2020 | 3,420 | |||||||||||
AUD | 271,209 | USD | 188,170 | 03/18/2020 | 2,507 | |||||||||||
CAD | 55,003 | CHF | 40,730 | 03/18/2020 | 58 | |||||||||||
CAD | 167,370 | EUR | 114,004 | 03/18/2020 | 442 | |||||||||||
CAD | 258,925 | USD | 195,848 | 01/30/2020 | 3,577 |
The accompanying notes are an integral part of these financial statements. | 29 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Schedule of Investments(continued)
December 31, 2019
ADDITIONAL INVESTMENT INFORMATION (continued)
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN (continued)
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Gain | ||||||||||||
Morgan Stanley Co., Inc. (continued) | CAD | 442,637 | USD | 337,000 | 03/18/2020 | $ | 3,959 | |||||||||
CHF | 216,480 | EUR | 198,093 | 03/18/2020 | 1,630 | |||||||||||
CHF | 168,236 | GBP | 131,464 | 03/18/2020 | 267 | |||||||||||
CHF | 40,983 | JPY | 4,572,403 | 03/18/2020 | 312 | |||||||||||
CHF | 82,087 | USD | 84,011 | 03/18/2020 | 1,262 | |||||||||||
EUR | 16,152 | CAD | 23,619 | 03/18/2020 | 9 | |||||||||||
EUR | 782,295 | USD | 866,509 | 02/20/2020 | 13,637 | |||||||||||
EUR | 1,518,905 | USD | 1,698,585 | 03/18/2020 | 13,222 | |||||||||||
GBP | 291,000 | USD | 376,397 | 02/12/2020 | 9,503 | |||||||||||
GBP | 32,009 | USD | 42,353 | 03/18/2020 | 134 | |||||||||||
JPY | 11,613,101 | USD | 106,981 | 02/05/2020 | 99 | |||||||||||
JPY | 4,566,249 | USD | 41,974 | 03/18/2020 | 231 | |||||||||||
NOK | 3,945,863 | EUR | 388,225 | 03/18/2020 | 12,024 | |||||||||||
NOK | 5,111,675 | USD | 559,110 | 03/18/2020 | 23,262 | |||||||||||
NZD | 64,026 | CAD | 55,654 | 03/18/2020 | 280 | |||||||||||
NZD | 358,240 | USD | 237,085 | 03/18/2020 | 4,346 | |||||||||||
SEK | 1,653,000 | USD | 174,059 | 02/14/2020 | 2,787 | |||||||||||
SEK | 398,391 | USD | 42,013 | 03/18/2020 | 676 | |||||||||||
TOTAL |
| $ | 97,692 |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||
Morgan Stanley Co., Inc. | AUD | 61,007 | CAD | 55,858 | 03/18/2020 | $ | (135 | ) | ||||||||
AUD | 46,773 | NOK | 289,964 | 03/18/2020 | (151 | ) | ||||||||||
CAD | 55,020 | NOK | 376,979 | 03/18/2020 | (568 | ) | ||||||||||
EUR | 114,024 | GBP | 97,272 | 03/18/2020 | (608 | ) | ||||||||||
EUR | 152,009 | NOK | 1,543,730 | 03/18/2020 | (4,562 | ) | ||||||||||
GBP | 32,018 | CAD | 56,352 | 03/18/2020 | (909 | ) | ||||||||||
GBP | 32,010 | CHF | 42,183 | 03/18/2020 | (1,332 | ) | ||||||||||
GBP | 63,772 | EUR | 75,987 | 03/18/2020 | (989 | ) | ||||||||||
GBP | 64,567 | USD | 87,284 | 03/18/2020 | (1,580 | ) | ||||||||||
JPY | 4,562,402 | AUD | 60,989 | 03/18/2020 | (709 | ) | ||||||||||
JPY | 4,573,709 | EUR | 38,009 | 03/18/2020 | (561 | ) | ||||||||||
JPY | 38,205,675 | USD | 353,861 | 03/18/2020 | (729 | ) | ||||||||||
SEK | 1,919,265 | EUR | 183,192 | 03/18/2020 | (801 | ) | ||||||||||
SEK | 794,229 | NOK | 772,006 | 03/18/2020 | (2,851 | ) | ||||||||||
USD | 112,497 | AUD | 163,475 | 01/29/2020 | (2,299 | ) | ||||||||||
USD | 292,355 | AUD | 425,762 | 03/18/2020 | (6,980 | ) | ||||||||||
USD | 226,966 | CAD | 300,065 | 01/30/2020 | (4,146 | ) | ||||||||||
USD | 733,343 | CAD | 970,518 | 03/18/2020 | (14,242 | ) |
30 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
ADDITIONAL INVESTMENT INFORMATION (continued)
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS (continued)
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||
Morgan Stanley Co., Inc. (continued) | USD | 1,266,793 | CHF | 1,243,748 | 03/18/2020 | $ | (25,230 | ) | ||||||||
USD | 976,715 | EUR | 881,790 | 02/20/2020 | (15,370 | ) | ||||||||||
USD | 410,395 | EUR | 366,334 | 03/18/2020 | (2,464 | ) | ||||||||||
USD | 696,908 | GBP | 538,793 | 02/12/2020 | (17,596 | ) | ||||||||||
USD | 243,006 | GBP | 185,339 | 03/18/2020 | (3,004 | ) | ||||||||||
USD | 83,403 | JPY | 9,053,632 | 02/05/2020 | (77 | ) | ||||||||||
USD | 541,020 | NZD | 824,399 | 03/18/2020 | (14,570 | ) | ||||||||||
USD | 200,348 | SEK | 1,902,659 | 02/14/2020 | (3,208 | ) | ||||||||||
USD | 713,509 | SEK | 6,759,202 | 03/18/2020 | (10,760 | ) | ||||||||||
TOTAL |
| $ | (136,431 | ) |
FORWARD SALES CONTRACTS — At December 31, 2019, the Fund had the following forward sales contracts:
Description | Interest Rate | Maturity Date(a) | Principal Amount | Settlement Date | Value | |||||||||||||||
GNMA | 4.500 | % | TBA-30yr | $ | 1,000,000 | 01/21/2020 | $ | (1,045,625 | ) | |||||||||||
UMBS | 5.000 | TBA-30yr | 1,000,000 | 01/14/2020 | (1,069,062 | ) | ||||||||||||||
TOTAL(Proceeds Received: $2,113,516) |
| $ | (2,114,687 | ) |
(a) | TBA (To Be Announced) Securities are sold on a forward commitment basis with an approximate principal amounted and no defined maturity date. The actual principal and maturity date will be determined upon settlement when the specific mortgage pools are assigned. |
FUTURES CONTRACTS — At December 31, 2019, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: |
| |||||||||||||||
3 Month Eurodollar | 2 | 06/15/2020 | $ | 491,500 | $ | 194 | ||||||||||
3 Month SOFR | 1 | 03/17/2020 | 246,100 | 1 | ||||||||||||
Australia 10 Year Bond | 3 | 03/16/2020 | 300,963 | (3,061 | ) | |||||||||||
U.S. Treasury 2 Year Note | 12 | 03/31/2020 | 2,584,969 | (887 | ) | |||||||||||
U.S. Treasury 5 Year Note | 23 | 03/31/2020 | 2,725,680 | (8,708 | ) | |||||||||||
U.S. Treasury 10 Year Note | 3 | 03/20/2020 | 384,750 | (237 | ) | |||||||||||
U.S. Treasury Long Bond | 14 | 03/20/2020 | 2,177,437 | (53,439 | ) | |||||||||||
U.S. Treasury Ultra Bond | 25 | 03/20/2020 | 4,529,687 | (130,987 | ) | |||||||||||
Total | $ | (197,124 | ) |
The accompanying notes are an integral part of these financial statements. | 31 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Schedule of Investments(continued)
December 31, 2019
ADDITIONAL INVESTMENT INFORMATION (continued)
FUTURES CONTRACTS — At December 31, 2019, the Fund had the following futures contracts:(continued)
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Short position contracts: |
| |||||||||||||||
30 Day Federal Funds | (1) | 01/31/2020 | $ | (410,230 | ) | $ | (27 | ) | ||||||||
Australia 3 Year Bond | (1) | 03/16/2020 | (80,711 | ) | (13 | ) | ||||||||||
U.S. Treasury 10 Year Ultra Note | (14) | 03/20/2020 | (1,966,344 | ) | 30,738 | |||||||||||
Total | $ | 30,698 | ||||||||||||||
Total Futures Contracts |
| $ | (166,426 | ) |
SWAP CONTRACTS — At December 31, 2019, the Fund had the following swap contracts:
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS
Reference Obligation/Index(a) | Financing Rate Received (Paid) by the Fund | Credit Spread at December 31, 2019(b) | Termination Date | Notional Amount (000’s) | Value | Upfront Premium (Received) Paid | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
Protection Sold: | ||||||||||||||||||||||||||
General Electric Co. | 1.000 | % | 0.850 | % | 06/20/2024 | USD | 125 | $ | 864 | $ | (1,906 | ) | $ | 2,770 | ||||||||||||
General Electric Co. | 1.000 | 0.870 | 12/20/2024 | 50 | 320 | (798 | ) | 1,118 | ||||||||||||||||||
Markit CDX North America Investment Grade Index | 1.000 | 0.390 | 06/20/2024 | 2,550 | 67,296 | 43,476 | 23,820 | |||||||||||||||||||
Markit CDX North America Investment Grade Index | 1.000 | 0.450 | 12/20/2024 | 2,350 | 61,725 | 49,968 | 11,757 | |||||||||||||||||||
Prudential Financial, Inc. | 1.000 | 0.460 | 06/20/2024 | 75 | 1,755 | 1,133 | 622 | |||||||||||||||||||
Republic of Chile | 1.000 | 0.370 | 06/20/2024 | 20 | 552 | 552 | — | |||||||||||||||||||
Republic of Colombia | 1.000 | 0.630 | 06/20/2024 | 210 | 3,396 | 775 | 2,621 | |||||||||||||||||||
Republic of Indonesia | 1.000 | 0.560 | 06/20/2024 | 160 | 3,061 | 584 | 2,477 | |||||||||||||||||||
Republic of Peru | 1.000 | 0.370 | 06/20/2024 | 40 | 1,109 | 834 | 275 | |||||||||||||||||||
Russian Federation | 1.000 | 0.550 | 12/20/2024 | 30 | 654 | (261 | ) | 915 | ||||||||||||||||||
State of Qatar | 1.000 | 0.310 | 06/20/2024 | 20 | 603 | 378 | 225 | |||||||||||||||||||
State of Qatar | 1.000 | 0.370 | 12/20/2024 | 10 | 308 | 215 | 93 | |||||||||||||||||||
United Mexican States | 1.000 | 0.690 | 06/20/2024 | 20 | 278 | (266 | ) | 544 | ||||||||||||||||||
TOTAL | $ | 141,921 | $ | 94,684 | $ | 47,237 |
(a) | Payments received quarterly. |
(b) | Credit spread on the referenced obligation, together with the period of expiration, are indicators of payment/performance risk. The likelihood of a credit event occurring which would require a fund or its counterparty to make a payment or otherwise be required to perform under the swap contract is generally greater as the credit spread and term of the swap contract increase. |
32 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
ADDITIONAL INVESTMENT INFORMATION (continued)
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
Payments Made by the Fund | Payments Received by the Fund | Termination Date | Notional Amount (000’s)(a) | Value | Upfront Premium (Received) Paid | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
3 Month BA(b) | 1.750% | 03/18/2022 | CAD | 1,880 | $ | (7,042 | ) | $ | (6,248 | ) | $ | (794 | ) | |||||||||||
1.750%(b) | 3 Month LIBOR | 03/18/2022 | USD | 1,410 | (2,403 | ) | (5,662 | ) | 3,259 | |||||||||||||||
6 Month BBR(b) | 1.500 | 03/18/2025 | AUD | 780 | 7,912 | 11,082 | (3,170 | ) | ||||||||||||||||
3 Month BA(b) | 1.750 | 03/18/2025 | CAD | 460 | (5,220 | ) | (3,506 | ) | (1,714 | ) | ||||||||||||||
6 Month EURIBOR(b) | 0.000 | 03/18/2025 | EUR | 400 | 2,086 | 3,454 | (1,368 | ) | ||||||||||||||||
2.000(c) | 6 Month NIBOR | 03/18/2025 | NOK | 5,740 | 181 | (1,614 | ) | 1,795 | ||||||||||||||||
3 Month BBR(d) | 1.500 | 03/18/2025 | NZD | 230 | 258 | 760 | (502 | ) | ||||||||||||||||
1.750(b) | 3 Month LIBOR | 03/18/2025 | USD | 580 | (715 | ) | (2,512 | ) | 1,797 | |||||||||||||||
6 Month BBR(b) | 1.750 | 03/18/2030 | AUD | 60 | 812 | 1,724 | (912 | ) | ||||||||||||||||
3 Month BA(b) | 2.000 | 03/18/2030 | CAD | 230 | (2,814 | ) | (724 | ) | (2,090 | ) | ||||||||||||||
6 Month EURIBOR(b) | 0.500 | 03/18/2030 | EUR | 230 | 7,036 | 9,421 | (2,385 | ) | ||||||||||||||||
2.000(c) | 6 Month NIBOR | 03/18/2030 | NOK | 2,090 | 1,525 | (1,028 | ) | 2,553 | ||||||||||||||||
0.500(c) | 3 Month STIBOR | 03/18/2030 | SEK | 2,770 | 6,180 | 2,466 | 3,714 | |||||||||||||||||
0.002(c) | 6 Month EURIBOR | 09/16/2030 | EUR | 280 | 9,078 | 6,645 | 2,433 | |||||||||||||||||
0.330(c) | 6 Month EURIBOR | 05/12/2031 | EUR | 10 | 42 | 52 | (10 | ) | ||||||||||||||||
TOTAL | $ | 16,916 | $ | 14,310 | $ | 2,606 |
(a) | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to December 31, 2019. |
(b) | Payments made semi-annually. |
(c) | Payments made annually. |
(d) | Payments made quarterly. |
PURCHASED & WRITTEN OPTIONS CONTRACTS — At December 31, 2019, the Fund had the following purchased & written options contracts:
OVER THE COUNTER INTEREST RATE SWAPTIONS
Description | Counterparty | Exercise Rate | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Purchased option contracts |
| |||||||||||||||||||||||||||||
Calls |
| |||||||||||||||||||||||||||||
3M IRS | UBS AG | 1.270% | 08/27/2020 | 150,000 | $ | 150,000 | $ | 500 | $ | 3,025 | $ | (2,525 | ) | |||||||||||||||||
Written option contracts |
| |||||||||||||||||||||||||||||
Calls |
| |||||||||||||||||||||||||||||
6M IRS | Bank of America NA | 0.065 | % | 09/14/2020 | (230,000 | ) | $ | (230,000 | ) | $ | (1,725 | ) | $ | (6,092 | ) | $ | 4,367 | |||||||||||||
6M IRS | 0.330 | 05/10/2021 | (120,000 | ) | (120,000 | ) | (2,655 | ) | (3,068 | ) | 413 | |||||||||||||||||||
6M IRS | Deutsche Bank AG | 0.065 | 09/14/2020 | (100,000 | ) | (100,000 | ) | (750 | ) | (2,148 | ) | 1,398 | ||||||||||||||||||
6M IRS | JPMorgan Chase Bank NA | (0.350 | ) | 05/27/2020 | (350,000 | ) | (350,000 | ) | (243 | ) | (445 | ) | 202 | |||||||||||||||||
6M IRS | 0.065 | 09/14/2020 | (140,000 | ) | (140,000 | ) | (1,050 | ) | (2,970 | ) | 1,920 | |||||||||||||||||||
6M IRS | UBS AG | (0.350 | ) | 05/27/2020 | (710,000 | ) | (710,000 | ) | (494 | ) | (787 | ) | 293 | |||||||||||||||||
6M IRS | (0.256 | ) | 08/27/2020 | (180,000 | ) | (180,000 | ) | (378 | ) | (2,901 | ) | 2,523 | ||||||||||||||||||
6M IRS | 0.065 | 09/14/2020 | (90,000 | ) | (90,000 | ) | (675 | ) | (2,585 | ) | 1,910 | |||||||||||||||||||
6M IRS | 0.330 | 05/10/2021 | (70,000 | ) | (70,000 | ) | (1,549 | ) | (1,988 | ) | 439 | |||||||||||||||||||
Total calls |
| (1,990,000 | ) | $ | (9,519 | ) | $ | (22,984 | ) | $ | 13,465 |
The accompanying notes are an integral part of these financial statements. | 33 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Schedule of Investments(continued)
December 31, 2019
ADDITIONAL INVESTMENT INFORMATION (continued)
OVER THE COUNTER INTEREST RATE SWAPTIONS (continued)
Description | Counterparty | Exercise Rate | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Written option contracts (continued) | ||||||||||||||||||||||||||||||
Puts |
| |||||||||||||||||||||||||||||
6M IRS | Bank of America NA | 0.065 | % | 09/14/2020 | (230,000 | ) | $ | (230,000 | ) | $ | (7,549 | ) | $ | (3,935 | ) | $ | (3,614 | ) | ||||||||||||
6M IRS | 0.330 | 05/10/2021 | (120,000 | ) | (120,000 | ) | (3,178 | ) | (2,976 | ) | (202 | ) | ||||||||||||||||||
6M IRS | Deutsche Bank AG | 0.065 | 09/14/2020 | (100,000 | ) | (100,000 | ) | (3,279 | ) | (2,148 | ) | (1,131 | ) | |||||||||||||||||
6M IRS | JPMorgan Chase Bank NA | (0.100 | ) | 05/27/2020 | (350,000 | ) | (350,000 | ) | (1,998 | ) | (1,259 | ) | (739 | ) | ||||||||||||||||
6M IRS | 0.065 | 09/14/2020 | (140,000 | ) | (140,000 | ) | (4,591 | ) | (2,969 | ) | (1,622 | ) | ||||||||||||||||||
6M IRS | UBS AG | (0.100 | ) | 05/27/2020 | (710,000 | ) | (710,000 | ) | (4,051 | ) | (2,439 | ) | (1,612 | ) | ||||||||||||||||
6M IRS | 0.065 | 09/14/2020 | (90,000 | ) | (90,000 | ) | (2,955 | ) | (1,389 | ) | (1,566 | ) | ||||||||||||||||||
6M IRS | 0.330 | 05/10/2021 | (70,000 | ) | (70,000 | ) | (1,852 | ) | (1,516 | ) | (336 | ) | ||||||||||||||||||
Total puts |
| (1,810,000 | ) | $ | (29,453 | ) | $ | (18,631 | ) | $ | (10,822 | ) | ||||||||||||||||||
Total Written option contracts |
| (3,800,000 | ) | $ | (38,972 | ) | $ | (41,615 | ) | $ | 2,643 |
34 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
Schedule of Investments
December 31, 2019
Shares | Description | Value | ||||||
Common Stocks – 99.4% | ||||||||
Automobiles & Components – 0.4% | ||||||||
1,690 | Aptiv plc | $ | 160,499 | |||||
1,437 | BorgWarner, Inc. | 62,337 | ||||||
26,421 | Ford Motor Co. | 245,716 | ||||||
8,295 | General Motors Co. | 303,597 | ||||||
1,096 | Harley-Davidson, Inc. | 40,760 | ||||||
|
| |||||||
812,909 | ||||||||
|
| |||||||
Banks – 5.6% | ||||||||
54,120 | Bank of America Corp. | 1,906,106 | ||||||
14,595 | Citigroup, Inc. | 1,165,995 | ||||||
2,969 | Citizens Financial Group, Inc. | 120,571 | ||||||
924 | Comerica, Inc. | 66,297 | ||||||
4,647 | Fifth Third Bancorp | 142,849 | ||||||
1,133 | First Republic Bank | 133,071 | ||||||
7,113 | Huntington Bancshares, Inc. | 107,264 | ||||||
20,902 | JPMorgan Chase & Co. | 2,913,739 | ||||||
6,741 | KeyCorp | 136,438 | ||||||
892 | M&T Bank Corp. | 151,417 | ||||||
2,606 | People’s United Financial, Inc. | 44,041 | ||||||
2,906 | PNC Financial Services Group, Inc. (The) | 463,885 | ||||||
6,589 | Regions Financial Corp. | 113,067 | ||||||
336 | SVB Financial Group* | 84,349 | ||||||
8,990 | Truist Financial Corp. | 506,311 | ||||||
9,540 | US Bancorp | 565,627 | ||||||
25,729 | Wells Fargo & Co. | 1,384,220 | ||||||
1,140 | Zions Bancorp NA | 59,189 | ||||||
|
| |||||||
10,064,436 | ||||||||
|
| |||||||
Capital Goods – 6.4% | ||||||||
3,829 | 3M Co. | 675,512 | ||||||
607 | Allegion plc | 75,596 | ||||||
1,511 | AMETEK, Inc. | 150,707 | ||||||
982 | AO Smith Corp. | 46,782 | ||||||
2,514 | Arconic, Inc. | 77,356 | ||||||
3,565 | Boeing Co. (The) | 1,161,334 | ||||||
3,668 | Caterpillar, Inc. | 541,690 | ||||||
998 | Cummins, Inc. | 178,602 | ||||||
2,109 | Deere & Co. | 365,405 | ||||||
966 | Dover Corp. | 111,341 | ||||||
2,787 | Eaton Corp. plc | 263,985 | ||||||
4,063 | Emerson Electric Co. | 309,844 | ||||||
3,805 | Fastenal Co. | 140,595 | ||||||
906 | Flowserve Corp. | 45,092 | ||||||
1,944 | Fortive Corp. | 148,502 | ||||||
926 | Fortune Brands Home & Security, Inc. | 60,505 | ||||||
1,561 | General Dynamics Corp. | 275,282 | ||||||
57,896 | General Electric Co. | 646,119 | ||||||
4,751 | Honeywell International, Inc. | 840,927 | ||||||
286 | Huntington Ingalls Industries, Inc. | 71,752 | ||||||
522 | IDEX Corp. | 89,784 | ||||||
1,936 | Illinois Tool Works, Inc. | 347,764 | ||||||
1,601 | Ingersoll-Rand plc | 212,805 | ||||||
807 | Jacobs Engineering Group, Inc. | 72,493 | ||||||
5,080 | Johnson Controls International plc | 206,807 | ||||||
1,488 | L3Harris Technologies, Inc. | 294,431 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Capital Goods – (continued) | ||||||||
1,654 | Lockheed Martin Corp. | 644,035 | ||||||
1,903 | Masco Corp. | 91,325 | ||||||
1,058 | Northrop Grumman Corp. | 363,920 | ||||||
2,299 | PACCAR, Inc. | 181,851 | ||||||
850 | Parker-Hannifin Corp. | 174,947 | ||||||
1,073 | Pentair plc | 49,219 | ||||||
1,029 | Quanta Services, Inc. | 41,891 | ||||||
1,849 | Raytheon Co. | 406,299 | ||||||
772 | Rockwell Automation, Inc. | 156,461 | ||||||
688 | Roper Technologies, Inc. | 243,710 | ||||||
355 | Snap-on, Inc. | 60,137 | ||||||
1,034 | Stanley Black & Decker, Inc. | 171,375 | ||||||
1,581 | Textron, Inc. | 70,513 | ||||||
330 | TransDigm Group, Inc. | 184,800 | ||||||
502 | United Rentals, Inc.* | 83,719 | ||||||
5,425 | United Technologies Corp. | 812,448 | ||||||
1,245 | Westinghouse Air Brake Technologies Corp. | 96,861 | ||||||
304 | WW Grainger, Inc. | 102,910 | ||||||
1,169 | Xylem, Inc. | 92,105 | ||||||
|
| |||||||
11,439,538 | ||||||||
|
| |||||||
Commercial & Professional Services – 0.7% | ||||||||
543 | Cintas Corp. | 146,110 | ||||||
1,323 | Copart, Inc.* | 120,314 | ||||||
794 | Equifax, Inc. | 111,255 | ||||||
2,503 | IHS Markit Ltd.* | 188,601 | ||||||
2,557 | Nielsen Holdings plc | 51,907 | ||||||
1,406 | Republic Services, Inc. | 126,020 | ||||||
814 | Robert Half International, Inc. | 51,404 | ||||||
882 | Rollins, Inc. | 29,247 | ||||||
1,091 | Verisk Analytics, Inc. | 162,930 | ||||||
2,610 | Waste Management, Inc. | 297,436 | ||||||
|
| |||||||
1,285,224 | ||||||||
|
| |||||||
Consumer Durables & Apparel – 1.2% | ||||||||
1,057 | Capri Holdings Ltd.* | 40,325 | ||||||
2,238 | DR Horton, Inc. | 118,055 | ||||||
839 | Garmin Ltd. | 81,853 | ||||||
2,220 | Hanesbrands, Inc. | 32,967 | ||||||
815 | Hasbro, Inc. | 86,072 | ||||||
931 | Leggett & Platt, Inc. | 47,323 | ||||||
1,931 | Lennar Corp. Class A | 107,730 | ||||||
421 | Mohawk Industries, Inc.* | 57,416 | ||||||
2,664 | Newell Brands, Inc. | 51,202 | ||||||
8,312 | NIKE, Inc. Class B | 842,089 | ||||||
23 | NVR, Inc.* | 87,593 | ||||||
1,728 | PulteGroup, Inc. | 67,046 | ||||||
525 | PVH Corp. | 55,204 | ||||||
358 | Ralph Lauren Corp. | 41,965 | ||||||
1,933 | Tapestry, Inc. | 52,133 | ||||||
1,254 | Under Armour, Inc. Class A* | 27,086 | ||||||
1,232 | Under Armour, Inc. Class C* | 23,630 | ||||||
2,190 | VF Corp. | 218,255 | ||||||
423 | Whirlpool Corp. | 62,405 | ||||||
|
| |||||||
2,100,349 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 35 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
Schedule of Investments(continued)
December 31, 2019
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Consumer Services – 1.9% | ||||||||
2,610 | Carnival Corp. | $ | 132,666 | |||||
168 | Chipotle Mexican Grill, Inc.* | 140,635 | ||||||
816 | Darden Restaurants, Inc. | 88,952 | ||||||
1,374 | H&R Block, Inc. | 32,262 | ||||||
1,921 | Hilton Worldwide Holdings, Inc. | 213,058 | ||||||
2,302 | Las Vegas Sands Corp. | 158,930 | ||||||
1,818 | Marriott International, Inc. Class A | 275,300 | ||||||
5,045 | McDonald’s Corp. | 996,942 | ||||||
3,516 | MGM Resorts International | 116,977 | ||||||
1,502 | Norwegian Cruise Line Holdings Ltd.* | 87,732 | ||||||
1,158 | Royal Caribbean Cruises Ltd. | 154,605 | ||||||
7,847 | Starbucks Corp. | 689,908 | ||||||
632 | Wynn Resorts Ltd. | 87,766 | ||||||
2,062 | Yum! Brands, Inc. | 207,705 | ||||||
|
| |||||||
3,383,438 | ||||||||
|
| |||||||
Diversified Financials – 5.0% | ||||||||
4,454 | American Express Co. | 554,479 | ||||||
859 | Ameriprise Financial, Inc. | 143,092 | ||||||
5,544 | Bank of New York Mellon Corp. (The) | 279,030 | ||||||
13,034 | Berkshire Hathaway, Inc. Class B* | 2,952,201 | ||||||
789 | BlackRock, Inc. | 396,630 | ||||||
3,129 | Capital One Financial Corp. | 322,005 | ||||||
737 | Cboe Global Markets, Inc. | 88,440 | ||||||
7,697 | Charles Schwab Corp. (The) | 366,069 | ||||||
2,380 | CME Group, Inc. | 477,714 | ||||||
2,134 | Discover Financial Services | 181,006 | ||||||
1,468 | E*TRADE Financial Corp. | 66,603 | ||||||
1,923 | Franklin Resources, Inc. | 49,960 | ||||||
2,144 | Goldman Sachs Group, Inc. (The)(a) | 492,970 | ||||||
3,761 | Intercontinental Exchange, Inc. | 348,081 | ||||||
2,721 | Invesco Ltd. | 48,924 | ||||||
247 | MarketAxess Holdings, Inc. | 93,640 | ||||||
1,083 | Moody’s Corp. | 257,115 | ||||||
8,153 | Morgan Stanley | 416,781 | ||||||
568 | MSCI, Inc. | 146,646 | ||||||
799 | Nasdaq, Inc. | 85,573 | ||||||
1,460 | Northern Trust Corp. | 155,110 | ||||||
851 | Raymond James Financial, Inc. | 76,130 | ||||||
1,645 | S&P Global, Inc. | 449,167 | ||||||
2,472 | State Street Corp. | 195,535 | ||||||
4,076 | Synchrony Financial | 146,777 | ||||||
1,562 | T. Rowe Price Group, Inc. | 190,314 | ||||||
|
| |||||||
8,979,992 | ||||||||
|
| |||||||
Energy – 4.3% | ||||||||
2,555 | Apache Corp. | 65,382 | ||||||
4,344 | Baker Hughes Co. | 111,337 | ||||||
2,916 | Cabot Oil & Gas Corp. | 50,768 | ||||||
12,591 | Chevron Corp. | 1,517,341 | ||||||
696 | Cimarex Energy Co. | 36,533 | ||||||
1,365 | Concho Resources, Inc. | 119,533 | ||||||
7,376 | ConocoPhillips | 479,661 | ||||||
2,477 | Devon Energy Corp. | 64,328 | ||||||
1,051 | Diamondback Energy, Inc. | 97,596 | ||||||
3,831 | EOG Resources, Inc. | 320,885 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Energy – (continued) | ||||||||
28,238 | Exxon Mobil Corp. | 1,970,448 | ||||||
5,723 | Halliburton Co. | 140,042 | ||||||
800 | Helmerich & Payne, Inc. | 36,344 | ||||||
1,701 | Hess Corp. | 113,644 | ||||||
1,023 | HollyFrontier Corp. | 51,876 | ||||||
13,165 | Kinder Morgan, Inc. | 278,703 | ||||||
5,156 | Marathon Oil Corp. | 70,018 | ||||||
4,287 | Marathon Petroleum Corp. | 258,292 | ||||||
2,489 | National Oilwell Varco, Inc. | 62,349 | ||||||
3,360 | Noble Energy, Inc. | 83,462 | ||||||
6,005 | Occidental Petroleum Corp. | 247,466 | ||||||
2,787 | ONEOK, Inc. | 210,892 | ||||||
3,003 | Phillips 66 | 334,564 | ||||||
1,133 | Pioneer Natural Resources Co. | 171,502 | ||||||
9,208 | Schlumberger Ltd. | 370,162 | ||||||
2,968 | TechnipFMC plc | 63,634 | ||||||
2,732 | Valero Energy Corp. | 255,852 | ||||||
8,066 | Williams Cos., Inc. (The) | 191,326 | ||||||
|
| |||||||
7,773,940 | ||||||||
|
| |||||||
Food & Staples Retailing – 1.5% | ||||||||
2,921 | Costco Wholesale Corp. | 858,540 | ||||||
5,388 | Kroger Co. (The) | 156,198 | ||||||
3,423 | Sysco Corp. | 292,803 | ||||||
4,956 | Walgreens Boots Alliance, Inc. | 292,206 | ||||||
9,440 | Walmart, Inc. | 1,121,850 | ||||||
|
| |||||||
2,721,597 | ||||||||
|
| |||||||
Food, Beverage & Tobacco – 3.8% | ||||||||
12,433 | Altria Group, Inc. | 620,531 | ||||||
3,785 | Archer-Daniels-Midland Co. | 175,435 | ||||||
1,128 | Brown-Forman Corp. Class B | 76,253 | ||||||
1,096 | Campbell Soup Co. | 54,164 | ||||||
25,557 | Coca-Cola Co. (The) | 1,414,580 | ||||||
3,173 | Conagra Brands, Inc. | 108,644 | ||||||
1,113 | Constellation Brands, Inc. Class A | 211,192 | ||||||
4,033 | General Mills, Inc. | 216,007 | ||||||
936 | Hershey Co. (The) | 137,573 | ||||||
1,837 | Hormel Foods Corp. | 82,867 | ||||||
750 | JM Smucker Co. (The) | 78,098 | ||||||
1,695 | Kellogg Co. | 117,226 | ||||||
4,259 | Kraft Heinz Co. (The) | 136,842 | ||||||
982 | Lamb Weston Holdings, Inc. | 84,481 | ||||||
836 | McCormick & Co., Inc.(Non-Voting) | 141,894 | ||||||
1,300 | Molson Coors Brewing Co. Class B | 70,070 | ||||||
9,660 | Mondelez International, Inc. Class A | 532,073 | ||||||
2,578 | Monster Beverage Corp.* | 163,832 | ||||||
9,325 | PepsiCo, Inc. | 1,274,448 | ||||||
10,333 | Philip Morris International, Inc. | 879,235 | ||||||
1,951 | Tyson Foods, Inc. Class A | 177,619 | ||||||
|
| |||||||
6,753,064 | ||||||||
|
| |||||||
Health Care Equipment & Services – 6.5% | ||||||||
11,780 | Abbott Laboratories | 1,023,211 | ||||||
319 | ABIOMED, Inc.* | 54,418 | ||||||
479 | Align Technology, Inc.* | 133,660 | ||||||
|
|
36 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Health Care Equipment & Services – (continued) | ||||||||
1,002 | AmerisourceBergen Corp. | $ | 85,190 | |||||
1,695 | Anthem, Inc. | 511,941 | ||||||
3,404 | Baxter International, Inc. | 284,643 | ||||||
1,788 | Becton Dickinson and Co. | 486,282 | ||||||
9,276 | Boston Scientific Corp.* | 419,461 | ||||||
1,982 | Cardinal Health, Inc. | 100,250 | ||||||
2,742 | Centene Corp.* | 172,390 | ||||||
2,129 | Cerner Corp. | 156,247 | ||||||
2,478 | Cigna Corp. | 506,726 | ||||||
322 | Cooper Cos., Inc. (The) | 103,455 | ||||||
8,627 | CVS Health Corp. | 640,900 | ||||||
4,290 | Danaher Corp. | 658,429 | ||||||
573 | DaVita, Inc.* | 42,992 | ||||||
1,552 | Dentsply Sirona, Inc. | 87,828 | ||||||
1,379 | Edwards Lifesciences Corp.* | 321,707 | ||||||
1,799 | HCA Healthcare, Inc. | 265,910 | ||||||
1,038 | Henry Schein, Inc.* | 69,255 | ||||||
1,847 | Hologic, Inc.* | 96,432 | ||||||
876 | Humana, Inc. | 321,072 | ||||||
568 | IDEXX Laboratories, Inc.* | 148,322 | ||||||
775 | Intuitive Surgical, Inc.* | 458,141 | ||||||
645 | Laboratory Corp. of America Holdings* | 109,115 | ||||||
1,240 | McKesson Corp. | 171,517 | ||||||
8,943 | Medtronic plc | 1,014,583 | ||||||
893 | Quest Diagnostics, Inc. | 95,363 | ||||||
960 | ResMed, Inc. | 148,771 | ||||||
567 | STERIS plc | 86,422 | ||||||
2,124 | Stryker Corp. | 445,913 | ||||||
315 | Teleflex, Inc. | 118,579 | ||||||
6,296 | UnitedHealth Group, Inc. | 1,850,898 | ||||||
570 | Universal Health Services, Inc. Class B | 81,772 | ||||||
627 | Varian Medical Systems, Inc.* | 89,040 | ||||||
347 | WellCare Health Plans, Inc.* | 114,583 | ||||||
1,366 | Zimmer Biomet Holdings, Inc. | 204,463 | ||||||
|
| |||||||
11,679,881 | ||||||||
|
| |||||||
Household & Personal Products – 1.9% | ||||||||
1,696 | Church & Dwight Co., Inc. | 119,297 | ||||||
855 | Clorox Co. (The) | 131,277 | ||||||
5,738 | Colgate-Palmolive Co. | 395,004 | ||||||
1,935 | Coty, Inc. Class A | 21,769 | ||||||
1,476 | Estee Lauder Cos., Inc. (The) Class A | 304,853 | ||||||
2,281 | Kimberly-Clark Corp. | 313,751 | ||||||
16,614 | Procter & Gamble Co. (The) | 2,075,088 | ||||||
|
| |||||||
3,361,039 | ||||||||
|
| |||||||
Insurance – 2.3% | ||||||||
4,956 | Aflac, Inc. | 262,172 | ||||||
2,189 | Allstate Corp. (The) | 246,153 | ||||||
5,743 | American International Group, Inc. | 294,788 | ||||||
1,549 | Aon plc | 322,641 | ||||||
1,281 | Arthur J Gallagher & Co. | 121,990 | ||||||
411 | Assurant, Inc. | 53,874 | ||||||
3,028 | Chubb Ltd. | 471,338 | ||||||
1,010 | Cincinnati Financial Corp. | 106,202 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Insurance – (continued) | ||||||||
279 | Everest Re Group Ltd. | 77,238 | ||||||
679 | Globe Life, Inc. | 71,465 | ||||||
2,392 | Hartford Financial Services Group, Inc. (The) | 145,362 | ||||||
1,297 | Lincoln National Corp. | 76,536 | ||||||
1,704 | Loews Corp. | 89,443 | ||||||
3,401 | Marsh & McLennan Cos., Inc. | 378,905 | ||||||
5,297 | MetLife, Inc. | 269,988 | ||||||
1,754 | Principal Financial Group, Inc. | 96,470 | ||||||
3,931 | Progressive Corp. (The) | 284,565 | ||||||
2,701 | Prudential Financial, Inc. | 253,192 | ||||||
1,721 | Travelers Cos., Inc. (The) | 235,691 | ||||||
1,503 | Unum Group | 43,828 | ||||||
868 | Willis Towers Watson plc | 175,284 | ||||||
966 | WR Berkley Corp. | 66,751 | ||||||
|
| |||||||
4,143,876 | ||||||||
|
| |||||||
Materials – 2.6% | ||||||||
1,461 | Air Products & Chemicals, Inc. | 343,320 | ||||||
738 | Albemarle Corp. | 53,904 | ||||||
10,834 | Amcor plc | 117,441 | ||||||
573 | Avery Dennison Corp. | 74,960 | ||||||
2,258 | Ball Corp. | 146,025 | ||||||
844 | Celanese Corp. | 103,913 | ||||||
1,406 | CF Industries Holdings, Inc. | 67,123 | ||||||
5,131 | Corteva, Inc. | 151,672 | ||||||
4,993 | Dow, Inc. | 273,267 | ||||||
4,982 | DuPont de Nemours, Inc. | 319,844 | ||||||
909 | Eastman Chemical Co. | 72,047 | ||||||
1,679 | Ecolab, Inc. | 324,030 | ||||||
842 | FMC Corp. | 84,048 | ||||||
9,649 | Freeport-McMoRan, Inc. | 126,595 | ||||||
695 | International Flavors & Fragrances, Inc. | 89,669 | ||||||
2,606 | International Paper Co. | 120,006 | ||||||
3,571 | Linde plc | 760,266 | ||||||
1,732 | LyondellBasell Industries NV Class A | 163,639 | ||||||
423 | Martin Marietta Materials, Inc. | 118,288 | ||||||
2,307 | Mosaic Co. (The) | 49,924 | ||||||
5,493 | Newmont Goldcorp Corp. | 238,671 | ||||||
2,000 | Nucor Corp. | 112,560 | ||||||
644 | Packaging Corp. of America | 72,122 | ||||||
1,564 | PPG Industries, Inc. | 208,778 | ||||||
1,071 | Sealed Air Corp. | 42,658 | ||||||
550 | Sherwin-Williams Co. (The) | 320,947 | ||||||
884 | Vulcan Materials Co. | 127,287 | ||||||
1,664 | WestRock Co. | 71,402 | ||||||
|
| |||||||
4,754,406 | ||||||||
|
| |||||||
Media & Entertainment – 8.2% | ||||||||
5,093 | Activision Blizzard, Inc. | 302,626 | ||||||
1,991 | Alphabet, Inc. Class A* | 2,666,725 | ||||||
1,992 | Alphabet, Inc. Class C* | 2,663,344 | ||||||
1,040 | Charter Communications, Inc. Class A* | 504,483 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 37 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
Schedule of Investments(continued)
December 31, 2019
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Media & Entertainment – (continued) | ||||||||
30,251 | Comcast Corp. Class A | $ | 1,360,387 | |||||
981 | Discovery, Inc. Class A* | 32,118 | ||||||
2,248 | Discovery, Inc. Class C* | 68,541 | ||||||
1,702 | DISH Network Corp. Class A* | 60,370 | ||||||
1,961 | Electronic Arts, Inc.* | 210,827 | ||||||
15,993 | Facebook, Inc. Class A* | 3,282,563 | ||||||
2,439 | Fox Corp. Class A | 90,414 | ||||||
1,119 | Fox Corp. Class B | 40,732 | ||||||
2,670 | Interpublic Group of Cos., Inc. (The) | 61,677 | ||||||
942 | Live Nation Entertainment, Inc.* | 67,325 | ||||||
2,929 | Netflix, Inc.* | 947,737 | ||||||
2,809 | News Corp. Class A | 39,719 | ||||||
1,017 | News Corp. Class B | 14,757 | ||||||
1,426 | Omnicom Group, Inc. | 115,535 | ||||||
776 | Take-Two Interactive Software, Inc.* | 95,006 | ||||||
5,004 | Twitter, Inc.* | 160,378 | ||||||
3,610 | ViacomCBS, Inc. | 151,491 | ||||||
11,967 | Walt Disney Co. (The) | 1,730,787 | ||||||
|
| |||||||
14,667,542 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences – 7.6% | ||||||||
9,890 | AbbVie, Inc. | 875,661 | ||||||
2,072 | Agilent Technologies, Inc. | 176,762 | ||||||
1,483 | Alexion Pharmaceuticals, Inc.* | 160,387 | ||||||
2,202 | Allergan plc | 420,956 | ||||||
3,952 | Amgen, Inc. | 952,709 | ||||||
1,195 | Biogen, Inc.* | 354,592 | ||||||
15,623 | Bristol-Myers Squibb Co. | 1,002,840 | ||||||
5,638 | Eli Lilly & Co. | 741,002 | ||||||
8,424 | Gilead Sciences, Inc. | 547,392 | ||||||
971 | Illumina, Inc.* | 322,120 | ||||||
1,170 | Incyte Corp.* | 102,164 | ||||||
1,195 | IQVIA Holdings, Inc.* | 184,639 | ||||||
17,540 | Johnson & Johnson | 2,558,560 | ||||||
17,006 | Merck & Co., Inc. | 1,546,696 | ||||||
169 | Mettler-Toledo International, Inc.* | 134,064 | ||||||
3,648 | Mylan NV* | 73,325 | ||||||
783 | PerkinElmer, Inc. | 76,029 | ||||||
823 | Perrigo Co. plc | 42,516 | ||||||
36,895 | Pfizer, Inc. | 1,445,546 | ||||||
529 | Regeneron Pharmaceuticals, Inc.* | 198,629 | ||||||
2,668 | Thermo Fisher Scientific, Inc. | 866,753 | ||||||
1,730 | Vertex Pharmaceuticals, Inc.* | 378,784 | ||||||
442 | Waters Corp.* | 103,273 | ||||||
3,160 | Zoetis, Inc. | 418,226 | ||||||
|
| |||||||
13,683,625 | ||||||||
|
| |||||||
Real Estate – 2.9% | ||||||||
739 | Alexandria Real Estate Equities, Inc. (REIT) | 119,408 | ||||||
2,946 | American Tower Corp. (REIT) | 677,050 | ||||||
990 | Apartment Investment & Management Co. Class A (REIT) | 51,133 | ||||||
944 | AvalonBay Communities, Inc. (REIT) | 197,957 | ||||||
961 | Boston Properties, Inc. (REIT) | 132,483 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Real Estate – (continued) | ||||||||
2,126 | CBRE Group, Inc. Class A* | 130,303 | ||||||
2,770 | Crown Castle International Corp. (REIT) | 393,756 | ||||||
1,405 | Digital Realty Trust, Inc. (REIT) | 168,235 | ||||||
2,429 | Duke Realty Corp. (REIT) | 84,213 | ||||||
560 | Equinix, Inc. (REIT) | 326,872 | ||||||
2,348 | Equity Residential (REIT) | 190,000 | ||||||
441 | Essex Property Trust, Inc. (REIT) | 132,679 | ||||||
877 | Extra Space Storage, Inc. (REIT) | 92,629 | ||||||
456 | Federal Realty Investment Trust (REIT) | 58,701 | ||||||
3,244 | Healthpeak Properties, Inc. (REIT) | 111,821 | ||||||
4,881 | Host Hotels & Resorts, Inc. (REIT) | 90,543 | ||||||
1,947 | Iron Mountain, Inc. (REIT) | 62,051 | ||||||
2,698 | Kimco Realty Corp. (REIT) | 55,876 | ||||||
754 | Mid-America Apartment Communities, Inc. (REIT) | 99,422 | ||||||
4,229 | Prologis, Inc. (REIT) | 376,973 | ||||||
988 | Public Storage (REIT) | 210,404 | ||||||
2,120 | Realty Income Corp. (REIT) | 156,096 | ||||||
1,101 | Regency Centers Corp. (REIT) | 69,462 | ||||||
761 | SBA Communications Corp. (REIT) | 183,393 | ||||||
2,041 | Simon Property Group, Inc. (REIT) | 304,027 | ||||||
531 | SL Green Realty Corp. (REIT) | 48,788 | ||||||
1,934 | UDR, Inc. (REIT) | 90,318 | ||||||
2,465 | Ventas, Inc. (REIT) | 142,329 | ||||||
1,036 | Vornado Realty Trust (REIT) | 68,894 | ||||||
2,721 | Welltower, Inc. (REIT) | 222,523 | ||||||
4,987 | Weyerhaeuser Co. (REIT) | 150,607 | ||||||
|
| |||||||
5,198,946 | ||||||||
|
| |||||||
Retailing – 6.2% | ||||||||
474 | Advance Auto Parts, Inc. | 75,916 | ||||||
2,777 | Amazon.com, Inc.* | 5,131,452 | ||||||
157 | AutoZone, Inc.* | 187,036 | ||||||
1,583 | Best Buy Co., Inc. | 138,987 | ||||||
278 | Booking Holdings, Inc.* | 570,937 | ||||||
1,145 | CarMax, Inc.* | 100,382 | ||||||
1,709 | Dollar General Corp. | 266,570 | ||||||
1,596 | Dollar Tree, Inc.* | 150,104 | ||||||
5,027 | eBay, Inc. | 181,525 | ||||||
956 | Expedia Group, Inc. | 103,382 | ||||||
1,458 | Gap, Inc. (The) | 25,777 | ||||||
1,009 | Genuine Parts Co. | 107,186 | ||||||
7,274 | Home Depot, Inc. (The) | 1,588,496 | ||||||
1,057 | Kohl’s Corp. | 53,854 | ||||||
1,575 | L Brands, Inc. | 28,539 | ||||||
1,999 | LKQ Corp.* | 71,364 | ||||||
5,090 | Lowe’s Cos., Inc. | 609,578 | ||||||
2,233 | Macy’s, Inc. | 37,961 | ||||||
696 | Nordstrom, Inc. | 28,487 | ||||||
514 | O’Reilly Automotive, Inc.* | 225,266 | ||||||
2,428 | Ross Stores, Inc. | 282,668 | ||||||
3,359 | Target Corp. | 430,657 | ||||||
710 | Tiffany & Co. | 94,892 | ||||||
|
|
38 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Retailing – (continued) | ||||||||
8,111 | TJX Cos., Inc. (The) | $ | 495,258 | |||||
773 | Tractor Supply Co. | 72,229 | ||||||
381 | Ulta Beauty, Inc.* | 96,446 | ||||||
|
| |||||||
11,154,949 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 4.2% | ||||||||
7,236 | Advanced Micro Devices, Inc.* | 331,843 | ||||||
2,482 | Analog Devices, Inc. | 294,961 | ||||||
6,213 | Applied Materials, Inc. | 379,241 | ||||||
2,640 | Broadcom, Inc. | 834,293 | ||||||
29,080 | Intel Corp. | 1,740,438 | ||||||
1,064 | KLA Corp. | 189,573 | ||||||
973 | Lam Research Corp. | 284,505 | ||||||
1,812 | Maxim Integrated Products, Inc. | 111,456 | ||||||
1,568 | Microchip Technology, Inc. | 164,201 | ||||||
7,364 | Micron Technology, Inc.* | 396,036 | ||||||
4,057 | NVIDIA Corp. | 954,612 | ||||||
764 | Qorvo, Inc.* | 88,800 | ||||||
7,599 | QUALCOMM, Inc. | 670,460 | ||||||
1,174 | Skyworks Solutions, Inc. | 141,913 | ||||||
6,217 | Texas Instruments, Inc. | 797,579 | ||||||
1,686 | Xilinx, Inc. | 164,840 | ||||||
|
| |||||||
7,544,751 | ||||||||
|
| |||||||
Software & Services – 12.4% | ||||||||
4,226 | Accenture plc Class A | 889,869 | ||||||
3,236 | Adobe, Inc.* | 1,067,265 | ||||||
1,047 | Akamai Technologies, Inc.* | 90,440 | ||||||
250 | Alliance Data Systems Corp. | 28,050 | ||||||
553 | ANSYS, Inc.* | 142,348 | ||||||
1,464 | Autodesk, Inc.* | 268,586 | ||||||
2,885 | Automatic Data Processing, Inc. | 491,893 | ||||||
745 | Broadridge Financial Solutions, Inc. | 92,037 | ||||||
1,895 | Cadence Design Systems, Inc.* | 131,437 | ||||||
803 | Citrix Systems, Inc. | 89,053 | ||||||
3,714 | Cognizant Technology Solutions Corp. Class A | 230,342 | ||||||
1,690 | DXC Technology Co. | 63,527 | ||||||
4,067 | Fidelity National Information Services, Inc. | 565,679 | ||||||
3,807 | Fiserv, Inc.* | 440,203 | ||||||
572 | FleetCor Technologies, Inc.* | 164,576 | ||||||
928 | Fortinet, Inc.* | 99,073 | ||||||
613 | Gartner, Inc.* | 94,463 | ||||||
1,988 | Global Payments, Inc. | 362,929 | ||||||
5,882 | International Business Machines Corp. | 788,423 | ||||||
1,738 | Intuit, Inc. | 455,234 | ||||||
524 | Jack Henry & Associates, Inc. | 76,331 | ||||||
890 | Leidos Holdings, Inc. | 87,122 | ||||||
5,931 | Mastercard, Inc. Class A | 1,770,937 | ||||||
50,871 | Microsoft Corp. | 8,022,357 | ||||||
3,772 | NortonLifeLock, Inc. | 96,261 | ||||||
14,401 | Oracle Corp. | 762,965 | ||||||
2,127 | Paychex, Inc. | 180,923 | ||||||
7,869 | PayPal Holdings, Inc.* | 851,190 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Software & Services – (continued) | ||||||||
5,845 | salesforce.com, Inc.* | 950,631 | ||||||
1,255 | ServiceNow, Inc.* | 354,312 | ||||||
1,002 | Synopsys, Inc.* | 139,478 | ||||||
694 | VeriSign, Inc.* | 133,720 | ||||||
11,405 | Visa, Inc. Class A | 2,143,000 | ||||||
2,781 | Western Union Co. (The) | 74,475 | ||||||
|
| |||||||
22,199,129 | ||||||||
|
| |||||||
Technology Hardware & Equipment – 6.5% | ||||||||
2,008 | Amphenol Corp. Class A | 217,326 | ||||||
27,851 | Apple, Inc. | 8,178,446 | ||||||
366 | Arista Networks, Inc.* | 74,444 | ||||||
989 | CDW Corp. | 141,269 | ||||||
28,185 | Cisco Systems, Inc. | 1,351,753 | ||||||
5,184 | Corning, Inc. | 150,906 | ||||||
399 | F5 Networks, Inc.* | 55,720 | ||||||
933 | FLIR Systems, Inc. | 48,581 | ||||||
8,696 | Hewlett Packard Enterprise Co. | 137,919 | ||||||
9,929 | HP, Inc. | 204,041 | ||||||
242 | IPG Photonics Corp.* | 35,071 | ||||||
2,372 | Juniper Networks, Inc. | 58,422 | ||||||
1,287 | Keysight Technologies, Inc.* | 132,085 | ||||||
1,087 | Motorola Solutions, Inc. | 175,159 | ||||||
1,571 | NetApp, Inc. | 97,795 | ||||||
1,561 | Seagate Technology plc | 92,879 | ||||||
2,243 | TE Connectivity Ltd. | 214,969 | ||||||
2,010 | Western Digital Corp. | 127,575 | ||||||
1,356 | Xerox Holdings Corp. | 49,996 | ||||||
360 | Zebra Technologies Corp. Class A* | 91,958 | ||||||
|
| |||||||
11,636,314 | ||||||||
|
| |||||||
Telecommunication Services – 2.1% | ||||||||
48,762 | AT&T, Inc. | 1,905,619 | ||||||
6,771 | CenturyLink, Inc. | 89,445 | ||||||
2,141 | T-Mobile US, Inc.* | 167,897 | ||||||
27,475 | Verizon Communications, Inc. | 1,686,965 | ||||||
|
| |||||||
3,849,926 | ||||||||
|
| |||||||
Transportation – 1.9% | ||||||||
861 | Alaska Air Group, Inc. | 58,333 | ||||||
2,591 | American Airlines Group, Inc. | 74,310 | ||||||
930 | CH Robinson Worldwide, Inc. | 72,726 | ||||||
5,212 | CSX Corp. | 377,140 | ||||||
3,893 | Delta Air Lines, Inc. | 227,663 | ||||||
1,121 | Expeditors International of Washington, Inc. | 87,460 | ||||||
1,605 | FedEx Corp. | 242,692 | ||||||
560 | JB Hunt Transport Services, Inc. | 65,397 | ||||||
662 | Kansas City Southern | 101,392 | ||||||
1,763 | Norfolk Southern Corp. | 342,251 | ||||||
426 | Old Dominion Freight Line, Inc. | 80,846 | ||||||
3,232 | Southwest Airlines Co. | 174,463 | ||||||
4,616 | Union Pacific Corp. | 834,527 | ||||||
1,448 | United Airlines Holdings, Inc.* | 127,554 | ||||||
4,680 | United Parcel Service, Inc. Class B | 547,841 | ||||||
|
| |||||||
3,414,595 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 39 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
Schedule of Investments(continued)
December 31, 2019
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Utilities – 3.3% | ||||||||
4,573 | AES Corp. | $ | 91,003 | |||||
1,551 | Alliant Energy Corp. | 84,871 | ||||||
1,618 | Ameren Corp. | 124,262 | ||||||
3,271 | American Electric Power Co., Inc. | 309,142 | ||||||
1,214 | American Water Works Co., Inc. | 149,140 | ||||||
790 | Atmos Energy Corp. | 88,369 | ||||||
3,331 | CenterPoint Energy, Inc. | 90,836 | ||||||
1,893 | CMS Energy Corp. | 118,956 | ||||||
2,254 | Consolidated Edison, Inc. | 203,919 | ||||||
5,500 | Dominion Energy, Inc. | 455,510 | ||||||
1,209 | DTE Energy Co. | 157,013 | ||||||
4,878 | Duke Energy Corp. | 444,922 | ||||||
2,224 | Edison International | 167,712 | ||||||
1,320 | Entergy Corp. | 158,136 | ||||||
1,561 | Evergy, Inc. | 101,605 | ||||||
2,168 | Eversource Energy | 184,432 | ||||||
6,413 | Exelon Corp. | 292,369 | ||||||
3,393 | FirstEnergy Corp. | 164,900 | ||||||
3,264 | NextEra Energy, Inc. | 790,410 | ||||||
2,594 | NiSource, Inc. | 72,217 | ||||||
1,628 | NRG Energy, Inc. | 64,713 | ||||||
731 | Pinnacle West Capital Corp. | 65,739 | ||||||
4,854 | PPL Corp. | 174,162 | ||||||
3,409 | Public Service Enterprise Group, Inc. | 201,301 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Utilities – (continued) | ||||||||
1,824 | Sempra Energy | 276,300 | ||||||
7,023 | Southern Co. (The) | 447,365 | ||||||
2,112 | WEC Energy Group, Inc. | 194,790 | ||||||
3,546 | Xcel Energy, Inc. | 225,136 | ||||||
|
| |||||||
5,899,230 | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 99.4% | ||||||||
(Cost $57,235,140) | $ | 178,502,696 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF | 1,039,316 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 179,542,012 | ||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | Represents an Affiliated Issuer. |
Investment Abbreviation: | ||
REIT | — Real Estate Investment Trust |
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS — At December 31, 2019, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
S&P 500 E-Mini Index | 8 | 03/20/2020 | $ | 1,292,440 | $ | 21,172 |
40 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND
Schedule of Investments
December 31, 2019
Shares | Description | Value | ||||||
Common Stocks – 98.4% | ||||||||
Banks – 0.5% | ||||||||
3,282 | First Republic Bank | $ | 385,471 | |||||
|
| |||||||
Capital Goods – 12.7% | ||||||||
10,615 | AMETEK, Inc. | 1,058,740 | ||||||
13,104 | Fortive Corp. | 1,001,015 | ||||||
4,417 | Graco, Inc. | 229,684 | ||||||
3,730 | HEICO Corp. | 425,779 | ||||||
6,740 | IDEX Corp. | 1,159,280 | ||||||
12,219 | Ingersoll-Rand plc | 1,624,149 | ||||||
7,570 | L3Harris Technologies, Inc. | 1,497,876 | ||||||
7,285 | Rockwell Automation, Inc. | 1,476,451 | ||||||
11,121 | Xylem, Inc. | 876,224 | ||||||
|
| |||||||
9,349,198 | ||||||||
|
| |||||||
Commercial & Professional Services – 4.3% | ||||||||
4,339 | Cintas Corp. | 1,167,538 | ||||||
8,634 | TransUnion | 739,157 | ||||||
8,625 | Verisk Analytics, Inc. | 1,288,057 | ||||||
|
| |||||||
3,194,752 | ||||||||
|
| |||||||
Consumer Durables & Apparel – 2.4% | ||||||||
5,510 | Lululemon Athletica, Inc.* | 1,276,502 | ||||||
4,932 | PVH Corp. | 518,600 | ||||||
|
| |||||||
1,795,102 | ||||||||
|
| |||||||
Consumer Services – 4.2% | ||||||||
8,122 | Bright Horizons Family Solutions, Inc.* | 1,220,655 | ||||||
7,081 | Choice Hotels International, Inc. | 732,388 | ||||||
742 | Domino’s Pizza, Inc. | 217,985 | ||||||
4,596 | Wingstop, Inc. | 396,313 | ||||||
3,771 | Wynn Resorts Ltd. | 523,679 | ||||||
|
| |||||||
3,091,020 | ||||||||
|
| |||||||
Diversified Financials – 3.8% | ||||||||
5,089 | Discover Financial Services | 431,649 | ||||||
2,070 | MarketAxess Holdings, Inc. | 784,758 | ||||||
1,898 | MSCI, Inc. | 490,026 | ||||||
6,294 | Northern Trust Corp. | 668,674 | ||||||
3,129 | T. Rowe Price Group, Inc. | 381,237 | ||||||
|
| |||||||
2,756,344 | ||||||||
|
| |||||||
Energy – 1.3% | ||||||||
15,764 | Cheniere Energy, Inc.* | 962,708 | ||||||
|
| |||||||
Food & Staples Retailing – 0.9% | ||||||||
19,555 | Grocery Outlet Holding Corp.* | 634,560 | ||||||
|
| |||||||
Food, Beverage & Tobacco – 2.3% | ||||||||
6,862 | Lamb Weston Holdings, Inc. | 590,338 | ||||||
6,315 | McCormick & Co., Inc.(Non-Voting) | 1,071,845 | ||||||
|
| |||||||
1,662,183 | ||||||||
|
| |||||||
Health Care Equipment & Services – 10.0% | ||||||||
1,952 | ABIOMED, Inc.* | 332,992 | ||||||
18,108 | Centene Corp.* | 1,138,450 | ||||||
2,013 | Cooper Cos., Inc. (The) | 646,757 | ||||||
1,490 | Edwards Lifesciences Corp.* | 347,602 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Health Care Equipment & Services – (continued) | ||||||||
13,025 | Envista Holdings Corp.* | 386,061 | ||||||
3,949 | Guardant Health, Inc.* | 308,575 | ||||||
4,615 | IDEXX Laboratories, Inc.* | 1,205,115 | ||||||
3,406 | Teleflex, Inc. | 1,282,155 | ||||||
1,175 | Veeva Systems, Inc. Class A* | 165,275 | ||||||
3,271 | West Pharmaceutical Services, Inc. | 491,729 | ||||||
6,781 | Zimmer Biomet Holdings, Inc. | 1,014,980 | ||||||
|
| |||||||
7,319,691 | ||||||||
|
| |||||||
Household & Personal Products – 1.5% | ||||||||
13,181 | BellRing Brands, Inc. Class A* | 280,623 | ||||||
11,814 | Church & Dwight Co., Inc. | 830,997 | ||||||
|
| |||||||
1,111,620 | ||||||||
|
| |||||||
Materials – 3.8% | ||||||||
19,792 | Ball Corp. | 1,279,949 | ||||||
3,601 | Celanese Corp. | 443,355 | ||||||
3,790 | Martin Marietta Materials, Inc. | 1,059,835 | ||||||
|
| |||||||
2,783,139 | ||||||||
|
| |||||||
Media & Entertainment – 3.6% | ||||||||
3,633 | IAC/InterActiveCorp* | 905,016 | ||||||
26,127 | Snap, Inc. Class A* | 426,654 | ||||||
2,691 | Spotify Technology SA* | 402,439 | ||||||
8,516 | Twitter, Inc.* | 272,938 | ||||||
9,647 | World Wrestling Entertainment, Inc. Class A | 625,801 | ||||||
|
| |||||||
2,632,848 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences – 8.8% | ||||||||
10,113 | Adaptive Biotechnologies Corp.*(a) | 302,581 | ||||||
4,648 | Agilent Technologies, Inc. | 396,521 | ||||||
11,997 | Agios Pharmaceuticals, Inc.* | 572,857 | ||||||
6,688 | BioMarin Pharmaceutical, Inc.* | 565,470 | ||||||
14,334 | Catalent, Inc.* | 807,004 | ||||||
27,463 | Elanco Animal Health, Inc.* | 808,785 | ||||||
4,981 | Exact Sciences Corp.* | 460,643 | ||||||
1,816 | Illumina, Inc.* | 602,440 | ||||||
4,101 | Incyte Corp.* | 358,099 | ||||||
736 | Mettler-Toledo International, Inc.* | 583,854 | ||||||
10,483 | Moderna, Inc.* | 205,048 | ||||||
2,193 | Neurocrine Biosciences, Inc.* | 235,726 | ||||||
4,158 | Sarepta Therapeutics, Inc.* | 536,548 | ||||||
|
| |||||||
6,435,576 | ||||||||
|
| |||||||
Real Estate Investment Trusts – 2.9% | ||||||||
9,139 | Equity LifeStyle Properties, Inc. | 643,294 | ||||||
6,262 | SBA Communications Corp. | 1,509,080 | ||||||
|
| |||||||
2,152,374 | ||||||||
|
| |||||||
Retailing – 8.6% | ||||||||
4,124 | Burlington Stores, Inc.* | 940,396 | ||||||
12,361 | Dollar General Corp. | 1,928,069 | ||||||
1,201 | Five Below, Inc.* | 153,560 | ||||||
723 | MercadoLibre, Inc.* | 413,512 | ||||||
3,330 | O’Reilly Automotive, Inc.* | 1,459,406 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 41 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND
Schedule of Investments(continued)
December 31, 2019
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Retailing – (continued) | ||||||||
5,110 | Ross Stores, Inc. | $ | 594,906 | |||||
3,371 | Ulta Beauty, Inc.* | 853,335 | ||||||
|
| |||||||
6,343,184 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 5.5% | ||||||||
21,221 | Advanced Micro Devices, Inc.* | 973,195 | ||||||
