UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number 811-08361
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: June 30, 2020
ITEM 1. | REPORTS TO STOCKHOLDERS. |
The Semi-Annual Reports to Shareholders are filed herewith. |
Goldman
Sachs Variable 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.
Semi-Annual Report
June 30, 2020
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
Goldman Sachs Variable Insurance Trust Global Trends Allocation Fund
Recent Market Events related to COVID-19
An outbreak of a novel strain of coronavirus (COVID-19) has emerged globally. The outbreak of COVID-19 has prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, curfews and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, and disruption in manufacturing and supply chains. While governments have already taken unprecedented action to limit disruption to the financial system, global financial markets have experienced and may continue to experience significant volatility resulting from the spread of and subsequent intervening measures intended to limit the spread of COVID-19. The Fund could be negatively impacted if the value of a portfolio holding were harmed by such political or economic conditions, events, or actions. The full extent of the impact of COVID-19 on the Fund’s performance cannot be determined at this time and will depend on future developments, including the duration and the continued spread of the outbreak. Goldman Sachs Asset Management’s long-term commitment to you, our Fund shareholders, remains unchanged. We encourage you to maintain perspective and stay current with timely commentary and investment insights by visiting gsam.com.
1
FUND BASICS
Global Trends Allocation Fund
as of June 30, 2020
PERFORMANCE REVIEW
January 1, 2020–June 30, 2020 | Fund Total Return (based on NAV)1 | 60% MSCI World / 40% Bloomberg Barclays U.S. Treasury Index2 | MSCI World Index (Net, USD, Hedged)3 | Bloomberg Barclays U.S. Treasury Index (Total Return, USD, Unhedged)4 | ||||||||||
Institutional | -5.19 | % | 0.94 | % | -5.48 | % | 8.71% | |||||||
Service | -5.28 | 0.94 | -5.48 | 8.71 |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The Fund’s blended benchmark index is comprised of 60% the MSCI World Index and 40% the Bloomberg Barclays U.S. Treasury Index. It is not possible to invest directly in an unmanaged index. |
3 | MSCI World Index is a broad global equity index that represents large and mid-cap equity performance across 23 developed markets countries. It covers approximately 85% of the free float-adjusted market capitalization in each country. It is not possible to invest directly in an unmanaged index. |
4 | Bloomberg Barclays U.S. Treasury Index measures U.S. dollar-denominated, fixed-rate, nominal debt issued by the U.S. Treasury. Treasury bills are excluded by the maturity constraint. It is not possible to invest directly in an unmanaged index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
2
FUND BASICS
FUND COMPOSITION5
5 | 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 Fund’s investment strategies, holdings, and performance.
3
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
Schedule of Investments
June 30, 2020 (Unaudited)
Shares | Description | Value | ||||||
Exchange Traded Funds – 14.0% | ||||||||
133,365 | iShares Core S&P 500 ETF | $ | 41,301,807 | |||||
10,800 | Vanguard S&P 500 ETF | 3,061,044 | ||||||
|
| |||||||
TOTAL EXCHANGE TRADED FUNDS | ||||||||
(Cost $29,981,988) | $ | 44,362,851 | ||||||
|
| |||||||
Shares | Dividend Rate | Value | ||||||
Investment Companies(a) – 55.0% | ||||||||
| Goldman Sachs Financial Square Government Fund — | | ||||||
94,359,629 | 0.155% | $ | 94,359,629 | |||||
| Goldman Sachs Financial Square Treasury Instruments Fund — | | ||||||
15,735,406 | 0.069 | 15,735,406 | ||||||
| Goldman Sachs Financial Square Treasury Obligations Fund — | | ||||||
31,470,812 | 0.132 | 31,470,812 | ||||||
| Goldman Sachs Financial Square Treasury Solutions Fund — | | ||||||
31,470,812 | 0.064 | 31,470,812 | ||||||
|
| |||||||
TOTAL INVESTMENT COMPANIES | ||||||||
(Cost $173,036,659) | $ | 173,036,659 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 69.0% | ||||||||
(Cost $203,018,647) | $ | 217,399,510 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF | 97,445,459 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 314,844,969 | ||||||
|
|
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
(a) | Represents an Affiliated Issuer. |
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS — At June 30, 2020, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
EURO STOXX 50 Index | 231 | 09/18/2020 | $ | 8,364,604 | $ | (28,594 | ) | |||||||||
FTSE 100 Index | 132 | 09/18/2020 | 10,054,925 | (89,385 | ) | |||||||||||
TOPIX Index | 69 | 09/10/2020 | 9,959,389 | (356,000 | ) | |||||||||||
U.S. Treasury 10 Year Note | 1,351 | 09/21/2020 | 187,978,984 | 591,569 | ||||||||||||
Total Futures Contracts |
| $ | 117,590 |
4 | 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
June 30, 2020 (Unaudited)
Assets: | ||||
Investments in affiliated issuers, at value (cost $173,036,659) | $ | 173,036,659 | ||
Investments in unaffiliated issuers, at value (cost $29,981,988) | 44,362,851 | |||
Cash | 91,692,743 | |||
Foreign currencies, at value (cost $1,425) | 1,462 | |||
Receivables: | ||||
Collateral on certain derivative contracts | 5,482,660 | |||
Fund shares sold | 907,839 | |||
Dividends | 33,375 | |||
Reimbursement from investment adviser | 24,197 | |||
Other assets | 824 | |||
Total assets | 315,542,610 | |||
Liabilities: | ||||
Variation margin on futures | 295,766 | |||
Payables: | ||||
Management fees | 148,449 | |||
Fund shares redeemed | 108,102 | |||
Distribution and Service fees and Transfer Agency fees | 69,357 | |||
Accrued expenses | 75,967 | |||
Total liabilities | 697,641 | |||
Net Assets: | ||||
Paid-in capital | 305,886,106 | |||
Total distributable earnings (loss) | 8,958,863 | |||
NET ASSETS | $ | 314,844,969 | ||
Net Assets: | ||||
Institutional | $ | 262,642 | ||
Service | 314,582,327 | |||
Total Net Assets | $ | 314,844,969 | ||
Shares outstanding $0.001 par value (unlimited shares authorized): | ||||
Institutional | 22,481 | |||
Service | 26,996,547 | |||
Net asset value, offering and redemption price per share: | ||||
Institutional | $11.68 | |||
Service | 11.65 |
The accompanying notes are an integral part of these financial statements. | 5 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
Statement of Operations
For the Six Months Ended June 30, 2020 (Unaudited)
Investment income: | ||||
Dividends — affiliated issuers | $ | 680,071 | ||
Dividends — unaffiliated issuers | 515,431 | |||
Securities lending income — affiliated issuer | 34 | |||
Total investment income | 1,195,536 | |||
Expenses: | ||||
Management fees | 1,277,663 | |||
Distribution and Service fees — Service Shares | 403,992 | |||
Professional fees | 55,869 | |||
Printing and mailing costs | 34,129 | |||
Transfer Agency fees(a) | 32,343 | |||
Custody, accounting and administrative services | 28,551 | |||
Trustee fees | 9,692 | |||
Other | 6,008 | |||
Total expenses | 1,848,247 | |||
Less — expense reductions | (510,724 | ) | ||
Net expenses | 1,337,523 | |||
NET INVESTMENT LOSS | (141,987 | ) | ||
Realized and unrealized gain (loss): | ||||
Net realized gain (loss) from: | ||||
Investments — unaffiliated issuers | 5,377,199 | |||
Futures contracts | (12,758,873 | ) | ||
Foreign currency transactions | 446,771 | |||
Net change in unrealized gain (loss) on: | ||||
Investments — unaffiliated issuers | (11,817,977 | ) | ||
Futures contracts | 712,166 | |||
Foreign currency translation | (42,342 | ) | ||
Net realized and unrealized loss | (18,083,056 | ) | ||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (18,225,043 | ) |
(a) Institutional and Service Shares incurred Transfer Agency fees of $26 and $32,317, respectively.
6 | 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 Six Months Ended June 30, 2020 (Unaudited) | For the Fiscal Year Ended December 31, 2019 | |||||||
From operations: | ||||||||
Net investment income (loss) | $ | (141,987 | ) | $ | 3,172,465 | |||
Net realized gain (loss) | (6,934,903 | ) | 22,215,858 | |||||
Net change in unrealized gain (loss) | (11,148,153 | ) | 14,993,095 | |||||
Net increase (decrease) in net assets resulting from operations | (18,225,043 | ) | 40,381,418 | |||||
Distributions to shareholders: | ||||||||
From distributable earnings: | ||||||||
Institutional Shares | — | (16,100 | ) | |||||
Service Shares | — | (19,290,888 | ) | |||||
Total distributions to shareholders | — | (19,306,988 | ) | |||||
From share transactions: | ||||||||
Proceeds from sales of shares | 9,164,034 | 25,165,924 | ||||||
Reinvestment of distributions | — | 19,306,988 | ||||||
Cost of shares redeemed | (21,589,533 | ) | (116,140,276 | ) | ||||
Net decrease in net assets resulting from share transactions | (12,425,499 | ) | (71,667,364 | ) | ||||
TOTAL DECREASE | (30,650,542 | ) | (50,592,934 | ) | ||||
Net Assets: | ||||||||
Beginning of period | 345,495,511 | 396,088,445 | ||||||
End of period | $ | 314,844,969 | $ | 345,495,511 |
The accompanying notes are an integral part of these financial statements. | 7 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Global Trends Allocation Fund | ||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.32 | $ | 11.65 | $ | 12.46 | $ | 11.33 | $ | 10.89 | $ | 11.82 | ||||||||||||
Net investment income (loss)(a) | 0.01 | 0.15 | 0.14 | 0.06 | (0.03 | ) | 0.01 | |||||||||||||||||
Net realized and unrealized gain (loss) | (0.65 | ) | 1.28 | (0.64 | ) | 1.46 | 0.52 | (0.67 | ) | |||||||||||||||
Total from investment operations | (0.64 | ) | 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 period | $ | 11.68 | $ | 12.32 | $ | 11.65 | $ | 12.46 | $ | 11.33 | $ | 10.89 | ||||||||||||
Total return(b) | (5.19 | )% | 12.29 | % | (4.08 | )% | 13.36 | % | 4.49 | % | (5.52 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 263 | $ | 277 | $ | 247 | $ | 30 | $ | 27 | $ | 1,008 | ||||||||||||
Ratio of net expenses to average net assets | 0.58 | %(c) | 0.59 | % | 0.51 | % | 0.68 | % | 0.74 | % | 0.75 | % | ||||||||||||
Ratio of total expenses to average net assets | 0.89 | %(c) | 0.89 | % | 0.86 | % | 0.86 | % | 0.89 | % | 0.92 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | 0.16 | %(c) | 1.18 | % | 1.13 | % | 0.46 | % | (0.25 | )% | 0.12 | % | ||||||||||||
Portfolio turnover rate(d) | 99 | % | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(c) | Annualized. |
(d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
8 | 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 Period
Goldman Sachs Global Trends Allocation Fund | ||||||||||||||||||||||||
Service Shares | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.30 | $ | 11.64 | $ | 12.45 | $ | 11.32 | $ | 10.88 | $ | 11.82 | ||||||||||||
Net investment income (loss)(a) | (0.01 | ) | 0.11 | 0.08 | 0.03 | 0.02 | (0.02 | ) | ||||||||||||||||
Net realized and unrealized gain (loss) | (0.64 | ) | 1.28 | (0.62 | ) | 1.46 | 0.45 | (0.67 | ) | |||||||||||||||
Total from investment operations | (0.65 | ) | 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 period | $ | 11.65 | $ | 12.30 | $ | 11.64 | $ | 12.45 | $ | 11.32 | $ | 10.88 | ||||||||||||
Total return(b) | (5.28 | )% | 11.94 | % | (4.34 | )% | 13.11 | % | 4.33 | % | (5.82 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 314,582 | $ | 345,219 | $ | 395,842 | $ | 406,867 | $ | 353,615 | $ | 354,706 | ||||||||||||
Ratio of net expenses to average net assets | 0.83 | %(c) | 0.84 | % | 0.81 | % | 0.93 | % | 1.00 | % | 1.00 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.14 | %(c) | 1.14 | % | 1.11 | % | 1.11 | % | 1.13 | % | 1.17 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | (0.09 | )%(c) | 0.91 | % | 0.63 | % | 0.21 | % | 0.20 | % | (0.16 | )% | ||||||||||||
Portfolio turnover rate(d) | 99 | % | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(c) | Annualized. |
(d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
Notes to Financial Statements
June 30, 2020 (Unaudited)
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 an open-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 on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Investment income is recorded net of any foreign withholding taxes, less any amounts reclaimable. The Fund may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments.
For derivative contracts, realized gains and losses are recorded upon settlement of the contract.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, and non-class specific expenses of the Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by the Fund are charged to the Fund, while such expenses incurred by the Trust are allocated across the Fund on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class-specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service and Transfer Agency fees.
D. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid at least annually.
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the Fund’s distributions may be shown in the accompanying financial statements as either from distributable earnings or capital. Certain components of the Fund’s net assets on the Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
10
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
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 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 GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Fund’s investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a 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. Certain equity securities containing unique attributes may be classified as Level 2.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price for long positions or the last ask price for short positions, and are generally classified as Level 2. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under 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.
11
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
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 the Fund and cash collateral received, if any, is reported separately on the Statement of Assets and Liabilities as receivables/payables for collateral on certain derivatives contracts. Non-cash collateral pledged by the Fund, if any, is noted in the Schedule of Investments.
Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence of two-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security. Upon entering into a futures contract, the Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by the Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
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.
12
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 June 30, 2020:
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Exchange Traded Funds | $ | 44,362,851 | $ | — | $ | — | ||||||
Investment Companies | 173,036,659 | — | — | |||||||||
Total | $ | 217,399,510 | $ | — | $ | — | ||||||
Derivative Type | ||||||||||||
Assets(a) | ||||||||||||
Futures Contracts | $ | 591,569 | $ | — | $ | — | ||||||
Liabilities(a) | ||||||||||||
Futures Contracts | $ | (473,979 | ) | $ | — | $ | — |
(a) | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Schedule of Investments.
4. INVESTMENTS IN DERIVATIVES
The following table sets forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of June 30, 2020. These instruments were used as part of the Fund’s investment strategies and to obtain and/or manage exposure related to the risks below. The values in the 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 | $(473,979) | |||||||||
Interest Rate | Variation margin on futures contracts | 591,569 | — | — | ||||||||||
Total | $ | 591,569 | $ | (473,979 | ) |
(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 June 30, 2020 is reported within the Statement of Assets and Liabilities. |
13
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
4. INVESTMENTS IN DERIVATIVES (continued)
The following table sets forth, by certain risk types, the Fund’s gains (losses) related to these derivatives and their indicative volumes for the six months ended June 30, 2020. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statement of Operations:
Risk | Statement of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||||
Equity | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | $ | (20,968,563 | ) | $ | (1,090,242 | ) | 769 | ||||||
Interest Rate | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | 8,209,690 | 1,802,408 | 982 | ||||||||||
Total | $ | (12,758,873 | ) | $ | 712,166 | 1,751 |
(a) | Average number of contracts is based on the average of month end balances for the six months ended June 30, 2020. |
5. AGREEMENTS AND AFFILIATED TRANSACTIONS
A. Management Agreement — Under the Agreement, GSAM manages the Fund, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Fund’s business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
For the six months ended June 30, 2020, 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^ | ||||||||||||||||||
0.79% | 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 29, 2021, and prior to such date GSAM may not terminate the arrangement without approval of the Trustees. For the six months ended June 30, 2020, GSAM waived $194,076 of its management fee. |
The Fund invests in Institutional Shares of the Goldman Sachs Financial Square Government, Goldman Sachs Financial Square Treasury Instruments, 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 Fund. For the six months ended June 30, 2020, GSAM waived $143,003 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 Rule 12b-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.
14
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 29, 2021, and prior to such date GSAM may not terminate the arrangement without the approval of the Trustees. In addition, the Fund has entered into certain offset arrangements with the 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 six months ended June 30, 2020, 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 | |||||||||||
$337,079 | $ | 45,862 | $ | 127,783 | $ | 510,724 |
E. Line of Credit Facility — As of June 30, 2020, the Fund participated in a $700,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the six months ended June 30, 2020, the Fund did not have any borrowings under the facility. Prior to April 28, 2020, the facility was $580,000,000.
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 Instruments, Goldman Sachs Financial Square Treasury Obligations, and Goldman Sachs Financial Square Treasury Solutions Funds as of and for the six months ended June 30, 2020:
Investment Companies | Beginning Value as of December 31, 2019 | Purchases at Cost | Proceeds from Sales | Ending Value as of June 30, 2020 | Shares as of June 30, 2020 | Dividend Income | ||||||||||||||||||
Goldman Sachs Financial Square Government Fund | $ | 103,730,960 | $ | 13,275,976 | $ | (22,647,307 | ) | $ | 94,359,629 | 94,359,629 | $ | 377,574 | ||||||||||||
Goldman Sachs Financial Square Treasury Instruments Fund | — | 15,735,406 | — | 15,735,406 | 15,735,406 | 7,391 | ||||||||||||||||||
Goldman Sachs Financial Square Treasury Obligations Fund | 42,695,096 | — | (11,224,284 | ) | 31,470,812 | 31,470,812 | 141,565 | |||||||||||||||||
Goldman Sachs Financial Square Treasury Solutions Fund | 42,695,096 | — | (11,224,284 | ) | 31,470,812 | 31,470,812 | 153,541 | |||||||||||||||||
Total | $ | 189,121,152 | $ | 29,011,382 | $ | (45,095,875 | ) | $ | 173,036,659 | 173,036,659 | $ | 680,071 |
As of June 30, 2020, The Goldman Sachs Group, Inc. was the beneficial owner of approximately 12% of the Institutional Shares of the Fund.
15
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
6. PORTFOLIO SECURITIES TRANSACTIONS
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended June 30, 2020, were $62,271,546 and $110,119,392, 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 Rule 2a-7 under the Act, and is managed by GSAM, for which GSAM may receive a management fee of up to 0.16% on an annualized basis of the average daily net assets of the Government Money Market Fund.
In the event of a default by a borrower with respect to any loan, GSAL will exercise any and all remedies provided under the applicable borrower agreement to make the Fund whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If GSAL is unable to purchase replacement securities, GSAL will indemnify the Fund by paying the Fund an amount equal to the market value of the securities loaned minus the value of cash collateral received from the borrower for the loan, subject to an exclusion for any shortfalls resulting from a loss of value in such cash collateral due to reinvestment risk. The Fund’s master netting agreements with certain borrowers provide the right, in the event of a default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. However, in the event of a default by a borrower, a resolution authority could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of set-off that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws. The Fund’s loaned securities were all subject to enforceable Securities Lending Agreements and the value of the collateral was at least equal to the value of the cash received. The amounts of the Fund’s overnight and continuous agreements, which represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of June 30, 2020, 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 June 30, 2020.
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 six months ended June 30, 2020, are reported under Investment Income on the Statement of Operations.
16
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
7. SECURITIES LENDING (continued)
The table below details securities lending activity with affiliates of Goldman Sachs:
For the Six months ended June 30, 2020 | ||||||||||
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 June 30, 2020 | ||||||||
$ | 4 | $ | — | $ | — |
The following table provides information about the Fund’s investment in the Government Money Market Fund for the six months ended June 30, 2020:
Beginning Value as of December 31, 2019 | Purchases at Cost | Proceeds from Sales | Ending Value as of June 30, 2020 | |||||||||||
$ | — | $ | 1,038,050 | $ | (1,038,050 | ) | $ | — |
8. TAX INFORMATION
As of the Fund’s most recent fiscal year end, December 31, 2019, the Fund’s certain timing differences, on a tax-basis were as follows:
Timing differences (Post October Loss Deferral and straddle loss deferrals) | $ | (693,022 | ) |
As of June 30, 2020, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Tax cost | $ | 206,432,794 | ||||||
Gross unrealized gain | 11,002,270 | |||||||
Gross unrealized loss | (35,554 | ) | ||||||
Net unrealized gain | $ | 10,966,716 |
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales and net mark to market gains (losses) on regulated futures 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.
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
17
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
9. OTHER RISKS (continued)
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.
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 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
18
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
9. OTHER RISKS (continued)
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). The value of the securities in which the Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, acts of terrorism, social unrest, natural disasters, the spread of infectious illness or other public health threats could also significantly impact the Fund and its investments. Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
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. 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.
12. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
For the Six Months Ended June 30, 2020 (Unaudited) | For the Fiscal Year Ended December 31, 2019 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Reinvestment of distributions | — | — | 1,310 | 16,100 | ||||||||||||
— | — | 1,310 | 16,100 | |||||||||||||
Service Shares | ||||||||||||||||
Shares sold | 775,669 | $ | 9,164,034 | 2,045,866 | $ | 25,165,924 | ||||||||||
Reinvestment of distributions | — | — | 1,572,199 | 19,290,888 | ||||||||||||
Shares redeemed | (1,839,794 | ) | (21,589,533 | ) | (9,571,002 | ) | (116,140,276 | ) | ||||||||
(1,064,125 | ) | (12,425,499 | ) | (5,952,937 | ) | (71,683,464 | ) | |||||||||
NET DECREASE | (1,064,125 | ) | $ | (12,425,499 | ) | (5,951,627 | ) | $ | (71,667,364 | ) |
19
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
Liquidity Risk Management Program
The Fund has adopted and implemented a liquidity risk management program (the “Program”) in accordance with Rule 22e-4 under the 1940 Act. The Program seeks to assess and manage the Fund’s liquidity risk, i.e., the risk that the Fund is unable to satisfy redemption requests without significantly diluting remaining investors’ interests in the Fund. The Board of Trustees of the Trust has designated GSAM, the Fund’s investment adviser, to administer the Program. Certain aspects of the Program rely on third parties to perform certain functions, including the provision of market data and application of models.
The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Fund’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of a Fund’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under Rule 22e-4); (4) for a Fund that does not invest primarily in “highly liquid investments” (as defined under Rule 22e-4), the determination of a minimum percentage of the Fund’s assets that will generally be invested in highly liquid investments (a “Highly Liquid Investment Minimum”); and (5) periodic reporting to the Board of Trustees.
At a meeting of the Board of Trustees on February 11-12, 2020, GSAM provided a written report to the Board addressing the operation, and the adequacy and effectiveness of the implementation, of the Program, including, as applicable, the operation of any Highly Liquid Investment Minimum and any material changes to the Program, for the initial period from December 1, 2018 through December 31, 2019 (the “Reporting Period”). Among other things, the annual report discussed: (1) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions; and (2) an assessment of the methodologies used to classify investments into one of four liquidity categories. The report concluded that the Program was reasonably designed to assess and manage liquidity risk and was adequately and effectively implemented during the Reporting Period.
There can be no assurance that the Program will achieve its objectives under all circumstances in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which it may be subject.
20
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
Fund Expenses —Six Month Period Ended June 30, 2020 (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 January 1, 2020 through June 30, 2020, which represents a period of 182 days of a 366 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual net expense 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 01/01/20 | Ending Account Value 06/30/20 | Expenses Paid 6 Months Ended 06/30/20* | |||||||||
Institutional | ||||||||||||
Actual | $ | 1,000 | $ | 948.10 | $ | 2.81 | ||||||
Hypothetical 5% return | 1,000 | 1,021.98 | + | 2.92 | ||||||||
Service | ||||||||||||
Actual | 1,000 | 947.20 | 4.02 | |||||||||
Hypothetical 5% return | 1,000 | 1,020.74 | + | 4.17 |
+ | 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 June 30, 2020. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 0.58% and 0.83% for Institutional and Service Shares, respectively. |
21
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
The Goldman Sachs Global Trends Allocation Fund (the “Fund”) is an investment portfolio of Goldman Sachs Variable Insurance Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Fund at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Fund.
The Management Agreement was most recently approved for continuation until June 30, 2021 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 16-17, 2020 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held two meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to the Fund, such matters included:
(a) | the nature and quality of the advisory, administrative, and other services provided to the Fund by the Investment Adviser and its affiliates, including information about: |
(i) | the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams; |
(ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training); |
(iii) | trends in employee headcount; |
(iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
(v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
(b) | information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), and a benchmark performance index, and information on general investment outlooks in the markets in which the Fund invests; |
(c) | information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Fund’s peer group and/or benchmark index had high, medium, or low relevance given the Fund’s particular investment strategy; |
(d) | the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund; |
(e) | fee and expense information for the Fund, including: |
(i) | the relative management fee and expense levels of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; |
(ii) | the Fund’s expense trends over time; and |
(iii) | to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
(f) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; |
(g) | the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations; |
(h) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund to the Investment Adviser and its affiliates; |
(i) | whether the Fund’s existing management fee schedule adequately addressed any economies of scale; |
22
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
(j) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, securities lending, portfolio trading, distribution and other services; |
(k) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
(l) | information regarding commissions paid by the Fund and broker oversight, other information regarding portfolio trading, and how the Investment Adviser carries out its duty to seek best execution; |
(m) | the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers; |
(n) | the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and |
(o) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports. |
The Trustees also received an overview of the Fund’s distribution arrangements. They received information regarding the Fund’s assets, share purchase and redemption activity, and payment of distribution and service fees. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Fund and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Fund. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Fund by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the market, regulatory and control environment in which the Fund and its service providers operate, including changes associated with the COVID-19 pandemic, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees also considered information regarding the Investment Adviser’s business continuity planning and remote operations in the current environment. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Fund and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Fund and the Investment Adviser and its affiliates.
Investment Performance
The Trustees also considered the investment performance of the Fund. In this regard, they compared the investment performance of the Fund to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2019, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data
23
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Provider as of March 31, 2020. The information on the Fund’s investment performance was provided for the one-, three-, and five-year periods ending on the applicable dates. The Trustees also reviewed the Fund’s investment performance relative to its performance benchmark. As part of this review, they considered the investment performance trends of the Fund over time, and reviewed the investment performance of the Fund in light of its investment objective and policies and market conditions.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Fund’s risk profile, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management. They noted the efforts of the Fund’s portfolio management team to continue to enhance the investment model used in managing the Fund.
The Trustees noted that the Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the one-, three-, and five-year periods; had underperformed the Fund’s benchmark index for the one-, three , and five-year periods; and had outperformed the average performance of a group of competitor funds, as determined by the Investment Adviser, for the for the one- and three-year periods and underperformed for the five-year period ended March 31, 2020.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by the Fund thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Fund, which included both advisory and administrative services that were directed to the needs and operations of the Fund a registered mutual fund.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Fund. The analyses provided a comparison of the Fund’s management fee and breakpoints to those of a relevant peer group and category universe; an expense analysis which compared the Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing the Fund’s net expenses to the peer and category medians. The analyses also compared the Fund’s other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Fund.
In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Fund, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Fund differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.
In addition, the Trustees noted that shareholders are able to redeem their Fund shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Profitability
The Trustees reviewed the Fund’s contribution to the Investment Adviser’s revenues and pre-tax profit margins. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization periodically audits the expense allocation methodology and that the internal audit group was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology. Profitability data for the Fund was provided for 2019 and 2018, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability.
24
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Economies of Scale
The Trustees considered the information that had been provided regarding whether there have been economies of scale with respect to the management of the Fund. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreement for the Fund at the following annual percentage rates of the average daily net assets of the Fund:
First $1 billion | 0.79 | % | ||
Next $1 billion | 0.71 | |||
Next $3 billion | 0.68 | |||
Next $3 billion | 0.66 | |||
Over $8 billion | 0.65 |
The Trustees noted that the breakpoints were designed to share potential economies of scale, if any, with the Fund and its shareholders as assets under management reach those asset levels. The Trustees considered the amounts of assets in the Fund; the Fund’s recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer group; and the Investment Adviser’s undertakings to waive a portion of its management fee and to limit certain expenses of the Fund that exceed specified levels. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund as stated above, including: (a) transfer agency fees received by Goldman Sachs & Co. LLC (“Goldman Sachs”); (b) brokerage and futures commissions earned by Goldman Sachs for executing securities and futures transactions on behalf of the Fund; (c) trading efficiencies resulting from aggregation of orders of the Fund with those for other funds or accounts managed by the Investment Adviser; (d) fees earned by Goldman Sachs Agency Lending (“GSAL”), an affiliate of the Investment Adviser, as securities lending agent (and fees earned by the Investment Adviser for managing the fund in which the Fund’s cash collateral is invested); (e) the Investment Adviser’s ability to leverage the infrastructure designed to service the Fund on behalf of its other clients; (f) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (g) Goldman Sachs’ retention of certain fees as Fund Distributor; (h) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Fund; (i) the investment of cash and cash collateral in money market funds managed by the Investment Adviser that will result in increased assets under management for those money market funds; and (j) the possibility that the working relationship between the Investment Adviser and the Fund’s third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
Other Benefits to the Fund and Its Shareholders
The Trustees also noted that the Fund receives certain other potential benefits as a result of its relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Fund with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors due to the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers due to the volume of business generated by the Investment Adviser and its affiliates; (d) the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties on behalf of the Fund as a result of the size and reputation of the Goldman Sachs organization; (e) the advantages received from the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Fund because of the reputation of the Goldman Sachs organization; (g) the Fund’s access, through the Investment Adviser, to certain firm-wide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; (h) the Fund’s ability to participate in the securities lending program administered by GSAL, as measured by the revenue received by the Fund in connection with the program; and (i) the Fund’s access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Fund’s shareholders invested in the Fund in part because of the Fund’s relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
25
GOLDMAN SACHS VARIABLE INSURANCE TRUST GLOBAL TRENDS ALLOCATION FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by the Fund were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and the Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit the Fund and its shareholders and that the Management Agreement should be approved and continued with respect to the Fund until June 30, 2021.
26
TRUSTEES | OFFICERS | |
Jessica Palmer, Chair | James A. McNamara, President | |
Dwight L. Bush | Joseph F. DiMaria, | |
Kathryn A. Cassidy | Principal Financial Officer, | |
Diana M. Daniels | Principal Accounting Officer and Treasurer | |
Joaquin Delgado | Caroline L. Kraus, Secretary | |
James A. McNamara | ||
Roy W. Templin | ||
Gregory G. Weaver |
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 recent month-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 the 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-621-2550; and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://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 June 30, 2020 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
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 the 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 Global Trends Allocation Fund.
© 2020 Goldman Sachs. All rights reserved.
VITNAVSAR-20/211774-OTU-1242627
Goldman
Sachs Variable 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.
Semi-Annual Report
June 30, 2020
Goldman Sachs Variable Insurance Trust Large Cap Value Fund
Recent Market Events related to COVID-19
An outbreak of a novel strain of coronavirus (COVID-19) has emerged globally. The outbreak of COVID-19 has prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, curfews and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, and disruption in manufacturing and supply chains. While governments have already taken unprecedented action to limit disruption to the financial system, global financial markets have experienced and may continue to experience significant volatility resulting from the spread of and subsequent intervening measures intended to limit the spread of COVID-19. The Fund could be negatively impacted if the value of a portfolio holding were harmed by such political or economic conditions, events, or actions. The full extent of the impact of COVID-19 on the Fund’s performance cannot be determined at this time and will depend on future developments, including the duration and the continued spread of the outbreak. Goldman Sachs Asset Management’s long-term commitment to you, our Fund shareholders, remains unchanged. We encourage you to maintain perspective and stay current with timely commentary and investment insights by visiting gsam.com.
1
FUND BASICS
Large Cap Value Fund
as of June 30, 2020
PERFORMANCE REVIEW
January 1, 2020–June 30, 2020 | Fund Total Return (based on NAV)1 | Russell 1000 Value Index2 | ||||||
Institutional | -15.23 | % | -16.26 | % | ||||
Service | -15.34 | -16.26 |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The Russell 1000® Value Index (with dividends reinvested) 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 Russell 1000® Value Index do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
2
FUND BASICS
TOP TEN HOLDINGS AS OF 6/30/203
Holding | % of Net Assets | Line of Business | ||||
Johnson & Johnson | 3.6% | Pharmaceuticals, Biotechnology & Life Sciences | ||||
Verizon Communications, Inc. | 2.7 | Telecommunication Services | ||||
JPMorgan Chase & Co. | 2.7 | Banks | ||||
Walt Disney Co. (The) | 2.7 | Media & Entertainment | ||||
Chevron Corp. | 2.1 | Energy | ||||
NextEra Energy, Inc. | 2.1 | Utilities | ||||
Citigroup, Inc. | 2.0 | Banks | ||||
Wells Fargo & Co. | 2.0 | Banks | ||||
McDonald’s Corp. | 1.8 | Consumer Services | ||||
Linde plc | 1.8 | Materials |
3 | The top 10 holdings may not be representative of the Fund’s future investments. |
FUND VS. BENCHMARK SECTOR ALLOCATIONS4
As of June 30, 2020
4 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. 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.
3
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Schedule of Investments
June 30, 2020 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 98.3% | ||||||||
Automobiles & Components – 2.1% | ||||||||
69,291 | Aptiv plc | $ | 5,399,155 | |||||
117,120 | General Motors Co. | 2,963,136 | ||||||
|
| |||||||
8,362,291 | ||||||||
|
| |||||||
Banks – 7.5% | ||||||||
154,067 | Citigroup, Inc. | 7,872,824 | ||||||
114,224 | JPMorgan Chase & Co. | 10,743,909 | ||||||
31,540 | M&T Bank Corp. | 3,279,214 | ||||||
303,735 | Wells Fargo & Co. | 7,775,616 | ||||||
|
| |||||||
29,671,563 | ||||||||
|
| |||||||
Capital Goods – 7.7% | ||||||||
22,529 | Boeing Co. (The) | 4,129,566 | ||||||
39,793 | Deere & Co. | 6,253,470 | ||||||
684,178 | General Electric Co. | 4,672,936 | ||||||
39,620 | Honeywell International, Inc. | 5,728,656 | ||||||
25,350 | Illinois Tool Works, Inc. | 4,432,447 | ||||||
38,107 | Stanley Black & Decker, Inc. | 5,311,353 | ||||||
|
| |||||||
30,528,428 | ||||||||
|
| |||||||
Commercial & Professional Services – 0.8% | ||||||||
33,629 | Waste Connections, Inc. | 3,154,064 | ||||||
|
| |||||||
Consumer Services – 3.5% | ||||||||
54,336 | Hilton Worldwide Holdings, Inc. | 3,990,979 | ||||||
53,345 | Las Vegas Sands Corp. | 2,429,331 | ||||||
39,534 | McDonald’s Corp. | 7,292,837 | ||||||
|
| |||||||
13,713,147 | ||||||||
|
| |||||||
Diversified Financials – 6.5% | ||||||||
62,008 | American Express Co. | 5,903,162 | ||||||
28,197 | Berkshire Hathaway, Inc. Class B* | 5,033,447 | ||||||
12,515 | BlackRock, Inc. | 6,809,286 | ||||||
38,198 | Intercontinental Exchange, Inc. | 3,498,937 | ||||||
97,711 | Morgan Stanley | 4,719,441 | ||||||
|
| |||||||
25,964,273 | ||||||||
|
| |||||||
Energy – 4.6% | ||||||||
52,051 | Cheniere Energy, Inc.* | 2,515,104 | ||||||
94,952 | Chevron Corp. | 8,472,567 | ||||||
123,282 | ConocoPhillips | 5,180,310 | ||||||
49,718 | Exxon Mobil Corp. | 2,223,389 | ||||||
|
| |||||||
18,391,370 | ||||||||
|
| |||||||
Food & Staples Retailing – 1.8% | ||||||||
60,308 | Walmart, Inc. | 7,223,692 | ||||||
|
| |||||||
Food, Beverage & Tobacco – 3.5% | ||||||||
117,697 | Coca-Cola Co. (The) | 5,258,702 | ||||||
25,205 | Constellation Brands, Inc. Class A | 4,409,615 | ||||||
85,263 | Mondelez International, Inc. Class A | 4,359,497 | ||||||
|
| |||||||
14,027,814 | ||||||||
|
| |||||||
Health Care Equipment & Services – 4.7% | ||||||||
100,882 | Boston Scientific Corp.* | 3,541,967 | ||||||
79,389 | CVS Health Corp. | 5,157,904 | ||||||
11,103 | Humana, Inc. | 4,305,188 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Health Care Equipment & Services – (continued) | ||||||||
46,664 | Zimmer Biomet Holdings, Inc. | $ | 5,569,815 | |||||
|
| |||||||
18,574,874 | ||||||||
|
| |||||||
Household & Personal Products – 1.5% | ||||||||
50,130 | Procter & Gamble Co. (The) | 5,994,044 | ||||||
|
| |||||||
Insurance – 3.3% | ||||||||
47,130 | Allstate Corp. (The) | 4,571,139 | ||||||
57,916 | American Financial Group, Inc. | 3,675,349 | ||||||
38,153 | Chubb Ltd. | 4,830,933 | ||||||
|
| |||||||
13,077,421 | ||||||||
|
| |||||||
Materials – 4.5% | ||||||||
18,089 | Ecolab, Inc. | 3,598,806 | ||||||
34,302 | Linde plc | 7,275,797 | ||||||
15,866 | Martin Marietta Materials, Inc. | 3,277,440 | ||||||
37,241 | Packaging Corp. of America | 3,716,652 | ||||||
|
| |||||||
17,868,695 | ||||||||
|
| |||||||
Media & Entertainment – 6.6% | ||||||||
3,609 | Alphabet, Inc. Class A* | 5,117,742 | ||||||
185,913 | Comcast Corp. Class A | 7,246,889 | ||||||
22,602 | Electronic Arts, Inc.* | 2,984,594 | ||||||
95,623 | Walt Disney Co. (The) | 10,662,921 | ||||||
|
| |||||||
26,012,146 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences – 8.5% | ||||||||
31,155 | Agilent Technologies, Inc. | 2,753,167 | ||||||
23,189 | Agios Pharmaceuticals, Inc.* | 1,240,148 | ||||||
11,101 | BioMarin Pharmaceutical, Inc.* | 1,369,197 | ||||||
113,031 | Bristol-Myers Squibb Co. | 6,646,223 | ||||||
30,573 | Eli Lilly and Co. | 5,019,475 | ||||||
100,423 | Johnson & Johnson | 14,122,486 | ||||||
2,224 | Regeneron Pharmaceuticals, Inc.* | 1,386,998 | ||||||
7,597 | Sarepta Therapeutics, Inc.* | 1,218,103 | ||||||
|
| |||||||
33,755,797 | ||||||||
|
| |||||||
Real Estate Investment Trusts – 4.0% | ||||||||
21,511 | Alexandria Real Estate Equities, Inc. | 3,490,160 | ||||||
27,967 | AvalonBay Communities, Inc. | 4,324,817 | ||||||
44,678 | Extra Space Storage, Inc. | 4,126,907 | ||||||
43,073 | Prologis, Inc. | 4,020,003 | ||||||
|
| |||||||
15,961,887 | ||||||||
|
| |||||||
Retailing – 2.1% | ||||||||
29,900 | Lowe’s Cos., Inc. | 4,040,088 | ||||||
5,618 | O’Reilly Automotive, Inc.* | 2,368,942 | ||||||
22,979 | Ross Stores, Inc. | 1,958,730 | ||||||
|
| |||||||
8,367,760 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 5.0% | ||||||||
49,830 | Intel Corp. | 2,981,329 | ||||||
89,188 | Marvell Technology Group Ltd. | 3,126,931 | ||||||
44,541 | Micron Technology, Inc.* | 2,294,752 | ||||||
22,011 | NXP Semiconductors NV | 2,510,135 | ||||||
44,289 | QUALCOMM, Inc. | 4,039,600 | ||||||
|
|
4 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Semiconductors & Semiconductor Equipment – (continued) | ||||||||
37,722 | Texas Instruments, Inc. | $ | 4,789,562 | |||||
|
| |||||||
19,742,309 | ||||||||
|
| |||||||
Software & Services – 4.4% | ||||||||
67,848 | Cognizant Technology Solutions Corp. Class A | 3,855,123 | ||||||
39,612 | Fidelity National Information Services, Inc. | 5,311,573 | ||||||
8,169 | Intuit, Inc. | 2,419,576 | ||||||
14,437 | Microsoft Corp. | 2,938,074 | ||||||
14,159 | Visa, Inc. Class A | 2,735,094 | ||||||
|
| |||||||
17,259,440 | ||||||||
|
| |||||||
Technology Hardware & Equipment – 3.3% | ||||||||
9,071 | Apple, Inc. | 3,309,101 | ||||||
87,128 | Cisco Systems, Inc. | 4,063,650 | ||||||
100,887 | Juniper Networks, Inc. | 2,306,277 | ||||||
88,908 | National Instruments Corp. | 3,441,628 | ||||||
|
| |||||||
13,120,656 | ||||||||
|
| |||||||
Telecommunication Services – 2.7% | ||||||||
197,263 | Verizon Communications, Inc. | 10,875,109 | ||||||
|
| |||||||
Transportation – 2.5% | ||||||||
24,255 | Norfolk Southern Corp. | 4,258,451 | ||||||
34,205 | Union Pacific Corp. | 5,783,039 | ||||||
|
| |||||||
10,041,490 | ||||||||
|
| |||||||
Utilities – 7.2% | ||||||||
57,460 | Ameren Corp. | 4,042,885 | ||||||
31,421 | American Water Works Co., Inc. | 4,042,626 | ||||||
29,765 | Atmos Energy Corp. | 2,963,999 | ||||||
66,812 | CMS Energy Corp. | 3,903,157 | ||||||
35,045 | NextEra Energy, Inc. | 8,416,758 | ||||||
82,780 | Xcel Energy, Inc. | 5,173,750 | ||||||
|
| |||||||
28,543,175 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $377,543,214) | $ | 390,231,445 | ||||||
|
|
Shares | Dividend Rate | Value | ||||||
Investment Company(a) – 1.2% | ||||||||
Goldman Sachs Financial Square Government Fund — |
| |||||||
4,847,894 | 0.155 | % | $ | 4,847,894 | ||||
(Cost $4,847,894) |
| |||||||
| ||||||||
TOTAL INVESTMENTS – 99.5% |
| |||||||
(Cost $382,391,108) |
| $ | 395,079,339 | |||||
| ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.5% |
| 2,025,290 | ||||||
| ||||||||
NET ASSETS – 100.0% |
| $ | 397,104,629 | |||||
|
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. |
The accompanying notes are an integral part of these financial statements. | 5 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Statement of Assets and Liabilities
June 30, 2020 (Unaudited)
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $377,543,214) | $ | 390,231,445 | ||
Investments in affiliated issuers, at value (cost $4,847,894) | 4,847,894 | |||
Cash | 732,272 | |||
Receivables: | ||||
Fund shares sold | 1,410,808 | |||
Dividends | 477,728 | |||
Reimbursement from investment adviser | 26,613 | |||
Total assets | 397,726,760 | |||
Liabilities: | ||||
Payables: | ||||
Management fees | 220,983 | |||
Fund shares redeemed | 133,885 | |||
Distribution and Service fees and Transfer Agency fees | 51,999 | |||
Accrued expenses | 215,264 | |||
Total liabilities | 622,131 | |||
Net Assets: | ||||
Paid-in capital | 382,240,928 | |||
Total distributable earnings (loss) | 14,863,701 | |||
NET ASSETS | $ | 397,104,629 | ||
Net Assets: | ||||
Institutional | $ | 138,314,074 | ||
Service | 258,790,555 | |||
Total Net Assets | $ | 397,104,629 | ||
Shares outstanding $0.001 par value (unlimited shares authorized): | ||||
Institutional | 17,755,471 | |||
Service | 33,251,969 | |||
Net asset value, offering and redemption price per share: | ||||
Institutional | $7.79 | |||
Service | 7.78 |
6 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Statement of Operations
For the Six Months Ended June 30, 2020 (Unaudited)
Investment income: | ||||
Dividends — unaffiliated issuers (net of foreign taxes withheld of $2,154) | $ | 4,753,048 | ||
Dividends — affiliated issuers | 13,889 | |||
Securities lending income — unaffiliated issuer | 5,572 | |||
Total investment income | 4,772,509 | |||
Expenses: | ||||
Management fees | 1,458,004 | |||
Distribution and Service fees — Service Shares | 328,981 | |||
Printing and mailing costs | 56,153 | |||
Professional fees | 45,232 | |||
Transfer Agency fees(a) | 40,497 | |||
Custody, accounting and administrative services | 35,787 | |||
Trustee fees | 9,804 | |||
Other | 6,547 | |||
Total expenses | 1,981,005 | |||
Less — expense reductions | (227,267 | ) | ||
Net expenses | 1,753,738 | |||
NET INVESTMENT INCOME | 3,018,771 | |||
Realized and unrealized loss: | ||||
Net realized loss from investments — unaffiliated issuers | (8,239,625 | ) | ||
Net change in unrealized loss on investments — unaffiliated issuers | (63,768,308 | ) | ||
Net realized and unrealized loss | (72,007,933 | ) | ||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (68,989,162 | ) |
(a) Institutional and Service Shares incurred Transfer Agency fees of $14,181 and $26,316, respectively.
The accompanying notes are an integral part of these financial statements. | 7 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2020 (Unaudited) | For the Fiscal Year Ended December 31, 2019 | |||||||
From operations: | ||||||||
Net investment income | $ | 3,018,771 | $ | 6,004,286 | ||||
Net realized gain (loss) | (8,239,625 | ) | 20,966,506 | |||||
Net change in unrealized gain (loss) | (63,768,308 | ) | 78,158,001 | |||||
Net increase (decrease) in net assets resulting from operations | (68,989,162 | ) | 105,128,793 | |||||
Distributions to shareholders: | ||||||||
From distributable earnings: | ||||||||
Institutional Shares | — | (7,943,415 | ) | |||||
Service Shares | — | (14,094,598 | ) | |||||
Total distributions to shareholders | — | (22,038,013 | ) | |||||
From share transactions: | ||||||||
Proceeds from sales of shares | 23,927,075 | 13,557,948 | ||||||
Reinvestment of distributions | — | 22,038,013 | ||||||
Cost of shares redeemed | (27,705,548 | ) | (82,668,632 | ) | ||||
Net decrease in net assets resulting from share transactions | (3,778,473 | ) | (47,072,671 | ) | ||||
TOTAL INCREASE (DECREASE) | (72,767,635 | ) | 36,018,109 | |||||
Net Assets: | ||||||||
Beginning of period | 469,872,264 | 433,854,155 | ||||||
End of period | $ | 397,104,629 | $ | 469,872,264 |
8 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Large Cap Value Fund | ||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.19 | $ | 7.67 | $ | 9.06 | $ | 10.16 | $ | 9.39 | $ | 11.39 | ||||||||||||
Net investment income(a) | 0.07 | 0.13 | 0.12 | 0.16 | 0.18 | 0.15 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (1.47 | ) | 1.86 | (0.88 | ) | 0.83 | 0.91 | (0.67 | ) | |||||||||||||||
Total from investment operations | (1.40 | ) | 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 period | $ | 7.79 | $ | 9.19 | $ | 7.67 | $ | 9.06 | $ | 10.16 | $ | 9.39 | ||||||||||||
Total return(b) | (15.23 | )% | 25.93 | % | (8.46 | )% | 9.85 | % | 11.55 | % | (4.41 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 138,314 | $ | 163,814 | $ | 150,963 | $ | 188,182 | $ | 243,875 | $ | 279,910 | ||||||||||||
Ratio of net expenses to average net assets | 0.71 | %(c) | 0.73 | % | 0.71 | % | 0.72 | % | 0.74 | % | 0.74 | % | ||||||||||||
Ratio of total expenses to average net assets | 0.82 | %(c) | 0.83 | % | 0.81 | % | 0.81 | % | 0.81 | % | 0.81 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.65 | %(c) | 1.46 | % | 1.32 | % | 1.50 | % | 1.91 | % | 1.38 | % | ||||||||||||
Portfolio turnover rate(d) | 45 | % | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(c) | Annualized. |
(d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Large Cap Value Fund | ||||||||||||||||||||||||
Service Shares | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.19 | $ | 7.67 | $ | 9.06 | $ | 10.16 | $ | 9.39 | $ | 11.38 | ||||||||||||
Net investment income(a) | 0.06 | 0.11 | 0.10 | 0.13 | 0.16 | 0.13 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (1.47 | ) | 1.85 | (0.88 | ) | 0.83 | 0.90 | (0.67 | ) | |||||||||||||||
Total from investment operations | (1.41 | ) | 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 period | $ | 7.78 | $ | 9.19 | $ | 7.67 | $ | 9.06 | $ | 10.16 | $ | 9.39 | ||||||||||||
Total return(b) | (15.34 | )% | 25.61 | % | (8.72 | )% | 9.56 | % | 11.25 | % | (4.58 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 258,791 | $ | 306,058 | $ | 282,891 | $ | 358,776 | $ | 531,553 | $ | 610,689 | ||||||||||||
Ratio of net expenses to average net assets | 0.95 | %(c) | 0.98 | % | 0.96 | % | 0.97 | % | 0.99 | % | 0.99 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.07 | %(c) | 1.08 | % | 1.06 | % | 1.06 | % | 1.06 | % | 1.06 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.41 | %(c) | 1.21 | % | 1.07 | % | 1.26 | % | 1.66 | % | 1.13 | % | ||||||||||||
Portfolio turnover rate(d) | 45 | % | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(c) | Annualized. |
(d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Notes to Financial Statements
June 30, 2020 (Unaudited)
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 an open-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 on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Investment income is recorded net of any foreign withholding taxes, less any amounts reclaimable. The Fund may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Fund’s investments in United States (“U.S.”) real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain and/or a return of capital. A return of capital is recorded by the Fund as a reduction to the cost basis of the REIT.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, and non-class specific expenses of the Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by the Fund are charged to the Fund, while such expenses incurred by the Trust are allocated across the Fund on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class-specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service and Transfer Agency fees.
D. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid at least annually.
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the Fund’s distributions may be shown in the accompanying financial statements as either from distributable earnings or capital. Certain components of the Fund’s net assets on the Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
11
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
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 GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Fund’s investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a 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. Certain equity securities containing unique attributes may be classified as Level 2.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price for long positions or the last ask price for short positions, and are generally classified as Level 2.
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.
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GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
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 June 30, 2020:
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Europe | $ | 9,785,932 | $ | — | $ | — | ||||||
North America | 380,445,513 | — | — | |||||||||
Investment Company | 4,847,894 | — | — | |||||||||
Total | $ | 395,079,339 | $ | — | $ | — |
(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 six months ended June 30, 2020, 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 | % | 0.68 | %* |
^ | 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 was effective on April 29, 2020 and will continue to be effective through at least April 29, 2021, and prior to such date GSAM may not terminate the arrangement without approval of the Trustees. For the six months ended June 30, 2020, GSAM waived $67,519 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 six months ended June 30, 2020, GSAM waived $4,700 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 Rule 12b-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.
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GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
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. Effective April 29, 2020 Goldman Sachs has agreed to waive its transfer agent fee attributable to the Service Shares. This arrangement will remain in place through at least April 29, 2021, and prior to such date Goldman Sachs may not terminate the arrangement without approval of the Board of Trustees.
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 29, 2021, and prior to such date GSAM may not terminate the arrangement without the approval of the Trustees. In addition, the Fund has entered into certain offset arrangements with the 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 six months ended June 30, 2020, these expense reductions, including any fee waivers and Other Expense reimbursements, were as follows:
Management Fee Waiver | Custody Fee Credits | Transfer Agency Fees | Other Expense Reimbursement | Total Expense Reductions | ||||||||||||||
$72,219 | $ | 793 | $ | 8,824 | $ | 145,431 | $ | 227,267 |
E. Line of Credit Facility — As of June 30, 2020, the Fund participated in a $700,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the six months ended June 30, 2020, the Fund did not have any borrowings under the facility. Prior to April 28, 2020, the facility was $580,000,000.
F. 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 June 30, 2020:
Beginning Value as of December 31, 2019 | Purchases at Cost | Proceeds from Sales | Ending Value as of June 30, 2020 | Shares as of June 30, 2020 | Dividend Income from Affiliated Investment Company | |||||||||||||||||
$771,927 | $ | 51,982,403 | $ | (47,906,436 | ) | $ | 4,847,894 | 4,847,894 | $ | 13,889 |
5. PORTFOLIO SECURITIES TRANSACTIONS
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended June 30, 2020, were $181,692,318 and $188,673,165, respectively.
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GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
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 Rule 2a-7 under the Act, and is managed by GSAM, for which GSAM may receive a management fee of up to 0.16% on an annualized basis of the average daily net assets of the Government Money Market Fund.
In the event of a default by a borrower with respect to any loan, BNYM may exercise any and all remedies provided under the applicable borrower agreement to make the 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 the non-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. However, in the event of a default by a borrower, a resolution authority could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of set-off that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws. The Fund’s loaned securities were all subject to enforceable Securities Lending Agreements and the value of the collateral was at least equal to the value of the cash received. The amounts of the Fund’s overnight and continuous agreements, which represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of June 30, 2020, 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 June 30, 2020.
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 six months ended June 30, 2020, 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 six months ended June 30, 2020:
Beginning Value as of December 31, 2019 | Purchases at Cost | Proceeds from Sales | Ending Value as of June 30, 2020 | |||||||||||
$ | — | $ | 761,831 | $ | (761,831 | ) | $ | — |
7. TAX INFORMATION
As of the Fund’s most recent fiscal year end, December 31, 2019, the Fund’s certain timing differences, on a tax-basis were as follows:
Timing differences (Real Estate Investment Trusts) | $ | 28,390 |
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GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
7. TAX INFORMATION (continued)
As of June 30, 2020, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Tax cost | $ | 383,476,867 | ||
Gross unrealized gain | 42,366,153 | |||
Gross unrealized loss | (30,763,681 | ) | ||
Net unrealized gain | $ | 11,602,472 |
The difference between GAAP-basis and tax-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 a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect the Fund’s performance to the extent that the Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.
Liquidity Risk — The Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that the Fund will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, the Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If the Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Fund’s NAV and dilute remaining investors’ interests. These risks may be more pronounced in connection with the Fund’s investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on the Fund’s liquidity.
Market and Credit Risks — In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). The value of the securities in which the Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, acts of terrorism, social unrest, natural disasters, the spread of infectious illness or other public health threats could also significantly impact the Fund and its investments. Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
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GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
9. INDEMNIFICATIONS
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
10. SUBSEQUENT EVENTS
Subsequent events after the Statement of Assets and Liabilities date have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
11. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
June 30, 2020 (Unaudited) | For the Fiscal Year Ended December 31, 2019 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 1,290,712 | $ | 9,349,788 | 624,452 | $ | 5,567,317 | ||||||||||
Reinvestment of distributions | — | — | 872,903 | 7,943,415 | ||||||||||||
Shares redeemed | (1,358,059 | ) | (10,869,488 | ) | (3,356,752 | ) | (29,321,564 | ) | ||||||||
(67,347 | ) | (1,519,700 | ) | (1,859,397 | ) | (15,810,832 | ) | |||||||||
Service Shares | ||||||||||||||||
Shares sold | 2,028,874 | 14,577,287 | 940,302 | 7,990,631 | ||||||||||||
Reinvestment of distributions | — | — | 1,548,857 | 14,094,598 | ||||||||||||
Shares redeemed | (2,067,329 | ) | (16,836,060 | ) | (6,071,122 | ) | (53,347,068 | ) | ||||||||
(38,455 | ) | (2,258,773 | ) | (3,581,963 | ) | (31,261,839 | ) | |||||||||
NET DECREASE | (105,802 | ) | $ (3,778,473 | ) | (5,441,360 | ) | $ | (47,072,671 | ) |
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GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Liquidity Risk Management Program
The Fund has adopted and implemented a liquidity risk management program (the “Program”) in accordance with Rule 22e-4 under the 1940 Act. The Program seeks to assess and manage the Fund’s liquidity risk, i.e., the risk that the Fund is unable to satisfy redemption requests without significantly diluting remaining investors’ interests in the Fund. The Board of Trustees of the Trust has designated GSAM, the Fund’s investment adviser, to administer the Program. Certain aspects of the Program rely on third parties to perform certain functions, including the provision of market data and application of models.
The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Fund’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of a Fund’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under Rule 22e-4); (4) for a Fund that does not invest primarily in “highly liquid investments” (as defined under Rule 22e-4), the determination of a minimum percentage of the Fund’s assets that will generally be invested in highly liquid investments (a “Highly Liquid Investment Minimum”); and (5) periodic reporting to the Board of Trustees.
At a meeting of the Board of Trustees on February 11-12, 2020, GSAM provided a written report to the Board addressing the operation, and the adequacy and effectiveness of the implementation, of the Program, including, as applicable, the operation of any Highly Liquid Investment Minimum and any material changes to the Program, for the initial period from December 1, 2018 through December 31, 2019 (the “Reporting Period”). Among other things, the annual report discussed: (1) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions; and (2) an assessment of the methodologies used to classify investments into one of four liquidity categories. The report concluded that the Program was reasonably designed to assess and manage liquidity risk and was adequately and effectively implemented during the Reporting Period.
There can be no assurance that the Program will achieve its objectives under all circumstances in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which it may be subject.
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GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Fund Expenses — Six Month Period Ended June 30, 2020 (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 January 1, 2020 through June 30, 2020, which represents a period of 182 days of a 366 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual net expense 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 01/01/20 | Ending Account Value 06/30/20 | Expenses Paid for the 6 Months Ended 06/30/20* | |||||||||
Institutional | ||||||||||||
Actual | $ | 1,000 | $ | 847.70 | $ | 3.26 | ||||||
Hypothetical 5% return | 1,000 | 1,021.33 | + | 3.57 | ||||||||
Service | ||||||||||||
Actual | 1,000 | 846.60 | 4.36 | |||||||||
Hypothetical 5% return | 1,000 | 1,020.14 | + | 4.77 |
+ | 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 June 30, 2020. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 0.71% and 0.95% for Institutional and Service Shares, respectively. |
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GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
The Goldman Sachs Large Cap Value Fund (the “Fund”) is an investment portfolio of Goldman Sachs Variable Insurance Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Fund at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Fund.
The Management Agreement was most recently approved for continuation until June 30, 2021 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 16-17, 2020 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held two meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to the Fund, such matters included:
(a) | the nature and quality of the advisory, administrative, and other services provided to the Fund by the Investment Adviser and its affiliates, including information about: |
(i) | the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams; |
(ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training); |
(iii) | trends in employee headcount; |
(iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
(v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
(b) | information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), and a benchmark performance index; and information on general investment outlooks in the markets in which the Fund invests; |
(c) | information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Fund’s peer group and/or benchmark index had high, medium, or low relevance given the Fund’s particular investment strategy; |
(d) | the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund; |
(e) | fee and expense information for the Fund, including: |
(i) | the relative management fee and expense levels of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; |
(ii) | the Fund’s expense trends over time; and |
(iii) | to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
(f) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; |
(g) | the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations; |
(h) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund to the Investment Adviser and its affiliates; |
(i) | whether the Fund’s existing management fee schedule adequately addressed any economies of scale; |
20
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
(j) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, portfolio trading, distribution and other services; |
(k) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
(l) | information regarding commissions paid by the Fund and broker oversight, an update on the Investment Adviser’s soft dollars practices, other information regarding portfolio trading, and how the Investment Adviser carries out its duty to seek best execution; |
(m) | the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers; |
(n) | the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and |
(o) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports. |
The Trustees also received an overview of the Fund’s distribution arrangements. They received information regarding the Fund’s assets, share purchase and redemption activity, and payment of distribution and service fees. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Fund and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Fund. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Fund by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the market, regulatory and control environment in which the Fund and its service providers operate, including changes associated with the COVID-19 pandemic, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees also considered information regarding the Investment Adviser’s business continuity planning and remote operations in the current environment. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Fund and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Fund and the Investment Adviser and its affiliates.
Investment Performance
The Trustees also considered the investment performance of the Fund. In this regard, they compared the investment performance of the Fund to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2019,
21
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2020. The information on the Fund’s investment performance was provided for the one-, three-, five-, and ten-year periods ending on the applicable dates. The Trustees also reviewed the Fund’s investment performance relative to its performance benchmark. As part of this review, they considered the investment performance trends of the Fund over time, and reviewed the investment performance of the Fund in light of its investment objective and policies and market conditions.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Fund’s risk profile, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management.
The Trustees noted that the Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the one-year period, in the third quartile for the three- and five-year periods and in the fourth quartile for the ten-year period, and had outperformed the Fund’s benchmark index for the one-year period and underperformed for the three-, five-, and ten-year periods ended March 31, 2020. They noted that the Fund had experienced certain portfolio management changes in 2019.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by the Fund thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Fund, which included both advisory and administrative services that were directed to the needs and operations of the Fund as a registered mutual fund.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Fund. The analyses provided a comparison of the Fund’s management fee and breakpoints to those of a relevant peer group and category universe; an expense analysis which compared the Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing the Fund’s net expenses to the peer and category medians. The analyses also compared the Fund’s other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Fund.
In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Fund, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Fund differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.
In addition, the Trustees noted that shareholders are able to redeem their Fund shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Profitability
The Trustees reviewed the Fund’s contribution to the Investment Adviser’s revenues and pre-tax profit margins. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization periodically audits the expense allocation methodology and that the internal audit group was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology. Profitability data for the Fund was provided for 2019 and 2018, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability.
22
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Economies of Scale
The Trustees considered the information that had been provided regarding whether there have been economies of scale with respect to the management of the Fund. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreement for the Fund at the following annual percentage rates of the average daily net assets of the Fund:
First $1 billion | 0.72 | % | ||
Next $1 billion | 0.65 | |||
Next $3 billion | 0.62 | |||
Next $3 billion | 0.60 | |||
Over $8 billion | 0.59 |
The Trustees noted that the breakpoints were designed to share potential economies of scale, if any, with the Fund and its shareholders as assets under management reach those asset levels. The Trustees considered the amounts of assets in the Fund; the Fund’s recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer group; and the Investment Adviser’s undertakings to waive a portion of its management fee and to limit certain expenses of the Fund that exceed a specified level. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund as stated above, including: (a) transfer agency fees received by Goldman Sachs & Co. LLC (“Goldman Sachs”); (b) brokerage and futures commissions earned by Goldman Sachs for executing securities and futures transactions on behalf of the Fund; (c) research received by the Investment Adviser from broker-dealers in exchange for executing certain transactions on behalf of the Fund; (d) trading efficiencies resulting from aggregation of orders of the Fund with those for other funds or accounts managed by the Investment Adviser; (e) fees earned by the Investment Adviser for managing the fund in which the Fund’s securities lending cash collateral is invested; (f) the Investment Adviser’s ability to leverage the infrastructure designed to service the Fund on behalf of its other clients; (g) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (h) Goldman Sachs’ retention of certain fees as Fund Distributor; (i) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Fund; (j) the investment of cash in money market funds managed by the Investment Adviser that will result in increased assets under management for those money market funds; and (k) the possibility that the working relationship between the Investment Adviser and the Fund’s third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
Other Benefits to the Fund and Its Shareholders
The Trustees also noted that the Fund receives certain other potential benefits as a result of its relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Fund with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors due to the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers due to the volume of business generated by the Investment Adviser and its affiliates; (d) the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties on behalf of the Fund as a result of the size and reputation of the Goldman Sachs organization; (e) the advantages received from the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Fund because of the reputation of the Goldman Sachs organization; (g) the Fund’s access, through the Investment Adviser, to certain firm-wide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; and (h) the Fund’s access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Fund’s shareholders invested in the Fund in part because of the Fund’s relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
23
GOLDMAN SACHS VARIABLE INSURANCE TRUST LARGE CAP VALUE FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by the Fund were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and the Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit the Fund and its shareholders and that the Management Agreement should be approved and continued with respect to the Fund until June 30, 2021.
24
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 |
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 recent month-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 the 12-month period ended June 30, is available (i) without charge, upon request by calling 1-800-621-2550; and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://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 June 30, 2020 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
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 the 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 Large Cap Value Fund.
© 2020 Goldman Sachs. All rights reserved.
VITLCVSAR-20/211770-OTU-1244922
Goldman
Sachs Variable 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.
Semi-Annual Report
June 30, 2020
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Goldman Sachs Variable Insurance Trust Mid Cap Value Fund
Recent Market Events related to COVID-19
An outbreak of a novel strain of coronavirus (COVID-19) has emerged globally. The outbreak of COVID-19 has prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, curfews and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, and disruption in manufacturing and supply chains. While governments have already taken unprecedented action to limit disruption to the financial system, global financial markets have experienced and may continue to experience significant volatility resulting from the spread of and subsequent intervening measures intended to limit the spread of COVID-19. The Fund could be negatively impacted if the value of a portfolio holding were harmed by such political or economic conditions, events, or actions. The full extent of the impact of COVID-19 on the Fund’s performance cannot be determined at this time and will depend on future developments, including the duration and the continued spread of the outbreak. Goldman Sachs Asset Management’s long-term commitment to you, our Fund shareholders, remains unchanged. We encourage you to maintain perspective and stay current with timely commentary and investment insights by visiting gsam.com.
1
FUND BASICS
Goldman Sachs Variable Insurance Trust Mid Cap Value Fund
as of June 30, 2020
PERFORMANCE REVIEW
January 1, 2020–June 30, 2020 | Fund Total Return (based on NAV)1 | Russell Midcap® Value Index2 | ||||||
Institutional | -16.46 | % | -18.09 | % | ||||
Service | -16.55 | -18.09 |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The Russell 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 Russell Midcap Value Index figures do not reflect any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
2
FUND BASICS
TOP TEN HOLDINGS AS OF 6/30/203
Holding | % of Net Assets | Line of Business | ||||
Zimmer Biomet Holdings, Inc. | 2.0% | Health Care Equipment & Services | ||||
Stanley Black & Decker, Inc. | 1.8 | Capital Goods | ||||
AMETEK, Inc. | 1.8 | Capital Goods | ||||
Marvell Technology Group Ltd. | 1.7 | Semiconductors & Semiconductor Equipment | ||||
M&T Bank Corp. | 1.6 | Banks | ||||
ITT, Inc. | 1.6 | Capital Goods | ||||
Agilent Technologies, Inc. | 1.5 | Pharmaceuticals, Biotechnology & Life Sciences | ||||
Packaging Corp. of America | 1.5 | Materials | ||||
Catalent, Inc. | 1.5 | Pharmaceuticals, Biotechnology & Life Sciences | ||||
Rockwell Automation, Inc. | 1.5 | Capital Goods |
3 | The top 10 holdings may not be representative of the Fund’s future investments. |
FUND vs. BENCHMARK SECTOR ALLOCATIONS4
As of June 30, 2020
4 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). 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 June 30, 2020. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
3
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Schedule of Investments
June 30, 2020 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 98.8% | ||||||||
Automobiles & Components – 1.2% | ||||||||
51,537 | Aptiv plc | $ | 4,015,763 | |||||
|
| |||||||
Banks – 5.4% | ||||||||
61,203 | Citizens Financial Group, Inc. | 1,544,764 | ||||||
71,336 | East West Bancorp, Inc. | 2,585,217 | ||||||
17,467 | First Republic Bank | 1,851,327 | ||||||
54,050 | M&T Bank Corp. | 5,619,578 | ||||||
77,325 | Pinnacle Financial Partners, Inc. | 3,246,877 | ||||||
18,020 | SVB Financial Group* | 3,883,850 | ||||||
|
| |||||||
18,731,613 | ||||||||
|
| |||||||
Capital Goods – 12.0% | ||||||||
68,968 | AMETEK, Inc. | 6,163,670 | ||||||
64,298 | Fortive Corp. | 4,350,403 | ||||||
73,066 | Graco, Inc. | 3,506,437 | ||||||
22,663 | IDEX Corp. | 3,581,661 | ||||||
92,906 | ITT, Inc. | 5,457,298 | ||||||
13,786 | L3Harris Technologies, Inc. | 2,339,071 | ||||||
23,760 | Rockwell Automation, Inc. | 5,060,880 | ||||||
44,975 | Stanley Black & Decker, Inc. | 6,268,615 | ||||||
29,895 | Trane Technologies plc | 2,660,057 | ||||||
5,024 | TransDigm Group, Inc. | 2,220,859 | ||||||
|
| |||||||
41,608,951 | ||||||||
|
| |||||||
Consumer Durables & Apparel – 1.2% | ||||||||
65,595 | Lennar Corp. Class A | 4,041,964 | ||||||
|
| |||||||
Consumer Services – 4.1% | ||||||||
123,657 | Aramark | 2,790,939 | ||||||
22,653 | Dunkin’ Brands Group, Inc. | 1,477,655 | ||||||
27,478 | Eldorado Resorts, Inc.*(a) | 1,100,769 | ||||||
69,753 | Wyndham Hotels & Resorts, Inc. | 2,972,873 | ||||||
30,511 | Wynn Resorts Ltd. | 2,272,764 | ||||||
42,431 | Yum! Brands, Inc. | 3,687,678 | ||||||
|
| |||||||
14,302,678 | ||||||||
|
| |||||||
Diversified Financials – 5.7% | ||||||||
56,518 | Ally Financial, Inc. | 1,120,752 | ||||||
77,939 | Bank of New York Mellon Corp. (The) | 3,012,342 | ||||||
17,297 | Cboe Global Markets, Inc. | 1,613,464 | ||||||
89,454 | Discover Financial Services | 4,480,751 | ||||||
56,706 | E*TRADE Financial Corp. | 2,819,989 | ||||||
21,707 | Evercore, Inc. Class A | 1,278,977 | ||||||
33,095 | Raymond James Financial, Inc. | 2,277,929 | ||||||
12,286 | T. Rowe Price Group, Inc. | 1,517,321 | ||||||
37,504 | Voya Financial, Inc. | 1,749,562 | ||||||
|
| |||||||
19,871,087 | ||||||||
|
| |||||||
Energy – 3.4% | ||||||||
87,881 | Cheniere Energy, Inc.* | 4,246,410 | ||||||
57,360 | Hess Corp. | 2,971,821 | ||||||
122,058 | Noble Energy, Inc. | 1,093,640 | ||||||
48,322 | ONEOK, Inc. | 1,605,257 | ||||||
174,822 | Parsley Energy, Inc. Class A | 1,867,099 | ||||||
|
| |||||||
11,784,227 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Food & Staples Retailing – 0.8% | ||||||||
68,827 | Grocery Outlet Holding Corp.* | 2,808,142 | ||||||
|
| |||||||
Food, Beverage & Tobacco – 3.8% | ||||||||
47,953 | Coca-Cola European Partners plc | 1,810,705 | ||||||
46,159 | Conagra Brands, Inc. | 1,623,412 | ||||||
17,357 | Constellation Brands, Inc. Class A | 3,036,607 | ||||||
15,324 | McCormick & Co., Inc. (Non-Voting) | 2,749,279 | ||||||
178,802 | Nomad Foods Ltd.* | 3,835,303 | ||||||
|
| |||||||
13,055,306 | ||||||||
|
| |||||||
Health Care Equipment & Services – 4.7% | ||||||||
32,183 | Centene Corp.* | 2,045,230 | ||||||
188,467 | Change Healthcare, Inc.* | 2,110,830 | ||||||
11,340 | Cooper Cos., Inc. (The) | 3,216,478 | ||||||
17,116 | Quest Diagnostics, Inc. | 1,950,539 | ||||||
56,850 | Zimmer Biomet Holdings, Inc. | 6,785,616 | ||||||
|
| |||||||
16,108,693 | ||||||||
|
| |||||||
Insurance – 4.7% | ||||||||
3,679 | Alleghany Corp. | 1,799,546 | ||||||
34,458 | American Financial Group, Inc. | 2,186,705 | ||||||
23,781 | Arthur J Gallagher & Co. | 2,318,410 | ||||||
54,024 | Brown & Brown, Inc. | 2,202,018 | ||||||
15,753 | Cincinnati Financial Corp. | 1,008,664 | ||||||
22,889 | Globe Life, Inc. | 1,699,050 | ||||||
3,705 | Markel Corp.* | 3,420,345 | ||||||
22,502 | Reinsurance Group of America, Inc. | 1,765,057 | ||||||
|
| |||||||
16,399,795 | ||||||||
|
| |||||||
Materials – 6.3% | ||||||||
32,401 | Ashland Global Holdings, Inc. | 2,238,909 | ||||||
62,556 | Ball Corp. | 4,347,016 | ||||||
148,637 | Corteva, Inc. | 3,981,985 | ||||||
182,493 | Freeport-McMoRan, Inc. | 2,111,444 | ||||||
19,094 | Martin Marietta Materials, Inc. | 3,944,248 | ||||||
51,086 | Packaging Corp. of America | 5,098,383 | ||||||
|
| |||||||
21,721,985 | ||||||||
|
| |||||||
Media & Entertainment – 5.3% | ||||||||
32,887 | Liberty Broadband Corp. Class C* | 4,076,672 | ||||||
97,871 | Liberty Media Corp.-Liberty Formula One Class C* | 3,103,489 | ||||||
68,819 | Liberty Media Corp.-Liberty SiriusXM Class A* | 2,375,632 | ||||||
6,768 | Liberty Media Corp.-Liberty SiriusXM Class C* | 233,158 | ||||||
41,824 | Live Nation Entertainment, Inc.* | 1,854,058 | ||||||
27,322 | Match Group, Inc.*(a) | 2,924,820 | ||||||
16,995 | Nexstar Media Group, Inc. Class A | 1,422,312 | ||||||
94,955 | Snap, Inc. Class A* | 2,230,493 | ||||||
|
| |||||||
18,220,634 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences – 4.7% | ||||||||
60,404 | Agilent Technologies, Inc. | 5,337,902 | ||||||
29,961 | Agios Pharmaceuticals, Inc.* | 1,602,314 | ||||||
69,531 | Catalent, Inc.* | 5,096,622 | ||||||
|
|
4 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences – (continued) | ||||||||
36,010 | Immunomedics, Inc.* | $ | 1,276,194 | |||||
16,117 | PRA Health Sciences, Inc.* | 1,568,023 | ||||||
7,582 | Sarepta Therapeutics, Inc.* | 1,215,698 | ||||||
|
| |||||||
16,096,753 | ||||||||
|
| |||||||
Real Estate Investment Trusts – 10.4% | ||||||||
25,831 | Alexandria Real Estate Equities, Inc. | 4,191,080 | ||||||
22,317 | AvalonBay Communities, Inc. | 3,451,101 | ||||||
36,677 | Camden Property Trust | 3,345,676 | ||||||
25,017 | CyrusOne, Inc. | 1,819,987 | ||||||
45,555 | Duke Realty Corp. | 1,612,191 | ||||||
49,197 | Equity LifeStyle Properties, Inc. | 3,073,829 | ||||||
11,169 | Essex Property Trust, Inc. | 2,559,600 | ||||||
154,208 | Healthpeak Properties, Inc. | 4,249,973 | ||||||
65,409 | Hudson Pacific Properties, Inc. | 1,645,690 | ||||||
94,512 | Invitation Homes, Inc. | 2,601,915 | ||||||
54,318 | MGM Growth Properties LLC Class A | 1,477,993 | ||||||
24,692 | Prologis, Inc. | 2,304,504 | ||||||
45,889 | Ryman Hospitality Properties, Inc. | 1,587,759 | ||||||
38,501 | Welltower, Inc. | 1,992,427 | ||||||
|
| |||||||
35,913,725 | ||||||||
|
| |||||||
Retailing – 3.2% | ||||||||
11,951 | Advance Auto Parts, Inc. | 1,702,420 | ||||||
78,961 | National Vision Holdings, Inc.* | 2,409,890 | ||||||
6,923 | O’Reilly Automotive, Inc.* | 2,919,221 | ||||||
9,939 | RH* | 2,473,817 | ||||||
19,053 | Ross Stores, Inc. | 1,624,078 | ||||||
|
| |||||||
11,129,426 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 4.3% | ||||||||
16,468 | Analog Devices, Inc. | 2,019,636 | ||||||
165,297 | Marvell Technology Group Ltd. | 5,795,313 | ||||||
16,301 | MKS Instruments, Inc. | 1,845,925 | ||||||
16,852 | NXP Semiconductors NV | 1,921,802 | ||||||
13,399 | Skyworks Solutions, Inc. | 1,713,196 | ||||||
14,552 | Xilinx, Inc. | 1,431,771 | ||||||
|
| |||||||
14,727,643 | ||||||||
|
| |||||||
Software & Services – 1.2% | ||||||||
10,518 | Palo Alto Networks, Inc.* | 2,415,669 | ||||||
9,674 | WEX, Inc.* | 1,596,307 | ||||||
|
| |||||||
4,011,976 | ||||||||
|
| |||||||
Technology Hardware & Equipment – 4.2% | ||||||||
84,176 | Juniper Networks, Inc. | 1,924,263 | ||||||
24,364 | Motorola Solutions, Inc. | 3,414,127 | ||||||
80,269 | National Instruments Corp. | 3,107,213 | ||||||
310,520 | Viavi Solutions, Inc.* | 3,956,025 | ||||||
48,552 | Western Digital Corp. | 2,143,571 | ||||||
|
| |||||||
14,545,199 | ||||||||
|
| |||||||
Transportation – 3.3% | ||||||||
92,993 | Knight-Swift Transportation Holdings, Inc. | 3,878,738 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Transportation – (continued) | ||||||||
28,097 | Old Dominion Freight Line, Inc. | 4,764,970 | ||||||
75,985 | United Airlines Holdings, Inc.* | 2,629,841 | ||||||
|
| |||||||
11,273,549 | ||||||||
|
| |||||||
Utilities – 8.9% | ||||||||
65,024 | Ameren Corp. | 4,575,089 | ||||||
36,212 | American Water Works Co., Inc. | 4,659,036 | ||||||
36,990 | Atmos Energy Corp. | 3,683,464 | ||||||
72,428 | CMS Energy Corp. | 4,231,244 | ||||||
23,674 | Eversource Energy | 1,971,334 | ||||||
40,208 | NextEra Energy Partners LP | 2,061,866 | ||||||
60,738 | Public Service Enterprise Group, Inc. | 2,985,880 | ||||||
21,760 | Sempra Energy | 2,550,925 | ||||||
62,168 | Xcel Energy, Inc. | 3,885,500 | ||||||
|
| |||||||
30,604,338 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $315,516,778) | $ | 340,973,447 | ||||||
|
|
Shares | Dividend Rate | Value | ||||||
Investment Company(b) – 1.1% | ||||||||
Goldman Sachs Financial Square Government Fund — |
| |||||||
3,911,478 | 0.155 | % | $ | 3,911,478 | ||||
(Cost $3,911,478) |
| |||||||
| ||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE |
| |||||||
(Cost $319,428,256) |
| $ | 344,884,925 | |||||
| ||||||||
Securities Lending Reinvestment Vehicle(b) – 1.1% | ||||||||
Goldman Sachs Financial Square Government Fund — |
| |||||||
3,850,739 | 0.155 | % | $ | 3,850,739 | ||||
(Cost $3,850,739) |
| |||||||
| ||||||||
TOTAL INVESTMENTS – 101.0% |
| |||||||
(Cost $323,278,995) |
| $ | 348,735,664 | |||||
| ||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (1.0)% |
| (3,430,374 | ) | |||||
| ||||||||
NET ASSETS – 100.0% |
| $ | 345,305,290 | |||||
|
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. |
The accompanying notes are an integral part of these financial statements. | 5 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Statement of Assets and Liabilities
June 30, 2020 (Unaudited)
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $315,516,778)(a) | $ | 340,973,447 | ||
Investments in affiliated issuers, at value (cost $3,911,478) | 3,911,478 | |||
Investments in affiliated securities lending reinvestment vehicle, at value (cost $3,850,739) | 3,850,739 | |||
Cash | 645,517 | |||
Receivables: | ||||
Dividends | 394,545 | |||
Reimbursement from investment adviser | 37,513 | |||
Fund shares sold | 36,293 | |||
Securities lending income | 29,939 | |||
Total assets | 349,879,471 | |||
Liabilities: | ||||
Payables: | ||||
Payable upon return of securities loaned | 3,850,739 | |||
Management fees | 220,898 | |||
Fund shares redeemed | 207,032 | |||
Distribution and Service fees and Transfer Agency fees | 21,295 | |||
Accrued expenses | 274,217 | |||
Total liabilities | 4,574,181 | |||
Net Assets: | ||||
Paid-in capital | 339,893,055 | |||
Total distributable earnings (loss) | 5,412,235 | |||
NET ASSETS | $ | 345,305,290 | ||
Net Assets: | ||||
Institutional | $ | 270,368,552 | ||
Service | 74,936,738 | |||
Total Net Assets | $ | 345,305,290 | ||
Shares outstanding $0.001 par value (unlimited shares authorized): | ||||
Institutional | 19,959,098 | |||
Service | 5,487,225 | |||
Net asset value, offering and redemption price per share: | ||||
Institutional | $13.55 | |||
Service | 13.66 |
(a) Includes loaned securities having a market value of $3,769,146.
6 | 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 Six Months Ended June 30, 2020 (Unaudited)
Investment income: | ||||
Dividends — unaffiliated issuers (net of foreign taxes withheld of $948) | $ | 3,363,059 | ||
Securities lending income — unaffiliated issuer | 149,773 | |||
Dividends — affiliated issuers | 33,434 | |||
Total investment income | 3,546,266 | |||
Expenses: | ||||
Management fees | 1,481,972 | |||
Printing and mailing costs | 154,250 | |||
Distribution and Service fees — Service Shares | 132,943 | |||
Professional fees | 45,180 | |||
Transfer Agency fees(a) | 38,489 | |||
Custody, accounting and administrative services | 35,268 | |||
Trustee fees | 9,835 | |||
Other | 7,748 | |||
Total expenses | 1,905,685 | |||
Less — expense reductions | (154,973 | ) | ||
Net expenses | 1,750,712 | |||
NET INVESTMENT INCOME | 1,795,554 | |||
Realized and unrealized loss: | ||||
Net realized loss from investments — unaffiliated issuers | (26,230,775 | ) | ||
Net change in unrealized loss on investments — unaffiliated issuers | (63,786,244 | ) | ||
Net realized and unrealized loss | (90,017,019 | ) | ||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (88,221,465 | ) |
(a) Institutional and Service Shares incurred Transfer Agency fees of $27,855 and $10,634, respectively.
The accompanying notes are an integral part of these financial statements. | 7 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2020 (Unaudited) | For the Fiscal Year Ended December 31, 2019 | |||||||
From operations: | ||||||||
Net investment income | $ | (1,795,554 | ) | $ | 3,829,536 | |||
Net realized gain (loss) | (26,230,775 | ) | 29,143,957 | |||||
Net change in unrealized gain (loss) | (63,786,244 | ) | 90,823,666 | |||||
Net increase (decrease) in net assets resulting from operations | (88,221,465 | ) | 123,797,159 | |||||
Distributions to shareholders: | ||||||||
From distributable earnings: | ||||||||
Institutional Shares | — | (14,329,359 | ) | |||||
Service Shares | — | (7,060,194 | ) | |||||
Total distributions to shareholders | — | (21,389,553 | ) | |||||
From share transactions: | ||||||||
Proceeds from sales of shares | 16,743,337 | 97,337,044 | ||||||
Reinvestment of distributions | — | 21,389,553 | ||||||
Cost of shares redeemed | (93,341,625 | ) | (87,900,619 | ) | ||||
Net increase (decrease) in net assets resulting from share transactions | (76,598,288 | ) | 30,825,978 | |||||
TOTAL INCREASE (DECREASE) | (164,819,753 | ) | 133,233,584 | |||||
Net Assets: | ||||||||
Beginning of period | 510,125,043 | 376,891,459 | ||||||
End of period | $ | 345,305,290 | $ | 510,125,043 |
8 | 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 Period
Goldman Sachs Mid Cap Value Fund | ||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.22 | $ | 12.89 | $ | 16.93 | $ | 16.23 | $ | 14.49 | $ | 17.43 | ||||||||||||
Net investment income(a) | 0.07 | 0.13 | 0.13 | 0.12 | 0.16 | 0.13 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (2.74 | ) | 3.93 | (1.86 | ) | 1.68 | 1.80 | (1.75 | ) | |||||||||||||||
Total from investment operations | (2.67 | ) | 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 period | $ | 13.55 | $ | 16.22 | $ | 12.89 | $ | 16.93 | $ | 16.23 | $ | 14.49 | ||||||||||||
Total return(b) | (16.46 | )% | 31.53 | % | (10.46 | )% | 11.07 | % | 13.49 | % | (9.24 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 270,369 | $ | 335,229 | $ | 300,056 | $ | 388,709 | $ | 437,085 | $ | 535,459 | ||||||||||||
Ratio of net expenses to average net assets | 0.84 | %(c) | 0.87 | % | 0.84 | % | 0.84 | % | 0.84 | % | 0.84 | % | ||||||||||||
Ratio of total expenses to average net assets | 0.93 | %(c) | 0.90 | % | 0.86 | % | 0.87 | % | 0.87 | % | 0.87 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.04 | %(c) | 0.85 | % | 0.75 | % | 0.71 | % | 1.08 | % | 0.74 | % | ||||||||||||
Portfolio turnover rate(d) | 67 | % | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(c) | Annualized. |
(d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Mid Cap Value Fund | ||||||||||||||||||||||||
Service Shares | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 16.37 | $ | 13.01 | $ | 16.95 | $ | 16.25 | $ | 14.51 | $ | 17.45 | ||||||||||||
Net investment income(a) | 0.05 | 0.10 | 0.07 | 0.08 | 0.12 | 0.08 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (2.76 | ) | 3.95 | (1.84 | ) | 1.68 | 1.81 | (1.75 | ) | |||||||||||||||
Total from investment operations | (2.71 | ) | 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 period | $ | 13.66 | $ | 16.37 | $ | 13.01 | $ | 16.95 | $ | 16.25 | $ | 14.51 | ||||||||||||
Total return(b) | (16.55 | )% | 31.17 | % | (10.70 | )% | 10.85 | % | 13.24 | % | (9.52 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 74,937 | $ | 174,896 | $ | 76,835 | $ | 381,172 | $ | 371,366 | $ | 265,545 | ||||||||||||
Ratio of net expenses to average net assets | 1.09 | %(c) | 1.12 | % | 1.09 | % | 1.09 | % | 1.09 | % | 1.09 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.16 | %(c) | 1.16 | % | 1.11 | % | 1.12 | % | 1.12 | % | 1.12 | % | ||||||||||||
Ratio of net investment income to average net assets | 0.66 | %(c) | 0.66 | % | 0.42 | % | 0.47 | % | 0.78 | % | 0.48 | % | ||||||||||||
Portfolio turnover rate(d) | 67 | % | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(c) | Annualized. |
(d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Notes to Financial Statements
June 30, 2020 (Unaudited)
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 an open-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 on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Investment income is recorded net of any foreign withholding taxes, less any amounts reclaimable. The Fund may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Fund’s investments in United States (“U.S.”) real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain and/or a return of capital. A return of capital is recorded by the Fund as a reduction to the cost basis of the REIT. Distributions from master limited partnerships (“MLPs”) are generally recorded based on the characterization reported on the MLP’s tax return. The Fund records its pro-rata share of the income/loss and capital gains/losses, allocated from the underlying partnerships and adjusts the cost basis of the underlying partnerships accordingly.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, and non-class specific expenses of the Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by the Fund are charged to the Fund, while such expenses incurred by the Trust are allocated across the Fund on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class-specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service 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 the ex-dividend date. Income and capital gains distributions, if any, are declared and paid at least annually.
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
11
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the Fund’s distributions may be shown in the accompanying financial statements as either from distributable earnings or capital. Certain components of the Fund’s net assets on the Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS
U.S. GAAP defines the fair value of a financial instrument as the amount that would be received to sell an asset or paid to transfer a liability in an orderly transaction between market participants at the measurement date (i.e., the exit price); the Fund’s policy is to use the market approach. GAAP establishes a fair value hierarchy that prioritizes the inputs to valuation techniques used to measure fair value. The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). The levels used for classifying investments are not necessarily an indication of the risk associated with investing in these investments. The three levels of the fair value hierarchy are described below:
Level 1 — Unadjusted quoted prices in active markets that are accessible at the measurement date for identical, unrestricted assets or liabilities;
Level 2 — Quoted prices in markets that are not active or financial instruments for which significant inputs are observable (including, but not limited to, quoted prices for similar investments, interest rates, foreign exchange rates, volatility and credit spreads), either directly or indirectly;
Level 3 — Prices or valuations that require significant unobservable inputs (including GSAM’s assumptions in determining fair value measurement).
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Fund, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Fund’s investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a 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. Certain equity securities containing unique attributes may be classified as Level 2.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price for long positions or the last ask price for short positions, and are generally classified as Level 2.
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.
12
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
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 June 30, 2020:
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Europe | $ | 7,567,810 | $ | — | $ | — | ||||||
North America | 333,405,637 | — | — | |||||||||
Investment Company | 3,911,478 | — | — | |||||||||
Securities Lending Reinvestment Vehicle | 3,850,739 | — | — | |||||||||
Total | $ | 348,735,664 | $ | — | $ | — |
(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 six months ended June 30, 2020, 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. |
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 six months ended June 30, 2020, GSAM waived $5,750 of the Fund’s management fee.
13
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
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 Rule 12b-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 29, 2021, and prior to such date GSAM may not terminate the arrangement without the approval of the Trustees. In addition, the Fund has entered into certain offset arrangements with the 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 six months ended June 30, 2020, 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 | |||||||||||
$ | 5,750 | $ | 735 | $ | 148,488 | $ | 154,973 |
E. Line of Credit Facility — As of June 30, 2020, the Fund participated in a $700,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the six months ended June 30, 2020, the Fund did not have any borrowings under the facility. Prior to April 28, 2020, the facility was $580,000,000.
F. Other Transactions with Affiliates — For the six months ended June 30, 2020, Goldman Sachs earned $268 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 six months ended June 30, 2020:
Beginning Value as of December 31, 2019 | Purchases at Cost | Proceeds from Sales | Ending Value as of June 30, 2020 | Shares as of June 30, 2020 | Dividend Income from Affiliated Investment Company | |||||||||||||||||
$12,703,956 | $ | 67,492,499 | $ | (76,284,977 | ) | $ | 3,911,478 | 3,911,478 | $ | 33,434 |
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GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
5. PORTFOLIO SECURITIES TRANSACTIONS
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended June 30, 2020, were $257,880,499 and $321,373,192, 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 Rule 2a-7 under the Act, and is managed by GSAM, for which GSAM may receive a management fee of up to 0.16% on an annualized basis of the average daily net assets of the Government Money Market Fund.
In the event of a default by a borrower with respect to any loan, BNYM may exercise any and all remedies provided under the applicable borrower agreement to make the 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 the non-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. However, in the event of a default by a borrower, a resolution authority could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of set-off that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws. The Fund’s loaned securities were all subject to enforceable Securities Lending Agreements and the value of the collateral was at least equal to the value of the cash received. The amounts of the Fund’s overnight and continuous agreements, which represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of June 30, 2020, 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 six months ended June 30, 2020, 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 six months ended June 30, 2020:
Market Value December 31, 2019 | Purchases at Cost | Proceeds from Sales | Market Value June 30, 2020 | |||||||||||
$408,161 | $ | 13,196,760 | $ | (9,754,182 | ) | $ | 3,850,739 |
15
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
7. TAX INFORMATION
As of the Fund’s most recent fiscal year end, December 31, 2019, the Fund’s certain timing differences, on a tax-basis were as follows:
Timing differences (Real Estate Investment Trusts) | $ | 160,161 |
As of June 30, 2020, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Tax cost | $ | 326,307,121 | ||
Gross unrealized gain | 46,939,687 | |||
Gross unrealized loss | (24,511,144 | ) | ||
Net unrealized gain | $ | 22,428,543 |
The difference between GAAP-basis and tax-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.
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. 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.
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GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
8. OTHER RISKS (continued)
Market and Credit Risks — In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). The value of the securities in which the Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, acts of terrorism, social unrest, natural disasters, the spread of infectious illness or other public health threats could also significantly impact the Fund and its investments. Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
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. 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.
11. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
For the Six Months Ended June 30, 2020 (Unaudited) | For the Fiscal Year Ended December 31, 2019 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 892,855 | $ | 11,361,769 | 556,218 | $ | 8,465,749 | ||||||||||
Reinvestment of distributions | — | — | 897,830 | 14,329,359 | ||||||||||||
Shares redeemed | (1,597,634 | ) | (22,351,206 | ) | (4,061,392 | ) | (62,310,021 | ) | ||||||||
(704,779 | ) | (10,989,437 | ) | (2,607,344 | ) | (39,514,913 | ) | |||||||||
Service Shares | ||||||||||||||||
Shares sold | 402,921 | 5,381,568 | 6,000,838 | 88,871,295 | ||||||||||||
Reinvestment of distributions | — | — | 438,249 | 7,060,194 | ||||||||||||
Shares redeemed | (5,596,386 | ) | (70,990,419 | ) | (1,663,012 | ) | (25,590,598 | ) | ||||||||
(5,193,465 | ) | (65,608,851 | ) | 4,776,075 | 70,340,891 | |||||||||||
NET INCREASE (DECREASE) | (5,898,244 | ) | $ | (76,598,288 | ) | 2,168,731 | $30,825,978 |
17
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Liquidity Risk Management Program
The Fund has adopted and implemented a liquidity risk management program (the “Program”) in accordance with Rule 22e-4 under the 1940 Act. The Program seeks to assess and manage the Fund’s liquidity risk, i.e., the risk that the Fund is unable to satisfy redemption requests without significantly diluting remaining investors’ interests in the Fund. The Board of Trustees of the Trust has designated GSAM, the Fund’s investment adviser, to administer the Program. Certain aspects of the Program rely on third parties to perform certain functions, including the provision of market data and application of models.
The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Fund’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of a Fund’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under Rule 22e-4); (4) for a Fund that does not invest primarily in “highly liquid investments” (as defined under Rule 22e-4), the determination of a minimum percentage of the Fund’s assets that will generally be invested in highly liquid investments (a “Highly Liquid Investment Minimum”); and (5) periodic reporting to the Board of Trustees.
At a meeting of the Board of Trustees on February 11-12, 2020, GSAM provided a written report to the Board addressing the operation, and the adequacy and effectiveness of the implementation, of the Program, including, as applicable, the operation of any Highly Liquid Investment Minimum and any material changes to the Program, for the initial period from December 1, 2018 through December 31, 2019 (the “Reporting Period”). Among other things, the annual report discussed: (1) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions; and (2) an assessment of the methodologies used to classify investments into one of four liquidity categories. The report concluded that the Program was reasonably designed to assess and manage liquidity risk and was adequately and effectively implemented during the Reporting Period.
There can be no assurance that the Program will achieve its objectives under all circumstances in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which it may be subject.
18
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Fund Expenses — Six Month Period Ended June 30, 2020 (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 January 1, 2020 through June 30, 2020, which represents a period of 182 days of a 366 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual net expense 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 01/01/20 | Ending Account Value 06/30/20 | Expenses Paid for the 6 Months Ended 06/30/20* | |||||||||
Institutional | ||||||||||||
Actual | $ | 1,000 | $ | 835.40 | $ | 3.83 | ||||||
Hypothetical 5% return | 1,000 | 1,020.69 | + | 4.22 | ||||||||
Service | ||||||||||||
Actual | 1,000 | 834.50 | 4.97 | |||||||||
Hypothetical 5% return | 1,000 | 1,019.44 | + | 5.47 |
+ | 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 June 30, 2020. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 0.84% and 1.09% for Institutional and Service Shares, respectively. |
19
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
The Goldman Sachs Mid Cap Value Fund (the “Fund”) is an investment portfolio of Goldman Sachs Variable Insurance Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Fund at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Fund.
The Management Agreement was most recently approved for continuation until June 30, 2021 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 16-17, 2020 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held two meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to the Fund, such matters included:
(a) | the nature and quality of the advisory, administrative, and other services provided to the Fund by the Investment Adviser and its affiliates, including information about: |
(i) | the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams; |
(ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training); |
(iii) | trends in employee headcount; |
(iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
(v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
(b) | information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), a benchmark performance index, and a composite of accounts with comparable investment strategies managed by the Investment Adviser; and information on general investment outlooks in the markets in which the Fund invests; |
(c) | information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Fund’s peer group and/or benchmark index had high, medium, or low relevance given the Fund’s particular investment strategy; |
(d) | the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund; |
(e) | fee and expense information for the Fund, including: |
(i) | the relative management fee and expense levels of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; |
(ii) | the Fund’s expense trends over time; and |
(iii) | to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
(f) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; |
(g) | the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations; |
(h) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund to the Investment Adviser and its affiliates; |
(i) | whether the Fund’s existing management fee schedule adequately addressed any economies of scale; |
20
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
(j) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, portfolio trading, distribution and other services; |
(k) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
(l) | information regarding commissions paid by the Fund and broker oversight, an update on the Investment Adviser’s soft dollars practices, other information regarding portfolio trading, and how the Investment Adviser carries out its duty to seek best execution; |
(m) | the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers; |
(n) | the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and |
(o) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports. |
The Trustees also received an overview of the Fund’s distribution arrangements. They received information regarding the Fund’s assets, share purchase and redemption activity, and payment of distribution and service fees. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Fund and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Fund. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Fund by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the market, regulatory and control environment in which the Fund and its service providers operate, including changes associated with the COVID-19 pandemic, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees also considered information regarding the Investment Adviser’s business continuity planning and remote operations in the current environment. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Fund and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Fund and the Investment Adviser and its affiliates.
Investment Performance
The Trustees also considered the investment performance of the Fund. In this regard, they compared the investment performance of the Fund to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2019,
21
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2020. The information on the Fund’s investment performance was provided for the one-, three-, five-, and ten-year periods ending on the applicable dates. The Trustees also reviewed the Fund’s investment performance relative to its performance benchmark. As part of this review, they considered the investment performance trends of the Fund over time, and reviewed the investment performance of the Fund in light of its investment objective and policies and market conditions. The Trustees also received information comparing the Fund’s performance to that of a composite of accounts with comparable investment strategies managed by the Investment Adviser.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Fund’s risk profile, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management.
The Trustees observed that the Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the one-year period and in the third quartile for the three-, five-, and ten-year periods, and had outperformed the Fund’s benchmark index for the one- and three-year periods and underperformed for the five- and ten-year periods ended March 31, 2020.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by the Fund thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Fund, which included both advisory and administrative services that were directed to the needs and operations of the Fund as a registered mutual fund.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Fund. The analyses provided a comparison of the Fund’s management fee and breakpoints to those of a relevant peer group and category universe; an expense analysis which compared the Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing the Fund’s net expenses to the peer and category medians. The analyses also compared the Fund’s other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Fund.
In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Fund, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Fund differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.
In addition, the Trustees noted that shareholders are able to redeem their Fund shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Profitability
The Trustees reviewed the Fund’s contribution to the Investment Adviser’s revenues and pre-tax profit margins. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization periodically audits the expense allocation methodology and that the internal audit group was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology. Profitability data for the Fund was provided for 2019 and 2018, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability.
22
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Economies of Scale
The Trustees considered the information that had been provided regarding whether there have been economies of scale with respect to the management of the Fund. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreement for the Fund at the following annual percentage rates of the average daily net assets of the Fund:
First $2 billion | 0.77 | % | ||
Next $3 billion | 0.69 | |||
Next $3 billion | 0.66 | |||
Over $8 billion | 0.65 |
The Trustees noted that the breakpoints were designed to share potential economies of scale, if any, with the Fund and its shareholders as assets under management reach those asset levels. The Trustees considered the amounts of assets in the Fund; the Fund’s recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer group; and the Investment Adviser’s undertaking to limit certain expenses of the Fund that exceed a specified level. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund as stated above, including: (a) transfer agency fees received by Goldman Sachs & Co. LLC (“Goldman Sachs”); (b) brokerage and futures commissions earned by Goldman Sachs for executing securities and futures transactions on behalf of the Fund; (c) research received by the Investment Adviser from broker-dealers in exchange for executing certain transactions on behalf of the Fund; (d) trading efficiencies resulting from aggregation of orders of the Fund with those for other funds or accounts managed by the Investment Adviser; (e) fees earned by the Investment Adviser for managing the fund in which the Fund’s securities lending cash collateral is invested; (f) the Investment Adviser’s ability to leverage the infrastructure designed to service the Fund on behalf of its other clients; (g) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (h) Goldman Sachs’ retention of certain fees as Fund Distributor; (i) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Fund; (j) the investment of cash in money market funds managed by the Investment Adviser that will result in increased assets under management for those money market funds; and (k) the possibility that the working relationship between the Investment Adviser and the Fund’s third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
Other Benefits to the Fund and Its Shareholders
The Trustees also noted that the Fund receives certain other potential benefits as a result of its relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Fund with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors due to the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers due to the volume of business generated by the Investment Adviser and its affiliates; (d) the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties on behalf of the Fund as a result of the size and reputation of the Goldman Sachs organization; (e) the advantages received from the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Fund because of the reputation of the Goldman Sachs organization; (g) the Fund’s access, through the Investment Adviser, to certain firm-wide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; and (h) the Fund’s access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Fund’s shareholders invested in the Fund in part because of the Fund’s relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of
23
GOLDMAN SACHS VARIABLE INSURANCE TRUST MID CAP VALUE FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by the Fund were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and the Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit the Fund and its shareholders and that the Management Agreement should be approved and continued with respect to the Fund until June 30, 2021.
24
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 |
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 recent month-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 the 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-621-2550; and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://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 June 30, 2020 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
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 the 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 Mid Cap Value Fund.
© 2020 Goldman Sachs. All rights reserved.
VITMCVSAR-20/211769-OTU-1244924
Goldman
Sachs Variable 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.
Semi-Annual Report
June 30, 2020
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
Recent Market Events related to COVID-19
An outbreak of a novel strain of coronavirus (COVID-19) has emerged globally. The outbreak of COVID-19 has prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, curfews and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, and disruption in manufacturing and supply chains. While governments have already taken unprecedented action to limit disruption to the financial system, global financial markets have experienced and may continue to experience significant volatility resulting from the spread of and subsequent intervening measures intended to limit the spread of COVID-19. The Fund could be negatively impacted if the value of a portfolio holding were harmed by such political or economic conditions, events, or actions. The full extent of the impact of COVID-19 on the Fund’s performance cannot be determined at this time and will depend on future developments, including the duration and the continued spread of the outbreak. Goldman Sachs Asset Management’s long-term commitment to you, our Fund shareholders, remains unchanged. We encourage you to maintain perspective and stay current with timely commentary and investment insights by visiting gsam.com.
On March 15, 2020, the Federal Reserve of the United States (Fed) announced an emergency 1.00% rate cut. This cut was their second intermeeting move in less than two weeks, having cut 0.50% on March 3rd. Since these rate cuts, and in response to further market disruption due to COVID-19, the Fed has announced various programs in an effort to stabilize the short-term credit markets and liquidity in the money market fund industry.
i
FUND BASICS
Government Money Market Fund
as of June 30, 2020
PERFORMANCE REVIEW1,2
January 1, 2020 - June 30, 2020 | Fund Total Return (based on NAV)3 | SEC 7-Day Current Yield3 | iMoneyNet Institutional Average4 | |||||||||
Institutional Shares | 0.39 | % | 0.26 | % | 0.49 | % | ||||||
Service Shares | 0.26 | 0.02 | 0.49 |
The returns represent past performance. Past performance does not guarantee future results. The Fund’s investment returns will fluctuate. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
1 | 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 performance shown above reflects any waivers or reimbursements that were in effect for all or a portion of the periods shown. When waivers or reimbursements are in place, the Fund’s operating expenses are reduced and the Fund’s yield and total returns to the shareholder are increased. |
2 | The net asset value (NAV) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s total return reflects the reinvestment of dividends and other distributions. |
3 | The SEC 7-Day Current Yield is calculated in accordance with securities industry regulations and does not include net capital gains. SEC 7-Day Current Yield may differ slightly from the actual distribution rate of the Fund because of the exclusion of distributed capital gains, which are non-recurring. The SEC 7-Day Current Yield more closely reflects the Fund’s current earnings than do the Fund Total Return figures. |
4 | Source: iMoneyNet, Inc. June 2020. The iMoneyNet Institutional Average represents total return. |
YIELD SUMMARY AS OF JUNE 30, 2020
Funds | 7-Day Dist. Yield5 | SEC 7-Day Effective Yield6 | 30-Day Average Yield7 | Weighted Avg. Maturity (days)8 | Weighted Avg. Life (days)9 | |||||||||||||||
Institutional Shares | 0.27 | % | 0.26 | % | 0.27 | % | 48 | 109 | ||||||||||||
Service Shares | 0.03 | 0.02 | 0.03 | 48 | 109 |
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 reflect fee waivers and expense limitations in effect and will fluctuate as market conditions change. Please visit our Web site at www.GSAMFUNDS.com to obtain the most recent month-end performance.
5 | The 7-Day Distribution Yield is an annualized measure of the Fund’s dividends per share, divided by the price per share. This yield includes capital gain/loss distribution, if any. This is not an SEC Yield. |
6 | The SEC 7-Day Effective Yield is calculated in accordance with securities industry regulations and does not include net capital gains. The SEC 7-Day Effective Yield assumes reinvestment of dividends for one year. |
7 | The 30-Day Average Yield is a net annualized yield of 30 days back from the current date listed. This yield includes capital gain/loss distribution. This is not an SEC Yield. |
8 | The Fund’s weighted average maturity (WAM) is an average of the effective maturities of all securities held in the portfolio, weighted by each security’s percentage of net assets. This must not exceed 60 days as calculated under SEC Rule 2a-7. |
9 | The Fund’s weighted average life (WAL) is an average of the final maturities of all securities held in the portfolio, weighted by each security’s percentage of net assets. This must not exceed 120 days as calculated under SEC Rule 2a-7. |
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.
2
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.
3
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Schedule of Investments
June 30, 2020 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
U.S. Government Agency Obligations – 3.9% | ||||||||||||||
Federal Home Loan Bank | ||||||||||||||
$ | 300,000 | 1.361 | % | 08/19/20 | $ | 299,457 | ||||||||
3,600,000 | 0.610 | 09/01/20 | 3,599,976 | |||||||||||
Federal Home Loan Bank Discount Notes | ||||||||||||||
4,000,000 | 0.509 | 07/06/20 | 3,999,722 | |||||||||||
4,900,000 | 1.586 | 07/17/20 | 4,896,625 | |||||||||||
1,700,000 | 1.587 | 07/20/20 | 1,698,609 | |||||||||||
3,600,000 | 1.351 | 08/28/20 | 3,592,344 | |||||||||||
1,200,000 | 0.295 | 09/15/20 | 1,199,265 | |||||||||||
15,000,000 | 0.377 | 09/21/20 | 14,987,358 | |||||||||||
7,500,000 | 0.530 | 03/15/21 | 7,472,158 | |||||||||||
Overseas Private Investment Corp. | ||||||||||||||
500,000 | 1.900 | 11/17/20 | 505,894 | |||||||||||
|
| |||||||||||||
| TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | | $ | 42,251,408 | ||||||||||
|
| |||||||||||||
U.S. Treasury Obligations – 55.1% | ||||||||||||||
United States Cash Management Bills | ||||||||||||||
$ | 100,000 | 0.137 | % | 09/08/20 | $ | 99,974 | ||||||||
800,000 | 0.142 | 09/15/20 | 799,764 | |||||||||||
700,000 | 0.153 | 09/15/20 | 699,778 | |||||||||||
200,000 | 0.158 | 09/15/20 | 199,935 | |||||||||||
600,000 | 0.163 | 09/15/20 | 599,797 | |||||||||||
12,700,000 | 0.168 | 09/15/20 | 12,695,576 | |||||||||||
1,400,000 | 0.178 | 09/22/20 | 1,399,435 | |||||||||||
200,000 | 0.173 | 09/29/20 | 199,915 | |||||||||||
1,500,000 | 0.178 | 09/29/20 | 1,499,344 | |||||||||||
1,600,000 | 0.183 | 09/29/20 | 1,599,280 | |||||||||||
5,400,000 | 0.142 | 10/06/20 | 5,397,963 | |||||||||||
25,000,000 | 0.173 | 10/06/20 | 24,988,549 | |||||||||||
500,000 | 0.178 | 10/06/20 | 499,764 | |||||||||||
600,000 | 0.137 | 10/13/20 | 599,766 | |||||||||||
200,000 | 0.147 | 10/13/20 | 199,916 | |||||||||||
5,300,000 | 0.153 | 10/13/20 | 5,297,703 | |||||||||||
100,000 | 0.148 | 10/20/20 | 99,955 | |||||||||||
5,100,000 | 0.158 | (a) | 10/29/20 | 5,097,387 | ||||||||||
500,000 | 0.168 | 11/03/20 | 499,714 | |||||||||||
17,000,000 | 0.173 | 11/03/20 | 16,989,965 | |||||||||||
300,000 | 0.168 | 11/24/20 | 299,799 | |||||||||||
22,500,000 | 0.188 | 11/24/20 | 22,483,119 | |||||||||||
5,000,000 | 0.168 | 12/01/20 | 4,996,494 | |||||||||||
United States Treasury Bills | ||||||||||||||
15,200,000 | 0.107 | 07/02/20 | 15,199,956 | |||||||||||
100,000 | 0.122 | 07/02/20 | 100,000 | |||||||||||
900,000 | 0.132 | 07/02/20 | 899,997 | |||||||||||
3,100,000 | 0.112 | 07/07/20 | 3,099,943 | |||||||||||
200,000 | 0.122 | 07/07/20 | 199,996 | |||||||||||
14,000,000 | 0.127 | 07/07/20 | 13,999,708 | |||||||||||
200,000 | 0.102 | 07/09/20 | 199,996 | |||||||||||
40,400,000 | 0.122 | 07/09/20 | 40,398,923 | |||||||||||
400,000 | 0.107 | 07/14/20 | 399,985 | |||||||||||
16,200,000 | 0.112 | 07/14/20 | 16,199,356 | |||||||||||
2,000,000 | 0.147 | 07/14/20 | 1,999,895 | |||||||||||
|
| |||||||||||||
U.S. Treasury Obligations – (continued) | ||||||||||||||
United States Treasury Bills – (continued) | ||||||||||||||
2,400,000 | 0.132 | 07/16/20 | 2,399,870 | |||||||||||
100,000 | 0.137 | 07/16/20 | 99,994 | |||||||||||
4,800,000 | 0.107 | 07/21/20 | 4,799,720 | |||||||||||
1,400,000 | 0.112 | 07/21/20 | 1,399,914 | |||||||||||
100,000 | 0.153 | 07/23/20 | 99,991 | |||||||||||
600,000 | 0.158 | 07/23/20 | 599,943 | |||||||||||
2,100,000 | 0.163 | 07/23/20 | 2,099,795 | |||||||||||
100,000 | 0.132 | 07/28/20 | 99,990 | |||||||||||
13,300,000 | 0.137 | 07/28/20 | 13,298,653 | |||||||||||
800,000 | 0.132 | 07/30/20 | 799,916 | |||||||||||
1,000,000 | 0.137 | 07/30/20 | 999,891 | |||||||||||
1,700,000 | 0.142 | 07/30/20 | 1,699,808 | |||||||||||
7,200,000 | 0.153 | 07/30/20 | 7,199,130 | |||||||||||
6,500,000 | 0.147 | 08/04/20 | 6,499,110 | |||||||||||
700,000 | 0.153 | 08/04/20 | 699,901 | |||||||||||
300,000 | 0.117 | 08/06/20 | 299,966 | |||||||||||
2,600,000 | 0.122 | 08/06/20 | 2,599,688 | |||||||||||
6,700,000 | 0.127 | 08/06/20 | 6,699,163 | |||||||||||
5,600,000 | 0.183 | 08/06/20 | 5,598,992 | |||||||||||
200,000 | 0.163 | 08/11/20 | 199,964 | |||||||||||
15,600,000 | 0.132 | (a) | 08/13/20 | 15,597,634 | ||||||||||
44,300,000 | 1.547 | 08/13/20 | 44,220,100 | |||||||||||
400,000 | 0.561 | 08/20/20 | 399,694 | |||||||||||
34,300,000 | 1.547 | 08/20/20 | 34,228,065 | |||||||||||
37,500,000 | 1.475 | 08/27/20 | 37,414,500 | |||||||||||
1,800,000 | 0.132 | 09/03/20 | 1,799,584 | |||||||||||
59,200,000 | 1.032 | 09/03/20 | 59,093,703 | |||||||||||
300,000 | 0.132 | 09/17/20 | 299,915 | |||||||||||
200,000 | 0.150 | 09/24/20 | 199,930 | |||||||||||
500,000 | 0.153 | 09/24/20 | 499,823 | |||||||||||
1,100,000 | 0.173 | 09/24/20 | 1,099,558 | |||||||||||
100,000 | 0.178 | 09/24/20 | 99,959 | |||||||||||
3,300,000 | 0.163 | 10/08/20 | 3,298,548 | |||||||||||
100,000 | 0.173 | 10/08/20 | 99,953 | |||||||||||
300,000 | 0.178 | 10/08/20 | 299,856 | |||||||||||
20,100,000 | 0.188 | 10/08/20 | 20,089,774 | |||||||||||
100,000 | 0.153 | 10/15/20 | 99,956 | |||||||||||
300,000 | 0.163 | 10/15/20 | 299,859 | |||||||||||
20,100,000 | 0.183 | 10/15/20 | 20,089,347 | |||||||||||
600,000 | 0.188 | 10/15/20 | 599,673 | |||||||||||
3,800,000 | 0.132 | 11/05/20 | 3,798,257 | |||||||||||
25,000,000 | 0.188 | 12/17/20 | 24,978,288 | |||||||||||
20,000,000 | 0.178 | 12/24/20 | 19,982,889 | |||||||||||
17,500,000 | 0.168 | (a) | 12/31/20 | 17,485,402 | ||||||||||
| United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill | | ||||||||||||
3,000,000 | 0.193 | (b) | 07/31/20 | 2,999,982 | ||||||||||
| United States Treasury Floating Rate Note (3 Mo. U.S. T-Bill | | ||||||||||||
600,000 | 0.195 | (b) | 10/31/20 | 600,081 | ||||||||||
United States Treasury Notes | ||||||||||||||
1,600,000 | 1.625 | 07/31/20 | 1,600,040 | |||||||||||
900,000 | 1.500 | 08/15/20 | 900,453 | |||||||||||
2,100,000 | 2.750 | 09/30/20 | 2,108,818 | |||||||||||
800,000 | 1.750 | 11/15/20 | 802,175 | |||||||||||
|
|
4 | 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 | |||||||||||
U.S. Treasury Obligations – (continued) | ||||||||||||||
United States Treasury Notes – (continued) | ||||||||||||||
$ | 5,900,000 | 2.625 | % | 11/15/20 | $ | 5,933,491 | ||||||||
900,000 | 2.750 | 11/30/20 | 904,961 | |||||||||||
2,000,000 | 1.875 | 12/15/20 | 2,010,942 | |||||||||||
2,900,000 | 2.500 | 12/31/20 | 2,919,893 | |||||||||||
600,000 | 1.375 | 01/31/21 | 600,006 | |||||||||||
200,000 | 2.125 | 01/31/21 | 201,692 | |||||||||||
900,000 | 2.250 | 02/15/21 | 907,552 | |||||||||||
900,000 | 3.625 | 02/15/21 | 915,225 | |||||||||||
7,900,000 | 2.500 | 02/28/21 | 7,970,761 | |||||||||||
1,700,000 | 2.375 | 03/15/21 | 1,711,858 | |||||||||||
|
| |||||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS | | $ | 597,296,243 | ||||||||||
|
| |||||||||||||
Variable Rate Obligations(b) – 17.1% | ||||||||||||||
Federal Farm Credit Bank (1 Mo. LIBOR – 0.05%) | ||||||||||||||
$ | 1,300,000 | 0.140 | % | 01/13/21 | $ | 1,299,972 | ||||||||
Federal Farm Credit Bank (1 Mo. LIBOR + 0.01%) | ||||||||||||||
600,000 | 0.304 | 11/05/21 | 600,000 | |||||||||||
Federal Farm Credit Bank (1 Mo. LIBOR + 0.03%) | ||||||||||||||
3,100,000 | 0.215 | 09/15/21 | 3,099,925 | |||||||||||
Federal Farm Credit Bank (1 Mo. LIBOR + 0.09%) | ||||||||||||||
500,000 | 0.275 | 09/13/21 | 500,000 | |||||||||||
Federal Farm Credit Bank (1 Mo. LIBOR + 0.1%) | ||||||||||||||
1,100,000 | 0.280 | 09/09/21 | 1,100,000 | |||||||||||
Federal Farm Credit Bank (1 Mo. LIBOR + 0.10%) | ||||||||||||||
1,000,000 | 0.290 | 12/23/21 | 1,000,000 | |||||||||||
Federal Farm Credit Bank (3 Mo. LIBOR – 0.07%) | ||||||||||||||
700,000 | 1.381 | 07/02/21 | 700,000 | |||||||||||
Federal Farm Credit Bank (3 Mo. U.S. T-Bill MMY + 0.13%) | ||||||||||||||
100,000 | 0.280 | 11/12/20 | 100,004 | |||||||||||
Federal Farm Credit Bank (3 Mo. U.S. T-Bill MMY + 0.15%) | ||||||||||||||
200,000 | 0.295 | 04/23/21 | 200,000 | |||||||||||
Federal Farm Credit Bank (FEDL01 + 0.10%) | ||||||||||||||
540,000 | 0.180 | 12/16/20 | 539,975 | |||||||||||
Federal Farm Credit Bank (FEDL01 + 0.11%) | ||||||||||||||
800,000 | 0.190 | 08/13/20 | 799,991 | |||||||||||
Federal Farm Credit Bank (FEDL01 + 0.12%) | ||||||||||||||
1,200,000 | 0.195 | 02/14/22 | 1,200,000 | |||||||||||
Federal Farm Credit Bank (FEDL01 + 0.15%) | ||||||||||||||
1,600,000 | 0.225 | 01/21/21 | 1,599,982 | |||||||||||
Federal Farm Credit Bank (FEDL01 + 0.17%) | ||||||||||||||
1,900,000 | 0.250 | 01/13/22 | 1,899,780 | |||||||||||
Federal Farm Credit Bank (FEDL01 + 0.20%) | ||||||||||||||
2,100,000 | 0.280 | 11/29/21 | 2,099,974 | |||||||||||
Federal Farm Credit Bank (FEDL01 + 0.21%) | ||||||||||||||
1,300,000 | 0.290 | 12/13/21 | 1,299,850 | |||||||||||
Federal Farm Credit Bank (Prime Rate – 2.87%) | ||||||||||||||
500,000 | 0.380 | 02/07/22 | 499,919 | |||||||||||
Federal Farm Credit Bank (Prime Rate – 2.93%) | ||||||||||||||
1,200,000 | 0.320 | 11/06/20 | 1,200,000 | |||||||||||
Federal Farm Credit Bank (Prime Rate – 2.94%) | ||||||||||||||
1,500,000 | 0.315 | 10/30/20 | 1,500,000 | |||||||||||
800,000 | 0.310 | 02/26/21 | 800,000 | |||||||||||
800,000 | 0.310 | 11/08/21 | 800,000 | |||||||||||
|
| |||||||||||||
Variable Rate Obligations(b) – (continued) | ||||||||||||||
Federal Farm Credit Bank (Prime Rate – 2.95%) | ||||||||||||||
2,700,000 | 0.300 | 03/15/21 | 2,700,000 | |||||||||||
Federal Farm Credit Bank (Prime Rate – 2.96%) | ||||||||||||||
2,200,000 | 0.290 | 03/29/21 | 2,200,000 | |||||||||||
1,100,000 | 0.290 | 12/13/21 | 1,099,921 | |||||||||||
Federal Farm Credit Bank (Prime Rate – 2.97%) | ||||||||||||||
1,700,000 | 0.285 | 04/08/21 | 1,700,000 | |||||||||||
Federal Farm Credit Bank (Prime Rate – 2.98%) | ||||||||||||||
300,000 | 0.270 | 11/12/20 | 299,946 | |||||||||||
1,300,000 | 0.275 | 02/26/21 | 1,300,000 | |||||||||||
Federal Farm Credit Bank (Prime Rate – 3.01%) | ||||||||||||||
1,800,000 | 0.240 | 02/25/21 | 1,799,941 | |||||||||||
Federal Farm Credit Bank (Prime Rate – 3.02%) | ||||||||||||||
1,800,000 | 0.234 | 01/13/22 | 1,800,000 | |||||||||||
Federal Farm Credit Bank (SOFR + 0.12%) | ||||||||||||||
800,000 | 0.200 | 03/18/21 | 800,000 | |||||||||||
Federal Farm Credit Bank (SOFR + 0.13%) | ||||||||||||||
500,000 | 0.210 | 02/11/22 | 500,000 | |||||||||||
Federal Farm Credit Bank (SOFR + 0.18%) | ||||||||||||||
2,800,000 | 0.260 | 01/14/22 | 2,796,041 | |||||||||||
Federal Home Loan Bank | ||||||||||||||
1,000,000 | 0.090 | 07/09/20 | 1,000,000 | |||||||||||
400,000 | 0.130 | 08/19/20 | 399,984 | |||||||||||
200,000 | 0.150 | 08/25/20 | 199,997 | |||||||||||
4,000,000 | 0.320 | 09/25/20 | 4,000,570 | |||||||||||
10,000,000 | 0.460 | 09/23/21 | 10,000,000 | |||||||||||
Federal Home Loan Bank (1 Mo. LIBOR + 0.02%) | ||||||||||||||
700,000 | 0.200 | 03/24/21 | 700,000 | |||||||||||
Federal Home Loan Bank (1 Mo. LIBOR + 0.04%) | ||||||||||||||
700,000 | 0.225 | 06/24/21 | 700,000 | |||||||||||
Federal Home Loan Bank (1 Mo. LIBOR + 0.07%) | ||||||||||||||
17,800,000 | 0.240 | 10/07/20 | 17,800,000 | |||||||||||
Federal Home Loan Bank (3 Mo. LIBOR – 0.07%) | ||||||||||||||
6,500,000 | 1.363 | 04/01/21 | 6,500,000 | |||||||||||
Federal Home Loan Bank (3 Mo. LIBOR – 0.08%) | ||||||||||||||
3,300,000 | 0.241 | 03/19/21 | 3,300,000 | |||||||||||
Federal Home Loan Bank (3 Mo. LIBOR – 0.09%) | ||||||||||||||
2,700,000 | 1.288 | 07/06/21 | 2,700,000 | |||||||||||
Federal Home Loan Bank (3 Mo. LIBOR – 0.11%) | ||||||||||||||
1,400,000 | 1.242 | 04/08/21 | 1,400,000 | |||||||||||
500,000 | 1.210 | 04/09/21 | 500,000 | |||||||||||
Federal Home Loan Bank (3 Mo. LIBOR – 0.16%) | ||||||||||||||
3,800,000 | 0.396 | 08/04/20 | 3,800,000 | |||||||||||
Federal Home Loan Bank (SOFR + 0.03%) | ||||||||||||||
5,700,000 | 0.110 | 08/05/20 | 5,699,992 | |||||||||||
Federal Home Loan Mortgage Corp. (SOFR + 0.29%) | ||||||||||||||
10,000,000 | 0.400 | 10/01/21 | 10,000,000 | |||||||||||
Federal Home Loan Mortgage Corp. (SOFR + 0.30%) | ||||||||||||||
21,400,000 | 0.410 | 09/24/21 | 21,400,000 | |||||||||||
Federal Home Loan Mortgage Corp. (SOFR + 0.31%) | ||||||||||||||
2,000,000 | 0.420 | 01/03/22 | 2,000,000 | |||||||||||
Federal Home Loan Mortgage Corp. (SOFR + 0.32%) | ||||||||||||||
5,000,000 | 0.430 | 09/27/21 | 5,000,000 | |||||||||||
3,500,000 | 0.430 | 09/30/21 | 3,500,000 | |||||||||||
|
|
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)
June 30, 2020 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Amortized Cost | |||||||||||
Variable Rate Obligations(b) – (continued) | ||||||||||||||
Federal National Mortgage Association (SOFR + 0.10%) | ||||||||||||||
$ | 700,000 | 0.210 | % | 12/03/21 | $ | 697,481 | ||||||||
Federal National Mortgage Association (SOFR + 0.29%) | ||||||||||||||
3,300,000 | 0.400 | 10/04/21 | 3,300,000 | |||||||||||
Federal National Mortgage Association (SOFR + 0.30%) | ||||||||||||||
6,500,000 | 0.410 | 09/24/21 | 6,500,000 | |||||||||||
Federal National Mortgage Association (SOFR + 0.34%) | ||||||||||||||
10,500,000 | 0.450 | 10/20/21 | 10,500,000 | |||||||||||
9,275,000 | 0.450 | 12/30/21 | 9,275,000 | |||||||||||
7,000,000 | 0.450 | 01/21/22 | 7,000,000 | |||||||||||
Federal National Mortgage Association (SOFR + 0.35%) | ||||||||||||||
2,000,000 | 0.460 | 10/15/21 | 2,000,000 | |||||||||||
Federal National Mortgage Association (SOFR + 0.36%) | ||||||||||||||
1,000,000 | 0.470 | 01/20/22 | 1,000,000 | |||||||||||
Overseas Private Investment Corp. (3 Mo. U.S. T-Bill + 0.00%) | ||||||||||||||
1,000,000 | 0.380 | 07/07/20 | 1,000,000 | |||||||||||
1,640,313 | 0.380 | 07/07/20 | 1,640,313 | |||||||||||
2,339,906 | 0.380 | 07/07/20 | 2,339,906 | |||||||||||
|
| |||||||||||||
| TOTAL VARIABLE RATE OBLIGATIONS | | $ | 185,688,464 | ||||||||||
|
| |||||||||||||
| TOTAL INVESTMENTS BEFORE REPURCHASE AGREEMENTS | | $ | 825,236,115 | ||||||||||
|
| |||||||||||||
Repurchase Agreements(c) – 26.6% | ||||||||||||||
BNP Paribas | ||||||||||||||
$ | 6,500,000 | 0.630 | % (d) | 07/07/20 | $ | 6,500,000 | ||||||||
Maturity Value: $6,520,361 | ||||||||||||||
Settlement Date: 03/06/20 | ||||||||||||||
| Collateralized by a U.S. Treasury Floating Rate Note, 0.450%, due | | ||||||||||||
6,500,000 | 0.630 | (d) | 07/07/20 | 6,500,000 | ||||||||||
Maturity Value: $6,520,020 | ||||||||||||||
Settlement Date: 03/09/20 | ||||||||||||||
| Collateralized by a U.S. Treasury Bond, 8.750%, due 08/15/20, a | | ||||||||||||
|
| |||||||||||||
Repurchase Agreements(c) – (continued) | ||||||||||||||
BNP Paribas – (continued) | ||||||||||||||
20,000,000 | 0.920 | (d) | 07/07/20 | 20,000,000 | ||||||||||
Maturity Value: $20,093,533 | ||||||||||||||
Settlement Date: 03/03/20 | ||||||||||||||
| Collateralized by Federal Farm Credit Bank, 3.980%, due | | ||||||||||||
10,000,000 | 1.580 | % (d) | 07/07/20 | 10,000,000 | ||||||||||
Maturity Value: $10,079,878 | ||||||||||||||
Settlement Date: 02/18/20 | ||||||||||||||
| Collateralized by Federal Home Loan Mortgage Corp., 3.000% to | | ||||||||||||
|
| |||||||||||||
Joint Repurchase Agreement Account III | ||||||||||||||
209,900,000 | 0.090 | 07/01/20 | 209,900,000 | |||||||||||
Maturity Value: $209,900,525 | ||||||||||||||
|
| |||||||||||||
Royal Bank of Canada | ||||||||||||||
35,000,000 | 0.100 | (d) | 07/01/20 | 35,000,000 | ||||||||||
Maturity Value: $35,005,931 | ||||||||||||||
Settlement Date: 05/01/20 | ||||||||||||||
| Collateralized by Federal Home Loan Mortgage Corp., 4.000% to | | ||||||||||||
|
| |||||||||||||
TOTAL REPURCHASE AGREEMENTS | $ | 287,900,000 | ||||||||||||
|
| |||||||||||||
TOTAL INVESTMENTS – 102.7% | $ | 1,113,136,115 | ||||||||||||
|
| |||||||||||||
| LIABILITIES IN EXCESS OF | | (29,779,772 | ) | ||||||||||
|
| |||||||||||||
NET ASSETS – 100.0% | $ | 1,083,356,343 | ||||||||||||
|
|
6 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
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 June 30, 2020. | |
(c) | Unless noted, all repurchase agreements were entered into on June 30, 2020. 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. |
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 June 30, 2020, the Fund had undivided interests in the Joint Repurchase Agreement Account III, with a maturity date of July 1, 2020, as follows:
Principal Amount | Maturity Value | Collateral Value | |||||||||||
$209,900,000 | $ | 209,900,525 | $ | 216,178,728 |
REPURCHASE AGREEMENTS — At June 30, 2020, 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. | 0.900 | % | $ | 30,785,870 | ||||
Bank of America, N.A. | 0.900 | 22,815,217 | ||||||
Bank of Nova Scotia (The) | 0.900 | 68,445,652 | ||||||
BofA Securities, Inc. | 0.900 | 79,853,261 | ||||||
TOTAL | $ | 209,900,000 |
At June 30, 2020, the Joint Repurchase Agreement Account III was fully collateralized by:
Issuer | Interest Rates | Maturity Dates | ||||||
Federal Home Loan Mortgage Corp. | 2.000 to 5.000 | % | 10/01/26 to 07/01/50 | |||||
Federal National Mortgage Association | 2.000 to 5.500 | 09/01/24 to 05/01/58 | ||||||
Government National Mortgage Association | 3.000 to 3.500 | 09/20/45 to 03/20/47 | ||||||
U.S. Treasury Note | 0.500 | 06/30/27 |
The accompanying notes are an integral part of these financial statements. | 7 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Statement of Assets and Liabilities
June 30, 2020 (Unaudited)
Assets: | ||||
Investments based on amortized cost | $ | 825,236,115 | ||
Repurchase agreements based on amortized cost | 287,900,000 | |||
Cash | 11,844 | |||
Receivables: | ||||
Fund shares sold | 7,937,259 | |||
Investments sold | 599,934 | |||
Interest | 409,928 | |||
Reimbursement from investment advisor | 14,549 | |||
Total assets | 1,122,109,629 | |||
Liabilities: | ||||
Payables: | ||||
Investments purchased | 38,080,474 | |||
Fund shares redeemed | 352,745 | |||
Management fees | 151,276 | |||
Distribution and Service fees and Transfer Agency fees | 121,827 | |||
Dividend distribution | 1,496 | |||
Accrued expenses | 45,468 | |||
Total liabilities | 38,753,286 | |||
Net Assets: | ||||
Paid-in capital | 1,083,288,735 | |||
Total distributable earnings (loss) | 67,608 | |||
NET ASSETS | $ | 1,083,356,343 | ||
Net asset value, offering and redemption price per share | $ | 1.00 | ||
Net Assets: | ||||
Institutional Shares | $ | 552,347,980 | ||
Service Shares | 531,008,363 | |||
Total Net Assets | $ | 1,083,356,343 | ||
Shares outstanding $0.001 par value (unlimited number of shares authorized): | ||||
Institutional Shares | 552,313,360 | |||
Service Shares | 530,975,356 |
8 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Statement of Operations
For the Six Months Ended June 30, 2020 (Unaudited)
Investment Income: | ||||
Interest income | $ | 4,163,072 | ||
Expenses: | ||||
Management fees | 778,848 | |||
Distribution and Service fees — Service Shares | 609,817 | |||
Transfer Agency fees(a) | 97,356 | |||
Professional fees | 47,782 | |||
Custody, accounting and administrative services | 30,256 | |||
Printing and mailing fees | 20,222 | |||
Trustee fees | 8,168 | |||
Other | 11,662 | |||
Total expenses | 1,604,111 | |||
Less — expense reductions | (95,117 | ) | ||
Net expenses | 1,508,994 | |||
NET INVESTMENT INCOME | $ | 2,654,078 | ||
NET REALIZED GAIN FROM INVESTMENT TRANSACTIONS | 141,702 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 2,795,780 |
(a) Institutional and Service Shares incurred Transfer Agency fees of $48,571 and $48,785, respectively.
The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2020 (Unaudited) | For the Fiscal Year Ended December 31, 2019 | |||||||
From operations: | ||||||||
Net investment income | $ | 2,654,078 | $ | 13,604,822 | ||||
Net realized gain from investment transactions | 141,702 | 327,167 | ||||||
Net increase in net assets resulting from operations | 2,795,780 | 13,931,989 | ||||||
Distributions to shareholders: | ||||||||
From distributable earnings: | ||||||||
Institutional Shares | (1,728,652 | ) | (7,303,914 | ) | ||||
Service Shares | (1,066,403 | ) | (6,545,777 | ) | ||||
Total distributions to shareholders | (2,795,055 | ) | (13,849,691 | ) | ||||
From share transactions (at $1.00 per shared): | ||||||||
Proceeds from sales of shares | 1,087,420,563 | 736,413,904 | ||||||
Reinvestment of distributions | 2,792,081 | 13,849,691 | ||||||
Cost of shares redeemed | (720,751,759 | ) | (816,550,622 | ) | ||||
Net increase (decrease) in net assets resulting from share transactions | 369,460,885 | (66,287,027 | ) | |||||
TOTAL INCREASE (DECREASE) | 369,461,610 | (66,204,729 | ) | |||||
Net assets: | ||||||||
Beginning of period | 713,894,733 | 780,099,462 | ||||||
End of period | $ | 1,083,356,343 | $ | 713,894,733 |
10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Government Money Market Fund | ||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
Net investment income(a) | 0.004 | 0.021 | 0.017 | 0.008 | 0.003 | — | (b) | |||||||||||||||||
Distributions to shareholders from net investment income(c) | (0.004 | ) | (0.021 | ) | (0.017 | ) | (0.008 | ) | (0.003 | ) | — | (b) | ||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
Total return(d) | 0.39 | % | 2.11 | % | 1.74 | % | 0.76 | % | 0.29 | % | 0.02 | % | ||||||||||||
Net assets, end of period (in 000’s) | $ | 552,348 | $ | 363,783 | $ | 411,447 | $ | 302,507 | $ | 206,987 | $ | 1,143 | ||||||||||||
Ratio of net expenses to average net assets | 0.18 | %(e) | 0.19 | % | 0.18 | % | 0.18 | % | 0.19 | % | 0.23 | % | ||||||||||||
Ratio of total expenses to average net assets | 0.20 | %(e) | 0.21 | % | 0.23 | % | 0.27 | % | 0.30 | % | 0.31 | % | ||||||||||||
Ratio of net investment income to average net assets | 0.68 | %(e) | 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. Total returns for periods less than one full year are not annualized. |
(e) | Annualized. |
The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Government Money Market Fund | ||||||||||||||||||||||||
Service Shares | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Data: | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
Net investment income(a) | 0.003 | 0.018 | 0.015 | 0.005 | — | (b) | — | (b) | ||||||||||||||||
Distributions to shareholders from net investment income(c) | (0.003 | ) | (0.018 | ) | (0.015 | ) | (0.005 | ) | — | (b) | — | (b) | ||||||||||||
Net asset value, end of period | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||||
Total return(d) | 0.26 | % | 1.86 | % | 1.48 | % | 0.51 | % | 0.04 | % | 0.01 | % | ||||||||||||
Net assets, end of period (in 000’s) | $ | 531,008 | $ | 350,112 | $ | 368,652 | $ | 354,248 | $ | 375,580 | $ | 328,202 | ||||||||||||
Ratio of net expenses to average net assets | 0.43 | %(e) | 0.44 | % | 0.43 | % | 0.43 | % | 0.44 | % | 0.26 | % | ||||||||||||
Ratio of total expenses to average net assets | 0.45 | %(e) | 0.46 | % | 0.48 | % | 0.52 | % | 0.55 | % | 0.56 | % | ||||||||||||
Ratio of net investment income to average net assets | 0.41 | %(e) | 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. Total returns for periods less than one full year are not annualized. |
(e) | Annualized. |
12 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Notes to Financial Statements
June 30, 2020 (Unaudited)
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 an open-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.
A. Investment Valuation — The investment valuation policy of the Fund is to use the amortized-cost method permitted by Rule 2a-7 under the Act for valuing portfolio securities. The amortized-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, and non-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/or pro-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 and tax-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 distribution 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.
13
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
As of June 30, 2020, the Funds’ aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Fund | Tax Cost | Tax Unrealized Gain/Loss | ||
VIT Government Money Market Fund | 1,113,136,158 | (43) |
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 the 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 designated sub-custodians under tri-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 the 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 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 maintains pro-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
14
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
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 GSAM day-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 June 30, 2020, 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 Rule 12b-1 under the Act. Under the Distribution and Service Plan, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly, for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers, 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 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 29, 2021, and prior to such date GSAM may not terminate the arrangement without the approval of the Trustees. In addition, the Fund has entered into certain offset arrangements with the 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
15
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
above. For the six months ended June 30, 2020, these expense reductions, including any fee waiver and Other Expense reimbursements, were as follows:
Custody Fee Credits | Distribution and Service Fees Waivers | Other Expense Reimbursements | Total Expense Reductions | |||||||||||
$ | 979 | $ | 4,391 | $ | 89,747 | $ | 95,117 |
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 six months ended June 30, 2020 | Contractual rate, if any | Ratio of net expenses to average net assets for the six months ended June 30, 2020 | ||||||||||||
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 is less than 0.005% of average net assets. |
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 six months ended June 30, 2020, the Fund did not have such transactions.
G. Line of Credit Facility — As of June 30, 2020, the Fund participated in a $700,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the six months ended June 30, 2020, the Fund did not have any borrowings under the facility. Prior to April 28, 2020, the facility was $580,000,000.
5. OTHER RISKS
The Fund’s risks include, but are not limited to, the following:
Floating and Variable Rate Obligations Risk — Floating rate and variable rate obligations are debt instruments issued by companies or other entities with interest rates that reset periodically (typically, daily. monthly, quarterly, or semiannually) in response to changes in the market rate of interest on which the interest rate is based. 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 the Fund, depending on the interest rate environment or other circumstances. In a rising interest rate environment, for example, a floating or variable rate obligation that does not reset immediately would prevent the Fund
16
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
5. OTHER RISKS (continued)
from taking full advantage of rising interest rates in a timely manner. However, in a declining interest rate environment, the Fund may benefit from a lag due to an obligation’s interest rate payment not being immediately impacted by a decline in interest rates.
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 the Fund’s investment resulting from a substitute reference rate may also adversely affect the 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. 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.
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 enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). The value of the securities in which the Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, acts of terrorism, social unrest, natural disasters, the spread of infectious illness or other public health threats could also significantly impact the Fund and its investments.
Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
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.
7. 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.
17
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
8. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
For the Six Months Ended June 30, 2020 (Unaudited) | For the Fiscal Year Ended December 31, 2019 | |||||||
Institutional Shares* | ||||||||
Shares sold | 736,708,196 | 559,032,693 | ||||||
Reinvestment of distributions | 1,727,327 | 7,303,819 | ||||||
Shares redeemed | (549,870,876 | ) | (614,043,249 | ) | ||||
188,564,647 | (47,706,737 | ) | ||||||
Service Shares* | ||||||||
Shares sold | 350,712,367 | 177,381,211 | ||||||
Reinvestment of distributions | 1,064,754 | 6,545,872 | ||||||
Shares redeemed | (170,880,883 | ) | (202,507,373 | ) | ||||
|
|
|
| |||||
180,896,238 | (18,580,290 | ) | ||||||
NET INCREASE (DECREASE) IN SHARES | 369,460,885 | (66,287,027 | ) | |||||
|
|
|
|
* | Valued at $1.00 per share. |
18
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Fund Expenses — Six Month Period Ended June 30, 2020 (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 January 1, 2020 through June 30, 2020, which represents a period of 182 days of a 366 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 1/1/20 | Ending Account Value 6/30/20 | Expenses Paid for the 6 Months Ended 6/30/20* | |||||||||
Institutional Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,003.88 | $ | 0.90 | ||||||
Hypothetical 5% return | $ | 1,000.00 | $ | 1,023.97 | + | $ | 0.91 | |||||
Service Shares | ||||||||||||
Actual | $ | 1,000.00 | $ | 1,002.64 | $ | 2.14 | ||||||
Hypothetical 5% return | $ | 1,000.00 | $ | 1,022.73 | + | $ | 2.16 |
* | 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 June 30, 2020. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year (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 0.18% and 0.43% for Institutional Shares and Service Shares, respectively. |
+ | 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. |
19
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
The Goldman Sachs Government Money Market Fund (the “Fund”) is an investment portfolio of Goldman Sachs Variable Insurance Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Fund at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Fund.
The Management Agreement was most recently approved for continuation until June 30, 2021 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 16-17, 2020 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held two meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to the Fund, such matters included:
(a) | the nature and quality of the advisory, administrative, and other services provided to the Fund by the Investment Adviser and its affiliates, including information about: |
(i) | the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams; |
(ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training); |
(iii) | trends in employee headcount; |
(iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
(v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
(b) | information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”); and information on general investment outlooks in the markets in which the Fund invests; |
(c) | the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund; |
(d) | fee and expense information for the Fund, including: |
(i) | the relative management fee and expense levels of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; |
(ii) | the Fund’s expense trends over time; and |
(iii) | to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
(e) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; |
(f) | the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations; |
(g) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund to the Investment Adviser and its affiliates; |
(h) | whether the Fund’s existing management fee schedule adequately addressed any economies of scale; |
(i) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, distribution and other services; |
20
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
(j) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
(k) | information regarding portfolio trading and how the Investment Adviser carries out its duty to seek best execution; |
(l) | the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and |
(m) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports. |
The Trustees also received an overview of the Fund’s distribution arrangements. They received information regarding the Fund’s assets, share purchase and redemption activity, and payment of distribution and service fees. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Fund and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Fund. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Fund by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the market, regulatory and control environment in which the Fund and its service providers operate, including changes associated with the COVID-19 pandemic, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees also considered information regarding the Investment Adviser’s business continuity planning and remote operations in the current environment. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Fund and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Fund and the Investment Adviser and its affiliates.
Investment Performance
The Trustees also considered the investment performance of the Fund. In this regard, they compared the investment performance of the Fund to its peers using rankings compiled by the Outside Data Provider as of December 31, 2019. The information on the Fund’s investment performance was provided for the one-, three-, five-, and ten-year periods ending on the applicable dates.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Fund’s risk profile, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management.
21
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
The Trustees considered the performance of the Fund in light of its investment policies and strategy. They noted that, although the Fund has operated in a generally challenging yield environment since 2009, yields had improved through early 2020 (prior to market disruptions related to the COVID-19 pandemic) partly as a result of actions by the Federal Reserve, including a series of interest rate increases in 2019, which enabled reductions of the amount of fees waived and/or reimbursed by the Investment Adviser in recent periods. They also acknowledged the uncertainty of the future interest rate environment, including the Federal Reserve’s recent indications that, after lowering interest rates twice in March 2020, it will likely not raise interest rates through 2022 in response to the economic impacts of the COVID-19 pandemic. The Trustees considered that, during the relevant period, the Investment Adviser had voluntarily waived fees in order to maintain a competitive yield. They observed that the Investment Adviser had reduced its voluntary management fee waiver throughout 2019 with the rise in interest rates. The Trustees also considered that the Fund had maintained a stable net asset value per share. In light of these considerations, the Trustees believed that the Fund was providing investment performance within a competitive range for investors.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by the Fund thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Fund, which included both advisory and administrative services that were directed to the needs and operations of the Fund as a registered mutual fund.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Fund. The analyses provided a comparison of the Fund’s management fee to those of a relevant peer group and category universe; an expense analysis which compared the Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing the Fund’s net expenses to the peer and category medians. The analyses also compared the Fund’s other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Fund.
In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations. They noted that the Investment Adviser and Goldman Sachs had waived fees and reimbursed expenses for the Fund in order to maintain a competitive yield. They observed that the Investment Adviser had reduced its voluntary management fee waiver for the Fund throughout the year with the rise in interest rates. They also acknowledged the growth of the Fund in recent periods. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Fund, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Fund differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.
In addition, the Trustees noted that shareholders are able to redeem their Fund shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Profitability
The Trustees reviewed the Fund’s contribution to the Investment Adviser’s revenues and pre-tax profit margins. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization periodically audits the expense allocation methodology and that the internal audit group was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology. Profitability data for the Fund was provided for 2019 and 2018, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability.
Economies of Scale
The Trustees considered the information that had been provided regarding whether there have been economies of scale with respect to the management of the Fund.
22
GOLDMAN SACHS VARIABLE INSURANCE TRUST GOVERNMENT MONEY MARKET FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
The Trustees noted that the Fund does not have management fee breakpoints. They considered the asset levels in the Fund; the Fund’s recent purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing the contractual fee rates charged by the Investment Adviser with fee rates charged to other money market funds in the peer group; and the Investment Adviser’s undertaking to limit certain expenses of the Fund that exceed a specified level. They considered a report prepared by the Outside Data Provider, which surveyed money market funds’ management fee arrangements and use of breakpoints. The Trustees also considered the competitive nature of the money market fund business and the competitiveness of the fees charged to the Fund by the Investment Adviser.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund as stated above, including: (a) transfer agency fees received by Goldman Sachs & Co. LLC (“Goldman Sachs”); (b) trading efficiencies resulting from aggregation of orders of the Fund with those for other funds or accounts managed by the Investment Adviser; (c) the Investment Adviser’s ability to leverage the infrastructure designed to service the Fund on behalf of its other clients; (d) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (e) Goldman Sachs’ retention of certain fees as Fund Distributor; (f) Goldman Sachs’ ability to engage in principal transactions with the Fund under exemptive orders from the U.S. Securities and Exchange Commission permitting such trades; (g) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Fund; and (h) the possibility that the working relationship between the Investment Adviser and the Fund’s third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
Other Benefits to the Fund and Its Shareholders
The Trustees also noted that the Fund receives certain other potential benefits as a result of its relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Fund with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors due to the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers due to the volume of business generated by the Investment Adviser and its affiliates; (d) the advantages received from the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (e) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Fund because of the reputation of the Goldman Sachs organization; (f) the Fund’s access, through the Investment Adviser, to certain firm-wide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; and (g) the Fund’s access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Fund’s shareholders invested in the Fund in part because of the Fund’s relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by the Fund were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and the Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit the Fund and its shareholders and that the Management Agreement should be approved and continued with respect to the Fund until June 30, 2021.
23
TRUSTEES Jessica Palmer, Chair Dwight L. Bush Kathryn A. Cassidy Diana M. Daniels Joaquin Delgado James A. McNamara Roy W. Templin Gregory G. Weaver | OFFICERS James A. McNamara, President Joseph F. DiMaria, Principal Financial Officer, Principal Accounting Officer and Treasurer Caroline L. Kraus, Secretary |
GOLDMAN SACHS & CO. LLC
Distributor and Transfer Agent
GOLDMAN SACHS ASSET MANAGEMENT, L.P.
Investment Adviser
200 West Street, New York
New York 10282
Visit our web site at www.GSAMFUNDS.com to obtain the most recent month-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 recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-621-2550; and (ii) on the Securities and Exchange Commission (“SEC”) Web site at http://www.sec.gov.
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 web site links provided are for your convenience only and are not an endorsement or recommendation by GSAM of any of these web sites or the products or services offered. GSAM is not responsible for the accuracy and validity of the content of these web sites.
Fund holdings and allocations shown are as of June 30, 2020 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
The 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 the 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 Government Money Market Fund.
© 2020 Goldman Sachs. All rights reserved.
VITMMSAR-20/211764-OTU-1243144
Goldman
Sachs Variable 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.
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.
Semi-Annual Report
June 30, 2020
Goldman Sachs Variable Insurance Trust Multi-Strategy Alternatives Portfolio
Recent Market Events related to COVID-19
An outbreak of a novel strain of coronavirus (COVID-19) has emerged globally. The outbreak of COVID-19 has prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, curfews and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, and disruption in manufacturing and supply chains. While governments have already taken unprecedented action to limit disruption to the financial system, global financial markets have experienced and may continue to experience significant volatility resulting from the spread of and subsequent intervening measures intended to limit the spread of COVID-19. The Portfolio could be negatively impacted if the value of a portfolio holding were harmed by such political or economic conditions, events, or actions. The full extent of the impact of COVID-19 on the Portfolio’s performance cannot be determined at this time and will depend on future developments, including the duration and the continued spread of the outbreak. Goldman Sachs Asset Management’s long-term commitment to you, our Portfolio shareholders, remains unchanged. We encourage you to maintain perspective and stay current with timely commentary and investment insights by visiting gsam.com.
i
FUND BASICS
Multi-Strategy Alternatives Portfolio
as of June 30, 2020
PERFORMANCE REVIEW
January 1, 2020–June 30, 2020 | Fund Total Return | ICE BofAML U.S. Dollar Three-Month LIBOR | ||||||
Institutional | -1.33 | % | 0.95 | % | ||||
Service | -1.44 | 0.95 | ||||||
Advisor | -1.56 | 0.95 |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | 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. It is not possible to invest directly in an unmanaged index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
2
FUND BASICS
OVERALL UNDERLYING FUND AND ETF WEIGHTINGS3
Percentage of Net Assets
3 | The Portfolio is actively managed and, as such, its composition may differ over time. The percentage shown for each Underlying Fund 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. The graph depicts the Portfolio’s investments but may not represent the Portfolio’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about your Portfolio, please refer to www.GSAMFUNDS.com. There, you can learn more about your Portfolio’s investment strategies, holdings, and performance.
3
GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Schedule of Investments
June 30, 2020 (Unaudited)
Shares | Description | Value | ||||||
Underlying Funds (Class R6 Shares)(a) – 85.3% | ||||||||
Equity – 28.4% | ||||||||
332,664 | Goldman Sachs Tactical Tilt Overlay Fund | $ | 3,310,012 | |||||
190,377 | Goldman Sachs Absolute Return Tracker Fund | 1,743,854 | ||||||
75,379 | Goldman Sachs Emerging Markets Equity Insights Fund | 675,394 | ||||||
44,714 | Goldman Sachs Real Estate Securities Fund | 505,269 | ||||||
|
| |||||||
6,234,529 | ||||||||
|
| |||||||
Fixed Income – 56.9% | ||||||||
281,376 | Goldman Sachs Managed Futures Strategy Fund | 2,740,604 | ||||||
280,959 | Goldman Sachs Long Short Credit Strategies Fund | 2,413,440 | ||||||
219,032 | Goldman Sachs Strategic Income Fund | 2,015,099 | ||||||
167,829 | Goldman Sachs Emerging Markets Debt Fund | 1,975,345 | ||||||
174,828 | Goldman Sachs High Yield Floating Rate Fund | 1,529,746 | ||||||
162,387 | Goldman Sachs High Yield Fund | 969,452 | ||||||
112,720 | Goldman Sachs Alternative Premia Fund | 878,088 | ||||||
|
| |||||||
12,521,774 | ||||||||
|
| |||||||
TOTAL UNDERLYING FUNDS (CLASS R6 SHARES) | ||||||||
(Cost $19,736,842) | $ | 18,756,303 | ||||||
|
| |||||||
Exchange Traded Fund* – 0.7% | ||||||||
5,295 | ProShares Short VIX Short-Term Futures ETF | $ | 166,792 | |||||
(Cost $251,912) | ||||||||
|
| |||||||
Shares | Dividend Rate | Value | ||||||
Investment Company(a) – 12.0% | ||||||||
Goldman Sachs Financial Square Government Fund — Institutional Shares |
| |||||||
2,642,151 | 0.155 | % | $ | 2,642,151 | ||||
(Cost $2,642,151) |
| |||||||
| ||||||||
TOTAL INVESTMENTS – 98.0% |
| |||||||
(Cost $22,630,905) |
| $ | 21,565,246 | |||||
| ||||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 2.0% |
| 430,285 | ||||||
| ||||||||
NET ASSETS – 100.0% |
| $ | 21,995,531 | |||||
|
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. |
Currency Abbreviation: | ||
USD | —United States Dollar |
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS — At June 30, 2020, the Portfolio had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: |
| |||||||||||||||
S&P 500 E-Mini Index | 4 | 09/18/2020 | $ | 618,040 | $ | 18,178 | ||||||||||
U.S. Treasury 10 Year Note | 15 | 09/21/2020 | 2,087,109 | 4,019 | ||||||||||||
Total Futures Contracts | $ | 22,197 |
4 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
ADDITIONAL INVESTMENT INFORMATION (continued)
PURCHASED OPTIONS CONTRACTS — At June 30, 2020, 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 | 98.25 USD | 03/15/2021 | 7 | $ | 1,750,000 | $ | 27,125 | $ | 7,804 | $ | 19,321 | ||||||||||||||||||
98.25 USD | 06/14/2021 | 7 | 1,750,000 | 27,475 | 7,891 | 19,584 | ||||||||||||||||||||||||
98.25 USD | 09/13/2021 | 6 | 1,500,000 | 23,663 | 7,064 | 16,599 | ||||||||||||||||||||||||
Total purchased options contracts |
| 20 | $ | 78,263 | $ | 22,759 | $ | 55,504 |
The accompanying notes are an integral part of these financial statements. | 5 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Statement of Assets and Liabilities
June 30, 2020 (Unaudited)
Assets: | ||||
Investments in affiliated Underlying Funds, at value (cost $22,378,993) | $ | 21,398,454 | ||
Investments in unaffiliated Funds, at value (cost $251,912) | 166,792 | |||
Purchased Options, at value (premiums paid $22,759) | 78,263 | |||
Cash | 325,951 | |||
Receivables: | ||||
Portfolio shares sold | 35,472 | |||
Dividends | 30,756 | |||
Reimbursement from investment adviser | 19,288 | |||
Variation margin on futures | 5,525 | |||
Total assets | 22,060,501 | |||
Liabilities: | ||||
Payables: | ||||
Investments purchased | 21,224 | |||
Distribution and Service fees and Transfer Agency fees | 6,532 | |||
Portfolio shares redeemed | 1,107 | |||
Accrued expenses | 36,107 | |||
Total liabilities | 64,970 | |||
Net Assets: | ||||
Paid-in capital | 23,595,154 | |||
Total distributable earnings (loss) | (1,599,623 | ) | ||
NET ASSETS | $ | 21,995,531 | ||
Net Assets: | ||||
Institutional | $ | 1,306,758 | ||
Service | 3,200,016 | |||
Advisor | 17,488,757 | |||
Total Net Assets | $ | 21,995,531 | ||
Shares outstanding $0.001 par value (unlimited shares authorized): | ||||
Institutional | 146,794 | |||
Service | 360,006 | |||
Advisor | 1,975,013 | |||
Net asset value, offering and redemption price per share: | ||||
Institutional | $8.90 | |||
Service | 8.89 | |||
Advisor | 8.86 |
6 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Statement of Operations
For the Six Months Ended June 30, 2020 (Unaudited)
Investment income: | ||||
Dividends from affiliated Underlying Funds | $ | 184,218 | ||
Securities lending income — unaffiliated issuer | 743 | |||
Interest income | 240 | |||
Total investment income | 185,201 | |||
Expenses: | ||||
Printing and mailing costs | 42,948 | |||
Professional fees | 36,752 | |||
Distribution and Service fees(a) | 35,075 | |||
Custody, accounting and administrative services | 30,676 | |||
Management fees | 14,952 | |||
Trustee fees | 9,405 | |||
Transfer Agency fees(a) | 1,993 | |||
Other | 1,979 | |||
Total expenses | 173,780 | |||
Less — expense reductions | (118,543 | ) | ||
Net expenses | 55,237 | |||
NET INVESTMENT INCOME | 129,964 | |||
Realized and unrealized gain (loss): | ||||
Net realized gain (loss) from: | ||||
Investments in affiliated Underlying Funds | (40,874 | ) | ||
Investments in unaffiliated Funds | 723 | |||
Futures contracts | (86,481 | ) | ||
Purchased options | 391,974 | |||
Net change in unrealized gain (loss) on: | ||||
Investments in affiliated Underlying Funds | (556,149 | ) | ||
Investments in unaffiliated Funds | (179,324 | ) | ||
Futures contracts | (2,336 | ) | ||
Purchased options | 85,876 | |||
Foreign currency translation | 525 | |||
Net realized and unrealized loss | (386,066 | ) | ||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (256,102 | ) |
(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 | ||||||||
$3,700 | $31,375 | $129 | $ | 296 | $ | 1,568 |
The accompanying notes are an integral part of these financial statements. | 7 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2020 (Unaudited) | For the Fiscal Year Ended December 31, 2019 | |||||||
From operations: | ||||||||
Net investment income | $ | 129,964 | $ | 471,222 | ||||
Net realized gain | 265,342 | 161,997 | ||||||
Net change in unrealized gain (loss) | (651,408 | ) | 717,645 | |||||
Net increase (decrease) in net assets resulting from operations | (256,102 | ) | 1,350,864 | |||||
Distributions to shareholders: | ||||||||
From distributable earnings: | ||||||||
Institutional Shares | — | (37,340 | ) | |||||
Service Shares | — | (77,108 | ) | |||||
Advisor Shares | — | (385,701 | ) | |||||
Total distributions to shareholders | — | (500,149 | ) | |||||
From share transactions: | ||||||||
Proceeds from sales of shares | 4,946,241 | 5,866,621 | ||||||
Reinvestment of distributions | — | 500,149 | ||||||
Cost of shares redeemed | (2,270,282 | ) | (2,657,936 | ) | ||||
Net increase in net assets resulting from share transactions | 2,675,959 | 3,708,834 | ||||||
TOTAL INCREASE | 2,419,857 | 4,559,549 | ||||||
Net Assets: | ||||||||
Beginning of period | 19,575,674 | 15,016,125 | ||||||
End of period | $ | 21,995,531 | $ | 19,575,674 |
8 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Multi-Strategy Alternatives Portfolio | ||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.02 | $ | 8.51 | $ | 9.39 | $ | 9.10 | $ | 9.15 | $ | 9.81 | ||||||||||||
Net investment income(a)(b) | 0.07 | 0.30 | 0.24 | 0.21 | 0.11 | 0.20 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.19 | ) | 0.48 | (0.87 | ) | 0.30 | (0.06 | ) | (0.65 | ) | ||||||||||||||
Total from investment operations | (0.12 | ) | 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 period | $ | 8.90 | $ | 9.02 | $ | 8.51 | $ | 9.39 | $ | 9.10 | $ | 9.15 | ||||||||||||
Total return(c) | (1.33 | )% | 9.11 | % | (6.74 | )% | 5.60 | % | 0.52 | % | (4.51 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 1,307 | $ | 1,309 | $ | 745 | $ | 453 | $ | 309 | $ | 958 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.20 | %(e) | 0.25 | % | 0.22 | % | 0.21 | % | 0.24 | % | 0.22 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 1.39 | %(e) | 1.60 | % | 1.57 | % | 1.47 | % | 2.37 | % | 4.40 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.65 | %(e) | 3.30 | % | 2.62 | % | 2.20 | % | 1.17 | % | 2.02 | % | ||||||||||||
Portfolio turnover rate(f) | 3 | % | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | The portfolio 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. | 9 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Multi-Strategy Alternatives Portfolio | ||||||||||||||||||||||||
Service Shares | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.02 | $ | 8.52 | $ | 9.41 | $ | 9.13 | $ | 9.14 | $ | 9.81 | ||||||||||||
Net investment income(a)(b) | 0.06 | 0.32 | 0.28 | 0.27 | 0.08 | 0.24 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.19 | ) | 0.43 | (0.93 | ) | 0.22 | (0.05 | ) | (0.71 | ) | ||||||||||||||
Total from investment operations | (0.13 | ) | 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 period | $ | 8.89 | $ | 9.02 | $ | 8.52 | $ | 9.41 | $ | 9.13 | $ | 9.14 | ||||||||||||
Total return(c) | (1.44 | )% | 8.82 | % | (6.93 | )% | 5.37 | % | 0.28 | % | (4.76 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 3,200 | $ | 2,857 | $ | 811 | $ | 105 | $ | 34 | $ | 22 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.45 | %(e) | 0.51 | % | 0.47 | % | 0.46 | % | 0.46 | % | 0.48 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 1.64 | %(e) | 1.86 | % | 1.95 | % | 1.73 | % | 1.97 | % | 3.33 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.41 | %(e) | 3.54 | % | 3.08 | % | 2.88 | % | 0.92 | % | 2.54 | % | ||||||||||||
Portfolio turnover rate(f) | 3 | % | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | The portfolio 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. |
10 | 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 Period
Goldman Sachs Multi-Strategy Alternatives Portfolio | ||||||||||||||||||||||||
Advisor Shares | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.99 | $ | 8.49 | $ | 9.36 | $ | 9.08 | $ | 9.12 | $ | 9.79 | ||||||||||||
Net investment income(a)(b) | 0.05 | 0.24 | 0.17 | 0.17 | 0.10 | 0.21 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.18 | ) | 0.49 | (0.83 | ) | 0.30 | (0.07 | ) | (0.69 | ) | ||||||||||||||
Total from investment operations | (0.13 | ) | 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 period | $ | 8.86 | $ | 8.99 | $ | 8.49 | $ | 9.36 | $ | 9.08 | $ | 9.12 | ||||||||||||
Total return(c) | (1.56 | )% | 8.60 | % | (7.09 | )% | 5.14 | % | 0.27 | % | (4.89 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 17,489 | $ | 15,410 | $ | 13,460 | $ | 15,512 | $ | 10,778 | $ | 9,666 | ||||||||||||
Ratio of net expenses to average net assets(d) | 0.60 | %(e) | 0.64 | % | 0.62 | % | 0.61 | % | 0.61 | % | 0.62 | % | ||||||||||||
Ratio of total expenses to average net assets(d) | 1.79 | %(e) | 2.01 | % | 1.93 | % | 1.88 | % | 2.58 | % | 3.51 | % | ||||||||||||
Ratio of net investment income to average net assets(b) | 1.26 | %(e) | 2.61 | % | 1.92 | % | 1.78 | % | 1.06 | % | 2.16 | % | ||||||||||||
Portfolio turnover rate(f) | 3 | % | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Portfolio distributions or the redemption of Portfolio shares. Total returns for periods less than one full year are not annualized. |
(d) | Expense ratios exclude the expenses of the Underlying Funds in which the Portfolio invests. |
(e) | Annualized. |
(f) | The portfolio 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. | 11 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Notes to Financial Statements
June 30, 2020 (Unaudited)
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 an open-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 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 on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Income distributions are recognized as capital gains or income in the financial statements in accordance with the character that is distributed. Distributions received from the Portfolio’s investments in the 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 Underlying Fund invested in REITs.