3,245 | Analog Devices, Inc. | 385,636 | ||||||
38,307 | Marvell Technology Group Ltd. | 1,017,434 | ||||||
8,624 | MKS Instruments, Inc. | 948,726 | ||||||
1,611 | Monolithic Power Systems, Inc. | 286,790 | ||||||
4,757 | Xilinx, Inc. | 465,092 | ||||||
|
| |||||||
4,076,873 | ||||||||
|
| |||||||
Software & Services – 17.3% | ||||||||
5,429 | Anaplan, Inc.* | 284,480 | ||||||
7,943 | Atlassian Corp. plc Class A* | 955,861 | ||||||
9,293 | Black Knight, Inc.* | 599,213 | ||||||
13,704 | Cadence Design Systems, Inc.* | 950,509 | ||||||
2,713 | Citrix Systems, Inc. | 300,872 | ||||||
3,745 | Coupa Software, Inc.* | 547,706 | ||||||
8,063 | Fidelity National Information Services, Inc. | 1,121,483 | ||||||
20,799 | Fiserv, Inc.* | 2,404,988 | ||||||
7,060 | Global Payments, Inc. | 1,288,874 | ||||||
4,747 | HubSpot, Inc.* | 752,399 | ||||||
5,143 | Palo Alto Networks, Inc.* | 1,189,319 | ||||||
22,744 | Slack Technologies, Inc. Class A*(a) | 511,285 | ||||||
8,573 | Splunk, Inc.* | 1,283,978 | ||||||
3,401 | Twilio, Inc. Class A* | 334,250 | ||||||
1,701 | Wix.com Ltd.* | 208,168 | ||||||
|
| |||||||
12,733,385 | ||||||||
|
| |||||||
Technology Hardware & Equipment – 2.9% | ||||||||
9,221 | Amphenol Corp. Class A | 997,989 | ||||||
1,549 | F5 Networks, Inc.* | 216,318 | ||||||
2,648 | Motorola Solutions, Inc. | 426,698 | ||||||
12,100 | National Instruments Corp. | 512,314 | ||||||
|
| |||||||
2,153,319 | ||||||||
|
| |||||||
Transportation – 1.1% | ||||||||
4,279 | Old Dominion Freight Line, Inc. | 812,069 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $54,552,378) | $ | 72,385,416 | ||||||
|
| |||||||
Shares | Dividend Rate | Value | ||||||
Investment Company(b) – 1.4% | ||||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||||
998,484 | 1.638 | % | $ | 998,484 | ||||
(Cost $998,484) |
| |||||||
| ||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE |
| |||||||
(Cost $55,550,862) |
| $ | 73,383,900 | |||||
| ||||||||
Securities Lending Reinvestment Vehicle(b) – 1.1% | ||||||||
Goldman Sachs Financial Square Government Fund – Institutional Shares |
| |||||||
809,324 | 1.638 | % | $ | 809,324 | ||||
(Cost $809,324) |
| |||||||
| ||||||||
TOTAL INVESTMENTS – 100.9% |
| |||||||
(Cost $56,360,186) |
| $ | 74,193,224 | |||||
| ||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (0.9)% |
| (693,365 | ) | |||||
| ||||||||
NET ASSETS – 100.0% |
| $ | 73,499,859 | |||||
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. | |
(b) | Represents an Affiliated Issuer. |
42 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST HIGH QUALITY FLOATING RATE FUND
Schedule of Investments
December 31, 2019
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||
Mortgage-Backed Securities – 2.7% | ||||||||||||
Adjustable Rate FHLMC(a) – 0.9% | ||||||||||||
$ | 92,187 | 4.625% | 05/01/2035 | $ | 96,329 | |||||||
17,072 | 4.250 | 09/01/2035 | 17,999 | |||||||||
102,792 | 4.375 | 12/01/2036 | 107,594 | |||||||||
112,699 | 5.180 | 04/01/2037 | 118,029 | |||||||||
215,338 | 4.338 | 01/01/2038 | 226,823 | |||||||||
138,617 | 4.565 | 01/01/2038 | 144,861 | |||||||||
|
| |||||||||||
711,635 | ||||||||||||
|
| |||||||||||
Adjustable Rate FNMA(a) – 1.2% | ||||||||||||
37,816 | 4.138 | 05/01/2033 | 39,146 | |||||||||
71,222 | 4.708 | 05/01/2035 | 74,762 | |||||||||
263,911 | 4.612 | 06/01/2035 | 276,465 | |||||||||
369,220 | 3.778 | 11/01/2035 | 384,177 | |||||||||
49,852 | 3.766 | 12/01/2035 | 52,068 | |||||||||
147,587 | 4.286 | 03/01/2037 | 154,572 | |||||||||
|
| |||||||||||
981,190 | ||||||||||||
|
| |||||||||||
Adjustable Rate GNMA(a) – 0.2% | ||||||||||||
165,710 | 3.875 | 04/20/2033 | 170,204 | |||||||||
|
| |||||||||||
Agency Multi-Family – 0.4% | ||||||||||||
FNMA | ||||||||||||
25,480 | 3.416 | 10/01/2020 | 25,515 | |||||||||
27,429 | 3.619 | 12/01/2020 | 27,648 | |||||||||
205,946 | 3.771 | 12/01/2020 | 207,066 | |||||||||
85,762 | 4.381 | 06/01/2021 | 87,503 | |||||||||
|
| |||||||||||
347,732 | ||||||||||||
|
| |||||||||||
TOTAL MORTGAGE-BACKED SECURITIES | ||||||||||||
(Cost $2,236,800) | $ | 2,210,761 | ||||||||||
|
| |||||||||||
Collateralized Mortgage Obligations(a) – 21.1% | ||||||||||||
Adjustable RateNon-Agency(b)(c) – 0.2% | ||||||||||||
Holmes Master Issuer plc Series2018-1A, Class A2 | ||||||||||||
$ | 131,429 | 2.361% | 10/15/2054 | $ | 131,362 | |||||||
|
| |||||||||||
Agency Multi-Family – 1.5% | ||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates | | ||||||||||
200,249 | 2.047 | 08/25/2025 | 199,245 | |||||||||
| FHLMC Multifamily Structured Pass-Through Certificates | | ||||||||||
11,456 | 2.037 | 01/25/2021 | 11,453 | |||||||||
| FHLMC Multifamily Structured Pass-Through Certificates | | ||||||||||
517,993 | 2.067 | 05/25/2024 | 516,985 | |||||||||
| FHLMC Multifamily Structured Pass-Through Certificates | | ||||||||||
301,232 | 1.947 | 12/25/2024 | 300,035 | |||||||||
| FHLMC Multifamily Structured Pass-Through Certificates | | ||||||||||
202,449 | 2.077 | 08/25/2023 | 202,367 | |||||||||
|
| |||||||||||
1,230,085 | ||||||||||||
|
| |||||||||||
Collateralized Mortgage Obligations(a) – (continued) | ||||||||||||
Regular Floater – 19.4% | ||||||||||||
FHLMC REMIC Series 3049, Class FP | ||||||||||||
161,535 | 2.090 | 10/15/2035 | 161,091 | |||||||||
FHLMC REMIC Series 3208, Class FB(c) | ||||||||||||
91,518 | 2.140 | 08/15/2036 | 91,483 | |||||||||
FHLMC REMIC Series 3208, Class FD(c) | ||||||||||||
136,363 | 2.140 | 08/15/2036 | 136,311 | |||||||||
FHLMC REMIC Series 3208, Class FG(c) | ||||||||||||
549,111 | 2.140 | 08/15/2036 | 548,900 | |||||||||
FHLMC REMIC Series 3307, Class FT | ||||||||||||
862,372 | 1.980 | 07/15/2034 | 857,131 | |||||||||
FHLMC REMIC Series 3311, Class KF | ||||||||||||
1,533,354 | 2.080 | 05/15/2037 | 1,526,543 | |||||||||
FHLMC REMIC Series 3371, Class FA(c) | ||||||||||||
353,469 | 2.340 | 09/15/2037 | 356,170 | |||||||||
FHLMC REMIC Series 4174, Class FB(c) | ||||||||||||
575,122 | 2.040 | 05/15/2039 | 573,404 | |||||||||
FHLMC REMIC Series 4320, Class FD | ||||||||||||
304,481 | 2.140 | 07/15/2039 | 304,128 | |||||||||
FHLMC REMIC Series 4477, Class FG | ||||||||||||
348,227 | 2.081 | 10/15/2040 | 347,121 | |||||||||
FHLMC REMIC Series 4508, Class CF | ||||||||||||
289,529 | 2.140 | 09/15/2045 | 289,760 | |||||||||
FHLMC REMIC Series 4631, Class GF | ||||||||||||
1,853,687 | 2.240 | 11/15/2046 | 1,853,685 | |||||||||
FHLMC REMIC Series 4637, Class QF | ||||||||||||
1,818,874 | 2.691 | 04/15/2044 | 1,821,002 | |||||||||
FNMA REMIC Series2006-82, Class F | ||||||||||||
126,490 | 2.362 | 09/25/2036 | 126,966 | |||||||||
FNMA REMIC Series2006-96, Class FA | ||||||||||||
453,504 | 2.092 | 10/25/2036 | 451,207 | |||||||||
FNMA REMIC Series2007-33, Class HF | ||||||||||||
80,727 | 2.142 | 04/25/2037 | 80,510 | |||||||||
FNMA REMIC Series2007-36, Class F | ||||||||||||
130,566 | 2.022 | 04/25/2037 | 129,610 | |||||||||
FNMA REMIC Series2007-85, Class FC | ||||||||||||
356,795 | 2.332 | 09/25/2037 | 358,016 | |||||||||
FNMA REMIC Series2008-8, Class FB | ||||||||||||
270,770 | 2.612 | 02/25/2038 | 273,255 | |||||||||
FNMA REMIC Series2011-63, Class FG | ||||||||||||
305,570 | 2.242 | 07/25/2041 | 306,738 | |||||||||
FNMA REMIC Series2012-35, Class QF | ||||||||||||
982,081 | 2.192 | 04/25/2042 | 980,168 | |||||||||
FNMA REMIC Series2016-1, Class FT | ||||||||||||
935,653 | 2.142 | 02/25/2046 | 932,076 | |||||||||
FNMA REMIC Series2017-45, Class FA | ||||||||||||
510,978 | 2.101 | 06/25/2047 | 510,424 | |||||||||
FNMA REMIC Series2017-96, Class FC | ||||||||||||
1,047,852 | 2.192 | 12/25/2057 | 1,043,374 | |||||||||
GNMA REMIC Series2005-48, Class AF | ||||||||||||
461,131 | 1.965 | 06/20/2035 | 457,385 | |||||||||
GNMA REMIC Series2012-98, Class FA | ||||||||||||
426,185 | 2.165 | 08/20/2042 | 425,778 | |||||||||
NCUA Guaranteed Notes Trust Series2010-R1, Class 1A(c) | ||||||||||||
78,378 | 2.163 | 10/07/2020 | 78,391 | |||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 43 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST HIGH QUALITY FLOATING RATE FUND
Schedule of Investments(continued)
December 31, 2019
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||
Collateralized Mortgage Obligations(a) – (continued) | ||||||||||||
Regular Floater – (continued) | ||||||||||||
NCUA Guaranteed Notes Trust Series2010-R2, Class 2A(c) | ||||||||||||
$ | 230,220 | 2.183 % | 11/05/2020 | $ | 230,327 | |||||||
NCUA Guaranteed Notes Trust Series2011-R1, Class 1A(c) | ||||||||||||
537,302 | 2.163 | 01/08/2020 | 537,769 | |||||||||
|
| |||||||||||
15,788,723 | ||||||||||||
|
| |||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | ||||||||||||
(Cost $17,177,644) | $ | 17,150,170 | ||||||||||
|
| |||||||||||
Commercial Mortgage-Backed Security(a) – 0.3% | ||||||||||||
Agency Multi-Family – 0.3% | ||||||||||||
FNMA ACES REMIC Series2017-M13, Class FA | ||||||||||||
$ | 223,751 | 2.246% | 10/25/2024 | $ | 221,593 | |||||||
(Cost $223,507) | ||||||||||||
|
| |||||||||||
U.S. Government Agency Security(a) – 2.5% | ||||||||||||
FNMA | ||||||||||||
$ | 2,000,000 | (SOFR + 0.16%), 1.700% | 01/30/2020 | $ | 2,000,205 | |||||||
(Cost $2,000,000) | ||||||||||||
|
| |||||||||||
Asset-Backed Securities – 35.4% | ||||||||||||
Automobile(c) – 8.8% | ||||||||||||
Ally Master Owner Trust Series2017-3, Class A1(a) | ||||||||||||
$ | 1,350,000 | 2.170% | 06/15/2022 | $ | 1,351,371 | |||||||
Ally Master Owner Trust Series2018-1, Class A2 | ||||||||||||
800,000 | 2.700 | 01/17/2023 | 805,667 | |||||||||
Chesapeake Funding II LLC Series2017-3A, Class A2(a)(b) | ||||||||||||
209,548 | 2.080 | 08/15/2029 | 209,390 | |||||||||
| Ford Credit Floorplan Master Owner Trust A Series2015-2, | | ||||||||||
1,210,000 | 2.310 | 01/15/2022 | 1,210,109 | |||||||||
| GMF Floorplan Owner Revolving Trust Series2017-2, | | ||||||||||
900,000 | 2.170 | 07/15/2022 | 900,749 | |||||||||
Mercedes-Benz Master Owner Trust Series2018-AA, Class A(a)(b) | ||||||||||||
1,500,000 | 2.000 | 05/16/2022 | 1,500,167 | |||||||||
Nissan Master Owner Trust Receivables Series2017-C, Class A(a) | ||||||||||||
300,000 | 2.060 | 10/17/2022 | 300,015 | |||||||||
Nissan Master Owner Trust Receivables Series2019-A, Class A(a) | ||||||||||||
850,000 | 2.300 | 02/15/2024 | 852,887 | |||||||||
|
| |||||||||||
7,130,355 | ||||||||||||
|
| |||||||||||
Collateralized Loan Obligations(a)(b)(c) – 7.0% | ||||||||||||
| Benefit Street Partners CLO VII Ltd. Series 2015-VIIA, | | ||||||||||
960,745 | 2.783 | 07/18/2027 | 960,759 | |||||||||
Bowman Park CLO Ltd. Series2014-1A, Class AR | ||||||||||||
151,916 | 3.089 | 11/23/2025 | 151,940 | |||||||||
|
| |||||||||||
Asset-Backed Securities – (continued) | ||||||||||||
Collateralized Loan Obligations(a)(b)(c) – (continued) | ||||||||||||
California Street CLO XII Ltd. Series2013-12A, Class AR | ||||||||||||
145,516 | 3.031 | 10/15/2025 | 145,531 | |||||||||
CBAM Ltd. Series2018-5A, Class A | ||||||||||||
1,100,000 | 3.022 | 04/17/2031 | 1,091,265 | |||||||||
Cutwater Ltd. Series2014-1A, Class A1AR | ||||||||||||
171,521 | 3.251 | 07/15/2026 | 171,649 | |||||||||
Dryden 64 CLO Ltd. Series2018-64A, Class A | ||||||||||||
600,000 | 2.973 | 04/18/2031 | 594,032 | |||||||||
Halcyon Loan Advisors Funding Ltd. Series2014-1A, Class A1R | ||||||||||||
55,415 | 3.133 | 04/18/2026 | 55,399 | |||||||||
Madison Park Funding XXX Ltd. Series2018-30A, Class A | ||||||||||||
1,100,000 | 2.751 | 04/15/2029 | 1,091,842 | |||||||||
Parallel Ltd. Series2015-1A, Class AR | ||||||||||||
300,000 | 2.816 | 07/20/2027 | 299,706 | |||||||||
Pikes Peak CLO 2 Series2018-2A, Class A | ||||||||||||
800,000 | 3.293 | 01/18/2032 | 797,242 | |||||||||
Trinitas CLO II Ltd. Series2014-2A, Class A1R | ||||||||||||
148,858 | 3.181 | 07/15/2026 | 149,069 | |||||||||
WhiteHorse IX Ltd. Series2014-9A, Class AR | ||||||||||||
193,915 | 3.162 | 07/17/2026 | 194,115 | |||||||||
|
| |||||||||||
5,702,549 | ||||||||||||
|
| |||||||||||
Credit Card(a)(c) – 7.8% | ||||||||||||
CARDS II Trust Series2018-1A, Class A(b) | ||||||||||||
2,200,000 | 2.090 | 04/17/2023 | 2,200,945 | |||||||||
Citibank Credit Card Issuance Trust Series2017-A5, Class A5 | ||||||||||||
1,400,000 | 2.405 | 04/22/2026 | 1,409,947 | |||||||||
Citibank Credit Card Issuance Trust Series2017-A7, Class A7 | ||||||||||||
500,000 | 2.080 | 08/08/2024 | 501,110 | |||||||||
Evergreen Credit Card Trust Series2019-1, Class A(b) | ||||||||||||
1,000,000 | 2.220 | 01/15/2023 | 1,002,481 | |||||||||
Golden Credit Card Trust Series2019-1A, Class A(b) | ||||||||||||
350,000 | 2.190 | 12/15/2022 | 350,636 | |||||||||
Trillium Credit Card Trust II Series2018-1A, Class A(b) | ||||||||||||
900,000 | 2.042 | 02/27/2023 | 900,026 | |||||||||
|
| |||||||||||
6,365,145 | ||||||||||||
|
| |||||||||||
Student Loans(a) – 11.8% | ||||||||||||
Academic Loan Funding Trust Series2013-1A, Class A(b)(c) | ||||||||||||
376,343 | 2.592 | 12/26/2044 | 371,068 | |||||||||
Access Group, Inc. Series2015-1, Class A(b)(c) | ||||||||||||
147,764 | 2.492 | 07/25/2056 | 145,435 | |||||||||
| Access to Loans for Learning Student Loan Corp. Series2013-I, | | ||||||||||
371,051 | 2.592 | 02/25/2041 | 364,830 | |||||||||
| Brazos Higher Education Authority, Inc. Series2011-1, | | ||||||||||
716,787 | 2.710 | 02/25/2030 | 716,568 | |||||||||
ECMC Group Student Loan Trust Series2018-1A, Class A(b)(c) | ||||||||||||
540,027 | 2.542 | 02/27/2068 | 531,252 | |||||||||
Edsouth Indenture No. 4 LLC Series2013-1, Class A(b)(c) | ||||||||||||
99,091 | 2.362 | 02/26/2029 | 98,540 | |||||||||
Edsouth Indenture No. 5 LLC Series2014-1, Class A(b)(c) | ||||||||||||
173,533 | 2.492 | 02/25/2039 | 171,240 | |||||||||
|
|
44 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST HIGH QUALITY FLOATING RATE FUND
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||
Asset-Backed Securities – (continued) | ||||||||||||
Student Loans(a) – (continued) | ||||||||||||
Education Loan Asset-Backed Trust I Series2013-1, Class A1(b)(c) | ||||||||||||
$ | 73,695 | 2.592 % | 06/25/2026 | $ | 73,723 | |||||||
Educational Funding of the South, Inc. Series2011-1, Class A2(c) | ||||||||||||
331,441 | 2.590 | 04/25/2035 | 328,610 | |||||||||
Educational Funding of the South, Inc. Series2012-1, Class A | ||||||||||||
241,913 | 2.842 | 03/25/2036 | 243,810 | |||||||||
Higher Education Funding I Series2014-1, Class A(b)(c) | ||||||||||||
268,700 | 2.959 | 05/25/2034 | 268,699 | |||||||||
Illinois Student Assistance Commission Series2010-1, Class A3 | ||||||||||||
170,383 | 2.840 | 07/25/2045 | 168,585 | |||||||||
| Kentucky Higher Education Student Loan Corp. Series2013-2, | | ||||||||||
515,016 | 2.309 | 09/01/2028 | 509,546 | |||||||||
| Kentucky Higher Education Student Loan Corp. Series2015-1, | | ||||||||||
490,618 | 2.458 | 12/01/2031 | 485,939 | |||||||||
| Montana Higher Education Student Assistance Corp. Series | | ||||||||||
440,566 | 2.765 | 05/20/2030 | 440,878 | |||||||||
Navient Student Loan Trust Series2016-7A, Class A(b)(c) | ||||||||||||
118,232 | 2.955 | 03/25/2066 | 118,276 | |||||||||
Nelnet Student Loan Trust Series2006-1, Class A5(c) | ||||||||||||
287,321 | 2.019 | 08/23/2027 | 286,845 | |||||||||
Nelnet Student Loan Trust Series2013-5A, Class A(b)(c) | ||||||||||||
67,027 | 2.422 | 01/25/2037 | 65,989 | |||||||||
Nelnet Student Loan Trust Series2014-3A, Class A(b)(c) | ||||||||||||
547,892 | 2.372 | 06/25/2041 | 536,391 | |||||||||
| New Hampshire Higher Education Loan Corp. Series2011-1, | | ||||||||||
181,023 | 2.790 | 10/25/2037 | 180,058 | |||||||||
| Pennsylvania Higher Education Assistance Agency Series2006-1, | | ||||||||||
406,088 | 2.080 | 10/25/2035 | 395,792 | |||||||||
Scholar Funding Trust Series2010-A, Class A(b)(c) | ||||||||||||
206,809 | 2.686 | 10/28/2041 | 202,914 | |||||||||
Scholar Funding Trust Series2011-A, Class A(b)(c) | ||||||||||||
177,317 | 2.836 | 10/28/2043 | 175,472 | |||||||||
SLM Student Loan Trust Series2005-5, Class A4(c) | ||||||||||||
776,740 | 2.080 | 10/25/2028 | 767,176 | |||||||||
SLM Student Loan Trust Series2007-1, Class A5(c) | ||||||||||||
563,313 | 2.030 | 01/26/2026 | 561,696 | |||||||||
SLM Student Loan Trust Series2008-5, Class A4(c) | ||||||||||||
60,602 | 3.640 | 07/25/2023 | 61,106 | |||||||||
SLM Student Loan Trust Series2012-3, Class A(c) | ||||||||||||
722,929 | 2.442 | 12/27/2038 | 712,080 | |||||||||
| South Texas Higher Education Authority, Inc. Series2012-1, | | ||||||||||
41,432 | 2.949 | 10/01/2024 | 41,499 | |||||||||
Utah State Board of Regents Series2015-1, Class A(c) | ||||||||||||
265,394 | 2.308 | 02/25/2043 | 262,406 | |||||||||
Utah State Board of Regents Series2016-1, Class A | ||||||||||||
314,099 | 2.542 | 09/25/2056 | 313,313 | |||||||||
|
| |||||||||||
9,599,736 | ||||||||||||
|
| |||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||
(Cost $28,815,589) | $ | 28,797,785 | ||||||||||
|
| |||||||||||
Supranational(a) – 3.1% | ||||||||||||
European Investment Bank(b) | ||||||||||||
$ | 1,530,000 | (SOFR + 0.29%), 1.830% | 06/10/2022 | $ | 1,531,561 | |||||||
International Bank for Reconstruction & Development | ||||||||||||
1,000,000 | (SOFR + 0.22%), 1.760 | 08/21/2020 | 1,000,285 | |||||||||
|
| |||||||||||
TOTAL SUPRANATIONAL | ||||||||||||
(Cost $2,530,000) | $ | 2,531,846 | ||||||||||
|
| |||||||||||
Municipal Bond(a)(b)(c) – 0.1% | ||||||||||||
New York – 0.1% | ||||||||||||
| Freddie Mac Multifamily ML Certificates RB Pass Through Series | | ||||||||||
$ | 95,813 | (1 Mo. LIBOR + 0.50%), 2.299% | 01/25/2033 | $ | 94,673 | |||||||
(Cost $95,813) | ||||||||||||
|
| |||||||||||
U.S. Treasury Obligations – 28.3% | ||||||||||||
U.S. Treasury Bonds | ||||||||||||
$ | 220,000 | 3.750% | 11/15/2043 | $ | 275,206 | |||||||
170,000 | 3.375 | 05/15/2044 | 201,291 | |||||||||
U.S. Treasury Inflation Linked Notes | ||||||||||||
1,309,324 | 0.125 | 07/15/2022 | 1,315,211 | |||||||||
U.S. Treasury Notes | ||||||||||||
1,500,000 | (3 Mo. U.S. T-Bill MMY + 0.03%), 1.559(a) | 04/30/2020 | 1,499,796 | |||||||||
2,300,000 | (3 Mo. U.S.T-Bill MMY + 0.04%), 1.569 (a) | 07/31/2020 | 2,299,236 | |||||||||
4,900,000 | (3 Mo. U.S.T-Bill MMY + 0.05%), 1.571 (a) | 10/31/2020 | 4,897,273 | |||||||||
10,000,000 | (3 Mo. U.S.T-Bill MMY + 0.22%), 1.746 (a) | 07/31/2021 | 10,001,570 | |||||||||
310,000 | 2.875 | 10/15/2021 | 316,902 | |||||||||
920,000 | 2.875 | 10/31/2023 | 961,256 | |||||||||
140,000 | 2.875 | 05/31/2025 | 148,214 | |||||||||
250,000 | 2.125 | 05/31/2026 | 254,844 | |||||||||
810,000 | 2.875 | 08/15/2028 | 873,028 | |||||||||
|
| |||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||
(Cost $23,001,734) | $ | 23,043,827 | ||||||||||
|
| |||||||||||
Shares | Dividend Rate | Value | ||||||||
Investment Company(d) – 3.8% | ||||||||||
| Goldman Sachs Financial Square Government Fund – Institutional | | ||||||||
3,128,385 | 1.638 | % | $ | 3,128,385 | ||||||
(Cost $3,128,385) | ||||||||||
|
| |||||||||
The accompanying notes are an integral part of these financial statements. | 45 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST HIGH QUALITY FLOATING RATE FUND
Schedule of Investments(continued)
December 31, 2019
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Short-Term Investment – 0.9% | ||||||||||||||
Commercial Paper – 0.9% | ||||||||||||||
VW Credit, Inc. | ||||||||||||||
$ | 700,000 | 2.601 | % | 03/30/2020 | $ | 696,237 | ||||||||
(Cost $695,587) | ||||||||||||||
|
| |||||||||||||
TOTAL INVESTMENTS – 98.2% | ||||||||||||||
(Cost $79,905,059) | $ | 79,875,482 | ||||||||||||
|
| |||||||||||||
| OTHER ASSETS IN EXCESS OF | | 1,429,391 | |||||||||||
|
| |||||||||||||
NET ASSETS – 100.0% | $ | 81,304,873 | ||||||||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
(a) | Variable rate security. Except for floating rate notes (for which final maturity is disclosed), maturity date disclosed is the next interest reset date. Interest rate disclosed is that which is in effect on December 31, 2019. | |
(b) | Exempt from registration under Rule 144A of the Securities Act of 1933. | |
(c) | Securities with “Call” features. Maturity dates disclosed are the final maturity dates. | |
(d) | Represents an Affiliated Issuer. |
Investment Abbreviations: | ||
ACES | —Alternative Credit Enhancement Securities | |
FHLMC | —Federal Home Loan Mortgage Corp. | |
FNMA | —Federal National Mortgage Association | |
GNMA | —Government National Mortgage Association | |
LIBOR | —London Interbank Offered Rate | |
MMY | —Money Market Yield | |
Mo. | —Month | |
RB | —Revenue Bond | |
REMIC | —Real Estate Mortgage Investment Conduit | |
SOFR | —Secured Overnight Financing Rate | |
T-Bill | —Treasury Bill | |
U.S. | —United States | |
Currency Abbreviation: | ||
USD | —United States Dollar |
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS— At December 31, 2019, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Short position contracts: | ||||||||||||||||
U.S. Treasury 2 Year Note | (7 | ) | 03/31/2020 | $ | (1,507,898 | ) | $ | 2,192 | ||||||||
U.S. Treasury 5 Year Note | (13 | ) | 03/31/2020 | (1,540,602 | ) | 7,501 | ||||||||||
U.S. Treasury 10 Year Note | (4 | ) | 03/20/2020 | (513,000 | ) | 5,307 | ||||||||||
U.S. Treasury 10 Year Ultra Note | (4 | ) | 03/20/2020 | (561,812 | ) | 9,177 | ||||||||||
U.S. Treasury Long Bond | (7 | ) | 03/20/2020 | (1,088,719 | ) | 26,146 | ||||||||||
Total Futures Contracts | $ | 50,323 |
SWAP CONTRACTS— At December 31, 2019, the Fund had the following swap contracts:
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
Payments Made by the Fund(a) | Payments Received by the Fund | Termination Date | Notional Amount (000’s)(b) | Value | Upfront Premium (Received) Paid | Unrealized Appreciation/ (Depreciation) | ||||||||||||||
1 Month LIBOR | 3 Month LIBOR | 07/25/2024 | USD | 1,300 | $ | 21 | $ | 30 | $ | (9 | ) |
(a) | Payments made quarterly. |
(b) | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to December 31, 2019. |
46 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Statements of Assets and Liabilities
December 31, 2019
Core Fixed Income Fund | Equity Index Fund | Growth Opportunities Fund | High Quality Floating Rate Fund | |||||||||||||
Assets: | ||||||||||||||||
Investments in unaffiliated issuers, at value (cost $60,696,813, $57,007,987, $54,552,378 and $76,776,674)(a) | $ | 61,927,966 | $ | 178,009,726 | $ | 72,385,416 | $ | 76,747,097 | ||||||||
Investments in affiliated issuers, at value (cost $1,647,077, $227,153, $998,484 and $3,128,385) | 1,647,077 | 492,970 | 998,484 | 3,128,385 | ||||||||||||
Investments in affiliated securities lending reinvestment vehicle, at value (cost $0, $0, $809,324 and $0) | — | — | 809,324 | — | ||||||||||||
Purchased Options, at value (premiums paid $3,025, $0, $0 and $0) | 500 | — | — | — | ||||||||||||
Cash | 890,666 | 639,893 | 22,483 | 1,271,713 | ||||||||||||
Foreign currencies, at value (cost $61,946, $0, $0 and $0) | 63,010 | — | — | — | ||||||||||||
Receivables: | ||||||||||||||||
Investments sold on an extended-settlement basis | 11,318,945 | — | — | 33,860 | ||||||||||||
Collateral on certain derivative contracts(b) | 678,223 | 50,400 | — | 47,320 | ||||||||||||
Interest and dividends | 294,831 | 181,485 | 24,354 | 183,377 | ||||||||||||
Fund shares sold | 27,297 | — | 21,168 | — | ||||||||||||
Reimbursement from investment adviser | 26,363 | 55,810 | 19,547 | 21,105 | ||||||||||||
Investments sold | — | 419,543 | 204,200 | — | ||||||||||||
Securities lending income | — | 5 | 2,629 | — | ||||||||||||
Unrealized gain on forward foreign currency exchange contracts | 97,692 | — | — | — | ||||||||||||
Variation margin on futures | — | 3,077 | — | 9,973 | ||||||||||||
Total assets | 76,972,570 | 179,852,909 | 74,487,605 | 81,442,830 | ||||||||||||
Liabilities: | ||||||||||||||||
Forward sale contracts, at value (proceeds received $2,113,516, $0, $0 and $0) | 2,114,687 | — | — | — | ||||||||||||
Unrealized loss on forward foreign currency exchange contracts | 136,431 | — | — | — | ||||||||||||
Written options, at value (premiums received $41,615, $0, $0 and $0) | 38,972 | — | — | — | ||||||||||||
Variation margin on futures | 36,776 | — | — | — | ||||||||||||
Variation margin on swaps | 7,461 | — | — | 102 | ||||||||||||
Payables: | ||||||||||||||||
Investments purchased on an extended-settlement basis | 19,493,360 | — | — | — | ||||||||||||
Fund shares redeemed | 54,229 | 143,211 | 21,568 | 7,104 | ||||||||||||
Management fees | 18,161 | 31,631 | 51,195 | 21,074 | ||||||||||||
Distribution and Service fees and Transfer Agency fees | 8,881 | 40,668 | 11,140 | 18,527 | ||||||||||||
Payable upon return of securities loaned | — | — | 809,324 | — | ||||||||||||
Accrued expenses and other liabilities | 118,810 | 95,387 | 94,519 | 91,150 | ||||||||||||
Total liabilities | 22,027,768 | 310,897 | 987,746 | 137,957 | ||||||||||||
Net Assets: | ||||||||||||||||
Paid-in capital | 55,015,533 | 61,343,664 | 55,081,972 | 82,517,887 | ||||||||||||
Total distributable earnings (loss) | (70,731 | ) | 118,198,348 | 18,417,887 | (1,213,014 | ) | ||||||||||
NET ASSETS | $ | 54,944,802 | $ | 179,542,012 | $ | 73,499,859 | $ | 81,304,873 | ||||||||
Net Assets: | ||||||||||||||||
Institutional | $ | 17,420,903 | $ | — | $ | 94,080 | $ | 4,876,985 | ||||||||
Service | 37,523,899 | 179,542,012 | 73,405,779 | 69,963,915 | ||||||||||||
Advisor | — | — | — | 6,463,973 | ||||||||||||
Total Net Assets | $ | 54,944,802 | $ | 179,542,012 | $ | 73,499,859 | $ | 81,304,873 | ||||||||
Shares outstanding $0.001 par value (unlimited shares authorized): | ||||||||||||||||
Institutional | 1,605,751 | — | 8,179 | 470,161 | ||||||||||||
Service | 3,457,401 | 10,258,204 | 6,670,848 | 6,757,905 | ||||||||||||
Advisor | — | — | — | 623,675 | ||||||||||||
Net asset value, offering and redemption price per share: | ||||||||||||||||
Institutional | $10.85 | — | $11.50 | $10.37 | ||||||||||||
Service | 10.85 | 17.50 | 11.00 | 10.35 | ||||||||||||
Advisor | — | — | — | 10.36 |
(a) Includes loaned securities having a market value of $789,899 for the Growth Opportunities Fund.
(b) Segregated for initial margin and/or collateral on transactions as follows:
Fund | Forwards | Futures | Swaps | |||||||||
Core Fixed Income | $ | 210,000 | $ | 178,865 | $ | 289,358 | ||||||
Equity Index | — | 50,400 | — | |||||||||
High Quality Floating Rate | — | 47,278 | 42 |
The accompanying notes are an integral part of these financial statements. | 47 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Statements of Operations
For the Fiscal Year Ended December 31, 2019
Core Fixed Income Fund | Equity Index Fund | Growth Opportunities Fund | High Quality Floating Rate Fund | |||||||||||||
Investment income: | ||||||||||||||||
Interest | $ | 1,216,459 | $ | 1,758 | $ | 203 | $ | 2,008,596 | ||||||||
Dividends — affiliated issuers | 88,791 | 9,700 | 31,876 | 139,606 | ||||||||||||
Dividends — unaffiliated issuers | — | 3,374,076 | 475,372 | — | ||||||||||||
Securities lending income — affiliated issuer | — | 22 | — | — | ||||||||||||
Securities lending income — unaffiliated issuer | — | — | 39,513 | — | ||||||||||||
Total investment income | 1,305,250 | 3,385,556 | 546,964 | 2,148,202 | ||||||||||||
Expenses: | ||||||||||||||||
Management fees | 174,659 | 511,674 | 624,144 | 254,944 | ||||||||||||
Professional fees | 118,283 | 97,549 | 97,614 | 105,182 | ||||||||||||
Distribution and Service fees(a) | 92,522 | 426,393 | 179,158 | 206,978 | ||||||||||||
Custody, accounting and administrative services | 75,277 | 73,234 | 73,433 | 73,414 | ||||||||||||
Printing and mailing costs | 59,797 | 103,797 | 43,620 | 44,598 | ||||||||||||
Trustee fees | 15,909 | 16,108 | 15,949 | 15,973 | ||||||||||||
Shareholder meeting expense | 13,628 | 30,535 | 21,233 | 15,209 | ||||||||||||
Transfer Agency fees(a) | 8,732 | 34,109 | 14,346 | 16,447 | ||||||||||||
Other | 13,033 | 43,571 | 10,515 | 8,667 | ||||||||||||
Total expenses | 571,840 | 1,336,970 | 1,080,012 | 741,412 | ||||||||||||
Less — expense reductions | (289,429 | ) | (483,268 | ) | (334,908 | ) | (233,717 | ) | ||||||||
Net expenses | 282,411 | 853,702 | 745,104 | 507,695 | ||||||||||||
NET INVESTMENT INCOME (LOSS) | 1,022,839 | 2,531,854 | (198,140 | ) | 1,640,507 | |||||||||||
Realized and unrealized gain (loss): | ||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||
Investments — unaffiliated issuers (including commissions recaptured of $0, $0, $331 and $0) | 735,866 | 11,357,530 | 12,665,789 | 23,562 | ||||||||||||
Investments — affiliated issuers | — | 33,245 | — | — | ||||||||||||
Futures contracts | 351,675 | 213,797 | — | (162,726 | ) | |||||||||||
Purchased options | (8,570 | ) | — | — | — | |||||||||||
Swap contracts | 112,938 | — | — | (17,131 | ) | |||||||||||
Forward foreign currency exchange contracts | 10,742 | — | — | — | ||||||||||||
Foreign currency transactions | (18,729 | ) | — | — | — | |||||||||||
Written options | 10,584 | — | — | — | ||||||||||||
Net change in unrealized gain (loss) on: | ||||||||||||||||
Investments — affiliated issuers | — | 116,327 | — | — | ||||||||||||
Investments — unaffiliated issuers | 1,502,307 | 30,970,704 | 7,849,468 | 45,130 | ||||||||||||
Futures contracts | (155,739 | ) | 70,365 | — | 118,920 | |||||||||||
Purchased options | (2,525 | ) | — | — | — | |||||||||||
Swap contracts | 55,567 | — | — | (9 | ) | |||||||||||
Forward foreign currency exchange contracts | (29,414 | ) | — | — | — | |||||||||||
Foreign currency translation | 1,310 | — | — | — | ||||||||||||
Written options | 2,643 | — | — | — | ||||||||||||
Net realized and unrealized gain (loss) | 2,568,655 | 42,761,968 | 20,515,257 | 7,746 | ||||||||||||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 3,591,494 | $ | 45,293,822 | $ | 20,317,117 | $ | 1,648,253 |
(a) Class specific Distribution and/or Service, and Transfer Agency fees were as follows:
Distribution and/or Service Fees | Transfer Agency Fees | |||||||||||||||||||
Fund | Service | Advisor | Institutional | Service | Advisor | |||||||||||||||
Core Fixed Income | $ | 92,522 | N/A | $ | 1,331 | $ | 7,401 | N/A | ||||||||||||
Equity Index | 426,393 | N/A | N/A | 34,109 | N/A | |||||||||||||||
Growth Opportunities | 179,158 | N/A | 15 | 14,331 | N/A | |||||||||||||||
High Quality Floating Rate | 179,779 | $ | 27,199 | 706 | 14,381 | $ | 1,360 |
48 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Statements of Changes in Net Assets
Core Fixed Income Fund | Equity Index Fund | |||||||||||||||
For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||
From operations: | ||||||||||||||||
Net investment income | $ | 1,022,839 | $ | 1,225,144 | $ | 2,531,854 | $ | 2,596,973 | ||||||||
Net realized gain (loss) | 1,194,506 | (1,538,377 | ) | 11,604,572 | 11,623,359 | |||||||||||
Net change in unrealized gain (loss) | 1,374,149 | (1,585,058 | ) | 31,157,396 | (21,598,071 | ) | ||||||||||
Net increase (decrease) in net assets resulting from operations | 3,591,494 | (1,898,291 | ) | 45,293,822 | (7,377,739 | ) | ||||||||||
Distributions to shareholders: | ||||||||||||||||
From distributable earnings: | ||||||||||||||||
Institutional Shares | (194,059 | ) | (14,101 | ) | — | — | ||||||||||
Service Shares | (941,156 | ) | (1,241,765 | ) | (13,028,301 | ) | (13,646,931 | ) | ||||||||
Total distributions to shareholders | (1,135,215 | ) | (1,255,866 | ) | (13,028,301 | ) | (13,646,931 | ) | ||||||||
From share transactions: | ||||||||||||||||
Proceeds from sales of shares | 16,196,196 | 5,175,072 | 2,326,474 | 4,433,966 | ||||||||||||
Reinvestment of distributions | 1,135,215 | 1,255,866 | 13,028,301 | 13,646,931 | ||||||||||||
Cost of shares redeemed | (3,916,341 | ) | (73,392,129 | ) | (23,176,553 | ) | (20,993,560 | ) | ||||||||
Net increase (decrease) in net assets resulting from share transactions | 13,415,070 | (66,961,191 | ) | (7,821,778 | ) | (2,912,663 | ) | |||||||||
TOTAL INCREASE (DECREASE) | 15,871,349 | (70,115,348 | ) | 24,443,743 | (23,937,333 | ) | ||||||||||
Net Assets: | ||||||||||||||||
Beginning of year | 39,073,453 | 109,188,801 | 155,098,269 | 179,035,602 | ||||||||||||
End of year | $ | 54,944,802 | $ | 39,073,453 | $ | 179,542,012 | $ | 155,098,269 |
The accompanying notes are an integral part of these financial statements. | 49 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Statements of Changes in Net Assets(continued)
Growth Opportunities Fund | High Quality Floating Rate Fund | |||||||||||||||
For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||
From operations: | ||||||||||||||||
Net investment income (loss) | $ | (198,140 | ) | $ | (222,316 | ) | $ | 1,640,507 | $ | 1,379,037 | ||||||
Net realized gain (loss) | 12,665,789 | 38,998,411 | (156,295 | ) | 78,835 | |||||||||||
Net change in unrealized gain (loss) | 7,849,468 | (38,082,096 | ) | 164,041 | (331,356 | ) | ||||||||||
Net increase in net assets resulting from operations | 20,317,117 | 693,999 | 1,648,253 | 1,126,516 | ||||||||||||
Distributions to shareholders: | ||||||||||||||||
From distributable earnings: | ||||||||||||||||
Institutional Shares | (16,254 | ) | (37,921 | ) | (76,241 | ) | (12,809 | ) | ||||||||
Service Shares | (14,062,222 | ) | (39,325,197 | ) | (1,495,755 | ) | (1,323,812 | ) | ||||||||
Advisor Shares | — | — | (131,008 | ) | (107,740 | ) | ||||||||||
Total distributions to shareholders | (14,078,476 | ) | (39,363,118 | ) | (1,703,004 | ) | (1,444,361 | ) | ||||||||
From share transactions: | ||||||||||||||||
Proceeds from sales of shares | 8,229,475 | 2,826,810 | 10,613,133 | 21,196,717 | ||||||||||||
Reinvestment of distributions | 14,078,476 | 39,363,118 | 1,703,004 | 1,444,361 | ||||||||||||
Cost of shares redeemed | (15,016,361 | ) | (114,387,857 | ) | (13,250,898 | ) | (11,359,427 | ) | ||||||||
Net increase (decrease) in net assets resulting from share transactions | 7,291,590 | (72,197,929 | ) | (934,761 | ) | 11,281,651 | ||||||||||
TOTAL INCREASE (DECREASE) | 13,530,231 | (110,867,048 | ) | (989,512 | ) | 10,963,806 | ||||||||||
Net Assets: | ||||||||||||||||
Beginning of year | 59,969,628 | 170,836,676 | 82,294,385 | 71,330,579 | ||||||||||||
End of year | $ | 73,499,859 | $ | 59,969,628 | $ | 81,304,873 | $ | 82,294,385 |
50 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
Goldman Sachs Core Fixed Income Fund | ||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of year | $ | 10.20 | $ | 10.66 | $ | 10.61 | $ | 10.53 | $ | 10.75 | ||||||||||
Net investment income(a) | 0.26 | 0.29 | 0.23 | 0.24 | 0.27 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.69 | (0.37 | ) | 0.13 | 0.08 | (0.20 | ) | |||||||||||||
Total from investment operations | 0.95 | (0.08 | ) | 0.36 | 0.32 | 0.07 | ||||||||||||||
Distributions to shareholders from net investment income | (0.30 | ) | (0.38 | ) | (0.31 | ) | (0.24 | ) | (0.29 | ) | ||||||||||
Net asset value, end of year | $ | 10.85 | $ | 10.20 | $ | 10.66 | $ | 10.61 | $ | 10.53 | ||||||||||
Total return(b) | 9.28 | % | (0.58 | )% | 3.40 | % | 2.98 | % | 0.60 | % | ||||||||||
Net assets, end of year (in 000s) | $ | 17,421 | $ | 2,657 | $ | 241 | $ | 90 | $ | 26 | ||||||||||
Ratio of net expenses to average net assets | 0.44 | % | 0.42 | % | 0.42 | % | 0.43 | % | 0.42 | % | ||||||||||
Ratio of total expenses to average net assets | 1.08 | % | 1.06 | % | 0.65 | % | 0.65 | % | 0.74 | % | ||||||||||
Ratio of net investment income to average net assets | 2.41 | % | 2.88 | % | 2.18 | % | 2.28 | % | 2.53 | % | ||||||||||
Portfolio turnover rate(c) | 556 | % | 406 | % | 229 | % | 329 | % | 376 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
(c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 51 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
Goldman Sachs Core Fixed Income Fund | ||||||||||||||||||||
Service Shares | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of year | $ | 10.21 | $ | 10.65 | $ | 10.60 | $ | 10.53 | $ | 10.76 | ||||||||||
Net investment income(a) | 0.25 | 0.25 | 0.21 | 0.22 | 0.24 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.66 | (0.34 | ) | 0.12 | 0.07 | (0.21 | ) | |||||||||||||
Total from investment operations | 0.91 | (0.09 | ) | 0.33 | 0.29 | 0.03 | ||||||||||||||
Distributions to shareholders from net investment income | (0.27 | ) | (0.35 | ) | (0.28 | ) | (0.22 | ) | (0.26 | ) | ||||||||||
Net asset value, end of year | $ | 10.85 | $ | 10.21 | $ | 10.65 | $ | 10.60 | $ | 10.53 | ||||||||||
Total return(b) | 9.00 | % | (0.83 | )% | 3.14 | % | 2.70 | % | 0.27 | % | ||||||||||
Net assets, end of year (in 000s) | $ | 37,524 | $ | 36,416 | $ | 108,948 | $ | 110,476 | $ | 104,924 | ||||||||||
Ratio of net expenses to average net assets | 0.68 | % | 0.67 | % | 0.67 | % | 0.67 | % | 0.67 | % | ||||||||||
Ratio of total expenses to average net assets | 1.35 | % | 1.18 | % | 0.90 | % | 0.91 | % | 0.99 | % | ||||||||||
Ratio of net investment income to average net assets | 2.33 | % | 2.46 | % | 1.95 | % | 2.05 | % | 2.27 | % | ||||||||||
Portfolio turnover rate(c) | 556 | % | 406 | % | 229 | % | 329 | % | 376 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
(c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
52 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
Goldman Sachs Equity Index Fund | ||||||||||||||||||||
Service Shares | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of year | $ | 14.43 | $ | 16.60 | $ | 14.49 | $ | 13.91 | $ | 14.91 | ||||||||||
Net investment income(a) | 0.25 | 0.25 | 0.24 | 0.25 | 0.32 | |||||||||||||||
Net realized and unrealized gain (loss) | 4.18 | (1.04 | ) | 2.85 | 1.35 | (0.18 | ) | |||||||||||||
Total from investment operations | 4.43 | (0.79 | ) | 3.09 | 1.60 | 0.14 | ||||||||||||||
Distributions to shareholders from net investment income | (0.26 | ) | (0.27 | ) | (0.26 | ) | (0.33 | ) | (0.28 | ) | ||||||||||
Distributions to shareholders from net realized gains | (1.10 | ) | (1.11 | ) | (0.72 | ) | (0.69 | ) | (0.86 | ) | ||||||||||
Total distributions | (1.36 | ) | (1.38 | ) | (0.98 | ) | (1.02 | ) | (1.14 | ) | ||||||||||
Net asset value, end of year | $ | 17.50 | $ | 14.43 | $ | 16.60 | $ | 14.49 | $ | 13.91 | ||||||||||
Total return(b) | 30.85 | % | (4.87 | )% | 21.29 | % | 11.41 | % | 0.94 | % | ||||||||||
Net assets, end of year (in 000s) | $ | 179,542 | $ | 155,098 | $ | 179,036 | $ | 165,551 | $ | 169,295 | ||||||||||
Ratio of net expenses to average net assets | 0.50 | % | 0.48 | % | 0.48 | % | 0.48 | % | 0.48 | % | ||||||||||
Ratio of total expenses to average net assets | 0.78 | % | 0.72 | % | 0.71 | % | 0.73 | % | 0.70 | % | ||||||||||
Ratio of net investment income to average net assets | 1.48 | % | 1.48 | % | 1.53 | % | 1.73 | % | 2.15 | % | ||||||||||
Portfolio turnover rate(c) | 3 | % | 4 | % | 2 | % | 3 | % | 4 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
(c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 53 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
Goldman Sachs Growth Opportunities Fund | ||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||
Year Ended December 31,* | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of year | $ | 10.51 | $ | 31.13 | $ | 27.13 | $ | 26.86 | $ | 30.89 | ||||||||||
Net investment loss(a) | (0.01 | ) | (0.02 | ) | (0.04 | ) | (0.07 | ) | (0.06 | ) | ||||||||||
Net realized and unrealized gain (loss) | 3.59 | (1.30 | ) | 7.40 | 0.52 | (1.55 | ) | |||||||||||||
Total from investment operations | 3.58 | (1.32 | ) | 7.36 | 0.45 | (1.61 | ) | |||||||||||||
Distributions to shareholders from net realized gains | (2.59 | ) | (19.30 | ) | (3.36 | ) | (0.18 | ) | (2.42 | ) | ||||||||||
Net asset value, end of year | $ | 11.50 | $ | 10.51 | $ | 31.13 | $ | 27.13 | $ | 26.86 | ||||||||||
Total return(b) | 34.35 | % | (4.17 | )% | 27.14 | % | 1.71 | % | (5.20 | )% | ||||||||||
Net assets, end of year (in 000s) | $ | 94 | $ | 59 | $ | 52 | $ | 3,518 | $ | 32 | ||||||||||
Ratio of net expenses to average net assets | 0.88 | % | 0.85 | % | 0.87 | % | 0.89 | % | 0.93 | % | ||||||||||
Ratio of total expenses to average net assets | 1.26 | % | 1.20 | % | 1.14 | % | 1.16 | % | 1.14 | % | ||||||||||
Ratio of net investment loss to average net assets | (0.12 | )% | (0.08 | )% | (0.13 | )% | (0.26 | )% | (0.19 | )% | ||||||||||
Portfolio turnover rate(c) | 75 | % | 59 | % | 57 | % | 63 | % | 57 | % |
* | All per share amounts representing data prior to May 17, 2019 have been restated to reflect a 4 to 1 reverse stock split which occurred on that date. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
(c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
54 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
Goldman Sachs Growth Opportunities Fund | ||||||||||||||||||||
Service Shares | ||||||||||||||||||||
Year Ended December 31,* | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of year | $ | 10.15 | $ | 30.80 | $ | 26.92 | $ | 26.71 | $ | 30.78 | ||||||||||
Net investment loss(a) | (0.02 | ) | (0.07 | ) | (0.08 | ) | (0.10 | ) | (0.11 | ) | ||||||||||
Net realized and unrealized gain (loss) | 3.46 | (1.28 | ) | 7.32 | 0.49 | (1.54 | ) | |||||||||||||
Total from investment operations | 3.44 | (1.35 | ) | 7.24 | 0.39 | (1.65 | ) | |||||||||||||
Distributions to shareholders from net realized gains | (2.59 | ) | (19.30 | ) | (3.36 | ) | (0.18 | ) | (2.42 | ) | ||||||||||
Net asset value, end of year | $ | 11.00 | $ | 10.15 | $ | 30.80 | $ | 26.92 | $ | 26.71 | ||||||||||
Total return(b) | 34.06 | % | (4.34 | )% | 26.92 | % | 1.42 | % | (5.20 | )% | ||||||||||
Net assets, end of year (in 000s) | $ | 73,406 | $ | 59,910 | $ | 170,785 | $ | 155,924 | $ | 168,653 | ||||||||||
Ratio of net expenses to average net assets | 1.04 | % | 1.01 | % | 1.02 | % | 1.05 | % | 1.09 | % | ||||||||||
Ratio of total expenses to average net assets | 1.51 | % | 1.44 | % | 1.39 | % | 1.40 | % | 1.40 | % | ||||||||||
Ratio of net investment loss to average net assets | (0.28 | )% | (0.24 | )% | (0.26 | )% | (0.37 | )% | (0.36 | )% | ||||||||||
Portfolio turnover rate(c) | 75 | % | 59 | % | 57 | % | 63 | % | 57 | % |
* | All per share amounts representing data prior to May 17, 2019 have been restated to reflect a 4 to 1 reverse stock split which occurred on that date. |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
(c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 55 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST HIGH QUALITY FLOATING RATE FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
Goldman Sachs High Quality Floating Rate Fund | ||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of year | $ | 10.38 | $ | 10.42 | $ | 10.41 | $ | 10.40 | $ | 10.49 | ||||||||||
Net investment income(a) | 0.22 | 0.24 | 0.14 | 0.11 | 0.06 | |||||||||||||||
Net realized and unrealized gain (loss) | 0.01 | (0.06 | ) | 0.03 | 0.03 | (0.08 | ) | |||||||||||||
Total from investment operations | 0.23 | 0.18 | 0.17 | 0.14 | (0.02 | ) | ||||||||||||||
Distributions to shareholders from net investment income | (0.24 | ) | (0.22 | ) | (0.16 | ) | (0.13 | ) | (0.07 | ) | ||||||||||
Net asset value, end of year | $ | 10.37 | $ | 10.38 | $ | 10.42 | $ | 10.41 | $ | 10.40 | ||||||||||
Total return(b) | 2.27 | % | 1.75 | % | 1.62 | % | 1.35 | % | (0.16 | )% | ||||||||||
Net assets, end of year (in 000s) | $ | 4,877 | $ | 2,326 | $ | 57 | $ | 25 | $ | 25 | ||||||||||
Ratio of net expenses to average net assets | 0.37 | % | 0.34 | % | 0.36 | % | 0.39 | % | 0.38 | % | ||||||||||
Ratio of total expenses to average net assets | 0.66 | % | 0.63 | % | 0.72 | % | 0.78 | % | 0.81 | % | ||||||||||
Ratio of net investment income to average net assets | 2.15 | % | 2.28 | % | 1.33 | % | 1.03 | % | 0.54 | % | ||||||||||
Portfolio turnover rate(c) | 20 | % | 36 | % | 38 | % | 47 | % | 14 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
(c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
56 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST HIGH QUALITY FLOATING RATE FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
Goldman Sachs High Quality Floating Rate Fund | ||||||||||||||||||||
Service Shares | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of year | $ | 10.36 | $ | 10.40 | $ | 10.38 | $ | 10.38 | $ | 10.47 | ||||||||||
Net investment income(a) | 0.21 | 0.19 | 0.11 | 0.08 | 0.03 | |||||||||||||||
Net realized and unrealized gain (loss) | — | (b) | (0.03 | ) | 0.04 | 0.02 | (0.07 | ) | ||||||||||||
Total from investment operations | 0.21 | 0.16 | 0.15 | 0.10 | (0.04 | ) | ||||||||||||||
Distributions to shareholders from net investment income | (0.22 | ) | (0.20 | ) | (0.13 | ) | (0.10 | ) | (0.05 | ) | ||||||||||
Net asset value, end of year | $ | 10.35 | $ | 10.36 | $ | 10.40 | $ | 10.38 | $ | 10.38 | ||||||||||
Total return(c) | 2.01 | % | 1.50 | % | 1.47 | % | 1.00 | % | (0.42 | )% | ||||||||||
Net assets, end of year (in 000s) | $ | 69,964 | $ | 72,784 | $ | 66,548 | $ | 66,710 | $ | 69,625 | ||||||||||
Ratio of net expenses to average net assets | 0.62 | % | 0.60 | % | 0.61 | % | 0.65 | % | 0.64 | % | ||||||||||
Ratio of total expenses to average net assets | 0.90 | % | 0.91 | % | 0.97 | % | 1.04 | % | 1.05 | % | ||||||||||
Ratio of net investment income to average net assets | 2.00 | % | 1.82 | % | 1.08 | % | 0.77 | % | 0.28 | % | ||||||||||
Portfolio turnover rate(d) | 20 | % | 36 | % | 38 | % | 47 | % | 14 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.005 per share. |
(c) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
(d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 57 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST HIGH QUALITY FLOATING RATE FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
Goldman Sachs High Quality Floating Rate Fund | ||||||||||||||||||||
Advisor Shares | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of year | $ | 10.37 | $ | 10.41 | $ | 10.40 | $ | 10.40 | $ | 10.49 | ||||||||||
Net investment income(a) | 0.19 | 0.18 | 0.10 | 0.06 | 0.01 | |||||||||||||||
Net realized and unrealized gain (loss) | — | (b) | (0.04 | ) | 0.03 | 0.03 | (0.06 | ) | ||||||||||||
Total from investment operations | 0.19 | 0.14 | 0.13 | 0.09 | (0.05 | ) | ||||||||||||||
Distributions to shareholders from net investment income | (0.20 | ) | (0.18 | ) | (0.12 | ) | (0.09 | ) | (0.04 | ) | ||||||||||
Net asset value, end of year | $ | 10.36 | $ | 10.37 | $ | 10.41 | $ | 10.40 | $ | 10.40 | ||||||||||
Total return(c) | 1.85 | % | 1.37 | % | 1.26 | % | 0.96 | % | (0.57 | )% | ||||||||||
Net assets, end of year (in 000s) | $ | 6,464 | $ | 7,184 | $ | 4,726 | $ | 1,658 | $ | 1,315 | ||||||||||
Ratio of net expenses to average net assets | 0.76 | % | 0.75 | % | 0.76 | % | 0.80 | % | 0.78 | % | ||||||||||
Ratio of total expenses to average net assets | 1.05 | % | 1.05 | % | 1.12 | % | 1.18 | % | 1.25 | % | ||||||||||
Ratio of net investment income to average net assets | 1.86 | % | 1.69 | % | 0.96 | % | 0.62 | % | 0.12 | % | ||||||||||
Portfolio turnover rate(d) | 20 | % | 36 | % | 38 | % | 47 | % | 14 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.005 per share. |
(c) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
(d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
58 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements
December 31, 2019
1. ORGANIZATION
Goldman Sachs Variable Insurance Trust (the “Trust” or “VIT”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as anopen-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”), along with their corresponding share classes and respective diversification status under the Act:
Fund | Share Classes Offered | Diversified/ Non-diversified | ||
High Quality Floating Rate | Institutional, Service and Advisor | Diversified | ||
Core Fixed Income and Growth Opportunities | Institutional and Service | Diversified | ||
Equity Index | Service | Diversified |
Shares of the Trust are offered to a separate account of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (“Goldman Sachs”), serves as investment adviser to the Funds pursuant to management agreements (the “Agreements”) with the Trust.