For derivative contracts, realized gains and losses are recorded upon settlement of the contract.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, and non-class specific expenses of the 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/or pro-rata basis depending upon the nature of the expenses. Class-specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service and Transfer Agency fees. 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 required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid at least annually.
12
GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
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 GSAM day-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) — 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 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 the Portfolio 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 Portfolio, if any, is noted in the Schedule of Investments.
13
GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence of two-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security. Upon entering into a futures contract, the 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 subsequently marked-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 subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Portfolio’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining 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.
14
GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
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 June 30, 2020:
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Equity Underlying Funds | $ | 6,234,529 | $ | — | $ | — | ||||||
Fixed Income Underlying Funds | 12,521,774 | — | — | |||||||||
Exchange Traded Fund | 166,792 | — | — | |||||||||
Investment Company | 2,642,151 | — | — | |||||||||
Total | $ | 21,565,246 | $ | — | $ | — | ||||||
Derivative Type | ||||||||||||
Assets | ||||||||||||
Futures Contracts(a) | $ | 22,197 | $ | — | $ | — | ||||||
Purchased Options Contracts | 78,263 | — | — | |||||||||
Total | $ | 100,460 | $ | — | $ | — |
(a) | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Schedule of Investments.
4. INVESTMENTS IN DERIVATIVES
The following table sets forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of June 30, 2020. 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(a) | Statement of Assets and Liabilities | Liabilities | ||||||||||
Equity | Variation margin on futures contracts | $ | 18,178 | — | $ | — | ||||||||
Interest Rate | Purchased options contracts, at value and variation margin on futures contracts | 82,282 | — | — | ||||||||||
Total | $ | 100,460 | $ | — |
(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 June 30, 2020 is reported within the Statement of Assets and Liabilities. |
The following table sets forth, by certain risk types, the Portfolio’s gains (losses) related to these derivatives and their indicative volumes for the six months ended June 30, 2020. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and
15
GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
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 | $ | (101,786 | ) | $ | (6,355 | ) | 9 | ||||||
Interest Rate | Net realized gain (loss) from futures contracts and purchased options/Net change in unrealized gain (loss) on futures contracts and purchased options | 407,279 | 89,895 | 102 | ||||||||||
Total | $ | 305,493 | $ | 83,540 | 111 |
(a) | Average number of contracts is based on the average of month end balances for the six months ended June 30, 2020. |
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 29, 2021, and prior to such date, GSAM may not terminate the arrangement without the approval of the Board of Trustees. For the six months ended June 30, 2020, GSAM waived $14,952 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 six months ended June 30, 2020, GSAM waived $1,519 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 Rule 12b-1 under the Act. Under the Distribution and Service Plan, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly, for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers, 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 Rule 12b-1 under the Act. Under the Distribution Plan, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers, 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 compensation to the service organizations equal to 0.25% of the average daily net assets attributable to Advisor Shares of the Portfolio.
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GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
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 29, 2021, 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 six months ended June 30, 2020, 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 | |||||||||||
$ | 16,471 | $ | 644 | $ | 101,428 | $ | 118,543 |
F. Line of Credit Facility — As of June 30, 2020, the Portfolio participated in a $700,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Portfolio based on the amount of the commitment that has not been utilized. For the six months ended June 30, 2020, the Portfolio did not have any borrowings under the facility. Prior to April 28, 2020, the facility was $580,000,000.
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GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
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 six months ended June 30, 2020:
Underlying Funds | Beginning Value as of December 31, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) from Affiliated Investment Company | Change in Unrealized Appreciation (Depreciation) | Ending Value as of June 30, 2020 | Shares as of June 30, 2020 | Dividend Income from Affiliated Investment Company | ||||||||||||||||||||||||
Goldman Sachs Alternative Premia Fund | $ | 920,921 | $ | — | $ | — | $ | — | $ | (42,833 | ) | $ | 878,088 | 112,720 | $ | — | ||||||||||||||||
Goldman Sachs Absolute Return Tracker Fund | 1,499,908 | 330,000 | — | — | (86,054 | ) | 1,743,854 | 190,377 | — | |||||||||||||||||||||||
Goldman Sachs Emerging Markets Debt Fund | 1,795,804 | 277,591 | — | — | (98,050 | ) | 1,975,345 | 167,829 | 37,628 | |||||||||||||||||||||||
Goldman Sachs Emerging Markets Equity Insights Fund | 724,055 | 220,001 | (180,000 | ) | (40,874 | ) | (47,788 | ) | 675,394 | 75,379 | — | |||||||||||||||||||||
Goldman Sachs Financial Square Government Fund (Institutional Shares) | 1,173,715 | 5,437,331 | (3,968,895 | ) | — | — | 2,642,151 | 2,642,151 | 4,956 | |||||||||||||||||||||||
Goldman Sachs High Yield Floating Rate Fund | 1,362,346 | 271,058 | — | — | (103,658 | ) | 1,529,746 | 174,828 | 31,051 | |||||||||||||||||||||||
Goldman Sachs High Yield Fund | 1,025,629 | 28,817 | — | — | (84,994 | ) | 969,452 | 162,387 | 28,824 | |||||||||||||||||||||||
Goldman Sachs Long Short Credit Strategies Fund | 2,278,946 | 162,324 | — | — | (27,830 | ) | 2,413,440 | 280,959 | 37,379 | |||||||||||||||||||||||
Goldman Sachs Managed Futures Strategy Fund | 2,604,631 | 174,999 | — | — | (39,026 | ) | 2,740,604 | 281,376 | — | |||||||||||||||||||||||
Goldman Sachs Real Estate Securities Fund | 610,642 | 6,060 | — | — | (111,433 | ) | 505,269 | 44,714 | 6,060 | |||||||||||||||||||||||
Goldman Sachs Strategic Income Fund | 1,863,593 | 163,321 | — | — | (11,815 | ) | 2,015,099 | 219,032 | 38,320 | |||||||||||||||||||||||
Goldman Sachs Tactical Tilt Overlay Fund | 2,925,679 | 287,001 | — | — | 97,332 | 3,310,012 | 332,664 | — | ||||||||||||||||||||||||
Total | $ | 18,785,869 | $ | 7,358,503 | $ | (4,148,895 | ) | $ | (40,874 | ) | $ | (556,149 | ) | $ | 21,398,454 | $ | 184,218 |
6. PORTFOLIO SECURITIES TRANSACTIONS
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended June 30, 2020, were $1,921,172 and $518,072, respectively.
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GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
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 Rule 2a-7 under the Act, and is managed by GSAM, for which GSAM may receive a management fee of up to 0.16% on an annualized basis of the average daily net assets of the Government Money Market Fund.
In the event of a default by a borrower with respect to any loan, BNYM may exercise any and all remedies provided under the applicable borrower agreement to make the 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 the non-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. However, in the event of a default by a borrower, a resolution authority could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of set-off that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws. The 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 June 30, 2020, are disclosed as “Payable upon return of securities loaned” on the Statement of Assets and Liabilities, where applicable. The Portfolio did not have securities on loan as of June 30, 2020.
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 six months ended June 30, 2020, 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 six months ended June 30, 2020:
Beginning Value as of December 31, 2019 | Purchases at Cost | Proceeds from Sales | Ending Value as of June 30, 2020 | |||||||||||
$ | 300,150 | $ | 599,344 | $ | (899,494 | ) | $ | — |
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GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
8. TAX INFORMATION
As of the Portfolio’s most recent fiscal year end, December 31, 2019, the Portfolio’s capital loss carryforwards, on a tax-basis were as follows:
Capital loss carryforwards: | ||||
Perpetual Short-term | $ | (520,976 | ) | |
Perpetual Long-term | (428,144 | ) | ||
Total capital loss carryforwards | $ | (949,120 | ) |
As of June 30, 2020, the Portfolio’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Tax cost | $ | 22,756,942 | ||
Gross unrealized gain | 155,016 | |||
Gross unrealized loss | (1,346,712 | ) | ||
Net unrealized loss | $ | (1,191,696 | ) |
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains (losses) on regulated futures and options contracts and differences in the tax treatment of partnership investments.
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 Funds’ risks include, but are not limited to, the following:
Derivatives Risk — The Portfolio’s and Underlying 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 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.
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.
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GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
9. OTHER RISKS (continued)
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 an Underlying Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that 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 an Underlying Fund’s NAV and dilute remaining investors’ interests. Liquidity risk may be the result of, among other things, the reduced number and capacity of traditional market participants to make a market in fixed income securities or the lack of an active market. The potential for liquidity risk may be magnified by a rising interest rate environment or other circumstances where investor redemptions from fixed income mutual funds may be higher than normal, potentially causing increased supply in the market due to selling activity. These risks may be more pronounced in connection with the Portfolio’s or an 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 Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the market (market risk). The value of the securities in which the Portfolio invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, acts of terrorism, social unrest, natural disasters, the spread of infectious illness or other public health threats could also significantly impact the Portfolio and its investments. Additionally, the Portfolio and/or an Underlying Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio and the Underlying Fund have unsettled or open transactions defaults.
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.
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GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
11. SUBSEQUENT EVENTS
Subsequent events after the Statement of Assets and Liabilities date have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
12. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
For the Six Months Ended June 30, 2020 (Unaudited) | For the Fiscal Year Ended December 31, 2019 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 14,488 | $ | 124,914 | 62,887 | $ | 570,355 | ||||||||||
Reinvestment of distributions | — | — | 4,140 | 37,340 | ||||||||||||
Shares redeemed | (12,756 | ) | (111,272 | ) | (9,524 | ) | (86,531 | ) | ||||||||
1,732 | 13,642 | 57,503 | 521,164 | |||||||||||||
Service Shares | ||||||||||||||||
Shares sold | 72,766 | 623,176 | 238,728 | 2,174,547 | ||||||||||||
Reinvestment of distributions | — | — | 8,549 | 77,108 | ||||||||||||
Shares redeemed | (29,452 | ) | (253,856 | ) | (25,812 | ) | (233,897 | ) | ||||||||
43,314 | 369,320 | 221,465 | 2,017,758 | |||||||||||||
Advisor Shares | ||||||||||||||||
Shares sold | 480,062 | 4,198,151 | 347,196 | 3,121,719 | ||||||||||||
Reinvestment of distributions | — | — | 42,903 | 385,701 | ||||||||||||
Shares redeemed | (218,878 | ) | (1,905,154 | ) | (262,490 | ) | (2,337,508 | ) | ||||||||
261,184 | 2,292,997 | 127,609 | 1,169,912 | |||||||||||||
NET INCREASE | 306,230 | $ | 2,675,959 | 406,577 | $ | 3,708,834 |
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GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Liquidity Risk Management Program
The Portfolio has adopted and implemented a liquidity risk management program (the “Program”) in accordance with Rule 22e-4 under the 1940 Act. The Program seeks to assess and manage the Portfolio’s liquidity risk, i.e., the risk that the Portfolio is unable to satisfy redemption requests without significantly diluting remaining investors’ interests in the Portfolio. The Board of Trustees of the Trust has designated GSAM, the Portfolio’s investment adviser, to administer the Program. Certain aspects of the Program rely on third parties to perform certain functions, including the provision of market data and application of models.
The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Portfolio’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of a Portfolio’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under Rule 22e-4); (4) for a Portfolio that does not invest primarily in “highly liquid investments” (as defined under Rule 22e-4), the determination of a minimum percentage of the Portfolio’s assets that will generally be invested in highly liquid investments (a “Highly Liquid Investment Minimum”); and (5) periodic reporting to the Board of Trustees.
At a meeting of the Board of Trustees on February 11-12, 2020, GSAM provided a written report to the Board addressing the operation, and the adequacy and effectiveness of the implementation, of the Program, including, as applicable, the operation of any Highly Liquid Investment Minimum and any material changes to the Program, for the initial period from December 1, 2018 through December 31, 2019 (the “Reporting Period”). Among other things, the annual report discussed: (1) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions; and (2) an assessment of the methodologies used to classify investments into one of four liquidity categories. The report concluded that the Program was reasonably designed to assess and manage liquidity risk and was adequately and effectively implemented during the Reporting Period.
There can be no assurance that the Program will achieve its objectives under all circumstances in the future. Please refer to your Portfolio’s prospectus for more information regarding the Portfolio’s exposure to liquidity risk and other risks to which it may be subject.
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GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Portfolio Expenses — Six Month Period Ended June 30, 2020 (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 January 1, 2020 through June 30, 2020, which represents a period of 182 days of a 366 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the 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 01/01/20 | Ending Account Value 06/30/20 | Expenses Paid for the 6 Months Ended 06/30/20* | |||||||||
Institutional | ||||||||||||
Actual | $ | 1,000 | $ | 986.70 | $ | 0.99 | ||||||
Hypothetical 5% return | 1,000 | 1,023.87 | + | 1.01 | ||||||||
Service | ||||||||||||
Actual | 1,000 | 985.60 | 2.22 | |||||||||
Hypothetical 5% return | 1,000 | 1,022.63 | + | 2.26 | ||||||||
Advisor | ||||||||||||
Actual | 1,000 | 984.40 | 2.96 | |||||||||
Hypothetical 5% return | 1,000 | 1,021.88 | + | 3.02 |
+ | 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 June 30, 2020. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 0.20%, 0.45% and 0.60% for Institutional, Service and Advisor Shares, respectively. |
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GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
The Goldman Sachs Multi-Strategy Alternatives Portfolio (the “Portfolio”) is an investment portfolio of Goldman Sachs Variable Insurance Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Portfolio at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Portfolio.
The Management Agreement was most recently approved for continuation until June 30, 2021 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 16-17, 2020 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held two meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to the Portfolio, such matters included:
(a) | the nature and quality of the advisory, administrative, and other services provided to the Portfolio and the underlying funds in which it invests (the “Underlying Funds”) by the Investment Adviser and its affiliates, including information about: |
(i) | the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams; |
(ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training); |
(iii) | trends in employee headcount; |
(iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
(v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
(b) | information on the investment performance of the Portfolio and Underlying Funds, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), and a benchmark performance index; and information on general investment outlooks in the markets in which the Underlying Funds invest; |
(c) | information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Portfolio’s peer group and/or benchmark index had high, medium, or low relevance given the Portfolio’s particular investment strategy; |
(d) | the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Portfolio; |
(e) | fee and expense information for the Portfolio, including: |
(i) | the relative management fee and expense levels of the Portfolio as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; |
(ii) | the Portfolio’s expense trends over time; and |
(iii) | to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Portfolio, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
(f) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Portfolio; |
(g) | the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations with respect to the Portfolio and the Underlying Funds; |
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GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
(h) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Portfolio to the Investment Adviser and its affiliates; |
(i) | whether the Portfolio’s existing management fee schedule, together with the management fee schedules of the Underlying Funds, adequately addressed any economies of scale; |
(j) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Portfolio and/or the Underlying Funds, including the fees received by the Investment Adviser’s affiliates from the Portfolio and/or the Underlying Funds for transfer agency, securities lending, portfolio trading, distribution and other services; |
(k) | a summary of potential benefits derived by the Portfolio and/or the Underlying Funds as a result of their relationship with the Investment Adviser; |
(l) | with respect to the applicable Underlying Funds, information regarding commissions paid by the Underlying Equity Funds and broker oversight, an update on the Investment Adviser’s soft dollars practices, other information regarding portfolio trading, and how the Investment Adviser carries out its duty to seek best execution; |
(m) | the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers; |
(n) | the nature and quality of the services provided to the Portfolio and the Underlying Funds by their unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and |
(o) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Portfolio’s compliance program; and periodic compliance reports. |
The Trustees also received an overview of the Portfolio’s distribution arrangements. They received information regarding the Portfolio’s assets, share purchase and redemption activity, and payment of distribution and service fees. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Portfolio shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Portfolio investors, including the availability of comparable funds managed by other advisers.
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Portfolio and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Portfolio. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Portfolio and the Underlying Funds by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the market, regulatory and control environment in which the Portfolio and the Underlying Funds and their service providers operate, including changes associated with the COVID-19 pandemic, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees also considered information regarding the Investment Adviser’s business continuity planning and remote operations in the current environment. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Portfolio and expressed confidence
26
GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Portfolio, the Underlying Funds, and the Investment Adviser and its affiliates.
Investment Performance
The Trustees also considered the investment performance of the Portfolio and the Underlying Funds. In this regard, they compared the investment performance of the Portfolio to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2019, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2020. The information on the Portfolio’s investment performance was provided for the one-, three-, and five-year periods ending on the applicable dates. The Trustees also reviewed the Portfolio’s investment performance relative to its performance benchmark. As part of this review, they considered the investment performance trends of the Portfolio over time, and reviewed the investment performance of the Portfolio in light of its investment objective and policies and market conditions.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Portfolio performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Underlying Funds’ risk profiles, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management.
The Trustees noted that the Portfolio’s Institutional Shares had placed in the top half of the Portfolio’s peer group for the one-year period and in the third quartile for the three- and five-year periods; had underperformed the Portfolio’s LIBOR-based benchmark index by 5.99%, 3.05%, and 2.40%, respectively, for the one-, three-, and five-year periods; and had underperformed the average performance of a group of competitor funds, as determined by the Investment Adviser, for the one-, three-, and five-year periods ending March 31, 2020.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by the Portfolio thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Portfolio, which included both advisory and administrative services that were directed to the needs and operations of the Portfolio as a registered mutual fund.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Portfolio. The analyses provided a comparison of the Portfolio’s management fee to those of a relevant peer group and category universe; an expense analysis which compared the Portfolio’s overall net and gross expenses to a peer group and a category universe; and data comparing the Portfolio’s net expenses to the peer and category medians. The analyses also compared the Portfolio’s other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Portfolio.
In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations with respect to the Portfolio and the Underlying Funds. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Portfolio, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Portfolio differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.
In addition, the Trustees noted that shareholders are able to redeem their Portfolio shares at any time if shareholders believe that the Portfolio fees and expenses are too high or if they are dissatisfied with the performance of the Portfolio.
Profitability
The Trustees reviewed the Portfolio’s contribution to the Investment Adviser’s revenues and pre-tax profit margins. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Portfolio and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization periodically audits the
27
GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
expense allocation methodology and that the internal audit group was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology. Profitability data for the Portfolio was provided for 2019 and 2018, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability.
Economies of Scale
The Trustees considered the information that had been provided regarding whether there have been economies of scale with respect to the management of the Portfolio. The Trustees noted that, although the Portfolio itself does not have breakpoints in its management fee schedule, any benefits of the breakpoints in the management fee schedules of certain Underlying Funds, when reached, would pass through to the shareholders in the Portfolio at the specified asset levels. The Trustees considered the amounts of assets in the Portfolio; the Portfolio’s recent purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and the profits realized by them; information comparing the fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer groups; and the Investment Adviser’s undertaking to limit certain expenses of the Portfolio and Underlying Funds that exceed specified levels. They also considered the services provided to the Portfolio under the Management Agreement and the fees and expenses borne by the Underlying Funds, and determined that the management fees payable by the Portfolio were not duplicative of the management fees paid at the Underlying Fund level.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Portfolio and/or the Underlying Funds as stated above, including: (a) transfer agency fees received by Goldman Sachs & Co. LLC (“Goldman Sachs”); (b) brokerage and futures commissions earned by Goldman Sachs for executing securities and futures transactions on behalf of certain Underlying Funds; (c) research received by the Investment Adviser from broker-dealers in exchange for executing certain transactions on behalf of certain Underlying Funds (d) trading efficiencies resulting from aggregation of orders of the Underlying Funds with those for other funds or accounts managed by the Investment Adviser; (e) fees earned by Goldman Sachs Agency Lending (“GSAL”), an affiliate of the Investment Adviser, as securities lending agent for certain Underlying Funds (and fees earned by the Investment Adviser for managing the fund in which the Portfolio’s and those Underlying Funds’ securities lending cash collateral is invested); (f) the Investment Adviser’s ability to leverage the infrastructure designed to service the Portfolio on behalf of its other clients; (g) the Investment Adviser’s ability to cross-market other products and services to Portfolio shareholders; (h) Goldman Sachs’ retention of certain fees as Portfolio Distributor; (i) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Portfolio and Underlying Funds; (j) the investment of cash and cash collateral in money market funds managed by the Investment Adviser that will result in increased assets under management for those money market funds; and (k) the possibility that the working relationship between the Investment Adviser and the Portfolio’s and Underlying Funds’ third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
Other Benefits to the Portfolio and Its Shareholders
The Trustees also noted that the Portfolio and/or the Underlying Funds receive certain other potential benefits as a result of their relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Underlying Funds with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors due to the volume of business generated by the Investment Adviser and its affiliates; (c) with respect to the Underlying Funds, enhanced servicing from broker-dealers due to the volume of business generated by the Investment Adviser and its affiliates; (d) with respect to certain Underlying Funds, the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties as a result of the size and reputation of the Goldman Sachs organization; (e) the advantages received from the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Portfolio and the Underlying Funds because of the reputation of the Goldman Sachs organization; (g) the Portfolio’s and Underlying Funds’ access, through the Investment Adviser, to certain firm-wide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; (h) with respect to certain Underlying Funds, the ability to participate in the securities lending program administered by GSAL, as measured by the revenue received by the Underlying Funds in connection with the program; and (i) the Portfolio’s access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that
28
GOLDMAN SACHS VARIABLE INSURANCE TRUST MULTI-STRATEGY ALTERNATIVES PORTFOLIO
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
many of the Portfolio’s shareholders invested in the Portfolio in part because of the Portfolio’s relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by the Portfolio were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and the Portfolio’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit the Portfolio and its shareholders and that the Management Agreement should be approved and continued with respect to the Portfolio until June 30, 2021.
29
TRUSTEES | OFFICERS | |
Jessica Palmer, Chair Dwight L. Bush | James A. McNamara, President Joseph F. DiMaria, | |
Kathryn A. Cassidy | Principal Financial Officer, | |
Diana M. Daniels | Principal Accounting Officer and Treasurer | |
Joaquin Delgado | Caroline L. Kraus, Secretary | |
James A. McNamara | ||
Roy W. Templin | ||
Gregory G. Weaver |
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 recent month-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 the 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-621-2550; and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://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 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.
Portfolio holdings and allocations shown are as of June 30, 2020 and may not be representative of future investments. Portfolio holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
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 the Portfolio’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 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 Multi-Strategy Alternatives Portfolio.
© 2020 Goldman Sachs. All rights reserved.
VITMSASAR-20/211775-OTU-1242629
Goldman
Sachs Variable 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.
Semi-Annual Report
June 30, 2020
Goldman Sachs Variable Insurance Trust Funds
Recent Market Events related to COVID-19
An outbreak of a novel strain of coronavirus (COVID-19) has emerged globally. The outbreak of COVID-19 has prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, curfews and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, and disruption in manufacturing and supply chains. While governments have already taken unprecedented action to limit disruption to the financial system, global financial markets have experienced and may continue to experience significant volatility resulting from the spread of and subsequent intervening measures intended to limit the spread of COVID-19. A Fund could be negatively impacted if the value of a portfolio holding were harmed by such political or economic conditions, events, or actions. The full extent of the impact of COVID-19 on a Fund’s performance cannot be determined at this time and will depend on future developments, including the duration and the continued spread of the outbreak. Goldman Sachs Asset Management’s long-term commitment to you, our Fund shareholders, remains unchanged. We encourage you to maintain perspective and stay current with timely commentary and investment insights by visiting gsam.com.
1
FUND BASICS
Core Fixed Income Fund
as of June 30, 2020
PERFORMANCE REVIEW
January 1, 2020-June 30, 2020 | Fund Total Return (based on NAV)1 | Bloomberg Barclays U.S. Aggregate Bond Index2 | ||||||
Institutional | 7.11 | % | 6.14 | % | ||||
Service | 6.98 | 6.14 |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | 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. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
2
FUND BASICS
FUND COMPOSITION3
3 | The 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. |
4 | “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. |
5 | “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 your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
3
FUND BASICS
Equity Index Fund
as of June 30, 2020
PERFORMANCE REVIEW
January 1, 2020-June 30, 2020 | Fund Total Return (based on NAV)1 | S&P 500 Index2 | ||||||
Service | (3.31 | )% | (3.08 | )% |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | 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. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
TOP TEN HOLDINGS AS OF 6/30/203
Holding | % of Net Assets | Line of Business | ||||
Microsoft Corp. | 6.0% | Software & Services | ||||
Apple, Inc. | 5.7 | Technology Hardware & Equipment | ||||
Amazon.com, Inc. | 4.5 | Retailing | ||||
Facebook, Inc. Class A | 2.1 | Media & Entertainment | ||||
Alphabet, Inc. Class A | 1.6 | Media & Entertainment | ||||
Alphabet, Inc. Class C | 1.6 | Media & Entertainment | ||||
Johnson & Johnson | 1.4 | Pharmaceuticals, Biotechnology & Life Sciences | ||||
Berkshire Hathaway, Inc. Class B | 1.3 | Diversified Financials | ||||
Visa, Inc. Class A | 1.3 | Software & Services | ||||
Procter & Gamble Co. (The) | 1.1 | Household & Personal Products |
3 | The top 10 holdings may not be representative of the Fund’s future investments. |
4
FUND BASICS
FUND VS. BENCHMARK SECTOR ALLOCATIONS4
As of June 30, 2020
4 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). Investments in the securities lending reinvestment vehicle represented 0.1% of the Fund’s net assets at June 30, 2020. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
5
FUND BASICS
Growth Opportunities Fund
as of June 30, 2020
PERFORMANCE REVIEW
January 1, 2020-June 30, 2020 | Fund Total Return (based on NAV)1 | Russell Midcap Growth Index2 | ||||||
Institutional | 9.65 | % | 4.16 | % | ||||
Service | 9.55 | 4.16 |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | Russell Midcap® Growth Index is an unmanaged index that measures the performance of those companies in the Russell Midcap® Index with higher price-to-book ratios and higher forecasted growth values. It is not possible to invest directly in an unmanaged index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
TOP TEN HOLDINGS AS OF 6/30/203,4
Holding | % of Net Assets | Line of Business | ||||
Lululemon Athletica, Inc. | 2.7% | Consumer Durables & Apparel | ||||
Verisk Analytics, Inc. | 2.3 | Commercial & Professional Services | ||||
O’Reilly Automotive, Inc. | 2.3 | Retailing | ||||
DocuSign, Inc. | 2.2 | Software & Services | ||||
Splunk, Inc. | 2.1 | Software & Services | ||||
Veeva Systems, Inc. Class A | 2.1 | Health Care Equipment & Services | ||||
Cadence Design Systems, Inc. | 2.0 | Software & Services | ||||
Rockwell Automation, Inc. | 2.0 | Capital Goods | ||||
Palo Alto Networks, Inc. | 1.8 | Software & Services | ||||
Ball Corp. | 1.8 | Materials |
3 | The top 10 holdings may not be representative of the Fund’s future investments. |
4 | 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 3.6% of the Fund’s net assets as of June 30, 2020. |
6
FUND BASICS
FUND VS. BENCHMARK SECTOR ALLOCATIONS5
As of June 30, 2020
5 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (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. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about
your Fund’s investment strategies, holdings, and performance.
7
FUND BASICS
High Quality Floating Rate Fund
as of June 30, 2020
PERFORMANCE REVIEW
January 1, 2020-June 30, 2020 | Fund Total Return (based on NAV)1 | ICE BofAML 3 Mo. T-Bill Index2 | ||||||
Institutional | (0.01 | )% | 0.60 | % | ||||
Service | (0.13 | ) | 0.60 | |||||
Advisor | (0.20 | ) | 0.60 |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | 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 about 90-day maturity, as reported by Bank of America Merrill Lynch. It is not possible to invest directly in an unmanaged index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
8
FUND BASICS
FUND COMPOSITION3
3 | The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. Figures in the 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. |
4 | 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. |
5 | “U.S. Government Agency Security” include agency securities offered by companies such as Federal Farm Credit Bank (‘FFCB”) 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 your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about
your Fund’s investment strategies, holdings, and performance.
9
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Schedule of Investments
June 30, 2020 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Corporate Bonds – 46.5% | ||||||||||||||
Automobiles & Components – 0.1% | ||||||||||||||
General Motors Co. | ||||||||||||||
$ | 50,000 | 5.400% | 10/02/2023 | $ | 54,087 | |||||||||
25,000 | 4.000 | 04/01/2025 | 25,979 | |||||||||||
|
| |||||||||||||
80,066 | ||||||||||||||
|
| |||||||||||||
Banks – 12.1% | ||||||||||||||
AerCap Ireland Capital DAC(a) | ||||||||||||||
275,000 | 3.950 | 02/01/2022 | 274,590 | |||||||||||
American Express Co.(a) | ||||||||||||||
25,000 | 3.700 | 11/05/2021 | 25,993 | |||||||||||
20,000 | 2.500 | 07/30/2024 | 21,196 | |||||||||||
25,000 | 3.625 | 12/05/2024 | 27,647 | |||||||||||
American Express Co. Series C(a)(b) | ||||||||||||||
40,000 | | (3 Mo. LIBOR + 3.29%), 3.598 | | 09/15/2020 | 34,150 | |||||||||
Avolon Holdings Funding Ltd. (a)(c) | ||||||||||||||
100,000 | 2.875 | 02/15/2025 | 84,223 | |||||||||||
Banco Santander SA | ||||||||||||||
200,000 | 2.746 | 05/28/2025 | 206,819 | |||||||||||
Bank of America Corp. | ||||||||||||||
100,000 | | (3 Mo. LIBOR + 0.66%), 2.369(a)(b) |
| 07/21/2021 | 100,092 | |||||||||
75,000 | 4.125 | 01/22/2024 | 83,052 | |||||||||||
50,000 | | (3 Mo. LIBOR + 0.94%), 3.864(a)(b) |
| 07/23/2024 | 54,251 | |||||||||
65,000 | 4.200 | 08/26/2024 | 72,116 | |||||||||||
45,000 | 3.248(a) | 10/21/2027 | 49,728 | |||||||||||
75,000 | | (3 Mo. LIBOR + 1.58%), 3.824(a)(b) |
| 01/20/2028 | 84,724 | |||||||||
25,000 | | (3 Mo. LIBOR + 1.37%), 3.593(a)(b) |
| 07/21/2028 | 28,079 | |||||||||
85,000 | | (3 Mo. LIBOR + 1.04%), 3.419(a)(b) |
| 12/20/2028 | 94,629 | |||||||||
50,000 | | (3 Mo. LIBOR + 1.31%), 4.271(a)(b) |
| 07/23/2029 | 58,833 | |||||||||
50,000 | | (3 Mo. LIBOR + 1.19%), 2.884(a)(b) |
| 10/22/2030 | 54,032 | |||||||||
125,000 | | (3 Mo. LIBOR + 3.15%), 4.083(a)(b) |
| 03/20/2051 | 155,093 | |||||||||
Bank of America Corp. Series L(a) | ||||||||||||||
25,000 | 4.183 | 11/25/2027 | 28,485 | |||||||||||
Barclays plc(a)(b) | ||||||||||||||
200,000 | | (3 Mo. LIBOR + 2.45%), 2.852 | | 05/07/2026 | 208,421 | |||||||||
BNP Paribas SA(c) | ||||||||||||||
200,000 | 3.375 | 01/09/2025 | 216,256 | |||||||||||
BPCE SA | ||||||||||||||
300,000 | 2.650 | 02/03/2021 | 303,524 | |||||||||||
Capital One Financial Corp. | ||||||||||||||
25,000 | 3.500 | 06/15/2023 | 26,795 | |||||||||||
45,000 | 3.300(a) | 10/30/2024 | 48,323 | |||||||||||
Citigroup, Inc. | ||||||||||||||
100,000 | 3.500 | 05/15/2023 | 106,614 | |||||||||||
55,000 | | (3 Mo. LIBOR + 1.02%), 4.044(a)(b) |
| 06/01/2024 | 59,742 | |||||||||
|
| |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||
Banks – (continued) | ||||||||||||||
Citigroup, Inc. – (continued) | ||||||||||||||
220,000 | 3.400 | 05/01/2026 | 244,026 | |||||||||||
25,000 | 4.125 | 07/25/2028 | 28,241 | |||||||||||
75,000 | (SOFR + 1.42%), 2.976(a)(b) | 11/05/2030 | 79,660 | |||||||||||
50,000 | (SOFR + 3.91%), 4.412(a)(b) | 03/31/2031 | 59,059 | |||||||||||
Credit Suisse AG | ||||||||||||||
250,000 | 2.800 | 04/08/2022 | 259,368 | |||||||||||
Credit Suisse Group Funding Guernsey Ltd. | ||||||||||||||
250,000 | 4.550 | 04/17/2026 | 287,549 | |||||||||||
Deutsche Bank AG | ||||||||||||||
115,000 | 2.700 | 07/13/2020 | 115,033 | |||||||||||
Discover Financial Services(a) | ||||||||||||||
75,000 | 3.750 | 03/04/2025 | 80,820 | |||||||||||
Fifth Third Bancorp(a) | ||||||||||||||
30,000 | 2.375 | 01/28/2025 | 31,625 | |||||||||||
Gazprom PJSC | ||||||||||||||
240,000 | 4.950 | 03/23/2027 | 266,514 | |||||||||||
GE Capital International Funding Co. Unlimited Co. | ||||||||||||||
200,000 | 3.373 | 11/15/2025 | 209,402 | |||||||||||
General Motors Financial Co., Inc.(a) | ||||||||||||||
25,000 | 4.300 | 07/13/2025 | 26,212 | |||||||||||
Huntington Bancshares, Inc.(a) | ||||||||||||||
50,000 | 4.000 | 05/15/2025 | 56,614 | |||||||||||
ING Groep NV(a)(b)(c) | ||||||||||||||
200,000 | (US Treasury Yield Curve Rate T-Note Constant Maturity 1 Yr. + 1.10%), 1.000 | 07/01/2026 | 200,557 | |||||||||||
Intercontinental Exchange, Inc.(a) | ||||||||||||||
50,000 | 3.000 | 06/15/2050 | 51,815 | |||||||||||
JPMorgan Chase & Co.(a) | ||||||||||||||
25,000 | (3 Mo. LIBOR + 0.61%), 3.514(b) | 06/18/2022 | 25,673 | |||||||||||
25,000 | (3 Mo. LIBOR + 0.73%), 3.559(b) | 04/23/2024 | 26,767 | |||||||||||
25,000 | (3 Mo. LIBOR + 0.89%), 3.797(b) | 07/23/2024 | 27,108 | |||||||||||
150,000 | (3 Mo. LIBOR + 1.00%), 4.023(b) | 12/05/2024 | 165,263 | |||||||||||
200,000 | (SOFR + 1.16%), 2.301(b) | 10/15/2025 | 209,368 | |||||||||||
100,000 | (3 Mo. LIBOR + 1.25%), 3.960(b) | 01/29/2027 | 113,780 | |||||||||||
15,000 | 3.625 | 12/01/2027 | 16,552 | |||||||||||
75,000 | (3 Mo. LIBOR + 1.34%), 3.782(b) | 02/01/2028 | 84,809 | |||||||||||
45,000 | (3 Mo. LIBOR + 0.95%), 3.509(b) | 01/23/2029 | 50,701 | |||||||||||
25,000 | (SOFR + 3.79%), 4.493(b) | 03/24/2031 | 30,479 | |||||||||||
25,000 | (SOFR + 2.52%), 2.956(b) | 05/13/2031 | 26,494 | |||||||||||
|
|
10 | 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) | ||||||||||||||
Banks – (continued) | ||||||||||||||
JPMorgan Chase & Co. Series HH(a)(b) | ||||||||||||||
$ | 100,000 | | (SOFR + 3.13%), 4.600 | | 02/01/2025 | $ | 89,125 | |||||||
JPMorgan Chase & Co. Series Z(a)(b) | ||||||||||||||
85,000 | | (3 Mo. LIBOR + 3.80%), 4.487 | | 12/31/2049 | 79,988 | |||||||||
Mizuho Financial Group, Inc. | ||||||||||||||
250,000 | 2.601 | 09/11/2022 | 259,421 | |||||||||||
Morgan Stanley(a) | ||||||||||||||
25,000 | 5.500 | 07/28/2021 | 26,317 | |||||||||||
50,000 | | (3 Mo. LIBOR + 1.40%), 2.420(a)(b) |
| 10/24/2023 | 50,518 | |||||||||
25,000 | | (3 Mo. LIBOR + 0.85%), 3.737(a)(b) |
| 04/24/2024 | 26,947 | |||||||||
225,000 | 3.700 | 10/23/2024 | 249,548 | |||||||||||
75,000 | | (SOFR + 1.15%), 2.720(a)(b) |
| 07/22/2025 | 79,288 | |||||||||
25,000 | 3.625 | 01/20/2027 | 28,156 | |||||||||||
50,000 | 3.950 | 04/23/2027 | 56,030 | |||||||||||
100,000 | | (3 Mo. LIBOR + 1.63%), 4.431(a)(b) |
| 01/23/2030 | 119,107 | |||||||||
50,000 | | (SOFR + 3.12%), 3.622(a)(b) |
| 04/01/2031 | 57,190 | |||||||||
75,000 | | (SOFR + 4.84%), 5.597(a)(b) |
| 03/24/2051 | 113,173 | |||||||||
Nuveen LLC(a)(c) | ||||||||||||||
25,000 | 4.000 | 11/01/2028 | 29,544 | |||||||||||
Raymond James Financial, Inc.(a) | ||||||||||||||
25,000 | 4.650 | 04/01/2030 | 29,819 | |||||||||||
Regions Financial Corp.(a) | ||||||||||||||
17,000 | 3.800 | 08/14/2023 | 18,483 | |||||||||||
Royal Bank of Scotland Group plc | ||||||||||||||
200,000 | 3.875 | 09/12/2023 | 215,813 | |||||||||||
Santander UK plc | ||||||||||||||
200,000 | 2.875 | 06/18/2024 | 213,093 | |||||||||||
Standard Chartered plc(a)(b)(c) | ||||||||||||||
200,000 | | (3 Mo. LIBOR + 1.15%), 4.247 | | 01/20/2023 | 207,532 | |||||||||
Wells Fargo & Co. | ||||||||||||||
25,000 | 3.750(a) | 01/24/2024 | 27,317 | |||||||||||
175,000 | 3.000 | 10/23/2026 | 190,509 | |||||||||||
50,000 | 4.300 | 07/22/2027 | 57,183 | |||||||||||
25,000 | | (3 Mo. LIBOR + 4.24%), 5.013(a)(b) |
| 04/04/2051 | 34,445 | |||||||||
Westpac Banking Corp.(a)(b) | ||||||||||||||
25,000 | | (5 Yr. Swap Rate + 2.24%), 4.322 | | 11/23/2031 | 27,741 | |||||||||
50,000 | | (US Treasury Yield Curve Rate T-Note Constant Maturity 5 Yr. + 2.00%), 4.110 | | 07/24/2034 | 55,182 | |||||||||
|
| |||||||||||||
7,622,365 | ||||||||||||||
|
| |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||
Capital Goods – 2.2% | ||||||||||||||
3M Co.(a) | ||||||||||||||
25,000 | 3.700% | 04/15/2050 | 29,719 | |||||||||||
Air Lease Corp.(a) | ||||||||||||||
75,000 | 2.300 | 02/01/2025 | 71,665 | |||||||||||
75,000 | 3.375 | 07/01/2025 | 74,931 | |||||||||||
75,000 | 3.750 | 06/01/2026 | 75,670 | |||||||||||
Boeing Co. (The)(a) | ||||||||||||||
50,000 | 3.450 | 11/01/2028 | 50,108 | |||||||||||
100,000 | 5.805 | 05/01/2050 | 117,910 | |||||||||||
Caterpillar, Inc.(a) | ||||||||||||||
25,000 | 3.250 | 04/09/2050 | 27,938 | |||||||||||
General Dynamics Corp.(a) | ||||||||||||||
50,000 | 4.250 | 04/01/2050 | 64,600 | |||||||||||
General Electric Co.(a) | ||||||||||||||
25,000 | 3.450 | 05/01/2027 | 25,610 | |||||||||||
25,000 | 3.625 | 05/01/2030 | 24,973 | |||||||||||
25,000 | 4.250 | 05/01/2040 | 24,539 | |||||||||||
50,000 | 4.350 | 05/01/2050 | 49,502 | |||||||||||
Northrop Grumman Corp. | ||||||||||||||
50,000 | 2.930(a) | 01/15/2025 | 54,042 | |||||||||||
75,000 | 3.250(a) | 01/15/2028 | 83,774 | |||||||||||
25,000 | 4.750 | 06/01/2043 | 32,441 | |||||||||||
75,000 | 5.250(a) | 05/01/2050 | 108,135 | |||||||||||
Otis Worldwide Corp. (a)(c) | ||||||||||||||
25,000 | 2.293 | 04/05/2027 | 26,105 | |||||||||||
150,000 | 2.565 | 02/15/2030 | 157,486 | |||||||||||
Raytheon Technologies Corp.(a) | ||||||||||||||
50,000 | 3.950 | 08/16/2025 | 56,963 | |||||||||||
50,000 | 4.125 | 11/16/2028 | 58,893 | |||||||||||
25,000 | 4.050 | 05/04/2047 | 29,815 | |||||||||||
25,000 | 4.625 | 11/16/2048 | 32,377 | |||||||||||
Roper Technologies, Inc.(a) | ||||||||||||||
50,000 | 4.200 | 09/15/2028 | 58,504 | |||||||||||
Stanley Black & Decker, Inc.(a) | ||||||||||||||
50,000 | 4.250 | 11/15/2028 | 59,819 | |||||||||||
|
| |||||||||||||
1,395,519 | ||||||||||||||
|
| |||||||||||||
Commercial & Professional Services(a) – 0.6% | ||||||||||||||
CoStar Group, Inc.(c) | ||||||||||||||
100,000 | 2.800 | 07/15/2030 | 102,397 | |||||||||||
IHS Markit Ltd. | ||||||||||||||
75,000 | 3.625 | 05/01/2024 | 80,327 | |||||||||||
75,000 | 4.250 | 05/01/2029 | 85,810 | |||||||||||
Republic Services, Inc. | ||||||||||||||
75,000 | 2.500 | 08/15/2024 | 79,769 | |||||||||||
|
| |||||||||||||
348,303 | ||||||||||||||
|
| |||||||||||||
Consumer Durables & Apparel(a) – 0.6% | ||||||||||||||
Carrier Global Corp.(c) | ||||||||||||||
150,000 | 2.493 | 02/15/2027 | 152,625 | |||||||||||
200,000 | 2.722 | 02/15/2030 | 200,373 | |||||||||||
NIKE, Inc. | ||||||||||||||
25,000 | 3.250 | 03/27/2040 | 27,881 | |||||||||||
|
| |||||||||||||
380,879 | ||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Schedule of Investments (continued)
June 30, 2020 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Corporate Bonds – (continued) | ||||||||||||||
Consumer Services(a) – 0.2% | ||||||||||||||
McDonald’s Corp. | ||||||||||||||
$ | 25,000 | 4.200 % | 04/01/2050 | $ | 30,258 | |||||||||
Starbucks Corp. | ||||||||||||||
75,000 | 3.800 | 08/15/2025 | 84,664 | |||||||||||
|
| |||||||||||||
114,922 | ||||||||||||||
|
| |||||||||||||
Electric – 3.1% | ||||||||||||||
Alliant Energy Finance LLC(a)(c) | ||||||||||||||
25,000 | 3.750 | 06/15/2023 | 26,826 | |||||||||||
American Electric Power Co., Inc.(a) | ||||||||||||||
50,000 | 2.300 | 03/01/2030 | 51,050 | |||||||||||
Arizona Public Service Co.(a) | ||||||||||||||
45,000 | 2.950 | 09/15/2027 | 48,680 | |||||||||||
Avangrid, Inc.(a) | ||||||||||||||
25,000 | 3.200 | 04/15/2025 | 27,318 | |||||||||||
Berkshire Hathaway Energy Co.(a) | ||||||||||||||
27,000 | 2.375 | 01/15/2021 | 27,295 | |||||||||||
25,000 | 3.250 | 04/15/2028 | 28,281 | |||||||||||
50,000 | 3.700(c) | 07/15/2030 | 58,492 | |||||||||||
Dominion Energy, Inc. | ||||||||||||||
50,000 | 3.071 | 08/15/2024 | 53,744 | |||||||||||
Dominion Energy, Inc. Series C(a) | ||||||||||||||
25,000 | 3.375 | 04/01/2030 | 27,697 | |||||||||||
DTE Energy Co.(a) | ||||||||||||||
60,000 | 2.250 | 11/01/2022 | 61,947 | |||||||||||
East Ohio Gas Co. (The)(a)(c) | ||||||||||||||
25,000 | 1.300 | 06/15/2025 | 25,163 | |||||||||||
25,000 | 2.000 | 06/15/2030 | 24,991 | |||||||||||
Emera US Finance LP(a) | ||||||||||||||
45,000 | 2.700 | 06/15/2021 | 45,832 | |||||||||||
Entergy Corp.(a) | ||||||||||||||
45,000 | 2.950 | 09/01/2026 | 49,568 | |||||||||||
Exelon Corp.(a) | ||||||||||||||
45,000 | 3.497 | 06/01/2022 | 46,973 | |||||||||||
50,000 | 4.050 | 04/15/2030 | 57,802 | |||||||||||
25,000 | 4.700 | 04/15/2050 | 31,939 | |||||||||||
FirstEnergy Corp.(a) | ||||||||||||||
100,000 | 2.650 | 03/01/2030 | 104,594 | |||||||||||
FirstEnergy Corp. Series B(a) | ||||||||||||||
50,000 | 2.250 | 09/01/2030 | 50,278 | |||||||||||
Florida Power & Light Co.(a) | ||||||||||||||
68,000 | 4.125 | 02/01/2042 | 84,891 | |||||||||||
MidAmerican Energy Co.(a) | ||||||||||||||
25,000 | 3.650 | 04/15/2029 | 29,820 | |||||||||||
NiSource, Inc.(a) | ||||||||||||||
50,000 | 3.650 | 06/15/2023 | 54,008 | |||||||||||
95,000 | 3.490 | 05/15/2027 | 107,224 | |||||||||||
25,000 | 3.600 | 05/01/2030 | 28,563 | |||||||||||
NRG Energy, Inc.(a)(c) | ||||||||||||||
75,000 | 3.750 | 06/15/2024 | 79,376 | |||||||||||
Ohio Power Co. Series P(a) | ||||||||||||||
25,000 | 2.600 | 04/01/2030 | 26,816 | |||||||||||
Pacific Gas and Electric Co.(a) | ||||||||||||||
25,000 | 2.100 | 08/01/2027 | 24,691 | |||||||||||
|
| |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||
Electric – (continued) | ||||||||||||||
Pacific Gas and Electric Co.(a) – (continued) | ||||||||||||||
50,000 | 2.500 | 02/01/2031 | 48,884 | |||||||||||
25,000 | 3.300 | 08/01/2040 | 24,357 | |||||||||||
25,000 | 3.500 | 08/01/2050 | 24,168 | |||||||||||
Progress Energy, Inc. | ||||||||||||||
120,000 | 7.000 | 10/30/2031 | 166,366 | |||||||||||
Sempra Energy(a)(b) | ||||||||||||||
70,000 | | (3 Mo. LIBOR + 0.50%), 1.719 | | 01/15/2021 | 69,997 | |||||||||
65,000 | | (US Treasury Yield Curve Rate T-Note Constant Maturity 5 Yr. + 4.55%), 4.875 | | 10/15/2025 | 64,956 | |||||||||
Southern California Edison Co. Series A(a) | ||||||||||||||
50,000 | 4.200 | 03/01/2029 | 57,809 | |||||||||||
Southern Co. (The)(a) | ||||||||||||||
60,000 | 3.250 | 07/01/2026 | 66,715 | |||||||||||
Vistra Operations Co. LLC(a)(c) | ||||||||||||||
125,000 | 3.550 | 07/15/2024 | 129,292 | |||||||||||
|
| |||||||||||||
1,936,403 | ||||||||||||||
|
| |||||||||||||
Energy – 2.7% | ||||||||||||||
BP Capital Markets America, Inc.(a) | ||||||||||||||
50,000 | 3.224 | 04/14/2024 | 53,795 | |||||||||||
Continental Resources, Inc.(a) | ||||||||||||||
150,000 | 4.500 | 04/15/2023 | 143,250 | |||||||||||
Devon Energy Corp.(a) | ||||||||||||||
29,000 | 5.850 | 12/15/2025 | 32,152 | |||||||||||
25,000 | 5.600 | 07/15/2041 | 24,424 | |||||||||||
5,000 | 4.750 | 05/15/2042 | 4,338 | |||||||||||
Energy Transfer Operating LP(a) | ||||||||||||||
25,000 | 4.650 | 06/01/2021 | 25,522 | |||||||||||
75,000 | 4.200 | 09/15/2023 | 79,757 | |||||||||||
50,000 | 2.900 | 05/15/2025 | 51,149 | |||||||||||
25,000 | 5.250 | 04/15/2029 | 27,287 | |||||||||||
5,000 | 6.000 | 06/15/2048 | 5,209 | |||||||||||
Enterprise Products Operating LLC(a)(b) | ||||||||||||||
40,000 | | (3 Mo. LIBOR + 2.78%), 3.128% |
| 06/01/2067 | 31,200 | |||||||||
EQM Midstream Partners LP(a) | ||||||||||||||
50,000 | 4.750 | 07/15/2023 | 50,438 | |||||||||||
25,000 | 5.500 | 07/15/2028 | 23,812 | |||||||||||
Marathon Petroleum Corp.(a) | ||||||||||||||
75,000 | 4.500 | 05/01/2023 | 80,878 | |||||||||||
25,000 | 3.800 | 04/01/2028 | 26,506 | |||||||||||
MPLX LP(a) | ||||||||||||||
25,000 | 4.800 | 02/15/2029 | 27,820 | |||||||||||
35,000 | 4.500 | 04/15/2038 | 34,985 | |||||||||||
25,000 | 5.500 | 02/15/2049 | 27,693 | |||||||||||
Newfield Exploration Co. | ||||||||||||||
50,000 | 5.625 | 07/01/2024 | 47,500 | |||||||||||
Occidental Petroleum Corp.(a) | ||||||||||||||
200,000 | 2.900 | 08/15/2024 | 171,000 | |||||||||||
15,000 | 5.550 | 03/15/2026 | 13,687 | |||||||||||
|
|
12 | 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) | ||||||||||||||
Energy – (continued) | ||||||||||||||
Phillips 66(a) | ||||||||||||||
$ | 50,000 | 3.700 % | 04/06/2023 | $ | 53,560 | |||||||||
60,000 | 3.900 | 03/15/2028 | 67,645 | |||||||||||
Plains All American Pipeline LP(a) | ||||||||||||||
15,000 | 3.650 | 06/01/2022 | 15,320 | |||||||||||
35,000 | 3.850 | 10/15/2023 | 36,347 | |||||||||||
25,000 | 3.800 | 09/15/2030 | 24,621 | |||||||||||
Sabine Pass Liquefaction LLC(a) | ||||||||||||||
75,000 | 5.625 | 03/01/2025 | 85,899 | |||||||||||
75,000 | 5.000 | 03/15/2027 | 83,757 | |||||||||||
Suncor Energy, Inc.(a) | ||||||||||||||
25,000 | 2.800 | 05/15/2023 | 26,103 | |||||||||||
50,000 | 3.100 | 05/15/2025 | 53,422 | |||||||||||
Valero Energy Corp.(a) | ||||||||||||||
50,000 | 2.700 | 04/15/2023 | 51,889 | |||||||||||
25,000 | 2.850 | 04/15/2025 | 26,371 | |||||||||||
Western Midstream Operating LP(a) | ||||||||||||||
75,000 | 3.100 | 02/01/2025 | 70,688 | |||||||||||
50,000 | 4.050 | 02/01/2030 | 48,000 | |||||||||||
25,000 | 5.450 | 04/01/2044 | 20,750 | |||||||||||
25,000 | 5.300 | 03/01/2048 | 20,281 | |||||||||||
|
| |||||||||||||
1,667,055 | ||||||||||||||
|
| |||||||||||||
Food & Beverage(a) – 2.4% | ||||||||||||||
Anheuser-Busch Cos. LLC | ||||||||||||||
35,000 | 4.700 | 02/01/2036 | 40,944 | |||||||||||
210,000 | 4.900 | 02/01/2046 | 254,721 | |||||||||||
Anheuser-Busch InBev Worldwide, Inc. | ||||||||||||||
350,000 | 4.750 | 01/23/2029 | 422,556 | |||||||||||
25,000 | 4.950 | 01/15/2042 | 30,154 | |||||||||||
100,000 | 4.600 | 04/15/2048 | 116,797 | |||||||||||
25,000 | 5.550 | 01/23/2049 | 33,428 | |||||||||||
25,000 | 4.500 | 06/01/2050 | 29,762 | |||||||||||
Constellation Brands, Inc. | ||||||||||||||
75,000 | | (3 Mo. LIBOR + 0.70%), 1.092(b) |
| 11/15/2021 | 74,851 | |||||||||
50,000 | 4.400 | 11/15/2025 | 57,726 | |||||||||||
25,000 | 3.700 | 12/06/2026 | 28,016 | |||||||||||
50,000 | 3.600 | 02/15/2028 | 55,112 | |||||||||||
25,000 | 3.150 | 08/01/2029 | 26,954 | |||||||||||
JM Smucker Co. (The) | ||||||||||||||
25,000 | 3.000 | 03/15/2022 | 25,915 | |||||||||||
25,000 | 2.375 | 03/15/2030 | 25,569 | |||||||||||
Keurig Dr Pepper, Inc. | ||||||||||||||
50,000 | 4.057 | 05/25/2023 | 54,430 | |||||||||||
25,000 | 5.085 | 05/25/2048 | 33,218 | |||||||||||
25,000 | 3.800 | 05/01/2050 | 28,530 | |||||||||||
Mars, Inc.(c) | ||||||||||||||
25,000 | 2.700 | 04/01/2025 | 26,791 | |||||||||||
25,000 | 3.200 | 04/01/2030 | 28,395 | |||||||||||
Mondelez International, Inc. | ||||||||||||||
25,000 | 2.125 | 04/13/2023 | 25,890 | |||||||||||
PepsiCo, Inc. | ||||||||||||||
50,000 | 3.625 | 03/19/2050 | 60,611 | |||||||||||
|
| |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||
Food & Beverage(a) – (continued) | ||||||||||||||
Tyson Foods, Inc. | ||||||||||||||
50,000 | 3.900 | 09/28/2023 | 54,540 | |||||||||||
|
| |||||||||||||
1,534,910 | ||||||||||||||
|
| |||||||||||||
Health Care Equipment & Services(a) – 2.2% | ||||||||||||||
Becton Dickinson and Co. | ||||||||||||||
93,000 | | (3 Mo. LIBOR + 0.88%), 1.181(b) |
| 12/29/2020 | 92,915 | |||||||||
45,000 | 2.894 | 06/06/2022 | 46,589 | |||||||||||
25,000 | 3.363 | 06/06/2024 | 26,942 | |||||||||||
40,000 | 3.700 | 06/06/2027 | 44,667 | |||||||||||
100,000 | 2.823 | 05/20/2030 | 106,134 | |||||||||||
Centene Corp. | ||||||||||||||
150,000 | 4.250 | 12/15/2027 | 154,694 | |||||||||||
Cigna Corp. | ||||||||||||||
100,000 | 3.750 | 07/15/2023 | 108,566 | |||||||||||
50,000 | 2.400 | 03/15/2030 | 51,862 | |||||||||||
150,000 | 3.400 | 03/15/2050 | 161,616 | |||||||||||
CVS Health Corp. | ||||||||||||||
75,000 | 3.500 | 07/20/2022 | 78,992 | |||||||||||
135,000 | 3.700 | 03/09/2023 | 144,878 | |||||||||||
25,000 | 2.625 | 08/15/2024 | 26,584 | |||||||||||
50,000 | 3.875 | 07/20/2025 | 56,153 | |||||||||||
25,000 | 4.250 | 04/01/2050 | 30,073 | |||||||||||
DENTSPLY SIRONA, Inc. | ||||||||||||||
50,000 | 3.250 | 06/01/2030 | 52,429 | |||||||||||
Stryker Corp. | ||||||||||||||
100,000 | 1.950 | 06/15/2030 | 100,550 | |||||||||||
Zimmer Biomet Holdings, Inc. | ||||||||||||||
100,000 | 3.550 | 03/20/2030 | 107,847 | |||||||||||
|
| |||||||||||||
1,391,491 | ||||||||||||||
|
| |||||||||||||
Household & Personal Products(a) – 0.0% | ||||||||||||||
Kimberly-Clark Corp. | ||||||||||||||
25,000 | 3.100 | 03/26/2030 | 28,471 | |||||||||||
|
| |||||||||||||
Life Insurance(a) – 1.0% | ||||||||||||||
American International Group, Inc. | ||||||||||||||
25,000 | 4.875 | 06/01/2022 | 26,972 | |||||||||||
125,000 | 3.900 | 04/01/2026 | 140,981 | |||||||||||
25,000 | 4.200 | 04/01/2028 | 28,358 | |||||||||||
100,000 | 3.400 | 06/30/2030 | 108,296 | |||||||||||
Berkshire Hathaway Finance Corp. | ||||||||||||||
75,000 | 1.850 | 03/12/2030 | 77,270 | |||||||||||
Marsh & McLennan Cos., Inc. | ||||||||||||||
50,000 | 4.375 | 03/15/2029 | 60,047 | |||||||||||
New York Life Insurance Co.(c) | ||||||||||||||
25,000 | 3.750 | 05/15/2050 | 28,211 | |||||||||||
Principal Financial Group, Inc. | ||||||||||||||
50,000 | 3.100 | 11/15/2026 | 54,484 | |||||||||||
75,000 | 2.125 | 06/15/2030 | 75,385 | |||||||||||
Willis North America, Inc. | ||||||||||||||
25,000 | 2.950 | 09/15/2029 | 26,535 | |||||||||||
|
| |||||||||||||
626,539 | ||||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Schedule of Investments (continued)
June 30, 2020 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Corporate Bonds – (continued) | ||||||||||||||
Materials – 0.5% | ||||||||||||||
Air Products and Chemicals, Inc.(a) | ||||||||||||||
$ | 25,000 | 2.050% | 05/15/2030 | $ | 26,242 | |||||||||
25,000 | 2.800 | 05/15/2050 | 26,466 | |||||||||||
DuPont de Nemours, Inc.(a) | ||||||||||||||
25,000 | 4.205 | 11/15/2023 | 27,416 | |||||||||||
50,000 | 4.493 | 11/15/2025 | 57,498 | |||||||||||
Ecolab, Inc. | ||||||||||||||
4,000 | 5.500 | 12/08/2041 | 5,643 | |||||||||||
Huntsman International LLC(a) | ||||||||||||||
25,000 | 4.500 | 05/01/2029 | 26,292 | |||||||||||
Sherwin-Williams Co. (The)(a) | ||||||||||||||
25,000 | 3.450 | 06/01/2027 | 27,965 | |||||||||||
50,000 | 2.950 | 08/15/2029 | 53,834 | |||||||||||
Steel Dynamics, Inc.(a) | ||||||||||||||
20,000 | 2.400 | 06/15/2025 | 20,558 | |||||||||||
Teck Resources Ltd.(a)(c) | ||||||||||||||
25,000 | 3.900 | 07/15/2030 | 24,913 | |||||||||||
|
| |||||||||||||
296,827 | ||||||||||||||
|
| |||||||||||||
Media & Entertainment(a) – 2.0% | ||||||||||||||
Charter Communications Operating LLC | ||||||||||||||
320,000 | 4.908 | 07/23/2025 | 366,673 | |||||||||||
Comcast Corp. | ||||||||||||||
25,000 | 3.700 | 04/15/2024 | 27,731 | |||||||||||
25,000 | 3.100 | 04/01/2025 | 27,497 | |||||||||||
45,000 | 3.375 | 08/15/2025 | 50,086 | |||||||||||
50,000 | 3.950 | 10/15/2025 | 57,275 | |||||||||||
25,000 | 3.300 | 02/01/2027 | 28,042 | |||||||||||
75,000 | 3.300 | 04/01/2027 | 84,030 | |||||||||||
225,000 | 3.150 | 02/15/2028 | 250,372 | |||||||||||
125,000 | 4.150 | 10/15/2028 | 149,686 | |||||||||||
25,000 | 4.250 | 10/15/2030 | 30,585 | |||||||||||
25,000 | 3.750 | 04/01/2040 | 29,333 | |||||||||||
25,000 | 4.700 | 10/15/2048 | 33,423 | |||||||||||
Fox Corp. | ||||||||||||||
25,000 | 4.030 | 01/25/2024 | 27,665 | |||||||||||
25,000 | 4.709 | 01/25/2029 | 30,014 | |||||||||||
Walt Disney Co. (The) | ||||||||||||||
25,000 | 3.700 | 09/15/2024 | 27,819 | |||||||||||
25,000 | 4.700 | 03/23/2050 | 32,669 | |||||||||||
|
| |||||||||||||
1,252,900 | ||||||||||||||
|
| |||||||||||||
Metals and Mining – 0.3% | ||||||||||||||
Glencore Funding LLC(c) | ||||||||||||||
75,000 | 4.125(a) | 03/12/2024 | 80,392 | |||||||||||
25,000 | 4.625 | 04/29/2024 | 27,368 | |||||||||||
Newcrest Finance Pty. Ltd.(a)(c) | ||||||||||||||
25,000 | 3.250 | 05/13/2030 | 26,811 | |||||||||||
Newmont Corp.(a) | ||||||||||||||
75,000 | 2.250 | 10/01/2030 | 75,892 | |||||||||||
|
| |||||||||||||
210,463 | ||||||||||||||
|
| |||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences – 3.1% | ||||||||||||||
AbbVie, Inc.(a) | ||||||||||||||
75,000 | 3.375 | 11/14/2021 | 77,706 | |||||||||||
|
| |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||
Pharmaceuticals, Biotechnology & Life Sciences – (continued) | ||||||||||||||
AbbVie, Inc.(a) – (continued) | ||||||||||||||
30,000 | 2.300(c) | 11/21/2022 | 31,034 | |||||||||||
50,000 | 3.750 | 11/14/2023 | 54,621 | |||||||||||
125,000 | 4.050(c) | 11/21/2039 | 145,945 | |||||||||||
200,000 | 4.250(c) | 11/21/2049 | 241,787 | |||||||||||
Amgen, Inc.(a) | ||||||||||||||
70,000 | 3.125 | 05/01/2025 | 76,793 | |||||||||||
Bayer US Finance II LLC(a)(c) | ||||||||||||||
200,000 | 3.875 | 12/15/2023 | 218,920 | |||||||||||
Bayer US Finance LLC(c) | ||||||||||||||
200,000 | 3.000 | 10/08/2021 | 205,026 | |||||||||||
Bristol-Myers Squibb Co.(a)(c) | ||||||||||||||
150,000 | 3.875 | 08/15/2025 | 170,740 | |||||||||||
25,000 | 4.250 | 10/26/2049 | 32,924 | |||||||||||
DH Europe Finance II Sarl(a) | ||||||||||||||
75,000 | 2.200 | 11/15/2024 | 78,857 | |||||||||||
25,000 | 2.600 | 11/15/2029 | 26,589 | |||||||||||
75,000 | 3.250 | 11/15/2039 | 82,725 | |||||||||||
Elanco Animal Health, Inc.(a) | ||||||||||||||
50,000 | 4.662 | 08/27/2021 | 51,250 | |||||||||||
25,000 | 5.022 | 08/28/2023 | 26,251 | |||||||||||
Pfizer, Inc.(a) | ||||||||||||||
75,000 | 3.450 | 03/15/2029 | 87,462 | |||||||||||
25,000 | 2.625 | 04/01/2030 | 27,502 | |||||||||||
Thermo Fisher Scientific, Inc.(a) | ||||||||||||||
35,000 | 3.000 | 04/15/2023 | 37,056 | |||||||||||
15,000 | 3.650 | 12/15/2025 | 16,848 | |||||||||||
25,000 | 4.497 | 03/25/2030 | 30,807 | |||||||||||
Zoetis, Inc.(a) | ||||||||||||||
45,000 | 3.000 | 09/12/2027 | 49,617 | |||||||||||
150,000 | 2.000 | 05/15/2030 | 153,319 | |||||||||||
|
| |||||||||||||
1,923,779 | ||||||||||||||
|
| |||||||||||||
Pipelines(a) – 0.2% | ||||||||||||||
Sunoco Logistics Partners Operations LP | ||||||||||||||
15,000 | 4.250 | 04/01/2024 | 16,001 | |||||||||||
Williams Cos., Inc. (The) | ||||||||||||||
25,000 | 3.600 | 03/15/2022 | 25,954 | |||||||||||
25,000 | 3.900 | 01/15/2025 | 27,313 | |||||||||||
35,000 | 4.000 | 09/15/2025 | 38,770 | |||||||||||
|
| |||||||||||||
108,038 | ||||||||||||||
|
| |||||||||||||
Property/Casualty Insurance – 0.1% | ||||||||||||||
Arch Capital Group US, Inc. | ||||||||||||||
36,000 | 5.144 | 11/01/2043 | 44,835 | |||||||||||
XLIT Ltd. | ||||||||||||||
45,000 | 4.450 | 03/31/2025 | 50,574 | |||||||||||
|
| |||||||||||||
95,409 | ||||||||||||||
|
| |||||||||||||
Real Estate Investment Trusts(a) – 2.3% | ||||||||||||||
Alexandria Real Estate Equities, Inc. | ||||||||||||||
25,000 | 3.800 | 04/15/2026 | 28,141 | |||||||||||
25,000 | 3.375 | 08/15/2031 | 27,981 | |||||||||||
|
|
14 | 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) | ||||||||||||||
Real Estate Investment Trusts(a) – (continued) | ||||||||||||||
American Campus Communities Operating Partnership LP | ||||||||||||||
$ | 95,000 | 4.125 % | 07/01/2024 | $ | 99,595 | |||||||||
25,000 | 3.875 | 01/30/2031 | 26,221 | |||||||||||
American Homes 4 Rent LP | ||||||||||||||
50,000 | 4.900 | 02/15/2029 | 55,882 | |||||||||||
American Tower Corp. | ||||||||||||||
75,000 | 3.375 | 05/15/2024 | 81,492 | |||||||||||
100,000 | 2.400 | 03/15/2025 | 105,072 | |||||||||||
75,000 | 2.100 | 06/15/2030 | 75,069 | |||||||||||
Boston Properties LP | ||||||||||||||
25,000 | 4.125 | 05/15/2021 | 25,488 | |||||||||||
Crown Castle International Corp. | ||||||||||||||
25,000 | 2.250 | 09/01/2021 | 25,392 | |||||||||||
85,000 | 3.150 | 07/15/2023 | 90,627 | |||||||||||
60,000 | 3.650 | 09/01/2027 | 66,719 | |||||||||||
25,000 | 3.300 | 07/01/2030 | 27,487 | |||||||||||
CubeSmart LP | ||||||||||||||
45,000 | 4.000 | 11/15/2025 | 49,796 | |||||||||||
Duke Realty LP | ||||||||||||||
25,000 | 1.750 | 07/01/2030 | 24,795 | |||||||||||
Essex Portfolio LP | ||||||||||||||
50,000 | 3.000 | 01/15/2030 | 54,385 | |||||||||||
Kilroy Realty LP | ||||||||||||||
25,000 | 4.750 | 12/15/2028 | 28,030 | |||||||||||
National Retail Properties, Inc. | ||||||||||||||
35,000 | 3.900 | 06/15/2024 | 37,047 | |||||||||||
45,000 | 4.000 | 11/15/2025 | 49,044 | |||||||||||
Regency Centers LP | ||||||||||||||
100,000 | 2.950 | 09/15/2029 | 100,987 | |||||||||||
Simon Property Group LP | ||||||||||||||
53,000 | 2.750 | 06/01/2023 | 55,103 | |||||||||||
Spirit Realty LP | ||||||||||||||
75,000 | 3.400 | 01/15/2030 | 70,706 | |||||||||||
Ventas Realty LP | ||||||||||||||
45,000 | 3.500 | 02/01/2025 | 46,602 | |||||||||||
VEREIT Operating Partnership LP | ||||||||||||||
50,000 | 4.625 | 11/01/2025 | 53,980 | |||||||||||
25,000 | 3.950 | 08/15/2027 | 25,947 | |||||||||||
25,000 | 3.400 | 01/15/2028 | 25,170 | |||||||||||
WP Carey, Inc. | ||||||||||||||
20,000 | 4.600 | 04/01/2024 | 21,473 | |||||||||||
30,000 | 4.000 | 02/01/2025 | 31,306 | |||||||||||
25,000 | 3.850 | 07/15/2029 | 25,943 | |||||||||||
|
| |||||||||||||
1,435,480 | ||||||||||||||
|
| |||||||||||||
Retailing(a) – 1.6% | ||||||||||||||
Alimentation Couche-Tard, Inc.(c) | ||||||||||||||
45,000 | 2.700 | 07/26/2022 | 46,148 | |||||||||||
Amazon.com, Inc. | ||||||||||||||
335,000 | 5.200 | 12/03/2025 | 410,265 | |||||||||||
45,000 | 4.800 | 12/05/2034 | 61,229 | |||||||||||
15,000 | 3.875 | 08/22/2037 | 18,546 | |||||||||||
Booking Holdings, Inc. | ||||||||||||||
25,000 | 4.100 | 04/13/2025 | 28,073 | |||||||||||
|
| |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||
Retailing(a) – (continued) | ||||||||||||||
Dollar Tree, Inc. | ||||||||||||||
50,000 | 4.000 | 05/15/2025 | 56,237 | |||||||||||
50,000 | 4.200 | 05/15/2028 | 58,064 | |||||||||||
Expedia Group, Inc. | ||||||||||||||
35,000 | 3.800 | 02/15/2028 | 33,523 | |||||||||||
Home Depot, Inc. (The) | ||||||||||||||
25,000 | 3.900 | 12/06/2028 | 29,801 | |||||||||||
25,000 | 4.250 | 04/01/2046 | 31,664 | |||||||||||
Lowe’s Cos., Inc. | ||||||||||||||
50,000 | 5.000 | 04/15/2040 | 64,909 | |||||||||||
25,000 | 5.125 | 04/15/2050 | 34,507 | |||||||||||
Sysco Corp. | ||||||||||||||
25,000 | 6.600 | 04/01/2050 | 34,539 | |||||||||||
Walgreens Boots Alliance, Inc. | ||||||||||||||
125,000 | 4.100 | 04/15/2050 | 125,923 | |||||||||||
|
| |||||||||||||
1,033,428 | ||||||||||||||
|
| |||||||||||||
Software��& Services(a) – 1.5% | ||||||||||||||
Adobe, Inc. | ||||||||||||||
50,000 | 2.150 | 02/01/2027 | 53,653 | |||||||||||
75,000 | 2.300 | 02/01/2030 | 80,854 | |||||||||||
Amdocs Ltd. | ||||||||||||||
50,000 | 2.538 | 06/15/2030 | 49,486 | |||||||||||
Fiserv, Inc. | ||||||||||||||
25,000 | 3.800 | 10/01/2023 | 27,309 | |||||||||||
100,000 | 2.750 | 07/01/2024 | 106,710 | |||||||||||
50,000 | 3.200 | 07/01/2026 | 55,267 | |||||||||||
25,000 | 4.200 | 10/01/2028 | 29,397 | |||||||||||
Global Payments, Inc. | ||||||||||||||
50,000 | 2.650 | 02/15/2025 | 53,099 | |||||||||||
25,000 | 3.200 | 08/15/2029 | 26,764 | |||||||||||
Intuit, Inc. | ||||||||||||||
25,000 | 1.350 | 07/15/2027 | 25,086 | |||||||||||
Mastercard, Inc. | ||||||||||||||
25,000 | 3.300 | 03/26/2027 | 28,361 | |||||||||||
Oracle Corp. | ||||||||||||||
25,000 | 3.600 | 04/01/2040 | 28,244 | |||||||||||
50,000 | 3.850 | 04/01/2060 | 58,452 | |||||||||||
PayPal Holdings, Inc. | ||||||||||||||
150,000 | 1.650 | 06/01/2025 | 155,129 | |||||||||||
125,000 | 2.650 | 10/01/2026 | 135,967 | |||||||||||
|
| |||||||||||||
913,778 | ||||||||||||||
|
| |||||||||||||
Technology – 2.9% | ||||||||||||||
Apple, Inc.(a) | ||||||||||||||
325,000 | 2.450 | 08/04/2026 | 353,033 | |||||||||||
Applied Materials, Inc.(a) | ||||||||||||||
25,000 | 1.750 | 06/01/2030 | 25,491 | |||||||||||
Broadcom Corp.(a) | ||||||||||||||
125,000 | 3.625 | 01/15/2024 | 134,337 | |||||||||||
50,000 | 3.125 | 01/15/2025 | 53,298 | |||||||||||
Broadcom, Inc.(a)(c) | ||||||||||||||
75,000 | 3.625 | 10/15/2024 | 81,497 | |||||||||||
150,000 | 4.700 | 04/15/2025 | 168,902 | |||||||||||
150,000 | 4.250 | 04/15/2026 | 166,890 | |||||||||||
104,000 | 3.459 | 09/15/2026 | 111,640 | |||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 15 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Schedule of Investments (continued)
June 30, 2020 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
Corporate Bonds – (continued) | ||||||||||||||
Technology – (continued) | ||||||||||||||
Dell International LLC(a)(c) | ||||||||||||||
$ | 70,000 | 5.450 | % | 06/15/2023 | $ | 76,594 | ||||||||
100,000 | 6.020 | 06/15/2026 | 114,405 | |||||||||||
Hewlett Packard Enterprise Co.(a) | ||||||||||||||
150,000 | 4.450 | 10/02/2023 | 163,936 | |||||||||||
50,000 | 4.650 | 10/01/2024 | 56,133 | |||||||||||
45,000 | 4.900 | 10/15/2025 | 51,873 | |||||||||||
25,000 | 6.350 | 10/15/2045 | 30,576 | |||||||||||
Lam Research Corp.(a) | ||||||||||||||
50,000 | 1.900 | 06/15/2030 | 50,957 | |||||||||||
Microchip Technology, Inc. | ||||||||||||||
25,000 | 3.922 | 06/01/2021 | 25,492 | |||||||||||
NXP BV(a)(c) | ||||||||||||||
25,000 | 3.400 | 05/01/2030 | 26,874 | |||||||||||
Oracle Corp.(a) | ||||||||||||||
70,000 | 2.500 | 05/15/2022 | 72,384 | |||||||||||
QUALCOMM, Inc.(a) | ||||||||||||||
25,000 | 2.600 | 01/30/2023 | 26,232 | |||||||||||
|
| |||||||||||||
1,790,544 | ||||||||||||||
|
| |||||||||||||
Tobacco(a) – 0.2% | ||||||||||||||
Altria Group, Inc. | ||||||||||||||
50,000 | 3.800 | 02/14/2024 | 54,716 | |||||||||||
Archer-Daniels-Midland Co. | ||||||||||||||
25,000 | 3.250 | 03/27/2030 | 28,317 | |||||||||||
BAT Capital Corp. | ||||||||||||||
25,000 | 3.222 | 08/15/2024 | 26,719 | |||||||||||
25,000 | 4.540 | 08/15/2047 | 27,083 | |||||||||||
|
| |||||||||||||
136,835 | ||||||||||||||
|
| |||||||||||||
Transportation(a) – 0.6% | ||||||||||||||
Avolon Holdings Funding Ltd.(c) | ||||||||||||||
25,000 | 3.950 | 07/01/2024 | 21,897 | |||||||||||
Burlington Northern Santa Fe LLC | ||||||||||||||
25,000 | 4.050 | 06/15/2048 | 31,014 | |||||||||||
Canadian Pacific Railway Co. | ||||||||||||||
25,000 | 2.050 | 03/05/2030 | 25,618 | |||||||||||
Delta Air Lines, Inc. | ||||||||||||||
100,000 | 7.375 | 01/15/2026 | 96,750 | |||||||||||
FedEx Corp. | ||||||||||||||
45,000 | 3.400 | 02/15/2028 | 48,574 | |||||||||||
Penske Truck Leasing Co. LP(c) | ||||||||||||||
70,000 | 3.375 | 02/01/2022 | 71,755 | |||||||||||
United Parcel Service, Inc. | ||||||||||||||
50,000 | 5.300 | 04/01/2050 | 72,192 | |||||||||||
|
| |||||||||||||
367,800 | ||||||||||||||
|
| |||||||||||||
Wireless Telecommunications – 4.0% | ||||||||||||||
American Tower Corp. | ||||||||||||||
45,000 | 4.700 | 03/15/2022 | 48,072 | |||||||||||
AT&T, Inc. | ||||||||||||||
60,000 | 3.200 | (a) | 03/01/2022 | 62,595 | ||||||||||
80,000 | 3.800 | 03/15/2022 | 84,392 | |||||||||||
50,000 | 3.000 | (a) | 06/30/2022 | 52,252 | ||||||||||
195,000 | 3.400 | (a) | 05/15/2025 | 214,003 | ||||||||||
|
| |||||||||||||
Corporate Bonds – (continued) | ||||||||||||||
Wireless Telecommunications – (continued) | ||||||||||||||
AT&T, Inc. – (continued) | ||||||||||||||
25,000 | 3.600 | (a) | 07/15/2025 | 27,736 | ||||||||||
110,000 | 4.250 | (a) | 03/01/2027 | 125,612 | ||||||||||
200,000 | 2.300 | (a) | 06/01/2027 | 207,066 | ||||||||||
75,000 | 2.750 | (a) | 06/01/2031 | 77,960 | ||||||||||
25,000 | 4.900 | (a) | 08/15/2037 | 29,903 | ||||||||||
75,000 | 3.500 | (a) | 06/01/2041 | 78,571 | ||||||||||
25,000 | 4.750 | (a) | 05/15/2046 | 29,363 | ||||||||||
25,000 | 5.150 | (a) | 11/15/2046 | 30,730 | ||||||||||
25,000 | 4.500 | (a) | 03/09/2048 | 29,107 | ||||||||||
T-Mobile USA, Inc.(a)(c) | ||||||||||||||
75,000 | 3.500 | 04/15/2025 | 81,800 | |||||||||||
75,000 | 1.500 | 02/15/2026 | 74,995 | |||||||||||
150,000 | 3.750 | 04/15/2027 | 166,212 | |||||||||||
100,000 | 2.050 | 02/15/2028 | 99,978 | |||||||||||
100,000 | 3.875 | 04/15/2030 | 111,074 | |||||||||||
Verizon Communications, Inc. | ||||||||||||||
25,000 | 3.376 | 02/15/2025 | 27,822 | |||||||||||
25,000 | 2.625 | 08/15/2026 | 27,200 | |||||||||||
145,000 | 4.329 | 09/21/2028 | 174,525 | |||||||||||
200,000 | 3.875 | (a) | 02/08/2029 | 236,219 | ||||||||||
50,000 | 3.150 | (a) | 03/22/2030 | 56,369 | ||||||||||
100,000 | 4.862 | (a) | 08/21/2046 | 135,538 | ||||||||||
87,000 | 5.012 | 04/15/2049 | 121,091 | |||||||||||
Vodafone Group plc | ||||||||||||||
75,000 | 3.750 | 01/16/2024 | 82,065 | |||||||||||
|
| |||||||||||||
2,492,250 | ||||||||||||||
|
| |||||||||||||
| TOTAL CORPORATE BONDS (Cost $27,192,802) | $ | 29,184,454 | |||||||||||
|
| |||||||||||||
Mortgage-Backed Securities – 40.9% | ||||||||||||||
FHLMC – 0.1% | ||||||||||||||
$ | 2,484 | 4.500 | % | 07/01/2024 | $ | 2,615 | ||||||||
14,162 | 4.500 | 11/01/2024 | 14,926 | |||||||||||
3,355 | 4.500 | 12/01/2024 | 3,537 | |||||||||||
6,439 | 7.500 | 12/01/2029 | 7,642 | |||||||||||
1,781 | 5.000 | 10/01/2033 | 2,043 | |||||||||||
2,791 | 5.000 | 07/01/2035 | 3,214 | |||||||||||
3,920 | 5.000 | 12/01/2035 | 4,506 | |||||||||||
765 | 5.000 | 03/01/2038 | 875 | |||||||||||
2,320 | 5.000 | 06/01/2041 | 2,647 | |||||||||||
|
| |||||||||||||
42,005 | ||||||||||||||
|
| |||||||||||||
GNMA – 19.1% | ||||||||||||||
1,113 | 7.000 | 10/15/2025 | 1,141 | |||||||||||
4,997 | 7.000 | 11/15/2025 | 5,349 | |||||||||||
648 | 7.000 | 02/15/2026 | 668 | |||||||||||
2,358 | 7.000 | 04/15/2026 | 2,534 | |||||||||||
2,425 | 7.000 | 03/15/2027 | 2,640 | |||||||||||
13,876 | 7.000 | 11/15/2027 | 14,440 | |||||||||||
6,076 | 7.000 | 02/15/2028 | 6,626 | |||||||||||
1,437 | 7.000 | 03/15/2028 | 1,489 | |||||||||||
|
|
16 | 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) | ||||||||||||||
$ | 801 | 7.000 | % | 04/15/2028 | $ | 829 | ||||||||
106 | 7.000 | 05/15/2028 | 118 | |||||||||||
2,372 | 7.000 | 06/15/2028 | 2,622 | |||||||||||
3,533 | 7.000 | 07/15/2028 | 3,918 | |||||||||||
9,232 | 7.000 | 09/15/2028 | 10,150 | |||||||||||
1,792 | 7.000 | 11/15/2028 | 1,949 | |||||||||||
589 | 7.500 | 11/15/2030 | 590 | |||||||||||
90,562 | 6.000 | 08/20/2034 | 107,208 | |||||||||||
81,756 | 5.000 | 06/15/2040 | 92,743 | |||||||||||
402,317 | 4.000 | 08/20/2043 | 438,822 | |||||||||||
181,930 | 4.000 | 10/20/2045 | 196,846 | |||||||||||
153,477 | 5.000 | 08/20/2048 | 167,556 | |||||||||||
473,393 | 4.500 | 09/20/2048 | 509,013 | |||||||||||
545,025 | 5.000 | 10/20/2048 | 594,087 | |||||||||||
532,626 | 5.000 | 11/20/2048 | 579,782 | |||||||||||
250,362 | 5.000 | 12/20/2048 | 272,156 | |||||||||||
1,227,272 | 4.500 | 01/20/2049 | 1,313,288 | |||||||||||
162,925 | 4.500 | 03/20/2049 | 174,229 | |||||||||||
185,590 | 4.500 | 05/20/2049 | 198,351 | |||||||||||
843,639 | 5.000 | 05/20/2049 | 914,704 | |||||||||||
4,000,000 | 2.500 | TBA-30yr | (d) | 4,208,545 | ||||||||||
2,000,000 | 4.500 | TBA-30yr | (d) | 2,135,670 | ||||||||||
|
| |||||||||||||
11,958,063 | ||||||||||||||
|
| |||||||||||||
UMBS – 8.4% | ||||||||||||||
193 | 5.000 | 06/01/2023 | 201 | |||||||||||
14,748 | 5.500 | 09/01/2023 | 15,324 | |||||||||||
4,455 | 5.500 | 10/01/2023 | 4,633 | |||||||||||
984 | 4.500 | 07/01/2024 | 1,035 | |||||||||||
32,420 | 4.500 | 11/01/2024 | 34,109 | |||||||||||
15,660 | 4.500 | 12/01/2024 | 16,505 | |||||||||||
5,084 | 9.000 | 11/01/2025 | 5,692 | |||||||||||
25,320 | 7.000 | 08/01/2026 | 28,135 | |||||||||||
10,366 | 8.000 | 10/01/2029 | 12,127 | |||||||||||
1,073 | 8.500 | 04/01/2030 | 1,266 | |||||||||||
2,014 | 8.000 | 05/01/2030 | 2,217 | |||||||||||
5,867 | 8.000 | 08/01/2032 | 7,089 | |||||||||||
7,967 | 4.500 | 08/01/2039 | 8,973 | |||||||||||
35,262 | 3.000 | 01/01/2043 | 38,555 | |||||||||||
149,687 | 3.000 | 03/01/2043 | 163,669 | |||||||||||
206,620 | 3.000 | 04/01/2043 | 225,919 | |||||||||||
153,026 | 3.000 | 05/01/2043 | 167,318 | |||||||||||
475,402 | 4.500 | 04/01/2045 | 538,134 | |||||||||||
52,892 | 4.500 | 05/01/2045 | 59,872 | |||||||||||
331,429 | 4.000 | 02/01/2048 | 359,602 | |||||||||||
437,521 | 4.000 | 03/01/2048 | 474,712 | |||||||||||
36,554 | 4.000 | 07/01/2048 | 39,979 | |||||||||||
549,244 | 4.000 | 08/01/2048 | 594,903 | |||||||||||
403,173 | 5.000 | 11/01/2048 | 453,201 | |||||||||||
1,875,786 | 5.000 | 10/01/2049 | 2,048,038 | |||||||||||
|
| |||||||||||||
5,301,208 | ||||||||||||||
|
| |||||||||||||
UMBS, 30 Year, Single Family(d) – 13.3% | ||||||||||||||
4,000,000 | 2.500 | TBA-30yr | 4,168,438 | |||||||||||
1,000,000 | 3.000 | TBA-30yr | 1,052,773 | |||||||||||
|
| |||||||||||||
Mortgage-Backed Securities – (continued) | ||||||||||||||
UMBS, 30 Year, Single Family(d) – (continued) | ||||||||||||||
1,000,000 | 3.500 | TBA-30yr | 1,051,562 | |||||||||||
2,000,000 | 2.500 | TBA-30yr | 2,080,235 | |||||||||||
|
| |||||||||||||
8,353,008 | ||||||||||||||
|
| |||||||||||||
TOTAL MORTGAGE-BACKED SECURITIES | ||||||||||||||
(Cost $25,231,243) | $ | 25,654,284 | ||||||||||||
|
| |||||||||||||
Collateralized Mortgage Obligations – 1.0% | ||||||||||||||
Adjustable Rate Non-Agency(a)(b) – 0.9% | ||||||||||||||
Alternative Loan Trust Series 2005-38, Class A1 | ||||||||||||||
$ | 69,129 | 3.004 | % | 09/25/2035 | $ | 60,794 | ||||||||
| FHLMC Structured Agency Credit Risk Debt Notes | | ||||||||||||
90,000 | 0.000 | 06/25/2050 | 90,000 | |||||||||||
Harben Finance plc Series 2017-1X, Class A | ||||||||||||||
GBP | 68,472 | 1.056 | 08/20/2056 | 84,541 | ||||||||||
Lehman XS Trust Series 2005-7N, Class 1A1A | ||||||||||||||
$ | 120,423 | 0.725 | 12/25/2035 | 110,838 | ||||||||||
London Wall Mortgage Capital plc Series 2017-FL1, Class A | ||||||||||||||
GBP | 42,161 | 1.142 | 11/15/2049 | 51,675 | ||||||||||
Stratton Mortgage Funding plc Series 2019-1, Class A | ||||||||||||||
90,511 | 1.437 | 05/25/2051 | 111,498 | |||||||||||
| Wells Fargo Mortgage-Backed Securities Trust Series 2019-3, | | ||||||||||||
$ | 63,690 | 3.500 | 07/25/2049 | 65,240 | ||||||||||
|
| |||||||||||||
574,586 | ||||||||||||||
|
| |||||||||||||
Sequential Fixed Rate – 0.1% | ||||||||||||||
FNMA REMIC Series 2012-111, Class B | ||||||||||||||
9,426 | 7.000 | 10/25/2042 | 11,659 | |||||||||||
FNMA REMIC Series 2012-153, Class B | ||||||||||||||
26,890 | 7.000 | 07/25/2042 | 33,998 | |||||||||||
|
| |||||||||||||
45,657 | ||||||||||||||
|
| |||||||||||||
TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS | ||||||||||||||
(Cost $610,863) | $ | 620,243 | ||||||||||||
|
| |||||||||||||
Commercial Mortgage-Backed Securities(a) – 0.4% | ||||||||||||||
Adjustable Rate Non-Agency(b)(c) – 0.0% | ||||||||||||||
Exantas Capital Corp. Ltd. Series 2018-RSO6, Class A | ||||||||||||||
$ | 8,743 | 1.024 | % | 06/15/2035 | $ | 8,656 | ||||||||
|
| |||||||||||||
Sequential Fixed Rate – 0.4% | ||||||||||||||
BANK Series 2019-BN21, Class A5 | ||||||||||||||
150,000 | 2.851 | 10/17/2052 | 163,693 | |||||||||||
| Cantor Commercial Real Estate Lending Series 2019-CF3, | | ||||||||||||
100,000 | 3.006 | 01/15/2053 | 109,094 | |||||||||||
|
| |||||||||||||
272,787 | ||||||||||||||
|
| |||||||||||||
TOTAL COMMERCIAL MORTGAGE-BACKED SECURITIES | ||||||||||||||
(Cost $268,515) | $ | 281,443 | ||||||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 17 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Schedule of Investments (continued)
June 30, 2020 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||||
U.S. Government Agency Securities – 1.8% | ||||||||||||||
FHLB | ||||||||||||||
$ | 100,000 | 3.375 | % | 12/08/2023 | $ | 110,319 | ||||||||
FNMA | ||||||||||||||
400,000 | 1.875 | 09/24/2026 | 430,526 | |||||||||||
400,000 | 6.250 | 05/15/2029 | 579,400 | |||||||||||
|
| |||||||||||||
TOTAL U.S. GOVERNMENT AGENCY SECURITIES | ||||||||||||||
(Cost $1,002,756) | $ | 1,120,245 | ||||||||||||
|
| |||||||||||||
Asset-Backed Securities – 4.9% | ||||||||||||||
Automobile(a) – 0.2% | ||||||||||||||
Ally Master Owner Trust Series 2018-1, Class A2 | ||||||||||||||
100,000 | 2.700 | 01/17/2023 | 100,868 | |||||||||||
|
| |||||||||||||
Collateralized Debt Obligations(a)(b)(c) – 0.7% | ||||||||||||||
| Arbor Realty Commercial Real Estate Notes Ltd. | | ||||||||||||
200,000 | 1.335 | 06/15/2028 | 196,275 | |||||||||||
KREF Ltd. Series 2018-FL1, Class A | ||||||||||||||
150,000 | 1.294 | 06/15/2036 | 147,750 | |||||||||||
| Orix Credit Alliance Owner Trust Ltd. Series 2018-CRE1, | | ||||||||||||
125,000 | 1.365 | 06/15/2036 | 119,262 | |||||||||||
|
| |||||||||||||
463,287 | ||||||||||||||
|
| |||||||||||||
Collateralized Loan Obligations(a)(b)(c) – 3.8% | ||||||||||||||
CBAM Ltd. Series 2018-5A, Class A | ||||||||||||||
525,000 | 2.155 | 04/17/2031 | 511,334 | |||||||||||
Crown City CLO I Series 2020-1A, Class A1 | ||||||||||||||
250,000 | 2.334 | 07/20/2030 | 249,999 | |||||||||||
Cutwater Ltd. Series 2014-1A, Class A1AR | ||||||||||||||
200,525 | 2.469 | 07/15/2026 | 198,433 | |||||||||||
Elmwood CLO IV Ltd. Series 2020-1A, Class A | ||||||||||||||
600,000 | 2.422 | 04/15/2033 | 585,613 | |||||||||||
Halseypoint CLO 2 Ltd. Series 2020-2A, Class A1 | ||||||||||||||
300,000 | 1.000 | 07/20/2031 | 297,000 | |||||||||||
Jamestown CLO XV Ltd. Series 2020-15A, Class A | ||||||||||||||
300,000 | 2.103 | 04/15/2033 | 293,274 | |||||||||||
Venture 39 CLO Ltd. Series 2020-39A, Class A1 | ||||||||||||||
275,000 | 2.655 | 04/15/2033 | 263,581 | |||||||||||
|
| |||||||||||||
2,399,234 | ||||||||||||||
|
| |||||||||||||
Home Equity(a)(b) – 0.1% | ||||||||||||||
GMACM Home Equity Loan Trust Series 2007-HE3, Class 1A1 | ||||||||||||||
207 | 7.000 | 09/25/2037 | 206 | |||||||||||
GMACM Home Equity Loan Trust Series 2007-HE3, Class 2A1 | ||||||||||||||
47,331 | 7.000 | 09/25/2037 | 46,909 | |||||||||||
|
| |||||||||||||
47,115 | ||||||||||||||
|
| |||||||||||||
Student Loans(a)(b) – 0.1% | ||||||||||||||
Northstar Education Finance, Inc. Series 2007-1, Class A1 | ||||||||||||||
7,772 | 0.987 | 04/28/2030 | 7,763 | |||||||||||
|
| |||||||||||||
Asset-Backed Securities – (continued) | ||||||||||||||
Student Loans(a)(b) – (continued) | ||||||||||||||
Scholar Funding Trust Series 2010-A, Class A(c) | ||||||||||||||
95,161 | 1.637 | 10/28/2041 | 87,368 | |||||||||||
|
| |||||||||||||
95,131 | ||||||||||||||
|
| |||||||||||||
TOTAL ASSET-BACKED SECURITIES | ||||||||||||||
(Cost $3,169,922) | 3,105,635 | |||||||||||||
|
| |||||||||||||
Foreign Government Securities – 2.2% | ||||||||||||||
Romania Government Bond(c) | ||||||||||||||
EUR | 10,000 | 2.124 | % | 07/16/2031 | $ | 10,694 | ||||||||
10,000 | 4.625 | 04/03/2049 | 12,847 | |||||||||||
State of Israel AID Bond(e) | ||||||||||||||
$ | 400,000 | 5.500 | 09/18/2023 | 463,359 | ||||||||||
200,000 | 5.500 | 12/04/2023 | 234,544 | |||||||||||
100,000 | 5.500 | 04/26/2024 | 119,048 | |||||||||||
United Arab Emirates Government Bond(c) | ||||||||||||||
220,000 | 3.125 | 10/11/2027 | 240,350 | |||||||||||
United Mexican States | ||||||||||||||
EUR | 100,000 | 1.625 | 04/08/2026 | 109,366 | ||||||||||
$ | 200,000 | 3.250 | (a) | 04/16/2030 | 198,300 | |||||||||
|
| |||||||||||||
TOTAL FOREIGN GOVERNMENT SECURITIES | ||||||||||||||
(Cost $1,326,641) | $ | 1,388,508 | ||||||||||||
|
| |||||||||||||
Municipal Bonds – 1.2% | ||||||||||||||
California – 0.3% | ||||||||||||||
California State Various Purpose GO Bonds Series 2010 | ||||||||||||||
$ | 105,000 | 7.625 | % | 03/01/2040 | $ | 185,345 | ||||||||
|
| |||||||||||||
Illinois – 0.7% | ||||||||||||||
Illinois State GO Bonds for Build America Bonds Series 2010-5 | ||||||||||||||
100,000 | 7.350 | 07/01/2035 | 113,445 | |||||||||||
Illinois State GO Bonds Pension Funding Series 2003 | ||||||||||||||
25,000 | 5.100 | 06/01/2033 | 25,361 | |||||||||||
Illinois State GO Bonds Series 2015-B(f) | ||||||||||||||
199,000 | 7.750 | 01/01/2042 | 260,885 | |||||||||||
|
| |||||||||||||
399,691 | ||||||||||||||
|
| |||||||||||||
Ohio – 0.2% | ||||||||||||||
| American Municipal Power, Inc. RB Build America Bond | | ||||||||||||
100,000 | 6.270 | 02/15/2050 | 140,060 | |||||||||||
|
| |||||||||||||
TOTAL MUNICIPAL BONDS | ||||||||||||||
(Cost $573,464) | $ | 725,096 | ||||||||||||
|
| |||||||||||||
U.S. Treasury Obligations – 14.0% | ||||||||||||||
U.S. Treasury Bonds | ||||||||||||||
$ | 140,000 | 3.375 | % | 11/15/2048 | $ | 205,559 | ||||||||
150,000 | 2.000 | 02/15/2050 | 171,680 | |||||||||||
|
|
18 | 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 | |||||||||||
U.S. Treasury Obligations – (continued) | ||||||||||||||
U.S. Treasury Notes | ||||||||||||||
$ | 3,030,000 | 2.375 | % | 03/15/2022 | $ | 3,143,980 | ||||||||
3,140,000 | 2.875 | 04/30/2025 | 3,529,802 | |||||||||||
1,440,000 | 3.125 | 11/15/2028 | 1,740,150 | |||||||||||
|
| |||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | ||||||||||||||
(Cost $8,716,560) | $ | 8,791,171 | ||||||||||||
|
|
Shares | Dividend Rate | Value | ||||||||||
Investment Company(g) – 8.7% | ||||||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||||||
5,440,087 | 0.155% | $ | 5,440,087 | |||||||||
(Cost $5,440,087) | ||||||||||||
|
| |||||||||||
TOTAL INVESTMENTS – 121.6% | ||||||||||||
(Cost $73,532,853) | $ | 76,311,166 | ||||||||||
|
| |||||||||||
| LIABILITIES IN EXCESS OF | | (13,547,319 | ) | ||||||||
|
| |||||||||||
NET ASSETS – 100.0% | $ | 62,763,847 | ||||||||||
|
|
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 June 30, 2020. | |
(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 $14,697,223 which represents approximately 23.4% of net assets as of June 30, 2020. | |
(e) | Guaranteed by the United States Government. Total market value of these securities amounts to $816,951, which represents 1.3% of net assets as of June 30, 2020. | |
(f) | Pre-refunded security. Maturity date disclosed is pre-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 | |
SONIA | —Sterling Overnight Index Average | |
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 |
The accompanying notes are an integral part of these financial statements. | 19 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Schedule of Investments (continued)
June 30, 2020 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS — At June 30, 2020, the Fund had the following forward foreign currency exchange contracts:
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED GAIN
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Gain | ||||||||||||
Morgan Stanley Co., Inc. | AUD | 275,487 | USD | 175,577 | 07/15/2020 | $ | 14,552 | |||||||||
CAD | 258,925 | USD | 181,925 | 07/16/2020 | 8,806 | |||||||||||
CHF | 251,541 | USD | 263,520 | 09/16/2020 | 2,586 | |||||||||||
EUR | 791,768 | USD | 859,868 | 08/12/2020 | 30,516 | |||||||||||
SEK | 1,653,000 | USD | 163,853 | 07/09/2020 | 13,555 | |||||||||||
USD | 69,161 | AUD | 100,000 | 09/16/2020 | 133 | |||||||||||
USD | 641,170 | CAD | 859,152 | 09/16/2020 | 8,225 | |||||||||||
USD | 615,416 | GBP | 494,214 | 07/15/2020 | 2,984 | |||||||||||
USD | 1,137,965 | GBP | 898,716 | 09/16/2020 | 23,860 | |||||||||||
USD | 84,497 | JPY | 9,053,632 | 07/22/2020 | 626 | |||||||||||
USD | 50,903 | NOK | 483,354 | 07/09/2020 | 685 | |||||||||||
USD | 136,896 | SEK | 1,265,708 | 09/16/2020 | 935 | |||||||||||
TOTAL |
| $ | 107,463 |
FORWARD FOREIGN CURRENCY EXCHANGE CONTRACTS WITH UNREALIZED LOSS
Counterparty | Currency Purchased | Currency Sold | Settlement Date | Unrealized Loss | ||||||||||||
Morgan Stanley Co., Inc. | AUD | 845,369 | USD | 590,842 | 09/16/2020 | $ | (7,299 | ) | ||||||||
CAD | 100,620 | USD | 74,331 | 07/16/2020 | (212 | ) | ||||||||||
CAD | 856,528 | USD | 634,000 | 09/16/2020 | (2,988 | ) | ||||||||||
EUR | 238,000 | CHF | 256,650 | 09/16/2020 | (3,658 | ) | ||||||||||
EUR | 324,972 | USD | 369,882 | 09/16/2020 | (4,148 | ) | ||||||||||
GBP | 299,726 | USD | 373,231 | 07/15/2020 | (1,810 | ) | ||||||||||
GBP | 136,559 | USD | 173,448 | 09/16/2020 | (4,161 | ) | ||||||||||
JPY | 11,613,101 | USD | 108,385 | 07/22/2020 | (804 | ) | ||||||||||
JPY | 13,131,154 | USD | 121,838 | 09/16/2020 | (99 | ) | ||||||||||
NOK | 2,489,581 | USD | 267,783 | 09/16/2020 | (9,057 | ) | ||||||||||
NZD | 126,666 | USD | 82,692 | 09/16/2020 | (961 | ) | ||||||||||
SEK | 2,480,317 | EUR | 238,000 | 09/16/2020 | (1,420 | ) | ||||||||||
USD | 104,188 | AUD | 163,475 | 07/15/2020 | (8,635 | ) | ||||||||||
USD | 210,830 | CAD | 300,064 | 07/16/2020 | (10,205 | ) | ||||||||||
USD | 1,027,965 | EUR | 945,654 | 08/12/2020 | (35,472 | ) | ||||||||||
USD | 82,763 | NZD | 128,636 | 09/16/2020 | (239 | ) | ||||||||||
USD | 180,547 | SEK | 1,821,409 | 07/09/2020 | (14,936 | ) | ||||||||||
TOTAL |
| $ | (106,104 | ) |
20 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
ADDITIONAL INVESTMENT INFORMATION (continued)
FUTURES CONTRACTS — At June 30, 2020, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: |
| |||||||||||||||
U.S. Treasury 2 Year Note | 9 | 09/30/2020 | $ | 1,987,383 | $ | 529 | ||||||||||
U.S. Treasury Long Bond | 13 | 09/21/2020 | 2,320,500 | 19,061 | ||||||||||||
U.S. Treasury Ultra Bond | 20 | 09/21/2020 | 4,361,876 | 14,956 | ||||||||||||
Total | $ | 34,546 | ||||||||||||||
Short position contracts: | ||||||||||||||||
U.S. Treasury 5 Year Note | (28) | 09/30/2020 | $ | (3,520,562 | ) | $ | (7,071 | ) | ||||||||
U.S. Treasury 10 Year Note | (4) | 09/21/2020 | (556,563 | ) | (1,342 | ) | ||||||||||
U.S. Treasury 10 Year Ultra Note | (16) | 09/21/2020 | (2,519,000 | ) | (14,609 | ) | ||||||||||
Total | $ | (23,022 | ) | |||||||||||||
Total Futures Contracts |
| $ | 11,524 |
SWAP CONTRACTS — At June 30, 2020, the Fund had the following swap contracts:
CENTRALLY CLEARED CREDIT DEFAULT SWAP CONTRACTS
Reference Obligation/Index | Financing Rate Received (Paid) by the Fund | Credit Spread at June 30, 2020(a) | Termination Date | Notional (000’s) | Value | Upfront Premium Paid | Unrealized Appreciation/ (Depreciation) | |||||||||||||||||||
Protection Sold: | ||||||||||||||||||||||||||
General Electric Co.(b) | 1.000 | % | 1.718 | % | 06/20/2024 | USD | 125 | $ | (3,406 | ) | $ | (1,693 | ) | $ | (1,713 | ) | ||||||||||
General Electric Co.(b) | 1.000 | 1.786 | 12/20/2024 | 50 | (1,664 | ) | (718 | ) | (946 | ) | ||||||||||||||||
Markit CDX North America Investment Grade Index(b) | 1.000 | 0.622 | 06/20/2023 | 1,675 | 19,135 | 21,335 | (2,200 | ) | ||||||||||||||||||
Markit CDX North America Investment Grade Index(b) | 1.000 | 0.755 | 06/20/2025 | 325 | 3,954 | 3,490 | 464 | |||||||||||||||||||
Prudential Financial, Inc.(b) | 1.000 | 0.434 | 06/20/2024 | 75 | 1,703 | 1,007 | 696 | |||||||||||||||||||
Republic of Chile(b) | 1.000 | 0.680 | 06/20/2024 | 20 | 258 | 490 | (232 | ) | ||||||||||||||||||
Republic of Colombia(b) | 1.000 | 1.287 | 06/20/2024 | 210 | (2,302 | ) | 689 | (2,991 | ) | |||||||||||||||||
Republic of Indonesia(b) | 1.000 | 1.074 | 06/20/2024 | 160 | (424 | ) | 518 | (942 | ) | |||||||||||||||||
Republic of Peru(b) | 1.000 | 0.737 | 06/20/2024 | 40 | 426 | 741 | (315 | ) | ||||||||||||||||||
Russian Federation(b) | 1.000 | 1.013 | 12/20/2024 | 30 | (10 | ) | (235 | ) | 225 | |||||||||||||||||
State of Qatar(b) | 1.000 | 0.607 | 06/20/2024 | 20 | 316 | 336 | (20 | ) | ||||||||||||||||||
State of Qatar(b) | 1.000 | 0.678 | 12/20/2024 | 10 | 146 | 193 | (47 | ) | ||||||||||||||||||
United Mexican States(b) | 1.000 | 1.279 | 06/20/2024 | 20 | (213 | ) | (236 | ) | 23 | |||||||||||||||||
TOTAL | $ | 17,919 | $ | 25,917 | $ | (7,998 | ) |
(a) | 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. |
(b) | Payments received quarterly. |
The accompanying notes are an integral part of these financial statements. | 21 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Schedule of Investments (continued)
June 30, 2020 (Unaudited)
ADDITIONAL INVESTMENT INFORMATION (continued)
OVER THE COUNTER CREDIT DEFAULT SWAP CONTRACTS
Reference Obligation/Index(a) | Financing Rate Received (Paid) by the Fund | Credit Spread at June 30, 2020(b) | Counterparty | Termination Date | Notional (000’s) | Value | Upfront (Received) | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Protection Sold: | ||||||||||||||||||||||||||||||
Markit CMBX North American BBB- 11 | 3.000 | 6.522 | Morgan Stanley Co., Inc. | 11/18/2054 | USD 200 | $ | (40,825 | ) | $ | (57,346 | ) | $ | 16,521 |
(a) | Payments received monthly. |
(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. |
CENTRALLY CLEARED INTEREST RATE SWAP CONTRACTS
Payments the Fund | Payments the Fund | Termination Date | Notional Amount (000’s) | Value | Upfront Premium (Received) Paid | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
3 Month BA(a) | 0.500% | 09/16/2023 | CAD | 4,270 | (b) | $ | (13,928 | ) | $ | (17,985 | ) | $ | 4,057 | |||||||||||
0.500%(a) | 3 Month LIBOR | 09/16/2023 | USD | 2,350 | (b) | (19,062 | ) | (14,060 | ) | (5,002 | ) | |||||||||||||
3 Month BA(a) | 0.840 | 06/24/2024 | CAD | 2,290 | (b) | 1,029 | 1,029 | — | ||||||||||||||||
6 Month BBR(a) | 0.553 | 05/16/2025 | AUD | 2,250 | (b) | 435 | (1,370 | ) | 1,805 | |||||||||||||||
(0.307)(c) | 6 Month EURIBOR | 05/18/2025 | EUR | 1,670 | (b) | (1,944 | ) | 1,525 | (3,469 | ) | ||||||||||||||
1 Day SONIA(c) | 0.032 | 06/17/2025 | GBP | 680 | 1,366 | (1,613 | ) | 2,979 | ||||||||||||||||
1 Day SONIA(c) | 0.270 | 06/17/2025 | 830 | 13,918 | 773 | 13,145 | ||||||||||||||||||
1.000(a) | 6 Month LIBOR | 09/16/2025 | 130 | (b) | (6,141 | ) | (6,070 | ) | (71 | ) | ||||||||||||||
6 Month NIBOR(a) | 0.500 | 09/16/2025 | NOK | 1,430 | (b) | (1,284 | ) | (1,398 | ) | 114 | ||||||||||||||
(0.131)(c) | 6 Month EURIBOR | 04/28/2027 | EUR | 210 | (b) | (1,628 | ) | — | (1,628 | ) | ||||||||||||||
6 Month BBR(a) | 1.250 | 09/16/2027 | AUD | 790 | (b) | 22,189 | 21,293 | 896 | ||||||||||||||||
6 Month LIBOR(a) | (0.500) | 09/16/2027 | CHF | 660 | (b) | (8,674 | ) | (4,673 | ) | (4,001 | ) | |||||||||||||
—(c) | 6 Month EURIBOR | 09/16/2027 | EUR | 620 | (b) | (32,576 | ) | (18,420 | ) | (14,156 | ) | |||||||||||||
1.000(a) | 6 Month LIBOR | 09/16/2027 | GBP | 470 | (b) | (28,750 | ) | (23,125 | ) | (5,625 | ) | |||||||||||||
6 Month BBR(a) | 1.000 | 04/26/2028 | AUD | 1,090 | (b) | 1,827 | (3,223 | ) | 5,050 | |||||||||||||||
0.500(a) | 6 Month LIBOR | 03/10/2030 | GBP | 530 | (b) | (580 | ) | 3,401 | (3,981 | ) | ||||||||||||||
0.570(c) | 1 Day SONIA | 03/18/2030 | 250 | (14,353 | ) | 1,047 | (15,400 | ) | ||||||||||||||||
6 Month LIBOR(a) | (0.500) | 06/17/2030 | CHF | 590 | (12,696 | ) | (7,447 | ) | (5,249 | ) | ||||||||||||||
0.308(c) | 1 Day SONIA | 06/17/2030 | GBP | 470 | (11,389 | ) | (3,413 | ) | (7,976 | ) | ||||||||||||||
1.140(a) | 3 Month BA | 06/24/2030 | CAD | 490 | (b) | (541 | ) | (541 | ) | — | ||||||||||||||
6 Month BBR(a) | 1.500 | 09/16/2030 | AUD | 620 | (b) | 24,566 | 17,463 | 7,103 | ||||||||||||||||
0.250(c) | 6 Month EURIBOR | 09/16/2030 | EUR | 580 | (b) | (27,614 | ) | (25,418 | ) | (2,196 | ) | |||||||||||||
1.000(a) | 6 Month LIBOR | 09/16/2030 | GBP | 120 | (b) | (9,332 | ) | (8,674 | ) | (658 | ) | |||||||||||||
6 Month NIBOR(a) | 0.750 | 09/16/2030 | NOK | 1,630 | (b) | (2,702 | ) | (1,911 | ) | (791 | ) | |||||||||||||
0.400(c) | 1 Day SONIA | 06/17/2040 | GBP | 240 | (12,271 | ) | (12,168 | ) | (103 | ) | ||||||||||||||
3 Month BA(a) | 1.750 | 06/17/2050 | CAD | 200 | 14,242 | 7,455 | 6,787 | |||||||||||||||||
0.500(c) | 6 Month EURIBOR | 09/16/2050 | EUR | 30 | (b) | (4,796 | ) | (4,557 | ) | (239 | ) | |||||||||||||
0.750(a) | 3 Month LIBOR | 09/16/2050 | USD | 80 | (b) | 3,885 | 7,167 | (3,282 | ) | |||||||||||||||
TOTAL | $ | (126,804 | ) | $ | (94,913 | ) | $ | (31,891 | ) |
(a) | Payments made semi-annually. |
(b) | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to June 30, 2020. |
(c) | Payments made annually. |
22 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
ADDITIONAL INVESTMENT INFORMATION (continued)
WRITTEN OPTIONS CONTRACTS — At June 30, 2020, the Fund had the following 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) | ||||||||||||||||||||
Written option contracts |
| |||||||||||||||||||||||||||
Calls |
| |||||||||||||||||||||||||||
6M IRS | JPMorgan Chase Bank NA | 0.340 | % | 08/13/2020 | (360,000 | ) | $ | (360,000 | ) | $ | (2,859 | ) | $ | (2,181 | ) | $ | (678 | ) | ||||||||||
6M IRS | (0.350 | ) | 08/13/2020 | (600,000 | ) | (600,000 | ) | (1,423 | ) | (1,581 | ) | 158 | ||||||||||||||||
6M IRS | (0.350 | ) | 09/28/2020 | (810,000 | ) | (810,000 | ) | (2,818 | ) | (1,641 | ) | (1,177 | ) | |||||||||||||||
6M IRS | 0.350 | 10/02/2020 | (320,000 | ) | (320,000 | ) | (4,132 | ) | (3,678 | ) | (454 | ) | ||||||||||||||||
6M IRS | Morgan Stanley Co., Inc. | (0.350 | ) | 08/13/2020 | (600,000 | ) | (600,000 | ) | (1,422 | ) | (1,561 | ) | 139 | |||||||||||||||
6M IRS | 0.350 | 10/02/2020 | (320,000 | ) | (320,000 | ) | (4,132 | ) | (3,551 | ) | (581 | ) | ||||||||||||||||
6M IRS | 0.350 | 10/21/2020 | (340,000 | ) | (340,000 | ) | (4,797 | ) | (3,523 | ) | (1,274 | ) | ||||||||||||||||
6M IRS | UBS AG | (0.256) | 08/27/2020 | (180,000 | ) | (180,000 | ) | (642 | ) | (2,901 | ) | 2,259 | ||||||||||||||||
Total calls | (3,530,000 | ) | $ | (22,225 | ) | $ | (20,617 | ) | $ | (1,608 | ) | |||||||||||||||||
Puts |
| |||||||||||||||||||||||||||
6M IRS | JPMorgan Chase Bank NA | (0.150)% | 09/28/2020 | (810,000 | ) | (810,000 | ) | $ | (660 | ) | $ | (1,576 | ) | $ | 916 | |||||||||||||
Total written option contracts | (4,340,000 | ) | $ | (22,885 | ) | $ | (22,193 | ) | $ | (692 | ) |
The accompanying notes are an integral part of these financial statements. | 23 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
Schedule of Investments
June 30, 2020 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 99.1% | ||||||||
Automobiles & Components – 0.3% | ||||||||
1,602 | Aptiv plc | $ | 124,828 | |||||
1,252 | BorgWarner, Inc. | 44,196 | ||||||
24,607 | Ford Motor Co. | 149,610 | ||||||
7,862 | General Motors Co. | 198,909 | ||||||
|
| |||||||
517,543 | ||||||||
|
| |||||||
Banks – 3.6% | ||||||||
48,980 | Bank of America Corp. | 1,163,275 | ||||||
13,059 | Citigroup, Inc. | 667,315 | ||||||
2,802 | Citizens Financial Group, Inc. | 70,723 | ||||||
924 | Comerica, Inc. | 35,204 | ||||||
4,330 | Fifth Third Bancorp | 83,482 | ||||||
1,075 | First Republic Bank | 113,939 | ||||||
6,651 | Huntington Bancshares, Inc. | 60,092 | ||||||
19,114 | JPMorgan Chase & Co. | 1,797,863 | ||||||
6,002 | KeyCorp | 73,104 | ||||||
809 | M&T Bank Corp. | 84,112 | ||||||
2,606 | People’s United Financial, Inc. | 30,152 | ||||||
2,630 | PNC Financial Services Group, Inc. (The) | 276,702 | ||||||
6,181 | Regions Financial Corp. | 68,733 | ||||||
314 | SVB Financial Group* | 67,676 | ||||||
8,402 | Truist Financial Corp. | 315,495 | ||||||
8,506 | US Bancorp | 313,191 | ||||||
23,237 | Wells Fargo & Co. | 594,867 | ||||||
1,140 | Zions Bancorp NA | 38,760 | ||||||
|
| |||||||
5,854,685 | ||||||||
|
| |||||||
Capital Goods – 5.5% | ||||||||
3,577 | 3M Co. | 557,976 | ||||||
835 | A O Smith Corp. | 39,345 | ||||||
564 | Allegion plc | 57,652 | ||||||
1,444 | AMETEK, Inc. | 129,050 | ||||||
3,345 | Boeing Co. (The) | 613,139 | ||||||
4,980 | Carrier Global Corp. | 110,656 | ||||||
3,365 | Caterpillar, Inc. | 425,673 | ||||||
964 | Cummins, Inc. | 167,023 | ||||||
1,951 | Deere & Co. | 306,600 | ||||||
910 | Dover Corp. | 87,870 | ||||||
2,572 | Eaton Corp. plc | 224,999 | ||||||
3,781 | Emerson Electric Co. | 234,535 | ||||||
3,524 | Fastenal Co. | 150,968 | ||||||
906 | Flowserve Corp. | 25,839 | ||||||
1,860 | Fortive Corp. | 125,848 | ||||||
837 | Fortune Brands Home & Security, Inc. | 53,509 | ||||||
1,448 | General Dynamics Corp. | 216,418 | ||||||
54,224 | General Electric Co. | 370,350 | ||||||
4,371 | Honeywell International, Inc. | 632,003 | ||||||
2,514 | Howmet Aerospace, Inc. | 39,847 | ||||||
261 | Huntington Ingalls Industries, Inc. | 45,542 | ||||||
484 | IDEX Corp. | 76,491 | ||||||
1,827 | Illinois Tool Works, Inc. | 319,451 | ||||||
2,107 | Ingersoll Rand, Inc.* | 59,249 | ||||||
847 | Jacobs Engineering Group, Inc. | 71,826 | ||||||
4,766 | Johnson Controls International plc | 162,711 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Capital Goods – (continued) | ||||||||
1,369 | L3Harris Technologies, Inc. | 232,278 | ||||||
1,544 | Lockheed Martin Corp. | 563,437 | ||||||
1,768 | Masco Corp. | 88,771 | ||||||
986 | Northrop Grumman Corp. | 303,136 | ||||||
2,507 | Otis Worldwide Corp. | 142,548 | ||||||
2,138 | PACCAR, Inc. | 160,029 | ||||||
810 | Parker-Hannifin Corp. | 148,449 | ||||||
1,073 | Pentair plc | 40,763 | ||||||
867 | Quanta Services, Inc. | 34,012 | ||||||
9,131 | Raytheon Technologies Corp. | 562,652 | ||||||
714 | Rockwell Automation, Inc. | 152,082 | ||||||
655 | Roper Technologies, Inc. | 254,310 | ||||||
355 | Snap-on, Inc. | 49,171 | ||||||
947 | Stanley Black & Decker, Inc. | 131,993 | ||||||
230 | Teledyne Technologies, Inc.* | 71,519 | ||||||
1,449 | Textron, Inc. | 47,687 | ||||||
1,499 | Trane Technologies plc | 133,381 | ||||||
307 | TransDigm Group, Inc. | 135,709 | ||||||
458 | United Rentals, Inc.* | 68,260 | ||||||
1,158 | Westinghouse Air Brake Technologies Corp. | 66,666 | ||||||
265 | WW Grainger, Inc. | 83,252 | ||||||
1,098 | Xylem, Inc. | 71,326 | ||||||
|
| |||||||
8,846,001 | ||||||||
|
| |||||||
Commercial & Professional Services – 0.7% | ||||||||
519 | Cintas Corp. | 138,241 | ||||||
1,260 | Copart, Inc.* | 104,920 | ||||||
755 | Equifax, Inc. | 129,770 | ||||||
2,490 | IHS Markit Ltd. | 187,995 | ||||||
2,234 | Nielsen Holdings plc | 33,197 | ||||||
1,344 | Republic Services, Inc. | 110,275 | ||||||
697 | Robert Half International, Inc. | 36,823 | ||||||
882 | Rollins, Inc. | 37,388 | ||||||
1,021 | Verisk Analytics, Inc. | 173,774 | ||||||
2,455 | Waste Management, Inc. | 260,009 | ||||||
|
| |||||||
1,212,392 | ||||||||
|
| |||||||
Consumer Durables & Apparel – 1.0% | ||||||||
2,097 | DR Horton, Inc. | 116,279 | ||||||
907 | Garmin Ltd. | 88,432 | ||||||
2,220 | Hanesbrands, Inc. | 25,064 | ||||||
815 | Hasbro, Inc. | 61,084 | ||||||
759 | Leggett & Platt, Inc. | 26,679 | ||||||
1,720 | Lennar Corp. Class A | 105,986 | ||||||
373 | Mohawk Industries, Inc.* | 37,956 | ||||||
2,316 | Newell Brands, Inc. | 36,778 | ||||||
7,755 | NIKE, Inc. Class B | 760,378 | ||||||
21 | NVR, Inc.* | 68,434 | ||||||
1,535 | PulteGroup, Inc. | 52,236 | ||||||
425 | PVH Corp. | 20,421 | ||||||
305 | Ralph Lauren Corp. | 22,119 | ||||||
1,605 | Tapestry, Inc. | 21,314 | ||||||
1,254 | Under Armour, Inc. Class A* | 12,214 | ||||||
1,232 | Under Armour, Inc. Class C* | 10,891 | ||||||
|
|
24 | 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) | ||||||||
Consumer Durables & Apparel – (continued) | ||||||||
2,021 | VF Corp. | $ | 123,160 | |||||
377 | Whirlpool Corp. | 48,833 | ||||||
|
| |||||||
1,638,258 | ||||||||
|
| |||||||
Consumer Services – 1.5% | ||||||||
2,610 | Carnival Corp.(a) | 42,856 | ||||||
161 | Chipotle Mexican Grill, Inc.* | 169,430 | ||||||
816 | Darden Restaurants, Inc. | 61,828 | ||||||
244 | Domino’s Pizza, Inc. | 90,143 | ||||||
1,374 | H&R Block, Inc. | 19,621 | ||||||
1,780 | Hilton Worldwide Holdings, Inc. | 130,741 | ||||||
2,092 | Las Vegas Sands Corp. | 95,270 | ||||||
1,706 | Marriott International, Inc. Class A | 146,255 | ||||||
4,691 | McDonald’s Corp. | 865,349 | ||||||
3,305 | MGM Resorts International | 55,524 | ||||||
1,370 | Norwegian Cruise Line Holdings Ltd.*(a) | 22,509 | ||||||
1,024 | Royal Caribbean Cruises Ltd. | 51,507 | ||||||
7,345 | Starbucks Corp. | 540,518 | ||||||
632 | Wynn Resorts Ltd. | 47,078 | ||||||
1,916 | Yum! Brands, Inc. | 166,520 | ||||||
|
| |||||||
2,505,149 | ||||||||
|
| |||||||
Diversified Financials – 4.5% | ||||||||
4,168 | American Express Co. | 396,794 | ||||||
779 | Ameriprise Financial, Inc. | 116,881 | ||||||
5,233 | Bank of New York Mellon Corp. (The) | 202,255 | ||||||
12,142 | Berkshire Hathaway, Inc. Class B* | 2,167,468 | ||||||
955 | BlackRock, Inc. | 519,606 | ||||||
2,887 | Capital One Financial Corp. | 180,697 | ||||||
686 | Cboe Global Markets, Inc. | 63,990 | ||||||
7,108 | Charles Schwab Corp. (The) | 239,824 | ||||||
2,225 | CME Group, Inc. | 361,652 | ||||||
1,916 | Discover Financial Services | 95,972 | ||||||
1,376 | E*TRADE Financial Corp. | 68,428 | ||||||
1,640 | Franklin Resources, Inc. | 34,391 | ||||||
1,923 | Goldman Sachs Group, Inc. (The)(b) | 380,023 | ||||||
3,494 | Intercontinental Exchange, Inc. | 320,050 | ||||||
2,323 | Invesco Ltd. | 24,995 | ||||||
236 | MarketAxess Holdings, Inc. | 118,217 | ||||||
1,013 | Moody’s Corp. | 278,302 | ||||||
7,317 | Morgan Stanley | 353,411 | ||||||
530 | MSCI, Inc. | 176,925 | ||||||
736 | Nasdaq, Inc. | 87,930 | ||||||
1,322 | Northern Trust Corp. | 104,888 | ||||||
783 | Raymond James Financial, Inc. | 53,894 | ||||||
1,499 | S&P Global, Inc. | 493,891 | ||||||
2,299 | State Street Corp. | 146,101 | ||||||
3,605 | Synchrony Financial | 79,887 | ||||||
1,463 | T. Rowe Price Group, Inc. | 180,681 | ||||||
|
| |||||||
7,247,153 | ||||||||
|
| |||||||
Energy – 2.8% | ||||||||
2,202 | Apache Corp. | 29,727 | ||||||
3,974 | Baker Hughes Co. | 61,160 | ||||||
2,498 | Cabot Oil & Gas Corp. | 42,916 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Energy – (continued) | ||||||||
11,646 | Chevron Corp. | 1,039,173 | ||||||
1,274 | Concho Resources, Inc. | 65,611 | ||||||
6,877 | ConocoPhillips | 288,971 | ||||||
2,477 | Devon Energy Corp. | 28,089 | ||||||
1,051 | Diamondback Energy, Inc. | 43,953 | ||||||
3,615 | EOG Resources, Inc. | 183,136 | ||||||
26,379 | Exxon Mobil Corp. | 1,179,669 | ||||||
5,330 | Halliburton Co. | 69,183 | ||||||
1,591 | Hess Corp. | 82,430 | ||||||
857 | HollyFrontier Corp. | 25,024 | ||||||
12,111 | Kinder Morgan, Inc. | 183,724 | ||||||
5,156 | Marathon Oil Corp. | 31,555 | ||||||
4,082 | Marathon Petroleum Corp. | 152,585 | ||||||
2,489 | National Oilwell Varco, Inc. | 30,490 | ||||||
3,064 | Noble Energy, Inc. | 27,453 | ||||||
5,523 | Occidental Petroleum Corp. | 101,071 | ||||||
2,537 | ONEOK, Inc. | 84,279 | ||||||
2,766 | Phillips 66 | 198,875 | ||||||
1,024 | Pioneer Natural Resources Co. | 100,045 | ||||||
8,680 | Schlumberger Ltd. | 159,625 | ||||||
2,374 | TechnipFMC plc | 16,238 | ||||||
2,557 | Valero Energy Corp. | 150,403 | ||||||
7,687 | Williams Cos., Inc. (The) | 146,207 | ||||||
|
| |||||||
4,521,592 | ||||||||
|
| |||||||
Food & Staples Retailing – 1.5% | ||||||||
2,751 | Costco Wholesale Corp. | 834,131 | ||||||
5,012 | Kroger Co. (The) | 169,656 | ||||||
3,228 | Sysco Corp. | 176,443 | ||||||
4,695 | Walgreens Boots Alliance, Inc. | 199,021 | ||||||
8,840 | Walmart, Inc. | 1,058,855 | ||||||
|
| |||||||
2,438,106 | ||||||||
|
| |||||||
Food, Beverage & Tobacco – 3.5% | ||||||||
11,698 | Altria Group, Inc. | 459,147 | ||||||
3,494 | Archer-Daniels-Midland Co. | 139,411 | ||||||
1,137 | Brown-Forman Corp. Class B | 72,381 | ||||||
1,096 | Campbell Soup Co. | 54,394 | ||||||
24,034 | Coca-Cola Co. (The) | 1,073,839 | ||||||
3,032 | Conagra Brands, Inc. | 106,635 | ||||||
1,047 | Constellation Brands, Inc. Class A | 183,173 | ||||||
3,743 | General Mills, Inc. | 230,756 | ||||||
944 | Hershey Co. (The) | 122,361 | ||||||
1,732 | Hormel Foods Corp. | 83,604 | ||||||
709 | J M Smucker Co. (The) | 75,019 | ||||||
1,529 | Kellogg Co. | 101,006 | ||||||
3,869 | Kraft Heinz Co. (The) | 123,382 | ||||||
900 | Lamb Weston Holdings, Inc. | 57,537 | ||||||
765 | McCormick & Co., Inc. (Non-Voting) | 137,249 | ||||||
1,182 | Molson Coors Beverage Co. Class B | 40,614 | ||||||
8,948 | Mondelez International, Inc. Class A | 457,511 | ||||||
2,398 | Monster Beverage Corp.* | 166,229 | ||||||
8,691 | PepsiCo, Inc. | 1,149,472 | ||||||
9,739 | Philip Morris International, Inc. | 682,314 | ||||||
1,880 | Tyson Foods, Inc. Class A | 112,255 | ||||||
|
| |||||||
5,628,289 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 25 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
Schedule of Investments (continued)
June 30, 2020 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Health Care Equipment & Services – 6.6% | ||||||||
11,012 | Abbott Laboratories | $ | 1,006,827 | |||||
284 | ABIOMED, Inc.* | 68,603 | ||||||
451 | Align Technology, Inc.* | 123,772 | ||||||
949 | AmerisourceBergen Corp. | 95,631 | ||||||
1,581 | Anthem, Inc. | 415,771 | ||||||
3,200 | Baxter International, Inc. | 275,520 | ||||||
1,832 | Becton Dickinson and Co. | 438,343 | ||||||
8,672 | Boston Scientific Corp.* | 304,474 | ||||||
1,871 | Cardinal Health, Inc. | 97,647 | ||||||
3,671 | Centene Corp.* | 233,292 | ||||||
1,968 | Cerner Corp. | 134,906 | ||||||
2,321 | Cigna Corp. | 435,536 | ||||||
305 | Cooper Cos., Inc. (The) | 86,510 | ||||||
8,134 | CVS Health Corp. | 528,466 | ||||||
3,916 | Danaher Corp. | 692,466 | ||||||
573 | DaVita, Inc.* | 45,347 | ||||||
1,431 | Dentsply Sirona, Inc. | 63,050 | ||||||
565 | DexCom, Inc.* | 229,051 | ||||||
3,889 | Edwards Lifesciences Corp.* | 268,769 | ||||||
1,640 | HCA Healthcare, Inc. | 159,178 | ||||||
936 | Henry Schein, Inc.* | 54,653 | ||||||
1,720 | Hologic, Inc.* | 98,040 | ||||||
826 | Humana, Inc. | 320,282 | ||||||
528 | IDEXX Laboratories, Inc.* | 174,324 | ||||||
718 | Intuitive Surgical, Inc.* | 409,138 | ||||||
607 | Laboratory Corp. of America Holdings* | 100,829 | ||||||
997 | McKesson Corp. | 152,960 | ||||||
8,347 | Medtronic plc | 765,420 | ||||||
836 | Quest Diagnostics, Inc. | 95,271 | ||||||
891 | ResMed, Inc. | 171,072 | ||||||
532 | STERIS plc | 81,630 | ||||||
1,999 | Stryker Corp. | 360,200 | ||||||
284 | Teleflex, Inc. | 103,370 | ||||||
5,910 | UnitedHealth Group, Inc. | 1,743,155 | ||||||
516 | Universal Health Services, Inc. Class B | 47,931 | ||||||
582 | Varian Medical Systems, Inc.* | 71,307 | ||||||
465 | West Pharmaceutical Services, Inc. | 105,634 | ||||||
1,275 | Zimmer Biomet Holdings, Inc. | 152,184 | ||||||
|
| |||||||
10,710,559 | ||||||||
|
| |||||||
Household & Personal Products – 1.9% | ||||||||
1,523 | Church & Dwight Co., Inc. | 117,728 | ||||||
785 | Clorox Co. (The) | 172,206 | ||||||
5,323 | Colgate-Palmolive Co. | 389,963 | ||||||
1,935 | Coty, Inc. Class A | 8,649 | ||||||
1,378 | Estee Lauder Cos., Inc. (The) Class A | 260,001 | ||||||
2,155 | Kimberly-Clark Corp. | 304,609 | ||||||
15,459 | Procter & Gamble Co. (The) | 1,848,433 | ||||||
|
| |||||||
3,101,589 | ||||||||
|
| |||||||
Insurance – 1.9% | ||||||||
4,535 | Aflac, Inc. | 163,396 | ||||||
2,007 | Allstate Corp. (The) | 194,659 | ||||||
5,384 | American International Group, Inc. | 167,873 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Insurance – (continued) | ||||||||
1,462 | Aon plc Class A | 281,581 | ||||||
1,153 | Arthur J Gallagher & Co. | 112,406 | ||||||
365 | Assurant, Inc. | 37,701 | ||||||
2,841 | Chubb Ltd. | 359,727 | ||||||
949 | Cincinnati Financial Corp. | 60,764 | ||||||
255 | Everest Re Group Ltd. | 52,581 | ||||||
610 | Globe Life, Inc. | 45,280 | ||||||
2,259 | Hartford Financial Services Group, Inc. (The) | 87,084 | ||||||
1,297 | Lincoln National Corp. | 47,717 | ||||||
1,567 | Loews Corp. | 53,732 | ||||||
3,167 | Marsh & McLennan Cos., Inc. | 340,041 | ||||||
4,838 | MetLife, Inc. | 176,684 | ||||||
1,588 | Principal Financial Group, Inc. | 65,966 | ||||||
3,634 | Progressive Corp. (The) | 291,120 | ||||||
2,542 | Prudential Financial, Inc. | 154,808 | ||||||
1,625 | Travelers Cos., Inc. (The) | 185,331 | ||||||
1,272 | Unum Group | 21,103 | ||||||
869 | W R Berkley Corp. | 49,785 | ||||||
810 | Willis Towers Watson plc | 159,530 | ||||||
|
| |||||||
3,108,869 | ||||||||
|
| |||||||
Materials – 2.5% | ||||||||
1,386 | Air Products and Chemicals, Inc. | 334,663 | ||||||
665 | Albemarle Corp. | 51,345 | ||||||
10,251 | Amcor plc | 104,663 | ||||||
524 | Avery Dennison Corp. | 59,783 | ||||||
2,057 | Ball Corp. | 142,941 | ||||||
782 | Celanese Corp. | 67,518 | ||||||
1,406 | CF Industries Holdings, Inc. | 39,565 | ||||||
4,683 | Corteva, Inc. | 125,457 | ||||||
4,586 | Dow, Inc. | 186,925 | ||||||
4,614 | DuPont de Nemours, Inc. | 245,142 | ||||||
827 | Eastman Chemical Co. | 57,592 | ||||||
1,586 | Ecolab, Inc. | 315,535 | ||||||
785 | FMC Corp. | 78,202 | ||||||
9,047 | Freeport-McMoRan, Inc. | 104,674 | ||||||
657 | International Flavors & Fragrances, Inc.(a) | 80,456 | ||||||
2,457 | International Paper Co. | 86,511 | ||||||
3,272 | Linde plc | 694,024 | ||||||
1,576 | LyondellBasell Industries NV Class A | 103,575 | ||||||
397 | Martin Marietta Materials, Inc. | 82,008 | ||||||
2,307 | Mosaic Co. (The) | 28,860 | ||||||
4,978 | Newmont Corp. | 307,342 | ||||||
1,874 | Nucor Corp. | 77,602 | ||||||
592 | Packaging Corp. of America | 59,082 | ||||||
1,459 | PPG Industries, Inc. | 154,741 | ||||||
908 | Sealed Air Corp. | 29,828 | ||||||
517 | Sherwin-Williams Co. (The) | 298,748 | ||||||
835 | Vulcan Materials Co. | 96,735 | ||||||
1,664 | WestRock Co. | 47,025 | ||||||
|
| |||||||
4,060,542 | ||||||||
|
|
26 | 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) | ||||||||
Media & Entertainment – 8.7% | ||||||||
4,770 | Activision Blizzard, Inc. | $ | 362,043 | |||||
1,874 | Alphabet, Inc. Class A* | 2,657,426 | ||||||
1,827 | Alphabet, Inc. Class C* | 2,582,665 | ||||||
938 | Charter Communications, Inc. Class A* | 478,418 | ||||||
28,296 | Comcast Corp. Class A | 1,102,978 | ||||||
981 | Discovery, Inc. Class A* | 20,699 | ||||||
1,991 | Discovery, Inc. Class C* | 38,347 | ||||||
1,530 | DISH Network Corp. Class A* | 52,800 | ||||||
1,804 | Electronic Arts, Inc.* | 238,218 | ||||||
15,024 | Facebook, Inc. Class A* | 3,411,500 | ||||||
2,262 | Fox Corp. Class A | 60,667 | ||||||
935 | Fox Corp. Class B | 25,095 | ||||||
2,371 | Interpublic Group of Cos., Inc. (The) | 40,686 | ||||||
839 | Live Nation Entertainment, Inc.* | 37,193 | ||||||
2,732 | Netflix, Inc.* | 1,243,169 | ||||||
2,320 | News Corp. Class A | 27,515 | ||||||
566 | News Corp. Class B | 6,764 | ||||||
1,326 | Omnicom Group, Inc. | 72,400 | ||||||
723 | Take-Two Interactive Software, Inc.* | 100,909 | ||||||
4,826 | Twitter, Inc.* | 143,767 | ||||||
3,303 | ViacomCBS, Inc. | 77,026 | ||||||
11,238 | Walt Disney Co. (The) | 1,253,149 | ||||||
|
| |||||||
14,033,434 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences – 7.9% | ||||||||
10,987 | AbbVie, Inc. | 1,078,704 | ||||||
1,927 | Agilent Technologies, Inc. | 170,289 | ||||||
1,367 | Alexion Pharmaceuticals, Inc.* | 153,432 | ||||||
3,700 | Amgen, Inc. | 872,682 | ||||||
1,024 | Biogen, Inc.* | 273,971 | ||||||
134 | Bio-Rad Laboratories, Inc. Class A* | 60,500 | ||||||
14,194 | Bristol-Myers Squibb Co. | 834,607 | ||||||
5,261 | Eli Lilly and Co. | 863,751 | ||||||
7,914 | Gilead Sciences, Inc. | 608,903 | ||||||
917 | Illumina, Inc.* | 339,611 | ||||||
1,118 | Incyte Corp.* | 116,239 | ||||||
1,114 | IQVIA Holdings, Inc.* | 158,054 | ||||||
16,527 | Johnson & Johnson | 2,324,192 | ||||||
15,857 | Merck & Co., Inc. | 1,226,222 | ||||||
152 | Mettler-Toledo International, Inc.* | 122,444 | ||||||
3,305 | Mylan NV* | 53,144 | ||||||
711 | PerkinElmer, Inc. | 69,742 | ||||||
823 | Perrigo Co. plc | 45,487 | ||||||
34,466 | Pfizer, Inc. | 1,127,038 | ||||||
633 | Regeneron Pharmaceuticals, Inc.* | 394,770 | ||||||
2,463 | Thermo Fisher Scientific, Inc. | 892,443 | ||||||
1,609 | Vertex Pharmaceuticals, Inc.* | 467,109 | ||||||
414 | Waters Corp.* | 74,686 | ||||||
2,980 | Zoetis, Inc. | 408,379 | ||||||
|
| |||||||
12,736,399 | ||||||||
|
| |||||||
Real Estate – 2.8% | ||||||||
781 | Alexandria Real Estate Equities, Inc. (REIT) | 126,717 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Real Estate – (continued) | ||||||||
2,767 | American Tower Corp. (REIT) | 715,380 | ||||||
990 | Apartment Investment and Management Co. Class A (REIT) | 37,264 | ||||||
879 | AvalonBay Communities, Inc. (REIT) | 135,929 | ||||||
917 | Boston Properties, Inc. (REIT) | 82,879 | ||||||
2,126 | CBRE Group, Inc. Class A* | 96,138 | ||||||
2,583 | Crown Castle International Corp. (REIT) | 432,265 | ||||||
1,638 | Digital Realty Trust, Inc. (REIT) | 232,776 | ||||||
2,283 | Duke Realty Corp. (REIT) | 80,795 | ||||||
542 | Equinix, Inc. (REIT) | 380,647 | ||||||
2,192 | Equity Residential (REIT) | 128,933 | ||||||
422 | Essex Property Trust, Inc. (REIT) | 96,710 | ||||||
821 | Extra Space Storage, Inc. (REIT) | 75,836 | ||||||
456 | Federal Realty Investment Trust (REIT) | 38,856 | ||||||
3,015 | Healthpeak Properties, Inc. (REIT) | 83,093 | ||||||
4,466 | Host Hotels & Resorts, Inc. (REIT) | 48,188 | ||||||
1,759 | Iron Mountain, Inc. (REIT) | 45,910 | ||||||
2,698 | Kimco Realty Corp. (REIT) | 34,642 | ||||||
708 | Mid-America Apartment Communities, Inc. (REIT) | 81,186 | ||||||
4,601 | Prologis, Inc. (REIT) | 429,411 | ||||||
937 | Public Storage (REIT) | 179,801 | ||||||
2,120 | Realty Income Corp. (REIT) | 126,140 | ||||||
1,101 | Regency Centers Corp. (REIT) | 50,525 | ||||||
695 | SBA Communications Corp. (REIT) | 207,054 | ||||||
1,912 | Simon Property Group, Inc. (REIT) | 130,743 | ||||||
531 | SL Green Realty Corp. (REIT) | 26,173 | ||||||
1,805 | UDR, Inc. (REIT) | 67,471 | ||||||
2,299 | Ventas, Inc. (REIT) | 84,189 | ||||||
1,036 | Vornado Realty Trust (REIT) | 39,586 | ||||||
2,538 | Welltower, Inc. (REIT) | 131,342 | ||||||
4,766 | Weyerhaeuser Co. (REIT) | 107,044 | ||||||
|
| |||||||
4,533,623 | ||||||||
|
| |||||||
Retailing – 7.9% | ||||||||
433 | Advance Auto Parts, Inc. | 61,681 | ||||||
2,619 | Amazon.com, Inc.* | 7,225,350 | ||||||
151 | AutoZone, Inc.* | 170,346 | ||||||
1,419 | Best Buy Co., Inc. | 123,836 | ||||||
254 | Booking Holdings, Inc.* | 404,454 | ||||||
1,005 | CarMax, Inc.* | 89,998 | ||||||
1,577 | Dollar General Corp. | 300,434 | ||||||
1,458 | Dollar Tree, Inc.* | 135,127 | ||||||
4,143 | eBay, Inc. | 217,300 | ||||||
896 | Expedia Group, Inc. | 73,651 | ||||||
1,458 | Gap, Inc. (The) | 18,400 | ||||||
888 | Genuine Parts Co. | 77,220 | ||||||
6,715 | Home Depot, Inc. (The) | 1,682,175 | ||||||
1,057 | Kohl’s Corp. | 21,954 | ||||||
1,575 | L Brands, Inc. | 23,578 | ||||||
1,999 | LKQ Corp.* | 52,374 | ||||||
4,768 | Lowe’s Cos., Inc. | 644,252 | ||||||
468 | O’Reilly Automotive, Inc.* | 197,342 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 27 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
Schedule of Investments (continued)
June 30, 2020 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Retailing – (continued) | ||||||||
2,247 | Ross Stores, Inc. | $ | 191,534 | |||||
3,144 | Target Corp. | 377,060 | ||||||
672 | Tiffany & Co. | 81,944 | ||||||
7,529 | TJX Cos., Inc. (The) | 380,666 | ||||||
727 | Tractor Supply Co. | 95,811 | ||||||
356 | Ulta Beauty, Inc.* | 72,418 | ||||||
|
| |||||||
12,718,905 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 4.8% | ||||||||
7,322 | Advanced Micro Devices, Inc.* | 385,210 | ||||||
2,283 | Analog Devices, Inc. | 279,987 | ||||||
5,774 | Applied Materials, Inc. | 349,038 | ||||||
2,469 | Broadcom, Inc. | 779,241 | ||||||
26,560 | Intel Corp. | 1,589,085 | ||||||
994 | KLA Corp. | 193,313 | ||||||
905 | Lam Research Corp. | 292,731 | ||||||
1,713 | Maxim Integrated Products, Inc. | 103,825 | ||||||
1,506 | Microchip Technology, Inc. | 158,597 | ||||||
6,893 | Micron Technology, Inc.* | 355,127 | ||||||
3,859 | NVIDIA Corp. | 1,466,073 | ||||||
713 | Qorvo, Inc.* | 78,808 | ||||||
7,105 | QUALCOMM, Inc. | 648,047 | ||||||
1,061 | Skyworks Solutions, Inc. | 135,660 | ||||||
5,719 | Texas Instruments, Inc. | 726,141 | ||||||
1,550 | Xilinx, Inc. | 152,505 | ||||||
|
| |||||||
7,693,388 | ||||||||
|
| |||||||
Software & Services – 15.0% | ||||||||
3,953 | Accenture plc Class A | 848,788 | ||||||
3,018 | Adobe, Inc.* | 1,313,766 | ||||||
994 | Akamai Technologies, Inc.* | 106,447 | ||||||
534 | ANSYS, Inc.* | 155,784 | ||||||
1,372 | Autodesk, Inc.* | 328,169 | ||||||
2,687 | Automatic Data Processing, Inc. | 400,067 | ||||||
702 | Broadridge Financial Solutions, Inc. | 88,585 | ||||||
1,745 | Cadence Design Systems, Inc.* | 167,450 | ||||||
728 | Citrix Systems, Inc. | 107,678 | ||||||
3,403 | Cognizant Technology Solutions Corp. Class A | 193,358 | ||||||
1,690 | DXC Technology Co. | 27,885 | ||||||
3,852 | Fidelity National Information Services, Inc. | 516,515 | ||||||
3,573 | Fiserv, Inc.* | 348,796 | ||||||
548 | FleetCor Technologies, Inc.* | 137,838 | ||||||
882 | Fortinet, Inc.* | 121,072 | ||||||
569 | Gartner, Inc.* | 69,037 | ||||||
1,866 | Global Payments, Inc. | 316,511 | ||||||
5,532 | International Business Machines Corp. | 668,100 | ||||||
1,631 | Intuit, Inc. | 483,086 | ||||||
486 | Jack Henry & Associates, Inc. | 89,439 | ||||||
834 | Leidos Holdings, Inc. | 78,121 | ||||||
5,537 | Mastercard, Inc. Class A | 1,637,291 | ||||||
47,403 | Microsoft Corp. | 9,646,985 | ||||||
3,543 | NortonLifeLock, Inc. | 70,258 | ||||||
13,056 | Oracle Corp. | 721,605 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Software & Services – (continued) | ||||||||
1,970 | Paychex, Inc. | 149,228 | ||||||
302 | Paycom Software, Inc.* | 93,538 | ||||||
7,319 | PayPal Holdings, Inc.* | 1,275,189 | ||||||
5,652 | salesforce.com, Inc.* | 1,058,789 | ||||||
1,181 | ServiceNow, Inc.* | 478,376 | ||||||
931 | Synopsys, Inc.* | 181,545 | ||||||
249 | Tyler Technologies, Inc.* | 86,373 | ||||||
638 | VeriSign, Inc.* | 131,958 | ||||||
10,583 | Visa, Inc. Class A | 2,044,318 | ||||||
2,511 | Western Union Co. (The) | 54,288 | ||||||
|
| |||||||
24,196,233 | ||||||||
|
| |||||||
Technology Hardware & Equipment – 7.5% | ||||||||
1,833 | Amphenol Corp. Class A | 175,620 | ||||||
25,468 | Apple, Inc. | 9,290,726 | ||||||
341 | Arista Networks, Inc.* | 71,620 | ||||||
891 | CDW Corp. | 103,516 | ||||||
26,445 | Cisco Systems, Inc. | 1,233,395 | ||||||
4,727 | Corning, Inc. | 122,429 | ||||||
368 | F5 Networks, Inc.* | 51,329 | ||||||
802 | FLIR Systems, Inc. | 32,537 | ||||||
8,207 | Hewlett Packard Enterprise Co. | 79,854 | ||||||
9,300 | HP, Inc. | 162,099 | ||||||
209 | IPG Photonics Corp.* | 33,522 | ||||||
2,099 | Juniper Networks, Inc. | 47,983 | ||||||
1,165 | Keysight Technologies, Inc.* | 117,409 | ||||||
1,061 | Motorola Solutions, Inc. | 148,678 | ||||||
1,453 | NetApp, Inc. | 64,470 | ||||||
1,454 | Seagate Technology plc | 70,388 | ||||||
2,099 | TE Connectivity Ltd. | 171,173 | ||||||
1,914 | Western Digital Corp. | 84,503 | ||||||
1,161 | Xerox Holdings Corp. | 17,752 | ||||||
336 | Zebra Technologies Corp. Class A* | 85,999 | ||||||
|
| |||||||
12,165,002 | ||||||||
|
| |||||||
Telecommunication Services – 2.0% | ||||||||
44,695 | AT&T, Inc. | 1,351,130 | ||||||
6,293 | CenturyLink, Inc. | 63,119 | ||||||
3,448 | T-Mobile US, Inc.* | 359,109 | ||||||
25,764 | Verizon Communications, Inc. | 1,420,369 | ||||||
|
| |||||||
3,193,727 | ||||||||
|
| |||||||
Transportation – 1.7% | ||||||||
699 | Alaska Air Group, Inc. | 25,346 | ||||||
2,591 | American Airlines Group, Inc.(a) | 33,864 | ||||||
843 | CH Robinson Worldwide, Inc. | 66,648 | ||||||
4,877 | CSX Corp. | 340,122 | ||||||
3,561 | Delta Air Lines, Inc. | 99,886 | ||||||
1,055 | Expeditors International of Washington, Inc. | 80,222 | ||||||
1,515 | FedEx Corp. | 212,433 | ||||||
518 | JB Hunt Transport Services, Inc. | 62,336 | ||||||
624 | Kansas City Southern | 93,157 | ||||||
1,622 | Norfolk Southern Corp. | 284,775 | ||||||
601 | Old Dominion Freight Line, Inc. | 101,924 | ||||||
|
|
28 | 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) | ||||||||
Transportation – (continued) | ||||||||
3,099 | Southwest Airlines Co. | $ | 105,924 | |||||
4,228 | Union Pacific Corp. | 714,828 | ||||||
1,448 | United Airlines Holdings, Inc.* | 50,115 | ||||||
4,384 | United Parcel Service, Inc. Class B | 487,413 | ||||||
|
| |||||||
2,758,993 | ||||||||
|
| |||||||
Utilities – 3.0% | ||||||||
4,243 | AES Corp. (The) | 61,481 | ||||||
1,551 | Alliant Energy Corp. | 74,200 | ||||||
1,555 | Ameren Corp. | 109,410 | ||||||
3,056 | American Electric Power Co., Inc. | 243,380 | ||||||
1,123 | American Water Works Co., Inc. | 144,485 | ||||||
741 | Atmos Energy Corp. | 73,789 | ||||||
3,042 | CenterPoint Energy, Inc. | 56,794 | ||||||
1,809 | CMS Energy Corp. | 105,682 | ||||||
2,052 | Consolidated Edison, Inc. | 147,600 | ||||||
5,113 | Dominion Energy, Inc. | 415,073 | ||||||
1,224 | DTE Energy Co. | 131,580 | ||||||
4,526 | Duke Energy Corp. | 361,582 | ||||||
2,210 | Edison International | 120,025 | ||||||
1,269 | Entergy Corp. | 119,045 | ||||||
1,465 | Evergy, Inc. | 86,860 | ||||||
2,040 | Eversource Energy | 169,871 | ||||||
6,128 | Exelon Corp. | 222,385 | ||||||
3,330 | FirstEnergy Corp. | 129,137 | ||||||
3,042 | NextEra Energy, Inc. | 730,597 | ||||||
2,370 | NiSource, Inc. | 53,894 | ||||||
1,628 | NRG Energy, Inc. | 53,008 | ||||||
731 | Pinnacle West Capital Corp. | 53,575 | ||||||
4,875 | PPL Corp. | 125,970 | ||||||
3,189 | Public Service Enterprise Group, Inc. | 156,771 | ||||||
1,745 | Sempra Energy | 204,566 | ||||||
6,509 | Southern Co. (The) | 337,492 | ||||||
1,993 | WEC Energy Group, Inc. | 174,686 | ||||||
3,275 | Xcel Energy, Inc. | 204,688 | ||||||
|
| |||||||
4,867,626 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $53,333,421) | $ | 160,288,057 | ||||||
|
|
Units | Description | Expiration Month | Value | |||||||||
Right* – 0.0% | ||||||||||||
Telecommunication Services – 0.0% | ||||||||||||
2,398 | T-Mobile US, Inc. | 07/2020 | $ | 403 | ||||||||
(Cost $11,510) | ||||||||||||
|
| |||||||||||
| TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE | | ||||||||||
(Cost $53,344,931) | $ | 160,288,460 | ||||||||||
|
| |||||||||||
Securities Lending Reinvestment Vehicle(b) – 0.1% | ||||||||||||
| Goldman Sachs Financial Square Government Fund — | | ||||||||||
172,563 | 0.155% | $ | 172,563 | |||||||||
(Cost $172,563) | ||||||||||||
|
| |||||||||||
TOTAL INVESTMENTS – 99.2% | ||||||||||||
(Cost $53,517,494) | $ | 160,461,023 | ||||||||||
|
| |||||||||||
| OTHER ASSETS IN EXCESS OF | | 1,241,211 | |||||||||
|
| |||||||||||
NET ASSETS – 100.0% | $ | 161,702,234 | ||||||||||
|
|
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 |
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS — At June 30, 2020, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
S&P 500 E-Mini Index | 10 | 09/18/2020 | $ | 1,545,100 | $ | 33,227 |
The accompanying notes are an integral part of these financial statements. | 29 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND
Schedule of Investments
June 30, 2020 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 96.6% | ||||||||
Banks – 0.7% | ||||||||
4,843 | First Republic Bank | $ | 513,310 | |||||
|
| |||||||
Capital Goods – 6.8% | ||||||||
3,949 | AMETEK, Inc. | 352,922 | ||||||
11,003 | Graco, Inc. | 528,034 | ||||||
3,620 | HEICO Corp. | 360,733 | ||||||
4,585 | IDEX Corp. | 724,614 | ||||||
6,733 | Rockwell Automation, Inc. | 1,434,129 | ||||||
4,982 | Trane Technologies plc | 443,298 | ||||||
1,080 | WW Grainger, Inc. | 339,293 | ||||||
10,719 | Xylem, Inc. | 696,306 | ||||||
|
| |||||||
4,879,329 | ||||||||
|
| |||||||
Commercial & Professional Services – 5.4% | ||||||||
1,809 | Cintas Corp. | 481,845 | ||||||
4,264 | Copart, Inc.* | 355,064 | ||||||
509 | CoStar Group, Inc.* | 361,731 | ||||||
12,356 | TransUnion | 1,075,466 | ||||||
9,640 | Verisk Analytics, Inc. | 1,640,728 | ||||||
|
| |||||||
3,914,834 | ||||||||
|
| |||||||
Consumer Durables & Apparel – 2.7% | ||||||||
6,282 | Lululemon Athletica, Inc.* | 1,960,047 | ||||||
|
| |||||||
Consumer Services – 4.4% | ||||||||
3,121 | Bright Horizons Family Solutions, Inc.* | 365,781 | ||||||
3,364 | Chegg, Inc.* | 226,263 | ||||||
857 | Chipotle Mexican Grill, Inc.* | 901,873 | ||||||
5,087 | Choice Hotels International, Inc. | 401,364 | ||||||
3,028 | Wingstop, Inc. | 420,801 | ||||||
7,553 | Wynn Resorts Ltd. | 562,623 | ||||||
3,266 | Yum! Brands, Inc. | 283,848 | ||||||
|
| |||||||
3,162,553 | ||||||||
|
| |||||||
Diversified Financials – 4.1% | ||||||||
21,329 | Discover Financial Services | 1,068,369 | ||||||
2,479 | MarketAxess Holdings, Inc. | 1,241,781 | ||||||
1,867 | MSCI, Inc. | 623,242 | ||||||
|
| |||||||
2,933,392 | ||||||||
|
| |||||||
Energy – 1.4% | ||||||||
21,669 | Cheniere Energy, Inc.* | 1,047,046 | ||||||
|
| |||||||
Food & Staples Retailing – 0.8% | ||||||||
14,597 | Grocery Outlet Holding Corp.* | 595,558 | ||||||
|
| |||||||
Food, Beverage & Tobacco – 1.9% | ||||||||
4,043 | Lamb Weston Holdings, Inc. | 258,469 | ||||||
6,211 | McCormick & Co., Inc. (Non-Voting) | 1,114,316 | ||||||
|
| |||||||
1,372,785 | ||||||||
|
| |||||||
Health Care Equipment & Services – 9.8% | ||||||||
1,418 | Align Technology, Inc.* | 389,156 | ||||||
10,128 | Boston Scientific Corp.* | 355,594 | ||||||
5,723 | Centene Corp.* | 363,697 | ||||||
2,002 | Cooper Cos., Inc. (The) | 567,847 | ||||||
5,513 | Guardant Health, Inc.* | 447,270 | ||||||
2,240 | IDEXX Laboratories, Inc.* | 739,558 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Health Care Equipment & Services – (continued) | ||||||||
4,517 | Insulet Corp.* | 877,472 | ||||||
6,483 | Veeva Systems, Inc. Class A* | 1,519,745 | ||||||
4,474 | West Pharmaceutical Services, Inc. | 1,016,359 | ||||||
6,890 | Zimmer Biomet Holdings, Inc. | 822,390 | ||||||
|
| |||||||
7,099,088 | ||||||||
|
| |||||||
Household & Personal Products – 1.4% | ||||||||
13,154 | Church & Dwight Co., Inc. | 1,016,804 | ||||||
|
| |||||||
Materials – 3.1% | ||||||||
19,123 | Ball Corp. | 1,328,857 | ||||||
4,528 | Martin Marietta Materials, Inc. | 935,349 | ||||||
|
| |||||||
2,264,206 | ||||||||
|
| |||||||
Media & Entertainment – 4.4% | ||||||||
1,137 | IAC/interactivecorp* | 367,706 | ||||||
9,745 | Live Nation Entertainment, Inc.* | 431,996 | ||||||
8,532 | Match Group, Inc.* | 913,350 | ||||||
30,936 | Snap, Inc. Class A* | 726,687 | ||||||
2,758 | Spotify Technology SA* | 712,088 | ||||||
|
| |||||||
3,151,827 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences – 10.7% | ||||||||
13,774 | Adaptive Biotechnologies Corp.* | 666,386 | ||||||
10,645 | Agios Pharmaceuticals, Inc.* | 569,295 | ||||||
9,346 | BioMarin Pharmaceutical, Inc.* | 1,152,736 | ||||||
14,042 | Catalent, Inc.* | 1,029,279 | ||||||
6,474 | Exact Sciences Corp.* | 562,849 | ||||||
12,223 | Immunomedics, Inc.* | 433,183 | ||||||
1,206 | Mettler-Toledo International, Inc.* | 971,493 | ||||||
6,915 | Moderna, Inc.* | 444,012 | ||||||
5,006 | Neurocrine Biosciences, Inc.* | 610,732 | ||||||
4,016 | Sarepta Therapeutics, Inc.* | 643,925 | ||||||
3,679 | Seattle Genetics, Inc.* | 625,136 | ||||||
|
| |||||||
7,709,026 | ||||||||
|
| |||||||
Real Estate Investment Trusts – 0.8% | ||||||||
8,829 | Equity LifeStyle Properties, Inc. | 551,636 | ||||||
|
| |||||||
Retailing – 6.7% | ||||||||
3,675 | Burlington Stores, Inc.* | 723,718 | ||||||
1,861 | Dollar General Corp. | 354,539 | ||||||
812 | MercadoLibre, Inc.* | 800,445 | ||||||
3,888 | O’Reilly Automotive, Inc.* | 1,639,453 | ||||||
4,018 | Ross Stores, Inc. | 342,494 | ||||||
4,752 | Ulta Beauty, Inc.* | 966,652 | ||||||
|
| |||||||
4,827,301 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 5.6% | ||||||||
3,456 | Analog Devices, Inc. | 423,844 | ||||||
1,981 | Lam Research Corp. | 640,774 | ||||||
14,654 | Marvell Technology Group Ltd. | 513,769 | ||||||
5,654 | Microchip Technology, Inc. | 595,423 | ||||||
7,779 | MKS Instruments, Inc. | 880,894 | ||||||
10,025 | Xilinx, Inc. | 986,360 | ||||||
|
| |||||||
4,041,064 | ||||||||
|
|
30 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Software & Services – 21.4% | ||||||||
4,243 | Akamai Technologies, Inc.* | $ | 454,383 | |||||
11,571 | Anaplan, Inc.* | 524,282 | ||||||
2,518 | ANSYS, Inc.* | 734,576 | ||||||
1,975 | Atlassian Corp. plc Class A* | 356,033 | ||||||
2,878 | Avalara, Inc.* | 383,033 | ||||||
9,114 | Booz Allen Hamilton Holding Corp. | 708,978 | ||||||
14,972 | Cadence Design Systems, Inc.* | 1,436,713 | ||||||
3,667 | Coupa Software, Inc.* | 1,015,906 | ||||||
9,111 | DocuSign, Inc.* | 1,569,005 | ||||||
12,173 | Dynatrace, Inc.* | 494,224 | ||||||
4,622 | HubSpot, Inc.* | 1,036,946 | ||||||
4,572 | Okta, Inc.* | 915,451 | ||||||
5,807 | Palo Alto Networks, Inc.* | 1,333,694 | ||||||
1,581 | Paycom Software, Inc.* | 489,683 | ||||||
2,404 | RingCentral, Inc. Class A* | 685,164 | ||||||
7,781 | Splunk, Inc.* | 1,546,085 | ||||||
3,496 | Square, Inc. Class A* | 366,870 | ||||||
4,511 | Twilio, Inc. Class A* | 989,804 | ||||||
2,551 | WEX, Inc.* | 420,940 | ||||||
|
| |||||||
15,461,770 | ||||||||
|
| |||||||
Technology Hardware & Equipment – 3.3% | ||||||||
13,203 | Amphenol Corp. Class A | 1,264,979 | ||||||
4,388 | Motorola Solutions, Inc. | 614,891 | ||||||
12,813 | National Instruments Corp. | 495,991 | ||||||
|
| |||||||
2,375,861 | ||||||||
|
| |||||||
Transportation – 1.2% | ||||||||
5,158 | Old Dominion Freight Line, Inc. | 874,745 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $54,496,533) | $ | 69,752,182 | ||||||
|
| |||||||
Shares | Dividend Rate | Value | ||||||
Investment Company(a) – 3.6% | ||||||||
Goldman Sachs Financial Square Government Fund — |
| |||||||
2,576,120 | 0.155 | % | $ | 2,576,120 | ||||
(Cost $2,576,120) |
| |||||||
| ||||||||
TOTAL INVESTMENTS – 100.2% |
| |||||||
(Cost $57,072,653) |
| $ | 72,328,302 | |||||
| ||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (0.2)% |
| (131,754 | ) | |||||
| ||||||||
NET ASSETS – 100.0% |
| $ | 72,196,548 | |||||
|
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. |
The accompanying notes are an integral part of these financial statements. | 31 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST HIGH QUALITY FLOATING RATE FUND
Schedule of Investments
June 30, 2020 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||
Mortgage-Backed Securities – 2.5% | ||||||||||||
Adjustable Rate FHLMC(a) – 0.8% | ||||||||||||
$ | 77,605 | 3.461% | 05/01/2035 | $ | 81,642 | |||||||
16,643 | 4.250 | 09/01/2035 | 17,350 | |||||||||
100,651 | 3.649 | 12/01/2036 | 105,469 | |||||||||
110,671 | 4.180 | 04/01/2037 | 116,736 | |||||||||
121,049 | 3.925 | 01/01/2038 | 127,457 | |||||||||
134,377 | 4.157 | 01/01/2038 | 140,184 | |||||||||
|
| |||||||||||
588,838 | ||||||||||||
|
| |||||||||||
Adjustable Rate FNMA(a) – 1.1% | ||||||||||||
36,463 | 2.387 | 05/01/2033 | 37,729 | |||||||||
69,655 | 2.708 | 05/01/2035 | 72,855 | |||||||||
239,130 | 3.356 | 06/01/2035 | 250,176 | |||||||||
262,459 | 3.780 | 11/01/2035 | 272,813 | |||||||||
43,804 | 3.763 | 12/01/2035 | 45,833 | |||||||||
123,498 | 3.911 | 03/01/2037 | 130,325 | |||||||||
|
| |||||||||||
809,731 | ||||||||||||
|
| |||||||||||
Adjustable Rate GNMA(a) – 0.2% | ||||||||||||
155,290 | 3.875 | 04/20/2033 | 159,628 | |||||||||
|
| |||||||||||
Agency Multi-Family – 0.4% | ||||||||||||
FNMA | ||||||||||||
17,884 | 3.477 | 10/01/2020 | 17,922 | |||||||||
23,124 | 3.715 | 12/01/2020 | 23,228 | |||||||||
155,626 | 3.795 | 12/01/2020 | 156,180 | |||||||||
73,583 | 4.342 | 06/01/2021 | 74,990 | |||||||||
|
| |||||||||||
272,320 | ||||||||||||
|
| |||||||||||
| TOTAL MORTGAGE-BACKED SECURITIES (Cost $1,851,364) |
| $ | 1,830,517 | ||||||||
|
| |||||||||||
Collateralized Mortgage Obligations(a) – 26.6% | ||||||||||||
Agency Multi-Family(b) – 0.9% | ||||||||||||
| FHLMC Multifamily Structured Pass-Through Certificates | | ||||||||||
$ | 171,011 | 0.533% | 08/25/2025 | $ | 168,062 | |||||||
| FHLMC Multifamily Structured Pass-Through Certificates | | ||||||||||
441,287 | 0.552 | 05/25/2024 | 441,882 | |||||||||
| FHLMC Multifamily Structured Pass-Through Certificates | | ||||||||||
48,213 | 0.563 | 08/25/2023 | 48,166 | |||||||||
|
| |||||||||||
658,110 | ||||||||||||
|
| |||||||||||
Regular Floater – 25.7% | ||||||||||||
FHLMC REMIC Series 3049, Class FP | ||||||||||||
145,234 | 0.535 | 10/15/2035 | 145,177 | |||||||||
FHLMC REMIC Series 3208, Class FB(b) | ||||||||||||
84,011 | 0.585 | 08/15/2036 | 84,171 | |||||||||
FHLMC REMIC Series 3208, Class FD(b) | ||||||||||||
125,177 | 0.585 | 08/15/2036 | 125,414 | |||||||||
FHLMC REMIC Series 3208, Class FG(b) | ||||||||||||
504,067 | 0.585 | 08/15/2036 | 505,024 | |||||||||
FHLMC REMIC Series 3307, Class FT | ||||||||||||
785,970 | 0.425 | 07/15/2034 | 784,540 | |||||||||
|
| |||||||||||
Collateralized Mortgage Obligations(a) – (continued) | ||||||||||||
Regular Floater – (continued) | ||||||||||||
FHLMC REMIC Series 3311, Class KF | ||||||||||||
1,418,584 | 0.525 | 05/15/2037 | 1,419,046 | |||||||||
FHLMC REMIC Series 3371, Class FA(b) | ||||||||||||
318,810 | 0.785 | 09/15/2037 | 321,965 | |||||||||
FHLMC REMIC Series 4068, Class UF | ||||||||||||
1,974,146 | 0.685 | 06/15/2042 | 1,976,538 | |||||||||
FHLMC REMIC Series 4174, Class FB(b) | ||||||||||||
469,441 | 0.485 | 05/15/2039 | 468,286 | |||||||||
FHLMC REMIC Series 4320, Class FD | ||||||||||||
275,912 | 0.585 | 07/15/2039 | 276,345 | |||||||||
FHLMC REMIC Series 4477, Class FG | ||||||||||||
314,271 | 0.670 | 10/15/2040 | 313,007 | |||||||||
FHLMC REMIC Series 4508, Class CF | ||||||||||||
259,263 | 0.585 | 09/15/2045 | 259,919 | |||||||||
FHLMC REMIC Series 4631, Class GF | ||||||||||||
1,659,842 | 0.685 | 11/15/2046 | 1,665,981 | |||||||||
FHLMC REMIC Series 4637, Class QF | ||||||||||||
1,510,105 | 1.173 | 04/15/2044 | 1,490,822 | |||||||||
FNMA REMIC Series 2006-82, Class F | ||||||||||||
106,777 | 0.754 | 09/25/2036 | 107,541 | |||||||||
FNMA REMIC Series 2006-96, Class FA | ||||||||||||
415,858 | 0.484 | 10/25/2036 | 415,380 | |||||||||
FNMA REMIC Series 2007-33, Class HF | ||||||||||||
75,646 | 0.534 | 04/25/2037 | 75,569 | |||||||||