The Growth Opportunities Fund processed a4-for-1 reverse stock split effective at the close of business on May 17, 2019. The stock split had no impact on the overall value of a shareholder’s investment in the Fund.
2. SIGNIFICANT ACCOUNTING POLICIES
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. Each Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.
A. Investment Valuation — The Funds’ valuation policy is to value investments at fair value.
B. Investment Income and Investments — Investment income includes interest income, dividend income, and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized onex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to theex-dividend date.Non-cash dividends, if any, are recorded at the fair market value of the securities received. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Distributions received from the Funds’ investments in United States (“U.S.”) real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain and/or a return of capital. A return of capital is recorded by the Funds as a reduction to the cost basis of the REIT.
For derivative contracts, realized gains and losses are recorded upon settlement of the contract. Upfront payments, if any, are made or received upon entering into a swap agreement and are reflected in the Statements of Assets and Liabilities. Upfront payments are recognized over the contract’s term/event as realized gains or losses, with the exception of forward starting swap contracts whose realized gains or losses are recognized from the effective start date. For securities with paydown provisions, principal payments received are treated as a proportionate reduction to the cost basis of the securities, and excess or shortfall amounts are recorded as income. For treasury inflation protected securities (“TIPS”), adjustments to principal due to inflation/deflation are reflected as increases/decreases to interest income with a corresponding adjustment to cost.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, andnon-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class.Non-class specific expenses directly incurred by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the applicable Funds on a straight-line and/orpro-rata basis depending upon the nature of the expenses. Class-specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service and Transfer Agency fees.
59
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements(continued)
December 31, 2019
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
D. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, each Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on theex-dividend date. Income and capital gains distributions, if any, are declared and paid according to the following schedule:
Fund | Income Distributions Declared/Paid | Capital Gains Distributions Declared/Paid | ||
Core Fixed Income and High Quality Floating Rate | Quarterly | Annually | ||
Equity Index and Growth Opportunities | Annually | Annually |
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of each Fund’s distributions may be shown in the accompanying financial statements as either from distributable earnings or capital. Certain components of the Funds’ net assets on the Statements of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
E. Foreign Currency Translation — The accounting records and reporting currency of a Fund are maintained in U.S. dollars. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the current exchange rates at the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Statements of Operations within net change in unrealized gain (loss) on foreign currency translation. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within net realized gain (loss) on foreign currency transactions.
F. Commission Recapture — GSAM, on behalf of certain Funds, may direct portfolio trades, subject to seeking best execution, to various brokers who have agreed to rebate a portion of the commissions generated. Such rebates are made directly to a Fund as cash payments and are included in net realized gain (loss) from investments on the Statements of Operations.
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS
U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Funds’ policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
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GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Funds, including investments for which market quotations are not readily available. The Trustees have delegated to GSAMday-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Funds’ investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a U.S. securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities may be valued at the closing bid price for long positions and at the closing ask price for short positions. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price for long positions or the last ask price for short positions, and are generally classified as Level 2.
Money Market Funds — Investments in the Goldman Sachs Financial Square Government Fund (“Underlying Fund”) are valued at the NAV per share of the Institutional Share class on the day of valuation. These investments are generally classified as Level 1 of the fair value hierarchy. For information regarding the Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
Debt Securities— Debt securities for which market quotations are readily available are valued daily on the basis of quotations supplied by dealers or an independent pricing service approved by the Trustees. The pricing services may use valuation models or matrix pricing, which consider: (i) yield or price with respect to bonds that are considered comparable in characteristics such as rating, interest rate and maturity date or (ii) quotations from securities dealers to determine current value. With the exception of treasury securities of G7 countries, which are generally classified as Level 1, these investments are generally classified as Level 2 of the fair value hierarchy.
i. Commercial Paper —Commercial paper normally represents short-term unsecured promissory notes issued in bearer form by banks or bank holding companies, corporations, finance companies and other issuers. Commercial paper consists of direct U.S. dollar-denominated obligations of domestic or foreign issuers. Asset-backed commercial paper is issued by a special purpose entity that is organized to issue the commercial paper and to purchase trade receivables or other financial assets.
ii. Mortgage-Backed and Asset-Backed Securities— Mortgage-backed securities represent direct or indirect participations in, or are collateralized by and payable from, mortgage loans secured by residential and/or commercial real estate property. Asset-backed securities include securities whose principal and interest payments are collateralized by pools of other assets or receivables. The value of certain mortgage-backed and asset-backed securities (including adjustable rate mortgage loans) may be particularly sensitive to changes in prevailing interest rates. The value of these securities may also fluctuate in response to the market’s perception of the creditworthiness of the issuers.
Asset-backed securities may present credit risks that are not presented by mortgage-backed securities because they generally do not have the benefit of a security interest in collateral that is comparable to mortgage assets. Some asset-backed securities may only have a subordinated claim on collateral.
61
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements(continued)
December 31, 2019
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
Stripped mortgage-backed securities are usually structured with two different classes: one that receives substantially all interest payments (interest-only, or “IO” and/or high coupon rate with relatively low principal amount, or “IOette”), and the other that receives substantially all principal payments (principal-only, or “PO”) from a pool of mortgage loans. Little to no principal will be received at the maturity of an IO; as a result, periodic adjustments are recorded to reduce the cost of the security until maturity. These adjustments are included in interest income.
iii. Mortgage Dollar Rolls — Mortgage dollar rolls are transactions whereby a Fund sells mortgage-backed-securities and simultaneously contracts with the same counterparty to repurchase similar securities on a specified future date. During the settlement period, a Fund will not be entitled to accrue interest and receive principal payments on the securities sold. The Funds account for mortgage dollar roll transactions as purchases and sales and realize gains and losses on these transactions.
iv. Treasury Inflation Protected Securities— TIPS are treasury securities in which the principal amount is adjusted daily to keep pace with inflation, as measured by the U.S. Consumer Pricing Index for Urban Consumers. The repayment of the original bond principal upon maturity is guaranteed by the full faith and credit of the U.S. Government.
v. When-Issued Securities and Forward Commitments—When-issued securities, including TBA (“To Be Announced”) securities, are securities that are authorized but not yet issued in the market and purchased in order to secure what is considered to be an advantageous price or yield to a Fund. A forward commitment involves entering into a contract to purchase or sell securities, typically on an extended settlement basis, for a fixed price at a future date. The purchase of securities on a when-issued or forward commitment basis involves a risk of loss if the value of the security to be purchased declines before the settlement date. Conversely, the sale of securities on a forward commitment basis involves the risk that the value of the securities sold may increase before the settlement date. Although a Fund will generally purchase securities on a when-issued or forward commitment basis with the intention of acquiring the securities for its portfolio, the Fund may dispose of when-issued securities or forward commitments prior to settlement, which may result in a realized gain or loss. For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral received, if any, is reported separately on the Statements of Assets and Liabilities as receivables/payables for collateral on other investments.Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments.
Derivative Contracts— A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. A Fund enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers. For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral received, if any, is reported separately on the Statements of Assets and Liabilities as receivables/payables for collateral on certain derivatives contracts.Non-cash collateral pledged by a Fund, if any, is noted in the Schedules of Investments.
Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence oftwo-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy.Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the 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.
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GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
i. Forward Contracts — A forward contract is a contract between two parties to buy or sell an asset at a specified price on a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts aremarked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be used to collateralize forward contracts.
Aforward foreign currency exchange contractis a forward contract in which a Fund agrees to receive or deliver a fixed quantity of one currency for another, at apre-determined price at a future date. All forward foreign currency exchange contracts aremarked-to-market daily at the applicable forward rate.Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency.
ii. Futures Contracts— Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security. Upon entering into a futures contract, a Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by a Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
iii. Options— When a Fund writes call or put options, an amount equal to the premium received is recorded as a liability and is subsequentlymarked-to-market to reflect the current value of the option written. Swaptions are options on interest rate swap contracts or credit default swap contracts.
Upon the purchase of a call option or a put option by a Fund, the premium paid is recorded as an investment and subsequentlymarked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.
iv. Swap Contracts —Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps aremarked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, a Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by anymark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a receivable or payable for variation margin.
An interest rate swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals, based upon or calculated by reference to changes in interest rates on a specified notional principal amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.
A credit default swap is an agreement that involves one party (the buyer of protection) making a stream of payments to another party (the seller of protection) in exchange for the right to receive protection on a reference security or obligation, including a group of assets or exposure to the performance of an index. A Fund’s investment in credit default swaps may involve greater risks than if the Fund had invested in the referenced obligation directly. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. If a Fund buys protection through a credit default swap and no credit event occurs, its payments are limited to the periodic payments previously made to the counterparty. Upon the occurrence of a specified credit event, a Fund, as a buyer of credit protection, is entitled to receive an amount equal to the notional amount of the swap and deliver to the seller the defaulted reference obligation in a physically settled trade. A Fund may also receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade.
63
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements(continued)
December 31, 2019
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
As a seller of protection, a Fund generally receives a payment stream throughout the term of the swap, provided that there is no credit event. In addition, if a Fund sells protection through a credit default swap, a Fund could suffer a loss because the value of the referenced obligation and the premium payments received may be less than the notional amount of the swap paid to the buyer of protection. Upon the occurrence of a specified credit event, a Fund, as a seller of credit protection, may be required to take possession of the defaulted reference obligation and pay the buyer an amount equal to the notional amount of the swap in a physically settled trade. A Fund may also pay a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade. Recovery values are at times established through the credit event auction process in which market participants are ensured that a transparent price has been set for the defaulted security or obligation. In addition, a Fund is entitled to a return of any assets, which have been pledged as collateral to the counterparty upon settlement.
The maximum potential amount of future payments (undiscounted) that a Fund as seller of protection could be required to make under a credit default swap would be an amount equal to the notional amount of the agreement. These potential amounts would be partially offset by any recovery values of the respective referenced obligations or net amounts received from a settlement of a credit default swap for the same reference security or obligation where a Fund bought credit protection.
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of a Fund’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining a Fund’s NAV. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.
C. Fair Value Hierarchy— The following is a summary of the Funds’ investments and derivatives classified in the fair value hierarchy as of December 31, 2019:
CORE FIXED INCOME | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Fixed Income | ||||||||||||
Corporate Bonds | $ | — | $ | 19,704,698 | $ | — | ||||||
Mortgage-Backed Securities | — | 26,354,235 | — | |||||||||
Collateralized Mortgage Obligations | — | 719,195 | — | |||||||||
Commercial Mortgage-Backed Securities | — | 189,461 | — | |||||||||
U.S. Treasury Obligations and/or Other U.S. Government Agencies | 9,925,956 | 1,045,743 | — | |||||||||
Asset-Backed Securities | — | 2,120,456 | — | |||||||||
Foreign Government Securities | — | 1,168,542 | — | |||||||||
Municipal Bonds | — | 699,680 | — | |||||||||
Investment Company | 1,647,077 | — | — | |||||||||
Total | $ | 11,573,033 | $ | 52,002,010 | $ | — | ||||||
Liabilities | ||||||||||||
Fixed Income | ||||||||||||
Mortgage-Backed Obligations — Forward Sales Contracts | $ | — | $ | (2,114,687) | $ | — |
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GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
CORE FIXED INCOME (continued) | ||||||||||||
Derivative Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | — | $ | 97,692 | $ | — | ||||||
Futures Contracts(a) | 30,933 | — | — | |||||||||
Credit Default Swap Contracts(a) | — | 47,237 | — | |||||||||
Interest Rate Swap Contracts(a) | — | 15,551 | — | |||||||||
Purchased Options Contracts | — | 500 | — | |||||||||
Total | $ | 30,933 | $ | 160,980 | $ | — | ||||||
Liabilities | ||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | — | $ | (136,431) | $ | — | ||||||
Futures Contracts(a) | (197,359) | — | — | |||||||||
Interest Rate Swap Contracts(a) | — | (12,945) | — | |||||||||
Written Options Contracts | — | (38,972) | — | |||||||||
Total | $ | (197,359) | $ | (188,348) | $ | — | ||||||
EQUITY INDEX | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(b) | ||||||||||||
Europe | $ | 823,900 | $ | — | $ | — | ||||||
North America | 177,678,796 | — | — | |||||||||
Total | $ | 178,502,696 | $ | — | $ | — | ||||||
Derivative Type | ||||||||||||
Assets(a) | ||||||||||||
Futures Contracts | $ | 21,172 | $ | — | $ | — | ||||||
GROWTH OPPORTUNITIES | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(b) | ||||||||||||
Asia | $ | 208,168 | $ | — | $ | — | ||||||
North America | 71,763,736 | — | — | |||||||||
South America | 413,512 | — | — | |||||||||
Investment Company | 998,484 | — | — | |||||||||
Securities Lending Reinvestment Vehicle | 809,324 | — | — | |||||||||
Total | $ | 74,193,224 | $ | — | $ | — |
(a) | Amount shown represents unrealized gain (loss) at fiscal year end. |
(b) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of NAV. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. |
65
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements(continued)
December 31, 2019
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
HIGH QUALITY FLOATING RATE | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Fixed Income | ||||||||||||
U.S. Treasury Obligations and/or Other U.S. Government Agencies | $ | 23,043,827 | $ | 2,000,205 | $ | — | ||||||
Mortgage-Backed Securities | — | 2,210,761 | — | |||||||||
Collateralized Mortgage Obligations | — | 17,150,170 | — | |||||||||
Commercial Mortgage-Backed Security | — | 221,593 | — | |||||||||
Asset-Backed Securities | — | 28,797,785 | — | |||||||||
Municipal Bond | — | 94,673 | — | |||||||||
Supranational | — | 2,531,846 | — | |||||||||
Investment Company | 3,128,385 | — | — | |||||||||
Short Term Investment | — | 696,237 | — | |||||||||
Total | $ | 26,172,212 | $ | 53,703,270 | $ | — | ||||||
Derivative Type | ||||||||||||
Assets(a) | ||||||||||||
Futures Contracts | $ | 50,323 | $ | — | $ | — | ||||||
Liabilities(a) | ||||||||||||
Interest Rate Swap Contract | $ | — | $ | (9) | $ | — |
(a) | Amount shown represents unrealized gain (loss) at fiscal year end. |
For further information regarding security characteristics, see the Schedules of Investments.
4. INVESTMENTS IN DERIVATIVES
The following tables set forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of December 31, 2019. These instruments were used as part of the Funds’ investment strategies and to obtain and/or manage exposure related to the risks below. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Funds’ net exposure.
Core Fixed Income
Risk | Statements of Assets and Liabilities | Assets | Statements of Assets and Liabilities | Liabilities | ||||||||||
Interest Rate | Purchased options at value, variation margin on futures and swaps contracts | $ | 46,984 | (a) | Written options at value, variation margin on futures and swaps contracts | $ | (249,276) | (a) | ||||||
Credit | Variation margin on Swap contracts | 47,237 | (a) | — | — | |||||||||
Currency | Receivables for unrealized gain on forward foreign currency exchange contracts | 97,692 | Payable for unrealized loss on forward foreign currency exchange contracts | (136,431) | ||||||||||
Total | $ | 191,913 | $ | (385,707) |
(a) | Includes unrealized gain (loss) on futures contracts and centrally cleared swap contracts described in the Additional Investment Information sections of the Schedules of Investments. Only the variation margin as of December 31, 2019 is reported within the Statements of Assets and Liabilities. |
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GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
4. INVESTMENTS IN DERIVATIVES (continued)
Fund | Risk | Statements of Assets and Liabilities | Assets(a) | Statements of Assets and Liabilities | Liabilities(a) | |||||||||
Equity Index | Equity | Variation margin on futures contracts | $ | 21,172 | — | $ | — | |||||||
High Quality Floating Rate | Interest Rate | Variation margin on futures contracts | 50,323 | Variation margin on swap contracts | (9 | ) |
(a) | Includes unrealized gain (loss) on futures contracts and centrally cleared swap contracts described in the Additional Investment Information sections of the Schedules of Investments. Only the variation margin as of December 31, 2019 is reported within the Statements of Assets and Liabilities. |
The following tables set forth, by certain risk types, the Funds’ gains (losses) related to these derivatives and their indicative volumes for the fiscal year ended December 31, 2019. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statements of Operations:
Core Fixed Income
Risk | Statements of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||||
Interest Rate | Net realized gain (loss) from futures contracts, purchased options and swap contracts/Net change in unrealized gain (loss) on futures contracts, purchased options, written options and swap contracts | $ | 432,366 | $ | (171,120 | ) | 173 | |||||||
Credit | Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts | 34,261 | 71,066 | 8 | ||||||||||
Currency | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | 10,742 | (29,414 | ) | 237 | |||||||||
Total | $ | 477,369 | $ | (129,468 | ) | 418 |
Equity Index
Risk | Statements of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||||
Equity | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | $ | 213,797 | $ | 70,365 | 8 |
High Quality Floating Rate
Risk | Statements of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||||
Interest Rate | Net realized gain (loss) from futures contracts and swap contracts/Net change in unrealized gain (loss) on futures contracts and swap contracts | $ | (179,857 | ) | $ | 118,911 | 37 |
(a) | Average number of contracts is based on the average of month end balances for the fiscal yaer ended December 31, 2019. |
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GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements(continued)
December 31, 2019
5. AGREEMENTS AND AFFILIATED TRANSACTIONS
A. Management Agreements — Under the Agreements, GSAM manages the Funds, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreements, the assumption of the expenses related thereto and administration of the Funds’ business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of each Fund’s average daily net assets.
For the fiscal year ended December 31, 2019, contractual and effective net management fees with GSAM were at the following rates:
Contractual Management Rate | Effective Net Management Rate^ | |||||||||||||||||||||||||||
Fund | First $1 billion | Next $1 billion | Next $3 billion | Next $3 billion | Over $8 billion | Effective Rate | ||||||||||||||||||||||
Core Fixed Income | 0.40 | % | 0.36 | % | 0.34 | % | 0.33 | % | 0.32 | % | 0.40 | % | 0.38 | % | ||||||||||||||
Growth Opportunities | 0.87 | 0.87 | 0.78 | 0.74 | 0.73 | 0.87 | 0.83 | * | ||||||||||||||||||||
High Quality Floating Rate | 0.31 | 0.28 | 0.27 | 0.26 | 0.25 | 0.31 | 0.30 |
^ | Effective Net Management Rate includes the impact of management fee waivers of affiliated Underlying Funds, if any. The Effective Net Management Rate may not correlate to the Contractual Management Rate as a result of management fee waivers that may be in effect from time to time. |
* | GSAM agreed to waive a portion of its management fee in order to achieve net management rate, as defined in the Fund’s most recent prospectuses. This waiver will be effective through at least April 30, 2020, and prior to such date GSAM may not terminate the arrangement without approval of the Trustees. |
The Core Fixed Income, Growth Opportunities and High Quality Floating Rate Funds invest in Institutional Shares of the Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Funds in an amount equal to the management fee it earns as an investment adviser to the affiliated Underlying Fund in which the Funds invest, except those management fees it earns from the Growth Opportunities Fund’s investments of cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund. For the fiscal year ended December 31, 2019, GSAM waived $6,726, $2,533 and $10,083 of the Core Fixed Income, Growth Opportunities and High Quality Floating Rate Funds’ management fees, respectively.
The Agreement for the Equity Index Fund provides for a contractual management fee at an annual rate equal to 0.30% of the Fund’s average daily net assets. For the fiscal year ended December 31, 2019, GSAM agreed to waive a portion of its management fee in order to achieve the following effective annual rates which will remain in effect through at least April 30, 2020 and prior to such date GSAM may not terminate the arrangement without the approval of the Trustees:
Net Management Rate | ||||||
Fund | $0-$400 million | Over $400 million | Effective Rate | |||
Equity Index | 0.21% | 0.20% | 0.21% |
As authorized by the Agreement for the Equity Index Fund, GSAM has entered into aSub-advisory Agreement with SSgA Funds Management, Inc. (“SSgA”) which serves as thesub-adviser to the Fund and provides theday-to-day advice regarding the Fund’s portfolio transactions. As compensation for its services, SSgA is entitled to a fee, accrued daily and paid monthly by GSAM, at the following annual rates of the Fund’s average daily net assets: 0.03% on the first $50 million, 0.02% on the next $200 million, 0.01% on the next $750 million and 0.008% over $1 billion. The effectiveSub-advisory fee was 0.02% for the fiscal year ended December 31, 2019.
B. Distribution and/or Service(12b-1) Plans— The Trust, on behalf of Service Shares of each applicable Fund, has adopted a Distribution and Service Plan subject to Rule12b-1 under the Act. Under the Distribution and Service Plan, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly, for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers, equal to, on an annual basis, 0.25% of the Fund’s average daily net assets attributable to Service Shares. For the fiscal year ended December 31, 2019 for the
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GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
Growth Opportunities Fund, Goldman Sachs agreed to waive distribution and services fees so as not to exceed an annual rate of 0.16% of average daily net assets of the Fund. This distribution and service fee waiver will remain in place through at least April 30, 2020, and prior to such date Goldman Sachs may not terminate the arrangement without the approval of the Trustees.
The Trust, on behalf of Advisor Shares of the High Quality Floating Rate Fund, has adopted a Distribution Plan subject to Rule12b-1 under the Act. Under the Distribution Plan, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers, equal to, on an annual basis, 0.15% of the Fund’s average daily net assets attributable to Advisor Shares.
C. Service Plans — The Trust, on behalf of Advisor Shares of the High Quality Floating Rate Fund, has adopted a Service Plan to allow Advisor Shares to compensate service organizations (including Goldman Sachs) for providing varying levels of personal and account maintenance and administration services to their customers who are beneficial owners of such shares. The Service Plan provides for compensation to the service organizations equal to 0.25% of the average daily net assets attributable to Advisor Shares of the Fund.
D. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Funds for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at an annual rate of 0.02% of the average daily net assets of Institutional, Service and Advisor Shares.
E. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or limit certain “Other Expenses” of the Funds (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of each Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Funds are not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitations as an annual percentage rate of average daily net assets for the Core Fixed Income, Equity Index, Growth Opportunities and High Quality Floating Rate Funds are 0.004%, 0.004%, 0.004% and 0.034%, respectively. These Other Expense limitations will remain in place through at least April 30, 2020, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.
For the fiscal year ended December 31, 2019, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
Fund | Management Fee Waiver | Distribution and Service Fee Waiver | Custody Fee Credits | Other Expense Reimbursement | Total Expense Reductions | |||||||||||||||
Core Fixed Income | $ | 6,726 | $ | — | $ | 2,151 | $ | 280,552 | $ | 289,429 | ||||||||||
Equity Index | 153,505 | — | 2,331 | 327,432 | 483,268 | |||||||||||||||
Growth Opportunities | 31,230 | 64,498 | 920 | 238,260 | 334,908 | |||||||||||||||
High Quality Floating Rate | 10,083 | — | 3,761 | 219,873 | 233,717 |
F. Line of Credit Facility —As of December 31, 2019, the Funds participated in a $580,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been
69
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements(continued)
December 31, 2019
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
utilized. For the fiscal year ended December 31, 2019, the Funds did not have any borrowings under the facility. Prior to April 30, 2019 the facility was $770,000,000.
G. Other Transactions with Affiliates —For the fiscal year ended December 31, 2019, Goldman Sachs earned $538 in brokerage commissions from portfolio transactions, including futures transactions executed with Goldman Sachs as the Futures Commission Merchant, on behalf of the Growth Opportunities Fund.
The following table provides information about the investment in shares of issuers of which a Fund is an affiliate as of and for the fiscal year ended December 31, 2019:
Fund | Name of Affiliated Issuer | Beginning Value as of December 31, 2018 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Ending Value as of December 31, 2019 | Shares as of December 31, 2019 | Dividend Income from Affiliated Issuer | |||||||||||||||||||||||||||
Equity Index | Goldman Sachs Group, Inc. (The) | $ | 421,300 | $ | — | $ | (77,902 | ) | $ | 33,245 | $ | 116,327 | $ | 492,970 | 2,144 | $ | 9,700 |
The following table provides information about the Funds’ investment in the Goldman Sachs Financial Square Government Fund as of and for the fiscal year ended December 31, 2019:
Fund | Beginning Value as of December 31, 2018 | Purchases at Cost | Proceeds from Sales | Ending Value as of December 31, 2019 | Shares as of December 31, 2019 | Dividend Income from Affiliated Investment Company | ||||||||||||||||||
Core Fixed Income | $ | 275,823 | $ | 39,910,308 | $ | (38,539,054 | ) | $ | 1,647,077 | 1,647,077 | $ | 88,791 | ||||||||||||
Growth Opportunities | 1,640,990 | 31,543,134 | (32,185,640 | ) | 998,484 | 998,484 | 31,876 | |||||||||||||||||
High Quality Floating Rate | 9,734,004 | 22,753,595 | (29,359,214 | ) | 3,128,385 | 3,128,385 | 139,606 |
As of December 31, 2019, The Goldman Sachs Group, Inc. was the beneficial owner of approximately 56% of the Institutional Shares of the Growth Opportunities Fund.
6. PORTFOLIO SECURITIES TRANSACTIONS
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended December 31, 2019, were as follows:
Fund | Purchases of U.S. Government and Agency Obligations | Purchases (Excluding U.S. Government and Agency Obligations) | Sales and Maturities of U.S. Government and Agency Obligations | Sales and Maturities (Excluding U.S. Government and Agency Obligations) | ||||||||||||||||
Core Fixed Income | $ | 283,117,003 | $ | 10,893,773 | $ | 286,862,188 | $ | 9,021,430 | ||||||||||||
Equity Index | — | 4,582,587 | — | 22,759,896 | ||||||||||||||||
Growth Opportunities | — | 52,362,565 | — | 57,983,655 | ||||||||||||||||
High Quality Floating Rate | 14,180,289 | 6,361,436 | 6,211,450 | 8,604,770 |
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GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
7. SECURITIES LENDING
The Growth Opportunities Fund may lend its securities through a securities lending agent, the Bank of New York Mellon (“BNYM”), to certain qualified borrowers. Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and the terms and conditions contained therein, the Equity Index Fund may lend its securities through a securities lending agent, Goldman Sachs Agency Lending (“GSAL”), a wholly-owned subsidiary of Goldman Sachs, to certain qualified borrowers including Goldman Sachs and affiliates. In accordance with the Funds’ securities lending procedures, the Funds receive cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities is determined at the close of business of the Funds, at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Funds on the next business day. As with other extensions of credit, the Funds may experience delay in the recovery of their securities or incur a loss should the borrower of the securities breach its agreement with the Funds or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Dividend income received from securities on loan may not be subject to withholding taxes and therefore withholding taxes paid may differ from the amounts listed in the Statements of Operations. Loans of securities are terminable at any time and as such 1) the remaining contractual maturities of the outstanding securities lending transactions are considered to be overnight and continuous and 2) the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
The Equity Index and Growth Opportunities Funds invest the cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund (“Government Money Market Fund”), an affiliated series of the Goldman Sachs Trust. The Government Money Market Fund is registered under the Act as an open end investment company, is subject to Rule2a-7 under the Act, and is managed by GSAM, for which GSAM may receive a management fee of up to 0.16% on an annualized basis of the average daily net assets of the Government Money Market Fund.
In the event of a default by a borrower with respect to any loan, GSAL will and BNYM may exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If GSAL or BNYM are unable to purchase replacement securities, GSAL and/or BNYM will indemnify the Funds by paying the Funds an amount equal to the market value of the securities loaned minus the value of cash collateral received from the borrower for the loan, subject to an exclusion for any shortfalls resulting from a loss of value in such cash collateral due to reinvestment risk. The Funds’ master netting agreements with certain borrowers provide the right, in the event of a default (including bankruptcy or insolvency), for thenon-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. However, in the event of a default by a borrower, a resolution authority could determine that such rights are not enforceable due to the restrictions or prohibitions against the right ofset-off that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws. The Funds’ loaned securities were all subject to enforceable Securities Lending Agreements and the value of the collateral was at least equal to the value of the cash received. The amounts of the Funds’ overnight and continuous agreements, which represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of December 31, 2019 are disclosed as “Payable upon return of securities loaned” on the Statements of Assets and Liabilities, where applicable. The Equity Index Fund did not have securities on loan as of December 31, 2019.
Each of the Equity Index and Growth Opportunities Funds and GSAL and BNYM received compensation relating to the lending of the Funds’ securities. The amounts earned, if any, by the Funds for the fiscal year ended December 31, 2019, are reported under Investment Income on the Statements of Operations.
The table below details securities lending activity with affiliates of Goldman Sachs:
For the Fiscal Year ended December 31, 2019 | ||||||||||||
Fund | Earnings of GSAL Relating to Securities Loaned | Amount Received by the Fund from Lending to Goldman Sachs | Amount Payable to Goldman Sachs Upon Return of Securities Loaned as of December 31, 2019 | |||||||||
Equity Index | $ | 3 | $ | 8 | $ | — |
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GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements(continued)
December 31, 2019
7. SECURITIES LENDING (continued)
The following table provides information about the Fund’s investment in the Government Money Market Fund for the fiscal year ended December 31, 2019:
Fund | Beginning Value as of December 31, 2018 | Purchases at Cost | Proceeds from Sales | Ending Value as of December 31, 2019 | ||||||||||||||||
Equity Index | $ | — | $ | 379,475 | $ | (379,475 | ) | $ | — | |||||||||||
Growth Opportunities | 193,706 | 15,616,961 | (15,001,343 | ) | 809,324 |
8. TAX INFORMATION
The tax character of distributions paid during the fiscal year ended December 31, 2019 was as follows:
Core Fixed Income | Equity Index | Growth Opportunities | High Quality Floating Rate | |||||||||||||
Distributions paid from: | ||||||||||||||||
Ordinary income | $ | 1,135,215 | $ | 2,490,452 | $ | 1,337,526 | $ | 1,703,004 | ||||||||
Net long-term capital gains | — | 10,537,849 | 12,740,950 | — | ||||||||||||
Total taxable distributions | $ | 1,135,215 | $ | 13,028,301 | $ | 14,078,476 | $ | 1,703,004 |
The tax character of distributions paid during the fiscal year ended December 31, 2018 was as follows:
Core Fixed Income | Equity Index | Growth Opportunities | High Quality Floating Rate | |||||||||||||
Distributions paid from: | ||||||||||||||||
Ordinary income | $ | 1,255,866 | $ | 2,726,622 | $ | 5,004,305 | $ | 1,444,361 | ||||||||
Net long-term capital gains | — | 10,920,309 | 34,358,813 | — | ||||||||||||
Total taxable distributions | $ | 1,255,866 | $ | 13,646,931 | $ | 39,363,118 | $ | 1,444,361 |
As of December 31, 2019, the components of accumulated earnings (losses) on atax-basis were as follows:
Core Fixed Income | Equity Index | Growth Opportunities | High Quality Floating Rate | |||||||||||||
Undistributed ordinary income — net | $ | 128,707 | $ | 179,918 | $ | 54,692 | $ | 161,125 | ||||||||
Undistributed long-term capital gains | — | 2,129,419 | 1,121,066 | — | ||||||||||||
Total undistributed earnings | $ | 128,707 | $ | 2,309,337 | $ | 1,175,758 | $ | 161,125 | ||||||||
Capital loss carryforwards:(1) | ||||||||||||||||
Perpetual short-term | $ | (217,758 | ) | $ | — | $ | — | $ | (207,284 | ) | ||||||
Perpetual long-term | (952,197 | ) | — | — | (1,077,184 | ) | ||||||||||
Total capital loss carryforwards | $ | (1,169,955 | ) | $ | — | $ | — | $ | (1,284,468 | ) | ||||||
Timing differences (Real Estate Investment Trusts, late year ordinary loss deferral, post October loss deferral, and straddle loss deferrals) | $ | (298,115 | ) | $ | 3,196 | $ | (393,155 | ) | $ | (60,087 | ) | |||||
Unrealized gains (losses) — net | 1,268,632 | 115,885,815 | 17,635,284 | (29,584 | ) | |||||||||||
Total accumulated earnings (losses) — net | $ | (70,731 | ) | $ | 118,198,348 | $ | 18,417,887 | $ | (1,213,014 | ) |
(1) | The Core Fixed Income Fund utilized $1,038,021 of capital losses in the current year. |
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GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
8. TAX INFORMATION (continued)
As of December 31, 2019, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Core Fixed Income | Equity Index | Growth Opportunities | High Quality Floating Rate | |||||||||||||
Tax cost | $ | 62,154,121 | $ | 62,577,272 | $ | 56,557,940 | $ | 79,955,380 | ||||||||
Gross unrealized gain | 1,695,932 | 118,385,679 | 18,731,461 | 176,565 | ||||||||||||
Gross unrealized loss | (427,300 | ) | (2,499,864 | ) | (1,096,177 | ) | (206,149 | ) | ||||||||
Net unrealized security gain (loss) | $ | 1,268,632 | $ | 115,885,815 | $ | 17,635,284 | $ | (29,584 | ) |
The difference between GAAP-basis andtax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains (losses) on regulated futures and foreign currency contracts, and differences in the tax treatment of underlying fund investments, real estate investment trust investments, partnership investments and swap transactions.
The Equity Index Fund reclassified $39,012 from paid in capital to distributable earnings for the year ending December 31, 2019. In order to present certain components of the Fund’s capital accounts on atax-basis, certain reclassifications have been recorded to the Fund’s accounts. These reclassifications have no impact on the net asset value of the Fund and result primarily from differences in the tax treatment of underlying fund investments.
GSAM has reviewed the Funds’ tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Funds’ financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
9. OTHER RISKS
The Funds’ risks include, but are not limited to, the following:
Derivatives Risk —The Funds’ use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Funds. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
Floating and Variable Rate Obligations Risk —For floating and variable rate obligations, there may be a lag between an actual change in the underlying interest rate benchmark and the reset time for an interest payment of such an obligation, which could harm or benefit a Fund, depending on the interest rate environment or other circumstances.
Certain floating and variable rate obligations have an interest rate floor feature, which prevents the interest rate payable by the security from dropping below a specific level as compared to a reference interest rate (the “reference rate”), such as LIBOR. In 2017, the United Kingdom’s Financial Conduct Authority (“FCA”) warned that LIBOR may cease to be available or appropriate for use by 2021. The unavailability or replacement of LIBOR may affect the value, liquidity or return on certain Fund investments and may result in costs incurred in connection with closing out positions and entering into new trades. Any pricing adjustments to a Fund’s investments resulting from a substitute reference rate may also adversely affect a Fund’s performance and/or NAV.
Interest Rate Risk —When interest rates increase, fixed income securities or instruments held by a Fund will generally decline in value. Long-term fixed income securities or instruments will normally have more price volatility because of this risk than short-term fixed income securities or instruments. The risks associated with changing interest rates may have unpredictable effects on the
73
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements(continued)
December 31, 2019
9. OTHER RISKS (continued)
markets and a Fund’s investments. Fluctuations in interest rates may also affect the liquidity of fixed income securities and instruments held by the Funds.
Investments in Other Investment Companies Risk —As a shareholder of another investment company, a Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund.
Large Shareholder Transactions Risk —A Fund may experience adverse effects when certain large shareholders, such as other funds, participating insurance companies, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of the Fund. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may cause a Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact a Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in a Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect a Fund’s performance to the extent that the Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.
Liquidity Risk —A Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that a Fund will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, a Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If a Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Fund’s NAV and dilute remaining investors’ interests. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income mutual funds may be higher than normal, potentially causing increased supply in the market due to selling activity. Redemptions by large shareholders may have a negative impact on a Fund’s liquidity.
Market and Credit Risks —In the normal course of business, a Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, a Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
10. INDEMNIFICATIONS
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
11. OTHER MATTERS
On November 5, 2019, a definitive proxy statement (“proxy”) was filed with the SEC to elect certain Trustees to the Trust. The Funds will bear their respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse each Fund to the extent such expenses exceed a specified percentage of the Fund’s net assets.
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GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
11. OTHER MATTERS (continued)
The Funds have adopted Financial Accounting Standards Board Accounting Standards Update2017-08 to amend the amortization period for certain purchased callable debt securities held at a premium. Under the new standard, the Funds have changed the amortization period for the premium on certain purchased callable debt securities withnon-contingent call features to the earliest call date. In accordance with the transition provisions of the standard, the Funds applied the amendments on a modified retrospective basis beginning with the fiscal period ended December 31, 2019. This change in accounting policy has been made to comply with the newly issued accounting standard and had no impact on total distributable earnings (loss) or the net asset value of the Funds. Upon evaluation, GSAM has concluded that the change in accounting principle does not materially impact the financial statement amounts.
12. SUBSEQUENT EVENTS
Subsequent events after the Statements of Assets and Liabilities date other than above have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
13. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
Core Fixed Income Fund | ||||||||||||||||
For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 1,350,662 | $ | 14,627,404 | 239,264 | $ | 2,398,042 | ||||||||||
Reinvestment of distributions | 18,000 | 194,059 | 1,385 | 14,101 | ||||||||||||
Shares redeemed | (23,271 | ) | (251,188 | ) | (2,860 | ) | (29,294 | ) | ||||||||
1,345,391 | 14,570,275 | 237,789 | 2,382,849 | |||||||||||||
Service Shares | ||||||||||||||||
Shares sold | 146,021 | 1,568,792 | 269,492 | 2,777,030 | ||||||||||||
Reinvestment of distributions | 88,008 | 941,156 | 121,784 | 1,241,765 | ||||||||||||
Shares redeemed | (344,474 | ) | (3,665,153 | ) | (7,052,075 | ) | (73,362,835 | ) | ||||||||
(110,445 | ) | (1,155,205 | ) | (6,660,799 | ) | (69,344,040 | ) | |||||||||
NET INCREASE (DECREASE) | 1,234,946 | $ | 13,415,070 | (6,423,010 | ) | $ | (66,961,191 | ) |
Equity Index Fund | ||||||||||||||||
For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Service Shares | ||||||||||||||||
Shares sold | 139,050 | $ | 2,326,474 | 255,683 | $ | 4,433,966 | ||||||||||
Reinvestment of distributions | 753,952 | 13,028,301 | 931,531 | 13,646,931 | ||||||||||||
Shares redeemed | (1,382,180) | (23,176,553) | (1,225,406) | (20,993,560) | ||||||||||||
NET DECREASE | (489,178) | $ | (7,821,778) | (38,192) | $ | (2,912,663) |
75
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements(continued)
December 31, 2019
13. SUMMARY OF SHARE TRANSACTIONS (continued)
Growth Opportunities Fund | ||||||||||||||||
For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 2,251 | $ | 13,422 | 1,452 | $ | 10,553 | ||||||||||
Reinvestment of distributions | 1,428 | 16,254 | 14,418 | 37,921 | ||||||||||||
Shares redeemed | — | — | — | (6 | ) | |||||||||||
Stock split share adjustment | (18,018 | ) | — | — | — | |||||||||||
(14,339 | ) | 29,676 | 15,870 | 48,468 | ||||||||||||
Service Shares | ||||||||||||||||
Shares sold | 2,525,028 | 8,216,053 | 400,481 | 2,816,257 | ||||||||||||
Reinvestment of distributions | 1,291,297 | 14,062,222 | 15,482,361 | 39,325,197 | ||||||||||||
Shares redeemed | (2,980,276 | ) | (15,016,361 | ) | (14,466,620 | ) | (114,387,851 | ) | ||||||||
Stock split share adjustment | (17,764,276 | ) | — | — | — | |||||||||||
(16,928,227 | ) | 7,261,914 | 1,416,222 | (72,246,397 | ) | |||||||||||
NET INCREASE (DECREASE) | (16,942,566 | ) | $ | 7,291,590 | 1,432,092 | $ | (72,197,929 | ) |
High Quality Floating Rate Fund | ||||||||||||||||
For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 260,218 | $ | 2,698,458 | 220,421 | $ | 2,298,983 | ||||||||||
Reinvestment of distributions | 7,359 | 76,241 | 1,234 | 12,809 | ||||||||||||
Shares redeemed | (21,509 | ) | (223,698 | ) | (2,992 | ) | (31,202 | ) | ||||||||
246,068 | 2,551,001 | 218,663 | 2,280,590 | |||||||||||||
Service Shares | ||||||||||||||||
Shares sold | 528,956 | 5,487,026 | 1,428,964 | 14,877,058 | ||||||||||||
Reinvestment of distributions | 144,657 | 1,495,755 | 127,506 | 1,323,812 | ||||||||||||
Shares redeemed | (940,217 | ) | (9,752,642 | ) | (930,951 | ) | (9,686,886 | ) | ||||||||
(266,604 | ) | (2,769,861 | ) | 625,519 | 6,513,984 | |||||||||||
Advisor Shares | ||||||||||||||||
Shares sold | 233,654 | 2,427,649 | 385,926 | 4,020,676 | ||||||||||||
Reinvestment of distributions | 12,653 | 131,008 | 10,367 | 107,740 | ||||||||||||
Shares redeemed | (315,266 | ) | (3,274,558 | ) | (157,560 | ) | (1,641,339 | ) | ||||||||
(68,959 | ) | (715,901 | ) | 238,733 | 2,487,077 | |||||||||||
NET INCREASE (DECREASE) | (89,495 | ) | $ | (934,761 | ) | 1,082,915 | $ | 11,281,651 |
76
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Goldman Sachs Variable Insurance Trust and Shareholders of the Goldman Sachs Core Fixed Income Fund, Goldman Sachs Equity Index Fund, Goldman Sachs Growth Opportunities Fund and Goldman Sachs High Quality Floating Rate Fund
Opinions on the Financial Statements
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of Goldman Sachs Core Fixed Income Fund, Goldman Sachs Equity Index Fund, Goldman Sachs Growth Opportunities Fund and Goldman Sachs High Quality Floating Rate Fund (four of the funds constituting Goldman Sachs Variable Insurance Trust, hereafter collectively referred to as the “Funds”) as of December 31, 2019, the related statements of operations for the year ended December 31, 2019, the statements of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes,and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds as of December 31, 2019, the results of each of their operations for the year then ended, the changes in each of their net assets for each of the two years in the period ended December 31, 2019 and each of the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinions
These financial statements are the responsibility of the Funds’ management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Funds in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinions.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 14, 2020
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
77
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Voting Results of Special Meeting of Shareholders (Unaudited)
A Special Meeting (the “Meeting”) of the Goldman Sachs Variable Insurance Trust (“VIT”) was held on January 23, 2020 to consider and act upon the proposals below. The Funds will amortize their respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse each Fund to the extent such expenses exceed a specified percentage of the Fund’s net assets.
At the Meeting, Dwight L. Bush, Kathryn A. Cassidy, Joaquin Delgado and Gregory G. Weaver were elected to the Trust’s Board of Trustees. In electing trustees, the Trust’s shareholders voted as follows:
Proposal 1.
Election of Trustees | For | Against | Withheld | Broker Non-Votes | ||||||||||||
Dwight L. Bush | 745,493,677.130 | 0 | 17,848,840.639 | 0 | ||||||||||||
Kathryn A. Cassidy | 746,559,784.810 | 0 | 16,782,732.959 | 0 | ||||||||||||
Joaquin Delgado | 744,593,456.532 | 0 | 18,749,061.237 | 0 | ||||||||||||
Gregory G. Weaver | 746,707,039.321 | 0 | 16,635,478.448 | 0 |
78
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Fund Expenses — Six Month Period Ended December 31, 2019 (Unaudited) |
As a shareholder of Institutional, Service or Advisor Shares of the Funds, you incur ongoing costs, including management fees, distribution and/or service(12b-1) fees (with respect to Service and Advisor Shares) and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Institutional Shares, Service Shares and Advisor Shares of the Funds and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2019 through December 31, 2019, which represents a period of 184 days of a 365 day year.
Actual Expenses— The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Funds you do not incur any transaction costs, such as sales charges, redemption fees, or exchange fees, but shareholders of other funds may incur such costs. The second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds whose shareholders may incur transaction costs.
Core Fixed Income Fund | Equity Index Fund | Growth Opportunities Fund | High Quality Floating Rate Fund | |||||||||||||||||||||||||||||||||||||||||||||
Share Class | Beginning Account 07/01/19 | Ending Account 12/31/19 | Expenses Paid for the 6 Months Ended 12/31/19* | Beginning Account 07/01/19 | Ending Account 12/31/19 | Expenses Paid for the 6 Months Ended 12/31/19* | Beginning Account 07/01/19 | Ending Account 12/31/19 | Expenses Paid for the 6 Months Ended 12/31/19* | Beginning Account 07/01/19 | Ending Account 12/31/19 | Expenses Paid for the 6 Months Ended 12/31/19* | ||||||||||||||||||||||||||||||||||||
Institutional | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,023.50 | $ | 2.14 | N/A | N/A | N/A | $ | 1,000 | $ | 1,065.80 | $ | 4.58 | $ | 1,000 | $ | 1,009.40 | $ | 1.87 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,022.09 | + | 2.14 | N/A | N/A | N/A | 1,000 | 1,020.77 | + | 4.48 | 1,000 | 1,023.34 | + | 1.89 | |||||||||||||||||||||||||||||||||
Service | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,022.20 | 3.47 | $ | 1,000 | $ | 1,106.10 | $ | 2.65 | 1,000 | 1,065.00 | 5.41 | 1,000 | 1,008.00 | 3.14 | |||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,021.78 | + | 3.47 | 1,000 | 1,022.68 | + | 2.55 | 1,000 | 1,019.96 | + | 5.30 | 1,000 | 1,022.08 | + | 3.16 | ||||||||||||||||||||||||||||||||
Advisor | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | 1,000 | 1,007.20 | 3.90 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | 1,000 | 1,021.32 | + | 3.92 |
+ | Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
* | Expenses are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended December 31, 2019. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: |
Fund | Institutional | Service | Advisor | |||||||||
Core Fixed Income | 0.42 | % | 0.68 | % | N/A | |||||||
Equity Index | N/A | 0.50 | N/A | |||||||||
Growth Opportunities | 0.88 | 1.04 | N/A | |||||||||
High Quality Floating Rate | 0.37 | 0.62 | 0.77 | % |
79
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Trustees and Officers (Unaudited)
Independent Trustees
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||||
Jessica Palmer Age: 70 | Chair of the Board of Trustees | Since 2018 (Trustee since 2007) | Ms. Palmer is retired. She was formerly Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009).
Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Kathryn A. Cassidy Age: 65 | Trustee | Since 2015 | Ms. Cassidy is retired. Formerly, she was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Diana M. Daniels Age: 70 | Trustee | Since 2007 | Ms. Daniels is retired. Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is a Trustee Emeritus and serves as a Presidential Councillor of Cornell University (2013-Present); former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Roy W. Templin Age: 59 | Trustee | Since 2013 | Mr. Templin is retired. He is Director, Armstrong World Industries, Inc. (a designer and manufacturer of ceiling, wall and suspension system solutions) (2016-Present); and was formerly Chairman of the Board of Directors, Con-Way Incorporated (a transportation, logistics and supply chain management service company) (2014-2015); Executive Vice President and Chief Financial Officer, Whirlpool Corporation (an appliance manufacturer and marketer) (2004-2012). Previously, Mr. Templin served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (June 2013-October 2013).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Armstrong World Industries, Inc. (a ceiling, wall and suspension systems solutions manufacturer) | |||||||
Gregory G. Weaver Age: 68 | Trustee | Since 2015 | Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Verizon Communications Inc. | |||||||
80
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Trustees and Officers (Unaudited) (continued)
Interested Trustee*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||||
James A. McNamara Age: 57 | President and Trustee | Since 2007 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | 165 | None | |||||||
Advisory Board Members
Name, Address, Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Advisory Board Member3 | Other Directorships Held by Advisory Board Member4 | |||||||
Dwight L. Bush Age: 62 | Advisory Board Member | Since 2019 | Ambassador Bush is President and CEO of D.L. Bush & Associates (a financial advisory and private investment firm) (2002-2014 and 2017-present); and was formerly U.S. Ambassador to the Kingdom of Morocco (2014-2017) and a Member of the Board of Directors of Santander Bank, N.A. (2018-2019).
Advisory Board Member — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Joaquin Delgado Age: 59 | Advisory Board Member | Since 2019 | Dr. Delgado is retired. He is Director, Hexion Inc. (a specialty chemical manufacturer) (2019-present); and Director, Stepan Company (a specialty chemical manufacturer) (2011-present); and was formerly Executive Vice President, Consumer Business Group of 3M Company (July 2016-July 2019); and Executive Vice President, Health Care Business Group of 3M Company (October 2012-July 2016).
Advisory Board Member — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Stepan Company (a specialty chemical manufacturer) | |||||||
* | Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. Mr. McNamara holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
1 | Each Trustee and Advisory Board Member may be contacted by writing to the Trustee or Advisory Board Member, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of December 31, 2019. |
2 | Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that (a) no Trustee shall hold office for more than 15 years and (b) a Trustee shall retire as of December 31st of the calendar year in which he or she reaches his or her 74th birthday, unless a waiver of such requirements shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. |
3 | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of December 31, 2019, Goldman Sachs Trust consisted of 89 portfolios; Goldman Sachs Variable Insurance Trust consisted of 13 portfolios; Goldman Sachs Trust II consisted of 19 portfolios (17 of which offered shares to the public); Goldman Sachs MLP Income Opportunities Fund, Goldman Sachs MLP and Energy Renaissance Fund, Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio; and Goldman Sachs ETF Trust consisted of 40 portfolios (21 of which offered shares to the public). |
4 | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384. Additional information about the Advisory Board Members will be available in the Funds’ Statement of Additional Information dated April 30, 2020, which will be available from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
81
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | |||
James A. McNamara 200 West Street New York, NY 10282 Age: 57 | Trustee and President | Since 2007 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 42 | Secretary | Since 2012 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Associate General Counsel, Goldman Sachs (2012-Present); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006).
Secretary — Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Private Middle Market Credit II LLC; Goldman Sachs Middle Market Lending Corp.; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 51 | Treasurer, Principal Financial Officer and Principal Accounting Officer | Since 2017 (Treasurer and Principal Financial Officer since 2019) | Managing Director, Goldman Sachs (November 2015-Present) and Vice President — Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010-October 2015). Treasurer, Principal Financial Officer and Principal Accounting Officer — Goldman Sachs Trust (previously Assistant Treasurer (2016)); Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs MLP Income Opportunities Fund (previously Assistant Treasurer (2017)); Goldman Sachs MLP and Energy Renaissance Fund (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
* | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Funds’ Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
1 | Information is provided as of December 31, 2019. |
2 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
Goldman Sachs Variable Insurance Trust — Tax Information (Unaudited)
For the year ended December 31, 2019, 100% and 34.20% of the dividends paid from net investment company taxable income by the Equity Index and Growth Opportunities Funds qualify for the dividends received deduction available to corporations.