FNMA REMIC Series 2007-36, Class F | ||||||||||||
118,621 | 0.415 | 04/25/2037 | 118,124 | |||||||||
FNMA REMIC Series 2007-85, Class FC | ||||||||||||
321,253 | 0.725 | 09/25/2037 | 323,760 | |||||||||
FNMA REMIC Series 2008-8, Class FB | ||||||||||||
265,326 | 1.005 | 02/25/2038 | 268,457 | |||||||||
FNMA REMIC Series 2011-63, Class FG | ||||||||||||
282,269 | 0.635 | 07/25/2041 | 283,345 | |||||||||
FNMA REMIC Series 2012-35, Class QF | ||||||||||||
909,918 | 0.585 | 04/25/2042 | 912,036 | |||||||||
FNMA REMIC Series 2016-1, Class FT | ||||||||||||
829,427 | 0.534 | 02/25/2046 | 829,427 | |||||||||
FNMA REMIC Series 2017-45, Class FA | ||||||||||||
455,953 | 0.690 | 06/25/2047 | 454,020 | |||||||||
FNMA REMIC Series 2017-96, Class FC | ||||||||||||
953,530 | 0.585 | 12/25/2057 | 955,394 | |||||||||
FNMA REMIC Series 2018-60, Class FK | ||||||||||||
2,991,064 | 0.484 | 08/25/2048 | 2,980,632 | |||||||||
GNMA REMIC Series 2005-48, Class AF(b) | ||||||||||||
425,088 | 0.390 | 06/20/2035 | 422,778 | |||||||||
GNMA REMIC Series 2012-98, Class FA(b) | ||||||||||||
382,848 | 0.590 | 08/20/2042 | 384,950 | |||||||||
NCUA Guaranteed Notes Trust Series 2010-R1, Class 1A(b) | ||||||||||||
60,623 | 0.624 | 10/07/2020 | 60,369 | |||||||||
NCUA Guaranteed Notes Trust Series 2010-R2, Class 2A(b) | ||||||||||||
208,660 | 0.644 | 11/05/2020 | 207,518 | |||||||||
|
| |||||||||||
18,635,535 | ||||||||||||
|
| |||||||||||
| TOTAL COLLATERALIZED MORTGAGE OBLIGATIONS (Cost $19,310,539) | | $ | 19,293,645 | ||||||||
|
|
32 | 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 | |||||||||
U.S. Government Agency Security(a) – 2.1% | ||||||||||||
FFCB | ||||||||||||
$ | 1,500,000 | (SOFR + 0.17%), 0.250% | 03/15/2022 | $ | 1,498,838 | |||||||
(Cost $1,500,000) | ||||||||||||
|
| |||||||||||
Asset-Backed Securities(b) – 26.6% | ||||||||||||
Automobile – 4.1% | ||||||||||||
Ally Master Owner Trust Series 2018-1, Class A2 | ||||||||||||
$ | 800,000 | 2.700% | 01/17/2023 | $ | 806,942 | |||||||
Chesapeake Funding II LLC Series 2017-3A, Class A2(a)(c) | ||||||||||||
122,543 | 0.525 | 08/15/2029 | 122,229 | |||||||||
| GMF Floorplan Owner Revolving Trust Series 2017-2, | | ||||||||||
900,000 | 0.615 | 07/15/2022 | 899,985 | |||||||||
Nissan Master Owner Trust Receivables Series 2017-C, Class A(a) | ||||||||||||
300,000 | 0.505 | 10/17/2022 | 299,808 | |||||||||
Nissan Master Owner Trust Receivables Series 2019-A, Class A(a) | ||||||||||||
850,000 | 0.745 | 02/15/2024 | 844,645 | |||||||||
|
| |||||||||||
2,973,609 | ||||||||||||
|
| |||||||||||
Collateralized Loan Obligations(a)(c) – 7.8% | ||||||||||||
| Benefit Street Partners CLO VII Ltd. Series 2015-VIIA, | | ||||||||||
764,647 | 1.915 | 07/18/2027 | 758,926 | |||||||||
Bowman Park CLO Ltd. Series 2014-1A, Class AR | ||||||||||||
72,895 | 1.538 | 11/23/2025 | 72,874 | |||||||||
California Street CLO XII Ltd. Series 2013-12A, Class AR | ||||||||||||
122,941 | 2.249 | 10/15/2025 | 122,450 | |||||||||
CBAM Ltd. Series 2018-5A, Class A | ||||||||||||
1,100,000 | 2.155 | 04/17/2031 | 1,071,367 | |||||||||
Cutwater Ltd. Series 2014-1A, Class A1AR | ||||||||||||
127,607 | 2.469 | 07/15/2026 | 126,275 | |||||||||
Dryden 64 CLO Ltd. Series 2018-64A, Class A | ||||||||||||
600,000 | 2.105 | 04/18/2031 | 582,668 | |||||||||
Halcyon Loan Advisors Funding Ltd. Series 2014-1A, Class A1R | ||||||||||||
5,661 | 2.265 | 04/18/2026 | 5,657 | |||||||||
LCM XX LP Series 20A, Class AR | ||||||||||||
700,000 | 2.175 | 10/20/2027 | 689,258 | |||||||||
Madison Park Funding XXX Ltd. Series 2018-30A, Class A | ||||||||||||
1,100,000 | 1.969 | 04/15/2029 | 1,073,130 | |||||||||
Parallel Ltd. Series 2015-1A, Class AR | ||||||||||||
202,741 | 1.985 | 07/20/2027 | 200,005 | |||||||||
Pikes Peak CLO 2 Series 2018-2A, Class A | ||||||||||||
800,000 | 2.425 | 01/18/2032 | 782,551 | |||||||||
Trinitas CLO II Ltd. Series 2014-2A, Class A1R | ||||||||||||
55,398 | 2.399 | 07/15/2026 | 55,178 | |||||||||
WhiteHorse IX Ltd. Series 2014-9A, Class AR | ||||||||||||
92,986 | 2.295 | 07/17/2026 | 92,601 | |||||||||
|
| |||||||||||
5,632,940 | ||||||||||||
|
| |||||||||||
Credit Card(a) – 4.5% | ||||||||||||
Citibank Credit Card Issuance Trust Series 2017-A5, Class A5 | ||||||||||||
1,400,000 | 0.810 | 04/22/2026 | 1,408,454 | |||||||||
|
| |||||||||||
Asset-Backed Securities(b) – (continued) | ||||||||||||
Credit Card(a) – (continued) | ||||||||||||
Citibank Credit Card Issuance Trust Series 2017-A7, Class A7 | ||||||||||||
500,000 | 0.545 | 08/08/2024 | 501,966 | |||||||||
Evergreen Credit Card Trust Series 2019-1, Class A(c) | ||||||||||||
1,000,000 | 0.665 | 01/15/2023 | 1,000,993 | |||||||||
Golden Credit Card Trust Series 2019-1A, Class A(c) | ||||||||||||
350,000 | 0.635 | 12/15/2022 | 350,198 | |||||||||
|
| |||||||||||
3,261,611 | ||||||||||||
|
| |||||||||||
Student Loans(a) – 10.2% | ||||||||||||
Academic Loan Funding Trust Series 2013-1A, Class A(c) | ||||||||||||
359,585 | 0.984 | 12/26/2044 | 335,179 | |||||||||
Access Group, Inc. Series 2015-1, Class A(c) | ||||||||||||
137,277 | 0.884 | 07/25/2056 | 134,129 | |||||||||
| Access to Loans for Learning Student Loan Corp. Series 2013-I, | | ||||||||||
343,404 | 0.984 | 02/25/2041 | 332,968 | |||||||||
Brazos Higher Education Authority, Inc. Series 2011-1, Class A2 | ||||||||||||
613,308 | 1.159 | 02/25/2030 | 596,143 | |||||||||
Edsouth Indenture No. 4 LLC Series 2013-1, Class A(c) | ||||||||||||
89,059 | 0.754 | 02/26/2029 | 85,531 | |||||||||
Edsouth Indenture No. 5 LLC Series 2014-1, Class A(c) | ||||||||||||
155,823 | 0.884 | 02/25/2039 | 149,283 | |||||||||
Education Loan Asset-Backed Trust I Series 2013-1, Class A1(c) | ||||||||||||
35,801 | 0.984 | 06/25/2026 | 35,709 | |||||||||
Educational Funding of the South, Inc. Series 2011-1, Class A2 | ||||||||||||
297,050 | 1.641 | 04/25/2035 | 287,215 | |||||||||
Educational Funding of the South, Inc. Series 2012-1, Class A | ||||||||||||
221,850 | 1.235 | 03/25/2036 | 215,025 | |||||||||
Higher Education Funding I Series 2014-1, Class A(c) | ||||||||||||
237,544 | 1.410 | 05/25/2034 | 226,197 | |||||||||
Illinois Student Assistance Commission Series 2010-1, Class A3 | ||||||||||||
156,455 | 1.891 | 07/25/2045 | 151,926 | |||||||||
| Kentucky Higher Education Student Loan Corp. Series 2013-2, | | ||||||||||
469,410 | 0.773 | 09/01/2028 | 458,431 | |||||||||
| Kentucky Higher Education Student Loan Corp. Series 2015-1, | | ||||||||||
452,413 | 0.923 | 12/01/2031 | 435,375 | |||||||||
| Montana Higher Education Student Assistance Corp. | | ||||||||||
383,564 | 1.190 | 05/20/2030 | 378,414 | |||||||||
Navient Student Loan Trust Series 2016-7A, Class A(c) | ||||||||||||
113,470 | 1.334 | 03/25/2066 | 110,761 | |||||||||
Nelnet Student Loan Trust Series 2006-1, Class A5 | ||||||||||||
120,620 | 0.470 | 08/23/2027 | 119,973 | |||||||||
Nelnet Student Loan Trust Series 2013-5A, Class A(c) | ||||||||||||
61,962 | 0.815 | 01/25/2037 | 59,000 | |||||||||
Nelnet Student Loan Trust Series 2014-3A, Class A(c) | ||||||||||||
511,601 | 0.765 | 06/25/2041 | 469,215 | |||||||||
| New Hampshire Higher Education Loan Corp. Series 2011-1, | | ||||||||||
164,965 | 1.841 | 10/25/2037 | 155,910 | |||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 33 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST HIGH QUALITY FLOATING RATE FUND
Schedule of Investments (continued)
June 30, 2020 (Unaudited)
Principal Amount | Interest Rate | Maturity Date | Value | |||||||||
Asset-Backed Securities(b) – (continued) | ||||||||||||
Student Loans(a) – (continued) | ||||||||||||
| Pennsylvania Higher Education Assistance Agency Series 2006-1, | | ||||||||||
$ | 373,547 | 1.131 % | 10/25/2035 | $ | 346,592 | |||||||
Scholar Funding Trust Series 2010-A, Class A(c) | ||||||||||||
195,609 | 1.637 | 10/28/2041 | 179,590 | |||||||||
Scholar Funding Trust Series 2011-A, Class A(c) | ||||||||||||
166,475 | 1.787 | 10/28/2043 | 153,795 | |||||||||
SLM Student Loan Trust Series 2005-5, Class A4 | ||||||||||||
677,368 | 1.131 | 10/25/2028 | 657,394 | |||||||||
SLM Student Loan Trust Series 2007-1, Class A5 | ||||||||||||
397,498 | 1.081 | 01/26/2026 | 394,177 | |||||||||
SLM Student Loan Trust Series 2008-5, Class A4 | ||||||||||||
55,143 | 2.691 | 07/25/2023 | 54,245 | |||||||||
SLM Student Loan Trust Series 2012-3, Class A | ||||||||||||
682,777 | 0.835 | 12/27/2038 | 651,888 | |||||||||
| South Texas Higher Education Authority, Inc. Series 2012-1, | | ||||||||||
27,023 | 2.280 | 10/01/2024 | 26,516 | |||||||||
Utah State Board of Regents Series 2015-1, Class A | ||||||||||||
241,375 | 0.768 | 02/25/2043 | 225,865 | |||||||||
|
| |||||||||||
7,426,446 | ||||||||||||
|
| |||||||||||
| TOTAL ASSET-BACKED SECURITIES (Cost $19,636,420) | $ | 19,294,606 | |||||||||
|
| |||||||||||
Supranational(a) – 3.5% | ||||||||||||
European Investment Bank(c) | ||||||||||||
$ | 1,530,000 | (SOFR + 0.29%), 0.370% | 06/10/2022 | $ | 1,529,524 | |||||||
International Bank for Reconstruction & Development | ||||||||||||
1,000,000 | (SOFR + 0.22%), 0.300 | 08/21/2020 | 999,882 | |||||||||
|
| |||||||||||
| TOTAL SUPRANATIONAL (Cost $2,530,000) | $ | 2,529,406 | |||||||||
|
| |||||||||||
Municipal Bond(a)(b)(c) – 0.1% | ||||||||||||
New York – 0.1% | ||||||||||||
| Freddie Mac Multifamily ML Certificates RB Pass Through | | ||||||||||
$ | 95,152 | (1 Mo. LIBOR + 0.50%), 0.680% | 01/25/2033 | $ | 96,380 | |||||||
(Cost $95,151) | ||||||||||||
|
| |||||||||||
U.S. Treasury Obligations – 34.6% | ||||||||||||
U.S. Treasury Bonds | ||||||||||||
$ | 220,000 | 3.750% | 11/15/2043 | $ | 327,353 | |||||||
170,000 | 3.375 | 05/15/2044 | 240,364 | |||||||||
U.S. Treasury Inflation Linked Notes | ||||||||||||
1,304,445 | 0.125 | 07/15/2022 | 1,335,401 | |||||||||
U.S. Treasury Obligations – (continued) | ||||||||||||
U.S. Treasury Notes | ||||||||||||
2,300,000 | (3 Mo. U.S. T-Bill MMY + 0.04%), 0.193%(a) | 07/31/2020 | 2,300,060 | |||||||||
4,900,000 | (3 Mo. U.S. T-Bill MMY + 0.05%), 0.195(a) | 10/31/2020 | 4,900,515 | |||||||||
13,400,000 | (3 Mo. U.S. T-Bill MMY + 0.22%), 0.370(a) | 07/31/2021 | 13,423,928 | |||||||||
310,000 | 2.875 | 10/15/2021 | 320,790 | |||||||||
600,000 | (3 Mo. U.S. T-Bill MMY + 0.15%), 0.304(a) | 01/31/2022 | 600,809 | |||||||||
120,000 | 1.875 | 02/28/2022 | 123,403 | |||||||||
20,000 | 2.750 | 04/30/2023 | 21,453 | |||||||||
920,000 | 2.875 | 10/31/2023 | 1,001,938 | |||||||||
140,000 | 2.875 | 05/31/2025 | 157,631 | |||||||||
10,000 | 3.000 | 09/30/2025 | 11,392 | |||||||||
250,000 | 2.125 | 05/31/2026 | 275,235 | |||||||||
20,000 | 1.375 | 08/31/2026 | 21,156 | |||||||||
|
| |||||||||||
| TOTAL U.S. TREASURY OBLIGATIONS (Cost $24,795,009) | $ | 25,061,428 | |||||||||
|
| |||||||||||
Shares | Dividend Rate | Value | ||||||||||
Investment Company(d) – 9.2% | ||||||||||||
| Goldman Sachs Financial Square Government Fund – | | ||||||||||
6,647,869 | 0.155% | $ | 6,647,869 | |||||||||
(Cost $6,647,869) | ||||||||||||
|
| |||||||||||
TOTAL INVESTMENTS – 105.2% | ||||||||||||
(Cost $76,366,352) | $ | 76,252,689 | ||||||||||
|
| |||||||||||
| LIABILITIES IN EXCESS OF | (3,792,082 | ) | |||||||||
|
| |||||||||||
NET ASSETS – 100.0% | $ | 72,460,607 | ||||||||||
|
|
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 June 30, 2020. | |
(b) | Securities with “Call” features. Maturity dates disclosed are the final maturity dates. | |
(c) | Exempt from registration under Rule 144A of the Securities Act of 1933. | |
(d) | Represents an Affiliated Issuer. |
34 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST HIGH QUALITY FLOATING RATE FUND
Investment Abbreviations: | ||
FFCB | —Federal Farm Credit Bank | |
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 June 30, 2020, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
U.S. Treasury 10 Year Ultra Note | 3 | 09/21/2020 | $ | 472,313 | $ | 2,251 | ||||||||||
Total | $ | 2,251 | ||||||||||||||
Short position contracts: | ||||||||||||||||
U.S. Treasury 2 Year Note | (9) | 09/30/2020 | $ | (1,987,383 | ) | $ | (648 | ) | ||||||||
U.S. Treasury 5 Year Note | (30) | 09/30/2020 | (3,772,031 | ) | (8,711 | ) | ||||||||||
U.S. Treasury 10 Year Note | (8) | 09/21/2020 | (1,113,125 | ) | (2,417 | ) | ||||||||||
U.S. Treasury Long Bond | (7) | 09/21/2020 | (1,249,500 | ) | (7,600 | ) | ||||||||||
U.S. Treasury Ultra Bond | (1 | ) | 09/21/2020 | (218,094 | ) | (495 | ) | |||||||||
Total | $ | (19,871 | ) | |||||||||||||
Total Futures Contracts | $ | (17,620 | ) |
SWAP CONTRACTS — At June 30, 2020, 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 | $ | 169 | $ | 30 | $ | 139 |
(a) | Payments made quarterly. |
(b) | Represents forward starting interest rate swaps whose effective dates of commencement of accruals and cash flows occur subsequent to June 30, 2020. |
The accompanying notes are an integral part of these financial statements. | 35 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Statements of Assets and Liabilities
June 30, 2020 (Unaudited)
Core Fixed Income Fund | Equity Index Fund | Growth Opportunities Fund | High Quality Floating Rate Fund | |||||||||||||
Assets: | ||||||||||||||||
Investments in unaffiliated issuers, at value (cost $68,092,766, $53,143,887, $54,496,533 and $69,718,483)(a) | $ | 70,871,079 | $ | 159,908,437 | $ | 69,752,182 | $ | 69,604,820 | ||||||||
Investments in affiliated issuers, at value (cost $5,440,087, $201,044, $2,576,120 and $6,647,869) | 5,440,087 | 380,023 | 2,576,120 | 6,647,869 | ||||||||||||
Investments in affiliated securities lending reinvestment vehicle, at value (cost $0, $172,563, $0 and $0) | — | 172,563 | — | — | ||||||||||||
Cash | 946,213 | 1,307,657 | 91,994 | 1,124,705 | ||||||||||||
Foreign currencies, at value (cost $67,795, $0, $0 and $0) | 70,540 | — | — | — | ||||||||||||
Receivables: | ||||||||||||||||
Investments sold on an extended-settlement basis | 5,260,313 | — | — | 25,590 | ||||||||||||
Collateral on certain derivative contracts(b) | 789,645 | 120,000 | — | 85,488 | ||||||||||||
Interest and dividends | 376,905 | 126,596 | 14,352 | 71,049 | ||||||||||||
Reimbursement from investment adviser | 26,997 | 25,216 | 21,161 | 21,660 | ||||||||||||
Fund shares sold | 2,787 | 18,994 | 1,610 | 25,475 | ||||||||||||
Investments sold | — | — | 262,858 | — | ||||||||||||
Securities lending income | — | 394 | — | — | ||||||||||||
Unrealized gain on forward foreign currency exchange contracts | 107,463 | — | — | — | ||||||||||||
Unrealized gain on swap contracts | 16,521 | — | — | — | ||||||||||||
Variation margin on futures | — | 21,250 | — | — | ||||||||||||
Variation margin on swaps | — | — | — | 13 | ||||||||||||
Total assets | 83,908,550 | 162,081,130 | 72,720,277 | 77,606,669 | ||||||||||||
Liabilities: | ||||||||||||||||
Unrealized loss on forward foreign currency exchange contracts | 106,104 | — | — | — | ||||||||||||
Written options, at value (premiums received $22,193, $0, $0 and $0) | 22,885 | — | — | — | ||||||||||||
Variation margin on swaps | 19,276 | — | — | — | ||||||||||||
Variation margin on futures | 14,708 | — | — | 2,652 | ||||||||||||
Payables: | ||||||||||||||||
Investments purchased on an extended-settlement basis | 20,564,600 | — | — | 4,966,070 | ||||||||||||
Fund shares redeemed | 257,595 | 12,258 | 13,060 | 68,781 | ||||||||||||
Upfront payments received on swap contracts | 57,346 | — | — | — | ||||||||||||
Management fees | 19,763 | 27,939 | 48,600 | 17,179 | ||||||||||||
Distribution and Service fees and Transfer Agency fees | 8,672 | 35,922 | 10,568 | 15,406 | ||||||||||||
Investments purchased | — | — | 353,364 | — | ||||||||||||
Payable upon return of securities loaned | — | 172,563 | — | — | ||||||||||||
Accrued expenses | 73,754 | 130,214 | 98,137 | 75,974 | ||||||||||||
Total liabilities | 21,144,703 | 378,896 | 523,729 | 5,146,062 | ||||||||||||
Net Assets: | ||||||||||||||||
Paid-in capital | 59,692,338 | 50,084,021 | 49,017,169 | 74,347,011 | ||||||||||||
Total distributable earnings (loss) | 3,071,509 | 111,618,213 | 23,179,379 | (1,886,404 | ) | |||||||||||
NET ASSETS | $ | 62,763,847 | $ | 161,702,234 | $ | 72,196,548 | $ | 72,460,607 | ||||||||
Net Assets: | ||||||||||||||||
Institutional | $ | 25,257,700 | $ | — | $ | 109,096 | $ | 4,989,245 | ||||||||
Service | 37,506,147 | 161,702,234 | 72,087,452 | 62,693,494 | ||||||||||||
Advisor | — | — | — | 4,777,868 | ||||||||||||
Total Net Assets | $ | 62,763,847 | $ | 161,702,234 | $ | 72,196,548 | $ | 72,460,607 | ||||||||
Shares outstanding $0.001 par value (unlimited shares authorized): | ||||||||||||||||
Institutional | 2,204,723 | — | 8,651 | 484,841 | ||||||||||||
Service | 3,273,277 | 9,555,122 | 5,980,402 | 6,104,411 | ||||||||||||
Advisor | — | — | — | 464,745 | ||||||||||||
Net asset value, offering and redemption price per share: | ||||||||||||||||
Institutional | $11.46 | — | $12.61 | $10.29 | ||||||||||||
Service | 11.46 | 16.92 | 12.05 | 10.27 | ||||||||||||
Advisor | — | — | — | 10.28 |
(a) Includes loaned securities having a market value of $166,908 for the Equity Index Fund.
(b) Segregated for initial margin and/or collateral on transactions as follows:
Fund | Forwards | Futures | Swaps | |||||||||
Core Fixed Income | $ | 210,000 | $ | 253,009 | $ | 326,636 | ||||||
Equity Index | — | 120,000 | — | |||||||||
High Quality Floating Rate | — | 85,448 | 40 |
36 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Statements of Operations
For the six months ended June 30, 2020 (Unaudited)
Core Fixed Income Fund | Equity Index Fund | Growth Opportunities Fund | High Quality Floating Rate Fund | |||||||||||||
Investment income: | ||||||||||||||||
Interest | $ | 637,986 | $ | — | $ | — | $ | 514,943 | ||||||||
Dividends — affiliated issuers | 7,535 | 5,089 | 5,501 | 25,714 | ||||||||||||
Dividends — unaffiliated issuers | — | 1,639,281 | 187,740 | — | ||||||||||||
Securities lending income — affiliated issuer | — | 754 | 150 | — | ||||||||||||
Total investment income | 645,521 | 1,645,124 | 193,391 | 540,657 | ||||||||||||
Expenses: | ||||||||||||||||
Management fees | 114,774 | 240,960 | 286,812 | 118,138 | ||||||||||||
Professional fees | 58,526 | 45,232 | 45,232 | 52,664 | ||||||||||||
Distribution and Service fees(a) | 46,787 | 200,800 | 82,299 | 93,252 | ||||||||||||
Custody, accounting and administrative services | 37,340 | 31,877 | 29,044 | 31,433 | ||||||||||||
Printing and mailing costs | 36,101 | 55,504 | 30,685 | 30,853 | ||||||||||||
Trustee fees | 9,436 | 9,545 | 9,453 | 9,461 | ||||||||||||
Transfer Agency fees(a) | 5,738 | 16,063 | 6,593 | 7,621 | ||||||||||||
Other | 3,078 | 8,151 | 2,655 | 2,153 | ||||||||||||
Total expenses | 311,780 | 608,132 | 492,773 | 345,575 | ||||||||||||
Less — expense reductions | (147,623 | ) | (221,225 | ) | (159,736 | ) | (122,060 | ) | ||||||||
Net expenses | 164,157 | 386,907 | 333,037 | 223,515 | ||||||||||||
NET INVESTMENT INCOME (LOSS) | 481,364 | 1,258,217 | (139,646 | ) | 317,142 | |||||||||||
Realized and unrealized gain (loss): | ||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||
Investments — unaffiliated issuers | 636,942 | 6,511,228 | 7,478,527 | (37,187 | ) | |||||||||||
Investments — affiliated issuers | — | 17,905 | — | — | ||||||||||||
Futures contracts | 1,167,726 | (55,513 | ) | — | (243,833 | ) | ||||||||||
Purchased options | 14,001 | — | — | — | ||||||||||||
Swap contracts | (85,943 | ) | — | — | (70,972 | ) | ||||||||||
Forward foreign currency exchange contracts | 6,514 | — | — | — | ||||||||||||
Foreign currency transactions | (2,483 | ) | — | — | — | |||||||||||
Written options | (670 | ) | — | — | — | |||||||||||
Net change in unrealized gain (loss) on: | ||||||||||||||||
Investments — affiliated issuers | — | (86,838 | ) | — | — | |||||||||||
Investments — unaffiliated issuers | 1,548,331 | (14,237,189 | ) | (2,577,389 | ) | (84,086 | ) | |||||||||
Futures contracts | 177,950 | 12,055 | — | (67,943 | ) | |||||||||||
Purchased options | 2,525 | — | — | — | ||||||||||||
Swap contracts | (73,211 | ) | — | — | 148 | |||||||||||
Forward foreign currency exchange contracts | 40,098 | — | — | — | ||||||||||||
Foreign currency translation | 1,944 | — | — | — | ||||||||||||
Written options | (3,335 | ) | — | — | — | |||||||||||
Net realized and unrealized gain (loss) | 3,430,389 | (7,838,352 | ) | 4,901,138 | (503,873 | ) | ||||||||||
NET INCREASE (DECREASE) IN NET ASSETS RESULTING FROM OPERATIONS | $ | 3,911,753 | $ | (6,580,135 | ) | $ | 4,761,492 | $ | (186,731 | ) |
(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 | $ | 46,787 | N/A | $ | 1,995 | $ | 3,743 | N/A | ||||||||||||
Equity Index | 200,800 | N/A | N/A | 16,063 | N/A | |||||||||||||||
Growth Opportunities | 82,299 | N/A | 9 | 6,584 | N/A | |||||||||||||||
High Quality Floating Rate | 82,202 | $ | 11,050 | 493 | 6,576 | $ | 552 |
The accompanying notes are an integral part of these financial statements. | 37 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Statements of Changes in Net Assets
Core Fixed Income Fund | Equity Index Fund | |||||||||||||||
For the Six Months Ended June 30, 2020 (Unaudited) | For the Fiscal Year Ended December 31, 2019 | For the Six Months Ended June 30, 2020 (Unaudited) | For the Fiscal Year Ended December 31, 2019 | |||||||||||||
From operations: | ||||||||||||||||
Net investment income | $ | 481,364 | $ | 1,022,839 | $ | 1,258,217 | $ | 2,531,854 | ||||||||
Net realized gain | 1,736,087 | 1,194,506 | 6,473,620 | 11,604,572 | ||||||||||||
Net change in unrealized gain (loss) | 1,694,302 | 1,374,149 | (14,311,972 | ) | 31,157,396 | |||||||||||
Net increase (decrease) in net assets resulting from operations | 3,911,753 | 3,591,494 | (6,580,135 | ) | 45,293,822 | |||||||||||
Distributions to shareholders: | ||||||||||||||||
From distributable earnings: | ||||||||||||||||
Institutional Shares | (292,966 | ) | (194,059 | ) | — | — | ||||||||||
Service Shares | (476,547 | ) | (941,156 | ) | — | (13,028,301 | ) | |||||||||
Total distributions to shareholders | (769,513 | ) | (1,135,215 | ) | — | (13,028,301 | ) | |||||||||
From share transactions: | ||||||||||||||||
Proceeds from sales of shares | 9,456,153 | 16,196,196 | 2,048,164 | 2,326,474 | ||||||||||||
Reinvestment of distributions | 769,513 | 1,135,215 | — | 13,028,301 | ||||||||||||
Cost of shares redeemed | (5,548,861 | ) | (3,916,341 | ) | (13,307,807 | ) | (23,176,553 | ) | ||||||||
Net increase (decrease) in net assets resulting from share transactions | 4,676,805 | 13,415,070 | (11,259,643 | ) | (7,821,778 | ) | ||||||||||
TOTAL INCREASE (DECREASE) | 7,819,045 | 15,871,349 | (17,839,778 | ) | 24,443,743 | |||||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 54,944,802 | 39,073,453 | 179,542,012 | 155,098,269 | ||||||||||||
End of period | $ | 62,763,847 | $ | 54,944,802 | $ | 161,702,234 | $ | 179,542,012 |
38 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Statements of Changes in Net Assets (continued)
Growth Opportunities Fund | High Quality Floating Rate Fund | |||||||||||||||
For the Six Months Ended June 30, 2020 (Unaudited) | For the Fiscal Year Ended December 31, 2019 | For the Six Months Ended June 30, 2020 (Unaudited) | For the Fiscal Year Ended December 31, 2019 | |||||||||||||
From operations: | ||||||||||||||||
Net investment income (loss) | $ | (139,646 | ) | $ | (198,140 | ) | $ | 317,142 | $ | 1,640,507 | ||||||
Net realized gain (loss) | 7,478,527 | 12,665,789 | (351,992 | ) | (156,295 | ) | ||||||||||
Net change in unrealized gain (loss) | (2,577,389 | ) | 7,849,468 | (151,881 | ) | 164,041 | ||||||||||
Net increase (decrease) in net assets resulting from operations | 4,761,492 | 20,317,117 | (186,731 | ) | 1,648,253 | |||||||||||
Distributions to shareholders: | ||||||||||||||||
From distributable earnings: | ||||||||||||||||
Institutional Shares | — | (16,254 | ) | (37,409 | ) | (76,241 | ) | |||||||||
Service Shares | — | (14,062,222 | ) | (420,723 | ) | (1,495,755 | ) | |||||||||
Advisor Shares | — | — | (28,527 | ) | (131,008 | ) | ||||||||||
Total distributions to shareholders | — | (14,078,476 | ) | (486,659 | ) | (1,703,004 | ) | |||||||||
From share transactions: | ||||||||||||||||
Proceeds from sales of shares | 6,514,275 | 8,229,475 | 4,901,290 | 10,613,133 | ||||||||||||
Reinvestment of distributions | — | 14,078,476 | 486,659 | 1,703,004 | ||||||||||||
Cost of shares redeemed | (12,579,078 | ) | (15,016,361 | ) | (13,558,825 | ) | (13,250,898 | ) | ||||||||
Net increase (decrease) in net assets resulting from share transactions | (6,064,803 | ) | 7,291,590 | (8,170,876 | ) | (934,761 | ) | |||||||||
TOTAL INCREASE (DECREASE) | (1,303,311 | ) | 13,530,231 | (8,844,266 | ) | (989,512 | ) | |||||||||
Net Assets: | ||||||||||||||||
Beginning of period | 73,499,859 | 59,969,628 | 81,304,873 | 82,294,385 | ||||||||||||
End of period | $ | 72,196,548 | $ | 73,499,859 | $ | 72,460,607 | $ | 81,304,873 |
The accompanying notes are an integral part of these financial statements. | 39 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Core Fixed Income Fund | ||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.85 | $ | 10.20 | $ | 10.66 | $ | 10.61 | $ | 10.53 | $ | 10.75 | ||||||||||||
Net investment income(a) | 0.10 | 0.26 | 0.29 | 0.23 | 0.24 | 0.27 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.67 | 0.69 | (0.37 | ) | 0.13 | 0.08 | (0.20 | ) | ||||||||||||||||
Total from investment operations | 0.77 | 0.95 | (0.08 | ) | 0.36 | 0.32 | 0.07 | |||||||||||||||||
Distributions to shareholders from net investment income | (0.16 | ) | (0.30 | ) | (0.38 | ) | (0.31 | ) | (0.24 | ) | (0.29 | ) | ||||||||||||
Net asset value, end of period | $ | 11.46 | $ | 10.85 | $ | 10.20 | $ | 10.66 | $ | 10.61 | $ | 10.53 | ||||||||||||
Total return(b) | 7.11 | % | 9.28 | % | (0.58 | )% | 3.40 | % | 2.98 | % | 0.60 | % | ||||||||||||
Net assets, end of period (in 000s) | $ | 25,258 | $ | 17,421 | $ | 2,657 | $ | 241 | $ | 90 | $ | 26 | ||||||||||||
Ratio of net expenses to average net assets | 0.41 | %(c) | 0.44 | % | 0.42 | % | 0.42 | % | 0.43 | % | 0.42 | % | ||||||||||||
Ratio of total expenses to average net assets | 0.93 | %(c) | 1.08 | % | 1.06 | % | 0.65 | % | 0.65 | % | 0.74 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.82 | %(c) | 2.41 | % | 2.88 | % | 2.18 | % | 2.28 | % | 2.53 | % | ||||||||||||
Portfolio turnover rate(d) | 267 | % | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(c) | Annualized. |
(d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
40 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST CORE FIXED INCOME FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Core Fixed Income Fund | ||||||||||||||||||||||||
Service Shares | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.85 | $ | 10.21 | $ | 10.65 | $ | 10.60 | $ | 10.53 | $ | 10.76 | ||||||||||||
Net investment income(a) | 0.09 | 0.25 | 0.25 | 0.21 | 0.22 | 0.24 | ||||||||||||||||||
Net realized and unrealized gain (loss) | 0.66 | 0.66 | (0.34 | ) | 0.12 | 0.07 | (0.21 | ) | ||||||||||||||||
Total from investment operations | 0.75 | 0.91 | (0.09 | ) | 0.33 | 0.29 | 0.03 | |||||||||||||||||
Distributions to shareholders from net investment income | (0.14 | ) | (0.27 | ) | (0.35 | ) | (0.28 | ) | (0.22 | ) | (0.26 | ) | ||||||||||||
Net asset value, end of period | $ | 11.46 | $ | 10.85 | $ | 10.21 | $ | 10.65 | $ | 10.60 | $ | 10.53 | ||||||||||||
Total return(b) | 6.98 | % | 9.00 | % | (0.83 | )% | 3.14 | % | 2.70 | % | 0.27 | % | ||||||||||||
Net assets, end of period (in 000s) | $ | 37,506 | $ | 37,524 | $ | 36,416 | $ | 108,948 | $ | 110,476 | $ | 104,924 | ||||||||||||
Ratio of net expenses to average net assets | 0.66 | %(c) | 0.68 | % | 0.67 | % | 0.67 | % | 0.67 | % | 0.67 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.17 | %(c) | 1.35 | % | 1.18 | % | 0.90 | % | 0.91 | % | 0.99 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.60 | %(c) | 2.33 | % | 2.46 | % | 1.95 | % | 2.05 | % | 2.27 | % | ||||||||||||
Portfolio turnover rate(d) | 267 | % | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(c) | Annualized. |
(d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 41 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST EQUITY INDEX FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Equity Index Fund | ||||||||||||||||||||||||
Service Shares | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 17.50 | $ | 14.43 | $ | 16.60 | $ | 14.49 | $ | 13.91 | $ | 14.91 | ||||||||||||
Net investment income(a) | 0.13 | 0.25 | 0.25 | 0.24 | 0.25 | 0.32 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.71 | ) | 4.18 | (1.04 | ) | 2.85 | 1.35 | (0.18 | ) | |||||||||||||||
Total from investment operations | (0.58 | ) | 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 period | $ | 16.92 | $ | 17.50 | $ | 14.43 | $ | 16.60 | $ | 14.49 | $ | 13.91 | ||||||||||||
Total return(b) | (3.31 | )% | 30.85 | % | (4.87 | )% | 21.29 | % | 11.41 | % | 0.94 | % | ||||||||||||
Net assets, end of period (in 000s) | $ | 161,702 | $ | 179,542 | $ | 155,098 | $ | 179,036 | $ | 165,551 | $ | 169,295 | ||||||||||||
Ratio of net expenses to average net assets | 0.48 | %(c) | 0.50 | % | 0.48 | % | 0.48 | % | 0.48 | % | 0.48 | % | ||||||||||||
Ratio of total expenses to average net assets | 0.76 | %(c) | 0.78 | % | 0.72 | % | 0.71 | % | 0.73 | % | 0.70 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.57 | %(c) | 1.48 | % | 1.48 | % | 1.53 | % | 1.73 | % | 2.15 | % | ||||||||||||
Portfolio turnover rate(d) | 1 | % | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(c) | Annualized. |
(d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
42 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Growth Opportunities Fund | ||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31,* | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.50 | $ | 10.51 | $ | 31.13 | $ | 27.13 | $ | 26.86 | $ | 30.89 | ||||||||||||
Net investment loss(a) | (0.01 | ) | (0.01 | ) | (0.02 | ) | (0.04 | ) | (0.07 | ) | (0.06 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 1.12 | 3.59 | (1.30 | ) | 7.40 | 0.52 | (1.55 | ) | ||||||||||||||||
Total from investment operations | 1.11 | 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 period | $ | 12.61 | $ | 11.50 | $ | 10.51 | $ | 31.13 | $ | 27.13 | $ | 26.86 | ||||||||||||
Total return(b) | 9.65 | % | 34.35 | % | (4.17 | )% | 27.14 | % | 1.71 | % | (5.20 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 109 | $ | 94 | $ | 59 | $ | 52 | $ | 3,518 | $ | 32 | ||||||||||||
Ratio of net expenses to average net assets | 0.85 | %(c) | 0.88 | % | 0.85 | % | 0.87 | % | 0.89 | % | 0.93 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.25 | %(c) | 1.26 | % | 1.20 | % | 1.14 | % | 1.16 | % | 1.14 | % | ||||||||||||
Ratio of net investment loss to average net assets | (0.26 | )%(c) | (0.12 | )% | (0.08 | )% | (0.13 | )% | (0.26 | )% | (0.19 | )% | ||||||||||||
Portfolio turnover rate(d) | 46 | % | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(c) | Annualized. |
(d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 43 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST GROWTH OPPORTUNITIES FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Growth Opportunities Fund | ||||||||||||||||||||||||
Service Shares | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31,* | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.00 | $ | 10.15 | $ | 30.80 | $ | 26.92 | $ | 26.71 | $ | 30.78 | ||||||||||||
Net investment loss(a) | (0.02 | ) | (0.02 | ) | (0.07 | ) | (0.08 | ) | (0.10 | ) | (0.11 | ) | ||||||||||||
Net realized and unrealized gain (loss) | 1.07 | 3.46 | (1.28 | ) | 7.32 | 0.49 | (1.54 | ) | ||||||||||||||||
Total from investment operations | 1.05 | 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 period | $ | 12.05 | $ | 11.00 | $ | 10.15 | $ | 30.80 | $ | 26.92 | $ | 26.71 | ||||||||||||
Total return(b) | 9.55 | % | 34.06 | % | (4.34 | )% | 26.92 | % | 1.42 | % | (5.20 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 72,087 | $ | 73,406 | $ | 59,910 | $ | 170,785 | $ | 155,924 | $ | 168,653 | ||||||||||||
Ratio of net expenses to average net assets | 1.01 | %(c) | 1.04 | % | 1.01 | % | 1.02 | % | 1.05 | % | 1.09 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.49 | %(c) | 1.51 | % | 1.44 | % | 1.39 | % | 1.40 | % | 1.40 | % | ||||||||||||
Ratio of net investment loss to average net assets | (0.42 | )%(c) | (0.28 | )% | (0.24 | )% | (0.26 | )% | (0.37 | )% | (0.36 | )% | ||||||||||||
Portfolio turnover rate(d) | 46 | % | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(c) | Annualized. |
(d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
44 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST HIGH QUALITY FLOATING RATE FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs High Quality Floating Rate Fund | ||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.37 | $ | 10.38 | $ | 10.42 | $ | 10.41 | $ | 10.40 | $ | 10.49 | ||||||||||||
Net investment income(a) | 0.05 | 0.22 | 0.24 | 0.14 | 0.11 | 0.06 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.05 | ) | 0.01 | (0.06 | ) | 0.03 | 0.03 | (0.08 | ) | |||||||||||||||
Total from investment operations | — | (b) | 0.23 | 0.18 | 0.17 | 0.14 | (0.02 | ) | ||||||||||||||||
Distributions to shareholders from net investment income | (0.08 | ) | (0.24 | ) | (0.22 | ) | (0.16 | ) | (0.13 | ) | (0.07 | ) | ||||||||||||
Net asset value, end of period | $ | 10.29 | $ | 10.37 | $ | 10.38 | $ | 10.42 | $ | 10.41 | $ | 10.40 | ||||||||||||
Total return(c) | (0.01 | )% | 2.27 | % | 1.75 | % | 1.62 | % | 1.35 | % | (0.16 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 4,989 | $ | 4,877 | $ | 2,326 | $ | 57 | $ | 25 | $ | 25 | ||||||||||||
Ratio of net expenses to average net assets | 0.34 | %(d) | 0.37 | % | 0.34 | % | 0.36 | % | 0.39 | % | 0.38 | % | ||||||||||||
Ratio of total expenses to average net assets | 0.67 | %(d) | 0.66 | % | 0.63 | % | 0.72 | % | 0.78 | % | 0.81 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.04 | %(d) | 2.15 | % | 2.28 | % | 1.33 | % | 1.03 | % | 0.54 | % | ||||||||||||
Portfolio turnover rate(e) | 16 | % | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(d) | Annualized. |
(e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 45 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST HIGH QUALITY FLOATING RATE FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs High Quality Floating Rate Fund | ||||||||||||||||||||||||
Service Shares | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.35 | $ | 10.36 | $ | 10.40 | $ | 10.38 | $ | 10.38 | $ | 10.47 | ||||||||||||
Net investment income(a) | 0.04 | 0.21 | 0.19 | 0.11 | 0.08 | 0.03 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.05 | ) | — | (b) | (0.03 | ) | 0.04 | 0.02 | (0.07 | ) | ||||||||||||||
Total from investment operations | (0.01 | ) | 0.21 | 0.16 | 0.15 | 0.10 | (0.04 | ) | ||||||||||||||||
Distributions to shareholders from net investment income | (0.07 | ) | (0.22 | ) | (0.20 | ) | (0.13 | ) | (0.10 | ) | (0.05 | ) | ||||||||||||
Net asset value, end of period | $ | 10.27 | $ | 10.35 | $ | 10.36 | $ | 10.40 | $ | 10.38 | $ | 10.38 | ||||||||||||
Total return(c) | (0.13 | )% | 2.01 | % | 1.50 | % | 1.47 | % | 1.00 | % | (0.42 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 62,693 | $ | 69,964 | $ | 72,784 | $ | 66,548 | $ | 66,710 | $ | 69,625 | ||||||||||||
Ratio of net expenses to average net assets | 0.59 | %(d) | 0.62 | % | 0.60 | % | 0.61 | % | 0.65 | % | 0.64 | % | ||||||||||||
Ratio of total expenses to average net assets | 0.91 | %(d) | 0.90 | % | 0.91 | % | 0.97 | % | 1.04 | % | 1.05 | % | ||||||||||||
Ratio of net investment income to average net assets | 0.83 | %(d) | 2.00 | % | 1.82 | % | 1.08 | % | 0.77 | % | 0.28 | % | ||||||||||||
Portfolio turnover rate(e) | 16 | % | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(d) | Annualized. |
(e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
46 | 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 Period
Goldman Sachs High Quality Floating Rate Fund | ||||||||||||||||||||||||
Advisor Shares | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 10.36 | $ | 10.37 | $ | 10.41 | $ | 10.40 | $ | 10.40 | $ | 10.49 | ||||||||||||
Net investment income(a) | 0.04 | 0.19 | 0.18 | 0.10 | 0.06 | 0.01 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.06 | ) | — | (b) | (0.04 | ) | 0.03 | 0.03 | (0.06 | ) | ||||||||||||||
Total from investment operations | (0.02 | ) | 0.19 | 0.14 | 0.13 | 0.09 | (0.05 | ) | ||||||||||||||||
Distributions to shareholders from net investment income | (0.06 | ) | (0.20 | ) | (0.18 | ) | (0.12 | ) | (0.09 | ) | (0.04 | ) | ||||||||||||
Net asset value, end of period | $ | 10.28 | $ | 10.36 | $ | 10.37 | $ | 10.41 | $ | 10.40 | $ | 10.40 | ||||||||||||
Total return(c) | (0.20 | )% | 1.85 | % | 1.37 | % | 1.26 | % | 0.96 | % | (0.57 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 4,778 | $ | 6,464 | $ | 7,184 | $ | 4,726 | $ | 1,658 | $ | 1,315 | ||||||||||||
Ratio of net expenses to average net assets | 0.74 | %(d) | 0.76 | % | 0.75 | % | 0.76 | % | 0.80 | % | 0.78 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.06 | %(d) | 1.05 | % | 1.05 | % | 1.12 | % | 1.18 | % | 1.25 | % | ||||||||||||
Ratio of net investment income to average net assets | 0.72 | %(d) | 1.86 | % | 1.69 | % | 0.96 | % | 0.62 | % | 0.12 | % | ||||||||||||
Portfolio turnover rate(e) | 16 | % | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(d) | Annualized. |
(e) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 47 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements
June 30, 2020 (Unaudited)
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 an open-end management investment company. The following table lists those series of the Trust that are included in this report (collectively, the “Funds” or individually a “Fund”), along with their corresponding share classes and respective diversification status under the Act:
Fund | Share Classes Offered | Diversified/ Non-diversified | ||||
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.
2. SIGNIFICANT ACCOUNTING POLICIES
The financial statements have been prepared in accordance with accounting principles generally accepted in the United States of America (“GAAP”) and require management to make estimates and assumptions that may affect the reported amounts and disclosures. Actual results may differ from those estimates and assumptions. Each Fund is an investment company under GAAP and follows the accounting and reporting guidance applicable to investment companies.
A. Investment Valuation — The Funds’ valuation policy is to value investments at fair value.
B. Investment Income and Investments — Investment income includes interest income, dividend income, and securities lending income, if any. Interest income is accrued daily and adjusted for amortization of premiums and accretion of discounts. Dividend income is recognized on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. 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, and non-class specific expenses of each Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by a Fund are charged to that Fund, while such expenses incurred by the Trust are allocated across the applicable Funds on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class-specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service and Transfer Agency fees.
48
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
D. Federal Taxes and Distributions to Shareholders — It is each Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, each Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid according to the following schedule:
Fund | Income Distributions Declared/Paid | Capital Gains Distributions Declared/Paid | ||
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.
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).
The Board of Trustees (“Trustees”) has approved Valuation Procedures that govern the valuation of the portfolio investments held by the Funds, including investments for which market quotations are not readily available. The Trustees have delegated to GSAM
49
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Funds’ investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a U.S. securities exchange or the NASDAQ system, or those located on certain foreign exchanges, including but not limited to the Americas, are valued daily at their last sale price or official closing price on the principal exchange or system on which they are traded. If there is no sale or official closing price or such price is believed by GSAM to not represent fair value, equity securities 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. Certain equity securities containing unique attributes may be classified as Level 2.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price for long positions or the last ask price for short positions, and are generally classified as Level 2.
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.
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
50
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
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 of two-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Forward Contracts — A forward contract is a contract between two parties to buy or sell an asset at a specified price on a future date. A forward contract settlement can occur on a cash or delivery basis. Forward contracts are marked-to-market daily using independent vendor prices, and the change in value, if any, is recorded as an unrealized gain or loss. Cash and certain investments may be used to collateralize forward contracts.
51
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
A forward foreign currency exchange contract is a forward contract in which a Fund agrees to receive or deliver a fixed quantity of one currency for another, at a pre-determined price at a future date. All forward foreign currency exchange contracts are marked-to-market daily 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 subsequently marked-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 subsequently marked-to-market to reflect the current value of the option. Certain options may be purchased with premiums to be determined on a future date. The premiums for these options are based upon implied volatility parameters at specified terms.
iv. Swap Contracts — Bilateral swap contracts are agreements in which a Fund and a counterparty agree to exchange periodic payments on a specified notional amount or make a net payment upon termination. Bilateral swap transactions are privately negotiated in the OTC market and payments are settled through direct payments between a Fund and the counterparty. By contrast, certain swap transactions are subject to mandatory central clearing. These swaps are executed through a derivatives clearing member (“DCM”), acting in an agency capacity, and submitted to a central counterparty (“CCP”) (“centrally cleared swaps”), in which case all payments are settled with the CCP through the DCM. Swaps are marked-to-market daily using pricing vendor quotations, counterparty or clearinghouse prices or model prices, and the change in value, if any, is recorded as an unrealized gain or loss. Upon entering into a swap contract, a Fund is required to satisfy an initial margin requirement by delivering cash or securities to the counterparty (or in some cases, segregated in a triparty account on behalf of the counterparty), which can be adjusted by any mark-to-market gains or losses pursuant to bilateral or centrally cleared arrangements. For centrally cleared swaps the daily change in valuation, if any, is recorded as a receivable or payable for variation margin.
An interest rate swap is an agreement that obligates two parties to exchange a series of cash flows at specified intervals, based upon or calculated by reference to changes in interest rates on a specified notional principal amount. The payment flows are usually netted against each other, with the difference being paid by one party to the other.
A credit default swap is an agreement that involves one party (the buyer of protection) making a stream of payments to another party (the seller of protection) in exchange for the right to receive protection on a reference security or obligation, including a group of assets or exposure to the performance of an index. A Fund’s investment in credit default swaps may involve greater risks than if the Fund had invested in the referenced obligation directly. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring and obligation acceleration. If a Fund buys protection through a credit default swap and no credit event occurs, its payments are limited to the periodic payments previously made to the counterparty. Upon the occurrence of a specified credit event, a Fund, as a buyer of credit protection, is entitled to receive an amount equal to the notional amount of the swap and deliver to the seller the defaulted reference obligation in a physically settled trade. A Fund may also receive a net settlement amount in the form of cash or securities equal to the notional amount of the swap reduced by the recovery value of the reference obligation in a cash settled trade.
As a seller of protection, a Fund generally receives a payment stream throughout the term of the swap, provided that there is no credit event. In addition, if a Fund sells protection through a credit default swap, a Fund could suffer a loss because the value of the referenced obligation and the premium payments received may be less than the notional amount of the swap paid
52
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
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 June 30, 2020:
CORE FIXED INCOME | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Fixed Income | ||||||||||||
Corporate Bonds | $ | — | $ | 29,184,454 | $ | — | ||||||
Mortgage-Backed Securities | — | 25,654,284 | — | |||||||||
Collateralized Mortgage Obligations | — | 620,243 | — | |||||||||
Commercial Mortgage-Backed Security | — | 281,443 | — | |||||||||
U.S. Treasury Obligations and/or Other U.S. Government Agencies | 8,791,171 | — | — | |||||||||
Asset-Backed Securities | — | 3,105,635 | — | |||||||||
Foreign Government Securities | — | 1,388,508 | — | |||||||||
Municipal Bonds | — | 725,096 | — | |||||||||
U.S. Government Agency Security | — | 1,120,245 | — | |||||||||
Investment Company | 5,440,087 | — | — | |||||||||
Total | $ | 14,231,258 | $ | 62,079,908 | $ | — |
53
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
CORE FIXED INCOME (continued) | ||||||||||||
Derivative Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets(a) | ||||||||||||
Forward Foreign Currency Exchange Contracts | $ | — | $ | 107,463 | $ | — | ||||||
Futures Contracts | 34,546 | — | — | |||||||||
Credit Default Swap Contracts | — | 17,929 | — | |||||||||
Interest Rate Swap Contracts | — | 41,936 | — | |||||||||
Total | $ | 34,546 | $ | 167,328 | $ | — | ||||||
Liabilities | ||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | — | $ | (106,104 | ) | $ | — | |||||
Futures Contracts(a) | (23,022 | ) | — | — | ||||||||
Credit Default Swap Contracts(a) | — | (9,406 | ) | — | ||||||||
Interest Rate Swap Contracts(a) | — | (73,827 | ) | — | ||||||||
Written Options Contracts | — | (22,885 | ) | — | ||||||||
Total | $ | (23,022 | ) | $ | (212,222 | ) | $ | — | ||||
EQUITY INDEX | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(b) | ||||||||||||
Europe | $ | 710,262 | $ | — | $ | — | ||||||
North America | 159,577,795 | 403 | — | |||||||||
Securities Lending Reinvestment Vehicle | 172,563 | — | — | |||||||||
Total | $ | 160,460,620 | $ | 403 | $ | — | ||||||
Derivative Type | ||||||||||||
Assets(a) | ||||||||||||
Futures Contracts | $ | 33,227 | $ | — | $ | — | ||||||
GROWTH OPPORTUNITIES | ||||||||||||
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(b) | ||||||||||||
North America | $ | 68,951,737 | $ | — | $ | — | ||||||
South America | 800,445 | — | — | |||||||||
Investment Company | 2,576,120 | — | — | |||||||||
Total | $ | 72,328,302 | $ | — | $ | — |
(a) | Amount shown represents unrealized gain (loss) at period end. |
(b) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of NAV. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. |
54
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
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 | $ | 25,061,428 | $ | — | $ | — | ||||||
Mortgage-Backed Securities | — | 1,830,517 | — | |||||||||
Collateralized Mortgage Obligations | — | 19,293,645 | — | |||||||||
Asset-Backed Securities | — | 19,294,606 | — | |||||||||
Municipal Bond | — | 96,380 | — | |||||||||
Supranational | — | 2,529,406 | — | |||||||||
U.S. Government Agency Security | — | 1,498,838 | — | |||||||||
Investment Company | 6,647,869 | — | — | |||||||||
Total | $ | 31,709,297 | $ | 44,543,392 | $ | — | ||||||
Derivative Type | ||||||||||||
Assets(a) | ||||||||||||
Futures Contracts | $ | 2,251 | $ | — | $ | — | ||||||
Interest Rate Swap Contract | — | 139 | — | |||||||||
Total | $ | 2,251 | $ | 139 | $ | — | ||||||
Liabilities(a) | ||||||||||||
Futures Contracts | $ | (19,871 | ) | $ | — | $ | — |
(a) | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Schedules of Investments.
4. INVESTMENTS IN DERIVATIVES
The following tables set forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) as of June 30, 2020. These instruments were used as part of the Funds’ investment strategies and to obtain and/or manage exposure related to the risks below. The values in the tables below exclude the effects of cash collateral received or posted pursuant to these derivative contracts, and therefore are not representative of the Funds’ net exposure.
Core Fixed Income
Risk | Statements of Assets and Liabilities | Assets | Statements of Assets and Liabilities | Liabilities | ||||||||||
Interest Rate | Variation margin on futures and swaps contracts | $ | 76,482 | (a) | Written options at value, variation margin on futures and swaps contracts | $ | (119,734 | )(a) | ||||||
Credit | Receivable for unrealized gain on swap contracts and variation margin on swap contracts | 17,929 | (a) | Variation margin on swap contracts | (9,406 | ) | ||||||||
Currency | Receivables for unrealized gain on forward foreign currency exchange contracts | 107,463 | Payable for unrealized loss on forward foreign currency exchange contracts | (106,104 | ) | |||||||||
Total | $ | 201,874 | $ | (235,244 | ) |
(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 June 30, 2020 is reported within the Statements of Assets and Liabilities. |
55
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
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 | $ | 33,227 | — | $ | — | |||||||
High Quality Floating Rate | Interest Rate | Variation margin on futures and swap contracts | 2,390 | Variation margin on futures contracts | (19,871 | ) |
(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 June 30, 2020 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 six months ended June 30, 2020. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statements of Operations:
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, written options and swap contracts/Net change in unrealized gain (loss) on futures contracts, purchased option, written options and swap contracts | $ | 1,205,258 | $ | 142,643 | 135 | ||||||||
Credit | Net realized gain (loss) from swap contracts/Net change in unrealized gain (loss) on swap contracts | (110,144 | ) | (38,714 | ) | 13 | ||||||||
Currency | Net realized gain (loss) from forward foreign currency exchange contracts/Net change in unrealized gain (loss) on forward foreign currency exchange contracts | 6,514 | 40,098 | 139 | ||||||||||
Total | $ | 1,101,628 | $ | 144,027 | 287 |
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 | $ | (55,513 | ) | $ | 12,055 | 9 |
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 | $ | (314,805 | ) | $ | (67,795 | ) | 55 |
(a) | Average number of contracts is based on the average of month end balances for the six months ended June 30, 2020. |
56
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
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 six months ended June 30, 2020, contractual and effective net management fees with GSAM were at the following rates:
Contractual Management Rate | ||||||||||||||||||||||||||||||
Fund | First $1 billion | Next $1 billion | Next $3 billion | Next $3 billion | Over $8 billion | Effective Rate | Effective Net Management Rate^ | |||||||||||||||||||||||
Core Fixed Income | 0.40 | % | 0.36 | % | 0.34 | % | 0.33 | % | 0.32 | % | 0.40 | % | 0.39 | % | ||||||||||||||||
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 29, 2021, 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 six months ended June 30, 2020, GSAM waived $2,169, $1,074, and $5,348 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 six months ended June 30, 2020, 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 29, 2021 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 a Sub-advisory Agreement with SSgA Funds Management, Inc. (“SSgA”) which serves as the sub-adviser to the Fund and provides the day-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 effective Sub-advisory fee was 0.02% for the six months ended June 30, 2020.
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 Rule 12b-1 under the Act. Under the Distribution and Service Plan, Goldman Sachs, which serves as distributor (the “Distributor”), is entitled to a fee accrued daily and paid monthly, for distribution services and personal and account maintenance services, which may then be paid by Goldman Sachs to authorized dealers, equal to, on an annual basis,
57
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
0.25% of the Fund’s average daily net assets attributable to Service Shares. For the six months ended June 30, 2020 for the 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 29, 2021, 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 Rule 12b-1 under the Act. Under the Distribution Plan, Goldman Sachs as Distributor is entitled to a fee accrued daily and paid monthly for distribution services, which may then be paid by Goldman Sachs to authorized dealers, equal to, on an annual basis, 0.15% of the Fund’s average daily net assets attributable to Advisor Shares.
C. Service Plan — 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 29, 2021, and prior to such date GSAM may not terminate the arrangements without the approval of the Trustees. In addition, the Funds have entered into certain offset arrangements with the custodian and the transfer agent, which may result in a reduction of the Funds’ expenses and are received irrespective of the application of the “Other Expense” limitations described above.
For the six months ended June 30, 2020, 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 | $ | 2,169 | $ | — | $ | 2,123 | $ | 143,331 | $ | 147,623 | ||||||||||||||
Equity Index | 72,288 | — | 1,840 | 147,097 | 221,225 | |||||||||||||||||||
Growth Opportunities | 14,261 | 29,627 | 98 | 115,750 | 159,736 | |||||||||||||||||||
High Quality Floating Rate | 5,348 | — | 3,104 | 113,608 | 122,060 |
F. Line of Credit Facility — As of June 30, 2020, the Funds participated in a $700,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate.
58
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
The facility also requires a fee to be paid by the Funds based on the amount of the commitment that has not been utilized. For the six months ended June 30, 2020, the Funds did not have any borrowings under the facility. Prior to April 28, 2020, the facility was $580,000,000.
G. Other Transactions with Affiliates — For the six months ended June 30, 2020, Goldman Sachs earned $114 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 six months ended June 30, 2020:
Fund | Name of Affiliated Issuer | Beginning Value as of December 31, 2019 | Purchases at Cost | Proceeds from Sales | Net Realized Gain (Loss) | Change in Unrealized Appreciation (Depreciation) | Ending Value as of June 30, 2020 | Shares as of June 30, 2020 | Dividend Income from Affiliated Issuer | |||||||||||||||||||||||||
Equity Index | Goldman Sachs Group, Inc. (The) | $ | 492,970 | $ | — | $ | (44,014 | ) | $ | 17,905 | $ | (86,838 | ) | $ | 380,023 | 1,923 | $ | 5,089 |
The following table provides information about the Funds’ investment in the Goldman Sachs Financial Square Government Fund as of and for the six months ended June 30, 2020:
Fund | Beginning Value as of December 31, 2019 | Purchases at Cost | Proceeds from Sales | Ending Value as of June 30, 2020 | Shares as of June 30, 2020 | Dividend Income from Affiliated Investment Company | ||||||||||||||||||||||
Core Fixed Income | $ | 1,647,077 | $ | 25,683,448 | $ | (21,890,438 | ) | $ | 5,440,087 | 5,440,087 | $ | 7,535 | ||||||||||||||||
Growth Opportunities | 998,484 | 16,475,359 | (14,897,723 | ) | 2,576,120 | 2,576,120 | 5,501 | |||||||||||||||||||||
High Quality Floating Rate | 3,128,385 | 19,987,290 | (16,467,806 | ) | 6,647,869 | 6,647,869 | 25,714 |
As of June 30, 2020, The Goldman Sachs Group, Inc. was the beneficial owner of approximately 53% 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 six months ended June 30, 2020, were as follows:
Fund | Purchases of U.S. Government and Agency Obligations | Purchases (Excluding U.S. Government and Agency Obligations) | Sales and Maturities of U.S. Government and Agency Obligations | Sales and Maturities (Excluding U.S. Government and Agency Obligations) | ||||||||||||||
Core Fixed Income | $ | 236,208,418 | $ | 13,779,063 | $ | 223,448,252 | $ | 4,527,381 | ||||||||||
Equity Index | — | 1,991,011 | — | 12,420,525 | ||||||||||||||
Growth Opportunities | — | 30,204,275 | — | 37,738,193 | ||||||||||||||
High Quality Floating Rate | 10,644,663 | 700,000 | 7,089,400 | 10,560,125 |
59
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
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 Rule 2a-7 under the Act, and is managed by GSAM, for which GSAM may receive a management fee of up to 0.16% on an annualized basis of the average daily net assets of the Government Money Market Fund.
In the event of a default by a borrower with respect to any loan, GSAL will and BNYM may exercise any and all remedies provided under the applicable borrower agreement to make the Funds whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If GSAL or BNYM are unable to purchase replacement securities, GSAL and/or BNYM will indemnify the Funds by paying the Funds an amount equal to the market value of the securities loaned minus the value of cash collateral received from the borrower for the loan, subject to an exclusion for any shortfalls resulting from a loss of value in such cash collateral due to reinvestment risk. The Funds’ master netting agreements with certain borrowers provide the right, in the event of a default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. However, in the event of a default by a borrower, a resolution authority could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of set-off that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws. The Funds’ loaned securities were all subject to enforceable Securities Lending Agreements and the value of the collateral was at least equal to the value of the cash received. The amounts of the Funds’ overnight and continuous agreements, which represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of June 30, 2020 are disclosed as “Payable upon return of securities loaned” on the Statements of Assets and Liabilities, where applicable. The Growth Opportunities Fund did not have securities on loan as of June 30, 2020.
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 six months ended June 30, 2020, are reported under Investment Income on the Statements of Operations.
The table below details securities lending activity with affiliates of Goldman Sachs:
For the Six Months ended June 30, 2020 | ||||||||||||||
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 June 30, 2020 | |||||||||||
Equity Index | $ | 82 | $ | 217 | $ | 74,700 |
60
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
7. SECURITIES LENDING (continued)
The following table provides information about the Fund’s investment in the Government Money Market Fund for the six months ended June 30, 2020:
Fund | Beginning Value as of December 31, 2019 | Purchases at Cost | Proceeds from Sales | Ending Value as of June 30, 2030 | ||||||||||||||
Equity Index | $ | — | $ | 747,578 | $ | (575,015 | ) | $ | 172,563 | |||||||||
Growth Opportunities | 809,324 | 1,235,780 | (2,045,104 | ) | — |
8. TAX INFORMATION
As of the Funds’ most recent fiscal year end, December 31, 2019, the Funds’ capital loss carryforwards and certain timing differences, on a tax-basis were as follows:
Core Fixed Income | Equity Index | Growth Opportunities | High Quality Floating Rate | |||||||||||||
Capital loss carryforwards: | ||||||||||||||||
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 | ) |
As of June 30, 2020, 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 | $ | 73,342,465 | $ | 58,859,626 | $ | 57,270,407 | $ | 76,430,508 | ||||||||
Gross unrealized gain | 3,412,373 | 110,699,937 | 16,204,867 | 355,557 | ||||||||||||
Gross unrealized loss | (443,672 | ) | (9,098,540 | ) | (1,146,972 | ) | (533,376 | ) | ||||||||
Net unrealized security gain (loss) | $ | 2,968,701 | $ | 101,601,397 | $ | 15,057,895 | $ | (177,819 | ) |
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains (losses) on regulated futures and foreign currency contracts, and differences in the tax treatment of underlying fund investments, real estate investment trust investments, partnership investments and swap transactions.
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,
61
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
9. OTHER RISKS (continued)
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 — Floating rate and variable rate obligations are debt instruments issued by companies or other entities with interest rates that reset periodically (typically, daily, monthly, quarterly, or semiannually) in response to changes in the market rate of interest on which the interest rate is based. 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 the Fund, depending on the interest rate environment or other circumstances. In a rising interest rate environment, for example, a floating or variable rate obligation that does not reset immediately would prevent the Fund from taking full advantage of rising interest rates in a timely manner. However, in a declining interest rate environment, the Fund may benefit from a lag due to an obligation’s interest rate payment not being immediately impacted by a decline in interest rates. 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 the Fund’s investments resulting from a substitute reference rate may also adversely affect the 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 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
62
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
9. OTHER RISKS (continued)
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). The value of the securities in which a Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, acts of terrorism, social unrest, natural disasters, the spread of infectious illness or other public health threats could also significantly impact a Fund and its investments. Additionally, a Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
10. INDEMNIFICATIONS
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Funds. Additionally, in the course of business, the Funds enter into contracts that contain a variety of indemnification clauses. The Funds’ maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Funds that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
11. OTHER MATTERS
In March 2020, the FASB issued Accounting Standard Update (“ASU”) No. 2020-04, “Reference Rate Reform (Topic 848): Facilitation of the Effects of Reference Rate Reform on Financial Reporting.” This ASU provides optional exceptions for applying GAAP to contract modifications, hedging relationships and other transactions affected reference rate reform if certain criteria are met. ASU 2020-04 is elective and is effective on March 12, 2020 through December 31, 2022. GSAM expects that the adoption of this guidance will not have a material impact on the Funds’ financial statements.
12. SUBSEQUENT EVENTS
Subsequent events after the Statements of Assets and Liabilities date have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
63
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
13. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
Core Fixed Income Fund | ||||||||||||||||
For the Six Months Ended June 30, 2020 (Unaudited) | For the Fiscal Year Ended December 31, 2019 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 732,645 | $ | 8,223,709 | 1,350,662 | $ | 14,627,404 | ||||||||||
Reinvestment of distributions | 26,224 | 292,966 | 18,000 | 194,059 | ||||||||||||
Shares redeemed | (159,897 | ) | (1,783,295 | ) | (23,271 | ) | (251,188 | ) | ||||||||
598,972 | 6,733,380 | 1,345,391 | 14,570,275 | |||||||||||||
Service Shares | ||||||||||||||||
Shares sold | 111,708 | 1,232,444 | 146,021 | 1,568,792 | ||||||||||||
Reinvestment of distributions | 42,853 | 476,547 | 88,008 | 941,156 | ||||||||||||
Shares redeemed | (338,685 | ) | (3,765,566 | ) | (344,474 | ) | (3,665,153 | ) | ||||||||
(184,124 | ) | (2,056,575 | ) | (110,445 | ) | (1,155,205 | ) | |||||||||
NET INCREASE | 414,848 | $ | 4,676,805 | 1,234,946 | $ | 13,415,070 | ||||||||||
Equity Index Fund | ||||||||||||||||
For the Six Months Ended June 30, 2020 (Unaudited) | For the Fiscal Year Ended December 31, 2019 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Service Shares | ||||||||||||||||
Shares sold | 131,627 | $ | 2,048,164 | 139,050 | $ | 2,326,474 | ||||||||||
Reinvestment of distributions | — | — | 753,952 | 13,028,301 | ||||||||||||
Shares redeemed | (834,709 | ) | (13,307,807 | ) | (1,382,180 | ) | (23,176,553 | ) | ||||||||
NET DECREASE | (703,082 | ) | $ | (11,259,643 | ) | (489,178 | ) | $ | (7,821,778 | ) |
64
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
13. SUMMARY OF SHARE TRANSACTIONS (continued)
Growth Opportunities Fund | ||||||||||||||||
For the Six Months Ended June 30, 2020 (Unaudited) | For the Fiscal Year Ended December 31, 2019 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 472 | $ | 5,371 | 2,251 | $ | 13,422 | ||||||||||
Reinvestment of distributions | — | — | 1,428 | 16,254 | ||||||||||||
Stock split share adjustment | — | — | (18,018 | ) | — | |||||||||||
472 | 5,371 | (14,339 | ) | 29,676 | ||||||||||||
Service Shares | ||||||||||||||||
Shares sold | 591,369 | 6,508,904 | 2,525,028 | 8,216,053 | ||||||||||||
Reinvestment of distributions | — | — | 1,291,297 | 14,062,222 | ||||||||||||
Shares redeemed | (1,281,815 | ) | (12,579,078 | ) | (2,980,276 | ) | (15,016,361 | ) | ||||||||
Stock split share adjustment | — | — | (17,764,276 | ) | — | |||||||||||
(690,446 | ) | (6,070,174 | ) | (16,928,227 | ) | 7,261,914 | ||||||||||
NET INCREASE (DECREASE) | (689,974 | ) | $ | (6,064,803 | ) | (16,942,566 | ) | $ | 7,291,590 | |||||||
High Quality Floating Rate Fund | ||||||||||||||||
For the Six Months Ended June 30, 2020 (Unaudited) | For the Fiscal Year Ended December 31, 2019 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 23,865 | $ | 245,000 | 260,218 | $ | 2,698,458 | ||||||||||
Reinvestment of distributions | 3,659 | 37,409 | 7,359 | 76,241 | ||||||||||||
Shares redeemed | (12,844 | ) | (132,793 | ) | (21,509 | ) | (223,698 | ) | ||||||||
14,680 | 149,616 | 246,068 | 2,551,001 | |||||||||||||
Service Shares | ||||||||||||||||
Shares sold | 404,009 | 4,162,023 | 528,956 | 5,487,026 | ||||||||||||
Reinvestment of distributions | 41,262 | 420,723 | 144,657 | 1,495,755 | ||||||||||||
Shares redeemed | (1,098,765 | ) | (11,276,316 | ) | (940,217 | ) | (9,752,642 | ) | ||||||||
(653,494 | ) | (6,693,570 | ) | (266,604 | ) | (2,769,861 | ) | |||||||||
Advisor Shares | ||||||||||||||||
Shares sold | 47,774 | 494,267 | 233,654 | 2,427,649 | ||||||||||||
Reinvestment of distributions | 2,796 | 28,527 | 12,653 | 131,008 | ||||||||||||
Shares redeemed | (209,500 | ) | (2,149,716 | ) | (315,266 | ) | (3,274,558 | ) | ||||||||
(158,930 | ) | (1,626,922 | ) | (68,959 | ) | (715,901 | ) | |||||||||
NET DECREASE | (797,744 | ) | $ | (8,170,876 | ) | (89,495 | ) | $ | (934,761 | ) |
65
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Liquidity Risk Management Program
Each Fund has adopted and implemented a liquidity risk management program (the “Program”) in accordance with Rule 22e-4 under the 1940 Act. The Program seeks to assess and manage each Fund’s liquidity risk, i.e., the risk that a Fund is unable to satisfy redemption requests without significantly diluting remaining investors’ interests in the Fund. The Board of Trustees of the Trust has designated GSAM, each Fund’s investment adviser, to administer the Program. Certain aspects of the Program rely on third parties to perform certain functions, including the provision of market data and application of models.
The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Fund’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of a Fund’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under Rule 22e-4); (4) for a Fund that does not invest primarily in “highly liquid investments” (as defined under Rule 22e-4), the determination of a minimum percentage of the Fund’s assets that will generally be invested in highly liquid investments (a “Highly Liquid Investment Minimum”); and (5) periodic reporting to the Board of Trustees.
At a meeting of the Board of Trustees on February 11-12, 2020, GSAM provided a written report to the Board addressing the operation, and the adequacy and effectiveness of the implementation, of the Program, including, as applicable, the operation of any Highly Liquid Investment Minimum and any material changes to the Program, for the initial period from December 1, 2018 through December 31, 2019 (the “Reporting Period”). Among other things, the annual report discussed: (1) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions; and (2) an assessment of the methodologies used to classify investments into one of four liquidity categories. The report concluded that the Program was reasonably designed to assess and manage liquidity risk and was adequately and effectively implemented during the Reporting Period.
There can be no assurance that the Program will achieve its objectives under all circumstances in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which it may be subject.
66 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Fund Expenses — Six Month Period Ended June 30, 2020 (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 January 1, 2020 through June 30, 2020, which represents a period of 182 days of a 366 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Funds’ actual net expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Funds’ actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Funds and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds.
Please note that the expenses shown in the table are meant to highlight your ongoing costs only. 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 Value 01/01/20 | Ending Account Value 06/30/20 | Expenses Paid for the 6 Months Ended 06/30/20* | Beginning Account Value 01/01/20 | Ending Account Value 06/30/20 | Expenses Paid for the 6 Months Ended 06/30/20* | Beginning Account Value 01/01/20 | Ending Account Value 06/30/20 | Expenses Paid for the 6 Months Ended 06/30/20* | Beginning Account Value 01/01/20 | Ending Account Value 06/30/20 | Expenses Paid for the 6 Months Ended 06/30/20* | ||||||||||||||||||||||||||||||||||||
Institutional | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | $ | 1,000 | $ | 1,071.10 | $ | 2.11 | N/A | N/A | N/A | $ | 1,000 | $ | 1,096.50 | $ | 4.43 | $ | 1,000 | $ | 999.90 | $ | 1.69 | |||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,022.82 | + | 2.06 | N/A | N/A | N/A | 1,000 | 1,020.64 | + | 4.27 | 1,000 | 1,023.17 | + | 1.71 | |||||||||||||||||||||||||||||||||
Service | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | 1,000 | 1,069.80 | 3.40 | $ | 1,000 | $ | 966.90 | $ | 2.35 | 1,000 | 1,095.50 | 5.26 | 1,000 | 998.70 | 2.93 | |||||||||||||||||||||||||||||||||
Hypothetical 5% return | 1,000 | 1,021.58 | + | 3.32 | 1,000 | 1,022.48 | + | 2.41 | 1,000 | 1,019.84 | + | 5.07 | 1,000 | 1,021.93 | + | 2.97 | ||||||||||||||||||||||||||||||||
Advisor | ||||||||||||||||||||||||||||||||||||||||||||||||
Actual | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | 1,000 | 998.00 | 3.68 | ||||||||||||||||||||||||||||||||||||
Hypothetical 5% return | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | N/A | 1,000 | 1,021.18 | + | 3.72 |
+ | Hypothetical expenses are based on each Fund’s actual annualized net expense ratios and an assumed rate of return of 5% per year before expenses. |
* | Expenses are calculated using each Fund’s annualized net expense ratio for each class, which represents the ongoing expenses as a percentage of net assets for the six months ended June 30, 2020. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were as follows: |
Fund | Institutional | Service | Advisor | |||||||||
Core Fixed Income | 0.41 | % | 0.66 | % | N/A | |||||||
Equity Index | N/A | 0.48 | N/A | |||||||||
Growth Opportunities | 0.85 | 1.01 | N/A | |||||||||
High Quality Floating Rate | 0.34 | 0.59 | 0.74 | % |
67
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Statement Regarding Basis for Approval of Management Agreements (Unaudited)
Background
The Goldman Sachs Core Fixed Income, Goldman Sachs Equity Index, Goldman Sachs Growth Opportunities, and Goldman Sachs High Quality Floating Rate Funds (the “Funds”) are investment portfolios of Goldman Sachs Variable Insurance Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Funds at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreements (the “Management Agreements”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Funds and the sub-advisory agreement (the “Sub-Advisory Agreement,” and together with the Management Agreements, the “Agreements”) between the Investment Adviser and SSgA Funds Management, Inc. (the “Sub-Adviser”) on behalf of the Equity Index Fund.
The Agreements were most recently approved for continuation until June 30, 2021 by the Board of Trustees, including those Trustees who are not parties to the Agreements or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 16-17, 2020 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held two meetings over the course of the year since the Agreements were last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Agreements were considered by the Board, or the Independent Trustees, as applicable. With respect to each Fund, such matters included:
(a) | the nature and quality of the advisory, administrative, and other services provided to the Fund by the Investment Adviser and its affiliates, including information about: |
(i) | the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams; |
(ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training); |
(iii) | trends in employee headcount; |
(iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
(v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
(b) | information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), a benchmark performance index, and (in the case of the Core Fixed Income Fund) a composite of accounts with comparable investment strategies managed by the Investment Adviser; and information on general investment outlooks in the markets in which the Fund invests; |
(c) | information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Fund’s peer group and/or benchmark index had high, medium, or low relevance given the Fund’s particular investment strategy; |
(d) | the terms of the Agreements and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund; |
(e) | fee and expense information for the Fund, including: |
(i) | the relative management fee and expense levels of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; |
(ii) | the Fund’s expense trends over time; and |
(iii) | to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
(f) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; |
(g) | the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations; |
68
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)
(h) | information relating to the profitability of the Management Agreements and the transfer agency and distribution and service arrangements of the Fund to the Investment Adviser and its affiliates; |
(i) | whether the Fund’s existing management fee schedule adequately addressed any economies of scale; |
(j) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, securities lending (in the case of the Equity Index Fund), portfolio trading, distribution and other services; |
(k) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
(l) | information regarding commissions paid by the Equity Index and Growth Opportunities Funds (the “Equity Funds”) and broker oversight, an update on the Investment Adviser’s soft dollars practices (with respect to the Growth Opportunities Fund), other information regarding portfolio trading, and how the Investment Adviser carries out its duty to seek best execution; |
(m) | the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers; |
(n) | the nature and quality of the services provided to the Fund by its unaffiliated service providers (including the Sub-Adviser for the Equity Index Fund), and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreements; and |
(o) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports. |
The Trustees also received an overview of the Funds’ distribution arrangements. They received information regarding the Funds’ assets, share purchase and redemption activity, and payment of distribution and service fees. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Funds and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreements at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Funds. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreements
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Funds by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates (including, with respect to the Equity Index Fund, the Investment Adviser’s oversight of the Sub-Adviser). The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the market, regulatory and control environment in which the Funds and their service providers operate, including changes associated with the COVID-19 pandemic, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees also considered information regarding the Investment Adviser’s business continuity planning and remote operations in the current environment. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Funds and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees
69
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)
also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Funds and the Investment Adviser and its affiliates.
Investment Performance
The Trustees also considered the investment performance of the Funds. In this regard, they compared the investment performance of each Fund to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2019, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2020. The information on each Fund’s investment performance was provided for the one-, three-, five-, and ten-year periods ending on the applicable dates. The Trustees also reviewed each Fund’s investment performance relative to its performance benchmark. As part of this review, they considered the investment performance trends of the Funds over time, and reviewed the investment performance of each Fund in light of its investment objective and policies and market conditions. The Trustees also received information comparing the Core Fixed Income Fund’s performance to that of a composite of accounts with comparable investment strategies managed by the Investment Adviser.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Funds’ risk profiles, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management.
The Trustees observed that the Core Fixed Income Fund’s Institutional Shares had placed in the top half of the Fund’s peer group and had underperformed the Fund’s benchmark index for the one-, three-, and five-year periods ended March 31, 2020. They noted that the Equity Index Fund’s Service Shares had placed in the top half of the Fund’s peer group and had underperformed the Fund’s benchmark index by an amount approximately equal to Fund fees and expenses for the one-, three-, five-, and ten-year periods ended March 31, 2020. The Trustees observed that the Growth Opportunities Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the one-, three-, and five-year periods, and had outperformed the Fund’s benchmark index for the one- and three-year periods and underperformed for the five-year period ended March 31, 2020. They also noted that the Growth Opportunities Fund had experienced certain portfolio management changes in 2019. The Trustees observed that the High Quality Floating Rate Fund’s Institutional Shares had placed in the third quartile of the Fund’s peer group and had underperformed the Fund’s benchmark index for the one-, three-, and five-year periods ended March 31, 2020.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Agreements and the fee rates payable by each Fund under the Management Agreements and, with respect to the Equity Index Fund, payable by the Investment Adviser under the Sub-Advisory Agreement. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Funds, which included both advisory and administrative services that were directed to the needs and operations of the Funds as registered mutual funds.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Funds. The analyses provided a comparison of each Fund’s management fee and breakpoints (as applicable) to those of a relevant peer group and category universe; an expense analysis which compared each Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing each Fund’s net expenses to the peer and category medians. The analyses also compared each Fund’s other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Funds.
In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations. The Trustees also noted that certain changes were being made to existing fee waiver or expense limitation arrangements of the Growth Opportunities Fund that would have the effect of decreasing total Fund expenses, with such changes taking effect in connection with the Fund’s next annual registration statement update. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Funds, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Funds differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.
In addition, the Trustees noted that shareholders are able to redeem their Fund shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
70
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)
Profitability
The Trustees reviewed each Fund’s contribution to the Investment Adviser’s revenues and pre-tax profit margins. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization periodically audits the expense allocation methodology and that the internal audit group was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology. Profitability data for each Fund was provided for 2019 and 2018, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability.
Economies of Scale
The Trustees considered the information that had been provided regarding whether there have been economies of scale with respect to the management of the Funds. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreement for each of the Core Fixed Income, High Quality Floating Rate and Growth Opportunities Funds at the following annual percentage rates of the average daily net assets of the Funds:
Core Fixed Income Fund | High Quality Floating Rate Fund | |||||||
First $1 billion | 0.40 | % | 0.31 | % | ||||
Next $1 billion | 0.36 | 0.28 | ||||||
Next $3 billion | 0.34 | 0.27 | ||||||
Next $3 billion | 0.33 | 0.26 | ||||||
Over $8 billion | 0.32 | 0.25 |
Growth Opportunities Fund | ||||
First $2 billion | 0.87 | % | ||
Next $3 billion | 0.78 | |||
Next $3 billion | 0.74 | |||
Over $8 billion | 0.73 |
The Trustees noted that the breakpoints were designed to share potential economies of scale, if any, with the Funds and their shareholders as assets under management reach those asset levels. The Trustees considered the amounts of assets in the Funds; the Funds’ recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer groups; and the Investment Adviser’s undertakings to waive a portion of its management fee (with respect to the Equity Index and Growth Opportunities Funds) and to limit certain expenses of the Funds that exceed specified levels as well as Goldman Sachs & Co. LLC’s (“Goldman Sachs”) undertaking to waive a portion of the distribution and service fees paid by the Growth Opportunities Fund’s Service Shares. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels.
With respect to the Equity Index Fund, the Trustees noted that, while its Management Agreement did not have breakpoints, the Investment Adviser had agreed to waive a portion of its management fee in order to achieve the following effective annual rates: 0.21% on the first $400 million of average daily net assets and 0.20% of average daily net assets in excess of $400 million. The Trustees noted that, in addition to the Investment Adviser’s management fee waiver mentioned above, the Fund’s total expenses were further reduced by the Investment Adviser’s undertaking to limit certain expenses of the Fund that exceed a specified level.
71
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Funds as stated above, including: (a) transfer agency fees received by Goldman Sachs; (b) brokerage and futures commissions earned by Goldman Sachs for executing securities transactions on behalf of the Equity Funds and futures transactions on behalf of the Funds; (c) research received by the Investment Adviser from broker-dealers in exchange for executing certain transactions on behalf of the Growth Opportunities Fund; (d) trading efficiencies resulting from aggregation of orders of the Funds with those for other funds or accounts managed by the Investment Adviser; (e) fees earned by Goldman Sachs Agency Lending (“GSAL”), an affiliate of the Investment Adviser, as securities lending agent for the Equity Index Fund (and fees earned by the Investment Adviser for managing the fund in which the Equity Index and Growth Opportunities Funds’ securities lending cash collateral is invested); (f) the Investment Adviser’s ability to leverage the infrastructure designed to service the Funds on behalf of its other clients; (g) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (h) Goldman Sachs’ retention of certain fees as Fund Distributor; (i) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Funds; (j) the investment of cash and cash collateral in money market funds managed by the Investment Adviser that will result in increased assets under management for those money market funds; and (k) the possibility that the working relationship between the Investment Adviser and the Funds’ third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
Other Benefits to the Funds and Their Shareholders
The Trustees also noted that the Funds receive certain other potential benefits as a result of their relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Funds with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors due to the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers due to the volume of business generated by the Investment Adviser and its affiliates; (d) the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties on behalf of the Funds as a result of the size and reputation of the Goldman Sachs organization; (e) the advantages received from the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Funds because of the reputation of the Goldman Sachs organization; (g) the Funds’ access, through the Investment Adviser, to certain firm-wide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; (h) the Equity Index Fund’s ability to participate in the securities lending program administered by GSAL, as measured by the revenue received by the Fund in connection with the program; and (i) the Funds’ access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Funds’ shareholders invested in the Funds in part because of the Funds’ relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
Conclusion
In connection with their consideration of the Agreements, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by each of the Funds were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and each Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit each Fund and its shareholders and that the Management Agreements should be approved and continued with respect to each Fund until June 30, 2021.
72
GOLDMAN SACHS VARIABLE INSURANCE TRUST FUNDS
Statement Regarding Basis for Approval of Management Agreements (Unaudited) (continued)
Sub-Advisory Agreement for the Equity Index Fund
Nature, Extent, and Quality of the Services Provided Under the Sub-Advisory Agreement and Investment Performance. In evaluating the Sub-Advisory Agreement, the Trustees relied upon materials furnished and presentations made by the Investment Adviser and the Sub-Adviser. In evaluating the nature, extent, and quality of services provided by the Sub-Adviser, the Trustees considered information on the services provided to the Equity Index Fund by the Sub-Adviser, including information about the Sub-Adviser’s (a) personnel and organizational structure; (b) experience in index investing and track record in tracking the performance of the Fund’s benchmark in line with the investment objective of the Fund; (c) policies and procedures in place to address potential conflicts of interest; and (d) compliance program and code of ethics. The Trustees reviewed the services provided to the Fund under the Sub-Advisory Agreement. They noted that the Fund’s Service Shares had placed in the top half of the Fund’s peer group and had underperformed the Fund’s benchmark index by an amount approximately equal to Fund fees and expenses for the one-, three-, five-, and ten-year periods ended March 31, 2020.
Costs of Services Provided. The Trustees reviewed the terms of the Sub-Advisory Agreement, including the schedule of fees payable to the Sub-Adviser. They considered the breakpoints in the sub-advisory fee rate payable under the Sub-Advisory Agreement at the following annual percentage rates of the average daily net assets of the Fund:
Average Daily Net Assets | Sub-Advisory Fee Annual Rate | |||
First $50 Million | 0.030 | % | ||
Next $200 Million | 0.020 | % | ||
Next $750 Million | 0.010 | % | ||
Over $1 Billion | 0.008 | % |
The Trustees noted that the Sub-Adviser’s compensation is paid by the Investment Adviser, not by the Fund, and that the retention of the Sub-Adviser does not increase the fees incurred by the Fund for advisory services. They considered the Investment Adviser’s belief that the relationship between the management fees paid by the Fund and the sub-advisory fees paid by the Investment Adviser is appropriate given the level of services the Investment Adviser provides to the Fund and the significant differences in cost drivers and risks associated with the respective services offered by the Investment Adviser and the Sub-Adviser, as well as the management fee waivers and expense limitations that substantially reduce the fees retained by the Investment Adviser.
Conclusion. After deliberation and consideration of the information provided, the Trustees concluded that the sub-advisory fee to be paid by the Investment Adviser to the Sub-Adviser with respect to the Equity Index Fund is reasonable in light of the services to be provided by the Sub-Adviser and the Fund’s reasonably foreseeable asset levels, and that the Sub-Advisory Agreement should be approved and continued until June 30, 2021.
73
TRUSTEES | OFFICERS | |
Jessica Palmer, Chair | James A. McNamara, President | |
Dwight L. Bush | Joseph F. DiMaria, Principal Financial Officer, Principal Accounting Officer and Treasurer Caroline L. Kraus, Secretary | |
Kathryn A. Cassidy | ||
Diana M. Daniels | ||
Joaquin Delgado | ||
James A. McNamara | ||
Roy W. Templin | ||
Gregory G. Weaver |
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 recent month-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 the 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-621-2550; and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://www.sec.gov.
The Funds will file portfolio holdings information for each month in a fiscal quarter within 60 days after the end of the relevant fiscal quarter on Form N-PORT. Portfolio holdings information for the third month of each fiscal quarter will be made available on the SEC’s web site at http://www.sec.gov. Portfolio holdings information may be obtained upon request and without charge by calling 1-800-526-7384 (for Retail Shareholders) or 1-800-621-2550 (for Institutional Shareholders).
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 June 30, 2020 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
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 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 Funds.
© 2020 Goldman Sachs. All rights reserved.
VITMLTISAR-20 211765-OTU-1243148
Goldman
Sachs Variable 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.
Semi-Annual Report
June 30, 2020
Goldman Sachs Variable Insurance Trust Small Cap Equity Insights Fund
Recent Market Events related to COVID-19
An outbreak of a novel strain of coronavirus (COVID-19) has emerged globally. The outbreak of COVID-19 has prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, curfews and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, and disruption in manufacturing and supply chains. While governments have already taken unprecedented action to limit disruption to the financial system, global financial markets have experienced and may continue to experience significant volatility resulting from the spread of and subsequent intervening measures intended to limit the spread of COVID-19. The Fund could be negatively impacted if the value of a portfolio holding were harmed by such political or economic conditions, events, or actions. The full extent of the impact of COVID-19 on the Fund’s performance cannot be determined at this time and will depend on future developments, including the duration and the continued spread of the outbreak. Goldman Sachs Asset Management’s long-term commitment to you, our Fund shareholders, remains unchanged. We encourage you to maintain perspective and stay current with timely commentary and investment insights by visiting gsam.com.
1
FUND BASICS
Small Cap Equity Insights Fund
as of June 30, 2020
PERFORMANCE REVIEW
January 1, 2020–June 30, 2020 | Fund Total Return (based on NAV)1 | Russell 2000® Index2 | ||||||
Institutional | -15.93 | % | -12.98 | % | ||||
Service | -15.99 | -12.98 |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The Russell 2000® Index (with dividends reinvested) 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 Russell 2000® Index do not include any deduction for fees, expenses or taxes. It is not possible to invest directly in an unmanaged index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
2
FUND BASICS
TOP TEN HOLDINGS AS OF 6/30/203
Holding | % of Net Assets | Line of Business | ||||
Wingstop, Inc. | 0.9 | % | Consumer Services | |||
Perspecta, Inc. | 0.8 | Software & Services | ||||
SPS Commerce, Inc. | 0.7 | Software & Services | ||||
Box, Inc. Class A | 0.7 | Software & Services | ||||
BJ’s Wholesale Club Holdings, Inc. | 0.7 | Food & Staples Retailing | ||||
Simpson Manufacturing Co., Inc. | 0.7 | Capital Goods | ||||
Louisiana-Pacific Corp. | 0.7 | Materials | ||||
QTS Realty Trust, Inc. Class A (REIT) | 0.7 | Real Estate | ||||
Sabra Health Care REIT, Inc. (REIT) | 0.7 | Real Estate | ||||
Terreno Realty Corp. (REIT) | 0.7 | Real Estate |
3 | The top 10 holdings may not be representative of the Fund’s future investments. |
FUND VS. BENCHMARK SECTOR ALLOCATIONS4
As of June 30, 2020
4 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (excluding investments in the securities lending reinvestment vehicle, if any). 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 1.5% of the Fund’s net assets at June 30, 2020. The graph depicts the Fund’s investments but may not represent the Fund’s market exposure due to the exclusion of certain derivatives, if any, as listed in the Additional Investment Information section of the Schedule of Investments. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
3
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Schedule of Investments
June 30, 2020 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 98.1% | ||||||||
Automobiles & Components – 0.4% | ||||||||
20,799 | American Axle & Manufacturing Holdings, Inc.* | $ | 158,072 | |||||
1,638 | Gentherm, Inc.* | 63,718 | ||||||
1,333 | Standard Motor Products, Inc. | 54,920 | ||||||
926 | Visteon Corp.* | 63,431 | ||||||
|
| |||||||
340,141 | ||||||||
|
| |||||||
Banks – 9.5% | ||||||||
10,149 | 1st Source Corp. | 361,101 | ||||||
6,734 | Amalgamated Bank Class A | 85,118 | ||||||
13,865 | Atlantic Capital Bancshares, Inc.* | 168,598 | ||||||
1,552 | Axos Financial, Inc.* | 34,268 | ||||||
23,514 | Bancorp, Inc. (The)* | 230,437 | ||||||
777 | BankUnited, Inc. | 15,734 | ||||||
637 | Banner Corp. | 24,206 | ||||||
3,152 | Boston Private Financial Holdings, Inc. | 21,686 | ||||||
40,349 | Cadence Bancorp | 357,492 | ||||||
537 | Capital City Bank Group, Inc. | 11,250 | ||||||
7,587 | Cathay General Bancorp | 199,538 | ||||||
20,596 | Central Pacific Financial Corp. | 330,154 | ||||||
378 | Century Bancorp, Inc. Class A | 29,378 | ||||||
4,847 | Columbia Banking System, Inc. | 137,388 | ||||||
3,514 | Community Bankers Trust Corp. | 19,327 | ||||||
27,322 | CVB Financial Corp. | 512,014 | ||||||
650 | Enterprise Bancorp, Inc. | 15,483 | ||||||
4,636 | Equity Bancshares, Inc. Class A* | 80,852 | ||||||
256 | Essent Group Ltd. | 9,285 | ||||||
9,605 | First Bancorp/NC | 240,893 | ||||||
59,156 | First Bancorp/PR | 330,682 | ||||||
29,046 | First Commonwealth Financial Corp. | 240,501 | ||||||
5,432 | First Financial Bankshares, Inc. | 156,931 | ||||||
17,684 | First Foundation, Inc. | 288,957 | ||||||
4,749 | First Internet Bancorp | 78,928 | ||||||
476 | First Mid Bancshares, Inc. | 12,486 | ||||||
684 | Hancock Whitney Corp. | 14,501 | ||||||
4,228 | Hanmi Financial Corp. | 41,054 | ||||||
11,536 | Heartland Financial USA, Inc. | 385,764 | ||||||
12,793 | Hilltop Holdings, Inc. | 236,031 | ||||||
7,791 | Hope Bancorp, Inc. | 71,833 | ||||||
5,452 | Independent Bank Group, Inc. | 220,915 | ||||||
15,322 | International Bancshares Corp. | 490,610 | ||||||
1,931 | Lakeland Bancorp, Inc. | 22,071 | ||||||
5,813 | Meridian Bancorp, Inc. | 67,431 | ||||||
417 | Metropolitan Bank Holding Corp.* | 13,377 | ||||||
2,350 | Mr Cooper Group, Inc.* | 29,234 | ||||||
3,816 | National Bank Holdings Corp. Class A | 103,032 | ||||||
974 | NMI Holdings, Inc. Class A* | 15,662 | ||||||
556 | Northrim Bancorp, Inc. | 13,978 | ||||||
730 | Parke Bancorp, Inc. | 9,892 | ||||||
11,220 | PennyMac Financial Services, Inc. | 468,884 | ||||||
2,413 | Preferred Bank | 103,397 | ||||||
1,756 | Riverview Bancorp, Inc. | 9,921 | ||||||
3,977 | Sierra Bancorp | 75,086 | ||||||
2,427 | Simmons First National Corp. Class A | 41,526 | ||||||
342 | Territorial Bancorp, Inc. | 8,136 | ||||||
1,596 | Texas Capital Bancshares, Inc.* | 49,269 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Banks – (continued) | ||||||||
645 | Timberland Bancorp, Inc. | 11,746 | ||||||
13,227 | TriCo Bancshares | 402,762 | ||||||
3,745 | TriState Capital Holdings, Inc.* | 58,834 | ||||||
5,226 | Walker & Dunlop, Inc. | 265,533 | ||||||
1,704 | Washington Federal, Inc. | 45,735 | ||||||
4,310 | Westamerica Bancorp | 247,480 | ||||||
|
| |||||||
7,516,381 | ||||||||
|
| |||||||
Capital Goods – 8.1% | ||||||||
2,027 | AAON, Inc. | 110,046 | ||||||
7,751 | Aegion Corp.* | 123,008 | ||||||
8,482 | Aerojet Rocketdyne Holdings, Inc.* | 336,227 | ||||||
5,371 | Albany International Corp. Class A | 315,331 | ||||||
3,710 | Astronics Corp.* | 39,178 | ||||||
10,182 | Atkore International Group, Inc.* | 278,478 | ||||||
2,485 | Barnes Group, Inc. | 98,307 | ||||||
1,912 | Builders FirstSource, Inc.* | 39,578 | ||||||
2,431 | Chart Industries, Inc.* | 117,879 | ||||||
3,825 | Columbus McKinnon Corp. | 127,946 | ||||||
2,757 | CSW Industrials, Inc. | 190,536 | ||||||
1,354 | Douglas Dynamics, Inc. | 47,553 | ||||||
307 | EMCOR Group, Inc. | 20,305 | ||||||
644 | Encore Wire Corp. | 31,440 | ||||||
124 | ESCO Technologies, Inc. | 10,482 | ||||||
2,532 | Federal Signal Corp. | 75,276 | ||||||
8,780 | Foundation Building Materials, Inc.* | 137,056 | ||||||
1,700 | Franklin Electric Co., Inc. | 89,284 | ||||||
4,423 | Gibraltar Industries, Inc.* | 212,348 | ||||||
7,424 | GMS, Inc.* | 182,556 | ||||||
15,681 | Great Lakes Dredge & Dock Corp.* | 145,206 | ||||||
6,330 | Griffon Corp. | 117,232 | ||||||
10,414 | H&E Equipment Services, Inc. | 192,451 | ||||||
312 | Masonite International Corp.* | 24,267 | ||||||
8,553 | MasTec, Inc.* | 383,773 | ||||||
2,761 | Maxar Technologies, Inc. | 49,588 | ||||||
8,050 | Meritor, Inc.* | 159,390 | ||||||
4,149 | Miller Industries, Inc. | 123,516 | ||||||
731 | Moog, Inc. Class A | 38,728 | ||||||
37,795 | MRC Global, Inc.* | 223,369 | ||||||
4,280 | Mueller Industries, Inc. | 113,762 | ||||||
6,328 | Navistar International Corp.* | 178,450 | ||||||
17,015 | NOW, Inc.* | 146,839 | ||||||
983 | Patrick Industries, Inc. | 60,209 | ||||||
2,746 | Powell Industries, Inc. | 75,213 | ||||||
522 | Proto Labs, Inc.* | 58,709 | ||||||
11,116 | Quanex Building Products Corp. | 154,290 | ||||||
2,035 | RBC Bearings, Inc.* | 272,771 | ||||||
9,807 | Rexnord Corp. | 285,874 | ||||||
2,113 | Rush Enterprises, Inc. Class A | 87,605 | ||||||
6,758 | Simpson Manufacturing Co., Inc. | 570,105 | ||||||
5,762 | Tutor Perini Corp.* | 70,181 | ||||||
2,971 | UFP Industries, Inc. | 147,094 | ||||||
2,588 | Vicor Corp.* | 186,207 | ||||||
2,160 | Welbilt, Inc.* | 13,154 | ||||||
|
| |||||||
6,460,797 | ||||||||
|
|
4 | 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) | ||||||||
Commercial & Professional Services – 2.7% | ||||||||
2,784 | ASGN, Inc.* | $ | 185,637 | |||||
1,877 | Barrett Business Services, Inc. | 99,725 | ||||||
4,741 | Brady Corp. Class A | 221,974 | ||||||
1,854 | BrightView Holdings, Inc.* | 20,765 | ||||||
1,934 | Brink’s Co. (The) | 88,016 | ||||||
218 | Cimpress plc* | 16,642 | ||||||
2,497 | Exponent, Inc. | 202,082 | ||||||
1,898 | Franklin Covey Co.* | 40,617 | ||||||
12,929 | HNI Corp. | 395,240 | ||||||
1,740 | Huron Consulting Group, Inc.* | 76,995 | ||||||
12,957 | KAR Auction Services, Inc. | 178,288 | ||||||
3,048 | Kforce, Inc. | 89,154 | ||||||
2,042 | Kimball International, Inc. Class B | 23,606 | ||||||
5,920 | McGrath RentCorp | 319,739 | ||||||
3,671 | Resources Connection, Inc. | 43,942 | ||||||
2,396 | Steelcase, Inc. Class A | 28,896 | ||||||
243 | TriNet Group, Inc.* | 14,808 | ||||||
121 | UniFirst Corp. | 21,653 | ||||||
5,584 | Upwork, Inc.* | 80,633 | ||||||
|
| |||||||
2,148,412 | ||||||||
|
| |||||||
Consumer Durables & Apparel – 4.1% | ||||||||
1,079 | Beazer Homes USA, Inc.* | 10,866 | ||||||
4,708 | Crocs, Inc.* | 173,349 | ||||||
1,022 | Deckers Outdoor Corp.* | 200,711 | ||||||
8,440 | G-III Apparel Group Ltd.* | 112,168 | ||||||
257 | Installed Building Products, Inc.* | 17,676 | ||||||
624 | Johnson Outdoors, Inc. Class A | 56,796 | ||||||
2,375 | KB Home | 72,865 | ||||||
3,017 | LGI Homes, Inc.* | 265,586 | ||||||
11,189 | M/I Homes, Inc.* | 385,349 | ||||||
2,951 | Malibu Boats, Inc. Class A* | 153,304 | ||||||
2,719 | Smith & Wesson Brands, Inc.* | 58,513 | ||||||
993 | Sturm Ruger & Co., Inc. | 75,468 | ||||||
5,911 | Taylor Morrison Home Corp.* | 114,023 | ||||||
2,579 | TopBuild Corp.* | 293,413 | ||||||
33,694 | TRI Pointe Group, Inc.* | 494,965 | ||||||
2,855 | Universal Electronics, Inc.* | 133,671 | ||||||
4,411 | Vista Outdoor, Inc.* | 63,739 | ||||||
13,267 | Wolverine World Wide, Inc. | 315,887 | ||||||
5,883 | YETI Holdings, Inc.* | 251,381 | ||||||
|
| |||||||
3,249,730 | ||||||||
|
| |||||||
Consumer Services – 4.2% | ||||||||
4,416 | American Public Education, Inc.* | 130,714 | ||||||
11,158 | Bloomin’ Brands, Inc. | 118,944 | ||||||
2,401 | Brinker International, Inc. | 57,624 | ||||||
1,044 | Chuy’s Holdings, Inc.* | 15,535 | ||||||
3,101 | Collectors Universe, Inc. | 106,302 | ||||||
1,801 | Del Taco Restaurants, Inc.* | 10,680 | ||||||
24,513 | Denny’s Corp.* | 247,581 | ||||||
3,806 | Dine Brands Global, Inc. | 160,233 | ||||||
25,057 | Everi Holdings, Inc.* | 129,294 | ||||||
9,385 | Houghton Mifflin Harcourt Co.* | 16,987 | ||||||
9,212 | International Game Technology plc | 81,987 | ||||||
32,520 | Laureate Education, Inc. Class A* | 324,062 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Consumer Services – (continued) | ||||||||
288 | Marriott Vacations Worldwide Corp. | 23,676 | ||||||
6,714 | Perdoceo Education Corp.* | 106,954 | ||||||
36,528 | Red Rock Resorts, Inc. Class A | 398,520 | ||||||
11,113 | Scientific Games Corp. Class A* | 171,807 | ||||||
2,529 | Strategic Education, Inc. | 388,581 | ||||||
912 | Texas Roadhouse, Inc. | 47,944 | ||||||
4,900 | Wingstop, Inc.(a) | 680,953 | ||||||
6,195 | WW International, Inc.* | 157,229 | ||||||
|
| |||||||
3,375,607 | ||||||||
|
| |||||||
Diversified Financials – 2.8% | ||||||||
50,126 | Anworth Mortgage Asset Corp. (REIT) | 85,214 | ||||||
2,581 | Apollo Commercial Real Estate Finance, Inc. (REIT) | 25,320 | ||||||
5,279 | ARMOUR Residential REIT, Inc. (REIT) | 49,570 | ||||||
1,448 | Artisan Partners Asset Management, Inc. Class A | 47,060 | ||||||
6,280 | Banco Latinoamericano de Comercio Exterior SA Class E | 72,220 | ||||||
9,218 | Blackstone Mortgage Trust, Inc. Class A (REIT) | 222,062 | ||||||
4,299 | Cannae Holdings, Inc.* | 176,689 | ||||||
9,961 | Capstead Mortgage Corp. (REIT) | 54,686 | ||||||
4,465 | Curo Group Holdings Corp. | 36,479 | ||||||
3,248 | Donnelley Financial Solutions, Inc.* | 27,283 | ||||||
2,485 | Dynex Capital, Inc. (REIT) | 35,535 | ||||||
1,151 | Ellington Residential Mortgage REIT (REIT) | 11,855 | ||||||
1,195 | Encore Capital Group, Inc.* | 40,845 | ||||||
14,225 | Enova International, Inc.* | 211,526 | ||||||
4,382 | Federated Hermes, Inc. Class B | 103,853 | ||||||
1,991 | FirstCash, Inc. | 134,353 | ||||||
1,203 | Hannon Armstrong Sustainable Infrastructure Capital, Inc. (REIT) | 34,237 | ||||||
15,805 | Ladder Capital Corp. (REIT) | 128,021 | ||||||
17,082 | MFA Financial, Inc. (REIT) | 42,534 | ||||||
10,997 | Navient Corp. | 77,309 | ||||||
942 | Nelnet, Inc. Class A | 44,971 | ||||||
7,443 | Oppenheimer Holdings, Inc. Class A | 162,183 | ||||||
1,840 | PennyMac Mortgage Investment Trust (REIT) | 32,255 | ||||||
1,659 | PJT Partners, Inc. Class A | 85,173 | ||||||
4,726 | PRA Group, Inc.* | 182,707 | ||||||
6,568 | TPG RE Finance Trust, Inc. (REIT) | 56,485 | ||||||
9,394 | Two Harbors Investment Corp. (REIT) | 47,346 | ||||||
175 | Virtus Investment Partners, Inc. | 20,351 | ||||||
|
| |||||||
2,248,122 | ||||||||
|
| |||||||
Energy – 2.1% | ||||||||
62,055 | Antero Resources Corp.* | 157,620 | ||||||
5,196 | Ardmore Shipping Corp. | 22,551 | ||||||
3,777 | Brigham Minerals, Inc. Class A | 46,646 | ||||||
6,265 | Cactus, Inc. Class A | 129,247 | ||||||
5,597 | Clean Energy Fuels Corp.* | 12,425 | ||||||
2,594 | Diamond S Shipping, Inc.* | 20,726 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 5 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Schedule of Investments (continued)
June 30, 2020 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Energy – (continued) | ||||||||
1,926 | DMC Global, Inc. | $ | 53,158 | |||||
5,786 | Helix Energy Solutions Group, Inc.* | 20,077 | ||||||
3,868 | Magnolia Oil & Gas Corp. Class A* | 23,440 | ||||||
19,025 | Matador Resources Co.*(b) | 161,713 | ||||||
15,525 | Matrix Service Co.* | 150,903 | ||||||
7,792 | Oil States International, Inc.* | 37,012 | ||||||
5,002 | Ovintiv, Inc. | 47,769 | ||||||
6,136 | Patterson-UTI Energy, Inc. | 21,292 | ||||||
1,210 | Penn Virginia Corp.* | 11,531 | ||||||
9,542 | Renewable Energy Group, Inc.* | 236,451 | ||||||
5,898 | SEACOR Holdings, Inc.* | 167,031 | ||||||
18,253 | SM Energy Co. | 68,449 | ||||||
2,313 | Solaris Oilfield Infrastructure, Inc. Class A | 17,162 | ||||||
6,113 | W&T Offshore, Inc.* | 13,938 | ||||||
9,849 | World Fuel Services Corp. | 253,710 | ||||||
|
| |||||||
1,672,851 | ||||||||
|
| |||||||
Food & Staples Retailing – 1.1% | ||||||||
15,461 | BJ’s Wholesale Club Holdings, Inc.* | 576,231 | ||||||
3,697 | Chefs’ Warehouse, Inc. (The)* | 50,205 | ||||||
3,953 | Ingles Markets, Inc. Class A | 170,256 | ||||||
794 | SpartanNash Co. | 16,872 | ||||||
1,047 | Weis Markets, Inc. | 52,476 | ||||||
|
| |||||||
866,040 | ||||||||
|
| |||||||
Food, Beverage & Tobacco – 1.9% | ||||||||
1,065 | B&G Foods, Inc.(b) | 25,965 | ||||||
1,549 | Coca-Cola Consolidated, Inc. | 355,015 | ||||||
11,045 | Darling Ingredients, Inc.* | 271,928 | ||||||
1,634 | Fresh Del Monte Produce, Inc. | 40,229 | ||||||
3,092 | J & J Snack Foods Corp. | 393,086 | ||||||
3,173 | John B Sanfilippo & Son, Inc. | 270,752 | ||||||
17,762 | Vector Group Ltd. | 178,686 | ||||||
|
| |||||||
1,535,661 | ||||||||
|
| |||||||
Health Care Equipment & Services – 3.9% | ||||||||
3,214 | Antares Pharma, Inc.* | 8,839 | ||||||
8,857 | Brookdale Senior Living, Inc.* | 26,128 | ||||||
1,567 | Cantel Medical Corp. | 69,308 | ||||||
350 | Cardiovascular Systems, Inc.* | 11,043 | ||||||
961 | Computer Programs and Systems, Inc. | 21,901 | ||||||
1,173 | CytoSorbents Corp.* | 11,613 | ||||||
13,823 | GenMark Diagnostics, Inc.* | 203,336 | ||||||
817 | Inogen, Inc.* | 29,020 | ||||||
7,458 | Inovalon Holdings, Inc. Class A* | 143,641 | ||||||
335 | Integer Holdings Corp.* | 24,472 | ||||||
3,838 | Invacare Corp. | 24,448 | ||||||
3,957 | Magellan Health, Inc.* | 288,782 | ||||||
12,624 | Natus Medical, Inc.* | 275,456 | ||||||
151 | Neogen Corp.* | 11,718 | ||||||
1,133 | NextGen Healthcare, Inc.* | 12,440 | ||||||
714 | NuVasive, Inc.* | 39,741 | ||||||
6,141 | Omnicell, Inc.* | 433,677 | ||||||
2,044 | OraSure Technologies, Inc.* | 23,772 | ||||||
994 | Phreesia, Inc.* | 28,110 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Health Care Equipment & Services – (continued) | ||||||||
2,318 | Schrodinger, Inc.*(b) | 212,259 | ||||||
10,620 | Select Medical Holdings Corp.* | 156,433 | ||||||
2,666 | Shockwave Medical, Inc.* | 126,288 | ||||||
3,980 | Simulations Plus, Inc. | 238,084 | ||||||
5,937 | Surmodics, Inc.* | 256,716 | ||||||
8,918 | Tenet Healthcare Corp.* | 161,505 | ||||||
3,161 | Vapotherm, Inc.* | 129,569 | ||||||
4,931 | Vocera Communications, Inc.* | 104,537 | ||||||
|
| |||||||
3,072,836 | ||||||||
|
| |||||||
Household & Personal Products – 0.2% | ||||||||
1,657 | BellRing Brands, Inc. Class A* | 33,041 | ||||||
1,474 | Central Garden & Pet Co. Class A* | 49,806 | ||||||
954 | USANA Health Sciences, Inc.* | 70,052 | ||||||
|
| |||||||
152,899 | ||||||||
|
| |||||||
Insurance – 3.1% | ||||||||
15,518 | American Equity Investment Life Holding Co. | 383,450 | ||||||
1,332 | AMERISAFE, Inc. | 81,465 | ||||||
3,459 | Argo Group International Holdings Ltd. | 120,477 | ||||||
4,818 | FBL Financial Group, Inc. Class A | 172,918 | ||||||
55,370 | Genworth Financial, Inc. Class A* | 127,905 | ||||||
5,624 | Goosehead Insurance, Inc. Class A* | 422,700 | ||||||
176 | HCI Group, Inc. | 8,128 | ||||||
1,103 | Kinsale Capital Group, Inc. | 171,196 | ||||||
18,114 | MBIA, Inc.* | 131,326 | ||||||
170 | National Western Life Group, Inc. Class A | 34,542 | ||||||
706 | Palomar Holdings, Inc.* | 60,546 | ||||||
1,287 | ProAssurance Corp. | 18,623 | ||||||
12,266 | Stewart Information Services Corp. | 398,768 | ||||||
8,214 | Trupanion, Inc.*(b) | 350,656 | ||||||
|
| |||||||
2,482,700 | ||||||||
|
| |||||||
Materials – 7.0% | ||||||||
7,197 | Alcoa Corp.* | 80,894 | ||||||
2,949 | Arconic Corp.* | 41,080 | ||||||
2,266 | Balchem Corp. | 214,953 | ||||||
9,803 | Boise Cascade Co. | 368,691 | ||||||
5,092 | Carpenter Technology Corp. | 123,634 | ||||||
3,376 | Chase Corp. | 346,040 | ||||||
367 | Clearwater Paper Corp.* | 13,260 | ||||||
6,411 | Coeur Mining, Inc.* | 32,568 | ||||||
822 | Domtar Corp. | 17,352 | ||||||
32,883 | Ferro Corp.* | 392,623 | ||||||
600 | Greif, Inc. Class A | 20,646 | ||||||
5,634 | Haynes International, Inc. | 131,610 | ||||||
30,819 | Hecla Mining Co. | 100,778 | ||||||
9,647 | Ingevity Corp.* | 507,143 | ||||||
2,181 | Kaiser Aluminum Corp. | 160,565 | ||||||
2,683 | Koppers Holdings, Inc.* | 50,548 | ||||||
6,326 | Kraton Corp.* | 109,313 | ||||||
21,518 | Louisiana-Pacific Corp. | 551,937 | ||||||
6,653 | Materion Corp. | 409,093 | ||||||
|
|
6 | 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) | ||||||||
Materials – (continued) | ||||||||
8,438 | Minerals Technologies, Inc. | $ | 395,995 | |||||
8,767 | Myers Industries, Inc. | 127,560 | ||||||
183 | Neenah, Inc. | 9,051 | ||||||
4,076 | O-I Glass, Inc. | 36,602 | ||||||
2,558 | Orion Engineered Carbons SA | 27,089 | ||||||
10,446 | P H Glatfelter Co. | 167,658 | ||||||
19,774 | PolyOne Corp. | 518,672 | ||||||
456 | Sensient Technologies Corp. | 23,785 | ||||||
27,291 | Summit Materials, Inc. Class A* | 438,839 | ||||||
1,430 | Tronox Holdings plc Class A | 10,325 | ||||||
3,965 | Worthington Industries, Inc. | 147,895 | ||||||
|
| |||||||
5,576,199 | ||||||||
|
| |||||||
Media & Entertainment – 1.8% | ||||||||
2,470 | Cardlytics, Inc.* | 172,851 | ||||||
18,019 | Cars.com, Inc.* | 103,790 | ||||||
6,036 | Cinemark Holdings, Inc. | 69,716 | ||||||
2,920 | EverQuote, Inc. Class A* | 169,827 | ||||||
22,345 | Glu Mobile, Inc.* | 207,138 | ||||||
1,285 | Gray Television, Inc.* | 17,926 | ||||||
572 | Loral Space & Communications, Inc. | 11,165 | ||||||
12,249 | MSG Networks, Inc. Class A* | 121,878 | ||||||
1,409 | QuinStreet, Inc.* | 14,738 | ||||||
4,594 | Scholastic Corp. | 137,544 | ||||||
6,808 | TechTarget, Inc.* | 204,444 | ||||||
2,873 | WideOpenWest, Inc.* | 15,141 | ||||||
6,587 | Yelp, Inc.* | 152,357 | ||||||
|
| |||||||
1,398,515 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences – 13.7% | ||||||||
5,771 | Akebia Therapeutics, Inc.* | 78,370 | ||||||
618 | Akero Therapeutics, Inc.* | 15,401 | ||||||
261 | Allakos, Inc.* | 18,755 | ||||||
4,983 | Allogene Therapeutics, Inc.* | 213,372 | ||||||
11,621 | Amicus Therapeutics, Inc.* | 175,245 | ||||||
7,914 | Amphastar Pharmaceuticals, Inc.* | 177,748 | ||||||
6,571 | ANI Pharmaceuticals, Inc.* | 212,506 | ||||||
3,646 | Anika Therapeutics, Inc.* | 137,564 | ||||||
3,465 | Arcus Biosciences, Inc.* | 85,724 | ||||||
17,369 | Ardelyx, Inc.* | 120,193 | ||||||
1,905 | Arena Pharmaceuticals, Inc.* | 119,920 | ||||||
3,494 | Arrowhead Pharmaceuticals, Inc.* | 150,906 | ||||||
8,662 | Atara Biotherapeutics, Inc.* | 126,205 | ||||||
5,798 | Axsome Therapeutics, Inc.* | 477,059 | ||||||
513 | Beyondspring, Inc.* | 7,736 | ||||||
17,822 | BioCryst Pharmaceuticals, Inc.* | 84,922 | ||||||
15,756 | BioDelivery Sciences International, Inc.* | 68,696 | ||||||
871 | Bioxcel Therapeutics, Inc.* | 46,172 | ||||||
2,802 | Blueprint Medicines Corp.* | 218,556 | ||||||
1,486 | Catalyst Biosciences, Inc.* | 8,723 | ||||||
36,291 | Catalyst Pharmaceuticals, Inc.* | 167,664 | ||||||
1,627 | CEL-SCI Corp.*(b) | 24,275 | ||||||
2,062 | ChemoCentryx, Inc.* | 118,647 | ||||||
1,768 | Constellation Pharmaceuticals, Inc.* | 53,128 | ||||||
14,323 | Corcept Therapeutics, Inc.* | 240,913 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences – (continued) | ||||||||
569 | Cortexyme, Inc.* | 26,345 | ||||||
1,041 | Cue Biopharma, Inc.* | 25,515 | ||||||
3,708 | Cymabay Therapeutics, Inc.* | 12,941 | ||||||
1,238 | CytomX Therapeutics, Inc.* | 10,313 | ||||||
3,633 | Deciphera Pharmaceuticals, Inc.* | 216,963 | ||||||
708 | Denali Therapeutics, Inc.* | 17,119 | ||||||
2,595 | Dicerna Pharmaceuticals, Inc.* | 65,913 | ||||||
11,615 | Dynavax Technologies Corp.* | 103,025 | ||||||
5,589 | Editas Medicine, Inc.* | 165,323 | ||||||
7,022 | Eiger BioPharmaceuticals, Inc.* | 67,411 | ||||||
6,217 | Enanta Pharmaceuticals, Inc.* | 312,156 | ||||||
10,170 | Endo International plc* | 34,883 | ||||||
1,734 | Fate Therapeutics, Inc.* | 59,494 | ||||||
7,003 | FibroGen, Inc.* | 283,832 | ||||||
2,865 | G1 Therapeutics, Inc.* | 69,505 | ||||||
7,167 | Geron Corp.* | 15,624 | ||||||
1,378 | Halozyme Therapeutics, Inc.* | 36,944 | ||||||
477 | Harpoon Therapeutics, Inc.* | 7,918 | ||||||
853 | Heron Therapeutics, Inc.* | 12,548 | ||||||
17,869 | ImmunoGen, Inc.* | 82,197 | ||||||
26,968 | Innoviva, Inc.* | 377,013 | ||||||
5,820 | Inovio Pharmaceuticals, Inc.* | 156,849 | ||||||
5,980 | Insmed, Inc.* | 164,689 | ||||||
2,119 | Intercept Pharmaceuticals, Inc.* | 101,521 | ||||||
7,425 | Ironwood Pharmaceuticals, Inc.* | 76,626 | ||||||
42,090 | Kadmon Holdings, Inc.* | 215,501 | ||||||
10,562 | Kala Pharmaceuticals, Inc.*(b) | 111,007 | ||||||
1,864 | Kaleido Biosciences, Inc.* | 13,849 | ||||||
6,479 | Karyopharm Therapeutics, Inc.* | 122,712 | ||||||
595 | Kiniksa Pharmaceuticals Ltd. Class A* | 15,161 | ||||||
1,833 | Krystal Biotech, Inc.* | 75,923 | ||||||
5,584 | Kura Oncology, Inc.* | 91,019 | ||||||
3,071 | MacroGenics, Inc.* | 85,742 | ||||||
5,252 | Medpace Holdings, Inc.* | 488,541 | ||||||
1,101 | MeiraGTx Holdings plc* | 13,785 | ||||||
16,675 | Minerva Neurosciences, Inc.* | 60,197 | ||||||
2,324 | Mirati Therapeutics, Inc.* | 265,331 | ||||||
1,189 | Momenta Pharmaceuticals, Inc.* | 39,558 | ||||||
3,789 | MyoKardia, Inc.* | 366,093 | ||||||
987 | Myriad Genetics, Inc.* | 11,193 | ||||||
763 | Natera, Inc.* | 38,043 | ||||||
740 | NGM Biopharmaceuticals, Inc.* | 14,608 | ||||||
3,255 | Novavax, Inc.*(b) | 271,304 | ||||||
4,755 | Ocular Therapeutix, Inc.* | 39,609 | ||||||
2,116 | Omeros Corp.* | 31,148 | ||||||
422 | Oyster Point Pharma, Inc.* | 12,187 | ||||||
3,014 | Pacira BioSciences, Inc.* | 158,145 | ||||||
3,865 | Pfenex, Inc.* | 32,273 | ||||||
5,123 | Phibro Animal Health Corp. Class A | 134,581 | ||||||
1,201 | Precision BioSciences, Inc.* | 10,004 | ||||||
1,012 | Principia Biopharma, Inc.* | 60,507 | ||||||
8,012 | Protagonist Therapeutics, Inc.* | 141,492 | ||||||
7,854 | Prothena Corp. plc* | 82,153 | ||||||
1,714 | PTC Therapeutics, Inc.* | 86,968 | ||||||
6,034 | Puma Biotechnology, Inc.* | 62,935 | ||||||
6,370 | Radius Health, Inc.* | 86,823 | ||||||
|
|
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)
June 30, 2020 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Pharmaceuticals, Biotechnology & Life Sciences – (continued) | ||||||||
1,861 | REGENXBIO, Inc.* | $ | 68,541 | |||||
2,052 | REVOLUTION Medicines, Inc.* | 64,782 | ||||||
2,038 | Rocket Pharmaceuticals, Inc.* | 42,655 | ||||||
7,125 | Sangamo Therapeutics, Inc.* | 63,840 | ||||||
9,026 | Syndax Pharmaceuticals, Inc.* | 133,765 | ||||||
2,888 | TG Therapeutics, Inc.* | 56,258 | ||||||
1,339 | Theravance Biopharma, Inc.* | 28,106 | ||||||
3,624 | Turning Point Therapeutics, Inc.* | 234,074 | ||||||
5,139 | Twist Bioscience Corp.* | 232,797 | ||||||
2,294 | Ultragenyx Pharmaceutical, Inc.* | 179,437 | ||||||
1,069 | Veracyte, Inc.* | 27,687 | ||||||
2,370 | Vericel Corp.* | 32,753 | ||||||
12,835 | Viking Therapeutics, Inc.* | 92,540 | ||||||
5,953 | Voyager Therapeutics, Inc.* | 75,127 | ||||||
14,172 | Xencor, Inc.* | 459,031 | ||||||
4,056 | Y-mAbs Therapeutics, Inc.* | 175,219 | ||||||
|
| |||||||
10,856,071 | ||||||||
|
| |||||||
Real Estate – 7.8% | ||||||||
12,772 | American Assets Trust, Inc. (REIT) | 355,573 | ||||||
3,356 | CareTrust REIT, Inc. (REIT) | 57,589 | ||||||
21,684 | City Office REIT, Inc. (REIT) | 218,141 | ||||||
3,246 | Community Healthcare Trust, Inc. (REIT) | 132,761 | ||||||
964 | CorEnergy Infrastructure Trust, Inc. (REIT) | 8,821 | ||||||
624 | Easterly Government Properties, Inc. (REIT) | 14,427 | ||||||
1,343 | EastGroup Properties, Inc. (REIT) | 159,293 | ||||||
20,345 | Essential Properties Realty Trust, Inc. (REIT) | 301,920 | ||||||
10,628 | Four Corners Property Trust, Inc. (REIT) | 259,323 | ||||||
1,800 | Front Yard Residential Corp. (REIT) | 15,660 | ||||||
6,897 | Gladstone Commercial Corp. (REIT) | 129,319 | ||||||
2,293 | Global Net Lease, Inc. (REIT) | 38,362 | ||||||
17,433 | Independence Realty Trust, Inc. (REIT) | 200,305 | ||||||
2,696 | Kennedy-Wilson Holdings, Inc. | 41,033 | ||||||
31,365 | Lexington Realty Trust (REIT) | 330,901 | ||||||
2,185 | Monmouth Real Estate Investment Corp. (REIT) | 31,661 | ||||||
2,331 | National Storage Affiliates Trust (REIT) | 66,807 | ||||||
12,653 | Newmark Group, Inc. Class A | 61,494 | ||||||
12,696 | NexPoint Residential Trust, Inc. (REIT) | 448,804 | ||||||
624 | Office Properties Income Trust (REIT) | 16,205 | ||||||
11,239 | Physicians Realty Trust (REIT) | 196,907 | ||||||
3,615 | PotlatchDeltic Corp. (REIT) | 137,478 | ||||||
3,708 | PS Business Parks, Inc. (REIT) | 490,939 | ||||||
8,456 | QTS Realty Trust, Inc. Class A (REIT) | 541,945 | ||||||
2,898 | Redfin Corp.* | 121,455 | ||||||
14,432 | Retail Opportunity Investments Corp. (REIT) | 163,515 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Real Estate – (continued) | ||||||||
12,983 | Retail Properties of America, Inc. Class A (REIT) | 95,036 | ||||||
7,470 | Retail Value, Inc. (REIT) | 92,329 | ||||||
37,482 | Sabra Health Care REIT, Inc. (REIT) | 540,865 | ||||||
3,953 | SITE Centers Corp. (REIT) | 32,019 | ||||||
7,892 | STAG Industrial, Inc. (REIT) | 231,393 | ||||||
10,194 | Terreno Realty Corp. (REIT) | 536,612 | ||||||
3,798 | Uniti Group, Inc. (REIT) | 35,511 | ||||||
431 | Universal Health Realty Income Trust (REIT) | 34,260 | ||||||
4,478 | Urban Edge Properties (REIT) | 53,154 | ||||||
|
| |||||||
6,191,817 | ||||||||
|
| |||||||
Retailing – 4.0% | ||||||||
1,046 | America’s Car-Mart, Inc.* | 91,912 | ||||||
5,703 | Asbury Automotive Group, Inc.* | 441,013 | ||||||
7,171 | Big Lots, Inc. | 301,182 | ||||||
3,673 | Camping World Holdings, Inc. Class A | 99,759 | ||||||
4,941 | Core-Mark Holding Co., Inc. | 123,303 | ||||||
717 | Groupon, Inc.* | 12,992 | ||||||
1,329 | Lithia Motors, Inc. Class A | 201,118 | ||||||
3,879 | Murphy USA, Inc.* | 436,737 | ||||||
26,498 | Office Depot, Inc. | 62,270 | ||||||
2,110 | Quotient Technology, Inc.* | 15,445 | ||||||
649 | RH* | 161,536 | ||||||
27,953 | Rubicon Project, Inc. (The)* | 186,446 | ||||||
693 | Sleep Number Corp.* | 28,857 | ||||||
15,345 | Sonic Automotive, Inc. Class A | 489,659 | ||||||
18,453 | Sportsman’s Warehouse Holdings, Inc.* | 262,955 | ||||||
599 | Stamps.com, Inc.* | 110,030 | ||||||
4,763 | Zumiez, Inc.* | 130,411 | ||||||
|
| |||||||
3,155,625 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 2.8% | ||||||||
4,765 | Ambarella, Inc.* | 218,237 | ||||||
22,202 | Amkor Technology, Inc.* | 273,307 | ||||||
2,729 | Axcelis Technologies, Inc.* | 76,003 | ||||||
9,564 | FormFactor, Inc.* | 280,512 | ||||||
13,121 | Lattice Semiconductor Corp.* | 372,505 | ||||||
295 | MACOM Technology Solutions Holdings, Inc.* | 10,133 | ||||||
16,941 | NeoPhotonics Corp.* | 150,436 | ||||||
1,060 | Photronics, Inc.* | 11,798 | ||||||
3,653 | Power Integrations, Inc. | 431,529 | ||||||
19,088 | Rambus, Inc.* | 290,137 | ||||||
1,057 | Synaptics, Inc.* | 63,547 | ||||||
1,863 | Ultra Clean Holdings, Inc.* | 42,160 | ||||||
|
| |||||||
2,220,304 | ||||||||
|
| |||||||
Software & Services – 7.0% | ||||||||
5,553 | Blackline, Inc.* | 460,399 | ||||||
28,074 | Box, Inc. Class A* | 582,816 | ||||||
1,864 | Cass Information Systems, Inc. | 72,752 | ||||||
15,905 | ChannelAdvisor Corp.* | 251,935 | ||||||
19,019 | Cloudera, Inc.* | 241,922 | ||||||
|
|
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) | ||||||||
Software & Services – (continued) | ||||||||
7,924 | Conduent, Inc.* | $ | 18,938 | |||||
6,512 | Cornerstone OnDemand, Inc.* | 251,103 | ||||||
8,611 | Domo, Inc. Class B* | 277,016 | ||||||
1,378 | Hackett Group, Inc. (The) | 18,658 | ||||||
912 | J2 Global, Inc.* | 57,648 | ||||||
3,373 | KBR, Inc. | 76,061 | ||||||
2,753 | Limelight Networks, Inc.* | 20,262 | ||||||
3,320 | LiveRamp Holdings, Inc.* | 141,000 | ||||||
2,770 | MicroStrategy, Inc. Class A* | 327,663 | ||||||
624 | NIC, Inc. | 14,327 | ||||||
1,146 | OneSpan, Inc.* | 32,008 | ||||||
5,625 | Perficient, Inc.* | 201,263 | ||||||
26,651 | Perspecta, Inc. | 619,103 | ||||||
215 | Progress Software Corp. | 8,331 | ||||||
4,915 | Qualys, Inc.* | 511,258 | ||||||
633 | ShotSpotter, Inc.* | 15,952 | ||||||
7,869 | SPS Commerce, Inc.* | 591,119 | ||||||
18,086 | SVMK, Inc.* | 425,744 | ||||||
4,645 | Telenav, Inc.* | 25,501 | ||||||
2,174 | Tenable Holdings, Inc.* | 64,807 | ||||||
2,105 | VirnetX Holding Corp.(b) | 13,683 | ||||||
4,516 | Virtusa Corp.* | 146,635 | ||||||
640 | Xperi Holding Corp. | 9,446 | ||||||
7,981 | Zuora, Inc. Class A* | 101,758 | ||||||
|
| |||||||
5,579,108 | ||||||||
|
| |||||||
Technology Hardware & Equipment – 4.5% | ||||||||
971 | Applied Optoelectronics, Inc.* | 10,555 | ||||||
6,369 | Arlo Technologies, Inc.* | 16,432 | ||||||
7,000 | Belden, Inc. | 227,850 | ||||||
11,306 | Benchmark Electronics, Inc. | 244,210 | ||||||
817 | Calix, Inc.* | 12,173 | ||||||
2,234 | Comtech Telecommunications Corp. | 37,732 | ||||||
4,250 | CTS Corp. | 85,170 | ||||||
15,480 | Extreme Networks, Inc.* | 67,183 | ||||||
4,360 | Fabrinet* | 272,151 | ||||||
31,103 | Harmonic, Inc.* | 147,739 | ||||||
15,976 | Inseego Corp.*(b) | 185,322 | ||||||
672 | InterDigital, Inc. | 38,055 | ||||||
5,270 | Itron, Inc.* | 349,138 | ||||||
17,411 | Knowles Corp.* | 265,692 | ||||||
3,999 | Methode Electronics, Inc. | 125,009 | ||||||
7,362 | NETGEAR, Inc.* | 190,602 | ||||||
2,051 | Novanta, Inc.* | 218,985 | ||||||
2,697 | Plexus Corp.* | 190,300 | ||||||
426 | Rogers Corp.* | 53,080 | ||||||
3,606 | Sanmina Corp.* | 90,294 | ||||||
6,299 | TTM Technologies, Inc.* | 74,706 | ||||||
25,976 | Viavi Solutions, Inc.* | 330,934 | ||||||
13,198 | Vishay Intertechnology, Inc. | 201,534 | ||||||
7,269 | Vishay Precision Group, Inc.* | 178,672 | ||||||
|
| |||||||
3,613,518 | ||||||||
|
|
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Telecommunication Services – 2.1% | ||||||||
1,884 | Bandwidth, Inc. Class A* | $ | 239,268 | |||||
6,844 | Cogent Communications Holdings, Inc. | 529,452 | ||||||
8,689 | Consolidated Communications Holdings, Inc.* | 58,824 | ||||||
880 | Iridium Communications, Inc.* | 22,387 | ||||||
7,978 | Liberty Latin America Ltd. Class A* | 77,546 | ||||||
19,724 | Liberty Latin America Ltd. Class C* | 186,195 | ||||||
60,799 | ORBCOMM, Inc.* | 234,076 | ||||||
27,927 | Vonage Holdings Corp.* | 280,946 | ||||||
|
| |||||||
1,628,694 | ||||||||
|
| |||||||
Transportation – 1.6% | ||||||||
10,352 | Costamare, Inc. | 57,557 | ||||||
11,644 | Echo Global Logistics, Inc.* | 251,743 | ||||||
749 | Heartland Express, Inc. | 15,594 | ||||||
13,267 | Marten Transport Ltd. | 333,798 | ||||||
6,884 | SkyWest, Inc. | 224,556 | ||||||
9,419 | Werner Enterprises, Inc. | 410,009 | ||||||
|
| |||||||
1,293,257 | ||||||||
|
| |||||||
Utilities – 1.7% | ||||||||
579 | American States Water Co. | 45,527 | ||||||
6,893 | Avista Corp. | 250,836 | ||||||
677 | Black Hills Corp. | 38,359 | ||||||
649 | Northwest Natural Holding Co. | 36,208 | ||||||
3,096 | NorthWestern Corp. | 168,794 | ||||||
733 | ONE Gas, Inc. | 56,478 | ||||||
247 | Ormat Technologies, Inc. | 15,682 | ||||||
10,558 | Portland General Electric Co. | 441,430 | ||||||
3,730 | Southwest Gas Holdings, Inc. | 257,556 | ||||||
|
| |||||||
1,310,870 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $80,442,079) | $ | 77,946,155 | ||||||
|
|
Shares | Dividend Rate | Value | ||||||
Investment Company(c) – 0.5% | ||||||||
Goldman Sachs Financial Square Government Fund — |
| |||||||
393,309 | 0.155 | % | $ | 393,309 | ||||
(Cost $393,309) |
| |||||||
| ||||||||
TOTAL INVESTMENTS BEFORE SECURITIES LENDING REINVESTMENT VEHICLE |
| |||||||
(Cost $80,835,388) |
| $ | 78,339,464 | |||||
|
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)
June 30, 2020 (Unaudited)
Shares | Dividend Rate | Value | ||||||
Securities Lending Reinvestment Vehicle(c) – 1.5% | ||||||||
Goldman Sachs Financial Square Government Fund — |
| |||||||
1,158,726 | 0.155 | % | $ | 1,158,726 | ||||
(Cost $1,158,726) |
| |||||||
| ||||||||
TOTAL INVESTMENTS – 100.1% |
| |||||||
(Cost $81,994,114) |
| $ | 79,498,190 | |||||
| ||||||||
LIABILITIES IN EXCESS OF OTHER ASSETS – (0.1)% |
| (76,287 | ) | |||||
| ||||||||
NET ASSETS – 100.0% |
| $ | 79,421,903 | |||||
|
| ||
The percentage shown for each investment category reflects the value of investments in that category as a percentage of net assets. | ||
* | Non-income producing security. | |
(a) | All or a portion of security is segregated as collateral for initial margin requirements on futures transactions. | |
(b) | All or a portion of security is on loan. | |
(c) | Represents an Affiliated Issuer. |
Investment Abbreviation: | ||
REIT | —Real Estate Investment Trust |
ADDITIONAL INVESTMENT INFORMATION
FUTURES CONTRACTS — At June 30, 2020, the Fund had the following futures contracts:
Description | Number of Contracts | Expiration Date | Notional Amount | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Long position contracts: | ||||||||||||||||
Russell 2000 E-Mini Index | 13 | 09/18/2020 | $ | 934,440 | $ | 37,643 |
10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Statement of Assets and Liabilities
June 30, 2020 (Unaudited)
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $80,442,079)(a) | $ | 77,946,155 | ||
Investments in affiliated issuers, at value (cost $393,309) | 393,309 | |||
Investments in affiliated securities lending reinvestment vehicle, at value (cost $1,158,726) | 1,158,726 | |||
Cash | 710,902 | |||
Receivables: | ||||
Investments sold | 562,328 | |||
Due from custodian | 103,350 | |||
Dividends | 61,331 | |||
Fund shares sold | 52,352 | |||
Reimbursement from investment adviser | 18,942 | |||
Securities lending income | 2,472 | |||
Variation margin on futures | 40,560 | |||
Total assets | 81,050,427 | |||
Liabilities: | ||||
Payables: | ||||
Payable upon return of securities loaned | 1,158,726 | |||
Investments purchased | 182,045 | |||
Fund shares redeemed | 134,355 | |||
Management fees | 45,121 | |||
Distribution and Service fees and Transfer Agency fees | 4,109 | |||
Accrued expenses | 104,168 | |||
Total liabilities | 1,628,524 | |||
Net Assets: | ||||
Paid-in capital | 83,447,685 | |||
Total distributable earnings (loss) | (4,025,782 | ) | ||
NET ASSETS | $ | 79,421,903 | ||
Net Assets: | ||||
Institutional | $ | 65,541,356 | ||
Service | 13,880,547 | |||
Total Net Assets | $ | 79,421,903 | ||
Shares outstanding $0.001 par value (unlimited shares authorized): | ||||
Institutional | 6,176,570 | |||
Service | 1,320,889 | |||
Net asset value, offering and redemption price per share: | ||||
Institutional | $10.61 | |||
Service | 10.51 |
(a) Includes loaned securities having a market value of $1,146,727.
The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Statement of Operations
For the Six Months Ended June 30, 2020 (Unaudited)
Investment income: | ||||
Dividends — unaffiliated issuers (net of foreign taxes withheld of $1,881) | $ | 457,213 | ||
Securities lending income — affiliated issuer | 8,776 | |||
Dividends — affiliated issuers | 411 | |||
Total investment income | 466,400 | |||
Expenses: | ||||
Management fees | 272,784 | |||
Professional fees | 46,335 | |||
Custody, accounting and administrative services | 39,534 | |||
Printing and mailing costs | 35,058 | |||
Distribution and Service fees — Service Shares | 16,465 | |||
Trustee fees | 9,473 | |||
Transfer Agency fees(a) | 7,793 | |||
Other | 3,636 | |||
Total expenses | 431,078 | |||
Less — expense reductions | (100,326 | ) | ||
Net expenses | 330,752 | |||
NET INVESTMENT INCOME | 135,648 | |||
Realized and unrealized gain (loss): | ||||
Net realized gain (loss) from: | ||||
Investments — unaffiliated issuers | (2,846,115 | ) | ||
Futures contracts | 22,427 | |||
Net change in unrealized gain (loss) on: | ||||
Investments — unaffiliated issuers | (12,061,284 | ) | ||
Futures contracts | 37,643 | |||
Net realized and unrealized loss | (14,847,329 | ) | ||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (14,711,681 | ) |
(a) Institutional and Service Shares incurred Transfer Agency fees of $6,476 and $1,317, respectively.
12 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2020 (Unaudited) | For the Fiscal Year Ended December 31, 2019 | |||||||
From operations: | ||||||||
Net investment income | $ | 135,648 | $ | 436,162 | ||||
Net realized gain (loss) | (2,823,688 | ) | 2,941,341 | |||||
Net change in unrealized gain (loss) | (12,023,641 | ) | 16,880,731 | |||||
Net increase (decrease) in net assets resulting from operations | (14,711,681 | ) | 20,258,234 | |||||
Distributions to shareholders: | ||||||||
From distributable earnings: | ||||||||
Institutional Shares | — | (1,999,868 | ) | |||||
Service Shares | — | (360,700 | ) | |||||
Total distributions to shareholders | — | (2,360,568 | ) | |||||
From share transactions: | ||||||||
Proceeds from sales of shares | 5,154,965 | 10,139,106 | ||||||
Reinvestment of distributions | — | 2,360,567 | ||||||
Cost of shares redeemed | (6,555,033 | ) | (20,351,399 | ) | ||||
Net decrease in net assets resulting from share transactions | (1,400,068 | ) | (7,851,726 | ) | ||||
TOTAL INCREASE (DECREASE) | (16,111,749 | ) | 10,045,940 | |||||
Net Assets: | ||||||||
Beginning of period | 95,533,652 | 85,487,712 | ||||||
End of period | $ | 79,421,903 | $ | 95,533,652 |
The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Small Cap Equity Insights Fund | ||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.62 | $ | 10.37 | $ | 13.66 | $ | 13.79 | $ | 11.60 | $ | 13.67 | ||||||||||||
Net investment income(a) | 0.02 | 0.06 | 0.07 | (b) | 0.08 | 0.11 | 0.08 | (c) | ||||||||||||||||
Net realized and unrealized gain (loss) | (2.03 | ) | 2.51 | (1.21 | ) | 1.53 | 2.59 | (0.37 | ) | |||||||||||||||
Total from investment operations | (2.01 | ) | 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 period | $ | 10.61 | $ | 12.62 | $ | 10.37 | $ | 13.66 | $ | 13.79 | $ | 11.60 | ||||||||||||
Total return(d) | (15.93 | )% | 24.84 | % | (8.62 | )% | 11.57 | % | 23.13 | % | (2.13 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 65,541 | $ | 79,791 | $ | 68,951 | $ | 77,815 | $ | 77,421 | $ | 73,270 | ||||||||||||
Ratio of net expenses to average net assets | 0.81 | %(e) | 0.86 | % | 0.81 | % | 0.81 | % | 0.81 | % | 0.81 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.06 | %(e) | 1.05 | % | 0.98 | % | 1.00 | % | 1.04 | % | 0.99 | % | ||||||||||||
Ratio of net investment income to average net assets | 0.39 | %(e) | 0.51 | % | 0.46 | %(b) | 0.53 | % | 0.95 | % | 0.59 | %(c) | ||||||||||||
Portfolio turnover rate(f) | 73 | % | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(e) | Annualized. |
(f) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
14 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Small Cap Equity Insights Fund | ||||||||||||||||||||||||
Service Shares | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.51 | $ | 10.28 | $ | 13.55 | $ | 13.70 | $ | 11.52 | $ | 13.60 | ||||||||||||
Net investment income(a) | 0.01 | 0.03 | 0.03 | (b) | 0.04 | 0.08 | 0.05 | (c) | ||||||||||||||||
Net realized and unrealized gain (loss) | (2.01 | ) | 2.49 | (1.19 | ) | 1.51 | 2.58 | (0.39 | ) | |||||||||||||||
Total from investment operations | (2.00 | ) | 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 period | $ | 10.51 | $ | 12.51 | $ | 10.28 | $ | 13.55 | $ | 13.70 | $ | 11.52 | ||||||||||||
Total return(e) | (15.99 | )% | 24.53 | % | (8.82 | )% | 11.22 | % | 22.92 | % | (2.49 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 13,881 | $ | 15,742 | $ | 16,537 | $ | 20,505 | $ | 20,437 | $ | 19,488 | ||||||||||||
Ratio of net expenses to average net assets | 1.06 | %(f) | 1.10 | % | 1.06 | % | 1.06 | % | 1.06 | % | 1.06 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.32 | %(f) | 1.30 | % | 1.23 | % | 1.25 | % | 1.29 | % | 1.24 | % | ||||||||||||
Ratio of net investment income to average net assets | 0.14 | %(f) | 0.27 | % | 0.19 | %(b) | 0.28 | % | 0.70 | % | 0.34 | %(c) | ||||||||||||
Portfolio turnover rate(g) | 73 | % | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(f) | Annualized. |
(g) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 15 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Notes to Financial Statements
June 30, 2020 (Unaudited)
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 an open-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 on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Investment income is recorded net of any foreign withholding taxes, less any amounts reclaimable. The Fund may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Fund’s investments in United States (“U.S.”) real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain and/or a return of capital. A return of capital is recorded by the Fund as a reduction to the cost basis of the REIT.
For derivative contracts, realized gains and losses are recorded upon settlement of the contract.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, and non-class specific expenses of the Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by the Fund are charged to the Fund, while such expenses incurred by the Trust are allocated across the Fund on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class-specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service and Transfer Agency fees.
D. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid at least annually.
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the Fund’s distributions may be shown in the accompanying financial statements as either from distributable earnings or capital. Certain components of the Fund’s net assets on the Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
16
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP 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 GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Fund’s investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a 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. Certain equity securities containing unique attributes may be classified as Level 2.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price for long positions or the last ask price for short positions, and are generally classified as Level 2.
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 the Fund and cash collateral received, if any, is reported separately on the Statement of Assets and Liabilities as receivables/payables for collateral on certain derivatives contracts. Non-cash collateral pledged by the Fund, if any, is noted in the Schedule of Investments.
Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the
17
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence of two-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security. Upon entering into a futures contract, the Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by the Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
B. Level 3 Fair Value Investments — To the extent that significant inputs to valuation models and other alternative pricing sources are unobservable, or if quotations are not readily available, or if GSAM believes that such quotations do not accurately reflect fair value, the fair value of the Fund’s investments may be determined under Valuation Procedures approved by the Trustees. GSAM, consistent with its procedures and applicable regulatory guidance, may make an adjustment to the most recent valuation prices of either domestic or foreign securities in light of significant events to reflect what it believes to be the fair value of the securities at the time of determining the Fund’s NAV. To the extent investments are valued using single source broker quotations obtained directly from the broker or passed through from third party pricing vendors, such investments are classified as Level 3 investments.
C. Fair Value Hierarchy — The following is a summary of the Fund’s investments and derivatives classified in the fair value hierarchy as of June 30, 2020:
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Asia | $ | 272,151 | $ | — | $ | — | ||||||
Europe | 205,992 | — | — | |||||||||
North America | 77,204,271 | — | — | |||||||||
South America | 263,741 | |||||||||||
Investment Company | 393,309 | |||||||||||
Securities Lending Reinvestment Vehicle | 1,158,726 | — | — | |||||||||
Total | $ | 79,498,190 | $ | — | $ | — | ||||||
Derivative Type | ||||||||||||
Assets(b) | ||||||||||||
Futures Contracts | $ | 37,643 | $ | — | $ | — |
(a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of net asset value. Security valuations are based on the principal exchange or system on which they are traded, which may differ from country of domicile. |
(b) | Amount shown represents unrealized gain (loss) at period end. |
For further information regarding security characteristics, see the Schedule of Investments.
18
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
4. INVESTMENTS IN DERIVATIVES
The following table sets forth, by certain risk types, the gross value of derivative contracts (not considered to be hedging instruments for accounting disclosure purposes) for the six months ended June 30, 2020. These instruments were used as part of the Fund’s investment strategies and to obtain and/or manage exposure related to the risks below. The values in the 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 | ||||||||||||
Equity | Variation margin on futures contracts | $ | 37,643 | — | $ | — |
(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 June 30, 2020 is reported within the Statement of Assets and Liabilities. |
The following table sets forth, by certain risk types, the Fund’s gains (losses) related to these derivatives and their indicative volumes for the six months ended June 30, 2020. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statement of Operations:
Risk | Statement of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||||
Equity | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | $ | 22,427 | $ | 37,643 | 9 |
(a) | Average number of contracts is based on the average of month end balances for the six months ended June 30, 2020. |
5. AGREEMENTS AND AFFILIATED TRANSACTIONS
A. Management Agreement — Under the Agreement, GSAM manages the Fund, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Fund’s business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
For the six months ended June 30, 2020, 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 | ||||||||||||||||||
0.70% | 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 six months ended June 30, 2020, GSAM waived $236 of the Fund’s management fee.
19
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
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 Rule 12b-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 0.094%. The Other Expense limitation will remain in place through at least April 29, 2021, and prior to such date GSAM may not terminate the arrangement without the approval of the Trustees. In addition, the Fund has entered into certain offset arrangements with the 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 six months ended June 30, 2020, 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 | |||||||||||
$236 | $ | 2,644 | $ | 97,446 | $ | 100,326 |
E. Line of Credit Facility — As of June 30, 2020, the Fund participated in a $700,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the six months ended June 30, 2020, the Fund did not have any borrowings under the facility. Prior to April 28, 2020, the facility was $580,000,000.
F. Other Transactions with Affiliates — The following table provides information about the Fund’s investments in the Goldman Sachs Financial Square Government Fund as of and for the six months ended June 30, 2020:
Beginning December 31, 2019 | Purchases at Cost | Proceeds from Sales | Ending of | Shares as of June 30, 2020 | Dividend Income from Affiliated Investment Company | |||||||||||||||||
$— | $ | 3,645,750 | $ | (3,252,441 | ) | $ | 393,309 | 393,309 | $ | 411 |
6. PORTFOLIO SECURITIES TRANSACTIONS
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended June 30, 2020, were $57,292,595 and $58,788,823, respectively.
20
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
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 Rule 2a-7 under the Act, and is managed by GSAM, for which GSAM may receive a management fee of up to 0.16% on an annualized basis of the average daily net assets of the Government Money Market Fund.
In the event of a default by a borrower with respect to any loan, GSAL will exercise any and all remedies provided under the applicable borrower agreement to make the Fund whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If GSAL is unable to purchase replacement securities, GSAL will indemnify the Fund by paying the Fund an amount equal to the market value of the securities loaned minus the value of cash collateral received from the borrower for the loan, subject to an exclusion for any shortfalls resulting from a loss of value in such cash collateral due to reinvestment risk. The Fund’s master netting agreements with certain borrowers provide the right, in the event of a default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. However, in the event of a default by a borrower, a resolution authority could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of set-off that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws. The Fund’s loaned securities were all subject to enforceable Securities Lending Agreements and the value of the collateral was at least equal to the value of the cash received. The amounts of the Fund’s overnight and continuous agreements, which represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of June 30, 2020, 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 six months ended June 30, 2020, are reported under Investment Income on the Statement of Operations.