Pursuant to Section 852 of the Internal Revenue Code, the Equity Index and Growth Opportunities Funds designate $10,537,849 and $12,740,950 respectively, or, if different, the maximum amount allowable, as capital gain dividends paid during the year ended December 31, 2019.
82
TRUSTEES | OFFICERS | |
Jessica Palmer,Chair | James A. McNamara,President | |
Dwight L. Bush* | Joseph F. DiMaria,Principal Financial Officer, | |
Kathryn A. Cassidy | Principal Accounting Officer and Treasurer | |
Diana M. Daniels | Caroline L. Kraus,Secretary | |
Joaquin Delgado* | ||
James A. McNamara | ||
Roy W. Templin | ||
Gregory G. Weaver | ||
*Effective as of January 23, 2020 |
GOLDMAN SACHS & CO. LLC
Distributor and Transfer Agent
GOLDMAN SACHS ASSET MANAGEMENT, L.P.
Investment Adviser
200 West Street, New York,
New York 10282
Visit our web site at www.GSAMFUNDS.com to obtain the most recentmonth-end returns.
The reports concerning the Funds included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Funds in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Funds, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Funds. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Funds use to determine how to vote proxies relating to portfolio securities and information regarding how the Funds voted proxies relating to portfolio securities for the12-month period ended December 31 is available (i) without charge, upon request by calling1-800-621-2550; and (ii) on the Securities and Exchange Commission (“SEC”) web site athttp://www.sec.gov.
The Funds will file portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be made available on the SEC’s web site at http://www.sec.gov. Portfolio holdings information may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).
Views and opinions expressed are for informational purposes only and do not constitute a recommendation by GSAM to buy, sell, or hold any security. Views and opinions are current as of the date of this presentation and may be subject to change, they should not be construed as investment advice.
Goldman Sachs & Co. LLC (“Goldman Sachs”) does not provide legal, tax or accounting advice. Any statement contained in this communication (including any attachments) concerning U.S. tax matters was not intended or written to be used, and cannot be used, for the purpose of avoiding penalties under the Internal Revenue Code, and was written to support the promotion or marketing of transactions or matters addressed. Clients of Goldman Sachs should obtain their own independent tax advice based on their particular circumstances.
The website links provided are for your convenience only and are not an endorsement or recommendation by GSAM of any of these websites or the products or services offered. GSAM is not responsible for the accuracy and validity of the content of these websites.
Fund holdings and allocations shown are as of December 31, 2019 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
References to indices, benchmarks or other measures of relative market performance over a specified period of time are provided for your information only and do not imply that the portfolio will achieve similar results. The index composition may not reflect the manner in which a portfolio is constructed. While an adviser seeks to design a portfolio which reflects appropriate risk and return features, portfolio characteristics may deviate from those of the benchmark.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (“MSCI”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
Shares of the Goldman Sachs VIT Funds are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Funds are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Funds.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus or summary prospectus, if applicable. Investors should consider the Funds’ objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the prospectus carefully before investing or sending money. The summary prospectus, if available, and the prospectus contain this and other information about the Funds and may be obtained from your authorized dealer or from Goldman Sachs & Co. LLC by calling1-800-621-2550.
This report is prepared for the general information of contract owners and is not an offer of shares of the Goldman Sachs Variable Insurance Trust Funds.
© 2020 Goldman Sachs. All rights reserved.
VITMLTIAR-20/192295-OTU-1133686
Goldman
SachsVariable Insurance Trust
Goldman Sachs
Small Cap Equity Insights Fund
Beginning on or after January 1, 2021, you may not receive paper copies of the Fund’s annual and semi-annual shareholder reports from the insurance company that offers your variable insurance contract or your financial intermediary, unless you specifically request paper copies of the reports from the insurance company or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. At any time, you may elect to receive reports and certain communications from the insurance company electronically by contacting your insurance company or your financial intermediary.
You may elect to receive all future shareholder reports in paper free of charge. You can inform the insurance company or your financial intermediary that you wish to receive paper copies of reports. Your election to receive reports in paper will apply to all Goldman Sachs Funds available under your contract and may apply to all funds held with your financial intermediary.
Annual Report
December 31, 2019
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
INVESTMENT OBJECTIVE
The Fund seeks long-term growth of capital.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs Variable Insurance Trust — Goldman Sachs Small Cap Equity Insights Fund’s (the “Fund”) performance and positioning for the12-month period ended December 31, 2019 (the “Reporting Period”).
How did the Fund perform during the Reporting Period?
During the Reporting Period, the Fund’s Institutional and Service Shares generated average annual total returns of 24.84% and 24.53%, respectively. These returns compare to the 25.52% average annual total return of the Fund’s benchmark, the Russell 2000® Index (with dividends reinvested) (the “Russell Index”) during the same time period.
What economic and market factors most influenced the equity markets as a whole during the Reporting Period?
Representing the U.S. equity market, the S&P 500® Index returned 31.49% during the Reporting Period, achieving a record high and its strongest annual gain since 2013.
The U.S. equity market rallied at the start of the Reporting Period, almost completely recovering from asell-off at the end of 2018. After four gradual interest rate hikes in 2018, the U.S. Federal Reserve (“Fed”) cut interest rates three times in 2019 in an effort to keep the U.S. economic expansion intact amid trade uncertainties. The trade war between the U.S. and China pressured macroeconomic indicators throughout the first half of the calendar year but did little to suppress a resilient consumer, which ultimately outweighed manufacturing weakness. By the fourth quarter of 2019, U.S. stock returns accelerated with an uptick of U.S. manufacturing and service sector business surveys as well as a consistently strong labor market. The U.S. added more than 200,000 jobs in November 2019, double the break-even pace of long-term job growth. These developments helped restore market confidence, while fundamentals of low core inflation, contained financial imbalance and reduced drag of a trade war fended off imminent recession risk.
For the Reporting Period overall, all 11 sectors posted positive absolute returns, with all 11 generating double-digit gains. Information technology, communication services and financials were the best performing sectors in the S&P 500® Index, as measured by total return, while the weakest performing sectors in the S&P 500® Index during the Reporting Period were energy, health care and materials.
Within the U.S. equity market, all capitalization segments posted double-digit positive returns, led bylarge-cap stocks, as measured by the Russell 1000® Index, followed closely bymid-cap stocks, as measured by the Russell Midcap® Index, and then bysmall-cap stocks, as measured by the Russell 2000® Index. From a style perspective, growth-oriented stocks significantly outpaced value-oriented stocks across the capitalization spectrum. (All as measured by the FTSE Russell indices.)
What key factors were responsible for the Fund’s performance during the Reporting Period?
The Fund uses a quantitative style of management, in combination with a qualitative overlay, that emphasizes fundamentally-based stock selection, careful portfolio construction and efficient implementation. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on certain investment themes, namely Fundamental Mispricings, High Quality Business Models, Sentiment Analysis and Market Themes & Trends.
During the Reporting Period, the Fund posted robust double-digit absolute gains but modestly underperformed the Russell Index on a relative basis. Two of our quantitative model’s four investment themes detracted from performance, while two contributed positively. Stock selection overall, driven by these investment themes, dampened relative returns.
What impact did the Fund’s investment themes have on performance during the Reporting Period?
In keeping with our investment approach, we use our quantitative model and four investment themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of the model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of the Fund’s theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by the Fund’s different investment
1
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit.
During the Reporting Period, two of our four investment themes — High Quality Business Models and Fundamental Mispricings — detracted from the Fund’s relative performance. The other two investment themes — Market Themes & Trends and Sentiment Analysis — contributed positively. High Quality Business Models seeks to identify companies that are generating high quality revenues with sustainable business models and aligned management incentives. Fundamental Mispricings seeks to identify high quality businesses trading at a fair price, which we believe may lead to strong performance over the long run. Market Themes & Trends seeks to identify companies positively positioned to benefit from themes and trends in the market and macroeconomic environment. Sentiment Analysis seeks to identify stocks experiencing improvements in their overall market sentiment.
How did the Fund’s sector and industry allocations affect relative performance?
In constructing the Fund’s portfolio, we focus on picking stocks rather than making sector or industry bets. Consequently, the Fund is similar to its benchmark, the Russell Index, in terms of its sector and industry allocations and style. Changes in its sector or industry weights generally do not have a meaningful impact on relative performance.
Did stock selection help or hurt Fund performance during the Reporting Period?
We seek to outpace the Russell Index by overweighting stocks that we expect to outperform and underweighting those that we think may lag. At the same time, we strive to maintain a risk profile similar to the Russell Index. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on our investment themes. For example, the Fund aims to hold a basket of stocks with better Fundamental Mispricings characteristics than the benchmark index.
During the Reporting Period, stock selection overall hampered the Fund’s performance, with investments in the industrials, health care and financials sectors detracting most from results relative to the Russell Index. Holdings in the real estate, utilities and consumer staples sectors added to the Fund’s relative returns.
Which individual positions detracted from the Fund’s results during the Reporting Period?
Detracting most from the Fund’s results relative to the Russell Index were an overweight position in biofuels and renewable chemicals producer Renewable Energy Group and underweight positions in biotechnology and pharmaceuticals firm The Medicines Company and oncology company Novocure. The overweight in Renewable Energy Group was established primarily as a result of our Fundamental Mispricings and Market Themes & Trends investment themes. Largely because of our Sentiment Analysis and Fundamental Mispricings investment themes, the Fund was underweight The Medicines Company. The Fund’s underweight in Novocure was driven primarily by our Sentiment Analysis and High Quality Business Models investment themes.
Which individual stock positions contributed the most to the Fund’s relative returns during the Reporting Period?
The Fund benefited most from overweight positions in television broadcasting company Sinclair Broadcast Group, biotechnology and pharmaceuticals company Array BioPharma and oncology-focused molecular test developer Veracyte. The overweight in Sinclair Broadcast Group was established predominantly due to our High Quality Business Models investment theme. The overweight in Array BioPharma was driven by our Sentiment Analysis investment theme. The Fund was overweight Veracyte largely because of our Market Themes & Trends and High Quality Business Models investment themes.
How did the Fund use derivatives during the Reporting Period?
During the Reporting Period, we did not use derivatives as part of an active management strategy to add value to the Fund’s results. However, we used equity index futures contracts, on an opportunistic basis, to equitize the Fund’s excess cash holdings. In other words, we put the Fund’s excess cash holdings to work by using them as collateral for the purchase of stock futures. The use of these futures contracts did not have a material impact on the Fund’s performance during the Reporting Period.
Did you make any enhancements to your quantitative models during the Reporting Period?
We continuously look for ways to improve our investment process. During the Reporting Period, we made numerous enhancements to our models. As example, during the first half of the Reporting Period, we introduced a number of new signals. First, within our Sentiment Analysis investment theme, we added a suite of signals that utilizes data from the short selling market as an indicator of the market sentiment surrounding individual names. Second, within our Market Themes & Trends investment theme, we added a signal that examines the cross-holdings of pooled vehicles to identify thematic trends in the market. Also within our Market Themes & Trends investment theme, we added a signal that examines internet linkages between companies to identify thematic trends. Finally, within our Fundamental Mispricings investment theme, we added a signal that we believe to be predictive of industry rotations.
2
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
During the second half of the Reporting Period, within our High-Quality Business Models investment theme, we added a number of new metrics. The first metric identifies companies with longer executive management tenure, as we believe this is indicative of a sustainable, high quality, business model. We now leverage data from a large web search engine provider to help quantify changes in consumer attention. We also introduced a signal that uses import and export data to help quantify demand growth for a company’s products complementing our suite of consumer-demand signals. Finally, we added a signal focused on health care companies that helps us measure the value of a pharmaceutical company’s drug pipeline. Within our Themes and Trends investment theme, we introduced a signal that helps us find connections between companies based upon import and export data.
What was the Fund’s sector positioning relative to its benchmark index at the end of the Reporting Period?
As of December 31, 2019, the Fund was overweight the consumer discretionary, materials and energy sectors relative to the Russell Index. The Fund was underweight utilities, health care and financials and was rather neutrally weighted in consumer staples, communication services, real estate, industrials and information technology compared to the Russell Index on the same date.
Were there any changes to the Fund’s portfolio management team during the Reporting Period?
There were no changes to the Fund’s portfolio management team during the Reporting Period.
What is your strategy going forward for the Fund?
Looking ahead, we continue to believe that less expensive stocks should outpace more expensive stocks, and stocks with good momentum are likely to outperform those with poor momentum. We intend to maintain our focus on seeking companies about which fundamental research analysts are becoming more positive as well as profitable companies with sustainable earnings and a track record of using their capital to enhance shareholder value. As such, we anticipate remaining fully invested with long-term performance likely to be the result of stock selection rather than sector or capitalization allocations.
We stand behind our investment philosophy that sound economic investment principles, coupled with a disciplined quantitative approach, can provide strong, uncorrelated returns over the long term. Our research agenda is robust, and we continue to enhance our existing models, add new proprietary forecasting signals and improve our trading execution as we seek to provide the most value to our shareholders.
3
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Index Definitions
TheRussell 2000® Index is an unmanaged index of common stock prices that measures the performance of the 2000 smallest companies in the Russell 3000® Index. The figures for the index do not include any deduction for fees, expenses or taxes.
TheS&P 500® Index is the Standard & Poor’s composite index of 500 stocks, an unmanaged index of common stock prices. The figures for the index do not include any deduction for fees, expenses or taxes.
TheRussell Midcap® Index measures the performance of the 800 smallest companies in the Russell 1000® Index, which represents approximately 25% of the total market capitalization of the Russell 1000 Index.
TheRussell 1000® Index measures the performance of the 1,000 largest companies in the Russell 3000® Index, which represents approximately 92% of the total market capitalization of the Russell 3000 Index.
It is not possible to invest directly in an index.
4
FUND BASICS
Small Cap Equity Insights Fund
as of December 31, 2019
TOP TEN HOLDINGS AS OF 12/31/191
Holding | % of Net Assets | Line of Business | ||||
Darling Ingredients, Inc. | 0.9% | Food, Beverage & Tobacco | ||||
First Industrial Realty Trust, Inc. (REIT) | 0.9 | Real Estate | ||||
Rexford Industrial Realty, Inc. (REIT) | 0.8 | Real Estate | ||||
Simpson Manufacturing Co., Inc. | 0.8 | Capital Goods | ||||
American Equity Investment Life Holding Co. | 0.8 | Insurance | ||||
Cogent Communications Holdings, Inc. | 0.8 | Telecommunication Services | ||||
Terreno Realty Corp. (REIT) | 0.8 | Real Estate | ||||
Haemonetics Corp. | 0.7 | Health Care Equipment & Services | ||||
Perspecta, Inc. | 0.7 | Software & Services | ||||
International Bancshares Corp. | 0.7 | Banks |
1 | The top 10 holdings may not be representative of the Fund’s future investments. |
FUND VS. BENCHMARK SECTOR ALLOCATIONS2
As of December 31, 2019
2 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Investments in the securities lending reinvestment vehicle represented 0.1% of the Fund’s net assets at December 31, 2019. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Portfolio’s investment strategies, holdings, and performance.
5
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Performance Summary
December 31, 2019
The following graph shows the value, as of December 31, 2019, of a $10,000 investment made on January 1, 2010 in Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the Russell 2000® Index (with distributions reinvested), is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recentmonth-end returns.
Small Cap Equity Insights Fund’s 10 Year Performance
Performance of a $10,000 investment, with distributions reinvested, from January 1, 2010 through December 31, 2019.
Average Annual Total Return through December 31, 2019 | One Year | Five Years | Ten Years | |||||
Institutional | 24.84% | 8.94% | 12.64% | |||||
Service | 24.53% | 8.65% | 12.36% |
6
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Schedule of Investments
December 31, 2019
Shares | Description | Value | ||||||
Common Stocks – 98.8% | ||||||||
Automobiles & Components – 0.5% | ||||||||
21,424 | American Axle & Manufacturing Holdings, Inc.* | $ | 230,522 | |||||
1,638 | Cooper-Standard Holdings, Inc.* | 54,316 | ||||||
1,060 | Gentherm, Inc.* | 47,054 | ||||||
1,950 | Standard Motor Products, Inc. | 103,779 | ||||||
|
| |||||||
435,671 | ||||||||
|
| |||||||
Banks – 10.9% | ||||||||
10,149 | 1st Source Corp. | 526,530 | ||||||
410 | ACNB Corp. | 15,506 | ||||||
6,734 | Amalgamated Bank Class A | 130,976 | ||||||
13,865 | Atlantic Capital Bancshares, Inc.* | 254,423 | ||||||
8,919 | Bancorp, Inc. (The)* | 115,679 | ||||||
748 | BancorpSouth Bank | 23,495 | ||||||
637 | Banner Corp. | 36,048 | ||||||
12,962 | Boston Private Financial Holdings, Inc. | 155,933 | ||||||
7,243 | Cathay General Bancorp | 275,596 | ||||||
600 | CBTX, Inc. | 18,672 | ||||||
4,433 | CenterState Bank Corp. | 110,736 | ||||||
20,596 | Central Pacific Financial Corp. | 609,230 | ||||||
378 | Century Bancorp, Inc. Class A | 34,005 | ||||||
1,025 | Civista Bancshares, Inc. | 24,600 | ||||||
14,820 | Columbia Banking System, Inc. | 602,952 | ||||||
28,907 | CVB Financial Corp. | 623,813 | ||||||
650 | Enterprise Bancorp, Inc. | 22,016 | ||||||
13,920 | First Bancorp/NC | 555,547 | ||||||
20,418 | First Bancorp/PR | 216,227 | ||||||
33,634 | First Commonwealth Financial Corp. | 488,029 | ||||||
1,397 | First Financial Corp. | 63,871 | ||||||
17,684 | First Foundation, Inc. | 307,702 | ||||||
4,749 | First Internet Bancorp | 112,599 | ||||||
476 | First Mid Bancshares, Inc. | 16,779 | ||||||
11,536 | Heartland Financial USA, Inc. | 573,801 | ||||||
25,343 | Hilltop Holdings, Inc. | 631,801 | ||||||
2,398 | Hope Bancorp, Inc. | 35,634 | ||||||
973 | Horizon Bancorp, Inc. | 18,487 | ||||||
1,354 | IBERIABANK Corp. | 101,320 | ||||||
1,576 | Independent Bank Corp./MI | 35,696 | ||||||
3,470 | Independent Bank Group, Inc. | 192,377 | ||||||
16,087 | International Bancshares Corp. | 692,867 | ||||||
52,731 | Investors Bancorp, Inc. | 628,290 | ||||||
1,931 | Lakeland Bancorp, Inc. | 33,561 | ||||||
1,468 | Luther Burbank Corp. | 16,926 | ||||||
3,901 | Macatawa Bank Corp. | 43,418 | ||||||
1,372 | Meridian Bancorp, Inc. | 27,563 | ||||||
583 | Metropolitan Bank Holding Corp.* | 28,118 | ||||||
4,335 | National Bank Holdings Corp. Class A | 152,679 | ||||||
2,910 | NMI Holdings, Inc. Class A* | 96,554 | ||||||
645 | OFG Bancorp | 15,228 | ||||||
5,048 | Pacific Premier Bancorp, Inc. | 164,590 | ||||||
1,516 | Parke Bancorp, Inc. | 38,491 | ||||||
909 | PennyMac Financial Services, Inc. | 30,942 | ||||||
1,193 | Preferred Bank | 71,687 | ||||||
1,756 | Riverview Bancorp, Inc. | 14,417 | ||||||
12,785 | Seacoast Banking Corp. of Florida* | 390,837 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Banks – (continued) | ||||||||
3,977 | Sierra Bancorp | 115,810 | ||||||
6,535 | Southern National Bancorp of Virginia, Inc. | 106,847 | ||||||
800 | Territorial Bancorp, Inc. | 24,752 | ||||||
12,532 | TriCo Bancshares | 511,431 | ||||||
3,148 | Walker & Dunlop, Inc. | 203,613 | ||||||
497 | Westamerica Bancorp | 33,682 | ||||||
1,598 | WSFS Financial Corp. | 70,296 | ||||||
|
| |||||||
10,442,679 | ||||||||
|
| |||||||
Capital Goods – 9.1% | ||||||||
7,751 | Aegion Corp.* | 173,390 | ||||||
8,002 | Aerojet Rocketdyne Holdings, Inc.* | 365,371 | ||||||
7,746 | Albany International Corp. Class A | 588,076 | ||||||
1,004 | Applied Industrial Technologies, Inc. | 66,957 | ||||||
7,887 | Astronics Corp.* | 220,442 | ||||||
10,182 | Atkore International Group, Inc.* | 411,964 | ||||||
1,609 | Barnes Group, Inc. | 99,694 | ||||||
15,462 | BMC Stock Holdings, Inc.* | 443,605 | ||||||
23,360 | Builders FirstSource, Inc.* | 593,578 | ||||||
3,825 | Columbus McKinnon Corp. | 153,115 | ||||||
3,219 | CSW Industrials, Inc. | 247,863 | ||||||
898 | Ducommun, Inc.* | 45,376 | ||||||
1,586 | Encore Wire Corp. | 91,036 | ||||||
3,847 | EnPro Industries, Inc. | 257,287 | ||||||
712 | Federal Signal Corp. | 22,962 | ||||||
8,780 | Foundation Building Materials, Inc.* | 169,893 | ||||||
1,180 | Franklin Electric Co., Inc. | 67,638 | ||||||
10,324 | Gibraltar Industries, Inc.* | 520,743 | ||||||
10,101 | GMS, Inc.* | 273,535 | ||||||
15,681 | Great Lakes Dredge & Dock Corp.* | 177,666 | ||||||
6,330 | Griffon Corp. | 128,689 | ||||||
5,264 | H&E Equipment Services, Inc. | 175,975 | ||||||
614 | Hurco Cos., Inc. | 23,553 | ||||||
9,145 | JELD-WEN Holding, Inc.* | 214,084 | ||||||
5,279 | Kennametal, Inc. | 194,742 | ||||||
4,149 | Miller Industries, Inc. | 154,052 | ||||||
15,599 | MRC Global, Inc.* | 212,770 | ||||||
4,280 | Mueller Industries, Inc. | 135,890 | ||||||
7,715 | Navistar International Corp.* | 223,272 | ||||||
8,061 | NOW, Inc.* | 90,606 | ||||||
2,746 | Powell Industries, Inc. | 134,527 | ||||||
7,460 | Quanex Building Products Corp. | 127,417 | ||||||
322 | Raven Industries, Inc. | 11,096 | ||||||
4,552 | Rexnord Corp.* | 148,486 | ||||||
595 | Rush Enterprises, Inc. Class A | 27,667 | ||||||
9,504 | Simpson Manufacturing Co., Inc. | 762,506 | ||||||
8,650 | SPX Corp.* | 440,112 | ||||||
11,420 | TriMas Corp.* | 358,702 | ||||||
906 | Universal Forest Products, Inc. | 43,216 | ||||||
7,694 | Wabash National Corp. | 113,025 | ||||||
|
| |||||||
8,710,578 | ||||||||
|
| |||||||
Commercial & Professional Services – 3.9% | ||||||||
1,877 | Barrett Business Services, Inc. | 169,793 | ||||||
7,144 | Brady Corp. Class A | 409,066 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 7 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Schedule of Investments(continued)
December 31, 2019
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Commercial & Professional Services – (continued) | ||||||||
1,118 | Brink’s Co. (The) | $ | 101,380 | |||||
1,775 | CRA International, Inc. | 96,684 | ||||||
1,738 | Heidrick & Struggles International, Inc. | 56,485 | ||||||
12,929 | HNI Corp. | 484,320 | ||||||
4,202 | Insperity, Inc. | 361,540 | ||||||
3,160 | Interface, Inc. | 52,424 | ||||||
12,498 | Kforce, Inc. | 496,171 | ||||||
3,279 | Kimball International, Inc. Class B | 67,777 | ||||||
15,677 | Knoll, Inc. | 396,001 | ||||||
6,619 | McGrath RentCorp | 506,618 | ||||||
350 | Mobile Mini, Inc. | 13,269 | ||||||
3,671 | Resources Connection, Inc. | 59,947 | ||||||
4,550 | TriNet Group, Inc.* | 257,576 | ||||||
7,239 | TrueBlue, Inc.* | 174,170 | ||||||
274 | UniFirst Corp. | 55,343 | ||||||
|
| |||||||
3,758,564 | ||||||||
|
| |||||||
Consumer Durables & Apparel – 5.8% | ||||||||
15,325 | American Outdoor Brands Corp.* | 142,216 | ||||||
1,017 | Bassett Furniture Industries, Inc. | 16,964 | ||||||
14,795 | Crocs, Inc.* | 619,763 | ||||||
3,537 | Deckers Outdoor Corp.* | 597,258 | ||||||
4,944 | Installed Building Products, Inc.* | 340,493 | ||||||
832 | Johnson Outdoors, Inc. Class A | 63,814 | ||||||
13,870 | KB Home | 475,325 | ||||||
4,803 | M/I Homes, Inc.* | 188,998 | ||||||
434 | Malibu Boats, Inc. Class A* | 17,772 | ||||||
5,360 | MasterCraft Boat Holdings, Inc.* | 84,420 | ||||||
16,313 | Sonos, Inc.* | 254,809 | ||||||
12,869 | Steven Madden Ltd. | 553,496 | ||||||
5,325 | Taylor Morrison Home Corp. Class A* | 116,404 | ||||||
6,269 | TopBuild Corp.* | 646,208 | ||||||
36,279 | TRI Pointe Group, Inc.* | 565,227 | ||||||
1,759 | Universal Electronics, Inc.* | 91,925 | ||||||
19,770 | Vista Outdoor, Inc.* | 147,880 | ||||||
18,263 | Wolverine World Wide, Inc. | 616,194 | ||||||
|
| |||||||
5,539,166 | ||||||||
|
| |||||||
Consumer Services – 3.8% | ||||||||
4,416 | American Public Education, Inc.* | 120,954 | ||||||
1,725 | Boyd Gaming Corp. | 51,647 | ||||||
1,175 | Carriage Services, Inc. | 30,080 | ||||||
2,555 | Collectors Universe, Inc. | 58,893 | ||||||
24,513 | Denny’s Corp.* | 487,319 | ||||||
10,997 | Everi Holdings, Inc.* | 147,690 | ||||||
5,775 | K12, Inc.* | 117,521 | ||||||
30,979 | Laureate Education, Inc. Class A* | 545,540 | ||||||
3,059 | Marriott Vacations Worldwide Corp. | 393,877 | ||||||
3,708 | Penn National Gaming, Inc.* | 94,777 | ||||||
4,555 | PlayAGS, Inc.* | 55,252 | ||||||
24,172 | Red Rock Resorts, Inc. Class A | 578,919 | ||||||
7,368 | Scientific Games Corp. Class A* | 197,315 | ||||||
7,771 | Wingstop, Inc. | 670,093 | ||||||
2,673 | WW International, Inc.* | 102,135 | ||||||
|
| |||||||
3,652,012 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Diversified Financials – 1.9% | ||||||||
44,810 | Anworth Mortgage Asset Corp. (REIT) | 157,731 | ||||||
973 | Banco Latinoamericano de Comercio Exterior SA Class E | 20,803 | ||||||
3,737 | Cannae Holdings, Inc.* | 138,979 | ||||||
16,236 | Enova International, Inc.* | 390,638 | ||||||
49,654 | FGL Holdings | 528,815 | ||||||
1,410 | Moelis & Co. Class A | 45,007 | ||||||
353 | Nelnet, Inc. Class A | 20,559 | ||||||
13,657 | On Deck Capital, Inc.* | 56,540 | ||||||
9,147 | Oppenheimer Holdings, Inc. Class A | 251,360 | ||||||
1,477 | Piper Jaffray Cos. | 118,071 | ||||||
3,731 | Westwood Holdings Group, Inc. | 110,512 | ||||||
|
| |||||||
1,839,015 | ||||||||
|
| |||||||
Energy – 4.8% | ||||||||
2,359 | Ardmore Shipping Corp.* | 21,349 | ||||||
5,597 | Clean Energy Fuels Corp.* | 13,097 | ||||||
10,627 | CVR Energy, Inc. | 429,650 | ||||||
8,231 | Delek US Holdings, Inc. | 275,985 | ||||||
33,746 | Denbury Resources, Inc.* | 47,582 | ||||||
58,324 | DHT Holdings, Inc. | 482,923 | ||||||
1,330 | Dorian LPG Ltd.* | 20,588 | ||||||
13,414 | FTS International, Inc.* | 13,950 | ||||||
19,710 | GasLog Ltd. | 192,961 | ||||||
13,535 | Golar LNG Ltd. | 192,468 | ||||||
11,813 | International Seaways, Inc.* | 351,555 | ||||||
1,464 | Matador Resources Co.* | 26,308 | ||||||
15,525 | Matrix Service Co.* | 355,212 | ||||||
23,473 | Nabors Industries Ltd. | 67,602 | ||||||
14,222 | Oceaneering International, Inc.* | 212,050 | ||||||
17,482 | PDC Energy, Inc.* | 457,504 | ||||||
8,194 | Scorpio Tankers, Inc. | 322,352 | ||||||
11,481 | SEACOR Holdings, Inc.* | 495,405 | ||||||
13,990 | World Fuel Services Corp. | 607,446 | ||||||
|
| |||||||
4,585,987 | ||||||||
|
| |||||||
Food & Staples Retailing – 0.2% | ||||||||
3,088 | Ingles Markets, Inc. Class A | 146,711 | ||||||
3,685 | Village Super Market, Inc. Class A | 85,492 | ||||||
|
| |||||||
232,203 | ||||||||
|
| |||||||
Food, Beverage & Tobacco – 3.3% | ||||||||
401 | Boston Beer Co., Inc. (The) Class A* | 151,518 | ||||||
551 | Calavo Growers, Inc. | 49,915 | ||||||
1,806 | Coca-Cola Consolidated, Inc. | 512,994 | ||||||
30,391 | Darling Ingredients, Inc.* | 853,379 | ||||||
3,071 | J&J Snack Foods Corp. | 565,893 | ||||||
3,764 | John B Sanfilippo & Son, Inc. | 343,578 | ||||||
811 | Lancaster Colony Corp. | 129,841 | ||||||
2,453 | Sanderson Farms, Inc. | 432,268 | ||||||
1,063 | Universal Corp. | 60,655 | ||||||
|
| |||||||
3,100,041 | ||||||||
|
| |||||||
Health Care Equipment & Services – 6.1% | ||||||||
4,156 | AngioDynamics, Inc.* | 66,538 | ||||||
1,788 | Cardiovascular Systems, Inc.* | 86,879 | ||||||
|
|
8 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Health Care Equipment & Services – (continued) | ||||||||
17,275 | Community Health Systems, Inc.* | $ | 50,097 | |||||
2,228 | Computer Programs & Systems, Inc. | 58,819 | ||||||
4,715 | Ensign Group, Inc. (The) | 213,919 | ||||||
8,607 | GenMark Diagnostics, Inc.* | 41,400 | ||||||
6,220 | Haemonetics Corp.* | 714,678 | ||||||
10,074 | HMS Holdings Corp.* | 298,190 | ||||||
1,366 | Inogen, Inc.* | 93,339 | ||||||
6,720 | Integer Holdings Corp.* | 540,490 | ||||||
2,371 | Invacare Corp. | 21,386 | ||||||
1,530 | Lantheus Holdings, Inc.* | 31,380 | ||||||
331 | LHC Group, Inc.* | 45,599 | ||||||
6,398 | Magellan Health, Inc.* | 500,643 | ||||||
13,296 | Natus Medical, Inc.* | 438,635 | ||||||
5,070 | Novocure Ltd.* | 427,249 | ||||||
6,665 | NuVasive, Inc.* | 515,471 | ||||||
6,692 | Omnicell, Inc.* | 546,870 | ||||||
229 | Providence Service Corp. (The)* | 13,552 | ||||||
5,427 | Surmodics, Inc.* | 224,841 | ||||||
5,442 | Tandem Diabetes Care, Inc.* | 324,398 | ||||||
10,308 | Tenet Healthcare Corp.* | 392,013 | ||||||
9,326 | Triple-S Management Corp. Class B* | 172,438 | ||||||
1,144 | Varex Imaging Corp.* | 34,103 | ||||||
|
| |||||||
5,852,927 | ||||||||
|
| |||||||
Household & Personal Products – 0.2% | ||||||||
1,422 | elf Beauty, Inc.* | 22,937 | ||||||
2,348 | Inter Parfums, Inc. | 170,723 | ||||||
|
| |||||||
193,660 | ||||||||
|
| |||||||
Insurance – 3.2% | ||||||||
24,660 | American Equity Investment Life Holding Co. | 738,074 | ||||||
5,127 | AMERISAFE, Inc. | 338,536 | ||||||
9,639 | Argo Group International Holdings Ltd. | 633,764 | ||||||
533 | Employers Holdings, Inc. | 22,253 | ||||||
5,564 | FBL Financial Group, Inc. Class A | 327,886 | ||||||
68,934 | Genworth Financial, Inc. Class A* | 303,310 | ||||||
2,799 | Goosehead Insurance, Inc. Class A | 118,678 | ||||||
8,265 | MBIA, Inc.* | 76,864 | ||||||
103 | National Western Life Group, Inc. Class A | 29,961 | ||||||
12,266 | Stewart Information Services Corp. | 500,330 | ||||||
|
| |||||||
3,089,656 | ||||||||
|
| |||||||
Materials – 5.9% | ||||||||
14,481 | Boise Cascade Co. | 528,991 | ||||||
8,687 | Carpenter Technology Corp. | 432,439 | ||||||
3,376 | Chase Corp. | 399,988 | ||||||
45,994 | Ferro Corp.* | 682,091 | ||||||
6,747 | Haynes International, Inc. | 241,408 | ||||||
848 | Ingevity Corp.* | 74,098 | ||||||
4,570 | Innophos Holdings, Inc. | 146,149 | ||||||
2,227 | Innospec, Inc. | 230,361 | ||||||
2,573 | Kaiser Aluminum Corp. | 285,320 | ||||||
1,898 | Koppers Holdings, Inc.* | 72,542 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Materials – (continued) | ||||||||
3,925 | Kraton Corp.* | 99,381 | ||||||
6,653 | Materion Corp. | 395,521 | ||||||
10,186 | Minerals Technologies, Inc. | 587,019 | ||||||
8,767 | Myers Industries, Inc. | 146,234 | ||||||
833 | Neenah, Inc. | 58,668 | ||||||
10,446 | PH Glatfelter Co. | 191,162 | ||||||
17,286 | PolyOne Corp. | 635,952 | ||||||
2,739 | Summit Materials, Inc. Class A* | 65,462 | ||||||
5,177 | Trinseo SA | 192,636 | ||||||
2,914 | Worthington Industries, Inc. | 122,912 | ||||||
|
| |||||||
5,588,334 | ||||||||
|
| |||||||
Media & Entertainment – 1.1% | ||||||||
1,208 | Cardlytics, Inc.* | 75,935 | ||||||
38,038 | Cars.com, Inc.* | 464,824 | ||||||
6,389 | IMAX Corp.* | 130,527 | ||||||
1,590 | Liberty Latin America Ltd. Class A* | 30,687 | ||||||
360 | Loral Space & Communications, Inc.* | 11,635 | ||||||
12,249 | MSG Networks, Inc. Class A* | 213,133 | ||||||
5,072 | TechTarget, Inc.* | 132,379 | ||||||
2,873 | WideOpenWest, Inc.* | 21,318 | ||||||
|
| |||||||
1,080,438 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences – 9.9% | ||||||||
12,013 | ACADIA Pharmaceuticals, Inc.* | 513,916 | ||||||
1,497 | Acceleron Pharma, Inc.* | 79,371 | ||||||
6,645 | Amicus Therapeutics, Inc.* | 64,722 | ||||||
9,574 | Amphastar Pharmaceuticals, Inc.* | 184,682 | ||||||
6,183 | ANI Pharmaceuticals, Inc.* | 381,306 | ||||||
7,186 | Anika Therapeutics, Inc.* | 372,594 | ||||||
5,409 | Apellis Pharmaceuticals, Inc.* | 165,624 | ||||||
5,052 | Ardelyx, Inc.* | 37,915 | ||||||
2,633 | Arena Pharmaceuticals, Inc.* | 119,591 | ||||||
6,066 | Arrowhead Pharmaceuticals, Inc.* | 384,766 | ||||||
990 | Axsome Therapeutics, Inc.* | 102,326 | ||||||
22,712 | BioDelivery Sciences International, Inc.* | 143,540 | ||||||
4,350 | Biohaven Pharmaceutical Holding Co. Ltd.* | 236,814 | ||||||
881 | Blueprint Medicines Corp.* | 70,577 | ||||||
30,669 | Catalyst Pharmaceuticals, Inc.* | 115,009 | ||||||
1,773 | ChemoCentryx, Inc.* | 70,122 | ||||||
22,036 | Coherus Biosciences, Inc.* | 396,758 | ||||||
3,913 | Collegium Pharmaceutical, Inc.* | 80,530 | ||||||
2,951 | Corcept Therapeutics, Inc.* | 35,707 | ||||||
3,045 | Dicerna Pharmaceuticals, Inc.* | 67,081 | ||||||
5,589 | Editas Medicine, Inc.* | 165,490 | ||||||
6,217 | Enanta Pharmaceuticals, Inc.* | 384,086 | ||||||
16,096 | Endo International plc* | 75,490 | ||||||
1,305 | Epizyme, Inc.* | 32,103 | ||||||
2,721 | Esperion Therapeutics, Inc.* | 162,253 | ||||||
7,321 | FibroGen, Inc.* | 313,998 | ||||||
1,496 | Forty Seven, Inc.* | 58,898 | ||||||
5,795 | Global Blood Therapeutics, Inc.* | 460,645 | ||||||
3,460 | Heron Therapeutics, Inc.* | 81,310 | ||||||
7,612 | Immunomedics, Inc.* | 161,070 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Schedule of Investments(continued)
December 31, 2019
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences – (continued) | ||||||||
12,255 | Innoviva, Inc.* | $ | 173,531 | |||||
2,349 | Intercept Pharmaceuticals, Inc.* | 291,088 | ||||||
4,418 | Intersect ENT, Inc.* | 110,008 | ||||||
12,648 | Ironwood Pharmaceuticals, Inc.* | 168,345 | ||||||
2,598 | Karyopharm Therapeutics, Inc.* | 49,804 | ||||||
5,252 | Medpace Holdings, Inc.* | 441,483 | ||||||
2,324 | Mirati Therapeutics, Inc.* | 299,471 | ||||||
2,085 | Pacira BioSciences, Inc.* | 94,450 | ||||||
6,102 | Phibro Animal Health Corp. Class A | 151,513 | ||||||
5,028 | Portola Pharmaceuticals, Inc.* | 120,069 | ||||||
10,637 | Prestige Consumer Healthcare, Inc.* | 430,798 | ||||||
7,854 | Prothena Corp. plc* | 124,329 | ||||||
3,519 | PTC Therapeutics, Inc.* | 169,018 | ||||||
17,962 | Radius Health, Inc.* | 362,114 | ||||||
157 | Reata Pharmaceuticals, Inc. Class A* | 32,096 | ||||||
1,941 | Rhythm Pharmaceuticals, Inc.* | 44,565 | ||||||
11,128 | Supernus Pharmaceuticals, Inc.* | 263,956 | ||||||
6,400 | Veracyte, Inc.* | 178,688 | ||||||
8,554 | Voyager Therapeutics, Inc.* | 119,328 | ||||||
7,090 | Xencor, Inc.* | 243,825 | ||||||
1,321 | Y-mAbs Therapeutics, Inc.* | 41,281 | ||||||
|
| |||||||
9,428,054 | ||||||||
|
| |||||||
Real Estate – 7.2% | ||||||||
3,704 | American Assets Trust, Inc. (REIT) | 170,014 | ||||||
13,221 | Cedar Realty Trust, Inc. (REIT) | 39,002 | ||||||
410 | EastGroup Properties, Inc. (REIT) | 54,395 | ||||||
20,004 | First Industrial Realty Trust, Inc. (REIT) | 830,366 | ||||||
11,857 | Gladstone Commercial Corp. (REIT) | 259,194 | ||||||
11,183 | Independence Realty Trust, Inc. (REIT) | 157,457 | ||||||
5,368 | Investors Real Estate Trust (REIT) | 389,180 | ||||||
60,085 | Lexington Realty Trust (REIT) | 638,103 | ||||||
39,454 | Newmark Group, Inc. Class A | 530,854 | ||||||
9,799 | NexPoint Residential Trust, Inc. (REIT) | 440,955 | ||||||
19,434 | Piedmont Office Realty Trust, Inc. Class A (REIT) | 432,212 | ||||||
3,277 | PS Business Parks, Inc. (REIT) | 540,279 | ||||||
6,410 | Retail Value, Inc. (REIT) | 235,888 | ||||||
17,760 | Rexford Industrial Realty, Inc. (REIT) | 811,099 | ||||||
17,411 | RPT Realty (REIT) | 261,861 | ||||||
4,681 | Sabra Health Care REIT, Inc. (REIT) | 99,892 | ||||||
4,081 | STAG Industrial, Inc. (REIT) | 128,837 | ||||||
1,735 | Sunstone Hotel Investors, Inc. (REIT) | 24,151 | ||||||
13,436 | Terreno Realty Corp. (REIT) | 727,425 | ||||||
3,330 | Urban Edge Properties (REIT) | 63,869 | ||||||
|
| |||||||
6,835,033 | ||||||||
|
| |||||||
Retailing – 3.8% | ||||||||
3,165 | Abercrombie & Fitch Co. Class A | 54,723 | ||||||
1,345 | American Eagle Outfitters, Inc. | 19,772 | ||||||
826 | America’sCar-Mart, Inc.* | 90,579 | ||||||
5,703 | Asbury Automotive Group, Inc.* | 637,538 | ||||||
12,281 | Cato Corp. (The) Class A | 213,690 | ||||||
2,635 | Children’s Place, Inc. (The) | 164,740 | ||||||
10,103 | Citi Trends, Inc. | 233,581 | ||||||
536 | Dillard’s, Inc. Class A(a) | 39,385 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Retailing – (continued) | ||||||||
7,552 | Genesco, Inc.* | 361,892 | ||||||
1,641 | Group 1 Automotive, Inc. | 164,100 | ||||||
4,122 | Lands’ End, Inc.* | 69,250 | ||||||
3,418 | Murphy USA, Inc.* | 399,906 | ||||||
1,386 | Shutterstock, Inc.* | 59,432 | ||||||
1,123 | Signet Jewelers Ltd. | 24,414 | ||||||
6,651 | Sleep Number Corp.* | 327,495 | ||||||
16,538 | Sonic Automotive, Inc. Class A | 512,678 | ||||||
619 | Stamps.com, Inc.* | 51,699 | ||||||
855 | Stitch Fix, Inc. Class A*(a) | 21,939 | ||||||
5,853 | Tilly’s, Inc. Class A | 71,699 | ||||||
1,833 | Zumiez, Inc.* | 63,312 | ||||||
|
| |||||||
3,581,824 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 3.5% | ||||||||
3,939 | Ambarella, Inc.* | 238,546 | ||||||
26,052 | Amkor Technology, Inc.* | 338,676 | ||||||
3,686 | Cirrus Logic, Inc.* | 303,763 | ||||||
2,907 | Diodes, Inc.* | 163,868 | ||||||
1,457 | FormFactor, Inc.* | 37,838 | ||||||
1,534 | Ichor Holdings Ltd.* | 51,036 | ||||||
8,111 | Inphi Corp.* | 600,376 | ||||||
16,282 | Lattice Semiconductor Corp.* | 311,637 | ||||||
6,237 | MaxLinear, Inc. Class A* | 132,349 | ||||||
10,906 | NeoPhotonics Corp.* | 96,191 | ||||||
41,886 | Rambus, Inc.* | 576,980 | ||||||
2,352 | Synaptics, Inc.* | 154,691 | ||||||
3,876 | Ultra Clean Holdings, Inc.* | 90,970 | ||||||
3,418 | Veeco Instruments, Inc.* | 50,193 | ||||||
11,593 | Xperi Corp. | 214,471 | ||||||
|
| |||||||
3,361,585 | ||||||||
|
| |||||||
Software & Services – 3.9% | ||||||||
3,951 | A10 Networks, Inc.* | 27,143 | ||||||
1,822 | ACI Worldwide, Inc.* | 69,027 | ||||||
11,895 | Bottomline Technologies DE, Inc.* | 637,572 | ||||||
3,283 | Box, Inc. Class A* | 55,089 | ||||||
1,634 | Cardtronics plc Class A* | 72,958 | ||||||
5,619 | Cass Information Systems, Inc. | 324,441 | ||||||
3,958 | CommVault Systems, Inc.* | 176,685 | ||||||
7,924 | Conduent, Inc.* | 49,129 | ||||||
1,084 | CSG Systems International, Inc. | 56,130 | ||||||
5,401 | Digital Turbine, Inc.* | 38,509 | ||||||
2,738 | Five9, Inc.* | 179,558 | ||||||
503 | I3 Verticals, Inc. Class A* | 14,210 | ||||||
284 | MicroStrategy, Inc. Class A* | 40,507 | ||||||
1,649 | Model N, Inc.* | 57,830 | ||||||
2,487 | OneSpan, Inc.* | 42,577 | ||||||
26,651 | Perspecta, Inc. | 704,652 | ||||||
3,017 | Progress Software Corp. | 125,356 | ||||||
3,649 | Qualys, Inc.* | 304,217 | ||||||
7,780 | SPS Commerce, Inc.* | 431,168 | ||||||
1,486 | Sykes Enterprises, Inc.* | 54,967 | ||||||
4,645 | Telenav, Inc.* | 22,575 | ||||||
|
|
10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Software & Services – (continued) | ||||||||
2,350 | Unisys Corp.* | $ | 27,871 | |||||
4,510 | Verint Systems, Inc.* | 249,674 | ||||||
|
| |||||||
3,761,845 | ||||||||
|
| |||||||
Technology Hardware & Equipment – 5.6% | ||||||||
3,669 | AVX Corp. | 75,104 | ||||||
4,783 | Badger Meter, Inc. | 310,560 | ||||||
6,316 | Belden, Inc. | 347,380 | ||||||
16,943 | Benchmark Electronics, Inc. | 582,162 | ||||||
6,551 | Comtech Telecommunications Corp. | 232,495 | ||||||
4,250 | CTS Corp. | 127,543 | ||||||
3,871 | Diebold Nixdorf, Inc.* | 40,878 | ||||||
3,984 | Harmonic, Inc.* | 31,075 | ||||||
3,891 | Itron, Inc.* | 326,650 | ||||||
2,523 | Knowles Corp.* | 53,361 | ||||||
8,129 | Lumentum Holdings, Inc.* | 644,630 | ||||||
510 | Methode Electronics, Inc. | 20,069 | ||||||
3,174 | PC Connection, Inc. | 157,621 | ||||||
293 | Plexus Corp.* | 22,543 | ||||||
1,554 | Rogers Corp.* | 193,830 | ||||||
17,547 | Sanmina Corp.* | 600,809 | ||||||
2,585 | TTM Technologies, Inc.* | 38,904 | ||||||
42,004 | Viavi Solutions, Inc.* | 630,060 | ||||||
31,537 | Vishay Intertechnology, Inc. | 671,423 | ||||||
7,269 | Vishay Precision Group, Inc.* | 247,146 | ||||||
|
| |||||||
5,354,243 | ||||||||
|
| |||||||
Telecommunication Services – 1.2% | ||||||||
6,053 | Boingo Wireless, Inc.* | 66,280 | ||||||
11,152 | Cogent Communications Holdings, Inc. | 733,913 | ||||||
60,799 | ORBCOMM, Inc.* | 255,964 | ||||||
8,105 | Spok Holdings, Inc. | 99,124 | ||||||
|
| |||||||
1,155,281 | ||||||||
|
| |||||||
Transportation – 2.2% | ||||||||
3,123 | Allegiant Travel Co. | 543,527 | ||||||
11,050 | Atlas Air Worldwide Holdings, Inc.* | 304,648 | ||||||
7,740 | Costamare, Inc. | 73,762 | ||||||
13,555 | Echo Global Logistics, Inc.* | 280,589 | ||||||
13,267 | Marten Transport Ltd. | 285,108 | ||||||
3,903 | Matson, Inc. | 159,242 | ||||||
6,444 | SkyWest, Inc. | 416,476 | ||||||
|
| |||||||
2,063,352 | ||||||||
|
| |||||||
Utilities – 0.8% | ||||||||
4,023 | Ormat Technologies, Inc. | 299,794 | ||||||
7,533 | Unitil Corp. | 465,690 | ||||||
|
| |||||||
765,484 | ||||||||
|
| |||||||
| TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | | ||||||
(Cost $84,842,272) | $ | 94,407,632 | ||||||
|
| |||||||
Shares | Dividend Rate | Value | ||||||
Securities Lending Reinvestment Vehicle(b) – 0.1% | ||||||||
| Goldman Sachs Financial Square Government Fund — | | ||||||
58,750 | 1.638% | $ | 58,750 | |||||
(Cost $58,750) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 98.9% | ||||||||
(Cost $84,901,022) | $ | 94,466,382 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF | 1,067,270 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 95,533,652 | ||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. | |
(b) | Represents an Affiliated Issuer. |
Investment Abbreviation: | ||
REIT | —Real Estate Investment Trust |
The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Statement of Assets and Liabilities
December 31, 2019
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $84,842,272)(a) | $ | 94,407,632 | ||
Investments in affiliated securities lending reinvestment vehicle, at value (cost $58,750) | 58,750 | |||
Cash | 1,164,657 | |||
Receivables: | ||||
Dividends | 88,181 | |||
Fund shares sold | 27,003 | |||
Investments sold | 23,495 | |||
Reimbursement from investment adviser | 17,828 | |||
Securities lending income | 270 | |||
Total assets | 95,787,816 | |||
Liabilities: | ||||
Payables: | ||||
Payable upon return of securities loaned | 58,750 | |||
Management fees | 56,477 | |||
Fund shares redeemed | 25,586 | |||
Distribution and Service fees and Transfer Agency fees | 4,956 | |||
Accrued expenses | 108,395 | |||
Total liabilities | 254,164 | |||
Net Assets: | ||||
Paid-in capital | 84,847,753 | |||
Total distributable earnings (loss) | 10,685,899 | |||
NET ASSETS | $ | 95,533,652 | ||
Net Assets: | ||||
Institutional | $ | 79,791,318 | ||
Service | 15,742,334 | |||
Total Net Assets | $ | 95,533,652 | ||
Shares outstanding $0.001 par value (unlimited shares authorized): | ||||
Institutional | 6,323,424 | |||
Service | 1,258,237 | |||
Net asset value, offering and redemption price per share: | ||||
Institutional | $12.62 | |||
Service | 12.51 |
(a) Includes loaned securities having a market value of $57,268.
12 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Statement of Operations
For the Fiscal Year Ended December 31, 2019
Investment income: | ||||
Dividends — unaffiliated issuers | $ | 1,253,246 | ||
Securities lending income — affiliated issuer | 16,337 | |||
Dividends — affiliated issuers | 3,701 | |||
Total investment income | 1,273,284 | |||
Expenses: | ||||
Management fees | 649,394 | |||
Professional fees | 100,265 | |||
Custody, accounting and administrative services | 84,635 | |||
Printing and mailing costs | 51,181 | |||
Shareholder meeting expense | 43,767 | |||
Distribution and Service fees — Service Shares | 41,989 | |||
Transfer Agency fees(a) | 18,553 | |||
Trustee fees | 15,980 | |||
Registration fees | 555 | |||
Other | 12,948 | |||
Total expenses | 1,019,267 | |||
Less — expense reductions | (182,145 | ) | ||
Net expenses | 837,122 | |||
NET INVESTMENT INCOME | 436,162 | |||
Realized and unrealized gain: | ||||
Net realized gain from: | ||||
Investments — unaffiliated issuers | 2,819,651 | |||
Futures contracts | 121,690 | |||
Net change in unrealized gain on investments — unaffiliated issuers | 16,880,731 | |||
Net realized and unrealized gain | 19,822,072 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 20,258,234 |
(a) Institutional and Service Shares incurred Transfer Agency fees of $15,194 and $3,359, respectively.
The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Statements of Changes in Net Assets
For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||
From operations: | ||||||||
Net investment income | $ | 436,162 | $ | 408,340 | ||||
Net realized gain | 2,941,341 | 12,769,646 | ||||||
Net change in unrealized gain (loss) | 16,880,731 | (20,846,496 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 20,258,234 | (7,668,510 | ) | |||||
Distributions to shareholders: | ||||||||
From distributable earnings: | ||||||||
Institutional Shares | (1,999,868 | ) | (11,874,335 | ) | ||||
Service Shares | (360,700 | ) | (2,807,539 | ) | ||||
Total distributions to shareholders | (2,360,568 | ) | (14,681,874 | ) | ||||
From share transactions: | ||||||||
Proceeds from sales of shares | 10,139,106 | 12,578,607 | ||||||
Reinvestment of distributions | 2,360,567 | 14,681,874 | ||||||
Cost of shares redeemed | (20,351,399 | ) | (17,743,096 | ) | ||||
Net increase (decrease) in net assets resulting from share transactions | (7,851,726 | ) | 9,517,385 | |||||
TOTAL INCREASE (DECREASE) | 10,045,940 | (12,832,999 | ) | |||||
Net Assets: | ||||||||
Beginning of year | 85,487,712 | 98,320,711 | ||||||
End of year | $ | 95,533,652 | $ | 85,487,712 |
14 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
Goldman Sachs Small Cap Equity Insights Fund | ||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of year | $ | 10.37 | $ | 13.66 | $ | 13.79 | $ | 11.60 | $ | 13.67 | ||||||||||
Net investment income(a) | 0.06 | 0.07 | (b) | 0.08 | 0.11 | 0.08 | (c) | |||||||||||||
Net realized and unrealized gain (loss) | 2.51 | (1.21 | ) | 1.53 | 2.59 | (0.37 | ) | |||||||||||||
Total from investment operations | 2.57 | (1.14 | ) | 1.61 | 2.70 | (0.29 | ) | |||||||||||||
Distributions to shareholders from net investment income | (0.06 | ) | (0.07 | ) | (0.08 | ) | (0.15 | ) | (0.04 | ) | ||||||||||
Distributions to shareholders from net realized gains | (0.26 | ) | (2.08 | ) | (1.66 | ) | (0.36 | ) | (1.74 | ) | ||||||||||
Total distributions | (0.32 | ) | (2.15 | ) | (1.74 | ) | (0.51 | ) | (1.78 | ) | ||||||||||
Net asset value, end of year | $ | 12.62 | $ | 10.37 | $ | 13.66 | $ | 13.79 | $ | 11.60 | ||||||||||
Total return(d) | 24.84 | % | (8.62 | )% | 11.57 | % | 23.13 | % | (2.13 | )% | ||||||||||
Net assets, end of year (in 000s) | $ | 79,791 | $ | 68,951 | $ | 77,815 | $ | 77,421 | $ | 73,270 | ||||||||||
Ratio of net expenses to average net assets | 0.86 | % | 0.81 | % | 0.81 | % | 0.81 | % | 0.81 | % | ||||||||||
Ratio of total expenses to average net assets | 1.05 | % | 0.98 | % | 1.00 | % | 1.04 | % | 0.99 | % | ||||||||||
Ratio of net investment income to average net assets | 0.51 | % | 0.46 | %(b) | 0.53 | % | 0.95 | % | 0.59 | %(c) | ||||||||||
Portfolio turnover rate(e) | 125 | % | 116 | % | 110 | % | 119 | % | 124 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.17% of average net assets. |
(c) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.15% of average net assets. |
(d) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
(e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 15 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
Goldman Sachs Small Cap Equity Insights Fund | ||||||||||||||||||||
Service Shares | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of year | $ | 10.28 | $ | 13.55 | $ | 13.70 | $ | 11.52 | $ | 13.60 | ||||||||||
Net investment income(a) | 0.03 | 0.03 | (b) | 0.04 | 0.08 | 0.05 | (c) | |||||||||||||
Net realized and unrealized gain (loss) | 2.49 | (1.19 | ) | 1.51 | 2.58 | (0.39 | ) | |||||||||||||
Total from investment operations | 2.52 | (1.16 | ) | 1.55 | 2.66 | (0.34 | ) | |||||||||||||
Distributions to shareholders from net investment income | (0.03 | ) | (0.03 | ) | (0.04 | ) | (0.12 | ) | — | (d) | ||||||||||
Distributions to shareholders from net realized gains | (0.26 | ) | (2.08 | ) | (1.66 | ) | (0.36 | ) | (1.74 | ) | ||||||||||
Total distributions | (0.29 | ) | (2.11 | ) | (1.70 | ) | (0.48 | ) | (1.74 | ) | ||||||||||
Net asset value, end of year | $ | 12.51 | $ | 10.28 | $ | 13.55 | $ | 13.70 | $ | 11.52 | ||||||||||
Total return(e) | 24.53 | % | (8.82 | )% | 11.22 | % | 22.92 | % | (2.49 | )% | ||||||||||
Net assets, end of year (in 000s) | $ | 15,742 | $ | 16,537 | $ | 20,505 | $ | 20,437 | $ | 19,488 | ||||||||||
Ratio of net expenses to average net assets | 1.10 | % | 1.06 | % | 1.06 | % | 1.06 | % | 1.06 | % | ||||||||||
Ratio of total expenses to average net assets | 1.30 | % | 1.23 | % | 1.25 | % | 1.29 | % | 1.24 | % | ||||||||||
Ratio of net investment income to average net assets | 0.27 | % | 0.19 | %(b) | 0.28 | % | 0.70 | % | 0.34 | %(c) | ||||||||||
Portfolio turnover rate(f) | 125 | % | 116 | % | 110 | % | 119 | % | 124 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.17% of average net assets. |
(c) | Reflects income recognized from special dividends which amounted to $0.02 per share and 0.15% of average net assets. |
(d) | Amount is less than $0.005 per share. |
(e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
(f) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
16 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Notes to Financial Statements
December 31, 2019
1. ORGANIZATION
Goldman Sachs Variable Insurance Trust (the “Trust” or “VIT”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as anopen-end management investment company. The Trust includes the Goldman Sachs Small Cap Equity Insights Fund (the “Fund”). The Fund is a diversified portfolio under the Act offering two classes of shares — Institutional and Service Shares. Shares of the Trust are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (“Goldman Sachs”), serves as investment adviser to the Fund pursuant to a management agreement (the “Agreement”) with the Trust.