The table below details securities lending activity with affiliates of Goldman Sachs:
For the Six Months ended June 30, 2020 | ||||
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 June 30, 2020 | ||
$959 | $395 | $448,500 |
21
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
7. SECURITIES LENDING (continued)
The following table provides information about the Fund’s investment in the Government Money Market Fund for the six months ended June 30, 2020:
Beginning Value as of December 31, 2019 | Purchases at Cost | Proceeds from Sales | Ending June 30, 2020 | |||||||||
$58,750 | $ | 6,112,792 | $(5,012,816) | $ | 1,158,726 |
8. TAX INFORMATION
As of the Fund’s most recent fiscal year end, December 31, 2019, the Fund’s certain timing differences, on a tax-basis were as follows:
Timing differences (Real Estate Investment Trust) | $ | 18,349 |
As of June 30, 2020, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Tax cost | $ | 82,141,453 | ||
Gross unrealized gain | 7,659,023 | |||
Gross unrealized loss | (10,302,286 | ) | ||
Net unrealized loss | $ | (2,643,263 | ) |
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.
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.
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
22
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
9. OTHER RISKS (continued)
of the Fund. Such large shareholder redemptions, which may occur rapidly or unexpectedly, may cause the Fund to sell portfolio securities at times when it would not otherwise do so, which may negatively impact the Fund’s NAV and liquidity. These transactions may also accelerate the realization of taxable income to shareholders if such sales of investments resulted in gains, and may also increase transaction costs. In addition, a large redemption could result in the Fund’s current expenses being allocated over a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect the Fund’s performance to the extent that the Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.
Liquidity Risk — The Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that the Fund will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, the Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If the Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Fund’s NAV and dilute remaining investors’ interests. These risks may be more pronounced in connection with the Fund’s investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on the Fund’s liquidity.
Market and Credit Risks — In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). The value of the securities in which the Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, acts of terrorism, social unrest, natural disasters, the spread of infectious illness or other public health threats could also significantly impact the Fund and its investments. Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
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. 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.
23
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
12. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
For the Six Months Ended June 30, 2020 (Unaudited) | For the Fiscal Year Ended December 31, 2019 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 415,650 | $ | 4,011,916 | 757,715 | $ | 9,168,973 | ||||||||||
Reinvestment of distributions | — | — | 159,352 | 1,999,867 | ||||||||||||
Shares redeemed | (562,504 | ) | (5,865,388 | ) | (1,241,504 | ) | (14,923,018 | ) | ||||||||
(146,854 | ) | (1,853,472 | ) | (324,437 | ) | (3,754,178 | ) | |||||||||
Service Shares | ||||||||||||||||
Shares sold | 127,508 | 1,143,049 | 82,662 | 970,133 | ||||||||||||
Reinvestment of distributions | — | — | 28,972 | 360,700 | ||||||||||||
Shares redeemed | (64,856 | ) | (689,645 | ) | (461,347 | ) | (5,428,381 | ) | ||||||||
62,652 | 453,404 | (349,713 | ) | (4,097,548 | ) | |||||||||||
NET DECREASE | (84,202 | ) | $ | (1,400,068) | (674,150 | ) | $ | (7,851,726 | ) |
24
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Liquidity Risk Management Program
The Fund has adopted and implemented a liquidity risk management program (the “Program”) in accordance with Rule 22e-4 under the 1940 Act. The Program seeks to assess and manage the Fund’s liquidity risk, i.e., the risk that the Fund is unable to satisfy redemption requests without significantly diluting remaining investors’ interests in the Fund. The Board of Trustees of the Trust has designated GSAM, the Fund’s investment adviser, to administer the Program. Certain aspects of the Program rely on third parties to perform certain functions, including the provision of market data and application of models.
The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Fund’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of a Fund’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under Rule 22e-4); (4) for a Fund that does not invest primarily in “highly liquid investments” (as defined under Rule 22e-4), the determination of a minimum percentage of the Fund’s assets that will generally be invested in highly liquid investments (a “Highly Liquid Investment Minimum”); and (5) periodic reporting to the Board of Trustees.
At a meeting of the Board of Trustees on February 11-12, 2020, GSAM provided a written report to the Board addressing the operation, and the adequacy and effectiveness of the implementation, of the Program, including, as applicable, the operation of any Highly Liquid Investment Minimum and any material changes to the Program, for the initial period from December 1, 2018 through December 31, 2019 (the “Reporting Period”). Among other things, the annual report discussed: (1) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions; and (2) an assessment of the methodologies used to classify investments into one of four liquidity categories. The report concluded that the Program was reasonably designed to assess and manage liquidity risk and was adequately and effectively implemented during the Reporting Period.
There can be no assurance that the Program will achieve its objectives under all circumstances in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which it may be subject.
25
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Fund Expenses — Six Month Period Ended June 30, 2020 (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 January 1, 2020 through June 30, 2020, which represents a period of 182 days of a 366 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual net expense 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 01/01/20 | Ending Account Value 06/30/20 | Expenses Paid for the 6 Months Ended 06/30/20* | |||||||||
Institutional | ||||||||||||
Actual | $ | 1,000 | $ | 840.70 | $ | 3.71 | ||||||
Hypothetical 5% return | 1,000 | 1,020.84 | + | 4.07 | ||||||||
Service | ||||||||||||
Actual | 1,000 | 840.10 | 4.85 | |||||||||
Hypothetical 5% return | 1,000 | 1,019.59 | + | 5.32 |
+ | 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 June 30, 2020. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 0.81% and 1.06% for Institutional and Service Shares, respectively. |
26
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
The Goldman Sachs Small Cap Equity Insights Fund (the “Fund”) is an investment portfolio of Goldman Sachs Variable Insurance Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Fund at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Fund.
The Management Agreement was most recently approved for continuation until June 30, 2021 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 16-17, 2020 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held two meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to the Fund, such matters included:
(a) | the nature and quality of the advisory, administrative, and other services provided to the Fund by the Investment Adviser and its affiliates, including information about: |
(i) | the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams; |
(ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training); |
(iii) | trends in employee headcount; |
(iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
(v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
(b) | information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), and a benchmark performance index; and information on general investment outlooks in the markets in which the Fund invests; |
(c) | information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Fund’s peer group and/or benchmark index had high, medium, or low relevance given the Fund’s particular investment strategy; |
(d) | the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund; |
(e) | fee and expense information for the Fund, including: |
(i) | the relative management fee and expense levels of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; |
(ii) | the Fund’s expense trends over time; and |
(iii) | to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
(f) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; |
(g) | the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations; |
(h) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund to the Investment Adviser and its affiliates; |
(i) | whether the Fund’s existing management fee schedule adequately addressed any economies of scale; |
27
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
(j) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, securities lending, portfolio trading, distribution and other services; |
(k) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
(l) | information regarding commissions paid by the Fund and broker oversight, other information regarding portfolio trading, and how the Investment Adviser carries out its duty to seek best execution; |
(m) | the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers; |
(n) | the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and |
(o) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports. |
The Trustees also received an overview of the Fund’s distribution arrangements. They received information regarding the Fund’s assets, share purchase and redemption activity, and payment of distribution and service fees. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Fund and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Fund. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Fund by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the market, regulatory and control environment in which the Fund and its service providers operate, including changes associated with the COVID-19 pandemic, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees also considered information regarding the Investment Adviser’s business continuity planning and remote operations in the current environment. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Fund and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Fund and the Investment Adviser and its affiliates.
Investment Performance
The Trustees also considered the investment performance of the Fund. In this regard, they compared the investment performance of the Fund to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2019, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data
28
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Provider as of March 31, 2020. The information on the Fund’s investment performance was provided for the one-, three-, five-, and ten-year periods ending on the applicable dates. The Trustees also reviewed the Fund’s investment performance relative to its performance benchmark. As part of this review, they considered the investment performance trends of the Fund over time, and reviewed the investment performance of the Fund in light of its investment objective and policies and market conditions.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Fund’s risk profile, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management. They noted the efforts of the Fund’s portfolio management team to continue to enhance the investment model used in managing the Fund.
The Trustees observed that the Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the three-, five-, and ten-year periods and in the third quartile for the one-year period, and had outperformed the Fund’s benchmark index for the ten-year period and underperformed for the one-, three-, and five-year periods ended March 31, 2020.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by the Fund thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Fund, which included both advisory and administrative services that were directed to the needs and operations of the Fund as registered mutual fund.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Fund. The analyses provided a comparison of the Fund’s management fee and breakpoints to those of a relevant peer group and category universe; an expense analysis which compared the Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing the Fund’s net expenses to the peer and category medians. The analyses also compared the Fund’s other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Fund.
In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Fund, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Fund differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.
In addition, the Trustees noted that shareholders are able to redeem their Fund shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Profitability
The Trustees reviewed the Fund’s contribution to the Investment Adviser’s revenues and pre-tax profit margins. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization periodically audits the expense allocation methodology and that the internal audit group was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology. Profitability data for the Fund was provided for 2019 and 2018, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability.
29
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Economies of Scale
The Trustees considered the information that had been provided regarding whether there have been economies of scale with respect to the management of the Fund. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreement for the Fund at the following annual percentage rates of the average daily net assets of the Fund:
First $2 billion | 0.70 | % | ||
Next $3 billion | 0.63 | |||
Next $3 billion | 0.60 | |||
Over $8 billion | 0.59 |
The Trustees noted that the breakpoints were designed to share potential economies of scale, if any, with the Fund and its shareholders as assets under management reach those asset levels. The Trustees considered the amounts of assets in the Fund; the Fund’s recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer group; and the Investment Adviser’s undertaking to limit certain expenses of the Fund that exceed a specified level. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund as stated above, including: (a) transfer agency fees received by Goldman Sachs & Co. LLC (“Goldman Sachs”); (b) brokerage and futures commissions earned by Goldman Sachs for executing securities and futures transactions on behalf of the Fund; (c) trading efficiencies resulting from aggregation of orders of the Fund with those for other funds or accounts managed by the Investment Adviser; (d) fees earned by Goldman Sachs Agency Lending (“GSAL”), an affiliate of the Investment Adviser, as securities lending agent (and fees earned by the Investment Adviser for managing the fund in which the Fund’s cash collateral is invested); (e) the Investment Adviser’s ability to leverage the infrastructure designed to service the Fund on behalf of its other clients; (f) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (g) Goldman Sachs’ retention of certain fees as Fund Distributor; (h) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Fund; (i) the investment of cash and cash collateral in money market funds managed by the Investment Adviser that will result in increased assets under management for those money market funds; and (j) the possibility that the working relationship between the Investment Adviser and the Fund’s third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
Other Benefits to the Fund and Its Shareholders
The Trustees also noted that the Fund receives certain other potential benefits as a result of its relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Fund with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors due to the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers due to the volume of business generated by the Investment Adviser and its affiliates; (d) the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties on behalf of the Fund as a result of the size and reputation of the Goldman Sachs organization; (e) the advantages received from the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Fund because of the reputation of the Goldman Sachs organization; (g) the Fund’s access, through the Investment Adviser, to certain firm-wide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; (h) the Fund’s ability to participate in the securities lending program administered by GSAL, as measured by the revenue received by the Fund in connection with the program; and (i) the Fund’s access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Fund’s shareholders invested in the Fund in part because of the Fund’s relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
30
GOLDMAN SACHS VARIABLE INSURANCE TRUST SMALL CAP EQUITY INSIGHTS FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by the Fund were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and the Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit the Fund and its shareholders and that the Management Agreement should be approved and continued with respect to the Fund until June 30, 2021.
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 |
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 recent month-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 the 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-621-2550; and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://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 June 30, 2020 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
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 the 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 Small Cap Equity Insights Fund.
© 2020 Goldman Sachs. All rights reserved.
VITSCSAR-20/211857-OTU-1243150
Goldman
Sachs Variable 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.
Semi-Annual Report
June 30, 2020
Goldman Sachs Variable Insurance Trust Strategic Growth Fund
Recent Market Events related to COVID-19
An outbreak of a novel strain of coronavirus (COVID-19) has emerged globally. The outbreak of COVID-19 has prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, curfews and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, and disruption in manufacturing and supply chains. While governments have already taken unprecedented action to limit disruption to the financial system, global financial markets have experienced and may continue to experience significant volatility resulting from the spread of and subsequent intervening measures intended to limit the spread of COVID-19. The Fund could be negatively impacted if the value of a portfolio holding were harmed by such political or economic conditions, events, or actions. The full extent of the impact of COVID-19 on the Fund’s performance cannot be determined at this time and will depend on future developments, including the duration and the continued spread of the outbreak. Goldman Sachs Asset Management’s long-term commitment to you, our Fund shareholders, remains unchanged. We encourage you to maintain perspective and stay current with timely commentary and investment insights by visiting gsam.com.
1
FUND BASICS
Strategic Growth Fund
as of June 30, 2020
PERFORMANCE REVIEW
January 1, 2020–June 30, 2020 | Fund Total Return (based on NAV)1 | Russell 1000® Growth Index2 | ||||||
Institutional | 9.24 | % | 9.81 | % | ||||
Service | 9.07 | 9.81 |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The Russell 1000® Growth Index (with dividends reinvested) 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. It is not possible to invest directly in an unmanaged index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
2
FUND BASICS
TOP TEN HOLDINGS AS OF 6/30/203,4
Holding | % of Net Assets | Line of Business | ||||
Microsoft Corp. | 6.6% | Software & Services | ||||
Apple, Inc. | 6.6 | Technology Hardware & Equipment | ||||
Amazon.com, Inc. | 5.0 | Retailing | ||||
Facebook, Inc. Class A | 4.7 | Media & Entertainment | ||||
Visa, Inc. Class A | 3.4 | Software & Services | ||||
Alphabet, Inc. Class A | 3.3 | Media & Entertainment | ||||
Adobe, Inc. | 2.9 | Software & Services | ||||
Mastercard, Inc. Class A | 2.7 | Software & Services | ||||
NVIDIA Corp. | 2.5 | Semiconductors & Semiconductor Equipment | ||||
PayPal Holdings, Inc. | 2.4 | Software & Services |
3 | The top 10 holdings may not be representative of the Fund’s future investments. |
4 | 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 2.7% of the Fund’s net assets as of June 30, 2020. |
FUND vs. BENCHMARK SECTOR ALLOCATIONS5
As of June 30, 2020
* | Percentage is less than 0.05. |
5 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value (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. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
3
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Schedule of Investments
June 30, 2020 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 97.3% | ||||||||
Automobiles & Components – 2.1% | ||||||||
34,004 | Aptiv plc | $ | 2,649,591 | |||||
4,749 | Tesla, Inc.* | 5,128,018 | ||||||
|
| |||||||
7,777,609 | ||||||||
|
| |||||||
Capital Goods – 2.2% | ||||||||
12,497 | Boeing Co. (The) | 2,290,700 | ||||||
16,512 | Deere & Co. | 2,594,861 | ||||||
7,685 | Honeywell International, Inc. | 1,111,174 | ||||||
6,825 | Northrop Grumman Corp. | 2,098,278 | ||||||
|
| |||||||
8,095,013 | ||||||||
|
| |||||||
Commercial & Professional Services – 0.8% | ||||||||
17,587 | Verisk Analytics, Inc. | 2,993,307 | ||||||
|
| |||||||
Consumer Durables & Apparel – 2.9% | ||||||||
8,964 | Lululemon Athletica, Inc.* | 2,796,858 | ||||||
69,625 | NIKE, Inc. Class B | 6,826,731 | ||||||
22,920 | PVH Corp. | 1,101,306 | ||||||
|
| |||||||
10,724,895 | ||||||||
|
| |||||||
Consumer Services – 1.6% | ||||||||
36,175 | Las Vegas Sands Corp. | 1,647,409 | ||||||
22,446 | McDonald’s Corp. | 4,140,614 | ||||||
|
| |||||||
5,788,023 | ||||||||
|
| |||||||
Diversified Financials – 1.7% | ||||||||
17,985 | Cboe Global Markets, Inc. | 1,677,641 | ||||||
52,064 | Charles Schwab Corp. (The) | 1,756,639 | ||||||
29,283 | Intercontinental Exchange, Inc. | 2,682,323 | ||||||
|
| |||||||
6,116,603 | ||||||||
|
| |||||||
Food & Staples Retailing – 0.8% | ||||||||
24,336 | Walmart, Inc. | 2,914,966 | ||||||
|
| |||||||
Food, Beverage & Tobacco – 3.2% | ||||||||
95,605 | Coca-Cola Co. (The) | 4,271,631 | ||||||
12,373 | McCormick & Co., Inc. (Non-Voting) | 2,219,840 | ||||||
26,741 | Mondelez International, Inc. Class A | 1,367,267 | ||||||
54,808 | Monster Beverage Corp.* | 3,799,291 | ||||||
|
| |||||||
11,658,029 | ||||||||
|
| |||||||
Health Care Equipment & Services – 7.5% | ||||||||
142,204 | Boston Scientific Corp.* | 4,992,782 | ||||||
17,874 | Danaher Corp. | 3,160,659 | ||||||
11,189 | Guardant Health, Inc.* | 907,764 | ||||||
10,101 | Humana, Inc. | 3,916,663 | ||||||
11,038 | Insulet Corp.* | 2,144,242 | ||||||
5,249 | Intuitive Surgical, Inc.* | 2,991,038 | ||||||
12,297 | UnitedHealth Group, Inc. | 3,627,000 | ||||||
9,589 | Veeva Systems, Inc. Class A* | 2,247,853 | ||||||
14,077 | West Pharmaceutical Services, Inc. | 3,197,872 | ||||||
|
| |||||||
27,185,873 | ||||||||
|
| |||||||
Household & Personal Products – 1.0% | ||||||||
18,551 | Estee Lauder Cos., Inc. (The) Class A | 3,500,203 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Materials – 2.2% | ||||||||
11,968 | Ecolab, Inc. | 2,381,034 | ||||||
9,551 | Linde plc | 2,025,863 | ||||||
6,463 | Martin Marietta Materials, Inc. | 1,335,062 | ||||||
4,157 | Sherwin-Williams Co. (The) | 2,402,122 | ||||||
|
| |||||||
8,144,081 | ||||||||
|
| |||||||
Media & Entertainment – 12.1% | ||||||||
8,369 | Alphabet, Inc. Class A* | 11,867,661 | ||||||
5,126 | Alphabet, Inc. Class C* | 7,246,165 | ||||||
75,830 | Facebook, Inc. Class A* | 17,218,718 | ||||||
17,303 | Netflix, Inc.* | 7,873,557 | ||||||
|
| |||||||
44,206,101 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences – 8.6% | ||||||||
12,297 | 10X Genomics, Inc. Class A* | 1,098,245 | ||||||
51,675 | Adaptive Biotechnologies Corp.* | 2,500,036 | ||||||
64,875 | AstraZeneca plc ADR | 3,431,239 | ||||||
24,935 | BioMarin Pharmaceutical, Inc.* | 3,075,483 | ||||||
68,186 | Bristol-Myers Squibb Co. | 4,009,337 | ||||||
26,839 | Eli Lilly and Co. | 4,406,427 | ||||||
12,210 | Illumina, Inc.* | 4,521,973 | ||||||
45,947 | Immunomedics, Inc.* | 1,628,362 | ||||||
3,887 | Regeneron Pharmaceuticals, Inc.* | 2,424,128 | ||||||
15,617 | Sarepta Therapeutics, Inc.* | 2,504,030 | ||||||
9,572 | Seattle Genetics, Inc.* | 1,626,474 | ||||||
|
| |||||||
31,225,734 | ||||||||
|
| |||||||
Real Estate Investment Trusts – 2.3% | ||||||||
18,145 | American Tower Corp. | 4,691,208 | ||||||
5,086 | Equinix, Inc. | 3,571,898 | ||||||
|
| |||||||
8,263,106 | ||||||||
|
| |||||||
Retailing – 6.5% | ||||||||
6,619 | Amazon.com, Inc.* | 18,260,630 | ||||||
34,581 | Ross Stores, Inc. | 2,947,684 | ||||||
11,777 | Ulta Beauty, Inc.* | 2,395,677 | ||||||
|
| |||||||
23,603,991 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 6.2% | ||||||||
15,514 | Analog Devices, Inc. | 1,902,637 | ||||||
23,509 | NVIDIA Corp. | 8,931,304 | ||||||
32,027 | NXP Semiconductors NV | 3,652,359 | ||||||
90,080 | QUALCOMM, Inc. | 8,216,197 | ||||||
|
| |||||||
22,702,497 | ||||||||
|
| |||||||
Software & Services – 26.6% | ||||||||
24,101 | Accenture plc Class A | 5,174,967 | ||||||
24,592 | Adobe, Inc.* | 10,705,143 | ||||||
18,360 | Atlassian Corp. plc Class A* | 3,309,757 | ||||||
33,096 | Fidelity National Information Services, Inc. | 4,437,843 | ||||||
9,187 | HubSpot, Inc.* | 2,061,103 | ||||||
33,800 | Mastercard, Inc. Class A | 9,994,660 | ||||||
118,657 | Microsoft Corp. | 24,147,886 | ||||||
50,820 | PayPal Holdings, Inc.* | 8,854,369 | ||||||
23,398 | salesforce.com, Inc.* | 4,383,147 | ||||||
|
|
4 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Software & Services – (continued) | ||||||||
12,243 | ServiceNow, Inc.* | $ | 4,959,150 | |||||
64,783 | Visa, Inc. Class A | 12,514,132 | ||||||
33,816 | Workday, Inc. Class A* | 6,335,766 | ||||||
|
| |||||||
96,877,923 | ||||||||
|
| |||||||
Technology Hardware & Equipment – 7.5% | ||||||||
36,099 | Amphenol Corp. Class A | 3,458,645 | ||||||
65,457 | Apple, Inc. | 23,878,714 | ||||||
|
| |||||||
27,337,359 | ||||||||
|
| |||||||
Transportation – 1.5% | ||||||||
26,835 | CSX Corp. | 1,871,473 | ||||||
21,133 | Union Pacific Corp. | 3,572,956 | ||||||
|
| |||||||
5,444,429 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $200,225,019) | $ | 354,559,742 | ||||||
|
| |||||||
Shares | Dividend Rate | Value | ||||||
Investment Company(a) – 2.7% | ||||||||
| Goldman Sachs Financial Square Government Fund — | | ||||||
9,828,693 | 0.155% | $ | 9,828,693 | |||||
(Cost $9,828,693) | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 100.0% | ||||||||
(Cost $210,053,712) | $ | 364,388,435 | ||||||
|
| |||||||
| LIABILITIES IN EXCESS OF | (96,135 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% | $ | 364,292,300 | ||||||
|
|
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 |
The accompanying notes are an integral part of these financial statements. | 5 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Statement of Assets and Liabilities
June 30, 2020 (Unaudited)
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $200,225,019) | $ | 354,559,742 | ||
Investments in affiliated issuers, at value (cost $9,828,693) | 9,828,693 | |||
Cash | 237,540 | |||
Receivables: | ||||
Fund shares sold | 212,438 | |||
Dividends | 133,925 | |||
Reimbursement from investment adviser | 21,679 | |||
Securities lending income | 5,442 | |||
Total assets | 364,999,459 | |||
Liabilities: | ||||
Payables: | ||||
Fund shares redeemed | 242,979 | |||
Management fees | 208,681 | |||
Distribution and Service fees and Transfer Agency fees | 52,149 | |||
Accrued expenses | 203,350 | |||
Total liabilities | 707,159 | |||
Net Assets: | ||||
Paid-in capital | 191,355,353 | |||
Total distributable earnings (loss) | 172,936,947 | |||
NET ASSETS | $ | 364,292,300 | ||
Net Assets: | ||||
Institutional | $ | 136,077,067 | ||
Service | 228,215,233 | |||
Total Net Assets | $ | 364,292,300 | ||
Shares outstanding $0.001 par value (unlimited shares authorized): | ||||
Institutional | 10,464,402 | |||
Service | 17,562,726 | |||
Net asset value, offering and redemption price per share: | ||||
Institutional | $13.00 | |||
Service | 12.99 |
6 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Statement of Operations
For the Six Months Ended June 30, 2020 (Unaudited)
Investment income: | ||||
Dividends — unaffiliated issuers (net of foreign taxes withheld of $3,110) | $ | 1,475,718 | ||
Dividends — affiliated issuers | 7,057 | |||
Securities lending income — unaffiliated issuer | 5,917 | |||
Total investment income | 1,488,692 | |||
Expenses: | ||||
Management fees | 1,169,086 | |||
Distribution and Service fees — Service Shares | 255,838 | |||
Printing and mailing costs | 51,444 | |||
Professional fees | 45,232 | |||
Custody, accounting and administrative services | 33,243 | |||
Transfer Agency fees(a) | 32,929 | |||
Trustee fees | 9,711 | |||
Other | 5,284 | |||
Total expenses | 1,602,767 | |||
Less — expense reductions | (125,695 | ) | ||
Net expenses | 1,477,072 | |||
NET INVESTMENT INCOME | 11,620 | |||
Realized and unrealized gain: | ||||
Net realized gain from investments — unaffiliated issuers | 18,113,408 | |||
Net change in unrealized gain on investments — unaffiliated issuers | 102,580 | |||
Net realized and unrealized gain | 18,215,988 | |||
NET INCREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | 18,227,608 |
(a) | Institutional and Service Shares incurred Transfer Agency fees of $12,464 and $20,465, respectively. |
The accompanying notes are an integral part of these financial statements. | 7 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2020 (Unaudited) | For the Fiscal Year Ended December 31, 2019 | |||||||
From operations: | ||||||||
Net investment income | $ | 11,620 | $ | 435,982 | ||||
Net realized gain | 18,113,408 | 18,838,812 | ||||||
Net change in unrealized gain | 102,580 | 74,794,292 | ||||||
Net increase in net assets resulting from operations | 18,227,608 | 94,069,086 | ||||||
Distributions to shareholders: | ||||||||
From distributable earnings: | ||||||||
Institutional Shares | — | (13,128,250 | ) | |||||
Service Shares | — | (24,038,886 | ) | |||||
Total distributions to shareholders | — | (37,167,136 | ) | |||||
From share transactions: | ||||||||
Proceeds from sales of shares | 74,571,253 | 99,931,813 | ||||||
Reinvestment of distributions | — | 37,167,136 | ||||||
Cost of shares redeemed | (99,567,235 | ) | (64,553,057 | ) | ||||
Net increase (decrease) in net assets resulting from share transactions | (24,995,982 | ) | 72,545,892 | |||||
TOTAL INCREASE (DECREASE) | (6,768,374 | ) | 129,447,842 | |||||
Net Assets: | ||||||||
Beginning of period | 371,060,674 | 241,612,832 | ||||||
End of period | $ | 364,292,300 | $ | 371,060,674 |
8 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Strategic Growth Fund | ||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.90 | $ | 9.78 | $ | 19.73 | $ | 15.83 | $ | 15.62 | $ | 16.16 | ||||||||||||
Net investment income(a) | 0.01 | 0.03 | 0.06 | 0.09 | 0.07 | 0.09 | (b) | |||||||||||||||||
Net realized and unrealized gain (loss) | 1.09 | 3.43 | (0.18 | ) | 4.77 | 0.24 | 0.46 | |||||||||||||||||
Total from investment operations | 1.10 | 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 period | $ | 13.00 | $ | 11.90 | $ | 9.78 | $ | 19.73 | $ | 15.83 | $ | 15.62 | ||||||||||||
Total return(d) | 9.24 | % | 35.53 | % | (1.04 | )% | 30.66 | % | 1.98 | % | 3.40 | % | ||||||||||||
Net assets, end of period (in 000s) | $ | 136,077 | $ | 129,686 | $ | 102,199 | $ | 115,693 | $ | 98,090 | $ | 109,801 | ||||||||||||
Ratio of net expenses to average net assets | 0.74 | %(e) | 0.77 | % | 0.74 | % | 0.76 | % | 0.79 | % | 0.79 | % | ||||||||||||
Ratio of total expenses to average net assets | 0.82 | %(e) | 0.85 | % | 0.82 | % | 0.82 | % | 0.84 | % | 0.83 | % | ||||||||||||
Ratio of net investment income to average net assets | 0.15 | %(e) | 0.29 | % | 0.30 | % | 0.48 | % | 0.48 | % | 0.55 | %(b) | ||||||||||||
Portfolio turnover rate(f) | 39 | % | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(e) | Annualized. |
(f) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. 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. | 9 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs Strategic Growth Fund | ||||||||||||||||||||||||
Service Shares | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.91 | $ | 9.78 | $ | 19.68 | $ | 15.79 | $ | 15.59 | $ | 16.13 | ||||||||||||
Net investment income(a) | — | (b) | 0.01 | 0.01 | 0.04 | 0.03 | 0.05 | (c) | ||||||||||||||||
Net realized and unrealized gain (loss) | 1.08 | 3.43 | (0.18 | ) | 4.76 | 0.23 | 0.46 | |||||||||||||||||
Total from investment operations | 1.08 | 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 | ) | — | (b) | (1.03 | ) | |||||||||||||
Total distributions | — | (1.31 | ) | (9.73 | ) | (0.91 | ) | (0.06 | ) | (1.05 | ) | |||||||||||||
Net asset value, end of period | $ | 12.99 | $ | 11.91 | $ | 9.78 | $ | 19.68 | $ | 15.79 | $ | 15.59 | ||||||||||||
Total return(d) | 9.07 | % | 35.32 | % | (1.32 | )% | 30.36 | % | 1.69 | % | 3.14 | % | ||||||||||||
Net assets, end of period (in 000s) | $ | 228,215 | $ | 241,375 | $ | 139,414 | $ | 425,679 | $ | 368,242 | $ | 360,966 | ||||||||||||
Ratio of net expenses to average net assets | 0.99 | %(e) | 1.02 | % | 0.99 | % | 1.01 | % | 1.04 | % | 1.04 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.07 | %(e) | 1.10 | % | 1.07 | % | 1.07 | % | 1.08 | % | 1.08 | % | ||||||||||||
Ratio of net investment income (loss) to average net assets | (0.08 | )%(e) | 0.04 | % | 0.04 | % | 0.23 | % | 0.22 | % | 0.29 | %(c) | ||||||||||||
Portfolio turnover rate(f) | 39 | % | 44 | % | 41 | % | 37 | % | 72 | % | 56 | % |
(a) | Calculated based on the average shares outstanding methodology. |
(b) | Amount is less than $0.005 per share. |
(c) | Reflects income recognized from special dividends which amounted to $0.03 per share and 0.20% of average net assets. |
(d) | Assumes investment at the net asset value at the beginning of the period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(e) | Annualized. |
(f) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Notes to Financial Statements
June 30, 2020 (Unaudited)
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 an open-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 on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. 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, and non-class specific expenses of the Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by the Fund are charged to the Fund, while such expenses incurred by the Trust are allocated across the Fund on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class-specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service and Transfer Agency fees.
D. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid at least annually.
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the Fund’s distributions may be shown in the accompanying financial statements as either from distributable earnings or capital. Certain components of the Fund’s net assets on the Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
11
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
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 GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Fund’s investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a 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. Certain equity securities containing unique attributes may be classified as Level 2.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price for long positions or the last ask price for short positions, and are generally classified as Level 2.
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.
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GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
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 June 30, 2020:
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Europe | $ | 9,109,461 | $ | — | $ | — | ||||||
North America | 345,450,281 | — | — | |||||||||
Investment Company | 9,828,693 | — | — | |||||||||
Total | $ | 364,388,435 | $ | — | $ | — |
(a) | Amounts are disclosed by continent to highlight the impact of time zone differences between local market close and the calculation of NAV. Security aluations 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 six months ended June 30, 2020, 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 six months ended June 30, 2020, GSAM waived $2,720 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 Rule 12b-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.
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GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
4. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
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 29, 2021, and prior to such date GSAM may not terminate the arrangement without the approval of the Trustees. In addition, the Fund has entered into certain offset arrangements with the 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 six months ended June 30, 2020, 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 | |||||||||
$2,720 | $ | 1,117 | $ | 121,858 | $ | 125,695 |
E. Line of Credit Facility — As of June 30, 2020, the Fund participated in a $700,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the six months ended June 30, 2020, the Fund did not have any borrowings under the facility. Prior to April 28, 2020, the facility was $580,000,000.
F. Other Transactions with Affiliates — For the six months ended June 30, 2020, Goldman Sachs earned $857 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 six months ended June 30, 2020:
Beginning Value as of | Purchases at Cost | Proceeds from Sales | Ending Value as | Shares as of June 30, 2020 | Dividend Income from Affiliated Investment Company | |||||||||||||||
$1,563,204 | $ | 76,596,325 | $ | (68,330,836) | $ | 9,828,693 | 9,828,693 | $ | 7,057 |
5. PORTFOLIO SECURITIES TRANSACTIONS
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended June 30, 2020, were $128,327,951 and $161,660,055, 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,
14
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
6. SECURITIES LENDING (continued)
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 Rule 2a-7 under the Act, and is managed by GSAM, for which GSAM may receive a management fee of up to 0.16% on an annualized basis of the average daily net assets of the Government Money Market Fund.
In the event of a default by a borrower with respect to any loan, BNYM may exercise any and all remedies provided under the applicable borrower agreement to make the 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 the non-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. However, in the event of a default by a borrower, a resolution authority could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of set-off that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws. The Fund’s loaned securities were all subject to enforceable Securities Lending Agreements and the value of the collateral was at least equal to the value of the cash received. The amounts of the Fund’s overnight and continuous agreements, which represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of June 30, 2020, 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 June 30, 2020.
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 six months ended June 30, 2020, 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 six months ended June 30, 2020:
Beginning Value as of | Purchases at Cost | Proceeds from Sales | Ending Value as of June 30, 2020 | |||||||||||
$ | 1,651,105 | $ | 7,164,461 | $ | (8,815,566 | ) | $ | — |
7. TAX INFORMATION
As of the Fund’s most recent fiscal year end, December 31, 2019, the Fund’s certain timing differences, on a tax-basis were as follows:
Timing differences (Post October Loss Deferral) | $ | (28,908 | ) |
15
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
7. TAX INFORMATION (continued)
As of June 30, 2020, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Tax cost | $ | 210,447,333 | ||
Gross unrealized gain | 155,636,937 | |||
Gross unrealized loss | (1,695,835 | ) | ||
Net unrealized gain | $ | 153,941,102 |
The difference between GAAP-basis and tax-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 a smaller asset base, leading to an increase in the Fund’s expense ratio. Similarly, large Fund share purchases may adversely affect the Fund’s performance to the extent that the Fund is delayed in investing new cash or otherwise maintains a larger cash position than it ordinarily would.
Liquidity Risk — The Fund may make investments that are illiquid or that may become less liquid in response to market developments or adverse investor perceptions. Illiquid investments may be more difficult to value. Liquidity risk may also refer to the risk that the Fund will not be able to pay redemption proceeds within the allowable time period or without significant dilution to remaining investors’ interests because of unusual market conditions, an unusually high volume of redemption requests, or other reasons. To meet redemption requests, the Fund may be forced to sell investments at an unfavorable time and/or under unfavorable conditions. If the Fund is forced to sell securities at an unfavorable time and/or under unfavorable conditions, such sales may adversely affect the Fund’s NAV and dilute remaining investors’ interests. These risks may be more pronounced in connection with the Fund’s investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on the Fund’s liquidity.
Market and Credit Risks — In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). The value of the securities in which the Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, acts of terrorism, social unrest, natural disasters, the spread of infectious illness or other public health threats could also significantly impact the Fund and its investments. Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
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GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
9. INDEMNIFICATIONS
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
10. SUBSEQUENT EVENTS
Subsequent events after the Statement of Assets and Liabilities date have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
11. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
For the Six Months Ended June 30, 2020 (Unaudited) | For the Fiscal Year Ended December 31, 2019 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 320,068 | $ | 3,715,181 | 583,898 | $ | 7,062,304 | ||||||||||
Reinvestment of distributions | — | — | 1,118,249 | 13,128,250 | ||||||||||||
Shares redeemed | (750,378 | ) | (8,701,945 | ) | (1,261,183 | ) | (14,783,803 | ) | ||||||||
(430,310 | ) | (4,986,764 | ) | 440,964 | 5,406,751 | |||||||||||
Service Shares | ||||||||||||||||
Shares sold | 6,112,146 | 70,856,072 | 8,337,088 | 92,869,509 | ||||||||||||
Reinvestment of distributions | — | — | 2,045,863 | 24,038,886 | ||||||||||||
Shares redeemed | (8,816,928 | ) | (90,865,290 | ) | (4,367,583 | ) | (49,769,254 | ) | ||||||||
(2,704,782 | ) | (20,009,218 | ) | 6,015,368 | 67,139,141 | |||||||||||
NET INCREASE (DECREASE) | (3,135,092 | ) | $ | (24,995,982 | ) | 6,456,332 | $ | 72,545,892 |
17
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Liquidity Risk Management Program
The Fund has adopted and implemented a liquidity risk management program (the “Program”) in accordance with Rule 22e-4 under the 1940 Act. The Program seeks to assess and manage the Fund’s liquidity risk, i.e., the risk that the Fund is unable to satisfy redemption requests without significantly diluting remaining investors’ interests in the Fund. The Board of Trustees of the Trust has designated GSAM, the Fund’s investment adviser, to administer the Program. Certain aspects of the Program rely on third parties to perform certain functions, including the provision of market data and application of models.
The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Fund’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of a Fund’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under Rule 22e-4); (4) for a Fund that does not invest primarily in “highly liquid investments” (as defined under Rule 22e-4), the determination of a minimum percentage of the Fund’s assets that will generally be invested in highly liquid investments (a “Highly Liquid Investment Minimum”); and (5) periodic reporting to the Board of Trustees.
At a meeting of the Board of Trustees on February 11-12, 2020, GSAM provided a written report to the Board addressing the operation, and the adequacy and effectiveness of the implementation, of the Program, including, as applicable, the operation of any Highly Liquid Investment Minimum and any material changes to the Program, for the initial period from December 1, 2018 through December 31, 2019 (the “Reporting Period”). Among other things, the annual report discussed: (1) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions; and (2) an assessment of the methodologies used to classify investments into one of four liquidity categories. The report concluded that the Program was reasonably designed to assess and manage liquidity risk and was adequately and effectively implemented during the Reporting Period.
There can be no assurance that the Program will achieve its objectives under all circumstances in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which it may be subject.
18
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Fund Expenses — Six Month Period Ended June 30, 2020 (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 January 1, 2020 through June 30, 2020, which represents a period of 182 days of a 366 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual net expense 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 01/01/20 | Ending Account Value 06/30/20 | Expenses Paid for the 6 Months Ended 06/30/20* | |||||||||
Institutional | ||||||||||||
Actual | $ | 1,000 | $ | 1,092.40 | $ | 3.85 | ||||||
Hypothetical 5% return | 1,000 | 1,021.18 | + | 3.72 | ||||||||
Service | ||||||||||||
Actual | 1,000 | 1,090.70 | 5.15 | |||||||||
Hypothetical 5% return | 1,000 | 1,019.94 | + | 4.97 |
+ | 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 June 30, 2020. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 0.74%, and 0.99% for Institutional and Service Shares, respectively. |
19
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
The Goldman Sachs Strategic Growth Fund (the “Fund”) is an investment portfolio of Goldman Sachs Variable Insurance Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Fund at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Fund.
The Management Agreement was most recently approved for continuation until June 30, 2021 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 16-17, 2020 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held two meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to the Fund, such matters included:
(a) | the nature and quality of the advisory, administrative, and other services provided to the Fund by the Investment Adviser and its affiliates, including information about: |
(i) | the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams; |
(ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training); |
(iii) | trends in employee headcount; |
(iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
(v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
(b) | information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), a benchmark performance index, and a composite of accounts with comparable investment strategies managed by the Investment Adviser; and information on general investment outlooks in the markets in which the Fund invests; |
(c) | information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Fund’s peer group and/or benchmark index had high, medium, or low relevance given the Fund’s particular investment strategy; |
(d) | the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund; |
(e) | fee and expense information for the Fund, including: |
(i) | the relative management fee and expense levels of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; |
(ii) | the Fund’s expense trends over time; and |
(iii) | to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
(f) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; |
(g) | the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations; |
(h) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund to the Investment Adviser and its affiliates; |
(i) | whether the Fund’s existing management fee schedule adequately addressed any economies of scale; |
20
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
(j) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, portfolio trading, distribution and other services; |
(k) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
(l) | information regarding commissions paid by the Fund and broker oversight, an update on the Investment Adviser’s soft dollars practices, other information regarding portfolio trading, and how the Investment Adviser carries out its duty to seek best execution; |
(m) | the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers; |
(n) | the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and |
(o) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports. |
The Trustees also received an overview of the Fund’s distribution arrangements. They received information regarding the Fund’s assets, share purchase and redemption activity, and payment of distribution and service fees. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Fund and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Fund. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Fund by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the market, regulatory and control environment in which the Fund and its service providers operate, including changes associated with the COVID-19 pandemic, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees also considered information regarding the Investment Adviser’s business continuity planning and remote operations in the current environment. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Fund and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Fund and the Investment Adviser and its affiliates.
Investment Performance
The Trustees also considered the investment performance of the Fund. In this regard, they compared the investment performance of the Fund to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2019, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2020. The information on the Fund’s investment performance was provided for the one-, three-, five-, and ten-year periods ending on the applicable dates. The Trustees also reviewed the Fund’s investment performance relative to its
21
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
performance benchmark. As part of this review, they considered the investment performance trends of the Fund over time, and reviewed the investment performance of the Fund in light of its investment objective and policies and market conditions. The Trustees also received information comparing the Fund’s performance to that of a composite of accounts with comparable investment strategies managed by the Investment Adviser.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Fund’s risk profile, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management.
The Trustees observed that the Fund’s Institutional Shares had placed in the top half of the Fund’s peer group and had underperformed the Fund’s benchmark index for the one-, three-, five-, and ten-year periods ended March 31, 2020.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by the Fund thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Fund, which included both advisory and administrative services that were directed to the needs and operations of the Fund as a registered mutual fund.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Fund. The analyses provided a comparison of the Fund’s management fee and breakpoints to those of a relevant peer group and category universe; an expense analysis which compared the Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing the Fund’s net expenses to the peer and category medians. The analyses also compared the Fund’s other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Fund.
In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Fund, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Fund differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.
In addition, the Trustees noted that shareholders are able to redeem their Fund shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Profitability
The Trustees reviewed the Fund’s contribution to the Investment Adviser’s revenues and pre-tax profit margins. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization periodically audits the expense allocation methodology and that the internal audit group was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology. Profitability data for the Fund was provided for 2019 and 2018, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability.
Economies of Scale
The Trustees considered the information that had been provided regarding whether there have been economies of scale with respect to the management of the Fund. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreement for the Fund at the following annual percentage rates of the average daily net assets of the Fund:
First $1 billion | 0.71 | % | ||
Next $1 billion | 0.64 | |||
Next $3 billion | 0.61 | |||
Next $3 billion | 0.59 | |||
Over $8 billion | 0.58 |
22
GOLDMAN SACHS VARIABLE INSURANCE TRUST STRATEGIC GROWTH FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
The Trustees noted that the breakpoints were designed to share potential economies of scale, if any, with the Fund and its shareholders as assets under management reach those asset levels. The Trustees considered the amounts of assets in the Fund; the Fund’s recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer group; and the Investment Adviser’s undertaking to limit certain expenses of the Fund that exceed a specified level. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund as stated above, including: (a) transfer agency fees received by Goldman Sachs & Co. LLC (“Goldman Sachs”); (b) brokerage and futures commissions earned by Goldman Sachs for executing securities and futures transactions on behalf of the Fund; (c) research received by the Investment Adviser from broker-dealers in exchange for executing certain transactions on behalf of the Fund; (d) trading efficiencies resulting from aggregation of orders of the Fund with those for other funds or accounts managed by the Investment Adviser; (e) fees earned by the Investment Adviser for managing the fund in which the Fund’s securities lending cash collateral is invested; (f) the Investment Adviser’s ability to leverage the infrastructure designed to service the Fund on behalf of its other clients; (g) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (h) Goldman Sachs’ retention of certain fees as Fund Distributor; (i) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Fund; (j) the investment of cash in money market funds managed by the Investment Adviser that will result in increased assets under management for those money market funds; and (k) the possibility that the working relationship between the Investment Adviser and the Fund’s third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
Other Benefits to the Fund and Its Shareholders
The Trustees also noted that the Fund receives certain other potential benefits as a result of its relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Fund with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors due to the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers due to the volume of business generated by the Investment Adviser and its affiliates; (d) the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties on behalf of the Fund as a result of the size and reputation of the Goldman Sachs organization; (e) the advantages received from the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Fund because of the reputation of the Goldman Sachs organization; (g) the Fund’s access, through the Investment Adviser, to certain firm-wide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; and (h) the Fund’s access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Fund’s shareholders invested in the Fund in part because of the Fund’s relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by the Fund were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and the Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit the Fund and its shareholders and that the Management Agreement should be approved and continued with respect to the Fund until June 30, 2021.
23
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 |
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 recent month-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 the 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-621-2550; and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://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 June 30, 2020 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
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 the 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 Strategic Growth Fund.
© 2020 Goldman Sachs. All rights reserved.
VITGRWSAR-20/211773-OTU-1244916
Goldman
Sachs Variable 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.
Semi-Annual Report
June 30, 2020
Goldman Sachs Variable Insurance Trust International Equity Insights Fund
Recent Market Events related to COVID-19
An outbreak of a novel strain of coronavirus (COVID-19) has emerged globally. The outbreak of COVID-19 has prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, curfews and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, and disruption in manufacturing and supply chains. While governments have already taken unprecedented action to limit disruption to the financial system, global financial markets have experienced and may continue to experience significant volatility resulting from the spread of and subsequent intervening measures intended to limit the spread of COVID-19. The Fund could be negatively impacted if the value of a portfolio holding were harmed by such political or economic conditions, events, or actions. The full extent of the impact of COVID-19 on the Fund’s performance cannot be determined at this time and will depend on future developments, including the duration and the continued spread of the outbreak. Goldman Sachs Asset Management’s long-term commitment to you, our Fund shareholders, remains unchanged. We encourage you to maintain perspective and stay current with timely commentary and investment insights by visiting gsam.com.
1
FUND BASICS
International Equity Insights Fund
as of June 30, 2020
PERFORMANCE REVIEW
January 1, 2020-June 30, 2020 | Fund Total Return (based on NAV)1 | MSCI EAFE Standard Index2 | ||||||
Institutional | -11.60 | % | -11.34 | % | ||||
Service | -11.66 | -11.34 |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The 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. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
2
FUND BASICS
TOP TEN HOLDINGS AS OF 6/30/203
Holding | % of Net Assets | Line of Business | Country | |||||
Nestle SA (Registered) | 3.0% | Food, Beverage & Tobacco | Switzerland | |||||
Roche Holding AG | 2.5 | Pharmaceuticals, Biotechnology & Life Sciences | Switzerland | |||||
Novartis AG (Registered) | 2.1 | Pharmaceuticals, Biotechnology & Life Sciences | Switzerland | |||||
ASML Holding NV | 1.8 | Semiconductors & Semiconductor Equipment | Netherlands | |||||
Novo Nordisk A/S Class B | 1.5 | Pharmaceuticals, Biotechnology & Life Sciences | Denmark | |||||
Schneider Electric SE | 1.2 | Capital Goods | France | |||||
Allianz SE (Registered) | 1.2 | Insurance | Germany | |||||
Enel SpA | 1.1 | Utilities | Italy | |||||
Zurich Insurance Group AG | 1.1 | Insurance | Switzerland | |||||
Diageo plc | 1.1 | Food, Beverage & Tobacco | United Kingdom |
3 | The top 10 holdings may not be representative of the Fund’s future investments. |
FUND VS. BENCHMARK SECTOR ALLOCATIONS4
As of June 30, 2020
4 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about your Fund’s investment strategies, holdings, and performance.
3
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Schedule of Investments
June 30, 2020 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 98.2% | ||||||||
Australia – 7.9% | ||||||||
10,213 | ASX Ltd. (Diversified Financials) | $ | 607,044 | |||||
56,559 | Aurizon Holdings Ltd. (Transportation) | 192,463 | ||||||
20,600 | Beach Energy Ltd. (Energy) | 22,007 | ||||||
19,796 | BHP Group Ltd. (Materials) | 492,879 | ||||||
38,194 | BHP Group plc (Materials) | 781,566 | ||||||
68,714 | Brambles Ltd. (Commercial & Professional Services) | 521,017 | ||||||
103,899 | Evolution Mining Ltd. (Materials) | 412,738 | ||||||
57,641 | Fortescue Metals Group Ltd. (Materials) | 560,367 | ||||||
15,197 | Goodman Group (REIT) | 156,806 | ||||||
8,051 | IGO Ltd. (Materials) | 27,470 | ||||||
4,847 | Magellan Financial Group Ltd. (Diversified Financials) | 197,930 | ||||||
5,372 | Newcrest Mining Ltd. (Materials) | 119,119 | ||||||
5,734 | Rio Tinto Ltd. (Materials) | 392,628 | ||||||
14,333 | Rio Tinto plc ADR (Materials) | 805,228 | ||||||
95,942 | Santos Ltd. (Energy) | 356,576 | ||||||
4,144 | Wesfarmers Ltd. (Retailing) | 128,846 | ||||||
11,543 | Woodside Petroleum Ltd. (Energy) | 174,445 | ||||||
|
| |||||||
5,949,129 | ||||||||
|
| |||||||
Austria – 0.0% | ||||||||
687 | OMV AG (Energy)* | 23,182 | ||||||
|
| |||||||
Belgium – 0.7% | ||||||||
2,423 | Galapagos NV (Pharmaceuticals, Biotechnology & Life Sciences)* | 478,246 | ||||||
273 | UCB SA (Pharmaceuticals, Biotechnology & Life Sciences) | 31,681 | ||||||
|
| |||||||
509,927 | ||||||||
|
| |||||||
Cambodia – 0.3% | ||||||||
202,000 | NagaCorp Ltd. (Consumer Services) | 235,643 | ||||||
|
| |||||||
China – 1.0% | ||||||||
9,500 | ENN Energy Holdings Ltd. (Utilities) | 107,354 | ||||||
59,000 | Fosun International Ltd. (Capital Goods) | 75,616 | ||||||
174,000 | Tingyi Cayman Islands Holding Corp. (Food, Beverage & Tobacco) | 271,051 | ||||||
278,000 | Uni-President China Holdings Ltd. (Food, Beverage & Tobacco) | 278,085 | ||||||
|
| |||||||
732,106 | ||||||||
|
| |||||||
Denmark – 2.2% | ||||||||
17,168 | Novo Nordisk A/S Class B (Pharmaceuticals, Biotechnology & Life Sciences) | 1,118,456 | ||||||
5,520 | Vestas Wind Systems A/S (Capital Goods) | 565,264 | ||||||
|
| |||||||
1,683,720 | ||||||||
|
| |||||||
Finland – 0.7% | ||||||||
4,699 | Neste OYJ (Energy) | 184,558 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Finland – (continued) | ||||||||
8,669 | Nokia OYJ (Technology Hardware & Equipment) | 37,883 | ||||||
11,674 | Valmet OYJ (Capital Goods) | 305,973 | ||||||
|
| |||||||
528,414 | ||||||||
|
| |||||||
France – 8.7% | ||||||||
14,108 | BNP Paribas SA (Banks)* | 563,671 | ||||||
7,168 | Bouygues SA (Capital Goods)* | 245,536 | ||||||
4,264 | Capgemini SE (Software & Services) | 492,072 | ||||||
692 | Christian Dior SE (Consumer Durables & Apparel) | 294,428 | ||||||
25,258 | Credit Agricole SA (Banks)* | 239,842 | ||||||
7,027 | Danone SA (Food, Beverage & Tobacco) | 487,767 | ||||||
1,373 | Eiffage SA (Capital Goods)* | 125,858 | ||||||
381 | Hermes International (Consumer Durables & Apparel) | 319,891 | ||||||
8,545 | Legrand SA (Capital Goods) | 649,270 | ||||||
332 | LVMH Moet Hennessy Louis Vuitton SE (Consumer Durables & Apparel) | 146,576 | ||||||
8,011 | Natixis SA (Diversified Financials)* | 21,129 | ||||||
1,625 | Peugeot SA (Automobiles & Components)* | 26,649 | ||||||
4,954 | Publicis Groupe SA (Media & Entertainment) | 160,931 | ||||||
4,798 | Rexel SA (Capital Goods) | 54,991 | ||||||
2,795 | Safran SA (Capital Goods)* | 281,153 | ||||||
2,615 | Sanofi (Pharmaceuticals, Biotechnology & Life Sciences) | 266,690 | ||||||
1,533 | Sartorius Stedim Biotech (Pharmaceuticals, Biotechnology & Life Sciences) | 388,673 | ||||||
8,247 | Schneider Electric SE (Capital Goods) | 917,369 | ||||||
5,582 | SCOR SE (Insurance)* | 154,165 | ||||||
494 | Teleperformance (Commercial & Professional Services)* | 125,813 | ||||||
7,526 | TOTAL SA (Energy) | 290,191 | ||||||
8,497 | Valeo SA (Automobiles & Components) | 224,112 | ||||||
2,537 | Vivendi SA (Media & Entertainment) | 65,555 | ||||||
|
| |||||||
6,542,332 | ||||||||
|
| |||||||
Germany – 6.3% | ||||||||
4,400 | Allianz SE (Registered) (Insurance) | 899,107 | ||||||
5,378 | Aurubis AG (Materials) | 332,462 | ||||||
625 | Bechtle AG (Software & Services) | 110,775 | ||||||
4,279 | Deutsche Boerse AG (Diversified Financials) | 774,400 | ||||||
21,556 | Deutsche Post AG (Registered) (Transportation) | 791,534 | ||||||
3,526 | Deutsche Telekom AG (Registered) (Telecommunication Services) | 59,164 | ||||||
|
|
4 | 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) | ||||||||
Germany – (continued) | ||||||||
3,984 | DWS Group GmbH & Co. KGaA (Diversified Financials)*(a) | $ | 145,165 | |||||
2,486 | Freenet AG (Telecommunication Services) | 39,922 | ||||||
1,370 | Fresenius Medical Care AG & Co. KGaA (Health Care Equipment & Services) | 117,861 | ||||||
901 | Gerresheimer AG (Pharmaceuticals, Biotechnology & Life Sciences) | 83,266 | ||||||
2,202 | HelloFresh SE (Retailing)* | 117,796 | ||||||
144 | Henkel AG & Co. KGaA (Household & Personal Products) | 12,047 | ||||||
4,396 | Henkel AG & Co. KGaA (Preference) (Household & Personal Products)(b) | 410,119 | ||||||
372 | MorphoSys AG (Pharmaceuticals, Biotechnology & Life Sciences)* | 47,165 | ||||||
2,309 | Nemetschek SE (Software & Services) | 158,657 | ||||||
953 | Porsche Automobil Holding SE (Preference) (Automobiles & Components)*,(b) | 55,197 | ||||||
4,886 | Scout24 AG (Media & Entertainment)(a) | 378,019 | ||||||
1,322 | Siltronic AG (Semiconductors & Semiconductor Equipment) | 135,563 | ||||||
1,466 | Software AG (Software & Services) | 59,212 | ||||||
|
| |||||||
4,727,431 | ||||||||
|
| |||||||
Hong Kong – 1.1% | ||||||||
4,000 | CK Asset Holdings Ltd. (Real Estate) | 23,987 | ||||||
16,000 | CLP Holdings Ltd. (Utilities) | 157,140 | ||||||
3,500 | Jardine Matheson Holdings Ltd. (Capital Goods) | 146,338 | ||||||
39,500 | Sun Hung Kai Properties Ltd. (Real Estate) | 504,622 | ||||||
|
| |||||||
832,087 | ||||||||
|
| |||||||
Ireland – 0.1% | ||||||||
1,275 | Smurfit Kappa Group plc (Materials) | 42,847 | ||||||
|
| |||||||
Israel – 0.1% | ||||||||
2,710 | Plus500 Ltd. (Diversified Financials) | 44,202 | ||||||
|
| |||||||
Italy – 4.2% | ||||||||
69,231 | A2A SpA (Utilities) | 98,407 | ||||||
755 | Banca Generali SpA (Diversified Financials) | 22,702 | ||||||
757 | DiaSorin SpA (Health Care Equipment & Services) | 145,379 | ||||||
97,253 | Enel SpA (Utilities) | 841,087 | ||||||
3,284 | Ferrari NV (Automobiles & Components) | 562,534 | ||||||
365,868 | Intesa Sanpaolo SpA (Banks)* | 703,085 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Italy – (continued) | ||||||||
37,242 | Poste Italiane SpA (Insurance)(a) | $ | 325,318 | |||||
20,458 | Prysmian SpA (Capital Goods) | 474,592 | ||||||
|
| |||||||
3,173,104 | ||||||||
|
| |||||||
Japan – 27.2% | ||||||||
1,200 | Alps Alpine Co. Ltd. (Technology Hardware & Equipment) | 15,467 | ||||||
1,500 | ASKUL Corp. (Retailing) | 48,180 | ||||||
42,600 | Astellas Pharma, Inc. (Pharmaceuticals, Biotechnology & Life Sciences) | 711,401 | ||||||
1,800 | Beenos, Inc. (Retailing) | 17,262 | ||||||
17,200 | Benesse Holdings, Inc. (Consumer Services) | 461,297 | ||||||
10,100 | Chubu Electric Power Co., Inc. (Utilities) | 126,674 | ||||||
6,200 | Chugai Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 331,948 | ||||||
4,300 | Cleanup Corp. (Consumer Durables & Apparel) | 22,871 | ||||||
21,800 | Dai Nippon Printing Co. Ltd. (Commercial & Professional Services) | 501,190 | ||||||
23,900 | DCM Holdings Co. Ltd. (Retailing) | 274,048 | ||||||
34,800 | DeNA Co. Ltd. (Media & Entertainment) | 434,488 | ||||||
13,800 | Dentsu Group, Inc. (Media & Entertainment) | 327,358 | ||||||
4,600 | Fuji Kosan Co. Ltd. (Energy) | 18,915 | ||||||
8,700 | FUJIFILM Holdings Corp. (Technology Hardware & Equipment) | 372,375 | ||||||
5,800 | Fujitsu Ltd. (Software & Services) | 679,083 | ||||||
1,100 | Glory Ltd. (Capital Goods) | 25,091 | ||||||
1,600 | Hikari Tsushin, Inc. (Retailing) | 365,837 | ||||||
18,700 | Hitachi Ltd. (Technology Hardware & Equipment) | 594,376 | ||||||
1,700 | Ibiden Co. Ltd. (Technology Hardware & Equipment) | 49,759 | ||||||
3,400 | Ichinen Holdings Co. Ltd. (Transportation) | 37,872 | ||||||
3,500 | Itochu Enex Co. Ltd. (Energy) | 28,440 | ||||||
1,000 | Izumi Co. Ltd. (Retailing) | 31,700 | ||||||
313 | Japan Retail Fund Investment Corp. (REIT) | 391,494 | ||||||
23,900 | Kamigumi Co. Ltd. (Transportation) | 470,029 | ||||||
18,700 | KDDI Corp. (Telecommunication Services) | 557,955 | ||||||
800 | Kohnan Shoji Co. Ltd. (Retailing) | 25,222 | ||||||
2,100 | Komeri Co. Ltd. (Retailing) | 53,860 | ||||||
14,100 | Konami Holdings Corp. (Media & Entertainment) | 470,501 | ||||||
17,100 | K’s Holdings Corp. (Retailing) | 233,588 | ||||||
|
|
The accompanying notes are an integral part of these financial statements. | 5 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Schedule of Investments (continued)
June 30, 2020 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
500 | Kurabo Industries Ltd. (Consumer Durables & Apparel) | $ | 10,526 | |||||
3,800 | Matsumotokiyoshi Holdings Co. Ltd. (Food & Staples Retailing) | 138,087 | ||||||
9,000 | Mazda Motor Corp. (Automobiles & Components) | 54,377 | ||||||
6,300 | MEIJI Holdings Co. Ltd. (Food, Beverage & Tobacco) | 501,330 | ||||||
12,400 | Mitsubishi Materials Corp. (Materials) | 261,832 | ||||||
5,500 | MrMax Holdings Ltd. (Retailing) | 30,963 | ||||||
12,900 | NEC Networks & System Integration Corp. (Software & Services) | 263,898 | ||||||
24,100 | Nexon Co. Ltd. (Media & Entertainment) | 543,610 | ||||||
5,700 | Nippon Kayaku Co. Ltd. (Materials) | 59,630 | ||||||
17,100 | Nippon Telegraph & Telephone Corp. (Telecommunication Services) | 398,421 | ||||||
2,700 | Nitori Holdings Co. Ltd. (Retailing) | 529,386 | ||||||
2,200 | Nitto Denko Corp. (Materials) | 124,718 | ||||||
5,300 | NOK Corp. (Automobiles & Components) | 66,014 | ||||||
9,900 | Nomura Research Institute Ltd. (Software & Services) | 270,396 | ||||||
13,900 | NTT DOCOMO, Inc. (Telecommunication Services) | 369,017 | ||||||
500 | OBIC Business Consultants Co. Ltd. (Software & Services) | 26,589 | ||||||
12,800 | Ono Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 373,588 | ||||||
41,800 | ORIX Corp. (Diversified Financials) | 519,041 | ||||||
11,200 | Otsuka Holdings Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 488,118 | ||||||
18,600 | Panasonic Corp. (Consumer Durables & Apparel) | 163,104 | ||||||
11,000 | Rakuten, Inc. (Retailing) | 97,163 | ||||||
14,800 | Sankyo Co. Ltd. (Consumer Durables & Apparel) | 358,240 | ||||||
1,000 | Sawai Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 51,398 | ||||||
2,000 | Secom Co. Ltd. (Commercial & Professional Services) | 175,485 | ||||||
38,600 | Sega Sammy Holdings, Inc. (Consumer Durables & Apparel) | 462,707 | ||||||
18,700 | Seven & i Holdings Co. Ltd. (Food & Staples Retailing) | 611,743 | ||||||
4,900 | Shimachu Co. Ltd. (Retailing) | 136,185 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Japan – (continued) | ||||||||
9,000 | Shionogi & Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 564,600 | ||||||
25,700 | Softbank Corp. (Telecommunication Services) | 327,578 | ||||||
5,900 | SoftBank Group Corp. (Telecommunication Services) | $ | 297,523 | |||||
1,400 | Square Enix Holdings Co. Ltd. (Media & Entertainment) | 70,930 | ||||||
2,100 | St Marc Holdings Co. Ltd. (Consumer Services) | 32,399 | ||||||
25,100 | Subaru Corp. (Automobiles & Components) | 525,586 | ||||||
22,500 | Sumitomo Electric Industries Ltd. (Automobiles & Components) | 259,553 | ||||||
9,500 | Sundrug Co. Ltd. (Food & Staples Retailing) | 314,410 | ||||||
21,300 | Takeda Pharmaceutical Co. Ltd. (Pharmaceuticals, Biotechnology & Life Sciences) | 765,266 | ||||||
24,700 | TIS, Inc. (Software & Services) | 522,964 | ||||||
2,900 | Tokyo Electron Ltd. (Semiconductors & Semiconductor Equipment) | 715,557 | ||||||
5,800 | Tokyo Individualized Educational Institute, Inc. (Consumer Services) | 27,873 | ||||||
30,000 | Toppan Printing Co. Ltd. (Commercial & Professional Services) | 501,568 | ||||||
4,900 | Towa Corp. (Semiconductors & Semiconductor Equipment) | 53,281 | ||||||
2,500 | Toyo Seikan Group Holdings Ltd. (Materials) | 28,193 | ||||||
200 | Toyota Motor Corp. (Automobiles & Components) | 12,577 | ||||||
1,100 | Welcia Holdings Co. Ltd. (Food & Staples Retailing) | 88,866 | ||||||
92,900 | Yamada Denki Co. Ltd. (Retailing) | 460,822 | ||||||
900 | Yamaha Motor Co. Ltd. (Automobiles & Components) | 14,175 | ||||||
3,400 | Zenkoku Hosho Co. Ltd. (Diversified Financials) | 128,445 | ||||||
|
| |||||||
20,476,013 | ||||||||
|
| |||||||
Luxembourg – 0.2% | ||||||||
281 | Eurofins Scientific SE (Pharmaceuticals, Biotechnology & Life Sciences)* | 177,237 | ||||||
|
| |||||||
Netherlands – 6.4% | ||||||||
3,784 | ASM International NV (Semiconductors & Semiconductor Equipment) | 582,534 | ||||||
3,653 | ASML Holding NV (Semiconductors & Semiconductor Equipment) | 1,336,316 | ||||||
|
|
6 | 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) | ||||||||
Netherlands – (continued) | ||||||||
3,038 | BE Semiconductor Industries NV (Semiconductors & Semiconductor Equipment) | $ | 134,704 | |||||
3,446 | Euronext NV (Diversified Financials)(a) | 346,855 | ||||||
22,202 | Koninklijke Ahold Delhaize NV (Food & Staples Retailing) | 605,095 | ||||||
1,792 | Koninklijke DSM NV (Materials) | 248,762 | ||||||
12,408 | Koninklijke Philips NV (Health Care Equipment & Services)* | 578,805 | ||||||
13,097 | Signify NV (Capital Goods)*(a) | 336,724 | ||||||
8,499 | Wolters Kluwer NV (Commercial & Professional Services) | 663,820 | ||||||
|
| |||||||
4,833,615 | ||||||||
|
| |||||||
New Zealand – 0.5% | ||||||||
3,782 | Fisher & Paykel Healthcare Corp. Ltd. (Health Care Equipment & Services) | 87,125 | ||||||
4,466 | Xero Ltd. (Software & Services)* | 280,533 | ||||||
|
| |||||||
367,658 | ||||||||
|
| |||||||
Norway – 1.7% | ||||||||
37,640 | DNB ASA (Banks) | 502,400 | ||||||
14,968 | Orkla ASA (Food, Beverage & Tobacco) | 131,413 | ||||||
4,046 | Salmar ASA (Food, Beverage & Tobacco)* | 193,825 | ||||||
13,430 | Yara International ASA (Materials) | 468,201 | ||||||
|
| |||||||
1,295,839 | ||||||||
|
| |||||||
Singapore – 1.4% | ||||||||
33,200 | DBS Group Holdings Ltd. (Banks) | 499,555 | ||||||
160,100 | Frencken Group Ltd. (Capital Goods) | 102,035 | ||||||
74,100 | Singapore Exchange Ltd. (Diversified Financials) | 445,909 | ||||||
|
| |||||||
1,047,499 | ||||||||
|
| |||||||
South Africa – 0.5% | ||||||||
15,508 | Anglo American plc (Materials) | 357,509 | ||||||
|
| |||||||
Spain – 1.3% | ||||||||
18,312 | ACS Actividades de Construccion y Servicios SA (Capital Goods) | 470,599 | ||||||
119,316 | Banco Santander SA (Banks) | 291,902 | ||||||
3,538 | Cellnex Telecom SA (Telecommunication Services)(a) | 216,093 | ||||||
|
| |||||||
978,594 | ||||||||
|
| |||||||
Sweden – 3.6% | ||||||||
19,767 | Boliden AB (Materials) | 453,385 | ||||||
16,536 | Essity AB Class B (Household & Personal Products)* | 536,120 | ||||||
2,200 | Investor AB Class A (Diversified Financials) | 115,671 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Sweden – (continued) | ||||||||
8,817 | Investor AB Class B (Diversified Financials) | 467,723 | ||||||
4,966 | Kinnevik AB Class B (Diversified Financials) | 131,089 | ||||||
16,096 | Sandvik AB (Capital Goods)* | 303,019 | ||||||
2,926 | SKF AB Class B (Capital Goods) | 54,697 | ||||||
8,929 | Swedish Match AB (Food, Beverage & Tobacco) | 629,992 | ||||||
|
| |||||||
2,691,696 | ||||||||
|
| |||||||
Switzerland – 11.8% | ||||||||
1,293 | Lonza Group AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | 684,899 | ||||||
20,404 | Nestle SA (Registered) (Food, Beverage & Tobacco) | 2,262,204 | ||||||
18,061 | Novartis AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | 1,573,494 | ||||||
5,465 | Roche Holding AG (Pharmaceuticals, Biotechnology & Life Sciences) | 1,893,347 | ||||||
2,346 | Sonova Holding AG (Registered) (Health Care Equipment & Services)* | 469,611 | ||||||
21,650 | STMicroelectronics NV (Semiconductors & Semiconductor Equipment) | 591,446 | ||||||
1,070 | Swiss Life Holding AG (Registered) (Insurance) | 398,060 | ||||||
467 | Tecan Group AG (Registered) (Pharmaceuticals, Biotechnology & Life Sciences) | 165,509 | ||||||
2,303 | Zurich Insurance Group AG (Insurance) | 816,023 | ||||||
|
| |||||||
8,854,593 | ||||||||
|
| |||||||
United Kingdom – 10.2% | ||||||||
50,984 | 3i Group plc (Diversified Financials) | 524,982 | ||||||
12,340 | AstraZeneca plc ADR (Pharmaceuticals, Biotechnology & Life Sciences) | 652,663 | ||||||
39,428 | Aviva plc (Insurance) | 133,636 | ||||||
41,421 | Barratt Developments plc (Consumer Durables & Apparel) | 254,579 | ||||||
23,816 | boohoo Group plc (Retailing)* | 121,960 | ||||||
11,737 | British American Tobacco plc (Food, Beverage & Tobacco) | 450,147 | ||||||
82,041 | BT Group plc (Telecommunication Services) | 116,027 | ||||||
39,000 | CK Hutchison Holdings Ltd. (Capital Goods) | 252,548 | ||||||
24,395 | Diageo plc (Food, Beverage & Tobacco) | 810,825 | ||||||
|
|
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)
June 30, 2020 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
United Kingdom – (continued) | ||||||||
5,360 | Dialog Semiconductor plc (Semiconductors & Semiconductor Equipment)* | $ | 244,998 | |||||
84,554 | Direct Line Insurance Group plc (Insurance) | 283,514 | ||||||
21,137 | Experian plc (Commercial & Professional Services) | 741,885 | ||||||
3,408 | HomeServe plc (Commercial & Professional Services) | 55,097 | ||||||
29,017 | Imperial Brands plc (Food, Beverage & Tobacco) | 552,386 | ||||||
46,993 | Legal & General Group plc (Insurance) | 128,114 | ||||||
1,844 | London Stock Exchange Group plc (Diversified Financials) | 191,767 | ||||||
2,854 | Reckitt Benckiser Group plc (Household & Personal Products) | 262,564 | ||||||
29,822 | RELX plc (Commercial & Professional Services) | 690,253 | ||||||
15,019 | Segro plc (REIT) | 166,110 | ||||||
23,365 | SSE plc (Utilities) | 395,642 | ||||||
5,879 | Unilever plc ADR (Household & Personal Products) | 322,640 | ||||||
18,063 | Vodafone Group plc ADR (Telecommunication Services) | 287,924 | ||||||
|
| |||||||
7,640,261 | ||||||||
|
| |||||||
United States – 0.1% | ||||||||
3,782 | Carnival plc ADR (Consumer Services) | 47,578 | ||||||
|
| |||||||
TOTAL COMMON STOCKS | ||||||||
(Cost $71,327,254) | $ | 73,792,216 | ||||||
|
|
Units | Description | Expiration Month | Value | |||||||||
Right* – 0.1% | ||||||||||||
Spain – 0.1% | ||||||||||||
18,312 | ACS Actividades de Construccion y Servicios SA (Capital Goods) | 07/2020 | $ | 28,566 | ||||||||
(Cost $28,834) | ||||||||||||
|
| |||||||||||
TOTAL INVESTMENTS – 98.3% | ||||||||||||
(Cost $71,356,088) | $ | 73,820,782 | ||||||||||
|
| |||||||||||
| OTHER ASSETS IN EXCESS OF | 1,304,173 | ||||||||||
|
| |||||||||||
NET ASSETS – 100.0% | $ | 75,124,955 | ||||||||||
|
|
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 |
8 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Statement of Assets and Liabilities
June 30, 2020 (Unaudited)
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $71,356,088) | $ | 73,820,782 | ||
Cash | 220,521 | |||
Foreign currencies, at value (cost $676,557) | 679,075 | |||
Receivables: | ||||
Investments sold | 3,162,511 | |||
Foreign tax reclaims | 454,848 | |||
Fund shares sold | 82,058 | |||
Dividends | 78,106 | |||
Reimbursement from investment adviser | 37,131 | |||
Securities lending income | 414 | |||
Due from broker | 225 | |||
Total assets | 78,535,671 | |||
Liabilities: | ||||
Payables: | ||||
Investments purchased | 3,078,456 | |||
Management fees | 49,908 | |||
Distribution and Service fees and Transfer Agency fees | 8,660 | |||
Fund shares redeemed | 1,562 | |||
Accrued expenses | 272,130 | |||
Total liabilities | 3,410,716 | |||
Net Assets: | ||||
Paid-in capital | 87,891,143 | |||
Total distributable earnings (loss) | (12,766,188 | ) | ||
NET ASSETS | $ | 75,124,955 | ||
Net Assets: | ||||
Institutional | $ | 38,928,039 | ||
Service | 36,196,916 | |||
Total Net Assets | $ | 75,124,955 | ||
Shares outstanding $0.001 par value (unlimited shares authorized): | ||||
Institutional | 5,373,897 | |||
Service | 4,980,747 | |||
Net asset value, offering and redemption price per share: | ||||
Institutional | $7.24 | |||
Service | 7.27 |
The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Statement of Operations
For the Six Months Ended June 30, 2020 (Unaudited)
Investment income: | ||||
Dividends — unaffiliated issuers (net of foreign taxes withheld of $114,353) | $ | 1,070,505 | ||
Securities lending income — affiliated issuer | 2,863 | |||
Dividends — affiliated issuers | 138 | |||
Total investment income | 1,073,506 | |||
Expenses: | ||||
Management fees | 313,818 | |||
Professional fees | 77,352 | |||
Custody, accounting and administrative services | 73,889 | |||
Printing and mailing costs | 49,551 | |||
Distribution and Service fees — Service Shares | 48,042 | |||
Trustee fees | 9,469 | |||
Transfer Agency fees(a) | 7,748 | |||
Other | 6,578 | |||
Total expenses | 586,447 | |||
Less — expense reductions | (201,087 | ) | ||
Net expenses | 385,360 | |||
NET INVESTMENT INCOME | 688,146 | |||
Realized and unrealized loss: | ||||
Net realized loss from: | ||||
Investments — unaffiliated issuers | (8,195,156 | ) | ||
Futures contracts | (127,027 | ) | ||
Foreign currency transactions | (53,138 | ) | ||
Net change in unrealized gain (loss) on: | ||||
Investments — unaffiliated issuers | (3,559,255 | ) | ||
Futures contracts | 8,850 | |||
Foreign currency translation | (19,812 | ) | ||
Net realized and unrealized loss | (11,945,538 | ) | ||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (11,257,392 | ) |
(a) Institutional and Service Shares incurred Transfer Agency fees of $3,905 and $3,843, respectively.
10 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Statements of Changes in Net Assets
For the Six Months Ended June 30, 2020 (Unaudited) | For the Fiscal Year Ended December 31, | |||||||
From operations: | ||||||||
Net investment income | $ | 688,146 | $ | 1,762,250 | ||||
Net realized loss | (8,375,321 | ) | (5,158,069 | ) | ||||
Net change in unrealized gain (loss) | (3,570,217 | ) | 17,726,059 | |||||
Net increase (decrease) in net assets resulting from operations | (11,257,392 | ) | 14,330,240 | |||||
Distributions to shareholders: | ||||||||
From distributable earnings: | ||||||||
Institutional Shares | — | (1,025,867 | ) | |||||
Service Shares | — | (1,031,832 | ) | |||||
Total distributions to shareholders | — | (2,057,699 | ) | |||||
From share transactions: | ||||||||
Proceeds from sales of shares | 4,458,224 | 16,601,906 | ||||||
Reinvestment of distributions | — | 2,057,699 | ||||||
Cost of shares redeemed | (10,592,420 | ) | (20,167,663 | ) | ||||
Net decrease in net assets resulting from share transactions | (6,134,196 | ) | (1,508,058 | ) | ||||
TOTAL INCREASE (DECREASE) | (17,391,588 | ) | 10,764,483 | |||||
Net Assets: | ||||||||
Beginning of period | 92,516,543 | 81,752,060 | ||||||
End of period | $ | 75,124,955 | $ | 92,516,543 |
The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs International Equity Insights Fund | ||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.19 | $ | 7.08 | $ | 10.88 | $ | 8.75 | $ | 9.19 | $ | 9.26 | ||||||||||||
Net investment income(a) | 0.07 | 0.17 | 0.19 | 0.17 | 0.17 | (b) | 0.14 | (c) | ||||||||||||||||
Net realized and unrealized gain (loss) | (1.02 | ) | 1.14 | (1.94 | ) | 2.16 | (0.42 | ) | (0.04 | ) | ||||||||||||||
Total from investment operations | (0.95 | ) | 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 period | $ | 7.24 | $ | 8.19 | $ | 7.08 | $ | 10.88 | $ | 8.75 | $ | 9.19 | ||||||||||||
Total return(e) | (11.60 | )% | 18.45 | % | (16.28 | )% | 26.60 | % | (2.72 | )% | 1.05 | % | ||||||||||||
Net assets, end of period (in 000s) | $ | 38,928 | $ | 43,632 | $ | 37,829 | $ | 41,512 | $ | 37,061 | $ | 41,737 | ||||||||||||
Ratio of net expenses to average net assets | 0.87 | %(f) | 0.90 | % | 0.87 | % | 0.87 | % | 0.89 | % | 0.89 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.40 | %(f) | 1.31 | % | 1.23 | % | 1.02 | % | 1.06 | % | 1.06 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.95 | %(f) | 2.14 | % | 1.79 | % | 1.69 | % | 1.94 | %(b) | 1.42 | %(c) | ||||||||||||
Portfolio turnover rate(g) | 88 | % | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(f) | Annualized. |
(g) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
12 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Financial Highlights (continued)
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs International Equity Insights Fund | ||||||||||||||||||||||||
Service Shares | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 (Unaudited) | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 8.23 | $ | 7.11 | $ | 10.91 | $ | 8.78 | $ | 9.21 | $ | 9.28 | ||||||||||||
Net investment income(a) | 0.06 | 0.15 | 0.14 | 0.14 | 0.15 | (b) | 0.12 | (c) | ||||||||||||||||
Net realized and unrealized gain (loss) | (1.02 | ) | 1.15 | (1.93 | ) | 2.16 | (0.42 | ) | (0.05 | ) | ||||||||||||||
Total from investment operations | (0.96 | ) | 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 period | $ | 7.27 | $ | 8.23 | $ | 7.11 | $ | 10.91 | $ | 8.78 | $ | 9.21 | ||||||||||||
Total return(e) | (11.66 | )% | 18.23 | % | (16.55 | )% | 26.21 | % | (2.86 | )% | 0.77 | % | ||||||||||||
Net assets, end of period (in 000s) | $ | 36,197 | $ | 48,884 | $ | 43,923 | $ | 123,778 | $ | 105,362 | $ | 116,811 | ||||||||||||
Ratio of net expenses to average net assets | 1.12 | %(f) | 1.15 | % | 1.12 | % | 1.12 | % | 1.14 | % | 1.14 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.64 | %(f) | 1.55 | % | 1.43 | % | 1.27 | % | 1.31 | % | 1.31 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.60 | %(f) | 1.89 | % | 1.30 | % | 1.44 | % | 1.68 | %(b) | 1.18 | %(c) | ||||||||||||
Portfolio turnover rate(g) | 88 | % | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(f) | Annualized. |
(g) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments and certain derivatives. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 13 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Notes to Financial Statements
June 30, 2020 (Unaudited)
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 an open-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 on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Investment income is recorded net of any foreign withholding taxes, less any amounts reclaimable. The Fund may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments.
For derivative contracts, realized gains and losses are recorded upon settlement of the contract.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, and non-class specific expenses of the Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by the Fund are charged to the Fund, while such expenses incurred by the Trust are allocated across the Fund on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class-specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service and Transfer Agency fees.
D. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid at least annually.