2. SIGNIFICANT ACCOUNTING POLICIES
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. The Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.
A. Investment Valuation — The Fund’s valuation policy is to value investments at fair value.
B. Investment Income and Investments — Investment income includes interest income, dividend income, and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized onex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to theex-dividend date.Non-cash dividends, if any, are recorded at the fair market value of the securities received. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Investment income is recorded net of any foreign withholding taxes, less any amounts reclaimable. The Fund may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Fund’s investments in United States (“U.S.”) real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain and/or a return of capital. A return of capital is recorded by the Fund as a reduction to the cost basis of the REIT.
For derivative contracts, realized gains and losses are recorded upon settlement of the contract.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, andnon-class specific expenses of the Fund are allocated daily based upon the proportion of net assets of each class.Non-class specific expenses directly incurred by the Fund are charged to the Fund, while such expenses incurred by the Trust are allocated across the Fund on a straight-line and/orpro-rata basis depending upon the nature of the expenses. Class-specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service and Transfer Agency fees.
D. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on theex-dividend date. Income and capital gains distributions, if any, are declared and paid at least annually.
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the Fund’s distributions may be shown in the accompanying financial statements as either from distributable earnings or capital. Certain components of the Fund’s net assets on the Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
17
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Notes to Financial Statements(continued)
December 31, 2019
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS
U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Fund’s policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Fund, including investments for which market quotations are not readily available. The Trustees have delegated to GSAMday-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Fund’s investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a U.S. securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities may be valued at the closing bid price for long positions and at the closing ask price for short positions. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price for long positions or the last ask price for short positions, and are generally classified as Level 2.
Money Market Funds — Investments in the Goldman Sachs Financial Square Government Fund (“Underlying Fund”) are valued at the NAV per share of the Institutional Share class on the day of valuation. These investments are generally classified as Level 1 of the fair value hierarchy. For information regarding the Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. The Fund enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers. For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral received, if any, is reported separately on the Statement of Assets and Liabilities as receivables/payables for collateral on certain derivatives contracts.Non-cash collateral pledged by the Fund, if any, is noted in the Schedule of Investments.
Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence oftwo-way trading, at the
18
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy.Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security. Upon entering into a futures contract, the Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by the Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Fund’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Fund’s NAV. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.
C. Fair Value Hierarchy — The following is a summary of the Fund’s investments classified in the fair value hierarchy as of December 31, 2019:
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Europe | $ | 734,753 | $ | — | $ | — | ||||||
North America | 93,642,192 | — | — | |||||||||
South America | 30,687 | — | — | |||||||||
Securities Lending Reinvestment Vehicle | 58,750 | — | — | |||||||||
Total | $ | 94,466,382 | $ | — | $ | — |
(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. |
For further information regarding security characteristics, see the Schedule of Investments.
4. INVESTMENTS IN DERIVATIVES
The following table sets forth, by certain risk types, the Fund’s gains (losses) related to these derivatives and their indicative volumes for the fiscal year ended December 31, 2019. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and
19
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Notes to Financial Statements(continued)
December 31, 2019
4. INVESTMENTS IN DERIVATIVES (continued)
accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statement of Operations:
Risk | Statement of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||||
Equity | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | $ | 121,690 | $ | — | 6 |
(a) | Average number of contracts is based on the average of month end balances for the fiscal year ended December 31, 2019. |
5. AGREEMENTS AND AFFILIATED TRANSACTIONS
A. Management Agreement — Under the Agreement, GSAM manages the Fund, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Fund’s business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
For the fiscal year ended December 31, 2019, contractual and effective net management fees with GSAM were at the following rates:
Contractual Management Rate | Effective Net | |||||||||||||||||||||
First $2 billion | Next $3 billion | Next $3 billion | Over $8 billion | Effective Rate | ||||||||||||||||||
0.70% | 0.63 | % | 0.60 | % | 0.59 | % | 0.70 | % | 0.70 | % |
^ | Effective Net Management Rate includes the impact of management fee waivers of affiliated Underlying Funds, if any. |
The Fund invests in Institutional Shares of the Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Fund in an amount equal to the management fee it earns as an investment adviser to the affiliated Underlying Fund in which the Fund invests, except those management fees it earns from the Fund’s investments of cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund. For the fiscal year ended December 31, 2019, GSAM waived $311 of the Fund’s management fee.
B. Distribution and Service(12b-1) Plan — The Trust, on behalf of Service Shares of the Fund, has adopted a Distribution and Service Plan subject to Rule12b-1 under the Act. Under the Distribution and Service Plan, Goldman Sachs, which serves as distributor, is entitled to a fee accrued daily and paid monthly, for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers, equal to, on an annual basis, 0.25% of the Fund’s average daily net assets attributable to Service Shares.
C. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Fund for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at an annual rate of 0.02% of the average daily net assets of Institutional and Service Shares.
D. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or limit certain “Other Expenses” of the Fund (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets
20
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
of the Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Fund is not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitation as an annual percentage rate of average daily net assets for the Fund is 0.094%. The Other Expense limitation will remain in place through at least April 30, 2020, and prior to such date GSAM may not terminate the arrangement without the approval of the Trustees. In addition, the Fund has entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Fund’s expenses and are received irrespective of the application of the “Other Expense” limitation described above.
For the fiscal year ended December 31, 2019, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
Management Fee Waiver | Custody Fee Credits | Other Expense Reimbursement | Total Expense Reductions | |||||||||||
$311 | $ | 3,519 | $ | 178,315 | $ | 182,145 |
E. Line of Credit Facility — As of December 31, 2019, the Fund participated in a $580,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the fiscal year ended December 31, 2019, the Fund did not have any borrowings under the facility. Prior to April 30, 2019 the facility was $770,000,000.
F. Other Transactions with Affiliates — For the fiscal year ended December 31, 2019, Goldman Sachs earned $259 in brokerage commissions from portfolio transactions.
The following table provides information about the Fund’s investments in the Goldman Sachs Financial Square Government Fund as of and for the fiscal year ended December 31, 2019:
Beginning Value as of December 31, 2018 | Purchases at Cost | Proceeds from Sales | Ending Value as of December 31, 2019 | Shares as of December 31, 2019 | Dividend Income from Affiliated Investment Company | |||||||||||||||||
$— | $ | 7,120,234 | $ | (7,120,234 | ) | $ | — | — | $ | 3,701 |
6. PORTFOLIO SECURITIES TRANSACTIONS
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended December 31, 2019, were $113,867,883 and $123,456,602, respectively.
7. SECURITIES LENDING
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and the terms and conditions contained therein, the Fund may lend its securities through a securities lending agent, Goldman Sachs Agency Lending (“GSAL”), a wholly-owned subsidiary of Goldman Sachs, to certain qualified borrowers including Goldman Sachs and affiliates. In accordance with the Fund’s securities lending procedures, the Fund receives cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities is determined at the close of business of the Fund, at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Fund on the next business day. As with other extensions of credit, the Fund may experience delay in the recovery of its securities or incur a loss should the borrower of the securities breach its agreement with the Fund or become insolvent at a time when the collateral is
21
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Notes to Financial Statements(continued)
December 31, 2019
7. SECURITIES LENDING (continued)
insufficient to cover the cost of repurchasing securities on loan. Dividend income received from securities on loan may not be subject to withholding taxes and therefore withholding taxes paid may differ from the amounts listed in the Statement of Operations. Loans of securities are terminable at any time and as such 1) the remaining contractual maturities of the outstanding securities lending transactions are considered to be overnight and continuous and 2) the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
The Fund invests the cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund (“Government Money Market Fund”), an affiliated series of the Goldman Sachs Trust. The Government Money Market Fund is registered under the Act as an open end investment company, is subject to Rule2a-7 under the Act, and is managed by GSAM, for which GSAM may receive a management fee of up to 0.16% on an annualized basis of the average daily net assets of the Government Money Market Fund.
In the event of a default by a borrower with respect to any loan, GSAL will exercise any and all remedies provided under the applicable borrower agreement to make the Fund whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If GSAL is unable to purchase replacement securities, GSAL will indemnify the Fund by paying the Fund an amount equal to the market value of the securities loaned minus the value of cash collateral received from the borrower for the loan, subject to an exclusion for any shortfalls resulting from a loss of value in such cash collateral due to reinvestment risk. The Fund’s master netting agreements with certain borrowers provide the right, in the event of a default (including bankruptcy or insolvency), for thenon-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. However, in the event of a default by a borrower, a resolution authority could determine that such rights are not enforceable due to the restrictions or prohibitions against the right ofset-off that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws. The Fund’s loaned securities were all subject to enforceable Securities Lending Agreements and the value of the collateral was at least equal to the value of the cash received. The amounts of the Fund’s overnight and continuous agreements, which represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of December 31, 2019, are disclosed as “Payable upon return of securities loaned” on the Statement of Assets and Liabilities, where applicable.
Both the Fund and GSAL received compensation relating to the lending of the Fund’s securities. The amounts earned, if any, by the Fund for the fiscal year ended December 31, 2019, are reported under Investment Income on the Statement of Operations.
The table below details securities lending activity with affiliates of Goldman Sachs:
For the Fiscal Year Ended December 31, 2019 | ||||
Earnings of GSAL Relating to Securities Loaned | Amount Received by the Fund Goldman Sachs | Amount Payable to Goldman Sachs Upon Return of Securities Loaned as of December 31, 2019 | ||
$1,811 | $699 | $— |
The following table provides information about the Fund’s investment in the Government Money Market Fund for the fiscal year ended December 31, 2019:
Beginning Value as of December 31, 2018 | Purchases at Cost | Proceeds from Sales | Ending Value as of December 31, 2019 | |||||||||
$993,085 | $ | 10,384,588 | $(11,318,923) | $ | 58,750 |
22
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
8. TAX INFORMATION (continued)
The tax character of distributions paid during the fiscal years ended December 31, 2018 and December 31, 2019 was as follows:
2018 | 2019 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 6,368,697 | $ | 425,753 | ||||
Net long-term capital gains | 8,313,177 | 1,934,815 | ||||||
Total taxable distributions | $ | 14,681,874 | $ | 2,360,568 |
As of December 31, 2019, the components of accumulated earnings (losses) on atax-basis were as follows:
Undistributed ordinary income — net | $ | 49,807 | ||
Undistributed long-term capital gains | 1,199,722 | |||
Total undistributed earnings | $ | 1,249,529 | ||
Timing differences (Real Estate Trust Investments) | $ | 18,349 | ||
Unrealized gains — net | 9,418,021 | |||
Total accumulated earnings — net | $ | 10,685,899 |
As of December 31, 2019, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Tax cost | $ | 85,048,361 | ||
Gross unrealized gain | 13,243,913 | |||
Gross unrealized loss | (3,825,892 | ) | ||
Net unrealized gain | $ | 9,418,021 |
The difference between GAAP-basis andtax-basis unrealized gains (losses) is attributable primarily to wash sales.
GSAM has reviewed the Fund’s tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
9. OTHER RISKS
The Fund’s risks include, but are not limited to, the following:
Derivatives Risk — The Fund’s use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Fund. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
23
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Notes to Financial Statements(continued)
December 31, 2019
9. OTHER RISKS (continued)
Investments in Other Investment Companies Risk — As a shareholder of another investment company, the Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund.
Large Shareholder Transactions Risk — The Fund may experience adverse effects when certain large shareholders, such as other funds, participating insurance companies, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of the Fund. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may cause the Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact the Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in the Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect the Fund’s performance to the extent that the Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.
Liquidity Risk — The Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that the Fund will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, the Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If the Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Fund’s NAV and dilute remaining investors’ interests. Redemptions by large shareholders may have a negative impact on the Fund’s liquidity.
Market and Credit Risks — In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
10. INDEMNIFICATIONS
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
11. OTHER MATTERS
On November 5, 2019, a definitive proxy statement (“proxy”) was filed with the SEC to elect certain Trustees to the Trust. The Fund will bear its respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse the Fund to the extent such expenses exceed a specified percentage of the Fund’s net assets.
12. SUBSEQUENT EVENTS
Subsequent events after the Statement of Assets and Liabilities date other than above have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
24
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
13. SUMMARY OF SHARE TRANSACTIONS (continued)
Share activity is as follows:
For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 757,715 | $ | 9,168,973 | 746,343 | $ | 10,751,346 | ||||||||||
Reinvestment of distributions | 159,352 | 1,999,867 | 1,125,530 | 11,874,335 | ||||||||||||
Shares redeemed | (1,241,504 | ) | (14,923,018 | ) | (921,549 | ) | (13,354,939 | ) | ||||||||
(324,437 | ) | (3,754,178 | ) | 950,324 | 9,270,742 | |||||||||||
Service Shares | ||||||||||||||||
Shares sold | 82,662 | 970,133 | 128,444 | 1,827,261 | ||||||||||||
Reinvestment of distributions | 28,972 | 360,700 | 268,407 | 2,807,539 | ||||||||||||
Shares redeemed | (461,347 | ) | (5,428,381 | ) | (301,678 | ) | (4,388,157 | ) | ||||||||
(349,713 | ) | (4,097,548 | ) | 95,173 | 246,643 | |||||||||||
NET INCREASE (DECREASE) | (674,150 | ) | $ | (7,851,726) | 1,045,497 | $ | 9,517,385 |
25
Report of Independent Registered Public Accounting Firm
Tothe Board of Trustees of Goldman Sachs Variable Insurance Trust and Shareholders of Goldman Sachs Small Cap Equity Insights Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Goldman Sachs Small Cap Equity Insights Fund (one of the funds constituting Goldman Sachs Variable Insurance Trust, referred to hereafter as the “Fund”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statements of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes,and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 14, 2020
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
26
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Voting Results of Special Meeting of Shareholders (Unaudited)
A Special Meeting (the “Meeting”) of the Goldman Sachs Variable Insurance Trust (“VIT”) was held on January 23, 2020 to consider and act upon the proposal below. The Fund will amortize its respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse the Fund to the extent such expenses exceed a specified percentage of the Fund’s net assets.
At the Meeting, Dwight L. Bush, Kathryn A. Cassidy, Joaquin Delgado and Gregory G. Weaver were elected to the Trust’s Board of Trustees. In electing trustees, the Trust’s shareholders voted as follows:
Proposal 1.
Election of Trustees | For | Against | Withheld | Broker Non-Votes | ||||||||||||
Dwight L. Bush | 745,493,677.130 | 0 | 17,848,840.639 | 0 | ||||||||||||
Kathryn A. Cassidy | 746,559,784.810 | 0 | 16,782,732.959 | 0 | ||||||||||||
Joaquin Delgado | 744,593,456.532 | 0 | 18,749,061.237 | 0 | ||||||||||||
Gregory G. Weaver | 746,707,039.321 | 0 | 16,635,478.448 | 0 |
27
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Fund Expenses — Six Month Period Ended December 31, 2019 (Unaudited) |
As a shareholder of Institutional or Service Shares of the Fund, you incur ongoing costs, including management fees, distribution and/or service(12b-1) fees (with respect to Service Shares) and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Institutional Shares and Service Shares of the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2019 through December 31, 2019, which represents a period of 184 days of a 365 day year.
Actual Expenses— The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes— The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Fund you do not incur any transaction costs, such as sales charges, redemption fees, or exchange fees, but shareholders of other funds may incur such costs. The second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds whose shareholders may incur transaction costs.
Share Class | Beginning Account Value 07/01/19 | Ending Account Value 12/31/19 | Expenses Paid for the | |||||||||
Institutional | ||||||||||||
Actual | $ | 1,000 | $ | 1,073.50 | $ | 4.55 | ||||||
Hypothetical 5% return | 1,000 | 1,020.82 | + | 4.43 | ||||||||
Service | ||||||||||||
Actual | 1,000 | 1,072.20 | 5.80 | |||||||||
Hypothetical 5% return | 1,000 | 1,019.61 | + | 5.65 |
+ | Hypothetical expenses are based on the Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
* | Expenses are calculated using the Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended December 31, 2019. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 0.87% and 1.11% for Institutional and Service Shares, respectively. |
28
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Trustees and Officers (Unaudited)
Independent Trustees
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||||
Jessica Palmer Age: 70 | Chair of the Board of Trustees | Since 2018 (Trustee since 2007) | Ms. Palmer is retired. She was formerly Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009).
Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Kathryn A. Cassidy Age: 65 | Trustee | Since 2015 | Ms. Cassidy is retired. Formerly, she was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Diana M. Daniels Age: 70 | Trustee | Since 2007 | Ms. Daniels is retired. Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is a Trustee Emeritus and serves as a Presidential Councillor of Cornell University (2013-Present); former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Roy W. Templin Age: 59 | Trustee | Since 2013 | Mr. Templin is retired. He is Director, Armstrong World Industries, Inc. (a designer and manufacturer of ceiling, wall and suspension system solutions) (2016-Present); and was formerly Chairman of the Board of Directors, Con-Way Incorporated (a transportation, logistics and supply chain management service company) (2014-2015); Executive Vice President and Chief Financial Officer, Whirlpool Corporation (an appliance manufacturer and marketer) (2004-2012). Previously, Mr. Templin served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (June 2013-October 2013).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Armstrong World Industries, Inc. (a ceiling, wall and suspension systems solutions manufacturer) | |||||||
Gregory G. Weaver Age: 68 | Trustee | Since 2015 | Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Verizon Communications Inc. | |||||||
29
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Trustees and Officers (Unaudited) (continued)
Interested Trustee*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||||
James A. McNamara Age: 57 | President and Trustee | Since 2007 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | 165 | None | |||||||
Advisory Board Members
Name, Address, Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Advisory Board Member3 | Other Directorships Held by Advisory Board Member4 | |||||||
Dwight L. Bush Age: 62 | Advisory Board Member | Since 2019 | Ambassador Bush is President and CEO of D.L. Bush & Associates (a financial advisory and private investment firm) (2002-2014 and 2017-present); and was formerly U.S. Ambassador to the Kingdom of Morocco (2014-2017) and a Member of the Board of Directors of Santander Bank, N.A. (2018-2019).
Advisory Board Member — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Joaquin Delgado Age: 59 | Advisory Board Member | Since 2019 | Dr. Delgado is retired. He is Director, Hexion Inc. (a specialty chemical manufacturer) (2019-present); and Director, Stepan Company (a specialty chemical manufacturer) (2011-present); and was formerly Executive Vice President, Consumer Business Group of 3M Company (July 2016-July 2019); and Executive Vice President, Health Care Business Group of 3M Company (October 2012-July 2016).
Advisory Board Member — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Stepan Company (a specialty chemical manufacturer) | |||||||
* | Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. Mr. McNamara holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
1 | Each Trustee and Advisory Board Member may be contacted by writing to the Trustee or Advisory Board Member, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of December 31, 2019. |
2 | Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that (a) no Trustee shall hold office for more than 15 years and (b) a Trustee shall retire as of December 31st of the calendar year in which he or she reaches his or her 74th birthday, unless a waiver of such requirements shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. |
3 | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of December 31, 2019, Goldman Sachs Trust consisted of 89 portfolios; Goldman Sachs Variable Insurance Trust consisted of 13 portfolios; Goldman Sachs Trust II consisted of 19 portfolios (17 of which offered shares to the public); Goldman Sachs MLP Income Opportunities Fund, Goldman Sachs MLP and Energy Renaissance Fund, Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio; and Goldman Sachs ETF Trust consisted of 40 portfolios (21 of which offered shares to the public). |
4 | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Fund’s Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384. Additional information about the Advisory Board Members will be available in the Fund’s Statement of Additional Information dated April 30, 2020, which will be available from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
30
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | |||
James A. McNamara 200 West Street New York, NY 10282 Age: 57 | Trustee and President | Since 2007 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 42 | Secretary | Since 2012 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Associate General Counsel, Goldman Sachs (2012-Present); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006).
Secretary — Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Private Middle Market Credit II LLC; Goldman Sachs Middle Market Lending Corp.; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 51 | Treasurer, Principal Financial Officer and Principal Accounting Officer | Since 2017 (Treasurer and Principal Financial Officer since 2019) | Managing Director, Goldman Sachs (November 2015-Present) and Vice President — Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010-October 2015). Treasurer, Principal Financial Officer and Principal Accounting Officer — Goldman Sachs Trust (previously Assistant Treasurer (2016)); Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs MLP Income Opportunities Fund (previously Assistant Treasurer (2017)); Goldman Sachs MLP and Energy Renaissance Fund (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
* | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Fund’s Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
1 | Information is provided as of December 31, 2019. |
2 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
Goldman Sachs Variable Insurance Trust — Tax Information (Unaudited)
For the year ended December 31, 2019, 91.47% of the dividends paid from net investment company taxable income by the Small Cap Equity Insights Fund qualify for the dividends received deduction available to corporations.
Pursuant to Section 852 of the Internal Revenue Code, the Small Cap Equity Insights Fund designates $1,934,815 or, if different, the maximum amount allowable, as capital gain dividends paid during the fiscal year ended December 31, 2019.
31
TRUSTEES | OFFICERS | |
Jessica Palmer,Chair Dwight L. Bush* Kathryn A. Cassidy Diana M. Daniels Joaquin Delgado* James A. McNamara Roy W. Templin Gregory G. Weaver | James A. McNamara,President Joseph F. DiMaria,Principal Financial Officer, Principal Accounting Officer and Treasurer Caroline L. Kraus,Secretary | |
*Effective as of January 23, 2020 |
GOLDMAN SACHS & CO. LLC
Distributor and Transfer Agent
GOLDMAN SACHS ASSET MANAGEMENT, L.P.
Investment Adviser
200 West Street, New York
New York 10282
Visit our web site at www.GSAMFUNDS.com to obtain the most recentmonth-end returns.
The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Fund. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted proxies relating to portfolio securities for the12-month period ended December 31 is available (i) without charge, upon request by calling1-800-621-2550; and (ii) on the Securities and Exchange Commission (“SEC”) web site athttp://www.sec.gov.
The Fund will file its portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be made available on the SEC’s web site at http://www.sec.gov. Portfolio holdings information may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).
Views and opinions expressed are for informational purposes only and do not constitute a recommendation by GSAM to buy, sell, or hold any security. Views and opinions are current as of the date of this presentation and may be subject to change, they should not be construed as investment advice.
Goldman Sachs & Co. LLC (“Goldman Sachs”) does not provide legal, tax or accounting advice. Any statement contained in this communication (including any attachments) concerning U.S. tax matters was not intended or written to be used, and cannot be used, for the purpose of avoiding penalties under the Internal Revenue Code, and was written to support the promotion or marketing of transaction or matter addressed. Clients of Goldman Sachs should obtain their own independent tax advice based on their particular circumstances.
The website links provided are for your convenience only and are not an endorsement or recommendation by GSAM of any of these websites or the products or services offered. GSAM is not responsible for the accuracy and validity of the content of these websites.
Fund holdings and allocations shown are as of December 31, 2019 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
References to indices, benchmarks or other measures of relative market performance over a specified period of time are provided for your information only and do not imply that the portfolio will achieve similar results. The index composition may not reflect the manner in which a portfolio is constructed. While an adviser seeks to design a portfolio which reflects appropriate risk and return features, portfolio characteristics may deviate from those of the benchmark.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (“MSCI”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
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© 2020 Goldman Sachs. All rights reserved.
VITSCAR-20/192787-OTU-1134411
Goldman
SachsVariable Insurance Trust
Goldman Sachs
Strategic Growth Fund
Beginning on or after January 1, 2021, you may not receive paper copies of the Fund’s annual and semi-annual shareholder reports from the insurance company that offers your variable insurance contract or your financial intermediary, unless you specifically request paper copies of the reports from the insurance company or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. At any time, you may elect to receive reports and certain communications from the insurance company electronically by contacting your insurance company or your financial intermediary.
You may elect to receive all future shareholder reports in paper free of charge. You can inform the insurance company or your financial intermediary that you wish to receive paper copies of reports. Your election to receive reports in paper will apply to all Goldman Sachs Funds available under your contract and may apply to all funds held with your financial intermediary.
Annual Report
December 31, 2019
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
INVESTMENT OBJECTIVE
The Fund seeks long-term growth of capital.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Fundamental Equity U.S. Equity Portfolio Management Team discusses the Goldman Sachs Variable Insurance Trust — Goldman Sachs Strategic Growth Fund’s (the “Fund”) performance and positioning for the12-month period ended December 31, 2019 (the “Reporting Period”).
How did the Fund perform during the Reporting Period?
During the Reporting Period, the Fund’s Institutional and Service Shares generated average annual total returns of 35.53% and 35.32%, respectively. These returns compare to the 36.39% average annual total return of the Fund’s benchmark, the Russell 1000® Growth Index (with dividends reinvested) (the “Russell Index”), during the same time period.
What economic and market factors most influenced the equity markets as a whole during the Reporting Period?
Representing the U.S. equity market, the S&P 500® Index returned 31.49% during the Reporting Period, achieving a record high and its strongest annual gain since 2013.
The U.S. equity market rallied at the start of the Reporting Period, almost completely recovering from asell-off at the end of 2018. After four gradual interest rate hikes in 2018, the U.S. Federal Reserve (“Fed”) cut interest rates three times in 2019 in an effort to keep the U.S. economic expansion intact amid trade uncertainties. The trade war between the U.S. and China pressured macroeconomic indicators throughout the first half of the calendar year but did little to suppress a resilient consumer, which ultimately outweighed manufacturing weakness. By the fourth quarter of 2019, U.S. stock returns accelerated with an uptick of U.S. manufacturing and service sector business surveys as well as a consistently strong labor market. The U.S. added more than 200,000 jobs in November 2019, double the break-even pace of long-term job growth. These developments helped restore market confidence, while fundamentals of low core inflation, contained financial imbalance and reduced drag of a trade war fended off imminent recession risk.
For the Reporting Period overall, all 10 sectors of the Russell Index posted positive absolute returns, with nine of the 10 generating double-digit gains. Information technology, financials and communication services were the best performing sectors in the Russell Index, as measured by total return, while the weakest performing sectors in the Russell Index during the Reporting Period were energy, health care and industrials.
Within the U.S. equity market, all capitalization segments posted double-digit positive returns, led bylarge-cap stocks, as measured by the Russell 1000® Index, followed closely bymid-cap stocks, as measured by the Russell Midcap® Index, and then bysmall-cap stocks, as measured by the Russell 2000® Index. From a style perspective, growth-oriented stocks significantly outpaced value-oriented stocks across the capitalization spectrum. (All as measured by the FTSE Russell indices.)
What key factors were responsible for the Fund’s performance during the Reporting Period?
The Fund generated robust double-digit absolute gains but modestly underperformed the Russell Index on a relative basis during the Reporting Period. Stock selection overall contributed positively to the Fund’s relative results. Sector allocation as a whole detracted.
Which equity market sectors most significantly affected Fund performance?
Detracting most from the Fund’s relative results during the Reporting Period was weak stock selection within the industrials and financials sectors. Having an overweight position in energy, which posted positive returns but was the weakest sector in the Russell Index during the Reporting Period, also hurt results. Having a position in cash, albeit modest, during the Reporting Period when the Russell Index rallied further dampened the Fund’s relative results. On the other hand, contributing most positively to the Fund’s relative results during the Reporting Period was effective stock selection in the health care, consumer discretionary and real estate sectors.
Which stocks detracted significantly from the Fund’s performance during the Reporting Period?
Detracting from the Fund’s results relative to the Russell Index were positions in information technology giant Apple, specialty materials and chemicals company Dupont de Nemours and online social rideshare platform Lyft.
1
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
The Fund’s underweight position in Apple detracted most from relative results, as its stock appreciated significantly during the Reporting Period. In early November 2019, a strong earnings report featuring growth in iPhone sales, wearables and services as well as stabilizing sales in China caused its stock to rise. Overall, at the end of the Reporting Period, we continued to monitor Apple and its latest developments for 2020.
Dupont de Nemours’ stock trailed the broader U.S. equity market and the materials sector as a whole, with fears around U.S.-China trade tensions causing one of the headwinds. In the first week of April 2019, the company had spun off from its parent company and initiated aone-for-three reverse stock split. (A reverse stock split is a type of corporate action which consolidates the number of existing shares of stock into fewer, proportionally more valuable, shares.) Despite its early struggles as a stand-alone company, we believe its management is keen to deliver value for its shareholders. At the end of the Reporting Period, we also felt the company’s transportation and advanced polymers segment was well positioned to capture a significant opportunity from global growth in hybrid and electric vehicles.
Shares of Lyft, a new position for the Fund during the Reporting Period, fell following its disappointing first quarter 2019 earnings release revealing greater than market expected losses. This trend continued for the rest of the Reporting Period, which was its first year as a public company. At the end of the Reporting Period, we believed Lyft may benefit from strategic partnerships and margin expansion as the ridesharing industry is showing, in our view, competitive rationality.
What were some of the Fund’s best-performing individual stocks?
Among those stocks the Fund benefited most from relative to the Russell Index were an underweight position in research-based biopharmaceutical company AbbVie and overweight positions in integrated circuit designer, developer and seller NXP Semiconductors and gene therapy firm Sarepta Therapeutics.
In late January 2019, AbbVie’s stock fell sharply after the company reported its fourth quarter 2018 results, in which several negative headlines provoked asell-off. First, AbbVie missed revenue and earnings consensus estimates. Second, Humira, an immunology drug that constitutes the majority of the company’s revenues, saw biosimilar competition in Europe significantly erode its international revenues. Finally, AbbVie announced relatively weak 2019 guidance, highlighting concerns that Humira may face heightened pressures in the U.S. ahead of its patent expiration in 2023. Toward the middle of the Reporting Period, the company also announced it would be acquiring pharmaceutical company Allergan, which caused AbbVie’s stock to drop, as investors digested the news and its potential implications. At the end of the Reporting Period, we remained cautious, as we maintained an underweight position in AbbVie and planned to monitor potential headwinds and developments going forward.
Following a challenging end of 2018 with trade war concerns, NXP Semiconductors’ stock increased rather steadily through the first half of 2019 along with the broader semiconductor industry. Its stock price also increased in late October 2019 and early November when the company beat consensus expectations for earnings per share andtop-line revenues by a wide margin. At the end of the Reporting Period, we continued to view NXP Semiconductors positively given its relatively steady free cash flows and what we see as its potential moving forward for margin expansion and fifth-generation, or 5G, growth acceleration.
Sarepta Therapeutics, a new purchase for the Fund during the Reporting Period, saw its shares rally inmid-December 2019 after it was announced the U.S. Food and Drug Administration approved the company’s muscular dystrophy drug. At the end of the Reporting Period, we were confident in Sarepta Therapeutics’ ability to commercialize this opportunity going forward.
How did the Fund use derivatives and similar instruments during the Reporting Period?
During the Reporting Period, we did not use derivatives as part of an active management strategy.
Did the Fund make any significant purchases or sales during the Reporting Period?
In addition to those already-mentioned purchases initiated during the Reporting Period, we established a Fund position in Paypal Holdings. The company engages in the creation of digital payment platforms. We believe the company is well positioned in a highly fragmented and highly competitive digital payments industry due to the partnerships it has signed, the acceleration of the monetization of Venmo, which Paypal Holdings owns, and the enhancement of its core business from recent merger and acquisition activity.
We established a Fund position in Accenture during the Reporting Period. We feel that in recent years Accenture has repositioned itself as a leading information technology implementation company in digital and new age technologies, including cloud,software-as-a-service (“SaaS”), analytics and security. In our opinion, the company’s existing client relationships and strong consulting practice have facilitated its early involvement in deals, a key competitive advantage versus its peers. Further, in our view, balanced capital allocation to thoughtful acquisitions and capital returns have enabled the company to invest in growth initiatives.
2
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Conversely, we eliminated the Fund’s position in media streaming platform Netflix. We felt the landscape was becoming increasingly competitive for Netflix, and we were less positive on its risk/reward profile. We therefore decided to exit the position and allocate the capital elsewhere.
We sold the Fund’s position in Zoetis, an animal health medicine and vaccine company, during the Reporting Period. We exited the position to allocate capital to what we viewed as more attractive opportunities.
Were there any notable changes in the Fund’s weightings during the Reporting Period?
In constructing the Fund’s portfolio, we focus on picking stocks rather than on making industry or sector bets. We seek to outpace the benchmark index by overweighting stocks that we expect to outperform and underweighting those that we think may lag. Consequently, changes in its sector weights are generally the direct result of individual stock selection or of stock appreciation or depreciation. That said, during the Reporting Period, the Fund’s exposure to health care and materials increased compared to the Russell Index. The Fund’s allocations compared to the Russell Index in information technology and consumer discretionary decreased.
How was the Fund positioned relative to its benchmark index at the end of the Reporting Period?
At the end of December 2019, the Fund had overweighted positions relative to the Russell Index in the health care and materials sectors. On the same date, the Fund had underweighted positions compared to the Russell Index in information technology and consumer discretionary and was rather neutrally weighted to the Russell Index in communication services, consumer staples, real estate, energy, financials and industrials. The Fund had no exposure to the utilities sector at the end of the Reporting Period.
Were there any changes to the Fund’s portfolio management team during the Reporting Period?
There were no changes to the Fund’s portfolio management team during the Reporting Period.
What is the Fund’s tactical view and strategy for the months ahead?
The U.S. equity markets delivered robust performance in 2019. Economic growth remained near-trend, with a healthy consumer, both in balance sheet and confidence, continuing to support the U.S. economy. At the end of the Reporting Period, we remained constructive on U.S. equities and believed there could be further gains, buoyed by low interest rates and steady cash flow generation. Despite intervals of volatility, we believed fundamentals remained stable and did not indicate a downturn in global economic growth or corporate earnings. Within this more volatile backdrop, we believed a thorough understanding of both market and company-specific variables may well be crucial to navigating the environment. With that said, we continue to focus on what we consider to be high quality companies with strong market positions and experienced management teams.
Indeed, regardless of market direction, we remain committed to our core philosophy and process. We intend to maintain a long-term time horizon, rather than forecast the next quarter. As always, we maintain our focus on seeking companies that we believe will generate long-term growth in today’s ever-changing market conditions.
3
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Index Definitions
The Russell 1000® Growth Index is an unmanaged market capitalization weighted index of the 1000 largest U.S. companies with higher price-to-book ratios and higher forecasted growth values. The figures for the index do not include any deduction for fees, expenses or taxes.
The Russell 2000® Index is an unmanaged index of common stock prices that measures the performance of the 2000 smallest companies in the Russell 3000® Index. The figures for the index do not include any deduction for fees, expenses or taxes.
The S&P 500® Index is the Standard & Poor’s composite index of 500 stocks, an unmanaged index of common stock prices. The figures for the index do not include any deduction for fees, expenses or taxes.
The Russell Midcap® Index measures the performance of the 800 smallest companies in the Russell 1000® Index, which represent approximately 25% of the total market capitalization of the Russell 1000® Index.
The Russell 1000® Index measures the performance of the 1,000 largest companies in the Russell 3000® Index, which represent approximately 92% of the total market capitalization of the Russell 3000® Index.
It is not possible to invest directly in an index.
4
FUND BASICS
Strategic Growth Fund
as of December 31, 2019
TOP TEN HOLDINGS AS OF 12/31/191
Holding | % of Net Assets | Line of Business | ||||
Apple, Inc. | 7.3% | Technology Hardware & Equipment | ||||
Microsoft Corp. | 6.9 | Software & Services | ||||
Facebook, Inc. Class A | 4.2 | Media & Entertainment | ||||
Alphabet, Inc. Class A | 4.1 | Media & Entertainment | ||||
Amazon.com, Inc. | 3.9 | Retailing | ||||
Visa, Inc. Class A | 3.0 | Software & Services | ||||
Mastercard, Inc. Class A | 2.8 | Software & Services | ||||
Alphabet, Inc. Class C | 2.5 | Media & Entertainment | ||||
NVIDIA Corp. | 2.1 | Semiconductors & Semiconductor Equipment | ||||
Adobe, Inc. | 2.0 | Software & Services |
1 | The top 10 holdings may not be representative of the Fund’s future investments. |
FUND vs. BENCHMARK SECTOR ALLOCATIONS2
As of December 31, 2019
2 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Underlying sector allocations of exchange traded funds and investment companies held by the Fund are not reflected in the graph above. Investments in the securities lending reinvestment vehicle represented 0.4% of the Fund’s net assets at December 31, 2019. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
5
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Performance Summary
December 31, 2019
The following graph shows the value, as of December 31, 2019, of a $10,000 investment made on January 1, 2010 in Service Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the Russell 1000® Growth Index (with distributions reinvested), is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
Strategic Growth Fund’s 10 Year Performance
Performance of a $10,000 investment, with distributions reinvested, from January 1, 2010 through December 31, 2019.
Average Annual Total Return through December 31, 2019 | One Year | Five Years | Ten Years | |||
Institutional | 35.53% | 13.06% | 13.64% | |||
Service | 35.32% | 12.79% | 13.37% |
6
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Schedule of Investments
December 31, 2019
Shares | Description | Value | ||||||
Common Stocks – 99.7% | ||||||||
Automobiles & Components – 0.6% | ||||||||
24,218 | Aptiv plc | $ | 2,299,983 | |||||
|
| |||||||
Banks – 0.5% | ||||||||
16,079 | First Republic Bank | 1,888,479 | ||||||
|
| |||||||
Capital Goods – 4.8% | ||||||||
12,909 | Boeing Co. (The) | 4,205,236 | ||||||
16,767 | Deere & Co. | 2,905,050 | ||||||
27,344 | Honeywell International, Inc. | 4,839,888 | ||||||
13,138 | Northrop Grumman Corp. | 4,519,078 | ||||||
7,234 | Stanley Black & Decker, Inc. | 1,198,963 | ||||||
|
| |||||||
17,668,215 | ||||||||
|
| |||||||
Commercial & Professional Services – 0.7% | ||||||||
17,817 | Verisk Analytics, Inc. | 2,660,791 | ||||||
|
| |||||||
Consumer Durables & Apparel – 3.1% | ||||||||
70,526 | NIKE, Inc. Class B | 7,144,989 | ||||||
39,815 | PVH Corp. | 4,186,547 | ||||||
|
| |||||||
11,331,536 | ||||||||
|
| |||||||
Consumer Services – 2.1% | ||||||||
31,672 | Dunkin’ Brands Group, Inc. | 2,392,503 | ||||||
26,715 | McDonald’s Corp. | 5,279,151 | ||||||
|
| |||||||
7,671,654 | ||||||||
|
| |||||||
Diversified Financials – 1.7% | ||||||||
18,152 | Cboe Global Markets, Inc. | 2,178,240 | ||||||
29,673 | Intercontinental Exchange, Inc. | 2,746,236 | ||||||
13,660 | Northern Trust Corp. | 1,451,239 | ||||||
|
| |||||||
6,375,715 | ||||||||
|
| |||||||
Energy – 0.8% | ||||||||
51,826 | Cheniere Energy, Inc.* | 3,165,014 | ||||||
|
| |||||||
Food & Staples Retailing – 1.0% | ||||||||
30,670 | Walmart, Inc. | 3,644,823 | ||||||
|
| |||||||
Food, Beverage & Tobacco – 3.6% | ||||||||
96,891 | Coca-Cola Co. (The) | 5,362,917 | ||||||
12,563 | McCormick & Co., Inc.(Non-Voting) | 2,132,318 | ||||||
27,097 | Mondelez International, Inc. Class A | 1,492,502 | ||||||
69,938 | Monster Beverage Corp.* | 4,444,560 | ||||||
|
| |||||||
13,432,297 | ||||||||
|
| |||||||
Health Care Equipment & Services – 8.1% | ||||||||
10,121 | ABIOMED, Inc.* | 1,726,541 | ||||||
144,158 | Boston Scientific Corp.* | 6,518,825 | ||||||
20,984 | Danaher Corp. | 3,220,624 | ||||||
9,108 | Edwards Lifesciences Corp.* | 2,124,805 | ||||||
9,142 | Envista Holdings Corp.* | 270,969 | ||||||
11,318 | Guardant Health, Inc.* | 884,389 | ||||||
16,370 | Humana, Inc. | 5,999,932 | ||||||
7,692 | Intuitive Surgical, Inc.* | 4,547,126 | ||||||
8,906 | UnitedHealth Group, Inc. | 2,618,186 | ||||||
14,263 | West Pharmaceutical Services, Inc. | 2,144,157 | ||||||
|
| |||||||
30,055,554 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Household & Personal Products – 0.3% | ||||||||
15,790 | Colgate-Palmolive Co. | 1,086,984 | ||||||
|
| |||||||
Insurance – 0.3% | ||||||||
878 | Markel Corp.* | 1,003,703 | ||||||
|
| |||||||
Materials – 3.4% | ||||||||
18,397 | Corteva, Inc. | 543,815 | ||||||
24,123 | DuPont de Nemours, Inc. | 1,548,697 | ||||||
17,236 | Ecolab, Inc. | 3,326,376 | ||||||
14,391 | Linde plc | 3,063,844 | ||||||
6,552 | Martin Marietta Materials, Inc. | 1,832,201 | ||||||
4,208 | Sherwin-Williams Co. (The) | 2,455,536 | ||||||
|
| |||||||
12,770,469 | ||||||||
|
| |||||||
Media & Entertainment – 12.6% | ||||||||
11,472 | Alphabet, Inc. Class A* | 15,365,482 | ||||||
7,026 | Alphabet, Inc. Class C* | 9,393,903 | ||||||
63,460 | Comcast Corp. Class A | 2,853,796 | ||||||
33,371 | Electronic Arts, Inc.* | 3,587,716 | ||||||
75,042 | Facebook, Inc. Class A* | 15,402,370 | ||||||
|
| |||||||
46,603,267 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences – 9.2% | ||||||||
77,719 | AbbVie, Inc. | 6,881,240 | ||||||
25,969 | Adaptive Biotechnologies Corp.*(a) | 776,993 | ||||||
34,836 | Agios Pharmaceuticals, Inc.* | 1,663,419 | ||||||
13,919 | Alexion Pharmaceuticals, Inc.* | 1,505,340 | ||||||
80,577 | AstraZeneca plc ADR | 4,017,569 | ||||||
25,264 | BioMarin Pharmaceutical, Inc.* | 2,136,071 | ||||||
96,038 | Elanco Animal Health, Inc.* | 2,828,319 | ||||||
37,315 | Eli Lilly & Co. | 4,904,310 | ||||||
15,235 | Illumina, Inc.* | 5,054,059 | ||||||
17,818 | Incyte Corp.* | 1,555,868 | ||||||
21,268 | Sarepta Therapeutics, Inc.* | 2,744,423 | ||||||
|
| |||||||
34,067,611 | ||||||||
|
| |||||||
Real Estate Investment Trusts – 1.9% | ||||||||
18,375 | American Tower Corp. | 4,222,943 | ||||||
5,143 | Equinix, Inc. | 3,001,969 | ||||||
|
| |||||||
7,224,912 | ||||||||
|
| |||||||
Retailing – 5.7% | ||||||||
7,842 | Amazon.com, Inc.* | 14,490,761 | ||||||
35,028 | Ross Stores, Inc. | 4,077,960 | ||||||
9,804 | Ulta Beauty, Inc.* | 2,481,785 | ||||||
|
| |||||||
21,050,506 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 4.4% | ||||||||
15,715 | Analog Devices, Inc. | 1,867,571 | ||||||
78,206 | Marvell Technology Group Ltd. | 2,077,151 | ||||||
32,355 | NVIDIA Corp. | 7,613,132 | ||||||
31,436 | NXP Semiconductors NV | 4,000,545 | ||||||
5,463 | Texas Instruments, Inc. | 700,848 | ||||||
|
| |||||||
16,259,247 | ||||||||
|
| |||||||
Software & Services – 23.3% | ||||||||
24,425 | Accenture plc Class A | 5,143,172 | ||||||
22,724 | Adobe, Inc.* | 7,494,603 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 7 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Schedule of Investments(continued)
December 31, 2019
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Software & Services – (continued) | ||||||||
11,451 | Atlassian Corp. plc Class A* | $ | 1,378,013 | |||||
33,552 | Fidelity National Information Services, Inc. | 4,666,748 | ||||||
15,088 | Intuit, Inc. | 3,952,000 | ||||||
34,251 | Mastercard, Inc. Class A | 10,227,006 | ||||||
162,494 | Microsoft Corp. | 25,625,304 | ||||||
51,482 | PayPal Holdings, Inc.* | 5,568,808 | ||||||
29,858 | salesforce.com, Inc.* | 4,856,105 | ||||||
7,430 | ServiceNow, Inc.* | 2,097,638 | ||||||
65,686 | Slack Technologies, Inc. Class A*(a) | 1,476,621 | ||||||
60,066 | Visa, Inc. Class A | 11,286,401 | ||||||
17,064 | Workday, Inc. Class A* | 2,806,175 | ||||||
|
| |||||||
86,578,594 | ||||||||
|
| |||||||
Technology Hardware & Equipment – 8.5% | ||||||||
40,924 | Amphenol Corp. Class A | 4,429,205 | ||||||
91,859 | Apple, Inc. | 26,974,394 | ||||||
|
| |||||||
31,403,599 | ||||||||
|
| |||||||
Transportation – 3.1% | ||||||||
52,157 | CSX Corp. | 3,774,080 | ||||||
21,965 | Lyft, Inc. Class A* | 944,934 | ||||||
37,145 | Union Pacific Corp. | 6,715,445 | ||||||
|
| |||||||
11,434,459 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $215,445,269) | $ | 369,677,412 | ||||||
|
| |||||||
Shares | Dividend Rate | Value | ||||||
Investment Company(b) – 0.4% | ||||||||
| Goldman Sachs Financial Square Government Fund — | | ||||||
1,563,204 | 1.638% | $ | 1,563,204 | |||||
(Cost $1,563,204) | ||||||||
|
| |||||||
| TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | | ||||||
(Cost $217,008,473) | $ | 371,240,616 | ||||||
|
| |||||||
Securities Lending Reinvestment Vehicle(b) – 0.4% | ||||||||
| Goldman Sachs Financial Square Government Fund — | | ||||||
1,651,105 | 1.638% | $ | 1,651,105 | |||||
(Cost $1,651,105) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 100.5% | ||||||||
(Cost $218,659,578) | $ | 372,891,721 | ||||||
|
| |||||||
| LIABILITIES IN EXCESS OF | (1,831,047 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% | $ | 371,060,674 | ||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | All or a portion of security is on loan. | |
(b) | Represents an Affiliated Issuer. |
Investment Abbreviation: | ||
ADR | —American Depositary Receipt |
8 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Statement of Assets and Liabilities
December 31, 2019
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $215,445,269)(a) | $ | 369,677,412 | ||
Investments in affiliated issuers, at value (cost $1,563,204) | 1,563,204 | |||
Investments in affiliated securities lending reinvestment vehicle, at value (cost $1,651,105) | 1,651,105 | |||
Cash | 216,853 | |||
Receivables: | ||||
Dividends | 137,697 | |||
Reimbursement from investment adviser | 20,678 | |||
Fund shares sold | 13,961 | |||
Other assets | 371 | |||
Total assets | 373,281,281 | |||
Liabilities: | ||||
Payables: | ||||
Payable upon return of securities loaned | 1,651,105 | |||
Management fees | 220,829 | |||
Fund shares redeemed | 93,909 | |||
Distribution and Service fees and Transfer Agency fees | 56,946 | |||
Accrued expenses | 197,818 | |||
Total liabilities | 2,220,607 | |||
Net Assets: | ||||
Paid-in capital | 216,351,335 | |||
Total distributable earnings (loss) | 154,709,339 | |||
NET ASSETS | $ | 371,060,674 | ||
Net Assets: | ||||
Institutional | $ | 129,685,782 | ||
Service | 241,374,892 | |||
Total Net Assets | $ | 371,060,674 | ||
Shares outstanding $0.001 par value (unlimited shares authorized): | ||||
Institutional | 10,894,712 | |||
Service | 20,267,508 | |||
Net asset value, offering and redemption price per share: | ||||
Institutional | $11.90 | |||
Service | 11.91 |
(a) Includes loaned securities having a market value of $1,612,465.
The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Statement of Operations
For the Fiscal Year Ended December 31, 2019
Investment income: | ||||
Dividends — unaffiliated issuers (net of foreign taxes withheld of $5,967) | $ | 3,431,500 | ||
Dividends — affiliated issuers | 85,800 | |||
Securities lending income — unaffiliated issuer | 76,765 | |||
Total investment income | 3,594,065 | |||
Expenses: | ||||
Management fees | 2,407,661 | |||
Distribution and Service fees — Service Shares | 552,180 | |||
Professional fees | 97,614 | |||
Custody, accounting and administrative services | 96,111 | |||
Shareholder meeting expense | 94,314 | |||
Printing and mailing costs | 91,703 | |||
Transfer Agency fees(a) | 67,816 | |||
Trustee fees | 16,348 | |||
Registration fees | 542 | |||
Other | 17,057 | |||
Total expenses | 3,441,346 | |||
Less — expense reductions | (283,263 | ) | ||
Net expenses | 3,158,083 | |||
NET INVESTMENT INCOME | 435,982 | |||
Realized and unrealized gain: | ||||
Net realized gain from investments — unaffiliated issuers (including commissions recaptured of $347) | 18,838,812 | |||
Net change in unrealized gain on investments — unaffiliated issuers | 74,794,292 | |||
Net realized and unrealized gain | 93,633,104 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 94,069,086 |
(a) | Institutional and Service Shares incurred Transfer Agency fees of $23,645 and $44,171, respectively. |
10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Statements of Changes in Net Assets
For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||
From operations: | ||||||||
Net investment income | $ | 435,982 | $ | 471,254 | ||||
Net realized gain | 18,838,812 | 130,943,811 | ||||||
Net change in unrealized gain (loss) | 74,794,292 | (119,739,252 | ) | |||||
Net increase in net assets resulting from operations | 94,069,086 | 11,675,813 | ||||||
Distributions to shareholders: | ||||||||
From distributable earnings: | ||||||||
Institutional Shares | (13,128,250 | ) | (51,500,129 | ) | ||||
Service Shares | (24,038,886 | ) | (70,247,289 | ) | ||||
Total distributions to shareholders | (37,167,136 | ) | (121,747,418 | ) | ||||
From share transactions: | ||||||||
Proceeds from sales of shares | 99,931,813 | 30,210,299 | ||||||
Reinvestment of distributions | 37,167,136 | 121,747,418 | ||||||
Cost of shares redeemed | (64,553,057 | ) | (341,645,863 | ) | ||||
Net increase (decrease) in net assets resulting from share transactions | 72,545,892 | (189,688,146 | ) | |||||
TOTAL INCREASE (DECREASE) | 129,447,842 | (299,759,751 | ) | |||||
Net Assets: | ||||||||
Beginning of year | 241,612,832 | 541,372,583 | ||||||
End of year | $ | 371,060,674 | $ | 241,612,832 |
The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
Goldman Sachs Strategic Growth Fund | ||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of year | $ | 9.78 | $ | 19.73 | $ | 15.83 | $ | 15.62 | $ | 16.16 | ||||||||||
Net investment income(a) | 0.03 | 0.06 | 0.09 | 0.07 | 0.09 | (b) | ||||||||||||||
Net realized and unrealized gain (loss) | 3.43 | (0.18 | ) | 4.77 | 0.24 | 0.46 | ||||||||||||||
Total from investment operations | 3.46 | (0.12 | ) | 4.86 | 0.31 | 0.55 | ||||||||||||||
Distributions to shareholders from net investment income | (0.04 | ) | (0.10 | ) | (0.10 | ) | (0.10 | ) | (0.06 | ) | ||||||||||
Distributions to shareholders from net realized gains | (1.30 | ) | (9.73 | ) | (0.86 | ) | — | (c) | (1.03 | ) | ||||||||||
Total distributions | (1.34 | ) | (9.83 | ) | (0.96 | ) | (0.10 | ) | (1.09 | ) | ||||||||||
Net asset value, end of year | $ | 11.90 | $ | 9.78 | $ | 19.73 | $ | 15.83 | $ | 15.62 | ||||||||||
Total return(d) | 35.53 | % | (1.04 | )% | 30.66 | % | 1.98 | % | 3.40 | % | ||||||||||
Net assets, end of year (in 000s) | $ | 129,686 | $ | 102,199 | $ | 115,693 | $ | 98,090 | $ | 109,801 | ||||||||||
Ratio of net expenses to average net assets | 0.77 | % | 0.74 | % | 0.76 | % | 0.79 | % | 0.79 | % | ||||||||||
Ratio of total expenses to average net assets | 0.85 | % | 0.82 | % | 0.82 | % | 0.84 | % | 0.83 | % | ||||||||||
Ratio of net investment income to average net assets | 0.29 | % | 0.30 | % | 0.48 | % | 0.48 | % | 0.55 | %(b) | ||||||||||
Portfolio turnover rate(e) | 44 | % | 41 | % | 37 | % | 72 | % | 56 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.20% of average net assets. |
(c) | Amount is less than $0.005 per share. |
(d) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
(e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
12 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Year
Goldman Sachs Strategic Growth Fund | ||||||||||||||||||||
Service Shares | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of year | $ | 9.78 | $ | 19.68 | $ | 15.79 | $ | 15.59 | $ | 16.13 | ||||||||||
Net investment income(a) | 0.01 | 0.01 | 0.04 | 0.03 | 0.05 | (b) | ||||||||||||||
Net realized and unrealized gain (loss) | 3.43 | (0.18 | ) | 4.76 | 0.23 | 0.46 | ||||||||||||||
Total from investment operations | 3.44 | (0.17 | ) | 4.80 | 0.26 | 0.51 | ||||||||||||||
Distributions to shareholders from net investment income | (0.01 | ) | — | (0.05 | ) | (0.06 | ) | (0.02 | ) | |||||||||||
Distributions to shareholders from net realized gains | (1.30 | ) | (9.73 | ) | (0.86 | ) | — | (c) | (1.03 | ) | ||||||||||
Total distributions | (1.31 | ) | (9.73 | ) | (0.91 | ) | (0.06 | ) | (1.05 | ) | ||||||||||
Net asset value, end of year | $ | 11.91 | $ | 9.78 | $ | 19.68 | $ | 15.79 | $ | 15.59 | ||||||||||
Total return(d) | 35.32 | % | (1.32 | )% | 30.36 | % | 1.69 | % | 3.14 | % | ||||||||||
Net assets, end of year (in 000s) | $ | 241,375 | $ | 139,414 | $ | 425,679 | $ | 368,242 | $ | 360,966 | ||||||||||
Ratio of net expenses to average net assets | 1.02 | % | 0.99 | % | 1.01 | % | 1.04 | % | 1.04 | % | ||||||||||
Ratio of total expenses to average net assets | 1.10 | % | 1.07 | % | 1.07 | % | 1.08 | % | 1.08 | % | ||||||||||
Ratio of net investment income to average net assets | 0.04 | % | 0.04 | % | 0.23 | % | 0.22 | % | 0.29 | %(b) | ||||||||||
Portfolio turnover rate(e) | 44 | % | 41 | % | 37 | % | 72 | % | 56 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.20% of average net assets. |
(c) | Amount is less than $0.005 per share. |
(d) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
(e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Notes to Financial Statements
December 31, 2019
1. ORGANIZATION
Goldman Sachs Variable Insurance Trust (the “Trust” or “VIT”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as anopen-end management investment company. The Trust includes the Goldman Sachs Strategic Growth Fund (the “Fund”). The Fund is a diversified portfolio under the Act offering two classes of shares — Institutional and Service Shares. Shares of the Trust are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (“Goldman Sachs”), serves as investment adviser to the Fund pursuant to a management agreement (the “Agreement”) with the Trust.
2. SIGNIFICANT ACCOUNTING POLICIES
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. The Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.
A. Investment Valuation — The Fund’s valuation policy is to value investments at fair value.
B. Investment Income and Investments —Investment income includes interest income, dividend income, and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized onex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to theex-dividenddate. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Distributions received from the Fund’s investments in United States (“U.S.”) real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain and/or a return of capital. A return of capital is recorded by the Fund as a reduction to the cost basis of the REIT.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, andnon-class specific expenses of the Fund are allocated daily based upon the proportion of net assets of each class.Non-class specific expenses directly incurred by the Fund are charged to the Fund, while such expenses incurred by the Trust are allocated across the Fund on a straight-line and/orpro-rata basis depending upon the nature of the expenses. Class-specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service and Transfer Agency fees.
D. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on theex-dividend date. Income and capital gains distributions, if any, are declared and paid at least annually.
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the Fund’s distributions may be shown in the accompanying financial statements as either from distributable earnings or capital. Certain components of the Fund’s net assets on the Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
E. Commission Recapture — GSAM, on behalf of certain Funds, may direct portfolio trades, subject to seeking best execution, to various brokers who have agreed to rebate a portion of the commissions generated. Such rebates are made directly to the Fund as cash payments and are included in net realized gain (loss) from investments on the Statement of Operations.