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the Fund’s distributions may be shown in the accompanying financial statements as either from distributable earnings or capital. Certain components of the Fund’s net assets on the Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
14
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
2. SIGNIFICANT ACCOUNTING POLICIES (continued)
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 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 GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Fund’s investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a 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. Certain equity securities containing unique attributes may be classified as Level 2.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price for long positions or the last ask price for short positions, and are generally classified as Level 2. Securities traded on certain foreign securities exchanges are valued daily at fair value determined by an independent fair value service (if available) under 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,
15
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
3. INVESTMENTS AND FAIR VALUE MEASUREMENTS (continued)
certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of the foreign securities exchange. These investments are generally classified as Level 2 of the fair value hierarchy.
Money Market Funds — Investments in the Goldman Sachs Financial Square Government Fund (“Underlying Fund”) are valued at the NAV per share of the Institutional Share class on the day of valuation. These investments are generally classified as Level 1 of the fair value hierarchy. For information regarding the Underlying Fund’s accounting policies and investment holdings, please see the Underlying Fund’s shareholder report.
Derivative Contracts — A derivative is an instrument whose value is derived from underlying assets, indices, reference rates or a combination of these factors. The Fund enters into derivative transactions to hedge against changes in interest rates, securities prices, and/or currency exchange rates, to increase total return, or to gain access to certain markets or attain exposure to other underliers. For financial reporting purposes, cash collateral that has been pledged to cover obligations of the Fund and cash collateral received, if any, is reported separately on the Statement of Assets and Liabilities as receivables/payables for collateral on certain derivatives contracts. Non-cash collateral pledged by the Fund, if any, is noted in the Schedule of Investments.
Exchange-traded derivatives, including futures and options contracts, are generally valued at the last sale or settlement price on the exchange where they are principally traded. Exchange-traded options without settlement prices are generally valued at the midpoint of the bid and ask prices on the exchange where they are principally traded (or, in the absence of two-way trading, at the last bid price for long positions and the last ask price for short positions). Exchange-traded derivatives typically fall within Level 1 of the fair value hierarchy. Over-the-counter (“OTC”) and centrally cleared derivatives are valued using market transactions and other market evidence, including market-based inputs to models, calibration to market-clearing transactions, broker or dealer quotations, or other alternative pricing sources. Where models are used, the selection of a particular model to value OTC and centrally cleared derivatives depends upon the contractual terms of, and specific risks inherent in, the instrument, as well as the availability of pricing information in the market. Valuation models require a variety of inputs, including contractual terms, market prices, yield curves, credit curves, measures of volatility, voluntary and involuntary prepayment rates, loss severity rates and correlations of such inputs. For OTC and centrally cleared derivatives that trade in liquid markets, model inputs can generally be verified and model selection does not involve significant management judgment. OTC and centrally cleared derivatives are classified within Level 2 of the fair value hierarchy when significant inputs are corroborated by market evidence.
i. Futures Contracts — Futures contracts are contracts to buy or sell a standardized quantity of a specified commodity or security. Upon entering into a futures contract, the Fund deposits cash or securities in an account on behalf of the broker in an amount sufficient to meet the initial margin requirement. Subsequent payments are made or received by the Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses.
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 INTERNATIONAL EQUITY INSIGHTS 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 June 30, 2020:
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Africa | $ | — | $ | 357,509 | $ | — | ||||||
Asia | $ | 23,367,550 | ||||||||||
Australia and Oceania | 805,228 | 5,511,559 | — | |||||||||
Europe | 2,505,852 | 41,225,506 | — | |||||||||
North America | 47,578 | — | — | |||||||||
Total | $ | 3,358,658 | $ | 70,462,124 | $ | — |
(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. |
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 six months ended June 30, 2020. These gains (losses) should be considered in the context that these derivative contracts may have been executed to create investment opportunities and/or economically hedge certain investments, and accordingly, certain gains (losses) on such derivative contracts may offset certain (losses) gains attributable to investments. These gains (losses) are included in “Net realized gain (loss)” or “Net change in unrealized gain (loss)” on the Statement of Operations:
Risk | Statement of Operations | Net Realized Gain (Loss) | Net Change in Unrealized Gain (Loss) | Average Number of Contracts(a) | ||||||||||
Equity | Net realized gain (loss) from futures contracts/Net change in unrealized gain (loss) on futures contracts | $ | (127,027 | ) | $ | 8,850 | 8 |
(a) | Average number of contracts is based on the average of month end balances for the six months ended June 30, 2020. |
5. AGREEMENTS AND AFFILIATED TRANSACTIONS
A. Management Agreement — Under the Agreement, GSAM manages the Fund, subject to the general supervision of the Trustees.
As compensation for the services rendered pursuant to the Agreement, the assumption of the expenses related thereto and administration of the Fund’s business affairs, including providing facilities, GSAM is entitled to a management fee, accrued daily and paid monthly, equal to an annual percentage rate of the Fund’s average daily net assets.
For the six months ended June 30, 2020, 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^ | ||||||||||||||||||||
0.81% | 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. |
17
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
5. 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 six months ended June 30, 2020, GSAM waived $14 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 Rule 12b-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 29, 2021, and prior to such date GSAM may not terminate the arrangement without the approval of the Trustees. In addition, the Fund has entered into certain offset arrangements with the 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 six months ended June 30, 2020, 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 | |||||||||||
$ | 14 | $ | 1,266 | $ | 199,807 | $ | 201,087 |
E. Line of Credit Facility — As of June 30, 2020, the Fund participated in a $700,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the six months ended June 30, 2020, the Fund did not have any borrowings under the facility. Prior to April 28, 2020, the facility was $580,000,000.
18
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
5. AGREEMENTS AND AFFILIATED TRANSACTIONS (continued)
F. Other Transactions with Affiliates — The following table provides information about the Fund’s investments in the Goldman Sachs Financial Square Government Fund as of and for the six months ended June 30, 2020:
Beginning Value as of December 31, 2019 | Purchases at Cost | Proceeds from Sales | Ending Value as of June 30, 2020 | Shares as of June 30, 2020 | Dividend Income from Affiliated Investment Company | |||||||||||||||||
$ | — | $ | 527,357 | $ | (527,357 | ) | $ | — | — | $ | 138 |
6. PORTFOLIO SECURITIES TRANSACTIONS
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended June 30, 2020, were $67,531,663 and $72,507,549, 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 Rule 2a-7 under the Act, and is managed by GSAM, for which GSAM may receive a management fee of up to 0.16% on an annualized basis of the average daily net assets of the Government Money Market Fund.
In the event of a default by a borrower with respect to any loan, GSAL will exercise any and all remedies provided under the applicable borrower agreement to make the Fund whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If GSAL is unable to purchase replacement securities, GSAL will indemnify the Fund by paying the Fund an amount equal to the market value of the securities loaned minus the value of cash collateral received from the borrower for the loan, subject to an exclusion for any shortfalls resulting from a loss of value in such cash collateral due to reinvestment risk. The Fund’s master netting agreements with certain borrowers provide the right, in the event of a default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. However, in the event of a default by a borrower, a resolution authority could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of set-off that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws. The Fund’s loaned securities were all subject to enforceable Securities Lending Agreements and the value of the collateral was at least equal to
19
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
7. SECURITIES LENDING (continued)
the value of the cash received. The amounts of the Fund’s overnight and continuous agreements, which represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of June 30, 2020, 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 six months ended June 30, 2020, are reported under Investment Income on the Statement of Operations.
The table below details securities lending activity with affiliates of Goldman Sachs:
For the Six months ended June 30, 2020 | ||||||||||
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 June 30, 2020 | ||||||||
$ | 318 | $ | — | $ | — |
The following table provides information about the Fund’s investment in the Government Money Market Fund for the six months ended June 30, 2020:
Beginning Value as of December 31, 2019 | Purchases at Cost | Proceeds from Sales | Ending Value as of June 30, 2020 | |||||||||||
$ | — | $ | 1,751,300 | $ | (1,751,300 | ) | $ | — |
8. TAX INFORMATION
As of the Fund’s most recent fiscal year end, December 31, 2019, the Fund’s capital loss carryforwards and certain timing differences, on a tax-basis were as follows:
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 | ) |
As of June 30, 2020, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Tax cost | $ | 71,747,985 | ||
Gross unrealized gain | 6,973,832 | |||
Gross unrealized loss | (4,901,035 | ) | ||
Net unrealized gain | $ | 2,072,797 |
The difference between GAAP-basis and tax-basis unrealized gains (losses) is attributable primarily to wash sales, net mark to market gains/(losses) on regulated futures contracts and differences in the tax treatment of passive foreign investment company investments.
20
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
8. TAX INFORMATION (continued)
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 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
21
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
9. 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. These risks may be more pronounced in connection with the Fund’s investments in securities of issuers located in emerging market countries. Redemptions by large shareholders may have a negative impact on the Fund’s liquidity.
Market and Credit Risks — In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the market (market risk). The value of the securities in which the Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, acts of terrorism, social unrest, natural disasters, the spread of infectious illness or other public health threats could also significantly impact the Fund and its investments. Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
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. 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.
22
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
12. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
For the Six Months Ended June 30, 2020 (Unaudited) | For the Fiscal Year Ended December 31, 2019 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 483,481 | $ | 3,527,873 | 558,464 | $ | 4,460,851 | ||||||||||
Reinvestment of distributions | — | — | 125,411 | 1,025,867 | ||||||||||||
Shares redeemed | (434,986 | ) | (3,052,960 | ) | (703,402 | ) | (5,506,238 | ) | ||||||||
48,495 | 474,913 | (19,527 | ) | (19,520 | ) | |||||||||||
Service Shares | ||||||||||||||||
Shares sold | 139,068 | 930,351 | 1,537,107 | 12,141,055 | ||||||||||||
Reinvestment of distributions | — | — | 125,527 | 1,031,832 | ||||||||||||
Shares redeemed | (1,098,469 | ) | (7,539,460 | ) | (1,901,273 | ) | (14,661,425 | ) | ||||||||
(959,401 | ) | (6,609,109 | ) | (238,639 | ) | (1,488,538 | ) | |||||||||
NET DECREASE | (910,906 | ) | $ | (6,134,196 | ) | (258,166 | ) | $ | (1,508,058 | ) |
23
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Liquidity Risk Management Program
The Fund has adopted and implemented a liquidity risk management program (the “Program”) in accordance with Rule 22e-4 under the 1940 Act. The Program seeks to assess and manage the Fund’s liquidity risk, i.e., the risk that the Fund is unable to satisfy redemption requests without significantly diluting remaining investors’ interests in the Fund. The Board of Trustees of the Trust has designated GSAM, the Fund’s investment adviser, to administer the Program. Certain aspects of the Program rely on third parties to perform certain functions, including the provision of market data and application of models.
The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Fund’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of a Fund’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under Rule 22e-4); (4) for a Fund that does not invest primarily in “highly liquid investments” (as defined under Rule 22e-4), the determination of a minimum percentage of the Fund’s assets that will generally be invested in highly liquid investments (a “Highly Liquid Investment Minimum”); and (5) periodic reporting to the Board of Trustees.
At a meeting of the Board of Trustees on February 11-12, 2020, GSAM provided a written report to the Board addressing the operation, and the adequacy and effectiveness of the implementation, of the Program, including, as applicable, the operation of any Highly Liquid Investment Minimum and any material changes to the Program, for the initial period from December 1, 2018 through December 31, 2019 (the “Reporting Period”). Among other things, the annual report discussed: (1) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions; and (2) an assessment of the methodologies used to classify investments into one of four liquidity categories. The report concluded that the Program was reasonably designed to assess and manage liquidity risk and was adequately and effectively implemented during the Reporting Period.
There can be no assurance that the Program will achieve its objectives under all circumstances in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which it may be subject.
24
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Fund Expenses — Six Month Period Ended June 30, 2020 (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 January 1, 2020 through June 30, 2020, which represents a period of 182 days of a 366 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual net expense 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 01/01/20 | Ending Account Value 06/30/20 | Expenses Paid for the 6 Months Ended 06/30/20* | |||||||||
Institutional | ||||||||||||
Actual | $ | 1,000 | $ | 884.00 | $ | 4.08 | ||||||
Hypothetical 5% return | 1,000 | 1,020.54 | + | 4.37 | ||||||||
Service | ||||||||||||
Actual | 1,000 | 883.40 | 5.24 | |||||||||
Hypothetical 5% return | 1,000 | 1,019.29 | + | 5.62 |
+ | 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 June 30, 2020. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 0.87% and 1.12% for Institutional and Service Shares, respectively. |
25
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
The Goldman Sachs International Equity Insights Fund (the “Fund”) is an investment portfolio of Goldman Sachs Variable Insurance Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Fund at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Fund.
The Management Agreement was most recently approved for continuation until June 30, 2021 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 16-17, 2020 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held two meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to the Fund, such matters included:
(a) | the nature and quality of the advisory, administrative, and other services provided to the Fund by the Investment Adviser and its affiliates, including information about: |
(i) | the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams; |
(ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training); |
(iii) | trends in employee headcount; |
(iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
(v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
(b) | information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), and a benchmark performance index; and information on general investment outlooks in the markets in which the Fund invests; |
(c) | information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Fund’s peer group and/or benchmark index had high, medium, or low relevance given the Fund’s particular investment strategy; |
(d) | the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund; |
(e) | fee and expense information for the Fund, including: |
(i) | the relative management fee and expense levels of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; |
(ii) | the Fund’s expense trends over time; and |
(iii) | to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
(f) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; |
(g) | the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations; |
(h) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund to the Investment Adviser and its affiliates; |
(i) | whether the Fund’s existing management fee schedule adequately addressed any economies of scale; |
26
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
(j) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, securities lending, portfolio trading, distribution and other services; |
(k) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
(l) | information regarding commissions paid by the Fund and broker oversight, other information regarding portfolio trading, and how the Investment Adviser carries out its duty to seek best execution; |
(m) | the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers; |
(n) | the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and |
(o) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports. |
The Trustees also received an overview of the Fund’s distribution arrangements. They received information regarding the Fund’s assets, share purchase and redemption activity, and payment of distribution and service fees. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Fund and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Fund. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Fund by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the market, regulatory and control environment in which the Fund and its service providers operate, including changes associated with the COVID-19 pandemic, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees also considered information regarding the Investment Adviser’s business continuity planning and remote operations in the current environment. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Fund and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Fund and the Investment Adviser and its affiliates.
Investment Performance
The Trustees also considered the investment performance of the Fund. In this regard, they compared the investment performance of the Fund to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2019, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data
27
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Provider as of March 31, 2020. The information on the Fund’s investment performance was provided for the one-, three-, five-, and ten-year periods ending on the applicable dates. The Trustees also reviewed the Fund’s investment performance relative to its performance benchmark. As part of this review, they considered the investment performance trends of the Fund over time, and reviewed the investment performance of the Fund in light of its investment objective and policies and market conditions.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Fund’s risk profile, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management. They noted the efforts of the Fund’s portfolio management team to continue to enhance the investment model used in managing the Fund.
The Trustees observed that the Fund’s Institutional Shares had placed in the third quartile of the Fund’s peer group for the ten-year period and in the fourth quartile for the one-, three-, and five-year periods, and had underperformed the Fund’s benchmark index for the one-, three-, five-, and ten-year periods ended March 31, 2020.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by the Fund thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Fund, which included both advisory and administrative services that were directed to the needs and operations of the Fund as a registered mutual fund.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Fund. The analyses provided a comparison of the Fund’s management fee and breakpoints to those of a relevant peer group and category universe; an expense analysis which compared the Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing the Fund’s net expenses to the peer and category medians. The analyses also compared the Fund’s other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Fund.
In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Fund, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Fund differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.
In addition, the Trustees noted that shareholders are able to redeem their Fund shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Profitability
The Trustees reviewed the Fund’s contribution to the Investment Adviser’s revenues and pre-tax profit margins. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization periodically audits the expense allocation methodology and that the internal audit group was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology. Profitability data for the Fund was provided for 2019 and 2018, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability.
28
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Economies of Scale
The Trustees considered the information that had been provided regarding whether there have been economies of scale with respect to the management of the Fund. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreement for the Fund at the following annual percentage rates of the average daily net assets of the Fund:
First $1 billion | 0.81 | % | ||
Next $1 billion | 0.73 | |||
Next $3 billion | 0.69 | |||
Next $3 billion | 0.68 | |||
Over $8 billion | 0.67 |
The Trustees noted that the breakpoints were designed to share potential economies of scale, if any, with the Fund and its shareholders as assets under management reach those asset levels. The Trustees considered the amounts of assets in the Fund; the Fund’s recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer group; and the Investment Adviser’s undertaking to limit certain expenses of the Fund that exceed a specified level. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund as stated above, including: (a) transfer agency fees received by Goldman Sachs & Co. LLC (“Goldman Sachs”); (b) brokerage and futures commissions earned by Goldman Sachs for executing securities and futures transactions on behalf of the Fund; (c) trading efficiencies resulting from aggregation of orders of the Fund with those for other funds or accounts managed by the Investment Adviser; (d) fees earned by Goldman Sachs Agency Lending (“GSAL”), an affiliate of the Investment Adviser, as securities lending agent (and fees earned by the Investment Adviser for managing the fund in which the Fund’s cash collateral is invested); (e) the Investment Adviser’s ability to leverage the infrastructure designed to service the Fund on behalf of its other clients; (f) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (g) Goldman Sachs’ retention of certain fees as Fund Distributor; (h) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Fund; (i) the investment of cash and cash collateral in money market funds managed by the Investment Adviser that will result in increased assets under management for those money market funds; and (j) the possibility that the working relationship between the Investment Adviser and the Fund’s third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
Other Benefits to the Fund and Its Shareholders
The Trustees also noted that the Fund receives certain other potential benefits as a result of its relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Fund with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors due to the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers due to the volume of business generated by the Investment Adviser and its affiliates; (d) the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties on behalf of the Fund as a result of the size and reputation of the Goldman Sachs organization; (e) the advantages received from the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Fund because of the reputation of the Goldman Sachs organization; (g) the Fund’s access, through the Investment Adviser, to certain firm-wide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; (h) the Fund’s ability to participate in the securities lending program administered by GSAL, as measured by the revenue received by the Fund in connection with the program; and (i) the Fund’s access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Fund’s shareholders invested in the Fund in part because of the Fund’s relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
29
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by the Fund were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and the Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit the Fund and its shareholders and that the Management Agreement should be approved and continued with respect to the Fund until June 30, 2021.
30
TRUSTEES | OFFICERS | |
Jessica Palmer, Chair | James A. McNamara, President | |
Dwight L. Bush | Joseph F. DiMaria, | |
Kathryn A. Cassidy | Principal Financial Officer, | |
Diana M. Daniels | Principal Accounting Officer and Treasurer | |
Joaquin Delgado | Caroline L. Kraus, Secretary | |
James A. McNamara | ||
Roy W. Templin | ||
Gregory G. Weaver |
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 recent month-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 recent 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-621-2550; and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://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 June 30, 2020 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
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 the 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.
VITINTLSAR-20/211860-OTU-1243146
Goldman
Sachs Variable 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.
Semi-Annual Report
June 30, 2020
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
Goldman Sachs Variable Insurance Trust U.S. Equity Insights Fund
Recent Market Events related to COVID-19
An outbreak of a novel strain of coronavirus (COVID-19) has emerged globally. The outbreak of COVID-19 has prompted a number of measures to limit the spread, including travel and border restrictions, quarantines, curfews and restrictions on large gatherings. In turn, these resulted in lower consumer activity, diminished demand for a wide range of products and services, and disruption in manufacturing and supply chains. While governments have already taken unprecedented action to limit disruption to the financial system, global financial markets have experienced and may continue to experience significant volatility resulting from the spread of and subsequent intervening measures intended to limit the spread of COVID-19. The Fund could be negatively impacted if the value of a portfolio holding were harmed by such political or economic conditions, events, or actions. The full extent of the impact of COVID-19 on the Fund’s performance cannot be determined at this time and will depend on future developments, including the duration and the continued spread of the outbreak. Goldman Sachs Asset Management’s long-term commitment to you, our Fund shareholders, remains unchanged. We encourage you to maintain perspective and stay current with timely commentary and investment insights by visiting gsam.com.
1
FUND BASICS
Goldman Sachs Variable Insurance Trust U.S. Equity Insights Fund
as of June 30, 2020
PERFORMANCE REVIEW
January 1, 2020–June 30, 2020 | Fund Total Return (based on NAV)1 | S&P 500 Index2 | ||||
Institutional | -1.45 | % | -3.08% | |||
Service | -1.55 | -3.08 |
1 | The net asset value (“NAV”) represents the net assets of the class of the Fund (ex-dividend) divided by the total number of shares of the class outstanding. The Fund’s performance assumes the reinvestment of dividends and other distributions. The Fund’s performance does not reflect the deduction of any applicable sales charges. |
2 | The 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. It is not possible to invest directly in an unmanaged index. |
The returns set forth in the table above represent past performance. Past performance does not guarantee future results. The Fund’s investment return and principal value will fluctuate so that an investor’s shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than the performance quoted above. Please visit our web site at www.GSAMFUNDS.com to obtain the most recent month-end returns. Performance reflects applicable fee waivers and/or expense limitations in effect during the periods shown. In their absence, performance would be reduced. Returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
2
FUND BASICS
TOP TEN HOLDINGS AS OF 6/30/203
Holding | % of Net Assets | Line of Business | ||||
Apple, Inc. | 6.8% | Technology Hardware & Equipment | ||||
Amazon.com, Inc. | 5.5 | Retailing | ||||
Microsoft Corp. | 5.5 | Software & Services | ||||
Facebook, Inc. Class A | 2.4 | Media & Entertainment | ||||
Alphabet, Inc. Class C | 2.3 | Media & Entertainment | ||||
Alphabet, Inc. Class A | 2.0 | Media & Entertainment | ||||
Procter & Gamble Co. (The) | 1.9 | Household & Personal Products | ||||
PayPal Holdings, Inc. | 1.8 | Software & Services | ||||
Bank of America Corp. | 1.7 | Banks | ||||
Home Depot, Inc. (The) | 1.6 | Retailing |
3 | The top 10 holdings may not be representative of the Fund’s future investments. |
FUND vs. BENCHMARK SECTOR ALLOCATIONS4
As of June 30, 2020
4 | The Fund is actively managed and, as such, its composition may differ over time. Consequently, the Fund’s overall sector allocations may differ from percentages contained in the graph above. The graph categorizes investments using Global Industry Classification Standard (“GICS”); however, the sector classifications used by the portfolio management team may differ from GICS. The percentage shown for each investment category reflects the value of investments in that category as a percentage of market value. |
For more information about your Fund, please refer to www.GSAMFUNDS.com. There, you can learn more about
your Fund’s investment strategies, holdings, and performance.
3
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
Schedule of Investments
June 30, 2020 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – 99.4% | ||||||||
Automobiles & Components – 0.5% | ||||||||
55,466 | General Motors Co. | $ | 1,403,290 | |||||
|
| |||||||
Banks – 5.2% | ||||||||
208,636 | Bank of America Corp. | 4,955,105 | ||||||
77,202 | Citigroup, Inc. | 3,945,022 | ||||||
29,140 | Citizens Financial Group, Inc. | 735,493 | ||||||
3,920 | First Hawaiian, Inc. | 67,581 | ||||||
4,560 | JPMorgan Chase & Co. | 428,914 | ||||||
35,644 | Popular, Inc. | 1,324,887 | ||||||
15,595 | US Bancorp | 574,208 | ||||||
96,723 | Wells Fargo & Co. | 2,476,109 | ||||||
7,884 | Western Alliance Bancorp | 298,567 | ||||||
|
| |||||||
14,805,886 | ||||||||
|
| |||||||
Capital Goods – 4.0% | ||||||||
373 | AMETEK, Inc. | 33,335 | ||||||
13,628 | Caterpillar, Inc. | 1,723,942 | ||||||
232,278 | General Electric Co. | 1,586,459 | ||||||
30,540 | Johnson Controls International plc | 1,042,636 | ||||||
10,473 | Lockheed Martin Corp. | 3,821,807 | ||||||
20,787 | Masco Corp. | 1,043,715 | ||||||
8,037 | Raytheon Technologies Corp. | 495,240 | ||||||
3,464 | Snap-on, Inc. | 479,799 | ||||||
3,652 | Teledyne Technologies, Inc.* | 1,135,589 | ||||||
|
| |||||||
11,362,522 | ||||||||
|
| |||||||
Commercial & Professional Services – 0.9% | ||||||||
16,338 | IHS Markit Ltd. | 1,233,519 | ||||||
14,901 | TransUnion | 1,296,983 | ||||||
|
| |||||||
2,530,502 | ||||||||
|
| |||||||
Consumer Durables & Apparel – 0.3% | ||||||||
7,447 | DR Horton, Inc. | 412,936 | ||||||
6,441 | Lennar Corp. Class A | 396,894 | ||||||
|
| |||||||
809,830 | ||||||||
|
| |||||||
Consumer Services – 1.9% | ||||||||
2,218 | Chipotle Mexican Grill, Inc.* | 2,334,134 | ||||||
8,109 | Domino’s Pizza, Inc. | 2,995,789 | ||||||
|
| |||||||
5,329,923 | ||||||||
|
| |||||||
Diversified Financials – 4.4% | ||||||||
58,184 | Ally Financial, Inc. | 1,153,789 | ||||||
5,791 | Berkshire Hathaway, Inc. Class B* | 1,033,751 | ||||||
1,037 | Charles Schwab Corp. (The) | 34,988 | ||||||
19,116 | CME Group, Inc. | 3,107,115 | ||||||
17,302 | Equitable Holdings, Inc. | 333,755 | ||||||
3,109 | Interactive Brokers Group, Inc. Class A | 129,863 | ||||||
11,500 | S&P Global, Inc. | 3,789,020 | ||||||
7,627 | Starwood Property Trust, Inc. (REIT) | 114,100 | ||||||
27,079 | Synchrony Financial | 600,071 | ||||||
49,999 | Voya Financial, Inc. | 2,332,453 | ||||||
|
| |||||||
12,628,905 | ||||||||
|
| |||||||
Energy – 2.1% | ||||||||
24,607 | Chevron Corp. | 2,195,683 | ||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Energy – (continued) | ||||||||
1,742 | Concho Resources, Inc. | 89,713 | ||||||
42,512 | EOG Resources, Inc. | 2,153,658 | ||||||
4,753 | Kinder Morgan, Inc. | 72,103 | ||||||
4,106 | Phillips 66 | 295,221 | ||||||
5,046 | Pioneer Natural Resources Co. | 492,994 | ||||||
93,007 | TechnipFMC plc | 636,168 | ||||||
|
| |||||||
5,935,540 | ||||||||
|
| |||||||
Food & Staples Retailing – 2.6% | ||||||||
1,196 | Casey’s General Stores, Inc. | 178,826 | ||||||
14,341 | Costco Wholesale Corp. | 4,348,334 | ||||||
24,933 | Walmart, Inc. | 2,986,475 | ||||||
|
| |||||||
7,513,635 | ||||||||
|
| |||||||
Food, Beverage & Tobacco – 1.1% | ||||||||
45,665 | Monster Beverage Corp.* | 3,165,498 | ||||||
|
| |||||||
Health Care Equipment & Services – 5.7% | ||||||||
13,068 | Abbott Laboratories | 1,194,807 | ||||||
9,158 | Anthem, Inc. | 2,408,371 | ||||||
1,031 | Cardinal Health, Inc. | 53,808 | ||||||
5,625 | Cooper Cos., Inc. (The) | 1,595,475 | ||||||
2,395 | CVS Health Corp. | 155,603 | ||||||
43,368 | Edwards Lifesciences Corp.* | 2,997,162 | ||||||
1,041 | HCA Healthcare, Inc. | 101,039 | ||||||
4,734 | Humana, Inc. | 1,835,608 | ||||||
8,869 | McKesson Corp. | 1,360,682 | ||||||
23,001 | Medtronic plc | 2,109,192 | ||||||
739 | Quidel Corp.* | 165,344 | ||||||
890 | UnitedHealth Group, Inc. | 262,506 | ||||||
20,764 | Universal Health Services, Inc. Class B | 1,928,768 | ||||||
545 | West Pharmaceutical Services, Inc. | 123,808 | ||||||
|
| |||||||
16,292,173 | ||||||||
|
| |||||||
Household & Personal Products – 1.9% | ||||||||
45,168 | Procter & Gamble Co. (The) | 5,400,738 | ||||||
|
| |||||||
Insurance – 2.3% | ||||||||
2,690 | Allstate Corp. (The) | 260,903 | ||||||
6,698 | American Financial Group, Inc. | 425,055 | ||||||
13,125 | Aon plc Class A | 2,527,875 | ||||||
22,100 | Athene Holding Ltd. Class A* | 689,299 | ||||||
35,713 | Fidelity National Financial, Inc. | 1,094,960 | ||||||
9,144 | Lincoln National Corp. | 336,408 | ||||||
797 | Marsh & McLennan Cos., Inc. | 85,574 | ||||||
8,790 | MetLife, Inc. | 321,011 | ||||||
8,165 | Reinsurance Group of America, Inc. | 640,463 | ||||||
20,693 | Unum Group | 343,297 | ||||||
|
| |||||||
6,724,845 | ||||||||
|
| |||||||
Materials – 2.2% | ||||||||
97,000 | Amcor plc | 990,370 | ||||||
68,464 | Axalta Coating Systems Ltd.* | 1,543,863 | ||||||
10,057 | Dow, Inc. | 409,923 | ||||||
440 | Linde plc | 93,328 | ||||||
|
|
4 | The accompanying notes are an integral part of these financial statements. |
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Materials – (continued) | ||||||||
5,909 | Sherwin-Williams Co. (The) | $ | 3,414,516 | |||||
|
| |||||||
6,452,000 | ||||||||
|
| |||||||
Media & Entertainment – 11.4% | ||||||||
3,955 | Alphabet, Inc. Class A* | 5,608,388 | ||||||
4,697 | Alphabet, Inc. Class C* | 6,639,726 | ||||||
2,187 | Charter Communications, Inc. Class A* | 1,115,457 | ||||||
41,166 | Comcast Corp. Class A | 1,604,651 | ||||||
30,200 | Facebook, Inc. Class A* | 6,857,514 | ||||||
12,512 | Liberty Broadband Corp. Class C* | 1,550,988 | ||||||
5,560 | Netflix, Inc.* | 2,530,022 | ||||||
27,453 | Omnicom Group, Inc. | 1,498,934 | ||||||
1,357 | Spotify Technology SA* | 350,364 | ||||||
21,576 | Take-Two Interactive Software, Inc.* | 3,011,362 | ||||||
206,592 | Zynga, Inc. Class A* | 1,970,888 | ||||||
|
| |||||||
32,738,294 | ||||||||
|
| |||||||
Pharmaceuticals, Biotechnology & Life Sciences – 7.5% | ||||||||
29,019 | AbbVie, Inc. | 2,849,086 | ||||||
9,014 | Alexion Pharmaceuticals, Inc.* | 1,011,731 | ||||||
10,225 | Biogen, Inc.* | 2,735,699 | ||||||
4,883 | Bristol-Myers Squibb Co. | 287,121 | ||||||
12,095 | Exelixis, Inc.* | 287,135 | ||||||
38,305 | Gilead Sciences, Inc. | 2,947,187 | ||||||
9,228 | Horizon Therapeutics plc* | 512,892 | ||||||
8,235 | Illumina, Inc.* | 3,049,832 | ||||||
8,153 | IQVIA Holdings, Inc.* | 1,156,748 | ||||||
1,280 | Jazz Pharmaceuticals plc* | 141,235 | ||||||
9,331 | Johnson & Johnson | 1,312,219 | ||||||
26,346 | Merck & Co., Inc. | 2,037,336 | ||||||
2,144 | Neurocrine Biosciences, Inc.* | 261,568 | ||||||
3,310 | Sarepta Therapeutics, Inc.* | 530,725 | ||||||
7,798 | Vertex Pharmaceuticals, Inc.* | 2,263,837 | ||||||
|
| |||||||
21,384,351 | ||||||||
|
| |||||||
Real Estate Investment Trusts – 4.4% | ||||||||
7,175 | American Tower Corp. | 1,855,024 | ||||||
13,474 | Apartment Investment and Management Co. Class A | 507,161 | ||||||
15,185 | Brixmor Property Group, Inc. | 194,672 | ||||||
7,401 | Camden Property Trust | 675,119 | ||||||
3,356 | CoreSite Realty Corp. | 406,277 | ||||||
8,194 | CyrusOne, Inc. | 596,114 | ||||||
13,803 | Duke Realty Corp. | 488,488 | ||||||
29,123 | Equity LifeStyle Properties, Inc. | 1,819,605 | ||||||
6,231 | First Industrial Realty Trust, Inc. | 239,520 | ||||||
7,836 | Healthcare Trust of America, Inc. Class A | 207,811 | ||||||
102,566 | Invitation Homes, Inc. | 2,823,642 | ||||||
1,827 | Lamar Advertising Co. Class A | 121,971 | ||||||
1,079 | Life Storage, Inc. | 102,451 | ||||||
9,160 | SBA Communications Corp. | 2,728,947 | ||||||
|
| |||||||
12,766,802 | ||||||||
|
| |||||||
Common Stocks – (continued) | ||||||||
Retailing – 11.0% | ||||||||
5,755 | Amazon.com, Inc.* | 15,877,009 | ||||||
866 | AutoZone, Inc.* | 976,952 | ||||||
62,596 | eBay, Inc. | 3,283,160 | ||||||
6,542 | Etsy, Inc.* | 694,957 | ||||||
17,933 | Home Depot, Inc. (The) | 4,492,396 | ||||||
19,087 | Lowe’s Cos., Inc. | 2,579,035 | ||||||
29,832 | Target Corp. | 3,577,752 | ||||||
|
| |||||||
31,481,261 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 3.4% | ||||||||
11,566 | Analog Devices, Inc. | 1,418,454 | ||||||
17,842 | Applied Materials, Inc. | 1,078,549 | ||||||
1,539 | Broadcom, Inc. | 485,724 | ||||||
2,743 | Intel Corp. | 164,114 | ||||||
3,836 | Lam Research Corp. | 1,240,792 | ||||||
8,821 | NVIDIA Corp. | 3,351,186 | ||||||
23,399 | QUALCOMM, Inc. | 2,134,223 | ||||||
240 | Universal Display Corp. | 35,909 | ||||||
|
| |||||||
9,908,951 | ||||||||
|
| |||||||
Software & Services – 13.4% | ||||||||
7,160 | Adobe, Inc.* | 3,116,820 | ||||||
4,837 | Alliance Data Systems Corp. | 218,245 | ||||||
29,703 | Cognizant Technology Solutions Corp. Class A | 1,687,724 | ||||||
8,983 | Fidelity National Information Services, Inc. | 1,204,531 | ||||||
5,256 | FleetCor Technologies, Inc.* | 1,322,042 | ||||||
19,107 | International Business Machines Corp. | 2,307,552 | ||||||
246 | Mastercard, Inc. Class A | 72,742 | ||||||
77,595 | Microsoft Corp. | 15,791,358 | ||||||
30,046 | PayPal Holdings, Inc.* | 5,234,915 | ||||||
936 | RingCentral, Inc. Class A* | 266,769 | ||||||
5,330 | ServiceNow, Inc.* | 2,158,970 | ||||||
10,577 | VeriSign, Inc.* | 2,187,641 | ||||||
6,522 | Visa, Inc. Class A | 1,259,855 | ||||||
18,027 | Western Union Co. (The) | 389,744 | ||||||
1,726 | Workday, Inc. Class A* | 323,383 | ||||||
3,638 | Zoom Video Communications, Inc. Class A* | 922,379 | ||||||
|
| |||||||
38,464,670 | ||||||||
|
| |||||||
Technology Hardware & Equipment – 7.6% | ||||||||
53,523 | Apple, Inc. | 19,525,190 | ||||||
3,516 | Arista Networks, Inc.* | 738,466 | ||||||
25,330 | Cisco Systems, Inc. | 1,181,391 | ||||||
6,080 | NetApp, Inc. | 269,770 | ||||||
|
| |||||||
21,714,817 | ||||||||
|
| |||||||
Telecommunication Services – 0.9% | ||||||||
13,928 | CenturyLink, Inc. | 139,698 | ||||||
110,540 | Liberty Global plc Class C* | 2,377,715 | ||||||
|
| |||||||
2,517,413 | ||||||||
|
|
The accompanying notes are an integral part of these financial statements. | 5 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
Schedule of Investments (continued)
June 30, 2020 (Unaudited)
Shares | Description | Value | ||||||
Common Stocks – (continued) | ||||||||
Transportation – 1.0% | ||||||||
8,731 | Lyft, Inc. Class A* | $ | 288,210 | |||||
2,221 | Old Dominion Freight Line, Inc. | 376,660 | ||||||
13,584 | Union Pacific Corp. | 2,296,647 | ||||||
|
| |||||||
2,961,517 | ||||||||
|
| |||||||
Utilities – 3.7% | ||||||||
81,220 | AES Corp. (The) | 1,176,878 | ||||||
24,040 | Consolidated Edison, Inc. | 1,729,197 | ||||||
18,630 | DTE Energy Co. | 2,002,725 | ||||||
31,949 | Exelon Corp. | 1,159,429 | ||||||
33,679 | FirstEnergy Corp. | 1,306,072 | ||||||
355 | NextEra Energy, Inc. | 85,260 | ||||||
5,037 | OGE Energy Corp. | 152,923 | ||||||
54,007 | Public Service Enterprise Group, Inc. | 2,654,984 | ||||||
14,504 | Vistra Energy Corp. | 270,065 | ||||||
|
| |||||||
10,537,533 | ||||||||
|
| |||||||
TOTAL INVESTMENTS – 99.4% | ||||||||
(Cost $222,329,634) | $ | 284,830,896 | ||||||
|
| |||||||
| OTHER ASSETS IN EXCESS OF | 1,630,592 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 286,461,488 | ||||||
|
|
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. |
6 | 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
June 30, 2020 (Unaudited)
Assets: | ||||
Investments in unaffiliated issuers, at value (cost $222,329,634) | $ | 284,830,896 | ||
Cash | 2,443,052 | |||
Receivables: | ||||
Investments sold | 15,819,356 | |||
Dividends | 183,735 | |||
Fund shares sold | 46,731 | |||
Reimbursement from investment adviser | 28,077 | |||
Total assets | 303,351,847 | |||
Liabilities: | ||||
Payables: | ||||
Investments purchased | 15,419,159 | |||
Fund shares redeemed | 1,132,112 | |||
Management fees | 127,298 | |||
Distribution and Service fees and Transfer Agency fees | 13,362 | |||
Accrued expenses | 198,428 | |||
Total liabilities | 16,890,359 | |||
Net Assets: | ||||
Paid-in capital | 231,546,412 | |||
Total distributable earnings (loss) | 54,915,076 | |||
NET ASSETS | $ | 286,461,488 | ||
Net Assets: | ||||
Institutional | $ | 236,122,356 | ||
Service | 50,339,132 | |||
Total Net Assets | $ | 286,461,488 | ||
Shares outstanding $0.001 par value (unlimited shares authorized): | ||||
Institutional | 13,368,911 | |||
Service | 2,835,422 | |||
Net asset value, offering and redemption price per share: | ||||
Institutional | $17.66 | |||
Service | 17.75 |
The accompanying notes are an integral part of these financial statements. | 7 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
Statement of Operations
For the Six Months Ended June 30, 2020 (Unaudited)
Investment income: | ||||
Dividends — unaffiliated issuers (net of foreign taxes withheld of $3,910) | $ | 2,233,432 | ||
Securities lending income — unaffiliated issuer | 1,395 | |||
Total investment income | 2,234,827 | |||
Expenses: | ||||
Management fees | 872,081 | |||
Distribution and Service fees — Service Shares | 61,585 | |||
Printing and mailing costs | 58,846 | |||
Professional fees | 46,351 | |||
Custody, accounting and administrative services | 37,687 | |||
Transfer Agency fees(a) | 28,129 | |||
Trustee fees | 9,665 | |||
Other | 4,851 | |||
Total expenses | 1,119,195 | |||
Less — expense reductions | (279,679 | ) | ||
Net expenses | 839,516 | |||
NET INVESTMENT INCOME | 1,395,311 | |||
Realized and unrealized loss: | ||||
Net realized loss from investments — unaffiliated issuers | (10,426,505 | ) | ||
Net change in unrealized gain on investments — unaffiliated issuers | 3,471,518 | |||
Net realized and unrealized loss | (6,954,987 | ) | ||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (5,559,676 | ) |
(a) Institutional and Service Shares incurred Transfer Agency fees of $23,203 and $4,926, respectively.
8 | 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 Six Months Ended June 30, 2020 (Unaudited) | For the Fiscal Year Ended December 31, 2019 | |||||||
From operations: | ||||||||
Net investment income | $ | 1,395,311 | $ | 3,688,941 | ||||
Net realized gain (loss) | (10,426,505 | ) | 13,673,416 | |||||
Net change in unrealized gain | 3,471,518 | 50,991,594 | ||||||
Net increase (decrease) in net assets resulting from operations | (5,559,676 | ) | 68,353,951 | |||||
Distributions to shareholders: | ||||||||
From distributable earnings: | ||||||||
Institutional Shares | — | (12,098,854 | ) | |||||
Service Shares | — | (2,482,764 | ) | |||||
Total distributions to shareholders | — | (14,581,618 | ) | |||||
From share transactions: | ||||||||
Proceeds from sales of shares | 4,175,576 | 11,649,993 | ||||||
Reinvestment of distributions | — | 14,581,618 | ||||||
Cost of shares redeemed | (24,285,246 | ) | (56,634,042 | ) | ||||
Net decrease in net assets resulting from share transactions | (20,109,670 | ) | (30,402,431 | ) | ||||
TOTAL INCREASE (DECREASE) | (25,669,346 | ) | 23,369,902 | |||||
Net Assets: | ||||||||
Beginning of period | 312,130,834 | 288,760,932 | ||||||
End of period | $ | 286,461,488 | $ | 312,130,834 |
The accompanying notes are an integral part of these financial statements. | 9 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
Financial Highlights
Selected Data for a Share Outstanding Throughout Each Period
Goldman Sachs U.S. Equity Insights Fund | ||||||||||||||||||||||||
Institutional Shares | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 17.93 | $ | 15.03 | $ | 19.41 | $ | 17.65 | $ | 16.71 | $ | 18.12 | ||||||||||||
Net investment income(a) | 0.09 | 0.21 | 0.22 | 0.28 | 0.22 | 0.23 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.36 | ) | 3.57 | (1.38 | ) | 3.98 | 1.58 | (0.27 | ) | |||||||||||||||
Total from investment operations | (0.27 | ) | 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 period | $ | 17.66 | $ | 17.93 | $ | 15.03 | $ | 19.41 | $ | 17.65 | $ | 16.71 | ||||||||||||
Total return(b) | (1.45 | )% | 25.21 | % | (6.19 | )% | 24.07 | % | 10.70 | % | (0.20 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 236,122 | $ | 256,930 | $ | 235,553 | $ | 277,952 | $ | 255,565 | $ | 269,238 | ||||||||||||
Ratio of net expenses to average net assets | 0.56 | %(c) | 0.58 | % | 0.58 | % | 0.62 | % | 0.64 | % | 0.64 | % | ||||||||||||
Ratio of total expenses to average net assets | 0.75 | %(c) | 0.76 | % | 0.73 | % | 0.70 | % | 0.70 | % | 0.71 | % | ||||||||||||
Ratio of net investment income to average net assets | 1.03 | %(c) | 1.24 | % | 1.12 | % | 1.42 | % | 1.25 | % | 1.29 | % | ||||||||||||
Portfolio turnover rate(d) | 103 | % | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(c) | Annualized. |
(d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
10 | 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 Period
Goldman Sachs U.S. Equity Insights Fund | ||||||||||||||||||||||||
Service Shares | ||||||||||||||||||||||||
Six Months Ended June 30, 2020 | Year Ended December 31, | |||||||||||||||||||||||
2019 | 2018 | 2017 | 2016 | 2015 | ||||||||||||||||||||
Per Share Data | ||||||||||||||||||||||||
Net asset value, beginning of period | $ | 18.04 | $ | 15.12 | $ | 19.48 | $ | 17.71 | $ | 16.77 | $ | 18.17 | ||||||||||||
Net investment income(a) | 0.07 | 0.18 | 0.18 | 0.24 | 0.18 | 0.20 | ||||||||||||||||||
Net realized and unrealized gain (loss) | (0.36 | ) | 3.58 | (1.37 | ) | 3.99 | 1.59 | (0.28 | ) | |||||||||||||||
Total from investment operations | (0.29 | ) | 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 period | $ | 17.75 | $ | 18.04 | $ | 15.12 | $ | 19.48 | $ | 17.71 | $ | 16.77 | ||||||||||||
Total return(b) | (1.55 | )% | 24.93 | % | (6.36 | )% | 23.80 | % | 10.44 | % | (0.41 | )% | ||||||||||||
Net assets, end of period (in 000s) | $ | 50,339 | $ | 55,201 | $ | 53,208 | $ | 142,210 | $ | 120,387 | $ | 122,531 | ||||||||||||
Ratio of net expenses to average net assets | 0.77 | %(c) | 0.79 | % | 0.79 | % | 0.82 | % | 0.85 | % | 0.85 | % | ||||||||||||
Ratio of total expenses to average net assets | 1.00 | %(c) | 1.01 | % | 0.97 | % | 0.95 | % | 0.95 | % | 0.96 | % | ||||||||||||
Ratio of net investment income to average net assets | 0.82 | %(c) | 1.03 | % | 0.88 | % | 1.21 | % | 1.04 | % | 1.08 | % | ||||||||||||
Portfolio turnover rate(d) | 103 | % | 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 period, reinvestment of all distributions, a complete redemption of the investment at the net asset value at the end of the period and no sales or redemption charges (if any). Total returns would be reduced if a sales or redemption charge was taken into account. Returns do not reflect the impact of taxes to shareholders relating to Fund distributions or the redemption of Fund shares. Total returns for periods less than one full year are not annualized. |
(c) | Annualized. |
(d) | The Fund’s portfolio turnover rate is calculated in accordance with regulatory requirements, without regard to transactions involving short term investments. If such transactions were included, the Fund’s portfolio turnover rate may be higher. |
The accompanying notes are an integral part of these financial statements. | 11 |
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
Notes to Financial Statements
June 30, 2020 (Unaudited)
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 an open-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 on ex-dividend date or, for certain foreign securities, as soon as such information is obtained subsequent to the ex-dividend date. Non-cash dividends, if any, are recorded at the fair market value of the securities received. Investment transactions are reflected on trade date. Realized gains and losses are calculated using identified cost. Investment transactions are recorded on the following business day for daily net asset value (“NAV”) calculations. Investment income is recorded net of any foreign withholding taxes, less any amounts reclaimable. The Fund may file withholding tax reclaims in certain jurisdictions to recover a portion of amounts previously withheld. Any foreign capital gains tax is accrued daily based upon net unrealized gains, and is payable upon sale of such investments. Distributions received from the Fund’s investments in United States (“U.S.”) real estate investment trusts (“REITs”) may be characterized as ordinary income, net capital gain and/or a return of capital. A return of capital is recorded by the Fund as a reduction to the cost basis of the REIT.
C. Class Allocations and Expenses — Investment income, realized and unrealized gain (loss), if any, and non-class specific expenses of the Fund are allocated daily based upon the proportion of net assets of each class. Non-class specific expenses directly incurred by the Fund are charged to the Fund, while such expenses incurred by the Trust are allocated across the Fund on a straight-line and/or pro-rata basis depending upon the nature of the expenses. Class-specific expenses, where applicable, are borne by the respective share classes and include Distribution and Service and Transfer Agency fees.
D. Federal Taxes and Distributions to Shareholders — It is the Fund’s policy to comply with the requirements of the Internal Revenue Code of 1986, as amended (the “Code”), applicable to regulated investment companies and to distribute each year substantially all of its investment company taxable income and capital gains to its shareholders. Accordingly, the Fund is not required to make any provisions for the payment of federal income tax. Distributions to shareholders are recorded on the ex-dividend date. Income and capital gains distributions, if any, are declared and paid at least annually.
Net capital losses, if any, are carried forward to future fiscal years and may be used to the extent allowed by the Code to offset any future capital gains. Losses that are carried forward will retain their character as either short-term or long-term capital losses. Utilization of capital loss carryforwards will reduce the requirement of future capital gains distributions.
The characterization of distributions to shareholders for financial reporting purposes is determined in accordance with federal income tax rules, which may differ from GAAP. The source of the Fund’s distributions may be shown in the accompanying financial statements as either from distributable earnings or capital. Certain components of the Fund’s net assets on the Statement of Assets and Liabilities reflect permanent GAAP/tax differences based on the appropriate tax character.
12
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 GSAM day-to-day responsibility for implementing and maintaining internal controls and procedures related to the valuation of the Fund’s investments. To assess the continuing appropriateness of pricing sources and methodologies, GSAM regularly performs price verification procedures and issues challenges as necessary to third party pricing vendors or brokers, and any differences are reviewed in accordance with the Valuation Procedures.
A. Level 1 and Level 2 Fair Value Investments — The valuation techniques and significant inputs used in determining the fair values for investments classified as Level 1 and Level 2 are as follows:
Equity Securities — Equity securities traded on a 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. Certain equity securities containing unique attributes may be classified as Level 2.
Unlisted equity securities for which market quotations are available are valued at the last sale price on the valuation date, or if no sale occurs, at the last bid price for long positions or the last ask price for short positions, and are generally classified as Level 2.
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.
13
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
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 June 30, 2020:
Investment Type | Level 1 | Level 2 | Level 3 | |||||||||
Assets | ||||||||||||
Common Stock and/or Other Equity Investments(a) | ||||||||||||
Europe | $ | 3,107,211 | $ | — | $ | — | ||||||
North America | 281,723,685 | — | — | |||||||||
Total | $ | 284,830,896 | $ | — | $ | — |
(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 Schedules 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 six months ended June 30, 2020, contractual and effective net management fees with GSAM were at the following rates:
Contractual Management Rate | Effective Net Management Rate^ | |||||||||||||||||||||||||
First $1 billion | Next $1 billion | Next $3 billion | Next $3 billion | Over $8 billion | 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 29, 2021, and prior to such date GSAM may not terminate the arrangement without approval of the Trustees. For the six months ended June 30, 2020, GSAM waived $112,527 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.
B. Distribution and/or Service (12b-1) Plan — The Trust, on behalf of Service Shares of the Fund, has adopted a Distribution and Service Plan subject to Rule 12b-1 under the Act. Under the Distribution and Service Plan, Goldman Sachs, which serves as distributor, 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 29, 2021, and prior to such date Goldman Sachs may not terminate the arrangement without the approval of the Trustees. For the six months ended June 30, 2020, Goldman Sachs waived $9,854 in distribution and service fees for the Fund’s Service Shares.
14
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS 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 29, 2021, and prior to such date GSAM may not terminate the arrangement without the approval of the Trustees. In addition, the Fund has entered into certain offset arrangements with the 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 six months ended June 30, 2020, 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 | ||||||||||||||
$ | 112,527 | $ | 9,854 | $ | 5,524 | $ | 151,774 | 279,679 |
E. Line of Credit Facility — As of June 30, 2020, the Fund participated in a $700,000,000 committed, unsecured revolving line of credit facility (the “facility”) together with other funds of the Trust and certain registered investment companies having management agreements with GSAM or its affiliates. This facility is to be used for temporary emergency purposes, or to allow for an orderly liquidation of securities to meet redemption requests. The interest rate on borrowings is based on the federal funds rate. The facility also requires a fee to be paid by the Fund based on the amount of the commitment that has not been utilized. For the six months ended June 30, 2020, the Fund did not have any borrowings under the facility. Prior to April 28, 2020, the facility was $580,000,000.
5. PORTFOLIO SECURITIES TRANSACTIONS
The cost of purchases and proceeds from sales and maturities of long-term securities for the six months ended June 30, 2020, were $290,622,837 and $309,355,555, respectively.
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
15
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
6. SECURITIES LENDING (continued)
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 Rule 2a-7 under the Act, and is managed by GSAM, for which GSAM may receive a management fee of up to 0.16% on an annualized basis of the average daily net assets of the Government Money Market Fund.
In the event of a default by a borrower with respect to any loan, GSAL will exercise any and all remedies provided under the applicable borrower agreement to make the Fund whole. These remedies include purchasing replacement securities by applying the collateral held from the defaulting broker against the purchase cost of the replacement securities. If GSAL is unable to purchase replacement securities, GSAL will indemnify the Fund by paying the Fund an amount equal to the market value of the securities loaned minus the value of cash collateral received from the borrower for the loan, subject to an exclusion for any shortfalls resulting from a loss of value in such cash collateral due to reinvestment risk. The Fund’s master netting agreements with certain borrowers provide the right, in the event of a default (including bankruptcy or insolvency), for the non-defaulting party to liquidate the collateral and calculate net exposure to the defaulting party or request additional collateral. However, in the event of a default by a borrower, a resolution authority could determine that such rights are not enforceable due to the restrictions or prohibitions against the right of set-off that may be imposed in accordance with a particular jurisdiction’s bankruptcy or insolvency laws. The Fund’s loaned securities were all subject to enforceable Securities Lending Agreements and the value of the collateral was at least equal to the value of the cash received. The amounts of the Fund’s overnight and continuous agreements, which represent the gross amounts of recognized liabilities for securities lending transactions outstanding as of June 30, 2020, 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 June 30, 2020.
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 six months ended June 30, 2020, are reported under Investment Income on the Statement of Operations.
The table below details securities lending activity with affiliates of Goldman Sachs:
For the Six Months ended June 30, 2020 | ||||||||
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 June 30, 2020 | ||||||
$190 | $ | 1,368 | $ | — |
The following table provides information about the Fund’s investment in the Government Money Market Fund for the six months ended June 30, 2020:
Beginning Value as of December 31, 2019 | Purchases at Cost | Proceeds from Sales | Ending Value as of June 30, 2020 | |||||||||||
$— | $ | 513,975 | $ | (513,975 | ) | $ | — |
16
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
7. TAX INFORMATION
As of the Fund’s most recent fiscal year end, December 31, 2019, the Fund’s certain timing differences, on a tax-basis were as follows:
Timing differences (Real Estate Investment Trust) | $ | 5,184 |
As of June 30, 2020, the Fund’s aggregate security unrealized gains and losses based on cost for U.S. federal income tax purposes were as follows:
Tax cost | $ | 223,532,808 | ||
Gross unrealized gain | 69,498,106 | |||
Gross unrealized loss | (8,200,018 | ) | ||
Net unrealized gain | $ | 61,298,088 |
The difference between GAAP-basis and tax-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 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). The value of the securities in which the
17
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
Notes to Financial Statements (continued)
June 30, 2020 (Unaudited)
8. OTHER RISKS (continued)
Fund invests may go up or down in response to the prospects of individual companies, particular sectors or governments and/or general economic conditions throughout the world due to increasingly interconnected global economies and financial markets. Events such as war, acts of terrorism, social unrest, natural disasters, the spread of infectious illness or other public health threats could also significantly impact the Fund and its investments. Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
9. INDEMNIFICATIONS
Under the Trust’s organizational documents, its Trustees, officers, employees and agents are indemnified, to the extent permitted by the Act and state law, against certain liabilities that may arise out of performance of their duties to the Fund. Additionally, in the course of business, the Fund enters into contracts that contain a variety of indemnification clauses. The Fund’s maximum exposure under these arrangements is unknown, as this would involve future claims that may be made against the Fund that have not yet occurred. However, GSAM believes the risk of loss under these arrangements to be remote.
10. SUBSEQUENT EVENTS
Subsequent events after the Statement of Assets and Liabilities date have been evaluated, and GSAM has concluded that there is no impact requiring adjustment or disclosure in the financial statements.
11. SUMMARY OF SHARE TRANSACTIONS
Share activity is as follows:
For the Six Months Ended June 30, 2020 (Unaudited) | For the Fiscal Year Ended December 31, 2019 | |||||||||||||||
Shares | Dollars | Shares | Dollars | |||||||||||||
Institutional Shares | ||||||||||||||||
Shares sold | 208,868 | $ | 3,299,663 | 441,372 | $ | 7,774,633 | ||||||||||
Reinvestment of distributions | — | — | 681,626 | 12,098,854 | ||||||||||||
Shares redeemed | (1,169,237 | ) | (19,635,913 | ) | (2,468,062 | ) | (42,483,665 | ) | ||||||||
(960,369 | ) | (16,336,250 | ) | (1,345,064 | ) | (22,610,178 | ) | |||||||||
Service Shares | ||||||||||||||||
Shares sold | 53,044 | 875,913 | 228,384 | 3,875,360 | ||||||||||||
Reinvestment of distributions | — | — | 139,012 | 2,482,764 | ||||||||||||
Shares redeemed | (277,245 | ) | (4,649,333 | ) | (827,588 | ) | (14,150,377 | ) | ||||||||
(224,201 | ) | (3,773,420 | ) | (460,192 | ) | (7,792,253 | ) | |||||||||
NET DECREASE | (1,184,570 | ) | $ | (20,109,670 | ) | (1,805,256 | ) | $ | (30,402,431 | ) |
18
GOLDMAN SACHS VARIABLE INSURANCE TRUST INTERNATIONAL EQUITY INSIGHTS FUND
Liquidity Risk Management Program
The Fund has adopted and implemented a liquidity risk management program (the “Program”) in accordance with Rule 22e-4 under the 1940 Act. The Program seeks to assess and manage the Fund’s liquidity risk, i.e., the risk that the Fund is unable to satisfy redemption requests without significantly diluting remaining investors’ interests in the Fund. The Board of Trustees of the Trust has designated GSAM, the Fund’s investment adviser, to administer the Program. Certain aspects of the Program rely on third parties to perform certain functions, including the provision of market data and application of models.
The Program is comprised of various components designed to support the assessment and/or management of liquidity risk, including: (1) the periodic assessment (no less frequently than annually) of certain factors that influence a Fund’s liquidity risk; (2) the periodic classification (no less frequently than monthly) of a Fund’s investments into one of four liquidity categories that reflect an estimate of their liquidity under current market conditions; (3) a 15% limit on the acquisition of “illiquid investments” (as defined under Rule 22e-4); (4) for a Fund that does not invest primarily in “highly liquid investments” (as defined under Rule 22e-4), the determination of a minimum percentage of the Fund’s assets that will generally be invested in highly liquid investments (a “Highly Liquid Investment Minimum”); and (5) periodic reporting to the Board of Trustees.
At a meeting of the Board of Trustees on February 11-12, 2020, GSAM provided a written report to the Board addressing the operation, and the adequacy and effectiveness of the implementation, of the Program, including, as applicable, the operation of any Highly Liquid Investment Minimum and any material changes to the Program, for the initial period from December 1, 2018 through December 31, 2019 (the “Reporting Period”). Among other things, the annual report discussed: (1) the results of stress tests designed to assess liquidity under a hypothetical stressed scenario involving elevated redemptions; and (2) an assessment of the methodologies used to classify investments into one of four liquidity categories. The report concluded that the Program was reasonably designed to assess and manage liquidity risk and was adequately and effectively implemented during the Reporting Period.
There can be no assurance that the Program will achieve its objectives under all circumstances in the future. Please refer to your Fund’s prospectus for more information regarding the Fund’s exposure to liquidity risk and other risks to which it may be subject.
19
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
Fund Expenses — Six Month Period Ended June 30, 2020 (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 January 1, 2020 through June 30, 2020, which represents a period of 182 days of a 366 day year.
Actual Expenses — The first line under each share class in the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000=8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid” to estimate the expenses you paid on your account during this period.
Hypothetical Example for Comparison Purposes — The second line under each share class in the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual net expense 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 01/01/20 | Ending Account Value 06/30/20 | Expenses Paid for the 6 Months Ended 06/30/20* | |||||||||
Institutional | ||||||||||||
Actual | $ | 1,000 | $ | 985.50 | $ | 2.76 | ||||||
Hypothetical 5% return | 1,000 | 1,022.08 | + | 2.82 | ||||||||
Service | ||||||||||||
Actual | 1,000 | 984.50 | 3.80 | |||||||||
Hypothetical 5% return | 1,000 | 1,021.03 | + | 3.87 |
+ | 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 June 30, 2020. Expenses are calculated by multiplying the annualized net expense ratio by the average account value for the period; then multiplying the result by the number of days in the most recent fiscal half year; and then dividing that result by the number of days in the fiscal year. The annualized net expense ratios for the period were 0.56% and 0.77% for Institutional and Service Shares, respectively. |
20
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited)
Background
The Goldman Sachs U.S. Equity Insights Fund (the “Fund”) is an investment portfolio of Goldman Sachs Variable Insurance Trust (the “Trust”). The Board of Trustees oversees the management of the Trust and reviews the investment performance and expenses of the Fund at regularly scheduled meetings held throughout the year. In addition, the Board of Trustees determines annually whether to approve the continuance of the Trust’s investment management agreement (the “Management Agreement”) with Goldman Sachs Asset Management, L.P. (the “Investment Adviser”) on behalf of the Fund.
The Management Agreement was most recently approved for continuation until June 30, 2021 by the Board of Trustees, including those Trustees who are not parties to the Management Agreement or “interested persons” (as defined in the Investment Company Act of 1940, as amended) of any party thereto (the “Independent Trustees”), at a meeting held on June 16-17, 2020 (the “Annual Meeting”).
The review process undertaken by the Trustees spans the course of the year and culminates with the Annual Meeting. To assist the Trustees in their deliberations, the Trustees have established a Contract Review Committee (the “Committee”), comprised of the Independent Trustees. The Committee held two meetings over the course of the year since the Management Agreement was last approved. At those Committee meetings, regularly scheduled Board or other committee meetings, and/or the Annual Meeting, matters relevant to the renewal of the Management Agreement were considered by the Board, or the Independent Trustees, as applicable. With respect to the Fund, such matters included:
(a) | the nature and quality of the advisory, administrative, and other services provided to the Fund by the Investment Adviser and its affiliates, including information about: |
(i) | the structure, staff, and capabilities of the Investment Adviser and its portfolio management teams; |
(ii) | the groups within the Investment Adviser and its affiliates that support the portfolio management teams or provide other types of necessary services, including fund services groups (e.g., accounting and financial reporting, tax, shareholder services, and operations); controls and risk management groups (e.g., legal, compliance, valuation oversight, credit risk management, internal audit, compliance testing, market risk analysis, finance, and central funding); sales and distribution support groups, and others (e.g., information technology and training); |
(iii) | trends in employee headcount; |
(iv) | the Investment Adviser’s financial resources and ability to hire and retain talented personnel and strengthen its operations; and |
(v) | the parent company’s support of the Investment Adviser and its mutual fund business, as expressed by the firm’s senior management; |
(b) | information on the investment performance of the Fund, including comparisons to the performance of similar mutual funds, as provided by a third-party mutual fund data provider engaged as part of the contract review process (the “Outside Data Provider”), a benchmark performance index, and a composite of accounts with comparable investment strategies managed by the Investment Adviser; and information on general investment outlooks in the markets in which the Fund invests; |
(c) | information provided by the Investment Adviser indicating the Investment Adviser’s views on whether the Fund’s peer group and/or benchmark index had high, medium, or low relevance given the Fund’s particular investment strategy; |
(d) | the terms of the Management Agreement and other agreements with affiliated service providers entered into by the Trust on behalf of the Fund; |
(e) | fee and expense information for the Fund, including: |
(i) | the relative management fee and expense levels of the Fund as compared to those of comparable funds managed by other advisers, as provided by the Outside Data Provider; |
(ii) | the Fund’s expense trends over time; and |
(iii) | to the extent the Investment Adviser manages other types of accounts (such as bank collective trusts, private wealth management accounts, institutional separate accounts, sub-advised mutual funds, and non-U.S. funds) having investment objectives and policies similar to those of the Fund, comparative information on the advisory fees charged and services provided to those accounts by the Investment Adviser; |
(f) | with respect to the extensive investment performance and expense comparison data provided by the Outside Data Provider, its processes in producing that data for the Fund; |
(g) | the undertakings of the Investment Adviser and its affiliates to implement fee waivers and/or expense limitations; |
(h) | information relating to the profitability of the Management Agreement and the transfer agency and distribution and service arrangements of the Fund to the Investment Adviser and its affiliates; |
(i) | whether the Fund’s existing management fee schedule adequately addressed any economies of scale; |
21
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
(j) | a summary of the “fall-out” benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund, including the fees received by the Investment Adviser’s affiliates from the Fund for transfer agency, securities lending, portfolio trading, distribution and other services; |
(k) | a summary of potential benefits derived by the Fund as a result of its relationship with the Investment Adviser; |
(l) | information regarding commissions paid by the Fund and broker oversight, other information regarding portfolio trading, and how the Investment Adviser carries out its duty to seek best execution; |
(m) | the manner in which portfolio manager compensation is determined; and the number and types of accounts managed by the portfolio managers; |
(n) | the nature and quality of the services provided to the Fund by its unaffiliated service providers, and the Investment Adviser’s general oversight and evaluation (including reports on due diligence) of those service providers as part of the administrative services provided under the Management Agreement; and |
(o) | the Investment Adviser’s processes and policies addressing various types of potential conflicts of interest; its approach to risk management; the annual review of the effectiveness of the Fund’s compliance program; and periodic compliance reports. |
The Trustees also received an overview of the Fund’s distribution arrangements. They received information regarding the Fund’s assets, share purchase and redemption activity, and payment of distribution and service fees. Information was also provided to the Trustees relating to revenue sharing payments made by and services provided by the Investment Adviser and its affiliates to intermediaries that promote the sale, distribution, and/or servicing of Fund shares. The Independent Trustees also discussed the broad range of other investment choices that are available to Fund investors, including the availability of comparable funds managed by other advisers.
The presentations made at the Board and Committee meetings and at the Annual Meeting encompassed the Fund and other mutual funds for which the Board of Trustees has responsibility. In evaluating the Management Agreement at the Annual Meeting, the Trustees relied upon their knowledge, resulting from their meetings and other interactions throughout the year, of the Investment Adviser and its affiliates, their services, and the Fund. In conjunction with these meetings, the Trustees received written materials and oral presentations on the topics covered, and the Investment Adviser addressed the questions and concerns of the Trustees, including concerns regarding the investment performance of certain of the funds they oversee. The Independent Trustees were advised by their independent legal counsel regarding their responsibilities and other regulatory requirements related to the approval and continuation of mutual fund investment management agreements under applicable law. In addition, the Investment Adviser and its affiliates provided the Independent Trustees with a written response to a formal request for information sent on behalf of the Independent Trustees by their independent legal counsel. During the course of their deliberations, the Independent Trustees met in executive sessions with their independent legal counsel, without representatives of the Investment Adviser or its affiliates present.
Nature, Extent, and Quality of the Services Provided Under the Management Agreement
As part of their review, the Trustees considered the nature, extent, and quality of the services provided to the Fund by the Investment Adviser. In this regard, the Trustees considered both the investment advisory services and non-advisory services that are provided by the Investment Adviser and its affiliates. The Trustees noted the transition in the leadership and changes in personnel of various of the Investment Adviser’s portfolio management teams that had occurred in recent periods, and the ongoing recruitment efforts aimed at bringing high quality investment talent to the Investment Adviser. They also noted the Investment Adviser’s commitment to maintaining high quality systems and expending substantial resources to respond to ongoing changes to the market, regulatory and control environment in which the Fund and its service providers operate, including changes associated with the COVID-19 pandemic, as well as the efforts of the Investment Adviser and its affiliates to combat cyber security risks. The Trustees also considered information regarding the Investment Adviser’s business continuity planning and remote operations in the current environment. The Trustees concluded that the Investment Adviser continued to commit substantial financial and operational resources to the Fund and expressed confidence that the Investment Adviser would continue to do so in the future. The Trustees also recognized that the Investment Adviser had made significant commitments to address regulatory compliance requirements applicable to the Fund and the Investment Adviser and its affiliates.
22
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Investment Performance
The Trustees also considered the investment performance of the Fund. In this regard, they compared the investment performance of the Fund to its peers using rankings and ratings compiled by the Outside Data Provider as of December 31, 2019, and updated performance information prepared by the Investment Adviser using the peer group identified by the Outside Data Provider as of March 31, 2020. The information on the Fund’s investment performance was provided for the one-, three-, five-, and ten-year periods ending on the applicable dates. The Trustees also reviewed the Fund’s investment performance relative to its performance benchmark. As part of this review, they considered the investment performance trends of the Fund over time, and reviewed the investment performance of the Fund in light of its investment objective and policies and market conditions. The Trustees also received information comparing the Fund’s performance to that of a composite of accounts with comparable investment strategies managed by the Investment Adviser.
In addition, the Trustees considered materials prepared and presentations made by the Investment Adviser’s senior management and portfolio management personnel in which Fund performance was assessed. The Trustees also considered the Investment Adviser’s periodic reports with respect to the Fund’s risk profile, and how the Investment Adviser’s approach to risk monitoring and management influences portfolio management. They noted the efforts of the Fund’s portfolio management team to continue to enhance the investment model used in managing the Fund.
The Trustees observed that the Fund’s Institutional Shares had placed in the top half of the Fund’s peer group for the five- and ten-year periods and in the third quartile for the one- and three-year periods, and had underperformed the Fund’s benchmark index for the one-, three-, five-, and ten-year periods ended March 31, 2020.
Costs of Services Provided and Competitive Information
The Trustees considered the contractual terms of the Management Agreement and the fee rates payable by the Fund thereunder. In this regard, the Trustees considered information on the services rendered by the Investment Adviser to the Fund, which included both advisory and administrative services that were directed to the needs and operations of the Fund as a registered mutual fund.
In particular, the Trustees reviewed analyses prepared by the Outside Data Provider regarding the expense rankings of the Fund. The analyses provided a comparison of the Fund’s management fee and breakpoints to those of a relevant peer group and category universe; an expense analysis which compared the Fund’s overall net and gross expenses to a peer group and a category universe; and data comparing the Fund’s net expenses to the peer and category medians. The analyses also compared the Fund’s other expenses and fee waivers/reimbursements to those of the peer group and category medians. The Trustees concluded that the comparisons provided by the Outside Data Provider were useful in evaluating the reasonableness of the management fees and total expenses paid by the Fund.
In addition, the Trustees considered the Investment Adviser’s undertakings to implement fee waivers and/or expense limitations. They also considered, to the extent that the Investment Adviser manages other types of accounts having investment objectives and policies similar to those of the Fund, comparative fee information for services provided by the Investment Adviser to those accounts, and information that indicated that services provided to the Fund differed in various significant respects from the services provided to other types of accounts which, in many cases, operated under less stringent legal and regulatory structures, required fewer services from the Investment Adviser to a smaller number of client contact points, and were less time-intensive.
In addition, the Trustees noted that shareholders are able to redeem their Fund shares at any time if shareholders believe that the Fund fees and expenses are too high or if they are dissatisfied with the performance of the Fund.
Profitability
The Trustees reviewed the Fund’s contribution to the Investment Adviser’s revenues and pre-tax profit margins. In this regard the Trustees noted that they had received, among other things, profitability analyses and summaries, revenue and expense schedules by Fund and by function (i.e., investment management, transfer agency and distribution and service), and information on the Investment Adviser’s expense allocation methodology. They observed that the profitability and expense figures are substantially similar to those used by the Investment Adviser for many internal purposes, including compensation decisions among various business groups, and are thus subject to a vigorous internal debate about how certain revenue and expenses should be allocated. The Trustees also noted that the internal audit group within the Goldman Sachs organization periodically audits the expense allocation methodology and that the internal audit group was satisfied with the reasonableness, consistency, and accuracy of the Investment Adviser’s expense allocation methodology. Profitability data for the Fund was provided for 2019 and 2018, and the Trustees considered this information in relation to the Investment Adviser’s overall profitability.
23
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Economies of Scale
The Trustees considered the information that had been provided regarding whether there have been economies of scale with respect to the management of the Fund. The Trustees also considered the breakpoints in the fee rate payable under the Management Agreement for the Fund at the following annual percentage rates of the average daily net assets of the Fund:
First $1 billion | 0.62 | % | ||
Next $1 billion | 0.59 | |||
Next $3 billion | 0.56 | |||
Next $3 billion | 0.55 | |||
Over $8 billion | 0.54 |
The Trustees noted that the breakpoints were designed to share potential economies of scale, if any, with the Fund and its shareholders as assets under management reach those asset levels. The Trustees considered the amounts of assets in the Fund; the Fund’s recent share purchase and redemption activity; the information provided by the Investment Adviser relating to the costs of the services provided by the Investment Adviser and its affiliates and their realized profits; information comparing fee rates charged by the Investment Adviser with fee rates charged to other funds in the peer group; and the Investment Adviser’s undertakings to waive a portion of its management fee and to limit certain expenses of the Fund that exceed a specified level as well as Goldman Sachs & Co. LLC’s (“Goldman Sachs”) undertaking to waive a portion of the distribution and service fees paid by the Fund’s Service Shares. Upon reviewing these matters at the Annual Meeting, the Trustees concluded that the fee breakpoints represented a means of assuring that benefits of scalability, if any, would be passed along to shareholders at the specified asset levels.
Other Benefits to the Investment Adviser and Its Affiliates
The Trustees also considered the other benefits derived by the Investment Adviser and its affiliates from their relationships with the Fund as stated above, including: (a) transfer agency fees received by Goldman Sachs; (b) brokerage and futures commissions earned by Goldman Sachs for executing securities and futures transactions on behalf of the Fund; (c) trading efficiencies resulting from aggregation of orders of the Fund with those for other funds or accounts managed by the Investment Adviser; (d) fees earned by Goldman Sachs Agency Lending (“GSAL”), an affiliate of the Investment Adviser, as securities lending agent (and fees earned by the Investment Adviser for managing the fund in which the Fund’s cash collateral is invested); (e) the Investment Adviser’s ability to leverage the infrastructure designed to service the Fund on behalf of its other clients; (f) the Investment Adviser’s ability to cross-market other products and services to Fund shareholders; (g) Goldman Sachs’ retention of certain fees as Fund Distributor; (h) the Investment Adviser’s ability to negotiate better pricing with custodians on behalf of its other clients, as a result of the relationship with the Fund; (i) the investment of cash in money market funds managed by the Investment Adviser that will result in increased assets under management for those money market funds; and (j) the possibility that the working relationship between the Investment Adviser and the Fund’s third-party service providers may cause those service providers to be more likely to do business with other areas of Goldman Sachs. In the course of considering the foregoing, the Independent Trustees requested and received further information quantifying certain of these fall-out benefits.
Other Benefits to the Fund and Its Shareholders
The Trustees also noted that the Fund receives certain other potential benefits as a result of its relationship with the Investment Adviser, including: (a) trading efficiencies resulting from aggregation of orders of the Fund with those of other funds or accounts managed by the Investment Adviser; (b) enhanced servicing from vendors due to the volume of business generated by the Investment Adviser and its affiliates; (c) enhanced servicing from broker-dealers due to the volume of business generated by the Investment Adviser and its affiliates; (d) the Investment Adviser’s ability to negotiate favorable terms with derivatives counterparties on behalf of the Fund as a result of the size and reputation of the Goldman Sachs organization; (e) the advantages received from the Investment Adviser’s knowledge and experience gained from managing other accounts and products; (f) the Investment Adviser’s ability to hire and retain qualified personnel to provide services to the Fund because of the reputation of the Goldman Sachs organization; (g) the Fund’s access, through the Investment Adviser, to certain firm-wide resources (e.g., proprietary risk management systems and databases), subject to certain restrictions; (h) the Fund’s ability to participate in the securities lending program administered by GSAL, as measured by the revenue received by the Fund in connection with the program; and (i) the Fund’s access to certain affiliated distribution channels. In addition, the Trustees noted the competitive nature of the mutual fund marketplace, and considered that many of the Fund’s shareholders invested in the Fund in part because of the Fund’s relationship with the Investment Adviser and that those shareholders have a general expectation that the relationship will continue.
24
GOLDMAN SACHS VARIABLE INSURANCE TRUST U.S. EQUITY INSIGHTS FUND
Statement Regarding Basis for Approval of Management Agreement (Unaudited) (continued)
Conclusion
In connection with their consideration of the Management Agreement, the Trustees gave weight to each of the factors described above, but did not identify any particular factor as controlling their decision. After deliberation and consideration of all of the information provided, including the factors described above, the Trustees concluded, in the exercise of their business judgment, that the management fees paid by the Fund were reasonable in light of the services provided to it by the Investment Adviser, the Investment Adviser’s costs and the Fund’s current and reasonably foreseeable asset levels. The Trustees unanimously concluded that the Investment Adviser’s continued management likely would benefit the Fund and its shareholders and that the Management Agreement should be approved and continued with respect to the Fund until June 30, 2021.
25
TRUSTEES | OFFICERS | |
Jessica Palmer, Chair | James A. McNamara, President | |
Dwight L. Bush | Joseph F. DiMaria, | |
Kathryn A. Cassidy | Principal Financial Officer, | |
Diana M. Daniels | Principal Accounting Officer and Treasurer | |
Joaquin Delgado | Caroline L. Kraus, Secretary | |
James A. McNamara | ||
Roy W. Templin | ||
Gregory G. Weaver |
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 recent month-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 the 12-month period ended June 30 is available (i) without charge, upon request by calling 1-800-621-2550; and (ii) on the Securities and Exchange Commission (“SEC”) web site at http://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 June 30, 2020 and may not be representative of future investments. Fund holdings should not be relied on in making investment decisions and should not be construed as research or investment advice regarding particular securities. Current and future holdings are subject to risk.
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 the 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 U.S. Equity Insights Fund.
© 2020 Goldman Sachs. All rights reserved.
VITUSSAR-20/211862-OTU-1245047
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 Form N-CSR) serving on its audit committee. Gregory G. Weaver is the “audit committee financial expert” and is “independent” (as each term is defined in Item 3 of Form N-CSR). |
ITEM 4. | PRINCIPAL ACCOUNTANT FEES AND SERVICES. |
The information required by this Item is only required in an annual report on this Form N-CSR. |
ITEM 5. | AUDIT COMMITTEE OF LISTED REGISTRANTS. |
Not applicable.
ITEM 6. | SCHEDULE OF INVESTMENTS |
Schedule of Investments is included as part of the Reports to Shareholders filed under Item 1.
ITEM 7. | DISCLOSURE OF PROXY VOTING POLICIES AND PROCEDURES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES. |
Not applicable.
ITEM 8. | PORTFOLIO MANAGERS OF CLOSED-END MANAGEMENT INVESTMENT COMPANIES |
Not applicable.
ITEM 9. | PURCHASES OF EQUITY SECURITIES BY CLOSED-END MANAGEMENT INVESTMENT COMPANY AND AFFILIATED PURCHASERS |
Not applicable.
ITEM 10. | SUBMISSION OF MATTERS TO A VOTE OF SECURITY HOLDERS. |
There have been no material changes to the procedures by which shareholders may recommend nominees to the registrant’s board of trustees.
ITEM 11. | CONTROLS AND PROCEDURES. |
(a) | The registrant’s principal executive and principal financial officers or persons performing similar functions have concluded that the registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective as of a date within 90 days of the filing date of this report that includes the disclosure required by this paragraph, based on the evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and 15d-15(b) under the Securities Exchange Act of 1934, as amended. |
(b) | There were no changes in the registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect the registrant’s internal control over financial reporting. |
ITEM 12. | DISCLOSURE OF SECURITIES LENDING ACTIVITIES FOR CLOSED-END MANAGEMENT INVESTMENT COMPANIES |
Not applicable.
ITEM 13. | EXHIBITS. |
(a)(1) | Goldman Sachs Variable Insurance Trust’s Code of Ethics for Principal Executive and Senior Financial Officers is filed herewith. | |||
(a)(2) | Exhibit 99.CERT | Certifications pursuant to Section 302 of the Sarbanes-Oxley Act of 2002 filed herewith | ||
(a)(3) | Not applicable to open-end investment companies. | |||
(a)(4) | There was no change in the registrant’s independent public accountant for the period covered by this report. | |||
(b) | Exhibit 99.906CERT | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 filed herewith |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Goldman Sachs Variable Insurance Trust
/s/ James A. McNamara | ||
By: James A. McNamara | ||
President/Chief Executive Officer of | ||
Goldman Sachs Variable Insurance Trust | ||
Date: August 20, 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 | ||
President/Chief Executive Officer of | ||
Goldman Sachs Variable Insurance Trust | ||
Date: August 20, 2020 | ||
/s/ Joseph F. DiMaria | ||
By: Joseph F. DiMaria | ||
Principal Financial Officer of | ||
Goldman Sachs Variable Insurance Trust | ||
Date: August 20, 2020 |