14
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS
U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Fund’s policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Fund, including investments for which market quotations are not readily available. The Trustees have delegated to GSAMday-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Fund’s investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a U.S. securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities may be valued at the closing bid price for long positions and at the closing ask price for short positions. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price for long positions or the last ask price for short positions, and are generally classified as Level 2.
Money Market Funds — Investments in the Goldman Sachs Financial Square Government Fund (“Underlying Fund”) are valued at the NAV per share of the Institutional Share class on the day of valuation. These investments are generally classified as Level 1 of the fair value hierarchy. For information regarding the Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Fund’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Fund’s NAV. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.
15
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Notes to Financial Statements(continued)
December 31, 2019
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
C. Fair Value Hierarchy — The following is a summary of the Fund’s investments classified in the fair value hierarchy as of December 31, 2019:
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Europe | $ | 11,081,958 | $ | — | $ | — | ||||||
North America | 358,595,454 | — | — | |||||||||
Investment Company | 1,563,204 | — | — | |||||||||
Securities Lending Reinvestment Vehicle | 1,651,105 | — | — | |||||||||
Total | $ | 372,891,721 | $ | — | $ | — |
(a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of NAV. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. |
For further information regarding security characteristics, see the Schedule of Investments.
4. AGREEMENTS AND AFFILIATED TRANSACTIONS
A. Management Agreement — Under the Agreement, GSAM manages the Fund, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Fund’s business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
For the fiscal year ended December 31, 2019, contractual and effective net management fees with GSAM were at the following rates:
Contractual Management Rate | ||||||||||||||||||||||||
First $1 billion | Next $1 billion | Next $3 billion | Next $3 billion | Over $8 billion | Effective Rate | Effective Net Management Rate^ | ||||||||||||||||||
0.71% | 0.64 | % | 0.61 | % | 0.59 | % | 0.58 | % | 0.71 | % | 0.71 | % |
^ | Effective Net Management Rate includes the impact of management fee waivers of affiliated Underlying Funds, if any. |
The Fund invests in Institutional Shares of the Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Fund in an amount equal to the management fee it earns as an investment adviser to the affiliated Underlying Fund in which the Fund invests, except those management fees it earns from the Fund’s investments of cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund. For the fiscal year ended December 31, 2019, GSAM waived $6,549 of the Fund’s management fee.
B. Distribution and Service(12b-1) Plan — The Trust, on behalf of Service Shares of the Fund, has adopted a Distribution and Service Plan subject to Rule12b-1 under the Act. Under the Distribution and Service Plan, Goldman Sachs, which serves as distributor, is entitled to a fee accrued daily and paid monthly, for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers, equal to, on an annual basis, 0.25% of the Fund’s average daily net assets attributable to Service Shares.
16
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
C. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Fund for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at an annual rate of 0.02% of the average daily net assets of Institutional and Service Shares.
D. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or limit certain “Other Expenses” of the Fund (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of the Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Fund is not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitation as an annual percentage rate of average daily net assets for the Fund is 0.014%. The Other Expense limitation will remain in place through at least April 30, 2020, and prior to such date GSAM may not terminate the arrangement without the approval of the Trustees. In addition, the Fund has entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Fund’s expenses and are received irrespective of the application of the “Other Expense” limitation described above.
For the fiscal year ended December 31, 2019, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
Management Fee Waiver | Custody Fee Credits | Other Expense Reimbursement | Total Expense Reductions | |||||||||
$6,549 | $ | 4,834 | $ | 271,880 | $ | 283,263 |
E. Line of Credit Facility — As of December 31, 2019, the Fund participated in a $580,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the fiscal year ended December 31, 2019, the Fund did not have any borrowings under the facility. Prior to April 30, 2019 the facility was $770,000,000.
F. Other Transactions with Affiliates — For the fiscal year ended December 31, 2019, Goldman Sachs earned $442 in brokerage commissions from portfolio transactions.
The following table provides information about the Fund’s investments in the Goldman Sachs Financial Square Government Fund as of and for the fiscal year ended December 31, 2019:
Beginning Value as of December 31, 2018 | Purchases at Cost | Proceeds from Sales | Ending Value as of December 31, 2019 | Shares as of December 31, 2019 | Dividend Income from Affiliated Investment Company | |||||||||||||||
$— | $ | 111,813,260 | $ | (110,250,056) | $ | 1,563,204 | 1,563,204 | $ | 85,800 |
5. PORTFOLIO SECURITIES TRANSACTIONS
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended December 31, 2019, were $181,850,794 and $145,582,393, respectively.
17
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Notes to Financial Statements(continued)
December 31, 2019
6. SECURITIES LENDING
The Fund may lend its securities through a securities lending agent, the Bank of New York Mellon (“BNYM”), to certain qualified borrowers. In accordance with the Fund’s securities lending procedures, the Fund receives cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities is determined at the close of business of the Fund, at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Fund on the next business day. As with other extensions of credit, the Fund may experience delay in the recovery of its securities or incur a loss should the borrower of the securities breach its agreement with the Fund or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Dividend income received from securities on loan may not be subject to withholding taxes and therefore withholding taxes paid may differ from the amounts listed in the Statement of Operations. Loans of securities are terminable at any time and as such 1) the remaining contractual maturities of the outstanding securities lending transactions are considered to be overnight and continuous and 2) the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
The Fund invests the cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund (“Government Money Market Fund”), an affiliated series of the Goldman Sachs Trust. The Government Money Market Fund is registered under the Act as an open end investment company, is subject to Rule2a-7 under the Act, and is managed by GSAM, for which GSAM may receive a management fee of up to 0.16% on an annualized basis of the average daily net assets of the Government Money Market Fund.
In the event of a default by a borrower with respect to any loan, BNYM may exercise any and all remedies provided under the applicable borrower agreement to make the Fund whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If BNYM is unable to purchase replacement securities, BNYM will indemnify the Fund by paying the Fund an amount equal to the market value of the securities loaned minus the value of cash collateral received from the borrower for the loan, subject to an exclusion for any shortfalls resulting from a loss of value in such cash collateral due to reinvestment risk. The Fund’s master netting agreements with certain borrowers provide the right, in the event of a default (including bankruptcy or insolvency), for thenon-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. However, in the event of a default by a borrower, a resolution authority could determine that such rights are not enforceable due to the restrictions or prohibitions against the right ofset-off that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws. The Fund’s loaned securities were all subject to enforceable Securities Lending Agreements and the value of the collateral was at least equal to the value of the cash received. The amounts of the Fund’s overnight and continuous agreements, which represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of December 31, 2019, are disclosed as “Payable upon return of securities loaned” on the Statement of Assets and Liabilities, where applicable.
Both the Fund and BNYM received compensation relating to the lending of the Fund’s securities. The amounts earned, if any, by the Fund for the fiscal year ended December 31, 2019, are reported under Investment Income on the Statement of Operations.
The following table provides information about the Fund’s investment in the Government Money Market Fund for the fiscal year ended December 31, 2019:
Beginning Value as of December 31, 2018 | Purchases at Cost | Proceeds from Sales | Ending Value as of December 31, 2019 | |||||||||||
$ | — | $ | 27,745,000 | $ | (26,093,895 | ) | $ | 1,651,105 |
18
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
7. TAX INFORMATION
The tax character of distributions paid during the fiscal years ended December 31, 2018 and December 31, 2019 was as follows:
2018 | 2019 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 7,594,847 | $ | 658,803 | ||||
Net long-term capital gains | 114,152,571 | 36,508,333 | ||||||
Total taxable distributions | $ | 121,747,418 | $ | 37,167,136 |
As of December 31, 2019, the components of accumulated earnings (losses) on atax-basis were as follows:
Undistributed ordinary income — net | $ | 128,043 | ||
Undistributed long-term capital gains | 771,682 | |||
Total undistributed earnings | $ | 899,725 | ||
Timing Differences (Post October Loss Deferral) | (28,908 | ) | ||
Unrealized gains — net | 153,838,522 | |||
Total accumulated gains — net | $ | 154,709,339 |
As of December 31, 2019, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Tax cost | $ | 219,053,199 | ||
Gross unrealized gain | 157,008,572 | |||
Gross unrealized loss | (3,170,050 | ) | ||
Net unrealized gain | $ | 153,838,522 |
The difference between GAAP-basis andtax-basis unrealized gains (losses) is attributable primarily to wash sales and differences in the tax treatment of underlying fund investments.
GSAM has reviewed the Fund’s tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
8. OTHER RISKS
The Fund’s risks include, but are not limited to, the following:
Investments in Other Investment Companies Risk — As a shareholder of another investment company, the Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund.
Large Shareholder Transactions Risk — The Fund may experience adverse effects when certain large shareholders, such as other funds, participating insurance companies, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of the Fund. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may cause the Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact the Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in the Fund’s current expenses being allocated over
19
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Notes to Financial Statements(continued)
December 31, 2019
8. OTHER RISKS (continued)
a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect the Fund’s performance to the extent that the Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.
Liquidity Risk — The Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that the Fund will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, the Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If the Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Fund’s NAV and dilute remaining investors’ interests. Redemptions by large shareholders may have a negative impact on the Fund’s liquidity.
Market and Credit Risks — In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
9. INDEMNIFICATIONS
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
10. OTHER MATTERS
On November 5, 2019, a definitive proxy statement (“proxy”) was filed with the SEC to elect certain Trustees to the Trust. The Fund will bear its respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse the Fund to the extent such expenses exceed a specified percentage of the Fund’s net assets.
11. SUBSEQUENT EVENTS
Subsequent events after the Statement of Assets and Liabilities date other than above have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
20
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
12. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 583,898 | $ | 7,062,304 | 707,283 | $ | 15,560,038 | ||||||||||
Reinvestment of distributions | 1,118,249 | 13,128,250 | 5,223,137 | 51,500,129 | ||||||||||||
Shares redeemed | (1,261,183 | ) | (14,783,803 | ) | (1,339,125 | ) | (28,892,999 | ) | ||||||||
440,964 | 5,406,751 | 4,591,295 | 38,167,168 | |||||||||||||
Service Shares | ||||||||||||||||
Shares sold | 8,337,088 | 92,869,509 | 700,489 | 14,650,261 | ||||||||||||
Reinvestment of distributions | 2,045,863 | 24,038,886 | 7,117,253 | 70,247,289 | ||||||||||||
Shares redeemed | (4,367,583 | ) | (49,769,254 | ) | (15,191,101 | ) | (312,752,864 | ) | ||||||||
6,015,368 | 67,139,141 | (7,373,359 | ) | (227,855,314 | ) | |||||||||||
NET INCREASE (DECREASE) | 6,456,332 | $ | 72,545,892 | (2,782,064 | ) | $ | (189,688,146 | ) |
21
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of Goldman Sachs Variable Insurance Trust and Shareholders of Goldman Sachs Strategic Growth Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Goldman Sachs Strategic Growth Fund (one of the funds constituting Goldman Sachs Variable Insurance Trust, referred to hereafter as the “Fund”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statements of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 14, 2020
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
22
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Voting Results of Special Meeting of Shareholders (Unaudited)
A Special Meeting (the “Meeting”) of the Goldman Sachs Variable Insurance Trust (“VIT”) was held on January 23, 2020 to consider and act upon the proposal below. The Fund will amortize its respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse the Fund to the extent such expenses exceed a specified percentage of the Fund’s net assets.
At the Meeting, Dwight L. Bush, Kathryn A. Cassidy, Joaquin Delgado and Gregory G. Weaver were elected to the Trust’s Board of Trustees. In electing trustees, the Trust’s shareholders voted as follows:
Proposal 1.
Election of Trustees | For | Against | Withheld | Broker Non-Votes | ||||||||||||
Dwight L. Bush | 745,493,677.130 | 0 | 17,848,840.639 | 0 | ||||||||||||
Kathryn A. Cassidy | 746,559,784.810 | 0 | 16,782,732.959 | 0 | ||||||||||||
Joaquin Delgado | 744,593,456.532 | 0 | 18,749,061.237 | 0 | ||||||||||||
Gregory G. Weaver | 746,707,039.321 | 0 | 16,635,478.448 | 0 |
23
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Fund Expenses — Six Month Period Ended December 31, 2019 (Unaudited) |
As a shareholder of Institutional or Service Shares of the Fund, you incur ongoing costs, including management fees, distribution and/or service(12b-1) fees (with respect to Service Shares) and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Institutional Shares and Service Shares of the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2019 through December 31, 2019, which represents a period of 184 days of a 365 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Fund you do not incur any transaction costs, such as sales charges, redemption fees, or exchange fees, but shareholders of other funds may incur such costs. The second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds whose shareholders may incur transaction costs.
Share Class | Beginning Account Value 07/01/19 | Ending Account Value 12/31/19 | Expenses Paid for the 6 Months Ended 12/31/19* | |||||||||
Institutional | ||||||||||||
Actual | $ | 1,000 | $ | 1,108.20 | $ | 4.09 | ||||||
Hypothetical 5% return | 1,000 | 1,021.32 | + | 3.92 | ||||||||
Service | ||||||||||||
Actual | 1,000 | 1,107.50 | 5.42 | |||||||||
Hypothetical 5% return | 1,000 | 1,020.06 | + | 5.19 |
+ | Hypothetical expenses are based on the Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
* | Expenses are calculated using the Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended December 31, 2019. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 0.77%, and 1.02% for Institutional and Service Shares, respectively. |
24
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Trustees and Officers (Unaudited)
Independent Trustees
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||||
Jessica Palmer Age: 70 | Chair of the Board of Trustees | Since 2018 (Trustee since 2007) | Ms. Palmer is retired. She was formerly Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009).
Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Kathryn A. Cassidy Age: 65 | Trustee | Since 2015 | Ms. Cassidy is retired. Formerly, she was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Diana M. Daniels Age: 70 | Trustee | Since 2007 | Ms. Daniels is retired. Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is a Trustee Emeritus and serves as a Presidential Councillor of Cornell University (2013-Present); former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Roy W. Templin Age: 59 | Trustee | Since 2013 | Mr. Templin is retired. He is Director, Armstrong World Industries, Inc. (a designer and manufacturer of ceiling, wall and suspension system solutions) (2016-Present); and was formerly Chairman of the Board of Directors, Con-Way Incorporated (a transportation, logistics and supply chain management service company) (2014-2015); Executive Vice President and Chief Financial Officer, Whirlpool Corporation (an appliance manufacturer and marketer) (2004-2012). Previously, Mr. Templin served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (June 2013-October 2013).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Armstrong World Industries, Inc. (a ceiling, wall and suspension systems solutions manufacturer) | |||||||
Gregory G. Weaver Age: 68 | Trustee | Since 2015 | Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Verizon Communications Inc. | |||||||
25
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Trustees and Officers (Unaudited) (continued)
Interested Trustee*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||||
James A. McNamara Age: 57 | President and Trustee | Since 2007 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | 165 | None | |||||||
Advisory Board Members
Name, Address, Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Advisory Board Member3 | Other Directorships Held by Advisory Board Member4 | |||||||
Dwight L. Bush Age: 62 | Advisory Board Member | Since 2019 | Ambassador Bush is President and CEO of D.L. Bush & Associates (a financial advisory and private investment firm) (2002-2014 and 2017-present); and was formerly U.S. Ambassador to the Kingdom of Morocco (2014-2017) and a Member of the Board of Directors of Santander Bank, N.A. (2018-2019).
Advisory Board Member — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Joaquin Delgado Age: 59 | Advisory Board Member | Since 2019 | Dr. Delgado is retired. He is Director, Hexion Inc. (a specialty chemical manufacturer) (2019-present); and Director, Stepan Company (a specialty chemical manufacturer) (2011-present); and was formerly Executive Vice President, Consumer Business Group of 3M Company (July 2016-July 2019); and Executive Vice President, Health Care Business Group of 3M Company (October 2012-July 2016).
Advisory Board Member — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Stepan Company (a specialty chemical manufacturer) | |||||||
* | Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. Mr. McNamara holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
1 | Each Trustee and Advisory Board Member may be contacted by writing to the Trustee or Advisory Board Member, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of December 31, 2019. |
2 | Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that (a) no Trustee shall hold office for more than 15 years and (b) a Trustee shall retire as of December 31st of the calendar year in which he or she reaches his or her 74th birthday, unless a waiver of such requirements shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. |
3 | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of December 31, 2019, Goldman Sachs Trust consisted of 89 portfolios; Goldman Sachs Variable Insurance Trust consisted of 13 portfolios; Goldman Sachs Trust II consisted of 19 portfolios (17 of which offered shares to the public); Goldman Sachs MLP Income Opportunities Fund, Goldman Sachs MLP and Energy Renaissance Fund, Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio; and Goldman Sachs ETF Trust consisted of 40 portfolios (21 of which offered shares to the public). |
4 | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Fund’s Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384. Additional information about the Advisory Board Members will be available in the Fund’s Statement of Additional Information dated April 30, 2020, which will be available from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
26
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | |||
James A. McNamara 200 West Street New York, NY 10282 Age: 57 | Trustee and President | Since 2007 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 42 | Secretary | Since 2012 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Associate General Counsel, Goldman Sachs (2012-Present); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006).
Secretary — Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Private Middle Market Credit II LLC; Goldman Sachs Middle Market Lending Corp.; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 51 | Treasurer, Principal Financial Officer and Principal Accounting Officer | Since 2017 (Treasurer and Principal Financial Officer since 2019) | Managing Director, Goldman Sachs (November 2015-Present) and Vice President — Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010-October 2015). Treasurer, Principal Financial Officer and Principal Accounting Officer — Goldman Sachs Trust (previously Assistant Treasurer (2016)); Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs MLP Income Opportunities Fund (previously Assistant Treasurer (2017)); Goldman Sachs MLP and Energy Renaissance Fund (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
* | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Fund’s Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
1 | Information is provided as of December 31, 2019. |
2 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
Goldman Sachs Variable Insurance Trust — Tax Information (Unaudited)
For the year ended December 31, 2019, 82.66% of the dividends paid from net investment company taxable income by the Strategic Growth Fund qualify for the dividends received deduction available to corporations.
Pursuant to Section 852 of the Internal Revenue Code, the Strategic Growth Fund designates $36,508,333 or, if different, the maximum amount allowable, as capital gain dividends paid during the fiscal year ended December 31, 2019.
27
TRUSTEES | OFFICERS James A. McNamara,President Joseph F. DiMaria,Principal Financial Officer, Principal Accounting Officer and Treasurer Caroline L. Kraus,Secretary | |
Jessica Palmer,Chair | ||
Dwight L. Bush* | ||
Kathryn A. Cassidy | ||
Diana M. Daniels | ||
Joaquin Delgado* | ||
James A. McNamara | ||
Roy W. Templin | ||
Gregory G. Weaver | ||
* Effective as of January 23, 2020 |
GOLDMAN SACHS & CO. LLC
Distributor and Transfer Agent
GOLDMAN SACHS ASSET MANAGEMENT, L.P.
Investment Adviser
200 West Street, New York
New York 10282
Visit our web site at www.GSAMFUNDS.com to obtain the most recentmonth-end returns.
The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Fund. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted proxies relating to portfolio securities for the12-month period ended December 31 is available (i) without charge, upon request by calling1-800-621-2550; and (ii) on the Securities and Exchange Commission (“SEC”) web site athttp://www.sec.gov.
The Fund will file its portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be made available on the SEC’s web site at http://www.sec.gov. Portfolio holdings information may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).
Views and opinions expressed are for informational purposes only and do not constitute a recommendation by GSAM to buy, sell, or hold any security. Views and opinions are current as of the date of this presentation and may be subject to change, they should not be construed as investment advice.
Goldman Sachs & Co. LLC (“Goldman Sachs”) does not provide legal, tax or accounting advice. Any statement contained in this communication (including any attachments) concerning U.S. tax matters was not intended or written to be used, and cannot be used, for the purpose of avoiding penalties under the Internal Revenue Code, and was written to support the promotion or marketing of transaction or matter addressed. Clients of Goldman Sachs should obtain their own independent tax advice based on their particular circumstances.
The website links provided are for your convenience only and are not an endorsement or recommendation by GSAM of any of these websites or the products or services offered. GSAM is not responsible for the accuracy and validity of the content of these websites.
Fund holdings and allocations shown are as of December 31, 2019 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
References to indices, benchmarks or other measures of relative market performance over a specified period of time are provided for your information only and do not imply that the portfolio will achieve similar results. The index composition may not reflect the manner in which a portfolio is constructed. While an adviser seeks to design a portfolio which reflects appropriate risk and return features, portfolio characteristics may deviate from those of the benchmark.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (“MSCI”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
Shares of the Goldman Sachs VIT Funds are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus or summary prospectus, if applicable. Investors should consider the Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the prospectus carefully before investing or sending money. The summary prospectus, if available, and the prospectus contain this and other information about the Fund and may be obtained from your authorized dealer or from Goldman Sachs & Co. LLC by calling1-800-621-2550.
This report is prepared for the general information of contract owners and is not an offer of shares of the Goldman Sachs Variable Insurance Trust — Goldman Sachs Strategic Growth Fund.
© 2020 Goldman Sachs. All rights reserved.
VITGRWAR-20/192297-OTU-1135501
Goldman
SachsVariable Insurance Trust
Goldman Sachs
International Equity Insights Fund
Beginning on or after January 1, 2021, you may not receive paper copies of the Fund’s annual and semi-annual shareholder reports from the insurance company that offers your variable insurance contract or your financial intermediary, unless you specifically request paper copies of the reports from the insurance company or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. At any time, you may elect to receive reports and certain communications from the insurance company electronically by contacting your insurance company or your financial intermediary.
You may elect to receive all future shareholder reports in paper free of charge. You can inform the insurance company or your financial intermediary that you wish to receive paper copies of reports. Your election to receive reports in paper will apply to all Goldman Sachs Funds available under your contract and may apply to all funds held with your financial intermediary.
Annual Report
December 31, 2019
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
INVESTMENT OBJECTIVE
The Fund seeks long-term growth of capital.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discuss the Goldman Sachs Variable Insurance Trust — Goldman Sachs International Equity Insights Fund’s (the “Fund”) performance and positioning for the12-month period ended December 31, 2019 (the “Reporting Period”).
How did the Fund perform during the Reporting Period?
During the Reporting Period, the Fund’s Institutional and Service Shares generated average annual total returns of 18.45% and 18.23%, respectively. These returns compare to the 22.01% average annual total return of the Fund’s benchmark, the MSCI Europe, Australasia, Far East (EAFE) Index (net, USD, unhedged) (the “MSCI EAFE Index”), during the same time period.
What economic and market factors most influenced the international equity markets as a whole during the Reporting Period?
International equities, as measured by the MSCI EAFE Index, posted a return of 8.17% for the fourth quarter of 2019, bringing total returns to 22.01% in U.S. dollar terms for the Reporting Period as a whole. Equity markets rebounded across the globe, recovering from weakness in 2018, though U.S. equities outpaced international equity markets during the Reporting Period. The international equity markets were primarily supported by the accommodative stance of the various central banks and by the anticipation of resolution to trade war and Brexit negotiations, with the rally in equities during the Reporting Period driven by valuation gains amid weak earnings growth. (Brexit is the popular term for the U.K.’s path out of the European Union.)
European equities witnessed their best year since 2009, with the STOXX 600* hitting a four-year high early in November 2019. The domestic Eurozone economy generally remained strong, boasting the lowest unemployment rate since the 2008-2009 global financial crisis as well as accelerated wage growth. In September 2019, the European Central Bank announced a multi-dimensional monetary stimulus package aimed at addressing slowing Eurozone economic growth through deposit rate cuts and reinstitution of asset purchases. In October 2019, the European Union and the U.K. agreed to a “flextension” arrangement until January 2020 under which the U.K. would be able to leave the European Union earlier than the deadline if a withdrawal agreement was ratified by the European and British Parliaments in time. Brexit negotiations took a turn for the better when the Conservative party won a comfortable majority in themid-December 2019 U.K. Parliamentary elections, clearing the way for Prime Minister Johnson’s Brexit deal to be ratified before the Article 50 deadline expires on January 31, 2020.
Japanese equities suffered collateral damage through the ongoingstand-off between the U.S. and China — two of Japan’s largest trade partners. Japanese equities were also sensitive to weaker global industrial demand during the Reporting Period. However, the Japanese equity market was supported by a recovering domestic economy, stronger capital spending and an improvement in domestic demand resilience. In the second quarter of 2019, Japan’s nominal Gross Domestic Product hit a record 557.8 trillion yen. In an effort to achieve more fair and reciprocal trade, the U.S. and Japan signed a limited trade deal on agriculture and digital trade in October 2019, a deal that covers about $55 billion worth of commerce between the two economies.
For the Reporting Period overall, all 11 sectors of the MSCI EAFE gained, with information technology leading the way, followed by health care and industrials. Energy, communication services and real estate were the weakest performers on the basis of total return during the Reporting Period.
From a country perspective, all equity markets in the MSCI EAFE Index posted a positive absolute return during the Reporting Period. New Zealand, Ireland and Switzerland were the strongest individual country constituents in the MSCI EAFE Index on a relative basis during the Reporting Period. Israel, Hong Kong and Finland posted positive absolute returns but most significantly lagged the MSCI EAFE Index on a relative basis during the Reporting Period.
* | The STOXX 600 is an index tracking 600 publicly-traded companies based in one of 18 European Union countries. The index includes small cap, medium cap, and large cap companies. The countries represented in the index are Austria, Belgium, Denmark, Finland, France, Germany, Greece, Holland, Iceland, Ireland, Italy, Luxembourg, Norway, Portugal, Spain, Sweden, Switzerland and the U.K. |
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GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
What key factors were responsible for the Fund’s performance during the Reporting Period?
The Fund uses a quantitative style of management, in combination with a qualitative overlay, that emphasizes fundamentally-based stock selection, careful portfolio construction and efficient implementation. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on certain investment themes, namely Fundamental Mispricings, High Quality Business Models, Sentiment Analysis and Market Themes & Trends.
During the Reporting Period, the Fund posted double-digit absolute gains but underperformed the MSCI EAFE Index, with three of our quantitative model’s four investment themes detracting from results. Stock selection driven by these investment themes diminished relative performance.
What impact did the Fund’s investment themes have on performance during the Reporting Period?
In keeping with our investment approach, we use our quantitative model and four investment themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of the model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of the Fund’s theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by the Fund’s different investment themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit.
During the Reporting Period, three of our four investment themes — Market Themes & Trends, Fundamental Mispricings and High Quality Business Models — detracted from the Fund’s relative performance. The other investment theme — Sentiment Analysis — contributed positively. Market Themes & Trends seeks to identify companies positively positioned to benefit from themes and trends in the market and macroeconomic environment. Fundamental Mispricings seeks to identify high quality businesses trading at a fair price, which we believe may lead to strong performance over the long run. High Quality Business Models seeks to identify companies that are generating high quality revenues with sustainable business models and aligned management incentives. Sentiment Analysis seeks to identify stocks experiencing improvements in their overall market sentiment.
How did the Fund’s sector and industry allocations affect relative performance during the Reporting Period?
In constructing the Fund’s portfolio, we focus on picking stocks rather than making sector or industry bets. Consequently, the Fund is similar to its benchmark, the MSCI EAFE Index, in terms of its sector and industry allocations and style. Changes in its sector or industry weights generally do not have a meaningful impact on relative performance.
Did stock selection help or hurt Fund performance during the Reporting Period?
We seek to outpace the MSCI EAFE Index by overweighting stocks that we expect to outperform and underweighting those that we think may lag. At the same time, we strive to maintain a risk profile similar to the MSCI EAFE Index. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on our investment themes. For example, the Fund aims to hold a basket of stocks with better Fundamental Mispricings characteristics than the benchmark index.
During the Reporting Period, stock selection hampered the Fund’s performance, with investments in the health care, industrials and communication services sectors detracting most from results relative to the MSCI EAFE Index. Holdings in the information technology, consumer discretionary and financials sectors added to the Fund’s relative returns.
Which individual positions detracted from the Fund’s results during the Reporting Period?
Detracting most from the Fund’s results relative to the MSCI EAFE Index were underweight positions in U.K.-based tobacco company British American Tobacco and France-based diversified luxury goods producer LVMH Moet Hennessy Louis Vuitton and an overweight position in Japan-based telecommunication services provider SoftBank Group. The underweight in British American Tobacco was implemented primarily because of our Market Themes & Trends investment theme, and the underweight in LVMH Moet Hennessy Louis Vuitton was established due mainly to our Fundamental Mispricings investment theme. The overweight in Softbank Group was based primarily on our Market Themes & Trends and Fundamental Mispricings investment themes.
Which individual stock positions contributed the most to the Fund’s relative returns during the Reporting Period?
The Fund benefited most from an underweight position in BP, a U.K.-based integrated energy company, and from overweight positions in adidas, a Germany-based sports shoes, apparel and equipment manufacturer, and in Schneider Electric, a France-based electrical power products manufacturer. The underweight in BP and the overweight in adidas were each fueled mainly by our
2
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Market Themes & Trends and High Quality Business Models investment themes. Driven by our High Quality Business Models and Sentiment Analysis investment themes, the Fund benefited from its overweight in Schneider Electric.
What impact did country selection have on the Fund’s relative performance during the Reporting Period?
To construct the Fund’s portfolio, we focus on security selection rather than on making country bets. As a result, the Fund is similar to the MSCI EAFE Index in terms of its country allocation. Changes in the Fund’s country weightings are generally the result of our stock picking.
Did you make any enhancements to your quantitative models during the Reporting Period?
We continuously look for ways to improve our investment process. During the Reporting Period, we made numerous enhancements to our models. As example, during the first half of the Reporting Period, we introduced a number of new signals. First, within our Sentiment Analysis investment theme, we added a suite of signals that utilizes data from the short selling market as an indicator of the market sentiment surrounding individual names. Second, within our Market Themes & Trends investment theme, we added a signal that examines the cross-holdings of pooled vehicles to identify thematic trends in the market. Also within our Market Themes & Trends investment theme, we added a signal that examines internet linkages between companies to identify thematic trends. Finally, within our Fundamental Mispricings investment theme, we added a signal that we believe to be predictive of industry rotations.
During the second half of the Reporting Period, within our High-Quality Business Models investment theme, we added a metric, introduced in most regions, that identifies companies with longer executive management tenure, as we believe this is indicative of sustainable, high quality, business model. Within our Sentiment Analysis investment theme, we extended a signal from the U.S. to Japan. The signal uses natural language processing and machine learning techniques to help capture sell-side research analyst sentiment in Japanese language reports. Also within our Sentiment Analysis investment theme, we added a contrarian signal in the European, U.K. and emerging market investment regions that uses market microstructure data to help predict short-term stock reversals.
How did the Fund use derivatives during the Reporting Period?
During the Reporting Period, we did not use derivatives as part of an active management strategy to add value to the Fund’s results. However, we used equity index futures contracts, on an opportunistic basis, to equitize the Fund’s excess cash holdings. In other words, we put the Fund’s excess cash holdings to work by using them as collateral for the purchase of stock futures. The use of these futures contracts did not have a material impact on the Fund’s performance during the second part of the Reporting Period.
What were the Fund’s sector and country weightings at the end of the Reporting Period?
As of December 31, 2019, the Fund was overweight the health care, industrials, information technology and materials sectors relative to the MSCI EAFE Index. The Fund was underweight utilities, communication services, consumer staples, real estate and consumer discretionary and rather neutral to the MSCI EAFE Index in energy and financials on the same date.
In terms of countries, the Fund was overweight relative to the MSCI EAFE Index in Japan, Switzerland and Australia. Compared to the MSCI EAFE Index, the Fund was underweight in the U.K. and Germany and was relatively neutral compared to the MSCI EAFE Index in the remaining constituents of the MSCI EAFE Index at the end of the Reporting Period.
Were there any changes to the Fund’s portfolio management team during the Reporting Period?
There were no changes to the Fund’s portfolio management team during the Reporting Period.
What is your strategy going forward for the Fund?
Looking ahead, we continue to believe that less expensive stocks should outpace more expensive stocks, and stocks with good momentum are likely to outperform those with poor momentum. We intend to maintain our focus on seeking companies about which fundamental research analysts are becoming more positive as well as profitable companies with sustainable earnings and a track record of using their capital to enhance shareholder value. As such, we anticipate remaining fully invested with long-term performance likely to be the result of stock selection rather than sector or capitalization allocations.
We stand behind our investment philosophy that sound economic investment principles, coupled with a disciplined quantitative approach, can provide strong, uncorrelated returns over the long term. Our research agenda is robust, and we continue to enhance our existing models, add new proprietary forecasting signals and improve our trading execution as we seek to provide the most value to our shareholders.
3
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Index Definitions
The MSCI EAFE Standard Index is a market capitalization-weighted composite of securities in 21 developed markets. The MSCI EAFE Standard Index approximates the minimum possible dividend reinvestment. The dividend is reinvested after deduction for withholding tax, applying the rate to non-resident individuals who do not benefit from double taxation treaties. MSCI uses withholding tax rates applicable to Luxembourg holding companies, as Luxembourg applies the highest rates. The MSCI EAFE Standard Index is unmanaged and the figures for the Index do not include any deduction for fees or expenses.
It is not possible to invest directly in an index.
4
FUND BASICS
International Equity Insights Fund
as of December 31, 2019
TOP TEN HOLDINGS AS OF 12/31/191
Holding | % of Net Assets | Line of Business | Country | |||||
Roche Holding AG | 2.4% | Pharmaceuticals, Biotechnology & Life Sciences | Switzerland | |||||
Novartis AG (Registered) | 1.9 | Pharmaceuticals, Biotechnology & Life Sciences | Switzerland | |||||
AIA Group Ltd. | 1.5 | Insurance | Hong Kong | |||||
Diageo plc | 1.3 | Food, Beverage & Tobacco | United Kingdom | |||||
Schneider Electric SE | 1.2 | Capital Goods | France | |||||
BNP Paribas SA | 1.1 | Banks | France | |||||
Safran SA | 1.1 | Capital Goods | France | |||||
Sony Corp. | 1.1 | Consumer Durables & Apparel | Japan | |||||
Nestle SA (Registered) | 1.1 | Food, Beverage & Tobacco | Switzerland | |||||
Kering SA | 1.0 | Consumer Durables & Apparel | France |
1 | The top 10 holdings may not be representative of the Fund’s future investments. |
FUND VS. BENCHMARK SECTOR ALLOCATIONS2
As of December 31, 2019
2 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Portfolio’s investment strategies, holdings, and performance.
5
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Performance Summary
December 31, 2019
The following graph shows the value, as of December 31, 2019, of a $10,000 investment made on January 1, 2010 in Service Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the MSCI EAFE Standard Index (Net, USD, Unhedged), is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
International Equity Insights Fund’s 10 Year Performance
Performance of a $10,000 investment, with distributions reinvested, from January 1, 2010 through December 31, 2019.
Average Annual Total Return through December 31, 2019 | One Year | Five Years | Ten Years | |||
Institutional | 18.45% | 4.29% | 4.88% | |||
Service | 18.23% | 4.04% | 4.62% |
6
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Schedule of Investments
December 31, 2019
Shares | Description | Value | ||||||
Common Stocks – 97.8% | ||||||||
Australia – 8.9% | ||||||||
6,652 | Altium Ltd. (Software & Services) | $ | 162,084 | |||||
10,951 | ASX Ltd. (Diversified Financials) | 602,964 | ||||||
14,872 | BHP Group Ltd. (Materials) | 407,230 | ||||||
2,506 | BHP Group plc (Materials) | 58,725 | ||||||
7,664 | Charter Hall Group (REIT) | 59,690 | ||||||
39,379 | Coles Group Ltd. (Food & Staples Retailing) | 409,926 | ||||||
4,038 | Commonwealth Bank of Australia (Banks) | 226,523 | ||||||
19,551 | Fortescue Metals Group Ltd. (Materials) | 147,382 | ||||||
37,378 | Goodman Group (REIT) | 351,248 | ||||||
16,400 | Magellan Financial Group Ltd. (Diversified Financials) | 657,065 | ||||||
8,958 | Newcrest Mining Ltd. (Materials) | 189,184 | ||||||
8,599 | Orica Ltd. (Materials) | 132,601 | ||||||
82,742 | Qantas Airways Ltd. (Transportation) | 412,428 | ||||||
10,785 | Regis Resources Ltd. (Materials) | 32,633 | ||||||
10,180 | Rio Tinto Ltd. (Materials) | 720,235 | ||||||
8,683 | Rio Tinto plc ADR (Materials) | 515,423 | ||||||
93,458 | Santos Ltd. (Energy) | 537,660 | ||||||
14,199 | Sonic Healthcare Ltd. (Health Care Equipment & Services) | 286,293 | ||||||
31,547 | Telstra Corp. Ltd. (Telecommunication Services) | 78,362 | ||||||
26,184 | Wesfarmers Ltd. (Retailing) | 760,952 | ||||||
28,896 | Woodside Petroleum Ltd. (Energy) | 698,665 | ||||||
29,498 | Woolworths Group Ltd. (Food & Staples Retailing) | 748,172 | ||||||
|
| |||||||
8,195,445 | ||||||||
|
| |||||||
Austria – 0.1% | ||||||||
698 | ams AG (Semiconductors & Semiconductor Equipment)* | 28,337 | ||||||
521 | BAWAG Group AG (Banks)(a) | 23,548 | ||||||
|
| |||||||
51,885 | ||||||||
|
| |||||||
Belgium – 1.0% | ||||||||
488 | Ageas (Insurance) | 28,857 | ||||||
2,860 | Galapagos NV (Pharmaceuticals, Biotechnology & Life Sciences)* | 595,588 | ||||||
3,804 | UCB SA (Pharmaceuticals, Biotechnology & Life Sciences) | 302,702 | ||||||
|
| |||||||
927,147 | ||||||||
|
| |||||||
Cambodia – 0.2% | ||||||||
86,000 | NagaCorp Ltd. (Consumer Services) | 150,198 | ||||||
|
| |||||||
China – 0.5% | ||||||||
29,000 | CITIC Telecom International Holdings Ltd. (Telecommunication Services) | 10,570 | ||||||
84,000 | Tingyi Cayman Islands Holding Corp. (Food, Beverage & Tobacco) | 143,366 | ||||||
483,000 | Towngas China Co. Ltd. (Utilities)* | 334,584 | ||||||
|
| |||||||
488,520 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Denmark – 1.9% | ||||||||
175 | Carlsberg A/S Class B (Food, Beverage & Tobacco) | 26,116 | ||||||
9,283 | GN Store Nord A/S (Health Care Equipment & Services) | 436,679 | ||||||
14,957 | Novo Nordisk A/S Class B (Pharmaceuticals, Biotechnology & Life Sciences) | 866,741 | ||||||
1,034 | Orsted A/S (Utilities)(a) | 106,941 | ||||||
3,406 | Vestas Wind Systems A/S (Capital Goods) | 344,028 | ||||||
|
| |||||||
1,780,505 | ||||||||
|
| |||||||
Finland – 0.8% | ||||||||
4,444 | Neste OYJ (Energy) | 154,630 | ||||||
14,753 | UPM-Kymmene OYJ (Materials) | 511,848 | ||||||
2,390 | Valmet OYJ (Capital Goods) | 57,312 | ||||||
|
| |||||||
723,790 | ||||||||
|
| |||||||
France – 11.1% | ||||||||
6,106 | Air Liquide SA (Materials) | 865,653 | ||||||
4,381 | Airbus SE (Capital Goods) | 642,979 | ||||||
2,241 | Alstom SA (Capital Goods) | 106,490 | ||||||
3,458 | Arkema SA (Materials) | 369,755 | ||||||
17,898 | BNP Paribas SA (Banks) | 1,063,823 | ||||||
5,628 | Capgemini SE (Software & Services) | 688,332 | ||||||
628 | Christian Dior SE (Consumer Durables & Apparel) | 322,787 | ||||||
8,385 | Coface SA (Insurance) | 103,178 | ||||||
5,937 | Eiffage SA (Capital Goods) | 681,133 | ||||||
1,442 | Kering SA (Consumer Durables & Apparel) | 950,156 | ||||||
8,545 | Legrand SA (Capital Goods) | 697,818 | ||||||
3,665 | Publicis Groupe SA (Media & Entertainment) | 166,176 | ||||||
6,619 | Safran SA (Capital Goods) | 1,022,367 | ||||||
1,186 | Sartorius Stedim Biotech (Pharmaceuticals, Biotechnology & Life Sciences) | 196,861 | ||||||
10,941 | Schneider Electric SE (Capital Goods) | 1,124,075 | ||||||
13,206 | SCOR SE (Insurance) | 555,918 | ||||||
12,094 | TOTAL SA (Energy) | 671,102 | ||||||
|
| |||||||
10,228,603 | ||||||||
|
| |||||||
Germany – 6.0% | ||||||||
723 | Brenntag AG (Capital Goods) | 39,228 | ||||||
3,190 | CANCOM SE (Software & Services) | 187,454 | ||||||
11,026 | Covestro AG (Materials)(a) | 513,041 | ||||||
2,319 | Deutsche Boerse AG (Diversified Financials) | 363,648 | ||||||
28,423 | Deutsche Lufthansa AG (Registered) (Transportation) | 523,185 | ||||||
10,387 | Deutsche Post AG (Registered) (Transportation) | 394,957 | ||||||
3,914 | Fresenius Medical Care AG & Co. KGaA (Health Care Equipment & Services) | 288,179 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 7 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Schedule of Investments(continued)
December 31, 2019
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Germany – (continued) | ||||||||
8,067 | HeidelbergCement AG (Materials) | $ | 586,188 | |||||
3,378 | Merck KGaA (Pharmaceuticals, Biotechnology & Life Sciences) | 398,245 | ||||||
1,660 | MTU Aero Engines AG (Capital Goods) | 472,977 | ||||||
2,858 | Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (Registered) (Insurance) | 843,376 | ||||||
3,648 | Nemetschek SE (Software & Services) | 240,325 | ||||||
688 | Porsche Automobil Holding SE (Preference) (Automobiles & Components)(b) | 51,048 | ||||||
360 | Siemens AG (Registered) (Capital Goods) | 47,013 | ||||||
5,182 | Siltronic AG (Semiconductors & Semiconductor Equipment) | 520,650 | ||||||
1,466 | Software AG (Software��& Services) | 51,042 | ||||||
|
| |||||||
5,520,556 | ||||||||
|
| |||||||
Hong Kong – 2.7% | ||||||||
130,000 | AIA Group Ltd. (Insurance) | 1,367,336 | ||||||
44,000 | CK Asset Holdings Ltd. (Real Estate) | 317,514 | ||||||
1,000 | CLP Holdings Ltd. (Utilities) | 10,497 | ||||||
70,000 | Swire Pacific Ltd. Class B (Real Estate) | 104,798 | ||||||
567,500 | WH Group Ltd. (Food, Beverage & Tobacco)(a) | 586,780 | ||||||
41,000 | Yue Yuen Industrial Holdings Ltd. (Consumer Durables & Apparel) | 121,003 | ||||||
|
| |||||||
2,507,928 | ||||||||
|
| |||||||
Italy – 2.4% | ||||||||
13,773 | Azimut Holding SpA (Diversified Financials) | 329,090 | ||||||
1,742 | Banca Generali SpA (Diversified Financials) | 56,630 | ||||||
5,394 | Banca Mediolanum SpA (Diversified Financials) | 53,601 | ||||||
28,323 | Enel SpA (Utilities) | 224,993 | ||||||
307,786 | Intesa Sanpaolo SpA (Banks) | 810,767 | ||||||
40,704 | Iren SpA (Utilities) | 126,107 | ||||||
51,174 | Mediobanca Banca di Credito Finanziario SpA (Banks) | 563,453 | ||||||
2,045 | Poste Italiane SpA (Insurance)(a) | 23,237 | ||||||
|
| |||||||
2,187,878 | ||||||||
|
| |||||||
Japan – 26.8% | ||||||||
4,200 | AGC, Inc. (Capital Goods) | 150,183 | ||||||
1,500 | Aisin Seiki Co. Ltd. (Automobiles & Components) | 55,560 | ||||||
43,200 | Astellas Pharma, Inc. (Pharmaceuticals, Biotechnology & Life Sciences) | 737,423 | ||||||
2,200 | Benesse Holdings, Inc. (Consumer Services) | 57,826 | ||||||
13,000 | Chubu Electric Power Co., Inc. (Utilities) | 183,766 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
4,300 | Cleanup Corp. (Consumer Durables & Apparel) | 28,095 | ||||||
20,900 | Dai Nippon Printing Co. Ltd. (Commercial & Professional Services) | 565,294 | ||||||
20,500 | Daiwa House Industry Co. Ltd. (Real Estate) | 634,616 | ||||||
28,500 | DeNA Co. Ltd. (Media & Entertainment) | 459,341 | ||||||
2,900 | Eisai Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 216,995 | ||||||
2,100 | ESCRIT, Inc. (Consumer Services) | 15,025 | ||||||
4,000 | FamilyMart Co. Ltd. (Food & Staples Retailing) | 95,799 | ||||||
2,700 | FJ Next Co. Ltd. (Consumer Durables & Apparel) | 28,430 | ||||||
11,400 | FUJIFILM Holdings Corp. (Technology Hardware & Equipment) | 544,417 | ||||||
8,800 | Fujitsu Ltd. (Software & Services) | 827,691 | ||||||
2,200 | Furyu Corp. (Consumer Durables & Apparel) | 21,652 | ||||||
1,200 | Hitachi High-Technologies Corp. (Technology Hardware & Equipment) | 84,983 | ||||||
7,400 | Hoya Corp. (Health Care Equipment & Services) | 706,419 | ||||||
11,900 | Ibiden Co. Ltd. (Technology Hardware & Equipment) | 283,312 | ||||||
2,400 | IDEA Consultants, Inc. (Commercial & Professional Services) | 66,894 | ||||||
16,800 | Idemitsu Kosan Co. Ltd. (Energy) | 464,213 | ||||||
1,000 | ISB Corp. (Software & Services) | 18,406 | ||||||
4,200 | Japan Aviation Electronics Industry Ltd. (Technology Hardware & Equipment) | 84,734 | ||||||
32,900 | JXTG Holdings, Inc. (Energy) | 149,319 | ||||||
8,600 | Kao Corp. (Household & Personal Products) | 709,286 | ||||||
2,800 | KDDI Corp. (Telecommunication Services) | 83,542 | ||||||
700 | Kirindo Holdings Co. Ltd. (Food & Staples Retailing) | 13,788 | ||||||
500 | Kobayashi Pharmaceutical Co. Ltd. (Household & Personal Products) | 42,351 | ||||||
12,300 | Konami Holdings Corp. (Media & Entertainment) | 505,438 | ||||||
5,500 | K’s Holdings Corp. (Retailing) | 71,907 | ||||||
400 | Kureha Corp. (Materials) | 24,019 | ||||||
32,300 | LIXIL Group Corp. (Capital Goods) | 557,397 | ||||||
4,600 | Mamezou Holdings Co. Ltd. (Software & Services) | 62,142 | ||||||
4,600 | Matsumotokiyoshi Holdings Co. Ltd. (Food & Staples Retailing) | 178,089 | ||||||
51,400 | Mazda Motor Corp. (Automobiles & Components) | 438,002 | ||||||
13,700 | Mitsubishi Materials Corp. (Materials) | 371,814 | ||||||
|
|
8 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
130,700 | Mitsubishi UFJ Financial Group, Inc. (Banks) | $ | 706,608 | |||||
507,000 | Mizuho Financial Group, Inc. (Banks) | 780,993 | ||||||
4,300 | NEC Networks & System Integration Corp. (Software & Services) | 152,298 | ||||||
3,900 | NET One Systems Co. Ltd. (Software & Services) | 99,575 | ||||||
3,900 | Nexon Co. Ltd. (Media & Entertainment)* | 51,735 | ||||||
15,200 | NGK Insulators Ltd. (Capital Goods) | 264,420 | ||||||
1,500 | Nihon Unisys Ltd. (Software & Services) | 47,054 | ||||||
34,700 | Nikon Corp. (Consumer Durables & Apparel) | 424,369 | ||||||
14,400 | Nippon Telegraph & Telephone Corp. (Telecommunication Services) | 363,941 | ||||||
31,900 | Nippon Yusen KK (Transportation) | 574,955 | ||||||
1,700 | Nitto Denko Corp. (Materials) | 95,587 | ||||||
25,800 | Nomura Research Institute Ltd. (Software & Services) | 551,760 | ||||||
1,000 | NS Solutions Corp. (Software & Services) | 32,859 | ||||||
44,500 | NTT Data Corp. (Software & Services) | 595,142 | ||||||
500 | OBIC Business Consultants Co. Ltd. (Software & Services) | 23,507 | ||||||
4,100 | Okinawa Electric Power Co., Inc. (The) (Utilities) | 76,937 | ||||||
39,300 | Olympus Corp. (Health Care Equipment & Services) | 605,719 | ||||||
7,600 | Ono Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 173,510 | ||||||
7,900 | ORIX Corp. (Diversified Financials) | 130,914 | ||||||
11,200 | Otsuka Holdings Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 499,232 | ||||||
2,700 | PC Depot Corp. (Retailing) | 13,697 | ||||||
500 | PCA Corp. (Software & Services) | 23,396 | ||||||
1,400 | Sankyo Co. Ltd. (Consumer Durables & Apparel) | 46,498 | ||||||
2,000 | Santen Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 38,086 | ||||||
2,100 | SCREEN Holdings Co. Ltd. (Semiconductors & Semiconductor Equipment) | 143,218 | ||||||
7,500 | Secom Co. Ltd. (Commercial & Professional Services) | 669,321 | ||||||
44,200 | Sega Sammy Holdings, Inc. (Consumer Durables & Apparel) | 640,000 | ||||||
29,100 | Sekisui Chemical Co. Ltd. (Consumer Durables & Apparel) | 504,882 | ||||||
27,900 | Sekisui House Ltd. (Consumer Durables & Apparel) | 595,801 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
11,100 | Shionogi & Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 686,663 | ||||||
4,700 | Softbank Corp. (Telecommunication Services) | 63,025 | ||||||
4,600 | SoftBank Group Corp. (Telecommunication Services) | 199,718 | ||||||
14,900 | Sony Corp. (Consumer Durables & Apparel) | 1,011,676 | ||||||
9,900 | Subaru Corp. (Automobiles & Components) | 245,221 | ||||||
1,200 | Sugi Holdings Co. Ltd. (Food & Staples Retailing) | 63,306 | ||||||
13,200 | Sumitomo Dainippon Pharma Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 255,752 | ||||||
300 | Sumitomo Realty & Development Co. Ltd. (Real Estate) | 10,467 | ||||||
14,200 | Sundrug Co. Ltd. (Food & Staples Retailing) | 513,784 | ||||||
4,600 | Taiyo Yuden Co. Ltd. (Technology Hardware & Equipment) | 140,311 | ||||||
1,600 | Take And Give Needs Co. Ltd. (Consumer Services) | 18,238 | ||||||
6,300 | TDK Corp. (Technology Hardware & Equipment) | 707,989 | ||||||
11,700 | TIS, Inc. (Software & Services) | 691,623 | ||||||
900 | TKC Corp. (Software & Services) | 42,838 | ||||||
800 | Tokyo Electron Ltd. (Semiconductors & Semiconductor Equipment) | 174,664 | ||||||
30,000 | Toppan Printing Co. Ltd. (Commercial & Professional Services) | 619,747 | ||||||
9,700 | Toshiba Corp. (Capital Goods) | 329,235 | ||||||
800 | Toyota Motor Corp. (Automobiles & Components) | 56,369 | ||||||
2,300 | Vision, Inc. (Telecommunication Services)* | 38,146 | ||||||
1,500 | Welcia Holdings Co. Ltd. (Food & Staples Retailing) | 95,294 | ||||||
53,500 | Yamada Denki Co. Ltd. (Retailing) | 283,873 | ||||||
8,600 | Z Holdings Corp. (Media & Entertainment) | 36,310 | ||||||
3,200 | Zuken, Inc. (Software & Services) | 72,826 | ||||||
|
| |||||||
24,821,257 | ||||||||
|
| |||||||
Netherlands – 5.6% | ||||||||
7,300 | Akzo Nobel NV (Materials) | 745,505 | ||||||
1,251 | ASM International NV (Semiconductors & Semiconductor Equipment) | 141,203 | ||||||
8,145 | ASR Nederland NV (Insurance) | 305,238 | ||||||
4,132 | BE Semiconductor Industries NV (Semiconductors & Semiconductor Equipment) | 160,417 | ||||||
1,757 | Euronext NV (Diversified Financials)(a) | 143,617 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Schedule of Investments(continued)
December 31, 2019
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Netherlands – (continued) | ||||||||
5,419 | Koninklijke Ahold Delhaize NV (Food & Staples Retailing) | $ | 135,867 | |||||
15,696 | NN Group NV (Insurance) | 596,806 | ||||||
2,398 | NXP Semiconductors NV (Semiconductors & Semiconductor Equipment) | 305,170 | ||||||
2,054 | Randstad NV (Commercial & Professional Services) | 125,859 | ||||||
25,109 | Royal Dutch Shell plc Class A (Energy) | 740,337 | ||||||
8,720 | Royal Dutch Shell plc Class B (Energy) | 258,842 | ||||||
6,494 | Royal Dutch Shell plc Class B ADR (Energy) | 389,445 | ||||||
11,862 | Signify NV (Capital Goods)(a) | 371,266 | ||||||
10,601 | Wolters Kluwer NV (Commercial & Professional Services) | 774,038 | ||||||
|
| |||||||
5,193,610 | ||||||||
|
| |||||||
Norway – 1.2% | ||||||||
37,640 | DNB ASA (Banks) | 704,354 | ||||||
8,234 | Orkla ASA (Food, Beverage & Tobacco) | 83,499 | ||||||
6,631 | Salmar ASA (Food, Beverage & Tobacco) | 339,814 | ||||||
977 | Schibsted ASA Class A (Media & Entertainment) | 29,559 | ||||||
|
| |||||||
1,157,226 | ||||||||
|
| |||||||
Singapore – 0.5% | ||||||||
7,200 | DBS Group Holdings Ltd. (Banks) | 138,825 | ||||||
92,500 | Wilmar International Ltd. (Food, Beverage & Tobacco) | 283,392 | ||||||
|
| |||||||
422,217 | ||||||||
|
| |||||||
Spain – 2.0% | ||||||||
8,242 | ACS Actividades de Construccion y Servicios SA (Capital Goods) | 330,621 | ||||||
43,760 | Banco Santander SA (Banks) | 183,475 | ||||||
20,530 | Iberdrola SA (Utilities) | 211,573 | ||||||
38,265 | Merlin Properties Socimi SA (REIT) | 549,996 | ||||||
88,180 | Telefonica SA (Telecommunication Services) | 616,652 | ||||||
|
| |||||||
1,892,317 | ||||||||
|
| |||||||
Sweden – 2.8% | ||||||||
22,932 | Boliden AB (Materials)* | 609,044 | ||||||
13,297 | Essity AB Class B (Household & Personal Products) | 428,246 | ||||||
19,190 | Sandvik AB (Capital Goods) | 373,771 | ||||||
3,649 | SKF AB Class B (Capital Goods) | 73,879 | ||||||
13,171 | Swedish Match AB (Food, Beverage & Tobacco) | 678,527 | ||||||
27,656 | Volvo AB Class B (Capital Goods) | 462,994 | ||||||
|
| |||||||
2,626,461 | ||||||||
|
| |||||||
Switzerland – 11.2% | ||||||||
9,809 | Adecco Group AG (Registered) (Commercial & Professional Services) | 620,147 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Switzerland – (continued) | ||||||||
2,902 | Baloise Holding AG (Registered) (Insurance) | 525,220 | ||||||
409 | Flughafen Zurich AG (Registered) (Transportation) | 74,655 | ||||||
14,301 | LafargeHolcim Ltd. (Registered) (Materials)* | 793,383 | ||||||
1,522 | Lonza Group AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences)* | 555,237 | ||||||
9,274 | Nestle SA (Registered) (Food, Beverage & Tobacco) | 1,004,052 | ||||||
18,899 | Novartis AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | 1,789,539 | ||||||
6,705 | Roche Holding AG (Pharmaceuticals, Biotechnology & Life Sciences) | 2,179,144 | ||||||
2,849 | Sonova Holding AG (Registered) (Health Care Equipment & Services) | 651,306 | ||||||
1,279 | Swiss Life Holding AG (Registered) (Insurance) | 641,636 | ||||||
6,842 | Swiss Re AG (Insurance) | 768,648 | ||||||
150 | Tecan Group AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | 42,142 | ||||||
57,475 | UBS Group AG (Registered) (Diversified Financials)* | 725,299 | ||||||
|
| |||||||
10,370,408 | ||||||||
|
| |||||||
United Kingdom – 11.3% | ||||||||
50,984 | 3i Group plc (Diversified Financials) | 741,905 | ||||||
128,122 | Aviva plc (Insurance) | 711,147 | ||||||
46,769 | Barratt Developments plc (Consumer Durables & Apparel) | 463,080 | ||||||
82,041 | BT Group plc (Telecommunication Services) | 209,056 | ||||||
3,000 | CK Hutchison Holdings Ltd. (Capital Goods) | 28,606 | ||||||
27,593 | Diageo plc (Food, Beverage & Tobacco) | 1,162,678 | ||||||
131,915 | Direct Line Insurance Group plc (Insurance) | 545,805 | ||||||
27,034 | Experian plc (Commercial & Professional Services) | 916,439 | ||||||
48,045 | Fiat Chrysler Automobiles NV (Automobiles & Components) | 712,341 | ||||||
7,184 | Great Portland Estates plc (REIT) | 81,837 | ||||||
11,697 | HSBC Holdings plc (Banks) | 91,569 | ||||||
19,739 | Imperial Brands plc (Food, Beverage & Tobacco) | 488,349 | ||||||
9,641 | Inchcape plc (Retailing) | 90,160 | ||||||
64,772 | International Consolidated Airlines Group SA (Transportation) | 535,935 | ||||||
161,216 | Legal & General Group plc (Insurance) | 647,614 | ||||||
79,282 | Lloyds Banking Group plc (Banks) | 65,679 | ||||||
|
|
10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
United Kingdom – (continued) | ||||||||
431 | London Stock Exchange Group plc (Diversified Financials) | $ | 44,295 | |||||
12,352 | National Grid plc (Utilities) | 154,365 | ||||||
13,834 | Persimmon plc (Consumer Durables & Apparel) | 494,138 | ||||||
33,462 | Prudential plc (Insurance) | 641,153 | ||||||
27,818 | Smith & Nephew plc (Health Care Equipment & Services) | 670,434 | ||||||
7,323 | SSE plc (Utilities) | 139,666 | ||||||
195,783 | Taylor Wimpey plc (Consumer Durables & Apparel) | 502,002 | ||||||
6,199 | Unilever plc ADR (Household & Personal Products) | 354,397 | ||||||
|
| |||||||
10,492,650 | ||||||||
|
| |||||||
United States – 0.8% | ||||||||
5,652 | Carnival plc ADR (Consumer Services) | 272,200 | ||||||
5,620 | Ferguson plc (Capital Goods) | 511,459 | ||||||
|
| |||||||
783,659 | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 97.8% | ||||||||
(Cost $84,498,311) | $ | 90,522,260 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF | 1,994,283 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 92,516,543 | ||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | Exempt from registration under Rule 144A of the Securities Act of 1933. | |
(b) | Preference Shares are a special type of equity investment that shares in the earnings of the company, has limited voting rights, and receives a greater dividend than applicable Common Shares. |
Investment Abbreviations: | ||
ADR | —American Depositary Receipt | |
REIT | —Real Estate Investment Trust |
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS — At December 31, 2019, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||
Long position contracts: |
| |||||||||||||
EURO STOXX 50 Index | 20 | 03/20/2020 | $ | 836,564 | $ | (7,478 | ) | |||||||
FTSE 100 Index | 3 | 03/20/2020 | 297,995 | 375 | ||||||||||
MSCI Singapore Index | 1 | 01/30/2020 | 27,622 | (151 | ) | |||||||||
SPI 200 Index | 1 | 03/19/2020 | 115,841 | (2,630 | ) | |||||||||
TOPIX Index | 3 | 03/12/2020 | 475,174 | 1,034 | ||||||||||
Total Futures Contracts | $ | (8,850 | ) |
The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Statement of Assets and Liabilities
December 31, 2019
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $84,498,311) | $ | 90,522,260 | ||
Cash | 818,435 | |||
Foreign currencies, at value (cost $872,655) | 900,004 | |||
Receivables: | ||||
Foreign tax reclaims | 428,921 | |||
Collateral on certain derivative contracts | 91,360 | |||
Dividends | 37,236 | |||
Securities lending income | 2,571 | |||
Fund shares sold | 1,781 | |||
Total assets | 92,802,568 | |||
Liabilities: | ||||
Variation margin on futures | 3,802 | |||
Payables: | ||||
Management fees | 72,776 | |||
Distribution and Service fees and Transfer Agency fees | 11,863 | |||
Fund shares redeemed | 5,640 | |||
Accrued expenses | 191,944 | |||
Total liabilities | 286,025 | |||
Net Assets: | ||||
Paid-in capital | 94,025,339 | |||
Total distributable earnings (loss) | (1,508,796 | ) | ||
NET ASSETS | $ | 92,516,543 | ||
Net Assets: | ||||
Institutional | $ | 43,632,265 | ||
Service | 48,884,278 | |||
Total Net Assets | $ | 92,516,543 | ||
Shares outstanding $0.001 par value (unlimited shares authorized): | ||||
Institutional | 5,325,402 | |||
Service | 5,940,148 | |||
Net asset value, offering and redemption price per share: | ||||
Institutional | $8.19 | |||
Service | 8.23 |
12 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Statement of Operations
For the Fiscal Year Ended December 31, 2019
Investment income: | ||||
Dividends — unaffiliated issuers (net of foreign taxes withheld of $266,661) | $ | 2,656,494 | ||
Securities lending income — affiliated issuer | 11,897 | |||
Dividends — affiliated issuers | 876 | |||
Total investment income | 2,669,267 | |||
Expenses: | ||||
Management fees | 710,254 | |||
Professional fees | 129,732 | |||
Custody, accounting and administrative services | 135,917 | |||
Distribution and Service fees — Service Shares | 116,609 | |||
Printing and mailing costs | 88,063 | |||
Shareholder meeting expense | 25,516 | |||
Transfer Agency fees(a) | 17,536 | |||
Trustee fees | 15,973 | |||
Registration fees | 555 | |||
Other | 20,858 | |||
Total expenses | 1,261,013 | |||
Less — expense reductions | (353,996 | ) | ||
Net expenses | 907,017 | |||
NET INVESTMENT INCOME | 1,762,250 | |||
Realized and unrealized gain (loss): | ||||
Net realized gain (loss) from: | ||||
Investments — unaffiliated issuers | (5,423,910 | ) | ||
Futures contracts | 307,651 | |||
Foreign currency transactions | (41,810 | ) | ||
Net change in unrealized gain on: | ||||
Investments — unaffiliated issuers | 17,651,914 | |||
Futures contracts | 27,684 | |||
Foreign currency translation | 46,461 | |||
Net realized and unrealized gain | 12,567,990 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 14,330,240 |
(a) Institutional and Service Shares incurred Transfer Agency fees of $8,208 and $9,328, respectively.
The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Statements of Changes in Net Assets
For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||
From operations: | ||||||||
Net investment income | $ | 1,762,250 | $ | 1,622,663 | ||||
Net realized gain (loss) | (5,158,069 | ) | 19,596,686 | |||||
Net change in unrealized gain (loss) | 17,726,059 | (37,795,771 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 14,330,240 | (16,576,422 | ) | |||||
Distributions to shareholders: | ||||||||
From distributable earnings: | ||||||||
Institutional Shares | (1,025,867 | ) | (8,500,382 | ) | ||||
Service Shares | (1,031,832 | ) | (9,678,544 | ) | ||||
Total distributions to shareholders | (2,057,699 | ) | (18,178,926 | ) | ||||
From share transactions: | ||||||||
Proceeds from sales of shares | 16,601,906 | 12,142,507 | ||||||
Reinvestment of distributions | 2,057,699 | 18,178,926 | ||||||
Cost of shares redeemed | (20,167,663 | ) | (79,104,015 | ) | ||||
Net decrease in net assets resulting from share transactions | (1,508,058 | ) | (48,782,582 | ) | ||||
TOTAL INCREASE (DECREASE) | 10,764,483 | (83,537,930 | ) | |||||
Net Assets: | ||||||||
Beginning of year | 81,752,060 | 165,289,990 | ||||||
End of year | $ | 92,516,543 | $ | 81,752,060 |
14 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
Goldman Sachs International Equity Insights Fund | ||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of year | $ | 7.08 | $ | 10.88 | $ | 8.75 | $ | 9.19 | $ | 9.26 | ||||||||||
Net investment income(a) | 0.17 | 0.19 | 0.17 | 0.17 | (b) | 0.14 | (c) | |||||||||||||
Net realized and unrealized gain (loss) | 1.14 | (1.94 | ) | 2.16 | (0.42 | ) | (0.04 | ) | ||||||||||||
Total from investment operations | 1.31 | (1.75 | ) | 2.33 | (0.25 | ) | 0.10 | |||||||||||||
Distributions to shareholders from net investment income | (0.20 | ) | (0.21 | ) | (0.20 | ) | (0.19 | ) | (0.17 | ) | ||||||||||
Distributions to shareholders from net realized gains | — | (d) | (1.84 | ) | — | — | — | |||||||||||||
Total distributions | (0.20 | ) | (2.05 | ) | (0.20 | ) | (0.19 | ) | (0.17 | ) | ||||||||||
Net asset value, end of year | $ | 8.19 | $ | 7.08 | $ | 10.88 | $ | 8.75 | $ | 9.19 | ||||||||||
Total return(e) | 18.45 | % | (16.28 | )% | 26.60 | % | (2.72 | )% | 1.05 | % | ||||||||||
Net assets, end of year (in 000s) | $ | 43,632 | $ | 37,829 | $ | 41,512 | $ | 37,061 | $ | 41,737 | ||||||||||
Ratio of net expenses to average net assets | 0.90 | % | 0.87 | % | 0.87 | % | 0.89 | % | 0.89 | % | ||||||||||
Ratio of total expenses to average net assets | 1.31 | % | 1.23 | % | 1.02 | % | 1.06 | % | 1.06 | % | ||||||||||
Ratio of net investment income to average net assets | 2.14 | % | 1.79 | % | 1.69 | % | 1.94 | %(b) | 1.42 | %(c) | ||||||||||
Portfolio turnover rate(f) | 146 | % | 156 | % | 23 | % | 39 | % | 58 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Reflects income recognized from corporate actions which amounted to $0.03 per share and 0.36% of average net assets. |
(c) | Reflects income recognized from a corporate action which amounted to $0.02 per share and 0.17% of average net assets. |
(d) | Amount is less than $0.005 per share. |
(e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
(f) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 15 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
Goldman Sachs International Equity Insights Fund | ||||||||||||||||||||
Service Shares | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of year | $ | 7.11 | $ | 10.91 | $ | 8.78 | $ | 9.21 | $ | 9.28 | ||||||||||
Net investment income(a) | 0.15 | 0.14 | 0.14 | 0.15 | (b) | 0.12 | (c) | |||||||||||||
Net realized and unrealized gain (loss) | 1.15 | (1.93 | ) | 2.16 | (0.42 | ) | (0.05 | ) | ||||||||||||
Total from investment operations | 1.30 | (1.79 | ) | 2.30 | (0.27 | ) | 0.07 | |||||||||||||
Distributions to shareholders from net investment income | (0.18 | ) | (0.17 | ) | (0.17 | ) | (0.16 | ) | (0.14 | ) | ||||||||||
Distributions to shareholders from net realized gains | — | (d) | (1.84 | ) | — | — | — | |||||||||||||
Total distributions | (0.18 | ) | (2.01 | ) | (0.17 | ) | (0.16 | ) | (0.14 | ) | ||||||||||
Net asset value, end of year | $ | 8.23 | $ | 7.11 | $ | 10.91 | $ | 8.78 | $ | 9.21 | ||||||||||
Total return(e) | 18.23 | % | (16.55 | )% | 26.21 | % | (2.86 | )% | 0.77 | % | ||||||||||
Net assets, end of year (in 000s) | $ | 48,884 | $ | 43,923 | $ | 123,778 | $ | 105,362 | $ | 116,811 | ||||||||||
Ratio of net expenses to average net assets | 1.15 | % | 1.12 | % | 1.12 | % | 1.14 | % | 1.14 | % | ||||||||||
Ratio of total expenses to average net assets | 1.55 | % | 1.43 | % | 1.27 | % | 1.31 | % | 1.31 | % | ||||||||||
Ratio of net investment income to average net assets | 1.89 | % | 1.30 | % | 1.44 | % | 1.68 | %(b) | 1.18 | %(c) | ||||||||||
Portfolio turnover rate(f) | 146 | % | 156 | % | 23 | % | 39 | % | 58 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Reflects income recognized from corporate actions which amounted to $0.03 per share and 0.36% of average net assets. |
(c) | Reflects income recognized from a corporate action which amounted to $0.02 per share and 0.17% of average net assets. |
(d) | Amount is less than $0.005 per share. |
(e) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
(f) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
16 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Notes to Financial Statements
December 31, 2019
1. ORGANIZATION
Goldman Sachs Variable Insurance Trust (the “Trust” or “VIT”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as anopen-end management investment company. The Trust includes the Goldman Sachs International Equity Insights Fund (the “Fund”). The Fund is a diversified portfolio under the Act offering two classes of shares — Institutional and Service Shares. Shares of the Trust are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (“Goldman Sachs”), serves as investment adviser to the Fund pursuant to a management agreement (the “Agreement”) with the Trust.
2. SIGNIFICANT ACCOUNTING POLICIES
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. The Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.
A. Investment Valuation — The Fund’s valuation policy is to value investments at fair value.
B. Investment Income and Investments — Investment income includes interest income, dividend income, and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized onex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to theex-dividend date.Non-cash dividends, if any, are recorded at the fair market value of the securities received. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Investment income is recorded net of any foreign withholding taxes, less any amounts reclaimable. The Fund may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments.
For derivative contracts, realized gains and losses are recorded upon settlement of the contract.
C. Class Allocations and Expenses —Investment income, realized and unrealized gain (loss), if any, andnon-class specific expenses of the Fund are allocated daily based upon the proportion of net assets of each class.Non-class specific expenses directly incurred by the Fund are charged to the Fund, while such expenses incurred by the Trust are allocated across the Fund on a straight-line and/orpro-rata basis depending upon the nature of the expenses. Class-specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service and Transfer Agency fees.
D. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on theex-dividend date. Income and capital gains distributions, if any, are declared and paid at least annually.
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the Fund’s distributions may be shown in the accompanying financial statements as either from distributable earnings or capital. Certain components of the Fund’s net assets on the Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
E. Foreign Currency Translation — The accounting records and reporting currency of the Fund are maintained in United States (“U.S.”) dollars. Assets and liabilities denominated in foreign currencies are translated into U.S. dollars using the current exchange
17
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Notes to Financial Statements(continued)
December 31, 2019
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
rates at the close of each business day. The effect of changes in foreign currency exchange rates on investments is included within net realized and unrealized gain (loss) on investments. Changes in the value of other assets and liabilities as a result of fluctuations in foreign exchange rates are included in the Statement of Operations within net change in unrealized gain (loss) on foreign currency translation. Transactions denominated in foreign currencies are translated into U.S. dollars on the date the transaction occurred, the effects of which are included within net realized gain (loss) on foreign currency transactions.
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS
U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Fund’s policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Fund, including investments for which market quotations are not readily available. The Trustees have delegated to GSAMday-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Fund’s investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments —The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a U.S. securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities may be valued at the closing bid price for long positions and at the closing ask price for short positions. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price for long positions or the last ask price for short positions, and are generally classified as Level 2. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under Valuation Procedures approved by the Trustees and consistent with applicable regulatory guidance. The independent fair value service takes into account multiple factors including, but not limited to, movements in the securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.
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GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
Money Market Funds — Investments in the Goldman Sachs Financial Square Government Fund (“Underlying Fund”) are valued at the NAV per share of the Institutional Share class on the day of valuation. These investments are generally classified as Level 1 of the fair value hierarchy. For information regarding the Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. The Fund enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers. For financial reporting purposes, cash collateral that has been pledged to cover obligations of a Fund and cash collateral received, if any, is reported separately on the Statement of Assets and Liabilities as receivables/payables for collateral on certain derivatives contracts.Non-cash collateral pledged by the Fund, if any, is noted in the Schedule of Investments.
Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence oftwo-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy.Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security. Upon entering into a futures contract, the Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by the Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Fund’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Fund’s NAV. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.
19
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Notes to Financial Statements(continued)
December 31, 2019
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
C. Fair Value Hierarchy — The following is a summary of the Fund’s investments and derivatives classified in the fair value hierarchy as of December 31, 2019:
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Asia | $ | — | $ | 28,390,120 | $ | — | ||||||
Australia and Oceania | 515,423 | 7,680,022 | — | |||||||||
Europe | 1,049,012 | 52,104,024 | — | |||||||||
North America | 272,200 | 511,459 | — | |||||||||
Total | $ | 1,836,635 | $ | 88,685,625 | $ | — | ||||||
Derivative Type | ||||||||||||
Assets(b) | ||||||||||||
Futures Contracts | $ | 1,409 | $ | — | $ | — | ||||||
Liabilities(b) | ||||||||||||
Futures Contracts | $ | (10,259 | ) | $ | — | $ | — |
(a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of NAV. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. The Fund utilizes fair value model prices provided by an independent fair value service for certain international equity securities, resulting in a Level 2 classification. |
(b) | Amount shown represents unrealized gain (loss) at fiscal year end. |
For further information regarding security characteristics, see the Schedule of Investments.
4. INVESTMENTS IN DERIVATIVES
The following table sets forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of December 31, 2019. These instruments were used as part of the Fund’s investment strategies and to obtain and/or manage exposure related to the risks below. The values in the table below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Fund’s net exposure.
Risk | Statement of Assets and Liabilities | Assets(a) | Statement of Assets and Liabilities | Liabilities(a) | ||||||||||
Equity | Variation margin on futures contracts | $ | 1,409 | Variation margin on futures contracts | $ | (10,259 | ) |
(a) | Includes unrealized gain (loss) on futures contracts described in the Additional Investment Information section of the Schedule of Investments. Only the variation margin as of December 31, 2019 is reported within the Statement of Assets and Liabilities. |
The following table sets forth, by certain risk types, the Fund’s gains (losses) related to these derivatives and their indicative volumes for the fiscal year ended December 31, 2019. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statement of Operations:
Risk | Statement of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||||
Equity | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | $ | 307,651 | $ | 27,684 | 23 |
(a) | Average number of contracts is based on the average of month end balances for the fiscal year ended December 31, 2019. |
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GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
5. AGREEMENTS AND AFFILIATED TRANSACTIONS
A. Management Agreement — Under the Agreement, GSAM manages the Fund, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Fund’s business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
For the fiscal year ended December 31, 2019, contractual and effective net management fees with GSAM were at the following rates:
Contractual Management Rate | Effective Net Rate^ | |||||||||||||||||||||||
First $1 billion | Next $1 billion | Next $3 billion | Next $3 billion | Over $8 billion | Effective Rate | |||||||||||||||||||
0.81% | 0.73 | % | 0.69 | % | 0.68 | % | 0.67 | % | 0.81 | % | 0.81 | % |
^ | Effective Net Management Rate includes the impact of management fee waivers of affiliated Underlying Funds, if any. |
The Fund invests in Institutional Shares of the Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Fund in an amount equal to the management fee it earns as an investment adviser to the affiliated Underlying Fund in which the Fund invests, except those management fees it earns from the Fund’s investments of cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund. For the fiscal year ended December 31, 2019, GSAM waived $71 of the Fund’s management fee.
B. Distribution and Service(12b-1) Plan — The Trust, on behalf of Service Shares of the Fund, has adopted a Distribution and Service Plan subject to Rule12b-1 under the Act. Under the Distribution and Service Plan, Goldman Sachs, which serves as distributor, is entitled to a fee accrued daily and paid monthly, for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers, equal to, on an annual basis, 0.25% of the Fund’s average daily net assets attributable to Service Shares.
C. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Fund for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at an annual rate of 0.02% of the average daily net assets of Institutional and Service Shares.
D. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or limit certain “Other Expenses” of the Fund (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of the Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Fund is not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitation as an annual percentage rate of average daily net assets for the Fund is 0.044%. The Other Expense limitation will remain in place through at least April 30, 2020, and prior to such date GSAM may not terminate the arrangement without the approval of the Trustees. In addition, the Fund has entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Fund’s expenses and are received irrespective of the application of the “Other Expense” limitation described above.
For the fiscal year ended December 31, 2019, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
Management Fee Waiver | Custody Fee Credits | Other Expense Reimbursement | Total Expense Reductions | |||||||||
$71 | $ | 1,425 | $ | 352,500 | $ | 353,996 |
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GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Notes to Financial Statements(continued)
December 31, 2019
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
E. Line of Credit Facility — As of December 31, 2019, the Fund participated in a $580,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the fiscal year ended December 31, 2019, the Fund did not have any borrowings under the facility. Prior to April 30, 2019 the facility was $770,000,000.
F. Other Transactions with Affiliates — For the fiscal year ended December 31, 2019, Goldman Sachs earned $6 in brokerage commissions from portfolio transactions. The following table provides information about the Fund’s investments in the Goldman Sachs Financial Square Government Fund as of and for the fiscal year ended December 31, 2019:
Beginning Value as of December 31, 2018 | Purchases at Cost | Proceeds from Sales | Ending Value as of December 31, 2019 | Shares as of December 31, 2019 | Dividend Income from Affiliated Investment Company | |||||||||||||||
$— | $ | 4,915,549 | $ | (4,915,549 | ) | $ | — | — | $ | 876 |
6. PORTFOLIO SECURITIES TRANSACTIONS
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended December 31, 2019, were $123,949,703 and $124,408,637, respectively.
7. SECURITIES LENDING
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and the terms and conditions contained therein, the Fund may lend its securities through a securities lending agent, Goldman Sachs Agency Lending (“GSAL”), a wholly-owned subsidiary of Goldman Sachs, to certain qualified borrowers including Goldman Sachs and affiliates. In accordance with the Fund’s securities lending procedures, the Fund receives cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities is determined at the close of business of the Fund, at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Fund on the next business day. As with other extensions of credit, the Fund may experience delay in the recovery of its securities or incur a loss should the borrower of the securities breach its agreement with the Fund or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Dividend income received from securities on loan may not be subject to withholding taxes and therefore withholding taxes paid may differ from the amounts listed in the Statement of Operations. Loans of securities are terminable at any time and as such 1) the remaining contractual maturities of the outstanding securities lending transactions are considered to be overnight and continuous and 2) the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
The Fund invests the cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund (“Government Money Market Fund”), an affiliated series of the Goldman Sachs Trust. The Government Money Market Fund is registered under the Act as an open end investment company, is subject to Rule2a-7 under the Act, and is managed by GSAM, for which GSAM may receive a management fee of up to 0.16% on an annualized basis of the average daily net assets of the Government Money Market Fund.
In the event of a default by a borrower with respect to any loan, GSAL will exercise any and all remedies provided under the applicable borrower agreement to make the Fund whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If GSAL is unable to purchase replacement securities, GSAL will indemnify the Fund by paying the Fund an amount equal to the market value of the securities
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GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
7. SECURITIES LENDING (continued)
loaned minus the value of cash collateral received from the borrower for the loan, subject to an exclusion for any shortfalls resulting from a loss of value in such cash collateral due to reinvestment risk. The Fund’s master netting agreements with certain borrowers provide the right, in the event of a default (including bankruptcy or insolvency), for thenon-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. However, in the event of a default by a borrower, a resolution authority could determine that such rights are not enforceable due to the restrictions or prohibitions against the right ofset-off that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws. The Fund’s loaned securities were all subject to enforceable Securities Lending Agreements and the value of the collateral was at least equal to the value of the cash received. The amounts of the Fund’s overnight and continuous agreements, which represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of December 31, 2019, are disclosed as “Payable upon return of securities loaned” on the Statement of Assets and Liabilities, where applicable.
Both the Fund and GSAL received compensation relating to the lending of the Fund’s securities. The amounts earned, if any, by the Fund for the fiscal year ended December 31, 2019, are reported under Investment Income on the Statement of Operations.
The table below details securities lending activity with affiliates of Goldman Sachs:
For the Fiscal Year ended December 31, 2019 | ||||
Earnings of GSAL Relating to Securities Loaned | Amount Received by the Fund from Lending to Goldman Sachs | Amount Payable to Goldman Sachs Upon Return of Securities Loaned as of December 31, 2019 | ||
$1,315 | $546 | $— |
The following table provides information about the Fund’s investment in the Government Money Market Fund for the fiscal year ended December 31, 2019:
Beginning Value as of | Purchases at Cost | Proceeds from Sales | Ending Value as of December 31, 2019 | |||||||||||
$ | 431,989 | $ | 4,993,556 | $ | (5,425,545 | ) | $ | — |
8. TAX INFORMATION
The tax character of distributions paid during the fiscal years ended December 31, 2018 and December 31, 2019 was as follows:
2018 | 2019 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 1,681,091 | $ | 2,054,816 | ||||
Net long-term capital gains | 16,497,835 | 2,883 | ||||||
Total taxable distributions | $ | 18,178,926 | $ | 2,057,699 |
23
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Notes to Financial Statements(continued)
December 31, 2019
8. TAX INFORMATION (continued)
As of December 31, 2019, the components of accumulated earnings (losses) on atax-basis were as follows:
Undistributed ordinary income — net | $ | 146,395 | ||
Capital loss carryforwards: | ||||
Perpetual long-term | $ | (1,372,409 | ) | |
Perpetual short-term | (5,825,984 | ) | ||
Total capital loss carryforwards | (7,198,393 | ) | ||
Timing differences (Post October Loss Deferral) | (104,307 | ) | ||
Unrealized gains — net | 5,647,509 | |||
Total accumulated losses — net | $ | (1,508,796 | ) |
As of December 31, 2019, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Tax cost | $ | 84,890,208 | ||
Gross unrealized gain | 8,181,111 | |||
Gross unrealized loss | (2,533,602 | ) | ||
Net unrealized gain | $ | 5,647,509 |
The difference between GAAP-basis andtax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains/(losses) on regulated futures contracts and differences in the tax treatment of passive foreign investment company investments.
GSAM has reviewed the Fund’s tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
9. OTHER RISKS
The Fund’s risks include, but are not limited to, the following:
Derivatives Risk — The Fund’s use of derivatives may result in loss. Derivative instruments, which may pose risks in addition to and greater than those associated with investing directly in securities, currencies or other instruments, may be illiquid or less liquid, volatile, difficult to price and leveraged so that small changes in the value of the underlying instruments may produce disproportionate losses to the Fund. Derivatives are also subject to counterparty risk, which is the risk that the other party in the transaction will not fulfill its contractual obligation. The use of derivatives is a highly specialized activity that involves investment techniques and risks different from those associated with investments in more traditional securities and instruments. Losses from derivatives can also result from a lack of correlation between changes in the value of derivative instruments and the portfolio assets (if any) being hedged.
Foreign and Emerging Countries Risk — Investing in foreign markets may involve special risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of more or less foreign government regulation, less public information and less economic, political and social stability in the countries in which the Fund invests. The imposition of exchange controls (including repatriation restrictions), confiscation of assets and property, trade restrictions (including tariffs) and other government restrictions by the U.S. or other governments, or from problems in share registration, settlement or custody, may also result in losses. Foreign risk also involves the risk of negative foreign currency rate
24
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
9. OTHER RISKS (continued)
fluctuations, which may cause the value of securities denominated in such foreign currency (or other instruments through which the Fund has exposure to foreign currencies) to decline in value. Currency exchange rates may fluctuate significantly over short periods of time. To the extent that the Fund also invests in securities of issuers located in emerging markets, these risks may be more pronounced.
Foreign Custody Risk — If the Fund invests in foreign securities, the Fund may hold such securities and cash with foreign banks, agents, and securities depositories appointed by the Fund’s custodian (each a “Foreign Custodian”). Some foreign custodians may be recently organized or new to the foreign custody business. In some countries, Foreign Custodians may be subject to little or no regulatory oversight over, or independent evaluation of, their operations. Further, the laws of certain countries may place limitations on the Fund’s ability to recover its assets if a Foreign Custodian enters bankruptcy. Investments in emerging markets may be subject to even greater custody risks than investments in more developed markets. Custody services in emerging market countries are very often undeveloped and may be considerably less well regulated than in more developed countries, and thus may not afford the same level of investor protection as would apply in developed countries.
Investments in Other Investment Companies Risk— As a shareholder of another investment company, the Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund.
Large Shareholder Transactions Risk — The Fund may experience adverse effects when certain large shareholders, such as other funds, participating insurance companies, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of the Fund. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may cause the Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact the Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in the Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect the Fund’s performance to the extent that the Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.
Liquidity Risk — The Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that the Fund will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, the Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If the Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Fund’s NAV and dilute remaining investors’ interests. These risks may be more pronounced in connection with the Fund’s investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on the Fund’s liquidity.
Market and Credit Risks — In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
10. INDEMNIFICATIONS
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
25
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Notes to Financial Statements(continued)
December 31, 2019
11. OTHER MATTERS
On November 5, 2019, a definitive proxy statement (“proxy”) was filed with the SEC to elect certain Trustees to the Trust. The Fund will bear its respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse the Fund to the extent such expenses exceed a specified percentage of the Fund’s net assets.
12. SUBSEQUENT EVENTS
Subsequent events after the Statement of Assets and Liabilities date other than above have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
13. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 558,464 | $ | 4,460,851 | 745,548 | $ | 7,784,495 | ||||||||||
Reinvestment of distributions | 125,411 | 1,025,867 | 1,192,199 | 8,500,382 | ||||||||||||
Shares redeemed | (703,402 | ) | (5,506,238 | ) | (407,538 | ) | (4,306,214 | ) | ||||||||
(19,527 | ) | (19,520 | ) | 1,530,209 | 11,978,663 | |||||||||||
Service Shares | ||||||||||||||||
Shares sold | 1,537,107 | 12,141,055 | 420,689 | 4,358,012 | ||||||||||||
Reinvestment of distributions | 125,527 | 1,031,832 | 1,351,752 | 9,678,544 | ||||||||||||
Shares redeemed | (1,901,273 | ) | (14,661,425 | ) | (6,939,757 | ) | (74,797,801 | ) | ||||||||
(238,639 | ) | (1,488,538 | ) | (5,167,316 | ) | (60,761,245 | ) | |||||||||
NET DECREASE | (258,166 | ) | $ | (1,508,058 | ) | (3,637,107 | ) | $ | (48,782,582 | ) |
26
Report of Independent Registered Public Accounting Firm
Tothe Board of Trustees of Goldman Sachs Variable Insurance Trust and Shareholders of Goldman Sachs International Equity Insights Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Goldman Sachs International Equity Insights Fund (one of the funds constituting Goldman Sachs Variable Insurance Trust, referred to hereafter as the “Fund”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statements of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes,and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 14, 2020
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
27
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Voting Results of Special Meeting of Shareholders (Unaudited)
A Special Meeting (the “Meeting”) of the Goldman Sachs Variable Insurance Trust (“VIT”) was held on January 23, 2020 to consider and act upon the proposal below. The Fund will amortize its respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse the Fund to the extent such expenses exceed a specified percentage of the Fund’s net assets.
At the Meeting, Dwight L. Bush, Kathryn A. Cassidy, Joaquin Delgado and Gregory G. Weaver were elected to the Trust’s Board of Trustees. In electing trustees, the Trust’s shareholders voted as follows:
Proposal 1.
Election of Trustees | For | Against | Withheld | Broker Non-Votes | ||||||||||||
Dwight L. Bush | 745,493,677.130 | 0 | 17,848,840.639 | 0 | ||||||||||||
Kathryn A. Cassidy | 746,559,784.810 | 0 | 16,782,732.959 | 0 | ||||||||||||
Joaquin Delgado | 744,593,456.532 | 0 | 18,749,061.237 | 0 | ||||||||||||
Gregory G. Weaver | 746,707,039.321 | 0 | 16,635,478.448 | 0 |
28
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Fund Expenses — Six Month Period Ended December 31, 2019 (Unaudited) |
As a shareholder of Institutional or Service Shares of the Fund, you incur ongoing costs, including management fees, distribution and/or service(12b-1) fees (with respect to Service Shares) and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Institutional Shares and Service Shares of the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2019 through December 31, 2019, which represents a period of 184 days of a 365 day year.
Actual Expenses—The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes —The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Fund you do not incur any transaction costs, such as sales charges, redemption fees, or exchange fees, but shareholders of other funds may incur such costs. The second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds whose shareholders may incur transaction costs.
Share Class | Beginning Account Value 07/01/19 | Ending Account Value 12/31/19 | Expenses Paid for the 6 Months Ended 12/31/19* | |||||||||
Institutional | ||||||||||||
Actual | $ | 1,000 | $ | 1,054.90 | $ | 4.66 | ||||||
Hypothetical 5% return | 1,000 | 1,020.67 | + | 4.58 | ||||||||
Service | ||||||||||||
Actual | 1,000 | 1,054.80 | 5.96 | |||||||||
Hypothetical 5% return | 1,000 | 1,019.41 | + | 5.85 |
+ | Hypothetical expenses are based on the Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
* | Expenses are calculated using the Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended December 31, 2019. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 0.90% and 1.15% for Institutional and Service Shares, respectively. |
29
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Trustees and Officers (Unaudited)
Independent Trustees
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||||
Jessica Palmer Age: 70 | Chair of the Board of Trustees | Since 2018 (Trustee since 2007) | Ms. Palmer is retired. She was formerly Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009).
Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Kathryn A. Cassidy Age: 65 | Trustee | Since 2015 | Ms. Cassidy is retired. Formerly, she was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Diana M. Daniels Age: 70 | Trustee | Since 2007 | Ms. Daniels is retired. Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is a Trustee Emeritus and serves as a Presidential Councillor of Cornell University (2013-Present); former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Roy W. Templin Age: 59 | Trustee | Since 2013 | Mr. Templin is retired. He is Director, Armstrong World Industries, Inc. (a designer and manufacturer of ceiling, wall and suspension system solutions) (2016-Present); and was formerly Chairman of the Board of Directors, Con-Way Incorporated (a transportation, logistics and supply chain management service company) (2014-2015); Executive Vice President and Chief Financial Officer, Whirlpool Corporation (an appliance manufacturer and marketer) (2004-2012). Previously, Mr. Templin served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (June 2013-October 2013).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Armstrong World Industries, Inc. (a ceiling, wall and suspension systems solutions manufacturer) | |||||||
Gregory G. Weaver Age: 68 | Trustee | Since 2015 | Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Verizon Communications Inc. | |||||||
30
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Trustees and Officers (Unaudited) (continued)
Interested Trustee*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||
James A. McNamara Age: 57 | President and Trustee | Since 2007 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | 165 | None | |||||
Advisory Board Members
Name, Address, Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Advisory Board Member3 | Other Directorships Held by Advisory Board Member4 | |||||
Dwight L. Bush Age: 62 | Advisory Board Member | Since 2019 | Ambassador Bush is President and CEO of D.L. Bush & Associates (a financial advisory and private investment firm) (2002-2014 and 2017-present); and was formerly U.S. Ambassador to the Kingdom of Morocco (2014-2017) and a Member of the Board of Directors of Santander Bank, N.A. (2018-2019).
Advisory Board Member — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||
Joaquin Delgado Age: 59 | Advisory Board Member | Since 2019 | Dr. Delgado is retired. He is Director, Hexion Inc. (a specialty chemical manufacturer) (2019-present); and Director, Stepan Company (a specialty chemical manufacturer) (2011-present); and was formerly Executive Vice President, Consumer Business Group of 3M Company (July 2016-July 2019); and Executive Vice President, Health Care Business Group of 3M Company (October 2012-July 2016).
Advisory Board Member — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Stepan Company (a specialty chemical manufacturer) | |||||
* | Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. Mr. McNamara holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
1 | Each Trustee and Advisory Board Member may be contacted by writing to the Trustee or Advisory Board Member, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of December 31, 2019. |
2 | Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that (a) no Trustee shall hold office for more than 15 years and (b) a Trustee shall retire as of December 31st of the calendar year in which he or she reaches his or her 74th birthday, unless a waiver of such requirements shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. |
3 | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of December 31, 2019, Goldman Sachs Trust consisted of 89 portfolios; Goldman Sachs Variable Insurance Trust consisted of 13 portfolios; Goldman Sachs Trust II consisted of 19 portfolios (17 of which offered shares to the public); Goldman Sachs MLP Income Opportunities Fund, Goldman Sachs MLP and Energy Renaissance Fund, Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio; and Goldman Sachs ETF Trust consisted of 40 portfolios (21 of which offered shares to the public). |
4 | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Fund’s Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384. Additional information about the Advisory Board Members will be available in the Fund’s Statement of Additional Information dated April 30, 2020, which will be available from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
31
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | |||
James A. McNamara 200 West Street New York, NY 10282 Age: 57 | Trustee and President | Since 2007 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 42 | Secretary | Since 2012 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Associate General Counsel, Goldman Sachs (2012-Present); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006).
Secretary — Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Private Middle Market Credit II LLC; Goldman Sachs Middle Market Lending Corp.; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 51 | Treasurer, Principal Financial Officer and Principal Accounting Officer | Since 2017 (Treasurer and Principal Financial Officer since 2019) | Managing Director, Goldman Sachs (November 2015-Present) and Vice President — Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010-October 2015). Treasurer, Principal Financial Officer and Principal Accounting Officer — Goldman Sachs Trust (previously Assistant Treasurer (2016)); Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs MLP Income Opportunities Fund (previously Assistant Treasurer (2017)); Goldman Sachs MLP and Energy Renaissance Fund (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. |
* | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Fund’s Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
1 | Information is provided as of December 31, 2019. |
2 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
Goldman Sachs Variable Insurance Trust — Tax Information (Unaudited)
For the 2019 tax year, the International Equity Insights Fund has elected to pass through a credit for taxes paid to foreign jurisdictions. The total amount of income received by the International Equity Insights Fund from sources within foreign countries and possessions of the United States was $0.1890 per share, all of which is attributable to qualified passive income. The percentage of net investment income dividends paid by the Fund during the year ended December 31, 2019 from foreign sources was 78.68%. The total amount of foreign taxes paid by the Fund was $0.0221 per share.
Pursuant to Section 852 of the Internal Revenue Code, the International Equity Insights Fund designates $2,883 or, if different, the maximum amount allowable, as capital gain dividends paid during the fiscal year ended December 31, 2019.
32
TRUSTEES | OFFICERS | |
Jessica Palmer,Chair | James A. McNamara,President | |
Dwight L. Bush* | Joseph F. DiMaria,Principal Financial Officer, | |
Kathryn A. Cassidy | Principal Accounting Officer and Treasurer | |
Diana M. Daniels | Caroline L. Kraus,Secretary | |
Joaquin Delgado* | ||
James A. McNamara | ||
Roy W. Templin | ||
Gregory G. Weaver | ||
*Effective as of January 23, 2020 |
GOLDMAN SACHS & CO. LLC
Distributor and Transfer Agent
GOLDMAN SACHS ASSET MANAGEMENT, L.P.
Investment Adviser
200 West Street, New York
New York 10282
Visit our web site at www.GSAMFUNDS.com to obtain the most recentmonth-end returns.
The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Fund. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted proxies relating to portfolio securities during the most recent12-month period ended December 31 is available (i) without charge, upon request by calling1-800-621-2550; and (ii) on the Securities and Exchange Commission (“SEC”) web site athttp://www.sec.gov.
The Fund will file its portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be made available on the SEC’s web site at http://www.sec.gov. Portfolio holdings information may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).
Views and opinions expressed are for informational purposes only and do not constitute a recommendation by GSAM to buy, sell, or hold any security. Views and opinions are current as of the date of this presentation and may be subject to change, they should not be construed as investment advice.
Goldman Sachs & Co. LLC (“Goldman Sachs”) does not provide legal, tax or accounting advice. Any statement contained in this communication (including any attachments) concerning U.S. tax matters was not intended or written to be used, and cannot be used, for the purpose of avoiding penalties under the Internal Revenue Code, and was written to support the promotion or marketing of transaction or matter addressed. Clients of Goldman Sachs should obtain their own independent tax advice based on their particular circumstances.
The website links provided are for your convenience only and are not an endorsement or recommendation by GSAM of any of these websites or the products or services offered. GSAM is not responsible for the accuracy and validity of the content of these websites.
Economic and market forecasts presented herein reflect our judgment as of the date of this presentation and are subject to change without notice. These forecasts do not take into account the specific investment objectives, restrictions, tax and financial situation or other needs of any specific client. Actual data will vary and may not be reflected here. These forecasts are subject to high levels of uncertainty that may affect actual performance. Accordingly, these forecasts should be viewed as merely representative of a broad range of possible outcomes. These forecasts are estimated, based on assumptions, and are subject to significant revision and may change materially as economic and market conditions change. Goldman Sachs has no obligation to provide updates or changes to these forecasts. Case studies and examples are for illustrative purposes only.
Fund holdings and allocations shown are as of December 31, 2019 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
References to indices, benchmarks or other measures of relative market performance over a specified period of time are provided for your information only and do not imply that the portfolio will achieve similar results. The index composition may not reflect the manner in which a portfolio is constructed. While an adviser seeks to design a portfolio which reflects appropriate risk and return features, portfolio characteristics may deviate from those of the benchmark.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (“MSCI”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
Shares of the Goldman Sachs VIT Funds are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus or summary prospectus, if applicable. Investors should consider the Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the prospectus carefully before investing or sending money. The summary prospectus, if available, and the prospectus contain this and other information about the Fund and may be obtained from your authorized dealer or from Goldman Sachs & Co. LLC by calling 1-800-621-2550
This report is prepared for the general information of contract owners and is not an offer of shares of the Goldman Sachs Variable Insurance Trust — Goldman Sachs International Equity Insights Fund.
© 2020 Goldman Sachs. All rights reserved.
VITINTLAR-20/192782-OTU-1133682
Goldman
SachsVariable Insurance Trust
Goldman Sachs
U.S. Equity Insights Fund
Beginning on or after January 1, 2021, you may not receive paper copies of the Fund’s annual and semi-annual shareholder reports from the insurance company that offers your variable insurance contract or your financial intermediary, unless you specifically request paper copies of the reports from the insurance company or from your financial intermediary. Instead, the reports will be made available on a website, and you will be notified by mail each time a report is posted and provided with a website link to access the report.
If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. At any time, you may elect to receive reports and certain communications from the insurance company electronically by contacting your insurance company or your financial intermediary.
You may elect to receive all future shareholder reports in paper free of charge. You can inform the insurance company or your financial intermediary that you wish to receive paper copies of reports. Your election to receive reports in paper will apply to all Goldman Sachs Funds available under your contract and may apply to all funds held with your financial intermediary.
Annual Report
December 31, 2019
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
INVESTMENT OBJECTIVE
The Fund seeks long-term growth of capital and dividend income.
Portfolio Management Discussion and Analysis
Below, the Goldman Sachs Quantitative Investment Strategies Team discusses the Goldman Sachs Variable Insurance Trust — Goldman Sachs U.S. Equity Insights Fund’s (the “Fund”) performance and positioning for the12-month period ended December 31, 2019 (the “Reporting Period”).
How did the Fund perform during the Reporting Period?
During the Reporting Period, the Fund’s Institutional and Service Shares generated average annual total returns of 25.21% and 24.93%, respectively. These returns compare to the 31.49% average annual total return of the Fund’s benchmark, the Standard & Poor’s 500® Index (with dividends reinvested) (the “S&P 500® Index”) during the same time period.
What economic and market factors most influenced the equity markets as a whole during the Reporting Period?
Representing the U.S. equity market, the S&P 500® Index returned 31.49% during the Reporting Period, achieving a record high and its strongest annual gain since 2013.
The U.S. equity market rallied at the start of the Reporting Period, almost completely recovering from asell-off at the end of 2018. After four gradual interest rate hikes in 2018, the U.S. Federal Reserve (“Fed”) cut interest rates three times in 2019 in an effort to keep the U.S. economic expansion intact amid trade uncertainties. The trade war between the U.S. and China pressured macroeconomic indicators throughout the first half of the calendar year but did little to suppress a resilient consumer, which ultimately outweighed manufacturing weakness. By the fourth quarter of 2019, U.S. stock returns accelerated with an uptick of U.S. manufacturing and service sector business surveys as well as a consistently strong labor market. The U.S. added more than 200,000 jobs in November 2019, double the break-even pace of long-term job growth. These developments helped restore market confidence, while fundamentals of low core inflation, contained financial imbalance and reduced drag of a trade war fended off imminent recession risk.
For the Reporting Period overall, all 11 sectors posted positive absolute returns, with all 11 generating double-digit gains. Information technology, communication services and financials were the best performing sectors in the S&P 500® Index, as measured by total return, while the weakest performing sectors in the S&P 500® Index during the Reporting Period were energy, health care and materials.
Within the U.S. equity market, all capitalization segments posted double-digit positive returns, led bylarge-cap stocks, as measured by the Russell 1000® Index, followed closely bymid-cap stocks, as measured by the Russell Midcap® Index, and then bysmall-cap stocks, as measured by the Russell 2000® Index. From a style perspective, growth-oriented stocks significantly outpaced value-oriented stocks across the capitalization spectrum. (All as measured by the FTSE Russell indices.)
What key factors were responsible for the Fund’s performance during the Reporting Period?
The Fund uses a quantitative style of management, in combination with a qualitative overlay, that emphasizes fundamentally-based stock selection, careful portfolio construction and efficient implementation. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on certain investment themes, namely Fundamental Mispricings, High Quality Business Models, Sentiment Analysis and Market Themes & Trends.
During the Reporting Period, the Fund posted robust double-digit absolute gains but underperformed the S&P 500® Index, with all four of our quantitative model’s investment themes detracting from results. Stock selection driven by these investment themes diminished relative performance.
What impact did the Fund’s investment themes have on performance during the Reporting Period?
In keeping with our investment approach, we use our quantitative model and four investment themes to take a long-term view of market patterns and look for inefficiencies, selecting stocks for the Fund and overweighting or underweighting the ones chosen by the model. Over time and by design, the performance of any one of the model’s investment themes tends to have a low correlation with the model’s other themes, demonstrating the diversification benefit of the Fund’s theme-driven quantitative model. The variance in performance supports our research indicating that the diversification provided by the Fund’s different investment
1
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
themes is a significant investment advantage over the long term, even though the Fund may experience underperformance in the short term. Of course, diversification does not protect an investor from market risk nor does it ensure a profit.
During the Reporting Period, all four of our investment themes — High Quality Business Models, Sentiment Analysis, Market Themes & Trends and Fundamental Mispricings — detracted from the Fund’s relative performance. High Quality Business Models seeks to identify companies that are generating high quality revenues with sustainable business models and aligned management incentives. Sentiment Analysis seeks to identify stocks experiencing improvements in their overall market sentiment. Market Themes & Trends seeks to identify companies positively positioned to benefit from themes and trends in the market and macroeconomic environment. Fundamental Mispricing seeks to identify high quality businesses trading at a fair price, which we believe may lead to strong performance over the long run.
How did the Fund’s sector and industry allocations affect relative performance?
In constructing the Fund’s portfolio, we focus on picking stocks rather than making sector or industry bets. Consequently, the Fund is similar to its benchmark, the S&P 500® Index, in terms of its sector and industry allocations and style. Changes in its sector or industry weights generally do not have a meaningful impact on relative performance.
Did stock selection help or hurt Fund performance during the Reporting Period?
We seek to outpace the S&P 500® Index by overweighting stocks that we expect to outperform and underweighting those that we think may lag. At the same time, we strive to maintain a risk profile similar to the S&P 500® Index. The Fund’s investments are selected using fundamental research and a variety of quantitative techniques based on our investment themes. For example, the Fund aims to hold a basket of stocks with better Fundamental Mispricings characteristics than the benchmark index.
During the Reporting Period, stock selection hampered the Fund’s performance, with investments in the health care, information technology, consumer discretionary and industrials sectors detracting most from results relative to the S&P 500® Index. There were no sectors in which stock selection contributed positively during the Reporting Period.
Which individual positions detracted from the Fund’s results during the Reporting Period?
Detracting most from the Fund’s results relative to the S&P 500® Index were overweight positions in specialty pharmaceuticals company Mylan, quick-service restaurant owner and franchiser Yum! Brands and energy company ConocoPhillips. The Fund had an overweight position in Mylan driven primarily by our Sentiment Analysis and Fundamental Mispricings investment themes. The Fund’s overweights in Yum! Brands and ConocoPhillips were each largely due to our High Quality Business Models investment theme.
Which individual stock positions contributed the most to the Fund’s relative returns during the Reporting Period?
The Fund benefited most from overweight positions in discount retailer Target and information technology giant Apple and from an underweight position in integrated energy company Exxon Mobil. The overweight in Target was established primarily because of our High Quality Business Models and Sentiment Analysis investment themes. The Fund was overweight Apple due mostly to our High Quality Business Models investment theme. The Fund’s underweight in Exxon Mobil was driven mainly by our Sentiment Analysis investment theme.
How did the Fund use derivatives during the Reporting Period?
During the Reporting Period, we did not use derivatives as part of an active management strategy to add value to the Fund’s results. However, we used equity index futures contracts, on an opportunistic basis, to equitize the Fund’s excess cash holdings. In other words, we put the Fund’s excess cash holdings to work by using them as collateral for the purchase of stock futures. The use of these futures contracts did not have a material impact on the Fund’s performance during the Reporting Period.
Did you make any enhancements to your quantitative models during the Reporting Period?
We continuously look for ways to improve our investment process. During the Reporting Period, we made numerous enhancements to our models. As example, during the first half of the Reporting Period, we introduced a number of new signals. First, within our Sentiment Analysis investment theme, we added a suite of signals that utilizes data from the short selling market as an indicator of the market sentiment surrounding individual names. Second, within our Market Themes & Trends investment theme, we added a signal that examines the cross-holdings of pooled vehicles to identify thematic trends in the market. Also within our Market Themes & Trends investment theme, we added a signal that examines internet linkages between companies to identify thematic trends. Finally, within our Fundamental Mispricings investment theme, we added a signal that we believe to be predictive of industry rotations.
2
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
During the second half of the Reporting Period, within our High-Quality Business Models investment theme, we added a number of new metrics. The first metric identifies companies with longer executive management tenure, as we believe this is indicative of a sustainable, high quality, business model. We now leverage data from a large web search engine provider to help quantify changes in consumer attention. We also introduced a signal that uses import and export data to help quantify demand growth for a company’s products complementing our suite of consumer-demand signals. Finally, we added a signal focused on health care companies that helps us measure the value of a pharmaceutical company’s drug pipeline. Within our Themes and Trends investment theme, we introduced a signal that helps us find connections between companies based upon import and export data.
What was the Fund’s sector positioning relative to its benchmark index at the end of the Reporting Period?
As of December 31, 2019, the Fund was overweight the health care, financials, real estate and consumer discretionary sectors relative to the S&P 500® Index. The Fund was underweight in information technology, communication services, consumer staples, energy and utilities and was rather neutrally weighted in industrials and materials compared to the benchmark index on the same date.
Were there any changes to the Fund’s portfolio management team during the Reporting Period?
There were no changes to the Fund’s portfolio management team during the Reporting Period.
What is your strategy going forward for the Fund?
Looking ahead, we continue to believe that less expensive stocks should outpace more expensive stocks, and stocks with good momentum are likely to outperform those with poor momentum. We intend to maintain our focus on seeking companies about which fundamental research analysts are becoming more positive as well as profitable companies with sustainable earnings and a track record of using their capital to enhance shareholder value. As such, we anticipate remaining fully invested with long-term performance likely to be the result of stock selection rather than sector or capitalization allocations.
We stand behind our investment philosophy that sound economic investment principles, coupled with a disciplined quantitative approach, can provide strong, uncorrelated returns over the long term. Our research agenda is robust, and we continue to enhance our existing models, add new proprietary forecasting signals and improve our trading execution as we seek to provide the most value to our shareholders.
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GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
Index Definitions
S&P 500®Indexis the Standard & Poor’s composite index of 500 stocks, an unmanaged index of common stock prices. The figures for the index do not include any deduction for fees, expenses or taxes.
Russell 2000®Indexis an unmanaged index of common stock prices that measures the performance of the 2000 smallest companies in the Russell 3000®Index. The figures for the index do not include any deduction for fees, expenses or taxes.
Russell Midcap®Indexmeasures the performance of the 800 smallest companies in the Russell 1000®Index, which represents approximately 25% of the total market capitalization of the Russell 1000® Index.
Russell 1000®Indexmeasures the performance of the 1,000 largest companies in the Russell 3000®Index, which represents approximately 92% of the total market capitalization of the Russell 3000® Index.
It is not possible to invest directly in an index.
4
FUND BASICS
U.S. Equity Insights Fund
as of December 31, 2019
TOP TEN HOLDINGS AS OF 12/31/191
Holding | % of Net Assets | Line of Business | ||||
Microsoft Corp. | 5.5% | Software & Services | ||||
Apple, Inc. | 5.0 | Technology Hardware & Equipment | ||||
Amazon.com, Inc. | 3.9 | Retailing | ||||
Facebook, Inc. Class A | 2.9 | Media & Entertainment | ||||
Visa, Inc. Class A | 2.2 | Software & Services | ||||
Johnson & Johnson | 2.1 | Pharmaceuticals, Biotechnology & Life Sciences | ||||
Alphabet, Inc. Class C | 2.0 | Media & Entertainment | ||||
Alphabet, Inc. Class A | 2.0 | Media & Entertainment | ||||
Union Pacific Corp. | 1.5 | Transportation | ||||
Philip Morris International, Inc. | 1.5 | Food, Beverage & Tobacco |
1 | The top 10 holdings may not be representative of the Fund’s future investments. |
FUND vs. BENCHMARK SECTOR ALLOCATIONS2
As of December 31, 2019
2 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Portfolio’s investment strategies, holdings, and performance.
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GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
Performance Summary
December 31, 2019
The following graph shows the value, as of December 31, 2019, of a $10,000 investment made on January 1, 2010 in the Institutional Shares at NAV. For comparative purposes, the performance of the Fund’s benchmark, the S&P 500® Index, is shown. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown and in their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares. The returns set forth below represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted below. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns.
U.S. Equity Insights Fund’s 10 Year Performance
Performance of a $10,000 investment, with distributions reinvested, from January 1, 2010 through December 31, 2019.
Average Annual Total Return through December 31, 2019 | One Year | Five Years | Ten Years | |||
Institutional | 25.21% | 9.99% | 13.22% | |||
Service | 24.93% | 9.76% | 12.98% |
6
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
Schedule of Investments
December 31, 2019
Shares | Description | Value | ||||||
Common Stocks – 99.5% | ||||||||
Automobiles & Components – 1.2% | ||||||||
99,054 | General Motors Co. | $ | 3,625,376 | |||||
|
| |||||||
Banks – 3.7% | ||||||||
9,379 | Bank of America Corp. | 330,328 | ||||||
36,891 | Citizens Financial Group, Inc. | 1,498,144 | ||||||
14,951 | JPMorgan Chase & Co. | 2,084,169 | ||||||
50,256 | Popular, Inc. | 2,952,540 | ||||||
8,843 | Signature Bank | 1,208,042 | ||||||
7,736 | Western Alliance Bancorp | 440,952 | ||||||
59,425 | Zions Bancorp NA | 3,085,346 | ||||||
|
| |||||||
11,599,521 | ||||||||
|
| |||||||
Capital Goods – 4.8% | ||||||||
1,383 | Allegion plc | 172,239 | ||||||
2,205 | Allison Transmission Holdings, Inc. | 106,546 | ||||||
15,509 | Eaton Corp. plc | 1,469,012 | ||||||
6,302 | HEICO Corp. | 719,373 | ||||||
2,101 | Ingersoll-Rand plc | 279,265 | ||||||
85,787 | Johnson Controls International plc | 3,492,389 | ||||||
10,880 | Lockheed Martin Corp. | 4,236,454 | ||||||
10,359 | PACCAR, Inc. | 819,397 | ||||||
16,663 | Raytheon Co. | 3,661,528 | ||||||
|
| |||||||
14,956,203 | ||||||||
|
| |||||||
Commercial & Professional Services – 1.7% | ||||||||
12,939 | Cintas Corp. | 3,481,626 | ||||||
17,847 | IHS Markit Ltd.* | 1,344,772 | ||||||
5,792 | TransUnion | 495,853 | ||||||
|
| |||||||
5,322,251 | ||||||||
|
| |||||||
Consumer Durables & Apparel – 1.0% | ||||||||
58,599 | DR Horton, Inc. | 3,091,097 | ||||||
|
| |||||||
Consumer Services – 2.0% | ||||||||
25,935 | Las Vegas Sands Corp. | 1,790,552 | ||||||
100,140 | MGM Resorts International | 3,331,658 | ||||||
12,654 | Yum! Brands, Inc. | 1,274,638 | ||||||
|
| |||||||
6,396,848 | ||||||||
|
| |||||||
Diversified Financials – 9.1% | ||||||||
97,577 | Ally Financial, Inc. | 2,981,953 | ||||||
40,804 | AXA Equitable Holdings, Inc. | 1,011,123 | ||||||
70,707 | Bank of New York Mellon Corp. (The) | 3,558,683 | ||||||
9,402 | Berkshire Hathaway, Inc. Class B* | 2,129,553 | ||||||
76,483 | Charles Schwab Corp. (The) | 3,637,532 | ||||||
51,879 | Morgan Stanley | 2,652,055 | ||||||
14,340 | S&P Global, Inc. | 3,915,537 | ||||||
24,221 | State Street Corp. | 1,915,881 | ||||||
91,425 | Synchrony Financial | 3,292,214 | ||||||
52,992 | Voya Financial, Inc. | 3,231,452 | ||||||
|
| |||||||
28,325,983 | ||||||||
|
| |||||||
Energy – 3.0% | ||||||||
7,730 | Baker Hughes Co. | 198,120 | ||||||
2,859 | ConocoPhillips | 185,921 | ||||||
5,247 | Exxon Mobil Corp. | 366,136 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Energy – (continued) | ||||||||
14,530 | HollyFrontier Corp. | 736,816 | ||||||
26,314 | Marathon Petroleum Corp. | 1,585,418 | ||||||
8,588 | Phillips 66 | 956,789 | ||||||
86,516 | TechnipFMC plc | 1,854,903 | ||||||
37,639 | Valero Energy Corp. | 3,524,892 | ||||||
|
| |||||||
9,408,995 | ||||||||
|
| |||||||
Food & Staples Retailing – 2.2% | ||||||||
15,468 | Costco Wholesale Corp. | 4,546,354 | ||||||
39,606 | Walgreens Boots Alliance, Inc. | 2,335,170 | ||||||
|
| |||||||
6,881,524 | ||||||||
|
| |||||||
Food, Beverage & Tobacco – 2.2% | ||||||||
36,621 | Monster Beverage Corp.* | 2,327,265 | ||||||
54,983 | Philip Morris International, Inc. | 4,678,503 | ||||||
|
| |||||||
7,005,768 | ||||||||
|
| |||||||
Health Care Equipment & Services – 7.9% | ||||||||
3,057 | Align Technology, Inc.* | 853,025 | ||||||
13,696 | Anthem, Inc. | 4,136,603 | ||||||
13,918 | Becton Dickinson and Co. | 3,785,278 | ||||||
7,032 | Cigna Corp. | 1,437,974 | ||||||
24,603 | Dentsply Sirona, Inc. | 1,392,284 | ||||||
8,608 | Edwards Lifesciences Corp.* | 2,008,160 | ||||||
24,853 | HCA Healthcare, Inc. | 3,673,522 | ||||||
7,867 | Humana, Inc. | 2,883,413 | ||||||
1,044 | Molina Healthcare, Inc.* | 141,660 | ||||||
1,476 | STERIS plc | 224,972 | ||||||
2,874 | Teleflex, Inc. | 1,081,889 | ||||||
265 | UnitedHealth Group, Inc. | 77,905 | ||||||
21,172 | Universal Health Services, Inc. Class B | 3,037,335 | ||||||
|
| |||||||
24,734,020 | ||||||||
|
| |||||||
Household & Personal Products – 1.0% | ||||||||
11,053 | Estee Lauder Cos., Inc. (The) Class A | 2,282,887 | ||||||
5,579 | Procter & Gamble Co. (The) | 696,817 | ||||||
|
| |||||||
2,979,704 | ||||||||
|
| |||||||
Insurance – 2.1% | ||||||||
15,186 | Aon plc | 3,163,092 | ||||||
1,609 | Athene Holding Ltd. Class A* | 75,671 | ||||||
2,731 | MetLife, Inc. | 139,199 | ||||||
32,694 | Progressive Corp. (The) | 2,366,719 | ||||||
2,323 | Reinsurance Group of America, Inc. | 378,788 | ||||||
12,838 | Unum Group | 374,356 | ||||||
|
| |||||||
6,497,825 | ||||||||
|
| |||||||
Materials – 2.2% | ||||||||
66,968 | Alcoa Corp.* | 1,440,482 | ||||||
6,462 | Axalta Coating Systems Ltd.* | 196,445 | ||||||
4,106 | Corteva, Inc. | 121,373 | ||||||
7,162 | Dow, Inc. | 391,976 | ||||||
14,112 | DuPont de Nemours, Inc. | 905,990 | ||||||
6,323 | Sherwin-Williams Co. (The) | 3,689,724 | ||||||
|
| |||||||
6,745,990 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 7 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
Schedule of Investments(continued)
December 31, 2019
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Media & Entertainment – 8.2% | ||||||||
4,679 | Alphabet, Inc. Class A* | $ | 6,267,006 | |||||
4,697 | Alphabet, Inc. Class C* | 6,279,983 | ||||||
2,541 | Charter Communications, Inc. Class A* | 1,232,588 | ||||||
43,920 | Facebook, Inc. Class A* | 9,014,580 | ||||||
64,272 | Liberty Global plc Class C* | 1,400,808 | ||||||
4,129 | Match Group, Inc.* | 339,032 | ||||||
51,738 | News Corp. Class A | 731,575 | ||||||
1,685 | Take-Two Interactive Software, Inc.* | 206,295 | ||||||
|
| |||||||
25,471,867 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences – 9.3% | ||||||||
26,530 | AbbVie, Inc. | 2,348,966 | ||||||
15,457 | Alexion Pharmaceuticals, Inc.* | 1,671,675 | ||||||
4,921 | Biogen, Inc.* | 1,460,208 | ||||||
29,145 | Bristol-Myers Squibb Co. | 1,870,818 | ||||||
55,109 | Gilead Sciences, Inc. | 3,580,983 | ||||||
23,704 | Incyte Corp.* | 2,069,833 | ||||||
11,873 | IQVIA Holdings, Inc.* | 1,834,497 | ||||||
44,294 | Johnson & Johnson | 6,461,166 | ||||||
32,596 | Merck & Co., Inc. | 2,964,606 | ||||||
2,096 | Mettler-Toledo International, Inc.* | 1,662,715 | ||||||
47,726 | Pfizer, Inc. | 1,869,905 | ||||||
5,654 | Vertex Pharmaceuticals, Inc.* | 1,237,943 | ||||||
|
| |||||||
29,033,315 | ||||||||
|
| |||||||
Real Estate Investment Trusts – 4.8% | ||||||||
89,581 | Duke Realty Corp. | 3,105,773 | ||||||
44,169 | Equity LifeStyle Properties, Inc. | 3,109,056 | ||||||
9,969 | Extra Space Storage, Inc. | 1,052,926 | ||||||
108,420 | Invitation Homes, Inc. | 3,249,347 | ||||||
43,021 | Prologis, Inc. | 3,834,892 | ||||||
7,772 | STORE Capital Corp. | 289,429 | ||||||
2,375 | Sun Communities, Inc. | 356,488 | ||||||
|
| |||||||
14,997,911 | ||||||||
|
| |||||||
Retailing – 6.5% | ||||||||
6,637 | Amazon.com, Inc.* | 12,264,114 | ||||||
66,817 | eBay, Inc. | 2,412,762 | ||||||
7,559 | Home Depot, Inc. (The) | 1,650,734 | ||||||
61,099 | Macy’s, Inc. | 1,038,683 | ||||||
23,451 | Target Corp. | 3,006,653 | ||||||
|
| |||||||
20,372,946 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 2.3% | ||||||||
14,852 | Analog Devices, Inc. | 1,765,012 | ||||||
4,517 | Lam Research Corp. | 1,320,771 | ||||||
17,231 | Micron Technology, Inc.* | 926,683 | ||||||
7,064 | NVIDIA Corp. | 1,662,159 | ||||||
10,844 | Texas Instruments, Inc. | 1,391,177 | ||||||
|
| |||||||
7,065,802 | ||||||||
|
| |||||||
Software & Services – 11.8% | ||||||||
5,537 | Automatic Data Processing, Inc. | 944,058 | ||||||
7,847 | Cadence Design Systems, Inc.* | 544,268 | ||||||
8,118 | Intuit, Inc. | 2,126,348 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Software & Services – (continued) | ||||||||
109,565 | Microsoft Corp. | 17,278,400 | ||||||
20,713 | Oracle Corp. | 1,097,375 | ||||||
42,599 | PayPal Holdings, Inc.* | 4,607,934 | ||||||
17,176 | VeriSign, Inc.* | 3,309,472 | ||||||
37,000 | Visa, Inc. Class A | 6,952,300 | ||||||
|
| |||||||
36,860,155 | ||||||||
|
| |||||||
Technology Hardware & Equipment – 7.0% | ||||||||
52,975 | Apple, Inc. | 15,556,109 | ||||||
2,524 | Ciena Corp.* | 107,750 | ||||||
61,396 | Cisco Systems, Inc. | 2,944,552 | ||||||
31,748 | Keysight Technologies, Inc.* | 3,258,297 | ||||||
|
| |||||||
21,866,708 | ||||||||
|
| |||||||
Telecommunication Services – 0.2% | ||||||||
8,743 | AT&T, Inc. | 341,677 | ||||||
4,503 | T-Mobile US, Inc.* | 353,125 | ||||||
|
| |||||||
694,802 | ||||||||
|
| |||||||
Transportation – 3.3% | ||||||||
1,059 | Copa Holdings SA Class A | 114,457 | ||||||
59,780 | Delta Air Lines, Inc. | 3,495,934 | ||||||
6,402 | JetBlue Airways Corp.* | 119,845 | ||||||
31,350 | Southwest Airlines Co. | 1,692,273 | ||||||
25,891 | Union Pacific Corp. | 4,680,834 | ||||||
1,355 | United Airlines Holdings, Inc.* | 119,362 | ||||||
|
| |||||||
10,222,705 | ||||||||
|
| |||||||
Utilities – 2.0% | ||||||||
168,944 | AES Corp. | 3,361,986 | ||||||
66,268 | Exelon Corp. | 3,021,158 | ||||||
|
| |||||||
6,383,144 | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 99.5% | ||||||||
(Cost $251,510,716) | $ | 310,540,460 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS | 1,590,374 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 312,130,834 | ||||||
|
|
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. |
8 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
Statement of Assets and Liabilities
December 31, 2019
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $251,510,716) | $ | 310,540,460 | ||
Cash | 2,406,587 | |||
Receivables: | ||||
Dividends | 236,099 | |||
Reimbursement from investment adviser | 24,997 | |||
Fund shares sold | 22,487 | |||
Securities lending income | 271 | |||
Total assets | 313,230,901 | |||
Liabilities: | ||||
Payables: | ||||
Fund shares redeemed | 767,489 | |||
Management fees | 142,093 | |||
Distribution and Service fees and Transfer Agency fees | 15,063 | |||
Accrued expenses | 175,422 | |||
Total liabilities | 1,100,067 | |||
Net Assets: | ||||
Paid-in capital | 251,656,082 | |||
Total distributable earnings (loss) | 60,474,752 | |||
NET ASSETS | $ | 312,130,834 | ||
Net Assets: | ||||
Institutional | $ | 256,930,145 | ||
Service | 55,200,689 | |||
Total Net Assets | $ | 312,130,834 | ||
Shares outstanding $0.001 par value (unlimited shares authorized): | ||||
Institutional | 14,329,280 | |||
Service | 3,059,623 | |||
Net asset value, offering and redemption price per share: | ||||
Institutional | $17.93 | |||
Service | 18.04 |
The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
Statement of Operations
For the Fiscal Year Ended December 31, 2019
Investment income: | ||||
Dividends — unaffiliated issuers (net of foreign taxes withheld of $5,317) | $ | 5,592,355 | ||
Securities lending income — unaffiliated issuer | 492 | |||
Dividends — affiliated issuers | 45 | |||
Total investment income | 5,592,892 | |||
Expenses: | ||||
Management fees | 1,904,549 | |||
Distribution and Service fees — Service Shares | 139,256 | |||
Professional fees | 101,372 | |||
Printing and mailing costs | 90,631 | |||
Shareholder meeting expense | 61,691 | |||
Custody, accounting and administrative services | 85,149 | |||
Transfer Agency fees(a) | 61,432 | |||
Trustee fees | 16,313 | |||
Registration fees | 453 | |||
Other | 16,816 | |||
Total expenses | 2,477,662 | |||
Less — expense reductions | (573,711 | ) | ||
Net expenses | 1,903,951 | |||
NET INVESTMENT INCOME | 3,688,941 | |||
Realized and unrealized gain: | ||||
Net realized gain from investments — unaffiliated issuers | 13,673,416 | |||
Net change in unrealized gain on investments — unaffiliated issuers | 50,991,594 | |||
Net realized and unrealized gain | 64,665,010 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 68,353,951 |
(a) | Institutional and Service Shares incurred Transfer Agency fees of $50,292 and $11,140, respectively. |
10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
Statements of Changes in Net Assets
For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||
From operations: | ||||||||
Net investment income | $ | 3,688,941 | $ | 3,755,838 | ||||
Net realized gain | 13,673,416 | 37,947,854 | ||||||
Net change in unrealized gain (loss) | 50,991,594 | (58,964,079 | ) | |||||
Net increase (decrease) in net assets resulting from operations | 68,353,951 | (17,260,387 | ) | |||||
Distributions to shareholders: | ||||||||
From distributable earnings: | ||||||||
Institutional Shares | (12,098,854 | ) | (41,717,467 | ) | ||||
Service Shares | (2,482,764 | ) | (9,387,391 | ) | ||||
Total distributions to shareholders | (14,581,618 | ) | (51,104,858 | ) | ||||
From share transactions: | ||||||||
Proceeds from sales of shares | 11,649,993 | 23,858,438 | ||||||
Reinvestment of distributions | 14,581,618 | 51,104,858 | ||||||
Cost of shares redeemed | (56,634,042 | ) | (137,999,297 | ) | ||||
Net decrease in net assets resulting from share transactions | (30,402,431 | ) | (63,036,001 | ) | ||||
TOTAL INCREASE (DECREASE) | 23,369,902 | (131,401,246 | ) | |||||
Net Assets: | ||||||||
Beginning of year | 288,760,932 | 420,162,178 | ||||||
End of year | $ | 312,130,834 | $ | 288,760,932 |
The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Year
Goldman Sachs U.S. Equity Insights Fund | ||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of year | $ | 15.03 | $ | 19.41 | $ | 17.65 | $ | 16.71 | $ | 18.12 | ||||||||||
Net investment income(a) | 0.21 | 0.22 | 0.28 | 0.22 | 0.23 | |||||||||||||||
Net realized and unrealized gain (loss) | 3.57 | (1.38 | ) | 3.98 | 1.58 | (0.27 | ) | |||||||||||||
Total from investment operations | 3.78 | (1.16 | ) | 4.26 | 1.80 | (0.04 | ) | |||||||||||||
Distributions to shareholders from net investment income | (0.23 | ) | (0.25 | ) | (0.28 | ) | (0.23 | ) | (0.25 | ) | ||||||||||
Distributions to shareholders from net realized gains | (0.65 | ) | (2.97 | ) | (2.22 | ) | (0.63 | ) | (1.12 | ) | ||||||||||
Total distributions | (0.88 | ) | (3.22 | ) | (2.50 | ) | (0.86 | ) | (1.37 | ) | ||||||||||
Net asset value, end of year | $ | 17.93 | $ | 15.03 | $ | 19.41 | $ | 17.65 | $ | 16.71 | ||||||||||
Total return(b) | 25.21 | % | (6.19 | )% | 24.07 | % | 10.70 | % | (0.20 | )% | ||||||||||
Net assets, end of year (in 000s) | $ | 256,930 | $ | 235,553 | $ | 277,952 | $ | 255,565 | $ | 269,238 | ||||||||||
Ratio of net expenses to average net assets | 0.58 | % | 0.58 | % | 0.62 | % | 0.64 | % | 0.64 | % | ||||||||||
Ratio of total expenses to average net assets | 0.76 | % | 0.73 | % | 0.70 | % | 0.70 | % | 0.71 | % | ||||||||||
Ratio of net investment income to average net assets | 1.24 | % | 1.12 | % | 1.42 | % | 1.25 | % | 1.29 | % | ||||||||||
Portfolio turnover rate(c) | 187 | % | 160 | % | 184 | % | 204 | % | 200 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
(c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
12 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
Financial Highlights(continued)
Selected Data for a Share Outstanding Throughout Each Year
Goldman Sachs U.S. Equity Insights Fund | ||||||||||||||||||||
Service Shares | ||||||||||||||||||||
Year Ended December 31, | ||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||
Per Share Data | ||||||||||||||||||||
Net asset value, beginning of year | $ | 15.12 | $ | 19.48 | $ | 17.71 | $ | 16.77 | $ | 18.17 | ||||||||||
Net investment income(a) | 0.18 | 0.18 | 0.24 | 0.18 | 0.20 | |||||||||||||||
Net realized and unrealized gain (loss) | 3.58 | (1.37 | ) | 3.99 | 1.59 | (0.28 | ) | |||||||||||||
Total from investment operations | 3.76 | (1.19 | ) | 4.23 | 1.77 | (0.08 | ) | |||||||||||||
Distributions to shareholders from net investment income | (0.19 | ) | (0.20 | ) | (0.24 | ) | (0.20 | ) | (0.20 | ) | ||||||||||
Distributions to shareholders from net realized gains | (0.65 | ) | (2.97 | ) | (2.22 | ) | (0.63 | ) | (1.12 | ) | ||||||||||
Total distributions | (0.84 | ) | (3.17 | ) | (2.46 | ) | (0.83 | ) | (1.32 | ) | ||||||||||
Net asset value, end of year | $ | 18.04 | $ | 15.12 | $ | 19.48 | $ | 17.71 | $ | 16.77 | ||||||||||
Total return(b) | 24.93 | % | (6.36 | )% | 23.80 | % | 10.44 | % | (0.41 | )% | ||||||||||
Net assets, end of year (in 000s) | $ | 55,201 | $ | 53,208 | $ | 142,210 | $ | 120,387 | $ | 122,531 | ||||||||||
Ratio of net expenses to average net assets | 0.79 | % | 0.79 | % | 0.82 | % | 0.85 | % | 0.85 | % | ||||||||||
Ratio of total expenses to average net assets | 1.01 | % | 0.97 | % | 0.95 | % | 0.95 | % | 0.96 | % | ||||||||||
Ratio of net investment income to average net assets | 1.03 | % | 0.88 | % | 1.21 | % | 1.04 | % | 1.08 | % | ||||||||||
Portfolio turnover rate(c) | 187 | % | 160 | % | 184 | % | 204 | % | 200 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Assumes investment at the net asset value at the beginning of the year, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the year and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. |
(c) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
Notes to Financial Statements
December 31, 2019
1. ORGANIZATION
Goldman Sachs Variable Insurance Trust (the “Trust” or “VIT”) is a Delaware statutory trust registered under the Investment Company Act of 1940, as amended (the “Act”), as anopen-end management investment company. The Trust includes the Goldman Sachs U.S. Equity Insights Fund (the “Fund”). The Fund is a diversified portfolio under the Act offering two classes of shares — Institutional and Service Shares. Shares of the Trust are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies.
Goldman Sachs Asset Management, L.P. (“GSAM”), an affiliate of Goldman Sachs & Co. LLC (“Goldman Sachs”), serves as investment adviser to the Fund pursuant to a management agreement (the “Agreement”) with the Trust.
2. SIGNIFICANT ACCOUNTING POLICIES
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. The Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.
A. Investment Valuation — The Fund’s valuation policy is to value investments at fair value.
B. Investment Income and Investments —Investment income includes interest income, dividend income, and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized onex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to theex-dividend date.Non-cash dividends, if any, are recorded at the fair market value of the securities received. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Investment income is recorded net of any foreign withholding taxes, less any amounts reclaimable. The Fund may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Fund’s investments in United States (“U.S.”) real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain and/or a return of capital. A return of capital is recorded by the Fund as a reduction to the cost basis of the REIT.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, andnon-class specific expenses of the Fund are allocated daily based upon the proportion of net assets of each class.Non-class specific expenses directly incurred by the Fund are charged to the Fund, while such expenses incurred by the Trust are allocated across the Fund on a straight-line and/orpro-rata basis depending upon the nature of the expenses. Class-specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service and Transfer Agency fees.
D. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on theex-dividend date. Income and capital gains distributions, if any, are declared and paid at least annually.
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the Fund’s distributions may be shown in the accompanying financial statements as either from distributable earnings or capital. Certain components of the Fund’s net assets on the Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
14
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS
U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Fund’s policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Fund, including investments for which market quotations are not readily available. The Trustees have delegated to GSAMday-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Fund’s investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments —The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities —Equity securities traded on a U.S. securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities may be valued at the closing bid price for long positions and at the closing ask price for short positions. To the extent these investments are actively traded, they are classified as Level 1 of the fair value hierarchy, otherwise they are generally classified as Level 2.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price for long positions or the last ask price for short positions, and are generally classified as Level 2.
Money Market Funds — Investments in the Goldman Sachs Financial Square Government Fund (“Underlying Fund”) are valued at the NAV per share of the Institutional Share class on the day of valuation. These investments are generally classified as Level 1 of the fair value hierarchy. For information regarding the Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Fund’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Fund’s NAV. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.
15
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
Notes to Financial Statements(continued)
December 31, 2019
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
C. Fair Value Hierarchy — The following is a summary of the Fund’s investments classified in the fair value hierarchy as of December 31, 2019:
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock(a) | ||||||||||||
Europe | $ | 3,255,711 | $ | — | $ | — | ||||||
North America | 307,284,749 | — | — | |||||||||
Total | $ | 310,540,460 | $ | — | $ | — |
(a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of NAV. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. |
For further information regarding security characteristics, see the Schedule of Investments.
4. AGREEMENTS AND AFFILIATED TRANSACTIONS
A. Management Agreement — Under the Agreement, GSAM manages the Fund, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Fund’s business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
For the fiscal year ended December 31, 2019, contractual and effective net management fees with GSAM were at the following rates:
Contractual Management Rate | Effective Net Management Rate^ | |||||||||||||||||||||||||
First $1 billion | Next $1 billion | Next $3 billion | Next $3 billion | Over $8 billion | Effective Rate | |||||||||||||||||||||
0.62 | % | 0.59 | % | 0.56 | % | 0.55 | % | 0.54 | % | 0.62 | % | 0.54 | * |
^ | Effective Net Management Rate includes the impact of management fee waivers of affiliated Underlying Funds, if any. |
* | GSAM agreed to waive a portion of its management fee in order to achieve a net management rate, as defined in the Fund’s most recent prospectus. This waiver will be effective through at least April 30, 2020, and prior to such date GSAM may not terminate the arrangement without approval of the Trustees. For the fiscal year ended December 31, 2019, GSAM waived $245,750 of its management fee. |
The Fund invests in Institutional Shares of the Goldman Sachs Financial Square Government Fund, which is an affiliated Underlying Fund. GSAM has agreed to waive a portion of its management fee payable by the Fund in an amount equal to the management fee it earns as an investment adviser to the affiliated Underlying Fund in which the Fund invests, except those management fees it earns from the Fund’s investments of cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund. For the fiscal year ended December 31, 2019, GSAM waived $4 of the Fund’s management fee.
B. Distribution and Service(12b-1) Plan — The Trust, on behalf of Service Shares of the Fund, has adopted a Distribution and Service Plan subject to Rule12b-1 under the Act. Under the Distribution and Service Plan, Goldman Sachs, which serves as distributor, is entitled to a fee accrued daily and paid monthly, for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers, equal to, on an annual basis, 0.25% of the Fund’s average daily net assets attributable to Service Shares. Goldman Sachs has agreed to waive distribution and service fees so as not to exceed an annual rate of 0.21% of average daily net assets attributable to Service Shares. This distribution and service fee waiver will remain in place through at least April 30, 2020, and prior to such date Goldman Sachs may not terminate the arrangement
16
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
without the approval of the Trustees. For the fiscal year ended December 31, 2019, Goldman Sachs waived $22,281 in distribution and service fees for the Fund’s Service Shares.
C. Transfer Agency Agreement — Goldman Sachs also serves as the transfer agent of the Fund for a fee pursuant to the Transfer Agency Agreement. The fees charged for such transfer agency services are accrued daily and paid monthly at an annual rate of 0.02% of the average daily net assets of Institutional and Service Shares.
D. Other Expense Agreements and Affiliated Transactions — GSAM has agreed to reduce or limit certain “Other Expenses” of the Fund (excluding acquired fund fees and expenses, transfer agency fees and expenses, service fees and shareholder administration fees (as applicable), taxes, interest, brokerage fees, expenses of shareholder meetings, litigation and indemnification, and extraordinary expenses) to the extent such expenses exceed, on an annual basis, a percentage rate of the average daily net assets of the Fund. Such Other Expense reimbursements, if any, are accrued daily and paid monthly. In addition, the Fund is not obligated to reimburse GSAM for prior fiscal year expense reimbursements, if any. The Other Expense limitation as an annual percentage rate of average daily net assets for the Fund is 0.004%. The Other Expense limitation will remain in place through at least April 30, 2020, and prior to such date GSAM may not terminate the arrangement without the approval of the Trustees. In addition, the Fund has entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Fund’s expenses and are received irrespective of the application of the “Other Expense” limitation described above.
For the fiscal year ended December 31, 2019, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
Management Fee Waiver | Distribution and Service Fee Waiver | Custody Fee Credits | Other Expense Reimbursement | Total Expense Reductions | ||||||||||||||
$ | 245,754 | $ | 22,281 | $ | 7,235 | $ | 298,441 | $ | 573,711 |
E. Line of Credit Facility — As of December 31, 2019, the Fund participated in a $580,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the fiscal year ended December 31, 2019, the Fund did not have any borrowings under the facility. Prior to April 30, 2019 the facility was $770,000,000.
F. Other Transactions with Affiliates — For the fiscal year ended December 31, 2019, Goldman Sachs earned $889 in brokerage commissions from portfolio transactions.
The following table provides information about the Fund’s investments in the Goldman Sachs Financial Square Government Fund as of and for the fiscal year ended December 31, 2019:
Beginning Value as of December 31, 2018 | Purchases at Cost | Proceeds from Sales | Ending Value as of December 31, 2019 | Shares as of December 31, 2019 | Dividend Income from Affiliated Investment Company | |||||||||||||||||
$— | $ | 722,341 | $ | (722,341 | ) | $ | — | — | $ | 45 |
5. PORTFOLIO SECURITIES TRANSACTIONS
The cost of purchases and proceeds from sales and maturities of long-term securities for the fiscal year ended December 31, 2019, were $568,432,323 and $609,520,625, respectively.
17
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
Notes to Financial Statements(continued)
December 31, 2019
6. SECURITIES LENDING
Pursuant to exemptive relief granted by the Securities and Exchange Commission (“SEC”) and the terms and conditions contained therein, the Fund may lend its securities through a securities lending agent, Goldman Sachs Agency Lending (“GSAL”), a wholly-owned subsidiary of Goldman Sachs, to certain qualified borrowers including Goldman Sachs and affiliates. In accordance with the Fund’s securities lending procedures, the Fund receives cash collateral at least equal to the market value of the securities on loan. The market value of the loaned securities is determined at the close of business of the Fund, at their last sale price or official closing price on the principal exchange or system on which they are traded, and any additional required collateral is delivered to the Fund on the next business day. As with other extensions of credit, the Fund may experience delay in the recovery of its securities or incur a loss should the borrower of the securities breach its agreement with the Fund or become insolvent at a time when the collateral is insufficient to cover the cost of repurchasing securities on loan. Dividend income received from securities on loan may not be subject to withholding taxes and therefore withholding taxes paid may differ from the amounts listed in the Statement of Operations. Loans of securities are terminable at any time and as such 1) the remaining contractual maturities of the outstanding securities lending transactions are considered to be overnight and continuous and 2) the borrower, after notice, is required to return borrowed securities within the standard time period for settlement of securities transactions.
The Fund invests the cash collateral received in connection with securities lending transactions in the Goldman Sachs Financial Square Government Fund (“Government Money Market Fund”), an affiliated series of the Goldman Sachs Trust. The Government Money Market Fund is registered under the Act as an open end investment company, is subject to Rule2a-7 under the Act, and is managed by GSAM, for which GSAM may receive a management fee of up to 0.16% on an annualized basis of the average daily net assets of the Government Money Market Fund.
In the event of a default by a borrower with respect to any loan, GSAL will exercise any and all remedies provided under the applicable borrower agreement to make the Fund whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If GSAL is unable to purchase replacement securities, GSAL will indemnify the Fund by paying the Fund an amount equal to the market value of the securities loaned minus the value of cash collateral received from the borrower for the loan, subject to an exclusion for any shortfalls resulting from a loss of value in such cash collateral due to reinvestment risk. The Fund’s master netting agreements with certain borrowers provide the right, in the event of a default (including bankruptcy or insolvency), for thenon-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. However, in the event of a default by a borrower, a resolution authority could determine that such rights are not enforceable due to the restrictions or prohibitions against the right ofset-off that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws. The Fund’s loaned securities were all subject to enforceable Securities Lending Agreements and the value of the collateral was at least equal to the value of the cash received. The amounts of the Fund’s overnight and continuous agreements, which represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of December 31, 2019, are disclosed as “Payable upon return of securities loaned” on the Statement of Assets and Liabilities, where applicable. The Fund did not have securities on loan as of December 31, 2019.
Both the Fund and GSAL received compensation relating to the lending of the Fund’s securities. The amounts earned, if any, by the Fund for the fiscal year ended December 31, 2019, are reported under Investment Income on the Statement of Operations.
The table below details securities lending activity with affiliates of Goldman Sachs:
For the fiscal year Ended December 31, 2019 | ||||||||
Earnings of GSAL Relating to Securities Loaned | Amount Received by the Fund from Lending to Goldman Sachs | Amount Payable to Goldman Sachs Upon Return of Securities Loaned as of December 31, 2019 | ||||||
$55 | $ | 56 | $ | — |
18
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
6. SECURITIES LENDING (continued)
The following table provides information about the Fund’s investment in the Government Money Market Fund for the fiscal year ended December 31, 2019:
Beginning Value as of December 31, 2018 | Purchases at Cost | Proceeds from Sales | Ending Value as of December 31, 2019 | |||||||||||
$ | — | $ | 6,179,000 | $ | (6,179,000 | ) | $ | — |
7. TAX INFORMATION
The tax character of distributions paid during the fiscal years ended December 31, 2018 and December 31, 2019 was as follows:
2018 | 2019 | |||||||
Distributions paid from: | ||||||||
Ordinary income | $ | 27,075,755 | $ | 3,670,173 | ||||
Net long-term capital gains | 24,029,103 | 10,911,445 | ||||||
Total taxable distributions | $ | 51,104,858 | $ | 14,581,618 |
As of December 31, 2019, the components of accumulated earnings (losses) on atax-basis were as follows:
Undistributed ordinary income — net | $ | 538,849 | ||
Undistributed long-term capital gains | 2,104,149 | |||
Total undistributed earnings | $ | 2,642,998 | ||
Timing differences (Real Estate Trust Investments) | 5,184 | |||
Unrealized gains — net | 57,826,570 | |||
Total accumulated gains — net | $ | 60,474,752 |
As of December 31, 2019, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Tax cost | $ | 252,713,890 | ||
Gross unrealized gain | 59,044,031 | |||
Gross unrealized loss | (1,217,461 | ) | ||
Net unrealized gain | $ | 57,826,570 |
The difference between GAAP-basis andtax-basis unrealized gains (losses) is attributable primarily to wash sales and differences in the tax treatment of real estate investment trust investments.
GSAM has reviewed the Fund’s tax positions for all open tax years (the current and prior three years, as applicable) and has concluded that no provision for income tax is required in the Fund’s financial statements. Such open tax years remain subject to examination and adjustment by tax authorities.
19
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
Notes to Financial Statements(continued)
December 31, 2019
8. OTHER RISKS
The Fund’s risks include, but are not limited to, the following:
Investments in Other Investment Companies Risk — As a shareholder of another investment company, the Fund will indirectly bear its proportionate share of any net management fees and other expenses paid by such other investment companies, in addition to the fees and expenses regularly borne by the Fund.
Large Shareholder Transactions Risk — The Fund may experience adverse effects when certain large shareholders, such as other funds, participating insurance companies, accounts and Goldman Sachs affiliates, purchase or redeem large amounts of shares of the Fund. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may cause the Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact the Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in the Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect the Fund’s performance to the extent that the Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.
Liquidity Risk — The Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that the Fund will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, the Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If the Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Fund’s NAV and dilute remaining investors’ interests. Redemptions by large shareholders may have a negative impact on the Fund’s liquidity.
Market and Credit Risks — In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
9. INDEMNIFICATIONS
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
10. OTHER MATTERS
On November 5, 2019, a definitive proxy statement (“proxy”) was filed with the SEC to elect certain Trustees to the Trust. The Fund will bear its respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse the Fund to the extent such expenses exceed a specified percentage of the Fund’s net assets.
20
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
11. SUBSEQUENT EVENTS
Subsequent events after the Statement of Assets and Liabilities date other than above have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
12. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
For the Fiscal Year Ended December 31, 2019 | For the Fiscal Year Ended December 31, 2018 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 441,372 | $ | 7,774,633 | 416,442 | $ | 8,122,674 | ||||||||||
Reinvestment of distributions | 681,626 | 12,098,854 | 2,739,164 | 41,717,467 | ||||||||||||
Shares redeemed | (2,468,062 | ) | (42,483,665 | ) | (1,798,863 | ) | (36,105,931 | ) | ||||||||
(1,345,064 | ) | (22,610,178 | ) | 1,356,743 | 13,734,210 | |||||||||||
Service Shares | ||||||||||||||||
Shares sold | 228,384 | 3,875,360 | 774,115 | 15,735,764 | ||||||||||||
Reinvestment of distributions | 139,012 | 2,482,764 | 612,754 | 9,387,391 | ||||||||||||
Shares redeemed | (827,588 | ) | (14,150,377 | ) | (5,165,531 | ) | (101,893,366 | ) | ||||||||
(460,192 | ) | (7,792,253 | ) | (3,778,662 | ) | (76,770,211 | ) | |||||||||
NET DECREASE | (1,805,256) | $ (30,402,431) | (2,421,919 | ) | $ (63,036,001) |
21
Report of Independent Registered Public Accounting Firm
Tothe Board of Trustees of Goldman Sachs Variable Insurance Trust and Shareholders of Goldman Sachs U.S. Equity Insights Fund
Opinion on the Financial Statements
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Goldman Sachs U.S. Equity Insights Fund (one of the funds constituting Goldman Sachs Variable Insurance Trust, referred to hereafter as the “Fund”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statements of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes,and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.
Basis for Opinion
These financial statements are the responsibility of the Fund’s management. Our responsibility is to express an opinion on the Fund’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.
PricewaterhouseCoopers LLP
Boston, Massachusetts
February 14, 2020
We have served as the auditor of one or more investment companies in the Goldman Sachs fund complex since 2000.
22
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
Voting Results of Special Meeting of Shareholders (Unaudited)
A Special Meeting (the “Meeting”) of the Goldman Sachs Variable Insurance Trust (“VIT”) was held on January 23, 2020 to consider and act upon the proposal below. The Fund will amortize its respective share of the proxy, shareholder meeting and other related costs and GSAM has agreed to reimburse the Fund to the extent such expenses exceed a specified percentage of the Fund’s net assets.
At the Meeting, Dwight L. Bush, Kathryn A. Cassidy, Joaquin Delgado and Gregory G. Weaver were elected to the Trust’s Board of Trustees. In electing trustees, the Trust’s shareholders voted as follows:
Proposal 1.
Election of Trustees | For | Against | Withheld | Broker Non-Votes | ||||||||||||
Dwight L. Bush | 745,493,677.130 | 0 | 17,848,840.639 | 0 | ||||||||||||
Kathryn A. Cassidy | 746,559,784.810 | 0 | 16,782,732.959 | 0 | ||||||||||||
Joaquin Delgado | 744,593,456.532 | 0 | 18,749,061.237 | 0 | ||||||||||||
Gregory G. Weaver | 746,707,039.321 | 0 | 16,635,478.448 | 0 |
23
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
Fund Expenses — Six Month Period Ended December 31, 2019 (Unaudited) |
As a shareholder of Institutional or Service Shares of the Fund, you incur ongoing costs, including management fees, distribution and/or service(12b-1) fees (with respect to Service Shares) and other Fund expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in Institutional Shares and Service Shares of the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period from July 1, 2019 through December 31, 2019, which represents a period of 184 days of a 365 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. As a shareholder of the Fund you do not incur any transaction costs, such as sales charges, redemption fees, or exchange fees, but shareholders of other funds may incur such costs. The second line of the table is useful in comparing ongoing costs only and will not help you determine the relative total costs of owning different funds whose shareholders may incur transaction costs.
Share Class | Beginning Account Value 07/01/19 | Ending Account Value 12/31/19 | Expenses Paid for the 6 Months Ended 12/31/19* | |||||||||
Institutional | ||||||||||||
Actual | $ | 1,000 | $ | 1,085.30 | $ | 3.05 | ||||||
Hypothetical 5% return | 1,000 | 1,022.28 | + | 2.96 | ||||||||
Service | ||||||||||||
Actual | 1,000 | 1,084.30 | 4.15 | |||||||||
Hypothetical 5% return | 1,000 | 1,021.22 | + | 4.02 |
+ | Hypothetical expenses are based on the Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
* | Expenses are calculated using the Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended December 31, 2019. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 0.58% and 0.79% for Institutional and Service Shares, respectively. |
24
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
Trustees and Officers (Unaudited)
Independent Trustees
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||||
Jessica Palmer Age: 70 | Chair of the Board of Trustees | Since 2018 (Trustee since 2007) | Ms. Palmer is retired. She was formerly Consultant, Citigroup Human Resources Department (2007-2008); Managing Director, Citigroup Corporate and Investment Banking (previously, Salomon Smith Barney/Salomon Brothers) (1984-2006). Ms. Palmer was a Member of the Board of Trustees of Indian Mountain School (private elementary and secondary school) (2004-2009).
Chair of the Board of Trustees — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Kathryn A. Cassidy Age: 65 | Trustee | Since 2015 | Ms. Cassidy is retired. Formerly, she was Advisor to the Chairman (May 2014-December 2014); and Senior Vice President and Treasurer (2008-2014), General Electric Company & General Electric Capital Corporation (technology and financial services companies).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Diana M. Daniels Age: 70 | Trustee | Since 2007 | Ms. Daniels is retired. Formerly, she was Vice President, General Counsel and Secretary, The Washington Post Company (1991-2006). Ms. Daniels is a Trustee Emeritus and serves as a Presidential Councillor of Cornell University (2013-Present); former Member of the Legal Advisory Board, New York Stock Exchange (2003-2006) and of the Corporate Advisory Board, Standish Mellon Management Advisors (2006-2007).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Roy W. Templin Age: 59 | Trustee | Since 2013 | Mr. Templin is retired. He is Director, Armstrong World Industries, Inc. (a designer and manufacturer of ceiling, wall and suspension system solutions) (2016-Present); and was formerly Chairman of the Board of Directors, Con-Way Incorporated (a transportation, logistics and supply chain management service company) (2014-2015); Executive Vice President and Chief Financial Officer, Whirlpool Corporation (an appliance manufacturer and marketer) (2004-2012). Previously, Mr. Templin served as an Advisory Board Member of Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust (June 2013-October 2013).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Armstrong World Industries, Inc. (a ceiling, wall and suspension systems solutions manufacturer) | |||||||
Gregory G. Weaver Age: 68 | Trustee | Since 2015 | Mr. Weaver is retired. He is Director, Verizon Communications Inc. (2015-Present); and was formerly Chairman and Chief Executive Officer, Deloitte & Touche LLP (a professional services firm) (2001-2005 and 2012-2014); and Member of the Board of Directors, Deloitte & Touche LLP (2006-2012).
Trustee — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Verizon Communications Inc. | |||||||
25
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
Trustees and Officers (Unaudited) (continued)
Interested Trustee*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Trustee3 | Other Directorships Held by Trustee4 | |||||||
James A. McNamara Age: 57 | President and Trustee | Since 2007 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | 165 | None | |||||||
Advisory Board Members
Name, Address, Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | Number of Portfolios in Fund Complex Overseen by Advisory Board Member3 | Other Directorships Held by Advisory Board Member4 | |||||||
Dwight L. Bush Age: 62 | Advisory Board Member | Since 2019 | Ambassador Bush is President and CEO of D.L. Bush & Associates (a financial advisory and private investment firm) (2002-2014 and 2017-present); and was formerly U.S. Ambassador to the Kingdom of Morocco (2014-2017) and a Member of the Board of Directors of Santander Bank, N.A. (2018-2019).
Advisory Board Member — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | None | |||||||
Joaquin Delgado Age: 59 | Advisory Board Member | Since 2019 | Dr. Delgado is retired. He is Director, Hexion Inc. (a specialty chemical manufacturer) (2019-present); and Director, Stepan Company (a specialty chemical manufacturer) (2011-present); and was formerly Executive Vice President, Consumer Business Group of 3M Company (July 2016-July 2019); and Executive Vice President, Health Care Business Group of 3M Company (October 2012-July 2016).
Advisory Board Member — Goldman Sachs Trust and Goldman Sachs Variable Insurance Trust. | 102 | Stepan Company (a specialty chemical manufacturer) | |||||||
* | Mr. McNamara is considered to be an “Interested Trustee” because he holds positions with Goldman Sachs and owns securities issued by The Goldman Sachs Group, Inc. Mr. McNamara holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
1 | Each Trustee and Advisory Board Member may be contacted by writing to the Trustee or Advisory Board Member, c/o Goldman Sachs, 200 West Street, New York, New York, 10282, Attn: Caroline Kraus. Information is provided as of December 31, 2019. |
2 | Subject to such policies as may be adopted by the Board from time-to-time, each Trustee holds office for an indefinite term, until the earliest of: (a) the election of his or her successor; (b) the date the Trustee resigns or is removed by the Board or shareholders, in accordance with the Trust’s Declaration of Trust; or (c) the termination of the Trust. The Board has adopted policies which provide that (a) no Trustee shall hold office for more than 15 years and (b) a Trustee shall retire as of December 31st of the calendar year in which he or she reaches his or her 74th birthday, unless a waiver of such requirements shall have been adopted by a majority of the other Trustees. These policies may be changed by the Trustees without shareholder vote. |
3 | The Goldman Sachs Fund Complex includes certain other companies listed above for each respective Trustee. As of December 31, 2019, Goldman Sachs Trust consisted of 89 portfolios; Goldman Sachs Variable Insurance Trust consisted of 13 portfolios; Goldman Sachs Trust II consisted of 19 portfolios (17 of which offered shares to the public); Goldman Sachs MLP Income Opportunities Fund, Goldman Sachs MLP and Energy Renaissance Fund, Goldman Sachs Credit Income Fund and Goldman Sachs Real Estate Diversified Income Fund each consisted of one portfolio; and Goldman Sachs ETF Trust consisted of 40 portfolios (21 of which offered shares to the public). |
4 | This column includes only directorships of companies required to report to the Securities and Exchange Commission under the Securities Exchange Act of 1934 (i.e., “public companies”) or other investment companies registered under the Act. |
Additional information about the Trustees is available in the Fund’s Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384. Additional information about the Advisory Board Members will be available in the Fund’s Statement of Additional Information dated April 30, 2020, which will be available from Goldman Sachs free of charge by calling this toll-free number (in the United States of America): 1-800-526-7384.
26
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
Trustees and Officers (Unaudited) (continued)
Officers of the Trust*
Name, Address and Age1 | Position(s) Held with the Trust | Term of Office and | Principal Occupation(s) During Past 5 Years | |||
James A. McNamara 200 West Street New York, NY 10282 Age: 57 | Trustee and President | Since 2007 | Advisory Director, Goldman Sachs (January 2018-Present); Managing Director, Goldman Sachs (January 2000-December 2017); Director of Institutional Fund Sales, GSAM (April 1998-December 2000); and Senior Vice President and Manager, Dreyfus Institutional Service Corporation (January 1993-April 1998).
President and Trustee — Goldman Sachs Trust; Goldman Sachs Variable Insurance Trust; Goldman Sachs Trust II; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Caroline L. Kraus 200 West Street New York, NY 10282 Age: 42 | Secretary | Since 2012 | Managing Director, Goldman Sachs (January 2016-Present); Vice President, Goldman Sachs (August 2006-December 2015); Associate General Counsel, Goldman Sachs (2012-Present); Assistant General Counsel, Goldman Sachs (August 2006-December 2011); and Associate, Weil, Gotshal & Manges, LLP (2002-2006).
Secretary — Goldman Sachs Trust (previously Assistant Secretary (2012)); Goldman Sachs Variable Insurance Trust (previously Assistant Secretary (2012)); Goldman Sachs Trust II; Goldman Sachs BDC, Inc.; Goldman Sachs Private Middle Market Credit LLC; Goldman Sachs Private Middle Market Credit II LLC; Goldman Sachs Middle Market Lending Corp.; Goldman Sachs MLP Income Opportunities Fund; Goldman Sachs MLP and Energy Renaissance Fund; Goldman Sachs ETF Trust; Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
Joseph F. DiMaria 30 Hudson Street Jersey City, NJ 07302 Age: 51 | Treasurer, Principal Financial Officer and Principal Accounting Officer | Since 2017 (Treasurer and Principal Financial Officer since 2019) | Managing Director, Goldman Sachs (November 2015-Present) and Vice President — Mutual Fund Administration, Columbia Management Investment Advisers, LLC (May 2010-October 2015). Treasurer, Principal Financial Officer and Principal Accounting Officer — Goldman Sachs Trust (previously Assistant Treasurer (2016)); Goldman Sachs Variable Insurance Trust (previously Assistant Treasurer (2016)); Goldman Sachs Trust II (previously Assistant Treasurer (2017)); Goldman Sachs MLP Income Opportunities Fund (previously Assistant Treasurer (2017)); Goldman Sachs MLP and Energy Renaissance Fund (previously Assistant Treasurer (2017)); Goldman Sachs ETF Trust (previously Assistant Treasurer (2017)); Goldman Sachs Credit Income Fund; and Goldman Sachs Real Estate Diversified Income Fund. | |||
* | Represents a partial list of officers of the Trust. Additional information about all the officers is available in the Fund’s Statement of Additional Information, which can be obtained from Goldman Sachs free of charge by calling this toll-free number (in the United States): 1-800-526-7384. |
1 | Information is provided as of December 31, 2019. |
2 | Officers hold office at the pleasure of the Board of Trustees or until their successors are duly elected and qualified. Each officer holds comparable positions with certain other companies of which Goldman Sachs, GSAM or an affiliate thereof is the investment adviser, administrator and/or distributor. |
Goldman Sachs Variable Insurance Trust — Tax Information (Unaudited)
For the year ended December 31, 2019, 93.85% of the dividends paid from net investment company taxable income by the U.S. Equity Insights Fund qualify for the dividends received deduction available to corporations.
Pursuant to Section 852 of the Internal Revenue Code, the U.S. Equity Insights Fund designates $10,911,445, or, if different, the maximum amount allowable, as capital gain dividends paid during the year ended December 31, 2019.
27
TRUSTEES | OFFICERS | |
Jessica Palmer,Chair | James A. McNamara,President | |
Dwight L. Bush* | Joseph F. DiMaria,Principal Financial Officer, | |
Kathryn A. Cassidy | Principal Accounting Officer and Treasurer | |
Diana M. Daniels | Caroline L. Kraus,Secretary | |
Joaquin Delgado* | ||
James A. McNamara | ||
Roy W. Templin | ||
Gregory G. Weaver | ||
*Effective as of January 23, 2020 |
GOLDMAN SACHS & CO. LLC
Distributor and Transfer Agent
GOLDMAN SACHS ASSET MANAGEMENT, L.P.
Investment Adviser
200 West Street, New York
New York 10282
Visit our web site at www.GSAMFUNDS.com to obtain the most recentmonth-end returns.
The reports concerning the Fund included in this shareholder report may contain certain forward-looking statements about the factors that may affect the performance of the Fund in the future. These statements are based on Fund management’s predictions and expectations concerning certain future events and their expected impact on the Fund, such as performance of the economy as a whole and of specific industry sectors, changes in the levels of interest rates, the impact of developing world events, and other factors that may influence the future performance of the Fund. Management believes these forward-looking statements to be reasonable, although they are inherently uncertain and difficult to predict. Actual events may cause adjustments in portfolio management strategies from those currently expected to be employed.
A description of the policies and procedures that the Fund uses to determine how to vote proxies relating to portfolio securities and information regarding how the Fund voted proxies relating to portfolio securities for the12-month period ended December 31 is available (i) without charge, upon request by calling1-800-621-2550; and (ii) on the Securities and Exchange Commission (“SEC”) web site athttp://www.sec.gov.
The Fund will file its portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be made available on the SEC’s web site at http://www.sec.gov. Portfolio holdings information may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).
Views and opinions expressed are for informational purposes only and do not constitute a recommendation by GSAM to buy, sell, or hold any security. Views and opinions are current as of the date of this presentation and may be subject to change, they should not be construed as investment advice.
Goldman Sachs & Co. LLC (“Goldman Sachs”) does not provide legal, tax or accounting advice. Any statement contained in this communication (including any attachments) concerning U.S. tax matters was not intended or written to be used, and cannot be used, for the purpose of avoiding penalties under the Internal Revenue Code, and was written to support the promotion or marketing of transaction or matter addressed. Clients of Goldman Sachs should obtain their own independent tax advice based on their particular circumstances.
The website links provided are for your convenience only and are not an endorsement or recommendation by GSAM of any of these websites or the products or services offered. GSAM is not responsible for the accuracy and validity of the content of these websites.
Fund holdings and allocations shown are as of December 31, 2019 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
References to indices, benchmarks or other measures of relative market performance over a specified period of time are provided for your information only and do not imply that the portfolio will achieve similar results. The index composition may not reflect the manner in which a portfolio is constructed. While an adviser seeks to design a portfolio which reflects appropriate risk and return features, portfolio characteristics may deviate from those of the benchmark.
The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of Morgan Stanley Capital International Inc. (“MSCI”) and Standard & Poor’s, a division of The McGraw-Hill Companies, Inc. (“S&P”) and is licensed for use by Goldman Sachs. Neither MSCI, S&P nor any other party involved in making or compiling the GICS or any GICS classifications makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any of such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of their affiliates or any third party involved in making or compiling the GICS or any GICS classifications have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.
The portfolio risk management process includes an effort to monitor and manage risk, but does not imply low risk.
Shares of the Goldman Sachs VIT Funds are offered to separate accounts of participating life insurance companies for the purpose of funding variable annuity contracts and variable life insurance policies. Shares of the Fund are not offered directly to the general public. The variable annuity contracts and variable life insurance policies are described in the separate prospectuses issued by participating insurance companies. You should refer to those prospectuses for information about surrender charges, mortality and expense risk fees and other charges that may be assessed by participating insurance companies under the variable annuity contracts or variable life insurance policies. Such fees or charges, if any, may affect the return you may realize with respect to your investments. Ask your representative for more complete information. Please consider a fund’s objectives, risks and charges and expenses, and read the prospectus carefully before investing. The prospectus contains this and other information about the Fund.
This material is not authorized for distribution to prospective investors unless preceded or accompanied by a current prospectus or summary prospectus, if applicable. Investors should consider the Fund’s objective, risks, and charges and expenses, and read the summary prospectus, if available, and/or the prospectus carefully before investing or sending money. The summary prospectus, if available, and the prospectus contain this and other information about the Fund and may be obtained from your authorized dealer or from Goldman Sachs & Co. LLC by calling1-800-621-2550.
This report is prepared for the general information of contract owners and is not an offer of shares of the Goldman Sachs Variable Insurance Trust — Goldman Sachs U.S. Equity Insights Fund.
© 2020 Goldman Sachs. All rights reserved.
VITUSAR-20/192788-OTU-1133679
ITEM 2. | CODE OF ETHICS. |
(a) | As of the end of the period covered by this report, the registrant has adopted a code of ethics that applies to the registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the “Code of Ethics”). |
(b) | During the period covered by this report, no amendments were made to the provisions of the Code of Ethics. |
(c) | During the period covered by this report, the registrant did not grant any waivers, including an implicit waiver, from any provision of the Code of Ethics. |
(d) | A copy of the Code of Ethics is available as provided in Item 13(a)(1) of this report. |
ITEM 3. | AUDIT COMMITTEE FINANCIAL EXPERT. |
The registrant’s board of trustees has determined that the registrant has at least one “audit committee financial expert” (as defined in Item 3 of FormN-CSR) serving on its audit committee. Gregory G. Weaver is the “audit committee financial expert” and is “independent” (as each term is defined in Item 3 of FormN-CSR). |
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
Item 4 — Principal Accountant Fees and Services for the Goldman Sachs Variable Insurance Trust (“GSVIT”):
Table 1 – Items 4(a)- 4(d)
2019 | 2018 | Description of Services Rendered | ||||||||
Audit Fees: | ||||||||||
• PricewaterhouseCoopers (“PwC”) | $ | 437,130 | | $ | 476,700 | Financial statement audits. | ||||
Audit-Related Fees | ||||||||||
PwC | $ | 34,240 | | $ | 18,142 | Other attest services. | ||||
Tax Fees | ||||||||||
PwC | $ | 113,470 | $ | 116,270 | Tax compliance services provided in connection with the preparation and review of the Registrant’s tax returns. |
Items 4(b)(c) & (d) Table 2.Non-Audit Services to the GSVIT’s * that werepre-approved by the GSVIT’s Audit Committee pursuant to Rule2-01(c)(7)(ii) of RegulationS-X
2019 | 2018 | Description of Services Rendered | ||||||||
Audit-Related Fees | ||||||||||
PwC | $ | 2,000,617 | $ | 1,845,098 | Internal control review performed in accordance with Statement on Standards for Attestation Engagements No. 16 and Semi-Annual Updates related to withholding tax accrual for non-US Jurisdictions. These fees are borne by the Funds’ adviser. |
* | These include the advisor (excludingsub-advisors) and any entity controlling, controlled by or under common control with the advisor that provides ongoing services to the registrant (hereinafter referred to as “service affiliates”). |
Item 4(e)(1) — Audit Committee Pre Approval Policies and Procedures
Pre-Approval of Audit andNon-Audit Services Provided to the Funds of the Goldman Sachs Variable Insurance Trust. The Audit andNon-Audit ServicesPre-Approval Policy (the “Policy”) adopted by the Audit Committee of GSVIT sets forth the procedures and the conditions pursuant to which services performed by an independent auditor for GSVIT may bepre-approved. Services may bepre-approved specifically by the Audit Committee as a whole or, in certain circumstances, by the Audit Committee Chairman or the person designated as the Audit Committee Financial Expert. In addition, subject to specified cost limitations, certain services may bepre-approved under the provisions of the Policy. The Policy provides that the Audit Committee will consider whether the services provided by an independent auditor are consistent with the Securities and Exchange Commission’s rules on auditor independence. The Policy provides for periodic review andpre-approval by the Audit Committee of the services that may be provided by the independent auditor.
De Minimis Waiver. Thepre-approval requirements of the Policy may be waived with respect to the provision ofnon-audit services that are permissible for an independent auditor to perform, provided (1) the aggregate amount of all such services provided constitutes no more than five percent of the total amount of revenues subject topre-approval that was paid to the independent auditors during the fiscal year in which the services are provided; (2) such services were not recognized by GSVIT at the time of the engagement to benon-audit services; and (3) such services are promptly brought to the attention of the Audit Committee and approved prior to the completion of the audit by the Audit Committee or by one or more members of the Audit Committee to whom authority to grant such approvals has been delegated by the Audit Committee, pursuant to thepre-approval provisions of the Policy.
Pre-Approval ofNon-Audit Services Provided to GSVIT’s Investment Advisers. The Policy provides that, in addition to requiringpre-approval of audit andnon-audit services provided to GSVIT, the Audit Committee willpre-approve thosenon-audit services provided to GSVIT’s investment advisers (and entities controlling, controlled by or under common control with the investment advisers that provide ongoing services to GSVIT) where the engagement relates directly to the operations or financial reporting of GSVIT.
Item 4(e)(2) —0% of the audit-related fees, tax fees and other fees listed in Table 1 were approved by GSVIT’s Audit Committee pursuant to the “de minimis” exception of Rule2-01(c)(7)(i)(C) of RegulationS-X. In addition, 0% of thenon-audit services to the GSVIT’s service affiliates listed in Table 2 were approved by GSVIT’s Audit Committee pursuant to the “de minimis” exception of Rule2-01(c)(7)(i)(C) of RegulationS-X.
Item 4(f) —Not applicable.
Items 4(g) AggregateNon-Audit Fees Disclosure
The aggregatenon-audit fees billed to GSVIT for the twelve months ended December 31, 2019 and December 31, 2018 by PwC were approximately $147,710 and $134,412, respectively.
The aggregatenon-audit fees billed to GSVIT’s adviser and service affiliates fornon-audit services for the twelve months ended December 31, 2018 and December 31, 2017 by PwC were approximately $12.3 million and $9.4 million, respectively. The figures for these entities are not yet available for the twelve months ended December 31, 2019. With regard to the aggregate non-audit fees billed to GSVIT’s adviser and service affiliates, the 2018 and 2017 amounts include fees for non-audit services required to be pre-approved [see Table 2] and fees for non-audit services that did not require pre-approval since they did not directly relate to GSVIT’s operations or financial reporting.
Items 4(h) —GSVIT’s Audit Committee has considered whether the provision ofnon-audit services to GSVIT’s investment adviser and service affiliates that did not requirepre-approval pursuant to paragraph (c)(7)(ii) of Rule2-01 of RegulationS-X is compatible with maintaining the auditor’s independence.
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable.
ITEM 6. | SCHEDULE OF INVESTMENTS |
Schedule of Investments is included as part of the Reports to Shareholders filed under Item 1.
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FORCLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 8. | PORTFOLIO MANAGERS OFCLOSED-END MANAGEMENT INVESTMENT COMPANIES |
Not applicable.
ITEM 9. | PURCHASES OF EQUITY SECURITIES BYCLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS |
Not applicable.
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees.
ITEM 11. | CONTROLS AND PROCEDURES. |
(a) | The registrant’s principal executive and principal financial officers or persons performing similar functions have concluded that the registrant’s disclosure controls and procedures (as defined in Rule30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule30a-3(b) under the 1940 Act and15d-15(b) under the Securities Exchange Act of 1934, as amended. |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect the registrant’s internal control over financial reporting. |
ITEM 12. | DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 13. | EXHIBITS. |
(a)(1) | Goldman Sachs Variable Insurance Trust’s Code of Ethics for Principal Executive and Senior Financial Officers is incorporated by reference to Exhibit 12(a)(1) of the registrant’sForm N-CSR filed on February 27, 2015. | |||
(a)(2) | Exhibit 99.CERT | Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 filed herewith | ||
(a)(3) | Not applicable to open-end investment companies. | |||
(a)(4) | There was no change in the registrant’s independent public accountant for the period covered by this report. | |||
(b) | Exhibit 99.906CERT | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 filed herewith |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Goldman Sachs Variable Insurance Trust
/s/ James A. McNamara | ||
By: James A. McNamara | ||
Chief Executive Officer of | ||
Goldman Sachs Variable Insurance Trust | ||
Date: February 24, 2020 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
/s/ James A. McNamara | ||
By: James A. McNamara | ||
Chief Executive Officer of | ||
Goldman Sachs Variable Insurance Trust | ||
Date: February 24, 2020 | ||
/s/ Joseph F. DiMaria | ||
By: Joseph F. DiMaria | ||
Principal Financial Officer of | ||
Goldman Sachs Variable Insurance Trust | ||
Date: February 24, 2020 |